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: | February 28 |
Date of reporting period: | August 31, 2018 |
Item 1.
Reports to Stockholders
Strategic Advisers® Core Income Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
PIMCO Total Return Fund Institutional Class | 17.6 |
Fidelity Total Bond Fund | 16.6 |
U.S. Treasury Obligations | 8.0 |
Western Asset Core Plus Bond Fund Class I | 7.6 |
Metropolitan West Total Return Bond Fund Class M | 5.3 |
Prudential Total Return Bond Fund Class A | 4.6 |
Western Asset Core Bond Fund Class I | 4.3 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3.9 |
Fannie Mae | 3.8 |
PIMCO Income Fund Institutional Class | 3.1 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Corporate Bonds | 6.2% | |
U.S. Government and U.S. Government Agency Obligations | 17.7% | |
Asset-Backed Securities | 0.7% | |
CMOs and Other Mortgage Related Securities | 0.3% | |
Municipal Securities | 0.2% | |
Bank Loan Funds | 0.7% | |
Intermediate-Term Bond Funds | 69.4% | |
Intermediate Government Funds | 4.5% | |
Other Investments | 0.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 6.2% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.1% | |||
Ford Motor Co.: | |||
6.375% 2/1/29 | $2,670,000 | $2,779,470 | |
6.625% 10/1/28 | 770,000 | 824,806 | |
General Motors Co.: | |||
3.5% 10/2/18 | 3,180,000 | 3,182,321 | |
6.25% 10/2/43 | 2,115,000 | 2,188,908 | |
General Motors Financial Co., Inc.: | |||
3.5% 7/10/19 | 3,787,000 | 3,807,109 | |
3.7% 5/9/23 | 11,800,000 | 11,562,112 | |
4% 1/15/25 | 1,900,000 | 1,842,392 | |
4.25% 5/15/23 | 1,875,000 | 1,881,843 | |
4.375% 9/25/21 | 7,321,000 | 7,453,002 | |
35,521,963 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 437,813 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 171,131 | |
3.3% 7/15/56 | 190,000 | 170,989 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 456,742 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 713,411 | |
1,950,086 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Marriott International, Inc. 3.125% 6/15/26 | 1,090,000 | 1,023,512 | |
McDonald's Corp.: | |||
2.625% 1/15/22 | 680,000 | 666,199 | |
2.75% 12/9/20 | 1,005,000 | 999,455 | |
3.7% 1/30/26 | 490,000 | 487,699 | |
4.7% 12/9/35 | 1,385,000 | 1,446,799 | |
4,623,664 | |||
Household Durables - 0.1% | |||
Newell Brands, Inc. 4.2% 4/1/26 | 515,000 | 495,041 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 20,000,000 | 18,300,000 | |
4.375% 4/15/23 | 5,000,000 | 4,976,100 | |
4.875% 3/15/27 | 4,442,000 | 4,253,215 | |
5.875% 2/15/22 | 12,000,000 | 12,510,000 | |
40,534,356 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Amazon.com, Inc. 2.8% 8/22/24 | 1,045,000 | 1,013,224 | |
Media - 0.4% | |||
21st Century Fox America, Inc.: | |||
4.75% 9/15/44 | 3,270,000 | 3,451,757 | |
4.95% 10/15/45 | 50,000 | 54,682 | |
5.4% 10/1/43 | 965,000 | 1,103,889 | |
CBS Corp. 4.3% 2/15/21 | 270,000 | 274,718 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 11,002,000 | 11,221,666 | |
4.908% 7/23/25 | 7,565,000 | 7,713,815 | |
5.375% 4/1/38 | 450,000 | 433,096 | |
5.375% 5/1/47 | 15,000,000 | 13,990,996 | |
6.384% 10/23/35 | 2,985,000 | 3,189,911 | |
6.484% 10/23/45 | 720,000 | 767,592 | |
Comcast Corp.: | |||
3% 2/1/24 | 725,000 | 705,357 | |
3.6% 3/1/24 | 1,095,000 | 1,094,808 | |
3.9% 3/1/38 | 1,317,000 | 1,219,359 | |
3.969% 11/1/47 | 3,958,000 | 3,582,825 | |
3.999% 11/1/49 | 4,859,000 | 4,375,801 | |
4% 3/1/48 | 2,409,000 | 2,176,522 | |
4.6% 8/15/45 | 5,166,000 | 5,079,694 | |
4.65% 7/15/42 | 2,891,000 | 2,873,922 | |
5.7% 7/1/19 | 1,100,000 | 1,126,237 | |
Discovery Communications LLC: | |||
3.5% 6/15/22 (a) | 1,105,000 | 1,094,904 | |
3.95% 6/15/25 (a) | 710,000 | 694,022 | |
5% 9/20/37 | 255,000 | 248,150 | |
5.625% 8/15/19 | 138,000 | 141,394 | |
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 2,406,000 | 2,313,031 | |
5.15% 4/30/20 | 3,135,000 | 3,242,046 | |
5.95% 4/1/41 | 1,495,000 | 1,732,117 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 16,424,000 | 16,551,452 | |
5.5% 9/1/41 | 2,591,000 | 2,489,146 | |
5.875% 11/15/40 | 5,543,000 | 5,538,267 | |
6.55% 5/1/37 | 6,351,000 | 6,858,166 | |
7.3% 7/1/38 | 6,393,000 | 7,427,884 | |
8.25% 4/1/19 | 6,565,000 | 6,760,692 | |
Time Warner, Inc.: | |||
3.55% 6/1/24 | 3,131,000 | 3,046,135 | |
3.8% 2/15/27 | 575,000 | 551,506 | |
4.7% 1/15/21 | 2,175,000 | 2,244,036 | |
4.9% 6/15/42 | 7,000,000 | 6,540,832 | |
6.2% 3/15/40 | 2,433,000 | 2,623,115 | |
Viacom, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,354,492 | |
5.625% 9/15/19 | 775,000 | 794,712 | |
5.85% 9/1/43 | 345,000 | 358,213 | |
Walt Disney Co.: | |||
1.85% 7/30/26 | 1,330,000 | 1,176,624 | |
2.55% 2/15/22 | 335,000 | 327,514 | |
2.75% 8/16/21 | 200,000 | 197,749 | |
138,742,846 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 1,620,000 | 1,593,829 | |
Specialty Retail - 0.0% | |||
Home Depot, Inc.: | |||
2.625% 6/1/22 | 260,000 | 255,526 | |
3.75% 2/15/24 | 4,151,000 | 4,248,075 | |
4.875% 2/15/44 | 750,000 | 830,626 | |
5.875% 12/16/36 | 300,000 | 368,365 | |
Lowe's Companies, Inc. 4.25% 9/15/44 | 585,000 | 583,790 | |
6,286,382 | |||
TOTAL CONSUMER DISCRETIONARY | 230,266,350 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.2% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 10,553,000 | 10,430,268 | |
3.3% 2/1/23 | 11,775,000 | 11,682,320 | |
3.65% 2/1/26 | 15,030,000 | 14,703,019 | |
4.7% 2/1/36 | 13,526,000 | 13,711,474 | |
4.9% 2/1/46 | 13,451,000 | 13,669,882 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.75% 1/15/22 | 1,593,000 | 1,618,266 | |
4.75% 4/15/58 | 6,987,000 | 6,855,213 | |
Constellation Brands, Inc. 4.75% 11/15/24 | 5,595,000 | 5,821,455 | |
PepsiCo, Inc.: | |||
2.75% 3/5/22 | 900,000 | 893,135 | |
3.1% 7/17/22 | 260,000 | 260,168 | |
3.6% 3/1/24 | 2,352,000 | 2,403,728 | |
4.5% 1/15/20 | 1,925,000 | 1,971,889 | |
84,020,817 | |||
Food & Staples Retailing - 0.0% | |||
Kroger Co. 2.3% 1/15/19 | 170,000 | 169,768 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,625,010 | |
2,794,778 | |||
Food Products - 0.0% | |||
H.J. Heinz Co.: | |||
3% 6/1/26 | 615,000 | 560,789 | |
5% 7/15/35 | 190,000 | 187,319 | |
5.2% 7/15/45 | 310,000 | 301,323 | |
Kraft Foods Group, Inc. 5.375% 2/10/20 | 1,750,000 | 1,806,246 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 300,956 | |
Tyson Foods, Inc. 3.95% 8/15/24 | 450,000 | 451,537 | |
Unilever Capital Corp. 4.25% 2/10/21 | 375,000 | 385,903 | |
3,994,073 | |||
Tobacco - 0.1% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 1,570,000 | 1,540,714 | |
4% 1/31/24 | 1,830,000 | 1,869,017 | |
9.25% 8/6/19 | 449,000 | 475,009 | |
Bat Capital Corp.: | |||
3.222% 8/15/24 (a) | 3,195,000 | 3,054,534 | |
3.557% 8/15/27 (a) | 770,000 | 721,232 | |
Philip Morris International, Inc. 3.875% 8/21/42 | 2,075,000 | 1,890,682 | |
Reynolds American, Inc.: | |||
4% 6/12/22 | 1,548,000 | 1,566,761 | |
5.7% 8/15/35 | 1,287,000 | 1,388,331 | |
6.15% 9/15/43 | 1,299,000 | 1,451,035 | |
7.25% 6/15/37 | 2,443,000 | 3,065,544 | |
17,022,859 | |||
TOTAL CONSUMER STAPLES | 107,832,527 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes A Ge Co. LLC 4.08% 12/15/47 | 290,000 | 263,452 | |
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,212,000 | 1,262,604 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 570,000 | 575,567 | |
6.7% 9/15/38 | 170,000 | 211,899 | |
2,313,522 | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Amerada Hess Corp. 7.875% 10/1/29 | 3,089,000 | 3,760,846 | |
Anadarko Finance Co. 7.5% 5/1/31 | 7,027,000 | 8,797,040 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 1,762,000 | 1,816,700 | |
5.55% 3/15/26 | 4,166,000 | 4,476,777 | |
6.6% 3/15/46 | 4,900,000 | 5,897,155 | |
6.95% 7/1/24 | 975,000 | 1,112,757 | |
Apache Corp.: | |||
3.25% 4/15/22 | 213,000 | 210,772 | |
6% 1/15/37 | 231,000 | 254,931 | |
BP Capital Markets PLC 3.245% 5/6/22 | 2,960,000 | 2,954,268 | |
Buckeye Partners LP 2.65% 11/15/18 | 125,000 | 125,030 | |
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 2,743,000 | 3,086,637 | |
Cenovus Energy, Inc.: | |||
4.25% 4/15/27 | 6,718,000 | 6,489,012 | |
5.25% 6/15/37 | 605,000 | 595,628 | |
Chesapeake Energy Corp.: | |||
6.625% 8/15/20 | 28,840,000 | 29,921,500 | |
8% 12/15/22 (a) | 3,981,000 | 4,185,026 | |
Chevron Corp.: | |||
1.961% 3/3/20 | 650,000 | 642,228 | |
2.355% 12/5/22 | 840,000 | 813,663 | |
2.566% 5/16/23 | 4,322,000 | 4,197,460 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 4,641,000 | 4,626,813 | |
4.5% 6/1/25 | 1,418,000 | 1,431,928 | |
Concho Resources, Inc.: | |||
4.3% 8/15/28 | 415,000 | 414,889 | |
4.875% 10/1/47 | 185,000 | 186,694 | |
Conoco, Inc. 6.95% 4/15/29 | 425,000 | 534,726 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (a) | 2,017,000 | 2,047,255 | |
5.35% 3/15/20 (a) | 2,258,000 | 2,308,805 | |
5.85% 5/21/43 (a)(b) | 7,892,000 | 7,260,640 | |
DCP Midstream Operating LP: | |||
2.7% 4/1/19 | 1,070,000 | 1,063,313 | |
3.875% 3/15/23 | 17,626,000 | 17,185,350 | |
5.6% 4/1/44 | 3,773,000 | 3,622,080 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 1,040,000 | 1,048,838 | |
5.6% 7/15/41 | 475,000 | 510,927 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 270,000 | 263,925 | |
5.875% 5/28/45 | 400,000 | 396,560 | |
El Paso Corp. 6.5% 9/15/20 | 12,030,000 | 12,746,611 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (b) | 1,148,000 | 1,142,698 | |
3.9% 5/15/24 (b) | 1,210,000 | 1,169,659 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,065,299 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 1,943,000 | 1,951,545 | |
5.5% 12/1/46 | 2,242,000 | 2,514,209 | |
Encana Corp. 6.5% 8/15/34 | 1,165,000 | 1,369,251 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 1,452,000 | 1,468,956 | |
4.95% 6/15/28 | 4,954,000 | 5,053,972 | |
5.8% 6/15/38 | 2,762,000 | 2,855,354 | |
6% 6/15/48 | 1,799,000 | 1,909,283 | |
6.625% 10/15/36 | 900,000 | 1,006,938 | |
Enterprise Products Operating LP 4.85% 3/15/44 | 2,500,000 | 2,557,722 | |
EOG Resources, Inc.: | |||
3.9% 4/1/35 | 205,000 | 202,300 | |
4.1% 2/1/21 | 285,000 | 290,406 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,545,720 | |
4.114% 3/1/46 | 855,000 | 875,505 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 898,275 | |
4.15% 2/1/24 | 300,000 | 303,354 | |
Magellan Midstream Partners LP: | |||
4.2% 10/3/47 | 570,000 | 527,622 | |
4.25% 9/15/46 | 65,000 | 61,709 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,870,000 | 2,983,532 | |
MPLX LP: | |||
4.5% 7/15/23 | 1,235,000 | 1,269,736 | |
4.5% 4/15/38 | 900,000 | 836,637 | |
4.875% 12/1/24 | 2,489,000 | 2,584,202 | |
4.875% 6/1/25 | 625,000 | 648,852 | |
5.2% 3/1/47 | 125,000 | 124,696 | |
Nakilat, Inc. 6.067% 12/31/33 (a) | 666,000 | 727,592 | |
Noble Energy, Inc.: | |||
4.15% 12/15/21 | 1,185,000 | 1,203,924 | |
5.25% 11/15/43 | 295,000 | 298,413 | |
6% 3/1/41 | 360,000 | 389,443 | |
Occidental Petroleum Corp.: | |||
2.6% 4/15/22 | 325,000 | 318,062 | |
2.7% 2/15/23 | 1,655,000 | 1,610,727 | |
3.125% 2/15/22 | 472,000 | 469,926 | |
4.1% 2/1/21 | 670,000 | 684,892 | |
ONEOK Partners LP: | |||
3.375% 10/1/22 | 1,065,000 | 1,051,985 | |
6.65% 10/1/36 | 400,000 | 471,459 | |
ONEOK, Inc. 4.95% 7/13/47 | 515,000 | 514,014 | |
Petro-Canada 6.8% 5/15/38 | 350,000 | 448,360 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 34,097,000 | 31,232,852 | |
Petroleos Mexicanos: | |||
4.25% 1/15/25 | 1,040,000 | 973,960 | |
4.625% 9/21/23 | 7,965,000 | 7,828,002 | |
4.875% 1/18/24 | 2,616,000 | 2,563,680 | |
5.375% 3/13/22 | 2,525,000 | 2,580,550 | |
6.375% 2/4/21 | 2,660,000 | 2,779,700 | |
6.375% 1/23/45 | 11,698,000 | 10,479,887 | |
6.5% 3/13/27 | 7,220,000 | 7,309,528 | |
6.5% 6/2/41 | 59,845,000 | 54,797,074 | |
6.75% 9/21/47 | 26,150,000 | 24,206,532 | |
Phillips 66 Co.: | |||
4.3% 4/1/22 | 1,979,000 | 2,036,717 | |
4.875% 11/15/44 | 305,000 | 315,282 | |
Phillips 66 Partners LP 3.75% 3/1/28 | 420,000 | 399,580 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 10,550,000 | 10,451,602 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 212,514 | |
Shell International Finance BV: | |||
2.125% 5/11/20 | 850,000 | 840,231 | |
3.25% 5/11/25 | 1,465,000 | 1,444,809 | |
4.3% 9/22/19 | 145,000 | 147,515 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,217,197 | |
Sunoco Logistics Partner Operations LP 5.35% 5/15/45 | 850,000 | 822,044 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 2,512,000 | 2,486,880 | |
4.55% 6/24/24 | 12,246,000 | 12,498,757 | |
Total Capital International SA 2.7% 1/25/23 | 1,375,000 | 1,340,918 | |
Western Gas Partners LP: | |||
4% 7/1/22 | 270,000 | 268,707 | |
4.65% 7/1/26 | 1,249,000 | 1,250,326 | |
4.75% 8/15/28 | 1,465,000 | 1,457,803 | |
5.3% 3/1/48 | 645,000 | 614,473 | |
5.375% 6/1/21 | 4,846,000 | 5,021,698 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 660,000 | 658,483 | |
3.75% 6/15/27 | 1,385,000 | 1,328,311 | |
4% 11/15/21 | 812,000 | 822,439 | |
4.125% 11/15/20 | 394,000 | 399,055 | |
4.3% 3/4/24 | 2,607,000 | 2,638,028 | |
4.85% 3/1/48 | 300,000 | 290,823 | |
4.9% 1/15/45 | 470,000 | 457,612 | |
5.25% 3/15/20 | 150,000 | 154,354 | |
380,720,936 | |||
TOTAL ENERGY | 383,034,458 | ||
FINANCIALS - 2.3% | |||
Banks - 1.4% | |||
Abbey National Treasury Services PLC 2.35% 9/10/19 | 295,000 | 293,483 | |
Banco Santander SA 3.848% 4/12/23 | 800,000 | 786,669 | |
Bank of America Corp.: | |||
3.004% 12/20/23 (b) | 1,802,000 | 1,754,255 | |
3.3% 1/11/23 | 5,787,000 | 5,742,138 | |
3.419% 12/20/28 (b) | 11,888,000 | 11,202,148 | |
3.5% 4/19/26 | 5,358,000 | 5,215,942 | |
3.95% 4/21/25 | 14,568,000 | 14,333,066 | |
3.97% 3/5/29 (b) | 5,630,000 | 5,527,773 | |
4% 4/1/24 | 95,000 | 96,518 | |
4% 1/22/25 | 45,375,000 | 44,855,822 | |
4.1% 7/24/23 | 16,299,000 | 16,705,860 | |
4.2% 8/26/24 | 2,028,000 | 2,037,547 | |
4.25% 10/22/26 | 3,838,000 | 3,810,366 | |
5.49% 3/15/19 | 800,000 | 810,703 | |
Barclays PLC: | |||
2.75% 11/8/19 | 3,769,000 | 3,748,953 | |
3.65% 3/16/25 | 925,000 | 874,096 | |
4.337% 1/10/28 | 3,070,000 | 2,938,390 | |
4.375% 1/12/26 | 1,015,000 | 991,391 | |
BNP Paribas 2.375% 5/21/20 | 495,000 | 488,660 | |
CIT Group, Inc. 5% 8/1/23 | 7,000,000 | 7,113,750 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 50,590,000 | 48,876,889 | |
2.9% 12/8/21 | 2,470,000 | 2,432,816 | |
3.2% 10/21/26 | 2,775,000 | 2,603,039 | |
3.4% 5/1/26 | 1,045,000 | 999,900 | |
3.7% 1/12/26 | 3,440,000 | 3,359,399 | |
4.05% 7/30/22 | 1,159,000 | 1,171,570 | |
4.3% 11/20/26 | 2,129,000 | 2,099,284 | |
4.4% 6/10/25 | 6,160,000 | 6,172,346 | |
4.45% 9/29/27 | 3,875,000 | 3,838,560 | |
4.5% 1/14/22 | 2,773,000 | 2,862,527 | |
4.6% 3/9/26 | 1,810,000 | 1,826,167 | |
4.75% 5/18/46 | 10,000,000 | 9,859,570 | |
5.5% 9/13/25 | 8,267,000 | 8,805,609 | |
Citizens Bank NA 2.55% 5/13/21 | 1,705,000 | 1,664,177 | |
Citizens Financial Group, Inc.: | |||
4.15% 9/28/22 (a) | 3,115,000 | 3,120,688 | |
4.3% 12/3/25 | 9,918,000 | 9,878,094 | |
Commonwealth Bank of Australia 2.3% 3/12/20 | 600,000 | 593,761 | |
Corporacion Andina de Fomento 2% 5/10/19 | 445,000 | 442,196 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 16,672,000 | 16,186,351 | |
3.8% 9/15/22 | 10,230,000 | 10,232,988 | |
3.8% 6/9/23 | 9,457,000 | 9,398,070 | |
4.55% 4/17/26 | 2,315,000 | 2,343,231 | |
Credit Suisse New York Branch 4.375% 8/5/20 | 650,000 | 664,806 | |
Discover Bank: | |||
3.45% 7/27/26 | 435,000 | 409,103 | |
7% 4/15/20 | 3,143,000 | 3,304,263 | |
Export-Import Bank of Korea 5.125% 6/29/20 | 800,000 | 825,918 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 831,795 | |
HSBC Holdings PLC: | |||
4.041% 3/13/28 (b) | 1,355,000 | 1,324,853 | |
4.25% 3/14/24 | 1,872,000 | 1,877,426 | |
4.583% 6/19/29 (b) | 1,600,000 | 1,624,624 | |
4.875% 1/14/22 | 5,445,000 | 5,678,398 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 404,000 | 435,310 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 27,505,000 | 24,888,037 | |
5.71% 1/15/26 (a) | 7,646,000 | 6,937,484 | |
Japan Bank International Cooperation 2.25% 2/24/20 | 1,600,000 | 1,585,912 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 4,205,000 | 3,935,035 | |
3.2% 6/15/26 | 390,000 | 372,135 | |
3.3% 4/1/26 | 735,000 | 708,710 | |
3.509% 1/23/29 (b) | 755,000 | 719,520 | |
3.625% 5/13/24 | 2,860,000 | 2,865,580 | |
3.797% 7/23/24 (b) | 10,889,000 | 10,925,746 | |
3.875% 2/1/24 | 100,000 | 101,317 | |
3.875% 9/10/24 | 10,030,000 | 9,964,734 | |
3.882% 7/24/38 (b) | 6,115,000 | 5,700,834 | |
3.897% 1/23/49 (b) | 1,945,000 | 1,766,791 | |
4.125% 12/15/26 | 7,374,000 | 7,361,681 | |
4.26% 2/22/48 (b) | 930,000 | 897,322 | |
4.35% 8/15/21 | 4,947,000 | 5,094,872 | |
4.625% 5/10/21 | 1,718,000 | 1,778,594 | |
Lloyds Banking Group PLC 4.375% 3/22/28 | 1,365,000 | 1,343,066 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 39,791 | |
PNC Bank NA 3.25% 6/1/25 | 2,010,000 | 1,969,066 | |
PNC Financial Services Group, Inc.: | |||
2.854% 11/9/22 | 275,000 | 268,572 | |
3.9% 4/29/24 | 375,000 | 375,942 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 7,688,473 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,003,973 | |
Regions Financial Corp. 3.2% 2/8/21 | 3,096,000 | 3,083,933 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 21,274,000 | 21,338,976 | |
6% 12/19/23 | 27,105,000 | 28,262,183 | |
6.1% 6/10/23 | 26,988,000 | 28,187,256 | |
6.125% 12/15/22 | 5,889,000 | 6,176,744 | |
Santander UK Group Holdings PLC 2.875% 10/16/20 | 550,000 | 542,879 | |
Societe Generale 4.25% 4/14/25 (a) | 21,901,000 | 21,267,727 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 253,861 | |
SunTrust Banks, Inc.: | |||
2.7% 1/27/22 | 540,000 | 527,111 | |
3.3% 5/15/26 | 1,240,000 | 1,180,652 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,271,919 | |
U.S. Bancorp 2.625% 1/24/22 | 3,020,000 | 2,961,712 | |
Wells Fargo & Co.: | |||
2.1% 7/26/21 | 1,530,000 | 1,478,726 | |
3% 2/19/25 | 5,000,000 | 4,766,099 | |
4.125% 8/15/23 | 280,000 | 284,772 | |
4.65% 11/4/44 | 1,760,000 | 1,730,456 | |
522,679,451 | |||
Capital Markets - 0.6% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 1,880,165 | |
Deutsche Bank AG 4.5% 4/1/25 | 9,996,000 | 9,348,135 | |
Deutsche Bank AG New York Branch 3.3% 11/16/22 | 10,180,000 | 9,674,681 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (b) | 12,744,000 | 12,462,386 | |
3.2% 2/23/23 | 5,700,000 | 5,598,811 | |
3.625% 1/22/23 | 2,410,000 | 2,407,973 | |
3.75% 5/22/25 | 3,095,000 | 3,046,750 | |
3.75% 2/25/26 | 650,000 | 636,324 | |
3.85% 7/8/24 | 1,900,000 | 1,894,878 | |
4% 3/3/24 | 270,000 | 272,418 | |
4.223% 5/1/29 (b) | 2,900,000 | 2,864,825 | |
6.75% 10/1/37 | 40,999,000 | 49,476,472 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 1,768,000 | 1,753,421 | |
3.75% 12/1/25 | 3,162,000 | 3,180,681 | |
Lazard Group LLC 4.25% 11/14/20 | 2,944,000 | 2,997,655 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 2,897,000 | 2,747,830 | |
4.875% 2/15/24 | 2,720,000 | 2,857,999 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 7,600,000 | 7,468,838 | |
3.125% 7/27/26 | 37,616,000 | 35,141,409 | |
3.625% 1/20/27 | 855,000 | 822,897 | |
3.7% 10/23/24 | 21,259,000 | 21,074,507 | |
3.75% 2/25/23 | 3,725,000 | 3,748,369 | |
3.875% 4/29/24 | 4,975,000 | 4,999,781 | |
3.875% 1/27/26 | 1,125,000 | 1,109,459 | |
4% 7/23/25 | 3,675,000 | 3,688,470 | |
4.1% 5/22/23 | 2,000,000 | 2,015,556 | |
5% 11/24/25 | 32,614,000 | 33,903,191 | |
5.75% 1/25/21 | 4,996,000 | 5,274,399 | |
The Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 745,838 | |
UBS AG Stamford Branch 2.375% 8/14/19 | 495,000 | 493,067 | |
233,587,185 | |||
Consumer Finance - 0.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.5% 5/26/22 | 1,949,000 | 1,918,742 | |
4.125% 7/3/23 | 5,132,000 | 5,121,512 | |
4.5% 5/15/21 | 1,455,000 | 1,479,681 | |
5% 10/1/21 | 2,185,000 | 2,257,711 | |
American Express Credit Corp. 2.2% 3/3/20 | 2,390,000 | 2,360,780 | |
Capital One Bank U.S.A. NA 3.375% 2/15/23 | 1,035,000 | 1,012,185 | |
Capital One Financial Corp. 3.8% 1/31/28 | 5,513,000 | 5,246,366 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 2,293,000 | 2,284,517 | |
3.95% 11/6/24 | 2,567,000 | 2,515,846 | |
4.1% 2/9/27 | 645,000 | 624,921 | |
5.2% 4/27/22 | 1,093,000 | 1,136,281 | |
Ford Motor Credit Co. LLC: | |||
2.943% 1/8/19 | 12,780,000 | 12,776,549 | |
3.664% 9/8/24 | 1,275,000 | 1,198,348 | |
3.81% 1/9/24 | 1,305,000 | 1,252,160 | |
4.134% 8/4/25 | 1,345,000 | 1,269,758 | |
Synchrony Financial: | |||
3% 8/15/19 | 1,335,000 | 1,332,728 | |
3.75% 8/15/21 | 2,016,000 | 2,011,555 | |
3.95% 12/1/27 | 6,019,000 | 5,484,254 | |
4.25% 8/15/24 | 2,029,000 | 1,967,187 | |
53,251,081 | |||
Diversified Financial Services - 0.1% | |||
Arch Capital Finance LLC 4.011% 12/15/26 | 185,000 | 184,558 | |
AXA Equitable Holdings, Inc. 3.9% 4/20/23 (a) | 1,273,000 | 1,268,860 | |
Berkshire Hathaway, Inc.: | |||
2.75% 3/15/23 | 3,395,000 | 3,337,089 | |
3.125% 3/15/26 | 1,015,000 | 986,933 | |
4.5% 2/11/43 | 500,000 | 527,409 | |
Brixmor Operating Partnership LP 4.125% 6/15/26 | 2,238,000 | 2,185,671 | |
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,165,312 | |
GE Capital International Funding Co.: | |||
2.342% 11/15/20 | 3,179,000 | 3,113,846 | |
3.373% 11/15/25 | 1,880,000 | 1,818,977 | |
General Electric Capital Corp.: | |||
3.45% 5/15/24 | 920,000 | 914,506 | |
5.55% 5/4/20 | 1,096,000 | 1,139,377 | |
National Rural Utilities Cooperative Finance Corp. 2.3% 11/15/19 | 820,000 | 815,810 | |
Private Export Funding Corp. 3.55% 1/15/24 | 755,000 | 776,248 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,268,238 | |
21,502,834 | |||
Insurance - 0.1% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 1,105,000 | 1,074,758 | |
3.15% 3/15/25 | 1,615,000 | 1,577,184 | |
AIA Group Ltd. 2.25% 3/11/19 (a) | 776,000 | 772,686 | |
American International Group, Inc.: | |||
4.125% 2/15/24 | 2,820,000 | 2,855,394 | |
4.5% 7/16/44 | 2,080,000 | 1,982,074 | |
4.875% 6/1/22 | 3,898,000 | 4,084,268 | |
Aon Corp. 5% 9/30/20 | 540,000 | 557,894 | |
Hartford Financial Services Group, Inc.: | |||
5.125% 4/15/22 | 4,954,000 | 5,225,801 | |
5.5% 3/30/20 | 990,000 | 1,024,937 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (a) | 1,847,000 | 1,911,057 | |
Lincoln National Corp.: | |||
4.35% 3/1/48 | 165,000 | 156,497 | |
6.3% 10/9/37 | 185,000 | 221,421 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,140,000 | 1,133,095 | |
4.8% 7/15/21 | 1,026,000 | 1,062,842 | |
MetLife, Inc. 4.368% 9/15/23 (b) | 910,000 | 949,505 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 5,278,000 | 5,330,780 | |
Prudential Financial, Inc.: | |||
4.5% 11/16/21 | 1,118,000 | 1,156,697 | |
7.375% 6/15/19 | 438,000 | 453,473 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 369,769 | |
The Travelers Companies, Inc. 4.6% 8/1/43 | 680,000 | 718,379 | |
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) | 1,102,000 | 1,100,904 | |
Unum Group: | |||
5.625% 9/15/20 | 3,216,000 | 3,346,249 | |
5.75% 8/15/42 | 2,238,000 | 2,387,031 | |
39,452,695 | |||
TOTAL FINANCIALS | 870,473,246 | ||
HEALTH CARE - 0.5% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
3.6% 5/14/25 | 2,980,000 | 2,908,915 | |
4.7% 5/14/45 | 1,220,000 | 1,190,560 | |
Amgen, Inc.: | |||
3.45% 10/1/20 | 410,000 | 412,622 | |
3.625% 5/22/24 | 4,455,000 | 4,479,146 | |
4.4% 5/1/45 | 860,000 | 832,361 | |
4.5% 3/15/20 | 1,500,000 | 1,534,237 | |
Baxalta, Inc. 4% 6/23/25 | 1,945,000 | 1,963,625 | |
Celgene Corp.: | |||
3.625% 5/15/24 | 910,000 | 898,872 | |
5% 8/15/45 | 660,000 | 654,306 | |
Gilead Sciences, Inc.: | |||
3.25% 9/1/22 | 195,000 | 194,798 | |
4.4% 12/1/21 | 1,120,000 | 1,157,786 | |
4.5% 4/1/21 | 1,295,000 | 1,334,797 | |
4.5% 2/1/45 | 765,000 | 765,382 | |
18,327,407 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories: | |||
2.55% 3/15/22 | 500,000 | 486,308 | |
2.9% 11/30/21 | 1,915,000 | 1,894,165 | |
3.75% 11/30/26 | 550,000 | 545,304 | |
Becton, Dickinson & Co.: | |||
3.125% 11/8/21 | 1,050,000 | 1,038,036 | |
3.7% 6/6/27 | 380,000 | 363,872 | |
3.734% 12/15/24 | 855,000 | 841,647 | |
Medtronic, Inc.: | |||
2.5% 3/15/20 | 90,000 | 89,416 | |
3.625% 3/15/24 | 1,250,000 | 1,263,516 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 700,000 | 692,692 | |
3.5% 3/15/26 | 675,000 | 661,620 | |
Zimmer Biomet Holdings, Inc. 2.7% 4/1/20 | 465,000 | 461,168 | |
8,337,744 | |||
Health Care Providers & Services - 0.3% | |||
Aetna, Inc. 2.75% 11/15/22 | 1,480,000 | 1,432,078 | |
Ascension Health: | |||
3.945% 11/15/46 | 465,000 | 462,782 | |
4.847% 11/15/53 | 250,000 | 282,956 | |
Cardinal Health, Inc.: | |||
3.2% 6/15/22 | 405,000 | 397,907 | |
4.625% 12/15/20 | 200,000 | 205,254 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 580,000 | 588,944 | |
Cigna Corp.: | |||
3.25% 4/15/25 | 1,080,000 | 1,025,925 | |
4% 2/15/22 | 1,910,000 | 1,935,477 | |
4.375% 12/15/20 | 305,000 | 311,401 | |
5.125% 6/15/20 | 560,000 | 577,745 | |
Coventry Health Care, Inc. 5.45% 6/15/21 | 2,329,000 | 2,443,707 | |
CVS Health Corp.: | |||
3.5% 7/20/22 | 640,000 | 636,615 | |
3.875% 7/20/25 | 2,348,000 | 2,318,238 | |
4.1% 3/25/25 | 13,963,000 | 13,978,884 | |
4.3% 3/25/28 | 16,214,000 | 16,091,767 | |
4.78% 3/25/38 | 7,828,000 | 7,787,226 | |
5.05% 3/25/48 | 11,638,000 | 11,794,458 | |
5.125% 7/20/45 | 125,000 | 127,580 | |
5.3% 12/5/43 | 265,000 | 279,216 | |
Duke University Health System, Inc. 3.92% 6/1/47 | 635,000 | 625,920 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (a) | 1,274,000 | 1,277,690 | |
4.272% 8/28/23 (a) | 4,020,000 | 4,036,841 | |
4.9% 8/28/28 (a) | 1,693,000 | 1,705,887 | |
Express Scripts Holding Co. 4.5% 2/25/26 | 1,020,000 | 1,029,859 | |
Hackensack Meridian Health 4.5% 7/1/57 | 385,000 | 398,575 | |
HCA Holdings, Inc.: | |||
3.75% 3/15/19 | 3,362,000 | 3,373,767 | |
4.75% 5/1/23 | 205,000 | 208,331 | |
5.875% 3/15/22 | 250,000 | 265,625 | |
6.5% 2/15/20 | 3,683,000 | 3,822,954 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,465,000 | 1,501,534 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 395,000 | 381,479 | |
4.7% 2/1/45 | 980,000 | 964,694 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 1,049,000 | 1,063,132 | |
Memorial Sloan-Kettring Cancer Center: | |||
4.2% 7/1/55 | 140,000 | 143,389 | |
5% 7/1/42 | 225,000 | 259,849 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 550,000 | 548,395 | |
4.063% 8/1/56 | 540,000 | 534,728 | |
NYU Hospitals Center: | |||
4.368% 7/1/47 | 810,000 | 816,944 | |
5.75% 7/1/43 | 185,000 | 229,736 | |
Providence St. Joseph Health Obligated Group 2.746% 10/1/26 | 780,000 | 723,087 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 98,238 | |
5.75% 1/30/40 | 68,000 | 72,809 | |
RWJ Barnabas Health, Inc. 3.949% 7/1/46 | 265,000 | 253,358 | |
Sutter Health 4.091% 8/15/48 | 3,295,000 | 3,177,295 | |
The Johns Hopkins Health System Corp. 3.837% 5/15/46 | 400,000 | 388,539 | |
UnitedHealth Group, Inc.: | |||
4.25% 4/15/47 | 470,000 | 470,483 | |
4.25% 6/15/48 | 550,000 | 551,696 | |
4.7% 2/15/21 | 240,000 | 248,401 | |
6.875% 2/15/38 | 700,000 | 942,440 | |
WellPoint, Inc.: | |||
3.125% 5/15/22 | 2,620,000 | 2,584,224 | |
3.3% 1/15/23 | 7,225,000 | 7,157,401 | |
102,535,460 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
3.15% 1/15/23 | 365,000 | 358,574 | |
4.15% 2/1/24 | 570,000 | 583,186 | |
941,760 | |||
Pharmaceuticals - 0.1% | |||
Actavis Funding SCS: | |||
3.85% 6/15/24 | 560,000 | 557,991 | |
4.55% 3/15/35 | 400,000 | 392,181 | |
4.85% 6/15/44 | 1,060,000 | 1,048,733 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 702,258 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 1,425,000 | 1,391,843 | |
Johnson & Johnson: | |||
2.45% 3/1/26 | 570,000 | 538,899 | |
3.625% 3/3/37 | 1,585,000 | 1,552,665 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 3,375,000 | 3,290,231 | |
3.875% 1/15/21 | 1,800,000 | 1,839,797 | |
Mylan NV: | |||
2.5% 6/7/19 | 2,315,000 | 2,304,180 | |
3.15% 6/15/21 | 6,494,000 | 6,397,659 | |
3.95% 6/15/26 | 2,804,000 | 2,659,183 | |
5.2% 4/15/48 (a) | 1,570,000 | 1,466,762 | |
Novartis Capital Corp.: | |||
2.4% 9/21/22 | 4,695,000 | 4,553,337 | |
4.4% 5/6/44 | 1,225,000 | 1,302,663 | |
Perrigo Finance PLC 3.5% 12/15/21 | 400,000 | 396,288 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 3,260,000 | 3,111,365 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 3,911,000 | 3,656,924 | |
Wyeth LLC 6.45% 2/1/24 | 3,905,000 | 4,498,176 | |
Zoetis, Inc.: | |||
3% 9/12/27 | 340,000 | 317,795 | |
3.25% 2/1/23 | 5,975,000 | 5,900,143 | |
47,879,073 | |||
TOTAL HEALTH CARE | 178,021,444 | ||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.0% | |||
General Dynamics Corp.: | |||
2.25% 11/15/22 | 1,500,000 | 1,441,088 | |
3.5% 5/15/25 | 2,355,000 | 2,376,193 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 3,040,000 | 2,925,528 | |
3.8% 3/1/45 | 735,000 | 681,048 | |
4.25% 11/15/19 | 1,400,000 | 1,422,737 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 920,000 | 951,973 | |
Rockwell Collins, Inc. 4.35% 4/15/47 | 595,000 | 576,795 | |
The Boeing Co. 4.875% 2/15/20 | 650,000 | 670,624 | |
United Technologies Corp.: | |||
2.8% 5/4/24 | 2,742,000 | 2,615,437 | |
4.125% 11/16/28 | 990,000 | 989,468 | |
14,650,891 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.3% 3/15/27 | 280,000 | 268,450 | |
United Parcel Service, Inc. 3.125% 1/15/21 | 370,000 | 372,030 | |
640,480 | |||
Airlines - 0.0% | |||
American Airelines 2014-1 Class A Pass-Through Trust Equipment Trust Certificate 3.7% 10/1/26 | 265,322 | 261,568 | |
American Airlines, Inc. equipment trust certificate 3.2% 6/15/28 | 497,880 | 474,838 | |
Continental Airlines, Inc.: | |||
4.15% 4/11/24 | 829,297 | 840,053 | |
6.545% 2/2/19 | 67,337 | 68,319 | |
Delta Air Lines, Inc. 3.4% 4/19/21 | 1,105,000 | 1,098,052 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 8/10/22 | 124,291 | 135,167 | |
U.S. Airways pass-thru trust certificates 8.36% 1/20/19 | 49,752 | 49,752 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 8/15/25 | 164,510 | 168,153 | |
3,095,902 | |||
Building Products - 0.0% | |||
Fortune Brands Home & Security, Inc. 3% 6/15/20 | 425,000 | 421,852 | |
Johnson Controls International PLC 4.95% 7/2/64 | 275,000 | 261,912 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,634,952 | |
2,318,716 | |||
Commercial Services & Supplies - 0.0% | |||
Cintas Corp. No. 2 3.7% 4/1/27 | 1,135,000 | 1,123,917 | |
Republic Services, Inc. 5.5% 9/15/19 | 325,000 | 333,375 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 368,953 | |
WMX Technologies, Inc. 4.6% 3/1/21 | 345,000 | 355,968 | |
2,182,213 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 113,341 | |
Fortive Corp. 3.15% 6/15/26 | 275,000 | 257,990 | |
General Electric Capital Corp. 3.15% 9/7/22 | 1,386,000 | 1,379,518 | |
1,750,849 | |||
Industrial Conglomerates - 0.0% | |||
Covidien International Finance SA 3.2% 6/15/22 | 865,000 | 860,777 | |
General Electric Co. 2.7% 10/9/22 | 1,170,000 | 1,140,796 | |
2,001,573 | |||
Machinery - 0.0% | |||
Caterpillar, Inc.: | |||
2.6% 6/26/22 | 675,000 | 661,344 | |
3.9% 5/27/21 | 1,730,000 | 1,774,027 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 615,000 | 590,915 | |
2.8% 1/27/23 | 585,000 | 574,709 | |
2.8% 3/6/23 | 1,435,000 | 1,408,567 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 213,035 | |
4.875% 10/1/21 | 525,000 | 547,320 | |
5,769,917 | |||
Professional Services - 0.0% | |||
IHS Markit Ltd. 4.125% 8/1/23 | 365,000 | 365,913 | |
Road & Rail - 0.0% | |||
Burlington Northern Santa Fe LLC 4.1% 6/1/21 | 950,000 | 969,978 | |
Canadian National Railway Co. 2.85% 12/15/21 | 600,000 | 594,486 | |
CSX Corp.: | |||
3.4% 8/1/24 | 600,000 | 595,140 | |
6.15% 5/1/37 | 1,500,000 | 1,812,613 | |
Norfolk Southern Corp. 5.9% 6/15/19 | 2,337,000 | 2,391,124 | |
Union Pacific Corp.: | |||
3.6% 9/15/37 | 640,000 | 590,371 | |
4% 2/1/21 | 943,000 | 960,923 | |
4.3% 6/15/42 | 325,000 | 325,831 | |
8,240,466 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 800,000 | 762,750 | |
3.375% 6/1/21 | 2,750,000 | 2,733,720 | |
3.75% 2/1/22 | 4,752,000 | 4,765,662 | |
3.875% 4/1/21 | 2,900,000 | 2,919,330 | |
4.25% 9/15/24 | 3,212,000 | 3,220,094 | |
4.75% 3/1/20 | 3,227,000 | 3,291,271 | |
17,692,827 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (b) | 755,000 | 853,150 | |
TOTAL INDUSTRIALS | 59,562,897 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
1.85% 9/20/21 | 725,000 | 701,879 | |
2.9% 3/4/21 | 150,000 | 149,740 | |
3% 6/15/22 | 310,000 | 308,998 | |
1,160,617 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 3.48% 6/1/19 (a) | 725,000 | 727,395 | |
IT Services - 0.0% | |||
Fiserv, Inc. 3.85% 6/1/25 | 2,120,000 | 2,108,152 | |
IBM Corp. 3.625% 2/12/24 | 4,140,000 | 4,185,893 | |
MasterCard, Inc. 3.375% 4/1/24 | 1,220,000 | 1,226,618 | |
7,520,663 | |||
Software - 0.1% | |||
CA Technologies, Inc. 3.6% 8/1/20 | 555,000 | 556,388 | |
Microsoft Corp.: | |||
1.85% 2/12/20 | 550,000 | 543,977 | |
2.875% 2/6/24 | 3,890,000 | 3,826,187 | |
3.7% 8/8/46 | 1,800,000 | 1,734,497 | |
4.1% 2/6/37 | 1,930,000 | 2,004,434 | |
Oracle Corp.: | |||
1.9% 9/15/21 | 3,770,000 | 3,648,422 | |
2.5% 10/15/22 | 1,855,000 | 1,804,668 | |
2.65% 7/15/26 | 2,595,000 | 2,421,613 | |
2.95% 5/15/25 | 2,085,000 | 2,022,180 | |
4.125% 5/15/45 | 1,595,000 | 1,567,571 | |
20,129,937 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc.: | |||
2.4% 5/3/23 | 2,090,000 | 2,021,381 | |
2.85% 5/6/21 | 885,000 | 883,266 | |
2.85% 5/11/24 | 3,515,000 | 3,432,786 | |
3.25% 2/23/26 | 2,145,000 | 2,109,253 | |
3.35% 2/9/27 | 1,835,000 | 1,808,660 | |
3.75% 9/12/47 | 40,000 | 37,872 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 5,700,000 | 5,869,101 | |
16,162,319 | |||
TOTAL INFORMATION TECHNOLOGY | 45,700,931 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
E.I. du Pont de Nemours & Co. 2.8% 2/15/23 | 1,195,000 | 1,166,882 | |
Eastman Chemical Co. 4.65% 10/15/44 | 485,000 | 473,412 | |
Ecolab, Inc. 4.35% 12/8/21 | 245,000 | 253,408 | |
LYB International Finance II BV 3.5% 3/2/27 | 480,000 | 456,160 | |
LyondellBasell Industries NV: | |||
5.75% 4/15/24 | 1,730,000 | 1,878,193 | |
6% 11/15/21 | 1,919,000 | 2,046,578 | |
Nutrien Ltd.: | |||
4.9% 6/1/43 | 825,000 | 822,930 | |
5.25% 1/15/45 | 330,000 | 344,919 | |
Praxair, Inc. 4.5% 8/15/19 | 220,000 | 223,742 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 201,725 | |
The Dow Chemical Co.: | |||
3% 11/15/22 | 650,000 | 636,439 | |
4.125% 11/15/21 | 1,350,000 | 1,377,107 | |
4.25% 11/15/20 | 2,524,000 | 2,578,128 | |
12,459,623 | |||
Containers & Packaging - 0.0% | |||
International Paper Co.: | |||
3.65% 6/15/24 | 3,355,000 | 3,338,855 | |
4.75% 2/15/22 | 1,920,000 | 1,994,605 | |
5% 9/15/35 | 405,000 | 417,148 | |
5.15% 5/15/46 | 116,000 | 118,634 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 192,261 | |
6,061,503 | |||
Metals & Mining - 0.1% | |||
Anglo American Capital PLC: | |||
4.125% 4/15/21 (a) | 6,803,000 | 6,852,798 | |
4.125% 9/27/22 (a) | 1,333,000 | 1,336,319 | |
Barrick North America Finance LLC 5.75% 5/1/43 | 330,000 | 362,741 | |
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,979,000 | 2,078,405 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (a) | 2,033,000 | 1,935,416 | |
4.5% 8/1/47 (a) | 1,715,000 | 1,666,997 | |
Rio Tinto Finance (U.S.A.) Ltd. 3.75% 6/15/25 | 1,390,000 | 1,400,154 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 493,255 | |
16,126,085 | |||
TOTAL MATERIALS | 34,647,211 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 801,000 | 795,132 | |
4.6% 4/1/22 | 855,000 | 882,253 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 813,000 | 808,533 | |
Boston Properties, Inc. 3.85% 2/1/23 | 1,175,000 | 1,186,291 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 954,000 | 931,417 | |
4.25% 1/15/24 | 2,838,000 | 2,895,431 | |
Corporate Office Properties LP 5% 7/1/25 | 3,453,000 | 3,545,420 | |
DDR Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,293,636 | |
4.25% 2/1/26 | 4,062,000 | 4,009,364 | |
4.625% 7/15/22 | 5,099,000 | 5,242,196 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 759,358 | |
3.625% 4/15/23 | 1,382,000 | 1,375,254 | |
3.875% 10/15/22 | 2,108,000 | 2,137,055 | |
4.375% 6/15/22 | 1,237,000 | 1,274,258 | |
Equity One, Inc. 3.75% 11/15/22 | 3,200,000 | 3,196,108 | |
Government Properties Income Trust 3.75% 8/15/19 | 4,010,000 | 4,030,827 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 2,263,000 | 2,233,174 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 1,319,000 | 1,305,442 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 6,644,000 | 6,641,895 | |
4.5% 1/15/25 | 2,793,000 | 2,764,798 | |
4.5% 4/1/27 | 1,500,000 | 1,455,864 | |
4.75% 1/15/28 | 7,569,000 | 7,451,384 | |
4.95% 4/1/24 | 1,152,000 | 1,177,381 | |
5.25% 1/15/26 | 5,841,000 | 5,971,603 | |
Realty Income Corp. 3% 1/15/27 | 1,015,000 | 944,226 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 831,525 | |
5% 12/15/23 | 626,000 | 629,566 | |
Simon Property Group LP: | |||
3.25% 11/30/26 | 870,000 | 840,151 | |
3.375% 10/1/24 | 3,900,000 | 3,849,648 | |
3.75% 2/1/24 | 345,000 | 348,638 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 1,414,000 | 1,376,165 | |
3.85% 4/1/27 | 1,050,000 | 1,017,362 | |
4% 3/1/28 | 2,712,000 | 2,654,274 | |
4.125% 1/15/26 | 1,628,000 | 1,616,925 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 466,727 | |
WP Carey, Inc.: | |||
4% 2/1/25 | 5,544,000 | 5,447,158 | |
4.6% 4/1/24 | 7,436,000 | 7,549,153 | |
91,935,592 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 3,996,139 | |
3.95% 11/15/27 | 5,608,000 | 5,364,994 | |
4.1% 10/1/24 | 3,830,000 | 3,793,265 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 13,158,109 | |
Digital Realty Trust LP 3.95% 7/1/22 | 3,488,000 | 3,529,177 | |
Essex Portfolio LP 3.875% 5/1/24 | 2,685,000 | 2,678,743 | |
Liberty Property LP: | |||
3.25% 10/1/26 | 2,158,000 | 2,025,176 | |
3.375% 6/15/23 | 4,307,000 | 4,237,598 | |
4.125% 6/15/22 | 1,061,000 | 1,082,804 | |
4.75% 10/1/20 | 2,674,000 | 2,739,799 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 3,041,108 | |
4.5% 4/18/22 | 644,000 | 628,638 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,290,773 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,779,223 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 2,814,000 | 2,554,183 | |
3.75% 12/1/24 | 2,653,000 | 2,568,471 | |
3.875% 12/1/23 | 1,492,000 | 1,463,665 | |
3.875% 7/15/27 | 9,533,000 | 9,024,603 | |
64,956,468 | |||
TOTAL REAL ESTATE | 156,892,060 | ||
TELECOMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
2.3% 3/11/19 | 60,000,000 | 59,884,859 | |
3.6% 2/17/23 | 6,860,000 | 6,825,855 | |
3.875% 8/15/21 | 1,130,000 | 1,144,980 | |
3.95% 1/15/25 | 1,275,000 | 1,256,258 | |
4.45% 4/1/24 | 3,622,000 | 3,709,156 | |
4.5% 5/15/35 | 1,980,000 | 1,837,546 | |
4.5% 3/9/48 | 21,790,000 | 18,811,203 | |
4.55% 3/9/49 | 611,000 | 530,596 | |
4.75% 5/15/46 | 2,340,000 | 2,110,793 | |
4.8% 6/15/44 | 515,000 | 468,992 | |
5.35% 9/1/40 | 59,000 | 58,049 | |
5.875% 10/1/19 | 1,592,000 | 1,641,007 | |
6.3% 1/15/38 | 2,523,000 | 2,777,449 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 56,000 | 67,344 | |
British Telecommunications PLC 9.625% 12/15/30 (b) | 575,000 | 820,548 | |
CenturyLink, Inc. 6.15% 9/15/19 | 2,129,000 | 2,176,903 | |
Verizon Communications, Inc.: | |||
3.376% 2/15/25 | 1,110,000 | 1,080,397 | |
3.5% 11/1/24 | 295,000 | 291,568 | |
3.85% 11/1/42 | 1,462,000 | 1,256,676 | |
4.5% 8/10/33 | 1,310,000 | 1,292,555 | |
4.522% 9/15/48 | 3,420,000 | 3,210,184 | |
4.862% 8/21/46 | 4,163,000 | 4,114,180 | |
5.012% 4/15/49 | 3,858,000 | 3,869,635 | |
5.012% 8/21/54 | 20,147,000 | 19,623,070 | |
138,859,803 | |||
Wireless Telecommunication Services - 0.0% | |||
America Movil S.A.B. de CV 5% 3/30/20 | 1,175,000 | 1,203,467 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 146,864 | |
1,350,331 | |||
TOTAL TELECOMMUNICATION SERVICES | 140,210,134 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.2% | |||
Alabama Power Co.: | |||
3.75% 3/1/45 | 850,000 | 795,169 | |
3.85% 12/1/42 | 500,000 | 475,789 | |
4.1% 1/15/42 | 225,000 | 219,101 | |
Appalachian Power Co. 3.3% 6/1/27 | 605,000 | 583,047 | |
Arizona Public Service Co. 3.75% 5/15/46 | 390,000 | 361,361 | |
Baltimore Gas & Electric Co. 3.35% 7/1/23 | 470,000 | 466,870 | |
CenterPoint Energy Houston Electric LLC 2.25% 8/1/22 | 530,000 | 509,561 | |
Commonwealth Edison Co.: | |||
3.65% 6/15/46 | 765,000 | 711,960 | |
3.7% 3/1/45 | 315,000 | 294,651 | |
3.75% 8/15/47 | 600,000 | 567,221 | |
4% 3/1/48 | 45,000 | 44,196 | |
4.6% 8/15/43 | 1,045,000 | 1,118,084 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 2,070,000 | 1,983,682 | |
4.25% 12/15/41 | 1,250,000 | 1,275,242 | |
6.1% 6/1/37 | 775,000 | 951,801 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (a) | 8,875,000 | 9,387,311 | |
6.4% 9/15/20 (a) | 4,858,000 | 5,109,789 | |
Entergy Corp. 5.125% 9/15/20 | 545,000 | 560,323 | |
Entergy Louisiana LLC: | |||
2.4% 10/1/26 | 870,000 | 794,565 | |
4% 3/15/33 | 645,000 | 655,685 | |
4.05% 9/1/23 | 880,000 | 904,230 | |
Exelon Corp. 3.497% 6/1/22 (b) | 835,000 | 824,796 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 12,580,000 | 12,828,683 | |
7.375% 11/15/31 | 10,940,000 | 14,178,547 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 (c) | 5,244,000 | 3,251,280 | |
Florida Power & Light Co. 2.75% 6/1/23 | 1,200,000 | 1,175,947 | |
Fortis, Inc. 3.055% 10/4/26 | 485,000 | 447,974 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,789,766 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 8,163,000 | 8,104,593 | |
3.7% 9/1/24 | 2,644,000 | 2,555,780 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 686,000 | 691,263 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 245,000 | 278,094 | |
Mid-American Energy Co.: | |||
3.65% 8/1/48 | 620,000 | 576,265 | |
3.95% 8/1/47 | 775,000 | 759,962 | |
Northern States Power Co. 6.25% 6/1/36 | 370,000 | 465,707 | |
Pacific Gas & Electric Co.: | |||
3.3% 3/15/27 | 410,000 | 377,692 | |
3.4% 8/15/24 | 250,000 | 239,788 | |
5.125% 11/15/43 | 240,000 | 249,000 | |
6.05% 3/1/34 | 2,225,000 | 2,500,210 | |
PacifiCorp: | |||
5.25% 6/15/35 | 1,375,000 | 1,552,457 | |
5.75% 4/1/37 | 900,000 | 1,089,565 | |
PPL Capital Funding, Inc. 4.2% 6/15/22 | 495,000 | 503,596 | |
PPL Electric Utilities Corp. 6.25% 5/15/39 | 250,000 | 320,290 | |
Progress Energy, Inc. 4.875% 12/1/19 | 450,000 | 460,817 | |
Public Service Co. of Colorado 2.5% 3/15/23 | 645,000 | 621,276 | |
Public Service Electric & Gas Co.: | |||
2.25% 9/15/26 | 295,000 | 266,590 | |
3.6% 12/1/47 | 260,000 | 241,640 | |
3.65% 9/1/42 | 125,000 | 118,067 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 347,292 | |
South Carolina Electric & Gas Co. 5.1% 6/1/65 | 370,000 | 378,382 | |
Southern California Edison Co.: | |||
3.6% 2/1/45 | 1,735,000 | 1,556,248 | |
4% 4/1/47 | 1,040,000 | 994,359 | |
Southwestern Electric Power Co. 3.85% 2/1/48 | 785,000 | 725,826 | |
Virginia Electric & Power Co. 6% 5/15/37 | 1,375,000 | 1,677,830 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 234,388 | |
90,153,608 | |||
Gas Utilities - 0.0% | |||
AGL Capital Corp.: | |||
3.5% 9/15/21 | 1,030,000 | 1,030,744 | |
4.4% 6/1/43 | 290,000 | 286,272 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 539,542 | |
1,856,558 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 18,642,000 | 20,179,965 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 1,324,000 | 1,314,362 | |
2.7% 6/15/21 | 1,304,000 | 1,271,853 | |
3.55% 6/15/26 | 795,000 | 755,484 | |
Exelon Generation Co. LLC 2.95% 1/15/20 | 120,000 | 119,563 | |
PSEG Power LLC 3% 6/15/21 | 1,075,000 | 1,066,607 | |
24,707,834 | |||
Multi-Utilities - 0.1% | |||
Consolidated Edison Co. of New York, Inc. 4.3% 12/1/56 | 300,000 | 293,907 | |
Dominion Resources, Inc.: | |||
3 month U.S. LIBOR + 2.300% 4.6344% 9/30/66 (b)(d) | 6,307,000 | 6,070,488 | |
3 month U.S. LIBOR + 2.825% 5.1624% 6/30/66 (b)(d) | 924,000 | 889,350 | |
4.45% 3/15/21 | 1,660,000 | 1,699,840 | |
NiSource Finance Corp.: | |||
4.8% 2/15/44 | 230,000 | 238,442 | |
5.95% 6/15/41 | 640,000 | 748,109 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 261,692 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 624,000 | 606,301 | |
5.625% 7/15/22 | 4,555,000 | 4,844,992 | |
6% 9/1/21 | 4,353,000 | 4,638,675 | |
6.5% 12/15/20 | 1,405,000 | 1,496,665 | |
San Diego Gas & Electric Co.: | |||
3.6% 9/1/23 | 1,025,000 | 1,024,463 | |
3.75% 6/1/47 | 585,000 | 540,050 | |
Sempra Energy 4% 2/1/48 | 390,000 | 353,092 | |
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.4263% 5/15/67 (b)(d) | 1,012,000 | 984,818 | |
24,690,884 | |||
TOTAL UTILITIES | 141,408,884 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,337,238,113) | 2,348,050,142 | ||
U.S. Government and Government Agency Obligations - 8.1% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae: | |||
1.875% 9/24/26 | $575,000 | $528,349 | |
2% 10/5/22 | 1,730,000 | 1,677,178 | |
2.375% 1/19/23 | 1,515,000 | 1,487,992 | |
2.5% 4/13/21 | 1,430,000 | 1,421,755 | |
2.75% 6/22/21 | 2,825,000 | 2,823,545 | |
6.25% 5/15/29 | 520,000 | 665,012 | |
6.625% 11/15/30 | 450,000 | 603,108 | |
Federal Home Loan Bank: | |||
1.375% 9/28/20 | 1,165,000 | 1,134,697 | |
2.125% 2/11/20 | 3,465,000 | 3,441,407 | |
Freddie Mac: | |||
1.375% 8/15/19 | 3,625,000 | 3,588,576 | |
1.5% 1/17/20 | 3,605,000 | 3,552,558 | |
2.375% 2/16/21 | 6,885,000 | 6,830,278 | |
2.375% 1/13/22 | 1,450,000 | 1,431,749 | |
Tennessee Valley Authority: | |||
2.25% 3/15/20 | 3,130,000 | 3,109,843 | |
2.875% 2/1/27 | 1,320,000 | 1,289,158 | |
5.25% 9/15/39 | 150,000 | 186,904 | |
7.125% 5/1/30 | 460,000 | 627,382 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 34,399,491 | ||
U.S. Treasury Inflation-Protected Obligations - 1.1% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | 97,828,542 | 94,104,622 | |
1% 2/15/46 | 56,875,445 | 58,052,437 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.375% 7/15/25 | 141,145,158 | 138,108,082 | |
0.625% 1/15/26 | 126,688,525 | 125,435,987 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 415,701,128 | ||
U.S. Treasury Obligations - 6.9% | |||
U.S. Treasury Bonds: | |||
2.75% 8/15/47 | 5,440,000 | 5,149,512 | |
2.875% 8/15/45 | 17,715,000 | 17,225,070 | |
2.875% 11/15/46 | 12,375,000 | 12,023,569 | |
3% 11/15/44 | 505,000 | 502,850 | |
3% 5/15/45 | 49,521,000 | 49,317,887 | |
3% 2/15/47 | 87,154,000 | 86,782,915 | |
3.125% 5/15/48 | 2,030,000 | 2,070,679 | |
3.625% 8/15/43 | 24,375,000 | 26,946,753 | |
3.75% 11/15/43 | 2,285,000 | 2,578,033 | |
U.S. Treasury Notes: | |||
1% 11/15/19 | 42,420,000 | 41,659,423 | |
1.375% 9/30/19 | 23,410,000 | 23,131,092 | |
1.375% 8/31/20 | 15,725,000 | 15,341,089 | |
1.375% 4/30/21 | 13,810,000 | 13,347,689 | |
1.375% 5/31/21 | 35,805,000 | 34,564,413 | |
1.625% 12/31/19 | 34,150,000 | 33,735,131 | |
1.625% 6/30/20 | 35,725,000 | 35,088,648 | |
1.625% 4/30/23 | 5,360,000 | 5,098,281 | |
1.75% 6/30/22 | 69,643,000 | 67,156,528 | |
1.875% 3/31/22 | 14,135,000 | 13,724,202 | |
1.875% 4/30/22 | 43,605,000 | 42,308,773 | |
1.875% 9/30/22 | 23,308,000 | 22,532,281 | |
2% 11/30/20 | 48,865,000 | 48,158,748 | |
2% 2/15/25 | 20,105,000 | 19,143,730 | |
2% 11/15/26 | 150,301,000 | 141,042,224 | |
2.125% 9/30/21 | 45,470,000 | 44,690,260 | |
2.125% 6/30/22 | 13,575,000 | 13,275,396 | |
2.125% 7/31/24 | 108,991,000 | 105,048,591 | |
2.125% 5/15/25 | 59,445,000 | 56,944,130 | |
2.25% 11/15/25 | 5,835,000 | 5,616,871 | |
2.25% 2/15/27 | 35,843,000 | 34,234,265 | |
2.25% 11/15/27 | 4,450,000 | 4,229,934 | |
2.375% 8/15/24 | 10,135,000 | 9,901,420 | |
2.5% 3/31/23 | 407,416,000 | 403,087,205 | |
2.625% 7/31/20 | 18,930,000 | 18,925,563 | |
2.625% 11/15/20 | 35,190,000 | 35,152,885 | |
2.625% 3/31/25 | 371,000,000 | 366,913,205 | |
2.75% 8/15/21 | 2,165,000 | 2,167,875 | |
2.75% 7/31/23 | 7,665,000 | 7,664,701 | |
2.75% 8/31/23 | 10,400,000 | 10,407,717 | |
2.75% 2/28/25 (e) | 850,000 | 847,510 | |
2.75% 6/30/25 | 733,482,000 | 730,502,229 | |
2.75% 8/31/25 | 3,350,000 | 3,352,486 | |
2.875% 7/31/25 | 3,590,000 | 3,603,182 | |
2.875% 8/15/28 | 9,520,000 | 9,528,553 | |
TOTAL U.S. TREASURY OBLIGATIONS | 2,624,723,498 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $3,092,284,657) | 3,074,824,117 | ||
U.S. Government Agency - Mortgage Securities - 7.2% | |||
Fannie Mae - 3.7% | |||
12 month U.S. LIBOR + 1.553% 4.279% 6/1/36 (b)(d) | 10,965 | 11,409 | |
12 month U.S. LIBOR + 1.825% 3.769% 2/1/35 (b)(d) | 228,769 | 239,581 | |
12 month U.S. LIBOR + 1.900% 4.634% 7/1/37 (b)(d) | 17,092 | 18,027 | |
2% 8/1/31 | 1,599,993 | 1,515,066 | |
2.5% 9/1/27 to 4/1/47 | 22,856,786 | 21,917,335 | |
2.5% 9/1/33 (f) | 16,700,000 | 16,237,430 | |
2.5% 9/1/33 (f) | 3,600,000 | 3,500,284 | |
3% 2/1/25 to 5/1/48 | 267,261,020 | 260,263,831 | |
3% 9/1/33 (f) | 18,225,000 | 18,116,053 | |
3% 9/1/33 (f) | 15,975,000 | 15,879,503 | |
3% 9/1/48 (f) | 13,050,000 | 12,623,178 | |
3% 9/1/48 (f) | 400,000 | 386,917 | |
3.5% 6/1/21 to 10/1/56 | 405,899,860 | 405,837,325 | |
3.5% 8/1/33 | 6,000,000 | 6,066,901 | |
3.5% 9/1/33 (f)(g) | 1,000,000 | 1,010,603 | |
3.5% 9/1/33 (f) | 18,600,000 | 18,797,220 | |
3.5% 9/1/33 (f) | 3,000,000 | 3,031,810 | |
3.5% 9/1/48 (f)(g) | 250,000 | 248,505 | |
3.5% 9/1/48 (f)(g) | 3,350,000 | 3,329,962 | |
3.5% 9/1/48 (f) | 11,600,000 | 11,530,613 | |
3.5% 9/1/48 (f) | 4,100,000 | 4,075,475 | |
3.5% 9/1/48 (f) | 12,100,000 | 12,027,623 | |
4% 11/1/31 to 5/1/48 | 201,057,397 | 205,702,642 | |
4% 10/1/33 (f) | 1,500,000 | 1,533,691 | |
4% 9/1/48 (f) | 27,900,000 | 28,402,066 | |
4% 9/1/48 (f) | 26,700,000 | 27,180,472 | |
4% 9/1/48 (f)(g) | 8,750,000 | 8,907,458 | |
4% 9/1/48 (f) | 1,000,000 | 1,017,995 | |
4% 9/1/48 (f)(g) | 1,750,000 | 1,781,492 | |
4% 9/1/48 (f) | 2,000,000 | 2,035,990 | |
4% 9/1/48 (f) | 2,400,000 | 2,443,188 | |
4% 9/1/48 (f) | 2,350,000 | 2,392,289 | |
4% 9/1/48 (f) | 4,700,000 | 4,784,577 | |
4% 9/1/48 (f) | 6,250,000 | 6,362,470 | |
4% 9/1/48 (f)(g) | 4,200,000 | 4,275,580 | |
4% 9/1/48 (f) | 1,800,000 | 1,832,391 | |
4% 9/1/48 (f) | 1,800,000 | 1,832,391 | |
4% 9/1/48 (f) | 3,550,000 | 3,613,883 | |
4% 9/1/48 (f) | 4,750,000 | 4,835,477 | |
4% 9/1/48 (f) | 3,600,000 | 3,664,783 | |
4% 9/1/48 (f) | 250,000 | 254,499 | |
4% 9/1/48 (f) | 9,100,000 | 9,263,756 | |
4% 10/1/48 (f) | 7,000,000 | 7,117,763 | |
4.5% 6/1/24 to 8/1/56 | 80,821,489 | 84,508,097 | |
4.5% 9/1/48 (f) | 3,950,000 | 4,101,341 | |
4.5% 9/1/48 (f)(g) | 17,700,000 | 18,378,161 | |
4.5% 9/1/48 (f) | 10,300,000 | 10,694,636 | |
4.5% 9/1/48 (f) | 3,500,000 | 3,634,100 | |
4.5% 9/1/48 (f) | 6,950,000 | 7,216,284 | |
4.5% 9/1/48 (f) | 6,400,000 | 6,645,211 | |
4.5% 9/1/48 (f) | 6,400,000 | 6,645,211 | |
4.5% 9/1/48 (f) | 6,950,000 | 7,216,284 | |
5% 10/1/21 to 8/1/56 | 62,184,530 | 66,279,258 | |
5.255% 8/1/41 | 459,412 | 493,837 | |
5.5% 7/1/30 to 9/1/41 | 14,977,422 | 16,247,246 | |
5.5% 9/1/48 (f) | 2,250,000 | 2,412,507 | |
6% 3/1/22 to 1/1/42 | 26,190,884 | 28,858,556 | |
6.483% 2/1/39 | 617,695 | 663,976 | |
6.5% 2/1/36 to 8/1/39 | 3,853,782 | 4,276,044 | |
TOTAL FANNIE MAE | 1,414,170,253 | ||
Freddie Mac - 1.7% | |||
6 month U.S. LIBOR + 2.656% 4.837% 10/1/35 (b)(d) | 15,726 | 16,663 | |
2% 1/1/32 | 2,656,838 | 2,516,334 | |
2.5% 3/1/28 to 2/1/43 | 9,137,196 | 8,878,139 | |
3% 10/1/28 to 1/1/47 | 187,935,497 | 182,700,440 | |
3.5% 8/1/26 to 5/1/48 (e) | 213,509,745 | 213,695,099 | |
3.5% 8/1/47 | 13,421,128 | 13,372,828 | |
3.5% 9/1/48 (f)(g) | 4,000,000 | 3,976,855 | |
3.5% 9/1/48 (f) | 8,100,000 | 8,053,131 | |
4% 6/1/33 to 3/1/48 | 124,141,541 | 127,178,101 | |
4% 9/1/48 (f)(g) | 500,000 | 509,115 | |
4% 9/1/48 (f) | 12,000,000 | 12,218,755 | |
4% 9/1/48 (f) | 4,500,000 | 4,582,033 | |
4% 9/1/48 (f) | 11,100,000 | 11,302,349 | |
4.5% 7/1/25 to 7/1/47 | 26,378,723 | 27,610,652 | |
4.5% 9/1/48 (f) | 500,000 | 519,392 | |
4.5% 9/1/48 (f) | 8,600,000 | 8,933,534 | |
5% 10/1/33 to 7/1/41 | 9,200,866 | 9,830,048 | |
5.5% 3/1/34 to 6/1/41 | 6,079,187 | 6,614,344 | |
6% 7/1/37 to 9/1/38 | 261,871 | 290,249 | |
6.5% 9/1/39 | 711,382 | 804,107 | |
TOTAL FREDDIE MAC | 643,602,168 | ||
Ginnie Mae - 1.8% | |||
3.5% 9/20/40 to 8/20/48 | 243,142,442 | 244,669,584 | |
4.5% 5/15/39 to 3/20/47 | 39,779,568 | 41,743,931 | |
5.5% 6/15/36 to 3/20/41 | 283,673 | 309,060 | |
2.5% 12/20/46 | 1,313,388 | 1,249,808 | |
3% 8/20/42 to 6/20/48 | 167,291,989 | 164,105,454 | |
3% 9/1/48 (f) | 28,100,000 | 27,475,137 | |
3.5% 9/1/48 (f) | 1,500,000 | 1,504,402 | |
3.5% 9/1/48 (f)(g) | 25,950,000 | 26,026,150 | |
3.5% 9/1/48 (f) | 4,500,000 | 4,513,205 | |
4% 5/20/40 to 8/20/47 (e) | 97,067,010 | 99,956,571 | |
4% 9/1/48 (f) | 2,750,000 | 2,815,216 | |
4% 9/1/48 (f) | 7,600,000 | 7,780,233 | |
4% 9/1/48 (f) | 1,000,000 | 1,023,715 | |
4% 9/1/48 (f) | 10,700,000 | 10,953,749 | |
4.5% 9/1/48 (f) | 500,000 | 519,461 | |
4.5% 9/1/48 (f) | 500,000 | 519,461 | |
4.5% 9/1/48 (f) | 500,000 | 519,461 | |
4.5% 9/1/48 (f) | 500,000 | 519,461 | |
4.5% 9/1/48 (f) | 2,000,000 | 2,077,844 | |
4.5% 9/1/48(f) | 11,700,000 | 12,155,389 | |
4.5% 9/1/48 (f) | 5,300,000 | 5,506,287 | |
4.5% 9/1/48 (f) | 6,700,000 | 6,960,778 | |
4.5% 9/1/48 (f) | 3,000,000 | 3,116,766 | |
4.5% 9/1/48 (f) | 10,000,000 | 10,389,221 | |
4.5% 9/1/48 (f) | 11,950,000 | 12,415,119 | |
4.5% 9/1/48 (f) | 4,750,000 | 4,934,880 | |
5% 6/20/34 to 9/20/46 | 10,705,538 | 11,406,551 | |
TOTAL GINNIE MAE | 705,166,894 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $2,822,462,914) | 2,762,939,315 | ||
Asset-Backed Securities - 0.7% | |||
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (a) | $5,629,954 | $5,606,708 | |
Ally Master Owner Trust Series 2018-2 Class A, 3.29% 5/15/23 | 6,510,000 | 6,533,597 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 2.4248% 10/25/35 (b)(d) | 2,910,426 | 2,914,202 | |
Bank of America Credit Card Master Trust Series 2017-A1 Class A1, 1.95% 8/15/22 | 800,000 | 789,045 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 9,851,088 | 9,894,492 | |
Class AA, 2.487% 12/16/41 (a) | 2,216,156 | 2,156,044 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 3.1853% 7/25/29 (b)(d) | 1,433,334 | 1,445,312 | |
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (a) | 2,961,732 | 2,977,097 | |
Canadian Pacer Auto Receivables Trust Series 2018-1A Class A3, 3% 11/19/21 (a) | 5,467,000 | 5,460,432 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | 8,970,960 | 9,013,721 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 800,000 | 773,269 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.4148% 10/25/37 (a)(b)(d) | 3,532,557 | 3,560,136 | |
Citibank Credit Card Issuance Trust: | |||
Series 2014-A1 Class A1, 2.88% 1/23/23 | 300,000 | 299,329 | |
Series 2018-A1 Class A1, 2.49% 1/20/23 | 700,000 | 692,356 | |
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 705,144 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 3,100,000 | 3,111,129 | |
CLUB Credit Trust Series 2018-NP1 Class A, 2.99% 5/15/24 (a) | 2,796,347 | 2,797,708 | |
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 2.6756% 9/28/30 (b)(d) | 1,465,529 | 1,466,706 | |
Consumer Loan Underlying Bond Credit Trust Series 2017-NP2 Class A, 2.55% 1/16/24 (a) | 997,039 | 996,510 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 7.3148% 3/25/32 (b)(d) | 4,144 | 4,246 | |
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.930% 2.9948% 8/25/35 (b)(d) | 218,867 | 219,342 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 4,293,555 | 4,209,723 | |
Class A2II, 4.03% 11/20/47 (a) | 7,257,160 | 7,183,746 | |
Dell Equipment Finance Trust Series 2018-1 Class A3, 3.18% 6/22/23 (a) | 4,210,000 | 4,222,190 | |
DLL Securitization Trust Series 2018-1 Class A3, 3.1% 4/18/22 (a) | 660,000 | 660,960 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.8898% 3/25/34 (b)(d) | 371 | 342 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2017-1 Class A1, 2.07% 5/15/22 | 9,140,000 | 9,006,901 | |
Series 2018-1 Class A1, 2.95% 5/15/23 | 8,200,000 | 8,171,389 | |
GCO Education Loan Funding Trust Series 2006-1 Class A9L, 3 month U.S. LIBOR + 0.160% 2.4714% 5/25/26 (b)(d) | 920,000 | 915,742 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 1 month U.S. LIBOR + 0.180% 2.24% 11/15/34 (a)(b)(d) | 44,335 | 43,545 | |
Class B, 1 month U.S. LIBOR + 0.280% 2.3427% 11/15/34 (a)(b)(d) | 16,036 | 15,729 | |
Class C, 1 month U.S. LIBOR + 0.380% 2.4427% 11/15/34 (a)(b)(d) | 26,648 | 25,240 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2016-1 Class A1, 1.96% 5/17/21 (a) | 11,700,000 | 11,631,186 | |
Series 2018-1 Class A, 1 month U.S. LIBOR + 0.300% 2.6138% 3/15/22 (a)(b)(d) | 5,450,000 | 5,453,371 | |
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (a) | 3,070,394 | 3,062,350 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 2.7134% 4/10/31 (a)(b)(d) | 3,258,613 | 3,262,620 | |
Home Equity Asset Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.440% 2.5048% 4/25/36 (b)(d) | 3,681,100 | 3,686,614 | |
Hyundai Auto Receivables Trust Series 2018-A Class A3, 2.79% 7/15/22 | 8,572,000 | 8,543,044 | |
JPMorgan Mtg Acquisition Corp. Series 2005-FRE1 Class A2V3, 1 month U.S. LIBOR + 0.330% 2.3948% 10/25/35 (b)(d) | 6,975,078 | 6,977,221 | |
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 3.487% 3/27/42 (b)(d) | 406,000 | 317,576 | |
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (a) | 13,580,000 | 13,589,579 | |
Mercedes-Benz Master Owner Trust Series 2018-AA Class A, 1 month U.S. LIBOR + 0.260% 2.3227% 5/16/22 (a)(b)(d) | 2,700,000 | 2,699,543 | |
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 2.3548% 8/25/36 (b)(d) | 899,362 | 899,569 | |
Nationstar HECM Loan Trust: | |||
Series 2017-1A Class A, 1.9679% 5/25/27 (a) | 2,276,386 | 2,271,478 | |
Series 2017-2A Class A1, 2.0383% 9/25/27 (a) | 3,349,501 | 3,338,497 | |
Series 2018-1A Class A, 2.76% 2/25/28 (a) | 4,776,407 | 4,775,695 | |
Series 2018-2A Class A, 3.1877% 7/25/28 (a) | 5,946,956 | 5,946,954 | |
Navient Student Loan Trust Series 2015-2 Class A2, 1 month U.S. LIBOR + 0.420% 2.4848% 8/27/29 (b)(d) | 4,262,370 | 4,265,666 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.5748% 9/25/35 (b)(d) | 202,046 | 201,507 | |
OneMain Financial Issuance Trust Series 2016-2A Class A, 4.1% 3/20/28 (a) | 6,059,930 | 6,096,228 | |
Permanent Master Issuer PLC Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.7468% 7/15/58 (a)(b)(d) | 10,927,000 | 10,893,749 | |
Prosper Marketplace Issuance Trust: | |||
Series 2018-1A Class A, 3.11% 6/17/24 (a) | 3,130,792 | 3,132,129 | |
Series 2018-2A Class A, 3.35% 10/15/24 (a) | 5,500,000 | 5,499,796 | |
Securitized Term Auto Receivables Trust Series 2018-1A Class A3, 3.068% 1/25/22 (a) | 8,580,000 | 8,575,135 | |
SLM Student Loan Trust: | |||
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 2.8106% 12/15/27 (a)(b)(d) | 5,072,813 | 5,091,153 | |
Series 2004-1 Class A4, 3 month U.S. LIBOR + 0.260% 2.5953% 10/27/25 (b)(d) | 3,999,000 | 3,999,887 | |
Series 2006-5 Class A5, 3 month U.S. LIBOR + 0.110% 2.4453% 1/25/27 (b)(d) | 1,170,776 | 1,169,138 | |
Series 2007-01 Class A5, 3 month U.S. LIBOR + 0.090% 2.4253% 1/26/26 (b)(d) | 1,100,436 | 1,097,475 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.9248% 9/25/34 (b)(d) | 3,983 | 3,976 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a) | 8,917,000 | 8,979,553 | |
Towd Point Mortgage Trust Series 2018-3 Class A1, 3.75% 5/25/58 (a) | 8,263,065 | 8,286,340 | |
Volvo Financial Equipment Master Owner Trust Series 2018-A Class A, 1 month U.S. LIBOR + 0.500% 2.5827% 7/17/23 (a)(b)(d) | 8,000,000 | 8,022,500 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $247,535,137) | 247,641,561 | ||
Collateralized Mortgage Obligations - 0.3% | |||
Private Sponsor - 0.1% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 2.2036% 6/27/36 (a)(b)(d) | 1,523,132 | 1,485,164 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 4.015% 12/26/35 (a)(b) | 139,231 | 139,197 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) | 1,121,367 | 1,121,057 | |
Series 2012-RR5 Class 8A5, 2.2863% 7/26/36 (a)(b) | 254,588 | 250,409 | |
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.1137% 1/25/37 (a)(b) | 337,865 | 342,961 | |
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (a) | 1,220,333 | 1,216,244 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.3436% 5/27/37 (a)(b)(d) | 800,358 | 766,651 | |
CSMC Trust Series 2009-5R Class 2A2, 3.9325% 6/25/36 (a)(b) | 116,201 | 116,049 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 2,566,725 | 2,541,389 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.5612% 10/15/54 (a)(b)(d) | 8,505,000 | 8,497,235 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.291% 6/21/36 (a)(b)(d) | 823,764 | 814,785 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.2336% 2/25/37 (b)(d) | 34,347 | 33,913 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.3548% 7/25/35 (b)(d) | 41,173 | 40,854 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.3769% 7/20/34 (b)(d) | 2,290 | 2,270 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 2.7048% 9/25/43 (b)(d) | 3,591,589 | 3,576,299 | |
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR2 Class 3A1, 3.8726% 3/25/35 (b) | 2,001,811 | 2,038,427 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 3.7631% 6/27/36 (a)(b) | 194,810 | 193,596 | |
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) | 1,283,329 | 1,271,388 | |
TOTAL PRIVATE SPONSOR | 24,447,888 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,822,478 | 1,732,438 | |
Class GA, 1.75% 6/25/42 | 1,823,345 | 1,731,278 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 325,235 | 358,603 | |
Series 2007-75 Class JI, 6.545% - 1 month U.S. LIBOR 4.4803% 8/25/37 (b)(h)(i) | 1,421,683 | 210,546 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 1,049,079 | 1,092,295 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,128,704 | 1,200,928 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,259,725 | 2,426,782 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 484,558 | 534,193 | |
Series 2012-100 Class WI, 3% 9/25/27 (h) | 964,009 | 87,573 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.5853% 12/25/30 (b)(h)(i) | 344,203 | 36,248 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.4853% 6/25/41 (b)(h)(i) | 445,950 | 55,898 | |
Series 2013-133 Class IB, 3% 4/25/32 (h) | 666,203 | 60,437 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.9853% 1/25/44 (b)(h)(i) | 342,670 | 49,599 | |
Series 2013-51 Class GI, 3% 10/25/32 (h) | 1,186,447 | 113,818 | |
Series 2015-42 Class IL, 6% 6/25/45 (h) | 1,514,408 | 336,201 | |
Series 2015-70 Class JC, 3% 10/25/45 | 1,233,566 | 1,219,900 | |
Series 2017-30 Class AI, 5.5% 5/25/47 | 788,928 | 174,161 | |
Freddie Mac: | |||
planned amortization class Series 4135 Class AB, 1.75% 6/15/42 | 1,364,350 | 1,296,639 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 903,000 | 998,470 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,611,709 | 1,592,611 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 644,736 | 722,145 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 460,493 | 507,163 | |
Series 3237 Class C, 5.5% 11/15/36 | 664,727 | 723,893 | |
Series 3955 Class YI, 3% 11/15/21 (h) | 221,751 | 7,317 | |
Series 3980 Class EP, 5% 1/15/42 | 4,346,931 | 4,624,247 | |
Series 4055 Class BI, 3.5% 5/15/31 (h) | 604,903 | 62,862 | |
Series 4149 Class IO, 3% 1/15/33 (h) | 526,480 | 64,860 | |
Series 4314 Class AI, 5% 3/15/34 (h) | 222,129 | 21,612 | |
Series 4427 Class LI, 3.5% 2/15/34 (h) | 1,053,732 | 136,066 | |
Series 4471 Class PA 4% 12/15/40 | 1,338,281 | 1,365,459 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 1,183,630 | 1,217,602 | |
Freddie Mac Seasoned Credit Risk Transfer Series: | |||
sequential payer: | |||
Series 2017-1 Class MA, 3% 1/25/56 | 3,812,732 | 3,701,227 | |
Series 2018-2 Class MA, 3.5% 11/25/57 | 1,024,680 | 1,021,683 | |
Series 2018-3 Class MA, 3.5% 8/25/57 | 18,699,655 | 18,600,836 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 3,944,620 | 4,006,546 | |
Freddie Mac SLST sequential payer Series 2018-1: | |||
Class A1, 3.5% 6/25/28 | 1,916,049 | 1,917,314 | |
Class A2, 3.5% 6/25/28 | 460,000 | 453,779 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.4799% 12/20/60 (b)(d)(j) | 1,216,146 | 1,216,006 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.6499% 9/20/61 (b)(d)(j) | 6,077,852 | 6,104,139 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 2.6199% 8/20/62 (b)(d)(j) | 1,295,751 | 1,300,500 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.7499% 5/20/61 (b)(d)(j) | 109,162 | 109,386 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 2.6999% 8/20/63 (b)(d)(j) | 3,509,423 | 3,525,506 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.8452% 12/20/40 (b)(i) | 1,187,000 | 1,204,918 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,670,925 | 1,603,408 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 3,237,042 | 3,338,121 | |
Series 2010-170 Class B, 4% 12/20/40 | 730,409 | 753,225 | |
Series 2010-116 Class QB, 4% 9/16/40 | 5,053,650 | 5,198,947 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 3.8865% 2/16/40 (b)(h)(i) | 762,417 | 89,254 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.0226% 7/20/41 (b)(h)(i) | 240,739 | 34,187 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 3,910,833 | 3,799,254 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (j) | 3,613,155 | 3,595,007 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (j) | 2,885,913 | 2,871,234 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.68% 8/20/66 (b)(d)(j) | 4,584,698 | 4,591,270 | |
TOTAL U.S. GOVERNMENT AGENCY | 93,797,591 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $119,752,161) | 118,245,479 | ||
Commercial Mortgage Securities - 0.7% | |||
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (a) | 5,043,824 | 5,049,072 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.400% 2.4648% 11/25/35 (a)(b)(d) | 31,380 | 30,324 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 2.4548% 1/25/36 (a)(b)(d) | 79,236 | 74,396 | |
Class M1, 1 month U.S. LIBOR + 0.450% 2.5148% 1/25/36 (a)(b)(d) | 25,575 | 23,855 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 2.3348% 12/25/36 (a)(b)(d) | 214,617 | 203,414 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 2.3348% 3/25/37 (a)(b)(d) | 47,985 | 44,606 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 2.3348% 7/25/37 (a)(b)(d) | 139,899 | 134,638 | |
Class A2, 1 month U.S. LIBOR + 0.320% 2.3848% 7/25/37 (a)(b)(d) | 130,982 | 128,371 | |
Class M1, 1 month U.S. LIBOR + 0.370% 2.4348% 7/25/37 (a)(b)(d) | 44,583 | 41,475 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 2.3548% 7/25/37 (a)(b)(d) | 47,121 | 44,104 | |
Class M1, 1 month U.S. LIBOR + 0.310% 2.3748% 7/25/37 (a)(b)(d) | 24,972 | 23,024 | |
Class M2, 1 month U.S. LIBOR + 0.340% 2.4048% 7/25/37 (a)(b)(d) | 26,709 | 24,112 | |
Class M3, 1 month U.S. LIBOR + 0.370% 2.4348% 7/25/37 (a)(b)(d) | 42,778 | 36,993 | |
Class M4, 1 month U.S. LIBOR + 0.500% 2.5648% 7/25/37 (a)(b)(d) | 67,533 | 56,684 | |
Class M5, 1 month U.S. LIBOR + 0.600% 2.6648% 7/25/37 (a)(b)(d) | 25,504 | 24,727 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,712,214 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,438,748 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 4,000,000 | 3,866,516 | |
Series 2015-GC27 Class A5, 3.137% 2/10/48 | 1,000,000 | 978,709 | |
Series 2015-GC29 Class XA, 1.2468% 4/10/48 (b)(h) | 37,607,018 | 1,922,396 | |
Series 2015-GC33 Class XA, 1.1007% 9/10/58 (b)(h) | 19,587,930 | 959,481 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,610,158 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,464,429 | |
Series 2016-P6 Class XA, 0.9648% 12/10/49 (b)(h) | 17,687,004 | 753,320 | |
Series 2017-P8 Class A3, 3.203% 9/15/50 | 4,700,000 | 4,519,342 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) | 1,700,000 | 1,674,873 | |
Series 2015-DC1 Class A5, 3.35% 2/10/48 | 3,800,000 | 3,759,583 | |
Series 2014-CR17 Class XA, 1.2424% 5/10/47 (b)(h) | 23,749,530 | 950,793 | |
Series 2014-CR19 Class XA, 1.3479% 8/10/47 (b)(h) | 30,526,498 | 1,320,802 | |
Series 2014-CR20 Class XA, 1.2857% 11/10/47 (b)(h) | 20,983,667 | 1,001,208 | |
Series 2014-CR21 Class A2, 3.095% 12/10/47 | 520,000 | 520,956 | |
Series 2014-LC17 Class XA, 1.075% 10/10/47 (b)(h) | 56,928,132 | 1,705,294 | |
Series 2014-UBS4 Class XA, 1.3524% 8/10/47 (b)(h) | 24,416,019 | 1,136,602 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 3,927,114 | |
Class XA, 1.1123% 12/10/47 (b)(h) | 12,180,235 | 507,662 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,465,157 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,500,000 | 1,493,245 | |
Series 2015-DC1 Class XA, 1.2777% 2/10/48 (b)(h) | 31,646,929 | 1,507,571 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,900,000 | 1,914,974 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 2,800,000 | 2,715,809 | |
Fannie Mae: | |||
Series 2017-M1 Class A2, 2.4978% 10/25/26 (b) | 2,300,000 | 2,150,858 | |
Series 2017-T1 Class A, 2.898% 6/25/27 | 9,578,355 | 9,115,620 | |
Freddie Mac: | |||
floater: | |||
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 2.3014% 7/25/20 (b)(d) | 2,700,000 | 2,701,487 | |
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 2.2814% 10/25/19 (b)(d) | 5,400,000 | 5,400,617 | |
sequential payer: | |||
Series 2017-K066 Class A2, 3.117% 6/25/27 | 2,900,000 | 2,849,718 | |
Series K063 Class A1, 3.045% 8/25/26 | 4,700,546 | 4,680,564 | |
Series K069 Class A2, 3.187% 9/25/27 | 3,300,000 | 3,252,459 | |
Series K072 Class A2, 3.444% 12/25/27 | 800,000 | 801,793 | |
Series K073 Class A2, 3.35% 1/25/28 | 7,500,000 | 7,460,750 | |
Series K155: | |||
Class A1, 3.75% 11/25/29 | 218,849 | 223,889 | |
Class A2, 3.75% 11/25/32 | 3,300,000 | 3,356,363 | |
Series 2018-K075 Class A2, 3.65% 2/25/28 | 7,790,000 | 7,928,500 | |
Series K076: | |||
Class A2, 3.9% 6/25/51 | 11,300,000 | 11,729,871 | |
Class AM, 3.9% 6/25/51 | 2,125,000 | 2,190,557 | |
Series K077: | |||
Class A2, 3.85% 5/25/28 | 9,442,000 | 9,764,806 | |
Class AM, 3.85% 5/25/28 | 660,000 | 676,125 | |
Series K079: | |||
Class A1, 3.729% 2/25/28 | 1,463,000 | 1,502,311 | |
Class A2, 3.926% 6/25/28 | 11,784,000 | 12,254,416 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/28 | 4,400,000 | 4,548,522 | |
GAHR Commercial Mortgage Trust: | |||
floater Series 2015-NRF Class AFL1, 1 month U.S. LIBOR + 1.300% 3.622% 12/15/34 (a)(b)(d) | 1,182,680 | 1,183,053 | |
Series 2015-NRF Class AFX, 3.2349% 12/15/34 (a) | 2,300,000 | 2,303,197 | |
GS Mortgage Securities Trust: | |||
sequential payer Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,000,000 | 998,440 | |
Series 2013-GC12 Class XA, 1.5764% 6/10/46 (b)(h) | 5,705,259 | 304,146 | |
Series 2014-GC18, 2.924% 1/10/47 | 610,807 | 610,861 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 2,000,000 | 1,953,528 | |
Series 2015-GC34 Class XA, 1.5007% 10/10/48 (b)(h) | 6,171,080 | 424,687 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-C21: | |||
Class A3, 3.4353% 8/15/47 (a) | 1,900,000 | 1,895,694 | |
Class A5, 3.7748% 8/15/47 | 9,000,000 | 9,167,787 | |
Series 2014-C19 Class XA, 1.2877% 4/15/47 (b)(h) | 6,306,040 | 124,546 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 1,904,527 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2007-CB19: | |||
Class B, 6.0124% 2/12/49 (b) | 24,000 | 9,699 | |
Class C, 6.0124% 2/12/49 (b) | 20,068 | 1,008 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (a) | 2,700,000 | 2,790,239 | |
Class CFX, 4.9498% 7/5/33 (a) | 919,000 | 950,460 | |
Class DFX, 5.3503% 7/5/33 (a) | 1,414,000 | 1,463,568 | |
Class EFX, 5.5422% 7/5/33 (a) | 1,934,000 | 1,977,395 | |
Class XAFX, 1.2948% 7/5/33 (a)(b)(h) | 10,000,000 | 498,387 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2014-C16 Class A3, 3.592% 6/15/47 | 2,600,000 | 2,623,123 | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,900,000 | 3,799,616 | |
Series 2014-C14 Class A2, 2.916% 2/15/47 | 1,122,289 | 1,122,163 | |
Series 2014-C17 Class A2, 3.119% 8/15/47 | 1,698,214 | 1,700,843 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 2,769,679 | |
Class XA, 1.2761% 10/15/48 (b)(h) | 11,087,648 | 643,359 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,143,595 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,040,039 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 2.95% 6/15/35 (a)(b)(d) | 7,150,000 | 7,150,071 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 2,996,198 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 1,957,983 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.4596% 11/15/34 (a)(b) | 4,289,649 | 4,185,003 | |
Class B, 4.181% 11/15/34 (a) | 1,796,900 | 1,769,097 | |
Class C, 5.205% 11/15/34 (a) | 1,260,550 | 1,257,056 | |
RETL floater Series 2018-RVP Class A, 1 month U.S. LIBOR + 1.100% 3.1627% 3/15/33 (a)(b)(d) | 10,319,039 | 10,354,439 | |
UBS Commercial Mortgage Trust: | |||
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,315,666 | |
Series 2017-C7 Class XA, 1.2269% 12/15/50 (b)(h) | 17,804,296 | 1,286,629 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,244,093 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,388,883 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.8534% 4/10/46 (a)(b)(d) | 5,423,000 | 5,506,065 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2015-C31 Class XA, 1.2343% 11/15/48 (b)(h) | 7,513,287 | 440,424 | |
Series 2017-C42 Class XA, 1.0451% 12/15/50 (b)(h) | 35,907,644 | 2,393,729 | |
Series 2018-C46 Class XA, 1.1169% 8/15/51 (b)(h) | 13,193,000 | 857,180 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.78% 6/15/46 (a)(b)(d) | 5,449,087 | 5,466,255 | |
sequential payer Series 2013-C11 Class A4, 3.037% 3/15/45 | 365,000 | 362,198 | |
Series 2014-C24 Class XA, 1.0309% 11/15/47 (b)(h) | 7,129,700 | 278,372 | |
Series 2014-LC14 Class XA, 1.4573% 3/15/47 (b) | 12,861,879 | 541,326 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $259,924,358) | 256,510,283 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,470,000 | 4,812,786 | |
California Gen. Oblig.: | |||
6.2% 3/1/19 | $1,340,000 | $1,363,973 | |
7.5% 4/1/34 | 630,000 | 885,270 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 59,466 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 88,892 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 7,660,000 | 7,832,733 | |
5.1% 6/1/33 | 22,090,000 | 21,319,059 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,091,541 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,693,280 | |
7.35% 7/1/35 | 4,655,000 | 5,173,381 | |
Series 2010-5, 6.2% 7/1/21 | 1,437,000 | 1,491,204 | |
Series 2011, 5.877% 3/1/19 | 11,620,000 | 11,769,317 | |
Series 2013, 3.6% 12/1/19 | 2,105,000 | 2,100,411 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 235,976 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2009 B, 5.888% 7/1/43 | 50,000 | 63,885 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 186,567 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,265,000 | 1,831,973 | |
Series 2010 A, 7.102% 1/1/41 | 1,675,000 | 2,353,375 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 32,571 | |
New York City Transitional Fin. Auth. Rev. Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,068,948 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 625,000 | 715,731 | |
Series 2011 A, 4.8% 6/1/11 | 1,528,000 | 1,638,062 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 600,000 | 637,920 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 765,000 | 878,059 | |
Univ. of California Revs. Series 2009 R, 5.77% 5/15/43 | 60,000 | 73,742 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $73,946,082) | 73,398,122 | ||
Foreign Government and Government Agency Obligations - 0.0% | |||
Chilean Republic 3.875% 8/5/20 | $800,000 | $813,320 | |
Colombian Republic 5% 6/15/45 | 965,000 | 971,031 | |
Indonesian Republic 3.5% 1/11/28 | 1,605,000 | 1,502,965 | |
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 | 180,000 | 202,367 | |
4% 6/30/22 | 1,700,000 | 1,739,355 | |
Panamanian Republic 4.5% 4/16/50 | 400,000 | 399,000 | |
Province of Quebec yankee 7.125% 2/9/24 | 1,830,000 | 2,169,300 | |
United Mexican States 4.75% 3/8/44 | 4,500,000 | 4,299,750 | |
Uruguay Republic 4.975% 4/20/55 | 455,000 | 458,413 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $13,230,987) | 12,555,501 | ||
Bank Notes - 0.1% | |||
Capital One NA 2.95% 7/23/21 | 5,551,000 | 5,467,846 | |
Citizens Bank NA 2.3% 12/3/18 | 3,955,000 | 3,953,518 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | $6,369,000 | $6,310,212 | |
3.1% 6/4/20 | 6,744,000 | 6,715,743 | |
4.682% 8/9/28 (b) | 3,503,000 | 3,501,249 | |
8.7% 11/18/19 | 357,000 | 377,906 | |
KeyBank NA 2.25% 3/16/20 | 505,000 | 498,920 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,805,710 | |
TOTAL BANK NOTES | |||
(Cost $32,826,768) | 32,631,104 | ||
Shares | Value | ||
Fixed-Income Funds - 76.6% | |||
Bank Loan Funds - 0.7% | |||
Eaton Vance Floating-Rate Fund - Advisers Class | 27,865,715 | $252,742,036 | |
High Yield Fixed-Income Funds - 0.0% | |||
Stone Harbor Emerging Markets Debt Fund | 2,411,586 | 22,861,834 | |
Inflation-Protected Bond Funds - 2.0% | |||
Fidelity Inflation-Protected Bond Index Fund Institutional Premium Class (k) | 77,244,464 | 759,313,081 | |
Intermediate Government Funds - 4.5% | |||
Fidelity Intermediate Treasury Bond Index Fund Institutional Premium Class (k) | 21,504,330 | 223,645,033 | |
Fidelity SAI U.S. Treasury Bond Index Fund (k) | 154,769,158 | 1,482,688,534 | |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | 1,706,333,567 | ||
Intermediate-Term Bond Funds - 69.4% | |||
Baird Short-Term Bond Fund - Institutional Class | 41,108,652 | 448,495,397 | |
DoubleLine Total Return Bond Fund Class N | 94,254,403 | 980,245,794 | |
Fidelity Total Bond Fund (k) | 612,028,852 | 6,352,859,486 | |
Fidelity U.S. Bond Index Fund Institutional Premium Class (k) | 149,289 | 1,680,998 | |
iShares Core U.S. Aggregate Bond ETF | 3,658,886 | 389,342,059 | |
JPMorgan Core Bond Fund Select Class | 19,358,966 | 218,175,543 | |
Metropolitan West Total Return Bond Fund Class M | 195,605,866 | 2,036,257,061 | |
PIMCO Income Fund Institutional Class | 99,561,559 | 1,186,773,788 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 68,766,203 | 755,740,571 | |
PIMCO Total Return Fund Institutional Class | 671,081,190 | 6,704,101,081 | |
Prudential Total Return Bond Fund Class A | 125,663,876 | 1,775,630,567 | |
Voya Intermediate Bond Fund Class I | 89,571,260 | 877,798,347 | |
Westcore Plus Bond Fund Retail Class | 23,227,134 | 242,026,732 | |
Western Asset Core Bond Fund Class I | 132,786,378 | 1,635,928,172 | |
Western Asset Core Plus Bond Fund Class I | 255,752,342 | 2,887,443,946 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 26,492,499,542 | ||
TOTAL FIXED-INCOME FUNDS | |||
(Cost $30,106,957,749) | 29,233,750,060 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Barclays Bank PLC 7.625% 11/21/22 | |||
(Cost $29,654,851) | 24,912,000 | 27,545,864 | |
Shares | Value | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 1.97% (l) | 360,086,382 | 360,158,399 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (m) | 77,337,642 | 77,337,642 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $437,491,863) | 437,496,041 | ||
TOTAL INVESTMENT IN SECURITIES - 101.3% | |||
(Cost $39,573,305,640) | 38,625,587,589 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (481,571,534) | ||
NET ASSETS - 100% | $38,144,016,055 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
2.5% 9/1/33 | $(1,400,000) | $(1,361,222) |
3% 9/1/33 | (4,700,000) | (4,671,904) |
3% 9/1/33 | (4,700,000) | (4,671,904) |
3% 9/1/33 | (4,700,000) | (4,671,904) |
3% 9/1/33 | (6,300,000) | (6,262,339) |
3% 9/1/33 | (3,575,000) | (3,553,629) |
3% 9/1/33 | (3,600,000) | (3,578,480) |
3% 9/1/33 | (3,550,000) | (3,528,778) |
3% 9/1/33 | (4,775,000) | (4,746,456) |
3.5% 9/1/48 | (900,000) | (894,617) |
3.5% 9/1/48 | (8,100,000) | (8,051,549) |
4% 9/1/48 | (2,600,000) | (2,646,788) |
4% 9/1/48 | (1,800,000) | (1,832,391) |
4% 9/1/48 | (250,000) | (254,499) |
4.5% 9/1/48 | (11,700,000) | (12,148,276) |
4.5% 9/1/48 | (6,700,000) | (6,956,705) |
4.5% 9/1/48 | (10,000,000) | (10,383,142) |
4.5% 9/1/48 | (11,950,000) | (12,407,855) |
4.5% 9/1/48 | (4,750,000) | (4,931,992) |
TOTAL FANNIE MAE | (97,554,430) | |
Ginnie Mae | ||
3.5% 9/1/48 | (14,700,000) | (14,473,136) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $112,297,582) | $(112,297,566) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 77 | Dec. 2018 | $11,104,844 | $(53,705) | $(53,705) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 7 | Dec. 2018 | 841,859 | 1,627 | 1,627 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 255 | Dec. 2018 | 53,896,641 | 23,419 | 23,419 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 30 | Dec. 2018 | 3,401,953 | 4,649 | 4,649 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 264 | Dec. 2018 | 33,804,375 | 11,818 | 11,818 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 6 | Dec. 2018 | 955,875 | 6,174 | 6,174 |
TOTAL FUTURES CONTRACTS | $(6,018) |
The notional amount of futures purchased as a percentage of Net Assets is 0.0%
The notional amount of futures sold as a percentage of Net Assets is 0.2%
Swaps
Underlying Reference | Rating | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Buy Protection | |||||||||
Deutsche Bank AG | Dec. 2018 | Credit Suisse International | (1%) | Quarterly | $2,000,000 | $(5,819) | $(6,215) | $(12,034) | |
Deutsche Bank AG | Mar. 2019 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | 1,655,634 | (6,038) | (10,455) | (16,493) | |
National Australia Bank Ltd | Dec. 2018 | Credit Suisse International | (1%) | Quarterly | 2,000,000 | (9,114) | (10,315) | (19,429) | |
National Australia Bank Ltd | Dec. 2018 | Credit Suisse International | (1%) | Quarterly | 2,000,000 | (9,114) | (8,863) | (17,977) | |
TOTAL CREDIT DEFAULT SWAPS | $(30,085) | $(35,848) | $(65,933) | ||||||
Security Type Abbreviations
ETF – Exchange-Traded Fund
Percentages shown as 0.0% in the Schedule of Investments may reflect amounts less than 0.05%.
Legend
(a) 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 $375,495,672 or 1.0% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Non-income producing - Security is in default.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(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 $461,808.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) A portion of the security sold on a delayed delivery basis.
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i) 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.
(j) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(k) Affiliated Fund
(l) 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.
(m) 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 Cash Central Fund | $2,235,183 |
Total | $2,235,183 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Inflation-Protected Bond Index Fund Institutional Premium Class | $780,069,180 | $92,407,416 | $128,140,215 | $1,189,965 | $(2,363,410) | $17,340,110 | $759,313,081 |
Fidelity Intermediate Treasury Bond Index Fund Institutional Premium Class | -- | 331,434,487 | 108,847,660 | 2,888,455 | 199,772 | 858,434 | 223,645,033 |
Fidelity SAI U.S. Treasury Bond Index Fund | 862,301,413 | 758,466,137 | 141,427,237 | 11,878,293 | (1,620,302) | 4,968,523 | 1,482,688,534 |
Fidelity Total Bond Fund | 6,216,815,665 | 287,766,407 | 128,140,215 | 86,300,897 | (1,200,061) | (22,382,310) | 6,352,859,486 |
Fidelity U.S. Bond Index Fund Institutional Premium Class | 138,747,950 | 353,828 | 137,628,897 | 353,829 | 1,549,783 | (1,341,666) | 1,680,998 |
Total | $7,997,934,208 | $1,470,428,275 | $644,184,224 | $102,611,439 | $(3,434,218) | $(556,909) | $8,820,187,132 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $2,348,050,142 | $-- | $2,348,050,142 | $-- |
U.S. Government and Government Agency Obligations | 3,074,824,117 | -- | 3,074,824,117 | -- |
U.S. Government Agency - Mortgage Securities | 2,762,939,315 | -- | 2,762,939,315 | -- |
Asset-Backed Securities | 247,641,561 | -- | 247,641,561 | -- |
Collateralized Mortgage Obligations | 118,245,479 | -- | 118,245,479 | -- |
Commercial Mortgage Securities | 256,510,283 | -- | 256,510,283 | -- |
Municipal Securities | 73,398,122 | -- | 73,398,122 | -- |
Foreign Government and Government Agency Obligations | 12,555,501 | -- | 12,555,501 | -- |
Bank Notes | 32,631,104 | -- | 32,631,104 | -- |
Fixed-Income Funds | 29,233,750,060 | 29,233,750,060 | -- | -- |
Preferred Securities | 27,545,864 | -- | 27,545,864 | -- |
Money Market Funds | 437,496,041 | 437,496,041 | -- | -- |
Total Investments in Securities: | $38,625,587,589 | $29,671,246,101 | $8,954,341,488 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $47,687 | $47,687 | $-- | $-- |
Total Assets | $47,687 | $47,687 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(53,705) | $(53,705) | $-- | $-- |
Swaps | (30,085) | -- | (30,085) | -- |
Total Liabilities | $(83,790) | $(53,705) | $(30,085) | $-- |
Total Derivative Instruments: | $(36,103) | $(6,018) | $(30,085) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(112,297,566) | $-- | $(112,297,566) | $-- |
Total Other Financial Instruments: | $(112,297,566) | $-- | $(112,297,566) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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 | |
Credit Risk | ||
Swaps(a) | $0 | $(30,085) |
Total Credit Risk | 0 | (30,085) |
Interest Rate Risk | ||
Futures Contracts(b) | 47,687 | (53,705) |
Total Interest Rate Risk | 47,687 | (53,705) |
Total Value of Derivatives | $47,687 | $(83,790) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) 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
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $30,169,070,548) | $29,445,242,058 | |
Fidelity Central Funds (cost $360,154,221) | 360,158,399 | |
Other affiliated issuers (cost $9,044,080,871) | 8,820,187,132 | |
Total Investment in Securities (cost $39,573,305,640) | $38,625,587,589 | |
Cash | 1,573,371 | |
Receivable for investments sold | ||
Regular delivery | 490,989 | |
Delayed delivery | 17,826,025 | |
Receivable for TBA sale commitments | 112,297,582 | |
Receivable for fund shares sold | 14,595,761 | |
Dividends receivable | 970,675 | |
Interest receivable | 55,952,984 | |
Distributions receivable from Fidelity Central Funds | 640,956 | |
Prepaid expenses | 123,803 | |
Other receivables | 582,945 | |
Total assets | 38,830,642,680 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $38,571,665 | |
Delayed delivery | 520,121,954 | |
TBA sale commitments, at value | 112,297,566 | |
Payable for fund shares redeemed | 13,267,596 | |
Distributions payable | 89,972 | |
Bi-lateral OTC swaps, at value | 30,085 | |
Accrued management fee | 907,494 | |
Payable for daily variation margin on futures contracts | 47,781 | |
Other affiliated payables | 186,702 | |
Other payables and accrued expenses | 1,105,810 | |
Total liabilities | 686,626,625 | |
Net Assets | $38,144,016,055 | |
Net Assets consist of: | ||
Paid in capital | $39,220,617,592 | |
Undistributed net investment income | 49,307,809 | |
Accumulated undistributed net realized gain (loss) on investments | (178,119,360) | |
Net unrealized appreciation (depreciation) on investments | (947,789,986) | |
Net Assets, for 3,690,862,859 shares outstanding | $38,144,016,055 | |
Net Asset Value, offering price and redemption price per share ($38,144,016,055 ÷ 3,690,862,859 shares) | $10.33 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $325,837,496 | |
Affiliated issuers | 102,611,439 | |
Interest | 138,613,018 | |
Income from Fidelity Central Funds | 2,235,183 | |
Total income | 569,297,136 | |
Expenses | ||
Management fee | $51,694,141 | |
Transfer agent fees | 2,142,721 | |
Accounting fees and expenses | 1,110,477 | |
Custodian fees and expenses | 114,549 | |
Independent trustees' fees and expenses | 225,908 | |
Registration fees | 623,219 | |
Audit | 34,897 | |
Legal | 58,365 | |
Miscellaneous | 187,948 | |
Total expenses before reductions | 56,192,225 | |
Expense reductions | (46,383,300) | |
Total expenses after reductions | 9,808,925 | |
Net investment income (loss) | 559,488,211 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (79,660,571) | |
Fidelity Central Funds | (247) | |
Other affiliated issuers | (3,434,218) | |
Futures contracts | 151,605 | |
Swaps | (100,325) | |
Total net realized gain (loss) | (83,043,756) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (129,630,351) | |
Affiliated issuers | (556,909) | |
Futures contracts | (13,925) | |
Swaps | 96,233 | |
Delayed delivery commitments | 105,374 | |
Total change in net unrealized appreciation (depreciation) | (129,999,578) | |
Net gain (loss) | (213,043,334) | |
Net increase (decrease) in net assets resulting from operations | $346,444,877 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $559,488,211 | $856,904,186 |
Net realized gain (loss) | (83,043,756) | (15,924,968) |
Change in net unrealized appreciation (depreciation) | (129,999,578) | (414,839,978) |
Net increase (decrease) in net assets resulting from operations | 346,444,877 | 426,139,240 |
Distributions to shareholders from net investment income | (486,113,478) | (861,436,736) |
Distributions to shareholders from net realized gain | (20,702,912) | (44,962,492) |
Total distributions | (506,816,390) | (906,399,228) |
Share transactions | ||
Proceeds from sales of shares | 5,595,952,300 | 10,565,604,910 |
Reinvestment of distributions | 506,250,706 | 905,427,731 |
Cost of shares redeemed | (3,503,959,762) | (5,434,835,758) |
Net increase (decrease) in net assets resulting from share transactions | 2,598,243,244 | 6,036,196,883 |
Total increase (decrease) in net assets | 2,437,871,731 | 5,555,936,895 |
Net Assets | ||
Beginning of period | 35,706,144,324 | 30,150,207,429 |
End of period | $38,144,016,055 | $35,706,144,324 |
Other Information | ||
Undistributed net investment income end of period | $49,307,809 | $– |
Distributions in excess of net investment income end of period | $– | $(24,066,924) |
Shares | ||
Sold | 540,962,280 | 998,968,164 |
Issued in reinvestment of distributions | 48,959,803 | 85,598,982 |
Redeemed | (338,409,977) | (515,670,418) |
Net increase (decrease) | 251,512,106 | 568,896,728 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.38 | $10.50 | $10.40 | $10.78 | $10.61 | $10.87 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .156 | .270 | .300 | .316 | .315 | .267 |
Net realized and unrealized gain (loss) | (.065) | (.106) | .174 | (.366) | .177 | (.224) |
Total from investment operations | .091 | .164 | .474 | (.050) | .492 | .043 |
Distributions from net investment income | (.135) | (.270) | (.297) | (.322) | (.313) | (.263) |
Distributions from net realized gain | (.006) | (.014) | (.077) | (.008) | (.009) | (.040) |
Total distributions | (.141) | (.284) | (.374) | (.330) | (.322) | (.303) |
Net asset value, end of period | $10.33 | $10.38 | $10.50 | $10.40 | $10.78 | $10.61 |
Total ReturnC,D | .89% | 1.54% | 4.60% | (.45)% | 4.71% | .43% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .30%G | .31% | .31% | .31% | .32% | .33% |
Expenses net of fee waivers, if any | .05%G | .06% | .06% | .06% | .07% | .08% |
Expenses net of all reductions | .05%G | .06% | .06% | .06% | .07% | .08% |
Net investment income (loss) | 2.99%G | 2.55% | 2.84% | 3.00% | 2.95% | 2.52% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $38,144,016 | $35,706,144 | $30,150,207 | $26,817,412 | $19,529,276 | $16,679,226 |
Portfolio turnover rateH | 49%G | 45% | 52% | 69% | 120% | 78% |
A For the year ended February 29.
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 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 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.
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 August 31, 2018
1. Organization.
Strategic Advisers Core Income 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 certain clients of Strategic Advisers LLC. (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, preferred securities, and 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. 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. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps 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 August 31, 2018 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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), certain independent Trustees have elected 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 of $545,078 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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, swaps, market discount, deferred trustees compensation, and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $163,688,364 |
Gross unrealized depreciation | (1,154,543,279) |
Net unrealized appreciation (depreciation) | $(990,854,915) |
Tax cost | $39,616,370,569 |
The Fund elected to defer to its next fiscal year approximately $32,383,970 of capital losses recognized during the period November 1, 2017 to February 28, 2018.
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.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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 and swaps. 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, to gain exposure to certain types of assets, 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 risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, 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 are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the 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) |
Credit Risk | ||
Swaps | $(100,325) | $96,233 |
Interest Rate Risk | ||
Futures Contracts | 151,605 | (13,925) |
Totals | $51,280 | $82,308 |
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 bond market and fluctuations in interest rates.
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.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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 $4,315,677,705 and $1,552,001,682, 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 .60% 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 PGIM, 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. Effective July 1, 2018, transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018, FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid 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 .01% of average net assets.
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. For the period, the fees were equivalent to an annualized rate of .01%.
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 $1,651 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 $50,562 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. 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, 2021. During the period, this waiver reduced the Fund's management fee by $46,312,817.
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 $60,486 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 $9,997.
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.
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 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity Inflation-Protected Bond Index Fund | 13% |
Fidelity SAI U.S. Treasury Bond Index Fund | 65% |
Fidelity Total Bond Fund | 20% |
Fidelity Intermediate Bond Index Fund | 11% |
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 (March 1, 2018 to August 31, 2018).
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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .05% | $1,000.00 | $1,008.90 | $.25 |
Hypothetical-C | $1,000.00 | $1,024.95 | $.26 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SSC-SANN-1018
1.912889.108
Strategic Advisers® Core Income Multi-Manager Fund Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(by issuer, excluding cash equivalents) | % of fund's net assets |
Western Asset Core Plus Bond Fund | 39.6 |
PIMCO Short-Term Fund | 24.3 |
Metropolitan West Funds | 20.2 |
U.S. Treasury Obligations | 5.7 |
Fannie Mae | 2.0 |
Freddie Mac | 1.0 |
Ginnie Mae | 0.8 |
Royal Bank of Scotland Group PLC | 0.4 |
Illinois Gen. Oblig. | 0.4 |
Morgan Stanley | 0.4 |
94.8 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Corporate Bonds | 4.9% | |
U.S. Government and U.S. Government Agency Obligations | 9.5% | |
CMOs and Other Mortgage Related Securities | 0.1% | |
Municipal Securities | 0.3% | |
Intermediate-Term Bond Funds | 84.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 4.9% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.1% | |||
General Motors Co. 3.5% 10/2/18 | $20,000 | $20,015 | |
General Motors Financial Co., Inc.: | |||
3.5% 7/10/19 | 10,000 | 10,053 | |
4.25% 5/15/23 | 10,000 | 10,036 | |
40,104 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp. 2.75% 12/9/20 | 2,000 | 1,989 | |
Media - 0.5% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 13,000 | 13,260 | |
4.908% 7/23/25 | 16,000 | 16,315 | |
5.375% 5/1/47 | 11,000 | 10,260 | |
6.484% 10/23/45 | 4,000 | 4,264 | |
NBCUniversal, Inc. 5.15% 4/30/20 | 100,000 | 103,415 | |
Time Warner Cable, Inc.: | |||
5.5% 9/1/41 | 10,000 | 9,607 | |
5.875% 11/15/40 | 13,000 | 12,989 | |
6.55% 5/1/37 | 18,000 | 19,437 | |
7.3% 7/1/38 | 17,000 | 19,752 | |
8.25% 4/1/19 | 17,000 | 17,507 | |
226,806 | |||
TOTAL CONSUMER DISCRETIONARY | 268,899 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 20,000 | 19,767 | |
3.3% 2/1/23 | 20,000 | 19,843 | |
3.65% 2/1/26 | 20,000 | 19,565 | |
4.7% 2/1/36 | 23,000 | 23,315 | |
4.9% 2/1/46 | 26,000 | 26,423 | |
Anheuser-Busch InBev Worldwide, Inc. 4.75% 4/15/58 | 7,000 | 6,868 | |
115,781 | |||
Food & Staples Retailing - 0.0% | |||
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 7,000 | 6,981 | |
Tobacco - 0.0% | |||
Reynolds American, Inc.: | |||
4% 6/12/22 | 3,000 | 3,036 | |
5.7% 8/15/35 | 3,000 | 3,236 | |
6.15% 9/15/43 | 4,000 | 4,468 | |
10,740 | |||
TOTAL CONSUMER STAPLES | 133,502 | ||
ENERGY - 1.0% | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Amerada Hess Corp. 7.875% 10/1/29 | 5,000 | 6,087 | |
Anadarko Finance Co. 7.5% 5/1/31 | 14,000 | 17,526 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 5,000 | 5,155 | |
5.55% 3/15/26 | 10,000 | 10,746 | |
6.6% 3/15/46 | 10,000 | 12,035 | |
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 6,000 | 6,752 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 12,000 | 11,591 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 12,000 | 11,963 | |
4.5% 6/1/25 | 3,000 | 3,029 | |
DCP Midstream LLC 4.75% 9/30/21 (a) | 100,000 | 101,500 | |
DCP Midstream Operating LP: | |||
2.7% 4/1/19 | 4,000 | 3,975 | |
3.875% 3/15/23 | 20,000 | 19,500 | |
5.6% 4/1/44 | 10,000 | 9,600 | |
El Paso Corp. 6.5% 9/15/20 | 20,000 | 21,191 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (b) | 3,000 | 2,986 | |
3.9% 5/15/24 (b) | 3,000 | 2,900 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 4,000 | 4,018 | |
5.5% 12/1/46 | 5,000 | 5,607 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 2,000 | 2,023 | |
4.95% 6/15/28 | 5,000 | 5,101 | |
5.8% 6/15/38 | 3,000 | 3,101 | |
6% 6/15/48 | 2,000 | 2,123 | |
MPLX LP 4.875% 12/1/24 | 3,000 | 3,115 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 20,000 | 19,656 | |
5.375% 3/13/22 | 10,000 | 10,220 | |
6.375% 2/4/21 | 25,000 | 26,125 | |
6.5% 3/13/27 | 10,000 | 10,124 | |
6.5% 6/2/41 | 35,000 | 32,048 | |
6.75% 9/21/47 | 10,000 | 9,257 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 10,000 | 9,907 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 3,000 | 2,970 | |
4.55% 6/24/24 | 38,000 | 38,784 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 3,000 | 3,003 | |
4.75% 8/15/28 | 2,000 | 1,990 | |
5.375% 6/1/21 | 7,000 | 7,254 | |
Williams Partners LP: | |||
4% 11/15/21 | 2,000 | 2,026 | |
4.3% 3/4/24 | 8,000 | 8,095 | |
453,083 | |||
FINANCIALS - 1.6% | |||
Banks - 0.8% | |||
Bank of America Corp.: | |||
3.419% 12/20/28 (b) | 18,000 | 16,962 | |
3.5% 4/19/26 | 10,000 | 9,735 | |
4.1% 7/24/23 | 5,000 | 5,125 | |
Citigroup, Inc.: | |||
4.05% 7/30/22 | 4,000 | 4,043 | |
4.4% 6/10/25 | 12,000 | 12,024 | |
4.6% 3/9/26 | 14,000 | 14,125 | |
5.3% 5/6/44 | 17,000 | 18,084 | |
5.5% 9/13/25 | 18,000 | 19,173 | |
Citizens Financial Group, Inc. 4.3% 12/3/25 | 20,000 | 19,920 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 16,000 | 14,973 | |
3.797% 7/23/24 (b) | 12,000 | 12,041 | |
3.875% 9/10/24 | 23,000 | 22,850 | |
4.125% 12/15/26 | 15,000 | 14,975 | |
4.35% 8/15/21 | 4,000 | 4,120 | |
4.625% 5/10/21 | 4,000 | 4,141 | |
Regions Financial Corp. 3.2% 2/8/21 | 7,000 | 6,973 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 100,000 | 100,305 | |
6% 12/19/23 | 35,000 | 36,494 | |
6.1% 6/10/23 | 13,000 | 13,578 | |
6.125% 12/15/22 | 29,000 | 30,417 | |
380,058 | |||
Capital Markets - 0.4% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 6,000 | 6,108 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 4,000 | 3,967 | |
3.75% 12/1/25 | 7,000 | 7,041 | |
Lazard Group LLC 4.25% 11/14/20 | 8,000 | 8,146 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 5,000 | 4,743 | |
4.875% 2/15/24 | 4,000 | 4,203 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 20,000 | 19,655 | |
3.625% 1/20/27 | 70,000 | 67,372 | |
3.7% 10/23/24 | 18,000 | 17,844 | |
5% 11/24/25 | 13,000 | 13,514 | |
152,593 | |||
Consumer Finance - 0.1% | |||
American Express Credit Corp. 1.875% 11/5/18 | 25,000 | 24,979 | |
Discover Financial Services 3.95% 11/6/24 | 7,000 | 6,861 | |
Synchrony Financial: | |||
3% 8/15/19 | 4,000 | 3,993 | |
3.75% 8/15/21 | 6,000 | 5,987 | |
3.95% 12/1/27 | 8,000 | 7,289 | |
4.25% 8/15/24 | 6,000 | 5,817 | |
54,926 | |||
Diversified Financial Services - 0.0% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 (a) | 2,000 | 1,994 | |
Brixmor Operating Partnership LP 4.125% 6/15/26 | 6,000 | 5,860 | |
Voya Financial, Inc. 3.125% 7/15/24 | 5,000 | 4,756 | |
12,610 | |||
Insurance - 0.3% | |||
Hartford Financial Services Group, Inc. 5.125% 4/15/22 | 2,000 | 2,110 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 11,000 | 11,110 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 100,000 | 103,461 | |
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) | 3,000 | 2,997 | |
Unum Group 5.75% 8/15/42 | 5,000 | 5,333 | |
125,011 | |||
TOTAL FINANCIALS | 725,198 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.1% | |||
CVS Health Corp.: | |||
4.1% 3/25/25 | 15,000 | 15,017 | |
4.3% 3/25/28 | 17,000 | 16,872 | |
4.78% 3/25/38 | 8,000 | 7,958 | |
5.05% 3/25/48 | 11,000 | 11,148 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (a) | 2,000 | 2,006 | |
4.272% 8/28/23 (a) | 6,000 | 6,025 | |
4.9% 8/28/28 (a) | 2,000 | 2,015 | |
WellPoint, Inc. 3.3% 1/15/23 | 21,000 | 20,804 | |
81,845 | |||
Pharmaceuticals - 0.1% | |||
Mylan NV: | |||
2.5% 6/7/19 | 5,000 | 4,977 | |
3.15% 6/15/21 | 12,000 | 11,822 | |
3.95% 6/15/26 | 9,000 | 8,535 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 8,000 | 7,480 | |
Zoetis, Inc. 3.25% 2/1/23 | 4,000 | 3,950 | |
36,764 | |||
TOTAL HEALTH CARE | 118,609 | ||
INDUSTRIALS - 0.1% | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 2,000 | 1,907 | |
3.375% 6/1/21 | 6,000 | 5,964 | |
3.75% 2/1/22 | 11,000 | 11,032 | |
3.875% 4/1/21 | 7,000 | 7,047 | |
4.25% 9/15/24 | 9,000 | 9,023 | |
34,973 | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 10,000 | 10,297 | |
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Alexandria Real Estate Equities, Inc. 2.75% 1/15/20 | 2,000 | 1,985 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 3,000 | 2,984 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 4,000 | 3,905 | |
4.25% 1/15/24 | 8,000 | 8,162 | |
Corporate Office Properties LP 5% 7/1/25 | 7,000 | 7,187 | |
DDR Corp.: | |||
3.625% 2/1/25 | 6,000 | 5,744 | |
4.25% 2/1/26 | 4,000 | 3,948 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 2,000 | 1,887 | |
3.625% 4/15/23 | 5,000 | 4,976 | |
3.875% 10/15/22 | 8,000 | 8,110 | |
Equity One, Inc. 3.75% 11/15/22 | 20,000 | 19,976 | |
Government Properties Income Trust 3.75% 8/15/19 | 10,000 | 10,052 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 6,000 | 5,921 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,000 | 3,959 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 14,000 | 13,996 | |
4.5% 1/15/25 | 6,000 | 5,939 | |
4.75% 1/15/28 | 13,000 | 12,798 | |
4.95% 4/1/24 | 3,000 | 3,066 | |
5.25% 1/15/26 | 10,000 | 10,224 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 2,000 | 1,896 | |
5% 12/15/23 | 2,000 | 2,011 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 3,000 | 2,920 | |
4% 3/1/28 | 4,000 | 3,915 | |
4.125% 1/15/26 | 3,000 | 2,980 | |
Weingarten Realty Investors 3.375% 10/15/22 | 2,000 | 1,978 | |
WP Carey, Inc.: | |||
4% 2/1/25 | 13,000 | 12,773 | |
4.6% 4/1/24 | 20,000 | 20,304 | |
183,596 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 14,000 | 13,966 | |
3.95% 11/15/27 | 7,000 | 6,697 | |
4.1% 10/1/24 | 10,000 | 9,904 | |
CBRE Group, Inc. 4.875% 3/1/26 | 20,000 | 20,771 | |
Digital Realty Trust LP 3.95% 7/1/22 | 7,000 | 7,083 | |
Essex Portfolio LP 3.875% 5/1/24 | 7,000 | 6,984 | |
Liberty Property LP: | |||
3.25% 10/1/26 | 5,000 | 4,692 | |
3.375% 6/15/23 | 25,000 | 24,597 | |
Mack-Cali Realty LP 3.15% 5/15/23 | 12,000 | 10,621 | |
Mid-America Apartments LP 4% 11/15/25 | 3,000 | 2,988 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 6,000 | 5,446 | |
3.75% 12/1/24 | 7,000 | 6,777 | |
3.875% 12/1/23 | 4,000 | 3,924 | |
3.875% 7/15/27 | 16,000 | 15,147 | |
139,597 | |||
TOTAL REAL ESTATE | 323,193 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.2% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | 14,000 | 13,930 | |
4.45% 4/1/24 | 2,000 | 2,048 | |
4.5% 3/9/48 | 20,000 | 17,266 | |
5.55% 8/15/41 | 48,000 | 47,861 | |
CenturyLink, Inc. 6.15% 9/15/19 | 2,000 | 2,045 | |
Verizon Communications, Inc.: | |||
4.522% 9/15/48 | 6,000 | 5,632 | |
4.862% 8/21/46 | 5,000 | 4,941 | |
5.012% 4/15/49 | 2,000 | 2,006 | |
95,729 | |||
UTILITIES - 0.2% | |||
Electric Utilities - 0.1% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 30,000 | 30,593 | |
7.375% 11/15/31 | 5,000 | 6,480 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 17,000 | 16,878 | |
3.7% 9/1/24 | 4,000 | 3,867 | |
57,818 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 3,000 | 2,978 | |
2.7% 6/15/21 | 3,000 | 2,926 | |
5,904 | |||
Multi-Utilities - 0.1% | |||
Dominion Resources, Inc. 3 month U.S. LIBOR + 2.300% 4.6344% 9/30/66 (b)(c) | 6,000 | 5,775 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 13,000 | 13,853 | |
6.5% 12/15/20 | 4,000 | 4,261 | |
Sempra Energy 6% 10/15/39 | 11,000 | 12,979 | |
36,868 | |||
TOTAL UTILITIES | 100,590 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,277,406) | 2,264,073 | ||
U.S. Government and Government Agency Obligations - 5.7% | |||
U.S. Treasury Inflation-Protected Obligations - 1.5% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $149,814 | $144,111 | |
1% 2/15/46 | 106,349 | 108,550 | |
U.S. Treasury Inflation-Indexed Notes 0.375% 7/15/25 | 467,544 | 457,484 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 710,145 | ||
U.S. Treasury Obligations - 4.2% | |||
U.S. Treasury Bonds 3% 2/15/47 | 100,000 | 99,574 | |
U.S. Treasury Notes: | |||
2.125% 7/31/24 | 209,000 | 201,440 | |
2.25% 12/31/24 | 130,000 | 125,866 | |
2.625% 3/31/25 | 500,000 | 494,492 | |
2.75% 6/30/25 | 1,008,000 | 1,003,905 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,925,277 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,639,321) | 2,635,422 | ||
U.S. Government Agency - Mortgage Securities - 3.8% | |||
Fannie Mae - 2.0% | |||
3% 9/1/43 to 9/1/46 | 216,640 | 210,469 | |
3.5% 11/1/30 to 5/1/46 | 286,934 | 287,408 | |
4% 4/1/42 to 1/1/48 | 279,276 | 285,767 | |
4.5% 3/1/41 to 1/1/42 | 50,451 | 52,852 | |
5% 6/1/39 | 73,274 | 78,116 | |
5.5% 9/1/41 | 32,060 | 34,973 | |
TOTAL FANNIE MAE | 949,585 | ||
Freddie Mac - 1.0% | |||
3% 2/1/43 to 1/1/47 | 146,697 | 142,422 | |
3.5% 4/1/43 to 8/1/43 | 119,900 | 120,055 | |
4% 2/1/41 to 2/1/48 | 145,257 | 148,359 | |
4.5% 3/1/41 to 4/1/41 | 44,936 | 47,093 | |
TOTAL FREDDIE MAC | 457,929 | ||
Ginnie Mae - 0.8% | |||
5% 10/15/33 | 56,801 | 60,527 | |
3% 3/20/45 | 65,589 | 64,486 | |
3.5% 12/20/41 to 8/20/43 | 151,527 | 153,074 | |
4% 11/20/40 | 33,995 | 35,107 | |
4.5% 5/20/41 | 39,059 | 41,004 | |
TOTAL GINNIE MAE | 354,198 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $1,818,222) | 1,761,712 | ||
Commercial Mortgage Securities - 0.1% | |||
MSCG Trust Series 2016-SNR Class A, 3.4596% 11/15/34 (a)(b) | |||
(Cost $17,832) | $17,832 | $17,397 | |
Municipal Securities - 0.3% | |||
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 15,000 | 15,338 | |
5.1% 6/1/33 | 50,000 | 48,255 | |
Series 2010-1, 6.63% 2/1/35 | 20,000 | 21,282 | |
Series 2010-3: | |||
6.725% 4/1/35 | 5,000 | 5,365 | |
7.35% 7/1/35 | 5,000 | 5,557 | |
Series 2010-5, 6.2% 7/1/21 | 3,000 | 3,113 | |
Series 2011, 5.877% 3/1/19 | 15,000 | 15,193 | |
Series 2013, 3.6% 12/1/19 | 5,000 | 4,989 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $120,713) | 119,092 | ||
Shares | Value | ||
Fixed-Income Funds - 84.1% | |||
Intermediate-Term Bond Funds - 84.1% | |||
Metropolitan West Total Return Bond Fund Class I | 895,895 | $9,317,313 | |
PIMCO Total Return Fund Institutional Class | 1,121,089 | 11,199,682 | |
Western Asset Core Bond Fund Class I | 1,480,225 | 18,236,367 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $39,701,222) | 38,753,362 | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 1.97% (d) | 497,555 | 497,654 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (e) | 52 | 52 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $497,706) | 497,706 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $47,072,422) | 46,048,764 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 18,713 | ||
NET ASSETS - 100% | $46,067,477 |
Legend
(a) 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 $133,934 or 0.3% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(e) 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 Cash Central Fund | $2,804 |
Total | $2,804 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $2,264,073 | $-- | $2,264,073 | $-- |
U.S. Government and Government Agency Obligations | 2,635,422 | -- | 2,635,422 | -- |
U.S. Government Agency - Mortgage Securities | 1,761,712 | -- | 1,761,712 | -- |
Commercial Mortgage Securities | 17,397 | -- | 17,397 | -- |
Municipal Securities | 119,092 | -- | 119,092 | -- |
Fixed-Income Funds | 38,753,362 | 38,753,362 | -- | -- |
Money Market Funds | 497,706 | 497,706 | -- | -- |
Total Investments in Securities: | $46,048,764 | $39,251,068 | $6,797,696 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $46,574,768) | $45,551,110 | |
Fidelity Central Funds (cost $497,654) | 497,654 | |
Total Investment in Securities (cost $47,072,422) | $46,048,764 | |
Cash | 20 | |
Receivable for fund shares sold | 105,375 | |
Interest receivable | 47,215 | |
Distributions receivable from Fidelity Central Funds | 763 | |
Prepaid expenses | 155 | |
Receivable from investment adviser for expense reductions | 221 | |
Other receivables | 905 | |
Total assets | 46,203,418 | |
Liabilities | ||
Payable for investments purchased | $104,985 | |
Payable for fund shares redeemed | 388 | |
Accrued management fee | 785 | |
Distribution and service plan fees payable | 23 | |
Other affiliated payables | 1,976 | |
Audit fees payable | 23,223 | |
Other payables and accrued expenses | 4,561 | |
Total liabilities | 135,941 | |
Net Assets | $46,067,477 | |
Net Assets consist of: | ||
Paid in capital | $47,378,167 | |
Distributions in excess of net investment income | (15,612) | |
Accumulated undistributed net realized gain (loss) on investments | (271,420) | |
Net unrealized appreciation (depreciation) on investments | (1,023,658) | |
Net Assets | $46,067,477 | |
Core Income Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($45,842,807 ÷ 4,720,493 shares) | $9.71 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($113,004 ÷ 11,634 shares) | $9.71 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($111,666 ÷ 11,498 shares) | $9.71 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $535,056 | |
Interest | 120,912 | |
Income from Fidelity Central Funds | 2,804 | |
Total income | 658,772 | |
Expenses | ||
Management fee | $72,117 | |
Transfer agent fees | 2,407 | |
Distribution and service plan fees | 138 | |
Accounting fees and expenses | 9,330 | |
Custodian fees and expenses | 5,254 | |
Independent trustees' fees and expenses | 276 | |
Registration fees | 30,844 | |
Audit | 30,555 | |
Legal | 72 | |
Miscellaneous | 211 | |
Total expenses before reductions | 151,204 | |
Expense reductions | (100,738) | |
Total expenses after reductions | 50,466 | |
Net investment income (loss) | 608,306 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (69,270) | |
Total net realized gain (loss) | (69,270) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (59,037) | |
Delayed delivery commitments | 11 | |
Total change in net unrealized appreciation (depreciation) | (59,026) | |
Net gain (loss) | (128,296) | |
Net increase (decrease) in net assets resulting from operations | $480,010 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $608,306 | $944,489 |
Net realized gain (loss) | (69,270) | (100,248) |
Change in net unrealized appreciation (depreciation) | (59,026) | (412,826) |
Net increase (decrease) in net assets resulting from operations | 480,010 | 431,415 |
Distributions to shareholders from net investment income | (559,294) | (980,823) |
Distributions to shareholders from net realized gain | (27,302) | (13,174) |
Total distributions | (586,596) | (993,997) |
Share transactions - net increase (decrease) | 2,665,853 | 1,623,913 |
Total increase (decrease) in net assets | 2,559,267 | 1,061,331 |
Net Assets | ||
Beginning of period | 43,508,210 | 42,446,879 |
End of period | $46,067,477 | $43,508,210 |
Other Information | ||
Distributions in excess of net investment income end of period | $(15,612) | $(64,624) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.85 | $9.75 | $10.02 | $9.84 | $10.09 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .131 | .206 | .218 | .256 | .285 | .248 |
Net realized and unrealized gain (loss) | (.034) | (.099) | .130 | (.262) | .184 | (.222) |
Total from investment operations | .097 | .107 | .348 | (.006) | .469 | .026 |
Distributions from net investment income | (.121) | (.214) | (.221) | (.254) | (.286) | (.243) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.033) |
Total distributions | (.127) | (.217) | (.248) | (.264) | (.289) | (.276) |
Net asset value, end of period | $9.71 | $9.74 | $9.85 | $9.75 | $10.02 | $9.84 |
Total ReturnC,D | 1.00% | 1.07% | 3.58% | (.04)% | 4.83% | .29% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .67%F | .66% | .69% | .65% | .65% | .68% |
Expenses net of fee waivers, if any | .22%F | .23% | .23% | .23% | .23% | .23% |
Expenses net of all reductions | .22%F | .23% | .23% | .23% | .23% | .23% |
Net investment income (loss) | 2.68%F | 2.07% | 2.19% | 2.61% | 2.87% | 2.53% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $45,843 | $43,286 | $39,287 | $41,445 | $40,564 | $42,471 |
Portfolio turnover rateG | 26%F | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
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 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 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 class' annualized ratios. The class 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 Income Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.86 | $9.75 | $10.03 | $9.84 | $9.72 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .131 | .205 | .218 | .256 | .285 | .073 |
Net realized and unrealized gain (loss) | (.034) | (.108) | .139 | (.272) | .194 | .118 |
Total from investment operations | .097 | .097 | .357 | (.016) | .479 | .191 |
Distributions from net investment income | (.121) | (.214) | (.220) | (.254) | (.286) | (.068) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.003) |
Total distributions | (.127) | (.217) | (.247) | (.264) | (.289) | (.071) |
Net asset value, end of period | $9.71 | $9.74 | $9.86 | $9.75 | $10.03 | $9.84 |
Total ReturnD,E | 1.00% | .96% | 3.68% | (.14)% | 4.93% | 1.97% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .66%G | .66% | .69% | .65% | .65% | .82%G |
Expenses net of fee waivers, if any | .22%G | .23% | .23% | .23% | .23% | .23%G |
Expenses net of all reductions | .22%G | .23% | .23% | .23% | .23% | .23%G |
Net investment income (loss) | 2.68%G | 2.07% | 2.19% | 2.60% | 2.87% | 2.52%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $113 | $112 | $111 | $107 | $107 | $102 |
Portfolio turnover rateH | 26%G | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 Income Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.85 | $9.75 | $10.03 | $9.84 | $9.72 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .119 | .181 | .193 | .231 | .261 | .066 |
Net realized and unrealized gain (loss) | (.035) | (.099) | .130 | (.271) | .193 | .118 |
Total from investment operations | .084 | .082 | .323 | (.040) | .454 | .184 |
Distributions from net investment income | (.108) | (.189) | (.196) | (.230) | (.261) | (.061) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.003) |
Total distributions | (.114) | (.192) | (.223) | (.240) | (.264) | (.064) |
Net asset value, end of period | $9.71 | $9.74 | $9.85 | $9.75 | $10.03 | $9.84 |
Total ReturnD,E | .87% | .81% | 3.32% | (.39)% | 4.68% | 1.90% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .91%G | .91% | .94% | .90% | .90% | 1.07%G |
Expenses net of fee waivers, if any | .47%G | .48% | .48% | .48% | .48% | .48%G |
Expenses net of all reductions | .47%G | .48% | .48% | .48% | .48% | .48%G |
Net investment income (loss) | 2.44%G | 1.82% | 1.95% | 2.35% | 2.62% | 2.27%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $112 | $111 | $110 | $106 | $107 | $102 |
Portfolio turnover rateH | 26%G | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Core Income 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 Income Multi-Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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, municipal securities, and 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. 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.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018 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, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
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), certain independent Trustees have elected 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 of $905 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 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 market discount, 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 | $201,288 |
Gross unrealized depreciation | (1,355,840) |
Net unrealized appreciation (depreciation) | $(1,154,552) |
Tax cost | $47,203,316 |
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 | $(30,859) |
Long-term | (2,504) |
Total capital loss carryforward | $(33,363) |
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. 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 $4,683,830 and $2,036,139, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .65% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .32% 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) 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.
PGIM, Inc. has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, PGIM, Inc. has not been allocated any portion of the Fund's assets. PGIM, Inc. 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% | $138 | $138 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Core Income Multi-Manager | $2,397 | .01 |
Class L | 5 | .01 |
Class N | 5 | .01 |
$2,407 |
(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. For the period, the fees were equivalent to an annualized rate of .04%.
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.
5. 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.
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 $62 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 waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $67,446.
The investment adviser has also contractually agreed to reimburse Core Income 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 Income Multi-Manager | .20% | $33,111 |
Class L | .20% | 82 |
Class N | .45% | 81 |
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 $18.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Core Income Multi-Manager | $556,665 | $920,146 |
Class F | – | 56,126 |
Class L | 1,392 | 2,425 |
Class N | 1,237 | 2,126 |
Total | $559,294 | $980,823 |
From net realized gain | ||
Core Income Multi-Manager | $27,165 | $12,112 |
Class F | – | 995 |
Class L | 69 | 34 |
Class N | 68 | 33 |
Total | $27,302 | $13,174 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Core Income Multi-Manager | ||||
Shares sold | 468,333 | 1,128,988 | $4,538,586 | $11,200,787 |
Reinvestment of distributions | 60,145 | 93,918 | 583,673 | 931,603 |
Shares redeemed | (253,379) | (764,499) | (2,459,172) | (7,534,353) |
Net increase (decrease) | 275,099 | 458,407 | $2,663,087 | $4,598,037 |
Class F | ||||
Shares sold | – | 222,194 | $– | $2,209,667 |
Reinvestment of distributions | – | 5,729 | – | 56,968 |
Shares redeemed | – | (526,149) | – | (5,245,377) |
Net increase (decrease) | – | (298,226) | $– | $(2,978,742) |
Class L | ||||
Reinvestment of distributions | 151 | 248 | 1,461 | 2,459 |
Net increase (decrease) | 151 | 248 | $1,461 | $2,459 |
Class N | ||||
Reinvestment of distributions | 135 | 218 | 1,305 | 2,159 |
Net increase (decrease) | 135 | 218 | $1,305 | $2,159 |
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 68% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Core Income Multi-Manager | .22% | |||
Actual | $1,000.00 | $1,010.00 | $1.11 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $1.12 | |
Class L | .22% | |||
Actual | $1,000.00 | $1,010.00 | $1.11 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $1.12 | |
Class N | .47% | |||
Actual | $1,000.00 | $1,008.70 | $2.38 | |
Hypothetical-C | $1,000.00 | $1,022.84 | $2.40 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
ACF-SANN-1018
1.941273.106
Strategic Advisers® Core Income Multi-Manager Fund Semi-Annual Report August 31, 2018 |
Contents
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.
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 August 31, 2018
(by issuer, excluding cash equivalents) | % of fund's net assets |
Western Asset Core Plus Bond Fund | 39.6 |
PIMCO Short-Term Fund | 24.3 |
Metropolitan West Funds | 20.2 |
U.S. Treasury Obligations | 5.7 |
Fannie Mae | 2.0 |
Freddie Mac | 1.0 |
Ginnie Mae | 0.8 |
Royal Bank of Scotland Group PLC | 0.4 |
Illinois Gen. Oblig. | 0.4 |
Morgan Stanley | 0.4 |
94.8 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Corporate Bonds | 4.9% | |
U.S. Government and U.S. Government Agency Obligations | 9.5% | |
CMOs and Other Mortgage Related Securities | 0.1% | |
Municipal Securities | 0.3% | |
Intermediate-Term Bond Funds | 84.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 4.9% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.1% | |||
General Motors Co. 3.5% 10/2/18 | $20,000 | $20,015 | |
General Motors Financial Co., Inc.: | |||
3.5% 7/10/19 | 10,000 | 10,053 | |
4.25% 5/15/23 | 10,000 | 10,036 | |
40,104 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp. 2.75% 12/9/20 | 2,000 | 1,989 | |
Media - 0.5% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 13,000 | 13,260 | |
4.908% 7/23/25 | 16,000 | 16,315 | |
5.375% 5/1/47 | 11,000 | 10,260 | |
6.484% 10/23/45 | 4,000 | 4,264 | |
NBCUniversal, Inc. 5.15% 4/30/20 | 100,000 | 103,415 | |
Time Warner Cable, Inc.: | |||
5.5% 9/1/41 | 10,000 | 9,607 | |
5.875% 11/15/40 | 13,000 | 12,989 | |
6.55% 5/1/37 | 18,000 | 19,437 | |
7.3% 7/1/38 | 17,000 | 19,752 | |
8.25% 4/1/19 | 17,000 | 17,507 | |
226,806 | |||
TOTAL CONSUMER DISCRETIONARY | 268,899 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 20,000 | 19,767 | |
3.3% 2/1/23 | 20,000 | 19,843 | |
3.65% 2/1/26 | 20,000 | 19,565 | |
4.7% 2/1/36 | 23,000 | 23,315 | |
4.9% 2/1/46 | 26,000 | 26,423 | |
Anheuser-Busch InBev Worldwide, Inc. 4.75% 4/15/58 | 7,000 | 6,868 | |
115,781 | |||
Food & Staples Retailing - 0.0% | |||
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 7,000 | 6,981 | |
Tobacco - 0.0% | |||
Reynolds American, Inc.: | |||
4% 6/12/22 | 3,000 | 3,036 | |
5.7% 8/15/35 | 3,000 | 3,236 | |
6.15% 9/15/43 | 4,000 | 4,468 | |
10,740 | |||
TOTAL CONSUMER STAPLES | 133,502 | ||
ENERGY - 1.0% | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Amerada Hess Corp. 7.875% 10/1/29 | 5,000 | 6,087 | |
Anadarko Finance Co. 7.5% 5/1/31 | 14,000 | 17,526 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 5,000 | 5,155 | |
5.55% 3/15/26 | 10,000 | 10,746 | |
6.6% 3/15/46 | 10,000 | 12,035 | |
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 6,000 | 6,752 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 12,000 | 11,591 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 12,000 | 11,963 | |
4.5% 6/1/25 | 3,000 | 3,029 | |
DCP Midstream LLC 4.75% 9/30/21 (a) | 100,000 | 101,500 | |
DCP Midstream Operating LP: | |||
2.7% 4/1/19 | 4,000 | 3,975 | |
3.875% 3/15/23 | 20,000 | 19,500 | |
5.6% 4/1/44 | 10,000 | 9,600 | |
El Paso Corp. 6.5% 9/15/20 | 20,000 | 21,191 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (b) | 3,000 | 2,986 | |
3.9% 5/15/24 (b) | 3,000 | 2,900 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 4,000 | 4,018 | |
5.5% 12/1/46 | 5,000 | 5,607 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 2,000 | 2,023 | |
4.95% 6/15/28 | 5,000 | 5,101 | |
5.8% 6/15/38 | 3,000 | 3,101 | |
6% 6/15/48 | 2,000 | 2,123 | |
MPLX LP 4.875% 12/1/24 | 3,000 | 3,115 | |
Petroleos Mexicanos: | |||
4.625% 9/21/23 | 20,000 | 19,656 | |
5.375% 3/13/22 | 10,000 | 10,220 | |
6.375% 2/4/21 | 25,000 | 26,125 | |
6.5% 3/13/27 | 10,000 | 10,124 | |
6.5% 6/2/41 | 35,000 | 32,048 | |
6.75% 9/21/47 | 10,000 | 9,257 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 10,000 | 9,907 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 3,000 | 2,970 | |
4.55% 6/24/24 | 38,000 | 38,784 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 3,000 | 3,003 | |
4.75% 8/15/28 | 2,000 | 1,990 | |
5.375% 6/1/21 | 7,000 | 7,254 | |
Williams Partners LP: | |||
4% 11/15/21 | 2,000 | 2,026 | |
4.3% 3/4/24 | 8,000 | 8,095 | |
453,083 | |||
FINANCIALS - 1.6% | |||
Banks - 0.8% | |||
Bank of America Corp.: | |||
3.419% 12/20/28 (b) | 18,000 | 16,962 | |
3.5% 4/19/26 | 10,000 | 9,735 | |
4.1% 7/24/23 | 5,000 | 5,125 | |
Citigroup, Inc.: | |||
4.05% 7/30/22 | 4,000 | 4,043 | |
4.4% 6/10/25 | 12,000 | 12,024 | |
4.6% 3/9/26 | 14,000 | 14,125 | |
5.3% 5/6/44 | 17,000 | 18,084 | |
5.5% 9/13/25 | 18,000 | 19,173 | |
Citizens Financial Group, Inc. 4.3% 12/3/25 | 20,000 | 19,920 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 16,000 | 14,973 | |
3.797% 7/23/24 (b) | 12,000 | 12,041 | |
3.875% 9/10/24 | 23,000 | 22,850 | |
4.125% 12/15/26 | 15,000 | 14,975 | |
4.35% 8/15/21 | 4,000 | 4,120 | |
4.625% 5/10/21 | 4,000 | 4,141 | |
Regions Financial Corp. 3.2% 2/8/21 | 7,000 | 6,973 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 100,000 | 100,305 | |
6% 12/19/23 | 35,000 | 36,494 | |
6.1% 6/10/23 | 13,000 | 13,578 | |
6.125% 12/15/22 | 29,000 | 30,417 | |
380,058 | |||
Capital Markets - 0.4% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 6,000 | 6,108 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 4,000 | 3,967 | |
3.75% 12/1/25 | 7,000 | 7,041 | |
Lazard Group LLC 4.25% 11/14/20 | 8,000 | 8,146 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 5,000 | 4,743 | |
4.875% 2/15/24 | 4,000 | 4,203 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 20,000 | 19,655 | |
3.625% 1/20/27 | 70,000 | 67,372 | |
3.7% 10/23/24 | 18,000 | 17,844 | |
5% 11/24/25 | 13,000 | 13,514 | |
152,593 | |||
Consumer Finance - 0.1% | |||
American Express Credit Corp. 1.875% 11/5/18 | 25,000 | 24,979 | |
Discover Financial Services 3.95% 11/6/24 | 7,000 | 6,861 | |
Synchrony Financial: | |||
3% 8/15/19 | 4,000 | 3,993 | |
3.75% 8/15/21 | 6,000 | 5,987 | |
3.95% 12/1/27 | 8,000 | 7,289 | |
4.25% 8/15/24 | 6,000 | 5,817 | |
54,926 | |||
Diversified Financial Services - 0.0% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 (a) | 2,000 | 1,994 | |
Brixmor Operating Partnership LP 4.125% 6/15/26 | 6,000 | 5,860 | |
Voya Financial, Inc. 3.125% 7/15/24 | 5,000 | 4,756 | |
12,610 | |||
Insurance - 0.3% | |||
Hartford Financial Services Group, Inc. 5.125% 4/15/22 | 2,000 | 2,110 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 11,000 | 11,110 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 100,000 | 103,461 | |
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a) | 3,000 | 2,997 | |
Unum Group 5.75% 8/15/42 | 5,000 | 5,333 | |
125,011 | |||
TOTAL FINANCIALS | 725,198 | ||
HEALTH CARE - 0.2% | |||
Health Care Providers & Services - 0.1% | |||
CVS Health Corp.: | |||
4.1% 3/25/25 | 15,000 | 15,017 | |
4.3% 3/25/28 | 17,000 | 16,872 | |
4.78% 3/25/38 | 8,000 | 7,958 | |
5.05% 3/25/48 | 11,000 | 11,148 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (a) | 2,000 | 2,006 | |
4.272% 8/28/23 (a) | 6,000 | 6,025 | |
4.9% 8/28/28 (a) | 2,000 | 2,015 | |
WellPoint, Inc. 3.3% 1/15/23 | 21,000 | 20,804 | |
81,845 | |||
Pharmaceuticals - 0.1% | |||
Mylan NV: | |||
2.5% 6/7/19 | 5,000 | 4,977 | |
3.15% 6/15/21 | 12,000 | 11,822 | |
3.95% 6/15/26 | 9,000 | 8,535 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 8,000 | 7,480 | |
Zoetis, Inc. 3.25% 2/1/23 | 4,000 | 3,950 | |
36,764 | |||
TOTAL HEALTH CARE | 118,609 | ||
INDUSTRIALS - 0.1% | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 2,000 | 1,907 | |
3.375% 6/1/21 | 6,000 | 5,964 | |
3.75% 2/1/22 | 11,000 | 11,032 | |
3.875% 4/1/21 | 7,000 | 7,047 | |
4.25% 9/15/24 | 9,000 | 9,023 | |
34,973 | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 10,000 | 10,297 | |
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Alexandria Real Estate Equities, Inc. 2.75% 1/15/20 | 2,000 | 1,985 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 3,000 | 2,984 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 4,000 | 3,905 | |
4.25% 1/15/24 | 8,000 | 8,162 | |
Corporate Office Properties LP 5% 7/1/25 | 7,000 | 7,187 | |
DDR Corp.: | |||
3.625% 2/1/25 | 6,000 | 5,744 | |
4.25% 2/1/26 | 4,000 | 3,948 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 2,000 | 1,887 | |
3.625% 4/15/23 | 5,000 | 4,976 | |
3.875% 10/15/22 | 8,000 | 8,110 | |
Equity One, Inc. 3.75% 11/15/22 | 20,000 | 19,976 | |
Government Properties Income Trust 3.75% 8/15/19 | 10,000 | 10,052 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 6,000 | 5,921 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,000 | 3,959 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 14,000 | 13,996 | |
4.5% 1/15/25 | 6,000 | 5,939 | |
4.75% 1/15/28 | 13,000 | 12,798 | |
4.95% 4/1/24 | 3,000 | 3,066 | |
5.25% 1/15/26 | 10,000 | 10,224 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 2,000 | 1,896 | |
5% 12/15/23 | 2,000 | 2,011 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 3,000 | 2,920 | |
4% 3/1/28 | 4,000 | 3,915 | |
4.125% 1/15/26 | 3,000 | 2,980 | |
Weingarten Realty Investors 3.375% 10/15/22 | 2,000 | 1,978 | |
WP Carey, Inc.: | |||
4% 2/1/25 | 13,000 | 12,773 | |
4.6% 4/1/24 | 20,000 | 20,304 | |
183,596 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 14,000 | 13,966 | |
3.95% 11/15/27 | 7,000 | 6,697 | |
4.1% 10/1/24 | 10,000 | 9,904 | |
CBRE Group, Inc. 4.875% 3/1/26 | 20,000 | 20,771 | |
Digital Realty Trust LP 3.95% 7/1/22 | 7,000 | 7,083 | |
Essex Portfolio LP 3.875% 5/1/24 | 7,000 | 6,984 | |
Liberty Property LP: | |||
3.25% 10/1/26 | 5,000 | 4,692 | |
3.375% 6/15/23 | 25,000 | 24,597 | |
Mack-Cali Realty LP 3.15% 5/15/23 | 12,000 | 10,621 | |
Mid-America Apartments LP 4% 11/15/25 | 3,000 | 2,988 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 6,000 | 5,446 | |
3.75% 12/1/24 | 7,000 | 6,777 | |
3.875% 12/1/23 | 4,000 | 3,924 | |
3.875% 7/15/27 | 16,000 | 15,147 | |
139,597 | |||
TOTAL REAL ESTATE | 323,193 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.2% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | 14,000 | 13,930 | |
4.45% 4/1/24 | 2,000 | 2,048 | |
4.5% 3/9/48 | 20,000 | 17,266 | |
5.55% 8/15/41 | 48,000 | 47,861 | |
CenturyLink, Inc. 6.15% 9/15/19 | 2,000 | 2,045 | |
Verizon Communications, Inc.: | |||
4.522% 9/15/48 | 6,000 | 5,632 | |
4.862% 8/21/46 | 5,000 | 4,941 | |
5.012% 4/15/49 | 2,000 | 2,006 | |
95,729 | |||
UTILITIES - 0.2% | |||
Electric Utilities - 0.1% | |||
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 30,000 | 30,593 | |
7.375% 11/15/31 | 5,000 | 6,480 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 17,000 | 16,878 | |
3.7% 9/1/24 | 4,000 | 3,867 | |
57,818 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 3,000 | 2,978 | |
2.7% 6/15/21 | 3,000 | 2,926 | |
5,904 | |||
Multi-Utilities - 0.1% | |||
Dominion Resources, Inc. 3 month U.S. LIBOR + 2.300% 4.6344% 9/30/66 (b)(c) | 6,000 | 5,775 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 13,000 | 13,853 | |
6.5% 12/15/20 | 4,000 | 4,261 | |
Sempra Energy 6% 10/15/39 | 11,000 | 12,979 | |
36,868 | |||
TOTAL UTILITIES | 100,590 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,277,406) | 2,264,073 | ||
U.S. Government and Government Agency Obligations - 5.7% | |||
U.S. Treasury Inflation-Protected Obligations - 1.5% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $149,814 | $144,111 | |
1% 2/15/46 | 106,349 | 108,550 | |
U.S. Treasury Inflation-Indexed Notes 0.375% 7/15/25 | 467,544 | 457,484 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 710,145 | ||
U.S. Treasury Obligations - 4.2% | |||
U.S. Treasury Bonds 3% 2/15/47 | 100,000 | 99,574 | |
U.S. Treasury Notes: | |||
2.125% 7/31/24 | 209,000 | 201,440 | |
2.25% 12/31/24 | 130,000 | 125,866 | |
2.625% 3/31/25 | 500,000 | 494,492 | |
2.75% 6/30/25 | 1,008,000 | 1,003,905 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,925,277 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,639,321) | 2,635,422 | ||
U.S. Government Agency - Mortgage Securities - 3.8% | |||
Fannie Mae - 2.0% | |||
3% 9/1/43 to 9/1/46 | 216,640 | 210,469 | |
3.5% 11/1/30 to 5/1/46 | 286,934 | 287,408 | |
4% 4/1/42 to 1/1/48 | 279,276 | 285,767 | |
4.5% 3/1/41 to 1/1/42 | 50,451 | 52,852 | |
5% 6/1/39 | 73,274 | 78,116 | |
5.5% 9/1/41 | 32,060 | 34,973 | |
TOTAL FANNIE MAE | 949,585 | ||
Freddie Mac - 1.0% | |||
3% 2/1/43 to 1/1/47 | 146,697 | 142,422 | |
3.5% 4/1/43 to 8/1/43 | 119,900 | 120,055 | |
4% 2/1/41 to 2/1/48 | 145,257 | 148,359 | |
4.5% 3/1/41 to 4/1/41 | 44,936 | 47,093 | |
TOTAL FREDDIE MAC | 457,929 | ||
Ginnie Mae - 0.8% | |||
5% 10/15/33 | 56,801 | 60,527 | |
3% 3/20/45 | 65,589 | 64,486 | |
3.5% 12/20/41 to 8/20/43 | 151,527 | 153,074 | |
4% 11/20/40 | 33,995 | 35,107 | |
4.5% 5/20/41 | 39,059 | 41,004 | |
TOTAL GINNIE MAE | 354,198 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $1,818,222) | 1,761,712 | ||
Commercial Mortgage Securities - 0.1% | |||
MSCG Trust Series 2016-SNR Class A, 3.4596% 11/15/34 (a)(b) | |||
(Cost $17,832) | $17,832 | $17,397 | |
Municipal Securities - 0.3% | |||
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 15,000 | 15,338 | |
5.1% 6/1/33 | 50,000 | 48,255 | |
Series 2010-1, 6.63% 2/1/35 | 20,000 | 21,282 | |
Series 2010-3: | |||
6.725% 4/1/35 | 5,000 | 5,365 | |
7.35% 7/1/35 | 5,000 | 5,557 | |
Series 2010-5, 6.2% 7/1/21 | 3,000 | 3,113 | |
Series 2011, 5.877% 3/1/19 | 15,000 | 15,193 | |
Series 2013, 3.6% 12/1/19 | 5,000 | 4,989 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $120,713) | 119,092 | ||
Shares | Value | ||
Fixed-Income Funds - 84.1% | |||
Intermediate-Term Bond Funds - 84.1% | |||
Metropolitan West Total Return Bond Fund Class I | 895,895 | $9,317,313 | |
PIMCO Total Return Fund Institutional Class | 1,121,089 | 11,199,682 | |
Western Asset Core Bond Fund Class I | 1,480,225 | 18,236,367 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $39,701,222) | 38,753,362 | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund, 1.97% (d) | 497,555 | 497,654 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (e) | 52 | 52 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $497,706) | 497,706 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $47,072,422) | 46,048,764 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 18,713 | ||
NET ASSETS - 100% | $46,067,477 |
Legend
(a) 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 $133,934 or 0.3% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(e) 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 Cash Central Fund | $2,804 |
Total | $2,804 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $2,264,073 | $-- | $2,264,073 | $-- |
U.S. Government and Government Agency Obligations | 2,635,422 | -- | 2,635,422 | -- |
U.S. Government Agency - Mortgage Securities | 1,761,712 | -- | 1,761,712 | -- |
Commercial Mortgage Securities | 17,397 | -- | 17,397 | -- |
Municipal Securities | 119,092 | -- | 119,092 | -- |
Fixed-Income Funds | 38,753,362 | 38,753,362 | -- | -- |
Money Market Funds | 497,706 | 497,706 | -- | -- |
Total Investments in Securities: | $46,048,764 | $39,251,068 | $6,797,696 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $46,574,768) | $45,551,110 | |
Fidelity Central Funds (cost $497,654) | 497,654 | |
Total Investment in Securities (cost $47,072,422) | $46,048,764 | |
Cash | 20 | |
Receivable for fund shares sold | 105,375 | |
Interest receivable | 47,215 | |
Distributions receivable from Fidelity Central Funds | 763 | |
Prepaid expenses | 155 | |
Receivable from investment adviser for expense reductions | 221 | |
Other receivables | 905 | |
Total assets | 46,203,418 | |
Liabilities | ||
Payable for investments purchased | $104,985 | |
Payable for fund shares redeemed | 388 | |
Accrued management fee | 785 | |
Distribution and service plan fees payable | 23 | |
Other affiliated payables | 1,976 | |
Audit fees payable | 23,223 | |
Other payables and accrued expenses | 4,561 | |
Total liabilities | 135,941 | |
Net Assets | $46,067,477 | |
Net Assets consist of: | ||
Paid in capital | $47,378,167 | |
Distributions in excess of net investment income | (15,612) | |
Accumulated undistributed net realized gain (loss) on investments | (271,420) | |
Net unrealized appreciation (depreciation) on investments | (1,023,658) | |
Net Assets | $46,067,477 | |
Core Income Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($45,842,807 ÷ 4,720,493 shares) | $9.71 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($113,004 ÷ 11,634 shares) | $9.71 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($111,666 ÷ 11,498 shares) | $9.71 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $535,056 | |
Interest | 120,912 | |
Income from Fidelity Central Funds | 2,804 | |
Total income | 658,772 | |
Expenses | ||
Management fee | $72,117 | |
Transfer agent fees | 2,407 | |
Distribution and service plan fees | 138 | |
Accounting fees and expenses | 9,330 | |
Custodian fees and expenses | 5,254 | |
Independent trustees' fees and expenses | 276 | |
Registration fees | 30,844 | |
Audit | 30,555 | |
Legal | 72 | |
Miscellaneous | 211 | |
Total expenses before reductions | 151,204 | |
Expense reductions | (100,738) | |
Total expenses after reductions | 50,466 | |
Net investment income (loss) | 608,306 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (69,270) | |
Total net realized gain (loss) | (69,270) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (59,037) | |
Delayed delivery commitments | 11 | |
Total change in net unrealized appreciation (depreciation) | (59,026) | |
Net gain (loss) | (128,296) | |
Net increase (decrease) in net assets resulting from operations | $480,010 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $608,306 | $944,489 |
Net realized gain (loss) | (69,270) | (100,248) |
Change in net unrealized appreciation (depreciation) | (59,026) | (412,826) |
Net increase (decrease) in net assets resulting from operations | 480,010 | 431,415 |
Distributions to shareholders from net investment income | (559,294) | (980,823) |
Distributions to shareholders from net realized gain | (27,302) | (13,174) |
Total distributions | (586,596) | (993,997) |
Share transactions - net increase (decrease) | 2,665,853 | 1,623,913 |
Total increase (decrease) in net assets | 2,559,267 | 1,061,331 |
Net Assets | ||
Beginning of period | 43,508,210 | 42,446,879 |
End of period | $46,067,477 | $43,508,210 |
Other Information | ||
Distributions in excess of net investment income end of period | $(15,612) | $(64,624) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.85 | $9.75 | $10.02 | $9.84 | $10.09 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .131 | .206 | .218 | .256 | .285 | .248 |
Net realized and unrealized gain (loss) | (.034) | (.099) | .130 | (.262) | .184 | (.222) |
Total from investment operations | .097 | .107 | .348 | (.006) | .469 | .026 |
Distributions from net investment income | (.121) | (.214) | (.221) | (.254) | (.286) | (.243) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.033) |
Total distributions | (.127) | (.217) | (.248) | (.264) | (.289) | (.276) |
Net asset value, end of period | $9.71 | $9.74 | $9.85 | $9.75 | $10.02 | $9.84 |
Total ReturnC,D | 1.00% | 1.07% | 3.58% | (.04)% | 4.83% | .29% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .67%F | .66% | .69% | .65% | .65% | .68% |
Expenses net of fee waivers, if any | .22%F | .23% | .23% | .23% | .23% | .23% |
Expenses net of all reductions | .22%F | .23% | .23% | .23% | .23% | .23% |
Net investment income (loss) | 2.68%F | 2.07% | 2.19% | 2.61% | 2.87% | 2.53% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $45,843 | $43,286 | $39,287 | $41,445 | $40,564 | $42,471 |
Portfolio turnover rateG | 26%F | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
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 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 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 class' annualized ratios. The class 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 Income Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.86 | $9.75 | $10.03 | $9.84 | $9.72 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .131 | .205 | .218 | .256 | .285 | .073 |
Net realized and unrealized gain (loss) | (.034) | (.108) | .139 | (.272) | .194 | .118 |
Total from investment operations | .097 | .097 | .357 | (.016) | .479 | .191 |
Distributions from net investment income | (.121) | (.214) | (.220) | (.254) | (.286) | (.068) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.003) |
Total distributions | (.127) | (.217) | (.247) | (.264) | (.289) | (.071) |
Net asset value, end of period | $9.71 | $9.74 | $9.86 | $9.75 | $10.03 | $9.84 |
Total ReturnD,E | 1.00% | .96% | 3.68% | (.14)% | 4.93% | 1.97% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .66%G | .66% | .69% | .65% | .65% | .82%G |
Expenses net of fee waivers, if any | .22%G | .23% | .23% | .23% | .23% | .23%G |
Expenses net of all reductions | .22%G | .23% | .23% | .23% | .23% | .23%G |
Net investment income (loss) | 2.68%G | 2.07% | 2.19% | 2.60% | 2.87% | 2.52%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $113 | $112 | $111 | $107 | $107 | $102 |
Portfolio turnover rateH | 26%G | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 Income Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.74 | $9.85 | $9.75 | $10.03 | $9.84 | $9.72 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .119 | .181 | .193 | .231 | .261 | .066 |
Net realized and unrealized gain (loss) | (.035) | (.099) | .130 | (.271) | .193 | .118 |
Total from investment operations | .084 | .082 | .323 | (.040) | .454 | .184 |
Distributions from net investment income | (.108) | (.189) | (.196) | (.230) | (.261) | (.061) |
Distributions from net realized gain | (.006) | (.003) | (.027) | (.010) | (.003) | (.003) |
Total distributions | (.114) | (.192) | (.223) | (.240) | (.264) | (.064) |
Net asset value, end of period | $9.71 | $9.74 | $9.85 | $9.75 | $10.03 | $9.84 |
Total ReturnD,E | .87% | .81% | 3.32% | (.39)% | 4.68% | 1.90% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .91%G | .91% | .94% | .90% | .90% | 1.07%G |
Expenses net of fee waivers, if any | .47%G | .48% | .48% | .48% | .48% | .48%G |
Expenses net of all reductions | .47%G | .48% | .48% | .48% | .48% | .48%G |
Net investment income (loss) | 2.44%G | 1.82% | 1.95% | 2.35% | 2.62% | 2.27%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $112 | $111 | $110 | $106 | $107 | $102 |
Portfolio turnover rateH | 26%G | 40% | 41% | 74% | 115% | 87% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Core Income 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 Income Multi-Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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, municipal securities, and 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. 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.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018 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, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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.
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), certain independent Trustees have elected 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 of $905 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 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 market discount, 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 | $201,288 |
Gross unrealized depreciation | (1,355,840) |
Net unrealized appreciation (depreciation) | $(1,154,552) |
Tax cost | $47,203,316 |
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 | $(30,859) |
Long-term | (2,504) |
Total capital loss carryforward | $(33,363) |
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. 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 $4,683,830 and $2,036,139, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .65% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .32% 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) 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.
PGIM, Inc. has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, PGIM, Inc. has not been allocated any portion of the Fund's assets. PGIM, Inc. 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% | $138 | $138 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Core Income Multi-Manager | $2,397 | .01 |
Class L | 5 | .01 |
Class N | 5 | .01 |
$2,407 |
(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. For the period, the fees were equivalent to an annualized rate of .04%.
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.
5. 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.
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 $62 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 waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $67,446.
The investment adviser has also contractually agreed to reimburse Core Income 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 Income Multi-Manager | .20% | $33,111 |
Class L | .20% | 82 |
Class N | .45% | 81 |
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 $18.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Core Income Multi-Manager | $556,665 | $920,146 |
Class F | – | 56,126 |
Class L | 1,392 | 2,425 |
Class N | 1,237 | 2,126 |
Total | $559,294 | $980,823 |
From net realized gain | ||
Core Income Multi-Manager | $27,165 | $12,112 |
Class F | – | 995 |
Class L | 69 | 34 |
Class N | 68 | 33 |
Total | $27,302 | $13,174 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Core Income Multi-Manager | ||||
Shares sold | 468,333 | 1,128,988 | $4,538,586 | $11,200,787 |
Reinvestment of distributions | 60,145 | 93,918 | 583,673 | 931,603 |
Shares redeemed | (253,379) | (764,499) | (2,459,172) | (7,534,353) |
Net increase (decrease) | 275,099 | 458,407 | $2,663,087 | $4,598,037 |
Class F | ||||
Shares sold | – | 222,194 | $– | $2,209,667 |
Reinvestment of distributions | – | 5,729 | – | 56,968 |
Shares redeemed | – | (526,149) | – | (5,245,377) |
Net increase (decrease) | – | (298,226) | $– | $(2,978,742) |
Class L | ||||
Reinvestment of distributions | 151 | 248 | 1,461 | 2,459 |
Net increase (decrease) | 151 | 248 | $1,461 | $2,459 |
Class N | ||||
Reinvestment of distributions | 135 | 218 | 1,305 | 2,159 |
Net increase (decrease) | 135 | 218 | $1,305 | $2,159 |
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 68% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Core Income Multi-Manager | .22% | |||
Actual | $1,000.00 | $1,010.00 | $1.11 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $1.12 | |
Class L | .22% | |||
Actual | $1,000.00 | $1,010.00 | $1.11 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $1.12 | |
Class N | .47% | |||
Actual | $1,000.00 | $1,008.70 | $2.38 | |
Hypothetical-C | $1,000.00 | $1,022.84 | $2.40 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
ACF-L-ACF-N-SANN-1018
1.9585974.104
Strategic Advisers® Emerging Markets Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity Emerging Markets Fund | 7.4 |
iShares MSCI Emerging Markets Index ETF | 6.6 |
iShares MSCI China ETF | 5.3 |
iShares MSCI Emerging Markets Mini Volume ETF | 4.1 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 3.1 |
Samsung Electronics Co. Ltd. | 2.8 |
Oppenheimer Developing Markets Fund Class I | 2.5 |
Tencent Holdings Ltd. | 2.4 |
SPDR S&P China ETF | 2.3 |
iShares MSCI South Korea Index ETF | 2.1 |
38.6 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Information Technology | 15.6 |
Financials | 12.5 |
Consumer Discretionary | 4.4 |
Energy | 3.7 |
Consumer Staples | 3.6 |
Geographic Diversification (% of fund's net assets)
As of August 31, 2018 | ||
United States of America* | 51.8% | |
Cayman Islands | 7.9% | |
Korea (South) | 7.3% | |
China | 5.5% | |
Taiwan | 5.0% | |
India | 4.9% | |
Brazil | 3.5% | |
South Africa | 2.8% | |
Thailand | 1.5% | |
Other | 9.8% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 47.0% | |
Preferred Stocks | 1.5% | |
Diversifed Emerging Markets Funds | 34.8% | |
Foreign Large Value Funds | 0.9% | |
Other | 7.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 8.2% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 47.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 4.4% | |||
Auto Components - 0.4% | |||
Fuyao Glass Industries Group Co. Ltd. | 2,497,437 | $9,292,959 | |
Huayu Automotive Systems Co. Ltd. Class A | 177,100 | 529,628 | |
MAHLE Metal Leve SA | 11,100 | 68,757 | |
Motherson Sumi Systems Ltd. (a) | 1,208,060 | 5,173,876 | |
Tianneng Power International Ltd. | 1,636,000 | 2,032,298 | |
Xinyi Glass Holdings Ltd. | 1,058,000 | 1,321,026 | |
Yoo Sung Enterprise | 12,785 | 36,394 | |
18,454,938 | |||
Automobiles - 1.0% | |||
Bajaj Auto Ltd. | 164,984 | 6,377,809 | |
Chongqing Changan Automobile Co. Ltd.: | |||
(B Shares) | 1,839,007 | 1,612,023 | |
Class A | 444,263 | 454,571 | |
Dongfeng Motor Group Co. Ltd. (H Shares) | 1,216,000 | 1,358,728 | |
Ford Otomotiv Sanayi A/S | 18,395 | 187,558 | |
Geely Automobile Holdings Ltd. | 5,426,000 | 11,531,222 | |
Guangzhou Automobile Group Co. Ltd. (H Shares) | 1,370,000 | 1,487,167 | |
Hero Motocorp Ltd. | 165,906 | 7,602,633 | |
Hyundai Motor Co. | 21,290 | 2,386,001 | |
Kia Motors Corp. | 208,939 | 6,003,887 | |
Maruti Suzuki India Ltd. | 22,078 | 2,828,397 | |
PT Astra International Tbk | 8,026,500 | 3,950,586 | |
Tofas Turk Otomobil Fabrikasi A/S | 812,723 | 2,834,418 | |
48,615,000 | |||
Diversified Consumer Services - 0.3% | |||
Estacio Participacoes SA | 106,400 | 588,804 | |
New Oriental Education & Technology Group, Inc. sponsored ADR | 107,653 | 8,461,526 | |
TAL Education Group ADR (a) | 28,446 | 842,002 | |
Visang Education, Inc. | 9,614 | 71,284 | |
ZTO Express (Cayman), Inc. sponsored ADR | 209,000 | 3,858,140 | |
13,821,756 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Bloomberry Resorts Corp. | 1,473,700 | 263,124 | |
China International Travel Service Corp. Ltd. (A Shares) | 53,338 | 494,693 | |
Genting Bhd | 334,300 | 701,221 | |
Sands China Ltd. | 2,090,722 | 10,202,217 | |
11,661,255 | |||
Household Durables - 0.9% | |||
Coway Co. Ltd. | 62,635 | 5,132,728 | |
Gree Electric Appliances, Inc. of Zhuhai Class A (a) | 358,200 | 2,042,288 | |
Haier Electronics Group Co. Ltd. | 3,844,349 | 10,016,491 | |
Hisense Electric Co. Ltd. | 57,313 | 83,476 | |
Kang Yong Electric PCL NVDR | 5,000 | 61,717 | |
LG Electronics, Inc. | 146,332 | 10,075,937 | |
Midea Group Co. Ltd. Class A | 2,043,748 | 12,445,278 | |
Zhejiang Supor Cookware Co. Ltd. | 361,360 | 2,643,220 | |
42,501,135 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Ctrip.com International Ltd. ADR (a) | 104,800 | 4,102,920 | |
JD.com, Inc. sponsored ADR (a) | 218,070 | 6,825,591 | |
10,928,511 | |||
Leisure Products - 0.0% | |||
Advanced International Multitech Co. Ltd. | 28,000 | 33,783 | |
Media - 0.6% | |||
Hyundai HCN | 146,658 | 537,792 | |
Naspers Ltd. Class N | 112,591 | 25,021,865 | |
Smiles Fidelidade SA | 107,700 | 1,372,593 | |
YeaRimDang Publishing Co. Ltd. (a) | 7,300 | 57,792 | |
26,990,042 | |||
Multiline Retail - 0.4% | |||
Chongqing Department Store Co. Ltd. | 112,800 | 473,887 | |
Dashang Group Co. Ltd. Class A | 65,353 | 273,982 | |
Future Retail Ltd. | 507,200 | 3,977,311 | |
Lojas Renner SA | 1,094,390 | 7,598,475 | |
Magazine Luiza SA | 117,300 | 3,751,031 | |
S.A.C.I. Falabella | 364,483 | 2,900,892 | |
Wangfujing Group Co. Ltd. | 282,581 | 665,967 | |
19,641,545 | |||
Specialty Retail - 0.3% | |||
E-Life Mall Corp. Ltd. | 18,000 | 38,329 | |
Foschini Ltd. | 212,125 | 2,520,238 | |
Lewis Group Ltd. | 11,913 | 22,942 | |
Mr Price Group Ltd. | 64,119 | 983,231 | |
Padini Holdings Bhd | 205,200 | 298,600 | |
Petrobras Distribuidora SA | 946,300 | 4,595,471 | |
SSI Group, Inc. | 417,000 | 17,074 | |
Zhongsheng Group Holdings Ltd. Class H | 2,213,500 | 4,856,375 | |
13,332,260 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Arezzo Industria e Comercio SA | 59,600 | 579,012 | |
CECEP COSTIN New Materials Group Ltd. (a)(b) | 741,000 | 28,323 | |
China Tower Corp. Ltd. Class H | 15,760,000 | 2,409,556 | |
F&F Co. Ltd. | 1,001 | 90,196 | |
Fila Korea Ltd. | 3,601 | 134,792 | |
Grendene SA | 145,500 | 255,771 | |
Guararapes Confeccoes SA | 3,000 | 77,374 | |
LG Fashion Corp. | 7,144 | 170,056 | |
LPP SA | 389 | 966,020 | |
Weiqiao Textile Co. Ltd. (H Shares) | 426,500 | 154,325 | |
4,865,425 | |||
TOTAL CONSUMER DISCRETIONARY | 210,845,650 | ||
CONSUMER STAPLES - 3.6% | |||
Beverages - 0.5% | |||
Ambev SA | 771,500 | 3,570,444 | |
Anheuser-Busch InBev SA NV | 21,221 | 1,978,709 | |
Beijing Shunxin Agriculture Co. Ltd. | 128,415 | 795,885 | |
China Resources Beer Holdings Co. Ltd. | 428,000 | 1,821,335 | |
Compania Cervecerias Unidas SA sponsored ADR | 11,233 | 296,551 | |
Fomento Economico Mexicano S.A.B. de CV: | |||
unit | 240,800 | 2,302,852 | |
sponsored ADR | 99,239 | 9,515,035 | |
Kweichow Moutai Co. Ltd. (A Shares) | 58,678 | 5,662,000 | |
Pepsi-Cola Products Philippines, Inc. | 677,100 | 26,078 | |
25,968,889 | |||
Food & Staples Retailing - 1.2% | |||
Bidcorp Ltd. | 90,759 | 1,936,789 | |
Bim Birlesik Magazalar A/S JSC | 441,733 | 4,910,985 | |
C.P. ALL PCL (For. Reg.) | 5,349,000 | 11,031,393 | |
Clicks Group Ltd. | 96,249 | 1,329,605 | |
Drogasil SA | 468,434 | 8,855,520 | |
Grupo Comercial Chedraui S.A.B. de CV | 11,504 | 27,301 | |
Magnit OJSC GDR (Reg. S) | 37,501 | 553,890 | |
President Chain Store Corp. | 370,000 | 4,041,936 | |
Shoprite Holdings Ltd. | 475,630 | 6,602,825 | |
Wal-Mart de Mexico SA de CV Series V | 3,867,700 | 10,707,143 | |
X5 Retail Group NV GDR (Reg. S) | 296,307 | 6,773,578 | |
56,770,965 | |||
Food Products - 1.1% | |||
Astral Foods Ltd. | 15,448 | 272,135 | |
Charoen Pokphand Foods PCL (For. Reg.) | 1,808,500 | 1,422,819 | |
China Mengniu Dairy Co. Ltd. | 5,866,496 | 16,929,592 | |
COFCO Tunhe Sugar Co. Ltd. Class A | 629,800 | 710,789 | |
Gruma S.A.B. de CV Series B | 988,819 | 12,527,637 | |
Industrias Bachoco SA de CV Series B | 36,288 | 175,521 | |
JBS SA | 1,769,500 | 4,083,695 | |
M. Dias Branco SA | 88,800 | 922,425 | |
Orion Corp./Republic of Korea | 19,427 | 1,863,693 | |
PT Charoen Pokphand Indonesia Tbk | 252,300 | 85,299 | |
PT Indofood Sukses Makmur Tbk | 1,861,300 | 805,552 | |
PT Japfa Comfeed Indonesia Tbk | 294,500 | 43,985 | |
SLC Agricola SA | 19,500 | 315,976 | |
Tiger Brands Ltd. | 321,911 | 6,271,076 | |
Tingyi (Cayman Islands) Holding Corp. | 226,000 | 403,697 | |
Unified-President Enterprises Corp. | 1,292,000 | 3,269,393 | |
Universal Robina Corp. | 1,199,000 | 3,127,095 | |
Venky's India Ltd. (a) | 10,925 | 426,337 | |
53,656,716 | |||
Personal Products - 0.5% | |||
AMOREPACIFIC Corp. | 8,509 | 2,006,408 | |
AMOREPACIFIC Group, Inc. | 11,372 | 982,876 | |
Hengan International Group Co. Ltd. | 591,000 | 5,319,847 | |
LG Household & Health Care Ltd. | 11,152 | 12,648,185 | |
TCI Co. Ltd. | 73,688 | 1,345,636 | |
22,302,952 | |||
Tobacco - 0.3% | |||
ITC Ltd. | 3,097,326 | 13,952,253 | |
PT Gudang Garam Tbk | 223,300 | 1,106,646 | |
15,058,899 | |||
TOTAL CONSUMER STAPLES | 173,758,421 | ||
ENERGY - 3.6% | |||
Energy Equipment & Services - 0.1% | |||
China Oilfield Services Ltd. (H Shares) | 3,866,000 | 3,428,235 | |
Ezion Holdings Ltd. warrants 4/6/23 (a) | 5,020,014 | 37 | |
Tenaris SA sponsored ADR | 59,800 | 2,005,692 | |
5,433,964 | |||
Oil, Gas & Consumable Fuels - 3.5% | |||
Bangchak Petroleum PCL: | |||
(For. Reg.) | 520,100 | 572,062 | |
NVDR | 570,600 | 627,608 | |
Banpu PCL NVDR unit | 434,700 | 269,612 | |
Bharat Petroleum Corp. Ltd. | 1,602,713 | 8,173,261 | |
China Petroleum & Chemical Corp. (H Shares) | 14,254,000 | 14,342,184 | |
China Shenhua Energy Co. Ltd. (H Shares) | 15,000 | 33,445 | |
CNOOC Ltd. | 6,369,000 | 11,300,974 | |
Cosan Ltd. Class A | 7,848 | 51,875 | |
Dana Gas PJSC (a) | 1,091,588 | 329,870 | |
Ecopetrol SA ADR (c) | 267,798 | 6,052,235 | |
Esso Thailand PCL unit | 140,900 | 68,018 | |
Exxaro Resources Ltd. | 168,855 | 1,710,382 | |
Formosa Petrochemical Corp. | 137,000 | 562,904 | |
Gazprom OAO sponsored ADR (Reg. S) | 721,356 | 3,181,180 | |
Grupa Lotos SA | 11,091 | 209,151 | |
Hindustan Petroleum Corp. Ltd. | 1,092,568 | 3,905,271 | |
Indian Oil Corp. Ltd. | 1,402,255 | 3,071,907 | |
IRPC PCL NVDR | 14,815,200 | 3,145,910 | |
Lukoil PJSC | 33,827 | 2,355,830 | |
Lukoil PJSC sponsored ADR | 175,435 | 12,105,015 | |
NOVATEK OAO GDR (Reg. S) | 12,317 | 2,056,939 | |
Oil & Natural Gas Corp. Ltd. | 1,312,565 | 3,328,320 | |
PetroChina Co. Ltd. (H Shares) | 2,874,000 | 2,113,149 | |
Petroleo Brasileiro SA - Petrobras (ON) | 491,900 | 2,666,557 | |
Petronet LNG Ltd. | 699,493 | 2,443,620 | |
Polish Oil & Gas Co. SA | 698,567 | 1,096,841 | |
Polski Koncern Naftowy Orlen SA | 324,677 | 8,605,031 | |
PT Adaro Energy Tbk | 25,186,000 | 3,188,859 | |
PT Harum Energy Tbk | 1,111,200 | 193,121 | |
PT Indo Tambangraya Megah Tbk | 395,800 | 760,430 | |
PT Tambang Batubara Bukit Asam Tbk | 2,159,400 | 593,725 | |
PT United Tractors Tbk | 2,498,300 | 5,834,455 | |
PTT Exploration and Production PCL NVDR | 1,256,000 | 5,468,378 | |
PTT PCL: | |||
(For. Reg.) | 4,821,100 | 7,733,203 | |
NVDR | 5,193,000 | 8,329,743 | |
QGEP Participacoes SA | 57,600 | 172,527 | |
Reliance Industries Ltd. | 1,110,398 | 19,417,304 | |
Shell Refining Co. (F.O.M.) Bhd | 51,400 | 92,932 | |
SK Energy Co. Ltd. | 62,782 | 10,863,691 | |
Star Petroleum Refining PCL | 5,904,600 | 2,688,009 | |
Star Petroleum Refining PCL unit | 2,932,400 | 1,334,945 | |
Susco Public Co. Ltd. unit | 267,500 | 26,153 | |
Tatneft PAO sponsored ADR | 19,254 | 1,333,147 | |
Thai Oil PCL: | |||
(For. Reg.) | 784,800 | 2,020,147 | |
NVDR | 732,400 | 1,885,264 | |
Tupras Turkiye Petrol Rafinerileri A/S | 116,190 | 2,088,030 | |
168,403,214 | |||
TOTAL ENERGY | 173,837,178 | ||
FINANCIALS - 11.5% | |||
Banks - 8.1% | |||
Agricultural Bank of China Ltd. (H Shares) | 17,245,000 | 8,349,228 | |
Akbank T.A.S. | 361,132 | 316,792 | |
Albaraka Turk Katilim Bankasi A/S | 731,138 | 140,299 | |
Alpha Bank AE (a) | 3,913,561 | 7,186,498 | |
Axis Bank Ltd. (a) | 1,302,667 | 11,911,225 | |
Banco ABC Brasil SA (a) | 23,925 | 85,818 | |
Banco do Brasil SA | 475,600 | 3,514,660 | |
Banco Santander Chile sponsored ADR | 167,100 | 5,113,260 | |
Banco Santander Mexico SA sponsored ADR | 30,089 | 236,199 | |
Bancolombia SA sponsored ADR | 72,300 | 3,134,928 | |
Bangkok Bank PCL NVDR | 118,800 | 744,088 | |
Bank of Chengdu Co. Ltd. Class A | 341,400 | 445,772 | |
Bank of China Ltd. (H Shares) | 54,755,000 | 24,604,562 | |
Bank of Shanghai Co. Ltd. Class A | 210,600 | 360,993 | |
Barclays Africa Group Ltd. | 735,905 | 8,140,276 | |
BDO Unibank, Inc. | 595,670 | 1,448,874 | |
Bumiputra-Commerce Holdings Bhd | 1,821,000 | 2,698,598 | |
Capitec Bank Holdings Ltd. | 74,918 | 5,112,217 | |
China Construction Bank Corp. (H Shares) | 55,037,000 | 48,473,085 | |
Chinatrust Financial Holding Co. Ltd. | 10,902,058 | 7,679,008 | |
Chongqing Rural Commercial Bank Co. Ltd. (H Shares) | 34,000 | 18,324 | |
Credicorp Ltd. (United States) | 57,845 | 12,611,367 | |
Dubai Islamic Bank Pakistan Ltd. (a) | 358,151 | 499,226 | |
E.SUN Financial Holdings Co. Ltd. | 6,116,031 | 4,507,347 | |
Emirates NBD Bank PJSC (a) | 32,838 | 84,483 | |
Grupo Aval Acciones y Valores SA ADR | 185,400 | 1,466,514 | |
Grupo Financiero Banorte S.A.B. de CV Series O | 2,203,100 | 15,089,971 | |
Grupo Financiero Inbursa S.A.B. de CV Series O | 320,573 | 509,420 | |
Hana Financial Group, Inc. | 271,748 | 10,403,493 | |
HDFC Bank Ltd. | 359,541 | 10,494,124 | |
Hong Leong Credit Bhd | 13,700 | 65,408 | |
ICICI Bank Ltd. sponsored ADR (a) | 1,622,667 | 15,626,283 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 36,822,000 | 27,116,568 | |
Industrial Bank of Korea | 8,418 | 112,455 | |
Kasikornbank PCL (For. Reg.) | 1,009,800 | 6,540,715 | |
KB Financial Group, Inc. | 309,793 | 14,295,073 | |
Kiatnakin Bank PCL (For. Reg.) | 679,500 | 1,603,769 | |
Krung Thai Bank PCL: | |||
(For. Reg.) | 985,300 | 584,015 | |
NVDR | 6,107,300 | 3,619,970 | |
Malayan Banking Bhd | 3,205,600 | 7,769,260 | |
National Bank of Abu Dhabi PJSC | 4,608,075 | 18,567,036 | |
Nedbank Group Ltd. | 83,732 | 1,583,928 | |
OTP Bank PLC | 465,161 | 17,124,545 | |
PT Bank Bukopin Tbk (a) | 4,000 | 110 | |
PT Bank Central Asia Tbk | 4,019,300 | 6,767,050 | |
PT Bank Negara Indonesia (Persero) Tbk | 8,141,200 | 4,311,022 | |
PT Bank Rakyat Indonesia Tbk | 29,373,200 | 6,341,261 | |
PT Bank Tabungan Negara Tbk | 4,329,600 | 808,310 | |
Public Bank Bhd | 936,300 | 5,723,289 | |
Qatar Islamic Bank (a) | 8,478 | 325,987 | |
Qatar National Bank SAQ (a) | 4,462 | 218,137 | |
Sberbank of Russia | 2,096,520 | 5,635,398 | |
Sberbank of Russia sponsored ADR | 2,102,883 | 22,826,795 | |
Standard Bank Group Ltd. | 597,291 | 7,573,951 | |
Thanachart Capital PCL: | |||
(For. Reg.) | 1,720,600 | 2,825,611 | |
NVDR | 727,900 | 1,195,375 | |
The Shanghai Commercial & Savings Bank Ltd. | 52,564 | 62,015 | |
TISCO Financial Group PCL | 742,200 | 1,859,468 | |
TISCO Financial Group PCL NVDR | 258,400 | 647,382 | |
Turkiye Garanti Bankasi A/S | 4,182,752 | 3,790,225 | |
Turkiye Halk Bankasi A/S | 1,272,150 | 1,189,577 | |
Turkiye Is Bankasi A/S Series C | 2,259,512 | 1,373,009 | |
Turkiye Vakiflar Bankasi TAO | 3,727,821 | 1,964,342 | |
Union National Bank (a) | 84,437 | 84,135 | |
Woori Bank | 268,632 | 3,925,819 | |
Yes Bank Ltd. | 1,105,938 | 5,350,182 | |
394,788,124 | |||
Capital Markets - 0.1% | |||
BM&F BOVESPA SA | 41,800 | 223,311 | |
Yuanta Financial Holding Co. Ltd. | 5,039,000 | 2,555,157 | |
2,778,468 | |||
Consumer Finance - 0.2% | |||
Shriram Transport Finance Co. Ltd. | 438,681 | 8,252,800 | |
Diversified Financial Services - 0.6% | |||
Alexander Forbes Group Holdings Ltd. | 157,668 | 56,758 | |
FirstRand Ltd. | 4,091,819 | 19,686,397 | |
Fubon Financial Holding Co. Ltd. | 4,391,000 | 7,288,264 | |
GT Capital Holdings, Inc. | 71,723 | 1,174,655 | |
28,206,074 | |||
Insurance - 2.0% | |||
AIA Group Ltd. | 1,520,600 | 13,116,053 | |
BB Seguridade Participacoes SA | 1,072,422 | 6,445,432 | |
Cathay Financial Holding Co. Ltd. | 156,000 | 267,580 | |
China Life Insurance Co. Ltd. (H Shares) | 2,738,000 | 6,201,056 | |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | 827,400 | 3,083,478 | |
Discovery Ltd. | 228,116 | 2,719,851 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 165,855 | 5,531,672 | |
Liberty Holdings Ltd. | 555,568 | 4,401,066 | |
MMI Holdings Ltd. | 1,926,180 | 2,247,975 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 2,709,500 | 26,098,194 | |
Porto Seguro SA | 307,748 | 4,146,525 | |
Powszechny Zaklad Ubezpieczen SA | 810,648 | 9,767,054 | |
Sanlam Ltd. | 2,755,727 | 14,878,488 | |
Shin Kong Financial Holding Co. Ltd. | 729,000 | 288,833 | |
99,193,257 | |||
Thrifts & Mortgage Finance - 0.5% | |||
Housing Development Finance Corp. Ltd. | 636,290 | 17,348,435 | |
LIC Housing Finance Ltd. | 958,523 | 7,031,824 | |
24,380,259 | |||
TOTAL FINANCIALS | 557,598,982 | ||
HEALTH CARE - 0.7% | |||
Health Care Equipment & Supplies - 0.0% | |||
Hartalega Holdings Bhd | 108,700 | 187,801 | |
Health Care Providers & Services - 0.1% | |||
Fleury SA | 52,500 | 331,259 | |
Odontoprev SA | 134,700 | 433,225 | |
Qualicorp SA | 34,400 | 133,104 | |
Selcuk Ecza Deposu Tic A/S | 122,624 | 58,079 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 813,000 | 2,133,817 | |
Sinopharm Group Co. Ltd. (H Shares) | 485,200 | 2,414,023 | |
5,503,507 | |||
Pharmaceuticals - 0.6% | |||
Aspen Pharmacare Holdings Ltd. | 105,194 | 2,086,127 | |
China Resources Double Crane Pharmaceutical Co. Ltd. | 188,520 | 441,255 | |
China Resources Sanjiu Medical & Pharmaceutical Co. Ltd. | 71,100 | 273,930 | |
CSPC Pharmaceutical Group Ltd. | 3,582,000 | 9,036,292 | |
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. (H Shares) | 74,000 | 272,477 | |
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) | 544,847 | 5,275,800 | |
Jiangsu Kanion Pharmaceutical Co. Ltd. Class A | 23,395 | 35,616 | |
PT Kalbe Farma Tbk | 35,808,056 | 3,269,643 | |
Renhe Pharmacy Co. Ltd. Class A | 612,147 | 641,583 | |
Shanghai Modern Pharmaceutical Co. Ltd. Class A | 97,200 | 141,855 | |
Sichuan Kelun Pharmaceutical Co. Ltd. | 22,500 | 92,681 | |
Sino Biopharmaceutical Ltd. | 415,500 | 526,207 | |
Sun Pharmaceutical Industries Ltd. | 627,735 | 5,771,661 | |
Tonghua Dongbao Pharmaceutical Co. Ltd. Class A | 752,600 | 1,909,179 | |
29,774,306 | |||
TOTAL HEALTH CARE | 35,465,614 | ||
INDUSTRIALS - 1.8% | |||
Airlines - 0.3% | |||
Air Arabia PJSC (a) | 1,523,800 | 418,997 | |
AirAsia Group BHD | 2,434,100 | 2,037,548 | |
AirAsia X Bhd (a) | 630,800 | 51,422 | |
Azul SA sponsored ADR (a) | 265,400 | 4,464,028 | |
Cebu Air, Inc. | 213,632 | 287,572 | |
China Southern Airlines Ltd. (H Shares) | 1,128,000 | 745,892 | |
Copa Holdings SA Class A | 20,330 | 1,625,180 | |
Pegasus Hava Tasimaciligi A/S (a) | 45,356 | 164,675 | |
Thai Airways International PCL NVDR (a) | 83,500 | 33,420 | |
Turk Hava Yollari AO (a) | 1,949,931 | 4,834,589 | |
14,663,323 | |||
Building Products - 0.0% | |||
Trakya Cam Sanayii A/S | 390,782 | 257,101 | |
Commercial Services & Supplies - 0.0% | |||
China Everbright International Ltd. | 1,350,000 | 1,136,933 | |
China Everbright International Ltd. rights 9/13/18 (a) | 500,000 | 38,860 | |
1,175,793 | |||
Construction & Engineering - 0.3% | |||
China Communications Construction Co. Ltd. (H Shares) | 2,614,000 | 2,594,434 | |
China National Chemical Engineering Co. Ltd. Class A | 482,992 | 470,160 | |
China Railway Construction Corp. Ltd. (H Shares) | 1,377,000 | 1,664,944 | |
China Railway Group Ltd. (H Shares) | 1,586,000 | 1,370,037 | |
Gamuda Bhd | 2,227,900 | 2,005,896 | |
Orascom Construction Ltd. | 14,699 | 121,599 | |
Tekfen Holding A/S | 1,024,086 | 3,191,008 | |
Wilson Bayly Holmes-Ovcon Ltd. | 4,310 | 43,936 | |
11,462,014 | |||
Electrical Equipment - 0.1% | |||
BizLink Holding, Inc. | 584,463 | 3,039,909 | |
DONGYANG E&P, Inc. | 21,665 | 193,465 | |
LS Cable Ltd. | 9,264 | 558,152 | |
Walsin Lihwa Corp. | 343,000 | 242,715 | |
4,034,241 | |||
Industrial Conglomerates - 0.4% | |||
Alfa SA de CV Series A | 1,501,500 | 1,974,991 | |
AntarChile SA Class A | 2,925 | 45,916 | |
CITIC Pacific Ltd. | 1,152,000 | 1,638,009 | |
CJ Corp. | 6,147 | 727,482 | |
Dubai Investments Ltd. (a) | 1,397,012 | 756,858 | |
Fosun International Ltd. | 1,311,000 | 2,371,868 | |
Hanwha Corp. | 83,466 | 2,383,439 | |
Hong Leong Industries Bhd | 11,800 | 32,964 | |
Hyosung Corp. | 1,214 | 49,959 | |
Koc Holding A/S | 447,499 | 1,020,915 | |
LG Corp. | 44,404 | 2,846,512 | |
Mannai Corp. (a) | 8,644 | 124,520 | |
San Miguel Corp. | 213,760 | 675,400 | |
SK C&C Co. Ltd. | 1,450 | 341,908 | |
SM Investments Corp. | 311,930 | 5,633,548 | |
Turk Sise ve Cam Fabrikalari A/S | 132,920 | 124,697 | |
20,748,986 | |||
Machinery - 0.1% | |||
Lonking Holdings Ltd. | 1,283,000 | 441,357 | |
Sany Heavy Industry Co. Ltd. Class A | 380,600 | 501,413 | |
Sinotruk Hong Kong Ltd. | 1,032,500 | 1,541,761 | |
Weichai Power Co. Ltd. (H Shares) | 1,761,000 | 1,866,733 | |
XCMG Construction Machinery Co. Ltd. Class A | 604,000 | 361,613 | |
4,712,877 | |||
Marine - 0.0% | |||
Costamare, Inc. | 24,855 | 174,731 | |
Qatar Navigation QPSC (a) | 2,362 | 42,401 | |
217,132 | |||
Road & Rail - 0.1% | |||
Daqin Railway Co. Ltd. (A Shares) | 270,000 | 341,082 | |
Globaltrans Investment PLC GDR (Reg. S) | 95,573 | 1,051,303 | |
Localiza Rent A Car SA | 531,200 | 2,807,870 | |
4,200,255 | |||
Trading Companies & Distributors - 0.0% | |||
Barloworld Ltd. | 147,080 | 1,251,106 | |
Transportation Infrastructure - 0.5% | |||
Adani Ports & Special Economic Zone Ltd. | 693,228 | 3,740,727 | |
Airports of Thailand PCL (For. Reg.) | 1,342,400 | 2,737,709 | |
DP World Ltd. | 358,448 | 7,670,787 | |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR | 9,543 | 1,790,171 | |
Malaysia Airports Holdings Bhd | 251,100 | 571,307 | |
Shanghai International Airport Co. Ltd. (A Shares) | 480,674 | 3,861,434 | |
Shenzhen Expressway Co. (H Shares) | 2,780,000 | 2,695,436 | |
Zhejiang Expressway Co. Ltd. (H Shares) | 1,226,000 | 973,146 | |
24,040,717 | |||
TOTAL INDUSTRIALS | 86,763,545 | ||
INFORMATION TECHNOLOGY - 15.4% | |||
Electronic Equipment & Components - 1.7% | |||
AAC Technology Holdings, Inc. | 207,000 | 2,294,505 | |
AU Optronics Corp. | 995,000 | 432,291 | |
Cheng Uei Precision Industries Co. Ltd. | 57,000 | 52,138 | |
Compeq Manufacturing Co. Ltd. | 988,000 | 947,212 | |
Coretronic Corp. | 87,400 | 164,449 | |
Enel Chile SA sponsored ADR | 176,677 | 860,417 | |
Erajaya Swasembada Tbk PT | 1,133,600 | 206,249 | |
FLEXium Interconnect, Inc. | 311,000 | 1,004,011 | |
Hangzhou Hikvision Digital Technology Co. Ltd. Class A | 858,403 | 3,951,808 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 7,399,533 | 19,424,196 | |
Innolux Corp. | 4,751,039 | 1,773,932 | |
INTOPS Co. Ltd. | 37,928 | 315,228 | |
Kingboard Chemical Holdings Ltd. | 781,500 | 2,778,003 | |
Largan Precision Co. Ltd. | 152,000 | 23,320,942 | |
Lens Technology Co. Ltd. Class A | 1,687,259 | 2,906,981 | |
LG Display Co. Ltd. | 256,540 | 4,881,027 | |
Pinnacle Technology Holdings Ltd. | 11,198 | 13,861 | |
Samsung Electro-Mechanics Co. Ltd. | 27,193 | 3,925,256 | |
Samsung SDI Co. Ltd. | 24,033 | 5,085,164 | |
Sunny Optical Technology Group Co. Ltd. | 532,000 | 6,761,204 | |
Synnex Technology International Corp. | 371,000 | 497,231 | |
WPG Holding Co. Ltd. | 654,000 | 829,603 | |
Yageo Corp. | 111,000 | 2,526,511 | |
84,952,219 | |||
Internet Software & Services - 5.8% | |||
58.com, Inc. ADR (a) | 108,231 | 8,234,214 | |
Alibaba Group Holding Ltd. sponsored ADR (a) | 398,635 | 69,765,111 | |
Autohome, Inc. ADR Class A | 68,832 | 5,686,212 | |
Baidu.com, Inc. sponsored ADR (a) | 117,361 | 26,579,919 | |
Cafe24 Corp. (a) | 23,753 | 3,445,735 | |
Danawa Co. Ltd. | 7,604 | 145,895 | |
Mail.Ru Group Ltd. GDR (Reg. S) (a) | 296,329 | 6,371,074 | |
MercadoLibre, Inc. | 12,400 | 4,245,884 | |
Mix Telematics Ltd. sponsored ADR | 9,381 | 157,038 | |
Momo, Inc. ADR (a) | 134,668 | 6,233,782 | |
NAVER Corp. | 6,757 | 4,555,717 | |
NetEase, Inc. ADR | 34,258 | 6,773,149 | |
Tencent Holdings Ltd. | 2,658,789 | 114,293,820 | |
Weibo Corp. sponsored ADR (a)(c) | 42,582 | 3,267,743 | |
Yandex NV Series A (a) | 344,426 | 11,066,407 | |
YY, Inc. ADR (a) | 127,091 | 9,713,565 | |
280,535,265 | |||
IT Services - 1.0% | |||
CSU Cardsystem SA | 20,600 | 34,392 | |
HCL Technologies Ltd. | 707,525 | 10,427,287 | |
Hexaware Technologies Ltd. | 599,191 | 3,702,908 | |
Infosys Ltd. | 279,491 | 5,674,879 | |
Infosys Ltd. sponsored ADR | 661,890 | 13,747,455 | |
Luxoft Holding, Inc. (a) | 27,422 | 1,277,865 | |
MindTree Consulting Ltd. | 167,100 | 2,623,285 | |
Mphasis BFL Ltd. | 114,379 | 2,029,682 | |
QIWI PLC Class B sponsored ADR | 11,447 | 162,547 | |
Samsung SDS Co. Ltd. | 743 | 161,542 | |
Sonata Software Ltd. | 11,423 | 56,886 | |
Tata Consultancy Services Ltd. | 246,629 | 7,219,121 | |
WNS Holdings Ltd. sponsored ADR (a) | 26,263 | 1,361,211 | |
48,479,060 | |||
Semiconductors & Semiconductor Equipment - 3.4% | |||
Ardentec Corp. | 127,000 | 157,994 | |
Chipbond Technology Corp. | 299,000 | 685,440 | |
Dongbu HiTek Co. Ltd. | 42,986 | 707,209 | |
Flat Glass Group Co. Ltd. | 150,000 | 23,698 | |
GlobalWafers Co. Ltd. | 35,000 | 447,401 | |
Holtek Semiconductor, Inc. | 45,000 | 124,144 | |
Lite-On Semiconductor Corp. | 49,000 | 56,005 | |
Machvision, Inc. (a) | 23,000 | 363,008 | |
Malaysian Pacific Industries BHD | 39,100 | 117,029 | |
Nanya Technology Corp. | 200,000 | 454,575 | |
Novatek Microelectronics Corp. | 34,000 | 166,862 | |
Phison Electronics Corp. | 361,000 | 2,990,087 | |
Powertech Technology, Inc. | 659,000 | 1,957,702 | |
Radiant Opto-Electronics Corp. | 250,000 | 550,284 | |
Seoul Semiconductor Co. Ltd. | 16,303 | 257,987 | |
Silicon Works Co. Ltd. | 1,757 | 72,935 | |
Sino-American Silicon Products, Inc. | 940,000 | 2,697,450 | |
SK Hynix, Inc. | 530,204 | 39,455,362 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 10,243,000 | 85,960,067 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 285,810 | 12,461,316 | |
Toptec Co. Ltd. | 1,009 | 17,007 | |
Unisem (M) Bhd | 561,700 | 395,015 | |
United Microelectronics Corp. | 14,732,000 | 8,364,079 | |
United Microelectronics Corp. sponsored ADR | 353,437 | 986,089 | |
Vanguard International Semiconductor Corp. | 1,319,000 | 3,204,379 | |
162,673,124 | |||
Software - 0.2% | |||
Asseco Poland SA | 8,989 | 111,311 | |
CD Projekt RED SA (a) | 163,928 | 9,110,305 | |
NCSOFT Corp. | 887 | 308,163 | |
NIIT Technologies Ltd. (a) | 21,245 | 420,891 | |
Nucleus Software Exports Ltd. | 34,593 | 222,549 | |
Oracle Finance Services Software Ltd. (a) | 3,930 | 230,260 | |
Totvs SA | 11,800 | 77,178 | |
10,480,657 | |||
Technology Hardware, Storage & Peripherals - 3.3% | |||
ASUSTeK Computer, Inc. | 139,000 | 1,185,303 | |
Catcher Technology Co. Ltd. | 870,000 | 10,681,374 | |
Compal Electronics, Inc. | 2,645,000 | 1,660,349 | |
Giga-Byte Technology Co. Ltd. | 254,000 | 434,018 | |
Inventec Corp. | 1,947,000 | 1,749,164 | |
Lite-On Technology Corp. | 919,000 | 1,107,319 | |
Micro-Star International Co. Ltd. | 452,000 | 1,569,752 | |
Pegatron Corp. | 3,013,000 | 6,504,291 | |
Samsung Electronics Co. Ltd. | 3,075,642 | 133,602,474 | |
Sunrex Technology Corp. | 88,648 | 46,686 | |
TPV Technology Ltd. | 398,000 | 40,567 | |
Wiwynn Corp. | 26,326 | 303,042 | |
158,884,339 | |||
TOTAL INFORMATION TECHNOLOGY | 746,004,664 | ||
MATERIALS - 3.0% | |||
Chemicals - 0.7% | |||
China Sanjiang Fine Chemicals Ltd. | 424,000 | 135,594 | |
Formosa Plastics Corp. | 838,000 | 3,074,252 | |
Hanwha Chemical Corp. | 20,419 | 370,719 | |
Indorama Ventures PCL: | |||
unit | 341,000 | 625,115 | |
(For. Reg.) | 997,900 | 1,829,331 | |
Jiangsu Yangnong Chemical Co. Ltd. Class A | 26,100 | 199,050 | |
Kolon Industries, Inc. | 28,369 | 1,724,482 | |
LG Chemical Ltd. | 35,556 | 11,667,530 | |
Lotte Chemical Corp. | 14,538 | 4,118,857 | |
Petronas Chemicals Group Bhd | 561,500 | 1,292,564 | |
PTT Global Chemical PCL NVDR | 1,312,000 | 3,276,994 | |
Rain Industries Ltd. | 29,391 | 78,377 | |
Sasol Ltd. | 68,308 | 2,675,579 | |
Sinopec Shanghai Petrochemical Co. Ltd. (H Shares) | 414,000 | 243,165 | |
Taekwang Industrial Co. Ltd. | 168 | 242,505 | |
31,554,114 | |||
Construction Materials - 0.5% | |||
Anhui Conch Cement Co. Ltd.: | |||
(H Shares) | 1,846,000 | 11,242,402 | |
Class A | 245,300 | 1,333,234 | |
Asia Cement (China) Holdings Corp. | 204,000 | 217,808 | |
CEMEX S.A.B. de CV sponsored ADR (a) | 328,268 | 2,327,420 | |
China Resources Cement Holdings Ltd. | 3,422,000 | 3,993,696 | |
Jiangxi Wannianqing Cement Co. Ltd. Class A | 255,700 | 467,869 | |
Loma Negra Compania Industrial Argentina SA ADR (a) | 89,694 | 677,190 | |
Magnesita Refratarios SA | 4,800 | 83,671 | |
Siam Cement PCL NVDR unit | 229,800 | 3,173,529 | |
23,516,819 | |||
Containers & Packaging - 0.0% | |||
Anadolu Cam Sanayii A/S | 560,600 | 279,182 | |
Bio Pappel S.A.B. de CV (a) | 24,738 | 26,130 | |
Nampak Ltd. (a) | 59,195 | 63,485 | |
Polyplex Thailand PCL unit | 70,900 | 35,526 | |
404,323 | |||
Metals & Mining - 1.5% | |||
Alrosa Co. Ltd. | 1,875,600 | 2,817,551 | |
Anglo American Platinum Ltd. | 33,710 | 986,410 | |
Ann Joo Resources Bhd | 500 | 235 | |
Baoshan Iron & Steel Co. Ltd. | 159,300 | 183,749 | |
CAP SA | 102,615 | 922,086 | |
Dongkuk Steel Mill Co. Ltd. | 111,204 | 933,214 | |
Eregli Demir ve Celik Fabrikalari T.A.S. | 749,153 | 1,350,853 | |
Fresnillo PLC | 161,639 | 1,880,144 | |
Grupo Mexico SA de CV Series B | 436,400 | 1,279,603 | |
Hindalco Industries Ltd. | 174,089 | 583,402 | |
Iskenderun Demir ve Celik A/S | 102,420 | 120,573 | |
Jastrzebska Spolka Weglowa SA (a) | 52,703 | 1,094,810 | |
KISCO Corp. | 7,455 | 43,178 | |
Kumba Iron Ore Ltd. | 86,802 | 1,565,862 | |
Lion Industries Corp. Bhd (a) | 366,800 | 84,794 | |
Magnitogorsk Iron & Steel Works PJSC sponsored GDR (Reg. S) | 18,073 | 172,055 | |
Merafe Resources Ltd. | 291,074 | 29,910 | |
MMC Norilsk Nickel PJSC sponsored ADR | 8,733 | 144,618 | |
MMG Ltd. (a) | 5,864,000 | 2,936,203 | |
Novolipetsk Steel OJSC GDR (Reg. S) | 30,919 | 749,477 | |
Padaeng Industry PCL unit | 205,300 | 89,697 | |
POSCO | 48,294 | 14,063,288 | |
POSCO sponsored ADR | 42,727 | 3,098,135 | |
Sarda Energy & Minerals Ltd. (a) | 21,956 | 130,938 | |
Severstal PAO GDR (Reg. S) | 8,036 | 129,380 | |
Sheng Yu Steel Co. Ltd. | 45,000 | 31,623 | |
Southern Copper Corp. | 172,971 | 7,548,454 | |
Ternium SA sponsored ADR | 171,420 | 4,834,044 | |
Vale SA sponsored ADR | 1,993,317 | 26,311,784 | |
74,116,070 | |||
Paper & Forest Products - 0.3% | |||
Mondi Ltd. | 92,264 | 2,575,481 | |
Nine Dragons Paper (Holdings) Ltd. | 5,022,000 | 5,694,639 | |
PT Indah Kiat Pulp & Paper Tbk | 597,800 | 775,151 | |
Sappi Ltd. | 425,622 | 2,907,669 | |
Shanying International Holdings Co. Ltd. Class A | 520,929 | 283,665 | |
Suzano Papel e Celulose SA | 323,500 | 3,757,527 | |
West Coast Paper Mills Ltd. | 63,671 | 305,779 | |
16,299,911 | |||
TOTAL MATERIALS | 145,891,237 | ||
REAL ESTATE - 1.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Prologis Property Mexico SA | 93,898 | 184,992 | |
Redefine Properties Ltd. | 1,633,005 | 1,150,160 | |
1,335,152 | |||
Real Estate Management & Development - 1.0% | |||
Advancetek Enterprise Co. Ltd. | 36,000 | 20,074 | |
Agile Property Holdings Ltd. | 3,928,000 | 6,415,921 | |
Aldar Properties PJSC | 1,030,200 | 541,303 | |
Asian Property Development PCL NVDR | 806,600 | 231,654 | |
Ayala Land, Inc. | 8,737,000 | 7,268,923 | |
Barwa Real Estate Co. (a) | 17,399 | 172,079 | |
BR Malls Participacoes SA | 486,666 | 1,093,269 | |
Central China Real Estate Ltd. | 174,000 | 72,715 | |
Country Garden Holdings Co. Ltd. | 6,329,000 | 9,418,407 | |
Country Garden Services Holdings Co. Ltd. (a) | 585,977 | 1,003,412 | |
Damac Properties Dubai Co. PJSC (a) | 1,012,513 | 578,870 | |
Emaar Malls Group PJSC (a) | 1,917,696 | 1,044,170 | |
Emaar Misr for Development SAE (a) | 1,133,514 | 286,080 | |
Greenland Holdings Corp. Ltd. Class A | 1,010,600 | 952,684 | |
Greenland Hong Kong Holdings Ltd. | 149,000 | 49,738 | |
Guangzhou R&F Properties Co. Ltd. (H Shares) | 826,800 | 1,668,611 | |
K Wah International Holdings Ltd. | 846,000 | 465,644 | |
KSL Holdings Bhd (a) | 105,100 | 21,739 | |
KWG Property Holding Ltd. | 1,263,000 | 1,350,097 | |
Logan Property Holdings Co. Ltd. | 124,000 | 154,827 | |
Longfor Properties Co. Ltd. | 1,622,500 | 4,506,514 | |
Multiplan Empreendimentos Imobiliarios SA | 239,700 | 1,096,367 | |
Poly Property Group Co. Ltd. | 1,423,000 | 542,095 | |
Powerlong Real Estate Holding Ltd. | 438,000 | 223,778 | |
Quality Houses PCL NVDR | 1,428,100 | 150,969 | |
Risesun Real Estate Development Co. Ltd. Class A | 911,031 | 1,082,862 | |
Road King Infrastructure Ltd. | 341,000 | 578,706 | |
Sansiri PCL: | |||
(For. Reg.) | 16,852,400 | 828,975 | |
NVDR | 8,999,000 | 442,664 | |
Shanghai Shimao Co. Ltd. Class A | 746,800 | 466,784 | |
Shimao Property Holdings Ltd. | 771,000 | 2,298,634 | |
Shui On Land Ltd. | 360,500 | 85,891 | |
Sino-Ocean Group Holding Ltd. | 664,000 | 337,552 | |
United Development Co. (a) | 240,287 | 917,327 | |
46,369,335 | |||
TOTAL REAL ESTATE | 47,704,487 | ||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.6% | |||
China Communications Services Corp. Ltd. (H Shares) | 1,380,000 | 1,142,857 | |
China Telecom Corp. Ltd. (H Shares) | 13,872,000 | 6,521,762 | |
China Unicom Ltd. | 4,694,000 | 5,474,456 | |
KT Corp. | 54,291 | 1,406,670 | |
LG Telecom Ltd. | 434,929 | 6,122,136 | |
Oi SA (a) | 222,400 | 151,248 | |
PT Telekomunikasi Indonesia Tbk: | |||
Series B | 38,019,100 | 9,030,419 | |
sponsored ADR | 10,143 | 240,085 | |
Qatar Telecom (Qtel) Q.S.C. (a) | 6,211 | 124,868 | |
Telecom Egypt SAE | 297,066 | 229,922 | |
Telkom SA Ltd. | 405,832 | 1,388,860 | |
True Corp. PCL unit | 1,343,500 | 275,021 | |
32,108,304 | |||
Wireless Telecommunication Services - 0.5% | |||
China Mobile Ltd. | 238,500 | 2,242,561 | |
China Mobile Ltd. sponsored ADR | 51,644 | 2,478,396 | |
China United Network Communications Ltd. Class A | 2,282,179 | 1,874,116 | |
Mobile TeleSystems OJSC sponsored ADR | 246,408 | 1,909,662 | |
MTN Group Ltd. | 1,216,958 | 7,369,656 | |
SK Telecom Co. Ltd. | 17,962 | 4,220,836 | |
SK Telecom Co. Ltd. sponsored ADR | 31,376 | 816,090 | |
TIM Participacoes SA | 123,900 | 373,851 | |
Turkcell Iletisim Hizmet A/S | 784,952 | 1,267,170 | |
22,552,338 | |||
TOTAL TELECOMMUNICATION SERVICES | 54,660,642 | ||
UTILITIES - 0.9% | |||
Electric Utilities - 0.5% | |||
Adani Transmissions Ltd. (a) | 444 | 1,431 | |
Centrais Eletricas Brasileiras SA (Electrobras) (a) | 46,200 | 179,442 | |
Ceske Energeticke Zavody A/S | 48,974 | 1,241,308 | |
EDP Energias do Brasil SA | 638,400 | 2,101,825 | |
Energa SA | 19,990 | 45,301 | |
Enersis SA sponsored | 113,466 | 841,918 | |
Equatorial Energia SA | 99,200 | 1,388,230 | |
Korea Electric Power Corp. | 62,038 | 1,696,883 | |
Polska Grupa Energetyczna SA (a) | 449,937 | 1,092,463 | |
Power Grid Corp. of India Ltd. | 732,166 | 2,077,761 | |
Tauron Polska Energia SA (a) | 190,211 | 102,631 | |
Tenaga Nasional Bhd | 3,990,200 | 15,224,805 | |
25,993,998 | |||
Gas Utilities - 0.2% | |||
Beijing Enterprises Holdings Ltd. | 271,500 | 1,302,370 | |
Daesung Energy Co. Ltd. | 20,047 | 104,786 | |
GAIL India Ltd. | 672,680 | 3,526,111 | |
Indraprastha Gas Ltd. | 1,123,780 | 4,596,095 | |
Samchully Co. Ltd. | 279 | 26,390 | |
9,555,752 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Benpres Holdings Corp. | 124,600 | 10,949 | |
Central Puerto SA sponsored ADR (c) | 356,200 | 3,334,032 | |
China Longyuan Power Grid Corp. Ltd. (H Shares) | 1,956,000 | 1,647,289 | |
Huaneng Renewables Corp. Ltd. (H Shares) | 4,442,000 | 1,420,534 | |
NTPC Ltd. | 565,102 | 1,364,904 | |
7,777,708 | |||
TOTAL UTILITIES | 43,327,458 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,933,679,235) | 2,275,857,878 | ||
Nonconvertible Preferred Stocks - 1.5% | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) (non-vtg.) | 112,700 | 532,912 | |
sponsored ADR | 399,200 | 4,339,304 | |
4,872,216 | |||
FINANCIALS - 1.0% | |||
Banks - 1.0% | |||
Banco ABC Brasil SA | 632,647 | 2,291,017 | |
Banco Bradesco SA (PN) | 1,324,287 | 9,227,189 | |
Banco do Estado Rio Grande do Sul SA | 53,100 | 190,988 | |
Chinatrust Financial Holding Co. Ltd. 0.00 | 152,957 | 309,745 | |
Itau Unibanco Holding SA | 3,177,891 | 32,979,660 | |
Itausa-Investimentos Itau SA (PN) | 2,529,100 | 5,954,695 | |
50,953,294 | |||
INDUSTRIALS - 0.0% | |||
Machinery - 0.0% | |||
Randon Participacoes SA (PN) | 77,600 | 125,361 | |
INFORMATION TECHNOLOGY - 0.2% | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Samsung Electronics Co. Ltd. | 266,137 | 9,472,851 | |
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Braskem SA (PN-A) | 184,900 | 2,687,862 | |
Metals & Mining - 0.0% | |||
Metalurgica Gerdau SA (PN) | 346,000 | 667,688 | |
TOTAL MATERIALS | 3,355,550 | ||
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Telefonica Brasil SA | 215,700 | 2,119,347 | |
Telefonica Brasil SA sponsored ADR | 9,300 | 91,977 | |
2,211,324 | |||
Wireless Telecommunication Services - 0.0% | |||
TIM Participacoes SA sponsored ADR | 137,322 | 2,065,323 | |
TOTAL TELECOMMUNICATION SERVICES | 4,276,647 | ||
UTILITIES - 0.0% | |||
Gas Utilities - 0.0% | |||
Companhia de Gas de Sao Paulo | 25,600 | 328,964 | |
Water Utilities - 0.0% | |||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) sponsored ADR | 128,184 | 770,386 | |
TOTAL UTILITIES | 1,099,350 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $71,213,776) | 74,155,269 | ||
Equity Funds - 43.3% | |||
Diversified Emerging Markets Funds - 42.4% | |||
Aberdeen Emerging Markets Fund Institutional Service Class | 5,606,033 | 80,838,995 | |
Brandes Emerging Markets Value Fund Class A | 10,715,877 | 89,691,891 | |
Fidelity Emerging Markets Fund (d) | 11,861,416 | 357,028,606 | |
GMO Emerging Markets Fund Class IV | 2,769,610 | 88,932,164 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 7,172,352 | 148,826,304 | |
iShares MSCI China ETF | 4,186,975 | 254,316,862 | |
iShares MSCI Emerging Markets Index ETF | 7,373,401 | 318,309,721 | |
iShares MSCI Emerging Markets Mini Volume ETF | 3,347,330 | 198,028,043 | |
iShares MSCI India ETF | 572,000 | 20,408,960 | |
iShares MSCI South Korea Index ETF | 1,499,595 | 100,952,735 | |
Lazard Emerging Markets Equity Portfolio Institutional Class | 2,531,421 | 43,413,872 | |
Matthews Pacific Tiger Fund Investor Class | 118 | 3,523 | |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class I | 2,093,253 | 36,297,014 | |
Oppenheimer Developing Markets Fund Class I | 2,925,581 | 121,470,125 | |
Oppenheimer Emerging Markets Innovators Fund Class I | 4,679,444 | 49,321,344 | |
SPDR S&P China ETF | 1,151,550 | 113,151,303 | |
Wasatch Frontier Emerging Small Countries Fund (a) | 3,336,524 | 8,508,136 | |
WisdomTree India Earnings ETF (c) | 807,300 | 21,659,859 | |
Xtrackers Harvest CSI 300 China ETF Class A (c) | 72,900 | 1,803,546 | |
TOTAL DIVERSIFIED EMERGING MARKETS FUNDS | 2,052,963,003 | ||
Foreign Large Value Funds - 0.9% | |||
Matthews Korea Fund Investor Class | 6,983,487 | 41,132,741 | |
TOTAL EQUITY FUNDS | |||
(Cost $1,878,329,463) | 2,094,095,744 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.89% to 2.09% 9/6/18 to 11/29/18 (e) | |||
(Cost $16,501,985) | $16,535,000 | 16,504,309 | |
Shares | |||
Money Market Funds - 7.8% | |||
Fidelity Securities Lending Cash Central Fund 1.98% (f)(g) | 9,533,566 | 9,534,519 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (h) | 367,825,340 | 367,825,340 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $377,359,859) | 377,359,859 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $4,277,084,318) | 4,837,973,059 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 3,760,323 | ||
NET ASSETS - 100% | $4,841,733,382 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 6,300 | Sept. 2018 | $332,293,500 | $(9,146,332) | $(9,146,332) |
The notional amount of futures purchased as a percentage of Net Assets is 6.9%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $388,232,653.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Level 3 security
(c) Security or a portion of the security is on loan at period end.
(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 $16,104,660.
(f) 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.
(g) Investment made with cash collateral received from securities on loan.
(h) 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 | $261,612 |
Total | $261,612 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Emerging Markets Fund | $398,107,307 | $-- | $3,699,844 | $-- | $881,855 | $(38,260,712) | $357,028,606 |
Total | $398,107,307 | $-- | $3,699,844 | $-- | $881,855 | $(38,260,712) | $357,028,606 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $210,845,650 | $210,817,327 | $-- | $28,323 |
Consumer Staples | 173,758,421 | 171,779,712 | 1,978,709 | -- |
Energy | 178,709,394 | 150,953,050 | 27,756,344 | -- |
Financials | 608,552,276 | 498,848,978 | 109,703,298 | -- |
Health Care | 35,465,614 | 35,465,614 | -- | -- |
Industrials | 86,888,906 | 86,850,046 | 38,860 | -- |
Information Technology | 755,477,515 | 535,871,352 | 219,606,163 | -- |
Materials | 149,246,787 | 132,507,920 | 16,738,867 | -- |
Real Estate | 47,704,487 | 47,704,487 | -- | -- |
Telecommunication Services | 58,937,289 | 38,804,908 | 20,132,381 | -- |
Utilities | 44,426,808 | 42,729,925 | 1,696,883 | -- |
Equity Funds | 2,094,095,744 | 2,094,095,744 | -- | -- |
Other Short-Term Investments | 16,504,309 | -- | 16,504,309 | -- |
Money Market Funds | 377,359,859 | 377,359,859 | -- | -- |
Total Investments in Securities: | $4,837,973,059 | $4,423,788,922 | $414,155,814 | $28,323 |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(9,146,332) | $(9,146,332) | $-- | $-- |
Total Liabilities | $(9,146,332) | $(9,146,332) | $-- | $-- |
Total Derivative Instruments: | $(9,146,332) | $(9,146,332) | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2018. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements:
Transfers | Total |
Level 1 to Level 2 | $0 |
Level 2 to Level 1 | $1,290,527,079 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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) | $0 | $(9,146,332) |
Total Equity Risk | 0 | (9,146,332) |
Total Value of Derivatives | $0 | $(9,146,332) |
(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).
Other Information
Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 51.8% |
Cayman Islands | 7.9% |
Korea (South) | 7.3% |
China | 5.5% |
Taiwan | 5.0% |
India | 4.9% |
Brazil | 3.5% |
South Africa | 2.8% |
Thailand | 1.5% |
Mexico | 1.2% |
Hong Kong | 1.2% |
Russia | 1.2% |
Others (Individually Less Than 1%) | 6.2% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $9,342,651) — See accompanying schedule: Unaffiliated issuers (cost $3,979,706,425) | $4,471,409,934 | |
Fidelity Central Funds (cost $9,534,519) | 9,534,519 | |
Other affiliated issuers (cost $287,843,374) | 357,028,606 | |
Total Investment in Securities (cost $4,277,084,318) | $4,837,973,059 | |
Foreign currency held at value (cost $4,089,495) | 4,089,694 | |
Receivable for investments sold | 10,989,273 | |
Receivable for fund shares sold | 1,549,456 | |
Dividends receivable | 3,966,466 | |
Interest receivable | 574,903 | |
Distributions receivable from Fidelity Central Funds | 24,005 | |
Receivable for daily variation margin on futures contracts | 1,947,140 | |
Prepaid expenses | 17,530 | |
Other receivables | 95,215 | |
Total assets | 4,861,226,741 | |
Liabilities | ||
Payable to custodian bank | $2,647,879 | |
Payable for investments purchased | 2,028,978 | |
Payable for fund shares redeemed | 1,646,001 | |
Accrued management fee | 1,159,288 | |
Other affiliated payables | 130,000 | |
Other payables and accrued expenses | 2,367,613 | |
Collateral on securities loaned | 9,513,600 | |
Total liabilities | 19,493,359 | |
Net Assets | $4,841,733,382 | |
Net Assets consist of: | ||
Paid in capital | $4,411,376,914 | |
Undistributed net investment income | 41,193,847 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (160,508,330) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 549,670,951 | |
Net Assets, for 467,140,016 shares outstanding | $4,841,733,382 | |
Net Asset Value, offering price and redemption price per share ($4,841,733,382 ÷ 467,140,016 shares) | $10.36 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $53,940,163 | |
Interest | 3,540,883 | |
Income from Fidelity Central Funds | 261,612 | |
Income before foreign taxes withheld | 57,742,658 | |
Less foreign taxes withheld | (5,462,210) | |
Total income | 52,280,448 | |
Expenses | ||
Management fee | $13,550,806 | |
Transfer agent fees | 2,483,031 | |
Accounting and security lending fees | 806,632 | |
Custodian fees and expenses | 509,125 | |
Independent trustees' fees and expenses | 31,728 | |
Registration fees | 58,796 | |
Audit | 42,405 | |
Legal | 8,187 | |
Miscellaneous | 27,141 | |
Total expenses before reductions | 17,517,851 | |
Expense reductions | (6,499,377) | |
Total expenses after reductions | 11,018,474 | |
Net investment income (loss) | 41,261,974 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 43,494,922 | |
Fidelity Central Funds | 6,646 | |
Other affiliated issuers | 881,855 | |
Foreign currency transactions | (1,554,173) | |
Futures contracts | (39,928,190) | |
Total net realized gain (loss) | 2,901,060 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $455,450) | (638,962,738) | |
Affiliated issuers | (38,260,712) | |
Assets and liabilities in foreign currencies | (67,934) | |
Futures contracts | (13,248,450) | |
Total change in net unrealized appreciation (depreciation) | (690,539,834) | |
Net gain (loss) | (687,638,774) | |
Net increase (decrease) in net assets resulting from operations | $(646,376,800) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $41,261,974 | $67,857,757 |
Net realized gain (loss) | 2,901,060 | 190,482,307 |
Change in net unrealized appreciation (depreciation) | (690,539,834) | 1,052,691,017 |
Net increase (decrease) in net assets resulting from operations | (646,376,800) | 1,311,031,081 |
Distributions to shareholders from net investment income | – | (65,118,609) |
Distributions to shareholders from net realized gain | – | (1,796,375) |
Total distributions | – | (66,914,984) |
Share transactions | ||
Proceeds from sales of shares | 746,736,225 | 545,127,857 |
Reinvestment of distributions | – | 66,752,785 |
Cost of shares redeemed | (329,005,427) | (1,385,060,400) |
Net increase (decrease) in net assets resulting from share transactions | 417,730,798 | (773,179,758) |
Total increase (decrease) in net assets | (228,646,002) | 470,936,339 |
Net Assets | ||
Beginning of period | 5,070,379,384 | 4,599,443,045 |
End of period | $4,841,733,382 | $5,070,379,384 |
Other Information | ||
Undistributed net investment income end of period | $41,193,847 | $– |
Distributions in excess of net investment income end of period | $– | $(68,127) |
Shares | ||
Sold | 65,148,650 | 51,183,220 |
Issued in reinvestment of distributions | – | 5,845,253 |
Redeemed | (29,498,604) | (128,936,360) |
Net increase (decrease) | 35,650,046 | (71,907,887) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.75 | $9.14 | $7.15 | $9.47 | $9.16 | $9.98 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .09 | .14 | .10 | .10 | .14 | .12 |
Net realized and unrealized gain (loss) | (1.48) | 2.62 | 1.99 | (2.32) | .32 | (.81) |
Total from investment operations | (1.39) | 2.76 | 2.09 | (2.22) | .46 | (.69) |
Distributions from net investment income | – | (.15) | (.10) | (.10) | (.15) | (.13) |
Distributions from net realized gain | – | –C | (.01) | – | – | – |
Total distributions | – | (.15) | (.10)D | (.10) | (.15) | (.13) |
Net asset value, end of period | $10.36 | $11.75 | $9.14 | $7.15 | $9.47 | $9.16 |
Total ReturnE,F | (11.83)% | 30.23% | 29.40% | (23.49)% | 5.04% | (6.96)% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .69%I | .70% | .60% | .50% | .46% | .46% |
Expenses net of fee waivers, if any | .44%I | .45% | .35% | .25% | .21% | .21% |
Expenses net of all reductions | .43%I | .45% | .35% | .24% | .21% | .21% |
Net investment income (loss) | 1.62%I | 1.36% | 1.23% | 1.25% | 1.45% | 1.21% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,841,733 | $5,070,379 | $4,599,443 | $4,265,092 | $1,561,538 | $1,480,632 |
Portfolio turnover rateJ | 63%I | 31% | 23% | 41% | 13% | 21% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total distributions of $.10 per share is comprised of distributions from net investment income of $.097 and distributions from net realized gain of $.005 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 August 31, 2018
1. Organization.
Strategic Advisers Emerging Markets 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 certain clients of Strategic Advisers LLC. (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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018, including information on transfers between Levels 1 and 2, 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. 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), certain independent Trustees have elected 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 of $77,592 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $729,090,005 |
Gross unrealized depreciation | (169,301,031) |
Net unrealized appreciation (depreciation) | $559,788,974 |
Tax cost | $4,287,330,417 |
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 | $(91,457,796) |
Long-term | (60,908,635) |
Total capital loss carryforward | $(152,366,431) |
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 and in-kind transactions), other than short-term securities, aggregated $1,615,814,640 and $1,459,573,121, respectively.
Exchanges In-Kind. During the period, the Fund redeemed 30,747,979 shares of Causeway Emerging Markets Fund - Investor Class in exchange for cash and investments with a value of $409,716,815. The net realized gains of $54,053,566 on the Fund's redemptions of Causeway Emerging Markets Fund - Investor Class shares are included in "Net realized gain (loss) on Investment securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized net gains on the exchanges for federal income tax purposes.
Prior Fiscal Year Exchanges In-Kind. During the prior period, the Fund redeemed 9,912,611 shares of T. Rowe Price Emerging Markets Stock Fund Class I in exchange for cash and investments with a value of $354,177,574. The Fund had a net realized gains of $25,181,576 on the Fund's redemptions of T. Rowe Price Emerging Markets Stock Fund Class I shares. The Fund recognized net 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 1.20% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .53% 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. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), M&G Investments Management Limited (through July 27, 2018), Somerset Capital Management LLP 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.
FIL Investment Advisors (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL 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.
In September 2018, the Board approved the appointment of Schroder Investment Management North America Inc. as an additional sub-adviser for the Fund. In addition, during September 2018, the agreement with M&G Investments Management Limited was not renewed.
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. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid 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 .10% 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. For the period, the fees were equivalent to an annualized rate of .03%.
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 $1,412 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 $7,261 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, 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 $261,612.
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, 2021. During the period, this waiver reduced the Fund's management fee by $6,382,867.
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 $115,710 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 $800.
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.
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 (March 1, 2018 to August 31, 2018).
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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .44% | $1,000.00 | $881.70 | $2.09-C |
Hypothetical-D | $1,000.00 | $1,022.99 | $2.24-C |
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 184/365 (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 If fees and changes to the Fund's expense contract and/ or expense cap, effective July 1, 2018, had been in effect for the entire current period, the restated annualized expense ratio would have been .34% and the expenses paid in the actual and hypothetical examples above would have been $1.61 and $1.73, respectively.
D 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Emerging Markets Fund
On June 7, 2018, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve a sub-advisory agreement (the Sub-Advisory Agreement) with Causeway Capital Management LLC (Causeway) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.
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 Sub-Advisory Agreement.
In considering whether to approve the 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 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 LLC (Strategic Advisers) or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Sub-Advisory Agreement bears a reasonable relationship to the services to be rendered and 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. The Board's decision to approve the 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 noted that it is familiar with the nature, extent and quality of services provided by Causeway from its oversight of Causeway as a sub-adviser on other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to other funds will also provide services to the fund. The Board considered the staffing within Causeway, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Causeway's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Causeway will utilize a different investment mandate to manage the fund than it currently uses on behalf of other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Causeway's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Causeway's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Causeway under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board also considered the historical investment performance of Causeway and the portfolio managers in managing accounts under a similar investment mandate. The Board noted that it is familiar with Causeway's performance as a sub-adviser on behalf of other Strategic Advisers funds.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Causeway and the projected change in the fund's total operating expenses as a result of hiring Causeway.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.20% of the fund's average daily net assets and that the Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its 0.25% portion of the fund's management fee through September 30, 2020. The Board also considered that the fund's total net expenses after allocating assets to the Causeway are expected to continue to rank below the median expense ratio of its competitive peer group.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the 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 to be significant factors in its decision to approve the 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the hiring of Causeway will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees will accrue directly to shareholders.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 Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the 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 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
SAE-SANN-1018
1.918361.108
Strategic Advisers® Emerging Markets Fund of Funds Semi-Annual Report August 31, 2018 |
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.Holdings as of August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Causeway Emerging Markets Fund - Investor Class | 19.6 |
Acadian Emerging Markets Portfolio Institutional Class | 16.9 |
T. Rowe Price Emerging Markets Stock Fund Class I | 16.1 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 14.1 |
Lazard Emerging Markets Equity Portfolio Institutional Class | 10.8 |
Oppenheimer Developing Markets Fund Class Y | 10.6 |
Fidelity Emerging Markets Fund | 10.1 |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class A | 1.7 |
99.9 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Diversifed Emerging Markets Funds | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Equity Funds - 99.9% | |||
Shares | Value | ||
Diversified Emerging Markets Funds - 99.9% | |||
Acadian Emerging Markets Portfolio Institutional Class | 111,503 | $2,206,638 | |
Causeway Emerging Markets Fund - Investor Class | 196,588 | 2,555,639 | |
Fidelity Emerging Markets Fund (a) | 44,022 | 1,325,064 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 88,941 | 1,845,529 | |
Lazard Emerging Markets Equity Portfolio Institutional Class | 82,496 | 1,414,809 | |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class A | 12,979 | 223,492 | |
Oppenheimer Developing Markets Fund Class Y | 33,493 | 1,389,310 | |
T. Rowe Price Emerging Markets Stock Fund Class I | 50,994 | 2,102,465 | |
TOTAL EQUITY FUNDS | |||
(Cost $10,466,315) | 13,062,946 | ||
Money Market Funds - 0.2% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (b) | |||
(Cost $33,017) | 33,017 | 33,017 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% | |||
(Cost $10,499,332) | 13,095,963 | ||
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (14,460) | ||
NET ASSETS - 100% | $13,081,503 |
Legend
(a) Affiliated Fund
(b) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Emerging Markets Fund | $1,510,501 | $54,069 | $97,896 | $-- | $10,535 | $(152,145) | $1,325,064 |
Total | $1,510,501 | $54,069 | $97,896 | $-- | $10,535 | $(152,145) | $1,325,064 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
All investments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $9,486,874) | $11,770,899 | |
Affiliated issuers (cost $1,012,458) | 1,325,064 | |
Total Investment in Securities (cost $10,499,332) | $13,095,963 | |
Receivable for investments sold | 73,540 | |
Receivable for fund shares sold | 10,204 | |
Interest receivable | 48 | |
Prepaid expenses | 56 | |
Receivable from investment adviser for expense reductions | 3,116 | |
Other receivables | 254 | |
Total assets | 13,183,181 | |
Liabilities | ||
Payable for fund shares redeemed | $83,744 | |
Distribution and service plan fees payable | 24 | |
Other affiliated payables | 138 | |
Audit fees payable | 13,906 | |
Other payables and accrued expenses | 3,866 | |
Total liabilities | 101,678 | |
Net Assets | $13,081,503 | |
Net Assets consist of: | ||
Paid in capital | $11,674,753 | |
Distributions in excess of net investment income | (3,348) | |
Accumulated undistributed net realized gain (loss) on investments | (1,186,533) | |
Net unrealized appreciation (depreciation) on investments | 2,596,631 | |
Net Assets | $13,081,503 | |
Emerging Markets: | ||
Net Asset Value, offering price and redemption price per share ($12,808,073 ÷ 1,173,282 shares) | $10.92 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($159,424 ÷ 14,596 shares) | $10.92 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($114,006 ÷ 10,466 shares) | $10.89 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $6,699 | |
Interest | 276 | |
Total income | 6,975 | |
Expenses | ||
Management fee | $21,551 | |
Transfer agent fees | 138 | |
Distribution and service plan fees | 153 | |
Accounting fees and expenses | 897 | |
Custodian fees and expenses | 5,408 | |
Independent trustees' fees and expenses | 92 | |
Registration fees | 27,835 | |
Audit | 17,891 | |
Legal | 25 | |
Miscellaneous | 68 | |
Total expenses before reductions | 74,058 | |
Expense reductions | (66,615) | |
Total expenses after reductions | 7,443 | |
Net investment income (loss) | (468) | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (18,982) | |
Affiliated issuers | 10,535 | |
Total net realized gain (loss) | (8,447) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,709,587) | |
Affiliated issuers | (152,145) | |
Total change in net unrealized appreciation (depreciation) | (1,861,732) | |
Net gain (loss) | (1,870,179) | |
Net increase (decrease) in net assets resulting from operations | $(1,870,647) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $(468) | $147,697 |
Net realized gain (loss) | (8,447) | 433,033 |
Change in net unrealized appreciation (depreciation) | (1,861,732) | 3,494,364 |
Net increase (decrease) in net assets resulting from operations | (1,870,647) | 4,075,094 |
Distributions to shareholders from net investment income | – | (151,093) |
Share transactions - net increase (decrease) | (431,520) | (2,380,348) |
Redemption fees | – | 833 |
Total increase (decrease) in net assets | (2,302,167) | 1,544,486 |
Net Assets | ||
Beginning of period | 15,383,670 | 13,839,184 |
End of period | $13,081,503 | $15,383,670 |
Other Information | ||
Distributions in excess of net investment income end of period | $(3,348) | $(2,880) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund of Funds
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.44 | $9.61 | $7.52 | $10.04 | $9.75 | $10.53 |
Income from Investment Operations | ||||||
Net investment income (loss)B | –C | .11 | .10 | .10 | .13 | .13 |
Net realized and unrealized gain (loss) | (1.52) | 2.84 | 2.08 | (2.47) | .34 | (.78) |
Total from investment operations | (1.52) | 2.95 | 2.18 | (2.37) | .47 | (.65) |
Distributions from net investment income | – | (.12) | (.09) | (.12) | (.15) | (.11) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.03) |
Total distributions | – | (.12) | (.09) | (.15) | (.18)D | (.13)E |
Redemption fees added to paid in capitalB | – | –C | –C | –C | –C | –C |
Net asset value, end of period | $10.92 | $12.44 | $9.61 | $7.52 | $10.04 | $9.75 |
Total ReturnF,G | (12.22)% | 30.75% | 29.08% | (23.79)% | 4.86% | (6.18)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.03%I | .89% | 1.10% | 1.09% | 1.07% | 1.25% |
Expenses net of fee waivers, if any | .10%I | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10%I | .10% | .09% | .09% | .10% | .10% |
Net investment income (loss) | - %I,J | .94% | 1.08% | 1.14% | 1.29% | 1.29% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $12,808 | $15,086 | $11,425 | $8,485 | $10,979 | $9,832 |
Portfolio turnover rateK | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total distributions of $.18 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.035 per share.
E Total distributions of $.13 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $.025 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 class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount represents less than .005%.
K 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 Emerging Markets Fund of Funds Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.45 | $9.61 | $7.52 | $10.05 | $9.75 | $10.13 |
Income from Investment Operations | ||||||
Net investment income (loss)C | –D | .11 | .10 | .10 | .13 | .11 |
Net realized and unrealized gain (loss) | (1.53) | 2.85 | 2.08 | (2.48) | .35 | (.36) |
Total from investment operations | (1.53) | 2.96 | 2.18 | (2.38) | .48 | (.25) |
Distributions from net investment income | – | (.12) | (.09) | (.12) | (.15) | (.11) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.02) |
Total distributions | – | (.12) | (.09) | (.15) | (.18)E | (.13) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.92 | $12.45 | $9.61 | $7.52 | $10.05 | $9.75 |
Total ReturnF,G | (12.29)% | 30.85% | 29.08% | (23.87)% | 4.97% | (2.56)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.01%I | .89% | 1.10% | 1.08% | 1.07% | 1.79%I |
Expenses net of fee waivers, if any | .10%I | .10% | .10% | .10% | .10% | .10%I |
Expenses net of all reductions | .10%I | .10% | .09% | .09% | .10% | .10%I |
Net investment income (loss) | –%I,J | .94% | 1.08% | 1.15% | 1.29% | 3.65%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $159 | $168 | $131 | $103 | $102 | $97 |
Portfolio turnover rateK | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 per share.
E Total distributions of $.18 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.035 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 class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount represents less than .005%.
K 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 Emerging Markets Fund of Funds Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.43 | $9.60 | $7.52 | $10.05 | $9.75 | $10.13 |
Income from Investment Operations | ||||||
Net investment income (loss)C | (.01) | .08 | .07 | .08 | .11 | .10 |
Net realized and unrealized gain (loss) | (1.53) | 2.85 | 2.08 | (2.48) | .34 | (.36) |
Total from investment operations | (1.54) | 2.93 | 2.15 | (2.40) | .45 | (.26) |
Distributions from net investment income | – | (.10) | (.07) | (.10) | (.12) | (.10) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.02) |
Total distributions | – | (.10) | (.07) | (.13) | (.15)D | (.12) |
Redemption fees added to paid in capitalC | – | –E | –E | –E | –E | –E |
Net asset value, end of period | $10.89 | $12.43 | $9.60 | $7.52 | $10.05 | $9.75 |
Total ReturnF,G | (12.39)% | 30.53% | 28.68% | (24.04)% | 4.69% | (2.59)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.27%I | 1.14% | 1.35% | 1.33% | 1.32% | 2.05%I |
Expenses net of fee waivers, if any | .35%I | .35% | .35% | .35% | .35% | .35%I |
Expenses net of all reductions | .35%I | .35% | .35% | .34% | .35% | .35%I |
Net investment income (loss) | (.25)%I | .69% | .83% | .89% | 1.04% | 3.40%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $114 | $130 | $100 | $77 | $102 | $97 |
Portfolio turnover rateJ | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Total distributions of $.15 per share is comprised of distributions from net investment income of $.119 and distributions from net realized gain of $.035 per share.
E Amount represents less than $.005 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Emerging Markets Fund of Funds (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 currently invests in affiliated and unaffiliated mutual funds (the Underlying Funds). The Fund offers Emerging Markets, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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 Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 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. Investments in the Underlying 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.
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 for processing shareholder transactions 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. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest.
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. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected 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 of $254 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 the short-term gain distributions from the Underlying Funds, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $2,580,050 |
Gross unrealized depreciation | (76,392) |
Net unrealized appreciation (depreciation) | $2,503,658 |
Tax cost | $10,592,305 |
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 | $(698,216) |
Long-term | (373,913) |
Total capital loss carryforward | $(1,072,129) |
The Fund elected to defer to its next fiscal year approximately $2,628 of ordinary losses recognized during the period January 1, 2018 to February 28, 2018.
3. Purchases and Redemptions of Underlying Fund Shares.
Purchases and redemptions of the Underlying Fund shares aggregated $557,329 and $996,907, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 1.25% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIL Investment Advisors, M&G Investments Management Limited, Somerset Capital Management LLP, T. Rowe Price Associates, Inc. and FIAM LLC (an affiliate of the investment adviser) 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.
In September 2018, the Board approved the appointment of Schroder Investment Management North America Inc. as an additional sub-adviser for the Fund. In addition, during September 2018, the agreement with M&G Investments Management Limited was not renewed.
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% | $153 | $153 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a),(b) | |
Emerging Markets | $136 | - |
Class L | 1 | – |
Class N | 1 | – |
$138 |
(a) Annualized
(b) Amount represents less than 0.005%
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. For the period, the fees were equivalent to an annualized rate of .01%.
5. 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 $22 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
6. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $21,551.
The investment adviser has also contractually agreed to reimburse Emerging Markets, 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 | |
Emerging Markets | .10% | $44,187 |
Class L | .10% | 492 |
Class N | .35% | 381 |
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 $4.
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Emerging Markets | $– | $148,445 |
Class L | – | 1,629 |
Class N | – | 1,019 |
Total | $– | $151,093 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Emerging Markets | ||||
Shares sold | 66,738 | 307,671 | $800,221 | $3,558,072 |
Reinvestment of distributions | – | 12,282 | – | 148,445 |
Shares redeemed | (106,008) | (296,641) | (1,244,206) | (3,409,870) |
Net increase (decrease) | (39,270) | 23,312 | $(443,985) | $296,647 |
Class F | ||||
Shares sold | – | 94,959 | $– | $1,035,676 |
Shares redeemed | – | (322,358) | – | (3,712,362) |
Net increase (decrease) | – | (227,399) | $– | $(2,676,686) |
Class L | ||||
Shares sold | 1,415 | 126 | $16,125 | $1,411 |
Reinvestment of distributions | – | 135 | – | 1,629 |
Shares redeemed | (301) | (366) | (3,660) | (4,368) |
Net increase (decrease) | 1,114 | (105) | $12,465 | $(1,328) |
Class N | ||||
Reinvestment of distributions | – | 84 | – | 1,019 |
Net increase (decrease) | – | 84 | $– | $1,019 |
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 60% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Emerging Markets | .10% | |||
Actual | $1,000.00 | $877.80 | $.47 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class L | .10% | |||
Actual | $1,000.00 | $877.10 | $.47 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class N | .35% | |||
Actual | $1,000.00 | $876.10 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.44 | $1.79 |
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 184/365 (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 Emerging Markets Fund of Funds
On June 7, 2018, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve a sub-advisory agreement (the Sub-Advisory Agreement) with Causeway Capital Management LLC (Causeway) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.
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 Sub-Advisory Agreement.
In considering whether to approve the 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 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 LLC (Strategic Advisers) or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Sub-Advisory Agreement bears a reasonable relationship to the services to be rendered and 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. The Board's decision to approve the 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 noted that it is familiar with the nature, extent and quality of services provided by Causeway from its oversight of Causeway as a sub-adviser on other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to other funds will also provide services to the fund. The Board considered the staffing within Causeway, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Causeway's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Causeway will utilize a different investment mandate to manage the fund than it currently uses on behalf of other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Causeway's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Causeway's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Causeway under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board also considered the historical investment performance of Causeway and the portfolio managers in managing accounts under a similar investment mandate. The Board noted that it is familiar with Causeway's performance as a sub-adviser on behalf of other Strategic Advisers funds.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Causeway and the projected change in the fund's total operating expenses as a result of hiring Causeway.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.25% of the fund's average daily net assets and that the Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its 0.30% portion of the fund's management fee through April 30, 2019. The Board also considered that Strategic Advisers has contractually agreed to reimburse the retail class, Class L and Class N of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, sub-advisory fees and acquired fund fees and expenses, if any) as a percentage of net assets exceed 0.10%, 0.10% and 0.35%, respectively, through April 30, 2019. The Board also considered that there are no expected changes to the fund's total net expenses as a result of approving the Sub-Advisory Agreement because Strategic Advisers does not expect to allocate any assets of the fund to Causeway at this time.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the 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 to be significant factors in its decision to approve the 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the hiring of Causeway will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees will accrue directly to shareholders.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 Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the 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 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
RMF-SANN-1018
1.938036.106
Strategic Advisers® Emerging Markets Fund of Funds Semi-Annual Report August 31, 2018 |
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.
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.Holdings as of August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Causeway Emerging Markets Fund - Investor Class | 19.6 |
Acadian Emerging Markets Portfolio Institutional Class | 16.9 |
T. Rowe Price Emerging Markets Stock Fund Class I | 16.1 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 14.1 |
Lazard Emerging Markets Equity Portfolio Institutional Class | 10.8 |
Oppenheimer Developing Markets Fund Class Y | 10.6 |
Fidelity Emerging Markets Fund | 10.1 |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class A | 1.7 |
99.9 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Diversifed Emerging Markets Funds | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Equity Funds - 99.9% | |||
Shares | Value | ||
Diversified Emerging Markets Funds - 99.9% | |||
Acadian Emerging Markets Portfolio Institutional Class | 111,503 | $2,206,638 | |
Causeway Emerging Markets Fund - Investor Class | 196,588 | 2,555,639 | |
Fidelity Emerging Markets Fund (a) | 44,022 | 1,325,064 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 88,941 | 1,845,529 | |
Lazard Emerging Markets Equity Portfolio Institutional Class | 82,496 | 1,414,809 | |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class A | 12,979 | 223,492 | |
Oppenheimer Developing Markets Fund Class Y | 33,493 | 1,389,310 | |
T. Rowe Price Emerging Markets Stock Fund Class I | 50,994 | 2,102,465 | |
TOTAL EQUITY FUNDS | |||
(Cost $10,466,315) | 13,062,946 | ||
Money Market Funds - 0.2% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (b) | |||
(Cost $33,017) | 33,017 | 33,017 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% | |||
(Cost $10,499,332) | 13,095,963 | ||
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (14,460) | ||
NET ASSETS - 100% | $13,081,503 |
Legend
(a) Affiliated Fund
(b) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Emerging Markets Fund | $1,510,501 | $54,069 | $97,896 | $-- | $10,535 | $(152,145) | $1,325,064 |
Total | $1,510,501 | $54,069 | $97,896 | $-- | $10,535 | $(152,145) | $1,325,064 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
All investments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $9,486,874) | $11,770,899 | |
Affiliated issuers (cost $1,012,458) | 1,325,064 | |
Total Investment in Securities (cost $10,499,332) | $13,095,963 | |
Receivable for investments sold | 73,540 | |
Receivable for fund shares sold | 10,204 | |
Interest receivable | 48 | |
Prepaid expenses | 56 | |
Receivable from investment adviser for expense reductions | 3,116 | |
Other receivables | 254 | |
Total assets | 13,183,181 | |
Liabilities | ||
Payable for fund shares redeemed | $83,744 | |
Distribution and service plan fees payable | 24 | |
Other affiliated payables | 138 | |
Audit fees payable | 13,906 | |
Other payables and accrued expenses | 3,866 | |
Total liabilities | 101,678 | |
Net Assets | $13,081,503 | |
Net Assets consist of: | ||
Paid in capital | $11,674,753 | |
Distributions in excess of net investment income | (3,348) | |
Accumulated undistributed net realized gain (loss) on investments | (1,186,533) | |
Net unrealized appreciation (depreciation) on investments | 2,596,631 | |
Net Assets | $13,081,503 | |
Emerging Markets: | ||
Net Asset Value, offering price and redemption price per share ($12,808,073 ÷ 1,173,282 shares) | $10.92 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($159,424 ÷ 14,596 shares) | $10.92 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($114,006 ÷ 10,466 shares) | $10.89 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $6,699 | |
Interest | 276 | |
Total income | 6,975 | |
Expenses | ||
Management fee | $21,551 | |
Transfer agent fees | 138 | |
Distribution and service plan fees | 153 | |
Accounting fees and expenses | 897 | |
Custodian fees and expenses | 5,408 | |
Independent trustees' fees and expenses | 92 | |
Registration fees | 27,835 | |
Audit | 17,891 | |
Legal | 25 | |
Miscellaneous | 68 | |
Total expenses before reductions | 74,058 | |
Expense reductions | (66,615) | |
Total expenses after reductions | 7,443 | |
Net investment income (loss) | (468) | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (18,982) | |
Affiliated issuers | 10,535 | |
Total net realized gain (loss) | (8,447) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,709,587) | |
Affiliated issuers | (152,145) | |
Total change in net unrealized appreciation (depreciation) | (1,861,732) | |
Net gain (loss) | (1,870,179) | |
Net increase (decrease) in net assets resulting from operations | $(1,870,647) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $(468) | $147,697 |
Net realized gain (loss) | (8,447) | 433,033 |
Change in net unrealized appreciation (depreciation) | (1,861,732) | 3,494,364 |
Net increase (decrease) in net assets resulting from operations | (1,870,647) | 4,075,094 |
Distributions to shareholders from net investment income | – | (151,093) |
Share transactions - net increase (decrease) | (431,520) | (2,380,348) |
Redemption fees | – | 833 |
Total increase (decrease) in net assets | (2,302,167) | 1,544,486 |
Net Assets | ||
Beginning of period | 15,383,670 | 13,839,184 |
End of period | $13,081,503 | $15,383,670 |
Other Information | ||
Distributions in excess of net investment income end of period | $(3,348) | $(2,880) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund of Funds
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.44 | $9.61 | $7.52 | $10.04 | $9.75 | $10.53 |
Income from Investment Operations | ||||||
Net investment income (loss)B | –C | .11 | .10 | .10 | .13 | .13 |
Net realized and unrealized gain (loss) | (1.52) | 2.84 | 2.08 | (2.47) | .34 | (.78) |
Total from investment operations | (1.52) | 2.95 | 2.18 | (2.37) | .47 | (.65) |
Distributions from net investment income | – | (.12) | (.09) | (.12) | (.15) | (.11) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.03) |
Total distributions | – | (.12) | (.09) | (.15) | (.18)D | (.13)E |
Redemption fees added to paid in capitalB | – | –C | –C | –C | –C | –C |
Net asset value, end of period | $10.92 | $12.44 | $9.61 | $7.52 | $10.04 | $9.75 |
Total ReturnF,G | (12.22)% | 30.75% | 29.08% | (23.79)% | 4.86% | (6.18)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.03%I | .89% | 1.10% | 1.09% | 1.07% | 1.25% |
Expenses net of fee waivers, if any | .10%I | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10%I | .10% | .09% | .09% | .10% | .10% |
Net investment income (loss) | - %I,J | .94% | 1.08% | 1.14% | 1.29% | 1.29% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $12,808 | $15,086 | $11,425 | $8,485 | $10,979 | $9,832 |
Portfolio turnover rateK | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total distributions of $.18 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.035 per share.
E Total distributions of $.13 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $.025 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 class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount represents less than .005%.
K 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 Emerging Markets Fund of Funds Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.45 | $9.61 | $7.52 | $10.05 | $9.75 | $10.13 |
Income from Investment Operations | ||||||
Net investment income (loss)C | –D | .11 | .10 | .10 | .13 | .11 |
Net realized and unrealized gain (loss) | (1.53) | 2.85 | 2.08 | (2.48) | .35 | (.36) |
Total from investment operations | (1.53) | 2.96 | 2.18 | (2.38) | .48 | (.25) |
Distributions from net investment income | – | (.12) | (.09) | (.12) | (.15) | (.11) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.02) |
Total distributions | – | (.12) | (.09) | (.15) | (.18)E | (.13) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.92 | $12.45 | $9.61 | $7.52 | $10.05 | $9.75 |
Total ReturnF,G | (12.29)% | 30.85% | 29.08% | (23.87)% | 4.97% | (2.56)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.01%I | .89% | 1.10% | 1.08% | 1.07% | 1.79%I |
Expenses net of fee waivers, if any | .10%I | .10% | .10% | .10% | .10% | .10%I |
Expenses net of all reductions | .10%I | .10% | .09% | .09% | .10% | .10%I |
Net investment income (loss) | –%I,J | .94% | 1.08% | 1.15% | 1.29% | 3.65%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $159 | $168 | $131 | $103 | $102 | $97 |
Portfolio turnover rateK | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 per share.
E Total distributions of $.18 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.035 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 class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount represents less than .005%.
K 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 Emerging Markets Fund of Funds Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.43 | $9.60 | $7.52 | $10.05 | $9.75 | $10.13 |
Income from Investment Operations | ||||||
Net investment income (loss)C | (.01) | .08 | .07 | .08 | .11 | .10 |
Net realized and unrealized gain (loss) | (1.53) | 2.85 | 2.08 | (2.48) | .34 | (.36) |
Total from investment operations | (1.54) | 2.93 | 2.15 | (2.40) | .45 | (.26) |
Distributions from net investment income | – | (.10) | (.07) | (.10) | (.12) | (.10) |
Distributions from net realized gain | – | – | – | (.03) | (.04) | (.02) |
Total distributions | – | (.10) | (.07) | (.13) | (.15)D | (.12) |
Redemption fees added to paid in capitalC | – | –E | –E | –E | –E | –E |
Net asset value, end of period | $10.89 | $12.43 | $9.60 | $7.52 | $10.05 | $9.75 |
Total ReturnF,G | (12.39)% | 30.53% | 28.68% | (24.04)% | 4.69% | (2.59)% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.27%I | 1.14% | 1.35% | 1.33% | 1.32% | 2.05%I |
Expenses net of fee waivers, if any | .35%I | .35% | .35% | .35% | .35% | .35%I |
Expenses net of all reductions | .35%I | .35% | .35% | .34% | .35% | .35%I |
Net investment income (loss) | (.25)%I | .69% | .83% | .89% | 1.04% | 3.40%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $114 | $130 | $100 | $77 | $102 | $97 |
Portfolio turnover rateJ | 8%I | 23% | 49% | 61% | 11% | 10% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Total distributions of $.15 per share is comprised of distributions from net investment income of $.119 and distributions from net realized gain of $.035 per share.
E Amount represents less than $.005 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Emerging Markets Fund of Funds (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 currently invests in affiliated and unaffiliated mutual funds (the Underlying Funds). The Fund offers Emerging Markets, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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 Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 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. Investments in the Underlying 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.
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 for processing shareholder transactions 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. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest.
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. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected 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 of $254 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 the short-term gain distributions from the Underlying Funds, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $2,580,050 |
Gross unrealized depreciation | (76,392) |
Net unrealized appreciation (depreciation) | $2,503,658 |
Tax cost | $10,592,305 |
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 | $(698,216) |
Long-term | (373,913) |
Total capital loss carryforward | $(1,072,129) |
The Fund elected to defer to its next fiscal year approximately $2,628 of ordinary losses recognized during the period January 1, 2018 to February 28, 2018.
3. Purchases and Redemptions of Underlying Fund Shares.
Purchases and redemptions of the Underlying Fund shares aggregated $557,329 and $996,907, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 1.25% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIL Investment Advisors, M&G Investments Management Limited, Somerset Capital Management LLP, T. Rowe Price Associates, Inc. and FIAM LLC (an affiliate of the investment adviser) 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.
In September 2018, the Board approved the appointment of Schroder Investment Management North America Inc. as an additional sub-adviser for the Fund. In addition, during September 2018, the agreement with M&G Investments Management Limited was not renewed.
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% | $153 | $153 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a),(b) | |
Emerging Markets | $136 | - |
Class L | 1 | – |
Class N | 1 | – |
$138 |
(a) Annualized
(b) Amount represents less than 0.005%
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. For the period, the fees were equivalent to an annualized rate of .01%.
5. 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 $22 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
6. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $21,551.
The investment adviser has also contractually agreed to reimburse Emerging Markets, 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 | |
Emerging Markets | .10% | $44,187 |
Class L | .10% | 492 |
Class N | .35% | 381 |
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 $4.
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Emerging Markets | $– | $148,445 |
Class L | – | 1,629 |
Class N | – | 1,019 |
Total | $– | $151,093 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Emerging Markets | ||||
Shares sold | 66,738 | 307,671 | $800,221 | $3,558,072 |
Reinvestment of distributions | – | 12,282 | – | 148,445 |
Shares redeemed | (106,008) | (296,641) | (1,244,206) | (3,409,870) |
Net increase (decrease) | (39,270) | 23,312 | $(443,985) | $296,647 |
Class F | ||||
Shares sold | – | 94,959 | $– | $1,035,676 |
Shares redeemed | – | (322,358) | – | (3,712,362) |
Net increase (decrease) | – | (227,399) | $– | $(2,676,686) |
Class L | ||||
Shares sold | 1,415 | 126 | $16,125 | $1,411 |
Reinvestment of distributions | – | 135 | – | 1,629 |
Shares redeemed | (301) | (366) | (3,660) | (4,368) |
Net increase (decrease) | 1,114 | (105) | $12,465 | $(1,328) |
Class N | ||||
Reinvestment of distributions | – | 84 | – | 1,019 |
Net increase (decrease) | – | 84 | $– | $1,019 |
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 60% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Emerging Markets | .10% | |||
Actual | $1,000.00 | $877.80 | $.47 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class L | .10% | |||
Actual | $1,000.00 | $877.10 | $.47 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class N | .35% | |||
Actual | $1,000.00 | $876.10 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.44 | $1.79 |
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 184/365 (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 Emerging Markets Fund of Funds
On June 7, 2018, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve a sub-advisory agreement (the Sub-Advisory Agreement) with Causeway Capital Management LLC (Causeway) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.
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 Sub-Advisory Agreement.
In considering whether to approve the 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 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 LLC (Strategic Advisers) or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Sub-Advisory Agreement bears a reasonable relationship to the services to be rendered and 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. The Board's decision to approve the 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 noted that it is familiar with the nature, extent and quality of services provided by Causeway from its oversight of Causeway as a sub-adviser on other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to other funds will also provide services to the fund. The Board considered the staffing within Causeway, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Causeway's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Causeway will utilize a different investment mandate to manage the fund than it currently uses on behalf of other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Causeway's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Causeway's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Causeway under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board also considered the historical investment performance of Causeway and the portfolio managers in managing accounts under a similar investment mandate. The Board noted that it is familiar with Causeway's performance as a sub-adviser on behalf of other Strategic Advisers funds.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Causeway and the projected change in the fund's total operating expenses as a result of hiring Causeway.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.25% of the fund's average daily net assets and that the Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its 0.30% portion of the fund's management fee through April 30, 2019. The Board also considered that Strategic Advisers has contractually agreed to reimburse the retail class, Class L and Class N of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, sub-advisory fees and acquired fund fees and expenses, if any) as a percentage of net assets exceed 0.10%, 0.10% and 0.35%, respectively, through April 30, 2019. The Board also considered that there are no expected changes to the fund's total net expenses as a result of approving the Sub-Advisory Agreement because Strategic Advisers does not expect to allocate any assets of the fund to Causeway at this time.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the 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 to be significant factors in its decision to approve the 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the hiring of Causeway will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees will accrue directly to shareholders.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 Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the 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 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
RMF-L-RMF-N-SANN-1018
1.9585959.104
Strategic Advisers® Income Opportunities Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity Capital & Income Fund | 16.0 |
Hotchkis & Wiley High Yield Fund Class A | 12.6 |
Artisan High Income Fund Investor Shares | 11.1 |
T. Rowe Price High Yield Fund Advisor Class | 9.7 |
MainStay High Yield Corporate Bond Fund Class A | 8.2 |
Prudential High Yield Fund | 7.1 |
Fidelity Advisor High Income Advantage Fund Class I | 5.7 |
BlackRock High Yield Bond Portfolio Institutional Class | 5.3 |
Eaton Vance Income Fund of Boston Class A | 4.0 |
Fidelity High Income Fund | 2.5 |
82.2 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Corporate Bonds | 15.3% | |
High Yield Fixed-Income Funds | 82.9% | |
Other Investments | 1.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.7% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 15.3% | |||
Principal Amount | Value | ||
Convertible Bonds - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $1,500,000 | $1,316,630 | |
3.375% 8/15/26 | 800,000 | 752,482 | |
2,069,112 | |||
Nonconvertible Bonds - 15.2% | |||
CONSUMER DISCRETIONARY - 3.6% | |||
Diversified Consumer Services - 0.1% | |||
Frontdoor, Inc. 6.75% 8/15/26 (a) | 460,000 | 470,925 | |
Laureate Education, Inc. 8.25% 5/1/25 (a) | 1,225,000 | 1,321,469 | |
Service Corp. International 4.625% 12/15/27 | 1,080,000 | 1,036,800 | |
2,829,194 | |||
Hotels, Restaurants & Leisure - 1.2% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 780,000 | 744,900 | |
5% 10/15/25 (a) | 1,410,000 | 1,360,650 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 5,480,000 | 5,397,800 | |
5% 2/1/28 (a) | 915,000 | 896,700 | |
Eldorado Resorts, Inc. 6% 4/1/25 | 1,075,000 | 1,092,469 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 1,325,000 | 1,378,000 | |
Golden Nugget, Inc. 6.75% 10/15/24 (a) | 2,695,000 | 2,738,794 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 | 670,000 | 651,575 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 655,000 | 646,813 | |
4.875% 4/1/27 | 390,000 | 383,663 | |
MCE Finance Ltd. 4.875% 6/6/25 (a) | 215,000 | 203,952 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 6,050,000 | 5,762,625 | |
4.5% 1/15/28 | 1,640,000 | 1,511,916 | |
Scientific Games Corp. 5% 10/15/25 (a) | 1,720,000 | 1,634,000 | |
Stars Group Holdings BV 7% 7/15/26 (a) | 2,020,000 | 2,100,800 | |
Station Casinos LLC 5% 10/1/25 (a) | 1,145,000 | 1,106,356 | |
Studio City Co. Ltd.: | |||
5.875% 11/30/19 (a) | 2,500,000 | 2,540,000 | |
7.25% 11/30/21 (a) | 3,000,000 | 3,075,000 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 1,340,000 | 1,329,950 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (a) | 1,260,000 | 1,178,100 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (a) | 395,000 | 376,238 | |
5.5% 10/1/27 (a) | 1,710,000 | 1,615,950 | |
37,726,251 | |||
Household Durables - 0.2% | |||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 5.125% 7/15/23 (a) | 5,000,000 | 4,981,250 | |
Internet & Direct Marketing Retail - 0.2% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 | 3,515,000 | 3,321,675 | |
4.875% 4/15/28 (a) | 1,250,000 | 1,184,375 | |
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (a) | 1,565,000 | 1,568,913 | |
6.375% 5/15/25 | 1,000,000 | 1,045,000 | |
7,119,963 | |||
Leisure Products - 0.0% | |||
Mattel, Inc. 6.75% 12/31/25 (a) | 1,390,000 | 1,361,422 | |
Media - 1.9% | |||
Altice SA: | |||
7.625% 2/15/25 (a) | 600,000 | 554,574 | |
7.75% 5/15/22 (a) | 1,170,000 | 1,127,588 | |
Altice U.S. Finance SA: | |||
5.375% 7/15/23 (a) | 3,000,000 | 3,018,750 | |
5.5% 5/15/26 (a) | 1,380,000 | 1,355,850 | |
7.75% 7/15/25 (a) | 1,555,000 | 1,654,131 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 835,000 | 849,613 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (a) | 3,215,000 | 3,066,306 | |
5% 2/1/28 (a) | 3,825,000 | 3,582,227 | |
5.125% 2/15/23 | 4,000,000 | 4,005,000 | |
5.125% 5/1/23 (a) | 2,195,000 | 2,195,000 | |
5.125% 5/1/27 (a) | 2,805,000 | 2,675,269 | |
5.5% 5/1/26 (a) | 5,360,000 | 5,293,000 | |
CSC Holdings LLC: | |||
5.25% 6/1/24 | 1,115,000 | 1,081,550 | |
5.375% 2/1/28 (a) | 765,000 | 733,214 | |
5.5% 4/15/27 (a) | 2,650,000 | 2,580,438 | |
DISH DBS Corp.: | |||
5.875% 11/15/24 | 2,840,000 | 2,470,800 | |
6.75% 6/1/21 | 1,120,000 | 1,136,800 | |
7.75% 7/1/26 | 1,060,000 | 956,650 | |
E.W. Scripps Co. 5.125% 5/15/25 (a) | 830,000 | 792,650 | |
MDC Partners, Inc. 6.5% 5/1/24 (a) | 3,695,000 | 3,311,644 | |
Nielsen Co. S.a.r.l. (Luxembourg): | |||
5% 2/1/25 (a) | 155,000 | 150,350 | |
5.5% 10/1/21 (a) | 225,000 | 225,281 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 1,150,000 | 1,116,708 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (a) | 1,625,000 | 1,594,450 | |
5% 8/1/27 (a) | 1,060,000 | 1,024,214 | |
5.375% 4/15/25 (a) | 2,165,000 | 2,197,475 | |
6% 7/15/24 (a) | 1,700,000 | 1,766,470 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 2,970,000 | 2,918,025 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (a) | 2,000,000 | 1,867,500 | |
6% 1/15/27 (a) | 2,000,000 | 1,815,000 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (a) | 1,720,000 | 1,620,034 | |
58,736,561 | |||
TOTAL CONSUMER DISCRETIONARY | 112,754,641 | ||
CONSUMER STAPLES - 0.6% | |||
Food & Staples Retailing - 0.1% | |||
C&S Group Enterprises LLC 5.375% 7/15/22 (a) | 2,450,000 | 2,419,375 | |
Food Products - 0.4% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 75,000 | 70,688 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.875% 7/15/24 (a) | 4,350,000 | 4,186,875 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (a) | 330,000 | 324,225 | |
4.875% 11/1/26 (a) | 5,000,000 | 4,925,000 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (a) | 865,000 | 830,400 | |
5.625% 1/15/28 (a) | 865,000 | 835,806 | |
5.75% 3/1/27 (a) | 720,000 | 711,000 | |
11,883,994 | |||
Personal Products - 0.0% | |||
Coty, Inc. 6.5% 4/15/26 (a) | 1,210,000 | 1,138,156 | |
Prestige Brands, Inc. 6.375% 3/1/24 (a) | 500,000 | 504,525 | |
1,642,681 | |||
Tobacco - 0.1% | |||
Vector Group Ltd. 6.125% 2/1/25 (a) | 3,795,000 | 3,633,713 | |
TOTAL CONSUMER STAPLES | 19,579,763 | ||
ENERGY - 2.9% | |||
Energy Equipment & Services - 0.7% | |||
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 | 775,000 | 790,500 | |
Ensco PLC: | |||
4.5% 10/1/24 | 3,415,000 | 2,834,450 | |
5.2% 3/15/25 | 2,500,000 | 2,090,625 | |
7.75% 2/1/26 | 590,000 | 563,450 | |
Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 | 1,345,000 | 1,341,638 | |
FTS International, Inc. 6.25% 5/1/22 | 70,000 | 68,688 | |
Jonah Energy LLC 7.25% 10/15/25 (a) | 735,000 | 573,300 | |
Nabors Industries, Inc.: | |||
5.5% 1/15/23 | 355,000 | 353,903 | |
5.75% 2/1/25 (a) | 1,420,000 | 1,365,834 | |
Noble Holding International Ltd.: | |||
5.25% 3/15/42 | 510,000 | 354,450 | |
6.2% 8/1/40 | 2,000,000 | 1,480,000 | |
7.75% 1/15/24 | 390,000 | 381,225 | |
7.875% 2/1/26 (a) | 515,000 | 527,875 | |
7.95% 4/1/25 (b) | 745,000 | 707,750 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 345,000 | 328,613 | |
7.125% 1/15/26 (a) | 430,000 | 442,363 | |
7.75% 12/15/23 | 510,000 | 539,325 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 1,650,000 | 1,592,250 | |
Weatherford International Ltd.: | |||
5.95% 4/15/42 | 150,000 | 105,375 | |
6.5% 8/1/36 | 440,000 | 326,700 | |
9.875% 2/15/24 | 360,000 | 340,200 | |
Weatherford International, Inc. 9.875% 3/1/25 (a) | 3,790,000 | 3,553,125 | |
20,661,639 | |||
Oil, Gas & Consumable Fuels - 2.2% | |||
Antero Resources Corp.: | |||
5% 3/1/25 | 1,110,000 | 1,118,325 | |
5.125% 12/1/22 | 780,000 | 787,800 | |
California Resources Corp. 8% 12/15/22 (a) | 2,920,000 | 2,617,050 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 | 1,080,000 | 1,098,900 | |
5.875% 3/31/25 | 2,230,000 | 2,369,375 | |
7% 6/30/24 | 3,345,000 | 3,700,406 | |
Cheniere Energy Partners LP 5.25% 10/1/25 | 4,235,000 | 4,235,000 | |
Chesapeake Energy Corp.: | |||
4.875% 4/15/22 | 2,000,000 | 1,930,000 | |
5.75% 3/15/23 | 1,985,000 | 1,925,450 | |
8% 12/15/22 (a) | 430,000 | 452,038 | |
8% 1/15/25 | 1,660,000 | 1,695,275 | |
8% 6/15/27 | 875,000 | 885,938 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (a) | 1,797,000 | 1,810,478 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 6.0906% 6/15/22 (a)(b)(c) | 3,140,000 | 3,140,962 | |
6.5% 5/15/26 (a) | 1,100,000 | 1,108,250 | |
6.875% 6/15/25 (a) | 990,000 | 1,021,433 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 900,000 | 919,125 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 2,605,000 | 2,657,100 | |
DCP Midstream LLC 5.85% 5/21/43 (a)(b) | 920,000 | 846,400 | |
DCP Midstream Operating LP 5.375% 7/15/25 | 1,510,000 | 1,547,750 | |
Denbury Resources, Inc.: | |||
4.625% 7/15/23 | 70,000 | 60,200 | |
5.5% 5/1/22 | 700,000 | 631,750 | |
6.375% 8/15/21 | 225,000 | 215,859 | |
9.25% 3/31/22 (a) | 4,070,000 | 4,349,813 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (a) | 230,000 | 229,425 | |
5.75% 1/30/28 (a) | 230,000 | 229,425 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (a) | 2,780,000 | 2,786,950 | |
Extraction Oil & Gas, Inc. 5.625% 2/1/26 (a) | 1,065,000 | 997,106 | |
Global Partners LP/GLP Finance Corp. 6.25% 7/15/22 | 3,000,000 | 2,977,500 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (a) | 2,655,000 | 2,674,913 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (a) | 265,000 | 256,056 | |
5.75% 10/1/25 (a) | 1,000,000 | 992,500 | |
Indigo Natural Resources LLC 6.875% 2/15/26 (a) | 1,250,000 | 1,206,250 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (a) | 1,235,000 | 1,238,088 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (a) | 170,000 | 168,725 | |
5.375% 1/15/25 (a) | 1,290,000 | 1,299,546 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 2,945,000 | 3,007,581 | |
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 11/15/23 | 1,880,000 | 1,818,900 | |
SemGroup Corp.: | |||
6.375% 3/15/25 | 515,000 | 503,413 | |
7.25% 3/15/26 | 905,000 | 900,475 | |
Southwestern Energy Co.: | |||
4.1% 3/15/22 | 850,000 | 828,750 | |
7.75% 10/1/27 | 980,000 | 1,036,350 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5% 1/15/28 (a) | 1,385,000 | 1,345,181 | |
5.125% 2/1/25 | 2,000,000 | 2,010,000 | |
5.375% 2/1/27 | 3,000,000 | 2,985,000 | |
70,616,811 | |||
TOTAL ENERGY | 91,278,450 | ||
FINANCIALS - 1.3% | |||
Capital Markets - 0.1% | |||
MSCI, Inc. 4.75% 8/1/26 (a) | 3,775,000 | 3,746,688 | |
Consumer Finance - 0.4% | |||
Ally Financial, Inc.: | |||
5.75% 11/20/25 | 6,555,000 | 6,792,619 | |
8% 11/1/31 | 1,850,000 | 2,261,625 | |
Navient Corp. 6.5% 6/15/22 | 770,000 | 786,940 | |
SLM Corp.: | |||
5.5% 1/25/23 | 1,240,000 | 1,226,038 | |
7.25% 1/25/22 | 765,000 | 808,988 | |
11,876,210 | |||
Diversified Financial Services - 0.7% | |||
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (a) | 230,000 | 193,775 | |
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (a) | 3,200,000 | 3,060,000 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.875% 2/1/22 | 2,795,000 | 2,842,627 | |
6% 8/1/20 | 2,500,000 | 2,543,000 | |
6.25% 2/1/22 | 3,690,000 | 3,791,106 | |
6.375% 12/15/25 | 1,080,000 | 1,093,500 | |
6.75% 2/1/24 | 1,975,000 | 2,039,188 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (a) | 490,000 | 458,150 | |
6.875% 2/15/23 (a) | 190,000 | 183,350 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (a) | 2,000,000 | 2,195,000 | |
Tempo Acquisition LLC 6.75% 6/1/25 (a) | 1,335,000 | 1,298,288 | |
19,697,984 | |||
Insurance - 0.0% | |||
AmWINS Group, Inc. 7.75% 7/1/26 (a) | 1,595,000 | 1,680,731 | |
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 515,000 | 489,250 | |
Thrifts & Mortgage Finance - 0.1% | |||
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (a) | 765,000 | 819,545 | |
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 1,080,000 | 989,550 | |
1,809,095 | |||
TOTAL FINANCIALS | 39,299,958 | ||
HEALTH CARE - 1.3% | |||
Health Care Equipment & Supplies - 0.2% | |||
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 980,000 | 943,250 | |
4.625% 2/1/28 (a) | 185,000 | 173,438 | |
Ortho-Clinical Diagnostics, Inc. 6.625% 5/15/22 (a) | 1,715,000 | 1,682,844 | |
Teleflex, Inc.: | |||
4.625% 11/15/27 | 625,000 | 594,863 | |
4.875% 6/1/26 | 2,750,000 | 2,708,750 | |
6,103,145 | |||
Health Care Providers & Services - 0.8% | |||
Community Health Systems, Inc.: | |||
5.125% 8/1/21 | 1,315,000 | 1,268,975 | |
6.25% 3/31/23 | 5,375,000 | 5,106,250 | |
6.875% 2/1/22 | 1,593,000 | 812,430 | |
8.125% 6/30/24 (a) | 177,000 | 145,583 | |
8.625% 1/15/24 (a) | 415,000 | 432,638 | |
HCA Holdings, Inc.: | |||
4.5% 2/15/27 | 1,925,000 | 1,905,750 | |
5% 3/15/24 | 3,000,000 | 3,067,500 | |
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 3,000,000 | 3,037,500 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 675,000 | 661,183 | |
5.125% 5/1/25 | 915,000 | 909,281 | |
6.75% 6/15/23 | 950,000 | 950,000 | |
8.125% 4/1/22 | 5,705,000 | 6,025,906 | |
Wellcare Health Plans, Inc.: | |||
5.25% 4/1/25 | 895,000 | 915,138 | |
5.375% 8/15/26 (a) | 345,000 | 355,350 | |
25,593,484 | |||
Pharmaceuticals - 0.3% | |||
Catalent Pharma Solutions 4.875% 1/15/26 (a) | 1,355,000 | 1,292,331 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (a) | 780,000 | 778,050 | |
5.625% 12/1/21 (a) | 2,795,000 | 2,767,050 | |
5.875% 5/15/23 (a) | 775,000 | 740,900 | |
6.125% 4/15/25 (a) | 785,000 | 730,050 | |
7% 3/15/24 (a) | 2,500,000 | 2,637,500 | |
8,945,881 | |||
TOTAL HEALTH CARE | 40,642,510 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.5% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 2,530,000 | 2,536,325 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (a) | 3,450,000 | 3,475,875 | |
7.5% 12/1/24 (a) | 2,040,000 | 2,147,100 | |
7.5% 3/15/25 (a) | 780,000 | 805,350 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 1,640,000 | 1,656,400 | |
TransDigm, Inc.: | |||
6% 7/15/22 | 1,470,000 | 1,484,700 | |
6.375% 6/15/26 | 1,470,000 | 1,485,619 | |
6.5% 5/15/25 | 1,805,000 | 1,836,588 | |
15,427,957 | |||
Air Freight & Logistics - 0.0% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) | 355,000 | 365,650 | |
Commercial Services & Supplies - 0.3% | |||
APX Group, Inc.: | |||
7.625% 9/1/23 | 765,000 | 689,456 | |
8.75% 12/1/20 | 2,705,000 | 2,705,000 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (a) | 1,030,000 | 1,058,325 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 1,800,000 | 1,795,500 | |
Multi-Color Corp. 4.875% 11/1/25 (a) | 1,250,000 | 1,165,625 | |
Prime Security One MS, Inc. 4.875% 7/15/32 (a) | 1,105,000 | 900,575 | |
Tervita Escrow Corp. 7.625% 12/1/21 (a) | 240,000 | 248,700 | |
8,563,181 | |||
Construction & Engineering - 0.1% | |||
AECOM 5.125% 3/15/27 | 1,825,000 | 1,793,063 | |
AECOM Technology Corp. 5.875% 10/15/24 | 1,905,000 | 2,033,378 | |
3,826,441 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (a) | 715,000 | 713,213 | |
Machinery - 0.0% | |||
U.S.A. Compression Partners LP 6.875% 4/1/26 (a) | 1,500,000 | 1,545,000 | |
Marine - 0.1% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (a) | 3,240,000 | 2,786,400 | |
Navios Maritime Holdings, Inc.: | |||
7.375% 1/15/22 (a) | 410,000 | 340,300 | |
11.25% 8/15/22 (a) | 850,000 | 807,500 | |
3,934,200 | |||
Professional Services - 0.0% | |||
IHS Markit Ltd. 4.75% 2/15/25 (a) | 930,000 | 943,020 | |
Trading Companies & Distributors - 0.2% | |||
Aircastle Ltd.: | |||
4.125% 5/1/24 | 515,000 | 511,344 | |
5% 4/1/23 | 1,245,000 | 1,292,808 | |
Avantor, Inc. 6% 10/1/24 (a) | 780,000 | 791,700 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 590,000 | 563,450 | |
6.375% 10/15/21 | 1,500,000 | 1,550,625 | |
4,709,927 | |||
TOTAL INDUSTRIALS | 40,028,589 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Electronic Equipment & Components - 0.0% | |||
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 990,000 | 985,050 | |
IT Services - 0.0% | |||
Gartner, Inc. 5.125% 4/1/25 (a) | 350,000 | 354,375 | |
Semiconductors & Semiconductor Equipment - 0.1% | |||
NXP BV/NXP Funding LLC 3.875% 9/1/22 (a) | 660,000 | 654,225 | |
Qorvo, Inc. 5.5% 7/15/26 (a) | 1,105,000 | 1,110,525 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (a) | 1,000,000 | 1,051,250 | |
2,816,000 | |||
Software - 0.4% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 485,000 | 476,513 | |
5.875% 6/15/26 | 985,000 | 1,011,240 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (a) | 455,000 | 474,338 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 2,365,000 | 2,382,738 | |
Nuance Communications, Inc.: | |||
5.375% 8/15/20 (a) | 190,000 | 190,000 | |
5.625% 12/15/26 | 1,085,000 | 1,080,931 | |
Open Text Corp. 5.875% 6/1/26 (a) | 3,330,000 | 3,438,225 | |
Symantec Corp. 5% 4/15/25 (a) | 1,690,000 | 1,675,001 | |
10,728,986 | |||
TOTAL INFORMATION TECHNOLOGY | 14,884,411 | ||
MATERIALS - 1.7% | |||
Chemicals - 0.6% | |||
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7% 4/15/25 (a) | 1,360,000 | 1,402,500 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (a) | 2,020,000 | 1,974,550 | |
5.25% 6/1/27 (a) | 390,000 | 370,500 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 1,235,000 | 1,148,550 | |
OCI NV 6.625% 4/15/23 (a) | 2,620,000 | 2,711,700 | |
Olin Corp.: | |||
5% 2/1/30 | 445,000 | 424,975 | |
5.125% 9/15/27 | 1,495,000 | 1,480,050 | |
Platform Specialty Products Corp. 5.875% 12/1/25 (a) | 1,390,000 | 1,379,575 | |
The Chemours Co. LLC 5.375% 5/15/27 | 1,380,000 | 1,355,850 | |
TPC Group, Inc. 8.75% 12/15/20 (a) | 2,940,000 | 2,940,000 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (a) | 1,240,000 | 1,216,750 | |
Tronox Finance PLC 5.75% 10/1/25 (a) | 245,000 | 235,813 | |
Tronox, Inc. 6.5% 4/15/26 (a) | 1,755,000 | 1,719,900 | |
Valvoline, Inc. 4.375% 8/15/25 | 1,025,000 | 978,875 | |
19,339,588 | |||
Containers & Packaging - 0.5% | |||
Ard Securities Finance Sarl 8.75% 1/31/23 pay-in-kind (a)(b) | 1,641,740 | 1,637,636 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.25% 9/15/22 (a) | 795,000 | 784,069 | |
4.625% 5/15/23 (a) | 6,500,000 | 6,443,125 | |
6% 2/15/25 (a) | 1,480,000 | 1,446,700 | |
7.25% 5/15/24 (a) | 1,500,000 | 1,576,875 | |
Crown Americas LLC / Crown Americas Capital Corp. IV 4.75% 2/1/26 (a) | 980,000 | 940,800 | |
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 2,120,000 | 1,945,100 | |
OI European Group BV 4% 3/15/23 (a) | 1,445,000 | 1,370,944 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) | 2,000,000 | 1,975,000 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 695,000 | 665,463 | |
18,785,712 | |||
Metals & Mining - 0.6% | |||
Commercial Metals Co. 5.375% 7/15/27 | 1,740,000 | 1,618,200 | |
Constellium NV 5.875% 2/15/26 (a) | 820,000 | 803,600 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (a) | 900,000 | 846,000 | |
6.875% 3/1/26 (a) | 915,000 | 852,094 | |
7.25% 5/15/22 (a) | 565,000 | 552,641 | |
7.25% 4/1/23 (a) | 2,395,000 | 2,341,113 | |
7.5% 4/1/25 (a) | 870,000 | 837,375 | |
FMG Resources (August 2006) Pty Ltd.: | |||
5.125% 3/15/23 (a) | 560,000 | 547,400 | |
5.125% 5/15/24 (a) | 1,030,000 | 996,525 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 1,480,000 | 1,428,200 | |
3.875% 3/15/23 | 1,645,000 | 1,583,313 | |
4.55% 11/14/24 | 6,000,000 | 5,775,000 | |
18,181,461 | |||
TOTAL MATERIALS | 56,306,761 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,140,750 | |
Equinix, Inc. 5.375% 4/1/23 | 1,885,000 | 1,925,056 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 595,000 | 583,100 | |
5.25% 8/1/26 | 1,035,000 | 1,035,000 | |
5.5% 5/1/24 | 1,500,000 | 1,518,750 | |
6,202,656 | |||
Real Estate Management & Development - 0.1% | |||
Howard Hughes Corp. 5.375% 3/15/25 (a) | 2,345,000 | 2,315,688 | |
TOTAL REAL ESTATE | 8,518,344 | ||
TELECOMMUNICATION SERVICES - 1.2% | |||
Diversified Telecommunication Services - 0.6% | |||
Altice Financing SA 7.5% 5/15/26 (a) | 2,330,000 | 2,225,150 | |
Altice Finco SA 7.625% 2/15/25 (a) | 1,595,000 | 1,403,600 | |
Frontier Communications Corp.: | |||
10.5% 9/15/22 | 1,005,000 | 884,400 | |
11% 9/15/25 | 1,700,000 | 1,300,500 | |
Level 3 Communications, Inc. 5.75% 12/1/22 | 1,250,000 | 1,259,375 | |
Level 3 Financing, Inc.: | |||
5.125% 5/1/23 | 1,600,000 | 1,596,544 | |
5.25% 3/15/26 | 590,000 | 578,259 | |
5.375% 1/15/24 | 675,000 | 675,000 | |
5.375% 5/1/25 | 715,000 | 706,063 | |
Qwest Corp. 6.75% 12/1/21 | 670,000 | 717,768 | |
Sable International Finance Ltd. 6.875% 8/1/22 (a) | 1,460,000 | 1,520,225 | |
SFR Group SA: | |||
6.25% 5/15/24 (a) | 1,370,000 | 1,352,875 | |
8.125% 2/1/27 (a) | 1,510,000 | 1,532,650 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 2,600,000 | 2,431,000 | |
U.S. West Communications 7.25% 9/15/25 | 735,000 | 786,516 | |
18,969,925 | |||
Wireless Telecommunication Services - 0.6% | |||
Intelsat Jackson Holdings SA: | |||
8% 2/15/24 (a) | 2,040,000 | 2,147,100 | |
9.5% 9/30/22 (a) | 1,000,000 | 1,160,000 | |
Sprint Communications, Inc. 6% 11/15/22 | 4,005,000 | 4,053,821 | |
Sprint Corp.: | |||
7.25% 9/15/21 | 270,000 | 283,079 | |
7.875% 9/15/23 | 5,470,000 | 5,887,088 | |
T-Mobile U.S.A., Inc.: | |||
4.5% 2/1/26 | 1,060,000 | 1,010,975 | |
5.125% 4/15/25 | 995,000 | 1,002,920 | |
6.375% 3/1/25 | 2,500,000 | 2,600,000 | |
18,144,983 | |||
TOTAL TELECOMMUNICATION SERVICES | 37,114,908 | ||
UTILITIES - 0.6% | |||
Electric Utilities - 0.2% | |||
DPL, Inc. 6.75% 10/1/19 | 245,000 | 252,350 | |
InterGen NV 7% 6/30/23 (a) | 1,275,000 | 1,266,075 | |
NRG Yield Operating LLC 5% 9/15/26 | 885,000 | 847,388 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 1,764,901 | 1,939,185 | |
Vistra Operations Co. LLC 5.5% 9/1/26 (a) | 740,000 | 753,172 | |
5,058,170 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Dynegy, Inc.: | |||
5.875% 6/1/23 | 865,000 | 889,869 | |
7.625% 11/1/24 | 1,009,000 | 1,084,675 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (a) | 1,365,000 | 1,330,875 | |
4.5% 9/15/27 (a) | 250,000 | 237,500 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 (a) | 600,000 | 606,000 | |
6.625% 1/15/27 | 1,910,000 | 1,998,338 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 275,000 | 268,125 | |
5% 1/31/28 (a) | 280,000 | 262,150 | |
The AES Corp.: | |||
4.5% 3/15/23 | 755,000 | 756,888 | |
4.875% 5/15/23 | 3,000,000 | 3,037,500 | |
5.125% 9/1/27 | 1,150,000 | 1,161,500 | |
6% 5/15/26 | 2,000,000 | 2,115,000 | |
13,748,420 | |||
Multi-Utilities - 0.0% | |||
Wind Tre SpA 5% 1/20/26 (a) | 1,860,000 | 1,662,896 | |
TOTAL UTILITIES | 20,469,486 | ||
TOTAL NONCONVERTIBLE BONDS | 480,877,821 | ||
TOTAL CORPORATE BONDS | |||
(Cost $484,567,287) | 482,946,933 | ||
Bank Loan Obligations - 0.3% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Golden Entertainment, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 5.08% 10/20/24 (b)(c) | 1,353,200 | 1,351,509 | |
3 month U.S. LIBOR + 7.000% 9.07% 10/20/25 (b)(c) | 455,000 | 460,119 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 4.8259% 8/14/24 (b)(c) | 452,952 | 451,575 | |
2,263,203 | |||
Media - 0.0% | |||
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.31% 8/19/23 (b)(c) | 1,478,825 | 1,438,897 | |
TOTAL CONSUMER DISCRETIONARY | 3,702,100 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
California Resources Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.8159% 12/31/22 (b)(c) | 475,000 | 481,531 | |
INDUSTRIALS - 0.1% | |||
Commercial Services & Supplies - 0.1% | |||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.5957% 6/21/24 (b)(c) | 1,475,100 | 1,481,856 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.0759% 2/1/24 (b)(c) | 409,813 | 407,251 | |
Software - 0.0% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.3259% 6/13/25 (b)(c) | 55,000 | 53,900 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.5759% 6/13/24 (b)(c) | 244,672 | 243,383 | |
297,283 | |||
TOTAL INFORMATION TECHNOLOGY | 704,534 | ||
TELECOMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.317% 2/22/24 (b)(c) | 1,030,000 | 1,030,999 | |
Sable International Finance Ltd. Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.250% 5.3259% 2/2/26 (b)(c) | 855,000 | 854,820 | |
Securus Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.5759% 11/1/24 (b)(c) | 1,482,550 | 1,480,697 | |
3,366,516 | |||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $9,709,848) | 9,736,537 | ||
Shares | Value | ||
Fixed-Income Funds - 82.9% | |||
High Yield Fixed-Income Funds - 82.9% | |||
Artisan High Income Fund Investor Shares | 35,462,355 | 349,658,818 | |
BlackRock High Yield Bond Portfolio Institutional Class | 21,824,038 | 167,390,369 | |
Eaton Vance Income Fund of Boston Class A | 22,752,661 | 127,414,903 | |
Fidelity Advisor High Income Advantage Fund Class I (d) | 16,836,752 | 180,321,614 | |
Fidelity Capital & Income Fund (d) | 49,758,268 | 504,051,233 | |
Fidelity High Income Fund (d) | 8,752,224 | 77,632,223 | |
Hotchkis & Wiley High Yield Fund Class A | 33,395,231 | 397,069,297 | |
Janus Henderson High-Yield Fund T Shares | 2,772,944 | 22,876,787 | |
MainStay High Yield Corporate Bond Fund Class A | 46,042,876 | 259,681,823 | |
Prudential High Yield Fund | 40,816,707 | 222,451,051 | |
T. Rowe Price High Yield Fund Advisor Class | 46,977,872 | 305,825,948 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $2,497,438,835) | 2,614,374,066 | ||
Principal Amount | Value | ||
Preferred Securities - 0.8% | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Andeavor Logistics LP 6.875% (b)(e) | 2,055,000 | 2,066,787 | |
Energy Transfer Partners LP 6.25% (b)(e) | 815,000 | 790,866 | |
2,857,653 | |||
FINANCIALS - 0.7% | |||
Banks - 0.7% | |||
Bank of America Corp.: | |||
5.2% (b)(e) | 1,200,000 | 1,202,965 | |
6.25% (b)(e) | 6,000,000 | 6,513,424 | |
Barclays Bank PLC 7.625% 11/21/22 | 2,300,000 | 2,543,171 | |
BNP Paribas SA 7% (a)(b)(e) | 275,000 | 275,837 | |
Citigroup, Inc.: | |||
5.95% (b)(e) | 510,000 | 528,398 | |
5.95% (b)(e) | 5,000,000 | 5,185,618 | |
Credit Agricole SA 6.625% (a)(b)(e) | 1,720,000 | 1,757,300 | |
Royal Bank of Scotland Group PLC: | |||
7.5% (b)(e) | 725,000 | 752,354 | |
8.625% (b)(e) | 2,000,000 | 2,170,331 | |
20,929,398 | |||
TOTAL PREFERRED SECURITIES | |||
(Cost $23,075,604) | 23,787,051 | ||
Shares | Value | ||
Money Market Funds - 0.4% | |||
Fidelity Cash Central Fund, 1.97% (f) | 13,221,542 | 13,224,186 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (g) | 1,312 | 1,312 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $13,225,498) | 13,225,498 | ||
TOTAL INVESTMENT IN SECURITIES - 99.7% | |||
(Cost $3,028,017,072) | 3,144,070,085 | ||
NET OTHER ASSETS (LIABILITIES) - 0.3% | 10,343,824 | ||
NET ASSETS - 100% | $3,154,413,909 |
Legend
(a) 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 $263,969,537 or 8.4% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Affiliated Fund
(e) Security is perpetual in nature with no stated maturity date.
(f) 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.
(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 Cash Central Fund | $125,721 |
Total | $125,721 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor High Income Advantage Fund Class I | $155,353,011 | $22,457,791 | $-- | $3,685,722 | $-- | $2,510,812 | $180,321,614 |
Fidelity Capital & Income Fund | 507,022,434 | 43,974,152 | 39,522,043 | 17,966,679 | (779,409) | (6,643,901) | 504,051,233 |
Fidelity High Income Fund | 75,795,352 | 1,996,815 | -- | 1,996,817 | -- | (159,944) | 77,632,223 |
Total | $738,170,797 | $68,428,758 | $39,522,043 | $23,649,218 | $(779,409) | $(4,293,033) | $762,005,070 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $482,946,933 | $-- | $482,946,933 | $-- |
Bank Loan Obligations | 9,736,537 | -- | 9,736,537 | -- |
Fixed-Income Funds | 2,614,374,066 | 2,614,374,066 | -- | -- |
Preferred Securities | 23,787,051 | -- | 23,787,051 | -- |
Money Market Funds | 13,225,498 | 13,225,498 | -- | -- |
Total Investments in Securities: | $3,144,070,085 | $2,627,599,564 | $516,470,521 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,371,316,573) | $2,368,840,829 | |
Fidelity Central Funds (cost $13,224,186) | 13,224,186 | |
Other affiliated issuers (cost $643,476,313) | 762,005,070 | |
Total Investment in Securities (cost $3,028,017,072) | $3,144,070,085 | |
Cash | 55,297 | |
Receivable for investments sold | 5,160,087 | |
Receivable for fund shares sold | 1,252,588 | |
Dividends receivable | 1,599,253 | |
Interest receivable | 8,075,876 | |
Distributions receivable from Fidelity Central Funds | 10,953 | |
Prepaid expenses | 10,392 | |
Other receivables | 79,501 | |
Total assets | 3,160,314,032 | |
Liabilities | ||
Payable for fund shares redeemed | $1,294,524 | |
Distributions payable | 4,282,025 | |
Accrued management fee | 136,839 | |
Other affiliated payables | 83,506 | |
Other payables and accrued expenses | 103,229 | |
Total liabilities | 5,900,123 | |
Net Assets | $3,154,413,909 | |
Net Assets consist of: | ||
Paid in capital | $3,188,253,219 | |
Distributions in excess of net investment income | (733,405) | |
Accumulated undistributed net realized gain (loss) on investments | (149,158,918) | |
Net unrealized appreciation (depreciation) on investments | 116,053,013 | |
Net Assets, for 332,487,398 shares outstanding | $3,154,413,909 | |
Net Asset Value, offering price and redemption price per share ($3,154,413,909 ÷ 332,487,398 shares) | $9.49 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $53,597,104 | |
Affiliated issuers | 15,572,195 | |
Interest | 14,486,257 | |
Income from Fidelity Central Funds | 125,721 | |
Total income | 83,781,277 | |
Expenses | ||
Management fee | $4,703,413 | |
Transfer agent fees | 420,813 | |
Accounting fees and expenses | 496,999 | |
Custodian fees and expenses | 12,710 | |
Independent trustees' fees and expenses | 19,037 | |
Registration fees | 49,101 | |
Audit | 19,289 | |
Legal | 4,863 | |
Miscellaneous | 16,900 | |
Total expenses before reductions | 5,743,125 | |
Expense reductions | (3,894,379) | |
Total expenses after reductions | 1,848,746 | |
Net investment income (loss) | 81,932,531 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (41,419,624) | |
Fidelity Central Funds | 317 | |
Other affiliated issuers | (779,409) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 8,077,023 | |
Total net realized gain (loss) | (34,121,693) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 18,575,731 | |
Affiliated issuers | (4,293,033) | |
Total change in net unrealized appreciation (depreciation) | 14,282,698 | |
Net gain (loss) | (19,838,995) | |
Net increase (decrease) in net assets resulting from operations | $62,093,536 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $81,932,531 | $157,782,749 |
Net realized gain (loss) | (34,121,693) | 15,064,862 |
Change in net unrealized appreciation (depreciation) | 14,282,698 | (28,861,386) |
Net increase (decrease) in net assets resulting from operations | 62,093,536 | 143,986,225 |
Distributions to shareholders from net investment income | (73,012,069) | (154,409,359) |
Distributions to shareholders from net realized gain | (3,892,992) | – |
Total distributions | (76,905,061) | (154,409,359) |
Share transactions | ||
Proceeds from sales of shares | 354,992,313 | 823,784,503 |
Reinvestment of distributions | 51,793,546 | 119,240,744 |
Cost of shares redeemed | (284,995,804) | (1,203,237,841) |
Net increase (decrease) in net assets resulting from share transactions | 121,790,055 | (260,212,594) |
Total increase (decrease) in net assets | 106,978,530 | (270,635,728) |
Net Assets | ||
Beginning of period | 3,047,435,379 | 3,318,071,107 |
End of period | $3,154,413,909 | $3,047,435,379 |
Other Information | ||
Distributions in excess of net investment income end of period | $(733,405) | $(9,653,867) |
Shares | ||
Sold | 37,552,432 | 85,838,165 |
Issued in reinvestment of distributions | 5,492,329 | 12,409,365 |
Redeemed | (30,198,361) | (125,299,114) |
Net increase (decrease) | 12,846,400 | (27,051,584) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.53 | $9.57 | $8.48 | $9.94 | $10.45 | $10.21 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .249 | .489 | .493 | .518 | .551 | .579 |
Net realized and unrealized gain (loss) | (.055) | (.050) | 1.091 | (1.300) | (.369) | .297 |
Total from investment operations | .194 | .439 | 1.584 | (.782) | .182 | .876 |
Distributions from net investment income | (.222) | (.479) | (.494) | (.537)C | (.552) | (.569) |
Distributions from net realized gain | (.012) | – | – | (.118)C | (.140) | (.067) |
Tax return of capital | – | – | – | (.023) | – | – |
Total distributions | (.234) | (.479) | (.494) | (.678) | (.692) | (.636) |
Net asset value, end of period | $9.49 | $9.53 | $9.57 | $8.48 | $9.94 | $10.45 |
Total ReturnD,E | 2.07% | 4.66% | 19.08% | (8.26)% | 1.82% | 8.90% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | .37%H | .38% | .29% | .26% | .26% | .27% |
Expenses net of fee waivers, if any | .12%H | .13% | .04% | .01% | .01% | .02% |
Expenses net of all reductions | .12%H | .13% | .04% | .01% | .01% | .02% |
Net investment income (loss) | 5.22%H | 5.09% | 5.40% | 5.56% | 5.40% | 5.66% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $3,154,414 | $3,047,435 | $3,318,071 | $3,813,523 | $4,225,162 | $4,442,944 |
Portfolio turnover rateI | 18%H | 33% | 38% | 10% | 16% | 12% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
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 Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. 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 August 31, 2018
1. Organization.
Strategic Advisers Income Opportunities 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 certain clients of Strategic Advisers LLC. (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 Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 loan obligations, and preferred securities 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.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018 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, 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. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. 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. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected 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 of $79,501 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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, partnerships, market discount, 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 | $161,599,578 |
Gross unrealized depreciation | (46,080,251) |
Net unrealized appreciation (depreciation) | $115,519,327 |
Tax cost | $3,028,550,758 |
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 | $(3,936,951) |
Long-term | (107,921,300) |
Total capital loss carryforward | $(111,858,251) |
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.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
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. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $409,731,550 and $276,512,955, respectively.
4. 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 .75% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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-Adviser. FIAM LLC (an affiliate of the investment adviser) 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. Effective July 1, 2018, transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018, FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC paid 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 .03% of average net assets.
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. For the period, the fees were equivalent to an annualized rate of .03%.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. 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.
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 $4,259 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 waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $3,891,189.
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 $3,190.
8. 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 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity Advisor High Income Advantage Fund | 10% |
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 (March 1, 2018 to August 31, 2018).
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. 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .12% | $1,000.00 | $1,020.70 | $.61-C |
Hypothetical-D | $1,000.00 | $1,024.60 | $.61-C |
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 184/365 (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 If fees and changes to the Fund's expense contract and/ or expense cap, effective July 1, 2018, had been in effect for the entire current period, the restated annualized expense ratio would have been .09% and the expenses paid in the actual and hypothetical examples above would have been $.46 and $.46, respectively.
D 5% return per year before expenses
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SRQ-SANN-1018
1.912883.108
Strategic Advisers® Income Opportunities Fund of Funds Semi-Annual Report August 31, 2018 |
Contents
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.Holdings as of August 31, 2018
% of fund's net assets | |
T. Rowe Price High Yield Fund Advisor Class | 25.3 |
BlackRock High Yield Bond Portfolio Institutional Class | 21.3 |
Hotchkis & Wiley High Yield Fund Class I | 21.1 |
MainStay High Yield Corporate Bond Fund Class I | 20.7 |
Fidelity Capital & Income Fund | 11.6 |
100.0 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
High Yield Fixed-Income Funds | 100.0% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Fixed-Income Funds - 100.0% | |||
Shares | Value | ||
High Yield Fixed-Income Funds - 100.0% | |||
BlackRock High Yield Bond Portfolio Institutional Class | 330,964 | $2,538,493 | |
Fidelity Capital & Income Fund (a) | 136,007 | 1,377,747 | |
Hotchkis & Wiley High Yield Fund Class I | 209,854 | 2,511,947 | |
MainStay High Yield Corporate Bond Fund Class I | 437,569 | 2,467,892 | |
T. Rowe Price High Yield Fund Advisor Class | 463,857 | 3,019,708 | |
TOTAL FIXED-INCOME FUNDS | 11,915,787 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $11,796,582) | 11,915,787 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 2,387 | ||
NET ASSETS - 100% | $11,918,174 |
Legend
(a) Affiliated Fund
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Capital & Income Fund | $1,349,255 | $46,891 | $-- | $46,891 | $-- | $(18,399) | $1,377,747 |
Total | $1,349,255 | $46,891 | $-- | $46,891 | $-- | $(18,399) | $1,377,747 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
All investments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $10,468,682) | $10,538,040 | |
Affiliated issuers (cost $1,327,900) | 1,377,747 | |
Total Investment in Securities (cost $11,796,582) | $11,915,787 | |
Cash | 7 | |
Receivable for investments sold | 6,669 | |
Receivable for fund shares sold | 4,649 | |
Dividends receivable | 15,925 | |
Prepaid expenses | 33 | |
Receivable from investment adviser for expense reductions | 2,947 | |
Other receivables | 151 | |
Total assets | 11,946,168 | |
Liabilities | ||
Payable for fund shares redeemed | $11,317 | |
Distribution and service plan fees payable | 24 | |
Other affiliated payables | 115 | |
Custody fees payable | 2,472 | |
Audit fees payable | 13,738 | |
Other payables and accrued expenses | 328 | |
Total liabilities | 27,994 | |
Net Assets | $11,918,174 | |
Net Assets consist of: | ||
Paid in capital | $12,424,949 | |
Undistributed net investment income | 19,307 | |
Accumulated undistributed net realized gain (loss) on investments | (645,287) | |
Net unrealized appreciation (depreciation) on investments | 119,205 | |
Net Assets | $11,918,174 | |
Income Opportunities: | ||
Net Asset Value, offering price and redemption price per share ($11,678,809 ÷ 1,170,305 shares) | $9.98 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($121,639 ÷ 12,190 shares) | $9.98 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($117,726 ÷ 11,800 shares) | $9.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $260,479 | |
Affiliated issuers | 26,197 | |
Total income | 286,676 | |
Expenses | ||
Management fee | $15,254 | |
Transfer agent fees | 142 | |
Distribution and service plan fees | 145 | |
Accounting fees and expenses | 635 | |
Custodian fees and expenses | 3,677 | |
Independent trustees' fees and expenses | 61 | |
Registration fees | 30,301 | |
Audit | 17,723 | |
Legal | 16 | |
Miscellaneous | 41 | |
Total expenses before reductions | 67,995 | |
Expense reductions | (62,646) | |
Total expenses after reductions | 5,349 | |
Net investment income (loss) | 281,327 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,754) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 20,694 | |
Total net realized gain (loss) | 16,940 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (99,262) | |
Affiliated issuers | (18,399) | |
Total change in net unrealized appreciation (depreciation) | (117,661) | |
Net gain (loss) | (100,721) | |
Net increase (decrease) in net assets resulting from operations | $180,606 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $281,327 | $519,908 |
Net realized gain (loss) | 16,940 | (11,071) |
Change in net unrealized appreciation (depreciation) | (117,661) | (54,019) |
Net increase (decrease) in net assets resulting from operations | 180,606 | 454,818 |
Distributions to shareholders from net investment income | (261,678) | (524,868) |
Distributions to shareholders from net realized gain | (3,972) | (2,609) |
Total distributions | (265,650) | (527,477) |
Share transactions - net increase (decrease) | 2,398,774 | 1,063,370 |
Redemption fees | – | 1,149 |
Total increase (decrease) in net assets | 2,313,730 | 991,860 |
Net Assets | ||
Beginning of period | 9,604,444 | 8,612,584 |
End of period | $11,918,174 | $9,604,444 |
Other Information | ||
Undistributed net investment income end of period | $19,307 | $– |
Distributions in excess of net investment income end of period | $– | $(342) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund of Funds
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.42 | $10.88 | $10.60 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .275 | .537 | .559 | .562 | .585 | .616 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.192 | (1.339) | (.382) | .296 |
Total from investment operations | .171 | .454 | 1.751 | (.777) | .203 | .912 |
Distributions from net investment income | (.257) | (.542) | (.560) | (.553) | (.586) | (.610) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.031) |
Total distributions | (.261) | (.545) | (.573) | (.661) | (.665) | (.641) |
Redemption fees added to paid in capitalB | – | .001 | .002 | (.002) | .002 | .009 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.42 | $10.88 |
Total ReturnC,D | 1.74% | 4.57% | 19.97% | (7.83)% | 1.95% | 9.02% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | 1.32%F | 1.23% | 1.74% | 1.50% | 1.53% | 4.32% |
Expenses net of fee waivers, if any | .10%F | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10%F | .10% | .10% | .10% | .10% | .10% |
Net investment income (loss) | 5.49%F | 5.29% | 5.74% | 5.73% | 5.50% | 5.83% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $11,679 | $9,369 | $8,010 | $5,632 | $6,515 | $5,358 |
Portfolio turnover rateG | 25%F | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
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 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 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 class' annualized ratios. The class 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 Income Opportunities Fund of Funds Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 | $10.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .276 | .537 | .558 | .561 | .585 | .186 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.193 | (1.328) | (.392) | .278 |
Total from investment operations | .172 | .454 | 1.751 | (.767) | .193 | .464 |
Distributions from net investment income | (.258) | (.542) | (.560) | (.553) | (.586) | (.180) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.027) |
Total distributions | (.262) | (.545) | (.573) | (.661) | (.665) | (.207) |
Redemption fees added to paid in capitalC | – | .001 | .002 | (.002) | .002 | .003 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 |
Total ReturnD,E | 1.74% | 4.57% | 19.96% | (7.74)% | 1.85% | 4.44% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.34%G | 1.24% | 1.75% | 1.50% | 1.54% | 3.35%G |
Expenses net of fee waivers, if any | .10%G | .10% | .10% | .10% | .10% | .10%G |
Expenses net of all reductions | .10%G | .10% | .10% | .10% | .10% | .10%G |
Net investment income (loss) | 5.49%G | 5.30% | 5.74% | 5.73% | 5.50% | 5.83%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $122 | $120 | $118 | $98 | $106 | $104 |
Portfolio turnover rateH | 25%G | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 Income Opportunities Fund of Funds Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 | $10.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .263 | .512 | .534 | .537 | .559 | .178 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.192 | (1.329) | (.392) | .279 |
Total from investment operations | .159 | .429 | 1.726 | (.792) | .167 | .457 |
Distributions from net investment income | (.245) | (.517) | (.535) | (.528) | (.560) | (.173) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.027) |
Total distributions | (.249) | (.520) | (.548) | (.636) | (.639) | (.200) |
Redemption fees added to paid in capitalC | – | .001 | .002 | (.002) | .002 | .003 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 |
Total ReturnD,E | 1.62% | 4.31% | 19.66% | (7.97)% | 1.60% | 4.37% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.58%G | 1.49% | 2.00% | 1.75% | 1.78% | 3.61%G |
Expenses net of fee waivers, if any | .35%G | .35% | .35% | .35% | .35% | .35%G |
Expenses net of all reductions | .35%G | .35% | .35% | .35% | .35% | .35%G |
Net investment income (loss) | 5.24%G | 5.05% | 5.49% | 5.48% | 5.25% | 5.58%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $118 | $116 | $117 | $98 | $106 | $104 |
Portfolio turnover rateH | 25%G | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Income Opportunities Fund of Funds (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 currently invests in affiliated and unaffiliated mutual funds (the Underlying Funds). The Fund offers Income Opportunities, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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 Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 Fund uses a third party pricing vendor approved by the Board of Trustees (the Board) to value its investments. 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. Investments in the Underlying 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 Underlying 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.
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 for processing shareholder transactions 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. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date.
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. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected 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 of $151 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 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 the short-term gain distributions from the Underlying Funds, 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 | $300,192 |
Gross unrealized depreciation | (205,440) |
Net unrealized appreciation (depreciation) | $94,752 |
Tax cost | $11,821,035 |
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 | $(51,631) |
Long-term | (575,685) |
Total capital loss carryforward | $(627,316) |
3. Purchases and Redemptions of Underlying Fund Shares.
Purchases and redemptions of the Underlying Fund shares, aggregated $3,704,558 and $1,292,683, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .80% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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-Adviser. FIAM LLC (FIAM) (an affiliate of the investment adviser) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM 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% | $145 | $145 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a),(b) | |
Income Opportunities | $139 | – |
Class L | 2 | – |
Class N | 1 | – |
$142 |
(a) Annualized
(b) Amount less than .005%
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. For the period, the fees were equivalent to an annualized rate of .01%.
5. 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 $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
6. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $15,254.
The investment adviser has also contractually agreed to reimburse Income Opportunities, 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 | |
Income Opportunities | .10% | $46,280 |
Class L | .10% | 566 |
Class N | .35% | 546 |
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Income Opportunities | $255,731 | $495,297 |
Class F | – | 17,027 |
Class L | 3,095 | 6,461 |
Class N | 2,852 | 6,083 |
Total | $261,678 | $524,868 |
From net realized gain | ||
Income Opportunities | $3,878 | $2,428 |
Class F | – | 111 |
Class L | 48 | 35 |
Class N | 46 | 35 |
Total | $3,972 | $2,609 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Income Opportunities | ||||
Shares sold | 396,100 | 623,310 | $3,946,205 | $6,325,763 |
Reinvestment of distributions | 26,106 | 49,021 | 259,562 | 497,670 |
Shares redeemed | (181,998) | (530,834) | (1,813,034) | (5,394,780) |
Net increase (decrease) | 240,208 | 141,497 | $2,392,733 | $1,428,653 |
Class F | ||||
Shares sold | – | 19,042 | $– | $193,069 |
Reinvestment of distributions | – | 1,621 | – | 16,454 |
Shares redeemed | – | (56,895) | – | (577,996) |
Net increase (decrease) | – | (36,232) | $– | $(368,473) |
Class L | ||||
Shares sold | – | 253 | $– | $2,575 |
Reinvestment of distributions | 316 | 640 | 3,143 | 6,496 |
Shares redeemed | – | (606) | – | (6,093) |
Net increase (decrease) | 316 | 287 | $3,143 | $2,978 |
Class N | ||||
Reinvestment of distributions | 292 | 603 | 2,898 | 6,118 |
Shares redeemed | – | (587) | – | (5,906) |
Net increase (decrease) | 292 | 16 | $2,898 | $212 |
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.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Income Opportunities | .10% | |||
Actual | $1,000.00 | $1,017.40 | $.51 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class L | .10% | |||
Actual | $1,000.00 | $1,017.40 | $.51 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class N | .35% | |||
Actual | $1,000.00 | $1,016.20 | $1.78 | |
Hypothetical-C | $1,000.00 | $1,023.44 | $1.79 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
ODF-SANN-1018
1.941262.106
Strategic Advisers® Income Opportunities Fund of Funds Semi-Annual Report August 31, 2018 |
Contents
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.
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.Holdings as of August 31, 2018
% of fund's net assets | |
T. Rowe Price High Yield Fund Advisor Class | 25.3 |
BlackRock High Yield Bond Portfolio Institutional Class | 21.3 |
Hotchkis & Wiley High Yield Fund Class I | 21.1 |
MainStay High Yield Corporate Bond Fund Class I | 20.7 |
Fidelity Capital & Income Fund | 11.6 |
100.0 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
High Yield Fixed-Income Funds | 100.0% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Fixed-Income Funds - 100.0% | |||
Shares | Value | ||
High Yield Fixed-Income Funds - 100.0% | |||
BlackRock High Yield Bond Portfolio Institutional Class | 330,964 | $2,538,493 | |
Fidelity Capital & Income Fund (a) | 136,007 | 1,377,747 | |
Hotchkis & Wiley High Yield Fund Class I | 209,854 | 2,511,947 | |
MainStay High Yield Corporate Bond Fund Class I | 437,569 | 2,467,892 | |
T. Rowe Price High Yield Fund Advisor Class | 463,857 | 3,019,708 | |
TOTAL FIXED-INCOME FUNDS | 11,915,787 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $11,796,582) | 11,915,787 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 2,387 | ||
NET ASSETS - 100% | $11,918,174 |
Legend
(a) Affiliated Fund
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Capital & Income Fund | $1,349,255 | $46,891 | $-- | $46,891 | $-- | $(18,399) | $1,377,747 |
Total | $1,349,255 | $46,891 | $-- | $46,891 | $-- | $(18,399) | $1,377,747 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
All investments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $10,468,682) | $10,538,040 | |
Affiliated issuers (cost $1,327,900) | 1,377,747 | |
Total Investment in Securities (cost $11,796,582) | $11,915,787 | |
Cash | 7 | |
Receivable for investments sold | 6,669 | |
Receivable for fund shares sold | 4,649 | |
Dividends receivable | 15,925 | |
Prepaid expenses | 33 | |
Receivable from investment adviser for expense reductions | 2,947 | |
Other receivables | 151 | |
Total assets | 11,946,168 | |
Liabilities | ||
Payable for fund shares redeemed | $11,317 | |
Distribution and service plan fees payable | 24 | |
Other affiliated payables | 115 | |
Custody fees payable | 2,472 | |
Audit fees payable | 13,738 | |
Other payables and accrued expenses | 328 | |
Total liabilities | 27,994 | |
Net Assets | $11,918,174 | |
Net Assets consist of: | ||
Paid in capital | $12,424,949 | |
Undistributed net investment income | 19,307 | |
Accumulated undistributed net realized gain (loss) on investments | (645,287) | |
Net unrealized appreciation (depreciation) on investments | 119,205 | |
Net Assets | $11,918,174 | |
Income Opportunities: | ||
Net Asset Value, offering price and redemption price per share ($11,678,809 ÷ 1,170,305 shares) | $9.98 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($121,639 ÷ 12,190 shares) | $9.98 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($117,726 ÷ 11,800 shares) | $9.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $260,479 | |
Affiliated issuers | 26,197 | |
Total income | 286,676 | |
Expenses | ||
Management fee | $15,254 | |
Transfer agent fees | 142 | |
Distribution and service plan fees | 145 | |
Accounting fees and expenses | 635 | |
Custodian fees and expenses | 3,677 | |
Independent trustees' fees and expenses | 61 | |
Registration fees | 30,301 | |
Audit | 17,723 | |
Legal | 16 | |
Miscellaneous | 41 | |
Total expenses before reductions | 67,995 | |
Expense reductions | (62,646) | |
Total expenses after reductions | 5,349 | |
Net investment income (loss) | 281,327 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,754) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 20,694 | |
Total net realized gain (loss) | 16,940 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (99,262) | |
Affiliated issuers | (18,399) | |
Total change in net unrealized appreciation (depreciation) | (117,661) | |
Net gain (loss) | (100,721) | |
Net increase (decrease) in net assets resulting from operations | $180,606 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $281,327 | $519,908 |
Net realized gain (loss) | 16,940 | (11,071) |
Change in net unrealized appreciation (depreciation) | (117,661) | (54,019) |
Net increase (decrease) in net assets resulting from operations | 180,606 | 454,818 |
Distributions to shareholders from net investment income | (261,678) | (524,868) |
Distributions to shareholders from net realized gain | (3,972) | (2,609) |
Total distributions | (265,650) | (527,477) |
Share transactions - net increase (decrease) | 2,398,774 | 1,063,370 |
Redemption fees | – | 1,149 |
Total increase (decrease) in net assets | 2,313,730 | 991,860 |
Net Assets | ||
Beginning of period | 9,604,444 | 8,612,584 |
End of period | $11,918,174 | $9,604,444 |
Other Information | ||
Undistributed net investment income end of period | $19,307 | $– |
Distributions in excess of net investment income end of period | $– | $(342) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund of Funds
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.42 | $10.88 | $10.60 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .275 | .537 | .559 | .562 | .585 | .616 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.192 | (1.339) | (.382) | .296 |
Total from investment operations | .171 | .454 | 1.751 | (.777) | .203 | .912 |
Distributions from net investment income | (.257) | (.542) | (.560) | (.553) | (.586) | (.610) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.031) |
Total distributions | (.261) | (.545) | (.573) | (.661) | (.665) | (.641) |
Redemption fees added to paid in capitalB | – | .001 | .002 | (.002) | .002 | .009 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.42 | $10.88 |
Total ReturnC,D | 1.74% | 4.57% | 19.97% | (7.83)% | 1.95% | 9.02% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | 1.32%F | 1.23% | 1.74% | 1.50% | 1.53% | 4.32% |
Expenses net of fee waivers, if any | .10%F | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10%F | .10% | .10% | .10% | .10% | .10% |
Net investment income (loss) | 5.49%F | 5.29% | 5.74% | 5.73% | 5.50% | 5.83% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $11,679 | $9,369 | $8,010 | $5,632 | $6,515 | $5,358 |
Portfolio turnover rateG | 25%F | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
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 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 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 class' annualized ratios. The class 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 Income Opportunities Fund of Funds Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 | $10.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .276 | .537 | .558 | .561 | .585 | .186 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.193 | (1.328) | (.392) | .278 |
Total from investment operations | .172 | .454 | 1.751 | (.767) | .193 | .464 |
Distributions from net investment income | (.258) | (.542) | (.560) | (.553) | (.586) | (.180) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.027) |
Total distributions | (.262) | (.545) | (.573) | (.661) | (.665) | (.207) |
Redemption fees added to paid in capitalC | – | .001 | .002 | (.002) | .002 | .003 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 |
Total ReturnD,E | 1.74% | 4.57% | 19.96% | (7.74)% | 1.85% | 4.44% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.34%G | 1.24% | 1.75% | 1.50% | 1.54% | 3.35%G |
Expenses net of fee waivers, if any | .10%G | .10% | .10% | .10% | .10% | .10%G |
Expenses net of all reductions | .10%G | .10% | .10% | .10% | .10% | .10%G |
Net investment income (loss) | 5.49%G | 5.30% | 5.74% | 5.73% | 5.50% | 5.83%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $122 | $120 | $118 | $98 | $106 | $104 |
Portfolio turnover rateH | 25%G | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 Income Opportunities Fund of Funds Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 | $10.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .263 | .512 | .534 | .537 | .559 | .178 |
Net realized and unrealized gain (loss) | (.104) | (.083) | 1.192 | (1.329) | (.392) | .279 |
Total from investment operations | .159 | .429 | 1.726 | (.792) | .167 | .457 |
Distributions from net investment income | (.245) | (.517) | (.535) | (.528) | (.560) | (.173) |
Distributions from net realized gain | (.004) | (.003) | (.013) | (.108) | (.079) | (.027) |
Total distributions | (.249) | (.520) | (.548) | (.636) | (.639) | (.200) |
Redemption fees added to paid in capitalC | – | .001 | .002 | (.002) | .002 | .003 |
Net asset value, end of period | $9.98 | $10.07 | $10.16 | $8.98 | $10.41 | $10.88 |
Total ReturnD,E | 1.62% | 4.31% | 19.66% | (7.97)% | 1.60% | 4.37% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.58%G | 1.49% | 2.00% | 1.75% | 1.78% | 3.61%G |
Expenses net of fee waivers, if any | .35%G | .35% | .35% | .35% | .35% | .35%G |
Expenses net of all reductions | .35%G | .35% | .35% | .35% | .35% | .35%G |
Net investment income (loss) | 5.24%G | 5.05% | 5.49% | 5.48% | 5.25% | 5.58%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $118 | $116 | $117 | $98 | $106 | $104 |
Portfolio turnover rateH | 25%G | 42% | 37% | 65% | 39% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
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 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 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 class' annualized ratios. The class 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 August 31, 2018
1. Organization.
Strategic Advisers Income Opportunities Fund of Funds (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 currently invests in affiliated and unaffiliated mutual funds (the Underlying Funds). The Fund offers Income Opportunities, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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 Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 Fund uses a third party pricing vendor approved by the Board of Trustees (the Board) to value its investments. 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. Investments in the Underlying 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 Underlying 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.
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 for processing shareholder transactions 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. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date.
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. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected 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 of $151 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 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 the short-term gain distributions from the Underlying Funds, 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 | $300,192 |
Gross unrealized depreciation | (205,440) |
Net unrealized appreciation (depreciation) | $94,752 |
Tax cost | $11,821,035 |
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 | $(51,631) |
Long-term | (575,685) |
Total capital loss carryforward | $(627,316) |
3. Purchases and Redemptions of Underlying Fund Shares.
Purchases and redemptions of the Underlying Fund shares, aggregated $3,704,558 and $1,292,683, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .80% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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-Adviser. FIAM LLC (FIAM) (an affiliate of the investment adviser) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM 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% | $145 | $145 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a),(b) | |
Income Opportunities | $139 | – |
Class L | 2 | – |
Class N | 1 | – |
$142 |
(a) Annualized
(b) Amount less than .005%
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. For the period, the fees were equivalent to an annualized rate of .01%.
5. 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 $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
6. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .30% of the Fund's average net assets until April 30, 2019. During the period, this waiver reduced the Fund's management fee by $15,254.
The investment adviser has also contractually agreed to reimburse Income Opportunities, 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 April 30, 2019. Some expenses, for example sub-advisory fees, 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 | |
Income Opportunities | .10% | $46,280 |
Class L | .10% | 566 |
Class N | .35% | 546 |
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Income Opportunities | $255,731 | $495,297 |
Class F | – | 17,027 |
Class L | 3,095 | 6,461 |
Class N | 2,852 | 6,083 |
Total | $261,678 | $524,868 |
From net realized gain | ||
Income Opportunities | $3,878 | $2,428 |
Class F | – | 111 |
Class L | 48 | 35 |
Class N | 46 | 35 |
Total | $3,972 | $2,609 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Income Opportunities | ||||
Shares sold | 396,100 | 623,310 | $3,946,205 | $6,325,763 |
Reinvestment of distributions | 26,106 | 49,021 | 259,562 | 497,670 |
Shares redeemed | (181,998) | (530,834) | (1,813,034) | (5,394,780) |
Net increase (decrease) | 240,208 | 141,497 | $2,392,733 | $1,428,653 |
Class F | ||||
Shares sold | – | 19,042 | $– | $193,069 |
Reinvestment of distributions | – | 1,621 | – | 16,454 |
Shares redeemed | – | (56,895) | – | (577,996) |
Net increase (decrease) | – | (36,232) | $– | $(368,473) |
Class L | ||||
Shares sold | – | 253 | $– | $2,575 |
Reinvestment of distributions | 316 | 640 | 3,143 | 6,496 |
Shares redeemed | – | (606) | – | (6,093) |
Net increase (decrease) | 316 | 287 | $3,143 | $2,978 |
Class N | ||||
Reinvestment of distributions | 292 | 603 | 2,898 | 6,118 |
Shares redeemed | – | (587) | – | (5,906) |
Net increase (decrease) | 292 | 16 | $2,898 | $212 |
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.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Income Opportunities | .10% | |||
Actual | $1,000.00 | $1,017.40 | $.51 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class L | .10% | |||
Actual | $1,000.00 | $1,017.40 | $.51 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 | |
Class N | .35% | |||
Actual | $1,000.00 | $1,016.20 | $1.78 | |
Hypothetical-C | $1,000.00 | $1,023.44 | $1.79 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
ODF-L-ODF-N-SANN-1018
1.9585965.104
Strategic Advisers® International Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity International Discovery Fund | 7.2 |
iShares MSCI Japan ETF | 4.9 |
T. Rowe Price Overseas Stock Fund I Class | 4.7 |
Fidelity Diversified International Fund | 4.3 |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 4.1 |
Artisan International Value Fund Investor Class | 4.0 |
Oakmark International Fund Investor Class | 4.0 |
Fidelity Overseas Fund | 3.0 |
iShares MSCI EAFE Value ETF | 2.4 |
JOHCM International Select Fund Class II Shares | 2.4 |
41.0 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 43.4% | |
Preferred Stocks | 0.8% | |
Europe Stock Funds | 0.7% | |
Foreign Large Blend Funds | 18.5% | |
Foreign Large Growth Funds | 18.5% | |
Foreign Large Value Funds | 4.3% | |
Foreign Small Mid Growth Funds | 0.6% | |
Foreign Small Mid Blend Funds | 0.6% | |
Foreign Small Mid Value Funds | 0.5% | |
Small Growth Funds | 0.1% | |
Other | 6.7% | |
Sector Funds | 0.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.2% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 43.4% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 3.1% | |||
Auto Components - 0.3% | |||
Aisin Seiki Co. Ltd. | 6,600 | $305,319 | |
Bridgestone Corp. | 138,900 | 5,116,710 | |
Compagnie Plastic Omnium | 34,289 | 1,358,009 | |
Continental AG | 14,776 | 2,710,754 | |
DENSO Corp. | 76,300 | 3,677,315 | |
Faurecia SA | 46,494 | 2,848,426 | |
FCC Co. Ltd. | 20,700 | 641,810 | |
Koito Manufacturing Co. Ltd. | 245,600 | 15,185,600 | |
Michelin CGDE Series B | 34,213 | 4,049,406 | |
Motherson Sumi Systems Ltd. (a) | 385,551 | 1,651,237 | |
Toyota Industries Corp. | 169,700 | 9,606,813 | |
47,151,399 | |||
Automobiles - 0.1% | |||
Ferrari NV | 45,266 | 5,921,541 | |
Honda Motor Co. Ltd. sponsored ADR | 108,700 | 3,220,781 | |
Maruti Suzuki India Ltd. | 43,625 | 5,588,768 | |
Peugeot Citroen SA | 108,200 | 2,976,558 | |
Renault SA | 28,990 | 2,496,841 | |
Subaru Corp. | 20,100 | 597,157 | |
20,801,646 | |||
Distributors - 0.0% | |||
Inchcape PLC | 751,600 | 6,742,930 | |
Hotels, Restaurants & Leisure - 0.8% | |||
Aristocrat Leisure Ltd. | 362,069 | 8,222,605 | |
Carnival PLC | 528,746 | 31,801,431 | |
Compass Group PLC | 2,356,191 | 50,661,931 | |
Crown Ltd. | 79,788 | 814,506 | |
Galaxy Entertainment Group Ltd. | 1,097,000 | 8,120,491 | |
Genting Singapore Ltd. | 391,100 | 304,890 | |
Greggs PLC | 144,455 | 1,990,772 | |
Huazhu Group Ltd. ADR | 79,596 | 2,739,694 | |
InterContinental Hotel Group PLC | 54,540 | 3,362,184 | |
Kindred Group PLC (depositary receipt) | 216,583 | 2,661,950 | |
Paddy Power Betfair PLC | 64,872 | 5,899,847 | |
Sands China Ltd. | 97,200 | 474,312 | |
The Star Entertainment Group Ltd. | 209,099 | 810,232 | |
TUI AG | 235,661 | 4,345,239 | |
TUI AG (GB) | 238,387 | 4,394,788 | |
Whitbread PLC | 17,008 | 1,013,419 | |
Yum China Holdings, Inc. | 269,358 | 10,418,767 | |
138,037,058 | |||
Household Durables - 0.2% | |||
Barratt Developments PLC | 523,700 | 3,679,914 | |
Panasonic Corp. | 245,400 | 2,923,336 | |
Persimmon PLC | 139,100 | 4,387,580 | |
Resurs Holding AB (b) | 50,425 | 368,325 | |
Sony Corp. | 304,600 | 17,320,361 | |
Techtronic Industries Co. Ltd. | 1,840,500 | 11,255,805 | |
39,935,321 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Ctrip.com International Ltd. ADR (a) | 103,969 | 4,070,386 | |
MakeMyTrip Ltd. (a)(c) | 75,420 | 2,387,043 | |
Start Today Co. Ltd. | 111,400 | 3,839,996 | |
10,297,425 | |||
Leisure Products - 0.1% | |||
Bandai Namco Holdings, Inc. | 46,800 | 1,815,390 | |
Sega Sammy Holdings, Inc. | 310,600 | 5,009,407 | |
Technogym SpA (b) | 135,529 | 1,349,765 | |
8,174,562 | |||
Media - 0.3% | |||
Informa PLC | 414,969 | 4,101,610 | |
Mediaset Espana Comunicacion SA | 528,100 | 3,860,624 | |
Pearson PLC sponsored ADR | 49,566 | 586,366 | |
Publicis Groupe SA | 112,800 | 7,240,573 | |
Telenet Group Holding NV | 4,632 | 253,238 | |
Vivendi SA | 669,685 | 17,373,479 | |
WPP PLC | 653,988 | 10,846,170 | |
44,262,060 | |||
Multiline Retail - 0.0% | |||
Debenhams PLC (c) | 913,233 | 155,217 | |
Dollarama, Inc. | 136,768 | 5,172,031 | |
Harvey Norman Holdings Ltd. (c) | 196,010 | 507,282 | |
Isetan Mitsukoshi Holdings Ltd. | 25,500 | 288,255 | |
6,122,785 | |||
Specialty Retail - 0.3% | |||
Dufry AG (c) | 50,600 | 6,259,417 | |
Esprit Holdings Ltd. (a) | 5,499,400 | 1,303,250 | |
Hikari Tsushin, Inc. | 1,700 | 321,456 | |
Hotel Shilla Co. | 20,090 | 1,945,309 | |
Inditex SA | 18,823 | 568,805 | |
Kingfisher PLC | 518,636 | 1,843,746 | |
Mr Price Group Ltd. | 164,069 | 2,515,911 | |
Nitori Holdings Co. Ltd. | 21,400 | 3,249,194 | |
Super Retail Group Ltd. | 70,310 | 472,604 | |
USS Co. Ltd. | 943,000 | 17,780,443 | |
Via Varejo SA unit | 230,600 | 956,799 | |
WH Smith PLC | 152,420 | 4,078,565 | |
41,295,499 | |||
Textiles, Apparel & Luxury Goods - 0.9% | |||
adidas AG | 17,879 | 4,459,830 | |
Burberry Group PLC | 73,064 | 2,118,025 | |
Compagnie Financiere Richemont SA Series A | 511,986 | 45,208,894 | |
Descente Ltd. | 10,600 | 208,356 | |
ECLAT Textile Co. Ltd. | 133,000 | 1,617,720 | |
Gildan Activewear, Inc. (c) | 416,707 | 12,280,882 | |
Hermes International SCA | 7,432 | 4,832,674 | |
Hugo Boss AG | 28,176 | 2,250,778 | |
Kering SA | 31,765 | 17,255,733 | |
Li Ning Co. Ltd. (a) | 1,909,500 | 2,014,418 | |
lululemon athletica, Inc. (a) | 51,014 | 7,903,599 | |
Luxottica Group SpA | 36,858 | 2,443,761 | |
LVMH Moet Hennessy - Louis Vuitton SA | 79,405 | 27,835,533 | |
Moncler SpA | 62,991 | 2,848,631 | |
Puma AG | 4,930 | 2,701,019 | |
Seiko Holdings Corp. | 35,900 | 1,004,851 | |
Shenzhou International Group Holdings Ltd. | 306,000 | 4,015,671 | |
Swatch Group AG (Bearer) (Reg.) | 24,044 | 1,948,575 | |
Titan Co. Ltd. | 146,614 | 1,841,631 | |
144,790,581 | |||
TOTAL CONSUMER DISCRETIONARY | 507,611,266 | ||
CONSUMER STAPLES - 5.2% | |||
Beverages - 1.1% | |||
Asahi Group Holdings | 255,500 | 11,541,306 | |
Coca-Cola Amatil Ltd. | 165,401 | 1,116,535 | |
Coca-Cola HBC AG | 48,587 | 1,661,692 | |
Diageo PLC | 1,593,745 | 55,740,461 | |
Diageo PLC sponsored ADR | 46,054 | 6,420,388 | |
Fever-Tree Drinks PLC | 67,302 | 3,248,454 | |
Heineken Holding NV | 135,896 | 12,950,559 | |
Heineken NV (Bearer) | 271,454 | 26,826,782 | |
ITO EN Ltd. | 424,300 | 18,635,442 | |
Pernod Ricard SA | 256,152 | 40,436,667 | |
Royal Unibrew A/S | 28,349 | 2,443,270 | |
Takara Holdings, Inc. | 19,700 | 195,387 | |
Treasury Wine Estates Ltd. | 122,279 | 1,711,537 | |
182,928,480 | |||
Food & Staples Retailing - 0.4% | |||
Bidcorp Ltd. | 79,266 | 1,691,529 | |
Carrefour SA | 112,655 | 2,009,847 | |
Kesko Oyj | 22,170 | 1,291,838 | |
Koninklijke Ahold Delhaize NV | 33,052 | 804,133 | |
Kusuri No Aoki Holdings Co. Ltd. | 2,500 | 182,477 | |
Matsumotokiyoshi Holdings Co. Ltd. | 19,800 | 748,447 | |
Metcash Ltd. | 297,973 | 591,227 | |
Seven & i Holdings Co. Ltd. | 320,100 | 13,036,203 | |
Sundrug Co. Ltd. | 312,000 | 11,204,032 | |
Tesco PLC | 5,753,590 | 18,386,347 | |
Wesfarmers Ltd. | 114,405 | 4,231,544 | |
WM Morrison Supermarkets PLC | 589,918 | 2,013,334 | |
Woolworths Group Ltd. | 306,028 | 6,226,100 | |
62,417,058 | |||
Food Products - 1.5% | |||
Aryzta AG (c) | 502,040 | 4,705,217 | |
Associated British Foods PLC | 42,817 | 1,270,626 | |
Barry Callebaut AG | 717 | 1,278,283 | |
Britannia Industries Ltd. | 34,042 | 3,229,807 | |
China Mengniu Dairy Co. Ltd. | 1,789,000 | 5,162,714 | |
Danone SA | 601,622 | 47,377,673 | |
Kerry Group PLC Class A | 212,602 | 24,245,916 | |
Kikkoman Corp. | 19,200 | 962,506 | |
Lindt & Spruengli AG (participation certificate) | 213 | 1,585,551 | |
M. Dias Branco SA | 174,300 | 1,810,570 | |
Marine Harvest ASA (c) | 216,100 | 4,667,996 | |
Nestle SA (Reg. S) | 1,522,639 | 127,638,477 | |
Nissin Food Holdings Co. Ltd. | 69,700 | 4,447,601 | |
Toyo Suisan Kaisha Ltd. | 445,700 | 16,426,438 | |
WH Group Ltd. (b) | 331,000 | 249,660 | |
Yakult Honsha Co. Ltd. | 18,700 | 1,329,583 | |
246,388,618 | |||
Household Products - 0.6% | |||
Colgate-Palmolive Co. | 502,528 | 33,372,884 | |
PZ Cussons PLC Class L | 42,283 | 131,563 | |
Reckitt Benckiser Group PLC | 688,410 | 58,640,284 | |
Unicharm Corp. | 143,600 | 4,694,044 | |
96,838,775 | |||
Personal Products - 0.9% | |||
Beiersdorf AG | 17,971 | 2,092,242 | |
Fancl Corp. | 42,700 | 2,194,375 | |
Kao Corp. | 544,500 | 42,267,235 | |
Kobayashi Pharmaceutical Co. Ltd. | 255,500 | 18,350,194 | |
Kose Corp. | 55,400 | 10,221,402 | |
L'Oreal SA | 183,295 | 43,977,424 | |
Milbon Co. Ltd. | 17,500 | 795,383 | |
Noevir Holdings Co. Ltd. | 5,200 | 304,671 | |
Pola Orbis Holdings, Inc. | 78,900 | 2,783,620 | |
Shiseido Co. Ltd. | 176,800 | 12,449,673 | |
Unilever NV: | |||
(Certificaten Van Aandelen) (Bearer) | 105,971 | 6,093,479 | |
(NY Reg.) | 64,339 | 3,698,206 | |
Unilever PLC | 134,900 | 7,687,246 | |
152,915,150 | |||
Tobacco - 0.7% | |||
British American Tobacco PLC (United Kingdom) | 1,449,616 | 70,099,494 | |
Imperial Tobacco Group PLC | 417,903 | 14,866,727 | |
Japan Tobacco, Inc. | 799,300 | 21,020,202 | |
Swedish Match Co. AB | 69,743 | 3,728,463 | |
109,714,886 | |||
TOTAL CONSUMER STAPLES | 851,202,967 | ||
ENERGY - 2.6% | |||
Energy Equipment & Services - 0.2% | |||
Core Laboratories NV (c) | 80,620 | 9,235,021 | |
TechnipFMC PLC | 345,600 | 10,585,728 | |
Tenaris SA | 379,115 | 6,361,848 | |
TGS Nopec Geophysical Co. ASA | 93,481 | 3,550,342 | |
29,732,939 | |||
Oil, Gas & Consumable Fuels - 2.4% | |||
Aker Bp ASA | 21,801 | 772,094 | |
BP PLC | 9,090,551 | 64,735,307 | |
BP PLC sponsored ADR | 256,778 | 11,010,641 | |
Cairn Energy PLC (a) | 2,225,152 | 6,894,668 | |
Caltex Australia Ltd. | 371,319 | 8,064,295 | |
CNOOC Ltd. sponsored ADR | 9,800 | 1,741,558 | |
Cosmo Energy Holdings Co. Ltd. | 6,500 | 239,560 | |
Enbridge, Inc. | 241,704 | 8,243,866 | |
Encana Corp. | 2,273,818 | 30,108,487 | |
Eni SpA | 1,937,810 | 35,959,973 | |
Eni SpA sponsored ADR | 5,530 | 205,440 | |
Equinor ASA | 222,098 | 5,696,688 | |
Equinor ASA sponsored ADR | 550 | 14,174 | |
Galp Energia SGPS SA Class B | 524,809 | 10,642,236 | |
Gazprom OAO sponsored ADR (Reg. S) | 821,429 | 3,622,502 | |
Idemitsu Kosan Co. Ltd. | 9,100 | 459,464 | |
INPEX Corp. | 180,800 | 1,977,068 | |
Japan Petroleum Exploration Co. Ltd. | 7,800 | 166,095 | |
JX Holdings, Inc. | 2,828,600 | 19,918,069 | |
Lundin Petroleum AB | 65,844 | 2,287,402 | |
Neste Oyj | 86,971 | 7,551,179 | |
Oil Search Ltd. ADR | 1,316,252 | 8,478,432 | |
Origin Energy Ltd. (a) | 210,650 | 1,203,918 | |
Petroleo Brasileiro SA - Petrobras (ON) | 745,500 | 4,041,305 | |
Repsol SA | 371,479 | 7,142,733 | |
Rosneft Oil Co. OJSC GDR (Reg. S) | 3,852 | 24,545 | |
Royal Dutch Shell PLC: | |||
Class A | 656,711 | 21,358,463 | |
Class A sponsored ADR | 117,035 | 7,634,193 | |
Class B sponsored ADR (c) | 119,056 | 8,021,993 | |
Class B (United Kingdom) | 1,179,280 | 39,036,424 | |
Santos Ltd. (a) | 41,076 | 200,210 | |
Showa Shell Sekiyu K.K. | 68,900 | 1,389,658 | |
SK Energy Co. Ltd. | 24,051 | 4,161,744 | |
Snam Rete Gas SpA | 655,389 | 2,689,986 | |
Suncor Energy, Inc. | 405,892 | 16,708,443 | |
Total SA | 587,309 | 36,828,884 | |
Total SA sponsored ADR | 74,000 | 4,642,760 | |
Woodside Petroleum Ltd. | 135,551 | 3,592,894 | |
387,467,351 | |||
TOTAL ENERGY | 417,200,290 | ||
FINANCIALS - 6.8% | |||
Banks - 3.1% | |||
AIB Group PLC | 2,020,524 | 11,360,746 | |
Akbank T.A.S. | 3,633,883 | 3,187,714 | |
Bankinter SA | 642,824 | 5,718,555 | |
Barclays PLC | 22,164,620 | 50,772,970 | |
Barclays PLC sponsored ADR (c) | 86,413 | 808,826 | |
BNP Paribas SA | 828,828 | 48,661,101 | |
BOC Hong Kong (Holdings) Ltd. | 23,500 | 114,674 | |
CaixaBank SA | 3,554,061 | 15,842,576 | |
Canadian Imperial Bank of Commerce | 39,925 | 3,741,630 | |
Chiba Bank Ltd. | 674,500 | 4,431,509 | |
Concordia Financial Group Ltd. | 34,700 | 166,458 | |
Credicorp Ltd. (United States) | 24,819 | 5,411,038 | |
Danske Bank A/S | 69,202 | 2,036,018 | |
DBS Group Holdings Ltd. | 705,200 | 12,819,016 | |
DNB ASA | 343,479 | 6,995,607 | |
Erste Group Bank AG | 333,543 | 13,267,975 | |
Erste Group Bank AG ADR | 3,744 | 74,861 | |
FinecoBank SpA | 400,171 | 4,768,077 | |
HDFC Bank Ltd. | 553,351 | 16,150,965 | |
HSBC Holdings PLC (United Kingdom) | 1,323,600 | 11,520,569 | |
IndusInd Bank Ltd. | 128,455 | 3,449,226 | |
ING Groep NV (Certificaten Van Aandelen) | 1,115,429 | 15,151,747 | |
Intesa Sanpaolo SpA | 7,611,424 | 18,790,723 | |
Jyske Bank A/S (Reg.) | 197,658 | 10,027,246 | |
KBC Groep NV | 451,827 | 32,096,841 | |
Lloyds Banking Group PLC | 23,082,127 | 17,780,640 | |
Mebuki Financial Group, Inc. | 1,115,100 | 3,954,184 | |
Mediobanca SpA | 650,600 | 6,053,555 | |
Metro Bank PLC (a)(c) | 32,569 | 1,175,518 | |
Mitsubishi UFJ Financial Group, Inc. | 3,850,800 | 23,276,873 | |
North Pacific Bank Ltd. | 993,000 | 3,351,409 | |
PT Bank Central Asia Tbk | 5,682,800 | 9,567,783 | |
Resona Holdings, Inc. | 1,738,600 | 9,856,396 | |
Sberbank of Russia sponsored ADR | 171,329 | 1,859,776 | |
Shinsei Bank Ltd. | 177,200 | 2,720,756 | |
Shizuoka Bank Ltd. | 145,500 | 1,285,942 | |
Sumitomo Mitsui Financial Group, Inc. | 879,500 | 34,576,188 | |
Sumitomo Mitsui Trust Holdings, Inc. | 68,500 | 2,748,555 | |
Svenska Handelsbanken AB (A Shares) | 1,342,459 | 16,278,180 | |
Sydbank A/S | 111,500 | 3,263,991 | |
The Hachijuni Bank Ltd. | 662,200 | 2,956,090 | |
The Toronto-Dominion Bank | 310,540 | 18,715,687 | |
Turkiye Garanti Bankasi A/S | 262,725 | 238,070 | |
Turkiye Is Bankasi A/S Series C | 1,670,901 | 1,015,335 | |
UniCredit SpA | 3,126,666 | 45,126,437 | |
Westpac Banking Corp. | 94,668 | 1,944,285 | |
Yapi ve Kredi Bankasi A/S (a) | 272,103 | 69,619 | |
Yes Bank Ltd. | 828,335 | 4,007,226 | |
509,189,163 | |||
Capital Markets - 1.1% | |||
3i Group PLC | 951,647 | 11,059,449 | |
ASX Ltd. | 63,774 | 3,101,100 | |
Azimut Holding SpA (c) | 301,255 | 4,787,143 | |
Banca Generali SpA | 130,198 | 3,197,854 | |
Close Brothers Group PLC | 68,799 | 1,423,544 | |
Daiwa Securities Group, Inc. | 2,254,500 | 13,521,724 | |
Deutsche Borse AG | 82,691 | 11,411,271 | |
Euronext NV (b) | 22,029 | 1,447,271 | |
Hargreaves Lansdown PLC | 58,209 | 1,660,231 | |
IG Group Holdings PLC | 405,054 | 4,747,196 | |
Intermediate Capital Group PLC | 262,640 | 3,571,841 | |
Julius Baer Group Ltd. | 358,464 | 19,020,600 | |
London Stock Exchange Group PLC | 143,494 | 8,602,157 | |
Macquarie Group Ltd. | 84,800 | 7,888,576 | |
Matsui Securities Co. Ltd. | 107,300 | 1,134,709 | |
Partners Group Holding AG | 15,841 | 12,437,453 | |
Platinum Asset Management Ltd. (c) | 125,457 | 487,934 | |
Thomson Reuters Corp. (c) | 267,362 | 11,890,951 | |
TMX Group Ltd. | 154,272 | 10,343,908 | |
UBS Group AG | 3,294,498 | 51,444,134 | |
183,179,046 | |||
Consumer Finance - 0.1% | |||
AEON Financial Service Co. Ltd. | 612,300 | 12,536,968 | |
Afterpay Touch Group Ltd. (a) | 20,477 | 266,890 | |
Hitachi Capital Corp. | 16,100 | 447,745 | |
13,251,603 | |||
Diversified Financial Services - 0.4% | |||
Cerved Information Solutions SpA | 285,562 | 2,976,566 | |
Challenger Ltd. | 293,700 | 2,286,656 | |
EXOR NV | 48,400 | 3,144,973 | |
First Pacific Co. Ltd. | 4,012,000 | 1,826,244 | |
Groupe Bruxelles Lambert SA | 78,700 | 8,258,133 | |
Industrivarden AB: | |||
(A Shares) | 18,212 | 399,881 | |
(C Shares) | 38,358 | 819,367 | |
Investor AB: | |||
(A Shares) | 28,185 | 1,272,850 | |
(B Shares) | 131,000 | 5,911,735 | |
KBC Ancora | 15,228 | 769,255 | |
Kinnevik AB (B Shares) | 46,916 | 1,541,097 | |
Nishi-Nippon Financial Holdings, Inc. | 43,500 | 505,432 | |
ORIX Corp. | 1,009,700 | 16,239,167 | |
RMB Holdings Ltd. | 496,147 | 2,846,219 | |
Standard Life PLC | 1,706,100 | 7,009,427 | |
Zenkoku Hosho Co. Ltd. | 46,700 | 1,891,369 | |
57,698,371 | |||
Insurance - 2.1% | |||
AEGON NV | 427,661 | 2,564,441 | |
AEGON NV: | |||
rights (a)(c)(d) | 427,661 | 69,497 | |
(NY Reg.) (c) | 564,658 | 3,359,715 | |
AIA Group Ltd. | 4,834,600 | 41,701,216 | |
Allianz SE | 76,684 | 16,344,569 | |
Aon PLC | 102,513 | 14,921,792 | |
Assicurazioni Generali SpA | 189,012 | 3,147,231 | |
Aviva PLC | 6,305,427 | 39,670,050 | |
AXA SA | 343,057 | 8,645,308 | |
Beazley PLC | 350,913 | 2,704,625 | |
Dai-ichi Mutual Life Insurance Co. | 229,600 | 4,374,613 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 24,435 | 13,415,096 | |
Hiscox Ltd. | 1,340,064 | 29,273,943 | |
Insurance Australia Group Ltd. | 222,082 | 1,232,535 | |
Jardine Lloyd Thompson Group PLC | 376,006 | 7,039,110 | |
Manulife Financial Corp. | 748,600 | 13,698,520 | |
MS&AD Insurance Group Holdings, Inc. | 558,300 | 17,159,522 | |
NKSJ Holdings, Inc. | 618,700 | 26,416,279 | |
NN Group NV | 157,376 | 6,746,158 | |
NN Group NV rights (a)(c)(d) | 157,376 | 120,565 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 995,000 | 9,583,946 | |
Prudential PLC | 1,598,559 | 35,943,127 | |
Societa Cattolica Di Assicurazioni SCRL | 75,279 | 610,787 | |
Sony Financial Holdings, Inc. | 58,400 | 1,164,216 | |
Suncorp Group Ltd. | 244,706 | 2,724,988 | |
Swiss Re Ltd. | 78,636 | 7,071,358 | |
Talanx AG | 124,200 | 4,688,251 | |
Tokio Marine Holdings, Inc. | 190,700 | 8,988,353 | |
Unipol Gruppo SpA | 156,166 | 644,414 | |
Unipolsai SpA | 592,740 | 1,324,444 | |
Vienna Insurance Group AG | 6,717 | 183,068 | |
Zurich Insurance Group AG | 61,341 | 18,682,345 | |
344,214,082 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Genworth Mortgage Insurance Ltd. | 216,545 | 410,980 | |
TOTAL FINANCIALS | 1,107,943,245 | ||
HEALTH CARE - 5.0% | |||
Biotechnology - 0.2% | |||
3SBio, Inc. (b) | 863,500 | 1,648,062 | |
Abcam PLC | 99,970 | 1,964,829 | |
CSL Ltd. | 155,331 | 25,383,129 | |
Grifols SA ADR | 26,171 | 569,219 | |
HUGEL, Inc. (a) | 2,705 | 1,039,452 | |
Swedish Orphan Biovitrum AB (a) | 122,547 | 3,904,823 | |
Wuxi Biologics (Cayman), Inc. (a) | 246,500 | 2,433,986 | |
36,943,500 | |||
Health Care Equipment & Supplies - 1.2% | |||
Ambu A/S Series B | 43,644 | 1,635,070 | |
Ansell Ltd. | 51,143 | 922,844 | |
ASAHI INTECC Co. Ltd. | 99,600 | 3,796,292 | |
Carl Zeiss Meditec AG | 52,550 | 4,654,103 | |
Cochlear Ltd. | 6,869 | 1,065,697 | |
Coloplast A/S Series B | 83,609 | 8,949,087 | |
Dentsply Sirona, Inc. | 187,437 | 7,482,485 | |
DiaSorin S.p.A. | 18,796 | 2,046,477 | |
Elekta AB (B Shares) | 56,124 | 733,681 | |
Essilor International SA | 122,407 | 17,661,032 | |
Hoya Corp. | 127,700 | 7,467,077 | |
Koninklijke Philips Electronics NV | 1,012,125 | 45,223,927 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 79,280 | 3,538,266 | |
Mani, Inc. | 16,100 | 703,497 | |
Nihon Kohden Corp. | 466,300 | 13,639,411 | |
Olympus Corp. | 22,400 | 912,249 | |
Smith & Nephew PLC | 233,472 | 4,120,301 | |
Smith & Nephew PLC sponsored ADR | 64,234 | 2,301,504 | |
Sonova Holding AG Class B | 13,079 | 2,481,535 | |
Straumann Holding AG | 12,998 | 10,359,510 | |
Sysmex Corp. | 1,500 | 130,141 | |
Terumo Corp. | 796,800 | 43,959,896 | |
Ypsomed Holding AG (c) | 3,149 | 480,838 | |
184,264,920 | |||
Health Care Providers & Services - 0.1% | |||
Fresenius Medical Care AG & Co. KGaA | 22,392 | 2,266,311 | |
NMC Health PLC | 38,442 | 1,955,648 | |
Orpea | 25,483 | 3,445,999 | |
Sonic Healthcare Ltd. | 543,052 | 10,224,578 | |
Suzuken Co. Ltd. | 7,100 | 322,698 | |
18,215,234 | |||
Life Sciences Tools & Services - 0.2% | |||
Eurofins Scientific SA | 11,165 | 6,303,634 | |
ICON PLC (a) | 40,892 | 6,093,726 | |
Lonza Group AG | 49,305 | 15,866,112 | |
QIAGEN NV (a) | 150,473 | 5,863,933 | |
QIAGEN NV (Germany) (a) | 32,591 | 1,261,631 | |
35,389,036 | |||
Pharmaceuticals - 3.3% | |||
Allergan PLC | 70,500 | 13,515,555 | |
Astellas Pharma, Inc. | 1,069,200 | 18,126,805 | |
AstraZeneca PLC: | |||
(United Kingdom) | 605,477 | 45,697,658 | |
sponsored ADR | 123,209 | 4,723,833 | |
Bayer AG | 513,388 | 47,911,623 | |
CSPC Pharmaceutical Group Ltd. | 1,700,000 | 4,288,581 | |
Daiichi Sankyo Kabushiki Kaisha | 75,800 | 2,959,413 | |
Dechra Pharmaceuticals PLC | 85,287 | 3,449,794 | |
Eisai Co. Ltd. | 22,600 | 2,046,224 | |
GlaxoSmithKline PLC | 901,741 | 18,262,858 | |
GlaxoSmithKline PLC sponsored ADR | 130,800 | 5,297,400 | |
Ipsen SA | 21,868 | 3,887,450 | |
Merck KGaA | 100,300 | 10,533,973 | |
Mitsubishi Tanabe Pharma Corp. | 17,900 | 298,521 | |
Novartis AG | 797,582 | 66,169,146 | |
Novartis AG sponsored ADR | 120,921 | 10,037,652 | |
Novo Nordisk A/S: | |||
Series B | 815,971 | 40,167,136 | |
Series B sponsored ADR | 94,408 | 4,642,041 | |
Ono Pharmaceutical Co. Ltd. | 105,900 | 2,783,080 | |
Otsuka Holdings Co. Ltd. | 47,800 | 2,241,795 | |
Recordati SpA | 92,499 | 3,239,299 | |
Roche Holding AG: | |||
(participation certificate) | 393,053 | 97,458,933 | |
sponsored ADR | 168,921 | 5,229,794 | |
Rohto Pharmaceutical Co. Ltd. | 461,500 | 14,745,072 | |
Sanofi SA | 251,282 | 21,578,432 | |
Santen Pharmaceutical Co. Ltd. | 2,187,800 | 33,709,960 | |
Shionogi & Co. Ltd. | 87,800 | 5,101,582 | |
Takeda Pharmaceutical Co. Ltd. | 1,124,500 | 46,848,021 | |
Towa Pharmaceutical Co. Ltd. | 9,600 | 668,743 | |
UCB SA | 39,660 | 3,625,744 | |
539,246,118 | |||
TOTAL HEALTH CARE | 814,058,808 | ||
INDUSTRIALS - 7.2% | |||
Aerospace & Defense - 0.6% | |||
Airbus Group NV | 153,300 | 18,923,466 | |
BAE Systems PLC | 863,078 | 6,791,545 | |
Cobham PLC (a) | 12,165,280 | 19,619,967 | |
Leonardo SpA | 159,766 | 1,789,577 | |
Meggitt PLC | 228,972 | 1,597,651 | |
MTU Aero Engines Holdings AG | 51,333 | 11,255,565 | |
QinetiQ Group PLC | 234,119 | 822,549 | |
Rolls-Royce Holdings PLC | 1,775,420 | 23,132,520 | |
Safran SA | 42,888 | 5,590,546 | |
Senior Engineering Group PLC | 325,958 | 1,344,676 | |
Thales SA | 78,616 | 11,073,615 | |
101,941,677 | |||
Air Freight & Logistics - 0.1% | |||
Deutsche Post AG | 337,716 | 12,281,816 | |
Yamato Holdings Co. Ltd. | 314,500 | 9,352,066 | |
21,633,882 | |||
Airlines - 0.4% | |||
Deutsche Lufthansa AG | 88,456 | 2,309,168 | |
InterGlobe Aviation Ltd. (b) | 72,666 | 950,578 | |
International Consolidated Airlines Group SA CDI | 166,956 | 1,495,237 | |
Japan Airlines Co. Ltd. | 1,099,400 | 39,628,269 | |
Qantas Airways Ltd. | 2,211,409 | 10,222,298 | |
Ryanair Holdings PLC sponsored ADR (a) | 122,588 | 12,488,040 | |
67,093,590 | |||
Building Products - 0.4% | |||
Agc, Inc. | 28,600 | 1,145,441 | |
Belimo Holding AG (Reg.) | 230 | 1,171,060 | |
Compagnie de St. Gobain | 63,422 | 2,734,684 | |
Daikin Industries Ltd. | 277,500 | 35,358,662 | |
Geberit AG (Reg.) | 12,221 | 5,557,923 | |
Kingspan Group PLC (Ireland) | 92,643 | 4,501,430 | |
Nichias Corp. | 125,000 | 1,625,641 | |
Toto Ltd. | 313,100 | 13,244,262 | |
65,339,103 | |||
Commercial Services & Supplies - 0.4% | |||
Brambles Ltd. | 3,516,768 | 27,734,404 | |
Edenred SA | 31,180 | 1,188,189 | |
Pilot Corp. | 4,600 | 262,065 | |
Rentokil Initial PLC | 2,119,072 | 8,928,630 | |
Ritchie Brothers Auctioneers, Inc. (c) | 182,049 | 6,940,182 | |
Secom Co. Ltd. | 238,000 | 19,588,786 | |
Sohgo Security Services Co., Ltd. | 127,500 | 5,611,331 | |
70,253,587 | |||
Construction & Engineering - 0.2% | |||
ACS Actividades de Construccion y Servicios SA | 101,364 | 4,221,578 | |
Balfour Beatty PLC | 4,422,824 | 16,611,312 | |
Taisei Corp. | 79,100 | 3,538,178 | |
VINCI SA | 130,569 | 12,476,469 | |
36,847,537 | |||
Electrical Equipment - 1.2% | |||
ABB Ltd. (Reg.) | 2,424,242 | 57,094,913 | |
Legrand SA | 519,119 | 39,106,623 | |
Melrose Industries PLC | 4,657,490 | 13,459,154 | |
Nidec Corp. | 22,800 | 3,304,779 | |
Prysmian SpA | 231,524 | 5,971,436 | |
Schneider Electric SA | 770,194 | 62,589,755 | |
Siemens Gamesa Renewable Energy SA (a)(c) | 526,800 | 7,860,615 | |
189,387,275 | |||
Industrial Conglomerates - 0.4% | |||
Bidvest Group Ltd. | 79,266 | 1,165,121 | |
CK Hutchison Holdings Ltd. | 1,148,500 | 13,235,461 | |
DCC PLC (United Kingdom) | 86,700 | 7,817,574 | |
Nolato AB Series B | 20,057 | 1,416,797 | |
Siemens AG | 173,709 | 22,548,109 | |
Toshiba Corp. (a) | 4,551,900 | 13,601,213 | |
59,784,275 | |||
Machinery - 1.4% | |||
Alfa Laval AB | 228,926 | 6,135,467 | |
Atlas Copco AB (A Shares) | 300,909 | 8,577,987 | |
Epiroc AB Class A (a) | 484,580 | 5,033,827 | |
Fanuc Corp. | 75,200 | 14,745,572 | |
GEA Group AG | 671,637 | 25,516,395 | |
Hino Motors Ltd. | 105,300 | 1,108,820 | |
HIWIN Technologies Corp. | 159,650 | 1,442,087 | |
HIWIN Technologies Corp. rights 8/31/18 (a) | 5,311 | 4,676 | |
Hoshizaki Corp. | 101,800 | 9,656,845 | |
IHI Corp. | 24,100 | 841,580 | |
IMI PLC | 1,314,027 | 20,579,129 | |
Interpump Group SpA | 56,131 | 1,766,978 | |
KION Group AG | 29,383 | 2,006,134 | |
Komatsu Ltd. | 80,500 | 2,282,392 | |
Kubota Corp. | 982,000 | 15,347,340 | |
Misumi Group, Inc. | 477,500 | 12,308,163 | |
Mitsubishi Heavy Industries Ltd. | 92,140 | 3,421,561 | |
Nordson Corp. | 110,531 | 15,366,020 | |
NORMA Group AG | 20,753 | 1,375,484 | |
Rotork PLC | 697,319 | 3,055,653 | |
Schindler Holding AG (participation certificate) | 82,665 | 19,718,492 | |
SMC Corp. | 29,800 | 9,915,453 | |
Spirax-Sarco Engineering PLC | 324,369 | 29,983,660 | |
The Weir Group PLC | 127,021 | 3,086,859 | |
Wartsila Corp. | 217,394 | 4,590,066 | |
WashTec AG | 8,874 | 861,121 | |
218,727,761 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S Series B | 7,350 | 11,390,968 | |
Professional Services - 0.9% | |||
51job, Inc. sponsored ADR (a) | 22,292 | 1,723,395 | |
Adecco SA (Reg.) | 23,962 | 1,468,005 | |
Experian PLC | 1,164,606 | 28,989,186 | |
Hays PLC | 909,584 | 2,398,554 | |
Intertek Group PLC | 312,193 | 20,779,486 | |
Nihon M&A Center, Inc. | 102,200 | 2,675,725 | |
Pagegroup PLC | 106,083 | 838,253 | |
Randstad NV | 18,313 | 1,147,018 | |
Recruit Holdings Co. Ltd. | 57,600 | 1,755,838 | |
RELX NV | 1,473,894 | 32,685,010 | |
RELX NV ADR | 10,000 | 222,400 | |
RELX PLC | 98,136 | 2,175,606 | |
SEEK Ltd. | 61,521 | 990,695 | |
SGS SA (Reg.) | 9,837 | 25,910,612 | |
SR Teleperformance SA | 25,197 | 4,840,448 | |
TechnoPro Holdings, Inc. | 70,500 | 4,397,129 | |
Wolters Kluwer NV | 298,641 | 18,926,956 | |
151,924,316 | |||
Road & Rail - 0.7% | |||
Canadian National Railway Co. | 88,751 | 7,893,058 | |
Canadian Pacific Railway Ltd. | 117,368 | 24,686,852 | |
Central Japan Railway Co. | 30,600 | 6,145,612 | |
DSV de Sammensluttede Vognmaend A/S | 162,166 | 15,195,961 | |
East Japan Railway Co. | 426,000 | 38,551,256 | |
Globaltrans Investment PLC GDR (Reg. S) | 103,809 | 1,141,899 | |
Hankyu Hanshin Holdings, Inc. | 8,300 | 296,188 | |
Keio Corp. | 26,200 | 1,299,271 | |
Keisei Electric Railway Co. | 61,300 | 2,057,862 | |
Sankyu, Inc. | 37,680 | 2,000,828 | |
Tobu Railway Co. Ltd. | 18,900 | 527,315 | |
Tokyu Corp. | 178,000 | 2,934,893 | |
West Japan Railway Co. | 45,900 | 3,080,104 | |
105,811,099 | |||
Trading Companies & Distributors - 0.3% | |||
AerCap Holdings NV (a) | 30,430 | 1,733,597 | |
Ashtead Group PLC | 414,129 | 12,681,520 | |
Brenntag AG | 187,410 | 11,298,828 | |
Bunzl PLC | 122,266 | 3,801,112 | |
Finning International, Inc. | 59,748 | 1,388,626 | |
Marubeni Corp. | 110,600 | 907,416 | |
Mitsubishi Corp. | 217,700 | 6,213,002 | |
Mitsui & Co. Ltd. | 238,400 | 3,974,764 | |
MonotaRO Co. Ltd. | 26,000 | 1,476,555 | |
Rexel SA | 206,600 | 3,249,438 | |
Sumitomo Corp. | 100,600 | 1,632,905 | |
Toyota Tsusho Corp. | 49,800 | 1,698,695 | |
50,056,458 | |||
Transportation Infrastructure - 0.1% | |||
Aena Sme SA | 39,431 | 6,979,854 | |
Aeroports de Paris | 8,091 | 1,777,835 | |
China Merchants Holdings International Co. Ltd. | 3,778,582 | 7,712,423 | |
Malaysia Airports Holdings Bhd | 2,367,500 | 5,386,574 | |
21,856,686 | |||
TOTAL INDUSTRIALS | 1,172,048,214 | ||
INFORMATION TECHNOLOGY - 6.3% | |||
Communications Equipment - 0.1% | |||
Nokia Corp. | 543,319 | 3,032,437 | |
Telefonaktiebolaget LM Ericsson: | |||
(B Shares) | 957,536 | 8,079,503 | |
(B Shares) sponsored ADR | 291,602 | 2,452,373 | |
13,564,313 | |||
Electronic Equipment & Components - 1.0% | |||
China High Precision Automation Group Ltd. (a)(e) | 1,073,000 | 1 | |
Electrocomponents PLC | 220,656 | 2,122,063 | |
Flextronics International Ltd. (a) | 450,600 | 6,213,774 | |
Halma PLC | 1,154,871 | 21,440,370 | |
Hamamatsu Photonics K.K. | 2,200 | 88,507 | |
Hexagon AB (B Shares) | 252,361 | 14,989,639 | |
Hirose Electric Co. Ltd. | 117,290 | 13,955,304 | |
Hitachi Ltd. | 3,704,900 | 24,191,386 | |
Horiba Ltd. | 7,100 | 439,636 | |
Keyence Corp. | 34,500 | 19,527,540 | |
Kyocera Corp. | 47,400 | 2,990,496 | |
Lotes Co. Ltd. | 118,000 | 904,259 | |
OMRON Corp. | 328,900 | 14,726,645 | |
Renishaw PLC | 54,870 | 3,884,037 | |
Samsung SDI Co. Ltd. | 19,474 | 4,120,521 | |
Shimadzu Corp. | 254,500 | 7,547,273 | |
Spectris PLC | 356,725 | 10,886,688 | |
Topcon Corp. | 124,600 | 2,175,538 | |
Yokogawa Electric Corp. | 398,100 | 8,165,511 | |
158,369,188 | |||
Internet Software & Services - 0.7% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 111,047 | 19,434,335 | |
Baidu.com, Inc. sponsored ADR (a) | 171,293 | 38,794,439 | |
Baozun, Inc. sponsored ADR (a)(c) | 37,100 | 1,980,769 | |
Carsales.com Ltd. | 43,424 | 483,871 | |
Just Eat Holding Ltd. (a) | 714,623 | 7,102,342 | |
Kakaku.com, Inc. | 42,500 | 785,663 | |
NAVER Corp. | 12,664 | 8,538,345 | |
realestate.com.au Ltd. | 13,657 | 894,716 | |
Rightmove PLC | 267,720 | 1,707,835 | |
Scout24 AG (b) | 88,811 | 4,593,573 | |
Shopify, Inc. Class A (a)(c) | 53,102 | 7,725,629 | |
Tencent Holdings Ltd. | 329,800 | 14,177,169 | |
Weibo Corp. sponsored ADR (a)(c) | 35,815 | 2,748,443 | |
Wix.com Ltd. (a) | 28,240 | 3,137,464 | |
Yandex NV Series A (a) | 63,595 | 2,043,307 | |
114,147,900 | |||
IT Services - 1.3% | |||
Amadeus IT Holding SA Class A | 901,398 | 83,620,115 | |
Bechtle AG | 7,258 | 755,276 | |
Capgemini SA | 80,307 | 10,323,711 | |
Cognizant Technology Solutions Corp. Class A | 215,078 | 16,868,568 | |
Computershare Ltd. | 116,459 | 1,609,144 | |
EPAM Systems, Inc. (a) | 82,043 | 11,726,406 | |
Fujitsu Ltd. | 340,000 | 2,488,111 | |
Hexaware Technologies Ltd. | 226,215 | 1,397,974 | |
IT Holdings Corp. | 75,600 | 3,646,980 | |
MasterCard, Inc. Class A | 41,295 | 8,901,550 | |
Nomura Research Institute Ltd. | 648,500 | 32,276,168 | |
NS Solutions Corp. | 13,900 | 449,739 | |
NTT Data Corp. | 174,200 | 2,238,841 | |
OBIC Co. Ltd. | 183,100 | 17,204,248 | |
Wirecard AG | 79,116 | 17,567,825 | |
211,074,656 | |||
Semiconductors & Semiconductor Equipment - 1.2% | |||
Analog Devices, Inc. | 224,734 | 22,214,956 | |
ASML Holding NV (Netherlands) | 73,243 | 14,976,377 | |
Infineon Technologies AG | 1,327,893 | 33,767,136 | |
Mellanox Technologies Ltd. (a) | 71,144 | 5,919,181 | |
NVIDIA Corp. | 24,307 | 6,822,489 | |
NXP Semiconductors NV (a) | 12,000 | 1,117,680 | |
Screen Holdings Co. Ltd. | 11,300 | 855,306 | |
Shinko Electric Industries Co. Ltd. | 36,000 | 339,231 | |
Silicon Motion Technology Corp. sponsored ADR | 79,300 | 4,670,770 | |
Siltronic AG | 12,585 | 1,823,083 | |
STMicroelectronics NV (NY Shares) unit (c) | 120,800 | 2,499,352 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1,892,684 | 82,521,022 | |
Texas Instruments, Inc. | 163,191 | 18,342,668 | |
Tokyo Electron Ltd. | 12,200 | 2,077,048 | |
197,946,299 | |||
Software - 1.5% | |||
Altium Ltd. | 11,031 | 222,283 | |
ANSYS, Inc. (a) | 133,071 | 24,748,545 | |
Aveva Group PLC | 78,840 | 2,902,824 | |
Broadleaf Co. Ltd. | 50,000 | 326,253 | |
Cadence Design Systems, Inc. (a) | 819,599 | 38,553,937 | |
Check Point Software Technologies Ltd. (a) | 197,240 | 22,917,316 | |
Dassault Systemes SA | 265,921 | 43,090,025 | |
Descartes Systems Group, Inc. (Canada) (a) | 53,693 | 1,874,523 | |
Micro Focus International PLC | 899,789 | 15,275,599 | |
NICE Systems Ltd. (a) | 1,881 | 216,641 | |
NICE Systems Ltd. sponsored ADR (a) | 16,994 | 1,964,336 | |
Nintendo Co. Ltd. | 23,300 | 8,386,840 | |
Oracle Corp. Japan | 2,500 | 209,927 | |
Sage Group PLC | 126,839 | 979,078 | |
SAP SE | 586,972 | 70,464,740 | |
Square Enix Holdings Co. Ltd. | 158,300 | 7,223,301 | |
Temenos Group AG | 8,935 | 1,613,232 | |
Trend Micro, Inc. | 28,800 | 1,814,418 | |
Ubisoft Entertainment SA (a) | 87,083 | 9,366,220 | |
WiseTech Global Ltd. | 24,193 | 371,501 | |
252,521,539 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Brother Industries Ltd. | 101,200 | 2,078,466 | |
Canon, Inc. | 124,700 | 4,001,202 | |
Fujifilm Holdings Corp. | 142,300 | 6,018,069 | |
Konica Minolta, Inc. | 313,300 | 3,189,113 | |
Logitech International SA (Reg.) | 161,575 | 7,974,979 | |
NEC Corp. | 85,400 | 2,359,626 | |
Ricoh Co. Ltd. | 147,400 | 1,545,504 | |
Samsung Electronics Co. Ltd. | 1,212,104 | 52,652,452 | |
79,819,411 | |||
TOTAL INFORMATION TECHNOLOGY | 1,027,443,306 | ||
MATERIALS - 3.4% | |||
Chemicals - 2.7% | |||
Akzo Nobel NV | 657,741 | 61,474,835 | |
Arkema SA | 150,587 | 18,860,258 | |
Asahi Kasei Corp. | 238,700 | 3,501,764 | |
BASF AG | 503,268 | 46,504,751 | |
Covestro AG (b) | 57,707 | 4,915,242 | |
Croda International PLC | 396,846 | 26,239,041 | |
Denki Kagaku Kogyo KK | 176,360 | 6,039,509 | |
Evonik Industries AG | 94,220 | 3,511,738 | |
Frutarom Industries Ltd. | 4,507 | 460,077 | |
Givaudan SA | 27,649 | 67,264,733 | |
Johnson Matthey PLC | 53,082 | 2,405,883 | |
Kaneka Corp. | 35,000 | 319,728 | |
Kansai Paint Co. Ltd. | 212,900 | 4,209,714 | |
Koninklijke DSM NV (c) | 29,268 | 3,070,464 | |
Kuraray Co. Ltd. | 476,900 | 6,918,934 | |
Lanxess AG | 95,700 | 7,518,150 | |
Linde AG | 344,021 | 78,347,050 | |
Mitsubishi Chemical Holdings Corp. | 136,500 | 1,223,598 | |
Mitsubishi Gas Chemical Co., Inc. | 12,000 | 249,699 | |
Nissan Chemical Corp. | 24,800 | 1,182,972 | |
Nitto Denko Corp. | 115,300 | 8,953,365 | |
Orica Ltd. | 14,078 | 178,023 | |
Pidilite Industries Ltd. (a) | 103,831 | 1,708,923 | |
Sanyo Chemical Industries Ltd. | 11,400 | 554,046 | |
Shin-Etsu Chemical Co. Ltd. | 57,200 | 5,366,844 | |
Sika AG | 132,075 | 19,581,303 | |
Sumitomo Chemical Co. Ltd. | 236,000 | 1,340,257 | |
Symrise AG | 438,578 | 40,960,530 | |
Synthomer PLC | 215,050 | 1,580,805 | |
Taiyo Nippon Sanso Corp. | 79,700 | 1,173,515 | |
Victrex PLC | 94,304 | 3,873,210 | |
Wacker Chemie AG (c) | 21,176 | 3,054,070 | |
432,543,031 | |||
Construction Materials - 0.1% | |||
Anhui Conch Cement Co. Ltd. (H Shares) | 1,138,000 | 6,930,581 | |
HeidelbergCement Finance AG | 160,500 | 12,776,480 | |
James Hardie Industries PLC CDI | 49,647 | 755,583 | |
20,462,644 | |||
Containers & Packaging - 0.1% | |||
Smurfit Kappa Group PLC | 443,630 | 18,115,713 | |
Toyo Seikan Group Holdings Ltd. | 32,400 | 613,533 | |
18,729,246 | |||
Metals & Mining - 0.4% | |||
ArcelorMittal SA (Netherlands) | 381,400 | 11,483,899 | |
BHP Billiton Ltd. | 123,766 | 2,973,154 | |
BHP Billiton Ltd. sponsored ADR (c) | 88,699 | 4,261,100 | |
BHP Billiton PLC | 502,332 | 10,747,173 | |
BHP Billiton PLC ADR (c) | 212,653 | 9,105,801 | |
BlueScope Steel Ltd. | 41,777 | 519,880 | |
Boliden AB | 186,623 | 4,885,381 | |
Glencore Xstrata PLC | 862,000 | 3,504,046 | |
JFE Holdings, Inc. | 77,700 | 1,700,365 | |
Rio Tinto PLC | 369,404 | 17,543,885 | |
South32 Ltd. | 343,989 | 860,582 | |
67,585,266 | |||
Paper & Forest Products - 0.1% | |||
Oji Holdings Corp. | 92,000 | 630,114 | |
Portucel Industrial Empresa Produtora de Celulosa SA | 168,877 | 843,687 | |
Stora Enso Oyj (R Shares) | 46,143 | 858,842 | |
Suzano Papel e Celulose SA | 141,500 | 1,643,555 | |
UPM-Kymmene Corp. | 67,145 | 2,587,560 | |
6,563,758 | |||
TOTAL MATERIALS | 545,883,945 | ||
REAL ESTATE - 1.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
Big Yellow Group PLC | 171,047 | 2,088,922 | |
British Land Co. PLC | 1,008,000 | 8,306,158 | |
Link (REIT) | 433,500 | 4,319,121 | |
Scentre Group unit | 516,239 | 1,525,321 | |
Segro PLC | 622,133 | 5,308,806 | |
21,548,328 | |||
Real Estate Management & Development - 1.0% | |||
Cheung Kong Property Holdings Ltd. | 1,207,600 | 8,608,405 | |
Deutsche Wohnen AG (Bearer) | 724,980 | 36,639,804 | |
Fabege AB | 147,270 | 1,967,540 | |
Grand City Properties SA | 603,920 | 16,473,503 | |
Hongkong Land Holdings Ltd. | 131,200 | 907,904 | |
Hysan Development Co. Ltd. | 56,000 | 287,179 | |
LEG Immobilien AG | 256,417 | 31,296,429 | |
Lendlease Group unit | 49,865 | 734,524 | |
Nexity | 32,218 | 1,965,215 | |
Savills PLC | 185,454 | 1,923,455 | |
TAG Immobilien AG | 369,404 | 9,090,257 | |
Vonovia SE | 886,957 | 45,495,167 | |
155,389,382 | |||
TOTAL REAL ESTATE | 176,937,710 | ||
TELECOMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 0.2% | |||
Com Hem Holding AB | 308,157 | 5,199,327 | |
Hellenic Telecommunications Organization SA | 486,232 | 6,202,688 | |
Inmarsat PLC | 1,129,600 | 7,972,574 | |
Nippon Telegraph & Telephone Corp. | 256,700 | 11,420,838 | |
Nippon Telegraph & Telephone Corp. sponsored ADR | 24,984 | 1,109,539 | |
Telefonica SA | 386,136 | 3,124,101 | |
Telefonica SA sponsored ADR (c) | 26,600 | 215,726 | |
35,244,793 | |||
Wireless Telecommunication Services - 1.5% | |||
Advanced Info Service PCL (For. Reg.) | 894,300 | 5,519,358 | |
China Mobile Ltd. | 5,852,417 | 55,028,938 | |
KDDI Corp. | 3,080,200 | 81,439,992 | |
NTT DOCOMO, Inc. | 48,500 | 1,256,912 | |
Rogers Communications, Inc. Class B (non-vtg.) | 167,300 | 8,668,832 | |
SK Telecom Co. Ltd. | 158,676 | 37,286,789 | |
SoftBank Corp. | 269,200 | 24,924,512 | |
Vodafone Group PLC | 14,854,913 | 31,653,443 | |
245,778,776 | |||
TOTAL TELECOMMUNICATION SERVICES | 281,023,569 | ||
UTILITIES - 1.0% | |||
Electric Utilities - 0.5% | |||
Chubu Electric Power Co., Inc. | 127,700 | 1,856,713 | |
CLP Holdings Ltd. | 747,000 | 8,779,838 | |
DONG Energy A/S (b) | 106,369 | 6,724,458 | |
Endesa SA | 136,766 | 3,062,309 | |
Enel SpA | 2,059,184 | 10,180,482 | |
Iberdrola SA | 1,797,707 | 13,400,713 | |
Kansai Electric Power Co., Inc. | 104,500 | 1,497,761 | |
Red Electrica Corporacion SA | 157,754 | 3,306,766 | |
Scottish & Southern Energy PLC | 1,843,187 | 29,953,411 | |
Tokyo Electric Power Co., Inc. (a) | 414,800 | 1,918,884 | |
80,681,335 | |||
Gas Utilities - 0.1% | |||
APA Group unit | 934,150 | 6,715,604 | |
China Resource Gas Group Ltd. | 1,512,000 | 6,886,957 | |
Gas Natural SDG SA (c) | 105,466 | 2,831,567 | |
Rubis | 33,136 | 1,961,593 | |
Tokyo Gas Co. Ltd. | 64,500 | 1,528,472 | |
19,924,193 | |||
Multi-Utilities - 0.4% | |||
AGL Energy Ltd. | 53,067 | 792,754 | |
E.ON AG | 985,639 | 10,522,307 | |
ENGIE | 1,873,985 | 27,473,131 | |
National Grid PLC | 900,500 | 9,456,371 | |
Veolia Environnement SA | 591,000 | 12,457,819 | |
60,702,382 | |||
Water Utilities - 0.0% | |||
Guangdong Investment Ltd. | 5,274,400 | 9,354,311 | |
TOTAL UTILITIES | 170,662,221 | ||
TOTAL COMMON STOCKS | |||
(Cost $5,558,434,513) | 7,072,015,541 | ||
Nonconvertible Preferred Stocks - 0.8% | |||
CONSUMER DISCRETIONARY - 0.4% | |||
Automobiles - 0.4% | |||
Volkswagen AG | 333,042 | 54,445,716 | |
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 1,164,908 | 5,416,822 | |
Household Products - 0.3% | |||
Henkel AG & Co. KGaA | 381,834 | 48,731,359 | |
TOTAL CONSUMER STAPLES | 54,148,181 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) sponsored ADR (non-vtg.) | 34,515 | 327,547 | |
sponsored ADR | 334,366 | 3,634,558 | |
3,962,105 | |||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.1% | |||
Embraer SA sponsored ADR | 478,900 | 9,190,091 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Fuchs Petrolub AG | 81,155 | 4,752,424 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $107,749,253) | 126,498,517 | ||
Equity Funds - 50.6% | |||
Diversified Emerging Markets Funds - 0.0% | |||
Matthews Pacific Tiger Fund Investor Class | 19,065 | 570,617 | |
Europe Stock Funds - 0.7% | |||
WisdomTree Europe Hedged Equity ETF (c) | 1,915,480 | 122,245,934 | |
Foreign Large Blend Funds - 18.5% | |||
Artisan International Value Fund Investor Class | 17,727,220 | 655,729,853 | |
Dodge & Cox International Stock Fund | 65 | 2,820 | |
Harbor International Fund Institutional Class | 1,038,481 | 67,231,236 | |
Janus Henderson International Opportunities Fund | 7,339,470 | 213,578,589 | |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 37,858,151 | 664,789,132 | |
Oakmark International Fund Investor Class | 25,214,820 | 651,046,655 | |
T. Rowe Price Overseas Stock Fund I Class | 68,527,324 | 761,338,566 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 3,013,716,851 | ||
Foreign Large Growth Funds - 18.5% | |||
American Funds EuroPacific Growth Fund Class F-1 | 909,058 | 48,261,867 | |
Fidelity Diversified International Fund (f) | 17,927,799 | 707,968,792 | |
Fidelity International Discovery Fund (f) | 26,302,706 | 1,165,735,951 | |
Fidelity Overseas Fund (f) | 9,784,992 | 494,631,362 | |
JOHCM International Select Fund Class II Shares | 16,675,350 | 389,369,414 | |
Oppenheimer International Growth Fund Class I | 4,935,451 | 209,263,105 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 3,015,230,491 | ||
Foreign Large Value Funds - 4.3% | |||
iShares MSCI EAFE Value ETF (c) | 7,773,695 | 395,642,207 | |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 13,859,861 | 304,362,544 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 700,004,751 | ||
Foreign Small Mid Blend Funds - 0.6% | |||
iShares MSCI EAFE Small-Cap ETF | 681,575 | 42,755,200 | |
Victory Trivalent International Small Cap Fund Class Y | 3,342,262 | 48,629,907 | |
TOTAL FOREIGN SMALL MID BLEND FUNDS | 91,385,107 | ||
Foreign Small Mid Growth Funds - 0.6% | |||
Fidelity International Small Cap Opportunities Fund (f) | 2,678,360 | 51,558,430 | |
Oberweis International Opportunities Fund | 573,914 | 14,577,404 | |
T. Rowe Price International Discovery Fund | 482,951 | 34,690,386 | |
Wasatch International Growth Fund Investor Class | 74 | 2,763 | |
TOTAL FOREIGN SMALL MID GROWTH FUNDS | 100,828,983 | ||
Foreign Small Mid Value Funds - 0.5% | |||
Brandes International Small Cap Equity Fund Class A | 701,012 | 8,545,330 | |
Segall Bryant & Hamill International Small Cap Fund Class I | 2,237,222 | 29,039,141 | |
Transamerica International Small Cap Value Fund | 3,524,938 | 48,714,643 | |
TOTAL FOREIGN SMALL MID VALUE FUNDS | 86,299,114 | ||
Sector Funds - 0.1% | |||
SPDR Dow Jones International Real Estate ETF | 305,205 | 11,970,140 | |
Victory Global Natural Resources Fund Class A (a) | 68 | 1,462 | |
TOTAL SECTOR FUNDS | 11,971,602 | ||
Small Growth Funds - 0.1% | |||
Franklin International Small Cap Growth Fund | 525,203 | 10,341,248 | |
Other - 6.7% | |||
Fidelity Advisor Japan Fund Class I (f) | 3,365,731 | 52,303,461 | |
Fidelity Japan Smaller Companies Fund (f) | 6,077,313 | 109,087,777 | |
iShares MSCI Australia ETF (c) | 5,784,157 | 130,085,691 | |
iShares MSCI Japan ETF | 13,732,168 | 799,486,821 | |
Matthews Japan Fund Investor Class | 159 | 3,817 | |
TOTAL OTHER | 1,090,967,567 | ||
TOTAL EQUITY FUNDS | |||
(Cost $6,187,391,615) | 8,243,562,265 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 1.89% to 2.09% 9/6/18 to 11/29/18 (g) | |||
(Cost $28,528,459) | 28,633,000 | 28,532,831 | |
Shares | |||
Money Market Funds - 5.6% | |||
Fidelity Securities Lending Cash Central Fund 1.98% (h)(i) | 156,977,149 | 156,992,847 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (j) | 753,575,582 | 753,575,582 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $910,568,429) | 910,568,429 | ||
TOTAL INVESTMENT IN SECURITIES - 100.6% | |||
(Cost $12,792,672,269) | 16,381,177,583 | ||
NET OTHER ASSETS (LIABILITIES) - (0.6)% | (105,078,462) | ||
NET ASSETS - 100% | $16,276,099,121 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 1,179 | Sept. 2018 | $134,553,375 | $2,706,914 | $2,706,914 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 5,117 | Sept. 2018 | 501,158,980 | (1,470,040) | (1,470,040) |
TOTAL FUTURES CONTRACTS | $1,236,874 |
The notional amount of futures purchased as a percentage of Net Assets is 3.9%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) 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 $22,246,934 or 0.1% of net assets.
(c) Security or a portion of the security is on loan at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Level 3 security
(f) Affiliated Fund
(g) 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 $28,532,831.
(h) 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.
(i) Investment made with cash collateral received from securities on loan.
(j) 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 | $1,752,730 |
Total | $1,752,730 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Japan Fund Class I | $53,683,410 | $-- | $-- | $-- | $-- | $(1,379,949) | $52,303,461 |
Fidelity Diversified International Fund | 734,987,321 | -- | 19,168,103 | -- | 1,880,394 | (9,730,820) | 707,968,792 |
Fidelity International Discovery Fund | 1,226,165,923 | -- | 21,476,288 | -- | 243,644 | (39,197,328) | 1,165,735,951 |
Fidelity International Small Cap Opportunities Fund | 21,702,707 | 31,407,561 | -- | -- | -- | (1,551,838) | 51,558,430 |
Fidelity Japan Smaller Companies Fund | 117,656,789 | -- | -- | -- | -- | (8,569,012) | 109,087,777 |
Fidelity Overseas Fund | 504,168,911 | -- | 8,705,830 | -- | 1,915,409 | (2,747,128) | 494,631,362 |
Fidelity SAI International Index Fund | 100,977,995 | 97,432,620 | 194,261,559 | -- | (3,171,061) | (977,995) | -- |
Total | $2,759,343,056 | $128,840,181 | $243,611,780 | $-- | $868,386 | $(64,154,070) | $2,581,285,773 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $562,056,982 | $419,659,300 | $142,397,682 | $-- |
Consumer Staples | 905,351,148 | 513,687,687 | 391,663,461 | -- |
Energy | 421,162,395 | 216,881,496 | 204,280,899 | -- |
Financials | 1,107,943,245 | 750,247,805 | 357,695,440 | -- |
Health Care | 814,058,808 | 360,227,657 | 453,831,151 | -- |
Industrials | 1,181,238,305 | 889,330,268 | 291,908,037 | -- |
Information Technology | 1,027,443,306 | 853,205,254 | 174,238,051 | 1 |
Materials | 550,636,369 | 472,867,406 | 77,768,963 | -- |
Real Estate | 176,937,710 | 176,937,710 | -- | -- |
Telecommunication Services | 281,023,569 | 89,916,982 | 191,106,587 | -- |
Utilities | 170,662,221 | 116,699,255 | 53,962,966 | -- |
Equity Funds | 8,243,562,265 | 8,243,562,265 | -- | -- |
Other Short-Term Investments and Net Other Assets | 28,532,831 | -- | 28,532,831 | -- |
Money Market Funds | 910,568,429 | 910,568,429 | -- | -- |
Total Investments in Securities: | $16,381,177,583 | $14,013,791,514 | $2,367,386,068 | $1 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $2,706,914 | $2,706,914 | $-- | $-- |
Total Assets | $2,706,914 | $2,706,914 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(1,470,040) | $(1,470,040) | $-- | $-- |
Total Liabilities | $(1,470,040) | $(1,470,040) | $-- | $-- |
Total Derivative Instruments: | $1,236,874 | $1,236,874 | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2018. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements:
Transfers | Total |
Level 1 to Level 2 | $0 |
Level 2 to Level 1 | $3,763,658,419 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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) | $2,706,914 | $(1,470,040) |
Total Equity Risk | 2,706,914 | (1,470,040) |
Total Value of Derivatives | $2,706,914 | $(1,470,040) |
(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
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $151,098,113) — See accompanying schedule: Unaffiliated issuers (cost $10,873,518,569) | $13,642,898,963 | |
Fidelity Central Funds (cost $156,992,847) | 156,992,847 | |
Other affiliated issuers (cost $1,762,160,853) | 2,581,285,773 | |
Total Investment in Securities (cost $12,792,672,269) | $16,381,177,583 | |
Cash | 1,406,453 | |
Foreign currency held at value (cost $9,542,633) | 9,539,841 | |
Receivable for investments sold | 45,141,161 | |
Receivable for fund shares sold | 5,120,733 | |
Dividends receivable | 29,660,849 | |
Interest receivable | 792,061 | |
Distributions receivable from Fidelity Central Funds | 147,143 | |
Prepaid expenses | 59,039 | |
Other receivables | 799,554 | |
Total assets | 16,473,844,417 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $28,701,040 | |
Delayed delivery | 188,805 | |
Payable for fund shares redeemed | 5,854,342 | |
Accrued management fee | 2,138,675 | |
Payable for daily variation margin on futures contracts | 2,957,689 | |
Other affiliated payables | 168,831 | |
Other payables and accrued expenses | 706,977 | |
Collateral on securities loaned | 157,028,937 | |
Total liabilities | 197,745,296 | |
Net Assets | $16,276,099,121 | |
Net Assets consist of: | ||
Paid in capital | $12,309,701,580 | |
Undistributed net investment income | 139,875,873 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 236,554,664 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 3,589,967,004 | |
Net Assets, for 1,486,043,506 shares outstanding | $16,276,099,121 | |
Net Asset Value, offering price and redemption price per share ($16,276,099,121 ÷ 1,486,043,506 shares) | $10.95 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $166,788,899 | |
Interest | 4,868,069 | |
Income from Fidelity Central Funds | 1,752,730 | |
Income before foreign taxes withheld | 173,409,698 | |
Less foreign taxes withheld | (13,808,150) | |
Total income | 159,601,548 | |
Expenses | ||
Management fee | $33,835,793 | |
Transfer agent fees | 4,076,951 | |
Accounting and security lending fees | 1,046,329 | |
Custodian fees and expenses | 431,437 | |
Independent trustees' fees and expenses | 103,964 | |
Registration fees | 88,489 | |
Audit | 45,934 | |
Legal | 30,846 | |
Miscellaneous | 92,566 | |
Total expenses before reductions | 39,752,309 | |
Expense reductions | (21,025,921) | |
Total expenses after reductions | 18,726,388 | |
Net investment income (loss) | 140,875,160 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $5,729) | 303,902,010 | |
Fidelity Central Funds | (20,094) | |
Other affiliated issuers | 868,386 | |
Foreign currency transactions | (2,024,345) | |
Futures contracts | (14,888,951) | |
Total net realized gain (loss) | 287,837,006 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $574,410) | (687,046,663) | |
Affiliated issuers | (64,154,070) | |
Assets and liabilities in foreign currencies | (417,272) | |
Futures contracts | 10,697,657 | |
Total change in net unrealized appreciation (depreciation) | (740,920,348) | |
Net gain (loss) | (453,083,342) | |
Net increase (decrease) in net assets resulting from operations | $(312,208,182) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $140,875,160 | $286,557,081 |
Net realized gain (loss) | 287,837,006 | 923,776,139 |
Change in net unrealized appreciation (depreciation) | (740,920,348) | 1,981,363,958 |
Net increase (decrease) in net assets resulting from operations | (312,208,182) | 3,191,697,178 |
Distributions to shareholders from net investment income | (20,974,894) | (263,492,159) |
Distributions to shareholders from net realized gain | (382,042,753) | (262,028,313) |
Total distributions | (403,017,647) | (525,520,472) |
Share transactions | ||
Proceeds from sales of shares | 1,434,357,663 | 2,233,592,535 |
Reinvestment of distributions | 401,428,222 | 523,550,552 |
Cost of shares redeemed | (2,101,017,920) | (4,308,136,370) |
Net increase (decrease) in net assets resulting from share transactions | (265,232,035) | (1,550,993,283) |
Total increase (decrease) in net assets | (980,457,864) | 1,115,183,423 |
Net Assets | ||
Beginning of period | 17,256,556,985 | 16,141,373,562 |
End of period | $16,276,099,121 | $17,256,556,985 |
Other Information | ||
Undistributed net investment income end of period | $139,875,873 | $19,975,607 |
Shares | ||
Sold | 128,439,343 | 201,062,318 |
Issued in reinvestment of distributions | 36,394,218 | 45,685,039 |
Redeemed | (188,498,102) | (387,878,965) |
Net increase (decrease) | (23,664,541) | (141,131,608) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.43 | $9.78 | $8.74 | $10.45 | $10.77 | $9.23 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .09 | .19 | .17 | .16 | .17 | .18C |
Net realized and unrealized gain (loss) | (.30) | 1.82 | 1.07 | (1.54) | (.10) | 1.55 |
Total from investment operations | (.21) | 2.01 | 1.24 | (1.38) | .07 | 1.73 |
Distributions from net investment income | (.01) | (.18) | (.18) | (.16) | (.18) | (.13) |
Distributions from net realized gain | (.26) | (.18) | (.02) | (.17) | (.21) | (.06) |
Total distributions | (.27) | (.36) | (.20) | (.33) | (.39) | (.19) |
Net asset value, end of period | $10.95 | $11.43 | $9.78 | $8.74 | $10.45 | $10.77 |
Total ReturnD,E | (1.86)% | 20.53% | 14.33% | (13.60)% | .85% | 18.78% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | .48%H | .50% | .48% | .45% | .41% | .43% |
Expenses net of fee waivers, if any | .23%H | .25% | .23% | .20% | .16% | .17% |
Expenses net of all reductions | .22%H | .24% | .22% | .20% | .16% | .17% |
Net investment income (loss) | 1.69%H | 1.68% | 1.81% | 1.57% | 1.63% | 1.77%C |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $16,276,099 | $17,256,557 | $16,141,374 | $18,533,655 | $24,528,266 | $22,807,024 |
Portfolio turnover rateI | 43%H | 33% | 28% | 28% | 20% | 11% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects a large, non-recurring dividend which amounted to $.02 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.54%.
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 Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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.
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 August 31, 2018
1. Organization.
Strategic Advisers International 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 certain clients of Strategic Advisers LLC. (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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018, including information on transfers between Levels 1 and 2, 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 include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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), certain independent Trustees have elected 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 of $401,973 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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.
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, certain foreign taxes, passive foreign investment companies (PFIC), partnerships, market discount, 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 | $3,828,339,727 |
Gross unrealized depreciation | (267,787,221) |
Net unrealized appreciation (depreciation) | $3,560,552,506 |
Tax cost | $12,821,861,951 |
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. 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.
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 $3,441,271,224 and $4,005,708,484, 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 .41% 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. Arrowstreet Capital, Limited Partnership, Causeway Capital Management, LLC, Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley LLC and William Blair Investment Management, LLP 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), FIL Investment Advisors and Geode Capital Management, LLC, have been retained to serve as a sub-adviser for the Fund. As of the date of this report, 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. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid 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. For the period, the fees were equivalent to an annualized rate of .01%.
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 $2,405 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 $23,808 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 $1,752,730.
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, 2021. During the period, this waiver reduced the Fund's management fee by $20,857,616.
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 $160,760 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 $7,545.
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 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity International Discovery Fund | 11% |
Fidelity Japan Fund | 13% |
Fidelity Japan Smaller Companies Fund | 14% |
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 (March 1, 2018 to August 31, 2018).
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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .23% | $1,000.00 | $981.40 | $1.15-C |
Hypothetical-D | $1,000.00 | $1,024.05 | $1.17-C |
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 184/365 (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 If fees and changes to the Fund's expense contract and/ or expense cap, effective July 1, 2018, had been in effect for the entire current period, the restated annualized expense ratio would have been .18% and the expenses paid in the actual and hypothetical examples above would have been $.90 and $.92, respectively.
D 5% return per year before expenses
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SIT-SANN-1018
1.912867.108
Strategic Advisers® Fidelity® International Fund (formerly Strategic Advisers® International II Fund) Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity International Discovery Fund | 14.8 |
Fidelity Diversified International Fund | 14.0 |
Fidelity Overseas Fund | 13.4 |
Fidelity International Capital Appreciation Fund | 10.2 |
Fidelity SAI International Value Index Fund | 8.4 |
Fidelity SAI International Minimum Volatility Index Fund | 6.6 |
Fidelity International Value Fund | 4.2 |
Fidelity Pacific Basin Fund | 3.0 |
Fidelity Advisor Japan Fund Class I | 2.4 |
Fidelity Advisor Overseas Fund Class I | 1.5 |
78.5 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 12.2% | |
Preferred Stocks | 0.1% | |
Foreign Large Blend Funds | 9.6% | |
Foreign Large Growth Funds | 53.9% | |
Foreign Large Value Funds | 4.2% | |
Foreign Small Mid Growth Funds | 1.3% | |
Other | 11.6% | |
Sector Funds | 1.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 12.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 1.2% | |||
Auto Components - 0.1% | |||
Akasol AG | 16,400 | $980,369 | |
Bridgestone Corp. | 78,200 | 2,880,682 | |
3,861,051 | |||
Automobiles - 0.3% | |||
Honda Motor Co. Ltd. | 202,300 | 5,992,775 | |
Isuzu Motors Ltd. | 179,800 | 2,600,473 | |
Subaru Corp. | 76,500 | 2,272,761 | |
Suzuki Motor Corp. | 55,600 | 3,617,928 | |
14,483,937 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Carnival PLC | 35,787 | 2,152,409 | |
Compass Group PLC | 112,429 | 2,417,406 | |
Melco Crown Entertainment Ltd. sponsored ADR | 126,300 | 3,016,044 | |
7,585,859 | |||
Household Durables - 0.3% | |||
Iida Group Holdings Co. Ltd. | 75,000 | 1,385,114 | |
Panasonic Corp. | 331,300 | 3,946,623 | |
Sony Corp. | 120,000 | 6,823,517 | |
Techtronic Industries Co. Ltd. | 381,500 | 2,333,110 | |
14,488,364 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Start Today Co. Ltd. | 36,800 | 1,268,509 | |
Leisure Products - 0.0% | |||
Bandai Namco Holdings, Inc. | 36,400 | 1,411,970 | |
Media - 0.2% | |||
Informa PLC | 85,571 | 845,795 | |
ProSiebenSat.1 Media AG | 61,235 | 1,609,765 | |
Telenet Group Holding NV | 36,739 | 2,008,570 | |
Vivendi SA | 226,876 | 5,885,790 | |
WPP PLC | 62,479 | 1,036,193 | |
11,386,113 | |||
Multiline Retail - 0.0% | |||
B&M European Value Retail S.A. | 101,564 | 543,150 | |
Specialty Retail - 0.0% | |||
Nitori Holdings Co. Ltd. | 4,700 | 713,608 | |
Textiles, Apparel & Luxury Goods - 0.2% | |||
Kering SA | 8,675 | 4,712,529 | |
Puma AG | 3,395 | 1,860,032 | |
Swatch Group AG (Bearer) | 5,516 | 2,353,797 | |
8,926,358 | |||
TOTAL CONSUMER DISCRETIONARY | 64,668,919 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.1% | |||
Asahi Group Holdings | 27,200 | 1,228,663 | |
Coca-Cola European Partners PLC | 64,200 | 2,737,488 | |
Kirin Holdings Co. Ltd. | 73,800 | 1,824,908 | |
5,791,059 | |||
Food & Staples Retailing - 0.1% | |||
Tesco PLC | 1,152,372 | 3,682,555 | |
Food Products - 0.3% | |||
Danone SA | 65,432 | 5,152,764 | |
Nestle SA (Reg. S) | 116,488 | 9,764,856 | |
14,917,620 | |||
Household Products - 0.0% | |||
Essity AB Class B | 36,561 | 947,492 | |
Personal Products - 0.4% | |||
Kao Corp. | 60,300 | 4,680,834 | |
Kose Corp. | 5,000 | 922,509 | |
Shiseido Co. Ltd. | 38,000 | 2,675,835 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 158,748 | 9,128,229 | |
Unilever PLC | 96,593 | 5,504,330 | |
22,911,737 | |||
Tobacco - 0.2% | |||
British American Tobacco PLC (United Kingdom) | 180,566 | 8,731,682 | |
TOTAL CONSUMER STAPLES | 56,982,145 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.1% | |||
John Wood Group PLC | 98,785 | 920,310 | |
Tenaris SA | 83,867 | 1,407,354 | |
2,327,664 | |||
Oil, Gas & Consumable Fuels - 0.7% | |||
BP PLC | 1,937,484 | 13,797,142 | |
Equinor ASA | 268,476 | 6,886,257 | |
JX Holdings, Inc. | 191,800 | 1,350,592 | |
Lundin Petroleum AB | 184,836 | 6,421,152 | |
Total SA | 165,517 | 10,379,215 | |
38,834,358 | |||
TOTAL ENERGY | 41,162,022 | ||
FINANCIALS - 2.6% | |||
Banks - 1.3% | |||
Banco Santander SA (Spain) | 421,067 | 2,092,377 | |
Bankinter SA | 307,345 | 2,734,137 | |
BOC Hong Kong (Holdings) Ltd. | 855,500 | 4,174,633 | |
CaixaBank SA | 475,971 | 2,121,687 | |
Commerzbank AG (a) | 223,625 | 2,114,220 | |
Danske Bank A/S | 115,360 | 3,394,051 | |
DBS Group Holdings Ltd. | 206,900 | 3,760,996 | |
Erste Group Bank AG | 78,794 | 3,134,339 | |
Hang Seng Bank Ltd. | 67,700 | 1,835,523 | |
Intesa Sanpaolo SpA | 913,603 | 2,255,460 | |
KBC Groep NV | 61,107 | 4,340,913 | |
Lloyds Banking Group PLC | 3,842,668 | 2,960,087 | |
Mitsubishi UFJ Financial Group, Inc. | 1,195,100 | 7,224,003 | |
Nordea Bank AB | 396,118 | 4,279,477 | |
Societe Generale Series A | 126,027 | 5,160,468 | |
Standard Chartered PLC (United Kingdom) | 830,294 | 6,750,322 | |
Swedbank AB (A Shares) | 122,351 | 2,847,006 | |
Unicaja Banco SA (b) | 910,000 | 1,425,981 | |
United Overseas Bank Ltd. | 231,803 | 4,570,026 | |
67,175,706 | |||
Capital Markets - 0.3% | |||
Amundi SA (b) | 18,671 | 1,345,854 | |
Credit Suisse Group AG | 313,243 | 4,690,679 | |
Macquarie Group Ltd. | 79,436 | 7,389,586 | |
St. James's Place Capital PLC | 110,702 | 1,623,924 | |
15,050,043 | |||
Diversified Financial Services - 0.2% | |||
Challenger Ltd. | 295,452 | 2,300,297 | |
ORIX Corp. | 446,100 | 7,174,698 | |
Standard Life PLC | 851,025 | 3,496,394 | |
12,971,389 | |||
Insurance - 0.8% | |||
AIA Group Ltd. | 490,400 | 4,229,983 | |
Allianz SE | 28,494 | 6,073,264 | |
Aviva PLC | 267,480 | 1,682,827 | |
Direct Line Insurance Group PLC | 232,187 | 996,071 | |
Insurance Australia Group Ltd. | 644,597 | 3,577,454 | |
Muenchener Rueckversicherungs AG | 17,936 | 3,868,210 | |
Prudential PLC | 214,278 | 4,817,978 | |
QBE Insurance Group Ltd. | 404,451 | 3,201,266 | |
Sony Financial Holdings, Inc. | 129,900 | 2,589,582 | |
Swiss Re Ltd. | 30,498 | 2,742,539 | |
Tokio Marine Holdings, Inc. | 73,000 | 3,440,743 | |
Zurich Insurance Group AG | 16,608 | 5,058,222 | |
42,278,139 | |||
TOTAL FINANCIALS | 137,475,277 | ||
HEALTH CARE - 1.4% | |||
Biotechnology - 0.1% | |||
CSL Ltd. | 4,808 | 785,690 | |
Grifols SA | 39,179 | 1,151,933 | |
Shire PLC | 74,432 | 4,353,600 | |
6,291,223 | |||
Health Care Equipment & Supplies - 0.2% | |||
Hoya Corp. | 48,400 | 2,830,122 | |
Koninklijke Philips Electronics NV | 103,229 | 4,612,494 | |
Terumo Corp.�� | 42,800 | 2,361,300 | |
9,803,916 | |||
Life Sciences Tools & Services - 0.1% | |||
Lonza Group AG | 11,882 | 3,823,571 | |
Morphosys AG (a) | 17,218 | 2,032,555 | |
Morphosys AG sponsored ADR | 61,700 | 1,824,469 | |
7,680,595 | |||
Pharmaceuticals - 1.0% | |||
AstraZeneca PLC (United Kingdom) | 156,033 | 11,776,405 | |
Chugai Pharmaceutical Co. Ltd. | 28,600 | 1,657,673 | |
Ipsen SA | 19,144 | 3,403,207 | |
Novartis AG | 108,419 | 8,994,677 | |
Novo Nordisk A/S Series B | 18,433 | 907,386 | |
Roche Holding AG (participation certificate) | 50,470 | 12,514,222 | |
Sanofi SA | 71,499 | 6,139,860 | |
Shionogi & Co. Ltd. | 27,400 | 1,592,066 | |
Takeda Pharmaceutical Co. Ltd. | 86,700 | 3,612,026 | |
50,597,522 | |||
TOTAL HEALTH CARE | 74,373,256 | ||
INDUSTRIALS - 1.7% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC | 341,156 | 2,684,550 | |
MTU Aero Engines Holdings AG | 10,801 | 2,368,289 | |
Rolls-Royce Holdings PLC | 239,183 | 3,116,392 | |
8,169,231 | |||
Air Freight & Logistics - 0.0% | |||
Deutsche Post AG | 35,662 | 1,296,930 | |
Building Products - 0.2% | |||
Agc, Inc. | 71,300 | 2,855,594 | |
Compagnie de St. Gobain | 73,045 | 3,149,617 | |
Daikin Industries Ltd. | 22,500 | 2,866,919 | |
8,872,130 | |||
Construction & Engineering - 0.3% | |||
Bouygues SA | 74,486 | 3,288,060 | |
Eiffage SA | 25,427 | 2,861,715 | |
Taisei Corp. | 36,600 | 1,637,134 | |
VINCI SA | 74,788 | 7,146,338 | |
14,933,247 | |||
Electrical Equipment - 0.2% | |||
Melrose Industries PLC | 612,975 | 1,771,367 | |
Nidec Corp. | 22,100 | 3,203,317 | |
Schneider Electric SA | 44,560 | 3,621,165 | |
8,595,849 | |||
Industrial Conglomerates - 0.1% | |||
CK Hutchison Holdings Ltd. | 352,448 | 4,061,656 | |
Toshiba Corp. (a) | 805,000 | 2,405,364 | |
6,467,020 | |||
Machinery - 0.3% | |||
Alfa Laval AB | 122,699 | 3,288,467 | |
CNH Industrial NV | 236,590 | 2,828,605 | |
Fanuc Corp. | 7,200 | 1,411,810 | |
Makita Corp. | 26,400 | 1,197,516 | |
Minebea Mitsumi, Inc. | 133,300 | 2,502,599 | |
Mitsubishi Heavy Industries Ltd. | 44,600 | 1,656,193 | |
SMC Corp. | 6,400 | 2,129,493 | |
Sumitomo Heavy Industries Ltd. | 48,900 | 1,590,977 | |
The Weir Group PLC | 68,376 | 1,661,671 | |
18,267,331 | |||
Marine - 0.0% | |||
A.P. Moller - Maersk A/S Series B | 712 | 1,103,452 | |
Professional Services - 0.1% | |||
Recruit Holdings Co. Ltd. | 87,200 | 2,658,144 | |
SEEK Ltd. | 43,600 | 702,107 | |
3,360,251 | |||
Trading Companies & Distributors - 0.3% | |||
Ashtead Group PLC | 59,569 | 1,824,131 | |
Bunzl PLC | 66,627 | 2,071,358 | |
Ferguson PLC | 27,021 | 2,165,289 | |
Itochu Corp. | 348,600 | 6,097,598 | |
Rexel SA | 124,531 | 1,958,644 | |
14,117,020 | |||
Transportation Infrastructure - 0.0% | |||
Kamigumi Co. Ltd. | 21,700 | 440,601 | |
TOTAL INDUSTRIALS | 85,623,062 | ||
INFORMATION TECHNOLOGY - 1.1% | |||
Communications Equipment - 0.1% | |||
Telefonaktiebolaget LM Ericsson (B Shares) | 322,043 | 2,717,336 | |
Electronic Equipment & Components - 0.3% | |||
Hitachi High-Technologies Corp. | 39,700 | 1,559,630 | |
Hitachi Ltd. | 489,000 | 3,192,957 | |
Keyence Corp. | 7,100 | 4,018,711 | |
Murata Manufacturing Co. Ltd. | 11,500 | 1,985,667 | |
TDK Corp. | 30,800 | 3,462,263 | |
14,219,228 | |||
Internet Software & Services - 0.0% | |||
realestate.com.au Ltd. | 34,619 | 2,268,007 | |
IT Services - 0.3% | |||
Adyen BV (b) | 4,300 | 3,014,700 | |
Amadeus IT Holding SA Class A | 40,666 | 3,772,469 | |
Capgemini SA | 30,971 | 3,981,417 | |
Endava PLC ADR (a) | 35,000 | 917,700 | |
Netcompany Group A/S | 49,925 | 2,021,192 | |
Wirecard AG | 13,780 | 3,059,869 | |
16,767,347 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ASML Holding NV (Netherlands) | 21,135 | 4,321,583 | |
Tokyo Electron Ltd. | 14,500 | 2,468,623 | |
6,790,206 | |||
Software - 0.3% | |||
Micro Focus International PLC | 107,141 | 1,818,919 | |
Nintendo Co. Ltd. | 9,800 | 3,527,512 | |
SAP SE | 78,680 | 9,445,367 | |
Trend Micro, Inc. | 29,100 | 1,833,318 | |
16,625,116 | |||
TOTAL INFORMATION TECHNOLOGY | 59,387,240 | ||
MATERIALS - 1.2% | |||
Chemicals - 0.6% | |||
Air Liquide SA | 14,341 | 1,806,125 | |
BASF AG | 70,919 | 6,553,309 | |
JSR Corp. | 150,100 | 2,913,920 | |
K&S AG | 106,312 | 2,418,055 | |
Linde AG | 21,749 | 4,953,099 | |
Mitsui Chemicals, Inc. | 100,300 | 2,594,386 | |
Shin-Etsu Chemical Co. Ltd. | 19,700 | 1,848,371 | |
Umicore SA | 62,890 | 3,506,899 | |
Yara International ASA | 52,207 | 2,402,998 | |
28,997,162 | |||
Construction Materials - 0.1% | |||
CRH PLC | 101,411 | 3,364,230 | |
James Hardie Industries PLC CDI | 174,522 | 2,656,070 | |
6,020,300 | |||
Metals & Mining - 0.4% | |||
BHP Billiton Ltd. | 245,830 | 5,905,422 | |
BHP Billiton PLC | 277,768 | 5,942,724 | |
Glencore Xstrata PLC | 972,897 | 3,954,845 | |
Randgold Resources Ltd. | 12,363 | 806,823 | |
Rio Tinto PLC | 68,276 | 3,242,592 | |
South32 Ltd. | 431,296 | 1,079,004 | |
20,931,410 | |||
Paper & Forest Products - 0.1% | |||
Stora Enso Oyj (R Shares) | 137,443 | 2,558,175 | |
UPM-Kymmene Corp. | 32,573 | 1,255,262 | |
3,813,437 | |||
TOTAL MATERIALS | 59,762,309 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Aedas Homes SAU (b) | 32,482 | 1,070,779 | |
Real Estate Management & Development - 0.3% | |||
Henderson Land Development Co. Ltd. | 327,460 | 1,731,434 | |
Lendlease Group unit | 279,176 | 4,112,335 | |
Mitsui Fudosan Co. Ltd. | 165,500 | 3,790,071 | |
Sino Land Ltd. | 1,340,718 | 2,271,897 | |
Vonovia SE | 64,596 | 3,313,358 | |
15,219,095 | |||
TOTAL REAL ESTATE | 16,289,874 | ||
TELECOMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.4% | |||
Deutsche Telekom AG | 380,681 | 6,139,107 | |
HKT Trust/HKT Ltd. unit | 2,074,000 | 2,679,453 | |
Masmovil Ibercom SA (a) | 11,627 | 1,313,165 | |
Nippon Telegraph & Telephone Corp. | 162,100 | 7,211,990 | |
Spark New Zealand Ltd. | 512,926 | 1,354,014 | |
Telefonica Deutschland Holding AG | 352,863 | 1,467,546 | |
20,165,275 | |||
Wireless Telecommunication Services - 0.2% | |||
SoftBank Corp. | 87,700 | 8,119,910 | |
TOTAL TELECOMMUNICATION SERVICES | 28,285,185 | ||
UTILITIES - 0.2% | |||
Electric Utilities - 0.1% | |||
Fortum Corp. | 270,817 | 6,852,848 | |
Multi-Utilities - 0.1% | |||
E.ON AG | 486,318 | 5,191,746 | |
TOTAL UTILITIES | 12,044,594 | ||
TOTAL COMMON STOCKS | |||
(Cost $577,626,721) | 636,053,883 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Porsche Automobil Holding SE (Germany) | 41,107 | 2,600,813 | |
Volkswagen AG | 23,701 | 3,874,640 | |
6,475,453 | |||
HEALTH CARE - 0.0% | |||
Biotechnology - 0.0% | |||
Grifols SA Class B | 17,800 | 384,166 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $6,866,541) | 6,859,619 | ||
Equity Funds - 81.8% | |||
Foreign Large Blend Funds - 9.6% | |||
Fidelity Pacific Basin Fund (c) | 4,636,631 | 155,790,804 | |
Fidelity SAI International Minimum Volatility Index Fund (c) | 30,940,934 | 343,444,368 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 499,235,172 | ||
Foreign Large Growth Funds - 53.9% | |||
Fidelity Advisor Overseas Fund Class I (c) | 3,075,382 | 77,376,622 | |
Fidelity Diversified International Fund (c) | 18,559,641 | 732,920,235 | |
Fidelity International Capital Appreciation Fund (c) | 25,035,578 | 529,752,827 | |
Fidelity International Discovery Fund (c) | 17,435,124 | 772,724,702 | |
Fidelity Overseas Fund (c) | 13,833,865 | 699,301,869 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 2,812,076,255 | ||
Foreign Large Value Funds - 4.2% | |||
Fidelity International Value Fund (c) | 25,377,058 | 219,511,551 | |
Foreign Small Mid Growth Funds - 1.3% | |||
Fidelity International Small Cap Opportunities Fund (c) | 3,610,807 | 69,508,036 | |
Sector Funds - 1.2% | |||
Fidelity Advisor International Real Estate Fund Class I (c) | 5,330,490 | 61,940,291 | |
Other - 11.6% | |||
Fidelity Advisor Japan Fund Class I (c) | 8,155,569 | 126,737,537 | |
Fidelity Japan Smaller Companies Fund (c) | 2,311,829 | 41,497,335 | |
Fidelity SAI International Value Index Fund (c) | 45,638,528 | 434,935,173 | |
TOTAL OTHER | 603,170,045 | ||
TOTAL EQUITY FUNDS | |||
(Cost $3,713,143,645) | 4,265,441,350 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 1.89% to 2.09% 9/6/18 to 11/29/18 (d) | |||
(Cost $13,139,517) | $13,170,000 | 13,141,585 | |
Shares | |||
Money Market Funds - 5.6% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (e) | |||
(Cost $291,334,021) | 291,334,021 | 291,334,021 | |
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $4,602,110,445) | 5,212,830,458 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 4,036,171 | ||
NET ASSETS - 100% | $5,216,866,629 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 250 | Sept. 2018 | $28,531,250 | $573,985 | $573,985 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 2,570 | Sept. 2018 | 251,705,800 | (5,629,201) | (5,629,201) |
TOTAL FUTURES CONTRACTS | $(5,055,216) |
The notional amount of futures purchased as a percentage of Net Assets is 5.3%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $368,843,665.
Legend
(a) Non-income producing
(b) 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 $6,857,314 or 0.1% of net assets.
(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 $13,042,077.
(e) 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 | $65,795 |
Total | $65,795 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor International Real Estate Fund Class I | $60,820,888 | $-- | $-- | $-- | $-- | $1,119,403 | $61,940,291 |
Fidelity Advisor Japan Fund Class I | 124,065,027 | 5,813,298 | -- | -- | -- | (3,140,788) | 126,737,537 |
Fidelity Advisor Overseas Fund Class I | 77,776,422 | -- | -- | -- | -- | (399,800) | 77,376,622 |
Fidelity Diversified International Fund | 652,480,434 | 87,226,328 | -- | -- | -- | (6,786,527) | 732,920,235 |
Fidelity International Capital Appreciation Fund | 461,020,348 | 68,599,733 | -- | -- | -- | 132,746 | 529,752,827 |
Fidelity International Discovery Fund | 673,601,639 | 121,666,221 | -- | -- | -- | (22,543,158) | 772,724,702 |
Fidelity International Small Cap Opportunities Fund | 65,963,223 | 5,813,298 | -- | -- | -- | (2,268,485) | 69,508,036 |
Fidelity International Value Fund | 259,342,379 | -- | 30,000,000 | -- | (7,999,216) | (1,831,612) | 219,511,551 |
Fidelity Japan Smaller Companies Fund | 44,757,015 | -- | -- | -- | -- | (3,259,680) | 41,497,335 |
Fidelity Overseas Fund | 656,499,169 | 43,599,733 | -- | -- | -- | (797,033) | 699,301,869 |
Fidelity Pacific Basin Fund | 159,456,934 | 5,813,298 | -- | -- | -- | (9,479,428) | 155,790,804 |
Fidelity SAI International Minimum Volatility Index Fund | 301,326,863 | 38,066,489 | -- | -- | -- | 4,051,016 | 343,444,368 |
Fidelity SAI International Value Index Fund | 163,947,749 | 288,212,101 | -- | -- | -- | (17,224,677) | 434,935,173 |
Total | $3,701,058,090 | $664,810,499 | $30,000,000 | $-- | $(7,999,216) | $(62,428,023) | $4,265,441,350 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $71,144,372 | $46,982,277 | $24,162,095 | $-- |
Consumer Staples | 56,982,145 | 15,017,729 | 41,964,416 | -- |
Energy | 41,162,022 | 15,578,311 | 25,583,711 | -- |
Financials | 137,475,277 | 98,396,447 | 39,078,830 | -- |
Health Care | 74,757,422 | 21,462,586 | 53,294,836 | -- |
Industrials | 85,623,062 | 62,342,281 | 23,280,781 | -- |
Information Technology | 59,387,240 | 35,087,900 | 24,299,340 | -- |
Materials | 59,762,309 | 33,947,209 | 25,815,100 | -- |
Real Estate | 16,289,874 | 16,289,874 | -- | -- |
Telecommunication Services | 28,285,185 | 6,814,178 | 21,471,007 | -- |
Utilities | 12,044,594 | 6,852,848 | 5,191,746 | -- |
Equity Funds | 4,265,441,350 | 4,265,441,350 | -- | -- |
Other Short-Term Investments | 13,141,585 | -- | 13,141,585 | -- |
Money Market Funds | 291,334,021 | 291,334,021 | -- | -- |
Total Investments in Securities: | $5,212,830,458 | $4,915,547,011 | $297,283,447 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $573,985 | $573,985 | $-- | $-- |
Total Assets | $573,985 | $573,985 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(5,629,201) | $(5,629,201) | $-- | $-- |
Total Liabilities | $(5,629,201) | $(5,629,201) | $-- | $-- |
Total Derivative Instruments: | $(5,055,216) | $(5,055,216) | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2018. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements:
Transfers | Total |
Level 1 to Level 2 | $0 |
Level 2 to Level 1 | $297,117,385 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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 | $573,985 | $(5,629,201) |
Total Equity Risk(a) | 573,985 | (5,629,201) |
Total Value of Derivatives | $573,985 | $(5,629,201) |
(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
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $888,966,794) | $947,389,108 | |
Affiliated issuers (cost $3,713,143,651) | 4,265,441,350 | |
Total Investment in Securities (cost $4,602,110,445) | $5,212,830,458 | |
Foreign currency held at value (cost $949,354) | 949,354 | |
Receivable for investments sold | 5,711,084 | |
Receivable for fund shares sold | 11,745,679 | |
Dividends receivable | 2,592,608 | |
Interest receivable | 428,089 | |
Distributions receivable from Fidelity Central Funds | 103 | |
Prepaid expenses | 16,181 | |
Other receivables | 56,366 | |
Total assets | 5,234,329,922 | |
Liabilities | ||
Payable for investments purchased | $12,432,083 | |
Payable for fund shares redeemed | 2,784,421 | |
Accrued management fee | 225,235 | |
Payable for daily variation margin on futures contracts | 1,705,600 | |
Other affiliated payables | 130,747 | |
Other payables and accrued expenses | 185,207 | |
Total liabilities | 17,463,293 | |
Net Assets | $5,216,866,629 | |
Net Assets consist of: | ||
Paid in capital | $4,620,151,660 | |
Undistributed net investment income | 14,750,544 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (23,714,643) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 605,679,068 | |
Net Assets, for 506,970,919 shares outstanding | $5,216,866,629 | |
Net Asset Value, offering price and redemption price per share ($5,216,866,629 ÷ 506,970,919 shares) | $10.29 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $15,673,840 | |
Interest | 3,384,762 | |
Income from Fidelity Central Funds | 65,795 | |
Income before foreign taxes withheld | 19,124,397 | |
Less foreign taxes withheld | (1,492,118) | |
Total income | 17,632,279 | |
Expenses | ||
Management fee | $7,552,326 | |
Transfer agent fees | 318,135 | |
Accounting and security lending fees | 782,004 | |
Custodian fees and expenses | 44,243 | |
Independent trustees' fees and expenses | 30,054 | |
Registration fees | 163,421 | |
Audit | 34,248 | |
Legal | 7,925 | |
Miscellaneous | 24,455 | |
Total expenses before reductions | 8,956,811 | |
Expense reductions | (6,275,190) | |
Total expenses after reductions | 2,681,621 | |
Net investment income (loss) | 14,950,658 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,668,098 | |
Fidelity Central Funds | 310 | |
Other affiliated issuers | (7,999,216) | |
Foreign currency transactions | (119,410) | |
Futures contracts | (11,241,701) | |
Total net realized gain (loss) | (16,691,919) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (31,198,203) | |
Affiliated issuers | (62,428,023) | |
Assets and liabilities in foreign currencies | (32,125) | |
Futures contracts | 3,043,988 | |
Total change in net unrealized appreciation (depreciation) | (90,614,363) | |
Net gain (loss) | (107,306,282) | |
Net increase (decrease) in net assets resulting from operations | $(92,355,624) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $14,950,658 | $49,914,887 |
Net realized gain (loss) | (16,691,919) | 195,942,857 |
Change in net unrealized appreciation (depreciation) | (90,614,363) | 579,355,697 |
Net increase (decrease) in net assets resulting from operations | (92,355,624) | 825,213,441 |
Distributions to shareholders from net investment income | (3,656,320) | (46,185,765) |
Distributions to shareholders from net realized gain | (90,036,873) | (45,762,042) |
Total distributions | (93,693,193) | (91,947,807) |
Share transactions | ||
Proceeds from sales of shares | 944,138,459 | 1,438,793,570 |
Reinvestment of distributions | 93,500,455 | 91,740,199 |
Cost of shares redeemed | (375,247,026) | (1,116,512,838) |
Net increase (decrease) in net assets resulting from share transactions | 662,391,888 | 414,020,931 |
Total increase (decrease) in net assets | 476,343,071 | 1,147,286,565 |
Net Assets | ||
Beginning of period | 4,740,523,558 | 3,593,236,993 |
End of period | $5,216,866,629 | $4,740,523,558 |
Other Information | ||
Undistributed net investment income end of period | $14,750,544 | $3,456,206 |
Shares | ||
Sold | 90,573,450 | 141,598,196 |
Issued in reinvestment of distributions | 9,060,122 | 8,597,957 |
Redeemed | (35,978,569) | (108,855,934) |
Net increase (decrease) | 63,655,003 | 41,340,219 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity International Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.69 | $8.94 | $8.19 | $9.41 | $9.40 | $7.88 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .03 | .12 | .14 | .10 | .11 | .14C |
Net realized and unrealized gain (loss) | (.22) | 1.85 | .76 | (1.19) | .01 | 1.53 |
Total from investment operations | (.19) | 1.97 | .90 | (1.09) | .12 | 1.67 |
Distributions from net investment income | (.01) | (.11) | (.13) | (.09) | (.10) | (.11) |
Distributions from net realized gain | (.20) | (.11) | (.02) | (.05) | (.01) | (.04) |
Total distributions | (.21) | (.22) | (.15) | (.13)D | (.11) | (.15) |
Net asset value, end of period | $10.29 | $10.69 | $8.94 | $8.19 | $9.41 | $9.40 |
Total ReturnE,F | (1.83)% | 22.01% | 11.11% | (11.70)% | 1.36% | 21.17% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .36%I | .38% | .39% | .42% | .47% | .52% |
Expenses net of fee waivers, if any | .11%I | .13% | .14% | .17% | .22% | .27% |
Expenses net of all reductions | .11%I | .13% | .14% | .17% | .21% | .26% |
Net investment income (loss) | .60%I | 1.16% | 1.58% | 1.09% | 1.19% | 1.61%C |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $5,216,867 | $4,740,524 | $3,593,237 | $2,736,052 | $1,754,709 | $1,319,774 |
Portfolio turnover rateJ | 9%I | 13% | 14% | 16% | 22% | 27% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects a large, non-recurring dividend which amounted to $.03 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.31%.
D Total distributions of $.13 per share is comprised of distributions from net investment income of $.088 and distributions from net realized gain of $.046 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 August 31, 2018
1. Organization.
Strategic Advisers Fidelity International Fund (formerly Strategic Advisers International II 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 certain clients of Strategic Advisers LLC. (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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018, including information on transfers between Levels 1 and 2, 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. 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. 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), certain independent Trustees have elected 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 of $56,358 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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, passive foreign investment companies (PFIC), market discount, 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 | $654,512,210 |
Gross unrealized depreciation | (61,341,562) |
Net unrealized appreciation (depreciation) | $593,170,648 |
Tax cost | $4,614,604,594 |
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. 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 $850,853,940 and $205,271,577, 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 .30% 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) 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.
FIL Investment Advisors and Geode Capital Management, LLC 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. Effective July 1, 2018, transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018, FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC paid 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 .01% 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. For the period, the fees were equivalent to an annualized rate of .03%.
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 $6,716 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. At period end, there were no security loans outstanding. 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 $65,795.
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, 2021. During the period, this waiver reduced the Fund's management fee by $6,186,738.
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 $88,446 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 $6.
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 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity Advisor Overseas Fund | 11% |
Fidelity International Capital Appreciation Fund | 22% |
Fidelity International Real Estate Fund | 10% |
Fidelity International Value Fund | 46% |
Fidelity Japan Fund | 32% |
Fidelity Pacific Basin Fund | 17% |
Fidelity SAI International Minimum Volatility Index Fund | 24% |
Fidelity SAI International Value Index Fund | 100% |
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 (March 1, 2018 to August 31, 2018).
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. 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .11% | $1,000.00 | $981.70 | $.55 |
Hypothetical-C | $1,000.00 | $1,024.65 | $.56 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SIL-SANN-1018
1.912841.108
Strategic Advisers® International Multi-Manager Fund Semi-Annual Report August 31, 2018 |
Contents
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
iShares MSCI Japan ETF | 2.2 |
Nestle SA (Reg. S) | 1.6 |
Roche Holding AG (participation certificate) | 1.4 |
BP PLC | 1.3 |
British American Tobacco PLC (United Kingdom) | 1.2 |
Linde AG | 1.2 |
Amadeus IT Holding SA Class A | 1.1 |
KDDI Corp. | 1.0 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1.0 |
AstraZeneca PLC (United Kingdom) | 1.0 |
13.0 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Financials | 15.2 |
Industrials | 14.9 |
Information Technology | 12.9 |
Consumer Staples | 10.9 |
Health Care | 9.7 |
Geographic Diversification (% of fund's net assets)
As of August 31, 2018 | ||
Japan | 16.8% | |
United Kingdom | 15.7% | |
United States of America* | 11.2% | |
Germany | 9.7% | |
Switzerland | 9.2% | |
France | 8.9% | |
Netherlands | 3.4% | |
Canada | 2.8% | |
Hong Kong | 2.3% | |
Other | 20.0% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 90.1% | |
Preferred Stocks | 1.6% | |
Equity Funds | 2.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 6.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 90.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 6.7% | |||
Auto Components - 0.4% | |||
Akasol AG | 400 | $23,911 | |
Bridgestone Corp. | 1,900 | 69,991 | |
Compagnie Plastic Omnium | 360 | 14,258 | |
Koito Manufacturing Co. Ltd. | 2,400 | 148,393 | |
256,553 | |||
Automobiles - 0.6% | |||
Ferrari NV | 477 | 62,399 | |
Honda Motor Co. Ltd. | 4,300 | 127,380 | |
Isuzu Motors Ltd. | 3,900 | 56,406 | |
Subaru Corp. | 1,600 | 47,535 | |
Suzuki Motor Corp. | 2,200 | 143,155 | |
436,875 | |||
Hotels, Restaurants & Leisure - 1.8% | |||
Aristocrat Leisure Ltd. | 3,280 | 74,489 | |
Carnival PLC | 5,765 | 346,736 | |
Compass Group PLC | 19,934 | 428,613 | |
Galaxy Entertainment Group Ltd. | 11,000 | 81,427 | |
Greggs PLC | 1,519 | 20,934 | |
Huazhu Group Ltd. ADR | 836 | 28,775 | |
Kindred Group PLC (depositary receipt) | 2,093 | 25,724 | |
Melco Crown Entertainment Ltd. sponsored ADR | 2,500 | 59,700 | |
Paddy Power Betfair PLC | 670 | 60,934 | |
Yum China Holdings, Inc. | 2,800 | 108,304 | |
1,235,636 | |||
Household Durables - 0.6% | |||
Iida Group Holdings Co. Ltd. | 1,600 | 29,549 | |
Panasonic Corp. | 7,200 | 85,770 | |
Sony Corp. | 2,600 | 147,843 | |
Techtronic Industries Co. Ltd. | 25,500 | 155,948 | |
419,110 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Ctrip.com International Ltd. ADR (a) | 1,073 | 42,008 | |
MakeMyTrip Ltd. (a) | 784 | 24,814 | |
Start Today Co. Ltd. | 2,000 | 68,941 | |
135,763 | |||
Leisure Products - 0.1% | |||
Bandai Namco Holdings, Inc. | 800 | 31,032 | |
Technogym SpA (b) | 1,409 | 14,033 | |
45,065 | |||
Media - 0.5% | |||
Informa PLC | 2,425 | 23,969 | |
ProSiebenSat.1 Media AG | 1,480 | 38,907 | |
Publicis Groupe SA | 1 | 64 | |
Telenet Group Holding NV | 693 | 37,887 | |
Vivendi SA | 4,814 | 124,888 | |
WPP PLC | 7,930 | 131,516 | |
357,231 | |||
Multiline Retail - 0.1% | |||
B&M European Value Retail S.A. | 3,143 | 16,808 | |
Dollarama, Inc. | 1,435 | 54,266 | |
71,074 | |||
Specialty Retail - 0.6% | |||
Chow Tai Fook Jewellery Group Ltd. | 17,400 | 16,161 | |
Dufry AG | 523 | 64,697 | |
Esprit Holdings Ltd. (a) | 42,350 | 10,036 | |
Hotel Shilla Co. | 210 | 20,334 | |
Mr Price Group Ltd. | 1,719 | 26,360 | |
Nitori Holdings Co. Ltd. | 300 | 45,549 | |
USS Co. Ltd. | 9,400 | 177,239 | |
Via Varejo SA unit | 2,400 | 9,958 | |
WH Smith PLC | 1,588 | 42,493 | |
412,827 | |||
Textiles, Apparel & Luxury Goods - 1.8% | |||
Compagnie Financiere Richemont SA Series A | 2,893 | 255,455 | |
ECLAT Textile Co. Ltd. | 1,000 | 12,163 | |
Gildan Activewear, Inc. | 3,690 | 108,749 | |
Hermes International SCA | 78 | 50,720 | |
Kering SA | 475 | 258,035 | |
Li Ning Co. Ltd. (a) | 20,000 | 21,099 | |
lululemon athletica, Inc. (a) | 536 | 83,042 | |
LVMH Moet Hennessy - Louis Vuitton SA | 657 | 230,312 | |
Moncler SpA | 661 | 29,892 | |
Puma AG | 107 | 58,623 | |
Shenzhou International Group Holdings Ltd. | 3,000 | 39,369 | |
Swatch Group AG (Bearer) | 117 | 49,926 | |
1,197,385 | |||
TOTAL CONSUMER DISCRETIONARY | 4,567,519 | ||
CONSUMER STAPLES - 10.3% | |||
Beverages - 2.0% | |||
Asahi Group Holdings | 3,000 | 135,514 | |
Coca-Cola European Partners PLC | 1,400 | 59,696 | |
Diageo PLC | 12,215 | 427,214 | |
Fever-Tree Drinks PLC | 701 | 33,835 | |
Heineken NV (Bearer) | 2,103 | 207,832 | |
ITO EN Ltd. | 3,200 | 140,545 | |
Kirin Holdings Co. Ltd. | 1,600 | 39,564 | |
Pernod Ricard SA | 1,984 | 313,198 | |
Royal Unibrew A/S | 298 | 25,683 | |
1,383,081 | |||
Food & Staples Retailing - 0.5% | |||
Bidcorp Ltd. | 826 | 17,627 | |
Sundrug Co. Ltd. | 3,000 | 107,731 | |
Tesco PLC | 52,932 | 169,151 | |
294,509 | |||
Food Products - 3.0% | |||
Aryzta AG | 4,296 | 40,263 | |
China Mengniu Dairy Co. Ltd. | 19,000 | 54,830 | |
Danone SA | 6,501 | 511,953 | |
Kerry Group PLC Class A | 1,387 | 158,179 | |
Lindt & Spruengli AG (participation certificate) | 1 | 7,444 | |
M. Dias Branco SA | 1,800 | 18,698 | |
Nestle SA (Reg. S) | 13,254 | 1,111,045 | |
Nissin Food Holdings Co. Ltd. | 500 | 31,905 | |
Toyo Suisan Kaisha Ltd. | 3,300 | 121,623 | |
2,055,940 | |||
Household Products - 1.1% | |||
Colgate-Palmolive Co. | 3,668 | 243,592 | |
Essity AB Class B | 777 | 20,136 | |
Reckitt Benckiser Group PLC | 5,878 | 500,701 | |
764,429 | |||
Personal Products - 2.2% | |||
Kao Corp. | 5,000 | 388,129 | |
Kobayashi Pharmaceutical Co. Ltd. | 2,000 | 143,641 | |
Kose Corp. | 500 | 92,251 | |
L'Oreal SA | 1,391 | 333,738 | |
Pola Orbis Holdings, Inc. | 700 | 24,696 | |
Shiseido Co. Ltd. | 2,700 | 190,125 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 3,372 | 193,895 | |
Unilever PLC | 2,003 | 114,141 | |
1,480,616 | |||
Tobacco - 1.5% | |||
British American Tobacco PLC (United Kingdom) | 17,208 | 832,132 | |
Japan Tobacco, Inc. | 7,500 | 197,237 | |
1,029,369 | |||
TOTAL CONSUMER STAPLES | 7,007,944 | ||
ENERGY - 5.0% | |||
Energy Equipment & Services - 0.3% | |||
Core Laboratories NV | 618 | 70,792 | |
John Wood Group PLC | 3,567 | 33,231 | |
Tenaris SA | 5,751 | 96,506 | |
TGS Nopec Geophysical Co. ASA | 984 | 37,372 | |
237,901 | |||
Oil, Gas & Consumable Fuels - 4.7% | |||
BP PLC | 123,716 | 881,002 | |
Cairn Energy PLC (a) | 22,960 | 71,142 | |
Caltex Australia Ltd. | 3,833 | 83,245 | |
Enbridge, Inc. | 2,494 | 85,064 | |
Encana Corp. | 18,970 | 251,189 | |
Eni SpA | 6,378 | 118,357 | |
Equinor ASA | 5,344 | 137,071 | |
Galp Energia SGPS SA Class B | 4,499 | 91,232 | |
JX Holdings, Inc. | 4,100 | 28,871 | |
Lundin Petroleum AB | 3,922 | 136,249 | |
Neste Oyj | 777 | 67,462 | |
Oil Search Ltd. ADR | 11,802 | 76,021 | |
Royal Dutch Shell PLC: | |||
Class A | 4,102 | 133,411 | |
Class B (United Kingdom) | 10,234 | 338,765 | |
SK Energy Co. Ltd. | 238 | 41,183 | |
Suncor Energy, Inc. | 4,228 | 174,045 | |
Total SA | 7,463 | 467,989 | |
3,182,298 | |||
TOTAL ENERGY | 3,420,199 | ||
FINANCIALS - 15.2% | |||
Banks - 7.8% | |||
AIB Group PLC | 17,169 | 96,536 | |
Akbank T.A.S. | 31,538 | 27,666 | |
Banco Santander SA (Spain) | 8,930 | 44,375 | |
Bankinter SA | 14,382 | 127,942 | |
Barclays PLC | 200,879 | 460,158 | |
BNP Paribas SA | 5,981 | 351,149 | |
BOC Hong Kong (Holdings) Ltd. | 17,000 | 82,956 | |
CaixaBank SA | 40,537 | 180,698 | |
Canadian Imperial Bank of Commerce | 454 | 42,547 | |
Chiba Bank Ltd. | 5,300 | 34,821 | |
Commerzbank AG (a) | 4,755 | 44,955 | |
Credicorp Ltd. (United States) | 261 | 56,903 | |
Danske Bank A/S | 2,322 | 68,316 | |
DBS Group Holdings Ltd. | 4,500 | 81,800 | |
DNB ASA | 2,953 | 60,144 | |
Erste Group Bank AG | 5,131 | 204,106 | |
FinecoBank SpA | 4,208 | 50,139 | |
Hang Seng Bank Ltd. | 2,100 | 56,936 | |
HDFC Bank Ltd. sponsored ADR | 2,684 | 271,809 | |
ING Groep NV (Certificaten Van Aandelen) | 6,468 | 87,860 | |
Intesa Sanpaolo SpA | 85,656 | 211,463 | |
Jyske Bank A/S (Reg.) | 1,823 | 92,481 | |
KBC Groep NV | 4,710 | 334,589 | |
Lloyds Banking Group PLC | 292,735 | 225,500 | |
Mebuki Financial Group, Inc. | 8,600 | 30,496 | |
Metro Bank PLC (a) | 339 | 12,236 | |
Mitsubishi UFJ Financial Group, Inc. | 65,000 | 392,905 | |
Nordea Bank AB | 7,831 | 84,603 | |
North Pacific Bank Ltd. | 7,700 | 25,988 | |
PT Bank Central Asia Tbk | 59,700 | 100,513 | |
Societe Generale Series A | 2,573 | 105,357 | |
Standard Chartered PLC (United Kingdom) | 17,295 | 140,609 | |
Sumitomo Mitsui Financial Group, Inc. | 4,300 | 169,048 | |
Svenska Handelsbanken AB (A Shares) | 10,399 | 126,095 | |
Swedbank AB (A Shares) | 2,471 | 57,498 | |
Sydbank A/S | 864 | 25,292 | |
The Hachijuni Bank Ltd. | 5,200 | 23,213 | |
The Toronto-Dominion Bank | 3,268 | 196,956 | |
Unicaja Banco SA (b) | 22,000 | 34,474 | |
UniCredit SpA | 25,592 | 369,363 | |
United Overseas Bank Ltd. | 4,903 | 96,663 | |
5,287,158 | |||
Capital Markets - 2.2% | |||
3i Group PLC | 5,403 | 62,790 | |
Amundi SA (b) | 264 | 19,030 | |
Banca Generali SpA | 1,356 | 33,305 | |
Close Brothers Group PLC | 717 | 14,836 | |
Credit Suisse Group AG | 6,483 | 97,080 | |
Daiwa Securities Group, Inc. | 4,600 | 27,589 | |
Euronext NV (b) | 231 | 15,176 | |
IG Group Holdings PLC | 3,061 | 35,875 | |
Intermediate Capital Group PLC | 2,056 | 27,961 | |
Julius Baer Group Ltd. | 3,509 | 186,192 | |
London Stock Exchange Group PLC | 1,504 | 90,162 | |
Macquarie Group Ltd. | 1,825 | 169,772 | |
Partners Group Holding AG | 151 | 118,557 | |
St. James's Place Capital PLC | 2,349 | 34,458 | |
Thomson Reuters Corp. | 2,126 | 94,554 | |
TMX Group Ltd. | 1,592 | 106,743 | |
UBS Group AG | 22,422 | 350,123 | |
1,484,203 | |||
Consumer Finance - 0.2% | |||
AEON Financial Service Co. Ltd. | 6,400 | 131,041 | |
Diversified Financial Services - 0.5% | |||
Cerved Information Solutions SpA | 2,947 | 30,718 | |
Challenger Ltd. | 5,924 | 46,122 | |
ORIX Corp. | 9,500 | 152,790 | |
RMB Holdings Ltd. | 5,200 | 29,831 | |
Standard Life PLC | 18,054 | 74,174 | |
Zenkoku Hosho Co. Ltd. | 300 | 12,150 | |
345,785 | |||
Insurance - 4.5% | |||
AIA Group Ltd. | 57,000 | 491,658 | |
Allianz SE | 606 | 129,164 | |
Aon PLC | 1,064 | 154,876 | |
Aviva PLC | 42,233 | 265,705 | |
Beazley PLC | 3,692 | 28,456 | |
Direct Line Insurance Group PLC | 4,258 | 18,267 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 185 | 101,567 | |
Hiscox Ltd. | 11,538 | 252,050 | |
Insurance Australia Group Ltd. | 14,596 | 81,006 | |
Jardine Lloyd Thompson Group PLC | 3,190 | 59,719 | |
Manulife Financial Corp. | 6,600 | 120,772 | |
Muenchener Rueckversicherungs AG | 380 | 81,954 | |
NKSJ Holdings, Inc. | 4,600 | 196,404 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 10,500 | 101,137 | |
Prudential PLC | 18,301 | 411,493 | |
QBE Insurance Group Ltd. | 9,278 | 73,436 | |
Sony Financial Holdings, Inc. | 2,800 | 55,819 | |
Swiss Re Ltd. | 1,458 | 131,111 | |
Tokio Marine Holdings, Inc. | 1,500 | 70,700 | |
Zurich Insurance Group AG | 921 | 280,505 | |
3,105,799 | |||
TOTAL FINANCIALS | 10,353,986 | ||
HEALTH CARE - 9.7% | |||
Biotechnology - 0.5% | |||
3SBio, Inc. (b) | 9,000 | 17,177 | |
Abcam PLC | 1,041 | 20,460 | |
CSL Ltd. | 842 | 137,594 | |
Grifols SA | 833 | 24,492 | |
HUGEL, Inc. (a) | 28 | 10,760 | |
Shire PLC | 1,551 | 90,719 | |
Swedish Orphan Biovitrum AB (a) | 1,290 | 41,104 | |
Wuxi Biologics (Cayman), Inc. (a) | 3,000 | 29,623 | |
371,929 | |||
Health Care Equipment & Supplies - 2.0% | |||
Ambu A/S Series B | 459 | 17,196 | |
ASAHI INTECC Co. Ltd. | 736 | 28,053 | |
Carl Zeiss Meditec AG | 552 | 48,888 | |
Coloplast A/S Series B | 751 | 80,383 | |
Dentsply Sirona, Inc. | 1,309 | 52,255 | |
DiaSorin S.p.A. | 198 | 21,558 | |
Essilor International SA | 1,003 | 144,714 | |
Hoya Corp. | 1,200 | 70,168 | |
Koninklijke Philips Electronics NV | 6,118 | 273,365 | |
Nihon Kohden Corp. | 3,800 | 111,151 | |
Straumann Holding AG | 101 | 80,498 | |
Terumo Corp. | 7,900 | 435,847 | |
1,364,076 | |||
Health Care Providers & Services - 0.2% | |||
NMC Health PLC | 405 | 20,603 | |
Orpea | 265 | 35,835 | |
Sonic Healthcare Ltd. | 3,347 | 63,017 | |
119,455 | |||
Life Sciences Tools & Services - 0.8% | |||
Eurofins Scientific SA | 117 | 66,057 | |
ICON PLC (a) | 430 | 64,079 | |
Lonza Group AG | 739 | 237,807 | |
Morphosys AG (a) | 694 | 81,926 | |
QIAGEN NV (a) | 1,583 | 61,690 | |
511,559 | |||
Pharmaceuticals - 6.2% | |||
AstraZeneca PLC (United Kingdom) | 8,823 | 665,905 | |
Bayer AG | 3,085 | 287,906 | |
Chugai Pharmaceutical Co. Ltd. | 600 | 34,776 | |
CSPC Pharmaceutical Group Ltd. | 18,000 | 45,409 | |
Dechra Pharmaceuticals PLC | 647 | 26,171 | |
GlaxoSmithKline PLC | 7,826 | 158,499 | |
Ipsen SA | 723 | 128,527 | |
Novartis AG | 6,511 | 540,167 | |
Novo Nordisk A/S Series B | 7,700 | 379,042 | |
Recordati SpA | 971 | 34,004 | |
Roche Holding AG (participation certificate) | 3,776 | 936,273 | |
Rohto Pharmaceutical Co. Ltd. | 2,500 | 79,876 | |
Sanofi SA | 1,515 | 130,098 | |
Santen Pharmaceutical Co. Ltd. | 20,000 | 308,163 | |
Shionogi & Co. Ltd. | 700 | 40,673 | |
Takeda Pharmaceutical Co. Ltd. | 10,300 | 429,110 | |
4,224,599 | |||
TOTAL HEALTH CARE | 6,591,618 | ||
INDUSTRIALS - 14.9% | |||
Aerospace & Defense - 1.4% | |||
Airbus Group NV | 1,427 | 176,150 | |
BAE Systems PLC | 7,090 | 55,791 | |
Cobham PLC (a) | 106,948 | 172,484 | |
MTU Aero Engines Holdings AG | 765 | 167,738 | |
Rolls-Royce Holdings PLC | 20,419 | 266,046 | |
Thales SA | 819 | 115,362 | |
953,571 | |||
Air Freight & Logistics - 0.3% | |||
Deutsche Post AG | 3,698 | 134,486 | |
Yamato Holdings Co. Ltd. | 3,200 | 95,156 | |
229,642 | |||
Airlines - 0.5% | |||
Japan Airlines Co. Ltd. | 6,800 | 245,108 | |
Ryanair Holdings PLC sponsored ADR (a) | 622 | 63,363 | |
308,471 | |||
Building Products - 1.2% | |||
Agc, Inc. | 1,600 | 64,081 | |
Belimo Holding AG (Reg.) | 4 | 20,366 | |
Compagnie de St. Gobain | 1,494 | 64,420 | |
Daikin Industries Ltd. | 3,400 | 433,223 | |
Geberit AG (Reg.) | 105 | 47,752 | |
Kingspan Group PLC (Ireland) | 974 | 47,326 | |
Nichias Corp. | 1,000 | 13,005 | |
Toto Ltd. | 3,300 | 139,591 | |
829,764 | |||
Commercial Services & Supplies - 0.9% | |||
Brambles Ltd. | 31,721 | 250,162 | |
Rentokil Initial PLC | 17,857 | 75,240 | |
Ritchie Brothers Auctioneers, Inc. | 1,878 | 71,594 | |
Secom Co. Ltd. | 1,800 | 148,150 | |
Sohgo Security Services Co., Ltd. | 900 | 39,609 | |
584,755 | |||
Construction & Engineering - 1.0% | |||
ACS Actividades de Construccion y Servicios SA | 1,066 | 44,396 | |
Balfour Beatty PLC | 39,817 | 149,545 | |
Bouygues SA | 1,446 | 63,831 | |
Eiffage SA | 578 | 65,052 | |
Taisei Corp. | 1,600 | 71,569 | |
VINCI SA | 2,878 | 275,006 | |
669,399 | |||
Electrical Equipment - 2.3% | |||
ABB Ltd. (Reg.) | 16,559 | 389,992 | |
Legrand SA | 4,392 | 330,861 | |
Melrose Industries PLC | 59,321 | 171,425 | |
Nidec Corp. | 500 | 72,473 | |
Schneider Electric SA | 7,579 | 615,907 | |
1,580,658 | |||
Industrial Conglomerates - 0.2% | |||
Bidvest Group Ltd. | 826 | 12,141 | |
CK Hutchison Holdings Ltd. | 6,920 | 79,747 | |
Nolato AB Series B | 210 | 14,834 | |
Toshiba Corp. (a) | 17,000 | 50,797 | |
157,519 | |||
Machinery - 3.2% | |||
Alfa Laval AB | 5,239 | 140,411 | |
Atlas Copco AB (A Shares) | 3,165 | 90,224 | |
CNH Industrial NV | 5,020 | 60,018 | |
Epiroc AB Class A (a) | 5,097 | 52,948 | |
Fanuc Corp. | 700 | 137,259 | |
GEA Group AG | 5,866 | 222,857 | |
HIWIN Technologies Corp. | 2,060 | 18,608 | |
HIWIN Technologies Corp. rights 8/31/18 (a) | 68 | 60 | |
Hoshizaki Corp. | 900 | 85,375 | |
IMI PLC | 8,916 | 139,635 | |
Interpump Group SpA | 617 | 19,423 | |
KION Group AG | 306 | 20,892 | |
Kubota Corp. | 10,300 | 160,975 | |
Makita Corp. | 600 | 27,216 | |
Minebea Mitsumi, Inc. | 2,800 | 52,568 | |
Misumi Group, Inc. | 3,500 | 90,217 | |
Mitsubishi Heavy Industries Ltd. | 1,100 | 40,848 | |
Nordson Corp. | 809 | 112,467 | |
NORMA Group AG | 218 | 14,449 | |
Rotork PLC | 7,336 | 32,146 | |
Schindler Holding AG (participation certificate) | 776 | 185,103 | |
SMC Corp. | 300 | 99,820 | |
Spirax-Sarco Engineering PLC | 2,289 | 211,588 | |
Sumitomo Heavy Industries Ltd. | 1,200 | 39,042 | |
The Weir Group PLC | 2,786 | 67,705 | |
Wartsila Corp. | 1,380 | 29,137 | |
WashTec AG | 92 | 8,928 | |
2,159,919 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S Series B | 26 | 40,295 | |
Professional Services - 1.7% | |||
51job, Inc. sponsored ADR (a) | 234 | 18,091 | |
Experian PLC | 7,844 | 195,252 | |
Intertek Group PLC | 2,342 | 155,883 | |
Nihon M&A Center, Inc. | 900 | 23,563 | |
Recruit Holdings Co. Ltd. | 2,600 | 79,257 | |
RELX NV | 10,303 | 228,479 | |
SEEK Ltd. | 1,983 | 31,933 | |
SGS SA (Reg.) | 70 | 184,380 | |
SR Teleperformance SA | 265 | 50,908 | |
TechnoPro Holdings, Inc. | 700 | 43,659 | |
Wolters Kluwer NV | 2,389 | 151,408 | |
1,162,813 | |||
Road & Rail - 1.0% | |||
Canadian Pacific Railway Ltd. | 999 | 210,127 | |
DSV de Sammensluttede Vognmaend A/S | 1,700 | 159,301 | |
East Japan Railway Co. | 3,300 | 298,636 | |
Globaltrans Investment PLC GDR (Reg. S) | 1,081 | 11,891 | |
Sankyu, Inc. | 400 | 21,240 | |
701,195 | |||
Trading Companies & Distributors - 0.8% | |||
Ashtead Group PLC | 4,479 | 137,157 | |
Brenntag AG | 1,498 | 90,313 | |
Bunzl PLC | 2,369 | 73,650 | |
Finning International, Inc. | 622 | 14,456 | |
Itochu Corp. | 7,400 | 129,438 | |
MonotaRO Co. Ltd. | 300 | 17,037 | |
Rexel SA | 2,003 | 31,504 | |
Ferguson PLC | 696 | 55,773 | |
549,328 | |||
Transportation Infrastructure - 0.3% | |||
Aena Sme SA | 407 | 72,045 | |
Airports of Thailand PCL (For. Reg.) | 7,600 | 15,500 | |
China Merchants Holdings International Co. Ltd. | 32,346 | 66,021 | |
Kamigumi Co. Ltd. | 900 | 18,274 | |
Malaysia Airports Holdings Bhd | 24,400 | 55,515 | |
227,355 | |||
TOTAL INDUSTRIALS | 10,154,684 | ||
INFORMATION TECHNOLOGY - 12.9% | |||
Communications Equipment - 0.2% | |||
Telefonaktiebolaget LM Ericsson (B Shares) | 16,726 | 141,131 | |
Electronic Equipment & Components - 1.9% | |||
China High Precision Automation Group Ltd. (a)(c) | 15,000 | 0 | |
Electrocomponents PLC | 2,323 | 22,340 | |
Halma PLC | 9,382 | 174,178 | |
Hexagon AB (B Shares) | 1,885 | 111,964 | |
Hirose Electric Co. Ltd. | 892 | 106,131 | |
Hitachi High-Technologies Corp. | 800 | 31,428 | |
Hitachi Ltd. | 19,000 | 124,062 | |
Keyence Corp. | 400 | 226,406 | |
Murata Manufacturing Co. Ltd. | 200 | 34,533 | |
OMRON Corp. | 2,100 | 94,028 | |
Renishaw PLC | 311 | 22,015 | |
Samsung SDI Co. Ltd. | 203 | 42,953 | |
Shimadzu Corp. | 2,100 | 62,276 | |
Spectris PLC | 2,351 | 71,749 | |
TDK Corp. | 700 | 78,688 | |
Topcon Corp. | 1,300 | 22,698 | |
Yokogawa Electric Corp. | 2,500 | 51,278 | |
1,276,727 | |||
Internet Software & Services - 1.7% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 1,168 | 204,412 | |
Baidu.com, Inc. sponsored ADR (a) | 1,435 | 324,999 | |
Baozun, Inc. sponsored ADR (a) | 390 | 20,822 | |
Just Eat Holding Ltd. (a) | 7,377 | 73,317 | |
NAVER Corp. | 131 | 88,323 | |
realestate.com.au Ltd. | 853 | 55,883 | |
Scout24 AG (b) | 916 | 47,378 | |
Shopify, Inc. Class A (a) | 558 | 81,182 | |
Tencent Holdings Ltd. | 3,500 | 150,455 | |
Weibo Corp. sponsored ADR (a) | 377 | 28,931 | |
Wix.com Ltd. (a) | 297 | 32,997 | |
Yandex NV Series A (a) | 662 | 21,270 | |
1,129,969 | |||
IT Services - 3.2% | |||
Adyen BV (b) | 100 | 70,109 | |
Amadeus IT Holding SA Class A | 7,940 | 736,571 | |
Capgemini SA | 1,501 | 192,958 | |
Cognizant Technology Solutions Corp. Class A | 2,219 | 174,036 | |
Endava PLC ADR (a) | 700 | 18,354 | |
EPAM Systems, Inc. (a) | 847 | 121,062 | |
IT Holdings Corp. | 800 | 38,592 | |
MasterCard, Inc. Class A | 428 | 92,260 | |
Netcompany Group A/S | 1,025 | 41,497 | |
Nomura Research Institute Ltd. | 5,900 | 293,646 | |
OBIC Co. Ltd. | 1,500 | 140,941 | |
Wirecard AG | 1,054 | 234,042 | |
2,154,068 | |||
Semiconductors & Semiconductor Equipment - 2.5% | |||
Analog Devices, Inc. | 2,075 | 205,114 | |
ASML Holding NV (Netherlands) | 1,097 | 224,309 | |
Infineon Technologies AG | 6,996 | 177,902 | |
Mellanox Technologies Ltd. (a) | 727 | 60,486 | |
NVIDIA Corp. | 298 | 83,643 | |
Silicon Motion Technology Corp. sponsored ADR | 800 | 47,120 | |
Siltronic AG | 131 | 18,977 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 16,080 | 701,088 | |
Texas Instruments, Inc. | 1,187 | 133,419 | |
Tokyo Electron Ltd. | 300 | 51,075 | |
1,703,133 | |||
Software - 2.9% | |||
ANSYS, Inc. (a) | 880 | 163,662 | |
Aveva Group PLC | 829 | 30,523 | |
Cadence Design Systems, Inc. (a) | 5,997 | 282,099 | |
Check Point Software Technologies Ltd. (a) | 1,476 | 171,496 | |
Dassault Systemes SA | 2,330 | 377,555 | |
Descartes Systems Group, Inc. (Canada) (a) | 413 | 14,419 | |
Micro Focus International PLC | 10,081 | 171,144 | |
Nintendo Co. Ltd. | 400 | 143,980 | |
SAP SE | 4,426 | 531,332 | |
Temenos Group AG | 95 | 17,152 | |
Trend Micro, Inc. | 700 | 44,100 | |
Ubisoft Entertainment SA (a) | 595 | 63,995 | |
2,011,457 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Logitech International SA (Reg.) | 999 | 49,308 | |
Samsung Electronics Co. Ltd. | 7,320 | 317,973 | |
367,281 | |||
TOTAL INFORMATION TECHNOLOGY | 8,783,766 | ||
MATERIALS - 7.3% | |||
Chemicals - 5.7% | |||
Air Liquide SA | 303 | 38,160 | |
Akzo Nobel NV | 6,050 | 565,455 | |
Arkema SA | 892 | 111,718 | |
BASF AG | 5,389 | 497,973 | |
Croda International PLC | 3,928 | 259,715 | |
Givaudan SA | 222 | 540,084 | |
Johnson Matthey PLC | 489 | 22,163 | |
JSR Corp. | 3,200 | 62,122 | |
K&S AG | 2,277 | 51,790 | |
Kansai Paint Co. Ltd. | 1,600 | 31,637 | |
Linde AG | 3,588 | 817,128 | |
Mitsui Chemicals, Inc. | 2,100 | 54,319 | |
Nitto Denko Corp. | 1,100 | 85,418 | |
Orica Ltd. | 106 | 1,340 | |
Shin-Etsu Chemical Co. Ltd. | 400 | 37,530 | |
Sika AG | 1,232 | 182,655 | |
Symrise AG | 3,585 | 334,817 | |
Synthomer PLC | 2,240 | 16,466 | |
Umicore SA | 1,330 | 74,164 | |
Victrex PLC | 1,437 | 59,020 | |
Yara International ASA | 1,187 | 54,636 | |
3,898,310 | |||
Construction Materials - 0.3% | |||
Anhui Conch Cement Co. Ltd. (H Shares) | 12,000 | 73,082 | |
CRH PLC | 2,150 | 71,325 | |
James Hardie Industries PLC CDI | 3,711 | 56,478 | |
200,885 | |||
Containers & Packaging - 0.1% | |||
Smurfit Kappa Group PLC | 1,636 | 66,806 | |
Metals & Mining - 1.1% | |||
BHP Billiton Ltd. | 5,729 | 137,624 | |
BHP Billiton PLC | 10,171 | 217,604 | |
Boliden AB | 1,753 | 45,890 | |
Glencore Xstrata PLC | 21,991 | 89,394 | |
Randgold Resources Ltd. | 206 | 13,444 | |
Rio Tinto PLC | 4,308 | 204,597 | |
South32 Ltd. | 9,145 | 22,879 | |
731,432 | |||
Paper & Forest Products - 0.1% | |||
Stora Enso Oyj (R Shares) | 2,404 | 44,745 | |
UPM-Kymmene Corp. | 692 | 26,668 | |
71,413 | |||
TOTAL MATERIALS | 4,968,846 | ||
REAL ESTATE - 2.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Aedas Homes SAU (b) | 387 | 12,758 | |
Big Yellow Group PLC | 1,793 | 21,897 | |
Segro PLC | 6,520 | 55,637 | |
90,292 | |||
Real Estate Management & Development - 2.3% | |||
Deutsche Wohnen AG (Bearer) | 5,758 | 291,004 | |
Fabege AB | 1,534 | 20,494 | |
Grand City Properties SA | 6,231 | 169,967 | |
Henderson Land Development Co. Ltd. | 6,340 | 33,523 | |
LEG Immobilien AG | 2,431 | 296,711 | |
Lendlease Group unit | 5,626 | 82,872 | |
Mitsui Fudosan Co. Ltd. | 3,300 | 75,572 | |
Nexity | 339 | 20,678 | |
Sino Land Ltd. | 30,888 | 52,341 | |
TAG Immobilien AG | 2,990 | 73,578 | |
Vonovia SE | 8,992 | 461,232 | |
1,577,972 | |||
TOTAL REAL ESTATE | 1,668,264 | ||
TELECOMMUNICATION SERVICES - 3.9% | |||
Diversified Telecommunication Services - 0.8% | |||
Com Hem Holding AB | 3,180 | 53,654 | |
Deutsche Telekom AG | 8,075 | 130,223 | |
Hellenic Telecommunications Organization SA | 5,043 | 64,332 | |
HKT Trust/HKT Ltd. unit | 44,000 | 56,845 | |
Masmovil Ibercom SA (a) | 151 | 17,054 | |
Nippon Telegraph & Telephone Corp. | 3,400 | 151,269 | |
Spark New Zealand Ltd. | 14,298 | 37,744 | |
Telefonica Deutschland Holding AG | 7,487 | 31,138 | |
542,259 | |||
Wireless Telecommunication Services - 3.1% | |||
Advanced Info Service PCL (For. Reg.) | 12,500 | 77,146 | |
China Mobile Ltd. | 42,268 | 397,436 | |
KDDI Corp. | 26,600 | 703,300 | |
Rogers Communications, Inc. Class B (non-vtg.) | 1,800 | 93,269 | |
SK Telecom Co. Ltd. | 1,378 | 323,812 | |
SoftBank Corp. | 3,700 | 342,573 | |
Vodafone Group PLC | 89,591 | 190,904 | |
2,128,440 | |||
TOTAL TELECOMMUNICATION SERVICES | 2,670,699 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.0% | |||
CLP Holdings Ltd. | 7,500 | 88,151 | |
DONG Energy A/S (b) | 1,108 | 70,046 | |
Fortum Corp. | 5,746 | 145,399 | |
Iberdrola SA | 15,081 | 112,419 | |
Red Electrica Corporacion SA | 1,400 | 29,346 | |
Scottish & Southern Energy PLC | 15,999 | 259,998 | |
705,359 | |||
Gas Utilities - 0.3% | |||
APA Group unit | 9,630 | 69,230 | |
China Resource Gas Group Ltd. | 18,000 | 81,988 | |
Rubis | 345 | 20,423 | |
171,641 | |||
Multi-Utilities - 0.4% | |||
E.ON AG | 19,320 | 206,253 | |
ENGIE | 6,776 | 99,338 | |
305,591 | |||
TOTAL UTILITIES | 1,182,591 | ||
TOTAL COMMON STOCKS | |||
(Cost $47,777,167) | 61,370,116 | ||
Nonconvertible Preferred Stocks - 1.6% | |||
CONSUMER DISCRETIONARY - 0.9% | |||
Automobiles - 0.9% | |||
Porsche Automobil Holding SE (Germany) | 871 | 55,108 | |
Volkswagen AG | 3,405 | 556,650 | |
611,758 | |||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.1% | |||
Ambev SA sponsored ADR | 12,035 | 55,963 | |
Household Products - 0.5% | |||
Henkel AG & Co. KGaA | 2,979 | 380,193 | |
TOTAL CONSUMER STAPLES | 436,156 | ||
HEALTH CARE - 0.0% | |||
Biotechnology - 0.0% | |||
Grifols SA Class B | 760 | 16,403 | |
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Fuchs Petrolub AG | 854 | 50,010 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $936,439) | 1,114,327 | ||
Equity Funds - 2.2% | |||
Other - 2.2% | |||
iShares MSCI Japan ETF | |||
(Cost $1,383,666) | 26,030 | 1,515,471 | |
Principal Amount | |||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 1.89% to 2.09% 9/20/18 to 11/29/18 (d) | |||
(Cost $129,607) | 130,000 | 129,626 | |
Shares | |||
Money Market Funds - 5.5% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (e) | |||
(Cost $3,760,324) | 3,760,324 | 3,760,324 | |
TOTAL INVESTMENT IN SECURITIES - 99.6% | |||
(Cost $53,987,203) | 67,889,864 | ||
NET OTHER ASSETS (LIABILITIES) - 0.4% | 244,358 | ||
NET ASSETS - 100% | $68,134,222 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 6 | Sept. 2018 | $684,750 | $13,775 | $13,775 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 18 | Sept. 2018 | 1,762,920 | 1,814 | 1,814 |
TOTAL FUTURES CONTRACTS | $15,589 |
The notional amount of futures purchased as a percentage of Net Assets is 3.6%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $2,300,568.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) 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 $300,181 or 0.4% of net assets.
(c) Level 3 security
(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 $129,626.
(e) 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 August 31, 2018, 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 | $5,179,277 | $3,760,250 | $1,419,027 | $-- |
Consumer Staples | 7,444,100 | 3,583,868 | 3,860,232 | -- |
Energy | 3,420,199 | 1,384,169 | 2,036,030 | -- |
Financials | 10,353,986 | 7,260,893 | 3,093,093 | -- |
Health Care | 6,608,021 | 2,700,534 | 3,907,487 | -- |
Industrials | 10,154,684 | 7,603,616 | 2,551,068 | -- |
Information Technology | 8,783,766 | 7,192,438 | 1,591,328 | 0 |
Materials | 5,018,856 | 3,876,289 | 1,142,567 | -- |
Real Estate | 1,668,264 | 1,668,264 | -- | -- |
Telecommunication Services | 2,670,699 | 828,618 | 1,842,081 | -- |
Utilities | 1,182,591 | 686,994 | 495,597 | -- |
Equity Funds | 1,515,471 | 1,515,471 | -- | -- |
Other Short-Term Investments | 129,626 | -- | 129,626 | -- |
Money Market Funds | 3,760,324 | 3,760,324 | -- | -- |
Total Investments in Securities: | $67,889,864 | $45,821,728 | $22,068,136 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $15,589 | $15,589 | $-- | $-- |
Total Assets | $15,589 | $15,589 | $-- | $-- |
Total Derivative Instruments: | $15,589 | $15,589 | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2018. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements:
Transfers | Total |
Level 1 to Level 2 | $0 |
Level 2 to Level 1 | $30,995,873 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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) | $15,589 | $0 |
Total Equity Risk | 15,589 | 0 |
Total Value of Derivatives | $15,589 | $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).
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
Japan | 16.8% |
United Kingdom | 15.7% |
United States of America | 11.2% |
Germany | 9.7% |
Switzerland | 9.2% |
France | 8.9% |
Netherlands | 3.4% |
Canada | 2.8% |
Hong Kong | 2.3% |
Spain | 2.2% |
Australia | 2.2% |
Cayman Islands | 1.9% |
Sweden | 1.7% |
Denmark | 1.4% |
Italy | 1.3% |
Korea (South) | 1.2% |
Taiwan | 1.0% |
Ireland | 1.0% |
Others (Individually Less Than 1%) | 6.1% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $53,987,203) | $67,889,864 | |
Cash | 153 | |
Foreign currency held at value (cost $65,900) | 65,900 | |
Receivable for investments sold | 178,046 | |
Receivable for fund shares sold | 13,310 | |
Dividends receivable | 301,133 | |
Interest receivable | 5,849 | |
Prepaid expenses | 245 | |
Other receivables | 1,350 | |
Total assets | 68,455,850 | |
Liabilities | ||
Payable for investments purchased | $191,688 | |
Payable for fund shares redeemed | 14,490 | |
Accrued management fee | 41,091 | |
Distribution and service plan fees payable | 25 | |
Payable for daily variation margin on futures contracts | 10,140 | |
Other affiliated payables | 7,994 | |
Custody fees payable | 32,629 | |
Audit fees payable | 22,220 | |
Other payables and accrued expenses | 1,351 | |
Total liabilities | 321,628 | |
Net Assets | $68,134,222 | |
Net Assets consist of: | ||
Paid in capital | $52,534,879 | |
Undistributed net investment income | 865,157 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 815,202 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 13,918,984 | |
Net Assets | $68,134,222 | |
International Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($67,888,397 ÷ 5,258,070 shares) | $12.91 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($123,646 ÷ 9,588 shares) | $12.90 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($122,179 ÷ 9,493 shares) | $12.87 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $1,293,140 | |
Interest | 32,474 | |
Income before foreign taxes withheld | 1,325,614 | |
Less foreign taxes withheld | (120,575) | |
Total income | 1,205,039 | |
Expenses | ||
Management fee | $218,216 | |
Transfer agent fees | 30,545 | |
Distribution and service plan fees | 154 | |
Accounting fees and expenses | 17,638 | |
Custodian fees and expenses | 50,681 | |
Independent trustees' fees and expenses | 424 | |
Registration fees | 29,182 | |
Audit | 29,531 | |
Legal | 490 | |
Miscellaneous | 328 | |
Total expenses before reductions | 377,189 | |
Expense reductions | (37,788) | |
Total expenses after reductions | 339,401 | |
Net investment income (loss) | 865,638 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,182,959 | |
Foreign currency transactions | (18,750) | |
Futures contracts | (28,014) | |
Total net realized gain (loss) | 1,136,195 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,582,968) | |
Assets and liabilities in foreign currencies | (3,683) | |
Futures contracts | 72,057 | |
Total change in net unrealized appreciation (depreciation) | (2,514,594) | |
Net gain (loss) | (1,378,399) | |
Net increase (decrease) in net assets resulting from operations | $(512,761) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $865,638 | $944,143 |
Net realized gain (loss) | 1,136,195 | 3,841,562 |
Change in net unrealized appreciation (depreciation) | (2,514,594) | 8,007,445 |
Net increase (decrease) in net assets resulting from operations | (512,761) | 12,793,150 |
Distributions to shareholders from net investment income | – | (983,893) |
Distributions to shareholders from net realized gain | (2,156,974) | (646,573) |
Total distributions | (2,156,974) | (1,630,466) |
Share transactions - net increase (decrease) | 2,964,292 | (5,986,157) |
Redemption fees | – | 262 |
Total increase (decrease) in net assets | 294,557 | 5,176,789 |
Net Assets | ||
Beginning of period | 67,839,665 | 62,662,876 |
End of period | $68,134,222 | $67,839,665 |
Other Information | ||
Undistributed net investment income end of period | $865,157 | $– |
Distributions in excess of net investment income end of period | $– | $(481) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.44 | $11.41 | $10.31 | $12.15 | $12.80 | $11.04 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .17 | .17 | .17 | .16 | .17 | .27C |
Net realized and unrealized gain (loss) | (.27) | 2.16 | 1.14 | (1.75) | (.03) | 1.89 |
Total from investment operations | (.10) | 2.33 | 1.31 | (1.59) | .14 | 2.16 |
Distributions from net investment income | – | (.18) | (.17) | (.16)D | (.27) | (.17) |
Distributions from net realized gain | (.43) | (.12) | (.04) | (.09)D | (.52) | (.23) |
Total distributions | (.43) | (.30) | (.21) | (.25) | (.79) | (.40) |
Redemption fees added to paid in capitalB | – | –E | –E | –E | –E | –E |
Net asset value, end of period | $12.91 | $13.44 | $11.41 | $10.31 | $12.15 | $12.80 |
Total ReturnF,G | (.76)% | 20.41% | 12.84% | (13.34)% | 1.25% | 19.74% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.11%I | 1.12% | 1.18% | 1.10% | 1.14% | 1.20% |
Expenses net of fee waivers, if any | 1.00%I | 1.00% | 1.04% | 1.10% | 1.14% | 1.18% |
Expenses net of all reductions | 1.00%I | 1.00% | 1.04% | 1.09% | 1.12% | 1.17% |
Net investment income (loss) | 2.54%I | 1.33% | 1.51% | 1.34% | 1.38% | 2.29%C |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $67,888 | $67,592 | $58,435 | $55,756 | $63,653 | $68,582 |
Portfolio turnover rateJ | 38%I | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects a large, non-recurring dividend which amounted to $.09 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.50%.
D The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
E Amount represents less than $.005 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 class' annualized expense ratios. The class indirectly bears it 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 International Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.42 | $11.40 | $10.30 | $12.14 | $12.80 | $12.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .17 | .17 | .17 | .16 | .17 | .11D |
Net realized and unrealized gain (loss) | (.26) | 2.15 | 1.14 | (1.75) | (.04) | .45 |
Total from investment operations | (.09) | 2.32 | 1.31 | (1.59) | .13 | .56 |
Distributions from net investment income | – | (.18) | (.17) | (.16)E | (.28) | (.17) |
Distributions from net realized gain | (.43) | (.12) | (.04) | (.09)E | (.52) | (.21) |
Total distributions | (.43) | (.30) | (.21) | (.25) | (.79)F | (.38) |
Redemption fees added to paid in capitalC | – | –G | – | –G | –G | –G |
Net asset value, end of period | $12.90 | $13.42 | $11.40 | $10.30 | $12.14 | $12.80 |
Total ReturnH,I | (.69)% | 20.34% | 12.85% | (13.35)% | 1.21% | 4.57% |
Ratios to Average Net AssetsJ | ||||||
Expenses before reductions | 1.11%K | 1.12% | 1.19% | 1.11% | 1.15% | 1.33%K |
Expenses net of fee waivers, if any | 1.00%K | 1.00% | 1.04% | 1.10% | 1.15% | 1.18%K |
Expenses net of all reductions | 1.00%K | 1.00% | 1.04% | 1.09% | 1.13% | 1.17%K |
Net investment income (loss) | 2.54%K | 1.33% | 1.51% | 1.34% | 1.38% | 2.88%D,K |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $124 | $125 | $103 | $92 | $106 | $105 |
Portfolio turnover rateL | 38%K | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Net investment income per share reflects a large, non-recurring dividend which amounted to $.03 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 2.09%.
E The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
F Total distributions of $.79 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.517 per share.
G Amount represents less than $.005 per share.
H Total returns for periods of less than one year are not annualized.
I Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
J 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 class' annualized expense ratios. The class indirectly bears it proportionate share of the expenses of the Underlying Funds.
K Annualized
L 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 International Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.41 | $11.38 | $10.29 | $12.13 | $12.79 | $12.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .15 | .14 | .14 | .13 | .14 | .10D |
Net realized and unrealized gain (loss) | (.27) | 2.15 | 1.14 | (1.75) | (.04) | .45 |
Total from investment operations | (.12) | 2.29 | 1.28 | (1.62) | .10 | .55 |
Distributions from net investment income | – | (.15) | (.15) | (.13)E | (.24) | (.17) |
Distributions from net realized gain | (.42) | (.11) | (.04) | (.09)E | (.52) | (.21) |
Total distributions | (.42) | (.26) | (.19) | (.22) | (.76) | (.38) |
Redemption fees added to paid in capitalC | – | –F | – | –F | –F | –F |
Net asset value, end of period | $12.87 | $13.41 | $11.38 | $10.29 | $12.13 | $12.79 |
Total ReturnG,H | (.88)% | 20.17% | 12.52% | (13.55)% | .95% | 4.45% |
Ratios to Average Net AssetsI | ||||||
Expenses before reductions | 1.36%J | 1.37% | 1.44% | 1.35% | 1.40% | 1.59%J |
Expenses net of fee waivers, if any | 1.25%J | 1.25% | 1.29% | 1.35% | 1.40% | 1.43%J |
Expenses net of all reductions | 1.24%J | 1.24% | 1.29% | 1.34% | 1.38% | 1.42%J |
Net investment income (loss) | 2.29%J | 1.09% | 1.26% | 1.09% | 1.13% | 2.63%D,J |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $122 | $123 | $103 | $91 | $105 | $104 |
Portfolio turnover rateK | 38%J | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Net investment income per share reflects a large, non-recurring dividend which amounted to $.03 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.84%.
E The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
F Amount represents less than $.005 per share.
G Total returns for periods of less than one year are not annualized.
H Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
I 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 class' annualized expense ratios. The class indirectly bears it proportionate share of the expenses of the Underlying Funds.
J Annualized
K 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 August 31, 2018
1. Organization.
Strategic Advisers International 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 International Multi-Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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. 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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018, including information on transfers between Levels 1 and 2, 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. 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), certain independent Trustees have elected 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 of $1,350 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 partnerships, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, 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 | $15,684,479 |
Gross unrealized depreciation | (1,903,131) |
Net unrealized appreciation (depreciation) | $13,781,348 |
Tax cost | $54,124,105 |
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. 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 $13,323,603 and $12,284,601, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .64% of the Fund's average net assets.
Sub-Advisers. Causeway Capital Management, LLC, Massachusetts Financial Services Company (MFS), FIAM LLC (an affiliate of the investment adviser) and William Blair Investment Management, LLP 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.
Arrowstreet Capital, Limited Partnership, FIL Investment Advisors, Geode Capital Management, LLC and Thompson, Siegel & Walmsley LLC 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.
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% | $154 | $154 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
International Multi-Manager | $30,426 | .09 |
Class L | 60 | .10 |
Class N | 59 | .10 |
$30,545 |
(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. For the period, the fees were equivalent to an annualized rate of .05%.
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 $8 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 $97 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 International 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 April 30, 2019. 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 | |
International Multi-Manager | 1.00% | $35,469 |
Class L | 1.00% | 68 |
Class N | 1.25% | 70 |
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 $2,179 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.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
International Multi-Manager | $– | $910,033 |
Class F | – | 70,900 |
Class L | – | 1,617 |
Class N | – | 1,343 |
Total | $– | $983,893 |
From net realized gain | ||
International Multi-Manager | $2,149,132 | $598,181 |
Class F | – | 46,301 |
Class L | 3,963 | 1,063 |
Class N | 3,879 | 1,028 |
Total | $2,156,974 | $646,573 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
International Multi-Manager | ||||
Shares sold | 111,265 | 135,613 | $1,444,543 | $1,766,234 |
Reinvestment of distributions | 166,729 | 113,547 | 2,149,132 | 1,508,214 |
Shares redeemed | (50,003) | (340,698) | (637,225) | (4,549,038) |
Net increase (decrease) | 227,991 | (91,538) | $2,956,450 | $(1,274,590) |
Class F | ||||
Shares sold | – | 165,777 | $– | $2,109,750 |
Reinvestment of distributions | – | 8,801 | – | 117,201 |
Shares redeemed | – | (526,427) | – | (6,943,569) |
Net increase (decrease) | – | (351,849) | $– | $(4,716,618) |
Class L | ||||
Reinvestment of distributions | 307 | 202 | 3,963 | 2,680 |
Net increase (decrease) | 307 | 202 | $3,963 | $2,680 |
Class N | ||||
Reinvestment of distributions | 301 | 178 | 3,879 | 2,371 |
Net increase (decrease) | 301 | 178 | $3,879 | $2,371 |
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 93% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
International Multi-Manager | 1.00% | |||
Actual | $1,000.00 | $992.40 | $5.02 | |
Hypothetical-C | $1,000.00 | $1,020.16 | $5.09 | |
Class L | 1.00% | |||
Actual | $1,000.00 | $993.10 | $5.02 | |
Hypothetical-C | $1,000.00 | $1,020.16 | $5.09 | |
Class N | 1.25% | |||
Actual | $1,000.00 | $991.20 | $6.27 | |
Hypothetical-C | $1,000.00 | $1,018.90 | $6.36 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
STG-SANN-1018
1.938046.106
Strategic Advisers® International Multi-Manager Fund Semi-Annual Report August 31, 2018 |
Contents
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.
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
iShares MSCI Japan ETF | 2.2 |
Nestle SA (Reg. S) | 1.6 |
Roche Holding AG (participation certificate) | 1.4 |
BP PLC | 1.3 |
British American Tobacco PLC (United Kingdom) | 1.2 |
Linde AG | 1.2 |
Amadeus IT Holding SA Class A | 1.1 |
KDDI Corp. | 1.0 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1.0 |
AstraZeneca PLC (United Kingdom) | 1.0 |
13.0 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Financials | 15.2 |
Industrials | 14.9 |
Information Technology | 12.9 |
Consumer Staples | 10.9 |
Health Care | 9.7 |
Geographic Diversification (% of fund's net assets)
As of August 31, 2018 | ||
Japan | 16.8% | |
United Kingdom | 15.7% | |
United States of America* | 11.2% | |
Germany | 9.7% | |
Switzerland | 9.2% | |
France | 8.9% | |
Netherlands | 3.4% | |
Canada | 2.8% | |
Hong Kong | 2.3% | |
Other | 20.0% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 90.1% | |
Preferred Stocks | 1.6% | |
Equity Funds | 2.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 6.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 90.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 6.7% | |||
Auto Components - 0.4% | |||
Akasol AG | 400 | $23,911 | |
Bridgestone Corp. | 1,900 | 69,991 | |
Compagnie Plastic Omnium | 360 | 14,258 | |
Koito Manufacturing Co. Ltd. | 2,400 | 148,393 | |
256,553 | |||
Automobiles - 0.6% | |||
Ferrari NV | 477 | 62,399 | |
Honda Motor Co. Ltd. | 4,300 | 127,380 | |
Isuzu Motors Ltd. | 3,900 | 56,406 | |
Subaru Corp. | 1,600 | 47,535 | |
Suzuki Motor Corp. | 2,200 | 143,155 | |
436,875 | |||
Hotels, Restaurants & Leisure - 1.8% | |||
Aristocrat Leisure Ltd. | 3,280 | 74,489 | |
Carnival PLC | 5,765 | 346,736 | |
Compass Group PLC | 19,934 | 428,613 | |
Galaxy Entertainment Group Ltd. | 11,000 | 81,427 | |
Greggs PLC | 1,519 | 20,934 | |
Huazhu Group Ltd. ADR | 836 | 28,775 | |
Kindred Group PLC (depositary receipt) | 2,093 | 25,724 | |
Melco Crown Entertainment Ltd. sponsored ADR | 2,500 | 59,700 | |
Paddy Power Betfair PLC | 670 | 60,934 | |
Yum China Holdings, Inc. | 2,800 | 108,304 | |
1,235,636 | |||
Household Durables - 0.6% | |||
Iida Group Holdings Co. Ltd. | 1,600 | 29,549 | |
Panasonic Corp. | 7,200 | 85,770 | |
Sony Corp. | 2,600 | 147,843 | |
Techtronic Industries Co. Ltd. | 25,500 | 155,948 | |
419,110 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Ctrip.com International Ltd. ADR (a) | 1,073 | 42,008 | |
MakeMyTrip Ltd. (a) | 784 | 24,814 | |
Start Today Co. Ltd. | 2,000 | 68,941 | |
135,763 | |||
Leisure Products - 0.1% | |||
Bandai Namco Holdings, Inc. | 800 | 31,032 | |
Technogym SpA (b) | 1,409 | 14,033 | |
45,065 | |||
Media - 0.5% | |||
Informa PLC | 2,425 | 23,969 | |
ProSiebenSat.1 Media AG | 1,480 | 38,907 | |
Publicis Groupe SA | 1 | 64 | |
Telenet Group Holding NV | 693 | 37,887 | |
Vivendi SA | 4,814 | 124,888 | |
WPP PLC | 7,930 | 131,516 | |
357,231 | |||
Multiline Retail - 0.1% | |||
B&M European Value Retail S.A. | 3,143 | 16,808 | |
Dollarama, Inc. | 1,435 | 54,266 | |
71,074 | |||
Specialty Retail - 0.6% | |||
Chow Tai Fook Jewellery Group Ltd. | 17,400 | 16,161 | |
Dufry AG | 523 | 64,697 | |
Esprit Holdings Ltd. (a) | 42,350 | 10,036 | |
Hotel Shilla Co. | 210 | 20,334 | |
Mr Price Group Ltd. | 1,719 | 26,360 | |
Nitori Holdings Co. Ltd. | 300 | 45,549 | |
USS Co. Ltd. | 9,400 | 177,239 | |
Via Varejo SA unit | 2,400 | 9,958 | |
WH Smith PLC | 1,588 | 42,493 | |
412,827 | |||
Textiles, Apparel & Luxury Goods - 1.8% | |||
Compagnie Financiere Richemont SA Series A | 2,893 | 255,455 | |
ECLAT Textile Co. Ltd. | 1,000 | 12,163 | |
Gildan Activewear, Inc. | 3,690 | 108,749 | |
Hermes International SCA | 78 | 50,720 | |
Kering SA | 475 | 258,035 | |
Li Ning Co. Ltd. (a) | 20,000 | 21,099 | |
lululemon athletica, Inc. (a) | 536 | 83,042 | |
LVMH Moet Hennessy - Louis Vuitton SA | 657 | 230,312 | |
Moncler SpA | 661 | 29,892 | |
Puma AG | 107 | 58,623 | |
Shenzhou International Group Holdings Ltd. | 3,000 | 39,369 | |
Swatch Group AG (Bearer) | 117 | 49,926 | |
1,197,385 | |||
TOTAL CONSUMER DISCRETIONARY | 4,567,519 | ||
CONSUMER STAPLES - 10.3% | |||
Beverages - 2.0% | |||
Asahi Group Holdings | 3,000 | 135,514 | |
Coca-Cola European Partners PLC | 1,400 | 59,696 | |
Diageo PLC | 12,215 | 427,214 | |
Fever-Tree Drinks PLC | 701 | 33,835 | |
Heineken NV (Bearer) | 2,103 | 207,832 | |
ITO EN Ltd. | 3,200 | 140,545 | |
Kirin Holdings Co. Ltd. | 1,600 | 39,564 | |
Pernod Ricard SA | 1,984 | 313,198 | |
Royal Unibrew A/S | 298 | 25,683 | |
1,383,081 | |||
Food & Staples Retailing - 0.5% | |||
Bidcorp Ltd. | 826 | 17,627 | |
Sundrug Co. Ltd. | 3,000 | 107,731 | |
Tesco PLC | 52,932 | 169,151 | |
294,509 | |||
Food Products - 3.0% | |||
Aryzta AG | 4,296 | 40,263 | |
China Mengniu Dairy Co. Ltd. | 19,000 | 54,830 | |
Danone SA | 6,501 | 511,953 | |
Kerry Group PLC Class A | 1,387 | 158,179 | |
Lindt & Spruengli AG (participation certificate) | 1 | 7,444 | |
M. Dias Branco SA | 1,800 | 18,698 | |
Nestle SA (Reg. S) | 13,254 | 1,111,045 | |
Nissin Food Holdings Co. Ltd. | 500 | 31,905 | |
Toyo Suisan Kaisha Ltd. | 3,300 | 121,623 | |
2,055,940 | |||
Household Products - 1.1% | |||
Colgate-Palmolive Co. | 3,668 | 243,592 | |
Essity AB Class B | 777 | 20,136 | |
Reckitt Benckiser Group PLC | 5,878 | 500,701 | |
764,429 | |||
Personal Products - 2.2% | |||
Kao Corp. | 5,000 | 388,129 | |
Kobayashi Pharmaceutical Co. Ltd. | 2,000 | 143,641 | |
Kose Corp. | 500 | 92,251 | |
L'Oreal SA | 1,391 | 333,738 | |
Pola Orbis Holdings, Inc. | 700 | 24,696 | |
Shiseido Co. Ltd. | 2,700 | 190,125 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 3,372 | 193,895 | |
Unilever PLC | 2,003 | 114,141 | |
1,480,616 | |||
Tobacco - 1.5% | |||
British American Tobacco PLC (United Kingdom) | 17,208 | 832,132 | |
Japan Tobacco, Inc. | 7,500 | 197,237 | |
1,029,369 | |||
TOTAL CONSUMER STAPLES | 7,007,944 | ||
ENERGY - 5.0% | |||
Energy Equipment & Services - 0.3% | |||
Core Laboratories NV | 618 | 70,792 | |
John Wood Group PLC | 3,567 | 33,231 | |
Tenaris SA | 5,751 | 96,506 | |
TGS Nopec Geophysical Co. ASA | 984 | 37,372 | |
237,901 | |||
Oil, Gas & Consumable Fuels - 4.7% | |||
BP PLC | 123,716 | 881,002 | |
Cairn Energy PLC (a) | 22,960 | 71,142 | |
Caltex Australia Ltd. | 3,833 | 83,245 | |
Enbridge, Inc. | 2,494 | 85,064 | |
Encana Corp. | 18,970 | 251,189 | |
Eni SpA | 6,378 | 118,357 | |
Equinor ASA | 5,344 | 137,071 | |
Galp Energia SGPS SA Class B | 4,499 | 91,232 | |
JX Holdings, Inc. | 4,100 | 28,871 | |
Lundin Petroleum AB | 3,922 | 136,249 | |
Neste Oyj | 777 | 67,462 | |
Oil Search Ltd. ADR | 11,802 | 76,021 | |
Royal Dutch Shell PLC: | |||
Class A | 4,102 | 133,411 | |
Class B (United Kingdom) | 10,234 | 338,765 | |
SK Energy Co. Ltd. | 238 | 41,183 | |
Suncor Energy, Inc. | 4,228 | 174,045 | |
Total SA | 7,463 | 467,989 | |
3,182,298 | |||
TOTAL ENERGY | 3,420,199 | ||
FINANCIALS - 15.2% | |||
Banks - 7.8% | |||
AIB Group PLC | 17,169 | 96,536 | |
Akbank T.A.S. | 31,538 | 27,666 | |
Banco Santander SA (Spain) | 8,930 | 44,375 | |
Bankinter SA | 14,382 | 127,942 | |
Barclays PLC | 200,879 | 460,158 | |
BNP Paribas SA | 5,981 | 351,149 | |
BOC Hong Kong (Holdings) Ltd. | 17,000 | 82,956 | |
CaixaBank SA | 40,537 | 180,698 | |
Canadian Imperial Bank of Commerce | 454 | 42,547 | |
Chiba Bank Ltd. | 5,300 | 34,821 | |
Commerzbank AG (a) | 4,755 | 44,955 | |
Credicorp Ltd. (United States) | 261 | 56,903 | |
Danske Bank A/S | 2,322 | 68,316 | |
DBS Group Holdings Ltd. | 4,500 | 81,800 | |
DNB ASA | 2,953 | 60,144 | |
Erste Group Bank AG | 5,131 | 204,106 | |
FinecoBank SpA | 4,208 | 50,139 | |
Hang Seng Bank Ltd. | 2,100 | 56,936 | |
HDFC Bank Ltd. sponsored ADR | 2,684 | 271,809 | |
ING Groep NV (Certificaten Van Aandelen) | 6,468 | 87,860 | |
Intesa Sanpaolo SpA | 85,656 | 211,463 | |
Jyske Bank A/S (Reg.) | 1,823 | 92,481 | |
KBC Groep NV | 4,710 | 334,589 | |
Lloyds Banking Group PLC | 292,735 | 225,500 | |
Mebuki Financial Group, Inc. | 8,600 | 30,496 | |
Metro Bank PLC (a) | 339 | 12,236 | |
Mitsubishi UFJ Financial Group, Inc. | 65,000 | 392,905 | |
Nordea Bank AB | 7,831 | 84,603 | |
North Pacific Bank Ltd. | 7,700 | 25,988 | |
PT Bank Central Asia Tbk | 59,700 | 100,513 | |
Societe Generale Series A | 2,573 | 105,357 | |
Standard Chartered PLC (United Kingdom) | 17,295 | 140,609 | |
Sumitomo Mitsui Financial Group, Inc. | 4,300 | 169,048 | |
Svenska Handelsbanken AB (A Shares) | 10,399 | 126,095 | |
Swedbank AB (A Shares) | 2,471 | 57,498 | |
Sydbank A/S | 864 | 25,292 | |
The Hachijuni Bank Ltd. | 5,200 | 23,213 | |
The Toronto-Dominion Bank | 3,268 | 196,956 | |
Unicaja Banco SA (b) | 22,000 | 34,474 | |
UniCredit SpA | 25,592 | 369,363 | |
United Overseas Bank Ltd. | 4,903 | 96,663 | |
5,287,158 | |||
Capital Markets - 2.2% | |||
3i Group PLC | 5,403 | 62,790 | |
Amundi SA (b) | 264 | 19,030 | |
Banca Generali SpA | 1,356 | 33,305 | |
Close Brothers Group PLC | 717 | 14,836 | |
Credit Suisse Group AG | 6,483 | 97,080 | |
Daiwa Securities Group, Inc. | 4,600 | 27,589 | |
Euronext NV (b) | 231 | 15,176 | |
IG Group Holdings PLC | 3,061 | 35,875 | |
Intermediate Capital Group PLC | 2,056 | 27,961 | |
Julius Baer Group Ltd. | 3,509 | 186,192 | |
London Stock Exchange Group PLC | 1,504 | 90,162 | |
Macquarie Group Ltd. | 1,825 | 169,772 | |
Partners Group Holding AG | 151 | 118,557 | |
St. James's Place Capital PLC | 2,349 | 34,458 | |
Thomson Reuters Corp. | 2,126 | 94,554 | |
TMX Group Ltd. | 1,592 | 106,743 | |
UBS Group AG | 22,422 | 350,123 | |
1,484,203 | |||
Consumer Finance - 0.2% | |||
AEON Financial Service Co. Ltd. | 6,400 | 131,041 | |
Diversified Financial Services - 0.5% | |||
Cerved Information Solutions SpA | 2,947 | 30,718 | |
Challenger Ltd. | 5,924 | 46,122 | |
ORIX Corp. | 9,500 | 152,790 | |
RMB Holdings Ltd. | 5,200 | 29,831 | |
Standard Life PLC | 18,054 | 74,174 | |
Zenkoku Hosho Co. Ltd. | 300 | 12,150 | |
345,785 | |||
Insurance - 4.5% | |||
AIA Group Ltd. | 57,000 | 491,658 | |
Allianz SE | 606 | 129,164 | |
Aon PLC | 1,064 | 154,876 | |
Aviva PLC | 42,233 | 265,705 | |
Beazley PLC | 3,692 | 28,456 | |
Direct Line Insurance Group PLC | 4,258 | 18,267 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 185 | 101,567 | |
Hiscox Ltd. | 11,538 | 252,050 | |
Insurance Australia Group Ltd. | 14,596 | 81,006 | |
Jardine Lloyd Thompson Group PLC | 3,190 | 59,719 | |
Manulife Financial Corp. | 6,600 | 120,772 | |
Muenchener Rueckversicherungs AG | 380 | 81,954 | |
NKSJ Holdings, Inc. | 4,600 | 196,404 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 10,500 | 101,137 | |
Prudential PLC | 18,301 | 411,493 | |
QBE Insurance Group Ltd. | 9,278 | 73,436 | |
Sony Financial Holdings, Inc. | 2,800 | 55,819 | |
Swiss Re Ltd. | 1,458 | 131,111 | |
Tokio Marine Holdings, Inc. | 1,500 | 70,700 | |
Zurich Insurance Group AG | 921 | 280,505 | |
3,105,799 | |||
TOTAL FINANCIALS | 10,353,986 | ||
HEALTH CARE - 9.7% | |||
Biotechnology - 0.5% | |||
3SBio, Inc. (b) | 9,000 | 17,177 | |
Abcam PLC | 1,041 | 20,460 | |
CSL Ltd. | 842 | 137,594 | |
Grifols SA | 833 | 24,492 | |
HUGEL, Inc. (a) | 28 | 10,760 | |
Shire PLC | 1,551 | 90,719 | |
Swedish Orphan Biovitrum AB (a) | 1,290 | 41,104 | |
Wuxi Biologics (Cayman), Inc. (a) | 3,000 | 29,623 | |
371,929 | |||
Health Care Equipment & Supplies - 2.0% | |||
Ambu A/S Series B | 459 | 17,196 | |
ASAHI INTECC Co. Ltd. | 736 | 28,053 | |
Carl Zeiss Meditec AG | 552 | 48,888 | |
Coloplast A/S Series B | 751 | 80,383 | |
Dentsply Sirona, Inc. | 1,309 | 52,255 | |
DiaSorin S.p.A. | 198 | 21,558 | |
Essilor International SA | 1,003 | 144,714 | |
Hoya Corp. | 1,200 | 70,168 | |
Koninklijke Philips Electronics NV | 6,118 | 273,365 | |
Nihon Kohden Corp. | 3,800 | 111,151 | |
Straumann Holding AG | 101 | 80,498 | |
Terumo Corp. | 7,900 | 435,847 | |
1,364,076 | |||
Health Care Providers & Services - 0.2% | |||
NMC Health PLC | 405 | 20,603 | |
Orpea | 265 | 35,835 | |
Sonic Healthcare Ltd. | 3,347 | 63,017 | |
119,455 | |||
Life Sciences Tools & Services - 0.8% | |||
Eurofins Scientific SA | 117 | 66,057 | |
ICON PLC (a) | 430 | 64,079 | |
Lonza Group AG | 739 | 237,807 | |
Morphosys AG (a) | 694 | 81,926 | |
QIAGEN NV (a) | 1,583 | 61,690 | |
511,559 | |||
Pharmaceuticals - 6.2% | |||
AstraZeneca PLC (United Kingdom) | 8,823 | 665,905 | |
Bayer AG | 3,085 | 287,906 | |
Chugai Pharmaceutical Co. Ltd. | 600 | 34,776 | |
CSPC Pharmaceutical Group Ltd. | 18,000 | 45,409 | |
Dechra Pharmaceuticals PLC | 647 | 26,171 | |
GlaxoSmithKline PLC | 7,826 | 158,499 | |
Ipsen SA | 723 | 128,527 | |
Novartis AG | 6,511 | 540,167 | |
Novo Nordisk A/S Series B | 7,700 | 379,042 | |
Recordati SpA | 971 | 34,004 | |
Roche Holding AG (participation certificate) | 3,776 | 936,273 | |
Rohto Pharmaceutical Co. Ltd. | 2,500 | 79,876 | |
Sanofi SA | 1,515 | 130,098 | |
Santen Pharmaceutical Co. Ltd. | 20,000 | 308,163 | |
Shionogi & Co. Ltd. | 700 | 40,673 | |
Takeda Pharmaceutical Co. Ltd. | 10,300 | 429,110 | |
4,224,599 | |||
TOTAL HEALTH CARE | 6,591,618 | ||
INDUSTRIALS - 14.9% | |||
Aerospace & Defense - 1.4% | |||
Airbus Group NV | 1,427 | 176,150 | |
BAE Systems PLC | 7,090 | 55,791 | |
Cobham PLC (a) | 106,948 | 172,484 | |
MTU Aero Engines Holdings AG | 765 | 167,738 | |
Rolls-Royce Holdings PLC | 20,419 | 266,046 | |
Thales SA | 819 | 115,362 | |
953,571 | |||
Air Freight & Logistics - 0.3% | |||
Deutsche Post AG | 3,698 | 134,486 | |
Yamato Holdings Co. Ltd. | 3,200 | 95,156 | |
229,642 | |||
Airlines - 0.5% | |||
Japan Airlines Co. Ltd. | 6,800 | 245,108 | |
Ryanair Holdings PLC sponsored ADR (a) | 622 | 63,363 | |
308,471 | |||
Building Products - 1.2% | |||
Agc, Inc. | 1,600 | 64,081 | |
Belimo Holding AG (Reg.) | 4 | 20,366 | |
Compagnie de St. Gobain | 1,494 | 64,420 | |
Daikin Industries Ltd. | 3,400 | 433,223 | |
Geberit AG (Reg.) | 105 | 47,752 | |
Kingspan Group PLC (Ireland) | 974 | 47,326 | |
Nichias Corp. | 1,000 | 13,005 | |
Toto Ltd. | 3,300 | 139,591 | |
829,764 | |||
Commercial Services & Supplies - 0.9% | |||
Brambles Ltd. | 31,721 | 250,162 | |
Rentokil Initial PLC | 17,857 | 75,240 | |
Ritchie Brothers Auctioneers, Inc. | 1,878 | 71,594 | |
Secom Co. Ltd. | 1,800 | 148,150 | |
Sohgo Security Services Co., Ltd. | 900 | 39,609 | |
584,755 | |||
Construction & Engineering - 1.0% | |||
ACS Actividades de Construccion y Servicios SA | 1,066 | 44,396 | |
Balfour Beatty PLC | 39,817 | 149,545 | |
Bouygues SA | 1,446 | 63,831 | |
Eiffage SA | 578 | 65,052 | |
Taisei Corp. | 1,600 | 71,569 | |
VINCI SA | 2,878 | 275,006 | |
669,399 | |||
Electrical Equipment - 2.3% | |||
ABB Ltd. (Reg.) | 16,559 | 389,992 | |
Legrand SA | 4,392 | 330,861 | |
Melrose Industries PLC | 59,321 | 171,425 | |
Nidec Corp. | 500 | 72,473 | |
Schneider Electric SA | 7,579 | 615,907 | |
1,580,658 | |||
Industrial Conglomerates - 0.2% | |||
Bidvest Group Ltd. | 826 | 12,141 | |
CK Hutchison Holdings Ltd. | 6,920 | 79,747 | |
Nolato AB Series B | 210 | 14,834 | |
Toshiba Corp. (a) | 17,000 | 50,797 | |
157,519 | |||
Machinery - 3.2% | |||
Alfa Laval AB | 5,239 | 140,411 | |
Atlas Copco AB (A Shares) | 3,165 | 90,224 | |
CNH Industrial NV | 5,020 | 60,018 | |
Epiroc AB Class A (a) | 5,097 | 52,948 | |
Fanuc Corp. | 700 | 137,259 | |
GEA Group AG | 5,866 | 222,857 | |
HIWIN Technologies Corp. | 2,060 | 18,608 | |
HIWIN Technologies Corp. rights 8/31/18 (a) | 68 | 60 | |
Hoshizaki Corp. | 900 | 85,375 | |
IMI PLC | 8,916 | 139,635 | |
Interpump Group SpA | 617 | 19,423 | |
KION Group AG | 306 | 20,892 | |
Kubota Corp. | 10,300 | 160,975 | |
Makita Corp. | 600 | 27,216 | |
Minebea Mitsumi, Inc. | 2,800 | 52,568 | |
Misumi Group, Inc. | 3,500 | 90,217 | |
Mitsubishi Heavy Industries Ltd. | 1,100 | 40,848 | |
Nordson Corp. | 809 | 112,467 | |
NORMA Group AG | 218 | 14,449 | |
Rotork PLC | 7,336 | 32,146 | |
Schindler Holding AG (participation certificate) | 776 | 185,103 | |
SMC Corp. | 300 | 99,820 | |
Spirax-Sarco Engineering PLC | 2,289 | 211,588 | |
Sumitomo Heavy Industries Ltd. | 1,200 | 39,042 | |
The Weir Group PLC | 2,786 | 67,705 | |
Wartsila Corp. | 1,380 | 29,137 | |
WashTec AG | 92 | 8,928 | |
2,159,919 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S Series B | 26 | 40,295 | |
Professional Services - 1.7% | |||
51job, Inc. sponsored ADR (a) | 234 | 18,091 | |
Experian PLC | 7,844 | 195,252 | |
Intertek Group PLC | 2,342 | 155,883 | |
Nihon M&A Center, Inc. | 900 | 23,563 | |
Recruit Holdings Co. Ltd. | 2,600 | 79,257 | |
RELX NV | 10,303 | 228,479 | |
SEEK Ltd. | 1,983 | 31,933 | |
SGS SA (Reg.) | 70 | 184,380 | |
SR Teleperformance SA | 265 | 50,908 | |
TechnoPro Holdings, Inc. | 700 | 43,659 | |
Wolters Kluwer NV | 2,389 | 151,408 | |
1,162,813 | |||
Road & Rail - 1.0% | |||
Canadian Pacific Railway Ltd. | 999 | 210,127 | |
DSV de Sammensluttede Vognmaend A/S | 1,700 | 159,301 | |
East Japan Railway Co. | 3,300 | 298,636 | |
Globaltrans Investment PLC GDR (Reg. S) | 1,081 | 11,891 | |
Sankyu, Inc. | 400 | 21,240 | |
701,195 | |||
Trading Companies & Distributors - 0.8% | |||
Ashtead Group PLC | 4,479 | 137,157 | |
Brenntag AG | 1,498 | 90,313 | |
Bunzl PLC | 2,369 | 73,650 | |
Finning International, Inc. | 622 | 14,456 | |
Itochu Corp. | 7,400 | 129,438 | |
MonotaRO Co. Ltd. | 300 | 17,037 | |
Rexel SA | 2,003 | 31,504 | |
Ferguson PLC | 696 | 55,773 | |
549,328 | |||
Transportation Infrastructure - 0.3% | |||
Aena Sme SA | 407 | 72,045 | |
Airports of Thailand PCL (For. Reg.) | 7,600 | 15,500 | |
China Merchants Holdings International Co. Ltd. | 32,346 | 66,021 | |
Kamigumi Co. Ltd. | 900 | 18,274 | |
Malaysia Airports Holdings Bhd | 24,400 | 55,515 | |
227,355 | |||
TOTAL INDUSTRIALS | 10,154,684 | ||
INFORMATION TECHNOLOGY - 12.9% | |||
Communications Equipment - 0.2% | |||
Telefonaktiebolaget LM Ericsson (B Shares) | 16,726 | 141,131 | |
Electronic Equipment & Components - 1.9% | |||
China High Precision Automation Group Ltd. (a)(c) | 15,000 | 0 | |
Electrocomponents PLC | 2,323 | 22,340 | |
Halma PLC | 9,382 | 174,178 | |
Hexagon AB (B Shares) | 1,885 | 111,964 | |
Hirose Electric Co. Ltd. | 892 | 106,131 | |
Hitachi High-Technologies Corp. | 800 | 31,428 | |
Hitachi Ltd. | 19,000 | 124,062 | |
Keyence Corp. | 400 | 226,406 | |
Murata Manufacturing Co. Ltd. | 200 | 34,533 | |
OMRON Corp. | 2,100 | 94,028 | |
Renishaw PLC | 311 | 22,015 | |
Samsung SDI Co. Ltd. | 203 | 42,953 | |
Shimadzu Corp. | 2,100 | 62,276 | |
Spectris PLC | 2,351 | 71,749 | |
TDK Corp. | 700 | 78,688 | |
Topcon Corp. | 1,300 | 22,698 | |
Yokogawa Electric Corp. | 2,500 | 51,278 | |
1,276,727 | |||
Internet Software & Services - 1.7% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 1,168 | 204,412 | |
Baidu.com, Inc. sponsored ADR (a) | 1,435 | 324,999 | |
Baozun, Inc. sponsored ADR (a) | 390 | 20,822 | |
Just Eat Holding Ltd. (a) | 7,377 | 73,317 | |
NAVER Corp. | 131 | 88,323 | |
realestate.com.au Ltd. | 853 | 55,883 | |
Scout24 AG (b) | 916 | 47,378 | |
Shopify, Inc. Class A (a) | 558 | 81,182 | |
Tencent Holdings Ltd. | 3,500 | 150,455 | |
Weibo Corp. sponsored ADR (a) | 377 | 28,931 | |
Wix.com Ltd. (a) | 297 | 32,997 | |
Yandex NV Series A (a) | 662 | 21,270 | |
1,129,969 | |||
IT Services - 3.2% | |||
Adyen BV (b) | 100 | 70,109 | |
Amadeus IT Holding SA Class A | 7,940 | 736,571 | |
Capgemini SA | 1,501 | 192,958 | |
Cognizant Technology Solutions Corp. Class A | 2,219 | 174,036 | |
Endava PLC ADR (a) | 700 | 18,354 | |
EPAM Systems, Inc. (a) | 847 | 121,062 | |
IT Holdings Corp. | 800 | 38,592 | |
MasterCard, Inc. Class A | 428 | 92,260 | |
Netcompany Group A/S | 1,025 | 41,497 | |
Nomura Research Institute Ltd. | 5,900 | 293,646 | |
OBIC Co. Ltd. | 1,500 | 140,941 | |
Wirecard AG | 1,054 | 234,042 | |
2,154,068 | |||
Semiconductors & Semiconductor Equipment - 2.5% | |||
Analog Devices, Inc. | 2,075 | 205,114 | |
ASML Holding NV (Netherlands) | 1,097 | 224,309 | |
Infineon Technologies AG | 6,996 | 177,902 | |
Mellanox Technologies Ltd. (a) | 727 | 60,486 | |
NVIDIA Corp. | 298 | 83,643 | |
Silicon Motion Technology Corp. sponsored ADR | 800 | 47,120 | |
Siltronic AG | 131 | 18,977 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 16,080 | 701,088 | |
Texas Instruments, Inc. | 1,187 | 133,419 | |
Tokyo Electron Ltd. | 300 | 51,075 | |
1,703,133 | |||
Software - 2.9% | |||
ANSYS, Inc. (a) | 880 | 163,662 | |
Aveva Group PLC | 829 | 30,523 | |
Cadence Design Systems, Inc. (a) | 5,997 | 282,099 | |
Check Point Software Technologies Ltd. (a) | 1,476 | 171,496 | |
Dassault Systemes SA | 2,330 | 377,555 | |
Descartes Systems Group, Inc. (Canada) (a) | 413 | 14,419 | |
Micro Focus International PLC | 10,081 | 171,144 | |
Nintendo Co. Ltd. | 400 | 143,980 | |
SAP SE | 4,426 | 531,332 | |
Temenos Group AG | 95 | 17,152 | |
Trend Micro, Inc. | 700 | 44,100 | |
Ubisoft Entertainment SA (a) | 595 | 63,995 | |
2,011,457 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Logitech International SA (Reg.) | 999 | 49,308 | |
Samsung Electronics Co. Ltd. | 7,320 | 317,973 | |
367,281 | |||
TOTAL INFORMATION TECHNOLOGY | 8,783,766 | ||
MATERIALS - 7.3% | |||
Chemicals - 5.7% | |||
Air Liquide SA | 303 | 38,160 | |
Akzo Nobel NV | 6,050 | 565,455 | |
Arkema SA | 892 | 111,718 | |
BASF AG | 5,389 | 497,973 | |
Croda International PLC | 3,928 | 259,715 | |
Givaudan SA | 222 | 540,084 | |
Johnson Matthey PLC | 489 | 22,163 | |
JSR Corp. | 3,200 | 62,122 | |
K&S AG | 2,277 | 51,790 | |
Kansai Paint Co. Ltd. | 1,600 | 31,637 | |
Linde AG | 3,588 | 817,128 | |
Mitsui Chemicals, Inc. | 2,100 | 54,319 | |
Nitto Denko Corp. | 1,100 | 85,418 | |
Orica Ltd. | 106 | 1,340 | |
Shin-Etsu Chemical Co. Ltd. | 400 | 37,530 | |
Sika AG | 1,232 | 182,655 | |
Symrise AG | 3,585 | 334,817 | |
Synthomer PLC | 2,240 | 16,466 | |
Umicore SA | 1,330 | 74,164 | |
Victrex PLC | 1,437 | 59,020 | |
Yara International ASA | 1,187 | 54,636 | |
3,898,310 | |||
Construction Materials - 0.3% | |||
Anhui Conch Cement Co. Ltd. (H Shares) | 12,000 | 73,082 | |
CRH PLC | 2,150 | 71,325 | |
James Hardie Industries PLC CDI | 3,711 | 56,478 | |
200,885 | |||
Containers & Packaging - 0.1% | |||
Smurfit Kappa Group PLC | 1,636 | 66,806 | |
Metals & Mining - 1.1% | |||
BHP Billiton Ltd. | 5,729 | 137,624 | |
BHP Billiton PLC | 10,171 | 217,604 | |
Boliden AB | 1,753 | 45,890 | |
Glencore Xstrata PLC | 21,991 | 89,394 | |
Randgold Resources Ltd. | 206 | 13,444 | |
Rio Tinto PLC | 4,308 | 204,597 | |
South32 Ltd. | 9,145 | 22,879 | |
731,432 | |||
Paper & Forest Products - 0.1% | |||
Stora Enso Oyj (R Shares) | 2,404 | 44,745 | |
UPM-Kymmene Corp. | 692 | 26,668 | |
71,413 | |||
TOTAL MATERIALS | 4,968,846 | ||
REAL ESTATE - 2.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Aedas Homes SAU (b) | 387 | 12,758 | |
Big Yellow Group PLC | 1,793 | 21,897 | |
Segro PLC | 6,520 | 55,637 | |
90,292 | |||
Real Estate Management & Development - 2.3% | |||
Deutsche Wohnen AG (Bearer) | 5,758 | 291,004 | |
Fabege AB | 1,534 | 20,494 | |
Grand City Properties SA | 6,231 | 169,967 | |
Henderson Land Development Co. Ltd. | 6,340 | 33,523 | |
LEG Immobilien AG | 2,431 | 296,711 | |
Lendlease Group unit | 5,626 | 82,872 | |
Mitsui Fudosan Co. Ltd. | 3,300 | 75,572 | |
Nexity | 339 | 20,678 | |
Sino Land Ltd. | 30,888 | 52,341 | |
TAG Immobilien AG | 2,990 | 73,578 | |
Vonovia SE | 8,992 | 461,232 | |
1,577,972 | |||
TOTAL REAL ESTATE | 1,668,264 | ||
TELECOMMUNICATION SERVICES - 3.9% | |||
Diversified Telecommunication Services - 0.8% | |||
Com Hem Holding AB | 3,180 | 53,654 | |
Deutsche Telekom AG | 8,075 | 130,223 | |
Hellenic Telecommunications Organization SA | 5,043 | 64,332 | |
HKT Trust/HKT Ltd. unit | 44,000 | 56,845 | |
Masmovil Ibercom SA (a) | 151 | 17,054 | |
Nippon Telegraph & Telephone Corp. | 3,400 | 151,269 | |
Spark New Zealand Ltd. | 14,298 | 37,744 | |
Telefonica Deutschland Holding AG | 7,487 | 31,138 | |
542,259 | |||
Wireless Telecommunication Services - 3.1% | |||
Advanced Info Service PCL (For. Reg.) | 12,500 | 77,146 | |
China Mobile Ltd. | 42,268 | 397,436 | |
KDDI Corp. | 26,600 | 703,300 | |
Rogers Communications, Inc. Class B (non-vtg.) | 1,800 | 93,269 | |
SK Telecom Co. Ltd. | 1,378 | 323,812 | |
SoftBank Corp. | 3,700 | 342,573 | |
Vodafone Group PLC | 89,591 | 190,904 | |
2,128,440 | |||
TOTAL TELECOMMUNICATION SERVICES | 2,670,699 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.0% | |||
CLP Holdings Ltd. | 7,500 | 88,151 | |
DONG Energy A/S (b) | 1,108 | 70,046 | |
Fortum Corp. | 5,746 | 145,399 | |
Iberdrola SA | 15,081 | 112,419 | |
Red Electrica Corporacion SA | 1,400 | 29,346 | |
Scottish & Southern Energy PLC | 15,999 | 259,998 | |
705,359 | |||
Gas Utilities - 0.3% | |||
APA Group unit | 9,630 | 69,230 | |
China Resource Gas Group Ltd. | 18,000 | 81,988 | |
Rubis | 345 | 20,423 | |
171,641 | |||
Multi-Utilities - 0.4% | |||
E.ON AG | 19,320 | 206,253 | |
ENGIE | 6,776 | 99,338 | |
305,591 | |||
TOTAL UTILITIES | 1,182,591 | ||
TOTAL COMMON STOCKS | |||
(Cost $47,777,167) | 61,370,116 | ||
Nonconvertible Preferred Stocks - 1.6% | |||
CONSUMER DISCRETIONARY - 0.9% | |||
Automobiles - 0.9% | |||
Porsche Automobil Holding SE (Germany) | 871 | 55,108 | |
Volkswagen AG | 3,405 | 556,650 | |
611,758 | |||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.1% | |||
Ambev SA sponsored ADR | 12,035 | 55,963 | |
Household Products - 0.5% | |||
Henkel AG & Co. KGaA | 2,979 | 380,193 | |
TOTAL CONSUMER STAPLES | 436,156 | ||
HEALTH CARE - 0.0% | |||
Biotechnology - 0.0% | |||
Grifols SA Class B | 760 | 16,403 | |
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Fuchs Petrolub AG | 854 | 50,010 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $936,439) | 1,114,327 | ||
Equity Funds - 2.2% | |||
Other - 2.2% | |||
iShares MSCI Japan ETF | |||
(Cost $1,383,666) | 26,030 | 1,515,471 | |
Principal Amount | |||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 1.89% to 2.09% 9/20/18 to 11/29/18 (d) | |||
(Cost $129,607) | 130,000 | 129,626 | |
Shares | |||
Money Market Funds - 5.5% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (e) | |||
(Cost $3,760,324) | 3,760,324 | 3,760,324 | |
TOTAL INVESTMENT IN SECURITIES - 99.6% | |||
(Cost $53,987,203) | 67,889,864 | ||
NET OTHER ASSETS (LIABILITIES) - 0.4% | 244,358 | ||
NET ASSETS - 100% | $68,134,222 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 6 | Sept. 2018 | $684,750 | $13,775 | $13,775 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 18 | Sept. 2018 | 1,762,920 | 1,814 | 1,814 |
TOTAL FUTURES CONTRACTS | $15,589 |
The notional amount of futures purchased as a percentage of Net Assets is 3.6%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $2,300,568.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) 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 $300,181 or 0.4% of net assets.
(c) Level 3 security
(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 $129,626.
(e) 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 August 31, 2018, 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 | $5,179,277 | $3,760,250 | $1,419,027 | $-- |
Consumer Staples | 7,444,100 | 3,583,868 | 3,860,232 | -- |
Energy | 3,420,199 | 1,384,169 | 2,036,030 | -- |
Financials | 10,353,986 | 7,260,893 | 3,093,093 | -- |
Health Care | 6,608,021 | 2,700,534 | 3,907,487 | -- |
Industrials | 10,154,684 | 7,603,616 | 2,551,068 | -- |
Information Technology | 8,783,766 | 7,192,438 | 1,591,328 | 0 |
Materials | 5,018,856 | 3,876,289 | 1,142,567 | -- |
Real Estate | 1,668,264 | 1,668,264 | -- | -- |
Telecommunication Services | 2,670,699 | 828,618 | 1,842,081 | -- |
Utilities | 1,182,591 | 686,994 | 495,597 | -- |
Equity Funds | 1,515,471 | 1,515,471 | -- | -- |
Other Short-Term Investments | 129,626 | -- | 129,626 | -- |
Money Market Funds | 3,760,324 | 3,760,324 | -- | -- |
Total Investments in Securities: | $67,889,864 | $45,821,728 | $22,068,136 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $15,589 | $15,589 | $-- | $-- |
Total Assets | $15,589 | $15,589 | $-- | $-- |
Total Derivative Instruments: | $15,589 | $15,589 | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2018. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements:
Transfers | Total |
Level 1 to Level 2 | $0 |
Level 2 to Level 1 | $30,995,873 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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) | $15,589 | $0 |
Total Equity Risk | 15,589 | 0 |
Total Value of Derivatives | $15,589 | $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).
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
Japan | 16.8% |
United Kingdom | 15.7% |
United States of America | 11.2% |
Germany | 9.7% |
Switzerland | 9.2% |
France | 8.9% |
Netherlands | 3.4% |
Canada | 2.8% |
Hong Kong | 2.3% |
Spain | 2.2% |
Australia | 2.2% |
Cayman Islands | 1.9% |
Sweden | 1.7% |
Denmark | 1.4% |
Italy | 1.3% |
Korea (South) | 1.2% |
Taiwan | 1.0% |
Ireland | 1.0% |
Others (Individually Less Than 1%) | 6.1% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $53,987,203) | $67,889,864 | |
Cash | 153 | |
Foreign currency held at value (cost $65,900) | 65,900 | |
Receivable for investments sold | 178,046 | |
Receivable for fund shares sold | 13,310 | |
Dividends receivable | 301,133 | |
Interest receivable | 5,849 | |
Prepaid expenses | 245 | |
Other receivables | 1,350 | |
Total assets | 68,455,850 | |
Liabilities | ||
Payable for investments purchased | $191,688 | |
Payable for fund shares redeemed | 14,490 | |
Accrued management fee | 41,091 | |
Distribution and service plan fees payable | 25 | |
Payable for daily variation margin on futures contracts | 10,140 | |
Other affiliated payables | 7,994 | |
Custody fees payable | 32,629 | |
Audit fees payable | 22,220 | |
Other payables and accrued expenses | 1,351 | |
Total liabilities | 321,628 | |
Net Assets | $68,134,222 | |
Net Assets consist of: | ||
Paid in capital | $52,534,879 | |
Undistributed net investment income | 865,157 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 815,202 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 13,918,984 | |
Net Assets | $68,134,222 | |
International Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($67,888,397 ÷ 5,258,070 shares) | $12.91 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($123,646 ÷ 9,588 shares) | $12.90 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($122,179 ÷ 9,493 shares) | $12.87 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $1,293,140 | |
Interest | 32,474 | |
Income before foreign taxes withheld | 1,325,614 | |
Less foreign taxes withheld | (120,575) | |
Total income | 1,205,039 | |
Expenses | ||
Management fee | $218,216 | |
Transfer agent fees | 30,545 | |
Distribution and service plan fees | 154 | |
Accounting fees and expenses | 17,638 | |
Custodian fees and expenses | 50,681 | |
Independent trustees' fees and expenses | 424 | |
Registration fees | 29,182 | |
Audit | 29,531 | |
Legal | 490 | |
Miscellaneous | 328 | |
Total expenses before reductions | 377,189 | |
Expense reductions | (37,788) | |
Total expenses after reductions | 339,401 | |
Net investment income (loss) | 865,638 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,182,959 | |
Foreign currency transactions | (18,750) | |
Futures contracts | (28,014) | |
Total net realized gain (loss) | 1,136,195 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,582,968) | |
Assets and liabilities in foreign currencies | (3,683) | |
Futures contracts | 72,057 | |
Total change in net unrealized appreciation (depreciation) | (2,514,594) | |
Net gain (loss) | (1,378,399) | |
Net increase (decrease) in net assets resulting from operations | $(512,761) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $865,638 | $944,143 |
Net realized gain (loss) | 1,136,195 | 3,841,562 |
Change in net unrealized appreciation (depreciation) | (2,514,594) | 8,007,445 |
Net increase (decrease) in net assets resulting from operations | (512,761) | 12,793,150 |
Distributions to shareholders from net investment income | – | (983,893) |
Distributions to shareholders from net realized gain | (2,156,974) | (646,573) |
Total distributions | (2,156,974) | (1,630,466) |
Share transactions - net increase (decrease) | 2,964,292 | (5,986,157) |
Redemption fees | – | 262 |
Total increase (decrease) in net assets | 294,557 | 5,176,789 |
Net Assets | ||
Beginning of period | 67,839,665 | 62,662,876 |
End of period | $68,134,222 | $67,839,665 |
Other Information | ||
Undistributed net investment income end of period | $865,157 | $– |
Distributions in excess of net investment income end of period | $– | $(481) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.44 | $11.41 | $10.31 | $12.15 | $12.80 | $11.04 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .17 | .17 | .17 | .16 | .17 | .27C |
Net realized and unrealized gain (loss) | (.27) | 2.16 | 1.14 | (1.75) | (.03) | 1.89 |
Total from investment operations | (.10) | 2.33 | 1.31 | (1.59) | .14 | 2.16 |
Distributions from net investment income | – | (.18) | (.17) | (.16)D | (.27) | (.17) |
Distributions from net realized gain | (.43) | (.12) | (.04) | (.09)D | (.52) | (.23) |
Total distributions | (.43) | (.30) | (.21) | (.25) | (.79) | (.40) |
Redemption fees added to paid in capitalB | – | –E | –E | –E | –E | –E |
Net asset value, end of period | $12.91 | $13.44 | $11.41 | $10.31 | $12.15 | $12.80 |
Total ReturnF,G | (.76)% | 20.41% | 12.84% | (13.34)% | 1.25% | 19.74% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | 1.11%I | 1.12% | 1.18% | 1.10% | 1.14% | 1.20% |
Expenses net of fee waivers, if any | 1.00%I | 1.00% | 1.04% | 1.10% | 1.14% | 1.18% |
Expenses net of all reductions | 1.00%I | 1.00% | 1.04% | 1.09% | 1.12% | 1.17% |
Net investment income (loss) | 2.54%I | 1.33% | 1.51% | 1.34% | 1.38% | 2.29%C |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $67,888 | $67,592 | $58,435 | $55,756 | $63,653 | $68,582 |
Portfolio turnover rateJ | 38%I | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects a large, non-recurring dividend which amounted to $.09 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.50%.
D The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
E Amount represents less than $.005 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 class' annualized expense ratios. The class indirectly bears it 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 International Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.42 | $11.40 | $10.30 | $12.14 | $12.80 | $12.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .17 | .17 | .17 | .16 | .17 | .11D |
Net realized and unrealized gain (loss) | (.26) | 2.15 | 1.14 | (1.75) | (.04) | .45 |
Total from investment operations | (.09) | 2.32 | 1.31 | (1.59) | .13 | .56 |
Distributions from net investment income | – | (.18) | (.17) | (.16)E | (.28) | (.17) |
Distributions from net realized gain | (.43) | (.12) | (.04) | (.09)E | (.52) | (.21) |
Total distributions | (.43) | (.30) | (.21) | (.25) | (.79)F | (.38) |
Redemption fees added to paid in capitalC | – | –G | – | –G | –G | –G |
Net asset value, end of period | $12.90 | $13.42 | $11.40 | $10.30 | $12.14 | $12.80 |
Total ReturnH,I | (.69)% | 20.34% | 12.85% | (13.35)% | 1.21% | 4.57% |
Ratios to Average Net AssetsJ | ||||||
Expenses before reductions | 1.11%K | 1.12% | 1.19% | 1.11% | 1.15% | 1.33%K |
Expenses net of fee waivers, if any | 1.00%K | 1.00% | 1.04% | 1.10% | 1.15% | 1.18%K |
Expenses net of all reductions | 1.00%K | 1.00% | 1.04% | 1.09% | 1.13% | 1.17%K |
Net investment income (loss) | 2.54%K | 1.33% | 1.51% | 1.34% | 1.38% | 2.88%D,K |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $124 | $125 | $103 | $92 | $106 | $105 |
Portfolio turnover rateL | 38%K | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Net investment income per share reflects a large, non-recurring dividend which amounted to $.03 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 2.09%.
E The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
F Total distributions of $.79 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.517 per share.
G Amount represents less than $.005 per share.
H Total returns for periods of less than one year are not annualized.
I Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
J 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 class' annualized expense ratios. The class indirectly bears it proportionate share of the expenses of the Underlying Funds.
K Annualized
L 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 International Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.41 | $11.38 | $10.29 | $12.13 | $12.79 | $12.62 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .15 | .14 | .14 | .13 | .14 | .10D |
Net realized and unrealized gain (loss) | (.27) | 2.15 | 1.14 | (1.75) | (.04) | .45 |
Total from investment operations | (.12) | 2.29 | 1.28 | (1.62) | .10 | .55 |
Distributions from net investment income | – | (.15) | (.15) | (.13)E | (.24) | (.17) |
Distributions from net realized gain | (.42) | (.11) | (.04) | (.09)E | (.52) | (.21) |
Total distributions | (.42) | (.26) | (.19) | (.22) | (.76) | (.38) |
Redemption fees added to paid in capitalC | – | –F | – | –F | –F | –F |
Net asset value, end of period | $12.87 | $13.41 | $11.38 | $10.29 | $12.13 | $12.79 |
Total ReturnG,H | (.88)% | 20.17% | 12.52% | (13.55)% | .95% | 4.45% |
Ratios to Average Net AssetsI | ||||||
Expenses before reductions | 1.36%J | 1.37% | 1.44% | 1.35% | 1.40% | 1.59%J |
Expenses net of fee waivers, if any | 1.25%J | 1.25% | 1.29% | 1.35% | 1.40% | 1.43%J |
Expenses net of all reductions | 1.24%J | 1.24% | 1.29% | 1.34% | 1.38% | 1.42%J |
Net investment income (loss) | 2.29%J | 1.09% | 1.26% | 1.09% | 1.13% | 2.63%D,J |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $122 | $123 | $103 | $91 | $105 | $104 |
Portfolio turnover rateK | 38%J | 46% | 50% | 42% | 41% | 46% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Net investment income per share reflects a large, non-recurring dividend which amounted to $.03 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.84%.
E The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
F Amount represents less than $.005 per share.
G Total returns for periods of less than one year are not annualized.
H Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
I 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 class' annualized expense ratios. The class indirectly bears it proportionate share of the expenses of the Underlying Funds.
J Annualized
K 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 August 31, 2018
1. Organization.
Strategic Advisers International 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 International Multi-Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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. 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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018, including information on transfers between Levels 1 and 2, 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. 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), certain independent Trustees have elected 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 of $1,350 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 partnerships, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, 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 | $15,684,479 |
Gross unrealized depreciation | (1,903,131) |
Net unrealized appreciation (depreciation) | $13,781,348 |
Tax cost | $54,124,105 |
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. 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 $13,323,603 and $12,284,601, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 .64% of the Fund's average net assets.
Sub-Advisers. Causeway Capital Management, LLC, Massachusetts Financial Services Company (MFS), FIAM LLC (an affiliate of the investment adviser) and William Blair Investment Management, LLP 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.
Arrowstreet Capital, Limited Partnership, FIL Investment Advisors, Geode Capital Management, LLC and Thompson, Siegel & Walmsley LLC 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.
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% | $154 | $154 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
International Multi-Manager | $30,426 | .09 |
Class L | 60 | .10 |
Class N | 59 | .10 |
$30,545 |
(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. For the period, the fees were equivalent to an annualized rate of .05%.
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 $8 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 $97 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 International 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 April 30, 2019. 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 | |
International Multi-Manager | 1.00% | $35,469 |
Class L | 1.00% | 68 |
Class N | 1.25% | 70 |
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 $2,179 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.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
International Multi-Manager | $– | $910,033 |
Class F | – | 70,900 |
Class L | – | 1,617 |
Class N | – | 1,343 |
Total | $– | $983,893 |
From net realized gain | ||
International Multi-Manager | $2,149,132 | $598,181 |
Class F | – | 46,301 |
Class L | 3,963 | 1,063 |
Class N | 3,879 | 1,028 |
Total | $2,156,974 | $646,573 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
International Multi-Manager | ||||
Shares sold | 111,265 | 135,613 | $1,444,543 | $1,766,234 |
Reinvestment of distributions | 166,729 | 113,547 | 2,149,132 | 1,508,214 |
Shares redeemed | (50,003) | (340,698) | (637,225) | (4,549,038) |
Net increase (decrease) | 227,991 | (91,538) | $2,956,450 | $(1,274,590) |
Class F | ||||
Shares sold | – | 165,777 | $– | $2,109,750 |
Reinvestment of distributions | – | 8,801 | – | 117,201 |
Shares redeemed | – | (526,427) | – | (6,943,569) |
Net increase (decrease) | –�� | (351,849) | $– | $(4,716,618) |
Class L | ||||
Reinvestment of distributions | 307 | 202 | 3,963 | 2,680 |
Net increase (decrease) | 307 | 202 | $3,963 | $2,680 |
Class N | ||||
Reinvestment of distributions | 301 | 178 | 3,879 | 2,371 |
Net increase (decrease) | 301 | 178 | $3,879 | $2,371 |
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 93% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
International Multi-Manager | 1.00% | |||
Actual | $1,000.00 | $992.40 | $5.02 | |
Hypothetical-C | $1,000.00 | $1,020.16 | $5.09 | |
Class L | 1.00% | |||
Actual | $1,000.00 | $993.10 | $5.02 | |
Hypothetical-C | $1,000.00 | $1,020.16 | $5.09 | |
Class N | 1.25% | |||
Actual | $1,000.00 | $991.20 | $6.27 | |
Hypothetical-C | $1,000.00 | $1,018.90 | $6.36 |
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 184/365 (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
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
STG-L-STG-N-SANN-1018
1.9585953.104
Strategic Advisers® Small-Mid Cap Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Semi-Annual Report August 31, 2018 |
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Small-Mid Cap 500 Index Fund | 4.1 |
Fidelity Small Cap Index Fund Institutional Premium Class | 4.1 |
AB Discovery Value Fund Advisor Class | 3.2 |
Fidelity SAI Real Estate Index Fund | 1.1 |
Skechers U.S.A., Inc. Class A (sub. vtg.) | 0.7 |
SVB Financial Group | 0.5 |
SS&C Technologies Holdings, Inc. | 0.5 |
Ciena Corp. | 0.4 |
Euronet Worldwide, Inc. | 0.4 |
Pool Corp. | 0.4 |
15.4 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Information Technology | 18.6 |
Industrials | 15.7 |
Consumer Discretionary | 12.8 |
Financials | 12.6 |
Health Care | 11.1 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 85.3% | |
Mid-Cap Blend Funds | 4.1% | |
Small Blend Funds | 4.1% | |
Small Growth Funds | 0.1% | |
Small Value Funds | 3.4% | |
Sector Funds | 1.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 85.3% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 12.8% | |||
Auto Components - 0.9% | |||
American Axle & Manufacturing Holdings, Inc. (a) | 277,421 | $4,913,126 | |
BorgWarner, Inc. | 133,700 | 5,852,049 | |
Cooper Tire & Rubber Co. | 192,451 | 5,552,211 | |
Cooper-Standard Holding, Inc. (a) | 49,200 | 6,810,756 | |
Dana Holding Corp. | 342,877 | 6,710,103 | |
Delphi Technologies PLC | 287,563 | 10,130,844 | |
Dorman Products, Inc. (a) | 20,150 | 1,631,747 | |
Gentex Corp. | 190,230 | 4,447,577 | |
LCI Industries | 112,945 | 10,498,238 | |
Lear Corp. | 41,700 | 6,763,740 | |
Standard Motor Products, Inc. | 41,066 | 2,084,921 | |
The Goodyear Tire & Rubber Co. | 283,110 | 6,423,766 | |
Tower International, Inc. | 91,500 | 3,092,700 | |
Visteon Corp. (a) | 69,090 | 7,626,845 | |
82,538,623 | |||
Automobiles - 0.3% | |||
Harley-Davidson, Inc. | 115,400 | 4,918,348 | |
Thor Industries, Inc. | 185,684 | 17,721,681 | |
22,640,029 | |||
Distributors - 0.6% | |||
LKQ Corp. (a) | 440,943 | 15,221,352 | |
Pool Corp. | 222,995 | 36,629,159 | |
51,850,511 | |||
Diversified Consumer Services - 1.1% | |||
American Public Education, Inc. (a) | 10,662 | 370,505 | |
Bright Horizons Family Solutions, Inc. (a) | 199,772 | 23,858,770 | |
Chegg, Inc. (a) | 152,759 | 4,946,336 | |
Grand Canyon Education, Inc. (a) | 236,759 | 28,207,467 | |
ServiceMaster Global Holdings, Inc. (a) | 588,724 | 35,482,395 | |
Sotheby's Class A (Ltd. vtg.) (a) | 70,491 | 3,384,978 | |
Strategic Education, Inc. | 29,927 | 4,152,970 | |
100,403,421 | |||
Hotels, Restaurants & Leisure - 2.4% | |||
Bloomin' Brands, Inc. | 137,900 | 2,661,470 | |
Bojangles', Inc. (a) | 11,112 | 162,235 | |
Boyd Gaming Corp. | 126,002 | 4,588,993 | |
Brinker International, Inc. | 32,896 | 1,456,635 | |
Carrols Restaurant Group, Inc. (a) | 393,245 | 6,213,271 | |
Cedar Fair LP (depositary unit) | 127,382 | 6,769,079 | |
Chipotle Mexican Grill, Inc. (a) | 6,740 | 3,202,713 | |
Choice Hotels International, Inc. | 23,863 | 1,862,507 | |
Cracker Barrel Old Country Store, Inc. (b) | 15,974 | 2,381,564 | |
Dave & Buster's Entertainment, Inc. (a) | 288,698 | 16,793,563 | |
Denny's Corp. (a) | 48,601 | 732,417 | |
Dunkin' Brands Group, Inc. | 97,646 | 7,117,417 | |
Extended Stay America, Inc. unit | 208,572 | 4,208,983 | |
Fiesta Restaurant Group, Inc. (a) | 42,226 | 1,213,998 | |
Hilton Grand Vacations, Inc. (a) | 384,526 | 12,558,619 | |
Hyatt Hotels Corp. Class A | 25,449 | 1,968,735 | |
International Game Technology PLC | 221,040 | 4,650,682 | |
Jack in the Box, Inc. | 58,137 | 5,269,538 | |
Marriott International, Inc. Class A | 39,429 | 4,986,586 | |
Norwegian Cruise Line Holdings Ltd. (a) | 328,974 | 17,636,296 | |
Papa John's International, Inc. (b) | 17,595 | 811,481 | |
Penn National Gaming, Inc. (a) | 290,714 | 10,018,004 | |
Planet Fitness, Inc. (a) | 166,939 | 8,575,656 | |
Red Lion Hotels Corp. (a) | 502,304 | 6,856,450 | |
Ruth's Hospitality Group, Inc. | 19,644 | 605,035 | |
Six Flags Entertainment Corp. (b) | 173,040 | 11,688,852 | |
Sonic Corp. | 30,314 | 1,087,060 | |
Texas Roadhouse, Inc. Class A | 42,620 | 2,938,649 | |
The Cheesecake Factory, Inc. (b) | 196,663 | 10,456,572 | |
U.S. Foods Holding Corp. (a) | 128,289 | 4,180,939 | |
Vail Resorts, Inc. | 82,040 | 24,452,022 | |
Wendy's Co. | 396,890 | 7,005,109 | |
Wingstop, Inc. | 75,273 | 5,039,527 | |
Wyndham Destinations, Inc. | 115,422 | 5,101,652 | |
Wyndham Hotels & Resorts, Inc. | 42,300 | 2,400,525 | |
207,652,834 | |||
Household Durables - 0.9% | |||
Beazer Homes U.S.A., Inc. (a) | 201,100 | 2,576,091 | |
Cavco Industries, Inc. (a) | 5,599 | 1,373,995 | |
D.R. Horton, Inc. | 197,962 | 8,811,289 | |
Ethan Allen Interiors, Inc. | 16,847 | 374,846 | |
Garmin Ltd. | 76,335 | 5,201,467 | |
Hamilton Beach Brands Holding Co. Class A | 5,370 | 124,316 | |
Helen of Troy Ltd. (a) | 58,721 | 6,984,863 | |
iRobot Corp. (a)(b) | 18,864 | 2,141,064 | |
La-Z-Boy, Inc. | 151,825 | 5,048,181 | |
Leggett & Platt, Inc. | 138,570 | 6,296,621 | |
LGI Homes, Inc. (a)(b) | 71,700 | 4,129,920 | |
M.D.C. Holdings, Inc. | 197,580 | 6,263,286 | |
Newell Brands, Inc. | 483,975 | 10,511,937 | |
PulteGroup, Inc. | 117,900 | 3,295,305 | |
Skyline Champion Corp. | 14,242 | 411,736 | |
Toll Brothers, Inc. | 158,280 | 5,734,484 | |
TopBuild Corp. (a) | 41,431 | 2,580,323 | |
Whirlpool Corp. | 34,600 | 4,324,308 | |
William Lyon Homes, Inc. (a) | 100,530 | 1,967,372 | |
78,151,404 | |||
Internet & Direct Marketing Retail - 0.3% | |||
Expedia, Inc. | 6,055 | 790,178 | |
Groupon, Inc. (a) | 210,931 | 900,675 | |
Liberty Interactive Corp. QVC Group Series A (a) | 77,027 | 1,601,391 | |
NutriSystem, Inc. | 19,453 | 719,761 | |
PetMed Express, Inc. (b) | 13,599 | 498,947 | |
Shutterfly, Inc. (a) | 134,404 | 10,440,503 | |
U.S. Auto Parts Network, Inc. (a) | 1,426,416 | 2,082,567 | |
Wayfair LLC Class A (a) | 42,040 | 5,682,547 | |
22,716,569 | |||
Leisure Products - 0.6% | |||
Brunswick Corp. | 439,427 | 29,186,741 | |
Polaris Industries, Inc. | 207,746 | 22,530,054 | |
Sturm, Ruger & Co., Inc. | 12,567 | 822,510 | |
52,539,305 | |||
Media - 1.2% | |||
Altice U.S.A., Inc. Class A | 409,727 | 7,342,308 | |
AMC Networks, Inc. Class A (a) | 155,599 | 9,773,173 | |
Cinemark Holdings, Inc. | 636,481 | 23,753,471 | |
Criteo SA sponsored ADR (a) | 509,876 | 12,650,024 | |
Discovery Communications, Inc. Class A (a)(b) | 184,305 | 5,129,208 | |
E.W. Scripps Co. Class A | 96,217 | 1,411,503 | |
Entercom Communications Corp. Class A (b) | 302,451 | 2,374,240 | |
Entravision Communication Corp. Class A | 43,318 | 227,420 | |
Interpublic Group of Companies, Inc. | 258,042 | 6,025,281 | |
Lions Gate Entertainment Corp. Class B | 50,988 | 1,144,681 | |
Live Nation Entertainment, Inc. (a) | 252,045 | 12,521,596 | |
National CineMedia, Inc. | 934,687 | 8,505,652 | |
Nexstar Broadcasting Group, Inc. Class A | 46,547 | 3,816,854 | |
Omnicom Group, Inc. | 20,197 | 1,400,056 | |
Scholastic Corp. | 25,143 | 1,057,012 | |
Sinclair Broadcast Group, Inc. Class A | 218,903 | 6,337,242 | |
Tegna, Inc. | 81,579 | 949,580 | |
104,419,301 | |||
Multiline Retail - 0.2% | |||
Big Lots, Inc. | 29,491 | 1,269,588 | |
Dillard's, Inc. Class A (b) | 46,400 | 3,646,112 | |
Kohl's Corp. | 96,200 | 7,610,382 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 64,215 | 5,593,127 | |
Tuesday Morning Corp. (a)(b) | 584,566 | 1,782,926 | |
19,902,135 | |||
Specialty Retail - 2.3% | |||
Aaron's, Inc. Class A | 403,057 | 20,039,994 | |
Advance Auto Parts, Inc. | 31,367 | 5,145,129 | |
American Eagle Outfitters, Inc. | 171,000 | 4,439,160 | |
At Home Group, Inc. (a) | 180,830 | 6,222,360 | |
Bed Bath & Beyond, Inc. | 101,024 | 1,812,371 | |
Burlington Stores, Inc. (a) | 70,768 | 11,901,762 | |
Cars.com, Inc. (a) | 47,414 | 1,275,911 | |
Conn's, Inc. (a)(b) | 135,625 | 5,560,625 | |
Dick's Sporting Goods, Inc. | 118,139 | 4,423,124 | |
DSW, Inc. Class A | 50,787 | 1,689,176 | |
Five Below, Inc. (a) | 62,909 | 7,327,011 | |
Floor & Decor Holdings, Inc. Class A (a) | 56,247 | 2,067,640 | |
Foot Locker, Inc. | 279,463 | 13,777,526 | |
Gap, Inc. | 145,662 | 4,420,842 | |
Group 1 Automotive, Inc. | 79,307 | 6,113,777 | |
Haverty Furniture Companies, Inc. | 104,300 | 2,305,030 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 110,382 | 9,537,005 | |
Monro, Inc. | 177,689 | 12,607,035 | |
Murphy U.S.A., Inc. (a) | 55,900 | 4,638,582 | |
Office Depot, Inc. | 814,600 | 2,728,910 | |
Penske Automotive Group, Inc. | 90,200 | 4,747,226 | |
Ross Stores, Inc. | 34,641 | 3,317,915 | |
Sally Beauty Holdings, Inc. (a) | 1,489,808 | 22,943,043 | |
Signet Jewelers Ltd. | 46,200 | 2,966,040 | |
Sleep Number Corp. (a) | 29,772 | 1,003,316 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 111,800 | 2,403,700 | |
The Buckle, Inc. (b) | 18,483 | 475,937 | |
The Children's Place Retail Stores, Inc. | 105,343 | 14,827,027 | |
Tractor Supply Co. | 144,212 | 12,731,035 | |
Urban Outfitters, Inc. (a) | 58,668 | 2,726,889 | |
Williams-Sonoma, Inc. (b) | 54,076 | 3,797,757 | |
199,972,855 | |||
Textiles, Apparel & Luxury Goods - 2.0% | |||
Carter's, Inc. | 248,959 | 26,372,227 | |
Hanesbrands, Inc. | 1,029,285 | 18,053,659 | |
lululemon athletica, Inc. (a) | 106,207 | 16,454,651 | |
Michael Kors Holdings Ltd. (a) | 156,510 | 11,365,756 | |
Oxford Industries, Inc. | 29,421 | 2,738,801 | |
PetIQ, Inc. Class A (a)(b) | 27,722 | 1,085,594 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 2,061,855 | 60,783,485 | |
Steven Madden Ltd. | 179,766 | 10,453,393 | |
Switch, Inc. Class A (b) | 760,227 | 8,788,224 | |
Under Armour, Inc. Class C (non-vtg.) (a) | 419,963 | 7,966,698 | |
Wolverine World Wide, Inc. | 275,457 | 10,792,405 | |
174,854,893 | |||
TOTAL CONSUMER DISCRETIONARY | 1,117,641,880 | ||
CONSUMER STAPLES - 2.0% | |||
Beverages - 0.1% | |||
Boston Beer Co., Inc. Class A (a) | 6,001 | 1,819,203 | |
National Beverage Corp. | 7,711 | 908,664 | |
Primo Water Corp. (a) | 333,713 | 6,674,260 | |
9,402,127 | |||
Food & Staples Retailing - 0.4% | |||
Casey's General Stores, Inc. | 59,942 | 6,843,578 | |
Performance Food Group Co. (a) | 531,681 | 17,598,641 | |
SpartanNash Co. | 65,200 | 1,392,020 | |
SUPERVALU, Inc. (a) | 79,800 | 2,576,742 | |
Weis Markets, Inc. | 59,580 | 2,775,832 | |
31,186,813 | |||
Food Products - 0.9% | |||
Farmer Brothers Co. (a) | 142,579 | 4,134,791 | |
Flowers Foods, Inc. | 121,330 | 2,444,800 | |
Fresh Del Monte Produce, Inc. | 177,144 | 6,632,271 | |
Ingredion, Inc. | 104,846 | 10,596,785 | |
Lamb Weston Holdings, Inc. | 353,715 | 23,911,134 | |
Lancaster Colony Corp. | 12,933 | 2,021,040 | |
Nomad Foods Ltd. (a) | 193,518 | 4,034,850 | |
Pilgrim's Pride Corp. (a) | 199,300 | 3,685,057 | |
Post Holdings, Inc. (a) | 79,253 | 7,708,147 | |
Sanderson Farms, Inc. | 35,100 | 3,712,176 | |
The Hain Celestial Group, Inc. (a) | 130,575 | 3,729,222 | |
The Simply Good Foods Co. (a) | 464,400 | 8,359,200 | |
80,969,473 | |||
Household Products - 0.4% | |||
Central Garden & Pet Co. (a)(b) | 107,863 | 4,282,161 | |
Church & Dwight Co., Inc. | 146,000 | 8,260,680 | |
Energizer Holdings, Inc. | 240,743 | 15,308,847 | |
Spectrum Brands Holdings, Inc. | 46,438 | 4,033,140 | |
WD-40 Co. | 9,398 | 1,667,675 | |
33,552,503 | |||
Personal Products - 0.2% | |||
Edgewell Personal Care Co. (a) | 36,676 | 2,071,094 | |
elf Beauty, Inc. (a)(b) | 361,102 | 5,015,707 | |
Herbalife Nutrition Ltd. (a) | 92,665 | 5,243,912 | |
MediFast, Inc. | 7,395 | 1,691,606 | |
Natural Health Trends Corp. | 4,520 | 119,644 | |
USANA Health Sciences, Inc. (a) | 6,946 | 916,525 | |
15,058,488 | |||
Tobacco - 0.0% | |||
Universal Corp. | 60,059 | 3,591,528 | |
TOTAL CONSUMER STAPLES | 173,760,932 | ||
ENERGY - 3.9% | |||
Energy Equipment & Services - 0.9% | |||
Core Laboratories NV (b) | 145,043 | 16,614,676 | |
Dril-Quip, Inc. (a) | 118,587 | 6,243,606 | |
Forum Energy Technologies, Inc. (a) | 244,000 | 2,915,800 | |
Helmerich & Payne, Inc. | 27,408 | 1,797,143 | |
Matrix Service Co. (a) | 53,000 | 1,107,700 | |
McDermott International, Inc. (a) | 424,665 | 8,213,021 | |
Oceaneering International, Inc. | 205,414 | 5,807,054 | |
Patterson-UTI Energy, Inc. | 938,533 | 16,077,070 | |
RigNet, Inc. (a) | 292,697 | 4,770,961 | |
RPC, Inc. (b) | 220,759 | 3,019,983 | |
Superior Energy Services, Inc. (a) | 297,334 | 2,676,006 | |
TechnipFMC PLC | 126,739 | 3,882,016 | |
U.S. Silica Holdings, Inc. | 261,676 | 5,544,914 | |
78,669,950 | |||
Oil, Gas & Consumable Fuels - 3.0% | |||
Abraxas Petroleum Corp. (a) | 2,057,429 | 4,629,215 | |
Arch Coal, Inc. | 39,257 | 3,480,918 | |
Cabot Oil & Gas Corp. | 852,683 | 20,319,436 | |
Canacol Energy Ltd. (a)(b) | 1,396,532 | 4,441,079 | |
Carrizo Oil & Gas, Inc. (a) | 239,500 | 5,800,690 | |
Cheniere Energy, Inc. (a) | 113,506 | 7,596,957 | |
Cimarex Energy Co. | 190,651 | 16,106,196 | |
Delek U.S. Holdings, Inc. | 217,670 | 11,863,015 | |
Diamondback Energy, Inc. | 150,567 | 18,230,652 | |
Earthstone Energy, Inc. (a) | 97,125 | 813,908 | |
Enerplus Corp. | 527,794 | 6,527,659 | |
EQT Corp. | 74,042 | 3,777,623 | |
Extraction Oil & Gas, Inc. (a) | 683,976 | 7,899,923 | |
Gulfport Energy Corp. (a) | 531,463 | 6,250,005 | |
Highpoint Resources, Inc. (a) | 578,482 | 3,187,436 | |
Jagged Peak Energy, Inc. (a)(b) | 276,736 | 3,655,683 | |
Kosmos Energy Ltd. (a) | 282,260 | 2,551,630 | |
Laredo Petroleum, Inc. (a) | 135,500 | 1,123,295 | |
Leucrotta Exploration, Inc. (a) | 1,227,743 | 1,792,223 | |
Magnolia Oil & Gas Corp. Class A (a) | 872,348 | 12,090,743 | |
Newfield Exploration Co. (a) | 301,474 | 8,224,211 | |
Oasis Petroleum, Inc. (a) | 403,202 | 5,427,099 | |
Paramount Resources Ltd. Class A (a) | 581,307 | 6,414,422 | |
Parsley Energy, Inc. Class A (a) | 1,005,910 | 27,934,121 | |
PBF Energy, Inc. Class A | 383,559 | 19,914,383 | |
PDC Energy, Inc. (a) | 15,782 | 831,554 | |
Penn Virginia Corp. (a) | 8,977 | 798,414 | |
QEP Resources, Inc. (a) | 481,669 | 4,802,240 | |
Scorpio Tankers, Inc. (b) | 1,963,694 | 3,770,292 | |
SRC Energy, Inc. (a) | 524,500 | 4,883,095 | |
Sundance Energy Australia Ltd. (a) | 40,526,249 | 2,039,402 | |
Valero Energy Corp. | 40,800 | 4,809,504 | |
W&T Offshore, Inc. (a) | 660,000 | 4,468,200 | |
Whiting Petroleum Corp. (a) | 127,630 | 6,497,643 | |
WildHorse Resource Development Corp. (a) | 196,854 | 4,279,606 | |
World Fuel Services Corp. | 430,921 | 12,078,716 | |
259,311,188 | |||
TOTAL ENERGY | 337,981,138 | ||
FINANCIALS - 12.6% | |||
Banks - 4.5% | |||
Associated Banc-Corp. | 290,376 | 7,912,746 | |
Bank of Hawaii Corp. | 28,374 | 2,358,731 | |
Bank of the Ozarks, Inc. | 337,542 | 13,656,949 | |
BankUnited, Inc. | 623,805 | 24,197,396 | |
Berkshire Hills Bancorp, Inc. | 84,000 | 3,549,000 | |
Cadence Bancorp Class A | 600,556 | 16,965,707 | |
Cathay General Bancorp | 102,900 | 4,352,670 | |
Centerstate Banks of Florida, Inc. | 96,896 | 2,966,956 | |
Central Pacific Financial Corp. | 52,586 | 1,489,761 | |
CIT Group, Inc. | 136,200 | 7,387,488 | |
Citizens Financial Group, Inc. | 387,700 | 15,957,732 | |
Columbia Banking Systems, Inc. | 36,910 | 1,559,448 | |
Commerce Bancshares, Inc. | 120,247 | 8,544,752 | |
Cullen/Frost Bankers, Inc. | 62,305 | 6,909,001 | |
East West Bancorp, Inc. | 404,456 | 25,638,466 | |
FCB Financial Holdings, Inc. Class A (a) | 52,983 | 2,744,519 | |
First Citizen Bancshares, Inc. | 7,537 | 3,580,150 | |
First Financial Bankshares, Inc. | 43,875 | 2,650,050 | |
First Hawaiian, Inc. | 319,291 | 9,256,246 | |
First Horizon National Corp. | 530,129 | 9,764,976 | |
First Interstate Bancsystem, Inc. | 215,503 | 10,010,114 | |
First Merchants Corp. | 88,415 | 4,254,530 | |
First Midwest Bancorp, Inc., Delaware | 109,383 | 2,973,030 | |
First Republic Bank | 84,600 | 8,594,514 | |
Fulton Financial Corp. | 239,600 | 4,360,720 | |
Great Western Bancorp, Inc. | 167,905 | 7,310,584 | |
Hancock Whitney Corp. | 112,397 | 5,794,065 | |
Hanmi Financial Corp. | 214,876 | 5,608,264 | |
Home Bancshares, Inc. | 149,273 | 3,494,481 | |
Hope Bancorp, Inc. | 395,500 | 6,925,205 | |
IBERIABANK Corp. | 169,987 | 14,729,374 | |
KeyCorp | 420,100 | 8,851,507 | |
Live Oak Bancshares, Inc. | 14,738 | 445,825 | |
Merchants Bancorp/IN | 4,302 | 112,325 | |
Old National Bancorp, Indiana | 185,600 | 3,767,680 | |
PacWest Bancorp | 89,800 | 4,534,002 | |
Peapack-Gladstone Financial Corp. | 19,065 | 636,962 | |
Peoples Bancorp, Inc. | 40,051 | 1,436,229 | |
Preferred Bank, Los Angeles | 73,126 | 4,476,042 | |
Regions Financial Corp. | 365,500 | 7,112,630 | |
ServisFirst Bancshares, Inc. | 29,274 | 1,261,709 | |
Signature Bank | 91,250 | 10,561,275 | |
SVB Financial Group (a) | 131,010 | 42,283,478 | |
TCF Financial Corp. | 398,100 | 10,091,835 | |
United Community Bank, Inc. | 130,200 | 3,950,268 | |
Western Alliance Bancorp. (a) | 358,504 | 20,667,756 | |
Wintrust Financial Corp. | 156,966 | 13,899,339 | |
Zions Bancorporation | 208,700 | 11,121,623 | |
390,708,110 | |||
Capital Markets - 2.6% | |||
Affiliated Managers Group, Inc. | 45,386 | 6,630,441 | |
Ares Capital Corp. | 245,366 | 4,284,090 | |
Artisan Partners Asset Management, Inc. | 26,502 | 878,541 | |
Cboe Global Markets, Inc. | 37,172 | 3,746,938 | |
Cohen & Steers, Inc. | 13,374 | 555,957 | |
Diamond Hill Investment Group, Inc. | 2,057 | 383,816 | |
E*TRADE Financial Corp. (a) | 437,440 | 25,747,718 | |
Eaton Vance Corp. (non-vtg.) | 404,378 | 21,322,852 | |
Evercore, Inc. Class A | 25,845 | 2,743,447 | |
FactSet Research Systems, Inc. | 61,976 | 14,216,675 | |
Federated Investors, Inc. Class B (non-vtg.) | 61,617 | 1,427,050 | |
Houlihan Lokey | 13,796 | 648,826 | |
Janus Henderson Group PLC | 119,773 | 3,383,587 | |
Lazard Ltd. Class A | 656,459 | 31,601,936 | |
Legg Mason, Inc. | 202,200 | 6,308,640 | |
LPL Financial | 285,686 | 18,923,841 | |
MarketAxess Holdings, Inc. | 41,826 | 7,939,411 | |
Moelis & Co. Class A | 143,012 | 8,301,847 | |
Morningstar, Inc. | 68,692 | 9,776,245 | |
Newtek Business Services Corp. (b) | 142,900 | 3,309,564 | |
Oaktree Specialty Lending Corp. | 547,600 | 2,781,808 | |
OM Asset Management Ltd. | 211,436 | 2,683,123 | |
Prospect Capital Corp. (b) | 208,400 | 1,563,000 | |
Raymond James Financial, Inc. | 149,907 | 13,947,347 | |
Stifel Financial Corp. | 300,612 | 16,795,192 | |
T. Rowe Price Group, Inc. | 74,506 | 8,634,500 | |
Waddell & Reed Financial, Inc. Class A (b) | 115,036 | 2,303,021 | |
WisdomTree Investments, Inc. | 891,696 | 7,329,741 | |
228,169,154 | |||
Consumer Finance - 1.2% | |||
Ally Financial, Inc. | 539,713 | 14,507,485 | |
Credit Acceptance Corp. (a)(b) | 8,368 | 3,821,749 | |
First Cash Financial Services, Inc. | 65,984 | 5,364,499 | |
Navient Corp. | 987,925 | 13,475,297 | |
Nelnet, Inc. Class A | 108,663 | 6,264,422 | |
OneMain Holdings, Inc. (a) | 520,466 | 19,101,102 | |
PRA Group, Inc. (a) | 93,901 | 3,432,082 | |
Regional Management Corp. (a) | 68,700 | 2,289,771 | |
SLM Corp. (a) | 2,703,451 | 31,684,446 | |
99,940,853 | |||
Diversified Financial Services - 0.7% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 106,500 | 2,201,355 | |
Focus Financial Partners, Inc. Class A | 62,120 | 2,614,631 | |
Jefferies Financial Group, Inc. | 1,160,446 | 26,945,556 | |
On Deck Capital, Inc. (a) | 1,992,937 | 16,381,942 | |
Voya Financial, Inc. | 288,900 | 14,465,223 | |
62,608,707 | |||
Insurance - 2.4% | |||
Alleghany Corp. | 4,933 | 3,116,571 | |
AmTrust Financial Services, Inc. | 8,856 | 128,766 | |
Aspen Insurance Holdings Ltd. | 66,894 | 2,752,688 | |
Assurant, Inc. | 17,088 | 1,756,988 | |
Assured Guaranty Ltd. | 302,442 | 12,321,487 | |
Athene Holding Ltd. (a) | 131,558 | 6,533,170 | |
Axis Capital Holdings Ltd. | 147,787 | 8,500,708 | |
Brown & Brown, Inc. | 152,695 | 4,654,144 | |
Cincinnati Financial Corp. | 88,553 | 6,789,359 | |
CNA Financial Corp. | 293,792 | 13,191,261 | |
CNO Financial Group, Inc. | 339,200 | 7,330,112 | |
Crawford & Co. Class B | 166,972 | 1,455,996 | |
Erie Indemnity Co. Class A | 12,276 | 1,516,454 | |
Everest Re Group Ltd. | 69,044 | 15,398,193 | |
FBL Financial Group, Inc. Class A | 6,591 | 536,178 | |
First American Financial Corp. | 115,200 | 6,550,272 | |
FNF Group | 44,596 | 1,788,300 | |
Genworth Financial, Inc. Class A (a) | 149,800 | 696,570 | |
Hanover Insurance Group, Inc. | 30,186 | 3,697,483 | |
HCI Group, Inc. | 62,822 | 2,544,291 | |
Health Insurance Innovations, Inc. (a) | 7,993 | 422,830 | |
Heritage Insurance Holdings, Inc. | 151,238 | 2,215,637 | |
Kinsale Capital Group, Inc. | 97,074 | 5,899,187 | |
Lincoln National Corp. | 157,900 | 10,355,082 | |
Maiden Holdings Ltd. | 857,546 | 3,258,675 | |
National General Holdings Corp. | 242,226 | 6,615,192 | |
Old Republic International Corp. | 338,900 | 7,516,802 | |
Primerica, Inc. | 51,481 | 6,293,552 | |
ProAssurance Corp. | 248,613 | 12,020,439 | |
Reinsurance Group of America, Inc. | 89,015 | 12,715,793 | |
RLI Corp. | 74,764 | 5,754,585 | |
Torchmark Corp. | 94,785 | 8,333,497 | |
Universal Insurance Holdings, Inc. | 109,392 | 4,878,883 | |
Unum Group | 321,007 | 11,838,738 | |
White Mountains Insurance Group Ltd. | 4,895 | 4,542,315 | |
203,920,198 | |||
Mortgage Real Estate Investment Trusts - 0.6% | |||
AGNC Investment Corp. | 169,865 | 3,230,832 | |
American Capital Mortgage Investment Corp. | 192,100 | 3,765,160 | |
Ares Commercial Real Estate Corp. | 268,257 | 3,921,917 | |
Blackstone Mortgage Trust, Inc. (b) | 102,530 | 3,492,172 | |
Chimera Investment Corp. | 176,100 | 3,280,743 | |
MFA Financial, Inc. | 992,125 | 7,599,678 | |
New York Mortgage Trust, Inc. (b) | 403,200 | 2,580,480 | |
Redwood Trust, Inc. | 219,495 | 3,727,025 | |
Starwood Property Trust, Inc. | 444,689 | 9,796,499 | |
Two Harbors Investment Corp. | 887,087 | 13,856,299 | |
55,250,805 | |||
Real Estate Management & Development - 0.0% | |||
The RMR Group, Inc. | 4,673 | 441,365 | |
Thrifts & Mortgage Finance - 0.6% | |||
BofI Holding, Inc. (a) | 165,302 | 6,155,846 | |
Essent Group Ltd. (a) | 314,092 | 13,619,029 | |
Farmer Mac Class C (non-vtg.) | 25,700 | 1,980,699 | |
Lendingtree, Inc. (a)(b) | 27,440 | 6,951,924 | |
MGIC Investment Corp. (a) | 386,100 | 4,911,192 | |
Radian Group, Inc. | 406,535 | 8,264,857 | |
Walker & Dunlop, Inc. | 214,369 | 11,683,111 | |
53,566,658 | |||
TOTAL FINANCIALS | 1,094,605,850 | ||
HEALTH CARE - 11.1% | |||
Biotechnology - 2.2% | |||
Agios Pharmaceuticals, Inc. (a) | 62,433 | 5,039,592 | |
Aimmune Therapeutics, Inc. (a) | 70,530 | 1,968,492 | |
Alkermes PLC (a) | 56,348 | 2,526,644 | |
Alnylam Pharmaceuticals, Inc. (a) | 19,810 | 2,430,093 | |
Amicus Therapeutics, Inc. (a)(b) | 88,013 | 1,186,415 | |
Arena Pharmaceuticals, Inc. (a) | 36,587 | 1,421,039 | |
Ascendis Pharma A/S sponsored ADR (a) | 29,122 | 2,067,080 | |
Atara Biotherapeutics, Inc. (a) | 123,406 | 5,053,476 | |
BeiGene Ltd. ADR (a) | 11,400 | 2,023,842 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 61,868 | 2,342,322 | |
BioMarin Pharmaceutical, Inc. (a) | 37,417 | 3,740,952 | |
bluebird bio, Inc. (a) | 29,509 | 4,966,365 | |
Blueprint Medicines Corp. (a) | 55,957 | 4,290,223 | |
Clovis Oncology, Inc. (a) | 77,921 | 2,785,676 | |
DBV Technologies SA sponsored ADR (a) | 269,747 | 5,999,173 | |
Dyax Corp. rights 12/31/19 (a)(c) | 105,841 | 423,364 | |
Eagle Pharmaceuticals, Inc. (a) | 114,520 | 7,916,768 | |
Emergent BioSolutions, Inc. (a) | 119,016 | 7,378,992 | |
Exact Sciences Corp. (a) | 209,486 | 15,688,407 | |
Exelixis, Inc. (a) | 113,873 | 2,139,674 | |
FibroGen, Inc. (a) | 21,824 | 1,334,538 | |
Heron Therapeutics, Inc. (a) | 172,582 | 6,653,036 | |
Immune Design Corp. (a) | 358,281 | 1,361,468 | |
Immunomedics, Inc. (a)(b) | 327,934 | 8,775,514 | |
Incyte Corp. (a) | 31,280 | 2,311,905 | |
Insmed, Inc. (a) | 57,460 | 1,145,178 | |
Ionis Pharmaceuticals, Inc. (a) | 49,823 | 2,276,413 | |
Keryx Biopharmaceuticals, Inc. (a)(b) | 436,821 | 1,489,560 | |
Ligand Pharmaceuticals, Inc. Class B (a) | 98,752 | 25,644,907 | |
Loxo Oncology, Inc. (a) | 24,922 | 4,211,320 | |
Madrigal Pharmaceuticals, Inc. (a) | 7,440 | 1,779,722 | |
Neurocrine Biosciences, Inc. (a) | 141,975 | 17,455,826 | |
Portola Pharmaceuticals, Inc. (a) | 35,121 | 1,048,362 | |
Progenics Pharmaceuticals, Inc. (a) | 113,867 | 891,579 | |
Puma Biotechnology, Inc. (a) | 65,410 | 2,874,770 | |
Rubius Therapeutics, Inc. | 63,372 | 1,591,905 | |
Sage Therapeutics, Inc. (a) | 108,931 | 17,893,006 | |
Sarepta Therapeutics, Inc. (a) | 13,152 | 1,815,502 | |
Seattle Genetics, Inc. (a) | 30,431 | 2,335,884 | |
Ultragenyx Pharmaceutical, Inc. (a) | 53,388 | 4,523,565 | |
United Therapeutics Corp. (a) | 40,600 | 4,993,394 | |
193,795,943 | |||
Health Care Equipment & Supplies - 2.5% | |||
Anika Therapeutics, Inc. (a) | 77,986 | 3,227,841 | |
Atrion Corp. | 930 | 609,197 | |
AxoGen, Inc. (a) | 229,695 | 10,072,126 | |
Cantel Medical Corp. | 24,097 | 2,337,409 | |
CONMED Corp. | 32,837 | 2,641,080 | |
DexCom, Inc. (a) | 83,468 | 12,051,110 | |
Endologix, Inc. (a) | 939,922 | 2,161,821 | |
Globus Medical, Inc. (a) | 134,378 | 7,158,316 | |
Hill-Rom Holdings, Inc. | 51,180 | 4,978,279 | |
IDEXX Laboratories, Inc. (a) | 82,207 | 20,883,866 | |
Inogen, Inc. (a) | 22,900 | 6,066,439 | |
Insulet Corp. (a) | 50,047 | 5,218,401 | |
Integer Holdings Corp. (a) | 82,800 | 6,615,720 | |
Integra LifeSciences Holdings Corp. (a) | 24,847 | 1,477,651 | |
LeMaitre Vascular, Inc. | 8,247 | 309,345 | |
Masimo Corp. (a) | 85,623 | 10,094,095 | |
Meridian Bioscience, Inc. | 27,887 | 437,826 | |
Merit Medical Systems, Inc. (a) | 71,646 | 4,216,367 | |
Neogen Corp. (a) | 33,388 | 3,119,775 | |
Nevro Corp. (a) | 139,466 | 9,402,798 | |
Penumbra, Inc. (a) | 33,553 | 4,658,834 | |
Quanterix Corp. (a) | 152,253 | 2,547,193 | |
ResMed, Inc. | 16,125 | 1,796,486 | |
Steris PLC | 190,854 | 21,837,515 | |
Teleflex, Inc. | 67,689 | 16,748,289 | |
The Cooper Companies, Inc. | 94,046 | 24,055,086 | |
West Pharmaceutical Services, Inc. | 270,816 | 31,699,013 | |
Zimmer Biomet Holdings, Inc. | 59,376 | 7,340,655 | |
223,762,533 | |||
Health Care Providers & Services - 2.3% | |||
Acadia Healthcare Co., Inc. (a) | 113,903 | 4,730,392 | |
American Renal Associates Holdings, Inc. (a) | 7,676 | 168,488 | |
Capital Senior Living Corp. (a) | 239,252 | 2,122,165 | |
Centene Corp. (a) | 133,265 | 19,520,657 | |
Chemed Corp. | 42,385 | 13,713,243 | |
Corvel Corp. (a) | 6,583 | 391,359 | |
Envision Healthcare Corp. (a) | 112,135 | 5,086,444 | |
G1 Therapeutics, Inc. (a) | 153,381 | 9,307,159 | |
HealthEquity, Inc. (a) | 123,845 | 11,667,437 | |
HealthSouth Corp. | 265,525 | 21,664,185 | |
Henry Schein, Inc. (a) | 193,164 | 15,004,980 | |
Laboratory Corp. of America Holdings (a) | 37,400 | 6,465,338 | |
LifePoint Hospitals, Inc. (a) | 159,413 | 10,266,197 | |
Magellan Health Services, Inc. (a) | 15,600 | 1,146,600 | |
MEDNAX, Inc. (a) | 230,854 | 10,930,937 | |
Molina Healthcare, Inc. (a) | 90,821 | 12,533,298 | |
OptiNose, Inc. | 69,696 | 1,036,380 | |
Owens & Minor, Inc. | 163,100 | 2,769,438 | |
Patterson Companies, Inc. | 91,480 | 2,062,874 | |
Premier, Inc. (a) | 382,508 | 16,918,329 | |
Quest Diagnostics, Inc. | 75,100 | 8,259,498 | |
Select Medical Holdings Corp. (a) | 89,190 | 1,765,962 | |
Wellcare Health Plans, Inc. (a) | 75,386 | 22,809,542 | |
200,340,902 | |||
Health Care Technology - 0.9% | |||
athenahealth, Inc. (a) | 84,068 | 12,938,065 | |
Evolent Health, Inc. (a) | 633,935 | 16,165,343 | |
Medidata Solutions, Inc. (a) | 303,267 | 25,771,630 | |
Omnicell, Inc. (a) | 55,440 | 3,811,500 | |
Teladoc Health, Inc. (a) | 100,160 | 7,767,408 | |
Veeva Systems, Inc. Class A (a) | 135,011 | 14,089,748 | |
80,543,694 | |||
Life Sciences Tools & Services - 1.3% | |||
Bio-Rad Laboratories, Inc. Class A (a) | 26,111 | 8,493,908 | |
Cambrex Corp. (a) | 146,688 | 9,886,771 | |
Charles River Laboratories International, Inc. (a) | 122,269 | 15,101,444 | |
ICON PLC (a) | 82,434 | 12,284,315 | |
Medpace Holdings, Inc. (a) | 4,855 | 290,280 | |
PerkinElmer, Inc. | 151,017 | 13,958,501 | |
PRA Health Sciences, Inc. (a) | 173,978 | 18,372,077 | |
Quintiles Transnational Holdings, Inc. (a) | 47,692 | 6,061,176 | |
Syneos Health, Inc. (a) | 520,030 | 25,923,496 | |
110,371,968 | |||
Pharmaceuticals - 1.9% | |||
Aclaris Therapeutics, Inc. (a) | 61,688 | 982,073 | |
Aerie Pharmaceuticals, Inc. (a) | 69,463 | 4,261,555 | |
Avadel Pharmaceuticals PLC sponsored ADR (a)(b) | 116,054 | 595,357 | |
Catalent, Inc. (a) | 574,833 | 24,028,019 | |
Collegium Pharmaceutical, Inc. (a)(b) | 80,957 | 1,384,365 | |
GW Pharmaceuticals PLC ADR (a) | 11,568 | 1,697,951 | |
Jazz Pharmaceuticals PLC (a) | 197,566 | 33,767,981 | |
Lannett Co., Inc. (a)(b) | 177,600 | 950,160 | |
Mallinckrodt PLC (a) | 117,100 | 4,035,266 | |
Mylan NV (a) | 242,535 | 9,490,395 | |
Nektar Therapeutics (a) | 93,132 | 6,192,347 | |
Pacira Pharmaceuticals, Inc. (a) | 63,861 | 3,011,046 | |
Perrigo Co. PLC | 49,868 | 3,815,401 | |
Prestige Brands Holdings, Inc. (a) | 477,989 | 18,402,577 | |
Revance Therapeutics, Inc. (a) | 243,475 | 6,671,215 | |
Supernus Pharmaceuticals, Inc. (a) | 151,995 | 6,733,379 | |
TherapeuticsMD, Inc. (a)(b) | 3,476,357 | 22,526,793 | |
Zogenix, Inc. (a) | 306,190 | 14,788,977 | |
163,334,857 | |||
TOTAL HEALTH CARE | 972,149,897 | ||
INDUSTRIALS - 15.7% | |||
Aerospace & Defense - 0.9% | |||
Arconic, Inc. | 125,288 | 2,803,945 | |
Curtiss-Wright Corp. | 21,727 | 2,910,332 | |
Engility Holdings, Inc. (a) | 61,424 | 2,132,027 | |
Esterline Technologies Corp. (a) | 16,695 | 1,434,935 | |
HEICO Corp. Class A | 187,208 | 13,946,996 | |
Hexcel Corp. | 150,850 | 9,974,202 | |
Huntington Ingalls Industries, Inc. | 36,767 | 8,988,428 | |
Spirit AeroSystems Holdings, Inc. Class A | 195,700 | 16,732,350 | |
Teledyne Technologies, Inc. (a) | 28,720 | 6,814,107 | |
TransDigm Group, Inc. | 12,107 | 4,237,450 | |
Wesco Aircraft Holdings, Inc. (a) | 458,490 | 5,570,654 | |
75,545,426 | |||
Air Freight & Logistics - 0.5% | |||
Atlas Air Worldwide Holdings, Inc. (a) | 75,884 | 4,621,336 | |
Echo Global Logistics, Inc. (a) | 70,165 | 2,329,478 | |
Expeditors International of Washington, Inc. | 45,327 | 3,321,563 | |
Forward Air Corp. | 206,633 | 13,278,237 | |
XPO Logistics, Inc. (a) | 173,137 | 18,439,091 | |
41,989,705 | |||
Airlines - 0.8% | |||
Air Canada (a) | 1,039,399 | 21,361,442 | |
Alaska Air Group, Inc. | 191,990 | 12,957,405 | |
Azul SA sponsored ADR (a) | 269,830 | 4,538,541 | |
JetBlue Airways Corp. (a) | 520,555 | 9,932,189 | |
SkyWest, Inc. | 373,584 | 24,395,035 | |
73,184,612 | |||
Building Products - 1.1% | |||
A.O. Smith Corp. | 80,724 | 4,688,450 | |
AAON, Inc. | 26,211 | 1,058,924 | |
Allegion PLC | 128,042 | 11,167,823 | |
CSW Industrials, Inc. (a) | 10,473 | 586,488 | |
Fortune Brands Home & Security, Inc. | 258,919 | 13,717,529 | |
Lennox International, Inc. | 26,940 | 6,002,501 | |
Masonite International Corp. (a) | 72,982 | 4,886,145 | |
Owens Corning | 289,309 | 16,380,676 | |
Patrick Industries, Inc. (a) | 152,937 | 9,787,968 | |
Simpson Manufacturing Co. Ltd. | 48,459 | 3,720,197 | |
Trex Co., Inc. (a) | 74,370 | 6,299,139 | |
Universal Forest Products, Inc. | 161,594 | 6,053,311 | |
USG Corp. (a) | 233,807 | 10,077,082 | |
94,426,233 | |||
Commercial Services & Supplies - 3.0% | |||
ABM Industries, Inc. | 461,448 | 14,637,131 | |
ACCO Brands Corp. | 511,274 | 6,339,798 | |
ADS Waste Holdings, Inc. (a) | 152,964 | 4,081,080 | |
Brady Corp. Class A | 348,681 | 14,104,146 | |
BrightView Holdings, Inc. | 393,340 | 6,985,718 | |
Casella Waste Systems, Inc. Class A (a) | 211,743 | 6,009,266 | |
Charah Solutions, Inc. | 412,946 | 3,026,894 | |
Cimpress NV (a) | 98,847 | 13,838,580 | |
Clean Harbors, Inc. (a) | 312,584 | 21,440,137 | |
Copart, Inc. (a) | 214,050 | 13,765,556 | |
Deluxe Corp. | 105,878 | 6,270,095 | |
Evoqua Water Technologies Corp. (a) | 395,141 | 7,657,833 | |
Healthcare Services Group, Inc. (b) | 94,075 | 3,876,831 | |
Herman Miller, Inc. | 369,494 | 14,151,620 | |
Hudson Technologies, Inc. (a)(b) | 169,259 | 316,514 | |
KAR Auction Services, Inc. | 573,827 | 35,973,215 | |
Msa Safety, Inc. | 52,920 | 5,349,683 | |
Multi-Color Corp. | 289,439 | 17,872,858 | |
Pitney Bowes, Inc. | 575,212 | 4,176,039 | |
Republic Services, Inc. | 36,500 | 2,677,640 | |
Ritchie Brothers Auctioneers, Inc. | 228,662 | 8,714,309 | |
Rollins, Inc. | 63,638 | 3,823,371 | |
Steelcase, Inc. Class A | 279,500 | 4,080,700 | |
Tetra Tech, Inc. | 178,947 | 12,490,501 | |
The Brink's Co. | 57,778 | 4,339,128 | |
UniFirst Corp. | 10,244 | 1,897,189 | |
Waste Connection, Inc. (United States) | 342,564 | 27,196,156 | |
265,091,988 | |||
Construction & Engineering - 0.4% | |||
AECOM (a) | 130,775 | 4,399,271 | |
Aegion Corp. (a) | 70,111 | 1,749,971 | |
Dycom Industries, Inc. (a) | 44,490 | 3,733,156 | |
EMCOR Group, Inc. | 4,636 | 371,344 | |
Fluor Corp. | 137,513 | 7,894,621 | |
Granite Construction, Inc. | 29,927 | 1,367,065 | |
KBR, Inc. | 347,315 | 7,286,669 | |
Tutor Perini Corp. (a) | 170,808 | 3,475,943 | |
Williams Scotsman Corp. (a)(b) | 399,210 | 6,966,215 | |
37,244,255 | |||
Electrical Equipment - 1.0% | |||
Acuity Brands, Inc. | 54,171 | 8,279,496 | |
AMETEK, Inc. | 67,222 | 5,173,405 | |
EnerSys | 102,917 | 8,541,082 | |
Generac Holdings, Inc. (a) | 190,987 | 10,597,869 | |
Hubbell, Inc. Class B | 71,129 | 8,987,860 | |
Regal Beloit Corp. | 128,705 | 10,772,609 | |
Rockwell Automation, Inc. | 44,624 | 8,075,159 | |
Sensata Technologies, Inc. PLC (a) | 505,966 | 26,790,900 | |
87,218,380 | |||
Industrial Conglomerates - 0.2% | |||
Carlisle Companies, Inc. | 50,271 | 6,374,866 | |
ITT, Inc. | 141,000 | 8,334,510 | |
14,709,376 | |||
Machinery - 3.8% | |||
Actuant Corp. Class A | 118,297 | 3,483,847 | |
Allison Transmission Holdings, Inc. | 427,323 | 21,220,860 | |
Altra Industrial Motion Corp. (b) | 61,994 | 2,420,866 | |
Cactus, Inc. (a) | 84,028 | 2,872,077 | |
CIRCOR International, Inc. | 62,353 | 2,828,332 | |
Crane Co. | 31,100 | 2,838,808 | |
Donaldson Co., Inc. | 87,675 | 4,436,355 | |
Douglas Dynamics, Inc. | 192,107 | 8,798,501 | |
EnPro Industries, Inc. | 40,664 | 3,052,646 | |
Gardner Denver Holdings, Inc. (a) | 278,392 | 7,783,840 | |
Gates Industrial Corp. PLC (a) | 545,133 | 9,937,775 | |
Global Brass & Copper Holdings, Inc. | 81,000 | 3,122,550 | |
Graco, Inc. | 110,908 | 5,213,785 | |
Greenbrier Companies, Inc. | 129,900 | 7,534,200 | |
Hillenbrand, Inc. | 86,649 | 4,432,096 | |
Hyster-Yale Materials Handling Class A | 27,100 | 1,672,070 | |
IDEX Corp. | 72,632 | 11,127,949 | |
John Bean Technologies Corp. | 126,628 | 14,980,092 | |
Kennametal, Inc. | 517,020 | 21,115,097 | |
Lincoln Electric Holdings, Inc. | 313,783 | 29,545,807 | |
Meritor, Inc. (a) | 219,680 | 4,758,269 | |
Middleby Corp. (a) | 118,674 | 14,423,638 | |
Nordson Corp. | 78,272 | 10,881,373 | |
Oshkosh Corp. | 57,100 | 4,011,846 | |
Park-Ohio Holdings Corp. | 26,500 | 1,098,425 | |
Proto Labs, Inc. (a) | 30,872 | 4,799,052 | |
RBC Bearings, Inc. (a) | 97,478 | 14,603,179 | |
Snap-On, Inc. | 95,564 | 16,893,804 | |
SPX Flow, Inc. (a) | 67,117 | 3,217,589 | |
Tennant Co. | 164,772 | 12,613,297 | |
Terex Corp. | 176,727 | 6,848,171 | |
Timken Co. | 173,180 | 8,425,207 | |
Toro Co. | 499,228 | 30,348,070 | |
Wabtec Corp. | 107,193 | 11,611,146 | |
Woodward, Inc. | 131,638 | 10,604,757 | |
Xylem, Inc. | 44,535 | 3,380,652 | |
326,936,028 | |||
Marine - 0.2% | |||
Kirby Corp. (a) | 221,083 | 19,300,546 | |
Professional Services - 1.2% | |||
Asgn, Inc. (a) | 102,455 | 9,486,308 | |
Barrett Business Services, Inc. | 4,798 | 359,994 | |
CoStar Group, Inc. (a) | 19,291 | 8,529,709 | |
Dun & Bradstreet Corp. | 24,424 | 3,490,678 | |
Exponent, Inc. | 34,007 | 1,780,266 | |
Forrester Research, Inc. | 6,636 | 326,491 | |
FTI Consulting, Inc. (a) | 75,077 | 5,722,369 | |
Huron Consulting Group, Inc. (a) | 94,510 | 4,678,245 | |
Insperity, Inc. | 25,148 | 3,013,988 | |
Manpower, Inc. | 141,602 | 13,272,355 | |
Navigant Consulting, Inc. | 141,508 | 3,380,626 | |
Nielsen Holdings PLC | 426,861 | 11,098,386 | |
Robert Half International, Inc. | 85,571 | 6,689,941 | |
TransUnion Holding Co., Inc. | 100,075 | 7,535,648 | |
TriNet Group, Inc. (a) | 433,009 | 25,577,842 | |
104,942,846 | |||
Road & Rail - 1.3% | |||
Avis Budget Group, Inc. (a) | 414,473 | 12,894,255 | |
Covenant Transport Group, Inc. Class A (a) | 49,283 | 1,472,083 | |
Daseke, Inc. (a) | 843,998 | 7,587,542 | |
Genesee & Wyoming, Inc. Class A (a) | 32,264 | 2,835,683 | |
Heartland Express, Inc. | 726,483 | 14,856,577 | |
J.B. Hunt Transport Services, Inc. | 76,139 | 9,193,784 | |
Kansas City Southern | 46,505 | 5,392,720 | |
Knight-Swift Transportation Holdings, Inc. Class A | 888,636 | 30,329,147 | |
Landstar System, Inc. | 104,646 | 12,118,007 | |
Ryder System, Inc. | 66,500 | 5,109,860 | |
Schneider National, Inc. Class B | 76,592 | 2,071,814 | |
Werner Enterprises, Inc. | 341,932 | 12,668,581 | |
116,530,053 | |||
Trading Companies & Distributors - 1.3% | |||
Air Lease Corp. Class A | 206,756 | 9,554,195 | |
Applied Industrial Technologies, Inc. | 122,108 | 9,408,421 | |
Beacon Roofing Supply, Inc. (a) | 67,735 | 2,511,614 | |
BMC Stock Holdings, Inc. (a) | 220,945 | 4,971,263 | |
CAI International, Inc. (a) | 105,713 | 2,853,194 | |
GATX Corp. | 67,296 | 5,683,147 | |
Herc Holdings, Inc. (a) | 100,910 | 5,305,848 | |
MSC Industrial Direct Co., Inc. Class A | 238,865 | 20,418,180 | |
SiteOne Landscape Supply, Inc. (a) | 112,664 | 10,181,446 | |
Systemax, Inc. | 73,722 | 2,690,853 | |
Triton International Ltd. | 186,565 | 7,048,426 | |
United Rentals, Inc. (a) | 97,101 | 15,135,133 | |
Univar, Inc. (a) | 167,185 | 4,651,087 | |
Watsco, Inc. | 46,001 | 8,049,715 | |
WESCO International, Inc. (a) | 122,998 | 7,521,328 | |
115,983,850 | |||
TOTAL INDUSTRIALS | 1,373,103,298 | ||
INFORMATION TECHNOLOGY - 18.6% | |||
Communications Equipment - 1.4% | |||
Arista Networks, Inc. (a) | 17,470 | 5,223,181 | |
CalAmp Corp. (a) | 73,328 | 1,723,208 | |
Ciena Corp. (a) | 1,217,147 | 38,437,502 | |
CommScope Holding Co., Inc. (a) | 80,897 | 2,563,626 | |
F5 Networks, Inc. (a) | 81,356 | 15,386,047 | |
Finisar Corp. (a) | 621,919 | 12,687,148 | |
Infinera Corp. (a) | 690,084 | 6,176,252 | |
InterDigital, Inc. | 22,769 | 1,880,719 | |
Juniper Networks, Inc. | 304,600 | 8,659,778 | |
KVH Industries, Inc. (a) | 37,794 | 470,535 | |
Lumentum Holdings, Inc. (a) | 89,020 | 6,044,458 | |
NetScout Systems, Inc. (a) | 152,000 | 3,800,000 | |
Plantronics, Inc. | 22,109 | 1,486,167 | |
Ubiquiti Networks, Inc. (b) | 16,905 | 1,516,548 | |
ViaSat, Inc. (a)(b) | 9,121 | 572,981 | |
Viavi Solutions, Inc. (a) | 1,340,017 | 15,008,190 | |
121,636,340 | |||
Electronic Equipment & Components - 2.4% | |||
Arrow Electronics, Inc. (a) | 184,057 | 14,269,939 | |
Avnet, Inc. | 210,526 | 10,189,458 | |
Badger Meter, Inc. | 19,284 | 1,059,656 | |
Belden, Inc. | 241,222 | 17,541,664 | |
CDW Corp. | 244,109 | 21,374,184 | |
Cognex Corp. | 179,620 | 9,663,556 | |
Coherent, Inc. (a) | 37,261 | 7,101,947 | |
Dolby Laboratories, Inc. Class A | 37,898 | 2,660,061 | |
Flextronics International Ltd. (a) | 517,947 | 7,142,489 | |
FLIR Systems, Inc. | 157,995 | 9,912,606 | |
II-VI, Inc. (a) | 104,210 | 5,184,448 | |
Insight Enterprises, Inc. (a) | 106,970 | 5,898,326 | |
IPG Photonics Corp. (a) | 24,681 | 4,331,022 | |
Jabil, Inc. | 250,281 | 7,398,306 | |
Keysight Technologies, Inc. (a) | 155,296 | 10,077,157 | |
Littelfuse, Inc. | 84,863 | 18,971,972 | |
National Instruments Corp. | 70,184 | 3,351,286 | |
Plexus Corp. (a) | 22,202 | 1,405,165 | |
Rogers Corp. (a) | 11,936 | 1,648,004 | |
Sanmina Corp. (a) | 129,900 | 4,000,920 | |
ScanSource, Inc. (a) | 71,700 | 2,914,605 | |
SYNNEX Corp. | 49,971 | 4,845,688 | |
Trimble, Inc. (a) | 767,604 | 32,316,128 | |
TTM Technologies, Inc. (a) | 174,000 | 3,253,800 | |
Vishay Intertechnology, Inc. | 234,980 | 5,592,524 | |
212,104,911 | |||
Internet Software & Services - 4.1% | |||
2U, Inc. (a) | 176,896 | 15,807,427 | |
Alphabet, Inc. Class C (a) | 6,616 | 8,059,545 | |
Apptio, Inc. Class A (a) | 221,842 | 8,607,470 | |
Box, Inc. Class A (a) | 241,835 | 5,939,468 | |
Carbonite, Inc. (a) | 819,853 | 34,064,892 | |
Care.com, Inc. (a) | 824,444 | 16,018,947 | |
ChannelAdvisor Corp. (a) | 330,202 | 4,309,136 | |
Cornerstone OnDemand, Inc. (a) | 137,581 | 7,781,581 | |
DocuSign, Inc. (b) | 19,000 | 1,186,360 | |
Etsy, Inc. (a) | 107,240 | 5,221,516 | |
Facebook, Inc. Class A (a) | 18,213 | 3,200,570 | |
GoDaddy, Inc. (a) | 273,762 | 22,300,653 | |
GrubHub, Inc. (a) | 244,210 | 35,193,103 | |
Hortonworks, Inc. (a) | 696,124 | 15,537,488 | |
IAC/InterActiveCorp (a) | 38,750 | 7,641,500 | |
Instructure, Inc. (a) | 119,849 | 4,907,817 | |
Internap Network Services Corp. (a) | 570,733 | 7,659,237 | |
j2 Global, Inc. | 261,852 | 21,621,120 | |
LogMeIn, Inc. | 263,197 | 22,621,782 | |
Match Group, Inc. (a)(b) | 93,652 | 4,687,283 | |
New Relic, Inc. (a) | 41,483 | 4,262,793 | |
Nutanix, Inc. Class A (a) | 222,969 | 12,557,614 | |
Q2 Holdings, Inc. (a) | 274,401 | 17,095,182 | |
Shutterstock, Inc. | 336,834 | 18,539,343 | |
Stamps.com, Inc. (a) | 54,936 | 13,648,849 | |
The Trade Desk, Inc. (a) | 87,325 | 12,389,671 | |
Twilio, Inc. Class A (a) | 85,240 | 6,875,458 | |
Wix.com Ltd. (a) | 53,372 | 5,929,629 | |
Yelp, Inc. (a) | 233,900 | 11,021,368 | |
354,686,802 | |||
IT Services - 2.7% | |||
Acxiom Corp. (a) | 182,294 | 8,329,013 | |
Alliance Data Systems Corp. | 21,581 | 5,148,795 | |
Amdocs Ltd. | 286,977 | 18,733,859 | |
Booz Allen Hamilton Holding Corp. Class A | 48,789 | 2,496,045 | |
Cass Information Systems, Inc. | 6,514 | 465,946 | |
Convergys Corp. | 193,502 | 4,785,304 | |
CoreLogic, Inc. (a) | 271,281 | 13,791,926 | |
CSG Systems International, Inc. | 21,385 | 798,730 | |
EPAM Systems, Inc. (a) | 66,930 | 9,566,305 | |
Euronet Worldwide, Inc. (a) | 376,679 | 36,839,206 | |
Fidelity National Information Services, Inc. | 86,900 | 9,399,973 | |
First Data Corp. Class A (a) | 570,175 | 14,664,901 | |
Gartner, Inc. (a) | 73,340 | 10,983,398 | |
Genpact Ltd. | 248,769 | 7,622,282 | |
Interxion Holding N.V. (a) | 103,680 | 6,835,622 | |
Maximus, Inc. | 133,409 | 8,871,699 | |
NIC, Inc. | 41,085 | 690,228 | |
Presidio, Inc. | 555,318 | 8,396,408 | |
Sykes Enterprises, Inc. (a) | 72,139 | 2,181,483 | |
Total System Services, Inc. | 202,204 | 19,642,097 | |
Ttec Holdings, Inc. | 172,694 | 4,524,583 | |
Unisys Corp. (a)(b) | 874,436 | 16,264,510 | |
Virtusa Corp. (a) | 30,793 | 1,794,000 | |
WEX, Inc. (a) | 71,936 | 13,683,666 | |
WNS Holdings Ltd. sponsored ADR (a) | 81,073 | 4,202,014 | |
Worldpay, Inc. (a) | 40,580 | 3,952,086 | |
234,664,079 | |||
Semiconductors & Semiconductor Equipment - 2.2% | |||
Advanced Energy Industries, Inc. (a) | 68,576 | 4,085,758 | |
Advanced Micro Devices, Inc. (a) | 813,822 | 20,483,900 | |
AXT, Inc. (a) | 302,585 | 2,390,422 | |
Brooks Automation, Inc. | 171,214 | 6,747,544 | |
Cabot Microelectronics Corp. | 147,974 | 16,681,109 | |
Cirrus Logic, Inc. (a) | 97,800 | 4,298,310 | |
Cypress Semiconductor Corp. | 533,008 | 9,173,068 | |
Entegris, Inc. | 128,678 | 4,362,184 | |
Integrated Device Technology, Inc. (a) | 248,282 | 10,549,502 | |
Kulicke & Soffa Industries, Inc. | 119,900 | 3,092,221 | |
Lam Research Corp. | 55,800 | 9,658,422 | |
Marvell Technology Group Ltd. | 257,486 | 5,324,810 | |
Maxim Integrated Products, Inc. | 104,626 | 6,326,734 | |
MKS Instruments, Inc. | 86,898 | 8,072,824 | |
Monolithic Power Systems, Inc. | 76,251 | 11,427,737 | |
NVE Corp. | 3,206 | 364,458 | |
ON Semiconductor Corp. (a) | 1,128,692 | 24,086,287 | |
Qorvo, Inc. (a) | 96,061 | 7,693,525 | |
Semtech Corp. (a) | 272,067 | 16,256,003 | |
Silicon Laboratories, Inc. (a) | 27,717 | 2,716,266 | |
SMART Global Holdings, Inc. (a) | 3,795 | 125,197 | |
Teradyne, Inc. | 441,196 | 18,172,863 | |
Versum Materials, Inc. | 70,533 | 2,806,508 | |
194,895,652 | |||
Software - 5.1% | |||
ACI Worldwide, Inc. (a) | 133,707 | 3,798,616 | |
ANSYS, Inc. (a) | 46,725 | 8,689,916 | |
Aspen Technology, Inc. (a) | 285,170 | 32,897,211 | |
Attunity Ltd. (a) | 329,662 | 6,880,046 | |
Autodesk, Inc. (a) | 104,393 | 16,113,060 | |
Black Knight, Inc. (a) | 304,391 | 16,254,479 | |
CDK Global, Inc. | 189,484 | 11,808,643 | |
CyberArk Software Ltd. (a) | 154,245 | 11,633,158 | |
Descartes Systems Group, Inc. (a) | 126,384 | 4,423,440 | |
Descartes Systems Group, Inc. (Canada) (a) | 15,158 | 529,194 | |
Ebix, Inc. (b) | 136,332 | 10,858,844 | |
Fair Isaac Corp. (a) | 42,999 | 9,931,909 | |
FireEye, Inc. (a) | 530,043 | 8,798,714 | |
Fortinet, Inc. (a) | 97,645 | 8,178,745 | |
Guidewire Software, Inc. (a) | 179,374 | 18,039,643 | |
HubSpot, Inc. (a) | 62,992 | 9,051,950 | |
Manhattan Associates, Inc. (a) | 213,374 | 12,373,558 | |
Nuance Communications, Inc. (a) | 1,111,363 | 18,137,444 | |
Parametric Technology Corp. (a) | 44,556 | 4,452,927 | |
Paycom Software, Inc. (a) | 62,305 | 9,664,752 | |
Pegasystems, Inc. | 23,830 | 1,517,971 | |
Pivotal Software, Inc. | 28,249 | 783,910 | |
Progress Software Corp. | 64,500 | 2,639,985 | |
Proofpoint, Inc. (a) | 42,247 | 5,012,607 | |
QAD, Inc. Class A | 145,568 | 8,828,699 | |
Rapid7, Inc. (a) | 119,482 | 4,558,238 | |
RealPage, Inc. (a) | 151,225 | 9,436,440 | |
RingCentral, Inc. (a) | 51,450 | 4,792,568 | |
SailPoint Technologies Holding, Inc. (a) | 166,761 | 5,157,918 | |
Splunk, Inc. (a) | 139,798 | 17,915,114 | |
SS&C Technologies Holdings, Inc. | 711,229 | 42,204,329 | |
Synopsys, Inc. (a) | 116,594 | 11,908,911 | |
Tableau Software, Inc. (a) | 108,665 | 12,155,267 | |
Take-Two Interactive Software, Inc. (a) | 94,762 | 12,656,413 | |
Talend SA ADR (a) | 272,832 | 16,792,810 | |
Tyler Technologies, Inc. (a) | 75,547 | 18,656,332 | |
Ultimate Software Group, Inc. (a) | 101,303 | 31,370,500 | |
Upland Software, Inc. (a) | 102,019 | 3,797,147 | |
Verint Systems, Inc. (a) | 106,200 | 5,156,010 | |
VMware, Inc. Class A (a) | 47,401 | 7,264,677 | |
Zendesk, Inc. (a) | 35,150 | 2,421,484 | |
447,543,579 | |||
Technology Hardware, Storage & Peripherals - 0.7% | |||
3D Systems Corp. (a)(b) | 400,344 | 8,147,000 | |
NCR Corp. (a) | 218,724 | 6,213,949 | |
Pure Storage, Inc. Class A (a) | 270,735 | 7,266,527 | |
Quantum Corp. (a) | 1,287,863 | 2,601,483 | |
Seagate Technology LLC | 74,000 | 3,961,960 | |
Stratasys Ltd. (a) | 199,062 | 4,966,597 | |
Western Digital Corp. | 41,548 | 2,627,496 | |
Xerox Corp. | 724,113 | 20,173,788 | |
55,958,800 | |||
TOTAL INFORMATION TECHNOLOGY | 1,621,490,163 | ||
MATERIALS - 4.3% | |||
Chemicals - 2.0% | |||
Ashland Global Holdings, Inc. | 93,860 | 7,903,012 | |
Axalta Coating Systems Ltd. (a) | 317,516 | 9,684,238 | |
Cabot Corp. | 210,745 | 13,681,565 | |
Chase Corp. | 4,631 | 574,012 | |
Eastman Chemical Co. | 114,700 | 11,129,341 | |
Ferro Corp. (a) | 106,519 | 2,338,092 | |
Huntsman Corp. | 956,476 | 29,162,953 | |
Ingevity Corp. (a) | 19,159 | 1,935,251 | |
International Flavors & Fragrances, Inc. | 22,522 | 2,934,391 | |
Minerals Technologies, Inc. | 88,544 | 5,945,730 | |
Olin Corp. | 55,274 | 1,698,570 | |
PolyOne Corp. | 248,278 | 10,492,228 | |
PQ Group Holdings, Inc. | 271,881 | 4,839,482 | |
Quaker Chemical Corp. | 63,106 | 11,367,915 | |
Rayonier Advanced Materials, Inc. | 169,051 | 3,533,166 | |
Sensient Technologies Corp. | 29,585 | 2,101,127 | |
The Chemours Co. LLC | 99,630 | 4,343,868 | |
The Scotts Miracle-Gro Co. Class A | 97,879 | 7,313,519 | |
Trinseo SA | 195,280 | 15,065,852 | |
Valvoline, Inc. | 729,382 | 15,696,301 | |
Venator Materials PLC | 242,645 | 2,931,152 | |
Westlake Chemical Corp. | 134,039 | 12,676,068 | |
177,347,833 | |||
Construction Materials - 0.3% | |||
Eagle Materials, Inc. | 127,740 | 11,794,234 | |
Martin Marietta Materials, Inc. | 20,428 | 4,059,452 | |
U.S. Concrete, Inc. (a)(b) | 222,115 | 10,705,943 | |
United States Lime & Minerals, Inc. | 1,362 | 103,362 | |
26,662,991 | |||
Containers & Packaging - 1.0% | |||
Aptargroup, Inc. | 235,962 | 24,707,581 | |
Avery Dennison Corp. | 46,627 | 4,904,228 | |
Berry Global Group, Inc. (a) | 66,598 | 3,178,723 | |
Crown Holdings, Inc. (a) | 245,817 | 10,523,426 | |
Graphic Packaging Holding Co. | 1,368,417 | 19,458,890 | |
Greif, Inc. Class A | 59,684 | 3,293,363 | |
Owens-Illinois, Inc. (a) | 396,025 | 6,997,762 | |
Packaging Corp. of America | 36,500 | 4,012,080 | |
WestRock Co. | 152,134 | 8,379,541 | |
85,455,594 | |||
Metals & Mining - 0.8% | |||
Alcoa Corp. (a) | 54,326 | 2,426,742 | |
Carpenter Technology Corp. | 55,917 | 3,336,567 | |
Cleveland-Cliffs, Inc. (a) | 837,106 | 8,412,915 | |
Compass Minerals International, Inc. | 48,586 | 3,039,054 | |
Ferroglobe PLC | 211,431 | 1,750,649 | |
Ferroglobe Representation & Warranty Insurance (a)(c) | 495,885 | 5 | |
Goldcorp, Inc. | 639,152 | 6,905,780 | |
Kinross Gold Corp. (a) | 2,395,103 | 7,157,779 | |
Nucor Corp. | 36,500 | 2,281,250 | |
Reliance Steel & Aluminum Co. | 45,700 | 4,016,573 | |
Steel Dynamics, Inc. | 196,776 | 8,998,566 | |
SunCoke Energy, Inc. (a) | 622,009 | 6,941,620 | |
Tahoe Resources, Inc. (a) | 1,205,538 | 4,147,790 | |
United States Steel Corp. | 172,500 | 5,119,800 | |
64,535,090 | |||
Paper & Forest Products - 0.2% | |||
Boise Cascade Co. | 79,122 | 3,457,631 | |
Clearwater Paper Corp. (a) | 30,900 | 897,645 | |
Domtar Corp. | 79,600 | 4,051,640 | |
Mercer International, Inc. (SBI) | 189,335 | 3,351,230 | |
P.H. Glatfelter Co. | 125,100 | 2,405,673 | |
Schweitzer-Mauduit International, Inc. | 140,787 | 5,728,623 | |
19,892,442 | |||
TOTAL MATERIALS | 373,893,950 | ||
REAL ESTATE - 3.0% | |||
Equity Real Estate Investment Trusts (REITs) - 2.7% | |||
Alexander & Baldwin, Inc. | 30,523 | 716,375 | |
CBL & Associates Properties, Inc. | 226,300 | 1,009,298 | |
Chatham Lodging Trust | 83,686 | 1,795,065 | |
Colony NorthStar, Inc. | 552,047 | 3,384,048 | |
CorEnergy Infrastructure Trust, Inc. | 84,100 | 3,147,863 | |
Corrections Corp. of America | 159,700 | 4,134,633 | |
CubeSmart | 55,570 | 1,697,664 | |
DDR Corp. | 357,750 | 5,004,923 | |
DiamondRock Hospitality Co. | 461,700 | 5,521,932 | |
EastGroup Properties, Inc. | 160,779 | 15,638,973 | |
Essex Property Trust, Inc. | 11,435 | 2,816,212 | |
Extra Space Storage, Inc. | 64,620 | 5,958,610 | |
Franklin Street Properties Corp. | 275,093 | 2,357,547 | |
Getty Realty Corp. | 10,238 | 298,028 | |
Government Properties Income Trust | 247,300 | 4,181,843 | |
Hospitality Properties Trust (SBI) | 209,500 | 6,073,405 | |
InfraReit, Inc. | 11,400 | 238,146 | |
Lamar Advertising Co. Class A | 54,931 | 4,232,434 | |
LaSalle Hotel Properties (SBI) | 104,200 | 3,658,462 | |
Liberty Property Trust (SBI) | 36,900 | 1,614,375 | |
Mack-Cali Realty Corp. | 131,300 | 2,867,592 | |
Medical Properties Trust, Inc. | 998,000 | 15,019,900 | |
Mid-America Apartment Communities, Inc. | 96,927 | 10,037,760 | |
National Retail Properties, Inc. | 339,819 | 15,662,258 | |
National Storage Affiliates Trust | 237,667 | 6,740,236 | |
Omega Healthcare Investors, Inc. | 208,228 | 6,881,935 | |
One Liberty Properties, Inc. | 76,400 | 2,199,556 | |
Outfront Media, Inc. | 432,051 | 8,584,853 | |
Park Hotels & Resorts, Inc. | 76,256 | 2,550,763 | |
Piedmont Office Realty Trust, Inc. Class A | 504,344 | 10,006,185 | |
Potlatch Corp. | 26,842 | 1,296,469 | |
Preferred Apartment Communities, Inc. Class A | 234,200 | 4,173,444 | |
Prologis, Inc. | 47,226 | 3,172,643 | |
RLJ Lodging Trust | 435,079 | 9,532,581 | |
Ryman Hospitality Properties, Inc. | 33,878 | 3,005,995 | |
Sabra Health Care REIT, Inc. | 207,182 | 4,885,352 | |
Select Income REIT | 271,000 | 5,569,050 | |
Senior Housing Properties Trust (SBI) | 399,400 | 7,632,534 | |
Spirit MTA REIT | 66,435 | 712,183 | |
Spirit Realty Capital, Inc. | 722,200 | 6,044,814 | |
Summit Hotel Properties, Inc. | 198,800 | 2,729,524 | |
Universal Health Realty Income Trust (SBI) | 8,285 | 631,731 | |
Urban Edge Properties | 136,779 | 3,126,768 | |
VEREIT, Inc. | 1,265,900 | 9,899,338 | |
Washington Prime Group, Inc. | 365,000 | 2,825,100 | |
Weingarten Realty Investors (SBI) | 78,277 | 2,421,108 | |
Weyerhaeuser Co. | 155,342 | 5,391,921 | |
Xenia Hotels & Resorts, Inc. | 257,700 | 6,251,802 | |
233,333,231 | |||
Real Estate Management & Development - 0.3% | |||
Altisource Portfolio Solutions SA (a) | 8,128 | 293,827 | |
Cushman & Wakefield PLC | 328,890 | 5,808,197 | |
HFF, Inc. | 187,282 | 8,504,476 | |
Jones Lang LaSalle, Inc. | 26,565 | 4,051,694 | |
Realogy Holdings Corp. (b) | 393,511 | 8,417,200 | |
Retail Value, Inc. (a) | 35,775 | 1,277,883 | |
28,353,277 | |||
TOTAL REAL ESTATE | 261,686,508 | ||
TELECOMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.2% | |||
Bandwidth, Inc. (a) | 219,767 | 10,012,585 | |
Ooma, Inc. (a) | 98,930 | 1,582,880 | |
Vonage Holdings Corp. (a) | 305,799 | 4,336,230 | |
Zayo Group Holdings, Inc. (a) | 109,306 | 3,788,546 | |
19,720,241 | |||
Wireless Telecommunication Services - 0.3% | |||
Boingo Wireless, Inc. (a) | 669,699 | 22,153,643 | |
TOTAL TELECOMMUNICATION SERVICES | 41,873,884 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.6% | |||
Entergy Corp. | 208,500 | 17,428,515 | |
FirstEnergy Corp. | 323,100 | 12,077,478 | |
Portland General Electric Co. | 308,816 | 14,329,062 | |
PPL Corp. | 252,726 | 7,516,071 | |
51,351,126 | |||
Gas Utilities - 0.0% | |||
National Fuel Gas Co. | 47,849 | 2,657,055 | |
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 482,823 | 6,498,798 | |
Multi-Utilities - 0.1% | |||
NorthWestern Energy Corp. | 168,047 | 10,076,098 | |
SCANA Corp. | 60,100 | 2,304,234 | |
12,380,332 | |||
TOTAL UTILITIES | 72,887,311 | ||
TOTAL COMMON STOCKS | |||
(Cost $5,791,898,302) | 7,441,074,811 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(c)(d) | |||
(Cost $257,662) | 6,381 | 125,098 | |
Equity Funds - 12.8% | |||
Mid-Cap Blend Funds - 4.1% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (e) | 26,599,264 | 359,356,028 | |
Mid-Cap Growth Funds - 0.0% | |||
iShares Russell Midcap Growth Index ETF | 11,745 | 1,604,484 | |
Sector Funds - 1.1% | |||
Fidelity SAI Real Estate Index Fund (e) | 8,580,017 | 98,155,395 | |
Small Blend Funds - 4.1% | |||
Fidelity Small Cap Index Fund Institutional Premium Class (e) | 15,536,891 | 358,902,188 | |
Small Growth Funds - 0.1% | |||
iShares Russell 2000 Growth Index ETF (b) | 21,475 | 4,731,587 | |
Small Value Funds - 3.4% | |||
AB Discovery Value Fund Advisor Class | 11,369,763 | 280,378,357 | |
Fidelity Small Cap Value Fund (e) | 638,121 | 13,585,594 | |
TOTAL SMALL VALUE FUNDS | 293,963,951 | ||
TOTAL EQUITY FUNDS | |||
(Cost $1,006,732,762) | 1,116,713,633 | ||
Money Market Funds - 3.8% | |||
Fidelity Cash Central Fund, 1.97% (f) | 1,299,589 | 1,299,849 | |
Fidelity Securities Lending Cash Central Fund 1.98% (f)(g) | 166,495,065 | 166,511,714 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (h) | 161,456,175 | 161,456,175 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $329,267,738) | 329,267,738 | ||
TOTAL INVESTMENT IN SECURITIES - 101.9% | |||
(Cost $7,128,156,464) | 8,887,181,280 | ||
NET OTHER ASSETS (LIABILITIES) - (1.9)% | (163,881,778) | ||
NET ASSETS - 100% | $8,723,299,502 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 7 | Sept. 2018 | $609,210 | $19,749 | $19,749 |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 1 | Sept. 2018 | 204,560 | 4,863 | 4,863 |
TOTAL FUTURES CONTRACTS | $24,612 |
The notional amount of futures purchased as a percentage of Net Assets is 0.0%
Percentages shown as 0.0% in the Schedule of Investments may reflect amounts less than 0.05%.
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) 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 $125,098 or 0.0% of net assets.
(e) Affiliated Fund
(f) 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.
(g) Investment made with cash collateral received from securities on loan.
(h) 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 | 9/25/15 | $257,662 |
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 | $8,148 |
Fidelity Securities Lending Cash Central Fund | 1,251,638 |
Total | $1,259,786 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity SAI Real Estate Index Fund | $83,998,367 | $-- | $-- | $1,098,242 | $-- | $14,157,028 | $98,155,395 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 275,953,755 | 154,345,632 | 103,422,328 | -- | 3,035,938 | 29,443,031 | 359,356,028 |
Fidelity Small Cap Index Fund Institutional Premium Class | -- | 342,524,682 | 1,000,000 | 1,668,718 | (36,714) | 17,414,220 | 358,902,188 |
Fidelity Small Cap Value Fund | 351,418,023 | -- | 354,004,846 | -- | 67,831,019 | (51,658,602) | 13,585,594 |
Total | $711,370,145 | $496,870,314 | $458,427,174 | $2,766,960 | $70,830,243 | $9,355,677 | $829,999,205 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $1,117,766,978 | $1,117,641,880 | $-- | $125,098 |
Consumer Staples | 173,760,932 | 173,760,932 | -- | -- |
Energy | 337,981,138 | 337,981,138 | -- | -- |
Financials | 1,094,605,850 | 1,094,605,850 | -- | -- |
Health Care | 972,149,897 | 971,726,533 | -- | 423,364 |
Industrials | 1,373,103,298 | 1,373,103,298 | -- | -- |
Information Technology | 1,621,490,163 | 1,621,490,163 | -- | -- |
Materials | 373,893,950 | 373,893,945 | -- | 5 |
Real Estate | 261,686,508 | 261,686,508 | -- | -- |
Telecommunication Services | 41,873,884 | 41,873,884 | -- | -- |
Utilities | 72,887,311 | 72,887,311 | -- | -- |
Equity Funds | 1,116,713,633 | 1,116,713,633 | -- | -- |
Money Market Funds | 329,267,738 | 329,267,738 | -- | -- |
Total Investments in Securities: | $8,887,181,280 | $8,886,632,813 | $-- | $548,467 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $24,612 | $24,612 | $-- | $-- |
Total Assets | $24,612 | $24,612 | $-- | $-- |
Total Derivative Instruments: | $24,612 | $24,612 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2018. 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) | $24,612 | $0 |
Total Equity Risk | 24,612 | 0 |
Total Value of Derivatives | $24,612 | $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
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $163,405,301) — See accompanying schedule: Unaffiliated issuers (cost $6,228,414,252) | $7,889,370,512 | |
Fidelity Central Funds (cost $167,811,563) | 167,811,563 | |
Other affiliated issuers (cost $731,930,649) | 829,999,205 | |
Total Investment in Securities (cost $7,128,156,464) | $8,887,181,280 | |
Segregated cash with brokers for derivative instruments | 28,200 | |
Receivable for investments sold | 19,881,298 | |
Receivable for fund shares sold | 2,618,210 | |
Dividends receivable | 6,024,856 | |
Interest receivable | 248,976 | |
Distributions receivable from Fidelity Central Funds | 149,251 | |
Receivable for daily variation margin on futures contracts | 2,149 | |
Prepaid expenses | 25,783 | |
Other receivables | 138,587 | |
Total assets | 8,916,298,590 | |
Liabilities | ||
Payable to custodian bank | $1,389,211 | |
Payable for investments purchased | 18,695,662 | |
Payable for fund shares redeemed | 3,276,543 | |
Accrued management fee | 2,794,483 | |
Other affiliated payables | 102,203 | |
Other payables and accrued expenses | 230,896 | |
Collateral on securities loaned | 166,510,090 | |
Total liabilities | 192,999,088 | |
Net Assets | $8,723,299,502 | |
Net Assets consist of: | ||
Paid in capital | $6,556,288,410 | |
Undistributed net investment income | 25,082,016 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 382,879,686 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 1,759,049,390 | |
Net Assets, for 553,495,125 shares outstanding | $8,723,299,502 | |
Net Asset Value, offering price and redemption price per share ($8,723,299,502 ÷ 553,495,125 shares) | $15.76 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $41,560,443 | |
Affiliated issuers | 1,808,642 | |
Interest | 2,460,513 | |
Income from Fidelity Central Funds | 1,259,786 | |
Total income | 47,089,384 | |
Expenses | ||
Management fee | $26,516,813 | |
Transfer agent fees | 4,211,672 | |
Accounting and security lending fees | 641,230 | |
Custodian fees and expenses | 86,222 | |
Independent trustees' fees and expenses | 49,326 | |
Registration fees | 66,751 | |
Audit | 40,522 | |
Legal | 17,990 | |
Miscellaneous | 50,305 | |
Total expenses before reductions | 31,680,831 | |
Expense reductions | (10,266,055) | |
Total expenses after reductions | 21,414,776 | |
Net investment income (loss) | 25,674,608 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 320,217,330 | |
Fidelity Central Funds | 3,194 | |
Other affiliated issuers | 70,830,243 | |
Foreign currency transactions | (2,991) | |
Futures contracts | 20,682,927 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 958,318 | |
Total net realized gain (loss) | 412,689,021 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 417,777,537 | |
Affiliated issuers | 9,355,677 | |
Assets and liabilities in foreign currencies | (29) | |
Futures contracts | (72,787) | |
Total change in net unrealized appreciation (depreciation) | 427,060,398 | |
Net gain (loss) | 839,749,419 | |
Net increase (decrease) in net assets resulting from operations | $865,424,027 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $25,674,608 | $38,726,095 |
Net realized gain (loss) | 412,689,021 | 813,674,202 |
Change in net unrealized appreciation (depreciation) | 427,060,398 | 107,118,004 |
Net increase (decrease) in net assets resulting from operations | 865,424,027 | 959,518,301 |
Distributions to shareholders from net investment income | (6,998,450) | (34,846,518) |
Distributions to shareholders from net realized gain | (317,429,743) | (584,051,673) |
Total distributions | (324,428,193) | (618,898,191) |
Share transactions | ||
Proceeds from sales of shares | 1,122,893,078 | 777,512,574 |
Reinvestment of distributions | 323,505,589 | 617,213,828 |
Cost of shares redeemed | (767,227,312) | (1,280,920,705) |
Net increase (decrease) in net assets resulting from share transactions | 679,171,355 | 113,805,697 |
Total increase (decrease) in net assets | 1,220,167,189 | 454,425,807 |
Net Assets | ||
Beginning of period | 7,503,132,313 | 7,048,706,506 |
End of period | $8,723,299,502 | $7,503,132,313 |
Other Information | ||
Undistributed net investment income end of period | $25,082,016 | $6,405,858 |
Shares | ||
Sold | 76,643,624 | 52,904,604 |
Issued in reinvestment of distributions | 23,025,309 | 41,904,328 |
Redeemed | (50,941,259) | (86,702,639) |
Net increase (decrease) | 48,727,674 | 8,106,293 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $14.86 | $14.19 | $11.12 | $13.66 | $14.12 | $12.30 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .05 | .08 | .05 | .04 | .03 | .02 |
Net realized and unrealized gain (loss) | 1.50 | 1.88 | 3.29 | (1.78) | .64 | 3.33 |
Total from investment operations | 1.55 | 1.96 | 3.34 | (1.74) | .67 | 3.35 |
Distributions from net investment income | (.01) | (.07) | (.04) | (.03) | (.03) | (.02) |
Distributions from net realized gain | (.64) | (1.22) | (.22) | (.77) | (1.11) | (1.51) |
Total distributions | (.65) | (1.29) | (.27)C | (.80) | (1.13)D | (1.53) |
Net asset value, end of period | $15.76 | $14.86 | $14.19 | $11.12 | $13.66 | $14.12 |
Total ReturnE,F | 10.96% | 14.04% | 30.11% | (13.45)% | 5.45% | 28.21% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .77%I | .85% | .87% | .72% | .62% | .70% |
Expenses net of fee waivers, if any | .52%I | .60% | .62% | .46% | .37% | .45% |
Expenses net of all reductions | .52%I | .60% | .62% | .46% | .37% | .45% |
Net investment income (loss) | .62%I | .53% | .37% | .28% | .23% | .14% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $8,723,300 | $7,503,132 | $7,048,707 | $6,718,287 | $7,202,333 | $5,426,420 |
Portfolio turnover rateJ | 78%I | 75% | 82% | 71% | 54% | 84% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.27 per share is comprised of distributions from net investment income of $.044 and distributions from net realized gain of $.224 per share.
D Total distributions of $1.13 per share is comprised of distributions from net investment income of $.026 and distributions from net realized gain of $1.105 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 August 31, 2018
1. Organization.
Strategic Advisers Small-Mid Cap 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 certain clients of Strategic Advisers LLC. (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. 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.
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 August 31, 2018 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 include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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), certain independent Trustees have elected 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 of $138,587 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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, passive foreign investment companies (PFIC), market discount, equity-debt classifications, partnerships, 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 | $1,991,909,955 |
Gross unrealized depreciation | (260,733,942) |
Net unrealized appreciation (depreciation) | $1,731,176,013 |
Tax cost | $7,156,029,879 |
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. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $3,758,647,632 and $3,052,785,065, 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 1.10% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .65% 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. AllianceBernstein, L.P. (AB), ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), LLC, Boston Partners Global Investors, Inc., Fisher Investments, Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, Rice Hall James & Associates, LLC, Victory Capital Management, Inc., Systematic Financial Management, L.P. (through May 17, 2018), BNY Mellon Asset Management North America Corporation and Voya Investment Management Co., LLC 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 (FIAM)(an affiliate of the investment adviser) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM 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.
During September 2018, the agreement with Systematic Financial Management, L.P. was not renewed.
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. Effective July 1, 2018, transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018, FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid 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 .10% 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. For the period, the fees were equivalent to an annualized rate of .02%.
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 $3,012 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 $10,889 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 $1,251,638.
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, 2021. During the period, this waiver reduced the Fund's management fee by $10,266,055.
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 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity SAI Small-Mid Cap 500 Index Fund | 15% |
Fidelity SAI Real Estate Index Fund | 99% |
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 (March 1, 2018 to August 31, 2018).
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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Actual | .52% | $1,000.00 | $1,109.60 | $2.77-C |
Hypothetical-D | $1,000.00 | $1,022.58 | $2.65-C |
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 184/365 (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 If fees and changes to the Fund's expense contract and/ or expense cap, effective July 1, 2018, had been in effect for the entire current period, the restated annualized expense ratio would have been .42% and the expenses paid in the actual and hypothetical examples above would have been $2.23 and $2.14, respectively.
D 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Small-Mid Cap Fund
On March 8, 2018, 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 FIAM LLC (FIAM) for the fund (the Amended Sub-Advisory Agreement), which will lower the amount of fees to be paid by Strategic Advisers to FIAM, on behalf of the fund, at all asset levels. 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 FIAM, 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 previously received information regarding the sub-adviser's historical investment performance of its portion of fund and/or the performance of the strategy. 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 with FIAM 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 FIAM at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to FIAM 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 FIAM, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement.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 will have no impact on the management fee retained by Strategic Advisers, if any, 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. The Board noted that it will consider costs of services and profitability to Strategic Advisers and FIAM as a result of their relationship with the fund in connection with future renewals of the Amended Sub-Advisory Agreement and the fund's advisory agreement with Strategic Advisers.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 noted that the Amended Sub-Advisory Agreement charges a flat rate on all assets, but that the rate to be charged under the Amended Sub-Advisory Agreement is lower than the effective rates that would be charged at all asset levels under the current sub-advisory agreement. 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.Board Approval of Investment Advisory Contract and Management FeesStrategic Advisers Small-Mid Cap FundOn June 7, 2018, 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 (the Current Sub- Advisory Agreement) with Geode Capital Management, LLC (Geode) to add an additional investment mandate (the Amended Sub-Advisory Agreement) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.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 LLC (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 bears a reasonable relationship to the services to be rendered and 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. 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 noted that it is familiar with the nature, extent and quality of services provided by Geode from its oversight of Geode as a sub-adviser on an existing investment mandate on behalf of the fund and other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to the fund and other funds will also provide services to the fund. The Board considered the staffing within Geode, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Geode's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund under the new investment mandate and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Geode will utilize a different investment mandate to manage the fund than it currently uses on behalf of the fund and other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund under the new investment mandate, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Geode's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Geode's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Geode under the Amended Sub- Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered that the investment mandate to be utilized by Geode is new and, therefore, does not have historical investment performance. The Board reviewed hypothetical backtested performance of the new investment mandate. The Board noted that it is familiar with Geode's performance as a sub-adviser to an existing investment mandate on behalf of the fund and other Strategic Advisers funds.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 should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Amended Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Geode and the projected change in the fund's total operating expenses as a result of the new investment mandate.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.10% of the fund's average daily net assets and that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its 0.25% portion of the fund's management fee through September 30, 2020. The Board also considered that the fund's total net expenses after allocating assets to Geode are expected to continue to rank below the median expense ratio of its competitive peer group. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses 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 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Amended Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the addition of the new investment mandate will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board considered that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee.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 to be rendered 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
SMC-SANN-1018
1.912859.108
Strategic Advisers® Small-Mid Cap Multi-Manager Fund Semi-Annual Report August 31, 2018 |
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity Small Cap Index Fund Institutional Premium Class | 4.8 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 4.7 |
Skechers U.S.A., Inc. Class A (sub. vtg.) | 1.0 |
SS&C Technologies Holdings, Inc. | 0.8 |
Carbonite, Inc. | 0.7 |
ServiceMaster Global Holdings, Inc. | 0.7 |
Sensata Technologies, Inc. PLC | 0.6 |
Pool Corp. | 0.6 |
Carter's, Inc. | 0.6 |
Fidelity SAI Real Estate Index Fund | 0.6 |
15.1 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Industrials | 17.9 |
Information Technology | 17.5 |
Consumer Discretionary | 13.7 |
Financials | 12.3 |
Health Care | 10.4 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 87.5% | |
Mid-Cap Blend Funds | 4.7% | |
Small Blend Funds | 4.8% | |
Sector Funds | 0.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.4% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 87.5% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.7% | |||
Auto Components - 1.3% | |||
American Axle & Manufacturing Holdings, Inc. (a) | 1,014 | $17,958 | |
BorgWarner, Inc. | 700 | 30,639 | |
Cooper Tire & Rubber Co. | 105 | 3,029 | |
Cooper-Standard Holding, Inc. (a) | 260 | 35,992 | |
Dana Holding Corp. | 800 | 15,656 | |
Delphi Technologies PLC | 653 | 23,005 | |
Lear Corp. | 200 | 32,440 | |
The Goodyear Tire & Rubber Co. | 1,274 | 28,907 | |
Tower International, Inc. | 600 | 20,280 | |
Visteon Corp. (a) | 157 | 17,331 | |
225,237 | |||
Automobiles - 0.2% | |||
Thor Industries, Inc. | 345 | 32,927 | |
Distributors - 0.8% | |||
LKQ Corp. (a) | 912 | 31,482 | |
Pool Corp. | 715 | 117,446 | |
148,928 | |||
Diversified Consumer Services - 1.5% | |||
Bright Horizons Family Solutions, Inc. (a) | 360 | 42,995 | |
Carriage Services, Inc. | 400 | 9,108 | |
Grand Canyon Education, Inc. (a) | 742 | 88,402 | |
ServiceMaster Global Holdings, Inc. (a) | 2,127 | 128,194 | |
268,699 | |||
Hotels, Restaurants & Leisure - 1.4% | |||
Bloomin' Brands, Inc. | 900 | 17,370 | |
Carrols Restaurant Group, Inc. (a) | 1,438 | 22,720 | |
Cedar Fair LP (depositary unit) | 506 | 26,889 | |
Dave & Buster's Entertainment, Inc. (a) | 383 | 22,279 | |
Dunkin' Brands Group, Inc. | 429 | 31,270 | |
Fiesta Restaurant Group, Inc. (a) | 155 | 4,456 | |
Norwegian Cruise Line Holdings Ltd. (a) | 747 | 40,047 | |
Penn National Gaming, Inc. (a) | 660 | 22,744 | |
Red Lion Hotels Corp. (a) | 1,837 | 25,075 | |
U.S. Foods Holding Corp. (a) | 291 | 9,484 | |
Wyndham Destinations, Inc. | 200 | 8,840 | |
Wyndham Hotels & Resorts, Inc. | 200 | 11,350 | |
242,524 | |||
Household Durables - 0.6% | |||
Helen of Troy Ltd. (a) | 177 | 21,054 | |
M.D.C. Holdings, Inc. | 1,000 | 31,700 | |
Newell Brands, Inc. | 1,099 | 23,870 | |
Skyline Champion Corp. | 52 | 1,503 | |
Whirlpool Corp. | 200 | 24,996 | |
103,123 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Groupon, Inc. (a) | 771 | 3,292 | |
Liberty Interactive Corp. QVC Group Series A (a) | 282 | 5,863 | |
U.S. Auto Parts Network, Inc. (a) | 5,214 | 7,612 | |
16,767 | |||
Leisure Products - 0.9% | |||
Brunswick Corp. | 1,428 | 94,848 | |
Polaris Industries, Inc. | 607 | 65,829 | |
160,677 | |||
Media - 1.3% | |||
Altice U.S.A., Inc. Class A | 931 | 16,684 | |
AMC Networks, Inc. Class A (a) | 400 | 25,124 | |
Cinemark Holdings, Inc. | 2,613 | 97,517 | |
Criteo SA sponsored ADR (a) | 738 | 18,310 | |
Discovery Communications, Inc. Class C (non-vtg.) (a) | 317 | 8,128 | |
E.W. Scripps Co. Class A | 366 | 5,369 | |
National CineMedia, Inc. | 4,108 | 37,383 | |
Nexstar Broadcasting Group, Inc. Class A | 106 | 8,692 | |
Sinclair Broadcast Group, Inc. Class A | 497 | 14,388 | |
231,595 | |||
Multiline Retail - 0.5% | |||
Dillard's, Inc. Class A | 200 | 15,716 | |
Kohl's Corp. | 800 | 63,288 | |
Tuesday Morning Corp. (a) | 2,138 | 6,521 | |
85,525 | |||
Specialty Retail - 2.3% | |||
Aaron's, Inc. Class A | 1,655 | 82,287 | |
American Eagle Outfitters, Inc. | 800 | 20,768 | |
Conn's, Inc. (a) | 496 | 20,336 | |
Dick's Sporting Goods, Inc. | 518 | 19,394 | |
Foot Locker, Inc. | 600 | 29,580 | |
Monro, Inc. | 685 | 48,601 | |
Murphy U.S.A., Inc. (a) | 400 | 33,192 | |
Office Depot, Inc. | 4,100 | 13,735 | |
Penske Automotive Group, Inc. | 400 | 21,052 | |
Sally Beauty Holdings, Inc. (a) | 5,179 | 79,757 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 800 | 17,200 | |
The Children's Place Retail Stores, Inc. | 160 | 22,520 | |
408,422 | |||
Textiles, Apparel & Luxury Goods - 2.8% | |||
Carter's, Inc. | 1,034 | 109,532 | |
Hanesbrands, Inc. | 4,518 | 79,246 | |
Michael Kors Holdings Ltd. (a) | 300 | 21,786 | |
PetIQ, Inc. Class A (a) | 102 | 3,994 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 6,084 | 179,356 | |
Switch, Inc. Class A | 3,342 | 38,634 | |
Under Armour, Inc. Class C (non-vtg.) (a) | 1,843 | 34,962 | |
Wolverine World Wide, Inc. | 1,211 | 47,447 | |
514,957 | |||
TOTAL CONSUMER DISCRETIONARY | 2,439,381 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 0.1% | |||
Primo Water Corp. (a) | 1,221 | 24,420 | |
Food & Staples Retailing - 0.9% | |||
Casey's General Stores, Inc. | 257 | 29,342 | |
Performance Food Group Co. (a) | 2,080 | 68,848 | |
SpartanNash Co. | 700 | 14,945 | |
SUPERVALU, Inc. (a) | 1,000 | 32,290 | |
Weis Markets, Inc. | 400 | 18,636 | |
164,061 | |||
Food Products - 0.8% | |||
Farmer Brothers Co. (a) | 523 | 15,167 | |
Ingredion, Inc. | 39 | 3,942 | |
Lamb Weston Holdings, Inc. | 978 | 66,113 | |
Nomad Foods Ltd. (a) | 706 | 14,720 | |
Pilgrim's Pride Corp. (a) | 1,200 | 22,188 | |
Sanderson Farms, Inc. | 200 | 21,152 | |
143,282 | |||
Household Products - 0.2% | |||
Central Garden & Pet Co. (a) | 393 | 15,602 | |
Spectrum Brands Holdings, Inc. | 179 | 15,546 | |
31,148 | |||
Personal Products - 0.1% | |||
elf Beauty, Inc. (a) | 1,321 | 18,349 | |
TOTAL CONSUMER STAPLES | 381,260 | ||
ENERGY - 3.8% | |||
Energy Equipment & Services - 1.0% | |||
Core Laboratories NV | 430 | 49,257 | |
McDermott International, Inc. (a) | 1,441 | 27,869 | |
Patterson-UTI Energy, Inc. | 2,846 | 48,752 | |
RigNet, Inc. (a) | 1,386 | 22,592 | |
U.S. Silica Holdings, Inc. | 1,000 | 21,190 | |
169,660 | |||
Oil, Gas & Consumable Fuels - 2.8% | |||
Abraxas Petroleum Corp. (a) | 7,517 | 16,913 | |
Arch Coal, Inc. | 89 | 7,892 | |
Cabot Oil & Gas Corp. | 1,937 | 46,159 | |
Canacol Energy Ltd. (a) | 5,107 | 16,241 | |
Cheniere Energy, Inc. (a) | 258 | 17,268 | |
Cimarex Energy Co. | 599 | 50,604 | |
Delek U.S. Holdings, Inc. | 413 | 22,509 | |
Earthstone Energy, Inc. (a) | 355 | 2,975 | |
Extraction Oil & Gas, Inc. (a) | 1,651 | 19,069 | |
Highpoint Resources, Inc. (a) | 2,114 | 11,648 | |
Laredo Petroleum, Inc. (a) | 800 | 6,632 | |
Leucrotta Exploration, Inc. (a) | 4,493 | 6,559 | |
Magnolia Oil & Gas Corp. Class A (a) | 3,190 | 44,213 | |
Newfield Exploration Co. (a) | 900 | 24,552 | |
Oasis Petroleum, Inc. (a) | 1,475 | 19,854 | |
Paramount Resources Ltd. Class A (a) | 2,126 | 23,459 | |
Parsley Energy, Inc. Class A (a) | 1,090 | 30,269 | |
PBF Energy, Inc. Class A | 945 | 49,064 | |
Penn Virginia Corp. (a) | 30 | 2,668 | |
Scorpio Tankers, Inc. | 4,433 | 8,511 | |
Sundance Energy Australia Ltd. (a) | 146,725 | 7,384 | |
W&T Offshore, Inc. (a) | 4,800 | 32,496 | |
Whiting Petroleum Corp. (a) | 467 | 23,775 | |
World Fuel Services Corp. | 300 | 8,409 | |
499,123 | |||
TOTAL ENERGY | 668,783 | ||
FINANCIALS - 12.3% | |||
Banks - 5.1% | |||
Associated Banc-Corp. | 1,133 | 30,874 | |
Bank of the Ozarks, Inc. | 483 | 19,542 | |
BankUnited, Inc. | 1,740 | 67,495 | |
Cadence Bancorp Class A | 995 | 28,109 | |
Cathay General Bancorp | 800 | 33,840 | |
Central Pacific Financial Corp. | 400 | 11,332 | |
CIT Group, Inc. | 700 | 37,968 | |
Commerce Bancshares, Inc. | 475 | 33,754 | |
Cullen/Frost Bankers, Inc. | 250 | 27,723 | |
East West Bancorp, Inc. | 399 | 25,293 | |
First Hawaiian, Inc. | 1,247 | 36,151 | |
First Horizon National Corp. | 2,073 | 38,185 | |
First Interstate Bancsystem, Inc. | 762 | 35,395 | |
Fulton Financial Corp. | 1,000 | 18,200 | |
Great Western Bancorp, Inc. | 381 | 16,589 | |
Hancock Whitney Corp. | 300 | 15,465 | |
Hanmi Financial Corp. | 500 | 13,050 | |
IBERIABANK Corp. | 647 | 56,063 | |
KeyCorp | 2,500 | 52,675 | |
Old National Bancorp, Indiana | 1,400 | 28,420 | |
Preferred Bank, Los Angeles | 154 | 9,426 | |
Regions Financial Corp. | 2,600 | 50,596 | |
Signature Bank | 213 | 24,653 | |
SVB Financial Group (a) | 89 | 28,725 | |
TCF Financial Corp. | 1,500 | 38,025 | |
Western Alliance Bancorp. (a) | 671 | 38,683 | |
Wintrust Financial Corp. | 413 | 36,571 | |
Zions Bancorporation | 900 | 47,961 | |
900,763 | |||
Capital Markets - 2.2% | |||
E*TRADE Financial Corp. (a) | 354 | 20,836 | |
Eaton Vance Corp. (non-vtg.) | 987 | 52,045 | |
FactSet Research Systems, Inc. | 139 | 31,885 | |
Lazard Ltd. Class A | 1,368 | 65,856 | |
Legg Mason, Inc. | 700 | 21,840 | |
LPL Financial | 1,025 | 67,896 | |
Moelis & Co. Class A | 335 | 19,447 | |
Morningstar, Inc. | 219 | 31,168 | |
PennantPark Investment Corp. | 2,600 | 20,228 | |
Prospect Capital Corp. | 2,900 | 21,750 | |
WisdomTree Investments, Inc. | 3,936 | 32,354 | |
385,305 | |||
Consumer Finance - 0.9% | |||
Ally Financial, Inc. | 1,818 | 48,868 | |
Navient Corp. | 900 | 12,276 | |
OneMain Holdings, Inc. (a) | 1,182 | 43,379 | |
SLM Corp. (a) | 5,169 | 60,581 | |
165,104 | |||
Diversified Financial Services - 0.9% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 700 | 14,469 | |
Donnelley Financial Solutions, Inc. (a) | 137 | 2,862 | |
Focus Financial Partners, Inc. Class A | 270 | 11,364 | |
Granite Point Mortgage Trust, Inc. | 142 | 2,718 | |
Jefferies Financial Group, Inc. | 1,814 | 42,121 | |
On Deck Capital, Inc. (a) | 7,290 | 59,924 | |
Voya Financial, Inc. | 737 | 36,902 | |
170,360 | |||
Insurance - 2.3% | |||
Assured Guaranty Ltd. | 700 | 28,518 | |
Athene Holding Ltd. (a) | 235 | 11,670 | |
CNA Financial Corp. | 700 | 31,430 | |
CNO Financial Group, Inc. | 1,900 | 41,059 | |
Everest Re Group Ltd. | 120 | 26,762 | |
First American Financial Corp. | 700 | 39,802 | |
Genworth Financial, Inc. Class A (a) | 2,800 | 13,020 | |
Heritage Insurance Holdings, Inc. | 800 | 11,720 | |
Kinsale Capital Group, Inc. | 385 | 23,396 | |
Lincoln National Corp. | 600 | 39,348 | |
ProAssurance Corp. | 650 | 31,428 | |
Reinsurance Group of America, Inc. | 230 | 32,856 | |
RLI Corp. | 288 | 22,167 | |
Universal Insurance Holdings, Inc. | 600 | 26,760 | |
Unum Group | 900 | 33,192 | |
413,128 | |||
Mortgage Real Estate Investment Trusts - 0.5% | |||
MFA Financial, Inc. | 2,300 | 17,618 | |
New York Mortgage Trust, Inc. | 2,300 | 14,720 | |
Redwood Trust, Inc. | 1,100 | 18,678 | |
Starwood Property Trust, Inc. | 1,100 | 24,233 | |
Two Harbors Investment Corp. | 750 | 11,715 | |
86,964 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Lendingtree, Inc. (a) | 39 | 9,881 | |
MGIC Investment Corp. (a) | 3,100 | 39,432 | |
Radian Group, Inc. | 800 | 16,264 | |
65,577 | |||
TOTAL FINANCIALS | 2,187,201 | ||
HEALTH CARE - 10.4% | |||
Biotechnology - 1.3% | |||
Agios Pharmaceuticals, Inc. (a) | 270 | 21,794 | |
Atara Biotherapeutics, Inc. (a) | 549 | 22,482 | |
DBV Technologies SA sponsored ADR (a) | 1,184 | 26,332 | |
Dyax Corp. rights 12/31/19 (a)(b) | 741 | 2,964 | |
Exact Sciences Corp. (a) | 303 | 22,692 | |
Heron Therapeutics, Inc. (a) | 757 | 29,182 | |
Immune Design Corp. (a) | 1,310 | 4,978 | |
Immunomedics, Inc. (a) | 1,139 | 30,480 | |
Neurocrine Biosciences, Inc. (a) | 268 | 32,951 | |
Sage Therapeutics, Inc. (a) | 175 | 28,746 | |
United Therapeutics Corp. (a) | 100 | 12,299 | |
234,900 | |||
Health Care Equipment & Supplies - 2.5% | |||
Anika Therapeutics, Inc. (a) | 250 | 10,348 | |
AxoGen, Inc. (a) | 667 | 29,248 | |
DexCom, Inc. (a) | 146 | 21,079 | |
Endologix, Inc. (a) | 4,371 | 10,053 | |
IDEXX Laboratories, Inc. (a) | 321 | 81,547 | |
Insulet Corp. (a) | 220 | 22,939 | |
Integer Holdings Corp. (a) | 300 | 23,970 | |
Masimo Corp. (a) | 178 | 20,984 | |
Nevro Corp. (a) | 595 | 40,115 | |
Quanterix Corp. (a) | 557 | 9,319 | |
Steris PLC | 517 | 59,155 | |
The Cooper Companies, Inc. | 140 | 35,809 | |
West Pharmaceutical Services, Inc. | 617 | 72,220 | |
436,786 | |||
Health Care Providers & Services - 2.8% | |||
Capital Senior Living Corp. (a) | 879 | 7,797 | |
Centene Corp. (a) | 518 | 75,877 | |
G1 Therapeutics, Inc. (a) | 348 | 21,117 | |
HealthEquity, Inc. (a) | 232 | 21,857 | |
HealthSouth Corp. | 858 | 70,004 | |
Henry Schein, Inc. (a) | 512 | 39,772 | |
LifePoint Hospitals, Inc. (a) | 500 | 32,200 | |
Magellan Health Services, Inc. (a) | 200 | 14,700 | |
MEDNAX, Inc. (a) | 1,006 | 47,634 | |
Molina Healthcare, Inc. (a) | 270 | 37,260 | |
Owens & Minor, Inc. | 1,100 | 18,678 | |
Premier, Inc. (a) | 780 | 34,499 | |
Quest Diagnostics, Inc. | 100 | 10,998 | |
Wellcare Health Plans, Inc. (a) | 214 | 64,750 | |
497,143 | |||
Health Care Technology - 0.9% | |||
athenahealth, Inc. (a) | 268 | 41,245 | |
Evolent Health, Inc. (a) | 1,443 | 36,797 | |
Medidata Solutions, Inc. (a) | 873 | 74,188 | |
Omnicell, Inc. (a) | 243 | 16,706 | |
168,936 | |||
Life Sciences Tools & Services - 0.9% | |||
Bio-Rad Laboratories, Inc. Class A (a) | 96 | 31,229 | |
Cambrex Corp. (a) | 294 | 19,816 | |
PRA Health Sciences, Inc. (a) | 302 | 31,891 | |
Syneos Health, Inc. (a) | 1,618 | 80,657 | |
163,593 | |||
Pharmaceuticals - 2.0% | |||
Avadel Pharmaceuticals PLC sponsored ADR (a) | 424 | 2,175 | |
Catalent, Inc. (a) | 1,923 | 80,381 | |
Jazz Pharmaceuticals PLC (a) | 225 | 38,457 | |
Lannett Co., Inc. (a) | 900 | 4,815 | |
Mallinckrodt PLC (a) | 500 | 17,230 | |
Mylan NV (a) | 551 | 21,561 | |
Prestige Brands Holdings, Inc. (a) | 2,005 | 77,193 | |
Revance Therapeutics, Inc. (a) | 798 | 21,865 | |
TherapeuticsMD, Inc. (a) | 7,896 | 51,166 | |
Zogenix, Inc. (a) | 695 | 33,569 | |
348,412 | |||
TOTAL HEALTH CARE | 1,849,770 | ||
INDUSTRIALS - 17.9% | |||
Aerospace & Defense - 0.8% | |||
HEICO Corp. Class A | 456 | 33,972 | |
Huntington Ingalls Industries, Inc. | 60 | 14,668 | |
Moog, Inc. Class A | 200 | 15,782 | |
Spirit AeroSystems Holdings, Inc. Class A | 700 | 59,850 | |
Wesco Aircraft Holdings, Inc. (a) | 1,041 | 12,648 | |
136,920 | |||
Air Freight & Logistics - 0.5% | |||
Atlas Air Worldwide Holdings, Inc. (a) | 400 | 24,360 | |
Forward Air Corp. | 958 | 61,561 | |
85,921 | |||
Airlines - 1.2% | |||
Air Canada (a) | 3,803 | 78,158 | |
Alaska Air Group, Inc. | 300 | 20,247 | |
JetBlue Airways Corp. (a) | 1,600 | 30,528 | |
SkyWest, Inc. | 1,341 | 87,567 | |
216,500 | |||
Building Products - 1.1% | |||
Allegion PLC | 549 | 47,884 | |
Fortune Brands Home & Security, Inc. | 755 | 40,000 | |
Owens Corning | 400 | 22,648 | |
Patrick Industries, Inc. (a) | 598 | 38,272 | |
Simpson Manufacturing Co. Ltd. | 110 | 8,445 | |
USG Corp. (a) | 984 | 42,410 | |
199,659 | |||
Commercial Services & Supplies - 4.0% | |||
ABM Industries, Inc. | 1,789 | 56,747 | |
ADS Waste Holdings, Inc. (a) | 563 | 15,021 | |
Brady Corp. Class A | 1,354 | 54,769 | |
BrightView Holdings, Inc. | 1,510 | 26,818 | |
Casella Waste Systems, Inc. Class A (a) | 775 | 21,995 | |
Charah Solutions, Inc. | 1,509 | 11,061 | |
Cimpress NV (a) | 253 | 35,420 | |
Clean Harbors, Inc. (a) | 1,166 | 79,976 | |
Deluxe Corp. | 400 | 23,688 | |
Evoqua Water Technologies Corp. (a) | 1,717 | 33,275 | |
Herman Miller, Inc. | 1,424 | 54,539 | |
Hudson Technologies, Inc. (a) | 622 | 1,163 | |
KAR Auction Services, Inc. | 690 | 43,256 | |
LSC Communications, Inc. | 137 | 1,676 | |
Msa Safety, Inc. | 210 | 21,229 | |
Multi-Color Corp. | 1,238 | 76,447 | |
Pitney Bowes, Inc. | 2,061 | 14,963 | |
R.R. Donnelley & Sons Co. | 366 | 1,852 | |
Ritchie Brothers Auctioneers, Inc. | 994 | 37,881 | |
Waste Connection, Inc. (United States) | 1,341 | 106,462 | |
718,238 | |||
Construction & Engineering - 0.3% | |||
Fluor Corp. | 312 | 17,912 | |
Williams Scotsman Corp. (a) | 1,560 | 27,222 | |
45,134 | |||
Electrical Equipment - 1.0% | |||
Generac Holdings, Inc. (a) | 583 | 32,351 | |
Regal Beloit Corp. | 400 | 33,480 | |
Sensata Technologies, Inc. PLC (a) | 2,222 | 117,655 | |
183,486 | |||
Industrial Conglomerates - 0.1% | |||
ITT, Inc. | 400 | 23,644 | |
Machinery - 4.2% | |||
Allison Transmission Holdings, Inc. | 1,088 | 54,030 | |
Crane Co. | 100 | 9,128 | |
Douglas Dynamics, Inc. | 758 | 34,716 | |
Gates Industrial Corp. PLC (a) | 1,542 | 28,111 | |
Global Brass & Copper Holdings, Inc. | 600 | 23,130 | |
John Bean Technologies Corp. | 556 | 65,775 | |
Kennametal, Inc. | 1,458 | 59,545 | |
Lincoln Electric Holdings, Inc. | 372 | 35,028 | |
Middleby Corp. (a) | 523 | 63,565 | |
Park-Ohio Holdings Corp. | 300 | 12,435 | |
Proto Labs, Inc. (a) | 136 | 21,141 | |
RBC Bearings, Inc. (a) | 380 | 56,928 | |
Snap-On, Inc. | 282 | 49,852 | |
Tennant Co. | 723 | 55,346 | |
Timken Co. | 300 | 14,595 | |
Toro Co. | 1,474 | 89,604 | |
Wabtec Corp. | 277 | 30,005 | |
Woodward, Inc. | 579 | 46,644 | |
749,578 | |||
Marine - 0.5% | |||
Kirby Corp. (a) | 969 | 84,594 | |
Professional Services - 0.9% | |||
Manpower, Inc. | 300 | 28,119 | |
Nielsen Holdings PLC | 970 | 25,220 | |
TriNet Group, Inc. (a) | 1,799 | 106,267 | |
159,606 | |||
Road & Rail - 1.8% | |||
Avis Budget Group, Inc. (a) | 941 | 29,275 | |
Covenant Transport Group, Inc. Class A (a) | 180 | 5,377 | |
Daseke, Inc. (a) | 3,088 | 27,761 | |
Heartland Express, Inc. | 3,117 | 63,743 | |
J.B. Hunt Transport Services, Inc. | 173 | 20,890 | |
Knight-Swift Transportation Holdings, Inc. Class A | 2,282 | 77,885 | |
Landstar System, Inc. | 300 | 34,740 | |
Ryder System, Inc. | 300 | 23,052 | |
Werner Enterprises, Inc. | 777 | 28,788 | |
311,511 | |||
Trading Companies & Distributors - 1.5% | |||
Applied Industrial Technologies, Inc. | 479 | 36,907 | |
CAI International, Inc. (a) | 386 | 10,418 | |
GATX Corp. | 400 | 33,780 | |
MSC Industrial Direct Co., Inc. Class A | 969 | 82,830 | |
Systemax, Inc. | 270 | 9,855 | |
Triton International Ltd. | 1,000 | 37,780 | |
United Rentals, Inc. (a) | 240 | 37,409 | |
Univar, Inc. (a) | 611 | 16,998 | |
265,977 | |||
TOTAL INDUSTRIALS | 3,180,768 | ||
INFORMATION TECHNOLOGY - 17.5% | |||
Communications Equipment - 1.2% | |||
Ciena Corp. (a) | 2,698 | 85,203 | |
F5 Networks, Inc. (a) | 200 | 37,824 | |
Finisar Corp. (a) | 1,028 | 20,971 | |
Infinera Corp. (a) | 1,566 | 14,016 | |
Juniper Networks, Inc. | 1,200 | 34,116 | |
KVH Industries, Inc. (a) | 139 | 1,731 | |
ViaSat, Inc. (a) | 33 | 2,073 | |
Viavi Solutions, Inc. (a) | 1,753 | 19,634 | |
215,568 | |||
Electronic Equipment & Components - 2.5% | |||
Arrow Electronics, Inc. (a) | 300 | 23,259 | |
Avnet, Inc. | 600 | 29,040 | |
Belden, Inc. | 552 | 40,141 | |
CDW Corp. | 677 | 59,278 | |
Cognex Corp. | 700 | 37,660 | |
Flextronics International Ltd. (a) | 1,400 | 19,306 | |
Jabil, Inc. | 1,200 | 35,472 | |
Keysight Technologies, Inc. (a) | 353 | 22,906 | |
Sanmina Corp. (a) | 700 | 21,560 | |
Trimble, Inc. (a) | 2,504 | 105,418 | |
TTM Technologies, Inc. (a) | 1,200 | 22,440 | |
Vishay Intertechnology, Inc. | 900 | 21,420 | |
437,900 | |||
Internet Software & Services - 5.3% | |||
2U, Inc. (a) | 499 | 44,591 | |
Alphabet, Inc. Class C (a) | 24 | 29,237 | |
Apptio, Inc. Class A (a) | 811 | 31,467 | |
Box, Inc. Class A (a) | 887 | 21,785 | |
Carbonite, Inc. (a) | 3,093 | 128,514 | |
Care.com, Inc. (a) | 3,015 | 58,581 | |
ChannelAdvisor Corp. (a) | 1,457 | 19,014 | |
Cornerstone OnDemand, Inc. (a) | 580 | 32,805 | |
DocuSign, Inc. | 100 | 6,244 | |
Facebook, Inc. Class A (a) | 66 | 11,598 | |
GoDaddy, Inc. (a) | 397 | 32,340 | |
GrubHub, Inc. (a) | 512 | 73,784 | |
Hortonworks, Inc. (a) | 2,541 | 56,715 | |
Instructure, Inc. (a) | 436 | 17,854 | |
Internap Network Services Corp. (a) | 2,087 | 28,008 | |
j2 Global, Inc. | 652 | 53,836 | |
LogMeIn, Inc. | 961 | 82,598 | |
Match Group, Inc. (a) | 342 | 17,117 | |
Nutanix, Inc. Class A (a) | 388 | 21,852 | |
Q2 Holdings, Inc. (a) | 939 | 58,500 | |
Shutterstock, Inc. | 1,228 | 67,589 | |
Stamps.com, Inc. (a) | 104 | 25,839 | |
Yelp, Inc. (a) | 478 | 22,523 | |
942,391 | |||
IT Services - 1.9% | |||
Acxiom Corp. (a) | 414 | 18,916 | |
Amdocs Ltd. | 500 | 32,640 | |
Convergys Corp. | 700 | 17,311 | |
CoreLogic, Inc. (a) | 603 | 30,657 | |
Euronet Worldwide, Inc. (a) | 751 | 73,448 | |
First Data Corp. Class A (a) | 1,295 | 33,307 | |
Gartner, Inc. (a) | 234 | 35,044 | |
Presidio, Inc. | 2,413 | 36,485 | |
Unisys Corp. (a) | 3,204 | 59,594 | |
Virtusa Corp. (a) | 113 | 6,583 | |
343,985 | |||
Semiconductors & Semiconductor Equipment - 1.2% | |||
Advanced Energy Industries, Inc. (a) | 500 | 29,790 | |
Advanced Micro Devices, Inc. (a) | 1,225 | 30,833 | |
AXT, Inc. (a) | 1,107 | 8,745 | |
Cabot Microelectronics Corp. | 510 | 57,492 | |
Cirrus Logic, Inc. (a) | 500 | 21,975 | |
Maxim Integrated Products, Inc. | 238 | 14,392 | |
ON Semiconductor Corp. (a) | 1,800 | 38,412 | |
Teradyne, Inc. | 526 | 21,666 | |
223,305 | |||
Software - 4.4% | |||
Aspen Technology, Inc. (a) | 368 | 42,452 | |
Attunity Ltd. (a) | 1,206 | 25,169 | |
CyberArk Software Ltd. (a) | 677 | 51,059 | |
Descartes Systems Group, Inc. (a) | 619 | 21,665 | |
Descartes Systems Group, Inc. (Canada) (a) | 2 | 70 | |
Ebix, Inc. | 498 | 39,666 | |
Guidewire Software, Inc. (a) | 494 | 49,682 | |
Manhattan Associates, Inc. (a) | 649 | 37,636 | |
Nuance Communications, Inc. (a) | 1,665 | 27,173 | |
QAD, Inc. Class A | 531 | 32,205 | |
Rapid7, Inc. (a) | 436 | 16,633 | |
RealPage, Inc. (a) | 636 | 39,686 | |
Splunk, Inc. (a) | 411 | 52,670 | |
SS&C Technologies Holdings, Inc. | 2,471 | 146,629 | |
Tableau Software, Inc. (a) | 424 | 47,429 | |
Talend SA ADR (a) | 618 | 38,038 | |
Tyler Technologies, Inc. (a) | 214 | 52,847 | |
Ultimate Software Group, Inc. (a) | 133 | 41,186 | |
Upland Software, Inc. (a) | 372 | 13,846 | |
775,741 | |||
Technology Hardware, Storage & Peripherals - 1.0% | |||
3D Systems Corp. (a) | 1,709 | 34,778 | |
NCR Corp. (a) | 600 | 17,046 | |
Quantum Corp. (a) | 4,708 | 9,510 | |
Seagate Technology LLC | 600 | 32,124 | |
Stratasys Ltd. (a) | 874 | 21,806 | |
Western Digital Corp. | 151 | 9,549 | |
Xerox Corp. | 1,823 | 50,789 | |
175,602 | |||
TOTAL INFORMATION TECHNOLOGY | 3,114,492 | ||
MATERIALS - 4.0% | |||
Chemicals - 1.9% | |||
Axalta Coating Systems Ltd. (a) | 1,236 | 37,698 | |
Cabot Corp. | 577 | 37,459 | |
Eastman Chemical Co. | 500 | 48,515 | |
Huntsman Corp. | 2,748 | 83,787 | |
Quaker Chemical Corp. | 212 | 38,190 | |
Rayonier Advanced Materials, Inc. | 618 | 12,916 | |
Trinseo SA | 500 | 38,575 | |
Valvoline, Inc. | 1,910 | 41,103 | |
Westlake Chemical Corp. | 141 | 13,334 | |
351,577 | |||
Construction Materials - 0.3% | |||
Eagle Materials, Inc. | 290 | 26,776 | |
U.S. Concrete, Inc. (a) | 504 | 24,293 | |
51,069 | |||
Containers & Packaging - 1.2% | |||
Aptargroup, Inc. | 919 | 96,228 | |
Crown Holdings, Inc. (a) | 470 | 20,121 | |
Graphic Packaging Holding Co. | 3,016 | 42,888 | |
Owens-Illinois, Inc. (a) | 1,200 | 21,204 | |
WestRock Co. | 557 | 30,680 | |
211,121 | |||
Metals & Mining - 0.4% | |||
Ferroglobe Representation & Warranty Insurance (a)(b) | 2,166 | 0 | |
Goldcorp, Inc. | 1,452 | 15,688 | |
Kinross Gold Corp. (a) | 5,440 | 16,257 | |
Reliance Steel & Aluminum Co. | 300 | 26,367 | |
Tahoe Resources, Inc. (a) | 2,738 | 9,420 | |
67,732 | |||
Paper & Forest Products - 0.2% | |||
Clearwater Paper Corp. (a) | 300 | 8,715 | |
Mercer International, Inc. (SBI) | 693 | 12,266 | |
P.H. Glatfelter Co. | 600 | 11,538 | |
32,519 | |||
TOTAL MATERIALS | 714,018 | ||
REAL ESTATE - 4.1% | |||
Equity Real Estate Investment Trusts (REITs) - 3.7% | |||
CBL & Associates Properties, Inc. | 1,100 | 4,906 | |
CorEnergy Infrastructure Trust, Inc. | 600 | 22,458 | |
DDR Corp. | 950 | 13,291 | |
DiamondRock Hospitality Co. | 1,600 | 19,136 | |
EastGroup Properties, Inc. | 481 | 46,787 | |
Government Properties Income Trust | 1,200 | 20,292 | |
Hospitality Properties Trust (SBI) | 1,200 | 34,788 | |
Medical Properties Trust, Inc. | 1,900 | 28,595 | |
Mid-America Apartment Communities, Inc. | 382 | 39,560 | |
National Retail Properties, Inc. | 1,333 | 61,438 | |
National Storage Affiliates Trust | 1,044 | 29,608 | |
Omega Healthcare Investors, Inc. | 1,100 | 36,355 | |
Outfront Media, Inc. | 1,673 | 33,243 | |
Piedmont Office Realty Trust, Inc. Class A | 1,700 | 33,728 | |
Preferred Apartment Communities, Inc. Class A | 800 | 14,256 | |
RLJ Lodging Trust | 1,649 | 36,130 | |
Sabra Health Care REIT, Inc. | 1,200 | 28,296 | |
Select Income REIT | 900 | 18,495 | |
Senior Housing Properties Trust (SBI) | 1,900 | 36,309 | |
Spirit MTA REIT | 380 | 4,074 | |
Spirit Realty Capital, Inc. | 3,800 | 31,806 | |
Summit Hotel Properties, Inc. | 1,100 | 15,103 | |
VEREIT, Inc. | 3,600 | 28,152 | |
Washington Prime Group, Inc. | 2,200 | 17,028 | |
653,834 | |||
Real Estate Management & Development - 0.4% | |||
Cushman & Wakefield PLC | 1,280 | 22,605 | |
HFF, Inc. | 646 | 29,335 | |
Realogy Holdings Corp. | 1,066 | 22,802 | |
Retail Value, Inc. (a) | 95 | 3,393 | |
78,135 | |||
TOTAL REAL ESTATE | 731,969 | ||
TELECOMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.3% | |||
Bandwidth, Inc. (a) | 804 | 36,630 | |
Ooma, Inc. (a) | 362 | 5,792 | |
42,422 | |||
Wireless Telecommunication Services - 0.2% | |||
Boingo Wireless, Inc. (a) | 1,211 | 40,060 | |
TOTAL TELECOMMUNICATION SERVICES | 82,482 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.9% | |||
Entergy Corp. | 600 | 50,154 | |
FirstEnergy Corp. | 1,100 | 41,118 | |
Portland General Electric Co. | 1,071 | 49,694 | |
PPL Corp. | 574 | 17,071 | |
158,037 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 1,700 | 22,882 | |
Multi-Utilities - 0.2% | |||
NorthWestern Energy Corp. | 664 | 39,813 | |
TOTAL UTILITIES | 220,732 | ||
TOTAL COMMON STOCKS | |||
(Cost $12,163,434) | 15,570,856 | ||
Equity Funds - 10.1% | |||
Mid-Cap Blend Funds - 4.7% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (c) | 62,358 | 842,457 | |
Sector Funds - 0.6% | |||
Fidelity SAI Real Estate Index Fund (c) | 9,532 | 109,048 | |
Small Blend Funds - 4.8% | |||
Fidelity Small Cap Index Fund Institutional Premium Class (c) | 36,688 | 847,484 | |
TOTAL EQUITY FUNDS | |||
(Cost $1,645,194) | 1,798,989 | ||
Money Market Funds - 2.4% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (d) | |||
(Cost $427,269) | 427,269 | 427,269 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $14,235,897) | 17,797,114 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (3,362) | ||
NET ASSETS - 100% | $17,793,752 |
Legend
(a) Non-income producing
(b) Level 3 security
(c) Affiliated Fund
(d) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity SAI Real Estate Index Fund | $93,320 | $-- | $-- | $1,220 | $-- | $15,728 | $109,048 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 569,466 | 579,323 | 373,703 | -- | 11,516 | 55,855 | 842,457 |
Fidelity Small Cap Index Fund Institutional Premium Class | -- | 941,673 | 122,403 | 3,555 | 328 | 27,886 | 847,484 |
Total | $662,786 | $1,520,996 | $496,106 | $4,775 | $11,844 | $99,469 | $1,798,989 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $2,439,381 | $2,439,381 | $-- | $-- |
Consumer Staples | 381,260 | 381,260 | -- | -- |
Energy | 668,783 | 668,783 | -- | -- |
Financials | 2,187,201 | 2,187,201 | -- | -- |
Health Care | 1,849,770 | 1,846,806 | -- | 2,964 |
Industrials | 3,180,768 | 3,180,768 | -- | -- |
Information Technology | 3,114,492 | 3,114,492 | -- | -- |
Materials | 714,018 | 714,018 | -- | -- |
Real Estate | 731,969 | 731,969 | -- | -- |
Telecommunication Services | 82,482 | 82,482 | -- | -- |
Utilities | 220,732 | 220,732 | -- | -- |
Equity Funds | 1,798,989 | 1,798,989 | -- | -- |
Money Market Funds | 427,269 | 427,269 | -- | -- |
Total Investments in Securities: | $17,797,114 | $17,794,150 | $-- | $2,964 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $12,590,703) | $15,998,125 | |
Affiliated issuers (cost $1,645,194) | 1,798,989 | |
Total Investment in Securities (cost $14,235,897) | $17,797,114 | |
Cash | 485 | |
Receivable for investments sold | 42,665 | |
Receivable for fund shares sold | 3,137 | |
Dividends receivable | 14,399 | |
Interest receivable | 611 | |
Prepaid expenses | 55 | |
Receivable from investment adviser for expense reductions | 3,815 | |
Other receivables | 576 | |
Total assets | 17,862,857 | |
Liabilities | ||
Payable for investments purchased | $20,130 | |
Accrued management fee | 10,464 | |
Distribution and service plan fees payable | 32 | |
Other affiliated payables | 2,162 | |
Audit fee payable | 22,213 | |
Custody fee payable | 13,478 | |
Other payables and accrued expenses | 626 | |
Total liabilities | 69,105 | |
Net Assets | $17,793,752 | |
Net Assets consist of: | ||
Paid in capital | $13,460,774 | |
Undistributed net investment income | 20,172 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 751,589 | |
Net unrealized appreciation (depreciation) on investments | 3,561,217 | |
Net Assets | $17,793,752 | |
Small-Mid Cap Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($17,474,090 ÷ 1,627,203 shares) | $10.74 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($160,789 ÷ 14,993 shares) | $10.72 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($158,873 ÷ 14,926 shares) | $10.64 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $96,528 | |
Affiliated issuers | 2,734 | |
Non-Cash dividends | 6,329 | |
Interest | 8,853 | |
Total income | 114,444 | |
Expenses | ||
Management fee | $60,903 | |
Transfer agent fees | 9,578 | |
Distribution and service plan fees | 187 | |
Accounting fees and expenses | 3,169 | |
Custodian fees and expenses | 19,598 | |
Independent trustees' fees and expenses | 99 | |
Registration fees | 16,276 | |
Audit | 36,637 | |
Legal | 4,778 | |
Miscellaneous | 97 | |
Total expenses before reductions | 151,322 | |
Expense reductions | (57,392) | |
Total expenses after reductions | 93,930 | |
Net investment income (loss) | 20,514 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 769,354 | |
Affiliated issuers | 11,844 | |
Foreign currency transactions | (10) | |
Futures contracts | 46,636 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 2,041 | |
Total net realized gain (loss) | 829,865 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 792,932 | |
Affiliated issuers | 99,469 | |
Futures contracts | (316) | |
Total change in net unrealized appreciation (depreciation) | 892,085 | |
Net gain (loss) | 1,721,950 | |
Net increase (decrease) in net assets resulting from operations | $1,742,464 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $20,514 | $10,283 |
Net realized gain (loss) | 829,865 | 1,785,246 |
Change in net unrealized appreciation (depreciation) | 892,085 | 308,602 |
Net increase (decrease) in net assets resulting from operations | 1,742,464 | 2,104,131 |
Distributions to shareholders from net investment income | – | (18,378) |
Distributions to shareholders from net realized gain | (883,759) | (1,072,219) |
Total distributions | (883,759) | (1,090,597) |
Share transactions - net increase (decrease) | 1,355,582 | (898,485) |
Redemption fees | – | 635 |
Total increase (decrease) in net assets | 2,214,287 | 115,684 |
Net Assets | ||
Beginning of period | 15,579,465 | 15,463,781 |
End of period | $17,793,752 | $15,579,465 |
Other Information | ||
Undistributed net investment income end of period | $20,172 | $– |
Accumulated net investment loss end of period | $– | $(342) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.25 | $9.71 | $9.10 | $11.40 | $13.46 | $12.25 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .01 | .01 | .01 | (.02) | (.04) | (.03) |
Net realized and unrealized gain (loss) | 1.07 | 1.28 | 2.76 | (1.54) | .70 | 3.24 |
Total from investment operations | 1.08 | 1.29 | 2.77 | (1.56) | .66 | 3.21 |
Distributions from net investment income | – | (.01) | –C | – | – | – |
Distributions from net realized gain | (.59) | (.74) | (2.16) | (.74) | (2.72) | (2.00) |
Total distributions | (.59) | (.75) | (2.16) | (.74) | (2.72) | (2.00) |
Redemption fees added to paid in capitalB | – | –C | –C | –C | –C | –C |
Net asset value, end of period | $10.74 | $10.25 | $9.71 | $9.10 | $11.40 | $13.46 |
Total ReturnD,E | 11.24% | 13.49% | 31.35% | (14.27)% | 5.88% | 27.21% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.85%G | 1.92% | 2.17% | 1.41% | 1.34% | 1.25% |
Expenses net of fee waivers, if any | 1.15%G | 1.15% | 1.15% | 1.16% | 1.16% | 1.16% |
Expenses net of all reductions | 1.15%G | 1.15% | 1.15% | 1.16% | 1.16% | 1.16% |
Net investment income (loss) | .25%G | .06% | .08% | (.18)% | (.29)% | (.19)% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $17,474 | $15,292 | $13,251 | $28,621 | $32,904 | $57,019 |
Portfolio turnover rateH | 47%G | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total returns 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 Small-Mid Cap Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.24 | $9.70 | $9.09 | $11.39 | $13.45 | $14.28 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .01 | .01 | .01 | (.02) | (.04) | (.01) |
Net realized and unrealized gain (loss) | 1.06 | 1.28 | 2.76 | (1.54) | .70 | .93 |
Total from investment operations | 1.07 | 1.29 | 2.77 | (1.56) | .66 | .92 |
Distributions from net investment income | – | (.01) | –D | – | – | – |
Distributions from net realized gain | (.59) | (.74) | (2.16) | (.74) | (2.72) | (1.75) |
Total distributions | (.59) | (.75) | (2.16) | (.74) | (2.72) | (1.75) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.72 | $10.24 | $9.70 | $9.09 | $11.39 | $13.45 |
Total ReturnE,F | 11.14% | 13.50% | 31.39% | (14.29)% | 5.89% | 6.84% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 1.83%H | 1.89% | 2.21% | 1.40% | 1.37% | 1.54%H |
Expenses net of fee waivers, if any | 1.15%H | 1.15% | 1.15% | 1.16% | 1.16% | 1.16%H |
Expenses net of all reductions | 1.15%H | 1.15% | 1.15% | 1.16% | 1.16% | 1.16%H |
Net investment income (loss) | .26%H | .05% | .09% | (.18)% | (.29)% | (.17)%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $161 | $145 | $127 | $97 | $113 | $107 |
Portfolio turnover rateI | 47%H | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 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 Small-Mid Cap Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.18 | $9.64 | $9.07 | $11.38 | $13.44 | $14.28 |
Income from Investment Operations | ||||||
Net investment income (loss)C | –D | (.02) | (.02) | (.05) | (.07) | (.02) |
Net realized and unrealized gain (loss) | 1.05 | 1.29 | 2.74 | (1.52) | .70 | .92 |
Total from investment operations | 1.05 | 1.27 | 2.72 | (1.57) | .63 | .90 |
Distributions from net investment income | – | – | – | – | – | – |
Distributions from net realized gain | (.59) | (.73) | (2.15) | (.74) | (2.69) | (1.74) |
Total distributions | (.59) | (.73) | (2.15) | (.74) | (2.69) | (1.74) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.64 | $10.18 | $9.64 | $9.07 | $11.38 | $13.44 |
Total ReturnE,F | 10.96% | 13.36% | 30.86% | (14.42)% | 5.62% | 6.73% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 2.08%H | 2.14% | 2.45% | 1.65% | 1.62% | 1.81%H |
Expenses net of fee waivers, if any | 1.40%H | 1.40% | 1.40% | 1.41% | 1.41% | 1.41%H |
Expenses net of all reductions | 1.40%H | 1.40% | 1.40% | 1.41% | 1.41% | 1.41%H |
Net investment income (loss) | .01%H | (.19)% | (.16)% | (.43)% | (.54)% | (.42)%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $159 | $143 | $126 | $96 | $113 | $107 |
Portfolio turnover rateI | 47%H | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 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 August 31, 2018
1. Organization.
Strategic Advisers Small-Mid Cap 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 Small-Mid Cap Multi Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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. 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.
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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018 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 include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. 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), certain independent Trustees have elected 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 of $576 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 the short-term gain distributions from the Underlying Funds, futures contracts, passive foreign investment companies (PFIC), market discount, partnerships, 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 | $4,168,962 |
Gross unrealized depreciation | (657,545) |
Net unrealized appreciation (depreciation) | $3,511,417 |
Tax cost | $14,285,697 |
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.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $4,816,692 and $3,660,230, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 1.15% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .75% of the Fund's average net assets.
Sub-Advisers. ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, and BNY Mellon Asset Management North America Corporation 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.
AllianceBernstein, L.P. (AB), FIAM LLC (an affiliate of the investment adviser), Boston Partners Global Investors, Inc., Fisher Investments, Geode Capital Management, LLC, Rice Hall James & Associates, LLC, Victory Capital Management, Inc. and Voya Investment Management Co., LLC 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.
During September 2018, the agreement with Systematic Financial Management, L.P. was not renewed.
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% | $187 | $187 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Small-Mid Cap Multi-Manager | $9,443 | .12 |
Class L | 68 | .09 |
Class N | 67 | .09 |
$9,578 |
(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. For the period, the fees were equivalent to an annualized rate of .04%.
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 $7 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 $22 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 voluntarily agreed to waive the Fund's management fee in an amount equal to .01% of the Fund's average net assets. During the period, this waiver reduced the fund's management fee by $816.
The investment adviser has contractually agreed to reimburse Small-Mid 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 April 30, 2019. 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 | |
Small-Mid Cap Multi-Manager | 1.15% | $55,570 |
Class L | 1.15% | 504 |
Class N | 1.40% | 501 |
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 $1.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Small-Mid Cap Multi-Manager | $– | $18,205 |
Class L | – | 173 |
Total | $– | $18,378 |
From net realized gain | ||
Small-Mid Cap Multi-Manager | $867,217 | $1,028,078 |
Class F | – | 24,737 |
Class L | 8,318 | 9,769 |
Class N | 8,224 | 9,635 |
Total | $883,759 | $1,072,219 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Small-Mid Cap Multi-Manager | ||||
Shares sold | 112,098 | 237,242 | $1,158,334 | $2,413,353 |
Reinvestment of distributions | 90,713 | 103,772 | 867,217 | 1,046,283 |
Shares redeemed | (66,842) | (214,829) | (686,511) | (2,169,847) |
Net increase (decrease) | 135,969 | 126,185 | $1,339,040 | $1,289,789 |
Class F | ||||
Shares sold | – | 93,458 | $– | $938,773 |
Reinvestment of distributions | – | 2,590 | – | 24,737 |
Shares redeemed | – | (296,820) | – | (3,171,361) |
Net increase (decrease) | – | (200,772) | $– | $(2,207,851) |
Class L | ||||
Reinvestment of distributions | 871 | 987 | 8,318 | 9,942 |
Net increase (decrease) | 871 | 987 | $8,318 | $9,942 |
Class N | ||||
Reinvestment of distributions | 867 | 963 | 8,224 | 9,635 |
Net increase (decrease) | 867 | 963 | $8,224 | $9,635 |
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 69% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Small-Mid Cap Multi-Manager | 1.15% | |||
Actual | $1,000.00 | $1,112.40 | $6.12 | |
Hypothetical-C | $1,000.00 | $1,019.41 | $5.85 | |
Class L | 1.15% | |||
Actual | $1,000.00 | $1,111.40 | $6.12 | |
Hypothetical-C | $1,000.00 | $1,019.41 | $5.85 | |
Class N | 1.40% | |||
Actual | $1,000.00 | $1,109.60 | $7.44 | |
Hypothetical-C | $1,000.00 | $1,018.15 | $7.12 |
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 184/365 (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 Small-Mid Cap Multi-Manager Fund
On March 8, 2018, 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 FIAM LLC (FIAM) for the fund (the Amended Sub-Advisory Agreement), which will lower the amount of fees to be paid by Strategic Advisers to FIAM, on behalf of the fund, at all asset levels. 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 FIAM, 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 previously received information regarding the sub-adviser's historical investment performance of its portion of fund and/or the performance of the strategy. 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 with FIAM 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 FIAM at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to FIAM 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 FIAM, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement. 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 will have no impact on the management fee retained by Strategic Advisers, if any, 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. The Board noted that it will consider costs of services and profitability to Strategic Advisers and FIAM as a result of their relationship with the fund in connection with future renewals of the Amended Sub-Advisory Agreement and the fund's advisory agreement with Strategic Advisers.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 noted that the Amended Sub-Advisory Agreement charges a flat rate on all assets, but that the rate to be charged under the Amended Sub-Advisory Agreement is lower than the effective rates that would be charged at all asset levels under the current sub-advisory agreement. 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.Board Approval of Investment Advisory Contract and Management FeesStrategic Advisers Small-Mid Cap Multi-Manager FundOn June 7, 2018, 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 (the Current Sub- Advisory Agreement) with Geode Capital Management, LLC (Geode) to add an additional investment mandate (the Amended Sub-Advisory Agreement) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.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 LLC (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 bears a reasonable relationship to the services to be rendered and 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. 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 noted that it is familiar with the nature, extent and quality of services provided by Geode from its oversight of Geode as a sub-adviser on an existing investment mandate on behalf of the fund and other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to the fund and other funds will also provide services to the fund. The Board considered the staffing within Geode, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Geode's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund under the new investment mandate and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Geode will utilize a different investment mandate to manage the fund than it currently uses on behalf of the fund and other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund under the new investment mandate, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Geode's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Geode's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Geode under the Amended Sub- Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered that the investment mandate to be utilized by Geode is new and, therefore, does not have historical investment performance. The Board reviewed hypothetical backtested performance of the new investment mandate. The Board noted that it is familiar with Geode's performance as a sub-adviser to an existing investment mandate on behalf of the fund and other Strategic Advisers funds.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 should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Amended Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Geode and the projected change in the fund's total operating expenses as a result of the new investment mandate.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.15% of the fund's average daily net assets and that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund, Strategic Advisers' portion of the management fee or Strategic Advisers' voluntary agreement to waive 0.01% of the management fee for the fund. The Board considered that Strategic Advisers has contractually agreed to reimburse the retail class, Class L and Class N of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any) as a percentage of net assets exceed 1.15%, 1.15% and 1.40%, respectively, through April 30, 2019. The Board also considered that there are no expected changes to the fund's total net expenses as a result of approving the Amended Sub-Advisory Agreement because Strategic Advisers does not expect to allocate any assets of the fund to Geode at this time. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses 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 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Amended Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the addition of the new investment mandate will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board considered that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee.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 to be rendered 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
AMM-SANN-1018
1.933023.106
Strategic Advisers® Small-Mid Cap Multi-Manager Fund Semi-Annual Report August 31, 2018 |
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.
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 August 31, 2018
(excluding cash equivalents) | % of fund's net assets |
Fidelity Small Cap Index Fund Institutional Premium Class | 4.8 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 4.7 |
Skechers U.S.A., Inc. Class A (sub. vtg.) | 1.0 |
SS&C Technologies Holdings, Inc. | 0.8 |
Carbonite, Inc. | 0.7 |
ServiceMaster Global Holdings, Inc. | 0.7 |
Sensata Technologies, Inc. PLC | 0.6 |
Pool Corp. | 0.6 |
Carter's, Inc. | 0.6 |
Fidelity SAI Real Estate Index Fund | 0.6 |
15.1 |
Top Five Market Sectors as of August 31, 2018
(stocks only) | % of fund's net assets |
Industrials | 17.9 |
Information Technology | 17.5 |
Consumer Discretionary | 13.7 |
Financials | 12.3 |
Health Care | 10.4 |
Asset Allocation (% of fund's net assets)
As of August 31, 2018 | ||
Common Stocks | 87.5% | |
Mid-Cap Blend Funds | 4.7% | |
Small Blend Funds | 4.8% | |
Sector Funds | 0.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.4% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 87.5% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.7% | |||
Auto Components - 1.3% | |||
American Axle & Manufacturing Holdings, Inc. (a) | 1,014 | $17,958 | |
BorgWarner, Inc. | 700 | 30,639 | |
Cooper Tire & Rubber Co. | 105 | 3,029 | |
Cooper-Standard Holding, Inc. (a) | 260 | 35,992 | |
Dana Holding Corp. | 800 | 15,656 | |
Delphi Technologies PLC | 653 | 23,005 | |
Lear Corp. | 200 | 32,440 | |
The Goodyear Tire & Rubber Co. | 1,274 | 28,907 | |
Tower International, Inc. | 600 | 20,280 | |
Visteon Corp. (a) | 157 | 17,331 | |
225,237 | |||
Automobiles - 0.2% | |||
Thor Industries, Inc. | 345 | 32,927 | |
Distributors - 0.8% | |||
LKQ Corp. (a) | 912 | 31,482 | |
Pool Corp. | 715 | 117,446 | |
148,928 | |||
Diversified Consumer Services - 1.5% | |||
Bright Horizons Family Solutions, Inc. (a) | 360 | 42,995 | |
Carriage Services, Inc. | 400 | 9,108 | |
Grand Canyon Education, Inc. (a) | 742 | 88,402 | |
ServiceMaster Global Holdings, Inc. (a) | 2,127 | 128,194 | |
268,699 | |||
Hotels, Restaurants & Leisure - 1.4% | |||
Bloomin' Brands, Inc. | 900 | 17,370 | |
Carrols Restaurant Group, Inc. (a) | 1,438 | 22,720 | |
Cedar Fair LP (depositary unit) | 506 | 26,889 | |
Dave & Buster's Entertainment, Inc. (a) | 383 | 22,279 | |
Dunkin' Brands Group, Inc. | 429 | 31,270 | |
Fiesta Restaurant Group, Inc. (a) | 155 | 4,456 | |
Norwegian Cruise Line Holdings Ltd. (a) | 747 | 40,047 | |
Penn National Gaming, Inc. (a) | 660 | 22,744 | |
Red Lion Hotels Corp. (a) | 1,837 | 25,075 | |
U.S. Foods Holding Corp. (a) | 291 | 9,484 | |
Wyndham Destinations, Inc. | 200 | 8,840 | |
Wyndham Hotels & Resorts, Inc. | 200 | 11,350 | |
242,524 | |||
Household Durables - 0.6% | |||
Helen of Troy Ltd. (a) | 177 | 21,054 | |
M.D.C. Holdings, Inc. | 1,000 | 31,700 | |
Newell Brands, Inc. | 1,099 | 23,870 | |
Skyline Champion Corp. | 52 | 1,503 | |
Whirlpool Corp. | 200 | 24,996 | |
103,123 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Groupon, Inc. (a) | 771 | 3,292 | |
Liberty Interactive Corp. QVC Group Series A (a) | 282 | 5,863 | |
U.S. Auto Parts Network, Inc. (a) | 5,214 | 7,612 | |
16,767 | |||
Leisure Products - 0.9% | |||
Brunswick Corp. | 1,428 | 94,848 | |
Polaris Industries, Inc. | 607 | 65,829 | |
160,677 | |||
Media - 1.3% | |||
Altice U.S.A., Inc. Class A | 931 | 16,684 | |
AMC Networks, Inc. Class A (a) | 400 | 25,124 | |
Cinemark Holdings, Inc. | 2,613 | 97,517 | |
Criteo SA sponsored ADR (a) | 738 | 18,310 | |
Discovery Communications, Inc. Class C (non-vtg.) (a) | 317 | 8,128 | |
E.W. Scripps Co. Class A | 366 | 5,369 | |
National CineMedia, Inc. | 4,108 | 37,383 | |
Nexstar Broadcasting Group, Inc. Class A | 106 | 8,692 | |
Sinclair Broadcast Group, Inc. Class A | 497 | 14,388 | |
231,595 | |||
Multiline Retail - 0.5% | |||
Dillard's, Inc. Class A | 200 | 15,716 | |
Kohl's Corp. | 800 | 63,288 | |
Tuesday Morning Corp. (a) | 2,138 | 6,521 | |
85,525 | |||
Specialty Retail - 2.3% | |||
Aaron's, Inc. Class A | 1,655 | 82,287 | |
American Eagle Outfitters, Inc. | 800 | 20,768 | |
Conn's, Inc. (a) | 496 | 20,336 | |
Dick's Sporting Goods, Inc. | 518 | 19,394 | |
Foot Locker, Inc. | 600 | 29,580 | |
Monro, Inc. | 685 | 48,601 | |
Murphy U.S.A., Inc. (a) | 400 | 33,192 | |
Office Depot, Inc. | 4,100 | 13,735 | |
Penske Automotive Group, Inc. | 400 | 21,052 | |
Sally Beauty Holdings, Inc. (a) | 5,179 | 79,757 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 800 | 17,200 | |
The Children's Place Retail Stores, Inc. | 160 | 22,520 | |
408,422 | |||
Textiles, Apparel & Luxury Goods - 2.8% | |||
Carter's, Inc. | 1,034 | 109,532 | |
Hanesbrands, Inc. | 4,518 | 79,246 | |
Michael Kors Holdings Ltd. (a) | 300 | 21,786 | |
PetIQ, Inc. Class A (a) | 102 | 3,994 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 6,084 | 179,356 | |
Switch, Inc. Class A | 3,342 | 38,634 | |
Under Armour, Inc. Class C (non-vtg.) (a) | 1,843 | 34,962 | |
Wolverine World Wide, Inc. | 1,211 | 47,447 | |
514,957 | |||
TOTAL CONSUMER DISCRETIONARY | 2,439,381 | ||
CONSUMER STAPLES - 2.1% | |||
Beverages - 0.1% | |||
Primo Water Corp. (a) | 1,221 | 24,420 | |
Food & Staples Retailing - 0.9% | |||
Casey's General Stores, Inc. | 257 | 29,342 | |
Performance Food Group Co. (a) | 2,080 | 68,848 | |
SpartanNash Co. | 700 | 14,945 | |
SUPERVALU, Inc. (a) | 1,000 | 32,290 | |
Weis Markets, Inc. | 400 | 18,636 | |
164,061 | |||
Food Products - 0.8% | |||
Farmer Brothers Co. (a) | 523 | 15,167 | |
Ingredion, Inc. | 39 | 3,942 | |
Lamb Weston Holdings, Inc. | 978 | 66,113 | |
Nomad Foods Ltd. (a) | 706 | 14,720 | |
Pilgrim's Pride Corp. (a) | 1,200 | 22,188 | |
Sanderson Farms, Inc. | 200 | 21,152 | |
143,282 | |||
Household Products - 0.2% | |||
Central Garden & Pet Co. (a) | 393 | 15,602 | |
Spectrum Brands Holdings, Inc. | 179 | 15,546 | |
31,148 | |||
Personal Products - 0.1% | |||
elf Beauty, Inc. (a) | 1,321 | 18,349 | |
TOTAL CONSUMER STAPLES | 381,260 | ||
ENERGY - 3.8% | |||
Energy Equipment & Services - 1.0% | |||
Core Laboratories NV | 430 | 49,257 | |
McDermott International, Inc. (a) | 1,441 | 27,869 | |
Patterson-UTI Energy, Inc. | 2,846 | 48,752 | |
RigNet, Inc. (a) | 1,386 | 22,592 | |
U.S. Silica Holdings, Inc. | 1,000 | 21,190 | |
169,660 | |||
Oil, Gas & Consumable Fuels - 2.8% | |||
Abraxas Petroleum Corp. (a) | 7,517 | 16,913 | |
Arch Coal, Inc. | 89 | 7,892 | |
Cabot Oil & Gas Corp. | 1,937 | 46,159 | |
Canacol Energy Ltd. (a) | 5,107 | 16,241 | |
Cheniere Energy, Inc. (a) | 258 | 17,268 | |
Cimarex Energy Co. | 599 | 50,604 | |
Delek U.S. Holdings, Inc. | 413 | 22,509 | |
Earthstone Energy, Inc. (a) | 355 | 2,975 | |
Extraction Oil & Gas, Inc. (a) | 1,651 | 19,069 | |
Highpoint Resources, Inc. (a) | 2,114 | 11,648 | |
Laredo Petroleum, Inc. (a) | 800 | 6,632 | |
Leucrotta Exploration, Inc. (a) | 4,493 | 6,559 | |
Magnolia Oil & Gas Corp. Class A (a) | 3,190 | 44,213 | |
Newfield Exploration Co. (a) | 900 | 24,552 | |
Oasis Petroleum, Inc. (a) | 1,475 | 19,854 | |
Paramount Resources Ltd. Class A (a) | 2,126 | 23,459 | |
Parsley Energy, Inc. Class A (a) | 1,090 | 30,269 | |
PBF Energy, Inc. Class A | 945 | 49,064 | |
Penn Virginia Corp. (a) | 30 | 2,668 | |
Scorpio Tankers, Inc. | 4,433 | 8,511 | |
Sundance Energy Australia Ltd. (a) | 146,725 | 7,384 | |
W&T Offshore, Inc. (a) | 4,800 | 32,496 | |
Whiting Petroleum Corp. (a) | 467 | 23,775 | |
World Fuel Services Corp. | 300 | 8,409 | |
499,123 | |||
TOTAL ENERGY | 668,783 | ||
FINANCIALS - 12.3% | |||
Banks - 5.1% | |||
Associated Banc-Corp. | 1,133 | 30,874 | |
Bank of the Ozarks, Inc. | 483 | 19,542 | |
BankUnited, Inc. | 1,740 | 67,495 | |
Cadence Bancorp Class A | 995 | 28,109 | |
Cathay General Bancorp | 800 | 33,840 | |
Central Pacific Financial Corp. | 400 | 11,332 | |
CIT Group, Inc. | 700 | 37,968 | |
Commerce Bancshares, Inc. | 475 | 33,754 | |
Cullen/Frost Bankers, Inc. | 250 | 27,723 | |
East West Bancorp, Inc. | 399 | 25,293 | |
First Hawaiian, Inc. | 1,247 | 36,151 | |
First Horizon National Corp. | 2,073 | 38,185 | |
First Interstate Bancsystem, Inc. | 762 | 35,395 | |
Fulton Financial Corp. | 1,000 | 18,200 | |
Great Western Bancorp, Inc. | 381 | 16,589 | |
Hancock Whitney Corp. | 300 | 15,465 | |
Hanmi Financial Corp. | 500 | 13,050 | |
IBERIABANK Corp. | 647 | 56,063 | |
KeyCorp | 2,500 | 52,675 | |
Old National Bancorp, Indiana | 1,400 | 28,420 | |
Preferred Bank, Los Angeles | 154 | 9,426 | |
Regions Financial Corp. | 2,600 | 50,596 | |
Signature Bank | 213 | 24,653 | |
SVB Financial Group (a) | 89 | 28,725 | |
TCF Financial Corp. | 1,500 | 38,025 | |
Western Alliance Bancorp. (a) | 671 | 38,683 | |
Wintrust Financial Corp. | 413 | 36,571 | |
Zions Bancorporation | 900 | 47,961 | |
900,763 | |||
Capital Markets - 2.2% | |||
E*TRADE Financial Corp. (a) | 354 | 20,836 | |
Eaton Vance Corp. (non-vtg.) | 987 | 52,045 | |
FactSet Research Systems, Inc. | 139 | 31,885 | |
Lazard Ltd. Class A | 1,368 | 65,856 | |
Legg Mason, Inc. | 700 | 21,840 | |
LPL Financial | 1,025 | 67,896 | |
Moelis & Co. Class A | 335 | 19,447 | |
Morningstar, Inc. | 219 | 31,168 | |
PennantPark Investment Corp. | 2,600 | 20,228 | |
Prospect Capital Corp. | 2,900 | 21,750 | |
WisdomTree Investments, Inc. | 3,936 | 32,354 | |
385,305 | |||
Consumer Finance - 0.9% | |||
Ally Financial, Inc. | 1,818 | 48,868 | |
Navient Corp. | 900 | 12,276 | |
OneMain Holdings, Inc. (a) | 1,182 | 43,379 | |
SLM Corp. (a) | 5,169 | 60,581 | |
165,104 | |||
Diversified Financial Services - 0.9% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 700 | 14,469 | |
Donnelley Financial Solutions, Inc. (a) | 137 | 2,862 | |
Focus Financial Partners, Inc. Class A | 270 | 11,364 | |
Granite Point Mortgage Trust, Inc. | 142 | 2,718 | |
Jefferies Financial Group, Inc. | 1,814 | 42,121 | |
On Deck Capital, Inc. (a) | 7,290 | 59,924 | |
Voya Financial, Inc. | 737 | 36,902 | |
170,360 | |||
Insurance - 2.3% | |||
Assured Guaranty Ltd. | 700 | 28,518 | |
Athene Holding Ltd. (a) | 235 | 11,670 | |
CNA Financial Corp. | 700 | 31,430 | |
CNO Financial Group, Inc. | 1,900 | 41,059 | |
Everest Re Group Ltd. | 120 | 26,762 | |
First American Financial Corp. | 700 | 39,802 | |
Genworth Financial, Inc. Class A (a) | 2,800 | 13,020 | |
Heritage Insurance Holdings, Inc. | 800 | 11,720 | |
Kinsale Capital Group, Inc. | 385 | 23,396 | |
Lincoln National Corp. | 600 | 39,348 | |
ProAssurance Corp. | 650 | 31,428 | |
Reinsurance Group of America, Inc. | 230 | 32,856 | |
RLI Corp. | 288 | 22,167 | |
Universal Insurance Holdings, Inc. | 600 | 26,760 | |
Unum Group | 900 | 33,192 | |
413,128 | |||
Mortgage Real Estate Investment Trusts - 0.5% | |||
MFA Financial, Inc. | 2,300 | 17,618 | |
New York Mortgage Trust, Inc. | 2,300 | 14,720 | |
Redwood Trust, Inc. | 1,100 | 18,678 | |
Starwood Property Trust, Inc. | 1,100 | 24,233 | |
Two Harbors Investment Corp. | 750 | 11,715 | |
86,964 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Lendingtree, Inc. (a) | 39 | 9,881 | |
MGIC Investment Corp. (a) | 3,100 | 39,432 | |
Radian Group, Inc. | 800 | 16,264 | |
65,577 | |||
TOTAL FINANCIALS | 2,187,201 | ||
HEALTH CARE - 10.4% | |||
Biotechnology - 1.3% | |||
Agios Pharmaceuticals, Inc. (a) | 270 | 21,794 | |
Atara Biotherapeutics, Inc. (a) | 549 | 22,482 | |
DBV Technologies SA sponsored ADR (a) | 1,184 | 26,332 | |
Dyax Corp. rights 12/31/19 (a)(b) | 741 | 2,964 | |
Exact Sciences Corp. (a) | 303 | 22,692 | |
Heron Therapeutics, Inc. (a) | 757 | 29,182 | |
Immune Design Corp. (a) | 1,310 | 4,978 | |
Immunomedics, Inc. (a) | 1,139 | 30,480 | |
Neurocrine Biosciences, Inc. (a) | 268 | 32,951 | |
Sage Therapeutics, Inc. (a) | 175 | 28,746 | |
United Therapeutics Corp. (a) | 100 | 12,299 | |
234,900 | |||
Health Care Equipment & Supplies - 2.5% | |||
Anika Therapeutics, Inc. (a) | 250 | 10,348 | |
AxoGen, Inc. (a) | 667 | 29,248 | |
DexCom, Inc. (a) | 146 | 21,079 | |
Endologix, Inc. (a) | 4,371 | 10,053 | |
IDEXX Laboratories, Inc. (a) | 321 | 81,547 | |
Insulet Corp. (a) | 220 | 22,939 | |
Integer Holdings Corp. (a) | 300 | 23,970 | |
Masimo Corp. (a) | 178 | 20,984 | |
Nevro Corp. (a) | 595 | 40,115 | |
Quanterix Corp. (a) | 557 | 9,319 | |
Steris PLC | 517 | 59,155 | |
The Cooper Companies, Inc. | 140 | 35,809 | |
West Pharmaceutical Services, Inc. | 617 | 72,220 | |
436,786 | |||
Health Care Providers & Services - 2.8% | |||
Capital Senior Living Corp. (a) | 879 | 7,797 | |
Centene Corp. (a) | 518 | 75,877 | |
G1 Therapeutics, Inc. (a) | 348 | 21,117 | |
HealthEquity, Inc. (a) | 232 | 21,857 | |
HealthSouth Corp. | 858 | 70,004 | |
Henry Schein, Inc. (a) | 512 | 39,772 | |
LifePoint Hospitals, Inc. (a) | 500 | 32,200 | |
Magellan Health Services, Inc. (a) | 200 | 14,700 | |
MEDNAX, Inc. (a) | 1,006 | 47,634 | |
Molina Healthcare, Inc. (a) | 270 | 37,260 | |
Owens & Minor, Inc. | 1,100 | 18,678 | |
Premier, Inc. (a) | 780 | 34,499 | |
Quest Diagnostics, Inc. | 100 | 10,998 | |
Wellcare Health Plans, Inc. (a) | 214 | 64,750 | |
497,143 | |||
Health Care Technology - 0.9% | |||
athenahealth, Inc. (a) | 268 | 41,245 | |
Evolent Health, Inc. (a) | 1,443 | 36,797 | |
Medidata Solutions, Inc. (a) | 873 | 74,188 | |
Omnicell, Inc. (a) | 243 | 16,706 | |
168,936 | |||
Life Sciences Tools & Services - 0.9% | |||
Bio-Rad Laboratories, Inc. Class A (a) | 96 | 31,229 | |
Cambrex Corp. (a) | 294 | 19,816 | |
PRA Health Sciences, Inc. (a) | 302 | 31,891 | |
Syneos Health, Inc. (a) | 1,618 | 80,657 | |
163,593 | |||
Pharmaceuticals - 2.0% | |||
Avadel Pharmaceuticals PLC sponsored ADR (a) | 424 | 2,175 | |
Catalent, Inc. (a) | 1,923 | 80,381 | |
Jazz Pharmaceuticals PLC (a) | 225 | 38,457 | |
Lannett Co., Inc. (a) | 900 | 4,815 | |
Mallinckrodt PLC (a) | 500 | 17,230 | |
Mylan NV (a) | 551 | 21,561 | |
Prestige Brands Holdings, Inc. (a) | 2,005 | 77,193 | |
Revance Therapeutics, Inc. (a) | 798 | 21,865 | |
TherapeuticsMD, Inc. (a) | 7,896 | 51,166 | |
Zogenix, Inc. (a) | 695 | 33,569 | |
348,412 | |||
TOTAL HEALTH CARE | 1,849,770 | ||
INDUSTRIALS - 17.9% | |||
Aerospace & Defense - 0.8% | |||
HEICO Corp. Class A | 456 | 33,972 | |
Huntington Ingalls Industries, Inc. | 60 | 14,668 | |
Moog, Inc. Class A | 200 | 15,782 | |
Spirit AeroSystems Holdings, Inc. Class A | 700 | 59,850 | |
Wesco Aircraft Holdings, Inc. (a) | 1,041 | 12,648 | |
136,920 | |||
Air Freight & Logistics - 0.5% | |||
Atlas Air Worldwide Holdings, Inc. (a) | 400 | 24,360 | |
Forward Air Corp. | 958 | 61,561 | |
85,921 | |||
Airlines - 1.2% | |||
Air Canada (a) | 3,803 | 78,158 | |
Alaska Air Group, Inc. | 300 | 20,247 | |
JetBlue Airways Corp. (a) | 1,600 | 30,528 | |
SkyWest, Inc. | 1,341 | 87,567 | |
216,500 | |||
Building Products - 1.1% | |||
Allegion PLC | 549 | 47,884 | |
Fortune Brands Home & Security, Inc. | 755 | 40,000 | |
Owens Corning | 400 | 22,648 | |
Patrick Industries, Inc. (a) | 598 | 38,272 | |
Simpson Manufacturing Co. Ltd. | 110 | 8,445 | |
USG Corp. (a) | 984 | 42,410 | |
199,659 | |||
Commercial Services & Supplies - 4.0% | |||
ABM Industries, Inc. | 1,789 | 56,747 | |
ADS Waste Holdings, Inc. (a) | 563 | 15,021 | |
Brady Corp. Class A | 1,354 | 54,769 | |
BrightView Holdings, Inc. | 1,510 | 26,818 | |
Casella Waste Systems, Inc. Class A (a) | 775 | 21,995 | |
Charah Solutions, Inc. | 1,509 | 11,061 | |
Cimpress NV (a) | 253 | 35,420 | |
Clean Harbors, Inc. (a) | 1,166 | 79,976 | |
Deluxe Corp. | 400 | 23,688 | |
Evoqua Water Technologies Corp. (a) | 1,717 | 33,275 | |
Herman Miller, Inc. | 1,424 | 54,539 | |
Hudson Technologies, Inc. (a) | 622 | 1,163 | |
KAR Auction Services, Inc. | 690 | 43,256 | |
LSC Communications, Inc. | 137 | 1,676 | |
Msa Safety, Inc. | 210 | 21,229 | |
Multi-Color Corp. | 1,238 | 76,447 | |
Pitney Bowes, Inc. | 2,061 | 14,963 | |
R.R. Donnelley & Sons Co. | 366 | 1,852 | |
Ritchie Brothers Auctioneers, Inc. | 994 | 37,881 | |
Waste Connection, Inc. (United States) | 1,341 | 106,462 | |
718,238 | |||
Construction & Engineering - 0.3% | |||
Fluor Corp. | 312 | 17,912 | |
Williams Scotsman Corp. (a) | 1,560 | 27,222 | |
45,134 | |||
Electrical Equipment - 1.0% | |||
Generac Holdings, Inc. (a) | 583 | 32,351 | |
Regal Beloit Corp. | 400 | 33,480 | |
Sensata Technologies, Inc. PLC (a) | 2,222 | 117,655 | |
183,486 | |||
Industrial Conglomerates - 0.1% | |||
ITT, Inc. | 400 | 23,644 | |
Machinery - 4.2% | |||
Allison Transmission Holdings, Inc. | 1,088 | 54,030 | |
Crane Co. | 100 | 9,128 | |
Douglas Dynamics, Inc. | 758 | 34,716 | |
Gates Industrial Corp. PLC (a) | 1,542 | 28,111 | |
Global Brass & Copper Holdings, Inc. | 600 | 23,130 | |
John Bean Technologies Corp. | 556 | 65,775 | |
Kennametal, Inc. | 1,458 | 59,545 | |
Lincoln Electric Holdings, Inc. | 372 | 35,028 | |
Middleby Corp. (a) | 523 | 63,565 | |
Park-Ohio Holdings Corp. | 300 | 12,435 | |
Proto Labs, Inc. (a) | 136 | 21,141 | |
RBC Bearings, Inc. (a) | 380 | 56,928 | |
Snap-On, Inc. | 282 | 49,852 | |
Tennant Co. | 723 | 55,346 | |
Timken Co. | 300 | 14,595 | |
Toro Co. | 1,474 | 89,604 | |
Wabtec Corp. | 277 | 30,005 | |
Woodward, Inc. | 579 | 46,644 | |
749,578 | |||
Marine - 0.5% | |||
Kirby Corp. (a) | 969 | 84,594 | |
Professional Services - 0.9% | |||
Manpower, Inc. | 300 | 28,119 | |
Nielsen Holdings PLC | 970 | 25,220 | |
TriNet Group, Inc. (a) | 1,799 | 106,267 | |
159,606 | |||
Road & Rail - 1.8% | |||
Avis Budget Group, Inc. (a) | 941 | 29,275 | |
Covenant Transport Group, Inc. Class A (a) | 180 | 5,377 | |
Daseke, Inc. (a) | 3,088 | 27,761 | |
Heartland Express, Inc. | 3,117 | 63,743 | |
J.B. Hunt Transport Services, Inc. | 173 | 20,890 | |
Knight-Swift Transportation Holdings, Inc. Class A | 2,282 | 77,885 | |
Landstar System, Inc. | 300 | 34,740 | |
Ryder System, Inc. | 300 | 23,052 | |
Werner Enterprises, Inc. | 777 | 28,788 | |
311,511 | |||
Trading Companies & Distributors - 1.5% | |||
Applied Industrial Technologies, Inc. | 479 | 36,907 | |
CAI International, Inc. (a) | 386 | 10,418 | |
GATX Corp. | 400 | 33,780 | |
MSC Industrial Direct Co., Inc. Class A | 969 | 82,830 | |
Systemax, Inc. | 270 | 9,855 | |
Triton International Ltd. | 1,000 | 37,780 | |
United Rentals, Inc. (a) | 240 | 37,409 | |
Univar, Inc. (a) | 611 | 16,998 | |
265,977 | |||
TOTAL INDUSTRIALS | 3,180,768 | ||
INFORMATION TECHNOLOGY - 17.5% | |||
Communications Equipment - 1.2% | |||
Ciena Corp. (a) | 2,698 | 85,203 | |
F5 Networks, Inc. (a) | 200 | 37,824 | |
Finisar Corp. (a) | 1,028 | 20,971 | |
Infinera Corp. (a) | 1,566 | 14,016 | |
Juniper Networks, Inc. | 1,200 | 34,116 | |
KVH Industries, Inc. (a) | 139 | 1,731 | |
ViaSat, Inc. (a) | 33 | 2,073 | |
Viavi Solutions, Inc. (a) | 1,753 | 19,634 | |
215,568 | |||
Electronic Equipment & Components - 2.5% | |||
Arrow Electronics, Inc. (a) | 300 | 23,259 | |
Avnet, Inc. | 600 | 29,040 | |
Belden, Inc. | 552 | 40,141 | |
CDW Corp. | 677 | 59,278 | |
Cognex Corp. | 700 | 37,660 | |
Flextronics International Ltd. (a) | 1,400 | 19,306 | |
Jabil, Inc. | 1,200 | 35,472 | |
Keysight Technologies, Inc. (a) | 353 | 22,906 | |
Sanmina Corp. (a) | 700 | 21,560 | |
Trimble, Inc. (a) | 2,504 | 105,418 | |
TTM Technologies, Inc. (a) | 1,200 | 22,440 | |
Vishay Intertechnology, Inc. | 900 | 21,420 | |
437,900 | |||
Internet Software & Services - 5.3% | |||
2U, Inc. (a) | 499 | 44,591 | |
Alphabet, Inc. Class C (a) | 24 | 29,237 | |
Apptio, Inc. Class A (a) | 811 | 31,467 | |
Box, Inc. Class A (a) | 887 | 21,785 | |
Carbonite, Inc. (a) | 3,093 | 128,514 | |
Care.com, Inc. (a) | 3,015 | 58,581 | |
ChannelAdvisor Corp. (a) | 1,457 | 19,014 | |
Cornerstone OnDemand, Inc. (a) | 580 | 32,805 | |
DocuSign, Inc. | 100 | 6,244 | |
Facebook, Inc. Class A (a) | 66 | 11,598 | |
GoDaddy, Inc. (a) | 397 | 32,340 | |
GrubHub, Inc. (a) | 512 | 73,784 | |
Hortonworks, Inc. (a) | 2,541 | 56,715 | |
Instructure, Inc. (a) | 436 | 17,854 | |
Internap Network Services Corp. (a) | 2,087 | 28,008 | |
j2 Global, Inc. | 652 | 53,836 | |
LogMeIn, Inc. | 961 | 82,598 | |
Match Group, Inc. (a) | 342 | 17,117 | |
Nutanix, Inc. Class A (a) | 388 | 21,852 | |
Q2 Holdings, Inc. (a) | 939 | 58,500 | |
Shutterstock, Inc. | 1,228 | 67,589 | |
Stamps.com, Inc. (a) | 104 | 25,839 | |
Yelp, Inc. (a) | 478 | 22,523 | |
942,391 | |||
IT Services - 1.9% | |||
Acxiom Corp. (a) | 414 | 18,916 | |
Amdocs Ltd. | 500 | 32,640 | |
Convergys Corp. | 700 | 17,311 | |
CoreLogic, Inc. (a) | 603 | 30,657 | |
Euronet Worldwide, Inc. (a) | 751 | 73,448 | |
First Data Corp. Class A (a) | 1,295 | 33,307 | |
Gartner, Inc. (a) | 234 | 35,044 | |
Presidio, Inc. | 2,413 | 36,485 | |
Unisys Corp. (a) | 3,204 | 59,594 | |
Virtusa Corp. (a) | 113 | 6,583 | |
343,985 | |||
Semiconductors & Semiconductor Equipment - 1.2% | |||
Advanced Energy Industries, Inc. (a) | 500 | 29,790 | |
Advanced Micro Devices, Inc. (a) | 1,225 | 30,833 | |
AXT, Inc. (a) | 1,107 | 8,745 | |
Cabot Microelectronics Corp. | 510 | 57,492 | |
Cirrus Logic, Inc. (a) | 500 | 21,975 | |
Maxim Integrated Products, Inc. | 238 | 14,392 | |
ON Semiconductor Corp. (a) | 1,800 | 38,412 | |
Teradyne, Inc. | 526 | 21,666 | |
223,305 | |||
Software - 4.4% | |||
Aspen Technology, Inc. (a) | 368 | 42,452 | |
Attunity Ltd. (a) | 1,206 | 25,169 | |
CyberArk Software Ltd. (a) | 677 | 51,059 | |
Descartes Systems Group, Inc. (a) | 619 | 21,665 | |
Descartes Systems Group, Inc. (Canada) (a) | 2 | 70 | |
Ebix, Inc. | 498 | 39,666 | |
Guidewire Software, Inc. (a) | 494 | 49,682 | |
Manhattan Associates, Inc. (a) | 649 | 37,636 | |
Nuance Communications, Inc. (a) | 1,665 | 27,173 | |
QAD, Inc. Class A | 531 | 32,205 | |
Rapid7, Inc. (a) | 436 | 16,633 | |
RealPage, Inc. (a) | 636 | 39,686 | |
Splunk, Inc. (a) | 411 | 52,670 | |
SS&C Technologies Holdings, Inc. | 2,471 | 146,629 | |
Tableau Software, Inc. (a) | 424 | 47,429 | |
Talend SA ADR (a) | 618 | 38,038 | |
Tyler Technologies, Inc. (a) | 214 | 52,847 | |
Ultimate Software Group, Inc. (a) | 133 | 41,186 | |
Upland Software, Inc. (a) | 372 | 13,846 | |
775,741 | |||
Technology Hardware, Storage & Peripherals - 1.0% | |||
3D Systems Corp. (a) | 1,709 | 34,778 | |
NCR Corp. (a) | 600 | 17,046 | |
Quantum Corp. (a) | 4,708 | 9,510 | |
Seagate Technology LLC | 600 | 32,124 | |
Stratasys Ltd. (a) | 874 | 21,806 | |
Western Digital Corp. | 151 | 9,549 | |
Xerox Corp. | 1,823 | 50,789 | |
175,602 | |||
TOTAL INFORMATION TECHNOLOGY | 3,114,492 | ||
MATERIALS - 4.0% | |||
Chemicals - 1.9% | |||
Axalta Coating Systems Ltd. (a) | 1,236 | 37,698 | |
Cabot Corp. | 577 | 37,459 | |
Eastman Chemical Co. | 500 | 48,515 | |
Huntsman Corp. | 2,748 | 83,787 | |
Quaker Chemical Corp. | 212 | 38,190 | |
Rayonier Advanced Materials, Inc. | 618 | 12,916 | |
Trinseo SA | 500 | 38,575 | |
Valvoline, Inc. | 1,910 | 41,103 | |
Westlake Chemical Corp. | 141 | 13,334 | |
351,577 | |||
Construction Materials - 0.3% | |||
Eagle Materials, Inc. | 290 | 26,776 | |
U.S. Concrete, Inc. (a) | 504 | 24,293 | |
51,069 | |||
Containers & Packaging - 1.2% | |||
Aptargroup, Inc. | 919 | 96,228 | |
Crown Holdings, Inc. (a) | 470 | 20,121 | |
Graphic Packaging Holding Co. | 3,016 | 42,888 | |
Owens-Illinois, Inc. (a) | 1,200 | 21,204 | |
WestRock Co. | 557 | 30,680 | |
211,121 | |||
Metals & Mining - 0.4% | |||
Ferroglobe Representation & Warranty Insurance (a)(b) | 2,166 | 0 | |
Goldcorp, Inc. | 1,452 | 15,688 | |
Kinross Gold Corp. (a) | 5,440 | 16,257 | |
Reliance Steel & Aluminum Co. | 300 | 26,367 | |
Tahoe Resources, Inc. (a) | 2,738 | 9,420 | |
67,732 | |||
Paper & Forest Products - 0.2% | |||
Clearwater Paper Corp. (a) | 300 | 8,715 | |
Mercer International, Inc. (SBI) | 693 | 12,266 | |
P.H. Glatfelter Co. | 600 | 11,538 | |
32,519 | |||
TOTAL MATERIALS | 714,018 | ||
REAL ESTATE - 4.1% | |||
Equity Real Estate Investment Trusts (REITs) - 3.7% | |||
CBL & Associates Properties, Inc. | 1,100 | 4,906 | |
CorEnergy Infrastructure Trust, Inc. | 600 | 22,458 | |
DDR Corp. | 950 | 13,291 | |
DiamondRock Hospitality Co. | 1,600 | 19,136 | |
EastGroup Properties, Inc. | 481 | 46,787 | |
Government Properties Income Trust | 1,200 | 20,292 | |
Hospitality Properties Trust (SBI) | 1,200 | 34,788 | |
Medical Properties Trust, Inc. | 1,900 | 28,595 | |
Mid-America Apartment Communities, Inc. | 382 | 39,560 | |
National Retail Properties, Inc. | 1,333 | 61,438 | |
National Storage Affiliates Trust | 1,044 | 29,608 | |
Omega Healthcare Investors, Inc. | 1,100 | 36,355 | |
Outfront Media, Inc. | 1,673 | 33,243 | |
Piedmont Office Realty Trust, Inc. Class A | 1,700 | 33,728 | |
Preferred Apartment Communities, Inc. Class A | 800 | 14,256 | |
RLJ Lodging Trust | 1,649 | 36,130 | |
Sabra Health Care REIT, Inc. | 1,200 | 28,296 | |
Select Income REIT | 900 | 18,495 | |
Senior Housing Properties Trust (SBI) | 1,900 | 36,309 | |
Spirit MTA REIT | 380 | 4,074 | |
Spirit Realty Capital, Inc. | 3,800 | 31,806 | |
Summit Hotel Properties, Inc. | 1,100 | 15,103 | |
VEREIT, Inc. | 3,600 | 28,152 | |
Washington Prime Group, Inc. | 2,200 | 17,028 | |
653,834 | |||
Real Estate Management & Development - 0.4% | |||
Cushman & Wakefield PLC | 1,280 | 22,605 | |
HFF, Inc. | 646 | 29,335 | |
Realogy Holdings Corp. | 1,066 | 22,802 | |
Retail Value, Inc. (a) | 95 | 3,393 | |
78,135 | |||
TOTAL REAL ESTATE | 731,969 | ||
TELECOMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.3% | |||
Bandwidth, Inc. (a) | 804 | 36,630 | |
Ooma, Inc. (a) | 362 | 5,792 | |
42,422 | |||
Wireless Telecommunication Services - 0.2% | |||
Boingo Wireless, Inc. (a) | 1,211 | 40,060 | |
TOTAL TELECOMMUNICATION SERVICES | 82,482 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.9% | |||
Entergy Corp. | 600 | 50,154 | |
FirstEnergy Corp. | 1,100 | 41,118 | |
Portland General Electric Co. | 1,071 | 49,694 | |
PPL Corp. | 574 | 17,071 | |
158,037 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 1,700 | 22,882 | |
Multi-Utilities - 0.2% | |||
NorthWestern Energy Corp. | 664 | 39,813 | |
TOTAL UTILITIES | 220,732 | ||
TOTAL COMMON STOCKS | |||
(Cost $12,163,434) | 15,570,856 | ||
Equity Funds - 10.1% | |||
Mid-Cap Blend Funds - 4.7% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (c) | 62,358 | 842,457 | |
Sector Funds - 0.6% | |||
Fidelity SAI Real Estate Index Fund (c) | 9,532 | 109,048 | |
Small Blend Funds - 4.8% | |||
Fidelity Small Cap Index Fund Institutional Premium Class (c) | 36,688 | 847,484 | |
TOTAL EQUITY FUNDS | |||
(Cost $1,645,194) | 1,798,989 | ||
Money Market Funds - 2.4% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.87% (d) | |||
(Cost $427,269) | 427,269 | 427,269 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $14,235,897) | 17,797,114 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (3,362) | ||
NET ASSETS - 100% | $17,793,752 |
Legend
(a) Non-income producing
(b) Level 3 security
(c) Affiliated Fund
(d) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity SAI Real Estate Index Fund | $93,320 | $-- | $-- | $1,220 | $-- | $15,728 | $109,048 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 569,466 | 579,323 | 373,703 | -- | 11,516 | 55,855 | 842,457 |
Fidelity Small Cap Index Fund Institutional Premium Class | -- | 941,673 | 122,403 | 3,555 | 328 | 27,886 | 847,484 |
Total | $662,786 | $1,520,996 | $496,106 | $4,775 | $11,844 | $99,469 | $1,798,989 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2018, 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 | $2,439,381 | $2,439,381 | $-- | $-- |
Consumer Staples | 381,260 | 381,260 | -- | -- |
Energy | 668,783 | 668,783 | -- | -- |
Financials | 2,187,201 | 2,187,201 | -- | -- |
Health Care | 1,849,770 | 1,846,806 | -- | 2,964 |
Industrials | 3,180,768 | 3,180,768 | -- | -- |
Information Technology | 3,114,492 | 3,114,492 | -- | -- |
Materials | 714,018 | 714,018 | -- | -- |
Real Estate | 731,969 | 731,969 | -- | -- |
Telecommunication Services | 82,482 | 82,482 | -- | -- |
Utilities | 220,732 | 220,732 | -- | -- |
Equity Funds | 1,798,989 | 1,798,989 | -- | -- |
Money Market Funds | 427,269 | 427,269 | -- | -- |
Total Investments in Securities: | $17,797,114 | $17,794,150 | $-- | $2,964 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2018 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $12,590,703) | $15,998,125 | |
Affiliated issuers (cost $1,645,194) | 1,798,989 | |
Total Investment in Securities (cost $14,235,897) | $17,797,114 | |
Cash | 485 | |
Receivable for investments sold | 42,665 | |
Receivable for fund shares sold | 3,137 | |
Dividends receivable | 14,399 | |
Interest receivable | 611 | |
Prepaid expenses | 55 | |
Receivable from investment adviser for expense reductions | 3,815 | |
Other receivables | 576 | |
Total assets | 17,862,857 | |
Liabilities | ||
Payable for investments purchased | $20,130 | |
Accrued management fee | 10,464 | |
Distribution and service plan fees payable | 32 | |
Other affiliated payables | 2,162 | |
Audit fee payable | 22,213 | |
Custody fee payable | 13,478 | |
Other payables and accrued expenses | 626 | |
Total liabilities | 69,105 | |
Net Assets | $17,793,752 | |
Net Assets consist of: | ||
Paid in capital | $13,460,774 | |
Undistributed net investment income | 20,172 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 751,589 | |
Net unrealized appreciation (depreciation) on investments | 3,561,217 | |
Net Assets | $17,793,752 | |
Small-Mid Cap Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($17,474,090 ÷ 1,627,203 shares) | $10.74 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($160,789 ÷ 14,993 shares) | $10.72 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($158,873 ÷ 14,926 shares) | $10.64 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2018 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $96,528 | |
Affiliated issuers | 2,734 | |
Non-Cash dividends | 6,329 | |
Interest | 8,853 | |
Total income | 114,444 | |
Expenses | ||
Management fee | $60,903 | |
Transfer agent fees | 9,578 | |
Distribution and service plan fees | 187 | |
Accounting fees and expenses | 3,169 | |
Custodian fees and expenses | 19,598 | |
Independent trustees' fees and expenses | 99 | |
Registration fees | 16,276 | |
Audit | 36,637 | |
Legal | 4,778 | |
Miscellaneous | 97 | |
Total expenses before reductions | 151,322 | |
Expense reductions | (57,392) | |
Total expenses after reductions | 93,930 | |
Net investment income (loss) | 20,514 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 769,354 | |
Affiliated issuers | 11,844 | |
Foreign currency transactions | (10) | |
Futures contracts | 46,636 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 2,041 | |
Total net realized gain (loss) | 829,865 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 792,932 | |
Affiliated issuers | 99,469 | |
Futures contracts | (316) | |
Total change in net unrealized appreciation (depreciation) | 892,085 | |
Net gain (loss) | 1,721,950 | |
Net increase (decrease) in net assets resulting from operations | $1,742,464 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2018 (Unaudited) | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $20,514 | $10,283 |
Net realized gain (loss) | 829,865 | 1,785,246 |
Change in net unrealized appreciation (depreciation) | 892,085 | 308,602 |
Net increase (decrease) in net assets resulting from operations | 1,742,464 | 2,104,131 |
Distributions to shareholders from net investment income | – | (18,378) |
Distributions to shareholders from net realized gain | (883,759) | (1,072,219) |
Total distributions | (883,759) | (1,090,597) |
Share transactions - net increase (decrease) | 1,355,582 | (898,485) |
Redemption fees | – | 635 |
Total increase (decrease) in net assets | 2,214,287 | 115,684 |
Net Assets | ||
Beginning of period | 15,579,465 | 15,463,781 |
End of period | $17,793,752 | $15,579,465 |
Other Information | ||
Undistributed net investment income end of period | $20,172 | $– |
Accumulated net investment loss end of period | $– | $(342) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Multi-Manager Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.25 | $9.71 | $9.10 | $11.40 | $13.46 | $12.25 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .01 | .01 | .01 | (.02) | (.04) | (.03) |
Net realized and unrealized gain (loss) | 1.07 | 1.28 | 2.76 | (1.54) | .70 | 3.24 |
Total from investment operations | 1.08 | 1.29 | 2.77 | (1.56) | .66 | 3.21 |
Distributions from net investment income | – | (.01) | –C | – | – | – |
Distributions from net realized gain | (.59) | (.74) | (2.16) | (.74) | (2.72) | (2.00) |
Total distributions | (.59) | (.75) | (2.16) | (.74) | (2.72) | (2.00) |
Redemption fees added to paid in capitalB | – | –C | –C | –C | –C | –C |
Net asset value, end of period | $10.74 | $10.25 | $9.71 | $9.10 | $11.40 | $13.46 |
Total ReturnD,E | 11.24% | 13.49% | 31.35% | (14.27)% | 5.88% | 27.21% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.85%G | 1.92% | 2.17% | 1.41% | 1.34% | 1.25% |
Expenses net of fee waivers, if any | 1.15%G | 1.15% | 1.15% | 1.16% | 1.16% | 1.16% |
Expenses net of all reductions | 1.15%G | 1.15% | 1.15% | 1.16% | 1.16% | 1.16% |
Net investment income (loss) | .25%G | .06% | .08% | (.18)% | (.29)% | (.19)% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $17,474 | $15,292 | $13,251 | $28,621 | $32,904 | $57,019 |
Portfolio turnover rateH | 47%G | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total returns 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 Small-Mid Cap Multi-Manager Fund Class L
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.24 | $9.70 | $9.09 | $11.39 | $13.45 | $14.28 |
Income from Investment Operations | ||||||
Net investment income (loss)C | .01 | .01 | .01 | (.02) | (.04) | (.01) |
Net realized and unrealized gain (loss) | 1.06 | 1.28 | 2.76 | (1.54) | .70 | .93 |
Total from investment operations | 1.07 | 1.29 | 2.77 | (1.56) | .66 | .92 |
Distributions from net investment income | – | (.01) | –D | – | – | – |
Distributions from net realized gain | (.59) | (.74) | (2.16) | (.74) | (2.72) | (1.75) |
Total distributions | (.59) | (.75) | (2.16) | (.74) | (2.72) | (1.75) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.72 | $10.24 | $9.70 | $9.09 | $11.39 | $13.45 |
Total ReturnE,F | 11.14% | 13.50% | 31.39% | (14.29)% | 5.89% | 6.84% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 1.83%H | 1.89% | 2.21% | 1.40% | 1.37% | 1.54%H |
Expenses net of fee waivers, if any | 1.15%H | 1.15% | 1.15% | 1.16% | 1.16% | 1.16%H |
Expenses net of all reductions | 1.15%H | 1.15% | 1.15% | 1.16% | 1.16% | 1.16%H |
Net investment income (loss) | .26%H | .05% | .09% | (.18)% | (.29)% | (.17)%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $161 | $145 | $127 | $97 | $113 | $107 |
Portfolio turnover rateI | 47%H | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 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 Small-Mid Cap Multi-Manager Fund Class N
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2018 | 2018 | 2017 | 2016 A | 2015 | 2014 B | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.18 | $9.64 | $9.07 | $11.38 | $13.44 | $14.28 |
Income from Investment Operations | ||||||
Net investment income (loss)C | –D | (.02) | (.02) | (.05) | (.07) | (.02) |
Net realized and unrealized gain (loss) | 1.05 | 1.29 | 2.74 | (1.52) | .70 | .92 |
Total from investment operations | 1.05 | 1.27 | 2.72 | (1.57) | .63 | .90 |
Distributions from net investment income | – | – | – | – | – | – |
Distributions from net realized gain | (.59) | (.73) | (2.15) | (.74) | (2.69) | (1.74) |
Total distributions | (.59) | (.73) | (2.15) | (.74) | (2.69) | (1.74) |
Redemption fees added to paid in capitalC | – | –D | –D | –D | –D | –D |
Net asset value, end of period | $10.64 | $10.18 | $9.64 | $9.07 | $11.38 | $13.44 |
Total ReturnE,F | 10.96% | 13.36% | 30.86% | (14.42)% | 5.62% | 6.73% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 2.08%H | 2.14% | 2.45% | 1.65% | 1.62% | 1.81%H |
Expenses net of fee waivers, if any | 1.40%H | 1.40% | 1.40% | 1.41% | 1.41% | 1.41%H |
Expenses net of all reductions | 1.40%H | 1.40% | 1.40% | 1.41% | 1.41% | 1.41%H |
Net investment income (loss) | .01%H | (.19)% | (.16)% | (.43)% | (.54)% | (.42)%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $159 | $143 | $126 | $96 | $113 | $107 |
Portfolio turnover rateI | 47%H | 64% | 120% | 89% | 85% | 117% |
A For the year ended February 29.
B For the period November 12, 2013 (commencement of sale of shares) to February 28, 2014.
C Calculated based on average shares outstanding during the period.
D Amount represents less than $.005 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 August 31, 2018
1. Organization.
Strategic Advisers Small-Mid Cap 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 Small-Mid Cap Multi Manager, 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.
Effective the close of business on December 4, 2018, the Fund will be closed to new accounts and additional purchases, except for reinvestments.
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. 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.
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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2018 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 include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. 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), certain independent Trustees have elected 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 of $576 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
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 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 the short-term gain distributions from the Underlying Funds, futures contracts, passive foreign investment companies (PFIC), market discount, partnerships, 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 | $4,168,962 |
Gross unrealized depreciation | (657,545) |
Net unrealized appreciation (depreciation) | $3,511,417 |
Tax cost | $14,285,697 |
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.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $4,816,692 and $3,660,230, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers LLC (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 1.15% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .75% of the Fund's average net assets.
Sub-Advisers. ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, and BNY Mellon Asset Management North America Corporation 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.
AllianceBernstein, L.P. (AB), FIAM LLC (an affiliate of the investment adviser), Boston Partners Global Investors, Inc., Fisher Investments, Geode Capital Management, LLC, Rice Hall James & Associates, LLC, Victory Capital Management, Inc. and Voya Investment Management Co., LLC 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.
During September 2018, the agreement with Systematic Financial Management, L.P. was not renewed.
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% | $187 | $187 |
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. Each class 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, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Small-Mid Cap Multi-Manager | $9,443 | .12 |
Class L | 68 | .09 |
Class N | 67 | .09 |
$9,578 |
(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. For the period, the fees were equivalent to an annualized rate of .04%.
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 $7 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 $22 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 voluntarily agreed to waive the Fund's management fee in an amount equal to .01% of the Fund's average net assets. During the period, this waiver reduced the fund's management fee by $816.
The investment adviser has contractually agreed to reimburse Small-Mid 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 April 30, 2019. 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 | |
Small-Mid Cap Multi-Manager | 1.15% | $55,570 |
Class L | 1.15% | 504 |
Class N | 1.40% | 501 |
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 $1.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended August 31, 2018 | Year ended February 28, 2018 | |
From net investment income | ||
Small-Mid Cap Multi-Manager | $– | $18,205 |
Class L | – | 173 |
Total | $– | $18,378 |
From net realized gain | ||
Small-Mid Cap Multi-Manager | $867,217 | $1,028,078 |
Class F | – | 24,737 |
Class L | 8,318 | 9,769 |
Class N | 8,224 | 9,635 |
Total | $883,759 | $1,072,219 |
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 August 31, 2018 | Year ended February 28, 2018 | Six months ended August 31, 2018 | Year ended February 28, 2018 | |
Small-Mid Cap Multi-Manager | ||||
Shares sold | 112,098 | 237,242 | $1,158,334 | $2,413,353 |
Reinvestment of distributions | 90,713 | 103,772 | 867,217 | 1,046,283 |
Shares redeemed | (66,842) | (214,829) | (686,511) | (2,169,847) |
Net increase (decrease) | 135,969 | 126,185 | $1,339,040 | $1,289,789 |
Class F | ||||
Shares sold | – | 93,458 | $– | $938,773 |
Reinvestment of distributions | – | 2,590 | – | 24,737 |
Shares redeemed | – | (296,820) | – | (3,171,361) |
Net increase (decrease) | – | (200,772) | $– | $(2,207,851) |
Class L | ||||
Reinvestment of distributions | 871 | 987 | 8,318 | 9,942 |
Net increase (decrease) | 871 | 987 | $8,318 | $9,942 |
Class N | ||||
Reinvestment of distributions | 867 | 963 | 8,224 | 9,635 |
Net increase (decrease) | 867 | 963 | $8,224 | $9,635 |
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 69% of the total outstanding shares of the Fund.
In September 2018, the Fund's Board of Trustees approved a Plan of Liquidation and Dissolution whereby the Fund will distribute all of its net assets to its shareholders on or about December 12, 2018.
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 (March 1, 2018 to August 31, 2018).
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, which was eliminated effective August 1, 2018, 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, which was eliminated effective August 1, 2018, 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 March 1, 2018 | Ending Account Value August 31, 2018 | Expenses Paid During Period-B March 1, 2018 to August 31, 2018 | |
Small-Mid Cap Multi-Manager | 1.15% | |||
Actual | $1,000.00 | $1,112.40 | $6.12 | |
Hypothetical-C | $1,000.00 | $1,019.41 | $5.85 | |
Class L | 1.15% | |||
Actual | $1,000.00 | $1,111.40 | $6.12 | |
Hypothetical-C | $1,000.00 | $1,019.41 | $5.85 | |
Class N | 1.40% | |||
Actual | $1,000.00 | $1,109.60 | $7.44 | |
Hypothetical-C | $1,000.00 | $1,018.15 | $7.12 |
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 184/365 (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 Small-Mid Cap Multi-Manager Fund
On March 8, 2018, 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 FIAM LLC (FIAM) for the fund (the Amended Sub-Advisory Agreement), which will lower the amount of fees to be paid by Strategic Advisers to FIAM, on behalf of the fund, at all asset levels. 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 FIAM, 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 previously received information regarding the sub-adviser's historical investment performance of its portion of fund and/or the performance of the strategy. 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 with FIAM 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 FIAM at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to FIAM 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 FIAM, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement. 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 will have no impact on the management fee retained by Strategic Advisers, if any, 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. The Board noted that it will consider costs of services and profitability to Strategic Advisers and FIAM as a result of their relationship with the fund in connection with future renewals of the Amended Sub-Advisory Agreement and the fund's advisory agreement with Strategic Advisers.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 noted that the Amended Sub-Advisory Agreement charges a flat rate on all assets, but that the rate to be charged under the Amended Sub-Advisory Agreement is lower than the effective rates that would be charged at all asset levels under the current sub-advisory agreement. 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.Board Approval of Investment Advisory Contract and Management FeesStrategic Advisers Small-Mid Cap Multi-Manager FundOn June 7, 2018, 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 (the Current Sub- Advisory Agreement) with Geode Capital Management, LLC (Geode) to add an additional investment mandate (the Amended Sub-Advisory Agreement) for the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule, which was amended to add a new investment mandate. The Amended Sub-Advisory Agreement also reflects a name change from Strategic Advisers, Inc. to Strategic Advisers LLC.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 LLC (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 bears a reasonable relationship to the services to be rendered and 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. 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 noted that it is familiar with the nature, extent and quality of services provided by Geode from its oversight of Geode as a sub-adviser on an existing investment mandate on behalf of the fund and other Strategic Advisers funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to the fund and other funds will also provide services to the fund. The Board considered the staffing within Geode, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of Geode's portfolio manager compensation program with respect to the investment personnel who will provide services to the fund under the new investment mandate and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board noted that Geode will utilize a different investment mandate to manage the fund than it currently uses on behalf of the fund and other Strategic Advisers funds and reviewed the general qualifications and capabilities of its investment staff who will provide services to the fund under the new investment mandate, its use of technology, and its approach to managing and compensating its investment personnel. The Board noted that Geode's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered Geode's trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board also noted that it reviewed information regarding (i) the nature, extent, quality, and cost of advisory services to be performed by Geode under the Amended Sub- Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered that the investment mandate to be utilized by Geode is new and, therefore, does not have historical investment performance. The Board reviewed hypothetical backtested performance of the new investment mandate. The Board noted that it is familiar with Geode's performance as a sub-adviser to an existing investment mandate on behalf of the fund and other Strategic Advisers funds.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 should benefit the shareholders of the fund.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Amended Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to Geode and the projected change in the fund's total operating expenses as a result of the new investment mandate.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.15% of the fund's average daily net assets and that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund, Strategic Advisers' portion of the management fee or Strategic Advisers' voluntary agreement to waive 0.01% of the management fee for the fund. The Board considered that Strategic Advisers has contractually agreed to reimburse the retail class, Class L and Class N of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any) as a percentage of net assets exceed 1.15%, 1.15% and 1.40%, respectively, through April 30, 2019. The Board also considered that there are no expected changes to the fund's total net expenses as a result of approving the Amended Sub-Advisory Agreement because Strategic Advisers does not expect to allocate any assets of the fund to Geode at this time. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses 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 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, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting and that it will consider the potential for such benefits at its September 2018 meeting. With respect to the Amended Sub-Advisory Agreement, the Board considered management's representation that it does not anticipate that the addition of the new investment mandate will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews 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 and the fund's sub-advisory agreements. The Board considered that the Amended Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee.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 to be rendered 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
AMM-L-AMM-N-SANN-1018
1.9585981.104
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | 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: | October 24, 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: | October 24, 2018 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | October 24, 2018 |