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 811-2546
Fidelity Commonwealth Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
| |
Date of fiscal year end: | November 30 |
| |
Date of reporting period: | November 30, 2015 |
Item 1.
Reports to Stockholders
Fidelity® Series 100 Index Fund - Fidelity® Series 100 Index Fund
Class F
Annual Report November 30, 2015 |
 |
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544, or for Class F, call 1-800-835-5092, 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. © 2016 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.advisor.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.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year.
The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred.
How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended November 30, 2015 | Past 1 year | Past 5 years | Life of FundA |
| Fidelity® Series 100 Index Fund | 3.48% | 14.31% | 6.53% |
| Class F | 3.45% | 14.32% | 6.53% |
A From March 29, 2007
The initial offering of Class F shares took place on December 4, 2013. Returns prior to December 4, 2013 are those of Fidelity® Series 100 Index Fund, the original class of the fund.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Series 100 Index Fund, a class of the fund, on March 29, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the S&P 100® Index performed over the same period.
| Period Ending Values |
| $17,313 | Fidelity® Series 100 Index Fund |
| $17,478 | S&P 100® Index |
Management's Discussion of Fund Performance
Market Recap: U.S. stocks gained modestly for the 12 months ending November 30, 2015, despite a steep decline in August and September on concern about slowing economic growth in China. The S&P 500
® index rebounded in October and gained 2.75% for the year. Stocks benefited late in the period amid waning expectations for a near-term interest-rate hike by the U.S. Federal Reserve, more economic stimulus in Europe and an interest-rate cut in China. Growth stocks in the benchmark far outpaced their value counterparts, as investors continued to seek growth in a subpar economic environment. Sector performance varied widely, with more than 26 percentage points separating the leader from the laggard. Consumer discretionary (+14%) secured the top spot, benefiting from a combination of rising personal income and still-benign inflation. Information technology (+7%) and health care (+4%) also outpaced the broad market. Conversely, the energy sector (-12%) performed worst, stymied by depressed commodity prices that also hit materials (-5%). Telecommunication services (-5%) and utilities (-4%), considered defensive sectors less sensitive to the economy, also lost ground. At period end, investors remained focused on the potential global implications of a stronger U.S. dollar and how China’s transition toward a consumption-led economy may affect corporate earnings.
Comments from Patrick Waddell, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund's share classes performed roughly in line with the 3.44% gain of the S&P 100
® index. By a wide margin, the top sector in the index was consumer discretionary, whereas energy stocks struggled in light of the sharp drop in the price of oil. The biggest absolute contributor by far was online retail giant Amazon.com. Its shares nearly doubled, driven by better-than-expected financial results. In information technology, software maker Microsoft – one of the largest weightings in the index – added value, as did social-networking leader Facebook and Internet search giant Alphabet, which late in the period was established as a parent company for Google and its sister businesses. Elsewhere, home-improvement retailer Home Depot and industrial conglomerate General Electric boosted returns. Litigation income received during the period added to the fund's return. In contrast, the biggest individual detractor was retailer Wal-Mart Stores, which posted weak earnings in a difficult business environment. Among various energy-related stocks to hamper results this period were Kinder Morgan, Exxon Mobil and Chevron, whose shares returned about -41%, -7% and -12%, respectively. Other detractors included wireless communications equipment manufacturer QUALCOMM and branded consumer products company Procter & Gamble.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Ten Stocks as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Apple, Inc. | 5.8 | 6.5 |
| Microsoft Corp. | 3.7 | 3.3 |
| Exxon Mobil Corp. | 2.9 | 3.1 |
| General Electric Co. | 2.4 | 2.3 |
| Johnson & Johnson | 2.4 | 2.4 |
| Wells Fargo & Co. | 2.2 | 2.2 |
| Amazon.com, Inc. | 2.2 | 1.4 |
| Berkshire Hathaway, Inc. Class B | 2.2 | 2.2 |
| JPMorgan Chase & Co. | 2.1 | 2.1 |
| Facebook, Inc. Class A | 2.0 | 1.4 |
| | 27.9 | |
Market Sectors as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Information Technology | 24.8 | 24.5 |
| Health Care | 15.1 | 16.1 |
| Financials | 14.8 | 14.7 |
| Consumer Discretionary | 12.4 | 10.5 |
| Consumer Staples | 10.6 | 10.6 |
| Industrials | 9.2 | 9.4 |
| Energy | 7.4 | 8.4 |
| Telecommunication Services | 3.4 | 3.3 |
| Materials | 1.4 | 1.5 |
| Utilities | 0.6 | 0.6 |
Investments November 30, 2015
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| CONSUMER DISCRETIONARY - 12.4% | | | |
| Automobiles - 0.9% | | | |
| Ford Motor Co. | | 1,135,116 | $16,266,212 |
| General Motors Co. | | 419,862 | 15,199,004 |
| | | | 31,465,216 |
| Hotels, Restaurants & Leisure - 1.7% | | | |
| McDonald's Corp. | | 274,331 | 31,317,627 |
| Starbucks Corp. | | 432,318 | 26,540,002 |
| | | | 57,857,629 |
| Internet & Catalog Retail - 2.8% | | | |
| Amazon.com, Inc. (a) | | 111,713 | 74,266,802 |
| Priceline Group, Inc. (a) | | 14,768 | 18,443,017 |
| | | | 92,709,819 |
| Media - 3.7% | | | |
| Comcast Corp.: | | | |
| Class A | | 615,995 | 37,489,456 |
| Class A (special) (non-vtg.) | | 101,170 | 6,175,417 |
| The Walt Disney Co. | | 452,309 | 51,323,502 |
| Time Warner, Inc. | | 237,563 | 16,624,659 |
| Twenty-First Century Fox, Inc.: | | | |
| Class A | | 355,636 | 10,494,818 |
| Class B | | 125,600 | 3,761,720 |
| | | | 125,869,572 |
| Multiline Retail - 0.4% | | | |
| Target Corp. | | 183,049 | 13,271,053 |
| Specialty Retail - 2.1% | | | |
| Home Depot, Inc. | | 374,034 | 50,075,672 |
| Lowe's Companies, Inc. | | 269,502 | 20,643,853 |
| | | | 70,719,525 |
| Textiles, Apparel & Luxury Goods - 0.8% | | | |
| NIKE, Inc. Class B | | 197,457 | 26,119,612 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 418,012,426 |
|
| CONSUMER STAPLES - 10.6% | | | |
| Beverages - 2.7% | | | |
| PepsiCo, Inc. | | 427,889 | 42,857,362 |
| The Coca-Cola Co. | | 1,140,364 | 48,602,314 |
| | | | 91,459,676 |
| Food & Staples Retailing - 2.9% | | | |
| Costco Wholesale Corp. | | 128,014 | 20,664,020 |
| CVS Health Corp. | | 324,628 | 30,544,249 |
| Wal-Mart Stores, Inc. | | 459,661 | 27,046,453 |
| Walgreens Boots Alliance, Inc. | | 254,529 | 21,388,072 |
| | | | 99,642,794 |
| Food Products - 0.6% | | | |
| Mondelez International, Inc. | | 469,342 | 20,491,472 |
| Household Products - 2.3% | | | |
| Colgate-Palmolive Co. | | 262,191 | 17,220,705 |
| Procter & Gamble Co. | | 790,116 | 59,132,281 |
| | | | 76,352,986 |
| Tobacco - 2.1% | | | |
| Altria Group, Inc. | | 571,112 | 32,896,051 |
| Philip Morris International, Inc. | | 451,248 | 39,434,563 |
| | | | 72,330,614 |
|
| TOTAL CONSUMER STAPLES | | | 360,277,542 |
|
| ENERGY - 7.4% | | | |
| Energy Equipment & Services - 1.1% | | | |
| Halliburton Co. | | 248,972 | 9,921,534 |
| Schlumberger Ltd. | | 368,600 | 28,437,490 |
| | | | 38,359,024 |
| Oil, Gas & Consumable Fuels - 6.3% | | | |
| Anadarko Petroleum Corp. | | 147,974 | 8,863,643 |
| Chevron Corp. | | 548,113 | 50,053,679 |
| ConocoPhillips Co. | | 359,282 | 19,419,192 |
| Devon Energy Corp. | | 112,533 | 5,177,643 |
| Exxon Mobil Corp. | | 1,214,479 | 99,174,355 |
| Kinder Morgan, Inc. | | 523,544 | 12,339,932 |
| Occidental Petroleum Corp. | | 222,524 | 16,820,589 |
| | | | 211,849,033 |
|
| TOTAL ENERGY | | | 250,208,057 |
|
| FINANCIALS - 14.8% | | | |
| Banks - 7.9% | | | |
| Bank of America Corp. | | 3,049,282 | 53,148,985 |
| Citigroup, Inc. | | 876,709 | 47,421,190 |
| JPMorgan Chase & Co. | | 1,077,174 | 71,825,962 |
| U.S. Bancorp | | 482,169 | 21,162,397 |
| Wells Fargo & Co. | | 1,360,675 | 74,973,193 |
| | | | 268,531,727 |
| Capital Markets - 1.9% | | | |
| Bank of New York Mellon Corp. | | 322,307 | 14,129,939 |
| BlackRock, Inc. Class A | | 37,316 | 13,572,576 |
| Goldman Sachs Group, Inc. | | 117,261 | 22,281,935 |
| Morgan Stanley | | 443,807 | 15,222,580 |
| | | | 65,207,030 |
| Consumer Finance - 0.9% | | | |
| American Express Co. | | 247,906 | 17,759,986 |
| Capital One Financial Corp. | | 157,999 | 12,404,501 |
| | | | 30,164,487 |
| Diversified Financial Services - 2.2% | | | |
| Berkshire Hathaway, Inc. Class B (a) | | 545,684 | 73,170,768 |
| Insurance - 1.4% | | | |
| Allstate Corp. | | 116,626 | 7,319,448 |
| American International Group, Inc. | | 376,884 | 23,962,285 |
| MetLife, Inc. | | 325,326 | 16,620,905 |
| | | | 47,902,638 |
| Real Estate Investment Trusts - 0.5% | | | |
| Simon Property Group, Inc. | | 90,125 | 16,784,880 |
|
| TOTAL FINANCIALS | | | 501,761,530 |
|
| HEALTH CARE - 15.1% | | | |
| Biotechnology - 4.5% | | | |
| AbbVie, Inc. | | 482,149 | 28,036,964 |
| Amgen, Inc. | | 220,863 | 35,581,029 |
| Biogen, Inc. (a) | | 64,927 | 18,624,959 |
| Celgene Corp. (a) | | 230,269 | 25,202,942 |
| Gilead Sciences, Inc. | | 427,485 | 45,296,311 |
| | | | 152,742,205 |
| Health Care Equipment & Supplies - 1.5% | | | |
| Abbott Laboratories | | 434,136 | 19,501,389 |
| Medtronic PLC | | 411,926 | 31,034,505 |
| | | | 50,535,894 |
| Health Care Providers & Services - 0.9% | | | |
| UnitedHealth Group, Inc. | | 277,754 | 31,305,653 |
| Pharmaceuticals - 8.2% | | | |
| Allergan PLC (a) | | 114,658 | 35,990,000 |
| Bristol-Myers Squibb Co. | | 485,711 | 32,547,494 |
| Eli Lilly & Co. | | 284,149 | 23,311,584 |
| Johnson & Johnson | | 806,586 | 81,658,767 |
| Merck & Co., Inc. | | 820,431 | 43,491,047 |
| Pfizer, Inc. | | 1,796,428 | 58,868,946 |
| | | | 275,867,838 |
|
| TOTAL HEALTH CARE | | | 510,451,590 |
|
| INDUSTRIALS - 9.2% | | | |
| Aerospace & Defense - 3.4% | | | |
| General Dynamics Corp. | | 88,364 | 12,941,791 |
| Honeywell International, Inc. | | 227,712 | 23,670,662 |
| Lockheed Martin Corp. | | 77,789 | 17,048,237 |
| Raytheon Co. | | 88,418 | 10,966,485 |
| The Boeing Co. | | 186,048 | 27,060,682 |
| United Technologies Corp. | | 241,255 | 23,172,543 |
| | | | 114,860,400 |
| Air Freight & Logistics - 1.0% | | | |
| FedEx Corp. | | 76,508 | 12,129,578 |
| United Parcel Service, Inc. Class B | | 203,444 | 20,956,766 |
| | | | 33,086,344 |
| Electrical Equipment - 0.3% | | | |
| Emerson Electric Co. | | 191,412 | 9,570,600 |
| Industrial Conglomerates - 3.2% | | | |
| 3M Co. | | 181,976 | 28,493,802 |
| General Electric Co. (b) | | 2,745,443 | 82,198,563 |
| | | | 110,692,365 |
| Machinery - 0.4% | | | |
| Caterpillar, Inc. | | 175,535 | 12,752,618 |
| Road & Rail - 0.9% | | | |
| Norfolk Southern Corp. | | 87,788 | 8,345,127 |
| Union Pacific Corp. | | 252,742 | 21,217,691 |
| | | | 29,562,818 |
|
| TOTAL INDUSTRIALS | | | 310,525,145 |
|
| INFORMATION TECHNOLOGY - 24.8% | | | |
| Communications Equipment - 1.9% | | | |
| Cisco Systems, Inc. | | 1,481,420 | 40,368,695 |
| QUALCOMM, Inc. | | 457,660 | 22,329,231 |
| | | | 62,697,926 |
| Internet Software & Services - 5.8% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 84,438 | 64,413,528 |
| Class C | | 86,155 | 63,978,703 |
| Facebook, Inc. Class A (a) | | 658,217 | 68,612,540 |
| | | | 197,004,771 |
| IT Services - 4.2% | | | |
| Accenture PLC Class A | | 181,798 | 19,492,382 |
| IBM Corp. | | 262,492 | 36,596,635 |
| MasterCard, Inc. Class A | | 290,697 | 28,465,050 |
| PayPal Holdings, Inc. (a) | | 323,044 | 11,390,531 |
| Visa, Inc. Class A | | 568,401 | 44,909,363 |
| | | | 140,853,961 |
| Semiconductors & Semiconductor Equipment - 1.9% | | | |
| Intel Corp. | | 1,384,747 | 48,147,653 |
| Texas Instruments, Inc. | | 298,966 | 17,375,904 |
| | | | 65,523,557 |
| Software - 4.8% | | | |
| Microsoft Corp. | | 2,329,655 | 126,616,749 |
| Oracle Corp. | | 947,261 | 36,914,761 |
| | | | 163,531,510 |
| Technology Hardware, Storage & Peripherals - 6.2% | | | |
| Apple, Inc. | | 1,661,091 | 196,507,068 |
| EMC Corp. | | 560,635 | 14,206,491 |
| | | | 210,713,559 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 840,325,284 |
|
| MATERIALS - 1.4% | | | |
| Chemicals - 1.4% | | | |
| E.I. du Pont de Nemours & Co. | | 263,562 | 17,748,265 |
| Monsanto Co. | | 128,116 | 12,191,519 |
| The Dow Chemical Co. | | 337,332 | 17,585,117 |
| | | | 47,524,901 |
| TELECOMMUNICATION SERVICES - 3.4% | | | |
| Diversified Telecommunication Services - 3.4% | | | |
| AT&T, Inc. | | 1,791,666 | 60,325,394 |
| Verizon Communications, Inc. | | 1,184,256 | 53,824,435 |
| | | | 114,149,829 |
| UTILITIES - 0.6% | | | |
| Electric Utilities - 0.6% | | | |
| Exelon Corp. | | 267,851 | 7,315,011 |
| Southern Co. | | 264,606 | 11,785,551 |
| | | | 19,100,562 |
| TOTAL COMMON STOCKS | | | |
| (Cost $3,040,678,274) | | | 3,372,336,866 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.1% | | | |
| U.S. Treasury Bills, yield at date of purchase 0.2% 2/4/16 (c) | | | |
| (Cost $1,999,262) | | 2,000,000 | 1,999,530 |
| | | Shares | Value |
|
| Money Market Funds - 1.5% | | | |
| Fidelity Cash Central Fund, 0.18% (d) | | 19,034,262 | $19,034,262 |
| Fidelity Securities Lending Cash Central Fund, 0.22% (d)(e) | | 31,000,000 | 31,000,000 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $50,034,262) | | | 50,034,262 |
| TOTAL INVESTMENT PORTFOLIO - 101.3% | | | |
| (Cost $3,092,711,798) | | | 3,424,370,658 |
| NET OTHER ASSETS (LIABILITIES) - (1.3)% | | | (43,122,905) |
| NET ASSETS - 100% | | | $3,381,247,753 |
| Futures Contracts | | | |
| | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) |
| Purchased | | | |
| Equity Index Contracts | | | |
| 1 CME E-mini S&P 500 Index Contracts (United States) | Dec. 2015 | 103,990 | $(1,175) |
| 17 CME S&P 500 Index Contracts (United States) | Dec. 2015 | 8,839,150 | (60,423) |
| TOTAL FUTURES CONTRACTS | | | $(61,598) |
The face value of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,355,681.
(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $17,021 |
| Fidelity Securities Lending Cash Central Fund | 26,998 |
| Total | $44,019 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used 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 | $418,012,426 | $418,012,426 | $-- | $-- |
| Consumer Staples | 360,277,542 | 360,277,542 | -- | -- |
| Energy | 250,208,057 | 250,208,057 | -- | -- |
| Financials | 501,761,530 | 501,761,530 | -- | -- |
| Health Care | 510,451,590 | 510,451,590 | -- | -- |
| Industrials | 310,525,145 | 310,525,145 | -- | -- |
| Information Technology | 840,325,284 | 840,325,284 | -- | -- |
| Materials | 47,524,901 | 47,524,901 | -- | -- |
| Telecommunication Services | 114,149,829 | 114,149,829 | -- | -- |
| Utilities | 19,100,562 | 19,100,562 | -- | -- |
| U.S. Government and Government Agency Obligations | 1,999,530 | -- | 1,999,530 | -- |
| Money Market Funds | 50,034,262 | 50,034,262 | -- | -- |
| Total Investments in Securities: | $3,424,370,658 | $3,422,371,128 | $1,999,530 | $-- |
| Derivative Instruments: | | | | |
| Liabilities | | | | |
| Futures Contracts | $(61,598) | $(61,598) | $-- | $-- |
| Total Liabilities | $(61,598) | $(61,598) | $-- | $-- |
| Total Derivative Instruments: | $(61,598) | $(61,598) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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 | $(61,598) |
| Total Equity Risk | 0 | (61,598) |
| Total Value of Derivatives | $0 | $(61,598) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | November 30, 2015 |
| Assets | | |
Investment in securities, at value (including securities loaned of $29,940,000) — See accompanying schedule:
Unaffiliated issuers (cost $3,042,677,536) | $3,374,336,396 | |
| Fidelity Central Funds (cost $50,034,262) | 50,034,262 | |
| Total Investments (cost $3,092,711,798) | | $3,424,370,658 |
| Cash | | 745 |
| Receivable for investments sold | | 9,945,322 |
| Receivable for fund shares sold | | 42,412 |
| Dividends receivable | | 8,551,303 |
| Distributions receivable from Fidelity Central Funds | | 11,167 |
| Total assets | | 3,442,921,607 |
| Liabilities | | |
| Payable for fund shares redeemed | 30,318,965 | |
| Accrued management fee | 142,094 | |
| Payable for daily variation margin for derivative instruments | 142,580 | |
| Other affiliated payables | 70,215 | |
| Collateral on securities loaned, at value | 31,000,000 | |
| Total liabilities | | 61,673,854 |
| Net Assets | | $3,381,247,753 |
| Net Assets consist of: | | |
| Paid in capital | | $3,444,412,411 |
| Undistributed net investment income | | 70,638,423 |
| Accumulated undistributed net realized gain (loss) on investments | | (465,400,343) |
| Net unrealized appreciation (depreciation) on investments | | 331,597,262 |
| Net Assets | | $3,381,247,753 |
| Series 100 Index: | | |
| Net Asset Value, offering price and redemption price per share ($1,670,998,039 ÷ 120,499,847 shares) | | $13.87 |
| Class F: | | |
| Net Asset Value, offering price and redemption price per share ($1,710,249,714 ÷ 123,287,803 shares) | | $13.87 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended November 30, 2015 |
| Investment Income | | |
| Dividends | | $78,760,720 |
| Interest | | 3,368 |
| Income from Fidelity Central Funds | | 44,019 |
| Total income | | 78,808,107 |
| Expenses | | |
| Management fee | $1,719,944 | |
| Transfer agent fees | 871,877 | |
| Independent trustees' compensation | 14,784 | |
| Interest | 951 | |
| Miscellaneous | 5,008 | |
| Total expenses before reductions | 2,612,564 | |
| Expense reductions | (13) | 2,612,551 |
| Net investment income (loss) | | 76,195,556 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 134,451,366 | |
| Futures contracts | 600,935 | |
| Total net realized gain (loss) | | 135,052,301 |
Change in net unrealized appreciation (depreciation) on:
Investment securities | (89,129,930) | |
| Futures contracts | (689,736) | |
| Total change in net unrealized appreciation (depreciation) | | (89,819,666) |
| Net gain (loss) | | 45,232,635 |
| Net increase (decrease) in net assets resulting from operations | | $121,428,191 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended November 30, 2015 | Year ended November 30, 2014 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $76,195,556 | $65,171,984 |
| Net realized gain (loss) | 135,052,301 | 68,853,752 |
| Change in net unrealized appreciation (depreciation) | (89,819,666) | 336,326,291 |
| Net increase (decrease) in net assets resulting from operations | 121,428,191 | 470,352,027 |
| Distributions to shareholders from net investment income | (70,740,615) | – |
| Share transactions - net increase (decrease) | (254,445,510) | 404,368,983 |
| Total increase (decrease) in net assets | (203,757,934) | 874,721,010 |
| Net Assets | | |
| Beginning of period | 3,585,005,687 | 2,710,284,677 |
| End of period (including undistributed net investment income of $70,638,423 and undistributed net investment income of $65,171,985, respectively) | $3,381,247,753 | $3,585,005,687 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Series 100 Index Fund Series 100 Index
| | | | | | |
| Years ended November 30, | 2015 | 2014 | 2013 | 2012 | 2011 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $13.67 | $11.77 | $10.19 | $8.85 | $8.33 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | .29 | .27 | .25 | .21 | .18 |
| Net realized and unrealized gain (loss) | .18 | 1.63 | 2.35 | 1.31 | .51 |
| Total from investment operations | .47 | 1.90 | 2.60 | 1.52 | .69 |
| Distributions from net investment income | (.27) | – | (1.02) | (.18) | (.17) |
| Net asset value, end of period | $13.87 | $13.67 | $11.77 | $10.19 | $8.85 |
| Total ReturnB | 3.48% | 16.14% | 27.56% | 17.49% | 8.34% |
| Ratios to Average Net AssetsC,D | | | | | |
| Expenses before reductions | .10% | .10% | .18% | .20% | .20% |
| Expenses net of fee waivers, if any | .10% | .10% | .17% | .20% | .20% |
| Expenses net of all reductions | .10% | .10% | .17% | .20% | .20% |
| Net investment income (loss) | 2.17% | 2.11% | 2.34% | 2.17% | 2.05% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $1,670,998 | $1,814,733 | $2,710,285 | $8,019,529 | $6,413,368 |
| Portfolio turnover rateE | 10% | 8% | 19% | 10% | 6% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Series 100 Index Fund Class F
| Years ended November 30, | 2015 | 2014 A |
| Selected Per–Share Data | | |
| Net asset value, beginning of period | $13.68 | $11.69 |
| Income from Investment Operations | | |
| Net investment income (loss)B | .30 | .27 |
| Net realized and unrealized gain (loss) | .16 | 1.72 |
| Total from investment operations | .46 | 1.99 |
| Distributions from net investment income | (.27) | – |
| Net asset value, end of period | $13.87 | $13.68 |
| Total ReturnC,D | 3.45% | 17.02% |
| Ratios to Average Net AssetsE,F | | |
| Expenses before reductions | .05% | .05%G |
| Expenses net of fee waivers, if any | .05% | .05%G |
| Expenses net of all reductions | .05% | .05%G |
| Net investment income (loss) | 2.22% | 2.16%G |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $1,710,250 | $1,770,273 |
| Portfolio turnover rateH | 10% | 8% |
A For the period December 4, 2013 (commencement of sale of shares) to November 30, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E 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 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.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2015
1. Organization.
Fidelity Series 100 Index Fund (the Fund) is a fund of Fidelity Commonwealth Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. 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 Massachusetts business trust. The Fund commenced sale of Class F shares and the existing class was designated Series 100 Index on December 4, 2013. The Fund offers Series 100 Index and Class F 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.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The 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 Money Market Central Funds seek preservation of capital and current income and 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the 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 FMR Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
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 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of November 30, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to contribution in-kind, futures contracts, market discount, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
| Gross unrealized appreciation | $728,649,840 |
| Gross unrealized depreciation | (415,142,655) |
| Net unrealized appreciation (depreciation) on securities | $313,507,185 |
| Tax Cost | $3,110,863,473 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $70,635,340 |
| Capital loss carryforward | $(447,307,183) |
| Net unrealized appreciation (depreciation) on securities and other investments | $313,507,185 |
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 fiscal period end and is subject to adjustment.
| Fiscal year of expiration | |
| 2017 | $(149,988,603) |
| 2018 | (297,318,580) |
| Total capital loss carryforward | $(447,307,183) |
The tax character of distributions paid was as follows:
| | November 30, 2015 | November 30, 2014 |
| Ordinary Income | $70,740,615 | $ - |
4. 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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $600,935 and a change in net unrealized appreciation (depreciation) of $(689,736) related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $336,089,291 and $558,787,778, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .05% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and interest expense, including commitment fees. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.
In addition, under the expense contract, the investment adviser pays class-level expenses for Series 100 Index so that the total expenses do not exceed .10%, expressed as a percentage of class average net assets, with certain exceptions such as interest expense, including commitment fees.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives transfer agent fees at an annual rate of .075% of average net assets for Series 100 Index. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Under the expense contract, Series 100 Index pays a portion of the transfer agent fees at an annual rate of .05% of average net assets.
For the period, transfer agent fees for each applicable class were as follows:
| | Amount |
| Series 100 Index | $871,877 |
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:
| Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Borrower | $24,241,500 | .35% | $951 |
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 $5,008 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 $26,998.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $13.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Years ended November 30, | 2015 | 2014 |
| From net investment income | | |
| Series 100 Index | $35,250,235 | $– |
| Class F | 35,490,380 | – |
| Total | $70,740,615 | $– |
11. Share Transactions.
Transactions for each class of shares were as follows:
| | Shares | Shares | Dollars | Dollars |
| Years ended November 30, | 2015 | 2014(a) | 2015 | 2014(a) |
| Series 100 Index | | | | |
| Shares sold | 11,702,848 | 36,645,496 | $156,655,563 | $454,477,901 |
| Reinvestment of distributions | 2,630,615 | – | 35,250,235 | – |
| Shares redeemed | (26,569,388) | (134,267,685) | (359,046,239) | (1,585,941,743) |
| Net increase (decrease) | (12,235,925) | (97,622,189) | $(167,140,441) | $(1,131,463,842) |
| Class F | | | | |
| Shares sold | 16,342,253 | 146,734,305 | $218,162,260 | $1,751,474,454 |
| Reinvestment of distributions | 2,648,536 | – | 35,490,380 | – |
| Shares redeemed | (25,150,141) | (17,287,150) | (340,957,709) | (215,641,629) |
| Net increase (decrease) | (6,159,352) | 129,447,155 | $(87,305,069) | $1,535,832,825 |
(a) Share transactions for Class F are for the period December 4, 2013 (commencement of sale of shares) to November 30, 2014.
12. 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, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Commonwealth Trust and Shareholders of Fidelity® Series 100 Index Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity® Series 100 Index Fund (the Fund), a fund of Fidelity Commonwealth Trust, including the schedule of investments, as of November 30, 2015, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of November 30, 2015, by correspondence with the custodians and brokers. We believe our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity® Series 100 Index Fund as of November 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
January 19, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 170 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544, or for Class F, call 1-800-835-5092.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. James C. Curvey is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and sector funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity® funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
James C. Curvey (1935)
Year of Election or Appointment: 2007
Trustee
Chairman of the Board of Trustees
Mr. Curvey also serves as Trustee of other Fidelity® funds. Mr. Curvey is a Director of Fidelity Research & Analysis Co. (investment adviser firm, 2009-present), and Vice Chairman (2007-present) and Director of FMR LLC (diversified financial services company). In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the board of Artis-Naples, Naples, Florida, and as a Trustee for Brewster Academy, Wolfeboro, New Hampshire. Previously, Mr. Curvey served as a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2009-2014) and a Director of FMR and FMR Co., Inc. (investment adviser firms, 2007-2014).
Charles S. Morrison (1960)
Year of Election or Appointment: 2014
Trustee
Mr. Morrison also serves as Trustee of other funds. He serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present), President, Asset Management (2014-present), and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (investment adviser firm, 2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Dennis J. Dirks (1948)
Year of Election or Appointment: 2005
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008), and as a member of the Independent Directors Council (IDC) Governing Council (2010-2015). Mr. Dirks is a member of the Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).
Alan J. Lacy (1953)
Year of Election or Appointment: 2008
Trustee
Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present) and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2000
Trustee
Chairman of the Independent Trustees
Mr. Lautenbach also serves as Trustee of other Fidelity® funds. Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of Artis-Naples in Naples, Florida (2012-present), a member of the Council on Foreign Relations (1994-present), and a member of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).
Joseph Mauriello (1944)
Year of Election or Appointment: 2008
Trustee
Mr. Mauriello also serves as Trustee of other Fidelity® funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and the Independent Directors Council (IDC) Governing Council (2015-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).
Robert W. Selander (1950)
Year of Election or Appointment: 2011
Trustee
Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present). Previously, Mr. Selander served as a Member of the Advisory Board of other Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.
Cornelia M. Small (1944)
Year of Election or Appointment: 2005
Trustee
Ms. Small also serves as Trustee of other Fidelity® funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
William S. Stavropoulos (1939)
Year of Election or Appointment: 2002
Trustee
Vice Chairman of the Independent Trustees
Mr. Stavropoulos also serves as Trustee of other Fidelity® funds. Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of the Board of Directors of Univar Inc. (global distributor of commodity and specialty chemicals), a Director of Teradata Corporation (data warehousing and technology solutions), and Maersk Inc. (industrial conglomerate), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).
David M. Thomas (1949)
Year of Election or Appointment: 2008
Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), as a member of the Board of Directors (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication), and as a member of the Board of Trustees of the University of Florida (2013-present). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2003
Member of the Advisory Board
Mr. Lynch also serves as Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of FMR (investment adviser firm) and FMR Co., Inc. (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2012
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012).
Marc R. Bryant (1966)
Year of Election or Appointment: 2015
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2015-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
William C. Coffey (1969)
Year of Election or Appointment: 2009
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2008
Deputy Treasurer
Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2010
Assistant Treasurer
Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2015
Vice President
Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
Brian B. Hogan (1964)
Year of Election or Appointment: 2009
Vice President
Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Kenneth B. Robins (1969)
Year of Election or Appointment: 2008
President and Treasurer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009).
Renee Stagnone (1975)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present).
Linda J. Wondrack (1964)
Year of Election or Appointment: 2014
Chief Compliance Officer
Ms. Wondrack also serves as Chief Compliance Officer of other funds. Ms. Wondrack is Executive Vice President and head of the Ethics Office and Asset Management Compliance for Fidelity Investments (2012-present). Ms. Wondrack also serves as Chief Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-present); Chief Compliance Officer of Impresa Management LLC (2013-present); and Chief Compliance Officer of FMR Co., Inc. (investment adviser firm), Fidelity Investments Money Management, Inc. (investment adviser firm), Fidelity Management & Research (Japan) Limited (investment adviser firm), FMR Investment Management (U.K.) Limited (investment adviser firm), Fidelity Management & Research (Hong Kong) (investment adviser firm), Fidelity Management & Research Company (investment adviser firm), FIAM LLC (investment adviser firm), and Strategic Advisers, Inc. (investment adviser firm), Ballyrock Investment Advisors LLC, and Northern Neck Investors LLC (2012-present). Previously, Ms. Wondrack served as Senior Vice President and Chief Compliance Officer for Columbia Management Investment Advisers, LLC (2005-2012); Chief Compliance Officer for certain funds within the Columbia Family of Funds (2007-2012); and Senior Vice President of Compliance Risk Management at Bank of America (2005-2010).
Joseph F. Zambello (1957)
Year of Election or Appointment: 2011
Deputy Treasurer
Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).
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, 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 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, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Annualized Expense Ratio-A | Beginning
Account Value
June 1, 2015 | Ending
Account Value
November 30, 2015 | Expenses Paid
During Period-B
June 1, 2015
to November 30, 2015 |
| Series 100 Index | .10% | | | |
| Actual | | $1,000.00 | $1,012.40 | $.50 |
| Hypothetical-C | | $1,000.00 | $1,024.57 | $.51 |
| Class F | .05% | | | |
| Actual | | $1,000.00 | $1,012.40 | $.25 |
| Hypothetical-C | | $1,000.00 | $1,024.82 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
Fidelity Series 100 Index Fund designates 100% and Class F designates 98% of the dividends distributed during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
Fidelity Series 100 Index Fund designates and Class F designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series 100 Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.
At its July 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the portfolio managers' investments, if any, in the funds that they manage.
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staff, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, and compliance capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
In 2014, the Board formed an ad hoc Committee on Transfer Agency Fees to review the variety of transfer agency fee structures throughout the industry and Fidelity's competitive positioning with respect to industry participants.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and information security and to increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.
The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of both the highest performing and lowest performing fund share classes, where applicable, compared to a fund's benchmark index, over appropriate time periods taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; securities lending revenues; and fund cash flows and other factors.
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index for the most recent one-, three-, and five-year periods, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
Fidelity Series 100 Index Fund
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (
e.g., flat rate charged for advisory services, all-inclusive fee rate,
etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted that, although FMR does not pay transfer agent fees or other "class-level" expenses under the fund's management contract, such expenses are paid by FMR pursuant to expense limitation arrangements in effect for the fund and, as a result, are also subtracted from the management fee for purposes of calculating the hypothetical "net management fee." The Board considered that "fund-level" non-management expenses and class-level expenses paid by FMR may exceed the fund's management fee and result in a negative net management fee.
Fidelity Series 100 Index Fund
The Board noted that the fund's hypothetical net management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.
Furthermore, the Board considered that it had approved an amended and restated management contract for the fund (effective October 1, 2013) that lowered the fund's management fee from 0.20% to 0.05%. The Board considered that the chart reflects the fund's lower management fee for 2013, as if the lower fee were in effect for the entire year.
The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's hypothetical net management fee as well as the fund's gross management fee. The Board also considered other "fund-level" expenses, such as pricing and bookkeeping fees and custodial, legal, and audit fees. The Board also considered other "class-level" expenses, such as transfer agent fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.
The Board considered that current contractual arrangements for the fund oblige FMR to pay all "class-level" expenses of the retail class of the fund to the extent necessary to limit total expenses, with certain exceptions, to 0.10%. This contractual arrangement may not be increased without the approval of the Board and the shareholders of the applicable class.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins, with particular focus on certain funds with negative margins; (vi) the realization of fall-out benefits in certain Fidelity business units;
(vii) economies of scale and the way in which they are shared with fund shareholders;(viii) Fidelity's group fee structures, including the group fee schedule of breakpoints;(ix) the impact of cost containment measures on the funds; and (x) the transfer agent fee structure.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
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Fidelity® Nasdaq Composite Index® Tracking Stock
Annual Report November 30, 2015 |
|
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Nasdaq®, OMX®, NASDAQ OMX®, Nasdaq Composite®, and The Nasdaq Stock Market®, Inc. are registered trademarks of The NASDAQ OMXGroup, Inc. (which with its Affiliates are the Corporations) and are licensed for use by Fidelity. The product has not been passed on by the Corporations as to its legality or suitability. The product is not issued, endorsed or sold by the Corporations. The Corporations make no warranties and bear no liability with respect to shares of the product.
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. © 2016 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.advisor.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.
Performance: The Bottom Line
The fund's net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing mutual fund shares as of the close of regular trading hours on The Nasdaq Stock Market, normally 4:00 p.m. Eastern time (or NYSE if NASDAQ is closed). The fund's market price performance is based on the daily closing price of the shares of the fund on The Nasdaq Stock Market.
Cumulative total returns reflect performance over the period shown generally by adding one year's return — positive or negative — to the next year's return. NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any), at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares.
How a fund did yesterday is no guarantee of how it will do tomorrow.
Cumulative Total Returns
| Periods ended November 30, 2015 | Past 1 year | Past 5 year | Past 10 year |
| Fidelity® Nasdaq Composite Index® Tracking Stock - NAV | 7.79% | 115.20% | 149.06% |
| Fidelity® Nasdaq Composite Index® Tracking Stock - Market Price | 7.60% | 115.26% | 149.25% |
| Nasdaq Composite Index® | 7.86% | 117.01% | 153.08% |
Average Annual Total Returns
| For the periods ended November 30, 2015 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Nasdaq Composite Index® Tracking Stock - NAV | 7.79% | 16.57% | 9.55% |
| Fidelity® Nasdaq Composite Index® Tracking Stock - Market Price | 7.60% | 16.57% | 9.56% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Nasdaq Composite Index® Tracking Stock - NAV on November 30, 2005.
The chart shows how the value of your investment would have changed, and also shows how the Nasdaq Composite Index® performed over the same period.
| Period Ending Values |
| $24,906 | Fidelity® Nasdaq Composite Index® Tracking Stock - NAV |
| $25,308 | Nasdaq Composite Index® |
Management's Discussion of Fund Performance
Market Recap: U.S. stocks gained modestly for the 12 months ending November 30, 2015, despite a steep decline in August and September on concern about slowing economic growth in China. The S&P 500
® index rebounded in October and gained 2.75% for the year. Stocks benefited late in the period amid waning expectations for a near-term interest-rate hike by the U.S. Federal Reserve, more economic stimulus in Europe and an interest-rate cut in China. Growth stocks in the benchmark far outpaced their value counterparts, as investors continued to seek growth in a subpar economic environment. Sector performance varied widely, with more than 26 percentage points separating the leader from the laggard. Consumer discretionary (+14%) secured the top spot, benefiting from a combination of rising personal income and still-benign inflation. Information technology (+7%) and health care (+4%) also outpaced the broad market. Conversely, the energy sector (-12%) performed worst, stymied by depressed commodity prices that also hit materials (-5%). Telecommunication services (-5%) and utilities (-4%), considered defensive sectors less sensitive to the economy, also lost ground. At period end, investors remained focused on the potential global implications of a stronger U.S. dollar and how China’s transition toward a consumption-led economy may affect corporate earnings.
Comments from Patrick Waddell, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the exchange-traded fund’s (ETF) net asset value performed roughly in line with the 7.86% gain of the benchmark Nasdaq Composite Index
®. The ETF’s market price rose 7.60% over the same time frame. Technology stocks, which made up about 46% of the index weighting, contributed strongly in absolute terms for the period. Among the many stocks in this category to add value were software company Microsoft; social-networking leader Facebook; and Internet search company Google, which in October became part of a new holding company called Alphabet. The biggest individual contributor by far was online retailer Amazon.com. Its shares nearly doubled, driven by better-than-expected financial results. Video-on-demand provider Netflix also fared well. Conversely, the biggest individual detractor in absolute terms was QUALCOMM, whose shares plummeted in November after the company reported disappointing fiscal fourth-quarter earnings. Other struggling technology stocks in the index included semiconductor maker Micron Technology, Internet media company Yahoo and computer data storage manufacturer Western Digital. Other notable detractors were single-serve coffee company Keurig Green Mountain and casino gaming operator Wynn Resorts.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Premium/Discount Analysis (Unaudited)
Shares of Fidelity® Nasdaq Composite Index® Tracking Stock (the fund) are listed on The Nasdaq Stock Market® and can be bought and sold on the secondary market at market prices. Although the market price is expected to approximate the fund's NAV, it is possible that the market price and NAV will vary significantly. The closing market price is the daily closing price as reported on The Nasdaq Stock Market. Premiums or discounts are the differences (expressed as a basis point differential with 1 basis point equaling 1/100 of 1%) between the fund's NAV and closing market price. A premium indicates that the closing market price is trading above the NAV. A discount indicates that the closing market price is trading below the NAV. A discrepancy may exist with respect to the timing of when the NAV is calculated and the determination of the closing market price. The chart below presents information about the differences between the fund's daily closing market price and the fund's NAV.
Periods Ended November 30, 2015
| From December 1, 2010 to November 30, 2015 | Closing Price Below NAV | Closing Price Above or Equal to NAV |
| Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
| 0 - <25 | 431 | 34.24% | 601 | 47.74% |
| 25 - <50 | 73 | 5.80% | 79 | 6.27% |
| 50 - <75 | 28 | 2.22% | 12 | 0.95% |
| 75 - <100 | 14 | 1.11% | 5 | 0.40% |
| 100 or above | 10 | 0.79% | 6 | 0.48% |
| Total | 556 | 44.16% | 703 | 55.84% |
Investment Summary (Unaudited)
Top Ten Stocks as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Apple, Inc. | 8.7 | 9.8 |
| Microsoft Corp. | 5.6 | 5.0 |
| Amazon.com, Inc. | 4.0 | 2.6 |
| Alphabet, Inc. Class C | 3.3 | 2.3 |
| Facebook, Inc. Class A | 3.0 | 2.3 |
| Alphabet, Inc. Class A | 2.9 | 2.1 |
| Intel Corp. | 2.1 | 2.1 |
| Gilead Sciences, Inc. | 2.0 | 2.2 |
| Cisco Systems, Inc. | 1.8 | 1.9 |
| Comcast Corp. Class A | 1.7 | 1.6 |
| | 35.1 | |
Market Sectors as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Information Technology | 46.9 | 46.4 |
| Consumer Discretionary | 18.1 | 17.8 |
| Health Care | 16.3 | 17.2 |
| Financials | 6.9 | 6.4 |
| Consumer Staples | 5.6 | 5.0 |
| Industrials | 4.0 | 4.3 |
| Telecommunication Services | 1.1 | 0.8 |
| Energy | 0.5 | 0.8 |
| Materials | 0.4 | 0.7 |
| Utilities | 0.1 | 0.2 |
Asset Allocation (% of fund's net assets)
To match the Nasdaq Composite Index, Fidelity® Nasdaq Composite Index® Tracking Stock seeks I00% investment exposure to stocks at all times.
Investments November 30, 2015
Showing Percentage of Net Assets
| Common Stocks - 99.9% | | | |
| | | Shares | Value |
| CONSUMER DISCRETIONARY - 18.1% | | | |
| Auto Components - 0.3% | | | |
| China Automotive Systems, Inc. (a) | | 4,542 | $26,889 |
| China XD Plastics Co. Ltd. (a) | | 5,843 | 24,716 |
| Dorman Products, Inc. (a)(b) | | 3,049 | 145,498 |
| Federal-Mogul Corp. Class A (a) | | 14,974 | 122,487 |
| Fox Factory Holding Corp. (a) | | 3,017 | 53,612 |
| Fuel Systems Solutions, Inc. (a) | | 1,724 | 9,482 |
| Gentex Corp. | | 24,356 | 407,598 |
| Gentherm, Inc. (a) | | 3,018 | 153,435 |
| Motorcar Parts of America, Inc. (a) | | 1,471 | 58,928 |
| Quantum Fuel Systems Technologies Worldwide, Inc. (a) | | 2,023 | 1,821 |
| Shiloh Industries, Inc. (a) | | 1,749 | 12,016 |
| SORL Auto Parts, Inc. (a) | | 1,552 | 3,647 |
| Spartan Motors, Inc. | | 3,543 | 12,861 |
| Strattec Security Corp. | | 313 | 19,519 |
| Sypris Solutions, Inc. | | 2,151 | 3,334 |
| The Goodyear Tire & Rubber Co. | | 22,807 | 795,508 |
| | | | 1,851,351 |
| Automobiles - 0.4% | | | |
| Kandi Technolgies, Inc. (a)(b) | | 3,577 | 36,199 |
| Tesla Motors, Inc. (a)(b) | | 11,081 | 2,551,511 |
| | | | 2,587,710 |
| Distributors - 0.2% | | | |
| Core-Mark Holding Co., Inc. | | 2,056 | 175,356 |
| Fenix Parts, Inc. | | 2,343 | 14,878 |
| LKQ Corp. (a) | | 24,543 | 723,773 |
| Pool Corp. | | 3,609 | 296,082 |
| VOXX International Corp. (a) | | 2,051 | 11,773 |
| Weyco Group, Inc. | | 1,320 | 36,181 |
| | | | 1,258,043 |
| Diversified Consumer Services - 0.1% | | | |
| 2U, Inc. (a) | | 3,715 | 89,606 |
| American Public Education, Inc. (a) | | 1,722 | 40,071 |
| Ascent Capital Group, Inc. (a)(b) | | 1,094 | 21,869 |
| Cambium Learning Group, Inc. (a) | | 5,148 | 26,718 |
| Capella Education Co. | | 1,190 | 57,120 |
| Career Education Corp. (a) | | 7,301 | 30,810 |
| Collectors Universe, Inc. | | 1,106 | 17,652 |
| Grand Canyon Education, Inc. (a) | | 5,168 | 204,756 |
| Houghton Mifflin Harcourt Co. (a) | | 11,790 | 232,970 |
| Liberty Tax, Inc. | | 1,463 | 32,391 |
| Lincoln Educational Services Corp. | | 2,320 | 4,942 |
| National American University Holdings, Inc. | | 1,626 | 4,049 |
| Steiner Leisure Ltd. (a) | | 1,032 | 64,892 |
| Strayer Education, Inc. (a) | | 999 | 59,131 |
| Tarena International, Inc. ADR (a) | | 1,908 | 19,786 |
| | | | 906,763 |
| Hotels, Restaurants & Leisure - 2.6% | | | |
| Amaya, Inc. (a) | | 11,362 | 179,519 |
| BJ's Restaurants, Inc. (a) | | 2,091 | 95,768 |
| Bloomin' Brands, Inc. | | 10,434 | 180,613 |
| Bob Evans Farms, Inc. | | 1,898 | 75,635 |
| Bojangles', Inc. (a)(b) | | 2,844 | 50,282 |
| Bravo Brio Restaurant Group, Inc. (a) | | 1,094 | 11,673 |
| Buffalo Wild Wings, Inc. (a) | | 1,593 | 255,262 |
| Caesars Acquisition Co. (a) | | 12,464 | 98,466 |
| Caesars Entertainment Corp. (a)(b) | | 12,955 | 109,729 |
| Carrols Restaurant Group, Inc. (a) | | 2,647 | 31,870 |
| Century Casinos, Inc. (a) | | 2,311 | 15,484 |
| China Lodging Group Ltd. ADR (a) | | 2,580 | 73,582 |
| Churchill Downs, Inc. | | 1,529 | 224,687 |
| Chuy's Holdings, Inc. (a)(b) | | 1,362 | 45,287 |
| Cosi, Inc. (a) | | 2,357 | 1,138 |
| Cracker Barrel Old Country Store, Inc. (b) | | 1,953 | 245,922 |
| Dave & Buster's Entertainment, Inc. (a) | | 3,452 | 132,350 |
| Del Frisco's Restaurant Group, Inc. (a) | | 1,761 | 26,397 |
| Del Taco Restaurants, Inc. (a) | | 3,019 | 33,330 |
| Denny's Corp. (a) | | 7,466 | 71,972 |
| Diversified Restaurant Holdings, Inc. (a) | | 3,973 | 10,568 |
| Dunkin' Brands Group, Inc. | | 8,005 | 339,572 |
| El Pollo Loco Holdings, Inc. (a)(b) | | 2,980 | 36,594 |
| Eldorado Resorts, Inc. (a) | | 4,390 | 42,539 |
| Empire Resorts, Inc. (a)(b) | | 4,423 | 19,417 |
| Fiesta Restaurant Group, Inc. (a) | | 2,350 | 90,311 |
| Fogo de Chao, Inc. (b) | | 2,779 | 45,520 |
| Golden Entertainment, Inc. (a) | | 1,398 | 14,679 |
| Habit Restaurants, Inc. Class A (b) | | 1,328 | 31,992 |
| Homeinns Hotel Group ADR (a) | | 2,906 | 89,650 |
| Iao Kun Group Holding Co. Ltd. | | 4,950 | 7,178 |
| Icahn Enterprises LP | | 10,819 | 797,252 |
| Ignite Restaurant Group, Inc. (a)(b) | | 5,125 | 19,731 |
| International Speedway Corp. Class A | | 2,357 | 83,886 |
| Interval Leisure Group, Inc. | | 4,979 | 77,772 |
| Isle of Capri Casinos, Inc. (a) | | 3,506 | 64,651 |
| Jack in the Box, Inc. | | 3,202 | 237,396 |
| Jamba, Inc. (a)(b) | | 1,156 | 16,149 |
| Kona Grill, Inc. (a) | | 896 | 12,463 |
| Lindblad Expeditions Holdings (a) | | 3,635 | 40,094 |
| Marriott International, Inc. Class A | | 22,500 | 1,595,475 |
| Melco Crown Entertainment Ltd. sponsored ADR (b) | | 15,042 | 244,433 |
| Monarch Casino & Resort, Inc. (a) | | 1,782 | 39,952 |
| Morgans Hotel Group Co. (a) | | 3,136 | 9,847 |
| Nathan's Famous, Inc. (a) | | 489 | 21,394 |
| Noodles & Co. (a)(b) | | 2,580 | 28,638 |
| Norwegian Cruise Line Holdings Ltd. (a) | | 19,517 | 1,121,056 |
| Panera Bread Co. Class A (a) | | 2,077 | 377,599 |
| Papa John's International, Inc. | | 3,378 | 194,167 |
| Papa Murphy's Holdings, Inc. (a)(b) | | 1,820 | 22,204 |
| Peak Resorts, Inc. (b) | | 1,934 | 14,118 |
| Penn National Gaming, Inc. (a) | | 7,101 | 113,261 |
| Pinnacle Entertainment, Inc. (a) | | 4,820 | 158,048 |
| Popeyes Louisiana Kitchen, Inc. (a) | | 1,914 | 110,744 |
| Potbelly Corp. (a) | | 2,320 | 28,930 |
| Premier Exhibitions, Inc. (a) | | 336 | 353 |
| RCI Hospitality Holdings, Inc. (a) | | 1,194 | 11,928 |
| Red Robin Gourmet Burgers, Inc. (a) | | 1,226 | 82,730 |
| Ruth's Hospitality Group, Inc. | | 3,180 | 54,855 |
| Scientific Games Corp. Class A (a)(b) | | 7,628 | 70,330 |
| Sonic Corp. | | 4,396 | 127,748 |
| Starbucks Corp. | | 126,293 | 7,753,127 |
| Texas Roadhouse, Inc. Class A | | 5,819 | 203,665 |
| The Cheesecake Factory, Inc. | | 3,940 | 185,692 |
| The ONE Group Hospitality, Inc. (a) | | 2,301 | 7,248 |
| Town Sports International Holdings, Inc. (a) | | 2,542 | 4,321 |
| Tuniu Corp. Class A sponsored ADR (a) | | 2,320 | 36,053 |
| Wendy's Co. | | 24,667 | 259,250 |
| Wingstop, Inc. (b) | | 2,310 | 49,781 |
| Wynn Resorts Ltd. (b) | | 8,724 | 547,605 |
| | | | 17,510,932 |
| Household Durables - 0.3% | | | |
| Bassett Furniture Industries, Inc. | | 980 | 30,733 |
| Cavco Industries, Inc. (a) | | 772 | 71,564 |
| Dixie Group, Inc. (a) | | 1,123 | 6,334 |
| Flexsteel Industries, Inc. | | 702 | 33,682 |
| Garmin Ltd. (b) | | 16,412 | 621,194 |
| GoPro, Inc. Class A (a)(b) | | 8,941 | 182,396 |
| Green Brick Partners, Inc. (a) | | 4,523 | 34,149 |
| Helen of Troy Ltd. (a) | | 2,383 | 246,426 |
| Hooker Furniture Corp. | | 1,076 | 29,482 |
| iRobot Corp. (a) | | 3,254 | 107,675 |
| LGI Homes, Inc. (a)(b) | | 1,789 | 59,502 |
| Lifetime Brands, Inc. | | 1,188 | 16,525 |
| Nova LifeStyle, Inc. (a)(b) | | 2,028 | 4,056 |
| Skullcandy, Inc. (a) | | 1,852 | 7,538 |
| SodaStream International Ltd. (a)(b) | | 1,784 | 25,886 |
| Universal Electronics, Inc. (a) | | 1,463 | 77,524 |
| Zagg, Inc. (a) | | 3,141 | 32,415 |
| | | | 1,587,081 |
| Internet & Catalog Retail - 6.8% | | | |
| 1-800-FLOWERS.com, Inc. Class A (a) | | 3,711 | 28,686 |
| Amazon.com, Inc. (a) | | 39,887 | 26,516,878 |
| Blue Nile, Inc. (a)(b) | | 898 | 32,741 |
| CafePress, Inc. (a) | | 5,351 | 22,742 |
| Cnova NV (a)(b) | | 39,216 | 108,628 |
| Ctrip.com International Ltd. sponsored ADR (a)(b) | | 12,920 | 1,382,569 |
| eLong, Inc. sponsored ADR (a) | | 905 | 15,385 |
| Etsy, Inc. (b) | | 9,789 | 91,136 |
| EVINE Live, Inc. (a) | | 7,416 | 13,794 |
| Expedia, Inc. | | 9,912 | 1,220,266 |
| FTD Companies, Inc. (a)(b) | | 2,433 | 64,523 |
| Gaiam, Inc. Class A (a) | | 3,315 | 22,376 |
| Groupon, Inc. Class A (a)(b) | | 33,147 | 95,795 |
| HSN, Inc. | | 4,547 | 226,895 |
| JD.com, Inc. sponsored ADR (a)(b) | | 69,354 | 2,127,781 |
| Lands' End, Inc. (a)(b) | | 2,773 | 66,663 |
| Liberty Interactive Corp.: | | | |
| (Venture Group) Series A (a) | | 12,676 | 545,195 |
| QVC Group Series A (a) | | 39,784 | 1,053,480 |
| Liberty TripAdvisor Holdings, Inc. (a) | | 6,300 | 188,622 |
| MakeMyTrip Ltd. (a)(b) | | 4,003 | 72,214 |
| Netflix, Inc. (a) | | 36,371 | 4,485,635 |
| NutriSystem, Inc. | | 2,569 | 58,933 |
| Overstock.com, Inc. (a) | | 2,123 | 27,939 |
| PetMed Express, Inc. (b) | | 1,817 | 30,526 |
| Priceline Group, Inc. (a) | | 4,324 | 5,400,027 |
| Qunar Cayman Islands Ltd. sponsored ADR (a)(b) | | 5,444 | 245,143 |
| Shutterfly, Inc. (a) | | 2,764 | 126,868 |
| TripAdvisor, Inc. (a) | | 11,154 | 918,755 |
| U.S. Auto Parts Network, Inc. (a) | | 2,674 | 6,632 |
| | | | 45,196,827 |
| Leisure Products - 0.3% | | | |
| Arctic Cat, Inc. | | 1,323 | 29,450 |
| Black Diamond, Inc. (a) | | 4,196 | 20,435 |
| Escalade, Inc. | | 1,821 | 21,852 |
| Hasbro, Inc. | | 10,581 | 773,365 |
| JAKKS Pacific, Inc. (a)(b) | | 1,961 | 16,139 |
| Johnson Outdoors, Inc. Class A | | 816 | 19,584 |
| Malibu Boats, Inc. Class A (a) | | 1,122 | 17,413 |
| Mattel, Inc. | | 28,560 | 710,002 |
| MCBC Holdings, Inc. (a) | | 1,867 | 26,791 |
| Smith & Wesson Holding Corp. (a) | | 4,799 | 88,014 |
| Summer Infant, Inc. (a) | | 2,056 | 4,050 |
| | | | 1,727,095 |
| Media - 5.1% | | | |
| AirMedia Group, Inc. ADR (a)(b) | | 4,590 | 25,016 |
| AMC Networks, Inc. Class A (a) | | 5,134 | 417,446 |
| Carmike Cinemas, Inc. (a) | | 2,179 | 47,611 |
| Central European Media Enterprises Ltd. Class A (a)(b) | | 13,242 | 29,265 |
| Charter Communications, Inc. Class A (a)(b) | | 9,520 | 1,783,667 |
| Cinedigm Corp. (a)(b) | | 7,797 | 2,977 |
| Comcast Corp.: | | | |
| Class A | | 179,797 | 10,942,445 |
| Class A (special) (non-vtg.) | | 31,460 | 1,920,318 |
| Crown Media Holdings, Inc. Class A (a) | | 31,509 | 178,656 |
| CTC Media, Inc. | | 13,233 | 23,952 |
| Cumulus Media, Inc. Class A (a) | | 20,528 | 8,148 |
| Daily Journal Corp. (a) | | 139 | 27,990 |
| Dex Media, Inc. (a)(b) | | 1,161 | 139 |
| Discovery Communications, Inc.: | | | |
| Class A (a)(b) | | 12,874 | 400,896 |
| Class B (a) | | 438 | 13,617 |
| Class C (non-vtg.) (a) | | 23,130 | 684,185 |
| DISH Network Corp. Class A (a) | | 19,050 | 1,194,626 |
| DreamWorks Animation SKG, Inc. Class A (a) | | 6,479 | 159,643 |
| Emmis Communications Corp. Class A (a) | | 5,745 | 3,562 |
| Global Eagle Entertainment, Inc. (a) | | 6,778 | 73,406 |
| Hemisphere Media Group, Inc. (a)(b) | | 1,395 | 19,851 |
| Liberty Broadband Corp.: | | | |
| Class A (a) | | 2,220 | 117,682 |
| Class C (a) | | 6,355 | 335,608 |
| Liberty Global PLC: | | | |
| Class A (a) | | 21,601 | 916,098 |
| Class B (a) | | 793 | 35,653 |
| Class C (a) | | 52,175 | 2,139,175 |
| LiLAC Class A (a) | | 1,015 | 38,113 |
| LiLAC Class C (a) | | 2,657 | 104,208 |
| Liberty Media Corp.: | | | |
| Class A (a) | | 9,538 | 386,384 |
| Class C (a) | | 19,211 | 751,150 |
| Loral Space & Communications Ltd. (a) | | 2,759 | 122,058 |
| MDC Partners, Inc. Class A (sub. vtg.) | | 4,160 | 89,648 |
| National CineMedia, Inc. | | 5,363 | 85,111 |
| News Corp.: | | | |
| Class A | | 32,985 | 473,335 |
| Class B | | 16,527 | 238,980 |
| Nexstar Broadcasting Group, Inc. Class A | | 2,612 | 153,037 |
| Radio One, Inc. Class D (non-vtg.) (a) | | 4,901 | 8,528 |
| ReachLocal, Inc. (a)(b) | | 2,256 | 2,301 |
| Reading International, Inc. Class A (a) | | 2,123 | 30,635 |
| Rentrak Corp. (a)(b) | | 1,377 | 66,633 |
| RRSat Global Communications Network Ltd. | | 1,986 | 18,430 |
| Salem Communications Corp. Class A | | 3,166 | 17,920 |
| Scholastic Corp. | | 2,906 | 124,144 |
| SFX Entertainment, Inc. (a)(b) | | 6,636 | 1,859 |
| Sinclair Broadcast Group, Inc. Class A | | 5,809 | 203,896 |
| Sirius XM Holdings, Inc. (a) | | 451,201 | 1,854,436 |
| Sizmek, Inc. (a) | | 5,535 | 25,627 |
| Starz Series A (a)(b) | | 8,719 | 307,606 |
| Twenty-First Century Fox, Inc.: | | | |
| Class A | | 103,834 | 3,064,141 |
| Class B | | 67,984 | 2,036,121 |
| Viacom, Inc.: | | | |
| Class A | | 4,400 | 227,920 |
| Class B (non-vtg.) | | 29,545 | 1,471,046 |
| Videocon d2h Ltd. sponsored ADR (a) | | 4,722 | 40,940 |
| VisionChina Media, Inc. ADR (a) | | 336 | 3,380 |
| WPP PLC ADR | | 1,409 | 162,711 |
| | | | 33,611,930 |
| Multiline Retail - 0.3% | | | |
| Dollar Tree, Inc. (a) | | 19,980 | 1,507,691 |
| Fred's, Inc. Class A | | 3,412 | 56,230 |
| Ollie's Bargain Outlet Holdings, Inc. (a) | | 5,217 | 92,132 |
| Sears Canada, Inc. (a)(b) | | 10,219 | 85,704 |
| Sears Holdings Corp. (a)(b) | | 9,223 | 204,105 |
| The Bon-Ton Stores, Inc. (b) | | 1,123 | 3,010 |
| Tuesday Morning Corp. (a)(b) | | 3,603 | 24,068 |
| | | | 1,972,940 |
| Specialty Retail - 1.5% | | | |
| America's Car Mart, Inc. (a) | | 839 | 22,217 |
| Ascena Retail Group, Inc. (a) | | 16,622 | 188,327 |
| bebe stores, Inc. | | 7,699 | 3,543 |
| Bed Bath & Beyond, Inc. (a) | | 14,237 | 776,201 |
| Big 5 Sporting Goods Corp. | | 2,283 | 22,054 |
| Books-A-Million, Inc. (a) | | 1,689 | 5,472 |
| Citi Trends, Inc. | | 1,353 | 26,830 |
| Conn's, Inc. (a)(b) | | 3,251 | 86,704 |
| DavidsTea, Inc. | | 2,394 | 28,153 |
| Destination Maternity Corp. | | 1,034 | 5,739 |
| Destination XL Group, Inc. (a) | | 4,959 | 24,795 |
| Finish Line, Inc. Class A | | 4,126 | 68,450 |
| Five Below, Inc. (a) | | 4,629 | 129,658 |
| Francesca's Holdings Corp. (a) | | 3,768 | 56,256 |
| Hibbett Sports, Inc. (a) | | 2,187 | 71,755 |
| Kirkland's, Inc. | | 1,586 | 23,330 |
| Mattress Firm Holding Corp. (a)(b) | | 2,954 | 145,809 |
| Michaels Companies, Inc. (a) | | 17,831 | 396,027 |
| Monro Muffler Brake, Inc. | | 2,796 | 207,016 |
| O'Reilly Automotive, Inc. (a) | | 8,393 | 2,214,661 |
| Office Depot, Inc. (a) | | 46,084 | 303,694 |
| Outerwall, Inc. (b) | | 1,529 | 94,645 |
| Pacific Sunwear of California, Inc. (a) | | 6,138 | 2,149 |
| Perfumania Holdings, Inc. (a) | | 495 | 1,708 |
| Rent-A-Center, Inc. | | 4,538 | 77,872 |
| Ross Stores, Inc. | | 34,958 | 1,818,166 |
| Sears Hometown & Outlet Stores, Inc. (a) | | 1,991 | 15,848 |
| Select Comfort Corp. (a) | | 4,699 | 110,990 |
| Shoe Carnival, Inc. | | 2,753 | 53,628 |
| Sportsman's Warehouse Holdings, Inc. (a) | | 3,769 | 43,155 |
| Staples, Inc. | | 54,622 | 659,288 |
| Stein Mart, Inc. | | 3,894 | 30,101 |
| The Children's Place Retail Stores, Inc. | | 1,743 | 84,222 |
| Tile Shop Holdings, Inc. (a) | | 4,459 | 75,535 |
| Tractor Supply Co. | | 11,524 | 1,029,669 |
| Trans World Entertainment Corp. (a) | | 5,483 | 20,177 |
| Ulta Salon, Cosmetics & Fragrance, Inc. (a) | | 5,465 | 912,655 |
| Urban Outfitters, Inc. (a) | | 10,237 | 229,309 |
| West Marine, Inc. (a) | | 4,252 | 39,076 |
| Winmark Corp. | | 399 | 38,105 |
| Zumiez, Inc. (a) | | 2,580 | 38,932 |
| | | | 10,181,921 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| Cherokee, Inc. (a) | | 891 | 17,027 |
| Columbia Sportswear Co. | | 6,018 | 281,823 |
| Crocs, Inc. (a)(b) | | 6,180 | 68,753 |
| Fossil Group, Inc. (a) | | 4,064 | 156,342 |
| G-III Apparel Group Ltd. (a) | | 3,878 | 177,884 |
| Iconix Brand Group, Inc. (a)(b) | | 4,133 | 29,096 |
| Joe's Jeans, Inc. (a) | | 5,589 | 1,146 |
| Kingold Jewelry, Inc. (a) | | 4,357 | 2,614 |
| lululemon athletica, Inc. (a)(b) | | 11,236 | 537,306 |
| Perry Ellis International, Inc. (a) | | 1,618 | 33,557 |
| Rocky Brands, Inc. | | 954 | 10,837 |
| Sequential Brands Group, Inc. (a)(b) | | 3,309 | 29,616 |
| Steven Madden Ltd. (a) | | 6,204 | 197,908 |
| Vera Bradley, Inc. (a) | | 3,508 | 41,780 |
| | | | 1,585,689 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 119,978,282 |
|
| CONSUMER STAPLES - 5.6% | | | |
| Beverages - 0.5% | | | |
| Coca-Cola Bottling Co. Consolidated | | 597 | 115,621 |
| Craft Brew Alliance, Inc. (a) | | 1,558 | 15,144 |
| MGP Ingredients, Inc. | | 1,562 | 32,677 |
| Monster Beverage Corp. | | 17,509 | 2,707,066 |
| National Beverage Corp. (a) | | 4,036 | 175,364 |
| Primo Water Corp. (a) | | 1,836 | 16,322 |
| | | | 3,062,194 |
| Food & Staples Retailing - 2.5% | | | |
| Andersons, Inc. | | 2,864 | 98,722 |
| Casey's General Stores, Inc. | | 3,234 | 376,017 |
| Chefs' Warehouse Holdings (a)(b) | | 2,291 | 44,858 |
| Costco Wholesale Corp. | | 37,472 | 6,048,730 |
| Fairway Group Holdings Corp. (a)(b) | | 2,188 | 1,822 |
| Fresh Market, Inc. (a)(b) | | 4,132 | 99,085 |
| Ingles Markets, Inc. Class A | | 1,337 | 72,826 |
| PriceSmart, Inc. | | 2,673 | 249,124 |
| SpartanNash Co. | | 3,333 | 72,059 |
| Sprouts Farmers Market LLC (a)(b) | | 13,238 | 319,433 |
| United Natural Foods, Inc. (a) | | 4,165 | 182,885 |
| Village Super Market, Inc. Class A | | 1,134 | 29,371 |
| Walgreens Boots Alliance, Inc. | | 93,134 | 7,826,050 |
| Whole Foods Market, Inc. | | 30,579 | 891,378 |
| | | | 16,312,360 |
| Food Products - 2.6% | | | |
| Alico, Inc. | | 894 | 38,156 |
| Blue Buffalo Pet Products, Inc. (a)(b) | | 16,606 | 298,410 |
| Boulder Brands, Inc. (a)(b) | | 5,611 | 61,328 |
| Bridgford Foods Corp. (a) | | 1,922 | 19,643 |
| Cal-Maine Foods, Inc. (b) | | 3,718 | 202,668 |
| Calavo Growers, Inc. | | 1,623 | 91,829 |
| Diamond Foods, Inc. (a) | | 2,553 | 103,345 |
| Farmer Brothers Co. (a) | | 1,650 | 48,230 |
| Freshpet, Inc. (b) | | 2,747 | 23,652 |
| Inventure Foods, Inc. (a) | | 1,660 | 12,550 |
| J&J Snack Foods Corp. | | 1,541 | 179,804 |
| John B. Sanfilippo & Son, Inc. | | 794 | 45,695 |
| Keurig Green Mountain, Inc. | | 13,154 | 689,270 |
| Lancaster Colony Corp. | | 2,257 | 262,399 |
| Landec Corp. (a) | | 2,349 | 30,091 |
| Lifeway Foods, Inc. (a) | | 1,722 | 18,942 |
| Limoneira Co. (b) | | 2,053 | 34,963 |
| Mondelez International, Inc. | | 137,241 | 5,991,942 |
| Origin Agritech Ltd. (a)(b) | | 2,188 | 3,151 |
| Pilgrim's Pride Corp. (b) | | 22,335 | 480,873 |
| Pingtan Marine Enterprise Ltd. | | 10,102 | 13,133 |
| Rocky Mountain Chocolate Factory, Inc. | | 1,066 | 11,683 |
| Sanderson Farms, Inc. (b) | | 1,856 | 138,847 |
| Seneca Foods Corp. Class A (a) | | 1,057 | 29,110 |
| SkyPeople Fruit Juice, Inc. (a) | | 1,984 | 1,014 |
| Snyders-Lance, Inc. (b) | | 6,053 | 224,385 |
| SunOpta, Inc. (a) | | 8,208 | 58,523 |
| The Hain Celestial Group, Inc. (a) | | 8,524 | 363,975 |
| The Kraft Heinz Co. | | 103,223 | 7,606,503 |
| | | | 17,084,114 |
| Household Products - 0.0% | | | |
| Central Garden & Pet Co. (a) | | 1,541 | 22,761 |
| Central Garden & Pet Co. Class A (non-vtg.) (a) | | 2,912 | 45,980 |
| WD-40 Co. | | 1,169 | 115,462 |
| | | | 184,203 |
| Personal Products - 0.0% | | | |
| Inter Parfums, Inc. | | 3,304 | 88,085 |
| LifeVantage Corp. (a)(b) | | 1,255 | 10,617 |
| Mannatech, Inc. (a) | | 241 | 5,259 |
| Natural Health Trends Corp. (b) | | 1,068 | 51,681 |
| Neptune Technologies & Bioressources, Inc. (a)(b) | | 12,187 | 13,962 |
| Nutraceutical International Corp. (a) | | 1,637 | 40,892 |
| The Female Health Co. (a) | | 1,961 | 3,020 |
| | | | 213,516 |
|
| TOTAL CONSUMER STAPLES | | | 36,856,387 |
|
| ENERGY - 0.5% | | | |
| Energy Equipment & Services - 0.1% | | | |
| Archrock Partners LP | | 5,348 | 85,942 |
| Dawson Geophysical Co. (a) | | 2,466 | 10,924 |
| Forbes Energy Services Ltd. (a)(b) | | 3,405 | 1,260 |
| Geospace Technologies Corp. (a) | | 1,064 | 13,545 |
| Glori Energy, Inc. (a)(b) | | 1,954 | 1,544 |
| Matrix Service Co. (a) | | 2,283 | 52,486 |
| Mitcham Industries, Inc. (a)(b) | | 732 | 2,789 |
| Ocean Rig UDW, Inc. (United States) | | 16,911 | 33,315 |
| Patterson-UTI Energy, Inc. | | 12,743 | 206,691 |
| PHI, Inc. (non-vtg.) (a) | | 2,361 | 50,455 |
| Profire Energy, Inc. (a) | | 6,455 | 8,714 |
| RigNet, Inc. (a) | | 1,396 | 30,838 |
| Steel Excel, Inc. (a) | | 1,120 | 16,374 |
| Synthesis Energy Systems, Inc. (a)(b) | | 15,613 | 13,896 |
| Tesco Corp. | | 7,958 | 66,927 |
| | | | 595,700 |
| Oil, Gas & Consumable Fuels - 0.4% | | | |
| Aemetis, Inc. (a)(b) | | 3,344 | 9,965 |
| Alliance Holdings GP, LP | | 5,220 | 124,497 |
| Alliance Resource Partners LP | | 6,344 | 108,800 |
| Approach Resources, Inc. (a)(b) | | 3,598 | 8,024 |
| Blueknight Energy Partners LP | | 3,575 | 22,165 |
| BreitBurn Energy Partners LP | | 21,115 | 42,230 |
| Calumet Specialty Products Partners LP | | 7,360 | 187,238 |
| Capital Product Partners LP | | 8,252 | 51,988 |
| Carrizo Oil & Gas, Inc. (a) | | 4,896 | 197,700 |
| Ceres, Inc. (a) | | 232 | 226 |
| Clean Energy Fuels Corp. (a)(b) | | 7,295 | 34,359 |
| Diamondback Energy, Inc. | | 5,508 | 429,734 |
| Dorchester Minerals LP | | 2,842 | 37,713 |
| Energy XXI (Bermuda) Ltd. (b) | | 7,937 | 12,461 |
| EV Energy Partners LP | | 3,899 | 13,608 |
| FX Energy, Inc. (a)(b) | | 3,828 | 4,364 |
| Gevo, Inc. (a) | | 137 | 200 |
| Golar LNG Ltd. (b) | | 7,968 | 217,925 |
| Golar LNG Partners LP | | 4,133 | 59,267 |
| Green Plains Partners LP | | 1,827 | 24,135 |
| Green Plains, Inc. | | 3,597 | 85,213 |
| Gulfport Energy Corp. (a) | | 9,709 | 246,803 |
| Hallador Energy Co. | | 2,349 | 15,832 |
| Hongli Clean Energy Technologies Corp. (a) | | 1,650 | 787 |
| Isramco, Inc. (a)(b) | | 333 | 30,636 |
| Legacy Reserves LP | | 5,487 | 17,119 |
| LINN Energy LLC/LINN Energy Finance Corp. | | 30,591 | 61,488 |
| Martin Midstream Partners LP | | 3,786 | 95,407 |
| Memorial Resource Development Corp. (a) | | 18,048 | 294,002 |
| Mid-Con Energy Partners LP | | 1,960 | 4,567 |
| Pacific Ethanol, Inc. (a) | | 4,458 | 22,245 |
| PDC Energy, Inc. (a) | | 3,413 | 192,800 |
| PennTex Midstream Partners LP | | 1,673 | 23,890 |
| PrimeEnergy Corp. (a) | | 216 | 11,059 |
| Renewable Energy Group, Inc. (a) | | 3,440 | 30,994 |
| Rex Energy Corp. (a)(b) | | 5,247 | 7,188 |
| Solazyme, Inc. (a)(b) | | 7,724 | 25,489 |
| TransGlobe Energy Corp. (a) | | 5,716 | 11,257 |
| U.S. Energy Corp. (a) | | 2,356 | 566 |
| Uranium Resources, Inc. (a) | | 1,919 | 1,094 |
| Vanguard Natural Resources LLC | | 11,801 | 67,384 |
| Vertex Energy, Inc. (a)(b) | | 3,112 | 6,006 |
| Viper Energy Partners LP | | 6,940 | 105,835 |
| Warren Resources, Inc. (a) | | 5,649 | 1,401 |
| Westmoreland Coal Co. (a)(b) | | 1,396 | 8,376 |
| | | | 2,954,037 |
|
| TOTAL ENERGY | | | 3,549,737 |
|
| FINANCIALS - 6.9% | | | |
| Banks - 3.1% | | | |
| 1st Source Corp. | | 2,661 | 89,968 |
| Access National Corp. | | 1,226 | 26,788 |
| American National Bankshares, Inc. | | 656 | 17,056 |
| American River Bankshares (a) | | 1,090 | 11,249 |
| Ameris Bancorp | | 2,762 | 94,433 |
| Arrow Financial Corp. | | 1,677 | 47,744 |
| Avenue Financial Holdings, Inc. | | 1,435 | 20,047 |
| BancFirst Corp. | | 1,732 | 111,662 |
| Bancorp, Inc., Delaware (a) | | 4,712 | 36,188 |
| Bank of Marin Bancorp | | 440 | 24,169 |
| Bank of the Ozarks, Inc. | | 7,280 | 395,158 |
| Bankwell Financial Group, Inc. | | 1,091 | 21,493 |
| Banner Corp. | | 2,992 | 157,080 |
| Baylake Corp. | | 1,061 | 15,321 |
| BBCN Bancorp, Inc. | | 6,400 | 121,024 |
| BCB Bancorp, Inc. | | 1,458 | 16,300 |
| Blue Hills Bancorp, Inc. | | 2,657 | 43,203 |
| BNC Bancorp | | 3,645 | 92,948 |
| BOK Financial Corp. (b) | | 5,850 | 402,773 |
| Boston Private Financial Holdings, Inc. | | 7,468 | 90,363 |
| Bridge Bancorp, Inc. | | 1,907 | 60,795 |
| Bryn Mawr Bank Corp. | | 1,840 | 54,740 |
| California First National Bancorp | | 1,023 | 13,637 |
| Camden National Corp. | | 938 | 42,154 |
| Capital Bank Financial Corp. Series A | | 2,330 | 78,568 |
| Capital City Bank Group, Inc. | | 1,920 | 30,240 |
| Cardinal Financial Corp. | | 2,778 | 68,339 |
| Cathay General Bancorp | | 6,808 | 233,651 |
| Centerstate Banks of Florida, Inc. | | 3,509 | 55,933 |
| Central Valley Community Bancorp | | 1,923 | 21,595 |
| Century Bancorp, Inc. Class A (non-vtg.) | | 344 | 15,449 |
| Chemical Financial Corp. | | 3,439 | 126,727 |
| Citizens & Northern Corp. | | 1,610 | 33,053 |
| City Holding Co. | | 1,497 | 74,730 |
| CNB Financial Corp., Pennsylvania | | 1,491 | 27,867 |
| CoBiz, Inc. | | 4,173 | 57,254 |
| Colony Bankcorp, Inc. (a) | | 924 | 8,907 |
| Columbia Banking Systems, Inc. | | 5,008 | 177,984 |
| Commerce Bancshares, Inc. | | 8,070 | 370,574 |
| Community Trust Bancorp, Inc. | | 1,768 | 64,886 |
| ConnectOne Bancorp, Inc. | | 3,006 | 58,647 |
| CU Bancorp (a) | | 1,816 | 48,887 |
| CVB Financial Corp. | | 9,235 | 170,848 |
| Eagle Bancorp, Inc. (a) | | 2,838 | 155,040 |
| East West Bancorp, Inc. | | 12,088 | 524,377 |
| Eastern Virginia Bankshares, Inc. | | 696 | 4,761 |
| Enterprise Bancorp, Inc. | | 1,184 | 28,996 |
| Enterprise Financial Services Corp. | | 1,848 | 54,146 |
| Farmers Capital Bank Corp. (a) | | 757 | 20,447 |
| Farmers National Banc Corp. | | 2,451 | 20,613 |
| Fidelity Southern Corp. | | 1,819 | 41,146 |
| Fifth Third Bancorp | | 69,547 | 1,437,536 |
| Financial Institutions, Inc. | | 1,405 | 38,314 |
| First Bancorp, North Carolina | | 2,351 | 45,821 |
| First Busey Corp. | | 2,910 | 63,991 |
| First Business Finance Services, Inc. | | 886 | 22,965 |
| First Citizen Bancshares, Inc. | | 935 | 247,700 |
| First Community Bancshares, Inc. | | 2,248 | 45,859 |
| First Connecticut Bancorp, Inc. | | 1,423 | 25,970 |
| First Financial Bancorp, Ohio | | 5,886 | 118,603 |
| First Financial Bankshares, Inc. (b) | | 5,626 | 202,030 |
| First Financial Corp., Indiana | | 1,188 | 43,433 |
| First Foundation, Inc. (a) | | 1,357 | 31,116 |
| First Internet Bancorp | | 500 | 16,125 |
| First Interstate Bancsystem, Inc. | | 2,084 | 63,374 |
| First Merchants Corp. | | 3,161 | 85,979 |
| First Midwest Bancorp, Inc., Delaware | | 8,973 | 175,332 |
| First NBC Bank Holding Co. (a) | | 1,665 | 70,496 |
| First Niagara Financial Group, Inc. | | 29,139 | 314,118 |
| First Northwest Bancorp | | 1,037 | 14,539 |
| First of Long Island Corp. | | 1,199 | 37,625 |
| First South Bancorp, Inc., Virginia | | 990 | 8,613 |
| FirstMerit Corp. | | 14,104 | 285,324 |
| Flushing Financial Corp. | | 2,838 | 64,621 |
| Fulton Financial Corp. | | 14,187 | 205,286 |
| German American Bancorp, Inc. | | 1,354 | 46,686 |
| Glacier Bancorp, Inc. | | 6,619 | 194,466 |
| Great Southern Bancorp, Inc. | | 1,134 | 57,675 |
| Green Bancorp, Inc. (a) | | 4,588 | 62,213 |
| Grupo Financiero Galicia SA sponsored ADR (a)(b) | | 3,903 | 98,160 |
| Guaranty Bancorp | | 2,351 | 41,190 |
| Hampton Roads Bankshares, Inc. (a) | | 17,474 | 32,676 |
| Hancock Holding Co. | | 6,591 | 191,930 |
| Hanmi Financial Corp. | | 2,915 | 76,082 |
| Heartland Financial U.S.A., Inc. | | 1,962 | 74,772 |
| Heritage Commerce Corp. | | 2,989 | 32,281 |
| Heritage Financial Corp., Washington | | 2,953 | 57,820 |
| Heritage Oaks Bancorp | | 3,376 | 28,122 |
| Home Bancshares, Inc. | | 5,979 | 269,772 |
| HomeTrust Bancshares, Inc. (a) | | 1,725 | 34,483 |
| Horizon Bancorp Industries | | 1,096 | 30,173 |
| Huntington Bancshares, Inc. | | 68,834 | 804,669 |
| IBERIABANK Corp. | | 3,558 | 225,470 |
| Independent Bank Corp., Massachusetts | | 2,415 | 124,952 |
| Independent Bank Group, Inc. | | 1,668 | 66,670 |
| International Bancshares Corp. | | 7,700 | 234,927 |
| Investar Holding Corp. | | 697 | 12,337 |
| Investors Bancorp, Inc. | | 30,015 | 384,792 |
| Lakeland Bancorp, Inc. | | 4,594 | 55,541 |
| Lakeland Financial Corp. | | 1,443 | 69,466 |
| LCNB Corp. | | 1,027 | 16,997 |
| LegacyTexas Financial Group, Inc. | | 4,224 | 128,874 |
| Live Oak Bancshares, Inc. | | 2,586 | 40,859 |
| Macatawa Bank Corp. | | 2,647 | 15,591 |
| MainSource Financial Group, Inc. | | 1,891 | 43,531 |
| MB Financial, Inc. | | 6,326 | 226,091 |
| Mercantile Bank Corp. | | 2,064 | 53,396 |
| Merchants Bancshares, Inc. | | 991 | 32,396 |
| Metro Bancorp, Inc. | | 1,229 | 41,761 |
| Middleburg Financial Corp. | | 199 | 3,656 |
| MidWestOne Financial Group, Inc. | | 1,196 | 37,973 |
| MutualFirst Financial, Inc. | | 760 | 18,088 |
| National Bankshares, Inc. | | 734 | 26,365 |
| National Commerce Corp. | | 1,280 | 33,587 |
| National Penn Bancshares, Inc. | | 11,675 | 145,821 |
| NBT Bancorp, Inc. | | 3,704 | 111,602 |
| NewBridge Bancorp | | 3,004 | 38,571 |
| Northrim Bancorp, Inc. | | 836 | 24,603 |
| Old Line Bancshares, Inc. | | 1,571 | 27,634 |
| Old National Bancorp, Indiana | | 9,584 | 141,364 |
| Old Second Bancorp, Inc. (a) | | 4,238 | 32,845 |
| Opus Bank (b) | | 2,668 | 105,066 |
| Orrstown Financial Services, Inc. | | 1,149 | 20,418 |
| Pacific Continental Corp. | | 2,983 | 47,460 |
| Pacific Mercantile Bancorp (a) | | 3,574 | 24,089 |
| Pacific Premier Bancorp, Inc. (a) | | 1,941 | 45,478 |
| PacWest Bancorp | | 10,135 | 476,548 |
| Park Sterling Corp. | | 5,551 | 42,021 |
| Peapack-Gladstone Financial Corp. | | 1,399 | 31,869 |
| Penns Woods Bancorp, Inc. | | 419 | 18,692 |
| People's Utah Bancorp | | 1,810 | 30,788 |
| Peoples Financial Services Corp. (b) | | 727 | 29,015 |
| Peoples United Financial, Inc. | | 25,998 | 435,467 |
| Pinnacle Financial Partners, Inc. | | 3,619 | 196,620 |
| Popular, Inc. | | 8,745 | 259,814 |
| Premier Financial Bancorp, Inc. | | 1,331 | 20,324 |
| PrivateBancorp, Inc. | | 6,680 | 294,655 |
| QCR Holdings, Inc. | | 1,226 | 29,669 |
| Renasant Corp. | | 3,214 | 117,407 |
| Republic Bancorp, Inc., Kentucky Class A | | 1,892 | 50,743 |
| Republic First Bancorp, Inc. (a) | | 5,748 | 26,498 |
| Royal Bancshares of Pennsylvania, Inc. Class A (a) | | 3,307 | 7,143 |
| S&T Bancorp, Inc. | | 3,109 | 105,457 |
| Sandy Spring Bancorp, Inc. | | 2,218 | 65,165 |
| Seacoast Banking Corp., Florida (a) | | 3,465 | 55,613 |
| ServisFirst Bancshares, Inc. | | 2,075 | 102,132 |
| Shore Bancshares, Inc. | | 2,045 | 21,697 |
| Sierra Bancorp | | 2,087 | 37,232 |
| Signature Bank(a) | | 4,269 | 675,142 |
| Simmons First National Corp. Class A | | 2,378 | 137,115 |
| South State Corp. | | 2,087 | 164,059 |
| Southern National Bancorp of Virginia, Inc. | | 1,883 | 23,255 |
| Southside Bancshares, Inc. | | 2,532 | 71,504 |
| Southwest Bancorp, Inc., Oklahoma | | 2,123 | 39,276 |
| State Bank Financial Corp. | | 3,165 | 73,776 |
| Stock Yards Bancorp, Inc. | | 1,754 | 70,634 |
| Stonegate Bank | | 1,459 | 49,343 |
| Suffolk Bancorp | | 1,228 | 36,398 |
| Summit Financial Group, Inc. | | 940 | 11,026 |
| Sun Bancorp, Inc. (a) | | 1,994 | 43,708 |
| SVB Financial Group (a) | | 4,395 | 582,250 |
| Talmer Bancorp, Inc. Class A | | 5,517 | 100,796 |
| Texas Capital Bancshares, Inc. (a) | | 4,310 | 255,497 |
| The First Bancorp, Inc. | | 1,359 | 30,156 |
| TowneBank | | 4,163 | 93,459 |
| Trico Bancshares | | 2,292 | 67,156 |
| TriState Capital Holdings, Inc. (a) | | 2,570 | 34,001 |
| Triumph Bancorp, Inc. | | 1,855 | 32,333 |
| Trustmark Corp. | | 7,179 | 181,270 |
| UMB Financial Corp. | | 4,352 | 229,350 |
| Umpqua Holdings Corp. | | 19,627 | 351,716 |
| Union Bankshares Corp. | | 4,037 | 108,393 |
| United Bankshares, Inc., West Virginia | | 5,945 | 250,403 |
| United Community Bank, Inc. | | 5,611 | 117,158 |
| United Security Bancshares, Inc. | | 1,023 | 8,726 |
| United Security Bancshares, California | | 2,514 | 13,199 |
| Univest Corp. of Pennsylvania | | 2,588 | 54,037 |
| Veritex Holdings, Inc. (a) | | 1,292 | 22,235 |
| Washington Trust Bancorp, Inc. | | 1,750 | 71,505 |
| WesBanco, Inc. | | 3,473 | 117,804 |
| West Bancorp., Inc. | | 1,485 | 30,784 |
| Westamerica Bancorp. | | 2,323 | 113,827 |
| Westbury Bancorp, Inc. (a)(b) | | 716 | 12,838 |
| Wilshire Bancorp, Inc. | | 6,732 | 83,073 |
| Wintrust Financial Corp. | | 4,037 | 212,467 |
| Zions Bancorporation | | 15,568 | 466,417 |
| | | | 20,526,824 |
| Capital Markets - 1.0% | | | |
| American Capital Senior Floating Ltd. | | 2,789 | 30,316 |
| BGC Partners, Inc. Class A | | 18,108 | 164,511 |
| Calamos Asset Management, Inc. Class A | | 2,057 | 19,562 |
| Capital Southwest Corp. | | 1,293 | 20,235 |
| Capitala Finance Corp. | | 1,495 | 20,930 |
| Carlyle Group LP | | 6,837 | 123,271 |
| CIFI Corp. | | 2,185 | 15,295 |
| CM Finance, Inc. | | 2,064 | 23,344 |
| Cowen Group, Inc. Class A (a)(b) | | 9,900 | 47,025 |
| Diamond Hill Investment Group, Inc. | | 282 | 62,094 |
| E*TRADE Financial Corp. (a) | | 25,102 | 763,854 |
| FBR & Co. | | 909 | 19,234 |
| Financial Engines, Inc. (b) | | 3,660 | 131,870 |
| Harris & Harris Group, Inc. (a) | | 9,453 | 20,986 |
| Hennessy Advisors, Inc. | | 657 | 19,224 |
| Horizon Technology Finance Corp. | | 792 | 9,631 |
| Interactive Brokers Group, Inc. | | 5,522 | 239,434 |
| INTL FCStone, Inc. (a) | | 1,664 | 59,205 |
| LPL Financial (b) | | 8,099 | 372,392 |
| Newtek Business Services Corp. | | 1,349 | 18,940 |
| Northern Trust Corp. | | 19,905 | 1,491,681 |
| SEI Investments Co. | | 14,129 | 768,476 |
| Silvercrest Asset Management Group Class A | | 1,634 | 21,030 |
| T. Rowe Price Group, Inc. | | 21,731 | 1,654,816 |
| Virtu Financial, Inc. Class A | | 2,930 | 65,193 |
| Virtus Investment Partners, Inc. | | 773 | 105,314 |
| WisdomTree Investments, Inc. (b) | | 12,203 | 265,415 |
| | | | 6,553,278 |
| Consumer Finance - 0.2% | | | |
| Asta Funding, Inc. (a) | | 1,128 | 9,453 |
| Atlanticus Holdings Corp. (a) | | 2,345 | 7,457 |
| Consumer Portfolio Services, Inc. (a) | | 2,211 | 10,347 |
| Credit Acceptance Corp. (a)(b) | | 1,753 | 351,336 |
| Encore Capital Group, Inc. (a)(b) | | 2,019 | 66,566 |
| EZCORP, Inc. (non-vtg.) Class A (a) | | 4,064 | 23,531 |
| First Cash Financial Services, Inc. (a) | | 2,416 | 93,958 |
| Navient Corp. | | 32,023 | 381,394 |
| Nicholas Financial, Inc. (a) | | 1,169 | 15,057 |
| PRA Group, Inc. (a)(b) | | 4,111 | 169,825 |
| QC Holdings, Inc. | | 1,816 | 2,452 |
| SLM Corp. (a) | | 36,345 | 245,510 |
| World Acceptance Corp. (a)(b) | | 707 | 30,500 |
| | | | 1,407,386 |
| Diversified Financial Services - 0.8% | | | |
| A-Mark Precious Metals, Inc. | | 1,395 | 21,623 |
| AR Capital Acquisition Corp. (a) | | 3,814 | 36,996 |
| CBOE Holdings, Inc. | | 6,712 | 484,674 |
| CME Group, Inc. | | 28,758 | 2,808,219 |
| MarketAxess Holdings, Inc. | | 3,174 | 338,920 |
| Markit Ltd. (a) | | 17,985 | 530,558 |
| Marlin Business Services Corp. | | 1,567 | 27,391 |
| Morningstar, Inc. | | 3,788 | 305,881 |
| NewStar Financial, Inc. (a) | | 4,494 | 43,277 |
| PICO Holdings, Inc. (a) | | 1,991 | 21,563 |
| Resource America, Inc. Class A | | 4,017 | 23,459 |
| The NASDAQ OMX Group, Inc. | | 14,364 | 842,018 |
| Tiptree Financial, Inc. | | 3,727 | 25,604 |
| Value Line, Inc. | | 990 | 15,028 |
| | | | 5,525,211 |
| Insurance - 0.7% | | | |
| AMBAC Financial Group, Inc. (a) | | 3,773 | 63,688 |
| American National Insurance Co. | | 2,226 | 238,983 |
| Amerisafe, Inc. | | 1,524 | 82,052 |
| AmTrust Financial Services, Inc. | | 7,070 | 441,946 |
| Arch Capital Group Ltd. (a) | | 9,828 | 712,235 |
| Argo Group International Holdings, Ltd. | | 2,256 | 143,324 |
| Atlas Financial Holdings, Inc. (a) | | 1,142 | 23,948 |
| Baldwin & Lyons, Inc. Class B | | 3,385 | 79,378 |
| Cincinnati Financial Corp. | | 14,204 | 868,006 |
| CNinsure, Inc. ADR (a) | | 3,081 | 27,883 |
| Donegal Group, Inc. Class A | | 5,149 | 71,674 |
| eHealth, Inc. (a) | | 1,794 | 23,232 |
| EMC Insurance Group | | 2,083 | 54,408 |
| Enstar Group Ltd. (a) | | 1,334 | 205,583 |
| Erie Indemnity Co. Class A | | 4,159 | 400,636 |
| Federated National Holding Co. | | 1,158 | 33,107 |
| Global Indemnity PLC (a) | | 1,188 | 34,856 |
| Greenlight Capital Re, Ltd. (a) | | 2,464 | 50,783 |
| Hallmark Financial Services, Inc. (a) | | 1,751 | 22,325 |
| Infinity Property & Casualty Corp. | | 1,057 | 90,374 |
| Investors Title Co. | | 183 | 15,930 |
| James River Group Holdings Ltd. | | 2,712 | 87,055 |
| Kansas City Life Insurance Co. | | 914 | 45,627 |
| Maiden Holdings Ltd. | | 6,159 | 94,910 |
| National General Holdings Corp. | | 7,745 | 169,693 |
| National Interstate Corp. | | 2,120 | 55,417 |
| National Western Life Group, Inc. | | 316 | 83,187 |
| Navigators Group, Inc. (a) | | 1,241 | 107,049 |
| Safety Insurance Group, Inc. | | 1,361 | 76,230 |
| Selective Insurance Group, Inc. | | 4,725 | 163,060 |
| State Auto Financial Corp. | | 3,810 | 88,430 |
| State National Companies, Inc. | | 4,107 | 41,522 |
| United Fire Group, Inc. | | 2,414 | 96,632 |
| United Insurance Holdings Corp. | | 1,641 | 31,081 |
| | | | 4,824,244 |
| Real Estate Investment Trusts - 0.6% | | | |
| American Capital Agency Corp. | | 29,320 | 526,294 |
| American Capital Mortgage Investment Corp. | | 3,844 | 57,622 |
| CareTrust (REIT), Inc. | | 4,562 | 50,912 |
| CIM Commercial Trust Corp. | | 8,391 | 155,150 |
| Communications Sales & Leasing, Inc. | | 12,994 | 252,733 |
| CyrusOne, Inc. | | 5,633 | 203,689 |
| Equinix, Inc. | | 4,937 | 1,463,821 |
| Gaming & Leisure Properties | | 9,570 | 260,208 |
| Gladstone Commercial Corp. | | 1,755 | 25,605 |
| Gladstone Land Corp. | | 2,228 | 20,965 |
| Lamar Advertising Co. Class A | | 6,935 | 405,073 |
| New York Mortgage Trust, Inc. (b) | | 9,532 | 55,286 |
| Potlatch Corp. | | 3,785 | 126,495 |
| Retail Opportunity Investments Corp. | | 7,793 | 142,534 |
| Sabra Health Care REIT, Inc. | | 5,513 | 114,009 |
| SoTHERLY Hotels, Inc. | | 2,539 | 15,742 |
| United Development Funding IV (b) | | 2,866 | 51,215 |
| Wheeler REIT, Inc. | | 6,485 | 12,062 |
| | | | 3,939,415 |
| Real Estate Management & Development - 0.1% | | | |
| Altisource Portfolio Solutions SA (a)(b) | | 1,599 | 46,003 |
| AV Homes, Inc. (a) | | 2,137 | 29,747 |
| China HGS Real Estate, Inc. (a)(b) | | 4,620 | 9,471 |
| Colliers International Group, Inc. | | 3,055 | 138,287 |
| Cresud S.A.C.I.F. y A. sponsored ADR | | 4,276 | 47,122 |
| Elbit Imaging Ltd. (a) | | 143 | 153 |
| FirstService Corp. | | 3,158 | 128,595 |
| FRP Holdings, Inc. (a) | | 958 | 29,688 |
| Griffin Industrial Realty, Inc. | | 249 | 6,718 |
| Landmark Infrastructure Partners LP | | 1,787 | 26,090 |
| | | | 461,874 |
| Thrifts & Mortgage Finance - 0.4% | | | |
| America First Tax Exempt Investors LP | | 7,396 | 40,160 |
| Anchor BanCorp Wisconsin, Inc. (a) | | 917 | 38,505 |
| ASB Bancorp, Inc. (a) | | 730 | 18,958 |
| Bank Mutual Corp. | | 4,460 | 34,431 |
| BankFinancial Corp. | | 2,613 | 33,577 |
| Bear State Financial, Inc. (b) | | 2,912 | 31,013 |
| Beneficial Bancorp, Inc. (a) | | 6,839 | 95,472 |
| BofI Holding, Inc. (a)(b) | | 5,280 | 105,758 |
| Brookline Bancorp, Inc., Delaware | | 6,247 | 73,340 |
| BSB Bancorp, Inc. (a) | | 1,186 | 26,922 |
| Cape Bancorp, Inc. | | 1,199 | 15,743 |
| Capitol Federal Financial, Inc. | | 10,623 | 137,780 |
| Charter Financial Corp. | | 2,319 | 30,935 |
| Chicopee Bancorp, Inc. | | 780 | 13,416 |
| Clifton Bancorp, Inc. | | 2,939 | 43,615 |
| Dime Community Bancshares, Inc. | | 2,905 | 53,772 |
| ESSA Bancorp, Inc. | | 1,361 | 18,224 |
| First Defiance Financial Corp. | | 727 | 30,192 |
| First Financial Northwest, Inc. | | 1,759 | 23,817 |
| Fox Chase Bancorp, Inc. | | 1,493 | 27,232 |
| Hingham Institution for Savings | | 232 | 30,204 |
| HMN Financial, Inc. (a) | | 468 | 5,630 |
| Home Bancorp, Inc. | | 935 | 24,684 |
| HomeStreet, Inc. (a) | | 1,526 | 33,068 |
| HopFed Bancorp, Inc. | | 1,119 | 13,081 |
| Kearny Financial Corp. | | 8,244 | 103,874 |
| Lendingtree, Inc. (a) | | 1,029 | 104,835 |
| Meridian Bancorp, Inc. | | 4,432 | 64,973 |
| Meta Financial Group, Inc. | | 743 | 33,435 |
| MSB Financial Corp. (a) | | 1,090 | 12,927 |
| NMI Holdings, Inc. (a) | | 5,032 | 37,186 |
| Northfield Bancorp, Inc. | | 3,726 | 59,355 |
| Northwest Bancshares, Inc. | | 9,361 | 130,492 |
| Ocean Shore Holding Co. | | 773 | 13,334 |
| OceanFirst Financial Corp. | | 1,911 | 37,761 |
| Oconee Federal Financial Corp. | | 694 | 12,707 |
| Oritani Financial Corp. | | 3,729 | 64,661 |
| Provident Bancorp, Inc. (a) | | 1,059 | 13,322 |
| Provident Financial Holdings, Inc. | | 935 | 17,279 |
| Prudential Bancorp, Inc. | | 1,526 | 22,798 |
| Pulaski Financial Corp. | | 1,387 | 22,761 |
| SI Financial Group, Inc. | | 2,352 | 30,529 |
| Territorial Bancorp, Inc. | | 904 | 26,044 |
| TFS Financial Corp. | | 26,210 | 491,962 |
| Timberland Bancorp, Inc. (b) | | 1,014 | 12,705 |
| Trustco Bank Corp., New York | | 9,710 | 63,698 |
| United Community Financial Corp. | | 4,420 | 25,990 |
| United Financial Bancorp, Inc. New | | 4,079 | 56,739 |
| Washington Federal, Inc. | | 7,764 | 200,622 |
| Waterstone Financial, Inc. | | 3,306 | 45,788 |
| Westfield Financial, Inc. | | 3,774 | 30,343 |
| WSFS Financial Corp. | | 2,762 | 94,350 |
| | | | 2,829,999 |
|
| TOTAL FINANCIALS | | | 46,068,231 |
|
| HEALTH CARE - 16.3% | | | |
| Biotechnology - 10.6% | | | |
| Abeona Therapeutics, Inc. (a)(b) | | 3,255 | 15,136 |
| ACADIA Pharmaceuticals, Inc. (a) | | 8,808 | 334,264 |
| Acceleron Pharma, Inc. (a) | | 2,713 | 116,306 |
| Achillion Pharmaceuticals, Inc. (a)(b) | | 11,357 | 115,614 |
| Acorda Therapeutics, Inc. (a) | | 3,734 | 142,601 |
| Adamas Pharmaceuticals, Inc. (a) | | 1,617 | 25,823 |
| Adaptimmune Therapeutics PLC sponsored ADR | | 1,280 | 11,571 |
| ADMA Biologics, Inc. (a) | | 1,526 | 14,039 |
| Aduro Biotech, Inc. (b) | | 5,346 | 165,673 |
| Advaxis, Inc. (a)(b) | | 2,711 | 32,722 |
| Aegerion Pharmaceuticals, Inc. (a)(b) | | 2,547 | 26,081 |
| Affimed NV (a)(b) | | 3,509 | 26,177 |
| Agenus, Inc. (a) | | 6,904 | 35,279 |
| Agios Pharmaceuticals, Inc. (a) | | 3,269 | 211,145 |
| Aimmune Therapeutics, Inc. (a) | | 3,713 | 79,421 |
| Akebia Therapeutics, Inc. (a) | | 2,283 | 24,497 |
| Alder Biopharmaceuticals, Inc. (a) | | 3,775 | 140,657 |
| Alexion Pharmaceuticals, Inc. (a) | | 19,333 | 3,449,781 |
| Alkermes PLC (a) | | 12,738 | 934,460 |
| Alnylam Pharmaceuticals, Inc. (a) | | 7,176 | 746,735 |
| AMAG Pharmaceuticals, Inc. (a) | | 2,907 | 77,384 |
| Amarin Corp. PLC ADR (a)(b) | | 18,806 | 39,116 |
| Amgen, Inc. | | 64,704 | 10,423,814 |
| Amicus Therapeutics, Inc. (a) | | 10,153 | 108,942 |
| Anacor Pharmaceuticals, Inc. (a) | | 3,735 | 435,987 |
| Anthera Pharmaceuticals, Inc. (a) | | 3,588 | 20,416 |
| Applied Genetic Technologies Corp. (a) | | 1,699 | 28,951 |
| Aquinox Pharmaceuticals, Inc. (a) | | 1,654 | 19,831 |
| Arbutus Biopharma Corp. (a) | | 4,739 | 26,444 |
| Ardelyx, Inc. (a)(b) | | 2,253 | 44,069 |
| Arena Pharmaceuticals, Inc. (a) | | 25,033 | 59,829 |
| Argos Therapeutics, Inc. (a) | | 2,023 | 8,234 |
| ARIAD Pharmaceuticals, Inc. (a) | | 17,869 | 114,540 |
| ArQule, Inc. (a) | | 6,347 | 14,408 |
| Array BioPharma, Inc. (a)(b) | | 12,778 | 50,601 |
| Arrowhead Research Corp. (a)(b) | | 6,447 | 40,745 |
| Ascendis Pharma A/S ADR | | 1,501 | 26,763 |
| Atara Biotherapeutics, Inc. (a) | | 2,428 | 95,420 |
| Athersys, Inc. (a) | | 5,399 | 5,939 |
| aTyr Pharma, Inc. (a)(b) | | 2,456 | 20,901 |
| Avalanche Biotechnologies, Inc. (a) | | 1,850 | 19,388 |
| Bellicum Pharmaceuticals, Inc. (b) | | 2,532 | 58,312 |
| BIND Therapeutics, Inc. (a) | | 4,655 | 21,879 |
| BioCryst Pharmaceuticals, Inc. (a) | | 6,526 | 69,241 |
| Biogen, Inc. (a) | | 20,058 | 5,753,838 |
| BioMarin Pharmaceutical, Inc. (a) | | 13,736 | 1,310,002 |
| Biospecifics Technologies Corp. (a) | | 770 | 37,307 |
| Biota Pharmaceuticals, Inc. (a) | | 8,528 | 15,862 |
| bluebird bio, Inc. (a) | | 3,061 | 271,664 |
| Blueprint Medicines Corp. | | 2,583 | 59,822 |
| Calithera Biosciences, Inc. (a)(b) | | 1,996 | 15,848 |
| Cara Therapeutics, Inc. (a) | | 2,742 | 45,380 |
| Catabasis Pharmaceuticals, Inc. | | 1,805 | 14,982 |
| Catalyst Biosciences, Inc. (a) | | 334 | 979 |
| Catalyst Pharmaceutical Partners, Inc. (a) | | 7,976 | 21,655 |
| Celgene Corp. (a) | | 67,547 | 7,393,019 |
| Celladon Corp. (a) | | 1,683 | 2,996 |
| Celldex Therapeutics, Inc. (a)(b) | | 8,734 | 157,299 |
| Cellectis SA sponsored ADR | | 710 | 23,494 |
| Cellular Biomedicine Group, Inc. (a) | | 1,090 | 25,037 |
| Celsion Corp. (a)(b) | | 9,193 | 20,776 |
| Cepheid, Inc. (a) | | 6,330 | 227,500 |
| Cerulean Pharma, Inc. (a)(b) | | 3,020 | 9,785 |
| ChemoCentryx, Inc. (a) | | 5,509 | 41,593 |
| Chiasma, Inc. (a) | | 2,128 | 47,220 |
| Chimerix, Inc. (a) | | 3,969 | 160,348 |
| China Biologic Products, Inc. (a) | | 2,188 | 257,134 |
| Cidara Therapeutics, Inc. | | 1,371 | 21,141 |
| Clovis Oncology, Inc. (a) | | 3,330 | 104,729 |
| Coherus BioSciences, Inc. | | 3,436 | 104,351 |
| Conatus Pharmaceuticals, Inc. (a)(b) | | 1,791 | 5,713 |
| Concert Pharmaceuticals, Inc. (a) | | 2,292 | 52,556 |
| ContraFect Corp. (a) | | 2,690 | 11,164 |
| Cubist Pharmaceuticals, Inc. rights (a) | | 1,695 | 0 |
| Curis, Inc. (a) | | 13,833 | 37,902 |
| Cyclacel Pharmaceuticals, Inc. (a) | | 705 | 504 |
| Cytokinetics, Inc. (a) | | 3,516 | 41,559 |
| Cytori Therapeutics, Inc. (a)(b) | | 31,831 | 11,583 |
| CytRx Corp. (a)(b) | | 6,675 | 20,893 |
| DBV Technologies SA sponsored ADR (a) | | 1,947 | 67,892 |
| Dicerna Pharmaceuticals, Inc. (a) | | 2,446 | 32,679 |
| Discovery Laboratories, Inc. (a) | | 11,254 | 3,401 |
| Dyax Corp. (a) | | 12,542 | 422,164 |
| Dynavax Technologies Corp. (a) | | 3,174 | 88,523 |
| Eagle Pharmaceuticals, Inc. (a)(b) | | 1,411 | 129,304 |
| Eleven Biotherapeutics, Inc. (a)(b) | | 1,651 | 5,267 |
| Enanta Pharmaceuticals, Inc. (a)(b) | | 1,635 | 51,503 |
| Epirus Biopharmaceuticals, Inc. (a) | | 3,686 | 17,951 |
| Epizyme, Inc. (a)(b) | | 3,514 | 56,611 |
| Esperion Therapeutics, Inc. (a)(b) | | 1,783 | 50,655 |
| Exact Sciences Corp. (a)(b) | | 8,065 | 73,311 |
| Exelixis, Inc. (a)(b) | | 19,082 | 109,149 |
| Fate Therapeutics, Inc. (a) | | 2,123 | 8,895 |
| Fibrocell Science, Inc. (a)(b) | | 3,869 | 22,827 |
| FibroGen, Inc. | | 5,166 | 153,637 |
| Five Prime Therapeutics, Inc. (a) | | 2,147 | 82,552 |
| Flexion Therapeutics, Inc. (a) | | 2,089 | 40,610 |
| Fortress Biotech, Inc. (a)(b) | | 7,152 | 21,384 |
| Forward Pharma A/S sponsored ADR (a) | | 1,059 | 23,076 |
| Foundation Medicine, Inc. (a)(b) | | 3,215 | 54,687 |
| Galapagos Genomics NV sponsored ADR | | 908 | 45,146 |
| Galectin Therapeutics, Inc. (a)(b) | | 4,268 | 8,536 |
| Galena Biopharma, Inc. (a)(b) | | 14,825 | 22,238 |
| Galmed Pharmaceuticals Ltd. (a) | | 1,534 | 14,404 |
| Genomic Health, Inc. (a) | | 2,968 | 89,990 |
| GenVec, Inc. (a) | | 861 | 1,550 |
| Geron Corp. (a)(b) | | 14,543 | 74,169 |
| Gilead Sciences, Inc. | | 125,118 | 13,257,503 |
| Global Blood Therapeutics, Inc. (a)(b) | | 2,675 | 125,618 |
| GlycoMimetics, Inc. (a) | | 1,894 | 13,220 |
| Grifols SA ADR | | 6,852 | 238,107 |
| GTx, Inc. (a)(b) | | 15,798 | 14,692 |
| Halozyme Therapeutics, Inc. (a)(b) | | 11,004 | 195,871 |
| Harvard Apparatus (a) | | 1,090 | 3,543 |
| Heron Therapeutics, Inc. (a)(b) | | 3,223 | 96,529 |
| Idera Pharmaceuticals, Inc. (a)(b) | | 10,977 | 42,591 |
| Ignyta, Inc. (a) | | 2,757 | 40,528 |
| Immune Design Corp. (a) | | 2,100 | 43,953 |
| ImmunoGen, Inc. (a) | | 7,506 | 101,856 |
| Immunomedics, Inc. (a)(b) | | 8,190 | 26,945 |
| Incyte Corp. (a) | | 15,467 | 1,766,950 |
| Inotek Pharmaceuticals Corp. | | 1,808 | 21,678 |
| Inovio Pharmaceuticals, Inc. (a)(b) | | 6,048 | 44,816 |
| Insmed, Inc. (a) | | 5,329 | 86,916 |
| Insys Therapeutics, Inc. (a)(b) | | 6,177 | 196,799 |
| Intercept Pharmaceuticals, Inc. (a) | | 2,064 | 364,317 |
| Ironwood Pharmaceuticals, Inc. Class A (a) | | 10,967 | 133,797 |
| Isis Pharmaceuticals, Inc. (a)(b) | | 10,204 | 622,852 |
| Juno Therapeutics, Inc. (b) | | 8,699 | 490,537 |
| Kamada (a) | | 3,707 | 15,681 |
| Karyopharm Therapeutics, Inc. (a)(b) | | 3,053 | 57,091 |
| Keryx Biopharmaceuticals, Inc. (a)(b) | | 8,927 | 51,509 |
| Kindred Biosciences, Inc. (a) | | 2,485 | 9,915 |
| Kite Pharma, Inc. (a)(b) | | 3,743 | 308,311 |
| La Jolla Pharmaceutical Co. (a) | | 1,739 | 58,761 |
| Lexicon Pharmaceuticals, Inc. (a)(b) | | 8,938 | 122,987 |
| Ligand Pharmaceuticals, Inc.: | | | |
| Class B (a)(b) | | 1,764 | 188,889 |
| General CVR (a) | | 1,530 | 109 |
| Glucagon CVR (a) | | 1,530 | 84 |
| rights (a) | | 1,530 | 11 |
| TR Beta CVR (a) | | 1,530 | 64 |
| Lion Biotechnologies, Inc. (a) | | 4,217 | 30,700 |
| Loxo Oncology, Inc. (a) | | 1,489 | 49,033 |
| Lpath, Inc. (a) | | 3,151 | 882 |
| Macrogenics, Inc. (a) | | 3,206 | 110,863 |
| MannKind Corp. (a)(b) | | 33,139 | 66,278 |
| Medivation, Inc. (a) | | 13,929 | 588,918 |
| MEI Pharma, Inc. (a) | | 1,984 | 3,611 |
| Merrimack Pharmaceuticals, Inc. (a)(b) | | 10,382 | 97,695 |
| MiMedx Group, Inc. (a)(b) | | 9,014 | 80,765 |
| Mirati Therapeutics, Inc. (a) | | 1,541 | 58,604 |
| Momenta Pharmaceuticals, Inc. (a) | | 5,977 | 106,749 |
| Myriad Genetics, Inc. (a)(b) | | 5,977 | 260,000 |
| Nanosphere, Inc. (a)(b) | | 3,143 | 3,614 |
| NantKwest, Inc. (a)(b) | | 7,085 | 115,556 |
| Natera, Inc. (a)(b) | | 4,556 | 40,503 |
| Neothetics, Inc. | | 1,483 | 13,540 |
| Neuralstem, Inc. (a)(b) | | 9,897 | 10,887 |
| Neurocrine Biosciences, Inc. (a) | | 7,420 | 403,425 |
| NewLink Genetics Corp. (a) | | 2,466 | 90,256 |
| Nivalis Therapeutics, Inc. | | 1,479 | 12,276 |
| Northwest Biotherapeutics, Inc. (a)(b) | | 9,135 | 42,204 |
| Novavax, Inc. (a) | | 23,737 | 203,189 |
| Nymox Pharmaceutical Corp. (a)(b) | | 2,574 | 8,443 |
| Ocata Therapeutics, Inc. (a) | | 4,601 | 39,477 |
| Ohr Pharmaceutical, Inc. (a)(b) | | 5,619 | 25,229 |
| OncoGenex Pharmaceuticals, Inc. (a)(b) | | 3,158 | 8,148 |
| OncoMed Pharmaceuticals, Inc. (a) | | 2,687 | 61,398 |
| Onconova Therapeutics, Inc. (a)(b) | | 2,140 | 2,996 |
| Oncothyreon, Inc. (a) | | 8,143 | 28,908 |
| Ophthotech Corp. (a) | | 3,075 | 195,478 |
| Orexigen Therapeutics, Inc. (a)(b) | | 14,628 | 34,961 |
| Osiris Therapeutics, Inc. (b) | | 3,333 | 34,197 |
| Otonomy, Inc. (a) | | 2,386 | 62,967 |
| OvaScience, Inc. (a)(b) | | 2,460 | 23,198 |
| PDL BioPharma, Inc. | | 13,200 | 49,962 |
| Peregrine Pharmaceuticals, Inc. (a)(b) | | 16,947 | 21,862 |
| Pluristem Therapeutics, Inc. (a) | | 11,917 | 16,565 |
| Portola Pharmaceuticals, Inc. (a) | | 4,615 | 228,950 |
| Prana Biotechnology Ltd. ADR (a) | | 5,900 | 5,783 |
| Progenics Pharmaceuticals, Inc. (a) | | 7,091 | 47,652 |
| ProNai Therapeutics, Inc. (a) | | 2,619 | 50,259 |
| ProQR Therapeutics BV (a)(b) | | 1,961 | 20,434 |
| Proteon Therapeutics, Inc. (a) | | 1,530 | 24,388 |
| Prothena Corp. PLC (a) | | 2,675 | 188,695 |
| PTC Therapeutics, Inc. (a) | | 2,799 | 84,082 |
| QLT, Inc. (a) | | 5,151 | 14,783 |
| Radius Health, Inc. (a) | | 3,646 | 221,713 |
| Raptor Pharmaceutical Corp. (a) | | 7,184 | 45,403 |
| Recro Pharma, Inc. (a)(b) | | 861 | 7,672 |
| Regeneron Pharmaceuticals, Inc. (a) | | 8,684 | 4,728,438 |
| REGENXBIO, Inc. (a) | | 2,798 | 67,068 |
| Regulus Therapeutics, Inc. (a) | | 4,494 | 45,255 |
| Repligen Corp. (a) | | 3,070 | 87,280 |
| Retrophin, Inc. (a) | | 3,118 | 69,687 |
| Rigel Pharmaceuticals, Inc. (a) | | 9,575 | 31,406 |
| Sage Therapeutics, Inc. (a) | | 2,535 | 121,477 |
| Sangamo Biosciences, Inc. (a) | | 7,446 | 61,653 |
| Sarepta Therapeutics, Inc. (a) | | 3,558 | 130,792 |
| Seattle Genetics, Inc. (a) | | 11,929 | 500,779 |
| Seres Therapeutics, Inc. (b) | | 3,364 | 120,532 |
| Sinovac Biotech Ltd. (a)(b) | | 5,217 | 27,859 |
| Sorrento Therapeutics, Inc. (a)(b) | | 3,686 | 29,525 |
| Spark Therapeutics, Inc. (b) | | 2,074 | 119,856 |
| Spectrum Pharmaceuticals, Inc. (a) | | 5,253 | 31,518 |
| Stemline Therapeutics, Inc. (a) | | 1,926 | 15,870 |
| Sunesis Pharmaceuticals, Inc. (a) | | 5,457 | 5,621 |
| Synergy Pharmaceuticals, Inc. (a) | | 9,526 | 59,823 |
| Synta Pharmaceuticals Corp. (a) | | 12,707 | 5,437 |
| T2 Biosystems, Inc. (a)(b) | | 1,754 | 20,680 |
| Tenax Therapeutics, Inc. (a) | | 3,100 | 10,044 |
| TESARO, Inc. (a) | | 3,550 | 181,192 |
| TetraLogic Pharmaceuticals Corp. (a)(b) | | 2,822 | 6,180 |
| TG Therapeutics, Inc. (a)(b) | | 4,866 | 64,134 |
| Threshold Pharmaceuticals, Inc. (a) | | 10,515 | 36,697 |
| Tobira Therapeutics, Inc. (a)(b) | | 1,410 | 18,894 |
| Tokai Pharmaceuticals, Inc. (a)(b) | | 2,150 | 24,725 |
| TONIX Pharmaceuticals Holding (a)(b) | | 2,193 | 15,899 |
| TRACON Pharmaceuticals, Inc. | | 1,246 | 14,802 |
| Transition Therapeutics, Inc. (a) | | 3,672 | 6,903 |
| Trevena, Inc. (a) | | 4,792 | 60,331 |
| Trovagene, Inc. (a)(b) | | 2,691 | 17,384 |
| Ultragenyx Pharmaceutical, Inc. (a) | | 3,302 | 324,653 |
| uniQure B.V. (a) | | 1,496 | 28,095 |
| United Therapeutics Corp. (a) | | 3,872 | 590,983 |
| Vanda Pharmaceuticals, Inc. (a)(b) | | 4,458 | 43,956 |
| Verastem, Inc. (a) | | 4,127 | 9,368 |
| Versartis, Inc. (a) | | 2,627 | 33,232 |
| Vertex Pharmaceuticals, Inc. (a) | | 20,937 | 2,708,410 |
| Vical, Inc. (a) | | 13,208 | 7,050 |
| Vitae Pharmaceuticals, Inc. (a) | | 1,901 | 27,298 |
| Vital Therapies, Inc. (a)(b) | | 2,063 | 19,392 |
| Xbiotech, Inc. (b) | | 2,558 | 19,108 |
| Xencor, Inc. (a) | | 3,542 | 56,955 |
| Xenon Pharmaceuticals, Inc. | | 2,020 | 18,463 |
| XOMA Corp. (a)(b) | | 7,340 | 9,762 |
| ZIOPHARM Oncology, Inc. (a)(b) | | 11,456 | 149,844 |
| | | | 70,047,373 |
| Health Care Equipment & Supplies - 1.5% | | | |
| Abaxis, Inc. | | 1,993 | 105,968 |
| Abiomed, Inc. (a) | | 3,607 | 294,223 |
| Accuray, Inc. (a)(b) | | 7,013 | 49,372 |
| Align Technology, Inc. (a) | | 6,710 | 447,825 |
| Alliqua Biomedical, Inc. (a) | | 4,268 | 11,310 |
| Alphatec Holdings, Inc. (a) | | 9,248 | 2,127 |
| Analogic Corp. | | 1,122 | 93,743 |
| Angiodynamics, Inc. (a) | | 3,401 | 40,472 |
| Anika Therapeutics, Inc. (a)(b) | | 1,266 | 53,121 |
| Antares Pharma, Inc. (a) | | 12,123 | 15,881 |
| Atricure, Inc. (a) | | 2,561 | 55,010 |
| Atrion Corp. | | 175 | 73,658 |
| Avinger, Inc. (b) | | 1,477 | 26,571 |
| AxoGen, Inc. (a) | | 2,154 | 11,847 |
| BioLase Technology, Inc. (a) | | 2,521 | 2,282 |
| Cardica, Inc. (a) | | 6,974 | 1,594 |
| Cardiovascular Systems, Inc. (a) | | 2,682 | 42,912 |
| Cerus Corp. (a)(b) | | 8,059 | 45,695 |
| ConforMis, Inc. (a)(b) | | 3,662 | 78,110 |
| CONMED Corp. | | 2,522 | 107,185 |
| Cutera, Inc. (a) | | 925 | 13,154 |
| Cynosure, Inc. Class A (a) | | 2,185 | 91,901 |
| CytoSorbents Corp. (a) | | 3,340 | 24,282 |
| DENTSPLY International, Inc. | | 11,901 | 721,915 |
| Derma Sciences, Inc. (a) | | 2,912 | 13,046 |
| DexCom, Inc. (a) | | 6,903 | 586,893 |
| EDAP TMS SA sponsored ADR (a) | | 2,628 | 14,270 |
| Endologix, Inc. (a)(b) | | 5,898 | 60,042 |
| Entellus Medical, Inc. (b) | | 1,898 | 33,101 |
| EnteroMedics, Inc. (a) | | 4,886 | 883 |
| Exactech, Inc. (a) | | 1,661 | 29,117 |
| Fonar Corp. (a) | | 666 | 10,603 |
| Genmark Diagnostics, Inc. (a) | | 3,402 | 27,114 |
| Hansen Medical, Inc. (a)(b) | | 5,506 | 15,582 |
| HeartWare International, Inc. (a) | | 1,531 | 73,274 |
| Hologic, Inc. (a) | | 23,901 | 964,405 |
| ICU Medical, Inc. (a) | | 1,344 | 152,463 |
| IDEXX Laboratories, Inc. (a)(b) | | 7,838 | 555,087 |
| Inogen, Inc. (a) | | 1,639 | 62,692 |
| Insulet Corp. (a) | | 4,770 | 174,534 |
| Integra LifeSciences Holdings Corp. (a) | | 3,149 | 197,474 |
| Intuitive Surgical, Inc. (a) | | 3,152 | 1,639,103 |
| InVivo Therapeutics Holdings Corp. (a)(b) | | 2,198 | 21,211 |
| Invuity, Inc. | | 1,398 | 16,790 |
| IRadimed Corp. (a) | | 1,027 | 31,847 |
| K2M Group Holdings, Inc. (a) | | 3,927 | 79,365 |
| Lantheus Holdings, Inc. (a) | | 3,354 | 11,873 |
| LDR Holding Corp. (a) | | 2,286 | 61,768 |
| LeMaitre Vascular, Inc. | | 1,675 | 25,845 |
| LivaNova PLC (a) | | 4,254 | 254,602 |
| Masimo Corp. (a) | | 4,277 | 177,410 |
| Mazor Robotics Ltd. sponsored ADR (a)(b) | | 1,027 | 10,219 |
| Meridian Bioscience, Inc. | | 3,636 | 71,157 |
| Merit Medical Systems, Inc. (a) | | 3,805 | 73,703 |
| Natus Medical, Inc. (a) | | 2,922 | 142,535 |
| Neogen Corp. (a) | | 3,319 | 196,020 |
| Neovasc, Inc. (a) | | 5,368 | 26,679 |
| Novadaq Technologies, Inc. (a) | | 5,030 | 61,265 |
| Novocure Ltd. (a) | | 7,143 | 173,932 |
| NuVasive, Inc. (a) | | 4,148 | 216,277 |
| NxStage Medical, Inc. (a)(b) | | 5,121 | 99,911 |
| OraSure Technologies, Inc. (a) | | 6,001 | 37,506 |
| Orthofix International NV (a) | | 1,428 | 56,492 |
| PhotoMedex, Inc. (a)(b) | | 2,089 | 846 |
| Quidel Corp. (a) | | 3,344 | 72,531 |
| Quotient Ltd. (a)(b) | | 1,810 | 24,616 |
| ReWalk Robotics Ltd. (a)(b) | | 1,140 | 8,881 |
| Rockwell Medical Technologies, Inc. (a)(b) | | 4,536 | 55,022 |
| RTI Biologics, Inc. (a) | | 5,913 | 23,179 |
| Seaspine Holdings Corp. (a) | | 925 | 15,244 |
| Second Sight Medical Products, Inc. (b) | | 3,198 | 16,182 |
| Sientra, Inc. (a) | | 1,518 | 7,347 |
| Sirona Dental Systems, Inc. (a) | | 4,921 | 533,830 |
| Staar Surgical Co. (a)(b) | | 3,044 | 25,539 |
| Stereotaxis, Inc. (a) | | 1,411 | 1,482 |
| SurModics, Inc. (a) | | 1,518 | 31,969 |
| Synergetics U.S.A., Inc. | | 3,200 | 608 |
| Syneron Medical Ltd. (a) | | 2,875 | 21,390 |
| Tandem Diabetes Care, Inc. (a)(b) | | 2,968 | 30,600 |
| TearLab Corp. (a)(b) | | 3,875 | 5,774 |
| Trinity Biotech PLC sponsored ADR | | 2,122 | 25,422 |
| TriVascular Technologies, Inc. (a) | | 2,877 | 18,787 |
| Unilife Corp. (a)(b) | | 8,322 | 6,197 |
| Utah Medical Products, Inc. | | 422 | 23,839 |
| Vascular Solutions, Inc. (a) | | 1,545 | 54,909 |
| Veracyte, Inc. (a) | | 3,188 | 22,922 |
| Vermillion, Inc. (a) | | 8,336 | 14,921 |
| Wright Medical Group NV (a) | | 8,666 | 185,626 |
| Zeltiq Aesthetics, Inc. (a) | | 3,360 | 102,077 |
| | | | 10,195,988 |
| Health Care Providers & Services - 1.5% | | | |
| Acadia Healthcare Co., Inc. (a) | | 6,056 | 417,925 |
| Aceto Corp. | | 2,543 | 71,738 |
| Addus HomeCare Corp. (a) | | 1,126 | 25,662 |
| Air Methods Corp. (a)(b) | | 3,267 | 142,768 |
| Alliance Healthcare Services, Inc. (a) | | 993 | 8,947 |
| Almost Family, Inc. (a) | | 699 | 29,617 |
| Amedisys, Inc. (a) | | 2,848 | 115,600 |
| AmSurg Corp. (a) | | 4,232 | 355,742 |
| BioScrip, Inc. (a)(b) | | 6,338 | 13,437 |
| BioTelemetry, Inc. (a) | | 2,552 | 32,181 |
| Caladrius Biosciences, Inc. (a) | | 3,380 | 4,056 |
| Corvel Corp. (a) | | 1,921 | 74,439 |
| Cross Country Healthcare, Inc. (a) | | 2,316 | 42,267 |
| Express Scripts Holding Co. (a) | | 57,629 | 4,926,127 |
| HealthEquity, Inc. (a) | | 5,175 | 170,775 |
| Healthways, Inc. (a) | | 3,273 | 43,433 |
| Henry Schein, Inc. (a)(b) | | 7,231 | 1,131,507 |
| iKang Healthcare Group, Inc. sponsored ADR (a) | | 4,076 | 79,482 |
| LHC Group, Inc. (a) | | 1,716 | 79,880 |
| LifePoint Hospitals, Inc. (a) | | 3,879 | 277,775 |
| Magellan Health Services, Inc. (a) | | 2,414 | 127,097 |
| National Research Corp. Class A | | 3,055 | 47,230 |
| Patterson Companies, Inc. | | 8,781 | 400,150 |
| PDI, Inc. (a) | | 1,353 | 1,069 |
| Premier, Inc. (a) | | 3,321 | 114,110 |
| Providence Service Corp. (a) | | 1,388 | 67,207 |
| RadNet, Inc. (a) | | 4,399 | 27,274 |
| Sharps Compliance Corp. (a) | | 1,953 | 17,714 |
| Surgery Partners, Inc. (a) | | 4,125 | 78,829 |
| Surgical Care Affiliates, Inc. (a) | | 3,202 | 119,018 |
| The Ensign Group, Inc. | | 2,310 | 109,887 |
| USMD Holdings, Inc. (a) | | 959 | 7,672 |
| VCA, Inc. (a) | | 6,906 | 380,037 |
| | | | 9,540,652 |
| Health Care Technology - 0.5% | | | |
| Allscripts Healthcare Solutions, Inc. (a) | | 14,929 | 227,369 |
| athenahealth, Inc. (a)(b) | | 3,304 | 554,246 |
| Cerner Corp. (a) | | 29,401 | 1,752,300 |
| Computer Programs & Systems, Inc. | | 935 | 45,553 |
| Connecture, Inc. | | 2,553 | 9,114 |
| HealthStream, Inc. (a) | | 3,083 | 74,054 |
| HMS Holdings Corp. (a)(b) | | 7,667 | 93,001 |
| Inovalon Holdings, Inc. Class A (b) | | 4,170 | 77,395 |
| MedAssets, Inc. (a) | | 5,490 | 165,414 |
| Medidata Solutions, Inc. (a)(b) | | 4,688 | 214,851 |
| Omnicell, Inc. (a) | | 3,075 | 92,742 |
| Quality Systems, Inc. | | 3,669 | 59,621 |
| Simulations Plus, Inc. | | 1,935 | 17,280 |
| | | | 3,382,940 |
| Life Sciences Tools & Services - 0.8% | | | |
| Accelerate Diagnostics, Inc. (a)(b) | | 3,862 | 66,156 |
| Affymetrix, Inc. (a) | | 7,398 | 70,059 |
| Albany Molecular Research, Inc. (a)(b) | | 3,009 | 59,939 |
| Bio-Techne Corp. | | 3,113 | 283,937 |
| Bruker Corp. (a) | | 14,429 | 326,673 |
| Compugen Ltd. (a)(b) | | 4,907 | 37,293 |
| Fluidigm Corp. (a) | | 2,251 | 25,594 |
| Furiex Pharmaceuticals, Inc. rights (a) | | 599 | 5,852 |
| Harvard Bioscience, Inc. (a) | | 4,360 | 13,821 |
| ICON PLC (a) | | 5,107 | 379,603 |
| Illumina, Inc. (a) | | 12,320 | 2,265,648 |
| INC Research Holdings, Inc. Class A | | 4,699 | 222,263 |
| Luminex Corp. (a) | | 3,800 | 81,776 |
| Nanostring Technologies, Inc. (a) | | 2,083 | 31,745 |
| NeoGenomics, Inc. (a) | | 5,887 | 46,919 |
| Pacific Biosciences of California, Inc. (a)(b) | | 6,826 | 69,830 |
| PAREXEL International Corp. (a) | | 4,765 | 323,305 |
| PRA Health Sciences, Inc. | | 5,051 | 228,709 |
| pSivida Corp. (a) | | 4,182 | 16,226 |
| QIAGEN NV (a) | | 19,834 | 524,411 |
| Sequenom, Inc. (a)(b) | | 11,484 | 20,442 |
| VWR Corp. (a) | | 11,427 | 304,872 |
| | | | 5,405,073 |
| Pharmaceuticals - 1.4% | | | |
| AcelRx Pharmaceuticals, Inc. (a) | | 3,743 | 21,410 |
| Achaogen, Inc. (a) | | 1,797 | 10,027 |
| Acura Pharmaceuticals, Inc. (a) | | 707 | 1,789 |
| Aerie Pharmaceuticals, Inc. (a) | | 2,337 | 64,127 |
| Agile Therapeutics, Inc. (a) | | 2,575 | 22,969 |
| Akorn, Inc. (a)(b) | | 9,823 | 327,106 |
| Alcobra Pharma Ltd. (a) | | 1,260 | 8,303 |
| Alexza Pharmaceuticals, Inc. (a) | | 797 | 813 |
| Alimera Sciences, Inc. (a)(b) | | 4,072 | 12,542 |
| Amphastar Pharmaceuticals, Inc. (a) | | 3,973 | 60,986 |
| ANI Pharmaceuticals, Inc. (a)(b) | | 1,190 | 52,146 |
| ANI Pharmaceuticals, Inc. rights (a) | | 984 | 0 |
| Apricus Biosciences, Inc. (a)(b) | | 6,524 | 7,111 |
| Aratana Therapeutics, Inc. (a) | | 3,098 | 18,154 |
| Assembly Biosciences, Inc. (a) | | 1,510 | 14,843 |
| AstraZeneca PLC rights (a) | | 1,845 | 0 |
| Auris Medical Holding AG (a) | | 3,311 | 12,184 |
| Bio Path Holdings, Inc. (a) | | 15,793 | 24,953 |
| Biodelivery Sciences International, Inc. (a)(b) | | 6,147 | 37,681 |
| Carbylan Therapeutics, Inc. (b) | | 3,263 | 13,019 |
| Cardiome Pharma Corp. (a) | | 3,033 | 26,963 |
| Cempra, Inc. (a)(b) | | 3,864 | 123,300 |
| Collegium Pharmaceutical, Inc. | | 1,886 | 35,815 |
| Concordia Healthcare Corp. (a) | | 2,886 | 111,169 |
| Corcept Therapeutics, Inc. (a) | | 9,921 | 52,383 |
| Corium International, Inc. (a) | | 2,454 | 20,123 |
| Cumberland Pharmaceuticals, Inc. (a) | | 2,613 | 14,711 |
| Cynapsus Therapeutics, Inc. (a) | | 1,311 | 20,449 |
| DepoMed, Inc. (a)(b) | | 5,085 | 98,852 |
| Dermira, Inc. (a) | | 2,152 | 66,303 |
| Dipexium Pharmaceuticals, Inc. (a) | | 1,263 | 15,131 |
| Durect Corp. (a) | | 14,018 | 33,082 |
| Egalet Corp. (a)(b) | | 2,502 | 25,671 |
| Endo Health Solutions, Inc. (a) | | 17,793 | 1,093,914 |
| Endocyte, Inc. (a)(b) | | 8,078 | 37,401 |
| Flamel Technologies SA sponsored ADR (a) | | 3,385 | 48,642 |
| Flex Pharma, Inc. (b) | | 1,782 | 21,562 |
| Foamix Pharmaceuticals Ltd. (a) | | 2,935 | 23,451 |
| GW Pharmaceuticals PLC ADR (a)(b) | | 1,309 | 113,477 |
| Heska Corp. (a) | | 546 | 18,995 |
| Horizon Pharma PLC (a) | | 13,589 | 292,571 |
| Impax Laboratories, Inc. (a) | | 6,281 | 276,741 |
| Imprimis Pharmaceuticals, Inc. (a) | | 1,563 | 10,519 |
| Intersect ENT, Inc. (a) | | 2,614 | 51,522 |
| Intra-Cellular Therapies, Inc. (a) | | 3,684 | 196,468 |
| Jazz Pharmaceuticals PLC (a) | | 5,294 | 776,047 |
| Juniper Pharmaceuticals, Inc. (a) | | 959 | 11,355 |
| KemPharm, Inc. | | 1,459 | 25,270 |
| Lipocine, Inc. (a) | | 1,664 | 23,113 |
| Marinus Pharmaceuticals, Inc. (a) | | 1,456 | 10,585 |
| MediWound Ltd. (a) | | 2,248 | 23,154 |
| Mylan N.V. (b) | | 41,918 | 2,150,393 |
| Nektar Therapeutics (a)(b) | | 11,552 | 180,904 |
| Neos Therapeutics, Inc. (a)(b) | | 1,499 | 23,175 |
| NeuroDerm Ltd. (b) | | 2,029 | 40,823 |
| Ocera Therapeutics, Inc. (a) | | 2,980 | 10,639 |
| Ocular Therapeutix, Inc. (a)(b) | | 1,980 | 18,770 |
| Oculus Innovative Sciences, Inc. (a) | | 1,266 | 1,545 |
| Omeros Corp. (a)(b) | | 3,474 | 55,063 |
| Pacira Pharmaceuticals, Inc. (a) | | 3,054 | 197,747 |
| Pain Therapeutics, Inc. (a) | | 5,755 | 11,510 |
| Paratek Pharmaceuticals, Inc. (a) | | 1,509 | 31,191 |
| Pernix Therapeutics Holdings, Inc. (a)(b) | | 4,032 | 12,096 |
| Phibro Animal Health Corp. Class A | | 1,471 | 47,763 |
| Pozen, Inc. (a) | | 2,613 | 19,833 |
| RedHill Biopharma Ltd. sponsored ADR (a)(b) | | 3,123 | 40,568 |
| Relypsa, Inc. (a)(b) | | 3,639 | 81,914 |
| Repros Therapeutics, Inc. (a) | | 1,926 | 4,613 |
| Revance Therapeutics, Inc. (a)(b) | | 2,451 | 95,123 |
| Sagent Pharmaceuticals, Inc. (a) | | 3,103 | 47,569 |
| SciClone Pharmaceuticals, Inc. (a)(b) | | 4,192 | 38,441 |
| Shire PLC sponsored ADR | | 4,181 | 871,153 |
| Sucampo Pharmaceuticals, Inc. Class A (a) | | 3,610 | 61,912 |
| Supernus Pharmaceuticals, Inc. (a) | | 4,545 | 73,447 |
| Tetraphase Pharmaceuticals, Inc. (a) | | 3,179 | 34,111 |
| The Medicines Company (a) | | 5,644 | 237,104 |
| Theravance Biopharma, Inc. (a)(b) | | 3,812 | 71,551 |
| Theravance, Inc. (b) | | 10,115 | 93,564 |
| VIVUS, Inc. (a)(b) | | 8,421 | 10,526 |
| XenoPort, Inc. (a) | | 5,295 | 31,982 |
| Zogenix, Inc. (a) | | 1,882 | 29,039 |
| ZS Pharma, Inc. (a) | | 2,219 | 199,621 |
| Zynerba Pharmaceuticals, Inc. (a) | | 829 | 11,250 |
| | | | 9,243,842 |
|
| TOTAL HEALTH CARE | | | 107,815,868 |
|
| INDUSTRIALS - 4.0% | | | |
| Aerospace & Defense - 0.2% | | | |
| AeroVironment, Inc. (a)(b) | | 2,086 | 53,360 |
| American Science & Engineering, Inc. | | 541 | 23,663 |
| API Technologies Corp. (a) | | 6,284 | 12,379 |
| Astronics Corp. (a) | | 1,665 | 64,419 |
| BE Aerospace, Inc. | | 9,048 | 418,199 |
| Elbit Systems Ltd. | | 3,782 | 334,329 |
| Erickson Air-Crane, Inc. (a) | | 859 | 2,208 |
| Innovative Solutions & Support, Inc. (a)(b) | | 1,882 | 4,686 |
| KEYW Holding Corp. (a) | | 3,174 | 20,282 |
| KLX, Inc. (a) | | 4,524 | 145,220 |
| Kratos Defense & Security Solutions, Inc. (a)(b) | | 6,045 | 28,109 |
| LMI Aerospace, Inc. (a) | | 1,001 | 10,190 |
| Taser International, Inc. (a)(b) | | 4,294 | 80,298 |
| | | | 1,197,342 |
| Air Freight & Logistics - 0.3% | | | |
| Air Transport Services Group, Inc. (a) | | 6,122 | 58,220 |
| Atlas Air Worldwide Holdings, Inc. (a) | | 2,256 | 93,218 |
| C.H. Robinson Worldwide, Inc. | | 12,065 | 813,543 |
| Echo Global Logistics, Inc. (a) | | 2,818 | 66,505 |
| Expeditors International of Washington, Inc. | | 15,997 | 776,494 |
| Forward Air Corp. | | 2,640 | 126,958 |
| Hub Group, Inc. Class A (a) | | 3,041 | 117,170 |
| Park-Ohio Holdings Corp. | | 1,103 | 46,326 |
| UTi Worldwide, Inc. (a) | | 8,784 | 61,488 |
| | | | 2,159,922 |
| Airlines - 0.7% | | | |
| Allegiant Travel Co. | | 1,479 | 259,017 |
| American Airlines Group, Inc. | | 57,067 | 2,354,584 |
| Hawaiian Holdings, Inc. (a) | | 4,693 | 169,887 |
| JetBlue Airways Corp. (a) | | 26,374 | 652,493 |
| Republic Airways Holdings, Inc. (a) | | 3,702 | 15,696 |
| Ryanair Holdings PLC sponsored ADR | | 9,381 | 721,399 |
| SkyWest, Inc. | | 4,379 | 90,251 |
| Spirit Airlines, Inc. (a) | | 6,185 | 227,422 |
| Virgin America, Inc. (b) | | 3,538 | 128,748 |
| | | | 4,619,497 |
| Building Products - 0.2% | | | |
| AAON, Inc. | | 5,163 | 127,578 |
| American Woodmark Corp. (a) | | 1,397 | 114,568 |
| Apogee Enterprises, Inc. | | 2,646 | 132,882 |
| Builders FirstSource, Inc. (a) | | 9,118 | 122,728 |
| Caesarstone Sdot-Yam Ltd. | | 2,911 | 119,002 |
| CSW Industrials, Inc. (a) | | 1,293 | 47,337 |
| Gibraltar Industries, Inc. (a) | | 2,481 | 66,218 |
| Insteel Industries, Inc. | | 2,014 | 49,142 |
| Nortek, Inc. (a) | | 1,438 | 69,225 |
| Patrick Industries, Inc. (a) | | 1,486 | 61,565 |
| PGT, Inc. (a) | | 4,279 | 47,582 |
| Universal Forest Products, Inc. | | 1,749 | 135,128 |
| | | | 1,092,955 |
| Commercial Services & Supplies - 0.6% | | | |
| Casella Waste Systems, Inc. Class A (a) | | 3,391 | 22,991 |
| CECO Environmental Corp. | | 2,978 | 25,879 |
| China Recycling Energy Corp. (a) | | 3,498 | 1,364 |
| Cintas Corp. | | 9,237 | 846,017 |
| Copart, Inc. (a) | | 10,113 | 399,160 |
| Essendant, Inc. | | 3,330 | 120,613 |
| Fuel Tech, Inc. (a) | | 2,123 | 4,671 |
| G&K Services, Inc. Class A | | 1,790 | 119,339 |
| Healthcare Services Group, Inc. | | 6,273 | 231,725 |
| Heritage-Crystal Clean, Inc. (a) | | 2,086 | 22,737 |
| Herman Miller, Inc. | | 5,256 | 166,668 |
| Hudson Technologies, Inc. (a) | | 3,511 | 10,673 |
| InnerWorkings, Inc. (a)(b) | | 5,417 | 46,370 |
| Interface, Inc. | | 5,828 | 115,861 |
| Intersections, Inc. (a)(b) | | 1,453 | 4,068 |
| Kimball International, Inc. Class B | | 2,906 | 35,947 |
| Matthews International Corp. Class A | | 2,756 | 164,836 |
| McGrath RentCorp. | | 2,145 | 62,591 |
| Mobile Mini, Inc. | | 3,875 | 137,369 |
| Multi-Color Corp. | | 1,461 | 91,327 |
| Performant Financial Corp. (a) | | 3,663 | 7,253 |
| Perma-Fix Environmental Services, Inc. (a) | | 1,221 | 4,713 |
| R.R. Donnelley & Sons Co. | | 18,018 | 289,910 |
| SP Plus Corp. (a) | | 2,052 | 51,649 |
| Stericycle, Inc. (a) | | 7,261 | 876,548 |
| Swisher Hygiene, Inc. (a) | | 1,321 | 1,400 |
| Tetra Tech, Inc. | | 5,155 | 143,257 |
| U.S. Ecology, Inc. | | 1,826 | 69,096 |
| West Corp. | | 7,183 | 183,167 |
| | | | 4,257,199 |
| Construction & Engineering - 0.1% | | | |
| Abengoa SA sponsored ADR Class B (b) | | 767 | 1,580 |
| Aegion Corp. (a) | | 3,503 | 77,206 |
| Great Lakes Dredge & Dock Corp. (a) | | 5,548 | 25,132 |
| Integrated Electrical Services, Inc. (a) | | 1,933 | 14,749 |
| Layne Christensen Co. (a) | | 1,958 | 11,533 |
| MYR Group, Inc. (a) | | 1,881 | 39,877 |
| Northwest Pipe Co. (a) | | 1,056 | 12,524 |
| NV5 Holdings, Inc. (a) | | 766 | 17,794 |
| Primoris Services Corp. | | 4,767 | 110,022 |
| Sterling Construction Co., Inc. (a) | | 3,088 | 16,830 |
| | | | 327,247 |
| Electrical Equipment - 0.1% | | | |
| Active Power, Inc. (a)(b) | | 2,026 | 3,039 |
| Allied Motion Technologies, Inc. | | 861 | 20,561 |
| American Superconductor Corp. (a) | | 1,565 | 7,371 |
| Ballard Power Systems, Inc. (a) | | 10,797 | 13,421 |
| Broadwind Energy, Inc. (a) | | 794 | 1,540 |
| Capstone Turbine Corp. (a)(b) | | 1,379 | 2,179 |
| Encore Wire Corp. | | 1,557 | 67,994 |
| Energy Focus, Inc. (a)(b) | | 894 | 14,313 |
| Enphase Energy, Inc. (a)(b) | | 3,081 | 5,145 |
| Franklin Electric Co., Inc. | | 4,038 | 131,679 |
| FuelCell Energy, Inc. (a)(b) | | 38,422 | 33,204 |
| Highpower International, Inc. (a) | | 1,028 | 2,991 |
| Hydrogenics Corp. (a)(b) | | 565 | 6,260 |
| Jinpan International Ltd. | | 1,563 | 6,205 |
| LSI Industries, Inc. | | 2,660 | 31,441 |
| Ocean Power Technologies, Inc. (a) | | 127 | 329 |
| Plug Power, Inc. (a)(b) | | 17,590 | 38,698 |
| Powell Industries, Inc. | | 1,273 | 44,695 |
| Power Solutions International, Inc. (a)(b) | | 939 | 22,104 |
| Preformed Line Products Co. | | 402 | 16,832 |
| Real Goods Solar, Inc. (a) | | 120 | 53 |
| Revolution Lighting Technologies, Inc. (a)(b) | | 20,379 | 18,952 |
| SolarCity Corp. (a)(b) | | 8,394 | 241,411 |
| Sunrun, Inc. (a)(b) | | 8,196 | 54,503 |
| Ultralife Corp. (a) | | 1,981 | 13,669 |
| Vicor Corp. (a) | | 2,432 | 22,520 |
| | | | 821,109 |
| Industrial Conglomerates - 0.0% | | | |
| Raven Industries, Inc. | | 3,248 | 54,144 |
| Machinery - 0.6% | | | |
| Altra Industrial Motion Corp. | | 2,547 | 71,367 |
| American Railcar Industries, Inc. | | 1,856 | 104,920 |
| ARC Group Worldwide, Inc. (a) | | 1,356 | 2,509 |
| Astec Industries, Inc. | | 1,991 | 80,237 |
| Blue Bird Corp. (a)(b) | | 2,636 | 28,680 |
| Chart Industries, Inc. (a) | | 2,689 | 57,356 |
| Columbus McKinnon Corp. (NY Shares) | | 1,947 | 40,186 |
| Commercial Vehicle Group, Inc. (a) | | 2,980 | 10,132 |
| Dynamic Materials Corp. | | 990 | 7,643 |
| Eastern Co. | | 780 | 13,907 |
| Energy Recovery, Inc. (a)(b) | | 5,722 | 41,999 |
| ExOne Co. (a)(b) | | 1,094 | 10,852 |
| FreightCar America, Inc. | | 1,001 | 24,274 |
| Hardinge, Inc. | | 1,793 | 17,446 |
| Hurco Companies, Inc. | | 1,651 | 43,999 |
| Jason Industries, Inc. (a) | | 2,281 | 8,075 |
| Kornit Digital Ltd. (a) | | 3,196 | 37,873 |
| L.B. Foster Co. Class A | | 740 | 9,176 |
| Lincoln Electric Holdings, Inc. | | 6,430 | 362,974 |
| Manitex International, Inc. (a)(b) | | 1,201 | 7,470 |
| Middleby Corp. (a) | | 4,838 | 532,374 |
| NN, Inc. | | 1,928 | 32,872 |
| Nordson Corp. | | 5,087 | 368,960 |
| Omega Flex, Inc. | | 792 | 31,704 |
| PACCAR, Inc. | | 29,908 | 1,554,020 |
| RBC Bearings, Inc. (a) | | 1,988 | 140,393 |
| Sun Hydraulics Corp. | | 2,310 | 76,068 |
| TriMas Corp. (a) | | 4,191 | 90,651 |
| Twin Disc, Inc. | | 759 | 8,766 |
| Westport Innovations, Inc. (a) | | 4,755 | 11,697 |
| Woodward, Inc. | | 5,318 | 268,187 |
| | | | 4,096,767 |
| Marine - 0.0% | | | |
| Diana Containerships, Inc. | | 3,301 | 3,133 |
| DryShips, Inc. (b) | | 62,814 | 10,038 |
| Eagle Bulk Shipping, Inc. (a) | | 4,075 | 12,347 |
| Euroseas Ltd. (a) | | 301 | 897 |
| Golden Ocean Group Ltd. | | 2,057 | 3,476 |
| Rand Logistics, Inc. (a) | | 2,320 | 4,895 |
| Star Bulk Carriers Corp. (a)(b) | | 19,973 | 19,176 |
| Ultrapetrol (Bahamas) Ltd. (a) | | 12,815 | 5,382 |
| | | | 59,344 |
| Professional Services - 0.4% | | | |
| 51job, Inc. sponsored ADR (a) | | 2,228 | 70,761 |
| Acacia Research Corp. | | 3,936 | 23,262 |
| Advisory Board Co. (a) | | 3,740 | 201,362 |
| CRA International, Inc. (a) | | 1,056 | 24,098 |
| Exponent, Inc. | | 2,219 | 114,567 |
| Heidrick & Struggles International, Inc. | | 1,656 | 47,792 |
| Hudson Global, Inc. (a) | | 2,146 | 5,107 |
| Huron Consulting Group, Inc. (a) | | 1,826 | 105,926 |
| ICF International, Inc. (a) | | 1,751 | 62,388 |
| Kelly Services, Inc. Class A (non-vtg.) | | 6,006 | 101,081 |
| Kforce, Inc. | | 2,366 | 63,740 |
| Odyssey Marine Exploration, Inc. (a)(b) | | 8,617 | 2,585 |
| Pendrell Corp. (a) | | 17,657 | 9,415 |
| Resources Connection, Inc. | | 3,707 | 67,653 |
| RPX Corp. (a) | | 5,123 | 71,056 |
| Towers Watson & Co. | | 5,845 | 786,211 |
| Verisk Analytics, Inc. (a) | | 14,289 | 1,070,961 |
| VSE Corp. | | 435 | 26,879 |
| | | | 2,854,844 |
| Road & Rail - 0.5% | | | |
| AMERCO | | 1,668 | 676,207 |
| ArcBest Corp. | | 2,217 | 53,385 |
| Avis Budget Group, Inc. (a) | | 8,846 | 330,752 |
| Covenant Transport Group, Inc. Class A (a) | | 1,246 | 26,178 |
| Heartland Express, Inc. (b) | | 7,664 | 146,842 |
| J.B. Hunt Transport Services, Inc. | | 9,724 | 760,806 |
| Landstar System, Inc. | | 3,685 | 230,018 |
| Marten Transport Ltd. | | 2,583 | 46,701 |
| Old Dominion Freight Lines, Inc. (a) | | 7,247 | 461,706 |
| P.A.M. Transportation Services, Inc. (a) | | 629 | 19,430 |
| Patriot Transportation Holding, Inc. (a) | | 314 | 7,392 |
| Saia, Inc. (a) | | 2,089 | 51,201 |
| Student Transportation, Inc. | | 8,861 | 36,560 |
| U.S.A. Truck, Inc. (a) | | 924 | 18,425 |
| Universal Truckload Services, Inc. | | 2,814 | 45,699 |
| Werner Enterprises, Inc. | | 5,910 | 159,334 |
| YRC Worldwide, Inc. (a) | | 2,778 | 47,032 |
| | | | 3,117,668 |
| Trading Companies & Distributors - 0.3% | | | |
| Beacon Roofing Supply, Inc. (a) | | 4,930 | 210,856 |
| DXP Enterprises, Inc. (a) | | 1,289 | 42,215 |
| Fastenal Co. (b) | | 24,464 | 992,749 |
| General Finance Corp. (a) | | 2,975 | 13,150 |
| H&E Equipment Services, Inc. | | 2,838 | 56,788 |
| HD Supply Holdings, Inc. (a) | | 16,972 | 536,824 |
| Houston Wire & Cable Co. | | 1,694 | 10,537 |
| Lawson Products, Inc. (a) | | 880 | 24,622 |
| Rush Enterprises, Inc. Class A (a) | | 3,061 | 74,474 |
| Stock Building Supply Holdings, Inc. (a) | | 1,928 | 33,142 |
| Titan Machinery, Inc. (a) | | 1,826 | 22,953 |
| Willis Lease Finance Corp. (a) | | 1,257 | 21,985 |
| | | | 2,040,295 |
| Transportation Infrastructure - 0.0% | | | |
| Grupo Aeroportuario Norte S.A.B. de CV ADR | | 677 | 27,473 |
|
| TOTAL INDUSTRIALS | | | 26,725,806 |
|
| INFORMATION TECHNOLOGY - 46.9% | | | |
| Communications Equipment - 3.6% | | | |
| ADTRAN, Inc. | | 4,666 | 76,102 |
| Alliance Fiber Optic Products, Inc. | | 1,798 | 28,516 |
| Applied Optoelectronics, Inc. (a) | | 1,833 | 34,369 |
| Arris Group, Inc. (a) | | 13,168 | 402,546 |
| AudioCodes Ltd. (a) | | 4,356 | 19,079 |
| Aviat Networks, Inc. (a) | | 11,195 | 10,411 |
| Bel Fuse, Inc. Class B (non-vtg.) | | 803 | 16,638 |
| Black Box Corp. | | 1,716 | 19,408 |
| Brocade Communications Systems, Inc. | | 35,796 | 335,945 |
| CalAmp Corp. (a) | | 3,387 | 62,592 |
| Ceragon Networks Ltd. (a)(b) | | 8,888 | 12,443 |
| Cisco Systems, Inc. | | 432,668 | 11,790,203 |
| Clearfield, Inc. (a)(b) | | 1,434 | 19,373 |
| ClearOne, Inc. | | 1,153 | 15,001 |
| CommScope Holding Co., Inc. (a) | | 16,243 | 464,875 |
| Communications Systems, Inc. | | 1,921 | 15,118 |
| Digi International, Inc. (a) | | 2,949 | 36,892 |
| DragonWave, Inc. (a) | | 3,074 | 414 |
| EchoStar Holding Corp. Class A (a) | | 3,898 | 152,451 |
| EMCORE Corp. (a) | | 2,699 | 19,568 |
| EXFO, Inc. (sub. vtg.) (a) | | 1,987 | 6,770 |
| Extreme Networks, Inc. (a) | | 7,734 | 34,184 |
| F5 Networks, Inc. (a) | | 6,047 | 622,841 |
| Finisar Corp. (a) | | 8,464 | 102,160 |
| Gilat Satellite Networks Ltd. (a) | | 5,324 | 20,977 |
| Harmonic, Inc. (a) | | 8,690 | 48,056 |
| Infinera Corp. (a) | | 12,067 | 271,749 |
| InterDigital, Inc. | | 2,977 | 156,858 |
| Ituran Location & Control Ltd. | | 2,750 | 55,550 |
| Ixia (a) | | 6,600 | 86,196 |
| KVH Industries, Inc. (a) | | 2,327 | 22,944 |
| Lumentum Holdings, Inc. (a) | | 4,730 | 94,600 |
| Mitel Networks Corp. (a) | | 10,177 | 88,438 |
| MRV Communications, Inc. (a) | | 712 | 10,210 |
| NETGEAR, Inc. (a) | | 2,795 | 123,287 |
| NetScout Systems, Inc. (a) | | 8,430 | 279,033 |
| Novatel Wireless, Inc. (a)(b) | | 4,391 | 8,079 |
| NumereX Corp. Class A (a) | | 1,824 | 11,965 |
| Oclaro, Inc. (a)(b) | | 10,437 | 35,903 |
| Parkervision, Inc. (a)(b) | | 8,983 | 1,436 |
| PC-Tel, Inc. | | 2,448 | 13,048 |
| Polycom, Inc. (a) | | 11,058 | 150,721 |
| QUALCOMM, Inc. | | 134,088 | 6,542,154 |
| Radcom Ltd. (a) | | 1,332 | 15,211 |
| Radware Ltd. (a) | | 3,758 | 61,782 |
| ShoreTel, Inc. (a) | | 5,946 | 61,006 |
| Sierra Wireless, Inc. (a)(b) | | 2,884 | 49,980 |
| Silicom Ltd. | | 759 | 21,335 |
| Sonus Networks, Inc. (a) | | 4,955 | 34,883 |
| Telefonaktiebolaget LM Ericsson (B Shares) sponsored ADR | | 23,017 | 223,035 |
| Tessco Technologies, Inc. | | 761 | 16,164 |
| Ubiquiti Networks, Inc. (a)(b) | | 7,694 | 268,444 |
| UTStarcom Holdings Corp. (a) | | 3,043 | 7,364 |
| ViaSat, Inc. (a)(b) | | 4,027 | 249,593 |
| Viavi Solutions, Inc. (a) | | 20,427 | 129,916 |
| Westell Technologies, Inc. Class A (a) | | 6,108 | 8,734 |
| Wi-Lan, Inc. | | 15,902 | 17,742 |
| | | | 23,484,292 |
| Electronic Equipment & Components - 1.0% | | | |
| Agilysys, Inc. (a) | | 2,310 | 25,641 |
| CDW Corp. | | 14,454 | 623,979 |
| Cognex Corp. | | 7,280 | 270,088 |
| Coherent, Inc. (a) | | 2,532 | 171,973 |
| CUI Global, Inc. (a)(b) | | 2,294 | 16,035 |
| Daktronics, Inc. | | 3,867 | 33,527 |
| Deswell Industries, Inc. | | 1,887 | 2,661 |
| DTS, Inc. (a) | | 1,326 | 34,118 |
| Echelon Corp. (a) | | 4,026 | 2,566 |
| Electro Rent Corp. | | 2,376 | 24,592 |
| ePlus, Inc. (a) | | 629 | 55,472 |
| FARO Technologies, Inc. (a) | | 1,518 | 45,677 |
| FEI Co. | | 3,613 | 289,076 |
| Flextronics International Ltd. (a) | | 47,921 | 539,111 |
| FLIR Systems, Inc. | | 13,260 | 405,226 |
| Frequency Electronics, Inc. (a) | | 1,201 | 12,659 |
| GSI Group, Inc. (a) | | 3,300 | 47,289 |
| Hollysys Automation Technologies Ltd. | | 5,053 | 104,041 |
| I. D. Systems Inc. (a) | | 1,321 | 4,980 |
| Identiv, Inc. (a) | | 673 | 1,985 |
| II-VI, Inc. (a) | | 5,226 | 97,308 |
| Insight Enterprises, Inc. (a) | | 3,104 | 83,125 |
| IPG Photonics Corp. (a) | | 4,557 | 415,553 |
| Itron, Inc. (a) | | 3,379 | 121,475 |
| Kimball Electronics, Inc. (a) | | 3,141 | 35,996 |
| Littelfuse, Inc. | | 2,256 | 244,911 |
| LoJack Corp. (a) | | 2,311 | 8,389 |
| Maxwell Technologies, Inc. (a)(b) | | 2,409 | 17,008 |
| Mercury Systems, Inc. (a) | | 3,509 | 68,706 |
| Mesa Laboratories, Inc. | | 387 | 41,873 |
| MicroVision, Inc. (a)(b) | | 5,743 | 14,415 |
| MTS Systems Corp. | | 1,262 | 80,288 |
| Multi-Fineline Electronix, Inc. (a) | | 2,448 | 60,417 |
| National Instruments Corp. | | 10,960 | 344,144 |
| Neonode, Inc. (a)(b) | | 3,049 | 8,415 |
| NetList, Inc. (a)(b) | | 4,994 | 4,470 |
| Newport Corp. (a) | | 3,870 | 64,203 |
| Orbotech Ltd. (a) | | 3,771 | 77,042 |
| OSI Systems, Inc. (a) | | 1,562 | 146,250 |
| PC Connection, Inc. | | 2,747 | 61,313 |
| PC Mall, Inc. (a) | | 2,130 | 19,596 |
| Plexus Corp. (a) | | 3,074 | 114,353 |
| RadiSys Corp. (a) | | 2,052 | 5,438 |
| Research Frontiers, Inc. (a)(b) | | 2,868 | 14,397 |
| Richardson Electronics Ltd. | | 1,058 | 5,957 |
| Rofin-Sinar Technologies, Inc. (a) | | 2,453 | 70,499 |
| Sanmina Corp. (a) | | 6,772 | 153,521 |
| ScanSource, Inc. (a) | | 2,359 | 90,633 |
| Speed Commerce, Inc. (a) | | 3,202 | 473 |
| Supercom Ltd. (a) | | 1,798 | 8,271 |
| Tech Data Corp. (a) | | 2,982 | 201,732 |
| Trimble Navigation Ltd. (a) | | 21,795 | 499,106 |
| TTM Technologies, Inc. (a) | | 7,478 | 58,628 |
| Uni-Pixel, Inc. (a)(b) | | 2,860 | 2,074 |
| Universal Display Corp. (a) | | 3,986 | 209,504 |
| Zebra Technologies Corp. Class A (a) | | 4,356 | 349,351 |
| | | | 6,509,530 |
| Internet Software & Services - 12.3% | | | |
| 21Vianet Group, Inc. ADR (a) | | 4,562 | 95,026 |
| Actua Corp. (a) | | 4,188 | 48,539 |
| Akamai Technologies, Inc. (a) | | 15,185 | 874,808 |
| Alarm.com Holdings, Inc. | | 4,366 | 76,754 |
| Alphabet, Inc.: | | | |
| Class A (a) | | 24,744 | 18,875,960 |
| Class C | | 29,326 | 21,777,488 |
| Angie's List, Inc. (a) | | 5,678 | 61,379 |
| Apigee Corp. | | 2,388 | 17,003 |
| AppFolio, Inc. (a) | | 906 | 14,849 |
| Autobytel, Inc. (a) | | 765 | 18,796 |
| Baidu.com, Inc. sponsored ADR (a) | | 23,651 | 5,155,208 |
| Bazaarvoice, Inc. (a) | | 9,372 | 43,392 |
| Benefitfocus, Inc. (a)(b) | | 2,641 | 107,013 |
| Blucora, Inc. (a)(b) | | 3,773 | 40,107 |
| Brightcove, Inc. (a) | | 3,168 | 22,113 |
| Carbonite, Inc. (a) | | 3,187 | 31,073 |
| China Finance Online Co. Ltd. ADR (a)(b) | | 2,013 | 8,434 |
| ChinaCache International Holdings Ltd. sponsored ADR (a) | | 1,294 | 9,550 |
| Cimpress NV (a)(b) | | 2,817 | 259,840 |
| comScore, Inc. (a) | | 3,411 | 143,603 |
| Constant Contact, Inc. (a) | | 2,640 | 82,606 |
| Cornerstone OnDemand, Inc. (a) | | 4,664 | 167,484 |
| CoStar Group, Inc. (a) | | 2,731 | 571,434 |
| Criteo SA sponsored ADR (a) | | 4,483 | 182,727 |
| EarthLink Holdings Corp. | | 9,801 | 90,071 |
| eBay, Inc. (a) | | 104,004 | 3,077,478 |
| eGain Communications Corp. (a) | | 4,312 | 19,835 |
| Endurance International Group Holdings, Inc. (a)(b) | | 11,625 | 162,401 |
| Facebook, Inc. Class A (a) | | 192,646 | 20,081,419 |
| Five9, Inc. (a) | | 6,178 | 41,084 |
| GigaMedia Ltd. (a) | | 4,687 | 3,136 |
| Global Sources Ltd. (a) | | 2,508 | 22,572 |
| Gogo, Inc. (a)(b) | | 7,034 | 126,260 |
| HomeAway, Inc. (a) | | 8,171 | 288,927 |
| Hortonworks, Inc. (b) | | 3,849 | 65,395 |
| IAC/InterActiveCorp | | 6,563 | 412,091 |
| Internap Network Services Corp. (a) | | 5,023 | 36,065 |
| iPass, Inc. (a) | | 12,842 | 13,227 |
| j2 Global, Inc. | | 4,159 | 334,675 |
| Limelight Networks, Inc. (a) | | 9,367 | 15,830 |
| Liquidity Services, Inc. (a) | | 2,613 | 17,821 |
| Live Ventures, Inc. (a)(b) | | 1,459 | 2,334 |
| LivePerson, Inc. (a) | | 5,049 | 39,382 |
| LogMeIn, Inc. (a) | | 2,161 | 154,339 |
| Marchex, Inc. Class B | | 6,264 | 26,685 |
| Marketo, Inc. (a) | | 3,873 | 117,236 |
| MercadoLibre, Inc. (b) | | 3,768 | 464,368 |
| Momo, Inc. ADR | | 3,625 | 48,104 |
| Net Element International, Inc. (a) | | 2,126 | 510 |
| NetEase, Inc. sponsored ADR | | 6,415 | 1,069,124 |
| NIC, Inc. | | 6,179 | 126,113 |
| Perion Network Ltd. (a) | | 7,399 | 16,352 |
| Points International Ltd. (a) | | 1,753 | 18,529 |
| QuinStreet, Inc. (a) | | 6,180 | 30,220 |
| Qumu Corp. (a) | | 868 | 2,699 |
| RealNetworks, Inc. (a) | | 5,593 | 23,155 |
| Rediff.com India Ltd. sponsored ADR (a) | | 1,320 | 1,399 |
| Reis, Inc. | | 1,249 | 31,262 |
| RetailMeNot, Inc. (a) | | 4,521 | 44,125 |
| Rightside Group Ltd. (a)(b) | | 2,668 | 21,051 |
| Rocket Fuel, Inc. (a)(b) | | 5,915 | 20,643 |
| SciQuest, Inc. (a) | | 2,731 | 35,257 |
| Sify Technologies Ltd. sponsored ADR | | 13,742 | 16,078 |
| SINA Corp. (a) | | 5,119 | 258,868 |
| Sohu.com, Inc. (a) | | 3,150 | 158,288 |
| SPS Commerce, Inc. (a) | | 1,504 | 111,777 |
| Stamps.com, Inc. (a) | | 1,485 | 150,520 |
| TechTarget, Inc. (a) | | 3,300 | 28,545 |
| TheStreet.com, Inc. | | 5,886 | 10,065 |
| Travelzoo, Inc. (a) | | 1,651 | 14,034 |
| Tucows, Inc. (a)(b) | | 1,270 | 30,277 |
| United Online, Inc. (a) | | 2,204 | 25,346 |
| Unwired Planet, Inc. (a) | | 14,392 | 13,960 |
| VeriSign, Inc. (a)(b) | | 9,641 | 862,291 |
| Web.com Group, Inc. (a) | | 4,500 | 108,945 |
| WebMD Health Corp. (a) | | 3,223 | 146,614 |
| Weibo Corp. sponsored ADR (a) | | 4,340 | 80,724 |
| Wix.com Ltd. (a) | | 3,549 | 88,193 |
| Xunlei Ltd. sponsored ADR (a) | | 2,184 | 16,162 |
| Yahoo!, Inc. (a) | | 80,762 | 2,730,563 |
| Yandex NV (a) | | 21,149 | 351,708 |
| YY, Inc. ADR (a) | | 2,620 | 158,720 |
| Zillow Group, Inc. (a)(b) | | 4,570 | 118,957 |
| Zillow Group, Inc. Class C (a)(b) | | 9,967 | 245,687 |
| | | | 81,512,682 |
| IT Services - 2.8% | | | |
| 6D Global Technologies, Inc. (a)(b) | | 6,913 | 20,117 |
| Acxiom Corp. (a) | | 6,385 | 146,217 |
| Amdocs Ltd. | | 12,945 | 732,299 |
| Automatic Data Processing, Inc. | | 39,385 | 3,397,350 |
| Blackhawk Network Holdings, Inc. (a) | | 4,504 | 213,264 |
| BluePhoenix Solutions Ltd. (a) | | 693 | 1,386 |
| Cardtronics, Inc. (a) | | 3,933 | 147,920 |
| Cass Information Systems, Inc. | | 1,023 | 55,109 |
| China Information Technology, Inc. (a) | | 4,656 | 6,565 |
| Cognizant Technology Solutions Corp. Class A (a) | | 51,830 | 3,347,181 |
| Computer Task Group, Inc. | | 3,019 | 20,318 |
| CSG Systems International, Inc. | | 2,976 | 106,332 |
| Datalink Corp. (a) | | 1,986 | 14,597 |
| Euronet Worldwide, Inc. (a) | | 4,544 | 353,160 |
| ExlService Holdings, Inc. (a) | | 2,904 | 135,820 |
| Fiserv, Inc. (a) | | 19,948 | 1,919,796 |
| Forrester Research, Inc. | | 1,638 | 53,464 |
| Hackett Group, Inc. | | 2,747 | 52,028 |
| Information Services Group, Inc. | | 3,765 | 14,043 |
| Innodata, Inc. (a) | | 2,773 | 8,069 |
| Jack Henry & Associates, Inc. | | 6,664 | 528,988 |
| Lionbridge Technologies, Inc. (a) | | 6,670 | 35,351 |
| ManTech International Corp. Class A | | 1,754 | 58,741 |
| Mattersight Corp. (a) | | 2,313 | 16,399 |
| ModusLink Global Solutions, Inc. (a)(b) | | 7,199 | 19,653 |
| MoneyGram International, Inc. (a) | | 5,850 | 51,363 |
| NCI, Inc. Class A | | 1,067 | 17,616 |
| Net 1 UEPS Technologies, Inc. (a) | | 4,394 | 66,481 |
| Paychex, Inc. | | 30,739 | 1,667,591 |
| PayPal Holdings, Inc. (a) | | 104,317 | 3,678,217 |
| Perficient, Inc. (a) | | 3,334 | 58,278 |
| PFSweb, Inc. (a) | | 1,562 | 20,587 |
| Planet Payment, Inc. (a) | | 6,783 | 19,332 |
| PRG-Schultz International, Inc. (a) | | 3,801 | 14,938 |
| QIWI PLC Class B sponsored ADR (b) | | 4,130 | 78,842 |
| Sabre Corp. | | 23,244 | 680,119 |
| Sykes Enterprises, Inc. (a) | | 3,762 | 119,707 |
| Syntel, Inc. (a) | | 7,138 | 345,693 |
| Teletech Holdings, Inc. | | 4,294 | 124,612 |
| Virtusa Corp. (a) | | 2,514 | 123,815 |
| | | | 18,471,358 |
| Semiconductors & Semiconductor Equipment - 7.8% | | | |
| Advanced Energy Industries, Inc. (a) | | 3,300 | 96,261 |
| Advanced Micro Devices, Inc. (a)(b) | | 70,653 | 166,741 |
| Aixtron AG sponsored ADR (a) | | 404 | 3,218 |
| Alpha & Omega Semiconductor Ltd. (a) | | 2,522 | 24,564 |
| Altera Corp. | | 25,614 | 1,352,419 |
| Ambarella, Inc. (a)(b) | | 2,644 | 166,070 |
| Amkor Technology, Inc. (a) | | 20,247 | 137,680 |
| Amtech Systems, Inc. (a) | | 869 | 3,841 |
| ANADIGICS, Inc. (a) | | 13,578 | 4,746 |
| Analog Devices, Inc. | | 26,860 | 1,655,382 |
| Applied Materials, Inc. | | 101,733 | 1,909,528 |
| Applied Micro Circuits Corp. (a)(b) | | 7,278 | 53,275 |
| ARM Holdings PLC sponsored ADR (b) | | 9,812 | 497,468 |
| ASML Holding NV (b) | | 5,051 | 468,329 |
| Atmel Corp. | | 36,008 | 311,469 |
| Avago Technologies Ltd. | | 22,201 | 2,896,120 |
| Axcelis Technologies, Inc. (a) | | 10,033 | 26,487 |
| AXT, Inc. (a) | | 9,732 | 23,357 |
| Broadcom Corp. Class A | | 47,620 | 2,601,481 |
| Brooks Automation, Inc. | | 6,213 | 69,275 |
| Cabot Microelectronics Corp. (a) | | 2,151 | 90,256 |
| Camtek Ltd. (a) | | 7,619 | 18,819 |
| Canadian Solar, Inc. (a)(b) | | 4,879 | 112,363 |
| Cascade Microtech, Inc. (a) | | 1,761 | 28,616 |
| Cavium, Inc. (a) | | 4,764 | 319,712 |
| Ceva, Inc. (a) | | 1,662 | 42,198 |
| China Sunergy Co. Ltd. ADR (a) | | 962 | 952 |
| ChipMOS TECHNOLOGIES (Bermuda) Ltd. | | 2,359 | 45,552 |
| Cirrus Logic, Inc. (a) | | 5,317 | 175,780 |
| Cohu, Inc. | | 1,947 | 25,525 |
| Cree, Inc. (a)(b) | | 9,075 | 250,833 |
| Cypress Semiconductor Corp. | | 27,959 | 302,516 |
| Diodes, Inc. (a) | | 4,356 | 101,451 |
| DSP Group, Inc. (a) | | 2,871 | 29,945 |
| Entegris, Inc. (a) | | 11,484 | 156,412 |
| EZchip Semiconductor Ltd. (a) | | 2,690 | 66,873 |
| Fairchild Semiconductor International, Inc. (a) | | 9,720 | 189,929 |
| First Solar, Inc. (a) | | 8,674 | 490,168 |
| FormFactor, Inc. (a) | | 5,260 | 45,815 |
| GSI Technology, Inc. (a) | | 4,839 | 19,356 |
| Hanwha Solarone Co. Ltd. sponsored ADR (a)(b) | | 389 | 7,068 |
| Himax Technologies, Inc. sponsored ADR (b) | | 8,884 | 67,785 |
| Integrated Device Technology, Inc. (a) | | 12,816 | 359,361 |
| Integrated Silicon Solution, Inc. | | 2,217 | 50,747 |
| Intel Corp. | | 404,408 | 14,061,266 |
| Intermolecular, Inc. (a) | | 7,945 | 18,035 |
| Intersil Corp. Class A | | 10,863 | 157,296 |
| IXYS Corp. | | 2,739 | 34,867 |
| JA Solar Holdings Co. Ltd. ADR (a)(b) | | 3,771 | 32,921 |
| KLA-Tencor Corp. | | 13,449 | 893,955 |
| Kopin Corp. (a) | | 7,266 | 20,853 |
| Kulicke & Soffa Industries, Inc. (a) | | 6,370 | 75,230 |
| Lam Research Corp. | | 13,445 | 1,051,399 |
| Lattice Semiconductor Corp. (a) | | 10,759 | 67,674 |
| Linear Technology Corp. | | 20,211 | 924,047 |
| M/A-COM Technology Solutions Holdings, Inc. (a)(b) | | 4,539 | 167,716 |
| Marvell Technology Group Ltd. | | 43,873 | 388,715 |
| Mattson Technology, Inc. (a) | | 11,828 | 35,247 |
| Maxim Integrated Products, Inc. | | 24,286 | 941,568 |
| Mellanox Technologies Ltd. (a) | | 3,972 | 178,502 |
| Microchip Technology, Inc. | | 17,741 | 856,535 |
| Micron Technology, Inc. (a) | | 92,998 | 1,481,458 |
| Microsemi Corp. (a) | | 8,192 | 294,994 |
| MKS Instruments, Inc. | | 4,802 | 177,050 |
| Monolithic Power Systems, Inc. | | 3,123 | 213,395 |
| MoSys, Inc. (a) | | 7,701 | 9,318 |
| Nanometrics, Inc. (a) | | 1,755 | 27,659 |
| Nova Measuring Instruments Ltd. (a) | | 3,357 | 35,416 |
| NVE Corp. | | 495 | 29,482 |
| NVIDIA Corp. | | 45,921 | 1,456,614 |
| NXP Semiconductors NV (a) | | 21,460 | 2,005,652 |
| O2Micro International Ltd. sponsored ADR (a) | | 3,570 | 6,248 |
| Omnivision Technologies, Inc. (a) | | 5,164 | 150,789 |
| ON Semiconductor Corp. (a) | | 35,539 | 389,507 |
| PDF Solutions, Inc. (a) | | 2,970 | 33,116 |
| Photronics, Inc. (a) | | 6,078 | 66,676 |
| Pixelworks, Inc. (a) | | 1,300 | 3,341 |
| PMC-Sierra, Inc. (a) | | 16,438 | 194,462 |
| Power Integrations, Inc. | | 2,946 | 152,308 |
| Qorvo, Inc. (a) | | 12,830 | 745,038 |
| QuickLogic Corp. (a) | | 9,088 | 11,905 |
| Rambus, Inc. (a)(b) | | 9,804 | 116,962 |
| Rubicon Technology, Inc. (a) | | 2,085 | 2,085 |
| SemiLEDs Corp. (a) | | 2,414 | 1,086 |
| Semtech Corp. (a) | | 5,715 | 114,872 |
| Sigma Designs, Inc. (a) | | 3,593 | 31,205 |
| Silicon Laboratories, Inc. (a) | | 3,578 | 193,606 |
| Silicon Motion Technology Corp. sponsored ADR | | 2,707 | 90,062 |
| Siliconware Precision Industries Co. Ltd. sponsored ADR (b) | | 4,637 | 31,253 |
| Skyworks Solutions, Inc. | | 16,151 | 1,340,856 |
| SolarEdge Technologies, Inc. (b) | | 3,468 | 68,077 |
| SunEdison Semiconductor Ltd. (a) | | 3,444 | 32,890 |
| SunPower Corp. (a)(b) | | 11,927 | 285,771 |
| Synaptics, Inc. (a) | | 3,172 | 284,750 |
| Tessera Technologies, Inc. | | 4,425 | 140,936 |
| Texas Instruments, Inc. | | 87,287 | 5,073,120 |
| Tower Semiconductor Ltd. (a) | | 7,198 | 113,872 |
| Ultra Clean Holdings, Inc. (a) | | 2,344 | 11,884 |
| Ultratech, Inc. (a) | | 2,183 | 36,260 |
| Veeco Instruments, Inc. (a) | | 3,302 | 67,526 |
| Vimicro International Corp. sponsored ADR (a) | | 2,369 | 31,460 |
| Xilinx, Inc. | | 21,656 | 1,076,087 |
| | | | 52,000,617 |
| Software - 9.9% | | | |
| ACI Worldwide, Inc. (a) | | 10,395 | 244,490 |
| Activision Blizzard, Inc. | | 61,996 | 2,334,769 |
| Adobe Systems, Inc. (a) | | 42,319 | 3,870,496 |
| Allot Communications Ltd. (a)(b) | | 3,650 | 19,272 |
| American Software, Inc. Class A | | 2,461 | 25,471 |
| ANSYS, Inc. (a) | | 7,641 | 712,218 |
| Aspen Technology, Inc. (a)(b) | | 7,173 | 315,253 |
| Attunity Ltd. (a) | | 1,633 | 22,323 |
| Autodesk, Inc. (a) | | 19,180 | 1,217,355 |
| Blackbaud, Inc. | | 4,083 | 252,248 |
| Bottomline Technologies, Inc. (a) | | 3,411 | 105,434 |
| BroadSoft, Inc. (a) | | 2,320 | 92,870 |
| CA Technologies, Inc. | | 38,328 | 1,077,400 |
| Cadence Design Systems, Inc. (a) | | 25,015 | 557,835 |
| Callidus Software, Inc. (a) | | 4,887 | 101,405 |
| CDK Global, Inc. | | 13,704 | 649,707 |
| Changyou.com Ltd. (A Shares) ADR (a) | | 1,740 | 38,785 |
| Check Point Software Technologies Ltd. (a)(b) | | 15,328 | 1,337,981 |
| Citrix Systems, Inc. (a) | | 13,673 | 1,048,309 |
| Code Rebel Corp. (b) | | 1,524 | 5,700 |
| CommVault Systems, Inc. (a) | | 3,675 | 150,602 |
| Covisint Corp. (a) | | 5,590 | 14,478 |
| CyberArk Software Ltd. (a) | | 2,715 | 117,532 |
| Datawatch Corp. (a)(b) | | 1,127 | 6,559 |
| Descartes Systems Group, Inc. (a) | | 7,078 | 141,353 |
| Digimarc Corp. (a)(b) | | 858 | 30,528 |
| Digital Turbine, Inc. (a) | | 7,559 | 11,641 |
| Ebix, Inc. (b) | | 2,817 | 105,666 |
| Electronic Arts, Inc. (a) | | 26,519 | 1,797,723 |
| EnerNOC, Inc. (a)(b) | | 2,981 | 12,699 |
| EPIQ Systems, Inc. | | 3,300 | 44,649 |
| FalconStor Software, Inc. (a)(b) | | 5,578 | 10,766 |
| FireEye, Inc. (a)(b) | | 13,697 | 313,387 |
| Fortinet, Inc. (a) | | 14,180 | 510,764 |
| Glu Mobile, Inc. (a)(b) | | 11,658 | 39,404 |
| Guidance Software, Inc. (a)(b) | | 3,408 | 20,789 |
| Idreamsky Technology Ltd. ADR (a) | | 1,639 | 20,684 |
| Interactive Intelligence Group, Inc. (a) | | 1,975 | 68,059 |
| Intuit, Inc. | | 23,458 | 2,350,492 |
| Jive Software, Inc. (a) | | 5,481 | 27,515 |
| KongZhong Corp. sponsored ADR | | 3,678 | 25,231 |
| Magic Software Enterprises Ltd. | | 6,710 | 36,570 |
| Majesco Entertainment Co. (a) | | 760 | 844 |
| Manhattan Associates, Inc. (a) | | 6,244 | 478,290 |
| Materialise NV ADR (a) | | 1,987 | 15,836 |
| Mentor Graphics Corp. | | 10,147 | 190,053 |
| Microsoft Corp. | | 682,081 | 37,071,102 |
| MicroStrategy, Inc. Class A (a) | | 842 | 145,978 |
| Mitek Systems, Inc. (a)(b) | | 2,054 | 10,784 |
| MobileIron, Inc. (a)(b) | | 9,487 | 41,174 |
| Monotype Imaging Holdings, Inc. | | 3,405 | 89,994 |
| NICE Systems Ltd. sponsored ADR | | 3,170 | 194,860 |
| Nuance Communications, Inc. (a) | | 26,572 | 556,152 |
| Open Text Corp. | | 10,457 | 508,031 |
| Parametric Technology Corp. (a) | | 9,580 | 345,263 |
| Park City Group, Inc. (a)(b) | | 1,985 | 22,927 |
| Paylocity Holding Corp. (a) | | 4,194 | 184,284 |
| Pegasystems, Inc. | | 6,774 | 200,104 |
| Progress Software Corp. (a) | | 4,403 | 105,628 |
| Proofpoint, Inc. (a)(b) | | 3,409 | 249,914 |
| QAD, Inc.: | | | |
| Class A | | 1,753 | 40,687 |
| Class B | | 363 | 7,322 |
| Qlik Technologies, Inc. (a) | | 7,800 | 248,118 |
| Qualys, Inc. (a) | | 2,914 | 112,072 |
| Rapid7, Inc. (a)(b) | | 3,086 | 52,863 |
| RealPage, Inc. (a) | | 6,934 | 154,004 |
| Rovi Corp. (a) | | 7,595 | 89,697 |
| Sapiens International Corp. NV | | 4,216 | 45,870 |
| SeaChange International, Inc. (a) | | 2,877 | 20,053 |
| Smith Micro Software, Inc. (a) | | 2,938 | 2,350 |
| Splunk, Inc. (a) | | 10,837 | 644,802 |
| SS&C Technologies Holdings, Inc. | | 8,243 | 592,672 |
| Symantec Corp. | | 59,566 | 1,166,302 |
| Synchronoss Technologies, Inc. (a) | | 3,648 | 143,622 |
| Synopsys, Inc. (a) | | 13,279 | 665,012 |
| Take-Two Interactive Software, Inc. (a) | | 7,235 | 255,902 |
| Tangoe, Inc. (a)(b) | | 2,884 | 24,802 |
| TeleNav, Inc. (a) | | 3,872 | 27,530 |
| The9 Ltd. sponsored ADR (a) | | 1,722 | 6,802 |
| TiVo, Inc. (a) | | 14,339 | 128,908 |
| Tubemogul, Inc. (a) | | 3,465 | 42,897 |
| Ultimate Software Group, Inc. (a) | | 2,442 | 482,295 |
| Upland Software, Inc. | | 1,679 | 12,307 |
| Varonis Systems, Inc. (a) | | 2,248 | 40,127 |
| Vasco Data Security International, Inc. (a)(b) | | 3,412 | 63,736 |
| Verint Systems, Inc. (a) | | 5,284 | 247,555 |
| Xura, Inc. (a) | | 2,181 | 56,422 |
| Zix Corp. (a) | | 4,888 | 27,422 |
| Zynga, Inc. (a) | | 63,331 | 163,394 |
| | | | 65,863,175 |
| Technology Hardware, Storage & Peripherals - 9.5% | | | |
| Apple, Inc. | | 486,532 | 57,556,729 |
| Astro-Med, Inc. | | 1,241 | 16,816 |
| Avid Technology, Inc. (a) | | 4,180 | 31,726 |
| BlackBerry Ltd. (a)(b) | | 25,371 | 201,760 |
| China TechFaith Wireless Communication Technology Ltd. sponsored ADR (a) | | 2,607 | 1,838 |
| Concurrent Computer Corp. | | 1,544 | 7,674 |
| CPI Card Group (a)(b) | | 5,914 | 57,425 |
| Cray, Inc. (a) | | 3,651 | 126,580 |
| Electronics for Imaging, Inc. (a) | | 4,567 | 224,148 |
| Hutchinson Technology, Inc. (a) | | 2,316 | 8,546 |
| Immersion Corp. (a) | | 2,937 | 39,385 |
| Intevac, Inc. (a) | | 4,851 | 24,109 |
| Logitech International SA | | 14,302 | 213,529 |
| NetApp, Inc. | | 25,585 | 784,436 |
| QLogic Corp. (a) | | 7,134 | 92,029 |
| SanDisk Corp. | | 17,550 | 1,296,419 |
| Seagate Technology LLC | | 25,849 | 929,013 |
| Silicon Graphics International Corp. (a) | | 4,432 | 25,972 |
| Smart Technologies, Inc. Class A (a)(b) | | 29,207 | 10,223 |
| Stratasys Ltd. (a)(b) | | 4,583 | 114,575 |
| Super Micro Computer, Inc. (a)(b) | | 4,036 | 99,124 |
| U.S.A. Technologies, Inc. (a) | | 4,057 | 13,185 |
| Western Digital Corp. | | 19,862 | 1,239,587 |
| | | | 63,114,828 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 310,956,482 |
|
| MATERIALS - 0.4% | | | |
| Chemicals - 0.1% | | | |
| A. Schulman, Inc. | | 2,431 | 84,137 |
| AgroFresh Solutions, Inc. (a) | | 4,876 | 31,450 |
| Balchem Corp. | | 2,846 | 194,923 |
| Burcon NutraScience Corp. (a) | | 2,480 | 3,956 |
| Codexis, Inc. (a) | | 3,780 | 14,440 |
| Gulf Resources, Inc. (a) | | 2,574 | 4,453 |
| Hawkins, Inc. | | 1,018 | 41,738 |
| Innophos Holdings, Inc. | | 1,782 | 52,961 |
| Innospec, Inc. | | 2,506 | 146,350 |
| Marrone Bio Innovations, Inc. (a)(b) | | 2,017 | 3,752 |
| Metabolix, Inc. (a)(b) | | 3,868 | 8,007 |
| Methanex Corp. (b) | | 7,821 | 307,230 |
| Rentech, Inc. (a) | | 1,879 | 5,374 |
| Senomyx, Inc. (a)(b) | | 3,301 | 15,284 |
| | | | 914,055 |
| Construction Materials - 0.0% | | | |
| Tecnoglass, Inc. (a)(b) | | 2,708 | 40,755 |
| U.S. Concrete, Inc. (a) | | 1,214 | 71,298 |
| United States Lime & Minerals, Inc. | | 546 | 28,288 |
| | | | 140,341 |
| Containers & Packaging - 0.1% | | | |
| AEP Industries, Inc. (a) | | 456 | 41,578 |
| Silgan Holdings, Inc. | | 5,225 | 283,874 |
| UFP Technologies, Inc. (a) | | 1,058 | 25,826 |
| | | | 351,278 |
| Metals & Mining - 0.2% | | | |
| Century Aluminum Co. (a) | | 7,624 | 28,438 |
| China Natural Resources, Inc. (a) | | 1,788 | 3,147 |
| Globe Specialty Metals, Inc. | | 6,053 | 61,559 |
| Handy & Harman Ltd. (a) | | 902 | 20,773 |
| Haynes International, Inc. | | 957 | 37,419 |
| Horsehead Holding Corp. (a)(b) | | 4,729 | 11,633 |
| Kaiser Aluminum Corp. | | 1,498 | 128,409 |
| Mountain Province Diamonds, Inc. (a) | | 15,007 | 40,230 |
| Olympic Steel, Inc. | | 1,056 | 11,891 |
| Pan American Silver Corp. | | 13,170 | 91,663 |
| Randgold Resources Ltd. sponsored ADR (b) | | 4,048 | 245,309 |
| Real Industries, Inc. (a) | | 2,174 | 22,349 |
| Royal Gold, Inc. | | 6,031 | 216,814 |
| Schnitzer Steel Industries, Inc. Class A | | 2,153 | 35,546 |
| Silver Standard Resources, Inc. (a)(b) | | 7,294 | 38,342 |
| Steel Dynamics, Inc. | | 20,891 | 363,294 |
| Sutor Technology Group Ltd. (a) | | 867 | 564 |
| Universal Stainless & Alloy Products, Inc. (a) | | 571 | 6,167 |
| | | | 1,363,547 |
| Paper & Forest Products - 0.0% | | | |
| Mercer International, Inc. (SBI) | | 6,325 | 67,361 |
| Pope Resources, Inc. LP | | 468 | 30,083 |
| | | | 97,444 |
|
| TOTAL MATERIALS | | | 2,866,665 |
|
| TELECOMMUNICATION SERVICES - 1.1% | | | |
| Diversified Telecommunication Services - 0.2% | | | |
| 8x8, Inc. (a) | | 7,197 | 84,925 |
| Alaska Communication Systems Group, Inc. (a) | | 4,500 | 8,640 |
| Atlantic Tele-Network, Inc. | | 1,324 | 104,159 |
| B Communications Ltd. | | 2,805 | 72,621 |
| Cogent Communications Group, Inc. | | 3,894 | 130,683 |
| Consolidated Communications Holdings, Inc. | | 6,554 | 142,812 |
| FairPoint Communications, Inc. (a) | | 2,802 | 51,305 |
| Frontier Communications Corp. | | 100,979 | 503,885 |
| General Communications, Inc. Class A (a) | | 3,235 | 67,191 |
| Hawaiian Telcom Holdco, Inc. (a) | | 1,518 | 36,022 |
| inContact, Inc. (a)(b) | | 5,517 | 54,453 |
| Inteliquent, Inc. | | 2,840 | 54,556 |
| Iridium Communications, Inc. (a)(b) | | 8,548 | 69,837 |
| Lumos Networks Corp. | | 1,985 | 23,403 |
| magicJack VocalTec Ltd. (a)(b) | | 1,527 | 14,125 |
| ORBCOMM, Inc. (a) | | 8,106 | 51,959 |
| Towerstream Corp. (a)(b) | | 3,477 | 1,426 |
| Windstream Holdings, Inc. (b) | | 8,409 | 52,388 |
| | | | 1,524,390 |
| Wireless Telecommunication Services - 0.9% | | | |
| America Movil S.A.B. de CV Series A sponsored ADR | | 1,294 | 20,885 |
| Boingo Wireless, Inc. (a)(b) | | 2,739 | 18,132 |
| Leap Wireless International, Inc. rights (a) | | 4,142 | 10,686 |
| NII Holdings, Inc. (a) | | 8,346 | 57,671 |
| NTELOS Holdings Corp. (a) | | 1,985 | 18,202 |
| Partner Communications Co. Ltd. ADR (a) | | 1,260 | 5,594 |
| SBA Communications Corp. Class A (a) | | 10,934 | 1,149,819 |
| Shenandoah Telecommunications Co. | | 1,953 | 94,291 |
| Spok Holdings, Inc. | | 1,980 | 36,571 |
| T-Mobile U.S., Inc. (a) | | 69,348 | 2,461,854 |
| VimpelCom Ltd. sponsored ADR (b) | | 145,642 | 524,311 |
| Vodafone Group PLC sponsored ADR | | 33,848 | 1,135,939 |
| | | | 5,533,955 |
|
| TOTAL TELECOMMUNICATION SERVICES | | | 7,058,345 |
|
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.0% | | | |
| MGE Energy, Inc. | | 3,054 | 132,757 |
| Otter Tail Corp. | | 3,368 | 89,690 |
| | | | 222,447 |
| Gas Utilities - 0.0% | | | |
| Delta Natural Gas Co., Inc. | | 1,059 | 22,006 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| 8Point3 Energy Partners LP | | 2,096 | 25,634 |
| Abengoa Yield PLC | | 8,504 | 123,138 |
| Pattern Energy Group, Inc. (b) | | 6,688 | 119,782 |
| TerraForm Global, Inc. (a)(b) | | 8,197 | 33,034 |
| Terraform Power, Inc. | | 6,353 | 43,836 |
| | | | 345,424 |
| Water Utilities - 0.0% | | | |
| Artesian Resources Corp. Class A | | 825 | 21,623 |
| Cadiz, Inc. (a)(b) | | 1,671 | 6,233 |
| Connecticut Water Service, Inc. | | 1,023 | 37,145 |
| Consolidated Water Co., Inc. | | 1,551 | 18,860 |
| Middlesex Water Co. | | 1,149 | 29,449 |
| Pure Cycle Corp. (a) | | 925 | 4,690 |
| York Water Co. | | 930 | 22,190 |
| | | | 140,190 |
|
| TOTAL UTILITIES | | | 730,067 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $534,860,311) | | | 662,605,870 |
| | | Principal Amount | Value |
|
| Convertible Bonds - 0.0% | | | |
| HEALTH CARE - 0.0% | | | |
| Biotechnology - 0.0% | | | |
| Catalyst Biosciences, Inc. 0% 2/19/18 | | | |
| (Cost $2,378) | | 2,378 | 776 |
| | | Shares | Value |
|
| Money Market Funds - 5.7% | | | |
| Fidelity Cash Central Fund, 0.18% (c) | | 260,336 | 260,336 |
| Fidelity Securities Lending Cash Central Fund, 0.22% (c)(d) | | 37,962,410 | 37,962,410 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $38,222,746) | | | 38,222,746 |
| TOTAL INVESTMENT PORTFOLIO - 105.6% | | | |
| (Cost $573,085,435) | | | 700,829,392 |
| NET OTHER ASSETS (LIABILITIES) - (5.6)% | | | (37,306,249) |
| NET ASSETS - 100% | | | $663,523,143 |
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $1,248 |
| Fidelity Securities Lending Cash Central Fund | 548,523 |
| Total | $549,771 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used 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 | $119,978,282 | $119,978,282 | $-- | $-- |
| Consumer Staples | 36,856,387 | 36,856,387 | -- | -- |
| Energy | 3,549,737 | 3,549,737 | -- | -- |
| Financials | 46,068,231 | 46,068,231 | -- | -- |
| Health Care | 107,815,868 | 107,809,408 | -- | 6,460 |
| Industrials | 26,725,806 | 26,725,806 | -- | -- |
| Information Technology | 310,956,482 | 310,936,365 | -- | 20,117 |
| Materials | 2,866,665 | 2,866,665 | -- | -- |
| Telecommunication Services | 7,058,345 | 7,047,659 | -- | 10,686 |
| Utilities | 730,067 | 730,067 | -- | -- |
| Corporate Bonds | 776 | -- | 776 | -- |
| Money Market Funds | 38,222,746 | 38,222,746 | -- | -- |
| Total Investments in Securities: | $700,829,392 | $700,791,353 | $776 | $37,263 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | November 30, 2015 |
| Assets | | |
Investment in securities, at value (including securities loaned of $37,039,364) — See accompanying schedule:
Unaffiliated issuers (cost $534,862,689) | $662,606,646 | |
| Fidelity Central Funds (cost $38,222,746) | 38,222,746 | |
| Total Investments (cost $573,085,435) | | $700,829,392 |
| Foreign currency held at value (cost $3,970) | | 3,969 |
| Receivable for investments sold | | 104,848 |
| Dividends receivable | | 759,165 |
| Distributions receivable from Fidelity Central Funds | | 63,576 |
| Prepaid expenses | | 1,394 |
| Receivable from investment adviser for expense reductions | | 82,526 |
| Total assets | | 701,844,870 |
| Liabilities | | |
| Payable to custodian bank | $19,867 | |
| Payable for investments purchased | 11,122 | |
| Accrued management fee | 129,571 | |
| Other affiliated payables | 18,759 | |
| Other payables and accrued expenses | 179,998 | |
| Collateral on securities loaned, at value | 37,962,410 | |
| Total liabilities | | 38,321,727 |
| Net Assets | | $663,523,143 |
| Net Assets consist of: | | |
| Paid in capital | | $535,397,569 |
| Undistributed net investment income | | 1,316,356 |
| Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (934,604) |
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 127,743,822 |
| Net Assets, for 3,300,000 shares outstanding | | $663,523,143 |
| Net Asset Value, offering price and redemption price per share ($663,523,143 ÷ 3,300,000 shares) | | $201.07 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended November 30, 2015 |
| Investment Income | | |
| Dividends | | $6,980,531 |
| Interest | | 652 |
| Income from Fidelity Central Funds (including $548,523 from security lending) | | 549,771 |
| Total income | | 7,530,954 |
| Expenses | | |
| Management fee | $1,371,881 | |
| Transfer agent and custody fees | 84,674 | |
| Distribution and service plan fees | 283,815 | |
| Licensing fees | 350,529 | |
| Accounting and security lending fees | 212,783 | |
| Independent trustees' compensation | 2,358 | |
| Audit | 70,935 | |
| Legal | 1,489 | |
| Miscellaneous | 2,433 | |
| Total expenses before reductions | 2,380,897 | |
| Expense reductions | (1,180,838) | 1,200,059 |
| Net investment income (loss) | | 6,330,895 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 21,728,172 | |
| Foreign currency transactions | (7,781) | |
| Total net realized gain (loss) | | 21,720,391 |
Change in net unrealized appreciation (depreciation) on:
Investment securities | 15,918,567 | |
| Assets and liabilities in foreign currencies | (242) | |
| Total change in net unrealized appreciation (depreciation) | | 15,918,325 |
| Net gain (loss) | | 37,638,716 |
| Net increase (decrease) in net assets resulting from operations | | $43,969,611 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended November 30, 2015 | Year ended November 30, 2014 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $6,330,895 | $5,110,712 |
| Net realized gain (loss) | 21,720,391 | 8,928,541 |
| Change in net unrealized appreciation (depreciation) | 15,918,325 | 52,101,929 |
| Net increase (decrease) in net assets resulting from operations | 43,969,611 | 66,141,182 |
| Distributions to shareholders from net investment income | (5,685,000) | (4,489,000) |
| Share transactions | | |
| Proceeds from sales of shares | 192,595,838 | 138,314,248 |
| Cost of shares redeemed | (38,469,901) | (16,983,481) |
| Net increase (decrease) in net assets resulting from share transactions | 154,125,937 | 121,330,767 |
| Total increase (decrease) in net assets | 192,410,548 | 182,982,949 |
| Net Assets | | |
| Beginning of period | 471,112,595 | 288,129,646 |
| End of period (including undistributed net investment income of $1,316,356 and undistributed net investment income of $969,942, respectively) | $663,523,143 | $471,112,595 |
| Other Information | | |
| Shares | | |
| Sold | 1,000,000 | 800,000 |
| Redeemed | (200,000) | (100,000) |
| Net increase (decrease) | 800,000 | 700,000 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Nasdaq Composite Index Tracking Stock
| | | | | | |
| Years ended November 30, | 2015 | 2014 | 2013 | 2012 | 2011 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $188.45 | $160.07 | $118.93 | $103.48 | $98.68 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | 2.14 | 2.37B | 1.75 | 1.35 | .93 |
| Net realized and unrealized gain (loss) | 12.44 | 28.15 | 41.06 | 15.29 | 4.74 |
| Total from investment operations | 14.58 | 30.52 | 42.81 | 16.64 | 5.67 |
| Distributions from net investment income | (1.96) | (2.14) | (1.67) | (1.19) | (.87) |
| Net asset value, end of period | $201.07 | $188.45 | $160.07 | $118.93 | $103.48 |
| Total ReturnC | 7.79% | 19.23% | 36.35% | 16.13% | 5.75% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .42% | .48% | .51% | .52% | .53% |
| Expenses net of fee waivers, if any | .21% | .21% | .26% | .30% | .30% |
| Expenses net of all reductions | .21% | .21% | .26% | .30% | .30% |
| Net investment income (loss) | 1.11% | 1.40%B | 1.28% | 1.16% | .88% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $663,523 | $471,113 | $288,130 | $178,392 | $155,223 |
| Portfolio turnover rateF,G | 9% | 7% | 10% | 10% | 6% |
A Calculated based on average shares outstanding during the period.
B Investment income per share reflects a large, non-recurring dividend which amounted to $.46 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.13%.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2015
1. Organization.
Fidelity Nasdaq Composite Index Tracking Stock (the Fund) is an exchange-traded fund of Fidelity Commonwealth Trust (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 Massachusetts business trust.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The 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 Money Market Central Funds seek preservation of capital and current income and 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the 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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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. Corporate bonds 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 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 may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of November 30, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. 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 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 foreign currency transactions, passive foreign investment companies (PFIC), redemptions in kind, partnerships, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
| Gross unrealized appreciation | $168,279,070 |
| Gross unrealized depreciation | (40,793,970) |
| Net unrealized appreciation (depreciation) on securities | $127,485,100 |
| Tax Cost | $573,344,292 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $1,620,380 |
| Capital loss carryforward | $(675,748) |
| Net unrealized appreciation (depreciation) on securities and other investments | $127,484,965 |
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 fiscal period end and is subject to adjustment.
| Fiscal year of expiration | |
| 2017 | $(556,942) |
| 2018 | (118,806) |
| Total capital loss carryforward | $(675,748) |
The tax character of distributions paid was as follows:
| | November 30, 2015 | November 30, 2014 |
| Ordinary Income | $5,685,000 | $ 4,489,000 |
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $62,451,128 and $51,167,550, respectively.
Securities received and delivered in-kind through subscriptions and redemptions totaled $191,907,880 and $38,352,254, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .24% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is 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 a Distribution and Service Plan. The Fund pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a distribution fee based on .09% of the Fund's average net assets. FDC pays these fees to NASDAQ OMX Group for marketing services provided to the Fund. The Fund does not pay a service fee.
Effective July 1, 2015, the Board of Trustees approved the elimination of the distribution fee paid by the Fund.
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.
Licensing Fees. Under the terms of a license agreement, the investment adviser pays NASDAQ OMX Group an annual licensing fee for the use of the NASDAQ Composite Index. The investment adviser has entered into a sub-license agreement with the Fund whereby the Fund pays the investment adviser the amount of the license fee at the rate of up to .06% of the Fund's average net assets.
Effective January 1, 2016, the licensing fee will be paid by the investment adviser, not by the Fund.
6. 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.
7. Expense Reductions.
The investment adviser contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .21% of average net assets. This waiver will remain in place through January 31, 2017. Some expenses, for example interest expense, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $1,180,752.
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 custody expenses by $86.
8. Share Transactions.
The Fund issues and redeems shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated stocks to the Fund and redemption proceeds are paid with a basket of securities from the Fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Commonwealth Trust and Shareholders of Fidelity® Nasdaq Composite Index® Tracking Stock:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity® Nasdaq Composite Index® Tracking Stock (a fund of Fidelity Commonwealth Trust) at November 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity® Nasdaq Composite Index® Tracking Stock’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
January 21, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 170 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-FIDELITY.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. James C. Curvey is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and sector funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity® funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
James C. Curvey (1935)
Year of Election or Appointment: 2007
Trustee
Chairman of the Board of Trustees
Mr. Curvey also serves as Trustee of other Fidelity® funds. Mr. Curvey is a Director of Fidelity Research & Analysis Co. (investment adviser firm, 2009-present), and Vice Chairman (2007-present) and Director of FMR LLC (diversified financial services company). In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the board of Artis-Naples, Naples, Florida, and as a Trustee for Brewster Academy, Wolfeboro, New Hampshire. Previously, Mr. Curvey served as a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2009-2014) and a Director of FMR and FMR Co., Inc. (investment adviser firms, 2007-2014).
Charles S. Morrison (1960)
Year of Election or Appointment: 2014
Trustee
Mr. Morrison also serves as Trustee of other funds. He serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present), President, Asset Management (2014-present), and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (investment adviser firm, 2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Dennis J. Dirks (1948)
Year of Election or Appointment: 2005
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008), and as a member of the Independent Directors Council (IDC) Governing Council (2010-2015). Mr. Dirks is a member of the Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).
Alan J. Lacy (1953)
Year of Election or Appointment: 2008
Trustee
Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present) and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2000
Trustee
Chairman of the Independent Trustees
Mr. Lautenbach also serves as Trustee of other Fidelity® funds. Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of Artis-Naples in Naples, Florida (2012-present), a member of the Council on Foreign Relations (1994-present), and a member of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).
Joseph Mauriello (1944)
Year of Election or Appointment: 2008
Trustee
Mr. Mauriello also serves as Trustee of other Fidelity® funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and the Independent Directors Council (IDC) Governing Council (2015-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).
Robert W. Selander (1950)
Year of Election or Appointment: 2011
Trustee
Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present). Previously, Mr. Selander served as a Member of the Advisory Board of other Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.
Cornelia M. Small (1944)
Year of Election or Appointment: 2005
Trustee
Ms. Small also serves as Trustee of other Fidelity® funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
William S. Stavropoulos (1939)
Year of Election or Appointment: 2002
Trustee
Vice Chairman of the Independent Trustees
Mr. Stavropoulos also serves as Trustee of other Fidelity® funds. Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of the Board of Directors of Univar Inc. (global distributor of commodity and specialty chemicals), a Director of Teradata Corporation (data warehousing and technology solutions), and Maersk Inc. (industrial conglomerate), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).
David M. Thomas (1949)
Year of Election or Appointment: 2008
Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), as a member of the Board of Directors (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication), and as a member of the Board of Trustees of the University of Florida (2013-present). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2003
Member of the Advisory Board
Mr. Lynch also serves as Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of FMR (investment adviser firm) and FMR Co., Inc. (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2012
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012).
Marc R. Bryant (1966)
Year of Election or Appointment: 2015
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2015-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
William C. Coffey (1969)
Year of Election or Appointment: 2009
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2008
Deputy Treasurer
Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2010
Assistant Treasurer
Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2015
Vice President
Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
Brian B. Hogan (1964)
Year of Election or Appointment: 2009
Vice President
Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Kenneth B. Robins (1969)
Year of Election or Appointment: 2008
President and Treasurer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009).
Renee Stagnone (1975)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present).
Linda J. Wondrack (1964)
Year of Election or Appointment: 2014
Chief Compliance Officer
Ms. Wondrack also serves as Chief Compliance Officer of other funds. Ms. Wondrack is Executive Vice President and head of the Ethics Office and Asset Management Compliance for Fidelity Investments (2012-present). Ms. Wondrack also serves as Chief Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-present); Chief Compliance Officer of Impresa Management LLC (2013-present); and Chief Compliance Officer of FMR Co., Inc. (investment adviser firm), Fidelity Investments Money Management, Inc. (investment adviser firm), Fidelity Management & Research (Japan) Limited (investment adviser firm), FMR Investment Management (U.K.) Limited (investment adviser firm), Fidelity Management & Research (Hong Kong) (investment adviser firm), Fidelity Management & Research Company (investment adviser firm), FIAM LLC (investment adviser firm), and Strategic Advisers, Inc. (investment adviser firm), Ballyrock Investment Advisors LLC, and Northern Neck Investors LLC (2012-present). Previously, Ms. Wondrack served as Senior Vice President and Chief Compliance Officer for Columbia Management Investment Advisers, LLC (2005-2012); Chief Compliance Officer for certain funds within the Columbia Family of Funds (2007-2012); and Senior Vice President of Compliance Risk Management at Bank of America (2005-2010).
Joseph F. Zambello (1957)
Year of Election or Appointment: 2011
Deputy Treasurer
Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).
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.
Effective July 1, 2015, the Board of Trustees approved the elimination of the distribution fee paid by the Fund.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).
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, 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, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Annualized Expense Ratio-A | Beginning
Account Value
June 1, 2015 | Ending
Account Value
November 30, 2015 | Expenses Paid
During Period-B
June 1, 2015
to November 30, 2015 |
| Actual | .21% | $1,000.00 | $1,014.00 | $1.06 |
| Hypothetical-C | | $1,000.00 | $1,024.02 | $1.07 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The fund designates 37%, 100%, 100%, and 100% of the dividends distributed in December, March, June, and September during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Nasdaq Composite Index Tracking Stock
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.
At its July 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the portfolio managers' investments, if any, in the funds that they manage.
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staff, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, and compliance capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally transfer agents, custodians, and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and information security and to increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.
The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of both the highest performing and lowest performing fund share classes, where applicable, compared to a fund's benchmark index, over appropriate time periods taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; securities lending revenues; and fund cash flows and other factors.
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index for the most recent one-, three-, and five-year periods, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
Fidelity Nasdaq Composite Index Tracking Stock
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (
e.g., flat rate charged for advisory services, all-inclusive fee rate,
etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.
Fidelity Nasdaq Composite Index Tracking Stock
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014. The Board noted that the comparisons for 2014 reflect a revised Total Mapped Group that includes only non-sector domestic equity funds and that FMR believes this Total Mapped Group is a more appropriate comparison because the fund primarily invests in domestic securities.
The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund's total expense ratio ranked below its competitive median for 2014.
The Board further considered that FMR contractually agreed to waive the fund's expenses to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of average net assets, exceed 0.21% through January 31, 2016.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins, with particular focus on certain funds with negative margins; (vi) the realization of fall-out benefits in certain Fidelity business units;
(vii) economies of scale and the way in which they are shared with fund shareholders;(viii) Fidelity's group fee structures, including the group fee schedule of breakpoints;(ix) the impact of cost containment measures on the funds; and (x) the transfer agent fee structure.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
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Fidelity® Nasdaq Composite Index® Fund
Annual Report November 30, 2015 |
|
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Nasdaq®, OMX®, NASDAQ OMX®, Nasdaq Composite®, and The Nasdaq Stock Market®, Inc. are registered trademarks of The NASDAQ OMXGroup, Inc. (which with its Affiliates are the Corporations) and are licensed for use by Fidelity. The product has not been passed on by the Corporations as to its legality or suitability. The product is not issued, endorsed or sold by the Corporations. The Corporations make no warranties and bear no liability with respect to shares of the product.
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. © 2016 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.advisor.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.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year.
The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred.
How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended November 30, 2015 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Nasdaq Composite Index® Fund | 7.70% | 16.58% | 9.56% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Nasdaq Composite Index® Fund on November 30, 2005.
The chart shows how the value of your investment would have changed, and also shows how the Nasdaq Composite Index® performed over the same period.
| Period Ending Values |
| $24,925 | Fidelity® Nasdaq Composite Index® Fund |
| $25,308 | Nasdaq Composite Index® |
Management's Discussion of Fund Performance
Market Recap: U.S. stocks gained modestly for the 12 months ending November 30, 2015, despite a steep decline in August and September on concern about slowing economic growth in China. The S&P 500
® index rebounded in October and gained 2.75% for the year. Stocks benefited late in the period amid waning expectations for a near-term interest-rate hike by the U.S. Federal Reserve, more economic stimulus in Europe and an interest-rate cut in China. Growth stocks in the benchmark far outpaced their value counterparts, as investors continued to seek growth in a subpar economic environment. Sector performance varied widely, with more than 26 percentage points separating the leader from the laggard. Consumer discretionary (+14%) secured the top spot, benefiting from a combination of rising personal income and still-benign inflation. Information technology (+7%) and health care (+4%) also outpaced the broad market. Conversely, the energy sector (-12%) performed worst, stymied by depressed commodity prices that also hit materials (-5%). Telecommunication services (-5%) and utilities (-4%), considered defensive sectors less sensitive to the economy, also lost ground. At period end, investors remained focused on the potential global implications of a stronger U.S. dollar and how China’s transition toward a consumption-led economy may affect corporate earnings.
Comments from Patrick Waddell, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund performed roughly in line with the 7.86% gain of the benchmark Nasdaq Composite Index
®. Technology stocks, which made up about 46% of the index weighting, contributed strongly in absolute terms for the period. Among the many stocks in this category to add value were software company Microsoft; social-networking leader Facebook; and Internet search company Google, which in October became part of a new holding company called Alphabet. The biggest individual contributor by far was online retailer Amazon.com. Its shares nearly doubled, driven by better-than-expected financial results. Video-on-demand provider Netflix also fared well. Conversely, the biggest individual detractor in absolute terms was QUALCOMM, whose shares plummeted in November after the company reported disappointing fiscal fourth-quarter earnings. Other struggling technology stocks in the index included semiconductor maker Micron Technology, Internet media company Yahoo and computer data storage manufacturer Western Digital. Other notable detractors were single-serve coffee company Keurig Green Mountain and casino gaming operator Wynn Resorts.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Ten Stocks as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Apple, Inc. | 8.6 | 9.7 |
| Microsoft Corp. | 5.6 | 4.9 |
| Amazon.com, Inc. | 4.0 | 2.6 |
| Alphabet, Inc. Class C | 3.3 | 2.3 |
| Facebook, Inc. Class A | 3.0 | 2.3 |
| Alphabet, Inc. Class A | 2.8 | 2.0 |
| Intel Corp. | 2.1 | 2.1 |
| Gilead Sciences, Inc. | 2.0 | 2.2 |
| Cisco Systems, Inc. | 1.8 | 1.9 |
| Comcast Corp. Class A | 1.7 | 1.6 |
| | 34.9 | |
Market Sectors as of November 30, 2015
| | % of fund's net assets | % of fund's net assets 6 months ago |
| Information Technology | 46.5 | 46.0 |
| Consumer Discretionary | 18.0 | 17.7 |
| Health Care | 16.1 | 17.1 |
| Financials | 6.9 | 6.4 |
| Consumer Staples | 5.5 | 4.9 |
| Industrials | 4.0 | 4.3 |
| Telecommunication Services | 1.1 | 0.8 |
| Energy | 0.5 | 0.8 |
| Materials | 0.4 | 0.7 |
| Utilities | 0.1 | 0.1 |
Asset Allocation (% of fund's net assets)
To match the Nasdaq Composite Index, Fidelity® Nasdaq Composite Index® Fund seeks I00% investment exposure to stocks at all times.
Investments November 30, 2015
Showing Percentage of Net Assets
| Common Stocks - 99.1% | | | |
| | | Shares | Value |
| CONSUMER DISCRETIONARY - 18.0% | | | |
| Auto Components - 0.3% | | | |
| China Automotive Systems, Inc. (a) | | 9,677 | $57,288 |
| China XD Plastics Co. Ltd. (a) | | 13,378 | 56,589 |
| Dorman Products, Inc. (a)(b) | | 9,066 | 432,630 |
| Federal-Mogul Corp. Class A (a) | | 50,274 | 411,241 |
| Fox Factory Holding Corp. (a) | | 10,747 | 190,974 |
| Fuel Systems Solutions, Inc. (a)(b) | | 5,576 | 30,668 |
| Gentex Corp. (b) | | 76,392 | 1,278,420 |
| Gentherm, Inc. (a) | | 9,868 | 501,689 |
| Motorcar Parts of America, Inc. (a) | | 4,574 | 183,234 |
| Quantum Fuel Systems Technologies Worldwide, Inc. (a)(b) | | 5,763 | 5,187 |
| Shiloh Industries, Inc. (a) | | 4,100 | 28,167 |
| SORL Auto Parts, Inc. (a) | | 1,464 | 3,440 |
| Spartan Motors, Inc. | | 15,102 | 54,820 |
| Strattec Security Corp. | | 1,057 | 65,915 |
| Sypris Solutions, Inc. | | 1,434 | 2,223 |
| The Goodyear Tire & Rubber Co. | | 70,879 | 2,472,260 |
| | | | 5,774,745 |
| Automobiles - 0.4% | | | |
| Kandi Technolgies, Inc. (a)(b) | | 14,193 | 143,633 |
| Tesla Motors, Inc. (a)(b) | | 34,388 | 7,918,181 |
| | | | 8,061,814 |
| Distributors - 0.2% | | | |
| Core-Mark Holding Co., Inc. | | 6,111 | 521,207 |
| Fenix Parts, Inc. (b) | | 5,505 | 34,957 |
| LKQ Corp. (a) | | 79,802 | 2,353,361 |
| Pool Corp. | | 11,299 | 926,970 |
| VOXX International Corp. (a)(b) | | 5,545 | 31,828 |
| Weyco Group, Inc. | | 3,999 | 109,613 |
| | | | 3,977,936 |
| Diversified Consumer Services - 0.1% | | | |
| 2U, Inc. (a)(b) | | 11,861 | 286,087 |
| American Public Education, Inc. (a) | | 4,342 | 101,038 |
| Apollo Education Group, Inc. Class A (non-vtg.) (a) | | 28,112 | 198,471 |
| Ascent Capital Group, Inc. (a) | | 3,915 | 78,261 |
| ATA, Inc. ADR (a)(b) | | 2,232 | 12,254 |
| Cambium Learning Group, Inc. (a)(b) | | 11,947 | 62,005 |
| Capella Education Co. | | 3,274 | 157,152 |
| Career Education Corp. (a) | | 23,870 | 100,731 |
| Collectors Universe, Inc. | | 3,024 | 48,263 |
| Grand Canyon Education, Inc. (a) | | 12,334 | 488,673 |
| Houghton Mifflin Harcourt Co. (a) | | 35,761 | 706,637 |
| Liberty Tax, Inc. | | 3,270 | 72,398 |
| Lincoln Educational Services Corp. | | 1,850 | 3,941 |
| National American University Holdings, Inc. | | 1,829 | 4,554 |
| Steiner Leisure Ltd. (a) | | 3,043 | 191,344 |
| Strayer Education, Inc. (a) | | 2,829 | 167,449 |
| Tarena International, Inc. ADR (a) | | 5,406 | 56,060 |
| | | | 2,735,318 |
| Hotels, Restaurants & Leisure - 2.6% | | | |
| Amaya, Inc. (a) | | 35,483 | 560,628 |
| BJ's Restaurants, Inc. (a) | | 6,602 | 302,372 |
| Bloomin' Brands, Inc. | | 31,718 | 549,039 |
| Bob Evans Farms, Inc. | | 5,676 | 226,189 |
| Bojangles', Inc. (a)(b) | | 9,052 | 160,039 |
| Bravo Brio Restaurant Group, Inc. (a) | | 5,313 | 56,690 |
| Buffalo Wild Wings, Inc. (a) | | 5,030 | 806,007 |
| Caesars Acquisition Co. (a)(b) | | 36,868 | 291,257 |
| Caesars Entertainment Corp. (a)(b) | | 38,046 | 322,250 |
| Carrols Restaurant Group, Inc. (a) | | 9,292 | 111,876 |
| Century Casinos, Inc. (a) | | 8,025 | 53,768 |
| China Lodging Group Ltd. ADR (a) | | 7,826 | 223,198 |
| China Yida Holding Co. (a) | | 388 | 920 |
| Churchill Downs, Inc. | | 4,556 | 669,504 |
| Chuy's Holdings, Inc. (a)(b) | | 4,715 | 156,774 |
| Cosi, Inc. (a) | | 12,944 | 6,252 |
| Cracker Barrel Old Country Store, Inc. (b) | | 6,116 | 770,127 |
| Dave & Buster's Entertainment, Inc. (a) | | 10,638 | 407,861 |
| Del Frisco's Restaurant Group, Inc. (a) | | 6,044 | 90,600 |
| Del Taco Restaurants, Inc. (a)(b) | | 10,030 | 110,731 |
| Denny's Corp. (a) | | 22,891 | 220,669 |
| Diversified Restaurant Holdings, Inc. (a) | | 7,360 | 19,578 |
| Dunkin' Brands Group, Inc. | | 25,087 | 1,064,191 |
| El Pollo Loco Holdings, Inc. (a)(b) | | 10,421 | 127,970 |
| Eldorado Resorts, Inc. (a) | | 13,504 | 130,854 |
| Empire Resorts, Inc. (a)(b) | | 15,367 | 67,461 |
| Famous Dave's of America, Inc. (a)(b) | | 1,737 | 13,618 |
| Fiesta Restaurant Group, Inc. (a)(b) | | 7,014 | 269,548 |
| Fogo de Chao, Inc. (b) | | 8,619 | 141,179 |
| Gaming Partners International Corp. (a) | | 597 | 5,033 |
| Golden Entertainment, Inc. (a) | | 4,293 | 45,077 |
| Good Times Restaurants, Inc. (a) | | 3,783 | 17,099 |
| Habit Restaurants, Inc. Class A (b) | | 3,424 | 82,484 |
| Homeinns Hotel Group ADR (a)(b) | | 9,827 | 303,163 |
| Iao Kun Group Holding Co. Ltd. (b) | | 14,955 | 21,685 |
| Icahn Enterprises LP | | 34,868 | 2,569,423 |
| Ignite Restaurant Group, Inc. (a)(b) | | 10,009 | 38,535 |
| International Speedway Corp. Class A | | 7,129 | 253,721 |
| Interval Leisure Group, Inc. | | 15,789 | 246,624 |
| Isle of Capri Casinos, Inc. (a) | | 10,571 | 194,929 |
| Jack in the Box, Inc. | | 10,009 | 742,067 |
| Jamba, Inc. (a)(b) | | 4,597 | 64,220 |
| Kona Grill, Inc. (a) | | 2,496 | 34,719 |
| Lindblad Expeditions Holdings (a) | | 17,215 | 189,881 |
| Marriott International, Inc. Class A (b) | | 69,845 | 4,952,709 |
| Melco Crown Entertainment Ltd. sponsored ADR (b) | | 45,566 | 740,448 |
| Monarch Casino & Resort, Inc. (a) | | 5,282 | 118,422 |
| Morgans Hotel Group Co. (a) | | 9,232 | 28,988 |
| Nathan's Famous, Inc. (a) | | 1,134 | 49,613 |
| Noodles & Co. (a)(b) | | 8,042 | 89,266 |
| Norwegian Cruise Line Holdings Ltd. (a) | | 61,009 | 3,504,357 |
| Panera Bread Co. Class A (a) | | 6,463 | 1,174,973 |
| Papa John's International, Inc. | | 10,271 | 590,377 |
| Papa Murphy's Holdings, Inc. (a)(b) | | 5,342 | 65,172 |
| Peak Resorts, Inc. (b) | | 8,205 | 59,897 |
| Penn National Gaming, Inc. (a) | | 20,508 | 327,103 |
| Pinnacle Entertainment, Inc. (a) | | 15,150 | 496,769 |
| Popeyes Louisiana Kitchen, Inc. (a)(b) | | 5,946 | 344,036 |
| Potbelly Corp. (a) | | 7,595 | 94,710 |
| Premier Exhibitions, Inc. (a) | | 364 | 382 |
| Rave Restaurant Group, Inc. (a)(b) | | 4,931 | 29,833 |
| RCI Hospitality Holdings, Inc. (a) | | 3,935 | 39,311 |
| Red Robin Gourmet Burgers, Inc. (a) | | 3,765 | 254,062 |
| Ruth's Hospitality Group, Inc. | | 9,576 | 165,186 |
| Scientific Games Corp. Class A (a)(b) | | 23,757 | 219,040 |
| Sonic Corp. | | 13,614 | 395,623 |
| Starbucks Corp. | | 392,093 | 24,070,589 |
| Texas Roadhouse, Inc. Class A | | 17,965 | 628,775 |
| The Cheesecake Factory, Inc. | | 12,277 | 578,615 |
| Town Sports International Holdings, Inc. (a) | | 5,713 | 9,712 |
| Tuniu Corp. Class A sponsored ADR (a)(b) | | 6,783 | 105,408 |
| Wendy's Co. | | 77,423 | 813,716 |
| Wingstop, Inc. (b) | | 7,507 | 161,776 |
| Wynn Resorts Ltd. (b) | | 26,805 | 1,682,550 |
| | | | 54,531,228 |
| Household Durables - 0.2% | | | |
| Bassett Furniture Industries, Inc. | | 3,109 | 97,498 |
| Cavco Industries, Inc. (a) | | 2,517 | 233,326 |
| Dixie Group, Inc. (a)(b) | | 3,770 | 21,263 |
| Flexsteel Industries, Inc. | | 1,834 | 87,995 |
| Garmin Ltd. (b) | | 50,167 | 1,898,821 |
| GoPro, Inc. Class A (a)(b) | | 27,036 | 551,534 |
| Green Brick Partners, Inc. (a)(b) | | 12,711 | 95,968 |
| Helen of Troy Ltd. (a) | | 7,410 | 766,268 |
| Hooker Furniture Corp. | | 3,483 | 95,434 |
| iRobot Corp. (a)(b) | | 6,837 | 226,236 |
| LGI Homes, Inc. (a)(b) | | 5,092 | 169,360 |
| Lifetime Brands, Inc. | | 4,373 | 60,828 |
| Nova LifeStyle, Inc. (a)(b) | | 3,428 | 6,856 |
| SGOCO Technology Ltd. (a) | | 1,000 | 350 |
| Skullcandy, Inc. (a) | | 6,790 | 27,635 |
| SodaStream International Ltd. (a)(b) | | 5,952 | 86,364 |
| Stanley Furniture Co., Inc. (a) | | 825 | 2,384 |
| Turtle Beach Corp. (a)(b) | | 11,150 | 26,091 |
| Universal Electronics, Inc. (a) | | 4,111 | 217,842 |
| Vuzix Corp. (a)(b) | | 6,024 | 36,204 |
| Zagg, Inc. (a)(b) | | 6,901 | 71,218 |
| | | | 4,779,475 |
| Internet & Catalog Retail - 6.8% | | | |
| 1-800-FLOWERS.com, Inc. Class A (a) | | 10,182 | 78,707 |
| Amazon.com, Inc. (a) | | 123,855 | 82,338,804 |
| Blue Nile, Inc. (a)(b) | | 3,584 | 130,673 |
| CafePress, Inc. (a) | | 1,330 | 5,653 |
| Cnova NV (a)(b) | | 116,097 | 321,589 |
| Ctrip.com International Ltd. sponsored ADR (a)(b) | | 40,053 | 4,286,072 |
| eLong, Inc. sponsored ADR (a)(b) | | 2,651 | 45,067 |
| Etsy, Inc. (b) | | 29,425 | 273,947 |
| EVINE Live, Inc. (a) | | 15,769 | 29,330 |
| Expedia, Inc. | | 30,841 | 3,796,836 |
| FTD Companies, Inc. (a)(b) | | 9,021 | 239,237 |
| Gaiam, Inc. Class A (a) | | 6,590 | 44,483 |
| Groupon, Inc. Class A (a)(b) | | 179,983 | 520,151 |
| HSN, Inc. | | 14,438 | 720,456 |
| JD.com, Inc. sponsored ADR (a)(b) | | 215,004 | 6,596,323 |
| Lands' End, Inc. (a)(b) | | 8,589 | 206,480 |
| Liberty Interactive Corp.: | | | |
| (Venture Group) Series A (a) | | 37,768 | 1,624,402 |
| QVC Group Series A (a) | | 121,798 | 3,225,211 |
| Liberty TripAdvisor Holdings, Inc. (a) | | 20,176 | 604,069 |
| MakeMyTrip Ltd. (a)(b) | | 10,888 | 196,420 |
| Netflix, Inc. (a)(b) | | 112,848 | 13,917,544 |
| NutriSystem, Inc. | | 7,684 | 176,271 |
| Overstock.com, Inc. (a) | | 7,039 | 92,633 |
| PetMed Express, Inc. (b) | | 5,260 | 88,368 |
| Priceline Group, Inc. (a) | | 13,427 | 16,768,309 |
| Qunar Cayman Islands Ltd. sponsored ADR (a)(b) | | 16,869 | 759,611 |
| Shutterfly, Inc. (a) | | 9,042 | 415,028 |
| TripAdvisor, Inc. (a) | | 34,411 | 2,834,434 |
| U.S. Auto Parts Network, Inc. (a) | | 5,624 | 13,948 |
| | | | 140,350,056 |
| Leisure Products - 0.3% | | | |
| Arctic Cat, Inc. | | 3,330 | 74,126 |
| Black Diamond, Inc. (a) | | 10,163 | 49,494 |
| Escalade, Inc. | | 5,185 | 62,220 |
| Hasbro, Inc. (b) | | 32,667 | 2,387,631 |
| JAKKS Pacific, Inc. (a)(b) | | 4,564 | 37,562 |
| Johnson Outdoors, Inc. Class A | | 3,128 | 75,072 |
| Malibu Boats, Inc. Class A (a) | | 4,435 | 68,831 |
| Mattel, Inc. (b) | | 88,933 | 2,210,874 |
| MCBC Holdings, Inc. (a) | | 4,794 | 68,794 |
| Smith & Wesson Holding Corp. (a) | | 14,014 | 257,017 |
| Summer Infant, Inc. (a) | | 1,750 | 3,448 |
| | | | 5,295,069 |
| Media - 5.0% | | | |
| AirMedia Group, Inc. ADR (a)(b) | | 11,144 | 60,735 |
| AMC Networks, Inc. Class A (a)(b) | | 15,947 | 1,296,651 |
| Beasley Broadcast Group, Inc. Class A | | 689 | 2,722 |
| Bona Film Group Ltd. sponsored ADR (a) | | 9,136 | 116,119 |
| Carmike Cinemas, Inc. (a) | | 6,797 | 148,514 |
| Central European Media Enterprises Ltd. Class A (a)(b) | | 40,486 | 89,474 |
| Charter Communications, Inc. Class A (a)(b) | | 29,725 | 5,569,276 |
| Cinedigm Corp. (a)(b) | | 19,604 | 7,485 |
| Comcast Corp.: | | | |
| Class A | | 558,763 | 34,006,316 |
| Class A (special) (non-vtg.) (b) | | 97,847 | 5,972,581 |
| Crown Media Holdings, Inc. Class A (a) | | 95,611 | 542,114 |
| CTC Media, Inc. | | 39,272 | 71,082 |
| Cumulus Media, Inc. Class A (a) | | 60,579 | 24,044 |
| Daily Journal Corp. (a)(b) | | 470 | 94,644 |
| Dex Media, Inc. (a)(b) | | 2,971 | 357 |
| Discovery Communications, Inc.: | | | |
| Class A (a)(b) | | 39,719 | 1,236,850 |
| Class B (a) | | 715 | 22,229 |
| Class C (non-vtg.) (a)(b) | | 73,354 | 2,169,811 |
| DISH Network Corp. Class A (a) | | 58,963 | 3,697,570 |
| DreamWorks Animation SKG, Inc. Class A (a) | | 21,098 | 519,855 |
| Emmis Communications Corp. Class A (a) | | 2,486 | 1,541 |
| Global Eagle Entertainment, Inc. (a)(b) | | 20,480 | 221,798 |
| Hemisphere Media Group, Inc. (a)(b) | | 5,186 | 73,797 |
| Insignia Systems, Inc. (a) | | 738 | 2,133 |
| Liberty Broadband Corp.: | | | |
| Class A (a) | | 6,746 | 357,605 |
| Class C (a) | | 20,143 | 1,063,752 |
| Liberty Global PLC: | | | |
| Class A (a)(b) | | 66,518 | 2,821,028 |
| Class B (a) | | 247 | 11,105 |
| Class C (a) | | 162,505 | 6,662,705 |
| LiLAC Class A (a) | | 3,430 | 128,797 |
| LiLAC Class C (a) | | 7,963 | 312,309 |
| Liberty Media Corp.: | | | |
| Class A (a) | | 32,900 | 1,332,779 |
| Class C (a) | | 56,174 | 2,196,403 |
| Loral Space & Communications Ltd. (a) | | 5,803 | 256,725 |
| MDC Partners, Inc. Class A (sub. vtg.) | | 13,593 | 292,929 |
| National CineMedia, Inc. | | 17,433 | 276,662 |
| News Corp.: | | | |
| Class A | | 99,286 | 1,424,754 |
| Class B | | 53,639 | 775,620 |
| Nexstar Broadcasting Group, Inc. Class A (b) | | 8,270 | 484,539 |
| Radio One, Inc. Class D (non-vtg.) (a)(b) | | 10,308 | 17,936 |
| ReachLocal, Inc. (a)(b) | | 4,325 | 4,412 |
| Reading International, Inc. Class A (a) | | 6,809 | 98,254 |
| Rentrak Corp. (a)(b) | | 4,175 | 202,028 |
| RRSat Global Communications Network Ltd. | | 2,447 | 22,708 |
| Salem Communications Corp. Class A | | 6,056 | 34,277 |
| Scholastic Corp. | | 9,630 | 411,394 |
| SFX Entertainment, Inc. (a)(b) | | 24,209 | 6,781 |
| Sinclair Broadcast Group, Inc. Class A | | 18,541 | 650,789 |
| Sirius XM Holdings, Inc. (a)(b) | | 1,405,037 | 5,774,702 |
| Sizmek, Inc. (a) | | 11,447 | 53,000 |
| Spanish Broadcasting System, Inc. Class A (a) | | 311 | 1,614 |
| Starz Series A (a)(b) | | 27,143 | 957,605 |
| Twenty-First Century Fox, Inc.: | | | |
| Class A | | 322,418 | 9,514,555 |
| Class B (b) | | 212,168 | 6,354,432 |
| Viacom, Inc.: | | | |
| Class A | | 13,463 | 697,383 |
| Class B (non-vtg.) | | 92,038 | 4,582,572 |
| Videocon d2h Ltd. sponsored ADR (a) | | 13,671 | 118,528 |
| VisionChina Media, Inc. ADR (a)(b) | | 1,079 | 10,855 |
| WPP PLC ADR (b) | | 4,765 | 550,262 |
| YOU On Demand Holdings, Inc. (a)(b) | | 15,827 | 32,287 |
| | | | 104,441,784 |
| Multiline Retail - 0.3% | | | |
| Dollar Tree, Inc. (a) | | 61,502 | 4,640,941 |
| Fred's, Inc. Class A | | 9,737 | 160,466 |
| Gordmans Stores, Inc. (a)(b) | | 3,931 | 11,990 |
| Ollie's Bargain Outlet Holdings, Inc. (a)(b) | | 16,578 | 292,767 |
| Sears Canada, Inc. (a)(b) | | 29,750 | 249,504 |
| Sears Holdings Corp. (a)(b) | | 27,876 | 616,896 |
| The Bon-Ton Stores, Inc. (b) | | 5,468 | 14,654 |
| Tuesday Morning Corp. (a)(b) | | 12,485 | 83,400 |
| | | | 6,070,618 |
| Specialty Retail - 1.5% | | | |
| America's Car Mart, Inc. (a) | | 2,497 | 66,121 |
| Ascena Retail Group, Inc. (a)(b) | | 50,680 | 574,204 |
| bebe stores, Inc. (b) | | 19,126 | 8,802 |
| Bed Bath & Beyond, Inc. (a) | | 45,369 | 2,473,518 |
| Big 5 Sporting Goods Corp. | | 5,900 | 56,994 |
| Books-A-Million, Inc. (a) | | 1,634 | 5,294 |
| Citi Trends, Inc. | | 4,611 | 91,436 |
| Conn's, Inc. (a)(b) | | 9,568 | 255,179 |
| DavidsTea, Inc. (b) | | 5,932 | 69,760 |
| Destination Maternity Corp. | | 3,661 | 20,319 |
| Destination XL Group, Inc. (a)(b) | | 13,417 | 67,085 |
| Finish Line, Inc. Class A | | 11,318 | 187,766 |
| Five Below, Inc. (a)(b) | | 15,116 | 423,399 |
| Francesca's Holdings Corp. (a) | | 10,562 | 157,691 |
| Hibbett Sports, Inc. (a) | | 6,916 | 226,914 |
| Kirkland's, Inc. | | 4,778 | 70,284 |
| Mattress Firm Holding Corp. (a)(b) | | 9,672 | 477,410 |
| Michaels Companies, Inc. (a) | | 55,166 | 1,225,237 |
| Monro Muffler Brake, Inc. | | 8,307 | 615,050 |
| O'Reilly Automotive, Inc. (a) | | 26,229 | 6,921,046 |
| Office Depot, Inc. (a) | | 146,049 | 962,463 |
| Outerwall, Inc. (b) | | 4,618 | 285,854 |
| Pacific Sunwear of California, Inc. (a) | | 15,934 | 5,578 |
| Perfumania Holdings, Inc. (a) | | 1,858 | 6,410 |
| Rent-A-Center, Inc. | | 13,745 | 235,864 |
| Ross Stores, Inc. | | 109,100 | 5,674,291 |
| Sears Hometown & Outlet Stores, Inc. (a) | | 7,167 | 57,049 |
| Select Comfort Corp. (a) | | 13,417 | 316,910 |
| Shoe Carnival, Inc. | | 5,657 | 110,198 |
| Sportsman's Warehouse Holdings, Inc. (a) | | 11,663 | 133,541 |
| Staples, Inc. | | 169,583 | 2,046,867 |
| Stein Mart, Inc. | | 12,251 | 94,700 |
| Tandy Leather Factory, Inc. (a) | | 1,041 | 7,225 |
| The Children's Place Retail Stores, Inc. | | 5,270 | 254,646 |
| Tile Shop Holdings, Inc. (a)(b) | | 13,065 | 221,321 |
| Tractor Supply Co. | | 35,600 | 3,180,860 |
| Trans World Entertainment Corp. (a) | | 6,821 | 25,101 |
| Ulta Salon, Cosmetics & Fragrance, Inc. (a) | | 17,002 | 2,839,334 |
| Urban Outfitters, Inc. (a) | | 33,467 | 749,661 |
| West Marine, Inc. (a) | | 7,754 | 71,259 |
| Winmark Corp. | | 1,430 | 136,565 |
| Zumiez, Inc. (a)(b) | | 8,312 | 125,428 |
| | | | 31,534,634 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Charles & Colvard Ltd. (a) | | 4,097 | 4,957 |
| Cherokee, Inc. (a) | | 3,256 | 62,222 |
| Columbia Sportswear Co. | | 19,177 | 898,059 |
| Crocs, Inc. (a) | | 19,193 | 213,522 |
| Crown Crafts, Inc. | | 1,184 | 10,478 |
| Fossil Group, Inc. (a)(b) | | 12,894 | 496,032 |
| G-III Apparel Group Ltd. (a) | | 11,884 | 545,119 |
| Iconix Brand Group, Inc. (a)(b) | | 12,299 | 86,585 |
| Joe's Jeans, Inc. (a) | | 4,434 | 909 |
| Kingold Jewelry, Inc. (a)(b) | | 5,932 | 3,559 |
| Lakeland Industries, Inc. (a) | | 2,257 | 31,440 |
| lululemon athletica, Inc. (a)(b) | | 34,018 | 1,626,741 |
| Perry Ellis International, Inc. (a) | | 4,580 | 94,989 |
| Rocky Brands, Inc. | | 1,460 | 16,586 |
| Sequential Brands Group, Inc. (a)(b) | | 10,511 | 94,073 |
| Steven Madden Ltd. (a) | | 16,581 | 528,934 |
| Superior Uniform Group, Inc. | | 4,267 | 78,897 |
| Vera Bradley, Inc. (a)(b) | | 12,080 | 143,873 |
| | | | 4,936,975 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 372,489,652 |
|
| CONSUMER STAPLES - 5.5% | | | |
| Beverages - 0.5% | | | |
| Coca-Cola Bottling Co. Consolidated | | 1,868 | 361,776 |
| Craft Brew Alliance, Inc. (a) | | 5,814 | 56,512 |
| MGP Ingredients, Inc. (b) | | 4,238 | 88,659 |
| Monster Beverage Corp. | | 54,409 | 8,412,175 |
| National Beverage Corp. (a) | | 13,020 | 565,719 |
| Primo Water Corp. (a) | | 8,555 | 76,054 |
| | | | 9,560,895 |
| Food & Staples Retailing - 2.4% | | | |
| Andersons, Inc. | | 7,288 | 251,217 |
| Casey's General Stores, Inc. | | 10,286 | 1,195,953 |
| Chefs' Warehouse Holdings (a)(b) | | 7,607 | 148,945 |
| China Jo-Jo Drugstores, Inc. (a) | | 1,100 | 2,002 |
| Costco Wholesale Corp. | | 115,758 | 18,685,656 |
| Fairway Group Holdings Corp. (a)(b) | | 10,070 | 8,383 |
| Fresh Market, Inc. (a)(b) | | 12,458 | 298,743 |
| G Willi-Food International Ltd. (a) | | 4,242 | 14,508 |
| Ingles Markets, Inc. Class A | | 3,821 | 208,130 |
| PriceSmart, Inc. (b) | | 8,606 | 802,079 |
| SpartanNash Co. | | 11,054 | 238,987 |
| Sprouts Farmers Market LLC (a)(b) | | 41,149 | 992,925 |
| United Natural Foods, Inc. (a) | | 13,144 | 577,153 |
| Village Super Market, Inc. Class A | | 3,307 | 85,651 |
| Walgreens Boots Alliance, Inc. | | 289,278 | 24,308,030 |
| Whole Foods Market, Inc. | | 94,933 | 2,767,297 |
| | | | 50,585,659 |
| Food Products - 2.6% | | | |
| Alico, Inc. | | 2,730 | 116,516 |
| Blue Buffalo Pet Products, Inc. (a)(b) | | 53,046 | 953,237 |
| Boulder Brands, Inc. (a)(b) | | 17,590 | 192,259 |
| Bridgford Foods Corp. (a) | | 433 | 4,425 |
| Cal-Maine Foods, Inc. (b) | | 11,671 | 636,186 |
| Calavo Growers, Inc. | | 4,637 | 262,361 |
| Diamond Foods, Inc. (a) | | 8,269 | 334,729 |
| Farmer Brothers Co. (a)(b) | | 5,302 | 154,977 |
| Freshpet, Inc. (b) | | 8,946 | 77,025 |
| Inventure Foods, Inc. (a)(b) | | 6,705 | 50,690 |
| J&J Snack Foods Corp. | | 4,945 | 576,983 |
| John B. Sanfilippo & Son, Inc. | | 2,459 | 141,515 |
| Keurig Green Mountain, Inc. (b) | | 40,716 | 2,133,518 |
| Lancaster Colony Corp. | | 7,304 | 849,163 |
| Landec Corp. (a) | | 8,847 | 113,330 |
| Lifeway Foods, Inc. (a) | | 5,561 | 61,171 |
| Limoneira Co. (b) | | 5,024 | 85,559 |
| Mondelez International, Inc. (b) | | 426,631 | 18,626,709 |
| Origin Agritech Ltd. (a)(b) | | 2,765 | 3,982 |
| Pilgrim's Pride Corp. (b) | | 67,322 | 1,449,443 |
| S&W Seed Co. (a)(b) | | 3,247 | 14,287 |
| Sanderson Farms, Inc. (b) | | 5,797 | 433,674 |
| Seneca Foods Corp. Class A (a) | | 2,946 | 81,133 |
| SkyPeople Fruit Juice, Inc. (a)(b) | | 1,700 | 869 |
| Snyders-Lance, Inc. (b) | | 18,562 | 688,093 |
| SunOpta, Inc. (a) | | 24,535 | 174,935 |
| The Hain Celestial Group, Inc. (a) | | 26,285 | 1,122,370 |
| The Kraft Heinz Co. | | 321,330 | 23,678,808 |
| | | | 53,017,947 |
| Household Products - 0.0% | | | |
| Central Garden & Pet Co. Class A (non-vtg.) (a) | | 13,206 | 208,523 |
| WD-40 Co. | | 4,288 | 423,526 |
| | | | 632,049 |
| Personal Products - 0.0% | | | |
| Elizabeth Arden, Inc. (a)(b) | | 7,908 | 81,057 |
| Inter Parfums, Inc. | | 8,757 | 233,462 |
| LifeVantage Corp. (a)(b) | | 4,116 | 34,821 |
| Mannatech, Inc. (a) | | 625 | 13,638 |
| Natural Health Trends Corp. (b) | | 3,011 | 145,702 |
| Nature's Sunshine Products, Inc. | | 7,919 | 93,207 |
| Neptune Technologies & Bioressources, Inc. (a)(b) | | 17,693 | 20,271 |
| Nutraceutical International Corp. (a) | | 3,582 | 89,478 |
| Reliv International, Inc. (a) | | 923 | 609 |
| Synutra International, Inc. (a)(b) | | 15,342 | 78,551 |
| The Female Health Co. (a)(b) | | 6,933 | 10,677 |
| United-Guardian, Inc. | | 1,179 | 21,493 |
| | | | 822,966 |
|
| TOTAL CONSUMER STAPLES | | | 114,619,516 |
|
| ENERGY - 0.5% | | | |
| Energy Equipment & Services - 0.1% | | | |
| Archrock Partners LP | | 16,542 | 265,830 |
| Dawson Geophysical Co. (a) | | 7,613 | 33,726 |
| ENGlobal Corp. (a) | | 5,041 | 6,100 |
| Forbes Energy Services Ltd. (a) | | 4,367 | 1,616 |
| Geospace Technologies Corp. (a)(b) | | 6,461 | 82,249 |
| Glori Energy, Inc. (a)(b) | | 5,415 | 4,278 |
| Gulf Island Fabrication, Inc. | | 5,322 | 52,688 |
| Matrix Service Co. (a) | | 7,140 | 164,149 |
| Mitcham Industries, Inc. (a)(b) | | 2,123 | 8,089 |
| Ocean Rig UDW, Inc. (United States) (b) | | 41,051 | 80,870 |
| Patterson-UTI Energy, Inc. | | 41,561 | 674,119 |
| PHI, Inc. (non-vtg.) (a) | | 5,206 | 111,252 |
| Profire Energy, Inc. (a) | | 7,873 | 10,629 |
| RigNet, Inc. (a)(b) | | 4,758 | 105,104 |
| SAExploration Holdings, Inc. (a) | | 3,388 | 8,063 |
| Synthesis Energy Systems, Inc. (a)(b) | | 23,079 | 20,540 |
| Tesco Corp. | | 14,411 | 121,197 |
| | | | 1,750,499 |
| Oil, Gas & Consumable Fuels - 0.4% | | | |
| Abraxas Petroleum Corp. (a) | | 25,964 | 34,272 |
| Aemetis, Inc. (a)(b) | | 5,390 | 16,062 |
| Alliance Holdings GP, LP | | 16,957 | 404,424 |
| Alliance Resource Partners LP | | 19,407 | 332,830 |
| Amyris, Inc. (a)(b) | | 50,335 | 84,059 |
| Approach Resources, Inc. (a)(b) | | 8,306 | 18,522 |
| Blueknight Energy Partners LP | | 9,473 | 58,733 |
| BreitBurn Energy Partners LP | | 53,725 | 107,450 |
| Calumet Specialty Products Partners LP | | 20,128 | 512,056 |
| Capital Product Partners LP | | 27,392 | 172,570 |
| Carrizo Oil & Gas, Inc. (a) | | 15,206 | 614,018 |
| Ceres, Inc. (a) | | 312 | 304 |
| Clean Energy Fuels Corp. (a)(b) | | 24,912 | 117,336 |
| Diamondback Energy, Inc. (b) | | 17,720 | 1,382,514 |
| Dorchester Minerals LP | | 8,986 | 119,244 |
| Energy XXI (Bermuda) Ltd. (b) | | 29,919 | 46,973 |
| EV Energy Partners LP | | 11,535 | 40,257 |
| FX Energy, Inc. (a) | | 8,238 | 9,391 |
| Gevo, Inc. (a) | | 314 | 458 |
| Golar LNG Ltd. (b) | | 25,480 | 696,878 |
| Golar LNG Partners LP | | 12,813 | 183,738 |
| Green Plains Partners LP | | 5,333 | 70,449 |
| Green Plains, Inc. | | 10,332 | 244,765 |
| Gulfport Energy Corp. (a) | | 27,985 | 711,379 |
| Hallador Energy Co. (b) | | 7,855 | 52,943 |
| Hongli Clean Energy Technologies Corp. (a) | | 4,480 | 2,136 |
| Isramco, Inc. (a)(b) | | 558 | 51,336 |
| Legacy Reserves LP | | 16,922 | 52,797 |
| Lilis Energy, Inc. (a) | | 2,890 | 287 |
| LINN Energy LLC/LINN Energy Finance Corp. | | 89,634 | 180,164 |
| LinnCo LLC (b) | | 32,952 | 57,996 |
| Magellan Petroleum Corp. (a) | | 569 | 299 |
| Marine Petroleum Trust | | 339 | 1,949 |
| Martin Midstream Partners LP | | 9,110 | 229,572 |
| Memorial Production Partners LP | | 20,313 | 74,346 |
| Memorial Resource Development Corp. (a) | | 55,754 | 908,233 |
| Mid-Con Energy Partners LP | | 7,322 | 17,060 |
| Pacific Ethanol, Inc. (a)(b) | | 12,497 | 62,360 |
| PDC Energy, Inc. (a) | | 10,754 | 607,493 |
| PennTex Midstream Partners LP | | 5,329 | 76,098 |
| PrimeEnergy Corp. (a) | | 333 | 17,050 |
| Renewable Energy Group, Inc. (a) | | 13,388 | 120,626 |
| Rex Energy Corp. (a)(b) | | 14,752 | 20,210 |
| Royale Energy, Inc. (a) | | 2,924 | 1,316 |
| Solazyme, Inc. (a)(b) | | 22,326 | 73,676 |
| StealthGas, Inc. (a)(b) | | 12,561 | 49,239 |
| Torchlight Energy Resources, Inc. (a)(b) | | 2,041 | 2,959 |
| TransGlobe Energy Corp. (a) | | 19,974 | 39,336 |
| U.S. Energy Corp. (a) | | 3,179 | 764 |
| Uranium Resources, Inc. (a) | | 5,678 | 3,236 |
| Vanguard Natural Resources LLC | | 34,513 | 197,069 |
| Vertex Energy, Inc. (a)(b) | | 4,311 | 8,320 |
| Viper Energy Partners LP | | 21,992 | 335,378 |
| Warren Resources, Inc. (a) | | 12,572 | 3,118 |
| Westmoreland Coal Co. (a)(b) | | 4,186 | 25,116 |
| Zion Oil & Gas, Inc. (a) | | 3,214 | 6,299 |
| Zion Oil & Gas, Inc. rights 1/15/16 (b) | | 32 | 0 |
| | | | 9,257,463 |
|
| TOTAL ENERGY | | | 11,007,962 |
|
| FINANCIALS - 6.9% | | | |
| Banks - 3.1% | | | |
| 1st Source Corp. | | 9,007 | 304,527 |
| Access National Corp. | | 2,974 | 64,982 |
| ACNB Corp. | | 934 | 20,128 |
| American National Bankshares, Inc. | | 4,129 | 107,354 |
| American River Bankshares (a) | | 684 | 7,059 |
| Ameris Bancorp | | 7,613 | 260,288 |
| Ames National Corp. | | 3,882 | 98,370 |
| Arrow Financial Corp. | | 7,524 | 214,208 |
| Avenue Financial Holdings, Inc. | | 3,947 | 55,140 |
| BancFirst Corp. | | 6,438 | 415,058 |
| Bancorp, Inc., Delaware (a) | | 10,990 | 84,403 |
| Bank of Commerce Holdings | | 4,385 | 32,142 |
| Bank of Marin Bancorp | | 2,183 | 119,912 |
| Bank of the Ozarks, Inc. | | 22,545 | 1,223,743 |
| Bankwell Financial Group, Inc. (b) | | 2,711 | 53,407 |
| Banner Corp. | | 8,729 | 458,273 |
| Baylake Corp. | | 1,626 | 23,479 |
| BBCN Bancorp, Inc. | | 21,841 | 413,013 |
| BCB Bancorp, Inc. | | 1,563 | 17,474 |
| Blue Hills Bancorp, Inc. | | 9,688 | 157,527 |
| BNC Bancorp | | 9,925 | 253,088 |
| BOK Financial Corp. (b) | | 17,838 | 1,228,146 |
| Boston Private Financial Holdings, Inc. | | 19,672 | 238,031 |
| Bridge Bancorp, Inc. | | 5,128 | 163,481 |
| Bryn Mawr Bank Corp. | | 4,312 | 128,282 |
| C & F Financial Corp. | | 1,129 | 44,020 |
| California First National Bancorp | | 3,963 | 52,827 |
| Camden National Corp. | | 2,576 | 115,765 |
| Capital Bank Financial Corp. Series A | | 8,605 | 290,161 |
| Capital City Bank Group, Inc. | | 6,123 | 96,437 |
| Cardinal Financial Corp. | | 9,297 | 228,706 |
| Cascade Bancorp (a) | | 28,819 | 172,914 |
| Cathay General Bancorp | | 21,758 | 746,735 |
| Centerstate Banks of Florida, Inc. | | 11,574 | 184,490 |
| Central Valley Community Bancorp | | 3,341 | 37,519 |
| Century Bancorp, Inc. Class A (non-vtg.) | | 1,598 | 71,766 |
| Chemical Financial Corp. | | 10,262 | 378,155 |
| Chemung Financial Corp. | | 1,150 | 32,085 |
| Citizens & Northern Corp. | | 5,396 | 110,780 |
| Citizens Holding Co. | | 1,328 | 28,791 |
| City Holding Co. | | 4,337 | 216,503 |
| Civista Bancshares, Inc. | | 1,242 | 13,376 |
| CNB Financial Corp., Pennsylvania | | 6,443 | 120,420 |
| CoBiz, Inc. | | 15,813 | 216,954 |
| Codorus Valley Bancorp, Inc. | | 580 | 12,203 |
| Colony Bankcorp, Inc. (a) | | 217 | 2,092 |
| Columbia Banking Systems, Inc. | | 15,138 | 538,005 |
| Commerce Bancshares, Inc. (b) | | 25,110 | 1,153,051 |
| Community Trust Bancorp, Inc. | | 5,622 | 206,327 |
| CommunityOne Bancorp (a) | | 8,761 | 123,530 |
| ConnectOne Bancorp, Inc. | | 8,767 | 171,044 |
| County Bancorp, Inc. (b) | | 1,532 | 30,640 |
| CU Bancorp (a) | | 5,341 | 143,780 |
| CVB Financial Corp. | | 26,635 | 492,748 |
| DNB Financial Corp. | | 927 | 25,947 |
| Eagle Bancorp, Inc. (a)(b) | | 8,834 | 482,601 |
| East West Bancorp, Inc. | | 37,722 | 1,636,380 |
| Eastern Virginia Bankshares, Inc. | | 5,032 | 34,419 |
| Enterprise Bancorp, Inc. | | 2,780 | 68,082 |
| Enterprise Financial Services Corp. | | 4,979 | 145,885 |
| Farmers Capital Bank Corp. (a) | | 2,162 | 58,396 |
| Farmers National Banc Corp. | | 7,589 | 63,823 |
| Fidelity Southern Corp. | | 5,915 | 133,797 |
| Fifth Third Bancorp | | 210,636 | 4,353,846 |
| Financial Institutions, Inc. | | 4,125 | 112,489 |
| First Bancorp, North Carolina | | 7,479 | 145,766 |
| First Busey Corp. | | 8,511 | 187,157 |
| First Business Finance Services, Inc. | | 2,872 | 74,442 |
| First Citizen Bancshares, Inc. | | 3,077 | 815,159 |
| First Community Bancshares, Inc. | | 10,709 | 218,464 |
| First Connecticut Bancorp, Inc. | | 7,134 | 130,196 |
| First Financial Bancorp, Ohio | | 17,306 | 348,716 |
| First Financial Bankshares, Inc. (b) | | 17,187 | 617,185 |
| First Financial Corp., Indiana | | 4,467 | 163,314 |
| First Foundation, Inc. (a) | | 4,911 | 112,609 |
| First Internet Bancorp | | 1,663 | 53,632 |
| First Interstate Bancsystem, Inc. | | 5,223 | 158,831 |
| First Merchants Corp. | | 9,826 | 267,267 |
| First Midwest Bancorp, Inc., Delaware | | 20,509 | 400,746 |
| First NBC Bank Holding Co. (a) | | 4,997 | 211,573 |
| First Niagara Financial Group, Inc. | | 92,281 | 994,789 |
| First Northwest Bancorp | | 4,402 | 61,716 |
| First of Long Island Corp. | | 4,899 | 153,731 |
| First South Bancorp, Inc., Virginia | | 619 | 5,385 |
| First United Corp. (a) | | 493 | 4,994 |
| FirstMerit Corp. | | 43,076 | 871,427 |
| Flushing Financial Corp. | | 9,009 | 205,135 |
| Fulton Financial Corp. | | 43,205 | 625,176 |
| German American Bancorp, Inc. | | 5,293 | 182,503 |
| Glacier Bancorp, Inc. | | 19,346 | 568,385 |
| Great Southern Bancorp, Inc. | | 4,297 | 218,545 |
| Green Bancorp, Inc. (a) | | 12,894 | 174,843 |
| Grupo Financiero Galicia SA sponsored ADR (a)(b) | | 11,418 | 287,163 |
| Guaranty Bancorp | | 6,892 | 120,748 |
| Hampton Roads Bankshares, Inc. (a)(b) | | 51,574 | 96,443 |
| Hancock Holding Co. | | 19,650 | 572,208 |
| Hanmi Financial Corp. | | 8,261 | 215,612 |
| Hawthorn Bancshares, Inc. | | 678 | 10,462 |
| Heartland Financial U.S.A., Inc. | | 5,807 | 221,305 |
| Heritage Commerce Corp. | | 10,547 | 113,908 |
| Heritage Financial Corp., Washington | | 8,122 | 159,029 |
| Heritage Oaks Bancorp | | 10,896 | 90,764 |
| Home Bancshares, Inc. | | 17,599 | 794,067 |
| HomeTrust Bancshares, Inc. (a) | | 6,601 | 131,954 |
| Horizon Bancorp Industries | | 2,246 | 61,832 |
| Huntington Bancshares, Inc. | | 199,654 | 2,333,955 |
| IBERIABANK Corp. | | 10,484 | 664,371 |
| Independent Bank Corp. | | 7,383 | 114,510 |
| Independent Bank Corp., Massachusetts (b) | | 6,977 | 360,990 |
| Independent Bank Group, Inc. | | 5,201 | 207,884 |
| International Bancshares Corp. | | 18,696 | 570,415 |
| Investar Holding Corp. | | 1,376 | 24,355 |
| Investors Bancorp, Inc. | | 83,811 | 1,074,457 |
| Lakeland Bancorp, Inc. | | 15,606 | 188,677 |
| Lakeland Financial Corp. | | 5,665 | 272,713 |
| Landmark Bancorp, Inc. | | 519 | 13,419 |
| LCNB Corp. | | 2,330 | 38,562 |
| LegacyTexas Financial Group, Inc. | | 12,443 | 379,636 |
| Live Oak Bancshares, Inc. (b) | | 8,328 | 131,582 |
| Macatawa Bank Corp. | | 12,036 | 70,892 |
| MainSource Financial Group, Inc. | | 7,855 | 180,822 |
| MB Financial, Inc. | | 20,686 | 739,318 |
| MBT Financial Corp. (a) | | 6,453 | 42,267 |
| Mercantile Bank Corp. | | 6,559 | 169,681 |
| Merchants Bancshares, Inc. | | 2,816 | 92,055 |
| Metro Bancorp, Inc. | | 3,750 | 127,425 |
| Middleburg Financial Corp. | | 2,232 | 41,002 |
| MidWestOne Financial Group, Inc. | | 4,035 | 128,111 |
| Monarch Financial Holdings, Inc. | | 2,476 | 32,386 |
| MutualFirst Financial, Inc. | | 1,656 | 39,413 |
| National Bankshares, Inc. | | 2,969 | 106,646 |
| National Penn Bancshares, Inc. | | 37,295 | 465,815 |
| NBT Bancorp, Inc. | | 11,948 | 359,993 |
| NewBridge Bancorp | | 13,272 | 170,412 |
| Northeast Bancorp | | 1,292 | 13,850 |
| Northrim Bancorp, Inc. | | 1,960 | 57,683 |
| Norwood Financial Corp. | | 895 | 25,731 |
| Oak Valley Bancorp Oakdale California | | 1,916 | 19,352 |
| Ohio Valley Banc Corp. | | 1,615 | 41,166 |
| Old Line Bancshares, Inc. | | 2,635 | 46,350 |
| Old National Bancorp, Indiana | | 27,443 | 404,784 |
| Old Point Financial Corp. | | 453 | 8,240 |
| Old Second Bancorp, Inc. (a) | | 10,975 | 85,056 |
| Opus Bank (b) | | 7,867 | 309,802 |
| Orrstown Financial Services, Inc. | | 2,177 | 38,685 |
| Pacific Continental Corp. | | 8,315 | 132,292 |
| Pacific Mercantile Bancorp (a) | | 9,313 | 62,770 |
| Pacific Premier Bancorp, Inc. (a) | | 5,329 | 124,858 |
| PacWest Bancorp | | 30,719 | 1,444,407 |
| Park Sterling Corp. | | 17,930 | 135,730 |
| Patriot National Bancorp, Inc. (a) | | 1,723 | 26,293 |
| Peapack-Gladstone Financial Corp. | | 5,501 | 125,313 |
| Penns Woods Bancorp, Inc. | | 1,952 | 87,079 |
| People's Utah Bancorp | | 5,586 | 95,018 |
| Peoples Bancorp of North Carolina | | 1,863 | 35,602 |
| Peoples Bancorp, Inc. | | 4,675 | 96,399 |
| Peoples Financial Services Corp. (b) | | 2,561 | 102,210 |
| Peoples United Financial, Inc. | | 80,169 | 1,342,831 |
| Pinnacle Financial Partners, Inc. | | 10,446 | 567,531 |
| Popular, Inc. (b) | | 27,481 | 816,461 |
| Preferred Bank, Los Angeles | | 4,081 | 148,630 |
| Premier Financial Bancorp, Inc. | | 766 | 11,697 |
| PrivateBancorp, Inc. | | 20,899 | 921,855 |
| QCR Holdings, Inc. | | 3,459 | 83,708 |
| Renasant Corp. | | 10,020 | 366,031 |
| Republic Bancorp, Inc., Kentucky Class A | | 6,722 | 180,284 |
| Republic First Bancorp, Inc. (a)(b) | | 9,584 | 44,182 |
| S&T Bancorp, Inc. | | 9,173 | 311,148 |
| Sandy Spring Bancorp, Inc. | | 8,000 | 235,040 |
| SB Financial Group, Inc. | | 723 | 8,076 |
| Seacoast Banking Corp., Florida (a) | | 8,557 | 137,340 |
| ServisFirst Bancshares, Inc. | | 6,733 | 331,398 |
| Shore Bancshares, Inc. | | 4,335 | 45,994 |
| Sierra Bancorp | | 6,519 | 116,299 |
| Signature Bank (a) | | 13,135 | 2,077,300 |
| Simmons First National Corp. Class A | | 8,151 | 469,987 |
| South State Corp. | | 6,471 | 508,685 |
| Southcoast Financial Corp. (a) | | 2,249 | 35,129 |
| Southern National Bancorp of Virginia, Inc. | | 3,827 | 47,263 |
| Southside Bancshares, Inc. | | 7,203 | 203,413 |
| Southwest Bancorp, Inc., Oklahoma | | 6,487 | 120,010 |
| State Bank Financial Corp. | | 9,915 | 231,119 |
| Stock Yards Bancorp, Inc. | | 7,672 | 308,951 |
| Stonegate Bank | | 3,298 | 111,538 |
| Suffolk Bancorp | | 3,853 | 114,203 |
| Summit Financial Group, Inc. | | 616 | 7,226 |
| Sun Bancorp, Inc. (a) | | 7,471 | 163,764 |
| SVB Financial Group (a) | | 13,472 | 1,784,771 |
| Talmer Bancorp, Inc. Class A | | 17,236 | 314,902 |
| Texas Capital Bancshares, Inc. (a) | | 12,493 | 740,585 |
| The First Bancorp, Inc. | | 4,381 | 97,214 |
| TowneBank | | 13,976 | 313,761 |
| Trico Bancshares | | 6,847 | 200,617 |
| TriState Capital Holdings, Inc. (a) | | 11,621 | 153,746 |
| Triumph Bancorp, Inc. | | 5,436 | 94,749 |
| Trustmark Corp. | | 15,882 | 401,021 |
| UMB Financial Corp. | | 12,928 | 681,306 |
| Umpqua Holdings Corp. | | 51,702 | 926,500 |
| Union Bankshares Corp. | | 11,901 | 319,542 |
| Union Bankshares, Inc. | | 744 | 20,534 |
| United Bankshares, Inc., West Virginia | | 18,022 | 759,087 |
| United Community Bank, Inc. | | 18,173 | 379,452 |
| United Security Bancshares, Inc. | | 450 | 3,839 |
| United Security Bancshares, California | | 1,169 | 6,137 |
| Univest Corp. of Pennsylvania | | 7,897 | 164,889 |
| Veritex Holdings, Inc. (a) | | 3,105 | 53,437 |
| Washington Trust Bancorp, Inc. | | 4,769 | 194,861 |
| WesBanco, Inc. | | 10,966 | 371,967 |
| West Bancorp., Inc. | | 5,705 | 118,265 |
| Westamerica Bancorp. (b) | | 7,842 | 384,258 |
| Wilshire Bancorp, Inc. | | 20,853 | 257,326 |
| Wintrust Financial Corp. | | 12,400 | 652,612 |
| Your Community Bankshares, Inc. | | 63 | 1,909 |
| Zions Bancorporation | | 51,696 | 1,548,812 |
| | | | 63,809,811 |
| Capital Markets - 1.0% | | | |
| American Capital Senior Floating Ltd. | | 4,809 | 52,274 |
| BGC Partners, Inc. Class A | | 58,369 | 530,282 |
| Calamos Asset Management, Inc. Class A | | 6,503 | 61,844 |
| Capital Southwest Corp. | | 4,122 | 64,509 |
| Capitala Finance Corp. (b) | | 5,297 | 74,158 |
| Carlyle Group LP | | 22,905 | 412,977 |
| CIFI Corp. | | 6,065 | 42,455 |
| CM Finance, Inc. (b) | | 3,792 | 42,888 |
| Cowen Group, Inc. Class A (a)(b) | | 30,004 | 142,519 |
| Diamond Hill Investment Group, Inc. | | 1,005 | 221,291 |
| E*TRADE Financial Corp. (a) | | 76,250 | 2,320,288 |
| FBR & Co. | | 2,691 | 56,942 |
| Fifth Street Asset Management, Inc. Class A (b) | | 4,060 | 18,514 |
| Financial Engines, Inc. (b) | | 13,359 | 481,325 |
| Harris & Harris Group, Inc. (a) | | 12,222 | 27,133 |
| Harvest Capital Credit Corp. | | 3,560 | 42,115 |
| Hennessy Advisors, Inc. | | 1,715 | 50,181 |
| Horizon Technology Finance Corp. | | 3,800 | 46,208 |
| Interactive Brokers Group, Inc. | | 17,089 | 740,979 |
| INTL FCStone, Inc. (a) | | 4,767 | 169,610 |
| LPL Financial (b) | | 24,522 | 1,127,522 |
| Newtek Business Services Corp. | | 4,408 | 61,888 |
| Northern Trust Corp. | | 61,729 | 4,625,971 |
| SEI Investments Co. | | 44,131 | 2,400,285 |
| Siebert Financial Corp. (a) | | 2,067 | 2,584 |
| Silvercrest Asset Management Group Class A | | 3,070 | 39,511 |
| T. Rowe Price Group, Inc. | | 68,089 | 5,184,977 |
| U.S. Global Investments, Inc. Class A | | 870 | 1,096 |
| Virtu Financial, Inc. Class A | | 9,125 | 203,031 |
| Virtus Investment Partners, Inc. | | 2,469 | 336,377 |
| WisdomTree Investments, Inc. (b) | | 37,005 | 804,859 |
| | | | 20,386,593 |
| Consumer Finance - 0.2% | | | |
| Asta Funding, Inc. (a) | | 3,624 | 30,369 |
| Atlanticus Holdings Corp. (a) | | 2,291 | 7,285 |
| Consumer Portfolio Services, Inc. (a) | | 7,107 | 33,261 |
| Credit Acceptance Corp. (a)(b) | | 5,503 | 1,102,911 |
| Encore Capital Group, Inc. (a)(b) | | 6,717 | 221,459 |
| EZCORP, Inc. (non-vtg.) Class A (a)(b) | | 16,249 | 94,082 |
| First Cash Financial Services, Inc. (a) | | 7,527 | 292,725 |
| Navient Corp. | | 96,614 | 1,150,673 |
| Nicholas Financial, Inc. (a) | | 3,320 | 42,762 |
| PRA Group, Inc. (a)(b) | | 12,804 | 528,933 |
| QC Holdings, Inc. | | 1,821 | 2,458 |
| SLM Corp. (a) | | 112,123 | 757,391 |
| World Acceptance Corp. (a)(b) | | 2,333 | 100,646 |
| | | | 4,364,955 |
| Diversified Financial Services - 0.8% | | | |
| A-Mark Precious Metals, Inc. | | 2,324 | 36,022 |
| CBOE Holdings, Inc. | | 21,965 | 1,586,093 |
| China Commercial Credit, Inc. (a) | | 1,526 | 694 |
| CME Group, Inc. | | 89,597 | 8,749,147 |
| MarketAxess Holdings, Inc. | | 9,894 | 1,056,481 |
| Markit Ltd. (a) | | 54,117 | 1,596,452 |
| Marlin Business Services Corp. | | 3,780 | 66,074 |
| Morningstar, Inc. | | 11,847 | 956,645 |
| NewStar Financial, Inc. (a) | | 12,887 | 124,102 |
| PICO Holdings, Inc. (a) | | 6,956 | 75,333 |
| Resource America, Inc. Class A | | 7,199 | 42,042 |
| The NASDAQ OMX Group, Inc. | | 43,982 | 2,578,225 |
| Tiptree Financial, Inc. | | 10,225 | 70,246 |
| Value Line, Inc. | | 1,458 | 22,132 |
| WL Ross Holding Corp. (a) | | 24,206 | 242,302 |
| | | | 17,201,990 |
| Insurance - 0.7% | | | |
| AMBAC Financial Group, Inc. (a) | | 11,994 | 202,459 |
| American Independence Corp. (a) | | 848 | 7,836 |
| American National Insurance Co. | | 7,629 | 819,049 |
| Amerisafe, Inc. | | 5,170 | 278,353 |
| AmTrust Financial Services, Inc. | | 21,341 | 1,334,026 |
| Arch Capital Group Ltd. (a)(b) | | 31,583 | 2,288,820 |
| Argo Group International Holdings, Ltd. | | 6,953 | 441,724 |
| Atlas Financial Holdings, Inc. (a) | | 3,081 | 64,609 |
| Baldwin & Lyons, Inc. Class B | | 6,121 | 143,537 |
| Cincinnati Financial Corp. | | 41,744 | 2,550,976 |
| CNinsure, Inc. ADR (a) | | 10,482 | 94,862 |
| Donegal Group, Inc. Class A | | 10,694 | 148,860 |
| eHealth, Inc. (a) | | 6,376 | 82,569 |
| EMC Insurance Group | | 5,956 | 155,571 |
| Enstar Group Ltd. (a) | | 4,259 | 656,354 |
| Erie Indemnity Co. Class A | | 12,733 | 1,226,570 |
| Federated National Holding Co. | | 4,343 | 124,166 |
| Global Indemnity PLC (a) | | 4,545 | 133,350 |
| Greenlight Capital Re, Ltd. (a) | | 7,607 | 156,780 |
| Hallmark Financial Services, Inc. (a) | | 7,017 | 89,467 |
| Health Insurance Innovations, Inc. (a)(b) | | 2,090 | 11,328 |
| Infinity Property & Casualty Corp. | | 2,765 | 236,408 |
| Investors Title Co. | | 621 | 54,058 |
| James River Group Holdings Ltd. | | 8,075 | 259,208 |
| Kansas City Life Insurance Co. | | 3,287 | 164,087 |
| Kingstone Companies, Inc. | | 3,333 | 32,663 |
| Maiden Holdings Ltd. | | 20,674 | 318,586 |
| National General Holdings Corp. | | 25,378 | 556,032 |
| National Interstate Corp. | | 7,415 | 193,828 |
| National Western Life Group, Inc. | | 983 | 258,775 |
| Navigators Group, Inc. (a) | | 3,760 | 324,338 |
| Oxbridge Re Holdings Ltd. | | 1,344 | 7,325 |
| Safety Insurance Group, Inc. | | 3,962 | 221,912 |
| Selective Insurance Group, Inc. | | 15,878 | 547,950 |
| State Auto Financial Corp. | | 11,447 | 265,685 |
| State National Companies, Inc. | | 13,036 | 131,794 |
| Unico American Corp. (a) | | 912 | 8,217 |
| United Fire Group, Inc. | | 6,914 | 276,767 |
| United Insurance Holdings Corp. | | 6,540 | 123,868 |
| | | | 14,992,767 |
| Real Estate Investment Trusts - 0.6% | | | |
| American Capital Agency Corp. | | 90,211 | 1,619,287 |
| American Capital Mortgage Investment Corp. | | 12,032 | 180,360 |
| CareTrust (REIT), Inc. | | 12,338 | 137,692 |
| CIM Commercial Trust Corp. | | 24,432 | 451,748 |
| Communications Sales & Leasing, Inc. | | 41,041 | 798,247 |
| CyrusOne, Inc. | | 17,513 | 633,270 |
| Equinix, Inc. | | 15,071 | 4,468,552 |
| Gaming & Leisure Properties | | 30,183 | 820,676 |
| Gladstone Commercial Corp. | | 8,799 | 128,377 |
| Gladstone Land Corp. | | 3,258 | 30,658 |
| Gyrodyne LLC (b) | | 955 | 25,747 |
| Lamar Advertising Co. Class A | | 20,981 | 1,225,500 |
| New York Mortgage Trust, Inc. (b) | | 32,846 | 190,507 |
| Potlatch Corp. | | 11,126 | 371,831 |
| Retail Opportunity Investments Corp. | | 29,119 | 532,587 |
| Sabra Health Care REIT, Inc. | | 17,866 | 369,469 |
| SoTHERLY Hotels, Inc. | | 7,917 | 49,085 |
| United Development Funding IV (b) | | 9,244 | 165,190 |
| | | | 12,198,783 |
| Real Estate Management & Development - 0.1% | | | |
| Altisource Portfolio Solutions SA (a)(b) | | 5,149 | 148,137 |
| AV Homes, Inc. (a) | | 7,112 | 98,999 |
| China HGS Real Estate, Inc. (a)(b) | | 10,514 | 21,554 |
| China Housing & Land Development, Inc. (a)(b) | | 854 | 3,518 |
| Colliers International Group, Inc. | | 10,033 | 454,150 |
| Cresud S.A.C.I.F. y A. sponsored ADR | | 12,181 | 134,235 |
| Elbit Imaging Ltd. (a) | | 109 | 117 |
| FirstService Corp. | | 9,317 | 379,392 |
| FRP Holdings, Inc. (a) | | 3,157 | 97,835 |
| Griffin Industrial Realty, Inc. | | 1,362 | 36,747 |
| Landmark Infrastructure Partners LP (b) | | 3,065 | 44,749 |
| Stratus Properties, Inc. (a) | | 1,767 | 29,368 |
| | | | 1,448,801 |
| Thrifts & Mortgage Finance - 0.4% | | | |
| America First Tax Exempt Investors LP | | 16,601 | 90,143 |
| Anchor BanCorp Wisconsin, Inc. (a) | | 2,723 | 114,339 |
| ASB Bancorp, Inc. (a) | | 402 | 10,440 |
| Bank Mutual Corp. | | 16,323 | 126,014 |
| BankFinancial Corp. | | 8,518 | 109,456 |
| Bear State Financial, Inc. (b) | | 10,743 | 114,413 |
| Beneficial Bancorp, Inc. (a) | | 21,175 | 295,603 |
| BofI Holding, Inc. (a)(b) | | 15,988 | 320,240 |
| Brookline Bancorp, Inc., Delaware | | 18,523 | 217,460 |
| BSB Bancorp, Inc. (a) | | 3,808 | 86,442 |
| Cape Bancorp, Inc. | | 4,456 | 58,507 |
| Capitol Federal Financial, Inc. | | 32,971 | 427,634 |
| Carver Bancorp, Inc. (a) | | 695 | 4,128 |
| Charter Financial Corp. | | 8,303 | 110,762 |
| Cheviot Financial Corp. | | 2,477 | 37,527 |
| Chicopee Bancorp, Inc. | | 1,629 | 28,019 |
| Clifton Bancorp, Inc. | | 8,796 | 130,533 |
| Dime Community Bancshares, Inc. | | 11,555 | 213,883 |
| ESSA Bancorp, Inc. | | 3,470 | 46,463 |
| First Clover Leaf Financial Corp. | | 1,082 | 10,528 |
| First Defiance Financial Corp. | | 2,593 | 107,687 |
| First Financial Northwest, Inc. | | 7,408 | 100,304 |
| Fox Chase Bancorp, Inc. | | 6,251 | 114,018 |
| HF Financial Corp. | | 1,845 | 29,944 |
| Hingham Institution for Savings | | 684 | 89,050 |
| HMN Financial, Inc. (a) | | 448 | 5,389 |
| Home Bancorp, Inc. | | 2,884 | 76,138 |
| HomeStreet, Inc. (a)(b) | | 5,897 | 127,788 |
| HopFed Bancorp, Inc. | | 1,199 | 14,016 |
| Kearny Financial Corp. | | 23,244 | 292,874 |
| Lake Shore Bancorp, Inc. | | 812 | 10,848 |
| Lake Sunapee Bank Group | | 999 | 13,986 |
| Lendingtree, Inc. (a)(b) | | 3,133 | 319,190 |
| Meridian Bancorp, Inc. | | 15,039 | 220,472 |
| Meta Financial Group, Inc. | | 2,042 | 91,890 |
| NMI Holdings, Inc. (a) | | 16,701 | 123,420 |
| Northeast Community Bancorp, Inc. | | 696 | 5,317 |
| Northfield Bancorp, Inc. | | 11,433 | 182,128 |
| Northwest Bancshares, Inc. | | 27,097 | 377,732 |
| Ocean Shore Holding Co. | | 2,171 | 37,450 |
| OceanFirst Financial Corp. | | 6,256 | 123,619 |
| Oneida Financial Corp. | | 2,123 | 42,736 |
| Oritani Financial Corp. | | 11,125 | 192,908 |
| Provident Financial Holdings, Inc. | | 2,969 | 54,867 |
| Prudential Bancorp, Inc. | | 3,638 | 54,352 |
| Pulaski Financial Corp. | | 5,265 | 86,399 |
| River Valley Bancorp | | 460 | 16,509 |
| Riverview Bancorp, Inc. | | 4,177 | 18,797 |
| Severn Bancorp, Inc. (a) | | 677 | 3,845 |
| SI Financial Group, Inc. | | 4,494 | 58,332 |
| Southern Missouri Bancorp, Inc. | | 1,692 | 40,405 |
| Territorial Bancorp, Inc. | | 3,435 | 98,962 |
| TFS Financial Corp. | | 80,515 | 1,511,267 |
| Trustco Bank Corp., New York | | 27,386 | 179,652 |
| United Community Financial Corp. | | 19,889 | 116,947 |
| United Financial Bancorp, Inc. New | | 13,618 | 189,426 |
| Washington Federal, Inc. | | 23,600 | 609,824 |
| Waterstone Financial, Inc. | | 10,295 | 142,586 |
| Westfield Financial, Inc. | | 5,006 | 40,248 |
| WSFS Financial Corp. | | 7,772 | 265,492 |
| | | | 8,739,348 |
|
| TOTAL FINANCIALS | | | 143,143,048 |
|
| HEALTH CARE - 16.1% | | | |
| Biotechnology - 10.5% | | | |
| Abeona Therapeutics, Inc. (a)(b) | | 8,888 | 41,329 |
| ACADIA Pharmaceuticals, Inc. (a)(b) | | 26,842 | 1,018,654 |
| Acceleron Pharma, Inc. (a) | | 8,908 | 381,886 |
| Achillion Pharmaceuticals, Inc. (a)(b) | | 36,086 | 367,355 |
| Acorda Therapeutics, Inc. (a)(b) | | 11,768 | 449,420 |
| Adamas Pharmaceuticals, Inc. (a) | | 4,619 | 73,765 |
| Adaptimmune Therapeutics PLC sponsored ADR | | 2,923 | 26,424 |
| ADMA Biologics, Inc. (a)(b) | | 4,173 | 38,392 |
| Aduro Biotech, Inc. (b) | | 16,512 | 511,707 |
| Advaxis, Inc. (a)(b) | | 8,036 | 96,995 |
| Aegerion Pharmaceuticals, Inc. (a)(b) | | 7,858 | 80,466 |
| Affimed NV (a)(b) | | 8,764 | 65,379 |
| Agenus, Inc. (a) | | 21,582 | 110,284 |
| Agios Pharmaceuticals, Inc. (a)(b) | | 9,977 | 644,414 |
| Aimmune Therapeutics, Inc. (a)(b) | | 11,222 | 240,039 |
| Akebia Therapeutics, Inc. (a) | | 7,485 | 80,314 |
| Alder Biopharmaceuticals, Inc. (a) | | 11,550 | 430,353 |
| Alexion Pharmaceuticals, Inc. (a)(b) | | 60,043 | 10,714,073 |
| Alkermes PLC (a) | | 39,558 | 2,901,975 |
| Alnylam Pharmaceuticals, Inc. (a) | | 22,430 | 2,334,066 |
| AMAG Pharmaceuticals, Inc. (a) | | 9,043 | 240,725 |
| Amarin Corp. PLC ADR (a)(b) | | 60,435 | 125,705 |
| Amgen, Inc. | | 200,972 | 32,376,589 |
| Amicus Therapeutics, Inc. (a) | | 32,032 | 343,703 |
| Anacor Pharmaceuticals, Inc. (a) | | 11,426 | 1,333,757 |
| Anthera Pharmaceuticals, Inc. (a) | | 9,885 | 56,246 |
| Applied Genetic Technologies Corp. (a) | | 5,947 | 101,337 |
| Aquinox Pharmaceuticals, Inc. (a)(b) | | 4,762 | 57,096 |
| Arbutus Biopharma Corp. (a)(b) | | 15,464 | 86,289 |
| Ardelyx, Inc. (a)(b) | | 6,739 | 131,815 |
| Arena Pharmaceuticals, Inc. (a) | | 63,699 | 152,241 |
| Argos Therapeutics, Inc. (a)(b) | | 4,768 | 19,406 |
| ARIAD Pharmaceuticals, Inc. (a)(b) | | 50,393 | 323,019 |
| ArQule, Inc. (a) | | 26,211 | 59,499 |
| Array BioPharma, Inc. (a)(b) | | 39,182 | 155,161 |
| Arrowhead Research Corp. (a)(b) | | 18,114 | 114,480 |
| Ascendis Pharma A/S ADR | | 4,550 | 81,127 |
| Atara Biotherapeutics, Inc. (a)(b) | | 7,830 | 307,719 |
| Athersys, Inc. (a)(b) | | 38,796 | 42,676 |
| aTyr Pharma, Inc. (a)(b) | | 5,867 | 49,928 |
| Aurinia Pharmaceuticals, Inc. (a) | | 9,563 | 24,347 |
| Avalanche Biotechnologies, Inc. (a) | | 6,327 | 66,307 |
| AVEO Pharmaceuticals, Inc. (a) | | 12,750 | 15,173 |
| Bellicum Pharmaceuticals, Inc. (b) | | 7,381 | 169,984 |
| BIND Therapeutics, Inc. (a) | | 9,908 | 46,568 |
| BioCryst Pharmaceuticals, Inc. (a)(b) | | 19,383 | 205,654 |
| Biogen, Inc. (a) | | 62,302 | 17,871,952 |
| BioMarin Pharmaceutical, Inc. (a) | | 42,895 | 4,090,896 |
| Biospecifics Technologies Corp. (a) | | 1,935 | 93,751 |
| Biota Pharmaceuticals, Inc. (a) | | 7,051 | 13,115 |
| Biotie Therapies Corp. sponsored ADR | | 1,834 | 26,043 |
| bluebird bio, Inc. (a) | | 9,703 | 861,141 |
| Blueprint Medicines Corp. | | 7,451 | 172,565 |
| Calithera Biosciences, Inc. (a)(b) | | 3,965 | 31,482 |
| Cancer Genetics, Inc. (a) | | 3,642 | 12,674 |
| Capricor Therapeutics, Inc. (a) | | 3,109 | 13,120 |
| Cara Therapeutics, Inc. (a) | | 6,809 | 112,689 |
| CareDx, Inc. (a) | | 5,786 | 37,667 |
| CASI Pharmaceuticals, Inc. (a) | | 899 | 944 |
| Catabasis Pharmaceuticals, Inc. (b) | | 5,874 | 48,754 |
| Catalyst Biosciences, Inc. (a) | | 1,132 | 3,317 |
| Catalyst Pharmaceutical Partners, Inc. (a) | | 24,398 | 66,241 |
| Celator Pharmaceuticals, Inc. (a) | | 6,769 | 12,252 |
| Celgene Corp. (a) | | 209,604 | 22,941,158 |
| Celladon Corp. (a) | | 5,077 | 9,037 |
| Celldex Therapeutics, Inc. (a)(b) | | 27,233 | 490,466 |
| Cellectis SA sponsored ADR (b) | | 1,841 | 60,919 |
| Cellular Biomedicine Group, Inc. (a)(b) | | 3,536 | 81,222 |
| Celsion Corp. (a)(b) | | 10,874 | 24,575 |
| Cepheid, Inc. (a) | | 19,576 | 703,561 |
| Cerulean Pharma, Inc. (a)(b) | | 8,259 | 26,759 |
| ChemoCentryx, Inc. (a)(b) | | 12,311 | 92,948 |
| Chiasma, Inc. (a)(b) | | 6,835 | 151,669 |
| Chimerix, Inc. (a) | | 12,243 | 494,617 |
| China Biologic Products, Inc. (a) | | 6,860 | 806,187 |
| Cidara Therapeutics, Inc. (b) | | 4,301 | 66,321 |
| Cleveland Biolabs, Inc. (a)(b) | | 161 | 678 |
| Clovis Oncology, Inc. (a)(b) | | 9,925 | 312,141 |
| Coherus BioSciences, Inc. (b) | | 10,110 | 307,041 |
| Colucid Pharmaceuticals, Inc. (b) | | 4,541 | 25,838 |
| Conatus Pharmaceuticals, Inc. (a)(b) | | 3,522 | 11,235 |
| Concert Pharmaceuticals, Inc. (a) | | 6,666 | 152,851 |
| ContraFect Corp. (a)(b) | | 6,691 | 27,768 |
| Corbus Pharmaceuticals Holdings, Inc. (a)(b) | | 14,493 | 25,798 |
| CTI BioPharma Corp. (a) | | 78,057 | 96,010 |
| Cubist Pharmaceuticals, Inc. rights (a) | | 5,544 | 0 |
| Curis, Inc. (a) | | 33,941 | 92,998 |
| Cyclacel Pharmaceuticals, Inc. (a) | | 5,706 | 4,080 |
| Cytokinetics, Inc. (a) | | 11,049 | 130,599 |
| Cytori Therapeutics, Inc. (a)(b) | | 71,017 | 25,843 |
| CytRx Corp. (a)(b) | | 18,151 | 56,813 |
| DBV Technologies SA sponsored ADR (a) | | 5,967 | 208,069 |
| Dicerna Pharmaceuticals, Inc. (a)(b) | | 5,947 | 79,452 |
| Discovery Laboratories, Inc. (a) | | 23,215 | 7,016 |
| Dyax Corp. (a) | | 37,958 | 1,277,666 |
| Dynavax Technologies Corp. (a) | | 11,420 | 318,504 |
| Eagle Pharmaceuticals, Inc. (a)(b) | | 4,075 | 373,433 |
| Eleven Biotherapeutics, Inc. (a)(b) | | 5,420 | 17,290 |
| Enanta Pharmaceuticals, Inc. (a)(b) | | 5,203 | 163,895 |
| Enzon Pharmaceuticals, Inc. | | 19,841 | 14,403 |
| Enzymotec Ltd. (a) | | 6,310 | 63,226 |
| Epirus Biopharmaceuticals, Inc. (a)(b) | | 8,074 | 39,320 |
| Epizyme, Inc. (a)(b) | | 11,339 | 182,671 |
| Esperion Therapeutics, Inc. (a)(b) | | 6,276 | 178,301 |
| Exact Sciences Corp. (a)(b) | | 26,352 | 239,540 |
| Exelixis, Inc. (a)(b) | | 58,785 | 336,250 |
| Fate Therapeutics, Inc. (a)(b) | | 9,778 | 40,970 |
| Fibrocell Science, Inc. (a)(b) | | 11,742 | 69,278 |
| FibroGen, Inc. | | 16,002 | 475,899 |
| Five Prime Therapeutics, Inc. (a) | | 7,100 | 272,995 |
| Flexion Therapeutics, Inc. (a) | | 5,441 | 105,773 |
| Fortress Biotech, Inc. (a)(b) | | 18,811 | 56,245 |
| Forward Pharma A/S sponsored ADR (a) | | 3,155 | 68,747 |
| Foundation Medicine, Inc. (a)(b) | | 9,578 | 162,922 |
| Galapagos Genomics NV sponsored ADR | | 2,418 | 120,223 |
| Galectin Therapeutics, Inc. (a)(b) | | 9,741 | 19,482 |
| Galena Biopharma, Inc. (a)(b) | | 45,192 | 67,788 |
| Galmed Pharmaceuticals Ltd. (a)(b) | | 4,237 | 39,785 |
| Genocea Biosciences, Inc. (a) | | 6,302 | 40,333 |
| Genomic Health, Inc. (a)(b) | | 9,870 | 299,258 |
| GenVec, Inc. (a) | | 3,850 | 6,930 |
| Geron Corp. (a)(b) | | 40,494 | 206,519 |
| Gilead Sciences, Inc. | | 388,724 | 41,189,195 |
| Global Blood Therapeutics, Inc. (a)(b) | | 7,982 | 374,835 |
| GlycoMimetics, Inc. (a) | | 6,164 | 43,025 |
| Grifols SA ADR (b) | | 21,597 | 750,496 |
| GTx, Inc. (a)(b) | | 5,496 | 5,111 |
| Halozyme Therapeutics, Inc. (a)(b) | | 35,259 | 627,610 |
| Harvard Apparatus (a) | | 528 | 1,716 |
| Heron Therapeutics, Inc. (a)(b) | | 9,828 | 294,349 |
| Histogenics Corp. | | 3,605 | 11,860 |
| Idera Pharmaceuticals, Inc. (a)(b) | | 29,274 | 113,583 |
| Ignyta, Inc. (a) | | 8,117 | 119,320 |
| Immune Design Corp. (a) | | 5,994 | 125,454 |
| ImmunoGen, Inc. (a) | | 22,512 | 305,488 |
| Immunomedics, Inc. (a)(b) | | 22,337 | 73,489 |
| Incyte Corp. (a) | | 47,910 | 5,473,238 |
| Infinity Pharmaceuticals, Inc. (a) | | 12,452 | 109,827 |
| Inotek Pharmaceuticals Corp. | | 4,756 | 57,024 |
| Inovio Pharmaceuticals, Inc. (a)(b) | | 20,054 | 148,600 |
| Insmed, Inc. (a) | | 17,504 | 285,490 |
| Insys Therapeutics, Inc. (a)(b) | | 18,899 | 602,122 |
| Intercept Pharmaceuticals, Inc. (a)(b) | | 6,481 | 1,143,961 |
| Ironwood Pharmaceuticals, Inc. Class A (a)(b) | | 32,887 | 401,221 |
| Isis Pharmaceuticals, Inc. (a)(b) | | 31,680 | 1,933,747 |
| Juno Therapeutics, Inc. (b) | | 26,187 | 1,476,685 |
| Kamada (a) | | 8,190 | 34,644 |
| Karyopharm Therapeutics, Inc. (a)(b) | | 9,737 | 182,082 |
| Keryx Biopharmaceuticals, Inc. (a)(b) | | 27,604 | 159,275 |
| Kindred Biosciences, Inc. (a) | | 6,727 | 26,841 |
| Kite Pharma, Inc. (a)(b) | | 11,729 | 966,118 |
| La Jolla Pharmaceutical Co. (a)(b) | | 5,044 | 170,437 |
| Lexicon Pharmaceuticals, Inc. (a)(b) | | 26,849 | 369,442 |
| Ligand Pharmaceuticals, Inc.: | | | |
| Class B (a)(b) | | 5,437 | 582,194 |
| General CVR (a) | | 1,518 | 108 |
| Glucagon CVR (a) | | 1,518 | 83 |
| MRK CVR rights (a) | | 1,639 | 0 |
| rights (a) | | 1,518 | 11 |
| TR Beta CVR (a) | | 1,518 | 64 |
| Lion Biotechnologies, Inc. (a) | | 15,660 | 114,005 |
| Loxo Oncology, Inc. (a)(b) | | 4,809 | 158,360 |
| Macrocure Ltd. (a)(b) | | 5,698 | 11,567 |
| Macrogenics, Inc. (a) | | 9,623 | 332,763 |
| MannKind Corp. (a)(b) | | 114,155 | 228,310 |
| MediciNova, Inc. (a)(b) | | 10,329 | 36,152 |
| Medivation, Inc. (a) | | 43,471 | 1,837,954 |
| MEI Pharma, Inc. (a)(b) | | 6,684 | 12,165 |
| Merrimack Pharmaceuticals, Inc. (a)(b) | | 29,428 | 276,917 |
| MiMedx Group, Inc. (a)(b) | | 29,829 | 267,268 |
| Minerva Neurosciences, Inc. (a) | | 7,470 | 37,499 |
| Mirati Therapeutics, Inc. (a) | | 5,046 | 191,899 |
| Momenta Pharmaceuticals, Inc. (a) | | 17,618 | 314,657 |
| Myriad Genetics, Inc. (a)(b) | | 17,971 | 781,739 |
| Nanosphere, Inc. (a)(b) | | 1,695 | 1,949 |
| NantKwest, Inc. (a)(b) | | 21,836 | 356,145 |
| Natera, Inc. (a)(b) | | 14,666 | 130,381 |
| Neothetics, Inc. (b) | | 4,838 | 44,171 |
| NephroGenex, Inc. (a)(b) | | 3,625 | 7,323 |
| Neurocrine Biosciences, Inc. (a)(b) | | 22,876 | 1,243,768 |
| NewLink Genetics Corp. (a)(b) | | 7,507 | 274,756 |
| Nexvet Biopharma PLC (a)(b) | | 5,964 | 23,558 |
| Nivalis Therapeutics, Inc. | | 4,215 | 34,985 |
| Northwest Biotherapeutics, Inc. (a)(b) | | 19,924 | 92,049 |
| Novavax, Inc. (a)(b) | | 70,376 | 602,419 |
| Nymox Pharmaceutical Corp. (a)(b) | | 11,657 | 38,235 |
| Ocata Therapeutics, Inc. (a) | | 10,729 | 92,055 |
| Ohr Pharmaceutical, Inc. (a)(b) | | 6,780 | 30,442 |
| OncoGenex Pharmaceuticals, Inc. (a)(b) | | 10,105 | 26,071 |
| Oncolytics Biotech, Inc. (a) | | 17,521 | 5,642 |
| OncoMed Pharmaceuticals, Inc. (a)(b) | | 8,459 | 193,288 |
| Onconova Therapeutics, Inc. (a)(b) | | 2,820 | 3,948 |
| Oncothyreon, Inc. (a) | | 32,326 | 114,757 |
| Ophthotech Corp. (a) | | 9,547 | 606,903 |
| Orexigen Therapeutics, Inc. (a)(b) | | 35,426 | 84,668 |
| Osiris Therapeutics, Inc. (b) | | 9,424 | 96,690 |
| Otonomy, Inc. (a) | | 6,736 | 177,763 |
| OvaScience, Inc. (a)(b) | | 6,685 | 63,040 |
| OXiGENE, Inc. (a) | | 4,000 | 3,920 |
| PDL BioPharma, Inc. | | 42,973 | 162,653 |
| Peregrine Pharmaceuticals, Inc. (a)(b) | | 84,708 | 109,273 |
| Pieris Pharmaceuticals, Inc. (a)(b) | | 12,868 | 32,299 |
| Pluristem Therapeutics, Inc. (a) | | 26,881 | 37,365 |
| Portola Pharmaceuticals, Inc. (a)(b) | | 13,731 | 681,195 |
| Prana Biotechnology Ltd. ADR (a) | | 3,293 | 3,227 |
| Progenics Pharmaceuticals, Inc. (a) | | 19,073 | 128,171 |
| ProNai Therapeutics, Inc. (a)(b) | | 8,082 | 155,094 |
| ProQR Therapeutics BV (a)(b) | | 5,848 | 60,936 |
| Proteon Therapeutics, Inc. (a)(b) | | 4,823 | 76,879 |
| Prothena Corp. PLC (a) | | 8,526 | 601,424 |
| PTC Therapeutics, Inc. (a)(b) | | 9,447 | 283,788 |
| QLT, Inc. (a) | | 15,216 | 43,670 |
| Radius Health, Inc. (a) | | 11,462 | 697,004 |
| Raptor Pharmaceutical Corp. (a) | | 20,776 | 131,304 |
| Recro Pharma, Inc. (a)(b) | | 2,448 | 21,812 |
| Regeneron Pharmaceuticals, Inc. (a) | | 26,967 | 14,683,532 |
| REGENXBIO, Inc. (a) | | 8,063 | 193,270 |
| Regulus Therapeutics, Inc. (a)(b) | | 14,580 | 146,821 |
| Repligen Corp. (a)(b) | | 9,450 | 268,664 |
| Retrophin, Inc. (a) | | 9,726 | 217,376 |
| Rigel Pharmaceuticals, Inc. (a) | | 22,858 | 74,974 |
| Sage Therapeutics, Inc. (a) | | 8,078 | 387,098 |
| Sangamo Biosciences, Inc. (a) | | 18,101 | 149,876 |
| Sarepta Therapeutics, Inc. (a)(b) | | 10,892 | 400,390 |
| Seattle Genetics, Inc. (a)(b) | | 36,372 | 1,526,897 |
| Seres Therapeutics, Inc. (b) | | 10,577 | 378,974 |
| Sinovac Biotech Ltd. (a) | | 17,922 | 95,703 |
| Sorrento Therapeutics, Inc. (a)(b) | | 9,467 | 75,831 |
| Spark Therapeutics, Inc. (b) | | 6,562 | 379,218 |
| Spectrum Pharmaceuticals, Inc. (a)(b) | | 19,144 | 114,864 |
| StemCells, Inc. (a) | | 60,746 | 33,107 |
| Stemline Therapeutics, Inc. (a) | | 4,870 | 40,129 |
| Sunesis Pharmaceuticals, Inc. (a) | | 21,950 | 22,609 |
| Synergy Pharmaceuticals, Inc. (a)(b) | | 28,378 | 178,214 |
| Synta Pharmaceuticals Corp. (a)(b) | | 39,269 | 16,803 |
| T2 Biosystems, Inc. (a)(b) | | 6,465 | 76,222 |
| Tenax Therapeutics, Inc. (a)(b) | | 12,195 | 39,512 |
| TESARO, Inc. (a) | | 11,079 | 565,472 |
| TetraLogic Pharmaceuticals Corp. (a)(b) | | 4,788 | 10,486 |
| TG Therapeutics, Inc. (a)(b) | | 14,539 | 191,624 |
| Threshold Pharmaceuticals, Inc. (a) | | 20,539 | 71,681 |
| Tobira Therapeutics, Inc. (a)(b) | | 6,103 | 81,780 |
| Tokai Pharmaceuticals, Inc. (a)(b) | | 6,171 | 70,967 |
| TONIX Pharmaceuticals Holding (a)(b) | | 6,127 | 44,421 |
| TRACON Pharmaceuticals, Inc. | | 3,559 | 42,281 |
| Transition Therapeutics, Inc. (a) | | 8,979 | 16,881 |
| Trevena, Inc. (a) | | 14,000 | 176,260 |
| Trovagene, Inc. (a)(b) | | 10,513 | 67,914 |
| Ultragenyx Pharmaceutical, Inc. (a) | | 10,370 | 1,019,578 |
| uniQure B.V. (a) | | 5,484 | 102,990 |
| United Therapeutics Corp. (a) | | 12,046 | 1,838,581 |
| Vanda Pharmaceuticals, Inc. (a)(b) | | 12,693 | 125,153 |
| VBL Therapeutics (a)(b) | | 6,559 | 34,566 |
| Verastem, Inc. (a) | | 8,737 | 19,833 |
| Vericel Corp. (a) | | 7,531 | 17,698 |
| Versartis, Inc. (a) | | 8,731 | 110,447 |
| Vertex Pharmaceuticals, Inc. (a) | | 64,926 | 8,398,827 |
| Vical, Inc. (a) | | 13,452 | 7,181 |
| Vitae Pharmaceuticals, Inc. (a) | | 5,864 | 84,207 |
| Vital Therapies, Inc. (a)(b) | | 8,413 | 79,082 |
| vTv Therapeutics, Inc. Class A (a) | | 3,233 | 21,952 |
| Xbiotech, Inc. (b) | | 9,130 | 68,201 |
| Xencor, Inc. (a) | | 10,779 | 173,326 |
| Xenon Pharmaceuticals, Inc. | | 4,574 | 41,806 |
| XOMA Corp. (a)(b) | | 28,824 | 38,336 |
| Zafgen, Inc. (a)(b) | | 6,572 | 111,133 |
| ZIOPHARM Oncology, Inc. (a)(b) | | 34,513 | 451,430 |
| | | | 217,452,957 |
| Health Care Equipment & Supplies - 1.5% | | | |
| Abaxis, Inc. | | 6,087 | 323,646 |
| Abiomed, Inc. (a)(b) | | 10,825 | 882,995 |
| Accuray, Inc. (a)(b) | | 20,468 | 144,095 |
| Aethlon Medical, Inc. (a)(b) | | 3,425 | 24,797 |
| Align Technology, Inc. (a)(b) | | 21,268 | 1,419,426 |
| Alliqua Biomedical, Inc. (a) | | 8,560 | 22,684 |
| Alphatec Holdings, Inc. (a) | | 29,327 | 6,745 |
| Analogic Corp. | | 3,691 | 308,383 |
| Angiodynamics, Inc. (a) | | 11,436 | 136,088 |
| Anika Therapeutics, Inc. (a)(b) | | 4,337 | 181,981 |
| Antares Pharma, Inc. (a) | | 43,620 | 57,142 |
| Atossa Genetics, Inc. (a) | | 4,348 | 2,174 |
| Atricure, Inc. (a)(b) | | 9,470 | 203,416 |
| Atrion Corp. | | 526 | 221,393 |
| Avinger, Inc. (b) | | 3,879 | 69,783 |
| AxoGen, Inc. (a) | | 9,371 | 51,541 |
| Bellerophon Therapeutics, Inc. (b) | | 4,624 | 14,612 |
| BioLase Technology, Inc. (a)(b) | | 19,079 | 17,267 |
| Cardica, Inc. (a) | | 26,919 | 6,151 |
| Cardiovascular Systems, Inc. (a)(b) | | 8,530 | 136,480 |
| Cerus Corp. (a)(b) | | 27,048 | 153,362 |
| Cesca Therapeutics, Inc. (a) | | 1,101 | 413 |
| Cogentix Medical, Inc. (a) | | 2,300 | 3,335 |
| ConforMis, Inc. (a)(b) | | 10,820 | 230,791 |
| CONMED Corp. | | 7,107 | 302,048 |
| Cutera, Inc. (a) | | 4,323 | 61,473 |
| Cynosure, Inc. Class A (a) | | 5,721 | 240,625 |
| CytoSorbents Corp. (a)(b) | | 6,031 | 43,845 |
| Dehaier Medical Systems Ltd. (a) | | 837 | 1,423 |
| Delcath Systems, Inc. (a) | | 357 | 175 |
| DENTSPLY International, Inc. | | 37,250 | 2,259,585 |
| Derma Sciences, Inc. (a) | | 7,293 | 32,673 |
| DexCom, Inc. (a) | | 20,827 | 1,770,712 |
| EDAP TMS SA sponsored ADR (a)(b) | | 5,308 | 28,822 |
| Endologix, Inc. (a)(b) | | 16,791 | 170,932 |
| Entellus Medical, Inc. (b) | | 5,967 | 104,064 |
| EnteroMedics, Inc. (a)(b) | | 11,433 | 2,067 |
| Exactech, Inc. (a) | | 4,702 | 82,426 |
| Fonar Corp. (a) | | 2,012 | 32,031 |
| Genmark Diagnostics, Inc. (a) | | 12,119 | 96,588 |
| Hansen Medical, Inc. (a)(b) | | 2,742 | 7,760 |
| HeartWare International, Inc. (a)(b) | | 4,652 | 222,645 |
| Hologic, Inc. (a) | | 74,993 | 3,025,968 |
| ICU Medical, Inc. (a) | | 4,119 | 467,259 |
| IDEXX Laboratories, Inc. (a)(b) | | 23,927 | 1,694,510 |
| Inogen, Inc. (a) | | 5,165 | 197,561 |
| Insulet Corp. (a) | | 15,562 | 569,414 |
| Integra LifeSciences Holdings Corp. (a) | | 10,123 | 634,813 |
| Intuitive Surgical, Inc. (a) | | 9,821 | 5,107,116 |
| InVivo Therapeutics Holdings Corp. (a)(b) | | 7,874 | 75,984 |
| Invuity, Inc. | | 4,641 | 55,738 |
| Iridex Corp. (a) | | 5,451 | 52,166 |
| K2M Group Holdings, Inc. (a) | | 10,852 | 219,319 |
| Lantheus Holdings, Inc. (a) | | 8,743 | 30,950 |
| LDR Holding Corp. (a) | | 7,350 | 198,597 |
| LeMaitre Vascular, Inc. | | 4,353 | 67,167 |
| LivaNova PLC (a)(b) | | 13,443 | 804,564 |
| Lombard Medical, Inc. (a) | | 1,819 | 2,638 |
| Masimo Corp. (a) | | 13,130 | 544,632 |
| Mazor Robotics Ltd. sponsored ADR (a)(b) | | 3,651 | 36,327 |
| MELA Sciences, Inc. (a) | | 309 | 358 |
| Meridian Bioscience, Inc. | | 11,774 | 230,417 |
| Merit Medical Systems, Inc. (a) | | 11,779 | 228,159 |
| Misonix, Inc. (a) | | 2,036 | 19,281 |
| Natus Medical, Inc. (a) | | 8,626 | 420,776 |
| Neogen Corp. (a) | | 10,138 | 598,750 |
| Neovasc, Inc. (a) | | 15,953 | 79,286 |
| Novadaq Technologies, Inc. (a) | | 15,525 | 189,094 |
| Novocure Ltd. (a)(b) | | 22,421 | 545,951 |
| NuVasive, Inc. (a) | | 13,166 | 686,475 |
| NxStage Medical, Inc. (a)(b) | | 17,373 | 338,947 |
| OncoSec Medical, Inc. (a) | | 4,800 | 15,744 |
| OraSure Technologies, Inc. (a) | | 15,384 | 96,150 |
| Orthofix International NV (a) | | 5,030 | 198,987 |
| Oxford Immunotec Global PLC (a)(b) | | 6,605 | 87,516 |
| PhotoMedex, Inc. (a)(b) | | 1,894 | 767 |
| Quidel Corp. (a)(b) | | 8,359 | 181,307 |
| Quotient Ltd. (a)(b) | | 6,704 | 91,174 |
| ReWalk Robotics Ltd. (a)(b) | | 3,029 | 23,596 |
| Rockwell Medical Technologies, Inc. (a)(b) | | 12,911 | 156,610 |
| Roka Bioscience, Inc. (a) | | 2,827 | 3,392 |
| RTI Biologics, Inc. (a) | | 17,684 | 69,321 |
| Seaspine Holdings Corp. (a) | | 2,632 | 43,375 |
| Second Sight Medical Products, Inc. (b) | | 10,067 | 50,939 |
| Sientra, Inc. (a) | | 3,703 | 17,923 |
| Sirona Dental Systems, Inc. (a) | | 14,763 | 1,601,490 |
| Span-America Medical System, Inc. | | 503 | 9,713 |
| Staar Surgical Co. (a)(b) | | 11,963 | 100,370 |
| Stereotaxis, Inc. (a) | | 2,480 | 2,604 |
| Sunshine Heart, Inc. (a)(b) | | 2,294 | 4,267 |
| SurModics, Inc. (a) | | 3,649 | 76,848 |
| Symmetry Surgical, Inc. (a) | | 5,133 | 46,710 |
| Synergetics U.S.A., Inc. (b) | | 7,788 | 1,480 |
| Syneron Medical Ltd. (a) | | 11,589 | 86,222 |
| Tandem Diabetes Care, Inc. (a)(b) | | 8,685 | 89,542 |
| TearLab Corp. (a)(b) | | 8,271 | 12,324 |
| The Spectranetics Corp. (a)(b) | | 10,622 | 146,902 |
| Trinity Biotech PLC sponsored ADR | | 6,726 | 80,577 |
| TriVascular Technologies, Inc. (a)(b) | | 5,558 | 36,294 |
| Unilife Corp. (a)(b) | | 43,819 | 32,632 |
| Utah Medical Products, Inc. | | 1,583 | 89,424 |
| Vascular Solutions, Inc. (a) | | 4,458 | 158,437 |
| Veracyte, Inc. (a)(b) | | 7,500 | 53,925 |
| Vermillion, Inc. (a)(b) | | 8,983 | 16,080 |
| Wright Medical Group NV (a) | | 26,963 | 577,547 |
| Zeltiq Aesthetics, Inc. (a) | | 9,988 | 303,435 |
| Zosano Pharma Corp. (b) | | 3,225 | 8,869 |
| | | | 31,773,304 |
| Health Care Providers & Services - 1.4% | | | |
| Acadia Healthcare Co., Inc. (a) | | 18,544 | 1,279,721 |
| Aceto Corp. | | 7,914 | 223,254 |
| Addus HomeCare Corp. (a) | | 2,677 | 61,009 |
| Air Methods Corp. (a)(b) | | 10,206 | 446,002 |
| Alliance Healthcare Services, Inc. (a) | | 3,497 | 31,508 |
| Almost Family, Inc. (a) | | 2,372 | 100,502 |
| Amedisys, Inc. (a) | | 8,739 | 354,716 |
| AmSurg Corp. (a)(b) | | 12,919 | 1,085,971 |
| BioScrip, Inc. (a)(b) | | 16,785 | 35,584 |
| BioTelemetry, Inc. (a) | | 6,659 | 83,970 |
| Caladrius Biosciences, Inc. (a)(b) | | 20,856 | 25,027 |
| Corvel Corp. (a) | | 5,741 | 222,464 |
| Cross Country Healthcare, Inc. (a) | | 8,663 | 158,100 |
| Digirad Corp. | | 7,344 | 42,889 |
| Express Scripts Holding Co. (a) | | 178,866 | 15,289,466 |
| HealthEquity, Inc. (a)(b) | | 15,683 | 517,539 |
| Healthways, Inc. (a) | | 10,129 | 134,412 |
| Henry Schein, Inc. (a) | | 21,759 | 3,404,848 |
| iKang Healthcare Group, Inc. sponsored ADR (a) | | 12,493 | 243,614 |
| LHC Group, Inc. (a) | | 4,603 | 214,270 |
| LifePoint Hospitals, Inc. (a) | | 11,478 | 821,940 |
| Magellan Health Services, Inc. (a) | | 7,066 | 372,025 |
| National Research Corp.: | | | |
| Class A | | 8,246 | 127,483 |
| Class B (b) | | 369 | 12,546 |
| Patterson Companies, Inc. (b) | | 27,635 | 1,259,327 |
| PDI, Inc. (a) | | 1,717 | 1,356 |
| Premier, Inc. (a) | | 9,875 | 339,305 |
| Providence Service Corp. (a) | | 4,214 | 204,042 |
| Psychemedics Corp. | | 2,537 | 29,429 |
| RadNet, Inc. (a) | | 13,857 | 85,913 |
| Sharps Compliance Corp. (a) | | 5,820 | 52,787 |
| Surgery Partners, Inc. (a)(b) | | 14,009 | 267,712 |
| Surgical Care Affiliates, Inc. (a) | | 10,455 | 388,612 |
| The Ensign Group, Inc. | | 7,254 | 345,073 |
| USMD Holdings, Inc. (a) | | 1,157 | 9,256 |
| VCA, Inc. (a) | | 21,547 | 1,185,731 |
| | | | 29,457,403 |
| Health Care Technology - 0.5% | | | |
| Allscripts Healthcare Solutions, Inc. (a)(b) | | 50,215 | 764,774 |
| athenahealth, Inc. (a)(b) | | 10,073 | 1,689,746 |
| Authentidate Holding Corp. (a) | | 1,782 | 1,215 |
| Cerner Corp. (a) | | 91,659 | 5,462,876 |
| Computer Programs & Systems, Inc. (b) | | 3,091 | 150,594 |
| Connecture, Inc. | | 5,953 | 21,252 |
| HealthStream, Inc. (a) | | 10,099 | 242,578 |
| HMS Holdings Corp. (a)(b) | | 23,322 | 282,896 |
| iCAD, Inc. (a) | | 3,147 | 12,840 |
| Inovalon Holdings, Inc. Class A (b) | | 12,951 | 240,371 |
| MedAssets, Inc. (a) | | 15,520 | 467,618 |
| Medidata Solutions, Inc. (a)(b) | | 14,485 | 663,848 |
| Omnicell, Inc. (a) | | 9,905 | 298,735 |
| Quality Systems, Inc. | | 16,094 | 261,528 |
| Simulations Plus, Inc. | | 6,174 | 55,134 |
| Streamline Health Solutions, Inc. (a) | | 5,177 | 9,319 |
| | | | 10,625,324 |
| Life Sciences Tools & Services - 0.8% | | | |
| Accelerate Diagnostics, Inc. (a)(b) | | 11,783 | 201,843 |
| Affymetrix, Inc. (a)(b) | | 25,719 | 243,559 |
| Albany Molecular Research, Inc. (a)(b) | | 8,783 | 174,957 |
| Bio-Techne Corp. | | 9,591 | 874,795 |
| Bruker Corp. (a) | | 43,379 | 982,101 |
| Compugen Ltd. (a)(b) | | 13,859 | 105,328 |
| Fluidigm Corp. (a)(b) | | 7,856 | 89,323 |
| Furiex Pharmaceuticals, Inc. rights (a) | | 1,322 | 12,916 |
| Harvard Bioscience, Inc. (a) | | 10,582 | 33,545 |
| ICON PLC (a)(b) | | 15,393 | 1,144,162 |
| Illumina, Inc. (a)(b) | | 38,337 | 7,050,174 |
| INC Research Holdings, Inc. Class A | | 15,006 | 709,784 |
| Luminex Corp. (a)(b) | | 10,796 | 232,330 |
| Nanostring Technologies, Inc. (a) | | 5,649 | 86,091 |
| NeoGenomics, Inc. (a) | | 16,779 | 133,729 |
| Pacific Biosciences of California, Inc. (a)(b) | | 22,873 | 233,991 |
| PAREXEL International Corp. (a)(b) | | 13,778 | 934,837 |
| PRA Health Sciences, Inc. (b) | | 15,835 | 717,009 |
| pSivida Corp. (a) | | 8,057 | 31,261 |
| QIAGEN NV (a) | | 61,296 | 1,620,666 |
| Sequenom, Inc. (a)(b) | | 35,658 | 63,471 |
| VWR Corp. (a) | | 33,746 | 900,343 |
| | | | 16,576,215 |
| Pharmaceuticals - 1.4% | | | |
| Acasti Pharma, Inc. (a) | | 1,813 | 4,195 |
| AcelRx Pharmaceuticals, Inc. (a) | | 10,541 | 60,295 |
| Achaogen, Inc. (a) | | 7,852 | 43,814 |
| Acura Pharmaceuticals, Inc. (a) | | 981 | 2,482 |
| Adamis Pharmaceuticals Corp. (a)(b) | | 6,035 | 27,459 |
| Aerie Pharmaceuticals, Inc. (a) | | 7,386 | 202,672 |
| Agile Therapeutics, Inc. (a)(b) | | 7,165 | 63,912 |
| Akorn, Inc. (a)(b) | | 30,430 | 1,013,319 |
| Alcobra Pharma Ltd. (a)(b) | | 7,009 | 46,189 |
| Alexza Pharmaceuticals, Inc. (a)(b) | | 2,516 | 2,566 |
| Alimera Sciences, Inc. (a)(b) | | 17,215 | 53,022 |
| Amphastar Pharmaceuticals, Inc. (a) | | 14,284 | 219,259 |
| ANI Pharmaceuticals, Inc. (a)(b) | | 3,099 | 135,798 |
| ANI Pharmaceuticals, Inc. rights (a) | | 1,389 | 0 |
| Apricus Biosciences, Inc. (a)(b) | | 9,297 | 10,134 |
| Aratana Therapeutics, Inc. (a) | | 9,570 | 56,080 |
| Assembly Biosciences, Inc. (a) | | 4,565 | 44,874 |
| AstraZeneca PLC rights (a) | | 3,011 | 0 |
| Bio Path Holdings, Inc. (a)(b) | | 24,674 | 38,985 |
| Biodelivery Sciences International, Inc. (a)(b) | | 15,383 | 94,298 |
| Carbylan Therapeutics, Inc. (b) | | 10,117 | 40,367 |
| Cardiome Pharma Corp. (a)(b) | | 9,692 | 86,162 |
| Cempra, Inc. (a)(b) | | 11,481 | 366,359 |
| Collegium Pharmaceutical, Inc. (b) | | 5,288 | 100,419 |
| Concordia Healthcare Corp. (a) | | 9,251 | 356,349 |
| Corcept Therapeutics, Inc. (a)(b) | | 35,547 | 187,688 |
| Corium International, Inc. (a)(b) | | 6,460 | 52,972 |
| Cumberland Pharmaceuticals, Inc. (a) | | 4,718 | 26,562 |
| CymaBay Therapeutics, Inc. (a) | | 15,586 | 20,885 |
| Cynapsus Therapeutics, Inc. (a) | | 3,527 | 55,013 |
| DepoMed, Inc. (a)(b) | | 15,899 | 309,077 |
| Dermira, Inc. (a) | | 7,012 | 216,040 |
| Dipexium Pharmaceuticals, Inc. (a)(b) | | 2,591 | 31,040 |
| Durect Corp. (a)(b) | | 36,555 | 86,270 |
| Egalet Corp. (a)(b) | | 6,792 | 69,686 |
| Endo Health Solutions, Inc. (a)(b) | | 55,410 | 3,406,607 |
| Endocyte, Inc. (a)(b) | | 14,909 | 69,029 |
| Flamel Technologies SA sponsored ADR (a)(b) | | 10,053 | 144,462 |
| Flex Pharma, Inc. (b) | | 4,665 | 56,447 |
| Foamix Pharmaceuticals Ltd. (a) | | 7,609 | 60,796 |
| GW Pharmaceuticals PLC ADR (a)(b) | | 4,030 | 349,361 |
| Heska Corp. (a) | | 2,258 | 78,556 |
| Horizon Pharma PLC (a)(b) | | 42,395 | 912,764 |
| Impax Laboratories, Inc. (a) | | 19,056 | 839,607 |
| Imprimis Pharmaceuticals, Inc. (a)(b) | | 5,164 | 34,754 |
| IntelliPharmaCeutics International Corp. (a) | | 4,988 | 10,475 |
| Intersect ENT, Inc. (a) | | 7,065 | 139,251 |
| Intra-Cellular Therapies, Inc. (a)(b) | | 11,319 | 603,642 |
| Jazz Pharmaceuticals PLC (a)(b) | | 16,527 | 2,422,693 |
| Juniper Pharmaceuticals, Inc. (a) | | 2,768 | 32,773 |
| KemPharm, Inc. (b) | | 3,480 | 60,274 |
| Lipocine, Inc. (a) | | 5,021 | 69,742 |
| Marinus Pharmaceuticals, Inc. (a) | | 4,794 | 34,852 |
| MediWound Ltd. (a) | | 5,594 | 57,618 |
| Mylan N.V. (b) | | 130,385 | 6,688,751 |
| Nektar Therapeutics (a)(b) | | 36,163 | 566,313 |
| Neos Therapeutics, Inc. (a)(b) | | 4,250 | 65,705 |
| NeuroDerm Ltd. (b) | | 6,029 | 121,303 |
| Ocera Therapeutics, Inc. (a) | | 5,923 | 21,145 |
| Ocular Therapeutix, Inc. (a)(b) | | 6,579 | 62,369 |
| Omeros Corp. (a)(b) | | 10,524 | 166,805 |
| Oramed Pharmaceuticals, Inc. (a)(b) | | 2,551 | 23,214 |
| Pacira Pharmaceuticals, Inc. (a)(b) | | 9,647 | 624,643 |
| Pain Therapeutics, Inc. (a) | | 17,995 | 35,990 |
| Paratek Pharmaceuticals, Inc. (a) | | 4,542 | 93,883 |
| Parnell Pharmaceuticals Holdings Ltd. (a) | | 1,667 | 6,318 |
| Pernix Therapeutics Holdings, Inc. (a)(b) | | 16,329 | 48,987 |
| Phibro Animal Health Corp. Class A | | 5,501 | 178,617 |
| Pozen, Inc. (a) | | 7,750 | 58,823 |
| ProPhase Labs, Inc. (a) | | 1,566 | 2,271 |
| RedHill Biopharma Ltd. sponsored ADR (a)(b) | | 7,924 | 102,933 |
| Relypsa, Inc. (a)(b) | | 11,036 | 248,420 |
| Repros Therapeutics, Inc. (a) | | 5,884 | 14,092 |
| Revance Therapeutics, Inc. (a)(b) | | 7,574 | 293,947 |
| Sagent Pharmaceuticals, Inc. (a) | | 11,697 | 179,315 |
| SciClone Pharmaceuticals, Inc. (a)(b) | | 14,352 | 131,608 |
| Shire PLC sponsored ADR | | 12,996 | 2,707,847 |
| Skystar Bio-Pharmaceutical Co. Ltd. (a) | | 1,359 | 1,685 |
| Sucampo Pharmaceuticals, Inc. Class A (a)(b) | | 12,363 | 212,025 |
| Supernus Pharmaceuticals, Inc. (a) | | 12,699 | 205,216 |
| Tetraphase Pharmaceuticals, Inc. (a) | | 8,885 | 95,336 |
| The Medicines Company (a) | | 17,889 | 751,517 |
| Theravance Biopharma, Inc. (a)(b) | | 9,722 | 182,482 |
| Theravance, Inc. (b) | | 32,309 | 298,858 |
| VIVUS, Inc. (a)(b) | | 35,567 | 44,459 |
| XenoPort, Inc. (a) | | 17,876 | 107,971 |
| Zogenix, Inc. (a) | | 6,299 | 97,194 |
| ZS Pharma, Inc. (a) | | 6,545 | 588,788 |
| Zynerba Pharmaceuticals, Inc. (a)(b) | | 2,304 | 31,265 |
| | | | 28,568,040 |
|
| TOTAL HEALTH CARE | | | 334,453,243 |
|
| INDUSTRIALS - 4.0% | | | |
| Aerospace & Defense - 0.2% | | | |
| AeroVironment, Inc. (a)(b) | | 7,398 | 189,241 |
| American Science & Engineering, Inc. | | 1,772 | 77,507 |
| API Technologies Corp. (a) | | 14,000 | 27,580 |
| Arotech Corp. (a) | | 12,878 | 21,120 |
| Astronics Corp. (a) | | 4,467 | 172,828 |
| Astrotech Corp. (a)(b) | | 3,584 | 5,304 |
| BE Aerospace, Inc. | | 27,353 | 1,264,256 |
| Elbit Systems Ltd. (b) | | 11,723 | 1,036,313 |
| Erickson Air-Crane, Inc. (a) | | 2,141 | 5,502 |
| Innovative Solutions & Support, Inc. (a)(b) | | 1,668 | 4,153 |
| KEYW Holding Corp. (a)(b) | | 9,521 | 60,839 |
| KLX, Inc. (a) | | 13,768 | 441,953 |
| Kratos Defense & Security Solutions, Inc. (a)(b) | | 14,096 | 65,546 |
| LMI Aerospace, Inc. (a) | | 5,819 | 59,237 |
| Taser International, Inc. (a)(b) | | 14,662 | 274,179 |
| TAT Technologies Ltd. (a) | | 863 | 6,386 |
| | | | 3,711,944 |
| Air Freight & Logistics - 0.3% | | | |
| Air Transport Services Group, Inc. (a) | | 23,113 | 219,805 |
| Atlas Air Worldwide Holdings, Inc. (a) | | 6,455 | 266,721 |
| C.H. Robinson Worldwide, Inc. (b) | | 36,964 | 2,492,483 |
| Echo Global Logistics, Inc. (a) | | 7,832 | 184,835 |
| Expeditors International of Washington, Inc. | | 50,187 | 2,436,077 |
| Forward Air Corp. | | 8,029 | 386,115 |
| Hub Group, Inc. Class A (a) | | 9,274 | 357,327 |
| Park-Ohio Holdings Corp. | | 3,511 | 147,462 |
| UTi Worldwide, Inc. (a) | | 28,298 | 198,086 |
| | | | 6,688,911 |
| Airlines - 0.7% | | | |
| Allegiant Travel Co. | | 4,540 | 795,090 |
| American Airlines Group, Inc. | | 177,938 | 7,341,722 |
| Hawaiian Holdings, Inc. (a) | | 13,944 | 504,773 |
| JetBlue Airways Corp. (a) | | 81,199 | 2,008,863 |
| Republic Airways Holdings, Inc. (a) | | 13,673 | 57,974 |
| Ryanair Holdings PLC sponsored ADR (b) | | 29,146 | 2,241,327 |
| SkyWest, Inc. | | 14,053 | 289,632 |
| Spirit Airlines, Inc. (a) | | 19,006 | 698,851 |
| Virgin America, Inc. (b) | | 12,101 | 440,355 |
| | | | 14,378,587 |
| Building Products - 0.2% | | | |
| AAON, Inc. | | 14,983 | 370,230 |
| American Woodmark Corp. (a) | | 4,200 | 344,442 |
| Apogee Enterprises, Inc. | | 8,103 | 406,933 |
| Builders FirstSource, Inc. (a) | | 28,773 | 387,285 |
| Caesarstone Sdot-Yam Ltd. (b) | | 9,118 | 372,744 |
| China Ceramics Co. Ltd. | | 1,500 | 1,455 |
| CSW Industrials, Inc. (a)(b) | | 4,122 | 150,906 |
| Gibraltar Industries, Inc. (a) | | 7,781 | 207,675 |
| Insteel Industries, Inc. | | 6,078 | 148,303 |
| Nortek, Inc. (a) | | 4,589 | 220,914 |
| Patrick Industries, Inc. (a) | | 4,139 | 171,479 |
| PGT, Inc. (a) | | 12,588 | 139,979 |
| Tecogen, Inc. New (a)(b) | | 3,759 | 14,284 |
| Universal Forest Products, Inc. | | 5,381 | 415,736 |
| | | | 3,352,365 |
| Commercial Services & Supplies - 0.6% | | | |
| Casella Waste Systems, Inc. Class A (a) | | 16,497 | 111,850 |
| CECO Environmental Corp. | | 7,325 | 63,654 |
| China Recycling Energy Corp. (a) | | 16,068 | 6,267 |
| Cintas Corp. | | 28,734 | 2,631,747 |
| Copart, Inc. (a) | | 32,655 | 1,288,893 |
| Essendant, Inc. | | 9,602 | 347,784 |
| Fuel Tech, Inc. (a) | | 2,055 | 4,521 |
| G&K Services, Inc. Class A | | 5,246 | 349,751 |
| Healthcare Services Group, Inc. | | 18,186 | 671,791 |
| Heritage-Crystal Clean, Inc. (a) | | 8,319 | 90,677 |
| Herman Miller, Inc. | | 14,850 | 470,894 |
| Hudson Technologies, Inc. (a) | | 9,731 | 29,582 |
| Industrial Services of America, Inc. (a) | | 694 | 1,402 |
| InnerWorkings, Inc. (a) | | 17,541 | 150,151 |
| Interface, Inc. | | 17,595 | 349,789 |
| Intersections, Inc. (a)(b) | | 1,282 | 3,590 |
| Kimball International, Inc. Class B | | 10,718 | 132,582 |
| MagneGas Corp. (a)(b) | | 7,634 | 12,291 |
| Matthews International Corp. Class A | | 8,254 | 493,672 |
| McGrath RentCorp. | | 7,096 | 207,061 |
| Mobile Mini, Inc. | | 12,962 | 459,503 |
| Multi-Color Corp. | | 4,377 | 273,606 |
| Performant Financial Corp. (a) | | 14,422 | 28,556 |
| Perma-Fix Environmental Services, Inc. (a) | | 973 | 3,756 |
| Pointer Telocation Ltd. (a) | | 1,202 | 7,537 |
| Quest Resource Holding Corp. (a)(b) | | 30,682 | 25,724 |
| R.R. Donnelley & Sons Co. | | 58,009 | 933,365 |
| SP Plus Corp. (a) | | 6,525 | 164,234 |
| Stericycle, Inc. (a) | | 22,148 | 2,673,707 |
| Swisher Hygiene, Inc. (a)(b) | | 1,825 | 1,935 |
| Tetra Tech, Inc. | | 15,578 | 432,913 |
| U.S. Ecology, Inc. | | 5,901 | 223,294 |
| Virco Manufacturing Co. (a) | | 1,086 | 3,540 |
| West Corp. | | 23,328 | 594,864 |
| | | | 13,244,483 |
| Construction & Engineering - 0.1% | | | |
| Abengoa SA sponsored ADR Class B (b) | | 4,224 | 8,701 |
| Aegion Corp. (a) | | 10,110 | 222,824 |
| Great Lakes Dredge & Dock Corp. (a) | | 18,939 | 85,794 |
| Integrated Electrical Services, Inc. (a) | | 4,668 | 35,617 |
| Layne Christensen Co. (a) | | 4,863 | 28,643 |
| MYR Group, Inc. (a) | | 5,516 | 116,939 |
| Northwest Pipe Co. (a) | | 2,404 | 28,511 |
| NV5 Holdings, Inc. (a) | | 2,166 | 50,316 |
| Primoris Services Corp. | | 13,729 | 316,865 |
| Sterling Construction Co., Inc. (a) | | 3,450 | 18,803 |
| | | | 913,013 |
| Electrical Equipment - 0.1% | | | |
| Active Power, Inc. (a) | | 1,672 | 2,508 |
| Allied Motion Technologies, Inc. | | 2,975 | 71,043 |
| American Superconductor Corp. (a)(b) | | 6,555 | 30,874 |
| Ballard Power Systems, Inc. (a)(b) | | 44,264 | 55,021 |
| Blue Earth, Inc. (a)(b) | | 28,116 | 20,244 |
| Broadwind Energy, Inc. (a)(b) | | 1,948 | 3,779 |
| Capstone Turbine Corp. (a)(b) | | 4,969 | 7,851 |
| Encore Wire Corp. | | 5,469 | 238,831 |
| Energous Corp. (a)(b) | | 4,557 | 37,869 |
| Energy Focus, Inc. (a)(b) | | 2,530 | 40,505 |
| Enphase Energy, Inc. (a)(b) | | 10,090 | 16,850 |
| Franklin Electric Co., Inc. | | 12,571 | 409,940 |
| FuelCell Energy, Inc. (a)(b) | | 75,772 | 65,482 |
| Highpower International, Inc. (a) | | 2,296 | 6,681 |
| Hydrogenics Corp. (a)(b) | | 2,694 | 29,850 |
| Ideal Power, Inc. (a)(b) | | 3,212 | 25,889 |
| Jinpan International Ltd. | | 5,036 | 19,993 |
| LSI Industries, Inc. | | 7,559 | 89,347 |
| Ocean Power Technologies, Inc. (a) | | 143 | 370 |
| Pioneer Power Solutions, Inc. (a) | | 1,000 | 3,700 |
| Plug Power, Inc. (a)(b) | | 47,637 | 104,801 |
| Powell Industries, Inc. | | 3,423 | 120,182 |
| Power Solutions International, Inc. (a)(b) | | 2,692 | 63,370 |
| Preformed Line Products Co. | | 1,863 | 78,004 |
| Real Goods Solar, Inc. (a) | | 296 | 130 |
| Revolution Lighting Technologies, Inc. (a)(b) | | 32,251 | 29,993 |
| SolarCity Corp. (a)(b) | | 25,964 | 746,725 |
| Sunrun, Inc. (a)(b) | | 27,658 | 183,926 |
| Ultralife Corp. (a) | | 6,195 | 42,746 |
| Vicor Corp. (a) | | 8,971 | 83,071 |
| | | | 2,629,575 |
| Industrial Conglomerates - 0.0% | | | |
| Raven Industries, Inc. | | 10,166 | 169,467 |
| Machinery - 0.6% | | | |
| Altra Industrial Motion Corp. | | 6,913 | 193,702 |
| American Railcar Industries, Inc. | | 5,347 | 302,266 |
| ARC Group Worldwide, Inc. (a)(b) | | 3,852 | 7,126 |
| Astec Industries, Inc. | | 6,280 | 253,084 |
| Blue Bird Corp. (a)(b) | | 7,486 | 81,448 |
| Chart Industries, Inc. (a) | | 8,296 | 176,954 |
| Cleantech Solutions International, Inc. (a) | | 197 | 217 |
| Columbus McKinnon Corp. (NY Shares) | | 5,664 | 116,905 |
| Commercial Vehicle Group, Inc. (a) | | 7,129 | 24,239 |
| Dynamic Materials Corp. | | 4,562 | 35,219 |
| Eastern Co. | | 2,159 | 38,495 |
| Energy Recovery, Inc. (a)(b) | | 16,254 | 119,304 |
| ExOne Co. (a)(b) | | 3,539 | 35,107 |
| FreightCar America, Inc. | | 2,812 | 68,191 |
| Gencor Industries, Inc. (a) | | 519 | 5,429 |
| Hardinge, Inc. | | 3,857 | 37,529 |
| Hurco Companies, Inc. | | 2,512 | 66,945 |
| Jason Industries, Inc. (a)(b) | | 6,627 | 23,460 |
| Key Technology, Inc. (a) | | 313 | 3,581 |
| Kornit Digital Ltd. (a)(b) | | 8,976 | 106,366 |
| L.B. Foster Co. Class A | | 2,834 | 35,142 |
| Lincoln Electric Holdings, Inc. | | 20,221 | 1,141,475 |
| Manitex International, Inc. (a)(b) | | 6,059 | 37,687 |
| MFRI, Inc. (a) | | 997 | 5,743 |
| Middleby Corp. (a) | | 14,811 | 1,629,802 |
| NN, Inc. | | 6,536 | 111,439 |
| Nordson Corp. | | 16,044 | 1,163,671 |
| Omega Flex, Inc. | | 2,669 | 106,840 |
| PACCAR, Inc. (b) | | 94,885 | 4,930,225 |
| RBC Bearings, Inc. (a)(b) | | 6,007 | 424,214 |
| Sun Hydraulics Corp. | | 7,012 | 230,905 |
| TriMas Corp. (a) | | 11,843 | 256,164 |
| Twin Disc, Inc. | | 3,944 | 45,553 |
| Westport Innovations, Inc. (a)(b) | | 15,220 | 37,441 |
| Woodward, Inc. | | 16,712 | 842,786 |
| | | | 12,694,654 |
| Marine - 0.0% | | | |
| Diana Containerships, Inc. | | 16,211 | 15,384 |
| DryShips, Inc. (b) | | 196,761 | 31,442 |
| Eagle Bulk Shipping, Inc. (a)(b) | | 10,568 | 32,021 |
| Euroseas Ltd. (a) | | 273 | 814 |
| Golden Ocean Group Ltd. (b) | | 7,697 | 13,008 |
| Paragon Shipping, Inc. Class A (a) | | 5,459 | 928 |
| Rand Logistics, Inc. (a) | | 1,744 | 3,680 |
| Seanergy Martime Holdings Corp. (a) | | 799 | 551 |
| Star Bulk Carriers Corp. (a)(b) | | 62,425 | 59,934 |
| Ultrapetrol (Bahamas) Ltd. (a)(b) | | 32,074 | 13,471 |
| | | | 171,233 |
| Professional Services - 0.4% | | | |
| 51job, Inc. sponsored ADR (a) | | 6,629 | 210,537 |
| Acacia Research Corp. | | 15,251 | 90,133 |
| Advisory Board Co. (a) | | 11,420 | 614,853 |
| Barrett Business Services, Inc. | | 1,588 | 70,904 |
| CRA International, Inc. (a) | | 2,842 | 64,854 |
| Exponent, Inc. | | 7,527 | 388,619 |
| Heidrick & Struggles International, Inc. | | 4,873 | 140,635 |
| Hudson Global, Inc. (a) | | 2,817 | 6,704 |
| Huron Consulting Group, Inc. (a) | | 5,934 | 344,231 |
| ICF International, Inc. (a) | | 5,473 | 195,003 |
| Kelly Services, Inc. Class A (non-vtg.) | | 9,780 | 164,597 |
| Kforce, Inc. | | 7,675 | 206,765 |
| Lightbridge Corp. (a)(b) | | 2,205 | 2,051 |
| Marathon Patent Group, Inc. (a)(b) | | 6,000 | 10,440 |
| Odyssey Marine Exploration, Inc. (a)(b) | | 6,577 | 1,973 |
| Pendrell Corp. (a) | | 61,309 | 32,690 |
| RCM Technologies, Inc. (a) | | 3,957 | 20,022 |
| Resources Connection, Inc. | | 11,105 | 202,666 |
| RPX Corp. (a) | | 14,337 | 198,854 |
| Towers Watson & Co. | | 18,129 | 2,438,532 |
| Verisk Analytics, Inc. (a) | | 44,056 | 3,301,997 |
| VSE Corp. | | 1,522 | 94,044 |
| Willdan Group, Inc. (a) | | 2,439 | 21,463 |
| | | | 8,822,567 |
| Road & Rail - 0.5% | | | |
| AMERCO | | 5,163 | 2,093,080 |
| ArcBest Corp. | | 6,267 | 150,909 |
| Avis Budget Group, Inc. (a) | | 26,808 | 1,002,351 |
| Covenant Transport Group, Inc. Class A (a) | | 4,105 | 86,246 |
| Heartland Express, Inc. (b) | | 23,300 | 446,428 |
| J.B. Hunt Transport Services, Inc. | | 30,699 | 2,401,890 |
| Landstar System, Inc. | | 11,638 | 726,444 |
| Marten Transport Ltd. | | 8,843 | 159,881 |
| Old Dominion Freight Lines, Inc. (a) | | 21,988 | 1,400,855 |
| P.A.M. Transportation Services, Inc. (a) | | 2,022 | 62,460 |
| Patriot Transportation Holding, Inc. (a) | | 659 | 15,513 |
| Providence & Worcester Railroad Co. | | 595 | 9,383 |
| Saia, Inc. (a) | | 6,468 | 158,531 |
| Student Transportation, Inc. | | 31,802 | 131,213 |
| U.S.A. Truck, Inc. (a) | | 2,505 | 49,950 |
| Universal Truckload Services, Inc. | | 8,229 | 133,639 |
| Werner Enterprises, Inc. | | 20,107 | 542,085 |
| YRC Worldwide, Inc. (a) | | 8,246 | 139,605 |
| | | | 9,710,463 |
| Trading Companies & Distributors - 0.3% | | | |
| Beacon Roofing Supply, Inc. (a) | | 15,302 | 654,467 |
| DXP Enterprises, Inc. (a) | | 4,048 | 132,572 |
| Essex Rental Corp. (a) | | 2,219 | 577 |
| Fastenal Co. (b) | | 75,311 | 3,056,120 |
| General Finance Corp. (a)(b) | | 6,826 | 30,171 |
| H&E Equipment Services, Inc. | | 9,778 | 195,658 |
| HD Supply Holdings, Inc. (a) | | 51,257 | 1,621,259 |
| Houston Wire & Cable Co. | | 7,080 | 44,038 |
| Lawson Products, Inc. (a) | | 2,169 | 60,689 |
| Rush Enterprises, Inc.: | | | |
| Class A (a)(b) | | 7,193 | 175,006 |
| Class B (a) | | 3,552 | 80,346 |
| Stock Building Supply Holdings, Inc. (a) | | 7,546 | 129,716 |
| Titan Machinery, Inc. (a)(b) | | 5,811 | 73,044 |
| Willis Lease Finance Corp. (a) | | 2,622 | 45,859 |
| | | | 6,299,522 |
| Transportation Infrastructure - 0.0% | | | |
| Grupo Aeroportuario Norte S.A.B. de CV ADR | | 2,809 | 113,989 |
|
| TOTAL INDUSTRIALS | | | 82,900,773 |
|
| INFORMATION TECHNOLOGY - 46.5% | | | |
| Communications Equipment - 3.5% | | | |
| ADTRAN, Inc. | | 12,707 | 207,251 |
| Alliance Fiber Optic Products, Inc. | | 5,233 | 82,995 |
| Applied Optoelectronics, Inc. (a)(b) | | 4,187 | 78,506 |
| Arris Group, Inc. (a) | | 37,747 | 1,153,926 |
| AudioCodes Ltd. (a) | | 14,232 | 62,336 |
| Aviat Networks, Inc. (a) | | 16,549 | 15,391 |
| Bel Fuse, Inc.: | | | |
| Class A | | 300 | 5,475 |
| Class B (non-vtg.) | | 3,204 | 66,387 |
| Black Box Corp. | | 3,826 | 43,272 |
| Brocade Communications Systems, Inc. | | 112,051 | 1,051,599 |
| CalAmp Corp. (a) | | 9,749 | 180,162 |
| Ceragon Networks Ltd. (a)(b) | | 17,277 | 24,188 |
| Cisco Systems, Inc. | | 1,346,452 | 36,690,817 |
| Clearfield, Inc. (a)(b) | | 3,434 | 46,393 |
| ClearOne, Inc. | | 2,453 | 31,914 |
| CommScope Holding Co., Inc. (a) | | 49,310 | 1,411,252 |
| Communications Systems, Inc. | | 2,071 | 16,299 |
| Comtech Telecommunications Corp. | | 4,060 | 89,442 |
| Digi International, Inc. (a) | | 8,481 | 106,097 |
| DragonWave, Inc. (a) | | 15,246 | 2,055 |
| EchoStar Holding Corp. Class A (a) | | 11,779 | 460,677 |
| EMCORE Corp. (a) | | 8,637 | 62,618 |
| EXFO, Inc. (sub. vtg.) (a) | | 2,252 | 7,673 |
| Extreme Networks, Inc. (a) | | 30,123 | 133,144 |
| F5 Networks, Inc. (a) | | 18,334 | 1,888,402 |
| Finisar Corp. (a) | | 30,312 | 365,866 |
| Gilat Satellite Networks Ltd. (a) | | 13,064 | 51,472 |
| Harmonic, Inc. (a) | | 25,627 | 141,717 |
| Infinera Corp. (a)(b) | | 37,188 | 837,474 |
| InterDigital, Inc. | | 9,266 | 488,226 |
| Ituran Location & Control Ltd. (b) | | 5,894 | 119,059 |
| Ixia (a) | | 21,127 | 275,919 |
| KVH Industries, Inc. (a) | | 5,647 | 55,679 |
| Lumentum Holdings, Inc. (a) | | 16,541 | 330,820 |
| Mitel Networks Corp. (a) | | 32,941 | 286,257 |
| MRV Communications, Inc. (a) | | 1,761 | 25,253 |
| NETGEAR, Inc. (a) | | 8,304 | 366,289 |
| NetScout Systems, Inc. (a) | | 27,293 | 903,398 |
| Novatel Wireless, Inc. (a)(b) | | 19,413 | 35,720 |
| NumereX Corp. Class A (a) | | 5,615 | 36,834 |
| Oclaro, Inc. (a)(b) | | 28,120 | 96,733 |
| Parkervision, Inc. (a)(b) | | 10,867 | 1,738 |
| PC-Tel, Inc. | | 4,801 | 25,589 |
| Polycom, Inc. (a) | | 34,281 | 467,250 |
| QUALCOMM, Inc. | | 416,315 | 20,312,009 |
| Radware Ltd. (a) | | 11,915 | 195,883 |
| Resonant, Inc. (a)(b) | | 2,072 | 6,858 |
| ShoreTel, Inc. (a) | | 16,432 | 168,592 |
| Sierra Wireless, Inc. (a)(b) | | 8,554 | 148,241 |
| Silicom Ltd. | | 1,869 | 52,538 |
| Sonus Networks, Inc. (a) | | 15,739 | 110,803 |
| Telefonaktiebolaget LM Ericsson (B Shares) sponsored ADR (b) | | 72,702 | 704,482 |
| Tessco Technologies, Inc. | | 3,589 | 76,230 |
| Ubiquiti Networks, Inc. (a)(b) | | 22,944 | 800,516 |
| UTStarcom Holdings Corp. (a) | | 8,881 | 21,492 |
| ViaSat, Inc. (a)(b) | | 12,637 | 783,241 |
| Viavi Solutions, Inc. (a) | | 68,996 | 438,815 |
| Westell Technologies, Inc. Class A (a) | | 16,462 | 23,541 |
| Wi-Lan, Inc. | | 35,463 | 39,567 |
| xG Technology, Inc. (a) | | 479 | 130 |
| Zhone Technologies, Inc. (a) | | 5,132 | 6,107 |
| | | | 72,718,609 |
| Electronic Equipment & Components - 1.0% | | | |
| Agilysys, Inc. (a) | | 6,720 | 74,592 |
| Applied DNA Sciences, Inc. (a)(b) | | 6,250 | 18,750 |
| CDW Corp. | | 44,508 | 1,921,410 |
| China BAK Battery, Inc. (a) | | 782 | 2,323 |
| ClearSign Combustion Corp. (a)(b) | | 2,495 | 12,475 |
| Cognex Corp. | | 23,535 | 873,149 |
| Coherent, Inc. (a) | | 6,480 | 440,122 |
| Control4 Corp. (a)(b) | | 5,633 | 41,008 |
| CUI Global, Inc. (a)(b) | | 5,386 | 37,648 |
| Daktronics, Inc. | | 12,976 | 112,502 |
| Deswell Industries, Inc. | | 1,530 | 2,157 |
| Digital Ally, Inc. (a) | | 179 | 820 |
| DTS, Inc. (a) | | 4,569 | 117,560 |
| Echelon Corp. (a) | | 3,399 | 2,166 |
| Electro Rent Corp. | | 7,042 | 72,885 |
| Electro Scientific Industries, Inc. | | 14,768 | 74,726 |
| ePlus, Inc. (a) | | 1,930 | 170,207 |
| FARO Technologies, Inc. (a) | | 4,279 | 128,755 |
| FEI Co. | | 10,812 | 865,068 |
| Flextronics International Ltd. (a) | | 142,761 | 1,606,061 |
| FLIR Systems, Inc. | | 35,652 | 1,089,525 |
| Frequency Electronics, Inc. (a) | | 801 | 8,443 |
| GSI Group, Inc. (a) | | 9,519 | 136,407 |
| Hollysys Automation Technologies Ltd. | | 15,314 | 315,315 |
| I. D. Systems Inc. (a)(b) | | 5,073 | 19,125 |
| Identiv, Inc. (a)(b) | | 2,829 | 8,346 |
| II-VI, Inc. (a) | | 16,682 | 310,619 |
| Insight Enterprises, Inc. (a) | | 9,786 | 262,069 |
| IPG Photonics Corp. (a)(b) | | 13,640 | 1,243,832 |
| Itron, Inc. (a)(b) | | 9,940 | 357,343 |
| KEY Tronic Corp. (a) | | 4,924 | 38,703 |
| Kimball Electronics, Inc. (a) | | 7,901 | 90,545 |
| Littelfuse, Inc. | | 5,785 | 628,020 |
| LoJack Corp. (a)(b) | | 1,208 | 4,385 |
| LRAD Corp. (b) | | 9,621 | 14,816 |
| Magal Security Systems Ltd. (a) | | 7,555 | 35,131 |
| Maxwell Technologies, Inc. (a)(b) | | 9,752 | 68,849 |
| Mercury Systems, Inc. (a) | | 9,884 | 193,529 |
| Mesa Laboratories, Inc. | | 1,031 | 111,554 |
| MicroVision, Inc. (a)(b) | | 15,058 | 37,796 |
| MOCON, Inc. | | 740 | 10,745 |
| MTS Systems Corp. | | 4,089 | 260,142 |
| Multi-Fineline Electronix, Inc. (a) | | 6,788 | 167,528 |
| Napco Security Technolgies, Inc. (a) | | 6,882 | 40,260 |
| National Instruments Corp. | | 35,838 | 1,125,313 |
| Neonode, Inc. (a)(b) | | 11,949 | 32,979 |
| NetList, Inc. (a)(b) | | 9,502 | 8,504 |
| Newport Corp. (a) | | 10,526 | 174,626 |
| Orbotech Ltd. (a) | | 11,444 | 233,801 |
| OSI Systems, Inc. (a) | | 5,007 | 468,805 |
| PC Connection, Inc. | | 7,997 | 178,493 |
| PC Mall, Inc. (a) | | 4,541 | 41,777 |
| Perceptron, Inc. (a) | | 4,209 | 32,830 |
| Plexus Corp. (a) | | 8,983 | 334,168 |
| RadiSys Corp. (a) | | 14,163 | 37,532 |
| Research Frontiers, Inc. (a)(b) | | 7,119 | 35,737 |
| Richardson Electronics Ltd. | | 2,997 | 16,873 |
| RMG Networks Holding Corp. (a) | | 2,029 | 1,441 |
| Rofin-Sinar Technologies, Inc. (a)(b) | | 7,210 | 207,215 |
| Sanmina Corp. (a)(b) | | 21,679 | 491,463 |
| ScanSource, Inc. (a) | | 6,809 | 261,602 |
| Speed Commerce, Inc. (a) | | 10,191 | 1,504 |
| Supercom Ltd. (a)(b) | | 3,076 | 14,150 |
| Tech Data Corp. (a)(b) | | 9,447 | 639,090 |
| Trimble Navigation Ltd. (a) | | 66,578 | 1,524,636 |
| TTM Technologies, Inc. (a) | | 25,222 | 197,740 |
| Uni-Pixel, Inc. (a)(b) | | 2,687 | 1,948 |
| Universal Display Corp. (a) | | 12,516 | 657,841 |
| Wayside Technology Group, Inc. | | 1,282 | 23,807 |
| Zebra Technologies Corp. Class A (a)(b) | | 13,983 | 1,121,437 |
| | | | 19,892,723 |
| Internet Software & Services - 12.2% | | | |
| 21Vianet Group, Inc. ADR (a) | | 14,040 | 292,453 |
| Actua Corp. (a) | | 11,523 | 133,552 |
| Akamai Technologies, Inc. (a) | | 46,871 | 2,700,238 |
| Alarm.com Holdings, Inc. (b) | | 11,931 | 209,747 |
| Alphabet, Inc.: | | | |
| Class A (a)(b) | | 76,805 | 58,590,694 |
| Class C | | 91,055 | 67,617,443 |
| Angie's List, Inc. (a)(b) | | 16,538 | 178,776 |
| Apigee Corp. | | 8,432 | 60,036 |
| AppFolio, Inc. (a)(b) | | 2,321 | 38,041 |
| Autobytel, Inc. (a) | | 3,383 | 83,120 |
| Baidu.com, Inc. sponsored ADR (a)(b) | | 73,395 | 15,997,908 |
| Baozun, Inc. sponsored ADR (b) | | 5,671 | 44,291 |
| Bazaarvoice, Inc. (a) | | 21,766 | 100,777 |
| Benefitfocus, Inc. (a)(b) | | 7,655 | 310,181 |
| Blucora, Inc. (a)(b) | | 11,226 | 119,332 |
| Brightcove, Inc. (a) | | 9,792 | 68,348 |
| BroadVision, Inc. (a) | | 599 | 3,624 |
| Carbonite, Inc. (a) | | 8,804 | 85,839 |
| China Finance Online Co. Ltd. ADR (a)(b) | | 3,815 | 15,985 |
| ChinaCache International Holdings Ltd. sponsored ADR (a) | | 4,546 | 33,549 |
| Cimpress NV (a)(b) | | 8,686 | 801,197 |
| comScore, Inc. (a) | | 10,313 | 434,177 |
| Constant Contact, Inc. (a) | | 8,414 | 263,274 |
| Cornerstone OnDemand, Inc. (a) | | 15,087 | 541,774 |
| CoStar Group, Inc. (a) | | 8,781 | 1,837,336 |
| Criteo SA sponsored ADR (a)(b) | | 13,831 | 563,752 |
| Cyren Ltd. (a) | | 7,440 | 14,359 |
| Determine, Inc. (a) | | 245 | 713 |
| EarthLink Holdings Corp. | | 28,973 | 266,262 |
| eBay, Inc. (a) | | 322,685 | 9,548,249 |
| eGain Communications Corp. (a)(b) | | 3,510 | 16,146 |
| Endurance International Group Holdings, Inc. (a)(b) | | 36,057 | 503,716 |
| Facebook, Inc. Class A (a) | | 598,309 | 62,367,730 |
| Five9, Inc. (a) | | 13,232 | 87,993 |
| GigaMedia Ltd. (a) | | 5,039 | 3,371 |
| Global Sources Ltd. (a) | | 7,406 | 66,654 |
| Gogo, Inc. (a)(b) | | 22,357 | 401,308 |
| HomeAway, Inc. (a) | | 25,587 | 904,756 |
| Hortonworks, Inc. (b) | | 11,913 | 202,402 |
| IAC/InterActiveCorp | | 19,914 | 1,250,400 |
| Internap Network Services Corp. (a) | | 15,802 | 113,458 |
| iPass, Inc. (a) | | 4,991 | 5,141 |
| j2 Global, Inc. | | 12,994 | 1,045,627 |
| Jiayuan.com International Ltd. sponsored ADR | | 5,298 | 36,556 |
| Ku6 Media Co. Ltd. sponsored ADR (a) | | 2,051 | 1,338 |
| Limelight Networks, Inc. (a) | | 26,651 | 45,040 |
| Liquidity Services, Inc. (a) | | 7,569 | 51,621 |
| Live Ventures, Inc. (a)(b) | | 1,819 | 2,910 |
| LivePerson, Inc. (a) | | 14,793 | 115,385 |
| LogMeIn, Inc. (a) | | 6,809 | 486,299 |
| Marchex, Inc. Class B | | 14,684 | 62,554 |
| Marketo, Inc. (a) | | 11,744 | 355,491 |
| MeetMe, Inc. (a) | | 9,665 | 25,806 |
| MercadoLibre, Inc. (b) | | 11,406 | 1,405,675 |
| MINDBODY, Inc. (b) | | 1,907 | 33,659 |
| Momo, Inc. ADR (b) | | 10,979 | 145,691 |
| Net Element International, Inc. (a) | | 9,087 | 2,181 |
| NetEase, Inc. sponsored ADR | | 19,769 | 3,294,702 |
| NIC, Inc. | | 19,273 | 393,362 |
| Perion Network Ltd. (a) | | 27,626 | 61,053 |
| Points International Ltd. (a) | | 4,960 | 52,427 |
| QuinStreet, Inc. (a) | | 15,140 | 74,035 |
| Qumu Corp. (a) | | 2,780 | 8,646 |
| RealNetworks, Inc. (a) | | 10,726 | 44,406 |
| Reis, Inc. | | 5,215 | 130,531 |
| Remark Media, Inc. (a)(b) | | 6,690 | 30,172 |
| RetailMeNot, Inc. (a) | | 13,100 | 127,856 |
| Rightside Group Ltd. (a)(b) | | 4,742 | 37,414 |
| Rocket Fuel, Inc. (a)(b) | | 12,998 | 45,363 |
| SciQuest, Inc. (a) | | 9,041 | 116,719 |
| Sify Technologies Ltd. sponsored ADR | | 1,965 | 2,299 |
| SINA Corp. (a)(b) | | 15,631 | 790,460 |
| Sohu.com, Inc. (a) | | 10,092 | 507,123 |
| SPS Commerce, Inc. (a) | | 5,064 | 376,356 |
| Stamps.com, Inc. (a) | | 4,462 | 452,268 |
| Support.com, Inc. (a) | | 10,212 | 11,437 |
| Synacor, Inc. (a) | | 2,654 | 4,698 |
| TechTarget, Inc. (a) | | 10,378 | 89,770 |
| TheStreet.com, Inc. | | 8,907 | 15,231 |
| Travelzoo, Inc. (a) | | 5,478 | 46,563 |
| TrueCar, Inc. (a)(b) | | 21,948 | 176,242 |
| Tucows, Inc. (a)(b) | | 2,593 | 61,817 |
| United Online, Inc. (a) | | 4,366 | 50,209 |
| Unwired Planet, Inc. (a) | | 19,751 | 19,158 |
| VeriSign, Inc. (a)(b) | | 30,144 | 2,696,079 |
| Viggle, Inc. (a) | | 2,471 | 1,137 |
| Web.com Group, Inc. (a) | | 13,389 | 324,148 |
| WebMD Health Corp. (a) | | 10,613 | 482,785 |
| Weibo Corp. sponsored ADR (a) | | 13,024 | 242,246 |
| Wix.com Ltd. (a) | | 10,635 | 264,280 |
| Xunlei Ltd. sponsored ADR (a)(b) | | 4,460 | 33,004 |
| Yahoo!, Inc. (a) | | 249,971 | 8,451,520 |
| Yandex NV (a) | | 68,157 | 1,133,451 |
| YY, Inc. ADR (a) | | 8,863 | 536,921 |
| Zillow Group, Inc. (a)(b) | | 16,124 | 419,708 |
| Zillow Group, Inc. Class C (a)(b) | | 29,084 | 716,921 |
| | | | 253,016,452 |
| IT Services - 2.8% | | | |
| 6D Global Technologies, Inc. (a)(b) | | 22,206 | 64,619 |
| Acxiom Corp. (a) | | 20,572 | 471,099 |
| Amdocs Ltd. | | 40,709 | 2,302,908 |
| Automatic Data Processing, Inc. | | 123,296 | 10,635,513 |
| Blackhawk Network Holdings, Inc. (a) | | 14,753 | 698,555 |
| BluePhoenix Solutions Ltd. (a) | | 284 | 568 |
| Cardtronics, Inc. (a)(b) | | 11,499 | 432,477 |
| Cass Information Systems, Inc. | | 3,100 | 166,997 |
| China Information Technology, Inc. (a) | | 7,343 | 10,354 |
| Cognizant Technology Solutions Corp. Class A (a) | | 161,396 | 10,422,954 |
| Computer Task Group, Inc. | | 7,107 | 47,830 |
| CSG Systems International, Inc. | | 8,639 | 308,671 |
| Datalink Corp. (a) | | 6,118 | 44,967 |
| Edgewater Technology, Inc. (a) | | 1,090 | 8,666 |
| Euronet Worldwide, Inc. (a) | | 13,643 | 1,060,334 |
| ExlService Holdings, Inc. (a) | | 8,743 | 408,910 |
| Fiserv, Inc. (a) | | 61,702 | 5,938,200 |
| Forrester Research, Inc. | | 5,615 | 183,274 |
| Hackett Group, Inc. | | 8,533 | 161,615 |
| Information Services Group, Inc. | | 14,505 | 54,104 |
| Innodata, Inc. (a) | | 1,720 | 5,005 |
| InterCloud Systems, Inc. (a)(b) | | 12,476 | 19,837 |
| Jack Henry & Associates, Inc. | | 21,706 | 1,723,022 |
| JetPay Corp. (a) | | 3,116 | 9,317 |
| Lionbridge Technologies, Inc. (a) | | 19,225 | 101,893 |
| ManTech International Corp. Class A | | 5,664 | 189,687 |
| Mattersight Corp. (a) | | 6,325 | 44,844 |
| ModusLink Global Solutions, Inc. (a)(b) | | 17,854 | 48,741 |
| MoneyGram International, Inc. (a) | | 14,610 | 128,276 |
| NCI, Inc. Class A | | 3,649 | 60,245 |
| Net 1 UEPS Technologies, Inc. (a) | | 13,388 | 202,560 |
| Paychex, Inc. | | 94,961 | 5,151,634 |
| PayPal Holdings, Inc. (a) | | 323,742 | 11,415,143 |
| Perficient, Inc. (a) | | 10,088 | 176,338 |
| PFSweb, Inc. (a) | | 4,209 | 55,475 |
| Planet Payment, Inc. (a) | | 19,100 | 54,435 |
| PRG-Schultz International, Inc. (a) | | 9,669 | 37,999 |
| QIWI PLC Class B sponsored ADR (b) | | 12,205 | 232,993 |
| Sabre Corp. (b) | | 71,763 | 2,099,785 |
| ServiceSource International, Inc. (a)(b) | | 24,340 | 131,436 |
| Sykes Enterprises, Inc. (a) | | 11,005 | 350,179 |
| Syntel, Inc. (a) | | 22,929 | 1,110,451 |
| Sysorex Global Holdings Corp. (a)(b) | | 2,625 | 2,244 |
| Teletech Holdings, Inc. | | 13,162 | 381,961 |
| Virtusa Corp. (a) | | 7,873 | 387,745 |
| | | | 57,543,860 |
| Semiconductors & Semiconductor Equipment - 7.8% | | | |
| Actions Semiconductor Co. Ltd. ADR (a) | | 203 | 380 |
| Advanced Energy Industries, Inc. (a) | | 10,737 | 313,198 |
| Advanced Micro Devices, Inc. (a)(b) | | 213,203 | 503,159 |
| Aixtron AG sponsored ADR (a)(b) | | 4,986 | 39,713 |
| Alpha & Omega Semiconductor Ltd. (a) | | 8,910 | 86,783 |
| Altera Corp. | | 79,793 | 4,213,070 |
| Ambarella, Inc. (a)(b) | | 8,274 | 519,690 |
| Amkor Technology, Inc. (a) | | 65,090 | 442,612 |
| Amtech Systems, Inc. (a) | | 3,169 | 14,007 |
| ANADIGICS, Inc. (a) | | 17,226 | 6,020 |
| Analog Devices, Inc. | | 82,337 | 5,074,429 |
| Applied Materials, Inc. | | 318,032 | 5,969,461 |
| Applied Micro Circuits Corp. (a) | | 20,999 | 153,713 |
| ARM Holdings PLC sponsored ADR (b) | | 30,974 | 1,570,382 |
| Ascent Solar Technologies, Inc. (a) | | 198 | 22 |
| ASML Holding NV (b) | | 15,532 | 1,440,127 |
| Atmel Corp. | | 111,196 | 961,845 |
| Avago Technologies Ltd. | | 68,875 | 8,984,744 |
| Axcelis Technologies, Inc. (a) | | 28,638 | 75,604 |
| AXT, Inc. (a) | | 11,530 | 27,672 |
| Broadcom Corp. Class A | | 147,699 | 8,068,796 |
| Brooks Automation, Inc. | | 17,624 | 196,508 |
| Cabot Microelectronics Corp. (a) | | 6,565 | 275,467 |
| Camtek Ltd. (a)(b) | | 16,454 | 40,641 |
| Canadian Solar, Inc. (a)(b) | | 15,400 | 354,662 |
| Cascade Microtech, Inc. (a) | | 4,124 | 67,015 |
| Cavium, Inc. (a)(b) | | 14,881 | 998,664 |
| Ceva, Inc. (a) | | 6,069 | 154,092 |
| China Sunergy Co. Ltd. ADR (a) | | 811 | 803 |
| ChipMOS TECHNOLOGIES (Bermuda) Ltd. | | 8,024 | 154,943 |
| Cirrus Logic, Inc. (a) | | 17,114 | 565,789 |
| Cohu, Inc. | | 8,454 | 110,832 |
| Cree, Inc. (a)(b) | | 26,333 | 727,844 |
| CVD Equipment Corp. (a)(b) | | 3,218 | 37,007 |
| Cypress Semiconductor Corp. (b) | | 90,648 | 980,811 |
| Diodes, Inc. (a) | | 13,605 | 316,860 |
| DSP Group, Inc. (a) | | 10,051 | 104,832 |
| Entegris, Inc. (a) | | 37,559 | 511,554 |
| EZchip Semiconductor Ltd. (a) | | 8,027 | 199,551 |
| Fairchild Semiconductor International, Inc. (a) | | 30,770 | 601,246 |
| First Solar, Inc. (a) | | 26,192 | 1,480,110 |
| FormFactor, Inc. (a) | | 15,964 | 139,046 |
| GSI Technology, Inc. (a) | | 5,288 | 21,152 |
| Hanwha Solarone Co. Ltd. sponsored ADR (a)(b) | | 1,226 | 22,276 |
| Himax Technologies, Inc. sponsored ADR (b) | | 28,663 | 218,699 |
| Integrated Device Technology, Inc. (a) | | 37,537 | 1,052,537 |
| Integrated Silicon Solution, Inc. | | 8,077 | 184,883 |
| Intel Corp. | | 1,258,367 | 43,753,421 |
| Intermolecular, Inc. (a) | | 16,622 | 37,732 |
| Intersil Corp. Class A | | 34,842 | 504,512 |
| IXYS Corp. | | 9,471 | 120,566 |
| JA Solar Holdings Co. Ltd. ADR (a)(b) | | 12,054 | 105,231 |
| KLA-Tencor Corp. | | 41,231 | 2,740,625 |
| Kopin Corp. (a) | | 18,554 | 53,250 |
| Kulicke & Soffa Industries, Inc. (a) | | 19,089 | 225,441 |
| Lam Research Corp. | | 41,161 | 3,218,790 |
| Lattice Semiconductor Corp. (a) | | 32,701 | 205,689 |
| Linear Technology Corp. | | 63,818 | 2,917,759 |
| M/A-COM Technology Solutions Holdings, Inc. (a)(b) | | 14,370 | 530,972 |
| Marvell Technology Group Ltd. | | 138,045 | 1,223,079 |
| Mattson Technology, Inc. (a) | | 20,091 | 59,871 |
| Maxim Integrated Products, Inc. | | 74,337 | 2,882,045 |
| Mellanox Technologies Ltd. (a) | | 12,676 | 569,659 |
| Microchip Technology, Inc. (b) | | 56,271 | 2,716,764 |
| Micron Technology, Inc. (a) | | 287,652 | 4,582,296 |
| Microsemi Corp. (a) | | 25,863 | 931,327 |
| MKS Instruments, Inc. | | 15,031 | 554,193 |
| Monolithic Power Systems, Inc. | | 10,749 | 734,479 |
| MoSys, Inc. (a)(b) | | 17,551 | 21,237 |
| Nanometrics, Inc. (a) | | 7,258 | 114,386 |
| Nova Measuring Instruments Ltd. (a) | | 10,345 | 109,140 |
| NVE Corp. | | 1,425 | 84,873 |
| NVIDIA Corp. | | 142,563 | 4,522,098 |
| NXP Semiconductors NV (a) | | 66,706 | 6,234,343 |
| O2Micro International Ltd. sponsored ADR (a) | | 3,450 | 6,038 |
| Omnivision Technologies, Inc. (a) | | 14,871 | 434,233 |
| ON Semiconductor Corp. (a) | | 111,363 | 1,220,538 |
| PDF Solutions, Inc. (a) | | 9,836 | 109,671 |
| Photronics, Inc. (a) | | 18,338 | 201,168 |
| Pixelworks, Inc. (a) | | 4,972 | 12,778 |
| PMC-Sierra, Inc. (a) | | 51,506 | 609,316 |
| Power Integrations, Inc. | | 8,310 | 429,627 |
| Qorvo, Inc. (a)(b) | | 39,761 | 2,308,921 |
| QuickLogic Corp. (a) | | 20,189 | 26,448 |
| Rambus, Inc. (a)(b) | | 31,857 | 380,054 |
| Rubicon Technology, Inc. (a)(b) | | 5,346 | 5,346 |
| SemiLEDs Corp. (a) | | 2,000 | 900 |
| Semtech Corp. (a) | | 16,851 | 338,705 |
| Sigma Designs, Inc. (a) | | 9,840 | 85,460 |
| Silicon Laboratories, Inc. (a)(b) | | 10,954 | 592,721 |
| Silicon Motion Technology Corp. sponsored ADR | | 8,959 | 298,066 |
| Siliconware Precision Industries Co. Ltd. sponsored ADR (b) | | 19,012 | 128,141 |
| Skyworks Solutions, Inc. | | 49,967 | 4,148,260 |
| Solar3D, Inc. (a) | | 9,585 | 28,276 |
| SolarEdge Technologies, Inc. (b) | | 10,234 | 200,893 |
| SunEdison Semiconductor Ltd. (a) | | 10,404 | 99,358 |
| SunPower Corp. (a)(b) | | 36,916 | 884,507 |
| Synaptics, Inc. (a)(b) | | 9,675 | 868,525 |
| Tessera Technologies, Inc. | | 13,672 | 435,453 |
| Texas Instruments, Inc. | | 271,741 | 15,793,587 |
| Tower Semiconductor Ltd. (a)(b) | | 20,022 | 316,748 |
| Ultra Clean Holdings, Inc. (a) | | 10,799 | 54,751 |
| Ultratech, Inc. (a) | | 7,128 | 118,396 |
| Veeco Instruments, Inc. (a) | | 10,840 | 221,678 |
| Vimicro International Corp. sponsored ADR (a) | | 7,389 | 98,126 |
| Xcerra Corp. (a) | | 14,598 | 88,318 |
| Xilinx, Inc. | | 67,177 | 3,338,025 |
| | | | 161,620,061 |
| Software - 9.8% | | | |
| ACI Worldwide, Inc. (a) | | 33,470 | 787,214 |
| Activision Blizzard, Inc. (b) | | 192,827 | 7,261,865 |
| Adobe Systems, Inc. (a) | | 131,882 | 12,061,928 |
| Allot Communications Ltd. (a)(b) | | 12,391 | 65,424 |
| American Software, Inc. Class A | | 11,091 | 114,792 |
| ANSYS, Inc. (a)(b) | | 23,441 | 2,184,936 |
| Aspen Technology, Inc. (a) | | 22,652 | 995,555 |
| Attunity Ltd. (a) | | 4,559 | 62,322 |
| Autodesk, Inc. (a) | | 59,228 | 3,759,201 |
| Aware, Inc. (a) | | 5,225 | 16,511 |
| Blackbaud, Inc. | | 12,340 | 762,365 |
| Bottomline Technologies, Inc. (a) | | 10,713 | 331,139 |
| BroadSoft, Inc. (a) | | 8,017 | 320,921 |
| BSQUARE Corp. (a) | | 4,329 | 32,121 |
| CA Technologies, Inc. | | 117,705 | 3,308,688 |
| Cadence Design Systems, Inc. (a) | | 77,012 | 1,717,368 |
| Callidus Software, Inc. (a) | | 14,549 | 301,892 |
| CDK Global, Inc. | | 42,583 | 2,018,860 |
| Changyou.com Ltd. (A Shares) ADR (a)(b) | | 4,507 | 100,461 |
| Check Point Software Technologies Ltd. (a)(b) | | 47,868 | 4,178,398 |
| Citrix Systems, Inc. (a) | | 42,159 | 3,232,331 |
| Code Rebel Corp. (b) | | 3,829 | 14,320 |
| CommVault Systems, Inc. (a) | | 12,105 | 496,063 |
| CounterPath Corp. (a) | | 952 | 3,456 |
| Covisint Corp. (a) | | 9,689 | 25,095 |
| CyberArk Software Ltd. (a)(b) | | 8,025 | 347,402 |
| Datawatch Corp. (a) | | 1,145 | 6,664 |
| Descartes Systems Group, Inc. (a) | | 21,072 | 420,825 |
| Digimarc Corp. (a)(b) | | 2,043 | 72,690 |
| Digital Turbine, Inc. (a)(b) | | 14,965 | 23,046 |
| Ebix, Inc. (b) | | 8,998 | 337,515 |
| Electronic Arts, Inc. (a) | | 82,506 | 5,593,082 |
| EnerNOC, Inc. (a)(b) | | 9,543 | 40,653 |
| EPIQ Systems, Inc. | | 11,102 | 150,210 |
| Evolving Systems, Inc. | | 3,865 | 21,799 |
| FalconStor Software, Inc. (a) | | 4,107 | 7,927 |
| FireEye, Inc. (a)(b) | | 42,560 | 973,773 |
| Fortinet, Inc. (a) | | 44,284 | 1,595,110 |
| Glu Mobile, Inc. (a)(b) | | 34,484 | 116,556 |
| Guidance Software, Inc. (a)(b) | | 12,274 | 74,871 |
| Idreamsky Technology Ltd. ADR (a)(b) | | 4,037 | 50,947 |
| Interactive Intelligence Group, Inc. (a)(b) | | 5,755 | 198,317 |
| Intuit, Inc. | | 73,019 | 7,316,504 |
| Jive Software, Inc. (a) | | 21,693 | 108,899 |
| KongZhong Corp. sponsored ADR | | 10,863 | 74,520 |
| Magic Software Enterprises Ltd. | | 16,257 | 88,601 |
| Majesco Entertainment Co. (a) | | 484 | 537 |
| Manhattan Associates, Inc. (a) | | 19,248 | 1,474,397 |
| Materialise NV ADR (a)(b) | | 3,838 | 30,589 |
| Mentor Graphics Corp. | | 31,112 | 582,728 |
| Microsoft Corp. | | 2,118,006 | 115,113,626 |
| MicroStrategy, Inc. Class A (a) | | 2,565 | 444,694 |
| Mitek Systems, Inc. (a)(b) | | 10,386 | 54,527 |
| MobileIron, Inc. (a)(b) | | 21,906 | 95,072 |
| Monotype Imaging Holdings, Inc. | | 10,704 | 282,907 |
| NetSol Technologies, Inc. (a) | | 2,141 | 11,626 |
| NICE Systems Ltd. sponsored ADR (b) | | 9,665 | 594,108 |
| Nuance Communications, Inc. (a) | | 80,596 | 1,686,874 |
| NXT-ID, Inc. (a)(b) | | 7,863 | 3,004 |
| Open Text Corp. (b) | | 31,856 | 1,547,656 |
| Parametric Technology Corp. (a) | | 31,027 | 1,118,213 |
| Park City Group, Inc. (a)(b) | | 5,455 | 63,005 |
| Paylocity Holding Corp. (a)(b) | | 13,705 | 602,198 |
| Pegasystems, Inc. | | 21,036 | 621,403 |
| Progress Software Corp. (a) | | 13,284 | 318,683 |
| Proofpoint, Inc. (a)(b) | | 10,700 | 784,417 |
| QAD, Inc. Class A | | 4,944 | 114,750 |
| Qlik Technologies, Inc. (a) | | 25,063 | 797,254 |
| Qualys, Inc. (a) | | 8,964 | 344,755 |
| Rapid7, Inc. (a)(b) | | 10,362 | 177,501 |
| RealPage, Inc. (a) | | 21,303 | 473,140 |
| Rovi Corp. (a) | | 22,846 | 269,811 |
| Sapiens International Corp. NV | | 13,445 | 146,282 |
| SeaChange International, Inc. (a) | | 9,998 | 69,686 |
| Sky-mobi Ltd. ADR (a) | | 1,678 | 4,430 |
| Smith Micro Software, Inc. (a) | | 2,943 | 2,354 |
| Sonic Foundry, Inc. (a) | | 478 | 3,097 |
| Sphere 3D Corp. (a)(b) | | 7,442 | 13,470 |
| Splunk, Inc. (a) | | 33,666 | 2,003,127 |
| SS&C Technologies Holdings, Inc. | | 25,157 | 1,808,788 |
| Symantec Corp. | | 179,182 | 3,508,384 |
| Synchronoss Technologies, Inc. (a)(b) | | 12,025 | 473,424 |
| Synopsys, Inc. (a) | | 41,709 | 2,088,787 |
| Take-Two Interactive Software, Inc. (a) | | 21,911 | 774,992 |
| Tangoe, Inc. (a)(b) | | 10,241 | 88,073 |
| TeleCommunication Systems, Inc. Class A (a) | | 16,940 | 83,345 |
| TeleNav, Inc. (a) | | 10,735 | 76,326 |
| The9 Ltd. sponsored ADR (a) | | 1,168 | 4,614 |
| TiVo, Inc. (a) | | 28,241 | 253,887 |
| Top Image Systems Ltd. (a) | | 2,532 | 8,533 |
| Tubemogul, Inc. (a)(b) | | 9,297 | 115,097 |
| Ultimate Software Group, Inc. (a) | | 7,551 | 1,491,323 |
| Upland Software, Inc. | | 6,211 | 45,527 |
| Varonis Systems, Inc. (a)(b) | | 6,187 | 110,438 |
| Vasco Data Security International, Inc. (a)(b) | | 11,215 | 209,496 |
| Verint Systems, Inc. (a) | | 17,227 | 807,085 |
| Voltari Corp. (a)(b) | | 3,627 | 24,664 |
| Vringo, Inc. (a)(b) | | 1,491 | 5,010 |
| Wave Systems Corp. Class A (a) | | 8,768 | 1,052 |
| Xura, Inc. (a) | | 6,650 | 172,036 |
| Zix Corp. (a) | | 18,885 | 105,945 |
| Zynga, Inc. (a) | | 214,000 | 552,120 |
| | | | 204,432,004 |
| Technology Hardware, Storage & Peripherals - 9.4% | | | |
| Apple, Inc. | | 1,510,403 | 178,680,652 |
| Astro-Med, Inc. | | 2,287 | 30,989 |
| Avid Technology, Inc. (a) | | 10,122 | 76,826 |
| BlackBerry Ltd. (a)(b) | | 142,584 | 1,133,882 |
| China TechFaith Wireless Communication Technology Ltd. sponsored ADR (a) | | 1,783 | 1,257 |
| Concurrent Computer Corp. | | 867 | 4,309 |
| Cray, Inc. (a) | | 11,209 | 388,616 |
| Electronics for Imaging, Inc. (a) | | 13,198 | 647,758 |
| Hutchinson Technology, Inc. (a) | | 9,805 | 36,180 |
| Immersion Corp. (a)(b) | | 8,073 | 108,259 |
| Intevac, Inc. (a) | | 8,266 | 41,082 |
| Logitech International SA (b) | | 45,784 | 683,555 |
| NetApp, Inc. | | 79,930 | 2,450,654 |
| On Track Innovations Ltd. (a)(b) | | 5,512 | 2,866 |
| QLogic Corp. (a) | | 23,398 | 301,834 |
| SanDisk Corp. | | 54,310 | 4,011,880 |
| Seagate Technology LLC (b) | | 80,619 | 2,897,447 |
| Silicon Graphics International Corp. (a)(b) | | 8,041 | 47,120 |
| Smart Technologies, Inc. Class A (a)(b) | | 3,897 | 1,364 |
| Stratasys Ltd. (a)(b) | | 13,809 | 345,225 |
| Super Micro Computer, Inc. (a)(b) | | 12,548 | 308,179 |
| Transact Technologies, Inc. | | 1,837 | 16,257 |
| U.S.A. Technologies, Inc. (a) | | 9,132 | 29,679 |
| Western Digital Corp. (b) | | 60,570 | 3,780,174 |
| | | | 196,026,044 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 965,249,753 |
|
| MATERIALS - 0.4% | | | |
| Chemicals - 0.1% | | | |
| A. Schulman, Inc. | | 8,085 | 279,822 |
| AgroFresh Solutions, Inc. (a) | | 14,740 | 95,073 |
| Balchem Corp. | | 8,792 | 602,164 |
| Burcon NutraScience Corp. (a) | | 2,165 | 3,453 |
| Codexis, Inc. (a) | | 11,313 | 43,216 |
| Fuwei Films Holdings Co. Ltd. (a) | | 926 | 787 |
| Gulf Resources, Inc. (a) | | 9,279 | 16,053 |
| Hawkins, Inc. | | 3,857 | 158,137 |
| Innophos Holdings, Inc. | | 5,268 | 156,565 |
| Innospec, Inc. | | 6,364 | 371,658 |
| Marrone Bio Innovations, Inc. (a)(b) | | 5,015 | 9,328 |
| Metabolix, Inc. (a)(b) | | 4,567 | 9,454 |
| Methanex Corp. (b) | | 23,155 | 909,590 |
| Northern Technologies International Corp. (a) | | 492 | 8,266 |
| Rentech, Inc. (a) | | 5,467 | 15,636 |
| Senomyx, Inc. (a)(b) | | 14,455 | 66,927 |
| Tantech Holdings Ltd. (a)(b) | | 5,755 | 29,005 |
| | | | 2,775,134 |
| Construction Materials - 0.0% | | | |
| China Advanced Construction Materials Group, Inc. (a) | | 135 | 230 |
| Tecnoglass, Inc. (a)(b) | | 6,780 | 102,039 |
| U.S. Concrete, Inc. (a) | | 3,586 | 210,606 |
| United States Lime & Minerals, Inc. | | 2,209 | 114,448 |
| | | | 427,323 |
| Containers & Packaging - 0.1% | | | |
| AEP Industries, Inc. (a) | | 1,457 | 132,849 |
| Silgan Holdings, Inc. | | 15,854 | 861,348 |
| UFP Technologies, Inc. (a) | | 2,333 | 56,949 |
| | | | 1,051,146 |
| Metals & Mining - 0.2% | | | |
| Century Aluminum Co. (a)(b) | | 25,598 | 95,481 |
| China Natural Resources, Inc. (a) | | 3,570 | 6,283 |
| Globe Specialty Metals, Inc. | | 19,793 | 201,295 |
| Handy & Harman Ltd. (a) | | 3,457 | 79,615 |
| Haynes International, Inc. | | 3,976 | 155,462 |
| Horsehead Holding Corp. (a)(b) | | 13,375 | 32,903 |
| Kaiser Aluminum Corp. | | 4,332 | 371,339 |
| Mountain Province Diamonds, Inc. (a) | | 33,537 | 89,904 |
| Olympic Steel, Inc. | | 2,602 | 29,299 |
| Pan American Silver Corp. | | 41,402 | 288,158 |
| Randgold Resources Ltd. sponsored ADR (b) | | 11,399 | 690,779 |
| Real Industries, Inc. (a) | | 7,716 | 79,320 |
| Royal Gold, Inc. | | 17,153 | 616,650 |
| Schnitzer Steel Industries, Inc. Class A | | 7,480 | 123,495 |
| Silver Standard Resources, Inc. (a)(b) | | 23,206 | 121,986 |
| Steel Dynamics, Inc. | | 65,357 | 1,136,558 |
| Sutor Technology Group Ltd. (a) | | 1,189 | 773 |
| Synalloy Corp. | | 3,081 | 25,264 |
| Universal Stainless & Alloy Products, Inc. (a) | | 2,467 | 26,644 |
| | | | 4,171,208 |
| Paper & Forest Products - 0.0% | | | |
| Mercer International, Inc. (SBI) | | 20,514 | 218,474 |
| Pope Resources, Inc. LP | | 1,044 | 67,108 |
| | | | 285,582 |
|
| TOTAL MATERIALS | | | 8,710,393 |
|
| TELECOMMUNICATION SERVICES - 1.1% | | | |
| Diversified Telecommunication Services - 0.2% | | | |
| 8x8, Inc. (a)(b) | | 24,896 | 293,773 |
| Alaska Communication Systems Group, Inc. (a) | | 17,440 | 33,485 |
| Atlantic Tele-Network, Inc. | | 4,454 | 350,396 |
| B Communications Ltd. | | 6,305 | 163,236 |
| Cogent Communications Group, Inc. | | 11,904 | 399,498 |
| Consolidated Communications Holdings, Inc. | | 14,612 | 318,395 |
| FairPoint Communications, Inc. (a) | | 8,280 | 151,607 |
| Frontier Communications Corp. | | 304,239 | 1,518,153 |
| General Communications, Inc. Class A (a) | | 9,988 | 207,451 |
| Hawaiian Telcom Holdco, Inc. (a) | | 4,794 | 113,762 |
| inContact, Inc. (a)(b) | | 17,125 | 169,024 |
| Inteliquent, Inc. | | 9,031 | 173,486 |
| Internet Gold Golden Lines Ltd. (a) | | 2,697 | 30,719 |
| Iridium Communications, Inc. (a)(b) | | 26,081 | 213,082 |
| Lumos Networks Corp. | | 7,652 | 90,217 |
| magicJack VocalTec Ltd. (a)(b) | | 3,477 | 32,162 |
| ORBCOMM, Inc. (a) | | 21,408 | 137,225 |
| PDVWireless, Inc. (b)(c) | | 3,699 | 97,839 |
| Towerstream Corp. (a)(b) | | 16,138 | 6,617 |
| Windstream Holdings, Inc. (b) | | 28,081 | 174,945 |
| | | | 4,675,072 |
| Wireless Telecommunication Services - 0.9% | | | |
| America Movil S.A.B. de CV Series A sponsored ADR (b) | | 2,365 | 38,171 |
| Boingo Wireless, Inc. (a) | | 9,845 | 65,174 |
| Leap Wireless International, Inc. rights (a) | | 9,737 | 25,121 |
| NII Holdings, Inc. (a) | | 27,999 | 193,473 |
| NTELOS Holdings Corp. (a) | | 4,893 | 44,869 |
| Partner Communications Co. Ltd. ADR (a) | | 1,446 | 6,420 |
| SBA Communications Corp. Class A (a) | | 33,901 | 3,565,029 |
| Shenandoah Telecommunications Co. | | 6,358 | 306,964 |
| Spok Holdings, Inc. | | 5,604 | 103,506 |
| T-Mobile U.S., Inc. (a) | | 216,105 | 7,671,728 |
| VimpelCom Ltd. sponsored ADR (b) | | 466,605 | 1,679,778 |
| Vodafone Group PLC sponsored ADR | | 104,249 | 3,498,596 |
| | | | 17,198,829 |
|
| TOTAL TELECOMMUNICATION SERVICES | | | 21,873,901 |
|
| UTILITIES - 0.1% | | | |
| Electric Utilities - 0.0% | | | |
| MGE Energy, Inc. | | 9,313 | 404,836 |
| Otter Tail Corp. | | 9,848 | 262,252 |
| Spark Energy, Inc. Class A, | | 1,823 | 32,923 |
| | | | 700,011 |
| Gas Utilities - 0.0% | | | |
| Delta Natural Gas Co., Inc. | | 1,749 | 36,344 |
| RGC Resources, Inc. | | 598 | 12,815 |
| | | | 49,159 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| 8Point3 Energy Partners LP | | 5,096 | 62,324 |
| Abengoa Yield PLC (b) | | 27,318 | 395,565 |
| Pattern Energy Group, Inc. (b) | | 19,234 | 344,481 |
| TerraForm Global, Inc. (a)(b) | | 29,200 | 117,676 |
| Terraform Power, Inc. | | 22,024 | 151,966 |
| | | | 1,072,012 |
| Water Utilities - 0.0% | | | |
| Artesian Resources Corp. Class A | | 2,258 | 59,182 |
| Cadiz, Inc. (a)(b) | | 5,673 | 21,160 |
| Connecticut Water Service, Inc. | | 3,590 | 130,353 |
| Consolidated Water Co., Inc. | | 4,308 | 52,385 |
| Middlesex Water Co. | | 5,668 | 145,271 |
| Pure Cycle Corp. (a) | | 3,377 | 17,121 |
| York Water Co. | | 3,411 | 81,386 |
| | | | 506,858 |
|
| TOTAL UTILITIES | | | 2,328,040 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $1,534,080,865) | | | 2,056,776,281 |
| | | Principal Amount | Value |
|
| Convertible Bonds - 0.0% | | | |
| HEALTH CARE - 0.0% | | | |
| Biotechnology - 0.0% | | | |
Catalyst Biosciences, Inc. 0% 2/19/18
(Cost $8,560) | | 8,560 | 2,794 |
|
| U.S. Treasury Obligations - 0.1% | | | |
| U.S. Treasury Bills, yield at date of purchase 0.2% 2/4/16 (d) | | | |
| (Cost $2,998,892) | | 3,000,000 | 2,999,295 |
| | | Shares | Value |
|
| Money Market Funds - 11.8% | | | |
| Fidelity Cash Central Fund, 0.18% (e) | | 8,487,308 | $8,487,308 |
| Fidelity Securities Lending Cash Central Fund, 0.22% (e)(f) | | 236,225,852 | 236,225,852 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $244,713,160) | | | 244,713,160 |
| TOTAL INVESTMENT PORTFOLIO - 111.0% | | | |
| (Cost $1,781,801,477) | | | 2,304,491,530 |
| NET OTHER ASSETS (LIABILITIES) - (11.0)% | | | (228,114,936) |
| NET ASSETS - 100% | | | $2,076,376,594 |
| Futures Contracts | | | |
| | Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) |
| Purchased | | | |
| Equity Index Contracts | | | |
| 208 CME E-mini NASDAQ 100 Index Contracts (United States) | Dec. 2015 | 19,422,000 | $630,196 |
The face value of futures purchased as a percentage of Net Assets is 0.9%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security 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 $97,839 or 0.0% of net assets.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $685,839.
(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(f) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $26,513 |
| Fidelity Securities Lending Cash Central Fund | 2,127,838 |
| Total | $2,154,351 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used 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 | $372,489,652 | $372,489,652 | $-- | $-- |
| Consumer Staples | 114,619,516 | 114,619,516 | -- | -- |
| Energy | 11,007,962 | 11,007,962 | -- | -- |
| Financials | 143,143,048 | 143,143,048 | -- | -- |
| Health Care | 334,453,243 | 334,438,847 | -- | 14,396 |
| Industrials | 82,900,773 | 82,900,773 | -- | -- |
| Information Technology | 965,249,753 | 965,185,134 | -- | 64,619 |
| Materials | 8,710,393 | 8,710,393 | -- | -- |
| Telecommunication Services | 21,873,901 | 21,848,780 | -- | 25,121 |
| Utilities | 2,328,040 | 2,328,040 | -- | -- |
| Corporate Bonds | 2,794 | -- | 2,794 | -- |
| U.S. Government and Government Agency Obligations | 2,999,295 | -- | 2,999,295 | -- |
| Money Market Funds | 244,713,160 | 244,713,160 | -- | -- |
| Total Investments in Securities: | $2,304,491,530 | $2,301,385,305 | $3,002,089 | $104,136 |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $630,196 | $630,196 | $-- | $-- |
| Total Assets | $630,196 | $630,196 | $-- | $-- |
| Total Derivative Instruments: | $630,196 | $630,196 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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) | $630,196 | $0 |
| Total Equity Risk | 630,196 | 0 |
| Total Value of Derivatives | $630,196 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | November 30, 2015 |
| Assets | | |
Investment in securities, at value (including securities loaned of $230,506,479) — See accompanying schedule:
Unaffiliated issuers (cost $1,537,088,317) | $2,059,778,370 | |
| Fidelity Central Funds (cost $244,713,160) | 244,713,160 | |
| Total Investments (cost $1,781,801,477) | | $2,304,491,530 |
| Foreign currency held at value (cost $6,268) | | 6,266 |
| Receivable for investments sold | | 302,345 |
| Receivable for fund shares sold | | 7,974,774 |
| Dividends receivable | | 2,345,764 |
| Distributions receivable from Fidelity Central Funds | | 242,614 |
| Prepaid expenses | | 4,475 |
| Receivable from investment adviser for expense reductions | | 303,888 |
| Other receivables | | 675 |
| Total assets | | 2,315,672,331 |
| Liabilities | | |
| Payable to custodian bank | $102,632 | |
| Payable for fund shares redeemed | 1,902,849 | |
| Accrued management fee | 405,269 | |
| Payable for daily variation margin for derivative instruments | 44,022 | |
| Other affiliated payables | 263,626 | |
| Other payables and accrued expenses | 351,487 | |
| Collateral on securities loaned, at value | 236,225,852 | |
| Total liabilities | | 239,295,737 |
| Net Assets | | $2,076,376,594 |
| Net Assets consist of: | | |
| Paid in capital | | $1,537,968,749 |
| Undistributed net investment income | | 15,462,730 |
| Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (374,742) |
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 523,319,857 |
| Net Assets, for 30,583,321 shares outstanding | | $2,076,376,594 |
| Net Asset Value, offering price and redemption price per share ($2,076,376,594 ÷ 30,583,321 shares) | | $67.89 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended November 30, 2015 |
| Investment Income | | |
| Dividends | | $21,668,169 |
| Interest | | 3,169 |
| Income from Fidelity Central Funds (including $2,127,838 from security lending) | | 2,154,351 |
| Total income | | 23,825,689 |
| Expenses | | |
| Management fee | $4,268,066 | |
| Transfer agent fees | 2,491,036 | |
| Distribution and service plan fees | 582,441 | |
| Licensing fees | 1,067,216 | |
| Accounting and security lending fees | 487,216 | |
| Custodian fees and expenses | 47,100 | |
| Independent trustees' compensation | 7,262 | |
| Registration fees | 151,082 | |
| Audit | 65,761 | |
| Legal | 4,251 | |
| Miscellaneous | 9,563 | |
| Total expenses before reductions | 9,180,994 | |
| Expense reductions | (4,021,711) | 5,159,283 |
| Net investment income (loss) | | 18,666,406 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 5,710,390 | |
| Foreign currency transactions | (25,248) | |
| Futures contracts | (2,356,592) | |
| Total net realized gain (loss) | | 3,328,550 |
Change in net unrealized appreciation (depreciation) on:
Investment securities | 104,346,523 | |
| Assets and liabilities in foreign currencies | (314) | |
| Futures contracts | (76,041) | |
| Total change in net unrealized appreciation (depreciation) | | 104,270,168 |
| Net gain (loss) | | 107,598,718 |
| Net increase (decrease) in net assets resulting from operations | | $126,265,124 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended November 30, 2015 | Year ended November 30, 2014 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $18,666,406 | $11,487,698 |
| Net realized gain (loss) | 3,328,550 | 5,337,910 |
| Change in net unrealized appreciation (depreciation) | 104,270,168 | 149,959,330 |
| Net increase (decrease) in net assets resulting from operations | 126,265,124 | 166,784,938 |
| Distributions to shareholders from net investment income | (10,755,970) | (5,072,373) |
| Distributions to shareholders from net realized gain | (5,388,196) | (6,602,574) |
| Total distributions | (16,144,166) | (11,674,947) |
| Share transactions | | |
| Proceeds from sales of shares | 1,178,089,711 | 612,517,757 |
| Reinvestment of distributions | 15,574,587 | 11,227,000 |
| Cost of shares redeemed | (485,576,890) | (210,286,372) |
| Net increase (decrease) in net assets resulting from share transactions | 708,087,408 | 413,458,385 |
| Redemption fees | 465,280 | 218,973 |
| Total increase (decrease) in net assets | 818,673,646 | 568,787,349 |
| Net Assets | | |
| Beginning of period | 1,257,702,948 | 688,915,599 |
| End of period (including undistributed net investment income of $15,462,730 and undistributed net investment income of $10,467,470, respectively) | $2,076,376,594 | $1,257,702,948 |
| Other Information | | |
| Shares | | |
| Sold | 18,263,948 | 10,551,644 |
| Issued in reinvestment of distributions | 254,019 | 212,454 |
| Redeemed | (7,636,754) | (3,712,980) |
| Net increase (decrease) | 10,881,213 | 7,051,118 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Nasdaq Composite Index Fund
| | | | | | |
| Years ended November 30, | 2015 | 2014 | 2013 | 2012 | 2011 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $63.84 | $54.46 | $40.41 | $35.04 | $33.35 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | .68 | .75B | .57 | .44 | .28 |
| Net realized and unrealized gain (loss) | 4.13 | 9.54 | 13.95 | 5.19 | 1.63 |
| Total from investment operations | 4.81 | 10.29 | 14.52 | 5.63 | 1.91 |
| Distributions from net investment income | (.52) | (.40) | (.48) | (.27) | (.23) |
| Distributions from net realized gain | (.26) | (.52) | – | – | – |
| Total distributions | (.78) | (.92) | (.48) | (.27) | (.23) |
| Redemption fees added to paid in capitalA | .02 | .01 | .01 | .01 | .01 |
| Net asset value, end of period | $67.89 | $63.84 | $54.46 | $40.41 | $35.04 |
| Total ReturnC | 7.70% | 19.25% | 36.39% | 16.24% | 5.74% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .52% | .55% | .56% | .58% | .58% |
| Expenses net of fee waivers, if any | .29% | .29% | .33% | .35% | .35% |
| Expenses net of all reductions | .29% | .29% | .33% | .35% | .35% |
| Net investment income (loss) | 1.05% | 1.31%B | 1.23% | 1.13% | .80% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $2,076,377 | $1,257,703 | $688,916 | $481,320 | $311,128 |
| Portfolio turnover rateF | 9% | 5% | 14% | 10% | 12% |
A Calculated based on average shares outstanding during the period.
B Investment income per share reflects a large, non-recurring dividend which amounted to $.14 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.07%.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2015
1. Organization.
Fidelity Nasdaq Composite Index Fund (the Fund) is a fund of Fidelity Commonwealth Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The 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 Money Market Central Funds seek preservation of capital and current income and 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the 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 Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). 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. Corporate bonds 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 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 may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of November 30, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. 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. In addition, the fund claimed a portion of the payments made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), partnerships and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
| Gross unrealized appreciation | $628,888,175 |
| Gross unrealized depreciation | (120,638,436) |
| Net unrealized appreciation (depreciation) on securities | $508,249,739 |
| Tax Cost | $1,796,241,791 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $15,468,654 |
| Undistributed long-term capital gain | $14,700,386 |
| Net unrealized appreciation (depreciation) on securities and other investments | $508,249,347 |
The tax character of distributions paid was as follows:
| | November 30, 2015 | November 30, 2014 |
| Ordinary Income | $12,314,917 | $ 5,072,373 |
| Long-term Capital Gains | 3,829,249 | 6,602,574 |
| Total | $16,144,166 | $ 11,674,947 |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days may have been subject to a redemption fee equal to .75% of the NAV of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
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.
4. 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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $(2,356,592) and a change in net unrealized appreciation (depreciation) of $(76,041) related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $892,869,489 and $157,554,387, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .24% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is 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 a Distribution and Service Plan. The Fund pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a distribution fee based on .06% of the Fund's average net assets. FDC pays these fees to NASDAQ OMX Group for marketing services provided to the Fund. The Fund does not pay a service fee.
Effective July 1, 2015, the Board of Trustees approved the elimination of the distribution fee paid by the Fund.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .14% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
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.
Licensing Fees. Under the terms of a license agreement, the investment adviser pays NASDAQ OMX Group an annual licensing fee for the use of the NASDAQ Composite Index. The investment adviser has entered into a sub-license agreement with the Fund whereby the Fund pays the investment adviser the amount of the license fee at the rate of up to .06% of the Fund's average net assets.
Effective January 1, 2016, the licensing fee will be paid by the investment adviser, not by the Fund.
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 $2,314 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.
9. Expense Reductions.
The investment adviser contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .29% of average net assets. This waiver will remain in place through January 31, 2017. Some expenses, for example interest expense, including commitment fees, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $4,021,531.
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 custody expenses by $180.
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Commonwealth Trust and Shareholders of Fidelity® Nasdaq Composite Index® Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity® Nasdaq Composite Index® Fund (the Fund), a fund of Fidelity Commonwealth Trust, including the schedule of investments, as of November 30, 2015, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of November 30, 2015, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity® Nasdaq Composite Index® Fund as of November 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
January 20, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 170 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. James C. Curvey is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and sector funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity® funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
James C. Curvey (1935)
Year of Election or Appointment: 2007
Trustee
Chairman of the Board of Trustees
Mr. Curvey also serves as Trustee of other Fidelity® funds. Mr. Curvey is a Director of Fidelity Research & Analysis Co. (investment adviser firm, 2009-present), and Vice Chairman (2007-present) and Director of FMR LLC (diversified financial services company). In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the board of Artis-Naples, Naples, Florida, and as a Trustee for Brewster Academy, Wolfeboro, New Hampshire. Previously, Mr. Curvey served as a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2009-2014) and a Director of FMR and FMR Co., Inc. (investment adviser firms, 2007-2014).
Charles S. Morrison (1960)
Year of Election or Appointment: 2014
Trustee
Mr. Morrison also serves as Trustee of other funds. He serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present), President, Asset Management (2014-present), and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (investment adviser firm, 2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Dennis J. Dirks (1948)
Year of Election or Appointment: 2005
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008), and as a member of the Independent Directors Council (IDC) Governing Council (2010-2015). Mr. Dirks is a member of the Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).
Alan J. Lacy (1953)
Year of Election or Appointment: 2008
Trustee
Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present) and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2000
Trustee
Chairman of the Independent Trustees
Mr. Lautenbach also serves as Trustee of other Fidelity® funds. Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of Artis-Naples in Naples, Florida (2012-present), a member of the Council on Foreign Relations (1994-present), and a member of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).
Joseph Mauriello (1944)
Year of Election or Appointment: 2008
Trustee
Mr. Mauriello also serves as Trustee of other Fidelity® funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and the Independent Directors Council (IDC) Governing Council (2015-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).
Robert W. Selander (1950)
Year of Election or Appointment: 2011
Trustee
Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present). Previously, Mr. Selander served as a Member of the Advisory Board of other Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.
Cornelia M. Small (1944)
Year of Election or Appointment: 2005
Trustee
Ms. Small also serves as Trustee of other Fidelity® funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
William S. Stavropoulos (1939)
Year of Election or Appointment: 2002
Trustee
Vice Chairman of the Independent Trustees
Mr. Stavropoulos also serves as Trustee of other Fidelity® funds. Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of the Board of Directors of Univar Inc. (global distributor of commodity and specialty chemicals), a Director of Teradata Corporation (data warehousing and technology solutions), and Maersk Inc. (industrial conglomerate), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).
David M. Thomas (1949)
Year of Election or Appointment: 2008
Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), as a member of the Board of Directors (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication), and as a member of the Board of Trustees of the University of Florida (2013-present). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2003
Member of the Advisory Board
Mr. Lynch also serves as Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of FMR (investment adviser firm) and FMR Co., Inc. (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2012
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012).
Marc R. Bryant (1966)
Year of Election or Appointment: 2015
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2015-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
William C. Coffey (1969)
Year of Election or Appointment: 2009
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2008
Deputy Treasurer
Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2010
Assistant Treasurer
Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2015
Vice President
Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
Brian B. Hogan (1964)
Year of Election or Appointment: 2009
Vice President
Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Kenneth B. Robins (1969)
Year of Election or Appointment: 2008
President and Treasurer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009).
Renee Stagnone (1975)
Year of Election or Appointment: 2013
Deputy Treasurer
Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present).
Linda J. Wondrack (1964)
Year of Election or Appointment: 2014
Chief Compliance Officer
Ms. Wondrack also serves as Chief Compliance Officer of other funds. Ms. Wondrack is Executive Vice President and head of the Ethics Office and Asset Management Compliance for Fidelity Investments (2012-present). Ms. Wondrack also serves as Chief Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-present); Chief Compliance Officer of Impresa Management LLC (2013-present); and Chief Compliance Officer of FMR Co., Inc. (investment adviser firm), Fidelity Investments Money Management, Inc. (investment adviser firm), Fidelity Management & Research (Japan) Limited (investment adviser firm), FMR Investment Management (U.K.) Limited (investment adviser firm), Fidelity Management & Research (Hong Kong) (investment adviser firm), Fidelity Management & Research Company (investment adviser firm), FIAM LLC (investment adviser firm), and Strategic Advisers, Inc. (investment adviser firm), Ballyrock Investment Advisors LLC, and Northern Neck Investors LLC (2012-present). Previously, Ms. Wondrack served as Senior Vice President and Chief Compliance Officer for Columbia Management Investment Advisers, LLC (2005-2012); Chief Compliance Officer for certain funds within the Columbia Family of Funds (2007-2012); and Senior Vice President of Compliance Risk Management at Bank of America (2005-2010).
Joseph F. Zambello (1957)
Year of Election or Appointment: 2011
Deputy Treasurer
Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees, 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.
Effective July 1, 2015, the Board of Trustees approved the elimination of the distribution fee paid by the Fund.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).
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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, 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. In addition, if these transactional costs were included, your costs would have been higher.
| | Annualized Expense Ratio-A | Beginning
Account Value
June 1, 2015 | Ending
Account Value
November 30, 2015 | Expenses Paid
During Period-B
June 1, 2015
to November 30, 2015 |
| Actual | .29% | $1,000.00 | $1,013.70 | $1.46 |
| Hypothetical-C | | $1,000.00 | $1,023.61 | $1.47 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity NASDAQ Composite Index Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:
| | Pay Date | Record Date | Dividends | Capital Gains |
| | 12/14/15 | 12/11/15 | $0.532 | $0.431 |
| | 12/29/15 | 12/28/15 | $0.022 | $0.000 |
| | 01/19/15 | 01/15/16 | $0.000 | $0.044 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended November 30, 2015, $16,999,053, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 76% and 84% of the dividends distributed on December 12, 2014 and December 31, 2014, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Nasdaq Composite Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.
At its July 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the portfolio managers' investments, if any, in the funds that they manage.
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staff, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, and compliance capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
In 2014, the Board formed an ad hoc Committee on Transfer Agency Fees to review the variety of transfer agency fee structures throughout the industry and Fidelity's competitive positioning with respect to industry participants.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and information security and to increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.
The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of both the highest performing and lowest performing fund share classes, where applicable, compared to a fund's benchmark index, over appropriate time periods taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; securities lending revenues; and fund cash flows and other factors.
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index for the most recent one-, three-, and five-year periods, as shown below. A peer group is not shown below because the fund does not generally utilize a peer group for performance comparison purposes.
Fidelity Nasdaq Composite Index Fund
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (
e.g., flat rate charged for advisory services, all-inclusive fee rate,
etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.
Fidelity Nasdaq Composite Index Fund
The Board noted that the fund's management fee rate ranked above the median of its Total Mapped Group and above the median of its ASPG for 2014.
The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund's total expense ratio ranked above its competitive median for 2014. The Board considered that, in general, various factors can affect total expense ratios.
The Board further considered that FMR contractually agreed to waive the fund's expenses to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of average net assets, exceed 0.29% through January 31, 2016.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that, although above the median of the universe presented for comparison, the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins, with particular focus on certain funds with negative margins; (vi) the realization of fall-out benefits in certain Fidelity business units;
(vii) economies of scale and the way in which they are shared with fund shareholders;(viii) Fidelity's group fee structures, including the group fee schedule of breakpoints;(ix) the impact of cost containment measures on the funds; and (x) the transfer agent fee structure.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
EIF-ANN-0116
1.795539.112
Item 2.
Code of Ethics
As of the end of the period, November 30, 2015, Fidelity Commonwealth Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Mauriello is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Nasdaq Composite Index Fund and Fidelity Series 100 Index Fund (the “Funds”):
Services Billed by Deloitte Entities
November 30, 2015 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Nasdaq Composite Index Fund | $53,000 | $- | $6,200 | $1,000 |
Fidelity Series 100 Index Fund | $53,000 | $- | $5,800 | $1,400 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Nasdaq Composite Index Fund | $43,000 | $- | $6,000 | $800 |
Fidelity Series 100 Index Fund | $56,000 | $- | $5,800 | $1,200 |
A Amounts may reflect rounding.
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Nasdaq Composite Index Tracking Stock (the “Fund”):
Services Billed by PwC
November 30, 2015 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Nasdaq Composite Index Tracking Stock | $70,000 | $- | $6,000 | $1,900 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Nasdaq Composite Index Tracking Stock | $66,000 | $- | $4,700 | $1,800 |
A Amounts may reflect rounding.
The following table presents fees billed by PwC and Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):
Services Billed by Deloitte Entities
| | |
| November 30, 2015A | November 30, 2014A |
Audit-Related Fees | $- | $- |
Tax Fees | $10,000 | $- |
All Other Fees | $10,000 | $640,000 |
A Amounts may reflect rounding.
Services Billed by PwC
| | |
| November 30, 2015A | November 30, 2014A |
Audit-Related Fees | $5,890,000 | $5,185,000 |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC and Deloitte Entities for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:
| | |
Billed By | November 30, 2015 A | November 30, 2014 A |
PwC | $7,060,000 | $6,485,000 |
Deloitte Entities | $145,000 | $1,730,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC and Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of PwC and Deloitte Entities in their audits of the Funds, taking into account representations from PwC and Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding their independence from the Funds and their related entities and FMR’s review of the
appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.
Item 5.
Audit Committee of Listed Registrants
Fidelity Commonwealth Trust: Fidelity Nasdaq Composite Index Tracking Stock:
The Board of Trustees of Fidelity Commonwealth Trust: Fidelity Nasdaq Composite Index Tracking Stock has established a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of
November 30, 2015, the members of the audit committee were Joseph Mauriello, Alan J. Lacy and Robert W. Selander.
Fidelity Commonwealth Trust: Fidelity Nasdaq Composite Index Fund:
Fidelity Commonwealth Trust: Fidelity Series 100 Index Fund:
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Exhibits
| | |
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Commonwealth Trust
| |
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
| |
Date: | January 27, 2016 |
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/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
| |
Date: | January 27, 2016 |
| |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
| |
Date: | January 27, 2016 |
