| Common Stocks - 99.4% |
| | | Shares | Value ($) (000s) |
| COMMUNICATION SERVICES - 3.4% | | | |
| Diversified Telecommunication Services - 0.3% | | | |
| Cellnex Telecom SA (a) | | 861,600 | 30,050 |
| Liberty Latin America Ltd. Class C (b) | | 208,900 | 2,214 |
| | | | 32,264 |
| Entertainment - 0.2% | | | |
| Ubisoft Entertainment SA (b) | | 949,400 | 19,517 |
| Interactive Media & Services - 0.6% | | | |
| Zoominfo Technologies, Inc. (b) | | 4,764,200 | 54,121 |
| Media - 2.3% | | | |
| Comcast Corp. Class A | | 560,400 | 23,128 |
| Grupo Televisa SA de CV (CPO) sponsored ADR | | 10,590,700 | 23,088 |
| Interpublic Group of Companies, Inc. | | 2,025,400 | 65,157 |
| Nexstar Media Group, Inc. | | 263,700 | 48,729 |
| Thryv Holdings, Inc. (b) | | 1,572,263 | 30,628 |
| WPP PLC | | 3,466,000 | 33,433 |
| | | | 224,163 |
TOTAL COMMUNICATION SERVICES | | | 330,065 |
| CONSUMER DISCRETIONARY - 11.7% | | | |
| Automobile Components - 1.0% | | | |
| Aptiv PLC (b) | | 902,300 | 62,611 |
| Autoliv, Inc. | | 356,700 | 36,077 |
| | | | 98,688 |
| Automobiles - 0.6% | | | |
| Harley-Davidson, Inc. | | 1,524,900 | 57,184 |
| Broadline Retail - 0.2% | | | |
| Kohl's Corp. (c) | | 1,101,900 | 23,867 |
| Distributors - 0.6% | | | |
| LKQ Corp. | | 1,329,400 | 55,170 |
| Diversified Consumer Services - 0.3% | | | |
| H&R Block, Inc. | | 472,822 | 27,395 |
| Hotels, Restaurants & Leisure - 0.8% | | | |
| Hilton Grand Vacations, Inc. (b) | | 962,400 | 41,585 |
| Marriott Vacations Worldwide Corp. | | 356,200 | 30,127 |
| Red Rock Resorts, Inc. | | 149,069 | 8,497 |
| | | | 80,209 |
| Household Durables - 1.3% | | | |
| Mohawk Industries, Inc. (b) | | 326,000 | 52,509 |
| Newell Brands, Inc. | | 2,000,000 | 17,180 |
| Tempur Sealy International, Inc. | | 1,042,600 | 54,580 |
| | | | 124,269 |
| Leisure Products - 1.3% | | | |
| BRP, Inc. | | 735,972 | 53,322 |
| Brunswick Corp. | | 378,000 | 30,788 |
| Topgolf Callaway Brands Corp. (b)(c) | | 2,765,700 | 45,634 |
| | | | 129,744 |
| Specialty Retail - 3.1% | | | |
| Academy Sports & Outdoors, Inc. | | 442,479 | 23,925 |
| Camping World Holdings, Inc. (c) | | 1,664,700 | 38,088 |
| Gap, Inc. | | 1,406,100 | 33,015 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 234,700 | 64,855 |
| Sally Beauty Holdings, Inc. (b) | | 2,016,090 | 23,084 |
| Signet Jewelers Ltd. (c) | | 489,477 | 41,180 |
| Ulta Beauty, Inc. (b) | | 42,700 | 15,581 |
| Upbound Group, Inc. | | 1,394,574 | 52,617 |
| Victoria's Secret & Co. (b) | | 909,033 | 16,135 |
| | | | 308,480 |
| Textiles, Apparel & Luxury Goods - 2.5% | | | |
| Capri Holdings Ltd. (b) | | 1,092,700 | 36,649 |
| Dr. Martens Ltd. (c) | | 14,428,400 | 13,169 |
| Gildan Activewear, Inc. | | 1,867,600 | 76,049 |
| PVH Corp. | | 475,300 | 48,476 |
| Samsonite International SA (a) | | 13,465,800 | 38,866 |
| Tapestry, Inc. | | 800,700 | 32,100 |
| | | | 245,309 |
TOTAL CONSUMER DISCRETIONARY | | | 1,150,315 |
| CONSUMER STAPLES - 4.5% | | | |
| Beverages - 0.4% | | | |
| Keurig Dr. Pepper, Inc. | | 1,234,700 | 42,326 |
| Consumer Staples Distribution & Retail - 1.0% | | | |
| Dollar Tree, Inc. (b) | | 360,400 | 37,604 |
| U.S. Foods Holding Corp. (b) | | 1,028,400 | 55,935 |
| | | | 93,539 |
| Food Products - 1.9% | | | |
| Bunge Global SA | | 548,000 | 57,666 |
| Darling Ingredients, Inc. (b) | | 1,269,694 | 50,445 |
| Lamb Weston Holdings, Inc. | | 786,000 | 47,176 |
| The J.M. Smucker Co. | | 258,000 | 30,431 |
| | | | 185,718 |
| Personal Care Products - 0.7% | | | |
| Kenvue, Inc. | | 3,573,900 | 66,081 |
| Tobacco - 0.5% | | | |
| Philip Morris International, Inc. | | 456,200 | 52,536 |
TOTAL CONSUMER STAPLES | | | 440,200 |
| ENERGY - 9.7% | | | |
| Energy Equipment & Services - 4.0% | | | |
| Baker Hughes Co. Class A | | 2,031,700 | 78,667 |
| Expro Group Holdings NV (b) | | 2,658,500 | 61,730 |
| Kodiak Gas Services, Inc. | | 473,000 | 13,646 |
| Liberty Energy, Inc. Class A | | 770,975 | 18,619 |
| Secure Energy Services, Inc. | | 5,229,000 | 46,168 |
| Tenaris SA | | 1,686,300 | 26,756 |
| TGS ASA | | 1,956,300 | 23,973 |
| Tidewater, Inc. (b) | | 358,600 | 35,487 |
| Valaris Ltd. (b) | | 510,656 | 40,132 |
| Vallourec SA (b) | | 2,321,800 | 37,641 |
| Weatherford International PLC | | 92,211 | 10,868 |
| | | | 393,687 |
| Oil, Gas & Consumable Fuels - 5.7% | | | |
| Antero Resources Corp. (b) | | 2,127,862 | 61,751 |
| Canadian Natural Resources Ltd. | | 1,063,400 | 37,756 |
| Cenovus Energy, Inc. (Canada) | | 3,213,481 | 64,751 |
| Cheniere Energy, Inc. | | 380,166 | 69,434 |
| Delek U.S. Holdings, Inc. | | 1,012,300 | 24,072 |
| Diamondback Energy, Inc. | | 148,384 | 30,020 |
| Energy Transfer LP | | 2,300,797 | 37,434 |
| Imperial Oil Ltd. | | 610,600 | 43,743 |
| Imperial Oil Ltd. (U.S.) (c) | | 138,400 | 9,904 |
| Kosmos Energy Ltd. (b) | | 3,916,958 | 21,661 |
| MEG Energy Corp. | | 758,000 | 15,707 |
| Phillips 66 Co. | | 303,721 | 44,185 |
| Range Resources Corp. | | 570,686 | 17,823 |
| Targa Resources Corp. | | 481,913 | 65,193 |
| Tourmaline Oil Corp. | | 469,900 | 20,676 |
| | | | 564,110 |
TOTAL ENERGY | | | 957,797 |
| FINANCIALS - 16.6% | | | |
| Banks - 3.3% | | | |
| Axos Financial, Inc. (b) | | 411,869 | 30,071 |
| Barclays PLC | | 8,048,900 | 24,069 |
| East West Bancorp, Inc. | | 768,566 | 67,549 |
| First Citizens Bancshares, Inc. | | 32,992 | 68,877 |
| First Citizens Bancshares, Inc. Class B | | 6,100 | 11,621 |
| KeyCorp | | 3,340,500 | 53,882 |
| Popular, Inc. | | 469,587 | 48,194 |
| U.S. Bancorp | | 540,200 | 24,244 |
| | | | 328,507 |
| Capital Markets - 3.0% | | | |
| Ameriprise Financial, Inc. | | 108,700 | 46,749 |
| BGC Group, Inc. Class A | | 5,123,200 | 47,185 |
| Carlyle Group LP | | 1,078,000 | 53,620 |
| LPL Financial | | 164,200 | 36,374 |
| Onex Corp. (sub. vtg.) | | 264,200 | 18,104 |
| Petershill Partners PLC (a) | | 5,710,400 | 16,297 |
| Raymond James Financial, Inc. | | 325,200 | 37,723 |
| UBS Group AG | | 1,144,250 | 34,754 |
| | | | 290,806 |
| Consumer Finance - 1.6% | | | |
| Ally Financial, Inc. | | 634,100 | 28,541 |
| Navient Corp. | | 1,394,200 | 22,879 |
| OneMain Holdings, Inc. | | 1,020,380 | 53,325 |
| PROG Holdings, Inc. | | 710,889 | 32,033 |
| SLM Corp. | | 1,003,042 | 22,759 |
| | | | 159,537 |
| Financial Services - 3.7% | | | |
| Apollo Global Management, Inc. | | 414,202 | 51,904 |
| ECN Capital Corp. | | 9,967,607 | 15,305 |
| Essent Group Ltd. | | 784,200 | 49,279 |
| Global Payments, Inc. | | 844,200 | 85,804 |
| NCR Atleos Corp. | | 1,564,950 | 50,313 |
| Voya Financial, Inc. | | 644,700 | 46,889 |
| WEX, Inc. (b) | | 328,200 | 60,208 |
| | | | 359,702 |
| Insurance - 5.0% | | | |
| AMBAC Financial Group, Inc. (b) | | 1,608,859 | 21,221 |
| American Financial Group, Inc. | | 432,900 | 56,693 |
| Assurant, Inc. | | 211,479 | 36,981 |
| First American Financial Corp. | | 708,100 | 42,897 |
| Globe Life, Inc. | | 310,824 | 28,826 |
| Hartford Financial Services Group, Inc. | | 582,900 | 64,655 |
| Primerica, Inc. | | 128,743 | 32,414 |
| Prudential PLC | | 2,778,438 | 25,074 |
| Reinsurance Group of America, Inc. | | 268,049 | 60,426 |
| Stewart Information Services Corp. | | 441,870 | 31,240 |
| The Travelers Companies, Inc. | | 286,200 | 61,945 |
| Unum Group | | 487,000 | 28,017 |
| | | | 490,389 |
TOTAL FINANCIALS | | | 1,628,941 |
| HEALTH CARE - 8.8% | | | |
| Biotechnology - 0.3% | | | |
| Alnylam Pharmaceuticals, Inc. (b) | | 12,967 | 3,079 |
| Exact Sciences Corp. (b) | | 179,949 | 8,220 |
| Galapagos NV (b) | | 841,800 | 22,505 |
| | | | 33,804 |
| Health Care Equipment & Supplies - 2.3% | | | |
| Align Technology, Inc. (b) | | 32,950 | 7,640 |
| Baxter International, Inc. | | 1,234,503 | 44,220 |
| GE Healthcare Technologies, Inc. | | 211,829 | 17,927 |
| Hologic, Inc. (b) | | 80,922 | 6,604 |
| Masimo Corp. (b) | | 50,740 | 5,428 |
| QuidelOrtho Corp. (b) | | 1,132,800 | 44,508 |
| Solventum Corp. | | 454,894 | 26,784 |
| STERIS PLC | | 61,655 | 14,721 |
| Teleflex, Inc. | | 144,514 | 31,926 |
| The Cooper Companies, Inc. | | 137,073 | 12,793 |
| Zimmer Biomet Holdings, Inc. | | 123,129 | 13,710 |
| | | | 226,261 |
| Health Care Providers & Services - 3.4% | | | |
| Acadia Healthcare Co., Inc. (b) | | 156,905 | 10,175 |
| AdaptHealth Corp. (b) | | 2,934,396 | 33,335 |
| BrightSpring Health Services, Inc. | | 1,748,400 | 21,663 |
| Cencora, Inc. | | 58,541 | 13,926 |
| Centene Corp. (b) | | 881,837 | 67,831 |
| Chemed Corp. | | 19,591 | 11,170 |
| Cigna Group | | 148,749 | 51,864 |
| CVS Health Corp. | | 1,140,600 | 68,812 |
| Encompass Health Corp. | | 108,798 | 10,112 |
| Henry Schein, Inc. (b) | | 264,400 | 19,021 |
| Humana, Inc. | | 48,632 | 17,586 |
| Molina Healthcare, Inc. (b) | | 15,327 | 5,231 |
| Tenet Healthcare Corp. (b) | | 46,446 | 6,953 |
| | | | 337,679 |
| Life Sciences Tools & Services - 1.4% | | | |
| Agilent Technologies, Inc. | | 153,036 | 21,639 |
| Avantor, Inc. (b) | | 480,904 | 12,864 |
| Fortrea Holdings, Inc. (b) | | 2,396,000 | 66,106 |
| Illumina, Inc. (b) | | 24,923 | 3,056 |
| IQVIA Holdings, Inc. (b) | | 86,788 | 21,370 |
| West Pharmaceutical Services, Inc. | | 26,384 | 8,078 |
| | | | 133,113 |
| Pharmaceuticals - 1.4% | | | |
| Elanco Animal Health, Inc. (b) | | 220,700 | 2,878 |
| Jazz Pharmaceuticals PLC (b) | | 239,067 | 26,357 |
| Perrigo Co. PLC | | 693,200 | 19,597 |
| Royalty Pharma PLC | | 169,749 | 4,782 |
| Teva Pharmaceutical Industries Ltd. sponsored ADR (b) | | 1,881,600 | 32,796 |
| Viatris, Inc. | | 4,019,900 | 48,480 |
| | | | 134,890 |
TOTAL HEALTH CARE | | | 865,747 |
| INDUSTRIALS - 19.4% | | | |
| Air Freight & Logistics - 0.6% | | | |
| DHL Group | | 406,000 | 18,110 |
| FedEx Corp. | | 145,400 | 43,947 |
| | | | 62,057 |
| Building Products - 2.2% | | | |
| AZZ, Inc. | | 309,700 | 24,764 |
| Builders FirstSource, Inc. (b) | | 366,750 | 61,383 |
| Johnson Controls International PLC | | 603,400 | 43,167 |
| Tecnoglass, Inc. (c) | | 742,300 | 39,943 |
| UFP Industries, Inc. | | 347,000 | 45,780 |
| | | | 215,037 |
| Commercial Services & Supplies - 1.9% | | | |
| Driven Brands Holdings, Inc. (b) | | 2,461,800 | 33,087 |
| HNI Corp. | | 451,325 | 24,800 |
| The Brink's Co. | | 494,500 | 54,390 |
| The GEO Group, Inc. (b) | | 1,890,200 | 27,408 |
| Vestis Corp. | | 3,823,500 | 49,591 |
| | | | 189,276 |
| Construction & Engineering - 1.5% | | | |
| Centuri Holdings, Inc. | | 614,888 | 10,152 |
| Fluor Corp. (b) | | 978,600 | 47,071 |
| Granite Construction, Inc. | | 277,800 | 19,018 |
| MDU Resources Group, Inc. | | 1,784,800 | 48,083 |
| Willscot Holdings Corp. (b) | | 510,600 | 20,935 |
| | | | 145,259 |
| Electrical Equipment - 1.9% | | | |
| Acuity Brands, Inc. | | 122,400 | 30,765 |
| GrafTech International Ltd. | | 4,838,609 | 3,717 |
| Regal Rexnord Corp. | | 381,356 | 61,276 |
| Sensata Technologies PLC | | 1,364,600 | 53,206 |
| Siemens Energy AG (b) | | 1,442,700 | 42,016 |
| | | | 190,980 |
| Ground Transportation - 2.1% | | | |
| Ryder System, Inc. | | 404,170 | 56,648 |
| Saia, Inc. (b) | | 44,900 | 18,761 |
| TFI International, Inc. (Canada) | | 269,000 | 41,872 |
| U-Haul Holding Co. (non-vtg.) | | 707,725 | 45,103 |
| XPO, Inc. (b) | | 416,700 | 47,875 |
| | | | 210,259 |
| Machinery - 4.7% | | | |
| Allison Transmission Holdings, Inc. | | 687,429 | 60,899 |
| Atmus Filtration Technologies, Inc. | | 1,744,500 | 53,800 |
| Barnes Group, Inc. | | 689,900 | 27,831 |
| Chart Industries, Inc. (b)(c) | | 235,700 | 37,967 |
| CNH Industrial NV | | 4,134,200 | 44,029 |
| Gates Industrial Corp. PLC (b) | | 3,151,600 | 58,588 |
| Oshkosh Corp. | | 399,700 | 43,427 |
| PACCAR, Inc. | | 285,500 | 28,167 |
| Terex Corp. | | 792,200 | 50,115 |
| Timken Co. | | 669,296 | 58,195 |
| | | | 463,018 |
| Professional Services - 2.6% | | | |
| Clarivate PLC (b)(c) | | 4,483,300 | 30,217 |
| Concentrix Corp. | | 743,800 | 52,438 |
| Dun & Bradstreet Holdings, Inc. | | 2,104,300 | 22,895 |
| First Advantage Corp. (c) | | 1,902,900 | 32,768 |
| Genpact Ltd. | | 780,300 | 27,053 |
| ManpowerGroup, Inc. | | 447,300 | 34,254 |
| WNS Holdings Ltd. | | 849,400 | 50,607 |
| | | | 250,232 |
| Trading Companies & Distributors - 1.9% | | | |
| Beacon Roofing Supply, Inc. (b) | | 246,800 | 25,371 |
| GMS, Inc. (b) | | 403,600 | 38,838 |
| Herc Holdings, Inc. | | 345,400 | 53,827 |
| WESCO International, Inc. | | 372,600 | 65,186 |
| | | | 183,222 |
TOTAL INDUSTRIALS | | | 1,909,340 |
| INFORMATION TECHNOLOGY - 3.5% | | | |
| Communications Equipment - 1.0% | | | |
| Ciena Corp. (b) | | 612,000 | 32,277 |
| Lumentum Holdings, Inc. (b) | | 1,374,494 | 71,171 |
| | | | 103,448 |
| Electronic Equipment, Instruments & Components - 1.0% | | | |
| Flex Ltd. (b) | | 1,511,311 | 48,589 |
| Jabil, Inc. | | 414,900 | 46,747 |
| | | | 95,336 |
| IT Services - 0.4% | | | |
| GoDaddy, Inc. (b) | | 300,400 | 43,693 |
| Semiconductors & Semiconductor Equipment - 0.6% | | | |
| ON Semiconductor Corp. (b) | | 698,800 | 54,681 |
| Software - 0.5% | | | |
| NCR Voyix Corp. (b) | | 3,316,300 | 48,915 |
TOTAL INFORMATION TECHNOLOGY | | | 346,073 |
| MATERIALS - 10.2% | | | |
| Chemicals - 4.6% | | | |
| Axalta Coating Systems Ltd. (b) | | 630,837 | 22,489 |
| Cabot Corp. | | 318,300 | 31,922 |
| Celanese Corp. | | 148,416 | 20,949 |
| Corteva, Inc. | | 744,951 | 41,792 |
| Lanxess AG | | 1,042,300 | 27,276 |
| Methanex Corp. | | 961,019 | 46,696 |
| OCI NV | | 1,410,100 | 33,955 |
| Olin Corp. | | 962,100 | 43,881 |
| Syensqo SA | | 464,200 | 41,060 |
| The Chemours Co. LLC | | 2,554,345 | 61,739 |
| Tronox Holdings PLC | | 1,636,655 | 26,448 |
| Westlake Corp. | | 341,915 | 50,556 |
| | | | 448,763 |
| Construction Materials - 0.7% | | | |
| Eagle Materials, Inc. | | 73,100 | 19,905 |
| GCC S.A.B. de CV | | 1,800,766 | 15,290 |
| Martin Marietta Materials, Inc. | | 47,153 | 27,978 |
| Titan Cement International Trading SA | | 36,103 | 1,285 |
| | | | 64,458 |
| Containers & Packaging - 2.6% | | | |
| Berry Global Group, Inc. | | 730,700 | 48,022 |
| Graphic Packaging Holding Co. | | 1,287,100 | 38,742 |
| International Paper Co. | | 1,555,393 | 72,295 |
| O-I Glass, Inc. (b) | | 1,904,184 | 25,440 |
| Smurfit Westrock PLC | | 1,607,936 | 72,100 |
| | | | 256,599 |
| Metals & Mining - 1.4% | | | |
| Compass Minerals International, Inc. (c) | | 729,000 | 9,696 |
| Constellium NV (b) | | 3,297,414 | 58,727 |
| First Quantum Minerals Ltd. | | 2,760,763 | 33,793 |
| Radius Recycling, Inc. Class A | | 685,000 | 12,412 |
| Steel Dynamics, Inc. | | 193,277 | 25,748 |
| | | | 140,376 |
| Paper & Forest Products - 0.9% | | | |
| Interfor Corp. (b)(d) | | 3,654,013 | 47,983 |
| Louisiana-Pacific Corp. | | 419,150 | 41,144 |
| | | | 89,127 |
TOTAL MATERIALS | | | 999,323 |
| REAL ESTATE - 5.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 4.5% | | | |
| Camden Property Trust (SBI) | | 270,400 | 29,947 |
| EastGroup Properties, Inc. | | 294,700 | 55,106 |
| Extra Space Storage, Inc. | | 279,300 | 44,582 |
| Iron Mountain, Inc. | | 239,800 | 24,594 |
| Lamar Advertising Co. Class A | | 188,800 | 22,630 |
| Outfront Media, Inc. | | 2,697,100 | 43,747 |
| Prologis, Inc. | | 303,102 | 38,206 |
| Sun Communities, Inc. | | 315,800 | 40,021 |
| Ventas, Inc. | | 1,448,500 | 78,856 |
| Welltower, Inc. | | 530,000 | 58,963 |
| | | | 436,652 |
| Real Estate Management & Development - 0.7% | | | |
| Compass, Inc. (b) | | 10,820,600 | 47,502 |
| Newmark Group, Inc. Class A | | 1,890,500 | 24,539 |
| | | | 72,041 |
TOTAL REAL ESTATE | | | 508,693 |
| UTILITIES - 6.4% | | | |
| Electric Utilities - 4.1% | | | |
| American Electric Power Co., Inc. | | 559,300 | 54,879 |
| Constellation Energy Corp. | | 200,969 | 38,144 |
| Edison International | | 685,584 | 54,854 |
| Entergy Corp. | | 385,500 | 44,706 |
| FirstEnergy Corp. | | 1,495,300 | 62,668 |
| PG&E Corp. | | 5,736,000 | 104,683 |
| SSE PLC | | 1,632,800 | 39,473 |
| | | | 399,407 |
| Gas Utilities - 0.5% | | | |
| Southwest Gas Holdings, Inc. | | 227,400 | 16,864 |
| UGI Corp. | | 1,268,700 | 31,438 |
| | | | 48,302 |
| Independent Power and Renewable Electricity Producers - 1.4% | | | |
| The AES Corp. | | 4,225,200 | 75,166 |
| Vistra Corp. | | 847,200 | 67,115 |
| | | | 142,281 |
| Multi-Utilities - 0.4% | | | |
| Sempra | | 487,800 | 39,053 |
TOTAL UTILITIES | | | 629,043 |
| TOTAL COMMON STOCKS (Cost $7,748,329) | | | 9,765,537 |
| | | | |
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are presented in the table below. Certain corporate actions, such as mergers, are excluded from the amounts in this table if applicable. A dash in the Value end of period ($) column means either the issuer is no longer held at period end, or the issuer is held at period end but is no longer an affiliate.
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
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)
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 service 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 any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services 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 services. 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 any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative 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, to gain exposure to certain types of assets and/or 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(s):
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.
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. 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 specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the stock market.
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. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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