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 811-02105
Fidelity Salem Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | July 31 |
Date of reporting period: | January 31, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Real Estate Index Fund
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index or indices.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Ten Stocks as of January 31, 2022
% of fund's net assets | |
Prologis (REIT), Inc. | 7.3 |
American Tower Corp. | 7.2 |
Crown Castle International Corp. | 5.0 |
Equinix, Inc. | 4.1 |
Public Storage | 3.6 |
Simon Property Group, Inc. | 3.1 |
Digital Realty Trust, Inc. | 2.7 |
Realty Income Corp. | 2.4 |
Welltower, Inc. | 2.3 |
SBA Communications Corp. Class A | 2.3 |
40.0 |
Top Five REIT Sectors as of January 31, 2022
% of fund's net assets | |
REITs - Diversified | 23.2 |
REITs - Apartments | 12.1 |
REITs - Management/Investment | 10.6 |
REITs - Warehouse/Industrial | 10.1 |
REITs - Storage | 7.8 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 0.2%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.7% | |||
Shares | Value | ||
Equity Real Estate Investment Trusts (REITs) - 94.4% | |||
REITs - Apartments - 12.1% | |||
American Campus Communities, Inc. | 268,428 | $14,028,047 | |
American Homes 4 Rent Class A | 569,097 | 22,268,766 | |
Apartment Investment & Management Co. Class A (a) | 288,539 | 2,028,429 | |
AvalonBay Communities, Inc. | 269,678 | 65,863,458 | |
Camden Property Trust (SBI) | 194,661 | 31,163,279 | |
Centerspace | 26,302 | 2,508,685 | |
Equity Residential (SBI) | 684,030 | 60,693,982 | |
Essex Property Trust, Inc. | 126,069 | 41,917,943 | |
Independence Realty Trust, Inc. | 213,238 | 4,902,342 | |
Invitation Homes, Inc. | 1,141,217 | 47,908,290 | |
Mid-America Apartment Communities, Inc. | 225,597 | 46,626,328 | |
UDR, Inc. | 573,400 | 32,592,056 | |
372,501,605 | |||
REITs - Diversified - 23.2% | |||
Alexander & Baldwin, Inc. | 141,043 | 3,236,937 | |
American Finance Trust, Inc. | 221,139 | 1,826,608 | |
Apartment Income (REIT) Corp. | 308,946 | 16,318,528 | |
Apple Hospitality (REIT), Inc. | 420,628 | 6,784,730 | |
Armada Hoffler Properties, Inc. | 124,001 | 1,739,734 | |
Broadstone Net Lease, Inc. (b) | 306,274 | 7,077,992 | |
CorePoint Lodging, Inc. (a) | 71,533 | 1,123,783 | |
Cousins Properties, Inc. | 289,938 | 11,180,009 | |
Crown Castle International Corp. | 841,920 | 153,658,819 | |
Digital Realty Trust, Inc. | 551,043 | 82,232,147 | |
Digitalbridge Group, Inc. (a) | 979,750 | 7,152,175 | |
Duke Realty Corp. | 735,328 | 42,487,252 | |
EPR Properties | 147,255 | 6,474,802 | |
Equinix, Inc. | 175,040 | 126,886,496 | |
Gaming & Leisure Properties | 438,599 | 19,815,903 | |
Gladstone Commercial Corp. | 63,997 | 1,484,090 | |
Gladstone Land Corp. | 57,459 | 1,751,350 | |
Global Net Lease, Inc. | 174,407 | 2,500,996 | |
Lamar Advertising Co. Class A | 170,244 | 18,856,225 | |
NexPoint Residential Trust, Inc. | 42,001 | 3,330,679 | |
One Liberty Properties, Inc. | 42,318 | 1,290,699 | |
Outfront Media, Inc. | 295,092 | 7,330,085 | |
Potlatch Corp. | 137,543 | 7,398,438 | |
Preferred Apartment Communities, Inc. Class A | 93,328 | 1,556,711 | |
PS Business Parks, Inc. | 39,522 | 6,598,593 | |
Safehold, Inc. | 39,042 | 2,416,700 | |
SBA Communications Corp. Class A | 213,434 | 69,459,961 | |
Store Capital Corp. | 497,095 | 15,762,882 | |
Uniti Group, Inc. | 474,652 | 5,724,303 | |
VICI Properties, Inc. (b) | 1,219,874 | 34,912,794 | |
Vornado Realty Trust | 317,960 | 13,039,540 | |
Washington REIT (SBI) (b) | 145,802 | 3,589,645 | |
WP Carey, Inc. | 357,004 | 27,703,510 | |
712,703,116 | |||
REITs - Health Care - 7.3% | |||
CareTrust (REIT), Inc. | 197,874 | 4,196,908 | |
Community Healthcare Trust, Inc. | 55,300 | 2,507,302 | |
Diversified Healthcare Trust (SBI) | 487,054 | 1,485,515 | |
Global Medical REIT, Inc. | 139,283 | 2,355,276 | |
Healthcare Realty Trust, Inc. | 277,970 | 8,622,629 | |
Healthcare Trust of America, Inc. | 420,505 | 13,687,438 | |
Healthpeak Properties, Inc. | 1,041,894 | 36,851,791 | |
LTC Properties, Inc. | 68,007 | 2,453,012 | |
Medical Properties Trust, Inc. | 1,173,357 | 26,705,605 | |
Physicians Realty Trust | 417,423 | 7,622,144 | |
Sabra Health Care REIT, Inc. | 426,862 | 5,809,592 | |
Universal Health Realty Income Trust (SBI) | 25,604 | 1,492,713 | |
Ventas, Inc. | 763,655 | 40,488,988 | |
Welltower, Inc. | 821,961 | 71,206,481 | |
225,485,394 | |||
REITs - Health Care Facilities - 0.6% | |||
National Health Investors, Inc. | 84,425 | 4,882,298 | |
Omega Healthcare Investors, Inc. | 472,939 | 14,888,120 | |
19,770,418 | |||
REITs - Hotels - 2.7% | |||
Chatham Lodging Trust (a) | 97,295 | 1,291,105 | |
DiamondRock Hospitality Co. (a) | 423,296 | 3,957,818 | |
Host Hotels & Resorts, Inc. (a) | 1,401,311 | 24,298,733 | |
MGM Growth Properties LLC | 315,047 | 12,249,027 | |
Park Hotels & Resorts, Inc. (a) | 469,813 | 8,550,597 | |
Pebblebrook Hotel Trust | 261,707 | 5,665,957 | |
RLJ Lodging Trust | 332,014 | 4,598,394 | |
Ryman Hospitality Properties, Inc. (a) | 104,424 | 9,231,082 | |
Service Properties Trust | 341,679 | 2,921,355 | |
Summit Hotel Properties, Inc. (a) | 220,588 | 2,077,939 | |
Sunstone Hotel Investors, Inc. (a) | 430,448 | 4,868,367 | |
Xenia Hotels & Resorts, Inc. (a) | 224,946 | 3,900,564 | |
83,610,938 | |||
REITs - Industrial Buildings - 0.4% | |||
Stag Industrial, Inc. | 321,086 | 13,720,005 | |
REITs - Management/Investment - 10.6% | |||
American Assets Trust, Inc. | 99,290 | 3,571,461 | |
American Tower Corp. | 886,627 | 222,986,691 | |
Empire State Realty Trust, Inc. | 263,740 | 2,352,561 | |
iStar Financial, Inc. (b) | 142,652 | 3,062,738 | |
LXP Industrial Trust (REIT) (b) | 522,264 | 7,776,511 | |
National Retail Properties, Inc. | 342,942 | 15,219,766 | |
Rayonier, Inc. | 280,885 | 10,263,538 | |
UMH Properties, Inc. | 102,944 | 2,429,478 | |
Weyerhaeuser Co. | 1,470,305 | 59,444,431 | |
327,107,175 | |||
REITs - Manufactured Homes - 2.3% | |||
Equity Lifestyle Properties, Inc. | 338,279 | 26,483,863 | |
Sun Communities, Inc. | 228,452 | 43,168,290 | |
69,652,153 | |||
REITs - Office Buildings - 0.8% | |||
CyrusOne, Inc. | 242,706 | 21,807,134 | |
Office Properties Income Trust | 83,891 | 2,137,543 | |
23,944,677 | |||
REITs - Office Property - 5.7% | |||
Alexandria Real Estate Equities, Inc. | 283,134 | 55,165,829 | |
Boston Properties, Inc. | 290,681 | 32,579,526 | |
Brandywine Realty Trust (SBI) (b) | 331,296 | 4,260,467 | |
City Office REIT, Inc. | 89,916 | 1,603,202 | |
Corporate Office Properties Trust (SBI) | 211,921 | 5,353,124 | |
Douglas Emmett, Inc. | 342,008 | 10,677,490 | |
Easterly Government Properties, Inc. | 174,537 | 3,660,041 | |
Equity Commonwealth (a) | 194,729 | 5,070,743 | |
Franklin Street Properties Corp. | 208,926 | 1,159,539 | |
Highwoods Properties, Inc. (SBI) | 205,701 | 8,869,827 | |
Hudson Pacific Properties, Inc. | 291,721 | 6,893,367 | |
JBG SMITH Properties | 215,493 | 5,904,508 | |
Kilroy Realty Corp. | 207,142 | 13,257,088 | |
Orion Office (REIT), Inc. (a)(b) | 109,802 | 1,827,105 | |
Paramount Group, Inc. | 308,627 | 2,681,969 | |
Piedmont Office Realty Trust, Inc. Class A | 231,112 | 4,104,549 | |
SL Green Realty Corp. | 131,518 | 9,537,685 | |
Veris Residential, Inc. (a) | 132,861 | 2,192,207 | |
174,798,266 | |||
REITs - Regional Malls - 3.4% | |||
Simon Property Group, Inc. | 642,659 | 94,599,405 | |
Tanger Factory Outlet Centers, Inc. | 209,024 | 3,555,498 | |
The Macerich Co. | 420,270 | 6,951,266 | |
105,106,169 | |||
REITs - Shopping Centers - 6.2% | |||
Acadia Realty Trust (SBI) | 168,565 | 3,335,901 | |
Alexanders, Inc. | 3,701 | 974,362 | |
Brixmor Property Group, Inc. | 592,483 | 15,025,369 | |
Federal Realty Investment Trust (SBI) | 138,082 | 17,604,074 | |
Kimco Realty Corp. | 1,146,991 | 27,826,002 | |
Kite Realty Group Trust (b) | 443,826 | 9,267,087 | |
Realty Income Corp. | 1,080,867 | 75,022,978 | |
Regency Centers Corp. | 299,499 | 21,489,053 | |
Retail Opportunity Investments Corp. | 236,091 | 4,374,766 | |
RPT Realty | 177,941 | 2,245,615 | |
Saul Centers, Inc. | 33,391 | 1,648,848 | |
Seritage Growth Properties (a)(b) | 86,534 | 896,492 | |
SITE Centers Corp. | 342,475 | 5,072,055 | |
Urban Edge Properties | 238,689 | 4,353,687 | |
Urstadt Biddle Properties, Inc. Class A | 60,178 | 1,184,905 | |
190,321,194 | |||
REITs - Single Tenant - 1.2% | |||
Agree Realty Corp. | 137,774 | 9,007,664 | |
Essential Properties Realty Trust, Inc. | 263,300 | 6,990,615 | |
Four Corners Property Trust, Inc. | 152,298 | 4,122,707 | |
Getty Realty Corp. | 67,352 | 1,998,334 | |
NETSTREIT Corp. | 97,587 | 2,205,466 | |
Spirit Realty Capital, Inc. | 239,152 | 11,350,154 | |
35,674,940 | |||
REITs - Storage - 7.8% | |||
CubeSmart | 395,771 | 20,081,421 | |
Extra Space Storage, Inc. | 260,345 | 51,597,776 | |
Iron Mountain, Inc. | 563,837 | 25,891,395 | |
Life Storage, Inc. | 152,967 | 20,642,897 | |
National Storage Affiliates Trust | 170,980 | 10,525,529 | |
Public Storage | 305,870 | 109,663,571 | |
238,402,589 | |||
REITs - Warehouse/Industrial - 10.1% | |||
Americold Realty Trust | 513,313 | 14,603,755 | |
EastGroup Properties, Inc. | 80,901 | 16,172,919 | |
First Industrial Realty Trust, Inc. | 249,433 | 15,160,538 | |
Industrial Logistics Properties Trust | 126,667 | 2,904,474 | |
Monmouth Real Estate Investment Corp. Class A | 161,951 | 3,399,351 | |
Plymouth Industrial REIT, Inc. | 58,816 | 1,690,960 | |
Prologis (REIT), Inc. | 1,440,186 | 225,849,968 | |
Rexford Industrial Realty, Inc. | 279,077 | 20,420,064 | |
Terreno Realty Corp. | 142,414 | 10,648,295 | |
310,850,324 | |||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 2,903,648,963 | ||
Real Estate Management & Development - 5.3% | |||
Diversified Real Estate Activities - 0.1% | |||
The RMR Group, Inc. | 27,742 | 888,021 | |
The St. Joe Co. | 68,045 | 3,300,863 | |
4,188,884 | |||
Real Estate Development - 0.3% | |||
Forestar Group, Inc. (a)(b) | 53,554 | 1,068,402 | |
Howard Hughes Corp. (a) | 78,406 | 7,551,282 | |
8,619,684 | |||
Real Estate Operating Companies - 0.2% | |||
FRP Holdings, Inc. (a) | 7,089 | 400,387 | |
Kennedy-Wilson Holdings, Inc. (b) | 213,424 | 4,793,503 | |
5,193,890 | |||
Real Estate Services - 4.7% | |||
CBRE Group, Inc. | 653,390 | 66,214,543 | |
Cushman & Wakefield PLC (a) | 264,842 | 5,559,034 | |
Douglas Elliman, Inc. (a)(b) | 121,586 | 943,507 | |
eXp World Holdings, Inc. (b) | 144,494 | 3,921,567 | |
Jones Lang LaSalle, Inc. (a) | 98,508 | 24,704,821 | |
Marcus & Millichap, Inc. (a) | 45,270 | 2,119,089 | |
Newmark Group, Inc. | 340,761 | 5,217,051 | |
Opendoor Technologies, Inc. (a) | 254,522 | 2,527,403 | |
RE/MAX Holdings, Inc. | 35,927 | 1,069,188 | |
Realogy Holdings Corp. (a) | 230,831 | 3,808,712 | |
Redfin Corp. (a)(b) | 199,456 | 5,897,914 | |
Zillow Group, Inc.: | |||
Class A (a) | 104,270 | 5,198,902 | |
Class C (a)(b) | 346,649 | 17,498,842 | |
144,680,573 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 162,683,031 | ||
TOTAL COMMON STOCKS | |||
(Cost $2,368,846,140) | 3,066,331,994 | ||
Money Market Funds - 1.9% | |||
Fidelity Cash Central Fund 0.08% (c) | 2,075,031 | 2,075,446 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 56,534,332 | 56,539,986 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $58,615,432) | 58,615,432 | ||
TOTAL INVESTMENT IN SECURITIES - 101.6% | |||
(Cost $2,427,461,572) | 3,124,947,426 | ||
NET OTHER ASSETS (LIABILITIES) - (1.6)% | (50,429,600) | ||
NET ASSETS - 100% | $3,074,517,826 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 126 | March 2022 | $5,229,000 | $(186,745) | $(186,745) |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 15 | March 2022 | 3,944,550 | 29,972 | 29,972 |
TOTAL FUTURES CONTRACTS | $(156,773) |
The notional amount 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) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $11,341,337 | $228,366,552 | $237,632,443 | $3,295 | $-- | $-- | $2,075,446 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | 32,717,636 | 208,082,667 | 184,260,317 | 33,329 | -- | -- | 56,539,986 | 0.2% |
Total | $44,058,973 | $436,449,219 | $421,892,760 | $36,624 | $-- | $-- | $58,615,432 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Common Stocks | $3,066,331,994 | $3,066,331,994 | $-- | $-- |
Money Market Funds | 58,615,432 | 58,615,432 | -- | -- |
Total Investments in Securities: | $3,124,947,426 | $3,124,947,426 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $29,972 | $29,972 | $-- | $-- |
Total Assets | $29,972 | $29,972 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(186,745) | $(186,745) | $-- | $-- |
Total Liabilities | $(186,745) | $(186,745) | $-- | $-- |
Total Derivative Instruments: | $(156,773) | $(156,773) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $29,972 | $(186,745) |
Total Equity Risk | 29,972 | (186,745) |
Total Value of Derivatives | $29,972 | $(186,745) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $57,218,915) — See accompanying schedule: Unaffiliated issuers (cost $2,368,846,140) | $3,066,331,994 | |
Fidelity Central Funds (cost $58,615,432) | 58,615,432 | |
Total Investment in Securities (cost $2,427,461,572) | $3,124,947,426 | |
Segregated cash with brokers for derivative instruments | 364,800 | |
Cash | 4 | |
Receivable for investments sold | 4,640,463 | |
Receivable for fund shares sold | 4,547,194 | |
Dividends receivable | 976,026 | |
Distributions receivable from Fidelity Central Funds | 7,736 | |
Receivable for daily variation margin on futures contracts | 97,072 | |
Other receivables | 80 | |
Total assets | 3,135,580,801 | |
Liabilities | ||
Payable for fund shares redeemed | $4,349,615 | |
Accrued management fee | 183,410 | |
Collateral on securities loaned | 56,529,950 | |
Total liabilities | 61,062,975 | |
Net Assets | $3,074,517,826 | |
Net Assets consist of: | ||
Paid in capital | $2,578,570,812 | |
Total accumulated earnings (loss) | 495,947,014 | |
Net Assets | $3,074,517,826 | |
Net Asset Value, offering price and redemption price per share ($3,074,517,826 ÷ 166,026,541 shares) | $18.52 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $26,614,869 | |
Non-Cash dividends | 2,828,022 | |
Income from Fidelity Central Funds (including $33,329 from security lending) | 36,624 | |
Total income | 29,479,515 | |
Expenses | ||
Management fee | $1,075,037 | |
Independent trustees' fees and expenses | 4,975 | |
Interest | 382 | |
Total expenses before reductions | 1,080,394 | |
Expense reductions | (16) | |
Total expenses after reductions | 1,080,378 | |
Net investment income (loss) | 28,399,137 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 16,720,719 | |
Futures contracts | 374,511 | |
Total net realized gain (loss) | 17,095,230 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 6,364,304 | |
Futures contracts | (388,028) | |
Total change in net unrealized appreciation (depreciation) | 5,976,276 | |
Net gain (loss) | 23,071,506 | |
Net increase (decrease) in net assets resulting from operations | $51,470,643 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $28,399,137 | $60,521,598 |
Net realized gain (loss) | 17,095,230 | (72,212,310) |
Change in net unrealized appreciation (depreciation) | 5,976,276 | 832,915,651 |
Net increase (decrease) in net assets resulting from operations | 51,470,643 | 821,224,939 |
Distributions to shareholders | (40,915,447) | (63,006,932) |
Share transactions | ||
Proceeds from sales of shares | 479,217,653 | 886,460,485 |
Reinvestment of distributions | 36,317,502 | 56,453,099 |
Cost of shares redeemed | (391,187,218) | (844,105,696) |
Net increase (decrease) in net assets resulting from share transactions | 124,347,937 | 98,807,888 |
Total increase (decrease) in net assets | 134,903,133 | 857,025,895 |
Net Assets | ||
Beginning of period | 2,939,614,693 | 2,082,588,798 |
End of period | $3,074,517,826 | $2,939,614,693 |
Other Information | ||
Shares | ||
Sold | 25,506,062 | 57,934,745 |
Issued in reinvestment of distributions | 1,886,541 | 4,009,622 |
Redeemed | (20,810,575) | (55,837,169) |
Net increase (decrease) | 6,582,028 | 6,107,198 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Real Estate Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $18.44 | $13.58 | $16.82 | $15.76 | $15.70 | $17.28 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .17 | .39 | .51 | .53 | .46 | .39 |
Net realized and unrealized gain (loss) | .16 | 4.88 | (3.15) | 1.13 | .13 | (1.37) |
Total from investment operations | .33 | 5.27 | (2.64) | 1.66 | .59 | (.98) |
Distributions from net investment income | (.25) | (.41) | (.47) | (.50) | (.44) | (.39) |
Distributions from net realized gain | – | – | (.13) | (.10) | (.09) | (.21) |
Total distributions | (.25) | (.41) | (.60) | (.60) | (.53) | (.60) |
Redemption fees added to paid in capitalA | – | – | – | – | –C | –C |
Net asset value, end of period | $18.52 | $18.44 | $13.58 | $16.82 | $15.76 | $15.70 |
Total ReturnD,E | 1.73% | 39.73% | (16.34)% | 10.84% | 3.90% | (5.61)% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .07%H | .07% | .07% | .07% | .07% | .07% |
Expenses net of fee waivers, if any | .07%H | .07% | .07% | .07% | .07% | .07% |
Expenses net of all reductions | .07%H | .07% | .07% | .07% | .07% | .07% |
Net investment income (loss) | 1.85%H | 2.53% | 3.32% | 3.33% | 3.12% | 2.49% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $3,074,518 | $2,939,615 | $2,082,589 | $2,256,495 | $380,099 | $45,866 |
Portfolio turnover rateI | 11%H | 44% | 26% | 10% | 6% | 8% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Amount represents less than $.005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street 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 affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $805,160,278 |
Gross unrealized depreciation | (119,920,696) |
Net unrealized appreciation (depreciation) | $685,239,582 |
Tax cost | $2,439,551,071 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(65,337,847) |
Long-term | (132,190,873) |
Total capital loss carryforward | $(197,528,720) |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Real Estate Index Fund | 319,930,714 | 164,936,115 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity Real Estate Index Fund | Borrower | $8,733,400 | .32% | $382 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Real Estate Index Fund | $3,346 | $– | $– |
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $16.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity Real Estate Index Fund | .07% | |||
Actual | $1,000.00 | $1,017.30 | $.36 | |
Hypothetical-C | $1,000.00 | $1,024.85 | $.36 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Real Estate 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high-quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, managing, training, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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 No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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-Sized 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 was considered by the Board.The Board considered that effective July 1, 2016, the fund's management fee rate was reduced from 0.14% to 0.07%. The Board considered that the chart below reflects the fund's lower management fee rate for 2016, as if the lower fee rate were in effect for the entire year.URX-I-SANN-0422
1.929346.110
Fidelity® SAI Small-Mid Cap 500 Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). The LSE Group does not accept any liability whatsoever to any person arising out of the use of the fund or the underlying data.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Stocks as of January 31, 2022
% of fund's net assets | |
Devon Energy Corp. | 1.0 |
MongoDB, Inc. Class A | 0.7 |
onsemi | 0.7 |
Diamondback Energy, Inc. | 0.6 |
Avantor, Inc. | 0.6 |
3.6 |
Top Five Market Sectors as of January 31, 2022
% of fund's net assets | |
Information Technology | 17.8 |
Industrials | 16.9 |
Financials | 14.2 |
Consumer Discretionary | 12.3 |
Health Care | 9.9 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.7%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.5% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 2.3% | |||
Entertainment - 0.5% | |||
Madison Square Garden Sports Corp. (a) | 3,305 | $548,861 | |
Playtika Holding Corp. | 18,193 | 309,827 | |
Skillz, Inc. (a)(b) | 53,632 | 257,970 | |
World Wrestling Entertainment, Inc. Class A | 7,697 | 384,388 | |
Zynga, Inc. (a) | 179,968 | 1,632,310 | |
3,133,356 | |||
Interactive Media & Services - 0.1% | |||
TripAdvisor, Inc. (a) | 17,410 | 472,682 | |
Vimeo, Inc. (a) | 25,182 | 368,916 | |
841,598 | |||
Media - 1.7% | |||
Cable One, Inc. | 945 | 1,459,770 | |
Interpublic Group of Companies, Inc. | 68,645 | 2,439,643 | |
Liberty Media Corp.: | |||
Liberty Formula One Group Series C (a) | 34,772 | 2,094,318 | |
Liberty Media Class A (a) | 4,132 | 226,434 | |
Loyalty Ventures, Inc. (a) | 3,485 | 102,145 | |
News Corp.: | |||
Class A | 68,254 | 1,517,969 | |
Class B | 21,220 | 471,933 | |
Nexstar Broadcasting Group, Inc. Class A | 6,894 | 1,140,130 | |
The New York Times Co. Class A | 28,897 | 1,156,747 | |
10,609,089 | |||
TOTAL COMMUNICATION SERVICES | 14,584,043 | ||
CONSUMER DISCRETIONARY - 12.3% | |||
Auto Components - 0.9% | |||
BorgWarner, Inc. | 41,951 | 1,839,551 | |
Gentex Corp. | 41,429 | 1,300,871 | |
Lear Corp. | 10,511 | 1,758,701 | |
QuantumScape Corp. Class A (a)(b) | 42,785 | 714,082 | |
5,613,205 | |||
Automobiles - 0.3% | |||
Harley-Davidson, Inc. | 26,814 | 926,960 | |
Thor Industries, Inc. | 9,321 | 881,673 | |
1,808,633 | |||
Distributors - 0.5% | |||
Pool Corp. | 6,818 | 3,247,073 | |
Diversified Consumer Services - 1.1% | |||
Bright Horizons Family Solutions, Inc. (a) | 10,524 | 1,351,387 | |
Chegg, Inc. (a) | 25,018 | 662,226 | |
Frontdoor, Inc. (a) | 14,844 | 538,837 | |
Grand Canyon Education, Inc. (a) | 6,945 | 581,158 | |
H&R Block, Inc. | 30,784 | 703,722 | |
Mister Car Wash, Inc. | 13,447 | 231,288 | |
Service Corp. International | 28,096 | 1,734,085 | |
Terminix Global Holdings, Inc. (a) | 21,228 | 915,776 | |
6,718,479 | |||
Hotels, Restaurants & Leisure - 2.5% | |||
ARAMARK Holdings Corp. | 40,126 | 1,375,921 | |
Boyd Gaming Corp. | 14,372 | 854,559 | |
Choice Hotels International, Inc. | 6,097 | 874,310 | |
Churchill Downs, Inc. | 6,455 | 1,357,487 | |
Hyatt Hotels Corp. Class A (a) | 8,660 | 793,343 | |
Marriott Vacations Worldwide Corp. | 7,291 | 1,183,913 | |
Norwegian Cruise Line Holdings Ltd. (a) | 64,669 | 1,347,055 | |
Penn National Gaming, Inc. (a) | 28,835 | 1,315,164 | |
Planet Fitness, Inc. (a) | 14,586 | 1,292,903 | |
Six Flags Entertainment Corp. (a) | 13,507 | 533,391 | |
Travel+Leisure Co. | 14,838 | 842,798 | |
Vail Resorts, Inc. | 6,990 | 1,936,929 | |
Wendy's Co. | 31,196 | 718,444 | |
Wyndham Hotels & Resorts, Inc. | 16,054 | 1,347,733 | |
15,773,950 | |||
Household Durables - 1.6% | |||
Leggett & Platt, Inc. | 23,281 | 927,748 | |
Mohawk Industries, Inc. (a) | 9,624 | 1,519,341 | |
Newell Brands, Inc. | 66,604 | 1,545,879 | |
PulteGroup, Inc. | 44,173 | 2,327,475 | |
Tempur Sealy International, Inc. | 31,147 | 1,239,962 | |
Toll Brothers, Inc. | 19,447 | 1,146,790 | |
TopBuild Corp. (a) | 5,777 | 1,344,019 | |
10,051,214 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Qurate Retail, Inc. Series A | 63,374 | 445,519 | |
Leisure Products - 0.8% | |||
Brunswick Corp. | 13,473 | 1,223,214 | |
Hayward Holdings, Inc. (b) | 8,689 | 171,086 | |
Mattel, Inc. (a) | 61,056 | 1,277,292 | |
Polaris, Inc. | 9,992 | 1,124,999 | |
YETI Holdings, Inc. (a) | 14,980 | 982,388 | |
4,778,979 | |||
Multiline Retail - 0.4% | |||
Kohl's Corp. | 26,168 | 1,562,491 | |
Nordstrom, Inc. (a) | 19,350 | 435,375 | |
Ollie's Bargain Outlet Holdings, Inc. (a)(b) | 11,426 | 547,762 | |
2,545,628 | |||
Specialty Retail - 2.3% | |||
AutoNation, Inc. (a) | 7,239 | 789,051 | |
Dick's Sporting Goods, Inc. | 11,006 | 1,270,092 | |
Five Below, Inc. (a) | 9,648 | 1,582,272 | |
Floor & Decor Holdings, Inc. Class A (a) | 17,821 | 1,937,499 | |
Foot Locker, Inc. | 15,716 | 702,191 | |
GameStop Corp. Class A (a)(b) | 11,246 | 1,225,027 | |
Gap, Inc. | 35,246 | 636,895 | |
Leslie's, Inc. (a)(b) | 23,281 | 484,943 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 5,150 | 1,504,470 | |
Penske Automotive Group, Inc. | 5,395 | 548,294 | |
Petco Health & Wellness Co., Inc. (b) | 9,687 | 181,631 | |
RH (a) | 3,063 | 1,233,838 | |
Vroom, Inc. (a)(b) | 20,162 | 161,699 | |
Williams-Sonoma, Inc. | 12,954 | 2,079,635 | |
14,337,537 | |||
Textiles, Apparel & Luxury Goods - 1.8% | |||
Capri Holdings Ltd. (a) | 25,861 | 1,553,470 | |
Carter's, Inc. | 7,250 | 675,120 | |
Columbia Sportswear Co. | 6,860 | 637,088 | |
Deckers Outdoor Corp. (a) | 4,795 | 1,535,503 | |
Hanesbrands, Inc. | 60,759 | 978,220 | |
PVH Corp. | 12,432 | 1,181,164 | |
Ralph Lauren Corp. | 8,371 | 927,842 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 23,066 | 968,772 | |
Tapestry, Inc. | 48,875 | 1,854,806 | |
Under Armour, Inc.: | |||
Class A (sub. vtg.) (a) | 33,079 | 622,878 | |
Class C (non-vtg.) (a) | 35,684 | 570,587 | |
11,505,450 | |||
TOTAL CONSUMER DISCRETIONARY | 76,825,667 | ||
CONSUMER STAPLES - 2.8% | |||
Beverages - 0.1% | |||
Boston Beer Co., Inc. Class A (a) | 1,633 | 687,215 | |
Food & Staples Retailing - 0.6% | |||
Albertsons Companies, Inc. | 27,187 | 765,314 | |
Casey's General Stores, Inc. | 6,455 | 1,212,314 | |
Grocery Outlet Holding Corp. (a)(b) | 15,301 | 388,339 | |
U.S. Foods Holding Corp. (a) | 38,679 | 1,363,822 | |
3,729,789 | |||
Food Products - 1.8% | |||
Beyond Meat, Inc. (a)(b) | 10,037 | 653,710 | |
Bunge Ltd. | 24,064 | 2,378,967 | |
Darling Ingredients, Inc. (a) | 28,297 | 1,804,500 | |
Flowers Foods, Inc. | 32,820 | 923,227 | |
Freshpet, Inc. (a) | 7,147 | 664,885 | |
Ingredion, Inc. | 11,739 | 1,111,683 | |
Lamb Weston Holdings, Inc. | 25,564 | 1,641,464 | |
Pilgrim's Pride Corp. (a) | 8,322 | 232,766 | |
Post Holdings, Inc. (a) | 10,326 | 1,092,697 | |
Seaboard Corp. | 44 | 168,080 | |
The Hain Celestial Group, Inc. (a) | 15,983 | 583,859 | |
11,255,838 | |||
Household Products - 0.1% | |||
Reynolds Consumer Products, Inc. | 9,514 | 287,989 | |
Spectrum Brands Holdings, Inc. | 7,330 | 655,155 | |
943,144 | |||
Personal Products - 0.2% | |||
Coty, Inc. Class A (a) | 59,600 | 505,408 | |
Herbalife Nutrition Ltd. (a) | 17,776 | 755,658 | |
1,261,066 | |||
TOTAL CONSUMER STAPLES | 17,877,052 | ||
ENERGY - 4.1% | |||
Energy Equipment & Services - 0.2% | |||
NOV, Inc. | 68,222 | 1,120,205 | |
Oil, Gas & Consumable Fuels - 3.9% | |||
Antero Midstream GP LP | 58,531 | 582,383 | |
APA Corp. | 63,485 | 2,108,337 | |
Continental Resources, Inc. | 11,386 | 591,389 | |
Coterra Energy, Inc. | 139,433 | 3,053,583 | |
Devon Energy Corp. | 118,098 | 5,972,220 | |
Diamondback Energy, Inc. | 31,635 | 3,991,072 | |
EQT Corp. | 53,315 | 1,132,944 | |
HollyFrontier Corp. | 26,203 | 921,297 | |
Marathon Oil Corp. | 135,635 | 2,640,813 | |
New Fortress Energy, Inc. | 4,639 | 101,872 | |
Targa Resources Corp. | 39,459 | 2,331,238 | |
Texas Pacific Land Corp. | 1,030 | 1,107,250 | |
24,534,398 | |||
TOTAL ENERGY | 25,654,603 | ||
FINANCIALS - 14.2% | |||
Banks - 5.0% | |||
Bank of Hawaii Corp. | 6,967 | 599,650 | |
Bank OZK | 21,261 | 996,078 | |
BOK Financial Corp. | 5,277 | 541,156 | |
Comerica, Inc. | 22,952 | 2,129,487 | |
Commerce Bancshares, Inc. | 19,558 | 1,347,742 | |
Cullen/Frost Bankers, Inc. | 9,998 | 1,409,818 | |
East West Bancorp, Inc. | 24,713 | 2,133,720 | |
First Citizens Bancshares, Inc. | 2,128 | 1,657,882 | |
First Hawaiian, Inc. | 22,522 | 638,499 | |
First Horizon National Corp. | 93,818 | 1,605,226 | |
FNB Corp., Pennsylvania | 59,887 | 773,740 | |
PacWest Bancorp | 20,304 | 942,715 | |
Peoples United Financial, Inc. | 74,459 | 1,443,015 | |
Pinnacle Financial Partners, Inc. | 13,012 | 1,258,391 | |
Popular, Inc. | 13,865 | 1,236,342 | |
Prosperity Bancshares, Inc. | 15,635 | 1,145,264 | |
Signature Bank | 10,388 | 3,164,496 | |
Sterling Bancorp | 33,455 | 879,532 | |
Synovus Financial Corp. | 25,423 | 1,265,048 | |
Umpqua Holdings Corp. | 37,809 | 766,767 | |
Webster Financial Corp. | 15,760 | 895,326 | |
Western Alliance Bancorp. | 17,654 | 1,751,100 | |
Wintrust Financial Corp. | 9,922 | 973,051 | |
Zions Bancorp NA | 26,989 | 1,830,394 | |
31,384,439 | |||
Capital Markets - 3.4% | |||
Affiliated Managers Group, Inc. | 7,096 | 1,037,506 | |
Ares Management Corp. | 24,869 | 1,982,557 | |
Carlyle Group LP | 28,421 | 1,450,892 | |
Cboe Global Markets, Inc. | 18,624 | 2,207,503 | |
Evercore, Inc. Class A | 6,670 | 832,549 | |
FactSet Research Systems, Inc. | 6,639 | 2,800,928 | |
Invesco Ltd. | 58,409 | 1,323,548 | |
Janus Henderson Group PLC | 29,604 | 1,092,388 | |
Jefferies Financial Group, Inc. | 38,308 | 1,403,605 | |
Lazard Ltd. Class A | 17,514 | 764,311 | |
LPL Financial | 13,941 | 2,402,313 | |
Morningstar, Inc. | 4,096 | 1,177,231 | |
SEI Investments Co. | 18,709 | 1,096,534 | |
Stifel Financial Corp. | 17,865 | 1,338,089 | |
Virtu Financial, Inc. Class A | 15,356 | 474,961 | |
21,384,915 | |||
Consumer Finance - 0.6% | |||
Credit Acceptance Corp. (a)(b) | 1,417 | 764,557 | |
OneMain Holdings, Inc. | 19,663 | 1,015,791 | |
SLM Corp. | 51,173 | 938,513 | |
Upstart Holdings, Inc. (a) | 7,985 | 870,445 | |
3,589,306 | |||
Diversified Financial Services - 0.2% | |||
Voya Financial, Inc. | 19,313 | 1,312,511 | |
Insurance - 4.1% | |||
Alleghany Corp. (a) | 2,326 | 1,544,464 | |
American Financial Group, Inc. | 11,873 | 1,546,814 | |
Assurant, Inc. | 9,949 | 1,517,322 | |
Assured Guaranty Ltd. | 11,794 | 628,502 | |
Axis Capital Holdings Ltd. | 13,563 | 772,820 | |
Brighthouse Financial, Inc. (a) | 13,909 | 757,345 | |
Brown & Brown, Inc. | 41,054 | 2,721,059 | |
Erie Indemnity Co. Class A | 4,394 | 808,935 | |
Everest Re Group Ltd. | 6,807 | 1,929,104 | |
First American Financial Corp. | 18,642 | 1,389,015 | |
Globe Life, Inc. | 17,536 | 1,793,933 | |
GoHealth, Inc. (a) | 7,648 | 21,108 | |
Hanover Insurance Group, Inc. | 6,253 | 862,664 | |
Kemper Corp. | 10,522 | 631,110 | |
Lemonade, Inc. (a)(b) | 6,694 | 213,739 | |
Mercury General Corp. | 4,662 | 254,825 | |
Old Republic International Corp. | 49,014 | 1,256,229 | |
Primerica, Inc. | 6,861 | 1,058,927 | |
Reinsurance Group of America, Inc. | 11,881 | 1,364,295 | |
RenaissanceRe Holdings Ltd. | 7,974 | 1,253,274 | |
Unum Group | 35,690 | 905,812 | |
W.R. Berkley Corp. | 24,176 | 2,042,872 | |
White Mountains Insurance Group Ltd. | 513 | 534,012 | |
25,808,180 | |||
Mortgage Real Estate Investment Trusts - 0.6% | |||
AGNC Investment Corp. | 91,780 | 1,366,604 | |
New Residential Investment Corp. | 75,765 | 806,897 | |
Starwood Property Trust, Inc. | 50,705 | 1,254,949 | |
3,428,450 | |||
Thrifts & Mortgage Finance - 0.3% | |||
MGIC Investment Corp. | 56,769 | 861,753 | |
New York Community Bancorp, Inc. | 79,037 | 921,571 | |
TFS Financial Corp. | 8,630 | 149,989 | |
UWM Holdings Corp. Class A (b) | 15,895 | 82,177 | |
2,015,490 | |||
TOTAL FINANCIALS | 88,923,291 | ||
HEALTH CARE - 9.9% | |||
Biotechnology - 2.0% | |||
Exelixis, Inc. (a) | 54,202 | 981,056 | |
Ionis Pharmaceuticals, Inc. (a) | 24,558 | 780,944 | |
Iovance Biotherapeutics, Inc. (a) | 26,104 | 434,632 | |
Mirati Therapeutics, Inc. (a) | 7,333 | 874,827 | |
Natera, Inc. (a) | 14,613 | 1,032,408 | |
Neurocrine Biosciences, Inc. (a) | 16,379 | 1,294,269 | |
Novavax, Inc. (a)(b) | 13,200 | 1,236,840 | |
Repligen Corp. (a) | 9,584 | 1,900,891 | |
Sage Therapeutics, Inc. (a) | 8,998 | 354,701 | |
Sarepta Therapeutics, Inc. (a) | 14,585 | 1,043,848 | |
Ultragenyx Pharmaceutical, Inc. (a)(b) | 11,402 | 797,342 | |
United Therapeutics Corp. (a) | 7,727 | 1,559,849 | |
12,291,607 | |||
Health Care Equipment & Supplies - 1.5% | |||
Envista Holdings Corp. (a) | 28,168 | 1,217,984 | |
Figs, Inc. Class A (a)(b) | 17,298 | 388,859 | |
Globus Medical, Inc. (a) | 13,720 | 915,536 | |
ICU Medical, Inc. (a) | 3,487 | 743,986 | |
Integra LifeSciences Holdings Corp. (a) | 12,657 | 819,414 | |
Masimo Corp. (a) | 8,762 | 1,926,501 | |
Penumbra, Inc. (a) | 6,056 | 1,368,717 | |
Quidel Corp. (a) | 6,438 | 665,432 | |
Tandem Diabetes Care, Inc. (a) | 10,840 | 1,280,312 | |
9,326,741 | |||
Health Care Providers & Services - 1.8% | |||
Acadia Healthcare Co., Inc. (a) | 15,485 | 815,285 | |
agilon health, Inc. (a)(b) | 29,230 | 484,633 | |
Amedisys, Inc. (a) | 5,615 | 758,587 | |
Chemed Corp. | 2,635 | 1,235,578 | |
Encompass Health Corp. | 17,092 | 1,060,388 | |
Guardant Health, Inc. (a) | 15,726 | 1,093,743 | |
Henry Schein, Inc. (a) | 24,310 | 1,830,543 | |
Molina Healthcare, Inc. (a) | 10,100 | 2,933,848 | |
Premier, Inc. | 21,301 | 814,124 | |
Signify Health, Inc. (b) | 11,218 | 149,536 | |
11,176,265 | |||
Health Care Technology - 0.2% | |||
Certara, Inc. (a) | 18,419 | 492,340 | |
Change Healthcare, Inc. (a) | 43,818 | 862,338 | |
Definitive Healthcare Corp. | 1,933 | 42,294 | |
1,396,972 | |||
Life Sciences Tools & Services - 3.3% | |||
10X Genomics, Inc. (a) | 14,804 | 1,425,181 | |
Adaptive Biotechnologies Corp. (a) | 19,062 | 332,441 | |
Avantor, Inc. (a) | 105,464 | 3,936,971 | |
Bio-Techne Corp. | 6,850 | 2,578,409 | |
Bruker Corp. | 17,915 | 1,193,139 | |
Charles River Laboratories International, Inc. (a) | 8,727 | 2,877,816 | |
Maravai LifeSciences Holdings, Inc. (a) | 19,219 | 555,813 | |
PerkinElmer, Inc. | 22,090 | 3,803,235 | |
QIAGEN NV (a) | 39,748 | 1,967,129 | |
Sotera Health Co. (a) | 17,403 | 374,339 | |
Syneos Health, Inc. (a) | 17,815 | 1,613,326 | |
20,657,799 | |||
Pharmaceuticals - 1.1% | |||
Catalent, Inc. (a) | 29,796 | 3,096,698 | |
Jazz Pharmaceuticals PLC (a)(b) | 10,492 | 1,457,444 | |
Nektar Therapeutics (a)(b) | 31,464 | 349,880 | |
Organon & Co. | 44,421 | 1,417,474 | |
Perrigo Co. PLC | 23,389 | 890,419 | |
7,211,915 | |||
TOTAL HEALTH CARE | 62,061,299 | ||
INDUSTRIALS - 16.9% | |||
Aerospace & Defense - 1.8% | |||
Axon Enterprise, Inc. (a) | 11,360 | 1,589,605 | |
BWX Technologies, Inc. | 16,120 | 717,501 | |
Curtiss-Wright Corp. | 6,837 | 907,885 | |
Hexcel Corp. | 14,632 | 763,351 | |
Howmet Aerospace, Inc. | 67,770 | 2,106,969 | |
Huntington Ingalls Industries, Inc. | 6,897 | 1,291,118 | |
Mercury Systems, Inc. (a) | 9,805 | 558,101 | |
Spirit AeroSystems Holdings, Inc. Class A | 18,337 | 803,711 | |
Textron, Inc. | 38,588 | 2,626,299 | |
Virgin Galactic Holdings, Inc. (a)(b) | 31,308 | 288,034 | |
11,652,574 | |||
Air Freight & Logistics - 0.2% | |||
GXO Logistics, Inc. (a) | 16,953 | 1,376,753 | |
Airlines - 0.7% | |||
Alaska Air Group, Inc. (a) | 21,352 | 1,168,808 | |
American Airlines Group, Inc. (a)(b) | 111,807 | 1,841,461 | |
Copa Holdings SA Class A (a) | 5,519 | 461,278 | |
JetBlue Airways Corp. (a) | 55,429 | 810,926 | |
4,282,473 | |||
Building Products - 2.8% | |||
A.O. Smith Corp. | 23,174 | 1,770,957 | |
Advanced Drain Systems, Inc. | 10,590 | 1,197,623 | |
Allegion PLC | 15,721 | 1,929,438 | |
Armstrong World Industries, Inc. | 8,324 | 824,242 | |
Builders FirstSource, Inc. (a) | 33,175 | 2,255,568 | |
Carlisle Companies, Inc. | 8,994 | 2,009,619 | |
Fortune Brands Home & Security, Inc. | 23,696 | 2,231,452 | |
Lennox International, Inc. | 5,776 | 1,638,189 | |
Owens Corning | 17,552 | 1,556,862 | |
The AZEK Co., Inc. (a) | 19,669 | 649,667 | |
Trex Co., Inc. (a) | 20,262 | 1,853,365 | |
17,916,982 | |||
Commercial Services & Supplies - 0.7% | |||
ADT, Inc. | 27,679 | 210,084 | |
Clean Harbors, Inc. (a) | 8,867 | 820,641 | |
Driven Brands Holdings, Inc. | 9,416 | 266,002 | |
IAA, Inc. (a) | 23,617 | 1,084,729 | |
MSA Safety, Inc. | 6,419 | 881,971 | |
Stericycle, Inc. (a) | 16,018 | 940,897 | |
4,204,324 | |||
Construction & Engineering - 0.9% | |||
AECOM | 23,876 | 1,650,548 | |
MasTec, Inc. (a) | 9,830 | 846,658 | |
Quanta Services, Inc. | 24,778 | 2,545,196 | |
Valmont Industries, Inc. | 3,652 | 793,324 | |
5,835,726 | |||
Electrical Equipment - 2.0% | |||
Acuity Brands, Inc. | 6,056 | 1,159,906 | |
ChargePoint Holdings, Inc. Class A (a)(b) | 39,197 | 542,878 | |
Fluence Energy, Inc. | 5,947 | 111,209 | |
Hubbell, Inc. Class B | 9,479 | 1,775,322 | |
nVent Electric PLC | 29,153 | 1,008,402 | |
Plug Power, Inc. (a)(b) | 89,615 | 1,959,880 | |
Regal Rexnord Corp. | 11,810 | 1,871,649 | |
Sensata Technologies, Inc. PLC (a) | 27,240 | 1,562,486 | |
Shoals Technologies Group, Inc. (b) | 18,290 | 308,369 | |
Sunrun, Inc. (a) | 35,438 | 918,907 | |
Vertiv Holdings Co. | 56,268 | 1,173,750 | |
12,392,758 | |||
Machinery - 3.8% | |||
AGCO Corp. | 10,927 | 1,280,644 | |
Allison Transmission Holdings, Inc. | 18,158 | 689,822 | |
Colfax Corp. (a)(b) | 20,479 | 842,096 | |
Crane Co. | 8,636 | 893,912 | |
Donaldson Co., Inc. | 21,626 | 1,203,703 | |
Flowserve Corp. | 22,773 | 742,855 | |
Gates Industrial Corp. PLC (a) | 16,663 | 257,777 | |
Graco, Inc. | 29,397 | 2,133,046 | |
ITT, Inc. | 15,086 | 1,386,705 | |
Lincoln Electric Holdings, Inc. | 10,052 | 1,285,048 | |
Middleby Corp. (a) | 9,645 | 1,786,254 | |
Nordson Corp. | 10,165 | 2,363,769 | |
Oshkosh Corp. | 11,964 | 1,361,623 | |
Pentair PLC | 28,952 | 1,844,242 | |
Snap-On, Inc. | 9,350 | 1,947,138 | |
Timken Co. | 11,244 | 751,099 | |
Toro Co. | 18,608 | 1,797,161 | |
Woodward, Inc. | 10,054 | 1,108,655 | |
23,675,549 | |||
Marine - 0.1% | |||
Kirby Corp. (a) | 10,432 | 679,958 | |
Professional Services - 2.0% | |||
Booz Allen Hamilton Holding Corp. Class A | 23,329 | 1,790,034 | |
CACI International, Inc. Class A (a) | 4,071 | 1,007,410 | |
Dun & Bradstreet Holdings, Inc. (a) | 28,044 | 562,563 | |
FTI Consulting, Inc. (a)(b) | 5,873 | 856,342 | |
Jacobs Engineering Group, Inc. | 22,636 | 2,946,754 | |
LegalZoom.com, Inc. (b) | 3,155 | 50,101 | |
Manpower, Inc. | 9,511 | 997,419 | |
Nielsen Holdings PLC | 62,600 | 1,180,636 | |
Robert Half International, Inc. | 18,989 | 2,150,694 | |
Science Applications International Corp. | 10,140 | 831,784 | |
12,373,737 | |||
Road & Rail - 1.0% | |||
AMERCO | 1,567 | 954,225 | |
Knight-Swift Transportation Holdings, Inc. Class A | 28,153 | 1,592,897 | |
Landstar System, Inc. | 6,692 | 1,070,720 | |
Ryder System, Inc. | 9,140 | 668,957 | |
Schneider National, Inc. Class B | 9,068 | 232,141 | |
TuSimple Holdings, Inc. (a) | 23,213 | 435,476 | |
XPO Logistics, Inc. (a) | 16,952 | 1,121,714 | |
6,076,130 | |||
Trading Companies & Distributors - 0.9% | |||
Air Lease Corp. Class A | 18,741 | 746,079 | |
Core & Main, Inc. | 9,845 | 236,772 | |
MSC Industrial Direct Co., Inc. Class A | 7,854 | 641,201 | |
SiteOne Landscape Supply, Inc. (a) | 7,717 | 1,389,986 | |
Univar, Inc. (a) | 29,293 | 776,265 | |
Watsco, Inc. | 5,719 | 1,615,961 | |
5,406,264 | |||
TOTAL INDUSTRIALS | 105,873,228 | ||
INFORMATION TECHNOLOGY - 17.8% | |||
Communications Equipment - 1.3% | |||
Ciena Corp. (a) | 26,996 | 1,790,105 | |
CommScope Holding Co., Inc. (a) | 35,149 | 330,049 | |
F5, Inc. (a) | 10,548 | 2,189,976 | |
Juniper Networks, Inc. | 56,802 | 1,977,846 | |
Lumentum Holdings, Inc. (a) | 12,696 | 1,288,390 | |
ViaSat, Inc. (a) | 12,175 | 535,944 | |
8,112,310 | |||
Electronic Equipment & Components - 1.8% | |||
Arrow Electronics, Inc. (a) | 12,131 | 1,504,244 | |
Avnet, Inc. | 17,368 | 700,972 | |
Cognex Corp. | 29,942 | 1,989,945 | |
Coherent, Inc. (a) | 4,278 | 1,105,777 | |
IPG Photonics Corp. (a) | 6,338 | 979,031 | |
Jabil, Inc. | 25,673 | 1,578,633 | |
Littelfuse, Inc. | 4,192 | 1,131,714 | |
National Instruments Corp. | 23,219 | 957,087 | |
TD SYNNEX Corp. | 7,288 | 762,106 | |
Vontier Corp. | 29,606 | 832,225 | |
11,541,734 | |||
IT Services - 3.5% | |||
Alliance Data Systems Corp. | 8,713 | 601,546 | |
Amdocs Ltd. | 22,652 | 1,719,060 | |
Concentrix Corp. | 7,376 | 1,482,502 | |
DXC Technology Co. (a) | 43,968 | 1,322,557 | |
Euronet Worldwide, Inc. (a) | 8,866 | 1,187,069 | |
Fastly, Inc. Class A (a)(b) | 18,516 | 530,669 | |
Genpact Ltd. | 32,069 | 1,595,433 | |
Globant SA (a) | 7,078 | 1,806,164 | |
Jack Henry & Associates, Inc. | 12,932 | 2,170,119 | |
MongoDB, Inc. Class A (a) | 11,120 | 4,504,823 | |
Paysafe Ltd. (a) | 122,032 | 442,976 | |
Sabre Corp. (a) | 56,272 | 514,889 | |
Shift4 Payments, Inc. (a)(b) | 7,520 | 396,454 | |
SolarWinds, Inc. | 5,929 | 80,634 | |
Switch, Inc. Class A | 20,070 | 514,394 | |
The Western Union Co. | 70,229 | 1,328,030 | |
Thoughtworks Holding, Inc. | 7,442 | 159,408 | |
WEX, Inc. (a) | 7,822 | 1,259,186 | |
21,615,913 | |||
Semiconductors & Semiconductor Equipment - 3.5% | |||
Allegro MicroSystems LLC (a) | 7,030 | 199,511 | |
Azenta, Inc. | 12,817 | 1,080,986 | |
Cirrus Logic, Inc. (a) | 9,965 | 891,270 | |
Enphase Energy, Inc. (a) | 23,099 | 3,244,717 | |
Entegris, Inc. | 23,576 | 2,825,348 | |
First Solar, Inc. (a) | 18,561 | 1,454,811 | |
MKS Instruments, Inc. | 9,681 | 1,503,750 | |
Monolithic Power Systems, Inc. | 7,850 | 3,163,001 | |
onsemi (a) | 74,155 | 4,375,145 | |
Universal Display Corp. | 7,578 | 1,163,299 | |
Wolfspeed, Inc. (a) | 20,196 | 1,903,271 | |
21,805,109 | |||
Software - 7.4% | |||
Alteryx, Inc. Class A (a) | 10,295 | 587,536 | |
Anaplan, Inc. (a) | 24,862 | 1,200,337 | |
Aspen Technology, Inc. (a) | 11,701 | 1,757,022 | |
Avalara, Inc. (a) | 14,997 | 1,643,971 | |
Bentley Systems, Inc. Class B (b) | 24,164 | 970,668 | |
Bill.Com Holdings, Inc. (a) | 16,083 | 3,026,981 | |
Black Knight, Inc. (a) | 26,616 | 1,985,554 | |
C3.Ai, Inc. (a)(b) | 10,390 | 273,673 | |
CDK Global, Inc. | 20,740 | 891,198 | |
Ceridian HCM Holding, Inc. (a) | 22,936 | 1,739,008 | |
Datto Holding Corp. (a)(b) | 4,230 | 105,369 | |
Dolby Laboratories, Inc. Class A | 11,242 | 987,610 | |
DoubleVerify Holdings, Inc. (a)(b) | 9,059 | 250,572 | |
Dropbox, Inc. Class A (a) | 52,011 | 1,287,272 | |
Duck Creek Technologies, Inc. (a) | 12,559 | 320,882 | |
Dynatrace, Inc. (a) | 34,457 | 1,890,311 | |
Elastic NV (a) | 12,851 | 1,198,356 | |
Everbridge, Inc. (a) | 6,716 | 343,322 | |
Fair Isaac Corp. (a) | 4,644 | 2,298,734 | |
Five9, Inc. (a) | 11,815 | 1,485,146 | |
Guidewire Software, Inc. (a) | 14,690 | 1,481,340 | |
Informatica, Inc. | 5,856 | 163,500 | |
Jamf Holding Corp. (a)(b) | 9,371 | 309,805 | |
Mandiant, Inc. (a) | 41,044 | 619,354 | |
Manhattan Associates, Inc. (a) | 11,082 | 1,483,547 | |
McAfee Corp. | 14,286 | 366,436 | |
N-able, Inc. (a) | 6,805 | 75,944 | |
nCino, Inc. (a)(b) | 9,827 | 450,371 | |
NCR Corp. (a) | 22,316 | 849,347 | |
New Relic, Inc. (a) | 9,032 | 949,624 | |
NortonLifeLock, Inc. | 96,261 | 2,503,749 | |
Nuance Communications, Inc. (a) | 49,891 | 2,756,478 | |
Nutanix, Inc. Class A (a) | 36,882 | 1,008,354 | |
Paycor HCM, Inc. (b) | 5,697 | 147,780 | |
Paylocity Holding Corp. (a) | 6,881 | 1,403,586 | |
Pegasystems, Inc. | 7,143 | 708,728 | |
Procore Technologies, Inc. (a)(b) | 10,417 | 651,688 | |
PTC, Inc. (a) | 18,458 | 2,145,927 | |
Smartsheet, Inc. (a) | 21,276 | 1,323,793 | |
Teradata Corp. (a) | 18,871 | 761,256 | |
Zendesk, Inc. (a) | 20,838 | 2,052,751 | |
46,456,880 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Pure Storage, Inc. Class A (a) | 46,679 | 1,236,527 | |
Xerox Holdings Corp. | 24,858 | 524,752 | |
1,761,279 | |||
TOTAL INFORMATION TECHNOLOGY | 111,293,225 | ||
MATERIALS - 6.9% | |||
Chemicals - 2.7% | |||
Ashland Global Holdings, Inc. | 9,618 | 923,713 | |
Axalta Coating Systems Ltd. (a) | 36,124 | 1,069,632 | |
CF Industries Holdings, Inc. | 37,449 | 2,579,113 | |
Diversey Holdings Ltd. (a) | 13,459 | 148,049 | |
Element Solutions, Inc. | 40,511 | 909,067 | |
Huntsman Corp. | 36,304 | 1,300,772 | |
NewMarket Corp. | 1,141 | 385,738 | |
Olin Corp. | 25,174 | 1,275,567 | |
RPM International, Inc. | 22,356 | 1,980,965 | |
The Chemours Co. LLC | 28,373 | 928,081 | |
The Mosaic Co. | 65,001 | 2,596,790 | |
The Scotts Miracle-Gro Co. Class A | 7,189 | 1,086,977 | |
Valvoline, Inc. | 31,709 | 1,044,494 | |
Westlake Chemical Corp. | 5,806 | 572,762 | |
16,801,720 | |||
Construction Materials - 0.2% | |||
Eagle Materials, Inc. | 6,972 | 1,016,866 | |
Containers & Packaging - 2.4% | |||
Aptargroup, Inc. | 11,500 | 1,348,950 | |
Ardagh Group SA | 5,444 | 111,901 | |
Ardagh Metal Packaging SA (a) | 10,739 | 103,417 | |
Avery Dennison Corp. | 14,494 | 2,977,357 | |
Berry Global Group, Inc. (a) | 23,650 | 1,594,483 | |
Crown Holdings, Inc. | 21,531 | 2,463,146 | |
Graphic Packaging Holding Co. | 49,424 | 934,608 | |
Packaging Corp. of America | 16,416 | 2,472,742 | |
Sealed Air Corp. | 25,917 | 1,760,283 | |
Silgan Holdings, Inc. | 14,666 | 656,743 | |
Sonoco Products Co. | 17,171 | 972,565 | |
15,396,195 | |||
Metals & Mining - 1.4% | |||
Alcoa Corp. | 32,701 | 1,854,474 | |
Cleveland-Cliffs, Inc. (a) | 79,777 | 1,367,378 | |
Reliance Steel & Aluminum Co. | 10,908 | 1,667,615 | |
Royal Gold, Inc. | 11,473 | 1,165,083 | |
Steel Dynamics, Inc. | 33,012 | 1,832,826 | |
United States Steel Corp. | 46,817 | 970,048 | |
8,857,424 | |||
Paper & Forest Products - 0.2% | |||
Louisiana-Pacific Corp. | 15,357 | 1,020,319 | |
TOTAL MATERIALS | 43,092,524 | ||
REAL ESTATE - 9.7% | |||
Equity Real Estate Investment Trusts (REITs) - 9.1% | |||
American Campus Communities, Inc. | 23,971 | 1,252,724 | |
American Homes 4 Rent Class A | 49,530 | 1,938,109 | |
Americold Realty Trust | 46,705 | 1,328,757 | |
Apartment Income (REIT) Corp. | 27,361 | 1,445,208 | |
Brixmor Property Group, Inc. | 51,830 | 1,314,409 | |
Camden Property Trust (SBI) | 17,311 | 2,771,318 | |
Cousins Properties, Inc. | 25,952 | 1,000,709 | |
CubeSmart | 37,509 | 1,903,207 | |
CyrusOne, Inc. | 22,208 | 1,995,389 | |
Douglas Emmett, Inc. | 29,128 | 909,376 | |
EPR Properties | 12,958 | 569,763 | |
Equity Lifestyle Properties, Inc. | 30,429 | 2,382,286 | |
Federal Realty Investment Trust (SBI) | 13,513 | 1,722,772 | |
First Industrial Realty Trust, Inc. | 22,523 | 1,368,948 | |
Gaming & Leisure Properties | 39,525 | 1,785,740 | |
Healthcare Trust of America, Inc. | 38,098 | 1,240,090 | |
Highwoods Properties, Inc. (SBI) | 17,994 | 775,901 | |
Host Hotels & Resorts, Inc. (a) | 123,815 | 2,146,952 | |
Hudson Pacific Properties, Inc. | 25,955 | 613,317 | |
Iron Mountain, Inc. | 50,171 | 2,303,852 | |
JBG SMITH Properties | 21,400 | 586,360 | |
Kilroy Realty Corp. | 20,327 | 1,300,928 | |
Kimco Realty Corp. | 101,737 | 2,468,140 | |
Lamar Advertising Co. Class A | 15,089 | 1,671,258 | |
Life Storage, Inc. | 14,266 | 1,925,197 | |
Medical Properties Trust, Inc. | 103,491 | 2,355,455 | |
National Retail Properties, Inc. | 30,584 | 1,357,318 | |
Omega Healthcare Investors, Inc. | 41,782 | 1,315,297 | |
Park Hotels & Resorts, Inc. (a) | 41,111 | 748,220 | |
Rayonier, Inc. | 24,886 | 909,334 | |
Regency Centers Corp. | 29,570 | 2,121,648 | |
Rexford Industrial Realty, Inc. | 26,553 | 1,942,883 | |
SL Green Realty Corp. | 11,716 | 849,644 | |
Spirit Realty Capital, Inc. | 21,526 | 1,021,624 | |
Store Capital Corp. | 42,773 | 1,356,332 | |
VICI Properties, Inc. | 110,162 | 3,152,836 | |
Vornado Realty Trust | 30,724 | 1,259,991 | |
57,111,292 | |||
Real Estate Management & Development - 0.6% | |||
Howard Hughes Corp. (a) | 7,265 | 699,692 | |
Jones Lang LaSalle, Inc. (a) | 8,845 | 2,218,238 | |
Opendoor Technologies, Inc. (a) | 79,816 | 792,573 | |
3,710,503 | |||
TOTAL REAL ESTATE | 60,821,795 | ||
UTILITIES - 2.6% | |||
Electric Utilities - 1.0% | |||
Hawaiian Electric Industries, Inc. | 18,462 | 784,635 | |
IDACORP, Inc. | 8,814 | 971,479 | |
NRG Energy, Inc. | 42,607 | 1,701,298 | |
OGE Energy Corp. | 34,949 | 1,325,266 | |
Pinnacle West Capital Corp. | 19,736 | 1,373,823 | |
6,156,501 | |||
Gas Utilities - 0.4% | |||
National Fuel Gas Co. | 15,279 | 927,894 | |
UGI Corp. | 36,417 | 1,651,511 | |
2,579,405 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Brookfield Renewable Corp. | 22,364 | 765,296 | |
Vistra Corp. | 83,872 | 1,829,248 | |
2,594,544 | |||
Multi-Utilities - 0.5% | |||
MDU Resources Group, Inc. | 35,297 | 1,036,673 | |
NiSource, Inc. | 68,585 | 2,001,310 | |
3,037,983 | |||
Water Utilities - 0.3% | |||
Essential Utilities, Inc. | 40,376 | 1,967,926 | |
TOTAL UTILITIES | 16,336,359 | ||
TOTAL COMMON STOCKS | |||
(Cost $412,709,882) | 623,343,086 | ||
Money Market Funds - 6.9% | |||
Fidelity Cash Central Fund 0.08% (c) | 28,908,651 | 28,914,433 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 14,042,631 | 14,044,036 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $42,958,469) | 42,958,469 | ||
TOTAL INVESTMENT IN SECURITIES - 106.4% | |||
(Cost $455,668,351) | 666,301,555 | ||
NET OTHER ASSETS (LIABILITIES) - (6.4)% | (40,149,864) | ||
NET ASSETS - 100% | $626,151,691 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P MidCap 400 Index Contracts (United States) | 11 | March 2022 | $2,892,670 | $5,566 | $5,566 |
The notional amount of futures purchased as a percentage of Net Assets is 0.5%
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 are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $3,894,895 | $136,060,046 | $111,040,508 | $1,305 | $-- | $-- | $28,914,433 | 0.1% |
Fidelity Securities Lending Cash Central Fund 0.08% | 34,474,868 | 98,586,631 | 119,017,463 | 35,435 | -- | -- | 14,044,036 | 0.0% |
Total | $38,369,763 | $234,646,677 | $230,057,971 | $36,740 | $-- | $-- | $42,958,469 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $14,584,043 | $14,584,043 | $-- | $-- |
Consumer Discretionary | 76,825,667 | 76,825,667 | -- | -- |
Consumer Staples | 17,877,052 | 17,877,052 | -- | -- |
Energy | 25,654,603 | 25,654,603 | -- | -- |
Financials | 88,923,291 | 88,923,291 | -- | -- |
Health Care | 62,061,299 | 62,061,299 | -- | -- |
Industrials | 105,873,228 | 105,873,228 | -- | -- |
Information Technology | 111,293,225 | 111,293,225 | -- | -- |
Materials | 43,092,524 | 43,092,524 | -- | -- |
Real Estate | 60,821,795 | 60,821,795 | -- | -- |
Utilities | 16,336,359 | 16,336,359 | -- | -- |
Money Market Funds | 42,958,469 | 42,958,469 | -- | -- |
Total Investments in Securities: | $666,301,555 | $666,301,555 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $5,566 | $5,566 | $-- | $-- |
Total Assets | $5,566 | $5,566 | $-- | $-- |
Total Derivative Instruments: | $5,566 | $5,566 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $5,566 | $0 |
Total Equity Risk | 5,566 | 0 |
Total Value of Derivatives | $5,566 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $14,959,202) — See accompanying schedule: Unaffiliated issuers (cost $412,709,882) | $623,343,086 | |
Fidelity Central Funds (cost $42,958,469) | 42,958,469 | |
Total Investment in Securities (cost $455,668,351) | $666,301,555 | |
Segregated cash with brokers for derivative instruments | 125,000 | |
Cash | 6,276 | |
Receivable for investments sold | 419,306 | |
Receivable for fund shares sold | 845,307 | |
Dividends receivable | 194,602 | |
Distributions receivable from Fidelity Central Funds | 3,366 | |
Receivable for daily variation margin on futures contracts | 43,518 | |
Prepaid expenses | 1,166 | |
Receivable from investment adviser for expense reductions | 36,036 | |
Total assets | 667,976,132 | |
Liabilities | ||
Payable for investments purchased | $27,533,362 | |
Payable for fund shares redeemed | 151,038 | |
Accrued management fee | 55,394 | |
Other payables and accrued expenses | 49,941 | |
Collateral on securities loaned | 14,034,706 | |
Total liabilities | 41,824,441 | |
Net Assets | $626,151,691 | |
Net Assets consist of: | ||
Paid in capital | $243,673,885 | |
Total accumulated earnings (loss) | 382,477,806 | |
Net Assets | $626,151,691 | |
Net Asset Value, offering price and redemption price per share ($626,151,691 ÷ 60,126,762 shares) | $10.41 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $5,984,678 | |
Income from Fidelity Central Funds (including $35,435 from security lending) | 36,740 | |
Total income | 6,021,418 | |
Expenses | ||
Management fee | $507,347 | |
Custodian fees and expenses | 41,665 | |
Independent trustees' fees and expenses | 2,034 | |
Registration fees | 20,010 | |
Audit | 27,535 | |
Legal | 5,250 | |
Interest | 4,122 | |
Miscellaneous | 2,287 | |
Total expenses before reductions | 610,250 | |
Expense reductions | (372,708) | |
Total expenses after reductions | 237,542 | |
Net investment income (loss) | 5,783,876 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 180,434,329 | |
Futures contracts | (95,351) | |
Total net realized gain (loss) | 180,338,978 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (167,713,214) | |
Futures contracts | (63,346) | |
Total change in net unrealized appreciation (depreciation) | (167,776,560) | |
Net gain (loss) | 12,562,418 | |
Net increase (decrease) in net assets resulting from operations | $18,346,294 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $5,783,876 | $28,075,605 |
Net realized gain (loss) | 180,338,978 | 654,501,560 |
Change in net unrealized appreciation (depreciation) | (167,776,560) | 181,005,688 |
Net increase (decrease) in net assets resulting from operations | 18,346,294 | 863,582,853 |
Distributions to shareholders | (379,158,551) | (165,880,066) |
Share transactions | ||
Proceeds from sales of shares | 278,013,614 | 1,316,673,142 |
Reinvestment of distributions | 377,431,403 | 165,691,380 |
Cost of shares redeemed | (755,895,912) | (3,014,462,118) |
Net increase (decrease) in net assets resulting from share transactions | (100,450,895) | (1,532,097,596) |
Total increase (decrease) in net assets | (461,263,152) | (834,394,809) |
Net Assets | ||
Beginning of period | 1,087,414,843 | 1,921,809,652 |
End of period | $626,151,691 | $1,087,414,843 |
Other Information | ||
Shares | ||
Sold | 23,344,178 | 94,819,743 |
Issued in reinvestment of distributions | 34,100,959 | 14,258,047 |
Redeemed | (63,385,581) | (200,707,173) |
Net increase (decrease) | (5,940,444) | (91,629,383) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Small-Mid Cap 500 Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $16.46 | $12.19 | $12.80 | $12.95 | $11.37 | $10.26 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .08 | .20 | .20 | .19 | .17 | .15 |
Net realized and unrealized gain (loss) | (.42)C | 5.09 | (.20)D | .46 | 1.62 | 1.11 |
Total from investment operations | (.34) | 5.29 | – | .65 | 1.79 | 1.26 |
Distributions from net investment income | (.22) | (.17) | (.22) | (.18) | (.13) | (.09) |
Distributions from net realized gain | (5.48) | (.85) | (.39) | (.63) | (.08) | (.06) |
Total distributions | (5.71)E | (1.02) | (.61) | (.80)E | (.21) | (.15) |
Net asset value, end of period | $10.41 | $16.46 | $12.19 | $12.80 | $12.95 | $11.37 |
Total ReturnF,G | (3.66)% | 46.99% | (.03)%D | 5.26% | 15.91% | 12.41% |
Ratios to Average Net AssetsB,H,I | ||||||
Expenses before reductions | .13%J | .13% | .13% | .22% | .23% | .29% |
Expenses net of fee waivers, if any | .05%J | .05% | .05% | .08% | .13% | .15% |
Expenses net of all reductions | .05%J | .05% | .05% | .08% | .13% | .15% |
Net investment income (loss) | 1.25%J | 1.37% | 1.66% | 1.53% | 1.37% | 1.38% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $626,152 | $1,087,415 | $1,921,810 | $1,862,285 | $2,281,452 | $1,460,960 |
Portfolio turnover rateK | 43%J | 69% | 79% | 41% | 39% | 22% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
D Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been (.16) %.
E Total distributions per share do not sum due to rounding.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Annualized
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, partnerships and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $235,411,718 |
Gross unrealized depreciation | (28,369,892) |
Net unrealized appreciation (depreciation) | $207,041,826 |
Tax cost | $459,265,295 |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI Small-Mid Cap 500 Index Fund | 194,679,857 | 658,298,570 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .11% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI Small-Mid Cap 500 Index Fund | Borrower | $21,970,000 | .32% | $192 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI Small-Mid Cap 500 Index Fund | $865 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI Small-Mid Cap 500 Index Fund | $3,385 | $2,501 | $19,158 |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Fidelity SAI Small-Mid Cap 500 Index Fund | $243,908,000 | .58% | $3,930 |
10. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .05% of average net assets. This reimbursement will remain in place through November 30, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $372,639.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $69.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Small-Mid Cap Fund | |
Fidelity SAI Small-Mid Cap 500 Index Fund | 44% |
12. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI Small-Mid Cap 500 Index Fund | .05% | |||
Actual | $1,000.00 | $963.40 | $.25 | |
Hypothetical-C | $1,000.00 | $1,024.95 | $.26 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Small-Mid Cap 500 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.SV3-SANN-0422
1.9868214.106
Fidelity® SAI U.S. Quality Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Stocks as of January 31, 2022
% of fund's net assets | |
Apple, Inc. | 9.4 |
Microsoft Corp. | 8.1 |
Alphabet, Inc. Class A | 6.4 |
Meta Platforms, Inc. Class A | 4.7 |
MasterCard, Inc. Class A | 4.3 |
32.9 |
Top Five Market Sectors as of January 31, 2022
% of fund's net assets | |
Information Technology | 39.1 |
Health Care | 20.2 |
Consumer Staples | 12.6 |
Communication Services | 12.1 |
Financials | 7.2 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 0.3%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 12.1% | |||
Entertainment - 0.9% | |||
Activision Blizzard, Inc. | 1,373,083 | $108,487,288 | |
Interactive Media & Services - 11.2% | |||
Alphabet, Inc. Class A (a) | 264,715 | 716,337,320 | |
Meta Platforms, Inc. Class A (a) | 1,681,901 | 526,872,307 | |
Ziff Davis, Inc. (a) | 85,106 | 8,941,236 | |
1,252,150,863 | |||
TOTAL COMMUNICATION SERVICES | 1,360,638,151 | ||
CONSUMER DISCRETIONARY - 2.7% | |||
Auto Components - 0.1% | |||
Gentex Corp. | 421,886 | 13,247,220 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Choice Hotels International, Inc. (b) | 43,377 | 6,220,262 | |
Domino's Pizza, Inc. | 65,067 | 29,582,712 | |
Wingstop, Inc. | 52,516 | 8,048,077 | |
43,851,051 | |||
Household Durables - 0.3% | |||
Garmin Ltd. | 268,248 | 33,375,416 | |
Internet & Direct Marketing Retail - 0.3% | |||
Amazon.com, Inc. (a) | 12,271 | 36,708,328 | |
Specialty Retail - 1.6% | |||
AutoZone, Inc. (a) | 38,039 | 75,558,768 | |
O'Reilly Automotive, Inc. (a) | 121,738 | 79,342,742 | |
Williams-Sonoma, Inc. (b) | 132,626 | 21,291,778 | |
176,193,288 | |||
TOTAL CONSUMER DISCRETIONARY | 303,375,303 | ||
CONSUMER STAPLES - 12.6% | |||
Beverages - 4.4% | |||
Brown-Forman Corp. Class B (non-vtg.) | 322,598 | 21,752,783 | |
Monster Beverage Corp. (a) | 662,980 | 57,493,626 | |
The Coca-Cola Co. | 6,859,090 | 418,473,081 | |
497,719,490 | |||
Food Products - 0.5% | |||
The Hershey Co. | 256,757 | 50,599,102 | |
Household Products - 5.2% | |||
Colgate-Palmolive Co. | 1,489,266 | 122,789,982 | |
Procter & Gamble Co. | 2,879,463 | 462,009,838 | |
584,799,820 | |||
Tobacco - 2.5% | |||
Philip Morris International, Inc. | 2,751,683 | 283,010,597 | |
TOTAL CONSUMER STAPLES | 1,416,129,009 | ||
FINANCIALS - 7.2% | |||
Capital Markets - 5.7% | |||
Ameriprise Financial, Inc. | 200,824 | 61,112,751 | |
Blackstone, Inc. | 1,211,078 | 159,825,964 | |
Evercore, Inc. Class A | 70,016 | 8,739,397 | |
FactSet Research Systems, Inc. | 66,702 | 28,140,907 | |
Houlihan Lokey | 89,457 | 9,507,490 | |
Lazard Ltd. Class A | 199,094 | 8,688,462 | |
MarketAxess Holdings, Inc. | 67,091 | 23,111,508 | |
Moody's Corp. | 279,055 | 95,715,865 | |
S&P Global, Inc. | 425,498 | 176,675,280 | |
SEI Investments Co. | 189,300 | 11,094,873 | |
T. Rowe Price Group, Inc. | 400,669 | 61,875,314 | |
644,487,811 | |||
Consumer Finance - 1.1% | |||
Credit Acceptance Corp. (a)(b) | 15,772 | 8,509,940 | |
Discover Financial Services | 528,726 | 61,200,035 | |
SLM Corp. | 539,919 | 9,902,114 | |
Synchrony Financial | 1,005,832 | 42,838,385 | |
122,450,474 | |||
Insurance - 0.4% | |||
Erie Indemnity Co. Class A (b) | 44,036 | 8,107,028 | |
Fidelity National Financial, Inc. | 503,737 | 25,363,158 | |
Kinsale Capital Group, Inc. (b) | 37,849 | 7,581,912 | |
41,052,098 | |||
TOTAL FINANCIALS | 807,990,383 | ||
HEALTH CARE - 20.2% | |||
Biotechnology - 3.0% | |||
Amgen, Inc. | 701,564 | 159,353,247 | |
Biogen, Inc. (a) | 263,125 | 59,466,250 | |
Regeneron Pharmaceuticals, Inc. (a) | 185,570 | 112,936,046 | |
331,755,543 | |||
Health Care Equipment & Supplies - 3.7% | |||
Abiomed, Inc. (a) | 80,121 | 23,705,400 | |
Edwards Lifesciences Corp. (a) | 1,100,517 | 120,176,456 | |
Globus Medical, Inc. (a) | 138,248 | 9,225,289 | |
IDEXX Laboratories, Inc. (a) | 150,206 | 76,199,504 | |
Intuitive Surgical, Inc. (a) | 629,767 | 178,967,186 | |
408,273,835 | |||
Health Care Providers & Services - 0.3% | |||
Quest Diagnostics, Inc. | 215,717 | 29,126,109 | |
Health Care Technology - 0.9% | |||
Cerner Corp. | 521,872 | 47,594,726 | |
Veeva Systems, Inc. Class A (a) | 243,916 | 57,695,891 | |
105,290,617 | |||
Life Sciences Tools & Services - 0.5% | |||
Mettler-Toledo International, Inc. (a) | 40,814 | 60,105,962 | |
Pharmaceuticals - 11.8% | |||
Eli Lilly & Co. | 1,401,781 | 343,983,040 | |
Merck & Co., Inc. | 4,469,271 | 364,156,201 | |
Organon & Co. | 447,595 | 14,282,756 | |
Pfizer, Inc. | 7,738,102 | 407,720,594 | |
Royalty Pharma PLC | 625,738 | 25,035,777 | |
Zoetis, Inc. Class A | 836,772 | 167,178,678 | |
1,322,357,046 | |||
TOTAL HEALTH CARE | 2,256,909,112 | ||
INDUSTRIALS - 5.0% | |||
Building Products - 0.2% | |||
A.O. Smith Corp. | 235,168 | 17,971,539 | |
Electrical Equipment - 0.1% | |||
Atkore, Inc. (a) | 81,397 | 8,772,969 | |
Industrial Conglomerates - 1.5% | |||
3M Co. | 1,021,615 | 169,608,522 | |
Machinery - 2.0% | |||
Illinois Tool Works, Inc. | 506,044 | 118,373,812 | |
Nordson Corp. | 95,446 | 22,195,013 | |
Otis Worldwide Corp. | 753,500 | 64,371,505 | |
Snap-On, Inc. | 95,288 | 19,843,726 | |
224,784,056 | |||
Professional Services - 0.7% | |||
Robert Half International, Inc. | 197,689 | 22,390,256 | |
Verisk Analytics, Inc. | 284,872 | 55,871,945 | |
78,262,201 | |||
Trading Companies & Distributors - 0.5% | |||
Fastenal Co. | 1,014,731 | 57,514,953 | |
TOTAL INDUSTRIALS | 556,914,240 | ||
INFORMATION TECHNOLOGY - 39.1% | |||
Electronic Equipment & Components - 0.2% | |||
Cognex Corp. | 311,986 | 20,734,590 | |
IT Services - 10.9% | |||
Automatic Data Processing, Inc. | 746,971 | 154,003,011 | |
MasterCard, Inc. Class A | 1,267,269 | 489,647,396 | |
Paychex, Inc. | 565,415 | 66,583,270 | |
VeriSign, Inc. (a) | 171,842 | 37,320,646 | |
Visa, Inc. Class A (b) | 2,117,241 | 478,856,397 | |
1,226,410,720 | |||
Semiconductors & Semiconductor Equipment - 6.1% | |||
Applied Materials, Inc. | 1,609,357 | 222,380,950 | |
Intel Corp. | 1,800,113 | 87,881,517 | |
Texas Instruments, Inc. | 1,629,974 | 292,564,033 | |
Xilinx, Inc. | 436,917 | 84,565,285 | |
687,391,785 | |||
Software - 12.5% | |||
Adobe, Inc. (a) | 619,390 | 330,940,077 | |
Check Point Software Technologies Ltd. (a) | 182,880 | 22,130,309 | |
Fair Isaac Corp. (a) | 50,119 | 24,808,404 | |
Fortinet, Inc. (a) | 239,330 | 71,138,449 | |
Manhattan Associates, Inc. (a) | 111,936 | 14,984,872 | |
Microsoft Corp. | 2,913,426 | 906,017,217 | |
Paycom Software, Inc. (a) | 84,872 | 28,457,582 | |
1,398,476,910 | |||
Technology Hardware, Storage & Peripherals - 9.4% | |||
Apple, Inc. | 6,009,065 | 1,050,264,380 | |
TOTAL INFORMATION TECHNOLOGY | 4,383,278,385 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
Simon Property Group, Inc. | 580,179 | 85,402,349 | |
TOTAL COMMON STOCKS | |||
(Cost $7,931,906,815) | 11,170,636,932 | ||
Money Market Funds - 3.8% | |||
Fidelity Cash Central Fund 0.08% (c) | 217,207,796 | 217,251,238 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 205,532,546 | 205,553,100 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $422,804,338) | 422,804,338 | ||
TOTAL INVESTMENT IN SECURITIES - 103.5% | |||
(Cost $8,354,711,153) | 11,593,441,270 | ||
NET OTHER ASSETS (LIABILITIES) - (3.5)% | (394,562,661) | ||
NET ASSETS - 100% | $11,198,878,609 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 126 | March 2022 | $28,376,775 | $(334,082) | $(334,082) |
The notional amount 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) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $-- | $1,308,011,779 | $1,090,760,541 | $13,040 | $-- | $-- | $217,251,238 | 0.4% |
Fidelity Securities Lending Cash Central Fund 0.08% | 234,182,625 | 407,314,987 | 435,944,512 | 89,659 | -- | -- | 205,553,100 | 0.6% |
Total | $234,182,625 | $ 1,715,326,766 | $ 1,526,705,053 | $102,699 | $-- | $-- | $422,804,338 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $1,360,638,151 | $1,360,638,151 | $-- | $-- |
Consumer Discretionary | 303,375,303 | 303,375,303 | -- | -- |
Consumer Staples | 1,416,129,009 | 1,416,129,009 | -- | -- |
Financials | 807,990,383 | 807,990,383 | -- | -- |
Health Care | 2,256,909,112 | 2,256,909,112 | -- | -- |
Industrials | 556,914,240 | 556,914,240 | -- | -- |
Information Technology | 4,383,278,385 | 4,383,278,385 | -- | -- |
Real Estate | 85,402,349 | 85,402,349 | -- | -- |
Money Market Funds | 422,804,338 | 422,804,338 | -- | -- |
Total Investments in Securities: | $11,593,441,270 | $11,593,441,270 | $-- | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(334,082) | $(334,082) | $-- | $-- |
Total Liabilities | $(334,082) | $(334,082) | $-- | $-- |
Total Derivative Instruments: | $(334,082) | $(334,082) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $0 | $(334,082) |
Total Equity Risk | 0 | (334,082) |
Total Value of Derivatives | $0 | $(334,082) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $200,854,680) — See accompanying schedule: Unaffiliated issuers (cost $7,931,906,815) | $11,170,636,932 | |
Fidelity Central Funds (cost $422,804,338) | 422,804,338 | |
Total Investment in Securities (cost $8,354,711,153) | $11,593,441,270 | |
Segregated cash with brokers for derivative instruments | 1,576,800 | |
Cash | 1,937,459 | |
Receivable for fund shares sold | 17,749,645 | |
Dividends receivable | 9,399,768 | |
Distributions receivable from Fidelity Central Funds | 17,270 | |
Receivable for daily variation margin on futures contracts | 415,464 | |
Prepaid expenses | 7,518 | |
Total assets | 11,624,545,194 | |
Liabilities | ||
Payable for investments purchased | $218,372,259 | |
Payable for fund shares redeemed | 796,680 | |
Accrued management fee | 900,956 | |
Other payables and accrued expenses | 56,915 | |
Collateral on securities loaned | 205,539,775 | |
Total liabilities | 425,666,585 | |
Net Assets | $11,198,878,609 | |
Net Assets consist of: | ||
Paid in capital | $7,826,859,462 | |
Total accumulated earnings (loss) | 3,372,019,147 | |
Net Assets | $11,198,878,609 | |
Net Asset Value, offering price and redemption price per share ($11,198,878,609 ÷ 623,552,716 shares) | $17.96 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $64,587,895 | |
Interest | 830 | |
Income from Fidelity Central Funds (including $89,659 from security lending) | 102,699 | |
Total income | 64,691,424 | |
Expenses | ||
Management fee | $5,334,646 | |
Custodian fees and expenses | 59,865 | |
Independent trustees' fees and expenses | 17,014 | |
Registration fees | 45,850 | |
Audit | 27,291 | |
Legal | 6,895 | |
Interest | 7,359 | |
Miscellaneous | 17,442 | |
Total expenses before reductions | 5,516,362 | |
Expense reductions | (80) | |
Total expenses after reductions | 5,516,282 | |
Net investment income (loss) | 59,175,142 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 223,179,349 | |
Futures contracts | (2,372,673) | |
Total net realized gain (loss) | 220,806,676 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (54,423,347) | |
Futures contracts | (1,206,602) | |
Total change in net unrealized appreciation (depreciation) | (55,629,949) | |
Net gain (loss) | 165,176,727 | |
Net increase (decrease) in net assets resulting from operations | $224,351,869 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $59,175,142 | $108,402,119 |
Net realized gain (loss) | 220,806,676 | 1,050,312,797 |
Change in net unrealized appreciation (depreciation) | (55,629,949) | 1,237,476,779 |
Net increase (decrease) in net assets resulting from operations | 224,351,869 | 2,396,191,695 |
Distributions to shareholders | (866,284,891) | (768,878,056) |
Share transactions | ||
Proceeds from sales of shares | 1,676,480,331 | 2,963,346,740 |
Reinvestment of distributions | 855,254,434 | 755,566,663 |
Cost of shares redeemed | (827,013,667) | (3,542,471,393) |
Net increase (decrease) in net assets resulting from share transactions | 1,704,721,098 | 176,442,010 |
Total increase (decrease) in net assets | 1,062,788,076 | 1,803,755,649 |
Net Assets | ||
Beginning of period | 10,136,090,533 | 8,332,334,884 |
End of period | $11,198,878,609 | $10,136,090,533 |
Other Information | ||
Shares | ||
Sold | 94,108,781 | 173,464,583 |
Issued in reinvestment of distributions | 47,131,336 | 48,649,105 |
Redeemed | (44,493,566) | (217,407,264) |
Net increase (decrease) | 96,746,551 | 4,706,424 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Quality Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $19.24 | $15.96 | $15.19 | $14.23 | $12.27 | $10.87 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .10 | .22 | .26 | .25 | .21 | .21 |
Net realized and unrealized gain (loss) | .24 | 4.58 | 2.45 | 1.10 | 2.25 | 1.36 |
Total from investment operations | .34 | 4.80 | 2.71 | 1.35 | 2.46 | 1.57 |
Distributions from net investment income | (.20) | (.28) | (.24) | (.19) | (.19) | (.14) |
Distributions from net realized gain | (1.42) | (1.25) | (1.69) | (.20) | (.31) | (.03) |
Total distributions | (1.62) | (1.52)C | (1.94)C | (.39) | (.50) | (.17) |
Net asset value, end of period | $17.96 | $19.24 | $15.96 | $15.19 | $14.23 | $12.27 |
Total ReturnD,E | 1.78% | 32.64% | 20.14% | 9.70% | 20.71% | 14.70% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .10%H | .10% | .11% | .19% | .20% | .21% |
Expenses net of fee waivers, if any | .10%H | .10% | .11% | .15% | .15% | .15% |
Expenses net of all reductions | .10%H | .10% | .11% | .15% | .15% | .15% |
Net investment income (loss) | 1.11%H | 1.30% | 1.83% | 1.76% | 1.55% | 1.84% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $11,198,879 | $10,136,091 | $8,332,335 | $8,732,756 | $7,247,643 | $5,093,881 |
Portfolio turnover rateI | 53%H | 71% | 60% | 99% | 34% | 31% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Total distributions per share do not sum due to rounding.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI U.S. Quality Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, partnerships and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $3,372,154,997 |
Gross unrealized depreciation | (150,612,608) |
Net unrealized appreciation (depreciation) | $3,221,542,389 |
Tax cost | $8,371,564,799 |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI U.S. Quality Index Fund | 3,754,143,665 | 2,844,937,984 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI U.S. Quality Index Fund | Borrower | $51,226,333 | .32% | $7,359 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI U.S. Quality Index Fund | $8,295 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI U.S. Quality Index Fund | $9,357 | $– | $– |
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $80.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
In addition, at the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity U.S. Total Stock Fund | Strategic Advisers Large Cap Fund | |
Fidelity SAI U.S. Quality Index Fund | 77% | 15% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI U.S. Quality Index Fund | .10% | |||
Actual | $1,000.00 | $1,017.80 | $.51 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI U.S. Quality 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer groups of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.SV4-SANN-0422
1.9868210.106
Fidelity® SAI U.S. Large Cap Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index or indices.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Stocks as of January 31, 2022
% of fund's net assets | |
Apple, Inc. | 7.1 |
Microsoft Corp. | 6.1 |
Amazon.com, Inc. | 3.4 |
Alphabet, Inc. Class A | 2.1 |
Tesla, Inc. | 2.0 |
20.7 |
Top Five Market Sectors as of January 31, 2022
% of fund's net assets | |
Information Technology | 28.6 |
Health Care | 13.0 |
Consumer Discretionary | 11.9 |
Financials | 11.3 |
Communication Services | 10.0 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 3.5%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.8% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 10.0% | |||
Diversified Telecommunication Services - 1.1% | |||
AT&T, Inc. | 2,847,944 | $72,622,572 | |
Lumen Technologies, Inc. | 367,511 | 4,542,436 | |
Verizon Communications, Inc. | 1,651,163 | 87,891,406 | |
165,056,414 | |||
Entertainment - 1.5% | |||
Activision Blizzard, Inc. | 310,633 | 24,543,113 | |
Electronic Arts, Inc. | 112,788 | 14,962,456 | |
Live Nation Entertainment, Inc. (a) | 53,873 | 5,899,632 | |
Netflix, Inc. (a) | 176,656 | 75,456,844 | |
Take-Two Interactive Software, Inc. (a) | 45,983 | 7,510,863 | |
The Walt Disney Co. (a) | 724,699 | 103,610,216 | |
231,983,124 | |||
Interactive Media & Services - 6.2% | |||
Alphabet, Inc.: | |||
Class A (a) | 119,968 | 324,641,806 | |
Class C (a) | 111,513 | 302,642,937 | |
Match Group, Inc. (a) | 112,899 | 12,723,717 | |
Meta Platforms, Inc. Class A (a) | 943,709 | 295,626,281 | |
Twitter, Inc. (a) | 318,897 | 11,961,826 | |
947,596,567 | |||
Media - 1.0% | |||
Charter Communications, Inc. Class A (a) | 49,338 | 29,274,209 | |
Comcast Corp. Class A | 1,818,392 | 90,901,416 | |
Discovery Communications, Inc.: | |||
Class A (a) | 67,434 | 1,882,083 | |
Class C (non-vtg.) (a) | 121,185 | 3,314,410 | |
DISH Network Corp. Class A (a) | 99,588 | 3,127,063 | |
Fox Corp.: | |||
Class A | 127,525 | 5,178,790 | |
Class B | 58,907 | 2,190,162 | |
Interpublic Group of Companies, Inc. | 157,035 | 5,581,024 | |
News Corp.: | |||
Class A | 156,425 | 3,478,892 | |
Class B | 48,896 | 1,087,447 | |
Omnicom Group, Inc. | 84,771 | 6,388,343 | |
ViacomCBS, Inc. Class B | 241,964 | 8,093,696 | |
160,497,535 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. (a) | 234,127 | 25,325,518 | |
TOTAL COMMUNICATION SERVICES | 1,530,459,158 | ||
CONSUMER DISCRETIONARY - 11.9% | |||
Auto Components - 0.1% | |||
Aptiv PLC (a) | 107,885 | 14,734,933 | |
BorgWarner, Inc. | 95,625 | 4,193,156 | |
18,928,089 | |||
Automobiles - 2.4% | |||
Ford Motor Co. | 1,565,507 | 31,779,792 | |
General Motors Co. (a) | 579,025 | 30,531,988 | |
Tesla, Inc. (a) | 324,419 | 303,889,766 | |
366,201,546 | |||
Distributors - 0.1% | |||
Genuine Parts Co. | 56,800 | 7,567,464 | |
LKQ Corp. | 106,952 | 5,870,595 | |
Pool Corp. | 15,988 | 7,614,285 | |
21,052,344 | |||
Hotels, Restaurants & Leisure - 1.9% | |||
Booking Holdings, Inc. (a) | 16,377 | 40,224,041 | |
Caesars Entertainment, Inc. (a) | 85,256 | 6,491,392 | |
Carnival Corp. (a)(b) | 320,831 | 6,355,662 | |
Chipotle Mexican Grill, Inc. (a) | 11,221 | 16,669,693 | |
Darden Restaurants, Inc. | 51,760 | 7,239,671 | |
Domino's Pizza, Inc. | 14,512 | 6,597,881 | |
Expedia, Inc. (a) | 58,229 | 10,672,793 | |
Hilton Worldwide Holdings, Inc. (a) | 111,159 | 16,130,282 | |
Las Vegas Sands Corp. (a) | 137,111 | 6,005,462 | |
Marriott International, Inc. Class A (a) | 109,106 | 17,579,159 | |
McDonald's Corp. | 298,013 | 77,319,473 | |
MGM Resorts International | 155,233 | 6,631,554 | |
Norwegian Cruise Line Holdings Ltd. (a)(b) | 147,576 | 3,074,008 | |
Penn National Gaming, Inc. (a) | 66,253 | 3,021,799 | |
Royal Caribbean Cruises Ltd. (a) | 89,420 | 6,957,770 | |
Starbucks Corp. | 470,603 | 46,269,687 | |
Wynn Resorts Ltd. (a) | 41,975 | 3,586,764 | |
Yum! Brands, Inc. | 116,906 | 14,633,124 | |
295,460,215 | |||
Household Durables - 0.4% | |||
D.R. Horton, Inc. | 129,993 | 11,597,975 | |
Garmin Ltd. | 60,594 | 7,539,105 | |
Lennar Corp. Class A | 108,419 | 10,420,150 | |
Mohawk Industries, Inc. (a) | 21,880 | 3,454,196 | |
Newell Brands, Inc. | 150,996 | 3,504,617 | |
NVR, Inc. (a) | 1,306 | 6,957,349 | |
PulteGroup, Inc. | 100,975 | 5,320,373 | |
Whirlpool Corp. | 24,225 | 5,091,853 | |
53,885,618 | |||
Internet & Direct Marketing Retail - 3.6% | |||
Amazon.com, Inc. (a) | 173,942 | 520,342,275 | |
eBay, Inc. | 249,660 | 14,997,076 | |
Etsy, Inc. (a) | 50,562 | 7,942,279 | |
543,281,630 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. | 51,715 | 4,782,603 | |
Multiline Retail - 0.5% | |||
Dollar General Corp. | 93,048 | 19,398,647 | |
Dollar Tree, Inc. (a) | 89,699 | 11,770,303 | |
Target Corp. | 194,638 | 42,904,054 | |
74,073,004 | |||
Specialty Retail - 2.3% | |||
Advance Auto Parts, Inc. | 25,126 | 5,816,920 | |
AutoZone, Inc. (a) | 8,362 | 16,609,859 | |
Bath & Body Works, Inc. | 105,436 | 5,911,797 | |
Best Buy Co., Inc. | 88,285 | 8,764,935 | |
CarMax, Inc. (a) | 64,653 | 7,187,474 | |
Gap, Inc. (b) | 85,499 | 1,544,967 | |
Lowe's Companies, Inc. | 276,153 | 65,544,915 | |
O'Reilly Automotive, Inc. (a) | 26,871 | 17,513,174 | |
Ross Stores, Inc. | 141,726 | 13,853,717 | |
The Home Depot, Inc. | 420,894 | 154,459,680 | |
TJX Companies, Inc. | 479,592 | 34,516,236 | |
Tractor Supply Co. | 45,391 | 9,909,309 | |
Ulta Beauty, Inc. (a) | 21,679 | 7,885,519 | |
349,518,502 | |||
Textiles, Apparel & Luxury Goods - 0.6% | |||
NIKE, Inc. Class B | 509,609 | 75,457,805 | |
PVH Corp. | 28,337 | 2,692,298 | |
Ralph Lauren Corp. | 19,437 | 2,154,397 | |
Tapestry, Inc. | 109,732 | 4,164,329 | |
Under Armour, Inc.: | |||
Class A (sub. vtg.) (a) | 75,225 | 1,416,487 | |
Class C (non-vtg.) (a) | 85,785 | 1,371,702 | |
VF Corp. | 130,017 | 8,478,409 | |
95,735,427 | |||
TOTAL CONSUMER DISCRETIONARY | 1,822,918,978 | ||
CONSUMER STAPLES - 6.1% | |||
Beverages - 1.5% | |||
Brown-Forman Corp. Class B (non-vtg.) | 72,878 | 4,914,164 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 65,511 | 15,575,240 | |
Molson Coors Beverage Co. Class B | 75,139 | 3,581,125 | |
Monster Beverage Corp. (a) | 149,830 | 12,993,258 | |
PepsiCo, Inc. | 551,424 | 95,683,092 | |
The Coca-Cola Co. | 1,550,388 | 94,589,172 | |
227,336,051 | |||
Food & Staples Retailing - 1.4% | |||
Costco Wholesale Corp. | 176,206 | 89,006,937 | |
Kroger Co. | 269,883 | 11,764,200 | |
Sysco Corp. | 204,455 | 15,978,158 | |
Walgreens Boots Alliance, Inc. | 286,532 | 14,257,832 | |
Walmart, Inc. | 567,170 | 79,296,038 | |
210,303,165 | |||
Food Products - 0.9% | |||
Archer Daniels Midland Co. | 223,114 | 16,733,550 | |
Campbell Soup Co. | 80,726 | 3,561,631 | |
Conagra Brands, Inc. | 191,308 | 6,649,866 | |
General Mills, Inc. | 241,559 | 16,590,272 | |
Hormel Foods Corp. | 112,519 | 5,341,277 | |
Kellogg Co. | 102,035 | 6,428,205 | |
Lamb Weston Holdings, Inc. | 58,255 | 3,740,554 | |
McCormick & Co., Inc. (non-vtg.) | 99,445 | 9,975,328 | |
Mondelez International, Inc. | 556,337 | 37,291,269 | |
The Hershey Co. | 57,984 | 11,426,907 | |
The J.M. Smucker Co. | 43,215 | 6,075,165 | |
The Kraft Heinz Co. | 283,137 | 10,136,305 | |
Tyson Foods, Inc. Class A | 117,577 | 10,686,574 | |
144,636,903 | |||
Household Products - 1.4% | |||
Church & Dwight Co., Inc. | 97,370 | 9,995,031 | |
Colgate-Palmolive Co. | 336,142 | 27,714,908 | |
Kimberly-Clark Corp. | 134,288 | 18,484,743 | |
Procter & Gamble Co. | 965,114 | 154,852,541 | |
The Clorox Co. | 48,999 | 8,224,972 | |
219,272,195 | |||
Personal Products - 0.2% | |||
Estee Lauder Companies, Inc. Class A | 92,408 | 28,811,890 | |
Tobacco - 0.7% | |||
Altria Group, Inc. | 732,621 | 37,275,756 | |
Philip Morris International, Inc. | 620,888 | 63,858,331 | |
101,134,087 | |||
TOTAL CONSUMER STAPLES | 931,494,291 | ||
ENERGY - 3.4% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes Co. Class A | 348,590 | 9,565,310 | |
Halliburton Co. | 356,986 | 10,973,750 | |
Schlumberger Ltd. | 559,393 | 21,855,485 | |
42,394,545 | |||
Oil, Gas & Consumable Fuels - 3.1% | |||
APA Corp. | 144,879 | 4,811,432 | |
Chevron Corp. | 768,792 | 100,965,453 | |
ConocoPhillips Co. | 526,017 | 46,615,627 | |
Coterra Energy, Inc. | 324,467 | 7,105,827 | |
Devon Energy Corp. | 251,099 | 12,698,076 | |
Diamondback Energy, Inc. | 67,920 | 8,568,787 | |
EOG Resources, Inc. | 233,343 | 26,013,078 | |
Exxon Mobil Corp. | 1,688,414 | 128,251,927 | |
Hess Corp. | 109,936 | 10,145,993 | |
Kinder Morgan, Inc. | 777,685 | 13,500,612 | |
Marathon Oil Corp. | 310,492 | 6,045,279 | |
Marathon Petroleum Corp. | 245,506 | 17,615,056 | |
Occidental Petroleum Corp. | 353,863 | 13,330,019 | |
ONEOK, Inc. | 177,847 | 10,791,756 | |
Phillips 66 Co. | 174,749 | 14,816,968 | |
Pioneer Natural Resources Co. | 90,549 | 19,820,271 | |
The Williams Companies, Inc. | 484,573 | 14,508,116 | |
Valero Energy Corp. | 163,050 | 13,528,259 | |
469,132,536 | |||
TOTAL ENERGY | 511,527,081 | ||
FINANCIALS - 11.3% | |||
Banks - 4.2% | |||
Bank of America Corp. | 2,872,270 | 132,526,538 | |
Citigroup, Inc. | 791,357 | 51,533,168 | |
Citizens Financial Group, Inc. | 169,974 | 8,748,562 | |
Comerica, Inc. | 52,305 | 4,852,858 | |
Fifth Third Bancorp | 272,691 | 12,170,199 | |
First Republic Bank | 71,492 | 12,410,296 | |
Huntington Bancshares, Inc. | 576,870 | 8,687,662 | |
JPMorgan Chase & Co. | 1,178,607 | 175,141,000 | |
KeyCorp | 371,320 | 9,305,279 | |
M&T Bank Corp. | 51,321 | 8,692,751 | |
Peoples United Financial, Inc. | 170,703 | 3,308,224 | |
PNC Financial Services Group, Inc. | 168,556 | 34,720,850 | |
Regions Financial Corp. | 380,183 | 8,721,398 | |
Signature Bank | 24,181 | 7,366,258 | |
SVB Financial Group (a) | 23,405 | 13,666,180 | |
Truist Financial Corp. | 532,378 | 33,443,986 | |
U.S. Bancorp | 538,142 | 31,314,483 | |
Wells Fargo & Co. | 1,590,172 | 85,551,254 | |
Zions Bancorp NA | 62,401 | 4,232,036 | |
646,392,982 | |||
Capital Markets - 3.0% | |||
Ameriprise Financial, Inc. | 44,623 | 13,579,225 | |
Bank of New York Mellon Corp. | 303,002 | 17,955,899 | |
BlackRock, Inc. Class A | 56,952 | 46,868,079 | |
Cboe Global Markets, Inc. | 42,531 | 5,041,199 | |
Charles Schwab Corp. | 599,573 | 52,582,552 | |
CME Group, Inc. | 143,333 | 32,894,924 | |
FactSet Research Systems, Inc. | 15,012 | 6,333,413 | |
Franklin Resources, Inc. | 112,072 | 3,582,942 | |
Goldman Sachs Group, Inc. | 135,382 | 48,017,288 | |
Intercontinental Exchange, Inc. | 224,694 | 28,459,742 | |
Invesco Ltd. | 136,114 | 3,084,343 | |
MarketAxess Holdings, Inc. | 15,165 | 5,224,039 | |
Moody's Corp. | 64,502 | 22,124,186 | |
Morgan Stanley | 572,512 | 58,705,380 | |
MSCI, Inc. | 32,881 | 17,628,162 | |
NASDAQ, Inc. | 46,684 | 8,366,240 | |
Northern Trust Corp. | 82,818 | 9,659,892 | |
Raymond James Financial, Inc. | 73,863 | 7,819,876 | |
S&P Global, Inc. | 96,115 | 39,908,870 | |
State Street Corp. | 145,819 | 13,779,896 | |
T. Rowe Price Group, Inc. | 89,634 | 13,842,179 | |
455,458,326 | |||
Consumer Finance - 0.6% | |||
American Express Co. | 250,213 | 44,993,302 | |
Capital One Financial Corp. | 169,745 | 24,906,684 | |
Discover Financial Services | 116,883 | 13,529,207 | |
Synchrony Financial | 218,255 | 9,295,480 | |
92,724,673 | |||
Diversified Financial Services - 1.5% | |||
Berkshire Hathaway, Inc. Class B (a) | 730,382 | 228,624,174 | |
Insurance - 2.0% | |||
AFLAC, Inc. | 242,721 | 15,247,733 | |
Allstate Corp. | 114,331 | 13,796,322 | |
American International Group, Inc. | 331,136 | 19,123,104 | |
Aon PLC | 87,872 | 24,291,336 | |
Arthur J. Gallagher & Co. | 82,666 | 13,056,268 | |
Assurant, Inc. | 22,723 | 3,465,485 | |
Brown & Brown, Inc. | 93,489 | 6,196,451 | |
Chubb Ltd. | 171,786 | 33,889,942 | |
Cincinnati Financial Corp. | 59,767 | 7,042,346 | |
Everest Re Group Ltd. | 15,701 | 4,449,663 | |
Globe Life, Inc. | 37,051 | 3,790,317 | |
Hartford Financial Services Group, Inc. | 135,738 | 9,755,490 | |
Lincoln National Corp. | 67,746 | 4,740,865 | |
Loews Corp. | 79,927 | 4,768,445 | |
Marsh & McLennan Companies, Inc. | 201,360 | 30,936,950 | |
MetLife, Inc. | 285,147 | 19,121,958 | |
Principal Financial Group, Inc. | 98,314 | 7,182,821 | |
Progressive Corp. | 233,333 | 25,353,964 | |
Prudential Financial, Inc. | 150,752 | 16,819,401 | |
The Travelers Companies, Inc. | 98,112 | 16,304,252 | |
W.R. Berkley Corp. | 55,654 | 4,702,763 | |
Willis Towers Watson PLC | 49,695 | 11,626,642 | |
295,662,518 | |||
TOTAL FINANCIALS | 1,718,862,673 | ||
HEALTH CARE - 13.0% | |||
Biotechnology - 1.8% | |||
AbbVie, Inc. | 705,059 | 96,515,527 | |
Amgen, Inc. | 224,639 | 51,024,502 | |
Biogen, Inc. (a) | 58,583 | 13,239,758 | |
Gilead Sciences, Inc. | 500,268 | 34,358,406 | |
Incyte Corp. (a) | 74,880 | 5,565,830 | |
Moderna, Inc. (a) | 140,679 | 23,821,175 | |
Regeneron Pharmaceuticals, Inc. (a) | 42,163 | 25,659,980 | |
Vertex Pharmaceuticals, Inc. (a) | 101,400 | 24,645,270 | |
274,830,448 | |||
Health Care Equipment & Supplies - 2.8% | |||
Abbott Laboratories | 705,221 | 89,887,469 | |
Abiomed, Inc. (a) | 18,145 | 5,368,561 | |
Align Technology, Inc. (a) | 29,246 | 14,475,600 | |
Baxter International, Inc. | 199,684 | 17,061,001 | |
Becton, Dickinson & Co. | 114,536 | 29,108,179 | |
Boston Scientific Corp. (a) | 568,310 | 24,380,499 | |
Dentsply Sirona, Inc. | 87,184 | 4,657,369 | |
DexCom, Inc. (a) | 38,654 | 16,639,774 | |
Edwards Lifesciences Corp. (a) | 248,994 | 27,190,145 | |
Hologic, Inc. (a) | 101,094 | 7,100,843 | |
IDEXX Laboratories, Inc. (a) | 33,817 | 17,155,364 | |
Intuitive Surgical, Inc. (a) | 142,366 | 40,457,570 | |
Medtronic PLC | 536,730 | 55,546,188 | |
ResMed, Inc. | 58,117 | 13,285,546 | |
STERIS PLC | 39,891 | 8,951,540 | |
Stryker Corp. | 133,900 | 33,213,895 | |
Teleflex, Inc. | 18,682 | 5,794,970 | |
The Cooper Companies, Inc. | 19,663 | 7,831,773 | |
Zimmer Biomet Holdings, Inc. | 83,316 | 10,249,534 | |
428,355,820 | |||
Health Care Providers & Services - 2.8% | |||
AmerisourceBergen Corp. | 59,665 | 8,126,373 | |
Anthem, Inc. | 96,799 | 42,687,391 | |
Cardinal Health, Inc. | 112,381 | 5,795,488 | |
Centene Corp. (a) | 232,710 | 18,095,530 | |
Cigna Corp. | 132,179 | 30,461,972 | |
CVS Health Corp. | 526,460 | 56,073,255 | |
DaVita HealthCare Partners, Inc. (a) | 26,009 | 2,818,595 | |
HCA Holdings, Inc. | 95,511 | 22,927,416 | |
Henry Schein, Inc. (a) | 55,306 | 4,164,542 | |
Humana, Inc. | 51,261 | 20,119,943 | |
Laboratory Corp. of America Holdings (a) | 38,167 | 10,356,997 | |
McKesson Corp. | 60,892 | 15,632,194 | |
Quest Diagnostics, Inc. | 48,925 | 6,605,854 | |
UnitedHealth Group, Inc. | 375,625 | 177,509,106 | |
Universal Health Services, Inc. Class B | 29,162 | 3,792,810 | |
425,167,466 | |||
Health Care Technology - 0.1% | |||
Cerner Corp. | 117,341 | 10,701,499 | |
Life Sciences Tools & Services - 1.8% | |||
Agilent Technologies, Inc. | 120,731 | 16,820,243 | |
Bio-Rad Laboratories, Inc. Class A (a) | 8,617 | 5,167,873 | |
Bio-Techne Corp. | 15,671 | 5,898,721 | |
Charles River Laboratories International, Inc. (a) | 20,126 | 6,636,750 | |
Danaher Corp. | 253,636 | 72,486,632 | |
Illumina, Inc. (a) | 62,335 | 21,743,695 | |
IQVIA Holdings, Inc. (a) | 76,190 | 18,658,931 | |
Mettler-Toledo International, Inc. (a) | 9,167 | 13,500,058 | |
PerkinElmer, Inc. | 50,330 | 8,665,316 | |
Thermo Fisher Scientific, Inc. | 157,153 | 91,353,039 | |
Waters Corp. (a) | 24,342 | 7,792,361 | |
West Pharmaceutical Services, Inc. | 29,544 | 11,617,292 | |
280,340,911 | |||
Pharmaceuticals - 3.7% | |||
Bristol-Myers Squibb Co. | 885,230 | 57,442,575 | |
Catalent, Inc. (a) | 68,272 | 7,095,509 | |
Eli Lilly & Co. | 316,648 | 77,702,253 | |
Johnson & Johnson | 1,049,922 | 180,891,061 | |
Merck & Co., Inc. | 1,007,387 | 82,081,893 | |
Organon & Co. | 101,120 | 3,226,739 | |
Pfizer, Inc. | 2,238,501 | 117,946,618 | |
Viatris, Inc. | 482,322 | 7,220,360 | |
Zoetis, Inc. Class A | 188,690 | 37,698,375 | |
571,305,383 | |||
TOTAL HEALTH CARE | 1,990,701,527 | ||
INDUSTRIALS - 7.8% | |||
Aerospace & Defense - 1.5% | |||
General Dynamics Corp. | 92,427 | 19,603,767 | |
Howmet Aerospace, Inc. | 153,344 | 4,767,465 | |
Huntington Ingalls Industries, Inc. | 15,977 | 2,990,894 | |
L3Harris Technologies, Inc. | 78,258 | 16,378,617 | |
Lockheed Martin Corp. | 97,889 | 38,091,547 | |
Northrop Grumman Corp. | 59,434 | 21,984,637 | |
Raytheon Technologies Corp. | 596,939 | 53,837,928 | |
Textron, Inc. | 87,909 | 5,983,087 | |
The Boeing Co. (a) | 220,321 | 44,117,077 | |
TransDigm Group, Inc. (a) | 20,881 | 12,866,663 | |
220,621,682 | |||
Air Freight & Logistics - 0.6% | |||
C.H. Robinson Worldwide, Inc. | 51,841 | 5,425,161 | |
Expeditors International of Washington, Inc. | 67,561 | 7,734,383 | |
FedEx Corp. | 97,470 | 23,963,974 | |
United Parcel Service, Inc. Class B | 290,800 | 58,802,668 | |
95,926,186 | |||
Airlines - 0.2% | |||
Alaska Air Group, Inc. (a) | 49,973 | 2,735,522 | |
American Airlines Group, Inc. (a)(b) | 258,241 | 4,253,229 | |
Delta Air Lines, Inc. (a) | 255,247 | 10,130,753 | |
Southwest Airlines Co. (a) | 236,067 | 10,566,359 | |
United Airlines Holdings, Inc. (a) | 129,140 | 5,537,523 | |
33,223,386 | |||
Building Products - 0.5% | |||
A.O. Smith Corp. | 53,118 | 4,059,278 | |
Allegion PLC | 35,773 | 4,390,420 | |
Carrier Global Corp. | 345,608 | 16,478,589 | |
Fortune Brands Home & Security, Inc. | 54,133 | 5,097,705 | |
Johnson Controls International PLC | 282,641 | 20,539,521 | |
Masco Corp. | 97,346 | 6,164,922 | |
Trane Technologies PLC | 94,735 | 16,398,629 | |
73,129,064 | |||
Commercial Services & Supplies - 0.4% | |||
Cintas Corp. | 35,055 | 13,725,084 | |
Copart, Inc. (a) | 85,103 | 10,999,563 | |
Republic Services, Inc. | 83,465 | 10,655,142 | |
Rollins, Inc. | 90,270 | 2,784,830 | |
Waste Management, Inc. | 153,485 | 23,090,283 | |
61,254,902 | |||
Construction & Engineering - 0.0% | |||
Quanta Services, Inc. | 56,831 | 5,837,680 | |
Electrical Equipment - 0.5% | |||
AMETEK, Inc. | 92,256 | 12,617,853 | |
Eaton Corp. PLC | 158,968 | 25,185,300 | |
Emerson Electric Co. | 238,412 | 21,921,983 | |
Generac Holdings, Inc. (a) | 25,161 | 7,104,963 | |
Rockwell Automation, Inc. | 46,255 | 13,377,871 | |
80,207,970 | |||
Industrial Conglomerates - 1.0% | |||
3M Co. | 229,819 | 38,154,550 | |
General Electric Co. | 437,954 | 41,377,894 | |
Honeywell International, Inc. | 274,554 | 56,140,802 | |
Roper Technologies, Inc. | 42,069 | 18,390,884 | |
154,064,130 | |||
Machinery - 1.6% | |||
Caterpillar, Inc. | 215,736 | 43,483,748 | |
Cummins, Inc. | 57,043 | 12,599,658 | |
Deere & Co. | 112,528 | 42,355,539 | |
Dover Corp. | 57,424 | 9,756,912 | |
Fortive Corp. | 143,006 | 10,087,643 | |
IDEX Corp. | 30,322 | 6,532,572 | |
Illinois Tool Works, Inc. | 113,914 | 26,646,763 | |
Ingersoll Rand, Inc. | 162,551 | 9,136,992 | |
Otis Worldwide Corp. | 169,404 | 14,472,184 | |
PACCAR, Inc. | 138,459 | 12,875,302 | |
Parker Hannifin Corp. | 51,487 | 15,961,485 | |
Pentair PLC | 65,996 | 4,203,945 | |
Snap-On, Inc. | 21,427 | 4,462,173 | |
Stanley Black & Decker, Inc. | 65,020 | 11,355,743 | |
Westinghouse Air Brake Tech Co. | 74,507 | 6,623,672 | |
Xylem, Inc. | 71,917 | 7,552,723 | |
238,107,054 | |||
Professional Services - 0.4% | |||
Equifax, Inc. | 48,656 | 11,665,763 | |
IHS Markit Ltd. | 159,064 | 18,577,085 | |
Jacobs Engineering Group, Inc. | 51,971 | 6,765,585 | |
Leidos Holdings, Inc. | 55,970 | 5,006,517 | |
Nielsen Holdings PLC | 143,096 | 2,698,791 | |
Robert Half International, Inc. | 44,401 | 5,028,857 | |
Verisk Analytics, Inc. | 64,273 | 12,605,863 | |
62,348,461 | |||
Road & Rail - 0.9% | |||
CSX Corp. | 884,567 | 30,269,883 | |
J.B. Hunt Transport Services, Inc. | 33,505 | 6,451,053 | |
Norfolk Southern Corp. | 97,050 | 26,396,630 | |
Old Dominion Freight Lines, Inc. | 37,153 | 11,217,605 | |
Union Pacific Corp. | 256,389 | 62,699,930 | |
137,035,101 | |||
Trading Companies & Distributors - 0.2% | |||
Fastenal Co. | 229,383 | 13,001,428 | |
United Rentals, Inc. (a) | 28,872 | 9,242,505 | |
W.W. Grainger, Inc. | 17,259 | 8,545,103 | |
30,789,036 | |||
TOTAL INDUSTRIALS | 1,192,544,652 | ||
INFORMATION TECHNOLOGY - 28.6% | |||
Communications Equipment - 0.8% | |||
Arista Networks, Inc. (a) | 89,461 | 11,120,897 | |
Cisco Systems, Inc. | 1,682,057 | 93,640,113 | |
F5, Inc. (a) | 24,053 | 4,993,884 | |
Juniper Networks, Inc. | 129,688 | 4,515,736 | |
Motorola Solutions, Inc. | 67,359 | 15,623,246 | |
129,893,876 | |||
Electronic Equipment & Components - 0.7% | |||
Amphenol Corp. Class A | 238,503 | 18,982,454 | |
CDW Corp. | 54,128 | 10,232,898 | |
Corning, Inc. | 306,317 | 12,877,567 | |
IPG Photonics Corp. (a) | 14,245 | 2,200,425 | |
Keysight Technologies, Inc. (a) | 73,460 | 12,401,517 | |
TE Connectivity Ltd. | 130,139 | 18,611,178 | |
Teledyne Technologies, Inc. (a) | 18,607 | 7,841,548 | |
Trimble, Inc. (a) | 100,106 | 7,223,649 | |
Zebra Technologies Corp. Class A (a) | 21,313 | 10,850,875 | |
101,222,111 | |||
IT Services - 4.6% | |||
Accenture PLC Class A | 251,909 | 89,069,984 | |
Akamai Technologies, Inc. (a) | 64,799 | 7,422,725 | |
Automatic Data Processing, Inc. | 168,055 | 34,647,899 | |
Broadridge Financial Solutions, Inc. | 46,493 | 7,402,615 | |
Cognizant Technology Solutions Corp. Class A | 209,479 | 17,893,696 | |
DXC Technology Co. (a) | 100,598 | 3,025,988 | |
EPAM Systems, Inc. (a) | 22,621 | 10,770,763 | |
Fidelity National Information Services, Inc. | 242,854 | 29,123,052 | |
Fiserv, Inc. (a) | 236,980 | 25,048,786 | |
FleetCor Technologies, Inc. (a) | 32,383 | 7,715,574 | |
Gartner, Inc. (a) | 32,798 | 9,639,004 | |
Global Payments, Inc. | 115,717 | 17,343,664 | |
IBM Corp. | 357,658 | 47,772,379 | |
Jack Henry & Associates, Inc. | 29,529 | 4,955,261 | |
MasterCard, Inc. Class A | 345,969 | 133,675,502 | |
Paychex, Inc. | 127,990 | 15,072,102 | |
PayPal Holdings, Inc. (a) | 468,581 | 80,567,817 | |
VeriSign, Inc. (a) | 38,541 | 8,370,334 | |
Visa, Inc. Class A | 668,814 | 151,265,662 | |
700,782,807 | |||
Semiconductors & Semiconductor Equipment - 5.9% | |||
Advanced Micro Devices, Inc. (a) | 481,614 | 55,024,400 | |
Analog Devices, Inc. | 214,328 | 35,143,362 | |
Applied Materials, Inc. | 360,102 | 49,758,894 | |
Broadcom, Inc. | 164,159 | 96,177,475 | |
Enphase Energy, Inc. (a) | 53,805 | 7,557,988 | |
Intel Corp. | 1,621,985 | 79,185,308 | |
KLA Corp. | 60,469 | 23,538,768 | |
Lam Research Corp. | 56,153 | 33,125,778 | |
Microchip Technology, Inc. | 221,291 | 17,145,627 | |
Micron Technology, Inc. | 446,125 | 36,702,704 | |
Monolithic Power Systems, Inc. | 17,280 | 6,962,630 | |
NVIDIA Corp. | 997,040 | 244,135,214 | |
NXP Semiconductors NV | 106,058 | 21,788,556 | |
Qorvo, Inc. (a) | 43,959 | 6,034,692 | |
Qualcomm, Inc. | 446,674 | 78,507,422 | |
Skyworks Solutions, Inc. | 65,862 | 9,650,100 | |
SolarEdge Technologies, Inc. (a) | 20,946 | 4,989,756 | |
Teradyne, Inc. | 65,009 | 7,634,007 | |
Texas Instruments, Inc. | 368,317 | 66,109,218 | |
Xilinx, Inc. | 98,859 | 19,134,159 | |
898,306,058 | |||
Software - 9.2% | |||
Adobe, Inc. (a) | 189,757 | 101,387,165 | |
ANSYS, Inc. (a) | 34,798 | 11,831,668 | |
Autodesk, Inc. (a) | 87,680 | 21,901,587 | |
Cadence Design Systems, Inc. (a) | 110,528 | 16,815,730 | |
Ceridian HCM Holding, Inc. (a) | 54,318 | 4,118,391 | |
Citrix Systems, Inc. | 49,741 | 5,070,598 | |
Fortinet, Inc. (a) | 54,121 | 16,086,926 | |
Intuit, Inc. | 112,931 | 62,702,679 | |
Microsoft Corp. | 2,994,302 | 931,168,036 | |
NortonLifeLock, Inc. | 232,013 | 6,034,658 | |
Oracle Corp. | 643,240 | 52,205,358 | |
Paycom Software, Inc. (a) | 19,198 | 6,437,089 | |
PTC, Inc. (a) | 42,132 | 4,898,266 | |
Salesforce.com, Inc. (a) | 390,441 | 90,828,290 | |
ServiceNow, Inc. (a) | 79,364 | 46,489,844 | |
Synopsys, Inc. (a) | 60,821 | 18,884,921 | |
Tyler Technologies, Inc. (a) | 16,342 | 7,742,840 | |
1,404,604,046 | |||
Technology Hardware, Storage & Peripherals - 7.4% | |||
Apple, Inc. | 6,215,976 | 1,086,428,285 | |
Hewlett Packard Enterprise Co. | 521,667 | 8,518,822 | |
HP, Inc. | 459,644 | 16,882,724 | |
NetApp, Inc. | 89,186 | 7,715,481 | |
Seagate Technology Holdings PLC | 81,688 | 8,752,869 | |
Western Digital Corp. (a) | 124,280 | 6,430,247 | |
1,134,728,428 | |||
TOTAL INFORMATION TECHNOLOGY | 4,369,537,326 | ||
MATERIALS - 2.5% | |||
Chemicals - 1.7% | |||
Air Products & Chemicals, Inc. | 88,284 | 24,906,682 | |
Albemarle Corp. U.S. | 46,652 | 10,297,962 | |
Celanese Corp. Class A | 43,419 | 6,760,772 | |
CF Industries Holdings, Inc. | 85,536 | 5,890,864 | |
Corteva, Inc. | 290,700 | 13,976,856 | |
Dow, Inc. | 294,970 | 17,618,558 | |
DuPont de Nemours, Inc. | 206,628 | 15,827,705 | |
Eastman Chemical Co. | 53,617 | 6,376,670 | |
Ecolab, Inc. | 99,430 | 18,837,014 | |
FMC Corp. | 50,550 | 5,579,204 | |
International Flavors & Fragrances, Inc. | 101,509 | 13,391,067 | |
Linde PLC | 204,415 | 65,142,972 | |
LyondellBasell Industries NV Class A | 104,848 | 10,141,947 | |
PPG Industries, Inc. | 94,679 | 14,788,860 | |
Sherwin-Williams Co. | 96,203 | 27,563,122 | |
The Mosaic Co. | 147,725 | 5,901,614 | |
263,001,869 | |||
Construction Materials - 0.1% | |||
Martin Marietta Materials, Inc. | 24,879 | 9,680,916 | |
Vulcan Materials Co. | 52,925 | 10,072,157 | |
19,753,073 | |||
Containers & Packaging - 0.3% | |||
Amcor PLC | 611,452 | 7,343,539 | |
Avery Dennison Corp. | 33,020 | 6,782,968 | |
Ball Corp. | 129,174 | 12,542,795 | |
International Paper Co. | 154,446 | 7,452,020 | |
Packaging Corp. of America | 37,884 | 5,706,467 | |
Sealed Air Corp. | 59,088 | 4,013,257 | |
WestRock Co. | 106,487 | 4,915,440 | |
48,756,486 | |||
Metals & Mining - 0.4% | |||
Freeport-McMoRan, Inc. | 585,651 | 21,797,930 | |
Newmont Corp. | 318,030 | 19,453,895 | |
Nucor Corp. | 113,981 | 11,557,673 | |
52,809,498 | |||
TOTAL MATERIALS | 384,320,926 | ||
REAL ESTATE - 2.7% | |||
Equity Real Estate Investment Trusts (REITs) - 2.6% | |||
Alexandria Real Estate Equities, Inc. | 56,240 | 10,957,802 | |
American Tower Corp. | 181,626 | 45,678,939 | |
AvalonBay Communities, Inc. | 55,730 | 13,610,938 | |
Boston Properties, Inc. | 56,691 | 6,353,927 | |
Crown Castle International Corp. | 172,370 | 31,459,249 | |
Digital Realty Trust, Inc. | 113,179 | 16,889,702 | |
Duke Realty Corp. | 151,889 | 8,776,146 | |
Equinix, Inc. | 35,910 | 26,031,159 | |
Equity Residential (SBI) | 136,101 | 12,076,242 | |
Essex Property Trust, Inc. | 25,958 | 8,631,035 | |
Extra Space Storage, Inc. | 53,398 | 10,582,950 | |
Federal Realty Investment Trust (SBI) | 27,921 | 3,559,648 | |
Healthpeak Properties, Inc. | 214,990 | 7,604,196 | |
Host Hotels & Resorts, Inc. (a) | 284,768 | 4,937,877 | |
Iron Mountain, Inc. | 115,477 | 5,302,704 | |
Kimco Realty Corp. | 245,841 | 5,964,103 | |
Mid-America Apartment Communities, Inc. | 45,919 | 9,490,539 | |
Prologis (REIT), Inc. | 294,856 | 46,239,318 | |
Public Storage | 60,843 | 21,814,041 | |
Realty Income Corp. | 225,635 | 15,661,325 | |
Regency Centers Corp. | 61,455 | 4,409,396 | |
SBA Communications Corp. Class A | 43,384 | 14,118,889 | |
Simon Property Group, Inc. | 131,055 | 19,291,296 | |
UDR, Inc. | 115,910 | 6,588,324 | |
Ventas, Inc. | 159,197 | 8,440,625 | |
Vornado Realty Trust | 63,410 | 2,600,444 | |
Welltower, Inc. | 173,594 | 15,038,448 | |
Weyerhaeuser Co. | 298,731 | 12,077,694 | |
394,186,956 | |||
Real Estate Management & Development - 0.1% | |||
CBRE Group, Inc. | 133,470 | 13,525,850 | |
TOTAL REAL ESTATE | 407,712,806 | ||
UTILITIES - 2.5% | |||
Electric Utilities - 1.6% | |||
Alliant Energy Corp. | 99,849 | 5,976,961 | |
American Electric Power Co., Inc. | 200,862 | 18,157,925 | |
Duke Energy Corp. | 306,777 | 32,229,992 | |
Edison International | 151,513 | 9,513,501 | |
Entergy Corp. | 80,154 | 8,958,813 | |
Evergy, Inc. | 91,451 | 5,940,657 | |
Eversource Energy | 137,115 | 12,270,421 | |
Exelon Corp. | 390,169 | 22,610,294 | |
FirstEnergy Corp. | 217,123 | 9,110,481 | |
NextEra Energy, Inc. | 782,531 | 61,131,322 | |
NRG Energy, Inc. | 97,646 | 3,899,005 | |
Pinnacle West Capital Corp. | 44,994 | 3,132,032 | |
PPL Corp. | 299,399 | 8,886,162 | |
Southern Co. | 422,667 | 29,371,130 | |
Xcel Energy, Inc. | 214,831 | 14,965,127 | |
246,153,823 | |||
Gas Utilities - 0.0% | |||
Atmos Energy Corp. | 52,814 | 5,662,717 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
The AES Corp. | 265,896 | 5,897,573 | |
Multi-Utilities - 0.8% | |||
Ameren Corp. | 102,738 | 9,116,970 | |
CenterPoint Energy, Inc. | 250,802 | 7,112,745 | |
CMS Energy Corp. | 115,537 | 7,438,272 | |
Consolidated Edison, Inc. | 141,080 | 12,196,366 | |
Dominion Energy, Inc. | 323,004 | 26,053,503 | |
DTE Energy Co. | 77,262 | 9,304,663 | |
NiSource, Inc. | 156,618 | 4,570,113 | |
Public Service Enterprise Group, Inc. | 201,666 | 13,416,839 | |
Sempra Energy | 127,356 | 17,595,505 | |
WEC Energy Group, Inc. | 125,800 | 12,207,632 | |
119,012,608 | |||
Water Utilities - 0.1% | |||
American Water Works Co., Inc. | 72,401 | 11,642,081 | |
TOTAL UTILITIES | 388,368,802 | ||
TOTAL COMMON STOCKS | |||
(Cost $7,947,636,598) | 15,248,448,220 | ||
Money Market Funds - 3.7% | |||
Fidelity Cash Central Fund 0.08% (c) | 550,378,838 | 550,488,914 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 7,396,684 | 7,397,424 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $557,886,338) | 557,886,338 | ||
TOTAL INVESTMENT IN SECURITIES - 103.5% | |||
(Cost $8,505,522,936) | 15,806,334,558 | ||
NET OTHER ASSETS (LIABILITIES) - (3.5)% | (530,500,445) | ||
NET ASSETS - 100% | $15,275,834,113 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 150 | March 2022 | $33,781,875 | $1,654,604 | $1,654,604 |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
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 are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $26,198,811 | $2,327,802,210 | $1,803,512,107 | $18,998 | $-- | $-- | $550,488,914 | 1.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | 240,088,399 | 280,017,522 | 512,708,497 | 38,388 | -- | -- | 7,397,424 | 0.0% |
Total | $266,287,210 | $2,607,819,732 | $2,316,220,604 | $57,386 | $-- | $-- | $557,886,338 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $1,530,459,158 | $1,530,459,158 | $-- | $-- |
Consumer Discretionary | 1,822,918,978 | 1,822,918,978 | -- | -- |
Consumer Staples | 931,494,291 | 931,494,291 | -- | -- |
Energy | 511,527,081 | 511,527,081 | -- | -- |
Financials | 1,718,862,673 | 1,718,862,673 | -- | -- |
Health Care | 1,990,701,527 | 1,990,701,527 | -- | -- |
Industrials | 1,192,544,652 | 1,192,544,652 | -- | -- |
Information Technology | 4,369,537,326 | 4,369,537,326 | -- | -- |
Materials | 384,320,926 | 384,320,926 | -- | -- |
Real Estate | 407,712,806 | 407,712,806 | -- | -- |
Utilities | 388,368,802 | 388,368,802 | -- | -- |
Money Market Funds | 557,886,338 | 557,886,338 | -- | -- |
Total Investments in Securities: | $15,806,334,558 | $15,806,334,558 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,654,604 | $1,654,604 | $-- | $-- |
Total Assets | $1,654,604 | $1,654,604 | $-- | $-- |
Total Derivative Instruments: | $1,654,604 | $1,654,604 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $1,654,604 | $0 |
Total Equity Risk | 1,654,604 | 0 |
Total Value of Derivatives | $1,654,604 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $7,614,146) — See accompanying schedule: Unaffiliated issuers (cost $7,947,636,598) | $15,248,448,220 | |
Fidelity Central Funds (cost $557,886,338) | 557,886,338 | |
Total Investment in Securities (cost $8,505,522,936) | $15,806,334,558 | |
Segregated cash with brokers for derivative instruments | 1,609,200 | |
Cash | 144,664 | |
Receivable for fund shares sold | 113,388,006 | |
Dividends receivable | 10,427,318 | |
Distributions receivable from Fidelity Central Funds | 3,810 | |
Receivable for daily variation margin on futures contracts | 897,801 | |
Prepaid expenses | 13,487 | |
Receivable from investment adviser for expense reductions | 41,022 | |
Total assets | 15,932,859,866 | |
Liabilities | ||
Payable for investments purchased | $644,767,593 | |
Payable for fund shares redeemed | 4,571,733 | |
Accrued management fee | 181,502 | |
Other payables and accrued expenses | 77,325 | |
Collateral on securities loaned | 7,427,600 | |
Total liabilities | 657,025,753 | |
Net Assets | $15,275,834,113 | |
Net Assets consist of: | ||
Paid in capital | $7,705,700,762 | |
Total accumulated earnings (loss) | 7,570,133,351 | |
Net Assets | $15,275,834,113 | |
Net Asset Value, offering price and redemption price per share ($15,275,834,113 ÷ 708,527,677 shares) | $21.56 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $102,126,424 | |
Income from Fidelity Central Funds (including $38,388 from security lending) | 57,386 | |
Total income | 102,183,810 | |
Expenses | ||
Management fee | $1,147,512 | |
Custodian fees and expenses | 97,375 | |
Independent trustees' fees and expenses | 27,147 | |
Registration fees | 48,509 | |
Audit | 27,496 | |
Legal | 14,823 | |
Interest | 15,389 | |
Miscellaneous | 28,995 | |
Total expenses before reductions | 1,407,246 | |
Expense reductions | (215,880) | |
Total expenses after reductions | 1,191,366 | |
Net investment income (loss) | 100,992,444 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 401,606,118 | |
Futures contracts | (353,404) | |
Total net realized gain (loss) | 401,252,714 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 108,808,652 | |
Futures contracts | 128,810 | |
Total change in net unrealized appreciation (depreciation) | 108,937,462 | |
Net gain (loss) | 510,190,176 | |
Net increase (decrease) in net assets resulting from operations | $611,182,620 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $100,992,444 | $248,727,341 |
Net realized gain (loss) | 401,252,714 | 2,275,157,598 |
Change in net unrealized appreciation (depreciation) | 108,937,462 | 2,773,867,431 |
Net increase (decrease) in net assets resulting from operations | 611,182,620 | 5,297,752,370 |
Distributions to shareholders | (1,599,790,076) | (616,908,279) |
Share transactions | ||
Proceeds from sales of shares | 6,241,384,354 | 18,319,849,544 |
Reinvestment of distributions | 1,583,014,796 | 610,586,296 |
Cost of shares redeemed | (5,527,727,803) | (25,049,954,195) |
Net increase (decrease) in net assets resulting from share transactions | 2,296,671,347 | (6,119,518,355) |
Total increase (decrease) in net assets | 1,308,063,891 | (1,438,674,264) |
Net Assets | ||
Beginning of period | 13,967,770,222 | 15,406,444,486 |
End of period | $15,275,834,113 | $13,967,770,222 |
Other Information | ||
Shares | ||
Sold | 277,582,228 | 920,285,819 |
Issued in reinvestment of distributions | 74,073,945 | 32,481,306 |
Redeemed | (246,230,912) | (1,221,017,368) |
Net increase (decrease) | 105,425,261 | (268,250,243) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Large Cap Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $23.16 | $17.68 | $16.09 | $15.21 | $13.30 | $11.55 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .15 | .31 | .32 | .30 | .27 | .25 |
Net realized and unrealized gain (loss) | .61 | 5.94 | 1.56 | .87 | 1.86 | 1.59 |
Total from investment operations | .76 | 6.25 | 1.88 | 1.17 | 2.13 | 1.84 |
Distributions from net investment income | (.34) | (.35) | (.29) | (.28) | (.19) | (.09) |
Distributions from net realized gain | (2.02) | (.42) | – | (.01) | (.03) | –C |
Total distributions | (2.36) | (.77) | (.29) | (.29) | (.22) | (.09) |
Net asset value, end of period | $21.56 | $23.16 | $17.68 | $16.09 | $15.21 | $13.30 |
Total ReturnD,E | 3.43% | 36.43% | 11.84% | 7.97% | 16.22% | 16.03% |
Ratios to Average Net AssetsB,F,G | ||||||
Expenses before reductions | .02%H | .02% | .02% | .09% | .09% | .09% |
Expenses net of fee waivers, if any | .02%H | .02% | .02% | .02% | .02% | .02% |
Expenses net of all reductions | .02%H | .02% | .02% | .02% | .02% | .02% |
Net investment income (loss) | 1.32%H | 1.52% | 1.97% | 2.00% | 1.87% | 2.05% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $15,275,834 | $13,967,770 | $15,406,444 | $14,046,976 | $13,692,497 | $8,155,030 |
Portfolio turnover rateI | 61%H | 86% | 80% | 41% | 26% | 17% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Amount represents less than $.005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI U.S. Large Cap Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, certain deemed distributions and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $7,391,135,225 |
Gross unrealized depreciation | (208,491,864) |
Net unrealized appreciation (depreciation) | $7,182,643,361 |
Tax cost | $8,625,345,801 |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI U.S. Large Cap Index Fund | 5,424,537,879 | 4,611,455,815 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .015% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI U.S. Large Cap Index Fund | Borrower | $48,855,306 | .32% | $15,389 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI U.S. Large Cap Index Fund | $12,489 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI U.S. Large Cap Index Fund | $3,544 | $– | $– |
9. Expense Reductions.
Effective September 1, 2021, the investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .015% of average net assets. This reimbursement will remain in place through November 30, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $215,795.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $85.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity U.S. Total Stock Fund | Strategic Advisers Large Cap Fund | |
Fidelity SAI U.S. Large Cap Index Fund | 10% | 17% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI U.S. Large Cap Index Fund | .02% | |||
Actual | $1,000.00 | $1,034.30 | $.10 | |
Hypothetical-C | $1,000.00 | $1,025.10 | $.10 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI U.S. Large Cap 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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- and three-year periods. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.The Board considered that effective July 1, 2016, the fund's management fee rate was reduced from 0.02% to 0.015%. The Board considered that the chart below reflects the fund's lower management fee rate for 2016, as if the lower fee rate were in effect for the entire period.SV9-SANN-0422
1.9870994.105
Fidelity® SAI Real Estate Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index or indices.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Ten Stocks as of January 31, 2022
% of fund's net assets | |
Prologis (REIT), Inc. | 7.3 |
American Tower Corp. | 7.2 |
Crown Castle International Corp. | 5.0 |
Equinix, Inc. | 4.1 |
Public Storage | 3.6 |
Simon Property Group, Inc. | 3.1 |
Digital Realty Trust, Inc. | 2.7 |
Realty Income Corp. | 2.4 |
Welltower, Inc. | 2.3 |
SBA Communications Corp. Class A | 2.3 |
40.0 |
Top Five REIT Sectors as of January 31, 2022
% of fund's net assets | |
REITs - Diversified | 23.2 |
REITs - Apartments | 12.1 |
REITs - Management/Investment | 10.6 |
REITs - Warehouse/Industrial | 10.1 |
REITs - Storage | 7.8 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 0.2%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.7% | |||
Shares | Value | ||
Equity Real Estate Investment Trusts (REITs) - 94.4% | |||
REITs - Apartments - 12.1% | |||
American Campus Communities, Inc. | 63,701 | $3,329,014 | |
American Homes 4 Rent Class A | 134,929 | 5,279,772 | |
Apartment Investment & Management Co. Class A (a) | 69,909 | 491,460 | |
AvalonBay Communities, Inc. | 63,915 | 15,609,960 | |
Camden Property Trust (SBI) | 46,178 | 7,392,636 | |
Centerspace | 6,311 | 601,943 | |
Equity Residential (SBI) | 162,063 | 14,379,850 | |
Essex Property Trust, Inc. | 29,880 | 9,935,100 | |
Independence Realty Trust, Inc. | 50,471 | 1,160,328 | |
Invitation Homes, Inc. | 270,927 | 11,373,515 | |
Mid-America Apartment Communities, Inc. | 53,519 | 11,061,307 | |
UDR, Inc. | 135,850 | 7,721,714 | |
88,336,599 | |||
REITs - Diversified - 23.2% | |||
Alexander & Baldwin, Inc. | 33,088 | 759,370 | |
American Finance Trust, Inc. | 53,697 | 443,537 | |
Apartment Income (REIT) Corp. | 73,264 | 3,869,804 | |
Apple Hospitality (REIT), Inc. | 98,359 | 1,586,531 | |
Armada Hoffler Properties, Inc. | 28,533 | 400,318 | |
Broadstone Net Lease, Inc. | 72,768 | 1,681,668 | |
CorePoint Lodging, Inc. (a) | 17,115 | 268,877 | |
Cousins Properties, Inc. | 68,708 | 2,649,380 | |
Crown Castle International Corp. | 199,728 | 36,452,357 | |
Digital Realty Trust, Inc. | 130,698 | 19,504,063 | |
Digitalbridge Group, Inc. (a) | 232,408 | 1,696,578 | |
Duke Realty Corp. | 174,515 | 10,083,477 | |
EPR Properties | 35,137 | 1,544,974 | |
Equinix, Inc. | 41,523 | 30,100,023 | |
Gaming & Leisure Properties | 103,870 | 4,692,847 | |
Gladstone Commercial Corp. | 15,132 | 350,911 | |
Gladstone Land Corp. | 13,941 | 424,922 | |
Global Net Lease, Inc. | 42,408 | 608,131 | |
Lamar Advertising Co. Class A | 40,413 | 4,476,144 | |
NexPoint Residential Trust, Inc. | 10,129 | 803,230 | |
One Liberty Properties, Inc. | 8,082 | 246,501 | |
Outfront Media, Inc. | 70,094 | 1,741,135 | |
Potlatch Corp. | 32,706 | 1,759,256 | |
Preferred Apartment Communities, Inc. Class A | 22,421 | 373,982 | |
PS Business Parks, Inc. | 9,478 | 1,582,447 | |
Safehold, Inc. | 9,413 | 582,665 | |
SBA Communications Corp. Class A | 50,636 | 16,478,980 | |
Store Capital Corp. | 117,456 | 3,724,530 | |
Uniti Group, Inc. | 112,617 | 1,358,161 | |
VICI Properties, Inc. | 289,211 | 8,277,219 | |
Vornado Realty Trust | 75,506 | 3,096,501 | |
Washington REIT (SBI) | 34,941 | 860,247 | |
WP Carey, Inc. | 84,463 | 6,554,329 | |
169,033,095 | |||
REITs - Health Care - 7.3% | |||
CareTrust (REIT), Inc. | 47,562 | 1,008,790 | |
Community Healthcare Trust, Inc. | 13,436 | 609,188 | |
Diversified Healthcare Trust (SBI) | 114,987 | 350,710 | |
Global Medical REIT, Inc. | 33,466 | 565,910 | |
Healthcare Realty Trust, Inc. | 66,273 | 2,055,788 | |
Healthcare Trust of America, Inc. | 99,324 | 3,232,996 | |
Healthpeak Properties, Inc. | 246,550 | 8,720,474 | |
LTC Properties, Inc. | 16,813 | 606,445 | |
Medical Properties Trust, Inc. | 277,761 | 6,321,840 | |
Physicians Realty Trust | 99,510 | 1,817,053 | |
Sabra Health Care REIT, Inc. | 101,943 | 1,387,444 | |
Universal Health Realty Income Trust (SBI) | 6,060 | 353,298 | |
Ventas, Inc. | 180,832 | 9,587,713 | |
Welltower, Inc. | 194,868 | 16,881,415 | |
53,499,064 | |||
REITs - Health Care Facilities - 0.6% | |||
National Health Investors, Inc. | 20,084 | 1,161,458 | |
Omega Healthcare Investors, Inc. | 111,884 | 3,522,108 | |
4,683,566 | |||
REITs - Hotels - 2.7% | |||
Chatham Lodging Trust (a) | 21,752 | 288,649 | |
DiamondRock Hospitality Co. (a) | 100,573 | 940,358 | |
Host Hotels & Resorts, Inc. (a) | 331,863 | 5,754,504 | |
MGM Growth Properties LLC | 74,672 | 2,903,247 | |
Park Hotels & Resorts, Inc. (a) | 111,468 | 2,028,718 | |
Pebblebrook Hotel Trust | 62,360 | 1,350,094 | |
RLJ Lodging Trust | 78,882 | 1,092,516 | |
Ryman Hospitality Properties, Inc. (a) | 24,791 | 2,191,524 | |
Service Properties Trust | 81,142 | 693,764 | |
Summit Hotel Properties, Inc. (a) | 51,721 | 487,212 | |
Sunstone Hotel Investors, Inc. (a) | 102,393 | 1,158,065 | |
Xenia Hotels & Resorts, Inc. (a) | 52,925 | 917,720 | |
19,806,371 | |||
REITs - Industrial Buildings - 0.4% | |||
Stag Industrial, Inc. | 76,045 | 3,249,403 | |
REITs - Management/Investment - 10.6% | |||
American Assets Trust, Inc. | 23,558 | 847,381 | |
American Tower Corp. | 210,334 | 52,899,001 | |
Empire State Realty Trust, Inc. | 62,919 | 561,237 | |
iStar Financial, Inc. (b) | 33,790 | 725,471 | |
LXP Industrial Trust (REIT) | 124,231 | 1,849,800 | |
National Retail Properties, Inc. | 81,361 | 3,610,801 | |
Rayonier, Inc. | 66,720 | 2,437,949 | |
UMH Properties, Inc. | 24,269 | 572,748 | |
Weyerhaeuser Co. | 348,786 | 14,101,418 | |
77,605,806 | |||
REITs - Manufactured Homes - 2.3% | |||
Equity Lifestyle Properties, Inc. | 80,310 | 6,287,470 | |
Sun Communities, Inc. | 54,201 | 10,241,821 | |
16,529,291 | |||
REITs - Office Buildings - 0.8% | |||
CyrusOne, Inc. | 57,473 | 5,163,949 | |
Office Properties Income Trust | 21,338 | 543,692 | |
5,707,641 | |||
REITs - Office Property - 5.7% | |||
Alexandria Real Estate Equities, Inc. | 67,170 | 13,087,403 | |
Boston Properties, Inc. | 68,937 | 7,726,459 | |
Brandywine Realty Trust (SBI) | 79,258 | 1,019,258 | |
City Office REIT, Inc. | 20,801 | 370,882 | |
Corporate Office Properties Trust (SBI) | 51,303 | 1,295,914 | |
Douglas Emmett, Inc. | 81,290 | 2,537,874 | |
Easterly Government Properties, Inc. | 42,306 | 887,157 | |
Equity Commonwealth (a) | 47,125 | 1,227,135 | |
Franklin Street Properties Corp. | 47,437 | 263,275 | |
Highwoods Properties, Inc. (SBI) | 48,962 | 2,111,241 | |
Hudson Pacific Properties, Inc. | 69,668 | 1,646,255 | |
JBG SMITH Properties | 51,413 | 1,408,716 | |
Kilroy Realty Corp. | 49,061 | 3,139,904 | |
Orion Office (REIT), Inc. (a) | 26,017 | 432,923 | |
Paramount Group, Inc. | 74,021 | 643,242 | |
Piedmont Office Realty Trust, Inc. Class A | 53,722 | 954,103 | |
SL Green Realty Corp. | 30,975 | 2,246,307 | |
Veris Residential, Inc. (a) | 31,247 | 515,576 | |
41,513,624 | |||
REITs - Regional Malls - 3.4% | |||
Simon Property Group, Inc. | 152,456 | 22,441,523 | |
Tanger Factory Outlet Centers, Inc. | 49,865 | 848,204 | |
The Macerich Co. | 100,140 | 1,656,316 | |
24,946,043 | |||
REITs - Shopping Centers - 6.2% | |||
Acadia Realty Trust (SBI) | 40,607 | 803,613 | |
Alexanders, Inc. | 862 | 226,939 | |
Brixmor Property Group, Inc. | 140,331 | 3,558,794 | |
Federal Realty Investment Trust (SBI) | 32,739 | 4,173,895 | |
Kimco Realty Corp. | 271,776 | 6,593,286 | |
Kite Realty Group Trust | 105,275 | 2,198,142 | |
Realty Income Corp. | 256,290 | 17,789,089 | |
Regency Centers Corp. | 71,020 | 5,095,685 | |
Retail Opportunity Investments Corp. | 57,282 | 1,061,435 | |
RPT Realty | 40,829 | 515,262 | |
Saul Centers, Inc. | 6,681 | 329,908 | |
Seritage Growth Properties (a) | 22,055 | 228,490 | |
SITE Centers Corp. | 81,422 | 1,205,860 | |
Urban Edge Properties | 55,700 | 1,015,968 | |
Urstadt Biddle Properties, Inc. Class A | 12,743 | 250,910 | |
45,047,276 | |||
REITs - Single Tenant - 1.2% | |||
Agree Realty Corp. | 32,832 | 2,146,556 | |
Essential Properties Realty Trust, Inc. | 62,460 | 1,658,313 | |
Four Corners Property Trust, Inc. | 36,564 | 989,787 | |
Getty Realty Corp. | 16,309 | 483,888 | |
NETSTREIT Corp. | 22,962 | 518,941 | |
Spirit Realty Capital, Inc. | 56,764 | 2,694,019 | |
8,491,504 | |||
REITs - Storage - 7.8% | |||
CubeSmart | 93,796 | 4,759,209 | |
Extra Space Storage, Inc. | 61,783 | 12,244,773 | |
Iron Mountain, Inc. | 133,667 | 6,137,989 | |
Life Storage, Inc. | 36,282 | 4,896,256 | |
National Storage Affiliates Trust | 40,707 | 2,505,923 | |
Public Storage | 72,576 | 26,020,673 | |
56,564,823 | |||
REITs - Warehouse/Industrial - 10.1% | |||
Americold Realty Trust | 121,684 | 3,461,910 | |
EastGroup Properties, Inc. | 19,219 | 3,842,070 | |
First Industrial Realty Trust, Inc. | 59,093 | 3,591,673 | |
Industrial Logistics Properties Trust | 29,633 | 679,485 | |
Monmouth Real Estate Investment Corp. Class A | 38,841 | 815,273 | |
Plymouth Industrial REIT, Inc. | 14,874 | 427,628 | |
Prologis (REIT), Inc. | 341,699 | 53,585,232 | |
Rexford Industrial Realty, Inc. | 66,298 | 4,851,025 | |
Terreno Realty Corp. | 33,845 | 2,530,591 | |
73,784,887 | |||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 688,798,993 | ||
Real Estate Management & Development - 5.3% | |||
Diversified Real Estate Activities - 0.1% | |||
The RMR Group, Inc. | 6,264 | 200,511 | |
The St. Joe Co. | 16,307 | 791,053 | |
991,564 | |||
Real Estate Development - 0.3% | |||
Forestar Group, Inc. (a) | 9,758 | 194,672 | |
Howard Hughes Corp. (a) | 18,700 | 1,800,997 | |
1,995,669 | |||
Real Estate Operating Companies - 0.2% | |||
FRP Holdings, Inc. (a) | 1,959 | 110,644 | |
Kennedy-Wilson Holdings, Inc. | 50,799 | 1,140,946 | |
1,251,590 | |||
Real Estate Services - 4.7% | |||
CBRE Group, Inc. | 155,011 | 15,708,815 | |
Cushman & Wakefield PLC (a) | 63,028 | 1,322,958 | |
Douglas Elliman, Inc. (a) | 29,162 | 226,297 | |
eXp World Holdings, Inc. | 34,189 | 927,889 | |
Jones Lang LaSalle, Inc. (a) | 23,379 | 5,863,219 | |
Marcus & Millichap, Inc. (a) | 10,673 | 499,603 | |
Newmark Group, Inc. | 81,907 | 1,253,996 | |
Opendoor Technologies, Inc. (a)(b) | 60,720 | 602,950 | |
RE/MAX Holdings, Inc. | 8,039 | 239,241 | |
Realogy Holdings Corp. (a) | 55,085 | 908,903 | |
Redfin Corp. (a)(b) | 47,873 | 1,415,605 | |
Zillow Group, Inc.: | |||
Class A (a) | 26,583 | 1,325,428 | |
Class C (a)(b) | 80,367 | 4,056,926 | |
34,351,830 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 38,590,653 | ||
TOTAL COMMON STOCKS | |||
(Cost $541,398,338) | 727,389,646 | ||
Money Market Funds - 2.5% | |||
Fidelity Cash Central Fund 0.08% (c) | 11,750,567 | 11,752,918 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 6,195,955 | 6,196,575 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $17,949,493) | 17,949,493 | ||
TOTAL INVESTMENT IN SECURITIES - 102.2% | |||
(Cost $559,347,831) | 745,339,139 | ||
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (15,943,272) | ||
NET ASSETS - 100% | $729,395,867 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 25 | March 2022 | $1,037,500 | $(36,790) | $(36,790) |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 4 | March 2022 | 1,051,880 | 22,257 | 22,257 |
TOTAL FUTURES CONTRACTS | $(14,533) |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
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 are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $-- | $45,543,567 | $33,790,649 | $467 | $-- | $-- | $11,752,918 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | 11,396,932 | 40,054,129 | 45,254,486 | 5,149 | -- | -- | 6,196,575 | 0.0% |
Total | $11,396,932 | $ 85,597,696 | $ 79,045,135 | $5,616 | $-- | $-- | $17,949,493 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Common Stocks | $727,389,646 | $727,389,646 | $-- | $-- |
Money Market Funds | 17,949,493 | 17,949,493 | -- | -- |
Total Investments in Securities: | $745,339,139 | $745,339,139 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $22,257 | $22,257 | $-- | $-- |
Total Assets | $22,257 | $22,257 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(36,790) | $(36,790) | $-- | $-- |
Total Liabilities | $(36,790) | $(36,790) | $-- | $-- |
Total Derivative Instruments: | $(14,533) | $(14,533) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $22,257 | $(36,790) |
Total Equity Risk | 22,257 | (36,790) |
Total Value of Derivatives | $22,257 | $(36,790) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $6,486,565) — See accompanying schedule: Unaffiliated issuers (cost $541,398,338) | $727,389,646 | |
Fidelity Central Funds (cost $17,949,493) | 17,949,493 | |
Total Investment in Securities (cost $559,347,831) | $745,339,139 | |
Segregated cash with brokers for derivative instruments | 107,500 | |
Receivable for investments sold | 367,360 | |
Receivable for fund shares sold | 1,815,544 | |
Dividends receivable | 220,028 | |
Distributions receivable from Fidelity Central Funds | 789 | |
Receivable for daily variation margin on futures contracts | 31,215 | |
Prepaid expenses | 629 | |
Receivable from investment adviser for expense reductions | 19,858 | |
Total assets | 747,902,062 | |
Liabilities | ||
Payable for investments purchased | $11,942,733 | |
Payable for fund shares redeemed | 291,987 | |
Accrued management fee | 42,763 | |
Other payables and accrued expenses | 31,719 | |
Collateral on securities loaned | 6,196,993 | |
Total liabilities | 18,506,195 | |
Net Assets | $729,395,867 | |
Net Assets consist of: | ||
Paid in capital | $547,457,775 | |
Total accumulated earnings (loss) | 181,938,092 | |
Net Assets | $729,395,867 | |
Net Asset Value, offering price and redemption price per share ($729,395,867 ÷ 57,323,422 shares) | $12.72 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $6,957,121 | |
Non-Cash dividends | 533,330 | |
Income from Fidelity Central Funds (including $5,149 from security lending) | 5,616 | |
Total income | 7,496,067 | |
Expenses | ||
Management fee | $261,762 | |
Custodian fees and expenses | 5,901 | |
Independent trustees' fees and expenses | 1,259 | |
Registration fees | 21,767 | |
Audit | 26,434 | |
Legal | 502 | |
Interest | 509 | |
Miscellaneous | 1,513 | |
Total expenses before reductions | 319,647 | |
Expense reductions | (56,021) | |
Total expenses after reductions | 263,626 | |
Net investment income (loss) | 7,232,441 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 21,538,991 | |
Futures contracts | (7,370) | |
Total net realized gain (loss) | 21,531,621 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (13,992,172) | |
Futures contracts | (31,465) | |
Total change in net unrealized appreciation (depreciation) | (14,023,637) | |
Net gain (loss) | 7,507,984 | |
Net increase (decrease) in net assets resulting from operations | $14,740,425 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $7,232,441 | $17,613,666 |
Net realized gain (loss) | 21,531,621 | 30,097,842 |
Change in net unrealized appreciation (depreciation) | (14,023,637) | 189,818,562 |
Net increase (decrease) in net assets resulting from operations | 14,740,425 | 237,530,070 |
Distributions to shareholders | (38,757,231) | (16,700,258) |
Share transactions | ||
Proceeds from sales of shares | 48,206,404 | 144,689,121 |
Reinvestment of distributions | 38,748,944 | 16,698,031 |
Cost of shares redeemed | (81,368,369) | (207,219,025) |
Net increase (decrease) in net assets resulting from share transactions | 5,586,979 | (45,831,873) |
Total increase (decrease) in net assets | (18,429,827) | 174,997,939 |
Net Assets | ||
Beginning of period | 747,825,694 | 572,827,755 |
End of period | $729,395,867 | $747,825,694 |
Other Information | ||
Shares | ||
Sold | 3,766,754 | 14,641,188 |
Issued in reinvestment of distributions | 2,912,448 | 1,654,297 |
Redeemed | (6,149,365) | (18,761,090) |
Net increase (decrease) | 529,837 | (2,465,605) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Real Estate Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.17 | $9.67 | $11.88 | $11.11 | $11.08 | $12.05 |
Income from Investment Operations | ||||||
Net investment income (loss)A,B | .13 | .28 | .36 | .37 | .33 | .28 |
Net realized and unrealized gain (loss) | .11 | 3.48 | (2.20) | .79 | .08 | (.96) |
Total from investment operations | .24 | 3.76 | (1.84) | 1.16 | .41 | (.68) |
Distributions from net investment income | (.21) | (.26) | (.30) | (.37) | (.33) | (.24) |
Distributions from net realized gain | (.48) | – | (.07) | (.02) | (.05) | (.05) |
Total distributions | (.69) | (.26) | (.37) | (.39) | (.38) | (.29) |
Net asset value, end of period | $12.72 | $13.17 | $9.67 | $11.88 | $11.11 | $11.08 |
Total ReturnC,D | 1.68% | 39.72% | (16.04)% | 10.79% | 3.87% | (5.60)% |
Ratios to Average Net AssetsB,E,F | ||||||
Expenses before reductions | .09%G | .09% | .16% | .15% | .15% | .15% |
Expenses net of fee waivers, if any | .07%G | .07% | .07% | .07% | .07% | .09% |
Expenses net of all reductions | .07%G | .07% | .07% | .07% | .07% | .09% |
Net investment income (loss) | 1.93%G | 2.58% | 3.52% | 3.31% | 3.11% | 2.55% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $729,396 | $747,826 | $572,828 | $104,696 | $95,437 | $98,222 |
Portfolio turnover rateH | 18%G | 53% | 82% | 9% | 8% | 6% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Annualized
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $198,388,877 |
Gross unrealized depreciation | (13,010,195) |
Net unrealized appreciation (depreciation) | $185,378,682 |
Tax cost | $559,945,924 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(890,875) |
Long-term | (11,418,962) |
Total capital loss carryforward | $(12,309,837) |
Due to large redemptions in a prior period, $12,309,837 of capital losses that will be available to offset future capital gains of the Fund will be limited to approximately $70,663 per year.
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI Real Estate Index Fund | 66,656,528 | 83,717,558 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .07% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI Real Estate Index Fund | Borrower | $5,821,100 | .32% | $509 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI Real Estate Index Fund | $590 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI Real Estate Index Fund | $503 | $– | $– |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through November 30, 2022. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $56,021.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Small-Mid Cap Fund | |
Fidelity SAI Real Estate Index Fund | 13% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI Real Estate Index Fund | .07% | |||
Actual | $1,000.00 | $1,016.80 | $.36 | |
Hypothetical-C | $1,000.00 | $1,024.85 | $.36 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Real Estate 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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 and peer group for the most recent one- and three-year periods. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.The Board considered that effective July 1, 2016, the fund's management fee rate was reduced from 0.12% to 0.07%. The Board considered that the chart below reflects the fund's lower management fee rate for 2016, as if the lower fee rate were in effect for the entire period.SV8-SANN-0422
1.9870988.105
Fidelity® SAI U.S. Momentum Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Stocks as of January 31, 2022
% of fund's net assets | |
Microsoft Corp. | 5.1 |
NVIDIA Corp. | 4.9 |
Accenture PLC Class A | 2.7 |
Costco Wholesale Corp. | 2.6 |
Alphabet, Inc. Class A | 2.5 |
17.8 |
Top Five Market Sectors as of January 31, 2022
% of fund's net assets | |
Information Technology | 33.4 |
Financials | 19.0 |
Health Care | 14.6 |
Consumer Discretionary | 8.2 |
Communication Services | 6.4 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks and Equity Futures | 100.1% | |
Short-Term Investments and Net Other Assets (Liabilities)** | (0.1)% |
* Foreign investments - 5.5%
** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.2% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 6.4% | |||
Entertainment - 0.2% | |||
AMC Entertainment Holdings, Inc. Class A (a)(b) | 338,984 | $5,444,083 | |
Interactive Media & Services - 5.9% | |||
Alphabet, Inc.: | |||
Class A (a) | 29,520 | 79,883,186 | |
Class C (a) | 27,724 | 75,242,104 | |
Meta Platforms, Inc. Class A (a) | 75,990 | 23,804,627 | |
Snap, Inc. Class A (a) | 189,336 | 6,160,993 | |
185,090,910 | |||
Media - 0.3% | |||
Charter Communications, Inc. Class A (a) | 6,752 | 4,006,232 | |
Interpublic Group of Companies, Inc. | 117,801 | 4,186,648 | |
Liberty Media Corp. Liberty Formula One Group Series C (a) | 17,255 | 1,039,269 | |
News Corp. Class A | 23,585 | 524,530 | |
9,756,679 | |||
TOTAL COMMUNICATION SERVICES | 200,291,672 | ||
CONSUMER DISCRETIONARY - 8.2% | |||
Auto Components - 0.1% | |||
Aptiv PLC (a) | 13,822 | 1,887,809 | |
Automobiles - 3.4% | |||
Ford Motor Co. | 1,172,505 | 23,801,852 | |
General Motors Co. (a) | 64,666 | 3,409,838 | |
Tesla, Inc. (a) | 82,745 | 77,508,896 | |
104,720,586 | |||
Distributors - 0.2% | |||
Pool Corp. | 12,742 | 6,068,378 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Chipotle Mexican Grill, Inc. (a) | 1,399 | 2,078,326 | |
Domino's Pizza, Inc. | 7,514 | 3,416,240 | |
MGM Resorts International | 32,158 | 1,373,790 | |
Starbucks Corp. | 66,952 | 6,582,721 | |
13,451,077 | |||
Household Durables - 0.1% | |||
Garmin Ltd. | 33,038 | 4,110,588 | |
Internet & Direct Marketing Retail - 0.1% | |||
Doordash, Inc. (a) | 13,371 | 1,517,475 | |
eBay, Inc. | 39,335 | 2,362,853 | |
Etsy, Inc. (a) | 5,578 | 876,192 | |
4,756,520 | |||
Multiline Retail - 1.1% | |||
Dollar Tree, Inc. (a) | 19,132 | 2,510,501 | |
Target Corp. | 141,339 | 31,155,356 | |
33,665,857 | |||
Specialty Retail - 2.4% | |||
AutoZone, Inc. (a) | 4,835 | 9,604,002 | |
Bath & Body Works, Inc. | 97,657 | 5,475,628 | |
Lowe's Companies, Inc. | 61,460 | 14,587,531 | |
O'Reilly Automotive, Inc. (a) | 6,356 | 4,142,523 | |
The Home Depot, Inc. | 100,326 | 36,817,635 | |
Tractor Supply Co. | 22,845 | 4,987,292 | |
75,614,611 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
lululemon athletica, Inc. (a) | 4,665 | 1,556,990 | |
NIKE, Inc. Class B | 72,681 | 10,761,876 | |
12,318,866 | |||
TOTAL CONSUMER DISCRETIONARY | 256,594,292 | ||
CONSUMER STAPLES - 3.6% | |||
Food & Staples Retailing - 2.7% | |||
Costco Wholesale Corp. | 159,562 | 80,599,553 | |
Kroger Co. | 72,528 | 3,161,496 | |
83,761,049 | |||
Food Products - 0.1% | |||
Bunge Ltd. | 30,145 | 2,980,135 | |
Household Products - 0.6% | |||
Procter & Gamble Co. | 112,350 | 18,026,558 | |
Personal Products - 0.2% | |||
Estee Lauder Companies, Inc. Class A | 25,711 | 8,016,433 | |
TOTAL CONSUMER STAPLES | 112,784,175 | ||
ENERGY - 3.3% | |||
Energy Equipment & Services - 0.1% | |||
Schlumberger Ltd. | 56,372 | 2,202,454 | |
Oil, Gas & Consumable Fuels - 3.2% | |||
Cheniere Energy, Inc. | 93,387 | 10,450,005 | |
ConocoPhillips Co. | 256,989 | 22,774,365 | |
Devon Energy Corp. | 278,659 | 14,091,786 | |
Diamondback Energy, Inc. | 22,315 | 2,815,260 | |
EOG Resources, Inc. | 87,709 | 9,777,799 | |
Exxon Mobil Corp. | 323,044 | 24,538,422 | |
Hess Corp. | 11,213 | 1,034,848 | |
Marathon Petroleum Corp. | 31,035 | 2,226,761 | |
Occidental Petroleum Corp. | 115,330 | 4,344,481 | |
ONEOK, Inc. | 21,934 | 1,330,955 | |
Pioneer Natural Resources Co. | 32,104 | 7,027,245 | |
100,411,927 | |||
TOTAL ENERGY | 102,614,381 | ||
FINANCIALS - 19.0% | |||
Banks - 6.3% | |||
Bank of America Corp. | 1,042,826 | 48,115,992 | |
Citizens Financial Group, Inc. | 17,227 | 886,674 | |
Fifth Third Bancorp | 51,973 | 2,319,555 | |
First Republic Bank | 38,032 | 6,601,975 | |
JPMorgan Chase & Co. | 283,103 | 42,069,106 | |
PNC Financial Services Group, Inc. | 72,733 | 14,982,271 | |
Regions Financial Corp. | 35,580 | 816,205 | |
Signature Bank | 13,727 | 4,181,656 | |
SVB Financial Group (a) | 19,333 | 11,288,539 | |
U.S. Bancorp | 60,773 | 3,536,381 | |
Wells Fargo & Co. | 1,135,808 | 61,106,470 | |
195,904,824 | |||
Capital Markets - 9.0% | |||
Ameriprise Financial, Inc. | 14,575 | 4,435,318 | |
BlackRock, Inc. Class A | 30,320 | 24,951,541 | |
Blackstone, Inc. | 392,973 | 51,860,647 | |
Carlyle Group LP | 61,459 | 3,137,482 | |
Cboe Global Markets, Inc. | 17,031 | 2,018,684 | |
Charles Schwab Corp. | 447,276 | 39,226,105 | |
Coinbase Global, Inc. (a)(b) | 1,776 | 337,706 | |
FactSet Research Systems, Inc. | 8,557 | 3,610,113 | |
Goldman Sachs Group, Inc. | 98,370 | 34,889,872 | |
Invesco Ltd. | 53,629 | 1,215,233 | |
KKR & Co. LP | 204,991 | 14,587,160 | |
Moody's Corp. | 9,337 | 3,202,591 | |
Morgan Stanley | 435,174 | 44,622,742 | |
MSCI, Inc. | 34,213 | 18,342,274 | |
NASDAQ, Inc. | 45,665 | 8,183,625 | |
Raymond James Financial, Inc. | 57,815 | 6,120,874 | |
S&P Global, Inc. | 20,027 | 8,315,611 | |
T. Rowe Price Group, Inc. | 61,610 | 9,514,432 | |
Tradeweb Markets, Inc. Class A | 10,126 | 858,381 | |
279,430,391 | |||
Consumer Finance - 1.0% | |||
Ally Financial, Inc. | 58,254 | 2,779,881 | |
American Express Co. | 44,172 | 7,943,009 | |
Capital One Financial Corp. | 91,365 | 13,405,986 | |
Discover Financial Services | 47,904 | 5,544,888 | |
Upstart Holdings, Inc. (a)(b) | 3,741 | 407,806 | |
30,081,570 | |||
Diversified Financial Services - 1.2% | |||
Apollo Global Management, Inc. | 21,089 | 1,476,230 | |
Berkshire Hathaway, Inc. Class B (a) | 116,702 | 36,530,060 | |
38,006,290 | |||
Insurance - 1.5% | |||
American Financial Group, Inc. | 19,625 | 2,556,745 | |
American International Group, Inc. | 42,376 | 2,447,214 | |
Aon PLC | 35,205 | 9,732,070 | |
Arthur J. Gallagher & Co. | 39,822 | 6,289,487 | |
Assurant, Inc. | 3,419 | 521,432 | |
Brown & Brown, Inc. | 36,864 | 2,443,346 | |
Hartford Financial Services Group, Inc. | 31,619 | 2,272,458 | |
Marsh & McLennan Companies, Inc. | 140,492 | 21,585,191 | |
47,847,943 | |||
TOTAL FINANCIALS | 591,271,018 | ||
HEALTH CARE - 14.6% | |||
Biotechnology - 1.1% | |||
Horizon Therapeutics PLC (a) | 15,989 | 1,492,253 | |
Moderna, Inc. (a) | 198,594 | 33,627,922 | |
35,120,175 | |||
Health Care Equipment & Supplies - 1.7% | |||
Align Technology, Inc. (a) | 11,048 | 5,468,318 | |
DexCom, Inc. (a) | 16,092 | 6,927,284 | |
Edwards Lifesciences Corp. (a) | 130,986 | 14,303,671 | |
IDEXX Laboratories, Inc. (a) | 22,026 | 11,173,790 | |
Intuitive Surgical, Inc. (a) | 37,840 | 10,753,371 | |
ResMed, Inc. | 19,021 | 4,348,201 | |
52,974,635 | |||
Health Care Providers & Services - 0.9% | |||
CVS Health Corp. | 61,061 | 6,503,607 | |
HCA Holdings, Inc. | 69,924 | 16,785,256 | |
Laboratory Corp. of America Holdings (a) | 3,352 | 909,599 | |
McKesson Corp. | 7,018 | 1,801,661 | |
Quest Diagnostics, Inc. | 6,118 | 826,052 | |
26,826,175 | |||
Life Sciences Tools & Services - 6.2% | |||
Agilent Technologies, Inc. | 98,308 | 13,696,271 | |
Avantor, Inc. (a) | 171,453 | 6,400,340 | |
Bio-Rad Laboratories, Inc. Class A (a) | 4,784 | 2,869,108 | |
Bio-Techne Corp. | 15,105 | 5,685,673 | |
Charles River Laboratories International, Inc. (a) | 17,953 | 5,920,181 | |
Danaher Corp. | 208,373 | 59,550,920 | |
IQVIA Holdings, Inc. (a) | 45,728 | 11,198,787 | |
Mettler-Toledo International, Inc. (a) | 5,957 | 8,772,755 | |
PerkinElmer, Inc. | 37,299 | 6,421,769 | |
Thermo Fisher Scientific, Inc. | 88,630 | 51,520,619 | |
Waters Corp. (a) | 23,934 | 7,661,752 | |
West Pharmaceutical Services, Inc. | 31,496 | 12,384,857 | |
192,083,032 | |||
Pharmaceuticals - 4.7% | |||
Catalent, Inc. (a) | 8,512 | 884,652 | |
Eli Lilly & Co. | 291,563 | 71,546,645 | |
Pfizer, Inc. | 1,134,486 | 59,776,067 | |
Zoetis, Inc. Class A | 77,102 | 15,404,209 | |
147,611,573 | |||
TOTAL HEALTH CARE | 454,615,590 | ||
INDUSTRIALS - 6.0% | |||
Aerospace & Defense - 0.1% | |||
Textron, Inc. | 59,659 | 4,060,392 | |
Air Freight & Logistics - 0.1% | |||
Expeditors International of Washington, Inc. | 30,928 | 3,540,637 | |
Building Products - 1.2% | |||
A.O. Smith Corp. | 5,869 | 448,509 | |
Carrier Global Corp. | 253,442 | 12,084,115 | |
Johnson Controls International PLC | 256,636 | 18,649,738 | |
Trane Technologies PLC | 31,968 | 5,533,661 | |
36,716,023 | |||
Commercial Services & Supplies - 1.2% | |||
Copart, Inc. (a) | 10,287 | 1,329,595 | |
Republic Services, Inc. | 82,202 | 10,493,907 | |
Waste Connections, Inc. (United States) | 15,361 | 1,915,517 | |
Waste Management, Inc. | 149,357 | 22,469,267 | |
36,208,286 | |||
Electrical Equipment - 0.9% | |||
Eaton Corp. PLC | 91,470 | 14,491,592 | |
Emerson Electric Co. | 34,904 | 3,209,423 | |
Generac Holdings, Inc. (a) | 24,867 | 7,021,943 | |
Plug Power, Inc. (a)(b) | 25,663 | 561,250 | |
Rockwell Automation, Inc. | 4,620 | 1,336,196 | |
26,620,404 | |||
Industrial Conglomerates - 0.1% | |||
General Electric Co. | 44,805 | 4,233,176 | |
Machinery - 0.7% | |||
Deere & Co. | 32,682 | 12,301,505 | |
Dover Corp. | 17,834 | 3,030,175 | |
Otis Worldwide Corp. | 22,299 | 1,905,004 | |
Pentair PLC | 23,991 | 1,528,227 | |
Xylem, Inc. | 33,033 | 3,469,126 | |
22,234,037 | |||
Professional Services - 1.0% | |||
Equifax, Inc. | 38,043 | 9,121,190 | |
IHS Markit Ltd. | 125,717 | 14,682,488 | |
Jacobs Engineering Group, Inc. | 7,511 | 977,782 | |
Robert Half International, Inc. | 44,452 | 5,034,634 | |
Verisk Analytics, Inc. | 12,782 | 2,506,934 | |
32,323,028 | |||
Road & Rail - 0.5% | |||
AMERCO | 3,354 | 2,042,418 | |
J.B. Hunt Transport Services, Inc. | 4,029 | 775,744 | |
Knight-Swift Transportation Holdings, Inc. Class A | 7,830 | 443,021 | |
Lyft, Inc. (a) | 15,089 | 581,228 | |
Old Dominion Freight Lines, Inc. | 38,888 | 11,741,454 | |
15,583,865 | |||
Trading Companies & Distributors - 0.2% | |||
Fastenal Co. | 24,284 | 1,376,417 | |
United Rentals, Inc. (a) | 13,605 | 4,355,233 | |
5,731,650 | |||
TOTAL INDUSTRIALS | 187,251,498 | ||
INFORMATION TECHNOLOGY - 33.4% | |||
Communications Equipment - 1.4% | |||
Arista Networks, Inc. (a) | 42,342 | 5,263,534 | |
Cisco Systems, Inc. | 436,282 | 24,287,819 | |
F5, Inc. (a) | 5,407 | 1,122,601 | |
Juniper Networks, Inc. | 33,167 | 1,154,875 | |
Motorola Solutions, Inc. | 58,468 | 13,561,068 | |
45,389,897 | |||
Electronic Equipment & Components - 0.9% | |||
Amphenol Corp. Class A | 26,780 | 2,131,420 | |
CDW Corp. | 15,423 | 2,915,718 | |
Keysight Technologies, Inc. (a) | 65,527 | 11,062,268 | |
Trimble, Inc. (a) | 45,479 | 3,281,765 | |
Zebra Technologies Corp. Class A (a) | 16,243 | 8,269,636 | |
27,660,807 | |||
IT Services - 4.8% | |||
Accenture PLC Class A | 234,535 | 82,926,885 | |
Affirm Holdings, Inc. | 25,988 | 1,665,051 | |
Automatic Data Processing, Inc. | 43,924 | 9,055,811 | |
Cloudflare, Inc. (a)(b) | 145,785 | 14,053,674 | |
EPAM Systems, Inc. (a) | 28,940 | 13,779,492 | |
Gartner, Inc. (a) | 45,876 | 13,482,498 | |
MongoDB, Inc. Class A (a) | 10,813 | 4,380,454 | |
Paychex, Inc. | 71,444 | 8,413,245 | |
Snowflake Computing, Inc. (a) | 12,811 | 3,534,555 | |
151,291,665 | |||
Semiconductors & Semiconductor Equipment - 8.9% | |||
Advanced Micro Devices, Inc. (a) | 143,267 | 16,368,255 | |
Applied Materials, Inc. | 267,702 | 36,991,062 | |
Broadcom, Inc. | 23,775 | 13,929,297 | |
Enphase Energy, Inc. (a) | 5,452 | 765,842 | |
Entegris, Inc. | 13,553 | 1,624,192 | |
KLA Corp. | 33,379 | 12,993,443 | |
Marvell Technology, Inc. | 146,238 | 10,441,393 | |
Monolithic Power Systems, Inc. | 12,495 | 5,034,610 | |
NVIDIA Corp. | 618,316 | 151,400,856 | |
NXP Semiconductors NV | 33,289 | 6,838,892 | |
onsemi (a) | 74,966 | 4,422,994 | |
Teradyne, Inc. | 4,739 | 556,501 | |
Texas Instruments, Inc. | 41,114 | 7,379,552 | |
Xilinx, Inc. | 46,521 | 9,004,140 | |
277,751,029 | |||
Software - 15.1% | |||
Adobe, Inc. (a) | 111,777 | 59,722,451 | |
Asana, Inc. (a)(b) | 19,585 | 1,027,821 | |
Bentley Systems, Inc. Class B (b) | 38,355 | 1,540,720 | |
Bill.Com Holdings, Inc. (a) | 21,030 | 3,958,056 | |
Cadence Design Systems, Inc. (a) | 57,580 | 8,760,221 | |
Crowdstrike Holdings, Inc. (a) | 52,675 | 9,515,212 | |
Datadog, Inc. Class A (a) | 76,678 | 11,203,423 | |
Dynatrace, Inc. (a) | 47,476 | 2,604,533 | |
Fortinet, Inc. (a) | 84,740 | 25,188,118 | |
HubSpot, Inc. (a) | 15,963 | 7,802,714 | |
Intuit, Inc. | 124,563 | 69,161,114 | |
Microsoft Corp. | 510,963 | 158,899,270 | |
Oracle Corp. | 760,929 | 61,756,998 | |
Palantir Technologies, Inc. (a)(b) | 219,947 | 3,015,473 | |
Palo Alto Networks, Inc. (a) | 33,787 | 17,481,394 | |
Paycom Software, Inc. (a) | 2,487 | 833,891 | |
ServiceNow, Inc. (a) | 7,787 | 4,561,469 | |
Synopsys, Inc. (a) | 41,238 | 12,804,399 | |
Tyler Technologies, Inc. (a) | 4,113 | 1,948,739 | |
Unity Software, Inc. (a)(b) | 9,412 | 989,672 | |
VMware, Inc. Class A (a) | 5,364 | 689,167 | |
Zscaler, Inc. (a) | 23,393 | 6,014,574 | |
469,479,429 | |||
Technology Hardware, Storage & Peripherals - 2.3% | |||
Apple, Inc. | 317,974 | 55,575,496 | |
Dell Technologies, Inc. (a) | 48,296 | 2,743,696 | |
HP, Inc. | 49,062 | 1,802,047 | |
NetApp, Inc. | 62,860 | 5,438,019 | |
Seagate Technology Holdings PLC | 45,151 | 4,837,930 | |
70,397,188 | |||
TOTAL INFORMATION TECHNOLOGY | 1,041,970,015 | ||
MATERIALS - 1.9% | |||
Chemicals - 0.8% | |||
Albemarle Corp. U.S. | 49,035 | 10,823,986 | |
CF Industries Holdings, Inc. | 40,043 | 2,757,761 | |
Sherwin-Williams Co. | 26,207 | 7,508,568 | |
The Mosaic Co. | 64,408 | 2,573,100 | |
23,663,415 | |||
Construction Materials - 0.1% | |||
Martin Marietta Materials, Inc. | 4,932 | 1,919,140 | |
Containers & Packaging - 0.1% | |||
Avery Dennison Corp. | 15,998 | 3,286,309 | |
Sealed Air Corp. | 14,427 | 979,882 | |
4,266,191 | |||
Metals & Mining - 0.9% | |||
Freeport-McMoRan, Inc. | 230,978 | 8,597,001 | |
Nucor Corp. | 146,924 | 14,898,094 | |
Steel Dynamics, Inc. | 74,701 | 4,147,400 | |
27,642,495 | |||
TOTAL MATERIALS | 57,491,241 | ||
REAL ESTATE - 2.7% | |||
Equity Real Estate Investment Trusts (REITs) - 2.3% | |||
Camden Property Trust (SBI) | 38,976 | 6,239,668 | |
Duke Realty Corp. | 64,606 | 3,732,935 | |
Equity Residential (SBI) | 19,460 | 1,726,686 | |
Essex Property Trust, Inc. | 3,080 | 1,024,100 | |
Extra Space Storage, Inc. | 60,963 | 12,082,257 | |
Invitation Homes, Inc. | 28,323 | 1,189,000 | |
Iron Mountain, Inc. | 57,358 | 2,633,879 | |
Mid-America Apartment Communities, Inc. | 41,419 | 8,560,479 | |
Prologis (REIT), Inc. | 82,357 | 12,915,225 | |
Public Storage | 50,046 | 17,942,992 | |
SBA Communications Corp. Class A | 4,781 | 1,555,929 | |
Sun Communities, Inc. | 5,126 | 968,609 | |
UDR, Inc. | 14,717 | 836,514 | |
71,408,273 | |||
Real Estate Management & Development - 0.4% | |||
CBRE Group, Inc. | 116,006 | 11,756,048 | |
TOTAL REAL ESTATE | 83,164,321 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Exelon Corp. | 45,767 | 2,652,198 | |
TOTAL COMMON STOCKS | |||
(Cost $2,724,046,234) | 3,090,700,401 | ||
Money Market Funds - 6.0% | |||
Fidelity Cash Central Fund 0.08% (c) | 172,298,819 | 172,333,278 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 14,917,918 | 14,919,410 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $187,252,688) | 187,252,688 | ||
TOTAL INVESTMENT IN SECURITIES - 105.2% | |||
(Cost $2,911,298,922) | 3,277,953,089 | ||
NET OTHER ASSETS (LIABILITIES) - (5.2)% | (160,596,287) | ||
NET ASSETS - 100% | $3,117,356,802 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 119 | March 2022 | $26,800,288 | $(65,898) | $(65,898) |
The notional amount 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) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $66,517,149 | $384,316,866 | $278,500,737 | $5,673 | $-- | $-- | $172,333,278 | 0.3% |
Fidelity Securities Lending Cash Central Fund 0.08% | 20,093,260 | 162,961,099 | 168,134,949 | 12,526 | -- | -- | 14,919,410 | 0.0% |
Total | $86,610,409 | $ 547,277,965 | $ 446,635,686 | $18,199 | $-- | $-- | $187,252,688 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $200,291,672 | $200,291,672 | $-- | $-- |
Consumer Discretionary | 256,594,292 | 256,594,292 | -- | -- |
Consumer Staples | 112,784,175 | 112,784,175 | -- | -- |
Energy | 102,614,381 | 102,614,381 | -- | -- |
Financials | 591,271,018 | 591,271,018 | -- | -- |
Health Care | 454,615,590 | 454,615,590 | -- | -- |
Industrials | 187,251,498 | 187,251,498 | -- | -- |
Information Technology | 1,041,970,015 | 1,041,970,015 | -- | -- |
Materials | 57,491,241 | 57,491,241 | -- | -- |
Real Estate | 83,164,321 | 83,164,321 | -- | -- |
Utilities | 2,652,198 | 2,652,198 | -- | -- |
Money Market Funds | 187,252,688 | 187,252,688 | -- | -- |
Total Investments in Securities: | $3,277,953,089 | $3,277,953,089 | $-- | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(65,898) | $(65,898) | $-- | $-- |
Total Liabilities | $(65,898) | $(65,898) | $-- | $-- |
Total Derivative Instruments: | $(65,898) | $(65,898) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $0 | $(65,898) |
Total Equity Risk | 0 | (65,898) |
Total Value of Derivatives | $0 | $(65,898) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $15,941,394) — See accompanying schedule: Unaffiliated issuers (cost $2,724,046,234) | $3,090,700,401 | |
Fidelity Central Funds (cost $187,252,688) | 187,252,688 | |
Total Investment in Securities (cost $2,911,298,922) | $3,277,953,089 | |
Segregated cash with brokers for derivative instruments | 1,198,800 | |
Receivable for investments sold | 318,306,459 | |
Receivable for fund shares sold | 15,480,385 | |
Dividends receivable | 1,607,907 | |
Distributions receivable from Fidelity Central Funds | 4,152 | |
Receivable for daily variation margin on futures contracts | 316,677 | |
Prepaid expenses | 2,144 | |
Total assets | 3,614,869,613 | |
Liabilities | ||
Payable for investments purchased | $479,936,852 | |
Payable for fund shares redeemed | 2,358,405 | |
Accrued management fee | 248,176 | |
Other payables and accrued expenses | 40,353 | |
Collateral on securities loaned | 14,929,025 | |
Total liabilities | 497,512,811 | |
Net Assets | $3,117,356,802 | |
Net Assets consist of: | ||
Paid in capital | $2,710,861,890 | |
Total accumulated earnings (loss) | 406,494,912 | |
Net Assets | $3,117,356,802 | |
Net Asset Value, offering price and redemption price per share ($3,117,356,802 ÷ 202,803,367 shares) | $15.37 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $15,396,565 | |
Income from Fidelity Central Funds (including $12,526 from security lending) | 18,199 | |
Total income | 15,414,764 | |
Expenses | ||
Management fee | $1,528,215 | |
Custodian fees and expenses | 27,333 | |
Independent trustees' fees and expenses | 4,880 | |
Registration fees | 29,499 | |
Audit | 27,249 | |
Legal | 1,987 | |
Interest | 173 | |
Miscellaneous | 5,175 | |
Total expenses before reductions | 1,624,511 | |
Expense reductions | (25) | |
Total expenses after reductions | 1,624,486 | |
Net investment income (loss) | 13,790,278 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 132,646,219 | |
Futures contracts | 1,101,812 | |
Total net realized gain (loss) | 133,748,031 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (199,071,837) | |
Futures contracts | (479,542) | |
Total change in net unrealized appreciation (depreciation) | (199,551,379) | |
Net gain (loss) | (65,803,348) | |
Net increase (decrease) in net assets resulting from operations | $(52,013,070) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $13,790,278 | $13,038,221 |
Net realized gain (loss) | 133,748,031 | 482,054,383 |
Change in net unrealized appreciation (depreciation) | (199,551,379) | 138,167,398 |
Net increase (decrease) in net assets resulting from operations | (52,013,070) | 633,260,002 |
Distributions to shareholders | (545,772,044) | (185,281,787) |
Share transactions | ||
Proceeds from sales of shares | 462,815,823 | 1,215,829,630 |
Reinvestment of distributions | 528,193,833 | 177,412,411 |
Cost of shares redeemed | (184,727,299) | (730,747,824) |
Net increase (decrease) in net assets resulting from share transactions | 806,282,357 | 662,494,217 |
Total increase (decrease) in net assets | 208,497,243 | 1,110,472,432 |
Net Assets | ||
Beginning of period | 2,908,859,559 | 1,798,387,127 |
End of period | $3,117,356,802 | $2,908,859,559 |
Other Information | ||
Shares | ||
Sold | 29,177,130 | 71,831,071 |
Issued in reinvestment of distributions | 31,671,872 | 11,959,109 |
Redeemed | (10,768,824) | (45,349,737) |
Net increase (decrease) | 50,080,178 | 38,440,443 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Momentum Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | 2017 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $19.05 | $15.74 | $13.77 | $13.31 | $10.98 | $10.00 |
Income from Investment Operations | ||||||
Net investment income (loss)B,C | .08 | .10 | .19 | .20 | .15 | .07 |
Net realized and unrealized gain (loss) | (.28) | 4.66 | 2.07 | .71D | 2.29 | .91 |
Total from investment operations | (.20) | 4.76 | 2.26 | .91 | 2.44 | .98 |
Distributions from net investment income | (.10) | (.18) | (.22) | (.12) | (.06) | – |
Distributions from net realized gain | (3.38) | (1.27) | (.08) | (.33) | (.04) | – |
Total distributions | (3.48) | (1.45) | (.29)E | (.45) | (.11)E | – |
Net asset value, end of period | $15.37 | $19.05 | $15.74 | $13.77 | $13.31 | $10.98 |
Total ReturnF,G | (2.00)% | 32.98% | 16.76% | 6.94%D | 22.33% | 9.80% |
Ratios to Average Net AssetsC,H,I | ||||||
Expenses before reductions | .11%J | .11% | .11% | .21% | .23% | .35%J |
Expenses net of fee waivers, if any | .11%J | .11% | .11% | .15% | .15% | .15%J |
Expenses net of all reductions | .11%J | .11% | .11% | .15% | .15% | .15%J |
Net investment income (loss) | .90%J | .58% | 1.36% | 1.54% | 1.19% | 1.40%J |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $3,117,357 | $2,908,860 | $1,798,387 | $3,655,491 | $2,512,747 | $744,177 |
Portfolio turnover rateK | 123%J | 128% | 163% | 161% | 153% | 47%L |
A For the period February 9, 2017 (commencement of operations) through July 31, 2017.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 6.91%.
E Total distributions per share do not sum due to rounding.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Annualized
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
L Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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 and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $482,960,976 |
Gross unrealized depreciation | (118,259,709) |
Net unrealized appreciation (depreciation) | $364,701,267 |
Tax cost | $2,913,185,924 |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI U.S. Momentum Index Fund | 2,139,627,182 | 1,876,952,294 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI U.S. Momentum Index Fund | Borrower | $6,592,000 | .32% | $173 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI U.S. Momentum Index Fund | $2,376 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI U.S. Momentum Index Fund | $1,283 | $80 | $– |
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $25.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity U.S. Total Stock Fund | |
Fidelity SAI U.S. Momentum Index Fund | 57% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
Fund | % of shares held |
Fidelity SAI U.S. Momentum Index Fund | 62% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI U.S. Momentum Index Fund | .11% | |||
Actual | $1,000.00 | $980.00 | $.55 | |
Hypothetical-C | $1,000.00 | $1,024.65 | $.56 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI U.S. Momentum 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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 and peer group for the most recent one- and three-year periods. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.SY1-SANN-0422
1.9878818.104
Fidelity® SAI U.S. Value Index Fund
Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Semi-Annual Report
January 31, 2022
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Five Stocks as of January 31, 2022
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 4.4 |
Chevron Corp. | 3.8 |
Pfizer, Inc. | 3.5 |
Verizon Communications, Inc. | 3.5 |
Comcast Corp. Class A | 3.2 |
18.4 |
Top Five Market Sectors as of January 31, 2022
% of fund's net assets | |
Health Care | 18.7 |
Financials | 18.1 |
Information Technology | 17.9 |
Energy | 14.4 |
Communication Services | 12.0 |
Asset Allocation (% of fund's net assets)
As of January 31, 2022* | ||
Stocks | 100.0% |
* Foreign investments - 2.2%
Schedule of Investments January 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 12.0% | |||
Diversified Telecommunication Services - 6.7% | |||
AT&T, Inc. | 4,276,845 | $109,059,548 | |
Liberty Global PLC Class A (a) | 306,584 | 8,314,558 | |
Lumen Technologies, Inc. (b) | 551,893 | 6,821,397 | |
Verizon Communications, Inc. | 2,479,606 | 131,989,427 | |
256,184,930 | |||
Interactive Media & Services - 0.6% | |||
Alphabet, Inc. Class A (a) | 7,659 | 20,725,790 | |
Media - 4.7% | |||
Comcast Corp. Class A | 2,443,377 | 122,144,416 | |
Discovery Communications, Inc. Class A (a) | 277,954 | 7,757,696 | |
DISH Network Corp. Class A (a) | 149,555 | 4,696,027 | |
Fox Corp. Class A | 273,246 | 11,096,520 | |
Interpublic Group of Companies, Inc. | 222,981 | 7,924,745 | |
Nexstar Broadcasting Group, Inc. Class A | 24,489 | 4,049,991 | |
Omnicom Group, Inc. | 127,289 | 9,592,499 | |
ViacomCBS, Inc. Class B | 369,274 | 12,352,215 | |
179,614,109 | |||
TOTAL COMMUNICATION SERVICES | 456,524,829 | ||
CONSUMER DISCRETIONARY - 4.9% | |||
Auto Components - 0.4% | |||
BorgWarner, Inc. | 143,663 | 6,299,623 | |
Lear Corp. | 33,385 | 5,585,978 | |
The Goodyear Tire & Rubber Co. (a) | 168,323 | 3,489,336 | |
15,374,937 | |||
Automobiles - 1.4% | |||
Ford Motor Co. | 2,351,000 | 47,725,300 | |
Harley-Davidson, Inc. (b) | 92,170 | 3,186,317 | |
Thor Industries, Inc. (b) | 33,261 | 3,146,158 | |
54,057,775 | |||
Household Durables - 1.7% | |||
D.R. Horton, Inc. | 195,234 | 17,418,777 | |
Lennar Corp. Class A | 170,457 | 16,382,622 | |
Mohawk Industries, Inc. (a) | 32,865 | 5,188,398 | |
Newell Brands, Inc. | 213,855 | 4,963,575 | |
PulteGroup, Inc. | 151,666 | 7,991,282 | |
Toll Brothers, Inc. | 68,547 | 4,042,217 | |
Whirlpool Corp. | 36,384 | 7,647,553 | |
63,634,424 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Amazon.com, Inc. (a) | 2,125 | 6,356,874 | |
Multiline Retail - 0.3% | |||
Kohl's Corp. | 90,156 | 5,383,215 | |
Macy's, Inc. | 185,482 | 4,748,339 | |
10,131,554 | |||
Specialty Retail - 0.6% | |||
Best Buy Co., Inc. | 126,182 | 12,527,349 | |
Dick's Sporting Goods, Inc. (b) | 38,864 | 4,484,906 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 18,136 | 5,298,070 | |
Signet Jewelers Ltd. (b) | 31,776 | 2,736,867 | |
25,047,192 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Hanesbrands, Inc. | 209,172 | 3,367,669 | |
PVH Corp. | 42,561 | 4,043,721 | |
Tapestry, Inc. | 164,796 | 6,254,008 | |
13,665,398 | |||
TOTAL CONSUMER DISCRETIONARY | 188,268,154 | ||
CONSUMER STAPLES - 4.0% | |||
Beverages - 0.1% | |||
Molson Coors Beverage Co. Class B | 112,846 | 5,378,240 | |
Food & Staples Retailing - 0.6% | |||
Walgreens Boots Alliance, Inc. | 430,298 | 21,411,628 | |
Food Products - 1.9% | |||
Archer Daniels Midland Co. | 335,033 | 25,127,475 | |
Conagra Brands, Inc. | 271,974 | 9,453,816 | |
The J.M. Smucker Co. | 60,704 | 8,533,768 | |
The Kraft Heinz Co. | 425,122 | 15,219,368 | |
Tyson Foods, Inc. Class A | 176,539 | 16,045,630 | |
74,380,057 | |||
Tobacco - 1.4% | |||
Altria Group, Inc. | 1,031,953 | 52,505,769 | |
TOTAL CONSUMER STAPLES | 153,675,694 | ||
ENERGY - 14.4% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes Co. Class A | 463,750 | 12,725,300 | |
Oil, Gas & Consumable Fuels - 14.1% | |||
Antero Resources Corp. (a) | 171,107 | 3,341,720 | |
APA Corp. | 217,577 | 7,225,732 | |
Chesapeake Energy Corp. (b) | 62,419 | 4,255,103 | |
Chevron Corp. | 1,111,411 | 145,961,607 | |
ConocoPhillips Co. | 789,943 | 70,004,749 | |
Devon Energy Corp. | 356,190 | 18,012,528 | |
Diamondback Energy, Inc. | 102,000 | 12,868,320 | |
EOG Resources, Inc. | 350,420 | 39,064,822 | |
Exxon Mobil Corp. | 1,548,691 | 117,638,568 | |
HollyFrontier Corp. | 89,542 | 3,148,297 | |
Kinder Morgan, Inc. | 1,167,887 | 20,274,518 | |
Marathon Oil Corp. | 466,279 | 9,078,452 | |
Occidental Petroleum Corp. | 531,424 | 20,018,742 | |
Ovintiv, Inc. | 156,377 | 6,067,428 | |
PDC Energy, Inc. | 58,331 | 3,457,278 | |
Phillips 66 Co. | 247,790 | 21,010,114 | |
Pioneer Natural Resources Co. | 126,970 | 27,792,463 | |
Valero Energy Corp. | 89,522 | 7,427,640 | |
536,648,081 | |||
TOTAL ENERGY | 549,373,381 | ||
FINANCIALS - 18.1% | |||
Banks - 3.3% | |||
Citigroup, Inc. | 1,188,422 | 77,390,041 | |
Citizens Financial Group, Inc. | 241,101 | 12,409,468 | |
First Horizon National Corp. (b) | 310,347 | 5,310,037 | |
KeyCorp | 535,278 | 13,414,067 | |
Popular, Inc. | 47,839 | 4,265,804 | |
Regions Financial Corp. | 570,998 | 13,098,694 | |
125,888,111 | |||
Capital Markets - 2.1% | |||
Goldman Sachs Group, Inc. | 203,310 | 72,109,991 | |
Invesco Ltd. | 204,459 | 4,633,041 | |
Jefferies Financial Group, Inc. | 117,665 | 4,311,246 | |
81,054,278 | |||
Consumer Finance - 2.3% | |||
Ally Financial, Inc. | 207,501 | 9,901,948 | |
Capital One Financial Corp. | 254,916 | 37,403,825 | |
Discover Financial Services | 175,533 | 20,317,945 | |
OneMain Holdings, Inc. | 66,875 | 3,454,763 | |
SLM Corp. | 175,605 | 3,220,596 | |
Synchrony Financial | 327,771 | 13,959,767 | |
88,258,844 | |||
Diversified Financial Services - 4.5% | |||
Berkshire Hathaway, Inc. Class B (a) | 528,922 | 165,563,157 | |
Voya Financial, Inc. (b) | 66,478 | 4,517,845 | |
170,081,002 | |||
Insurance - 5.3% | |||
AFLAC, Inc. | 349,105 | 21,930,776 | |
Alleghany Corp. (a) | 7,749 | 5,145,336 | |
Allstate Corp. | 171,690 | 20,717,832 | |
American International Group, Inc. | 497,284 | 28,718,151 | |
Arch Capital Group Ltd. (a) | 231,272 | 10,712,519 | |
Everest Re Group Ltd. | 23,579 | 6,682,289 | |
Fidelity National Financial, Inc. | 170,417 | 8,580,496 | |
First American Financial Corp. | 65,745 | 4,898,660 | |
Lincoln National Corp. | 101,746 | 7,120,185 | |
Markel Corp. (a) | 8,187 | 10,092,442 | |
MetLife, Inc. | 428,220 | 28,716,433 | |
Old Republic International Corp. | 171,007 | 4,382,909 | |
Principal Financial Group, Inc. | 139,775 | 10,211,962 | |
Prudential Financial, Inc. | 226,386 | 25,257,886 | |
Reinsurance Group of America, Inc. (b) | 40,490 | 4,649,467 | |
Unum Group (b) | 122,462 | 3,108,086 | |
200,925,429 | |||
Mortgage Real Estate Investment Trusts - 0.4% | |||
AGNC Investment Corp. | 314,342 | 4,680,552 | |
Annaly Capital Management, Inc. | 868,419 | 6,860,510 | |
New Residential Investment Corp. (b) | 279,500 | 2,976,675 | |
14,517,737 | |||
Thrifts & Mortgage Finance - 0.2% | |||
Essent Group Ltd. | 66,169 | 3,019,953 | |
MGIC Investment Corp. | 195,044 | 2,960,768 | |
New York Community Bancorp, Inc. (b) | 278,482 | 3,247,100 | |
9,227,821 | |||
TOTAL FINANCIALS | 689,953,222 | ||
HEALTH CARE - 18.7% | |||
Biotechnology - 3.8% | |||
AbbVie, Inc. | 246,640 | 33,762,550 | |
Gilead Sciences, Inc. | 751,285 | 51,598,254 | |
Moderna, Inc. (a) | 211,265 | 35,773,502 | |
Regeneron Pharmaceuticals, Inc. (a) | 31,149 | 18,956,970 | |
United Therapeutics Corp. (a) | 25,080 | 5,062,900 | |
145,154,176 | |||
Health Care Equipment & Supplies - 0.4% | |||
Hologic, Inc. (a) | 151,823 | 10,664,048 | |
Quidel Corp. (a) | 22,713 | 2,347,616 | |
13,011,664 | |||
Health Care Providers & Services - 7.7% | |||
Anthem, Inc. | 137,283 | 60,540,430 | |
Cardinal Health, Inc. | 164,338 | 8,474,911 | |
Centene Corp. (a) | 349,466 | 27,174,476 | |
Cigna Corp. | 198,497 | 45,745,619 | |
CVS Health Corp. | 790,602 | 84,207,019 | |
Laboratory Corp. of America Holdings (a) | 57,315 | 15,552,998 | |
McKesson Corp. | 87,503 | 22,463,770 | |
Molina Healthcare, Inc. (a) | 32,716 | 9,503,344 | |
Quest Diagnostics, Inc. | 73,468 | 9,919,649 | |
Tenet Healthcare Corp. (a) | 64,158 | 4,755,391 | |
Universal Health Services, Inc. Class B | 42,848 | 5,572,811 | |
293,910,418 | |||
Life Sciences Tools & Services - 0.2% | |||
Bio-Rad Laboratories, Inc. Class A (a) | 12,942 | 7,761,706 | |
Pharmaceuticals - 6.6% | |||
Bristol-Myers Squibb Co. | 1,329,369 | 86,262,754 | |
Jazz Pharmaceuticals PLC (a) | 36,816 | 5,114,111 | |
Organon & Co. | 151,856 | 4,845,725 | |
Perrigo Co. PLC | 80,117 | 3,050,054 | |
Pfizer, Inc. | 2,559,646 | 134,867,748 | |
Royalty Pharma PLC | 198,617 | 7,946,666 | |
Viatris, Inc. | 724,332 | 10,843,250 | |
252,930,308 | |||
TOTAL HEALTH CARE | 712,768,272 | ||
INDUSTRIALS - 2.2% | |||
Aerospace & Defense - 0.1% | |||
Huntington Ingalls Industries, Inc. | 23,998 | 4,492,426 | |
Air Freight & Logistics - 0.9% | |||
FedEx Corp. | 139,153 | 34,212,157 | |
Building Products - 0.3% | |||
Builders FirstSource, Inc. (a)(b) | 114,701 | 7,798,521 | |
Owens Corning | 60,198 | 5,339,563 | |
13,138,084 | |||
Electrical Equipment - 0.1% | |||
Atkore, Inc. (a) | 27,617 | 2,976,560 | |
Machinery - 0.2% | |||
Oshkosh Corp. | 41,121 | 4,679,981 | |
Timken Co. (b) | 38,670 | 2,583,156 | |
7,263,137 | |||
Professional Services - 0.3% | |||
Manpower, Inc. | 32,500 | 3,408,275 | |
Nielsen Holdings PLC | 214,985 | 4,054,617 | |
Science Applications International Corp. (b) | 32,651 | 2,678,362 | |
10,141,254 | |||
Road & Rail - 0.1% | |||
Knight-Swift Transportation Holdings, Inc. Class A (b) | 99,403 | 5,624,222 | |
Trading Companies & Distributors - 0.2% | |||
AerCap Holdings NV (a) | 79,220 | 4,990,860 | |
WESCO International, Inc. (a) | 24,740 | 3,015,559 | |
8,006,419 | |||
TOTAL INDUSTRIALS | 85,854,259 | ||
INFORMATION TECHNOLOGY - 17.9% | |||
Communications Equipment - 0.1% | |||
Lumentum Holdings, Inc. (a) | 42,866 | 4,350,042 | |
Electronic Equipment & Components - 1.1% | |||
Arrow Electronics, Inc. (a) | 41,721 | 5,173,404 | |
Corning, Inc. | 434,895 | 18,282,986 | |
Flex Ltd. (a) | 281,950 | 4,561,951 | |
II-VI, Inc. (a)(b) | 59,245 | 3,756,133 | |
Jabil, Inc. | 85,868 | 5,280,023 | |
TD SYNNEX Corp. | 24,743 | 2,587,376 | |
Vontier Corp. | 101,302 | 2,847,599 | |
42,489,472 | |||
IT Services - 4.9% | |||
Amdocs Ltd. | 75,850 | 5,756,257 | |
DXC Technology Co. (a) | 151,094 | 4,544,908 | |
Fidelity National Information Services, Inc. | 364,711 | 43,736,143 | |
Fiserv, Inc. (a) | 253,920 | 26,839,344 | |
Global Payments, Inc. | 173,783 | 26,046,596 | |
IBM Corp. | 537,114 | 71,742,317 | |
Maximus, Inc. | 34,618 | 2,676,664 | |
The Western Union Co. | 240,779 | 4,553,131 | |
185,895,360 | |||
Semiconductors & Semiconductor Equipment - 4.9% | |||
Intel Corp. | 2,435,829 | 118,917,172 | |
Micron Technology, Inc. | 669,974 | 55,118,761 | |
MKS Instruments, Inc. | 31,321 | 4,865,091 | |
Qorvo, Inc. (a) | 62,943 | 8,640,815 | |
187,541,839 | |||
Software - 2.3% | |||
Microsoft Corp. | 276,750 | 86,063,715 | |
NCR Corp. (a)(b) | 79,072 | 3,009,480 | |
89,073,195 | |||
Technology Hardware, Storage & Peripherals - 4.6% | |||
Apple, Inc. | 672,222 | 117,490,961 | |
Dell Technologies, Inc. (a) | 174,201 | 9,896,359 | |
Hewlett Packard Enterprise Co. | 783,471 | 12,794,081 | |
HP, Inc. | 690,271 | 25,353,654 | |
Western Digital Corp. (a) | 186,650 | 9,657,271 | |
175,192,326 | |||
TOTAL INFORMATION TECHNOLOGY | 684,542,234 | ||
MATERIALS - 6.9% | |||
Chemicals - 3.5% | |||
Celanese Corp. Class A | 62,223 | 9,688,743 | |
CF Industries Holdings, Inc. | 128,451 | 8,846,420 | |
Corteva, Inc. | 436,574 | 20,990,478 | |
Dow, Inc. | 442,965 | 26,458,299 | |
DuPont de Nemours, Inc. | 295,919 | 22,667,395 | |
Eastman Chemical Co. | 76,881 | 9,143,457 | |
Huntsman Corp. (b) | 119,076 | 4,266,493 | |
LyondellBasell Industries NV Class A | 157,453 | 15,230,429 | |
Olin Corp. (b) | 85,911 | 4,353,110 | |
The Chemours Co. LLC | 97,607 | 3,192,725 | |
The Mosaic Co. | 221,851 | 8,862,947 | |
133,700,496 | |||
Containers & Packaging - 0.6% | |||
Berry Global Group, Inc. (a) | 81,037 | 5,463,515 | |
International Paper Co. | 231,923 | 11,190,285 | |
WestRock Co. | 159,910 | 7,381,446 | |
24,035,246 | |||
Metals & Mining - 2.7% | |||
Alcoa Corp. | 112,056 | 6,354,696 | |
Cleveland-Cliffs, Inc. (a) | 272,567 | 4,671,798 | |
Freeport-McMoRan, Inc. | 830,553 | 30,913,183 | |
Newmont Corp. | 452,097 | 27,654,773 | |
Nucor Corp. | 171,168 | 17,356,435 | |
Reliance Steel & Aluminum Co. (b) | 37,529 | 5,737,434 | |
Steel Dynamics, Inc. | 112,914 | 6,268,985 | |
United States Steel Corp. (b) | 161,850 | 3,353,532 | |
102,310,836 | |||
Paper & Forest Products - 0.1% | |||
Louisiana-Pacific Corp. | 52,702 | 3,501,521 | |
TOTAL MATERIALS | 263,548,099 | ||
UTILITIES - 0.6% | |||
Electric Utilities - 0.5% | |||
NRG Energy, Inc. | 146,633 | 5,855,056 | |
PPL Corp. | 413,310 | 12,267,041 | |
18,122,097 | |||
Gas Utilities - 0.1% | |||
UGI Corp. | 125,231 | 5,679,226 | |
TOTAL UTILITIES | 23,801,323 | ||
TOTAL COMMON STOCKS | |||
(Cost $3,142,261,859) | 3,808,309,467 | ||
Money Market Funds - 1.2% | |||
Fidelity Cash Central Fund 0.08% (c) | 3,437,962 | 3,438,650 | |
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) | 42,015,945 | 42,020,146 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $45,458,796) | 45,458,796 | ||
TOTAL INVESTMENT IN SECURITIES - 100.9% | |||
(Cost $3,187,720,655) | 3,853,768,263 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (33,058,403) | ||
NET ASSETS - 100% | $3,820,709,860 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 55 | March 2022 | $12,386,688 | $(205,430) | $(205,430) |
The notional amount 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) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.08% | $72,626,158 | $182,618,293 | $251,805,801 | $2,723 | $-- | $-- | $3,438,650 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.08% | 42,917,213 | 243,055,063 | 243,952,130 | 48,335 | -- | -- | 42,020,146 | 0.1% |
Total | $115,543,371 | $425,673,356 | $495,757,931 | $51,058 | $-- | $-- | $45,458,796 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $456,524,829 | $456,524,829 | $-- | $-- |
Consumer Discretionary | 188,268,154 | 188,268,154 | -- | -- |
Consumer Staples | 153,675,694 | 153,675,694 | -- | -- |
Energy | 549,373,381 | 549,373,381 | -- | -- |
Financials | 689,953,222 | 689,953,222 | -- | -- |
Health Care | 712,768,272 | 712,768,272 | -- | -- |
Industrials | 85,854,259 | 85,854,259 | -- | -- |
Information Technology | 684,542,234 | 684,542,234 | -- | -- |
Materials | 263,548,099 | 263,548,099 | -- | -- |
Utilities | 23,801,323 | 23,801,323 | -- | -- |
Money Market Funds | 45,458,796 | 45,458,796 | -- | -- |
Total Investments in Securities: | $3,853,768,263 | $3,853,768,263 | $-- | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(205,430) | $(205,430) | $-- | $-- |
Total Liabilities | $(205,430) | $(205,430) | $-- | $-- |
Total Derivative Instruments: | $(205,430) | $(205,430) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $0 | $(205,430) |
Total Equity Risk | 0 | (205,430) |
Total Value of Derivatives | $0 | $(205,430) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
January 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $41,964,225) — See accompanying schedule: Unaffiliated issuers (cost $3,142,261,859) | $3,808,309,467 | |
Fidelity Central Funds (cost $45,458,796) | 45,458,796 | |
Total Investment in Securities (cost $3,187,720,655) | $3,853,768,263 | |
Segregated cash with brokers for derivative instruments | 594,000 | |
Cash | 13,207 | |
Receivable for fund shares sold | 643,720 | |
Dividends receivable | 8,524,484 | |
Distributions receivable from Fidelity Central Funds | 3,637 | |
Receivable for daily variation margin on futures contracts | 202,750 | |
Prepaid expenses | 2,694 | |
Total assets | 3,863,752,755 | |
Liabilities | ||
Payable for fund shares redeemed | $669,176 | |
Accrued management fee | 323,907 | |
Other payables and accrued expenses | 30,037 | |
Collateral on securities loaned | 42,019,775 | |
Total liabilities | 43,042,895 | |
Net Assets | $3,820,709,860 | |
Net Assets consist of: | ||
Paid in capital | $3,099,275,519 | |
Total accumulated earnings (loss) | 721,434,341 | |
Net Assets | $3,820,709,860 | |
Net Asset Value, offering price and redemption price per share ($3,820,709,860 ÷ 304,840,288 shares) | $12.53 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended January 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends | $45,850,769 | |
Interest | 325 | |
Income from Fidelity Central Funds (including $48,335 from security lending) | 51,058 | |
Total income | 45,902,152 | |
Expenses | ||
Management fee | $1,857,127 | |
Custodian fees and expenses | 13,701 | |
Independent trustees' fees and expenses | 5,955 | |
Registration fees | 31,255 | |
Audit | 28,183 | |
Legal | 3,446 | |
Interest | 1,982 | |
Miscellaneous | 6,308 | |
Total expenses | 1,947,957 | |
Net investment income (loss) | 43,954,195 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 212,481,005 | |
Futures contracts | 731,969 | |
Total net realized gain (loss) | 213,212,974 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 60,867,144 | |
Futures contracts | (575,209) | |
Total change in net unrealized appreciation (depreciation) | 60,291,935 | |
Net gain (loss) | 273,504,909 | |
Net increase (decrease) in net assets resulting from operations | $317,459,104 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $43,954,195 | $78,819,407 |
Net realized gain (loss) | 213,212,974 | 106,668,786 |
Change in net unrealized appreciation (depreciation) | 60,291,935 | 705,275,103 |
Net increase (decrease) in net assets resulting from operations | 317,459,104 | 890,763,296 |
Distributions to shareholders | (211,360,654) | (64,578,607) |
Share transactions | ||
Proceeds from sales of shares | 150,041,454 | 1,195,629,628 |
Reinvestment of distributions | 205,252,752 | 62,975,816 |
Cost of shares redeemed | (229,942,796) | (777,831,052) |
Net increase (decrease) in net assets resulting from share transactions | 125,351,410 | 480,774,392 |
Total increase (decrease) in net assets | 231,449,860 | 1,306,959,081 |
Net Assets | ||
Beginning of period | 3,589,260,000 | 2,282,300,919 |
End of period | $3,820,709,860 | $3,589,260,000 |
Other Information | ||
Shares | ||
Sold | 12,236,626 | 107,213,421 |
Issued in reinvestment of distributions | 17,137,513 | 6,773,175 |
Redeemed | (18,335,404) | (79,062,982) |
Net increase (decrease) | 11,038,735 | 34,923,614 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Value Index Fund
Six months ended (Unaudited) January 31, | Years endedJuly 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.22 | $8.82 | $10.06 | $10.36 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .15 | .31 | .29 | .25 | .14 |
Net realized and unrealized gain (loss) | .87 | 3.35 | (1.27) | (.22) | .23 |
Total from investment operations | 1.02 | 3.66 | (.98) | .03 | .37 |
Distributions from net investment income | (.28) | (.26) | (.26) | (.19) | (.01) |
Distributions from net realized gain | (.42) | – | – | (.14) | – |
Total distributions | (.71)D | (.26) | (.26) | (.33) | (.01) |
Net asset value, end of period | $12.53 | $12.22 | $8.82 | $10.06 | $10.36 |
Total ReturnE,F | 8.68% | 42.39% | (10.13)% | .62% | 3.67% |
Ratios to Average Net AssetsC,G,H | |||||
Expenses before reductions | .10%I | .11% | .11% | .21% | .28%I |
Expenses net of fee waivers, if any | .10%I | .11% | .11% | .15% | .15%I |
Expenses net of all reductions | .10%I | .11% | .11% | .15% | .15%I |
Net investment income (loss) | 2.37%I | 2.89% | 3.12% | 2.61% | 2.20%I |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $3,820,710 | $3,589,260 | $2,282,301 | $1,788,140 | $1,958,157 |
Portfolio turnover rateJ | 64%I | 80% | 82% | 99% | 113%I |
A For the period December 19, 2017 (commencement of operations) through July 31, 2018.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total distributions per share do not sum due to rounding.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Annualized
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended January 31, 2022
1. Organization.
Fidelity SAI U.S. Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – Unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $719,241,890 |
Gross unrealized depreciation | (106,687,933) |
Net unrealized appreciation (depreciation) | $612,553,957 |
Tax cost | $3,241,008,876 |
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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity SAI U.S. Value Index Fund | 1,165,925,195 | 1,206,151,745 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. 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 | |
Fidelity SAI U.S. Value Index Fund | Borrower | $17,422,154 | .32% | $1,982 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Fidelity SAI U.S. Value Index Fund | $2,848 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI U.S. Value Index Fund | $4,862 | $– | $– |
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
Strategic Advisers Fidelity U.S. Total Stock Fund | |
Fidelity SAI U.S. Value Index Fund | 69% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2021 to January 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During Period-B August 1, 2021 to January 31, 2022 | |
Fidelity SAI U.S. Value Index Fund | .10% | |||
Actual | $1,000.00 | $1,086.80 | $.53 | |
Hypothetical-C | $1,000.00 | $1,024.70 | $.51 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI U.S. Value 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 LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for the fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets 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 four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — 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 Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. 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 review 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 joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.At its September 2021 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 provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity and Geode from their respective relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are 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 senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the fund and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations 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 the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates 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, subcustodians, and pricing vendors; 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 and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at 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 to the Board 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 Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing the holding period for the conversion of Class C shares to Class A shares; (vii) reducing management fees and total expenses for certain target date funds and classes and index funds; (viii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including their retirement income goals.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. 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 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 an index fund's performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) 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; any securities lending revenues; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) 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- and three-year periods. No performance peer group information was considered by the Board due to the fact that the peer group does not distinguish between passively-managed and actively-managed funds. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to 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 (or shorter) 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-Sized 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 was considered by the Board.USV-SANN-0422
1.9885516.104
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Salem Street 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 Fidelity Salem Street Trust’s (the “Trust”) disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Salem Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | March 24, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | March 24, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | March 24, 2022 |