Quarterly Holdings Report
for
Fidelity® SAI Emerging Markets Value Index Fund
January 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - 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.
EMV-NPRT1-0324
1.9898214.103
Common Stocks - 95.8% | |||
Shares | Value ($) | ||
Brazil - 3.1% | |||
Banco do Brasil SA | 3,429,000 | 39,069,726 | |
Embraer SA (a) | 580,400 | 2,668,640 | |
Telefonica Brasil SA | 836,100 | 8,667,466 | |
Vale SA | 3,850,900 | 52,667,726 | |
TOTAL BRAZIL | 103,073,558 | ||
China - 20.5% | |||
Agricultural Bank of China Ltd. (H Shares) | 73,570,000 | 28,485,642 | |
Alibaba Group Holding Ltd. | 6,067,700 | 54,421,069 | |
Aluminum Corp. of China Ltd. (H Shares) | 9,440,000 | 4,600,691 | |
Anhui Conch Cement Co. Ltd. (H Shares) | 2,830,500 | 5,669,301 | |
Bank of China Ltd. (H Shares) | 126,364,000 | 47,420,672 | |
Bank of Communications Co. Ltd. (H Shares) | 51,116,000 | 30,240,491 | |
CGN Power Co. Ltd. (H Shares) (b) | 25,382,500 | 7,112,811 | |
China CITIC Bank Corp. Ltd. (H Shares) | 21,727,000 | 10,767,945 | |
China Coal Energy Co. Ltd. (H Shares) | 1,771,000 | 1,944,876 | |
China Construction Bank Corp. (H Shares) | 102,003,000 | 60,575,870 | |
China Feihe Ltd. (b) | 8,247,000 | 3,778,233 | |
China Galaxy Securities Co. Ltd. (H Shares) | 8,304,000 | 4,068,679 | |
China Life Insurance Co. Ltd. (H Shares) | 13,506,000 | 15,570,289 | |
China Merchants Bank Co. Ltd. (H Shares) | 7,911,000 | 28,838,650 | |
China Minsheng Banking Corp. Ltd. (H Shares) | 15,731,500 | 5,232,204 | |
China National Building Materials Co. Ltd. (H Shares) | 10,910,000 | 3,848,439 | |
China Overseas Land and Investment Ltd. | 8,906,500 | 13,473,667 | |
China Railway Group Ltd. (H Shares) | 10,070,000 | 4,605,387 | |
China State Construction International Holdings Ltd. | 4,219,400 | 4,456,961 | |
China Tower Corp. Ltd. (H Shares) (b) | 111,684,000 | 12,423,888 | |
China Vanke Co. Ltd. (H Shares) | 5,281,000 | 4,155,073 | |
CITIC Pacific Ltd. | 15,317,000 | 14,783,877 | |
COSCO SHIPPING Holdings Co. Ltd. (H Shares) | 8,029,300 | 8,435,803 | |
CRRC Corp. Ltd. (H Shares) | 10,462,000 | 4,862,669 | |
GCL Technology Holdings Ltd. | 49,099,000 | 5,649,476 | |
Geely Automobile Holdings Ltd. | 12,516,000 | 11,863,407 | |
Hengan International Group Co. Ltd. | 1,557,500 | 4,822,785 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 100,320,000 | 48,868,889 | |
JD.com, Inc. Class A | 3,498,900 | 39,454,072 | |
Kunlun Energy Co. Ltd. | 9,532,000 | 8,539,691 | |
Lenovo Group Ltd. | 15,964,000 | 16,715,445 | |
Longfor Properties Co. Ltd. (b) | 3,946,120 | 4,375,486 | |
New China Life Insurance Co. Ltd. (H Shares) | 2,103,700 | 3,754,336 | |
PDD Holdings, Inc. ADR (a) | 113,285 | 14,372,468 | |
People's Insurance Co. of China Group Ltd. (H Shares) | 19,632,000 | 6,103,159 | |
Postal Savings Bank of China Co. Ltd. (H Shares) (b) | 18,059,000 | 8,684,740 | |
Qifu Technology, Inc. ADR | 309,157 | 4,436,403 | |
Sinopharm Group Co. Ltd. (H Shares) | 3,211,600 | 8,444,854 | |
SITC International Holdings Co. Ltd. | 3,082,000 | 4,676,452 | |
Tencent Holdings Ltd. | 2,215,600 | 76,906,403 | |
Vipshop Holdings Ltd. ADR (a) | 673,616 | 10,703,758 | |
Yangzijiang Shipbuilding Holdings Ltd. | 6,467,800 | 8,074,529 | |
Yankuang Energy Group Co. Ltd. (H Shares) | 5,183,000 | 10,648,395 | |
TOTAL CHINA | 676,867,935 | ||
Czech Republic - 0.1% | |||
CEZ A/S | 107,876 | 4,086,915 | |
Egypt - 0.1% | |||
Commercial International Bank SAE | 1,154,530 | 3,291,718 | |
Greece - 0.5% | |||
Eurobank Ergasias Services and Holdings SA (a) | 3,664,703 | 7,077,314 | |
National Bank of Greece SA (a) | 1,199,583 | 9,113,617 | |
TOTAL GREECE | 16,190,931 | ||
Hong Kong - 0.3% | |||
WH Group Ltd. (b) | 18,731,500 | 11,051,495 | |
Hungary - 0.2% | |||
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) | 980,246 | 8,033,653 | |
India - 20.5% | |||
Aurobindo Pharma Ltd. | 673,139 | 9,319,976 | |
Bank of Baroda | 2,475,404 | 7,367,744 | |
Canara Bank Ltd. | 868,379 | 5,038,917 | |
Cipla Ltd./India | 1,294,496 | 21,044,852 | |
Dr. Reddy's Laboratories Ltd. | 291,341 | 21,397,611 | |
HCL Technologies Ltd. | 2,480,559 | 47,025,246 | |
HDFC Bank Ltd. | 977,330 | 17,179,780 | |
Hero Motocorp Ltd. | 310,890 | 17,300,153 | |
Hindalco Industries Ltd. | 3,495,907 | 24,336,987 | |
IDFC Ltd. | 3,178,373 | 4,559,409 | |
Indus Towers Ltd. (a) | 1,999,500 | 5,340,093 | |
Infosys Ltd. | 1,848,086 | 36,827,869 | |
ITC Ltd. | 7,134,874 | 37,913,223 | |
Jindal Steel & Power Ltd. | 535,881 | 4,885,341 | |
LIC Housing Finance Ltd. | 706,671 | 5,318,502 | |
Mahindra & Mahindra Ltd. | 2,064,132 | 41,027,699 | |
MakeMyTrip Ltd. (a) | 127,186 | 7,044,833 | |
Maruti Suzuki India Ltd. | 219,834 | 26,951,240 | |
NMDC Ltd. | 2,735,478 | 7,239,295 | |
NTPC Ltd. | 9,416,980 | 36,038,795 | |
Oil & Natural Gas Corp. Ltd. | 9,333,896 | 28,341,489 | |
Power Finance Corp. Ltd. | 3,475,291 | 18,548,702 | |
REC Ltd. | 2,962,080 | 17,786,015 | |
Reliance Industries Ltd. | 538,326 | 18,487,031 | |
State Bank of India | 4,271,981 | 32,984,144 | |
Sun Pharmaceutical Industries Ltd. | 2,184,531 | 37,304,190 | |
Tata Motors Ltd. | 4,756,499 | 50,600,826 | |
Tata Steel Ltd. | 19,304,839 | 31,598,064 | |
Tech Mahindra Ltd. | 1,493,080 | 23,909,677 | |
Union Bank of India Ltd. | 3,548,158 | 5,968,579 | |
Vedanta Ltd. | 2,846,926 | 9,395,474 | |
Wipro Ltd. | 3,373,449 | 19,285,964 | |
TOTAL INDIA | 677,367,720 | ||
Indonesia - 1.7% | |||
Indofood Sukses Makmur Tbk PT | 10,507,500 | 4,245,643 | |
PT Adaro Energy Indonesia Tbk | 33,684,000 | 5,107,403 | |
PT Astra International Tbk | 48,446,300 | 15,698,563 | |
PT Telkom Indonesia Persero Tbk | 103,329,200 | 25,917,741 | |
PT United Tractors Tbk | 3,571,000 | 5,187,261 | |
TOTAL INDONESIA | 56,156,611 | ||
Korea (South) - 13.1% | |||
Hana Financial Group, Inc. | 708,207 | 25,323,965 | |
Hankook Tire Co. Ltd. | 177,888 | 6,808,586 | |
HMM Co. Ltd. | 866,136 | 12,448,592 | |
Hyundai Glovis Co. Ltd. | 52,953 | 6,933,882 | |
Hyundai Mobis | 151,192 | 23,700,141 | |
Hyundai Motor Co. Ltd. | 304,948 | 44,355,261 | |
Hyundai Steel Co. | 204,407 | 5,118,733 | |
Industrial Bank of Korea | 763,418 | 7,162,786 | |
KB Financial Group, Inc. | 898,151 | 38,115,923 | |
Kia Corp. | 597,733 | 45,913,032 | |
Korea Investment Holdings Co. Ltd. | 108,995 | 5,004,692 | |
Korean Air Lines Co. Ltd. | 440,646 | 7,408,630 | |
Kumho Petro Chemical Co. Ltd. | 45,000 | 4,196,219 | |
LG Corp. | 267,301 | 16,413,415 | |
LG Electronics, Inc. | 113,229 | 7,892,637 | |
LG Uplus Corp. | 512,038 | 3,920,352 | |
Samsung Electronics Co. Ltd. | 2,208,570 | 120,008,064 | |
Shinhan Financial Group Co. Ltd. | 1,178,570 | 36,111,889 | |
Woori Financial Group, Inc. | 1,550,848 | 16,079,925 | |
TOTAL KOREA (SOUTH) | 432,916,724 | ||
Kuwait - 0.9% | |||
Agility Public Warehousing Co. KSC (a) | 3,586,791 | 6,765,329 | |
Mobile Telecommunication Co. | 4,971,017 | 8,503,268 | |
National Bank of Kuwait | 4,258,701 | 13,572,445 | |
TOTAL KUWAIT | 28,841,042 | ||
Malaysia - 1.5% | |||
Genting Bhd | 5,289,000 | 5,268,965 | |
IHH Healthcare Bhd | 7,377,500 | 9,518,443 | |
Kuala Lumpur Kepong Bhd | 1,345,400 | 6,309,364 | |
PPB Group Bhd | 1,702,400 | 5,197,592 | |
Sime Darby Plantation Bhd | 8,051,500 | 7,508,314 | |
Telekom Malaysia Bhd | 3,850,700 | 4,812,525 | |
Tenaga Nasional Bhd | 4,725,100 | 10,705,622 | |
TOTAL MALAYSIA | 49,320,825 | ||
Mexico - 2.4% | |||
Alfa SA de CV Series A | 7,522,300 | 5,917,668 | |
America Movil S.A.B. de CV Series L | 39,360,200 | 35,560,591 | |
Arca Continental S.A.B. de CV | 551,300 | 6,263,965 | |
CEMEX S.A.B. de CV unit (a) | 19,221,600 | 15,970,071 | |
Fibra Uno Administracion SA de CV | 6,744,200 | 11,465,316 | |
Ternium SA sponsored ADR | 117,460 | 4,541,004 | |
TOTAL MEXICO | 79,718,615 | ||
Peru - 0.2% | |||
Credicorp Ltd. (United States) | 41,228 | 6,119,472 | |
Philippines - 0.6% | |||
Aboitiz Equity Ventures, Inc. | 5,390,100 | 4,638,219 | |
Ayala Corp. | 593,370 | 7,147,083 | |
JG Summit Holdings, Inc. | 307,300 | 209,019 | |
PLDT, Inc. | 206,840 | 4,675,843 | |
Universal Robina Corp. | 2,085,600 | 4,134,821 | |
TOTAL PHILIPPINES | 20,804,985 | ||
Poland - 1.0% | |||
KGHM Polska Miedz SA (Bearer) | 256,182 | 7,194,452 | |
Orlen SA | 1,389,286 | 21,740,609 | |
PGE Polska Grupa Energetyczna SA (a) | 2,040,619 | 4,317,552 | |
TOTAL POLAND | 33,252,613 | ||
Qatar - 0.9% | |||
Dukhan Bank | 4,133,975 | 4,449,615 | |
Industries Qatar QSC | 3,639,918 | 11,996,434 | |
Ooredoo QSC | 1,839,953 | 5,407,168 | |
Qatar National Bank SAQ | 1,553,220 | 6,616,436 | |
TOTAL QATAR | 28,469,653 | ||
Russia - 0.1% | |||
Gazprom OAO (a)(c) | 9,889,350 | 1,070,025 | |
Inter Rao Ues JSC (a)(c) | 63,735,100 | 363,341 | |
Magnit OJSC (a)(c) | 135,409 | 2,877 | |
Mobile TeleSystems OJSC sponsored ADR (a)(c) | 753,517 | 750,495 | |
Sberbank of Russia (a)(c) | 440,500 | 2,801 | |
Surgutneftegas OJSC (a)(c) | 29,672,400 | 375,437 | |
VK Co. Ltd. GDR (Reg. S) (a)(c) | 217,763 | 2 | |
VTB Bank OJSC (a)(c) | 9,075,720,096 | 358,541 | |
TOTAL RUSSIA | 2,923,519 | ||
Saudi Arabia - 3.4% | |||
Almarai Co. Ltd. | 550,477 | 8,381,706 | |
Banque Saudi Fransi | 1,048,480 | 11,183,488 | |
Etihad Etisalat Co. | 903,021 | 12,545,637 | |
Riyad Bank | 1,962,142 | 14,859,559 | |
Sahara International Petrochemical Co. | 860,020 | 7,223,975 | |
Saudi Electricity Co. | 1,894,723 | 9,579,464 | |
Saudi Telecom Co. | 3,957,011 | 43,051,132 | |
The Savola Group | 626,229 | 7,506,198 | |
TOTAL SAUDI ARABIA | 114,331,159 | ||
South Africa - 2.8% | |||
Absa Group Ltd. | 1,734,584 | 15,175,583 | |
Anglo American Platinum Ltd. (d) | 133,338 | 5,676,008 | |
Aspen Pharmacare Holdings Ltd. | 886,481 | 9,189,383 | |
Exxaro Resources Ltd. | 576,853 | 5,769,916 | |
Impala Platinum Holdings Ltd. | 2,097,349 | 8,141,184 | |
MTN Group Ltd. | 4,013,693 | 20,481,679 | |
Sasol Ltd. | 1,381,567 | 11,999,895 | |
Sibanye-Stillwater Ltd. | 6,774,614 | 8,164,352 | |
Vodacom Group Ltd. | 1,641,110 | 8,183,417 | |
TOTAL SOUTH AFRICA | 92,781,417 | ||
Taiwan - 18.1% | |||
Acer, Inc. | 7,295,000 | 10,715,619 | |
ASE Technology Holding Co. Ltd. | 8,170,000 | 35,332,583 | |
ASUSTeK Computer, Inc. | 1,651,000 | 23,447,932 | |
Catcher Technology Co. Ltd. | 1,628,000 | 10,118,073 | |
Cathay Financial Holding Co. Ltd. | 22,576,023 | 31,753,672 | |
Compal Electronics, Inc. | 9,915,000 | 11,373,444 | |
EVA Airways Corp. | 6,168,000 | 6,218,529 | |
Evergreen Marine Corp. (Taiwan) | 2,431,300 | 11,664,312 | |
Foxconn Technology Co. Ltd. | 2,505,000 | 4,034,778 | |
Fubon Financial Holding Co. Ltd. | 5,672,875 | 11,663,294 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 15,538,000 | 50,838,849 | |
Largan Precision Co. Ltd. | 243,000 | 19,270,187 | |
Novatek Microelectronics Corp. | 1,354,000 | 22,060,843 | |
Pegatron Corp. | 4,914,000 | 12,956,839 | |
Pou Chen Corp. | 5,995,000 | 6,036,346 | |
Powerchip Semiconductor Manufacturing Corp. | 7,397,600 | 6,361,978 | |
Powertech Technology, Inc. | 1,690,000 | 7,847,777 | |
Radiant Opto-Electronics Corp. | 1,113,000 | 4,923,088 | |
Simplo Technology Co. Ltd. | 443,000 | 5,734,102 | |
Sino-American Silicon Products, Inc. | 1,333,000 | 8,152,213 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 9,950,000 | 199,225,443 | |
Uni-President Enterprises Corp. | 10,612,000 | 24,528,196 | |
Unimicron Technology Corp. | 3,066,000 | 17,204,696 | |
United Microelectronics Corp. | 25,834,000 | 40,248,924 | |
Wan Hai Lines Ltd. | 3,358,000 | 5,243,923 | |
Yang Ming Marine Transport Corp. | 4,179,000 | 6,373,570 | |
Zhen Ding Technology Holding Ltd. | 1,518,400 | 4,889,267 | |
TOTAL TAIWAN | 598,218,477 | ||
Thailand - 1.4% | |||
Advanced Information Service PCL NVDR | 1,972,800 | 12,125,147 | |
Bangkok Bank PCL: | |||
(For. Reg.) | 400 | 1,584 | |
NVDR | 1,370,200 | 5,426,652 | |
Charoen Pokphand Foods PCL: | |||
(For. Reg.) | 9,800 | 5,124 | |
NVDR | 8,234,100 | 4,305,395 | |
Kasikornbank PCL: | |||
(For. Reg.) | 12,500 | 42,193 | |
NVDR | 2,766,100 | 9,336,706 | |
SCB X PCL NVDR | 2,014,700 | 5,876,704 | |
Thai Beverage PCL | 20,442,400 | 7,980,945 | |
TOTAL THAILAND | 45,100,450 | ||
Turkey - 0.8% | |||
Haci Omer Sabanci Holding A/S | 3,174,248 | 7,594,345 | |
Koc Holding A/S | 2,080,810 | 11,019,482 | |
Turkiye Is Bankasi A/S Series C | 7,814,170 | 6,602,581 | |
TOTAL TURKEY | 25,216,408 | ||
United Arab Emirates - 1.4% | |||
Emaar Properties PJSC | 5,995,590 | 12,128,462 | |
Emirates NBD Bank PJSC | 5,387,064 | 25,960,341 | |
Multiply Group (a) | 8,845,926 | 6,960,271 | |
TOTAL UNITED ARAB EMIRATES | 45,049,074 | ||
United States of America - 0.2% | |||
JBS SA | 1,592,600 | 7,531,612 | |
TOTAL COMMON STOCKS (Cost $3,118,234,087) | 3,166,716,581 | ||
Nonconvertible Preferred Stocks - 3.1% | |||
Shares | Value ($) | ||
Brazil - 2.7% | |||
Companhia Energetica de Minas Gerais (CEMIG) (PN) | 3,554,800 | 8,265,642 | |
Gerdau SA | 2,767,990 | 11,754,907 | |
Petroleo Brasileiro SA - Petrobras (PN) (non-vtg.) | 8,426,400 | 68,797,005 | |
TOTAL BRAZIL | 88,817,554 | ||
Chile - 0.3% | |||
Sociedad Quimica y Minera de Chile SA (PN-B) | 269,117 | 11,664,245 | |
Colombia - 0.1% | |||
Bancolombia SA (PN) | 366,747 | 2,889,540 | |
Russia - 0.0% | |||
AK Transneft OAO (a)(c) | 2,792 | 837,716 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $84,941,073) | 104,209,055 | ||
Government Obligations - 0.1% | |||
Principal Amount (e) | Value ($) | ||
United States of America - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 5.42% 2/22/24 (f) (Cost $1,894,130) | 1,900,000 | 1,894,169 | |
Money Market Funds - 0.7% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (g) | 19,177,886 | 19,181,722 | |
Fidelity Securities Lending Cash Central Fund 5.39% (g)(h) | 3,914,440 | 3,914,831 | |
TOTAL MONEY MARKET FUNDS (Cost $23,096,553) | 23,096,553 | ||
TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $3,228,165,843) | 3,295,916,358 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 11,067,293 |
NET ASSETS - 100.0% | 3,306,983,651 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI Emerging Markets Index Contracts (United States) | 766 | Mar 2024 | 37,564,640 | 4,252 | 4,252 |
The notional amount of futures purchased as a percentage of Net Assets is 1.1% |
Legend
(a) | Non-income producing |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $47,426,653 or 1.4% of net assets. |
(c) | Level 3 security |
(d) | Security or a portion of the security is on loan at period end. |
(e) | Amount is stated in United States dollars unless otherwise noted. |
(f) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $129,601. |
(g) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(h) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 38,494,181 | 227,785,178 | 247,097,637 | 372,756 | - | - | 19,181,722 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 3,000,000 | 8,848,121 | 7,933,290 | 2,505 | - | - | 3,914,831 | 0.0% |
Total | 41,494,181 | 236,633,299 | 255,030,927 | 375,261 | - | - | 23,096,553 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 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 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Government Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the stock market.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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