Quarterly Holdings Report
for
Fidelity® SAI U.S. Value Index Fund
April 30, 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.
USV-NPRT3-0624
1.9885513.106
| Common Stocks - 99.8% | |||
| Shares | Value ($) | ||
| COMMUNICATION SERVICES - 8.6% | |||
| Diversified Telecommunication Services - 4.3% | |||
| AT&T, Inc. | 3,220,972 | 54,402,217 | |
| Verizon Communications, Inc. | 1,893,964 | 74,792,638 | |
| 129,194,855 | |||
| Entertainment - 0.3% | |||
| Warner Bros Discovery, Inc. (a) | 999,670 | 7,357,571 | |
| Interactive Media & Services - 0.5% | |||
| Alphabet, Inc. Class A | 85,120 | 13,855,834 | |
| Media - 3.5% | |||
| Charter Communications, Inc. Class A (a) | 44,487 | 11,386,003 | |
| Comcast Corp. Class A | 1,785,010 | 68,026,731 | |
| Fox Corp. Class A | 162,038 | 5,024,798 | |
| Interpublic Group of Companies, Inc. | 172,538 | 5,252,057 | |
| Liberty Broadband Corp. Class C (a) | 59,048 | 2,936,457 | |
| Nexstar Media Group, Inc. Class A | 14,521 | 2,324,231 | |
| Omnicom Group, Inc. | 89,193 | 8,280,678 | |
| Paramount Global Class B (b) | 225,157 | 2,564,538 | |
| 105,795,493 | |||
TOTAL COMMUNICATION SERVICES | 256,203,753 | ||
| CONSUMER DISCRETIONARY - 6.6% | |||
| Automobile Components - 0.5% | |||
| Aptiv PLC (a) | 125,702 | 8,924,842 | |
| BorgWarner, Inc. | 103,512 | 3,392,088 | |
| Lear Corp. | 25,693 | 3,233,978 | |
| 15,550,908 | |||
| Automobiles - 1.6% | |||
| Ford Motor Co. | 1,758,147 | 21,361,486 | |
| General Motors Co. | 520,055 | 23,158,049 | |
| Harley-Davidson, Inc. | 57,093 | 1,963,428 | |
| Thor Industries, Inc. | 24,021 | 2,388,168 | |
| 48,871,131 | |||
| Broadline Retail - 0.9% | |||
| Amazon.com, Inc. (a) | 74,277 | 12,998,475 | |
| eBay, Inc. | 233,802 | 12,050,155 | |
| Macy's, Inc. | 123,466 | 2,275,478 | |
| 27,324,108 | |||
| Distributors - 0.2% | |||
| LKQ Corp. | 120,549 | 5,199,278 | |
| Hotels, Restaurants & Leisure - 0.3% | |||
| Expedia Group, Inc. (a) | 58,908 | 7,930,784 | |
| Household Durables - 2.2% | |||
| D.R. Horton, Inc. | 134,531 | 19,169,322 | |
| KB Home | 33,106 | 2,143,945 | |
| Lennar Corp. Class A | 116,537 | 17,669,340 | |
| Meritage Homes Corp. | 16,420 | 2,721,451 | |
| Mohawk Industries, Inc. (a) | 23,811 | 2,745,885 | |
| PulteGroup, Inc. | 95,553 | 10,646,515 | |
| Taylor Morrison Home Corp. (a) | 48,404 | 2,711,108 | |
| Toll Brothers, Inc. | 46,981 | 5,595,907 | |
| Whirlpool Corp. | 24,777 | 2,350,346 | |
| 65,753,819 | |||
| Specialty Retail - 0.3% | |||
| Asbury Automotive Group, Inc. (a)(b) | 9,270 | 1,948,925 | |
| Best Buy Co., Inc. | 86,359 | 6,359,477 | |
| Signet Jewelers Ltd. | 19,964 | 1,957,071 | |
| 10,265,473 | |||
| Textiles, Apparel & Luxury Goods - 0.6% | |||
| Crocs, Inc. (a) | 27,284 | 3,393,311 | |
| PVH Corp. | 26,866 | 2,923,021 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 60,183 | 3,975,087 | |
| Tapestry, Inc. | 103,326 | 4,124,774 | |
| VF Corp. | 148,883 | 1,855,082 | |
| 16,271,275 | |||
TOTAL CONSUMER DISCRETIONARY | 197,166,776 | ||
| CONSUMER STAPLES - 4.2% | |||
| Beverages - 0.1% | |||
| Molson Coors Beverage Co. Class B | 83,415 | 4,776,343 | |
| Consumer Staples Distribution & Retail - 0.9% | |||
| Albertsons Companies, Inc. | 181,602 | 3,704,681 | |
| Kroger Co. | 298,162 | 16,512,212 | |
| Walgreens Boots Alliance, Inc. | 322,445 | 5,716,950 | |
| 25,933,843 | |||
| Food Products - 2.0% | |||
| Archer Daniels Midland Co. | 240,280 | 14,094,825 | |
| Bunge Global SA | 65,450 | 6,660,192 | |
| Conagra Brands, Inc. | 215,334 | 6,627,981 | |
| Darling Ingredients, Inc. (a) | 71,867 | 3,045,005 | |
| Ingredion, Inc. | 29,372 | 3,365,737 | |
| The J.M. Smucker Co. | 47,816 | 5,491,668 | |
| The Kraft Heinz Co. | 359,150 | 13,866,782 | |
| Tyson Foods, Inc. Class A | 128,992 | 7,823,365 | |
| 60,975,555 | |||
| Tobacco - 1.2% | |||
| Altria Group, Inc. | 794,414 | 34,803,277 | |
TOTAL CONSUMER STAPLES | 126,489,018 | ||
| ENERGY - 14.2% | |||
| Oil, Gas & Consumable Fuels - 14.2% | |||
| APA Corp. | 162,708 | 5,115,540 | |
| Cheniere Energy, Inc. | 107,330 | 16,938,821 | |
| Chesapeake Energy Corp. (b) | 50,083 | 4,501,460 | |
| Chevron Corp. | 678,450 | 109,413,632 | |
| Chord Energy Corp. | 18,595 | 3,290,943 | |
| Civitas Resources, Inc. | 38,657 | 2,781,758 | |
| Coterra Energy, Inc. | 338,852 | 9,270,991 | |
| Devon Energy Corp. | 288,626 | 14,771,879 | |
| EOG Resources, Inc. | 252,351 | 33,343,138 | |
| EQT Corp. | 185,299 | 7,428,637 | |
| Exxon Mobil Corp. | 1,008,372 | 119,260,156 | |
| HF Sinclair Corp. | 70,275 | 3,812,419 | |
| Kinder Morgan, Inc. | 871,155 | 15,924,713 | |
| Marathon Oil Corp. | 263,645 | 7,078,868 | |
| Marathon Petroleum Corp. | 165,779 | 30,125,360 | |
| Murphy Oil Corp. | 65,350 | 2,917,224 | |
| Ovintiv, Inc. | 113,828 | 5,841,653 | |
| PBF Energy, Inc. Class A | 48,994 | 2,609,910 | |
| SM Energy Co. | 52,121 | 2,527,347 | |
| Southwestern Energy Co. (a) | 496,118 | 3,715,924 | |
| Valero Energy Corp. | 153,369 | 24,519,102 | |
| 425,189,475 | |||
| FINANCIALS - 24.2% | |||
| Banks - 17.7% | |||
| Bank of America Corp. | 2,948,970 | 109,141,380 | |
| Bank OZK (b) | 47,398 | 2,116,321 | |
| Citigroup, Inc. | 857,319 | 52,579,374 | |
| Citizens Financial Group, Inc. | 210,027 | 7,164,021 | |
| Comerica, Inc. | 59,418 | 2,981,001 | |
| Credicorp Ltd. (United States) | 30,613 | 5,069,819 | |
| East West Bancorp, Inc. | 63,487 | 4,729,147 | |
| Fifth Third Bancorp | 306,837 | 11,187,277 | |
| First Citizens Bancshares, Inc. | 5,358 | 9,037,660 | |
| First Horizon National Corp. | 251,718 | 3,755,633 | |
| FNB Corp., Pennsylvania | 161,647 | 2,156,371 | |
| Huntington Bancshares, Inc. | 652,447 | 8,788,461 | |
| JPMorgan Chase & Co. | 658,789 | 126,316,201 | |
| M&T Bank Corp. | 74,848 | 10,807,303 | |
| Old National Bancorp, Indiana | 141,185 | 2,335,200 | |
| PNC Financial Services Group, Inc. | 179,306 | 27,480,438 | |
| Popular, Inc. | 32,504 | 2,762,515 | |
| Regions Financial Corp. | 416,249 | 8,021,118 | |
| U.S. Bancorp | 701,411 | 28,498,329 | |
| Webster Financial Corp. | 77,493 | 3,396,518 | |
| Wells Fargo & Co. | 1,621,236 | 96,171,720 | |
| Western Alliance Bancorp. | 48,911 | 2,779,612 | |
| Zions Bancorporation NA | 66,739 | 2,721,616 | |
| 529,997,035 | |||
| Capital Markets - 1.0% | |||
| Affiliated Managers Group, Inc. | 15,230 | 2,377,403 | |
| Bank of New York Mellon Corp. | 342,073 | 19,323,704 | |
| State Street Corp. | 136,021 | 9,860,162 | |
| 31,561,269 | |||
| Consumer Finance - 1.7% | |||
| Ally Financial, Inc. | 122,292 | 4,689,898 | |
| Capital One Financial Corp. | 171,365 | 24,578,882 | |
| Discover Financial Services | 112,647 | 14,275,754 | |
| Synchrony Financial | 183,277 | 8,060,522 | |
| 51,605,056 | |||
| Financial Services - 0.3% | |||
| Essent Group Ltd. | 48,020 | 2,543,619 | |
| Jackson Financial, Inc. | 31,874 | 2,177,632 | |
| MGIC Investment Corp. | 122,754 | 2,489,451 | |
| Radian Group, Inc. | 69,005 | 2,061,179 | |
| 9,271,881 | |||
| Insurance - 3.4% | |||
| American International Group, Inc. | 316,259 | 23,817,465 | |
| Arch Capital Group Ltd. (a) | 167,133 | 15,633,621 | |
| Assured Guaranty Ltd. | 24,487 | 1,878,153 | |
| Everest Re Group Ltd. | 19,551 | 7,163,682 | |
| Hartford Financial Services Group, Inc. | 134,470 | 13,028,798 | |
| Loews Corp. | 82,081 | 6,168,387 | |
| Prudential Financial, Inc. | 162,625 | 17,966,810 | |
| Reinsurance Group of America, Inc. | 29,690 | 5,551,733 | |
| RenaissanceRe Holdings Ltd. | 23,738 | 5,204,557 | |
| Unum Group | 81,896 | 4,152,127 | |
| 100,565,333 | |||
| Mortgage Real Estate Investment Trusts - 0.1% | |||
| Rithm Capital Corp. | 217,686 | 2,420,668 | |
TOTAL FINANCIALS | 725,421,242 | ||
| HEALTH CARE - 11.7% | |||
| Biotechnology - 1.4% | |||
| Gilead Sciences, Inc. | 561,305 | 36,597,086 | |
| United Therapeutics Corp. (a) | 21,170 | 4,960,766 | |
| 41,557,852 | |||
| Health Care Providers & Services - 6.2% | |||
| Centene Corp. (a) | 240,777 | 17,591,168 | |
| Cigna Group | 131,769 | 47,046,804 | |
| CVS Health Corp. | 566,914 | 38,385,747 | |
| Elevance Health, Inc. | 105,846 | 55,948,079 | |
| Humana, Inc. | 55,060 | 16,633,075 | |
| Tenet Healthcare Corp. (a) | 45,748 | 5,137,043 | |
| Universal Health Services, Inc. Class B | 27,483 | 4,683,928 | |
| 185,425,844 | |||
| Pharmaceuticals - 4.1% | |||
| Bristol-Myers Squibb Co. | 916,629 | 40,276,678 | |
| Jazz Pharmaceuticals PLC (a) | 28,361 | 3,140,981 | |
| Organon & Co. | 115,147 | 2,142,886 | |
| Perrigo Co. PLC | 61,043 | 1,993,664 | |
| Pfizer, Inc. | 2,543,627 | 65,167,724 | |
| Royalty Pharma PLC | 173,055 | 4,793,624 | |
| Viatris, Inc. | 540,434 | 6,252,821 | |
| 123,768,378 | |||
TOTAL HEALTH CARE | 350,752,074 | ||
| INDUSTRIALS - 5.7% | |||
| Air Freight & Logistics - 0.9% | |||
| FedEx Corp. | 103,567 | 27,111,769 | |
| Building Products - 0.3% | |||
| Owens Corning | 40,037 | 6,734,624 | |
| UFP Industries, Inc. | 27,846 | 3,138,244 | |
| 9,872,868 | |||
| Electrical Equipment - 0.1% | |||
| Atkore, Inc. | 16,563 | 2,903,494 | |
| Industrial Conglomerates - 0.8% | |||
| 3M Co. | 248,983 | 24,029,349 | |
| Machinery - 1.9% | |||
| AGCO Corp. | 27,998 | 3,197,092 | |
| Allison Transmission Holdings, Inc. | 40,312 | 2,964,948 | |
| CNH Industrial NV | 437,535 | 4,987,899 | |
| Cummins, Inc. | 61,393 | 17,342,909 | |
| Mueller Industries, Inc. | 51,143 | 2,854,802 | |
| PACCAR, Inc. | 227,939 | 24,186,607 | |
| 55,534,257 | |||
| Passenger Airlines - 1.1% | |||
| American Airlines Group, Inc. (a) | 294,740 | 3,981,937 | |
| Delta Air Lines, Inc. | 288,471 | 14,443,743 | |
| Southwest Airlines Co. | 268,789 | 6,972,387 | |
| United Airlines Holdings, Inc. (a) | 147,767 | 7,604,090 | |
| 33,002,157 | |||
| Professional Services - 0.2% | |||
| SS&C Technologies Holdings, Inc. | 97,007 | 6,003,763 | |
| Trading Companies & Distributors - 0.4% | |||
| AerCap Holdings NV (a) | 91,116 | 7,698,391 | |
| Boise Cascade Co. | 17,835 | 2,359,035 | |
| WESCO International, Inc. | 19,788 | 3,022,617 | |
| 13,080,043 | |||
TOTAL INDUSTRIALS | 171,537,700 | ||
| INFORMATION TECHNOLOGY - 18.5% | |||
| Communications Equipment - 2.9% | |||
| Cisco Systems, Inc. | 1,830,537 | 85,998,628 | |
| Electronic Equipment, Instruments & Components - 1.7% | |||
| Arrow Electronics, Inc. (a) | 24,241 | 3,094,848 | |
| Avnet, Inc. | 40,708 | 1,989,400 | |
| Corning, Inc. | 345,909 | 11,546,442 | |
| Flex Ltd. (a) | 189,728 | 5,435,707 | |
| Jabil, Inc. | 57,458 | 6,743,271 | |
| TD SYNNEX Corp. | 33,371 | 3,932,439 | |
| TE Connectivity Ltd. | 139,109 | 19,681,141 | |
| 52,423,248 | |||
| IT Services - 2.8% | |||
| Amdocs Ltd. | 53,619 | 4,503,460 | |
| Cognizant Technology Solutions Corp. Class A | 224,342 | 14,734,783 | |
| IBM Corp. | 380,222 | 63,192,896 | |
| 82,431,139 | |||
| Semiconductors & Semiconductor Equipment - 4.0% | |||
| NVIDIA Corp. | 51,260 | 44,289,665 | |
| Qualcomm, Inc. | 404,909 | 67,154,158 | |
| Skyworks Solutions, Inc. | 72,179 | 7,693,560 | |
| 119,137,383 | |||
| Software - 3.7% | |||
| Gen Digital, Inc. | 252,488 | 5,085,108 | |
| Microsoft Corp. | 256,789 | 99,975,661 | |
| Zoom Video Communications, Inc. Class A (a) | 116,129 | 7,095,482 | |
| 112,156,251 | |||
| Technology Hardware, Storage & Peripherals - 3.4% | |||
| Apple, Inc. | 386,114 | 65,766,798 | |
| Dell Technologies, Inc. | 120,188 | 14,980,232 | |
| Hewlett Packard Enterprise Co. | 585,631 | 9,955,727 | |
| HP, Inc. | 392,821 | 11,034,342 | |
| 101,737,099 | |||
TOTAL INFORMATION TECHNOLOGY | 553,883,748 | ||
| MATERIALS - 5.2% | |||
| Chemicals - 2.3% | |||
| Celanese Corp. Class A | 45,115 | 6,930,115 | |
| CF Industries Holdings, Inc. | 86,068 | 6,796,790 | |
| Dow, Inc. | 316,373 | 18,001,624 | |
| DuPont de Nemours, Inc. | 193,758 | 14,047,455 | |
| Eastman Chemical Co. | 52,842 | 4,990,398 | |
| LyondellBasell Industries NV Class A | 115,306 | 11,527,141 | |
| Olin Corp. | 54,148 | 2,830,857 | |
| The Mosaic Co. | 147,234 | 4,621,675 | |
| 69,746,055 | |||
| Containers & Packaging - 0.7% | |||
| Berry Global Group, Inc. | 52,211 | 2,957,231 | |
| Graphic Packaging Holding Co. (b) | 137,872 | 3,563,991 | |
| International Paper Co. | 155,876 | 5,446,307 | |
| Sonoco Products Co. | 44,128 | 2,473,374 | |
| WestRock Co. | 115,760 | 5,551,850 | |
| 19,992,753 | |||
| Metals & Mining - 2.2% | |||
| Cleveland-Cliffs, Inc. (a) | 224,472 | 3,793,577 | |
| Commercial Metals Co. | 52,431 | 2,817,642 | |
| Newmont Corp. | 498,728 | 20,268,306 | |
| Nucor Corp. | 110,747 | 18,664,192 | |
| Reliance, Inc. | 25,890 | 7,371,401 | |
| Steel Dynamics, Inc. | 68,522 | 8,916,083 | |
| United States Steel Corp. | 100,787 | 3,678,726 | |
| 65,509,927 | |||
TOTAL MATERIALS | 155,248,735 | ||
| REAL ESTATE - 0.4% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
| VICI Properties, Inc. | 466,042 | 13,305,499 | |
| UTILITIES - 0.5% | |||
| Gas Utilities - 0.1% | |||
| National Fuel Gas Co. | 41,502 | 2,203,756 | |
| UGI Corp. | 94,400 | 2,412,864 | |
| 4,616,620 | |||
| Independent Power and Renewable Electricity Producers - 0.4% | |||
| Vistra Corp. | 151,408 | 11,482,783 | |
TOTAL UTILITIES | 16,099,403 | ||
| TOTAL COMMON STOCKS (Cost $2,821,988,404) | 2,991,297,423 | ||
| U.S. Treasury Obligations - 0.0% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.3% 5/23/24 (d) (Cost $299,040) | 300,000 | 299,032 | |
| Money Market Funds - 1.8% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.39% (e) | 50,734,798 | 50,744,945 | |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | 5,077,763 | 5,078,271 | |
| TOTAL MONEY MARKET FUNDS (Cost $55,823,216) | 55,823,216 | ||
| TOTAL INVESTMENT IN SECURITIES - 101.6% (Cost $2,878,110,660) | 3,047,419,671 |
NET OTHER ASSETS (LIABILITIES) - (1.6)% (g) | (49,210,295) |
| NET ASSETS - 100.0% | 2,998,209,376 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CME E-mini S&P 500 Index Contracts (United States) | 26 | Jun 2024 | 6,587,100 | (11,117) | (11,117) |
| 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) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $299,032. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
| (g) | Includes $15,808 of cash collateral to cover margin requirements for futures contracts. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | 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% | 224,734 | 1,449,230,776 | 1,398,710,582 | 663,952 | 17 | - | 50,744,945 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 3,834,773 | 56,448,312 | 55,204,814 | 37,293 | - | - | 5,078,271 | 0.0% |
| Total | 4,059,507 | 1,505,679,088 | 1,453,915,396 | 701,245 | 17 | - | 55,823,216 | |
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. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
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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