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 811-5511
Variable Insurance Products Fund II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
| |
Date of reporting period: | June 30, 2012 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products:
Contrafund Portfolio
Semiannual Report
June 30, 2012
(Fidelity Cover Art)
Contents
Shareholder Expense Example | (Click Here) | An example of shareholder expenses. |
Investment Changes | (Click Here) | A summary of major shifts in the fund's investments over the past six months. |
Investments | (Click Here) | A complete list of the fund's investments with their market values. |
Financial Statements | (Click Here) | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. |
Notes | (Click Here) | Notes to the financial statements. |
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 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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. ©2012 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 to June 30, 2012).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio | Beginning
Account Value
January 1, 2012 | Ending
Account Value
June 30, 2012 | Expenses Paid
During Period*
January 1, 2012
to June 30, 2012 |
Initial Class | .64% | | | |
Actual | | $ 1,000.00 | $ 1,094.30 | $ 3.33 |
HypotheticalA | | $ 1,000.00 | $ 1,021.68 | $ 3.22 |
Service Class | .74% | | | |
Actual | | $ 1,000.00 | $ 1,093.70 | $ 3.85 |
HypotheticalA | | $ 1,000.00 | $ 1,021.18 | $ 3.72 |
Service Class 2 | .89% | | | |
Actual | | $ 1,000.00 | $ 1,092.80 | $ 4.63 |
HypotheticalA | | $ 1,000.00 | $ 1,020.44 | $ 4.47 |
Service Class 2R | .89% | | | |
Actual | | $ 1,000.00 | $ 1,092.90 | $ 4.63 |
HypotheticalA | | $ 1,000.00 | $ 1,020.44 | $ 4.47 |
Investor Class | .73% | | | |
Actual | | $ 1,000.00 | $ 1,094.20 | $ 3.80 |
HypotheticalA | | $ 1,000.00 | $ 1,021.23 | $ 3.67 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Apple, Inc. | 6.9 | 5.2 |
Microsoft Corp. | 2.8 | 0.5 |
QUALCOMM, Inc. | 2.3 | 2.2 |
The Coca-Cola Co. | 2.1 | 1.9 |
Procter & Gamble Co. | 2.1 | 2.3 |
U.S. Bancorp | 1.9 | 1.3 |
Comcast Corp. Class A | 1.8 | 0.3 |
General Electric Co. | 1.8 | 0.8 |
Pfizer, Inc. | 1.7 | 1.2 |
Capital One Financial Corp. | 1.7 | 1.0 |
| 25.1 | |
Market Sectors as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 20.2 | 19.7 |
Financials | 14.7 | 13.3 |
Health Care | 11.5 | 11.5 |
Consumer Staples | 11.1 | 11.4 |
Energy | 10.6 | 11.8 |
Consumer Discretionary | 10.5 | 9.8 |
Industrials | 10.2 | 10.8 |
Utilities | 3.7 | 3.8 |
Materials | 3.4 | 3.4 |
Telecommunication Services | 2.0 | 2.8 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2012 * | As of December 31, 2011 ** |
 | Stocks and
Equity Futures 98.1% | | | Stocks and
Equity Futures 98.8% | |
 | Short-Term
Investments and
Net Other Assets (Liabilities) 1.9% | | | Short-Term
Investments and
Net Other Assets (Liabilities) 1.2% | |
* Foreign investments | 13.9% | | ** Foreign investments | 16.8% | |
Semiannual Report
Investments June 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.9% |
| Shares | | Value |
CONSUMER DISCRETIONARY - 10.5% |
Diversified Consumer Services - 0.2% |
Weight Watchers International, Inc. (d) | 641,017 | | $ 33,050,837 |
Hotels, Restaurants & Leisure - 2.7% |
Arcos Dorados Holdings, Inc. | 2,491,899 | | 36,830,267 |
Domino's Pizza, Inc. | 782,987 | | 24,202,128 |
Dunkin' Brands Group, Inc. | 436,711 | | 14,996,656 |
Icahn Enterprises LP rights (a) | 363,975 | | 4 |
McDonald's Corp. | 1,829,816 | | 161,993,610 |
Starbucks Corp. | 1,621,524 | | 86,459,660 |
Yum! Brands, Inc. | 1,682,792 | | 108,405,461 |
| | 432,887,786 |
Household Durables - 0.1% |
Harman International Industries, Inc. | 237,050 | | 9,387,180 |
Internet & Catalog Retail - 0.5% |
Priceline.com, Inc. (a) | 123,962 | | 82,375,228 |
Media - 3.3% |
Comcast Corp. Class A | 9,109,486 | | 291,230,267 |
DIRECTV (a) | 1,244,695 | | 60,766,010 |
Legend Pictures LLC (a)(g)(h) | 6,611 | | 7,068,018 |
The Walt Disney Co. | 3,538,626 | | 171,623,361 |
Weinstein Co. Holdings LLC Class A-1 (a)(g)(h) | 11,499 | | 4,312,125 |
| | 534,999,781 |
Multiline Retail - 0.8% |
Dollar General Corp. (a) | 2,324,003 | | 126,402,523 |
Specialty Retail - 2.6% |
AutoZone, Inc. (a) | 230,484 | | 84,626,810 |
Limited Brands, Inc. | 728,070 | | 30,964,817 |
Lowe's Companies, Inc. | 5,389,135 | | 153,266,999 |
TJX Companies, Inc. | 3,266,649 | | 140,237,242 |
| | 409,095,868 |
Textiles, Apparel & Luxury Goods - 0.3% |
Under Armour, Inc. Class A
(sub. vtg.) (a)(d) | 541,706 | | 51,180,383 |
TOTAL CONSUMER DISCRETIONARY | | 1,679,379,586 |
CONSUMER STAPLES - 11.1% |
Beverages - 4.3% |
Anheuser-Busch InBev SA NV | 825,677 | | 65,097,423 |
Coca-Cola Bottling Co. CONSOLIDATED | 148,512 | | 9,546,351 |
Coca-Cola FEMSA SAB de CV sponsored ADR | 48,947 | | 6,406,183 |
Coca-Cola Icecek A/S | 486,386 | | 7,530,444 |
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR | 200,370 | | 7,680,182 |
Constellation Brands, Inc. Class A
(sub. vtg.) (a) | 2,000,269 | | 54,127,279 |
Diageo PLC sponsored ADR | 627,882 | | 64,715,798 |
Embotelladora Andina SA sponsored ADR | 265,456 | | 8,574,229 |
|
| Shares | | Value |
Molson Coors Brewing Co. Class B | 894,028 | | $ 37,200,505 |
Monster Beverage Corp. (a) | 26,800 | | 1,908,160 |
Pernod Ricard SA (d) | 429,379 | | 45,785,125 |
Remy Cointreau SA | 324,908 | | 35,599,192 |
The Coca-Cola Co. | 4,303,795 | | 336,513,731 |
| | 680,684,602 |
Food & Staples Retailing - 1.5% |
CVS Caremark Corp. | 3,957,416 | | 184,930,050 |
Drogasil SA | 607,100 | | 6,120,874 |
Kroger Co. | 321,500 | | 7,455,585 |
Safeway, Inc. | 330,232 | | 5,993,711 |
Wal-Mart Stores, Inc. | 392,683 | | 27,377,859 |
Walgreen Co. | 464,823 | | 13,749,464 |
| | 245,627,543 |
Food Products - 0.7% |
Bunge Ltd. | 439,131 | | 27,551,079 |
Green Mountain Coffee Roasters, Inc. (a) | 207,119 | | 4,511,052 |
Mead Johnson Nutrition Co. Class A | 53,600 | | 4,315,336 |
Nestle SA | 417,951 | | 24,901,363 |
Orion Corp. | 7,305 | | 6,072,784 |
Pilgrims Pride Corp. | 20,100 | | 143,715 |
Unilever NV (NY Reg.) | 1,329,447 | | 44,337,057 |
| | 111,832,386 |
Household Products - 2.3% |
Colgate-Palmolive Co. | 373,902 | | 38,923,198 |
Procter & Gamble Co. | 5,360,720 | | 328,344,100 |
Spectrum Brands Holdings, Inc. (a) | 246,002 | | 8,012,285 |
| | 375,279,583 |
Personal Products - 0.4% |
L'Oreal SA | 336,600 | | 39,291,224 |
Nu Skin Enterprises, Inc. Class A | 376,849 | | 17,674,218 |
| | 56,965,442 |
Tobacco - 1.9% |
Altria Group, Inc. | 652,993 | | 22,560,908 |
British American Tobacco PLC sponsored ADR | 2,564,639 | | 261,900,935 |
Philip Morris International, Inc. | 152,500 | | 13,307,150 |
Souza Cruz SA | 590,300 | | 8,664,199 |
| | 306,433,192 |
TOTAL CONSUMER STAPLES | | 1,776,822,748 |
ENERGY - 10.6% |
Energy Equipment & Services - 2.6% |
Baker Hughes, Inc. | 375,027 | | 15,413,610 |
Cameron International Corp. (a) | 1,081,780 | | 46,202,824 |
Discovery Offshore S.A. (a)(e) | 1,310,900 | | 2,093,509 |
Ensco PLC Class A | 1,023,201 | | 48,059,751 |
Forum Energy Technologies, Inc. | 626,050 | | 12,326,925 |
Halliburton Co. | 1,498,732 | | 42,549,001 |
National Oilwell Varco, Inc. | 1,309,082 | | 84,357,244 |
Common Stocks - continued |
| Shares | | Value |
ENERGY - continued |
Energy Equipment & Services - continued |
Noble Corp. | 1,657,901 | | $ 53,931,520 |
Ocean Rig UDW, Inc. (United States) | 1,137,864 | | 15,372,543 |
Oceaneering International, Inc. | 358,418 | | 17,153,885 |
Oil States International, Inc. (a) | 126,678 | | 8,386,084 |
Schlumberger Ltd. | 779,179 | | 50,576,509 |
Transocean Ltd. (United States) | 174,583 | | 7,809,098 |
Vantage Drilling Co. (a) | 5,923,400 | | 8,885,100 |
| | 413,117,603 |
Oil, Gas & Consumable Fuels - 8.0% |
Alpha Natural Resources, Inc. (a) | 817,624 | | 7,121,505 |
Anadarko Petroleum Corp. | 1,366,403 | | 90,455,879 |
Apache Corp. | 1,011,008 | | 88,857,493 |
Calumet Specialty Products Partners LP | 183,916 | | 4,373,522 |
Cheniere Energy, Inc. (a) | 234,975 | | 3,463,532 |
Chevron Corp. | 571,381 | | 60,280,696 |
Cobalt International Energy, Inc. (a) | 612,409 | | 14,391,612 |
EV Energy Partners LP | 63,500 | | 3,204,210 |
Exxon Mobil Corp. | 2,951,302 | | 252,542,912 |
Halcon Resources Corp. (h) | 1,140,000 | | 10,761,600 |
Hess Corp. | 873,800 | | 37,966,610 |
HollyFrontier Corp. | 1,823,875 | | 64,619,891 |
InterOil Corp. (a)(d) | 486,648 | | 33,919,366 |
Kodiak Oil & Gas Corp. (a) | 874,463 | | 7,179,341 |
Marathon Oil Corp. | 2,647,858 | | 67,705,729 |
Marathon Petroleum Corp. | 1,760,760 | | 79,093,339 |
Midstates Petroleum Co., Inc. | 1,051,900 | | 10,213,949 |
Noble Energy, Inc. | 400,204 | | 33,945,303 |
Occidental Petroleum Corp. | 1,281,411 | | 109,906,621 |
Painted Pony Petroleum Ltd. Class A (a) | 114,500 | | 826,613 |
QEP Resources, Inc. | 693,946 | | 20,797,562 |
Rockhopper Exploration PLC (a) | 1,675,758 | | 6,764,619 |
Royal Dutch Shell PLC: | | | |
Class A sponsored ADR | 31,408 | | 2,117,841 |
Class B sponsored ADR | 2,395,188 | | 167,495,497 |
Suncor Energy, Inc. | 2,057,610 | | 59,499,105 |
Williams Companies, Inc. | 1,771,600 | | 51,057,512 |
| | 1,288,561,859 |
TOTAL ENERGY | | 1,701,679,462 |
FINANCIALS - 14.7% |
Capital Markets - 1.3% |
BlackRock, Inc. Class A | 353,821 | | 60,085,882 |
E*TRADE Financial Corp. (a) | 795,347 | | 6,394,590 |
Evercore Partners, Inc. Class A | 370,900 | | 8,675,351 |
ICAP PLC | 1,163,090 | | 6,147,810 |
Invesco Ltd. | 1,222,561 | | 27,629,879 |
Morgan Stanley | 331,141 | | 4,831,347 |
|
| Shares | | Value |
State Street Corp. | 932,274 | | $ 41,616,711 |
TD Ameritrade Holding Corp. | 1,059,400 | | 18,009,800 |
The Blackstone Group LP | 1,306,135 | | 17,071,184 |
UBS AG | 1,318,256 | | 15,426,464 |
| | 205,889,018 |
Commercial Banks - 3.7% |
CIT Group, Inc. (a) | 372,312 | | 13,269,200 |
Comerica, Inc. | 1,496,497 | | 45,957,423 |
FirstMerit Corp. | 456,685 | | 7,544,436 |
Huntington Bancshares, Inc. | 6,271,651 | | 40,138,566 |
Synovus Financial Corp. (d) | 5,544,386 | | 10,977,884 |
U.S. Bancorp | 9,308,195 | | 299,351,551 |
Wells Fargo & Co. | 5,131,490 | | 171,597,026 |
| | 588,836,086 |
Consumer Finance - 2.2% |
Capital One Financial Corp. | 4,893,010 | | 267,451,927 |
SLM Corp. | 5,020,140 | | 78,866,399 |
| | 346,318,326 |
Diversified Financial Services - 1.9% |
African Bank Investments Ltd. | 1,244,941 | | 5,529,552 |
Bank of America Corp. | 10,198,795 | | 83,426,143 |
Citigroup, Inc. | 4,601,145 | | 126,117,384 |
JPMorgan Chase & Co. | 2,222,196 | | 79,399,063 |
NBH Holdings Corp. Class A (a)(e) | 813,800 | | 14,851,850 |
| | 309,323,992 |
Insurance - 3.5% |
ACE Ltd. | 985,620 | | 73,064,011 |
Amlin PLC | 2,680,756 | | 14,858,371 |
Aon PLC | 181,627 | | 8,496,511 |
Berkshire Hathaway, Inc.: | | | |
Class A (a) | 292 | | 36,483,940 |
Class B (a) | 965,501 | | 80,455,198 |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 111,900 | | 44,309,366 |
MetLife, Inc. | 4,035,250 | | 124,487,463 |
The Travelers Companies, Inc. | 1,402,834 | | 89,556,923 |
Torchmark Corp. | 893,568 | | 45,169,862 |
Validus Holdings Ltd. | 1,186,157 | | 37,992,609 |
| | 554,874,254 |
Real Estate Investment Trusts - 1.8% |
American Tower Corp. | 1,985,606 | | 138,813,715 |
Camden Property Trust (SBI) | 648,135 | | 43,859,295 |
Equity Lifestyle Properties, Inc. | 333,800 | | 23,022,186 |
Japan Retail Fund Investment Corp. | 4,188 | | 6,643,236 |
Sun Communities, Inc. | 332,769 | | 14,721,701 |
The Macerich Co. | 1,075,908 | | 63,532,367 |
| | 290,592,500 |
Real Estate Management & Development - 0.0% |
PT Lippo Karawaci Tbk | 82,595,250 | | 7,080,334 |
Common Stocks - continued |
| Shares | | Value |
FINANCIALS - continued |
Thrifts & Mortgage Finance - 0.3% |
Ocwen Financial Corp. (a) | 2,605,219 | | $ 48,926,013 |
TOTAL FINANCIALS | | 2,351,840,523 |
HEALTH CARE - 11.5% |
Biotechnology - 2.8% |
Alexion Pharmaceuticals, Inc. (a) | 172,036 | | 17,083,175 |
Amgen, Inc. | 2,407,816 | | 175,866,881 |
Biogen Idec, Inc. (a) | 715,857 | | 103,355,434 |
BioMarin Pharmaceutical, Inc. (a) | 775,630 | | 30,699,435 |
Gilead Sciences, Inc. (a) | 1,860,825 | | 95,423,106 |
ONYX Pharmaceuticals, Inc. (a) | 375,228 | | 24,933,901 |
| | 447,361,932 |
Health Care Equipment & Supplies - 1.9% |
Boston Scientific Corp. (a) | 3,652,683 | | 20,710,713 |
C.R. Bard, Inc. | 527,888 | | 56,716,287 |
Covidien PLC | 1,671,182 | | 89,408,237 |
Edwards Lifesciences Corp. (a) | 655,677 | | 67,731,434 |
Mako Surgical Corp. (a)(d) | 739,288 | | 18,933,166 |
Quidel Corp. (a)(d) | 1,609,104 | | 25,230,751 |
The Cooper Companies, Inc. | 432,668 | | 34,509,600 |
| | 313,240,188 |
Health Care Providers & Services - 2.7% |
Catalyst Health Solutions, Inc. (a) | 287,454 | | 26,859,702 |
CIGNA Corp. | 1,158,088 | | 50,955,872 |
Express Scripts Holding Co. (a) | 544,816 | | 30,417,077 |
Henry Schein, Inc. (a) | 847,513 | | 66,521,295 |
McKesson Corp. | 852,966 | | 79,965,563 |
Omnicare, Inc. | 964,520 | | 30,121,960 |
UnitedHealth Group, Inc. | 2,636,909 | | 154,259,177 |
| | 439,100,646 |
Health Care Technology - 0.1% |
SXC Health Solutions Corp. (a) | 110,800 | | 11,003,819 |
Life Sciences Tools & Services - 0.1% |
Agilent Technologies, Inc. | 221,097 | | 8,675,846 |
Fluidigm Corp. (a)(h) | 312,345 | | 4,697,669 |
| | 13,373,515 |
Pharmaceuticals - 3.9% |
Allergan, Inc. | 647,258 | | 59,916,673 |
Elan Corp. PLC sponsored ADR (a) | 320,900 | | 4,681,931 |
Eli Lilly & Co. | 460,800 | | 19,772,928 |
GlaxoSmithKline PLC sponsored ADR | 825,008 | | 37,595,615 |
Jazz Pharmaceuticals PLC (a) | 295,637 | | 13,306,621 |
Merck & Co., Inc. | 2,433,536 | | 101,600,128 |
Optimer Pharmaceuticals, Inc. (a) | 681,649 | | 10,579,192 |
Pfizer, Inc. | 11,853,477 | | 272,629,971 |
Sanofi SA sponsored ADR | 499,962 | | 18,888,564 |
|
| Shares | | Value |
Shire PLC sponsored ADR | 337,923 | | $ 29,193,168 |
Valeant Pharmaceuticals International, Inc. (Canada) (a) | 1,220,434 | | 54,746,313 |
| | 622,911,104 |
TOTAL HEALTH CARE | | 1,846,991,204 |
INDUSTRIALS - 10.2% |
Aerospace & Defense - 3.2% |
Honeywell International, Inc. | 1,566,966 | | 87,499,381 |
MTU Aero Engines Holdings AG | 270,697 | | 19,848,335 |
Precision Castparts Corp. | 455,595 | | 74,940,822 |
Raytheon Co. | 847,185 | | 47,942,199 |
Textron, Inc. | 2,596,299 | | 64,569,956 |
The Boeing Co. | 1,319,780 | | 98,059,654 |
United Technologies Corp. | 1,478,962 | | 111,706,000 |
| | 504,566,347 |
Air Freight & Logistics - 0.3% |
United Parcel Service, Inc. Class B | 624,960 | | 49,221,850 |
Building Products - 0.7% |
Armstrong World Industries, Inc. | 818,106 | | 40,218,091 |
Owens Corning (a) | 1,819,501 | | 51,928,559 |
Quanex Building Products Corp. | 1,091,013 | | 19,507,312 |
| | 111,653,962 |
Commercial Services & Supplies - 0.2% |
Stericycle, Inc. (a) | 434,599 | | 39,839,690 |
Construction & Engineering - 0.2% |
Fluor Corp. | 380,475 | | 18,772,637 |
Foster Wheeler AG (a) | 682,476 | | 11,827,309 |
| | 30,599,946 |
Electrical Equipment - 0.5% |
Regal-Beloit Corp. | 796,275 | | 49,576,082 |
Roper Industries, Inc. | 390,180 | | 38,463,944 |
| | 88,040,026 |
Industrial Conglomerates - 2.6% |
Danaher Corp. | 1,807,469 | | 94,132,986 |
General Electric Co. | 13,378,570 | | 278,809,399 |
Tyco International Ltd. | 669,074 | | 35,360,561 |
| | 408,302,946 |
Machinery - 1.2% |
Caterpillar, Inc. | 444,936 | | 37,779,516 |
Cummins, Inc. | 416,413 | | 40,354,584 |
Fanuc Corp. | 146,500 | | 24,081,836 |
Fiat Industrial SpA | 1,324,972 | | 12,978,061 |
Illinois Tool Works, Inc. | 1,356,866 | | 71,764,643 |
| | 186,958,640 |
Road & Rail - 1.2% |
Canadian Pacific | 110,900 | | 8,139,130 |
CSX Corp. | 2,380,055 | | 53,218,030 |
Common Stocks - continued |
| Shares | | Value |
INDUSTRIALS - continued |
Road & Rail - continued |
J.B. Hunt Transport Services, Inc. | 240,901 | | $ 14,357,700 |
Union Pacific Corp. | 1,030,134 | | 122,905,288 |
| | 198,620,148 |
Trading Companies & Distributors - 0.1% |
W.W. Grainger, Inc. | 75,200 | | 14,381,248 |
TOTAL INDUSTRIALS | | 1,632,184,803 |
INFORMATION TECHNOLOGY - 20.2% |
Communications Equipment - 2.9% |
Acme Packet, Inc. (a) | 825,286 | | 15,391,584 |
ADTRAN, Inc. | 908,059 | | 27,414,301 |
Comverse Technology, Inc. (a) | 7,878 | | 45,850 |
Juniper Networks, Inc. (a) | 2,340,635 | | 38,175,757 |
QUALCOMM, Inc. | 6,558,281 | | 365,165,086 |
Riverbed Technology, Inc. (a) | 1,007,070 | | 16,264,181 |
| | 462,456,759 |
Computers & Peripherals - 7.5% |
Apple, Inc. (a) | 1,895,157 | | 1,106,771,680 |
SanDisk Corp. (a) | 2,432,566 | | 88,740,008 |
| | 1,195,511,688 |
Electronic Equipment & Components - 0.1% |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 5,750,000 | | 17,438,498 |
Jabil Circuit, Inc. | 215,500 | | 4,381,115 |
| | 21,819,613 |
Internet Software & Services - 1.5% |
Dice Holdings, Inc. (a) | 1,207,022 | | 11,333,937 |
eBay, Inc. (a) | 1,293,980 | | 54,360,100 |
Google, Inc. Class A (a) | 92,615 | | 53,723,183 |
Mail.ru Group Ltd.: | | | |
GDR (a)(e) | 494,266 | | 16,750,675 |
GDR (Reg. S) (a) | 246,700 | | 8,360,663 |
VeriSign, Inc. (a) | 2,342,588 | | 102,066,559 |
| | 246,595,117 |
IT Services - 0.4% |
Accenture PLC Class A | 982,990 | | 59,067,869 |
Semiconductors & Semiconductor Equipment - 3.3% |
Amkor Technology, Inc. (a)(d) | 593,770 | | 2,897,598 |
Analog Devices, Inc. | 3,991,806 | | 150,371,332 |
ASML Holding NV | 334,690 | | 17,209,760 |
Avago Technologies Ltd. | 1,972,891 | | 70,826,787 |
Fairchild Semiconductor International, Inc. (a) | 1,243,657 | | 17,535,564 |
International Rectifier Corp. (a) | 1,722,798 | | 34,438,732 |
Maxim Integrated Products, Inc. | 1,949,808 | | 49,993,077 |
|
| Shares | | Value |
Micron Technology, Inc. (a) | 9,025,766 | | $ 56,952,583 |
NXP Semiconductors NV (a) | 1,676,606 | | 38,981,090 |
ON Semiconductor Corp. (a) | 2,521,623 | | 17,903,523 |
PMC-Sierra, Inc. (a) | 2,349,036 | | 14,423,081 |
RF Micro Devices, Inc. (a) | 3,874,921 | | 16,468,414 |
Skyworks Solutions, Inc. (a) | 1,328,988 | | 36,374,402 |
| | 524,375,943 |
Software - 4.5% |
Ariba, Inc. (a) | 1,365,741 | | 61,130,567 |
Check Point Software Technologies Ltd. (a) | 1,113,991 | | 55,242,814 |
Citrix Systems, Inc. (a) | 1,886,778 | | 158,376,145 |
Microsoft Corp. | 14,868,639 | | 454,831,667 |
ServiceNow, Inc. | 47,400 | | 1,166,040 |
| | 730,747,233 |
TOTAL INFORMATION TECHNOLOGY | | 3,240,574,222 |
MATERIALS - 3.4% |
Chemicals - 2.4% |
Air Products & Chemicals, Inc. | 860,907 | | 69,501,022 |
E.I. du Pont de Nemours & Co. | 1,973,384 | | 99,794,029 |
Eastman Chemical Co. | 773,711 | | 38,971,823 |
Ecolab, Inc. | 866,758 | | 59,398,926 |
LyondellBasell Industries NV Class A | 583,946 | | 23,515,505 |
Sherwin-Williams Co. | 438,296 | | 58,008,476 |
Sigma Aldrich Corp. | 382,699 | | 28,292,937 |
| | 377,482,718 |
Containers & Packaging - 0.4% |
Ball Corp. | 861,922 | | 35,381,898 |
Rock-Tenn Co. Class A | 603,886 | | 32,941,981 |
| | 68,323,879 |
Metals & Mining - 0.6% |
First Quantum Minerals Ltd. | 1,950,900 | | 34,491,897 |
Goldcorp, Inc. | 1,018,733 | | 38,353,832 |
Ivanhoe Mines Ltd. | 1,862,400 | | 18,366,070 |
Ivanhoe Mines Ltd. rights 7/19/12 (a) | 1,875,800 | | 1,695,055 |
| | 92,906,854 |
TOTAL MATERIALS | | 538,713,451 |
TELECOMMUNICATION SERVICES - 2.0% |
Diversified Telecommunication Services - 1.6% |
CenturyLink, Inc. | 2,974,550 | | 117,464,980 |
Verizon Communications, Inc. | 2,900,092 | | 128,880,088 |
| | 246,345,068 |
Wireless Telecommunication Services - 0.4% |
MetroPCS Communications, Inc. (a) | 379,800 | | 2,297,790 |
SBA Communications Corp. Class A (a) | 499,379 | | 28,489,572 |
Common Stocks - continued |
| Shares | | Value |
TELECOMMUNICATION SERVICES - continued |
Wireless Telecommunication Services - continued |
Sprint Nextel Corp. (a) | 7,055,938 | | $ 23,002,358 |
Vodafone Group PLC sponsored ADR | 523,500 | | 14,752,230 |
| | 68,541,950 |
TOTAL TELECOMMUNICATION SERVICES | | 314,887,018 |
UTILITIES - 3.7% |
Electric Utilities - 2.4% |
Duke Energy Corp. | 3,882,213 | | 89,523,832 |
Edison International | 1,991,188 | | 91,992,886 |
Exelon Corp. | 187,826 | | 7,066,014 |
FirstEnergy Corp. | 1,751,014 | | 86,132,379 |
NextEra Energy, Inc. | 1,424,513 | | 98,020,740 |
Progress Energy, Inc. | 103,100 | | 6,203,527 |
| | 378,939,378 |
Gas Utilities - 0.1% |
ONEOK, Inc. | 254,919 | | 10,785,623 |
Independent Power Producers & Energy Traders - 0.2% |
The AES Corp. (a) | 3,220,059 | | 41,313,357 |
Multi-Utilities - 1.0% |
CenterPoint Energy, Inc. | 2,009,829 | | 41,543,165 |
NiSource, Inc. | 850,080 | | 21,039,480 |
PG&E Corp. | 672,634 | | 30,450,141 |
Sempra Energy | 936,874 | | 64,531,881 |
| | 157,564,667 |
TOTAL UTILITIES | | 588,603,025 |
TOTAL COMMON STOCKS (Cost $13,310,953,125) |
15,671,676,042
|
Convertible Preferred Stocks - 0.0% |
| | | |
CONSUMER DISCRETIONARY - 0.0% |
Media - 0.0% |
Jumptap, Inc. Series G (h) (Cost $8,211,980) | 1,141,504 | |
8,211,980
|
U.S. Treasury Obligations - 0.0% |
| Principal Amount | | |
U.S. Treasury Bills, yield at date of purchase 0.08% 8/23/12 (f)
(Cost $6,799,161) | | $ 6,800,000 | |
6,799,558
|
Money Market Funds - 3.4% |
| Shares | | Value |
Fidelity Cash Central Fund, 0.17% (b) | 377,739,001 | | $ 377,739,001 |
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c) | 159,124,264 | | 159,124,264 |
TOTAL MONEY MARKET FUNDS (Cost $536,863,265) |
536,863,265
|
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $13,862,827,531) | 16,223,550,845 |
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (210,641,863) |
NET ASSETS - 100% | $ 16,012,908,982 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/(Depreciation) |
Purchased |
Equity Index Contracts |
584 CME E-mini S&P 500 Index Contracts | Sept. 2012 | | $ 39,606,880 | | $ 2,275,264 |
|
The face value of futures purchased as a percentage of net assets is 0.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) 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 $33,696,034 or 0.2% of net assets. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,299,850. |
(g) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(h) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $35,051,392 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Fluidigm Corp. | 10/9/07 - 1/6/11 | $ 5,645,227 |
Halcon Resources Corp. | 3/1/12 | $ 10,260,000 |
Jumptap, Inc. Series G | 6/29/12 | $ 8,211,980 |
Legend Pictures LLC | 9/23/10 | $ 4,958,250 |
Weinstein Co. Holdings LLC Class A-1 | 10/19/05 | $ 11,499,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 231,333 |
Fidelity Securities Lending Cash Central Fund | 1,129,225 |
Total | $ 1,360,558 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2012, 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 in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | | | | |
Equities: | | | | |
Consumer Discretionary | $ 1,687,591,566 | $ 1,667,999,439 | $ - | $ 19,592,127 |
Consumer Staples | 1,776,822,748 | 1,705,652,541 | 71,170,207 | - |
Energy | 1,701,679,462 | 1,699,585,953 | - | 2,093,509 |
Financials | 2,351,840,523 | 2,307,838,639 | 29,150,034 | 14,851,850 |
Health Care | 1,846,991,204 | 1,846,991,204 | - | - |
Industrials | 1,632,184,803 | 1,608,102,967 | 24,081,836 | - |
Information Technology | 3,240,574,222 | 3,223,135,724 | 17,438,498 | - |
Materials | 538,713,451 | 538,713,451 | - | - |
Telecommunication Services | 314,887,018 | 314,887,018 | - | - |
Utilities | 588,603,025 | 588,603,025 | - | - |
U.S. Government and Government Agency Obligations | 6,799,558 | - | 6,799,558 | - |
Money Market Funds | 536,863,265 | 536,863,265 | - | - |
Total Investments in Securities: | $ 16,223,550,845 | $ 16,038,373,226 | $ 148,640,133 | $ 36,537,486 |
Derivative Instruments: | | | | |
Assets | | | | |
Futures Contracts | $ 2,275,264 | $ 2,275,264 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure /
Derivative Type | Value |
| Asset | Liability |
Equity Risk | | |
Futures Contracts (a) | $ 2,275,264 | $ - |
Total Value of Derivatives | $ 2,275,264 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 86.1% |
United Kingdom | 3.8% |
Canada | 2.0% |
Switzerland | 1.4% |
Ireland | 1.1% |
Others (Individually Less Than 1%) | 5.6% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities
| June 30, 2012 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $160,383,891) - See accompanying schedule: Unaffiliated issuers (cost $13,325,964,266) | $ 15,686,687,580 | |
Fidelity Central Funds (cost $536,863,265) | 536,863,265 | |
Total Investments (cost $13,862,827,531) | | $ 16,223,550,845 |
Cash | | 288,327 |
Receivable for investments sold | | 248,682,078 |
Receivable for fund shares sold | | 3,599,933 |
Dividends receivable | | 17,113,563 |
Distributions receivable from Fidelity Central Funds | | 217,873 |
Receivable for daily variation margin on futures contracts | | 992,800 |
Other receivables | | 718,076 |
Total assets | | 16,495,163,495 |
| | |
Liabilities | | |
Payable for investments purchased | $ 299,295,570 | |
Payable for fund shares redeemed | 13,059,712 | |
Accrued management fee | 7,234,621 | |
Distribution and service plan fees payable | 1,650,327 | |
Other affiliated payables | 1,342,055 | |
Other payables and accrued expenses | 547,964 | |
Collateral on securities loaned, at value | 159,124,264 | |
Total liabilities | | 482,254,513 |
| | |
Net Assets | | $ 16,012,908,982 |
Net Assets consist of: | | |
Paid in capital | | $ 16,753,574,259 |
Undistributed net investment income | | 83,834,306 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (3,187,548,899) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 2,363,049,316 |
Net Assets | | $ 16,012,908,982 |
Statement of Assets and Liabilities - continued
| June 30, 2012 (Unaudited) |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($6,389,688,071 ÷ 253,640,472 shares) | | $ 25.19 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($1,345,634,351 ÷ 53,612,526 shares) | | $ 25.10 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($7,611,379,750 ÷ 307,602,661 shares) | | $ 24.74 |
| | |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($8,907,782 ÷ 360,652 shares) | | $ 24.70 |
| | |
Investor Class:
Net Asset Value, offering price and redemption price per share ($657,299,028 ÷ 26,192,228 shares) | | $ 25.10 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2012 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 146,936,085 |
Interest | | 4,574 |
Income from Fidelity Central Funds | | 1,360,558 |
Total income | | 148,301,217 |
| | |
Expenses | | |
Management fee | $ 44,979,640 | |
Transfer agent fees | 5,964,274 | |
Distribution and service plan fees | 10,250,972 | |
Accounting and security lending fees | 785,514 | |
Custodian fees and expenses | 168,831 | |
Independent trustees' compensation | 51,758 | |
Appreciation in deferred trustee compensation account | 11 | |
Audit | 47,177 | |
Legal | 37,872 | |
Miscellaneous | 93,288 | |
Total expenses before reductions | 62,379,337 | |
Expense reductions | (410,634) | 61,968,703 |
Net investment income (loss) | | 86,332,514 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities: | | |
Unaffiliated issuers | 192,482,246 | |
Foreign currency transactions | (225,355) | |
Futures contracts | 5,821,222 | |
Total net realized gain (loss) | | 198,078,113 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,118,833,939 | |
Assets and liabilities in foreign currencies | 46,694 | |
Futures contracts | 2,301,989 | |
Total change in net unrealized appreciation (depreciation) | | 1,121,182,622 |
Net gain (loss) | | 1,319,260,735 |
Net increase (decrease) in net assets resulting from operations | | $ 1,405,593,249 |
Statement of Changes in Net Assets
| Six months ended June 30, 2012
(Unaudited) | Year ended
December 31,
2011 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 86,332,514 | $ 145,885,373 |
Net realized gain (loss) | 198,078,113 | 923,774,773 |
Change in net unrealized appreciation (depreciation) | 1,121,182,622 | (1,481,460,012) |
Net increase (decrease) in net assets resulting from operations | 1,405,593,249 | (411,799,866) |
Distributions to shareholders from net investment income | - | (141,940,543) |
Share transactions - net increase (decrease) | (348,479,295) | (1,239,479,004) |
Redemption fees | 64 | 8,960 |
Total increase (decrease) in net assets | 1,057,114,018 | (1,793,210,453) |
| | |
Net Assets | | |
Beginning of period | 14,955,794,964 | 16,749,005,417 |
End of period (including undistributed net investment income of $83,834,306 and distributions in excess of net investment income of $2,498,208, respectively) | $ 16,012,908,982 | $ 14,955,794,964 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 23.02 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .15 | .25 | .23 | .23 | .24 | .34 |
Net realized and unrealized gain (loss) | 2.02 | (.86) | 3.31 | 5.26 | (11.87) | 5.17 |
Total from investment operations | 2.17 | (.61) | 3.54 | 5.49 | (11.63) | 5.51 |
Distributions from net investment income | - | (.25) | (.27) | (.25) | (.23) | (.33) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.25) | (.28) | (.26) J | (.88) | (9.08) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.19 | $ 23.02 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 |
Total Return B,C,D | 9.43% | (2.53)% | 17.22% | 35.71% | (42.51)% | 17.59% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .64% A | .65% | .65% | .67% | .66% | .65% |
Expenses net of fee waivers, if any | .64% A | .64% | .65% | .67% | .66% | .65% |
Expenses net of all reductions | .64% A | .63% | .63% | .65% | .65% | .64% |
Net investment income (loss) | 1.20% A | 1.03% | 1.06% | 1.33% | 1.07% | 1.00% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 6,389,688 | $ 6,113,440 | $ 7,160,125 | $ 7,405,228 | $ 6,240,871 | $ 12,371,009 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.26 per share is comprised of distributions from net investment income of $.250 and distributions from net realized gain of $.005 per share.
Financial Highlights - Service Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.95 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .14 | .22 | .20 | .21 | .21 | .30 |
Net realized and unrealized gain (loss) | 2.01 | (.85) | 3.31 | 5.25 | (11.83) | 5.16 |
Total from investment operations | 2.15 | (.63) | 3.51 | 5.46 | (11.62) | 5.46 |
Distributions from net investment income | - | (.23) | (.24) | (.23) | (.20) | (.29) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.23) | (.25) | (.24) J | (.85) | (9.04) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.10 | $ 22.95 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 |
Total Return B,C,D | 9.37% | (2.64)% | 17.11% | 35.66% | (42.61)% | 17.51% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .74% A | .75% | .75% | .77% | .76% | .75% |
Expenses net of fee waivers, if any | .74% A | .74% | .75% | .77% | .76% | .75% |
Expenses net of all reductions | .74% A | .73% | .73% | .75% | .75% | .74% |
Net investment income (loss) | 1.10% A | .93% | .96% | 1.23% | .97% | .90% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,345,634 | $ 1,277,101 | $ 1,379,305 | $ 1,784,820 | $ 1,497,734 | $ 3,008,644 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.24 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.64 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .12 | .18 | .17 | .18 | .18 | .25 |
Net realized and unrealized gain (loss) | 1.98 | (.84) | 3.26 | 5.18 | (11.67) | 5.11 |
Total from investment operations | 2.10 | (.66) | 3.43 | 5.36 | (11.49) | 5.36 |
Distributions from net investment income | - | (.19) | (.22) | (.21) | (.18) | (.26) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.19) | (.23) | (.21) J | (.83) | (9.01) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.74 | $ 22.64 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 |
Total Return B,C,D | 9.28% | (2.78)% | 16.93% | 35.47% | (42.69)% | 17.30% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .89% A | .90% | .90% | .92% | .91% | .90% |
Expenses net of fee waivers, if any | .89% A | .89% | .90% | .92% | .91% | .90% |
Expenses net of all reductions | .89% A | .88% | .88% | .90% | .90% | .89% |
Net investment income (loss) | .95% A | .78% | .81% | 1.08% | .82% | .75% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 7,611,380 | $ 6,980,191 | $ 7,627,793 | $ 7,577,737 | $ 6,187,985 | $ 9,339,663 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.21 per share is comprised of distributions from net investment income of $.205 and distributions from net realized gain of $.005 per share.
Financial Highlights - Service Class 2R
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.60 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .12 | .18 | .17 | .18 | .18 | .25 |
Net realized and unrealized gain (loss) | 1.98 | (.84) | 3.25 | 5.17 | (11.62) | 5.09 |
Total from investment operations | 2.10 | (.66) | 3.42 | 5.35 | (11.44) | 5.34 |
Distributions from net investment income | - | (.18) | (.21) | (.20) | (.16) | (.26) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.18) | (.22) | (.21)J | (.81) | (9.01) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.70 | $ 22.60 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 |
Total Return B,C,D | 9.29% | (2.79)% | 16.94% | 35.46% | (42.69)% | 17.30% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .89% A | .90% | .90% | .92% | .91% | .90% |
Expenses net of fee waivers, if any | .89% A | .89% | .90% | .92% | .91% | .90% |
Expenses net of all reductions | .89% A | .88% | .88% | .90% | .90% | .89% |
Net investment income (loss) | .95% A | .78% | .81% | 1.08% | .82% | .75% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 8,908 | $ 8,042 | $ 10,942 | $ 13,285 | $ 13,585 | $ 35,606 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.21 per share is comprised of distributions from net investment income of $.200 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Investor Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.94 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .14 | .23 | .21 | .21 | .21 | .30 |
Net realized and unrealized gain (loss) | 2.02 | (.86) | 3.30 | 5.25 | (11.83) | 5.16 |
Total from investment operations | 2.16 | (.63) | 3.51 | 5.46 | (11.62) | 5.46 |
Distributions from net investment income | - | (.23) | (.26) | (.24) | (.21) | (.30) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.23) | (.27) | (.24) J | (.86) | (9.05) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.10 | $ 22.94 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 |
Total Return B,C,D | 9.42% | (2.62)% | 17.10% | 35.66% | (42.60)% | 17.47% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .73% A | .73% | .74% | .77% | .75% | .76% |
Expenses net of fee waivers, if any | .73% A | .73% | .73% | .77% | .75% | .76% |
Expenses net of all reductions | .72% A | .71% | .72% | .75% | .74% | .75% |
Net investment income (loss) | 1.12% A | .94% | .98% | 1.23% | .98% | .89% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 657,299 | $ 577,021 | $ 570,841 | $ 457,476 | $ 324,919 | $ 532,268 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.24 per share is comprised of distributions from net investment income of $.235 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
1. Organization.
VIP Contrafund Portfolio (the Fund) is a fund of Variable Insurance Products Fund II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares, Service Class 2R shares, and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are categorized as Level 3 in the hierarchy .
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value 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 June 30, 2012, is included at the end of the Fund's Schedule of Investments.
Foreign Currency Translation. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), partnership, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 2,914,648,194 |
Gross unrealized depreciation | (680,498,305) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 2,234,149,889 |
| |
Tax cost | $ 13,989,400,956 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. At December 31, 2011, capital loss carryforwards were as follows:
Fiscal year of expiration | |
2016 | $ (854,185,637) |
2017 | (2,334,998,928) |
Total capital loss carryforward | $ (3,189,184,565) |
Trading (Redemption) Fees. Service Class 2 R shares held by investors less than 60 days are subject to a redemption fee equal to 1% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
5. 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, including futures contracts. Derivatives are investments whose value is 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 instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. 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.
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 is minimal because of 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, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may 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 payments 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 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.
Any open futures contracts at period end are shown 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 at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $5,821,222 and a change in net unrealized appreciation (depreciation) of $2,301,989 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $7,157,745,837 and $7,480,918,873, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and an annualized group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's and Service Class 2R's average net assets.
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 680,432 |
Service Class 2 | 9,559,122 |
Service Class 2 R | 11,418 |
| $ 10,250,972 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0038% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 2,288,072 |
Service Class | 481,631 |
Service Class 2 | 2,696,035 |
Service Class 2R | 3,208 |
Investor Class | 495,328 |
| $ 5,964,274 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $248,058 for the period.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $23,299 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $4,176,991. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $1,129,225, including $34,517 from securities loaned to FCM.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $410,555 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $79.
Semiannual Report
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
From net investment income | | |
Initial Class | $ - | $ 65,616,073 |
Service Class | - | 12,220,263 |
Service Class 2 | - | 58,305,804 |
Service Class 2R | - | 65,304 |
Investor Class | - | 5,733,099 |
Total | $ - | $ 141,940,543 |
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars |
| Six months ended June 30,
2012 | Year ended
December 31,
2011 | Six months ended June 30,
2012 | Year ended
December 31,
2011 |
Initial Class | | | | |
Shares sold | 4,077,866 | 8,887,647 | $ 101,523,723 | $ 215,181,582 |
Reinvestment of distributions | - | 2,941,106 | - | 65,616,073 |
Shares redeemed | (15,980,797) | (46,079,138) | (398,647,463) | (1,098,879,687) |
Net increase (decrease) | (11,902,931) | (34,250,385) | $ (297,123,740) | $ (818,082,032) |
Service Class | | | | |
Shares sold | 2,396,767 | 5,960,533 | $ 59,691,142 | $ 142,199,635 |
Reinvestment of distributions | - | 549,472 | - | 12,220,263 |
Shares redeemed | (4,433,327) | (8,798,344) | (111,375,922) | (211,519,636) |
Net increase (decrease) | (2,036,560) | (2,288,339) | $ (51,684,780) | $ (57,099,738) |
Service Class 2 | | | | |
Shares sold | 22,436,202 | 28,618,316 | $ 543,485,488 | $ 674,963,970 |
Reinvestment of distributions | - | 2,657,512 | - | 58,305,804 |
Shares redeemed | (23,125,922) | (47,724,451) | (569,514,280) | (1,123,942,590) |
Net increase (decrease) | (689,720) | (16,448,623) | $ (26,028,792) | $ (390,672,816) |
Service Class 2R | | | | |
Shares sold | 61,957 | 57,708 | $ 1,482,968 | $ 1,412,478 |
Reinvestment of distributions | - | 2,982 | - | 65,304 |
Shares redeemed | (57,128) | (171,761) | (1,393,997) | (4,029,960) |
Net increase (decrease) | 4,829 | (111,071) | $ 88,971 | $ (2,552,178) |
Investor Class | | | | |
Shares sold | 1,732,876 | 3,165,850 | $ 43,347,297 | $ 76,274,096 |
Reinvestment of distributions | - | 257,783 | - | 5,733,099 |
Shares redeemed | (690,123) | (2,256,234) | (17,078,251) | (53,079,435) |
Net increase (decrease) | 1,042,753 | 1,167,399 | $ 26,269,046 | $ 28,927,760 |
13. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, two otherwise unaffiliated shareholders were the owners of record of 30% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research (U.K.) Inc.
Fidelity Management & Research (Hong Kong) Limited
Fidelity Management & Research (Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Brown Brothers Harriman & Co.
Boston, MA
VIPCON-SANN-0812
1.705691.114
Fidelity® Variable Insurance Products:
Contrafund Portfolio - Service Class 2R
Semiannual Report
June 30, 2012
(Fidelity Cover Art)
Contents
Shareholder Expense Example | (Click Here) | An example of shareholder expenses. |
Investment Changes | (Click Here) | A summary of major shifts in the fund's investments over the past six months. |
Investments | (Click Here) | A complete list of the fund's investments with their market values. |
Financial Statements | (Click Here) | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. |
Notes | (Click Here) | Notes to the financial statements. |
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 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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. ©2012 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site a http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 to June 30, 2012).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio | Beginning
Account Value
January 1, 2012 | Ending
Account Value
June 30, 2012 | Expenses Paid
During Period*
January 1, 2012
to June 30, 2012 |
Initial Class | .64% | | | |
Actual | | $ 1,000.00 | $ 1,094.30 | $ 3.33 |
HypotheticalA | | $ 1,000.00 | $ 1,021.68 | $ 3.22 |
Service Class | .74% | | | |
Actual | | $ 1,000.00 | $ 1,093.70 | $ 3.85 |
HypotheticalA | | $ 1,000.00 | $ 1,021.18 | $ 3.72 |
Service Class 2 | .89% | | | |
Actual | | $ 1,000.00 | $ 1,092.80 | $ 4.63 |
HypotheticalA | | $ 1,000.00 | $ 1,020.44 | $ 4.47 |
Service Class 2R | .89% | | | |
Actual | | $ 1,000.00 | $ 1,092.90 | $ 4.63 |
HypotheticalA | | $ 1,000.00 | $ 1,020.44 | $ 4.47 |
Investor Class | .73% | | | |
Actual | | $ 1,000.00 | $ 1,094.20 | $ 3.80 |
HypotheticalA | | $ 1,000.00 | $ 1,021.23 | $ 3.67 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Apple, Inc. | 6.9 | 5.2 |
Microsoft Corp. | 2.8 | 0.5 |
QUALCOMM, Inc. | 2.3 | 2.2 |
The Coca-Cola Co. | 2.1 | 1.9 |
Procter & Gamble Co. | 2.1 | 2.3 |
U.S. Bancorp | 1.9 | 1.3 |
Comcast Corp. Class A | 1.8 | 0.3 |
General Electric Co. | 1.8 | 0.8 |
Pfizer, Inc. | 1.7 | 1.2 |
Capital One Financial Corp. | 1.7 | 1.0 |
| 25.1 | |
Market Sectors as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 20.2 | 19.7 |
Financials | 14.7 | 13.3 |
Health Care | 11.5 | 11.5 |
Consumer Staples | 11.1 | 11.4 |
Energy | 10.6 | 11.8 |
Consumer Discretionary | 10.5 | 9.8 |
Industrials | 10.2 | 10.8 |
Utilities | 3.7 | 3.8 |
Materials | 3.4 | 3.4 |
Telecommunication Services | 2.0 | 2.8 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2012 * | As of December 31, 2011 ** |
 | Stocks and
Equity Futures 98.1% | | | Stocks and
Equity Futures 98.8% | |
 | Short-Term
Investments and
Net Other Assets (Liabilities) 1.9% | | | Short-Term
Investments and
Net Other Assets (Liabilities) 1.2% | |
* Foreign investments | 13.9% | | ** Foreign investments | 16.8% | |
Semiannual Report
Investments June 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.9% |
| Shares | | Value |
CONSUMER DISCRETIONARY - 10.5% |
Diversified Consumer Services - 0.2% |
Weight Watchers International, Inc. (d) | 641,017 | | $ 33,050,837 |
Hotels, Restaurants & Leisure - 2.7% |
Arcos Dorados Holdings, Inc. | 2,491,899 | | 36,830,267 |
Domino's Pizza, Inc. | 782,987 | | 24,202,128 |
Dunkin' Brands Group, Inc. | 436,711 | | 14,996,656 |
Icahn Enterprises LP rights (a) | 363,975 | | 4 |
McDonald's Corp. | 1,829,816 | | 161,993,610 |
Starbucks Corp. | 1,621,524 | | 86,459,660 |
Yum! Brands, Inc. | 1,682,792 | | 108,405,461 |
| | 432,887,786 |
Household Durables - 0.1% |
Harman International Industries, Inc. | 237,050 | | 9,387,180 |
Internet & Catalog Retail - 0.5% |
Priceline.com, Inc. (a) | 123,962 | | 82,375,228 |
Media - 3.3% |
Comcast Corp. Class A | 9,109,486 | | 291,230,267 |
DIRECTV (a) | 1,244,695 | | 60,766,010 |
Legend Pictures LLC (a)(g)(h) | 6,611 | | 7,068,018 |
The Walt Disney Co. | 3,538,626 | | 171,623,361 |
Weinstein Co. Holdings LLC Class A-1 (a)(g)(h) | 11,499 | | 4,312,125 |
| | 534,999,781 |
Multiline Retail - 0.8% |
Dollar General Corp. (a) | 2,324,003 | | 126,402,523 |
Specialty Retail - 2.6% |
AutoZone, Inc. (a) | 230,484 | | 84,626,810 |
Limited Brands, Inc. | 728,070 | | 30,964,817 |
Lowe's Companies, Inc. | 5,389,135 | | 153,266,999 |
TJX Companies, Inc. | 3,266,649 | | 140,237,242 |
| | 409,095,868 |
Textiles, Apparel & Luxury Goods - 0.3% |
Under Armour, Inc. Class A
(sub. vtg.) (a)(d) | 541,706 | | 51,180,383 |
TOTAL CONSUMER DISCRETIONARY | | 1,679,379,586 |
CONSUMER STAPLES - 11.1% |
Beverages - 4.3% |
Anheuser-Busch InBev SA NV | 825,677 | | 65,097,423 |
Coca-Cola Bottling Co. CONSOLIDATED | 148,512 | | 9,546,351 |
Coca-Cola FEMSA SAB de CV sponsored ADR | 48,947 | | 6,406,183 |
Coca-Cola Icecek A/S | 486,386 | | 7,530,444 |
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR | 200,370 | | 7,680,182 |
Constellation Brands, Inc. Class A
(sub. vtg.) (a) | 2,000,269 | | 54,127,279 |
Diageo PLC sponsored ADR | 627,882 | | 64,715,798 |
Embotelladora Andina SA sponsored ADR | 265,456 | | 8,574,229 |
|
| Shares | | Value |
Molson Coors Brewing Co. Class B | 894,028 | | $ 37,200,505 |
Monster Beverage Corp. (a) | 26,800 | | 1,908,160 |
Pernod Ricard SA (d) | 429,379 | | 45,785,125 |
Remy Cointreau SA | 324,908 | | 35,599,192 |
The Coca-Cola Co. | 4,303,795 | | 336,513,731 |
| | 680,684,602 |
Food & Staples Retailing - 1.5% |
CVS Caremark Corp. | 3,957,416 | | 184,930,050 |
Drogasil SA | 607,100 | | 6,120,874 |
Kroger Co. | 321,500 | | 7,455,585 |
Safeway, Inc. | 330,232 | | 5,993,711 |
Wal-Mart Stores, Inc. | 392,683 | | 27,377,859 |
Walgreen Co. | 464,823 | | 13,749,464 |
| | 245,627,543 |
Food Products - 0.7% |
Bunge Ltd. | 439,131 | | 27,551,079 |
Green Mountain Coffee Roasters, Inc. (a) | 207,119 | | 4,511,052 |
Mead Johnson Nutrition Co. Class A | 53,600 | | 4,315,336 |
Nestle SA | 417,951 | | 24,901,363 |
Orion Corp. | 7,305 | | 6,072,784 |
Pilgrims Pride Corp. | 20,100 | | 143,715 |
Unilever NV (NY Reg.) | 1,329,447 | | 44,337,057 |
| | 111,832,386 |
Household Products - 2.3% |
Colgate-Palmolive Co. | 373,902 | | 38,923,198 |
Procter & Gamble Co. | 5,360,720 | | 328,344,100 |
Spectrum Brands Holdings, Inc. (a) | 246,002 | | 8,012,285 |
| | 375,279,583 |
Personal Products - 0.4% |
L'Oreal SA | 336,600 | | 39,291,224 |
Nu Skin Enterprises, Inc. Class A | 376,849 | | 17,674,218 |
| | 56,965,442 |
Tobacco - 1.9% |
Altria Group, Inc. | 652,993 | | 22,560,908 |
British American Tobacco PLC sponsored ADR | 2,564,639 | | 261,900,935 |
Philip Morris International, Inc. | 152,500 | | 13,307,150 |
Souza Cruz SA | 590,300 | | 8,664,199 |
| | 306,433,192 |
TOTAL CONSUMER STAPLES | | 1,776,822,748 |
ENERGY - 10.6% |
Energy Equipment & Services - 2.6% |
Baker Hughes, Inc. | 375,027 | | 15,413,610 |
Cameron International Corp. (a) | 1,081,780 | | 46,202,824 |
Discovery Offshore S.A. (a)(e) | 1,310,900 | | 2,093,509 |
Ensco PLC Class A | 1,023,201 | | 48,059,751 |
Forum Energy Technologies, Inc. | 626,050 | | 12,326,925 |
Halliburton Co. | 1,498,732 | | 42,549,001 |
National Oilwell Varco, Inc. | 1,309,082 | | 84,357,244 |
Common Stocks - continued |
| Shares | | Value |
ENERGY - continued |
Energy Equipment & Services - continued |
Noble Corp. | 1,657,901 | | $ 53,931,520 |
Ocean Rig UDW, Inc. (United States) | 1,137,864 | | 15,372,543 |
Oceaneering International, Inc. | 358,418 | | 17,153,885 |
Oil States International, Inc. (a) | 126,678 | | 8,386,084 |
Schlumberger Ltd. | 779,179 | | 50,576,509 |
Transocean Ltd. (United States) | 174,583 | | 7,809,098 |
Vantage Drilling Co. (a) | 5,923,400 | | 8,885,100 |
| | 413,117,603 |
Oil, Gas & Consumable Fuels - 8.0% |
Alpha Natural Resources, Inc. (a) | 817,624 | | 7,121,505 |
Anadarko Petroleum Corp. | 1,366,403 | | 90,455,879 |
Apache Corp. | 1,011,008 | | 88,857,493 |
Calumet Specialty Products Partners LP | 183,916 | | 4,373,522 |
Cheniere Energy, Inc. (a) | 234,975 | | 3,463,532 |
Chevron Corp. | 571,381 | | 60,280,696 |
Cobalt International Energy, Inc. (a) | 612,409 | | 14,391,612 |
EV Energy Partners LP | 63,500 | | 3,204,210 |
Exxon Mobil Corp. | 2,951,302 | | 252,542,912 |
Halcon Resources Corp. (h) | 1,140,000 | | 10,761,600 |
Hess Corp. | 873,800 | | 37,966,610 |
HollyFrontier Corp. | 1,823,875 | | 64,619,891 |
InterOil Corp. (a)(d) | 486,648 | | 33,919,366 |
Kodiak Oil & Gas Corp. (a) | 874,463 | | 7,179,341 |
Marathon Oil Corp. | 2,647,858 | | 67,705,729 |
Marathon Petroleum Corp. | 1,760,760 | | 79,093,339 |
Midstates Petroleum Co., Inc. | 1,051,900 | | 10,213,949 |
Noble Energy, Inc. | 400,204 | | 33,945,303 |
Occidental Petroleum Corp. | 1,281,411 | | 109,906,621 |
Painted Pony Petroleum Ltd. Class A (a) | 114,500 | | 826,613 |
QEP Resources, Inc. | 693,946 | | 20,797,562 |
Rockhopper Exploration PLC (a) | 1,675,758 | | 6,764,619 |
Royal Dutch Shell PLC: | | | |
Class A sponsored ADR | 31,408 | | 2,117,841 |
Class B sponsored ADR | 2,395,188 | | 167,495,497 |
Suncor Energy, Inc. | 2,057,610 | | 59,499,105 |
Williams Companies, Inc. | 1,771,600 | | 51,057,512 |
| | 1,288,561,859 |
TOTAL ENERGY | | 1,701,679,462 |
FINANCIALS - 14.7% |
Capital Markets - 1.3% |
BlackRock, Inc. Class A | 353,821 | | 60,085,882 |
E*TRADE Financial Corp. (a) | 795,347 | | 6,394,590 |
Evercore Partners, Inc. Class A | 370,900 | | 8,675,351 |
ICAP PLC | 1,163,090 | | 6,147,810 |
Invesco Ltd. | 1,222,561 | | 27,629,879 |
Morgan Stanley | 331,141 | | 4,831,347 |
|
| Shares | | Value |
State Street Corp. | 932,274 | | $ 41,616,711 |
TD Ameritrade Holding Corp. | 1,059,400 | | 18,009,800 |
The Blackstone Group LP | 1,306,135 | | 17,071,184 |
UBS AG | 1,318,256 | | 15,426,464 |
| | 205,889,018 |
Commercial Banks - 3.7% |
CIT Group, Inc. (a) | 372,312 | | 13,269,200 |
Comerica, Inc. | 1,496,497 | | 45,957,423 |
FirstMerit Corp. | 456,685 | | 7,544,436 |
Huntington Bancshares, Inc. | 6,271,651 | | 40,138,566 |
Synovus Financial Corp. (d) | 5,544,386 | | 10,977,884 |
U.S. Bancorp | 9,308,195 | | 299,351,551 |
Wells Fargo & Co. | 5,131,490 | | 171,597,026 |
| | 588,836,086 |
Consumer Finance - 2.2% |
Capital One Financial Corp. | 4,893,010 | | 267,451,927 |
SLM Corp. | 5,020,140 | | 78,866,399 |
| | 346,318,326 |
Diversified Financial Services - 1.9% |
African Bank Investments Ltd. | 1,244,941 | | 5,529,552 |
Bank of America Corp. | 10,198,795 | | 83,426,143 |
Citigroup, Inc. | 4,601,145 | | 126,117,384 |
JPMorgan Chase & Co. | 2,222,196 | | 79,399,063 |
NBH Holdings Corp. Class A (a)(e) | 813,800 | | 14,851,850 |
| | 309,323,992 |
Insurance - 3.5% |
ACE Ltd. | 985,620 | | 73,064,011 |
Amlin PLC | 2,680,756 | | 14,858,371 |
Aon PLC | 181,627 | | 8,496,511 |
Berkshire Hathaway, Inc.: | | | |
Class A (a) | 292 | | 36,483,940 |
Class B (a) | 965,501 | | 80,455,198 |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 111,900 | | 44,309,366 |
MetLife, Inc. | 4,035,250 | | 124,487,463 |
The Travelers Companies, Inc. | 1,402,834 | | 89,556,923 |
Torchmark Corp. | 893,568 | | 45,169,862 |
Validus Holdings Ltd. | 1,186,157 | | 37,992,609 |
| | 554,874,254 |
Real Estate Investment Trusts - 1.8% |
American Tower Corp. | 1,985,606 | | 138,813,715 |
Camden Property Trust (SBI) | 648,135 | | 43,859,295 |
Equity Lifestyle Properties, Inc. | 333,800 | | 23,022,186 |
Japan Retail Fund Investment Corp. | 4,188 | | 6,643,236 |
Sun Communities, Inc. | 332,769 | | 14,721,701 |
The Macerich Co. | 1,075,908 | | 63,532,367 |
| | 290,592,500 |
Real Estate Management & Development - 0.0% |
PT Lippo Karawaci Tbk | 82,595,250 | | 7,080,334 |
Common Stocks - continued |
| Shares | | Value |
FINANCIALS - continued |
Thrifts & Mortgage Finance - 0.3% |
Ocwen Financial Corp. (a) | 2,605,219 | | $ 48,926,013 |
TOTAL FINANCIALS | | 2,351,840,523 |
HEALTH CARE - 11.5% |
Biotechnology - 2.8% |
Alexion Pharmaceuticals, Inc. (a) | 172,036 | | 17,083,175 |
Amgen, Inc. | 2,407,816 | | 175,866,881 |
Biogen Idec, Inc. (a) | 715,857 | | 103,355,434 |
BioMarin Pharmaceutical, Inc. (a) | 775,630 | | 30,699,435 |
Gilead Sciences, Inc. (a) | 1,860,825 | | 95,423,106 |
ONYX Pharmaceuticals, Inc. (a) | 375,228 | | 24,933,901 |
| | 447,361,932 |
Health Care Equipment & Supplies - 1.9% |
Boston Scientific Corp. (a) | 3,652,683 | | 20,710,713 |
C.R. Bard, Inc. | 527,888 | | 56,716,287 |
Covidien PLC | 1,671,182 | | 89,408,237 |
Edwards Lifesciences Corp. (a) | 655,677 | | 67,731,434 |
Mako Surgical Corp. (a)(d) | 739,288 | | 18,933,166 |
Quidel Corp. (a)(d) | 1,609,104 | | 25,230,751 |
The Cooper Companies, Inc. | 432,668 | | 34,509,600 |
| | 313,240,188 |
Health Care Providers & Services - 2.7% |
Catalyst Health Solutions, Inc. (a) | 287,454 | | 26,859,702 |
CIGNA Corp. | 1,158,088 | | 50,955,872 |
Express Scripts Holding Co. (a) | 544,816 | | 30,417,077 |
Henry Schein, Inc. (a) | 847,513 | | 66,521,295 |
McKesson Corp. | 852,966 | | 79,965,563 |
Omnicare, Inc. | 964,520 | | 30,121,960 |
UnitedHealth Group, Inc. | 2,636,909 | | 154,259,177 |
| | 439,100,646 |
Health Care Technology - 0.1% |
SXC Health Solutions Corp. (a) | 110,800 | | 11,003,819 |
Life Sciences Tools & Services - 0.1% |
Agilent Technologies, Inc. | 221,097 | | 8,675,846 |
Fluidigm Corp. (a)(h) | 312,345 | | 4,697,669 |
| | 13,373,515 |
Pharmaceuticals - 3.9% |
Allergan, Inc. | 647,258 | | 59,916,673 |
Elan Corp. PLC sponsored ADR (a) | 320,900 | | 4,681,931 |
Eli Lilly & Co. | 460,800 | | 19,772,928 |
GlaxoSmithKline PLC sponsored ADR | 825,008 | | 37,595,615 |
Jazz Pharmaceuticals PLC (a) | 295,637 | | 13,306,621 |
Merck & Co., Inc. | 2,433,536 | | 101,600,128 |
Optimer Pharmaceuticals, Inc. (a) | 681,649 | | 10,579,192 |
Pfizer, Inc. | 11,853,477 | | 272,629,971 |
Sanofi SA sponsored ADR | 499,962 | | 18,888,564 |
|
| Shares | | Value |
Shire PLC sponsored ADR | 337,923 | | $ 29,193,168 |
Valeant Pharmaceuticals International, Inc. (Canada) (a) | 1,220,434 | | 54,746,313 |
| | 622,911,104 |
TOTAL HEALTH CARE | | 1,846,991,204 |
INDUSTRIALS - 10.2% |
Aerospace & Defense - 3.2% |
Honeywell International, Inc. | 1,566,966 | | 87,499,381 |
MTU Aero Engines Holdings AG | 270,697 | | 19,848,335 |
Precision Castparts Corp. | 455,595 | | 74,940,822 |
Raytheon Co. | 847,185 | | 47,942,199 |
Textron, Inc. | 2,596,299 | | 64,569,956 |
The Boeing Co. | 1,319,780 | | 98,059,654 |
United Technologies Corp. | 1,478,962 | | 111,706,000 |
| | 504,566,347 |
Air Freight & Logistics - 0.3% |
United Parcel Service, Inc. Class B | 624,960 | | 49,221,850 |
Building Products - 0.7% |
Armstrong World Industries, Inc. | 818,106 | | 40,218,091 |
Owens Corning (a) | 1,819,501 | | 51,928,559 |
Quanex Building Products Corp. | 1,091,013 | | 19,507,312 |
| | 111,653,962 |
Commercial Services & Supplies - 0.2% |
Stericycle, Inc. (a) | 434,599 | | 39,839,690 |
Construction & Engineering - 0.2% |
Fluor Corp. | 380,475 | | 18,772,637 |
Foster Wheeler AG (a) | 682,476 | | 11,827,309 |
| | 30,599,946 |
Electrical Equipment - 0.5% |
Regal-Beloit Corp. | 796,275 | | 49,576,082 |
Roper Industries, Inc. | 390,180 | | 38,463,944 |
| | 88,040,026 |
Industrial Conglomerates - 2.6% |
Danaher Corp. | 1,807,469 | | 94,132,986 |
General Electric Co. | 13,378,570 | | 278,809,399 |
Tyco International Ltd. | 669,074 | | 35,360,561 |
| | 408,302,946 |
Machinery - 1.2% |
Caterpillar, Inc. | 444,936 | | 37,779,516 |
Cummins, Inc. | 416,413 | | 40,354,584 |
Fanuc Corp. | 146,500 | | 24,081,836 |
Fiat Industrial SpA | 1,324,972 | | 12,978,061 |
Illinois Tool Works, Inc. | 1,356,866 | | 71,764,643 |
| | 186,958,640 |
Road & Rail - 1.2% |
Canadian Pacific | 110,900 | | 8,139,130 |
CSX Corp. | 2,380,055 | | 53,218,030 |
Common Stocks - continued |
| Shares | | Value |
INDUSTRIALS - continued |
Road & Rail - continued |
J.B. Hunt Transport Services, Inc. | 240,901 | | $ 14,357,700 |
Union Pacific Corp. | 1,030,134 | | 122,905,288 |
| | 198,620,148 |
Trading Companies & Distributors - 0.1% |
W.W. Grainger, Inc. | 75,200 | | 14,381,248 |
TOTAL INDUSTRIALS | | 1,632,184,803 |
INFORMATION TECHNOLOGY - 20.2% |
Communications Equipment - 2.9% |
Acme Packet, Inc. (a) | 825,286 | | 15,391,584 |
ADTRAN, Inc. | 908,059 | | 27,414,301 |
Comverse Technology, Inc. (a) | 7,878 | | 45,850 |
Juniper Networks, Inc. (a) | 2,340,635 | | 38,175,757 |
QUALCOMM, Inc. | 6,558,281 | | 365,165,086 |
Riverbed Technology, Inc. (a) | 1,007,070 | | 16,264,181 |
| | 462,456,759 |
Computers & Peripherals - 7.5% |
Apple, Inc. (a) | 1,895,157 | | 1,106,771,680 |
SanDisk Corp. (a) | 2,432,566 | | 88,740,008 |
| | 1,195,511,688 |
Electronic Equipment & Components - 0.1% |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 5,750,000 | | 17,438,498 |
Jabil Circuit, Inc. | 215,500 | | 4,381,115 |
| | 21,819,613 |
Internet Software & Services - 1.5% |
Dice Holdings, Inc. (a) | 1,207,022 | | 11,333,937 |
eBay, Inc. (a) | 1,293,980 | | 54,360,100 |
Google, Inc. Class A (a) | 92,615 | | 53,723,183 |
Mail.ru Group Ltd.: | | | |
GDR (a)(e) | 494,266 | | 16,750,675 |
GDR (Reg. S) (a) | 246,700 | | 8,360,663 |
VeriSign, Inc. (a) | 2,342,588 | | 102,066,559 |
| | 246,595,117 |
IT Services - 0.4% |
Accenture PLC Class A | 982,990 | | 59,067,869 |
Semiconductors & Semiconductor Equipment - 3.3% |
Amkor Technology, Inc. (a)(d) | 593,770 | | 2,897,598 |
Analog Devices, Inc. | 3,991,806 | | 150,371,332 |
ASML Holding NV | 334,690 | | 17,209,760 |
Avago Technologies Ltd. | 1,972,891 | | 70,826,787 |
Fairchild Semiconductor International, Inc. (a) | 1,243,657 | | 17,535,564 |
International Rectifier Corp. (a) | 1,722,798 | | 34,438,732 |
Maxim Integrated Products, Inc. | 1,949,808 | | 49,993,077 |
|
| Shares | | Value |
Micron Technology, Inc. (a) | 9,025,766 | | $ 56,952,583 |
NXP Semiconductors NV (a) | 1,676,606 | | 38,981,090 |
ON Semiconductor Corp. (a) | 2,521,623 | | 17,903,523 |
PMC-Sierra, Inc. (a) | 2,349,036 | | 14,423,081 |
RF Micro Devices, Inc. (a) | 3,874,921 | | 16,468,414 |
Skyworks Solutions, Inc. (a) | 1,328,988 | | 36,374,402 |
| | 524,375,943 |
Software - 4.5% |
Ariba, Inc. (a) | 1,365,741 | | 61,130,567 |
Check Point Software Technologies Ltd. (a) | 1,113,991 | | 55,242,814 |
Citrix Systems, Inc. (a) | 1,886,778 | | 158,376,145 |
Microsoft Corp. | 14,868,639 | | 454,831,667 |
ServiceNow, Inc. | 47,400 | | 1,166,040 |
| | 730,747,233 |
TOTAL INFORMATION TECHNOLOGY | | 3,240,574,222 |
MATERIALS - 3.4% |
Chemicals - 2.4% |
Air Products & Chemicals, Inc. | 860,907 | | 69,501,022 |
E.I. du Pont de Nemours & Co. | 1,973,384 | | 99,794,029 |
Eastman Chemical Co. | 773,711 | | 38,971,823 |
Ecolab, Inc. | 866,758 | | 59,398,926 |
LyondellBasell Industries NV Class A | 583,946 | | 23,515,505 |
Sherwin-Williams Co. | 438,296 | | 58,008,476 |
Sigma Aldrich Corp. | 382,699 | | 28,292,937 |
| | 377,482,718 |
Containers & Packaging - 0.4% |
Ball Corp. | 861,922 | | 35,381,898 |
Rock-Tenn Co. Class A | 603,886 | | 32,941,981 |
| | 68,323,879 |
Metals & Mining - 0.6% |
First Quantum Minerals Ltd. | 1,950,900 | | 34,491,897 |
Goldcorp, Inc. | 1,018,733 | | 38,353,832 |
Ivanhoe Mines Ltd. | 1,862,400 | | 18,366,070 |
Ivanhoe Mines Ltd. rights 7/19/12 (a) | 1,875,800 | | 1,695,055 |
| | 92,906,854 |
TOTAL MATERIALS | | 538,713,451 |
TELECOMMUNICATION SERVICES - 2.0% |
Diversified Telecommunication Services - 1.6% |
CenturyLink, Inc. | 2,974,550 | | 117,464,980 |
Verizon Communications, Inc. | 2,900,092 | | 128,880,088 |
| | 246,345,068 |
Wireless Telecommunication Services - 0.4% |
MetroPCS Communications, Inc. (a) | 379,800 | | 2,297,790 |
SBA Communications Corp. Class A (a) | 499,379 | | 28,489,572 |
Common Stocks - continued |
| Shares | | Value |
TELECOMMUNICATION SERVICES - continued |
Wireless Telecommunication Services - continued |
Sprint Nextel Corp. (a) | 7,055,938 | | $ 23,002,358 |
Vodafone Group PLC sponsored ADR | 523,500 | | 14,752,230 |
| | 68,541,950 |
TOTAL TELECOMMUNICATION SERVICES | | 314,887,018 |
UTILITIES - 3.7% |
Electric Utilities - 2.4% |
Duke Energy Corp. | 3,882,213 | | 89,523,832 |
Edison International | 1,991,188 | | 91,992,886 |
Exelon Corp. | 187,826 | | 7,066,014 |
FirstEnergy Corp. | 1,751,014 | | 86,132,379 |
NextEra Energy, Inc. | 1,424,513 | | 98,020,740 |
Progress Energy, Inc. | 103,100 | | 6,203,527 |
| | 378,939,378 |
Gas Utilities - 0.1% |
ONEOK, Inc. | 254,919 | | 10,785,623 |
Independent Power Producers & Energy Traders - 0.2% |
The AES Corp. (a) | 3,220,059 | | 41,313,357 |
Multi-Utilities - 1.0% |
CenterPoint Energy, Inc. | 2,009,829 | | 41,543,165 |
NiSource, Inc. | 850,080 | | 21,039,480 |
PG&E Corp. | 672,634 | | 30,450,141 |
Sempra Energy | 936,874 | | 64,531,881 |
| | 157,564,667 |
TOTAL UTILITIES | | 588,603,025 |
TOTAL COMMON STOCKS (Cost $13,310,953,125) |
15,671,676,042
|
Convertible Preferred Stocks - 0.0% |
| | | |
CONSUMER DISCRETIONARY - 0.0% |
Media - 0.0% |
Jumptap, Inc. Series G (h) (Cost $8,211,980) | 1,141,504 | |
8,211,980
|
U.S. Treasury Obligations - 0.0% |
| Principal Amount | | |
U.S. Treasury Bills, yield at date of purchase 0.08% 8/23/12 (f)
(Cost $6,799,161) | | $ 6,800,000 | |
6,799,558
|
Money Market Funds - 3.4% |
| Shares | | Value |
Fidelity Cash Central Fund, 0.17% (b) | 377,739,001 | | $ 377,739,001 |
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c) | 159,124,264 | | 159,124,264 |
TOTAL MONEY MARKET FUNDS (Cost $536,863,265) |
536,863,265
|
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $13,862,827,531) | 16,223,550,845 |
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (210,641,863) |
NET ASSETS - 100% | $ 16,012,908,982 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/(Depreciation) |
Purchased |
Equity Index Contracts |
584 CME E-mini S&P 500 Index Contracts | Sept. 2012 | | $ 39,606,880 | | $ 2,275,264 |
|
The face value of futures purchased as a percentage of net assets is 0.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) 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 $33,696,034 or 0.2% of net assets. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,299,850. |
(g) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(h) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $35,051,392 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Fluidigm Corp. | 10/9/07 - 1/6/11 | $ 5,645,227 |
Halcon Resources Corp. | 3/1/12 | $ 10,260,000 |
Jumptap, Inc. Series G | 6/29/12 | $ 8,211,980 |
Legend Pictures LLC | 9/23/10 | $ 4,958,250 |
Weinstein Co. Holdings LLC Class A-1 | 10/19/05 | $ 11,499,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 231,333 |
Fidelity Securities Lending Cash Central Fund | 1,129,225 |
Total | $ 1,360,558 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2012, 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 in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | | | | |
Equities: | | | | |
Consumer Discretionary | $ 1,687,591,566 | $ 1,667,999,439 | $ - | $ 19,592,127 |
Consumer Staples | 1,776,822,748 | 1,705,652,541 | 71,170,207 | - |
Energy | 1,701,679,462 | 1,699,585,953 | - | 2,093,509 |
Financials | 2,351,840,523 | 2,307,838,639 | 29,150,034 | 14,851,850 |
Health Care | 1,846,991,204 | 1,846,991,204 | - | - |
Industrials | 1,632,184,803 | 1,608,102,967 | 24,081,836 | - |
Information Technology | 3,240,574,222 | 3,223,135,724 | 17,438,498 | - |
Materials | 538,713,451 | 538,713,451 | - | - |
Telecommunication Services | 314,887,018 | 314,887,018 | - | - |
Utilities | 588,603,025 | 588,603,025 | - | - |
U.S. Government and Government Agency Obligations | 6,799,558 | - | 6,799,558 | - |
Money Market Funds | 536,863,265 | 536,863,265 | - | - |
Total Investments in Securities: | $ 16,223,550,845 | $ 16,038,373,226 | $ 148,640,133 | $ 36,537,486 |
Derivative Instruments: | | | | |
Assets | | | | |
Futures Contracts | $ 2,275,264 | $ 2,275,264 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure /
Derivative Type | Value |
| Asset | Liability |
Equity Risk | | |
Futures Contracts (a) | $ 2,275,264 | $ - |
Total Value of Derivatives | $ 2,275,264 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 86.1% |
United Kingdom | 3.8% |
Canada | 2.0% |
Switzerland | 1.4% |
Ireland | 1.1% |
Others (Individually Less Than 1%) | 5.6% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities
| June 30, 2012 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $160,383,891) - See accompanying schedule: Unaffiliated issuers (cost $13,325,964,266) | $ 15,686,687,580 | |
Fidelity Central Funds (cost $536,863,265) | 536,863,265 | |
Total Investments (cost $13,862,827,531) | | $ 16,223,550,845 |
Cash | | 288,327 |
Receivable for investments sold | | 248,682,078 |
Receivable for fund shares sold | | 3,599,933 |
Dividends receivable | | 17,113,563 |
Distributions receivable from Fidelity Central Funds | | 217,873 |
Receivable for daily variation margin on futures contracts | | 992,800 |
Other receivables | | 718,076 |
Total assets | | 16,495,163,495 |
| | |
Liabilities | | |
Payable for investments purchased | $ 299,295,570 | |
Payable for fund shares redeemed | 13,059,712 | |
Accrued management fee | 7,234,621 | |
Distribution and service plan fees payable | 1,650,327 | |
Other affiliated payables | 1,342,055 | |
Other payables and accrued expenses | 547,964 | |
Collateral on securities loaned, at value | 159,124,264 | |
Total liabilities | | 482,254,513 |
| | |
Net Assets | | $ 16,012,908,982 |
Net Assets consist of: | | |
Paid in capital | | $ 16,753,574,259 |
Undistributed net investment income | | 83,834,306 |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | | (3,187,548,899) |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | | 2,363,049,316 |
Net Assets | | $ 16,012,908,982 |
Statement of Assets and Liabilities - continued
| June 30, 2012 (Unaudited) |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($6,389,688,071 ÷ 253,640,472 shares) | | $ 25.19 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($1,345,634,351 ÷ 53,612,526 shares) | | $ 25.10 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($7,611,379,750 ÷ 307,602,661 shares) | | $ 24.74 |
| | |
Service Class 2R:
Net Asset Value, offering price and redemption price per share ($8,907,782 ÷ 360,652 shares) | | $ 24.70 |
| | |
Investor Class:
Net Asset Value, offering price and redemption price per share ($657,299,028 ÷ 26,192,228 shares) | | $ 25.10 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2012 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 146,936,085 |
Interest | | 4,574 |
Income from Fidelity Central Funds | | 1,360,558 |
Total income | | 148,301,217 |
| | |
Expenses | | |
Management fee | $ 44,979,640 | |
Transfer agent fees | 5,964,274 | |
Distribution and service plan fees | 10,250,972 | |
Accounting and security lending fees | 785,514 | |
Custodian fees and expenses | 168,831 | |
Independent trustees' compensation | 51,758 | |
Appreciation in deferred trustee compensation account | 11 | |
Audit | 47,177 | |
Legal | 37,872 | |
Miscellaneous | 93,288 | |
Total expenses before reductions | 62,379,337 | |
Expense reductions | (410,634) | 61,968,703 |
Net investment income (loss) | | 86,332,514 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities: | | |
Unaffiliated issuers | 192,482,246 | |
Foreign currency transactions | (225,355) | |
Futures contracts | 5,821,222 | |
Total net realized gain (loss) | | 198,078,113 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 1,118,833,939 | |
Assets and liabilities in foreign currencies | 46,694 | |
Futures contracts | 2,301,989 | |
Total change in net unrealized appreciation (depreciation) | | 1,121,182,622 |
Net gain (loss) | | 1,319,260,735 |
Net increase (decrease) in net assets resulting from operations | | $ 1,405,593,249 |
Statement of Changes in Net Assets
| Six months ended June 30, 2012
(Unaudited) | Year ended
December 31,
2011 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 86,332,514 | $ 145,885,373 |
Net realized gain (loss) | 198,078,113 | 923,774,773 |
Change in net unrealized appreciation (depreciation) | 1,121,182,622 | (1,481,460,012) |
Net increase (decrease) in net assets resulting from operations | 1,405,593,249 | (411,799,866) |
Distributions to shareholders from net investment income | - | (141,940,543) |
Share transactions - net increase (decrease) | (348,479,295) | (1,239,479,004) |
Redemption fees | 64 | 8,960 |
Total increase (decrease) in net assets | 1,057,114,018 | (1,793,210,453) |
| | |
Net Assets | | |
Beginning of period | 14,955,794,964 | 16,749,005,417 |
End of period (including undistributed net investment income of $83,834,306 and distributions in excess of net investment income of $2,498,208, respectively) | $ 16,012,908,982 | $ 14,955,794,964 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 23.02 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .15 | .25 | .23 | .23 | .24 | .34 |
Net realized and unrealized gain (loss) | 2.02 | (.86) | 3.31 | 5.26 | (11.87) | 5.17 |
Total from investment operations | 2.17 | (.61) | 3.54 | 5.49 | (11.63) | 5.51 |
Distributions from net investment income | - | (.25) | (.27) | (.25) | (.23) | (.33) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.25) | (.28) | (.26) J | (.88) | (9.08) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.19 | $ 23.02 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 |
Total Return B,C,D | 9.43% | (2.53)% | 17.22% | 35.71% | (42.51)% | 17.59% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .64% A | .65% | .65% | .67% | .66% | .65% |
Expenses net of fee waivers, if any | .64% A | .64% | .65% | .67% | .66% | .65% |
Expenses net of all reductions | .64% A | .63% | .63% | .65% | .65% | .64% |
Net investment income (loss) | 1.20% A | 1.03% | 1.06% | 1.33% | 1.07% | 1.00% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 6,389,688 | $ 6,113,440 | $ 7,160,125 | $ 7,405,228 | $ 6,240,871 | $ 12,371,009 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.26 per share is comprised of distributions from net investment income of $.250 and distributions from net realized gain of $.005 per share.
Financial Highlights - Service Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.95 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .14 | .22 | .20 | .21 | .21 | .30 |
Net realized and unrealized gain (loss) | 2.01 | (.85) | 3.31 | 5.25 | (11.83) | 5.16 |
Total from investment operations | 2.15 | (.63) | 3.51 | 5.46 | (11.62) | 5.46 |
Distributions from net investment income | - | (.23) | (.24) | (.23) | (.20) | (.29) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.23) | (.25) | (.24) J | (.85) | (9.04) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.10 | $ 22.95 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 |
Total Return B,C,D | 9.37% | (2.64)% | 17.11% | 35.66% | (42.61)% | 17.51% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .74% A | .75% | .75% | .77% | .76% | .75% |
Expenses net of fee waivers, if any | .74% A | .74% | .75% | .77% | .76% | .75% |
Expenses net of all reductions | .74% A | .73% | .73% | .75% | .75% | .74% |
Net investment income (loss) | 1.10% A | .93% | .96% | 1.23% | .97% | .90% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,345,634 | $ 1,277,101 | $ 1,379,305 | $ 1,784,820 | $ 1,497,734 | $ 3,008,644 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.24 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.64 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .12 | .18 | .17 | .18 | .18 | .25 |
Net realized and unrealized gain (loss) | 1.98 | (.84) | 3.26 | 5.18 | (11.67) | 5.11 |
Total from investment operations | 2.10 | (.66) | 3.43 | 5.36 | (11.49) | 5.36 |
Distributions from net investment income | - | (.19) | (.22) | (.21) | (.18) | (.26) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.19) | (.23) | (.21) J | (.83) | (9.01) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.74 | $ 22.64 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 |
Total Return B,C,D | 9.28% | (2.78)% | 16.93% | 35.47% | (42.69)% | 17.30% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .89% A | .90% | .90% | .92% | .91% | .90% |
Expenses net of fee waivers, if any | .89% A | .89% | .90% | .92% | .91% | .90% |
Expenses net of all reductions | .89% A | .88% | .88% | .90% | .90% | .89% |
Net investment income (loss) | .95% A | .78% | .81% | 1.08% | .82% | .75% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 7,611,380 | $ 6,980,191 | $ 7,627,793 | $ 7,577,737 | $ 6,187,985 | $ 9,339,663 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.21 per share is comprised of distributions from net investment income of $.205 and distributions from net realized gain of $.005 per share.
Financial Highlights - Service Class 2R
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.60 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .12 | .18 | .17 | .18 | .18 | .25 |
Net realized and unrealized gain (loss) | 1.98 | (.84) | 3.25 | 5.17 | (11.62) | 5.09 |
Total from investment operations | 2.10 | (.66) | 3.42 | 5.35 | (11.44) | 5.34 |
Distributions from net investment income | - | (.18) | (.21) | (.20) | (.16) | (.26) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.18) | (.22) | (.21)J | (.81) | (9.01) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.70 | $ 22.60 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 |
Total Return B,C,D | 9.29% | (2.79)% | 16.94% | 35.46% | (42.69)% | 17.30% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .89% A | .90% | .90% | .92% | .91% | .90% |
Expenses net of fee waivers, if any | .89% A | .89% | .90% | .92% | .91% | .90% |
Expenses net of all reductions | .89% A | .88% | .88% | .90% | .90% | .89% |
Net investment income (loss) | .95% A | .78% | .81% | 1.08% | .82% | .75% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 8,908 | $ 8,042 | $ 10,942 | $ 13,285 | $ 13,585 | $ 35,606 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.21 per share is comprised of distributions from net investment income of $.200 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Investor Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 22.94 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .14 | .23 | .21 | .21 | .21 | .30 |
Net realized and unrealized gain (loss) | 2.02 | (.86) | 3.30 | 5.25 | (11.83) | 5.16 |
Total from investment operations | 2.16 | (.63) | 3.51 | 5.46 | (11.62) | 5.46 |
Distributions from net investment income | - | (.23) | (.26) | (.24) | (.21) | (.30) |
Distributions from net realized gain | - | - | (.01) | (.01) | (.65) | (8.75) |
Total distributions | - | (.23) | (.27) | (.24) J | (.86) | (9.05) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.10 | $ 22.94 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 |
Total Return B,C,D | 9.42% | (2.62)% | 17.10% | 35.66% | (42.60)% | 17.47% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .73% A | .73% | .74% | .77% | .75% | .76% |
Expenses net of fee waivers, if any | .73% A | .73% | .73% | .77% | .75% | .76% |
Expenses net of all reductions | .72% A | .71% | .72% | .75% | .74% | .75% |
Net investment income (loss) | 1.12% A | .94% | .98% | 1.23% | .98% | .89% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 657,299 | $ 577,021 | $ 570,841 | $ 457,476 | $ 324,919 | $ 532,268 |
Portfolio turnover rate G | 91% A | 135% | 117% | 145% | 172% | 134% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.24 per share is comprised of distributions from net investment income of $.235 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
1. Organization.
VIP Contrafund Portfolio (the Fund) is a fund of Variable Insurance Products Fund II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares, Service Class 2R shares, and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are categorized as Level 3 in the hierarchy .
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value 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 June 30, 2012, is included at the end of the Fund's Schedule of Investments.
Foreign Currency Translation. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), partnership, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 2,914,648,194 |
Gross unrealized depreciation | (680,498,305) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 2,234,149,889 |
| |
Tax cost | $ 13,989,400,956 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. At December 31, 2011, capital loss carryforwards were as follows:
Fiscal year of expiration | |
2016 | $ (854,185,637) |
2017 | (2,334,998,928) |
Total capital loss carryforward | $ (3,189,184,565) |
Trading (Redemption) Fees. Service Class 2 R shares held by investors less than 60 days are subject to a redemption fee equal to 1% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
5. 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, including futures contracts. Derivatives are investments whose value is 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 instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. 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.
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 is minimal because of 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, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may 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 payments 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 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.
Any open futures contracts at period end are shown 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 at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $5,821,222 and a change in net unrealized appreciation (depreciation) of $2,301,989 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $7,157,745,837 and $7,480,918,873, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and an annualized group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's and Service Class 2R's average net assets.
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 680,432 |
Service Class 2 | 9,559,122 |
Service Class 2 R | 11,418 |
| $ 10,250,972 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0038% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 2,288,072 |
Service Class | 481,631 |
Service Class 2 | 2,696,035 |
Service Class 2R | 3,208 |
Investor Class | 495,328 |
| $ 5,964,274 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $248,058 for the period.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $23,299 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $4,176,991. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $1,129,225, including $34,517 from securities loaned to FCM.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $410,555 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $79.
Semiannual Report
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
From net investment income | | |
Initial Class | $ - | $ 65,616,073 |
Service Class | - | 12,220,263 |
Service Class 2 | - | 58,305,804 |
Service Class 2R | - | 65,304 |
Investor Class | - | 5,733,099 |
Total | $ - | $ 141,940,543 |
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars |
| Six months ended June 30,
2012 | Year ended
December 31,
2011 | Six months ended June 30,
2012 | Year ended
December 31,
2011 |
Initial Class | | | | |
Shares sold | 4,077,866 | 8,887,647 | $ 101,523,723 | $ 215,181,582 |
Reinvestment of distributions | - | 2,941,106 | - | 65,616,073 |
Shares redeemed | (15,980,797) | (46,079,138) | (398,647,463) | (1,098,879,687) |
Net increase (decrease) | (11,902,931) | (34,250,385) | $ (297,123,740) | $ (818,082,032) |
Service Class | | | | |
Shares sold | 2,396,767 | 5,960,533 | $ 59,691,142 | $ 142,199,635 |
Reinvestment of distributions | - | 549,472 | - | 12,220,263 |
Shares redeemed | (4,433,327) | (8,798,344) | (111,375,922) | (211,519,636) |
Net increase (decrease) | (2,036,560) | (2,288,339) | $ (51,684,780) | $ (57,099,738) |
Service Class 2 | | | | |
Shares sold | 22,436,202 | 28,618,316 | $ 543,485,488 | $ 674,963,970 |
Reinvestment of distributions | - | 2,657,512 | - | 58,305,804 |
Shares redeemed | (23,125,922) | (47,724,451) | (569,514,280) | (1,123,942,590) |
Net increase (decrease) | (689,720) | (16,448,623) | $ (26,028,792) | $ (390,672,816) |
Service Class 2R | | | | |
Shares sold | 61,957 | 57,708 | $ 1,482,968 | $ 1,412,478 |
Reinvestment of distributions | - | 2,982 | - | 65,304 |
Shares redeemed | (57,128) | (171,761) | (1,393,997) | (4,029,960) |
Net increase (decrease) | 4,829 | (111,071) | $ 88,971 | $ (2,552,178) |
Investor Class | | | | |
Shares sold | 1,732,876 | 3,165,850 | $ 43,347,297 | $ 76,274,096 |
Reinvestment of distributions | - | 257,783 | - | 5,733,099 |
Shares redeemed | (690,123) | (2,256,234) | (17,078,251) | (53,079,435) |
Net increase (decrease) | 1,042,753 | 1,167,399 | $ 26,269,046 | $ 28,927,760 |
13. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, two otherwise unaffiliated shareholders were the owners of record of 30% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research (U.K.) Inc.
Fidelity Management & Research (Hong Kong) Limited
Fidelity Management & Research (Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Servicing Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Brown Brothers Harriman & Co.
Boston, MA
VIPCONR-SANN-0812
1.833452.106
Fidelity® Variable Insurance Products:
Disciplined Small Cap Portfolio
Semiannual Report
June 30, 2012
(Fidelity Cover Art)
Contents
Shareholder Expense Example | (Click Here) | An example of shareholder expenses. |
Investment Changes | (Click Here) | A summary of major shifts in the fund's investments over the past six months. |
Investments | (Click Here) | A complete list of the fund's investments with their market values. |
Financial Statements | (Click Here) | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. |
Notes | (Click Here) | Notes to the financial statements. |
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 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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. © 2012 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 to June 30, 2012).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized
Expense Ratio | Beginning
Account Value
January 1, 2012 | Ending
Account Value
June 30, 2012 | Expenses Paid
During Period*
January 1, 2012
to June 30, 2012 |
Initial Class | .90% | | | |
Actual | | $ 1,000.00 | $ 1,080.90 | $ 4.66 |
HypotheticalA | | $ 1,000.00 | $ 1,020.39 | $ 4.52 |
Service Class | .98% | | | |
Actual | | $ 1,000.00 | $ 1,080.70 | $ 5.07 |
HypotheticalA | | $ 1,000.00 | $ 1,019.99 | $ 4.92 |
Service Class 2 | 1.20% | | | |
Actual | | $ 1,000.00 | $ 1,078.90 | $ 6.20 |
HypotheticalA | | $ 1,000.00 | $ 1,018.90 | $ 6.02 |
Investor Class | .97% | | | |
Actual | | $ 1,000.00 | $ 1,080.10 | $ 5.02 |
HypotheticalA | | $ 1,000.00 | $ 1,020.04 | $ 4.87 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Aspen Technology, Inc. | 0.7 | 0.6 |
Extra Space Storage, Inc. | 0.7 | 0.3 |
Nu Skin Enterprises, Inc. Class A | 0.7 | 0.7 |
MFA Financial, Inc. | 0.7 | 0.6 |
Alaska Air Group, Inc. | 0.7 | 0.8 |
Cleco Corp. | 0.7 | 0.7 |
Fair Isaac Corp. | 0.7 | 0.7 |
Harris Teeter Supermarkets, Inc. | 0.7 | 0.0 |
Western Refining, Inc. | 0.7 | 0.4 |
Maximus, Inc. | 0.7 | 0.6 |
| 7.0 | |
Top Five Market Sectors as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Financials | 22.5 | 19.9 |
Information Technology | 15.6 | 16.5 |
Consumer Discretionary | 14.8 | 14.4 |
Industrials | 14.4 | 13.9 |
Health Care | 12.4 | 11.0 |
Asset Allocation (% of fund's net assets) |
As of June 30, 2012 * | As of December 31, 2011 ** |
 | Stocks and Equity
Futures 99.7% | | | Stocks and Equity
Futures 100.0% | |
 | Short-Term
Investments and
Net Other Assets (Liabilities) 0.3% | | | Short-Term
Investments and
Net Other Assets (Liabilities) 0.0% | |
* Foreign investments | 3.4% | | ** Foreign investments | 3.1% | |
Semiannual Report
Investments June 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.1% |
| Shares | | Value |
CONSUMER DISCRETIONARY - 14.8% |
Auto Components - 0.5% |
Dana Holding Corp. | 26,297 | | $ 336,865 |
Standard Motor Products, Inc. | 5,678 | | 79,946 |
| | 416,811 |
Distributors - 0.4% |
Core-Mark Holding Co., Inc. | 755 | | 36,346 |
VOXX International Corp. (a) | 25,490 | | 237,567 |
| | 273,913 |
Diversified Consumer Services - 0.2% |
Lincoln Educational Services Corp. | 17,828 | | 115,882 |
Hotels, Restaurants & Leisure - 4.1% |
AFC Enterprises, Inc. (a) | 1,779 | | 41,166 |
Ameristar Casinos, Inc. | 17,317 | | 307,723 |
Benihana, Inc. | 6,763 | | 108,952 |
Biglari Holdings, Inc. (a) | 470 | | 181,603 |
Bob Evans Farms, Inc. | 11,689 | | 469,898 |
Carrols Restaurant Group, Inc. (a) | 3,229 | | 19,180 |
CEC Entertainment, Inc. | 1,400 | | 50,918 |
Churchill Downs, Inc. | 2,070 | | 121,695 |
Cracker Barrel Old Country Store, Inc. | 4,761 | | 298,991 |
DineEquity, Inc. (a) | 1,625 | | 72,540 |
Einstein Noah Restaurant Group, Inc. | 2,898 | | 50,889 |
Fiesta Restaurant Group, Inc. (a) | 6,236 | | 82,502 |
Interval Leisure Group, Inc. | 2,484 | | 47,221 |
Multimedia Games Holdng Co., Inc. (a) | 19,227 | | 269,178 |
Papa John's International, Inc. (a) | 9,017 | | 428,939 |
Ruth's Hospitality Group, Inc. (a) | 6,541 | | 43,171 |
Scientific Games Corp. Class A (a) | 16,479 | | 140,895 |
Shuffle Master, Inc. (a) | 1,453 | | 20,051 |
Sonic Corp. (a) | 37,629 | | 377,043 |
Texas Roadhouse, Inc. Class A | 7,867 | | 144,989 |
The Cheesecake Factory, Inc. (a) | 1,191 | | 38,064 |
Town Sports International Holdings, Inc. (a) | 2,866 | | 38,089 |
| | 3,353,697 |
Household Durables - 0.9% |
American Greetings Corp. Class A | 23 | | 336 |
Blyth, Inc. | 6,100 | | 210,816 |
Helen of Troy Ltd. (a) | 3,499 | | 118,581 |
Libbey, Inc. (a) | 5,417 | | 83,259 |
Tupperware Brands Corp. | 6,327 | | 346,467 |
| | 759,459 |
Internet & Catalog Retail - 0.3% |
HSN, Inc. | 4,554 | | 183,754 |
Orbitz Worldwide, Inc. (a) | 17,046 | | 62,218 |
PetMed Express, Inc. | 1,492 | | 18,143 |
| | 264,115 |
Leisure Equipment & Products - 3.1% |
Arctic Cat, Inc. (a) | 11,489 | | 420,038 |
Brunswick Corp. | 21,818 | | 484,796 |
|
| Shares | | Value |
Leapfrog Enterprises, Inc. Class A (a) | 39,177 | | $ 401,956 |
Polaris Industries, Inc. | 5,639 | | 403,076 |
Smith & Wesson Holding Corp. (a)(d) | 57,434 | | 477,277 |
Steinway Musical Instruments, Inc. (a) | 642 | | 15,729 |
Sturm, Ruger & Co., Inc. (d) | 8,250 | | 331,238 |
| | 2,534,110 |
Media - 0.7% |
Arbitron, Inc. | 2,622 | | 91,770 |
Cinemark Holdings, Inc. | 8,902 | | 203,411 |
Global Sources Ltd. (a) | 36,571 | | 241,369 |
Valassis Communications, Inc. (a) | 3 | | 65 |
World Wrestling Entertainment, Inc. Class A | 6,416 | | 50,173 |
| | 586,788 |
Specialty Retail - 4.2% |
Aeropostale, Inc. (a) | 16,712 | | 297,975 |
ANN, Inc. (a) | 16,281 | | 415,003 |
Ascena Retail Group, Inc. (a) | 13,518 | | 251,705 |
Barnes & Noble, Inc. (a) | 43 | | 708 |
Big 5 Sporting Goods Corp. | 1,088 | | 8,225 |
Conn's, Inc. (a)(d) | 4,437 | | 65,668 |
Destination Maternity Corp. | 2,346 | | 50,674 |
Express, Inc. (a) | 17,523 | | 318,393 |
Finish Line, Inc. Class A | 6,667 | | 139,407 |
Group 1 Automotive, Inc. | 969 | | 44,196 |
Kirkland's, Inc. (a) | 429 | | 4,826 |
Pier 1 Imports, Inc. | 12,029 | | 197,636 |
Rent-A-Center, Inc. | 15,698 | | 529,651 |
Select Comfort Corp. (a) | 17,976 | | 376,058 |
Shoe Carnival, Inc. | 2,347 | | 50,437 |
The Cato Corp. Class A (sub. vtg.) | 12,221 | | 372,252 |
Tractor Supply Co. | 3,069 | | 254,911 |
| | 3,377,725 |
Textiles, Apparel & Luxury Goods - 0.4% |
Movado Group, Inc. | 13,247 | | 331,440 |
TOTAL CONSUMER DISCRETIONARY | | 12,013,940 |
CONSUMER STAPLES - 4.1% |
Beverages - 0.1% |
Coca-Cola Bottling Co. CONSOLIDATED | 1,346 | | 86,521 |
Food & Staples Retailing - 1.6% |
Andersons, Inc. | 3,933 | | 167,782 |
Casey's General Stores, Inc. | 1,036 | | 61,114 |
Harris Teeter Supermarkets, Inc. | 13,356 | | 547,462 |
Ingles Markets, Inc. Class A | 500 | | 8,015 |
Rite Aid Corp. (a) | 163,508 | | 228,911 |
Roundy's, Inc. (d) | 18,147 | | 185,281 |
Spartan Stores, Inc. | 237 | | 4,297 |
Susser Holdings Corp. (a) | 2,133 | | 79,284 |
The Pantry, Inc. (a) | 1,118 | | 16,435 |
Common Stocks - continued |
| Shares | | Value |
CONSUMER STAPLES - continued |
Food & Staples Retailing - continued |
Village Super Market, Inc. Class A | 1 | | $ 33 |
Weis Markets, Inc. | 552 | | 24,575 |
| | 1,323,189 |
Food Products - 1.3% |
B&G Foods, Inc. Class A | 13,769 | | 366,255 |
Cal-Maine Foods, Inc. | 1,104 | | 43,166 |
Darling International, Inc. (a) | 430 | | 7,091 |
Fresh Del Monte Produce, Inc. | 17,556 | | 412,039 |
Pilgrims Pride Corp. (d) | 8,008 | | 57,257 |
Seneca Foods Corp. Class A (a) | 458 | | 12,320 |
Smart Balance, Inc. (a) | 16,620 | | 156,062 |
| | 1,054,190 |
Household Products - 0.1% |
WD-40 Co. | 1,035 | | 51,553 |
Personal Products - 1.0% |
Elizabeth Arden, Inc. (a) | 3,659 | | 142,006 |
Nature's Sunshine Products, Inc. | 3,096 | | 46,750 |
Nu Skin Enterprises, Inc. Class A | 12,590 | | 590,471 |
Nutraceutical International Corp. (a) | 600 | | 9,150 |
Schiff Nutrition International, Inc. (a) | 190 | | 3,411 |
| | 791,788 |
TOTAL CONSUMER STAPLES | | 3,307,241 |
ENERGY - 3.9% |
Energy Equipment & Services - 1.4% |
Bristow Group, Inc. | 1,102 | | 44,818 |
Gulf Island Fabrication, Inc. | 3,290 | | 92,811 |
Helix Energy Solutions Group, Inc. (a) | 29,988 | | 492,103 |
Hercules Offshore, Inc. (a) | 3,670 | | 12,992 |
OYO Geospace Corp. (a) | 2,632 | | 236,854 |
RigNet, Inc. (a) | 7,312 | | 127,156 |
Superior Energy Services, Inc. (a) | 2,113 | | 42,746 |
Tesco Corp. (a) | 11,020 | | 132,240 |
| | 1,181,720 |
Oil, Gas & Consumable Fuels - 2.5% |
Alon USA Energy, Inc. | 32,249 | | 272,827 |
Callon Petroleum Co. (a) | 8,392 | | 35,750 |
CAMAC Energy, Inc. (a) | 1,306 | | 823 |
Crosstex Energy, Inc. | 13,511 | | 189,154 |
CVR Energy, Inc. (a) | 4,620 | | 122,800 |
Delek US Holdings, Inc. | 1,387 | | 24,397 |
DHT Holdings, Inc. | 21,956 | | 13,709 |
Rex American Resources Corp. (a) | 5,591 | | 109,136 |
Targa Resources Corp. | 2,700 | | 115,290 |
Teekay Tankers Ltd. (d) | 25,545 | | 116,485 |
VAALCO Energy, Inc. (a) | 51,719 | | 446,335 |
|
| Shares | | Value |
Warren Resources, Inc. (a) | 15,879 | | $ 38,110 |
Western Refining, Inc. | 24,532 | | 546,328 |
| | 2,031,144 |
TOTAL ENERGY | | 3,212,864 |
FINANCIALS - 22.5% |
Capital Markets - 1.2% |
American Capital Ltd. (a) | 47,031 | | 473,602 |
Arlington Asset Investment Corp. | 282 | | 6,122 |
Calamos Asset Management, Inc. Class A | 4,297 | | 49,201 |
Duff & Phelps Corp. Class A | 5,364 | | 77,778 |
Kohlberg Capital Corp. (d) | 7,037 | | 51,089 |
Medallion Financial Corp. | 1,963 | | 20,847 |
Prospect Capital Corp. | 165 | | 1,879 |
SWS Group, Inc. | 1,449 | | 7,723 |
TICC Capital Corp. | 15,241 | | 147,838 |
Triangle Capital Corp. | 5,178 | | 117,955 |
| | 954,034 |
Commercial Banks - 6.3% |
1st Source Corp. | 1,241 | | 28,047 |
Alliance Financial Corp. | 1,836 | | 63,048 |
American National Bankshares, Inc. | 2,172 | | 51,172 |
Banco Latinoamericano de Exporaciones SA (BLADEX) Series E | 20,620 | | 441,887 |
BancorpSouth, Inc. | 8,693 | | 126,222 |
Bank of Marin Bancorp | 1,486 | | 54,997 |
Bank of the Ozarks, Inc. | 9,520 | | 286,362 |
Banner Bank | 20,547 | | 450,185 |
BBCN Bancorp, Inc. (a) | 2,976 | | 32,409 |
Boston Private Financial Holdings, Inc. | 567 | | 5,063 |
Cathay General Bancorp | 2,069 | | 34,159 |
Central Pacific Financial Corp. (a) | 7,697 | | 108,682 |
Citizens & Northern Corp. | 3,574 | | 68,085 |
Eagle Bancorp, Inc., Maryland (a) | 4,219 | | 66,449 |
First Community Bancshares, Inc. | 649 | | 9,365 |
First Interstate Bancsystem, Inc. | 1,192 | | 16,974 |
First Merchants Corp. | 17,375 | | 216,493 |
FirstMerit Corp. | 10,832 | | 178,945 |
Hanmi Financial Corp. (a) | 35,638 | | 373,486 |
International Bancshares Corp. | 1,793 | | 34,999 |
MainSource Financial Group, Inc. | 2,696 | | 31,894 |
MB Financial, Inc. | 7,865 | | 169,412 |
Merchants Bancshares, Inc. | 8,818 | | 242,936 |
National Penn Bancshares, Inc. | 5,561 | | 53,219 |
Old National Bancorp, Indiana | 14,049 | | 168,728 |
PacWest Bancorp | 3,409 | | 80,691 |
Park Sterling Corp. (a) | 1,480 | | 6,971 |
Peoples Bancorp, Inc. | 2,413 | | 53,038 |
PrivateBancorp, Inc. | 18,944 | | 279,613 |
Republic Bancorp, Inc., Kentucky Class A | 10,652 | | 237,007 |
SCBT Financial Corp. | 406 | | 14,312 |
Southside Bancshares, Inc. | 1,212 | | 27,246 |
Common Stocks - continued |
| Shares | | Value |
FINANCIALS - continued |
Commercial Banks - continued |
Southwest Bancorp, Inc., Oklahoma (a) | 358 | | $ 3,369 |
State Bank Financial Corp. (a) | 5,809 | | 88,064 |
Susquehanna Bancshares, Inc. | 49,213 | | 506,894 |
Tompkins Financial Corp. | 12 | | 452 |
UMB Financial Corp. | 1,932 | | 98,976 |
United Community Banks, Inc., Georgia (a) | 483 | | 4,139 |
Washington Banking Co., Oak Harbor | 381 | | 5,296 |
Washington Trust Bancorp, Inc. | 4,703 | | 114,659 |
WesBanco, Inc. | 6,583 | | 139,955 |
Wilshire Bancorp, Inc. (a) | 28,348 | | 155,347 |
| | 5,129,247 |
Consumer Finance - 1.4% |
Cash America International, Inc. | 3,095 | | 136,304 |
Credit Acceptance Corp. (a) | 3,382 | | 285,542 |
EZCORP, Inc. (non-vtg.) Class A (a) | 11,136 | | 261,251 |
Nelnet, Inc. Class A | 19,586 | | 450,478 |
Nicholas Financial, Inc. | 172 | | 2,205 |
| | 1,135,780 |
Diversified Financial Services - 0.6% |
MarketAxess Holdings, Inc. | 12,077 | | 321,731 |
PHH Corp. (a) | 9,048 | | 158,159 |
Vector Capital Corp. rights (a) | 5,673 | | 0 |
| | 479,890 |
Insurance - 1.8% |
Amerisafe, Inc. (a) | 759 | | 19,696 |
FBL Financial Group, Inc. Class A | 10,511 | | 294,413 |
First American Financial Corp. | 8,675 | | 147,128 |
Horace Mann Educators Corp. | 13,677 | | 239,074 |
Maiden Holdings Ltd. | 31,117 | | 270,096 |
Montpelier Re Holdings Ltd. | 9,458 | | 201,361 |
Primerica, Inc. | 4,774 | | 127,609 |
ProAssurance Corp. | 714 | | 63,610 |
Symetra Financial Corp. | 9,535 | | 120,332 |
United Fire Group, Inc. | 449 | | 9,577 |
| | 1,492,896 |
Real Estate Investment Trusts - 10.3% |
AG Mortgage Investment Trust, Inc. | 19,437 | | 417,701 |
Alexanders, Inc. | 672 | | 289,706 |
American Capital Mortgage Investment Corp. | 18,654 | | 445,458 |
Anworth Mortgage Asset Corp. | 64,636 | | 455,684 |
Apollo Commercial Real Estate Finance, Inc. | 1,242 | | 19,959 |
Apollo Residential Mortgage, Inc. | 20,694 | | 398,980 |
Capstead Mortgage Corp. | 35,474 | | 493,443 |
CBL & Associates Properties, Inc. | 26,250 | | 512,925 |
Crexus Investment Corp. | 34,094 | | 346,736 |
CubeSmart | 11,220 | | 130,937 |
Dynex Capital, Inc. | 13,673 | | 141,926 |
|
| Shares | | Value |
Education Realty Trust, Inc. | 10,200 | | $ 113,016 |
Extra Space Storage, Inc. | 19,574 | | 598,964 |
First Industrial Realty Trust, Inc. (a) | 7,221 | | 91,129 |
Highwoods Properties, Inc. (SBI) | 12,715 | | 427,860 |
LTC Properties, Inc. | 13,249 | | 480,674 |
MFA Financial, Inc. | 73,581 | | 580,554 |
Mission West Properties, Inc. | 8,641 | | 74,485 |
National Health Investors, Inc. | 1,729 | | 88,041 |
NorthStar Realty Finance Corp. | 68,983 | | 360,091 |
Pennymac Mortgage Investment Trust | 21,454 | | 423,287 |
Potlatch Corp. | 2,760 | | 88,154 |
PS Business Parks, Inc. | 6,943 | | 470,180 |
RLJ Lodging Trust | 7,852 | | 142,357 |
Sabra Health Care REIT, Inc. | 10,264 | | 175,617 |
Saul Centers, Inc. | 850 | | 36,440 |
Starwood Property Trust, Inc. | 8,626 | | 183,820 |
Sunstone Hotel Investors, Inc. (a) | 19,350 | | 212,657 |
Universal Health Realty Income Trust (SBI) | 840 | | 34,885 |
Urstadt Biddle Properties, Inc. Class A | 48 | | 949 |
Winthrop Realty Trust | 9,208 | | 111,969 |
| | 8,348,584 |
Thrifts & Mortgage Finance - 0.9% |
BofI Holding, Inc. (a) | 1,960 | | 38,730 |
Dime Community Bancshares, Inc. | 12,509 | | 166,245 |
Doral Financial Corp. (a) | 138,558 | | 207,837 |
First Financial Holdings, Inc. | 1,685 | | 18,063 |
Flagstar Bancorp, Inc. (a) | 13,072 | | 10,980 |
Flushing Financial Corp. | 5,939 | | 80,949 |
Fox Chase Bancorp, Inc. | 3,045 | | 43,970 |
HomeStreet, Inc. | 276 | | 8,829 |
Kaiser Federal Financial Group, Inc. | 3,381 | | 49,971 |
NASB Financial, Inc. (a) | 276 | | 5,479 |
Oritani Financial Corp. | 3,491 | | 50,235 |
Provident Financial Services, Inc. | 4,415 | | 67,770 |
Walker & Dunlop, Inc. (a) | 1,878 | | 24,132 |
| | 773,190 |
TOTAL FINANCIALS | | 18,313,621 |
HEALTH CARE - 12.4% |
Biotechnology - 3.0% |
Affymax, Inc. (a) | 225 | | 2,898 |
Allos Therapeutics, Inc. (a) | 26,089 | | 46,699 |
ARIAD Pharmaceuticals, Inc. (a) | 3,516 | | 60,510 |
Array Biopharma, Inc. (a) | 28,839 | | 100,071 |
Astex Pharmaceuticals, Inc. (a) | 70,469 | | 147,280 |
AVEO Pharmaceuticals, Inc. (a)(d) | 7,582 | | 92,197 |
Cepheid, Inc. (a) | 1,330 | | 59,518 |
Cubist Pharmaceuticals, Inc. (a) | 1,481 | | 56,145 |
DUSA Pharmaceuticals, Inc. (a) | 573 | | 2,991 |
Emergent BioSolutions, Inc. (a) | 4,000 | | 60,600 |
Genomic Health, Inc. (a) | 1,412 | | 47,161 |
Geron Corp. (a) | 21,639 | | 37,219 |
Common Stocks - continued |
| Shares | | Value |
HEALTH CARE - continued |
Biotechnology - continued |
Incyte Corp. (a) | 3,312 | | $ 75,182 |
Maxygen, Inc. (a) | 7,858 | | 46,834 |
Medivation, Inc. (a) | 847 | | 77,416 |
Momenta Pharmaceuticals, Inc. (a) | 9,098 | | 123,005 |
Nabi Biopharmaceuticals (a) | 33,953 | | 53,646 |
Neurocrine Biosciences, Inc. (a) | 4,588 | | 36,291 |
ONYX Pharmaceuticals, Inc. (a) | 1,944 | | 129,179 |
Osiris Therapeutics, Inc. (a)(d) | 4,118 | | 45,174 |
PDL BioPharma, Inc. (d) | 40,649 | | 269,503 |
Pharmacyclics, Inc. (a) | 6,967 | | 380,468 |
Progenics Pharmaceuticals, Inc. (a) | 12,629 | | 123,512 |
SciClone Pharmaceuticals, Inc. (a) | 26,303 | | 184,384 |
Seattle Genetics, Inc. (a) | 552 | | 14,015 |
Spectrum Pharmaceuticals, Inc. (a)(d) | 9,638 | | 149,967 |
Trius Therapeutics, Inc. (a) | 1,791 | | 10,316 |
| | 2,432,181 |
Health Care Equipment & Supplies - 3.4% |
Analogic Corp. | 4,277 | | 265,174 |
ArthroCare Corp. (a) | 16,513 | | 483,501 |
Atrion Corp. | 31 | | 6,354 |
Cantel Medical Corp. | 5,227 | | 142,436 |
CONMED Corp. | 3,776 | | 104,482 |
Cyberonics, Inc. (a) | 1,586 | | 71,275 |
Greatbatch, Inc. (a) | 11,301 | | 256,646 |
Haemonetics Corp. (a) | 1,129 | | 83,670 |
Invacare Corp. | 11,981 | | 184,867 |
OraSure Technologies, Inc. (a) | 643 | | 7,227 |
RTI Biologics, Inc. (a) | 48,333 | | 181,732 |
Sirona Dental Systems, Inc. (a) | 7,511 | | 338,070 |
SurModics, Inc. (a) | 3,716 | | 64,287 |
Thoratec Corp. (a) | 11,382 | | 382,208 |
Young Innovations, Inc. | 4,990 | | 172,105 |
| | 2,744,034 |
Health Care Providers & Services - 3.7% |
Alliance Healthcare Services, Inc. (a) | 2,800 | | 2,794 |
Almost Family, Inc. (a) | 316 | | 7,059 |
Amedisys, Inc. (a) | 18,136 | | 225,793 |
Assisted Living Concepts, Inc. Class A | 2,553 | | 36,304 |
CardioNet, Inc. (a) | 1,372 | | 2,785 |
Centene Corp. (a) | 12,814 | | 386,470 |
Chemed Corp. | 2,127 | | 128,556 |
Chindex International, Inc. (a) | 1,367 | | 13,397 |
Five Star Quality Care, Inc. (a) | 59,272 | | 181,965 |
Magellan Health Services, Inc. (a) | 9,623 | | 436,211 |
Molina Healthcare, Inc. (a) | 11,251 | | 263,948 |
National Healthcare Corp. | 1,462 | | 66,126 |
PharMerica Corp. (a) | 1,928 | | 21,054 |
Providence Service Corp. (a) | 8,712 | | 119,442 |
Select Medical Holdings Corp. (a) | 6,090 | | 61,570 |
|
| Shares | | Value |
Skilled Healthcare Group, Inc. (a) | 1,061 | | $ 6,663 |
Sun Healthcare Group, Inc. (a) | 33,185 | | 277,758 |
Team Health Holdings, Inc. (a) | 1,323 | | 31,871 |
Triple-S Management Corp. (a) | 1,729 | | 31,606 |
Universal American Spin Corp. (a) | 19,321 | | 203,450 |
Wellcare Health Plans, Inc. (a) | 9,840 | | 521,520 |
| | 3,026,342 |
Health Care Technology - 0.7% |
Computer Programs & Systems, Inc. | 3,525 | | 201,701 |
HealthStream, Inc. (a) | 3,143 | | 81,718 |
MedAssets, Inc. (a) | 250 | | 3,363 |
Omnicell, Inc. (a) | 18,767 | | 274,749 |
| | 561,531 |
Life Sciences Tools & Services - 0.2% |
Affymetrix, Inc. (a) | 36,055 | | 169,098 |
Cambrex Corp. (a) | 759 | | 7,142 |
Medtox Scientific, Inc. (a) | 1,143 | | 30,815 |
| | 207,055 |
Pharmaceuticals - 1.4% |
Cornerstone Therapeutics, Inc. (a) | 4,638 | | 29,359 |
Impax Laboratories, Inc. (a) | 2,483 | | 50,330 |
Medicis Pharmaceutical Corp. Class A | 6,564 | | 224,161 |
Obagi Medical Products, Inc. (a) | 5,339 | | 81,527 |
Par Pharmaceutical Companies, Inc. (a) | 5,524 | | 199,637 |
Pozen, Inc. (a) | 20,487 | | 127,839 |
Questcor Pharmaceuticals, Inc. (a)(d) | 797 | | 42,432 |
Salix Pharmaceuticals Ltd. (a) | 1,684 | | 91,677 |
Santarus, Inc. (a) | 989 | | 7,012 |
Transcept Pharmaceuticals, Inc. (a) | 41 | | 254 |
ViroPharma, Inc. (a) | 11,725 | | 277,883 |
| | 1,132,111 |
TOTAL HEALTH CARE | | 10,103,254 |
INDUSTRIALS - 14.4% |
Aerospace & Defense - 2.3% |
American Science & Engineering, Inc. | 549 | | 30,991 |
Ceradyne, Inc. | 8,956 | | 229,721 |
Cubic Corp. | 5,388 | | 259,055 |
Curtiss-Wright Corp. | 14,567 | | 452,305 |
Esterline Technologies Corp. (a) | 6,925 | | 431,774 |
Hexcel Corp. (a) | 6,157 | | 158,789 |
LMI Aerospace, Inc. (a) | 1,827 | | 31,753 |
Moog, Inc. Class A (a) | 5,812 | | 240,326 |
| | 1,834,714 |
Air Freight & Logistics - 0.1% |
Park-Ohio Holdings Corp. (a) | 3,990 | | 75,930 |
Airlines - 1.4% |
Alaska Air Group, Inc. (a) | 16,134 | | 579,211 |
JetBlue Airways Corp. (a) | 36,137 | | 191,526 |
Republic Airways Holdings, Inc. (a) | 4,655 | | 25,835 |
SkyWest, Inc. | 19,025 | | 124,233 |
Common Stocks - continued |
| Shares | | Value |
INDUSTRIALS - continued |
Airlines - continued |
Spirit Airlines, Inc. (a) | 1,700 | | $ 33,082 |
US Airways Group, Inc. (a) | 15,204 | | 202,669 |
| | 1,156,556 |
Building Products - 0.2% |
American Woodmark Corp. | 1,960 | | 33,516 |
Apogee Enterprises, Inc. | 41 | | 659 |
Gibraltar Industries, Inc. (a) | 8,435 | | 87,555 |
| | 121,730 |
Commercial Services & Supplies - 1.9% |
Consolidated Graphics, Inc. (a) | 3,380 | | 98,189 |
Courier Corp. | 700 | | 9,275 |
Encore Capital Group, Inc. (a) | 8,091 | | 239,655 |
Ennis, Inc. | 175 | | 2,692 |
G&K Services, Inc. Class A | 12,163 | | 379,364 |
Intersections, Inc. | 9,288 | | 147,215 |
Steelcase, Inc. Class A | 6,840 | | 61,765 |
Sykes Enterprises, Inc. (a) | 1,645 | | 26,254 |
Tetra Tech, Inc. (a) | 6,970 | | 181,778 |
The Brink's Co. | 7,730 | | 179,181 |
TMS International Corp. (a) | 1,607 | | 16,022 |
Unifirst Corp. Massachusetts | 3,557 | | 226,759 |
| | 1,568,149 |
Construction & Engineering - 0.3% |
Great Lakes Dredge & Dock Corp. | 32,103 | | 228,573 |
Sterling Construction Co., Inc. (a) | 2,570 | | 26,265 |
| | 254,838 |
Electrical Equipment - 0.9% |
Brady Corp. Class A | 180 | | 4,952 |
EnerSys (a) | 10,686 | | 374,758 |
Franklin Electric Co., Inc. | 6,303 | | 322,272 |
| | 701,982 |
Industrial Conglomerates - 0.1% |
Raven Industries, Inc. | 690 | | 48,017 |
Standex International Corp. | 1,518 | | 64,621 |
| | 112,638 |
Machinery - 2.3% |
Alamo Group, Inc. | 760 | | 23,841 |
Albany International Corp. Class A | 3,995 | | 74,746 |
Ampco-Pittsburgh Corp. | 600 | | 10,998 |
Astec Industries, Inc. (a) | 100 | | 3,068 |
Cascade Corp. | 4,616 | | 217,183 |
CLARCOR, Inc. | 3,717 | | 179,011 |
Hurco Companies, Inc. (a) | 1,434 | | 29,383 |
Kadant, Inc. (a) | 12,526 | | 293,735 |
L.B. Foster Co. Class A | 2,213 | | 63,314 |
NACCO Industries, Inc. Class A | 2,011 | | 233,779 |
Nordson Corp. | 7,204 | | 369,493 |
RBC Bearings, Inc. (a) | 3,275 | | 154,908 |
|
| Shares | | Value |
Sauer-Danfoss, Inc. | 1,898 | | $ 66,297 |
Tennant Co. | 3,023 | | 120,769 |
| | 1,840,525 |
Professional Services - 0.8% |
Barrett Business Services, Inc. | 844 | | 17,842 |
CDI Corp. | 2,000 | | 32,800 |
CRA International, Inc. (a) | 171 | | 2,512 |
GP Strategies Corp. (a) | 870 | | 16,069 |
ICF International, Inc. (a) | 372 | | 8,868 |
Insperity, Inc. | 9,431 | | 255,109 |
Kelly Services, Inc. Class A (non-vtg.) | 9,928 | | 128,170 |
Navigant Consulting, Inc. (a) | 2,175 | | 27,492 |
On Assignment, Inc. (a) | 7,568 | | 120,785 |
Resources Connection, Inc. | 2,553 | | 31,402 |
TrueBlue, Inc. (a) | 1,757 | | 27,198 |
| | 668,247 |
Road & Rail - 1.9% |
AMERCO | 4,255 | | 382,822 |
Arkansas Best Corp. | 15,917 | | 200,554 |
Marten Transport Ltd. | 2,688 | | 57,147 |
Quality Distribution, Inc. (a) | 3,216 | | 35,665 |
Saia, Inc. (a) | 12,952 | | 283,519 |
Swift Transporation Co. (a) | 39,013 | | 368,673 |
Universal Truckload Services, Inc. | 202 | | 3,055 |
Werner Enterprises, Inc. | 8,754 | | 209,133 |
| | 1,540,568 |
Trading Companies & Distributors - 2.1% |
Aceto Corp. | 4,971 | | 44,888 |
Aircastle Ltd. | 35,703 | | 430,221 |
Applied Industrial Technologies, Inc. | 12,708 | | 468,290 |
Beacon Roofing Supply, Inc. (a) | 5,499 | | 138,685 |
DXP Enterprises, Inc. (a) | 4,549 | | 188,738 |
H&E Equipment Services, Inc. (a) | 23,071 | | 346,757 |
Interline Brands, Inc. (a) | 1,216 | | 30,485 |
SeaCube Container Leasing Ltd. | 3,073 | | 52,456 |
| | 1,700,520 |
Transportation Infrastructure - 0.1% |
Wesco Aircraft Holdings, Inc. (a) | 8,843 | | 112,571 |
TOTAL INDUSTRIALS | | 11,688,968 |
INFORMATION TECHNOLOGY - 15.6% |
Communications Equipment - 1.3% |
Anaren, Inc. (a) | 12,609 | | 247,136 |
Arris Group, Inc. (a) | 10,420 | | 144,942 |
Black Box Corp. | 3,935 | | 112,935 |
Communications Systems, Inc. | 2,754 | | 30,762 |
Comtech Telecommunications Corp. | 8,310 | | 237,500 |
Emulex Corp. (a) | 5,587 | | 40,226 |
Tessco Technologies, Inc. | 9,991 | | 220,302 |
| | 1,033,803 |
Common Stocks - continued |
| Shares | | Value |
INFORMATION TECHNOLOGY - continued |
Computers & Peripherals - 0.4% |
Cray, Inc. (a) | 5,469 | | $ 66,066 |
Xyratex Ltd. | 25,198 | | 284,989 |
| | 351,055 |
Electronic Equipment & Components - 2.2% |
Anixter International, Inc. | 6,737 | | 357,398 |
Benchmark Electronics, Inc. (a) | 6,753 | | 94,204 |
BrightPoint, Inc. (a) | 199 | | 1,077 |
Coherent, Inc. (a) | 4,328 | | 187,402 |
Electro Scientific Industries, Inc. | 12,390 | | 146,450 |
GSI Group, Inc. (a) | 1,154 | | 13,225 |
Insight Enterprises, Inc. (a) | 5,581 | | 93,928 |
Measurement Specialties, Inc. (a) | 963 | | 31,307 |
MTS Systems Corp. | 2,190 | | 84,425 |
Multi-Fineline Electronix, Inc. (a) | 1,302 | | 32,081 |
Newport Corp. (a) | 16,960 | | 203,859 |
OSI Systems, Inc. (a) | 1,869 | | 118,382 |
PC Connection, Inc. | 1,300 | | 13,806 |
Pulse Electronics Corp. | 22 | | 43 |
SYNNEX Corp. (a) | 11,671 | | 402,533 |
Vishay Precision Group, Inc. (a) | 2,048 | | 28,570 |
| | 1,808,690 |
Internet Software & Services - 0.5% |
Ancestry.com, Inc. (a)(d) | 7,591 | | 208,980 |
Blucora, Inc. (a) | 15,105 | | 186,094 |
Rackspace Hosting, Inc. (a) | 41 | | 1,802 |
| | 396,876 |
IT Services - 3.3% |
Acxiom Corp. (a) | 1,814 | | 27,410 |
CACI International, Inc. Class A (a) | 8,664 | | 476,693 |
Cardtronics, Inc. (a) | 53 | | 1,601 |
Convergys Corp. | 6,003 | | 88,664 |
CSG Systems International, Inc. (a) | 4,360 | | 75,341 |
EPAM Systems, Inc. | 3,933 | | 66,822 |
Euronet Worldwide, Inc. (a) | 1,491 | | 25,526 |
Global Cash Access Holdings, Inc. (a) | 31,561 | | 227,555 |
Hackett Group, Inc. (a) | 2,138 | | 11,909 |
Heartland Payment Systems, Inc. | 15,653 | | 470,842 |
Jack Henry & Associates, Inc. | 2,756 | | 95,137 |
Maximus, Inc. | 10,513 | | 544,048 |
NCI, Inc. Class A (a) | 515 | | 2,086 |
Teletech Holdings, Inc. (a) | 18,149 | | 290,384 |
TNS, Inc. (a) | 2,131 | | 38,230 |
Unisys Corp. (a) | 12,995 | | 254,052 |
| | 2,696,300 |
Semiconductors & Semiconductor Equipment - 2.4% |
Advanced Energy Industries, Inc. (a) | 5,451 | | 73,152 |
DSP Group, Inc. (a) | 80 | | 507 |
Entegris, Inc. (a) | 43,725 | | 373,412 |
|
| Shares | | Value |
GT Advanced Technologies, Inc. (a)(d) | 22,637 | | $ 119,523 |
Kulicke & Soffa Industries, Inc. (a) | 37,591 | | 335,312 |
LTX-Credence Corp. (a) | 29,194 | | 195,600 |
Micrel, Inc. | 5,726 | | 54,569 |
MKS Instruments, Inc. | 1,793 | | 51,871 |
Monolithic Power Systems, Inc. (a) | 4,968 | | 98,714 |
Omnivision Technologies, Inc. (a) | 11,791 | | 157,528 |
Power Integrations, Inc. | 2,691 | | 100,374 |
Tessera Technologies, Inc. | 23,335 | | 358,659 |
Ultra Clean Holdings, Inc. (a) | 897 | | 5,768 |
| | 1,924,989 |
Software - 5.5% |
ACI Worldwide, Inc. (a) | 4,559 | | 201,553 |
Actuate Corp. (a) | 19,089 | | 132,287 |
Aspen Technology, Inc. (a) | 25,924 | | 600,135 |
CommVault Systems, Inc. (a) | 2,256 | | 111,830 |
Fair Isaac Corp. | 13,308 | | 562,662 |
JDA Software Group, Inc. (a) | 8,524 | | 253,078 |
Manhattan Associates, Inc. (a) | 10,546 | | 482,058 |
Monotype Imaging Holdings, Inc. (a) | 27,872 | | 467,413 |
NetScout Systems, Inc. (a) | 8,602 | | 185,717 |
Opnet Technologies, Inc. | 3,541 | | 94,155 |
Progress Software Corp. (a) | 18,811 | | 392,586 |
QAD, Inc.: | | | |
Class A | 3,081 | | 43,812 |
Class B | 2,116 | | 28,799 |
Quest Software, Inc. (a) | 4,062 | | 113,127 |
SeaChange International, Inc. (a) | 1,241 | | 10,213 |
SS&C Technologies Holdings, Inc. (a) | 7,544 | | 188,600 |
TeleCommunication Systems, Inc. Class A (a) | 17,377 | | 21,374 |
TeleNav, Inc. (a) | 19,891 | | 121,932 |
TIBCO Software, Inc. (a) | 14,353 | | 429,442 |
Verint Systems, Inc. (a) | 1,162 | | 34,291 |
| | 4,475,064 |
TOTAL INFORMATION TECHNOLOGY | | 12,686,777 |
MATERIALS - 5.7% |
Chemicals - 2.7% |
American Vanguard Corp. | 5,435 | | 144,517 |
Ferro Corp. (a) | 565 | | 2,712 |
FutureFuel Corp. | 1,185 | | 12,454 |
Georgia Gulf Corp. | 2,241 | | 57,526 |
H.B. Fuller Co. | 17,434 | | 535,224 |
Innospec, Inc. (a) | 6,373 | | 188,705 |
LSB Industries, Inc. (a) | 6,841 | | 211,455 |
Minerals Technologies, Inc. | 1,800 | | 114,804 |
OM Group, Inc. (a) | 502 | | 9,538 |
Rockwood Holdings, Inc. | 7,557 | | 335,153 |
Sensient Technologies Corp. | 2,487 | | 91,348 |
TPC Group, Inc. (a) | 9,705 | | 358,600 |
Common Stocks - continued |
| Shares | | Value |
MATERIALS - continued |
Chemicals - continued |
Tredegar Corp. | 860 | | $ 12,522 |
W.R. Grace & Co. (a) | 2,842 | | 143,379 |
| | 2,217,937 |
Construction Materials - 0.1% |
Eagle Materials, Inc. | 1,517 | | 56,645 |
Headwaters, Inc. (a) | 7,032 | | 36,215 |
| | 92,860 |
Containers & Packaging - 0.7% |
Boise, Inc. | 33,273 | | 218,936 |
Myers Industries, Inc. | 18,709 | | 321,046 |
| | 539,982 |
Metals & Mining - 0.9% |
Coeur d'Alene Mines Corp. (a) | 3,516 | | 61,741 |
Golden Star Resources Ltd. (a)(d) | 17,585 | | 20,381 |
Hecla Mining Co. (d) | 60,372 | | 286,767 |
Noranda Aluminium Holding Corp. | 10,019 | | 79,751 |
Worthington Industries, Inc. | 14,946 | | 305,945 |
| | 754,585 |
Paper & Forest Products - 1.3% |
Buckeye Technologies, Inc. | 13,465 | | 383,618 |
Domtar Corp. | 4,403 | | 337,754 |
Glatfelter | 6,303 | | 103,180 |
Kapstone Paper & Packaging Corp. (a) | 4,303 | | 68,203 |
Neenah Paper, Inc. | 6,413 | | 171,163 |
| | 1,063,918 |
TOTAL MATERIALS | | 4,669,282 |
TELECOMMUNICATION SERVICES - 0.3% |
Diversified Telecommunication Services - 0.3% |
HickoryTech Corp. | 1,345 | | 14,943 |
IDT Corp. Class B | 383 | | 3,757 |
inContact, Inc. (a) | 197 | | 987 |
Neutral Tandem, Inc. (a) | 966 | | 12,732 |
Premiere Global Services, Inc. (a) | 3,930 | | 32,973 |
Vonage Holdings Corp. (a) | 100,945 | | 202,899 |
| | 268,291 |
Wireless Telecommunication Services - 0.0% |
NTELOS Holdings Corp. | 966 | | 18,209 |
TOTAL TELECOMMUNICATION SERVICES | | 286,500 |
UTILITIES - 3.4% |
Electric Utilities - 2.5% |
Cleco Corp. | 13,672 | | 571,900 |
El Paso Electric Co. | 14,637 | | 485,363 |
Empire District Electric Co. | 1,994 | | 42,073 |
IDACORP, Inc. | 1,404 | | 59,080 |
PNM Resources, Inc. | 5,797 | | 113,273 |
|
| Shares | | Value |
Portland General Electric Co. | 19,505 | | $ 520,003 |
Unitil Corp. | 1,380 | | 36,570 |
UNS Energy Corp. | 5,037 | | 193,471 |
| | 2,021,733 |
Gas Utilities - 0.1% |
Chesapeake Utilities Corp. | 19 | | 831 |
Southwest Gas Corp. | 2,007 | | 87,606 |
| | 88,437 |
Multi-Utilities - 0.6% |
Avista Corp. | 3,166 | | 84,532 |
NorthWestern Energy Corp. | 11,546 | | 423,738 |
| | 508,270 |
Water Utilities - 0.2% |
American States Water Co. | 2,829 | | 111,972 |
California Water Service Group | 600 | | 11,082 |
Consolidated Water Co., Inc. | 785 | | 6,508 |
| | 129,562 |
TOTAL UTILITIES | | 2,748,002 |
TOTAL COMMON STOCKS (Cost $74,377,908) |
79,030,449
|
U.S. Treasury Obligations - 0.6% |
| Principal Amount | | |
U.S. Treasury Bills, yield at date of purchase 0.1% 7/19/12 (e)
(Cost $499,974) | | $ 500,000 | |
499,991
|
Money Market Funds - 4.3% |
| Shares | | |
Fidelity Cash Central Fund, 0.17% (b) | 1,145,649 | | 1,145,649 |
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c) | 2,312,975 | | 2,312,975 |
TOTAL MONEY MARKET FUNDS (Cost $3,458,624) |
3,458,624
|
TOTAL INVESTMENT PORTFOLIO - 102.0% (Cost $78,336,506) | | 82,989,064 |
NET OTHER ASSETS (LIABILITIES) - (2.0)% | | (1,592,998) |
NET ASSETS - 100% | $ 81,396,066 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/(Depreciation) |
Purchased |
Equity Index Contracts |
27 NYFE Russell 2000 Mini Index Contracts | Sept. 2012 | | $ 2,147,580 | | $ 77,469 |
|
The face value of futures purchased as a percentage of net assets is 2.6% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $249,996. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 1,831 |
Fidelity Securities Lending Cash Central Fund | 24,010 |
Total | $ 25,841 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2012, 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 in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | | | | |
Equities: | | | | |
Consumer Discretionary | $ 12,013,940 | $ 12,013,940 | $ - | $ - |
Consumer Staples | 3,307,241 | 3,307,241 | - | - |
Energy | 3,212,864 | 3,212,864 | - | - |
Financials | 18,313,621 | 18,313,621 | - | - |
Health Care | 10,103,254 | 10,103,254 | - | - |
Industrials | 11,688,968 | 11,688,968 | - | - |
Information Technology | 12,686,777 | 12,686,777 | - | - |
Materials | 4,669,282 | 4,669,282 | - | - |
Telecommunication Services | 286,500 | 286,500 | - | - |
Utilities | 2,748,002 | 2,748,002 | - | - |
U.S. Government and Government Agency Obligations | 499,991 | - | 499,991 | - |
Money Market Funds | 3,458,624 | 3,458,624 | - | - |
Total Investments in Securities: | $ 82,989,064 | $ 82,489,073 | $ 499,991 | $ - |
Derivative Instruments: | | | | |
Assets | | | | |
Futures Contracts | $ 77,469 | $ 77,469 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure /
Derivative Type | Value |
| Asset | Liability |
Equity Risk | | |
Futures Contracts (a) | $ 77,469 | $ - |
Total Value of Derivatives | $ 77,469 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities
| June 30, 2012 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $2,268,991) - See accompanying schedule: Unaffiliated issuers (cost $74,877,882) | $ 79,530,440 | |
Fidelity Central Funds (cost $3,458,624) | 3,458,624 | |
Total Investments (cost $78,336,506) | | $ 82,989,064 |
Cash | | 12,726 |
Receivable for investments sold | | 393,932 |
Receivable for fund shares sold | | 235,527 |
Dividends receivable | | 132,008 |
Distributions receivable from Fidelity Central Funds | | 2,626 |
Receivable for daily variation margin on futures contracts | | 63,451 |
Other receivables | | 380 |
Total assets | | 83,829,714 |
| | |
Liabilities | | |
Payable for fund shares redeemed | 35,730 | |
Accrued management fee | 46,536 | |
Distribution and service plan fees payable | 600 | |
Other affiliated payables | 12,567 | |
Other payables and accrued expenses | 25,240 | |
Collateral on securities loaned, at value | 2,312,975 | |
Total liabilities | | 2,433,648 |
| | |
Net Assets | | $ 81,396,066 |
Net Assets consist of: | | |
Paid in capital | | $ 74,592,539 |
Undistributed net investment income | | 413,710 |
Accumulated undistributed net realized gain (loss) on investments | | 1,659,790 |
Net unrealized appreciation (depreciation) on investments | | 4,730,027 |
Net Assets | | $ 81,396,066 |
Statement of Assets and Liabilities - continued
| June 30, 2012 (Unaudited) |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($19,120,220 ÷ 1,618,153 shares) | | $ 11.82 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($253,363 ÷ 21,406 shares) | | $ 11.84 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($1,840,827 ÷ 155,800 shares) | | $ 11.82 |
| | |
Investor Class:
Net Asset Value, offering price and redemption price per share ($60,181,656 ÷ 5,105,882 shares) | | $ 11.79 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2012 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 809,142 |
Interest | | 194 |
Income from Fidelity Central Funds | | 25,841 |
Total income | | 835,177 |
| | |
Expenses | | |
Management fee | $ 298,540 | |
Transfer agent fees | 59,223 | |
Distribution and service plan fees | 3,697 | |
Accounting and security lending fees | 16,648 | |
Custodian fees and expenses | 4,396 | |
Independent trustees' compensation | 268 | |
Audit | 23,085 | |
Legal | 178 | |
Miscellaneous | 430 | |
Total expenses before reductions | 406,465 | |
Expense reductions | (3) | 406,462 |
Net investment income (loss) | | 428,715 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities: | | |
Unaffiliated issuers | 1,690,037 | |
Futures contracts | 51,707 | |
Total net realized gain (loss) | | 1,741,744 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 3,602,911 | |
Futures contracts | 61,299 | |
Total change in net unrealized appreciation (depreciation) | | 3,664,210 |
Net gain (loss) | | 5,405,954 |
Net increase (decrease) in net assets resulting from operations | | $ 5,834,669 |
Statement of Changes in Net Assets
| Six months ended June 30, 2012
(Unaudited) | Year ended
December 31,
2011 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 428,715 | $ 328,759 |
Net realized gain (loss) | 1,741,744 | 8,584,115 |
Change in net unrealized appreciation (depreciation) | 3,664,210 | (11,127,389) |
Net increase (decrease) in net assets resulting from operations | 5,834,669 | (2,214,515) |
Distributions to shareholders from net investment income | (7,032) | (345,088) |
Distributions to shareholders from net realized gain | (28,127) | - |
Total distributions | (35,159) | (345,088) |
Share transactions - net increase (decrease) | (302,051) | 6,046,479 |
Total increase (decrease) in net assets | 5,497,459 | 3,486,876 |
| | |
Net Assets | | |
Beginning of period | 75,898,607 | 72,411,731 |
End of period (including undistributed net investment income of $413,710 and distributions in excess of net investment income of $7,973, respectively) | $ 81,396,066 | $ 75,898,607 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended
June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 10.94 | $ 11.15 | $ 8.91 | $ 7.32 | $ 11.17 | $ 11.56 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .06 | .05 | .04 | .04 | .07 | .05 |
Net realized and unrealized gain (loss) | .83 | (.20) | 2.24 | 1.59 | (3.84) | (.32) |
Total from investment operations | .89 | (.15) | 2.28 | 1.63 | (3.77) | (.27) |
Distributions from net investment income | - I | (.06) | (.04) | (.04) | (.08) | (.06) |
Distributions from net realized gain | - I | - | - | - | - | (.07) |
Total distributions | (.01) J | (.06) | (.04) | (.04) | (.08) | (.12) K |
Net asset value, end of period | $ 11.82 | $ 10.94 | $ 11.15 | $ 8.91 | $ 7.32 | $ 11.17 |
Total Return B, C, D | 8.09% | (1.36)% | 25.54% | 22.28% | (33.72)% | (2.33)% |
Ratios to Average Net Assets F, H | | | | | | |
Expenses before reductions | .90% A | .91% | .95% | 1.05% | 1.04% | 1.01% |
Expenses net of fee waivers, if any | .90% A | .91% | .94% | 1.00% | 1.00% | 1.00% |
Expenses net of all reductions | .90% A | .91% | .94% | 1.00% | 1.00% | 1.00% |
Net investment income (loss) | 1.08% A | .47% | .41% | .56% | .71% | .45% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 19,120 | $ 19,809 | $ 19,742 | $ 13,864 | $ 8,381 | $ 11,668 |
Portfolio turnover rate G | 65% A | 90% | 71% | 81% | 87% | 113% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.01 per share is comprised of distributions from net investment income of $.001 and distributions from net realized gain of $.004 per share.
K Total distributions of $.12 per share is comprised of distributions from net investment income of $.059 and distributions from net realized gain of $.065 per share.
Financial Highlights - Service Class
| Six months ended
June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 10.96 | $ 11.16 | $ 8.92 | $ 7.33 | $ 11.17 | $ 11.56 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .06 | .04 | .03 | .03 | .06 | .04 |
Net realized and unrealized gain (loss) | .83 | (.20) | 2.23 | 1.58 | (3.84) | (.31) |
Total from investment operations | .89 | (.16) | 2.26 | 1.61 | (3.78) | (.27) |
Distributions from net investment income | - I | (.04) | (.02) | (.02) | (.06) | (.05) |
Distributions from net realized gain | - I | - | - | - | - | (.07) |
Total distributions | (.01) J | (.04) | (.02) | (.02) | (.06) | (.12) K |
Net asset value, end of period | $ 11.84 | $ 10.96 | $ 11.16 | $ 8.92 | $ 7.33 | $ 11.17 |
Total Return B, C, D | 8.07% | (1.41)% | 25.35% | 22.03% | (33.79)% | (2.40)% |
Ratios to Average Net Assets F, H | | | | | | |
Expenses before reductions | .98% A | 1.01% | 1.04% | 1.10% | 1.10% | 1.09% |
Expenses net of fee waivers, if any | .98% A | 1.01% | 1.04% | 1.10% | 1.10% | 1.09% |
Expenses net of all reductions | .98% A | 1.01% | 1.04% | 1.10% | 1.10% | 1.08% |
Net investment income (loss) | .99% A | .38% | .32% | .46% | .61% | .37% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 253 | $ 235 | $ 327 | $ 426 | $ 631 | $ 1,411 |
Portfolio turnover rate G | 65% A | 90% | 71% | 81% | 87% | 113% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.01 per share is comprised of distributions from net investment income of $.001 and distributions from net realized gain of $.004 per share.
K Total distributions of $.12 per share is comprised of distributions from net investment income of $.051 and distributions from net realized gain of $.065 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended
June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 10.96 | $ 11.15 | $ 8.92 | $ 7.33 | $ 11.15 | $ 11.55 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .05 | .02 | .01 | .02 | .04 | .02 |
Net realized and unrealized gain (loss) | .82 | (.20) | 2.23 | 1.59 | (3.82) | (.32) |
Total from investment operations | .87 | (.18) | 2.24 | 1.61 | (3.78) | (.30) |
Distributions from net investment income | - I | (.01) | (.01) | (.02) | (.04) | (.04) |
Distributions from net realized gain | - I | - | - | - | - | (.07) |
Total distributions | (.01) J | (.01) | (.01) | (.02) | (.04) | (.10) K |
Net asset value, end of period | $ 11.82 | $ 10.96 | $ 11.15 | $ 8.92 | $ 7.33 | $ 11.15 |
Total Return B, C, D | 7.89% | (1.58)% | 25.07% | 21.94% | (33.91)% | (2.60)% |
Ratios to Average Net Assets F, H | | | | | | |
Expenses before reductions | 1.20% A | 1.26% | 1.28% | 1.41% | 1.32% | 1.24% |
Expenses net of fee waivers, if any | 1.20% A | 1.25% | 1.25% | 1.25% | 1.25% | 1.24% |
Expenses net of all reductions | 1.20% A | 1.25% | 1.25% | 1.25% | 1.25% | 1.24% |
Net investment income (loss) | .77% A | .14% | .11% | .31% | .46% | .21% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 1,841 | $ 1,656 | $ 2,513 | $ 1,535 | $ 1,494 | $ 4,143 |
Portfolio turnover rate G | 65% A | 90% | 71% | 81% | 87% | 113% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.01 per share is comprised of distributions from net investment income of $.001 and distributions from net realized gain of $.004 per share.
K Total distributions of $.10 per share is comprised of distributions from net investment income of $.038 and distributions from net realized gain of $.065 per share.
Financial Highlights - Investor Class
| Six months ended
June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 10.92 | $ 11.12 | $ 8.89 | $ 7.31 | $ 11.15 | $ 11.55 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | .06 | .04 | .03 | .04 | .06 | .04 |
Net realized and unrealized gain (loss) | .82 | (.19) | 2.23 | 1.57 | (3.83) | (.32) |
Total from investment operations | .88 | (.15) | 2.26 | 1.61 | (3.77) | (.28) |
Distributions from net investment income | - I | (.05) | (.03) | (.03) | (.07) | (.05) |
Distributions from net realized gain | - I | - | - | - | - | (.07) |
Total distributions | (.01) J | (.05) | (.03) | (.03) | (.07) | (.12) K |
Net asset value, end of period | $ 11.79 | $ 10.92 | $ 11.12 | $ 8.89 | $ 7.31 | $ 11.15 |
Total Return B, C, D | 8.01% | (1.35)% | 25.44% | 22.09% | (33.77)% | (2.50)% |
Ratios to Average Net Assets F, H | | | | | | |
Expenses before reductions | .97% A | .99% | 1.02% | 1.12% | 1.10% | 1.10% |
Expenses net of fee waivers, if any | .97% A | .98% | 1.01% | 1.08% | 1.08% | 1.10% |
Expenses net of all reductions | .97% A | .98% | 1.01% | 1.08% | 1.08% | 1.10% |
Net investment income (loss) | 1.01% A | .40% | .34% | .48% | .63% | .35% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 60,182 | $ 54,198 | $ 49,830 | $ 26,426 | $ 16,331 | $ 21,872 |
Portfolio turnover rate G | 65% A | 90% | 71% | 81% | 87% | 113% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.01 per share.
J Total distributions of $.01 per share is comprised of distributions from net investment income of $.001 and distributions from net realized gain of $.004 per share.
K Total distributions of $.12 per share is comprised of distributions from net investment income of $.050 and distributions from net realized gain of $.065 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
1. Organization.
VIP Disciplined Small Cap Portfolio (the Fund) is a fund of Variable Insurance Products Fund II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security 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 is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value 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 June 30, 2012, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, passive foreign investment companies (PFIC), partnerships, market discount, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 10,547,829 |
Gross unrealized depreciation | (5,966,296) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 4,581,533 |
| |
Tax cost | $ 78,407,531 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Semiannual Report
4. 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, including futures contracts. Derivatives are investments whose value is 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 instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. 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 is minimal because of 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, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may 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 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 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.
Any open futures contracts at period end are shown 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 at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $51,707 and a change in net unrealized appreciation (depreciation) of $61,299 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $26,632,241 and $26,354,969, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .71% 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 FMR for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 127 |
Service Class 2 | 3,570 |
| $ 3,697 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0038% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 8,822 |
Service Class | 90 |
Service Class 2 | 2,020 |
Investor Class | 48,291 |
| $ 59,223 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $119 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $24,010. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3.
Semiannual Report
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
From net investment income | | |
Initial Class | $ 1,817 | $ 102,021 |
Service Class | 21 | 895 |
Service Class 2 | 137 | 1,949 |
Investor Class | 5,057 | 240,223 |
Total | $ 7,032 | $ 345,088 |
From net realized gain | | |
Initial Class | $ 7,267 | $ - |
Service Class | 86 | - |
Service Class 2 | 547 | - |
Investor Class | 20,227 | - |
Total | $ 28,127 | $ - |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars |
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 | Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
Initial Class | | | | |
Shares sold | 198,869 | 799,889 | $ 2,366,019 | $ 9,258,309 |
Reinvestment of distributions | 739 | 9,535 | 9,084 | 102,021 |
Shares redeemed | (392,050) | (770,169) | (4,643,109) | (8,596,529) |
Net increase (decrease) | (192,442) | 39,255 | $ (2,268,006) | $ 763,801 |
Service Class | | | | |
Shares sold | - | - | $ - | $ - |
Reinvestment of distributions | 9 | 84 | 107 | 895 |
Shares redeemed | - | (7,941) | - | (86,551) |
Net increase (decrease) | 9 | (7,857) | $ 107 | $ (85,656) |
Service Class 2 | | | | |
Shares sold | 171,861 | 112,730 | $ 2,096,010 | $ 1,294,995 |
Reinvestment of distributions | 55 | 182 | 684 | 1,949 |
Shares redeemed | (167,287) | (187,048) | (1,922,439) | (2,135,089) |
Net increase (decrease) | 4,629 | (74,136) | $ 174,255 | $ (838,145) |
Investor Class | | | | |
Shares sold | 831,726 | 2,193,939 | $ 9,904,955 | $ 25,259,132 |
Reinvestment of distributions | 2,061 | 22,493 | 25,284 | 240,223 |
Shares redeemed | (692,147) | (1,732,651) | (8,138,646) | (19,292,876) |
Net increase (decrease) | 141,640 | 483,781 | $ 1,791,593 | $ 6,206,479 |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates were the owners of record of 98% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Geode Capital Management, LLC
FMR Co., Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Northern Trust Company
Chicago, IL
VDSC-SANN-0812
1.821007.106
Fidelity® Variable Insurance Products:
Index 500 Portfolio
Semiannual Report
June 30, 2012
(Fidelity Cover Art)
Contents
Shareholder Expense Example | (Click Here) | An example of shareholder expenses. |
Investment Changes | (Click Here) | A summary of major shifts in the fund's investments over the past six months. |
Investments | (Click Here) | A complete list of the fund's investments with their market values. |
Financial Statements | (Click Here) | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. |
Notes | (Click Here) | Notes to the financial statements. |
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 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
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. © 2012 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 to June 30, 2012).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized
Expense Ratio | Beginning
Account Value
January 1, 2012 | Ending
Account Value
June 30, 2012 | Expenses Paid
During Period*
January 1, 2012
to June 30, 2012 |
Initial Class | .10% | | | |
Actual | | $ 1,000.00 | $ 1,094.50 | $ .52 |
Hypothetical A | | $ 1,000.00 | $ 1,024.37 | $ .50 |
Service Class | .20% | | | |
Actual | | $ 1,000.00 | $ 1,094.00 | $ 1.04 |
Hypothetical A | | $ 1,000.00 | $ 1,023.87 | $ 1.01 |
Service Class 2 | .35% | | | |
Actual | | $ 1,000.00 | $ 1,093.10 | $ 1.82 |
Hypothetical A | | $ 1,000.00 | $ 1,023.12 | $ 1.76 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Apple, Inc. | 4.4 | 3.2 |
Exxon Mobil Corp. | 3.2 | 3.5 |
Microsoft Corp. | 1.8 | 1.7 |
IBM Corp. | 1.8 | 1.9 |
General Electric Co. | 1.8 | 1.6 |
AT&T, Inc. | 1.7 | 1.5 |
Chevron Corp. | 1.7 | 1.8 |
Johnson & Johnson | 1.5 | 1.5 |
Wells Fargo & Co. | 1.4 | 1.2 |
The Coca-Cola Co. | 1.4 | 1.4 |
| 20.7 | |
Market Sectors as of June 30, 2012 |
| % of fund's
net assets | % of fund's net assets
6 months ago |
Information Technology | 19.7 | 18.5 |
Financials | 14.3 | 13.1 |
Health Care | 11.9 | 11.5 |
Consumer Staples | 11.2 | 11.2 |
Consumer Discretionary | 10.9 | 10.4 |
Energy | 10.8 | 11.9 |
Industrials | 10.4 | 10.4 |
Utilities | 3.7 | 3.7 |
Materials | 3.4 | 3.4 |
Telecommunication Services | 3.2 | 3.1 |
Asset Allocation |
To match the S&P 500® Index, the VIP Index 500 Portfolio seeks 100% investment exposure to stocks at all times. |
Semiannual Report
Investments June 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.5% |
| Shares | | Value |
CONSUMER DISCRETIONARY - 10.9% |
Auto Components - 0.2% |
BorgWarner, Inc. (a)(d) | 22,444 | | $ 1,472,102 |
Johnson Controls, Inc. | 133,197 | | 3,690,889 |
The Goodyear Tire & Rubber Co. (a) | 47,919 | | 565,923 |
| | 5,728,914 |
Automobiles - 0.4% |
Ford Motor Co. | 747,323 | | 7,166,828 |
Harley-Davidson, Inc. | 45,336 | | 2,073,215 |
| | 9,240,043 |
Distributors - 0.1% |
Genuine Parts Co. (d) | 30,530 | | 1,839,433 |
Diversified Consumer Services - 0.1% |
Apollo Group, Inc. Class A (non-vtg.) (a) | 21,026 | | 760,931 |
DeVry, Inc. | 11,540 | | 357,394 |
H&R Block, Inc. | 57,486 | | 918,626 |
| | 2,036,951 |
Hotels, Restaurants & Leisure - 1.9% |
Carnival Corp. unit (d) | 88,738 | | 3,041,051 |
Chipotle Mexican Grill, Inc. (a)(d) | 6,208 | | 2,358,730 |
Darden Restaurants, Inc. | 25,193 | | 1,275,522 |
International Game Technology | 57,806 | | 910,445 |
Marriott International, Inc. Class A (d) | 51,854 | | 2,032,677 |
McDonald's Corp. | 199,002 | | 17,617,647 |
Starbucks Corp. | 148,530 | | 7,919,620 |
Starwood Hotels & Resorts Worldwide, Inc. | 38,703 | | 2,052,807 |
Wyndham Worldwide Corp. | 28,572 | | 1,506,887 |
Wynn Resorts Ltd. | 15,549 | | 1,612,742 |
Yum! Brands, Inc. | 90,187 | | 5,809,847 |
| | 46,137,975 |
Household Durables - 0.3% |
D.R. Horton, Inc. (d) | 54,862 | | 1,008,364 |
Harman International Industries, Inc. (d) | 13,802 | | 546,559 |
Leggett & Platt, Inc. (d) | 27,450 | | 580,019 |
Lennar Corp. Class A (d) | 31,864 | | 984,916 |
Newell Rubbermaid, Inc. | 56,768 | | 1,029,772 |
PulteGroup, Inc. (a)(d) | 66,111 | | 707,388 |
Whirlpool Corp. | 15,128 | | 925,228 |
| | 5,782,246 |
Internet & Catalog Retail - 1.0% |
Amazon.com, Inc. (a) | 70,578 | | 16,116,486 |
Expedia, Inc. | 17,669 | | 849,349 |
Netflix, Inc. (a) | 10,871 | | 744,337 |
Priceline.com, Inc. (a) | 9,750 | | 6,479,070 |
TripAdvisor, Inc. (a) | 18,659 | | 833,871 |
| | 25,023,113 |
|
| Shares | | Value |
Leisure Equipment & Products - 0.1% |
Hasbro, Inc. (d) | 22,853 | | $ 774,031 |
Mattel, Inc. (d) | 66,692 | | 2,163,488 |
| | 2,937,519 |
Media - 3.4% |
Cablevision Systems Corp. - NY Group Class A (d) | 41,939 | | 557,369 |
CBS Corp. Class B | 126,919 | | 4,160,405 |
Comcast Corp. Class A | 527,965 | | 16,879,041 |
DIRECTV (a) | 128,262 | | 6,261,751 |
Discovery Communications, Inc. (a)(d) | 49,925 | | 2,695,950 |
Gannett Co., Inc. | 46,009 | | 677,713 |
Interpublic Group of Companies, Inc. | 86,757 | | 941,313 |
McGraw-Hill Companies, Inc. | 54,771 | | 2,464,695 |
News Corp. Class A | 412,551 | | 9,195,762 |
Omnicom Group, Inc. | 53,386 | | 2,594,560 |
Scripps Networks Interactive, Inc. Class A | 18,152 | | 1,032,123 |
The Walt Disney Co. | 350,003 | | 16,975,146 |
Time Warner Cable, Inc. | 61,193 | | 5,023,945 |
Time Warner, Inc. | 187,971 | | 7,236,884 |
Viacom, Inc. Class B (non-vtg.) | 103,358 | | 4,859,893 |
Washington Post Co. Class B (d) | 940 | | 351,391 |
| | 81,907,941 |
Multiline Retail - 0.8% |
Big Lots, Inc. (a)(d) | 12,475 | | 508,855 |
Dollar Tree, Inc. (a) | 45,422 | | 2,443,704 |
Family Dollar Stores, Inc. | 22,859 | | 1,519,666 |
JCPenney Co., Inc. (d) | 28,679 | | 668,507 |
Kohl's Corp. (d) | 46,955 | | 2,135,983 |
Macy's, Inc. | 80,903 | | 2,779,018 |
Nordstrom, Inc. | 31,364 | | 1,558,477 |
Sears Holdings Corp. (a)(d) | 7,503 | | 447,929 |
Target Corp. | 129,478 | | 7,534,325 |
| | 19,596,464 |
Specialty Retail - 2.0% |
Abercrombie & Fitch Co. Class A (d) | 16,166 | | 551,907 |
AutoNation, Inc. (a)(d) | 8,134 | | 286,968 |
AutoZone, Inc. (a) | 5,218 | | 1,915,893 |
Bed Bath & Beyond, Inc. (a) | 45,525 | | 2,813,445 |
Best Buy Co., Inc. | 54,278 | | 1,137,667 |
CarMax, Inc. (a)(d) | 44,685 | | 1,159,129 |
GameStop Corp. Class A (d) | 25,514 | | 468,437 |
Gap, Inc. | 65,143 | | 1,782,312 |
Home Depot, Inc. | 299,735 | | 15,882,958 |
Limited Brands, Inc. | 47,316 | | 2,012,349 |
Lowe's Companies, Inc. | 230,426 | | 6,553,315 |
O'Reilly Automotive, Inc. (a) | 24,691 | | 2,068,365 |
Ross Stores, Inc. | 44,173 | | 2,759,487 |
Staples, Inc. | 134,954 | | 1,761,150 |
Tiffany & Co., Inc. (d) | 24,816 | | 1,314,007 |
Common Stocks - continued |
| Shares | | Value |
CONSUMER DISCRETIONARY - continued |
Specialty Retail - continued |
TJX Companies, Inc. | 145,094 | | $ 6,228,885 |
Urban Outfitters, Inc. (a)(d) | 21,835 | | 602,428 |
| | 49,298,702 |
Textiles, Apparel & Luxury Goods - 0.6% |
Coach, Inc. | 56,273 | | 3,290,845 |
Fossil, Inc. (a)(d) | 10,187 | | 779,713 |
NIKE, Inc. Class B | 71,806 | | 6,303,131 |
Ralph Lauren Corp. | 12,708 | | 1,779,882 |
VF Corp. | 16,950 | | 2,261,978 |
| | 14,415,549 |
TOTAL CONSUMER DISCRETIONARY | | 263,944,850 |
CONSUMER STAPLES - 11.2% |
Beverages - 2.8% |
Beam, Inc. | 30,861 | | 1,928,504 |
Brown-Forman Corp. Class B (non-vtg.) | 19,466 | | 1,885,282 |
Coca-Cola Enterprises, Inc. | 58,753 | | 1,647,434 |
Constellation Brands, Inc. Class A (sub. vtg.) (a) | 29,810 | | 806,659 |
Dr Pepper Snapple Group, Inc. (d) | 41,481 | | 1,814,794 |
Molson Coors Brewing Co. Class B | 30,778 | | 1,280,673 |
Monster Beverage Corp. (a) | 30,021 | | 2,137,495 |
PepsiCo, Inc. | 306,256 | | 21,640,049 |
The Coca-Cola Co. | 441,761 | | 34,541,293 |
| | 67,682,183 |
Food & Staples Retailing - 2.4% |
Costco Wholesale Corp. | 84,662 | | 8,042,890 |
CVS Caremark Corp. | 250,944 | | 11,726,613 |
Kroger Co. | 109,850 | | 2,547,422 |
Safeway, Inc. | 47,075 | | 854,411 |
Sysco Corp. | 114,705 | | 3,419,356 |
Wal-Mart Stores, Inc. | 337,909 | | 23,559,015 |
Walgreen Co. | 168,944 | | 4,997,364 |
Whole Foods Market, Inc. | 31,992 | | 3,049,477 |
| | 58,196,548 |
Food Products - 1.7% |
Archer Daniels Midland Co. | 128,953 | | 3,806,693 |
Campbell Soup Co. (d) | 34,652 | | 1,156,684 |
ConAgra Foods, Inc. | 81,337 | | 2,109,068 |
Dean Foods Co. (a) | 36,129 | | 615,277 |
General Mills, Inc. | 126,756 | | 4,885,176 |
H.J. Heinz Co. | 62,641 | | 3,406,418 |
Hormel Foods Corp. | 26,847 | | 816,686 |
Kellogg Co. | 48,299 | | 2,382,590 |
Kraft Foods, Inc. Class A | 347,187 | | 13,408,362 |
McCormick & Co., Inc. (non-vtg.) | 25,965 | | 1,574,777 |
Mead Johnson Nutrition Co. Class A | 39,926 | | 3,214,442 |
The Hershey Co. | 29,781 | | 2,145,125 |
|
| Shares | | Value |
The J.M. Smucker Co. | 22,200 | | $ 1,676,544 |
Tyson Foods, Inc. Class A | 56,548 | | 1,064,799 |
| | 42,262,641 |
Household Products - 2.1% |
Clorox Co. (d) | 25,470 | | 1,845,556 |
Colgate-Palmolive Co. | 93,455 | | 9,728,666 |
Kimberly-Clark Corp. | 76,785 | | 6,432,279 |
Procter & Gamble Co. | 536,569 | | 32,864,851 |
| | 50,871,352 |
Personal Products - 0.2% |
Avon Products, Inc. | 84,555 | | 1,370,637 |
Estee Lauder Companies, Inc. Class A | 44,151 | | 2,389,452 |
| | 3,760,089 |
Tobacco - 2.0% |
Altria Group, Inc. | 398,464 | | 13,766,931 |
Lorillard, Inc. | 25,558 | | 3,372,378 |
Philip Morris International, Inc. | 333,984 | | 29,143,444 |
Reynolds American, Inc. | 64,910 | | 2,912,512 |
| | 49,195,265 |
TOTAL CONSUMER STAPLES | | 271,968,078 |
ENERGY - 10.8% |
Energy Equipment & Services - 1.7% |
Baker Hughes, Inc. (d) | 85,863 | | 3,528,969 |
Cameron International Corp. (a) | 48,229 | | 2,059,861 |
Diamond Offshore Drilling, Inc. (d) | 13,612 | | 804,878 |
FMC Technologies, Inc. (a)(d) | 46,822 | | 1,836,827 |
Halliburton Co. | 180,743 | | 5,131,294 |
Helmerich & Payne, Inc. (d) | 21,034 | | 914,558 |
Nabors Industries Ltd. (a) | 56,848 | | 818,611 |
National Oilwell Varco, Inc. | 83,461 | | 5,378,227 |
Noble Corp. (d) | 49,423 | | 1,607,730 |
Rowan Companies PLC (a)(d) | 24,317 | | 786,169 |
Schlumberger Ltd. | 261,137 | | 16,950,403 |
| | 39,817,527 |
Oil, Gas & Consumable Fuels - 9.1% |
Alpha Natural Resources, Inc. (a) | 43,135 | | 375,706 |
Anadarko Petroleum Corp. | 97,825 | | 6,476,015 |
Apache Corp. | 76,533 | | 6,726,485 |
Cabot Oil & Gas Corp. (d) | 41,089 | | 1,618,907 |
Chesapeake Energy Corp. | 129,700 | | 2,412,420 |
Chevron Corp. | 386,389 | | 40,764,040 |
ConocoPhillips | 247,626 | | 13,837,341 |
CONSOL Energy, Inc. (d) | 44,558 | | 1,347,434 |
Denbury Resources, Inc. (a) | 76,495 | | 1,155,839 |
Devon Energy Corp. | 79,190 | | 4,592,228 |
EOG Resources, Inc. | 52,792 | | 4,757,087 |
EQT Corp. | 29,290 | | 1,570,823 |
Exxon Mobil Corp. | 915,689 | | 78,355,508 |
Hess Corp. | 59,536 | | 2,586,839 |
Kinder Morgan Holding Co. LLC | 98,888 | | 3,186,171 |
Common Stocks - continued |
| Shares | | Value |
ENERGY - continued |
Oil, Gas & Consumable Fuels - continued |
Marathon Oil Corp. | 138,116 | | $ 3,531,626 |
Marathon Petroleum Corp. | 66,720 | | 2,997,062 |
Murphy Oil Corp. | 38,022 | | 1,912,126 |
Newfield Exploration Co. (a) | 26,398 | | 773,725 |
Noble Energy, Inc. | 34,814 | | 2,952,923 |
Occidental Petroleum Corp. | 158,823 | | 13,622,249 |
Peabody Energy Corp. | 53,340 | | 1,307,897 |
Phillips 66 (a) | 122,441 | | 4,069,939 |
Pioneer Natural Resources Co. (d) | 24,091 | | 2,125,067 |
QEP Resources, Inc. | 34,932 | | 1,046,912 |
Range Resources Corp. | 31,759 | | 1,964,929 |
Southwestern Energy Co. (a)(d) | 68,173 | | 2,176,764 |
Spectra Energy Corp. | 127,819 | | 3,714,420 |
Sunoco, Inc. | 20,737 | | 985,008 |
Tesoro Corp. (a) | 27,480 | | 685,901 |
Valero Energy Corp. | 108,264 | | 2,614,576 |
Williams Companies, Inc. | 122,515 | | 3,530,882 |
WPX Energy, Inc. | 38,913 | | 629,612 |
| | 220,404,461 |
TOTAL ENERGY | | 260,221,988 |
FINANCIALS - 14.3% |
Capital Markets - 1.8% |
Ameriprise Financial, Inc. | 42,811 | | 2,237,303 |
Bank of New York Mellon Corp. | 233,558 | | 5,126,598 |
BlackRock, Inc. Class A | 25,094 | | 4,261,463 |
Charles Schwab Corp. | 211,892 | | 2,739,764 |
E*TRADE Financial Corp. (a) | 49,790 | | 400,312 |
Federated Investors, Inc. Class B (non-vtg.) (d) | 18,156 | | 396,709 |
Franklin Resources, Inc. | 27,811 | | 3,086,743 |
Goldman Sachs Group, Inc. | 96,320 | | 9,233,235 |
Invesco Ltd. | 87,771 | | 1,983,625 |
Legg Mason, Inc. | 24,606 | | 648,860 |
Morgan Stanley | 298,212 | | 4,350,913 |
Northern Trust Corp. | 47,222 | | 2,173,156 |
State Street Corp. | 95,677 | | 4,271,021 |
T. Rowe Price Group, Inc. | 49,953 | | 3,145,041 |
| | 44,054,743 |
Commercial Banks - 2.9% |
BB&T Corp. | 136,808 | | 4,220,527 |
Comerica, Inc. | 38,513 | | 1,182,734 |
Fifth Third Bancorp | 180,166 | | 2,414,224 |
First Horizon National Corp. (d) | 49,477 | | 427,976 |
Huntington Bancshares, Inc. | 169,321 | | 1,083,654 |
KeyCorp | 186,644 | | 1,444,625 |
M&T Bank Corp. | 24,783 | | 2,046,332 |
PNC Financial Services Group, Inc. | 103,547 | | 6,327,757 |
Regions Financial Corp. | 276,582 | | 1,866,929 |
SunTrust Banks, Inc. | 105,384 | | 2,553,454 |
|
| Shares | | Value |
U.S. Bancorp | 370,921 | | $ 11,928,819 |
Wells Fargo & Co. | 1,040,574 | | 34,796,795 |
Zions Bancorporation (d) | 36,070 | | 700,479 |
| | 70,994,305 |
Consumer Finance - 0.9% |
American Express Co. | 196,074 | | 11,413,468 |
Capital One Financial Corp. | 113,643 | | 6,211,726 |
Discover Financial Services | 103,847 | | 3,591,029 |
SLM Corp. | 95,511 | | 1,500,478 |
| | 22,716,701 |
Diversified Financial Services - 2.9% |
Bank of America Corp. | 2,110,296 | | 17,262,221 |
Citigroup, Inc. | 574,176 | | 15,738,164 |
CME Group, Inc. | 13,015 | | 3,489,452 |
IntercontinentalExchange, Inc. (a) | 14,246 | | 1,937,171 |
JPMorgan Chase & Co. | 745,423 | | 26,633,964 |
Leucadia National Corp. (d) | 38,794 | | 825,148 |
Moody's Corp. (d) | 38,721 | | 1,415,253 |
NYSE Euronext | 49,738 | | 1,272,298 |
The NASDAQ Stock Market, Inc. | 23,972 | | 543,445 |
| | 69,117,116 |
Insurance - 3.5% |
ACE Ltd. | 66,323 | | 4,916,524 |
AFLAC, Inc. | 91,571 | | 3,900,009 |
Allstate Corp. | 96,219 | | 3,376,325 |
American International Group, Inc. (a) | 125,232 | | 4,018,695 |
Aon PLC | 63,920 | | 2,990,178 |
Assurant, Inc. | 16,792 | | 585,033 |
Berkshire Hathaway, Inc. Class B (a) | 344,365 | | 28,695,935 |
Cincinnati Financial Corp. (d) | 31,787 | | 1,210,131 |
Genworth Financial, Inc. Class A (a) | 96,246 | | 544,752 |
Hartford Financial Services Group, Inc. | 86,330 | | 1,521,998 |
Lincoln National Corp. | 55,890 | | 1,222,314 |
Loews Corp. | 59,836 | | 2,447,891 |
Marsh & McLennan Companies, Inc. | 106,841 | | 3,443,485 |
MetLife, Inc. | 207,967 | | 6,415,782 |
Principal Financial Group, Inc. (d) | 58,773 | | 1,541,616 |
Progressive Corp. | 119,392 | | 2,486,935 |
Prudential Financial, Inc. | 91,840 | | 4,447,811 |
The Chubb Corp. | 52,862 | | 3,849,411 |
The Travelers Companies, Inc. | 76,182 | | 4,863,459 |
Torchmark Corp. | 19,279 | | 974,553 |
Unum Group | 55,975 | | 1,070,802 |
XL Group PLC Class A | 61,039 | | 1,284,261 |
| | 85,807,900 |
Real Estate Investment Trusts - 2.2% |
American Tower Corp. | 77,268 | | 5,401,806 |
Apartment Investment & Management Co. Class A | 27,680 | | 748,190 |
AvalonBay Communities, Inc. | 18,672 | | 2,641,715 |
Boston Properties, Inc. | 29,337 | | 3,179,251 |
Equity Residential (SBI) | 58,868 | | 3,671,008 |
Common Stocks - continued |
| Shares | | Value |
FINANCIALS - continued |
Real Estate Investment Trusts - continued |
HCP, Inc. (d) | 82,147 | | $ 3,626,790 |
Health Care REIT, Inc. | 41,870 | | 2,441,021 |
Host Hotels & Resorts, Inc. | 140,677 | | 2,225,510 |
Kimco Realty Corp. | 79,685 | | 1,516,406 |
Plum Creek Timber Co., Inc. | 31,624 | | 1,255,473 |
Prologis, Inc. | 90,155 | | 2,995,851 |
Public Storage | 27,872 | | 4,024,996 |
Simon Property Group, Inc. | 59,353 | | 9,238,888 |
Ventas, Inc. | 56,598 | | 3,572,466 |
Vornado Realty Trust | 36,352 | | 3,052,841 |
Weyerhaeuser Co. | 105,244 | | 2,353,256 |
| | 51,945,468 |
Real Estate Management & Development - 0.0% |
CBRE Group, Inc. (a) | 64,217 | | 1,050,590 |
Thrifts & Mortgage Finance - 0.1% |
Hudson City Bancorp, Inc. | 103,419 | | 658,779 |
People's United Financial, Inc. | 69,696 | | 809,171 |
| | 1,467,950 |
TOTAL FINANCIALS | | 347,154,773 |
HEALTH CARE - 11.9% |
Biotechnology - 1.4% |
Alexion Pharmaceuticals, Inc. (a) | 37,615 | | 3,735,170 |
Amgen, Inc. | 152,291 | | 11,123,335 |
Biogen Idec, Inc. (a) | 46,911 | | 6,773,010 |
Celgene Corp. (a) | 86,259 | | 5,534,377 |
Gilead Sciences, Inc. (a)(d) | 148,299 | | 7,604,773 |
| | 34,770,665 |
Health Care Equipment & Supplies - 1.8% |
Baxter International, Inc. | 107,818 | | 5,730,527 |
Becton, Dickinson & Co. | 39,693 | | 2,967,052 |
Boston Scientific Corp. (a) | 279,885 | | 1,586,948 |
C.R. Bard, Inc. | 16,435 | | 1,765,776 |
CareFusion Corp. (a) | 43,456 | | 1,115,950 |
Covidien PLC | 94,440 | | 5,052,540 |
DENTSPLY International, Inc. | 27,757 | | 1,049,492 |
Edwards Lifesciences Corp. (a)(d) | 22,441 | | 2,318,155 |
Intuitive Surgical, Inc. (a)(d) | 7,774 | | 4,305,163 |
Medtronic, Inc. | 203,769 | | 7,891,973 |
St. Jude Medical, Inc. | 61,453 | | 2,452,589 |
Stryker Corp. | 63,405 | | 3,493,616 |
Varian Medical Systems, Inc. (a)(d) | 21,835 | | 1,326,913 |
Zimmer Holdings, Inc. | 34,491 | | 2,219,841 |
| | 43,276,535 |
Health Care Providers & Services - 2.0% |
Aetna, Inc. | 68,028 | | 2,637,446 |
AmerisourceBergen Corp. | 49,112 | | 1,932,557 |
Cardinal Health, Inc. | 67,769 | | 2,846,298 |
CIGNA Corp. | 56,459 | | 2,484,196 |
|
| Shares | | Value |
Coventry Health Care, Inc. | 27,975 | | $ 889,325 |
DaVita, Inc. (a)(d) | 18,411 | | 1,808,144 |
Express Scripts Holding Co. (a) | 157,729 | | 8,806,010 |
Humana, Inc. | 31,954 | | 2,474,518 |
Laboratory Corp. of America Holdings (a)(d) | 18,955 | | 1,755,423 |
McKesson Corp. | 46,096 | | 4,321,500 |
Patterson Companies, Inc. | 17,167 | | 591,746 |
Quest Diagnostics, Inc. | 31,067 | | 1,860,913 |
Tenet Healthcare Corp. (a)(d) | 81,033 | | 424,613 |
UnitedHealth Group, Inc. | 203,154 | | 11,884,509 |
WellPoint, Inc. | 64,783 | | 4,132,508 |
| | 48,849,706 |
Health Care Technology - 0.1% |
Cerner Corp. (a)(d) | 28,706 | | 2,372,838 |
Life Sciences Tools & Services - 0.4% |
Agilent Technologies, Inc. | 68,048 | | 2,670,204 |
Life Technologies Corp. (a) | 34,969 | | 1,573,255 |
PerkinElmer, Inc. | 22,301 | | 575,366 |
Thermo Fisher Scientific, Inc. | 71,925 | | 3,733,627 |
Waters Corp. (a) | 17,403 | | 1,383,016 |
| | 9,935,468 |
Pharmaceuticals - 6.2% |
Abbott Laboratories | 308,102 | | 19,863,336 |
Allergan, Inc. | 60,221 | | 5,574,658 |
Bristol-Myers Squibb Co. | 330,757 | | 11,890,714 |
Eli Lilly & Co. | 199,965 | | 8,580,498 |
Forest Laboratories, Inc. (a) | 52,027 | | 1,820,425 |
Hospira, Inc. (a)(d) | 32,337 | | 1,131,148 |
Johnson & Johnson (d) | 537,796 | | 36,333,498 |
Merck & Co., Inc. | 595,601 | | 24,866,342 |
Mylan, Inc. (a) | 83,938 | | 1,793,755 |
Perrigo Co. (d) | 18,293 | | 2,157,293 |
Pfizer, Inc. | 1,466,330 | | 33,725,590 |
Watson Pharmaceuticals, Inc. (a) | 24,949 | | 1,845,977 |
| | 149,583,234 |
TOTAL HEALTH CARE | | 288,788,446 |
INDUSTRIALS - 10.4% |
Aerospace & Defense - 2.5% |
General Dynamics Corp. | 70,614 | | 4,657,699 |
Goodrich Corp. | 24,658 | | 3,129,100 |
Honeywell International, Inc. | 152,580 | | 8,520,067 |
L-3 Communications Holdings, Inc. (d) | 19,078 | | 1,411,963 |
Lockheed Martin Corp. | 52,128 | | 4,539,306 |
Northrop Grumman Corp. (d) | 49,250 | | 3,141,658 |
Precision Castparts Corp. | 28,455 | | 4,680,563 |
Raytheon Co. | 65,274 | | 3,693,856 |
Rockwell Collins, Inc. (d) | 28,401 | | 1,401,589 |
Textron, Inc. (d) | 54,885 | | 1,364,990 |
Common Stocks - continued |
| Shares | | Value |
INDUSTRIALS - continued |
Aerospace & Defense - continued |
The Boeing Co. | 146,679 | | $ 10,898,250 |
United Technologies Corp. | 178,463 | | 13,479,310 |
| | 60,918,351 |
Air Freight & Logistics - 1.0% |
C.H. Robinson Worldwide, Inc. | 31,843 | | 1,863,771 |
Expeditors International of Washington, Inc. | 41,593 | | 1,611,729 |
FedEx Corp. | 61,755 | | 5,657,376 |
United Parcel Service, Inc. Class B | 187,889 | | 14,798,138 |
| | 23,931,014 |
Airlines - 0.1% |
Southwest Airlines Co. | 150,328 | | 1,386,024 |
Building Products - 0.0% |
Masco Corp. (d) | 69,927 | | 969,887 |
Commercial Services & Supplies - 0.4% |
Avery Dennison Corp. (d) | 20,295 | | 554,865 |
Cintas Corp. (d) | 21,604 | | 834,130 |
Iron Mountain, Inc. | 33,524 | | 1,104,951 |
Pitney Bowes, Inc. (d) | 39,206 | | 586,914 |
R.R. Donnelley & Sons Co. (d) | 35,299 | | 415,469 |
Republic Services, Inc. | 61,624 | | 1,630,571 |
Stericycle, Inc. (a)(d) | 16,661 | | 1,527,314 |
Waste Management, Inc. (d) | 90,600 | | 3,026,040 |
| | 9,680,254 |
Construction & Engineering - 0.1% |
Fluor Corp. | 33,117 | | 1,633,993 |
Jacobs Engineering Group, Inc. (a)(d) | 25,266 | | 956,571 |
Quanta Services, Inc. (a)(d) | 41,716 | | 1,004,104 |
| | 3,594,668 |
Electrical Equipment - 0.5% |
Cooper Industries PLC Class A | 31,149 | | 2,123,739 |
Emerson Electric Co. | 143,655 | | 6,691,450 |
Rockwell Automation, Inc. | 27,948 | | 1,846,245 |
Roper Industries, Inc. | 19,079 | | 1,880,808 |
| | 12,542,242 |
Industrial Conglomerates - 2.7% |
3M Co. | 135,874 | | 12,174,310 |
Danaher Corp. | 112,594 | | 5,863,896 |
General Electric Co. | 2,074,778 | | 43,238,374 |
Tyco International Ltd. | 90,638 | | 4,790,218 |
| | 66,066,798 |
Machinery - 1.9% |
Caterpillar, Inc. | 127,741 | | 10,846,488 |
Cummins, Inc. | 37,634 | | 3,647,111 |
Deere & Co. | 77,885 | | 6,298,560 |
Dover Corp. | 35,960 | | 1,927,816 |
Eaton Corp. | 66,127 | | 2,620,613 |
Flowserve Corp. | 10,704 | | 1,228,284 |
|
| Shares | | Value |
Illinois Tool Works, Inc. | 93,476 | | $ 4,943,946 |
Ingersoll-Rand PLC | 58,496 | | 2,467,361 |
Joy Global, Inc. (d) | 20,726 | | 1,175,786 |
PACCAR, Inc. | 69,847 | | 2,737,304 |
Pall Corp. (d) | 22,676 | | 1,242,872 |
Parker Hannifin Corp. (d) | 29,579 | | 2,274,034 |
Snap-On, Inc. (d) | 11,378 | | 708,281 |
Stanley Black & Decker, Inc. | 33,464 | | 2,153,743 |
Xylem, Inc. | 36,312 | | 913,973 |
| | 45,186,172 |
Professional Services - 0.1% |
Dun & Bradstreet Corp. (d) | 9,373 | | 667,076 |
Equifax, Inc. | 23,573 | | 1,098,502 |
Robert Half International, Inc. | 27,998 | | 799,903 |
| | 2,565,481 |
Road & Rail - 0.9% |
CSX Corp. | 203,488 | | 4,549,992 |
Norfolk Southern Corp. | 63,791 | | 4,578,280 |
Ryder System, Inc. | 10,040 | | 361,540 |
Union Pacific Corp. | 93,253 | | 11,126,015 |
| | 20,615,827 |
Trading Companies & Distributors - 0.2% |
Fastenal Co. (d) | 57,830 | | 2,331,127 |
W.W. Grainger, Inc. (d) | 11,949 | | 2,285,127 |
| | 4,616,254 |
TOTAL INDUSTRIALS | | 252,072,972 |
INFORMATION TECHNOLOGY - 19.7% |
Communications Equipment - 1.8% |
Cisco Systems, Inc. | 1,048,986 | | 18,011,090 |
Comverse Technology, Inc. (a) | 274 | | 1,595 |
F5 Networks, Inc. (a) | 15,547 | | 1,547,859 |
Harris Corp. | 22,280 | | 932,418 |
JDS Uniphase Corp. (a)(d) | 45,336 | | 498,696 |
Juniper Networks, Inc. (a) | 103,696 | | 1,691,282 |
Motorola Solutions, Inc. | 57,192 | | 2,751,507 |
QUALCOMM, Inc. | 335,690 | | 18,691,219 |
| | 44,125,666 |
Computers & Peripherals - 5.6% |
Apple, Inc. (a) | 183,104 | | 106,932,727 |
Dell, Inc. (a) | 291,118 | | 3,644,797 |
EMC Corp. (a) | 411,166 | | 10,538,185 |
Hewlett-Packard Co. | 387,204 | | 7,786,672 |
Lexmark International, Inc. Class A (d) | 13,930 | | 370,259 |
NetApp, Inc. (a) | 71,063 | | 2,261,225 |
SanDisk Corp. (a) | 47,714 | | 1,740,607 |
Seagate Technology | 74,110 | | 1,832,740 |
Western Digital Corp. (a) | 45,827 | | 1,396,807 |
| | 136,504,019 |
Electronic Equipment & Components - 0.4% |
Amphenol Corp. Class A | 31,725 | | 1,742,337 |
Common Stocks - continued |
| Shares | | Value |
INFORMATION TECHNOLOGY - continued |
Electronic Equipment & Components - continued |
Corning, Inc. | 297,176 | | $ 3,842,486 |
FLIR Systems, Inc. | 30,196 | | 588,822 |
Jabil Circuit, Inc. | 35,614 | | 724,033 |
Molex, Inc. | 26,937 | | 644,872 |
TE Connectivity Ltd. | 83,728 | | 2,671,760 |
| | 10,214,310 |
Internet Software & Services - 1.9% |
Akamai Technologies, Inc. (a) | 35,088 | | 1,114,044 |
eBay, Inc. (a) | 225,035 | | 9,453,720 |
Google, Inc. Class A (a) | 49,797 | | 28,885,746 |
VeriSign, Inc. (a) | 30,937 | | 1,347,925 |
Yahoo!, Inc. (a) | 238,646 | | 3,777,766 |
| | 44,579,201 |
IT Services - 3.9% |
Accenture PLC Class A | 126,197 | | 7,583,178 |
Automatic Data Processing, Inc. | 95,773 | | 5,330,725 |
Cognizant Technology Solutions Corp. Class A (a) | 59,625 | | 3,577,500 |
Computer Sciences Corp. | 30,392 | | 754,329 |
Fidelity National Information Services, Inc. | 46,760 | | 1,593,581 |
Fiserv, Inc. (a)(d) | 26,726 | | 1,930,152 |
IBM Corp. | 225,876 | | 44,176,828 |
MasterCard, Inc. Class A | 20,788 | | 8,941,127 |
Paychex, Inc. (d) | 63,184 | | 1,984,609 |
SAIC, Inc. | 54,179 | | 656,649 |
Teradata Corp. (a) | 33,035 | | 2,378,850 |
The Western Union Co. | 120,028 | | 2,021,272 |
Total System Services, Inc. | 31,472 | | 753,125 |
Visa, Inc. Class A | 97,509 | | 12,055,038 |
| | 93,736,963 |
Office Electronics - 0.1% |
Xerox Corp. | 263,917 | | 2,077,027 |
Semiconductors & Semiconductor Equipment - 2.3% |
Advanced Micro Devices, Inc. (a)(d) | 115,364 | | 661,036 |
Altera Corp. | 63,178 | | 2,137,944 |
Analog Devices, Inc. | 58,421 | | 2,200,719 |
Applied Materials, Inc. | 250,986 | | 2,876,300 |
Broadcom Corp. Class A | 97,107 | | 3,282,217 |
First Solar, Inc. (a)(d) | 11,554 | | 174,003 |
Intel Corp. | 985,173 | | 26,254,860 |
KLA-Tencor Corp. | 32,766 | | 1,613,726 |
Lam Research Corp. (a) | 39,449 | | 1,488,805 |
Linear Technology Corp. (d) | 45,079 | | 1,412,325 |
LSI Corp. (a) | 111,403 | | 709,637 |
Microchip Technology, Inc. (d) | 37,908 | | 1,253,997 |
Micron Technology, Inc. (a)(d) | 193,789 | | 1,222,809 |
NVIDIA Corp. (a) | 121,174 | | 1,674,625 |
Teradyne, Inc. (a)(d) | 36,554 | | 513,949 |
|
| Shares | | Value |
Texas Instruments, Inc. | 224,088 | | $ 6,429,085 |
Xilinx, Inc. (d) | 51,678 | | 1,734,830 |
| | 55,640,867 |
Software - 3.7% |
Adobe Systems, Inc. (a) | 97,152 | | 3,144,810 |
Autodesk, Inc. (a) | 45,000 | | 1,574,550 |
BMC Software, Inc. (a) | 31,543 | | 1,346,255 |
CA Technologies, Inc. (d) | 69,298 | | 1,877,283 |
Citrix Systems, Inc. (a) | 36,460 | | 3,060,452 |
Electronic Arts, Inc. (a) | 62,244 | | 768,713 |
Intuit, Inc. | 57,506 | | 3,412,981 |
Microsoft Corp. | 1,464,104 | | 44,786,941 |
Oracle Corp. | 759,897 | | 22,568,941 |
Red Hat, Inc. (a)(d) | 37,766 | | 2,133,024 |
salesforce.com, Inc. (a)(d) | 27,023 | | 3,736,200 |
Symantec Corp. (a) | 141,137 | | 2,062,012 |
| | 90,472,162 |
TOTAL INFORMATION TECHNOLOGY | | 477,350,215 |
MATERIALS - 3.4% |
Chemicals - 2.3% |
Air Products & Chemicals, Inc. | 41,403 | | 3,342,464 |
Airgas, Inc. | 13,553 | | 1,138,588 |
CF Industries Holdings, Inc. | 12,853 | | 2,490,140 |
Dow Chemical Co. | 234,080 | | 7,373,520 |
E.I. du Pont de Nemours & Co. | 183,491 | | 9,279,140 |
Eastman Chemical Co. (d) | 27,012 | | 1,360,594 |
Ecolab, Inc. | 57,216 | | 3,921,012 |
FMC Corp. | 26,854 | | 1,436,152 |
International Flavors & Fragrances, Inc. | 15,874 | | 869,895 |
Monsanto Co. | 104,457 | | 8,646,950 |
PPG Industries, Inc. | 29,821 | | 3,164,605 |
Praxair, Inc. | 58,489 | | 6,359,509 |
Sherwin-Williams Co. | 16,786 | | 2,221,627 |
Sigma Aldrich Corp. (d) | 23,673 | | 1,750,145 |
The Mosaic Co. | 58,320 | | 3,193,603 |
| | 56,547,944 |
Construction Materials - 0.0% |
Vulcan Materials Co. | 25,337 | | 1,006,132 |
Containers & Packaging - 0.1% |
Ball Corp. | 30,682 | | 1,259,496 |
Bemis Co., Inc. | 20,188 | | 632,692 |
Owens-Illinois, Inc. (a) | 32,296 | | 619,114 |
Sealed Air Corp. | 38,008 | | 586,844 |
| | 3,098,146 |
Metals & Mining - 0.8% |
Alcoa, Inc. (d) | 208,882 | | 1,827,718 |
Allegheny Technologies, Inc. | 20,974 | | 668,861 |
Cliffs Natural Resources, Inc. (d) | 27,900 | | 1,375,191 |
Freeport-McMoRan Copper & Gold, Inc. | 185,856 | | 6,332,114 |
Newmont Mining Corp. | 97,038 | | 4,707,313 |
Common Stocks - continued |
| Shares | | Value |
MATERIALS - continued |
Metals & Mining - continued |
Nucor Corp. | 62,085 | | $ 2,353,022 |
Titanium Metals Corp. | 16,123 | | 182,351 |
United States Steel Corp. (d) | 28,200 | | 580,920 |
| | 18,027,490 |
Paper & Forest Products - 0.2% |
International Paper Co. | 85,590 | | 2,474,407 |
MeadWestvaco Corp. | 33,749 | | 970,284 |
| | 3,444,691 |
TOTAL MATERIALS | | 82,124,403 |
TELECOMMUNICATION SERVICES - 3.2% |
Diversified Telecommunication Services - 3.0% |
AT&T, Inc. | 1,148,095 | | 40,941,068 |
CenturyLink, Inc. | 121,651 | | 4,803,998 |
Frontier Communications Corp. (d) | 195,517 | | 748,830 |
Verizon Communications, Inc. | 556,332 | | 24,723,394 |
Windstream Corp. | 115,213 | | 1,112,958 |
| | 72,330,248 |
Wireless Telecommunication Services - 0.2% |
Crown Castle International Corp. (a) | 50,492 | | 2,961,861 |
MetroPCS Communications, Inc. (a) | 57,607 | | 348,522 |
Sprint Nextel Corp. (a) | 587,235 | | 1,914,386 |
| | 5,224,769 |
TOTAL TELECOMMUNICATION SERVICES | | 77,555,017 |
UTILITIES - 3.7% |
Electric Utilities - 2.2% |
American Electric Power Co., Inc. | 94,840 | | 3,784,116 |
Duke Energy Corp. (d) | 413,467 | | 9,534,549 |
Edison International | 63,800 | | 2,947,560 |
Entergy Corp. | 34,691 | | 2,355,172 |
Exelon Corp. | 166,919 | | 6,279,493 |
FirstEnergy Corp. | 81,895 | | 4,028,415 |
NextEra Energy, Inc. | 81,672 | | 5,619,850 |
Northeast Utilities | 61,410 | | 2,383,322 |
Pepco Holdings, Inc. | 44,702 | | 874,818 |
Pinnacle West Capital Corp. (d) | 21,438 | | 1,109,202 |
PPL Corp. | 113,580 | | 3,158,660 |
Southern Co. | 170,107 | | 7,875,954 |
Xcel Energy, Inc. | 95,353 | | 2,708,979 |
| | 52,660,090 |
Gas Utilities - 0.1% |
AGL Resources, Inc. | 22,972 | | 890,165 |
ONEOK, Inc. | 40,702 | | 1,722,102 |
| | 2,612,267 |
|
| Shares | | Value |
Independent Power Producers & Energy Traders - 0.1% |
NRG Energy, Inc. (a)(d) | 44,592 | | $ 774,117 |
The AES Corp. (a) | 126,244 | | 1,619,711 |
| | 2,393,828 |
Multi-Utilities - 1.3% |
Ameren Corp. | 47,513 | | 1,593,586 |
CenterPoint Energy, Inc. | 83,674 | | 1,729,542 |
CMS Energy Corp. | 50,972 | | 1,197,842 |
Consolidated Edison, Inc. (d) | 57,357 | | 3,567,032 |
Dominion Resources, Inc. | 111,911 | | 6,043,194 |
DTE Energy Co. | 33,311 | | 1,976,342 |
Integrys Energy Group, Inc. | 15,258 | | 867,722 |
NiSource, Inc. (d) | 55,631 | | 1,376,867 |
PG&E Corp. | 82,699 | | 3,743,784 |
Public Service Enterprise Group, Inc. (d) | 99,065 | | 3,219,613 |
SCANA Corp. | 22,794 | | 1,090,465 |
Sempra Energy | 46,979 | | 3,235,914 |
TECO Energy, Inc. (d) | 42,258 | | 763,179 |
Wisconsin Energy Corp. | 45,128 | | 1,785,715 |
| | 32,190,797 |
TOTAL UTILITIES | | 89,856,982 |
TOTAL COMMON STOCKS (Cost $1,458,343,911) |
2,411,037,724
|
Money Market Funds - 7.5% |
| | | |
Fidelity Cash Central Fund, 0.17% (b) | 9,657,243 | | 9,657,243 |
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c) | 172,631,642 | | 172,631,642 |
TOTAL MONEY MARKET FUNDS (Cost $182,288,885) |
182,288,885
|
TOTAL INVESTMENT PORTFOLIO - 107.0% (Cost $1,640,632,796) | | 2,593,326,609 |
NET OTHER ASSETS (LIABILITIES) - (7.0)% | | (170,389,832) |
NET ASSETS - 100% | $ 2,422,936,777 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/(Depreciation) |
Purchased |
Equity Index Contracts |
15 CME E-mini S&P 500 Index Contracts | Sept. 2012 | | $ 1,017,300 | | $ 30,505 |
32 CME S&P 500 Index Contracts | Sept. 2012 | | 10,851,200 | | 378,142 |
TOTAL EQUITY INDEX CONTRACTS | | $ 11,868,500 | | $ 408,647 |
The face value of futures purchased as a percentage of net assets is 0.5% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 18,175 |
Fidelity Securities Lending Cash Central Fund | 181,360 |
Total | $ 199,535 |
Other Information |
All investments are categorized as Level 1 under the Fair Value Hierarchy. 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, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure /
Derivative Type | Value |
| Asset | Liability |
Equity Risk | | |
Futures Contracts (a) | $ 408,647 | $ - |
Total Value of Derivatives | $ 408,647 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities
| June 30, 2012 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value (including securities loaned of $172,722,292) - See accompanying schedule: Unaffiliated issuers (cost $1,458,343,911) | $ 2,411,037,724 | |
Fidelity Central Funds (cost $182,288,885) | 182,288,885 | |
Total Investments (cost $1,640,632,796) | | $ 2,593,326,609 |
Segregated cash with broker for futures contracts | | 682,500 |
Cash | | 9,301 |
Receivable for investments sold | | 5,681,779 |
Receivable for fund shares sold | | 2,068,089 |
Dividends receivable | | 3,130,292 |
Distributions receivable from Fidelity Central Funds | | 27,585 |
Receivable for daily variation margin on futures contracts | | 323,437 |
Other receivables | | 34,942 |
Total assets | | 2,605,284,534 |
| | |
Liabilities | | |
Payable for investments purchased | $ 7,383,926 | |
Payable for fund shares redeemed | 2,046,318 | |
Accrued management fee | 87,977 | |
Distribution and service plan fees payable | 55,368 | |
Other affiliated payables | 107,586 | |
Other payables and accrued expenses | 34,940 | |
Collateral on securities loaned, at value | 172,631,642 | |
Total liabilities | | 182,347,757 |
| | |
Net Assets | | $ 2,422,936,777 |
Net Assets consist of: | | |
Paid in capital | | $ 1,433,502,790 |
Undistributed net investment income | | 23,327,028 |
Accumulated undistributed net realized gain (loss) on investments | | 13,004,499 |
Net unrealized appreciation (depreciation) on investments | | 953,102,460 |
Net Assets | | $ 2,422,936,777 |
Statement of Assets and Liabilities - continued
| June 30, 2012 (Unaudited) |
| | |
Initial Class:
Net Asset Value, offering price and redemption price per share ($2,124,462,339 ÷ 15,179,487 shares) | | $ 139.96 |
| | |
Service Class:
Net Asset Value, offering price and redemption price per share ($38,434,580 ÷ 275,453 shares) | | $ 139.53 |
| | |
Service Class 2:
Net Asset Value, offering price and redemption price per share ($260,039,858 ÷ 1,876,308 shares) | | $ 138.59 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended June 30, 2012 (Unaudited) |
| | |
Investment Income | | |
Dividends | | $ 25,040,346 |
Interest | | 544 |
Income from Fidelity Central Funds | | 199,535 |
Total income | | 25,240,425 |
| | |
Expenses | | |
Management fee | $ 535,921 | |
Transfer agent fees | 655,014 | |
Distribution and service plan fees | 340,109 | |
Independent trustees' compensation | 7,683 | |
Miscellaneous | 3,370 | |
Total expenses before reductions | 1,542,097 | |
Expense reductions | (29) | 1,542,068 |
Net investment income (loss) | | 23,698,357 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities: | | |
Unaffiliated issuers | 10,300,888 | |
Futures contracts | 5,133,098 | |
Total net realized gain (loss) | | 15,433,986 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 166,125,842 | |
Futures contracts | (51,125) | |
Total change in net unrealized appreciation (depreciation) | | 166,074,717 |
Net gain (loss) | | 181,508,703 |
Net increase (decrease) in net assets resulting from operations | | $ 205,207,060 |
Statement of Changes in Net Assets
| Six months ended June 30, 2012
(Unaudited) | Year ended
December 31, 2011 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 23,698,357 | $ 42,729,839 |
Net realized gain (loss) | 15,433,986 | 28,415,126 |
Change in net unrealized appreciation (depreciation) | 166,074,717 | (28,150,513) |
Net increase (decrease) in net assets resulting from operations | 205,207,060 | 42,994,452 |
Distributions to shareholders from net investment income | - | (43,244,270) |
Distributions to shareholders from net realized gain | (26,528,684) | (51,595,129) |
Total distributions | (26,528,684) | (94,839,399) |
Share transactions - net increase (decrease) | 48,399,666 | 36,547,032 |
Total increase (decrease) in net assets | 227,078,042 | (15,297,915) |
| | |
Net Assets | | |
Beginning of period | 2,195,858,735 | 2,211,156,650 |
End of period (including undistributed net investment income of $23,327,028 and distributions in excess of net investment income of $371,329, respectively) | $ 2,422,936,777 | $ 2,195,858,735 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 129.33 | $ 132.39 | $ 119.62 | $ 99.19 | $ 164.03 | $ 161.36 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | 1.39 | 2.58 | 2.35 | 2.37 | 3.03 | 3.11 |
Net realized and unrealized gain (loss) | 10.80 | .10 | 15.13 | 23.03 | (63.32) | 5.59 |
Total from investment operations | 12.19 | 2.68 | 17.48 | 25.40 | (60.29) | 8.70 |
Distributions from net investment income | - | (2.65) | (2.44) | (2.72) | (3.07) | (6.03) |
Distributions from net realized gain | (1.56) | (3.09) | (2.27) | (2.25) | (1.48) | - |
Total distributions | (1.56) | (5.74) | (4.71) | (4.97) | (4.55) | (6.03) |
Net asset value, end of period | $ 139.96 | $ 129.33 | $ 132.39 | $ 119.62 | $ 99.19 | $ 164.03 |
Total Return B,C,D | 9.45% | 2.04% | 15.02% | 26.61% | (37.00)% | 5.45% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .10% A | .10% | .10% | .10% | .10% | .10% |
Expenses net of fee waivers, if any | .10% A | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10% A | .10% | .10% | .10% | .10% | .10% |
Net investment income (loss) | 2.02% A | 1.96% | 1.94% | 2.31% | 2.22% | 1.86% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 2,124,462 | $ 1,918,592 | $ 1,931,271 | $ 1,767,750 | $ 1,525,779 | $ 2,626,891 |
Portfolio turnover rate G | 5% A | 5% | 5% | 6% | 6% | 5% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
Financial Highlights - Service Class
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 129.00 | $ 132.07 | $ 119.35 | $ 98.99 | $ 163.66 | $ 160.88 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | 1.32 | 2.44 | 2.22 | 2.27 | 2.88 | 2.93 |
Net realized and unrealized gain (loss) | 10.77 | .10 | 15.09 | 22.96 | (63.14) | 5.58 |
Total from investment operations | 12.09 | 2.54 | 17.31 | 25.23 | (60.26) | 8.51 |
Distributions from net investment income | - | (2.52) | (2.32) | (2.62) | (2.93) | (5.73) |
Distributions from net realized gain | (1.56) | (3.09) | (2.27) | (2.25) | (1.48) | - |
Total distributions | (1.56) | (5.61) | (4.59) | (4.87) | (4.41) | (5.73) |
Net asset value, end of period | $ 139.53 | $ 129.00 | $ 132.07 | $ 119.35 | $ 98.99 | $ 163.66 |
Total Return B,C,D | 9.40% | 1.93% | 14.91% | 26.48% | (37.07)% | 5.34% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .20% A | .20% | .20% | .20% | .20% | .20% |
Expenses net of fee waivers, if any | .20% A | .20% | .20% | .20% | .20% | .20% |
Expenses net of all reductions | .20% A | .20% | .20% | .20% | .20% | .20% |
Net investment income (loss) | 1.92% A | 1.86% | 1.84% | 2.21% | 2.12% | 1.76% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 38,435 | $ 37,095 | $ 37,209 | $ 32,708 | $ 24,340 | $ 38,960 |
Portfolio turnover rate G | 5% A | 5% | 5% | 6% | 6% | 5% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2012 | Years ended December 31, |
| (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 |
Selected Per-Share Data | | | | | | |
Net asset value, beginning of period | $ 128.24 | $ 131.31 | $ 118.71 | $ 98.50 | $ 162.79 | $ 159.90 |
Income from Investment Operations | | | | | | |
Net investment income (loss) E | 1.21 | 2.23 | 2.03 | 2.11 | 2.66 | 2.67 |
Net realized and unrealized gain (loss) | 10.70 | .11 | 14.97 | 22.82 | (62.74) | 5.54 |
Total from investment operations | 11.91 | 2.34 | 17.00 | 24.93 | (60.08) | 8.21 |
Distributions from net investment income | - | (2.32) | (2.13) | (2.47) | (2.73) | (5.32) |
Distributions from net realized gain | (1.56) | (3.09) | (2.27) | (2.25) | (1.48) | - |
Total distributions | (1.56) | (5.41) | (4.40) | (4.72) | (4.21) | (5.32) |
Net asset value, end of period | $ 138.59 | $ 128.24 | $ 131.31 | $ 118.71 | $ 98.50 | $ 162.79 |
Total Return B,C,D | 9.31% | 1.78% | 14.73% | 26.30% | (37.16)% | 5.17% |
Ratios to Average Net Assets F,H | | | | | | |
Expenses before reductions | .35% A | .35% | .35% | .35% | .35% | .35% |
Expenses net of fee waivers, if any | .35% A | .35% | .35% | .35% | .35% | .35% |
Expenses net of all reductions | .35% A | .35% | .35% | .35% | .35% | .35% |
Net investment income (loss) | 1.77% A | 1.71% | 1.69% | 2.06% | 1.97% | 1.61% |
Supplemental Data | | | | | | |
Net assets, end of period (000 omitted) | $ 260,040 | $ 240,172 | $ 242,677 | $ 220,221 | $ 170,637 | $ 269,769 |
Portfolio turnover rate G | 5% A | 5% | 5% | 6% | 6% | 5% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2012 (Unaudited)
1. Organization.
VIP Index 500 Portfolio (the Fund) is a fund of Variable Insurance Products Fund II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares and Service Class 2 shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security 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 is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.
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 each business day and are categorized as Level 1 in the hierarchy.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 1,189,245,368 |
Gross unrealized depreciation | (242,225,103) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 947,020,265 |
| |
Tax cost | $ 1,646,306,344 |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. 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, including futures contracts. Derivatives are investments whose value is 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 instrument based on specified terms, or to exchange future cash flows at periodic intervals based on a notional principal amount. The Fund used derivatives to increase
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 is minimal because of 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, involves risk of loss in excess of the initial investment, if any, collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, for futures contracts, there is the risk that the change in value of the derivative contract may 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 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 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.
Any open futures contracts at period end are shown 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 at period end and is representative of activity for the period. Cash deposited to meet initial margin requirements is shown as segregated cash in the Statement of Assets and Liabilities.
During the period the Fund recognized net realized gain (loss) of $5,133,098 and a change in net unrealized appreciation (depreciation) of $(51,125) related to its investment in futures contracts. These amount are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities other than short-term securities, aggregated $155,956,654 and $56,231,653, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. FMR 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 .045% of the Fund's average net assets. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees. In addition, under an expense contract, FMR pays class-level expenses as necessary so that total expenses do not exceed an annual rate of .10% of each class' average net assets, excluding the distribution and service fee for each applicable class, with certain exceptions.
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 FMR for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 19,116 |
Service Class 2 | 320,993 |
| $ 340,109 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing, and shareholder servicing agent for each class. FIIOC receives asset-based fees of .067% of each class's average net assets. In addition, FIIOC receives an asset-based fee of .0038% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each class pays a portion of the transfer agent fees at an annual rate of .055% of the class' average net assets. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 573,882 |
Service Class | 10,514 |
Service Class 2 | 70,618 |
| $ 655,014 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3,370 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $181,360.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $29.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
From net investment income | | |
Initial Class | $ - | $ 38,255,176 |
Service Class | - | 707,018 |
Service Class 2 | - | 4,282,076 |
Total | $ - | $ 43,244,270 |
Semiannual Report
10. Distributions to Shareholders - continued
| Six months ended
June 30,
2012 | Year ended
December 31,
2011 |
From net realized gain | | |
Initial Class | $ 23,183,501 | $ 44,996,692 |
Service Class | 431,344 | 869,322 |
Service Class 2 | 2,913,839 | 5,729,115 |
Total | $ 26,528,684 | $ 51,595,129 |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars |
| Six months ended June 30,
2012 | Year ended
December 31,
2011 | Six months ended June 30,
2012 | Year ended
December 31,
2011 |
Initial Class | | | | |
Shares sold | 1,315,443 | 1,835,066 | $ 183,759,900 | $ 243,984,868 |
Reinvestment of distributions | 169,284 | 638,728 | 23,183,501 | 83,251,868 |
Shares redeemed | (1,140,377) | (2,226,316) | (157,337,333) | (294,250,679) |
Net increase (decrease) | 344,350 | 247,478 | $ 49,606,068 | $ 32,986,057 |
Service Class | | | | |
Shares sold | 13,094 | 31,831 | $ 1,812,464 | $ 4,163,777 |
Reinvestment of distributions | 3,158 | 12,115 | 431,344 | 1,576,340 |
Shares redeemed | (28,345) | (38,138) | (3,837,843) | (4,956,107) |
Net increase (decrease) | (12,093) | 5,808 | $ (1,594,035) | $ 784,010 |
Service Class 2 | | | | |
Shares sold | 156,187 | 359,331 | $ 21,308,576 | $ 46,317,215 |
Reinvestment of distributions | 21,465 | 77,281 | 2,913,839 | 10,011,190 |
Shares redeemed | (174,189) | (411,858) | (23,834,782) | (53,551,440) |
Net increase (decrease) | 3,463 | 24,754 | $ 387,633 | $ 2,776,965 |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates were the owners of record of 31% of the total outstanding shares of the Fund.
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Geode Capital Management, LLC
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
VIPIDX-SANN-0812
1.705630.114
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 Variable Insurance Products Fund II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Variable Insurance Products Fund II'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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Variable Insurance Products Fund II
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
| |
Date: | August 17, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
| |
Date: | August 17, 2012 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
| |
Date: | August 17, 2012 |
