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 811-07319
Fidelity Covington Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 29 |
Date of reporting period: | February 29, 2024 |
Item 1.
Reports to Stockholders
Contents
Average Annual Total Returns | |||
Periods ended February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Enhanced Small Cap ETF - NAV | 15.26% | 9.05% | 7.94% |
Fidelity® Enhanced Small Cap ETF - Market Price A | 15.52% | 9.10% | 7.97% |
Russell 2000® Index | 10.05% | 6.89% | 7.13% |
Returns from November 18, 2023 through February 29, 2024 are those of Fidelity Enhanced Small Cap ETF. Returns prior to the
Reorganization on November 17, 2023 are those of Fidelity Small Cap Enhanced Index Fund ("Predecessor Fund").
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Fidelity® Enhanced Small Cap ETF - NAV on February 28, 2014. The chart shows how the value of your investment would have changed, and also shows how the Russell 2000® Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
Super Micro Computer, Inc. | 2.1 | |
Carvana Co. Class A | 0.8 | |
Installed Building Products, Inc. | 0.8 | |
Matador Resources Co. | 0.8 | |
Qualys, Inc. | 0.7 | |
Duolingo, Inc. | 0.7 | |
Selective Insurance Group, Inc. | 0.7 | |
Abercrombie & Fitch Co. Class A | 0.7 | |
Fabrinet | 0.7 | |
H.B. Fuller Co. | 0.7 | |
8.7 | ||
Market Sectors (% of Fund's net assets) | ||
Industrials | 18.0 | |
Financials | 15.7 | |
Information Technology | 14.5 | |
Health Care | 14.4 | |
Consumer Discretionary | 13.0 | |
Energy | 5.9 | |
Materials | 5.0 | |
Real Estate | 4.2 | |
Communication Services | 3.9 | |
Consumer Staples | 2.2 | |
Utilities | 1.2 | |
Asset Allocation (% of Fund's net assets) |
Futures - 1.7% |
Common Stocks - 98.0% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 3.9% | |||
Diversified Telecommunication Services - 1.0% | |||
ATN International, Inc. | 8,796 | 295,018 | |
Bandwidth, Inc. (a) | 70,697 | 1,452,116 | |
Lumen Technologies, Inc. (a) | 1,727,344 | 2,798,297 | |
Ooma, Inc. (a) | 69,743 | 711,379 | |
5,256,810 | |||
Entertainment - 0.7% | |||
Eventbrite, Inc. (a) | 26,078 | 146,037 | |
Lions Gate Entertainment Corp.: | |||
Class A (a)(b) | 100,720 | 977,991 | |
Class B (a) | 110,657 | 1,004,766 | |
Madison Square Garden Entertainment Corp. | 32,121 | 1,236,337 | |
3,365,131 | |||
Interactive Media & Services - 1.1% | |||
Bumble, Inc. (a) | 63,660 | 728,907 | |
TrueCar, Inc. (a) | 181,630 | 632,072 | |
Vimeo, Inc. (a) | 261,153 | 1,250,923 | |
Yelp, Inc. (a) | 71,940 | 2,765,374 | |
Zedge, Inc. (a) | 20,142 | 80,165 | |
5,457,441 | |||
Media - 0.9% | |||
EchoStar Holding Corp. Class A (a)(b) | 48,151 | 631,260 | |
John Wiley & Sons, Inc. Class A | 76,956 | 2,566,483 | |
TEGNA, Inc. | 91,730 | 1,285,137 | |
4,482,880 | |||
Wireless Telecommunication Services - 0.2% | |||
Spok Holdings, Inc. | 7,672 | 137,866 | |
Telephone & Data Systems, Inc. | 58,054 | 888,226 | |
1,026,092 | |||
TOTAL COMMUNICATION SERVICES | 19,588,354 | ||
CONSUMER DISCRETIONARY - 13.0% | |||
Automobile Components - 0.6% | |||
Cooper-Standard Holding, Inc. (a) | 44,287 | 622,675 | |
The Goodyear Tire & Rubber Co. (a) | 159,066 | 1,889,704 | |
Visteon Corp. (a) | 4,104 | 464,244 | |
2,976,623 | |||
Automobiles - 0.6% | |||
Winnebago Industries, Inc. | 40,080 | 2,874,938 | |
Broadline Retail - 0.2% | |||
ContextLogic, Inc. (a)(b) | 68,112 | 442,728 | |
Dillard's, Inc. Class A | 1,839 | 762,688 | |
1,205,416 | |||
Diversified Consumer Services - 1.2% | |||
2U, Inc. (a) | 506,210 | 228,098 | |
Chegg, Inc. (a) | 63,454 | 567,279 | |
Duolingo, Inc. (a) | 15,382 | 3,676,298 | |
Frontdoor, Inc. (a) | 43,267 | 1,356,853 | |
5,828,528 | |||
Hotels, Restaurants & Leisure - 2.1% | |||
Dine Brands Global, Inc. | 2,936 | 142,425 | |
Everi Holdings, Inc. (a) | 68,710 | 814,901 | |
International Game Technology PLC | 101,474 | 2,757,049 | |
Light & Wonder, Inc. Class A (a) | 19,427 | 1,952,608 | |
PlayAGS, Inc. (a) | 11,726 | 108,817 | |
Red Robin Gourmet Burgers, Inc. (a)(b) | 49,555 | 370,671 | |
Sabre Corp. (a) | 137,957 | 365,586 | |
Shake Shack, Inc. Class A (a) | 10,646 | 1,131,883 | |
Texas Roadhouse, Inc. Class A | 1,410 | 210,612 | |
Wingstop, Inc. | 8,188 | 2,874,397 | |
10,728,949 | |||
Household Durables - 4.0% | |||
Cavco Industries, Inc. (a) | 4,321 | 1,609,875 | |
Flexsteel Industries, Inc. (b) | 15,038 | 524,074 | |
Green Brick Partners, Inc. (a) | 36,086 | 2,111,031 | |
Installed Building Products, Inc. (b) | 17,220 | 4,114,375 | |
KB Home | 6,478 | 430,334 | |
M.D.C. Holdings, Inc. | 3,915 | 245,471 | |
M/I Homes, Inc. (a) | 24,931 | 3,165,988 | |
Meritage Homes Corp. | 16,718 | 2,635,760 | |
Taylor Morrison Home Corp. (a) | 41,772 | 2,364,713 | |
TRI Pointe Homes, Inc. (a) | 87,993 | 3,113,192 | |
20,314,813 | |||
Leisure Products - 0.0% | |||
Bowflex, Inc. (a) | 100,162 | 19,281 | |
Sturm, Ruger & Co., Inc. | 2,406 | 104,228 | |
123,509 | |||
Specialty Retail - 4.2% | |||
Abercrombie & Fitch Co. Class A (a) | 27,846 | 3,557,605 | |
Asbury Automotive Group, Inc. (a) | 3,335 | 696,448 | |
CarParts.com, Inc. (a) | 173,911 | 443,473 | |
Carvana Co. Class A (a) | 55,196 | 4,191,032 | |
Group 1 Automotive, Inc. | 1,347 | 364,566 | |
Murphy U.S.A., Inc. | 6,265 | 2,612,568 | |
National Vision Holdings, Inc. (a) | 39,626 | 927,248 | |
Sally Beauty Holdings, Inc. (a) | 90,918 | 1,148,294 | |
Sonic Automotive, Inc. Class A (sub. vtg.) (b) | 28,921 | 1,518,353 | |
Stitch Fix, Inc. (a) | 79,016 | 255,222 | |
The Aaron's Co., Inc. | 13,430 | 104,083 | |
The Container Store Group, Inc. (a) | 71,979 | 99,331 | |
The ODP Corp. (a) | 46,352 | 2,617,961 | |
Upbound Group, Inc. | 45,681 | 1,542,191 | |
Urban Outfitters, Inc. (a) | 28,085 | 1,166,932 | |
Winmark Corp. | 413 | 156,754 | |
21,402,061 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Lakeland Industries, Inc. | 19,796 | 356,724 | |
Rocky Brands, Inc. | 7,381 | 184,156 | |
540,880 | |||
TOTAL CONSUMER DISCRETIONARY | 65,995,717 | ||
CONSUMER STAPLES - 2.2% | |||
Beverages - 1.1% | |||
Coca-Cola Bottling Co. Consolidated | 3,669 | 3,084,895 | |
Primo Water Corp. | 160,606 | 2,603,423 | |
5,688,318 | |||
Consumer Staples Distribution & Retail - 0.3% | |||
Ingles Markets, Inc. Class A | 10,723 | 825,778 | |
Natural Grocers by Vitamin Cottage, Inc. | 17,904 | 296,669 | |
PriceSmart, Inc. | 2,117 | 178,124 | |
1,300,571 | |||
Food Products - 0.1% | |||
Fresh Del Monte Produce, Inc. | 19,772 | 473,144 | |
Vital Farms, Inc. (a) | 11,900 | 213,843 | |
686,987 | |||
Personal Care Products - 0.6% | |||
BellRing Brands, Inc. (a) | 28,181 | 1,604,908 | |
elf Beauty, Inc. (a) | 5,192 | 1,082,688 | |
Herbalife Ltd. (a) | 10,911 | 96,344 | |
2,783,940 | |||
Tobacco - 0.1% | |||
Turning Point Brands, Inc. | 7,258 | 183,627 | |
Vector Group Ltd. | 26,944 | 300,695 | |
484,322 | |||
TOTAL CONSUMER STAPLES | 10,944,138 | ||
ENERGY - 5.9% | |||
Energy Equipment & Services - 1.7% | |||
Archrock, Inc. | 20,795 | 379,925 | |
Borr Drilling Ltd. | 25,753 | 155,033 | |
Bristow Group, Inc. (a) | 16,944 | 456,641 | |
DMC Global, Inc. (a) | 602 | 10,041 | |
Helix Energy Solutions Group, Inc. (a) | 124,567 | 1,121,103 | |
Helmerich & Payne, Inc. | 5,185 | 199,052 | |
Kodiak Gas Services, Inc. | 35,270 | 899,385 | |
Nabors Industries Ltd. (a)(b) | 6,317 | 495,063 | |
Nabors Industries Ltd. warrants 6/11/26 (a) | 10,764 | 90,418 | |
Oceaneering International, Inc. (a) | 80,317 | 1,587,064 | |
Oil States International, Inc. (a) | 37,212 | 200,573 | |
Patterson-UTI Energy, Inc. | 25,560 | 295,729 | |
Tidewater, Inc. (a) | 33,125 | 2,319,744 | |
U.S. Silica Holdings, Inc. (a) | 31,067 | 357,271 | |
8,567,042 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Ardmore Shipping Corp. | 33,221 | 539,177 | |
California Resources Corp. | 4,217 | 220,001 | |
Civitas Resources, Inc. | 16,056 | 1,102,726 | |
CNX Resources Corp. (a) | 27,900 | 584,505 | |
CONSOL Energy, Inc. | 3,346 | 287,154 | |
Delek U.S. Holdings, Inc. | 54,295 | 1,385,065 | |
DHT Holdings, Inc. | 24,569 | 265,837 | |
Equitrans Midstream Corp. | 69,362 | 741,480 | |
Frontline PLC (NY Shares) | 1,221 | 27,509 | |
FutureFuel Corp. | 26,190 | 155,307 | |
Green Plains, Inc. (a) | 128,687 | 2,741,033 | |
Magnolia Oil & Gas Corp. Class A (b) | 54,826 | 1,243,454 | |
Matador Resources Co. (b) | 64,602 | 4,079,616 | |
Murphy Oil Corp. | 74,286 | 2,946,926 | |
Overseas Shipholding Group, Inc. | 13,763 | 83,679 | |
PBF Energy, Inc. Class A | 2,073 | 96,809 | |
Permian Resource Corp. Class A | 112,212 | 1,746,019 | |
Scorpio Tankers, Inc. | 15,008 | 1,007,487 | |
Teekay Tankers Ltd. | 15,922 | 872,844 | |
Uranium Energy Corp. (a) | 58,992 | 382,268 | |
Vitesse Energy, Inc. (b) | 43,772 | 994,938 | |
W&T Offshore, Inc. | 2,119 | 6,399 | |
21,510,233 | |||
TOTAL ENERGY | 30,077,275 | ||
FINANCIALS - 15.7% | |||
Banks - 7.0% | |||
1st Source Corp. | 12,290 | 611,796 | |
Amalgamated Financial Corp. | 4,679 | 107,991 | |
Ameris Bancorp | 36,158 | 1,675,200 | |
Atlantic Union Bankshares Corp. | 30,884 | 1,027,202 | |
Axos Financial, Inc. (a) | 21,120 | 1,100,774 | |
BancFirst Corp. | 29,895 | 2,622,987 | |
Bancorp, Inc., Delaware (a) | 50,883 | 2,271,417 | |
Banner Corp. | 19,278 | 845,148 | |
Berkshire Hills Bancorp, Inc. | 37,507 | 806,025 | |
Byline Bancorp, Inc. | 9,762 | 203,440 | |
Cadence Bank | 48,427 | 1,340,459 | |
Capital City Bank Group, Inc. | 2,403 | 68,125 | |
Central Pacific Financial Corp. | 24,217 | 451,889 | |
Community Bank System, Inc. | 10,098 | 457,439 | |
Community Trust Bancorp, Inc. | 7,210 | 286,670 | |
CVB Financial Corp. | 44,230 | 752,795 | |
Financial Institutions, Inc. | 15,167 | 278,466 | |
First Bancorp, Puerto Rico | 141,852 | 2,408,647 | |
First Busey Corp. | 36,178 | 834,265 | |
First Commonwealth Financial Corp. | 24,165 | 314,870 | |
First Financial Bankshares, Inc. | 18,634 | 576,536 | |
Great Southern Bancorp, Inc. | 23,186 | 1,208,918 | |
Heartland Financial U.S.A., Inc. | 39,441 | 1,340,994 | |
Hope Bancorp, Inc. | 13,212 | 144,936 | |
Lakeland Financial Corp. (b) | 41,420 | 2,638,454 | |
Mercantile Bank Corp. | 3,416 | 125,845 | |
Midland States Bancorp, Inc. | 8,900 | 216,715 | |
NBT Bancorp, Inc. | 4,448 | 152,967 | |
Northfield Bancorp, Inc. (b) | 8,393 | 84,769 | |
Northwest Bancshares, Inc. | 48,004 | 550,126 | |
OFG Bancorp | 27,873 | 1,009,560 | |
Peapack-Gladstone Financial Corp. | 11,424 | 276,804 | |
Provident Financial Services, Inc. (b) | 170,375 | 2,569,255 | |
Renasant Corp. | 42,108 | 1,331,034 | |
Sierra Bancorp | 14,576 | 271,259 | |
Simmons First National Corp. Class A | 31,063 | 596,410 | |
Stellar Bancorp, Inc. (b) | 15,377 | 364,435 | |
UMB Financial Corp. | 25,659 | 2,094,031 | |
Univest Corp. of Pennsylvania | 10,172 | 203,643 | |
WesBanco, Inc. | 10,077 | 292,031 | |
Westamerica Bancorp. | 21,878 | 1,000,043 | |
35,514,370 | |||
Capital Markets - 3.1% | |||
Assetmark Financial Holdings, Inc. (a) | 70,639 | 2,497,089 | |
BGC Group, Inc. Class A | 395,489 | 2,748,649 | |
Federated Hermes, Inc. | 68,603 | 2,416,884 | |
Oppenheimer Holdings, Inc. Class A (non-vtg.) | 4,960 | 189,968 | |
Stifel Financial Corp. | 23,496 | 1,782,407 | |
StoneX Group, Inc. (a) | 31,593 | 2,188,131 | |
Virtus Investment Partners, Inc. | 10,668 | 2,478,390 | |
WisdomTree Investments, Inc. | 171,093 | 1,379,010 | |
15,680,528 | |||
Consumer Finance - 0.8% | |||
EZCORP, Inc. (non-vtg.) Class A (a)(b) | 29,600 | 310,504 | |
Green Dot Corp. Class A (a) | 27,418 | 225,102 | |
LendingTree, Inc. (a) | 21,393 | 846,521 | |
PROG Holdings, Inc. | 75,843 | 2,341,273 | |
Regional Management Corp. | 12,164 | 284,638 | |
4,008,038 | |||
Financial Services - 1.8% | |||
Compass Diversified Holdings | 39,322 | 904,406 | |
Federal Agricultural Mortgage Corp. Class C (non-vtg.) | 10,579 | 1,892,266 | |
i3 Verticals, Inc. Class A (a) | 3,103 | 66,125 | |
Marqeta, Inc. Class A (a) | 120,859 | 789,209 | |
NMI Holdings, Inc. (a) | 22,607 | 680,019 | |
Payoneer Global, Inc. (a) | 184,383 | 896,101 | |
Remitly Global, Inc. (a) | 124,948 | 2,576,428 | |
StoneCo Ltd. Class A (a) | 55,095 | 948,185 | |
Waterstone Financial, Inc. | 28,944 | 366,142 | |
9,118,881 | |||
Insurance - 2.3% | |||
American Equity Investment Life Holding Co. (a) | 6,523 | 362,287 | |
Amerisafe, Inc. (b) | 10,999 | 580,307 | |
CNO Financial Group, Inc. | 13,158 | 351,187 | |
Goosehead Insurance (a) | 22,888 | 1,731,477 | |
Kinsale Capital Group, Inc. | 5,354 | 2,763,628 | |
Oscar Health, Inc. (a) | 140,973 | 2,292,221 | |
Selective Insurance Group, Inc. | 35,152 | 3,672,681 | |
11,753,788 | |||
Mortgage Real Estate Investment Trusts - 0.7% | |||
Apollo Commercial Real Estate Finance, Inc. (b) | 43,257 | 484,911 | |
BrightSpire Capital, Inc. | 76,938 | 531,642 | |
KKR Real Estate Finance Trust, Inc. | 112,322 | 1,095,140 | |
Ladder Capital Corp. Class A | 51,714 | 559,028 | |
TPG RE Finance Trust, Inc. | 67,580 | 505,498 | |
3,176,219 | |||
TOTAL FINANCIALS | 79,251,824 | ||
HEALTH CARE - 14.4% | |||
Biotechnology - 7.4% | |||
2seventy bio, Inc. (a)(b) | 51,016 | 265,283 | |
ACADIA Pharmaceuticals, Inc. (a) | 30,952 | 719,324 | |
Adaptimmune Therapeutics PLC sponsored ADR (a)(b) | 98,114 | 154,039 | |
Adicet Bio, Inc. (a) | 78,821 | 185,229 | |
Adverum Biotechnologies, Inc. (a) | 117,523 | 232,696 | |
Affimed NV (a) | 80,385 | 48,392 | |
Agenus, Inc. (a) | 345,055 | 231,187 | |
Agios Pharmaceuticals, Inc. (a) | 2,174 | 70,264 | |
Akebia Therapeutics, Inc. (a)(b) | 326,663 | 516,128 | |
Alector, Inc. (a) | 44,330 | 308,980 | |
Alkermes PLC (a) | 40,155 | 1,192,202 | |
Allakos, Inc. (a) | 205,389 | 303,976 | |
Allovir, Inc. (a) | 73,332 | 54,016 | |
Alpine Immune Sciences, Inc. (a) | 15,609 | 549,749 | |
Amicus Therapeutics, Inc. (a) | 74,168 | 950,834 | |
Anika Therapeutics, Inc. (a) | 5,548 | 134,705 | |
Annexon, Inc. (a) | 51,282 | 285,641 | |
Arbutus Biopharma Corp. (a) | 76,225 | 213,430 | |
Arcturus Therapeutics Holdings, Inc. (a) | 17,920 | 694,579 | |
Arcus Biosciences, Inc. (a) | 11,111 | 212,553 | |
Arcutis Biotherapeutics, Inc. (a)(b) | 67,186 | 690,672 | |
Ardelyx, Inc. (a) | 17,836 | 166,232 | |
Arrowhead Pharmaceuticals, Inc. (a) | 16,015 | 514,082 | |
Assembly Biosciences, Inc. (a)(b) | 7,222 | 92,369 | |
Atara Biotherapeutics, Inc. (a) | 139,495 | 108,527 | |
Atreca, Inc. (a) | 941 | 245 | |
Avid Bioservices, Inc. (a)(b) | 15,041 | 115,515 | |
Beam Therapeutics, Inc. (a) | 6,205 | 245,035 | |
Biohaven Ltd. (a) | 16,447 | 791,759 | |
bluebird bio, Inc. (a) | 79,328 | 110,266 | |
Blueprint Medicines Corp. (a) | 8,070 | 754,706 | |
Bolt Biotherapeutics, Inc. (a)(b) | 49,829 | 56,805 | |
BridgeBio Pharma, Inc. (a) | 14,381 | 491,111 | |
CareDx, Inc. (a) | 34,683 | 369,027 | |
Carisma Therapeutics, Inc. (b) | 14,964 | 38,607 | |
Carisma Therapeutics, Inc. rights (a)(c) | 304,482 | 3 | |
Cartesian Therapeutics, Inc. (a) | 84,061 | 61,491 | |
Cartesian Therapeutics, Inc. rights (a)(c) | 85,524 | 11,118 | |
Catalyst Pharmaceutical Partners, Inc. (a) | 24,713 | 396,149 | |
Celldex Therapeutics, Inc. (a) | 3,251 | 156,243 | |
Cerevel Therapeutics Holdings (a) | 2,492 | 102,172 | |
Cogent Biosciences, Inc. (a) | 17,623 | 123,361 | |
Corbus Pharmaceuticals Holdings, Inc. (a) | 1,944 | 60,070 | |
Crinetics Pharmaceuticals, Inc. (a) | 3,856 | 157,865 | |
Cytokinetics, Inc. (a) | 12,394 | 895,343 | |
CytomX Therapeutics, Inc. (a)(b) | 104,853 | 256,890 | |
Denali Therapeutics, Inc. (a) | 15,359 | 303,801 | |
Design Therapeutics, Inc. (a) | 41,569 | 115,562 | |
Disc Medicine, Inc. (a) | 4,507 | 309,496 | |
Dynavax Technologies Corp. (a) | 8,681 | 109,988 | |
Dyne Therapeutics, Inc. (a) | 15,243 | 410,037 | |
Eagle Pharmaceuticals, Inc. (a) | 11,624 | 68,117 | |
Editas Medicine, Inc. (a) | 41,210 | 414,573 | |
Enanta Pharmaceuticals, Inc. (a) | 15,605 | 224,244 | |
Fate Therapeutics, Inc. (a) | 87,244 | 618,560 | |
FibroGen, Inc. (a) | 166,580 | 284,852 | |
Fortress Biotech, Inc. (a)(b) | 3,552 | 7,388 | |
Gritstone Bio, Inc. (a) | 75,386 | 211,081 | |
Halozyme Therapeutics, Inc. (a) | 19,046 | 758,221 | |
Heron Therapeutics, Inc. (a)(b) | 172,785 | 459,608 | |
Homology Medicines, Inc. (a) | 40,370 | 37,140 | |
Ideaya Biosciences, Inc. (a) | 5,866 | 262,210 | |
Immunovant, Inc. (a) | 6,518 | 230,542 | |
Insmed, Inc. (a) | 36,756 | 1,018,876 | |
Intellia Therapeutics, Inc. (a) | 11,162 | 358,523 | |
Iovance Biotherapeutics, Inc. (a)(b) | 13,472 | 214,340 | |
Ironwood Pharmaceuticals, Inc. Class A (a) | 48,380 | 456,223 | |
Jounce Therapeutics, Inc. rights (a)(c) | 118,367 | 1 | |
Kalvista Pharmaceuticals, Inc. (a) | 23,831 | 325,293 | |
Karyopharm Therapeutics, Inc. (a)(b) | 166,484 | 193,121 | |
Kodiak Sciences, Inc. (a) | 80,308 | 482,651 | |
Krystal Biotech, Inc. (a) | 2,238 | 356,894 | |
Kura Oncology, Inc. (a) | 34,647 | 730,359 | |
Macrogenics, Inc. (a) | 42,559 | 763,508 | |
Madrigal Pharmaceuticals, Inc. (a) | 1,674 | 395,399 | |
Mersana Therapeutics, Inc. (a) | 165,413 | 899,847 | |
MiMedx Group, Inc. (a) | 19,769 | 161,315 | |
Mirum Pharmaceuticals, Inc. (a) | 10,431 | 299,474 | |
Mustang Bio, Inc. (a) | 4,579 | 6,090 | |
Myriad Genetics, Inc. (a) | 7,283 | 152,433 | |
Nkarta, Inc. (a) | 2,283 | 27,579 | |
Nurix Therapeutics, Inc. (a) | 31,402 | 387,815 | |
Oncternal Therapeutics, Inc. rights (a)(c) | 1,148 | 0 | |
Organogenesis Holdings, Inc. Class A (a) | 51,910 | 185,319 | |
ORIC Pharmaceuticals, Inc. (a) | 53,018 | 675,449 | |
Ovid Therapeutics, Inc. (a) | 43,354 | 147,404 | |
Precigen, Inc. (a) | 137,992 | 212,508 | |
Protagonist Therapeutics, Inc. (a) | 21,875 | 664,563 | |
PTC Therapeutics, Inc. (a) | 20,533 | 578,825 | |
Puma Biotechnology, Inc. (a)(b) | 27,826 | 173,078 | |
RAPT Therapeutics, Inc. (a) | 8,720 | 74,730 | |
Recursion Pharmaceuticals, Inc. (a)(b) | 21,699 | 292,069 | |
Relay Therapeutics, Inc. (a) | 30,369 | 304,297 | |
Revolution Medicines, Inc. (a) | 16,976 | 500,452 | |
Rhythm Pharmaceuticals, Inc. (a) | 3,385 | 146,977 | |
Rigel Pharmaceuticals, Inc. (a) | 121,443 | 184,593 | |
Rocket Pharmaceuticals, Inc. (a) | 22,882 | 670,443 | |
Sana Biotechnology, Inc. (a)(b) | 40,131 | 402,915 | |
Sangamo Therapeutics, Inc. (a) | 174,155 | 202,020 | |
SpringWorks Therapeutics, Inc. (a) | 7,122 | 350,830 | |
Surface Oncology, Inc. rights (a)(c) | 60,289 | 1 | |
Sutro Biopharma, Inc. (a) | 48,694 | 239,088 | |
Syndax Pharmaceuticals, Inc. (a) | 21,608 | 506,492 | |
TG Therapeutics, Inc. (a) | 13,308 | 229,164 | |
Travere Therapeutics, Inc. (a) | 39,869 | 301,410 | |
Twist Bioscience Corp. (a) | 19,376 | 761,283 | |
Vanda Pharmaceuticals, Inc. (a) | 57,858 | 258,625 | |
Vaxcyte, Inc. (a) | 14,349 | 1,059,243 | |
Vera Therapeutics, Inc. (a) | 17,830 | 839,436 | |
Veracyte, Inc. (a) | 4,855 | 114,335 | |
Vericel Corp. (a) | 3,139 | 143,390 | |
Voyager Therapeutics, Inc. (a) | 36,679 | 305,169 | |
Xbiotech, Inc. (a)(b) | 12,740 | 79,752 | |
Y-mAbs Therapeutics, Inc. (a) | 12,885 | 215,180 | |
Zentalis Pharmaceuticals, Inc. (a) | 12,499 | 186,360 | |
Zymeworks, Inc. (a) | 15,301 | 183,765 | |
37,333,196 | |||
Health Care Equipment & Supplies - 3.5% | |||
Accuray, Inc. (a) | 241,709 | 628,443 | |
Angiodynamics, Inc. (a) | 13,111 | 71,979 | |
Artivion, Inc. (a) | 39,817 | 768,468 | |
Atricure, Inc. (a) | 37,938 | 1,326,692 | |
Avanos Medical, Inc. (a) | 83,138 | 1,543,873 | |
AxoGen, Inc. (a) | 12,263 | 129,497 | |
Axonics, Inc. (a) | 2,615 | 177,663 | |
Cerus Corp. (a) | 203,668 | 443,996 | |
Haemonetics Corp. (a) | 9,305 | 679,079 | |
Inari Medical, Inc. (a) | 26,635 | 1,228,406 | |
Integer Holdings Corp. (a) | 2,629 | 289,952 | |
IRadimed Corp. | 1,598 | 67,068 | |
Lantheus Holdings, Inc. (a) | 37,992 | 2,483,917 | |
LivaNova PLC (a) | 7,669 | 420,338 | |
Merit Medical Systems, Inc. (a) | 25,516 | 1,944,319 | |
Omnicell, Inc. (a) | 52,061 | 1,366,081 | |
RxSight, Inc. (a) | 6,807 | 371,458 | |
SurModics, Inc. (a) | 18,668 | 595,509 | |
Tactile Systems Technology, Inc. (a) | 21,308 | 324,947 | |
Varex Imaging Corp. (a) | 17,924 | 308,293 | |
Zimvie, Inc. (a) | 141,776 | 2,403,103 | |
17,573,081 | |||
Health Care Providers & Services - 1.2% | |||
23andMe Holding Co. Class A (a) | 411,220 | 234,395 | |
Addus HomeCare Corp. (a) | 6,786 | 626,212 | |
Guardant Health, Inc. (a) | 34,891 | 662,929 | |
HealthEquity, Inc. (a) | 6,894 | 569,513 | |
National Healthcare Corp. (b) | 3,682 | 363,266 | |
Option Care Health, Inc. (a) | 102,021 | 3,292,218 | |
Patterson Companies, Inc. | 10,832 | 293,439 | |
6,041,972 | |||
Health Care Technology - 0.4% | |||
HealthStream, Inc. | 38,047 | 1,037,922 | |
Phreesia, Inc. (a) | 34,714 | 859,172 | |
Veradigm, Inc. (a)(b) | 56,643 | 339,292 | |
2,236,386 | |||
Life Sciences Tools & Services - 0.3% | |||
Adaptive Biotechnologies Corp. (a) | 56,008 | 230,193 | |
Codexis, Inc. (a) | 51,203 | 238,094 | |
Medpace Holdings, Inc. (a) | 1,250 | 496,900 | |
Nanostring Technologies, Inc. (a)(b) | 74,619 | 8,947 | |
OmniAb, Inc. (a) | 63,415 | 370,344 | |
Pacific Biosciences of California, Inc. (a) | 22,892 | 126,593 | |
1,471,071 | |||
Pharmaceuticals - 1.6% | |||
Amneal Intermediate, Inc. (a) | 82,053 | 452,933 | |
Amphastar Pharmaceuticals, Inc. (a) | 12,717 | 592,231 | |
Amylyx Pharmaceuticals, Inc. (a) | 10,780 | 203,203 | |
Arvinas Holding Co. LLC (a) | 14,471 | 665,377 | |
Atea Pharmaceuticals, Inc. (a) | 38,557 | 166,181 | |
Axsome Therapeutics, Inc. (a) | 4,204 | 342,122 | |
Cara Therapeutics, Inc. (a) | 94,187 | 80,078 | |
Corcept Therapeutics, Inc. (a) | 25,404 | 596,994 | |
CymaBay Therapeutics, Inc. (a) | 6,780 | 218,248 | |
Edgewise Therapeutics, Inc. (a) | 12,076 | 197,201 | |
Eyepoint Pharmaceuticals, Inc. (a)(b) | 17,404 | 473,563 | |
Intra-Cellular Therapies, Inc. (a) | 13,712 | 953,258 | |
NGM Biopharmaceuticals, Inc. (a) | 28,410 | 43,183 | |
Ocular Therapeutix, Inc. (a) | 39,248 | 394,835 | |
Odonate, Inc. (a) | 35 | 117,250 | |
Pacira Biosciences, Inc. (a) | 8,853 | 263,111 | |
Prestige Brands Holdings, Inc. (a) | 15,685 | 1,091,362 | |
Relmada Therapeutics, Inc. (a)(b) | 51,289 | 314,145 | |
Supernus Pharmaceuticals, Inc. (a) | 2,486 | 73,834 | |
Terns Pharmaceuticals, Inc. (a) | 33,308 | 243,815 | |
Ventyx Biosciences, Inc. (a) | 61,204 | 433,324 | |
WAVE Life Sciences (a) | 31,691 | 152,434 | |
8,068,682 | |||
TOTAL HEALTH CARE | 72,724,388 | ||
INDUSTRIALS - 18.0% | |||
Aerospace & Defense - 0.7% | |||
AAR Corp. (a) | 36,846 | 2,460,576 | |
Astronics Corp. (a) | 21,829 | 418,462 | |
Park Aerospace Corp. | 10,380 | 157,984 | |
Rocket Lab U.S.A., Inc. Class A (a)(b) | 82,216 | 376,960 | |
Virgin Galactic Holdings, Inc. (a)(b) | 64,841 | 112,823 | |
3,526,805 | |||
Air Freight & Logistics - 0.1% | |||
Forward Air Corp. | 8,866 | 329,195 | |
Building Products - 1.6% | |||
American Woodmark Corp. (a) | 4,071 | 408,077 | |
Apogee Enterprises, Inc. | 27,215 | 1,556,970 | |
Griffon Corp. | 23,266 | 1,661,192 | |
Janus International Group, Inc. (a) | 129,569 | 1,859,315 | |
Jeld-Wen Holding, Inc. (a) | 41,682 | 758,612 | |
PGT Innovations, Inc. (a) | 4,286 | 179,026 | |
Resideo Technologies, Inc. (a) | 60,064 | 1,341,229 | |
Simpson Manufacturing Co. Ltd. | 1,967 | 410,474 | |
8,174,895 | |||
Commercial Services & Supplies - 2.2% | |||
ABM Industries, Inc. | 34,553 | 1,427,384 | |
ACV Auctions, Inc. Class A (a) | 61,979 | 1,100,127 | |
Brady Corp. Class A | 37,761 | 2,200,711 | |
CECO Environmental Corp. (a) | 10,892 | 246,704 | |
Cimpress PLC (a) | 33,268 | 3,260,597 | |
Interface, Inc. | 21,416 | 336,660 | |
Steelcase, Inc. Class A | 36,804 | 505,687 | |
The Brink's Co. | 23,969 | 1,985,352 | |
11,063,222 | |||
Construction & Engineering - 2.0% | |||
Arcosa, Inc. | 4,922 | 408,526 | |
Comfort Systems U.S.A., Inc. | 7,452 | 2,278,300 | |
Dycom Industries, Inc. (a) | 4,832 | 611,200 | |
EMCOR Group, Inc. | 10,432 | 3,270,641 | |
Fluor Corp. (a) | 63,945 | 2,353,176 | |
Limbach Holdings, Inc. (a) | 29,323 | 1,443,865 | |
10,365,708 | |||
Electrical Equipment - 2.9% | |||
Array Technologies, Inc. (a) | 55,870 | 762,067 | |
Atkore, Inc. | 12,531 | 2,122,751 | |
Encore Wire Corp. | 5,010 | 1,207,410 | |
EnerSys | 32,170 | 2,955,780 | |
Enovix Corp. (a)(b) | 7,344 | 71,604 | |
LSI Industries, Inc. | 33,090 | 477,489 | |
Nextracker, Inc. Class A | 4,779 | 268,771 | |
Powell Industries, Inc. (b) | 12,956 | 2,399,969 | |
Preformed Line Products Co. | 10,754 | 1,478,460 | |
Thermon Group Holdings, Inc. (a) | 46,512 | 1,269,312 | |
Vicor Corp. (a) | 40,441 | 1,506,023 | |
14,519,636 | |||
Ground Transportation - 0.1% | |||
Marten Transport Ltd. | 24,438 | 460,656 | |
Machinery - 2.7% | |||
Alamo Group, Inc. | 1,585 | 320,630 | |
Albany International Corp. Class A (b) | 6,366 | 597,576 | |
Enerpac Tool Group Corp. Class A | 20,214 | 681,414 | |
Gorman-Rupp Co. | 4,993 | 186,389 | |
Hurco Companies, Inc. | 16,732 | 432,188 | |
Hyster-Yale Materials Handling, Inc. Class A | 21,337 | 1,256,323 | |
L.B. Foster Co. Class A (a) | 6,559 | 155,645 | |
Mueller Water Products, Inc. Class A | 101,851 | 1,583,783 | |
Proto Labs, Inc. (a) | 11,843 | 431,440 | |
SPX Technologies, Inc. (a) | 5,069 | 594,036 | |
Tennant Co. | 8,684 | 982,942 | |
Terex Corp. | 55,295 | 3,171,168 | |
Watts Water Technologies, Inc. Class A | 15,323 | 3,125,126 | |
13,518,660 | |||
Marine Transportation - 0.6% | |||
Matson, Inc. | 27,543 | 3,058,650 | |
Passenger Airlines - 0.7% | |||
Joby Aviation, Inc. (a)(b) | 22,889 | 128,636 | |
SkyWest, Inc. (a) | 51,133 | 3,283,761 | |
Sun Country Airlines Holdings, Inc. (a) | 9,466 | 141,990 | |
3,554,387 | |||
Professional Services - 2.8% | |||
Barrett Business Services, Inc. | 10,694 | 1,304,561 | |
Conduent, Inc. (a) | 19,833 | 68,226 | |
CRA International, Inc. | 8,198 | 1,086,563 | |
CSG Systems International, Inc. (b) | 46,254 | 2,523,618 | |
ExlService Holdings, Inc. (a) | 106,034 | 3,299,778 | |
Huron Consulting Group, Inc. (a) | 15,665 | 1,537,206 | |
Insperity, Inc. | 1,858 | 189,126 | |
Parsons Corp. (a) | 20,156 | 1,624,775 | |
Planet Labs PBC Class A (a) | 163,263 | 357,546 | |
TriNet Group, Inc. | 1,306 | 167,181 | |
TrueBlue, Inc. (a) | 13,238 | 155,547 | |
Ttec Holdings, Inc. | 10,670 | 186,192 | |
Upwork, Inc. (a) | 138,920 | 1,819,852 | |
14,320,171 | |||
Trading Companies & Distributors - 1.6% | |||
Alta Equipment Group, Inc. (b) | 11,608 | 133,260 | |
Applied Industrial Technologies, Inc. | 5,917 | 1,123,579 | |
Beacon Roofing Supply, Inc. (a) | 14,248 | 1,223,761 | |
Boise Cascade Co. | 1,561 | 212,156 | |
Custom Truck One Source, Inc. Class A (a) | 14,694 | 94,335 | |
DXP Enterprises, Inc. (a) | 9,229 | 327,814 | |
GATX Corp. | 5,259 | 667,052 | |
Global Industrial Co. | 20,193 | 885,463 | |
H&E Equipment Services, Inc. | 29,704 | 1,677,979 | |
McGrath RentCorp. | 992 | 123,484 | |
MRC Global, Inc. (a) | 37,747 | 435,223 | |
Rush Enterprises, Inc. Class A | 25,231 | 1,228,750 | |
8,132,856 | |||
TOTAL INDUSTRIALS | 91,024,841 | ||
INFORMATION TECHNOLOGY - 14.5% | |||
Communications Equipment - 0.2% | |||
CommScope Holding Co., Inc. (a) | 437,766 | 509,997 | |
Extreme Networks, Inc. (a) | 36,649 | 463,243 | |
973,240 | |||
Electronic Equipment, Instruments & Components - 3.3% | |||
Arlo Technologies, Inc. (a) | 24,930 | 259,521 | |
Badger Meter, Inc. | 10,439 | 1,656,565 | |
Bel Fuse, Inc. Class B (non-vtg.) | 2,547 | 132,368 | |
Belden, Inc. | 32,476 | 2,766,306 | |
Benchmark Electronics, Inc. | 45,875 | 1,408,821 | |
Fabrinet (a) | 15,860 | 3,418,940 | |
FARO Technologies, Inc. (a) | 20,675 | 462,913 | |
Itron, Inc. (a) | 20,909 | 1,937,846 | |
Kimball Electronics, Inc. (a) | 37,738 | 849,482 | |
OSI Systems, Inc. (a) | 1,513 | 198,475 | |
PC Connection, Inc. | 15,669 | 1,040,108 | |
Sanmina Corp. (a) | 43,194 | 2,729,861 | |
16,861,206 | |||
Semiconductors & Semiconductor Equipment - 1.9% | |||
Axcelis Technologies, Inc. (a) | 13,451 | 1,515,524 | |
Diodes, Inc. (a) | 6,467 | 439,627 | |
Lattice Semiconductor Corp. (a) | 28,328 | 2,170,208 | |
MaxLinear, Inc. Class A (a) | 56,794 | 1,104,075 | |
PDF Solutions, Inc. (a) | 59,569 | 2,024,750 | |
Photronics, Inc. (a) | 58,618 | 1,687,612 | |
Rambus, Inc. (a) | 10,047 | 595,184 | |
9,536,980 | |||
Software - 7.0% | |||
8x8, Inc. (a) | 607,562 | 1,719,400 | |
AppFolio, Inc. (a) | 3,213 | 777,835 | |
Aurora Innovation, Inc. (a)(b) | 70,433 | 178,900 | |
Blackbaud, Inc. (a) | 25,719 | 1,779,240 | |
BlackLine, Inc. (a) | 43,553 | 2,470,762 | |
CommVault Systems, Inc. (a) | 27,846 | 2,665,141 | |
Domo, Inc. Class B (a) | 136,145 | 1,567,029 | |
E2open Parent Holdings, Inc. (a) | 61,241 | 259,049 | |
Everbridge, Inc. (a) | 19,809 | 560,000 | |
LivePerson, Inc. (a) | 261,349 | 331,913 | |
Liveramp Holdings, Inc. (a) | 77,346 | 2,705,563 | |
MeridianLink, Inc. (a) | 11,976 | 227,065 | |
ON24, Inc. | 15,541 | 109,098 | |
Pagerduty, Inc. (a) | 79,383 | 1,917,893 | |
Progress Software Corp. | 19,330 | 1,031,449 | |
PROS Holdings, Inc. (a) | 23,594 | 843,486 | |
Q2 Holdings, Inc. (a) | 70,937 | 3,279,418 | |
Qualys, Inc. (a) | 21,489 | 3,693,100 | |
Rapid7, Inc. (a) | 25,072 | 1,468,718 | |
SecureWorks Corp. (a) | 25,429 | 167,831 | |
Sprinklr, Inc. (a) | 84,633 | 1,102,768 | |
Sprout Social, Inc. (a) | 7,898 | 488,254 | |
SPS Commerce, Inc. (a) | 16,526 | 3,059,954 | |
Tenable Holdings, Inc. (a) | 27,469 | 1,322,907 | |
Upland Software, Inc. (a) | 35,489 | 103,983 | |
Yext, Inc. (a) | 82,566 | 488,791 | |
Zuora, Inc. (a) | 130,171 | 1,051,782 | |
35,371,329 | |||
Technology Hardware, Storage & Peripherals - 2.1% | |||
IonQ, Inc. (a)(b) | 21,034 | 217,912 | |
Super Micro Computer, Inc. (a) | 12,031 | 10,420,283 | |
10,638,195 | |||
TOTAL INFORMATION TECHNOLOGY | 73,380,950 | ||
MATERIALS - 5.0% | |||
Chemicals - 2.2% | |||
American Vanguard Corp. | 64,672 | 693,284 | |
Balchem Corp. | 1,981 | 311,393 | |
Ecovyst, Inc. (a) | 58,002 | 559,719 | |
H.B. Fuller Co. | 42,317 | 3,365,471 | |
Hawkins, Inc. | 5,955 | 418,339 | |
Innospec, Inc. | 16,220 | 2,015,659 | |
Minerals Technologies, Inc. | 41,670 | 3,015,241 | |
Rayonier Advanced Materials, Inc. (a) | 35,181 | 119,264 | |
Sensient Technologies Corp. (b) | 10,498 | 702,106 | |
Trinseo PLC | 38,524 | 173,358 | |
11,373,834 | |||
Containers & Packaging - 0.4% | |||
Myers Industries, Inc. | 87,826 | 1,688,894 | |
Pactiv Evergreen, Inc. | 39,394 | 581,062 | |
2,269,956 | |||
Metals & Mining - 2.2% | |||
Arch Resources, Inc. | 2,591 | 428,266 | |
ATI, Inc. (a) | 40,702 | 2,001,724 | |
Carpenter Technology Corp. | 41,294 | 2,669,657 | |
Constellium NV (a) | 70,220 | 1,361,566 | |
Materion Corp. (b) | 11,055 | 1,484,908 | |
Olympic Steel, Inc. | 2,891 | 196,646 | |
Ryerson Holding Corp. | 23,853 | 753,278 | |
SunCoke Energy, Inc. | 106,676 | 1,142,500 | |
Worthington Steel, Inc. | 28,020 | 887,113 | |
10,925,658 | |||
Paper & Forest Products - 0.2% | |||
Clearwater Paper Corp. (a) | 20,783 | 816,564 | |
TOTAL MATERIALS | 25,386,012 | ||
REAL ESTATE - 4.2% | |||
Equity Real Estate Investment Trusts (REITs) - 3.9% | |||
Alexanders, Inc. | 1,175 | 259,734 | |
American Assets Trust, Inc. | 79,567 | 1,716,260 | |
Ashford Hospitality Trust, Inc. (a)(b) | 77,822 | 150,196 | |
Community Healthcare Trust, Inc. | 6,078 | 164,957 | |
EastGroup Properties, Inc. | 12,397 | 2,178,029 | |
Empire State Realty Trust, Inc. | 199,023 | 1,984,259 | |
Global Medical REIT, Inc. | 89,691 | 802,734 | |
Global Net Lease, Inc. (b) | 80,209 | 578,307 | |
LXP Industrial Trust (REIT) | 64,540 | 558,916 | |
National Storage Affiliates Trust | 9,533 | 341,377 | |
NexPoint Residential Trust, Inc. | 5,265 | 153,791 | |
Phillips Edison & Co., Inc. | 54,011 | 1,929,273 | |
Physicians Realty Trust | 11,313 | 127,045 | |
Retail Opportunity Investments Corp. | 39,747 | 513,929 | |
Ryman Hospitality Properties, Inc. | 27,318 | 3,236,637 | |
SITE Centers Corp. | 42,789 | 581,075 | |
Tanger, Inc. | 18,405 | 530,248 | |
Terreno Realty Corp. | 50,653 | 3,256,988 | |
Universal Health Realty Income Trust (SBI) | 12,999 | 504,101 | |
Urban Edge Properties | 22,522 | 383,099 | |
19,950,955 | |||
Real Estate Management & Development - 0.3% | |||
Anywhere Real Estate, Inc. (a) | 35,263 | 221,099 | |
Compass, Inc. (a) | 62,943 | 248,625 | |
Cushman & Wakefield PLC (a) | 18,418 | 183,996 | |
Opendoor Technologies, Inc. (a) | 241,841 | 744,870 | |
1,398,590 | |||
TOTAL REAL ESTATE | 21,349,545 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.5% | |||
Allete, Inc. | 29,175 | 1,652,472 | |
MGE Energy, Inc. | 1,404 | 88,719 | |
Otter Tail Corp. (b) | 5,594 | 506,033 | |
Portland General Electric Co. | 2,593 | 104,161 | |
2,351,385 | |||
Gas Utilities - 0.2% | |||
New Jersey Resources Corp. | 31,577 | 1,313,919 | |
Independent Power and Renewable Electricity Producers - 0.2% | |||
Altus Power, Inc. Class A (a)(b) | 33,989 | 231,465 | |
Clearway Energy, Inc.: | |||
Class A | 18,652 | 377,890 | |
Class C | 17,411 | 379,560 | |
988,915 | |||
Water Utilities - 0.3% | |||
American States Water Co. | 16,411 | 1,171,910 | |
Consolidated Water Co., Inc. | 6,715 | 198,495 | |
SJW Group | 5,931 | 326,561 | |
1,696,966 | |||
TOTAL UTILITIES | 6,351,185 | ||
TOTAL COMMON STOCKS (Cost $413,734,853) | 496,074,229 | ||
U.S. Treasury Obligations - 0.2% | |||
Principal Amount (d) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.29% to 5.3% 3/7/24 to 5/16/24 (e) (Cost $1,133,111) | 1,140,000 | 1,133,096 | |
Money Market Funds - 6.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (f) | 8,989,198 | 8,990,995 | |
Fidelity Securities Lending Cash Central Fund 5.39% (f)(g) | 21,309,359 | 21,311,490 | |
TOTAL MONEY MARKET FUNDS (Cost $30,302,484) | 30,302,485 | ||
TOTAL INVESTMENT IN SECURITIES - 104.2% (Cost $445,170,448) | 527,509,810 |
NET OTHER ASSETS (LIABILITIES) - (4.2)% | (21,429,904) |
NET ASSETS - 100.0% | 506,079,906 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 83 | Mar 2024 | 8,537,795 | 500,647 | 500,647 |
The notional amount of futures purchased as a percentage of Net Assets is 1.7% |
(a) | Non-income producing |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Level 3 security |
(d) | Amount is stated in United States dollars unless otherwise noted. |
(e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $583,579. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(g) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 8,573,464 | 204,549,458 | 204,131,927 | 378,989 | - | - | 8,990,995 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 44,526,740 | 175,229,169 | 198,444,420 | 88,263 | 2,245 | (2,244) | 21,311,490 | 0.1% |
Total | 53,100,204 | 379,778,627 | 402,576,347 | 467,252 | 2,245 | (2,244) | 30,302,485 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 19,588,354 | 19,588,354 | - | - |
Consumer Discretionary | 65,995,717 | 65,995,717 | - | - |
Consumer Staples | 10,944,138 | 10,944,138 | - | - |
Energy | 30,077,275 | 30,077,275 | - | - |
Financials | 79,251,824 | 79,251,824 | - | - |
Health Care | 72,724,388 | 72,713,265 | - | 11,123 |
Industrials | 91,024,841 | 91,024,841 | - | - |
Information Technology | 73,380,950 | 73,380,950 | - | - |
Materials | 25,386,012 | 25,386,012 | - | - |
Real Estate | 21,349,545 | 21,349,545 | - | - |
Utilities | 6,351,185 | 6,351,185 | - | - |
U.S. Government and Government Agency Obligations | 1,133,096 | - | 1,133,096 | - |
Money Market Funds | 30,302,485 | 30,302,485 | - | - |
Total Investments in Securities: | 527,509,810 | 526,365,591 | 1,133,096 | 11,123 |
Derivative Instruments: Assets | ||||
Futures Contracts | 500,647 | 500,647 | - | - |
Total Assets | 500,647 | 500,647 | - | - |
Total Derivative Instruments: | 500,647 | 500,647 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Futures Contracts (a) | 500,647 | 0 |
Total Equity Risk | 500,647 | 0 |
Total Value of Derivatives | 500,647 | 0 |
Statement of Assets and Liabilities | ||||
February 29, 2024 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $20,858,873) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $414,867,964) | $ | 497,207,325 | ||
Fidelity Central Funds (cost $30,302,484) | 30,302,485 | |||
Total Investment in Securities (cost $445,170,448) | $ | 527,509,810 | ||
Cash | 29,635 | |||
Receivable for investments sold | 8,338,885 | |||
Dividends receivable | 288,529 | |||
Distributions receivable from Fidelity Central Funds | 41,536 | |||
Receivable for daily variation margin on futures contracts | 60,649 | |||
Other receivables | 2,441 | |||
Total assets | 536,271,485 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 8,765,118 | ||
Accrued management fee | 116,687 | |||
Other payables and accrued expenses | 4,429 | |||
Collateral on securities loaned | 21,305,345 | |||
Total Liabilities | 30,191,579 | |||
Net Assets | $ | 506,079,906 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 453,473,055 | ||
Total accumulated earnings (loss) | 52,606,851 | |||
Net Assets | $ | 506,079,906 | ||
Net Asset Value, offering price and redemption price per share ($506,079,906 ÷ 17,321,356 shares) | $ | 29.22 |
Statement of Operations | ||||
Year ended February 29, 2024 | ||||
Investment Income | ||||
Dividends | $ | 6,718,777 | ||
Interest | 26,617 | |||
Income from Fidelity Central Funds (including $88,263 from security lending) | 467,252 | |||
Total Income | 7,212,646 | |||
Expenses | ||||
Management fee | $ | 2,551,454 | ||
Independent trustees' fees and expenses | 3,413 | |||
Miscellaneous | 11,754 | |||
Total expenses before reductions | 2,566,621 | |||
Expense reductions | (3,509) | |||
Total expenses after reductions | 2,563,112 | |||
Net Investment income (loss) | 4,649,534 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 3,174,058 | |||
Redemptions in-kind | 29,724,397 | |||
Fidelity Central Funds | 2,245 | |||
Futures contracts | (106,111) | |||
Total net realized gain (loss) | 32,794,589 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 27,423,408 | |||
Fidelity Central Funds | (2,244) | |||
Futures contracts | 283,082 | |||
Total change in net unrealized appreciation (depreciation) | 27,704,246 | |||
Net gain (loss) | 60,498,835 | |||
Net increase (decrease) in net assets resulting from operations | $ | 65,148,369 |
See Organization and Merger information note regarding reorganization from mutual fund to exchange traded fund.
Statement of Changes in Net Assets | ||||
Year ended February 29, 2024 | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 4,649,534 | $ | 5,449,677 |
Net realized gain (loss) | 32,794,589 | (26,454,327) | ||
Change in net unrealized appreciation (depreciation) | 27,704,246 | 865,031 | ||
Net increase (decrease) in net assets resulting from operations | 65,148,369 | (20,139,619) | ||
Distributions to shareholders | (4,715,442) | (28,460,527) | ||
Share transactions | ||||
Proceeds from sales of shares | 117,577,525 | 54,476,948 | ||
Reinvestment of distributions | 4,092,903 | 26,941,979 | ||
Cost of shares redeemed | (261,496,096) | (102,513,711) | ||
Net increase (decrease) in net assets resulting from share transactions | (139,825,668) | (21,094,784) | ||
Total increase (decrease) in net assets | (79,392,741) | (69,694,930) | ||
Net Assets | ||||
Beginning of period | 585,472,647 | 655,167,577 | ||
End of period | $ | 506,079,906 | $ | 585,472,647 |
Other Information | ||||
Shares | ||||
Sold | 4,564,341 | 2,217,524 | ||
Issued in reinvestment of distributions | 163,135 | 1,060,903 | ||
Redeemed | (10,287,720) | (4,201,984) | ||
Net increase (decrease) | (5,560,244) | (923,557) | ||
Fidelity® Enhanced Small Cap ETF |
Years ended February 28, | 2024 A,B | 2023 B | 2022 B | 2021 B | 2020 A,B | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 25.58 | $ | 27.53 | $ | 34.05 | $ | 22.27 | $ | 24.75 |
Income from Investment Operations | ||||||||||
Net investment income (loss) C,D | .22 | .24 | .14 | .16 | .24 | |||||
Net realized and unrealized gain (loss) | 3.65 | (.99) | (.40) | 11.80 | (2.48) | |||||
Total from investment operations | 3.87 | (.75) | (.26) | 11.96 | (2.24) | |||||
Distributions from net investment income | (.23) | (.22) | (.14) | (.18) | (.24) | |||||
Distributions from net realized gain | - | (1.00) | (6.12) | - | - | |||||
Total distributions | (.23) | (1.20) E | (6.26) | (.18) | (.24) | |||||
Net asset value, end of period | $ | 29.22 | $ | 25.58 | $ | 27.53 | $ | 34.05 | $ | 22.27 |
Total Return F,G | 15.26% | (2.62)% | (1.64)% | 53.78% | (9.18)% | |||||
Ratios to Average Net Assets D,H,I | ||||||||||
Expenses before reductions | .48% | .55% | .63% | .64% | .64% | |||||
Expenses net of fee waivers, if any | .48% | .55% | .63% | .64% | .64% | |||||
Expenses net of all reductions | .48% | .55% | .63% | .64% | .64% | |||||
Net investment income (loss) | .87% | .94% | .41% | .62% | .94% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 506,080 | $ | 585,473 | $ | 655,168 | $ | 689,131 | $ | 515,960 |
Portfolio turnover rate J | 97% K | 98% | 96% | 44% | 79% |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $121,978,191 |
Gross unrealized depreciation | (42,670,333) |
Net unrealized appreciation (depreciation) | $79,307,858 |
Tax Cost | $448,201,952 |
Capital loss carryforward | $(26,590,945) |
Net unrealized appreciation (depreciation) on securities and other investments | $79,307,858 |
Short-term | $(26,590,945) |
Total capital loss carryforward | $(26,590,945) |
February 29, 2024 | February 28, 2023 | |
Ordinary Income | $4,715,442 | $4,900,302 |
Long-term Capital Gains | - | 23,560,225 |
Total | $4,715,442 | $28,460,527 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Purchases ($) | Sales ($) | |
Fidelity Enhanced Small Cap ETF | 477,499,690 | 531,682,748 |
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity Enhanced Small Cap ETF | 7,996,741 | 43,749,644 |
Shares | Total net realized gain or loss ($) | Total Proceeds ($) | |
Fidelity Small Cap Enhanced Index Fund | 1,671,952 | 13,826,828 | 42,723,306 |
Amount | |
Fidelity Small Cap Enhanced Index Fund | $1,756 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Enhanced Small Cap ETF | 12,498,851 | 15,991,104 | (459,627) |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Enhanced Small Cap ETF | $8,684 | $2,414 | $57,346 |
Predecessor Fund/Accounting Survivor | Investments $ | Unrealized appreciation (depreciation) $ | Net Assets $ | Shares Exchanged | Shares Exchanged Ratio |
Fidelity Small Cap Enhanced Index Fund | 510,635,061 | 30,515,551 | 511,993,789 | 20,479,785 | .5077880000 |
Legal Acquiring ETF | Net Assets $ | Total net assets after the acquisition $ |
Fidelity Enhanced Small Cap ETF | 25 | 511,993,814 |
Net investment income (loss) | $5,714,131 |
Total net realized gain (loss) | 32,794,589 |
Total change in net unrealized appreciation (depreciation) | 27,704,246 |
Net increase (decrease) in net assets resulting from operations | $66,212,966 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2023 to February 29, 2024). |
Annualized Expense Ratio- A | Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 | |||||||
Fidelity® Enhanced Small Cap ETF | .41% | |||||||||
Actual | $ 1,000 | $ 1,117.30 | $ 2.16 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.82 | $ 2.06 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Item 2.
Code of Ethics
As of the end of the period, February 29, 2024, Fidelity Covington Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Enhanced Small Cap ETF (the “Fund”):
Services Billed by PwC
February 29, 2024 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Enhanced Small Cap ETF | $39,200 | $- | $9,800 | $100 |
February 28, 2023 FeesB
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Enhanced Small Cap ETF | $- | $- | $- | $- |
A Amounts may reflect rounding.
B Fidelity Enhanced Small Cap ETF commenced operations on November 17, 2023.
The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management &
Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
February 29, 2024A,B | February 28, 2023A | |
Audit-Related Fees | $9,422,800 | $8,469,200 |
Tax Fees | $61,000 | $1,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Enhanced Small Cap ETF’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | February 29, 2024A,B | February 28, 2023 |
PwC | $15,038,400 | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Enhanced Small Cap ETF’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal
years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
The Audit Committee is a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of February 29, 2024, the members of the Audit Committee were Donald F. Donahue, Vijay C. Advani, Thomas A. Kennedy, Karen B. Peetz, and Susan Tomasky.
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 trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Covington Trust
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer (Principal Executive Officer) | |
Date: | April 22, 2024 |
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer (Principal Executive Officer) | |
Date: | April 22, 2024 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer (Principal Financial Officer) | |
Date: | April 22, 2024 |