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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)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant’s telephone number, including area code: 617-563-7000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2020
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Item 1. | Reports to Stockholders |
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![](https://capedge.com/proxy/N-CSR/0001193125-20-249914/g929827imgc0f27c061.gif)
about access to your fund’s shareholder reports.
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Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose ‘no’ under Required Disclosures to continue print) | 1-800-343-0860 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Communication Services Index ETF – NAVA | 11.40% | 10.41% | 9.30% |
Fidelity MSCI Communication Services Index ETF – Market PriceB | 11.26% | 10.41% | 9.28% |
MSCI USA IMI Communication Services 25/50 IndexA | 11.54% | 10.55% | 9.37% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Facebook, Inc. Class A | 17.4 |
Alphabet, Inc. Class C | 11.0 |
Alphabet, Inc. Class A | 10.7 |
Verizon Communications, Inc. | 5.4 |
Comcast Corp. Class A | 4.5 |
Netflix, Inc. | 4.3 |
The Walt Disney Co. | 4.1 |
AT&T, Inc. | 4.1 |
Charter Communications, Inc. Class A | 3.3 |
T-Mobile US, Inc. | 3.0 |
67.8 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Consumer Discretionary Index ETF – NAVA | 25.26% | 13.75% | 14.28% |
Fidelity MSCI Consumer Discretionary Index ETF – Market PriceB | 25.31% | 13.74% | 14.14% |
MSCI USA IMI Consumer Discretionary IndexA | 25.20% | 13.82% | 14.38% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Amazon.com, Inc. | 24.4 |
The Home Depot, Inc. | 8.0 |
Tesla, Inc. | 6.0 |
McDonald's Corp. | 4.3 |
NIKE, Inc. Class B | 3.7 |
Lowe's Cos., Inc. | 3.0 |
Starbucks Corp. | 2.6 |
Booking Holdings, Inc. | 2.3 |
The TJX Cos., Inc. | 2.1 |
MercadoLibre, Inc. | 1.8 |
58.2 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Consumer Staples Index ETF – NAVA | 7.74% | 7.06% | 8.89% |
Fidelity MSCI Consumer Staples Index ETF – Market PriceB | 7.65% | 7.05% | 8.68% |
MSCI USA IMI Consumer Staples IndexA | 7.95% | 7.21% | 9.04% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
The Procter & Gamble Co. | 15.6 |
The Coca-Cola Co. | 9.3 |
PepsiCo, Inc. | 9.0 |
Walmart, Inc. | 8.8 |
Costco Wholesale Corp. | 6.9 |
Philip Morris International, Inc. | 4.7 |
Mondelez International, Inc. Class A | 3.9 |
Altria Group, Inc. | 3.8 |
Colgate-Palmolive Co. | 3.1 |
Kimberly-Clark Corp. | 2.6 |
67.7 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Energy Index ETF – NAVA | -39.28% | -10.34% | -10.47% |
Fidelity MSCI Energy Index ETF – Market PriceB | -39.29% | -10.32% | -10.43% |
MSCI USA IMI Energy IndexA | -39.30% | -10.26% | -10.40% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Exxon Mobil Corp. | 23.1 |
Chevron Corp. | 20.5 |
ConocoPhillips | 5.2 |
Kinder Morgan, Inc. | 3.7 |
EOG Resources, Inc. | 3.5 |
Phillips 66 | 3.5 |
Schlumberger Ltd. | 3.3 |
Marathon Petroleum Corp. | 3.2 |
The Williams Cos., Inc. | 3.0 |
Valero Energy Corp. | 3.0 |
72.0 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Financials Index ETF – NAVA | -14.78% | 5.11% | 6.97% |
Fidelity MSCI Financials Index ETF – Market PriceB | -14.84% | 5.09% | 7.00% |
MSCI USA IMI Financials IndexA | -14.66% | 5.22% | 7.09% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
JPMorgan Chase & Co. | 9.1 |
Berkshire Hathaway, Inc. Class B | 8.3 |
Bank of America Corp. | 6.0 |
Citigroup, Inc. | 3.2 |
Wells Fargo & Co. | 2.9 |
BlackRock, Inc. | 2.7 |
S&P Global, Inc. | 2.6 |
The Goldman Sachs Group, Inc. | 2.0 |
American Express Co. | 1.9 |
CME Group, Inc. | 1.8 |
40.5 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Health Care Index ETF – NAVA | 19.69% | 8.79% | 13.28% |
Fidelity MSCI Health Care Index ETF – Market PriceB | 19.60% | 8.77% | 13.15% |
MSCI USA IMI Health Care IndexA | 19.80% | 8.89% | 13.41% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Johnson & Johnson | 8.1 |
UnitedHealth Group, Inc. | 6.1 |
Pfizer, Inc. | 4.5 |
Merck & Co., Inc. | 4.3 |
Abbott Laboratories | 3.7 |
AbbVie, Inc. | 3.5 |
Thermo Fisher Scientific, Inc. | 3.5 |
Amgen, Inc. | 3.0 |
Bristol-Myers Squibb Co. | 2.8 |
Eli Lilly & Co. | 2.7 |
42.2 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Industrials Index ETF – NAVA | -4.34% | 7.99% | 7.95% |
Fidelity MSCI Industrials Index ETF – Market PriceB | -4.47% | 7.96% | 7.76% |
MSCI USA IMI Industrials IndexA | -4.24% | 8.10% | 8.07% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Union Pacific Corp. | 4.3 |
Honeywell International, Inc. | 3.9 |
United Parcel Service, Inc. Class B | 3.6 |
Lockheed Martin Corp. | 3.5 |
3M Co. | 3.1 |
Raytheon Technologies Corp. | 3.1 |
The Boeing Co. | 3.1 |
Caterpillar, Inc. | 2.6 |
Illinois Tool Works, Inc. | 2.1 |
CSX Corp. | 2.0 |
31.3 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Information Technology Index ETF – NAVA | 36.99% | 23.19% | 21.55% |
Fidelity MSCI Information Technology Index ETF – Market PriceB | 36.93% | 23.17% | 21.66% |
MSCI USA IMI Information Technology IndexA | 37.13% | 23.32% | 21.67% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 21.4 |
Microsoft Corp. | 17.0 |
Visa, Inc. Class A | 3.7 |
Mastercard, Inc. Class A | 3.2 |
NVIDIA Corp. | 3.0 |
PayPal Holdings, Inc. | 2.5 |
Adobe, Inc. | 2.5 |
Intel Corp. | 2.3 |
Cisco Systems, Inc. | 2.3 |
Salesforce.com, Inc. | 1.9 |
59.8 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Materials Index ETF – NAVA | 3.28% | 7.02% | 6.17% |
Fidelity MSCI Materials Index ETF – Market PriceB | 3.04% | 7.00% | 5.96% |
MSCI USA IMI Materials IndexA | 3.38% | 7.11% | 6.25% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Linde PLC | 14.9 |
Air Products & Chemicals, Inc. | 7.2 |
Newmont Corp. | 6.3 |
The Sherwin-Williams Co. | 6.1 |
Ecolab, Inc. | 5.4 |
DuPont de Nemours, Inc. | 4.5 |
Dow, Inc. | 3.5 |
PPG Industries, Inc. | 2.9 |
Ball Corp. | 2.7 |
Corteva, Inc. | 2.4 |
55.9 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Real Estate Index ETF – NAVA | -5.27% | 5.65% | 4.05% |
Fidelity MSCI Real Estate Index ETF – Market PriceB | -5.29% | 5.64% | 3.77% |
MSCI USA IMI Real Estate IndexA | -5.00% | 5.79% | 4.14% |
S&P 500 IndexA | 11.96% | 11.49% | 11.42% |
B | From February 5, 2015, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
American Tower Corp. | 10.3 |
Prologis, Inc. | 6.9 |
Crown Castle International Corp. | 6.2 |
Equinix, Inc. | 4.9 |
Digital Realty Trust, Inc. | 3.7 |
SBA Communications Corp. | 3.2 |
Public Storage | 2.8 |
Alexandria Real Estate Equities, Inc. | 2.0 |
Welltower, Inc. | 1.9 |
AvalonBay Communities, Inc. | 1.9 |
43.8 |
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Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Utilities Index ETF – NAVA | 3.13% | 10.34% | 10.48% |
Fidelity MSCI Utilities Index ETF – Market PriceB | 3.15% | 10.36% | 10.34% |
MSCI USA IMI Utilities IndexA | 3.27% | 10.49% | 10.63% |
S&P 500 IndexA | 11.96% | 11.49% | 11.98% |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
NextEra Energy, Inc. | 14.4 |
Dominion Energy, Inc. | 7.1 |
Duke Energy Corp. | 6.5 |
The Southern Co. | 6.0 |
American Electric Power Co., Inc. | 4.5 |
Exelon Corp. | 3.9 |
Sempra Energy | 3.8 |
Xcel Energy, Inc. | 3.8 |
WEC Energy Group, Inc. | 3.1 |
Eversource Energy | 3.1 |
56.2 |
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Common Stocks – 99.8% | ||
Shares | Value | |
DIVERSIFIED TELECOMMUNICATION SERVICES – 13.8% | ||
Alternative Carriers – 4.0% | ||
Anterix, Inc. (a) | 7,988 | $ 348,117 |
Bandwidth, Inc. Class A (a) | 12,543 | 1,815,975 |
CenturyLink, Inc. | 360,621 | 3,479,993 |
Cogent Communications Holdings, Inc. | 29,905 | 2,694,739 |
GCI Liberty, Inc. Class A (a) | 42,322 | 3,317,622 |
Globalstar, Inc. (a) | 480,237 | 187,148 |
Iridium Communications, Inc. (a) | 84,109 | 2,303,745 |
Liberty Global PLC Class A (a) | 103,187 | 2,415,092 |
Liberty Global PLC Class C (a) | 149,917 | 3,412,111 |
Liberty Latin America Ltd. Class A (a) | 32,146 | 330,461 |
Liberty Latin America Ltd. Class C (a) | 79,820 | 816,559 |
Vonage Holdings Corp. (a) | 163,727 | 1,956,538 |
23,078,100 | ||
Integrated Telecommunication Services – 9.8% | ||
AT&T, Inc. | 798,339 | 23,614,868 |
ATN International, Inc. | 8,014 | 461,847 |
Cincinnati Bell, Inc. (a) | 31,223 | 468,657 |
Consolidated Communications Holdings, Inc. | 50,427 | 368,117 |
Verizon Communications, Inc. | 548,076 | 31,503,408 |
56,416,897 | ||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 79,494,997 | |
ENTERTAINMENT – 17.3% | ||
Interactive Home Entertainment – 5.8% | ||
Activision Blizzard, Inc. | 167,706 | 13,857,547 |
Electronic Arts, Inc. (a) | 68,477 | 9,697,712 |
Glu Mobile, Inc. (a) | 101,391 | 957,131 |
Take-Two Interactive Software, Inc. (a) | 32,394 | 5,313,264 |
Zynga, Inc. Class A (a) | 376,354 | 3,699,560 |
33,525,214 | ||
Movies & Entertainment – 11.5% | ||
AMC Entertainment Holdings, Inc. Class A | 38,154 | 154,142 |
Cinemark Holdings, Inc. | 79,461 | 940,024 |
IMAX Corp. (a) | 37,248 | 420,530 |
Liberty Media Corp-Liberty Braves Class A (a) | 6,363 | 120,324 |
Liberty Media Corp-Liberty Braves Class C (a) | 24,373 | 454,557 |
Liberty Media Corp-Liberty Formula One Class C (a) | 84,507 | 2,994,928 |
Lions Gate Entertainment Corp. Class A (a) | 42,488 | 325,458 |
Lions Gate Entertainment Corp. Class B (a) | 82,940 | 589,703 |
Live Nation Entertainment, Inc. (a) | 63,976 | 2,994,717 |
| ||
Shares | Value | |
Madison Square Garden Entertainment Corp. (a) | 11,080 | $ 785,129 |
Madison Square Garden Sports Corp. Class A (a) | 11,004 | 1,691,205 |
Netflix, Inc. (a) | 51,259 | 25,059,500 |
Roku, Inc. (a) | 30,342 | 4,699,672 |
The Marcus Corp. | 14,985 | 206,943 |
The Walt Disney Co. | 202,147 | 23,639,070 |
World Wrestling Entertainment, Inc. Class A | 32,782 | 1,527,969 |
66,603,871 | ||
TOTAL ENTERTAINMENT | 100,129,085 | |
INTERACTIVE MEDIA & SERVICES – 45.9% | ||
Interactive Media & Services – 45.9% | ||
Alphabet, Inc. Class A (a) | 41,450 | 61,675,527 |
Alphabet, Inc. Class C (a) | 42,679 | 63,291,250 |
ANGI Homeservices, Inc. Class A (a) | 54,291 | 857,255 |
Cargurus, Inc. (a) | 58,731 | 1,696,739 |
Cars.com, Inc. (a) | 48,226 | 391,595 |
Eventbrite, Inc. Class A (a) | 33,992 | 289,612 |
EverQuote, Inc. Class A (a) | 4,950 | 269,527 |
Facebook, Inc. Class A (a) | 395,589 | 100,349,062 |
IAC/InterActiveCorp (a) | 20,138 | 2,666,674 |
Liberty TripAdvisor Holdings, Inc. Class A (a) | 52,851 | 131,070 |
Match Group, Inc. (a) | 78,119 | 8,022,821 |
Pinterest, Inc. Class A (a) | 149,974 | 5,142,608 |
QuinStreet, Inc. (a) | 33,753 | 394,066 |
Snap, Inc. Class A (a) | 246,211 | 5,520,051 |
TripAdvisor, Inc. | 74,692 | 1,511,019 |
TrueCar, Inc. (a) | 68,835 | 258,820 |
Twitter, Inc. (a) | 192,152 | 6,994,333 |
Yelp, Inc. (a) | 50,970 | 1,273,231 |
Zillow Group, Inc. Class C (a) | 64,985 | 4,444,324 |
TOTAL INTERACTIVE MEDIA & SERVICES | 265,179,584 | |
MEDIA – 19.1% | ||
Advertising – 1.6% | ||
Boston Omaha Corp. Class A (a) | 10,948 | 174,073 |
Cardlytics, Inc. (a) | 16,409 | 1,089,886 |
Clear Channel Outdoor Holdings, Inc. (a) | 256,954 | 235,498 |
National CineMedia, Inc. | 48,343 | 119,407 |
Omnicom Group, Inc. | 68,975 | 3,706,027 |
TechTarget, Inc. (a) | 16,895 | 613,120 |
The Interpublic Group of Cos., Inc. | 168,182 | 3,035,685 |
8,973,696 | ||
Broadcasting – 3.9% | ||
AMC Networks, Inc. Class A (a) | 29,849 | 689,512 |
Discovery, Inc. Class A (a) | 103,832 | 2,190,855 |
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Common Stocks – continued | ||
Shares | Value | |
MEDIA – continued | ||
Broadcasting – continued | ||
Discovery, Inc. Class C (a) | 143,281 | $ 2,715,175 |
Fox Corp. Class A | 119,023 | 3,067,223 |
Fox Corp. Class B (a) | 88,890 | 2,290,695 |
Gray Television, Inc. (a) | 63,065 | 904,352 |
Hemisphere Media Group, Inc. (a) | 11,690 | 102,872 |
iHeartMedia, Inc. Class A (a) | 41,334 | 345,552 |
Nexstar Media Group, Inc. Class A | 28,765 | 2,521,252 |
Sinclair Broadcast Group, Inc. Class A | 45,221 | 931,553 |
TEGNA, Inc. | 145,924 | 1,718,985 |
The E.W. Scripps Co. Class A | 35,346 | 402,237 |
ViacomCBS, Inc. Class B | 180,810 | 4,713,717 |
22,593,980 | ||
Cable & Satellite – 12.2% | ||
Altice USA, Inc. Class A (a) | 124,113 | 3,349,810 |
Cable One, Inc. | 1,926 | 3,510,250 |
Charter Communications, Inc. Class A (a) | 32,854 | 19,055,320 |
Comcast Corp. Class A | 605,072 | 25,897,082 |
DISH Network Corp. Class A (a) | 102,525 | 3,292,078 |
Liberty Broadband Corp. Class A (a) | 17,171 | 2,318,257 |
Liberty Broadband Corp. Class C (a) | 32,072 | 4,402,523 |
Liberty Media Corp-Liberty SiriusXM Class A (a) | 61,685 | 2,146,021 |
Liberty Media Corp-Liberty SiriusXM Class C (a) | 78,819 | 2,757,877 |
Loral Space & Communications Ltd. (a) | 8,340 | 151,538 |
MSG Networks, Inc. Class A (a) | 30,370 | 289,426 |
Sirius XM Holdings, Inc. | 524,331 | 3,083,066 |
WideOpenWest, Inc. (a) | 35,321 | 192,853 |
70,446,101 | ||
Publishing – 1.4% | ||
John Wiley & Sons, Inc. Class A | 31,650 | 1,070,719 |
Meredith Corp. | 29,082 | 417,618 |
| ||
Shares | Value | |
News Corp. Class A | 212,206 | $ 2,699,260 |
Scholastic Corp. | 21,019 | 502,985 |
The New York Times Co. Class A | 71,331 | 3,291,212 |
Tribune Publishing Co. | 8,998 | 87,731 |
8,069,525 | ||
TOTAL MEDIA | 110,083,302 | |
WIRELESS TELECOMMUNICATION SERVICES – 3.7% | ||
Wireless Telecommunication Services – 3.7% | ||
Boingo Wireless, Inc. (a) | 29,618 | 427,980 |
Shenandoah Telecommunications Co. | 33,495 | 1,683,794 |
Telephone & Data Systems, Inc. | 69,115 | 1,342,213 |
T-Mobile US, Inc. (a) | 163,381 | 17,543,852 |
United States Cellular Corp. (a) | 9,260 | 274,744 |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 21,272,583 | |
TOTAL COMMON STOCKS (Cost $503,783,036) | 576,159,551 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $708,000) | 708,000 | 708,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $504,491,036) | 576,867,551 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 841,359 | |
NET ASSETS – 100.0% | $ 577,708,910 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P MidCap 400 Index Contracts | 1 | September 2020 | $ 186,050 | $ 11,918 | $ 11,918 |
CME E-mini S&P Communication Services Select Sector Index Contracts | 17 | September 2020 | 1,289,025 | 48,666 | 48,666 |
Total Equity Index Contracts | $ 60,584 |
40 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 576,159,551 | $ 576,159,551 | $ — | $ — | |||||
Money Market Funds | 708,000 | 708,000 | — | — | |||||
Total Investments in Securities: | $ 576,867,551 | $ 576,867,551 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 60,584 | $ 60,584 | $ — | $ — | |||||
Total Assets | $ 60,584 | $ 60,584 | $ — | $ — | |||||
Total Derivative Instruments: | $ 60,584 | $ 60,584 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $60,584 | $0 | |
Total Equity Risk | 60,584 | 0 | |
Total Value of Derivatives | $60,584 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
41 |
Table of Contents
Common Stocks – 99.4% | ||
Shares | Value | |
AUTO COMPONENTS – 1.9% | ||
Auto Parts & Equipment – 1.9% | ||
Adient PLC (a) | 1,645 | $ 27,373 |
American Axle & Manufacturing Holdings, Inc. (a) | 35,440 | 250,206 |
Aptiv PLC | 61,566 | 4,786,756 |
Autoliv, Inc. | 19,005 | 1,235,895 |
BorgWarner, Inc. | 47,356 | 1,733,230 |
Dana, Inc. | 59,010 | 674,484 |
Delphi Technologies PLC (a) | 24,804 | 371,812 |
Dorman Products, Inc. (a) | 6,335 | 517,886 |
Fox Factory Holding Corp. (a) | 8,824 | 785,336 |
Garrett Motion, Inc. (a) | 48,766 | 286,744 |
Gentex Corp. | 87,819 | 2,370,235 |
Gentherm, Inc. (a) | 7,544 | 292,481 |
LCI Industries | 5,728 | 720,582 |
Lear Corp. | 13,165 | 1,453,153 |
Standard Motor Products, Inc. | 4,694 | 213,483 |
Stoneridge, Inc. (a) | 5,965 | 123,595 |
Tenneco, Inc. Class A (a) | 9 | 67 |
Veoneer, Inc. (a) | 24,270 | 243,914 |
Visteon Corp. (a) | 6,439 | 467,536 |
16,554,768 | ||
Tires & Rubber – 0.0% | ||
Cooper Tire & Rubber Co. | 11,522 | 357,873 |
The Goodyear Tire & Rubber Co. | 6,565 | 59,151 |
417,024 | ||
TOTAL AUTO COMPONENTS | 16,971,792 | |
AUTOMOBILES – 7.8% | ||
Automobile Manufacturers – 7.7% | ||
Ford Motor Co. | 918,640 | 6,072,210 |
General Motors Co. | 308,666 | 7,682,697 |
Tesla, Inc. (a) | 36,872 | 52,754,983 |
Thor Industries, Inc. | 12,666 | 1,443,797 |
Winnebago Industries, Inc. | 7,323 | 442,382 |
68,396,069 | ||
Motorcycle Manufacturers – 0.1% | ||
Harley-Davidson, Inc. | 34,758 | 904,751 |
TOTAL AUTOMOBILES | 69,300,820 | |
DISTRIBUTORS – 1.4% | ||
Distributors – 1.4% | ||
Core-Mark Holding Co., Inc. | 10,434 | 276,710 |
Genuine Parts Co. | 33,388 | 3,009,928 |
LKQ Corp. (a) | 66,963 | 1,887,687 |
Pool Corp. | 22,911 | 7,255,914 |
TOTAL DISTRIBUTORS | 12,430,239 |
| ||
Shares | Value | |
DIVERSIFIED CONSUMER SERVICES – 1.5% | ||
Education Services – 0.9% | ||
Adtalem Global Education, Inc. (a) | 12,134 | $ 416,681 |
American Public Education, Inc. (a) | 3,522 | 102,525 |
Bright Horizons Family Solutions, Inc. (a) | 13,345 | 1,431,118 |
Chegg, Inc. (a) | 33,003 | 2,672,253 |
Graham Holdings Co. Class B | 1,270 | 505,930 |
Grand Canyon Education, Inc. (a) | 11,032 | 978,980 |
K12, Inc. (a) | 17,794 | 814,787 |
Laureate Education, Inc. Class A (a) | 30,556 | 387,450 |
Perdoceo Education Corp. (a) | 16,095 | 231,768 |
Strategic Education, Inc. | 5,032 | 635,089 |
8,176,581 | ||
Specialized Consumer Services – 0.6% | ||
Carriage Services, Inc. | 3,871 | 85,588 |
Frontdoor, Inc. (a) | 19,566 | 821,674 |
H&R Block, Inc. | 44,802 | 649,629 |
OneSpaWorld Holdings Ltd. | 682 | 3,792 |
Regis Corp. (a) | 5,700 | 43,776 |
Service Corp. International | 41,475 | 1,798,356 |
ServiceMaster Global Holdings, Inc. (a) | 31,127 | 1,272,783 |
WW International, Inc. (a) | 10,829 | 279,172 |
4,954,770 | ||
TOTAL DIVERSIFIED CONSUMER SERVICES | 13,131,351 | |
HOTELS, RESTAURANTS & LEISURE – 14.5% | ||
Casinos & Gaming – 1.5% | ||
Accel Entertainment, Inc. (a) | 9,874 | 78,893 |
Boyd Gaming Corp. | 38,210 | 904,431 |
Caesars Entertainment, Inc. (a) | 33,705 | 1,046,540 |
Churchill Downs, Inc. | 8,170 | 1,131,708 |
Everi Holdings, Inc. (a) | 70,359 | 399,639 |
Las Vegas Sands Corp. | 78,877 | 3,442,192 |
MGM Resorts International | 132,234 | 2,127,645 |
Monarch Casino & Resort, Inc. (a) | 3,502 | 126,737 |
Penn National Gaming, Inc. (a) | 28,887 | 977,825 |
Red Rock Resorts, Inc. Class A | 47,514 | 520,754 |
Scientific Games Corp. Class A (a) | 24,391 | 428,550 |
Twin River Worldwide Holdings, Inc. | 11,117 | 239,683 |
Wynn Resorts Ltd. | 26,344 | 1,908,096 |
13,332,693 | ||
Hotels, Resorts & Cruise Lines – 2.0% | ||
Carnival Corp. | 6,257 | 86,847 |
Choice Hotels International, Inc. | 8,317 | 698,961 |
Extended Stay America, Inc. | 40,683 | 464,193 |
Hilton Grand Vacations, Inc. (a) | 36,291 | 736,707 |
Hilton Worldwide Holdings, Inc. | 63,663 | 4,777,908 |
Lindblad Expeditions Holdings, Inc. (a) | 35,127 | 254,671 |
42 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HOTELS, RESTAURANTS & LEISURE – continued | ||
Hotels, Resorts & Cruise Lines – continued | ||
Marriott International, Inc. Class A | 63,245 | $ 5,301,512 |
Marriott Vacations Worldwide Corp. | 10,291 | 871,236 |
Norwegian Cruise Line Holdings Ltd. (a) | 1,101 | 15,018 |
Playa Hotels & Resorts N.V. (a) | 1,061 | 3,851 |
Royal Caribbean Cruises Ltd. | 48,637 | 2,369,108 |
Wyndham Destinations, Inc. | 31,535 | 838,831 |
Wyndham Hotels & Resorts, Inc. | 21,361 | 943,302 |
17,362,145 | ||
Leisure Facilities – 0.3% | ||
Planet Fitness, Inc. Class A (a) | 18,045 | 941,949 |
SeaWorld Entertainment, Inc. (a) | 30,438 | 440,438 |
Six Flags Entertainment Corp. | 1,229 | 21,372 |
Vail Resorts, Inc. | 9,252 | 1,776,662 |
3,180,421 | ||
Restaurants – 10.7% | ||
Aramark | 57,599 | 1,216,491 |
BJ's Restaurants, Inc. | 154 | 3,089 |
Bloomin' Brands, Inc. | 33,889 | 390,401 |
Brinker International, Inc. | 19,004 | 511,018 |
Chipotle Mexican Grill, Inc. (a) | 9,830 | 11,355,223 |
Cracker Barrel Old Country Store, Inc. | 5,636 | 622,609 |
Darden Restaurants, Inc. | 29,506 | 2,239,505 |
Dave & Buster's Entertainment, Inc. | 402 | 4,961 |
Denny's Corp. (a) | 34,735 | 308,620 |
Dine Brands Global, Inc. | 8,480 | 385,246 |
Domino's Pizza, Inc. | 11,114 | 4,296,784 |
Dunkin' Brands Group, Inc. | 18,940 | 1,301,746 |
El Pollo Loco Holdings, Inc. (a) | 4,396 | 86,865 |
Jack in the Box, Inc. | 4,934 | 405,131 |
McDonald's Corp. | 193,634 | 37,619,214 |
Papa John's International, Inc. | 6,651 | 629,650 |
Ruth's Hospitality Group, Inc. | 168 | 1,125 |
Shake Shack, Inc. Class A (a) | 7,109 | 345,142 |
Starbucks Corp. | 298,722 | 22,861,195 |
Texas Roadhouse, Inc. | 15,131 | 850,211 |
The Cheesecake Factory, Inc. | 9,717 | 233,208 |
The Wendy's Co. | 43,506 | 1,008,469 |
Wingstop, Inc. | 6,737 | 1,052,656 |
Yum! Brands, Inc. | 69,043 | 6,286,365 |
94,014,924 | ||
TOTAL HOTELS, RESTAURANTS & LEISURE | 127,890,183 | |
HOUSEHOLD DURABLES – 4.8% | ||
Consumer Electronics – 1.0% | ||
Garmin Ltd. | 76,867 | 7,578,318 |
GoPro, Inc. Class A (a) | 27,689 | 146,475 |
Sonos, Inc. (a) | 82,988 | 1,327,808 |
| ||
Shares | Value | |
Universal Electronics, Inc. (a) | 3,190 | $ 146,963 |
9,199,564 | ||
Home Furnishings – 0.5% | ||
Ethan Allen Interiors, Inc. | 16,811 | 199,042 |
La-Z-Boy, Inc. | 10,567 | 300,737 |
Leggett & Platt, Inc. | 30,024 | 1,203,662 |
Mohawk Industries, Inc. (a) | 16,755 | 1,337,887 |
Tempur Sealy International, Inc. (a) | 13,522 | 1,094,606 |
4,135,934 | ||
Homebuilding – 2.7% | ||
Cavco Industries, Inc. (a) | 1,897 | 380,026 |
Century Communities, Inc. (a) | 6,427 | 228,930 |
D.R. Horton, Inc. | 79,877 | 5,284,662 |
Green Brick Partners, Inc. (a) | 5,773 | 79,667 |
Installed Building Products, Inc. (a) | 5,489 | 434,235 |
KB Home | 18,508 | 622,609 |
Lennar Corp. Class A | 63,075 | 4,563,476 |
LGI Homes, Inc. (a) | 4,946 | 564,388 |
M.D.C. Holdings, Inc. | 12,277 | 550,378 |
M/I Homes, Inc. (a) | 6,552 | 272,760 |
Meritage Homes Corp. (a) | 8,740 | 866,833 |
NVR, Inc. (a) | 802 | 3,151,980 |
PulteGroup, Inc. | 61,962 | 2,701,543 |
Skyline Champion Corp. (a) | 11,706 | 330,460 |
Taylor Morrison Home Corp. (a) | 29,312 | 687,367 |
Toll Brothers, Inc. | 28,587 | 1,092,024 |
TopBuild Corp. (a) | 7,707 | 1,016,708 |
TRI Pointe Group, Inc. (a) | 31,224 | 522,065 |
23,350,111 | ||
Household Appliances – 0.4% | ||
Helen of Troy Ltd. (a) | 5,758 | 1,083,943 |
iRobot Corp. (a) | 6,535 | 475,029 |
Whirlpool Corp. | 14,390 | 2,347,297 |
3,906,269 | ||
Housewares & Specialties – 0.2% | ||
Newell Brands, Inc. | 92,304 | 1,513,785 |
TOTAL HOUSEHOLD DURABLES | 42,105,663 | |
INTERNET & DIRECT MARKETING RETAIL – 34.2% | ||
Internet & Direct Marketing Retail – 34.2% | ||
1-800-FLOWERS.com, Inc. Class A (a) | 5,728 | 161,816 |
Amazon.com, Inc. (a) | 68,095 | 215,498,885 |
Booking Holdings, Inc. (a) | 12,067 | 20,056,923 |
eBay, Inc. | 261,601 | 14,461,303 |
Etsy, Inc. (a) | 56,211 | 6,654,258 |
Expedia Group, Inc. | 45,719 | 3,703,696 |
Groupon, Inc. (a) | 15,289 | 234,686 |
GrubHub, Inc. (a) | 61,196 | 4,420,799 |
Lands' End, Inc. (a) | 17,066 | 147,109 |
43 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INTERNET & DIRECT MARKETING RETAIL – continued | ||
Internet & Direct Marketing Retail – continued | ||
Magnite, Inc. (a) | 22,089 | $ 132,644 |
MercadoLibre, Inc. (a) | 14,223 | 15,995,470 |
Overstock.com, Inc. (a) | 32,811 | 2,480,183 |
PetMed Express, Inc. | 26,747 | 834,506 |
Quotient Technology, Inc. (a) | 17,352 | 138,990 |
Qurate Retail, Inc. Class A (a) | 88,755 | 968,317 |
Revolve Group, Inc. (a) | 7,707 | 126,164 |
Shutterstock, Inc. | 33,386 | 1,814,195 |
Stamps.com, Inc. (a) | 16,824 | 4,378,951 |
Stitch Fix, Inc. Class A (a) | 12,063 | 267,195 |
The RealReal, Inc. (a) | 67,087 | 915,067 |
Wayfair, Inc. Class A (a) | 29,206 | 7,771,425 |
TOTAL INTERNET & DIRECT MARKETING RETAIL | 301,162,582 | |
LEISURE PRODUCTS – 1.0% | ||
Leisure Products – 1.0% | ||
Acushnet Holdings Corp. | 8,626 | 328,219 |
Brunswick Corp. | 18,235 | 1,221,380 |
Callaway Golf Co. | 28,176 | 536,753 |
Hasbro, Inc. | 29,817 | 2,169,485 |
Johnson Outdoors, Inc. Class A | 1,407 | 123,197 |
Malibu Boats, Inc. Class A (a) | 4,716 | 277,207 |
Mattel, Inc. (a) | 79,604 | 884,401 |
Polaris, Inc. | 13,280 | 1,376,206 |
Smith & Wesson Brands, Inc. (a) | 12,637 | 301,898 |
Sturm Ruger & Co., Inc. | 4,006 | 325,968 |
Vista Outdoor, Inc. (a) | 13,281 | 227,769 |
YETI Holdings, Inc. (a) | 16,907 | 826,583 |
TOTAL LEISURE PRODUCTS | 8,599,066 | |
MEDIA – 0.0% | ||
Broadcasting – 0.0% | ||
Media General, Inc. (a)(b) | 7,026 | 0 |
MULTILINE RETAIL – 4.3% | ||
Department Stores – 0.0% | ||
Dillard's, Inc. Class A | 72 | 1,696 |
Kohl's Corp. | 2,728 | 51,941 |
Macy's, Inc. | 8,198 | 49,680 |
Nordstrom, Inc. | 240 | 3,285 |
106,602 | ||
General Merchandise Stores – 4.3% | ||
Big Lots, Inc. | 8,959 | 352,447 |
Dollar General Corp. | 81,271 | 15,473,999 |
Dollar Tree, Inc. (a) | 54,335 | 5,072,172 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 13,133 | 1,380,278 |
| ||
Shares | Value | |
Target Corp. | 125,589 | $ 15,809,144 |
38,088,040 | ||
TOTAL MULTILINE RETAIL | 38,194,642 | |
SPECIALTY RETAIL – 21.3% | ||
Apparel Retail – 3.8% | ||
Abercrombie & Fitch Co. Class A | 25,406 | 244,660 |
American Eagle Outfitters, Inc. | 48,162 | 481,620 |
Boot Barn Holdings, Inc. (a) | 19,647 | 380,366 |
Burlington Stores, Inc. (a) | 15,197 | 2,857,036 |
Designer Brands, Inc. Class A | 494 | 2,920 |
Foot Locker, Inc. | 27,960 | 821,744 |
Genesco, Inc. (a) | 60 | 933 |
Guess?, Inc. | 40,915 | 423,061 |
L Brands, Inc. | 6,978 | 170,333 |
Ross Stores, Inc. | 82,386 | 7,387,553 |
Shoe Carnival, Inc. | 7,966 | 195,565 |
The Buckle, Inc. | 6,779 | 108,667 |
The Cato Corp. Class A | 24,414 | 175,537 |
The Children's Place, Inc. | 60 | 1,465 |
The Gap, Inc. | 72,893 | 974,579 |
The TJX Cos., Inc. | 359,898 | 18,711,097 |
Urban Outfitters, Inc. (a) | 17,025 | 281,593 |
Zumiez, Inc. (a) | 4,728 | 109,217 |
33,327,946 | ||
Automotive Retail – 3.3% | ||
Advance Auto Parts, Inc. | 15,877 | 2,383,773 |
America's Car-Mart, Inc. (a) | 1,424 | 135,508 |
Asbury Automotive Group, Inc. (a) | 4,430 | 443,664 |
AutoNation, Inc. (a) | 13,340 | 684,876 |
AutoZone, Inc. (a) | 5,402 | 6,522,483 |
Camping World Holdings, Inc. Class A | 7,278 | 266,520 |
CarMax, Inc. (a) | 37,482 | 3,634,630 |
Carvana Co. (a) | 16,854 | 2,611,527 |
Group 1 Automotive, Inc. | 7,702 | 647,122 |
Lithia Motors, Inc. Class A | 5,192 | 1,189,747 |
Monro, Inc. | 7,619 | 428,950 |
Murphy USA, Inc. (a) | 6,647 | 880,129 |
O'Reilly Automotive, Inc. (a) | 17,170 | 8,196,615 |
Penske Automotive Group, Inc. | 9,077 | 406,831 |
Sonic Automotive, Inc. Class A | 5,254 | 200,282 |
28,632,657 | ||
Computer & Electronics Retail – 0.6% | ||
Best Buy Co., Inc. | 53,443 | 5,322,388 |
GameStop Corp. Class A (a) | 132 | 529 |
Rent-A-Center, Inc. | 11,292 | 326,565 |
5,649,482 |
44 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
SPECIALTY RETAIL – continued | ||
Home Improvement Retail – 11.3% | ||
Floor & Decor Holdings, Inc. Class A (a) | 34,582 | $ 2,278,954 |
Lowe's Cos., Inc. | 175,924 | 26,196,843 |
The Home Depot, Inc. | 267,070 | 70,904,414 |
99,380,211 | ||
Homefurnishing Retail – 0.4% | ||
Aarons, Inc. | 18,233 | 951,398 |
Bed Bath & Beyond, Inc. | 2,249 | 24,334 |
Haverty Furniture Companies, Inc. | 3,924 | 55,799 |
RH (a) | 3,480 | 1,000,256 |
Sleep Number Corp. (a) | 6,352 | 295,368 |
Williams-Sonoma, Inc. | 17,762 | 1,547,426 |
3,874,581 | ||
Specialty Stores – 1.9% | ||
Dick's Sporting Goods, Inc. | 14,587 | 665,459 |
Five Below, Inc. (a) | 12,766 | 1,390,345 |
Hibbett Sports, Inc. (a) | 3,955 | 91,716 |
MarineMax, Inc. (a) | 4,940 | 137,036 |
National Vision Holdings, Inc. (a) | 18,390 | 588,296 |
Sally Beauty Holdings, Inc. (a) | 26,805 | 311,206 |
Signet Jewelers Ltd. | 972 | 10,439 |
The Michaels Cos., Inc. (a) | 1,131 | 8,121 |
The ODP Corp. | 11,687 | 257,932 |
Tiffany & Co., Inc. | 25,017 | 3,136,131 |
Tractor Supply Co. | 54,529 | 7,783,469 |
Ulta Beauty, Inc. (a) | 12,452 | 2,403,112 |
Winmark Corp. | 661 | 105,086 |
16,888,348 | ||
TOTAL SPECIALTY RETAIL | 187,753,225 | |
TEXTILES, APPAREL & LUXURY GOODS – 6.7% | ||
Apparel, Accessories & Luxury Goods – 2.6% | ||
Capri Holdings Ltd. (a) | 2,281 | 34,169 |
Carter's, Inc. | 10,064 | 792,238 |
Columbia Sportswear Co. | 6,958 | 527,695 |
G-III Apparel Group Ltd. (a) | 224 | 2,215 |
Hanesbrands, Inc. | 85,334 | 1,205,769 |
Kontoor Brands, Inc. (a) | 23,822 | 456,430 |
Levi Strauss & Co. Class A | 22,224 | 270,244 |
| ||
Shares | Value | |
Lululemon Athletica, Inc. (a) | 41,806 | $ 13,611,616 |
Oxford Industries, Inc. | 13,438 | 577,028 |
PVH Corp. | 1,141 | 55,521 |
Ralph Lauren Corp. | 13,087 | 933,103 |
Tapestry, Inc. | 4,452 | 59,479 |
Under Armour, Inc. Class A (a) | 4,458 | 46,898 |
Under Armour, Inc. Class C (a) | 4,894 | 46,444 |
VF Corp. | 77,009 | 4,648,263 |
23,267,112 | ||
Footwear – 4.1% | ||
Crocs, Inc. (a) | 15,647 | 562,353 |
Deckers Outdoor Corp. (a) | 6,402 | 1,339,619 |
NIKE, Inc. Class B | 329,946 | 32,206,029 |
Skechers U.S.A., Inc. Class A (a) | 30,716 | 899,365 |
Steven Madden Ltd. | 24,558 | 520,138 |
Wolverine World Wide, Inc. | 21,054 | 506,138 |
36,033,642 | ||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 59,300,754 | |
TOTAL COMMON STOCKS (Cost $699,309,208) | 876,840,317 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (c) (Cost $1,620,000) | 1,620,000 | 1,620,000 |
TOTAL INVESTMENT IN SECURITIES – 99.6% (Cost $700,929,208) | 878,460,317 | |
NET OTHER ASSETS (LIABILITIES) – 0.4% | 3,128,652 | |
NET ASSETS – 100.0% | $ 881,588,969 |
Legend | ||
(a) | Non-income producing. | |
(b) | Level 3 security. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
45 |
Table of Contents
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts | 2 | September 2020 | $ 147,780 | $ 3,589 | $ 3,589 |
CME E-mini S&P Consumer Discretionary Select Sector Index Contracts | 12 | September 2020 | 1,656,240 | 52,815 | 52,815 |
Total Equity Index Contracts | $ 56,404 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 876,840,317 | $ 876,840,317 | $ — | $ — | |||||
Money Market Funds | 1,620,000 | 1,620,000 | — | — | |||||
Total Investments in Securities: | $ 878,460,317 | $ 878,460,317 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 56,404 | $ 56,404 | $ — | $ — | |||||
Total Assets | $ 56,404 | $ 56,404 | $ — | $ — | |||||
Total Derivative Instruments: | $ 56,404 | $ 56,404 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $56,404 | $0 | |
Total Equity Risk | 56,404 | 0 | |
Total Value of Derivatives | $56,404 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
46 |
Table of Contents
Common Stocks – 99.8% | ||
Shares | Value | |
BEVERAGES – 24.0% | ||
Brewers – 0.8% | ||
Molson Coors Brewing Co. Class B | 75,887 | $2,847,280 |
The Boston Beer Co., Inc. Class A (a) | 3,190 | 2,585,304 |
5,432,584 | ||
Distillers & Vintners – 2.7% | ||
Brown-Forman Corp. Class B | 110,778 | 7,681,346 |
Constellation Brands, Inc. Class A | 57,970 | 10,330,254 |
MGP Ingredients, Inc. | 6,402 | 232,201 |
18,243,801 | ||
Soft Drinks – 20.5% | ||
Coca-Cola Bottling Co. Consolidated | 1,640 | 376,479 |
Keurig Dr Pepper, Inc. | 122,815 | 3,756,911 |
Monster Beverage Corp. (a) | 133,370 | 10,466,878 |
National Beverage Corp. (a) | 3,815 | 244,732 |
PepsiCo, Inc. | 443,143 | 61,003,065 |
The Coca-Cola Co. | 1,334,164 | 63,025,907 |
138,873,972 | ||
TOTAL BEVERAGES | 162,550,357 | |
FOOD & STAPLES RETAILING – 21.4% | ||
Drug Retail – 1.5% | ||
Rite Aid Corp. (a) | 17,869 | 270,894 |
Walgreens Boots Alliance, Inc. | 248,695 | 10,124,373 |
10,395,267 | ||
Food Distributors – 1.8% | ||
Performance Food Group Co. (a) | 42,835 | 1,200,237 |
SpartanNash Co. | 12,602 | 264,957 |
Sysco Corp. | 160,251 | 8,469,265 |
The Andersons, Inc. | 12,139 | 172,617 |
The Chefs' Warehouse, Inc. (a) | 10,253 | 118,217 |
United Natural Foods, Inc. (a) | 17,538 | 348,129 |
US Foods Holding Corp. (a) | 76,072 | 1,544,262 |
12,117,684 | ||
Food Retail – 2.0% | ||
Casey's General Stores, Inc. | 12,636 | 2,011,525 |
Grocery Outlet Holding Corp. (a) | 22,101 | 972,223 |
Ingles Markets, Inc. Class A | 4,405 | 177,301 |
Sprouts Farmers Market, Inc. (a) | 38,528 | 1,016,369 |
The Kroger Co. | 263,617 | 9,171,236 |
Village Super Market, Inc. Class A | 2,812 | 71,003 |
Weis Markets, Inc. | 5,731 | 285,518 |
13,705,175 | ||
Hypermarkets & Super Centers – 16.1% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 44,993 | 1,801,970 |
Costco Wholesale Corp. | 144,781 | 47,130,559 |
PriceSmart, Inc. | 8,079 | 528,124 |
| ||
Shares | Value | |
Walmart, Inc. | 461,395 | $ 59,704,513 |
109,165,166 | ||
TOTAL FOOD & STAPLES RETAILING | 145,383,292 | |
FOOD PRODUCTS – 18.4% | ||
Agricultural Products – 2.2% | ||
Archer-Daniels-Midland Co. | 193,655 | 8,294,244 |
Bunge Ltd. | 52,746 | 2,291,286 |
Darling Ingredients, Inc. (a) | 58,441 | 1,632,257 |
Fresh Del Monte Produce, Inc. | 10,231 | 231,016 |
Ingredion, Inc. | 26,246 | 2,270,279 |
14,719,082 | ||
Packaged Foods & Meats – 16.2% | ||
B&G Foods, Inc. | 23,206 | 670,885 |
Beyond Meat, Inc. (a) | 8,066 | 1,015,509 |
Calavo Growers, Inc. | 5,479 | 316,522 |
Cal-Maine Foods, Inc. (a) | 10,072 | 442,614 |
Campbell Soup Co. | 61,625 | 3,054,751 |
Conagra Brands, Inc. | 161,684 | 6,055,066 |
Flowers Foods, Inc. | 70,784 | 1,610,336 |
Freshpet, Inc. (a) | 12,995 | 1,248,170 |
General Mills, Inc. | 201,683 | 12,760,483 |
Hormel Foods Corp. | 97,396 | 4,953,560 |
Hostess Brands, Inc. (a) | 45,066 | 571,437 |
J&J Snack Foods Corp. | 4,962 | 610,971 |
John B Sanfilippo & Son, Inc. | 3,368 | 296,957 |
Kellogg Co. | 87,266 | 6,020,481 |
Lamb Weston Holdings, Inc. | 47,886 | 2,876,991 |
Lancaster Colony Corp. | 6,312 | 1,001,020 |
Landec Corp. (a) | 8,604 | 81,222 |
McCormick & Co., Inc. (non-vtg.) | 41,598 | 8,107,450 |
Mondelez International, Inc. Class A | 480,506 | 26,663,278 |
Pilgrim's Pride Corp. (a) | 20,451 | 313,923 |
Post Holdings, Inc. (a) | 23,727 | 2,105,534 |
Sanderson Farms, Inc. | 6,560 | 731,407 |
Seaboard Corp. | 95 | 256,809 |
The Hain Celestial Group, Inc. (a) | 28,056 | 953,343 |
The Hershey Co. | 50,741 | 7,378,249 |
The JM Smucker Co. | 39,138 | 4,279,740 |
The Kraft Heinz Co. | 225,100 | 7,738,938 |
The Simply Good Foods Co. (a) | 29,995 | 721,080 |
Tootsie Roll Industries, Inc. | 5,756 | 182,465 |
TreeHouse Foods, Inc. (a) | 19,529 | 855,761 |
Tyson Foods, Inc. Class A | 99,797 | 6,132,526 |
110,007,478 | ||
TOTAL FOOD PRODUCTS | 124,726,560 | |
HOUSEHOLD PRODUCTS – 24.4% | ||
Household Products – 24.4% | ||
Central Garden and Pet Co. (a) | 3,200 | 121,152 |
47 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HOUSEHOLD PRODUCTS – continued | ||
Household Products – continued | ||
Central Garden and Pet Co. Class A (a) | 13,172 | $ 456,410 |
Church & Dwight Co., Inc. | 84,216 | 8,112,527 |
Colgate-Palmolive Co. | 274,511 | 21,192,249 |
Energizer Holdings, Inc. | 21,992 | 1,102,459 |
Kimberly-Clark Corp. | 116,226 | 17,671,001 |
Spectrum Brands Holdings, Inc. | 16,445 | 890,661 |
The Clorox Co. | 41,588 | 9,835,978 |
The Procter & Gamble Co. | 804,918 | 105,540,848 |
WD-40 Co. | 4,492 | 882,903 |
TOTAL HOUSEHOLD PRODUCTS | 165,806,188 | |
PERSONAL PRODUCTS – 2.9% | ||
Personal Products – 2.9% | ||
BellRing Brands, Inc. Class A (a) | 14,230 | 282,750 |
Coty, Inc. Class A | 102,680 | 380,943 |
Edgewell Personal Care Co. (a) | 16,908 | 505,380 |
elf Beauty, Inc. (a) | 13,217 | 236,056 |
Herbalife Nutrition Ltd. (a) | 32,796 | 1,680,467 |
Inter Parfums, Inc. | 5,673 | 231,969 |
Medifast, Inc. | 3,504 | 585,624 |
Nu Skin Enterprises, Inc. Class A | 19,240 | 862,914 |
The Estee Lauder Cos., Inc. Class A | 72,938 | 14,408,172 |
USANA Health Sciences, Inc. (a) | 4,239 | 344,122 |
TOTAL PERSONAL PRODUCTS | 19,518,397 | |
TOBACCO – 8.7% | ||
Tobacco – 8.7% | ||
Altria Group, Inc. | 623,967 | 25,676,242 |
| ||
Shares | Value | |
Philip Morris International, Inc. | 415,148 | $ 31,887,518 |
Turning Point Brands, Inc. | 6,986 | 229,699 |
Universal Corp. | 17,236 | 726,670 |
Vector Group Ltd. | 49,618 | 437,631 |
TOTAL TOBACCO | 58,957,760 | |
TOTAL COMMON STOCKS (Cost $636,035,162) | 676,942,554 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $800,000) | 800,000 | 800,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $636,835,162) | 677,742,554 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 906,186 | |
NET ASSETS – 100.0% | $ 678,648,740 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Consumer Staples Select Sector Index Contracts | 26 | September 2020 | $1,633,840 | $42,303 | $42,303 |
48 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 676,942,554 | $ 676,942,554 | $ — | $ — | |||||
Money Market Funds | 800,000 | 800,000 | — | — | |||||
Total Investments in Securities: | $ 677,742,554 | $ 677,742,554 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | �� | ||||||||
Futures Contracts | $ 42,303 | $ 42,303 | $ — | $ — | |||||
Total Assets | $ 42,303 | $ 42,303 | $ — | $ — | |||||
Total Derivative Instruments: | $ 42,303 | $ 42,303 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $42,303 | $0 | |
Total Equity Risk | 42,303 | 0 | |
Total Value of Derivatives | $42,303 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
49 |
Table of Contents
Common Stocks – 99.6% | ||
Shares | Value | |
ENERGY EQUIPMENT & SERVICES – 9.1% | ||
Oil & Gas Drilling – 0.5% | ||
Helmerich & Payne, Inc. | 64,192 | $ 1,144,544 |
Patterson-UTI Energy, Inc. | 108,511 | 420,480 |
Transocean Ltd. (a) | 338,780 | 691,111 |
2,256,135 | ||
Oil & Gas Equipment & Services – 8.6% | ||
Archrock, Inc. | 75,649 | 503,822 |
Baker Hughes Co. | 380,441 | 5,893,031 |
Cactus, Inc. Class A | 27,420 | 620,240 |
ChampionX Corp. (a) | 110,209 | 1,048,088 |
Core Laboratories N.V. | 25,874 | 551,892 |
DMC Global, Inc. | 8,530 | 250,611 |
Dril-Quip, Inc. (a) | 21,063 | 701,187 |
Frank's International N.V. (a) | 66,098 | 150,703 |
Halliburton Co. | 512,241 | 7,340,414 |
Helix Energy Solutions Group, Inc. (a) | 82,298 | 344,829 |
Liberty Oilfield Services, Inc. Class A | 38,350 | 216,678 |
Matrix Service Co. (a) | 15,853 | 138,793 |
National Oilwell Varco, Inc. | 224,679 | 2,586,055 |
NexTier Oilfield Solitions, Inc. (a) | 91,787 | 231,303 |
Oceaneering International, Inc. (a) | 57,592 | 323,667 |
ProPetro Holding Corp. (a) | 50,119 | 269,139 |
RPC, Inc. (a) | 31,460 | 93,436 |
Schlumberger Ltd. | 808,120 | 14,659,297 |
SEACOR Holdings, Inc. (a) | 11,160 | 324,533 |
Select Energy Services, Inc. Class A (a) | 35,749 | 158,726 |
TechnipFMC PLC | 247,457 | 1,987,080 |
38,393,524 | ||
TOTAL ENERGY EQUIPMENT & SERVICES | 40,649,659 | |
OIL, GAS & CONSUMABLE FUELS – 90.5% | ||
Coal & Consumable Fuels – 0.1% | ||
Arch Resources, Inc. | 8,345 | 258,862 |
Peabody Energy Corp. | 39,288 | 122,579 |
381,441 | ||
Integrated Oil & Gas – 45.4% | ||
Chevron Corp. | 1,094,051 | 91,834,641 |
Exxon Mobil Corp. | 2,463,775 | 103,675,652 |
Occidental Petroleum Corp. | 520,046 | 8,185,524 |
Occidental Petroleum Corp. warrants 8/3/27 (a) | 64,457 | 360,959 |
204,056,776 | ||
Oil & Gas Exploration & Production – 22.4% | ||
Antero Resources Corp. (a) | 141,856 | 419,894 |
Apache Corp. | 219,714 | 3,372,610 |
Bonanza Creek Energy, Inc. (a) | 9,675 | 175,988 |
Brigham Minerals, Inc. Class A | 21,878 | 242,408 |
Cabot Oil & Gas Corp. | 232,019 | 4,338,755 |
| ||
Shares | Value | |
Cimarex Energy Co. | 59,458 | $ 1,454,343 |
CNX Resources Corp. (a) | 108,650 | 1,048,474 |
Concho Resources, Inc. | 114,512 | 6,016,461 |
ConocoPhillips | 629,383 | 23,532,630 |
Continental Resources, Inc. | 53,137 | 918,739 |
Devon Energy Corp. | 223,703 | 2,346,644 |
Diamondback Energy, Inc. | 92,146 | 3,672,940 |
EOG Resources, Inc. | 338,674 | 15,866,877 |
EQT Corp. | 148,823 | 2,160,910 |
Gulfport Energy Corp. (a) | 71,510 | 72,225 |
Hess Corp. | 159,917 | 7,869,516 |
Kosmos Energy Ltd. | 235,815 | 379,662 |
Magnolia Oil & Gas Corp. Class A (a) | 73,059 | 436,893 |
Marathon Oil Corp. | 460,142 | 2,526,180 |
Matador Resources Co. (a) | 64,509 | 559,938 |
Murphy Oil Corp. | 84,580 | 1,117,302 |
Noble Energy, Inc. | 282,366 | 2,820,836 |
Northern Oil and Gas, Inc. (a) | 142,669 | 114,349 |
Ovintiv, Inc. | 151,256 | 1,465,671 |
Parsley Energy, Inc. Class A | 175,839 | 1,930,712 |
PDC Energy, Inc. (a) | 58,286 | 831,158 |
Pioneer Natural Resources Co. | 96,471 | 9,349,969 |
Range Resources Corp. | 131,731 | 850,982 |
Southwestern Energy Co. (a) | 315,117 | 765,734 |
Talos Energy, Inc. (a) | 12,864 | 87,604 |
Tellurian, Inc. (a) | 122,016 | 108,814 |
Texas Pacific Land Trust | 3,612 | 1,925,160 |
Viper Energy Partners LP | 35,526 | 367,339 |
W&T Offshore, Inc. (a) | 56,867 | 128,519 |
WPX Energy, Inc. (a) | 244,226 | 1,458,029 |
100,734,265 | ||
Oil & Gas Refining & Marketing – 11.1% | ||
Clean Energy Fuels Corp. (a) | 90,749 | 215,983 |
CVR Energy, Inc. | 17,545 | 336,864 |
Delek US Holdings, Inc. | 42,771 | 747,637 |
HollyFrontier Corp. | 89,521 | 2,461,827 |
Marathon Petroleum Corp. | 377,816 | 14,432,571 |
Par Pacific Holdings, Inc. (a) | 22,688 | 168,118 |
PBF Energy, Inc. Class A | 59,273 | 514,490 |
Phillips 66 | 255,823 | 15,866,142 |
Renewable Energy Group, Inc. (a) | 22,683 | 625,597 |
REX American Resources Corp. (a) | 3,344 | 227,894 |
Valero Energy Corp. | 238,296 | 13,399,384 |
World Fuel Services Corp. | 38,068 | 895,740 |
49,892,247 | ||
Oil & Gas Storage & Transportation – 11.5% | ||
Antero Midstream Corp. | 169,086 | 958,718 |
Cheniere Energy, Inc. (a) | 133,124 | 6,586,975 |
Diamond S Shipping, Inc. (a) | 15,379 | 135,028 |
Dorian LPG Ltd. (a) | 23,865 | 203,807 |
50 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
OIL, GAS & CONSUMABLE FUELS – continued | ||
Oil & Gas Storage & Transportation – continued | ||
EnLink Midstream LLC | 156,392 | $ 383,160 |
Equitrans Midstream Corp. | 239,208 | 2,308,357 |
International Seaways, Inc. | 14,554 | 251,348 |
Kinder Morgan, Inc. | 1,186,748 | 16,733,147 |
ONEOK, Inc. | 255,746 | 7,137,871 |
Plains GP Holdings LP Class A | 101,856 | 808,737 |
Rattler Midstream LP | 25,529 | 200,913 |
Targa Resources Corp. | 135,704 | 2,480,669 |
The Williams Cos., Inc. | 705,855 | 13,503,006 |
51,691,736 | ||
TOTAL OIL, GAS & CONSUMABLE FUELS | 406,756,465 | |
TOTAL COMMON STOCKS (Cost $682,471,660) | 447,406,124 |
Money Market Fund – 0.2% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $910,000) | 910,000 | $ 910,000 |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $683,381,660) | 448,316,124 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,008,540 | |
NET ASSETS – 100.0% | $ 449,324,664 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Energy Select Sector Index Contracts | 50 | September 2020 | $1,861,500 | $(89,910) | $(89,910) |
51 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 447,406,124 | $ 447,406,124 | $ — | $ — | |||||
Money Market Funds | 910,000 | 910,000 | — | — | |||||
Total Investments in Securities: | $ 448,316,124 | $ 448,316,124 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (89,910) | $ (89,910) | $ — | $ — | |||||
Total Liabilities | $ (89,910) | $ (89,910) | $ — | $ — | |||||
Total Derivative Instruments: | $ (89,910) | $ (89,910) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(89,910) | |
Total Equity Risk | 0 | (89,910) | |
Total Value of Derivatives | $0 | $(89,910) |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
52 |
Table of Contents
Common Stocks – 99.7% | ||
Shares | Value | |
BANKS – 35.5% | ||
Diversified Banks – 22.7% | ||
Bank of America Corp. | 1,740,331 | $ 43,299,436 |
Citigroup, Inc. | 466,085 | 23,308,911 |
JPMorgan Chase & Co. | 681,719 | 65,881,324 |
Morgan Group Holding Co. (a) | 19 | 238 |
US Bancorp | 303,762 | 11,190,592 |
Wells Fargo & Co. | 862,781 | 20,931,067 |
164,611,568 | ||
Regional Banks – 12.8% | ||
1st Source Corp. | 4,266 | 141,290 |
Allegiance Bancshares, Inc. | 4,305 | 104,999 |
Altabancorp | 3,614 | 67,762 |
Amalgamated Bank Class A | 3,185 | 36,787 |
Amerant Bancorp, Inc. (a) | 4,836 | 64,561 |
Ameris Bancorp | 14,855 | 342,779 |
Arrow Financial Corp. | 3,362 | 91,783 |
Associated Banc-Corp | 35,305 | 453,316 |
Atlantic Capital Bancshares, Inc. (a) | 5,021 | 50,210 |
Atlantic Union Bankshares Corp. | 17,648 | 398,315 |
Banc of California, Inc. | 10,326 | 110,695 |
Bancfirst Corp. | 4,124 | 179,641 |
BancorpSouth Bank | 23,585 | 493,634 |
Bank First Corp. | 1,423 | 88,525 |
Bank of Hawaii Corp. | 8,923 | 505,309 |
Bank of Marin Bancorp | 2,896 | 90,963 |
Bank OZK | 27,762 | 667,676 |
BankUnited, Inc. | 21,343 | 429,848 |
Banner Corp. | 7,670 | 271,748 |
Bar Harbor Bankshares | 3,610 | 71,767 |
Berkshire Hills Bancorp, Inc. | 10,017 | 99,769 |
BOK Financial Corp. | 7,188 | 400,372 |
Boston Private Financial Holdings, Inc. | 14,797 | 87,080 |
Bridge Bancorp, Inc. | 3,815 | 69,013 |
Brookline Bancorp, Inc. | 18,515 | 177,651 |
Bryn Mawr Bank Corp. | 4,700 | 122,388 |
Byline Bancorp, Inc. | 5,541 | 71,811 |
Cadence BanCorp | 28,609 | 223,436 |
Camden National Corp. | 3,548 | 112,436 |
Capital City Bank Group, Inc. | 2,760 | 51,971 |
Cathay General Bancorp | 16,912 | 408,932 |
CBTX, Inc. | 4,460 | 70,423 |
Central Pacific Financial Corp. | 6,370 | 99,117 |
Century Bancorp, Inc. Class A | 730 | 50,837 |
CIT Group, Inc. | 21,904 | 415,519 |
Citizens Financial Group, Inc. | 95,239 | 2,362,880 |
City Holding Co. | 3,663 | 228,791 |
CNB Financial Corp. | 3,538 | 57,776 |
Columbia Banking System, Inc. | 16,209 | 468,926 |
Comerica, Inc. | 31,494 | 1,213,149 |
| ||
Shares | Value | |
Commerce Bancshares, Inc. | 22,469 | $ 1,286,575 |
Community Bank System, Inc. | 11,618 | 653,280 |
Community Trust Bancorp, Inc. | 3,610 | 110,502 |
ConnectOne Bancorp, Inc. | 7,864 | 108,445 |
CrossFirst Bankshares, Inc. (a) | 9,671 | 88,683 |
Cullen/Frost Bankers, Inc. | 13,302 | 958,542 |
Customers Bancorp, Inc. (a) | 6,827 | 80,900 |
CVB Financial Corp. | 30,056 | 543,112 |
Dime Community Bancshares, Inc. | 6,548 | 76,906 |
Eagle Bancorp, Inc. | 7,089 | 213,237 |
East West Bancorp, Inc. | 32,319 | 1,120,177 |
Enterprise Financial Services Corp. | 5,735 | 166,659 |
Equity Bancshares, Inc. Class A (a) | 3,426 | 48,444 |
FB Financial Corp. | 4,148 | 105,401 |
Fifth Third Bancorp | 157,973 | 3,137,344 |
Financial Institutions, Inc. | 3,423 | 50,558 |
First BanCorp | 48,840 | 265,690 |
First BanCorp/NC | 6,811 | 140,715 |
First Busey Corp. | 11,260 | 192,546 |
First Citizens BancShares, Inc. Class A | 1,163 | 495,287 |
First Commonwealth Financial Corp. | 21,930 | 172,589 |
First Community Bankshares, Inc. | 3,655 | 71,492 |
First Financial Bancorp | 22,331 | 310,736 |
First Financial Bankshares, Inc. | 28,520 | 853,318 |
First Financial Corp. | 2,715 | 90,762 |
First Foundation, Inc. | 8,761 | 134,657 |
First Hawaiian, Inc. | 29,114 | 506,001 |
First Horizon National Corp. | 123,526 | 1,145,086 |
First Interstate Bancsystem, Inc. Class A | 9,618 | 279,980 |
First Merchants Corp. | 12,539 | 306,328 |
First Mid-Illinois Bancshares, Inc. | 3,343 | 81,603 |
First Midwest Bancorp, Inc. | 25,990 | 315,389 |
First Republic Bank | 38,135 | 4,289,425 |
Flushing Financial Corp. | 4,763 | 52,774 |
FNB Corp. | 72,855 | 539,856 |
Franklin Financial Network, Inc. | 3,148 | 83,107 |
Fulton Financial Corp. | 35,274 | 342,158 |
German American Bancorp, Inc. | 5,735 | 163,103 |
Glacier Bancorp, Inc. | 20,281 | 716,122 |
Great Southern Bancorp, Inc. | 2,534 | 91,401 |
Great Western Bancorp, Inc. | 12,301 | 159,913 |
Hancock Whitney Corp. | 19,578 | 373,157 |
Hanmi Financial Corp. | 6,261 | 57,789 |
Harborone Bancorp, Inc. (a) | 11,712 | 101,426 |
Heartland Financial USA, Inc. | 7,553 | 235,956 |
Heritage Commerce Corp. | 11,008 | 74,634 |
Heritage Financial Corp. | 8,500 | 160,777 |
Hilltop Holdings, Inc. | 15,145 | 294,873 |
Home BancShares, Inc. | 35,215 | 575,061 |
53 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
BANKS – continued | ||
Regional Banks – continued | ||
HomeTrust Bancshares, Inc. | 3,914 | $ 56,440 |
Hope Bancorp, Inc. | 26,710 | 225,165 |
Horizon Bancorp, Inc. | 9,577 | 96,823 |
Huntington Bancshares, Inc. | 227,093 | 2,105,152 |
Independent Bank Corp. | 5,169 | 72,185 |
Independent Bank Corp./MA | 7,724 | 498,352 |
Independent Bank Group, Inc. | 8,135 | 357,371 |
International Bancshares Corp. | 12,412 | 377,573 |
Investors Bancorp, Inc. | 52,371 | 425,252 |
KeyCorp | 216,108 | 2,595,457 |
Lakeland Bancorp, Inc. | 11,255 | 114,576 |
Lakeland Financial Corp. | 5,735 | 253,831 |
Live Oak Bancshares, Inc. | 6,056 | 103,013 |
M&T Bank Corp. | 28,967 | 3,069,054 |
Mercantile Bank Corp. | 3,630 | 77,283 |
Midland States Bancorp, Inc. | 3,806 | 53,627 |
MidWestOne Financial Group, Inc. | 3,564 | 64,437 |
National Bank Holdings Corp. Class A | 6,836 | 189,904 |
NBT Bancorp, Inc. | 9,633 | 286,967 |
Nicolet Bankshares, Inc. (a) | 2,167 | 121,395 |
OceanFirst Financial Corp. | 13,109 | 200,830 |
OFG Bancorp | 11,919 | 155,900 |
Old National Bancorp | 34,350 | 480,556 |
Origin Bancorp, Inc. | 4,324 | 102,652 |
Pacific Premier Bancorp, Inc. | 18,923 | 397,572 |
PacWest Bancorp | 26,162 | 478,111 |
Park National Corp. | 3,124 | 267,914 |
Peapack-Gladstone Financial Corp. | 4,141 | 67,415 |
Peoples Bancorp, Inc. | 3,536 | 70,968 |
People's United Financial, Inc. | 98,153 | 1,059,071 |
Pinnacle Financial Partners, Inc. | 17,273 | 684,356 |
Popular, Inc. | 21,299 | 790,406 |
Preferred Bank | 3,431 | 127,805 |
Prosperity Bancshares, Inc. | 21,109 | 1,172,816 |
QCR Holdings, Inc. | 3,485 | 104,132 |
Regions Financial Corp. | 213,730 | 2,321,108 |
Renasant Corp. | 12,601 | 292,721 |
Republic Bancorp, Inc. Class A | 2,392 | 72,286 |
S&T Bancorp, Inc. | 8,308 | 178,622 |
Sandy Spring Bancorp, Inc. | 10,372 | 239,801 |
Seacoast Banking Corp. of Florida (a) | 12,004 | 226,635 |
ServisFirst Bancshares, Inc. | 10,314 | 377,389 |
Signature Bank | 11,890 | 1,219,082 |
Simmons First National Corp. Class A | 26,429 | 438,457 |
South State Corp. | 15,813 | 753,648 |
Southside Bancshares, Inc. | 7,200 | 199,440 |
Sterling Bancorp | 44,219 | 497,464 |
Stock Yards Bancorp, Inc. | 4,852 | 189,665 |
| ||
Shares | Value | |
SVB Financial Group (a) | 11,510 | $ 2,581,348 |
Synovus Financial Corp. | 32,819 | 661,303 |
TCF Financial Corp. | 34,090 | 937,134 |
Texas Capital Bancshares, Inc. (a) | 11,107 | 368,975 |
The Bancorp, Inc. (a) | 11,940 | 112,594 |
The First Bancshares, Inc. | 4,498 | 89,555 |
The First of Long Island Corp. | 5,314 | 79,232 |
The PNC Financial Services Group, Inc. | 96,411 | 10,284,161 |
Tompkins Financial Corp. | 3,015 | 194,558 |
Towne Bank | 16,351 | 288,432 |
Trico Bancshares | 6,317 | 176,876 |
TriState Capital Holdings, Inc. (a) | 5,571 | 73,816 |
Triumph Bancorp, Inc. (a) | 5,081 | 133,122 |
Truist Financial Corp. | 297,567 | 11,146,860 |
Trustmark Corp. | 13,497 | 303,952 |
UMB Financial Corp. | 10,501 | 522,950 |
Umpqua Holdings Corp. | 49,536 | 537,466 |
United Bankshares, Inc. | 28,950 | 761,964 |
United Community Banks, Inc. | 17,831 | 319,710 |
Univest Financial Corp. | 5,690 | 87,000 |
Valley National Bancorp | 85,265 | 636,930 |
Veritex Holdings, Inc. | 9,816 | 164,123 |
Washington Trust Bancorp, Inc. | 3,474 | 115,823 |
Webster Financial Corp. | 20,604 | 561,871 |
WesBanco, Inc. | 14,260 | 282,776 |
Westamerica BanCorp. | 6,150 | 371,214 |
Western Alliance Bancorp | 21,848 | 785,436 |
Wintrust Financial Corp. | 12,885 | 551,478 |
Zions Bancorp NA | 36,749 | 1,193,240 |
92,510,939 | ||
TOTAL BANKS | 257,122,507 | |
CAPITAL MARKETS – 27.0% | ||
Asset Management & Custody Banks – 9.8% | ||
Affiliated Managers Group, Inc. | 10,666 | 733,714 |
Ameriprise Financial, Inc. | 27,330 | 4,198,708 |
Apollo Global Management, Inc. | 38,604 | 1,895,456 |
Ares Management Corp. Class A | 19,819 | 791,571 |
Artisan Partners Asset Management, Inc. Class A | 12,331 | 446,752 |
Assetmark Financial Holdings, Inc. (a) | 3,743 | 104,243 |
Associated Capital Group, Inc. Class A | 861 | 34,819 |
BlackRock, Inc. | 33,752 | 19,407,737 |
Blucora, Inc. (a) | 9,307 | 109,730 |
Brightsphere Investment Group (a) | 15,511 | 208,468 |
Cohen & Steers, Inc. | 5,310 | 319,556 |
Diamond Hill Investment Group, Inc. | 678 | 77,312 |
Eaton Vance Corp. | 25,168 | 909,572 |
Federated Hermes, Inc. | 21,634 | 570,272 |
54 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
CAPITAL MARKETS – continued | ||
Asset Management & Custody Banks – continued | ||
Focus Financial Partners, Inc. Class A (a) | 6,007 | $ 221,959 |
Franklin Resources, Inc. | 66,037 | 1,390,079 |
Hamilton Lane, Inc. Class A | 5,315 | 383,956 |
Invesco Ltd. | 86,588 | 869,344 |
Janus Henderson Group PLC | 35,383 | 739,151 |
KKR & Co., Inc. Class A | 111,908 | 3,958,186 |
Legg Mason, Inc. | 19,300 | 964,807 |
Northern Trust Corp. | 43,982 | 3,445,990 |
SEI Investments Co. | 28,092 | 1,470,054 |
State Street Corp. | 78,298 | 4,994,629 |
T Rowe Price Group, Inc. | 52,280 | 7,219,868 |
The Bank of New York Mellon Corp. | 177,158 | 6,351,114 |
The Blackstone Group, Inc. Class A | 149,192 | 7,948,950 |
The Carlyle Group, Inc. | 31,036 | 883,595 |
Victory Capital Holdings, Inc. Class A | 3,768 | 66,882 |
Virtus Investment Partners, Inc. | 1,721 | 233,918 |
Waddell & Reed Financial, Inc. Class A | 14,358 | 209,483 |
WisdomTree Investments, Inc. | 28,974 | 104,306 |
71,264,181 | ||
Financial Exchanges & Data – 10.5% | ||
Cboe Global Markets, Inc | 24,378 | 2,137,951 |
CME Group, Inc. | 79,220 | 13,164,780 |
FactSet Research Systems, Inc. | 8,384 | 2,903,379 |
Intercontinental Exchange, Inc. | 122,322 | 11,838,323 |
MarketAxess Holdings, Inc. | 8,416 | 4,348,547 |
Moody's Corp. | 37,443 | 10,532,716 |
Morningstar, Inc. | 5,248 | 881,874 |
MSCI, Inc. | 18,747 | 7,048,497 |
Nasdaq, Inc. | 25,691 | 3,373,485 |
S&P Global, Inc. | 54,010 | 18,917,002 |
Tradeweb Markets, Inc. Class A | 18,029 | 974,828 |
76,121,382 | ||
Investment Banking & Brokerage – 6.7% | ||
B Riley Financial, Inc. | 3,411 | 87,015 |
BGC Partners, Inc. Class A | 60,943 | 168,812 |
Cowen, Inc. Class A | 6,015 | 99,067 |
E*TRADE Financial Corp. | 49,279 | 2,501,895 |
Evercore Partners, Inc. Class A | 9,057 | 500,852 |
Freedom Holding Corp. (a) | 3,901 | 75,289 |
Houlihan Lokey, Inc. | 9,800 | 537,040 |
Interactive Brokers Group, Inc. Class A | 15,907 | 788,987 |
LPL Financial Holdings, Inc. | 17,739 | 1,401,736 |
Moelis & Co. Class A | 11,836 | 352,594 |
Morgan Stanley | 265,920 | 12,998,170 |
Piper Sandler Cos. | 3,664 | 226,838 |
PJT Partners, Inc. Class A | 4,375 | 234,194 |
| ||
Shares | Value | |
Raymond James Financial, Inc. | 27,684 | $ 1,923,484 |
Stifel Financial Corp. | 15,338 | 743,586 |
StoneX Group, Inc. (a) | 3,764 | 197,535 |
TD Ameritrade Holding Corp. | 59,709 | 2,142,956 |
The Charles Schwab Corp. | 255,761 | 8,478,477 |
The Goldman Sachs Group, Inc. | 72,683 | 14,388,327 |
Virtu Financial, Inc. Class A | 13,116 | 325,277 |
48,172,131 | ||
TOTAL CAPITAL MARKETS | 195,557,694 | |
CONSUMER FINANCE – 4.7% | ||
Consumer Finance – 4.7% | ||
Ally Financial, Inc. | 83,570 | 1,679,757 |
American Express Co. | 152,333 | 14,215,716 |
Capital One Financial Corp. | 101,851 | 6,498,094 |
Credit Acceptance Corp. (a) | 2,226 | 1,041,634 |
Discover Financial Services | 68,700 | 3,395,841 |
Encore Capital Group, Inc. (a) | 6,234 | 227,728 |
Enova International, Inc. (a) | 7,828 | 125,953 |
Ezcorp, Inc. Class A (a) | 11,750 | 67,210 |
FirstCash, Inc. | 9,358 | 539,395 |
Green Dot Corp. Class A (a) | 11,139 | 564,636 |
LendingClub Corp. (a) | 12,508 | 65,292 |
LendingTree, Inc. (a) | 1,762 | 610,163 |
Navient Corp. | 43,079 | 342,909 |
Nelnet, Inc. Class A | 4,464 | 258,912 |
OneMain Holdings, Inc. | 18,370 | 527,219 |
PRA Group, Inc. (a) | 10,189 | 403,077 |
SLM Corp. | 84,442 | 571,672 |
Synchrony Financial | 123,025 | 2,722,543 |
World Acceptance Corp. (a) | 1,338 | 99,413 |
TOTAL CONSUMER FINANCE | 33,957,164 | |
DIVERSIFIED FINANCIAL SERVICES – 9.0% | ||
Multi-Sector Holdings – 8.5% | ||
Berkshire Hathaway, Inc. Class B (a) | 307,410 | 60,184,730 |
Cannae Holdings, Inc. (a) | 18,123 | 682,874 |
Jefferies Financial Group, Inc. | 50,335 | 815,427 |
61,683,031 | ||
Other Diversified Financial Services – 0.5% | ||
Equitable Holdings, Inc. | 92,476 | 1,892,059 |
Voya Financial, Inc. | 29,257 | 1,445,296 |
3,337,355 | ||
Specialized Finance – 0.0% | ||
NewStar Financial, Inc. (b) | 6,699 | 0 |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 65,020,386 | |
INSURANCE – 20.9% | ||
Insurance Brokers – 5.1% | ||
Aon PLC Class A | 51,201 | 10,507,469 |
55 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INSURANCE – continued | ||
Insurance Brokers – continued | ||
Arthur J Gallagher & Co. | 41,942 | $ 4,508,346 |
Brown & Brown, Inc. | 53,327 | 2,424,779 |
Crawford & Co. Class A | 4,035 | 29,577 |
eHealth, Inc. (a) | 4,596 | 317,767 |
Goosehead Insurance, Inc. Class A (a) | 3,050 | 315,156 |
Marsh & McLennan Cos., Inc. | 111,569 | 13,008,945 |
Willis Towers Watson PLC | 28,470 | 5,978,985 |
37,091,024 | ||
Life & Health Insurance – 4.0% | ||
Aflac, Inc. | 151,151 | 5,376,441 |
American Equity Investment Life Holding Co. | 20,458 | 520,656 |
Athene Holding Ltd. Class A (a) | 31,756 | 1,024,131 |
Brighthouse Financial, Inc. (a) | 23,079 | 654,059 |
Citizens, Inc. (a) | 10,159 | 58,313 |
CNO Financial Group, Inc. | 32,591 | 492,124 |
FBL Financial Group, Inc. Class A | 2,156 | 74,986 |
Genworth Financial, Inc. Class A (a) | 110,800 | 226,032 |
Globe Life, Inc. | 22,514 | 1,792,114 |
Independence Holding Co. | 1,281 | 42,350 |
Lincoln National Corp. | 43,041 | 1,604,138 |
MetLife, Inc. | 172,188 | 6,517,316 |
National Western Life Group, Inc. Class A | 555 | 108,108 |
Primerica, Inc. | 9,245 | 1,106,257 |
Principal Financial Group, Inc. | 61,016 | 2,588,909 |
Prudential Financial, Inc. | 87,558 | 5,548,550 |
Trupanion, Inc. (a) | 6,738 | 340,741 |
Unum Group | 44,292 | 763,151 |
28,838,376 | ||
Multi-line Insurance – 1.8% | ||
American Financial Group, Inc. | 16,968 | 1,031,145 |
American International Group, Inc. | 193,017 | 6,203,566 |
American National Group, Inc. | 1,753 | 129,108 |
Assurant, Inc. | 13,332 | 1,432,790 |
Horace Mann Educators Corp. | 9,115 | 342,542 |
National General Holdings Corp. | 15,443 | 524,908 |
The Hartford Financial Services Group, Inc. | 79,490 | 3,364,017 |
Watford Holdings Ltd. (a) | 3,746 | 61,472 |
13,089,548 | ||
Property & Casualty Insurance – 9.0% | ||
Ambac Financial Group, Inc. (a) | 10,382 | 132,890 |
AMERISAFE, Inc. | 4,301 | 272,941 |
Arch Capital Group Ltd. (a) | 90,375 | 2,779,031 |
Argo Group International Holdings Ltd. | 6,857 | 229,778 |
Assured Guaranty Ltd. | 20,346 | 444,153 |
| ||
Shares | Value | |
Axis Capital Holdings Ltd. | 19,615 | $ 786,954 |
Chubb Ltd. | 100,286 | 12,760,391 |
Cincinnati Financial Corp. | 34,254 | 2,669,414 |
Donegal Group, Inc. Class A | 3,199 | 44,722 |
Employers Holdings, Inc. | 7,038 | 228,876 |
Erie Indemnity Co. Class A | 5,642 | 1,185,497 |
Fidelity National Financial, Inc. | 61,354 | 1,985,415 |
First American Financial Corp. | 25,068 | 1,278,719 |
Global Indemnity Ltd. | 1,703 | 38,914 |
HCI Group, Inc. | 1,485 | 66,261 |
Heritage Insurance Holdings, Inc. | 6,011 | 71,351 |
James River Group Holdings Ltd. | 6,946 | 321,739 |
Kemper Corp. | 14,113 | 1,108,153 |
Kinsale Capital Group, Inc. | 4,718 | 919,538 |
Loews Corp. | 56,498 | 2,057,092 |
Markel Corp. (a) | 3,072 | 3,208,827 |
MBIA, Inc. (a) | 16,009 | 128,232 |
Mercury General Corp. | 6,148 | 263,811 |
Old Republic International Corp. | 64,356 | 1,034,201 |
Palomar Holdings, Inc. (a) | 3,839 | 350,654 |
ProAssurance Corp. | 11,996 | 176,341 |
ProSight Global, Inc. (a) | 2,357 | 18,526 |
RLI Corp. | 9,009 | 793,963 |
Safety Insurance Group, Inc. | 3,241 | 245,246 |
Selective Insurance Group, Inc. | 13,187 | 716,582 |
State Auto Financial Corp. | 3,389 | 52,563 |
Stewart Information Services Corp. | 5,431 | 227,830 |
The Allstate Corp. | 70,056 | 6,612,586 |
The Hanover Insurance Group, Inc. | 8,567 | 872,806 |
The Progressive Corp. | 129,601 | 11,708,154 |
The Travelers Cos., Inc. | 56,823 | 6,501,688 |
United Fire Group, Inc. | 4,527 | 114,850 |
United Insurance Holdings Corp. | 3,512 | 25,989 |
Universal Insurance Holdings, Inc. | 6,421 | 112,432 |
White Mountains Insurance Group Ltd. | 702 | 617,851 |
WR Berkley Corp. | 32,695 | 2,018,916 |
65,183,877 | ||
Reinsurance – 1.0% | ||
Alleghany Corp. | 3,147 | 1,643,741 |
Enstar Group Ltd. (a) | 2,634 | 442,380 |
Everest Re Group Ltd. | 9,093 | 1,989,457 |
Greenlight Capital Re Ltd. Class A (a) | 4,704 | 30,388 |
Reinsurance Group of America, Inc. | 14,765 | 1,258,716 |
RenaissanceRe Holdings Ltd. | 11,231 | 2,025,848 |
Third Point Reinsurance Ltd. (a) | 17,929 | 139,667 |
7,530,197 | ||
TOTAL INSURANCE | 151,733,022 |
56 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.5% | ||
Mortgage REITs – 1.5% | ||
AGNC Investment Corp. | 119,999 | $ 1,631,986 |
Annaly Capital Management, Inc. | 317,670 | 2,353,935 |
Apollo Commercial Real Estate Finance, Inc. | 32,929 | 306,240 |
Arbor Realty Trust, Inc. | 23,880 | 243,337 |
Ares Commercial Real Estate Corp. | 7,435 | 67,882 |
ARMOUR Residential REIT, Inc. | 13,385 | 125,016 |
Blackstone Mortgage Trust, Inc. Class A | 28,654 | 689,702 |
Broadmark Realty Capital, Inc. | 27,942 | 257,625 |
Capstead Mortgage Corp. | 21,967 | 135,097 |
Chimera Investment Corp. | 42,433 | 381,473 |
Colony Credit Real Estate, Inc. | 18,869 | 118,875 |
Dynex Capital, Inc. | 5,540 | 85,593 |
Ellington Financial, Inc. | 9,580 | 112,661 |
Granite Point Mortgage Trust, Inc. | 12,501 | 84,882 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 15,159 | 531,020 |
Invesco Mortgage Capital, Inc. | 41,860 | 128,510 |
KKR Real Estate Finance Trust, Inc. | 7,042 | 117,249 |
Ladder Capital Corp. | 23,035 | 178,982 |
MFA Financial, Inc. | 104,245 | 274,164 |
New Residential Investment Corp. | 92,309 | 732,010 |
New York Mortgage Trust, Inc. | 86,480 | 226,578 |
PennyMac Mortgage Investment Trust | 22,354 | 421,373 |
Ready Capital Corp. | 9,467 | 75,925 |
Redwood Trust, Inc. | 25,356 | 180,788 |
Starwood Property Trust, Inc. | 63,154 | 944,152 |
TPG RE Finance Trust, Inc. | 10,139 | 88,006 |
Two Harbors Investment Corp. | 59,830 | 324,877 |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 10,817,938 | |
THRIFTS & MORTGAGE FINANCE – 1.1% | ||
Thrifts & Mortgage Finance – 1.1% | ||
Axos Financial, Inc. (a) | 12,114 | 271,475 |
Capitol Federal Financial, Inc. | 29,771 | 287,290 |
Columbia Financial, Inc. (a) | 11,406 | 137,214 |
Essent Group Ltd. | 23,027 | 825,057 |
Federal Agricultural Mortgage Corp. Class C | 2,130 | 126,756 |
Flagstar Bancorp, Inc. | 8,340 | 261,709 |
HomeStreet, Inc. | 5,297 | 140,053 |
| ||
Shares | Value | |
Kearny Financial Corp. | 17,903 | $ 143,940 |
Luther Burbank Corp. | 4,151 | 39,725 |
Merchants Bancorp | 2,016 | 37,155 |
Meridian Bancorp, Inc. | 10,705 | 122,091 |
Meta Financial Group, Inc. | 7,323 | 136,647 |
MGIC Investment Corp. | 77,461 | 640,602 |
Mr. Cooper Group, Inc. (a) | 16,517 | 269,723 |
New York Community Bancorp, Inc. | 109,182 | 1,149,686 |
NMI Holdings, Inc. Class A (a) | 18,257 | 283,349 |
Northfield Bancorp, Inc. | 9,422 | 90,545 |
Northwest Bancshares, Inc. | 27,967 | 275,475 |
PennyMac Financial Services, Inc. | 14,057 | 678,391 |
Premier Financial Corp. | 8,794 | 155,478 |
Provident Financial Services, Inc. | 15,669 | 213,882 |
Radian Group, Inc. | 45,119 | 673,176 |
TFS Financial Corp. | 12,556 | 181,811 |
TrustCo Bank Corp. | 21,777 | 126,089 |
Walker & Dunlop, Inc. | 6,586 | 332,000 |
Washington Federal, Inc. | 17,395 | 405,999 |
Waterstone Financial, Inc. | 5,814 | 88,838 |
WSFS Financial Corp. | 11,490 | 327,810 |
TOTAL THRIFTS & MORTGAGE FINANCE | 8,421,966 | |
TOTAL COMMON STOCKS (Cost $851,640,291) | 722,630,677 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (c) (Cost $1,379,000) | 1,379,000 | 1,379,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $853,019,291) | 724,009,677 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,049,357 | |
NET ASSETS – 100.0% | $ 725,059,034 |
Legend | ||
(a) | Non-income producing. | |
(b) | Level 3 security. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
57 |
Table of Contents
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts | 4 | September 2020 | $ 295,560 | $ 1,462 | $ 1,462 |
CME E-mini S&P Financial Select Sector Index Contracts | 40 | September 2020 | 2,952,000 | 51,505 | 51,505 |
Total Equity Index Contracts | $ 52,967 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 722,630,677 | $ 722,630,677 | $ — | $ — | |||||
Money Market Funds | 1,379,000 | 1,379,000 | — | — | |||||
Total Investments in Securities: | $ 724,009,677 | $ 724,009,677 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 52,967 | $ 52,967 | $ — | $ — | |||||
Total Assets | $ 52,967 | $ 52,967 | $ — | $ — | |||||
Total Derivative Instruments: | $ 52,967 | $ 52,967 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $52,967 | $0 | |
Total Equity Risk | 52,967 | 0 | |
Total Value of Derivatives | $52,967 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
58 |
Table of Contents
Common Stocks – 99.7% | ||
Shares | Value | |
BIOTECHNOLOGY – 20.1% | ||
Biotechnology – 20.1% | ||
AbbVie, Inc. | 748,805 | $ 71,069,083 |
ACADIA Pharmaceuticals, Inc. (a) | 49,556 | 2,060,043 |
Acceleron Pharma, Inc. (a) | 19,284 | 1,912,394 |
Adverum Biotechnologies, Inc. (a) | 25,513 | 427,853 |
Agenus, Inc. (a) | 44,431 | 135,070 |
Agios Pharmaceuticals, Inc. (a) | 26,036 | 1,179,952 |
Aimmune Therapeutics, Inc. (a) | 17,664 | 233,341 |
Akcea Therapeutics, Inc. (a) | 8,273 | 89,679 |
Akebia Therapeutics, Inc. (a) | 48,083 | 537,087 |
Akero Therapeutics, Inc. (a) | 6,453 | 226,565 |
Alder Biopharmaceuticals, Inc. (a)(b) | 22,547 | 19,841 |
Alector, Inc. (a) | 18,527 | 290,318 |
Alexion Pharmaceuticals, Inc. (a) | 93,842 | 9,617,867 |
Alkermes PLC (a) | 67,112 | 1,208,687 |
Allakos, Inc. (a) | 10,264 | 770,518 |
Allogene Therapeutics, Inc. (a) | 23,925 | 877,330 |
Alnylam Pharmaceuticals, Inc. (a) | 47,732 | 6,957,416 |
Amgen, Inc. | 250,058 | 61,181,691 |
Amicus Therapeutics, Inc. (a) | 108,376 | 1,566,033 |
AnaptysBio, Inc. (a) | 10,249 | 184,072 |
Anika Therapeutics, Inc. (a) | 6,326 | 230,266 |
Apellis Pharmaceuticals, Inc. (a) | 25,681 | 664,881 |
Applied Therapeutics, Inc. (a) | 5,624 | 145,099 |
Aprea Therapeutics, Inc. (a) | 4,041 | 110,845 |
Arcturus Therapeutics Holdings, Inc. (a) | 8,090 | 422,541 |
Arcus Biosciences, Inc. (a) | 15,720 | 309,370 |
Arcutis Biotherapeutics, Inc. (a) | 4,061 | 108,429 |
Ardelyx, Inc. (a) | 24,874 | 140,538 |
Arena Pharmaceuticals, Inc. (a) | 23,661 | 1,452,549 |
Arrowhead Pharmaceuticals, Inc. (a) | 41,084 | 1,769,488 |
Assembly Biosciences, Inc. (a) | 12,995 | 288,489 |
Atara Biotherapeutics, Inc. (a) | 28,930 | 358,443 |
Athenex, Inc. (a) | 17,788 | 188,731 |
Athersys, Inc. (a) | 79,597 | 203,768 |
Atreca, Inc. Class A (a) | 5,183 | 67,120 |
Avrobio, Inc. (a) | 11,623 | 197,010 |
Beam Therapeutics, Inc. (a) | 5,523 | 106,815 |
BioCryst Pharmaceuticals, Inc. (a) | 73,515 | 299,206 |
Biogen, Inc. (a) | 73,797 | 20,271,298 |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 21,077 | 1,349,771 |
BioMarin Pharmaceutical, Inc. (a) | 76,245 | 9,134,913 |
BioSpecifics Technologies Corp. (a) | 2,287 | 143,303 |
Bioxcel Therapeutics, Inc. (a) | 6,146 | 278,783 |
Black Diamond Therapeutics, Inc. (a) | 3,827 | 106,467 |
Bluebird Bio, Inc. (a) | 27,523 | 1,670,646 |
Blueprint Medicines Corp. (a) | 21,836 | 1,597,958 |
Calithera Biosciences, Inc. (a) | 20,878 | 98,127 |
| ||
Shares | Value | |
CareDx, Inc. (a) | 16,711 | $ 557,312 |
Castle Biosciences, Inc. (a) | 3,297 | 127,660 |
Catalyst Pharmaceuticals, Inc. (a) | 39,121 | 168,220 |
CEL-SCI Corp. (a) | 15,144 | 189,451 |
ChemoCentryx, Inc. (a) | 17,346 | 914,308 |
Clovis Oncology, Inc. (a) | 35,602 | 206,136 |
Coherus Biosciences, Inc. (a) | 23,865 | 419,785 |
Constellation Pharmaceuticals, Inc. (a) | 9,792 | 263,307 |
Corbus Pharmaceuticals Holdings, Inc. (a) | 27,822 | 174,444 |
Cortexyme, Inc. (a) | 6,270 | 249,859 |
Crinetics Pharmaceuticals, Inc. (a) | 6,777 | 94,065 |
CRISPR Therapeutics AG (a) | 21,732 | 1,857,217 |
Cue Biopharma, Inc. (a) | 9,065 | 171,419 |
Cytokinetics, Inc. (a) | 25,322 | 547,462 |
CytomX Therapeutics, Inc. (a) | 17,386 | 121,876 |
Deciphera Pharmaceuticals, Inc. (a) | 15,001 | 695,596 |
Denali Therapeutics, Inc. (a) | 33,644 | 787,942 |
Dicerna Pharmaceuticals, Inc. (a) | 26,666 | 573,319 |
Dynavax Technologies Corp. (a) | 40,653 | 329,696 |
Eagle Pharmaceuticals, Inc. (a) | 4,644 | 215,435 |
Editas Medicine, Inc. (a) | 25,806 | 757,664 |
Eidos Therapeutics, Inc. (a) | 4,099 | 164,370 |
Emergent BioSolutions, Inc. (a) | 18,815 | 2,092,981 |
Enanta Pharmaceuticals, Inc. (a) | 7,208 | 330,487 |
Epizyme, Inc. (a) | 30,001 | 415,214 |
Esperion Therapeutics, Inc. (a) | 10,838 | 407,834 |
Exact Sciences Corp. (a) | 62,715 | 5,942,246 |
Exelixis, Inc. (a) | 129,890 | 2,999,160 |
Fate Therapeutics, Inc. (a) | 25,725 | 804,421 |
FibroGen, Inc. (a) | 33,402 | 1,351,779 |
Flexion Therapeutics, Inc. (a) | 18,149 | 246,282 |
G1 Therapeutics, Inc. (a) | 10,988 | 161,194 |
Geron Corp. (a) | 130,626 | 207,695 |
Gilead Sciences, Inc. | 535,738 | 37,249,863 |
Global Blood Therapeutics, Inc. (a) | 23,284 | 1,571,204 |
Gossamer Bio, Inc. (a) | 22,490 | 268,081 |
Halozyme Therapeutics, Inc. (a) | 55,848 | 1,518,507 |
Heron Therapeutics, Inc. (a) | 36,382 | 592,663 |
Homology Medicines, Inc. (a) | 10,307 | 135,537 |
IGM Biosciences, Inc. (a) | 3,087 | 155,153 |
ImmunoGen, Inc. (a) | 73,460 | 301,921 |
Immunomedics, Inc. (a) | 77,360 | 3,266,913 |
Immunovant, Inc. (a) | 9,858 | 222,889 |
Incyte Corp. (a) | 78,119 | 7,715,032 |
Inovio Pharmaceuticals, Inc. (a) | 62,140 | 1,208,002 |
Insmed, Inc. (a) | 42,491 | 1,109,865 |
Intellia Therapeutics, Inc. (a) | 16,655 | 296,626 |
Intercept Pharmaceuticals, Inc. (a) | 11,044 | 504,048 |
Invitae Corp. (a) | 48,630 | 1,419,996 |
Ionis Pharmaceuticals, Inc. (a) | 56,505 | 3,252,428 |
59 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
BIOTECHNOLOGY – continued | ||
Biotechnology – continued | ||
Iovance Biotherapeutics, Inc. (a) | 45,576 | $ 1,324,894 |
Ironwood Pharmaceuticals, Inc. (a) | 63,921 | 586,156 |
Kadmon Holdings, Inc. (a) | 51,054 | 186,858 |
Karuna Therapeutics, Inc. (a) | 5,009 | 409,736 |
Karyopharm Therapeutics, Inc. (a) | 19,516 | 313,232 |
Kiniksa Pharmaceuticals Ltd. Class A (a) | 9,958 | 194,380 |
Kodiak Sciences, Inc. (a) | 9,446 | 437,633 |
Krystal Biotech, Inc. (a) | 5,415 | 223,585 |
Kura Oncology, Inc. (a) | 21,007 | 345,355 |
Ligand Pharmaceuticals, Inc. (a) | 7,020 | 822,604 |
MacroGenics, Inc. (a) | 20,044 | 509,118 |
Madrigal Pharmaceuticals, Inc. (a) | 4,263 | 437,426 |
MeiraGTx Holdings PLC (a) | 6,714 | 87,215 |
Mersana Therapeutics, Inc. (a) | 18,830 | 374,340 |
Merus N.V. (a) | 6,800 | 93,092 |
Mirati Therapeutics, Inc. (a) | 12,019 | 1,458,025 |
Moderna, Inc. (a) | 115,303 | 8,543,952 |
Molecular Templates, Inc. (a) | 8,751 | 95,998 |
Momenta Pharmaceuticals, Inc. (a) | 47,381 | 1,397,266 |
Myovant Sciences Ltd. (a) | 15,272 | 232,134 |
Myriad Genetics, Inc. (a) | 31,860 | 384,550 |
Natera, Inc. (a) | 28,205 | 1,354,404 |
Neoleukin Therapeutics, Inc. (a) | 11,455 | 110,884 |
Neurocrine Biosciences, Inc. (a) | 37,136 | 4,469,689 |
NextCure, Inc. (a) | 5,279 | 47,089 |
Novavax, Inc. (a) | 21,941 | 3,139,757 |
Opko Health, Inc. (a) | 184,048 | 947,847 |
Passage Bio, Inc. (a) | 5,856 | 91,588 |
PDL BioPharma, Inc. (a) | 45,014 | 143,145 |
Preciden, Inc. (a) | 25,938 | 109,199 |
Precision BioSciences, Inc. (a) | 15,327 | 97,480 |
Principia Biopharma, Inc. (a) | 10,456 | 874,122 |
Prothena Corp. PLC (a) | 11,025 | 134,946 |
PTC Therapeutics, Inc. (a) | 23,481 | 1,087,875 |
Puma Biotechnology, Inc. (a) | 14,126 | 145,639 |
Radius Health, Inc. (a) | 19,047 | 239,040 |
Regeneron Pharmaceuticals, Inc. (a) | 42,764 | 27,029,841 |
REGENXBIO, Inc. (a) | 13,429 | 444,500 |
Replimune Group, Inc. (a) | 4,687 | 93,599 |
Retrophin, Inc. (a) | 14,669 | 291,620 |
REVOLUTION Medicines, Inc. (a) | 6,889 | 166,163 |
Rhythm Pharmaceuticals, Inc. (a) | 10,275 | 197,485 |
Rigel Pharmaceuticals, Inc. (a) | 74,435 | 171,200 |
Rocket Pharmaceuticals, Inc. (a) | 12,808 | 301,372 |
Rubius Therapeutics, Inc. (a) | 13,539 | 66,476 |
Sage Therapeutics, Inc. (a) | 21,958 | 1,000,626 |
Sangamo Therapeutics, Inc. (a) | 49,285 | 533,757 |
Sarepta Therapeutics, Inc. (a) | 31,309 | 4,806,558 |
| ||
Shares | Value | |
Scholar Rock Holding Corp. (a) | 7,989 | $ 90,196 |
Seattle Genetics, Inc. (a) | 51,122 | 8,500,055 |
Sorrento Therapeutics, Inc. (a) | 50,201 | 447,793 |
Spectrum Pharmaceuticals, Inc. (a) | 44,522 | 133,121 |
SpringWorks Therapeutics, Inc. (a) | 5,503 | 234,593 |
Stoke Therapeutics, Inc. (a) | 3,544 | 89,273 |
TG Therapeutics, Inc. (a) | 33,491 | 655,754 |
Translate Bio, Inc. (a) | 17,445 | 264,990 |
Turning Point Therapeutics, Inc. (a) | 14,052 | 832,300 |
Twist Bioscience Corp. (a) | 12,115 | 678,925 |
Ultragenyx Pharmaceutical, Inc. (a) | 23,362 | 1,825,974 |
uniQure N.V. (a) | 13,913 | 580,589 |
United Therapeutics Corp. (a) | 18,667 | 2,080,810 |
Vanda Pharmaceuticals, Inc. (a) | 22,819 | 230,016 |
Veracyte, Inc. (a) | 20,437 | 728,988 |
Verastem, Inc. (a) | 47,286 | 63,363 |
Vericel Corp. (a) | 16,717 | 275,663 |
Vertex Pharmaceuticals, Inc. (a) | 109,921 | 29,898,512 |
Viking Therapeutics, Inc. (a) | 28,387 | 199,277 |
Voyager Therapeutics, Inc. (a) | 10,120 | 112,028 |
XBiotech, Inc. (a) | 6,208 | 90,264 |
Xencor, Inc. (a) | 21,723 | 653,645 |
Xenon Pharmaceuticals, Inc. (a) | 11,926 | 130,351 |
Y-mAbs Therapeutics, Inc. (a) | 8,322 | 292,352 |
ZIOPHARM Oncology, Inc. (a) | 89,978 | 267,235 |
Zymeworks, Inc. (a) | 14,561 | 444,547 |
TOTAL BIOTECHNOLOGY | 403,948,322 | |
HEALTH CARE EQUIPMENT & SUPPLIES – 25.6% | ||
Health Care Equipment – 23.4% | ||
Abbott Laboratories | 747,634 | 75,241,886 |
ABIOMED, Inc. (a) | 19,091 | 5,726,154 |
Accelerate Diagnostics, Inc. (a) | 12,977 | 188,556 |
AngioDynamics, Inc. (a) | 15,529 | 128,270 |
AtriCure, Inc. (a) | 18,651 | 761,147 |
AxoGen, Inc. (a) | 14,807 | 168,356 |
Axonics Modulation Technologies, Inc. (a) | 9,165 | 388,229 |
Baxter International, Inc. | 216,458 | 18,697,642 |
Becton Dickinson and Co. | 114,968 | 32,345,097 |
Boston Scientific Corp. (a) | 591,938 | 22,831,049 |
Cantel Medical Corp. | 16,466 | 778,018 |
Cardiovascular Systems, Inc. (a) | 16,537 | 504,048 |
Co-Diagnostics, Inc. (a) | 10,514 | 252,336 |
CONMED Corp. | 12,116 | 1,000,055 |
CryoLife, Inc. (a) | 16,386 | 318,052 |
CryoPort, Inc. (a) | 15,237 | 504,954 |
Danaher Corp. | 265,662 | 54,141,916 |
DexCom, Inc. (a) | 38,832 | 16,912,889 |
Edwards Lifesciences Corp. (a) | 265,981 | 20,855,570 |
Envista Holdings Corp. (a) | 67,716 | 1,480,949 |
60 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE EQUIPMENT & SUPPLIES – continued | ||
Health Care Equipment – continued | ||
GenMark Diagnostics, Inc. (a) | 26,657 | $ 476,094 |
Glaukos Corp. (a) | 16,687 | 729,222 |
Globus Medical, Inc. Class A (a) | 32,917 | 1,585,941 |
Heska Corp. (a) | 3,177 | 305,691 |
Hill-Rom Holdings, Inc. | 28,493 | 2,770,089 |
Hologic, Inc. (a) | 111,630 | 7,789,541 |
IDEXX Laboratories, Inc. (a) | 36,171 | 14,387,015 |
Inogen, Inc. (a) | 7,988 | 245,232 |
Insulet Corp. (a) | 26,652 | 5,419,951 |
Integer Holdings Corp. (a) | 13,954 | 917,755 |
Integra LifeSciences Holdings Corp. (a) | 30,525 | 1,457,569 |
Intuitive Surgical, Inc. (a) | 49,173 | 33,705,141 |
iRhythm Technologies, Inc. (a) | 11,224 | 1,397,163 |
LeMaitre Vascular, Inc. | 7,489 | 219,652 |
LivaNova PLC (a) | 20,584 | 957,979 |
Masimo Corp. (a) | 21,789 | 4,796,195 |
Medtronic PLC | 568,446 | 54,843,670 |
Mesa Laboratories, Inc. | 2,007 | 475,539 |
Natus Medical, Inc. (a) | 14,525 | 269,874 |
Nevro Corp. (a) | 12,854 | 1,709,068 |
Novocure Ltd. (a) | 36,025 | 2,730,335 |
NuVasive, Inc. (a) | 22,135 | 1,264,794 |
Orthofix Medical, Inc. (a) | 7,463 | 229,189 |
Penumbra, Inc. (a) | 14,167 | 3,143,799 |
Repro-Med Systems, Inc. (a) | 11,000 | 114,730 |
ResMed, Inc. | 61,313 | 12,416,496 |
Shockwave Medical, Inc. (a) | 10,480 | 516,874 |
Steris PLC | 35,949 | 5,738,539 |
Stryker Corp. | 142,926 | 27,627,596 |
Surmodics, Inc. (a) | 5,718 | 270,404 |
Tactile Systems Technology, Inc. (a) | 8,144 | 333,741 |
Tandem Diabetes Care, Inc. (a) | 24,138 | 2,521,455 |
Teleflex, Inc. | 19,657 | 7,334,027 |
Vapotherm, Inc. (a) | 4,050 | 211,572 |
Varex Imaging Corp. (a) | 16,273 | 255,161 |
Varian Medical Systems, Inc. (a) | 38,403 | 5,480,876 |
ViewRay, Inc. (a) | 37,243 | 103,163 |
Wright Medical Group N.V. (a) | 54,760 | 1,643,895 |
Zimmer Biomet Holdings, Inc. | 87,489 | 11,798,766 |
Zynex, Inc. (a) | 7,772 | 148,601 |
471,567,567 | ||
Health Care Supplies – 2.2% | ||
Align Technology, Inc. (a) | 31,743 | 9,326,728 |
Antares Pharma, Inc. (a) | 65,005 | 169,663 |
Atrion Corp. | 627 | 388,803 |
Avanos Medical, Inc. (a) | 19,969 | 612,449 |
Cerus Corp. (a) | 68,432 | 487,920 |
DENTSPLY SIRONA, Inc. | 94,172 | 4,200,071 |
| ||
Shares | Value | |
Haemonetics Corp. (a) | 21,392 | $ 1,875,223 |
ICU Medical, Inc. (a) | 8,352 | 1,534,513 |
Lantheus Holdings, Inc. (a) | 16,477 | 222,110 |
Meridian Bioscience, Inc. (a) | 17,790 | 435,677 |
Merit Medical Systems, Inc. (a) | 21,134 | 945,113 |
Neogen Corp. (a) | 22,420 | 1,721,183 |
OraSure Technologies, Inc. (a) | 25,872 | 469,577 |
OrthoPediatrics Corp. (a) | 4,584 | 193,399 |
Quidel Corp. (a) | 15,938 | 4,502,007 |
Quotient Ltd. (a) | 25,613 | 200,806 |
SI-BONE, Inc. (a) | 9,077 | 155,217 |
Silk Road Medical, Inc. (a) | 11,438 | 531,409 |
SmileDirectClub, Inc. (a) | 24,251 | 204,921 |
STAAR Surgical Co. (a) | 14,392 | 837,470 |
The Cooper Cos., Inc. | 20,845 | 5,897,676 |
West Pharmaceutical Services, Inc. | 31,305 | 8,416,975 |
43,328,910 | ||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 514,896,477 | |
HEALTH CARE PROVIDERS & SERVICES – 17.5% | ||
Health Care Distributors – 1.5% | ||
AmerisourceBergen Corp. | 65,468 | 6,559,239 |
Cardinal Health, Inc. | 123,706 | 6,756,822 |
Covetrus, Inc. (a) | 42,392 | 939,407 |
Henry Schein, Inc. (a) | 60,670 | 4,169,849 |
McKesson Corp. | 68,512 | 10,287,762 |
Owens & Minor, Inc. | 24,445 | 393,075 |
Patterson Cos., Inc. | 36,893 | 979,878 |
PetIQ, Inc. (a) | 8,675 | 316,551 |
30,402,583 | ||
Health Care Facilities – 1.3% | ||
Acadia Healthcare Co., Inc. (a) | 33,899 | 1,010,529 |
Brookdale Senior Living, Inc. (a) | 71,010 | 196,698 |
Community Health Systems, Inc. (a) | 39,937 | 198,886 |
Encompass Health Corp. | 41,941 | 2,855,343 |
Hanger, Inc. (a) | 15,881 | 277,282 |
HCA Healthcare, Inc. | 114,783 | 14,536,119 |
National HealthCare Corp. | 5,119 | 303,659 |
Select Medical Holdings Corp. (a) | 45,701 | 870,147 |
Surgery Partners, Inc. (a) | 8,289 | 126,573 |
Tenet Healthcare Corp. (a) | 37,698 | 996,735 |
The Ensign Group, Inc. | 21,630 | 994,764 |
The Pennant Group, Inc. (a) | 11,478 | 287,639 |
Universal Health Services, Inc. Class B | 33,605 | 3,693,190 |
US Physical Therapy, Inc. | 5,433 | 451,265 |
26,798,829 | ||
Health Care Services – 4.9% | ||
1Life Healthcare, Inc. (a) | 10,740 | 318,011 |
Addus HomeCare Corp. (a) | 6,289 | 606,323 |
Amedisys, Inc. (a) | 13,743 | 3,218,061 |
61 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE PROVIDERS & SERVICES – continued | ||
Health Care Services – continued | ||
AMN Healthcare Services, Inc. (a) | 19,928 | $ 1,094,844 |
Apollo Medical Holdings, Inc. (a) | 12,355 | 206,946 |
BioTelemetry, Inc. (a) | 14,577 | 620,397 |
Chemed Corp. | 6,748 | 3,321,298 |
Cigna Corp. (a) | 157,940 | 27,274,659 |
CorVel Corp. (a) | 4,301 | 341,887 |
CVS Health Corp. | 552,918 | 34,800,659 |
DaVita, Inc. (a) | 37,390 | 3,267,512 |
Guardant Health, Inc. (a) | 24,068 | 2,050,112 |
Laboratory Corp. of America Holdings (a) | 41,210 | 7,950,233 |
LHC Group, Inc. (a) | 12,728 | 2,483,360 |
MEDNAX, Inc. (a) | 36,016 | 719,600 |
National Research Corp. | 5,833 | 333,589 |
Ontrak, Inc. (a) | 2,847 | 108,926 |
Option Care Health, Inc. (a) | 15,065 | 177,466 |
Premier, Inc. Class A (a) | 30,231 | 1,057,178 |
Quest Diagnostics, Inc. | 56,580 | 7,189,621 |
R1 RCM, Inc. (a) | 40,108 | 548,276 |
RadNet, Inc. (a) | 18,387 | 292,170 |
The Providence Service Corp. (a) | 5,211 | 422,143 |
Tivity Health, Inc. (a) | 14,410 | 189,059 |
98,592,330 | ||
Managed Health Care – 9.8% | ||
Anthem, Inc. | 106,980 | 29,291,124 |
Centene Corp. (a) | 248,769 | 16,232,177 |
HealthEquity, Inc. (a) | 30,148 | 1,554,431 |
Humana, Inc. | 56,009 | 21,980,732 |
Magellan Health, Inc. (a) | 9,367 | 694,750 |
Molina Healthcare, Inc. (a) | 25,762 | 4,758,242 |
Progyny, Inc. (a) | 7,229 | 192,472 |
Triple-S Management Corp. Class B (a) | 9,694 | 188,645 |
UnitedHealth Group, Inc. | 402,161 | 121,766,308 |
196,658,881 | ||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 352,452,623 | |
HEALTH CARE TECHNOLOGY – 2.1% | ||
Health Care Technology – 2.1% | ||
Allscripts Healthcare Solutions, Inc. (a) | 68,805 | 619,245 |
Cerner Corp. | 132,251 | 9,184,832 |
Change Healthcare, Inc. (a) | 96,150 | 1,121,109 |
Computer Programs & Systems, Inc. | 5,133 | 126,682 |
Evolent Health, Inc. Class A (a) | 32,193 | 375,048 |
Health Catalyst, Inc. (a) | 6,344 | 221,406 |
HealthStream, Inc. (a) | 11,462 | 251,648 |
HMS Holdings Corp. (a) | 37,471 | 1,217,807 |
Inovalon Holdings, Inc. Class A (a) | 29,915 | 703,900 |
| ||
Shares | Value | |
Inspire Medical Systems, Inc. (a) | 9,242 | $ 918,285 |
Livongo Health, Inc. (a) | 16,551 | 2,106,115 |
NextGen Healthcare, Inc. (a) | 20,747 | 303,321 |
Omnicell, Inc. (a) | 18,141 | 1,275,131 |
Phreesia, Inc. (a) | 8,395 | 252,354 |
Schrodinger, Inc. (a) | 5,334 | 386,075 |
Simulations Plus, Inc. | 5,264 | 370,586 |
Tabula Rasa HealthCare, Inc. (a) | 8,970 | 504,114 |
Teladoc Health, Inc. (a) | 29,836 | 7,089,929 |
Veeva Systems, Inc. Class A (a) | 56,054 | 14,830,207 |
Vocera Communications, Inc. (a) | 13,166 | 405,118 |
TOTAL HEALTH CARE TECHNOLOGY | 42,262,912 | |
LIFE SCIENCES TOOLS & SERVICES – 8.6% | ||
Life Sciences Tools & Services – 8.6% | ||
Adaptive Biotechnologies Corp. (a) | 32,321 | 1,206,220 |
Agilent Technologies, Inc. | 131,747 | 12,691,189 |
Avantor, Inc. (a) | 182,805 | 4,036,334 |
Bio-Rad Laboratories, Inc. Class A (a) | 9,467 | 4,969,134 |
Bio-Techne Corp. | 16,239 | 4,468,323 |
Bruker Corp. | 45,907 | 2,048,370 |
Charles River Laboratories International, Inc. (a) | 21,021 | 4,182,969 |
Codexis, Inc. (a) | 23,717 | 280,572 |
Illumina, Inc. (a) | 62,323 | 23,817,358 |
IQVIA Holdings, Inc. (a) | 81,747 | 12,947,907 |
Luminex Corp. | 18,202 | 662,553 |
Medpace Holdings, Inc. (a) | 12,281 | 1,465,737 |
Mettler-Toledo International, Inc. (a) | 10,197 | 9,534,195 |
NanoString Technologies, Inc. (a) | 15,742 | 568,444 |
NeoGenomics, Inc. (a) | 42,185 | 1,612,733 |
Pacific Biosciences of California, Inc. (a) | 54,228 | 202,270 |
PerkinElmer, Inc. | 47,152 | 5,606,844 |
PRA Health Sciences, Inc. (a) | 27,036 | 2,880,956 |
Quanterix Corp. (a) | 8,342 | 269,530 |
Repligen Corp. (a) | 21,049 | 3,176,505 |
Syneos Health, Inc. (a) | 26,600 | 1,659,574 |
Thermo Fisher Scientific, Inc. | 169,090 | 69,994,805 |
Waters Corp. (a) | 26,338 | 5,613,945 |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 173,896,467 | |
PHARMACEUTICALS – 25.8% | ||
Pharmaceuticals – 25.8% | ||
Aerie Pharmaceuticals, Inc. (a) | 16,781 | 193,988 |
AMAG Pharmaceuticals, Inc. (a) | 13,117 | 125,333 |
Amneal Pharmaceuticals, Inc. (a) | 37,065 | 160,491 |
Amphastar Pharmaceuticals, Inc. (a) | 15,226 | 304,825 |
ANI Pharmaceuticals, Inc. (a) | 4,009 | 118,706 |
Arvinas Holding Co. LLC (a) | 8,330 | 262,395 |
Axsome Therapeutics, Inc. (a) | 11,785 | 840,624 |
62 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
PHARMACEUTICALS – continued | ||
Pharmaceuticals – continued | ||
BioDelivery Sciences International, Inc. (a) | 34,462 | $ 144,396 |
Bristol-Myers Squibb Co. | 957,105 | 56,143,779 |
Cara Therapeutics, Inc. (a) | 17,890 | 294,112 |
Catalent, Inc. (a) | 66,162 | 5,778,589 |
Collegium Pharmaceutical, Inc. (a) | 12,833 | 202,505 |
Corcept Therapeutics, Inc. (a) | 46,307 | 692,290 |
Durect Corp. (a) | 83,506 | 163,672 |
Elanco Animal Health, Inc. (a) | 168,631 | 3,984,751 |
Eli Lilly & Co. | 364,925 | 54,844,578 |
Endo International PLC (a) | 96,490 | 335,785 |
Horizon Therapeutics PLC (a) | 80,654 | 4,935,218 |
Innoviva, Inc. (a) | 28,005 | 379,328 |
Intersect ENT, Inc. (a) | 12,059 | 207,294 |
Intra-Cellular Therapies, Inc. (a) | 25,131 | 498,222 |
Jazz Pharmaceuticals PLC (a) | 23,875 | 2,584,469 |
Johnson & Johnson | 1,117,029 | 162,818,147 |
Kala Pharmaceuticals, Inc. (a) | 13,946 | 122,027 |
Lannett Co., Inc. (a) | 14,618 | 86,977 |
Merck & Co., Inc. | 1,075,288 | 86,281,109 |
Mylan N.V. (a) | 218,358 | 3,517,747 |
MyoKardia, Inc. (a) | 20,942 | 1,887,502 |
Nektar Therapeutics (a) | 74,826 | 1,658,144 |
Odonate Therapeutics, Inc. (a) | 5,428 | 197,416 |
Omeros Corp. (a) | 20,655 | 265,004 |
Pacira BioSciences, Inc. (a) | 16,986 | 893,633 |
Perrigo Co. PLC | 57,903 | 3,070,017 |
Pfizer, Inc. | 2,346,273 | 90,284,585 |
Phathom Pharmaceuticals, Inc. (a) | 3,088 | 102,707 |
Phibro Animal Health Corp. Class A | 8,798 | 204,070 |
Prestige Consumer Healthcare, Inc. (a) | 21,377 | 795,011 |
Provention Bio, Inc. (a) | 14,228 | 147,829 |
Reata Pharmaceuticals, Inc. Class A (a) | 10,093 | 1,490,736 |
| ||
Shares | Value | |
Relmada Therapeutics, Inc. (a) | 5,095 | $ 185,305 |
Revance Therapeutics, Inc. (a) | 21,796 | 511,770 |
SIGA Technologies, Inc. (a) | 22,488 | 144,373 |
Supernus Pharmaceuticals, Inc. (a) | 22,380 | 498,291 |
TherapeuticsMD, Inc. (a) | 101,826 | 188,378 |
Theravance Biopharma, Inc. (a) | 18,563 | 360,493 |
Tilray, Inc. Class 2 (a) | 12,504 | 92,280 |
Tricida, Inc. (a) | 12,670 | 169,525 |
WaVe Life Sciences Ltd. (a) | 8,346 | 73,278 |
Zoetis, Inc. | 201,351 | 30,540,920 |
Zogenix, Inc. (a) | 22,062 | 524,855 |
TOTAL PHARMACEUTICALS | 520,307,479 | |
TOTAL COMMON STOCKS (Cost $1,696,054,210) | 2,007,764,280 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (c) (Cost $4,484,000) | 4,484,000 | 4,484,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,700,538,210) | 2,012,248,280 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 3,017,990 | |
NET ASSETS – 100.0% | $ 2,015,266,270 |
Legend | ||
(a) | Non-income producing. | |
(b) | Level 3 security. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts | 9 | September 2020 | $ 665,010 | $ 25,752 | $ 25,752 |
CME E-mini S&P Health Care Select Sector Index Contracts | 63 | September 2020 | 6,697,530 | 375,159 | 375,159 |
Total Equity Index Contracts | $ 400,911 |
63 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,007,764,280 | $ 2,007,744,439 | $ — | $ 19,841 | |||||
Money Market Funds | 4,484,000 | 4,484,000 | — | — | |||||
Total Investments in Securities: | $ 2,012,248,280 | $ 2,012,228,439 | $ — | $ 19,841 | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 400,911 | $ 400,911 | $ — | $ — | |||||
Total Assets | $ 400,911 | $ 400,911 | $ — | $ — | |||||
Total Derivative Instruments: | $ 400,911 | $ 400,911 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $400,911 | $0 | |
Total Equity Risk | 400,911 | 0 | |
Total Value of Derivatives | $400,911 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
64 |
Table of Contents
Common Stocks – 99.8% | ||
Shares | Value | |
AEROSPACE & DEFENSE – 17.9% | ||
Aerospace & Defense – 17.9% | ||
AAR Corp. | 4,218 | $ 72,634 |
Aerojet Rocketdyne Holdings, Inc. (a) | 8,409 | 346,871 |
AeroVironment, Inc. (a) | 2,860 | 218,933 |
Astronics Corp. (a) | 3,024 | 26,309 |
Axon Enterprise, Inc. (a) | 7,448 | 619,152 |
BWX Technologies, Inc. | 11,904 | 649,006 |
Cubic Corp. | 3,931 | 165,102 |
Curtiss-Wright Corp. | 5,365 | 478,129 |
Ducommun, Inc. (a) | 1,381 | 49,647 |
General Dynamics Corp. | 30,892 | 4,533,092 |
HEICO Corp. | 5,431 | 522,028 |
HEICO Corp. Class A | 9,064 | 693,849 |
Hexcel Corp. | 10,482 | 390,979 |
Howmet Aerospace, Inc. | 49,323 | 728,994 |
Huntington Ingalls Industries, Inc. | 5,108 | 887,311 |
Kaman Corp. | 2,974 | 117,443 |
Kratos Defense & Security Solutions, Inc. (a) | 15,109 | 272,113 |
L3Harris Technologies, Inc. | 27,739 | 4,669,306 |
Lockheed Martin Corp. | 31,841 | 12,066,784 |
Maxar Technologies, Inc. (a) | 7,549 | 134,297 |
Mercury Systems, Inc. (a) | 6,990 | 541,236 |
Moog, Inc. Class A | 3,937 | 211,496 |
National Presto Industries, Inc. | 608 | 51,917 |
Northrop Grumman Corp. | 19,984 | 6,495,000 |
PAE, Inc. (a) | 6,900 | 54,372 |
Park Aerospace Corp. | 2,303 | 24,826 |
Parsons Corp. (a) | 3,151 | 109,749 |
Raytheon Technologies Corp. | 190,169 | 10,778,779 |
Spirit AeroSystems Holdings, Inc. Class A | 13,191 | 258,148 |
Teledyne Technologies, Inc. (a) | 4,596 | 1,409,593 |
Textron, Inc. | 28,615 | 999,808 |
The Boeing Co. | 67,132 | 10,606,856 |
TransDigm Group, Inc. | 6,398 | 2,761,249 |
Triumph Group, Inc. | 6,166 | 41,805 |
Vectrus, Inc. (a) | 1,454 | 63,961 |
Virgin Galactic Holdings, Inc. (a) | 7,856 | 176,367 |
TOTAL AEROSPACE & DEFENSE | 62,227,141 | |
AIR FREIGHT & LOGISTICS – 6.5% | ||
Air Freight & Logistics – 6.5% | ||
Air Transport Services Group, Inc. (a) | 1,850 | 45,084 |
Atlas Air Worldwide Holdings, Inc. (a) | 787 | 40,987 |
CH Robinson Worldwide, Inc. | 16,929 | 1,586,586 |
Echo Global Logistics, Inc. (a) | 3,413 | 85,547 |
Expeditors International of Washington, Inc. | 21,303 | 1,800,316 |
| ||
Shares | Value | |
FedEx Corp. | 31,129 | $ 5,242,124 |
Forward Air Corp. | 3,547 | 184,409 |
Hub Group, Inc. Class A (a) | 4,159 | 220,011 |
United Parcel Service, Inc. Class B | 88,101 | 12,577,299 |
XPO Logistics, Inc. (a) | 11,570 | 867,981 |
TOTAL AIR FREIGHT & LOGISTICS | 22,650,344 | |
AIRLINES – 0.5% | ||
Airlines – 0.5% | ||
Alaska Air Group, Inc. | 3,833 | 132,009 |
Allegiant Travel Co. | 503 | 56,351 |
American Airlines Group, Inc. | 15,688 | 174,451 |
Delta Air Lines, Inc. | 20,121 | 502,421 |
Hawaiian Holdings, Inc. | 1,446 | 17,193 |
JetBlue Airways Corp. (a) | 8,432 | 87,187 |
SkyWest, Inc. | 1,601 | 42,122 |
Southwest Airlines Co. | 18,190 | 561,889 |
Spirit Airlines, Inc. (a) | 2,731 | 43,177 |
TOTAL AIRLINES | 1,616,800 | |
BUILDING PRODUCTS – 6.4% | ||
Building Products – 6.4% | ||
AAON, Inc. | 5,206 | 308,456 |
Advanced Drainage Systems, Inc. | 6,500 | 318,500 |
Allegion PLC | 11,619 | 1,155,626 |
American Woodmark Corp. (a) | 2,022 | 163,014 |
AO Smith Corp. | 17,057 | 821,124 |
Apogee Enterprises, Inc. | 3,151 | 68,030 |
Armstrong World Industries, Inc. | 6,035 | 429,933 |
Builders FirstSource, Inc. (a) | 14,554 | 344,784 |
Carrier Global Corp. | 102,889 | 2,802,696 |
Cornerstone Building Brands, Inc. (a) | 6,543 | 37,099 |
CSW Industrials, Inc. | 1,902 | 127,035 |
Fortune Brands Home & Security, Inc. | 17,564 | 1,343,646 |
Gibraltar Industries, Inc. (a) | 4,020 | 207,914 |
Griffon Corp. | 4,129 | 94,430 |
Insteel Industries, Inc. | 2,193 | 40,878 |
JELD-WEN Holding, Inc. (a) | 8,863 | 173,715 |
Johnson Controls International PLC | 95,847 | 3,688,193 |
Lennox International, Inc. | 4,356 | 1,168,018 |
Masco Corp. | 34,853 | 1,992,197 |
Masonite International Corp. (a) | 2,977 | 251,110 |
Owens Corning | 13,560 | 819,973 |
Patrick Industries, Inc. | 2,858 | 182,769 |
PGT Innovations, Inc. (a) | 7,249 | 123,740 |
Quanex Building Products Corp. | 4,157 | 58,406 |
Resideo Technologies, Inc. (a) | 15,104 | 200,581 |
Simpson Manufacturing Co., Inc. | 5,018 | 484,538 |
Trane Technologies PLC | 29,914 | 3,346,479 |
Trex Co., Inc. (a) | 7,403 | 1,031,460 |
65 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
BUILDING PRODUCTS – continued | ||
Building Products – continued | ||
UFP Industries, Inc. | 7,705 | $ 448,585 |
TOTAL BUILDING PRODUCTS | 22,232,929 | |
COMMERCIAL SERVICES & SUPPLIES – 7.5% | ||
Commercial Printing – 0.2% | ||
Brady Corp. Class A | 6,217 | 285,795 |
Cimpress PLC (a) | 2,302 | 230,200 |
Deluxe Corp. | 5,349 | 151,002 |
Ennis, Inc. | 3,319 | 57,419 |
724,416 | ||
Diversified Support Services – 2.2% | ||
Cintas Corp. | 11,065 | 3,340,192 |
Copart, Inc. (a) | 26,392 | 2,461,054 |
Healthcare Services Group, Inc. | 9,297 | 243,489 |
IAA, Inc. (a) | 16,712 | 724,465 |
KAR Auction Services, Inc. | 16,180 | 244,803 |
Matthews International Corp. Class A | 3,737 | 80,719 |
McGrath RentCorp | 3,046 | 176,729 |
UniFirst Corp. | 1,919 | 357,855 |
Viad Corp. | 2,589 | 37,437 |
7,666,743 | ||
Environmental & Facilities Services – 4.6% | ||
ABM Industries, Inc. | 8,352 | 299,837 |
Advanced Disposal Services, Inc. (a) | 9,602 | 289,596 |
BrightView Holdings, Inc. (a) | 3,985 | 48,298 |
Casella Waste Systems, Inc. Class A (a) | 5,884 | 326,033 |
Clean Harbors, Inc. (a) | 6,667 | 397,353 |
Covanta Holding Corp. | 14,661 | 144,264 |
Harsco Corp. (a) | 9,790 | 156,248 |
Heritage-Crystal Clean, Inc. (a) | 1,937 | 26,983 |
Republic Services, Inc. | 28,025 | 2,445,181 |
Rollins, Inc. | 18,523 | 970,605 |
SP Plus Corp. (a) | 2,718 | 43,189 |
Stericycle, Inc. (a) | 11,416 | 689,926 |
Tetra Tech, Inc. | 6,874 | 609,380 |
US Ecology, Inc. | 3,553 | 123,218 |
Waste Connections, Inc. | 33,088 | 3,387,219 |
Waste Management, Inc. | 53,294 | 5,841,023 |
15,798,353 | ||
Office Services & Supplies – 0.4% | ||
ACCO Brands Corp. | 11,902 | 77,601 |
Herman Miller, Inc. | 7,388 | 173,101 |
HNI Corp. | 5,335 | 158,449 |
Interface, Inc. | 7,207 | 57,512 |
Kimball International, Inc. Class B | 4,708 | 51,506 |
Knoll, Inc. | 6,295 | 73,714 |
MSA Safety, Inc. | 4,640 | 549,979 |
Pitney Bowes, Inc. | 21,172 | 70,714 |
| ||
Shares | Value | |
Steelcase, Inc. Class A | 10,687 | $ 114,672 |
1,327,248 | ||
Security & Alarm Services – 0.1% | ||
ADT, Inc. | 19,005 | 163,633 |
The Brink's Co. | 6,289 | 278,917 |
442,550 | ||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 25,959,310 | |
CONSTRUCTION & ENGINEERING – 1.7% | ||
Construction & Engineering – 1.7% | ||
AECOM (a) | 19,863 | 718,842 |
Aegion Corp. (a) | 3,850 | 59,367 |
Ameresco, Inc. Class A (a) | 2,487 | 68,840 |
Arcosa, Inc. | 6,068 | 256,191 |
Argan, Inc. | 1,866 | 80,051 |
Comfort Systems USA, Inc. | 4,546 | 225,982 |
Construction Partners, Inc. Class A (a) | 3,080 | 50,974 |
Dycom Industries, Inc. (a) | 3,987 | 170,763 |
EMCOR Group, Inc. | 7,058 | 483,473 |
Fluor Corp. | 17,124 | 174,494 |
Granite Construction, Inc. | 5,873 | 99,606 |
Great Lakes Dredge & Dock Corp. (a) | 8,123 | 67,908 |
IES Holdings, Inc. (a) | 1,069 | 25,474 |
Jacobs Engineering Group, Inc. | 16,697 | 1,425,089 |
MasTec, Inc. (a) | 7,682 | 305,590 |
MYR Group, Inc. (a) | 2,136 | 78,327 |
NV5 Global, Inc. (a) | 1,317 | 74,727 |
Primoris Services Corp. | 5,806 | 93,070 |
Quanta Services, Inc. | 17,917 | 716,143 |
Sterling Construction Co., Inc. (a) | 3,511 | 36,163 |
Tutor Perini Corp. (a) | 4,900 | 57,673 |
Valmont Industries, Inc. | 2,712 | 328,695 |
WillScot Mobile Mini Holdings Corp. (a) | 21,056 | 317,103 |
TOTAL CONSTRUCTION & ENGINEERING | 5,914,545 | |
ELECTRICAL EQUIPMENT – 6.4% | ||
Electrical Components & Equipment – 6.3% | ||
Acuity Brands, Inc. | 4,955 | 491,040 |
AMETEK, Inc. | 28,753 | 2,681,217 |
Atkore International Group, Inc. (a) | 5,984 | 159,593 |
Eaton Corp. PLC | 51,876 | 4,831,212 |
Emerson Electric Co. | 76,775 | 4,760,818 |
Encore Wire Corp. | 2,625 | 131,749 |
EnerSys | 5,293 | 356,007 |
Generac Holdings, Inc. (a) | 7,844 | 1,236,058 |
GrafTech International Ltd. | 10,138 | 61,538 |
Hubbell, Inc. | 6,830 | 921,845 |
nVent Electric PLC | 20,232 | 367,413 |
Plug Power, Inc. (a) | 38,200 | 294,522 |
66 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
ELECTRICAL EQUIPMENT – continued | ||
Electrical Components & Equipment – continued | ||
Powell Industries, Inc. | 1,168 | $ 31,010 |
Regal-Beloit Corp. | 5,114 | 470,335 |
Rockwell Automation, Inc. | 14,578 | 3,180,045 |
Sensata Technologies Holding PLC (a) | 19,840 | 753,523 |
Sunrun, Inc. (a) | 10,504 | 385,392 |
Thermon Group Holdings, Inc. (a) | 4,206 | 56,991 |
Vertiv Holdings Co. (a) | 26,677 | 386,817 |
Vicor Corp. (a) | 2,322 | 189,173 |
Vivint Solar, Inc. (a) | 6,132 | 124,725 |
21,871,023 | ||
Heavy Electrical Equipment – 0.1% | ||
AZZ, Inc. | 3,319 | 104,814 |
Bloom Energy Corp. Class A (a) | 8,651 | 105,196 |
TPI Composites, Inc. (a) | 3,794 | 97,051 |
307,061 | ||
TOTAL ELECTRICAL EQUIPMENT | 22,178,084 | |
INDUSTRIAL CONGLOMERATES – 10.8% | ||
Industrial Conglomerates – 10.8% | ||
3M Co. | 72,230 | 10,868,448 |
Carlisle Cos., Inc. | 7,002 | 833,798 |
General Electric Co. | 1,096,748 | 6,657,261 |
Honeywell International, Inc. | 89,421 | 13,356,815 |
Raven Industries, Inc. | 4,553 | 98,390 |
Roper Technologies, Inc. | 13,315 | 5,758,072 |
TOTAL INDUSTRIAL CONGLOMERATES | 37,572,784 | |
MACHINERY – 20.2% | ||
Agricultural & Farm Machinery – 2.4% | ||
AGCO Corp. | 8,063 | 529,175 |
Deere & Co. | 37,387 | 6,591,702 |
Lindsay Corp. | 1,361 | 131,976 |
The Toro Co. | 13,481 | 961,869 |
8,214,722 | ||
Construction Machinery & Heavy Trucks – 6.0% | ||
Alamo Group, Inc. | 1,256 | 129,506 |
Allison Transmission Holdings, Inc. | 14,801 | 552,965 |
Astec Industries, Inc. | 2,554 | 113,627 |
Blue Bird Corp. (a) | 1,660 | 20,800 |
Caterpillar, Inc. | 69,026 | 9,172,175 |
Cummins, Inc. | 18,856 | 3,644,111 |
Douglas Dynamics, Inc. | 2,814 | 99,475 |
Federal Signal Corp. | 7,573 | 234,081 |
Meritor, Inc. (a) | 8,802 | 200,245 |
Navistar International Corp. (a) | 5,565 | 178,247 |
Oshkosh Corp. | 8,573 | 674,867 |
PACCAR, Inc. | 43,461 | 3,697,662 |
REV Group, Inc. | 3,547 | 23,055 |
| ||
Shares | Value | |
Terex Corp. | 8,795 | $ 165,786 |
The Greenbrier Cos., Inc. | 4,053 | 104,284 |
The Manitowoc Co., Inc. (a) | 4,565 | 48,663 |
The Shyft Group, Inc. | 4,042 | 76,313 |
Trinity Industries, Inc. | 12,045 | 235,239 |
Wabash National Corp. | 6,638 | 75,607 |
Westinghouse Air Brake Technologies Corp. | 22,851 | 1,421,104 |
20,867,812 | ||
Industrial Machinery – 11.8% | ||
Albany International Corp. Class A | 3,845 | 184,868 |
Altra Industrial Motion Corp. | 8,108 | 277,537 |
Barnes Group, Inc. | 6,092 | 224,612 |
Chart Industries, Inc. (a) | 4,507 | 308,865 |
Colfax Corp. (a) | 11,876 | 345,354 |
Columbus McKinnon Corp. | 2,977 | 98,628 |
Crane Co. | 5,948 | 336,478 |
Donaldson Co., Inc. | 15,911 | 769,138 |
Dover Corp. | 18,110 | 1,864,062 |
Energy Recovery, Inc. (a) | 4,844 | 36,766 |
Enerpac Tool Group Corp. | 7,552 | 142,733 |
EnPro Industries, Inc. | 2,488 | 118,752 |
ESCO Technologies, Inc. | 3,257 | 279,907 |
Evoqua Water Technologies Corp. (a) | 10,954 | 210,645 |
Flowserve Corp. | 16,264 | 453,278 |
Fortive Corp. | 37,946 | 2,663,430 |
Franklin Electric Co., Inc. | 4,959 | 268,034 |
Gates Industrial Corp. PLC (a) | 7,347 | 77,437 |
Graco, Inc. | 21,070 | 1,121,767 |
Helios Technologies, Inc. | 3,830 | 144,889 |
Hillenbrand, Inc. | 9,410 | 275,054 |
Hyster-Yale Materials Handling, Inc. | 811 | 30,258 |
IDEX Corp. | 9,561 | 1,575,844 |
Illinois Tool Works, Inc. | 40,013 | 7,402,005 |
Ingersoll Rand, Inc. (a) | 44,376 | 1,401,838 |
ITT, Inc. | 11,041 | 637,397 |
John Bean Technologies Corp. | 3,986 | 373,727 |
Kadant, Inc. | 1,428 | 154,952 |
Kennametal, Inc. | 10,407 | 280,573 |
Lincoln Electric Holdings, Inc. | 7,210 | 651,712 |
Luxfer Holdings PLC | 3,460 | 43,942 |
Mueller Industries, Inc. | 6,452 | 180,398 |
Mueller Water Products, Inc. Class A | 18,878 | 191,045 |
Nordson Corp. | 6,899 | 1,335,853 |
Omega Flex, Inc. | 369 | 44,926 |
Otis Worldwide Corp. | 51,445 | 3,227,659 |
Parker Hannifin Corp. | 16,108 | 2,882,043 |
Pentair PLC | 21,119 | 904,949 |
Proto Labs, Inc. (a) | 3,196 | 383,904 |
RBC Bearings, Inc. (a) | 3,148 | 385,378 |
Rexnord Corp. | 15,316 | 443,705 |
67 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
MACHINERY – continued | ||
Industrial Machinery – continued | ||
Snap-on, Inc. | 6,517 | $ 950,635 |
SPX Corp. (a) | 5,584 | 234,528 |
SPX FLOW, Inc. (a) | 5,342 | 214,107 |
Standex International Corp. | 1,580 | 84,609 |
Stanley Black & Decker, Inc. | 19,330 | 2,963,676 |
Tennant Co. | 2,149 | 143,166 |
The Gorman-Rupp Co. | 2,136 | 64,635 |
The Middleby Corp. (a) | 7,035 | 584,327 |
The Timken Co. | 8,548 | 390,302 |
Trimas Corp. (a) | 5,544 | 129,730 |
Watts Water Technologies, Inc. Class A | 3,297 | 276,585 |
Welbilt, Inc. (a) | 17,025 | 103,512 |
Woodward, Inc. | 7,426 | 556,504 |
Xylem, Inc. | 22,613 | 1,650,297 |
41,080,955 | ||
TOTAL MACHINERY | 70,163,489 | |
MARINE – 0.0% | ||
Marine – 0.0% | ||
Genco Shipping & Trading Ltd. | 2,556 | 17,356 |
Kirby Corp. (a) | 1,859 | 85,960 |
Matson, Inc. | 1,317 | 47,965 |
TOTAL MARINE | 151,281 | |
PROFESSIONAL SERVICES – 6.4% | ||
Human Resource & Employment Services – 0.9% | ||
ASGN, Inc. (a) | 6,639 | 454,506 |
Barrett Business Services, Inc. | 949 | 49,993 |
Heidrick & Struggles International, Inc. | 2,411 | 48,774 |
Insperity, Inc. | 4,700 | 314,242 |
Kelly Services, Inc. Class A | 4,261 | 63,105 |
Kforce, Inc. | 2,603 | 75,070 |
Korn Ferry | 6,949 | 195,267 |
ManpowerGroup, Inc. | 7,340 | 504,919 |
Robert Half International, Inc. | 14,471 | 736,140 |
TriNet Group, Inc. (a) | 5,615 | 370,590 |
TrueBlue, Inc. (a) | 4,911 | 75,777 |
Upwork, Inc. (a) | 9,138 | 137,253 |
3,025,636 | ||
Research & Consulting Services – 5.5% | ||
CBIZ, Inc. (a) | 6,537 | 158,065 |
CoreLogic, Inc. | 9,932 | 676,965 |
CoStar Group, Inc. (a) | 4,888 | 4,153,627 |
Equifax, Inc. | 15,214 | 2,473,188 |
Exponent, Inc. | 6,504 | 546,726 |
Forrester Research, Inc. (a) | 1,378 | 48,382 |
| ||
Shares | Value | |
Franklin Covey Co. (a) | 1,477 | $ 26,719 |
FTI Consulting, Inc. (a) | 4,710 | 562,562 |
Huron Consulting Group, Inc. (a) | 2,799 | 133,568 |
ICF International, Inc. | 2,351 | 158,951 |
IHS Markit Ltd. | 47,654 | 3,847,108 |
Nielsen Holdings PLC | 44,799 | 646,450 |
Resources Connection, Inc. | 3,801 | 42,951 |
TransUnion | 23,679 | 2,120,928 |
Verisk Analytics, Inc. | 19,440 | 3,668,522 |
Willdan Group, Inc. (a) | 1,320 | 32,551 |
19,297,263 | ||
TOTAL PROFESSIONAL SERVICES | 22,322,899 | |
ROAD & RAIL – 11.8% | ||
Railroads – 8.7% | ||
CSX Corp. | 97,101 | 6,927,186 |
Kansas City Southern | 12,066 | 2,073,542 |
Norfolk Southern Corp. | 32,354 | 6,218,762 |
Union Pacific Corp. | 86,617 | 15,015,057 |
30,234,547 | ||
Trucking – 3.1% | ||
AMERCO | 1,224 | 388,902 |
ArcBest Corp. | 3,228 | 98,099 |
Avis Budget Group, Inc. (a) | 7,477 | 193,654 |
Heartland Express, Inc. | 5,631 | 114,225 |
JB Hunt Transport Services, Inc. | 10,660 | 1,379,404 |
Knight-Swift Transportation Holdings, Inc. | 16,110 | 700,624 |
Landstar System, Inc. | 4,965 | 604,638 |
Marten Transport Ltd. | 5,150 | 137,093 |
Old Dominion Freight Line, Inc. | 12,000 | 2,193,840 |
Ryder System, Inc. | 6,653 | 243,699 |
Saia, Inc. (a) | 3,274 | 391,079 |
Schneider National, Inc. Class B | 6,556 | 164,752 |
Uber Technologies, Inc. (a) | 119,212 | 3,607,355 |
Werner Enterprises, Inc. | 7,828 | 344,315 |
10,561,679 | ||
TOTAL ROAD & RAIL | 40,796,226 | |
TRADING COMPANIES & DISTRIBUTORS – 3.6% | ||
Trading Companies & Distributors – 3.6% | ||
Air Lease Corp. | 13,486 | 353,603 |
Applied Industrial Technologies, Inc. | 4,839 | 305,438 |
Beacon Roofing Supply, Inc. (a) | 6,926 | 215,814 |
BMC Stock Holdings, Inc. (a) | 7,974 | 204,134 |
CAI International, Inc. (a) | 1,966 | 33,835 |
DXP Enterprises, Inc. (a) | 2,118 | 35,752 |
Fastenal Co. | 72,055 | 3,389,467 |
Foundation Building Materials, Inc. (a) | 2,702 | 37,098 |
68 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
TRADING COMPANIES & DISTRIBUTORS – continued | ||
Trading Companies & Distributors – continued | ||
GATX Corp. | 3,947 | $ 240,728 |
GMS, Inc. (a) | 5,281 | 123,734 |
H&E Equipment Services, Inc. | 4,020 | 70,712 |
HD Supply Holdings, Inc. (a) | 20,388 | 715,619 |
Herc Holdings, Inc. (a) | 2,540 | 85,192 |
MRC Global, Inc. (a) | 9,962 | 59,274 |
MSC Industrial Direct Co., Inc. Class A | 5,662 | 373,749 |
NOW, Inc. (a) | 13,765 | 108,468 |
Rush Enterprises, Inc. Class A | 3,481 | 165,626 |
Rush Enterprises, Inc. Class B | 548 | 21,810 |
SiteOne Landscape Supply, Inc. (a) | 5,246 | 671,645 |
Systemax, Inc. | 1,569 | 35,161 |
Triton International Ltd. | 6,979 | 219,629 |
United Rentals, Inc. (a) | 9,335 | 1,450,379 |
Univar Solutions, Inc. (a) | 21,206 | 374,710 |
Watsco, Inc. | 4,106 | 969,303 |
WESCO International, Inc. (a) | 6,270 | 243,715 |
WW Grainger, Inc. | 5,723 | 1,954,576 |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 12,459,171 | |
TRANSPORTATION INFRASTRUCTURE – 0.1% | ||
Airport Services – 0.1% | ||
Macquarie Infrastructure Corp. | 9,190 | 275,332 |
TOTAL COMMON STOCKS (Cost $382,209,288) | 346,520,335 |
Money Market Fund – 0.1% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $530,000) | 530,000 | $ 530,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $382,739,288) | 347,050,335 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 247,142 | |
NET ASSETS – 100.0% | $ 347,297,477 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts | 1 | September 2020 | $ 73,890 | $ 3,153 | $ 3,153 |
CME E-mini S&P Industrial Select Sector Index Contracts | 9 | September 2020 | 648,090 | 17,059 | 17,059 |
Total Equity Index Contracts | $ 20,212 |
69 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 346,520,335 | $ 346,520,335 | $ — | $ — | |||||
Money Market Funds | 530,000 | 530,000 | — | — | |||||
Total Investments in Securities: | $ 347,050,335 | $ 347,050,335 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 20,212 | $ 20,212 | $ — | $ — | |||||
Total Assets | $ 20,212 | $ 20,212 | $ — | $ — | |||||
Total Derivative Instruments: | $ 20,212 | $ 20,212 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $20,212 | $0 | |
Total Equity Risk | 20,212 | 0 | |
Total Value of Derivatives | $20,212 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
70 |
Table of Contents
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATIONS EQUIPMENT – 3.4% | ||
Communications Equipment – 3.4% | ||
Acacia Communications, Inc. (a) | 18,489 | $ 1,256,882 |
ADTRAN, Inc. | 22,947 | 285,002 |
Arista Networks, Inc. (a) | 28,317 | 7,355,907 |
Calix, Inc. (a) | 25,205 | 516,954 |
Casa Systems, Inc. (a) | 14,408 | 80,829 |
Ciena Corp. (a) | 75,779 | 4,509,608 |
Cisco Systems, Inc. | 2,089,519 | 98,416,345 |
CommScope Holding Co., Inc. (a) | 96,909 | 899,315 |
Comtech Telecommunications Corp. | 10,376 | 170,374 |
EchoStar Corp. Class A (a) | 23,497 | 641,468 |
Extreme Networks, Inc. (a) | 62,681 | 285,199 |
F5 Networks, Inc. (a) | 30,016 | 4,079,174 |
Harmonic, Inc. (a) | 45,939 | 256,340 |
Infinera Corp. (a) | 82,184 | 648,432 |
Inseego Corp. (a) | 30,998 | 417,853 |
InterDigital, Inc. | 15,164 | 910,143 |
Juniper Networks, Inc. | 163,162 | 4,141,052 |
Lumentum Holdings, Inc. (a) | 36,872 | 3,422,828 |
Motorola Solutions, Inc. | 83,923 | 11,732,435 |
NETGEAR, Inc. (a) | 15,220 | 468,015 |
Netscout Systems, Inc. (a) | 36,080 | 918,597 |
Plantronics, Inc. | 16,836 | 336,552 |
Ribbon Communications, Inc. (a) | 24,931 | 109,696 |
ViaSat, Inc. (a) | 23,009 | 873,422 |
Viavi Solutions, Inc. (a) | 114,308 | 1,580,880 |
TOTAL COMMUNICATIONS EQUIPMENT | 144,313,302 | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 2.9% | ||
Electronic Components – 0.9% | ||
Amphenol Corp. Class A | 146,760 | 15,521,338 |
Belden, Inc. | 22,623 | 714,887 |
Corning, Inc. | 376,970 | 11,686,070 |
Dolby Laboratories, Inc. Class A | 31,681 | 2,204,998 |
II-VI, Inc. (a) | 49,448 | 2,508,002 |
Knowles Corp. (a) | 44,922 | 685,510 |
Littelfuse, Inc. | 12,013 | 2,134,109 |
Rogers Corp. (a) | 9,199 | 1,096,429 |
Vishay Intertechnology, Inc. | 64,079 | 1,005,399 |
37,556,742 | ||
Electronic Equipment & Instruments – 0.9% | ||
Badger Meter, Inc. | 14,424 | 902,942 |
Cognex Corp. | 85,106 | 5,691,038 |
Coherent, Inc. (a) | 11,918 | 1,654,576 |
FARO Technologies, Inc. (a) | 8,557 | 511,965 |
Fitbit, Inc. Class A (a) | 113,164 | 740,093 |
FLIR Systems, Inc. | 65,720 | 2,737,895 |
Itron, Inc. (a) | 18,741 | 1,303,624 |
Keysight Technologies, Inc. (a) | 92,710 | 9,260,802 |
MTS Systems Corp. | 9,552 | 177,190 |
| ||
Shares | Value | |
Napco Security Technologies, Inc. (a) | 5,962 | $ 157,278 |
National Instruments Corp. | 61,323 | 2,176,967 |
nLight, Inc. (a) | 16,785 | 388,908 |
Novanta, Inc. (a) | 17,369 | 1,800,818 |
OSI Systems, Inc. (a) | 8,501 | 603,231 |
Trimble, Inc. (a) | 122,990 | 5,474,285 |
Vishay Precision Group, Inc. (a) | 5,105 | 129,922 |
Zebra Technologies Corp. Class A (a) | 26,663 | 7,485,637 |
41,197,171 | ||
Electronic Manufacturing Services – 0.7% | ||
Benchmark Electronics, Inc. | 17,825 | 362,917 |
CTS Corp. | 15,079 | 299,469 |
Fabrinet (a) | 18,449 | 1,339,951 |
Flex Ltd. (a) | 249,316 | 2,864,641 |
IPG Photonics Corp. (a) | 18,299 | 3,275,704 |
Jabil, Inc. | 67,569 | 2,355,455 |
Kimball Electronics, Inc. (a) | 12,822 | 170,276 |
Methode Electronics, Inc. | 18,754 | 528,863 |
Plexus Corp. (a) | 14,333 | 1,064,799 |
Sanmina Corp. (a) | 34,678 | 1,029,243 |
TE Connectivity Ltd. | 164,465 | 14,648,897 |
TTM Technologies, Inc. (a) | 47,785 | 588,233 |
28,528,448 | ||
Technology Distributors – 0.4% | ||
Arrow Electronics, Inc. (a) | 39,808 | 2,851,049 |
Avnet, Inc. | 48,835 | 1,304,871 |
CDW Corp. | 70,477 | 8,192,951 |
ePlus, Inc. (a) | 6,928 | 516,413 |
Insight Enterprises, Inc. (a) | 17,191 | 856,800 |
PC Connection, Inc. | 5,684 | 248,391 |
ScanSource, Inc. (a) | 13,218 | 303,353 |
SYNNEX Corp. | 21,359 | 2,664,322 |
16,938,150 | ||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 124,220,511 | |
IT SERVICES – 20.1% | ||
Data Processing & Outsourced Services – 14.4% | ||
Alliance Data Systems Corp. | 22,073 | 979,158 |
Automatic Data Processing, Inc. | 212,730 | 28,273,944 |
Black Knight, Inc. (a) | 73,833 | 5,531,568 |
Broadridge Financial Solutions, Inc. | 56,672 | 7,613,317 |
Cardtronics PLC Class A (a) | 17,826 | 398,055 |
Cass Information Systems, Inc. | 6,098 | 218,491 |
Conduent, Inc. (a) | 88,503 | 169,041 |
CSG Systems International, Inc. | 16,080 | 677,450 |
Euronet Worldwide, Inc. (a) | 25,767 | 2,477,239 |
EVERTEC, Inc. | 30,745 | 954,632 |
Evo Payments, Inc. Class A (a) | 20,476 | 464,600 |
ExlService Holdings, Inc. (a) | 16,967 | 1,086,906 |
71 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
IT SERVICES – continued | ||
Data Processing & Outsourced Services – continued | ||
Fidelity National Information Services, Inc. | 303,670 | $ 44,429,958 |
Fiserv, Inc. (a) | 284,743 | 28,414,504 |
FleetCor Technologies, Inc. (a) | 42,125 | 10,892,261 |
Global Payments, Inc. | 147,629 | 26,280,915 |
International Money Express, Inc. (a) | 11,258 | 151,758 |
Jack Henry & Associates, Inc. | 37,871 | 6,752,399 |
Mastercard, Inc. Class A | 440,903 | 136,031,803 |
MAXIMUS, Inc. | 31,726 | 2,354,386 |
NIC, Inc. | 32,186 | 705,517 |
Paychex, Inc. | 158,706 | 11,414,136 |
PayPal Holdings, Inc. (a) | 549,030 | 107,648,312 |
Paysign, Inc. (a) | 14,132 | 131,993 |
Repay Holding Corp. (a) | 17,952 | 397,278 |
Sabre Corp. | 136,615 | 1,032,809 |
Square, Inc. Class A (a) | 174,769 | 22,693,755 |
Sykes Enterprises, Inc. (a) | 19,113 | 524,843 |
The Western Union Co. | 203,939 | 4,951,639 |
TTEC Holdings, Inc. | 9,183 | 435,825 |
Verra Mobility Corp. (a) | 62,876 | 643,222 |
Visa, Inc. Class A | 840,573 | 160,045,099 |
WEX, Inc. (a) | 21,367 | 3,383,892 |
618,160,705 | ||
Internet Services & Infrastructure – 1.5% | ||
Akamai Technologies, Inc. (a) | 79,973 | 8,992,164 |
Endurance International Group Holdings, Inc. (a) | 31,036 | 175,974 |
Fastly, Inc. Class A (a) | 35,002 | 3,377,343 |
GoDaddy, Inc. Class A (a) | 85,322 | 5,996,430 |
GTT Communications, Inc. (a) | 14,514 | 91,438 |
Limelight Networks, Inc. (a) | 60,777 | 381,072 |
MongoDB, Inc. (a) | 22,388 | 5,128,643 |
Okta, Inc. (a) | 55,766 | 12,323,171 |
Switch, Inc. Class A | 29,321 | 527,485 |
Tucows, Inc. Class A (a) | 4,641 | 280,827 |
Twilio, Inc. Class A (a) | 58,246 | 16,158,605 |
VeriSign, Inc. (a) | 51,722 | 10,948,513 |
64,381,665 | ||
IT Consulting & Other Services – 4.2% | ||
Accenture PLC Class A | 312,892 | 70,331,864 |
Booz Allen Hamilton Holding Corp. | 69,218 | 5,659,264 |
CACI International, Inc. Class A (a) | 12,350 | 2,566,577 |
Cognizant Technology Solutions Corp. Class A | 270,132 | 18,455,418 |
DXC Technology Co. | 125,509 | 2,247,866 |
EPAM Systems, Inc. (a) | 27,243 | 7,902,650 |
Gartner, Inc. (a) | 43,983 | 5,482,041 |
International Business Machines Corp. | 437,727 | 53,814,157 |
KBR, Inc. | 70,493 | 1,567,764 |
| ||
Shares | Value | |
Leidos Holdings, Inc. | 66,314 | $ 6,310,440 |
LiveRamp Holdings, Inc. (a) | 33,253 | 1,515,339 |
ManTech International Corp. Class A | 13,571 | 944,270 |
Perficient, Inc. (a) | 15,697 | 615,479 |
Perspecta, Inc. | 71,477 | 1,529,608 |
Science Applications International Corp. | 25,406 | 2,031,972 |
The Hackett Group, Inc. | 12,402 | 171,024 |
Unisys Corp. (a) | 28,993 | 344,727 |
Virtusa Corp. (a) | 14,127 | 573,556 |
182,064,016 | ||
TOTAL IT SERVICES | 864,606,386 | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 17.0% | ||
Semiconductor Equipment – 2.5% | ||
ACM Research, Inc. Class A (a) | 5,632 | 540,334 |
Advanced Energy Industries, Inc. (a) | 18,688 | 1,374,876 |
Amkor Technology, Inc. (a) | 55,074 | 748,731 |
Applied Materials, Inc. | 452,457 | 29,106,559 |
Axcelis Technologies, Inc. (a) | 15,520 | 456,598 |
Brooks Automation, Inc. | 36,001 | 1,960,254 |
Cabot Microelectronics Corp. | 14,513 | 2,187,399 |
Cohu, Inc. | 21,170 | 398,631 |
Enphase Energy, Inc. (a) | 45,613 | 2,753,201 |
Entegris, Inc. | 66,647 | 4,792,586 |
FormFactor, Inc. (a) | 37,619 | 1,084,932 |
Ichor Holdings Ltd. (a) | 10,872 | 356,819 |
KLA Corp. | 77,184 | 15,423,679 |
Kulicke & Soffa Industries, Inc. | 31,148 | 738,208 |
Lam Research Corp. | 71,716 | 27,048,407 |
MKS Instruments, Inc. | 26,910 | 3,429,410 |
Onto Innovation, Inc. (a) | 25,251 | 954,993 |
PDF Solutions, Inc. (a) | 14,024 | 344,710 |
Photronics, Inc. (a) | 27,524 | 326,985 |
SolarEdge Technologies, Inc. (a) | 24,001 | 4,202,575 |
Teradyne, Inc. | 82,727 | 7,359,394 |
Ultra Clean Holdings, Inc. (a) | 20,145 | 606,163 |
Veeco Instruments, Inc. (a) | 23,346 | 315,638 |
106,511,082 | ||
Semiconductors – 14.5% | ||
Advanced Micro Devices, Inc. (a) | 576,303 | 44,623,141 |
Ambarella, Inc. (a) | 16,560 | 749,837 |
Analog Devices, Inc. | 181,427 | 20,836,891 |
Broadcom, Inc. | 196,817 | 62,341,785 |
CEVA, Inc. (a) | 10,461 | 420,532 |
Cirrus Logic, Inc. (a) | 28,776 | 1,972,019 |
Cree, Inc. (a) | 53,350 | 3,676,882 |
Diodes, Inc. (a) | 21,362 | 1,099,075 |
DSP Group, Inc. (a) | 11,006 | 163,439 |
First Solar, Inc. (a) | 38,726 | 2,306,133 |
Impinj, Inc. (a) | 8,193 | 193,355 |
72 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – continued | ||
Semiconductors – continued | ||
Inphi Corp. (a) | 22,549 | $ 2,946,252 |
Intel Corp. | 2,107,316 | 100,582,193 |
Lattice Semiconductor Corp. (a) | 66,313 | 2,061,671 |
MACOM Technology Solutions Holdings, Inc. (a) | 22,418 | 947,385 |
MagnaChip Semiconductor Corp. (a) | 15,486 | 176,231 |
Marvell Technology Group Ltd. | 330,007 | 12,035,355 |
Maxim Integrated Products, Inc. | 132,989 | 9,055,221 |
MaxLinear, Inc. Class A (a) | 34,226 | 867,629 |
Microchip Technology, Inc. | 117,876 | 11,991,525 |
Micron Technology, Inc. (a) | 547,339 | 27,397,054 |
Monolithic Power Systems, Inc. | 20,919 | 5,543,744 |
NeoPhotonics Corp. (a) | 22,856 | 208,218 |
NVE Corp. | 2,259 | 122,528 |
NVIDIA Corp. | 301,540 | 128,030,869 |
NXP Semiconductors N.V. | 137,469 | 16,156,732 |
ON Semiconductor Corp. (a) | 202,927 | 4,180,296 |
Power Integrations, Inc. | 14,464 | 1,765,042 |
Qorvo, Inc. (a) | 57,109 | 7,318,518 |
QUALCOMM, Inc. | 563,190 | 59,478,496 |
Rambus, Inc. (a) | 54,321 | 801,778 |
Semtech Corp. (a) | 32,327 | 1,801,584 |
Silicon Laboratories, Inc. (a) | 21,378 | 2,148,703 |
Skyworks Solutions, Inc. | 83,696 | 12,184,464 |
SMART Global Holdings, Inc. (a) | 6,536 | 182,289 |
SunPower Corp. (a) | 44,921 | 419,113 |
Synaptics, Inc. (a) | 16,843 | 1,347,777 |
Texas Instruments, Inc. | 460,178 | 58,695,704 |
Universal Display Corp. | 20,884 | 3,643,214 |
Xilinx, Inc. | 122,413 | 13,141,035 |
623,613,709 | ||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 730,124,791 | |
SOFTWARE – 33.7% | ||
Application Software – 12.8% | ||
2U, Inc. (a) | 31,521 | 1,484,482 |
8x8, Inc. (a) | 46,831 | 744,613 |
ACI Worldwide, Inc. (a) | 56,718 | 1,519,476 |
Adobe, Inc. (a) | 237,552 | 105,549,105 |
Agilysys, Inc. (a) | 9,560 | 200,378 |
Alarm.com Holdings, Inc. (a) | 21,667 | 1,517,557 |
Altair Engineering, Inc. Class A (a) | 18,983 | 765,015 |
Alteryx, Inc. Class A (a) | 25,672 | 4,505,179 |
American Software, Inc. Class A | 14,554 | 239,704 |
Anaplan, Inc. (a) | 52,773 | 2,396,422 |
ANSYS, Inc. (a) | 42,277 | 13,131,236 |
Appfolio, Inc. Class A (a) | 7,340 | 1,021,875 |
Aspen Technology, Inc. (a) | 33,526 | 3,260,739 |
| ||
Shares | Value | |
Autodesk, Inc. (a) | 108,413 | $ 25,632,086 |
Avalara, Inc. (a) | 36,650 | 4,927,592 |
Avaya Holdings Corp. (a) | 47,023 | 595,311 |
Benefitfocus, Inc. (a) | 12,381 | 144,982 |
Bill.com Holdings, Inc. (a) | 7,155 | 666,202 |
Blackbaud, Inc. | 24,205 | 1,513,781 |
Blackline, Inc. (a) | 23,354 | 2,076,404 |
Bottomline Technologies DE, Inc. (a) | 21,752 | 1,049,752 |
Box, Inc. Class A (a) | 73,875 | 1,326,056 |
Cadence Design Systems, Inc. (a) | 137,881 | 15,063,499 |
CDK Global, Inc. | 59,976 | 2,726,509 |
Cerence, Inc. (a) | 17,898 | 709,835 |
Ceridian HCM Holding, Inc. (a) | 57,166 | 4,475,526 |
ChannelAdvisor Corp. (a) | 14,238 | 290,028 |
Citrix Systems, Inc. | 57,368 | 8,189,856 |
Cloudera, Inc. (a) | 99,202 | 1,118,007 |
Cornerstone OnDemand, Inc. (a) | 25,697 | 912,500 |
Coupa Software, Inc. (a) | 32,807 | 10,053,705 |
Datadog, Inc. Class A (a) | 52,111 | 4,891,138 |
Digital Turbine, Inc. (a) | 37,039 | 514,101 |
DocuSign, Inc. (a) | 83,976 | 18,208,516 |
Domo, Inc. Class B (a) | 10,332 | 332,484 |
Dropbox, Inc. Class A (a) | 120,786 | 2,747,881 |
Dynatrace, Inc. (a) | 76,187 | 3,186,902 |
Ebix, Inc. | 12,156 | 268,101 |
Elastic N.V. (a) | 26,199 | 2,520,082 |
Envestnet, Inc. (a) | 26,238 | 2,130,526 |
Everbridge, Inc. (a) | 16,899 | 2,413,177 |
Fair Isaac Corp. (a) | 14,382 | 6,316,431 |
Five9, Inc. (a) | 30,149 | 3,642,602 |
Guidewire Software, Inc. (a) | 40,764 | 4,796,292 |
HubSpot, Inc. (a) | 20,330 | 4,769,621 |
Intuit, Inc. | 128,347 | 39,321,670 |
j2 Global, Inc. (a) | 22,727 | 1,289,075 |
LivePerson, Inc. (a) | 31,286 | 1,344,672 |
LogMeIn, Inc. | 23,932 | 2,053,605 |
Manhattan Associates, Inc. (a) | 31,481 | 3,015,565 |
Medallia, Inc. (a) | 37,566 | 1,154,403 |
MicroStrategy, Inc. Class A (a) | 4,018 | 497,911 |
Mimecast Ltd. (a) | 29,325 | 1,376,222 |
MobileIron, Inc. (a) | 33,598 | 209,316 |
Model N, Inc. (a) | 12,320 | 473,827 |
New Relic, Inc. (a) | 24,883 | 1,764,454 |
Nuance Communications, Inc. (a) | 139,654 | 3,819,537 |
Nutanix, Inc. Class A (a) | 87,054 | 1,931,728 |
PagerDuty, Inc. (a) | 11,444 | 348,813 |
Paycom Software, Inc. (a) | 24,693 | 7,021,948 |
Paylocity Holding Corp. (a) | 17,083 | 2,275,456 |
Pegasystems, Inc. | 19,788 | 2,313,019 |
Pluralsight, Inc. Class A (a) | 51,253 | 1,085,026 |
PROS Holdings, Inc. (a) | 20,170 | 658,147 |
73 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
SOFTWARE – continued | ||
Application Software – continued | ||
PTC, Inc. (a) | 54,166 | $ 4,634,443 |
Q2 Holdings, Inc. (a) | 21,244 | 1,997,998 |
QAD, Inc. Class A | 5,733 | 226,511 |
RealPage, Inc. (a) | 42,071 | 2,650,894 |
RingCentral, Inc. Class A (a) | 35,669 | 10,353,641 |
Rosetta Stone, Inc. (a) | 10,618 | 284,244 |
Salesforce.com, Inc. (a) | 415,182 | 80,898,213 |
ShotSpotter, Inc. (a) | 3,924 | 90,409 |
Slack Technologies, Inc. Class A (a) | 152,193 | 4,497,303 |
Smartsheet, Inc. Class A (a) | 52,211 | 2,492,553 |
Splunk, Inc. (a) | 76,929 | 16,141,243 |
Sprout Social, Inc. Class A (a) | 5,978 | 172,704 |
SPS Commerce, Inc. (a) | 17,099 | 1,285,332 |
SS&C Technologies Holdings, Inc. | 113,613 | 6,532,747 |
SVMK, Inc. (a) | 53,237 | 1,276,623 |
Synopsys, Inc. (a) | 73,951 | 14,732,518 |
The Trade Desk, Inc. Class A (a) | 20,109 | 9,075,594 |
Tyler Technologies, Inc. (a) | 19,467 | 6,954,586 |
Upland Software, Inc. (a) | 10,272 | 353,562 |
Verint Systems, Inc. (a) | 32,540 | 1,460,721 |
VirnetX Holding Corp. | 31,530 | 163,010 |
Workday, Inc. Class A (a) | 82,225 | 14,876,147 |
Workiva, Inc. (a) | 17,018 | 951,306 |
Yext, Inc. (a) | 39,695 | 667,670 |
Zendesk, Inc. (a) | 55,658 | 5,073,227 |
Zoom Video Communications, Inc. Class A (a) | 53,385 | 13,554,985 |
547,897,844 | ||
Systems Software – 20.9% | ||
A10 Networks, Inc. (a) | 26,152 | 211,308 |
Appian Corp. (a) | 13,648 | 694,274 |
CommVault Systems, Inc. (a) | 21,342 | 940,755 |
Crowdstrike Holdings, Inc. Class A (a) | 51,163 | 5,791,652 |
FireEye, Inc. (a) | 109,441 | 1,652,559 |
Fortinet, Inc. (a) | 72,381 | 10,010,292 |
Microsoft Corp. | 3,560,187 | 729,873,937 |
NortonLifelock, Inc. | 281,514 | 6,038,475 |
OneSpan, Inc. (a) | 15,923 | 495,842 |
Oracle Corp. | 1,106,306 | 61,344,668 |
Palo Alto Networks, Inc. (a) | 49,054 | 12,553,900 |
Ping Identity Holding Corp. (a) | 17,694 | 607,966 |
Progress Software Corp. | 22,015 | 767,443 |
Proofpoint, Inc. (a) | 28,243 | 3,266,868 |
Qualys, Inc. (a) | 16,318 | 2,014,947 |
Rapid7, Inc. (a) | 23,549 | 1,402,814 |
SailPoint Technologies Holding, Inc. (a) | 44,311 | 1,395,796 |
SecureWorks Corp. Class A (a) | 3,660 | 43,774 |
| ||
Shares | Value | |
ServiceNow, Inc. (a) | 93,516 | $ 41,072,227 |
SolarWinds Corp. (a) | 30,796 | 565,414 |
Tenable Holdings, Inc. (a) | 26,794 | 909,120 |
Teradata Corp. (a) | 55,002 | 1,155,042 |
Varonis Systems, Inc. (a) | 14,986 | 1,623,733 |
VMware, Inc. Class A (a) | 40,694 | 5,705,706 |
Xperi Holding Corp. | 54,655 | 1,007,838 |
Zscaler, Inc. (a) | 34,748 | 4,512,028 |
Zuora, Inc. Class A (a) | 47,725 | 555,519 |
896,213,897 | ||
TOTAL SOFTWARE | 1,444,111,741 | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 22.5% | ||
Technology Hardware, Storage & Peripherals – 22.5% | ||
3D Systems Corp. (a) | 59,314 | 390,879 |
Apple, Inc. | 2,155,836 | 916,316,533 |
DELL Technologies, Inc. Class C (a) | 119,378 | 7,142,386 |
Diebold Nixdorf, Inc. (a) | 35,422 | 246,891 |
Hewlett Packard Enterprise Co. | 638,388 | 6,300,890 |
HP, Inc. | 705,195 | 12,397,328 |
NCR Corp. (a) | 63,929 | 1,178,212 |
NetApp, Inc. | 109,180 | 4,836,674 |
Pure Storage, Inc. Class A (a) | 115,440 | 2,061,758 |
Seagate Technology PLC | 115,937 | 5,242,671 |
Super Micro Computer, Inc. (a) | 21,445 | 649,891 |
Western Digital Corp. | 147,574 | 6,360,439 |
Xerox Holdings Corp. (a) | 89,492 | 1,490,042 |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 964,614,594 | |
TOTAL COMMON STOCKS (Cost $2,824,830,208) | 4,271,991,325 | |
Money Market Fund – 0.3% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $11,014,000) | 11,014,000 | 11,014,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $2,835,844,208) | 4,283,005,325 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 5,250,543 | |
NET ASSETS – 100.0% | $ 4,288,255,868 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
74 |
Table of Contents
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts | 14 | September 2020 | 1,034,460 | $ 43,947 | $ 43,947 |
CME E-mini S&P Select Sector Technology Index Contracts | 131 | September 2020 | 14,538,380 | 1,197,255 | 1,197,255 |
Total Equity Index Contracts | $1,241,202 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 4,271,991,325 | $ 4,271,991,325 | $ — | $ — | |||||
Money Market Funds | 11,014,000 | 11,014,000 | — | — | |||||
Total Investments in Securities: | $ 4,283,005,325 | $ 4,283,005,325 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 1,241,202 | $ 1,241,202 | $ — | $ — | |||||
Total Assets | $ 1,241,202 | $ 1,241,202 | $ — | $ — | |||||
Total Derivative Instruments: | $ 1,241,202 | $ 1,241,202 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $1,241,202 | $0 | |
Total Equity Risk | 1,241,202 | 0 | |
Total Value of Derivatives | $1,241,202 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
75 |
Table of Contents
Common Stocks – 99.8% | ||
Shares | Value | |
CHEMICALS – 65.5% | ||
Commodity Chemicals – 6.9% | ||
AdvanSix, Inc. (a) | 5,275 | $ 65,674 |
Cabot Corp. | 10,586 | 386,177 |
Dow, Inc. (a) | 138,526 | 5,687,878 |
Hawkins, Inc. | 1,793 | 92,393 |
Kronos Worldwide, Inc. | 4,420 | 49,681 |
LyondellBasell Industries N.V. Class A | 49,840 | 3,115,997 |
Olin Corp. | 29,578 | 332,457 |
Orion Engineered Carbons S.A. | 11,396 | 116,239 |
Tredegar Corp. | 5,044 | 80,099 |
Trinseo S.A. | 5,725 | 124,232 |
Tronox Holdings PLC Class A (a) | 17,360 | 132,283 |
Valvoline, Inc. | 35,197 | 722,242 |
Westlake Chemical Corp. | 7,164 | 390,438 |
11,295,790 | ||
Diversified Chemicals – 1.9% | ||
Eastman Chemical Co. | 25,400 | 1,895,602 |
Huntsman Corp. | 37,839 | 700,022 |
The Chemours Co. | 30,633 | 567,629 |
3,163,253 | ||
Fertilizers & Agricultural Chemicals – 6.1% | ||
American Vanguard Corp. | 5,116 | 68,861 |
CF Industries Holdings, Inc. | 40,374 | 1,264,917 |
Corteva, Inc. (a) | 139,967 | 3,997,458 |
FMC Corp. | 24,209 | 2,567,364 |
The Mosaic Co. | 67,206 | 905,265 |
The Scotts Miracle-Gro Co. | 7,787 | 1,234,785 |
10,038,650 | ||
Industrial Gases – 22.0% | ||
Air Products & Chemicals, Inc. | 41,226 | 11,816,609 |
Linde PLC | 99,673 | 24,430,849 |
36,247,458 | ||
Specialty Chemicals – 28.6% | ||
Albemarle Corp. | 19,837 | 1,635,759 |
Amyris, Inc. (a) | 15,309 | 65,523 |
Ashland Global Holdings, Inc. | 10,128 | 764,461 |
Avient Corp. | 17,580 | 420,162 |
Axalta Coating Systems Ltd. (a) | 39,513 | 877,189 |
Balchem Corp. | 6,041 | 605,671 |
Celanese Corp. | 22,331 | 2,170,573 |
Chase Corp. | 1,416 | 142,393 |
DuPont de Nemours, Inc. | 138,097 | 7,385,428 |
Ecolab, Inc. | 47,627 | 8,910,059 |
Element Solutions, Inc. (a) | 42,435 | 460,844 |
Ferro Corp. (a) | 13,784 | 161,135 |
FutureFuel Corp. | 4,964 | 65,426 |
GCP Applied Technologies, Inc. (a) | 8,919 | 203,532 |
HB Fuller Co. | 9,598 | 435,173 |
Ingevity Corp. (a) | 7,814 | 456,963 |
Innospec, Inc. | 4,577 | 344,053 |
| ||
Shares | Value | |
International Flavors & Fragrances, Inc. | 15,953 | $ 2,009,280 |
Kraton Corp. (a) | 5,942 | 78,137 |
Livent Corp. (a) | 27,276 | 171,021 |
Minerals Technologies, Inc. | 6,456 | 302,657 |
NewMarket Corp. | 1,671 | 626,308 |
PPG Industries, Inc. | 44,034 | 4,740,260 |
PQ Group Holdings, Inc. (a) | 7,739 | 94,958 |
Quaker Chemical Corp. | 2,483 | 481,702 |
RPM International, Inc. | 24,238 | 1,977,578 |
Sensient Technologies Corp. | 7,906 | 412,772 |
Stepan Co. | 3,782 | 412,994 |
The Sherwin-Williams Co. | 15,507 | 10,047,295 |
WR Grace & Co. | 10,595 | 488,747 |
46,948,053 | ||
TOTAL CHEMICALS | 107,693,204 | |
CONSTRUCTION MATERIALS – 3.9% | ||
Construction Materials – 3.9% | ||
Eagle Materials, Inc. | 7,389 | 592,819 |
Forterra, Inc. (a) | 3,716 | 48,271 |
Martin Marietta Materials, Inc. | 11,618 | 2,407,017 |
Summit Materials, Inc. Class A (a) | 21,162 | 311,505 |
United States Lime & Minerals, Inc. | 417 | 37,617 |
US Concrete, Inc. (a) | 2,956 | 73,368 |
Vulcan Materials Co. | 24,728 | 2,903,562 |
TOTAL CONSTRUCTION MATERIALS | 6,374,159 | |
CONTAINERS & PACKAGING – 14.0% | ||
Metal & Glass Containers – 6.1% | ||
AptarGroup, Inc. | 11,962 | 1,378,022 |
Ball Corp. | 60,847 | 4,480,165 |
Berry Global Group, Inc. (a) | 24,730 | 1,236,253 |
Crown Holdings, Inc. (a) | 25,323 | 1,812,620 |
Greif, Inc. Class A | 4,664 | 162,261 |
Greif, Inc. Class B | 819 | 32,179 |
Myers Industries, Inc. | 5,638 | 84,908 |
O-I Glass, Inc. | 27,662 | 288,791 |
Silgan Holdings, Inc. | 14,481 | 553,898 |
10,029,097 | ||
Paper Packaging – 7.9% | ||
Amcor PLC (a) | 299,591 | 3,085,787 |
Avery Dennison Corp. | 15,556 | 1,763,117 |
Graphic Packaging Holding Co. | 54,225 | 755,897 |
International Paper Co. | 69,575 | 2,420,514 |
Packaging Corp. of America | 17,678 | 1,699,209 |
Ranpak Holdings Corp. (a) | 5,405 | 44,159 |
Sealed Air Corp. | 28,858 | 1,029,654 |
Sonoco Products Co. | 18,742 | 969,711 |
76 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
CONTAINERS & PACKAGING – continued | ||
Paper Packaging – continued | ||
Westrock Co. | 48,272 | $ 1,296,586 |
13,064,634 | ||
TOTAL CONTAINERS & PACKAGING | 23,093,731 | |
METALS & MINING – 15.2% | ||
Aluminum – 0.6% | ||
Alcoa Corp. (a) | 34,725 | 451,425 |
Arconic Corp. (a) | 18,291 | 297,960 |
Century Aluminum Co. (a) | 10,008 | 87,170 |
Kaiser Aluminum Corp. | 2,965 | 183,682 |
1,020,237 | ||
Copper – 2.1% | ||
Freeport-McMoRan, Inc. | 271,001 | 3,501,333 |
Diversified Metals & Mining – 0.3% | ||
Compass Minerals International, Inc. | 6,359 | 323,927 |
Materion Corp. | 3,811 | 218,828 |
542,755 | ||
Gold – 7.7% | ||
Coeur Mining, Inc. (a) | 45,721 | 362,568 |
McEwen Mining, Inc. (a) | 66,567 | 91,862 |
Newmont Corp. | 150,835 | 10,437,782 |
Royal Gold, Inc. | 12,254 | 1,714,702 |
12,606,914 | ||
Silver – 0.3% | ||
Hecla Mining Co. | 97,723 | 539,431 |
Steel – 4.2% | ||
Allegheny Technologies, Inc. (a) | 23,544 | 204,597 |
Carpenter Technology Corp. | 8,986 | 200,927 |
Cleveland-Cliffs, Inc. | 74,338 | 385,071 |
Commercial Metals Co. | 22,159 | 458,248 |
Haynes International, Inc. | 2,335 | 42,871 |
Nucor Corp. | 56,369 | 2,364,680 |
Reliance Steel & Aluminum Co. | 12,486 | 1,226,874 |
Schnitzer Steel Industries, Inc. Class A | 5,031 | 92,570 |
Steel Dynamics, Inc. | 39,886 | 1,093,275 |
SunCoke Energy, Inc. | 15,641 | 49,895 |
United States Steel Corp. | 40,989 | 272,987 |
Warrior Met Coal, Inc. | 9,444 | 150,348 |
| ||
Shares | Value | |
Worthington Industries, Inc. | 7,368 | $ 275,711 |
6,818,054 | ||
TOTAL METALS & MINING | 25,028,724 | |
PAPER & FOREST PRODUCTS – 1.2% | ||
Forest Products – 0.6% | ||
Boise Cascade Co. | 7,281 | 339,222 |
Louisiana-Pacific Corp. | 20,923 | 662,631 |
1,001,853 | ||
Paper Products – 0.6% | ||
Clearwater Paper Corp. (a) | 3,092 | 114,157 |
Domtar Corp. | 10,578 | 222,032 |
Mercer International, Inc. | 8,099 | 60,338 |
Neenah, Inc. | 3,172 | 141,503 |
PH Glatfelter Co. | 8,280 | 131,900 |
Schweitzer-Mauduit International, Inc. | 5,775 | 187,861 |
Verso Corp. Class A | 5,510 | 67,277 |
925,068 | ||
TOTAL PAPER & FOREST PRODUCTS | 1,926,921 | |
TOTAL COMMON STOCKS (Cost $182,917,663) | 164,116,739 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $209,000) | 209,000 | 209,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $183,126,663) | 164,325,739 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 160,324 | |
NET ASSETS – 100.0% | $ 164,486,063 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
77 |
Table of Contents
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Micro Russell 2000 Index Contracts | 9 | September 2020 | $ 66,501 | $ 2,660 | $ 2,660 |
CME E-mini S&P Materials Select Sector Index Contracts | 4 | September 2020 | 254,680 | 14,974 | 14,974 |
Total Equity Index Contracts | $ 17,634 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 164,116,739 | $ 164,116,739 | $ — | $ — | |||||
Money Market Funds | 209,000 | 209,000 | — | — | |||||
Total Investments in Securities: | $ 164,325,739 | $ 164,325,739 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 17,634 | $ 17,634 | $ — | $ — | |||||
Total Assets | $ 17,634 | $ 17,634 | $ — | $ — | |||||
Total Derivative Instruments: | $ 17,634 | $ 17,634 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $17,634 | $0 | |
Total Equity Risk | 17,634 | 0 | |
Total Value of Derivatives | $17,634 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
78 |
Table of Contents
Common Stocks – 99.8% | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 96.7% | ||
Diversified REITs – 3.5% | ||
Alexander & Baldwin, Inc. | 64,362 | $ 760,759 |
American Assets Trust, Inc. | 49,780 | 1,344,060 |
Armada Hoffler Properties, Inc. | 51,022 | 491,852 |
Colony Capital, Inc. | 458,857 | 881,005 |
Empire State Realty Trust, Inc. Class A | 143,209 | 945,179 |
Essential Properties Realty Trust, Inc. | 89,115 | 1,434,752 |
Gladstone Commercial Corp. | 32,425 | 590,135 |
Global Net Lease, Inc. | 85,744 | 1,427,638 |
iStar, Inc. | 72,440 | 841,028 |
One Liberty Properties, Inc. | 15,064 | 255,636 |
PS Business Parks, Inc. | 20,059 | 2,767,139 |
STORE Capital Corp. | 217,977 | 5,163,875 |
VEREIT, Inc. | 1,012,876 | 6,593,823 |
Washington Real Estate Investment Trust | 78,402 | 1,753,069 |
WP Carey, Inc. | 164,816 | 11,762,918 |
37,012,868 | ||
Health Care REITs – 8.4% | ||
CareTrust REIT, Inc. | 91,598 | 1,650,596 |
Community Healthcare Trust, Inc. | 23,116 | 1,057,094 |
Diversified Healthcare Trust | 220,652 | 859,439 |
Global Medical REIT, Inc. | 53,290 | 633,618 |
Healthcare Realty Trust, Inc. | 126,986 | 3,720,690 |
Healthcare Trust of America, Inc. Class A | 205,418 | 5,671,591 |
Healthpeak Properties, Inc. | 488,161 | 13,321,914 |
LTC Properties, Inc. | 37,205 | 1,382,166 |
Medical Properties Trust, Inc. | 501,368 | 10,092,538 |
National Health Investors, Inc. | 42,344 | 2,625,328 |
Omega Healthcare Investors, Inc. | 213,922 | 6,926,794 |
Physicians Realty Trust | 183,940 | 3,318,277 |
Sabra Health Care REIT, Inc. | 193,297 | 2,849,198 |
Universal Health Realty Income Trust | 13,548 | 942,670 |
Ventas, Inc. | 349,152 | 13,393,471 |
Welltower, Inc. | 387,007 | 20,728,095 |
89,173,479 | ||
Hotel & Resort REITs – 2.2% | ||
Apple Hospitality REIT, Inc. | 197,370 | 1,740,803 |
Chatham Lodging Trust | 43,970 | 229,084 |
DiamondRock Hospitality Co. | 186,443 | 861,367 |
Host Hotels & Resorts, Inc. | 662,682 | 7,143,712 |
MGM Growth Properties LLC Class A | 122,930 | 3,360,906 |
Park Hotels & Resorts, Inc. | 224,708 | 1,858,335 |
Pebblebrook Hotel Trust | 122,620 | 1,299,772 |
RLJ Lodging Trust | 156,104 | 1,250,393 |
Ryman Hospitality Properties, Inc. | 49,231 | 1,576,376 |
Service Properties Trust | 148,767 | 996,739 |
Summit Hotel Properties, Inc. | 98,487 | 510,163 |
Sunstone Hotel Investors, Inc. | 209,136 | 1,564,337 |
| ||
Shares | Value | |
Xenia Hotels & Resorts, Inc. | 105,555 | $ 840,218 |
23,232,205 | ||
Industrial REITs – 11.7% | ||
Americold Realty Trust | 193,478 | 7,806,837 |
Duke Realty Corp. | 353,672 | 14,214,078 |
EastGroup Properties, Inc. | 37,315 | 4,950,208 |
First Industrial Realty Trust, Inc. | 125,685 | 5,520,085 |
Industrial Logistics Properties Trust | 61,122 | 1,290,286 |
Lexington Realty Trust | 246,734 | 2,862,114 |
Monmouth Real Estate Investment Corp. Class A | 92,431 | 1,333,779 |
Prologis, Inc. | 697,979 | 73,580,946 |
Rexford Industrial Realty, Inc. | 106,562 | 5,000,955 |
STAG Industrial, Inc. | 141,899 | 4,625,907 |
Terreno Realty Corp. | 66,992 | 4,070,434 |
125,255,629 | ||
Office REITs – 7.9% | ||
Alexandria Real Estate Equities, Inc. | 117,640 | 20,886,982 |
Boston Properties, Inc. | 140,116 | 12,482,934 |
Brandywine Realty Trust | 165,261 | 1,789,777 |
City Office REIT, Inc. | 52,258 | 452,032 |
Columbia Property Trust, Inc. | 107,914 | 1,290,651 |
Corporate Office Properties Trust | 106,790 | 2,827,799 |
Cousins Properties, Inc. | 139,559 | 4,287,252 |
Douglas Emmett, Inc. | 156,804 | 4,569,269 |
Easterly Government Properties, Inc. | 75,324 | 1,841,672 |
Equity Commonwealth | 116,650 | 3,682,641 |
Franklin Street Properties Corp. | 100,442 | 527,321 |
Highwoods Properties, Inc. | 97,319 | 3,731,210 |
Hudson Pacific Properties, Inc. | 144,880 | 3,414,822 |
JBG SMITH Properties | 116,374 | 3,376,010 |
Kilroy Realty Corp. | 91,840 | 5,351,517 |
Mack-Cali Realty Corp. | 84,822 | 1,223,133 |
Office Properties Income Trust | 45,669 | 1,148,575 |
Paramount Group, Inc. | 170,437 | 1,215,216 |
Piedmont Office Realty Trust, Inc. Class A | 117,652 | 1,907,139 |
SL Green Realty Corp. | 72,980 | 3,393,570 |
Vornado Realty Trust | 152,020 | 5,247,730 |
84,647,252 | ||
Residential REITs – 13.7% | ||
American Campus Communities, Inc. | 131,112 | 4,672,832 |
American Homes 4 Rent Class A | 273,751 | 7,938,779 |
Apartment Investment & Management Co. Class A | 140,546 | 5,455,996 |
AvalonBay Communities, Inc. | 133,964 | 20,512,568 |
Camden Property Trust | 93,820 | 8,519,794 |
Equity Lifestyle Properties, Inc. | 161,832 | 11,056,362 |
Equity Residential | 348,324 | 18,680,616 |
Essex Property Trust, Inc. | 63,739 | 14,069,747 |
Front Yard Residential Corp. | 53,124 | 460,585 |
79 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | ||
Residential REITs – continued | ||
Independence Realty Trust, Inc. | 95,999 | $ 1,103,988 |
Investors Real Estate Trust | 11,134 | 804,988 |
Invitation Homes, Inc. | 515,303 | 15,366,335 |
Mid-America Apartment Communities, Inc. | 106,855 | 12,736,047 |
NexPoint Residential Trust, Inc. | 19,364 | 740,286 |
Preferred Apartment Communities, Inc. Class A | 41,447 | 299,662 |
Sun Communities, Inc. | 87,272 | 13,084,691 |
UDR, Inc. | 275,559 | 9,975,236 |
UMH Properties, Inc. | 38,952 | 479,110 |
145,957,622 | ||
Retail REITs – 7.9% | ||
Acadia Realty Trust | 76,893 | 925,792 |
Agree Realty Corp. | 47,326 | 3,169,422 |
Alexander's, Inc. | 2,300 | 579,117 |
American Finance Trust, Inc. | 101,264 | 739,734 |
Brixmor Property Group, Inc. | 279,058 | 3,211,958 |
Federal Realty Investment Trust | 67,220 | 5,128,886 |
Getty Realty Corp. | 34,329 | 1,017,168 |
Kimco Realty Corp. | 404,994 | 4,515,683 |
Kite Realty Group Trust | 78,633 | 776,108 |
National Retail Properties, Inc. | 161,423 | 5,722,445 |
Realty Income Corp. | 316,169 | 18,985,948 |
Regency Centers Corp. | 156,706 | 6,429,647 |
Retail Opportunity Investments Corp. | 109,051 | 1,185,384 |
Retail Properties of America, Inc. Class A | 200,352 | 1,274,239 |
RPT Realty | 75,276 | 468,217 |
Saul Centers, Inc. | 12,985 | 398,769 |
Seritage Growth Properties, Class A (a) | 34,923 | 325,133 |
Simon Property Group, Inc. | 288,668 | 17,998,450 |
SITE Centers Corp. | 145,202 | 1,064,331 |
Spirit Realty Capital, Inc. | 95,862 | 3,303,404 |
Tanger Factory Outlet Centers, Inc. | 86,988 | 559,333 |
Taubman Centers, Inc. | 57,684 | 2,233,524 |
The Macerich Co. | 105,819 | 807,399 |
Urban Edge Properties | 112,714 | 1,181,243 |
Urstadt Biddle Properties, Inc. Class A | 28,086 | 275,524 |
Weingarten Realty Investors | 114,462 | 1,952,722 |
Whitestone REIT | 35,428 | 233,825 |
84,463,405 | ||
Specialized REITs – 41.4% | ||
American Tower Corp. | 419,543 | 109,664,345 |
CatchMark Timber Trust, Inc. Class A | 47,281 | 461,463 |
CoreCivic, Inc. | 111,528 | 993,714 |
CoreSite Realty Corp. | 37,611 | 4,853,700 |
Crown Castle International Corp. | 395,912 | 65,998,530 |
| ||
Shares | Value | |
CubeSmart | 181,270 | $ 5,378,281 |
CyrusOne, Inc. | 110,417 | 9,210,986 |
Digital Realty Trust, Inc. | 248,981 | 39,971,410 |
EPR Properties | 73,627 | 2,107,941 |
Equinix, Inc. | 66,828 | 52,492,057 |
Extra Space Storage, Inc. | 123,169 | 12,728,284 |
Four Corners Property Trust, Inc. | 70,386 | 1,773,727 |
Gaming and Leisure Properties, Inc. | 194,591 | 7,046,140 |
Iron Mountain, Inc. | 269,504 | 7,597,318 |
Jernigan Capital, Inc. | 24,468 | 342,797 |
Lamar Advertising Co. Class A | 80,974 | 5,322,421 |
Life Storage, Inc. | 44,102 | 4,327,729 |
National Storage Affiliates Trust | 61,987 | 1,910,439 |
Outfront Media, Inc. | 136,239 | 1,963,204 |
PotlatchDeltic Corp. | 65,444 | 2,801,658 |
Public Storage | 149,271 | 29,836,287 |
QTS Realty Trust, Inc. Class A | 60,853 | 4,378,373 |
Rayonier, Inc. | 122,493 | 3,402,856 |
Safehold, Inc. | 13,201 | 665,726 |
SBA Communications Corp. | 107,827 | 33,592,424 |
The Geo Group, Inc. | 111,901 | 1,189,508 |
Uniti Group, Inc. | 173,395 | 1,716,610 |
VICI Properties, Inc. | 443,481 | 9,627,973 |
Weyerhaeuser Co. | 707,234 | 19,668,178 |
441,024,079 | ||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 1,030,766,539 | |
REAL ESTATE MANAGEMENT & DEVELOPMENT – 3.1% | ||
Diversified Real Estate Activities – 0.2% | ||
Five Point Holdings LLC Class A (a) | 51,952 | 249,370 |
Tejon Ranch Co. (a) | 20,074 | 288,062 |
The RMR Group, Inc. Class A | 15,858 | 456,076 |
The St. Joe Co. (a) | 33,972 | 700,163 |
1,693,671 | ||
Real Estate Development – 0.2% | ||
Forestar Group, Inc. (a) | 14,300 | 247,533 |
The Howard Hughes Corp. (a) | 39,034 | 2,076,218 |
2,323,751 | ||
Real Estate Operating Companies – 0.2% | ||
FRP Holdings, Inc. (a) | 6,989 | 273,410 |
Kennedy-Wilson Holdings, Inc. | 119,903 | 1,779,360 |
2,052,770 | ||
Real Estate Services – 2.5% | ||
CBRE Group, Inc. Class A (a) | 318,341 | 13,946,519 |
Cushman & Wakefield PLC (a) | 108,956 | 1,165,829 |
eXp World Holdings, Inc. (a) | 32,757 | 650,882 |
Jones Lang LaSalle, Inc. | 48,885 | 4,835,215 |
Marcus & Millichap, Inc. (a) | 23,149 | 630,579 |
Newmark Group, Inc. Class A | 137,156 | 558,225 |
RE/MAX Holdings, Inc. Class A | 16,812 | 544,204 |
80 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE MANAGEMENT & DEVELOPMENT – continued | ||
Real Estate Services – continued | ||
Realogy Holdings Corp. | 107,112 | $970,435 |
Redfin Corp. (a) | 84,744 | 3,523,656 |
26,825,544 | ||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 32,895,736 | |
TOTAL COMMON STOCKS (Cost $1,104,548,968) | 1,063,662,275 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $2,701,000) | 2,701,000 | 2,701,000 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,107,249,968) | 1,066,363,275 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (209,597) | |
NET ASSETS – 100.0% | $ 1,066,153,678 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Dow Jones U.S. Real Estate Index Contracts | 74 | September 2020 | $2,382,800 | $74,389 | $74,389 |
81 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,063,662,275 | $ 1,063,662,275 | $ — | $ — | |||||
Money Market Funds | 2,701,000 | 2,701,000 | — | — | |||||
Total Investments in Securities: | $ 1,066,363,275 | $ 1,066,363,275 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 74,389 | $ 74,389 | $ — | $ — | |||||
Total Assets | $ 74,389 | $ 74,389 | $ — | $ — | |||||
Total Derivative Instruments: | $ 74,389 | $ 74,389 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $74,389 | $0 | |
Total Equity Risk | 74,389 | 0 | |
Total Value of Derivatives | $74,389 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
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Common Stocks – 99.6% | ||
Shares | Value | |
ELECTRIC UTILITIES – 58.1% | ||
Electric Utilities – 58.1% | ||
ALLETE, Inc. | 45,676 | $ 2,708,587 |
Alliant Energy Corp. | 216,300 | 11,647,755 |
American Electric Power Co., Inc. | 436,225 | 37,899,228 |
Duke Energy Corp. | 647,051 | 54,831,102 |
Edison International | 320,057 | 17,817,573 |
Entergy Corp. | 176,308 | 18,535,260 |
Evergy, Inc. | 201,180 | 13,042,499 |
Eversource Energy | 291,264 | 26,234,148 |
Exelon Corp. | 860,075 | 33,207,496 |
FirstEnergy Corp. | 477,312 | 13,842,048 |
Hawaiian Electric Industries, Inc. | 96,464 | 3,497,785 |
IDACORP, Inc. | 44,499 | 4,149,532 |
MGE Energy, Inc. | 30,558 | 2,026,912 |
NextEra Energy, Inc. | 431,632 | 121,159,102 |
NRG Energy, Inc. | 218,618 | 7,391,475 |
OGE Energy Corp. | 176,705 | 5,813,594 |
Otter Tail Corp. | 32,018 | 1,224,689 |
Pinnacle West Capital Corp. | 99,255 | 8,246,105 |
PNM Resources, Inc. | 67,525 | 2,851,581 |
Portland General Electric Co. | 78,955 | 3,484,284 |
PPL Corp. | 677,783 | 18,042,583 |
The Southern Co. | 930,614 | 50,820,831 |
Xcel Energy, Inc. | 463,148 | 31,975,738 |
TOTAL ELECTRIC UTILITIES | 490,449,907 | |
GAS UTILITIES – 4.4% | ||
Gas Utilities – 4.4% | ||
Atmos Energy Corp. | 107,931 | 11,439,607 |
Chesapeake Utilities Corp. | 14,427 | 1,218,937 |
National Fuel Gas Co. | 68,817 | 2,791,906 |
New Jersey Resources Corp. | 84,259 | 2,617,085 |
Northwest Natural Holding Co. | 26,903 | 1,439,042 |
ONE Gas, Inc. | 46,671 | 3,532,995 |
South Jersey Industries, Inc. | 81,607 | 1,903,891 |
Southwest Gas Holdings, Inc. | 48,235 | 3,359,085 |
Spire, Inc. | 45,011 | 2,775,378 |
Star Group LP | 38,689 | 364,450 |
UGI Corp. | 184,095 | 6,137,727 |
TOTAL GAS UTILITIES | 37,580,103 | |
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 2.9% | ||
Independent Power Producers & Energy Traders – 2.2% | ||
Clearway Energy, Inc. Class A | 28,966 | 663,611 |
Clearway Energy, Inc. Class C | 66,097 | 1,622,021 |
The AES Corp. | 586,047 | 8,925,496 |
Vistra Corp. | 387,220 | 7,225,525 |
18,436,653 |
| ||
Shares | Value | |
Renewable Electricity – 0.7% | ||
NextEra Energy Partners LP | 54,936 | $ 3,417,019 |
Ormat Technologies, Inc. | 35,950 | 2,139,025 |
Sunnova Energy International, Inc. (a) | 26,009 | 650,485 |
6,206,529 | ||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 24,643,182 | |
MULTI-UTILITIES – 29.4% | ||
Multi-Utilities – 29.4% | ||
Ameren Corp. | 217,181 | 17,426,603 |
Avista Corp. | 59,328 | 2,202,849 |
Black Hills Corp. | 55,399 | 3,205,386 |
CenterPoint Energy, Inc. | 443,351 | 8,428,103 |
CMS Energy Corp. | 250,595 | 16,083,187 |
Consolidated Edison, Inc. | 294,638 | 22,637,038 |
Dominion Energy, Inc. | 739,740 | 59,941,132 |
DTE Energy Co. | 169,694 | 19,621,717 |
MDU Resources Group, Inc. | 176,893 | 3,711,215 |
NiSource, Inc. | 337,441 | 8,250,432 |
NorthWestern Corp. | 44,560 | 2,506,946 |
Public Service Enterprise Group, Inc. | 445,898 | 24,943,534 |
Sempra Energy | 258,005 | 32,111,302 |
Unitil Corp. | 13,202 | 569,666 |
WEC Energy Group, Inc. | 278,448 | 26,524,957 |
TOTAL MULTI-UTILITIES | 248,164,067 | |
WATER UTILITIES – 4.8% | ||
Water Utilities – 4.8% | ||
American States Water Co. | 32,538 | 2,501,521 |
American Water Works Co., Inc. | 159,754 | 23,526,971 |
Cadiz, Inc. (a) | 30,818 | 327,287 |
California Water Service Group | 42,500 | 1,991,975 |
Essential Utilities, Inc. | 196,659 | 8,918,486 |
Middlesex Water Co. | 15,413 | 987,357 |
SJW Group | 22,641 | 1,414,157 |
The York Water Co. | 11,364 | 526,267 |
TOTAL WATER UTILITIES | 40,194,021 | |
TOTAL COMMON STOCKS (Cost $831,503,952) | 841,031,280 |
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Money Market Fund – 0.1% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $1,074,000) | 1,074,000 | $ 1,074,000 |
TOTAL INVESTMENT IN SECURITIES – 99.7% (Cost $832,577,952) | 842,105,280 | |
NET OTHER ASSETS (LIABILITIES) – 0.3% | 2,701,261 | |
NET ASSETS – 100.0% | $ 844,806,541 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Utilities Select Sector Index Contracts | 59 | September 2020 | $3,609,620 | $68,083 | $68,083 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 841,031,280 | $ 841,031,280 | $ — | $ — | |||||
Money Market Funds | 1,074,000 | 1,074,000 | — | — | |||||
Total Investments in Securities: | $ 842,105,280 | $ 842,105,280 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 68,083 | $ 68,083 | $ — | $ — | |||||
Total Assets | $ 68,083 | $ 68,083 | $ — | $ — | |||||
Total Derivative Instruments: | $ 68,083 | $ 68,083 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $68,083 | $0 | |
Total Equity Risk | 68,083 | 0 | |
Total Value of Derivatives | $68,083 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
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Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule | $ 576,867,551 | $ 878,460,317 | $ 677,742,554 | $ 448,316,124 | |||
Segregated cash with brokers for derivative instruments | 117,000 | 143,600 | 124,800 | 260,000 | |||
Cash | 9,797 | 3,236 | 7,350 | 4,674 | |||
Receivable for investments sold | — | 91,773,459 | 9,973,955 | 32,995 | |||
Receivable for fund shares sold | — | — | 7,730 | — | |||
Dividends receivable | 737,410 | 129,765 | 1,059,883 | 882,533 | |||
Interest receivable | 30 | 75 | 66 | 46 | |||
Receivable for daily variation margin on futures contracts | 16,407 | 8,162 | 17,892 | — | |||
Total assets | 577,748,195 | 970,518,614 | 688,934,230 | 449,496,372 | |||
Liabilities | |||||||
Payable to custodian bank | — | — | — | — | |||
Payable for investments purchased | — | 88,870,143 | 10,239,618 | 62,899 | |||
Accrued management fees | 39,285 | 59,502 | 45,872 | 31,767 | |||
Payable for daily variation margin on futures contracts | — | — | — | 77,042 | |||
Total liabilities | 39,285 | 88,929,645 | 10,285,490 | 171,708 | |||
Net Assets | $577,708,910 | $881,588,969 | $678,648,740 | $ 449,324,664 | |||
Net Assets consist of: | |||||||
Paid in capital | 541,366,059 | 741,255,576 | 667,842,346 | 835,895,238 | |||
Total accumulated earnings (loss) | 36,342,851 | 140,333,393 | 10,806,394 | (386,570,574) | |||
Net Assets | $577,708,910 | $881,588,969 | $678,648,740 | $ 449,324,664 | |||
Shares outstanding | 15,250,000 | 15,400,000 | 18,200,000 | 47,450,000 | |||
Net Asset Value, offering price and redemption price per share | $ 37.88 | $ 57.25 | $ 37.29 | $ 9.47 | |||
Investments at cost | $504,491,036 | $700,929,208 | $636,835,162 | $ 683,381,660 |
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Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule | $ 724,009,677 | $ 2,012,248,280 | $ 347,050,335 | $ 4,283,005,325 | |||
Segregated cash with brokers for derivative instruments | 367,200 | 537,300 | 73,300 | 1,325,700 | |||
Cash | 1,386 | — | 5,029 | 66,855 | |||
Receivable for investments sold | 5,974 | 483,901 | — | 2,842,500 | |||
Receivable for fund shares sold | — | 37,603 | — | — | |||
Dividends receivable | 891,019 | 2,793,378 | 193,668 | 951,224 | |||
Interest receivable | 50 | 233 | 25 | 605 | |||
Receivable for daily variation margin on futures contracts | — | — | — | 355,419 | |||
Total assets | 725,275,306 | 2,016,100,695 | 347,322,357 | 4,288,547,628 | |||
Liabilities | |||||||
Payable to custodian bank | — | 479,541 | — | — | |||
Payable for investments purchased | 31,659 | 174,916 | — | — | |||
Accrued management fees | 51,095 | 138,910 | 23,745 | 291,760 | |||
Payable for daily variation margin on futures contracts | 133,518 | 41,058 | 1,135 | — | |||
Total liabilities | 216,272 | 834,425 | 24,880 | 291,760 | |||
Net Assets | $ 725,059,034 | $2,015,266,270 | $347,297,477 | $4,288,255,868 | |||
Net Assets consist of: | |||||||
Paid in capital | 884,040,994 | 1,746,055,081 | 395,644,703 | 2,883,494,576 | |||
Total accumulated earnings (loss) | (158,981,960) | 269,211,189 | (48,347,226) | 1,404,761,292 | |||
Net Assets | $ 725,059,034 | $2,015,266,270 | $347,297,477 | $4,288,255,868 | |||
Shares outstanding | 21,250,000 | 38,500,000 | 9,250,000 | 49,150,000 | |||
Net Asset Value, offering price and redemption price per share | $ 34.12 | $ 52.34 | $ 37.55 | $ 87.25 | |||
Investments at cost | $ 853,019,291 | $1,700,538,210 | $382,739,288 | $2,835,844,208 |
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Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Assets | |||||
Investments in securities, at value – See accompanying schedule | $ 164,325,739 | $ 1,066,363,275 | $ 842,105,280 | ||
Segregated cash with brokers for derivative instruments | 28,420 | 258,999 | 371,700 | ||
Cash | 282 | 5,355 | 6,262 | ||
Receivable for investments sold | — | — | 3,865,733 | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable | 147,839 | 447,428 | 397,819 | ||
Interest receivable | 10 | 101 | 95 | ||
Receivable for daily variation margin on futures contracts | 216 | — | 10,789 | ||
Total assets | 164,502,506 | 1,067,075,158 | 846,757,678 | ||
Liabilities | |||||
Payable to custodian bank | — | — | — | ||
Payable for investments purchased | 5,150 | 825,956 | 1,893,008 | ||
Accrued management fees | 11,293 | 70,494 | 58,129 | ||
Payable for daily variation margin on futures contracts | — | 25,030 | — | ||
Total liabilities | 16,443 | 921,480 | 1,951,137 | ||
Net Assets | $164,486,063 | $1,066,153,678 | $844,806,541 | ||
Net Assets consist of: | |||||
Paid in capital | 193,261,523 | 1,144,689,171 | 859,666,631 | ||
Total accumulated earnings (loss) | (28,775,460) | (78,535,493) | (14,860,090) | ||
Net Assets | $164,486,063 | $1,066,153,678 | $844,806,541 | ||
Shares outstanding | 5,000,000 | 44,000,000 | 21,600,000 | ||
Net Asset Value, offering price and redemption price per share | $ 32.90 | $ 24.23 | $ 39.11 | ||
Investments at cost | $183,126,663 | $1,107,249,968 | $832,577,952 |
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Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||
Investment Income | |||||||
Dividends | $ 4,869,178 | $ 8,221,939 | $ 16,664,718 | $ 17,696,528 | |||
Interest | 5,331 | 8,306 | 6,665 | 5,453 | |||
Total income | 4,874,509 | 8,230,245 | 16,671,383 | 17,701,981 | |||
Expenses | |||||||
Management fees | 390,923 | 601,733 | 502,414 | 346,007 | |||
Independent trustees' compensation | 2,765 | 4,441 | 3,674 | 2,652 | |||
Total expenses | 393,688 | 606,174 | 506,088 | 348,659 | |||
Net investment income (loss) | 4,480,821 | 7,624,071 | 16,165,295 | 17,353,322 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (10,321,486) | (25,718,455) | (23,694,497) | (88,828,974) | |||
Net realized gain (loss) on In-kind redemptions | 26,870,322 | 27,572,002 | 41,110,657 | 10,237,479 | |||
Net realized gain (loss) on futures contracts | (308,470) | (60,564) | 124,315 | 202,863 | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | 16,240,366 | 1,792,983 | 17,540,475 | (78,388,632) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 36,544,671 | 145,848,256 | 19,004,958 | (119,640,102) | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 60,584 | 56,404 | 42,303 | (89,910) | |||
Total change in net unrealized appreciation (depreciation) | 36,605,255 | 145,904,660 | 19,047,261 | (119,730,012) | |||
Net gain (loss) | 52,845,621 | 147,697,643 | 36,587,736 | (198,118,644) | |||
Net increase (decrease) in net assets resulting from operations | $ 57,326,442 | $155,321,714 | $ 52,753,031 | $(180,765,322) |
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Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||
Investment Income | |||||||
Dividends | $ 24,374,842 | $ 26,715,520 | $ 7,429,659 | $ 41,242,031 | |||
Interest | 12,032 | 27,026 | 5,016 | 35,188 | |||
Total income | 24,386,874 | 26,742,546 | 7,434,675 | 41,277,219 | |||
Expenses | |||||||
Management fees | 757,299 | 1,389,800 | 328,876 | 2,654,374 | |||
Independent trustees' compensation | 6,048 | 10,248 | 2,554 | 18,732 | |||
Total expenses | 763,347 | 1,400,048 | 331,430 | 2,673,106 | |||
Net investment income (loss) | 23,623,527 | 25,342,498 | 7,103,245 | 38,604,113 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (20,093,089) | (18,931,847) | (6,608,480) | (14,958,756) | |||
Net realized gain (loss) on In-kind redemptions | 18,265,900 | 87,545,696 | 10,366,964 | 117,617,321 | |||
Net realized gain (loss) on futures contracts | (603,612) | (145,721) | (177,456) | 1,260,395 | |||
Net realized gain (loss) on foreign currency transactions | — | — | (11) | — | |||
Total net realized gain (loss) | (2,430,801) | 68,468,128 | 3,581,017 | 103,918,960 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (188,227,904) | 199,173,492 | (39,493,442) | 927,582,952 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 52,967 | 400,911 | 20,212 | 1,241,202 | |||
Total change in net unrealized appreciation (depreciation) | (188,174,937) | 199,574,403 | (39,473,230) | 928,824,154 | |||
Net gain (loss) | (190,605,738) | 268,042,531 | (35,892,213) | 1,032,743,114 | |||
Net increase (decrease) in net assets resulting from operations | $(166,982,211) | $293,385,029 | $(28,788,968) | $1,071,347,227 |
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Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 3,774,068 | $ 25,539,901 | $ 27,379,730 | ||
Interest | 2,745 | 11,901 | 11,520 | ||
Total income | 3,776,813 | 25,551,802 | 27,391,250 | ||
Expenses | |||||
Management fees | 146,103 | 789,138 | 726,704 | ||
Independent trustees' compensation | 1,125 | 5,752 | 5,341 | ||
Total expenses | 147,228 | 794,890 | 732,045 | ||
Net investment income (loss) | 3,629,585 | 24,756,912 | 26,659,205 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (2,952,968) | (29,948,888) | (6,736,835) | ||
Net realized gain (loss) on In-kind redemptions | (211,623) | 4,396,013 | 26,234,019 | ||
Net realized gain (loss) on futures contracts | (143,809) | 227,085 | (752,362) | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | (3,308,400) | (25,325,790) | 18,744,822 | ||
Change in net unrealized appreciation (depreciation) on investment securities | (5,530,882) | (82,887,198) | (50,587,566) | ||
Change in net unrealized appreciation (depreciation) on futures contracts | 17,634 | 74,389 | 68,083 | ||
Total change in net unrealized appreciation (depreciation) | (5,513,248) | (82,812,809) | (50,519,483) | ||
Net gain (loss) | (8,821,648) | (108,138,599) | (31,774,661) | ||
Net increase (decrease) in net assets resulting from operations | $ (5,192,063) | $ (83,381,687) | $ (5,115,456) |
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Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 4,480,821 | $ 3,919,089 | $ 7,624,071 | $ 7,955,257 | |||
Net realized gain (loss) | 16,240,366 | 6,708,389 | 1,792,983 | 63,352,867 | |||
Change in net unrealized appreciation (depreciation) | 36,605,255 | 36,735,985 | 145,904,660 | (34,233,246) | |||
Net increase (decrease) in net assets resulting from operations | 57,326,442 | 47,363,463 | 155,321,714 | 37,074,878 | |||
Distributions to shareholders | (4,434,950) | (3,314,700) | (7,815,800) | (8,215,200) | |||
Return of capital | — | — | — | — | |||
Total distributions | (4,434,950) | (3,314,700) | (7,815,800) | (8,215,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 291,574,303 | 333,949,778 | 197,065,429 | 550,589,148 | |||
Cost of shares redeemed | (141,145,649) | (128,714,106) | (191,439,423) | (479,120,713) | |||
Net increase (decrease) in net assets resulting from share transactions | 150,428,654 | 205,235,672 | 5,626,006 | 71,468,435 | |||
Total increase (decrease) in net assets | 203,320,146 | 249,284,435 | 153,131,920 | 100,328,113 | |||
Net Assets | |||||||
Beginning of year | 374,388,764 | 125,104,329 | 728,457,049 | 628,128,936 | |||
End of year | $ 577,708,910 | $ 374,388,764 | $ 881,588,969 | $ 728,457,049 | |||
Other Information | |||||||
Shares | |||||||
Sold | 8,500,000 | 10,700,000 | 3,950,000 | 12,900,000 | |||
Redeemed | (4,150,000) | (4,150,000) | (4,300,000) | (11,650,000) | |||
Net increase (decrease) | 4,350,000 | 6,550,000 | (350,000) | 1,250,000 |
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Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 16,165,295 | $ 12,548,098 | $ 17,353,322 | $ 14,963,635 | |||
Net realized gain (loss) | 17,540,475 | 10,498,459 | (78,388,632) | (6,819,269) | |||
Change in net unrealized appreciation (depreciation) | 19,047,261 | 23,359,605 | (119,730,012) | (128,630,437) | |||
Net increase (decrease) in net assets resulting from operations | 52,753,031 | 46,406,162 | (180,765,322) | (120,486,071) | |||
Distributions to shareholders | (15,887,400) | (12,158,300) | (29,582,350) | (15,191,850) | |||
Return of capital | — | — | — | — | |||
Total distributions | (15,887,400) | (12,158,300) | (29,582,350) | (15,191,850) | |||
Share transactions | |||||||
Proceeds from sales of shares | 344,013,928 | 421,706,910 | 295,198,608 | 144,619,090 | |||
Cost of shares redeemed | (250,300,763) | (219,855,040) | (103,154,387) | (175,470,393) | |||
Net increase (decrease) in net assets resulting from share transactions | 93,713,165 | 201,851,870 | 192,044,221 | (30,851,303) | |||
Total increase (decrease) in net assets | 130,578,796 | 236,099,732 | (18,303,451) | (166,529,224) | |||
Net Assets | |||||||
Beginning of year | 548,069,944 | 311,970,212 | 467,628,115 | 634,157,339 | |||
End of year | $ 678,648,740 | $ 548,069,944 | $ 449,324,664 | $ 467,628,115 | |||
Other Information | |||||||
Shares | |||||||
Sold | 9,800,000 | 12,600,000 | 29,050,000 | 8,000,000 | |||
Redeemed | (7,000,000) | (6,850,000) | (9,450,000) | (9,650,000) | |||
Net increase (decrease) | 2,800,000 | 5,750,000 | 19,600,000 | (1,650,000) |
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Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 23,623,527 | $ 28,248,410 | $ 25,342,498 | $ 21,863,611 | |||
Net realized gain (loss) | (2,430,801) | 79,721,304 | 68,468,128 | 90,474,894 | |||
Change in net unrealized appreciation (depreciation) | (188,174,937) | (105,807,789) | 199,574,403 | (73,666,611) | |||
Net increase (decrease) in net assets resulting from operations | (166,982,211) | 2,161,925 | 293,385,029 | 38,671,894 | |||
Distributions to shareholders | (23,513,000) | (28,117,600) | (23,973,050) | (32,785,100) | |||
Return of capital | — | — | — | — | |||
Total distributions | (23,513,000) | (28,117,600) | (23,973,050) | (32,785,100) | |||
Share transactions | |||||||
Proceeds from sales of shares | 108,377,280 | 111,490,469 | 471,503,606 | 605,506,750 | |||
Cost of shares redeemed | (336,681,503) | (516,051,490) | (282,901,778) | (306,767,425) | |||
Net increase (decrease) in net assets resulting from share transactions | (228,304,223) | (404,561,021) | 188,601,828 | 298,739,325 | |||
Total increase (decrease) in net assets | (418,799,434) | (430,516,696) | 458,013,807 | 304,626,119 | |||
Net Assets | |||||||
Beginning of year | 1,143,858,468 | 1,574,375,164 | 1,557,252,463 | 1,252,626,344 | |||
End of year | $ 725,059,034 | $1,143,858,468 | $2,015,266,270 | $1,557,252,463 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,900,000 | 2,900,000 | 9,700,000 | 13,600,000 | |||
Redeemed | (9,400,000) | (13,500,000) | (6,250,000) | (7,200,000) | |||
Net increase (decrease) | (6,500,000) | (10,600,000) | 3,450,000 | 6,400,000 |
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Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 7,103,245 | $ 8,095,623 | $ 38,604,113 | $ 27,104,670 | |||
Net realized gain (loss) | 3,581,017 | 23,882,304 | 103,918,960 | 194,611,311 | |||
Change in net unrealized appreciation (depreciation) | (39,473,230) | (26,405,832) | 928,824,154 | 72,901,985 | |||
Net increase (decrease) in net assets resulting from operations | (28,788,968) | 5,572,095 | 1,071,347,227 | 294,617,966 | |||
Distributions to shareholders | (7,240,200) | (7,967,250) | (37,905,100) | (26,778,650) | |||
Return of capital | — | — | — | — | |||
Total distributions | (7,240,200) | (7,967,250) | (37,905,100) | (26,778,650) | |||
Share transactions | |||||||
Proceeds from sales of shares | 52,096,532 | 99,681,511 | 943,899,046 | 731,389,567 | |||
Cost of shares redeemed | (123,240,943) | (142,639,469) | (260,449,536) | (651,118,489) | |||
Net increase (decrease) in net assets resulting from share transactions | (71,144,411) | (42,957,958) | 683,449,510 | 80,271,078 | |||
Total increase (decrease) in net assets | (107,173,579) | (45,353,113) | 1,716,891,637 | 348,110,394 | |||
Net Assets | |||||||
Beginning of year | 454,471,056 | 499,824,169 | 2,571,364,231 | 2,223,253,837 | |||
End of year | $ 347,297,477 | $ 454,471,056 | $4,288,255,868 | $2,571,364,231 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,400,000 | 2,600,000 | 13,150,000 | 12,700,000 | |||
Redeemed | (3,500,000) | (3,900,000) | (3,850,000) | (12,300,000) | |||
Net increase (decrease) | (2,100,000) | (1,300,000) | 9,300,000 | 400,000 |
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Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,629,585 | $ 4,165,365 | $ 24,756,912 | $ 28,928,287 | |||
Net realized gain (loss) | (3,308,400) | (2,984,773) | (25,325,790) | 11,060,069 | |||
Change in net unrealized appreciation (depreciation) | (5,513,248) | (17,284,162) | (82,812,809) | 43,048,682 | |||
Net increase (decrease) in net assets resulting from operations | (5,192,063) | (16,103,570) | (83,381,687) | 83,037,038 | |||
Distributions to shareholders | (3,689,350) | (4,082,150) | (24,756,912) | (34,076,900) | |||
Return of capital | — | — | (7,484,038) | — | |||
Total distributions | (3,689,350) | (4,082,150) | (32,240,950) | (34,076,900) | |||
Share transactions | |||||||
Proceeds from sales of shares | 76,091,208 | 84,423,869 | 623,288,190 | 590,575,099 | |||
Cost of shares redeemed | (101,766,943) | (130,623,126) | (285,514,758) | (297,879,834) | |||
Net increase (decrease) in net assets resulting from share transactions | (25,675,735) | (46,199,257) | 337,773,432 | 292,695,265 | |||
Total increase (decrease) in net assets | (34,557,148) | (66,384,977) | 222,150,795 | 341,655,403 | |||
Net Assets | |||||||
Beginning of year | 199,043,211 | 265,428,188 | 844,002,883 | 502,347,480 | |||
End of year | $ 164,486,063 | $ 199,043,211 | $1,066,153,678 | $ 844,002,883 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,350,000 | 2,650,000 | 25,200,000 | 23,800,000 | |||
Redeemed | (3,450,000) | (4,200,000) | (12,950,000) | (12,400,000) | |||
Net increase (decrease) | (1,100,000) | (1,550,000) | 12,250,000 | 11,400,000 |
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Fidelity MSCI Utilities Index ETF | |||
Year ended July 31, 2020 | Year ended July 31, 2019 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 26,659,205 | $ 16,911,430 | |
Net realized gain (loss) | 18,744,822 | 8,631,826 | |
Change in net unrealized appreciation (depreciation) | (50,519,483) | 54,722,931 | |
Net increase (decrease) in net assets resulting from operations | (5,115,456) | 80,266,187 | |
Distributions to shareholders | (27,022,800) | (16,704,200) | |
Return of capital | — | — | |
Total distributions | (27,022,800) | (16,704,200) | |
Share transactions | |||
Proceeds from sales of shares | 372,539,343 | 483,209,133 | |
Cost of shares redeemed | (228,784,710) | (149,853,958) | |
Net increase (decrease) in net assets resulting from share transactions | 143,754,633 | 333,355,175 | |
Total increase (decrease) in net assets | 111,616,377 | 396,917,162 | |
Net Assets | |||
Beginning of year | 733,190,164 | 336,273,002 | |
End of year | $ 844,806,541 | $ 733,190,164 | |
Other Information | |||
Shares | |||
Sold | 9,100,000 | 13,100,000 | |
Redeemed | (6,200,000) | (4,050,000) | |
Net increase (decrease) | 2,900,000 | 9,050,000 |
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Fidelity MSCI Communication Services Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 34.35 | $ 28.76 | $ 32.62 | $ 32.10 | $ 26.86 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.33 | 0.49 | 0.85 | 0.80 | 0.78 | ||||
Net realized and unrealized gain (loss) | 3.52 | 5.59 | (2.43) | 0.62 | 5.11 | ||||
Total from investment operations | 3.85 | 6.08 | (1.58) | 1.42 | 5.89 | ||||
Distributions from net investment income | (0.32) | (0.49) | (1.00) | (0.90) | (0.65) | ||||
Distributions from net realized gain | — | — | (1.28) | — | — | ||||
Total distributions | (0.32) | (0.49) | (2.28) | (0.90) | (0.65) | ||||
Net asset value, end of period | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | $ 32.10 | ||||
Total Return | 11.40% | 21.33% | (5.14)% | 4.58% | 22.36% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | .96% | 1.53% | 2.81% | 2.55% | 2.74% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $577,709 | $374,389 | $125,104 | $115,818 | $174,940 | ||||
Portfolio turnover rateC,D | 23% | 82% | 38% | 27% | 26% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Consumer Discretionary Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 46.25 | $ 43.32 | $ 36.06 | $ 31.99 | $ 32.06 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.50 | 0.51 | 0.47 | 0.50 | 0.43 | ||||
Net realized and unrealized gain (loss) | 11.01 | 2.96 | 7.20 | 4.07 | (0.06) | ||||
Total from investment operations | 11.51 | 3.47 | 7.67 | 4.57 | 0.37 | ||||
Distributions from net investment income | (0.51) | (0.54) | (0.41) | (0.50) | (0.44) | ||||
Total distributions | (0.51) | (0.54) | (0.41) | (0.50) | (0.44) | ||||
Net asset value, end of period | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | $ 31.99 | ||||
Total Return | 25.26% | 8.15% | 21.36% | 14.41% | 1.25% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 1.06% | 1.18% | 1.16% | 1.49% | 1.41% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $881,589 | $728,457 | $628,129 | $293,913 | $262,322 | ||||
Portfolio turnover rateC,D | 60% | 25% | 5% | 7% | 5% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Consumer Staples Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 35.59 | $ 32.33 | $ 33.23 | $ 32.82 | $ 30.31 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.96 | 0.94 | 0.86 | 0.83 | 0.75 | ||||
Net realized and unrealized gain (loss) | 1.70 | 3.23 | (0.88) | 0.40 | 2.56 | ||||
Total from investment operations | 2.66 | 4.17 | (0.02) | 1.23 | 3.31 | ||||
Distributions from net investment income | (0.96) | (0.91) | (0.88) | (0.82) | (0.80) | ||||
Total distributions | (0.96) | �� | (0.91) | (0.88) | (0.82) | (0.80) | |||
Net asset value, end of period | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | $ 32.82 | ||||
Total Return | 7.74% | 13.16% | (0.06)% | 3.82% | 11.18% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 2.68% | 2.83% | 2.65% | 2.56% | 2.45% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $678,649 | $548,070 | $311,970 | $312,349 | $285,504 | ||||
Portfolio turnover rateC,D | 34% | 30% | 24% | 11% | 10% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Energy Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 16.79 | $ 21.50 | $ 18.39 | $ 19.03 | $ 19.72 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.51 | 0.54 | 0.47 | 0.57 | 0.50 | ||||
Net realized and unrealized gain (loss) | (6.86) | (4.70) | 3.22 | (0.73) | (0.69) | ||||
Total from investment operations | (6.35) | (4.16) | 3.69 | (0.16) | (0.19) | ||||
Distributions from net investment income | (0.97) | (0.55) | (0.58) | (0.48) | (0.50) | ||||
Total distributions | (0.97) | (0.55) | (0.58) | (0.48) | (0.50) | ||||
Net asset value, end of period | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | $ 19.03 | ||||
Total Return | (39.28)% | (19.42)% | 20.52% | (0.96)% | (0.75)% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 4.18% | 2.92% | 2.40% | 2.91% | 2.74% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $449,325 | $467,628 | $634,157 | $431,311 | $430,039 | ||||
Portfolio turnover rateC,D | 17% | 6% | 5% | 10% | 19% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Financials Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 41.22 | $ 41.05 | $ 36.94 | $ 28.61 | $ 29.78 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 1.00 | 0.89 | 0.75 | 0.61 | 0.63 | ||||
Net realized and unrealized gain (loss) | (7.09) | 0.18 B | 4.11 | 8.28 | (1.11) | ||||
Total from investment operations | (6.09) | 1.07 | 4.86 | 8.89 | (0.48) | ||||
Distributions from net investment income | (1.01) | (0.90) | (0.75) | (0.56) | (0.69) | ||||
Total distributions | (1.01) | (0.90) | (0.75) | (0.56) | (0.69) | ||||
Net asset value, end of period | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | $ 28.61 | ||||
Total Return | (14.78)% | 2.80% | 13.23% | 31.31% | (1.49)% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 2.61% | 2.27% | 1.88% | 1.77% | 2.29% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $725,059 | $1,143,858 | $1,574,375 | $921,679 | $237,490 | ||||
Portfolio turnover rateD,E | 6% | 5% | 5% | 18% | 8% |
A | Calculated based on average shares outstanding during the period. |
B | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
C | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
D | Amount does not include the portfolio activity of any underlying funds. |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Health Care Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 44.43 | $ 43.72 | $ 38.44 | $ 35.67 | $ 37.16 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.72 | 0.63 | 0.56 | 0.51 | 0.44 | ||||
Net realized and unrealized gain (loss) | 7.88 | 1.01 | 5.29 | 2.76 | (1.49) | ||||
Total from investment operations | 8.60 | 1.64 | 5.85 | 3.27 | (1.05) | ||||
Distributions from net investment income | (0.69) | (0.93) | (0.57) | (0.50) | (0.44) | ||||
Total distributions | (0.69) | (0.93) | (0.57) | (0.50) | (0.44) | ||||
Net asset value, end of period | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | $ 35.67 | ||||
Total Return | 19.69% | 3.84% | 15.34% | 9.30% | (2.73)% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 1.52% | 1.43% | 1.39% | 1.45% | 1.30% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $2,015,266 | $1,557,252 | $1,252,626 | $818,710 | $642,124 | ||||
Portfolio turnover rateC,D | 7% | 5% | 8% | 4% | 9% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Industrials Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 40.04 | $ 39.51 | $ 34.93 | $ 30.10 | $ 28.05 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.69 | 0.70 | 0.61 | 0.61 | 0.54 | ||||
Net realized and unrealized gain (loss) | (2.48) | 0.51 B | 4.62 | 4.79 | 2.04 | ||||
Total from investment operations | (1.79) | 1.21 | 5.23 | 5.40 | 2.58 | ||||
Distributions from net investment income | (0.70) | (0.68) | (0.65) | (0.57) | (0.53) | ||||
Total distributions | (0.70) | (0.68) | (0.65) | (0.57) | (0.53) | ||||
Net asset value, end of period | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | $ 30.10 | ||||
Total Return | (4.34)% | 3.23% | 15.08% | 18.08% | 9.41% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 1.80% | 1.84% | 1.61% | 1.85% | 1.94% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $347,297 | $454,471 | $499,824 | $354,586 | $158,049 | ||||
Portfolio turnover rateD,E | 4% | 5% | 5% | 5% | 11% |
A | Calculated based on average shares outstanding during the period. |
B | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
C | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
D | Amount does not include the portfolio activity of any underlying funds. |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Information Technology Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 64.53 | $ 56.36 | $ 44.50 | $ 34.93 | $ 32.69 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.87 | 0.70 | 0.53 | 0.48 | 0.46 | ||||
Net realized and unrealized gain (loss) | 22.70 | 8.17 | 11.85 | 9.54 | 2.24 B | ||||
Total from investment operations | 23.57 | 8.87 | 12.38 | 10.02 | 2.70 | ||||
Distributions from net investment income | (0.85) | (0.70) | (0.52) | (0.45) | (0.46) | ||||
Total distributions | (0.85) | (0.70) | (0.52) | (0.45) | (0.46) | ||||
Net asset value, end of period | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | $ 34.93 | ||||
Total Return | 36.99% | 15.94% | 27.92% | 28.86% | 8.41% B | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 1.21% | 1.22% | 1.02% | 1.19% | 1.42% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $4,288,256 | $2,571,364 | $2,223,254 | $1,010,043 | $431,391 | ||||
Portfolio turnover rateD,E | 5% | 18% | 4% | 6% | 5% |
A | Calculated based on average shares outstanding during the period. |
B | Amount includes a reimbursement from the investment advisor for an operational error which amounted to $.01 per share. Excluding this reimbursement, the total return would have been 8.38%. |
C | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
D | Amount does not include the portfolio activity of any underlying funds. |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Materials Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 32.63 | $ 34.70 | $ 31.63 | $ 27.71 | $ 25.91 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.65 | 0.65 | 0.55 | 0.57 | 0.50 | ||||
Net realized and unrealized gain (loss) | 0.30 B | (2.08) | 3.09 | 3.87 | 1.83 | ||||
Total from investment operations | 0.95 | (1.43) | 3.64 | 4.44 | 2.33 | ||||
Distributions from net investment income | (0.68) | (0.64) | (0.57) | (0.52) | (0.53) | ||||
Total distributions | (0.68) | (0.64) | (0.57) | (0.52) | (0.53) | ||||
Net asset value, end of period | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | $ 27.71 | ||||
Total Return | 3.28% | (4.02)% | 11.54% | 16.17% | 9.28% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .11% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .11% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .11% | ||||
Net investment income (loss) | 2.08% | 2.05% | 1.60% | 1.93% | 2.00% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $164,486 | $199,043 | $265,428 | $211,931 | $123,325 | ||||
Portfolio turnover rateD,E | 3% | 12% | 10% | 7% | 9% |
A | Calculated based on average shares outstanding during the period. |
B | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
C | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
D | Amount does not include the portfolio activity of any underlying funds. |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Real Estate Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 26.58 | $ 24.69 | $ 24.53 | $ 25.83 | $ 22.55 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.67 | 1.05 | 0.76 | 0.68 | 0.83 | ||||
Net realized and unrealized gain (loss) | (2.13) | 2.08 | 0.32 | (1.12) | 3.37 | ||||
Total from investment operations | (1.46) | 3.13 | 1.08 | (0.44) | 4.20 | ||||
Distributions from net investment income | (0.68) | (1.24) | (0.92) | (0.86) | (0.92) | ||||
Return of capital | (0.21) | — | — | — | — | ||||
Total distributions | (0.89) | (1.24) | (0.92) | (0.86) | (0.92) | ||||
Net asset value, end of period | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | $ 25.83 | ||||
Total Return | (5.27)% | 13.19% | 4.53% | (1.53)% | 19.29% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .11% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .11% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .11% | ||||
Net investment income (loss) | 2.62% | 4.20% | 3.15% | 2.85% | 3.55% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,066,154 | $844,003 | $502,347 | $392,538 | $183,394 | ||||
Portfolio turnover rateC,D | 9% | 10% | 8% | 17% | 10% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity MSCI Utilities Index ETF | |||||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | Year ended July 31, 2016 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 39.21 | $ 34.85 | $ 34.64 | $ 33.57 | $ 28.10 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 1.23 | 1.16 | 1.10 | 1.06 | 0.98 | ||||
Net realized and unrealized gain (loss) | (0.09) | 4.32 | 0.20 | 1.09 | 5.48 | ||||
Total from investment operations | 1.14 | 5.48 | 1.30 | 2.15 | 6.46 | ||||
Distributions from net investment income | (1.24) | (1.12) | (1.09) | (1.08) | (0.99) | ||||
Total distributions | (1.24) | (1.12) | (1.09) | (1.08) | (0.99) | ||||
Net asset value, end of period | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | $ 33.57 | ||||
Total Return | 3.13% | 15.93% | 3.83% | 6.61% | 23.56% | ||||
Ratios to Average Net AssetsB | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .12% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .12% | ||||
Net investment income (loss) | 3.06% | 3.11% | 3.21% | 3.22% | 3.25% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $844,807 | $733,190 | $336,273 | $277,149 | $283,669 | ||||
Portfolio turnover rateC,D | 5% | 7% | 6% | 6% | 9% |
A | Calculated based on average shares outstanding during the period. |
B | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
C | Amount does not include the portfolio activity of any underlying funds. |
D | Portfolio turnover rate excludes securities received or delivered in-kind. |
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For the year ended July 31, 2020
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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.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity MSCI Communication Services Index ETF | $ 510,024,984 | $ 94,998,235 | $ (28,155,668) | $ 66,842,567 |
Fidelity MSCI Consumer Discretionary Index ETF | 723,618,530 | 188,783,673 | (33,941,886) | 154,841,787 |
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Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity MSCI Consumer Staples Index ETF | $ 659,572,921 | $ 45,499,895 | $ (27,330,262) | $ 18,169,633 |
Fidelity MSCI Energy Index ETF | 754,526,543 | 891,591 | (307,102,010) | (306,210,419) |
Fidelity MSCI Financials Index ETF | 857,282,309 | 50,286,575 | (183,559,207) | (133,272,632) |
Fidelity MSCI Health Care Index ETF | 1,715,886,565 | 366,923,004 | (70,561,289) | 296,361,715 |
Fidelity MSCI Industrials Index ETF | 384,452,461 | 38,464,846 | (75,866,972) | (37,402,126) |
Fidelity MSCI Information Technology Index ETF | 2,845,555,803 | 1,502,963,020 | (65,513,498) | 1,437,449,522 |
Fidelity MSCI Materials Index ETF | 184,043,133 | 17,144,193 | (36,861,587) | (19,717,394) |
Fidelity MSCI Real Estate Index ETF | 1,120,530,471 | 110,191,054 | (164,358,250) | (54,167,196) |
Fidelity MSCI Utilities Index ETF | 837,203,561 | 59,181,997 | (54,280,278) | 4,901,719 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 650,260 | $ — | $ (31,149,976) | $ 66,842,567 |
Fidelity MSCI Consumer Discretionary Index ETF | 112,981 | — | (14,621,376) | 154,841,787 |
Fidelity MSCI Consumer Staples Index ETF | 1,109,590 | — | (8,472,827) | 18,169,633 |
Fidelity MSCI Energy Index ETF | — | — | (80,360,155) | (306,210,419) |
Fidelity MSCI Financials Index ETF | 1,111,132 | — | (26,820,459) | (133,272,632) |
Fidelity MSCI Health Care Index ETF | 1,635,288 | — | (28,785,813) | 296,361,715 |
Fidelity MSCI Industrials Index ETF | 68,618 | — | (11,013,717) | (37,402,126) |
Fidelity MSCI Information Technology Index ETF | 1,846,797 | — | (34,535,027) | 1,437,449,522 |
Fidelity MSCI Materials Index ETF | 77,548 | — | (9,135,613) | (19,717,394) |
Fidelity MSCI Real Estate Index ETF | — | — | (24,368,297) | (54,167,196) |
Fidelity MSCI Utilities Index ETF | — | — | (19,761,809) | 4,901,719 |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity MSCI Communication Services Index ETF | $ (14,001,695) | $ (17,148,281) | $ (31,149,976) |
Fidelity MSCI Consumer Discretionary Index ETF | — | (14,621,376) | (14,621,376) |
Fidelity MSCI Consumer Staples Index ETF | (178,999) | (8,293,828) | (8,472,827) |
Fidelity MSCI Energy Index ETF | (8,497,463) | (71,862,692) | (80,360,155) |
Fidelity MSCI Financials Index ETF | (9,368,382) | (17,452,077) | (26,820,459) |
Fidelity MSCI Health Care Index ETF | (8,190,251) | (20,595,562) | (28,785,813) |
Fidelity MSCI Industrials Index ETF | (2,606,950) | (8,406,767) | (11,013,717) |
Fidelity MSCI Information Technology Index ETF | (32,782,328) | (1,752,699) | (34,535,027) |
Fidelity MSCI Materials Index ETF | (3,426,357) | (5,709,256) | (9,135,613) |
Fidelity MSCI Real Estate Index ETF | (11,697,726) | (12,670,571) | (24,368,297) |
Fidelity MSCI Utilities Index ETF | (8,050,781) | (11,711,028) | (19,761,809) |
July 31, 2020 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Communication Services Index ETF | $ 4,434,950 | $ — | $ — | $ 4,434,950 |
Fidelity MSCI Consumer Discretionary Index ETF | 7,815,800 | — | — | 7,815,800 |
Fidelity MSCI Consumer Staples Index ETF | 15,887,400 | — | — | 15,887,400 |
Fidelity MSCI Energy Index ETF | 29,582,350 | — | — | 29,582,350 |
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July 31, 2020 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Financials Index ETF | $ 23,513,000 | $ — | $ — | $ 23,513,000 |
Fidelity MSCI Health Care Index ETF | 23,973,050 | — | — | 23,973,050 |
Fidelity MSCI Industrials Index ETF | 7,240,200 | — | — | 7,240,200 |
Fidelity MSCI Information Technology Index ETF | 37,905,100 | — | — | 37,905,100 |
Fidelity MSCI Materials Index ETF | 3,689,350 | — | — | 3,689,350 |
Fidelity MSCI Real Estate Index ETF | 24,756,912 | — | 7,484,038 | 32,240,950 |
Fidelity MSCI Utilities Index ETF | 27,022,800 | — | — | 27,022,800 |
July 31, 2019 | ||||
Fidelity MSCI Communication Services Index ETF | $ 3,314,700 | $ — | $ — | $ 3,314,700 |
Fidelity MSCI Consumer Discretionary Index ETF | 8,215,200 | — | — | 8,215,200 |
Fidelity MSCI Consumer Staples Index ETF | 12,158,300 | — | — | 12,158,300 |
Fidelity MSCI Energy Index ETF | 15,191,850 | — | — | 15,191,850 |
Fidelity MSCI Financials Index ETF | 28,117,600 | — | — | 28,117,600 |
Fidelity MSCI Health Care Index ETF | 32,785,100 | — | — | 32,785,100 |
Fidelity MSCI Industrials Index ETF | 7,967,250 | — | — | 7,967,250 |
Fidelity MSCI Information Technology Index ETF | 26,778,650 | — | — | 26,778,650 |
Fidelity MSCI Materials Index ETF | 4,082,150 | — | — | 4,082,150 |
Fidelity MSCI Real Estate Index ETF | 34,076,900 | — | — | 34,076,900 |
Fidelity MSCI Utilities Index ETF | 16,704,200 | — | — | 16,704,200 |
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unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statements of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statements of Operations.
Purchases | Sales | |
Fidelity MSCI Communication Services Index ETF | $ 105,619,606 | $ 106,065,420 |
Fidelity MSCI Consumer Discretionary Index ETF | 433,912,046 | 437,863,446 |
Fidelity MSCI Consumer Staples Index ETF | 203,605,885 | 202,714,036 |
Fidelity MSCI Energy Index ETF | 71,680,992 | 71,689,521 |
Fidelity MSCI Financials Index ETF | 54,689,929 | 60,847,440 |
Fidelity MSCI Health Care Index ETF | 137,698,152 | 117,111,365 |
Fidelity MSCI Industrials Index ETF | 17,315,030 | 18,125,931 |
Fidelity MSCI Information Technology Index ETF | 152,134,747 | 157,343,148 |
Fidelity MSCI Materials Index ETF | 5,440,796 | 5,791,562 |
Fidelity MSCI Real Estate Index ETF | 102,789,866 | 88,497,970 |
Fidelity MSCI Utilities Index ETF | 45,892,190 | 48,870,953 |
In-kind Subscriptions | In-kind Redemptions | |
Fidelity MSCI Communication Services Index ETF | $ 290,305,918 | $ 140,415,481 |
Fidelity MSCI Consumer Discretionary Index ETF | 195,504,511 | 189,917,134 |
Fidelity MSCI Consumer Staples Index ETF | 342,232,379 | 248,999,476 |
Fidelity MSCI Energy Index ETF | 292,302,207 | 102,496,092 |
Fidelity MSCI Financials Index ETF | 105,607,954 | 328,388,069 |
Fidelity MSCI Health Care Index ETF | 469,104,553 | 281,146,546 |
Fidelity MSCI Industrials Index ETF | 51,603,981 | 122,121,191 |
Fidelity MSCI Information Technology Index ETF | 938,042,019 | 258,684,859 |
Fidelity MSCI Materials Index ETF | 75,790,404 | 101,347,053 |
Fidelity MSCI Real Estate Index ETF | 604,060,161 | 280,792,759 |
Fidelity MSCI Utilities Index ETF | 371,275,387 | 227,718,189 |
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Fidelity MSCI Communication Services Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 570 | 45.24% | 646 | 51.27% |
25 - <50 | 14 | 1.11% | 27 | 2.14% |
50 - <75 | 2 | 0.16% | 0 | — |
75 - <100 | 0 | — | 1 | 0.08% |
100 or above | 0 | — | 0 | — |
Total | 586 | 46.51% | 674 | 53.49% |
Fidelity MSCI Consumer Discretionary Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 600 | 47.62% | 651 | 51.67% |
25 - <50 | 5 | 0.40% | 3 | 0.24% |
50 - <75 | 1 | 0.08% | 0 | — |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 606 | 48.10% | 654 | 51.90% |
Fidelity MSCI Consumer Staples Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 495 | 39.28% | 760 | 60.32% |
25 - <50 | 4 | 0.32% | 0 | — |
50 - <75 | 0 | — | 0 | — |
75 - <100 | 0 | — | 0 | — |
100 or above | 1 | 0.08% | 0 | — |
Total | 500 | 39.68% | 760 | 60.32% |
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Fidelity MSCI Energy Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 507 | 40.24% | 741 | 58.80% |
25 - <50 | 1 | 0.08% | 4 | 0.32% |
50 - <75 | 2 | 0.16% | 3 | 0.24% |
75 - <100 | 0 | — | 1 | 0.08% |
100 or above | 0 | — | 1 | 0.08% |
Total | 510 | 40.48% | 750 | 59.52% |
Fidelity MSCI Financials Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 588 | 46.66% | 665 | 52.78% |
25 - <50 | 4 | 0.32% | 1 | 0.08% |
50 - <75 | 0 | — | 2 | 0.16% |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 592 | 46.98% | 668 | 53.02% |
Fidelity MSCI Health Care Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 558 | 44.28% | 698 | 55.40% |
25 - <50 | 1 | 0.08% | 1 | 0.08% |
50 - <75 | 0 | — | 1 | 0.08% |
75 - <100 | 0 | — | 0 | — |
100 or above | 1 | 0.08% | 0 | — |
Total | 560 | 44.44% | 700 | 55.56% |
Fidelity MSCI Industrials Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 589 | 46.74% | 662 | 52.54% |
25 - <50 | 5 | 0.40% | 2 | 0.16% |
50 - <75 | 2 | 0.16% | 0 | — |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 596 | 47.30% | 664 | 52.70% |
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Fidelity MSCI Information Technology Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 411 | 32.62% | 842 | 66.82% |
25 - <50 | 6 | 0.48% | 0 | — |
50 - <75 | 0 | — | 0 | — |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 1 | 0.08% |
Total | 417 | 33.10% | 843 | 66.90% |
Fidelity MSCI Materials Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 670 | 53.17% | 577 | 45.79% |
25 - <50 | 5 | 0.40% | 4 | 0.32% |
50 - <75 | 0 | — | 3 | 0.24% |
75 - <100 | 0 | — | 0 | — |
100 or above | 1 | 0.08% | 0 | — |
Total | 676 | 53.65% | 584 | 46.35% |
Fidelity MSCI Real Estate Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 388 | 30.80% | 835 | 66.26% |
25 - <50 | 10 | 0.79% | 20 | 1.59% |
50 - <75 | 2 | 0.16% | 2 | 0.16% |
75 - <100 | 0 | — | 1 | 0.08% |
100 or above | 1 | 0.08% | 1 | 0.08% |
Total | 401 | 31.83% | 859 | 68.17% |
Fidelity MSCI Utilities Index ETF | ||||
Period Ended July 31, 2020 | ||||
From July 31, 2015 to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 539 | 42.78% | 715 | 56.74% |
25 - <50 | 3 | 0.24% | 2 | 0.16% |
50 - <75 | 0 | — | 1 | 0.08% |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 542 | 43.02% | 718 | 56.98% |
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Annualized Expense RatioA | Beginning Account Value February 1, 2020 | Ending Account Value July 31, 2020 | Expenses Paid During PeriodB February 1, 2020 to July 31, 2020 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,059.00 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,177.50 | $ 0.43 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,005.50 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 688.50 | $ 0.34 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 802.00 | $ 0.36 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,091.30 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 907.90 | $ 0.38 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 |
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Annualized Expense RatioA | Beginning Account Value February 1, 2020 | Ending Account Value July 31, 2020 | Expenses Paid During PeriodB February 1, 2020 to July 31, 2020 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,169.00 | $ 0.43 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,038.90 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 880.00 | $ 0.37 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 888.70 | $ 0.38 | |
Hypothetical C | $ 1,000.00 | $ 1,024.47 | $ 0.40 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
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September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity MSCI Communication Services Index ETF | 96% | 96% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 99% | 99% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 95% | 95% | 89% | 89% |
Fidelity MSCI Financials Index ETF | 91% | 91% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 95% | 95% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 97% | 97% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 79% | 79% | 86% | 86% |
Fidelity MSCI Real Estate Index ETF | — | — | — | — |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity MSCI Communication Services Index ETF | 96% | 96% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 98% | 98% | 92% | 92% |
Fidelity MSCI Financials Index ETF | 95% | 95% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 98% | 98% | 99% | 99% |
Fidelity MSCI Real Estate Index ETF | — | — | — | — |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
March 2019 | June 2019 | September 2019 | December 2019 | |
Fidelity MSCI Financials Index ETF | — | — | 5% | 5% |
Fidelity MSCI Real Estate Index ETF | 55% | 55% | 49% | 49% |
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# of Votes | % of Votes | |
Dennis J. Dirks | ||
Affirmative | 9,282,142,479.280 | 96.563 |
Withheld | 330,428,349.514 | 3.437 |
TOTAL | 9,612,570,828.794 | 100.000 |
Donald F. Donahue | ||
Affirmative | 9,291,214,667.254 | 96.657 |
Withheld | 321,356,161.540 | 3.343 |
TOTAL | 9,612,570,828.794 | 100.000 |
Bettina Doulton | ||
Affirmative | 9,305,383,119.035 | 96.804 |
Withheld | 307,187,709.760 | 3.196 |
TOTAL | 9,612,570,828.794 | 100.000 |
Vicki L. Fuller | ||
Affirmative | 9,309,945,465.761 | 96.852 |
Withheld | 302,625,363.033 | 3.148 |
TOTAL | 9,612,570,828.794 | 100.000 |
Patricia L. Kampling | ||
Affirmative | 9,313,717,969.953 | 96.891 |
Withheld | 298,852,858.841 | 3.109 |
TOTAL | 9,612,570,828.794 | 100.000 |
Alan J. Lacy | ||
Affirmative | 9,286,152,312.666 | 96.604 |
Withheld | 326,418,516.129 | 3.396 |
TOTAL | 9,612,570,828.794 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,527,074,727.936 | 88.708 |
Withheld | 1,085,496,100.858 | 11.292 |
TOTAL | 9,612,570,828.794 | 100.000 |
Robert A. Lawrence | ||
Affirmative | 9,292,882,256.101 | 96.674 |
Withheld | 319,688,572.693 | 3.326 |
TOTAL | 9,612,570,828.794 | 100.000 |
Joseph Mauriello | ||
Affirmative | 9,271,962,598.733 | 96.457 |
Withheld | 340,608,230.062 | 3.543 |
TOTAL | 9,612,570,828.794 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,282,431,158.269 | 96.566 |
Withheld | 330,139,670.526 | 3.434 |
TOTAL | 9,612,570,828.794 | 100.000 |
Garnett A. Smith | ||
Affirmative | 9,276,917,476.273 | 96.508 |
Withheld | 335,653,352.521 | 3.492 |
TOTAL | 9,612,570,828.794 | 100.000 |
# of Votes | % of Votes | |
David M. Thomas | ||
Affirmative | 9,285,446,239.314 | 96.597 |
Withheld | 327,124,589.481 | 3.403 |
TOTAL | 9,612,570,828.794 | 100.000 |
Susan Tomasky | ||
Affirmative | 9,307,387,519.373 | 96.825 |
Withheld | 305,183,309.422 | 3.175 |
TOTAL | 9,612,570,828.794 | 100.000 |
Michael E. Wiley | ||
Affirmative | 9,279,381,945.378 | 96.534 |
Withheld | 333,188,883.417 | 3.466 |
TOTAL | 9,612,570,828.794 | 100.000 |
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about access to your fund’s shareholder reports.
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Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose ‘no’ under Required Disclosures to continue print) | 1-800-343-0860 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Dividend ETF for Rising Rates – NAVA | 1.86% | 9.35% |
Fidelity Dividend ETF for Rising Rates – Market PriceB | 1.85% | 9.48% |
Fidelity Dividend Index For Rising RatesA | 2.11% | 9.72% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 7.9 |
Microsoft Corp. | 6.9 |
Johnson & Johnson | 2.8 |
UnitedHealth Group, Inc. | 2.5 |
Pfizer, Inc. | 2.2 |
AbbVie, Inc. | 2.0 |
Amgen, Inc. | 2.0 |
The Procter & Gamble Co. | 1.9 |
Gilead Sciences, Inc. | 1.8 |
The Home Depot, Inc. | 1.7 |
31.7 |
% of fund's net assets | ||
Information Technology | 29.0 | |
Health Care | 16.0 | |
Financials | 10.3 | |
Communication Services | 9.8 | |
Industrials | 9.1 | |
Consumer Staples | 6.9 | |
Consumer Discretionary | 6.1 | |
Real Estate | 3.4 | |
Utilities | 3.3 | |
Energy | 2.8 | |
Materials | 2.7 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity High Dividend ETF – NAVA | -4.54% | 6.27% |
Fidelity High Dividend ETF – Market PriceB | -4.81% | 6.46% |
Fidelity High Dividend IndexA | -4.42% | 6.60% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 5.8 |
Microsoft Corp. | 5.1 |
The Procter & Gamble Co. | 3.3 |
PepsiCo, Inc. | 2.7 |
Chevron Corp. | 2.3 |
Philip Morris International, Inc. | 2.3 |
JPMorgan Chase & Co. | 2.2 |
Exxon Mobil Corp. | 2.2 |
Wm Morrison Supermarkets PLC | 2.1 |
Linde PLC | 2.1 |
30.1 |
% of fund's net assets | ||
Information Technology | 22.0 | |
Financials | 16.4 | |
Consumer Staples | 15.5 | |
Materials | 10.3 | |
Real Estate | 10.0 | |
Health Care | 8.6 | |
Energy | 8.5 | |
Communication Services | 3.3 | |
Industrials | 2.7 | |
Consumer Discretionary | 2.1 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Low Volatility Factor ETF – NAVA | 7.29% | 13.18% |
Fidelity Low Volatility Factor ETF – Market PriceB | 7.35% | 13.48% |
Fidelity U.S. Low Volatility Factor IndexA | 7.57% | 13.45% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 6.8 |
Microsoft Corp. | 6.0 |
Alphabet, Inc. Class A | 3.5 |
Johnson & Johnson | 2.0 |
PayPal Holdings, Inc. | 1.8 |
The Home Depot, Inc. | 1.7 |
Visa, Inc. Class A | 1.7 |
UnitedHealth Group, Inc. | 1.7 |
Mastercard, Inc. Class A | 1.5 |
The Procter & Gamble Co. | 1.5 |
28.2 |
% of fund's net assets | ||
Information Technology | 27.5 | |
Health Care | 14.3 | |
Financials | 10.7 | |
Consumer Discretionary | 10.0 | |
Communication Services | 9.8 | |
Industrials | 8.7 | |
Consumer Staples | 7.2 | |
Utilities | 3.3 | |
Real Estate | 3.2 | |
Materials | 2.7 | |
Energy | 2.3 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Momentum Factor ETF – NAVA | 11.06% | 13.28% |
Fidelity Momentum Factor ETF – Market PriceB | 11.01% | 13.54% |
Fidelity U.S. Momentum Factor IndexA | 11.38% | 13.63% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 6.4 |
Microsoft Corp. | 5.6 |
Amazon.com, Inc. | 4.7 |
Alphabet, Inc. Class A | 3.5 |
UnitedHealth Group, Inc. | 1.7 |
Berkshire Hathaway, Inc. Class B | 1.6 |
Visa, Inc. Class A | 1.6 |
NVIDIA Corp. | 1.6 |
Mastercard, Inc. Class A | 1.5 |
The Home Depot, Inc. | 1.4 |
29.6 |
% of fund's net assets | ||
Information Technology | 28.0 | |
Health Care | 14.7 | |
Consumer Discretionary | 11.8 | |
Financials | 9.9 | |
Communication Services | 9.8 | |
Industrials | 7.9 | |
Consumer Staples | 6.4 | |
Real Estate | 3.4 | |
Utilities | 3.1 | |
Materials | 2.6 | |
Energy | 2.2 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Quality Factor ETF – NAVA | 10.26% | 12.94% |
Fidelity Quality Factor ETF – Market PriceB | 10.37% | 13.08% |
Fidelity U.S. Quality Factor IndexA | 10.57% | 13.28% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 6.5 |
Microsoft Corp. | 5.7 |
Alphabet, Inc. Class A | 3.2 |
Facebook, Inc. Class A | 2.4 |
Johnson & Johnson | 1.9 |
NVIDIA Corp. | 1.8 |
The Home Depot, Inc. | 1.7 |
UnitedHealth Group, Inc. | 1.6 |
Visa, Inc. Class A | 1.6 |
The Procter & Gamble Co. | 1.5 |
27.9 |
% of fund's net assets | ||
Information Technology | 27.0 | |
Health Care | 13.8 | |
Financials | 11.0 | |
Consumer Discretionary | 10.5 | |
Communication Services | 10.4 | |
Industrials | 9.2 | |
Consumer Staples | 6.6 | |
Real Estate | 3.1 | |
Utilities | 2.9 | |
Energy | 2.6 | |
Materials | 2.5 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Small-Mid Factor ETF – NAVA | -4.90% | -1.20% |
Fidelity Small-Mid Factor ETF – Market PriceB | -4.96% | -1.35% |
Fidelity Small-Mid Factor IndexA | -4.67% | -0.94% |
Dow Jones US Completion Total Stock Market IndexA | 5.12% | 6.26% |
B | From February 28, 2019, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Teladoc Health, Inc. | 0.7 |
Quidel Corp. | 0.6 |
Catalent, Inc. | 0.5 |
ABIOMED, Inc. | 0.5 |
Horizon Therapeutics PLC | 0.5 |
Pool Corp. | 0.5 |
Molina Healthcare, Inc. | 0.5 |
CH Robinson Worldwide, Inc. | 0.4 |
Bio-Rad Laboratories, Inc. Class A | 0.4 |
The Boston Beer Co., Inc. Class A | 0.4 |
5.0 |
% of fund's net assets | ||
Health Care | 16.7 | |
Industrials | 15.7 | |
Information Technology | 15.5 | |
Financials | 13.5 | |
Consumer Discretionary | 13.1 | |
Real Estate | 8.1 | |
Materials | 5.3 | |
Communication Services | 3.7 | |
Consumer Staples | 3.5 | |
Utilities | 2.5 | |
Energy | 2.5 |
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% of fund's net assets | |
Apple, Inc. | 5.4 |
Microsoft Corp. | 4.8 |
The Procter & Gamble Co. | 2.7 |
Celanese Corp. | 2.4 |
NextEra Energy, Inc. | 2.4 |
Reliance Steel & Aluminum Co. | 2.3 |
LyondellBasell Industries N.V. Class A | 2.1 |
Merck & Co., Inc. | 1.9 |
Herbalife Nutrition Ltd. | 1.8 |
Amgen, Inc. | 1.8 |
27.6 |
% of fund's net assets | ||
Information Technology | 22.6 | |
Health Care | 20.6 | |
Consumer Staples | 12.2 | |
Materials | 6.8 | |
Financials | 6.6 | |
Energy | 6.1 | |
Communication Services | 5.5 | |
Utilities | 5.0 | |
Consumer Discretionary | 5.0 | |
Real Estate | 4.9 | |
Industrials | 4.6 |
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Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Value Factor ETF – NAVA | 3.12% | 10.56% |
Fidelity Value Factor ETF – Market PriceB | 2.96% | 10.72% |
Fidelity U.S. Value Factor IndexA | 3.38% | 10.89% |
Russell 1000 IndexA | 12.03% | 13.50% |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
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% of fund's net assets | |
Apple, Inc. | 7.2 |
Microsoft Corp. | 6.4 |
Amazon.com, Inc. | 5.6 |
Alphabet, Inc. Class A | 3.6 |
Facebook, Inc. Class A | 2.7 |
Johnson & Johnson | 2.1 |
Berkshire Hathaway, Inc. Class B | 1.9 |
Visa, Inc. Class A | 1.8 |
The Procter & Gamble Co. | 1.7 |
The Home Depot, Inc. | 1.7 |
34.7 |
% of fund's net assets | ||
Information Technology | 27.5 | |
Health Care | 15.1 | |
Consumer Discretionary | 10.8 | |
Communication Services | 10.8 | |
Financials | 10.0 | |
Industrials | 7.4 | |
Consumer Staples | 7.1 | |
Utilities | 3.1 | |
Real Estate | 2.7 | |
Energy | 2.7 | |
Materials | 2.4 |
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Common Stocks – 99.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.8% | ||
Diversified Telecommunication Services – 2.8% | ||
AT&T, Inc. | 110,561 | $ 3,270,395 |
CenturyLink, Inc. | 99,231 | 957,579 |
Verizon Communications, Inc. | 65,473 | 3,763,388 |
7,991,362 | ||
Entertainment – 2.1% | ||
Activision Blizzard, Inc. | 29,880 | 2,468,984 |
The Walt Disney Co. | 27,998 | 3,274,086 |
5,743,070 | ||
Media – 4.9% | ||
Cable One, Inc. | 805 | 1,467,161 |
Comcast Corp. Class A | 76,399 | 3,269,877 |
News Corp. Class A | 96,335 | 1,225,381 |
Nexstar Media Group, Inc. Class A | 10,726 | 940,134 |
Omnicom Group, Inc. | 18,769 | 1,008,459 |
Sirius XM Holdings, Inc. | 193,086 | 1,135,346 |
TEGNA, Inc. | 74,401 | 876,444 |
The Interpublic Group of Cos., Inc. (a) | 58,547 | 1,056,773 |
The New York Times Co. Class A (a) | 39,095 | 1,803,843 |
ViacomCBS, Inc. Class B | 43,002 | 1,121,062 |
13,904,480 | ||
TOTAL COMMUNICATION SERVICES | 27,638,912 | |
CONSUMER DISCRETIONARY – 6.1% | ||
Hotels, Restaurants & Leisure – 2.2% | ||
McDonald's Corp. | 15,621 | 3,034,848 |
Starbucks Corp. | 31,190 | 2,386,971 |
Wynn Resorts Ltd. (a) | 13,528 | 979,833 |
6,401,652 | ||
Specialty Retail – 2.9% | ||
Lowe's Cos., Inc. | 21,590 | 3,214,967 |
The Home Depot, Inc. | 18,436 | 4,894,573 |
8,109,540 | ||
Textiles, Apparel & Luxury Goods – 1.0% | ||
NIKE, Inc. Class B | 29,531 | 2,882,521 |
TOTAL CONSUMER DISCRETIONARY | 17,393,713 | |
CONSUMER STAPLES – 6.9% | ||
Beverages – 1.2% | ||
The Coca-Cola Co. | 73,178 | 3,456,929 |
Food & Staples Retailing – 0.7% | ||
Wm Morrison Supermarkets PLC | 820,469 | 2,012,123 |
Household Products – 1.9% | ||
The Procter & Gamble Co. | 41,610 | 5,455,903 |
Tobacco – 3.1% | ||
Altria Group, Inc. | 61,565 | 2,533,400 |
British American Tobacco PLC | 43,040 | 1,426,089 |
Japan Tobacco, Inc. | 92,100 | 1,578,409 |
| ||
Shares | Value | |
Philip Morris International, Inc. | 39,494 | $ 3,033,534 |
8,571,432 | ||
TOTAL CONSUMER STAPLES | 19,496,387 | |
ENERGY – 2.8% | ||
Energy Equipment & Services – 0.3% | ||
Schlumberger Ltd. | 47,353 | 858,983 |
Oil, Gas & Consumable Fuels – 2.5% | ||
Chevron Corp. | 30,480 | 2,558,491 |
Exxon Mobil Corp. | 62,676 | 2,637,406 |
Targa Resources Corp. | 32,396 | 592,199 |
The Williams Cos., Inc. | 65,828 | 1,259,290 |
7,047,386 | ||
TOTAL ENERGY | 7,906,369 | |
FINANCIALS – 10.3% | ||
Banks – 5.7% | ||
Bank of America Corp. | 147,497 | 3,669,725 |
Citigroup, Inc. | 50,334 | 2,517,203 |
JPMorgan Chase & Co. | 48,734 | 4,709,654 |
PacWest Bancorp | 60,651 | 1,108,397 |
The PNC Financial Services Group, Inc. | 18,795 | 2,004,863 |
Wells Fargo & Co. | 85,789 | 2,081,241 |
16,091,083 | ||
Capital Markets – 3.0% | ||
Invesco Ltd. (a) | 121,728 | 1,222,149 |
Morgan Stanley | 52,246 | 2,553,785 |
The Blackstone Group, Inc. Class A | 41,082 | 2,188,849 |
The Goldman Sachs Group, Inc. | 12,193 | 2,413,726 |
8,378,509 | ||
Insurance – 1.1% | ||
Old Republic International Corp. (a) | 95,893 | 1,541,000 |
Prudential Financial, Inc. | 26,896 | 1,704,400 |
3,245,400 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.5% | ||
Starwood Property Trust, Inc. | 85,847 | 1,283,413 |
TOTAL FINANCIALS | 28,998,405 | |
HEALTH CARE – 16.0% | ||
Biotechnology – 5.8% | ||
AbbVie, Inc. | 60,591 | 5,750,692 |
Amgen, Inc. | 23,074 | 5,645,516 |
Gilead Sciences, Inc. | 72,512 | 5,041,759 |
16,437,967 | ||
Health Care Providers & Services – 4.0% | ||
CVS Health Corp. | 68,823 | 4,331,720 |
UnitedHealth Group, Inc. | 23,170 | 7,015,412 |
11,347,132 | ||
Pharmaceuticals – 6.2% | ||
GlaxoSmithKline PLC | 171,908 | 3,451,675 |
30 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Johnson & Johnson | 53,045 | $7,731,839 |
Pfizer, Inc. | 160,375 | 6,171,230 |
17,354,744 | ||
TOTAL HEALTH CARE | 45,139,843 | |
INDUSTRIALS – 9.1% | ||
Aerospace & Defense – 1.3% | ||
General Dynamics Corp. | 7,658 | 1,123,735 |
Lockheed Martin Corp. | 4,828 | 1,829,667 |
Raytheon Technologies Corp. | 14,700 | 833,196 |
3,786,598 | ||
Air Freight & Logistics – 0.8% | ||
United Parcel Service, Inc. Class B | 16,394 | 2,340,408 |
Electrical Equipment – 0.9% | ||
Eaton Corp. PLC | 13,690 | 1,274,950 |
Emerson Electric Co. (a) | 18,983 | 1,177,136 |
2,452,086 | ||
Industrial Conglomerates – 1.8% | ||
3M Co. | 11,948 | 1,797,816 |
Honeywell International, Inc. | 12,942 | 1,933,146 |
Jardine Matheson Holdings Ltd. | 16,628 | 680,418 |
Jardine Strategic Holdings Ltd. | 30,920 | 624,584 |
5,035,964 | ||
Machinery – 3.0% | ||
Alstom S.A. (b) | 18,261 | 1,019,867 |
Caterpillar, Inc. | 12,781 | 1,698,339 |
Cummins, Inc. | 7,349 | 1,420,268 |
Deere & Co. | 8,993 | 1,585,556 |
Illinois Tool Works, Inc. | 8,224 | 1,521,358 |
PACCAR, Inc. | 15,881 | 1,351,155 |
8,596,543 | ||
Road & Rail – 1.3% | ||
Norfolk Southern Corp. | 7,218 | 1,387,372 |
Union Pacific Corp. | 12,533 | 2,172,595 |
3,559,967 | ||
TOTAL INDUSTRIALS | 25,771,566 | |
INFORMATION TECHNOLOGY – 29.0% | ||
Communications Equipment – 1.7% | ||
Cisco Systems, Inc. | 98,435 | 4,636,289 |
Electronic Equipment, Instruments & Components – 1.1% | ||
Corning, Inc. | 99,968 | 3,099,008 |
IT Services – 1.1% | ||
International Business Machines Corp. | 25,952 | 3,190,539 |
Semiconductors & Semiconductor Equipment – 5.7% | ||
Broadcom, Inc. | 12,370 | 3,918,197 |
Intel Corp. | 84,505 | 4,033,424 |
| ||
Shares | Value | |
QUALCOMM, Inc. | 40,610 | $4,288,822 |
Texas Instruments, Inc. | 29,524 | 3,765,786 |
16,006,229 | ||
Software – 8.6% | ||
Micro Focus International PLC | 259,236 | 942,825 |
Microsoft Corp. | 95,007 | 19,477,385 |
Oracle Corp. | 70,663 | 3,918,263 |
24,338,473 | ||
Technology Hardware, Storage & Peripherals – 10.8% | ||
Apple, Inc. | 52,188 | 22,181,988 |
Canon, Inc. | 99,900 | 1,583,585 |
HP, Inc. | 135,735 | 2,386,221 |
NetApp, Inc. | 47,645 | 2,110,673 |
Seagate Technology PLC | 50,194 | 2,269,773 |
30,532,240 | ||
TOTAL INFORMATION TECHNOLOGY | 81,802,778 | |
MATERIALS – 2.7% | ||
Chemicals – 1.8% | ||
Dow, Inc. | 22,560 | 926,314 |
DuPont de Nemours, Inc. | 21,337 | 1,141,103 |
Linde PLC | 8,992 | 2,204,029 |
LyondellBasell Industries N.V. Class A | 11,399 | 712,665 |
4,984,111 | ||
Containers & Packaging – 0.4% | ||
International Paper Co. | 20,730 | 721,197 |
Westrock Co. | 20,227 | 543,297 |
1,264,494 | ||
Metals & Mining – 0.5% | ||
Alumina Ltd. | 508,428 | 554,221 |
Nucor Corp. | 17,959 | 753,380 |
1,307,601 | ||
TOTAL MATERIALS | 7,556,206 | |
REAL ESTATE – 3.4% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
American Tower Corp. | 7,191 | 1,879,655 |
Crown Castle International Corp. | 8,314 | 1,385,944 |
Gaming and Leisure Properties, Inc. | 14,693 | 532,033 |
Host Hotels & Resorts, Inc. | 42,048 | 453,277 |
Iron Mountain, Inc. | 21,420 | 603,830 |
Kimco Realty Corp. | 34,249 | 381,876 |
Park Hotels & Resorts, Inc. | 27,723 | 229,269 |
Prologis, Inc. | 14,202 | 1,497,175 |
Public Storage | 4,237 | 846,892 |
Service Properties Trust | 27,711 | 185,664 |
Simon Property Group, Inc. | 7,428 | 463,136 |
Ventas, Inc. | 13,977 | 536,158 |
Weingarten Realty Investors | 20,738 | 353,790 |
9,348,699 |
31 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Real Estate Management & Development – 0.1% | ||
Hongkong Land Holdings Ltd. | 108,030 | $ 409,434 |
TOTAL REAL ESTATE | 9,758,133 | |
UTILITIES – 3.3% | ||
Electric Utilities – 2.1% | ||
American Electric Power Co., Inc. | 13,932 | 1,210,412 |
Duke Energy Corp. | 16,947 | 1,436,089 |
Exelon Corp. | 28,677 | 1,107,219 |
PPL Corp. | 32,067 | 853,624 |
The Southern Co. | 23,971 | 1,309,056 |
5,916,400 | ||
Multi-Utilities – 1.2% | ||
CenterPoint Energy, Inc. | 38,570 | 733,216 |
Dominion Energy, Inc. | 19,042 | 1,542,973 |
Public Service Enterprise Group, Inc. | 20,353 | 1,138,547 |
3,414,736 | ||
TOTAL UTILITIES | 9,331,136 | |
TOTAL COMMON STOCKS (Cost $281,661,154) | 280,793,448 | |
Money Market Funds – 1.8% | ||
Fidelity Cash Central Fund, 0.14% (c) | 624,786 | 624,973 |
| ||
Shares | Value | |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 4,366,652 | $ 4,367,089 |
TOTAL MONEY MARKET FUNDS (Cost $4,992,024) | 4,992,062 | |
TOTAL INVESTMENT IN SECURITIES – 101.2% (Cost $286,653,178) | 285,785,510 | |
NET OTHER ASSETS (LIABILITIES) – (1.2%) | (3,468,764) | |
NET ASSETS – 100.0% | $ 282,316,746 |
Legend | ||
(a) | Security or a portion of the security is on loan at period end. | |
(b) | Non-income producing. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Future Contracts | 9 | September 2020 | $1,468,575 | $76,274 | $76,274 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 9,899 |
Fidelity Securities Lending Cash Central Fund | 6,762 |
Total | $16,661 |
32 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 27,638,912 | $ 27,638,912 | $ — | $ — | ||||
Consumer Discretionary | 17,393,713 | 17,393,713 | — | — | ||||
Consumer Staples | 19,496,387 | 19,496,387 | — | — | ||||
Energy | 7,906,369 | 7,906,369 | — | — | ||||
Financials | 28,998,405 | 28,998,405 | — | — | ||||
Health Care | 45,139,843 | 45,139,843 | — | — | ||||
Industrials | 25,771,566 | 25,771,566 | — | — | ||||
Information Technology | 81,802,778 | 81,802,778 | — | — | ||||
Materials | 7,556,206 | 7,556,206 | — | — | ||||
Real Estate | 9,758,133 | 9,758,133 | — | — | ||||
Utilities | 9,331,136 | 9,331,136 | — | — | ||||
Money Market Funds | 4,992,062 | 4,992,062 | — | — | ||||
Total Investments in Securities: | $ 285,785,510 | $ 285,785,510 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 76,274 | $ 76,274 | $ — | $ — | ||||
Total Assets | $ 76,274 | $ 76,274 | — | $ — | ||||
Total Derivative Instruments: | $ 76,274 | $ 76,274 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $76,274 | $0 | |
Total Equity Risk | 76,274 | 0 | |
Total Value of Derivatives | $76,274 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
33 |
Table of Contents
Common Stocks – 99.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.3% | ||
Diversified Telecommunication Services – 1.0% | ||
AT&T, Inc. | 68,361 | $ 2,022,119 |
CenturyLink, Inc. | 61,099 | 589,605 |
Verizon Communications, Inc. | 40,232 | 2,312,535 |
4,924,259 | ||
Entertainment – 0.7% | ||
Activision Blizzard, Inc. | 18,393 | 1,519,814 |
The Walt Disney Co. | 17,297 | 2,022,711 |
3,542,525 | ||
Media – 1.6% | ||
Cable One, Inc. | 492 | 896,700 |
Comcast Corp. Class A | 47,206 | 2,020,417 |
News Corp. Class A | 59,316 | 754,500 |
Nexstar Media Group, Inc. Class A | 6,602 | 578,665 |
Omnicom Group, Inc. | 11,553 | 620,743 |
Sirius XM Holdings, Inc. | 118,892 | 699,085 |
TEGNA, Inc. | 45,808 | 539,618 |
The Interpublic Group of Cos., Inc. | 36,046 | 650,630 |
The New York Times Co. Class A (a) | 23,989 | 1,106,852 |
ViacomCBS, Inc. Class B | 26,477 | 690,255 |
8,557,465 | ||
TOTAL COMMUNICATION SERVICES | 17,024,249 | |
CONSUMER DISCRETIONARY – 2.1% | ||
Hotels, Restaurants & Leisure – 0.8% | ||
McDonald's Corp. | 10,043 | 1,951,154 |
Starbucks Corp. | 20,105 | 1,538,636 |
Wynn Resorts Ltd. (a) | 8,665 | 627,606 |
4,117,396 | ||
Specialty Retail – 1.0% | ||
Lowe's Cos., Inc. | 13,868 | 2,065,084 |
The Home Depot, Inc. | 11,838 | 3,142,870 |
5,207,954 | ||
Textiles, Apparel & Luxury Goods – 0.3% | ||
NIKE, Inc. Class B | 18,982 | 1,852,833 |
TOTAL CONSUMER DISCRETIONARY | 11,178,183 | |
CONSUMER STAPLES – 15.5% | ||
Beverages – 2.6% | ||
PepsiCo, Inc. | 100,112 | 13,781,418 |
Food & Staples Retailing – 2.1% | ||
Wm Morrison Supermarkets PLC | 4,416,603 | 10,831,301 |
Household Products – 3.3% | ||
The Procter & Gamble Co. | 132,293 | 17,346,258 |
Tobacco – 7.5% | ||
Altria Group, Inc. | 262,025 | 10,782,329 |
British American Tobacco PLC | 231,609 | 7,674,145 |
Japan Tobacco, Inc. | 495,600 | 8,493,589 |
| ||
Shares | Value | |
Philip Morris International, Inc. | 155,126 | $ 11,915,228 |
38,865,291 | ||
TOTAL CONSUMER STAPLES | 80,824,268 | |
ENERGY – 8.5% | ||
Oil, Gas & Consumable Fuels – 8.5% | ||
Chevron Corp. | 142,595 | 11,969,424 |
Exxon Mobil Corp. | 268,983 | 11,318,805 |
Occidental Petroleum Corp. | 291,103 | 4,581,961 |
Occidental Petroleum Corp. warrants 8/3/27 (b) | 36,773 | 205,928 |
Targa Resources Corp. | 304,627 | 5,568,582 |
The Williams Cos., Inc. | 556,098 | 10,638,155 |
TOTAL ENERGY | 44,282,855 | |
FINANCIALS – 16.4% | ||
Banks – 7.8% | ||
Bank of America Corp. | 388,457 | 9,664,810 |
Citigroup, Inc. | 143,037 | 7,153,280 |
JPMorgan Chase & Co. | 120,121 | 11,608,493 |
The PNC Financial Services Group, Inc. | 59,601 | 6,357,639 |
Wells Fargo & Co. | 238,983 | 5,797,728 |
40,581,950 | ||
Capital Markets – 3.7% | ||
Invesco Ltd. (a) | 431,784 | 4,335,111 |
The Blackstone Group, Inc. Class A | 135,736 | 7,232,014 |
The Goldman Sachs Group, Inc. | 38,353 | 7,592,360 |
19,159,485 | ||
Insurance – 2.1% | ||
Old Republic International Corp. | 338,140 | 5,433,910 |
Prudential Financial, Inc. | 89,712 | 5,685,049 |
11,118,959 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.4% | ||
MFA Financial, Inc. | 1,009,617 | 2,655,293 |
Starwood Property Trust, Inc. | 303,975 | 4,544,426 |
7,199,719 | ||
Thrifts & Mortgage Finance – 1.4% | ||
New York Community Bancorp, Inc. | 692,856 | 7,295,774 |
TOTAL FINANCIALS | 85,355,887 | |
HEALTH CARE – 8.6% | ||
Biotechnology – 3.0% | ||
AbbVie, Inc. | 57,776 | 5,483,520 |
Amgen, Inc. | 22,040 | 5,392,527 |
Gilead Sciences, Inc. | 68,902 | 4,790,756 |
15,666,803 | ||
Health Care Providers & Services – 1.3% | ||
UnitedHealth Group, Inc. | 22,264 | 6,741,094 |
Pharmaceuticals – 4.3% | ||
GlaxoSmithKline PLC | 163,271 | 3,278,256 |
34 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Johnson & Johnson | 51,271 | $ 7,473,261 |
Merck & Co., Inc. | 69,229 | 5,554,935 |
Pfizer, Inc. | 153,951 | 5,924,035 |
22,230,487 | ||
TOTAL HEALTH CARE | 44,638,384 | |
INDUSTRIALS – 2.7% | ||
Aerospace & Defense – 0.4% | ||
General Dynamics Corp. | 4,263 | 625,553 |
Lockheed Martin Corp. | 2,672 | 1,012,608 |
Raytheon Technologies Corp. | 8,155 | 462,225 |
2,100,386 | ||
Air Freight & Logistics – 0.3% | ||
United Parcel Service, Inc. Class B | 9,114 | 1,301,115 |
Building Products – 0.1% | ||
Johnson Controls International PLC | 17,888 | 688,330 |
Electrical Equipment – 0.3% | ||
Eaton Corp. PLC | 7,619 | 709,557 |
Emerson Electric Co. | 10,562 | 654,950 |
1,364,507 | ||
Industrial Conglomerates – 0.5% | ||
3M Co. | 6,636 | 998,519 |
Honeywell International, Inc. | 7,177 | 1,072,029 |
Jardine Matheson Holdings Ltd. | 9,053 | 370,449 |
Jardine Strategic Holdings Ltd. | 16,787 | 339,097 |
2,780,094 | ||
Machinery – 0.7% | ||
Alstom S.A. (b) | 10,207 | 570,056 |
Caterpillar, Inc. | 7,099 | 943,315 |
Cummins, Inc. | 4,093 | 791,013 |
Illinois Tool Works, Inc. | 4,575 | 846,329 |
PACCAR, Inc. | 8,851 | 753,043 |
3,903,756 | ||
Road & Rail – 0.4% | ||
Norfolk Southern Corp. | 4,012 | 771,146 |
Union Pacific Corp. | 6,928 | 1,200,969 |
1,972,115 | ||
TOTAL INDUSTRIALS | 14,110,303 | |
INFORMATION TECHNOLOGY – 22.0% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 130,257 | 6,135,105 |
Electronic Equipment, Instruments & Components – 0.8% | ||
Corning, Inc. | 127,553 | 3,954,143 |
IT Services – 2.3% | ||
International Business Machines Corp. | 34,036 | 4,184,386 |
| ||
Shares | Value | |
Visa, Inc. Class A | 41,325 | $ 7,868,280 |
12,052,666 | ||
Semiconductors & Semiconductor Equipment – 4.0% | ||
Broadcom, Inc. | 16,185 | 5,126,599 |
Intel Corp. | 112,788 | 5,383,371 |
QUALCOMM, Inc. | 52,920 | 5,588,881 |
Texas Instruments, Inc. | 38,547 | 4,916,670 |
21,015,521 | ||
Software – 6.3% | ||
Micro Focus International PLC | 328,767 | 1,195,704 |
Microsoft Corp. | 130,274 | 26,707,473 |
Oracle Corp. | 91,925 | 5,097,241 |
33,000,418 | ||
Technology Hardware, Storage & Peripherals – 7.4% | ||
Apple, Inc. | 71,543 | 30,408,637 |
Canon, Inc. | 126,300 | 2,002,069 |
HP, Inc. | 173,521 | 3,050,499 |
Seagate Technology PLC | 63,404 | 2,867,129 |
38,328,334 | ||
TOTAL INFORMATION TECHNOLOGY | 114,486,187 | |
MATERIALS – 10.3% | ||
Chemicals – 5.9% | ||
Dow, Inc. | 159,934 | 6,566,890 |
DuPont de Nemours, Inc. | 147,888 | 7,909,051 |
Linde PLC | 44,056 | 10,798,566 |
LyondellBasell Industries N.V. Class A | 90,706 | 5,670,939 |
30,945,446 | ||
Containers & Packaging – 2.1% | ||
International Paper Co. | 171,138 | 5,953,891 |
Westrock Co. | 177,458 | 4,766,522 |
10,720,413 | ||
Metals & Mining – 2.3% | ||
Alumina Ltd. | 5,000,621 | 5,451,019 |
Nucor Corp. | 151,192 | 6,342,504 |
11,793,523 | ||
TOTAL MATERIALS | 53,459,382 | |
REAL ESTATE – 10.0% | ||
Equity Real Estate Investment Trusts (REITs) – 9.4% | ||
American Tower Corp. | 27,545 | 7,199,987 |
Crown Castle International Corp. | 37,704 | 6,285,257 |
Gaming and Leisure Properties, Inc. | 97,778 | 3,540,541 |
Iron Mountain, Inc. | 143,215 | 4,037,231 |
Kimco Realty Corp. | 232,551 | 2,592,944 |
Park Hotels & Resorts, Inc. | 194,262 | 1,606,547 |
Prologis, Inc. | 62,296 | 6,567,244 |
Public Storage | 22,798 | 4,556,864 |
Service Properties Trust | 198,608 | 1,330,674 |
Simon Property Group, Inc. | 37,664 | 2,348,350 |
35 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Ventas, Inc. | 82,592 | $ 3,168,229 |
Weingarten Realty Investors | 148,760 | 2,537,846 |
Welltower, Inc. | 60,500 | 3,240,380 |
49,012,094 | ||
Real Estate Management & Development – 0.6% | ||
Hongkong Land Holdings Ltd. | 809,011 | 3,066,152 |
TOTAL REAL ESTATE | 52,078,246 | |
TOTAL COMMON STOCKS (Cost $579,016,694) | 517,437,944 | |
Money Market Funds – 1.2% | ||
Fidelity Cash Central Fund, 0.14% (c) | 399,056 | 399,176 |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 5,934,536 | 5,935,129 |
TOTAL MONEY MARKET FUNDS (Cost $6,334,374) | 6,334,305 | |
TOTAL INVESTMENT IN SECURITIES – 100.6% (Cost $585,351,068) | 523,772,249 | |
NET OTHER ASSETS (LIABILITIES) – (0.6%) | (2,977,468) | |
NET ASSETS – 100.0% | $ 520,794,781 |
Legend | ||
(a) | Security or a portion of the security is on loan at period end. | |
(b) | Non-income producing. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Future Contracts | 19 | September 2020 | $3,100,325 | $171,117 | $171,117 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 8,603 |
Fidelity Securities Lending Cash Central Fund | 7,807 |
Total | $16,410 |
36 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 17,024,249 | $ 17,024,249 | $ — | $ — | ||||
Consumer Discretionary | 11,178,183 | 11,178,183 | — | — | ||||
Consumer Staples | 80,824,268 | 80,824,268 | — | — | ||||
Energy | 44,282,855 | 44,282,855 | — | — | ||||
Financials | 85,355,887 | 85,355,887 | — | — | ||||
Health Care | 44,638,384 | 44,638,384 | — | — | ||||
Industrials | 14,110,303 | 14,110,303 | — | — | ||||
Information Technology | 114,486,187 | 114,486,187 | — | — | ||||
Materials | 53,459,382 | 53,459,382 | — | — | ||||
Real Estate | 52,078,246 | 52,078,246 | — | — | ||||
Money Market Funds | 6,334,305 | 6,334,305 | — | — | ||||
Total Investments in Securities: | $ 523,772,249 | $ 523,772,249 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 171,117 | $ 171,117 | $ — | $ — | ||||
Total Assets | $ 171,117 | $ 171,117 | — | $ — | ||||
Total Derivative Instruments: | $ 171,117 | $ 171,117 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $171,117 | $0 | |
Total Equity Risk | 171,117 | 0 | |
Total Value of Derivatives | $171,117 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
United States of America | 87.5 |
United Kingdom | 4.4 |
Ireland | 2.9 |
Japan | 2.0 |
Bermuda | 1.6 |
Netherlands | 1.1 |
Australia | 1.0 |
Others (Individually Less Than 1%) | 0.1 |
100.6% |
37 |
Table of Contents
Common Stocks – 99.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.8% | ||
Diversified Telecommunication Services – 2.4% | ||
AT&T, Inc. | 131,485 | $3,889,326 |
Verizon Communications, Inc. | 77,827 | 4,473,496 |
8,362,822 | ||
Entertainment – 1.1% | ||
The Walt Disney Co. | 33,408 | 3,906,732 |
Interactive Media & Services – 3.5% | ||
Alphabet, Inc. Class A (a) | 8,239 | 12,259,220 |
Media – 2.0% | ||
Cable One, Inc. | 1,067 | 1,944,672 |
Comcast Corp. Class A | 92,088 | 3,941,366 |
Omnicom Group, Inc. | 24,692 | 1,326,701 |
7,212,739 | ||
Wireless Telecommunication Services – 0.8% | ||
T-Mobile US, Inc. (a) | 24,793 | 2,662,272 |
TOTAL COMMUNICATION SERVICES | 34,403,785 | |
CONSUMER DISCRETIONARY – 10.0% | ||
Diversified Consumer Services – 0.4% | ||
Bright Horizons Family Solutions, Inc. (a) | 14,983 | 1,606,777 |
Hotels, Restaurants & Leisure – 3.2% | ||
Darden Restaurants, Inc. | 21,908 | 1,662,817 |
McDonald's Corp. | 20,092 | 3,903,474 |
Starbucks Corp. | 41,392 | 3,167,730 |
Yum! Brands, Inc. | 26,073 | 2,373,946 |
11,107,967 | ||
Multiline Retail – 1.0% | ||
Dollar General Corp. | 18,300 | 3,484,320 |
Specialty Retail – 4.3% | ||
AutoZone, Inc. (a) | 2,524 | 3,047,528 |
O'Reilly Automotive, Inc. (a) | 6,625 | 3,162,643 |
The Home Depot, Inc. | 22,945 | 6,091,668 |
The TJX Cos., Inc. | 52,908 | 2,750,687 |
15,052,526 | ||
Textiles, Apparel & Luxury Goods – 1.1% | ||
NIKE, Inc. Class B | 38,606 | 3,768,332 |
TOTAL CONSUMER DISCRETIONARY | 35,019,922 | |
CONSUMER STAPLES – 7.2% | ||
Beverages – 1.9% | ||
PepsiCo, Inc. | 25,784 | 3,549,426 |
The Coca-Cola Co. | 68,375 | 3,230,035 |
6,779,461 | ||
Food & Staples Retailing – 1.1% | ||
Walmart, Inc. | 28,268 | 3,657,879 |
Food Products – 1.5% | ||
Hormel Foods Corp. (b) | 31,748 | 1,614,703 |
McCormick & Co., Inc. (non-vtg.) | 9,783 | 1,906,707 |
| ||
Shares | Value | |
The Hershey Co. | 10,574 | $ 1,537,565 |
5,058,975 | ||
Household Products – 2.7% | ||
Church & Dwight Co., Inc. | 21,059 | 2,028,613 |
The Clorox Co. | 9,651 | 2,282,558 |
The Procter & Gamble Co. | 40,013 | 5,246,505 |
9,557,676 | ||
TOTAL CONSUMER STAPLES | 25,053,991 | |
ENERGY – 2.3% | ||
Oil, Gas & Consumable Fuels – 2.3% | ||
Chevron Corp. | 30,743 | 2,580,567 |
Exxon Mobil Corp. | 64,655 | 2,720,682 |
Kinder Morgan, Inc. | 66,719 | 940,738 |
Occidental Petroleum Corp. | 32,669 | 514,210 |
Occidental Petroleum Corp. warrants 8/3/27 (a) | 4,128 | 23,118 |
ONEOK, Inc. | 17,119 | 477,791 |
Phillips 66 | 15,294 | 948,534 |
TOTAL ENERGY | 8,205,640 | |
FINANCIALS – 10.7% | ||
Capital Markets – 2.6% | ||
Cboe Global Markets, Inc | 25,828 | 2,265,116 |
CME Group, Inc. | 18,458 | 3,067,350 |
Intercontinental Exchange, Inc. | 39,266 | 3,800,164 |
9,132,630 | ||
Insurance – 6.7% | ||
Aflac, Inc. | 65,613 | 2,333,854 |
Aon PLC Class A | 16,065 | 3,296,859 |
Arch Capital Group Ltd. | 71,161 | 2,188,201 |
Arthur J Gallagher & Co. | 31,112 | 3,344,229 |
Brown & Brown, Inc. | 68,168 | 3,099,599 |
Chubb Ltd. | 23,714 | 3,017,369 |
Marsh & McLennan Cos., Inc. | 31,978 | 3,728,635 |
WR Berkley Corp. | 41,545 | 2,565,404 |
23,574,150 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.4% | ||
Blackstone Mortgage Trust, Inc. Class A | 79,628 | 1,916,646 |
MFA Financial, Inc. | 392,998 | 1,033,585 |
Starwood Property Trust, Inc. | 119,436 | 1,785,568 |
4,735,799 | ||
TOTAL FINANCIALS | 37,442,579 | |
HEALTH CARE – 14.3% | ||
Health Care Equipment & Supplies – 4.1% | ||
Danaher Corp. | 22,442 | 4,573,679 |
Medtronic PLC | 35,931 | 3,466,623 |
ResMed, Inc. | 16,180 | 3,276,612 |
38 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – continued | ||
Stryker Corp. | 14,956 | $ 2,890,995 |
14,207,909 | ||
Health Care Providers & Services – 3.4% | ||
Anthem, Inc. | 11,444 | 3,133,367 |
Cigna Corp. (a) | 16,168 | 2,792,052 |
UnitedHealth Group, Inc. | 19,370 | 5,864,849 |
11,790,268 | ||
Pharmaceuticals – 6.8% | ||
Eli Lilly & Co. | 26,436 | 3,973,067 |
Johnson & Johnson | 46,738 | 6,812,531 |
Merck & Co., Inc. | 58,284 | 4,676,708 |
Pfizer, Inc. | 128,811 | 4,956,647 |
Zoetis, Inc. | 23,233 | 3,523,981 |
23,942,934 | ||
TOTAL HEALTH CARE | 49,941,111 | |
INDUSTRIALS – 8.7% | ||
Aerospace & Defense – 2.0% | ||
HEICO Corp. (b) | 18,093 | 1,739,099 |
Lockheed Martin Corp. | 7,792 | 2,952,934 |
Northrop Grumman Corp. | 7,609 | 2,473,001 |
7,165,034 | ||
Air Freight & Logistics – 0.8% | ||
CH Robinson Worldwide, Inc. | 30,690 | 2,876,267 |
Commercial Services & Supplies – 2.1% | ||
Republic Services, Inc. | 24,325 | 2,122,356 |
Rollins, Inc. | 55,955 | 2,932,042 |
Waste Management, Inc. | 21,716 | 2,380,074 |
7,434,472 | ||
Industrial Conglomerates – 1.7% | ||
3M Co. | 19,824 | 2,982,917 |
Honeywell International, Inc. | 20,374 | 3,043,265 |
6,026,182 | ||
Machinery – 0.6% | ||
The Toro Co. | 26,924 | 1,921,027 |
Professional Services – 1.5% | ||
Exponent, Inc. | 29,281 | 2,461,361 |
Verisk Analytics, Inc. | 14,501 | 2,736,484 |
5,197,845 | ||
TOTAL INDUSTRIALS | 30,620,827 | |
INFORMATION TECHNOLOGY – 27.5% | ||
IT Services – 11.8% | ||
Accenture PLC Class A | 18,046 | 4,056,380 |
Amdocs Ltd. | 31,099 | 1,931,248 |
Automatic Data Processing, Inc. | 17,674 | 2,349,051 |
Broadridge Financial Solutions, Inc. | 19,962 | 2,681,695 |
| ||
Shares | Value | |
Fidelity National Information Services, Inc. | 22,612 | $ 3,308,362 |
Fiserv, Inc. (a) | 25,193 | 2,514,010 |
Genpact Ltd. | 51,866 | 2,065,304 |
Jack Henry & Associates, Inc. | 14,605 | 2,604,072 |
Mastercard, Inc. Class A | 17,297 | 5,336,643 |
Paychex, Inc. | 29,282 | 2,105,961 |
PayPal Holdings, Inc. (a) | 32,585 | 6,388,941 |
Visa, Inc. Class A | 31,236 | 5,947,334 |
41,289,001 | ||
Semiconductors & Semiconductor Equipment – 1.1% | ||
Intel Corp. | 84,588 | 4,037,385 |
Software – 7.8% | ||
Check Point Software Technologies Ltd. (a) | 20,828 | 2,610,790 |
Microsoft Corp. | 102,251 | 20,962,478 |
Oracle Corp. | 66,556 | 3,690,530 |
27,263,798 | ||
Technology Hardware, Storage & Peripherals – 6.8% | ||
Apple, Inc. | 56,132 | 23,858,345 |
TOTAL INFORMATION TECHNOLOGY | 96,448,529 | |
MATERIALS – 2.7% | ||
Chemicals – 1.9% | ||
Air Products & Chemicals, Inc. | 5,031 | 1,442,035 |
Ecolab, Inc. | 5,908 | 1,105,269 |
International Flavors & Fragrances, Inc. (b) | 5,535 | 697,133 |
Linde PLC | 9,152 | 2,243,247 |
The Sherwin-Williams Co. | 2,014 | 1,304,911 |
6,792,595 | ||
Construction Materials – 0.2% | ||
Vulcan Materials Co. | 5,670 | 665,771 |
Containers & Packaging – 0.6% | ||
AptarGroup, Inc. | 5,928 | 682,906 |
Ball Corp. | 11,810 | 869,570 |
Sonoco Products Co. | 11,451 | 592,475 |
2,144,951 | ||
TOTAL MATERIALS | 9,603,317 | |
REAL ESTATE – 3.2% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
American Tower Corp. | 7,451 | 1,947,617 |
AvalonBay Communities, Inc. | 4,063 | 622,127 |
Crown Castle International Corp. | 8,420 | 1,403,614 |
Equity Lifestyle Properties, Inc. | 9,416 | 643,301 |
Essex Property Trust, Inc. | 2,476 | 546,552 |
Federal Realty Investment Trust | 4,939 | 376,846 |
Mid-America Apartment Communities, Inc. | 5,127 | 611,087 |
39 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
National Health Investors, Inc. | 6,699 | $ 415,338 |
National Retail Properties, Inc. | 11,363 | 402,818 |
Public Storage | 4,138 | 827,104 |
Realty Income Corp. | 10,543 | 633,107 |
Simon Property Group, Inc. | 7,359 | 458,834 |
Sun Communities, Inc. | 4,399 | 659,542 |
UDR, Inc. | 14,319 | 518,348 |
Welltower, Inc. | 11,049 | 591,784 |
WP Carey, Inc. | 8,268 | 590,087 |
TOTAL REAL ESTATE | 11,248,106 | |
UTILITIES – 3.3% | ||
Electric Utilities – 1.8% | ||
American Electric Power Co., Inc. | 13,985 | 1,215,017 |
Duke Energy Corp. | 17,172 | 1,455,155 |
NextEra Energy, Inc. | 8,891 | 2,495,704 |
Xcel Energy, Inc. | 18,212 | 1,257,356 |
6,423,232 | ||
Multi-Utilities – 1.5% | ||
Ameren Corp. | 12,990 | 1,042,318 |
CMS Energy Corp. | 15,628 | 1,003,005 |
Consolidated Edison, Inc. | 12,846 | 986,958 |
DTE Energy Co. | 8,467 | 979,039 |
WEC Energy Group, Inc. | 12,058 | 1,148,645 |
5,159,965 | ||
TOTAL UTILITIES | 11,583,197 | |
TOTAL COMMON STOCKS (Cost $344,082,429) | 349,571,004 |
Money Market Funds – 0.6% | ||
Shares | Value | |
Fidelity Cash Central Fund, 0.14% (c) | 796,832 | $ 797,071 |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 1,256,507 | 1,256,633 |
TOTAL MONEY MARKET FUNDS (Cost $2,053,636) | 2,053,704 | |
TOTAL INVESTMENT IN SECURITIES – 100.3% (Cost $346,136,065) | 351,624,708 | |
NET OTHER ASSETS (LIABILITIES) – (0.3%) | (916,647) | |
NET ASSETS – 100.0% | $ 350,708,061 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Future Contracts | 4 | September 2020 | $ 652,700 | $ 29,159 | $ 29,159 |
CME Micro E-mini S&P 500 Index Future Contracts | 22 | September 2020 | 358,985 | 20,610 | 20,610 |
Total Equity Index Contracts | $ 49,769 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 4,413 |
Fidelity Securities Lending Cash Central Fund | 8,463 |
Total | $12,876 |
40 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Equities: | |||||||||
Communication Services | $ 34,403,785 | $ 34,403,785 | $ — | $ — | |||||
Consumer Discretionary | 35,019,922 | 35,019,922 | — | — | |||||
Consumer Staples | 25,053,991 | 25,053,991 | — | — | |||||
Energy | 8,205,640 | 8,205,640 | — | — | |||||
Financials | 37,442,579 | 37,442,579 | — | — | |||||
Health Care | 49,941,111 | 49,941,111 | — | — | |||||
Industrials | 30,620,827 | 30,620,827 | — | — | |||||
Information Technology | 96,448,529 | 96,448,529 | — | — | |||||
Materials | 9,603,317 | 9,603,317 | — | — | |||||
Real Estate | 11,248,106 | 11,248,106 | — | — | |||||
Utilities | 11,583,197 | 11,583,197 | — | — | |||||
Money Market Funds | 2,053,704 | 2,053,704 | — | — | |||||
Total Investments in Securities: | $ 351,624,708 | $ 351,624,708 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 49,769 | $ 49,769 | $ — | $ — | |||||
Total Assets | $ 49,769 | $ 49,769 | $ — | $ — | |||||
Total Derivative Instruments: | $ 49,769 | $ 49,769 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $49,769 | $0 | |
Total Equity Risk | 49,769 | 0 | |
Total Value of Derivatives | $49,769 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
41 |
Table of Contents
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.8% | ||
Diversified Telecommunication Services – 1.8% | ||
AT&T, Inc. | 36,935 | $1,092,537 |
Cogent Communications Holdings, Inc. | 6,078 | 547,689 |
1,640,226 | ||
Entertainment – 2.3% | ||
Activision Blizzard, Inc. | 10,001 | 826,383 |
Netflix, Inc. (a) | 2,422 | 1,184,067 |
2,010,450 | ||
Interactive Media & Services – 3.5% | ||
Alphabet, Inc. Class A (a) | 2,055 | 3,057,737 |
Media – 2.2% | ||
Cable One, Inc. | 275 | 501,204 |
Charter Communications, Inc. Class A (a) | 1,450 | 841,000 |
Liberty Broadband Corp. Class C (a) | 4,563 | 626,363 |
1,968,567 | ||
TOTAL COMMUNICATION SERVICES | 8,676,980 | |
CONSUMER DISCRETIONARY – 11.8% | ||
Automobiles – 1.4% | ||
Tesla, Inc. (a) | 849 | 1,214,715 |
Hotels, Restaurants & Leisure – 0.5% | ||
Domino's Pizza, Inc. | 1,077 | 416,379 |
Internet & Direct Marketing Retail – 5.4% | ||
Amazon.com, Inc. (a) | 1,312 | 4,152,060 |
Stamps.com, Inc. (a) | 2,263 | 589,014 |
4,741,074 | ||
Multiline Retail – 1.2% | ||
Dollar General Corp. | 2,718 | 517,507 |
Target Corp. | 4,622 | 581,818 |
1,099,325 | ||
Specialty Retail – 1.8% | ||
The Home Depot, Inc. | 4,663 | 1,237,980 |
Tiffany & Co., Inc. | 3,078 | 385,858 |
1,623,838 | ||
Textiles, Apparel & Luxury Goods – 1.5% | ||
Lululemon Athletica, Inc. (a) | 1,905 | 620,249 |
NIKE, Inc. Class B | 7,528 | 734,808 |
1,355,057 | ||
TOTAL CONSUMER DISCRETIONARY | 10,450,388 | |
CONSUMER STAPLES – 6.4% | ||
Beverages – 1.7% | ||
PepsiCo, Inc. | 5,621 | 773,787 |
The Coca-Cola Co. | 15,745 | 743,794 |
1,517,581 | ||
Food & Staples Retailing – 2.0% | ||
Costco Wholesale Corp. | 1,982 | 645,200 |
The Kroger Co. | 9,371 | 326,017 |
| ||
Shares | Value | |
Walmart, Inc. | 5,840 | $ 755,696 |
1,726,913 | ||
Food Products – 0.9% | ||
Campbell Soup Co. | 4,976 | 246,660 |
Freshpet, Inc. (a) | 3,079 | 295,738 |
Hormel Foods Corp. | 5,583 | 283,952 |
826,350 | ||
Household Products – 1.8% | ||
Kimberly-Clark Corp. | 2,589 | 393,632 |
The Procter & Gamble Co. | 8,918 | 1,169,328 |
1,562,960 | ||
TOTAL CONSUMER STAPLES | 5,633,804 | |
ENERGY – 2.2% | ||
Oil, Gas & Consumable Fuels – 2.2% | ||
Chevron Corp. | 7,586 | 636,769 |
ConocoPhillips | 8,045 | 300,803 |
HollyFrontier Corp. | 6,737 | 185,267 |
Kinder Morgan, Inc. | 19,184 | 270,494 |
Phillips 66 | 4,103 | 254,468 |
Valero Energy Corp. | 4,455 | 250,505 |
TOTAL ENERGY | 1,898,306 | |
FINANCIALS – 9.9% | ||
Banks – 1.4% | ||
JPMorgan Chase & Co. | 12,621 | 1,219,693 |
Capital Markets – 4.9% | ||
BlackRock, Inc. | 1,056 | 607,210 |
CME Group, Inc. | 3,048 | 506,517 |
Intercontinental Exchange, Inc. | 5,641 | 545,936 |
MarketAxess Holdings, Inc. | 908 | 469,164 |
Moody's Corp. | 1,951 | 548,816 |
MSCI, Inc. | 1,353 | 508,701 |
S&P Global, Inc. | 1,932 | 676,683 |
The Blackstone Group, Inc. Class A | 8,831 | 470,516 |
4,333,543 | ||
Diversified Financial Services – 1.6% | ||
Berkshire Hathaway, Inc. Class B (a) | 7,444 | 1,457,386 |
Insurance – 2.0% | ||
Brown & Brown, Inc. | 10,808 | 491,440 |
eHealth, Inc. (a) | 3,487 | 241,091 |
Marsh & McLennan Cos., Inc. | 5,156 | 601,190 |
The Allstate Corp. | 4,486 | 423,433 |
1,757,154 | ||
TOTAL FINANCIALS | 8,767,776 | |
HEALTH CARE – 14.7% | ||
Biotechnology – 5.4% | ||
Amgen, Inc. | 4,593 | 1,123,769 |
42 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Biogen, Inc. (a) | 2,863 | $ 786,437 |
Regeneron Pharmaceuticals, Inc. (a) | 1,556 | 983,501 |
Seattle Genetics, Inc. (a) | 5,424 | 901,849 |
Vertex Pharmaceuticals, Inc. (a) | 3,509 | 954,448 |
4,750,004 | ||
Health Care Equipment & Supplies – 3.1% | ||
DexCom, Inc. (a) | 2,344 | 1,020,906 |
Insulet Corp. (a) | 3,675 | 747,348 |
ResMed, Inc. | 4,910 | 994,324 |
2,762,578 | ||
Health Care Providers & Services – 2.6% | ||
DaVita, Inc. (a) | 9,111 | 796,210 |
UnitedHealth Group, Inc. | 5,056 | 1,530,856 |
2,327,066 | ||
Health Care Technology – 1.2% | ||
Teladoc Health, Inc. (a) | 4,456 | 1,058,879 |
Pharmaceuticals – 2.4% | ||
Bristol-Myers Squibb Co. | 18,101 | 1,061,805 |
Eli Lilly & Co. | 6,901 | 1,037,151 |
2,098,956 | ||
TOTAL HEALTH CARE | 12,997,483 | |
INDUSTRIALS – 7.9% | ||
Aerospace & Defense – 2.3% | ||
L3Harris Technologies, Inc. | 2,660 | 447,758 |
Lockheed Martin Corp. | 1,713 | 649,176 |
Northrop Grumman Corp. | 1,633 | 530,741 |
Teledyne Technologies, Inc. (a) | 1,313 | 402,697 |
2,030,372 | ||
Commercial Services & Supplies – 0.6% | ||
Copart, Inc. (a) | 5,505 | 513,341 |
Electrical Equipment – 1.4% | ||
Eaton Corp. PLC | 5,893 | 548,815 |
Generac Holdings, Inc. (a) | 4,229 | 666,406 |
1,215,221 | ||
Machinery – 0.7% | ||
Illinois Tool Works, Inc. | 3,253 | 601,773 |
Professional Services – 2.3% | ||
Clarivate PLC (a) | 17,674 | 488,686 |
CoStar Group, Inc. (a) | 712 | 605,029 |
FTI Consulting, Inc. (a) | 3,207 | 383,044 |
IHS Markit Ltd. | 6,996 | 564,787 |
2,041,546 | ||
Road & Rail – 0.6% | ||
Old Dominion Freight Line, Inc. | 2,988 | 546,266 |
TOTAL INDUSTRIALS | 6,948,519 |
| ||
Shares | Value | |
INFORMATION TECHNOLOGY – 28.0% | ||
IT Services – 3.7% | ||
Fiserv, Inc. (a) | 6,123 | $ 611,014 |
Mastercard, Inc. Class A | 4,188 | 1,292,124 |
Visa, Inc. Class A | 7,416 | 1,412,006 |
3,315,144 | ||
Semiconductors & Semiconductor Equipment – 7.5% | ||
Advanced Micro Devices, Inc. (a)(b) | 12,175 | 942,710 |
Cirrus Logic, Inc. (a) | 6,321 | 433,178 |
Enphase Energy, Inc. (a) | 10,166 | 613,620 |
Inphi Corp. (a) | 4,951 | 646,898 |
Intel Corp. | 19,988 | 954,027 |
Lam Research Corp. | 2,232 | 841,821 |
NVIDIA Corp. | 3,312 | 1,406,242 |
SolarEdge Technologies, Inc. (a) | 4,309 | 754,506 |
6,593,002 | ||
Software – 10.4% | ||
Adobe, Inc. (a) | 2,677 | 1,189,445 |
Citrix Systems, Inc. | 3,535 | 504,657 |
Coupa Software, Inc. (a) | 2,818 | 863,576 |
DocuSign, Inc. (a) | 4,795 | 1,039,700 |
Microsoft Corp. | 24,040 | 4,928,440 |
RingCentral, Inc. Class A (a) | 2,246 | 651,946 |
9,177,764 | ||
Technology Hardware, Storage & Peripherals – 6.4% | ||
Apple, Inc. | 13,324 | 5,663,233 |
TOTAL INFORMATION TECHNOLOGY | 24,749,143 | |
MATERIALS – 2.6% | ||
Chemicals – 1.9% | ||
Air Products & Chemicals, Inc. | 1,112 | 318,733 |
Ecolab, Inc. | 1,278 | 239,088 |
FMC Corp. | 1,575 | 167,029 |
Linde PLC | 2,109 | 516,937 |
The Scotts Miracle-Gro Co. | 1,007 | 159,680 |
The Sherwin-Williams Co. | 437 | 283,141 |
1,684,608 | ||
Containers & Packaging – 0.4% | ||
Ball Corp. | 2,611 | 192,248 |
Crown Holdings, Inc. (a) | 2,094 | 149,888 |
342,136 | ||
Metals & Mining – 0.3% | ||
Newmont Corp. | 4,170 | 288,564 |
TOTAL MATERIALS | 2,315,308 | |
REAL ESTATE – 3.4% | ||
Equity Real Estate Investment Trusts (REITs) – 3.4% | ||
Alexandria Real Estate Equities, Inc. | 927 | 164,589 |
American Tower Corp. | 1,633 | 426,850 |
Crown Castle International Corp. | 1,742 | 290,391 |
43 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Digital Realty Trust, Inc. | 1,355 | $ 217,532 |
Duke Realty Corp. | 3,667 | 147,377 |
Equinix, Inc. | 375 | 294,555 |
Equity Lifestyle Properties, Inc. | 2,043 | 139,578 |
First Industrial Realty Trust, Inc. | 2,779 | 122,053 |
Medical Properties Trust, Inc. | 6,845 | 137,790 |
Mid-America Apartment Communities, Inc. | 1,137 | 135,519 |
Prologis, Inc. | 3,107 | 327,540 |
QTS Realty Trust, Inc. Class A | 1,642 | 118,142 |
Rexford Industrial Realty, Inc. | 2,559 | 120,094 |
SBA Communications Corp. | 634 | 197,516 |
Sun Communities, Inc. | 946 | 141,834 |
TOTAL REAL ESTATE | 2,981,360 | |
UTILITIES – 3.1% | ||
Electric Utilities – 2.0% | ||
American Electric Power Co., Inc. | 2,947 | 256,035 |
Entergy Corp. | 1,916 | 201,429 |
Eversource Energy | 2,516 | 226,616 |
NextEra Energy, Inc. | 1,933 | 542,593 |
The Southern Co. | 5,230 | 285,610 |
Xcel Energy, Inc. | 3,510 | 242,331 |
1,754,614 | ||
Multi-Utilities – 0.8% | ||
CMS Energy Corp. | 3,067 | 196,840 |
Dominion Energy, Inc. | 3,993 | 323,553 |
WEC Energy Group, Inc. | 2,317 | 220,717 |
741,110 |
| ||
Shares | Value | |
Water Utilities – 0.3% | ||
American Water Works Co., Inc. | 1,573 | $ 231,656 |
TOTAL UTILITIES | 2,727,380 | |
TOTAL COMMON STOCKS (Cost $74,810,872) | 88,146,447 | |
Money Market Funds – 1.2% | ||
Fidelity Cash Central Fund, 0.14% (c) | 111,248 | 111,282 |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 951,905 | 952,000 |
TOTAL MONEY MARKET FUNDS (Cost $1,063,271) | 1,063,282 | |
TOTAL INVESTMENT IN SECURITIES – 101.0% (Cost $75,874,143) | 89,209,729 | |
NET OTHER ASSETS (LIABILITIES) – (1.0%) | (880,902) | |
NET ASSETS – 100.0% | $ 88,328,827 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Future Contracts | 1 | September 2020 | $163,175 | $7,265 | $7,265 |
Fund | Income earned |
Fidelity Cash Central Fund | $1,210 |
Fidelity Securities Lending Cash Central Fund | 606 |
Total | $1,816 |
44 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 8,676,980 | $ 8,676,980 | $ — | $ — | ||||
Consumer Discretionary | 10,450,388 | 10,450,388 | — | — | ||||
Consumer Staples | 5,633,804 | 5,633,804 | — | — | ||||
Energy | 1,898,306 | 1,898,306 | — | — | ||||
Financials | 8,767,776 | 8,767,776 | — | — | ||||
Health Care | 12,997,483 | 12,997,483 | — | — | ||||
Industrials | 6,948,519 | 6,948,519 | — | — | ||||
Information Technology | 24,749,143 | 24,749,143 | — | — | ||||
Materials | 2,315,308 | 2,315,308 | — | — | ||||
Real Estate | 2,981,360 | 2,981,360 | — | — | ||||
Utilities | 2,727,380 | 2,727,380 | — | — | ||||
Money Market Funds | 1,063,282 | 1,063,282 | — | — | ||||
Total Investments in Securities: | $ 89,209,729 | $ 89,209,729 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 7,265 | $ 7,265 | $ — | $ — | ||||
Total Assets | $ 7,265 | $ 7,265 | — | $ — | ||||
Total Derivative Instruments: | $ 7,265 | $ 7,265 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $7,265 | $0 | |
Total Equity Risk | 7,265 | 0 | |
Total Value of Derivatives | $7,265 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
45 |
Table of Contents
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.4% | ||
Diversified Telecommunication Services – 2.1% | ||
AT&T, Inc. | 48,836 | $1,444,569 |
Verizon Communications, Inc. | 28,667 | 1,647,779 |
3,092,348 | ||
Entertainment – 1.3% | ||
Activision Blizzard, Inc. | 12,634 | 1,043,947 |
Electronic Arts, Inc. (a) | 6,289 | 890,648 |
1,934,595 | ||
Interactive Media & Services – 5.7% | ||
Alphabet, Inc. Class A (a) | 3,226 | 4,800,127 |
Facebook, Inc. Class A (a) | 14,003 | 3,552,141 |
8,352,268 | ||
Media – 1.3% | ||
Comcast Corp. Class A | 33,509 | 1,434,185 |
Sirius XM Holdings, Inc. | 80,136 | 471,200 |
1,905,385 | ||
TOTAL COMMUNICATION SERVICES | 15,284,596 | |
CONSUMER DISCRETIONARY – 10.5% | ||
Hotels, Restaurants & Leisure – 4.1% | ||
Choice Hotels International, Inc. | 9,501 | 798,464 |
Domino's Pizza, Inc. | 3,729 | 1,441,669 |
McDonald's Corp. | 8,178 | 1,588,822 |
Starbucks Corp. | 16,857 | 1,290,066 |
Yum! Brands, Inc. | 10,643 | 969,045 |
6,088,066 | ||
Internet & Direct Marketing Retail – 1.9% | ||
Booking Holdings, Inc. (a) | 707 | 1,175,126 |
eBay, Inc. | 30,107 | 1,664,315 |
2,839,441 | ||
Specialty Retail – 3.4% | ||
AutoZone, Inc. (a) | 1,030 | 1,243,643 |
O'Reilly Automotive, Inc. (a) | 2,704 | 1,290,835 |
The Home Depot, Inc. | 9,334 | 2,478,084 |
5,012,562 | ||
Textiles, Apparel & Luxury Goods – 1.1% | ||
NIKE, Inc. Class B | 15,718 | 1,534,234 |
TOTAL CONSUMER DISCRETIONARY | 15,474,303 | |
CONSUMER STAPLES – 6.6% | ||
Beverages – 1.5% | ||
Monster Beverage Corp. (a) | 10,229 | 802,772 |
The Coca-Cola Co. | 28,260 | 1,335,003 |
2,137,775 | ||
Food Products – 0.4% | ||
The Hershey Co. | 4,500 | 654,345 |
Household Products – 3.3% | ||
Colgate-Palmolive Co. | 11,745 | 906,714 |
Kimberly-Clark Corp. | 5,632 | 856,289 |
| ||
Shares | Value | |
The Clorox Co. | 4,105 | $970,874 |
The Procter & Gamble Co. | 16,479 | 2,160,726 |
4,894,603 | ||
Tobacco – 1.4% | ||
Altria Group, Inc. | 21,445 | 882,462 |
Philip Morris International, Inc. | 14,334 | 1,100,994 |
1,983,456 | ||
TOTAL CONSUMER STAPLES | 9,670,179 | |
ENERGY – 2.6% | ||
Energy Equipment & Services – 0.2% | ||
Schlumberger Ltd. | 18,511 | 335,790 |
Oil, Gas & Consumable Fuels – 2.4% | ||
Cabot Oil & Gas Corp. | 30,017 | 561,318 |
Chevron Corp. | 12,814 | 1,075,607 |
Exxon Mobil Corp. | 26,859 | 1,130,227 |
HollyFrontier Corp. | 10,123 | 278,382 |
Kinder Morgan, Inc. | 28,909 | 407,617 |
3,453,151 | ||
TOTAL ENERGY | 3,788,941 | |
FINANCIALS – 11.0% | ||
Banks – 2.4% | ||
Bank of Hawaii Corp. (b) | 13,736 | 777,870 |
Comerica, Inc. | 20,088 | 773,790 |
SVB Financial Group (a) | 5,006 | 1,122,696 |
Western Alliance Bancorp | 21,931 | 788,419 |
3,462,775 | ||
Capital Markets – 6.8% | ||
Ameriprise Financial, Inc. | 7,704 | 1,183,566 |
CME Group, Inc. | 7,567 | 1,257,484 |
FactSet Research Systems, Inc. | 4,490 | 1,554,887 |
Intercontinental Exchange, Inc. | 16,114 | 1,559,513 |
Moody's Corp. | 5,505 | 1,548,556 |
S&P Global, Inc. | 5,407 | 1,893,802 |
SEI Investments Co. | 18,713 | 979,251 |
9,977,059 | ||
Consumer Finance – 1.2% | ||
Capital One Financial Corp. | 14,159 | 903,344 |
Synchrony Financial | 40,229 | 890,268 |
1,793,612 | ||
Thrifts & Mortgage Finance – 0.6% | ||
Essent Group Ltd. | 24,570 | 880,343 |
TOTAL FINANCIALS | 16,113,789 | |
HEALTH CARE – 13.8% | ||
Biotechnology – 4.2% | ||
AbbVie, Inc. | 18,712 | 1,775,956 |
Amgen, Inc. | 7,190 | 1,759,177 |
Biogen, Inc. (a) | 3,895 | 1,069,917 |
46 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Gilead Sciences, Inc. | 21,364 | $ 1,485,439 |
6,090,489 | ||
Health Care Equipment & Supplies – 1.8% | ||
Edwards Lifesciences Corp. (a) | 16,090 | 1,261,617 |
Medtronic PLC | 14,769 | 1,424,913 |
2,686,530 | ||
Health Care Providers & Services – 1.6% | ||
UnitedHealth Group, Inc. | 7,937 | 2,403,165 |
Life Sciences Tools & Services – 0.9% | ||
Mettler-Toledo International, Inc. (a) | 1,413 | 1,321,155 |
Pharmaceuticals – 5.3% | ||
Bristol-Myers Squibb Co. | 26,580 | 1,559,183 |
Johnson & Johnson | 19,120 | 2,786,931 |
Pfizer, Inc. | 52,867 | 2,034,322 |
Zoetis, Inc. | 9,595 | 1,455,370 |
7,835,806 | ||
TOTAL HEALTH CARE | 20,337,145 | |
INDUSTRIALS – 9.2% | ||
Aerospace & Defense – 0.8% | ||
Lockheed Martin Corp. | 3,059 | 1,159,269 |
Commercial Services & Supplies – 0.5% | ||
Copart, Inc. (a) | 8,950 | 834,588 |
Electrical Equipment – 0.7% | ||
Rockwell Automation, Inc. | 4,522 | 986,429 |
Industrial Conglomerates – 1.6% | ||
3M Co. | 7,765 | 1,168,400 |
Honeywell International, Inc. | 8,017 | 1,197,499 |
2,365,899 | ||
Machinery – 2.5% | ||
Allison Transmission Holdings, Inc. | 18,023 | 673,339 |
Cummins, Inc. | 5,626 | 1,087,281 |
Graco, Inc. | 15,462 | 823,197 |
Illinois Tool Works, Inc. | 5,781 | 1,069,427 |
3,653,244 | ||
Professional Services – 0.7% | ||
Verisk Analytics, Inc. | 5,616 | 1,059,795 |
Road & Rail – 1.6% | ||
CSX Corp. | 14,133 | 1,008,248 |
Union Pacific Corp. | 7,716 | 1,337,569 |
2,345,817 | ||
Trading Companies & Distributors – 0.8% | ||
Fastenal Co. | 24,371 | 1,146,412 |
TOTAL INDUSTRIALS | 13,551,453 |
| ||
Shares | Value | |
INFORMATION TECHNOLOGY – 27.0% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 36,938 | $ 1,739,780 |
IT Services – 5.8% | ||
Accenture PLC Class A | 6,842 | 1,537,945 |
Automatic Data Processing, Inc. | 6,593 | 876,275 |
Mastercard, Inc. Class A | 6,701 | 2,067,459 |
Paychex, Inc. | 10,704 | 769,832 |
VeriSign, Inc. (a) | 4,285 | 907,049 |
Visa, Inc. Class A | 12,160 | 2,315,264 |
8,473,824 | ||
Semiconductors & Semiconductor Equipment – 3.7% | ||
Intel Corp. | 32,772 | 1,564,207 |
NVIDIA Corp. | 6,147 | 2,609,955 |
Texas Instruments, Inc. | 10,567 | 1,347,821 |
5,521,983 | ||
Software – 9.8% | ||
Adobe, Inc. (a) | 4,525 | 2,010,548 |
Aspen Technology, Inc. (a) | 6,743 | 655,824 |
Check Point Software Technologies Ltd. (a) | 7,557 | 947,270 |
Fortinet, Inc. (a) | 7,427 | 1,027,154 |
Microsoft Corp. | 40,918 | 8,388,600 |
Oracle Corp. | 25,109 | 1,392,294 |
14,421,690 | ||
Technology Hardware, Storage & Peripherals – 6.5% | ||
Apple, Inc. | 22,458 | 9,545,548 |
TOTAL INFORMATION TECHNOLOGY | 39,702,825 | |
MATERIALS – 2.5% | ||
Chemicals – 1.5% | ||
Air Products & Chemicals, Inc. | 2,388 | 684,472 |
Celanese Corp. | 3,622 | 352,058 |
Ecolab, Inc. | 2,820 | 527,566 |
LyondellBasell Industries N.V. Class A | 5,201 | 325,167 |
Valvoline, Inc. | 15,603 | 320,174 |
2,209,437 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 3,841 | 308,163 |
Containers & Packaging – 0.2% | ||
International Paper Co. | 9,465 | 329,287 |
Metals & Mining – 0.6% | ||
Royal Gold, Inc. | 3,298 | 461,489 |
Steel Dynamics, Inc. | 12,124 | 332,319 |
793,808 | ||
TOTAL MATERIALS | 3,640,695 | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
American Tower Corp. | 3,025 | 790,705 |
47 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
AvalonBay Communities, Inc. | 1,655 | $ 253,414 |
Equity Residential | 4,244 | 227,606 |
Essex Property Trust, Inc. | 1,009 | 222,727 |
Extra Space Storage, Inc. | 2,580 | 266,617 |
Gaming and Leisure Properties, Inc. | 5,566 | 201,545 |
Medical Properties Trust, Inc. | 11,899 | 239,527 |
National Retail Properties, Inc. | 4,624 | 163,921 |
Omega Healthcare Investors, Inc. | 6,088 | 197,129 |
Prologis, Inc. | 5,846 | 616,285 |
Public Storage | 1,687 | 337,197 |
Realty Income Corp. | 4,293 | 257,795 |
Simon Property Group, Inc. | 2,993 | 186,613 |
STORE Capital Corp. | 6,472 | 153,322 |
VICI Properties, Inc. | 10,154 | 220,443 |
WP Carey, Inc. | 3,370 | 240,517 |
TOTAL REAL ESTATE | 4,575,363 | |
UTILITIES – 2.9% | ||
Electric Utilities – 2.0% | ||
Evergy, Inc. | 7,068 | 458,218 |
FirstEnergy Corp. | 10,761 | 312,069 |
IDACORP, Inc. | 4,080 | 380,460 |
NextEra Energy, Inc. | 3,927 | 1,102,309 |
NRG Energy, Inc. | 12,374 | 418,365 |
OGE Energy Corp. | 10,179 | 334,889 |
3,006,310 | ||
Independent Power and Renewable Electricity Producers – 0.5% | ||
The AES Corp. | 23,614 | 359,641 |
Vistra Corp. | 21,500 | 401,190 |
760,831 |
| ||
Shares | Value | |
Multi-Utilities – 0.4% | ||
WEC Energy Group, Inc. | 5,753 | $ 548,031 |
TOTAL UTILITIES | 4,315,172 | |
TOTAL COMMON STOCKS (Cost $137,508,000) | 146,454,461 | |
Money Market Funds – 0.4% | ||
Fidelity Cash Central Fund, 0.14% (c) | 354,563 | 354,670 |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 139,792 | 139,806 |
TOTAL MONEY MARKET FUNDS (Cost $494,447) | 494,476 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $138,002,447) | 146,948,937 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 73,057 | |
NET ASSETS – 100.0% | $ 147,021,994 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Future Contracts | 1 | September 2020 | $ 163,175 | $ 7,266 | $ 7,266 |
CME Micro E-mini S&P 500 Index Future Contracts | 22 | September 2020 | 358,985 | 15,890 | 15,890 |
Total Equity Index Contracts | $ 23,156 |
48 |
Table of Contents
Fund | Income earned |
Fidelity Cash Central Fund | $1,718 |
Fidelity Securities Lending Cash Central Fund | 6,873 |
Total | $8,591 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 15,284,596 | $ 15,284,596 | $ — | $ — | ||||
Consumer Discretionary | 15,474,303 | 15,474,303 | — | — | ||||
Consumer Staples | 9,670,179 | 9,670,179 | — | — | ||||
Energy | 3,788,941 | 3,788,941 | — | — | ||||
Financials | 16,113,789 | 16,113,789 | — | — | ||||
Health Care | 20,337,145 | 20,337,145 | — | — | ||||
Industrials | 13,551,453 | 13,551,453 | — | — | ||||
Information Technology | 39,702,825 | 39,702,825 | — | — | ||||
Materials | 3,640,695 | 3,640,695 | — | — | ||||
Real Estate | 4,575,363 | 4,575,363 | — | — | ||||
Utilities | 4,315,172 | 4,315,172 | — | — | ||||
Money Market Funds | 494,476 | 494,476 | — | — | ||||
Total Investments in Securities: | $ 146,948,937 | $ 146,948,937 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 23,156 | $ 23,156 | $ — | $ — | ||||
Total Assets | $ 23,156 | $ 23,156 | — | $ — | ||||
Total Derivative Instruments: | $ 23,156 | $ 23,156 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $23,156 | $0 | |
Total Equity Risk | 23,156 | 0 | |
Total Value of Derivatives | $23,156 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
49 |
Table of Contents
Common Stocks – 100.1% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.7% | ||
Diversified Telecommunication Services – 0.5% | ||
Cogent Communications Holdings, Inc. | 440 | $39,648 |
GCI Liberty, Inc. Class A (a) | 697 | 54,638 |
94,286 | ||
Entertainment – 0.6% | ||
Cinemark Holdings, Inc. | 1,011 | 11,960 |
Sciplay Corp. Class A (a) | 1,618 | 23,655 |
Zynga, Inc. Class A (a) | 8,015 | 78,788 |
114,403 | ||
Interactive Media & Services – 0.3% | ||
Match Group, Inc. (a) | 473 | 48,577 |
Media – 2.3% | ||
Altice USA, Inc. Class A (a) | 2,198 | 59,324 |
AMC Networks, Inc. Class A (a) | 625 | 14,437 |
Cable One, Inc. | 35 | 63,790 |
Central European Media Enterprises Ltd. Class A (a) | 4,005 | 15,940 |
John Wiley & Sons, Inc. Class A | 572 | 19,351 |
MSG Networks, Inc. Class A (a) | 1,148 | 10,940 |
National CineMedia, Inc. | 2,344 | 5,790 |
Nexstar Media Group, Inc. Class A | 355 | 31,116 |
Sinclair Broadcast Group, Inc. Class A | 829 | 17,077 |
Sirius XM Holdings, Inc. | 8,960 | 52,685 |
TechTarget, Inc. (a) | 735 | 26,673 |
TEGNA, Inc. | 1,896 | 22,335 |
The Interpublic Group of Cos., Inc. | 2,581 | 46,587 |
The New York Times Co. Class A | 1,272 | 58,690 |
444,735 | ||
TOTAL COMMUNICATION SERVICES | 702,001 | |
CONSUMER DISCRETIONARY – 13.1% | ||
Auto Components – 1.3% | ||
Autoliv, Inc. | 606 | 39,408 |
BorgWarner, Inc. | 1,520 | 55,632 |
Dorman Products, Inc. (a) | 382 | 31,228 |
Gentex Corp. | 1,853 | 50,012 |
LCI Industries | 282 | 35,476 |
Lear Corp. | 412 | 45,477 |
257,233 | ||
Automobiles – 0.3% | ||
Harley-Davidson, Inc. | 1,257 | 32,720 |
Winnebago Industries, Inc. | 476 | 28,755 |
61,475 | ||
Distributors – 0.5% | ||
Pool Corp. | 285 | 90,259 |
Diversified Consumer Services – 1.6% | ||
American Public Education, Inc. (a) | 841 | 24,481 |
Bright Horizons Family Solutions, Inc. (a) | 403 | 43,218 |
Carriage Services, Inc. | 843 | 18,639 |
| ||
Shares | Value | |
Collectors Universe, Inc. | 685 | $ 26,071 |
Frontdoor, Inc. (a) | 847 | 35,570 |
Graham Holdings Co. Class B | 55 | 21,910 |
H&R Block, Inc. | 1,702 | 24,679 |
Laureate Education, Inc. Class A (a) | 1,473 | 18,678 |
Service Corp. International | 1,299 | 56,325 |
Strategic Education, Inc. | 226 | 28,523 |
298,094 | ||
Hotels, Restaurants & Leisure – 3.3% | ||
Bloomin' Brands, Inc. | 1,309 | 15,080 |
Brinker International, Inc. | 627 | 16,860 |
Choice Hotels International, Inc. | 330 | 27,733 |
Churchill Downs, Inc. | 305 | 42,249 |
Cracker Barrel Old Country Store, Inc. | 242 | 26,734 |
Denny's Corp. (a) | 1,120 | 9,951 |
Dunkin' Brands Group, Inc. | 639 | 43,918 |
Extended Stay America, Inc. | 2,297 | 26,209 |
Hilton Grand Vacations, Inc. (a) | 987 | 20,036 |
Hyatt Hotels Corp. Class A | 385 | 18,480 |
Jack in the Box, Inc. | 340 | 27,917 |
Papa John's International, Inc. | 395 | 37,395 |
Planet Fitness, Inc. Class A (a) | 635 | 33,147 |
Ruth's Hospitality Group, Inc. | 1,033 | 6,916 |
Six Flags Entertainment Corp. | 888 | 15,442 |
Texas Roadhouse, Inc. | 614 | 34,501 |
The Cheesecake Factory, Inc. | 662 | 15,888 |
The Wendy's Co. | 1,752 | 40,611 |
Vail Resorts, Inc. | 281 | 53,960 |
Wingstop, Inc. | 351 | 54,844 |
Wyndham Destinations, Inc. | 815 | 21,679 |
Wyndham Hotels & Resorts, Inc. | 760 | 33,562 |
623,112 | ||
Household Durables – 2.6% | ||
Cavco Industries, Inc. (a) | 122 | 24,440 |
Helen of Troy Ltd. (a) | 221 | 41,603 |
Installed Building Products, Inc. (a) | 345 | 27,293 |
KB Home | 941 | 31,655 |
La-Z-Boy, Inc. | 820 | 23,337 |
Leggett & Platt, Inc. | 1,027 | 41,172 |
M.D.C. Holdings, Inc. | 666 | 29,857 |
M/I Homes, Inc. (a) | 562 | 23,396 |
Meritage Homes Corp. (a) | 434 | 43,044 |
Mohawk Industries, Inc. (a) | 417 | 33,298 |
Taylor Morrison Home Corp. (a) | 1,326 | 31,095 |
Tempur Sealy International, Inc. (a) | 423 | 34,242 |
Toll Brothers, Inc. | 1,052 | 40,186 |
TopBuild Corp. (a) | 332 | 43,798 |
TRI Pointe Group, Inc. (a) | 1,802 | 30,130 |
498,546 | ||
Multiline Retail – 0.1% | ||
Kohl's Corp. | 1,145 | 21,801 |
50 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Specialty Retail – 2.6% | ||
Aarons, Inc. | 668 | $ 34,856 |
Advance Auto Parts, Inc. | 463 | 69,515 |
Asbury Automotive Group, Inc. (a) | 291 | 29,144 |
AutoNation, Inc. (a) | 719 | 36,914 |
Foot Locker, Inc. | 954 | 28,038 |
Group 1 Automotive, Inc. | 270 | 22,685 |
Hibbett Sports, Inc. (a) | 826 | 19,155 |
Lithia Motors, Inc. Class A | 241 | 55,225 |
Murphy USA, Inc. (a) | 314 | 41,577 |
Penske Automotive Group, Inc. | 520 | 23,306 |
Rent-A-Center, Inc. | 922 | 26,664 |
Sally Beauty Holdings, Inc. (a) | 1,627 | 18,890 |
The Buckle, Inc. | 869 | 13,930 |
Williams-Sonoma, Inc. | 625 | 54,450 |
Winmark Corp. | 101 | 16,057 |
490,406 | ||
Textiles, Apparel & Luxury Goods – 0.8% | ||
Carter's, Inc. | 380 | 29,914 |
Deckers Outdoor Corp. (a) | 234 | 48,964 |
Ralph Lauren Corp. | 391 | 27,878 |
Skechers U.S.A., Inc. Class A (a) | 1,151 | 33,701 |
Steven Madden Ltd. | 838 | 17,749 |
158,206 | ||
TOTAL CONSUMER DISCRETIONARY | 2,499,132 | |
CONSUMER STAPLES – 3.5% | ||
Beverages – 0.7% | ||
Keurig Dr Pepper, Inc. | 1,994 | 60,997 |
The Boston Beer Co., Inc. Class A (a) | 101 | 81,854 |
142,851 | ||
Food & Staples Retailing – 0.7% | ||
Casey's General Stores, Inc. | 301 | 47,916 |
Ingles Markets, Inc. Class A | 517 | 20,809 |
Performance Food Group Co. (a) | 952 | 26,675 |
US Foods Holding Corp. (a) | 1,555 | 31,567 |
126,967 | ||
Food Products – 1.4% | ||
Campbell Soup Co. | 1,223 | 60,624 |
Flowers Foods, Inc. | 1,876 | 42,679 |
Ingredion, Inc. | 575 | 49,738 |
J&J Snack Foods Corp. | 192 | 23,641 |
John B Sanfilippo & Son, Inc. | 288 | 25,393 |
Lancaster Colony Corp. | 226 | 35,841 |
Pilgrim's Pride Corp. (a) | 979 | 15,028 |
Sanderson Farms, Inc. | 241 | 26,870 |
279,814 | ||
Household Products – 0.2% | ||
WD-40 Co. | 166 | 32,627 |
| ||
Shares | Value | |
Personal Products – 0.4% | ||
Herbalife Nutrition Ltd. (a) | 891 | $45,655 |
USANA Health Sciences, Inc. (a) | 309 | 25,084 |
70,739 | ||
Tobacco – 0.1% | ||
Vector Group Ltd. | 2,013 | 17,755 |
TOTAL CONSUMER STAPLES | 670,753 | |
ENERGY – 2.5% | ||
Energy Equipment & Services – 0.4% | ||
Cactus, Inc. Class A | 1,199 | 27,121 |
Core Laboratories N.V. | 983 | 20,968 |
Matrix Service Co. (a) | 1,534 | 13,430 |
Solaris Oilfield Infrastructure, Inc. Class A | 2,553 | 18,535 |
80,054 | ||
Oil, Gas & Consumable Fuels – 2.1% | ||
Arch Resources, Inc. | 560 | 17,371 |
Cabot Oil & Gas Corp. | 3,935 | 73,584 |
CONSOL Energy, Inc. (a) | 2,865 | 16,846 |
CVR Energy, Inc. | 984 | 18,893 |
Delek US Holdings, Inc. | 1,393 | 24,350 |
Diamond S Shipping, Inc. (a) | 2,589 | 22,731 |
Falcon Minerals Corp. | 6,117 | 15,354 |
HollyFrontier Corp. | 1,383 | 38,032 |
International Seaways, Inc. | 1,365 | 23,574 |
Kosmos Energy Ltd. | 6,840 | 11,012 |
Magnolia Oil & Gas Corp. Class A (a) | 3,218 | 19,244 |
Par Pacific Holdings, Inc. (a) | 1,612 | 11,945 |
PBF Energy, Inc. Class A | 1,588 | 13,784 |
REX American Resources Corp. (a) | 390 | 26,579 |
Talos Energy, Inc. (a) | 1,509 | 10,276 |
Teekay Tankers Ltd. Class A (a) | 1,877 | 28,099 |
World Fuel Services Corp. | 1,033 | 24,306 |
395,980 | ||
TOTAL ENERGY | 476,034 | |
FINANCIALS – 13.5% | ||
Banks – 4.4% | ||
1st Source Corp. | 496 | 16,428 |
Bank of Hawaii Corp. | 422 | 23,898 |
Cathay General Bancorp | 920 | 22,246 |
City Holding Co. | 343 | 21,424 |
Comerica, Inc. | 1,016 | 39,136 |
Commerce Bancshares, Inc. | 803 | 45,980 |
Community Trust Bancorp, Inc. | 540 | 16,529 |
ConnectOne Bancorp, Inc. | 1,022 | 14,093 |
Eagle Bancorp, Inc. | 629 | 18,920 |
Enterprise Financial Services Corp. | 577 | 16,768 |
First Citizens BancShares, Inc. Class A | 82 | 34,921 |
First Financial Corp. | 550 | 18,386 |
51 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
First Foundation, Inc. | 1,410 | $ 21,672 |
First Horizon National Corp. | 2,792 | 25,882 |
First Midwest Bancorp, Inc. | 1,512 | 18,348 |
Fulton Financial Corp. | 2,003 | 19,429 |
German American Bancorp, Inc. | 704 | 20,022 |
Great Southern Bancorp, Inc. | 410 | 14,789 |
Hancock Whitney Corp. | 935 | 17,821 |
Hilltop Holdings, Inc. | 1,237 | 24,084 |
Horizon Bancorp, Inc. | 1,350 | 13,649 |
Independent Bank Corp. | 1,033 | 14,426 |
Lakeland Bancorp, Inc. | 1,472 | 14,985 |
MidWestOne Financial Group, Inc. | 690 | 12,475 |
Nicolet Bankshares, Inc. (a) | 331 | 18,543 |
Popular, Inc. | 821 | 30,467 |
Preferred Bank | 400 | 14,900 |
QCR Holdings, Inc. | 552 | 16,494 |
Sandy Spring Bancorp, Inc. | 740 | 17,109 |
ServisFirst Bancshares, Inc. | 759 | 27,772 |
Sterling Bancorp | 1,987 | 22,354 |
Stock Yards Bancorp, Inc. | 625 | 24,431 |
Synovus Financial Corp. | 1,285 | 25,893 |
Texas Capital Bancshares, Inc. (a) | 603 | 20,032 |
UMB Financial Corp. | 508 | 25,298 |
Valley National Bancorp | 3,752 | 28,027 |
Western Alliance Bancorp | 816 | 29,335 |
Zions Bancorp NA | 1,239 | 40,230 |
847,196 | ||
Capital Markets – 2.0% | ||
Artisan Partners Asset Management, Inc. Class A | 867 | 31,411 |
Cohen & Steers, Inc. | 393 | 23,651 |
Diamond Hill Investment Group, Inc. | 160 | 18,245 |
E*TRADE Financial Corp. | 1,550 | 78,694 |
Eaton Vance Corp. | 980 | 35,417 |
Federated Hermes, Inc. | 1,016 | 26,782 |
Hamilton Lane, Inc. Class A | 447 | 32,291 |
Lazard Ltd. Class A | 1,021 | 29,936 |
Morningstar, Inc. | 231 | 38,817 |
SEI Investments Co. | 921 | 48,196 |
Waddell & Reed Financial, Inc. Class A | 1,593 | 23,242 |
386,682 | ||
Consumer Finance – 0.9% | ||
Credit Acceptance Corp. (a) | 117 | 54,749 |
Encore Capital Group, Inc. (a) | 712 | 26,009 |
Navient Corp. | 2,454 | 19,534 |
Nelnet, Inc. Class A | 465 | 26,970 |
OneMain Holdings, Inc. | 902 | 25,887 |
Regional Management Corp. (a) | 824 | 12,517 |
165,666 |
| ||
Shares | Value | |
Diversified Financial Services – 0.4% | ||
Jefferies Financial Group, Inc. | 2,134 | $34,571 |
Voya Financial, Inc. | 993 | 49,054 |
83,625 | ||
Insurance – 3.7% | ||
American Financial Group, Inc. | 564 | 34,274 |
American National Group, Inc. | 233 | 17,160 |
AMERISAFE, Inc. | 402 | 25,511 |
Assurant, Inc. | 456 | 49,006 |
Assured Guaranty Ltd. | 912 | 19,909 |
Athene Holding Ltd. Class A (a) | 1,059 | 34,153 |
Employers Holdings, Inc. | 632 | 20,553 |
Erie Indemnity Co. Class A | 217 | 45,596 |
First American Financial Corp. | 881 | 44,940 |
Hallmark Financial Services, Inc. (a) | 1,201 | 3,411 |
Horace Mann Educators Corp. | 656 | 24,653 |
Kinsale Capital Group, Inc. | 281 | 54,767 |
National Western Life Group, Inc. Class A | 84 | 16,362 |
Old Republic International Corp. | 2,291 | 36,816 |
Primerica, Inc. | 367 | 43,915 |
Reinsurance Group of America, Inc. | 448 | 38,192 |
RenaissanceRe Holdings Ltd. | 334 | 60,247 |
RLI Corp. | 414 | 36,486 |
Safety Insurance Group, Inc. | 296 | 22,398 |
Selective Insurance Group, Inc. | 609 | 33,093 |
The Hanover Insurance Group, Inc. | 342 | 34,843 |
696,285 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.8% | ||
Apollo Commercial Real Estate Finance, Inc. | 1,795 | 16,693 |
Ares Commercial Real Estate Corp. | 1,405 | 12,828 |
Blackstone Mortgage Trust, Inc. Class A | 1,194 | 28,739 |
Chimera Investment Corp. | 1,888 | 16,973 |
MFA Financial, Inc. | 4,843 | 12,737 |
Starwood Property Trust, Inc. | 2,177 | 32,546 |
TPG RE Finance Trust, Inc. | 1,276 | 11,076 |
Two Harbors Investment Corp. | 2,641 | 14,341 |
145,933 | ||
Thrifts & Mortgage Finance – 1.3% | ||
Axos Financial, Inc. (a) | 994 | 22,276 |
Essent Group Ltd. | 890 | 31,889 |
Flagstar Bancorp, Inc. | 741 | 23,253 |
Meridian Bancorp, Inc. | 1,408 | 16,058 |
Meta Financial Group, Inc. | 710 | 13,249 |
MGIC Investment Corp. | 3,108 | 25,703 |
NMI Holdings, Inc. Class A (a) | 979 | 15,194 |
PennyMac Financial Services, Inc. | 794 | 38,318 |
Radian Group, Inc. | 1,774 | 26,468 |
TrustCo Bank Corp. | 3,016 | 17,463 |
52 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – continued | ||
Washington Federal, Inc. | 975 | $ 22,756 |
252,627 | ||
TOTAL FINANCIALS | 2,578,014 | |
HEALTH CARE – 16.7% | ||
Biotechnology – 2.5% | ||
ACADIA Pharmaceuticals, Inc. (a) | 1,012 | 42,069 |
Allakos, Inc. (a) | 354 | 26,575 |
Anika Therapeutics, Inc. (a) | 519 | 18,892 |
Arena Pharmaceuticals, Inc. (a) | 644 | 39,535 |
Arrowhead Pharmaceuticals, Inc. (a) | 905 | 38,978 |
Eagle Pharmaceuticals, Inc. (a) | 378 | 17,535 |
Emergent BioSolutions, Inc. (a) | 529 | 58,846 |
Krystal Biotech, Inc. (a) | 384 | 15,855 |
Myriad Genetics, Inc. (a) | 889 | 10,730 |
Natera, Inc. (a) | 806 | 38,704 |
Neurocrine Biosciences, Inc. (a) | 660 | 79,438 |
PDL BioPharma, Inc. (a) | 6,125 | 19,478 |
United Therapeutics Corp. (a) | 403 | 44,922 |
Vanda Pharmaceuticals, Inc. (a) | 1,684 | 16,975 |
468,532 | ||
Health Care Equipment & Supplies – 4.2% | ||
ABIOMED, Inc. (a) | 305 | 91,482 |
Atrion Corp. | 35 | 21,704 |
Cantel Medical Corp. | 489 | 23,105 |
CONMED Corp. | 321 | 26,495 |
Globus Medical, Inc. Class A (a) | 741 | 35,701 |
Haemonetics Corp. (a) | 406 | 35,590 |
Hill-Rom Holdings, Inc. | 505 | 49,096 |
ICU Medical, Inc. (a) | 199 | 36,562 |
Integer Holdings Corp. (a) | 386 | 25,387 |
Integra LifeSciences Holdings Corp. (a) | 683 | 32,613 |
LeMaitre Vascular, Inc. | 588 | 17,246 |
Masimo Corp. (a) | 358 | 78,803 |
Meridian Bioscience, Inc. (a) | 2,422 | 59,315 |
Mesa Laboratories, Inc. | 91 | 21,562 |
Natus Medical, Inc. (a) | 720 | 13,378 |
Neogen Corp. (a) | 542 | 41,609 |
Nevro Corp. (a) | 290 | 38,558 |
NuVasive, Inc. (a) | 508 | 29,027 |
Quidel Corp. (a) | 429 | 121,180 |
Varex Imaging Corp. (a) | 841 | 13,187 |
811,600 | ||
Health Care Providers & Services – 3.8% | ||
Acadia Healthcare Co., Inc. (a) | 991 | 29,542 |
Addus HomeCare Corp. (a) | 266 | 25,645 |
Amedisys, Inc. (a) | 269 | 62,989 |
AMN Healthcare Services, Inc. (a) | 506 | 27,800 |
| ||
Shares | Value | |
Chemed Corp. | 118 | $ 58,079 |
CorVel Corp. (a) | 260 | 20,667 |
DaVita, Inc. (a) | 708 | 61,872 |
Encompass Health Corp. | 740 | 50,379 |
Guardant Health, Inc. (a) | 440 | 37,479 |
LHC Group, Inc. (a) | 273 | 53,265 |
Magellan Health, Inc. (a) | 360 | 26,701 |
MEDNAX, Inc. (a) | 1,194 | 23,856 |
Molina Healthcare, Inc. (a) | 484 | 89,395 |
National HealthCare Corp. | 280 | 16,610 |
National Research Corp. | 333 | 19,044 |
RadNet, Inc. (a) | 1,045 | 16,605 |
Select Medical Holdings Corp. (a) | 1,362 | 25,933 |
The Ensign Group, Inc. | 669 | 30,767 |
Triple-S Management Corp. Class B (a) | 1,195 | 23,255 |
US Physical Therapy, Inc. | 222 | 18,439 |
718,322 | ||
Health Care Technology – 1.5% | ||
HealthStream, Inc. (a) | 849 | 18,640 |
HMS Holdings Corp. (a) | 1,115 | 36,237 |
Inovalon Holdings, Inc. Class A (a) | 1,302 | 30,636 |
Omnicell, Inc. (a) | 430 | 30,225 |
Simulations Plus, Inc. | 622 | 43,789 |
Teladoc Health, Inc. (a) | 546 | 129,746 |
289,273 | ||
Life Sciences Tools & Services – 2.7% | ||
Avantor, Inc. (a) | 2,002 | 44,204 |
Bio-Rad Laboratories, Inc. Class A (a) | 158 | 82,933 |
Bio-Techne Corp. | 279 | 76,770 |
Bruker Corp. | 897 | 40,024 |
Charles River Laboratories International, Inc. (a) | 385 | 76,611 |
Medpace Holdings, Inc. (a) | 336 | 40,102 |
NeoGenomics, Inc. (a) | 1,160 | 44,347 |
PRA Health Sciences, Inc. (a) | 493 | 52,534 |
Repligen Corp. (a) | 430 | 64,891 |
522,416 | ||
Pharmaceuticals – 2.0% | ||
Catalent, Inc. (a) | 1,087 | 94,938 |
Corcept Therapeutics, Inc. (a) | 1,987 | 29,706 |
Evofem Biosciences, Inc. (a) | 700 | 2,093 |
Horizon Therapeutics PLC (a) | 1,478 | 90,439 |
Innoviva, Inc. (a) | 1,669 | 22,606 |
Jazz Pharmaceuticals PLC (a) | 409 | 44,274 |
Perrigo Co. PLC | 1,005 | 53,285 |
Phibro Animal Health Corp. Class A | 798 | 18,510 |
Prestige Consumer Healthcare, Inc. (a) | 720 | 26,777 |
382,628 | ||
TOTAL HEALTH CARE | 3,192,771 |
53 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – 15.7% | ||
Aerospace & Defense – 0.7% | ||
Aerojet Rocketdyne Holdings, Inc. (a) | 654 | $ 26,977 |
BWX Technologies, Inc. | 723 | 39,418 |
Curtiss-Wright Corp. | 314 | 27,984 |
Hexcel Corp. | 621 | 23,163 |
Spirit AeroSystems Holdings, Inc. Class A | 754 | 14,756 |
132,298 | ||
Air Freight & Logistics – 0.4% | ||
CH Robinson Worldwide, Inc. | 885 | 82,942 |
Airlines – 0.3% | ||
Alaska Air Group, Inc. | 828 | 28,516 |
Hawaiian Holdings, Inc. | 750 | 8,918 |
JetBlue Airways Corp. (a) | 2,176 | 22,500 |
59,934 | ||
Building Products – 2.1% | ||
AAON, Inc. | 497 | 29,447 |
AO Smith Corp. | 1,042 | 50,162 |
Armstrong World Industries, Inc. | 396 | 28,211 |
Builders FirstSource, Inc. (a) | 1,173 | 27,788 |
CSW Industrials, Inc. | 281 | 18,768 |
Lennox International, Inc. | 235 | 63,013 |
Owens Corning | 780 | 47,167 |
Simpson Manufacturing Co., Inc. | 383 | 36,983 |
Trex Co., Inc. (a) | 446 | 62,141 |
UFP Industries, Inc. | 614 | 35,747 |
399,427 | ||
Commercial Services & Supplies – 1.9% | ||
ABM Industries, Inc. | 706 | 25,345 |
Brady Corp. Class A | 518 | 23,813 |
Cimpress PLC (a) | 264 | 26,400 |
Clean Harbors, Inc. (a) | 432 | 25,747 |
Deluxe Corp. | 498 | 14,059 |
Ennis, Inc. | 868 | 15,016 |
Herman Miller, Inc. | 669 | 15,675 |
Kimball International, Inc. Class B | 1,092 | 11,947 |
Knoll, Inc. | 876 | 10,258 |
McGrath RentCorp | 317 | 18,392 |
MSA Safety, Inc. | 295 | 34,966 |
Rollins, Inc. | 1,111 | 58,216 |
Steelcase, Inc. Class A | 1,267 | 13,595 |
Tetra Tech, Inc. | 465 | 41,222 |
UniFirst Corp. | 151 | 28,159 |
362,810 | ||
Construction & Engineering – 1.0% | ||
AECOM (a) | 1,101 | 39,845 |
Arcosa, Inc. | 578 | 24,403 |
EMCOR Group, Inc. | 466 | 31,921 |
MasTec, Inc. (a) | 575 | 22,874 |
Quanta Services, Inc. | 1,092 | 43,647 |
| ||
Shares | Value | |
Valmont Industries, Inc. | 212 | $ 25,694 |
188,384 | ||
Electrical Equipment – 1.2% | ||
Acuity Brands, Inc. | 318 | 31,514 |
Atkore International Group, Inc. (a) | 609 | 16,242 |
Generac Holdings, Inc. (a) | 479 | 75,481 |
GrafTech International Ltd. | 1,680 | 10,197 |
Hubbell, Inc. | 377 | 50,884 |
Sensata Technologies Holding PLC (a) | 1,114 | 42,310 |
226,628 | ||
Industrial Conglomerates – 0.2% | ||
Carlisle Cos., Inc. | 373 | 44,417 |
Machinery – 4.1% | ||
AGCO Corp. | 501 | 32,881 |
Alamo Group, Inc. | 170 | 17,529 |
Allison Transmission Holdings, Inc. | 896 | 33,475 |
Blue Bird Corp. (a) | 814 | 10,199 |
Crane Co. | 429 | 24,268 |
Donaldson Co., Inc. | 908 | 43,893 |
Douglas Dynamics, Inc. | 407 | 14,387 |
ESCO Technologies, Inc. | 280 | 24,063 |
Federal Signal Corp. | 783 | 24,203 |
Graco, Inc. | 1,116 | 59,416 |
ITT, Inc. | 645 | 37,236 |
Lincoln Electric Holdings, Inc. | 468 | 42,302 |
Miller Industries, Inc. | 505 | 14,317 |
Nordson Corp. | 338 | 65,447 |
Omega Flex, Inc. | 168 | 20,454 |
Oshkosh Corp. | 480 | 37,786 |
Pentair PLC | 1,174 | 50,306 |
RBC Bearings, Inc. (a) | 214 | 26,198 |
Rexnord Corp. | 1,054 | 30,534 |
Snap-on, Inc. | 353 | 51,492 |
The Timken Co. | 596 | 27,213 |
The Toro Co. | 715 | 51,015 |
Watts Water Technologies, Inc. Class A | 295 | 24,748 |
Woodward, Inc. | 414 | 31,025 |
794,387 | ||
Professional Services – 1.6% | ||
Barrett Business Services, Inc. | 217 | 11,432 |
CBIZ, Inc. (a) | 842 | 20,360 |
CoreLogic, Inc. | 780 | 53,165 |
Exponent, Inc. | 485 | 40,769 |
FTI Consulting, Inc. (a) | 318 | 37,982 |
Huron Consulting Group, Inc. (a) | 353 | 16,845 |
ICF International, Inc. | 271 | 18,322 |
Kforce, Inc. | 544 | 15,689 |
ManpowerGroup, Inc. | 438 | 30,130 |
Robert Half International, Inc. | 828 | 42,120 |
54 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Professional Services – continued | ||
TrueBlue, Inc. (a) | 838 | $ 12,930 |
299,744 | ||
Road & Rail – 0.8% | ||
JB Hunt Transport Services, Inc. | 563 | 72,852 |
Landstar System, Inc. | 330 | 40,188 |
Saia, Inc. (a) | 287 | 34,282 |
147,322 | ||
Trading Companies & Distributors – 1.4% | ||
Applied Industrial Technologies, Inc. | 428 | 27,015 |
BMC Stock Holdings, Inc. (a) | 843 | 21,581 |
GMS, Inc. (a) | 792 | 18,557 |
HD Supply Holdings, Inc. (a) | 1,163 | 40,821 |
MSC Industrial Direct Co., Inc. Class A | 438 | 28,912 |
SiteOne Landscape Supply, Inc. (a) | 360 | 46,091 |
Triton International Ltd. | 668 | 21,022 |
Watsco, Inc. | 245 | 57,837 |
261,836 | ||
TOTAL INDUSTRIALS | 3,000,129 | |
INFORMATION TECHNOLOGY – 15.5% | ||
Communications Equipment – 1.2% | ||
Ciena Corp. (a) | 1,191 | 70,876 |
F5 Networks, Inc. (a) | 445 | 60,475 |
Juniper Networks, Inc. | 2,499 | 63,425 |
Ubiquiti, Inc. | 159 | 29,463 |
224,239 | ||
Electronic Equipment, Instruments & Components – 3.0% | ||
Arrow Electronics, Inc. (a) | 629 | 45,049 |
Avnet, Inc. | 964 | 25,758 |
Badger Meter, Inc. | 444 | 27,795 |
Benchmark Electronics, Inc. | 751 | 15,290 |
Dolby Laboratories, Inc. Class A | 560 | 38,976 |
Fabrinet (a) | 451 | 32,756 |
FLIR Systems, Inc. | 1,016 | 42,327 |
Insight Enterprises, Inc. (a) | 449 | 22,378 |
Itron, Inc. (a) | 393 | 27,337 |
Jabil, Inc. | 1,108 | 38,625 |
Littelfuse, Inc. | 212 | 37,662 |
Methode Electronics, Inc. | 713 | 20,107 |
Napco Security Technologies, Inc. (a) | 872 | 23,003 |
National Instruments Corp. | 956 | 33,938 |
Plexus Corp. (a) | 401 | 29,790 |
Sanmina Corp. (a) | 892 | 26,475 |
ScanSource, Inc. (a) | 676 | 15,514 |
SYNNEX Corp. | 327 | 40,790 |
Vishay Intertechnology, Inc. | 1,509 | 23,676 |
567,246 |
| ||
Shares | Value | |
IT Services – 3.2% | ||
Alliance Data Systems Corp. | 366 | $ 16,236 |
CACI International, Inc. Class A (a) | 189 | 39,278 |
Cardtronics PLC Class A (a) | 572 | 12,773 |
Cass Information Systems, Inc. | 389 | 13,938 |
CSG Systems International, Inc. | 505 | 21,276 |
Euronet Worldwide, Inc. (a) | 353 | 33,937 |
EVERTEC, Inc. | 804 | 24,964 |
ExlService Holdings, Inc. (a) | 408 | 26,136 |
Genpact Ltd. | 1,111 | 44,240 |
International Money Express, Inc. (a) | 1,698 | 22,889 |
KBR, Inc. | 1,336 | 29,713 |
ManTech International Corp. Class A | 340 | 23,657 |
MAXIMUS, Inc. | 557 | 41,335 |
NIC, Inc. | 1,215 | 26,633 |
Perficient, Inc. (a) | 512 | 20,075 |
Perspecta, Inc. | 1,148 | 24,567 |
Sabre Corp. | 2,116 | 15,997 |
Science Applications International Corp. | 446 | 35,671 |
Switch, Inc. Class A | 1,385 | 24,916 |
Sykes Enterprises, Inc. (a) | 708 | 19,442 |
The Hackett Group, Inc. | 1,273 | 17,555 |
TTEC Holdings, Inc. | 523 | 24,821 |
Verra Mobility Corp. (a) | 1,707 | 17,463 |
WEX, Inc. (a) | 287 | 45,452 |
622,964 | ||
Semiconductors & Semiconductor Equipment – 4.1% | ||
Advanced Energy Industries, Inc. (a) | 436 | 32,077 |
Amkor Technology, Inc. (a) | 2,105 | 28,618 |
Cabot Microelectronics Corp. | 265 | 39,941 |
Cirrus Logic, Inc. (a) | 512 | 35,087 |
Diodes, Inc. (a) | 544 | 27,989 |
Entegris, Inc. | 988 | 71,047 |
Inphi Corp. (a) | 443 | 57,882 |
Lattice Semiconductor Corp. (a) | 1,580 | 49,122 |
MKS Instruments, Inc. | 427 | 54,417 |
Monolithic Power Systems, Inc. | 298 | 78,973 |
ON Semiconductor Corp. (a) | 2,899 | 59,719 |
Photronics, Inc. (a) | 1,696 | 20,148 |
Power Integrations, Inc. | 321 | 39,172 |
Rambus, Inc. (a) | 1,612 | 23,793 |
Silicon Laboratories, Inc. (a) | 370 | 37,189 |
SolarEdge Technologies, Inc. (a) | 415 | 72,667 |
Universal Display Corp. | 307 | 53,556 |
781,397 | ||
Software – 3.8% | ||
ACI Worldwide, Inc. (a) | 1,070 | 28,665 |
Aspen Technology, Inc. (a) | 486 | 47,268 |
Avalara, Inc. (a) | 535 | 71,931 |
Blackbaud, Inc. | 495 | 30,957 |
CDK Global, Inc. | 936 | 42,551 |
55 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Software – continued | ||
Five9, Inc. (a) | 554 | $ 66,934 |
GlobalSCAPE, Inc. | 1,763 | 16,801 |
j2 Global, Inc. (a) | 406 | 23,028 |
LogMeIn, Inc. | 450 | 38,615 |
Manhattan Associates, Inc. (a) | 546 | 52,301 |
MicroStrategy, Inc. Class A (a) | 157 | 19,455 |
Model N, Inc. (a) | 711 | 27,345 |
Nuance Communications, Inc. (a) | 2,522 | 68,977 |
Paylocity Holding Corp. (a) | 314 | 41,825 |
Progress Software Corp. | 622 | 21,683 |
Qualys, Inc. (a) | 372 | 45,935 |
SPS Commerce, Inc. (a) | 481 | 36,157 |
Verint Systems, Inc. (a) | 638 | 28,640 |
Xperi Holding Corp. | 1,343 | 24,765 |
733,833 | ||
Technology Hardware, Storage & Peripherals – 0.2% | ||
NCR Corp. (a) | 1,123 | 20,697 |
Xerox Holdings Corp. (a) | 1,397 | 23,260 |
43,957 | ||
TOTAL INFORMATION TECHNOLOGY | 2,973,636 | |
MATERIALS – 5.3% | ||
Chemicals – 2.4% | ||
Advanced Emissions Solutions, Inc. | 1,619 | 6,735 |
Axalta Coating Systems Ltd. (a) | 1,614 | 35,831 |
Balchem Corp. | 318 | 31,883 |
CF Industries Holdings, Inc. | 1,483 | 46,463 |
Chase Corp. | 216 | 21,721 |
Innospec, Inc. | 289 | 21,724 |
Koppers Holdings, Inc. (a) | 646 | 16,260 |
NewMarket Corp. | 78 | 29,235 |
RPM International, Inc. | 863 | 70,412 |
Sensient Technologies Corp. | 492 | 25,687 |
Stepan Co. | 275 | 30,030 |
The Scotts Miracle-Gro Co. | 336 | 53,280 |
Tredegar Corp. | 973 | 15,451 |
Valvoline, Inc. | 1,700 | 34,884 |
WR Grace & Co. | 564 | 26,017 |
465,613 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 395 | 31,691 |
Containers & Packaging – 1.3% | ||
AptarGroup, Inc. | 464 | 53,453 |
Graphic Packaging Holding Co. | 2,567 | 35,784 |
Packaging Corp. of America | 635 | 61,036 |
Silgan Holdings, Inc. | 964 | 36,873 |
Sonoco Products Co. | 777 | 40,202 |
| ||
Shares | Value | |
UFP Technologies, Inc. (a) | 401 | $ 17,299 |
244,647 | ||
Metals & Mining – 1.2% | ||
Commercial Metals Co. | 1,420 | 29,366 |
Reliance Steel & Aluminum Co. | 479 | 47,066 |
Royal Gold, Inc. | 470 | 65,767 |
Steel Dynamics, Inc. | 1,652 | 45,281 |
Warrior Met Coal, Inc. | 1,077 | 17,146 |
Worthington Industries, Inc. | 648 | 24,248 |
228,874 | ||
Paper & Forest Products – 0.2% | ||
Neenah, Inc. | 330 | 14,721 |
Schweitzer-Mauduit International, Inc. | 664 | 21,600 |
36,321 | ||
TOTAL MATERIALS | 1,007,146 | |
REAL ESTATE – 8.1% | ||
Equity Real Estate Investment Trusts (REITs) – 7.9% | ||
Agree Realty Corp. | 419 | 28,060 |
American Assets Trust, Inc. | 577 | 15,579 |
American Campus Communities, Inc. | 1,049 | 37,386 |
American Finance Trust, Inc. | 1,709 | 12,484 |
American Homes 4 Rent Class A | 1,869 | 54,201 |
Apartment Investment & Management Co. Class A | 1,046 | 40,606 |
Apple Hospitality REIT, Inc. | 2,068 | 18,240 |
Armada Hoffler Properties, Inc. | 1,148 | 11,067 |
Brixmor Property Group, Inc. | 2,205 | 25,380 |
CoreSite Realty Corp. | 311 | 40,134 |
Corporate Office Properties Trust | 1,065 | 28,201 |
Cousins Properties, Inc. | 1,114 | 34,222 |
CubeSmart | 1,494 | 44,327 |
Easterly Government Properties, Inc. | 1,012 | 24,743 |
EastGroup Properties, Inc. | 309 | 40,992 |
EPR Properties | 612 | 17,522 |
Equity Commonwealth | 1,089 | 34,380 |
Essential Properties Realty Trust, Inc. | 1,008 | 16,229 |
Federal Realty Investment Trust | 462 | 35,251 |
First Industrial Realty Trust, Inc. | 1,009 | 44,315 |
Four Corners Property Trust, Inc. | 873 | 22,000 |
Gaming and Leisure Properties, Inc. | 1,365 | 49,427 |
Getty Realty Corp. | 676 | 20,030 |
Healthcare Realty Trust, Inc. | 1,094 | 32,054 |
Healthcare Trust of America, Inc. Class A | 1,537 | 42,437 |
Highwoods Properties, Inc. | 819 | 31,400 |
Kilroy Realty Corp. | 680 | 39,624 |
Kimco Realty Corp. | 2,842 | 31,688 |
Lamar Advertising Co. Class A | 590 | 38,781 |
Lexington Realty Trust | 2,664 | 30,902 |
Life Storage, Inc. | 373 | 36,602 |
56 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
LTC Properties, Inc. | 542 | $ 20,135 |
Monmouth Real Estate Investment Corp. Class A | 1,539 | 22,208 |
National Health Investors, Inc. | 407 | 25,234 |
National Retail Properties, Inc. | 1,135 | 40,236 |
Omega Healthcare Investors, Inc. | 1,464 | 47,404 |
Physicians Realty Trust | 1,747 | 31,516 |
Piedmont Office Realty Trust, Inc. Class A | 1,294 | 20,976 |
Preferred Apartment Communities, Inc. Class A | 1,619 | 11,705 |
PS Business Parks, Inc. | 194 | 26,762 |
Retail Opportunity Investments Corp. | 1,502 | 16,327 |
Retail Properties of America, Inc. Class A | 2,331 | 14,825 |
Rexford Industrial Realty, Inc. | 890 | 41,768 |
Sabra Health Care REIT, Inc. | 1,737 | 25,603 |
Spirit Realty Capital, Inc. | 802 | 27,637 |
STORE Capital Corp. | 1,465 | 34,706 |
Summit Hotel Properties, Inc. | 1,904 | 9,863 |
Sunstone Hotel Investors, Inc. | 2,356 | 17,623 |
Terreno Realty Corp. | 613 | 37,246 |
Universal Health Realty Income Trust | 190 | 13,220 |
Urban Edge Properties | 1,402 | 14,693 |
Urstadt Biddle Properties, Inc. Class A | 836 | 8,201 |
Weingarten Realty Investors | 1,136 | 19,380 |
Xenia Hotels & Resorts, Inc. | 1,371 | 10,913 |
1,516,445 | ||
Real Estate Management & Development – 0.2% | ||
Newmark Group, Inc. Class A | 2,045 | 8,323 |
RE/MAX Holdings, Inc. Class A | 484 | 15,667 |
The RMR Group, Inc. Class A | 420 | 12,079 |
36,069 | ||
TOTAL REAL ESTATE | 1,552,514 | |
UTILITIES – 2.5% | ||
Electric Utilities – 1.3% | ||
ALLETE, Inc. | 419 | 24,847 |
| ||
Shares | Value | |
Hawaiian Electric Industries, Inc. | 818 | $ 29,661 |
IDACORP, Inc. | 373 | 34,782 |
MGE Energy, Inc. | 342 | 22,685 |
NRG Energy, Inc. | 1,630 | 55,110 |
OGE Energy Corp. | 1,290 | 42,441 |
Otter Tail Corp. | 448 | 17,136 |
Portland General Electric Co. | 676 | 29,832 |
256,494 | ||
Gas Utilities – 0.2% | ||
ONE Gas, Inc. | 397 | 30,053 |
Independent Power and Renewable Electricity Producers – 0.3% | ||
Clearway Energy, Inc. Class C | 1,175 | 28,834 |
Ormat Technologies, Inc. | 406 | 24,157 |
52,991 | ||
Multi-Utilities – 0.6% | ||
Avista Corp. | 595 | 22,092 |
Black Hills Corp. | 466 | 26,963 |
MDU Resources Group, Inc. | 1,413 | 29,645 |
NorthWestern Corp. | 424 | 23,854 |
Unitil Corp. | 292 | 12,600 |
115,154 | ||
Water Utilities – 0.1% | ||
American States Water Co. | 342 | 26,293 |
TOTAL UTILITIES | 480,985 | |
TOTAL COMMON STOCKS (Cost $18,225,914) | 19,133,115 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $18,225,914) | 19,133,115 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (16,431) | |
NET ASSETS – 100.0% | $ 19,116,684 |
Legend | ||
(a) | Non-income producing. |
Fund | Income earned |
Fidelity Cash Central Fund | $3 |
57 |
Table of Contents
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 702,001 | $ 702,001 | $ — | $ — | ||||
Consumer Discretionary | 2,499,132 | 2,499,132 | — | — | ||||
Consumer Staples | 670,753 | 670,753 | — | — | ||||
Energy | 476,034 | 476,034 | — | — | ||||
Financials | 2,578,014 | 2,578,014 | — | — | ||||
Health Care | 3,192,771 | 3,192,771 | — | — | ||||
Industrials | 3,000,129 | 3,000,129 | — | — | ||||
Information Technology | 2,973,636 | 2,973,636 | — | — | ||||
Materials | 1,007,146 | 1,007,146 | — | — | ||||
Real Estate | 1,552,514 | 1,552,514 | — | — | ||||
Utilities | 480,985 | 480,985 | — | — | ||||
Total Investments in Securities: | $ 19,133,115 | $ 19,133,115 | $ — | $ — |
58 |
Table of Contents
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.5% | ||
Diversified Telecommunication Services – 0.5% | ||
AT&T, Inc. | 643 | $ 19,020 |
Entertainment – 0.7% | ||
Activision Blizzard, Inc. | 165 | 13,634 |
Electronic Arts, Inc. (a) | 81 | 11,471 |
25,105 | ||
Interactive Media & Services – 3.3% | ||
Alphabet, Inc. Class A (a) | 42 | 62,494 |
Facebook, Inc. Class A (a) | 182 | 46,168 |
Match Group, Inc. (a) | 93 | 9,551 |
118,213 | ||
Media – 1.0% | ||
Cable One, Inc. | 4 | 7,290 |
Comcast Corp. Class A | 442 | 18,918 |
Discovery, Inc. Class A (a) | 253 | 5,338 |
TEGNA, Inc. | 400 | 4,712 |
36,258 | ||
TOTAL COMMUNICATION SERVICES | 198,596 | |
CONSUMER DISCRETIONARY – 5.0% | ||
Auto Components – 0.4% | ||
Gentex Corp. | 561 | 15,141 |
Diversified Consumer Services – 0.5% | ||
Frontdoor, Inc. (a) | 388 | 16,294 |
Hotels, Restaurants & Leisure – 0.1% | ||
Norwegian Cruise Line Holdings Ltd. (a) | 313 | 4,269 |
Household Durables – 0.9% | ||
NVR, Inc. (a) | 4 | 15,721 |
PulteGroup, Inc. | 381 | 16,611 |
32,332 | ||
Internet & Direct Marketing Retail – 0.5% | ||
Booking Holdings, Inc. (a) | 11 | 18,284 |
Multiline Retail – 0.6% | ||
Target Corp. | 175 | 22,029 |
Specialty Retail – 2.0% | ||
AutoZone, Inc. (a) | 17 | 20,526 |
Ross Stores, Inc. | 162 | 14,527 |
The Home Depot, Inc. | 139 | 36,903 |
71,956 | ||
TOTAL CONSUMER DISCRETIONARY | 180,305 | |
CONSUMER STAPLES – 12.2% | ||
Food Products – 4.2% | ||
Campbell Soup Co. | 1,127 | 55,865 |
The Hershey Co. | 372 | 54,093 |
Tyson Foods, Inc. Class A | 685 | 42,093 |
152,051 |
| ||
Shares | Value | |
Household Products – 2.7% | ||
The Procter & Gamble Co. | 745 | $ 97,684 |
Personal Products – 1.9% | ||
Herbalife Nutrition Ltd. (a) | 1,286 | 65,895 |
Tobacco – 3.4% | ||
Altria Group, Inc. | 1,420 | 58,433 |
Philip Morris International, Inc. | 838 | 64,367 |
122,800 | ||
TOTAL CONSUMER STAPLES | 438,430 | |
ENERGY – 6.1% | ||
Oil, Gas & Consumable Fuels – 6.1% | ||
ConocoPhillips | 1,501 | 56,123 |
HollyFrontier Corp. | 1,814 | 49,885 |
Phillips 66 | 913 | 56,624 |
Valero Energy Corp. | 1,000 | 56,230 |
TOTAL ENERGY | 218,862 | |
FINANCIALS – 6.6% | ||
Banks – 1.0% | ||
Citigroup, Inc. | 432 | 21,604 |
Popular, Inc. | 381 | 14,139 |
35,743 | ||
Capital Markets – 2.2% | ||
Ameriprise Financial, Inc. | 130 | 19,972 |
Moody's Corp. | 93 | 26,161 |
S&P Global, Inc. | 91 | 31,872 |
78,005 | ||
Consumer Finance – 1.2% | ||
Capital One Financial Corp. | 235 | 14,993 |
Discover Financial Services | 306 | 15,125 |
Synchrony Financial | 682 | 15,093 |
45,211 | ||
Insurance – 1.4% | ||
Arch Capital Group Ltd. | 502 | 15,437 |
The Allstate Corp. | 198 | 18,689 |
The Hartford Financial Services Group, Inc. | 391 | 16,547 |
50,673 | ||
Thrifts & Mortgage Finance – 0.8% | ||
Essent Group Ltd. | 417 | 14,941 |
Radian Group, Inc. | 844 | 12,593 |
27,534 | ||
TOTAL FINANCIALS | 237,166 | |
HEALTH CARE – 20.6% | ||
Biotechnology – 4.2% | ||
Amgen, Inc. | 267 | 65,327 |
Arrowhead Pharmaceuticals, Inc. (a) | 1,027 | 44,233 |
59 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Biogen, Inc. (a) | 156 | $ 42,851 |
152,411 | ||
Health Care Equipment & Supplies – 3.0% | ||
Medtronic PLC | 538 | 51,906 |
ResMed, Inc. | 283 | 57,311 |
109,217 | ||
Health Care Providers & Services – 5.6% | ||
Humana, Inc. | 138 | 54,158 |
McKesson Corp. | 316 | 47,450 |
Molina Healthcare, Inc. (a) | 350 | 64,645 |
Universal Health Services, Inc. Class B | 321 | 35,278 |
201,531 | ||
Life Sciences Tools & Services – 1.8% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 122 | 64,037 |
Pharmaceuticals – 6.0% | ||
Bristol-Myers Squibb Co. | 976 | 57,252 |
Jazz Pharmaceuticals PLC (a) | 313 | 33,882 |
Merck & Co., Inc. | 843 | 67,643 |
Zoetis, Inc. | 384 | 58,245 |
217,022 | ||
TOTAL HEALTH CARE | 744,218 | |
INDUSTRIALS – 4.6% | ||
Aerospace & Defense – 0.6% | ||
Lockheed Martin Corp. | 55 | 20,843 |
Commercial Services & Supplies – 0.5% | ||
Copart, Inc. (a) | 186 | 17,345 |
Construction & Engineering – 0.3% | ||
MasTec, Inc. (a) | 306 | 12,173 |
Electrical Equipment – 0.8% | ||
Generac Holdings, Inc. (a) | 174 | 27,419 |
Machinery – 1.6% | ||
Allison Transmission Holdings, Inc. | 387 | 14,458 |
Cummins, Inc. | 115 | 22,225 |
PACCAR, Inc. | 247 | 21,015 |
57,698 | ||
Professional Services – 0.8% | ||
FTI Consulting, Inc. (a) | 148 | 17,677 |
ManpowerGroup, Inc. | 186 | 12,795 |
30,472 | ||
TOTAL INDUSTRIALS | 165,950 | |
INFORMATION TECHNOLOGY – 22.6% | ||
IT Services – 4.8% | ||
Accenture PLC Class A | 126 | 28,322 |
Amdocs Ltd. | 187 | 11,613 |
CACI International, Inc. Class A (a) | 51 | 10,599 |
| ||
Shares | Value | |
KBR, Inc. | 466 | $ 10,364 |
Mastercard, Inc. Class A | 130 | 40,109 |
Paychex, Inc. | 181 | 13,017 |
The Western Union Co. | 514 | 12,480 |
Visa, Inc. Class A | 237 | 45,125 |
171,629 | ||
Semiconductors & Semiconductor Equipment – 5.7% | ||
Applied Materials, Inc. | 300 | 19,299 |
Cirrus Logic, Inc. (a) | 171 | 11,718 |
Intel Corp. | 633 | 30,213 |
KLA Corp. | 93 | 18,584 |
Lam Research Corp. | 55 | 20,744 |
Micron Technology, Inc. (a) | 343 | 17,169 |
QUALCOMM, Inc. | 259 | 27,353 |
Skyworks Solutions, Inc. | 127 | 18,489 |
Teradyne, Inc. | 201 | 17,881 |
Texas Instruments, Inc. | 193 | 24,617 |
206,067 | ||
Software – 6.7% | ||
Check Point Software Technologies Ltd. (a) | 126 | 15,794 |
Manhattan Associates, Inc. (a) | 175 | 16,763 |
Microsoft Corp. | 840 | 172,208 |
Oracle Corp. | 457 | 25,341 |
Paycom Software, Inc. (a) | 46 | 13,081 |
243,187 | ||
Technology Hardware, Storage & Peripherals – 5.4% | ||
Apple, Inc. | 461 | 195,944 |
TOTAL INFORMATION TECHNOLOGY | 816,827 | |
MATERIALS – 6.8% | ||
Chemicals – 4.5% | ||
Celanese Corp. | 912 | 88,646 |
LyondellBasell Industries N.V. Class A | 1,198 | 74,899 |
163,545 | ||
Metals & Mining – 2.3% | ||
Reliance Steel & Aluminum Co. | 837 | 82,244 |
TOTAL MATERIALS | 245,789 | |
REAL ESTATE – 4.9% | ||
Equity Real Estate Investment Trusts (REITs) – 4.9% | ||
Brixmor Property Group, Inc. | 3,099 | 35,669 |
Host Hotels & Resorts, Inc. | 3,853 | 41,535 |
Medical Properties Trust, Inc. | 2,869 | 57,753 |
Spirit Realty Capital, Inc. | 1,221 | 42,076 |
TOTAL REAL ESTATE | 177,033 | |
UTILITIES – 5.0% | ||
Electric Utilities – 3.4% | ||
FirstEnergy Corp. | 1,328 | 38,512 |
60 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Electric Utilities – continued | ||
NextEra Energy, Inc. | 307 | $ 86,175 |
124,687 | ||
Independent Power and Renewable Electricity Producers – 1.6% | ||
Vistra Corp. | 3,042 | 56,764 |
TOTAL UTILITIES | 181,451 | |
TOTAL COMMON STOCKS (Cost $3,743,124) | 3,604,627 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $3,743,124) | 3,604,627 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 5,406 | |
NET ASSETS – 100.0% | $ 3,610,033 |
Legend | ||
(a) | Non-income producing. |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 198,596 | $ 198,596 | $ — | $ — | ||||
Consumer Discretionary | 180,305 | 180,305 | — | — | ||||
Consumer Staples | 438,430 | 438,430 | — | — | ||||
Energy | 218,862 | 218,862 | — | — | ||||
Financials | 237,166 | 237,166 | — | — | ||||
Health Care | 744,218 | 744,218 | — | — | ||||
Industrials | 165,950 | 165,950 | — | — | ||||
Information Technology | 816,827 | 816,827 | — | — | ||||
Materials | 245,789 | 245,789 | — | — | ||||
Real Estate | 177,033 | 177,033 | — | — | ||||
Utilities | 181,451 | 181,451 | — | — | ||||
Total Investments in Securities: | $ 3,604,627 | $ 3,604,627 | $ — | $ — |
61 |
Table of Contents
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.8% | ||
Diversified Telecommunication Services – 2.8% | ||
AT&T, Inc. | 69,650 | $ 2,060,247 |
Liberty Global PLC Class A (a) | 40,597 | 950,173 |
Verizon Communications, Inc. | 40,944 | 2,353,461 |
5,363,881 | ||
Interactive Media & Services – 6.3% | ||
Alphabet, Inc. Class A (a) | 4,564 | 6,791,004 |
Facebook, Inc. Class A (a) | 19,875 | 5,041,691 |
11,832,695 | ||
Media – 1.7% | ||
Comcast Corp. Class A | 47,942 | 2,051,918 |
Discovery, Inc. Class A (a)(b) | 28,561 | 602,637 |
Fox Corp. Class A | 23,539 | 606,600 |
3,261,155 | ||
TOTAL COMMUNICATION SERVICES | 20,457,731 | |
CONSUMER DISCRETIONARY – 10.8% | ||
Automobiles – 1.1% | ||
Ford Motor Co. (b) | 163,479 | 1,080,596 |
General Motors Co. | 41,025 | 1,021,112 |
2,101,708 | ||
Diversified Consumer Services – 0.4% | ||
H&R Block, Inc. | 50,323 | 729,684 |
Hotels, Restaurants & Leisure – 0.4% | ||
Norwegian Cruise Line Holdings Ltd. (a)(b) | 22,133 | 301,894 |
Royal Caribbean Cruises Ltd. (b) | 10,803 | 526,214 |
828,108 | ||
Household Durables – 0.7% | ||
Lennar Corp. Class A | 18,753 | 1,356,780 |
Internet & Direct Marketing Retail – 5.6% | ||
Amazon.com, Inc. (a) | 3,359 | 10,630,160 |
Multiline Retail – 0.5% | ||
Kohl's Corp. | 25,816 | 491,537 |
Macy's, Inc. (b) | 67,452 | 408,759 |
900,296 | ||
Specialty Retail – 2.1% | ||
Foot Locker, Inc. | 28,407 | 834,881 |
The Home Depot, Inc. | 12,126 | 3,219,332 |
4,054,213 | ||
TOTAL CONSUMER DISCRETIONARY | 20,600,949 | |
CONSUMER STAPLES – 7.1% | ||
Food & Staples Retailing – 1.3% | ||
The Kroger Co. | 42,323 | 1,472,417 |
Walgreens Boots Alliance, Inc. | 24,613 | 1,001,995 |
2,474,412 |
| ||
Shares | Value | |
Food Products – 1.7% | ||
Ingredion, Inc. | 11,925 | $ 1,031,513 |
The Kraft Heinz Co. | 39,496 | 1,357,872 |
Tyson Foods, Inc. Class A | 14,314 | 879,595 |
3,268,980 | ||
Household Products – 1.7% | ||
The Procter & Gamble Co. | 24,945 | 3,270,789 |
Personal Products – 0.7% | ||
Herbalife Nutrition Ltd. (a) | 24,978 | 1,279,873 |
Tobacco – 1.7% | ||
Altria Group, Inc. | 34,966 | 1,438,851 |
Philip Morris International, Inc. | 22,814 | 1,752,343 |
3,191,194 | ||
TOTAL CONSUMER STAPLES | 13,485,248 | |
ENERGY – 2.7% | ||
Oil, Gas & Consumable Fuels – 2.7% | ||
Chevron Corp. | 17,599 | 1,477,260 |
ConocoPhillips | 16,545 | 618,617 |
Exxon Mobil Corp. | 37,036 | 1,558,475 |
Marathon Petroleum Corp. | 14,069 | 537,436 |
Ovintiv, Inc. | 33,768 | 327,212 |
Phillips 66 | 8,805 | 546,086 |
TOTAL ENERGY | 5,065,086 | |
FINANCIALS – 10.0% | ||
Banks – 2.6% | ||
Bank of America Corp. | 91,124 | 2,267,165 |
Citigroup, Inc. | 30,829 | 1,541,759 |
Wells Fargo & Co. | 52,235 | 1,267,221 |
5,076,145 | ||
Capital Markets – 1.4% | ||
Morgan Stanley | 31,433 | 1,536,445 |
The Charles Schwab Corp. | 34,062 | 1,129,155 |
2,665,600 | ||
Consumer Finance – 1.5% | ||
Capital One Financial Corp. | 15,289 | 975,438 |
Discover Financial Services | 18,565 | 917,668 |
Synchrony Financial | 42,102 | 931,717 |
2,824,823 | ||
Diversified Financial Services – 2.5% | ||
Berkshire Hathaway, Inc. Class B (a) | 18,722 | 3,665,393 |
Equitable Holdings, Inc. | 52,634 | 1,076,892 |
4,742,285 | ||
Insurance – 2.0% | ||
Brighthouse Financial, Inc. (a) | 30,680 | 869,471 |
MetLife, Inc. | 29,969 | 1,134,327 |
Prudential Financial, Inc. | 16,019 | 1,015,124 |
62 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Insurance – continued | ||
Unum Group | 43,543 | $ 750,246 |
3,769,168 | ||
TOTAL FINANCIALS | 19,078,021 | |
HEALTH CARE – 15.1% | ||
Biotechnology – 3.4% | ||
AbbVie, Inc. | 27,934 | 2,651,216 |
Biogen, Inc. (a) | 5,895 | 1,619,298 |
Gilead Sciences, Inc. | 32,167 | 2,236,571 |
6,507,085 | ||
Health Care Providers & Services – 5.3% | ||
Anthem, Inc. | 7,129 | 1,951,920 |
CVS Health Corp. | 30,842 | 1,941,196 |
Humana, Inc. | 5,163 | 2,026,219 |
McKesson Corp. | 11,455 | 1,720,083 |
Molina Healthcare, Inc. (a) | 12,430 | 2,295,821 |
9,935,239 | ||
Pharmaceuticals – 6.4% | ||
Bristol-Myers Squibb Co. | 39,523 | 2,318,419 |
Johnson & Johnson | 27,816 | 4,054,460 |
Merck & Co., Inc. | 35,276 | 2,830,546 |
Pfizer, Inc. | 78,038 | 3,002,903 |
12,206,328 | ||
TOTAL HEALTH CARE | 28,648,652 | |
INDUSTRIALS – 7.4% | ||
Aerospace & Defense – 0.2% | ||
Spirit AeroSystems Holdings, Inc. Class A | 20,584 | 402,829 |
Airlines – 1.4% | ||
Delta Air Lines, Inc. (b) | 26,529 | 662,429 |
JetBlue Airways Corp. (a) | 66,441 | 687,000 |
Southwest Airlines Co. (b) | 26,619 | 822,261 |
United Airlines Holdings, Inc. (a) | 17,767 | 557,528 |
2,729,218 | ||
Construction & Engineering – 0.5% | ||
MasTec, Inc. (a)(b) | 23,147 | 920,788 |
Industrial Conglomerates – 1.0% | ||
3M Co. | 12,088 | 1,818,881 |
Machinery – 2.7% | ||
Caterpillar, Inc. | 13,426 | 1,784,047 |
Cummins, Inc. | 9,049 | 1,748,810 |
PACCAR, Inc. | 19,439 | 1,653,870 |
5,186,727 | ||
Professional Services – 0.5% | ||
ManpowerGroup, Inc. | 14,083 | 968,770 |
Trading Companies & Distributors – 1.1% | ||
AerCap Holdings N.V. (a) | 23,222 | 625,368 |
| ||
Shares | Value | |
United Rentals, Inc. (a) | 9,150 | $ 1,421,636 |
2,047,004 | ||
TOTAL INDUSTRIALS | 14,074,217 | |
INFORMATION TECHNOLOGY – 27.5% | ||
Communications Equipment – 1.4% | ||
Cisco Systems, Inc. | 56,004 | 2,637,788 |
Electronic Equipment, Instruments & Components – 0.5% | ||
Avnet, Inc. | 36,336 | 970,898 |
IT Services – 5.5% | ||
Accenture PLC Class A | 10,544 | 2,370,080 |
Alliance Data Systems Corp. | 12,747 | 565,457 |
Cognizant Technology Solutions Corp. Class A | 24,175 | 1,651,636 |
DXC Technology Co. | 40,339 | 722,471 |
International Business Machines Corp. | 14,471 | 1,779,065 |
Visa, Inc. Class A | 18,074 | 3,441,290 |
10,529,999 | ||
Semiconductors & Semiconductor Equipment – 3.2% | ||
Broadcom, Inc. | 6,862 | 2,173,539 |
Intel Corp. | 49,019 | 2,339,677 |
Micron Technology, Inc. (a) | 30,897 | 1,546,549 |
6,059,765 | ||
Software – 9.2% | ||
Check Point Software Technologies Ltd. (a) | 12,315 | 1,543,685 |
Microsoft Corp. | 58,689 | 12,031,832 |
NortonLifelock, Inc. | 79,338 | 1,701,800 |
Oracle Corp. | 38,889 | 2,156,395 |
17,433,712 | ||
Technology Hardware, Storage & Peripherals – 7.7% | ||
Apple, Inc. | 32,222 | 13,695,639 |
Hewlett Packard Enterprise Co. | 98,109 | 968,336 |
14,663,975 | ||
TOTAL INFORMATION TECHNOLOGY | 52,296,137 | |
MATERIALS – 2.4% | ||
Chemicals – 1.2% | ||
Celanese Corp. | 5,177 | 503,204 |
Dow, Inc. (b) | 14,649 | 601,488 |
DuPont de Nemours, Inc. | 13,851 | 740,751 |
LyondellBasell Industries N.V. Class A | 7,428 | 464,399 |
2,309,842 | ||
Containers & Packaging – 0.4% | ||
International Paper Co. | 13,522 | 470,431 |
Westrock Co. | 13,219 | 355,062 |
825,493 | ||
Metals & Mining – 0.8% | ||
Nucor Corp. | 11,722 | 491,738 |
Reliance Steel & Aluminum Co. (b) | 4,479 | 440,106 |
63 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Steel Dynamics, Inc. | 17,368 | $ 476,057 |
1,407,901 | ||
TOTAL MATERIALS | 4,543,236 | |
REAL ESTATE – 2.7% | ||
Equity Real Estate Investment Trusts (REITs) – 2.5% | ||
Brixmor Property Group, Inc. | 19,725 | 227,035 |
EPR Properties | 5,766 | 165,081 |
Host Hotels & Resorts, Inc. | 26,624 | 287,007 |
Kimco Realty Corp. | 21,736 | 242,356 |
Medical Properties Trust, Inc. | 19,803 | 398,634 |
Park Hotels & Resorts, Inc. | 17,617 | 145,693 |
Prologis, Inc. | 8,971 | 945,723 |
Sabra Health Care REIT, Inc. | 18,729 | 276,065 |
Service Properties Trust | 17,575 | 117,752 |
Simon Property Group, Inc. | 4,706 | 293,419 |
Ventas, Inc. | 8,855 | 339,678 |
VEREIT, Inc. | 45,782 | 298,041 |
VICI Properties, Inc. | 16,878 | 366,421 |
Vornado Realty Trust | 6,654 | 229,696 |
Welltower, Inc. | 7,151 | 383,008 |
4,715,609 | ||
Real Estate Management & Development – 0.2% | ||
CBRE Group, Inc. Class A (a) | 8,064 | 353,284 |
TOTAL REAL ESTATE | 5,068,893 | |
UTILITIES – 3.1% | ||
Electric Utilities – 1.8% | ||
Duke Energy Corp. | 10,693 | 906,125 |
Exelon Corp. | 18,177 | 701,814 |
NRG Energy, Inc. | 16,514 | 558,338 |
PPL Corp. | 20,307 | 540,572 |
The Southern Co. | 15,201 | 830,127 |
3,536,976 | ||
Gas Utilities – 0.3% | ||
National Fuel Gas Co. | 13,223 | 536,457 |
| ||
Shares | Value | |
Independent Power and Renewable Electricity Producers – 0.3% | ||
Vistra Corp. | 28,674 | $ 535,057 |
Multi-Utilities – 0.7% | ||
Consolidated Edison, Inc. | 8,259 | 634,539 |
Public Service Enterprise Group, Inc. | 12,892 | 721,178 |
1,355,717 | ||
TOTAL UTILITIES | 5,964,207 | |
TOTAL COMMON STOCKS (Cost $195,349,542) | 189,282,377 | |
Money Market Funds – 3.0% | ||
Fidelity Cash Central Fund, 0.14% (c) | 351,172 | 351,277 |
Fidelity Securities Lending Cash Central Fund, 0.13% (c)(d) | 5,309,846 | 5,310,377 |
TOTAL MONEY MARKET FUNDS (Cost $5,661,643) | 5,661,654 | |
TOTAL INVESTMENT IN SECURITIES – 102.6% (Cost $201,011,185) | 194,944,031 | |
NET OTHER ASSETS (LIABILITIES) – (2.6%) | (5,028,160) | |
NET ASSETS – 100.0% | $ 189,915,871 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Future Contracts | 2 | September 2020 | $ 326,350 | $ 17,332 | $ 17,332 |
CME Micro E-mini S&P 500 Index Future Contracts | 14 | September 2020 | 228,445 | 12,390 | 12,390 |
Total Equity Index Contracts | $ 29,722 |
64 |
Table of Contents
Fund | Income earned |
Fidelity Cash Central Fund | $ 1,899 |
Fidelity Securities Lending Cash Central Fund | 17,435 |
Total | $19,334 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 20,457,731 | $ 20,457,731 | $ — | $ — | ||||
Consumer Discretionary | 20,600,949 | 20,600,949 | — | — | ||||
Consumer Staples | 13,485,248 | 13,485,248 | — | — | ||||
Energy | 5,065,086 | 5,065,086 | — | — | ||||
Financials | 19,078,021 | 19,078,021 | — | — | ||||
Health Care | 28,648,652 | 28,648,652 | — | — | ||||
Industrials | 14,074,217 | 14,074,217 | — | — | ||||
Information Technology | 52,296,137 | 52,296,137 | — | — | ||||
Materials | 4,543,236 | 4,543,236 | — | — | ||||
Real Estate | 5,068,893 | 5,068,893 | — | — | ||||
Utilities | 5,964,207 | 5,964,207 | — | — | ||||
Money Market Funds | 5,661,654 | 5,661,654 | — | — | ||||
Total Investments in Securities: | $ 194,944,031 | $ 194,944,031 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 29,722 | $ 29,722 | $ — | $ — | ||||
Total Assets | $ 29,722 | $ 29,722 | — | $ — | ||||
Total Derivative Instruments: | $ 29,722 | $ 29,722 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $29,722 | $0 | |
Total Equity Risk | 29,722 | 0 | |
Total Value of Derivatives | $29,722 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
65 |
Table of Contents
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||
Assets | |||||||
Investments in securities, at value (including securities loaned of $4,173,904, $5,680,190, $1,240,648 and $921,417, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $280,793,448 | $517,437,944 | $349,571,004 | $88,146,447 | |||
Fidelity Central Funds | 4,992,062 | 6,334,305 | 2,053,704 | 1,063,282 | |||
Total Investments in Securities | $285,785,510 | $523,772,249 | $351,624,708 | $89,209,729 | |||
Segregated cash with brokers for derivative instruments | 108,000 | 228,000 | 74,400 | 12,000 | |||
Cash | — | — | — | 21,538 | |||
Foreign currency held at value (cost $268,124, $1,510,724, $— and $—, respectively) | 284,114 | 1,624,742 | — | — | |||
Receivable for investments sold | 3,119,909 | — | — | — | |||
Dividends receivable | 607,977 | 1,213,958 | 342,143 | 57,836 | |||
Receivable from investment adviser for expense reductions | — | — | — | — | |||
Receivable for daily variation margin on futures contracts | 6,615 | 13,965 | 4,557 | 735 | |||
Distributions receivable from Fidelity Central Funds | 463 | 1,153 | 413 | 21 | |||
Total assets | 289,912,588 | 526,854,067 | 352,046,221 | 89,301,859 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | — | — | |||
Payable for fund shares redeemed | 3,161,134 | — | — | — | |||
Accrued management fees | 67,433 | 123,636 | 81,551 | 21,032 | |||
Payable for daily variation margin on futures contracts | — | — | — | — | |||
Proxy fees payable | — | — | — | — | |||
Other payables and accrued expenses | — | — | — | — | |||
Collateral on securities loaned, at value | 4,367,275 | 5,935,650 | 1,256,609 | 952,000 | |||
Total liabilities | 7,595,842 | 6,059,286 | 1,338,160 | 973,032 | |||
Net Assets | $282,316,746 | $520,794,781 | $350,708,061 | $88,328,827 | |||
Net Assets consist of: | |||||||
Paid in capital | 316,162,509 | 615,201,368 | 352,178,224 | 87,960,110 | |||
Total accumulated earnings (loss) | (33,845,763) | (94,406,587) | (1,470,163) | 368,717 | |||
Net Assets | $282,316,746 | $520,794,781 | $350,708,061 | $88,328,827 | |||
Shares outstanding | 8,900,000 | 18,900,000 | 9,150,000 | 2,250,000 | |||
Net Asset Value, offering price and redemption price per share | $ 31.72 | $ 27.56 | $ 38.33 | $ 39.26 | |||
Investments at cost – Unaffiliated issuers | $281,661,154 | $579,016,694 | $344,082,429 | $74,810,872 | |||
Investments at cost – Fidelity Central Funds | 4,992,024 | 6,334,374 | 2,053,636 | 1,063,271 | |||
Investments at cost | $286,653,178 | $585,351,068 | $346,136,065 | $75,874,143 |
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Fidelity Quality Factor ETF | Fidelity Small-Mid Factor ETF | Fidelity Stocks For Inflation ETF | Fidelity Value Factor ETF | ||||
Assets | |||||||
Investments in securities, at value (including securities loaned of $135,912, $—, $— and $5,138,534, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $146,454,461 | $19,133,115 | $3,604,627 | $189,282,377 | |||
Fidelity Central Funds | 494,476 | — | — | 5,661,654 | |||
Total Investments in Securities | $146,948,937 | $19,133,115 | $3,604,627 | $194,944,031 | |||
Segregated cash with brokers for derivative instruments | 38,400 | — | — | 40,800 | |||
Cash | 16,461 | 7,897 | 3,079 | 9,309 | |||
Foreign currency held at value (cost $—, $28, $— and $—, respectively) | — | 30 | — | — | |||
Receivable for investments sold | — | 27,300 | — | — | |||
Dividends receivable | 195,236 | 6,738 | 2,961 | 271,777 | |||
Receivable from investment adviser for expense reductions | — | 221 | 68 | — | |||
Receivable for daily variation margin on futures contracts | — | — | — | 2,499 | |||
Distributions receivable from Fidelity Central Funds | 122 | — | — | 2,892 | |||
Total assets | 147,199,156 | 19,175,301 | 3,610,735 | 195,271,308 | |||
Liabilities | |||||||
Payable for investments purchased | — | 53,937 | — | — | |||
Payable for fund shares redeemed | — | — | — | — | |||
Accrued management fees | 35,098 | 4,459 | 634 | 44,793 | |||
Payable for daily variation margin on futures contracts | 2,264 | — | — | — | |||
Proxy fees payable | — | — | 68 | — | |||
Other payables and accrued expenses | — | 221 | — | — | |||
Collateral on securities loaned, at value | 139,800 | — | — | 5,310,644 | |||
Total liabilities | 177,162 | 58,617 | 702 | 5,355,437 | |||
Net Assets | $147,021,994 | $19,116,684 | $3,610,033 | $189,915,871 | |||
Net Assets consist of: | |||||||
Paid in capital | 146,208,974 | 18,730,949 | 3,690,677 | 205,524,468 | |||
Total accumulated earnings (loss) | 813,020 | 385,735 | (80,644) | (15,608,597) | |||
Net Assets | $147,021,994 | $19,116,684 | $3,610,033 | $189,915,871 | |||
Shares outstanding | 3,850,000 | 800,000 | 150,000 | 5,450,000 | |||
Net Asset Value, offering price and redemption price per share | $ 38.19 | $ 23.90 | $ 24.07 | $ 34.85 | |||
Investments at cost – Unaffiliated issuers | $137,508,000 | $18,225,914 | $3,743,124 | $195,349,542 | |||
Investments at cost – Fidelity Central Funds | 494,447 | — | — | 5,661,643 | |||
Investments at cost | $138,002,447 | $18,225,914 | $3,743,124 | $201,011,185 |
67 |
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Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 11,195,753 | $ 19,469,069 | $ 6,696,424 | $ 1,461,913 | |||
Interest | 172 | 1,008 | 258 | 70 | |||
Income from Fidelity Central Funds (including $6,762, $7,807, $8,463 and $606, from security lending, respectively) | 16,661 | 16,410 | 12,876 | 1,816 | |||
Total income | 11,212,586 | 19,486,487 | 6,709,558 | 1,463,799 | |||
Expenses | |||||||
Management fees | 943,090 | 1,362,405 | 979,039 | 289,113 | |||
Independent trustees' compensation | 2,122 | 2,811 | 2,006 | 648 | |||
Proxy | 5,343 | 8,225 | 4,580 | 919 | |||
Total expenses before reductions | 950,555 | 1,373,441 | 985,625 | 290,680 | |||
Expense reductions | (121) | (159) | (364) | (399) | |||
Total expenses | 950,434 | 1,373,282 | 985,261 | 290,281 | |||
Net investment income (loss) | 10,262,152 | 18,113,205 | 5,724,297 | 1,173,518 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (21,558,317) | (21,670,606) | (5,308,092) | (6,057,480) | |||
Net realized gain (loss) on Fidelity Central Funds | 116 | (41) | 35 | (4) | |||
Net realized gain (loss) on In-kind redemptions | 21,268,068 | 40,914,420 | 24,520,449 | 10,968,260 | |||
Net realized gain (loss) on futures contracts | (512,351) | (973,067) | (92,084) | 41,542 | |||
Net realized gain (loss) on foreign currency transactions | 46,081 | 12,349 | — | — | |||
Total net realized gain (loss) | (756,403) | 18,283,055 | 19,120,308 | 4,952,318 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (14,496,211) | (70,850,395) | (17,293,875) | 1,386,931 | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | 38 | (69) | 72 | 14 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 81,682 | 180,509 | 50,339 | 7,550 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | 24,511 | 138,130 | — | — | |||
Total change in net unrealized appreciation (depreciation) | (14,389,980) | (70,531,825) | (17,243,464) | 1,394,495 | |||
Net gain (loss) | (15,146,383) | (52,248,770) | 1,876,844 | 6,346,813 | |||
Net increase (decrease) in net assets resulting from operations | $ (4,884,231) | $ (34,135,565) | $ 7,601,141 | $ 7,520,331 |
68 |
Table of Contents
Fidelity Quality Factor ETF | Fidelity Small-Mid Factor ETF | Fidelity Stocks For Inflation ETFA | Fidelity Value Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 2,979,465 | $ 172,266 | $ 43,538 | $ 4,118,096 | |||
Interest | 110 | — | — | 141 | |||
Income from Fidelity Central Funds (including $6,873, $—, $— and $17,435, from security lending, respectively) | 8,591 | 3 | — | 19,334 | |||
Total income | 2,988,166 | 172,269 | 43,538 | 4,137,571 | |||
Expenses | |||||||
Management fees | 424,725 | 30,943 | 5,155 | 495,687 | |||
Independent trustees' compensation | 928 | 58 | 9 | 1,034 | |||
Proxy | 1,579 | 221 | 68 | 1,618 | |||
Total expenses before reductions | 427,232 | 31,222 | 5,232 | 498,339 | |||
Expense reductions | (372) | (333) | (81) | (321) | |||
Total expenses | 426,860 | 30,889 | 5,151 | 498,018 | |||
Net investment income (loss) | 2,561,306 | 141,380 | 38,387 | 3,639,553 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (5,898,212) | (521,786) | 54,866 | (6,479,817) | |||
Net realized gain (loss) on Fidelity Central Funds | (16) | (1) | — | 12 | |||
Net realized gain (loss) on In-kind redemptions | 13,921,109 | 504,927 | — | 18,634,280 | |||
Net realized gain (loss) on futures contracts | 19,883 | — | — | 28,178 | |||
Net realized gain (loss) on foreign currency transactions | — | 28 | — | — | |||
Total net realized gain (loss) | 8,042,764 | (16,832) | 54,866 | 12,182,653 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (136,927) | 720,506 | (138,497) | (12,345,289) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | 29 | — | — | 11 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 23,443 | — | — | 30,009 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | 2 | — | — | |||
Total change in net unrealized appreciation (depreciation) | (113,455) | 720,508 | (138,497) | (12,315,269) | |||
Net gain (loss) | 7,929,309 | 703,676 | (83,631) | (132,616) | |||
Net increase (decrease) in net assets resulting from operations | $10,490,615 | $ 845,056 | $ (45,244) | $ 3,506,937 |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
69 |
Table of Contents
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 10,262,152 | $ 12,759,384 | $ 18,113,205 | $ 11,245,000 | |||
Net realized gain (loss) | (756,403) | 11,439,676 | 18,283,055 | 1,282,852 | |||
Change in net unrealized appreciation (depreciation) | (14,389,980) | (5,728,216) | (70,531,825) | 1,510,543 | |||
Net increase (decrease) in net assets resulting from operations | (4,884,231) | 18,470,844 | (34,135,565) | 14,038,395 | |||
Distributions to shareholders | (10,362,600) | (12,908,350) | (18,747,950) | (11,425,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 99,471,497 | 161,232,208 | 421,727,800 | 270,497,158 | |||
Cost of shares redeemed | (162,137,367) | (153,460,832) | (211,001,439) | (81,992,873) | |||
Net increase (decrease) in net assets resulting from share transactions | (62,665,870) | 7,771,376 | 210,726,361 | 188,504,285 | |||
Total increase (decrease) in net assets | (77,912,701) | 13,333,870 | 157,842,846 | 191,117,280 | |||
Net Assets | |||||||
Beginning of year | 360,229,447 | 346,895,577 | 362,951,935 | 171,834,655 | |||
End of year | $ 282,316,746 | $ 360,229,447 | $ 520,794,781 | $362,951,935 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,750,000 | 5,150,000 | 13,350,000 | 9,100,000 | |||
Redeemed | (5,000,000) | (5,000,000) | (6,500,000) | (2,750,000) | |||
Net increase (decrease) | (2,250,000) | 150,000 | 6,850,000 | 6,350,000 |
70 |
Table of Contents
Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,724,297 | $ 2,437,306 | $ 1,173,518 | $ 1,245,159 | |||
Net realized gain (loss) | 19,120,308 | 5,117,146 | 4,952,318 | 3,746,816 | |||
Change in net unrealized appreciation (depreciation) | (17,243,464) | 17,614,800 | 1,394,495 | 4,073,860 | |||
Net increase (decrease) in net assets resulting from operations | 7,601,141 | 25,169,252 | 7,520,331 | 9,065,835 | |||
Distributions to shareholders | (5,772,450) | (2,299,750) | (1,254,700) | (1,240,750) | |||
Share transactions | |||||||
Proceeds from sales of shares | 341,438,518 | 204,495,786 | 73,725,829 | 79,088,780 | |||
Cost of shares redeemed | (238,061,468) | (48,283,271) | (113,398,944) | (60,879,132) | |||
Net increase (decrease) in net assets resulting from share transactions | 103,377,050 | 156,212,515 | (39,673,115) | 18,209,648 | |||
Total increase (decrease) in net assets | 105,205,741 | 179,082,017 | (33,407,484) | 26,034,733 | |||
Net Assets | |||||||
Beginning of year | 245,502,320 | 66,420,303 | 121,736,311 | 95,701,578 | |||
End of year | $ 350,708,061 | $245,502,320 | $ 88,328,827 | $121,736,311 | |||
Other Information | |||||||
Shares | |||||||
Sold | 9,000,000 | 6,150,000 | 2,100,000 | 2,350,000 | |||
Redeemed | (6,600,000) | (1,450,000) | (3,250,000) | (1,800,000) | |||
Net increase (decrease) | 2,400,000 | 4,700,000 | (1,150,000) | 550,000 |
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Fidelity Quality Factor ETF | Fidelity Small-Mid Factor ETF | ||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2020 | Year ended July 31, 2019A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 2,561,306 | $ 2,195,811 | $ 141,380 | $ 47,978 | |||
Net realized gain (loss) | 8,042,764 | 2,633,206 | (16,832) | 527 | |||
Change in net unrealized appreciation (depreciation) | (113,455) | 3,995,214 | 720,508 | 186,695 | |||
Net increase (decrease) in net assets resulting from operations | 10,490,615 | 8,824,231 | 845,056 | 235,200 | |||
Distributions to shareholders | (2,493,600) | (2,135,800) | (146,500) | (45,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 95,825,376 | 130,468,237 | 13,481,340 | 7,460,230 | |||
Cost of shares redeemed | (119,081,927) | (40,134,110) | (2,713,442) | — | |||
Net increase (decrease) in net assets resulting from share transactions | (23,256,551) | 90,334,127 | 10,767,898 | 7,460,230 | |||
Total increase (decrease) in net assets | (15,259,536) | 97,022,558 | 11,466,454 | 7,650,230 | |||
Net Assets | |||||||
Beginning of year | 162,281,530 | 65,258,972 | 7,650,230 | — | |||
End of year | $ 147,021,994 | $162,281,530 | $19,116,684 | $7,650,230 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,650,000 | 3,900,000 | 600,000 | 300,000 | |||
Redeemed | (3,400,000) | (1,250,000) | (100,000) | — | |||
Net increase (decrease) | (750,000) | 2,650,000 | 500,000 | 300,000 |
A | For the period February 26, 2019 (commencement of operations) to July 31, 2019. |
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Fidelity Stocks For Inflation ETF | Fidelity Value Factor ETF | ||||
Year ended July 31, 2020B | Year ended July 31, 2020 | Year ended July 31, 2019 | |||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net investment income (loss) | $ 38,387 | $ 3,639,553 | $ 2,391,590 | ||
Net realized gain (loss) | 54,866 | 12,182,653 | 4,049,327 | ||
Change in net unrealized appreciation (depreciation) | (138,497) | (12,315,269) | 584,930 | ||
Net increase (decrease) in net assets resulting from operations | (45,244) | 3,506,937 | 7,025,847 | ||
Distributions to shareholders | (35,400) | (3,611,200) | (2,294,300) | ||
Share transactions | |||||
Proceeds from sales of shares | 3,690,677 | 200,834,254 | 85,584,698 | ||
Cost of shares redeemed | — | (147,217,336) | (40,363,131) | ||
Net increase (decrease) in net assets resulting from share transactions | 3,690,677 | 53,616,918 | 45,221,567 | ||
Total increase (decrease) in net assets | 3,610,033 | 53,512,655 | 49,953,114 | ||
Net Assets | |||||
Beginning of year | — | 136,403,216 | 86,450,102 | ||
End of year | $3,610,033 | $ 189,915,871 | $136,403,216 | ||
Other Information | |||||
Shares | |||||
Sold | 150,000 | 5,800,000 | 2,600,000 | ||
Redeemed | — | (4,300,000) | (1,200,000) | ||
Net increase (decrease) | 150,000 | 1,500,000 | 1,400,000 |
B | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
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Fidelity Dividend ETF For Rising Rates | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 32.31 | $ 31.54 | $ 28.50 | $ 25.34 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 1.01 | 1.07 | 0.93 | 0.76 | |||
Net realized and unrealized gain (loss) | (0.56) | 0.79 | 3.03 | 2.98 | |||
Total from investment operations | 0.45 | 1.86 | 3.96 | 3.74 | |||
Distributions from net investment income | (1.04) | (1.09) | (0.92) | (0.58) | |||
Total distributions | (1.04) | (1.09) | (0.92) | (0.58) | |||
Net asset value, end of period | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | |||
Total ReturnC,D | 1.86% | 6.09% | 14.04% | 14.85% | |||
Ratios to Average Net AssetsE,F | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% G | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% G | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% G | |||
Net investment income (loss) | 3.15% | 3.42% | 3.08% | 3.09% G | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $282,317 | $360,229 | $346,896 | $152,492 | |||
Portfolio turnover rateH,I | 35% | 35% | 38% | 52% J |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
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Fidelity High Dividend ETF | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 30.12 | $ 30.15 | $ 26.98 | $ 25.32 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 1.10 | 1.23 | 1.09 | 0.85 | |||
Net realized and unrealized gain (loss) | (2.52) | (0.03) C | 3.21 | 1.57 | |||
Total from investment operations | (1.42) | 1.20 | 4.30 | 2.42 | |||
Distributions from net investment income | (1.14) | (1.23) | (1.12) | (0.76) | |||
Distributions from net realized gain | — | — | (0.01) | — | |||
Total distributions | (1.14) | (1.23) | (1.13) | (0.76) | |||
Net asset value, end of period | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | |||
Total ReturnD,E | (4.54)% | 4.16% | 16.23% | 9.61% | |||
Ratios to Average Net AssetsF,G | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% H | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% H | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% H | |||
Net investment income (loss) | 3.85% | 4.15% | 3.80% | 3.61% H | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $520,795 | $362,952 | $171,835 | $59,350 | |||
Portfolio turnover rateI,J | 49% | 50% | 53% | 57% K |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
D | Total returns for periods of less than one year are not annualized. |
E | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying funds. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
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Fidelity Low Volatility Factor ETF | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 36.37 | $ 32.40 | $ 28.19 | $ 25.31 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 0.62 | 0.62 | 0.53 | 0.45 | |||
Net realized and unrealized gain (loss) | 1.95 | 3.92 | 4.20 | 2.81 | |||
Total from investment operations | 2.57 | 4.54 | 4.73 | 3.26 | |||
Distributions from net investment income | (0.61) | (0.57) | (0.52) | (0.38) | |||
Total distributions | (0.61) | (0.57) | (0.52) | (0.38) | |||
Net asset value, end of period | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | |||
Total ReturnC,D | 7.29% | 14.20% | 16.89% | 12.94% | |||
Ratios to Average Net AssetsE,F | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% G | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% G | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% G | |||
Net investment income (loss) | 1.69% | 1.83% | 1.73% | 1.87% G | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $350,708 | $245,502 | $66,420 | $33,833 | |||
Portfolio turnover rateH,I | 31% | 36% | 31% | 33% J |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
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Fidelity Momentum Factor ETF | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 35.80 | $ 33.58 | $ 28.60 | $ 25.34 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 0.42 | 0.40 | 0.36 | 0.36 | |||
Net realized and unrealized gain (loss) | 3.47 | 2.22 | 4.97 | 3.19 | |||
Total from investment operations | 3.89 | 2.62 | 5.33 | 3.55 | |||
Distributions from net investment income | (0.43) | (0.40) | (0.35) | (0.29) | |||
Total distributions | (0.43) | (0.40) | (0.35) | (0.29) | |||
Net asset value, end of period | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | |||
Total ReturnC,D | 11.06% | 7.91% | 18.72% | 14.11% | |||
Ratios to Average Net AssetsE,F | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% G | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% G | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% G | |||
Net investment income (loss) | 1.18% | 1.18% | 1.14% | 1.50% G | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $88,329 | $121,736 | $95,702 | $35,745 | |||
Portfolio turnover rateH,I | 138% | 133% | 125% | 106% J |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
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Fidelity Quality Factor ETF | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 35.28 | $ 33.47 | $ 29.11 | $ 25.37 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 0.62 | 0.58 | 0.53 | 0.45 | |||
Net realized and unrealized gain (loss) | 2.90 | 1.77 | 4.38 | 3.62 | |||
Total from investment operations | 3.52 | 2.35 | 4.91 | 4.07 | |||
Distributions from net investment income | (0.61) | (0.54) | (0.55) | (0.33) | |||
Total distributions | (0.61) | (0.54) | (0.55) | (0.33) | |||
Net asset value, end of period | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | |||
Total ReturnC,D | 10.26% | 7.14% | 16.95% | 16.10% | |||
Ratios to Average Net AssetsE,F | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% G | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% G | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% G | |||
Net investment income (loss) | 1.74% | 1.72% | 1.66% | 1.84% G | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $147,022 | $162,282 | $65,259 | $30,569 | |||
Portfolio turnover rateH,I | 41% | 29% | 30% | 35% J |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying funds. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
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Fidelity Small-Mid Factor ETF | |||
Year ended July 31, 2020 | Year ended July 31, 2019A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 25.50 | $24.85 | |
Income from Investment Operations | |||
Net investment income (loss)B | 0.31 | 0.18 | |
Net realized and unrealized gain (loss) | (1.58) C | 0.64 | |
Total from investment operations | (1.27) | 0.82 | |
Distributions from net investment income | (0.33) | (0.17) | |
Total distributions | (0.33) | (0.17) | |
Net asset value, end of period | $ 23.90 | $25.50 | |
Total ReturnD,E | (4.90)% | 3.35% | |
Ratios to Average Net AssetsF,G | |||
Expenses before reductions | .29% | .29% H | |
Expenses net of fee waivers, if any | .29% | .29% H | |
Expenses net of all reductions | .29% | .29% H | |
Net investment income (loss) | 1.32% | 1.70% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $19,117 | $7,650 | |
Portfolio turnover rateI,J | 52% | 2% K |
A | For the period February 26, 2019 (commencement of operations) to July 31, 2019. |
B | Calculated based on average shares outstanding during the period. |
C | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
D | Total returns for periods of less than one year are not annualized. |
E | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying funds. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
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Fidelity Stocks For Inflation ETF | |
Year ended July 31, 2020A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $24.94 |
Income from Investment Operations | |
Net investment income (loss)B | 0.38 |
Net realized and unrealized gain (loss) | (0.90) |
Total from investment operations | (0.52) |
Distributions from net investment income | (0.35) |
Total distributions | (0.35) |
Net asset value, end of period | $24.07 |
Total ReturnC | (1.88)% |
Ratios to Average Net AssetsD,E,F | |
Expenses before reductions | .29% |
Expenses net of fee waivers, if any | .29% |
Expenses net of all reductions | .29% |
Net investment income (loss) | 2.16% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $3,610 |
Portfolio turnover rateG,H,I | 65% |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Annualized. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Proxy expenses are not annualized. |
G | Amount does not include the portfolio activity of any underlying funds. |
H | Amount not annualized. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
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Fidelity Value Factor ETF | |||||||
Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 34.53 | $ 33.90 | $ 29.72 | $ 25.37 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B | 0.73 | 0.70 | 0.58 | 0.49 | |||
Net realized and unrealized gain (loss) | 0.28 C | 0.59 | 4.18 | 4.23 | |||
Total from investment operations | 1.01 | 1.29 | 4.76 | 4.72 | |||
Distributions from net investment income | (0.69) | (0.66) | (0.58) | (0.37) | |||
Total distributions | (0.69) | (0.66) | (0.58) | (0.37) | |||
Net asset value, end of period | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | |||
Total ReturnD,E | 3.12% | 3.95% | 16.11% | 18.65% | |||
Ratios to Average Net AssetsF,G | |||||||
Expenses before reductions | .29% | .29% | .30% | .29% H | |||
Expenses net of fee waivers, if any | .29% | .29% | .30% | .29% H | |||
Expenses net of all reductions | .29% | .29% | .30% | .29% H | |||
Net investment income (loss) | 2.13% | 2.09% | 1.79% | 1.92% H | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $189,916 | $136,403 | $86,450 | $38,639 | |||
Portfolio turnover rateI,J | 45% | 31% | 38% | 42% K |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Calculated based on average shares outstanding during the period. |
C | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
D | Total returns for periods of less than one year are not annualized. |
E | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying funds. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
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For the year ended July 31, 2020
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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 July 31, 2020, is included at the end of each applicable Fund’s Schedule of Investments.
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As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity Dividend ETF for Rising Rates | $ 287,237,737 | $ 39,005,762 | $ (40,457,989) | $ (1,452,227) |
Fidelity High Dividend ETF | 587,930,470 | 43,865,379 | (108,023,600) | (64,158,221) |
Fidelity Low Volatility Factor ETF | 346,581,515 | 32,920,582 | (27,877,389) | 5,043,193 |
Fidelity Momentum Factor ETF | 75,882,438 | 15,886,671 | (2,559,380) | 13,327,291 |
Fidelity Quality Factor ETF | 138,105,339 | 19,494,885 | (10,651,287) | 8,843,598 |
Fidelity Small-Mid Factor ETF | 18,266,135 | 2,241,436 | (1,374,456) | 866,980 |
Fidelity Stocks for Inflation ETF | 3,747,671 | 210,416 | (353,460) | (143,044) |
Fidelity Value Factor ETF | 201,379,671 | 21,973,866 | (28,409,506) | (6,435,640) |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ — | $ — | $ (32,414,198) | $ (1,452,227) |
Fidelity High Dividend ETF | — | — | (30,376,749) | (64,030,756) |
Fidelity Low Volatility Factor ETF | 123,029 | — | (6,636,313) | 5,043,193 |
Fidelity Momentum Factor ETF | — | — | (12,959,275) | 13,327,291 |
Fidelity Quality Factor ETF | 149,592 | — | (8,180,893) | 8,843,598 |
Fidelity Small-Mid Factor ETF | — | — | (481,247) | 866,980 |
Fidelity Stocks for Inflation ETF | 62,232 | 168 | — | (143,044) |
Fidelity Value Factor ETF | 171,848 | — | (9,345,521) | (6,435,640) |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity Dividend ETF for Rising Rates | $ (16,366,117) | $ (16,048,081) | $ (32,414,198) |
Fidelity High Dividend ETF | (18,388,530) | (11,988,219) | (30,376,749) |
Fidelity Low Volatility Factor ETF | (5,672,086) | (964,227) | (6,636,313) |
Fidelity Momentum Factor ETF | (12,959,275) | — | (12,959,275) |
Fidelity Quality Factor ETF | (5,793,113) | (2,387,780) | (8,180,893) |
Fidelity Small-Mid Factor ETF | (481,247) | — | (481,247) |
Fidelity Stocks for Inflation ETF | — | — | — |
Fidelity Value Factor ETF | (5,977,716) | (3,367,805) | (9,345,521) |
July 31, 2020 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Dividend ETF for Rising Rates | $ 10,362,600 | $ — | $ — | $ 10,362,600 |
Fidelity High Dividend ETF | 18,747,950 | — | — | 18,747,950 |
Fidelity Low Volatility Factor ETF | 5,772,450 | — | — | 5,772,450 |
Fidelity Momentum Factor ETF | 1,254,700 | — | — | 1,254,700 |
Fidelity Quality Factor ETF | 2,493,600 | — | — | 2,493,600 |
Fidelity Small-Mid Factor ETF | 146,500 | — | — | 146,500 |
Fidelity Stocks for Inflation ETFA | 35,400 | — | — | 35,400 |
Fidelity Value Factor ETF | 3,611,200 | — | — | 3,611,200 |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
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July 31, 2019 | ||||
Fidelity Dividend ETF for Rising Rates | $ 12,908,350 | $ — | $ — | $ 12,908,350 |
Fidelity High Dividend ETF | 11,425,400 | — | — | 11,425,400 |
Fidelity Low Volatility Factor ETF | 2,299,750 | — | — | 2,299,750 |
Fidelity Momentum Factor ETF | 1,240,750 | — | — | 1,240,750 |
Fidelity Quality Factor ETF | 2,135,800 | — | — | 2,135,800 |
Fidelity Small-Mid Factor ETFA | 45,200 | — | — | 45,200 |
Fidelity Value Factor ETF | 2,294,300 | — | — | 2,294,300 |
A | For the period February 26, 2019 (commencement of operations) to July 31, 2019. |
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Purchases | Sales | |
Fidelity Dividend ETF for Rising Rates | $ 113,175,004 | $ 113,469,624 |
Fidelity High Dividend ETF | 235,420,669 | 227,428,543 |
Fidelity Low Volatility Factor ETF | 104,337,597 | 105,151,835 |
Fidelity Momentum Factor ETF | 137,208,965 | 137,795,191 |
Fidelity Quality Factor ETF | 61,266,460 | 61,790,759 |
Fidelity Small-Mid Factor ETF | 5,837,473 | 5,672,802 |
Fidelity Stocks for Inflation ETF | 1,637,483 | 1,616,159 |
Fidelity Value Factor ETF | 75,738,391 | 76,213,352 |
In-kind Subscriptions | In-kind Redemptions | |
Fidelity Dividend ETF for Rising Rates | $ 96,440,695 | $ 159,006,984 |
Fidelity High Dividend ETF | 409,542,082 | 208,317,968 |
Fidelity Low Volatility Factor ETF | 334,923,725 | 231,239,894 |
Fidelity Momentum Factor ETF | 73,153,627 | 112,162,088 |
Fidelity Quality Factor ETF | 92,086,124 | 114,937,432 |
Fidelity Small-Mid Factor ETF | 13,378,599 | 2,693,897 |
Fidelity Stocks for Inflation ETF | 3,667,269 | — |
Fidelity Value Factor ETF | 187,508,511 | 133,698,154 |
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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 on each applicable Fund’s Statement of Operations as a component of income from Fidelity Central Funds.
Total Security Lending Income Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | ||
Fidelity Dividend ETF for Rising Rates | $ 697 | $ — | |
Fidelity High Dividend ETF | 786 | — | |
Fidelity Low Volatility Factor ETF | 640 | — | |
Fidelity Momentum Factor ETF | 59 | — | |
Fidelity Quality Factor ETF | 722 | — | |
Fidelity Value Factor ETF | 1,534 | 6 |
Amount | |
Fidelity Dividend ETF for Rising Rates | $ 121 |
Fidelity High Dividend ETF | 159 |
Fidelity Low Volatility Factor ETF | 364 |
Fidelity Momentum Factor ETF | 399 |
Fidelity Quality Factor ETF | 372 |
Fidelity Small-Mid Factor ETF | 112 |
Fidelity Stocks for Inflation ETF | 13 |
Fidelity Value Factor ETF | 321 |
Fund-Level Amount | |
Fidelity Small-Mid Factor ETF | $ 221 |
Fidelity Stocks for Inflation ETF | 68 |
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Fund Name | Statements of operation | Statements of changes in net assets | Financial highlights |
Fidelity Dividend ETF for Rising Rates | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity High Dividend ETF | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity Low Volatility Factor ETF | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity Momentum Factor ETF | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity Quality Factor ETF | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity Small-Mid Factor ETF | For the year ended July 31, 2020 | For the year ended July 31, 2020 and for the period from February 26, 2019 (commencement of operations) to July 31, 2019 | For the year ended July 31, 2020 and for the period from February 26, 2019 (commencement of operations) to July 31, 2019 |
Fidelity Value Factor ETF | For the year ended July 31, 2020 | For the years ended July 31, 2020 and 2019 | For the years ended July 31, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
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Fidelity Dividend ETF For Rising Rates | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 361 | 37.00% | 571 | 58.51% |
25 - <50 | 6 | 0.61% | 31 | 3.18% |
50 - <75 | 2 | 0.20% | 1 | 0.10% |
75 - <100 | 1 | 0.10% | 0 | — |
100 or above | 1 | 0.10% | 2 | 0.20% |
Total | 371 | 38.01% | 605 | 61.99% |
Fidelity High Dividend ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 167 | 17.12% | 714 | 73.17% |
25 - <50 | 8 | 0.82% | 78 | 7.99% |
50 - <75 | 1 | 0.10% | 1 | 0.10% |
75 - <100 | 2 | 0.20% | 2 | 0.20% |
100 or above | 1 | 0.10% | 2 | 0.20% |
Total | 179 | 18.34% | 797 | 81.66% |
Fidelity Low Volatility Factor ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 305 | 31.26% | 651 | 66.71% |
25 - <50 | 10 | 1.02% | 6 | 0.61% |
50 - <75 | 1 | 0.10% | 0 | — |
75 - <100 | 1 | 0.10% | 0 | — |
100 or above | 1 | 0.10% | 1 | 0.10% |
Total | 318 | 32.58% | 658 | 67.42% |
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Fidelity Momentum Factor ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 387 | 39.66% | 561 | 57.49% |
25 - <50 | 10 | 1.02% | 14 | 1.43% |
50 - <75 | 1 | 0.10% | 1 | 0.10% |
75 - <100 | 0 | — | 1 | 0.10% |
100 or above | 1 | 0.10% | 0 | — |
Total | 399 | 40.88% | 577 | 59.12% |
Fidelity Quality Factor ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 357 | 36.58% | 586 | 60.04% |
25 - <50 | 11 | 1.13% | 15 | 1.54% |
50 - <75 | 2 | 0.20% | 2 | 0.20% |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 3 | 0.31% |
Total | 370 | 37.91% | 606 | 62.09% |
Fidelity Small-Mid Factor ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 151 | 41.95% | 166 | 46.11% |
25 - <50 | 3 | 0.83% | 18 | 5.00% |
50 - <75 | 4 | 1.11% | 7 | 1.94% |
75 - <100 | 1 | 0.28% | 5 | 1.39% |
100 or above | 0 | — | 5 | 1.39% |
Total | 159 | 44.17% | 201 | 55.83% |
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Fidelity Stocks For Inflation ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 64 | 34.79% | 97 | 52.72% |
25 - <50 | 6 | 3.26% | 10 | 5.43% |
50 - <75 | 1 | 0.54% | 3 | 1.63% |
75 - <100 | 0 | — | 0 | — |
100 or above | 1 | 0.54% | 2 | 1.09% |
Total | 72 | 39.13% | 112 | 60.87% |
Fidelity Value Factor ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 306 | 31.36% | 616 | 63.11% |
25 - <50 | 13 | 1.33% | 31 | 3.18% |
50 - <75 | 5 | 0.51% | 3 | 0.31% |
75 - <100 | 1 | 0.10% | 0 | — |
100 or above | 1 | 0.10% | 0 | — |
Total | 326 | 33.40% | 650 | 66.60% |
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Annualized Expense RatioA | Beginning Account Value February 1, 2020 | Ending Account Value July 31, 2020 | Expenses Paid During PeriodB February 1, 2020 to July 31, 2020 | |
Fidelity Dividend ETF For Rising Rates | 0.29% | |||
Actual | $ 1,000.00 | $ 934.80 | $ 1.40 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity High Dividend ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 877.50 | $ 1.35 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity Low Volatility Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 989.50 | $ 1.43 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity Momentum Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,048.00 | $ 1.48 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity Quality Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,022.60 | $ 1.46 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity Small-Mid Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 911.70 | $ 1.38 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 | |
Fidelity Stocks For Inflation ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 954.00 | $ 1.41 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 |
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Annualized Expense RatioA | Beginning Account Value February 1, 2020 | Ending Account Value July 31, 2020 | Expenses Paid During PeriodB February 1, 2020 to July 31, 2020 | |
Fidelity Value Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 948.90 | $ 1.41 | |
Hypothetical C | $ 1,000.00 | $ 1,023.42 | $ 1.46 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
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September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity Dividend ETF for Rising Rates | 95% | 95% | 75% | 75% |
Fidelity High Dividend ETF | 59% | 59% | 69% | 69% |
Fidelity Low Volatility Factor ETF | 86% | 86% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Factor ETF | 73% | 73% | 89% | 89% |
Fidelity Stocks for Inflation ETF | — | 88% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity Dividend ETF for Rising Rates | 100% | 100% | 84% | 84% |
Fidelity High Dividend ETF | 69% | 69% | 87% | 87% |
Fidelity Low Volatility Factor ETF | 92% | 92% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Factor ETF | 76% | 76% | 92% | 92% |
Fidelity Stocks for Inflation ETF | — | 97% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
March 2019 | June 2019 | September 2019 | December 2019 | |
Fidelity Dividend ETF for Rising Rates | 8% | 8% | — | — |
Fidelity High Dividend ETF | 23% | 23% | 21% | 21% |
Fidelity Low Volatility Factor ETF | 3% | 3% | 8% | 8% |
Fidelity Small-Mid Factor ETF | 26% | 26% | 22% | 22% |
Fidelity Stocks for Inflation ETF | — | — | — | 3% |
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# of Votes | % of Votes | |
Dennis J. Dirks | ||
Affirmative | 9,282,142,479.280 | 96.563 |
Withheld | 330,428,349.514 | 3.437 |
TOTAL | 9,612,570,828.794 | 100.000 |
Donald F. Donahue | ||
Affirmative | 9,291,214,667.254 | 96.657 |
Withheld | 321,356,161.540 | 3.343 |
TOTAL | 9,612,570,828.794 | 100.000 |
Bettina Doulton | ||
Affirmative | 9,305,383,119.035 | 96.804 |
Withheld | 307,187,709.760 | 3.196 |
TOTAL | 9,612,570,828.794 | 100.000 |
Vicki L. Fuller | ||
Affirmative | 9,309,945,465.761 | 96.852 |
Withheld | 302,625,363.033 | 3.148 |
TOTAL | 9,612,570,828.794 | 100.000 |
Patricia L. Kampling | ||
Affirmative | 9,313,717,969.953 | 96.891 |
Withheld | 298,852,858.841 | 3.109 |
TOTAL | 9,612,570,828.794 | 100.000 |
Alan J. Lacy | ||
Affirmative | 9,286,152,312.666 | 96.604 |
Withheld | 326,418,516.129 | 3.396 |
TOTAL | 9,612,570,828.794 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,527,074,727.936 | 88.708 |
Withheld | 1,085,496,100.858 | 11.292 |
TOTAL | 9,612,570,828.794 | 100.000 |
Robert A. Lawrence | ||
Affirmative | 9,292,882,256.101 | 96.674 |
Withheld | 319,688,572.693 | 3.326 |
TOTAL | 9,612,570,828.794 | 100.000 |
Joseph Mauriello | ||
Affirmative | 9,271,962,598.733 | 96.457 |
Withheld | 340,608,230.062 | 3.543 |
TOTAL | 9,612,570,828.794 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,282,431,158.269 | 96.566 |
Withheld | 330,139,670.526 | 3.434 |
TOTAL | 9,612,570,828.794 | 100.000 |
Garnett A. Smith | ||
Affirmative | 9,276,917,476.273 | 96.508 |
Withheld | 335,653,352.521 | 3.492 |
TOTAL | 9,612,570,828.794 | 100.000 |
# of Votes | % of Votes | |
David M. Thomas | ||
Affirmative | 9,285,446,239.314 | 96.597 |
Withheld | 327,124,589.481 | 3.403 |
TOTAL | 9,612,570,828.794 | 100.000 |
Susan Tomasky | ||
Affirmative | 9,307,387,519.373 | 96.825 |
Withheld | 305,183,309.422 | 3.175 |
TOTAL | 9,612,570,828.794 | 100.000 |
Michael E. Wiley | ||
Affirmative | 9,279,381,945.378 | 96.534 |
Withheld | 333,188,883.417 | 3.466 |
TOTAL | 9,612,570,828.794 | 100.000 |
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about access to your fund’s shareholder reports.
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Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose ‘no’ under Required Disclosures to continue print) | 1-800-343-0860 |
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% of fund's net assets | |
Amazon.com, Inc. | 10.0 |
Apple, Inc. | 9.4 |
Microsoft Corp. | 7.0 |
Alphabet, Inc. Class A | 5.0 |
Facebook, Inc. Class A | 4.0 |
NVIDIA Corp. | 3.8 |
Tesla, Inc. | 3.3 |
Marvell Technology Group Ltd. | 2.9 |
Salesforce.com, Inc. | 2.4 |
Visa, Inc. Class A | 2.0 |
49.8 |
% of fund's net assets | ||
Information Technology | 38.9 | |
Consumer Discretionary | 28.8 | |
Communication Services | 13.9 | |
Health Care | 9.6 | |
Industrials | 3.0 |
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% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 3.9 |
Comcast Corp. Class A | 3.2 |
Cisco Systems, Inc. | 3.0 |
Centene Corp. | 2.7 |
Wells Fargo & Co. | 2.5 |
Cigna Corp. | 2.5 |
Bristol-Myers Squibb Co. | 2.4 |
UnitedHealth Group, Inc. | 2.4 |
Newmont Corp. | 2.4 |
DuPont de Nemours, Inc. | 2.3 |
27.3 |
% of fund's net assets | ||
Financials | 19.9 | |
Health Care | 18.5 | |
Industrials | 12.0 | |
Communication Services | 10.8 | |
Information Technology | 10.1 |
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% of fund's net assets | |
General Electric Co. | 4.4 |
Comcast Corp. Class A | 3.1 |
Bank of America Corp. | 2.8 |
Exxon Mobil Corp. | 2.5 |
Wells Fargo & Co. | 2.2 |
Visa, Inc. Class A | 2.2 |
Cisco Systems, Inc. | 2.2 |
NVIDIA Corp. | 2.1 |
UnitedHealth Group, Inc. | 2.1 |
Peloton Interactive, Inc. Class A | 2.1 |
25.7 |
% of fund's net assets | ||
Financials | 17.6 | |
Health Care | 15.6 | |
Information Technology | 14.1 | |
Industrials | 13.7 | |
Consumer Discretionary | 11.4 |
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Common Stocks – 97.3% | ||
Shares | Value | |
COMMUNICATION SERVICES – 13.9% | ||
Entertainment – 4.0% | ||
Activision Blizzard, Inc. | 3,511 | $ 290,114 |
Electronic Arts, Inc. (a) | 148 | 20,960 |
Netflix, Inc. (a) | 1,373 | 671,232 |
Roku, Inc. (a) | 787 | 121,898 |
Sea Ltd. ADR (a) | 4,110 | 502,242 |
Spotify Technology S.A. (a) | 135 | 34,806 |
Take-Two Interactive Software, Inc. (a) | 41 | 6,725 |
Warner Music Group Corp. Class A (a) | 211 | 6,362 |
1,654,339 | ||
Interactive Media & Services – 9.6% | ||
Alphabet, Inc. Class A (a) | 1,383 | 2,057,835 |
Cargurus, Inc. (a) | 848 | 24,499 |
Facebook, Inc. Class A (a) | 6,627 | 1,681,071 |
Match Group, Inc. (a) | 820 | 84,214 |
Snap, Inc. Class A (a) | 2,524 | 56,588 |
Twitter, Inc. (a) | 559 | 20,347 |
Yandex N.V. Class A (a) | 413 | 23,764 |
ZoomInfo Technologies, Inc. Class A (a) | 393 | 16,062 |
3,964,380 | ||
Media – 0.0% | ||
The New York Times Co. Class A | 194 | 8,951 |
Wireless Telecommunication Services – 0.3% | ||
T-Mobile US, Inc. (a) | 1,221 | 131,111 |
TOTAL COMMUNICATION SERVICES | 5,758,781 | |
CONSUMER DISCRETIONARY – 28.8% | ||
Auto Components – 0.1% | ||
BorgWarner, Inc. | 752 | 27,523 |
Lear Corp. | 178 | 19,648 |
47,171 | ||
Automobiles – 3.3% | ||
Harley-Davidson, Inc. | 744 | 19,366 |
Li Auto, Inc. ADR (a) | 347 | 5,552 |
Tesla, Inc. (a) | 943 | 1,349,207 |
1,374,125 | ||
Distributors – 0.0% | ||
Pool Corp. | 53 | 16,785 |
Diversified Consumer Services – 0.0% | ||
Chegg, Inc. (a) | 128 | 10,364 |
Hotels, Restaurants & Leisure – 2.4% | ||
Boyd Gaming Corp. | 3,434 | 81,283 |
Caesars Entertainment, Inc. (a) | 2,582 | 80,171 |
Chipotle Mexican Grill, Inc. (a) | 143 | 165,188 |
Churchill Downs, Inc. | 578 | 80,065 |
Darden Restaurants, Inc. | 735 | 55,786 |
Domino's Pizza, Inc. | 22 | 8,505 |
DraftKings, Inc. Class A (a) | 241 | 8,043 |
Hilton Worldwide Holdings, Inc. | 581 | 43,604 |
| ||
Shares | Value | |
Las Vegas Sands Corp. | 925 | $ 40,367 |
Marriott International, Inc. Class A | 613 | 51,385 |
Melco Resorts & Entertainment Ltd. ADR | 666 | 10,962 |
Penn National Gaming, Inc. (a) | 18 | 609 |
Planet Fitness, Inc. Class A (a) | 731 | 38,158 |
Shake Shack, Inc. Class A (a) | 213 | 10,341 |
Starbucks Corp. | 1,586 | 121,377 |
Texas Roadhouse, Inc. | 1,329 | 74,677 |
Vail Resorts, Inc. | 285 | 54,729 |
Wingstop, Inc. | 254 | 39,687 |
Wynn Resorts Ltd. | 288 | 20,860 |
985,797 | ||
Household Durables – 0.9% | ||
D.R. Horton, Inc. | 341 | 22,561 |
iRobot Corp. (a) | 521 | 37,872 |
KB Home | 484 | 16,282 |
Leggett & Platt, Inc. | 90 | 3,608 |
Lennar Corp. Class A | 541 | 39,141 |
NVR, Inc. (a) | 4 | 15,721 |
PulteGroup, Inc. | 232 | 10,115 |
Sony Corp. ADR | 967 | 75,387 |
Taylor Morrison Home Corp. (a) | 1,305 | 30,602 |
Tempur Sealy International, Inc. (a) | 487 | 39,423 |
Toll Brothers, Inc. | 902 | 34,456 |
TRI Pointe Group, Inc. (a) | 2,844 | 47,552 |
Whirlpool Corp. | 36 | 5,872 |
378,592 | ||
Internet & Direct Marketing Retail – 14.3% | ||
Alibaba Group Holding Ltd. ADR (a) | 2,244 | 563,289 |
Amazon.com, Inc. (a) | 1,317 | 4,167,884 |
Booking Holdings, Inc. (a) | 132 | 219,401 |
Chewy, Inc. Class A (a) | 895 | 46,978 |
eBay, Inc. | 442 | 24,434 |
Expedia Group, Inc. | 78 | 6,319 |
Farfetch Ltd. Class A (a) | 906 | 23,221 |
Fiverr International Ltd. (a) | 317 | 29,617 |
JD.com, Inc. ADR (a) | 1,735 | 110,676 |
MercadoLibre, Inc. (a) | 216 | 242,918 |
Pinduoduo, Inc. ADR (a) | 4,469 | 410,254 |
The RealReal, Inc. (a) | 6,132 | 83,640 |
5,928,631 | ||
Leisure Products – 0.4% | ||
BRP, Inc. | 174 | 7,794 |
Callaway Golf Co. | 318 | 6,058 |
Peloton Interactive, Inc. Class A | 1,440 | 98,237 |
Polaris, Inc. | 87 | 9,016 |
Vista Outdoor, Inc. (a) | 1,483 | 25,433 |
146,538 | ||
Multiline Retail – 0.5% | ||
Dollar General Corp. | 213 | 40,555 |
Dollar Tree, Inc. (a) | 741 | 69,173 |
8 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Multiline Retail – continued | ||
Nordstrom, Inc. | 1,967 | $ 26,928 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 240 | 25,224 |
Target Corp. | 168 | 21,148 |
183,028 | ||
Specialty Retail – 4.4% | ||
Burlington Stores, Inc. (a) | 487 | 91,556 |
Carvana Co. (a) | 1,820 | 282,009 |
Dick's Sporting Goods, Inc. | 554 | 25,273 |
Five Below, Inc. (a) | 821 | 89,415 |
Floor & Decor Holdings, Inc. Class A (a) | 2,842 | 187,288 |
Lowe's Cos., Inc. | 3,924 | 584,323 |
RH (a) | 523 | 150,326 |
Ross Stores, Inc. | 15 | 1,345 |
The Gap, Inc. | 1,020 | 13,637 |
The Home Depot, Inc. | 1,418 | 376,465 |
The Michaels Cos., Inc. (a) | 1,451 | 10,418 |
Vroom, Inc. (a) | 166 | 9,826 |
Williams-Sonoma, Inc. | 90 | 7,841 |
1,829,722 | ||
Textiles, Apparel & Luxury Goods – 2.5% | ||
Aritzia, Inc. (a) | 247 | 3,270 |
Canada Goose Holdings, Inc. (a) | 130 | 2,893 |
Crocs, Inc. (a) | 2,207 | 79,320 |
Deckers Outdoor Corp. (a) | 309 | 64,658 |
Lululemon Athletica, Inc. (a) | 609 | 198,284 |
NIKE, Inc. Class B | 6,419 | 626,559 |
PVH Corp. | 947 | 46,081 |
VF Corp. | 239 | 14,426 |
1,035,491 | ||
TOTAL CONSUMER DISCRETIONARY | 11,936,244 | |
CONSUMER STAPLES – 1.6% | ||
Beverages – 0.3% | ||
Keurig Dr Pepper, Inc. | 894 | 27,347 |
Monster Beverage Corp. (a) | 546 | 42,850 |
The Boston Beer Co., Inc. Class A (a) | 92 | 74,561 |
144,758 | ||
Food & Staples Retailing – 0.6% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 1,382 | 55,349 |
Costco Wholesale Corp. | 336 | 109,378 |
Performance Food Group Co. (a) | 597 | 16,728 |
The Kroger Co. | 2,076 | 72,224 |
253,679 | ||
Food Products – 0.1% | ||
Freshpet, Inc. (a) | 73 | 7,011 |
Whole Earth Brands, Inc. (a) | 2,254 | 15,643 |
22,654 |
| ||
Shares | Value | |
Household Products – 0.5% | ||
The Clorox Co. | 360 | $85,144 |
The Procter & Gamble Co. | 977 | 128,104 |
213,248 | ||
Personal Products – 0.1% | ||
Herbalife Nutrition Ltd. (a) | 715 | 36,637 |
TOTAL CONSUMER STAPLES | 670,976 | |
FINANCIALS – 1.0% | ||
Capital Markets – 0.5% | ||
BlackRock, Inc. | 118 | 67,851 |
Moody's Corp. | 30 | 8,439 |
Morgan Stanley | 308 | 15,055 |
MSCI, Inc. | 209 | 78,580 |
The Goldman Sachs Group, Inc. | 79 | 15,639 |
185,564 | ||
Consumer Finance – 0.3% | ||
Ally Financial, Inc. | 2,762 | 55,516 |
Capital One Financial Corp. | 321 | 20,480 |
Discover Financial Services | 641 | 31,684 |
LendingTree, Inc. (a) | 17 | 5,887 |
Synchrony Financial | 1,351 | 29,898 |
143,465 | ||
Insurance – 0.2% | ||
eHealth, Inc. (a) | 970 | 67,066 |
Insurance Acquisition Corp. Class A | 1,104 | 11,824 |
Selectquote, Inc. (a) | 195 | 3,488 |
82,378 | ||
TOTAL FINANCIALS | 411,407 | |
HEALTH CARE – 9.6% | ||
Biotechnology – 3.0% | ||
AbbVie, Inc. | 50 | 4,745 |
ACADIA Pharmaceuticals, Inc. (a) | 579 | 24,069 |
Acceleron Pharma, Inc. (a) | 326 | 32,329 |
ADC Therapeutics S.A. (a) | 248 | 11,532 |
Agios Pharmaceuticals, Inc. (a) | 511 | 23,158 |
Aimmune Therapeutics, Inc. (a) | 846 | 11,176 |
Allakos, Inc. (a) | 93 | 6,981 |
Alnylam Pharmaceuticals, Inc. (a) | 846 | 123,313 |
Annexon, Inc. (a) | 239 | 4,357 |
Aurinia Pharmaceuticals, Inc. (a) | 302 | 4,267 |
Avidity Biosciences, Inc. (a) | 186 | 5,243 |
BeiGene Ltd. ADR (a) | 156 | 32,604 |
BioNTech SE ADR (a) | 70 | 5,748 |
Black Diamond Therapeutics, Inc. (a) | 91 | 2,532 |
Bridgebio Pharma, Inc. (a) | 197 | 5,544 |
CareDx, Inc. (a) | 143 | 4,769 |
Coherus Biosciences, Inc. (a) | 684 | 12,032 |
Crinetics Pharmaceuticals, Inc. (a) | 126 | 1,749 |
9 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
FibroGen, Inc. (a) | 573 | $ 23,189 |
Forma Therapeutics Holdings, Inc. (a) | 154 | 5,384 |
Global Blood Therapeutics, Inc. (a) | 551 | 37,181 |
Immunomedics, Inc. (a) | 211 | 8,911 |
Intercept Pharmaceuticals, Inc. (a) | 260 | 11,866 |
Mirati Therapeutics, Inc. (a) | 70 | 8,492 |
Moderna, Inc. (a) | 416 | 30,826 |
Myovant Sciences Ltd. (a) | 670 | 10,184 |
Neurocrine Biosciences, Inc. (a) | 513 | 61,745 |
Nkarta, Inc. (a) | 249 | 6,412 |
Passage Bio, Inc. (a) | 95 | 1,486 |
Regeneron Pharmaceuticals, Inc. (a) | 537 | 339,422 |
Relay Therapeutics, Inc. (a) | 209 | 7,411 |
REVOLUTION Medicines, Inc. (a) | 91 | 2,195 |
Sarepta Therapeutics, Inc. (a) | 637 | 97,792 |
Seattle Genetics, Inc. (a) | 83 | 13,800 |
Turning Point Therapeutics, Inc. (a) | 672 | 39,803 |
Vaxcyte, Inc. (a) | 386 | 12,124 |
Vertex Pharmaceuticals, Inc. (a) | 628 | 170,816 |
Viela Bio, Inc. (a) | 126 | 4,613 |
Zai Lab Ltd. ADR (a) | 585 | 44,524 |
1,254,324 | ||
Health Care Equipment & Supplies – 3.1% | ||
AtriCure, Inc. (a) | 83 | 3,387 |
Axonics Modulation Technologies, Inc. (a) | 759 | 32,151 |
Becton Dickinson and Co. | 600 | 168,804 |
Danaher Corp. | 114 | 23,233 |
DexCom, Inc. (a) | 585 | 254,791 |
Hologic, Inc. (a) | 532 | 37,123 |
Inmode Ltd. (a) | 368 | 11,909 |
Intuitive Surgical, Inc. (a) | 535 | 366,710 |
Masimo Corp. (a) | 229 | 50,408 |
Novocure Ltd. (a) | 334 | 25,314 |
Quidel Corp. (a) | 496 | 140,105 |
Shockwave Medical, Inc. (a) | 66 | 3,255 |
Tandem Diabetes Care, Inc. (a) | 1,227 | 128,173 |
West Pharmaceutical Services, Inc. | 136 | 36,566 |
1,281,929 | ||
Health Care Providers & Services – 1.5% | ||
1Life Healthcare, Inc. (a) | 315 | 9,327 |
Cigna Corp. (a) | 385 | 66,486 |
Guardant Health, Inc. (a) | 385 | 32,794 |
Humana, Inc. | 302 | 118,520 |
UnitedHealth Group, Inc. | 1,350 | 408,753 |
635,880 | ||
Health Care Technology – 0.0% | ||
Phreesia, Inc. (a) | 107 | 3,216 |
| ||
Shares | Value | |
Life Sciences Tools & Services – 0.4% | ||
NanoString Technologies, Inc. (a) | 112 | $4,045 |
Thermo Fisher Scientific, Inc. | 375 | 155,231 |
159,276 | ||
Pharmaceuticals – 1.6% | ||
AstraZeneca PLC ADR | 3,110 | 173,476 |
Axsome Therapeutics, Inc. (a) | 25 | 1,783 |
Bristol-Myers Squibb Co. | 738 | 43,291 |
Eli Lilly & Co. | 1,064 | 159,909 |
Horizon Therapeutics PLC (a) | 525 | 32,125 |
Intra-Cellular Therapies, Inc. (a) | 530 | 10,507 |
Nektar Therapeutics (a) | 1,039 | 23,024 |
Royalty Pharma PLC Class A (a) | 395 | 17,005 |
Sanofi ADR | 132 | 6,923 |
Zoetis, Inc. | 1,161 | 176,100 |
644,143 | ||
TOTAL HEALTH CARE | 3,978,768 | |
INDUSTRIALS – 3.0% | ||
Aerospace & Defense – 0.0% | ||
Axon Enterprise, Inc. (a) | 71 | 5,902 |
Air Freight & Logistics – 0.1% | ||
XPO Logistics, Inc. (a) | 439 | 32,934 |
Airlines – 0.1% | ||
JetBlue Airways Corp. (a) | 604 | 6,245 |
Ryanair Holdings PLC ADR (a) | 27 | 2,025 |
Southwest Airlines Co. | 338 | 10,441 |
Spirit Airlines, Inc. (a) | 1,930 | 30,513 |
49,224 | ||
Building Products – 0.0% | ||
Fortune Brands Home & Security, Inc. | 160 | 12,240 |
The AZEK Co., Inc. (a) | 185 | 6,383 |
18,623 | ||
Commercial Services & Supplies – 0.1% | ||
Copart, Inc. (a) | 159 | 14,827 |
HNI Corp. | 211 | 6,267 |
KAR Auction Services, Inc. | 291 | 4,403 |
Knoll, Inc. | 516 | 6,042 |
Steelcase, Inc. Class A | 542 | 5,815 |
37,354 | ||
Construction & Engineering – 0.1% | ||
Dycom Industries, Inc. (a) | 1,097 | 46,985 |
Electrical Equipment – 0.1% | ||
Rockwell Automation, Inc. | 73 | 15,924 |
Sensata Technologies Holding PLC (a) | 792 | 30,080 |
Vicor Corp. (a) | 49 | 3,992 |
49,996 | ||
Professional Services – 0.3% | ||
Equifax, Inc. | 528 | 85,832 |
10 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Professional Services – continued | ||
ManpowerGroup, Inc. | 360 | $ 24,764 |
110,596 | ||
Road & Rail – 2.2% | ||
Knight-Swift Transportation Holdings, Inc. | 1,623 | 70,584 |
LYFT, Inc. Class A (a) | 9,451 | 276,253 |
Uber Technologies, Inc. (a) | 18,895 | 571,763 |
918,600 | ||
TOTAL INDUSTRIALS | 1,270,214 | |
INFORMATION TECHNOLOGY – 38.9% | ||
Electronic Equipment, Instruments & Components – 0.6% | ||
Flex Ltd. (a) | 988 | 11,352 |
FLIR Systems, Inc. | 1,082 | 45,076 |
II-VI, Inc. (a) | 3,464 | 175,694 |
Jabil, Inc. | 326 | 11,365 |
243,487 | ||
IT Services – 6.1% | ||
Alliance Data Systems Corp. | 742 | 32,915 |
Black Knight, Inc. (a) | 223 | 16,707 |
Endava PLC ADR (a) | 233 | 12,034 |
Mastercard, Inc. Class A | 2,168 | 668,893 |
MongoDB, Inc. (a) | 234 | 53,605 |
PayPal Holdings, Inc. (a) | 2,391 | 468,803 |
Repay Holding Corp. (a) | 344 | 7,613 |
Square, Inc. Class A (a) | 656 | 85,182 |
Twilio, Inc. Class A (a) | 914 | 253,562 |
Visa, Inc. Class A | 4,449 | 847,089 |
Wix.com Ltd. (a) | 283 | 82,206 |
2,528,609 | ||
Semiconductors & Semiconductor Equipment – 9.7% | ||
Advanced Micro Devices, Inc. (a) | 4,453 | 344,796 |
Cirrus Logic, Inc. (a) | 402 | 27,549 |
Enphase Energy, Inc. (a) | 710 | 42,856 |
Inphi Corp. (a) | 73 | 9,538 |
Lam Research Corp. | 50 | 18,858 |
Lattice Semiconductor Corp. (a) | 247 | 7,679 |
Marvell Technology Group Ltd. | 32,602 | 1,188,995 |
Micron Technology, Inc. (a) | 5,055 | 253,028 |
NVIDIA Corp. | 3,718 | 1,578,626 |
NXP Semiconductors N.V. | 3,209 | 377,154 |
ON Semiconductor Corp. (a) | 579 | 11,927 |
SolarEdge Technologies, Inc. (a) | 300 | 52,530 |
Synaptics, Inc. (a) | 197 | 15,764 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 170 | 13,411 |
Universal Display Corp. | 302 | 52,684 |
Xilinx, Inc. | 209 | 22,436 |
4,017,831 |
| ||
Shares | Value | |
Software – 13.1% | ||
Adobe, Inc. (a) | 1,342 | $ 596,278 |
Avalara, Inc. (a) | 172 | 23,125 |
Bill.com Holdings, Inc. (a) | 137 | 12,756 |
Coupa Software, Inc. (a) | 190 | 58,226 |
Crowdstrike Holdings, Inc. Class A (a) | 691 | 78,221 |
DocuSign, Inc. (a) | 180 | 39,029 |
Dynatrace, Inc. (a) | 136 | 5,689 |
Elastic N.V. (a) | 276 | 26,549 |
Five9, Inc. (a) | 187 | 22,593 |
HubSpot, Inc. (a) | 201 | 47,157 |
Lightspeed POS, Inc. (a) | 1,501 | 42,404 |
Microsoft Corp. | 14,111 | 2,892,896 |
Paycom Software, Inc. (a) | 229 | 65,121 |
Ping Identity Holding Corp. (a) | 368 | 12,645 |
RingCentral, Inc. Class A (a) | 403 | 116,979 |
Salesforce.com, Inc. (a) | 5,174 | 1,008,154 |
ServiceNow, Inc. (a) | 336 | 147,571 |
Slack Technologies, Inc. Class A (a) | 628 | 18,557 |
Smartsheet, Inc. Class A (a) | 133 | 6,349 |
The Trade Desk, Inc. Class A (a) | 332 | 149,838 |
Workday, Inc. Class A (a) | 128 | 23,158 |
Zoom Video Communications, Inc. Class A (a) | 162 | 41,133 |
5,434,428 | ||
Technology Hardware, Storage & Peripherals – 9.4% | ||
Apple, Inc. | 9,166 | 3,895,917 |
Western Digital Corp. | 251 | 10,818 |
3,906,735 | ||
TOTAL INFORMATION TECHNOLOGY | 16,131,090 | |
MATERIALS – 0.2% | ||
Chemicals – 0.2% | ||
The Chemours Co. | 4,885 | 90,519 |
Metals & Mining – 0.0% | ||
First Quantum Minerals Ltd. | 1,025 | 8,662 |
Lundin Mining Corp. | 1,189 | 6,658 |
15,320 | ||
TOTAL MATERIALS | 105,839 | |
REAL ESTATE – 0.3% | ||
Equity Real Estate Investment Trusts (REITs) – 0.1% | ||
Douglas Emmett, Inc. | 339 | 9,879 |
Equinix, Inc. | 30 | 23,564 |
33,443 | ||
Real Estate Management & Development – 0.2% | ||
CBRE Group, Inc. Class A (a) | 169 | 7,404 |
Jones Lang LaSalle, Inc. | 32 | 3,165 |
11 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Real Estate Management & Development – continued | ||
Redfin Corp. (a) | 2,002 | $ 83,243 |
93,812 | ||
TOTAL REAL ESTATE | 127,255 | |
TOTAL COMMON STOCKS (Cost $37,867,316) | 40,390,574 | |
Exchange Traded Fund – 1.6% | ||
Invesco QQQ Trust Series 1 | 786 | 208,911 |
SPDR S&P Biotech ETF | 4,140 | 452,626 |
TOTAL EXCHANGE TRADED FUNDS (Cost $653,052) | 661,537 | |
Money Market Fund – 1.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $457,997) | 457,997 | 457,997 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $38,978,365) | 41,510,108 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (15,957) | |
NET ASSETS – 100.0% | $ 41,494,151 |
Security Type Abbreviations | ||
ETF – | Exchange-Traded Fund |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 5,758,781 | $ 5,758,781 | $ — | $ — | ||||
Consumer Discretionary | 11,936,244 | 11,936,244 | — | — | ||||
Consumer Staples | 670,976 | 670,976 | — | — | ||||
Financials | 411,407 | 411,407 | — | — | ||||
Health Care | 3,978,768 | 3,978,768 | — | — | ||||
Industrials | 1,270,214 | 1,270,214 | — | — | ||||
Information Technology | 16,131,090 | 16,131,090 | — | — | ||||
Materials | 105,839 | 105,839 | — | — | ||||
Real Estate | 127,255 | 127,255 | — | — | ||||
Exchange Traded Fund | 661,537 | 661,537 | — | — | ||||
Money Market Fund | 457,997 | 457,997 | — | — | ||||
Total Investments in Securities: | $ 41,510,108 | $ 41,510,108 | $ — | $ — |
12 |
Table of Contents
Common Stocks – 99.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.8% | ||
Interactive Media & Services – 3.4% | ||
Alphabet, Inc. Class A (a) | 110 | $163,675 |
Facebook, Inc. Class A (a) | 435 | 110,346 |
274,021 | ||
Media – 5.5% | ||
Comcast Corp. Class A | 6,053 | 259,068 |
Fox Corp. Class A | 1,132 | 29,172 |
The Interpublic Group of Cos., Inc. | 6,053 | 109,257 |
WPP PLC ADR | 1,165 | 43,454 |
440,951 | ||
Wireless Telecommunication Services – 1.9% | ||
T-Mobile US, Inc. (a) | 1,436 | 154,198 |
TOTAL COMMUNICATION SERVICES | 869,170 | |
CONSUMER DISCRETIONARY – 9.4% | ||
Auto Components – 0.8% | ||
Lear Corp. | 619 | 68,325 |
Entertainment – 0.3% | ||
Lions Gate Entertainment Corp. Class B (a) | 2,879 | 20,470 |
Household Durables – 1.3% | ||
Newell Brands, Inc. | 1,434 | 23,517 |
Whirlpool Corp. | 522 | 85,149 |
108,666 | ||
Multiline Retail – 1.1% | ||
Dollar General Corp. | 459 | 87,393 |
Specialty Retail – 4.4% | ||
Best Buy Co., Inc. | 1,166 | 116,122 |
Dick's Sporting Goods, Inc. | 968 | 44,160 |
Lowe's Cos., Inc. | 993 | 147,868 |
Tiffany & Co., Inc. | 194 | 24,320 |
Williams-Sonoma, Inc. | 311 | 27,094 |
359,564 | ||
Textiles, Apparel & Luxury Goods – 1.5% | ||
PVH Corp. | 1,659 | 80,727 |
Tapestry, Inc. | 2,805 | 37,475 |
118,202 | ||
TOTAL CONSUMER DISCRETIONARY | 762,620 | |
CONSUMER STAPLES – 3.8% | ||
Food & Staples Retailing – 2.6% | ||
Sysco Corp. | 1,635 | 86,410 |
US Foods Holding Corp. (a) | 5,951 | 120,805 |
207,215 | ||
Food Products – 0.3% | ||
Tyson Foods, Inc. Class A | 443 | 27,222 |
| ||
Shares | Value | |
Tobacco – 0.9% | ||
Altria Group, Inc. | 1,810 | $ 74,482 |
TOTAL CONSUMER STAPLES | 308,919 | |
ENERGY – 2.1% | ||
Oil, Gas & Consumable Fuels – 2.1% | ||
BP PLC ADR | 1,297 | 28,586 |
Cabot Oil & Gas Corp. | 3,863 | 72,238 |
TOTAL SE ADR | 1,015 | 38,225 |
Valero Energy Corp. | 484 | 27,215 |
TOTAL ENERGY | 166,264 | |
FINANCIALS – 19.9% | ||
Banks – 7.3% | ||
Bank of America Corp. | 6,324 | 157,341 |
CIT Group, Inc. | 1,090 | 20,678 |
Cullen/Frost Bankers, Inc. | 316 | 22,771 |
JPMorgan Chase & Co. | 1,166 | 112,682 |
M&T Bank Corp. | 426 | 45,135 |
Truist Financial Corp. | 707 | 26,484 |
Wells Fargo & Co. | 8,304 | 201,455 |
586,546 | ||
Capital Markets – 1.4% | ||
Affiliated Managers Group, Inc. | 599 | 41,205 |
BlackRock, Inc. | 59 | 33,925 |
Invesco Ltd. | 1,120 | 11,245 |
State Street Corp. | 401 | 25,580 |
111,955 | ||
Consumer Finance – 2.9% | ||
Capital One Financial Corp. | 1,660 | 105,908 |
Discover Financial Services | 2,621 | 129,556 |
235,464 | ||
Diversified Financial Services – 3.9% | ||
Berkshire Hathaway, Inc. Class B (a) | 1,607 | 314,619 |
Insurance – 3.9% | ||
American International Group, Inc. | 1,243 | 39,950 |
Chubb Ltd. | 874 | 111,208 |
MetLife, Inc. | 528 | 19,985 |
The Allstate Corp. | 290 | 27,373 |
The Travelers Cos., Inc. | 1,042 | 119,225 |
317,741 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.2% | ||
AGNC Investment Corp. | 1,375 | 18,700 |
Thrifts & Mortgage Finance – 0.3% | ||
Essent Group Ltd. | 273 | 9,782 |
MGIC Investment Corp. | 1,735 | 14,348 |
24,130 | ||
TOTAL FINANCIALS | 1,609,155 |
13 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 18.5% | ||
Biotechnology – 4.1% | ||
Alexion Pharmaceuticals, Inc. (a) | 746 | $ 76,457 |
Amgen, Inc. | 598 | 146,313 |
Regeneron Pharmaceuticals, Inc. (a) | 168 | 106,188 |
328,958 | ||
Health Care Providers & Services – 10.7% | ||
Anthem, Inc. | 385 | 105,413 |
Centene Corp. (a) | 3,421 | 223,220 |
Cigna Corp. (a) | 1,155 | 199,457 |
CVS Health Corp. | 1,683 | 105,928 |
Humana, Inc. | 99 | 38,853 |
UnitedHealth Group, Inc. | 640 | 193,779 |
866,650 | ||
Pharmaceuticals – 3.7% | ||
Bristol-Myers Squibb Co. | 3,313 | 194,340 |
Sanofi ADR | 1,993 | 104,533 |
298,873 | ||
TOTAL HEALTH CARE | 1,494,481 | |
INDUSTRIALS – 12.0% | ||
Aerospace & Defense – 2.0% | ||
General Dynamics Corp. | 753 | 110,495 |
Raytheon Technologies Corp. | 845 | 47,895 |
158,390 | ||
Air Freight & Logistics – 0.2% | ||
XPO Logistics, Inc. (a) | 274 | 20,555 |
Airlines – 0.5% | ||
Alaska Air Group, Inc. | 1,137 | 39,158 |
Building Products – 2.4% | ||
Carrier Global Corp. | 890 | 24,244 |
Owens Corning | 1,657 | 100,199 |
Trane Technologies PLC | 628 | 70,254 |
194,697 | ||
Electrical Equipment – 1.9% | ||
Acuity Brands, Inc. | 822 | 81,460 |
Regal-Beloit Corp. | 810 | 74,496 |
155,956 | ||
Machinery – 3.7% | ||
Ingersoll Rand, Inc. (a) | 992 | 31,337 |
ITT, Inc. | 309 | 17,839 |
Oshkosh Corp. | 1,291 | 101,627 |
Otis Worldwide Corp. | 589 | 36,954 |
Stanley Black & Decker, Inc. | 727 | 111,464 |
299,221 | ||
Trading Companies & Distributors – 1.3% | ||
HD Supply Holdings, Inc. (a) | 2,121 | 74,447 |
| ||
Shares | Value | |
United Rentals, Inc. (a) | 205 | $ 31,851 |
106,298 | ||
TOTAL INDUSTRIALS | 974,275 | |
INFORMATION TECHNOLOGY – 10.1% | ||
Communications Equipment – 3.0% | ||
Cisco Systems, Inc. | 5,101 | 240,257 |
Electronic Equipment, Instruments & Components – 1.6% | ||
Avnet, Inc. | 154 | 4,115 |
TE Connectivity Ltd. | 1,378 | 122,738 |
126,853 | ||
IT Services – 1.8% | ||
Amdocs Ltd. | 895 | 55,580 |
Cognizant Technology Solutions Corp. Class A | 1,356 | 92,642 |
148,222 | ||
Semiconductors & Semiconductor Equipment – 3.1% | ||
Broadcom, Inc. | 34 | 10,769 |
Intel Corp. | 3,775 | 180,181 |
NXP Semiconductors N.V. | 437 | 51,361 |
ON Semiconductor Corp. (a) | 578 | 11,907 |
254,218 | ||
Software – 0.6% | ||
NortonLifelock, Inc. | 2,100 | 45,045 |
TOTAL INFORMATION TECHNOLOGY | 814,595 | |
MATERIALS – 5.4% | ||
Chemicals – 2.9% | ||
Albemarle Corp. | 577 | 47,579 |
DuPont de Nemours, Inc. | 3,524 | 188,464 |
236,043 | ||
Metals & Mining – 2.5% | ||
BHP Group Ltd. ADR | 181 | 9,564 |
Newmont Corp. | 2,793 | 193,276 |
202,840 | ||
TOTAL MATERIALS | 438,883 | |
REAL ESTATE – 2.1% | ||
Equity Real Estate Investment Trusts (REITs) – 0.5% | ||
Simon Property Group, Inc. | 653 | 40,715 |
Real Estate Management & Development – 1.6% | ||
CBRE Group, Inc. Class A (a) | 2,934 | 128,538 |
TOTAL REAL ESTATE | 169,253 | |
UTILITIES – 5.3% | ||
Electric Utilities – 4.1% | ||
Exelon Corp. | 2,857 | 110,309 |
PG&E Corp. (a) | 7,896 | 73,827 |
14 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Electric Utilities – continued | ||
The Southern Co. | 2,687 | $ 146,737 |
330,873 | ||
Multi-Utilities – 1.2% | ||
Dominion Energy, Inc. | 1,249 | 101,207 |
TOTAL UTILITIES | 432,080 | |
TOTAL COMMON STOCKS (Cost $7,958,991) | 8,039,695 | |
Money Market Fund – 0.6% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $51,912) | 51,912 | 51,912 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $8,010,903) | 8,091,607 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,328 | |
NET ASSETS – 100.0% | $ 8,092,935 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 869,170 | $ 869,170 | $ — | $ — | ||||
Consumer Discretionary | 762,620 | 762,620 | — | — | ||||
Consumer Staples | 308,919 | 308,919 | — | — | ||||
Energy | 166,264 | 166,264 | — | — | ||||
Financials | 1,609,155 | 1,609,155 | — | — | ||||
Health Care | 1,494,481 | 1,494,481 | — | — | ||||
Industrials | 974,275 | 974,275 | — | — | ||||
Information Technology | 814,595 | 814,595 | — | — | ||||
Materials | 438,883 | 438,883 | — | — | ||||
Real Estate | 169,253 | 169,253 | — | — | ||||
Utilities | 432,080 | 432,080 | — | — | ||||
Money Market Fund | 51,912 | 51,912 | — | — | ||||
Total Investments in Securities: | $ 8,091,607 | $ 8,091,607 | $ — | $ — |
15 |
Table of Contents
Common Stocks – 98.5% | ||
Shares | Value | |
COMMUNICATION SERVICES – 7.0% | ||
Diversified Telecommunication Services – 2.6% | ||
Cogent Communications Holdings, Inc. | 421 | $37,937 |
Verizon Communications, Inc. | 2,067 | 118,811 |
156,748 | ||
Media – 3.3% | ||
Comcast Corp. Class A | 4,402 | 188,405 |
Sinclair Broadcast Group, Inc. Class A | 696 | 14,338 |
202,743 | ||
Wireless Telecommunication Services – 1.1% | ||
T-Mobile US, Inc. (a) | 650 | 69,797 |
TOTAL COMMUNICATION SERVICES | 429,288 | |
CONSUMER DISCRETIONARY – 11.4% | ||
Automobiles – 1.3% | ||
Fiat Chrysler Automobiles N.V. (a) | 4,465 | 45,320 |
General Motors Co. | 1,373 | 34,174 |
79,494 | ||
Hotels, Restaurants & Leisure – 0.9% | ||
Churchill Downs, Inc. | 183 | 25,349 |
Dunkin' Brands Group, Inc. | 441 | 30,310 |
55,659 | ||
Household Durables – 2.2% | ||
D.R. Horton, Inc. | 1,012 | 66,954 |
Mohawk Industries, Inc. (a) | 262 | 20,920 |
NVR, Inc. (a) | 12 | 47,162 |
135,036 | ||
Internet & Direct Marketing Retail – 0.7% | ||
Booking Holdings, Inc. (a) | 27 | 44,878 |
Leisure Products – 2.6% | ||
Peloton Interactive, Inc. Class A | 1,832 | 124,979 |
Smith & Wesson Brands, Inc. | 1,531 | 36,576 |
161,555 | ||
Specialty Retail – 2.9% | ||
AutoZone, Inc. (a) | 34 | 41,052 |
Best Buy Co., Inc. | 387 | 38,541 |
National Vision Holdings, Inc. (a) | 1,036 | 33,142 |
The TJX Cos., Inc. | 1,218 | 63,324 |
176,059 | ||
Textiles, Apparel & Luxury Goods – 0.8% | ||
PVH Corp. | 380 | 18,491 |
Tapestry, Inc. | 1,160 | 15,497 |
Under Armour, Inc. Class A (a) | 1,259 | 13,245 |
47,233 | ||
TOTAL CONSUMER DISCRETIONARY | 699,914 | |
CONSUMER STAPLES – 2.0% | ||
Beverages – 0.6% | ||
Diageo PLC ADR | 237 | 34,896 |
| ||
Shares | Value | |
Food & Staples Retailing – 0.9% | ||
The Kroger Co. | 1,621 | $ 56,395 |
Personal Products – 0.5% | ||
Edgewell Personal Care Co. (a) | 1,051 | 31,414 |
TOTAL CONSUMER STAPLES | 122,705 | |
ENERGY – 9.1% | ||
Energy Equipment & Services – 0.8% | ||
Borr Drilling Ltd. (a) | 2,741 | 2,449 |
Oceaneering International, Inc. (a) | 1,648 | 9,262 |
Schlumberger Ltd. | 1,448 | 26,267 |
TechnipFMC PLC | 982 | 7,885 |
45,863 | ||
Oil, Gas & Consumable Fuels – 8.3% | ||
BP PLC ADR | 1,938 | 42,713 |
Cabot Oil & Gas Corp. | 1,697 | 31,734 |
Cheniere Energy, Inc. (a) | 1,228 | 60,761 |
Exxon Mobil Corp. | 3,675 | 154,644 |
Golar LNG Ltd. | 2,502 | 18,765 |
Hess Corp. | 2,209 | 108,705 |
The Williams Cos., Inc. | 3,159 | 60,432 |
Valero Energy Corp. | 538 | 30,252 |
508,006 | ||
TOTAL ENERGY | 553,869 | |
FINANCIALS – 17.6% | ||
Banks – 7.7% | ||
Bank of America Corp. | 6,961 | 173,189 |
Comerica, Inc. | 573 | 22,072 |
HDFC Bank Ltd. ADR (a) | 787 | 36,792 |
The PNC Financial Services Group, Inc. | 707 | 75,416 |
Wells Fargo & Co. | 5,607 | 136,026 |
Wintrust Financial Corp. | 655 | 28,034 |
471,529 | ||
Capital Markets – 3.9% | ||
Morgan Stanley | 1,048 | 51,226 |
Nasdaq, Inc. | 448 | 58,827 |
Northern Trust Corp. | 480 | 37,608 |
The Goldman Sachs Group, Inc. | 277 | 54,835 |
Virtu Financial, Inc. Class A | 1,441 | 35,737 |
238,233 | ||
Insurance – 6.0% | ||
American International Group, Inc. | 3,255 | 104,616 |
Arch Capital Group Ltd. | 2,926 | 89,975 |
Chubb Ltd. | 684 | 87,032 |
First American Financial Corp. | 423 | 21,577 |
MetLife, Inc. | 1,198 | 45,344 |
RenaissanceRe Holdings Ltd. | 107 | 19,301 |
367,845 | ||
TOTAL FINANCIALS | 1,077,607 |
16 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 15.6% | ||
Biotechnology – 2.1% | ||
Amgen, Inc. | 326 | $ 79,762 |
Regeneron Pharmaceuticals, Inc. (a) | 57 | 36,028 |
Viela Bio, Inc. (a) | 400 | 14,644 |
130,434 | ||
Health Care Equipment & Supplies – 4.8% | ||
Becton Dickinson and Co. | 300 | 84,402 |
Boston Scientific Corp. (a) | 1,937 | 74,710 |
Danaher Corp. | 364 | 74,183 |
Intuitive Surgical, Inc. (a) | 85 | 58,263 |
291,558 | ||
Health Care Providers & Services – 4.5% | ||
Centene Corp. (a) | 969 | 63,227 |
Cigna Corp. (a) | 341 | 58,887 |
UnitedHealth Group, Inc. | 424 | 128,379 |
Universal Health Services, Inc. Class B | 222 | 24,398 |
274,891 | ||
Pharmaceuticals – 4.2% | ||
Bristol-Myers Squibb Co. | 1,330 | 78,018 |
Eli Lilly & Co. | 591 | 88,821 |
Kala Pharmaceuticals, Inc. (a) | 1,493 | 13,064 |
Prestige Consumer Healthcare, Inc. (a) | 744 | 27,669 |
Sanofi ADR | 897 | 47,048 |
254,620 | ||
TOTAL HEALTH CARE | 951,503 | |
INDUSTRIALS – 13.7% | ||
Aerospace & Defense – 4.0% | ||
General Dynamics Corp. | 438 | 64,272 |
Huntington Ingalls Industries, Inc. | 407 | 70,700 |
Kratos Defense & Security Solutions, Inc. (a) | 1,751 | 31,536 |
Northrop Grumman Corp. | 239 | 77,677 |
244,185 | ||
Air Freight & Logistics – 0.4% | ||
XPO Logistics, Inc. (a) | 339 | 25,432 |
Building Products – 0.6% | ||
Fortune Brands Home & Security, Inc. | 451 | 34,501 |
Commercial Services & Supplies – 1.3% | ||
IAA, Inc. (a) | 579 | 25,100 |
KAR Auction Services, Inc. | 691 | 10,455 |
Stericycle, Inc. (a) | 493 | 29,794 |
US Ecology, Inc. | 442 | 15,328 |
80,677 | ||
Construction & Engineering – 0.9% | ||
AECOM (a) | 836 | 30,255 |
Argan, Inc. | 549 | 23,552 |
53,807 |
| ||
Shares | Value | |
Industrial Conglomerates – 4.4% | ||
General Electric Co. | 43,926 | $ 266,631 |
Machinery – 1.3% | ||
Donaldson Co., Inc. | 718 | 34,708 |
Ingersoll Rand, Inc. (a) | 754 | 23,819 |
Pentair PLC | 466 | 19,968 |
78,495 | ||
Road & Rail – 0.8% | ||
Knight-Swift Transportation Holdings, Inc. | 1,199 | 52,145 |
TOTAL INDUSTRIALS | 835,873 | |
INFORMATION TECHNOLOGY – 14.1% | ||
Communications Equipment – 3.0% | ||
Cisco Systems, Inc. | 2,852 | 134,329 |
Telefonaktiebolaget LM Ericsson ADR | 4,273 | 49,353 |
183,682 | ||
Electronic Equipment, Instruments & Components – 2.0% | ||
Amphenol Corp. Class A | 582 | 61,552 |
FLIR Systems, Inc. | 447 | 18,622 |
Keysight Technologies, Inc. (a) | 403 | 40,256 |
120,430 | ||
IT Services – 5.8% | ||
Akamai Technologies, Inc. (a) | 655 | 73,648 |
Black Knight, Inc. (a) | 391 | 29,294 |
Euronet Worldwide, Inc. (a) | 194 | 18,651 |
Fidelity National Information Services, Inc. | 471 | 68,912 |
Leidos Holdings, Inc. | 315 | 29,975 |
Visa, Inc. Class A | 706 | 134,423 |
354,903 | ||
Semiconductors & Semiconductor Equipment – 3.3% | ||
Analog Devices, Inc. | 313 | 35,948 |
Lam Research Corp. | 99 | 37,339 |
NVIDIA Corp. | 304 | 129,075 |
202,362 | ||
TOTAL INFORMATION TECHNOLOGY | 861,377 | |
MATERIALS – 3.1% | ||
Chemicals – 0.5% | ||
Nutrien Ltd. | 568 | 18,511 |
Olin Corp. | 1,055 | 11,858 |
30,369 | ||
Containers & Packaging – 1.1% | ||
Avery Dennison Corp. | 196 | 22,215 |
O-I Glass, Inc. | 4,291 | 44,798 |
67,013 | ||
Metals & Mining – 1.5% | ||
Commercial Metals Co. | 976 | 20,184 |
Royal Gold, Inc. | 391 | 54,712 |
17 |
Table of Contents
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Steel Dynamics, Inc. | 651 | $ 17,844 |
92,740 | ||
TOTAL MATERIALS | 190,122 | |
REAL ESTATE – 2.8% | ||
Equity Real Estate Investment Trusts (REITs) – 2.8% | ||
Cousins Properties, Inc. | 622 | 19,108 |
Gaming and Leisure Properties, Inc. | 565 | 20,458 |
Healthcare Trust of America, Inc. Class A | 778 | 21,480 |
Simon Property Group, Inc. | 279 | 17,396 |
Spirit Realty Capital, Inc. | 965 | 33,254 |
VEREIT, Inc. | 2,517 | 16,386 |
VICI Properties, Inc. | 2,045 | 44,397 |
TOTAL REAL ESTATE | 172,479 | |
UTILITIES – 2.1% | ||
Electric Utilities – 2.1% | ||
Duke Energy Corp. | 865 | 73,300 |
The Southern Co. | 970 | 52,972 |
TOTAL UTILITIES | 126,272 | |
TOTAL COMMON STOCKS (Cost $5,935,387) | 6,021,009 |
Money Market Fund – 1.5% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.05% (b) (Cost $90,862) | 90,861 | $ 90,862 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $6,026,249) | 6,111,871 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 212 | |
NET ASSETS – 100.0% | $ 6,112,083 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 429,288 | $ 429,288 | $ — | $ — | ||||
Consumer Discretionary | 699,914 | 699,914 | — | — | ||||
Consumer Staples | 122,705 | 122,705 | — | — | ||||
Energy | 553,869 | 553,869 | — | — | ||||
Financials | 1,077,607 | 1,077,607 | — | — | ||||
Health Care | 951,503 | 951,503 | — | — | ||||
Industrials | 835,873 | 835,873 | — | — | ||||
Information Technology | 861,377 | 861,377 | — | — | ||||
Materials | 190,122 | 190,122 | — | — | ||||
Real Estate | 172,479 | 172,479 | — | — | ||||
Utilities | 126,272 | 126,272 | — | — | ||||
Money Market Fund | 90,862 | 90,862 | — | — | ||||
Total Investments in Securities: | $ 6,111,871 | $ 6,111,871 | $ — | $ — |
18 |
Table of Contents
19 |
Table of Contents
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity New Millennium ETF | |||
Assets | |||||
Investments in securities, at value – See accompanying schedule: | $ 41,510,108 | $ 8,091,607 | $ 6,111,871 | ||
Cash | 759 | — | 370 | ||
Receivable for investments sold | 64,287 | — | — | ||
Receivable for fund shares sold | 1,129,065 | — | — | ||
Dividends receivable | 5,199 | 4,387 | 2,629 | ||
Other assets | 168 | — | — | ||
Total assets | 42,709,586 | 8,095,994 | 6,114,870 | ||
Liabilities | |||||
Payable for investments purchased | 1,199,991 | — | 370 | ||
Accrued management fees | 15,441 | 3,058 | 2,416 | ||
Other payables and accrued expenses | 3 | 1 | 1 | ||
Total liabilities | 1,215,435 | 3,059 | 2,787 | ||
Net Assets | $41,494,151 | $8,092,935 | $6,112,083 | ||
Net Assets consist of: | |||||
Paid in capital | 39,057,852 | 8,090,408 | 6,036,688 | ||
Total accumulated earnings (loss) | 2,436,299 | 2,527 | 75,395 | ||
Net Assets | $41,494,151 | $8,092,935 | $6,112,083 | ||
Shares outstanding | 1,825,000 | 400,000 | 300,000 | ||
Net Asset Value, offering price and redemption price per share | $ 22.74 | $ 20.23 | $ 20.37 | ||
Investments at cost | $38,978,365 | $8,010,903 | $6,026,249 |
20 |
Table of Contents
Fidelity Blue Chip Growth ETFA | Fidelity Blue Chip Value ETFA | Fidelity New Millennium ETFA | |||
Investment Income | |||||
Dividends | $ 8,276 | $ 13,213 | $ 10,626 | ||
Total income | 8,276 | 13,213 | 10,626 | ||
Expenses | |||||
Management fees | 19,382 | 4,820 | 3,924 | ||
Independent trustees' compensation | 3 | 1 | 1 | ||
Total expenses | 19,385 | 4,821 | 3,925 | ||
Net investment income (loss) | (11,109) | 8,392 | 6,701 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (77,233) | (83,069) | (15,661) | ||
Net realized gain (loss) on futures contracts | (7,107) | — | 1,733 | ||
Net realized gain (loss) on foreign currency transactions | 7 | — | — | ||
Total net realized gain (loss) | (84,333) | (83,069) | (13,928) | ||
Change in net unrealized appreciation (depreciation) on investment securities | 2,531,743 | 80,704 | 85,622 | ||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (2) | — | — | ||
Total change in net unrealized appreciation (depreciation) | 2,531,741 | 80,704 | 85,622 | ||
Net gain (loss) | 2,447,408 | (2,365) | 71,694 | ||
Net increase (decrease) in net assets resulting from operations | $2,436,299 | $ 6,027 | $ 78,395 |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
21 |
Table of Contents
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity New Millennium ETF | |||
Year ended July 31, 2020A | Year ended July 31, 2020A | Year ended July 31, 2020A | |||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net investment income (loss) | $ (11,109) | $ 8,392 | $ 6,701 | ||
Net realized gain (loss) | (84,333) | (83,069) | (13,928) | ||
Change in net unrealized appreciation (depreciation) | 2,531,741 | 80,704 | 85,622 | ||
Net increase (decrease) in net assets resulting from operations | 2,436,299 | 6,027 | 78,395 | ||
Distributions to shareholders | — | (3,500) | (3,000) | ||
Share transactions | |||||
Proceeds from sales of shares | 39,057,852 | 8,090,408 | 6,036,688 | ||
Net increase (decrease) in net assets resulting from share transactions | 39,057,852 | 8,090,408 | 6,036,688 | ||
Total increase (decrease) in net assets | 41,494,151 | 8,092,935 | 6,112,083 | ||
Net Assets | |||||
Beginning of period | — | — | — | ||
End of period | $41,494,151 | $8,092,935 | $6,112,083 | ||
Other Information | |||||
Shares | |||||
Sold | 1,825,000 | 400,000 | 300,000 | ||
Redeemed | — | — | — | ||
Net increase (decrease) | 1,825,000 | 400,000 | 300,000 |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
22 |
Table of Contents
Fidelity Blue Chip Growth ETF | |
Year ended July 31, 2020A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 20.00 |
Income from Investment Operations | |
Net investment income (loss)B | (0.01) |
Net realized and unrealized gain (loss) | 2.75 |
Total from investment operations | 2.74 |
Net asset value, end of period | $ 22.74 |
Total ReturnC | 13.68% |
Ratios to Average Net AssetsD,E | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | (.34)% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $41,494 |
Portfolio turnover rateF,G,H | 11% |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Annualized. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Amount does not include the portfolio activity of any underlying funds. |
G | Amount not annualized. |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
23 |
Table of Contents
Fidelity Blue Chip Value ETF | |
Year ended July 31, 2020A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $20.00 |
Income from Investment Operations | |
Net investment income (loss)B | 0.03 |
Net realized and unrealized gain (loss) | 0.21 C |
Total from investment operations | 0.24 |
Distributions from net investment income | (0.01) |
Total distributions | (0.01) |
Net asset value, end of period | $20.23 |
Total ReturnD | 1.23% |
Ratios to Average Net AssetsE,F | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | 1.02% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $8,093 |
Portfolio turnover rateG,H,I | 20% |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Calculated based on average shares outstanding during the period. |
C | The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of share transactions in relation to fluctuating market values of the investments of a Fund. |
D | Total returns for periods of less than one year are not annualized. |
E | Annualized. |
F | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
G | Amount does not include the portfolio activity of any underlying funds. |
H | Amount not annualized. |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
24 |
Table of Contents
Fidelity New Millennium ETF | |
Year ended July 31, 2020A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $20.00 |
Income from Investment Operations | |
Net investment income (loss)B | 0.03 |
Net realized and unrealized gain (loss) | 0.36 |
Total from investment operations | 0.39 |
Distributions from net investment income | (0.02) |
Total distributions | (0.02) |
Net asset value, end of period | $20.37 |
Total ReturnC | 1.95% |
Ratios to Average Net AssetsD,E | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | 1.00% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $6,112 |
Portfolio turnover rateF,G,H | 10% |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Calculated based on average shares outstanding during the period. |
C | Total returns for periods of less than one year are not annualized. |
D | Annualized. |
E | Expense ratios reflect operating expenses of the Fund. 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 Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to the reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund but do not include expenses of the investment companies in which the fund invests. |
F | Amount does not include the portfolio activity of any underlying funds. |
G | Amount not annualized. |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
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For the year ended July 31, 2020
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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.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity Blue Chip Growth ETF | $ 39,076,949 | $ 2,712,301 | $ (279,142) | $ 2,433,159 |
Fidelity Blue Chip Value ETF | 8,092,790 | 153,660 | (154,843) | (1,183) |
Fidelity New Millennium ETF | 6,049,635 | 212,190 | (149,954) | 62,236 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Blue Chip Growth ETF | $ 3,142 | $ — | $ — | $ 2,433,159 |
Fidelity Blue Chip Value ETF | 4,892 | — | (1,182) | (1,183) |
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Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity New Millennium ETF | $ 12,125 | $ 1,034 | $ — | $ 62,236 |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity Blue Chip Growth ETF | $ — | $ — | $ — |
Fidelity Blue Chip Value ETF | (1,182) | — | (1,182) |
Fidelity New Millennium ETF | — | — | — |
July 31, 2020A | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Blue Chip Growth ETF | $ — | $ — | $ — | $ — |
Fidelity Blue Chip Value ETF | 3,500 | — | — | 3,500 |
Fidelity New Millennium ETF | 3,000 | — | — | 3,000 |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
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unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statements of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statements of Operations.
Purchases | Sales | |
Fidelity Blue Chip Growth ETF | $ 34,154,251 | $ 3,194,382 |
Fidelity Blue Chip Value ETF | 7,102,189 | 1,258,512 |
Fidelity New Millennium ETF | 4,916,421 | 518,974 |
In-kind Subscriptions | In-kind Redemptions | |
Fidelity Blue Chip Growth ETF | $ 7,637,688 | $ — |
Fidelity Blue Chip Value ETF | 2,198,437 | — |
Fidelity New Millennium ETF | 1,553,688 | — |
Amount | |
Fidelity Blue Chip Growth ETF | $ 88 |
Fidelity Blue Chip Value ETF | $ 32 |
Fidelity New Millennium ETF | $ 24 |
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Fidelity Blue Chip Growth ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 11 | 25.57% | 25 | 58.14% |
25 - <50 | 1 | 2.33% | 4 | 9.30% |
50 - <75 | 0 | — | 1 | 2.33% |
75 - <100 | 1 | 2.33% | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 13 | 30.23% | 30 | 69.77% |
Fidelity Blue Chip Value ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 13 | 30.23% | 22 | 51.16% |
25 - <50 | 2 | 4.65% | 2 | 4.65% |
50 - <75 | 2 | 4.65% | 1 | 2.33% |
75 - <100 | 0 | — | 0 | — |
100 or above | 1 | 2.33% | 0 | — |
Total | 18 | 41.86% | 25 | 58.14% |
Fidelity New Millennium ETF | ||||
Period Ended July 31, 2020 | ||||
From commencement of operations * to July 31, 2020 | Closing Price Below NAV | Closing Price Above or Equal to NAV | ||
Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
0 - <25 | 13 | 31.71% | 26 | 63.41% |
25 - <50 | 0 | — | 1 | 2.44% |
50 - <75 | 1 | 2.44% | 0 | — |
75 - <100 | 0 | — | 0 | — |
100 or above | 0 | — | 0 | — |
Total | 14 | 34.15% | 27 | 65.85% |
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Annualized Expense RatioA | Beginning Account Value | Ending Account Value July 31, 2020 | Expenses Paid During Period | |
Fidelity Blue Chip Growth ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,136.80 | $ 1.03B | |
Hypothetical C | $ 1,000.00 | $ 1,021.93 | $ 2.97D | |
Fidelity Blue Chip Value ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,012.30 | $ 0.97B | |
Hypothetical C | $ 1,000.00 | $ 1,021.93 | $ 2.97D | |
Fidelity New Millennium ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,019.50 | $ 0.98B | |
Hypothetical C | $ 1,000.00 | $ 1,021.93 | $ 2.97D |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 60/366 (to reflect the period June 2, 2020 to July 31, 2020). The fees and expenses of any Underlying Fund are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
D | Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity Blue Chip Growth ETF | — | — | — | — |
Fidelity Blue Chip Value ETF | — | — | — | 100% |
Fidelity New Millennium ETF | — | — | — | 100% |
September 2019 | December 2019 | March 2020 | June 2020 | |
Fidelity Blue Chip Growth ETF | — | — | — | — |
Fidelity Blue Chip Value ETF | — | — | — | 100% |
Fidelity New Millennium ETF | — | — | — | 100% |
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# of Votes | % of Votes | |
Dennis J. Dirks | ||
Affirmative | 9,282,142,479.280 | 96.563 |
Withheld | 330,428,349.514 | 3.437 |
TOTAL | 9,612,570,828.794 | 100.000 |
Donald F. Donahue | ||
Affirmative | 9,291,214,667.254 | 96.657 |
Withheld | 321,356,161.540 | 3.343 |
TOTAL | 9,612,570,828.794 | 100.000 |
Bettina Doulton | ||
Affirmative | 9,305,383,119.035 | 96.804 |
Withheld | 307,187,709.760 | 3.196 |
TOTAL | 9,612,570,828.794 | 100.000 |
Vicki L. Fuller | ||
Affirmative | 9,309,945,465.761 | 96.852 |
Withheld | 302,625,363.033 | 3.148 |
TOTAL | 9,612,570,828.794 | 100.000 |
Patricia L. Kampling | ||
Affirmative | 9,313,717,969.953 | 96.891 |
Withheld | 298,852,858.841 | 3.109 |
TOTAL | 9,612,570,828.794 | 100.000 |
Alan J. Lacy | ||
Affirmative | 9,286,152,312.666 | 96.604 |
Withheld | 326,418,516.129 | 3.396 |
TOTAL | 9,612,570,828.794 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,527,074,727.936 | 88.708 |
Withheld | 1,085,496,100.858 | 11.292 |
TOTAL | 9,612,570,828.794 | 100.000 |
Robert A. Lawrence | ||
Affirmative | 9,292,882,256.101 | 96.674 |
Withheld | 319,688,572.693 | 3.326 |
TOTAL | 9,612,570,828.794 | 100.000 |
Joseph Mauriello | ||
Affirmative | 9,271,962,598.733 | 96.457 |
Withheld | 340,608,230.062 | 3.543 |
TOTAL | 9,612,570,828.794 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,282,431,158.269 | 96.566 |
Withheld | 330,139,670.526 | 3.434 |
TOTAL | 9,612,570,828.794 | 100.000 |
Garnett A. Smith | ||
Affirmative | 9,276,917,476.273 | 96.508 |
Withheld | 335,653,352.521 | 3.492 |
TOTAL | 9,612,570,828.794 | 100.000 |
# of Votes | % of Votes | |
David M. Thomas | ||
Affirmative | 9,285,446,239.314 | 96.597 |
Withheld | 327,124,589.481 | 3.403 |
TOTAL | 9,612,570,828.794 | 100.000 |
Susan Tomasky | ||
Affirmative | 9,307,387,519.373 | 96.825 |
Withheld | 305,183,309.422 | 3.175 |
TOTAL | 9,612,570,828.794 | 100.000 |
Michael E. Wiley | ||
Affirmative | 9,279,381,945.378 | 96.534 |
Withheld | 333,188,883.417 | 3.466 |
TOTAL | 9,612,570,828.794 | 100.000 |
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![](https://capedge.com/proxy/N-CSR/0001193125-20-249914/g929827imgcb0c15442.jpg)
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Item 2. | Code of Ethics |
As of the end of the period, July 31, 2020, 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 Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Mauriello 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 Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity MSCI Communication Services Index ETF, Fidelity MSCI Consumer Discretionary Index ETF, Fidelity MSCI Consumer Staples Index ETF, Fidelity MSCI Energy Index ETF, Fidelity MSCI Financials Index ETF, Fidelity MSCI Health Care Index ETF, Fidelity MSCI Industrials Index ETF, Fidelity MSCI Information Technology Index ETF, Fidelity MSCI Materials Index ETF, Fidelity MSCI Real Estate Index ETF, Fidelity MSCI Utilities Index ETF and Fidelity Stocks for Inflation ETF (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2020 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity MSCI Communication Services Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Materials Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 13,300 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity Stocks for Inflation ETF | $ | 11,200 | $ | — | $ | 3,500 | $ | 200 |
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July 31, 2019 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity MSCI Communication Services Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Materials Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 15,000 | $ | — | $ | 2,500 | $ | 200 | ||||||||
Fidelity Stocks for Inflation ETF | $ | — | $ | — | $ | — | $ | — |
A | Amounts may reflect rounding. |
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B | Fidelity Stocks for Inflation ETF commenced operations on November 5, 2019. |
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF, Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity New Millennium ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Factor ETF and Fidelity Value Factor ETF (the “Funds”):
Services Billed by PwC
July 31, 2020 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Blue Chip Growth ETF | $ | 10,000 | $ | — | $ | 4,500 | $ | — | ||||||||
Fidelity Blue Chip Value ETF | $ | 10,000 | $ | — | $ | 4,500 | $ | — | ||||||||
Fidelity Dividend ETF for Rising Rates | $ | 12,100 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity High Dividend ETF | $ | 12,100 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Low Volatility Factor ETF | $ | 11,800 | $ | — | $ | 4,300 | $ | 500 | ||||||||
Fidelity Momentum Factor ETF | $ | 11,800 | $ | — | $ | 4,300 | $ | 500 | ||||||||
Fidelity New Millennium ETF | $ | 10,000 | $ | — | $ | 4,500 | $ | — | ||||||||
Fidelity Quality Factor ETF | $ | 11,800 | $ | — | $ | 4,300 | $ | 500 | ||||||||
Fidelity Small-Mid Factor ETF | $ | 14,500 | $ | — | $ | 4,800 | $ | 600 | ||||||||
Fidelity Value Factor ETF | $ | 11,800 | $ | — | $ | 4,300 | $ | 500 |
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July 31, 2019 FeesA,B,C
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Blue Chip Growth ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Blue Chip Value ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Dividend ETF for Rising Rates | $ | 16,000 | $ | — | $ | 2,000 | $ | 600 | ||||||||
Fidelity High Dividend ETF | $ | 16,000 | $ | — | $ | 2,000 | $ | 600 | ||||||||
Fidelity Low Volatility Factor ETF | $ | 16,000 | $ | — | $ | 1,800 | $ | 600 | ||||||||
Fidelity Momentum Factor ETF | $ | 16,000 | $ | — | $ | 1,800 | $ | 600 | ||||||||
Fidelity New Millennium ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Quality Factor ETF | $ | 16,000 | $ | — | $ | 1,800 | $ | 600 | ||||||||
Fidelity Small-Mid Factor ETF | $ | 11,000 | $ | — | $ | 2,300 | $ | 200 | ||||||||
Fidelity Value Factor ETF | $ | 16,000 | $ | — | $ | 1,800 | $ | 600 |
A | Amounts may reflect rounding. |
B | Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF and Fidelity New Millennium ETF commenced operations on June 2, 2020. |
C | Fidelity Small-Mid Factor ETF commenced operations on February 26, 2019. |
The following table(s) present(s) fees billed by Deloitte Entities and 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 Deloitte Entities
July 31, 2020A,B | July 31, 2019A,B | |||||||
Audit-Related Fees | $ | — | $ | 290,000 | ||||
Tax Fees | $ | 3,000 | $ | — | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Stocks for Inflation ETF’s commencement of operations. |
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Services Billed by PwC
July 31, 2020A,B | July 31, 2019A,B,C | |||||||
Audit-Related Fees | $ | 9,030,200 | $ | 7,890,000 | ||||
Tax Fees | $ | 20,800 | $ | 10,000 | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF and Fidelity New Millennium ETF’s commencement of operations. |
C | May include amounts billed prior to the Fidelity Small-Mid Factor 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 Deloitte Entities and 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 | July 31, 2020A,B | July 31, 2019A,B,C | ||||||
Deloitte Entities | $ | 550,100 | $ | 730,000 | ||||
PwC | $ | 14,346,700 | $ | 12,385,000 |
A | Amounts may reflect rounding. |
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B | May include amounts billed prior to the Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF, Fidelity New Millennium ETF and Fidelity Stocks for Inflation ETF’s commencement of operations. |
C | May include amounts billed prior to the Fidelity Small-Mid Factor ETF’s commencement of operations. |
The trust’s Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and 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”)
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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).
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 July 31, 2020, the members of the Audit Committee were Joseph Mauriello, Don Donahue, Pat Kampling, Alan Lacy, Garnett Smith 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.
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(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
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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 | ||
Date: | September 21, 2020 |
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 | ||
Date: | September 21, 2020 | |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | September 21, 2020 |