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, 2021
Item 1. | Reports to Stockholders |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Communication Services Index ETF – NAVA | 45.81 | 14.35 | 13.42 |
Fidelity MSCI Communication Services Index ETF – Market PriceB | 45.90 | 14.34 | 13.42 |
MSCI USA IMI Communication Services 25/50 IndexA | 45.94 | 14.48 | 13.50 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Facebook, Inc. Class A | 17.2 |
Alphabet, Inc. Class A | 12.3 |
Alphabet, Inc. Class C | 12.1 |
The Walt Disney Co. | 5.7 |
Comcast Corp. Class A | 4.4 |
Netflix, Inc. | 4.4 |
Verizon Communications, Inc. | 4.0 |
AT&T, Inc. | 3.7 |
Charter Communications, Inc. Class A | 2.6 |
T-Mobile US, Inc. | 2.1 |
68.5 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Consumer Discretionary Index ETF – NAVA | 42.95 | 21.88 | 17.62 |
Fidelity MSCI Consumer Discretionary Index ETF – Market PriceB | 42.93 | 21.89 | 17.50 |
Fidelity MSCI Consumer Discretionary Index ETF Capped Linked IndexA | 42.31 | 21.82 | 17.64 |
MSCI USA IMI Consumer Discretionary IndexA | 39.29 | 21.30 | 17.32 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Amazon.com, Inc. | 21.9 |
Tesla, Inc. | 9.3 |
The Home Depot, Inc. | 6.5 |
NIKE, Inc. Class B | 3.9 |
McDonald's Corp. | 3.3 |
Starbucks Corp. | 2.6 |
Lowe's Cos., Inc. | 2.6 |
Target Corp. | 2.4 |
Booking Holdings, Inc. | 1.7 |
The TJX Cos., Inc. | 1.6 |
55.8 |
Annual Report | 10 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Consumer Staples Index ETF – NAVA | 19.09 | 8.54 | 10.15 |
Fidelity MSCI Consumer Staples Index ETF – Market PriceB | 19.12 | 8.55 | 9.97 |
Fidelity MSCI Consumer Staples Index ETF Capped Linked IndexA | 19.21 | 8.68 | 10.30 |
MSCI USA IMI Consumer Staples IndexA | 18.93 | 8.63 | 10.27 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
11 | Annual Report |
Annual Report | 12 |
% of fund's net assets | |
The Procter & Gamble Co. | 14.2 |
The Coca-Cola Co. | 9.1 |
PepsiCo, Inc. | 8.5 |
Walmart, Inc. | 8.3 |
Costco Wholesale Corp. | 7.0 |
Philip Morris International, Inc. | 4.6 |
Mondelez International, Inc. Class A | 3.8 |
Altria Group, Inc. | 3.5 |
The Estee Lauder Cos., Inc. Class A | 3.2 |
Colgate-Palmolive Co. | 2.7 |
64.9 |
13 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Energy Index ETF – NAVA | 48.79 | -2.76 | -4.43 |
Fidelity MSCI Energy Index ETF – Market PriceB | 48.67 | -2.74 | -4.40 |
Fidelity MSCI Energy Index ETF Capped Linked IndexA | 48.97 | -2.69 | -4.35 |
MSCI USA IMI Energy IndexA | 48.84 | -2.71 | -4.36 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
Annual Report | 14 |
15 | Annual Report |
% of fund's net assets | |
Exxon Mobil Corp. | 21.7 |
Chevron Corp. | 17.5 |
ConocoPhillips | 6.7 |
EOG Resources, Inc. | 3.8 |
Schlumberger N.V. | 3.6 |
Marathon Petroleum Corp. | 3.2 |
Kinder Morgan, Inc. | 3.1 |
Phillips 66 | 2.9 |
The Williams Cos., Inc. | 2.7 |
Pioneer Natural Resources Co. | 2.7 |
67.9 |
Annual Report | 16 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Financials Index ETF – NAVA | 56.15 | 15.25 | 12.30 |
Fidelity MSCI Financials Index ETF – Market PriceB | 56.34 | 15.26 | 12.35 |
Fidelity MSCI Financials Index ETF Capped Linked IndexA | 56.25 | 15.38 | 12.42 |
MSCI USA IMI Financials IndexA | 56.25 | 15.38 | 12.42 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
17 | Annual Report |
Annual Report | 18 |
% of fund's net assets | |
JPMorgan Chase & Co. | 9.3 |
Berkshire Hathaway, Inc. Class B | 7.6 |
Bank of America Corp. | 6.0 |
Wells Fargo & Co. | 3.8 |
Citigroup, Inc. | 2.8 |
Morgan Stanley | 2.7 |
BlackRock, Inc. | 2.6 |
The Goldman Sachs Group, Inc. | 2.6 |
American Express Co. | 2.3 |
S&P Global, Inc. | 2.1 |
41.8 |
19 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Health Care Index ETF – NAVA | 27.91 | 14.91 | 15.06 |
Fidelity MSCI Health Care Index ETF – Market PriceB | 28.05 | 14.95 | 14.96 |
Fidelity MSCI Health Care Index ETF Capped Linked IndexA | 28.03 | 15.02 | 15.19 |
MSCI USA IMI Health Care IndexA | 28.03 | 15.02 | 15.19 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
Annual Report | 20 |
21 | Annual Report |
% of fund's net assets | |
Johnson & Johnson | 7.4 |
UnitedHealth Group, Inc. | 6.4 |
Pfizer, Inc. | 3.9 |
Abbott Laboratories | 3.5 |
Thermo Fisher Scientific, Inc. | 3.5 |
AbbVie, Inc. | 3.4 |
Eli Lilly & Co. | 3.3 |
Merck & Co., Inc. | 3.2 |
Danaher Corp. | 3.1 |
Medtronic PLC | 2.9 |
40.6 |
Annual Report | 22 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Industrials Index ETF – NAVA | 47.17 | 14.58 | 12.34 |
Fidelity MSCI Industrials Index ETF – Market PriceB | 47.30 | 14.55 | 12.18 |
Fidelity MSCI Industrials Index ETF Capped Linked IndexA | 47.32 | 14.69 | 12.46 |
MSCI USA IMI Industrials IndexA | 47.32 | 14.69 | 12.46 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
23 | Annual Report |
Annual Report | 24 |
% of fund's net assets | |
Honeywell International, Inc. | 4.0 |
Union Pacific Corp. | 3.6 |
United Parcel Service, Inc. Class B | 3.3 |
Raytheon Technologies Corp. | 3.2 |
The Boeing Co. | 3.0 |
3M Co. | 2.8 |
General Electric Co. | 2.8 |
Caterpillar, Inc. | 2.7 |
Deere & Co. | 2.6 |
Lockheed Martin Corp. | 2.3 |
30.3 |
25 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Information Technology Index ETF – NAVA | 40.57 | 29.77 | 23.84 |
Fidelity MSCI Information Technology Index ETF – Market PriceB | 40.67 | 29.76 | 23.95 |
Fidelity MSCI Information Technology Index ETF Capped Linked IndexA | 40.70 | 29.90 | 23.97 |
MSCI USA IMI Information Technology IndexA | 40.70 | 29.90 | 23.97 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
Annual Report | 26 |
27 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 20.1 |
Microsoft Corp. | 16.8 |
NVIDIA Corp. | 4.0 |
Visa, Inc. Class A | 3.4 |
Mastercard, Inc. Class A | 2.8 |
PayPal Holdings, Inc. | 2.5 |
Adobe, Inc. | 2.5 |
Salesforce.com, Inc. | 1.9 |
Cisco Systems, Inc. | 1.9 |
Intel Corp. | 1.8 |
57.7 |
Annual Report | 28 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Materials Index ETF – NAVA | 45.01 | 13.24 | 10.51 |
Fidelity MSCI Materials Index ETF – Market PriceB | 45.22 | 13.24 | 10.35 |
Fidelity MSCI Materials Index ETF Capped Linked IndexA | 44.82 | 13.28 | 10.56 |
MSCI USA IMI Materials IndexA | 44.82 | 13.28 | 10.56 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
29 | Annual Report |
Annual Report | 30 |
% of fund's net assets | |
Linde PLC | 12.7 |
The Sherwin-Williams Co. | 5.9 |
Air Products & Chemicals, Inc. | 5.1 |
Ecolab, Inc. | 4.5 |
Freeport-McMoRan, Inc. | 4.4 |
Newmont Corp. | 4.0 |
Dow, Inc. | 3.6 |
DuPont de Nemours, Inc. | 3.2 |
PPG Industries, Inc. | 3.0 |
International Flavors & Fragrances, Inc. | 3.0 |
49.4 |
31 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Real Estate Index ETF – NAVA | 35.58 | 8.40 | 8.38 |
Fidelity MSCI Real Estate Index ETF – Market PriceB | 35.63 | 8.38 | 8.14 |
Fidelity MSCI Real Estate Index ETF Capped Linked IndexA | 35.89 | 8.54 | 8.50 |
MSCI USA IMI Real Estate IndexA | 35.61 | 8.49 | 8.46 |
S&P 500 IndexA | 36.45 | 17.35 | 14.95 |
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. |
Annual Report | 32 |
33 | Annual Report |
% of fund's net assets | |
American Tower Corp. | 8.1 |
Prologis, Inc. | 6.1 |
Crown Castle International Corp. | 5.1 |
Equinix, Inc. | 4.2 |
Public Storage | 3.3 |
Simon Property Group, Inc. | 2.7 |
Digital Realty Trust, Inc. | 2.7 |
SBA Communications Corp. | 2.5 |
Welltower, Inc. | 2.4 |
CBRE Group, Inc. Class A | 2.1 |
39.2 |
Annual Report | 34 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of fund |
Fidelity MSCI Utilities Index ETF – NAVA | 12.46 | 8.28 | 10.73 |
Fidelity MSCI Utilities Index ETF – Market PriceB | 12.44 | 8.27 | 10.61 |
Fidelity MSCI Utilities Index ETF Capped Linked IndexA | 12.56 | 8.42 | 10.88 |
MSCI USA IMI Utilities IndexA | 12.56 | 8.42 | 10.88 |
S&P 500 IndexA | 36.45 | 17.35 | 14.86 |
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. |
35 | Annual Report |
Annual Report | 36 |
% of fund's net assets | |
NextEra Energy, Inc. | 14.3 |
Duke Energy Corp. | 7.5 |
The Southern Co. | 6.3 |
Dominion Energy, Inc. | 5.6 |
Exelon Corp. | 4.3 |
American Electric Power Co., Inc. | 4.1 |
Sempra Energy | 3.9 |
Xcel Energy, Inc. | 3.4 |
Public Service Enterprise Group, Inc. | 2.9 |
American Water Works Co., Inc. | 2.9 |
55.2 |
37 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
DIVERSIFIED TELECOMMUNICATION SERVICES – 10.6% | ||
Alternative Carriers – 2.7% | ||
Anterix, Inc. (a) | 9,089 | $ 530,070 |
Bandwidth, Inc. Class A (a) | 16,632 | 2,156,505 |
Cogent Communications Holdings, Inc. | 33,774 | 2,621,200 |
Globalstar, Inc. (a) | 534,727 | 737,923 |
Iridium Communications, Inc. (a) | 86,586 | 3,656,527 |
Liberty Global PLC Class A (a) | 118,212 | 3,173,992 |
Liberty Global PLC Class C (a) | 160,082 | 4,299,803 |
Liberty Latin America Ltd. Class A (a) | 37,078 | 506,115 |
Liberty Latin America Ltd. Class C (a) | 122,035 | 1,687,744 |
Lumen Technologies, Inc. | 374,304 | 4,667,571 |
ORBCOMM, Inc. (a) | 60,106 | 678,597 |
24,716,047 | ||
Integrated Telecommunication Services – 7.9% | ||
AT&T, Inc. | 1,214,542 | 34,067,903 |
ATN International, Inc. | 8,922 | 384,092 |
Cincinnati Bell, Inc. (a) | 30,052 | 460,998 |
Consolidated Communications Holdings, Inc. (a) | 57,113 | 439,199 |
Radius Global Infrastructure, Inc. (a) | 46,323 | 710,132 |
Verizon Communications, Inc. | 657,576 | 36,679,589 |
72,741,913 | ||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 97,457,960 | |
ENTERTAINMENT – 18.1% | ||
Interactive Home Entertainment – 4.0% | ||
Activision Blizzard, Inc. | 178,352 | 14,913,794 |
Electronic Arts, Inc. | 73,944 | 10,644,978 |
Skillz, Inc. (a) | 73,719 | 1,037,964 |
Take-Two Interactive Software, Inc. (a) | 35,607 | 6,174,966 |
Zynga, Inc. Class A (a) | 397,282 | 4,012,548 |
36,784,250 | ||
Movies & Entertainment – 14.1% | ||
AMC Entertainment Holdings, Inc. Class A (a) | 135,941 | 5,032,536 |
Cinemark Holdings, Inc. (a) | 80,012 | 1,242,586 |
CuriosityStream, Inc. (a) | 23,023 | 253,023 |
IMAX Corp. (a) | 39,657 | 640,064 |
Liberty Media Corp-Liberty Braves Class A (a) | 6,397 | 169,776 |
Liberty Media Corp-Liberty Braves Class C (a) | 30,048 | 794,770 |
Liberty Media Corp-Liberty Formula One Class C (a) | 89,716 | 4,210,372 |
Lions Gate Entertainment Corp. Class A (a) | 46,493 | 698,790 |
Lions Gate Entertainment Corp. Class B (a) | 93,209 | 1,245,272 |
| ||
Shares | Value | |
Live Nation Entertainment, Inc. (a) | 61,251 | $ 4,832,091 |
Madison Square Garden Entertainment Corp. (a) | 18,737 | 1,310,841 |
Madison Square Garden Sports Corp. Class A (a) | 11,700 | 1,904,058 |
Netflix, Inc. (a) | 77,923 | 40,330,607 |
Roku, Inc. (a) | 28,121 | 12,044,506 |
The Marcus Corp. (a) | 16,830 | 270,458 |
The Walt Disney Co. (a) | 297,124 | 52,299,766 |
World Wrestling Entertainment, Inc. Class A | 37,091 | 1,831,554 |
129,111,070 | ||
TOTAL ENTERTAINMENT | 165,895,320 | |
INTERACTIVE MEDIA & SERVICES – 50.3% | ||
Interactive Media & Services – 50.3% | ||
Alphabet, Inc. Class A (a) | 41,788 | 112,599,020 |
Alphabet, Inc. Class C (a) | 40,858 | 110,497,192 |
Angi, Inc. (a) | 52,634 | 605,817 |
Bumble, Inc. Class A (a) | 32,185 | 1,637,573 |
Cargurus, Inc. (a) | 62,218 | 1,779,435 |
Cars.com, Inc. (a) | 53,907 | 651,196 |
Eventbrite, Inc. Class A (a) | 51,393 | 913,254 |
EverQuote, Inc. Class A (a) | 12,027 | 362,975 |
Facebook, Inc. Class A (a) | 443,694 | 158,088,172 |
fuboTV, Inc. (a) | 38,644 | 1,006,290 |
IAC/InterActive Corp. (a) | 25,398 | 3,486,891 |
Match Group, Inc. (a) | 66,595 | 10,606,586 |
MediaAlpha, Inc. Class A (a) | 12,209 | 407,781 |
Pinterest, Inc. Class A (a) | 133,634 | 7,871,043 |
QuinStreet, Inc. (a) | 40,191 | 737,103 |
Snap, Inc. Class A (a) | 223,597 | 16,640,089 |
TripAdvisor, Inc. (a) | 76,725 | 2,911,714 |
TrueCar, Inc. (a) | 74,494 | 391,838 |
Twitter, Inc. (a) | 193,252 | 13,479,327 |
Vimeo, Inc. (a) | 41,618 | 1,864,486 |
Yelp, Inc. (a) | 58,810 | 2,199,494 |
Zillow Group, Inc. Class A (a) | 29,181 | 3,126,160 |
Zillow Group, Inc. Class C (a) | 47,128 | 5,007,821 |
ZoomInfo Technologies, Inc. Class A (a) | 65,836 | 3,538,685 |
TOTAL INTERACTIVE MEDIA & SERVICES | 460,409,942 | |
MEDIA – 18.2% | ||
Advertising – 2.2% | ||
Advantage Solutions, Inc. (a) | 50,732 | 496,159 |
Boston Omaha Corp. Class A (a) | 12,586 | 411,688 |
Cardlytics, Inc. (a) | 25,239 | 3,179,105 |
Clear Channel Outdoor Holdings, Inc. (a) | 261,782 | 696,340 |
Magnite, Inc. (a) | 84,703 | 2,566,501 |
Annual Report | 38 |
Common Stocks – continued | ||
Shares | Value | |
MEDIA – continued | ||
Advertising – continued | ||
Omnicom Group, Inc. | 75,512 | $ 5,498,784 |
TechTarget, Inc. (a) | 19,110 | 1,396,559 |
The Interpublic Group of Cos., Inc. | 166,548 | 5,889,137 |
20,134,273 | ||
Broadcasting – 3.8% | ||
AMC Networks, Inc. Class A (a) | 21,279 | 1,064,801 |
Discovery, Inc. Class A (a) | 95,486 | 2,770,049 |
Discovery, Inc. Class C (a) | 135,731 | 3,679,667 |
Entercom Communications Corp. (a) | 98,238 | 350,710 |
Fox Corp. Class A | 130,579 | 4,656,447 |
Fox Corp. Class B | 98,147 | 3,262,406 |
Gray Television, Inc. | 63,084 | 1,398,572 |
Hemisphere Media Group, Inc. (a) | 12,095 | 153,727 |
iHeartMedia, Inc. Class A (a) | 59,549 | 1,539,342 |
Nexstar Media Group, Inc. Class A | 26,077 | 3,835,144 |
Sinclair Broadcast Group, Inc. Class A | 35,610 | 1,007,407 |
TEGNA, Inc. | 160,434 | 2,842,891 |
The E.W. Scripps Co. Class A | 41,472 | 791,286 |
ViacomCBS, Inc. Class B | 172,236 | 7,049,620 |
34,402,069 | ||
Cable & Satellite – 10.9% | ||
Altice USA, Inc. Class A (a) | 111,289 | 3,419,911 |
Cable One, Inc. | 2,201 | 4,155,466 |
Charter Communications, Inc. Class A (a) | 31,806 | 23,665,254 |
Comcast Corp. Class A | 687,046 | 40,418,916 |
DISH Network Corp. Class A (a) | 112,488 | 4,712,122 |
Liberty Broadband Corp. Class A (a) | 19,743 | 3,389,281 |
Liberty Broadband Corp. Class C (a) | 46,659 | 8,281,506 |
Liberty Media Corp-Liberty SiriusXM Class A (a) | 67,740 | 3,162,781 |
Liberty Media Corp-Liberty SiriusXM Class C (a) | 85,951 | 3,970,936 |
Loral Space & Communications Ltd. | 8,584 | 303,788 |
Sirius XM Holdings, Inc. | 575,200 | 3,721,544 |
WideOpenWest, Inc. (a) | 41,708 | 927,586 |
100,129,091 |
| ||
Shares | Value | |
Publishing – 1.3% | ||
Gannett Co., Inc. (a) | 105,193 | $ 606,964 |
John Wiley & Sons, Inc. Class A | 35,421 | 2,082,046 |
Meredith Corp. (a) | 32,177 | 1,404,204 |
News Corp. Class A | 170,387 | 4,196,632 |
Scholastic Corp. | 20,674 | 694,853 |
The New York Times Co. Class A | 74,731 | 3,271,723 |
12,256,422 | ||
TOTAL MEDIA | 166,921,855 | |
WIRELESS TELECOMMUNICATION SERVICES – 2.5% | ||
Wireless Telecommunication Services – 2.5% | ||
Gogo, Inc. (a) | 33,782 | 350,319 |
Shenandoah Telecommunications Co. | 37,604 | 1,985,115 |
Telephone & Data Systems, Inc. | 76,494 | 1,709,641 |
T-Mobile US, Inc. (a) | 130,775 | 18,834,215 |
United States Cellular Corp. (a) | 10,621 | 386,180 |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 23,265,470 | |
TOTAL COMMON STOCKS (Cost $668,586,313) | 913,950,547 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,408,000) | 1,408,000 | 1,408,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $669,994,313) | 915,358,547 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,016,737 | |
NET ASSETS – 100.0% | $ 916,375,284 |
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 Communication Service Select Sector Index Contracts (United States) | 20 | September 2021 | $2,154,250 | $52,480 | $52,480 |
39 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 913,950,547 | $ 913,950,547 | $ — | $ — | |||||
Money Market Funds | 1,408,000 | 1,408,000 | — | — | |||||
Total Investments in Securities: | $ 915,358,547 | $ 915,358,547 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 52,480 | $ 52,480 | $ — | $ — | |||||
Total Assets | $ 52,480 | $ 52,480 | $ — | $ — | |||||
Total Derivative Instruments: | $ 52,480 | $ 52,480 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $52,480 | $0 | |
Total Equity Risk | 52,480 | 0 | |
Total Value of Derivatives | $52,480 | $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). |
Annual Report | 40 |
Common Stocks – 99.8% | ||
Shares | Value | |
AUTO COMPONENTS – 2.8% | ||
Auto Parts & Equipment – 2.7% | ||
Adient PLC (a) | 36,897 | $ 1,554,471 |
American Axle & Manufacturing Holdings, Inc. (a) | 75,601 | 732,574 |
Aptiv PLC (a) | 83,730 | 13,970,350 |
Autoliv, Inc. | 29,354 | 2,961,232 |
BorgWarner, Inc. | 82,336 | 4,032,817 |
Dana, Inc. | 60,631 | 1,464,845 |
Dorman Products, Inc. (a) | 12,345 | 1,248,697 |
Fox Factory Holding Corp. (a) | 15,652 | 2,528,424 |
Gentex Corp. | 85,335 | 2,903,950 |
Gentherm, Inc. (a) | 15,550 | 1,289,562 |
LCI Industries | 10,390 | 1,515,070 |
Lear Corp. | 19,677 | 3,443,081 |
Luminar Technologies, Inc. (a) | 2,551 | 46,938 |
Modine Manufacturing Co. (a) | 3,330 | 55,711 |
Patrick Industries, Inc. | 1,111 | 91,802 |
Standard Motor Products, Inc. | 15,562 | 649,869 |
Stoneridge, Inc. (a) | 21,308 | 616,867 |
Tenneco, Inc. Class A (a) | 55,352 | 963,678 |
Veoneer, Inc. (a) | 45,123 | 1,413,252 |
Visteon Corp. (a) | 11,255 | 1,283,633 |
XL Fleet Corp. (a) | 9,085 | 63,413 |
XPEL, Inc. (a) | 1,828 | 169,273 |
42,999,509 | ||
Tires & Rubber – 0.1% | ||
The Goodyear Tire & Rubber Co. (a) | 116,531 | 1,830,702 |
TOTAL AUTO COMPONENTS | 44,830,211 | |
AUTOMOBILES – 12.1% | ||
Automobile Manufacturers – 11.9% | ||
Canoo, Inc. (a) | 7,497 | 60,951 |
Fisker, Inc. (a) | 5,048 | 81,374 |
Ford Motor Co. (a) | 1,208,922 | 16,864,462 |
General Motors Co. (a) | 394,517 | 22,424,346 |
Lordstown Motors Corp. Class A (a) | 6,737 | 42,039 |
Tesla, Inc. (a) | 220,583 | 151,584,638 |
Thor Industries, Inc. | 20,065 | 2,374,893 |
Winnebago Industries, Inc. | 15,394 | 1,106,367 |
Workhorse Group, Inc. (a) | 7,245 | 83,607 |
194,622,677 | ||
Motorcycle Manufacturers – 0.2% | ||
Harley-Davidson, Inc. | 56,084 | 2,222,048 |
TOTAL AUTOMOBILES | 196,844,725 | |
DISTRIBUTORS – 1.1% | ||
Distributors – 1.1% | ||
Core-Mark Holding Co., Inc. | 24,082 | 1,036,489 |
Funko, Inc. Class A (a) | 2,240 | 41,799 |
| ||
Shares | Value | |
Genuine Parts Co. | 47,333 | $ 6,007,504 |
LKQ Corp. (a) | 97,538 | 4,950,054 |
Pool Corp. | 13,165 | 6,290,500 |
TOTAL DISTRIBUTORS | 18,326,346 | |
DIVERSIFIED CONSUMER SERVICES – 1.6% | ||
Education Services – 0.9% | ||
2U, Inc. (a) | 2,423 | 105,158 |
Adtalem Global Education, Inc. (a) | 26,061 | 947,057 |
American Public Education, Inc. (a) | 18,813 | 557,241 |
Bright Horizons Family Solutions, Inc. (a) | 20,499 | 3,064,601 |
Chegg, Inc. (a) | 41,869 | 3,710,849 |
Graham Holdings Co. Class B | 1,915 | 1,272,824 |
Grand Canyon Education, Inc. (a) | 17,917 | 1,654,993 |
Houghton Mifflin Harcourt Co. (a) | 5,987 | 67,773 |
Laureate Education, Inc. Class A (a) | 57,439 | 850,672 |
Perdoceo Education Corp. (a) | 48,074 | 570,158 |
Strategic Education, Inc. | 10,398 | 824,457 |
Stride, Inc. (a) | 26,871 | 823,865 |
14,449,648 | ||
Specialized Consumer Services – 0.7% | ||
Carriage Services, Inc. | 16,627 | 618,192 |
Frontdoor, Inc. (a) | 32,810 | 1,605,721 |
H&R Block, Inc. | 76,936 | 1,888,779 |
OneSpaWorld Holdings Ltd. (a) | 70,473 | 696,273 |
Service Corp. International | 60,103 | 3,755,836 |
Terminix Global Holdings, Inc. (a) | 47,804 | 2,509,710 |
Vivint Smart Home, Inc. (a) | 4,337 | 53,215 |
WW International, Inc. (a) | 28,467 | 875,076 |
12,002,802 | ||
TOTAL DIVERSIFIED CONSUMER SERVICES | 26,452,450 | |
HOTELS, RESTAURANTS & LEISURE – 17.3% | ||
Casinos & Gaming – 2.0% | ||
Accel Entertainment, Inc. (a) | 52,216 | 577,509 |
Bally's Corp. (a) | 17,676 | 870,543 |
Boyd Gaming Corp. (a) | 32,198 | 1,835,286 |
Caesars Entertainment, Inc. (a) | 59,308 | 5,181,147 |
Churchill Downs, Inc. | 12,602 | 2,341,452 |
DraftKings, Inc. Class A (a) | 1,595 | 77,357 |
Everi Holdings, Inc. (a) | 53,568 | 1,215,458 |
GAN Ltd. (a) | 3,490 | 53,397 |
Golden Entertainment, Inc. (a) | 1,376 | 62,622 |
Las Vegas Sands Corp. (a) | 110,412 | 4,675,948 |
MGM Resorts International | 133,081 | 4,994,530 |
Monarch Casino & Resort, Inc. (a) | 10,592 | 676,299 |
Penn National Gaming, Inc. (a) | 50,280 | 3,438,146 |
Red Rock Resorts, Inc. Class A (a) | 32,743 | 1,290,074 |
Rush Street Interactive, Inc. (a) | 4,710 | 46,394 |
41 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HOTELS, RESTAURANTS & LEISURE – continued | ||
Casinos & Gaming – continued | ||
Scientific Games Corp. Class A (a) | 25,669 | $1,584,034 |
Wynn Resorts Ltd. (a) | 34,345 | 3,377,144 |
32,297,340 | ||
Hotels, Resorts & Cruise Lines – 5.1% | ||
Airbnb, Inc. Class A (a) | 524 | 75,461 |
Booking Holdings, Inc. (a) | 12,460 | 27,141,120 |
Carnival Corp. (a) | 227,511 | 4,925,613 |
Choice Hotels International, Inc. | 14,531 | 1,742,267 |
Expedia Group, Inc. (a) | 43,608 | 7,015,219 |
Hilton Grand Vacations, Inc. (a) | 34,833 | 1,416,658 |
Hilton Worldwide Holdings, Inc. (a) | 86,919 | 11,425,503 |
Hyatt Hotels Corp. Class A (a) | 1,113 | 88,895 |
Lindblad Expeditions Holdings, Inc. (a) | 30,080 | 411,795 |
Marriott International, Inc. Class A (a) | 85,919 | 12,542,456 |
Marriott Vacations Worldwide Corp. (a) | 14,942 | 2,202,003 |
Norwegian Cruise Line Holdings Ltd. (a) | 119,371 | 2,868,485 |
Playa Hotels & Resorts N.V. (a) | 92,693 | 620,116 |
Royal Caribbean Cruises Ltd. (a) | 72,812 | 5,597,058 |
Travel + Leisure Co. | 33,335 | 1,726,753 |
Wyndham Hotels & Resorts, Inc. | 34,252 | 2,468,199 |
82,267,601 | ||
Leisure Facilities – 0.5% | ||
Planet Fitness, Inc. Class A (a) | 29,404 | 2,212,063 |
SeaWorld Entertainment, Inc. (a) | 23,794 | 1,128,073 |
Six Flags Entertainment Corp. (a) | 32,460 | 1,348,713 |
Vail Resorts, Inc. (a) | 13,483 | 4,115,012 |
8,803,861 | ||
Restaurants – 9.7% | ||
Aramark | 79,461 | 2,791,465 |
BJ's Restaurants, Inc. (a) | 14,244 | 578,022 |
Bloomin' Brands, Inc. (a) | 38,155 | 958,835 |
Brinker International, Inc. (a) | 19,715 | 1,071,313 |
Chipotle Mexican Grill, Inc. (a) | 8,178 | 15,239,212 |
Chuys Holdings, Inc. (a) | 1,312 | 43,296 |
Cracker Barrel Old Country Store, Inc. | 9,414 | 1,281,999 |
Darden Restaurants, Inc. | 42,313 | 6,172,620 |
Dave & Buster's Entertainment, Inc. (a) | 22,918 | 762,711 |
Denny's Corp. (a) | 43,859 | 617,096 |
Dine Brands Global, Inc. (a) | 9,628 | 745,881 |
Domino's Pizza, Inc. | 12,591 | 6,616,445 |
El Pollo Loco Holdings, Inc. (a) | 22,838 | 425,015 |
Jack in the Box, Inc. | 10,251 | 1,115,924 |
McDonald's Corp. | 224,515 | 54,492,036 |
Papa John's International, Inc. | 12,859 | 1,467,469 |
| ||
Shares | Value | |
Ruth's Hospitality Group, Inc. (a) | 28,362 | $ 566,389 |
Shake Shack, Inc. Class A (a) | 13,649 | 1,372,270 |
Starbucks Corp. | 354,049 | 42,992,170 |
Texas Roadhouse, Inc. | 24,578 | 2,265,354 |
The Cheesecake Factory, Inc. (a) | 20,900 | 945,934 |
The Wendy's Co. | 75,090 | 1,742,839 |
Wingstop, Inc. | 11,350 | 1,944,369 |
Yum! Brands, Inc. | 93,483 | 12,282,731 |
158,491,395 | ||
TOTAL HOTELS, RESTAURANTS & LEISURE | 281,860,197 | |
HOUSEHOLD DURABLES – 5.1% | ||
Consumer Electronics – 0.6% | ||
Garmin Ltd. | 46,178 | 7,259,181 |
GoPro, Inc. Class A (a) | 75,419 | 772,290 |
Sonos, Inc. (a) | 38,250 | 1,276,785 |
Universal Electronics, Inc. (a) | 11,259 | 526,246 |
Vuzix Corp. (a) | 3,627 | 53,680 |
9,888,182 | ||
Home Furnishings – 0.7% | ||
Ethan Allen Interiors, Inc. | 22,670 | 538,866 |
La-Z-Boy, Inc. | 23,623 | 793,260 |
Leggett & Platt, Inc. | 49,274 | 2,366,630 |
Mohawk Industries, Inc. (a) | 20,427 | 3,981,222 |
Purple Innovation, Inc. (a) | 3,117 | 82,102 |
Tempur Sealy International, Inc. | 67,878 | 2,937,081 |
The Lovesac Co. (a) | 2,427 | 147,319 |
10,846,480 | ||
Homebuilding – 3.1% | ||
Cavco Industries, Inc. (a) | 4,371 | 1,027,185 |
Century Communities, Inc. | 15,607 | 1,083,906 |
D.R. Horton, Inc. | 109,128 | 10,414,085 |
Green Brick Partners, Inc. (a) | 27,522 | 689,977 |
Hovnanian Enterprises, Inc. (a) | 460 | 48,019 |
Installed Building Products, Inc. | 10,446 | 1,253,520 |
KB Home | 33,947 | 1,440,711 |
Lennar Corp. Class A | 87,262 | 9,175,599 |
LGI Homes, Inc. (a) | 9,116 | 1,557,924 |
M.D.C. Holdings, Inc. | 25,386 | 1,353,582 |
M/I Homes, Inc. (a) | 16,228 | 1,050,114 |
Meritage Homes Corp. (a) | 16,003 | 1,737,606 |
NVR, Inc. (a) | 1,151 | 6,011,213 |
PulteGroup, Inc. | 89,373 | 4,903,896 |
Skyline Champion Corp. (a) | 24,787 | 1,397,987 |
Taylor Morrison Home Corp. (a) | 51,343 | 1,377,019 |
Toll Brothers, Inc. | 43,711 | 2,590,751 |
TopBuild Corp. (a) | 11,796 | 2,390,931 |
Tri Pointe Homes, Inc. (a) | 58,147 | 1,402,506 |
50,906,531 |
Annual Report | 42 |
Common Stocks – continued | ||
Shares | Value | |
HOUSEHOLD DURABLES – continued | ||
Household Appliances – 0.5% | ||
Aterian, Inc. (a) | 4,127 | $ 37,267 |
Helen of Troy Ltd. (a) | 9,398 | 2,099,419 |
iRobot Corp. (a) | 11,762 | 1,029,175 |
Whirlpool Corp. | 20,794 | 4,606,703 |
7,772,564 | ||
Housewares & Specialties – 0.2% | ||
Newell Brands, Inc. | 133,204 | 3,296,799 |
Tupperware Brands Corp. (a) | 3,618 | 75,580 |
3,372,379 | ||
TOTAL HOUSEHOLD DURABLES | 82,786,136 | |
INTERNET & DIRECT MARKETING RETAIL – 25.6% | ||
Internet & Direct Marketing Retail – 25.6% | ||
1-800-FLOWERS.com, Inc. Class A (a) | 20,630 | 629,215 |
Amazon.com, Inc. (a) | 107,407 | 357,406,459 |
CarParts.com, Inc. (a) | 6,032 | 106,224 |
Chewy, Inc. Class A (a) | 1,154 | 96,590 |
Duluth Holdings, Inc. Class B (a) | 6,168 | 92,335 |
eBay, Inc. | 213,500 | 14,562,835 |
Etsy, Inc. (a) | 38,008 | 6,974,848 |
Groupon, Inc. (a) | 17,557 | 638,548 |
Lands' End, Inc. (a) | 15,307 | 586,717 |
MercadoLibre, Inc. (a) | 13,640 | 21,397,068 |
Overstock.com, Inc. (a) | 16,074 | 1,119,393 |
PetMed Express, Inc. | 16,840 | 528,608 |
Porch Group, Inc. (a) | 3,755 | 69,580 |
Poshmark, Inc. (a) | 1,662 | 65,217 |
PubMatic, Inc. (a) | 1,766 | 52,468 |
Quotient Technology, Inc. (a) | 51,549 | 559,822 |
Qurate Retail, Inc. Class A | 147,602 | 1,750,560 |
Revolve Group, Inc. (a) | 17,154 | 1,194,090 |
Shutterstock, Inc. | 10,594 | 1,149,343 |
Stamps.com, Inc. (a) | 6,859 | 2,241,247 |
Stitch Fix, Inc. Class A (a) | 22,080 | 1,190,554 |
The RealReal, Inc. (a) | 20,908 | 345,191 |
Wayfair, Inc. Class A (a) | 21,118 | 5,097,040 |
TOTAL INTERNET & DIRECT MARKETING RETAIL | 417,853,952 | |
LEISURE PRODUCTS – 1.8% | ||
Leisure Products – 1.8% | ||
Acushnet Holdings Corp. | 20,105 | 1,029,979 |
Brunswick Corp. | 28,051 | 2,928,524 |
Callaway Golf Co. (a) | 41,214 | 1,305,660 |
Escalante-Black Diamond Golf Club LLC (a) | 3,626 | 0 |
Hasbro, Inc. | 43,561 | 4,331,706 |
Johnson Outdoors, Inc. Class A | 4,812 | 569,596 |
| ||
Shares | Value | |
Malibu Boats, Inc. Class A (a) | 11,488 | $ 961,086 |
Mattel, Inc. (a) | 126,874 | 2,755,703 |
Nautilus, Inc. (a) | 5,539 | 80,039 |
Peloton Interactive, Inc. Class A (a) | 61,358 | 7,243,312 |
Polaris, Inc. | 20,878 | 2,736,480 |
Smith & Wesson Brands, Inc. | 39,016 | 914,925 |
Sturm Ruger & Co., Inc. | 11,115 | 826,511 |
Vista Outdoor, Inc. (a) | 28,836 | 1,164,686 |
YETI Holdings, Inc. (a) | 27,759 | 2,674,025 |
TOTAL LEISURE PRODUCTS | 29,522,232 | |
MEDIA – 0.0% | ||
Broadcasting – 0.0% | ||
Media General, Inc. (a)(b) | 7,026 | 0 |
MULTILINE RETAIL – 4.6% | ||
Department Stores – 0.4% | ||
Dillard's, Inc. Class A | 5,790 | 1,061,133 |
Kohl's Corp. | 55,621 | 2,825,547 |
Macy's, Inc. (a) | 112,357 | 1,910,069 |
Nordstrom, Inc. (a) | 44,371 | 1,468,680 |
7,265,429 | ||
General Merchandise Stores – 4.2% | ||
Big Lots, Inc. | 17,923 | 1,032,544 |
Dollar General Corp. | 76,214 | 17,730,425 |
Dollar Tree, Inc. (a) | 74,457 | 7,430,064 |
Franchise Group, Inc. | 2,498 | 84,832 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 21,592 | 2,010,215 |
Target Corp. | 152,357 | 39,772,795 |
68,060,875 | ||
TOTAL MULTILINE RETAIL | 75,326,304 | |
SPECIALTY RETAIL – 20.3% | ||
Apparel Retail – 3.7% | ||
Abercrombie & Fitch Co. Class A (a) | 30,410 | 1,149,802 |
American Eagle Outfitters, Inc. | 60,217 | 2,075,680 |
Boot Barn Holdings, Inc. (a) | 15,313 | 1,323,350 |
Burlington Stores, Inc. (a) | 21,414 | 7,169,407 |
Caleres, Inc. | 2,098 | 51,905 |
Citi Trends, Inc. (a) | 562 | 44,820 |
Designer Brands, Inc. Class A (a) | 45,095 | 657,034 |
Foot Locker, Inc. | 36,430 | 2,078,696 |
Genesco, Inc. (a) | 13,247 | 761,040 |
Guess?, Inc. | 27,626 | 616,612 |
Ross Stores, Inc. | 110,319 | 13,535,038 |
Shoe Carnival, Inc. | 20,298 | 684,043 |
The Buckle, Inc. | 19,396 | 816,184 |
The Children's Place, Inc. (a) | 9,939 | 838,156 |
The Gap, Inc. | 82,032 | 2,392,873 |
The TJX Cos., Inc. | 365,693 | 25,163,335 |
43 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
SPECIALTY RETAIL – continued | ||
Apparel Retail – continued | ||
Urban Outfitters, Inc. (a) | 31,618 | $1,175,557 |
Zumiez, Inc. (a) | 14,873 | 649,206 |
61,182,738 | ||
Automotive Retail – 3.7% | ||
Advance Auto Parts, Inc. | 22,332 | 4,735,724 |
America's Car-Mart, Inc. (a) | 4,847 | 770,673 |
Arko Corp. (a) | 8,891 | 73,795 |
Asbury Automotive Group, Inc. (a) | 7,999 | 1,643,475 |
AutoNation, Inc. (a) | 21,369 | 2,592,701 |
AutoZone, Inc. (a) | 7,190 | 11,673,468 |
Blink Charging Co. (a) | 1,846 | 63,742 |
Camping World Holdings, Inc. Class A | 22,214 | 874,343 |
CarLotz, Inc. (a) | 10,816 | 48,023 |
CarMax, Inc. (a) | 52,650 | 7,052,468 |
Carvana Co. (a) | 20,289 | 6,848,755 |
Group 1 Automotive, Inc. | 7,882 | 1,369,419 |
Lithia Motors, Inc. | 10,012 | 3,776,727 |
Monro, Inc. | 16,313 | 946,154 |
Murphy USA, Inc. | 11,308 | 1,668,043 |
O'Reilly Automotive, Inc. (a) | 22,341 | 13,490,389 |
Penske Automotive Group, Inc. | 14,845 | 1,315,267 |
Sonic Automotive, Inc. Class A | 15,848 | 864,508 |
Vroom, Inc. (a) | 2,136 | 79,117 |
59,886,791 | ||
Computer & Electronics Retail – 0.8% | ||
Best Buy Co., Inc. | 73,338 | 8,239,524 |
GameStop Corp. Class A (a) | 19,810 | 3,191,787 |
Rent-A-Center, Inc. | 22,454 | 1,284,818 |
12,716,129 | ||
Home Improvement Retail – 9.3% | ||
Floor & Decor Holdings, Inc. Class A (a) | 29,054 | 3,544,878 |
GrowGeneration Corp. (a) | 2,789 | 113,429 |
Lowe's Cos., Inc. | 222,413 | 42,856,761 |
Lumber Liquidators Holdings, Inc. (a) | 3,657 | 69,776 |
The Home Depot, Inc. | 323,263 | 106,091,684 |
152,676,528 | ||
Homefurnishing Retail – 0.7% | ||
Bed Bath & Beyond, Inc. (a) | 52,423 | 1,496,152 |
Haverty Furniture Companies, Inc. | 16,039 | 577,244 |
RH (a) | 5,399 | 3,585,368 |
Sleep Number Corp. (a) | 11,642 | 1,155,003 |
The Aaron's Co., Inc. | 13,719 | 396,068 |
Williams-Sonoma, Inc. | 25,839 | 3,919,776 |
11,129,611 | ||
Specialty Stores – 2.1% | ||
Academy Sports & Outdoors, Inc. (a) | 1,600 | 59,280 |
Bath & Body Works, Inc. | 87,361 | 6,994,995 |
| ||
Shares | Value | |
Dick's Sporting Goods, Inc. | 25,275 | $ 2,632,139 |
Five Below, Inc. (a) | 18,910 | 3,676,482 |
Hibbett, Inc. | 11,237 | 996,272 |
Leslie's, Inc. (a) | 2,101 | 51,159 |
MarineMax, Inc. (a) | 15,632 | 840,845 |
National Vision Holdings, Inc. (a) | 32,338 | 1,745,605 |
Petco Health & Wellness Co., Inc. (a) | 2,217 | 45,737 |
Sally Beauty Holdings, Inc. (a) | 56,617 | 1,071,194 |
Signet Jewelers Ltd. | 23,418 | 1,506,714 |
Sportsman's Warehouse Holdings, Inc. (a) | 5,082 | 89,799 |
The Container Store Group, Inc. (a) | 4,271 | 44,931 |
The ODP Corp. (a) | 25,030 | 1,184,670 |
Tractor Supply Co. | 37,536 | 6,791,389 |
Ulta Beauty, Inc. (a) | 17,328 | 5,818,742 |
Winmark Corp. | 3,080 | 649,326 |
34,199,279 | ||
TOTAL SPECIALTY RETAIL | 331,791,076 | |
TEXTILES, APPAREL & LUXURY GOODS – 7.5% | ||
Apparel, Accessories & Luxury Goods – 2.9% | ||
Capri Holdings Ltd. (a) | 51,881 | 2,921,419 |
Carter's, Inc. | 17,345 | 1,695,300 |
Columbia Sportswear Co. | 12,972 | 1,292,271 |
G-III Apparel Group Ltd. (a) | 26,903 | 803,323 |
Hanesbrands, Inc. | 126,986 | 2,318,764 |
Kontoor Brands, Inc. | 21,915 | 1,213,653 |
Levi Strauss & Co. Class A | 34,207 | 941,377 |
Lululemon Athletica, Inc. (a) | 38,094 | 15,244,076 |
Movado Group, Inc. | 1,755 | 52,773 |
Oxford Industries, Inc. | 10,234 | 889,642 |
PLBY Group, Inc. (a) | 1,167 | 32,886 |
PVH Corp. (a) | 25,620 | 2,680,364 |
Ralph Lauren Corp. | 18,221 | 2,068,448 |
Tapestry, Inc. (a) | 93,925 | 3,973,027 |
Under Armour, Inc. Class A (a) | 74,671 | 1,527,022 |
Under Armour, Inc. Class C (a) | 80,889 | 1,417,175 |
VF Corp. | 104,313 | 8,365,903 |
47,437,423 | ||
Footwear – 4.6% | ||
Crocs, Inc. (a) | 25,044 | 3,401,226 |
Deckers Outdoor Corp. (a) | 9,723 | 3,994,694 |
NIKE, Inc. Class B | 374,816 | 62,785,428 |
Skechers U.S.A., Inc. Class A (a) | 51,329 | 2,755,341 |
Steven Madden Ltd. | 34,959 | 1,532,253 |
Annual Report | 44 |
Common Stocks – continued | ||
Shares | Value | |
TEXTILES, APPAREL & LUXURY GOODS – continued | ||
Footwear – continued | ||
Wolverine World Wide, Inc. | 36,050 | $ 1,209,117 |
75,678,059 | ||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 123,115,482 | |
TOTAL COMMON STOCKS (Cost $1,169,918,303) | 1,628,709,111 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $2,530,000) | 2,530,000 | 2,530,000 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,172,448,303) | 1,631,239,111 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 292,032 | |
NET ASSETS – 100.0% | $ 1,631,531,143 |
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 (United States) | 3 | September 2021 | $ 333,240 | $ (7,358) | $ (7,358) |
CME E-mini S&P Consumer Discretionary Select Sector Index Future (United States) | 12 | September 2021 | 2,186,400 | 90,412 | 90,412 |
Total Equity Index Contracts | $ 83,054 |
45 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,628,709,111 | $ 1,628,709,111 | $ — | $ — | |||||
Money Market Funds | 2,530,000 | 2,530,000 | — | — | |||||
Total Investments in Securities: | $ 1,631,239,111 | $ 1,631,239,111 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 90,412 | $ 90,412 | $ — | $ — | |||||
Total Assets | $ 90,412 | $ 90,412 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (7,358) | $ (7,358) | $ — | $ — | |||||
Total Liabilities | $ (7,358) | $ (7,358) | $ — | $ — | |||||
Total Derivative Instruments: | $ 83,054 | $ 83,054 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $90,412 | $(7,358) | |
Total Equity Risk | 90,412 | (7,358) | |
Total Value of Derivatives | $90,412 | $(7,358) |
(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). |
Annual Report | 46 |
Common Stocks – 99.7% | ||
Shares | Value | |
BEVERAGES – 23.5% | ||
Brewers – 0.8% | ||
Molson Coors Beverage Co. Class B (a) | 71,573 | $3,499,204 |
The Boston Beer Co., Inc. Class A (a) | 3,861 | 2,741,310 |
6,240,514 | ||
Distillers & Vintners – 2.7% | ||
Brown-Forman Corp. Class B | 112,799 | 7,999,705 |
Constellation Brands, Inc. Class A | 58,973 | 13,230,003 |
MGP Ingredients, Inc. | 10,627 | 633,900 |
21,863,608 | ||
Soft Drinks – 20.0% | ||
Celsius Holdings, Inc. (a) | 2,131 | 146,251 |
Coca-Cola Bottling Co. Consolidated | 3,175 | 1,267,301 |
Keurig Dr Pepper, Inc. | 111,283 | 3,918,274 |
Monster Beverage Corp. (a) | 143,256 | 13,511,906 |
National Beverage Corp. | 23,838 | 1,081,768 |
PepsiCo, Inc. | 441,451 | 69,285,735 |
The Coca-Cola Co. | 1,312,720 | 74,864,422 |
164,075,657 | ||
TOTAL BEVERAGES | 192,179,779 | |
FOOD & STAPLES RETAILING – 22.3% | ||
Drug Retail – 1.6% | ||
Rite Aid Corp. (a) | 63,795 | 969,684 |
Walgreens Boots Alliance, Inc. | 264,138 | 12,454,107 |
13,423,791 | ||
Food Distributors – 2.7% | ||
Performance Food Group Co. (a) | 50,600 | 2,318,492 |
SpartanNash Co. | 42,528 | 827,170 |
Sysco Corp. | 177,887 | 13,199,216 |
The Andersons, Inc. | 24,589 | 656,526 |
The Chefs' Warehouse, Inc. (a) | 26,810 | 775,345 |
United Natural Foods, Inc. (a) | 43,794 | 1,450,457 |
US Foods Holding Corp. (a) | 84,747 | 2,910,212 |
22,137,418 | ||
Food Retail – 2.2% | ||
Casey's General Stores, Inc. | 15,369 | 3,038,605 |
Grocery Outlet Holding Corp. (a) | 5,432 | 179,908 |
Ingles Markets, Inc. Class A | 16,275 | 972,594 |
Sprouts Farmers Market, Inc. (a) | 60,895 | 1,496,799 |
The Kroger Co. | 268,089 | 10,911,222 |
Village Super Market, Inc. Class A | 11,086 | 249,989 |
Weis Markets, Inc. | 15,475 | 814,759 |
17,663,876 | ||
Hypermarkets & Super Centers – 15.8% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 58,248 | 2,949,679 |
Costco Wholesale Corp. | 132,518 | 56,945,635 |
PriceSmart, Inc. | 14,857 | 1,333,267 |
| ||
Shares | Value | |
Walmart, Inc. | 478,112 | $ 68,154,865 |
129,383,446 | ||
TOTAL FOOD & STAPLES RETAILING | 182,608,531 | |
FOOD PRODUCTS – 19.1% | ||
Agricultural Products – 3.0% | ||
AppHarvest, Inc. (a) | 5,384 | 64,177 |
Archer-Daniels-Midland Co. | 201,395 | 12,027,309 |
Bunge Ltd. | 55,796 | 4,331,444 |
Darling Ingredients, Inc. (a) | 66,654 | 4,603,792 |
Fresh Del Monte Produce, Inc. | 26,009 | 802,638 |
Ingredion, Inc. | 27,651 | 2,428,034 |
24,257,394 | ||
Packaged Foods & Meats – 16.1% | ||
B&G Foods, Inc. | 39,335 | 1,129,701 |
Beyond Meat, Inc. (a) | 735 | 90,184 |
Calavo Growers, Inc. | 9,911 | 558,386 |
Cal-Maine Foods, Inc. | 20,058 | 699,824 |
Campbell Soup Co. | 69,402 | 3,034,255 |
Conagra Brands, Inc. | 179,555 | 6,013,297 |
Flowers Foods, Inc. | 81,744 | 1,925,889 |
Freshpet, Inc. (a) | 19,809 | 2,901,028 |
General Mills, Inc. | 211,729 | 12,462,369 |
Hormel Foods Corp. | 110,395 | 5,120,120 |
Hostess Brands, Inc. (a) | 78,095 | 1,256,549 |
J&J Snack Foods Corp. | 7,454 | 1,225,289 |
John B Sanfilippo & Son, Inc. | 7,831 | 723,271 |
Kellogg Co. | 95,235 | 6,034,090 |
Lamb Weston Holdings, Inc. | 56,370 | 3,763,825 |
Lancaster Colony Corp. | 9,185 | 1,817,436 |
Landec Corp. (a) | 35,681 | 390,350 |
McCormick & Co., Inc. (non-vtg.) | 88,901 | 7,482,797 |
Mission Produce, Inc. (a) | 3,608 | 69,887 |
Mondelez International, Inc. Class A | 490,258 | 31,013,721 |
Pilgrim's Pride Corp. (a) | 35,349 | 782,980 |
Post Holdings, Inc. (a) | 25,577 | 2,617,550 |
Sanderson Farms, Inc. | 9,964 | 1,861,674 |
Seaboard Corp. | 190 | 780,900 |
Tattooed Chef, Inc. (a) | 3,908 | 77,066 |
The Hain Celestial Group, Inc. (a) | 49,602 | 1,979,616 |
The Hershey Co. | 53,588 | 9,585,821 |
The JM Smucker Co. | 42,001 | 5,506,751 |
The Kraft Heinz Co. | 242,647 | 9,334,630 |
The Simply Good Foods Co. (a) | 50,119 | 1,878,460 |
Tootsie Roll Industries, Inc. | 16,730 | 575,345 |
TreeHouse Foods, Inc. (a) | 26,018 | 1,155,199 |
Tyson Foods, Inc. Class A | 106,215 | 7,590,124 |
Utz Brands, Inc. | 3,651 | 82,659 |
47 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FOOD PRODUCTS – continued | ||
Packaged Foods & Meats – continued | ||
Vital Farms, Inc. (a) | 3,511 | $ 61,126 |
131,582,169 | ||
TOTAL FOOD PRODUCTS | 155,839,563 | |
HOUSEHOLD PRODUCTS – 21.8% | ||
Household Products – 21.8% | ||
Central Garden and Pet Co. (a) | 13,032 | 629,315 |
Central Garden and Pet Co. Class A (a) | 28,450 | 1,232,169 |
Church & Dwight Co., Inc. | 92,693 | 8,025,360 |
Colgate-Palmolive Co. | 282,393 | 22,450,243 |
Energizer Holdings, Inc. | 31,121 | 1,333,535 |
Kimberly-Clark Corp. | 120,936 | 16,413,434 |
Reynolds Consumer Products, Inc. | 2,228 | 63,387 |
Spectrum Brands Holdings, Inc. | 23,342 | 2,038,924 |
The Clorox Co. | 46,457 | 8,403,607 |
The Procter & Gamble Co. | 814,821 | 115,891,991 |
WD-40 Co. | 7,798 | 1,894,836 |
TOTAL HOUSEHOLD PRODUCTS | 178,376,801 | |
PERSONAL PRODUCTS – 4.6% | ||
Personal Products – 4.6% | ||
BellRing Brands, Inc. Class A (a) | 3,805 | 125,831 |
Coty, Inc. Class A (a) | 131,353 | 1,146,712 |
Edgewell Personal Care Co. | 30,943 | 1,271,138 |
elf Beauty, Inc. (a) | 30,033 | 829,211 |
Herbalife Nutrition Ltd. (a) | 50,423 | 2,568,548 |
Inter Parfums, Inc. | 13,466 | 1,035,131 |
Medifast, Inc. | 6,646 | 1,897,500 |
Nu Skin Enterprises, Inc. Class A | 26,755 | 1,436,476 |
The Estee Lauder Cos., Inc. Class A | 78,697 | 26,271,420 |
| ||
Shares | Value | |
USANA Health Sciences, Inc. (a) | 9,918 | $ 944,888 |
Veru, Inc. (a) | 9,066 | 62,283 |
TOTAL PERSONAL PRODUCTS | 37,589,138 | |
TOBACCO – 8.4% | ||
Tobacco – 8.4% | ||
Altria Group, Inc. | 595,498 | 28,607,724 |
Philip Morris International, Inc. | 374,952 | 37,528,945 |
Turning Point Brands, Inc. | 19,262 | 1,021,271 |
Universal Corp. | 15,124 | 788,868 |
Vector Group Ltd. | 84,864 | 1,133,783 |
TOTAL TOBACCO | 69,080,591 | |
TOTAL COMMON STOCKS (Cost $712,077,466) | 815,674,403 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,350,000) | 1,350,000 | 1,350,000 |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $713,427,466) | 817,024,403 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,258,285 | |
NET ASSETS – 100.0% | $ 818,282,688 |
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 (United States) | 1 | September 2021 | $ 111,080 | $ 1,263 | $ 1,263 |
CME E-mini S&P Consumer Staples Select Sector Index Contracts (United States) | 33 | September 2021 | 2,366,430 | 39,490 | 39,490 |
Total Equity Index Contracts | $ 40,753 |
Annual Report | 48 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 815,674,403 | $ 815,674,403 | $ — | $ — | |||||
Money Market Funds | 1,350,000 | 1,350,000 | — | — | |||||
Total Investments in Securities: | $ 817,024,403 | $ 817,024,403 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 40,753 | $ 40,753 | $ — | $ — | |||||
Total Assets | $ 40,753 | $ 40,753 | $ — | $ — | |||||
Total Derivative Instruments: | $ 40,753 | $ 40,753 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $40,753 | $0 | |
Total Equity Risk | 40,753 | 0 | |
Total Value of Derivatives | $40,753 | $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 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
ENERGY EQUIPMENT & SERVICES – 9.5% | ||
Oil & Gas Drilling – 0.6% | ||
Helmerich & Payne, Inc. | 85,169 | $ 2,441,795 |
Nabors Industries Ltd. (a) | 5,257 | 460,040 |
Patterson-UTI Energy, Inc. | 150,728 | 1,208,839 |
Transocean Ltd. (a) | 466,045 | 1,682,422 |
5,793,096 | ||
Oil & Gas Equipment & Services – 8.9% | ||
Archrock, Inc. | 101,951 | 877,798 |
Baker Hughes Co. | 579,908 | 12,317,246 |
Bristow Group, Inc. (a) | 7,038 | 182,847 |
Cactus, Inc. Class A | 42,791 | 1,542,188 |
ChampionX Corp. (a) | 152,023 | 3,533,015 |
Core Laboratories N.V. | 35,778 | 1,193,554 |
DMC Global, Inc. (a) | 15,261 | 667,974 |
Dril-Quip, Inc. (a) | 28,014 | 800,640 |
Frank's International N.V. (a) | 128,233 | 352,641 |
Halliburton Co. | 706,990 | 14,620,553 |
Helix Energy Solutions Group, Inc. (a) | 114,327 | 474,457 |
Liberty Oilfield Services, Inc. Class A (a) | 73,263 | 746,550 |
NexTier Oilfield Solitions, Inc. (a) | 130,605 | 498,911 |
NOV, Inc. (a) | 308,128 | 4,255,248 |
Oceaneering International, Inc. (a) | 79,993 | 1,060,707 |
ProPetro Holding Corp. (a) | 61,270 | 462,588 |
RPC, Inc. (a) | 53,295 | 223,839 |
Schlumberger N.V. | 1,112,342 | 32,068,820 |
Select Energy Services, Inc. Class A (a) | 51,334 | 305,437 |
TechnipFMC PLC (a) | 338,692 | 2,445,356 |
US Silica Holdings, Inc. (a) | 59,738 | 603,354 |
79,233,723 | ||
TOTAL ENERGY EQUIPMENT & SERVICES | 85,026,819 | |
OIL, GAS & CONSUMABLE FUELS – 90.2% | ||
Coal & Consumable Fuels – 0.1% | ||
Arch Resources, Inc. (a) | 12,484 | 820,449 |
Integrated Oil & Gas – 41.3% | ||
Chevron Corp. | 1,533,959 | 156,172,366 |
Exxon Mobil Corp. | 3,371,594 | 194,102,666 |
Occidental Petroleum Corp. | 741,299 | 19,347,904 |
369,622,936 | ||
Oil & Gas Exploration & Production – 27.0% | ||
Antero Resources Corp. (a) | 217,051 | 2,951,894 |
APA Corp. | 299,874 | 5,622,638 |
Bonanza Creek Energy, Inc. | 17,613 | 677,572 |
Brigham Minerals, Inc. Class A | 35,674 | 700,637 |
Cabot Oil & Gas Corp. | 316,936 | 5,070,976 |
California Resources Corp. (a) | 32,841 | 923,161 |
Callon Petroleum Co. (a) | 36,800 | 1,448,448 |
| ||
Shares | Value | |
Centennial Resource Development, Inc. Class A (a) | 146,388 | $ 762,681 |
Chesapeake Energy Corp. | 58,124 | 3,141,602 |
Cimarex Energy Co. | 82,466 | 5,376,783 |
CNX Resources Corp. (a) | 175,185 | 2,119,739 |
Comstock Resources, Inc. (a) | 63,414 | 385,557 |
ConocoPhillips | 1,077,157 | 60,385,421 |
Contango Oil & Gas Co (a) | 86,821 | 331,656 |
Continental Resources, Inc. | 58,254 | 1,989,374 |
Denbury, Inc. (a) | 39,710 | 2,609,344 |
Devon Energy Corp. | 509,823 | 13,173,826 |
Diamondback Energy, Inc. | 136,941 | 10,562,259 |
EOG Resources, Inc. | 464,274 | 33,827,004 |
EQT Corp. (a) | 222,347 | 4,088,961 |
Extraction Oil & Gas, Inc. (a) | 13,193 | 586,957 |
Hess Corp. | 220,244 | 16,835,451 |
Kosmos Energy Ltd. (a) | 327,060 | 755,509 |
Magnolia Oil & Gas Corp. Class A (a) | 113,344 | 1,586,816 |
Marathon Oil Corp. | 629,431 | 7,295,105 |
Matador Resources Co. | 93,714 | 2,895,763 |
Murphy Oil Corp. | 122,504 | 2,659,562 |
Northern Oil and Gas, Inc. | 35,918 | 620,304 |
Oasis Petroleum, Inc. | 15,849 | 1,453,512 |
Ovintiv, Inc. | 207,720 | 5,330,095 |
PDC Energy, Inc. | 80,297 | 3,175,746 |
Pioneer Natural Resources Co. | 163,841 | 23,817,566 |
Range Resources Corp. (a) | 196,481 | 2,992,406 |
SM Energy Co. | 87,108 | 1,628,920 |
Southwestern Energy Co. (a) | 537,645 | 2,532,308 |
Talos Energy, Inc. (a) | 23,039 | 265,870 |
Tellurian, Inc. (a) | 216,447 | 816,005 |
Texas Pacific Land Corp. | 4,947 | 7,383,645 |
Viper Energy Partners LP | 47,547 | 856,321 |
Whiting Petroleum Corp. (a) | 30,752 | 1,442,269 |
241,079,663 | ||
Oil & Gas Refining & Marketing – 9.9% | ||
Alto Ingredients, Inc. (a) | 60,035 | 318,186 |
Clean Energy Fuels Corp. (a) | 123,176 | 925,052 |
CVR Energy, Inc. | 24,461 | 334,137 |
Delek US Holdings, Inc. | 53,453 | 929,013 |
Gevo, Inc. (a) | 160,073 | 974,845 |
Green Plains, Inc. (a) | 6,911 | 244,373 |
HollyFrontier Corp. | 122,783 | 3,609,820 |
Marathon Petroleum Corp. | 519,163 | 28,668,181 |
Par Pacific Holdings, Inc. (a) | 34,606 | 566,846 |
PBF Energy, Inc. Class A (a) | 77,149 | 707,456 |
Phillips 66 | 348,209 | 25,568,987 |
Renewable Energy Group, Inc. (a) | 35,350 | 2,165,187 |
REX American Resources Corp. (a) | 4,734 | 388,188 |
Valero Energy Corp. | 325,681 | 21,810,857 |
Annual Report | 50 |
Common Stocks – continued | ||
Shares | Value | |
OIL, GAS & CONSUMABLE FUELS – continued | ||
Oil & Gas Refining & Marketing – continued | ||
World Fuel Services Corp. | 50,417 | $ 1,737,370 |
88,948,498 | ||
Oil & Gas Storage & Transportation – 11.9% | ||
Antero Midstream Corp. | 248,615 | 2,361,842 |
Cheniere Energy, Inc. (a) | 192,975 | 16,389,367 |
Dorian LPG Ltd. (a) | 26,205 | 317,081 |
DTE Midstream LLC (a) | 77,373 | 3,280,615 |
EnLink Midstream LLC (a) | 216,899 | 1,208,127 |
Equitrans Midstream Corp. | 327,830 | 2,694,763 |
International Seaways, Inc. | 30,076 | 494,750 |
Kinder Morgan, Inc. | 1,621,775 | 28,186,449 |
ONEOK, Inc. | 354,592 | 18,428,146 |
Plains GP Holdings LP Class A (a) | 142,412 | 1,493,902 |
Targa Resources Corp. | 164,306 | 6,918,926 |
The Williams Cos., Inc. | 967,874 | 24,245,244 |
106,019,212 | ||
TOTAL OIL, GAS & CONSUMABLE FUELS | 806,490,758 | |
TOTAL COMMON STOCKS (Cost $884,625,993) | 891,517,577 |
Money Market Fund – 0.1% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $650,000) | 650,000 | $ 650,000 |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $885,275,993) | 892,167,577 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,890,420 | |
NET ASSETS – 100.0% | $ 894,057,997 |
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 (United States) | 47 | September 2021 | $2,406,400 | $(75,012) | $(75,012) |
51 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 891,517,577 | $ 891,517,577 | $ — | $ — | |||||
Money Market Funds | 650,000 | 650,000 | — | — | |||||
Total Investments in Securities: | $ 892,167,577 | $ 892,167,577 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (75,012) | $ (75,012) | $ — | $ — | |||||
Total Liabilities | $ (75,012) | $ (75,012) | $ — | $ — | |||||
Total Derivative Instruments: | $ (75,012) | $ (75,012) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(75,012) | |
Total Equity Risk | 0 | (75,012) | |
Total Value of Derivatives | $0 | $(75,012) |
(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). |
Annual Report | 52 |
Common Stocks – 99.8% | ||
Shares | Value | |
BANKS – 37.3% | ||
Diversified Banks – 23.4% | ||
Bank of America Corp. | 2,666,570 | $ 102,289,625 |
Citigroup, Inc. | 714,208 | 48,294,745 |
JPMorgan Chase & Co. | 1,048,510 | 159,142,848 |
US Bancorp | 490,479 | 27,241,204 |
Wells Fargo & Co. | 1,418,053 | 65,145,355 |
402,113,777 | ||
Regional Banks – 13.9% | ||
1st Source Corp. | 9,282 | 425,023 |
Allegiance Bancshares, Inc. | 4,245 | 154,815 |
Altabancorp | 4,712 | 190,318 |
Amalgamated Financial Corp. | 6,466 | 99,318 |
Amerant Bancorp, Inc. (a) | 8,471 | 187,633 |
Ameris Bancorp | 18,649 | 906,528 |
Arrow Financial Corp. | 6,542 | 235,839 |
Associated Banc-Corp. | 60,057 | 1,189,129 |
Atlantic Union Bankshares Corp. | 30,607 | 1,085,630 |
Banc of California, Inc. | 15,399 | 263,631 |
Bancfirst Corp. | 7,336 | 407,001 |
BancorpSouth Bank | 41,597 | 1,073,203 |
Bank First Corp. | 2,649 | 185,404 |
Bank of Hawaii Corp. | 15,369 | 1,286,539 |
Bank of Marin Bancorp | 5,204 | 180,579 |
Bank OZK | 43,080 | 1,753,787 |
BankUnited, Inc. | 23,591 | 933,732 |
Banner Corp. | 7,670 | 406,817 |
Bar Harbor Bankshares | 5,758 | 164,909 |
Berkshire Hills Bancorp, Inc. | 15,731 | 425,366 |
BOK Financial Corp. | 11,623 | 976,448 |
Brookline Bancorp, Inc. | 17,341 | 249,190 |
Bryn Mawr Bank Corp. | 8,149 | 318,870 |
Byline Bancorp, Inc. | 10,959 | 269,701 |
Cadence BanCorp | 31,262 | 593,978 |
Camden National Corp. | 6,391 | 286,125 |
Capital City Bank Group, Inc. | 5,772 | 140,490 |
Cathay General Bancorp | 27,815 | 1,053,354 |
CBTX, Inc. | 7,070 | 185,941 |
Central Pacific Financial Corp. | 5,914 | 151,398 |
Century Bancorp, Inc. Class A | 1,053 | 120,442 |
CIT Group, Inc. | 34,244 | 1,651,931 |
Citizens Financial Group, Inc. | 148,210 | 6,248,534 |
City Holding Co. | 3,499 | 264,734 |
Columbia Banking System, Inc. | 17,457 | 609,948 |
Comerica, Inc. | 48,703 | 3,343,948 |
Commerce Bancshares, Inc. | 37,201 | 2,631,227 |
Community Bank System, Inc. | 15,065 | 1,079,257 |
Community Trust Bancorp, Inc. | 7,499 | 298,160 |
ConnectOne Bancorp, Inc. | 13,927 | 366,280 |
CrossFirst Bankshares, Inc. (a) | 17,426 | 240,653 |
Cullen/Frost Bankers, Inc. | 21,371 | 2,293,536 |
| ||
Shares | Value | |
Customers Bancorp, Inc. (a) | 10,444 | $ 378,282 |
CVB Financial Corp. | 42,396 | 808,068 |
Dime Community Bancshares, Inc. | 10,924 | 360,710 |
Eagle Bancorp, Inc. | 8,214 | 452,016 |
East West Bancorp, Inc. | 49,455 | 3,518,723 |
Eastern Bankshares, Inc. | 59,731 | 1,090,091 |
Enterprise Financial Services Corp. | 11,710 | 521,915 |
FB Financial Corp. | 12,230 | 462,416 |
Fifth Third Bancorp | 246,746 | 8,954,412 |
First BanCorp | 46,593 | 565,173 |
First BanCorp/NC | 6,254 | 250,160 |
First Busey Corp. | 23,219 | 547,968 |
First Citizens BancShares, Inc. Class A | 1,989 | 1,556,572 |
First Commonwealth Financial Corp. | 21,144 | 278,466 |
First Community Bankshares, Inc. | 7,278 | 212,518 |
First Financial Bancorp | 23,410 | 526,725 |
First Financial Bankshares, Inc. | 47,400 | 2,315,016 |
First Financial Corp. | 5,837 | 233,772 |
First Foundation, Inc. | 14,585 | 343,768 |
First Hawaiian, Inc. | 49,101 | 1,351,751 |
First Horizon Corp. | 195,303 | 3,017,431 |
First Interstate Bancsystem, Inc. Class A | 15,848 | 664,348 |
First Merchants Corp. | 21,479 | 874,840 |
First Mid Bancshares, Inc. | 6,214 | 252,848 |
First Midwest Bancorp, Inc. | 28,328 | 508,204 |
First Republic Bank | 60,208 | 11,741,764 |
Flushing Financial Corp. | 10,988 | 242,285 |
FNB Corp. | 122,217 | 1,400,607 |
Fulton Financial Corp. | 64,109 | 982,150 |
German American Bancorp, Inc. | 9,353 | 352,608 |
Glacier Bancorp, Inc. | 33,396 | 1,721,898 |
Great Southern Bancorp, Inc. | 5,665 | 294,750 |
Great Western Bancorp, Inc. | 13,898 | 428,058 |
Hancock Whitney Corp. | 31,676 | 1,384,558 |
Harborone Bancorp, Inc. | 21,489 | 292,465 |
Heartland Financial USA, Inc. | 15,783 | 720,020 |
Heritage Commerce Corp. | 24,676 | 267,488 |
Heritage Financial Corp. | 7,903 | 191,174 |
Hilltop Holdings, Inc. | 23,522 | 745,177 |
Home BancShares, Inc. | 57,574 | 1,219,417 |
Hope Bancorp, Inc. | 33,000 | 437,250 |
Horizon Bancorp, Inc. | 16,769 | 280,210 |
Huntington Bancshares, Inc. | 512,922 | 7,221,942 |
Independent Bank Corp. | 9,245 | 194,422 |
Independent Bank Corp./MA | 8,752 | 618,591 |
Independent Bank Group, Inc. | 13,564 | 945,411 |
International Bancshares Corp. | 20,206 | 789,650 |
Investors Bancorp, Inc. | 65,215 | 901,271 |
KeyCorp | 336,446 | 6,614,528 |
53 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
BANKS – continued | ||
Regional Banks – continued | ||
Lakeland Bancorp, Inc. | 22,438 | $ 367,310 |
Lakeland Financial Corp. | 9,231 | 617,277 |
Live Oak Bancshares, Inc. | 10,940 | 658,479 |
M&T Bank Corp. | 44,670 | 5,979,079 |
Mercantile Bank Corp. | 7,579 | 236,844 |
Midland States Bancorp, Inc. | 9,388 | 231,039 |
MidWestOne Financial Group, Inc. | 7,819 | 227,767 |
National Bank Holdings Corp. Class A | 6,487 | 230,029 |
NBT Bancorp, Inc. | 11,425 | 398,161 |
Nicolet Bankshares, Inc. (a) | 3,889 | 281,525 |
OceanFirst Financial Corp. | 23,552 | 459,264 |
OFG Bancorp | 11,281 | 260,591 |
Old National Bancorp | 42,383 | 681,942 |
Origin Bancorp, Inc. | 8,711 | 354,363 |
Pacific Premier Bancorp, Inc. | 29,158 | 1,107,421 |
PacWest Bancorp | 41,958 | 1,670,768 |
Park National Corp. | 5,248 | 597,800 |
Peapack-Gladstone Financial Corp. | 7,532 | 242,606 |
Peoples Bancorp, Inc. | 8,772 | 258,686 |
People's United Financial, Inc. | 149,081 | 2,340,572 |
Pinnacle Financial Partners, Inc. | 26,544 | 2,378,608 |
Popular, Inc. | 29,614 | 2,154,715 |
Preferred Bank | 3,171 | 187,026 |
Prosperity Bancshares, Inc. | 32,604 | 2,223,267 |
QCR Holdings, Inc. | 6,464 | 317,318 |
Regions Financial Corp. | 333,828 | 6,426,189 |
Renasant Corp. | 15,826 | 556,759 |
Republic Bancorp, Inc. Class A | 4,466 | 217,762 |
S&T Bancorp, Inc. | 8,188 | 241,137 |
Sandy Spring Bancorp, Inc. | 18,686 | 777,151 |
Seacoast Banking Corp. of Florida | 16,053 | 487,851 |
ServisFirst Bancshares, Inc. | 17,680 | 1,256,694 |
Signature Bank | 18,491 | 4,196,902 |
Silvergate Capital Corp. (a) | 8,226 | 845,633 |
Simmons First National Corp. Class A | 27,112 | 737,989 |
South State Corp. | 24,657 | 1,697,388 |
Southside Bancshares, Inc. | 9,334 | 336,397 |
Sterling Bancorp | 69,046 | 1,498,989 |
Stock Yards Bancorp, Inc. | 8,676 | 413,325 |
SVB Financial Group (a) | 19,174 | 10,544,933 |
Synovus Financial Corp. | 52,147 | 2,132,812 |
Texas Capital Bancshares, Inc. (a) | 17,825 | 1,122,618 |
The Bancorp, Inc. (a) | 18,807 | 439,520 |
The First Bancshares, Inc. | 8,539 | 329,349 |
The First of Long Island Corp. | 10,756 | 231,792 |
The PNC Financial Services Group, Inc. | 145,514 | 26,543,209 |
Tompkins Financial Corp. | 4,936 | 378,838 |
| ||
Shares | Value | |
Towne Bank | 29,868 | $ 890,365 |
Trico Bancshares | 11,410 | 449,896 |
TriState Capital Holdings, Inc. (a) | 10,077 | 204,664 |
Triumph Bancorp, Inc. (a) | 7,956 | 609,907 |
Truist Financial Corp. | 463,264 | 25,215,460 |
Trustmark Corp. | 23,860 | 716,277 |
UMB Financial Corp. | 16,643 | 1,557,785 |
Umpqua Holdings Corp. | 83,498 | 1,575,607 |
United Bankshares, Inc. | 46,660 | 1,611,636 |
United Community Banks, Inc. | 19,650 | 566,116 |
Univest Financial Corp. | 14,622 | 400,058 |
Valley National Bancorp | 142,371 | 1,835,162 |
Veritex Holdings, Inc. | 12,575 | 421,891 |
Washington Trust Bancorp, Inc. | 7,073 | 344,809 |
Webster Financial Corp. | 31,703 | 1,524,914 |
WesBanco, Inc. | 25,854 | 834,567 |
Westamerica BanCorp. | 7,079 | 393,238 |
Western Alliance Bancorp | 34,973 | 3,246,194 |
Wintrust Financial Corp. | 20,558 | 1,467,841 |
Zions Bancorp NA | 58,354 | 3,043,161 |
237,748,475 | ||
TOTAL BANKS | 639,862,252 | |
CAPITAL MARKETS – 27.7% | ||
Asset Management & Custody Banks – 10.1% | ||
Affiliated Managers Group, Inc. | 14,854 | 2,353,468 |
Ameriprise Financial, Inc. | 40,152 | 10,341,549 |
Apollo Global Management, Inc. | 59,791 | 3,519,298 |
Ares Management Corp. Class A | 38,580 | 2,762,714 |
Artisan Partners Asset Management, Inc. Class A | 22,922 | 1,102,319 |
Assetmark Financial Holdings, Inc. (a) | 6,537 | 170,616 |
BlackRock, Inc. | 52,282 | 45,337,382 |
Blucora, Inc. (a) | 17,315 | 291,931 |
Brightsphere Investment Group, Inc. | 21,096 | 527,189 |
Cohen & Steers, Inc. | 8,400 | 698,964 |
Diamond Hill Investment Group, Inc. | 1,144 | 197,054 |
Federated Hermes, Inc. | 33,005 | 1,070,682 |
Focus Financial Partners, Inc. Class A (a) | 18,447 | 946,884 |
Franklin Resources, Inc. | 104,035 | 3,074,234 |
Hamilton Lane, Inc. Class A | 11,711 | 1,089,123 |
Invesco Ltd. | 134,936 | 3,289,740 |
Janus Henderson Group PLC | 56,374 | 2,358,688 |
KKR & Co., Inc. | 178,870 | 11,404,751 |
Northern Trust Corp. | 67,947 | 7,667,819 |
SEI Investments Co. | 41,992 | 2,553,114 |
State Street Corp. | 120,974 | 10,541,674 |
StepStone Group, Inc. | 13,098 | 596,090 |
T Rowe Price Group, Inc. | 78,067 | 15,938,159 |
The Bank of New York Mellon Corp. | 285,922 | 14,676,376 |
Annual Report | 54 |
Common Stocks – continued | ||
Shares | Value | |
CAPITAL MARKETS – continued | ||
Asset Management & Custody Banks – continued | ||
The Blackstone Group, Inc. Class A | 234,896 | $ 27,076,462 |
The Carlyle Group, Inc. | 55,005 | 2,776,102 |
Victory Capital Holdings, Inc. Class A | 6,490 | 197,880 |
Virtus Investment Partners, Inc. | 2,774 | 765,985 |
WisdomTree Investments, Inc. | 38,655 | 238,888 |
173,565,135 | ||
Financial Exchanges & Data – 8.9% | ||
Cboe Global Markets, Inc | 36,880 | 4,369,174 |
CME Group, Inc. | 122,960 | 26,083,505 |
Donnelley Financial Solutions, Inc. (a) | 11,384 | 366,679 |
FactSet Research Systems, Inc. | 13,002 | 4,645,354 |
Intercontinental Exchange, Inc. | 192,175 | 23,028,330 |
MarketAxess Holdings, Inc. | 12,998 | 6,176,260 |
Moody's Corp. | 57,574 | 21,647,824 |
Morningstar, Inc. | 8,086 | 2,042,766 |
MSCI, Inc. | 28,365 | 16,904,405 |
Nasdaq, Inc. | 39,468 | 7,369,860 |
Open Lending Corp. Class A (a) | 31,673 | 1,203,574 |
S&P Global, Inc. | 82,405 | 35,328,672 |
Tradeweb Markets, Inc. Class A | 34,959 | 3,031,994 |
152,198,397 | ||
Investment Banking & Brokerage – 8.7% | ||
B Riley Financial, Inc. | 5,166 | 349,015 |
BGC Partners, Inc. Class A | 101,586 | 543,485 |
Cowen, Inc. Class A | 8,565 | 342,429 |
Evercore, Inc. Class A | 14,443 | 1,909,365 |
Freedom Holding Corp. (a) | 6,404 | 403,900 |
Houlihan Lokey, Inc. | 17,922 | 1,596,850 |
Interactive Brokers Group, Inc. Class A | 27,848 | 1,722,677 |
Jefferies Financial Group, Inc. | 73,710 | 2,446,435 |
LPL Financial Holdings, Inc. | 27,308 | 3,851,520 |
Moelis & Co. Class A | 20,637 | 1,222,742 |
Morgan Stanley | 483,649 | 46,420,631 |
Piper Sandler Cos. | 6,528 | 800,920 |
PJT Partners, Inc. Class A | 8,061 | 630,128 |
Raymond James Financial, Inc. | 42,597 | 5,515,460 |
Stifel Financial Corp. | 36,100 | 2,402,094 |
StoneX Group, Inc. (a) | 5,860 | 378,146 |
The Charles Schwab Corp. | 494,285 | 33,586,666 |
The Goldman Sachs Group, Inc. | 118,417 | 44,392,165 |
Virtu Financial, Inc. Class A | 31,255 | 804,504 |
149,319,132 | ||
TOTAL CAPITAL MARKETS | 475,082,664 | |
CONSUMER FINANCE – 6.3% | ||
Consumer Finance – 6.3% | ||
Ally Financial, Inc. | 128,812 | 6,615,784 |
| ||
Shares | Value | |
American Express Co. | 235,143 | $ 40,098,936 |
Capital One Financial Corp. | 158,083 | 25,562,021 |
Credit Acceptance Corp. (a) | 3,173 | 1,538,175 |
Discover Financial Services | 105,961 | 13,173,072 |
Encore Capital Group, Inc. (a) | 10,808 | 511,651 |
Enova International, Inc. (a) | 12,866 | 425,736 |
FirstCash, Inc. | 14,292 | 1,131,926 |
Green Dot Corp. Class A (a) | 13,221 | 609,091 |
LendingClub Corp. (a) | 29,692 | 724,485 |
LendingTree, Inc. (a) | 4,097 | 799,816 |
Navient Corp. | 65,951 | 1,347,379 |
Nelnet, Inc. Class A | 6,210 | 467,613 |
OneMain Holdings, Inc. | 28,409 | 1,732,949 |
PRA Group, Inc. (a) | 15,759 | 611,292 |
PROG Holdings, Inc. | 23,581 | 1,032,140 |
SLM Corp. | 114,164 | 2,149,708 |
Synchrony Financial | 201,849 | 9,490,940 |
Upstart Holdings, Inc. (a) | 6,525 | 787,959 |
World Acceptance Corp. (a) | 1,445 | 273,929 |
TOTAL CONSUMER FINANCE | 109,084,602 | |
DIVERSIFIED FINANCIAL SERVICES – 8.1% | ||
Multi-Sector Holdings – 7.7% | ||
Berkshire Hathaway, Inc. Class B (a) | 471,113 | 131,106,037 |
Cannae Holdings, Inc. (a) | 28,479 | 946,926 |
132,052,963 | ||
Other Diversified Financial Services – 0.4% | ||
Equitable Holdings, Inc. | 134,649 | 4,156,615 |
Voya Financial, Inc. | 42,440 | 2,733,136 |
6,889,751 | ||
Specialized Finance – 0.0% | ||
NewStar Financial, Inc. (b) | 6,699 | 0 |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 138,942,714 | |
INSURANCE – 17.8% | ||
Insurance Brokers – 4.1% | ||
Aon PLC Class A | 77,315 | 20,104,219 |
Arthur J Gallagher & Co. | 66,520 | 9,266,901 |
Brown & Brown, Inc. | 83,368 | 4,535,219 |
BRP Group, Inc. Class A (a) | 14,682 | 400,231 |
Crawford & Co. Class A | 4,278 | 45,219 |
eHealth, Inc. (a) | 8,553 | 444,842 |
GoHealth, Inc. Class A (a) | 17,511 | 154,097 |
Goosehead Insurance, Inc. Class A | 6,425 | 772,221 |
Marsh & McLennan Cos., Inc. | 174,749 | 25,726,548 |
Selectquote, Inc. (a) | 20,219 | 359,898 |
Willis Towers Watson PLC | 44,054 | 9,078,648 |
70,888,043 | ||
Life & Health Insurance – 3.8% | ||
Aflac, Inc. | 223,775 | 12,307,625 |
55 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INSURANCE – continued | ||
Life & Health Insurance – continued | ||
American Equity Investment Life Holding Co. | 29,416 | $ 943,959 |
Athene Holding Ltd. Class A (a) | 46,178 | 2,984,022 |
Brighthouse Financial, Inc. (a) | 30,930 | 1,331,846 |
CNO Financial Group, Inc. | 48,750 | 1,113,450 |
Genworth Financial, Inc. Class A (a) | 173,544 | 579,637 |
Globe Life, Inc. | 33,680 | 3,135,945 |
Independence Holding Co. | 1,646 | 73,642 |
Lincoln National Corp. | 63,008 | 3,882,553 |
MetLife, Inc. | 257,355 | 14,849,383 |
National Western Life Group, Inc. Class A | 864 | 179,617 |
Primerica, Inc. | 13,523 | 1,977,333 |
Principal Financial Group, Inc. | 93,804 | 5,828,043 |
Prudential Financial, Inc. | 136,535 | 13,691,730 |
Trupanion, Inc. (a) | 12,140 | 1,396,343 |
Unum Group | 70,521 | 1,932,275 |
66,207,403 | ||
Multi-line Insurance – 1.7% | ||
American Financial Group, Inc. | 25,555 | 3,232,452 |
American International Group, Inc. | 297,788 | 14,100,262 |
American National Group, Inc. | 2,888 | 476,462 |
Assurant, Inc. | 19,937 | 3,146,258 |
Horace Mann Educators Corp. | 10,054 | 400,250 |
The Hartford Financial Services Group, Inc. | 122,643 | 7,802,547 |
29,158,231 | ||
Property & Casualty Insurance – 7.4% | ||
Ambac Financial Group, Inc. (a) | 16,780 | 243,646 |
AMERISAFE, Inc. | 7,128 | 407,722 |
Arch Capital Group Ltd. (a) | 140,733 | 5,488,587 |
Argo Group International Holdings Ltd. | 12,684 | 661,217 |
Assured Guaranty Ltd. | 27,084 | 1,294,886 |
Axis Capital Holdings Ltd. | 26,561 | 1,351,158 |
Chubb Ltd. | 154,560 | 26,080,454 |
Cincinnati Financial Corp. | 52,792 | 6,223,121 |
Donegal Group, Inc. Class A | 6,290 | 97,306 |
Employers Holdings, Inc. | 6,239 | 259,043 |
Erie Indemnity Co. Class A | 8,818 | 1,630,360 |
Fidelity National Financial, Inc. | 95,412 | 4,256,329 |
First American Financial Corp. | 39,634 | 2,667,765 |
HCI Group, Inc. | 2,222 | 223,267 |
Heritage Insurance Holdings, Inc. | 8,413 | 61,751 |
James River Group Holdings Ltd. | 13,097 | 476,469 |
Kemper Corp. | 22,496 | 1,484,961 |
Kinsale Capital Group, Inc. | 7,561 | 1,350,735 |
Lemonade, Inc. (a) | 12,575 | 1,094,780 |
Loews Corp. | 79,758 | 4,277,422 |
| ||
Shares | Value | |
Markel Corp. (a) | 4,775 | $ 5,759,462 |
MBIA, Inc. (a) | 17,176 | 224,147 |
Mercury General Corp. | 10,316 | 627,522 |
MetroMile, Inc. (a) | 25,969 | 184,120 |
Old Republic International Corp. | 104,007 | 2,564,813 |
Palomar Holdings, Inc. (a) | 8,435 | 686,862 |
ProAssurance Corp. | 13,572 | 275,240 |
RLI Corp. | 14,239 | 1,543,223 |
Safety Insurance Group, Inc. | 3,083 | 236,219 |
Selective Insurance Group, Inc. | 21,229 | 1,726,979 |
State Auto Financial Corp. | 6,861 | 343,050 |
Stewart Information Services Corp. | 6,069 | 358,132 |
The Allstate Corp. | 103,701 | 13,486,315 |
The Hanover Insurance Group, Inc. | 13,287 | 1,805,703 |
The Progressive Corp. | 200,337 | 19,064,069 |
The Travelers Cos., Inc. | 86,724 | 12,914,938 |
United Fire Group, Inc. | 7,389 | 184,134 |
Universal Insurance Holdings, Inc. | 8,715 | 123,404 |
White Mountains Insurance Group Ltd. | 1,092 | 1,235,674 |
WR Berkley Corp. | 49,628 | 3,631,281 |
126,606,266 | ||
Reinsurance – 0.8% | ||
Alleghany Corp. (a) | 4,817 | 3,194,153 |
Enstar Group Ltd. (a) | 4,140 | 1,064,063 |
Everest Re Group Ltd. | 13,779 | 3,483,745 |
Reinsurance Group of America, Inc. | 23,411 | 2,579,424 |
RenaissanceRe Holdings Ltd. | 17,360 | 2,650,698 |
SiriusPoint Ltd. (a) | 28,328 | 277,614 |
13,249,697 | ||
TOTAL INSURANCE | 306,109,640 | |
IT SERVICES – 0.0% | ||
Data Processing & Outsourced Services – 0.0% | ||
BM Technologies, Inc. (a) | 1,018 | 10,211 |
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.4% | ||
Mortgage REITs – 1.4% | ||
AGNC Investment Corp. | 186,953 | 2,966,944 |
Annaly Capital Management, Inc. | 483,125 | 4,101,731 |
Apollo Commercial Real Estate Finance, Inc. | 49,022 | 746,115 |
Arbor Realty Trust, Inc. | 41,496 | 758,547 |
Ares Commercial Real Estate Corp. | 14,497 | 218,615 |
ARMOUR Residential REIT, Inc. | 24,865 | 258,596 |
Blackstone Mortgage Trust, Inc. Class A | 48,609 | 1,575,904 |
BrightSpire Capital, Inc. | 29,176 | 277,464 |
Broadmark Realty Capital, Inc. | 44,256 | 458,935 |
Capstead Mortgage Corp. | 34,262 | 218,249 |
Chimera Investment Corp. | 81,445 | 1,198,870 |
Annual Report | 56 |
Common Stocks – continued | ||
Shares | Value | |
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | ||
Mortgage REITs – continued | ||
Dynex Capital, Inc. | 11,487 | $ 200,448 |
Ellington Financial, Inc. | 14,823 | 269,482 |
Granite Point Mortgage Trust, Inc. | 18,005 | 254,051 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 27,312 | 1,551,322 |
Invesco Mortgage Capital, Inc. | 77,651 | 267,119 |
KKR Real Estate Finance Trust, Inc. | 11,208 | 238,842 |
Ladder Capital Corp. | 37,615 | 429,563 |
MFA Financial, Inc. | 142,011 | 663,191 |
New Residential Investment Corp. | 159,431 | 1,556,047 |
New York Mortgage Trust, Inc. | 129,503 | 565,928 |
PennyMac Mortgage Investment Trust | 31,492 | 621,022 |
Ready Capital Corp. | 20,525 | 310,338 |
Redwood Trust, Inc. | 37,132 | 440,757 |
Starwood Property Trust, Inc. | 98,483 | 2,563,513 |
TPG RE Finance Trust, Inc. | 17,173 | 225,997 |
Two Harbors Investment Corp. | 96,928 | 621,308 |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 23,558,898 | |
THRIFTS & MORTGAGE FINANCE – 1.2% | ||
Thrifts & Mortgage Finance – 1.2% | ||
Axos Financial, Inc. (a) | 18,352 | 878,143 |
Capitol Federal Financial, Inc. | 42,906 | 475,827 |
Columbia Financial, Inc. (a) | 19,075 | 344,113 |
Essent Group Ltd. | 39,176 | 1,769,580 |
Federal Agricultural Mortgage Corp. Class C | 3,306 | 322,335 |
Flagstar Bancorp, Inc. | 18,971 | 868,113 |
HomeStreet, Inc. | 4,901 | 184,817 |
Kearny Financial Corp. | 31,434 | 378,151 |
Luther Burbank Corp. | 7,988 | 103,524 |
Merchants Bancorp | 3,964 | 145,241 |
Meridian Bancorp, Inc. | 17,737 | 338,954 |
Meta Financial Group, Inc. | 8,128 | 403,962 |
MGIC Investment Corp. | 116,375 | 1,610,630 |
Mr. Cooper Group, Inc. (a) | 25,094 | 932,995 |
| ||
Shares | Value | |
New York Community Bancorp, Inc. | 163,528 | $ 1,926,360 |
NMI Holdings, Inc. Class A (a) | 28,658 | 631,049 |
Northfield Bancorp, Inc. | 16,293 | 268,020 |
Northwest Bancshares, Inc. | 27,334 | 363,815 |
PennyMac Financial Services, Inc. | 19,329 | 1,215,601 |
Premier Financial Corp. | 13,186 | 353,121 |
Provident Financial Services, Inc. | 27,885 | 602,316 |
Radian Group, Inc. | 68,103 | 1,537,766 |
Rocket Cos., Inc. Class A | 46,243 | 797,229 |
TFS Financial Corp. | 19,532 | 380,483 |
TrustCo Bank Corp. | 4,098 | 137,816 |
UWM Holdings Corp. | 32,005 | 244,198 |
Walker & Dunlop, Inc. | 10,687 | 1,105,891 |
Washington Federal, Inc. | 28,332 | 914,274 |
Waterstone Financial, Inc. | 9,741 | 192,190 |
WSFS Financial Corp. | 14,413 | 631,001 |
TOTAL THRIFTS & MORTGAGE FINANCE | 20,057,515 | |
TOTAL COMMON STOCKS (Cost $1,450,918,521) | 1,712,708,496 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $1,729,000) | 1,729,000 | 1,729,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,452,647,521) | 1,714,437,496 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 2,497,454 | |
NET ASSETS – 100.0% | $ 1,716,934,950 |
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 (United States) | 4 | September 2021 | $ 444,320 | $ (10,099) | $ (10,099) |
CME E-mini S&P Financial Select Sector Index Contracts (United States) | 32 | September 2021 | 3,592,400 | (43,288) | (43,288) |
Total Equity Index Contracts | $ (53,387) |
57 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,712,708,496 | $ 1,712,708,496 | $ — | $ — | |||||
Money Market Funds | 1,729,000 | 1,729,000 | — | — | |||||
Total Investments in Securities: | $ 1,714,437,496 | $ 1,714,437,496 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (53,387) | $ (53,387) | $ — | $ — | |||||
Total Liabilities | $ (53,387) | $ (53,387) | $ — | $ — | |||||
Total Derivative Instruments: | $ (53,387) | $ (53,387) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(53,387) | |
Total Equity Risk | 0 | (53,387) | |
Total Value of Derivatives | $0 | $(53,387) |
(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). |
Annual Report | 58 |
Common Stocks – 99.7% | ||
Shares | Value | |
BIOTECHNOLOGY – 18.5% | ||
Biotechnology – 18.5% | ||
4D Molecular Therapeutics, Inc. (a) | 4,328 | $ 107,637 |
AbbVie, Inc. | 823,658 | 95,791,425 |
ACADIA Pharmaceuticals, Inc. (a) | 56,113 | 1,213,724 |
Acceleron Pharma, Inc. (a) | 25,477 | 3,186,154 |
Adverum Biotechnologies, Inc. (a) | 26,910 | 61,086 |
Agenus, Inc. (a) | 74,872 | 387,837 |
Agios Pharmaceuticals, Inc. (a) | 29,021 | 1,395,620 |
Akebia Therapeutics, Inc. (a) | 73,220 | 180,853 |
Akero Therapeutics, Inc. (a) | 7,189 | 154,132 |
Akouos, Inc. (a) | 6,449 | 70,101 |
Albireo Pharma, Inc. (a) | 7,146 | 204,447 |
Alder Biopharmaceuticals, Inc. (a)(b) | 22,547 | 19,841 |
Alector, Inc. (a) | 23,965 | 575,999 |
Aligos Therapeutics, Inc. (a) | 11,821 | 172,232 |
Alkermes PLC (a) | 74,577 | 1,929,307 |
Allakos, Inc. (a) | 14,593 | 1,161,019 |
Allogene Therapeutics, Inc. (a) | 35,839 | 786,666 |
Allovir, Inc. (a) | 16,585 | 317,437 |
Alnylam Pharmaceuticals, Inc. (a) | 54,571 | 9,764,935 |
ALX Oncology Holdings, Inc. (a) | 3,462 | 202,735 |
Amgen, Inc. | 269,395 | 65,069,668 |
Amicus Therapeutics, Inc. (a) | 97,955 | 910,002 |
AnaptysBio, Inc. (a) | 8,242 | 189,401 |
Anavex Life Sciences Corp. (a) | 30,821 | 553,237 |
Anika Therapeutics, Inc. (a) | 6,496 | 260,684 |
Annexon, Inc. (a) | 7,527 | 158,519 |
Apellis Pharmaceuticals, Inc. (a) | 28,353 | 1,814,308 |
Applied Molecular Transport, Inc. (a) | 4,946 | 138,636 |
Applied Therapeutics, Inc. (a) | 8,717 | 150,020 |
Arcturus Therapeutics Holdings, Inc. (a) | 9,883 | 309,437 |
Arcus Biosciences, Inc. (a) | 18,058 | 567,202 |
Arcutis Biotherapeutics, Inc. (a) | 11,512 | 268,575 |
Ardelyx, Inc. (a) | 24,116 | 41,962 |
Arena Pharmaceuticals, Inc. (a) | 26,554 | 1,642,630 |
Arrowhead Pharmaceuticals, Inc. (a) | 46,197 | 3,200,990 |
Atara Biotherapeutics, Inc. (a) | 32,599 | 415,637 |
Athenex, Inc. (a) | 26,076 | 98,307 |
Athersys, Inc. (a) | 89,073 | 145,189 |
Atreca, Inc. Class A (a) | 12,425 | 68,213 |
Aurinia Pharmaceuticals, Inc. (a) | 47,380 | 642,473 |
Avid Bioservices, Inc. (a) | 28,181 | 722,843 |
Avidity Biosciences, Inc. (a) | 7,822 | 151,043 |
Avrobio, Inc. (a) | 16,596 | 122,147 |
Beam Therapeutics, Inc. (a) | 14,198 | 1,306,216 |
BioAtla, Inc. (a) | 3,784 | 155,106 |
BioCryst Pharmaceuticals, Inc. (a) | 82,255 | 1,325,951 |
Biogen, Inc. (a) | 71,051 | 23,214,493 |
| ||
Shares | Value | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 25,211 | $ 3,176,838 |
BioMarin Pharmaceutical, Inc. (a) | 84,767 | 6,504,172 |
Bioxcel Therapeutics, Inc. (a) | 8,914 | 228,109 |
Black Diamond Therapeutics, Inc. (a) | 10,009 | 95,686 |
Bluebird Bio, Inc. (a) | 31,862 | 809,613 |
Blueprint Medicines Corp. (a) | 25,831 | 2,269,770 |
Bolt Biotherapeutics, Inc. (a) | 5,892 | 65,696 |
Bridgebio Pharma, Inc. (a) | 31,530 | 1,685,278 |
C4 Therapeutics, Inc. (a) | 4,996 | 215,527 |
CareDx, Inc. (a) | 24,357 | 2,046,962 |
Catalyst Pharmaceuticals, Inc. (a) | 47,907 | 279,777 |
Celldex Therapeutics, Inc. (a) | 18,427 | 806,181 |
CEL-SCI Corp. (a) | 18,777 | 150,779 |
Cerevel Therapeutics Holdings, Inc. (a) | 19,621 | 483,461 |
ChemoCentryx, Inc. (a) | 22,719 | 335,787 |
Chimerix, Inc. (a) | 33,266 | 220,554 |
Clovis Oncology, Inc. (a) | 45,996 | 222,161 |
Coherus Biosciences, Inc. (a) | 26,717 | 348,657 |
Cortexyme, Inc. (a) | 7,517 | 424,786 |
Crinetics Pharmaceuticals, Inc. (a) | 10,511 | 188,988 |
CRISPR Therapeutics AG (a) | 28,171 | 3,409,254 |
Cue Biopharma, Inc. (a) | 12,219 | 127,322 |
Cullinan Management, Inc. (a) | 6,002 | 137,626 |
Curis, Inc. (a) | 31,649 | 240,216 |
Cytokinetics, Inc. (a) | 34,301 | 1,018,054 |
CytomX Therapeutics, Inc. (a) | 24,146 | 130,630 |
Deciphera Pharmaceuticals, Inc. (a) | 18,690 | 569,858 |
Denali Therapeutics, Inc. (a) | 36,453 | 1,860,197 |
DermTech, Inc. (a) | 7,989 | 268,910 |
Dicerna Pharmaceuticals, Inc. (a) | 31,283 | 1,173,425 |
Dynavax Technologies Corp. (a) | 52,465 | 490,023 |
Dyne Therapeutics, Inc. (a) | 10,722 | 193,747 |
Eagle Pharmaceuticals, Inc. (a) | 5,191 | 241,382 |
Editas Medicine, Inc. (a) | 31,202 | 1,306,116 |
Emergent BioSolutions, Inc. (a) | 22,337 | 1,472,008 |
Enanta Pharmaceuticals, Inc. (a) | 8,687 | 367,026 |
Epizyme, Inc. (a) | 33,589 | 222,695 |
Essa Pharma, Inc. (a) | 9,832 | 219,942 |
Exact Sciences Corp. (a) | 78,866 | 8,504,909 |
Exelixis, Inc. (a) | 144,851 | 2,440,739 |
Fate Therapeutics, Inc. (a) | 35,096 | 2,905,949 |
FibroGen, Inc. (a) | 38,182 | 496,366 |
Flexion Therapeutics, Inc. (a) | 20,357 | 120,717 |
Forma Therapeutics Holdings, Inc. (a) | 7,718 | 176,665 |
Frequency Therapeutics, Inc. (a) | 11,911 | 99,219 |
G1 Therapeutics, Inc. (a) | 13,122 | 227,142 |
Generation Bio Co. (a) | 16,771 | 364,602 |
Geron Corp. (a) | 110,660 | 135,005 |
Gilead Sciences, Inc. | 586,109 | 40,025,384 |
59 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
BIOTECHNOLOGY – continued | ||
Biotechnology – continued | ||
Global Blood Therapeutics, Inc. (a) | 26,044 | $ 711,783 |
Gossamer Bio, Inc. (a) | 21,849 | 171,733 |
Halozyme Therapeutics, Inc. (a) | 60,171 | 2,486,867 |
Heron Therapeutics, Inc. (a) | 40,706 | 503,126 |
Homology Medicines, Inc. (a) | 17,341 | 110,289 |
Horizon Therapeutics PLC (a) | 99,274 | 9,929,385 |
Humanigen, Inc. (a) | 14,896 | 240,124 |
IGM Biosciences, Inc. (a) | 3,455 | 234,975 |
ImmunityBio, Inc. (a) | 17,660 | 193,554 |
ImmunoGen, Inc. (a) | 92,825 | 520,748 |
Immunovant, Inc. (a) | 16,262 | 170,101 |
Incyte Corp. (a) | 87,158 | 6,741,671 |
Inhibrx, Inc. (a) | 4,437 | 126,277 |
Inovio Pharmaceuticals, Inc. (a) | 97,037 | 815,111 |
Insmed, Inc. (a) | 48,063 | 1,182,350 |
Intellia Therapeutics, Inc. (a) | 28,434 | 4,033,363 |
Intercept Pharmaceuticals, Inc. (a) | 13,961 | 241,246 |
Invitae Corp. (a) | 78,346 | 2,192,905 |
Ionis Pharmaceuticals, Inc. (a) | 59,496 | 2,209,681 |
Iovance Biotherapeutics, Inc. (a) | 54,466 | 1,212,958 |
Ironwood Pharmaceuticals, Inc. (a) | 71,557 | 949,561 |
IVERIC bio, Inc. (a) | 30,676 | 264,734 |
Kadmon Holdings, Inc. (a) | 64,240 | 241,542 |
Karuna Therapeutics, Inc. (a) | 8,759 | 1,000,453 |
Karyopharm Therapeutics, Inc. (a) | 27,657 | 230,383 |
Keros Therapeutics, Inc. (a) | 5,906 | 217,341 |
Kiniksa Pharmaceuticals Ltd. Class A (a) | 11,154 | 170,991 |
Kinnate Biopharma, Inc. (a) | 5,037 | 108,698 |
Kodiak Sciences, Inc. (a) | 14,108 | 1,182,815 |
Kronos Bio, Inc. (a) | 7,788 | 159,265 |
Krystal Biotech, Inc. (a) | 6,604 | 385,938 |
Kura Oncology, Inc. (a) | 25,801 | 488,671 |
Kymera Therapeutics, Inc. (a) | 12,625 | 759,772 |
Lexicon Pharmaceuticals, Inc. (a) | 26,747 | 94,684 |
Ligand Pharmaceuticals, Inc. (a) | 7,823 | 887,989 |
MacroGenics, Inc. (a) | 20,846 | 520,316 |
Madrigal Pharmaceuticals, Inc. (a) | 4,452 | 388,749 |
MannKind Corp. (a) | 109,607 | 449,389 |
MeiraGTx Holdings PLC (a) | 10,243 | 143,300 |
Mersana Therapeutics, Inc. (a) | 26,245 | 288,695 |
Merus N.V. (a) | 10,471 | 180,101 |
MiMedx Group, Inc. (a) | 33,034 | 404,997 |
Mirati Therapeutics, Inc. (a) | 16,531 | 2,645,952 |
Moderna, Inc. (a) | 147,654 | 52,210,454 |
Molecular Templates, Inc. (a) | 15,739 | 110,173 |
Morphic Holding, Inc. (a) | 8,331 | 480,032 |
Myovant Sciences Ltd. (a) | 17,112 | 351,138 |
Myriad Genetics, Inc. (a) | 34,707 | 1,097,782 |
| ||
Shares | Value | |
Natera, Inc. (a) | 36,205 | $ 4,146,197 |
Neoleukin Therapeutics, Inc. (a) | 15,540 | 108,625 |
Neurocrine Biosciences, Inc. (a) | 43,829 | 4,085,301 |
Nkarta, Inc. (a) | 3,822 | 121,387 |
Novavax, Inc. (a) | 32,728 | 5,869,112 |
Nurix Therapeutics, Inc. (a) | 9,248 | 284,284 |
Ocugen, Inc. (a) | 87,127 | 584,622 |
Opko Health, Inc. (a) | 206,681 | 710,983 |
Organogenesis Holdings, Inc. (a) | 14,819 | 227,323 |
ORIC Pharmaceuticals, Inc. (a) | 11,051 | 183,999 |
Passage Bio, Inc. (a) | 11,081 | 130,756 |
PMV Pharmaceuticals, Inc. (a) | 5,186 | 176,376 |
Praxis Precision Medicines, Inc. (a) | 10,097 | 157,513 |
Preciden, Inc. (a) | 42,256 | 231,985 |
Precision BioSciences, Inc. (a) | 21,181 | 208,845 |
Prelude Therapeutics, Inc. (a) | 4,315 | 138,253 |
Protagonist Therapeutics, Inc. (a) | 18,231 | 901,158 |
Prothena Corp. PLC (a) | 12,932 | 647,893 |
PTC Therapeutics, Inc. (a) | 29,370 | 1,125,752 |
Puma Biotechnology, Inc. (a) | 13,185 | 99,151 |
Radius Health, Inc. (a) | 18,459 | 279,285 |
Rapt Therapeutics, Inc. (a) | 8,665 | 265,756 |
Regeneron Pharmaceuticals, Inc. (a) | 49,108 | 28,217,948 |
REGENXBIO, Inc. (a) | 14,698 | 475,039 |
Relay Therapeutics, Inc. (a) | 14,657 | 475,473 |
Repare Therapeutics, Inc. (a) | 4,331 | 144,655 |
Replimune Group, Inc. (a) | 9,689 | 317,121 |
REVOLUTION Medicines, Inc. (a) | 21,730 | 622,347 |
Rhythm Pharmaceuticals, Inc. (a) | 16,151 | 279,251 |
Rigel Pharmaceuticals, Inc. (a) | 76,962 | 307,848 |
Rocket Pharmaceuticals, Inc. (a) | 16,832 | 602,922 |
Rubius Therapeutics, Inc. (a) | 16,927 | 363,761 |
Sage Therapeutics, Inc. (a) | 24,277 | 1,061,633 |
Sangamo Therapeutics, Inc. (a) | 57,270 | 548,647 |
Sarepta Therapeutics, Inc. (a) | 35,368 | 2,397,243 |
Scholar Rock Holding Corp. (a) | 10,035 | 313,594 |
Seagen, Inc. (a) | 63,378 | 9,721,551 |
Seres Therapeutics, Inc. (a) | 31,704 | 225,098 |
Shattuck Labs, Inc. (a) | 6,775 | 149,321 |
Silverback Therapeutics, Inc. (a) | 4,855 | 147,009 |
Sorrento Therapeutics, Inc. (a) | 123,360 | 1,012,786 |
Spectrum Pharmaceuticals, Inc. (a) | 74,232 | 239,027 |
SpringWorks Therapeutics, Inc. (a) | 9,156 | 784,669 |
Stoke Therapeutics, Inc. (a) | 5,935 | 169,919 |
Sutro Biopharma, Inc. (a) | 14,878 | 253,372 |
Syndax Pharmaceuticals, Inc. (a) | 17,458 | 254,538 |
Taysha Gene Therapies, Inc. (a) | 7,870 | 136,072 |
TCR2 Therapeutics, Inc. (a) | 10,692 | 133,008 |
TG Therapeutics, Inc. (a) | 55,007 | 1,924,695 |
Translate Bio, Inc. (a) | 20,998 | 580,385 |
Travere Therapeutics, Inc. (a) | 24,427 | 335,871 |
Annual Report | 60 |
Common Stocks – continued | ||
Shares | Value | |
BIOTECHNOLOGY – continued | ||
Biotechnology – continued | ||
Turning Point Therapeutics, Inc. (a) | 19,259 | $ 1,229,109 |
Twist Bioscience Corp. (a) | 20,523 | 2,525,355 |
Ultragenyx Pharmaceutical, Inc. (a) | 29,786 | 2,377,816 |
uniQure N.V. (a) | 15,403 | 446,841 |
United Therapeutics Corp. (a) | 20,794 | 3,783,052 |
Vanda Pharmaceuticals, Inc. (a) | 25,579 | 417,193 |
Vaxart, Inc. (a) | 51,627 | 371,198 |
Vaxcyte, Inc. (a) | 9,441 | 204,681 |
VBI Vaccines, Inc. (a) | 76,343 | 227,502 |
Veracyte, Inc. (a) | 31,428 | 1,400,432 |
Vericel Corp. (a) | 18,135 | 960,067 |
Vertex Pharmaceuticals, Inc. (a) | 121,255 | 24,442,583 |
Viking Therapeutics, Inc. (a) | 31,791 | 195,515 |
Vir Biotechnology, Inc. (a) | 29,605 | 1,055,418 |
XBiotech, Inc. | 8,688 | 140,746 |
Xencor, Inc. (a) | 24,299 | 747,923 |
Xenon Pharmaceuticals, Inc. (a) | 13,306 | 229,795 |
Y-mAbs Therapeutics, Inc. (a) | 12,040 | 398,524 |
Zentalis Pharmaceuticals, Inc. (a) | 9,408 | 500,600 |
ZIOPHARM Oncology, Inc. (a) | 100,742 | 228,684 |
Zymeworks, Inc. (a) | 17,092 | 548,482 |
TOTAL BIOTECHNOLOGY | 526,583,023 | |
HEALTH CARE EQUIPMENT & SUPPLIES – 26.3% | ||
Health Care Equipment – 23.7% | ||
Abbott Laboratories | 826,292 | 99,964,806 |
ABIOMED, Inc. (a) | 21,093 | 6,900,364 |
Accelerate Diagnostics, Inc. (a) | 14,541 | 108,476 |
Alphatec Holdings, Inc. (a) | 29,600 | 436,304 |
AngioDynamics, Inc. (a) | 17,369 | 462,536 |
Aspira Women's Health, Inc. (a) | 23,288 | 104,330 |
AtriCure, Inc. (a) | 19,813 | 1,673,406 |
AxoGen, Inc. (a) | 17,878 | 364,175 |
Axonics, Inc. (a) | 13,872 | 942,602 |
Baxter International, Inc. | 235,591 | 18,222,964 |
Becton Dickinson and Co. | 135,523 | 34,660,007 |
Boston Scientific Corp. (a) | 661,004 | 30,141,782 |
Butterfly Network, Inc. (a) | 45,820 | 492,107 |
Cardiovascular Systems, Inc. (a) | 18,451 | 743,391 |
CONMED Corp. | 13,507 | 1,863,156 |
CryoLife, Inc. (a) | 18,373 | 496,071 |
CryoPort, Inc. (a) | 16,399 | 1,012,146 |
Danaher Corp. | 298,972 | 88,941,180 |
DexCom, Inc. (a) | 44,860 | 23,125,779 |
Eargo, Inc. (a) | 5,320 | 191,520 |
Edwards Lifesciences Corp. (a) | 291,292 | 32,703,353 |
Envista Holdings Corp. (a) | 74,841 | 3,224,150 |
Glaukos Corp. (a) | 20,825 | 1,062,075 |
Globus Medical, Inc. Class A (a) | 36,150 | 3,006,596 |
| ||
Shares | Value | |
Heska Corp. (a) | 4,243 | $ 1,021,290 |
Hill-Rom Holdings, Inc. | 30,981 | 4,289,629 |
Hologic, Inc. (a) | 120,177 | 9,018,082 |
IDEXX Laboratories, Inc. (a) | 39,844 | 27,035,349 |
Inari Medical, Inc. (a) | 9,129 | 819,693 |
Inogen, Inc. (a) | 8,908 | 710,591 |
Insulet Corp. (a) | 30,824 | 8,621,165 |
Integer Holdings Corp. (a) | 15,506 | 1,517,882 |
Integra LifeSciences Holdings Corp. (a) | 33,644 | 2,435,489 |
Intersect ENT, Inc. (a) | 14,397 | 336,170 |
Intuitive Surgical, Inc. (a) | 54,909 | 54,440,077 |
iRhythm Technologies, Inc. (a) | 13,529 | 691,602 |
LeMaitre Vascular, Inc. | 8,409 | 457,954 |
LivaNova PLC (a) | 22,875 | 1,974,113 |
Masimo Corp. (a) | 24,486 | 6,669,742 |
Medtronic PLC | 628,496 | 82,527,810 |
Mesa Laboratories, Inc. | 2,384 | 702,112 |
Natus Medical, Inc. (a) | 16,273 | 434,489 |
Nevro Corp. (a) | 15,276 | 2,367,780 |
Novocure Ltd. (a) | 42,993 | 6,621,352 |
NuVasive, Inc. (a) | 23,805 | 1,522,330 |
Ortho Clinical Diagnostics Holdings PLC (a) | 43,490 | 977,220 |
Orthofix Medical, Inc. (a) | 8,786 | 349,156 |
Outset Medical, Inc. (a) | 18,016 | 737,935 |
Penumbra, Inc. (a) | 16,153 | 4,300,413 |
ResMed, Inc. | 67,871 | 18,447,338 |
Senseonics Holdings, Inc. (a) | 168,484 | 517,246 |
Shockwave Medical, Inc. (a) | 14,450 | 2,629,900 |
Steris PLC | 46,473 | 10,128,790 |
Stryker Corp. | 157,922 | 42,787,387 |
Surmodics, Inc. (a) | 6,362 | 350,610 |
Tactile Systems Technology, Inc. (a) | 9,156 | 448,461 |
Tandem Diabetes Care, Inc. (a) | 29,240 | 3,177,511 |
Teleflex, Inc. | 21,775 | 8,654,038 |
TransMedics Group, Inc. (a) | 11,408 | 325,356 |
Vapotherm, Inc. (a) | 7,808 | 201,915 |
Varex Imaging Corp. (a) | 18,205 | 496,997 |
ViewRay, Inc. (a) | 55,716 | 369,954 |
Zimmer Biomet Holdings, Inc. | 96,947 | 15,843,079 |
Zomedica Corp. (a) | 416,879 | 253,629 |
Zynex, Inc. (a) | 10,348 | 143,734 |
676,198,646 | ||
Health Care Supplies – 2.6% | ||
Align Technology, Inc. (a) | 34,942 | 24,312,644 |
Atrion Corp. | 702 | 441,516 |
Avanos Medical, Inc. (a) | 22,247 | 844,051 |
BioLife Solutions, Inc. (a) | 12,228 | 573,493 |
Cerus Corp. (a) | 80,380 | 405,115 |
DENTSPLY SIRONA, Inc. | 101,937 | 6,731,919 |
61 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE EQUIPMENT & SUPPLIES – continued | ||
Health Care Supplies – continued | ||
Establishment Labs Holdings, Inc. (a) | 8,775 | $ 695,770 |
Haemonetics Corp. (a) | 23,868 | 1,450,936 |
ICU Medical, Inc. (a) | 9,306 | 1,891,817 |
Lantheus Holdings, Inc. (a) | 31,008 | 811,479 |
Meridian Bioscience, Inc. (a) | 18,986 | 389,213 |
Merit Medical Systems, Inc. (a) | 23,160 | 1,623,284 |
Neogen Corp. (a) | 49,924 | 2,174,689 |
OraSure Technologies, Inc. (a) | 32,801 | 386,724 |
OrthoPediatrics Corp. (a) | 6,337 | 398,217 |
Pulmonx Corp. (a) | 9,098 | 360,827 |
Quidel Corp. (a) | 17,790 | 2,516,751 |
Quotient Ltd. (a) | 37,188 | 126,811 |
SI-BONE, Inc. (a) | 11,993 | 363,868 |
Silk Road Medical, Inc. (a) | 14,940 | 749,689 |
SmileDirectClub, Inc. (a) | 47,339 | 334,213 |
STAAR Surgical Co. (a) | 17,462 | 2,233,739 |
The Cooper Cos., Inc. | 22,924 | 9,668,656 |
West Pharmaceutical Services, Inc. | 34,563 | 14,230,624 |
73,716,045 | ||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 749,914,691 | |
HEALTH CARE PROVIDERS & SERVICES – 18.6% | ||
Health Care Distributors – 1.5% | ||
AdaptHealth Corp. (a) | 26,595 | 595,462 |
AmerisourceBergen Corp. | 71,611 | 8,748,716 |
Apria, Inc. (a) | 6,530 | 205,891 |
Cardinal Health, Inc. | 136,976 | 8,133,635 |
Covetrus, Inc. (a) | 47,170 | 1,200,948 |
Henry Schein, Inc. (a) | 66,449 | 5,325,887 |
McKesson Corp. | 74,161 | 15,116,237 |
Owens & Minor, Inc. | 32,442 | 1,500,442 |
Patterson Cos., Inc. | 40,233 | 1,252,453 |
PetIQ, Inc. (a) | 9,714 | 343,487 |
42,423,158 | ||
Health Care Facilities – 1.9% | ||
Acadia Healthcare Co., Inc. (a) | 39,630 | 2,445,964 |
Brookdale Senior Living, Inc. (a) | 86,404 | 649,758 |
Community Health Systems, Inc. (a) | 51,033 | 679,760 |
Encompass Health Corp. | 46,429 | 3,865,214 |
Hanger, Inc. (a) | 17,813 | 437,131 |
HCA Healthcare, Inc. | 126,836 | 31,480,695 |
National HealthCare Corp. | 6,149 | 477,470 |
Select Medical Holdings Corp. | 50,685 | 1,999,523 |
Surgery Partners, Inc. (a) | 15,072 | 822,328 |
Tenet Healthcare Corp. (a) | 42,314 | 3,039,838 |
The Ensign Group, Inc. | 24,372 | 2,073,326 |
The Joint Corp. (a) | 6,555 | 517,779 |
The Pennant Group, Inc. (a) | 12,217 | 418,066 |
Universal Health Services, Inc. Class B | 36,305 | 5,823,685 |
| ||
Shares | Value | |
US Physical Therapy, Inc. | 6,098 | $ 720,540 |
55,451,077 | ||
Health Care Services – 5.2% | ||
1Life Healthcare, Inc. (a) | 38,032 | 1,028,385 |
Accolade, Inc. (a) | 14,912 | 698,031 |
Addus HomeCare Corp. (a) | 7,317 | 635,043 |
Amedisys, Inc. (a) | 15,328 | 3,994,783 |
AMN Healthcare Services, Inc. (a) | 22,078 | 2,220,164 |
Apollo Medical Holdings, Inc. (a) | 14,176 | 1,252,733 |
Castle Biosciences, Inc. (a) | 9,178 | 641,083 |
Chemed Corp. | 7,453 | 3,547,777 |
Cigna Corp. | 164,107 | 37,660,916 |
CorVel Corp. (a) | 4,689 | 660,305 |
CVS Health Corp. | 611,653 | 50,375,741 |
DaVita, Inc. (a) | 33,169 | 3,988,572 |
Fulgent Genetics, Inc. (a) | 6,749 | 622,595 |
Guardant Health, Inc. (a) | 39,814 | 4,371,577 |
Hims & Hers Health, Inc. (a) | 33,899 | 268,141 |
Laboratory Corp. of America Holdings (a) | 45,524 | 13,481,933 |
LHC Group, Inc. (a) | 14,035 | 3,020,051 |
MEDNAX, Inc. (a) | 35,695 | 1,039,439 |
ModivCare, Inc. (a) | 5,915 | 1,005,550 |
National Research Corp. | 6,569 | 346,712 |
Oak Street Health, Inc. (a) | 45,048 | 2,839,826 |
Ontrak, Inc. (a) | 4,214 | 113,820 |
Option Care Health, Inc. (a) | 37,473 | 776,441 |
Premier, Inc. Class A | 57,405 | 2,045,914 |
Quest Diagnostics, Inc. | 62,246 | 8,826,483 |
R1 RCM, Inc. (a) | 54,418 | 1,165,089 |
RadNet, Inc. (a) | 20,707 | 760,775 |
Signify Health, Inc. (a) | 15,544 | 409,118 |
Tivity Health, Inc. (a) | 18,152 | 455,252 |
148,252,249 | ||
Managed Health Care – 10.0% | ||
Anthem, Inc. | 114,235 | 43,867,382 |
Centene Corp. (a) | 271,272 | 18,611,972 |
Clover Health Investments Corp. (a) | 53,857 | 434,626 |
HealthEquity, Inc. (a) | 38,440 | 2,843,791 |
Humana, Inc. | 60,106 | 25,596,741 |
Magellan Health, Inc. (a) | 9,804 | 924,713 |
Molina Healthcare, Inc. (a) | 27,049 | 7,384,648 |
Progyny, Inc. (a) | 24,195 | 1,347,420 |
Triple-S Management Corp. Class B (a) | 11,365 | 276,510 |
UnitedHealth Group, Inc. | 442,553 | 182,429,198 |
283,717,001 | ||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 529,843,485 |
Annual Report | 62 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE TECHNOLOGY – 2.2% | ||
Health Care Technology – 2.2% | ||
Allscripts Healthcare Solutions, Inc. (a) | 74,104 | $ 1,265,696 |
American Well Corp. Class A (a) | 23,876 | 278,155 |
Cerner Corp. | 142,867 | 11,485,078 |
Certara, Inc. (a) | 21,263 | 578,566 |
Change Healthcare, Inc. (a) | 107,108 | 2,325,315 |
Computer Programs & Systems, Inc. | 6,592 | 208,109 |
Evolent Health, Inc. Class A (a) | 39,734 | 911,498 |
Health Catalyst, Inc. (a) | 17,340 | 1,006,760 |
HealthStream, Inc. (a) | 11,744 | 343,042 |
Inovalon Holdings, Inc. Class A (a) | 35,646 | 1,350,271 |
Inspire Medical Systems, Inc. (a) | 12,727 | 2,331,077 |
Multiplan Corp. (a) | 61,974 | 498,891 |
NextGen Healthcare, Inc. (a) | 26,605 | 431,533 |
Omnicell, Inc. (a) | 20,073 | 2,940,695 |
OptimizeRx Corp. (a) | 6,899 | 381,308 |
Phreesia, Inc. (a) | 20,779 | 1,420,245 |
Schrodinger, Inc. (a) | 20,870 | 1,412,273 |
Simulations Plus, Inc. | 7,423 | 350,291 |
Tabula Rasa HealthCare, Inc. (a) | 10,847 | 465,987 |
Teladoc Health, Inc. (a) | 63,085 | 9,364,968 |
Veeva Systems, Inc. Class A (a) | 63,608 | 21,163,018 |
Vocera Communications, Inc. (a) | 15,484 | 649,709 |
TOTAL HEALTH CARE TECHNOLOGY | 61,162,485 | |
LIFE SCIENCES TOOLS & SERVICES – 10.1% | ||
Life Sciences Tools & Services – 10.1% | ||
10X Genomics, Inc. Class A (a) | 34,126 | 6,252,907 |
Adaptive Biotechnologies Corp. (a) | 42,347 | 1,552,441 |
Agilent Technologies, Inc. | 142,260 | 21,798,500 |
Avantor, Inc. (a) | 243,811 | 9,162,417 |
Bionano Genomics, Inc. (a) | 129,087 | 765,486 |
Bio-Rad Laboratories, Inc. Class A (a) | 10,397 | 7,688,685 |
Bio-Techne Corp. | 18,097 | 8,727,097 |
Bruker Corp. | 49,996 | 4,112,171 |
Charles River Laboratories International, Inc. (a) | 23,418 | 9,529,253 |
Codexis, Inc. (a) | 26,569 | 562,200 |
Fluidigm Corp. (a) | 33,629 | 249,191 |
Illumina, Inc. (a) | 68,051 | 33,736,283 |
IQVIA Holdings, Inc. (a) | 89,447 | 22,156,022 |
Maravai LifeSciences Holdings, Inc. Class A (a) | 41,506 | 1,825,019 |
Medpace Holdings, Inc. (a) | 13,399 | 2,357,420 |
Mettler-Toledo International, Inc. (a) | 10,921 | 16,094,387 |
NanoString Technologies, Inc. (a) | 20,669 | 1,280,238 |
NeoGenomics, Inc. (a) | 52,087 | 2,401,211 |
Pacific Biosciences of California, Inc. (a) | 85,988 | 2,764,514 |
| ||
Shares | Value | |
PerkinElmer, Inc. | 52,230 | $ 9,517,873 |
Personalis, Inc. (a) | 15,185 | 318,733 |
PPD, Inc. (a) | 57,367 | 2,645,766 |
Quanterix Corp. (a) | 13,180 | 700,517 |
Repligen Corp. (a) | 24,268 | 5,962,648 |
Seer, Inc. (a) | 5,204 | 166,216 |
Sotera Health Co. (a) | 39,316 | 931,789 |
Syneos Health, Inc. (a) | 48,417 | 4,341,552 |
Thermo Fisher Scientific, Inc. | 183,676 | 99,186,877 |
Waters Corp. (a) | 29,007 | 11,307,219 |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 288,094,632 | |
PHARMACEUTICALS – 24.0% | ||
Pharmaceuticals – 24.0% | ||
Aclaris Therapeutics, Inc. (a) | 20,447 | 305,274 |
Aerie Pharmaceuticals, Inc. (a) | 20,603 | 325,115 |
Amneal Pharmaceuticals, Inc. (a) | 44,509 | 219,429 |
Amphastar Pharmaceuticals, Inc. (a) | 18,162 | 380,494 |
ANI Pharmaceuticals, Inc. (a) | 4,469 | 151,633 |
Antares Pharma, Inc. (a) | 72,733 | 320,025 |
Arvinas, Inc. (a) | 16,521 | 1,670,273 |
Atea Pharmaceuticals, Inc. (a) | 7,667 | 191,982 |
Axsome Therapeutics, Inc. (a) | 11,244 | 546,346 |
BioDelivery Sciences International, Inc. (a) | 38,602 | 145,144 |
Bristol-Myers Squibb Co. | 1,045,016 | 70,925,236 |
Cara Therapeutics, Inc. (a) | 18,478 | 221,182 |
Cassava Sciences, Inc. (a) | 17,179 | 1,194,456 |
Catalent, Inc. (a) | 79,397 | 9,512,555 |
Collegium Pharmaceutical, Inc. (a) | 14,397 | 358,341 |
Corcept Therapeutics, Inc. (a) | 51,827 | 1,076,447 |
Durect Corp. (a) | 113,000 | 159,330 |
Elanco Animal Health, Inc. (a) | 198,103 | 7,224,816 |
Eli Lilly & Co. | 379,982 | 92,525,617 |
Endo International PLC (a) | 105,847 | 535,586 |
Esperion Therapeutics, Inc. (a) | 11,005 | 169,367 |
Harmony Biosciences Holdings, Inc. (a) | 7,904 | 206,769 |
Innoviva, Inc. (a) | 31,317 | 444,075 |
Intra-Cellular Therapies, Inc. (a) | 31,861 | 1,093,788 |
Jazz Pharmaceuticals PLC (a) | 28,309 | 4,798,942 |
Johnson & Johnson | 1,226,083 | 211,131,493 |
Kala Pharmaceuticals, Inc. (a) | 15,602 | 53,827 |
Merck & Co., Inc. | 1,180,205 | 90,722,358 |
Nektar Therapeutics (a) | 83,098 | 1,312,117 |
NGM Biopharmaceuticals, Inc. (a) | 14,205 | 289,640 |
Nuvation Bio, Inc. (a) | 55,197 | 476,902 |
Ocular Therapeutix, Inc. (a) | 28,580 | 314,666 |
Omeros Corp. (a) | 27,778 | 402,781 |
Organon & Co. | 118,150 | 3,427,531 |
Pacira BioSciences, Inc. (a) | 20,120 | 1,186,074 |
63 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
PHARMACEUTICALS – continued | ||
Pharmaceuticals – continued | ||
Perrigo Co. PLC | 62,473 | $ 3,000,578 |
Pfizer, Inc. | 2,601,553 | 111,372,484 |
Phathom Pharmaceuticals, Inc. (a) | 6,512 | 209,035 |
Phibro Animal Health Corp. Class A | 9,810 | 232,203 |
Pliant Therapeutics, Inc. (a) | 5,996 | 121,119 |
Prestige Consumer Healthcare, Inc. (a) | 23,101 | 1,213,958 |
Provention Bio, Inc. (a) | 22,050 | 133,843 |
Reata Pharmaceuticals, Inc. Class A (a) | 12,232 | 1,532,792 |
Relmada Therapeutics, Inc. (a) | 5,050 | 131,300 |
Revance Therapeutics, Inc. (a) | 31,406 | 913,286 |
Royalty Pharma PLC Class A | 81,598 | 3,117,044 |
SIGA Technologies, Inc. (a) | 21,324 | 135,834 |
Supernus Pharmaceuticals, Inc. (a) | 24,160 | 636,133 |
TherapeuticsMD, Inc. (a) | 173,378 | 173,378 |
Theravance Biopharma, Inc. (a) | 24,937 | 323,682 |
Tilray, Inc. Class 2 (a) | 194,840 | 2,846,612 |
Viatris, Inc. | 574,366 | 8,081,330 |
Zoetis, Inc. | 221,629 | 44,924,198 |
Zogenix, Inc. (a) | 23,206 | 376,169 |
TOTAL PHARMACEUTICALS | 683,494,589 | |
TOTAL COMMON STOCKS (Cost $2,022,660,672) | 2,839,092,905 |
Money Market Fund – 0.2% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $4,264,000) | 4,264,000 | $ 4,264,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $2,026,924,672) | 2,843,356,905 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 2,881,658 | |
NET ASSETS – 100.0% | $ 2,846,238,563 |
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 (United States) | 7 | September 2021 | $ 777,560 | $ (12,611) | $ (12,611) |
CME E-mini S&P Health Care Select Sector Index Contracts (United States) | 45 | September 2021 | 5,993,550 | 228,452 | 228,452 |
Total Equity Index Contracts | $ 215,841 |
Annual Report | 64 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,839,092,905 | $ 2,839,073,064 | $ — | $ 19,841 | |||||
Money Market Funds | 4,264,000 | 4,264,000 | — | — | |||||
Total Investments in Securities: | $ 2,843,356,905 | $ 2,843,337,064 | $ — | $ 19,841 | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 228,452 | $ 228,452 | $ — | $ — | |||||
Total Assets | $ 228,452 | $ 228,452 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (12,611) | $ (12,611) | $ — | $ — | |||||
Total Liabilities | $ (12,611) | $ (12,611) | $ — | $ — | |||||
Total Derivative Instruments: | $ 215,841 | $ 215,841 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $228,452 | $(12,611) | |
Total Equity Risk | 228,452 | (12,611) | |
Total Value of Derivatives | $228,452 | $(12,611) |
(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 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
AEROSPACE & DEFENSE – 16.3% | ||
Aerospace & Defense – 16.3% | ||
AAR Corp. (a) | 7,015 | $ 250,856 |
Aerojet Rocketdyne Holdings, Inc. | 13,797 | 650,943 |
AeroVironment, Inc. (a) | 4,854 | 490,739 |
Axon Enterprise, Inc. (a) | 13,320 | 2,477,786 |
BWX Technologies, Inc. | 19,898 | 1,142,742 |
Curtiss-Wright Corp. | 8,576 | 1,014,541 |
Ducommun, Inc. (a) | 2,298 | 123,977 |
General Dynamics Corp. | 51,066 | 10,010,468 |
HEICO Corp. | 9,081 | 1,228,205 |
HEICO Corp. Class A | 15,342 | 1,860,831 |
Hexcel Corp. (a) | 17,525 | 953,711 |
Howmet Aerospace, Inc. (a) | 82,013 | 2,691,667 |
Huntington Ingalls Industries, Inc. | 8,481 | 1,739,708 |
Kaman Corp. | 5,236 | 232,217 |
Kratos Defense & Security Solutions, Inc. (a) | 25,817 | 702,222 |
L3Harris Technologies, Inc. | 44,107 | 10,000,821 |
Lockheed Martin Corp. | 52,905 | 19,663,201 |
Maxar Technologies, Inc. | 14,906 | 540,641 |
Mercury Systems, Inc. (a) | 11,761 | 776,226 |
Moog, Inc. Class A | 6,152 | 479,056 |
National Presto Industries, Inc. | 1,106 | 106,707 |
Northrop Grumman Corp. | 33,252 | 12,071,141 |
PAE, Inc. (a) | 13,864 | 123,667 |
Parsons Corp. (a) | 5,378 | 207,698 |
Raytheon Technologies Corp. | 318,881 | 27,726,703 |
Spirit AeroSystems Holdings, Inc. Class A | 22,108 | 955,287 |
Teledyne Technologies, Inc. (a) | 9,733 | 4,406,810 |
Textron, Inc. | 47,530 | 3,280,045 |
The Boeing Co. (a) | 116,232 | 26,324,223 |
TransDigm Group, Inc. (a) | 10,909 | 6,993,651 |
Triumph Group, Inc. (a) | 11,519 | 219,437 |
Vectrus, Inc. (a) | 2,502 | 113,316 |
Virgin Galactic Holdings, Inc. (a) | 27,001 | 809,760 |
TOTAL AEROSPACE & DEFENSE | 140,369,003 | |
AIR FREIGHT & LOGISTICS – 6.3% | ||
Air Freight & Logistics – 6.3% | ||
Air Transport Services Group, Inc. (a) | 3,160 | 76,472 |
Atlas Air Worldwide Holdings, Inc. (a) | 1,504 | 100,723 |
CH Robinson Worldwide, Inc. | 28,111 | 2,506,658 |
Echo Global Logistics, Inc. (a) | 5,625 | 173,981 |
Expeditors International of Washington, Inc. | 35,545 | 4,558,646 |
FedEx Corp. | 52,847 | 14,794,518 |
Forward Air Corp. | 5,763 | 509,680 |
Hub Group, Inc. Class A (a) | 7,079 | 469,196 |
| ||
Shares | Value | |
United Parcel Service, Inc. Class B | 150,998 | $ 28,894,977 |
XPO Logistics, Inc. (a) | 18,264 | 2,533,034 |
TOTAL AIR FREIGHT & LOGISTICS | 54,617,885 | |
AIRLINES – 0.5% | ||
Airlines – 0.5% | ||
Alaska Air Group, Inc. (a) | 6,472 | 375,570 |
Allegiant Travel Co. (a) | 856 | 162,743 |
American Airlines Group, Inc. (a) | 33,498 | 682,689 |
Delta Air Lines, Inc. (a) | 33,420 | 1,333,458 |
Hawaiian Holdings, Inc. (a) | 2,494 | 49,207 |
JetBlue Airways Corp. (a) | 16,538 | 244,597 |
SkyWest, Inc. (a) | 2,615 | 105,881 |
Southwest Airlines Co. (a) | 31,085 | 1,570,414 |
Spirit Airlines, Inc. (a) | 5,675 | 153,112 |
TOTAL AIRLINES | 4,677,671 | |
BUILDING PRODUCTS – 7.2% | ||
Building Products – 7.2% | ||
AAON, Inc. | 8,761 | 544,496 |
Advanced Drainage Systems, Inc. | 11,136 | 1,359,594 |
Allegion PLC | 19,072 | 2,605,235 |
American Woodmark Corp. (a) | 3,563 | 264,553 |
AO Smith Corp. | 28,556 | 2,008,343 |
Apogee Enterprises, Inc. | 5,378 | 213,345 |
Armstrong World Industries, Inc. | 10,009 | 1,082,774 |
Builders FirstSource, Inc. (a) | 40,831 | 1,816,979 |
Carlisle Cos., Inc. | 11,210 | 2,267,110 |
Carrier Global Corp. | 173,339 | 9,576,980 |
Cornerstone Building Brands, Inc. (a) | 10,384 | 174,659 |
CSW Industrials, Inc. | 3,158 | 373,560 |
Fortune Brands Home & Security, Inc. | 29,133 | 2,839,594 |
Gibraltar Industries, Inc. (a) | 6,800 | 507,824 |
Griffon Corp. | 10,057 | 232,518 |
Insteel Industries, Inc. | 4,074 | 158,193 |
JELD-WEN Holding, Inc. (a) | 14,785 | 391,507 |
Johnson Controls International PLC | 151,157 | 10,795,633 |
Lennox International, Inc. | 7,137 | 2,351,142 |
Masco Corp. | 54,013 | 3,225,116 |
Masonite International Corp. (a) | 4,864 | 550,410 |
Owens Corning | 22,067 | 2,121,963 |
PGT Innovations, Inc. (a) | 12,329 | 278,389 |
Quanex Building Products Corp. | 7,039 | 174,849 |
Resideo Technologies, Inc. (a) | 29,270 | 863,465 |
Simpson Manufacturing Co., Inc. | 9,096 | 1,023,118 |
The AZEK Co., Inc. (a) | 19,446 | 707,251 |
Trane Technologies PLC | 50,037 | 10,188,034 |
Trex Co., Inc. (a) | 24,350 | 2,364,385 |
UFP Industries, Inc. | 12,815 | 951,642 |
TOTAL BUILDING PRODUCTS | 62,012,661 |
Annual Report | 66 |
Common Stocks – continued | ||
Shares | Value | |
COMMERCIAL SERVICES & SUPPLIES – 6.8% | ||
Commercial Printing – 0.2% | ||
Brady Corp. Class A | 10,157 | $ 555,385 |
Cimpress PLC (a) | 3,542 | 362,170 |
Deluxe Corp. | 8,908 | 391,061 |
Ennis, Inc. | 5,677 | 112,234 |
1,420,850 | ||
Diversified Support Services – 2.1% | ||
Cintas Corp. | 19,837 | 7,819,349 |
Copart, Inc. (a) | 44,635 | 6,561,345 |
Driven Brands Holdings, Inc. (a) | 8,766 | 278,934 |
Healthcare Services Group, Inc. | 15,846 | 413,581 |
IAA, Inc. (a) | 28,183 | 1,704,508 |
KAR Auction Services, Inc. (a) | 27,499 | 453,183 |
Matthews International Corp. Class A | 6,635 | 229,571 |
UniFirst Corp. | 3,187 | 694,033 |
Viad Corp. (a) | 4,423 | 202,794 |
18,357,298 | ||
Environmental & Facilities Services – 4.0% | ||
ABM Industries, Inc. | 14,053 | 653,324 |
BrightView Holdings, Inc. (a) | 8,810 | 141,224 |
Casella Waste Systems, Inc. Class A (a) | 10,496 | 721,915 |
Clean Harbors, Inc. (a) | 10,902 | 1,035,690 |
Covanta Holding Corp. | 25,172 | 505,957 |
Harsco Corp. (a) | 16,390 | 329,767 |
Heritage-Crystal Clean, Inc. (a) | 3,247 | 91,501 |
Montrose Environmental Group, Inc. (a) | 4,488 | 240,961 |
Republic Services, Inc. | 46,847 | 5,544,811 |
Rollins, Inc. | 46,579 | 1,785,373 |
SP Plus Corp. (a) | 4,951 | 162,343 |
Stericycle, Inc. (a) | 19,188 | 1,353,713 |
Tetra Tech, Inc. | 11,359 | 1,516,654 |
US Ecology, Inc. (a) | 6,600 | 231,000 |
Waste Connections, Inc. | 55,054 | 6,974,791 |
Waste Management, Inc. | 88,805 | 13,166,229 |
34,455,253 | ||
Office Services & Supplies – 0.4% | ||
ACCO Brands Corp. | 20,286 | 181,357 |
Herman Miller, Inc. | 15,795 | 681,554 |
HNI Corp. | 8,936 | 333,313 |
Interface, Inc. | 12,316 | 177,597 |
Kimball International, Inc. Class B | 7,983 | 98,830 |
MSA Safety, Inc. | 7,777 | 1,279,161 |
Pitney Bowes, Inc. | 24,640 | 197,120 |
Steelcase, Inc. Class A | 17,735 | 243,856 |
3,192,788 | ||
Security & Alarm Services – 0.1% | ||
ADT, Inc. | 32,303 | 338,858 |
CoreCivic, Inc. (a) | 25,082 | 257,843 |
| ||
Shares | Value | |
The Brink's Co. | 10,354 | $ 796,844 |
1,393,545 | ||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 58,819,734 | |
CONSTRUCTION & ENGINEERING – 1.7% | ||
Construction & Engineering – 1.7% | ||
AECOM (a) | 29,393 | 1,850,583 |
Ameresco, Inc. Class A (a) | 5,004 | 342,924 |
API Group Corp. (a)(b) | 29,325 | 672,129 |
Arcosa, Inc. | 10,091 | 552,583 |
Argan, Inc. | 3,374 | 151,661 |
Comfort Systems USA, Inc. | 7,580 | 566,605 |
Construction Partners, Inc. Class A (a) | 6,061 | 203,528 |
Dycom Industries, Inc. (a) | 6,647 | 461,302 |
EMCOR Group, Inc. | 11,480 | 1,398,379 |
Fluor Corp. (a) | 29,477 | 491,087 |
Granite Construction, Inc. | 9,569 | 367,641 |
Great Lakes Dredge & Dock Corp. (a) | 13,887 | 213,860 |
IES Holdings, Inc. (a) | 2,026 | 110,235 |
MasTec, Inc. (a) | 12,432 | 1,258,491 |
MYR Group, Inc. (a) | 3,524 | 337,000 |
NV5 Global, Inc. (a) | 2,624 | 249,280 |
Primoris Services Corp. | 10,293 | 307,761 |
Quanta Services, Inc. | 29,187 | 2,653,098 |
Sterling Construction Co., Inc. (a) | 6,000 | 131,760 |
Tutor Perini Corp. (a) | 9,600 | 135,072 |
Valmont Industries, Inc. | 4,444 | 1,053,006 |
WillScot Mobile Mini Holdings Corp. (a) | 35,908 | 1,030,919 |
TOTAL CONSTRUCTION & ENGINEERING | 14,538,904 | |
ELECTRICAL EQUIPMENT – 7.6% | ||
Electrical Components & Equipment – 7.5% | ||
Acuity Brands, Inc. | 7,546 | 1,323,418 |
AMETEK, Inc. | 48,387 | 6,728,212 |
Array Technologies, Inc. (a) | 23,940 | 324,148 |
Atkore, Inc. (a) | 9,766 | 733,524 |
Eaton Corp. PLC | 83,546 | 13,204,445 |
Emerson Electric Co. | 125,924 | 12,704,472 |
Encore Wire Corp. | 4,363 | 342,190 |
EnerSys | 8,943 | 882,316 |
FuelCell Energy, Inc. (a) | 67,538 | 427,516 |
Generac Holdings, Inc. (a) | 13,195 | 5,533,455 |
GrafTech International Ltd. | 36,330 | 413,072 |
Hubbell, Inc. | 11,417 | 2,288,652 |
nVent Electric PLC | 35,232 | 1,113,684 |
Plug Power, Inc. (a) | 105,588 | 2,880,441 |
Regal-Beloit Corp. | 8,505 | 1,252,191 |
Rockwell Automation, Inc. | 24,377 | 7,493,977 |
Romeo Power, Inc. (a) | 18,609 | 131,193 |
67 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
ELECTRICAL EQUIPMENT – continued | ||
Electrical Components & Equipment – continued | ||
Sensata Technologies Holding PLC (a) | 33,167 | $ 1,944,250 |
Shoals Technologies Group, Inc. (a) | 18,613 | 541,452 |
Sunrun, Inc. (a) | 36,100 | 1,912,217 |
Thermon Group Holdings, Inc. (a) | 7,258 | 120,918 |
Vertiv Holdings Co. | 53,734 | 1,506,701 |
Vicor Corp. (a) | 4,619 | 534,003 |
64,336,447 | ||
Heavy Electrical Equipment – 0.1% | ||
AZZ, Inc. | 5,312 | 281,483 |
Bloom Energy Corp. Class A (a) | 30,173 | 657,772 |
TPI Composites, Inc. (a) | 7,660 | 299,812 |
1,239,067 | ||
TOTAL ELECTRICAL EQUIPMENT | 65,575,514 | |
INDUSTRIAL CONGLOMERATES – 10.8% | ||
Industrial Conglomerates – 10.8% | ||
3M Co. | 121,531 | 24,055,846 |
General Electric Co. | 1,840,059 | 23,828,764 |
Honeywell International, Inc. | 145,960 | 34,123,988 |
Raven Industries, Inc. | 7,569 | 440,894 |
Roper Technologies, Inc. | 22,022 | 10,820,290 |
TOTAL INDUSTRIAL CONGLOMERATES | 93,269,782 | |
MACHINERY – 20.5% | ||
Agricultural & Farm Machinery – 3.2% | ||
AGCO Corp. | 13,334 | 1,761,555 |
Deere & Co. | 62,489 | 22,595,397 |
Hydrofarm Holdings Group, Inc. (a) | 2,481 | 122,413 |
Lindsay Corp. | 2,286 | 367,337 |
The Toro Co. | 22,697 | 2,581,557 |
27,428,259 | ||
Construction Machinery & Heavy Trucks – 5.5% | ||
Alamo Group, Inc. | 2,111 | 309,831 |
Allison Transmission Holdings, Inc. | 23,274 | 928,865 |
Astec Industries, Inc. | 4,518 | 276,999 |
Blue Bird Corp. (a) | 3,406 | 85,150 |
Caterpillar, Inc. | 114,438 | 23,660,056 |
Cummins, Inc. | 30,988 | 7,192,315 |
Douglas Dynamics, Inc. | 4,815 | 192,118 |
Federal Signal Corp. | 12,682 | 502,334 |
Hyliion Holdings Corp. (a) | 19,615 | 190,266 |
Ideanomics, Inc. | 79,182 | 187,661 |
Meritor, Inc. (a) | 15,194 | 369,670 |
Nikola Corp. (a) | 32,840 | 389,811 |
Oshkosh Corp. | 14,387 | 1,719,966 |
PACCAR, Inc. | 72,809 | 6,042,419 |
REV Group, Inc. | 6,036 | 91,204 |
Terex Corp. | 14,537 | 696,613 |
| ||
Shares | Value | |
The Greenbrier Cos., Inc. | 6,946 | $ 297,289 |
The Manitowoc Co., Inc. (a) | 7,253 | 167,907 |
The Shyft Group, Inc. | 6,582 | 259,594 |
Trinity Industries, Inc. | 17,435 | 472,663 |
Wabash National Corp. | 10,806 | 158,200 |
Westinghouse Air Brake Technologies Corp. | 37,695 | 3,199,175 |
47,390,106 | ||
Industrial Machinery – 11.8% | ||
Albany International Corp. Class A | 6,426 | 554,885 |
Altra Industrial Motion Corp. | 13,555 | 849,627 |
Barnes Group, Inc. | 10,047 | 509,081 |
Chart Industries, Inc. (a) | 7,553 | 1,174,114 |
CIRCOR International, Inc. (a) | 4,190 | 129,220 |
Colfax Corp. (a) | 24,988 | 1,146,449 |
Columbus McKinnon Corp. | 5,881 | 272,878 |
Crane Co. | 9,746 | 947,604 |
Desktop Metal, Inc. Class A (a) | 23,042 | 207,378 |
Donaldson Co., Inc. | 26,440 | 1,750,064 |
Dover Corp. | 30,160 | 5,040,339 |
Energy Recovery, Inc. (a) | 7,639 | 161,565 |
Enerpac Tool Group Corp. | 12,540 | 321,902 |
EnPro Industries, Inc. | 4,086 | 380,488 |
ESCO Technologies, Inc. | 5,505 | 519,507 |
Evoqua Water Technologies Corp. (a) | 25,065 | 827,396 |
Flowserve Corp. | 27,291 | 1,148,678 |
Fortive Corp. | 67,367 | 4,894,886 |
Franklin Electric Co., Inc. | 8,232 | 673,048 |
Gates Industrial Corp. PLC (a) | 12,088 | 218,914 |
Graco, Inc. | 35,421 | 2,765,672 |
Helios Technologies, Inc. | 6,428 | 519,704 |
Hillenbrand, Inc. | 15,706 | 711,482 |
Hyster-Yale Materials Handling, Inc. | 1,492 | 106,887 |
IDEX Corp. | 15,928 | 3,610,718 |
Illinois Tool Works, Inc. | 66,456 | 15,063,581 |
Ingersoll Rand, Inc. (a) | 79,102 | 3,865,715 |
ITT, Inc. | 18,122 | 1,774,325 |
John Bean Technologies Corp. | 6,647 | 974,317 |
Kadant, Inc. | 2,409 | 433,933 |
Kennametal, Inc. | 16,621 | 602,511 |
Lincoln Electric Holdings, Inc. | 11,870 | 1,655,034 |
Luxfer Holdings PLC | 6,316 | 131,689 |
Mueller Industries, Inc. | 10,768 | 467,331 |
Mueller Water Products, Inc. Class A | 33,188 | 491,846 |
Nordson Corp. | 10,993 | 2,485,847 |
Omega Flex, Inc. | 657 | 103,031 |
Otis Worldwide Corp. | 86,461 | 7,742,583 |
Parker Hannifin Corp. | 27,088 | 8,452,269 |
Pentair PLC | 34,904 | 2,571,378 |
Proto Labs, Inc. (a) | 5,784 | 452,251 |
RBC Bearings, Inc. (a) | 5,264 | 1,237,040 |
Annual Report | 68 |
Common Stocks – continued | ||
Shares | Value | |
MACHINERY – continued | ||
Industrial Machinery – continued | ||
Rexnord Corp. | 25,053 | $ 1,411,235 |
Snap-on, Inc. | 11,391 | 2,483,010 |
SPX Corp. (a) | 9,379 | 625,204 |
SPX FLOW, Inc. | 8,829 | 725,302 |
Standex International Corp. | 2,600 | 239,200 |
Stanley Black & Decker, Inc. | 33,765 | 6,653,393 |
Tennant Co. | 3,892 | 307,935 |
The Gorman-Rupp Co. | 4,375 | 156,144 |
The Middleby Corp. (a) | 11,695 | 2,239,476 |
The Timken Co. | 14,274 | 1,134,783 |
Trimas Corp. (a) | 9,202 | 301,089 |
Watts Water Technologies, Inc. Class A | 5,755 | 867,624 |
Welbilt, Inc. (a) | 28,128 | 660,727 |
Woodward, Inc. | 12,542 | 1,524,606 |
Xylem, Inc. | 37,871 | 4,766,065 |
102,042,960 | ||
TOTAL MACHINERY | 176,861,325 | |
MARINE – 0.0% | ||
Marine – 0.0% | ||
Genco Shipping & Trading Ltd. | 5,692 | 99,894 |
Kirby Corp. (a) | 3,169 | 183,517 |
Matson, Inc. | 2,316 | 155,450 |
TOTAL MARINE | 438,861 | |
PROFESSIONAL SERVICES – 7.4% | ||
Human Resource & Employment Services – 1.1% | ||
ASGN, Inc. (a) | 11,081 | 1,120,622 |
Barrett Business Services, Inc. | 1,604 | 117,429 |
Heidrick & Struggles International, Inc. | 4,114 | 175,709 |
Insperity, Inc. | 7,605 | 753,275 |
Kelly Services, Inc. Class A (a) | 7,274 | 159,446 |
Kforce, Inc. | 4,199 | 262,144 |
Korn Ferry | 11,310 | 777,449 |
ManpowerGroup, Inc. | 11,522 | 1,366,279 |
Robert Half International, Inc. | 23,791 | 2,336,514 |
TriNet Group, Inc. (a) | 8,295 | 688,319 |
TrueBlue, Inc. (a) | 7,480 | 203,381 |
Upwork, Inc. (a) | 23,556 | 1,219,965 |
9,180,532 | ||
Research & Consulting Services – 6.3% | ||
Booz Allen Hamilton Holding Corp. | 28,940 | 2,483,341 |
CACI International, Inc. Class A (a) | 5,284 | 1,410,617 |
CBIZ, Inc. (a) | 10,200 | 329,868 |
Clarivate PLC (a) | 70,343 | 1,603,820 |
CoStar Group, Inc. (a) | 82,721 | 7,349,761 |
| ||
Shares | Value | |
Equifax, Inc. | 25,561 | $ 6,661,197 |
Exponent, Inc. | 10,836 | 1,160,427 |
Forrester Research, Inc. (a) | 2,514 | 117,781 |
FTI Consulting, Inc. (a) | 7,171 | 1,044,815 |
Huron Consulting Group, Inc. (a) | 4,803 | 235,971 |
ICF International, Inc. | 3,949 | 361,610 |
IHS Markit Ltd. | 79,068 | 9,238,305 |
Jacobs Engineering Group, Inc. | 27,316 | 3,694,489 |
KBR, Inc. | 29,505 | 1,141,843 |
Leidos Holdings, Inc. | 28,317 | 3,013,495 |
ManTech International Corp. Class A | 5,754 | 503,245 |
Nielsen Holdings PLC | 71,188 | 1,686,444 |
Rekor Systems, Inc. (a) | 6,412 | 50,527 |
Resources Connection, Inc. | 6,552 | 101,490 |
Science Applications International Corp. | 12,533 | 1,094,131 |
TransUnion | 40,031 | 4,806,122 |
Verisk Analytics, Inc. | 32,457 | 6,164,883 |
Willdan Group, Inc. (a) | 2,499 | 103,084 |
54,357,266 | ||
TOTAL PROFESSIONAL SERVICES | 63,537,798 | |
ROAD & RAIL – 11.2% | ||
Railroads – 7.6% | ||
CSX Corp. | 480,064 | 15,515,668 |
Kansas City Southern | 19,075 | 5,108,285 |
Norfolk Southern Corp. | 52,867 | 13,630,699 |
Union Pacific Corp. | 140,572 | 30,751,531 |
65,006,183 | ||
Trucking – 3.6% | ||
AMERCO | 2,054 | 1,207,670 |
ArcBest Corp. | 5,317 | 314,288 |
Avis Budget Group, Inc. (a) | 10,971 | 908,070 |
Heartland Express, Inc. | 10,928 | 186,104 |
JB Hunt Transport Services, Inc. | 17,768 | 2,993,020 |
Knight-Swift Transportation Holdings, Inc. | 32,967 | 1,638,130 |
Landstar System, Inc. | 8,043 | 1,262,751 |
Lyft, Inc. Class A (a) | 53,801 | 2,976,271 |
Marten Transport Ltd. | 13,227 | 209,251 |
Old Dominion Freight Line, Inc. | 20,859 | 5,614,200 |
Ryder System, Inc. | 11,246 | 856,383 |
Saia, Inc. (a) | 5,518 | 1,247,068 |
Schneider National, Inc. Class B | 11,853 | 265,981 |
Uber Technologies, Inc. (a) | 252,539 | 10,975,345 |
Werner Enterprises, Inc. | 12,819 | 585,956 |
31,240,488 | ||
TOTAL ROAD & RAIL | 96,246,671 |
69 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
TRADING COMPANIES & DISTRIBUTORS – 3.4% | ||
Trading Companies & Distributors – 3.4% | ||
Air Lease Corp. | 22,659 | $ 959,835 |
Applied Industrial Technologies, Inc. | 8,133 | 729,530 |
Beacon Roofing Supply, Inc. (a) | 11,617 | 621,277 |
Boise Cascade Co. | 8,228 | 420,862 |
CAI International, Inc. | 3,628 | 202,479 |
DXP Enterprises, Inc. (a) | 3,559 | 116,201 |
Fastenal Co. | 120,527 | 6,601,264 |
GATX Corp. | 6,985 | 644,366 |
Global Industrial Co. | 2,663 | 105,242 |
GMS, Inc. (a) | 8,049 | 395,447 |
H&E Equipment Services, Inc. | 6,902 | 234,875 |
Herc Holdings, Inc. (a) | 4,291 | 532,256 |
McGrath RentCorp | 5,038 | 395,080 |
MRC Global, Inc. (a) | 16,336 | 149,801 |
MSC Industrial Direct Co., Inc. Class A | 9,817 | 875,382 |
NOW, Inc. (a) | 23,459 | 231,540 |
Rush Enterprises, Inc. Class A | 8,933 | 419,762 |
Rush Enterprises, Inc. Class B | 1,205 | 52,875 |
SiteOne Landscape Supply, Inc. (a) | 9,279 | 1,621,784 |
Triton International Ltd. | 14,483 | 764,558 |
United Rentals, Inc. (a) | 15,156 | 4,994,660 |
Univar Solutions, Inc. (a) | 35,483 | 870,753 |
Veritiv Corp. (a) | 3,179 | 194,809 |
Watsco, Inc. | 6,885 | 1,944,600 |
WESCO International, Inc. (a) | 9,434 | 1,004,249 |
WW Grainger, Inc. | 9,343 | 4,153,711 |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 29,237,198 |
| ||
Shares | Value | |
TRANSPORTATION INFRASTRUCTURE – 0.1% | ||
Airport Services – 0.1% | ||
Macquarie Infrastructure Corp. | 15,562 | $ 614,699 |
TOTAL COMMON STOCKS (Cost $707,065,222) | 860,817,706 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $1,220,000) | 1,220,000 | 1,220,000 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $708,285,222) | 862,037,706 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 233,446 | |
NET ASSETS – 100.0% | $ 862,271,152 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $672,129 or 0.0% of net assets. | |
(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 (United States) | 1 | September 2021 | $ 111,080 | $ (4,033) | $ (4,033) |
CME E-mini S&P Industrial Select Sector Index Contracts (United States) (United States) | 12 | September 2021 | 1,246,440 | 5,628 | 5,628 |
Total Equity Index Contracts | $ 1,595 |
Annual Report | 70 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 860,817,706 | $ 860,817,706 | $ — | $ — | |||||
Money Market Funds | 1,220,000 | 1,220,000 | — | — | |||||
Total Investments in Securities: | $ 862,037,706 | $ 862,037,706 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 5,628 | $ 5,628 | $ — | $ — | |||||
Total Assets | $ 5,628 | $ 5,628 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (4,033) | $ (4,033) | $ — | $ — | |||||
Total Liabilities | $ (4,033) | $ (4,033) | $ — | $ — | |||||
Total Derivative Instruments: | $ 1,595 | $ 1,595 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $5,628 | $(4,033) | |
Total Equity Risk | 5,628 | (4,033) | |
Total Value of Derivatives | $5,628 | $(4,033) |
(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). |
71 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATIONS EQUIPMENT – 2.9% | ||
Communications Equipment – 2.9% | ||
ADTRAN, Inc. | 23,913 | $ 535,890 |
Arista Networks, Inc. (a) | 29,033 | 11,043,863 |
Calix, Inc. (a) | 28,399 | 1,328,505 |
Cambium Networks Corp. (a) | 4,632 | 204,040 |
Casa Systems, Inc. (a) | 15,022 | 112,815 |
Ciena Corp. (a) | 79,013 | 4,593,816 |
Cisco Systems, Inc. | 2,152,372 | 119,176,838 |
CommScope Holding Co., Inc. (a) | 101,051 | 2,138,239 |
Comtech Telecommunications Corp. | 10,822 | 270,225 |
Digi International, Inc. (a) | 17,025 | 352,077 |
EchoStar Corp. Class A (a) | 22,298 | 497,245 |
Extreme Networks, Inc. (a) | 65,225 | 718,127 |
F5 Networks, Inc. (a) | 31,583 | 6,522,205 |
Harmonic, Inc. (a) | 47,897 | 423,889 |
Infinera Corp. (a) | 91,352 | 905,298 |
Inseego Corp. (a) | 31,277 | 271,797 |
Juniper Networks, Inc. | 167,322 | 4,708,441 |
Lumentum Holdings, Inc. (a) | 38,456 | 3,229,920 |
Motorola Solutions, Inc. | 86,172 | 19,295,634 |
NETGEAR, Inc. (a) | 15,851 | 542,897 |
Netscout Systems, Inc. (a) | 37,618 | 1,081,894 |
Plantronics, Inc. (a) | 19,339 | 603,184 |
Ribbon Communications, Inc. (a) | 48,118 | 332,495 |
ViaSat, Inc. (a) | 27,841 | 1,382,027 |
Viavi Solutions, Inc. (a) | 116,069 | 1,937,192 |
TOTAL COMMUNICATIONS EQUIPMENT | 182,208,553 | |
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 3.1% | ||
Electronic Components – 0.8% | ||
Amphenol Corp. Class A | 305,452 | 22,142,216 |
Belden, Inc. | 22,373 | 1,096,277 |
Corning, Inc. | 391,405 | 16,384,213 |
II-VI, Inc. (a) | 53,241 | 3,716,754 |
Knowles Corp. (a) | 46,838 | 938,634 |
Littelfuse, Inc. | 12,517 | 3,329,397 |
Rogers Corp. (a) | 9,577 | 1,825,376 |
Vishay Intertechnology, Inc. | 69,048 | 1,528,032 |
50,960,899 | ||
Electronic Equipment & Instruments – 1.2% | ||
908 Devices, Inc. (a) | 3,456 | 108,000 |
Advanced Energy Industries, Inc. | 19,486 | 2,021,672 |
Badger Meter, Inc. | 15,038 | 1,519,289 |
Cognex Corp. | 89,465 | 8,088,531 |
Coherent, Inc. (a) | 12,422 | 3,055,067 |
FARO Technologies, Inc. (a) | 8,919 | 650,106 |
Itron, Inc. (a) | 20,616 | 2,033,150 |
Keysight Technologies, Inc. (a) | 94,940 | 15,622,377 |
MicroVision, Inc. (a) | 80,045 | 1,102,220 |
Napco Security Technologies, Inc. (a) | 7,902 | 279,336 |
| ||
Shares | Value | |
National Instruments Corp. | 67,079 | $ 2,958,855 |
nLight, Inc. (a) | 17,499 | 607,040 |
Novanta, Inc. (a) | 18,109 | 2,542,685 |
OSI Systems, Inc. (a) | 8,773 | 877,739 |
PAR Technology Corp. (a) | 10,530 | 642,856 |
Trimble, Inc. (a) | 127,529 | 10,903,729 |
Velodyne Lidar, Inc. (a) | 47,716 | 382,205 |
Vishay Precision Group, Inc. (a) | 5,315 | 193,094 |
Vontier Corp. (a) | 86,364 | 2,793,875 |
Zebra Technologies Corp. Class A (a) | 27,239 | 15,049,003 |
71,430,829 | ||
Electronic Manufacturing Services – 0.7% | ||
Benchmark Electronics, Inc. | 18,581 | 490,538 |
CTS Corp. | 15,709 | 549,658 |
Fabrinet (a) | 19,275 | 1,821,873 |
Flex Ltd. (a) | 255,939 | 4,599,224 |
IPG Photonics Corp. (a) | 19,081 | 4,162,711 |
Jabil, Inc. | 72,852 | 4,337,608 |
Kimball Electronics, Inc. (a) | 13,368 | 272,574 |
Methode Electronics, Inc. | 19,552 | 935,172 |
Plexus Corp. (a) | 14,947 | 1,350,013 |
Sanmina Corp. (a) | 33,257 | 1,277,734 |
TE Connectivity Ltd. | 168,690 | 24,876,714 |
TTM Technologies, Inc. (a) | 53,660 | 750,703 |
45,424,522 | ||
Technology Distributors – 0.4% | ||
Arrow Electronics, Inc. (a) | 38,036 | 4,509,929 |
Avnet, Inc. | 50,919 | 2,103,973 |
CDW Corp. | 72,897 | 13,365,665 |
ePlus, Inc. (a) | 6,696 | 619,112 |
Insight Enterprises, Inc. (a) | 17,906 | 1,797,404 |
PC Connection, Inc. | 5,920 | 281,555 |
ScanSource, Inc. (a) | 13,760 | 379,638 |
SYNNEX Corp. | 22,590 | 2,700,409 |
25,757,685 | ||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 193,573,935 | |
IT SERVICES – 18.6% | ||
Data Processing & Outsourced Services – 13.5% | ||
Alliance Data Systems Corp. | 23,600 | 2,200,700 |
Automatic Data Processing, Inc. | 218,180 | 45,737,073 |
Broadridge Financial Solutions, Inc. | 59,036 | 10,242,156 |
Cantaloupe, Inc. (a) | 27,013 | 279,314 |
Cass Information Systems, Inc. | 6,350 | 279,972 |
Concentrix Corp. (a) | 22,590 | 3,698,661 |
Conduent, Inc. (a) | 84,434 | 566,552 |
CSG Systems International, Inc. | 16,752 | 759,871 |
Euronet Worldwide, Inc. (a) | 26,859 | 3,836,002 |
EVERTEC, Inc. | 32,139 | 1,404,474 |
Evo Payments, Inc. Class A (a) | 23,741 | 693,237 |
Annual Report | 72 |
Common Stocks – continued | ||
Shares | Value | |
IT SERVICES – continued | ||
Data Processing & Outsourced Services – continued | ||
ExlService Holdings, Inc. (a) | 17,069 | $ 1,932,552 |
Fidelity National Information Services, Inc. | 316,661 | 47,198,322 |
Fiserv, Inc. (a) | 307,073 | 35,347,173 |
FleetCor Technologies, Inc. (a) | 40,416 | 10,436,220 |
Global Payments, Inc. | 150,534 | 29,114,781 |
I3 Verticals, Inc. Class A (a) | 10,764 | 343,587 |
International Money Express, Inc. (a) | 14,894 | 241,134 |
Jack Henry & Associates, Inc. | 38,743 | 6,744,769 |
Mastercard, Inc. Class A | 452,032 | 174,457,230 |
MAXIMUS, Inc. | 31,589 | 2,811,421 |
Paya Holdings, Inc. (a) | 35,317 | 405,792 |
Paychex, Inc. | 165,470 | 18,833,795 |
PayPal Holdings, Inc. (a) | 567,241 | 156,291,913 |
Repay Holding Corp. (a) | 38,756 | 965,412 |
Sabre Corp. (a) | 153,751 | 1,812,724 |
Shift4 Payments, Inc. (a) | 18,222 | 1,625,220 |
Square, Inc. Class A (a) | 198,726 | 49,136,991 |
Sykes Enterprises, Inc. (a) | 19,912 | 1,068,478 |
The Western Union Co. | 210,327 | 4,881,690 |
TTEC Holdings, Inc. | 9,561 | 999,124 |
Verra Mobility Corp. (a) | 70,287 | 1,076,094 |
Visa, Inc. Class A | 864,709 | 213,055,651 |
WEX, Inc. (a) | 22,642 | 4,295,867 |
832,773,952 | ||
Internet Services & Infrastructure – 1.5% | ||
Akamai Technologies, Inc. (a) | 83,376 | 9,998,450 |
BigCommerce Holdings, Inc. (a) | 19,287 | 1,249,026 |
Brightcove, Inc. (a) | 17,338 | 198,867 |
Fastly, Inc. Class A (a) | 49,610 | 2,384,753 |
GoDaddy, Inc. Class A (a) | 86,474 | 7,250,845 |
Limelight Networks, Inc. (a) | 63,365 | 178,056 |
MongoDB, Inc. (a) | 27,650 | 9,924,138 |
Okta, Inc. (a) | 61,569 | 15,256,182 |
Rackspace Technology, Inc. (a) | 20,455 | 363,076 |
Snowflake, Inc. Class A (a) | 13,007 | 3,456,220 |
SolarWinds Corp. (a) | 40,291 | 452,871 |
Switch, Inc. Class A | 48,393 | 999,799 |
Tucows, Inc. Class A (a) | 4,835 | 375,970 |
Twilio, Inc. Class A (a) | 81,531 | 30,459,166 |
VeriSign, Inc. (a) | 51,898 | 11,229,170 |
93,776,589 | ||
IT Consulting & Other Services – 3.6% | ||
Accenture PLC Class A | 323,354 | 102,723,099 |
Cognizant Technology Solutions Corp. Class A | 270,532 | 19,892,218 |
DXC Technology Co. (a) | 130,869 | 5,232,143 |
EPAM Systems, Inc. (a) | 28,604 | 16,012,519 |
Gartner, Inc. (a) | 45,233 | 11,974,532 |
| ||
Shares | Value | |
Grid Dynamics Holdings, Inc. (a) | 13,631 | $ 286,933 |
International Business Machines Corp. | 455,570 | 64,217,147 |
LiveRamp Holdings, Inc. (a) | 33,653 | 1,346,457 |
Perficient, Inc. (a) | 16,581 | 1,563,422 |
The Hackett Group, Inc. | 12,932 | 231,741 |
Unisys Corp. (a) | 32,341 | 722,821 |
224,203,032 | ||
TOTAL IT SERVICES | 1,150,753,573 | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 18.9% | ||
Semiconductor Equipment – 3.2% | ||
ACM Research, Inc. Class A (a) | 5,868 | 544,903 |
Amkor Technology, Inc. | 55,124 | 1,358,255 |
Applied Materials, Inc. | 467,833 | 65,463,872 |
Axcelis Technologies, Inc. (a) | 17,633 | 679,752 |
Brooks Automation, Inc. | 38,095 | 3,390,836 |
CMC Materials, Inc. | 14,830 | 2,145,011 |
Cohu, Inc. (a) | 24,049 | 851,575 |
Enphase Energy, Inc. (a) | 62,478 | 11,845,829 |
Entegris, Inc. | 68,791 | 8,298,946 |
FormFactor, Inc. (a) | 39,215 | 1,461,151 |
Ichor Holdings Ltd. (a) | 13,978 | 720,845 |
KLA Corp. | 78,554 | 27,349,361 |
Kulicke & Soffa Industries, Inc. | 31,406 | 1,707,230 |
Lam Research Corp. | 72,856 | 46,439,143 |
MKS Instruments, Inc. | 28,144 | 4,402,847 |
Onto Innovation, Inc. (a) | 24,796 | 1,737,704 |
PDF Solutions, Inc. (a) | 16,868 | 315,600 |
Photronics, Inc. (a) | 33,978 | 454,286 |
SolarEdge Technologies, Inc. (a) | 26,236 | 6,807,717 |
Teradyne, Inc. | 84,908 | 10,783,316 |
Ultra Clean Holdings, Inc. (a) | 20,986 | 1,133,454 |
Veeco Instruments, Inc. (a) | 24,338 | 564,642 |
198,456,275 | ||
Semiconductors – 15.7% | ||
Advanced Micro Devices, Inc. (a) | 617,512 | 65,573,599 |
Allegro MicroSystems, Inc. (a) | 28,799 | 789,381 |
Alpha & Omega Semiconductor Ltd. (a) | 10,447 | 271,518 |
Ambarella, Inc. (a) | 17,733 | 1,746,523 |
Analog Devices, Inc. | 188,072 | 31,487,014 |
Broadcom, Inc. | 208,110 | 101,016,594 |
CEVA, Inc. (a) | 11,741 | 582,823 |
Cirrus Logic, Inc. (a) | 29,994 | 2,477,205 |
Cree, Inc. (a) | 56,842 | 5,272,664 |
Diodes, Inc. (a) | 22,978 | 1,884,196 |
DSP Group, Inc. (a) | 11,468 | 184,061 |
First Solar, Inc. (a) | 48,582 | 4,179,995 |
Impinj, Inc. (a) | 8,529 | 392,334 |
Intel Corp. | 2,071,517 | 111,281,893 |
Lattice Semiconductor Corp. (a) | 70,185 | 3,982,999 |
73 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – continued | ||
Semiconductors – continued | ||
MACOM Technology Solutions Holdings, Inc. (a) | 24,372 | $ 1,504,240 |
MagnaChip Semiconductor Corp. (a) | 21,139 | 439,268 |
Marvell Technology, Inc. | 408,047 | 24,690,924 |
Maxim Integrated Products, Inc. | 136,655 | 13,653,201 |
MaxLinear, Inc. Class A (a) | 35,680 | 1,720,846 |
Microchip Technology, Inc. | 137,252 | 19,643,506 |
Micron Technology, Inc. (a) | 570,167 | 44,233,556 |
Monolithic Power Systems, Inc. | 21,949 | 9,860,808 |
NeoPhotonics Corp. (a) | 23,822 | 231,073 |
NVIDIA Corp. | 1,262,304 | 246,136,657 |
NXP Semiconductors N.V. | 141,233 | 29,149,079 |
ON Semiconductor Corp. (a) | 210,280 | 8,213,537 |
Power Integrations, Inc. | 30,401 | 2,948,593 |
Qorvo, Inc. (a) | 57,747 | 10,948,254 |
QUALCOMM, Inc. | 579,148 | 86,756,370 |
Rambus, Inc. (a) | 59,170 | 1,399,962 |
Semtech Corp. (a) | 33,697 | 2,086,181 |
Silicon Laboratories, Inc. (a) | 22,655 | 3,375,369 |
SiTime Corp. (a) | 6,167 | 836,492 |
Skyworks Solutions, Inc. | 84,068 | 15,511,387 |
SMART Global Holdings, Inc. (a) | 7,951 | 372,425 |
SunPower Corp. (a) | 43,504 | 1,077,594 |
Synaptics, Inc. (a) | 17,557 | 2,667,259 |
Texas Instruments, Inc. | 469,150 | 89,429,373 |
Universal Display Corp. | 22,805 | 5,347,545 |
Xilinx, Inc. | 125,048 | 18,737,192 |
972,093,490 | ||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 1,170,549,765 | |
SOFTWARE – 34.9% | ||
Application Software – 13.6% | ||
8x8, Inc. (a) | 51,680 | 1,320,941 |
ACI Worldwide, Inc. (a) | 53,788 | 1,844,928 |
Adobe, Inc. (a) | 244,053 | 151,710,666 |
Agilysys, Inc. (a) | 11,439 | 635,551 |
Alarm.com Holdings, Inc. (a) | 24,009 | 1,998,029 |
Altair Engineering, Inc. Class A (a) | 22,528 | 1,571,553 |
Alteryx, Inc. Class A (a) | 30,031 | 2,324,399 |
American Software, Inc. Class A | 15,168 | 333,696 |
Anaplan, Inc. (a) | 65,058 | 3,721,318 |
ANSYS, Inc. (a) | 44,222 | 16,294,038 |
Appfolio, Inc. Class A (a) | 8,344 | 1,181,510 |
Asana, Inc. (a) | 32,379 | 2,300,852 |
Aspen Technology, Inc. (a) | 34,595 | 5,059,865 |
Autodesk, Inc. (a) | 112,102 | 35,999,315 |
Avalara, Inc. (a) | 43,537 | 7,278,080 |
Avaya Holdings Corp. (a) | 42,702 | 1,034,242 |
| ||
Shares | Value | |
Benefitfocus, Inc. (a) | 13,072 | $ 172,028 |
Bentley Systems, Inc. | 86,963 | 5,288,220 |
Bill.com Holdings, Inc. (a) | 35,608 | 7,364,447 |
Black Knight, Inc. (a) | 80,654 | 6,678,958 |
Blackbaud, Inc. (a) | 22,219 | 1,584,881 |
Blackline, Inc. (a) | 26,502 | 3,031,564 |
Bottomline Technologies DE, Inc. (a) | 22,676 | 915,203 |
Box, Inc. Class A (a) | 79,411 | 1,899,511 |
BTRS Holdings, Inc. (a) | 30,243 | 354,146 |
C3.ai, Inc. (a) | 12,344 | 621,520 |
Cadence Design Systems, Inc. (a) | 142,223 | 20,999,226 |
CDK Global, Inc. | 62,538 | 3,001,199 |
Cerence, Inc. (a) | 19,174 | 2,061,397 |
Ceridian HCM Holding, Inc. (a) | 68,199 | 6,710,782 |
ChannelAdvisor Corp. (a) | 14,827 | 345,321 |
Citrix Systems, Inc. | 62,670 | 6,314,002 |
Cloudera, Inc. (a) | 116,899 | 1,855,187 |
Cornerstone OnDemand, Inc. (a) | 28,206 | 1,352,196 |
Coupa Software, Inc. (a) | 36,789 | 7,983,213 |
Datadog, Inc. Class A (a) | 89,126 | 9,866,248 |
Digital Turbine, Inc. (a) | 43,287 | 2,724,917 |
DocuSign, Inc. (a) | 95,075 | 28,336,153 |
Domo, Inc. Class B (a) | 13,588 | 1,200,228 |
Dropbox, Inc. Class A (a) | 162,029 | 5,102,293 |
Duck Creek Technologies, Inc. (a) | 20,009 | 878,995 |
Dynatrace, Inc. (a) | 93,751 | 5,987,876 |
E2open Parent Holdings, Inc. (a) | 37,917 | 381,066 |
Ebix, Inc. | 12,660 | 382,585 |
eGain Corp. (a) | 11,116 | 129,724 |
Elastic N.V. (a) | 31,987 | 4,735,995 |
Envestnet, Inc. (a) | 26,978 | 2,029,555 |
Everbridge, Inc. (a) | 17,962 | 2,536,594 |
Fair Isaac Corp. (a) | 14,887 | 7,799,448 |
Five9, Inc. (a) | 33,856 | 6,814,874 |
Guidewire Software, Inc. (a) | 40,578 | 4,674,586 |
HubSpot, Inc. (a) | 22,347 | 13,319,259 |
InterDigital, Inc. | 15,794 | 1,040,667 |
Intuit, Inc. | 139,577 | 73,971,623 |
j2 Global, Inc. (a) | 22,332 | 3,154,842 |
Jamf Holding Corp. (a) | 17,896 | 587,168 |
LivePerson, Inc. (a) | 32,614 | 2,077,186 |
Manhattan Associates, Inc. (a) | 32,397 | 5,171,533 |
Marathon Digital Holdings, Inc. (a) | 50,073 | 1,383,517 |
Medallia, Inc. (a) | 49,808 | 1,686,997 |
MicroStrategy, Inc. Class A (a) | 3,889 | 2,434,553 |
Mimecast Ltd. (a) | 30,569 | 1,698,108 |
Mitek Systems, Inc. (a) | 21,214 | 469,042 |
Model N, Inc. (a) | 16,066 | 520,056 |
Momentive Global, Inc. (a) | 62,474 | 1,311,954 |
nCino, Inc. (a) | 14,347 | 912,039 |
New Relic, Inc. (a) | 28,920 | 1,997,794 |
Annual Report | 74 |
Common Stocks – continued | ||
Shares | Value | |
SOFTWARE – continued | ||
Application Software – continued | ||
Nuance Communications, Inc. (a) | 145,953 | $ 8,012,820 |
Nutanix, Inc. Class A (a) | 99,673 | 3,590,221 |
ON24, Inc. (a) | 4,697 | 171,534 |
PagerDuty, Inc. (a) | 33,293 | 1,351,363 |
Palantir Technologies, Inc. (a) | 266,368 | 5,782,849 |
Paycom Software, Inc. (a) | 26,081 | 10,432,400 |
Paylocity Holding Corp. (a) | 19,349 | 4,014,144 |
Pegasystems, Inc. | 20,628 | 2,632,958 |
PROS Holdings, Inc. (a) | 21,036 | 913,383 |
PTC, Inc. (a) | 56,873 | 7,703,448 |
Q2 Holdings, Inc. (a) | 26,911 | 2,780,175 |
QAD, Inc. Class A | 5,969 | 517,811 |
Rimini Street, Inc. (a) | 17,222 | 149,659 |
RingCentral, Inc. Class A (a) | 38,390 | 10,260,495 |
Riot Blockchain, Inc. (a) | 42,633 | 1,404,757 |
Salesforce.com, Inc. (a) | 495,042 | 119,765,511 |
ShotSpotter, Inc. (a) | 4,105 | 187,599 |
Smartsheet, Inc. Class A (a) | 59,182 | 4,293,654 |
Splunk, Inc. (a) | 82,171 | 11,666,639 |
Sprout Social, Inc. Class A (a) | 19,069 | 1,694,090 |
SPS Commerce, Inc. (a) | 18,374 | 2,001,847 |
SS&C Technologies Holdings, Inc. | 118,019 | 9,251,509 |
Synopsys, Inc. (a) | 77,676 | 22,369,911 |
The Trade Desk, Inc. Class A (a) | 217,185 | 17,789,623 |
Tyler Technologies, Inc. (a) | 20,661 | 10,178,435 |
Unity Software, Inc. (a) | 28,170 | 3,017,570 |
Upland Software, Inc. (a) | 12,544 | 451,584 |
Verint Systems, Inc. (a) | 34,181 | 1,458,503 |
Veritone, Inc. (a) | 13,916 | 287,783 |
Vertex, Inc. (a) | 12,874 | 243,319 |
VirnetX Holding Corp. (a) | 32,874 | 134,783 |
Vonage Holdings Corp. (a) | 119,947 | 1,710,444 |
Workday, Inc. Class A (a) | 91,765 | 21,509,716 |
Workiva, Inc. (a) | 19,102 | 2,478,867 |
Yext, Inc. (a) | 49,819 | 649,142 |
Zendesk, Inc. (a) | 59,774 | 7,802,300 |
Zoom Video Communications, Inc. Class A (a) | 104,278 | 39,427,512 |
846,547,817 | ||
Systems Software – 21.3% | ||
A10 Networks, Inc. (a) | 27,270 | 348,238 |
Appian Corp. (a) | 17,882 | 2,082,001 |
Cloudflare, Inc. Class A (a) | 114,773 | 13,615,521 |
CommVault Systems, Inc. (a) | 21,574 | 1,630,779 |
Crowdstrike Holdings, Inc. Class A (a) | 91,176 | 23,123,145 |
Dolby Laboratories, Inc. Class A | 32,935 | 3,197,989 |
FireEye, Inc. (a) | 121,604 | 2,456,401 |
Fortinet, Inc. (a) | 70,791 | 19,272,142 |
JFrog Ltd. (a) | 18,950 | 830,389 |
| ||
Shares | Value | |
McAfee Corp. | 20,566 | $ 556,722 |
Microsoft Corp. | 3,652,987 | 1,040,772,526 |
N-Able, Inc. (a) | 20,145 | 278,001 |
NortonLifelock, Inc. | 296,610 | 7,361,860 |
OneSpan, Inc. (a) | 15,923 | 392,820 |
Oracle Corp. | 975,744 | 85,026,332 |
Palo Alto Networks, Inc. (a) | 49,574 | 19,782,505 |
Ping Identity Holding Corp. (a) | 22,787 | 502,909 |
Progress Software Corp. | 22,939 | 1,045,789 |
Proofpoint, Inc. (a) | 29,445 | 5,142,864 |
Qualys, Inc. (a) | 17,016 | 1,728,145 |
Rapid7, Inc. (a) | 25,236 | 2,870,595 |
SailPoint Technologies Holding, Inc. (a) | 46,201 | 2,309,588 |
ServiceNow, Inc. (a) | 100,044 | 58,814,867 |
Telos Corp. (a) | 8,344 | 233,799 |
Tenable Holdings, Inc. (a) | 37,080 | 1,587,024 |
Teradata Corp. (a) | 55,995 | 2,780,712 |
Varonis Systems, Inc. (a) | 52,724 | 3,226,709 |
VMware, Inc. Class A (a) | 42,861 | 6,589,450 |
Xperi Holding Corp. | 54,098 | 1,123,615 |
Zscaler, Inc. (a) | 40,564 | 9,569,453 |
Zuora, Inc. Class A (a) | 53,946 | 932,726 |
1,319,185,616 | ||
TOTAL SOFTWARE | 2,165,733,433 | |
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 21.4% | ||
Technology Hardware, Storage & Peripherals �� 21.4% | ||
3D Systems Corp. (a) | 63,598 | 1,751,489 |
Apple, Inc. | 8,559,606 | 1,248,504,131 |
Avid Technology, Inc. (a) | 17,106 | 639,593 |
Corsair Gaming, Inc. (a) | 13,997 | 408,572 |
DELL Technologies, Inc. Class C (a) | 134,366 | 12,982,443 |
Diebold Nixdorf, Inc. (a) | 36,934 | 384,483 |
Eastman Kodak Co. (a) | 21,382 | 157,799 |
Hewlett Packard Enterprise Co. | 660,390 | 9,575,655 |
HP, Inc. | 635,924 | 18,359,126 |
NCR Corp. (a) | 66,659 | 2,959,660 |
NetApp, Inc. | 113,843 | 9,060,764 |
Pure Storage, Inc. Class A (a) | 132,072 | 2,578,045 |
Seagate Technology Holdings PLC | 108,662 | 9,551,390 |
Super Micro Computer, Inc. (a) | 20,125 | 765,555 |
Western Digital Corp. (a) | 156,248 | 10,145,183 |
Xerox Holdings Corp. | 86,389 | 2,084,567 |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 1,329,908,455 | |
TOTAL COMMON STOCKS (Cost $3,254,806,973) | 6,192,727,714 |
75 | Annual Report |
Money Market Fund – 0.2% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $12,244,000) | 12,244,000 | $ 12,244,000 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $3,267,050,973) | 6,204,971,714 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,917,054 | |
NET ASSETS – 100.0% | $ 6,206,888,768 |
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 (United States) | 9 | September 2021 | $ 999,720 | $ (12,887) | $ (12,887) |
CME E-mini S&P Information Technology Select Sector IndexContracts (United States) | 75 | September 2021 | 11,580,750 | 514,811 | 514,811 |
Total Equity Index Contracts | $ 501,924 |
Annual Report | 76 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 6,192,727,714 | $ 6,192,727,714 | $ — | $ — | |||||
Money Market Funds | 12,244,000 | 12,244,000 | — | — | |||||
Total Investments in Securities: | $ 6,204,971,714 | $ 6,204,971,714 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 514,811 | $ 514,811 | $ — | $ — | |||||
Total Assets | $ 514,811 | $ 514,811 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (12,887) | $ (12,887) | $ — | $ — | |||||
Total Liabilities | $ (12,887) | $ (12,887) | $ — | $ — | |||||
Total Derivative Instruments: | $ 501,924 | $ 501,924 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $514,811 | $(12,887) | |
Total Equity Risk | 514,811 | (12,887) | |
Total Value of Derivatives | $514,811 | $(12,887) |
(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). |
77 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
CHEMICALS – 62.6% | ||
Commodity Chemicals – 7.9% | ||
AdvanSix, Inc. (a) | 12,089 | $ 404,377 |
Cabot Corp. | 24,288 | 1,337,297 |
Dow, Inc. | 320,097 | 19,897,229 |
Hawkins, Inc. | 8,332 | 302,535 |
Koppers Holdings, Inc. (a) | 9,059 | 278,202 |
Kronos Worldwide, Inc. | 9,959 | 138,530 |
LyondellBasell Industries N.V. Class A | 115,001 | 11,423,049 |
Olin Corp. | 61,324 | 2,884,068 |
Orion Engineered Carbons S.A. (a) | 26,198 | 473,660 |
Tredegar Corp. | 11,644 | 152,187 |
Trinseo S.A. | 13,278 | 721,792 |
Tronox Holdings PLC Class A | 48,774 | 898,905 |
Valvoline, Inc. | 78,038 | 2,394,206 |
Westlake Chemical Corp. | 16,475 | 1,366,107 |
42,672,144 | ||
Diversified Chemicals – 2.1% | ||
Eastman Chemical Co. | 58,454 | 6,588,935 |
Huntsman Corp. | 90,559 | 2,391,663 |
The Chemours Co. | 71,045 | 2,362,246 |
11,342,844 | ||
Fertilizers & Agricultural Chemicals – 5.9% | ||
American Vanguard Corp. | 11,848 | 195,610 |
CF Industries Holdings, Inc. | 92,065 | 4,350,071 |
Corteva, Inc. | 320,220 | 13,699,012 |
FMC Corp. | 55,639 | 5,950,591 |
The Mosaic Co. | 154,948 | 4,839,026 |
The Scotts Miracle-Gro Co. | 17,980 | 3,181,741 |
32,216,051 | ||
Industrial Gases – 17.8% | ||
Air Products & Chemicals, Inc. | 95,236 | 27,716,533 |
Linde PLC | 225,234 | 69,234,680 |
96,951,213 | ||
Specialty Chemicals – 28.9% | ||
Albemarle Corp. | 50,198 | 10,342,796 |
Amyris, Inc. (a) | 66,905 | 975,475 |
Ashland Global Holdings, Inc. | 24,762 | 2,106,503 |
Avient Corp. | 39,257 | 1,904,750 |
Axalta Coating Systems Ltd. (a) | 90,521 | 2,724,682 |
Balchem Corp. | 13,951 | 1,881,850 |
Celanese Corp. | 49,120 | 7,651,422 |
Chase Corp. | 3,264 | 380,354 |
Danimer Scientific, Inc. (a) | 30,476 | 508,340 |
DuPont de Nemours, Inc. | 231,572 | 17,379,479 |
Ecolab, Inc. | 110,553 | 24,413,419 |
ECOVYST, Inc. | 17,915 | 278,757 |
Element Solutions, Inc. | 95,684 | 2,238,049 |
Ferro Corp. (a) | 31,930 | 664,144 |
FutureFuel Corp. | 11,564 | 98,294 |
GCP Applied Technologies, Inc. (a) | 18,907 | 439,588 |
| ||
Shares | Value | |
HB Fuller Co. | 22,366 | $ 1,445,291 |
Ingevity Corp. (a) | 17,456 | 1,482,713 |
Innospec, Inc. | 10,603 | 937,835 |
International Flavors & Fragrances, Inc. | 107,036 | 16,123,903 |
Kraton Corp. (a) | 13,746 | 524,960 |
Livent Corp. (a) | 63,086 | 1,230,808 |
Minerals Technologies, Inc. | 14,593 | 1,170,650 |
NewMarket Corp. | 3,767 | 1,190,033 |
PPG Industries, Inc. | 101,908 | 16,663,996 |
Quaker Chemical Corp. | 5,765 | 1,451,281 |
RPM International, Inc. | 55,993 | 4,848,434 |
Sensient Technologies Corp. | 18,288 | 1,594,348 |
Stepan Co. | 9,197 | 1,084,786 |
The Sherwin-Williams Co. | 109,904 | 31,985,361 |
WR Grace & Co. | 24,153 | 1,681,049 |
157,403,350 | ||
TOTAL CHEMICALS | 340,585,602 | |
CONSTRUCTION MATERIALS – 4.6% | ||
Construction Materials – 4.6% | ||
Eagle Materials, Inc. | 17,121 | 2,419,540 |
Forterra, Inc. (a) | 14,266 | 336,535 |
Martin Marietta Materials, Inc. | 26,797 | 9,735,350 |
Summit Materials, Inc. Class A (a) | 49,348 | 1,658,093 |
United States Lime & Minerals, Inc. | 967 | 134,413 |
US Concrete, Inc. (a) | 6,916 | 503,554 |
Vulcan Materials Co. | 57,031 | 10,265,009 |
TOTAL CONSTRUCTION MATERIALS | 25,052,494 | |
CONTAINERS & PACKAGING – 13.5% | ||
Metal & Glass Containers – 5.2% | ||
AptarGroup, Inc. | 28,063 | 3,617,882 |
Ball Corp. | 140,214 | 11,340,509 |
Berry Global Group, Inc. (a) | 57,652 | 3,706,447 |
Crown Holdings, Inc. | 57,982 | 5,784,284 |
Greif, Inc. Class A | 10,847 | 657,545 |
Greif, Inc. Class B | 1,875 | 114,150 |
Myers Industries, Inc. | 13,279 | 281,249 |
O-I Glass, Inc. (a) | 67,885 | 1,004,019 |
Silgan Holdings, Inc. | 37,959 | 1,538,099 |
28,044,184 | ||
Paper Packaging – 8.3% | ||
Amcor PLC | 672,492 | 7,774,007 |
Avery Dennison Corp. | 35,738 | 7,529,282 |
Graphic Packaging Holding Co. | 115,269 | 2,209,707 |
International Paper Co. | 160,693 | 9,281,628 |
Packaging Corp. of America | 40,807 | 5,774,190 |
Pactiv Evergreen, Inc. | 19,105 | 276,449 |
Ranpak Holdings Corp. (a) | 14,959 | 383,250 |
Annual Report | 78 |
Common Stocks – continued | ||
Shares | Value | |
CONTAINERS & PACKAGING – continued | ||
Paper Packaging – continued | ||
Sealed Air Corp. | 66,657 | $ 3,782,785 |
Sonoco Products Co. | 43,220 | 2,757,004 |
Westrock Co. | 113,371 | 5,578,987 |
45,347,289 | ||
TOTAL CONTAINERS & PACKAGING | 73,391,473 | |
METALS & MINING – 18.0% | ||
Aluminum – 1.1% | ||
Alcoa Corp. (a) | 80,105 | 3,216,216 |
Arconic Corp. (a) | 44,940 | 1,615,144 |
Century Aluminum Co. (a) | 23,423 | 341,039 |
Kaiser Aluminum Corp. | 6,827 | 830,709 |
6,003,108 | ||
Copper – 4.4% | ||
Freeport-McMoRan, Inc. | 627,600 | 23,911,560 |
Diversified Metals & Mining – 0.5% | ||
Compass Minerals International, Inc. | 14,642 | 1,003,855 |
Materion Corp. | 8,750 | 624,400 |
MP Materials Corp. (a) | 25,771 | 969,505 |
Piedmont Lithium, Inc. (a) | 6,114 | 336,637 |
2,934,397 | ||
Gold – 4.8% | ||
Coeur Mining, Inc. (a) | 105,030 | 791,926 |
McEwen Mining, Inc. (a) | 168,331 | 201,997 |
Newmont Corp. | 344,419 | 21,636,402 |
Royal Gold, Inc. | 28,226 | 3,430,023 |
26,060,348 | ||
Silver – 0.3% | ||
Hecla Mining Co. | 231,025 | 1,545,557 |
Steel – 6.9% | ||
Allegheny Technologies, Inc. (a) | 54,681 | 1,122,601 |
Carpenter Technology Corp. | 20,715 | 790,277 |
Cleveland-Cliffs, Inc. (a) | 203,900 | 5,097,500 |
Commercial Metals Co. | 51,631 | 1,693,497 |
Nucor Corp. | 129,937 | 13,516,047 |
Reliance Steel & Aluminum Co. | 27,362 | 4,299,938 |
Schnitzer Steel Industries, Inc. Class A | 11,165 | 585,269 |
Steel Dynamics, Inc. | 90,502 | 5,832,854 |
| ||
Shares | Value | |
SunCoke Energy, Inc. | 35,420 | $ 273,797 |
United States Steel Corp. | 112,911 | 2,989,883 |
Warrior Met Coal, Inc. | 22,292 | 416,192 |
Worthington Industries, Inc. | 14,631 | 935,945 |
37,553,800 | ||
TOTAL METALS & MINING | 98,008,770 | |
PAPER & FOREST PRODUCTS – 1.0% | ||
Forest Products – 0.5% | ||
Louisiana-Pacific Corp. | 45,820 | 2,540,261 |
Paper Products – 0.5% | ||
Clearwater Paper Corp. (a) | 7,208 | 212,564 |
Domtar Corp. (a) | 23,759 | 1,304,607 |
Glatfelter Corp. | 19,317 | 294,198 |
Mercer International, Inc. | 18,405 | 214,050 |
Neenah, Inc. | 7,243 | 364,105 |
Schweitzer-Mauduit International, Inc. | 13,509 | 531,309 |
2,920,833 | ||
TOTAL PAPER & FOREST PRODUCTS | 5,461,094 | |
TOTAL COMMON STOCKS (Cost $495,313,041) | 542,499,433 | |
Money Market Fund – 0.2% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,139,000) | 1,139,000 | 1,139,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $496,452,041) | 543,638,433 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 498,147 | |
NET ASSETS – 100.0% | $ 544,136,580 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
79 | Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | September 2021 | $ 111,080 | $ (5,022) | $ (5,022) |
CME E-mini S&P Materials Select Sector Index (United States) | 15 | September 2021 | 1,328,400 | (5,484) | (5,484) |
CME E-mini Micro Russell 2000 Index Contracts (United States) | 9 | September 2021 | 99,972 | (3,816) | (3,816) |
Total Equity Index Contracts | $ (14,322) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 542,499,433 | $ 542,499,433 | $ — | $ — | |||||
Money Market Funds | 1,139,000 | 1,139,000 | — | — | |||||
Total Investments in Securities: | $ 543,638,433 | $ 543,638,433 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (14,322) | $ (14,322) | $ — | $ — | |||||
Total Liabilities | $ (14,322) | $ (14,322) | $ — | $ — | |||||
Total Derivative Instruments: | $ (14,322) | $ (14,322) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(14,322) | |
Total Equity Risk | 0 | (14,322) | |
Total Value of Derivatives | $0 | $(14,322) |
(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). |
Annual Report | 80 |
Common Stocks – 99.8% | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 94.9% | ||
Diversified REITs – 3.9% | ||
Alexander & Baldwin, Inc. | 95,704 | $ 1,915,994 |
American Assets Trust, Inc. | 66,729 | 2,464,302 |
Armada Hoffler Properties, Inc. | 84,554 | 1,099,202 |
Broadstone Net Lease, Inc. | 24,532 | 638,323 |
DigitalBridge Group, Inc. (a) | 636,991 | 4,433,457 |
Empire State Realty Trust, Inc. Class A | 203,784 | 2,329,251 |
Essential Properties Realty Trust, Inc. | 131,906 | 3,930,799 |
Gladstone Commercial Corp. | 52,506 | 1,217,089 |
Global Net Lease, Inc. | 121,263 | 2,239,727 |
iStar, Inc. | 104,878 | 2,541,194 |
One Liberty Properties, Inc. | 30,015 | 918,159 |
PS Business Parks, Inc. | 25,434 | 3,908,443 |
STORE Capital Corp. | 286,964 | 10,385,227 |
VEREIT, Inc. | 259,466 | 12,706,050 |
Washington Real Estate Investment Trust | 100,137 | 2,432,328 |
WP Carey, Inc. | 203,000 | 16,380,070 |
69,539,615 | ||
Health Care REITs – 8.4% | ||
CareTrust REIT, Inc. | 116,704 | 2,814,900 |
Community Healthcare Trust, Inc. | 33,772 | 1,682,859 |
Diversified Healthcare Trust | 326,728 | 1,274,239 |
Global Medical REIT, Inc. | 96,419 | 1,500,280 |
Healthcare Realty Trust, Inc. | 154,077 | 4,911,975 |
Healthcare Trust of America, Inc. Class A | 255,931 | 7,317,067 |
Healthpeak Properties, Inc. | 597,280 | 22,081,442 |
LTC Properties, Inc. | 42,900 | 1,623,765 |
Medical Properties Trust, Inc. | 683,753 | 14,379,326 |
National Health Investors, Inc. | 53,585 | 3,656,104 |
Omega Healthcare Investors, Inc. | 273,739 | 9,931,251 |
Physicians Realty Trust | 232,815 | 4,411,844 |
Sabra Health Care REIT, Inc. | 259,383 | 4,821,930 |
Universal Health Realty Income Trust | 15,882 | 948,949 |
Ventas, Inc. | 443,883 | 26,535,326 |
Welltower, Inc. | 491,315 | 42,675,621 |
150,566,878 | ||
Hotel & Resort REITs – 2.7% | ||
Apple Hospitality REIT, Inc. | 275,810 | 4,123,360 |
Chatham Lodging Trust (a) | 88,978 | 1,092,650 |
DiamondRock Hospitality Co. (a) | 246,109 | 2,118,999 |
Host Hotels & Resorts, Inc. (a) | 851,200 | 13,559,616 |
Park Hotels & Resorts, Inc. (a) | 296,355 | 5,482,568 |
Pebblebrook Hotel Trust | 172,678 | 3,883,528 |
RLJ Lodging Trust | 222,815 | 3,197,395 |
Ryman Hospitality Properties, Inc. (a) | 66,536 | 5,103,311 |
Service Properties Trust | 208,878 | 2,324,812 |
Summit Hotel Properties, Inc. (a) | 160,047 | 1,442,023 |
Sunstone Hotel Investors, Inc. (a) | 287,269 | 3,315,084 |
| ||
Shares | Value | |
Xenia Hotels & Resorts, Inc. (a) | 150,392 | $ 2,658,931 |
48,302,277 | ||
Industrial REITs – 10.6% | ||
Americold Realty Trust | 246,910 | 9,592,453 |
Duke Realty Corp. | 442,054 | 22,491,708 |
EastGroup Properties, Inc. | 47,625 | 8,392,478 |
First Industrial Realty Trust, Inc. | 154,907 | 8,485,805 |
Industrial Logistics Properties Trust | 85,164 | 2,307,944 |
Lexington Realty Trust | 313,237 | 4,119,067 |
Monmouth Real Estate Investment Corp. Class A | 131,768 | 2,508,863 |
Prologis, Inc. | 845,004 | 108,194,312 |
Rexford Industrial Realty, Inc. | 151,648 | 9,329,385 |
STAG Industrial, Inc. | 186,665 | 7,712,998 |
Terreno Realty Corp. | 84,590 | 5,782,572 |
188,917,585 | ||
Office REITs – 7.3% | ||
Alexandria Real Estate Equities, Inc. | 147,785 | 29,755,032 |
Boston Properties, Inc. | 175,761 | 20,630,826 |
Brandywine Realty Trust | 213,860 | 2,985,486 |
City Office REIT, Inc. | 84,531 | 1,087,914 |
Columbia Property Trust, Inc. | 148,655 | 2,478,079 |
Corporate Office Properties Trust | 138,064 | 4,064,604 |
Cousins Properties, Inc. | 180,132 | 7,154,843 |
Douglas Emmett, Inc. | 201,546 | 6,731,636 |
Easterly Government Properties, Inc. | 94,622 | 2,147,919 |
Equity Commonwealth | 145,631 | 3,828,639 |
Franklin Street Properties Corp. | 147,128 | 768,008 |
Highwoods Properties, Inc. | 125,445 | 5,982,472 |
Hudson Pacific Properties, Inc. | 190,002 | 5,179,455 |
JBG SMITH Properties | 150,195 | 4,900,863 |
Kilroy Realty Corp. | 126,850 | 8,786,899 |
Mack-Cali Realty Corp. | 107,874 | 1,941,732 |
Office Properties Income Trust | 63,317 | 1,834,927 |
Paramount Group, Inc. | 233,352 | 2,277,516 |
Piedmont Office Realty Trust, Inc. Class A | 151,336 | 2,878,411 |
SL Green Realty Corp. | 89,783 | 6,685,242 |
Vornado Realty Trust | 193,628 | 8,422,818 |
130,523,321 | ||
Residential REITs – 15.1% | ||
American Campus Communities, Inc. | 167,799 | 8,441,968 |
American Homes 4 Rent Class A | 335,382 | 14,086,044 |
Apartment Income REIT Corp. | 183,214 | 9,644,385 |
Apartment Investment and Management Co. Class A | 179,488 | 1,249,236 |
AvalonBay Communities, Inc. | 164,451 | 37,466,871 |
Camden Property Trust | 117,163 | 17,502,981 |
Centerspace | 15,285 | 1,375,650 |
Equity Lifestyle Properties, Inc. | 205,351 | 17,208,414 |
Equity Residential | 427,527 | 35,967,846 |
81 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | ||
Residential REITs – continued | ||
Essex Property Trust, Inc. | 77,219 | $ 25,335,554 |
Independence Realty Trust, Inc. | 142,143 | 2,740,517 |
Invitation Homes, Inc. | 655,411 | 26,662,119 |
Mid-America Apartment Communities, Inc. | 136,023 | 26,266,041 |
NexPoint Residential Trust, Inc. | 29,344 | 1,729,829 |
Sun Communities, Inc. | 113,654 | 22,288,686 |
UDR, Inc. | 350,946 | 19,298,521 |
UMH Properties, Inc. | 66,543 | 1,549,121 |
268,813,783 | ||
Retail REITs – 9.9% | ||
Acadia Realty Trust | 110,161 | 2,357,445 |
Agree Realty Corp. | 60,857 | 4,573,403 |
Alexander's, Inc. | 3,084 | 859,943 |
American Finance Trust, Inc. | 154,185 | 1,305,947 |
Brixmor Property Group, Inc. | 364,528 | 8,391,435 |
Federal Realty Investment Trust | 87,192 | 10,247,676 |
Getty Realty Corp. | 46,110 | 1,456,615 |
Kimco Realty Corp. | 523,656 | 11,169,582 |
Kite Realty Group Trust | 120,040 | 2,420,006 |
National Retail Properties, Inc. | 207,679 | 10,149,273 |
NETSTREIT Corp. | 30,334 | 787,167 |
Realty Income Corp. | 398,365 | 28,001,076 |
Regency Centers Corp. | 198,043 | 12,953,993 |
Retail Opportunity Investments Corp. | 159,733 | 2,822,482 |
Retail Properties of America, Inc. Class A | 286,506 | 3,612,841 |
RPT Realty | 126,691 | 1,614,043 |
Saul Centers, Inc. | 18,514 | 844,238 |
Seritage Growth Properties, Class A (a) | 60,069 | 953,295 |
Simon Property Group, Inc. | 386,630 | 48,916,428 |
SITE Centers Corp. | 210,380 | 3,336,627 |
Spirit Realty Capital, Inc. | 128,186 | 6,437,501 |
Tanger Factory Outlet Centers, Inc. | 134,487 | 2,309,142 |
The Macerich Co. | 156,978 | 2,558,741 |
Urban Edge Properties | 159,754 | 3,035,326 |
Urstadt Biddle Properties, Inc. Class A | 51,490 | 981,914 |
Weingarten Realty Investors | 154,824 | 4,983,785 |
177,079,924 | ||
Specialized REITs – 37.0% | ||
American Tower Corp. | 511,699 | 144,708,477 |
CatchMark Timber Trust, Inc. Class A | 83,105 | 971,498 |
CoreSite Realty Corp. | 45,989 | 6,356,140 |
Crown Castle International Corp. | 474,906 | 91,699,600 |
CubeSmart | 240,717 | 11,954,006 |
CyrusOne, Inc. | 139,341 | 9,930,833 |
Digital Realty Trust, Inc. | 313,157 | 48,276,283 |
EPR Properties | 95,867 | 4,822,110 |
| ||
Shares | Value | |
Equinix, Inc. | 90,623 | $ 74,348,015 |
Extra Space Storage, Inc. | 155,032 | 26,997,273 |
Four Corners Property Trust, Inc. | 87,296 | 2,506,268 |
Gaming and Leisure Properties, Inc. | 256,665 | 12,150,521 |
Iron Mountain, Inc. | 346,015 | 15,141,616 |
Lamar Advertising Co. Class A | 105,466 | 11,242,676 |
Life Storage, Inc. | 87,604 | 10,281,205 |
MGM Growth Properties LLC Class A | 186,900 | 7,064,820 |
National Storage Affiliates Trust | 98,279 | 5,323,773 |
Outfront Media, Inc. (a) | 189,040 | 4,516,166 |
PotlatchDeltic Corp. | 87,233 | 4,530,882 |
Public Storage | 186,196 | 58,182,526 |
QTS Realty Trust, Inc. Class A | 71,982 | 5,593,721 |
Rayonier, Inc. | 162,026 | 6,110,001 |
Safehold, Inc. | 18,968 | 1,713,190 |
SBA Communications Corp. | 131,316 | 44,777,443 |
The Geo Group, Inc. | 122,311 | 846,392 |
Uniti Group, Inc. | 242,544 | 2,840,190 |
VICI Properties, Inc. | 579,900 | 18,087,081 |
Weyerhaeuser Co. | 883,248 | 29,791,955 |
660,764,661 | ||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 1,694,508,044 | |
REAL ESTATE MANAGEMENT & DEVELOPMENT – 4.9% | ||
Diversified Real Estate Activities – 0.3% | ||
Five Point Holdings LLC Class A (a) | 103,571 | 866,889 |
Tejon Ranch Co. (a) | 33,223 | 605,655 |
The RMR Group, Inc. Class A | 25,768 | 1,011,137 |
The St. Joe Co. | 46,803 | 2,118,772 |
4,602,453 | ||
Real Estate Development – 0.3% | ||
Forestar Group, Inc. (a) | 38,666 | 791,493 |
The Howard Hughes Corp. (a) | 51,715 | 4,794,497 |
5,585,990 | ||
Real Estate Operating Companies – 0.2% | ||
FRP Holdings, Inc. (a) | 10,463 | 629,140 |
Kennedy-Wilson Holdings, Inc. | 154,226 | 3,113,823 |
3,742,963 | ||
Real Estate Services – 4.1% | ||
CBRE Group, Inc. Class A (a) | 399,359 | 38,522,169 |
Cushman & Wakefield PLC (a) | 144,728 | 2,702,072 |
eXp World Holdings, Inc. (a) | 74,382 | 2,671,802 |
Jones Lang LaSalle, Inc. (a) | 62,414 | 13,891,484 |
Marcus & Millichap, Inc. (a) | 37,632 | 1,497,377 |
Newmark Group, Inc. Class A | 220,905 | 2,845,256 |
Opendoor Technologies, Inc. (a) | 33,296 | 493,447 |
RE/MAX Holdings, Inc. Class A | 25,543 | 876,125 |
Realogy Holdings Corp. (a) | 153,757 | 2,724,574 |
Annual Report | 82 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE MANAGEMENT & DEVELOPMENT – continued | ||
Real Estate Services – continued | ||
Redfin Corp. (a) | 112,909 | $ 6,613,080 |
72,837,386 | ||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 86,768,792 | |
TOTAL COMMON STOCKS (Cost $1,440,366,384) | 1,781,276,836 | |
Money Market Fund – 0.1% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,421,000) | 2,421,000 | 2,421,000 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,442,787,384) | 1,783,697,836 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 917,375 | |
NET ASSETS – 100.0% | $ 1,784,615,211 |
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 Future Contracts (United States) | 69 | September 2021 | $2,863,500 | $84,316 | $84,316 |
83 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,781,276,836 | $ 1,781,276,836 | $ — | $ — | |||||
Money Market Funds | 2,421,000 | 2,421,000 | — | — | |||||
Total Investments in Securities: | $ 1,783,697,836 | $ 1,783,697,836 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 84,316 | $ 84,316 | $ — | $ — | |||||
Total Assets | $ 84,316 | $ 84,316 | $ — | $ — | |||||
Total Derivative Instruments: | $ 84,316 | $ 84,316 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $84,316 | $0 | |
Total Equity Risk | 84,316 | 0 | |
Total Value of Derivatives | $84,316 | $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). |
Annual Report | 84 |
Common Stocks – 99.8% | ||
Shares | Value | |
ELECTRIC UTILITIES – 59.4% | ||
Electric Utilities – 59.4% | ||
ALLETE, Inc. | 52,301 | $ 3,677,806 |
Alliant Energy Corp. | 251,109 | 14,697,410 |
American Electric Power Co., Inc. | 499,044 | 43,975,757 |
Duke Energy Corp. | 772,439 | 81,191,063 |
Edison International | 381,147 | 20,772,511 |
Entergy Corp. | 201,215 | 20,709,048 |
Evergy, Inc. | 227,947 | 14,866,703 |
Eversource Energy | 344,689 | 29,736,320 |
Exelon Corp. | 981,134 | 45,917,071 |
FirstEnergy Corp. | 545,883 | 20,918,236 |
Hawaiian Electric Industries, Inc. | 110,102 | 4,771,821 |
IDACORP, Inc. | 50,646 | 5,340,621 |
MGE Energy, Inc. | 36,359 | 2,840,365 |
NextEra Energy, Inc. | 1,969,503 | 153,424,284 |
NRG Energy, Inc. | 245,420 | 10,121,121 |
OGE Energy Corp. | 201,197 | 6,790,399 |
Otter Tail Corp. | 41,787 | 2,122,362 |
PG&E Corp. (a) | 1,495,825 | 13,148,302 |
Pinnacle West Capital Corp. | 113,245 | 9,461,620 |
PNM Resources, Inc. | 81,942 | 3,960,257 |
Portland General Electric Co. | 89,854 | 4,393,861 |
PPL Corp. | 772,762 | 21,923,258 |
The Southern Co. | 1,061,801 | 67,817,230 |
Xcel Energy, Inc. | 540,289 | 36,874,724 |
TOTAL ELECTRIC UTILITIES | 639,452,150 | |
GAS UTILITIES – 4.5% | ||
Gas Utilities – 4.5% | ||
Atmos Energy Corp. | 128,791 | 12,697,505 |
Chesapeake Utilities Corp. | 17,591 | 2,191,663 |
National Fuel Gas Co. | 87,029 | 4,475,902 |
New Jersey Resources Corp. | 96,721 | 3,725,693 |
Northwest Natural Holding Co. | 30,783 | 1,609,643 |
ONE Gas, Inc. | 53,285 | 3,931,367 |
South Jersey Industries, Inc. | 101,149 | 2,545,920 |
Southwest Gas Holdings, Inc. | 57,627 | 4,029,856 |
Spire, Inc. | 52,219 | 3,704,938 |
Star Group LP | 36,329 | 428,319 |
UGI Corp. | 209,578 | 9,638,492 |
TOTAL GAS UTILITIES | 48,979,298 | |
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 3.7% | ||
Independent Power Producers & Energy Traders – 2.6% | ||
Clearway Energy, Inc. Class A | 33,057 | 890,886 |
Clearway Energy, Inc. Class C | 77,977 | 2,236,380 |
The AES Corp. | 668,748 | 15,849,328 |
Vistra Corp. | 442,383 | 8,471,635 |
27,448,229 |
| ||
Shares | Value | |
Renewable Electricity – 1.1% | ||
NextEra Energy Partners LP | 76,140 | $ 5,903,134 |
Ormat Technologies, Inc. | 45,010 | 3,138,998 |
Sunnova Energy International, Inc. (a) | 81,504 | 3,105,302 |
12,147,434 | ||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 39,595,663 | |
MULTI-UTILITIES – 27.2% | ||
Multi-Utilities – 27.2% | ||
Ameren Corp. | 254,599 | 21,365,948 |
Avista Corp. | 68,278 | 2,924,347 |
Black Hills Corp. | 62,968 | 4,259,785 |
CenterPoint Energy, Inc. | 554,289 | 14,112,198 |
CMS Energy Corp. | 290,362 | 17,941,468 |
Consolidated Edison, Inc. | 344,100 | 25,384,257 |
Dominion Energy, Inc. | 809,606 | 60,615,201 |
DTE Energy Co. | 194,725 | 22,845,137 |
MDU Resources Group, Inc. | 201,564 | 6,393,610 |
NiSource, Inc. | 393,785 | 9,754,054 |
NorthWestern Corp. | 51,023 | 3,162,916 |
Public Service Enterprise Group, Inc. | 508,333 | 31,633,563 |
Sempra Energy | 318,310 | 41,587,201 |
Unitil Corp. | 15,198 | 804,278 |
WEC Energy Group, Inc. | 316,984 | 29,840,874 |
TOTAL MULTI-UTILITIES | 292,624,837 | |
WATER UTILITIES – 5.0% | ||
Water Utilities – 5.0% | ||
American States Water Co. | 37,082 | 3,275,082 |
American Water Works Co., Inc. | 182,331 | 31,016,326 |
Cadiz, Inc. (a) | 36,018 | 488,044 |
California Water Service Group | 50,687 | 3,177,061 |
Essential Utilities, Inc. | 234,153 | 11,501,595 |
Middlesex Water Co. | 17,626 | 1,793,269 |
SJW Group | 27,335 | 1,884,202 |
The York Water Co. | 13,256 | 639,735 |
TOTAL WATER UTILITIES | 53,775,314 | |
TOTAL COMMON STOCKS (Cost $1,016,763,013) | 1,074,427,262 |
85 | Annual Report |
Money Market Fund – 0.3% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,534,000) | 2,534,000 | $ 2,534,000 |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $1,019,297,013) | 1,076,961,262 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (669,019) | |
NET ASSETS – 100.0% | $ 1,076,292,243 |
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 (United States) | 26 | September 2021 | $1,725,620 | $33,427 | $33,427 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,074,427,262 | $ 1,074,427,262 | $ — | $ — | |||||
Money Market Funds | 2,534,000 | 2,534,000 | — | — | |||||
Total Investments in Securities: | $ 1,076,961,262 | $ 1,076,961,262 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 33,427 | $ 33,427 | $ — | $ — | |||||
Total Assets | $ 33,427 | $ 33,427 | $ — | $ — | |||||
Total Derivative Instruments: | $ 33,427 | $ 33,427 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $33,427 | $0 | |
Total Equity Risk | 33,427 | 0 | |
Total Value of Derivatives | $33,427 | $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). |
Annual Report | 86 |
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 | $ 915,358,547 | $ 1,631,239,111 | $ 817,024,403 | $ 892,167,577 | |||
Segregated cash with brokers for derivative instruments | 100,000 | 133,500 | 105,500 | 188,000 | |||
Cash | 3,565 | 27,105 | 21,852 | 495,098 | |||
Receivable for investments sold | — | — | — | 45,968 | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 980,528 | 291,315 | 1,186,577 | 1,314,105 | |||
Interest receivable | 9 | 11 | 6 | 3 | |||
Receivable for daily variation margin on futures contracts | — | — | 987 | — | |||
Total assets | 916,442,649 | 1,631,691,042 | 818,339,325 | 894,210,751 | |||
Liabilities | |||||||
Payable to custodian bank | — | — | — | — | |||
Payable for investments purchased | — | — | — | — | |||
Payable for fund shares redeemed | — | — | — | — | |||
Accrued management fees | 61,320 | 113,992 | 56,637 | 65,171 | |||
Payable for daily variation margin on futures contracts | 6,045 | 45,907 | — | 87,583 | |||
Total liabilities | 67,365 | 159,899 | 56,637 | 152,754 | |||
Net Assets | $916,375,284 | $1,631,531,143 | $818,282,688 | $ 894,057,997 | |||
Net Assets consist of: | |||||||
Paid in capital | $704,522,652 | $1,204,707,163 | $740,105,192 | $1,080,835,376 | |||
Total accumulated earnings (loss) | 211,852,632 | 426,823,980 | 78,177,496 | (186,777,379) | |||
Net Assets | $916,375,284 | $1,631,531,143 | $818,282,688 | $ 894,057,997 | |||
Shares outstanding | 16,700,000 | 20,050,000 | 18,900,000 | 66,350,000 | |||
Net Asset Value per share | $ 54.87 | $ 81.37 | $ 43.30 | $ 13.47 | |||
Investments at cost | $669,994,313 | $1,172,448,303 | $713,427,466 | $ 885,275,993 |
Annual Report | 88 |
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 | $ 1,714,437,496 | $ 2,843,356,905 | $ 862,037,706 | $ 6,204,971,714 | |||
Segregated cash with brokers for derivative instruments | 240,400 | 315,500 | 76,100 | 733,500 | |||
Cash | 43,162 | — | 33,378 | 68,483 | |||
Receivable for investments sold | — | 135,483 | — | 451,598 | |||
Receivable for fund shares sold | — | 43,955 | — | — | |||
Dividends receivable | 2,757,349 | 3,307,809 | 369,840 | 1,100,335 | |||
Interest receivable | 9 | 26 | 9 | 34 | |||
Receivable for daily variation margin on futures contracts | — | 30,052 | 2,693 | — | |||
Total assets | 1,717,478,416 | 2,847,189,730 | 862,519,726 | 6,207,325,664 | |||
Liabilities | |||||||
Payable to custodian bank | — | 113,565 | — | — | |||
Payable for investments purchased | 360,146 | 643,823 | 187,859 | — | |||
Payable for fund shares redeemed | — | 1 | — | — | |||
Accrued management fees | 120,394 | 193,778 | 60,715 | 428,968 | |||
Payable for daily variation margin on futures contracts | 62,926 | — | — | 7,928 | |||
Total liabilities | 543,466 | 951,167 | 248,574 | 436,896 | |||
Net Assets | $1,716,934,950 | $2,846,238,563 | $862,271,152 | $6,206,888,768 | |||
Net Assets consist of: | |||||||
Paid in capital | $1,487,109,185 | $2,067,489,427 | $723,074,779 | $3,307,264,831 | |||
Total accumulated earnings (loss) | 229,825,765 | 778,749,136 | 139,196,373 | 2,899,623,937 | |||
Net Assets | $1,716,934,950 | $2,846,238,563 | $862,271,152 | $6,206,888,768 | |||
Shares outstanding | 32,900,000 | 43,100,000 | 15,800,000 | 51,000,000 | |||
Net Asset Value per share | $ 52.19 | $ 66.04 | $ 54.57 | $ 121.70 | |||
Investments at cost | $1,452,647,521 | $2,026,924,672 | $708,285,222 | $3,267,050,973 |
89 | Annual Report |
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 | $ 543,638,433 | $ 1,783,697,836 | $ 1,076,961,262 | ||
Segregated cash with brokers for derivative instruments | 81,350 | 158,700 | 91,000 | ||
Cash | 18,615 | 4,427 | 74,912 | ||
Receivable for investments sold | 56,352 | — | — | ||
Receivable for fund shares sold | — | — | 24,063 | ||
Dividends receivable | 374,955 | 869,018 | 732,136 | ||
Interest receivable | 5 | 10 | 9 | ||
Receivable for daily variation margin on futures contracts | 5,492 | 7,866 | — | ||
Total assets | 544,175,202 | 1,784,737,857 | 1,077,883,382 | ||
Liabilities | |||||
Payable to custodian bank | — | — | — | ||
Payable for investments purchased | — | — | 1,487,433 | ||
Payable for fund shares redeemed | — | — | — | ||
Accrued management fees | 38,622 | 122,646 | 74,402 | ||
Payable for daily variation margin on futures contracts | — | — | 29,304 | ||
Total liabilities | 38,622 | 122,646 | 1,591,139 | ||
Net Assets | $544,136,580 | $1,784,615,211 | $1,076,292,243 | ||
Net Assets consist of: | |||||
Paid in capital | $508,112,249 | $1,493,422,994 | $1,049,031,855 | ||
Total accumulated earnings (loss) | 36,024,331 | 291,192,217 | 27,260,388 | ||
Net Assets | $544,136,580 | $1,784,615,211 | $1,076,292,243 | ||
Shares outstanding | 11,600,000 | 56,200,000 | 25,250,000 | ||
Net Asset Value per share | $ 46.91 | $ 31.75 | $ 42.63 | ||
Investments at cost | $496,452,041 | $1,442,787,384 | $1,019,297,013 |
Annual Report | 90 |
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 | $ 5,452,553 | $ 8,721,789 | $ 21,665,837 | $ 29,071,612 | |||
Interest | 67 | 119 | 97 | 9 | |||
Total income | 5,452,620 | 8,721,908 | 21,665,934 | 29,071,621 | |||
Expenses | |||||||
Management fees | 568,812 | 1,104,322 | 693,906 | 578,921 | |||
Independent trustees' fees and expenses | 2,779 | 5,211 | 3,520 | 2,670 | |||
Legal | — | 72 | — | — | |||
Total expenses | 571,591 | 1,109,605 | 697,426 | 581,591 | |||
Net investment income (loss) | 4,881,029 | 7,612,303 | 20,968,508 | 28,490,030 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 41,978 | (7,221,198) | (5,789,442) | (51,768,955) | |||
Net realized gain (loss) on In-kind redemptions | 66,982,265 | 132,319,072 | 61,240,001 | 42,673,906 | |||
Net realized gain (loss) on futures contracts | 428,006 | 682,329 | 283,830 | 2,198,116 | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | 67,452,249 | 125,780,203 | 55,734,389 | (6,896,933) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 172,987,719 | 281,259,699 | 62,689,545 | 241,957,120 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (8,104) | 26,650 | (1,550) | 14,898 | |||
Total change in net unrealized appreciation (depreciation) | 172,979,615 | 281,286,349 | 62,687,995 | 241,972,018 | |||
Net gain (loss) | 240,431,864 | 407,066,552 | 118,422,384 | 235,075,085 | |||
Net increase (decrease) in net assets resulting from operations | $245,312,893 | $414,678,855 | $139,390,892 | $263,565,115 |
91 | Annual Report |
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 | $ 25,859,693 | $ 33,048,428 | $ 8,308,021 | $ 43,761,810 | |||
Interest | 141 | 310 | 71 | 565 | |||
Total income | 25,859,834 | 33,048,738 | 8,308,092 | 43,762,375 | |||
Expenses | |||||||
Management fees | 988,884 | 2,023,615 | 525,750 | 4,360,093 | |||
Independent trustees' fees and expenses | 4,469 | 10,057 | 2,372 | 21,529 | |||
Legal | — | — | — | — | |||
Total expenses | 993,353 | 2,033,672 | 528,122 | 4,381,622 | |||
Net investment income (loss) | 24,866,481 | 31,015,066 | 7,779,970 | 39,380,753 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (5,129,230) | 4,994,162 | (2,609,888) | 268,804 | |||
Net realized gain (loss) on In-kind redemptions | 43,701,217 | 60,665,713 | 12,739,149 | 218,830,957 | |||
Net realized gain (loss) on futures contracts | 962,735 | 1,178,346 | 420,376 | 4,219,471 | |||
Net realized gain (loss) on foreign currency transactions | — | — | (7) | — | |||
Total net realized gain (loss) | 39,534,722 | 66,838,221 | 10,549,630 | 223,319,232 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 390,799,589 | 504,722,163 | 189,441,437 | 1,490,759,624 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (106,354) | (185,070) | (18,617) | (739,278) | |||
Total change in net unrealized appreciation (depreciation) | 390,693,235 | 504,537,093 | 189,422,820 | 1,490,020,346 | |||
Net gain (loss) | 430,227,957 | 571,375,314 | 199,972,450 | 1,713,339,578 | |||
Net increase (decrease) in net assets resulting from operations | $455,094,438 | $602,390,380 | $207,752,420 | $1,752,720,331 |
Annual Report | 92 |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 5,934,572 | $ 29,336,920 | $ 31,257,969 | ||
Interest | 33 | 114 | 93 | ||
Total income | 5,934,605 | 29,337,034 | 31,258,062 | ||
Expenses | |||||
Management fees | 283,657 | 1,091,296 | 857,978 | ||
Independent trustees' fees and expenses | 1,208 | 5,250 | 4,342 | ||
Legal | — | — | — | ||
Total expenses | 284,865 | 1,096,546 | 862,320 | ||
Net investment income (loss) | 5,649,740 | 28,240,488 | 30,395,742 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (1,696,678) | (13,644,692) | (7,717,456) | ||
Net realized gain (loss) on In-kind redemptions | 25,051,960 | 21,809,374 | 44,741,993 | ||
Net realized gain (loss) on futures contracts | 219,190 | 933,277 | 178,498 | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | 23,574,472 | 9,097,959 | 37,203,035 | ||
Change in net unrealized appreciation (depreciation) on investment securities | 65,987,316 | 381,797,145 | 48,136,921 | ||
Change in net unrealized appreciation (depreciation) on futures contracts | (31,956) | 9,927 | (34,656) | ||
Total change in net unrealized appreciation (depreciation) | 65,955,360 | 381,807,072 | 48,102,265 | ||
Net gain (loss) | 89,529,832 | 390,905,031 | 85,305,300 | ||
Net increase (decrease) in net assets resulting from operations | $95,179,572 | $419,145,519 | $115,701,042 |
93 | Annual Report |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 4,881,029 | $ 4,480,821 | $ 7,612,303 | $ 7,624,071 | |||
Net realized gain (loss) | 67,452,249 | 16,240,366 | 125,780,203 | 1,792,983 | |||
Change in net unrealized appreciation (depreciation) | 172,979,615 | 36,605,255 | 281,286,349 | 145,904,660 | |||
Net increase (decrease) in net assets resulting from operations | 245,312,893 | 57,326,442 | 414,678,855 | 155,321,714 | |||
Distributions to shareholders | (4,490,900) | (4,434,950) | (7,322,150) | (7,815,800) | |||
Return of capital | — | — | — | — | |||
Total distributions | (4,490,900) | (4,434,950) | (7,322,150) | (7,815,800) | |||
Share transactions | |||||||
Proceeds from sales of shares | 277,514,566 | 291,574,303 | 640,804,871 | 197,065,429 | |||
Cost of shares redeemed | (179,670,185) | (141,145,649) | (298,219,402) | (191,439,423) | |||
Net increase (decrease) in net assets resulting from share transactions | 97,844,381 | 150,428,654 | 342,585,469 | 5,626,006 | |||
Total increase (decrease) in net assets | 338,666,374 | 203,320,146 | 749,942,174 | 153,131,920 | |||
Net Assets | |||||||
Beginning of year | 577,708,910 | 374,388,764 | 881,588,969 | 728,457,049 | |||
End of year | $ 916,375,284 | $ 577,708,910 | $1,631,531,143 | $ 881,588,969 | |||
Other Information | |||||||
Shares | |||||||
Sold | 5,500,000 | 8,500,000 | 9,000,000 | 3,950,000 | |||
Redeemed | (4,050,000) | (4,150,000) | (4,350,000) | (4,300,000) | |||
Net increase (decrease) | 1,450,000 | 4,350,000 | 4,650,000 | (350,000) |
Annual Report | 94 |
Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 20,968,508 | $ 16,165,295 | $ 28,490,030 | $ 17,353,322 | |||
Net realized gain (loss) | 55,734,389 | 17,540,475 | (6,896,933) | (78,388,632) | |||
Change in net unrealized appreciation (depreciation) | 62,687,995 | 19,047,261 | 241,972,018 | (119,730,012) | |||
Net increase (decrease) in net assets resulting from operations | 139,390,892 | 52,753,031 | 263,565,115 | (180,765,322) | |||
Distributions to shareholders | (20,813,400) | (15,887,400) | (29,586,300) | (29,582,350) | |||
Return of capital | — | — | — | — | |||
Total distributions | (20,813,400) | (15,887,400) | (29,586,300) | (29,582,350) | |||
Share transactions | |||||||
Proceeds from sales of shares | 272,522,699 | 344,013,928 | 328,207,237 | 295,198,608 | |||
Cost of shares redeemed | (251,466,243) | (250,300,763) | (117,452,719) | (103,154,387) | |||
Net increase (decrease) in net assets resulting from share transactions | 21,056,456 | 93,713,165 | 210,754,518 | 192,044,221 | |||
Total increase (decrease) in net assets | 139,633,948 | 130,578,796 | 444,733,333 | (18,303,451) | |||
Net Assets | |||||||
Beginning of year | 678,648,740 | 548,069,944 | 449,324,664 | 467,628,115 | |||
End of year | $ 818,282,688 | $ 678,648,740 | $ 894,057,997 | $ 449,324,664 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,800,000 | 9,800,000 | 28,300,000 | 29,050,000 | |||
Redeemed | (6,100,000) | (7,000,000) | (9,400,000) | (9,450,000) | |||
Net increase (decrease) | 700,000 | 2,800,000 | 18,900,000 | 19,600,000 |
95 | Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 24,866,481 | $ 23,623,527 | $ 31,015,066 | $ 25,342,498 | |||
Net realized gain (loss) | 39,534,722 | (2,430,801) | 66,838,221 | 68,468,128 | |||
Change in net unrealized appreciation (depreciation) | 390,693,235 | (188,174,937) | 504,537,093 | 199,574,403 | |||
Net increase (decrease) in net assets resulting from operations | 455,094,438 | (166,982,211) | 602,390,380 | 293,385,029 | |||
Distributions to shareholders | (23,611,000) | (23,513,000) | (33,149,950) | (23,973,050) | |||
Return of capital | — | — | — | — | |||
Total distributions | (23,611,000) | (23,513,000) | (33,149,950) | (23,973,050) | |||
Share transactions | |||||||
Proceeds from sales of shares | 715,027,877 | 108,377,280 | 399,566,161 | 471,503,606 | |||
Cost of shares redeemed | (154,635,399) | (336,681,503) | (137,834,298) | (282,901,778) | |||
Net increase (decrease) in net assets resulting from share transactions | 560,392,478 | (228,304,223) | 261,731,863 | 188,601,828 | |||
Total increase (decrease) in net assets | 991,875,916 | (418,799,434) | 830,972,293 | 458,013,807 | |||
Net Assets | |||||||
Beginning of year | 725,059,034 | 1,143,858,468 | 2,015,266,270 | 1,557,252,463 | |||
End of year | $1,716,934,950 | $ 725,059,034 | $2,846,238,563 | $2,015,266,270 | |||
Other Information | |||||||
Shares | |||||||
Sold | 14,900,000 | 2,900,000 | 6,950,000 | 9,700,000 | |||
Redeemed | (3,250,000) | (9,400,000) | (2,350,000) | (6,250,000) | |||
Net increase (decrease) | 11,650,000 | (6,500,000) | 4,600,000 | 3,450,000 |
Annual Report | 96 |
Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 7,779,970 | $ 7,103,245 | $ 39,380,753 | $ 38,604,113 | |||
Net realized gain (loss) | 10,549,630 | 3,581,017 | 223,319,232 | 103,918,960 | |||
Change in net unrealized appreciation (depreciation) | 189,422,820 | (39,473,230) | 1,490,020,346 | 928,824,154 | |||
Net increase (decrease) in net assets resulting from operations | 207,752,420 | (28,788,968) | 1,752,720,331 | 1,071,347,227 | |||
Distributions to shareholders | (7,709,800) | (7,240,200) | (39,319,850) | (37,905,100) | |||
Return of capital | — | — | — | — | |||
Total distributions | (7,709,800) | (7,240,200) | (39,319,850) | (37,905,100) | |||
Share transactions | |||||||
Proceeds from sales of shares | 348,123,647 | 52,096,532 | 583,974,201 | 943,899,046 | |||
Cost of shares redeemed | (33,192,592) | (123,240,943) | (378,741,782) | (260,449,536) | |||
Net increase (decrease) in net assets resulting from share transactions | 314,931,055 | (71,144,411) | 205,232,419 | 683,449,510 | |||
Total increase (decrease) in net assets | 514,973,675 | (107,173,579) | 1,918,632,900 | 1,716,891,637 | |||
Net Assets | |||||||
Beginning of year | 347,297,477 | 454,471,056 | 4,288,255,868 | 2,571,364,231 | |||
End of year | $862,271,152 | $ 347,297,477 | $6,206,888,768 | $4,288,255,868 | |||
Other Information | |||||||
Shares | |||||||
Sold | 7,200,000 | 1,400,000 | 5,600,000 | 13,150,000 | |||
Redeemed | (650,000) | (3,500,000) | (3,750,000) | (3,850,000) | |||
Net increase (decrease) | 6,550,000 | (2,100,000) | 1,850,000 | 9,300,000 |
97 | Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,649,740 | $ 3,629,585 | $ 28,240,488 | $ 24,756,912 | |||
Net realized gain (loss) | 23,574,472 | (3,308,400) | 9,097,959 | (25,325,790) | |||
Change in net unrealized appreciation (depreciation) | 65,955,360 | (5,513,248) | 381,807,072 | (82,812,809) | |||
Net increase (decrease) in net assets resulting from operations | 95,179,572 | (5,192,063) | 419,145,519 | (83,381,687) | |||
Distributions to shareholders | (5,562,850) | (3,689,350) | (43,349,650) | (24,756,912) | |||
Return of capital | — | — | — | (7,484,038) | |||
Total distributions | (5,562,850) | (3,689,350) | (43,349,650) | (32,240,950) | |||
Share transactions | |||||||
Proceeds from sales of shares | 363,160,504 | 76,091,208 | 427,447,059 | 623,288,190 | |||
Cost of shares redeemed | (73,126,709) | (101,766,943) | (84,781,395) | (285,514,758) | |||
Net increase (decrease) in net assets resulting from share transactions | 290,033,795 | (25,675,735) | 342,665,664 | 337,773,432 | |||
Total increase (decrease) in net assets | 379,650,517 | (34,557,148) | 718,461,533 | 222,150,795 | |||
Net Assets | |||||||
Beginning of year | 164,486,063 | 199,043,211 | 1,066,153,678 | 844,002,883 | |||
End of year | $544,136,580 | $ 164,486,063 | $1,784,615,211 | $1,066,153,678 | |||
Other Information | |||||||
Shares | |||||||
Sold | 8,250,000 | 2,350,000 | 15,600,000 | 25,200,000 | |||
Redeemed | (1,650,000) | (3,450,000) | (3,400,000) | (12,950,000) | |||
Net increase (decrease) | 6,600,000 | (1,100,000) | 12,200,000 | 12,250,000 |
Annual Report | 98 |
Fidelity MSCI Utilities Index ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 30,395,742 | $ 26,659,205 | |
Net realized gain (loss) | 37,203,035 | 18,744,822 | |
Change in net unrealized appreciation (depreciation) | 48,102,265 | (50,519,483) | |
Net increase (decrease) in net assets resulting from operations | 115,701,042 | (5,115,456) | |
Distributions to shareholders | (31,181,450) | (27,022,800) | |
Return of capital | — | — | |
Total distributions | (31,181,450) | (27,022,800) | |
Share transactions | |||
Proceeds from sales of shares | 416,979,624 | 372,539,343 | |
Cost of shares redeemed | (270,013,514) | (228,784,710) | |
Net increase (decrease) in net assets resulting from share transactions | 146,966,110 | 143,754,633 | |
Total increase (decrease) in net assets | 231,485,702 | 111,616,377 | |
Net Assets | |||
Beginning of year | 844,806,541 | 733,190,164 | |
End of year | $1,076,292,243 | $ 844,806,541 | |
Other Information | |||
Shares | |||
Sold | 10,350,000 | 9,100,000 | |
Redeemed | (6,700,000) | (6,200,000) | |
Net increase (decrease) | 3,650,000 | 2,900,000 |
99 | Annual Report |
Fidelity MSCI Communication Services Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | $ 32.10 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.34 | 0.33 | 0.49 | 0.85 | 0.80 | ||||
Net realized and unrealized gain (loss) | 16.96 | 3.52 | 5.59 | (2.43) | 0.62 | ||||
Total from investment operations | 17.30 | 3.85 | 6.08 | (1.58) | 1.42 | ||||
Distributions from net investment income | (0.31) | (0.32) | (0.49) | (1.00) | (0.90) | ||||
Distributions from net realized gain | — | — | — | (1.28) | — | ||||
Total distributions | (0.31) | (0.32) | (0.49) | (2.28) | (0.90) | ||||
Net asset value, end of period | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | ||||
Total ReturnB | 45.81% | 11.40% | 21.33% | (5.14)% | 4.58% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .72% | .96% | 1.53% | 2.81% | 2.55% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $916,375 | $577,709 | $374,389 | $125,104 | $115,818 | ||||
Portfolio turnover rateD,E | 13% | 23% | 82% | 38% | 27% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 100 |
Fidelity MSCI Consumer Discretionary Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | $ 31.99 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.42 | 0.50 | 0.51 | 0.47 | 0.50 | ||||
Net realized and unrealized gain (loss) | 24.10 | 11.01 | 2.96 | 7.20 | 4.07 | ||||
Total from investment operations | 24.52 | 11.51 | 3.47 | 7.67 | 4.57 | ||||
Distributions from net investment income | (0.40) | (0.51) | (0.54) | (0.41) | (0.50) | ||||
Total distributions | (0.40) | (0.51) | (0.54) | (0.41) | (0.50) | ||||
Net asset value, end of period | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | ||||
Total ReturnB | 42.95% | 25.26% | 8.15% | 21.36% | 14.41% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .58% | 1.06% | 1.18% | 1.16% | 1.49% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,631,531 | $881,589 | $728,457 | $628,129 | $293,913 | ||||
Portfolio turnover rateD,E | 48% | 60% | 25% | 5% | 7% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
101 | Annual Report |
Fidelity MSCI Consumer Staples Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | $ 32.82 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 1.02 | 0.96 | 0.94 | 0.86 | 0.83 | ||||
Net realized and unrealized gain (loss) | 6.01 | 1.70 | 3.23 | (0.88) | 0.40 | ||||
Total from investment operations | 7.03 | 2.66 | 4.17 | (0.02) | 1.23 | ||||
Distributions from net investment income | (1.02) | (0.96) | (0.91) | (0.88) | (0.82) | ||||
Total distributions | (1.02) | (0.96) | (0.91) | (0.88) | (0.82) | ||||
Net asset value, end of period | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | ||||
Total ReturnB | 19.09% | 7.74% | 13.16% | (0.06)% | 3.82% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.53% | 2.68% | 2.83% | 2.65% | 2.56% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $818,283 | $678,649 | $548,070 | $311,970 | $312,349 | ||||
Portfolio turnover rateD,E | 20% | 34% | 30% | 24% | 11% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 102 |
Fidelity MSCI Energy Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | $ 19.03 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.49 | 0.51 | 0.54 | 0.47 | 0.57 | ||||
Net realized and unrealized gain (loss) | 4.02 | (6.86) | (4.70) | 3.22 | (0.73) | ||||
Total from investment operations | 4.51 | (6.35) | (4.16) | 3.69 | (0.16) | ||||
Distributions from net investment income | (0.51) | (0.97) | (0.55) | (0.58) | (0.48) | ||||
Total distributions | (0.51) | (0.97) | (0.55) | (0.58) | (0.48) | ||||
Net asset value, end of period | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | ||||
Total ReturnB | 48.79% | (39.28)% | (19.42)% | 20.52% | (0.96)% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 4.11% | 4.18% | 2.92% | 2.40% | 2.91% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $894,058 | $449,325 | $467,628 | $634,157 | $431,311 | ||||
Portfolio turnover rateD,E | 11% | 17% | 6% | 5% | 10% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
103 | Annual Report |
Fidelity MSCI Financials Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | $ 28.61 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.96 | 1.00 | 0.89 | 0.75 | 0.61 | ||||
Net realized and unrealized gain (loss) | 18.00 | (7.09) | 0.18 | 4.11 | 8.28 | ||||
Total from investment operations | 18.96 | (6.09) | 1.07 | 4.86 | 8.89 | ||||
Distributions from net investment income | (0.89) | (1.01) | (0.90) | (0.75) | (0.56) | ||||
Total distributions | (0.89) | (1.01) | (0.90) | (0.75) | (0.56) | ||||
Net asset value, end of period | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | ||||
Total ReturnB | 56.15% | (14.78)% | 2.80% | 13.23% | 31.31% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.10% | 2.61% | 2.27% | 1.88% | 1.77% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,716,935 | $725,059 | $1,143,858 | $1,574,375 | $921,679 | ||||
Portfolio turnover rateD,E | 4% | 6% | 5% | 5% | 18% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 104 |
Fidelity MSCI Health Care Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | $ 35.67 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.75 | 0.72 | 0.63 | 0.56 | 0.51 | ||||
Net realized and unrealized gain (loss) | 13.74 | 7.88 | 1.01 | 5.29 | 2.76 | ||||
Total from investment operations | 14.49 | 8.60 | 1.64 | 5.85 | 3.27 | ||||
Distributions from net investment income | (0.79) | (0.69) | (0.93) | (0.57) | (0.50) | ||||
Total distributions | (0.79) | (0.69) | (0.93) | (0.57) | (0.50) | ||||
Net asset value, end of period | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | ||||
Total ReturnB | 27.91% | 19.69% | 3.84% | 15.34% | 9.30% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.28% | 1.52% | 1.43% | 1.39% | 1.45% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $2,846,239 | $2,015,266 | $1,557,252 | $1,252,626 | $818,710 | ||||
Portfolio turnover rateD,E | 7% | 7% | 5% | 8% | 4% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
105 | Annual Report |
Fidelity MSCI Industrials Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | $ 30.10 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.61 | 0.69 | 0.70 | 0.61 | 0.61 | ||||
Net realized and unrealized gain (loss) | 17.00 | (2.48) | 0.51 | 4.62 | 4.79 | ||||
Total from investment operations | 17.61 | (1.79) | 1.21 | 5.23 | 5.40 | ||||
Distributions from net investment income | (0.59) | (0.70) | (0.68) | (0.65) | (0.57) | ||||
Total distributions | (0.59) | (0.70) | (0.68) | (0.65) | (0.57) | ||||
Net asset value, end of period | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | ||||
Total ReturnB | 47.17% | (4.34)% | 3.23% | 15.08% | 18.08% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.24% | 1.80% | 1.84% | 1.61% | 1.85% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $862,271 | $347,297 | $454,471 | $499,824 | $354,586 | ||||
Portfolio turnover rateD,E | 5% | 4% | 5% | 5% | 5% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 106 |
Fidelity MSCI Information Technology Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | $ 34.93 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.79 | 0.87 | 0.70 | 0.53 | 0.48 | ||||
Net realized and unrealized gain (loss) | 34.45 | 22.70 | 8.17 | 11.85 | 9.54 | ||||
Total from investment operations | 35.24 | 23.57 | 8.87 | 12.38 | 10.02 | ||||
Distributions from net investment income | (0.79) | (0.85) | (0.70) | (0.52) | (0.45) | ||||
Total distributions | (0.79) | (0.85) | (0.70) | (0.52) | (0.45) | ||||
Net asset value, end of period | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | ||||
Total ReturnB | 40.57% | 36.99% | 15.94% | 27.92% | 28.86% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .76% | 1.21% | 1.22% | 1.02% | 1.19% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $6,206,889 | $4,288,256 | $2,571,364 | $2,223,254 | $1,010,043 | ||||
Portfolio turnover rateD,E | 3% | 5% | 18% | 4% | 6% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
107 | Annual Report |
Fidelity MSCI Materials Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | $ 27.71 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.71 | 0.65 | 0.65 | 0.55 | 0.57 | ||||
Net realized and unrealized gain (loss) | 13.98 | 0.30 B | (2.08) | 3.09 | 3.87 | ||||
Total from investment operations | 14.69 | 0.95 | (1.43) | 3.64 | 4.44 | ||||
Distributions from net investment income | (0.68) | (0.68) | (0.64) | (0.57) | (0.52) | ||||
Total distributions | (0.68) | (0.68) | (0.64) | (0.57) | (0.52) | ||||
Net asset value, end of period | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | ||||
Total ReturnC | 45.01% | 3.28% | (4.02)% | 11.54% | 16.17% | ||||
Ratios to Average Net AssetsD | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.66% | 2.08% | 2.05% | 1.60% | 1.93% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $544,137 | $164,486 | $199,043 | $265,428 | $211,931 | ||||
Portfolio turnover rateE,F | 4% | 3% | 12% | 10% | 7% |
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 | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 108 |
Fidelity MSCI Real Estate Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | $ 25.83 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 0.58 | 0.67 | 1.05 | 0.76 | 0.68 | ||||
Net realized and unrealized gain (loss) | 7.83 | (2.13) | 2.08 | 0.32 | (1.12) | ||||
Total from investment operations | 8.41 | (1.46) | 3.13 | 1.08 | (0.44) | ||||
Distributions from net investment income | (0.89) | (0.68) | (1.24) | (0.92) | (0.86) | ||||
Return of capital | — | (0.21) | — | — | — | ||||
Total distributions | (0.89) | (0.89) | (1.24) | (0.92) | (0.86) | ||||
Net asset value, end of period | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | ||||
Total ReturnB | 35.58% | (5.27)% | 13.19% | 4.53% | (1.53)% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.16% | 2.62% | 4.20% | 3.15% | 2.85% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,784,615 | $1,066,154 | $844,003 | $502,347 | $392,538 | ||||
Portfolio turnover rateD,E | 8% | 9% | 10% | 8% | 17% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
109 | Annual Report |
Fidelity MSCI Utilities Index ETF | |||||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2017 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | $ 33.57 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A | 1.21 | 1.23 | 1.16 | 1.10 | 1.06 | ||||
Net realized and unrealized gain (loss) | 3.56 | (0.09) | 4.32 | 0.20 | 1.09 | ||||
Total from investment operations | 4.77 | 1.14 | 5.48 | 1.30 | 2.15 | ||||
Distributions from net investment income | (1.25) | (1.24) | (1.12) | (1.09) | (1.08) | ||||
Total distributions | (1.25) | (1.24) | (1.12) | (1.09) | (1.08) | ||||
Net asset value, end of period | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | ||||
Total ReturnB | 12.46% | 3.13% | 15.93% | 3.83% | 6.61% | ||||
Ratios to Average Net AssetsC | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.96% | 3.06% | 3.11% | 3.21% | 3.22% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,076,292 | $844,807 | $733,190 | $336,273 | $277,149 | ||||
Portfolio turnover rateD,E | 5% | 5% | 7% | 6% | 6% |
A | Calculated based on average shares outstanding during the period. |
B | Based on net asset value. |
C | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
D | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
E | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 110 |
For the year ended July 31, 2021
111 | Annual Report |
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) | |
Fidelity MSCI Communication Services Index ETF | $ 673,690,277 | $ 254,922,985 | $ (13,254,715) | $ 241,668,270 |
Fidelity MSCI Consumer Discretionary Index ETF | 1,199,999,237 | 435,860,659 | (4,620,785) | 431,239,874 |
Fidelity MSCI Consumer Staples Index ETF | 729,432,631 | 97,246,572 | (9,654,800) | 87,591,772 |
Fidelity MSCI Energy Index ETF | 970,073,925 | 54,036,854 | (131,943,202) | (77,906,348) |
Fidelity MSCI Financials Index ETF | 1,457,653,939 | 291,325,596 | (34,542,039) | 256,783,557 |
Fidelity MSCI Health Care Index ETF | 2,052,719,143 | 876,037,698 | (85,399,936) | 790,637,762 |
Annual Report | 112 |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Industrials Index ETF | $ 710,579,615 | $ 182,437,271 | $ (30,979,180) | $ 151,458,091 |
Fidelity MSCI Information Technology Index ETF | 3,276,966,453 | 2,948,309,347 | (20,304,086) | 2,928,005,261 |
Fidelity MSCI Materials Index ETF | 497,530,551 | 55,825,143 | (9,717,261) | 46,107,882 |
Fidelity MSCI Real Estate Index ETF | 1,461,882,221 | 345,202,056 | (23,386,441) | 321,815,615 |
Fidelity MSCI Utilities Index ETF | 1,026,118,742 | 79,801,037 | (28,958,517) | 50,842,520 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 1,040,389 | $ — | $ (30,856,027) | $ 241,668,271 |
Fidelity MSCI Consumer Discretionary Index ETF | 403,134 | — | (4,819,028) | 431,239,874 |
Fidelity MSCI Consumer Staples Index ETF | 1,264,698 | — | (10,678,975) | 87,591,773 |
Fidelity MSCI Energy Index ETF | — | — | (108,871,033) | (77,906,347) |
Fidelity MSCI Financials Index ETF | 2,384,582 | — | (29,342,374) | 256,783,557 |
Fidelity MSCI Health Care Index ETF | 4,647,677 | — | (16,536,303) | 790,637,762 |
Fidelity MSCI Industrials Index ETF | 251,828 | — | (12,513,546) | 151,458,091 |
Fidelity MSCI Information Technology Index ETF | 4,125,810 | — | (32,507,132) | 2,928,005,260 |
Fidelity MSCI Materials Index ETF | 164,438 | — | (10,247,990) | 46,107,882 |
Fidelity MSCI Real Estate Index ETF | — | — | (30,623,399) | 321,815,615 |
Fidelity MSCI Utilities Index ETF | — | — | (23,582,131) | 50,842,519 |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity MSCI Communication Services Index ETF | $ (11,061,146) | $ (19,794,881) | $ (30,856,027) |
Fidelity MSCI Consumer Discretionary Index ETF | — | (4,819,028) | (4,819,028) |
Fidelity MSCI Consumer Staples Index ETF | — | (10,678,975) | (10,678,975) |
Fidelity MSCI Energy Index ETF | (8,042,346) | (100,828,687) | (108,871,033) |
Fidelity MSCI Financials Index ETF | (9,463,536) | (19,878,838) | (29,342,374) |
Fidelity MSCI Health Care Index ETF | — | (16,536,303) | (16,536,303) |
Fidelity MSCI Industrials Index ETF | (2,846,338) | (9,667,208) | (12,513,546) |
Fidelity MSCI Information Technology Index ETF | (32,507,132) | — | (32,507,132) |
Fidelity MSCI Materials Index ETF | (3,697,201) | (6,550,789) | (10,247,990) |
Fidelity MSCI Real Estate Index ETF | (15,726,584) | (14,896,815) | (30,623,399) |
Fidelity MSCI Utilities Index ETF | (10,426,370) | (13,155,761) | (23,582,131) |
July 31, 2021 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Communication Services Index ETF | $ 4,490,900 | $ — | $ — | $ 4,490,900 |
Fidelity MSCI Consumer Discretionary Index ETF | 7,322,150 | — | — | 7,322,150 |
Fidelity MSCI Consumer Staples Index ETF | 20,813,400 | — | — | 20,813,400 |
Fidelity MSCI Energy Index ETF | 29,586,300 | — | — | 29,586,300 |
Fidelity MSCI Financials Index ETF | 23,611,000 | — | — | 23,611,000 |
Fidelity MSCI Health Care Index ETF | 33,149,950 | — | — | 33,149,950 |
Fidelity MSCI Industrials Index ETF | 7,709,800 | — | — | 7,709,800 |
Fidelity MSCI Information Technology Index ETF | 39,319,850 | — | — | 39,319,850 |
Fidelity MSCI Materials Index ETF | 5,562,850 | — | — | 5,562,850 |
113 | Annual Report |
July 31, 2021 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Real Estate Index ETF | $ 43,349,650 | $ — | $ — | $ 43,349,650 |
Fidelity MSCI Utilities Index ETF | 31,181,450 | — | — | 31,181,450 |
July 31, 2020 | ||||
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 |
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 |
Annual Report | 114 |
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 | 86,133,699 | 86,258,963 |
Fidelity MSCI Consumer Discretionary Index ETF | 625,557,298 | 620,125,867 |
Fidelity MSCI Consumer Staples Index ETF | 159,558,987 | 160,017,440 |
Fidelity MSCI Energy Index ETF | 83,230,334 | 76,948,417 |
Fidelity MSCI Financials Index ETF | 67,287,009 | 49,117,446 |
Fidelity MSCI Health Care Index ETF | 167,758,685 | 166,740,433 |
Fidelity MSCI Industrials Index ETF | 35,757,220 | 33,320,756 |
Fidelity MSCI Information Technology Index ETF | 170,054,969 | 156,197,231 |
Fidelity MSCI Materials Index ETF | 13,182,367 | 12,795,928 |
Fidelity MSCI Real Estate Index ETF | 120,962,374 | 110,515,728 |
Fidelity MSCI Utilities Index ETF | 58,668,741 | 55,070,165 |
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity MSCI Communication Services Index ETF | 276,717,683 | 178,744,452 |
Fidelity MSCI Consumer Discretionary Index ETF | 637,626,171 | 296,584,072 |
Fidelity MSCI Consumer Staples Index ETF | 271,216,400 | 250,156,516 |
Fidelity MSCI Energy Index ETF | 324,143,151 | 116,041,102 |
Fidelity MSCI Financials Index ETF | 694,466,218 | 150,064,163 |
Fidelity MSCI Health Care Index ETF | 397,410,301 | 136,993,276 |
Fidelity MSCI Industrials Index ETF | 345,578,170 | 32,966,621 |
Fidelity MSCI Information Technology Index ETF | 580,999,334 | 375,669,171 |
Fidelity MSCI Materials Index ETF | 361,412,524 | 72,754,790 |
Fidelity MSCI Real Estate Index ETF | 415,935,388 | 81,497,583 |
Fidelity MSCI Utilities Index ETF | 414,913,901 | 268,951,958 |
115 | Annual Report |
Annual Report | 116 |
117 | Annual Report |
Annual Report | 118 |
119 | Annual Report |
Annual Report | 120 |
121 | Annual Report |
Annual Report | 122 |
123 | Annual Report |
Annual Report | 124 |
Annualized Expense RatioA | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During PeriodB February 1, 2021 to July 31, 2021 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,212.50 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,115.20 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,122.80 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,291.60 | $ 0.45 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,265.50 | $ 0.45 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,125.20 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,202.90 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 |
125 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During PeriodB February 1, 2021 to July 31, 2021 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,176.20 | $ 0.43 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,209.10 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,269.50 | $ 0.45 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,076.40 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 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 181/365 (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. |
Annual Report | 126 |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity MSCI Communication Services Index ETF | 99% | 99% | 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 | 86% | 86% | 90% | 90% |
Fidelity MSCI Financials Index ETF | 88% | 88% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 99% | 99% | 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 | 77% | 77% | 88% | 88% |
Fidelity MSCI Real Estate Index ETF | — | — | — | — |
Fidelity MSCI Utilities Index ETF | 95% | 95% | 97% | 97% |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity MSCI Communication Services Index ETF | 99% | 99% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 99% | 99% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 88% | 88% | 97% | 97% |
Fidelity MSCI Financials Index ETF | 94% | 94% | 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 | 96% | 96% | 100% | 100% |
Fidelity MSCI Real Estate Index ETF | — | — | — | — |
Fidelity MSCI Utilities Index ETF | 95% | 95% | 97% | 97% |
March 2020 | June 2020 | September 2020 | December 2020 | |
Fidelity MSCI Financials Index ETF | — | — | 6% | 6% |
Fidelity MSCI Real Estate Index ETF | 99% | 99% | 59% | 59% |
127 | Annual Report |
Annual Report | 128 |
129 | Annual Report |
Annual Report | 130 |
Annual Report | 132 |
Annual Report | 134 |
135 | Annual Report |
Annual Report | 136 |
Annual Report | 138 |
Annual Report | 140 |
141 | Annual Report |
Annual Report | 142 |
143 | Annual Report |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Dividend ETF for Rising Rates – NAVA | 37.57 | 14.61 |
Fidelity Dividend ETF for Rising Rates – Market PriceB | 37.64 | 14.74 |
Fidelity Dividend Index For Rising RatesA | 38.01 | 15.00 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 6.6 |
Microsoft Corp. | 6.2 |
UnitedHealth Group, Inc. | 2.3 |
Johnson & Johnson | 2.3 |
Visa, Inc. Class A | 2.1 |
Pfizer, Inc. | 1.9 |
Mastercard, Inc. Class A | 1.8 |
JPMorgan Chase & Co. | 1.8 |
The Home Depot, Inc. | 1.7 |
AbbVie, Inc. | 1.7 |
28.4 |
% of fund's net assets | ||
Information Technology | 28.0 | |
Health Care | 13.6 | |
Consumer Discretionary | 12.4 | |
Financials | 11.1 | |
Communication Services | 9.9 | |
Industrials | 8.5 | |
Consumer Staples | 5.7 | |
Real Estate | 3.2 | |
Materials | 2.5 | |
Energy | 2.4 | |
Utilities | 2.3 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity High Dividend ETF – NAVA | 42.42 | 12.84 |
Fidelity High Dividend ETF – Market PriceB | 42.62 | 13.04 |
Fidelity High Dividend IndexA | 42.89 | 13.19 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 4.8 |
Microsoft Corp. | 4.6 |
JPMorgan Chase & Co. | 2.3 |
Exxon Mobil Corp. | 2.3 |
The Procter & Gamble Co. | 2.2 |
Wells Fargo & Co. | 2.1 |
Chevron Corp. | 2.1 |
Bank of America Corp. | 2.1 |
The Blackstone Group, Inc. Class A | 2.1 |
The Coca-Cola Co. | 2.0 |
26.6 |
% of fund's net assets | ||
Information Technology | 20.8 | |
Financials | 18.7 | |
Consumer Staples | 12.3 | |
Real Estate | 10.9 | |
Energy | 9.7 | |
Materials | 9.2 | |
Health Care | 6.7 | |
Consumer Discretionary | 5.7 | |
Communication Services | 3.5 | |
Industrials | 1.9 |
Annual Report | 10 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Low Volatility Factor ETF – NAVA | 28.90 | 16.23 |
Fidelity Low Volatility Factor ETF – Market PriceB | 28.91 | 16.49 |
Fidelity U.S. Low Volatility Factor IndexA | 29.26 | 16.52 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
11 | Annual Report |
Annual Report | 12 |
% of fund's net assets | |
Apple, Inc. | 6.2 |
Microsoft Corp. | 5.8 |
Alphabet, Inc. Class A | 4.5 |
Amazon.com, Inc. | 3.8 |
Visa, Inc. Class A | 1.8 |
Johnson & Johnson | 1.6 |
Adobe, Inc. | 1.5 |
UnitedHealth Group, Inc. | 1.5 |
The Home Depot, Inc. | 1.3 |
Accenture PLC Class A | 1.3 |
29.3 |
% of fund's net assets | ||
Information Technology | 28.1 | |
Health Care | 14.0 | |
Consumer Discretionary | 12.8 | |
Communication Services | 10.5 | |
Financials | 10.1 | |
Industrials | 8.9 | |
Consumer Staples | 5.3 | |
Real Estate | 3.1 | |
Materials | 2.5 | |
Utilities | 2.3 | |
Energy | 2.2 |
13 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Momentum Factor ETF – NAVA | 27.58 | 16.07 |
Fidelity Momentum Factor ETF – Market PriceB | 27.33 | 16.24 |
Fidelity U.S. Momentum Factor IndexA | 27.99 | 16.43 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
Annual Report | 14 |
15 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 6.2 |
Microsoft Corp. | 5.9 |
Alphabet, Inc. Class A | 4.2 |
Amazon.com, Inc. | 3.8 |
Facebook, Inc. Class A | 2.4 |
Moderna, Inc. | 1.8 |
Johnson & Johnson | 1.8 |
Tesla, Inc. | 1.7 |
Berkshire Hathaway, Inc. Class B | 1.7 |
UnitedHealth Group, Inc. | 1.6 |
31.1 |
% of fund's net assets | ||
Information Technology | 27.3 | |
Health Care | 14.2 | |
Consumer Discretionary | 11.6 | |
Communication Services | 11.1 | |
Financials | 11.0 | |
Industrials | 9.1 | |
Consumer Staples | 5.0 | |
Real Estate | 3.0 | |
Materials | 2.6 | |
Energy | 2.4 | |
Utilities | 2.3 |
Annual Report | 16 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Quality Factor ETF – NAVA | 36.00 | 17.32 |
Fidelity Quality Factor ETF – Market PriceB | 35.85 | 17.41 |
Fidelity U.S. Quality Factor IndexA | 36.41 | 17.67 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
17 | Annual Report |
Annual Report | 18 |
% of fund's net assets | |
Apple, Inc. | 5.9 |
Microsoft Corp. | 5.6 |
Alphabet, Inc. Class A | 4.2 |
Facebook, Inc. Class A | 2.5 |
NVIDIA Corp. | 1.8 |
The Home Depot, Inc. | 1.7 |
Visa, Inc. Class A | 1.6 |
Johnson & Johnson | 1.5 |
UnitedHealth Group, Inc. | 1.4 |
Mastercard, Inc. Class A | 1.4 |
27.6 |
% of fund's net assets | ||
Information Technology | 28.1 | |
Consumer Discretionary | 13.0 | |
Health Care | 12.8 | |
Financials | 11.1 | |
Communication Services | 10.8 | |
Industrials | 8.6 | |
Consumer Staples | 5.2 | |
Real Estate | 3.1 | |
Materials | 2.6 | |
Energy | 2.3 | |
Utilities | 2.2 |
19 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Small-Mid Multifactor ETF – NAVA | 44.21 | 15.46 |
Fidelity Small-Mid Multifactor ETF – Market PriceB | 44.05 | 15.38 |
Fidelity Small-Mid Multifactor IndexA | 44.74 | 15.81 |
Dow Jones U.S. Completion Total Stock Market IndexA | 50.99 | 22.81 |
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. |
Annual Report | 20 |
21 | Annual Report |
% of fund's net assets | |
Bath & Body Works, Inc. | 0.5 |
Textron, Inc. | 0.4 |
Camden Property Trust | 0.4 |
Advance Auto Parts, Inc. | 0.4 |
Steel Dynamics, Inc. | 0.3 |
LKQ Corp. | 0.3 |
DENTSPLY SIRONA, Inc. | 0.3 |
Equity Lifestyle Properties, Inc. | 0.3 |
FactSet Research Systems, Inc. | 0.3 |
Fidelity National Financial, Inc. | 0.3 |
3.5 |
% of fund's net assets | ||
Industrials | 17.6 | |
Financials | 15.9 | |
Consumer Discretionary | 14.2 | |
Information Technology | 13.9 | |
Health Care | 12.8 | |
Real Estate | 8.8 | |
Materials | 4.9 | |
Communication Services | 3.2 | |
Consumer Staples | 3.2 | |
Utilities | 3.1 | |
Energy | 2.3 |
Annual Report | 22 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Stocks for Inflation ETF – NAVA | 31.78 | 15.95 |
Fidelity Stocks for Inflation ETF – Market PriceB | 32.29 | 15.83 |
Fidelity Stocks For Inflation Factor IndexA | 32.22 | 16.39 |
Russell 1000 IndexA | 37.97 | 26.14 |
B | From November 7, 2019, date initially listed on the Cboe BZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
23 | Annual Report |
Annual Report | 24 |
% of fund's net assets | |
Apple, Inc. | 4.8 |
Microsoft Corp. | 4.5 |
The Williams Cos., Inc. | 3.7 |
EQT Corp. | 3.4 |
The Chemours Co. | 2.7 |
Eagle Materials, Inc. | 2.6 |
Newmont Corp. | 2.4 |
Extra Space Storage, Inc. | 2.3 |
The Procter & Gamble Co. | 2.3 |
Alphabet, Inc. Class A | 2.2 |
30.9 |
% of fund's net assets | ||
Information Technology | 23.1 | |
Health Care | 17.7 | |
Consumer Staples | 10.1 | |
Consumer Discretionary | 8.0 | |
Materials | 7.8 | |
Energy | 7.0 | |
Real Estate | 6.4 | |
Financials | 6.0 | |
Communication Services | 5.7 | |
Utilities | 4.1 | |
Industrials | 4.0 |
25 | Annual Report |
Annual Report | 26 |
27 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 5.7 |
Microsoft Corp. | 5.3 |
Alphabet, Inc. Class A | 4.1 |
Facebook, Inc. Class A | 2.4 |
Johnson & Johnson | 1.7 |
The Home Depot, Inc. | 1.6 |
The Procter & Gamble Co. | 1.4 |
Exxon Mobil Corp. | 1.4 |
Visa, Inc. Class A | 1.4 |
S&P Global, Inc. | 1.3 |
26.3 |
% of fund's net assets | ||
Information Technology | 26.7 | |
Health Care | 13.6 | |
Consumer Discretionary | 13.6 | |
Financials | 10.7 | |
Communication Services | 10.7 | |
Industrials | 9.3 | |
Consumer Staples | 5.2 | |
Real Estate | 3.2 | |
Materials | 2.4 | |
Energy | 2.3 | |
Utilities | 2.1 |
Annual Report | 28 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Value Factor ETF – NAVA | 42.56 | 16.46 |
Fidelity Value Factor ETF – Market PriceB | 42.76 | 16.64 |
Fidelity U.S. Value Factor IndexA | 43.02 | 16.82 |
Russell 1000 IndexA | 37.97 | 18.13 |
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. |
29 | Annual Report |
Annual Report | 30 |
% of fund's net assets | |
Apple, Inc. | 6.1 |
Microsoft Corp. | 5.7 |
Alphabet, Inc. Class A | 4.2 |
Amazon.com, Inc. | 3.8 |
Facebook, Inc. Class A | 2.5 |
Berkshire Hathaway, Inc. Class B | 1.8 |
Visa, Inc. Class A | 1.7 |
Johnson & Johnson | 1.6 |
UnitedHealth Group, Inc. | 1.5 |
The Home Depot, Inc. | 1.4 |
30.3 |
% of fund's net assets | ||
Information Technology | 27.9 | |
Health Care | 13.1 | |
Consumer Discretionary | 12.3 | |
Financials | 11.2 | |
Communication Services | 10.9 | |
Industrials | 8.6 | |
Consumer Staples | 5.3 | |
Real Estate | 3.1 | |
Materials | 2.9 | |
Energy | 2.4 | |
Utilities | 2.1 |
31 | Annual Report |
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.9% | ||
Diversified Telecommunication Services – 2.7% | ||
AT&T, Inc. | 173,787 | $ 4,874,725 |
Lumen Technologies, Inc. | 230,534 | 2,874,759 |
Verizon Communications, Inc. | 95,493 | 5,326,600 |
13,076,084 | ||
Entertainment – 0.6% | ||
Activision Blizzard, Inc. | 36,902 | 3,085,745 |
Media – 6.6% | ||
Cable One, Inc. | 1,312 | 2,477,043 |
Comcast Corp. Class A | 104,359 | 6,139,440 |
Fox Corp. Class A | 90,818 | 3,238,570 |
News Corp. Class A | 134,914 | 3,322,932 |
Nexstar Media Group, Inc. Class A | 21,429 | 3,151,563 |
Omnicom Group, Inc. | 42,687 | 3,108,467 |
Sirius XM Holdings, Inc. (a) | 431,076 | 2,789,062 |
The Interpublic Group of Cos., Inc. | 105,766 | 3,739,886 |
The New York Times Co. Class A | 52,107 | 2,281,244 |
ViacomCBS, Inc. Class B | 56,281 | 2,303,581 |
32,551,788 | ||
TOTAL COMMUNICATION SERVICES | 48,713,617 | |
CONSUMER DISCRETIONARY – 12.4% | ||
Distributors – 1.0% | ||
Genuine Parts Co. | 37,970 | 4,819,153 |
Hotels, Restaurants & Leisure – 2.5% | ||
McDonald's Corp. | 26,014 | 6,313,858 |
Starbucks Corp. | 49,117 | 5,964,277 |
12,278,135 | ||
Household Durables – 1.6% | ||
Leggett & Platt, Inc. | 85,625 | 4,112,569 |
Newell Brands, Inc. | 142,949 | 3,537,988 |
7,650,557 | ||
Multiline Retail – 1.3% | ||
Target Corp. | 25,147 | 6,564,624 |
Specialty Retail – 2.9% | ||
Lowe's Cos., Inc. | 29,636 | 5,710,561 |
The Home Depot, Inc. | 25,691 | 8,431,529 |
14,142,090 | ||
Textiles, Apparel & Luxury Goods – 3.1% | ||
Hanesbrands, Inc. | 239,096 | 4,365,893 |
NIKE, Inc. Class B | 40,738 | 6,824,022 |
VF Corp. | 49,200 | 3,945,840 |
15,135,755 | ||
TOTAL CONSUMER DISCRETIONARY | 60,590,314 | |
CONSUMER STAPLES – 5.7% | ||
Beverages – 2.0% | ||
PepsiCo, Inc. | 30,826 | 4,838,141 |
| ||
Shares | Value | |
The Coca-Cola Co. | 86,710 | $ 4,945,071 |
9,783,212 | ||
Household Products – 1.3% | ||
The Procter & Gamble Co. | 44,807 | 6,372,900 |
Tobacco – 2.4% | ||
Altria Group, Inc. | 69,655 | 3,346,226 |
British American Tobacco PLC | 53,914 | 2,009,286 |
Japan Tobacco, Inc. | 98,300 | 1,916,738 |
Philip Morris International, Inc. | 43,366 | 4,340,503 |
11,612,753 | ||
TOTAL CONSUMER STAPLES | 27,768,865 | |
ENERGY – 2.4% | ||
Oil, Gas & Consumable Fuels – 2.4% | ||
Chevron Corp. | 33,164 | 3,376,427 |
Exxon Mobil Corp. | 69,610 | 4,007,448 |
ONEOK, Inc. | 27,148 | 1,410,882 |
The Williams Cos., Inc. | 56,746 | 1,421,487 |
Valero Energy Corp. | 20,287 | 1,358,620 |
TOTAL ENERGY | 11,574,864 | |
FINANCIALS – 11.1% | ||
Banks – 8.1% | ||
Bank of America Corp. | 180,357 | 6,918,495 |
Citigroup, Inc. | 71,152 | 4,811,298 |
JPMorgan Chase & Co. | 57,084 | 8,664,210 |
The PNC Financial Services Group, Inc. | 23,811 | 4,343,364 |
Truist Financial Corp. | 71,451 | 3,889,078 |
US Bancorp | 79,898 | 4,437,535 |
Wells Fargo & Co. | 139,092 | 6,389,886 |
39,453,866 | ||
Insurance – 1.6% | ||
MetLife, Inc. | 66,714 | 3,849,398 |
Prudential Financial, Inc. | 40,267 | 4,037,975 |
7,887,373 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.4% | ||
AGNC Investment Corp. | 185,749 | 2,947,836 |
Starwood Property Trust, Inc. | 148,928 | 3,876,596 |
6,824,432 | ||
TOTAL FINANCIALS | 54,165,671 | |
HEALTH CARE – 13.6% | ||
Biotechnology – 3.1% | ||
AbbVie, Inc. | 71,894 | 8,361,272 |
Gilead Sciences, Inc. | 99,239 | 6,777,031 |
15,138,303 | ||
Health Care Providers & Services – 2.3% | ||
UnitedHealth Group, Inc. | 27,337 | 11,268,858 |
Annual Report | 32 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – 8.2% | ||
Bayer AG | 88,289 | $ 5,265,013 |
GlaxoSmithKline PLC | 312,598 | 6,162,054 |
Johnson & Johnson | 64,960 | 11,186,112 |
Merck & Co., Inc. | 100,287 | 7,709,062 |
Organon & Co. | 10,075 | 292,276 |
Pfizer, Inc. | 221,846 | 9,497,227 |
40,111,744 | ||
TOTAL HEALTH CARE | 66,518,905 | |
INDUSTRIALS – 8.5% | ||
Aerospace & Defense – 2.0% | ||
General Dynamics Corp. | 11,094 | 2,174,757 |
Lockheed Martin Corp. | 6,750 | 2,508,772 |
Northrop Grumman Corp. | 6,077 | 2,206,073 |
Raytheon Technologies Corp. | 35,720 | 3,105,854 |
9,995,456 | ||
Air Freight & Logistics – 0.6% | ||
United Parcel Service, Inc. Class B | 16,442 | 3,146,341 |
Construction & Engineering – 0.2% | ||
ACS Actividades de Construccion y Servicios S.A. | 39,901 | 1,048,491 |
Electrical Equipment – 1.0% | ||
Eaton Corp. PLC | 15,411 | 2,435,708 |
Emerson Electric Co. | 22,357 | 2,255,598 |
4,691,306 | ||
Industrial Conglomerates – 2.4% | ||
3M Co. | 14,096 | 2,790,162 |
CK Hutchison Holdings Ltd. | 182,000 | 1,330,245 |
General Electric Co. | 217,646 | 2,818,516 |
Honeywell International, Inc. | 14,706 | 3,438,116 |
Jardine Matheson Holdings Ltd. | 21,328 | 1,267,736 |
11,644,775 | ||
Machinery – 1.7% | ||
Caterpillar, Inc. | 13,091 | 2,706,564 |
Cummins, Inc. | 7,178 | 1,666,014 |
Illinois Tool Works, Inc. | 9,878 | 2,239,046 |
PACCAR, Inc. | 17,305 | 1,436,142 |
8,047,766 | ||
Road & Rail – 0.6% | ||
Union Pacific Corp. | 14,201 | 3,106,611 |
TOTAL INDUSTRIALS | 41,680,746 | |
INFORMATION TECHNOLOGY – 28.0% | ||
Communications Equipment – 1.6% | ||
Cisco Systems, Inc. | 143,419 | 7,941,110 |
IT Services – 6.2% | ||
International Business Machines Corp. | 46,516 | 6,556,896 |
Mastercard, Inc. Class A | 23,254 | 8,974,649 |
| ||
Shares | Value | |
The Western Union Co. | 193,472 | $4,490,485 |
Visa, Inc. Class A | 41,275 | 10,169,747 |
30,191,777 | ||
Semiconductors & Semiconductor Equipment – 5.4% | ||
Broadcom, Inc. | 13,981 | 6,786,378 |
Intel Corp. | 122,626 | 6,587,469 |
QUALCOMM, Inc. | 39,933 | 5,981,963 |
Texas Instruments, Inc. | 36,239 | 6,907,878 |
26,263,688 | ||
Software – 7.2% | ||
Microsoft Corp. | 106,682 | 30,394,768 |
NortonLifelock, Inc. | 205,401 | 5,098,053 |
35,492,821 | ||
Technology Hardware, Storage & Peripherals – 7.6% | ||
Apple, Inc. | 220,227 | 32,122,310 |
HP, Inc. | 186,185 | 5,375,161 |
37,497,471 | ||
TOTAL INFORMATION TECHNOLOGY | 137,386,867 | |
MATERIALS – 2.5% | ||
Chemicals – 1.8% | ||
Air Products & Chemicals, Inc. | 6,101 | 1,775,574 |
Clariant AG (b) | 45,746 | 950,960 |
Dow, Inc. | 26,358 | 1,638,413 |
Linde PLC | 10,016 | 3,078,818 |
LyondellBasell Industries N.V. Class A | 13,930 | 1,383,667 |
8,827,432 | ||
Containers & Packaging – 0.5% | ||
Amcor PLC | 106,919 | 1,235,984 |
International Paper Co. | 23,857 | 1,377,980 |
2,613,964 | ||
Metals & Mining – 0.2% | ||
Fortescue Metals Group Ltd. | 56,471 | 1,033,989 |
TOTAL MATERIALS | 12,475,385 | |
REAL ESTATE – 3.2% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
American Tower Corp. | 8,042 | 2,274,278 |
Crown Castle International Corp. | 9,078 | 1,752,871 |
Iron Mountain, Inc. | 23,767 | 1,040,044 |
Omega Healthcare Investors, Inc. | 20,489 | 743,341 |
Prologis, Inc. | 14,845 | 1,900,754 |
Public Storage | 4,692 | 1,466,156 |
Simon Property Group, Inc. | 10,915 | 1,380,966 |
Ventas, Inc. | 18,252 | 1,091,104 |
VEREIT, Inc. | 20,498 | 1,003,787 |
Vornado Realty Trust | 19,440 | 845,640 |
Welltower, Inc. | 15,531 | 1,349,023 |
33 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
WP Carey, Inc. | 11,757 | $ 948,672 |
TOTAL REAL ESTATE | 15,796,636 | |
UTILITIES – 2.3% | ||
Electric Utilities – 2.0% | ||
Duke Energy Corp. | 19,622 | 2,062,468 |
Exelon Corp. | 35,627 | 1,667,344 |
NextEra Energy, Inc. | 35,375 | 2,755,713 |
PPL Corp. | 45,985 | 1,304,594 |
The Southern Co. | 29,629 | 1,892,404 |
9,682,523 | ||
Multi-Utilities – 0.3% | ||
Dominion Energy, Inc. | 23,994 | 1,796,431 |
TOTAL UTILITIES | 11,478,954 | |
TOTAL COMMON STOCKS (Cost $398,676,513) | 488,150,824 | |
Money Market Funds – 0.7% | ||
Fidelity Cash Central Fund, 0.06% (c) | 654,349 | 654,480 |
Fidelity Securities Lending Cash Central Fund, 0.06% (c)(d) | 2,620,088 | 2,620,350 |
TOTAL MONEY MARKET FUNDS (Cost $3,274,830) | 3,274,830 | |
TOTAL INVESTMENT IN SECURITIES – 100.3% (Cost $401,951,343) | 491,425,654 | |
NET OTHER ASSETS (LIABILITIES) – (0.3%) | (1,336,953) | |
NET ASSETS – 100.0% | $ 490,088,701 |
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 (United States) | 8 | September 2021 | $1,755,800 | $40,619 | $40,619 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 661 |
Fidelity Securities Lending Cash Central Fund | 3,333 |
Total | $3,994 |
Annual Report | 34 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $ 624,973 | $19,645,579 | $19,615,998 | $(19) | $(55) | $ 654,480 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 4,367,089 | 28,971,507 | 30,718,246 | (17) | 17 | 2,620,350 | 0.0% | |||||
Total | $4,992,062 | $48,617,086 | $50,334,244 | $(36) | $(38) | $3,274,830 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 48,713,617 | $ 48,713,617 | $ — | $ — | ||||
Consumer Discretionary | 60,590,314 | 60,590,314 | — | — | ||||
Consumer Staples | 27,768,865 | 27,768,865 | — | — | ||||
Energy | 11,574,864 | 11,574,864 | — | — | ||||
Financials | 54,165,671 | 54,165,671 | — | — | ||||
Health Care | 66,518,905 | 66,518,905 | — | — | ||||
Industrials | 41,680,746 | 41,680,746 | — | — | ||||
Information Technology | 137,386,867 | 137,386,867 | — | — | ||||
Materials | 12,475,385 | 12,475,385 | — | — | ||||
Real Estate | 15,796,636 | 15,796,636 | — | — | ||||
Utilities | 11,478,954 | 11,478,954 | — | — | ||||
Money Market Funds | 3,274,830 | 3,274,830 | — | — | ||||
Total Investments in Securities: | $ 491,425,654 | $ 491,425,654 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 40,619 | $ 40,619 | $ — | $ — | ||||
Total Assets | $ 40,619 | $ 40,619 | — | $ — | ||||
Total Derivative Instruments: | $ 40,619 | $ 40,619 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $40,619 | $0 | |
Total Equity Risk | 40,619 | 0 | |
Total Value of Derivatives | $40,619 | $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). |
35 | Annual Report |
Common Stocks – 99.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.5% | ||
Diversified Telecommunication Services – 1.0% | ||
AT&T, Inc. | 131,995 | $ 3,702,460 |
Lumen Technologies, Inc. | 174,296 | 2,173,471 |
Verizon Communications, Inc. | 72,550 | 4,046,839 |
9,922,770 | ||
Entertainment – 0.2% | ||
Activision Blizzard, Inc. | 27,866 | 2,330,155 |
Media – 2.3% | ||
Cable One, Inc. | 977 | 1,844,566 |
Comcast Corp. Class A | 78,771 | 4,634,098 |
Fox Corp. Class A | 68,666 | 2,448,630 |
News Corp. Class A | 102,656 | 2,528,417 |
Nexstar Media Group, Inc. Class A | 16,179 | 2,379,446 |
Omnicom Group, Inc. | 32,254 | 2,348,736 |
Sirius XM Holdings, Inc. (a) | 325,871 | 2,108,385 |
The Interpublic Group of Cos., Inc. | 79,912 | 2,825,688 |
The New York Times Co. Class A | 39,378 | 1,723,969 |
ViacomCBS, Inc. Class B | 42,485 | 1,738,911 |
24,580,846 | ||
TOTAL COMMUNICATION SERVICES | 36,833,771 | |
CONSUMER DISCRETIONARY – 5.7% | ||
Distributors – 0.5% | ||
Genuine Parts Co. | 37,469 | 4,755,565 |
Hotels, Restaurants & Leisure – 1.2% | ||
McDonald's Corp. | 25,548 | 6,200,755 |
Starbucks Corp. | 48,506 | 5,890,084 |
12,090,839 | ||
Household Durables – 0.7% | ||
Berkeley Group Holdings PLC | 59,062 | 3,978,563 |
Newell Brands, Inc. | 140,518 | 3,477,821 |
7,456,384 | ||
Multiline Retail – 0.6% | ||
Target Corp. | 24,799 | 6,473,779 |
Specialty Retail – 1.3% | ||
Lowe's Cos., Inc. | 29,210 | 5,628,475 |
The Home Depot, Inc. | 25,207 | 8,272,685 |
13,901,160 | ||
Textiles, Apparel & Luxury Goods – 1.4% | ||
Hanesbrands, Inc. | 235,030 | 4,291,648 |
NIKE, Inc. Class B | 39,996 | 6,699,730 |
VF Corp. | 48,329 | 3,875,986 |
14,867,364 | ||
TOTAL CONSUMER DISCRETIONARY | 59,545,091 | |
CONSUMER STAPLES – 12.3% | ||
Beverages – 4.0% | ||
PepsiCo, Inc. | 131,043 | 20,567,199 |
| ||
Shares | Value | |
The Coca-Cola Co. | 369,277 | $ 21,059,867 |
41,627,066 | ||
Household Products – 2.2% | ||
The Procter & Gamble Co. | 164,521 | 23,399,822 |
Tobacco – 6.1% | ||
Altria Group, Inc. | 365,127 | 17,540,701 |
British American Tobacco PLC | 365,160 | 13,608,911 |
Japan Tobacco, Inc. | 665,500 | 12,976,492 |
Philip Morris International, Inc. | 205,431 | 20,561,589 |
64,687,693 | ||
TOTAL CONSUMER STAPLES | 129,714,581 | |
ENERGY – 9.7% | ||
Oil, Gas & Consumable Fuels – 9.7% | ||
Chevron Corp. | 215,313 | 21,921,017 |
Exxon Mobil Corp. | 418,763 | 24,108,186 |
Kinder Morgan, Inc. | 1,097,975 | 19,082,805 |
ONEOK, Inc. | 362,327 | 18,830,134 |
The Williams Cos., Inc. | 710,772 | 17,804,839 |
TOTAL ENERGY | 101,746,981 | |
FINANCIALS – 18.7% | ||
Banks – 9.7% | ||
Bank of America Corp. | 566,872 | 21,745,210 |
Citigroup, Inc. | 247,651 | 16,746,161 |
JPMorgan Chase & Co. | 163,429 | 24,805,254 |
US Bancorp | 302,362 | 16,793,185 |
Wells Fargo & Co. | 481,051 | 22,099,483 |
102,189,293 | ||
Capital Markets – 2.1% | ||
The Blackstone Group, Inc. Class A | 188,473 | 21,725,283 |
Insurance – 2.9% | ||
MetLife, Inc. | 262,370 | 15,138,749 |
Prudential Financial, Inc. | 158,323 | 15,876,630 |
31,015,379 | ||
Mortgage Real Estate Investment Trusts (REITs) – 2.7% | ||
AGNC Investment Corp. | 759,165 | 12,047,948 |
Starwood Property Trust, Inc. | 620,258 | 16,145,316 |
28,193,264 | ||
Thrifts & Mortgage Finance – 1.3% | ||
New York Community Bancorp, Inc. | 1,154,042 | 13,594,615 |
TOTAL FINANCIALS | 196,717,834 | |
HEALTH CARE – 6.7% | ||
Biotechnology – 2.3% | ||
AbbVie, Inc. | 76,892 | 8,942,540 |
Amgen, Inc. | 32,315 | 7,805,365 |
Gilead Sciences, Inc. | 107,636 | 7,350,462 |
24,098,367 |
Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – 4.4% | ||
Bristol-Myers Squibb Co. | 124,075 | $ 8,420,970 |
GlaxoSmithKline PLC | 337,045 | 6,643,963 |
Johnson & Johnson | 69,764 | 12,013,361 |
Merck & Co., Inc. | 108,601 | 8,348,159 |
Organon & Co. | 10,815 | 313,743 |
Pfizer, Inc. | 238,154 | 10,195,373 |
45,935,569 | ||
TOTAL HEALTH CARE | 70,033,936 | |
INDUSTRIALS – 1.9% | ||
Aerospace & Defense – 0.5% | ||
General Dynamics Corp. | 5,293 | 1,037,587 |
Lockheed Martin Corp. | 3,212 | 1,193,804 |
Northrop Grumman Corp. | 2,908 | 1,055,662 |
Raytheon Technologies Corp. | 17,471 | 1,519,103 |
4,806,156 | ||
Air Freight & Logistics – 0.1% | ||
United Parcel Service, Inc. Class B | 7,949 | 1,521,121 |
Commercial Services & Supplies – 0.1% | ||
Waste Management, Inc. | 7,630 | 1,131,224 |
Construction & Engineering – 0.1% | ||
ACS Actividades de Construccion y Servicios S.A. | 19,372 | 509,044 |
Electrical Equipment – 0.2% | ||
Eaton Corp. PLC | 7,392 | 1,168,306 |
Emerson Electric Co. | 10,736 | 1,083,155 |
2,251,461 | ||
Industrial Conglomerates – 0.5% | ||
3M Co. | 6,818 | 1,349,555 |
CK Hutchison Holdings Ltd. | 87,000 | 635,887 |
General Electric Co. | 105,537 | 1,366,704 |
Honeywell International, Inc. | 7,076 | 1,654,298 |
Jardine Matheson Holdings Ltd. | 10,053 | 597,550 |
5,603,994 | ||
Machinery – 0.3% | ||
Caterpillar, Inc. | 6,320 | 1,306,660 |
Illinois Tool Works, Inc. | 4,753 | 1,077,362 |
PACCAR, Inc. | 8,397 | 696,867 |
3,080,889 | ||
Road & Rail – 0.1% | ||
Union Pacific Corp. | 6,868 | 1,502,444 |
TOTAL INDUSTRIALS | 20,406,333 | |
INFORMATION TECHNOLOGY – 20.8% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 226,836 | 12,559,909 |
| ||
Shares | Value | |
IT Services – 3.9% | ||
International Business Machines Corp. | 73,326 | $ 10,336,033 |
Mastercard, Inc. Class A | 36,740 | 14,179,435 |
Visa, Inc. Class A | 65,217 | 16,068,817 |
40,584,285 | ||
Semiconductors & Semiconductor Equipment – 3.9% | ||
Broadcom, Inc. | 22,090 | 10,722,486 |
Intel Corp. | 193,688 | 10,404,920 |
QUALCOMM, Inc. | 63,165 | 9,462,117 |
Texas Instruments, Inc. | 57,289 | 10,920,429 |
41,509,952 | ||
Software – 5.3% | ||
Microsoft Corp. | 168,641 | 48,047,507 |
NortonLifelock, Inc. | 326,177 | 8,095,713 |
56,143,220 | ||
Technology Hardware, Storage & Peripherals – 6.5% | ||
Apple, Inc. | 348,313 | 50,804,934 |
HP, Inc. | 294,206 | 8,493,727 |
Seagate Technology Holdings PLC | 104,443 | 9,180,540 |
68,479,201 | ||
TOTAL INFORMATION TECHNOLOGY | 219,276,567 | |
MATERIALS – 9.2% | ||
Chemicals – 6.0% | ||
Air Products & Chemicals, Inc. | 42,094 | 12,250,617 |
Clariant AG (b) | 477,494 | 9,926,059 |
Dow, Inc. | 201,427 | 12,520,702 |
Linde PLC | 53,496 | 16,444,135 |
LyondellBasell Industries N.V. Class A | 120,243 | 11,943,737 |
63,085,250 | ||
Containers & Packaging – 2.2% | ||
Amcor PLC | 961,135 | 11,110,721 |
International Paper Co. | 210,502 | 12,158,595 |
23,269,316 | ||
Metals & Mining – 1.0% | ||
Fortescue Metals Group Ltd. | 589,352 | 10,791,089 |
TOTAL MATERIALS | 97,145,655 | |
REAL ESTATE – 10.9% | ||
Equity Real Estate Investment Trusts (REITs) – 10.9% | ||
American Tower Corp. | 40,082 | 11,335,190 |
Crown Castle International Corp. | 52,152 | 10,070,030 |
Iron Mountain, Inc. | 216,451 | 9,471,896 |
Omega Healthcare Investors, Inc. | 190,025 | 6,894,107 |
Prologis, Inc. | 82,055 | 10,506,322 |
Public Storage | 33,061 | 10,330,901 |
Simon Property Group, Inc. | 80,753 | 10,216,870 |
Ventas, Inc. | 152,653 | 9,125,596 |
VEREIT, Inc. | 190,955 | 9,351,066 |
Vornado Realty Trust | 186,024 | 8,092,044 |
37 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Welltower, Inc. | 119,575 | $ 10,386,284 |
WP Carey, Inc. | 104,704 | 8,448,566 |
TOTAL REAL ESTATE | 114,228,872 | |
TOTAL COMMON STOCKS (Cost $889,765,536) | 1,045,649,621 | |
Money Market Funds – 0.5% | ||
Fidelity Cash Central Fund, 0.06% (c) | 3,233,679 | 3,234,325 |
Fidelity Securities Lending Cash Central Fund, 0.06% (c)(d) | 1,661,684 | 1,661,850 |
TOTAL MONEY MARKET FUNDS (Cost $4,896,175) | 4,896,175 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $894,661,711) | 1,050,545,796 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,575,792 | |
NET ASSETS – 100.0% | $ 1,052,121,588 |
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 (United States) | 24 | September 2021 | $5,267,400 | $116,530 | $116,530 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 1,159 |
Fidelity Securities Lending Cash Central Fund | 15,658 |
Total | $16,817 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $ 399,176 | $ 50,929,826 | $ 48,094,617 | $ (34) | $(26) | $3,234,325 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 5,935,129 | 67,372,602 | 71,645,881 | (95) | 95 | 1,661,850 | 0.0% | |||||
Total | $6,334,305 | $118,302,428 | $119,740,498 | $(129) | $ 69 | $4,896,175 |
Annual Report | 38 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 36,833,771 | $ 36,833,771 | $ — | $ — | ||||
Consumer Discretionary | 59,545,091 | 59,545,091 | — | — | ||||
Consumer Staples | 129,714,581 | 129,714,581 | — | — | ||||
Energy | 101,746,981 | 101,746,981 | — | — | ||||
Financials | 196,717,834 | 196,717,834 | — | — | ||||
Health Care | 70,033,936 | 70,033,936 | — | — | ||||
Industrials | 20,406,333 | 20,406,333 | — | — | ||||
Information Technology | 219,276,567 | 219,276,567 | — | — | ||||
Materials | 97,145,655 | 97,145,655 | — | — | ||||
Real Estate | 114,228,872 | 114,228,872 | — | — | ||||
Money Market Funds | 4,896,175 | 4,896,175 | — | — | ||||
Total Investments in Securities: | $ 1,050,545,796 | $ 1,050,545,796 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 116,530 | $ 116,530 | $ — | $ — | ||||
Total Assets | $ 116,530 | $ 116,530 | — | $ — | ||||
Total Derivative Instruments: | $ 116,530 | $ 116,530 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $116,530 | $0 | |
Total Equity Risk | 116,530 | 0 | |
Total Value of Derivatives | $116,530 | $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 | 89.4 |
Ireland | 2.6 |
United Kingdom | 2.3 |
Japan | 1.2 |
Netherlands | 1.1 |
Jersey | 1.1 |
Australia | 1.0 |
Others (Individually Less Than 1%) | 1.2 |
99.9% |
39 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.5% | ||
Diversified Telecommunication Services – 2.1% | ||
AT&T, Inc. | 183,379 | $5,143,781 |
Verizon Communications, Inc. | 100,597 | 5,611,301 |
10,755,082 | ||
Entertainment – 0.6% | ||
Activision Blizzard, Inc. | 39,304 | 3,286,601 |
Interactive Media & Services – 4.5% | ||
Alphabet, Inc. Class A (a) | 8,480 | 22,849,614 |
Media – 2.5% | ||
Cable One, Inc. | 1,418 | 2,677,170 |
Comcast Corp. Class A | 110,092 | 6,476,712 |
Omnicom Group, Inc. | 45,962 | 3,346,953 |
12,500,835 | ||
Wireless Telecommunication Services – 0.8% | ||
T-Mobile US, Inc. (a) | 28,533 | 4,109,323 |
TOTAL COMMUNICATION SERVICES | 53,501,455 | |
CONSUMER DISCRETIONARY – 12.8% | ||
Distributors – 0.6% | ||
Pool Corp. | 6,881 | 3,287,879 |
Diversified Consumer Services – 0.6% | ||
Service Corp. International | 46,581 | 2,910,847 |
Hotels, Restaurants & Leisure – 2.5% | ||
Domino's Pizza, Inc. | 6,558 | 3,446,164 |
McDonald's Corp. | 19,847 | 4,817,065 |
Starbucks Corp. | 36,607 | 4,445,188 |
12,708,417 | ||
Internet & Direct Marketing Retail – 3.8% | ||
Amazon.com, Inc. (a) | 5,814 | 19,346,608 |
Multiline Retail – 1.6% | ||
Dollar General Corp. | 14,549 | 3,384,679 |
Target Corp. | 18,296 | 4,776,171 |
8,160,850 | ||
Specialty Retail – 2.7% | ||
AutoZone, Inc. (a) | 2,179 | 3,537,759 |
The Home Depot, Inc. | 21,239 | 6,970,428 |
The TJX Cos., Inc. | 48,484 | 3,336,184 |
13,844,371 | ||
Textiles, Apparel & Luxury Goods – 1.0% | ||
NIKE, Inc. Class B | 31,480 | 5,273,215 |
TOTAL CONSUMER DISCRETIONARY | 65,532,187 | |
CONSUMER STAPLES – 5.3% | ||
Beverages – 0.8% | ||
PepsiCo, Inc. | 26,786 | 4,204,063 |
Food & Staples Retailing – 1.5% | ||
Costco Wholesale Corp. | 9,256 | 3,977,488 |
| ||
Shares | Value | |
Walmart, Inc. | 26,609 | $ 3,793,113 |
7,770,601 | ||
Food Products – 0.7% | ||
Hormel Foods Corp. (b) | 32,663 | 1,514,910 |
The Hershey Co. | 11,341 | 2,028,678 |
3,543,588 | ||
Household Products – 2.3% | ||
Colgate-Palmolive Co. | 28,088 | 2,232,996 |
Kimberly-Clark Corp. | 14,681 | 1,992,505 |
The Clorox Co. | 8,367 | 1,513,507 |
The Procter & Gamble Co. | 40,706 | 5,789,614 |
11,528,622 | ||
TOTAL CONSUMER STAPLES | 27,046,874 | |
ENERGY – 2.2% | ||
Oil, Gas & Consumable Fuels – 2.2% | ||
Cabot Oil & Gas Corp. | 55,696 | 891,136 |
Chevron Corp. | 33,996 | 3,461,133 |
Exxon Mobil Corp. | 71,205 | 4,099,272 |
Kinder Morgan, Inc. | 91,122 | 1,583,700 |
Phillips 66 | 18,777 | 1,378,795 |
TOTAL ENERGY | 11,414,036 | |
FINANCIALS – 10.1% | ||
Capital Markets – 2.4% | ||
CME Group, Inc. | 20,655 | 4,381,545 |
FactSet Research Systems, Inc. | 10,401 | 3,716,069 |
Intercontinental Exchange, Inc. | 33,954 | 4,068,708 |
12,166,322 | ||
Insurance – 7.7% | ||
Aon PLC Class A | 18,028 | 4,687,821 |
Arthur J Gallagher & Co. | 29,298 | 4,081,504 |
Brown & Brown, Inc. | 74,563 | 4,056,227 |
Chubb Ltd. | 25,625 | 4,323,963 |
Erie Indemnity Co. Class A | 12,891 | 2,383,417 |
Marsh & McLennan Cos., Inc. | 34,323 | 5,053,032 |
The Progressive Corp. | 43,114 | 4,102,728 |
The Travelers Cos., Inc. | 25,668 | 3,822,479 |
Willis Towers Watson PLC | 16,759 | 3,453,695 |
WR Berkley Corp. | 51,008 | 3,732,255 |
39,697,121 | ||
TOTAL FINANCIALS | 51,863,443 | |
HEALTH CARE – 14.0% | ||
Biotechnology – 2.2% | ||
Amgen, Inc. | 17,055 | 4,119,465 |
Biogen, Inc. (a) | 10,900 | 3,561,357 |
Regeneron Pharmaceuticals, Inc. (a) | 6,112 | 3,512,016 |
11,192,838 |
Annual Report | 40 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 3.8% | ||
Danaher Corp. | 17,606 | $ 5,237,609 |
Medtronic PLC | 37,349 | 4,904,297 |
Neogen Corp. (a) | 60,190 | 2,621,877 |
ResMed, Inc. | 13,469 | 3,660,874 |
Steris PLC | 14,053 | 3,062,851 |
19,487,508 | ||
Health Care Providers & Services – 1.5% | ||
UnitedHealth Group, Inc. | 18,465 | 7,611,642 |
Life Sciences Tools & Services – 1.0% | ||
Thermo Fisher Scientific, Inc. | 9,531 | 5,146,835 |
Pharmaceuticals – 5.5% | ||
Eli Lilly & Co. | 21,651 | 5,272,019 |
Johnson & Johnson | 46,520 | 8,010,744 |
Merck & Co., Inc. | 61,258 | 4,708,902 |
Organon & Co. | 6,125 | 177,686 |
Pfizer, Inc. | 135,275 | 5,791,123 |
Zoetis, Inc. | 21,068 | 4,270,484 |
28,230,958 | ||
TOTAL HEALTH CARE | 71,669,781 | |
INDUSTRIALS – 8.9% | ||
Aerospace & Defense – 1.4% | ||
Lockheed Martin Corp. | 10,176 | 3,782,114 |
Northrop Grumman Corp. | 9,836 | 3,570,665 |
7,352,779 | ||
Air Freight & Logistics – 1.2% | ||
CH Robinson Worldwide, Inc. | 29,223 | 2,605,815 |
Expeditors International of Washington, Inc. | 28,364 | 3,637,683 |
6,243,498 | ||
Commercial Services & Supplies – 1.9% | ||
Republic Services, Inc. | 28,738 | 3,401,430 |
Rollins, Inc. | 68,167 | 2,612,841 |
Waste Management, Inc. | 26,049 | 3,862,025 |
9,876,296 | ||
Industrial Conglomerates – 0.8% | ||
3M Co. | 20,607 | 4,078,950 |
Machinery – 1.8% | ||
Graco, Inc. | 35,955 | 2,807,366 |
Illinois Tool Works, Inc. | 15,613 | 3,538,999 |
The Toro Co. | 26,207 | 2,980,784 |
9,327,149 | ||
Professional Services – 1.2% | ||
Exponent, Inc. | 28,186 | 3,018,439 |
Verisk Analytics, Inc. | 14,788 | 2,808,832 |
5,827,271 |
| ||
Shares | Value | |
Trading Companies & Distributors – 0.6% | ||
Watsco, Inc. | 10,191 | $ 2,878,346 |
TOTAL INDUSTRIALS | 45,584,289 | |
INFORMATION TECHNOLOGY – 28.1% | ||
IT Services – 9.6% | ||
Accenture PLC Class A | 21,059 | 6,690,023 |
Akamai Technologies, Inc. (a) | 31,860 | 3,820,651 |
Amdocs Ltd. | 46,184 | 3,561,248 |
Automatic Data Processing, Inc. | 25,161 | 5,274,501 |
Fiserv, Inc. (a) | 37,202 | 4,282,322 |
Jack Henry & Associates, Inc. | 23,248 | 4,047,244 |
MAXIMUS, Inc. | 44,750 | 3,982,750 |
Paychex, Inc. | 40,952 | 4,661,157 |
VeriSign, Inc. (a) | 17,964 | 3,886,871 |
Visa, Inc. Class A | 36,977 | 9,110,763 |
49,317,530 | ||
Semiconductors & Semiconductor Equipment – 2.3% | ||
Intel Corp. | 107,167 | 5,757,011 |
Texas Instruments, Inc. | 30,838 | 5,878,340 |
11,635,351 | ||
Software – 10.0% | ||
Adobe, Inc. (a) | 12,695 | 7,891,593 |
Citrix Systems, Inc. | 26,689 | 2,688,917 |
Microsoft Corp. | 104,702 | 29,830,647 |
Oracle Corp. | 76,503 | 6,666,471 |
Tyler Technologies, Inc. (a) | 8,289 | 4,083,493 |
51,161,121 | ||
Technology Hardware, Storage & Peripherals – 6.2% | ||
Apple, Inc. | 217,212 | 31,682,542 |
TOTAL INFORMATION TECHNOLOGY | 143,796,544 | |
MATERIALS – 2.5% | ||
Chemicals – 1.5% | ||
Air Products & Chemicals, Inc. | 5,427 | 1,579,420 |
Ecolab, Inc. | 6,653 | 1,469,182 |
Linde PLC | 9,377 | 2,882,396 |
The Sherwin-Williams Co. | 6,227 | 1,812,244 |
7,743,242 | ||
Construction Materials – 0.5% | ||
Martin Marietta Materials, Inc. | 3,345 | 1,215,238 |
Vulcan Materials Co. | 6,624 | 1,192,254 |
2,407,492 | ||
Containers & Packaging – 0.5% | ||
AptarGroup, Inc. | 6,390 | 823,799 |
Ball Corp. | 12,360 | 999,677 |
Sonoco Products Co. | 14,313 | 913,026 |
2,736,502 | ||
TOTAL MATERIALS | 12,887,236 |
41 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
American Tower Corp. | 7,520 | $ 2,126,656 |
CoreSite Realty Corp. | 4,232 | 584,905 |
Crown Castle International Corp. | 8,289 | 1,600,523 |
CubeSmart | 16,555 | 822,121 |
Digital Realty Trust, Inc. | 6,805 | 1,049,059 |
Duke Realty Corp. | 16,852 | 857,430 |
Equinix, Inc. | 1,741 | 1,428,334 |
Equity Lifestyle Properties, Inc. | 10,102 | 846,547 |
Extra Space Storage, Inc. | 5,917 | 1,030,386 |
Life Storage, Inc. | 6,937 | 814,126 |
Mid-America Apartment Communities, Inc. | 5,131 | 990,796 |
Prologis, Inc. | 13,667 | 1,749,923 |
Public Storage | 4,018 | 1,255,545 |
Realty Income Corp. | 12,590 | 884,951 |
TOTAL REAL ESTATE | 16,041,302 | |
UTILITIES – 2.3% | ||
Electric Utilities – 1.5% | ||
Duke Energy Corp. | 19,259 | 2,024,313 |
Eversource Energy | 15,169 | 1,308,630 |
NextEra Energy, Inc. | 35,271 | 2,747,611 |
Xcel Energy, Inc. | 21,704 | 1,481,298 |
7,561,852 | ||
Multi-Utilities – 0.5% | ||
Consolidated Edison, Inc. | 17,900 | 1,320,483 |
WEC Energy Group, Inc. | 14,938 | 1,406,263 |
2,726,746 | ||
Water Utilities – 0.3% | ||
American Water Works Co., Inc. | 8,101 | 1,378,061 |
TOTAL UTILITIES | 11,666,659 | |
TOTAL COMMON STOCKS (Cost $432,661,359) | 511,003,806 |
Money Market Funds – 0.3% | ||
Shares | Value | |
Fidelity Cash Central Fund, 0.06% (c) | 556,677 | $ 556,788 |
Fidelity Securities Lending Cash Central Fund, 0.06% (c)(d) | 940,346 | 940,440 |
TOTAL MONEY MARKET FUNDS (Cost $1,497,228) | 1,497,228 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $434,158,587) | 512,501,034 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (604,412) | |
NET ASSETS – 100.0% | $ 511,896,622 |
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 Micro E-mini S&P 500 Index Future Contracts (United States) | 27 | September 2021 | $592,583 | $16,927 | $16,927 |
Annual Report | 42 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 615 |
Fidelity Securities Lending Cash Central Fund | 1,003 |
Total | $1,618 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $ 797,071 | $21,490,689 | $21,730,887 | $(15) | $(70) | $ 556,788 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 1,256,633 | 31,421,231 | 31,737,424 | (2) | 2 | 940,440 | 0.0% | |||||
Total | $2,053,704 | $52,911,920 | $53,468,311 | $(17) | $(68) | $1,497,228 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Equities: | |||||||||
Communication Services | $ 53,501,455 | $ 53,501,455 | $ — | $ — | |||||
Consumer Discretionary | 65,532,187 | 65,532,187 | — | — | |||||
Consumer Staples | 27,046,874 | 27,046,874 | — | — | |||||
Energy | 11,414,036 | 11,414,036 | — | — | |||||
Financials | 51,863,443 | 51,863,443 | — | — | |||||
Health Care | 71,669,781 | 71,669,781 | — | — | |||||
Industrials | 45,584,289 | 45,584,289 | — | — | |||||
Information Technology | 143,796,544 | 143,796,544 | — | — | |||||
Materials | 12,887,236 | 12,887,236 | — | — | |||||
Real Estate | 16,041,302 | 16,041,302 | — | — | |||||
Utilities | 11,666,659 | 11,666,659 | — | — | |||||
Money Market Funds | 1,497,228 | 1,497,228 | — | — | |||||
Total Investments in Securities: | $ 512,501,034 | $ 512,501,034 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 16,927 | $ 16,927 | $ — | $ — | |||||
Total Assets | $ 16,927 | $ 16,927 | $ — | $ — | |||||
Total Derivative Instruments: | $ 16,927 | $ 16,927 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $16,927 | $0 | |
Total Equity Risk | 16,927 | 0 | |
Total Value of Derivatives | $16,927 | $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). |
43 | Annual Report |
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 11.1% | ||
Entertainment – 1.9% | ||
Roku, Inc. (a) | 2,617 | $1,120,887 |
The Walt Disney Co. (a) | 10,009 | 1,761,784 |
2,882,671 | ||
Interactive Media & Services – 8.2% | ||
Alphabet, Inc. Class A (a) | 2,422 | 6,526,152 |
Facebook, Inc. Class A (a) | 10,677 | 3,804,215 |
Pinterest, Inc. Class A (a) | 12,567 | 740,196 |
Snap, Inc. Class A (a) | 15,300 | 1,138,626 |
Zillow Group, Inc. Class C (a) | 6,253 | 664,444 |
12,873,633 | ||
Media – 1.0% | ||
Comcast Corp. Class A | 27,479 | 1,616,590 |
TOTAL COMMUNICATION SERVICES | 17,372,894 | |
CONSUMER DISCRETIONARY – 11.6% | ||
Automobiles – 3.1% | ||
Ford Motor Co. (a) | 79,964 | 1,115,498 |
General Motors Co. (a) | 17,729 | 1,007,716 |
Tesla, Inc. (a) | 3,947 | 2,712,379 |
4,835,593 | ||
Hotels, Restaurants & Leisure – 2.2% | ||
Boyd Gaming Corp. (a) | 12,176 | 694,032 |
Caesars Entertainment, Inc. (a) | 8,356 | 729,980 |
Penn National Gaming, Inc. (a) | 9,815 | 671,150 |
Starbucks Corp. | 11,065 | 1,343,623 |
3,438,785 | ||
Internet & Direct Marketing Retail – 3.8% | ||
Amazon.com, Inc. (a) | 1,784 | 5,936,420 |
Multiline Retail – 0.9% | ||
Target Corp. | 5,404 | 1,410,714 |
Specialty Retail – 1.6% | ||
Bath & Body Works, Inc. | 12,549 | 1,004,798 |
Lithia Motors, Inc. | 2,143 | 808,383 |
RH (a) | 1,188 | 788,927 |
2,602,108 | ||
TOTAL CONSUMER DISCRETIONARY | 18,223,620 | |
CONSUMER STAPLES – 5.0% | ||
Beverages – 0.7% | ||
Constellation Brands, Inc. Class A | 3,227 | 723,945 |
The Boston Beer Co., Inc. Class A (a) | 597 | 423,870 |
1,147,815 | ||
Food & Staples Retailing – 0.5% | ||
Sysco Corp. | 9,226 | 684,569 |
Food Products – 1.2% | ||
Archer-Daniels-Midland Co. | 11,345 | 677,523 |
Bunge Ltd. | 7,530 | 584,554 |
| ||
Shares | Value | |
Darling Ingredients, Inc. (a) | 9,463 | $ 653,610 |
1,915,687 | ||
Household Products – 1.2% | ||
The Procter & Gamble Co. | 13,387 | 1,904,033 |
Personal Products – 0.6% | ||
The Estee Lauder Cos., Inc. Class A | 2,921 | 975,118 |
Tobacco – 0.8% | ||
Philip Morris International, Inc. | 12,044 | 1,205,484 |
TOTAL CONSUMER STAPLES | 7,832,706 | |
ENERGY – 2.4% | ||
Energy Equipment & Services – 0.4% | ||
Halliburton Co. | 28,125 | 581,625 |
Oil, Gas & Consumable Fuels – 2.0% | ||
Cimarex Energy Co. | 8,354 | 544,681 |
DTE Midstream LLC (a) | 1,311 | 55,586 |
Exxon Mobil Corp. | 24,192 | 1,392,734 |
Ovintiv, Inc. | 22,268 | 571,397 |
Targa Resources Corp. | 15,740 | 662,811 |
3,227,209 | ||
TOTAL ENERGY | 3,808,834 | |
FINANCIALS – 11.0% | ||
Banks – 3.7% | ||
Bank of America Corp. | 44,865 | 1,721,021 |
JPMorgan Chase & Co. | 15,585 | 2,365,491 |
SVB Financial Group (a) | 1,475 | 811,191 |
The PNC Financial Services Group, Inc. | 5,250 | 957,653 |
5,855,356 | ||
Capital Markets – 3.3% | ||
Ameriprise Financial, Inc. | 3,222 | 829,858 |
Invesco Ltd. | 27,497 | 670,377 |
Morgan Stanley | 13,900 | 1,334,122 |
The Charles Schwab Corp. | 15,704 | 1,067,087 |
The Goldman Sachs Group, Inc. | 3,255 | 1,220,235 |
5,121,679 | ||
Consumer Finance – 2.3% | ||
Ally Financial, Inc. | 15,288 | 785,192 |
Capital One Financial Corp. | 6,363 | 1,028,897 |
Discover Financial Services | 7,420 | 922,454 |
Synchrony Financial | 18,548 | 872,127 |
3,608,670 | ||
Diversified Financial Services – 1.7% | ||
Berkshire Hathaway, Inc. Class B (a) | 9,418 | 2,620,935 |
TOTAL FINANCIALS | 17,206,640 |
Annual Report | 44 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 14.2% | ||
Biotechnology – 1.8% | ||
Moderna, Inc. (a) | 8,214 | $ 2,904,471 |
Health Care Equipment & Supplies – 4.5% | ||
Abbott Laboratories | 16,003 | 1,936,043 |
Align Technology, Inc. (a) | 2,219 | 1,543,980 |
Danaher Corp. | 6,717 | 1,998,240 |
IDEXX Laboratories, Inc. (a) | 2,458 | 1,667,827 |
7,146,090 | ||
Health Care Providers & Services – 3.5% | ||
HCA Healthcare, Inc. | 6,413 | 1,591,707 |
Tenet Healthcare Corp. (a) | 17,869 | 1,283,709 |
UnitedHealth Group, Inc. | 6,183 | 2,548,756 |
5,424,172 | ||
Health Care Technology – 0.7% | ||
Inspire Medical Systems, Inc. (a) | 6,069 | 1,111,598 |
Life Sciences Tools & Services – 1.9% | ||
Agilent Technologies, Inc. | 9,722 | 1,489,702 |
Charles River Laboratories International, Inc. (a) | 3,574 | 1,454,332 |
2,944,034 | ||
Pharmaceuticals – 1.8% | ||
Johnson & Johnson | 16,241 | 2,796,700 |
TOTAL HEALTH CARE | 22,327,065 | |
INDUSTRIALS – 9.1% | ||
Air Freight & Logistics – 0.6% | ||
FedEx Corp. | 3,244 | 908,158 |
Building Products – 2.0% | ||
Carrier Global Corp. | 19,658 | 1,086,105 |
Johnson Controls International PLC | 13,927 | 994,666 |
Trane Technologies PLC | 4,905 | 998,707 |
3,079,478 | ||
Construction & Engineering – 0.5% | ||
Quanta Services, Inc. | 8,002 | 727,382 |
Electrical Equipment – 1.3% | ||
Eaton Corp. PLC | 6,409 | 1,012,943 |
Generac Holdings, Inc. (a) | 2,554 | 1,071,045 |
2,083,988 | ||
Industrial Conglomerates – 0.9% | ||
Honeywell International, Inc. | 5,755 | 1,345,461 |
Machinery – 3.3% | ||
AGCO Corp. | 5,072 | 670,062 |
Caterpillar, Inc. | 5,041 | 1,042,227 |
Chart Industries, Inc. (a) | 4,866 | 756,419 |
Deere & Co. | 3,009 | 1,088,024 |
Parker Hannifin Corp. | 2,794 | 871,812 |
The Middleby Corp. (a) | 4,320 | 827,237 |
5,255,781 |
| ||
Shares | Value | |
Trading Companies & Distributors – 0.5% | ||
United Rentals, Inc. (a) | 2,424 | $ 798,829 |
TOTAL INDUSTRIALS | 14,199,077 | |
INFORMATION TECHNOLOGY – 27.3% | ||
Electronic Equipment, Instruments & Components – 1.9% | ||
TE Connectivity Ltd. | 10,262 | 1,513,337 |
Trimble, Inc. (a) | 17,249 | 1,474,790 |
2,988,127 | ||
IT Services – 3.8% | ||
PayPal Holdings, Inc. (a) | 9,151 | 2,521,375 |
Square, Inc. Class A (a) | 6,939 | 1,715,737 |
Twilio, Inc. Class A (a) | 4,624 | 1,727,480 |
5,964,592 | ||
Semiconductors & Semiconductor Equipment – 6.5% | ||
Applied Materials, Inc. | 12,651 | 1,770,254 |
Broadcom, Inc. | 4,221 | 2,048,873 |
Lam Research Corp. | 2,509 | 1,599,262 |
NXP Semiconductors N.V. | 7,381 | 1,523,365 |
ON Semiconductor Corp. (a) | 34,225 | 1,336,829 |
Texas Instruments, Inc. | 9,923 | 1,891,522 |
10,170,105 | ||
Software – 8.9% | ||
Crowdstrike Holdings, Inc. Class A (a) | 7,266 | 1,842,730 |
Digital Turbine, Inc. (a) | 20,354 | 1,281,284 |
HubSpot, Inc. (a) | 2,666 | 1,588,990 |
Microsoft Corp. | 32,266 | 9,192,906 |
13,905,910 | ||
Technology Hardware, Storage & Peripherals – 6.2% | ||
Apple, Inc. | 66,655 | 9,722,298 |
TOTAL INFORMATION TECHNOLOGY | 42,751,032 | |
MATERIALS – 2.6% | ||
Chemicals – 1.9% | ||
Corteva, Inc. | 8,412 | 359,865 |
Dow, Inc. | 6,678 | 415,104 |
DuPont de Nemours, Inc. | 5,231 | 392,587 |
Linde PLC | 2,831 | 870,221 |
LyondellBasell Industries N.V. Class A | 3,353 | 333,054 |
Olin Corp. | 6,500 | 305,695 |
The Mosaic Co. | 9,093 | 283,974 |
2,960,500 | ||
Construction Materials – 0.2% | ||
Martin Marietta Materials, Inc. | 976 | 354,581 |
Metals & Mining – 0.5% | ||
Cleveland-Cliffs, Inc. (a) | 15,280 | 382,000 |
Freeport-McMoRan, Inc. | 11,811 | 449,999 |
831,999 | ||
TOTAL MATERIALS | 4,147,080 |
45 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – 3.0% | ||
Equity Real Estate Investment Trusts (REITs) – 2.4% | ||
CubeSmart | 6,452 | $ 320,406 |
Extra Space Storage, Inc. | 2,121 | 369,351 |
Prologis, Inc. | 4,858 | 622,018 |
Public Storage | 1,409 | 440,284 |
Simon Property Group, Inc. | 3,097 | 391,833 |
STORE Capital Corp. | 8,168 | 295,600 |
Ventas, Inc. | 5,809 | 347,262 |
VICI Properties, Inc. | 9,838 | 306,847 |
Welltower, Inc. | 4,745 | 412,151 |
Weyerhaeuser Co. | 8,896 | 300,062 |
3,805,814 | ||
Real Estate Management & Development – 0.6% | ||
CBRE Group, Inc. Class A (a) | 3,864 | 372,721 |
Jones Lang LaSalle, Inc. (a) | 1,345 | 299,357 |
Redfin Corp. (a) | 4,714 | 276,099 |
948,177 | ||
TOTAL REAL ESTATE | 4,753,991 | |
UTILITIES – 2.3% | ||
Electric Utilities – 1.3% | ||
Duke Energy Corp. | 5,498 | 577,895 |
NextEra Energy, Inc. | 10,925 | 851,057 |
The Southern Co. | 8,153 | 520,732 |
1,949,684 | ||
Gas Utilities – 0.2% | ||
UGI Corp. | 7,174 | 329,932 |
Independent Power and Renewable Electricity Producers – 0.2% | ||
The AES Corp. | 13,800 | 327,060 |
| ||
Shares | Value | |
Multi-Utilities – 0.6% | ||
DTE Energy Co. | 2,714 | $ 318,407 |
MDU Resources Group, Inc. | 9,262 | 293,791 |
Public Service Enterprise Group, Inc. | 6,367 | 396,218 |
1,008,416 | ||
TOTAL UTILITIES | 3,615,092 | |
TOTAL COMMON STOCKS (Cost $130,980,030) | 156,238,031 | |
Money Market Fund – 0.3% | ||
Fidelity Cash Central Fund, 0.06% (b) (Cost $425,440) | 425,355 | 425,440 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $131,405,470) | 156,663,471 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 100,196 | |
NET ASSETS – 100.0% | $ 156,763,667 |
Legend | ||
(a) | Non-income producing. | |
(b) | 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. |
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 (United States) | 1 | September 2021 | $ 219,475 | $ 7,216 | $ 7,216 |
CME Micro E-mini S&P 500 Index Future Contracts (United States) | 12 | September 2021 | 263,370 | 7,271 | 7,271 |
Total Equity Index Contracts | $ 14,487 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 179 |
Fidelity Securities Lending Cash Central Fund | 1,470 |
Total | $1,649 |
Annual Report | 46 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $ 111,282 | $ 4,930,874 | $ 4,616,702 | $(3) | $(11) | $425,440 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 952,000 | 23,385,197 | 24,337,197 | - | - | - | 0.0% | |||||
Total | $1,063,282 | $28,316,071 | $28,953,899 | $(3) | $(11) | $425,440 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 17,372,894 | $ 17,372,894 | $ — | $ — | ||||
Consumer Discretionary | 18,223,620 | 18,223,620 | — | — | ||||
Consumer Staples | 7,832,706 | 7,832,706 | — | — | ||||
Energy | 3,808,834 | 3,808,834 | — | — | ||||
Financials | 17,206,640 | 17,206,640 | — | — | ||||
Health Care | 22,327,065 | 22,327,065 | — | — | ||||
Industrials | 14,199,077 | 14,199,077 | — | — | ||||
Information Technology | 42,751,032 | 42,751,032 | — | — | ||||
Materials | 4,147,080 | 4,147,080 | — | — | ||||
Real Estate | 4,753,991 | 4,753,991 | — | — | ||||
Utilities | 3,615,092 | 3,615,092 | — | — | ||||
Money Market Fund | 425,440 | 425,440 | — | — | ||||
Total Investments in Securities: | $ 156,663,471 | $ 156,663,471 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 14,487 | $ 14,487 | $ — | $ — | ||||
Total Assets | $ 14,487 | $ 14,487 | — | $ — | ||||
Total Derivative Instruments: | $ 14,487 | $ 14,487 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $14,487 | $0 | |
Total Equity Risk | 14,487 | 0 | |
Total Value of Derivatives | $14,487 | $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). |
47 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.8% | ||
Diversified Telecommunication Services – 1.7% | ||
AT&T, Inc. | 73,119 | $2,050,988 |
Verizon Communications, Inc. | 40,489 | 2,258,476 |
4,309,464 | ||
Entertainment – 0.9% | ||
Electronic Arts, Inc. | 8,256 | 1,188,534 |
Take-Two Interactive Software, Inc. (a) | 5,248 | 910,108 |
2,098,642 | ||
Interactive Media & Services – 6.7% | ||
Alphabet, Inc. Class A (a) | 3,815 | 10,279,632 |
Facebook, Inc. Class A (a) | 17,144 | 6,108,407 |
16,388,039 | ||
Media – 1.5% | ||
Comcast Corp. Class A | 44,375 | 2,610,581 |
Sirius XM Holdings, Inc. (b) | 157,327 | 1,017,906 |
3,628,487 | ||
TOTAL COMMUNICATION SERVICES | 26,424,632 | |
CONSUMER DISCRETIONARY – 13.0% | ||
Hotels, Restaurants & Leisure – 5.1% | ||
Booking Holdings, Inc. (a) | 1,095 | 2,385,194 |
Domino's Pizza, Inc. | 4,916 | 2,583,309 |
McDonald's Corp. | 12,625 | 3,064,214 |
Wingstop, Inc. | 11,845 | 2,029,167 |
Yum! Brands, Inc. | 18,441 | 2,422,963 |
12,484,847 | ||
Internet & Direct Marketing Retail – 1.6% | ||
eBay, Inc. | 33,904 | 2,312,592 |
Etsy, Inc. (a) | 9,054 | 1,661,500 |
3,974,092 | ||
Specialty Retail – 4.9% | ||
AutoZone, Inc. (a) | 1,596 | 2,591,218 |
Lowe's Cos., Inc. | 14,472 | 2,788,609 |
O'Reilly Automotive, Inc. (a) | 4,369 | 2,638,177 |
The Home Depot, Inc. | 12,505 | 4,104,016 |
12,122,020 | ||
Textiles, Apparel & Luxury Goods – 1.4% | ||
NIKE, Inc. Class B | 19,762 | 3,310,333 |
TOTAL CONSUMER DISCRETIONARY | 31,891,292 | |
CONSUMER STAPLES – 5.2% | ||
Beverages – 1.1% | ||
Monster Beverage Corp. (a) | 9,125 | 860,670 |
The Coca-Cola Co. | 34,995 | 1,995,765 |
2,856,435 | ||
Food & Staples Retailing – 0.7% | ||
Walmart, Inc. | 12,371 | 1,763,486 |
Household Products – 2.2% | ||
Colgate-Palmolive Co. | 12,920 | 1,027,140 |
| ||
Shares | Value | |
Kimberly-Clark Corp. | 6,730 | $ 913,395 |
The Clorox Co. | 3,818 | 690,638 |
The Procter & Gamble Co. | 19,013 | 2,704,219 |
5,335,392 | ||
Tobacco – 1.2% | ||
Altria Group, Inc. | 25,680 | 1,233,667 |
Philip Morris International, Inc. | 16,762 | 1,677,709 |
2,911,376 | ||
TOTAL CONSUMER STAPLES | 12,866,689 | |
ENERGY – 2.3% | ||
Energy Equipment & Services – 0.4% | ||
Schlumberger N.V. | 32,388 | 933,746 |
Oil, Gas & Consumable Fuels – 1.9% | ||
Chevron Corp. | 17,590 | 1,790,838 |
ConocoPhillips | 21,392 | 1,199,236 |
Kinder Morgan, Inc. | 52,630 | 914,709 |
The Williams Cos., Inc. | 33,900 | 849,195 |
4,753,978 | ||
TOTAL ENERGY | 5,687,724 | |
FINANCIALS – 11.1% | ||
Banks – 3.1% | ||
First Financial Bankshares, Inc. | 39,842 | 1,945,883 |
First Horizon Corp. | 106,746 | 1,649,226 |
SVB Financial Group (a) | 3,524 | 1,938,059 |
Western Alliance Bancorp | 21,696 | 2,013,823 |
7,546,991 | ||
Capital Markets – 6.1% | ||
Apollo Global Management, Inc. (b) | 31,648 | 1,862,801 |
CME Group, Inc. | 9,993 | 2,119,815 |
FactSet Research Systems, Inc. | 5,055 | 1,806,051 |
Moody's Corp. | 6,490 | 2,440,240 |
MSCI, Inc. | 4,134 | 2,463,699 |
S&P Global, Inc. | 6,075 | 2,604,474 |
SEI Investments Co. | 28,273 | 1,718,998 |
15,016,078 | ||
Consumer Finance – 1.0% | ||
Discover Financial Services | 19,232 | 2,390,922 |
Insurance – 0.9% | ||
Aon PLC Class A | 8,738 | 2,272,142 |
TOTAL FINANCIALS | 27,226,133 | |
HEALTH CARE – 12.8% | ||
Biotechnology – 2.4% | ||
AbbVie, Inc. | 20,244 | 2,354,377 |
Amgen, Inc. | 7,915 | 1,911,789 |
Gilead Sciences, Inc. | 24,056 | 1,642,784 |
5,908,950 |
Annual Report | 48 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 2.2% | ||
Danaher Corp. | 8,178 | $ 2,432,873 |
Hologic, Inc. (a) | 14,733 | 1,105,565 |
IDEXX Laboratories, Inc. (a) | 2,734 | 1,855,101 |
5,393,539 | ||
Health Care Providers & Services – 1.4% | ||
UnitedHealth Group, Inc. | 8,621 | 3,553,749 |
Life Sciences Tools & Services – 1.6% | ||
Mettler-Toledo International, Inc. (a) | 1,051 | 1,548,869 |
Thermo Fisher Scientific, Inc. | 4,435 | 2,394,945 |
3,943,814 | ||
Pharmaceuticals – 5.2% | ||
Bristol-Myers Squibb Co. | 30,454 | 2,066,913 |
Johnson & Johnson | 21,761 | 3,747,244 |
Merck & Co., Inc. | 28,503 | 2,191,026 |
Organon & Co. | 2,848 | 82,620 |
Pfizer, Inc. | 62,940 | 2,694,461 |
Zoetis, Inc. | 9,738 | 1,973,893 |
12,756,157 | ||
TOTAL HEALTH CARE | 31,556,209 | |
INDUSTRIALS – 8.6% | ||
Aerospace & Defense – 0.6% | ||
Lockheed Martin Corp. | 4,330 | 1,609,331 |
Electrical Equipment – 1.2% | ||
Emerson Electric Co. | 15,041 | 1,517,486 |
Rockwell Automation, Inc. | 4,630 | 1,423,355 |
2,940,841 | ||
Industrial Conglomerates – 1.6% | ||
3M Co. | 8,827 | 1,747,216 |
Honeywell International, Inc. | 8,878 | 2,075,588 |
3,822,804 | ||
Machinery – 1.7% | ||
Graco, Inc. | 14,742 | 1,151,055 |
Illinois Tool Works, Inc. | 6,571 | 1,489,449 |
Otis Worldwide Corp. | 17,527 | 1,569,543 |
4,210,047 | ||
Professional Services – 0.5% | ||
Verisk Analytics, Inc. | 6,135 | 1,165,282 |
Road & Rail – 1.9% | ||
CSX Corp. | 45,764 | 1,479,093 |
Norfolk Southern Corp. | 5,399 | 1,392,024 |
Union Pacific Corp. | 8,595 | 1,880,242 |
4,751,359 | ||
Trading Companies & Distributors – 1.1% | ||
Fastenal Co. | 23,993 | 1,314,097 |
| ||
Shares | Value | |
WW Grainger, Inc. | 2,916 | $ 1,296,395 |
2,610,492 | ||
TOTAL INDUSTRIALS | 21,110,156 | |
INFORMATION TECHNOLOGY – 28.1% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 51,239 | 2,837,103 |
IT Services – 6.2% | ||
Accenture PLC Class A | 8,615 | 2,736,813 |
Automatic Data Processing, Inc. | 9,908 | 2,077,014 |
FleetCor Technologies, Inc. (a) | 5,370 | 1,386,642 |
Mastercard, Inc. Class A | 8,743 | 3,374,274 |
Paychex, Inc. | 15,676 | 1,784,242 |
Visa, Inc. Class A | 15,821 | 3,898,136 |
15,257,121 | ||
Semiconductors & Semiconductor Equipment – 5.7% | ||
Broadcom, Inc. | 4,974 | 2,414,380 |
Intel Corp. | 44,891 | 2,411,544 |
NVIDIA Corp. | 23,278 | 4,538,977 |
QUALCOMM, Inc. | 14,102 | 2,112,480 |
Texas Instruments, Inc. | 12,608 | 2,403,337 |
13,880,718 | ||
Software – 9.1% | ||
Adobe, Inc. (a) | 5,311 | 3,301,477 |
Aspen Technology, Inc. (a) | 9,159 | 1,339,595 |
Fortinet, Inc. (a) | 9,025 | 2,456,966 |
Microsoft Corp. | 48,078 | 13,697,903 |
Zoom Video Communications, Inc. Class A (a) | 4,434 | 1,676,496 |
22,472,437 | ||
Technology Hardware, Storage & Peripherals – 5.9% | ||
Apple, Inc. | 100,097 | 14,600,148 |
TOTAL INFORMATION TECHNOLOGY | 69,047,527 | |
MATERIALS – 2.6% | ||
Chemicals – 1.7% | ||
Celanese Corp. | 3,759 | 585,539 |
Ecolab, Inc. | 3,280 | 724,322 |
Linde PLC | 4,543 | 1,396,473 |
The Sherwin-Williams Co. | 3,061 | 890,843 |
Valvoline, Inc. | 16,681 | 511,773 |
4,108,950 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 3,600 | 508,752 |
Containers & Packaging – 0.2% | ||
International Paper Co. | 9,951 | 574,770 |
Metals & Mining – 0.5% | ||
Newmont Corp. | 11,195 | 703,270 |
49 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Royal Gold, Inc. | 4,068 | $ 494,343 |
1,197,613 | ||
TOTAL MATERIALS | 6,390,085 | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
American Tower Corp. | 3,649 | 1,031,937 |
AvalonBay Communities, Inc. | 2,349 | 535,173 |
Digital Realty Trust, Inc. | 3,366 | 518,902 |
Duke Realty Corp. | 8,503 | 432,633 |
Equity Residential | 6,087 | 512,099 |
Essex Property Trust, Inc. | 1,420 | 465,902 |
Extra Space Storage, Inc. | 2,987 | 520,156 |
Gaming and Leisure Properties, Inc. | 7,347 | 347,807 |
Prologis, Inc. | 6,663 | 853,130 |
Public Storage | 1,991 | 622,148 |
Realty Income Corp. | 6,314 | 443,811 |
Simon Property Group, Inc. | 4,660 | 589,583 |
VICI Properties, Inc. (b) | 12,856 | 400,979 |
WP Carey, Inc. | 4,833 | 389,975 |
TOTAL REAL ESTATE | 7,664,235 | |
UTILITIES – 2.2% | ||
Electric Utilities – 1.3% | ||
IDACORP, Inc. | 6,399 | 674,775 |
NextEra Energy, Inc. | 17,586 | 1,369,949 |
NRG Energy, Inc. | 14,018 | 578,102 |
OGE Energy Corp. | 18,542 | 625,793 |
3,248,619 | ||
Independent Power and Renewable Electricity Producers – 0.2% | ||
Vistra Corp. | 27,956 | 535,357 |
Multi-Utilities – 0.7% | ||
Dominion Energy, Inc. | 12,024 | 900,237 |
| ||
Shares | Value | |
WEC Energy Group, Inc. | 7,938 | $ 747,283 |
1,647,520 | ||
TOTAL UTILITIES | 5,431,496 | |
TOTAL COMMON STOCKS (Cost $193,254,140) | 245,296,178 | |
Money Market Funds – 0.7% | ||
Fidelity Cash Central Fund, 0.06% (c) | 175,515 | 175,551 |
Fidelity Securities Lending Cash Central Fund, 0.06% (c)(d) | 1,454,330 | 1,454,475 |
TOTAL MONEY MARKET FUNDS (Cost $1,630,025) | 1,630,026 | |
TOTAL INVESTMENT IN SECURITIES – 100.5% (Cost $194,884,165) | 246,926,204 | |
NET OTHER ASSETS (LIABILITIES) – (0.5%) | (1,205,409) | |
NET ASSETS – 100.0% | $ 245,720,795 |
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 Micro E-mini S&P 500 Index Future Contracts (United States) | 8 | September 2021 | $175,580 | $5,756 | $5,756 |
Annual Report | 50 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 315 |
Fidelity Securities Lending Cash Central Fund | 1,394 |
Total | $1,709 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $354,670 | $ 4,482,102 | $ 4,661,182 | $(10) | $(29) | $ 175,551 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 139,806 | 16,892,654 | 15,577,986 | - | 1 | 1,454,475 | 0.0% | |||||
Total | $494,476 | $21,374,756 | $20,239,168 | $(10) | $(28) | $1,630,026 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 26,424,632 | $ 26,424,632 | $ — | $ — | ||||
Consumer Discretionary | 31,891,292 | 31,891,292 | — | — | ||||
Consumer Staples | 12,866,689 | 12,866,689 | — | — | ||||
Energy | 5,687,724 | 5,687,724 | — | — | ||||
Financials | 27,226,133 | 27,226,133 | — | — | ||||
Health Care | 31,556,209 | 31,556,209 | — | — | ||||
Industrials | 21,110,156 | 21,110,156 | — | — | ||||
Information Technology | 69,047,527 | 69,047,527 | — | — | ||||
Materials | 6,390,085 | 6,390,085 | — | — | ||||
Real Estate | 7,664,235 | 7,664,235 | — | — | ||||
Utilities | 5,431,496 | 5,431,496 | — | — | ||||
Money Market Funds | 1,630,026 | 1,630,026 | — | — | ||||
Total Investments in Securities: | $ 246,926,204 | $ 246,926,204 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 5,756 | $ 5,756 | $ — | $ — | ||||
Total Assets | $ 5,756 | $ 5,756 | — | $ — | ||||
Total Derivative Instruments: | $ 5,756 | $ 5,756 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $5,756 | $0 | |
Total Equity Risk | 5,756 | 0 | |
Total Value of Derivatives | $5,756 | $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). |
51 | Annual Report |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.2% | ||
Diversified Telecommunication Services – 0.6% | ||
Bandwidth, Inc. Class A (a) | 467 | $ 60,551 |
Liberty Global PLC Class C (a) | 7,226 | 194,090 |
Lumen Technologies, Inc. | 14,344 | 178,870 |
433,511 | ||
Entertainment – 0.4% | ||
Playtika Holding Corp. (a) | 2,086 | 46,372 |
Sciplay Corp. Class A (a) | 2,654 | 42,703 |
World Wrestling Entertainment, Inc. Class A | 1,217 | 60,095 |
Zynga, Inc. Class A (a) | 14,848 | 149,965 |
299,135 | ||
Interactive Media & Services – 0.1% | ||
QuinStreet, Inc. (a) | 2,373 | 43,521 |
Media – 2.1% | ||
Altice USA, Inc. Class A (a) | 3,828 | 117,634 |
AMC Networks, Inc. Class A (a) | 1,167 | 58,397 |
Cable One, Inc. | 79 | 149,151 |
DISH Network Corp. Class A (a) | 4,042 | 169,319 |
News Corp. Class A | 7,666 | 188,814 |
Nexstar Media Group, Inc. Class A | 805 | 118,391 |
Sinclair Broadcast Group, Inc. Class A | 1,786 | 50,526 |
Sirius XM Holdings, Inc. | 19,635 | 127,039 |
TechTarget, Inc. (a) | 750 | 54,810 |
TEGNA, Inc. | 4,825 | 85,499 |
The Interpublic Group of Cos., Inc. | 5,961 | 210,781 |
The New York Times Co. Class A | 2,367 | 103,627 |
1,433,988 | ||
TOTAL COMMUNICATION SERVICES | 2,210,155 | |
CONSUMER DISCRETIONARY – 14.2% | ||
Auto Components – 1.5% | ||
Autoliv, Inc. | 1,451 | 146,377 |
BorgWarner, Inc. | 4,066 | 199,153 |
Dorman Products, Inc. (a) | 913 | 92,350 |
Gentex Corp. | 4,265 | 145,138 |
LCI Industries | 686 | 100,032 |
Lear Corp. | 970 | 169,730 |
Standard Motor Products, Inc. | 1,541 | 64,352 |
XPEL, Inc. (a) | 1,236 | 114,454 |
1,031,586 | ||
Automobiles – 0.2% | ||
Harley-Davidson, Inc. | 3,427 | 135,778 |
Distributors – 0.4% | ||
LKQ Corp. (a) | 4,611 | 234,008 |
Diversified Consumer Services – 1.7% | ||
American Public Education, Inc. (a) | 2,125 | 62,942 |
Bright Horizons Family Solutions, Inc. (a) | 1,012 | 151,294 |
| ||
Shares | Value | |
Carriage Services, Inc. | 1,909 | $ 70,977 |
Frontdoor, Inc. (a) | 1,967 | 96,265 |
Graham Holdings Co. Class B | 141 | 93,717 |
Grand Canyon Education, Inc. (a) | 1,155 | 106,687 |
H&R Block, Inc. | 5,148 | 126,383 |
Perdoceo Education Corp. (a) | 5,275 | 62,562 |
Service Corp. International | 3,042 | 190,095 |
Strategic Education, Inc. | 914 | 72,471 |
Terminix Global Holdings, Inc. (a) | 2,658 | 139,545 |
1,172,938 | ||
Hotels, Restaurants & Leisure – 1.3% | ||
Choice Hotels International, Inc. | 880 | 105,512 |
Churchill Downs, Inc. | 687 | 127,645 |
Jack in the Box, Inc. | 863 | 93,946 |
Papa John's International, Inc. | 931 | 106,246 |
Texas Roadhouse, Inc. | 1,456 | 134,199 |
Vail Resorts, Inc. (a) | 654 | 199,601 |
Wingstop, Inc. | 701 | 120,088 |
887,237 | ||
Household Durables – 2.6% | ||
Century Communities, Inc. | 1,499 | 104,106 |
Green Brick Partners, Inc. (a) | 3,297 | 82,656 |
Helen of Troy Ltd. (a) | 526 | 117,503 |
Hooker Furniture Corp. | 1,936 | 64,256 |
Installed Building Products, Inc. | 748 | 89,760 |
La-Z-Boy, Inc. | 1,975 | 66,320 |
Leggett & Platt, Inc. | 2,798 | 134,388 |
M/I Homes, Inc. (a) | 1,448 | 93,700 |
Meritage Homes Corp. (a) | 1,084 | 117,701 |
Mohawk Industries, Inc. (a) | 1,058 | 206,204 |
Taylor Morrison Home Corp. (a) | 3,489 | 93,575 |
Toll Brothers, Inc. | 2,333 | 138,277 |
TopBuild Corp. (a) | 653 | 132,357 |
Tri Pointe Homes, Inc. (a) | 4,204 | 101,400 |
Whirlpool Corp. | 991 | 219,546 |
1,761,749 | ||
Internet & Direct Marketing Retail – 0.5% | ||
Qurate Retail, Inc. Class A | 8,755 | 103,834 |
Shutterstock, Inc. | 1,102 | 119,556 |
Stamps.com, Inc. (a) | 443 | 144,755 |
368,145 | ||
Leisure Products – 0.9% | ||
Brunswick Corp. | 1,504 | 157,018 |
Nautilus, Inc. (a) | 2,544 | 36,761 |
Smith & Wesson Brands, Inc. | 3,976 | 93,237 |
Sturm Ruger & Co., Inc. | 1,062 | 78,970 |
Vista Outdoor, Inc. (a) | 2,460 | 99,360 |
YETI Holdings, Inc. (a) | 1,701 | 163,857 |
629,203 |
Annual Report | 52 |
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Multiline Retail – 0.1% | ||
Big Lots, Inc. | 1,465 | $ 84,399 |
Specialty Retail – 4.1% | ||
Advance Auto Parts, Inc. | 1,112 | 235,811 |
Asbury Automotive Group, Inc. (a) | 604 | 124,098 |
AutoNation, Inc. (a) | 1,417 | 171,925 |
Bath & Body Works, Inc. | 3,880 | 310,672 |
Dick's Sporting Goods, Inc. | 1,521 | 158,397 |
Floor & Decor Holdings, Inc. Class A (a) | 1,740 | 212,297 |
Foot Locker, Inc. | 2,387 | 136,202 |
Group 1 Automotive, Inc. | 587 | 101,985 |
Hibbett, Inc. | 1,190 | 105,505 |
Lithia Motors, Inc. | 460 | 173,521 |
MarineMax, Inc. (a) | 1,584 | 85,203 |
Murphy USA, Inc. | 730 | 107,682 |
Penske Automotive Group, Inc. | 1,253 | 111,016 |
Rent-A-Center, Inc. | 1,775 | 101,566 |
RH (a) | 294 | 195,240 |
Sportsman's Warehouse Holdings, Inc. (a) | 3,581 | 63,276 |
The Aaron's Co., Inc. | 3,517 | 101,536 |
The Buckle, Inc. | 1,792 | 75,407 |
Williams-Sonoma, Inc. | 1,301 | 197,362 |
2,768,701 | ||
Textiles, Apparel & Luxury Goods – 0.9% | ||
Crocs, Inc. (a) | 1,504 | 204,258 |
Deckers Outdoor Corp. (a) | 500 | 205,425 |
Hanesbrands, Inc. | 7,509 | 137,114 |
Lakeland Industries, Inc. (a) | 1,881 | 50,712 |
597,509 | ||
TOTAL CONSUMER DISCRETIONARY | 9,671,253 | |
CONSUMER STAPLES – 3.2% | ||
Beverages – 0.4% | ||
Molson Coors Beverage Co. Class B (a) | 3,049 | 149,065 |
National Beverage Corp. | 1,060 | 48,103 |
The Boston Beer Co., Inc. Class A (a) | 149 | 105,790 |
302,958 | ||
Food & Staples Retailing – 0.6% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 2,661 | 134,753 |
Casey's General Stores, Inc. | 672 | 132,861 |
Sprouts Farmers Market, Inc. (a) | 3,572 | 87,800 |
Weis Markets, Inc. | 1,151 | 60,600 |
416,014 | ||
Food Products – 1.5% | ||
B&G Foods, Inc. (b) | 2,235 | 64,189 |
Campbell Soup Co. | 3,256 | 142,352 |
| ||
Shares | Value | |
Darling Ingredients, Inc. (a) | 2,531 | $ 174,816 |
Flowers Foods, Inc. | 4,322 | 101,826 |
Ingredion, Inc. | 1,337 | 117,402 |
John B Sanfilippo & Son, Inc. | 673 | 62,158 |
Lamb Weston Holdings, Inc. | 2,263 | 151,101 |
Lancaster Colony Corp. | 494 | 97,748 |
The Hain Celestial Group, Inc. (a) | 2,101 | 83,851 |
995,443 | ||
Household Products – 0.2% | ||
Central Garden and Pet Co. Class A (a) | 1,748 | 75,706 |
WD-40 Co. | 313 | 76,056 |
151,762 | ||
Personal Products – 0.5% | ||
Herbalife Nutrition Ltd. (a) | 1,964 | 100,046 |
Medifast, Inc. | 334 | 95,361 |
Nu Skin Enterprises, Inc. Class A | 1,380 | 74,092 |
USANA Health Sciences, Inc. (a) | 729 | 69,452 |
338,951 | ||
TOTAL CONSUMER STAPLES | 2,205,128 | |
ENERGY – 2.3% | ||
Energy Equipment & Services – 0.5% | ||
Cactus, Inc. Class A | 3,449 | 124,302 |
National Energy Services Reunited Corp. (a) | 7,425 | 95,782 |
NOV, Inc. (a) | 10,368 | 143,182 |
363,266 | ||
Oil, Gas & Consumable Fuels – 1.8% | ||
Bonanza Creek Energy, Inc. | 3,723 | 143,224 |
Cabot Oil & Gas Corp. | 8,820 | 141,120 |
CNX Resources Corp. (a) | 8,598 | 104,036 |
EQT Corp. (a) | 7,831 | 144,012 |
Equitrans Midstream Corp. | 16,278 | 133,805 |
International Seaways, Inc. | 5,223 | 85,918 |
Renewable Energy Group, Inc. (a) | 1,291 | 79,074 |
REX American Resources Corp. (a) | 1,018 | 83,476 |
Teekay Corp. (a) | 31,627 | 94,565 |
Teekay Tankers Ltd. Class A (a) | 7,868 | 99,530 |
World Fuel Services Corp. | 3,215 | 110,789 |
1,219,549 | ||
TOTAL ENERGY | 1,582,815 | |
FINANCIALS – 15.9% | ||
Banks – 3.8% | ||
Associated Banc-Corp. | 5,024 | 99,475 |
Commerce Bancshares, Inc. | 2,091 | 147,896 |
Community Trust Bancorp, Inc. | 1,761 | 70,017 |
Eagle Bancorp, Inc. | 1,799 | 98,999 |
First Citizens BancShares, Inc. Class A | 178 | 139,301 |
53 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
First Financial Corp. | 1,653 | $ 66,203 |
First Foundation, Inc. | 3,466 | 81,694 |
First Horizon Corp. | 10,355 | 159,985 |
Fulton Financial Corp. | 6,324 | 96,884 |
Harborone Bancorp, Inc. | 6,443 | 87,689 |
Hilltop Holdings, Inc. | 2,808 | 88,957 |
Lakeland Financial Corp. | 1,328 | 88,803 |
People's United Financial, Inc. | 9,037 | 141,881 |
Popular, Inc. | 1,965 | 142,973 |
Sandy Spring Bancorp, Inc. | 2,402 | 99,899 |
ServisFirst Bancshares, Inc. | 2,003 | 142,373 |
Synovus Financial Corp. | 3,185 | 130,267 |
UMB Financial Corp. | 1,341 | 125,518 |
Valley National Bancorp | 10,463 | 134,868 |
WesBanco, Inc. | 2,884 | 93,096 |
Western Alliance Bancorp | 1,977 | 183,505 |
Zions Bancorp NA | 3,157 | 164,638 |
2,584,921 | ||
Capital Markets – 4.0% | ||
Affiliated Managers Group, Inc. | 1,065 | 168,739 |
Artisan Partners Asset Management, Inc. Class A | 1,896 | 91,179 |
Brightsphere Investment Group, Inc. | 3,789 | 94,687 |
Cowen, Inc. Class A | 2,633 | 105,267 |
Diamond Hill Investment Group, Inc. | 450 | 77,513 |
Evercore, Inc. Class A | 970 | 128,234 |
FactSet Research Systems, Inc. | 619 | 221,156 |
Federated Hermes, Inc. | 3,311 | 107,409 |
Franklin Resources, Inc. | 5,490 | 162,229 |
Hamilton Lane, Inc. Class A | 1,164 | 108,252 |
Houlihan Lokey, Inc. | 1,523 | 135,699 |
Interactive Brokers Group, Inc. Class A | 1,789 | 110,668 |
Janus Henderson Group PLC | 3,565 | 149,160 |
Jefferies Financial Group, Inc. | 4,829 | 160,275 |
Morningstar, Inc. | 498 | 125,810 |
Open Lending Corp. Class A (a) | 2,518 | 95,684 |
PJT Partners, Inc. Class A | 1,151 | 89,974 |
SEI Investments Co. | 2,488 | 151,270 |
Stifel Financial Corp. | 2,311 | 153,774 |
StoneX Group, Inc. (a) | 1,229 | 79,307 |
Victory Capital Holdings, Inc. Class A | 2,839 | 86,561 |
Virtu Financial, Inc. Class A | 3,149 | 81,055 |
2,683,902 | ||
Consumer Finance – 1.0% | ||
Credit Acceptance Corp. (a) | 320 | 155,126 |
Encore Capital Group, Inc. (a) | 2,284 | 108,124 |
Enova International, Inc. (a) | 2,973 | 98,377 |
Green Dot Corp. Class A (a) | 1,773 | 81,682 |
Nelnet, Inc. Class A | 1,102 | 82,981 |
| ||
Shares | Value | |
OneMain Holdings, Inc. | 2,078 | $ 126,758 |
653,048 | ||
Diversified Financial Services – 0.1% | ||
A-Mark Precious Metals, Inc. | 1,950 | 99,333 |
Insurance – 5.4% | ||
American Equity Investment Life Holding Co. | 3,067 | 98,420 |
American Financial Group, Inc. | 1,441 | 182,272 |
AMERISAFE, Inc. | 1,317 | 75,332 |
Assurant, Inc. | 1,137 | 179,430 |
Brown & Brown, Inc. | 4,020 | 218,688 |
CNO Financial Group, Inc. | 4,313 | 98,509 |
Employers Holdings, Inc. | 2,331 | 96,783 |
Enstar Group Ltd. (a) | 457 | 117,458 |
Erie Indemnity Co. Class A | 522 | 96,513 |
Everest Re Group Ltd. | 733 | 185,324 |
Fidelity National Financial, Inc. | 4,950 | 220,819 |
First American Financial Corp. | 2,392 | 161,006 |
Globe Life, Inc. | 1,799 | 167,505 |
Goosehead Insurance, Inc. Class A | 625 | 75,119 |
James River Group Holdings Ltd. | 1,743 | 63,410 |
Kemper Corp. | 1,580 | 104,296 |
Kinsale Capital Group, Inc. | 575 | 102,721 |
Mercury General Corp. | 1,493 | 90,819 |
Old Republic International Corp. | 6,426 | 158,465 |
Primerica, Inc. | 866 | 126,627 |
Reinsurance Group of America, Inc. | 1,328 | 146,319 |
RenaissanceRe Holdings Ltd. | 955 | 145,819 |
RLI Corp. | 1,074 | 116,400 |
Selective Insurance Group, Inc. | 1,644 | 133,739 |
Stewart Information Services Corp. | 1,609 | 94,947 |
The Hanover Insurance Group, Inc. | 951 | 129,241 |
Unum Group | 4,817 | 131,986 |
WR Berkley Corp. | 2,516 | 184,096 |
3,702,063 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.4% | ||
AGNC Investment Corp. | 10,252 | 162,699 |
Broadmark Realty Capital, Inc. | 7,381 | 76,541 |
239,240 | ||
Thrifts & Mortgage Finance – 1.2% | ||
Axos Financial, Inc. (a) | 2,112 | 101,059 |
Essent Group Ltd. | 2,744 | 123,947 |
Flagstar Bancorp, Inc. | 1,923 | 87,996 |
HomeStreet, Inc. | 1,904 | 71,800 |
Merchants Bancorp | 2,165 | 79,326 |
Mr. Cooper Group, Inc. (a) | 2,968 | 110,350 |
PennyMac Financial Services, Inc. | 1,471 | 92,511 |
Provident Financial Services, Inc. | 4,274 | 92,318 |
Annual Report | 54 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – continued | ||
Waterstone Financial, Inc. | 3,350 | $ 66,096 |
825,403 | ||
TOTAL FINANCIALS | 10,787,910 | |
HEALTH CARE – 12.8% | ||
Biotechnology – 3.2% | ||
Acceleron Pharma, Inc. (a) | 1,051 | 131,438 |
Alkermes PLC (a) | 4,366 | 112,948 |
Amicus Therapeutics, Inc. (a) | 5,731 | 53,241 |
Anika Therapeutics, Inc. (a) | 1,693 | 67,940 |
Blueprint Medicines Corp. (a) | 1,206 | 105,971 |
CareDx, Inc. (a) | 1,204 | 101,184 |
Denali Therapeutics, Inc. (a) | 1,729 | 88,231 |
Emergent BioSolutions, Inc. (a) | 984 | 64,846 |
Exelixis, Inc. (a) | 5,909 | 99,567 |
Fate Therapeutics, Inc. (a) | 1,447 | 119,812 |
Halozyme Therapeutics, Inc. (a) | 2,654 | 109,690 |
Immunovant, Inc. (a) | 2,700 | 28,242 |
Intellia Therapeutics, Inc. (a) | 1,513 | 214,619 |
Natera, Inc. (a) | 1,379 | 157,923 |
SpringWorks Therapeutics, Inc. (a) | 982 | 84,157 |
Translate Bio, Inc. (a) | 3,012 | 83,252 |
Travere Therapeutics, Inc. (a) | 2,372 | 32,615 |
Turning Point Therapeutics, Inc. (a) | 903 | 57,629 |
Twist Bioscience Corp. (a) | 761 | 93,641 |
Ultragenyx Pharmaceutical, Inc. (a) | 1,057 | 84,380 |
United Therapeutics Corp. (a) | 836 | 152,093 |
Vanda Pharmaceuticals, Inc. (a) | 4,625 | 75,434 |
Veracyte, Inc. (a) | 1,410 | 62,830 |
2,181,683 | ||
Health Care Equipment & Supplies – 2.6% | ||
Atrion Corp. | 107 | 67,297 |
DENTSPLY SIRONA, Inc. | 3,460 | 228,498 |
Globus Medical, Inc. Class A (a) | 1,788 | 148,708 |
Haemonetics Corp. (a) | 1,004 | 61,033 |
Hill-Rom Holdings, Inc. | 1,341 | 185,675 |
ICU Medical, Inc. (a) | 491 | 99,815 |
Integra LifeSciences Holdings Corp. (a) | 1,628 | 117,851 |
iRhythm Technologies, Inc. (a) | 641 | 32,768 |
LeMaitre Vascular, Inc. | 1,374 | 74,828 |
Meridian Bioscience, Inc. (a) | 2,924 | 59,942 |
Merit Medical Systems, Inc. (a) | 1,603 | 112,354 |
Mesa Laboratories, Inc. | 260 | 76,573 |
Neogen Corp. (a) | 2,592 | 112,908 |
Quidel Corp. (a) | 671 | 94,926 |
Shockwave Medical, Inc. (a) | 826 | 150,332 |
STAAR Surgical Co. (a) | 1,043 | 133,421 |
1,756,929 |
| ||
Shares | Value | |
Health Care Providers & Services – 3.7% | ||
Acadia Healthcare Co., Inc. (a) | 2,052 | $ 126,649 |
AdaptHealth Corp. (a) | 2,073 | 46,415 |
Addus HomeCare Corp. (a) | 666 | 57,802 |
Amedisys, Inc. (a) | 572 | 149,075 |
AMN Healthcare Services, Inc. (a) | 1,295 | 130,225 |
Chemed Corp. | 298 | 141,854 |
CorVel Corp. (a) | 670 | 94,349 |
DaVita, Inc. (a) | 1,328 | 159,692 |
Encompass Health Corp. | 1,785 | 148,601 |
Fulgent Genetics, Inc. (a) | 605 | 55,811 |
Henry Schein, Inc. (a) | 2,447 | 196,127 |
LHC Group, Inc. (a) | 653 | 140,513 |
Magellan Health, Inc. (a) | 830 | 78,286 |
ModivCare, Inc. (a) | 484 | 82,280 |
National HealthCare Corp. | 1,031 | 80,057 |
Owens & Minor, Inc. | 2,839 | 131,304 |
Premier, Inc. Class A | 2,381 | 84,859 |
Select Medical Holdings Corp. | 3,353 | 132,276 |
The Ensign Group, Inc. | 1,213 | 103,190 |
Triple-S Management Corp. Class B (a) | 2,709 | 65,910 |
Universal Health Services, Inc. Class B | 1,306 | 209,495 |
US Physical Therapy, Inc. | 588 | 69,478 |
2,484,248 | ||
Health Care Technology – 0.7% | ||
Allscripts Healthcare Solutions, Inc. (a) | 5,373 | 91,771 |
Inspire Medical Systems, Inc. (a) | 567 | 103,852 |
NextGen Healthcare, Inc. (a) | 3,548 | 57,549 |
Omnicell, Inc. (a) | 926 | 135,659 |
Simulations Plus, Inc. | 832 | 39,262 |
Vocera Communications, Inc. (a) | 1,692 | 70,996 |
499,089 | ||
Life Sciences Tools & Services – 1.6% | ||
Adaptive Biotechnologies Corp. (a) | 1,903 | 69,764 |
Bruker Corp. | 2,175 | 178,894 |
Frontage Holdings Corp. (a)(c) | 72,000 | 56,053 |
Medpace Holdings, Inc. (a) | 714 | 125,621 |
NeoGenomics, Inc. (a) | 2,347 | 108,197 |
Pacific Biosciences of California, Inc. (a) | 3,758 | 120,820 |
Personalis, Inc. (a) | 1,733 | 36,376 |
PPD, Inc. (a) | 2,828 | 130,427 |
Quanterix Corp. (a) | 1,040 | 55,276 |
Repligen Corp. (a) | 845 | 207,616 |
1,089,044 | ||
Pharmaceuticals – 1.0% | ||
Corcept Therapeutics, Inc. (a) | 3,115 | 64,699 |
Innoviva, Inc. (a) | 5,374 | 76,203 |
Jazz Pharmaceuticals PLC (a) | 993 | 168,333 |
Pacira BioSciences, Inc. (a) | 1,276 | 75,220 |
55 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Phibro Animal Health Corp. Class A | 2,800 | $ 66,276 |
Prestige Consumer Healthcare, Inc. (a) | 1,950 | 102,473 |
Royalty Pharma PLC Class A | 2,178 | 83,200 |
Supernus Pharmaceuticals, Inc. (a) | 2,507 | 66,009 |
702,413 | ||
TOTAL HEALTH CARE | 8,713,406 | |
INDUSTRIALS – 17.6% | ||
Aerospace & Defense – 0.8% | ||
BWX Technologies, Inc. | 1,925 | 110,553 |
Huntington Ingalls Industries, Inc. | 745 | 152,822 |
National Presto Industries, Inc. | 572 | 55,186 |
Textron, Inc. | 3,588 | 247,608 |
566,169 | ||
Air Freight & Logistics – 0.5% | ||
Atlas Air Worldwide Holdings, Inc. (a) | 1,231 | 82,440 |
CH Robinson Worldwide, Inc. | 2,068 | 184,404 |
Forward Air Corp. | 980 | 86,671 |
353,515 | ||
Building Products – 2.9% | ||
AAON, Inc. | 1,111 | 69,049 |
Advanced Drainage Systems, Inc. | 1,121 | 136,863 |
Allegion PLC | 1,477 | 201,758 |
AO Smith Corp. | 2,350 | 165,276 |
Carlisle Cos., Inc. | 911 | 184,241 |
CSW Industrials, Inc. | 568 | 67,189 |
Fortune Brands Home & Security, Inc. | 2,092 | 203,907 |
Gibraltar Industries, Inc. (a) | 893 | 66,689 |
Lennox International, Inc. | 563 | 185,469 |
Masonite International Corp. (a) | 756 | 85,549 |
Owens Corning | 1,832 | 176,165 |
Simpson Manufacturing Co., Inc. | 1,004 | 112,930 |
Trex Co., Inc. (a) | 1,814 | 176,139 |
UFP Industries, Inc. | 1,513 | 112,355 |
1,943,579 | ||
Commercial Services & Supplies – 1.6% | ||
ABM Industries, Inc. | 1,989 | 92,469 |
Brady Corp. Class A | 1,611 | 88,089 |
Ennis, Inc. | 2,993 | 59,172 |
Healthcare Services Group, Inc. | 2,377 | 62,040 |
Herman Miller, Inc. | 1,993 | 85,998 |
HNI Corp. | 1,911 | 71,280 |
IAA, Inc. (a) | 2,321 | 140,374 |
MSA Safety, Inc. | 713 | 117,274 |
Rollins, Inc. | 3,801 | 145,692 |
Tetra Tech, Inc. | 980 | 130,850 |
UniFirst Corp. | 402 | 87,543 |
1,080,781 |
| ||
Shares | Value | |
Construction & Engineering – 1.5% | ||
Arcosa, Inc. | 1,361 | $ 74,528 |
Comfort Systems USA, Inc. | 1,253 | 93,662 |
Dycom Industries, Inc. (a) | 901 | 62,529 |
EMCOR Group, Inc. | 1,143 | 139,229 |
IES Holdings, Inc. (a) | 1,277 | 69,481 |
MasTec, Inc. (a) | 1,225 | 124,007 |
MYR Group, Inc. (a) | 1,052 | 100,603 |
Primoris Services Corp. | 2,084 | 62,312 |
Quanta Services, Inc. | 2,190 | 199,071 |
Valmont Industries, Inc. | 472 | 111,840 |
1,037,262 | ||
Electrical Equipment – 1.4% | ||
Acuity Brands, Inc. | 820 | 143,812 |
EnerSys | 1,035 | 102,113 |
GrafTech International Ltd. | 6,014 | 68,379 |
Hubbell, Inc. | 916 | 183,621 |
Regal-Beloit Corp. | 831 | 122,348 |
Sensata Technologies Holding PLC (a) | 2,689 | 157,629 |
Vertiv Holdings Co. | 4,998 | 140,144 |
918,046 | ||
Machinery – 4.4% | ||
AGCO Corp. | 1,115 | 147,303 |
Allison Transmission Holdings, Inc. | 2,373 | 94,706 |
Astec Industries, Inc. | 1,043 | 63,946 |
Donaldson Co., Inc. | 2,210 | 146,280 |
Franklin Electric Co., Inc. | 1,112 | 90,917 |
Graco, Inc. | 2,571 | 200,744 |
Hillenbrand, Inc. | 1,952 | 88,426 |
ITT, Inc. | 1,634 | 159,985 |
Kadant, Inc. | 467 | 84,121 |
Lincoln Electric Holdings, Inc. | 1,084 | 151,142 |
Mueller Industries, Inc. | 2,014 | 87,408 |
Nordson Corp. | 871 | 196,959 |
Omega Flex, Inc. | 321 | 50,339 |
Oshkosh Corp. | 1,257 | 150,274 |
Pentair PLC | 2,733 | 201,340 |
Proto Labs, Inc. (a) | 524 | 40,972 |
Rexnord Corp. | 2,562 | 144,317 |
Snap-on, Inc. | 889 | 193,784 |
The Greenbrier Cos., Inc. (b) | 1,644 | 70,363 |
The Middleby Corp. (a) | 978 | 187,277 |
The Timken Co. | 1,347 | 107,087 |
The Toro Co. | 1,702 | 193,586 |
Watts Water Technologies, Inc. Class A | 713 | 107,492 |
2,958,768 | ||
Professional Services – 2.2% | ||
ASGN, Inc. (a) | 1,168 | 118,120 |
Booz Allen Hamilton Holding Corp. | 2,124 | 182,260 |
CACI International, Inc. Class A (a) | 483 | 128,942 |
Annual Report | 56 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Professional Services – continued | ||
Exponent, Inc. | 1,131 | $ 121,119 |
Insperity, Inc. | 1,003 | 99,347 |
KBR, Inc. | 3,183 | 123,182 |
Kelly Services, Inc. Class A (a) | 2,837 | 62,187 |
Kforce, Inc. | 1,333 | 83,219 |
ManpowerGroup, Inc. | 1,182 | 140,162 |
ManTech International Corp. Class A | 863 | 75,478 |
Robert Half International, Inc. | 1,984 | 194,849 |
Science Applications International Corp. | 1,174 | 102,490 |
TriNet Group, Inc. (a) | 1,091 | 90,531 |
1,521,886 | ||
Road & Rail – 1.0% | ||
ArcBest Corp. | 1,306 | 77,198 |
JB Hunt Transport Services, Inc. | 1,297 | 218,480 |
Knight-Swift Transportation Holdings, Inc. | 2,618 | 130,088 |
Landstar System, Inc. | 757 | 118,849 |
Saia, Inc. (a) | 570 | 128,820 |
673,435 | ||
Trading Companies & Distributors – 1.3% | ||
Applied Industrial Technologies, Inc. | 1,072 | 96,158 |
Boise Cascade Co. | 1,414 | 72,326 |
Global Industrial Co. | 1,333 | 52,680 |
MSC Industrial Direct Co., Inc. Class A | 1,097 | 97,820 |
Rush Enterprises, Inc. Class A | 1,600 | 75,184 |
SiteOne Landscape Supply, Inc. (a) | 804 | 140,523 |
Textainer Group Holdings Ltd. (a) | 3,167 | 102,231 |
Triton International Ltd. | 1,761 | 92,963 |
Watsco, Inc. | 563 | 159,014 |
888,899 | ||
TOTAL INDUSTRIALS | 11,942,340 | |
INFORMATION TECHNOLOGY – 13.9% | ||
Communications Equipment – 1.0% | ||
Ciena Corp. (a) | 2,595 | 150,873 |
F5 Networks, Inc. (a) | 943 | 194,739 |
Juniper Networks, Inc. | 5,614 | 157,978 |
Lumentum Holdings, Inc. (a) | 1,398 | 117,418 |
NETGEAR, Inc. (a) | 1,515 | 51,889 |
672,897 | ||
Electronic Equipment, Instruments & Components – 2.8% | ||
Advanced Energy Industries, Inc. | 877 | 90,989 |
Arrow Electronics, Inc. (a) | 1,398 | 165,761 |
Avnet, Inc. | 2,410 | 99,581 |
Badger Meter, Inc. | 827 | 83,552 |
CTS Corp. | 1,910 | 66,831 |
Fabrinet (a) | 1,004 | 94,898 |
| ||
Shares | Value | |
II-VI, Inc. (a) | 1,703 | $ 118,886 |
Insight Enterprises, Inc. (a) | 1,055 | 105,901 |
IPG Photonics Corp. (a) | 606 | 132,205 |
Jabil, Inc. | 2,732 | 162,663 |
Littelfuse, Inc. | 453 | 120,494 |
Methode Electronics, Inc. | 1,640 | 78,441 |
Novanta, Inc. (a) | 767 | 107,694 |
OSI Systems, Inc. (a) | 762 | 76,238 |
Plexus Corp. (a) | 934 | 84,359 |
Sanmina Corp. (a) | 2,173 | 83,487 |
SYNNEX Corp. | 1,032 | 123,365 |
Vishay Intertechnology, Inc. | 3,583 | 79,292 |
1,874,637 | ||
IT Services – 3.2% | ||
Alliance Data Systems Corp. | 1,176 | 109,662 |
Amdocs Ltd. | 2,116 | 163,165 |
Cass Information Systems, Inc. | 1,336 | 58,904 |
Concentrix Corp. (a) | 922 | 150,959 |
CSG Systems International, Inc. | 1,474 | 66,861 |
DXC Technology Co. (a) | 4,717 | 188,586 |
Euronet Worldwide, Inc. (a) | 974 | 139,107 |
EVERTEC, Inc. | 2,010 | 87,837 |
ExlService Holdings, Inc. (a) | 1,004 | 113,673 |
Genpact Ltd. | 3,186 | 158,695 |
International Money Express, Inc. (a) | 3,555 | 57,555 |
Jack Henry & Associates, Inc. | 1,169 | 203,511 |
LiveRamp Holdings, Inc. (a) | 1,343 | 53,733 |
MAXIMUS, Inc. | 1,341 | 119,349 |
Perficient, Inc. (a) | 1,223 | 115,317 |
Sykes Enterprises, Inc. (a) | 1,676 | 89,934 |
The Western Union Co. | 6,677 | 154,973 |
TTEC Holdings, Inc. | 800 | 83,600 |
Tucows, Inc. Class A (a) | 683 | 53,110 |
2,168,531 | ||
Semiconductors & Semiconductor Equipment – 2.5% | ||
Amkor Technology, Inc. | 4,183 | 103,069 |
Cirrus Logic, Inc. (a) | 1,206 | 99,604 |
CMC Materials, Inc. | 646 | 93,437 |
Diodes, Inc. (a) | 1,134 | 92,988 |
First Solar, Inc. (a) | 1,425 | 122,607 |
FormFactor, Inc. (a) | 2,002 | 74,594 |
Kulicke & Soffa Industries, Inc. | 1,994 | 108,394 |
Lattice Semiconductor Corp. (a) | 2,651 | 150,444 |
MKS Instruments, Inc. | 924 | 144,551 |
Photronics, Inc. (a) | 4,853 | 64,885 |
Power Integrations, Inc. | 1,244 | 120,656 |
Rambus, Inc. (a) | 3,904 | 92,369 |
Semtech Corp. (a) | 1,420 | 87,912 |
Silicon Laboratories, Inc. (a) | 848 | 126,343 |
SiTime Corp. (a) | 485 | 65,785 |
57 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY �� continued | ||
Semiconductors & Semiconductor Equipment – continued | ||
Universal Display Corp. | 692 | $ 162,267 |
1,709,905 | ||
Software – 4.3% | ||
ACI Worldwide, Inc. (a) | 2,507 | 85,990 |
Alarm.com Holdings, Inc. (a) | 998 | 83,053 |
Appfolio, Inc. Class A (a) | 497 | 70,375 |
Aspen Technology, Inc. (a) | 1,089 | 159,277 |
Blackline, Inc. (a) | 911 | 104,209 |
CDK Global, Inc. | 2,307 | 110,713 |
CommVault Systems, Inc. (a) | 1,295 | 97,889 |
Dolby Laboratories, Inc. Class A | 1,249 | 121,278 |
Dropbox, Inc. Class A (a) | 5,318 | 167,464 |
Five9, Inc. (a) | 1,023 | 205,920 |
Guidewire Software, Inc. (a) | 1,382 | 159,206 |
InterDigital, Inc. | 1,070 | 70,502 |
j2 Global, Inc. (a) | 950 | 134,206 |
Manhattan Associates, Inc. (a) | 1,123 | 179,264 |
Mitek Systems, Inc. (a) | 3,762 | 83,178 |
Paylocity Holding Corp. (a) | 685 | 142,110 |
Progress Software Corp. | 1,684 | 76,774 |
Proofpoint, Inc. (a) | 1,024 | 178,852 |
Qualys, Inc. (a) | 764 | 77,592 |
SailPoint Technologies Holding, Inc. (a) | 1,843 | 92,132 |
SPS Commerce, Inc. (a) | 856 | 93,261 |
Verint Systems, Inc. (a) | 1,668 | 71,174 |
VMware, Inc. Class A (a) | 1,274 | 195,865 |
Vonage Holdings Corp. (a) | 5,641 | 80,441 |
Xperi Holding Corp. | 3,628 | 75,354 |
2,916,079 | ||
Technology Hardware, Storage & Peripherals – 0.1% | ||
Xerox Holdings Corp. | 3,895 | 93,986 |
TOTAL INFORMATION TECHNOLOGY | 9,436,035 | |
MATERIALS – 4.9% | ||
Chemicals – 1.9% | ||
Balchem Corp. | 830 | 111,959 |
Chase Corp. | 591 | 68,869 |
FutureFuel Corp. | 4,027 | 34,230 |
Minerals Technologies, Inc. | 1,202 | 96,425 |
NewMarket Corp. | 207 | 65,393 |
RPM International, Inc. | 2,051 | 177,596 |
Sensient Technologies Corp. | 1,168 | 101,826 |
Stepan Co. | 681 | 80,324 |
The Chemours Co. | 3,800 | 126,350 |
The Scotts Miracle-Gro Co. | 665 | 117,678 |
Trinseo S.A. | 1,436 | 78,061 |
Valvoline, Inc. | 4,229 | 129,746 |
| ||
Shares | Value | |
Westlake Chemical Corp. | 1,010 | $ 83,749 |
1,272,206 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 922 | 130,297 |
Containers & Packaging – 1.3% | ||
AptarGroup, Inc. | 1,105 | 142,457 |
Berry Global Group, Inc. (a) | 2,528 | 162,525 |
Sealed Air Corp. | 2,926 | 166,050 |
Silgan Holdings, Inc. | 2,289 | 92,750 |
Sonoco Products Co. | 2,004 | 127,835 |
Westrock Co. | 4,132 | 203,336 |
894,953 | ||
Metals & Mining – 1.3% | ||
Arconic Corp. (a) | 3,048 | 109,545 |
Commercial Metals Co. | 3,974 | 130,347 |
Reliance Steel & Aluminum Co. | 1,133 | 178,051 |
Royal Gold, Inc. | 1,244 | 151,171 |
Steel Dynamics, Inc. | 3,648 | 235,114 |
Worthington Industries, Inc. | 1,367 | 87,447 |
891,675 | ||
Paper & Forest Products – 0.2% | ||
Clearwater Paper Corp. (a) | 1,540 | 45,414 |
Schweitzer-Mauduit International, Inc. | 1,772 | 69,693 |
115,107 | ||
TOTAL MATERIALS | 3,304,238 | |
REAL ESTATE – 8.8% | ||
Equity Real Estate Investment Trusts (REITs) – 8.6% | ||
Agree Realty Corp. | 1,474 | 110,771 |
American Campus Communities, Inc. | 2,750 | 138,352 |
American Homes 4 Rent Class A | 4,818 | 202,356 |
Americold Realty Trust | 3,756 | 145,921 |
Apartment Income REIT Corp. | 2,969 | 156,288 |
Apartment Investment and Management Co. Class A | 12,569 | 87,480 |
Brandywine Realty Trust | 6,564 | 91,633 |
Camden Property Trust | 1,583 | 236,484 |
CareTrust REIT, Inc. | 3,324 | 80,175 |
CoreSite Realty Corp. | 850 | 117,478 |
Corporate Office Properties Trust | 3,221 | 94,826 |
Cousins Properties, Inc. | 3,280 | 130,282 |
CubeSmart | 3,652 | 181,358 |
EastGroup Properties, Inc. | 817 | 143,972 |
Equity Commonwealth | 3,153 | 82,892 |
Equity Lifestyle Properties, Inc. | 2,707 | 226,847 |
First Industrial Realty Trust, Inc. | 2,686 | 147,139 |
Four Corners Property Trust, Inc. | 2,675 | 76,799 |
Gaming and Leisure Properties, Inc. | 3,672 | 173,832 |
Getty Realty Corp. | 2,328 | 73,542 |
Global Net Lease, Inc. | 4,163 | 76,891 |
Annual Report | 58 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Healthcare Realty Trust, Inc. | 3,204 | $ 102,144 |
Highwoods Properties, Inc. | 2,472 | 117,890 |
Industrial Logistics Properties Trust | 3,201 | 86,747 |
Kilroy Realty Corp. | 2,037 | 141,103 |
Kimco Realty Corp. | 8,176 | 174,394 |
Lamar Advertising Co. Class A | 1,561 | 166,403 |
Lexington Realty Trust | 8,067 | 106,081 |
Life Storage, Inc. | 1,436 | 168,529 |
LTC Properties, Inc. | 1,770 | 66,995 |
National Health Investors, Inc. | 1,282 | 87,471 |
National Retail Properties, Inc. | 3,359 | 164,154 |
Omega Healthcare Investors, Inc. | 3,900 | 141,492 |
Physicians Realty Trust | 5,164 | 97,858 |
Piedmont Office Realty Trust, Inc. Class A | 4,781 | 90,935 |
PotlatchDeltic Corp. | 1,807 | 93,856 |
PS Business Parks, Inc. | 608 | 93,431 |
Regency Centers Corp. | 2,841 | 185,830 |
Rexford Industrial Realty, Inc. | 2,566 | 157,860 |
Sabra Health Care REIT, Inc. | 5,292 | 98,378 |
STAG Industrial, Inc. | 3,355 | 138,629 |
STORE Capital Corp. | 4,243 | 153,554 |
Terreno Realty Corp. | 1,652 | 112,931 |
Weingarten Realty Investors | 3,564 | 114,725 |
WP Carey, Inc. | 2,706 | 218,347 |
5,855,055 | ||
Real Estate Management & Development – 0.2% | ||
RE/MAX Holdings, Inc. Class A | 1,550 | 53,165 |
The RMR Group, Inc. Class A | 1,490 | 58,468 |
111,633 | ||
TOTAL REAL ESTATE | 5,966,688 | |
UTILITIES – 3.1% | ||
Electric Utilities – 1.6% | ||
Avangrid, Inc. (b) | 1,613 | 84,102 |
Hawaiian Electric Industries, Inc. | 2,621 | 113,594 |
IDACORP, Inc. | 1,101 | 116,101 |
MGE Energy, Inc. | 1,161 | 90,697 |
NRG Energy, Inc. | 3,854 | 158,939 |
OGE Energy Corp. | 3,791 | 127,946 |
Otter Tail Corp. | 1,646 | 83,601 |
Pinnacle West Capital Corp. | 1,860 | 155,403 |
Portland General Electric Co. | 2,157 | 105,477 |
Spark Energy, Inc. Class A | 4,564 | 50,797 |
1,086,657 | ||
Gas Utilities – 0.9% | ||
Atmos Energy Corp. | 1,930 | 190,279 |
| ||
Shares | Value | |
National Fuel Gas Co. | 2,184 | $ 112,323 |
Southwest Gas Holdings, Inc. | 1,439 | 100,629 |
UGI Corp. | 3,621 | 166,530 |
569,761 | ||
Independent Power and Renewable Electricity Producers – 0.3% | ||
Clearway Energy, Inc. Class C | 2,666 | 76,461 |
Vistra Corp. | 7,667 | 146,823 |
223,284 | ||
Multi-Utilities – 0.3% | ||
MDU Resources Group, Inc. | 4,013 | 127,292 |
NorthWestern Corp. | 1,474 | 91,373 |
218,665 | ||
TOTAL UTILITIES | 2,098,367 | |
TOTAL COMMON STOCKS (Cost $60,072,142) | 67,918,335 | |
Money Market Funds – 0.2% | ||
Fidelity Cash Central Fund, 0.06% (d) | 25,833 | 25,839 |
Fidelity Securities Lending Cash Central Fund, 0.06% (d)(e) | 92,816 | 92,825 |
TOTAL MONEY MARKET FUNDS (Cost $118,664) | 118,664 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $60,190,806) | 68,036,999 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (97,861) | |
NET ASSETS – 100.0% | $ 67,939,138 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $56,053 or 0.1% of net assets. | |
(d) | 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. | |
(e) | Investment made with cash collateral received from securities on loan. |
59 | Annual Report |
Fund | Income earned |
Fidelity Cash Central Fund | $21 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $- | $1,963,586 | $1,937,747 | $- | $- | $ 25,839 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | - | 161,650 | 68,825 | - | - | 92,825 | 0.0% | |||||
Total | $- | $2,125,236 | $2,006,572 | $- | $- | $118,664 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 2,210,155 | $ 2,210,155 | $ — | $ — | ||||
Consumer Discretionary | 9,671,253 | 9,671,253 | — | — | ||||
Consumer Staples | 2,205,128 | 2,205,128 | — | — | ||||
Energy | 1,582,815 | 1,582,815 | — | — | ||||
Financials | 10,787,910 | 10,787,910 | — | — | ||||
Health Care | 8,713,406 | 8,713,406 | — | — | ||||
Industrials | 11,942,340 | 11,942,340 | — | — | ||||
Information Technology | 9,436,035 | 9,436,035 | — | — | ||||
Materials | 3,304,238 | 3,304,238 | — | — | ||||
Real Estate | 5,966,688 | 5,966,688 | — | — | ||||
Utilities | 2,098,367 | 2,098,367 | — | — | ||||
Money Market Funds | 118,664 | 118,664 | — | — | ||||
Total Investments in Securities: | $ 68,036,999 | $ 68,036,999 | $ — | $ — |
Annual Report | 60 |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.7% | ||
Entertainment – 0.7% | ||
Activision Blizzard, Inc. | 1,397 | $ 116,817 |
Electronic Arts, Inc. | 796 | 114,592 |
Take-Two Interactive Software, Inc. (a) | 504 | 87,404 |
318,813 | ||
Interactive Media & Services – 4.0% | ||
Alphabet, Inc. Class A (a) | 379 | 1,021,227 |
Facebook, Inc. Class A (a) | 1,701 | 606,066 |
Match Group, Inc. (a) | 791 | 125,983 |
Zillow Group, Inc. Class C (a) | 720 | 76,507 |
1,829,783 | ||
Media – 1.0% | ||
Comcast Corp. Class A | 4,353 | 256,087 |
Fox Corp. Class A | 3,214 | 114,611 |
ViacomCBS, Inc. Class B | 2,035 | 83,293 |
453,991 | ||
TOTAL COMMUNICATION SERVICES | 2,602,587 | |
CONSUMER DISCRETIONARY – 8.0% | ||
Diversified Consumer Services – 0.5% | ||
Grand Canyon Education, Inc. (a) | 2,317 | 214,021 |
Hotels, Restaurants & Leisure – 1.4% | ||
Domino's Pizza, Inc. | 565 | 296,902 |
McDonald's Corp. | 1,454 | 352,900 |
649,802 | ||
Household Durables – 0.6% | ||
Lennar Corp. Class A | 2,548 | 267,922 |
Internet & Direct Marketing Retail – 1.4% | ||
Etsy, Inc. (a) | 1,042 | 191,217 |
Qurate Retail, Inc. Class A | 16,374 | 194,196 |
Stamps.com, Inc. (a) | 863 | 281,994 |
667,407 | ||
Multiline Retail – 1.4% | ||
Dollar General Corp. | 1,190 | 276,842 |
Target Corp. | 1,423 | 371,474 |
648,316 | ||
Specialty Retail – 2.7% | ||
AutoNation, Inc. (a) | 2,721 | 330,139 |
Best Buy Co., Inc. | 1,978 | 222,228 |
Lithia Motors, Inc. | 613 | 231,236 |
The Home Depot, Inc. | 1,446 | 474,563 |
1,258,166 | ||
TOTAL CONSUMER DISCRETIONARY | 3,705,634 | |
CONSUMER STAPLES – 10.1% | ||
Household Products – 5.2% | ||
Colgate-Palmolive Co. | 8,499 | 675,670 |
Kimberly-Clark Corp. | 4,879 | 662,178 |
| ||
Shares | Value | |
The Procter & Gamble Co. | 7,329 | $ 1,042,404 |
2,380,252 | ||
Personal Products – 1.2% | ||
Herbalife Nutrition Ltd. (a) | 11,102 | 565,536 |
Tobacco – 3.7% | ||
Altria Group, Inc. | 16,264 | 781,323 |
Philip Morris International, Inc. | 9,147 | 915,523 |
1,696,846 | ||
TOTAL CONSUMER STAPLES | 4,642,634 | |
ENERGY – 7.0% | ||
Oil, Gas & Consumable Fuels – 7.0% | ||
EQT Corp. (a) | 84,171 | 1,547,905 |
The Williams Cos., Inc. | 67,342 | 1,686,917 |
TOTAL ENERGY | 3,234,822 | |
FINANCIALS – 6.0% | ||
Banks – 0.6% | ||
SVB Financial Group (a) | 460 | 252,982 |
Capital Markets – 2.4% | ||
Affiliated Managers Group, Inc. | 1,839 | 291,371 |
Ameriprise Financial, Inc. | 1,075 | 276,877 |
Evercore, Inc. Class A | 1,732 | 228,970 |
MSCI, Inc. | 537 | 320,031 |
1,117,249 | ||
Consumer Finance – 2.0% | ||
Capital One Financial Corp. | 2,157 | 348,787 |
Discover Financial Services | 2,517 | 312,913 |
Synchrony Financial | 5,947 | 279,628 |
941,328 | ||
Insurance – 0.6% | ||
The Progressive Corp. | 2,672 | 254,268 |
Mortgage Real Estate Investment Trusts (REITs) – 0.4% | ||
AGNC Investment Corp. | 12,960 | 205,675 |
TOTAL FINANCIALS | 2,771,502 | |
HEALTH CARE – 17.7% | ||
Biotechnology – 2.6% | ||
Biogen, Inc. (a) | 2,051 | 670,123 |
United Therapeutics Corp. (a) | 2,967 | 539,787 |
1,209,910 | ||
Health Care Equipment & Supplies – 1.7% | ||
Hologic, Inc. (a) | 6,305 | 473,127 |
Quidel Corp. (a) | 2,136 | 302,180 |
775,307 | ||
Health Care Providers & Services – 6.0% | ||
Anthem, Inc. | 1,936 | 743,443 |
HCA Healthcare, Inc. | 3,158 | 783,816 |
McKesson Corp. | 2,907 | 592,534 |
61 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
Molina Healthcare, Inc. (a) | 2,422 | $ 661,230 |
2,781,023 | ||
Life Sciences Tools & Services – 7.4% | ||
Agilent Technologies, Inc. | 4,393 | 673,139 |
Bio-Rad Laboratories, Inc. Class A (a) | 862 | 637,458 |
Mettler-Toledo International, Inc. (a) | 443 | 652,853 |
PerkinElmer, Inc. | 3,672 | 669,149 |
Thermo Fisher Scientific, Inc. | 1,424 | 768,974 |
3,401,573 | ||
TOTAL HEALTH CARE | 8,167,813 | |
INDUSTRIALS – 4.0% | ||
Air Freight & Logistics – 1.5% | ||
Expeditors International of Washington, Inc. | 1,737 | 222,770 |
FedEx Corp. | 738 | 206,603 |
United Parcel Service, Inc. Class B | 1,277 | 244,367 |
673,740 | ||
Construction & Engineering – 0.4% | ||
Quanta Services, Inc. | 2,104 | 191,254 |
Machinery – 0.3% | ||
Cummins, Inc. | 710 | 164,791 |
Professional Services – 0.4% | ||
ManpowerGroup, Inc. | 1,718 | 203,720 |
Road & Rail – 0.5% | ||
Old Dominion Freight Line, Inc. | 808 | 217,473 |
Trading Companies & Distributors – 0.9% | ||
United Rentals, Inc. (a) | 636 | 209,594 |
WW Grainger, Inc. | 433 | 192,503 |
402,097 | ||
TOTAL INDUSTRIALS | 1,853,075 | |
INFORMATION TECHNOLOGY – 23.1% | ||
Electronic Equipment, Instruments & Components – 0.3% | ||
Arrow Electronics, Inc. (a) | 1,230 | 145,841 |
IT Services – 3.3% | ||
Accenture PLC Class A | 1,032 | 327,846 |
Cognizant Technology Solutions Corp. Class A | 1,940 | 142,648 |
Mastercard, Inc. Class A | 1,133 | 437,270 |
Paychex, Inc. | 1,576 | 179,380 |
PayPal Holdings, Inc. (a) | 1,506 | 414,948 |
1,502,092 | ||
Semiconductors & Semiconductor Equipment – 6.2% | ||
Applied Materials, Inc. | 1,977 | 276,642 |
Broadcom, Inc. | 610 | 296,094 |
Intel Corp. | 5,666 | 304,378 |
| ||
Shares | Value | |
KLA Corp. | 549 | $ 191,140 |
Lam Research Corp. | 358 | 228,193 |
NVIDIA Corp. | 3,066 | 597,839 |
Qorvo, Inc. (a) | 762 | 144,468 |
QUALCOMM, Inc. | 1,724 | 258,255 |
Skyworks Solutions, Inc. | 795 | 146,685 |
Teradyne, Inc. | 1,112 | 141,224 |
Texas Instruments, Inc. | 1,507 | 287,264 |
2,872,182 | ||
Software – 8.5% | ||
Adobe, Inc. (a) | 670 | 416,492 |
Cadence Design Systems, Inc. (a) | 1,110 | 163,891 |
Digital Turbine, Inc. (a) | 1,869 | 117,654 |
Microsoft Corp. | 7,224 | 2,058,190 |
Oracle Corp. | 3,559 | 310,131 |
ServiceNow, Inc. (a) | 375 | 220,459 |
The Trade Desk, Inc. Class A (a) | 1,758 | 143,998 |
VMware, Inc. Class A (a) | 888 | 136,521 |
Zoom Video Communications, Inc. Class A (a) | 487 | 184,135 |
Zscaler, Inc. (a) | 620 | 146,264 |
3,897,735 | ||
Technology Hardware, Storage & Peripherals – 4.8% | ||
Apple, Inc. | 15,127 | 2,206,424 |
TOTAL INFORMATION TECHNOLOGY | 10,624,274 | |
MATERIALS – 7.8% | ||
Chemicals – 2.7% | ||
The Chemours Co. | 37,914 | 1,260,640 |
Construction Materials – 2.7% | ||
Eagle Materials, Inc. | 8,648 | 1,222,135 |
Metals & Mining – 2.4% | ||
Newmont Corp. | 17,836 | 1,120,458 |
TOTAL MATERIALS | 3,603,233 | |
REAL ESTATE – 6.4% | ||
Equity Real Estate Investment Trusts (REITs) – 6.4% | ||
Extra Space Storage, Inc. | 6,212 | 1,081,758 |
Public Storage | 3,210 | 1,003,061 |
VICI Properties, Inc. | 27,033 | 843,159 |
TOTAL REAL ESTATE | 2,927,978 | |
UTILITIES – 4.1% | ||
Electric Utilities – 2.9% | ||
NextEra Energy, Inc. | 9,469 | 737,635 |
NRG Energy, Inc. | 14,632 | 603,423 |
1,341,058 |
Annual Report | 62 |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Independent Power and Renewable Electricity Producers – 1.2% | ||
Vistra Corp. | 29,172 | $ 558,644 |
TOTAL UTILITIES | 1,899,702 | |
TOTAL COMMON STOCKS (Cost $43,134,800) | 46,033,254 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $43,134,800) | 46,033,254 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 49,500 | |
NET ASSETS – 100.0% | $ 46,082,754 |
Legend | ||
(a) | Non-income producing. |
Fund | Income earned |
Fidelity Cash Central Fund | $3 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $- | $357,304 | $357,304 | $- | $- | $- | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 2,602,587 | $ 2,602,587 | $ — | $ — | ||||
Consumer Discretionary | 3,705,634 | 3,705,634 | — | — | ||||
Consumer Staples | 4,642,634 | 4,642,634 | — | — | ||||
Energy | 3,234,822 | 3,234,822 | — | — | ||||
Financials | 2,771,502 | 2,771,502 | — | — | ||||
Health Care | 8,167,813 | 8,167,813 | — | — | ||||
Industrials | 1,853,075 | 1,853,075 | — | — | ||||
Information Technology | 10,624,274 | 10,624,274 | — | — | ||||
Materials | 3,603,233 | 3,603,233 | — | — | ||||
Real Estate | 2,927,978 | 2,927,978 | — | — | ||||
Utilities | 1,899,702 | 1,899,702 | — | — | ||||
Total Investments in Securities: | $ 46,033,254 | $ 46,033,254 | $ — | $ — |
63 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.7% | ||
Diversified Telecommunication Services – 0.8% | ||
Verizon Communications, Inc. | 1,752 | $ 97,727 |
Entertainment – 1.2% | ||
Activision Blizzard, Inc. | 597 | 49,921 |
Electronic Arts, Inc. | 336 | 48,370 |
Take-Two Interactive Software, Inc. (a) | 211 | 36,592 |
134,883 | ||
Interactive Media & Services – 6.9% | ||
Alphabet, Inc. Class A (a) | 173 | 466,153 |
Facebook, Inc. Class A (a) | 769 | 273,995 |
Match Group, Inc. (a) | 333 | 53,037 |
793,185 | ||
Media – 1.8% | ||
Cable One, Inc. | 19 | 35,872 |
Comcast Corp. Class A | 1,932 | 113,659 |
The Interpublic Group of Cos., Inc. | 1,535 | 54,278 |
203,809 | ||
TOTAL COMMUNICATION SERVICES | 1,229,604 | |
CONSUMER DISCRETIONARY – 13.6% | ||
Diversified Consumer Services – 1.6% | ||
Grand Canyon Education, Inc. (a) | 922 | 85,165 |
Service Corp. International | 1,617 | 101,047 |
186,212 | ||
Hotels, Restaurants & Leisure – 3.2% | ||
Domino's Pizza, Inc. | 225 | 118,235 |
McDonald's Corp. | 580 | 140,772 |
Yum! Brands, Inc. | 846 | 111,156 |
370,163 | ||
Household Durables – 1.8% | ||
Lennar Corp. Class A | 1,015 | 106,727 |
PulteGroup, Inc. | 1,801 | 98,821 |
205,548 | ||
Internet & Direct Marketing Retail – 1.0% | ||
Stamps.com, Inc. (a) | 344 | 112,405 |
Multiline Retail – 2.3% | ||
Dollar General Corp. | 474 | 110,272 |
Target Corp. | 565 | 147,493 |
257,765 | ||
Specialty Retail – 3.7% | ||
AutoZone, Inc. (a) | 73 | 118,521 |
O'Reilly Automotive, Inc. (a) | 201 | 121,372 |
The Home Depot, Inc. | 576 | 189,037 |
428,930 | ||
TOTAL CONSUMER DISCRETIONARY | 1,561,023 |
| ||
Shares | Value | |
CONSUMER STAPLES – 5.2% | ||
Household Products – 3.3% | ||
Colgate-Palmolive Co. | 1,014 | $ 80,613 |
Kimberly-Clark Corp. | 560 | 76,003 |
The Clorox Co. | 338 | 61,141 |
The Procter & Gamble Co. | 1,134 | 161,289 |
379,046 | ||
Tobacco – 1.9% | ||
Altria Group, Inc. | 1,982 | 95,215 |
Philip Morris International, Inc. | 1,184 | 118,507 |
213,722 | ||
TOTAL CONSUMER STAPLES | 592,768 | |
ENERGY – 2.3% | ||
Oil, Gas & Consumable Fuels – 2.3% | ||
Exxon Mobil Corp. | 2,799 | 161,138 |
Kinder Morgan, Inc. | 6,150 | 106,887 |
TOTAL ENERGY | 268,025 | |
FINANCIALS – 10.7% | ||
Capital Markets – 5.8% | ||
Ameriprise Financial, Inc. | 496 | 127,750 |
FactSet Research Systems, Inc. | 309 | 110,400 |
MSCI, Inc. | 247 | 147,202 |
S&P Global, Inc. | 354 | 151,767 |
T Rowe Price Group, Inc. | 652 | 133,112 |
670,231 | ||
Insurance – 3.2% | ||
Aflac, Inc. | 2,216 | 121,880 |
American Financial Group, Inc. | 1,026 | 129,779 |
The Progressive Corp. | 1,234 | 117,427 |
369,086 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.8% | ||
AGNC Investment Corp. | 5,987 | 95,014 |
Thrifts & Mortgage Finance – 0.9% | ||
Essent Group Ltd. | 2,248 | 101,542 |
TOTAL FINANCIALS | 1,235,873 | |
HEALTH CARE – 13.6% | ||
Biotechnology – 4.1% | ||
Amgen, Inc. | 446 | 107,727 |
Biogen, Inc. (a) | 305 | 99,653 |
Gilead Sciences, Inc. | 1,406 | 96,016 |
Regeneron Pharmaceuticals, Inc. (a) | 169 | 97,109 |
United Therapeutics Corp. (a) | 423 | 76,956 |
477,461 | ||
Health Care Equipment & Supplies – 0.9% | ||
ResMed, Inc. | 380 | 103,284 |
Health Care Providers & Services – 1.8% | ||
HCA Healthcare, Inc. | 471 | 116,902 |
Annual Report | 64 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
Universal Health Services, Inc. Class B | 558 | $ 89,509 |
206,411 | ||
Life Sciences Tools & Services – 0.8% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 123 | 90,960 |
Pharmaceuticals – 6.0% | ||
Bristol-Myers Squibb Co. | 1,716 | 116,465 |
Eli Lilly & Co. | 562 | 136,847 |
Johnson & Johnson | 1,124 | 193,553 |
Merck & Co., Inc. | 1,563 | 120,148 |
Organon & Co. | 156 | 4,525 |
Zoetis, Inc. | 573 | 116,147 |
687,685 | ||
TOTAL HEALTH CARE | 1,565,801 | |
INDUSTRIALS – 9.3% | ||
Air Freight & Logistics – 2.3% | ||
Expeditors International of Washington, Inc. | 1,004 | 128,763 |
United Parcel Service, Inc. Class B | 734 | 140,458 |
269,221 | ||
Building Products – 0.9% | ||
AO Smith Corp. | 1,562 | 109,855 |
Commercial Services & Supplies – 0.8% | ||
Rollins, Inc. | 2,441 | 93,564 |
Construction & Engineering – 1.0% | ||
Quanta Services, Inc. | 1,215 | 110,443 |
Machinery – 1.8% | ||
Cummins, Inc. | 409 | 94,929 |
Snap-on, Inc. | 507 | 110,516 |
205,445 | ||
Professional Services – 0.4% | ||
Booz Allen Hamilton Holding Corp. | 517 | 44,364 |
Road & Rail – 1.1% | ||
Old Dominion Freight Line, Inc. | 468 | 125,962 |
Trading Companies & Distributors – 1.0% | ||
WW Grainger, Inc. | 250 | 111,145 |
TOTAL INDUSTRIALS | 1,069,999 | |
INFORMATION TECHNOLOGY – 26.7% | ||
IT Services – 8.5% | ||
Accenture PLC Class A | 325 | 103,246 |
Akamai Technologies, Inc. (a) | 396 | 47,488 |
Amdocs Ltd. | 561 | 43,259 |
Automatic Data Processing, Inc. | 351 | 73,580 |
Cognizant Technology Solutions Corp. Class A | 636 | 46,765 |
Jack Henry & Associates, Inc. | 284 | 49,442 |
| ||
Shares | Value | |
Mastercard, Inc. Class A | 349 | $ 134,693 |
MAXIMUS, Inc. | 535 | 47,615 |
Paychex, Inc. | 521 | 59,300 |
PayPal Holdings, Inc. (a) | 464 | 127,846 |
The Western Union Co. | 1,839 | 42,683 |
VeriSign, Inc. (a) | 226 | 48,900 |
Visa, Inc. Class A | 641 | 157,936 |
982,753 | ||
Semiconductors & Semiconductor Equipment – 3.0% | ||
Intel Corp. | 1,759 | 94,493 |
KLA Corp. | 178 | 61,972 |
Power Integrations, Inc. | 492 | 47,719 |
Skyworks Solutions, Inc. | 263 | 48,526 |
Texas Instruments, Inc. | 475 | 90,545 |
343,255 | ||
Software – 9.0% | ||
Adobe, Inc. (a) | 208 | 129,299 |
Cadence Design Systems, Inc. (a) | 366 | 54,040 |
Citrix Systems, Inc. | 330 | 33,247 |
Microsoft Corp. | 2,148 | 611,987 |
Oracle Corp. | 1,132 | 98,642 |
VMware, Inc. Class A (a) | 298 | 45,815 |
Zoom Video Communications, Inc. Class A (a) | 157 | 59,362 |
1,032,392 | ||
Technology Hardware, Storage & Peripherals – 6.2% | ||
Apple, Inc. | 4,491 | 655,057 |
HP, Inc. | 1,926 | 55,604 |
710,661 | ||
TOTAL INFORMATION TECHNOLOGY | 3,069,061 | |
MATERIALS – 2.4% | ||
Construction Materials – 0.8% | ||
Eagle Materials, Inc. | 684 | 96,663 |
Containers & Packaging – 0.8% | ||
Packaging Corp. of America | 604 | 85,466 |
Metals & Mining – 0.8% | ||
Newmont Corp. | 1,539 | 96,680 |
TOTAL MATERIALS | 278,809 | |
REAL ESTATE – 3.2% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
Extra Space Storage, Inc. | 806 | 140,357 |
Medical Properties Trust, Inc. | 4,250 | 89,377 |
Public Storage | 427 | 133,429 |
TOTAL REAL ESTATE | 363,163 | |
UTILITIES – 2.1% | ||
Electric Utilities – 0.9% | ||
NextEra Energy, Inc. | 1,293 | 100,725 |
65 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Independent Power and Renewable Electricity Producers – 0.5% | ||
Vistra Corp. | 3,166 | $ 60,629 |
Multi-Utilities – 0.7% | ||
Public Service Enterprise Group, Inc. | 1,245 | 77,476 |
TOTAL UTILITIES | 238,830 | |
TOTAL COMMON STOCKS (Cost $10,170,967) | 11,472,956 | |
Money Market Fund – 0.1% | ||
Fidelity Cash Central Fund, 0.06% (b) (Cost $7,306) | 7,305 | 7,306 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $10,178,273) | 11,480,262 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 11,144 | |
NET ASSETS – 100.0% | $ 11,491,406 |
Legend | ||
(a) | Non-income producing. | |
(b) | 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. |
Fund | Income earned |
Fidelity Cash Central Fund | $2 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $- | $284,151 | $276,845 | $- | $- | $7,306 | 0.0% |
Annual Report | 66 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 1,229,604 | $ 1,229,604 | $ — | $ — | ||||
Consumer Discretionary | 1,561,023 | 1,561,023 | — | — | ||||
Consumer Staples | 592,768 | 592,768 | — | — | ||||
Energy | 268,025 | 268,025 | — | — | ||||
Financials | 1,235,873 | 1,235,873 | — | — | ||||
Health Care | 1,565,801 | 1,565,801 | — | — | ||||
Industrials | 1,069,999 | 1,069,999 | — | — | ||||
Information Technology | 3,069,061 | 3,069,061 | — | — | ||||
Materials | 278,809 | 278,809 | — | — | ||||
Real Estate | 363,163 | 363,163 | — | — | ||||
Utilities | 238,830 | 238,830 | — | — | ||||
Money Market Fund | 7,306 | 7,306 | — | — | ||||
Total Investments in Securities: | $ 11,480,262 | $ 11,480,262 | $ — | $ — |
67 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.9% | ||
Diversified Telecommunication Services – 1.7% | ||
AT&T, Inc. | 134,809 | $3,781,393 |
Verizon Communications, Inc. | 74,622 | 4,162,415 |
7,943,808 | ||
Interactive Media & Services – 6.7% | ||
Alphabet, Inc. Class A (a) | 7,005 | 18,875,183 |
Facebook, Inc. Class A (a) | 31,500 | 11,223,450 |
30,098,633 | ||
Media – 2.5% | ||
Comcast Corp. Class A | 81,776 | 4,810,882 |
DISH Network Corp. Class A (a) | 58,846 | 2,465,059 |
Fox Corp. Class A | 62,171 | 2,217,018 |
ViacomCBS, Inc. Class B | 39,208 | 1,604,783 |
11,097,742 | ||
TOTAL COMMUNICATION SERVICES | 49,140,183 | |
CONSUMER DISCRETIONARY – 12.3% | ||
Automobiles – 0.7% | ||
Ford Motor Co. (a) | 232,869 | 3,248,522 |
Diversified Consumer Services – 1.1% | ||
Grand Canyon Education, Inc. (a) | 24,899 | 2,299,921 |
Service Corp. International | 43,976 | 2,748,060 |
5,047,981 | ||
Hotels, Restaurants & Leisure – 1.0% | ||
McDonald's Corp. | 18,067 | 4,385,042 |
Household Durables – 1.9% | ||
D.R. Horton, Inc. | 31,569 | 3,012,630 |
Lennar Corp. Class A | 28,187 | 2,963,863 |
PulteGroup, Inc. | 49,222 | 2,700,811 |
8,677,304 | ||
Internet & Direct Marketing Retail – 3.8% | ||
Amazon.com, Inc. (a) | 5,083 | 16,914,140 |
Multiline Retail – 1.0% | ||
Target Corp. | 16,837 | 4,395,299 |
Specialty Retail – 2.8% | ||
Best Buy Co., Inc. | 21,911 | 2,461,701 |
Lowe's Cos., Inc. | 20,295 | 3,910,643 |
The Home Depot, Inc. | 19,051 | 6,252,348 |
12,624,692 | ||
TOTAL CONSUMER DISCRETIONARY | 55,292,980 | |
CONSUMER STAPLES – 5.3% | ||
Beverages – 0.3% | ||
Molson Coors Beverage Co. Class B (a) | 31,498 | 1,539,937 |
Food & Staples Retailing – 1.3% | ||
The Kroger Co. | 51,002 | 2,075,781 |
| ||
Shares | Value | |
Walmart, Inc. | 24,752 | $ 3,528,398 |
5,604,179 | ||
Food Products – 0.8% | ||
Ingredion, Inc. | 18,230 | 1,600,776 |
Tyson Foods, Inc. Class A | 25,332 | 1,810,225 |
3,411,001 | ||
Household Products – 1.6% | ||
Kimberly-Clark Corp. | 14,555 | 1,975,405 |
The Procter & Gamble Co. | 37,108 | 5,277,871 |
7,253,276 | ||
Tobacco – 1.3% | ||
Altria Group, Inc. | 54,058 | 2,596,946 |
Philip Morris International, Inc. | 34,378 | 3,440,894 |
6,037,840 | ||
TOTAL CONSUMER STAPLES | 23,846,233 | |
ENERGY – 2.4% | ||
Oil, Gas & Consumable Fuels – 2.4% | ||
Chevron Corp. | 28,177 | 2,868,700 |
ConocoPhillips | 30,860 | 1,730,012 |
EOG Resources, Inc. | 19,035 | 1,386,890 |
Exxon Mobil Corp. | 59,279 | 3,412,692 |
Kinder Morgan, Inc. | 71,140 | 1,236,413 |
TOTAL ENERGY | 10,634,707 | |
FINANCIALS – 11.2% | ||
Banks – 3.2% | ||
Bank of America Corp. | 145,300 | 5,573,708 |
Citigroup, Inc. | 55,820 | 3,774,548 |
Wells Fargo & Co. | 108,856 | 5,000,845 |
14,349,101 | ||
Capital Markets – 2.2% | ||
Ameriprise Financial, Inc. | 11,561 | 2,977,651 |
Raymond James Financial, Inc. | 21,044 | 2,724,777 |
The Goldman Sachs Group, Inc. | 10,808 | 4,051,703 |
9,754,131 | ||
Consumer Finance – 1.5% | ||
Capital One Financial Corp. | 24,222 | 3,916,697 |
Synchrony Financial | 63,441 | 2,982,996 |
6,899,693 | ||
Diversified Financial Services – 1.8% | ||
Berkshire Hathaway, Inc. Class B (a) | 29,215 | 8,130,243 |
Insurance – 1.9% | ||
Aflac, Inc. | 52,276 | 2,875,180 |
MetLife, Inc. | 50,234 | 2,898,502 |
The Allstate Corp. | 22,310 | 2,901,415 |
8,675,097 |
Annual Report | 68 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – 0.6% | ||
MGIC Investment Corp. | 179,343 | $ 2,482,107 |
TOTAL FINANCIALS | 50,290,372 | |
HEALTH CARE – 13.1% | ||
Biotechnology – 1.5% | ||
Biogen, Inc. (a) | 10,468 | 3,420,209 |
Gilead Sciences, Inc. | 49,244 | 3,362,873 |
6,783,082 | ||
Health Care Providers & Services – 6.2% | ||
Anthem, Inc. | 10,413 | 3,998,696 |
CVS Health Corp. | 45,512 | 3,748,368 |
HCA Healthcare, Inc. | 16,238 | 4,030,272 |
Humana, Inc. | 7,519 | 3,202,041 |
McKesson Corp. | 14,540 | 2,963,688 |
UnitedHealth Group, Inc. | 16,785 | 6,919,113 |
Universal Health Services, Inc. Class B | 18,833 | 3,021,002 |
27,883,180 | ||
Life Sciences Tools & Services – 0.7% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 4,169 | 3,083,017 |
Pharmaceuticals – 4.7% | ||
Bristol-Myers Squibb Co. | 61,170 | 4,151,608 |
Johnson & Johnson | 41,941 | 7,222,240 |
Merck & Co., Inc. | 56,537 | 4,345,999 |
Organon & Co. | 5,649 | 163,878 |
Pfizer, Inc. | 124,883 | 5,346,241 |
�� | 21,229,966 | |
TOTAL HEALTH CARE | 58,979,245 | |
INDUSTRIALS – 8.6% | ||
Aerospace & Defense – 1.3% | ||
Lockheed Martin Corp. | 8,151 | 3,029,482 |
Textron, Inc. | 42,522 | 2,934,443 |
5,963,925 | ||
Air Freight & Logistics – 1.4% | ||
FedEx Corp. | 10,213 | 2,859,129 |
United Parcel Service, Inc. Class B | 19,075 | 3,650,192 |
6,509,321 | ||
Building Products – 0.5% | ||
Owens Corning | 23,989 | 2,306,782 |
Construction & Engineering – 0.6% | ||
EMCOR Group, Inc. | 20,733 | 2,525,487 |
Industrial Conglomerates – 0.7% | ||
3M Co. | 16,592 | 3,284,221 |
Machinery – 0.9% | ||
Cummins, Inc. | 9,429 | 2,188,471 |
PACCAR, Inc. | 23,030 | 1,911,260 |
4,099,731 |
| ||
Shares | Value | |
Professional Services – 0.6% | ||
ManpowerGroup, Inc. | 21,388 | $ 2,536,189 |
Road & Rail – 2.0% | ||
CSX Corp. | 86,297 | 2,789,119 |
Norfolk Southern Corp. | 10,188 | 2,626,772 |
Union Pacific Corp. | 16,103 | 3,522,692 |
8,938,583 | ||
Trading Companies & Distributors – 0.6% | ||
United Rentals, Inc. (a) | 8,159 | 2,688,799 |
TOTAL INDUSTRIALS | 38,853,038 | |
INFORMATION TECHNOLOGY – 27.9% | ||
Communications Equipment – 1.3% | ||
Cisco Systems, Inc. | 105,530 | 5,843,196 |
Electronic Equipment, Instruments & Components – 1.6% | ||
Arrow Electronics, Inc. (a) | 28,971 | 3,435,091 |
Jabil, Inc. | 66,625 | 3,966,853 |
7,401,944 | ||
IT Services – 7.4% | ||
Accenture PLC Class A | 17,934 | 5,697,273 |
Amdocs Ltd. | 39,029 | 3,009,526 |
Automatic Data Processing, Inc. | 21,352 | 4,476,020 |
Cognizant Technology Solutions Corp. Class A | 41,076 | 3,020,318 |
DXC Technology Co. (a) | 112,629 | 4,502,908 |
International Business Machines Corp. | 32,920 | 4,640,403 |
Visa, Inc. Class A | 31,632 | 7,793,809 |
33,140,257 | ||
Semiconductors & Semiconductor Equipment – 3.0% | ||
Broadcom, Inc. | 10,261 | 4,980,689 |
Intel Corp. | 91,493 | 4,915,004 |
Micron Technology, Inc. (a) | 47,198 | 3,661,621 |
13,557,314 | ||
Software – 7.7% | ||
Microsoft Corp. | 90,266 | 25,717,686 |
Oracle Corp. | 65,058 | 5,669,154 |
VMware, Inc. Class A (a)(b) | 20,643 | 3,173,655 |
34,560,495 | ||
Technology Hardware, Storage & Peripherals – 6.9% | ||
Apple, Inc. | 187,341 | 27,325,558 |
HP, Inc. | 125,970 | 3,636,754 |
30,962,312 | ||
TOTAL INFORMATION TECHNOLOGY | 125,465,518 | |
MATERIALS – 2.9% | ||
Chemicals – 0.9% | ||
Dow, Inc. | 24,019 | 1,493,021 |
LyondellBasell Industries N.V. Class A | 12,786 | 1,270,034 |
The Chemours Co. | 35,789 | 1,189,984 |
3,953,039 |
69 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Containers & Packaging – 0.5% | ||
International Paper Co. | 21,918 | $1,265,984 |
Westrock Co. | 23,946 | 1,178,382 |
2,444,366 | ||
Metals & Mining – 1.5% | ||
Newmont Corp. | 23,674 | 1,487,201 |
Nucor Corp. | 20,611 | 2,143,956 |
Reliance Steel & Aluminum Co. | 8,049 | 1,264,900 |
Steel Dynamics, Inc. | 26,560 | 1,711,792 |
6,607,849 | ||
TOTAL MATERIALS | 13,005,254 | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 2.6% | ||
Boston Properties, Inc. | 7,971 | 935,636 |
Cousins Properties, Inc. | 19,800 | 786,456 |
Equity Residential | 12,940 | 1,088,642 |
Highwoods Properties, Inc. | 16,259 | 775,392 |
Kimco Realty Corp. | 40,789 | 870,029 |
Medical Properties Trust, Inc. | 32,959 | 693,128 |
Prologis, Inc. | 13,270 | 1,699,091 |
Simon Property Group, Inc. | 9,740 | 1,232,305 |
Ventas, Inc. | 16,303 | 974,593 |
VICI Properties, Inc. (b) | 27,791 | 866,801 |
Welltower, Inc. | 13,868 | 1,204,575 |
Weyerhaeuser Co. | 25,166 | 848,849 |
11,975,497 | ||
Real Estate Management & Development – 0.5% | ||
CBRE Group, Inc. Class A (a) | 12,493 | 1,205,075 |
Jones Lang LaSalle, Inc. (a) | 4,475 | 996,001 |
2,201,076 | ||
TOTAL REAL ESTATE | 14,176,573 | |
UTILITIES – 2.1% | ||
Electric Utilities – 1.2% | ||
Exelon Corp. | 37,676 | 1,763,237 |
NRG Energy, Inc. | 30,081 | 1,240,540 |
PG&E Corp. (a) | 113,187 | 994,914 |
| ||
Shares | Value | |
PPL Corp. | 50,081 | $ 1,420,798 |
5,419,489 | ||
Independent Power and Renewable Electricity Producers – 0.2% | ||
Vistra Corp. | 59,994 | 1,148,885 |
Multi-Utilities – 0.7% | ||
Consolidated Edison, Inc. | 20,143 | 1,485,949 |
Public Service Enterprise Group, Inc. | 25,392 | 1,580,144 |
3,066,093 | ||
TOTAL UTILITIES | 9,634,467 | |
TOTAL COMMON STOCKS (Cost $364,489,683) | 449,318,570 | |
Money Market Funds – 0.9% | ||
Fidelity Cash Central Fund, 0.06% (c) | 646,922 | 647,052 |
Fidelity Securities Lending Cash Central Fund, 0.06% (c)(d) | 3,639,544 | 3,639,908 |
TOTAL MONEY MARKET FUNDS (Cost $4,286,960) | 4,286,960 | |
TOTAL INVESTMENT IN SECURITIES – 100.7% (Cost $368,776,643) | 453,605,530 | |
NET OTHER ASSETS (LIABILITIES) – (0.7%) | (3,336,208) | |
NET ASSETS – 100.0% | $ 450,269,322 |
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. |
Annual Report | 70 |
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 (United States) | 2 | September 2021 | $ 438,950 | $ 14,857 | $ 14,857 |
CME Micro E-mini S&P 500 Index Future Contracts (United States) | 17 | September 2021 | 373,108 | 4,029 | 4,029 |
Total Equity Index Contracts | $ 18,886 |
Fund | Income earned |
Fidelity Cash Central Fund | $ 411 |
Fidelity Securities Lending Cash Central Fund | 18,224 |
Total | $18,635 |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | |||||
Fidelity Cash Central Fund, 0.06% | $ 351,277 | $13,349,841 | $13,054,024 | $ (7) | $(35) | $ 647,052 | 0.0% | |||||
Fidelity Securities Lending Cash Central Fund, 0.06% | 5,310,377 | 25,412,457 | 27,082,926 | (24) | 24 | 3,639,908 | 0.0% | |||||
Total | $5,661,654 | $38,762,298 | $40,136,950 | $(31) | $(11) | $4,286,960 |
71 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 49,140,183 | $ 49,140,183 | $ — | $ — | ||||
Consumer Discretionary | 55,292,980 | 55,292,980 | — | — | ||||
Consumer Staples | 23,846,233 | 23,846,233 | — | — | ||||
Energy | 10,634,707 | 10,634,707 | — | — | ||||
Financials | 50,290,372 | 50,290,372 | — | — | ||||
Health Care | 58,979,245 | 58,979,245 | — | — | ||||
Industrials | 38,853,038 | 38,853,038 | — | — | ||||
Information Technology | 125,465,518 | 125,465,518 | — | — | ||||
Materials | 13,005,254 | 13,005,254 | — | — | ||||
Real Estate | 14,176,573 | 14,176,573 | — | — | ||||
Utilities | 9,634,467 | 9,634,467 | — | — | ||||
Money Market Funds | 4,286,960 | 4,286,960 | — | — | ||||
Total Investments in Securities: | $ 453,605,530 | $ 453,605,530 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 18,886 | $ 18,886 | $ — | $ — | ||||
Total Assets | $ 18,886 | $ 18,886 | — | $ — | ||||
Total Derivative Instruments: | $ 18,886 | $ 18,886 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $18,886 | $0 | |
Total Equity Risk | 18,886 | 0 | |
Total Value of Derivatives | $18,886 | $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). |
Annual Report | 72 |
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 $2,511,654, $1,592,914, $908,677 and $—, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $488,150,824 | $1,045,649,621 | $511,003,806 | $156,238,031 | |||
Fidelity Central Funds | 3,274,830 | 4,896,175 | 1,497,228 | 425,440 | |||
Total Investments in Securities | $491,425,654 | $1,050,545,796 | $512,501,034 | $156,663,471 | |||
Segregated cash with brokers for derivative instruments | 88,000 | 264,000 | 29,700 | 24,200 | |||
Cash | 7,200 | 9,801 | — | 32,490 | |||
Foreign currency held at value (cost $543,996, $713,148, $— and $—, respectively) | 541,142 | 715,447 | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 771,434 | 2,516,861 | 427,855 | 83,114 | |||
Distributions receivable from Fidelity Central Funds | 595 | 569 | 42 | 22 | |||
Total assets | 492,834,025 | 1,054,052,474 | 512,958,631 | 156,803,297 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | — | — | |||
Accrued management fees | 116,054 | 242,276 | 118,582 | 37,177 | |||
Payable for daily variation margin on futures contracts | 8,920 | 26,760 | 3,011 | 2,453 | |||
Collateral on securities loaned, at value | 2,620,350 | 1,661,850 | 940,416 | — | |||
Total liabilities | 2,745,324 | 1,930,886 | 1,062,009 | 39,630 | |||
Net Assets | $490,088,701 | $1,052,121,588 | $511,896,622 | $156,763,667 | |||
Net Assets consist of: | |||||||
Paid in capital | $427,829,152 | $ 930,738,349 | $459,220,070 | $144,276,314 | |||
Total accumulated earnings (loss) | 62,259,549 | 121,383,239 | 52,676,552 | 12,487,353 | |||
Net Assets | $490,088,701 | $1,052,121,588 | $511,896,622 | $156,763,667 | |||
Shares outstanding | 11,500,000 | 27,650,000 | 10,500,000 | 3,150,000 | |||
Net Asset Value per share | $ 42.62 | $ 38.05 | $ 48.75 | $ 49.77 | |||
Investments at cost – Unaffiliated issuers | $398,676,513 | $ 889,765,536 | $432,661,359 | $130,980,030 | |||
Investments at cost – Fidelity Central Funds | 3,274,830 | 4,896,175 | 1,497,228 | 425,440 | |||
Investments at cost | $401,951,343 | $ 894,661,711 | $434,158,587 | $131,405,470 |
Annual Report | 74 |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||
Assets | |||||||
Investments in securities, at value (including securities loaned of $1,404,383, $88,738, $— and $—, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $245,296,178 | $67,918,335 | $46,033,254 | $11,472,956 | |||
Fidelity Central Funds | 1,630,026 | 118,664 | — | 7,306 | |||
Total Investments in Securities | $246,926,204 | $68,036,999 | $46,033,254 | $11,480,262 | |||
Segregated cash with brokers for derivative instruments | 8,800 | — | — | — | |||
Cash | 36,270 | 19,236 | 38,170 | 3,859 | |||
Foreign currency held at value (cost $—, $134, $— and $—, respectively) | — | 137 | — | — | |||
Receivable for fund shares sold | 19,539 | — | — | — | |||
Dividends receivable | 240,670 | 31,962 | 21,515 | 10,021 | |||
Distributions receivable from Fidelity Central Funds | 234 | 2 | 1 | — | |||
Total assets | 247,231,717 | 68,088,336 | 46,092,940 | 11,494,142 | |||
Liabilities | |||||||
Payable for investments purchased | — | 40,388 | — | — | |||
Accrued management fees | 55,555 | 15,985 | 10,186 | 2,736 | |||
Payable for daily variation margin on futures contracts | 892 | — | — | — | |||
Collateral on securities loaned, at value | 1,454,475 | 92,825 | — | — | |||
Total liabilities | 1,510,922 | 149,198 | 10,186 | 2,736 | |||
Net Assets | $245,720,795 | $67,939,138 | $46,082,754 | $11,491,406 | |||
Net Assets consist of: | |||||||
Paid in capital | $207,514,316 | $61,561,784 | $43,368,051 | $10,264,362 | |||
Total accumulated earnings (loss) | 38,206,479 | 6,377,354 | 2,714,703 | 1,227,044 | |||
Net Assets | $245,720,795 | $67,939,138 | $46,082,754 | $11,491,406 | |||
Shares outstanding | 4,800,000 | 2,000,000 | 1,500,000 | 450,000 | |||
Net Asset Value per share | $ 51.19 | $ 33.97 | $ 30.72 | $ 25.54 | |||
Investments at cost – Unaffiliated issuers | $193,254,140 | $60,072,142 | $43,134,800 | $10,170,967 | |||
Investments at cost – Fidelity Central Funds | 1,630,025 | 118,664 | — | 7,306 | |||
Investments at cost | $194,884,165 | $60,190,806 | $43,134,800 | $10,178,273 |
75 | Annual Report |
Fidelity Value Factor ETF | |
Assets | |
Investments in securities, at value (including securities loaned of $3,547,979) – See accompanying schedule: | |
Unaffiliated issuers | $449,318,570 |
Fidelity Central Funds | 4,286,960 |
Total Investments in Securities | $453,605,530 |
Segregated cash with brokers for derivative instruments | 40,700 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for fund shares sold | — |
Dividends receivable | 364,954 |
Distributions receivable from Fidelity Central Funds | 5,196 |
Total assets | 454,016,380 |
Liabilities | |
Payable for investments purchased | — |
Accrued management fees | 102,758 |
Payable for daily variation margin on futures contracts | 4,125 |
Collateral on securities loaned, at value | 3,640,175 |
Total liabilities | 3,747,058 |
Net Assets | $450,269,322 |
Net Assets consist of: | |
Paid in capital | $389,484,031 |
Total accumulated earnings (loss) | 60,785,291 |
Net Assets | $450,269,322 |
Shares outstanding | 9,200,000 |
Net Asset Value per share | $ 48.94 |
Investments at cost – Unaffiliated issuers | $364,489,683 |
Investments at cost – Fidelity Central Funds | 4,286,960 |
Investments at cost | $368,776,643 |
Annual Report | 76 |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 9,823,971 | $ 23,824,023 | $ 6,572,962 | $ 998,974 | |||
Interest | 106 | 201 | 68 | 14 | |||
Special dividends | — | — | — | — | |||
Income from Fidelity Central Funds (including $3,333, $15,658, $1,003 and $1,470, from security lending, respectively) | 3,994 | 16,817 | 1,618 | 1,649 | |||
Total income | 9,828,071 | 23,841,041 | 6,574,648 | 1,000,637 | |||
Expenses | |||||||
Management fees | 1,041,754 | 2,069,830 | 1,193,415 | 344,985 | |||
Independent trustees' fees and expenses | 1,446 | 2,818 | 1,715 | 478 | |||
Interest | 63 | — | — | — | |||
Proxy | 82 | — | — | — | |||
Total expenses before reductions | 1,043,345 | 2,072,648 | 1,195,130 | 345,463 | |||
Expense reductions | (2) | (2) | (7) | (7) | |||
Total expenses | 1,043,343 | 2,072,646 | 1,195,123 | 345,456 | |||
Net investment income (loss) | 8,784,728 | 21,768,395 | 5,379,525 | 655,181 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 4,921,723 | (2,852,399) | (19,276,211) | 101,275 | |||
Net realized gain (loss) on Fidelity Central Funds | (36) | (129) | (17) | (3) | |||
Net realized gain (loss) on In-kind redemptions | 2,915,846 | 872,838 | 45,771,097 | 15,293,507 | |||
Net realized gain (loss) on futures contracts | 550,301 | 980,722 | 353,097 | 71,797 | |||
Net realized gain (loss) on foreign currency transactions | 23,893 | 125,241 | — | — | |||
Total net realized gain (loss) | 8,411,727 | (873,727) | 26,847,966 | 15,466,576 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 90,342,017 | 217,462,835 | 72,853,872 | 11,922,426 | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (38) | 69 | (68) | (11) | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (35,655) | (54,587) | (32,842) | 7,222 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (21,412) | (121,151) | — | — | |||
Total change in net unrealized appreciation (depreciation) | 90,284,912 | 217,287,166 | 72,820,962 | 11,929,637 | |||
Net gain (loss) | 98,696,639 | 216,413,439 | 99,668,928 | 27,396,213 | |||
Net increase (decrease) in net assets resulting from operations | $107,481,367 | $238,181,834 | $105,048,453 | $28,051,394 |
77 | Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETFA | ||||
Investment Income | |||||||
Dividends | $ 2,965,658 | $ 655,167 | $ 201,958 | $ 102,143 | |||
Interest | 34 | — | — | — | |||
Special dividends | — | — | — | 14,820 | |||
Income from Fidelity Central Funds (including $1,394, $—, $— and $—, from security lending, respectively) | 1,709 | 21 | 3 | 2 | |||
Total income | 2,967,401 | 655,188 | 201,961 | 116,965 | |||
Expenses | |||||||
Management fees | 509,848 | 125,292 | 35,646 | 18,325 | |||
Independent trustees' fees and expenses | 721 | 155 | 33 | 25 | |||
Interest | — | — | — | — | |||
Proxy | — | — | — | — | |||
Total expenses before reductions | 510,569 | 125,447 | 35,679 | 18,350 | |||
Expense reductions | (13) | (3) | (2) | (1) | |||
Total expenses | 510,556 | 125,444 | 35,677 | 18,349 | |||
Net investment income (loss) | 2,456,845 | 529,744 | 166,284 | 98,616 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (5,878,155) | (984,225) | (192,516) | (40,235) | |||
Net realized gain (loss) on Fidelity Central Funds | (10) | — | — | — | |||
Net realized gain (loss) on In-kind redemptions | 14,591,526 | 6,835,949 | 640,609 | 595,590 | |||
Net realized gain (loss) on futures contracts | 164,667 | (233) | — | — | |||
Net realized gain (loss) on foreign currency transactions | — | 6 | — | — | |||
Total net realized gain (loss) | 8,878,028 | 5,851,497 | 448,093 | 555,355 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 43,095,577 | 6,938,992 | 3,036,951 | 1,301,989 | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (28) | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (17,400) | — | — | — | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | 1 | — | — | |||
Total change in net unrealized appreciation (depreciation) | 43,078,149 | 6,938,993 | 3,036,951 | 1,301,989 | |||
Net gain (loss) | 51,956,177 | 12,790,490 | 3,485,044 | 1,857,344 | |||
Net increase (decrease) in net assets resulting from operations | $54,413,022 | $13,320,234 | $3,651,328 | $1,955,960 |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
Annual Report | 78 |
Fidelity Value Factor ETF | |
Investment Income | |
Dividends | $ 5,317,370 |
Interest | 45 |
Special dividends | — |
Income from Fidelity Central Funds (including $18,224 from security lending) | 18,635 |
Total income | 5,336,050 |
Expenses | |
Management fees | 860,832 |
Independent trustees' fees and expenses | 1,142 |
Interest | — |
Proxy | — |
Total expenses before reductions | 861,974 |
Expense reductions | (13) |
Total expenses | 861,961 |
Net investment income (loss) | 4,474,089 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (14,953,792) |
Net realized gain (loss) on Fidelity Central Funds | (31) |
Net realized gain (loss) on In-kind redemptions | 19,716,722 |
Net realized gain (loss) on futures contracts | 219,085 |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | 4,981,984 |
Change in net unrealized appreciation (depreciation) on investment securities | 90,896,052 |
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (11) |
Change in net unrealized appreciation (depreciation) on futures contracts | (10,836) |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | 90,885,205 |
Net gain (loss) | 95,867,189 |
Net increase (decrease) in net assets resulting from operations | $100,341,278 |
79 | Annual Report |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 8,784,728 | $ 10,262,152 | $ 21,768,395 | $ 18,113,205 | |||
Net realized gain (loss) | 8,411,727 | (756,403) | (873,727) | 18,283,055 | |||
Change in net unrealized appreciation (depreciation) | 90,284,912 | (14,389,980) | 217,287,166 | (70,531,825) | |||
Net increase (decrease) in net assets resulting from operations | 107,481,367 | (4,884,231) | 238,181,834 | (34,135,565) | |||
Distributions to shareholders | (8,481,250) | (10,362,600) | (21,671,400) | (18,747,950) | |||
Share transactions | |||||||
Proceeds from sales of shares | 124,130,292 | 99,471,497 | 317,619,142 | 421,727,800 | |||
Cost of shares redeemed | (15,358,454) | (162,137,367) | (2,802,769) | (211,001,439) | |||
Net increase (decrease) in net assets resulting from share transactions | 108,771,838 | (62,665,870) | 314,816,373 | 210,726,361 | |||
Total increase (decrease) in net assets | 207,771,955 | (77,912,701) | 531,326,807 | 157,842,846 | |||
Net Assets | |||||||
Beginning of year | 282,316,746 | 360,229,447 | 520,794,781 | 362,951,935 | |||
End of year | $490,088,701 | $ 282,316,746 | $1,052,121,588 | $ 520,794,781 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,050,000 | 2,750,000 | 8,850,000 | 13,350,000 | |||
Redeemed | (450,000) | (5,000,000) | (100,000) | (6,500,000) | |||
Net increase (decrease) | 2,600,000 | (2,250,000) | 8,750,000 | 6,850,000 |
Annual Report | 80 |
Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,379,525 | $ 5,724,297 | $ 655,181 | $ 1,173,518 | |||
Net realized gain (loss) | 26,847,966 | 19,120,308 | 15,466,576 | 4,952,318 | |||
Change in net unrealized appreciation (depreciation) | 72,820,962 | (17,243,464) | 11,929,637 | 1,394,495 | |||
Net increase (decrease) in net assets resulting from operations | 105,048,453 | 7,601,141 | 28,051,394 | 7,520,331 | |||
Distributions to shareholders | (5,363,100) | (5,772,450) | (712,000) | (1,254,700) | |||
Share transactions | |||||||
Proceeds from sales of shares | 269,729,319 | 341,438,518 | 112,430,208 | 73,725,829 | |||
Cost of shares redeemed | (208,226,111) | (238,061,468) | (71,334,762) | (113,398,944) | |||
Net increase (decrease) in net assets resulting from share transactions | 61,503,208 | 103,377,050 | 41,095,446 | (39,673,115) | |||
Total increase (decrease) in net assets | 161,188,561 | 105,205,741 | 68,434,840 | (33,407,484) | |||
Net Assets | |||||||
Beginning of year | 350,708,061 | 245,502,320 | 88,328,827 | 121,736,311 | |||
End of year | $ 511,896,622 | $ 350,708,061 | $156,763,667 | $ 88,328,827 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,300,000 | 9,000,000 | 2,500,000 | 2,100,000 | |||
Redeemed | (4,950,000) | (6,600,000) | (1,600,000) | (3,250,000) | |||
Net increase (decrease) | 1,350,000 | 2,400,000 | 900,000 | (1,150,000) |
81 | Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2021 | Year ended July 31, 2020 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 2,456,845 | $ 2,561,306 | $ 529,744 | $ 141,380 | |||
Net realized gain (loss) | 8,878,028 | 8,042,764 | 5,851,497 | (16,832) | |||
Change in net unrealized appreciation (depreciation) | 43,078,149 | (113,455) | 6,938,993 | 720,508 | |||
Net increase (decrease) in net assets resulting from operations | 54,413,022 | 10,490,615 | 13,320,234 | 845,056 | |||
Distributions to shareholders | (2,471,800) | (2,493,600) | (586,000) | (146,500) | |||
Share transactions | |||||||
Proceeds from sales of shares | 107,535,102 | 95,825,376 | 56,891,867 | 13,481,340 | |||
Cost of shares redeemed | (60,777,523) | (119,081,927) | (20,803,647) | (2,713,442) | |||
Net increase (decrease) in net assets resulting from share transactions | 46,757,579 | (23,256,551) | 36,088,220 | 10,767,898 | |||
Total increase (decrease) in net assets | 98,698,801 | (15,259,536) | 48,822,454 | 11,466,454 | |||
Net Assets | |||||||
Beginning of year | 147,021,994 | 162,281,530 | 19,116,684 | 7,650,230 | |||
End of year | $245,720,795 | $ 147,021,994 | $ 67,939,138 | $19,116,684 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,400,000 | 2,650,000 | 1,900,000 | 600,000 | |||
Redeemed | (1,450,000) | (3,400,000) | (700,000) | (100,000) | |||
Net increase (decrease) | 950,000 | (750,000) | 1,200,000 | 500,000 |
Annual Report | 82 |
Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||
Year ended July 31, 2021 | Year ended July 31, 2020A | Year ended July 31, 2021B | |||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net investment income (loss) | $ 166,284 | $ 38,387 | $ 98,616 | ||
Net realized gain (loss) | 448,093 | 54,866 | 555,355 | ||
Change in net unrealized appreciation (depreciation) | 3,036,951 | (138,497) | 1,301,989 | ||
Net increase (decrease) in net assets resulting from operations | 3,651,328 | (45,244) | 1,955,960 | ||
Distributions to shareholders | (220,000) | (35,400) | (135,400) | ||
Share transactions | |||||
Proceeds from sales of shares | 43,042,176 | 3,690,677 | 14,155,302 | ||
Cost of shares redeemed | (4,000,783) | — | (4,484,456) | ||
Net increase (decrease) in net assets resulting from share transactions | 39,041,393 | 3,690,677 | 9,670,846 | ||
Total increase (decrease) in net assets | 42,472,721 | 3,610,033 | 11,491,406 | ||
Net Assets | |||||
Beginning of year | 3,610,033 | — | — | ||
End of year | $46,082,754 | $3,610,033 | $11,491,406 | ||
Other Information | |||||
Shares | |||||
Sold | 1,500,000 | 150,000 | 650,000 | ||
Redeemed | (150,000) | — | (200,000) | ||
Net increase (decrease) | 1,350,000 | 150,000 | 450,000 |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
B | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
83 | Annual Report |
Fidelity Value Factor ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 4,474,089 | $ 3,639,553 | |
Net realized gain (loss) | 4,981,984 | 12,182,653 | |
Change in net unrealized appreciation (depreciation) | 90,885,205 | (12,315,269) | |
Net increase (decrease) in net assets resulting from operations | 100,341,278 | 3,506,937 | |
Distributions to shareholders | (4,318,450) | (3,611,200) | |
Share transactions | |||
Proceeds from sales of shares | 236,163,931 | 200,834,254 | |
Cost of shares redeemed | (71,833,308) | (147,217,336) | |
Net increase (decrease) in net assets resulting from share transactions | 164,330,623 | 53,616,918 | |
Total increase (decrease) in net assets | 260,353,451 | 53,512,655 | |
Net Assets | |||
Beginning of year | 189,915,871 | 136,403,216 | |
End of year | $450,269,322 | $ 189,915,871 | |
Other Information | |||
Shares | |||
Sold | 5,450,000 | 5,800,000 | |
Redeemed | (1,700,000) | (4,300,000) | |
Net increase (decrease) | 3,750,000 | 1,500,000 |
Annual Report | 84 |
Fidelity Dividend ETF For Rising Rates | |||||||||
Year ended July 31, 2021 | 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 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | $ 25.34 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 0.93 | 1.01 | 1.07 | 0.93 | 0.76 | ||||
Net realized and unrealized gain (loss) | 10.85 | (0.56) | 0.79 | 3.03 | 2.98 | ||||
Total from investment operations | 11.78 | 0.45 | 1.86 | 3.96 | 3.74 | ||||
Distributions from net investment income | (0.88) | (1.04) | (1.09) | (0.92) | (0.58) | ||||
Total distributions | (0.88) | (1.04) | (1.09) | (0.92) | (0.58) | ||||
Net asset value, end of period | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | ||||
Total ReturnC,D,E | 37.57% | 1.86% | 6.09% | 14.04% | 14.85% | ||||
Ratios to Average Net AssetsF,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Net investment income (loss) | 2.44% | 3.15% | 3.42% | 3.08% | 3.09% H | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $490,089 | $282,317 | $360,229 | $346,896 | $152,492 | ||||
Portfolio turnover rateI,J | 32% | 35% | 35% | 38% | 52% 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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
85 | Annual Report |
Fidelity High Dividend ETF | |||||||||
Year ended July 31, 2021 | 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 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | $ 25.32 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 1.02 | 1.10 | 1.23 | 1.09 | 0.85 | ||||
Net realized and unrealized gain (loss) | 10.48 | (2.52) | (0.03) | 3.21 | 1.57 | ||||
Total from investment operations | 11.50 | (1.42) | 1.20 | 4.30 | 2.42 | ||||
Distributions from net investment income | (1.01) | (1.14) | (1.23) | (1.12) | (0.76) | ||||
Distributions from net realized gain | — | — | — | (0.01) | — | ||||
Total distributions | (1.01) | (1.14) | (1.23) | (1.13) | (0.76) | ||||
Net asset value, end of period | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | ||||
Total ReturnC,D,E | 42.42% | (4.54)% | 4.16% | 16.23% | 9.61% | ||||
Ratios to Average Net AssetsF,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Net investment income (loss) | 3.04% | 3.85% | 4.15% | 3.80% | 3.61% H | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,052,122 | $520,795 | $362,952 | $171,835 | $59,350 | ||||
Portfolio turnover rateI,J | 32% | 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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
Annual Report | 86 |
Fidelity Low Volatility Factor ETF | |||||||||
Year ended July 31, 2021 | 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 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | $ 25.31 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 0.56 | 0.62 | 0.62 | 0.53 | 0.45 | ||||
Net realized and unrealized gain (loss) | 10.43 | 1.95 | 3.92 | 4.20 | 2.81 | ||||
Total from investment operations | 10.99 | 2.57 | 4.54 | 4.73 | 3.26 | ||||
Distributions from net investment income | (0.57) | (0.61) | (0.57) | (0.52) | (0.38) | ||||
Total distributions | (0.57) | (0.61) | (0.57) | (0.52) | (0.38) | ||||
Net asset value, end of period | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | ||||
Total ReturnC,D,E | 28.90% | 7.29% | 14.20% | 16.89% | 12.94% | ||||
Ratios to Average Net AssetsF,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Net investment income (loss) | 1.31% | 1.69% | 1.83% | 1.73% | 1.87% H | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $511,897 | $350,708 | $245,502 | $66,420 | $33,833 | ||||
Portfolio turnover rateI,J | 46% | 31% | 36% | 31% | 33% 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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
87 | Annual Report |
Fidelity Momentum Factor ETF | |||||||||
Year ended July 31, 2021 | 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 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | $ 25.34 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 0.25 | 0.42 | 0.40 | 0.36 | 0.36 | ||||
Net realized and unrealized gain (loss) | 10.54 | 3.47 | 2.22 | 4.97 | 3.19 | ||||
Total from investment operations | 10.79 | 3.89 | 2.62 | 5.33 | 3.55 | ||||
Distributions from net investment income | (0.28) | (0.43) | (0.40) | (0.35) | (0.29) | ||||
Total distributions | (0.28) | (0.43) | (0.40) | (0.35) | (0.29) | ||||
Net asset value, end of period | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | ||||
Total ReturnC,D,E | 27.58% | 11.06% | 7.91% | 18.72% | 14.11% | ||||
Ratios to Average Net AssetsF,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Net investment income (loss) | .55% | 1.18% | 1.18% | 1.14% | 1.50% H | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $156,764 | $88,329 | $121,736 | $95,702 | $35,745 | ||||
Portfolio turnover rateI,J | 128% | 138% | 133% | 125% | 106% 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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
Annual Report | 88 |
Fidelity Quality Factor ETF | |||||||||
Year ended July 31, 2021 | 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 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | $ 25.37 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 0.62 | 0.62 | 0.58 | 0.53 | 0.45 | ||||
Net realized and unrealized gain (loss) | 13.00 | 2.90 | 1.77 | 4.38 | 3.62 | ||||
Total from investment operations | 13.62 | 3.52 | 2.35 | 4.91 | 4.07 | ||||
Distributions from net investment income | (0.62) | (0.61) | (0.54) | (0.55) | (0.33) | ||||
Total distributions | (0.62) | (0.61) | (0.54) | (0.55) | (0.33) | ||||
Net asset value, end of period | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | ||||
Total ReturnC,D,E | 36.00% | 10.26% | 7.14% | 16.95% | 16.10% | ||||
Ratios to Average Net AssetsF,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% H | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% H | ||||
Net investment income (loss) | 1.39% | 1.74% | 1.72% | 1.66% | 1.84% H | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $245,721 | $147,022 | $162,282 | $65,259 | $30,569 | ||||
Portfolio turnover rateI,J | 35% | 41% | 29% | 30% | 35% 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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
89 | Annual Report |
Fidelity Small-Mid Multifactor ETF | |||||
Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 23.90 | $ 25.50 | $24.85 | ||
Income from Investment Operations | |||||
Net investment income (loss)B | 0.38 | 0.31 | 0.18 | ||
Net realized and unrealized gain (loss) | 10.11 | (1.58) C | 0.64 | ||
Total from investment operations | 10.49 | (1.27) | 0.82 | ||
Distributions from net investment income | (0.42) | (0.33) | (0.17) | ||
Total distributions | (0.42) | (0.33) | (0.17) | ||
Net asset value, end of period | $ 33.97 | $ 23.90 | $25.50 | ||
Total ReturnD,E,F | 44.21% | (4.90)% | 3.35% | ||
Ratios to Average Net AssetsG,H | |||||
Expenses before reductions | .29% | .29% | .29% I | ||
Expenses net of fee waivers, if any | .29% | .29% | .29% I | ||
Expenses net of all reductions | .29% | .29% | .29% I | ||
Net investment income (loss) | 1.23% | 1.32% | 1.70% I | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $67,939 | $19,117 | $7,650 | ||
Portfolio turnover rateJ,K | 61% | 52% | 2% L |
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 | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | 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. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
L | Amount not annualized. |
Annual Report | 90 |
Fidelity Stocks for Inflation ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 24.07 | $24.94 | |
Income from Investment Operations | |||
Net investment income (loss)B | 0.39 | 0.38 | |
Net realized and unrealized gain (loss) | 7.08 | (0.90) | |
Total from investment operations | 7.47 | (0.52) | |
Distributions from net investment income | (0.82) | (0.35) | |
Total distributions | (0.82) | (0.35) | |
Net asset value, end of period | $ 30.72 | $24.07 | |
Total ReturnC,D,E | 31.78% | (1.88)% | |
Ratios to Average Net AssetsF,G | |||
Expenses before reductions | .29% | .29% H,I | |
Expenses net of fee waivers, if any | .29% | .29% H,I | |
Expenses net of all reductions | .29% | .29% H,I | |
Net investment income (loss) | 1.34% | 2.16% H,I | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $46,083 | $3,610 | |
Portfolio turnover rateJ,K | 52% | 65% L |
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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
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 | Proxy expenses are not annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
L | Amount not annualized. |
91 | Annual Report |
Fidelity U.S. Multifactor ETF | |
Year ended July 31, 2021A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 20.09 |
Income from Investment Operations | |
Net investment income (loss)B | 0.31 C |
Net realized and unrealized gain (loss) | 5.62 |
Total from investment operations | 5.93 |
Distributions from net investment income | (0.48) |
Total distributions | (0.48) |
Net asset value, end of period | $ 25.54 |
Total ReturnD,E,F | 29.94% |
Ratios to Average Net AssetsG,H,I | |
Expenses before reductions | .29% |
Expenses net of fee waivers, if any | .29% |
Expenses net of all reductions | .29% |
Net investment income (loss) | 1.56% C |
Supplemental Data | |
Net assets, end of period (000 omitted) | $11,491 |
Portfolio turnover rateJ,K,L | 30% |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.05 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.33%. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Annualized. |
H | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | 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. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Amount not annualized. |
L | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 92 |
Fidelity Value Factor ETF | |||||||||
Year ended July 31, 2021 | 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 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | $ 25.37 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B | 0.64 | 0.73 | 0.70 | 0.58 | 0.49 | ||||
Net realized and unrealized gain (loss) | 14.07 | 0.28 C | 0.59 | 4.18 | 4.23 | ||||
Total from investment operations | 14.71 | 1.01 | 1.29 | 4.76 | 4.72 | ||||
Distributions from net investment income | (0.62) | (0.69) | (0.66) | (0.58) | (0.37) | ||||
Total distributions | (0.62) | (0.69) | (0.66) | (0.58) | (0.37) | ||||
Net asset value, end of period | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | ||||
Total ReturnD,E,F | 42.56% | 3.12% | 3.95% | 16.11% | 18.65% | ||||
Ratios to Average Net AssetsG,H | |||||||||
Expenses before reductions | .29% | .29% | .29% | .30% | .29% I | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .30% | .29% I | ||||
Expenses net of all reductions | .29% | .29% | .29% | .30% | .29% I | ||||
Net investment income (loss) | 1.50% | 2.13% | 2.09% | 1.79% | 1.92% I | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $450,269 | $189,916 | $136,403 | $86,450 | $38,639 | ||||
Portfolio turnover rateJ,K | 42% | 45% | 31% | 38% | 42% L |
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 | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | 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. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
L | Amount not annualized. |
93 | Annual Report |
For the year ended July 31, 2021
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% to .01% |
Annual Report | 94 |
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
95 | Annual Report |
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 402,703,465 | $ 94,862,472 | $ (6,140,283) | $ 88,722,189 |
Fidelity High Dividend ETF | 897,106,220 | 161,176,020 | (7,736,444) | 153,439,576 |
Fidelity Low Volatility Factor ETF | 434,480,294 | 83,103,315 | (5,082,575) | 78,020,740 |
Fidelity Momentum Factor ETF | 131,411,894 | 27,146,426 | (1,894,849) | 25,251,577 |
Fidelity Quality Factor ETF | 194,979,472 | 53,434,748 | (1,488,016) | 51,946,732 |
Fidelity Small-Mid Multifactor ETF | 60,245,005 | 9,411,524 | (1,619,530) | 7,791,994 |
Fidelity Stocks for Inflation ETF | 43,142,472 | 3,296,147 | (405,365) | 2,890,782 |
Fidelity U.S. Multifactor ETF | 10,181,622 | 1,389,056 | (90,416) | 1,298,640 |
Fidelity Value Factor ETF | 369,078,649 | 86,425,470 | (1,898,589) | 84,526,881 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 327,354 | $ — | $ (26,788,293) | $ 88,720,485 |
Fidelity High Dividend ETF | 222,236 | — | (32,284,697) | 153,441,875 |
Fidelity Low Volatility Factor ETF | 134,394 | — | (25,478,514) | 78,020,740 |
Fidelity Momentum Factor ETF | — | — | (12,764,224) | 25,251,577 |
Fidelity Quality Factor ETF | 135,360 | — | (13,875,613) | 51,946,732 |
Fidelity Small-Mid Multifactor ETF | — | — | (1,414,643) | 7,791,997 |
Fidelity Stocks for Inflation ETF | 8,684 | — | (184,763) | 2,890,782 |
Fidelity U.S. Multifactor ETF | — | — | — | 1,298,640 |
Fidelity Value Factor ETF | 328,204 | — | (24,069,794) | 84,526,881 |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity Dividend ETF for Rising Rates | $ (9,746,426) | $ (17,041,867) | $ (26,788,293) |
Fidelity High Dividend ETF | (7,598,503) | (24,686,194) | (32,284,697) |
Fidelity Low Volatility Factor ETF | (17,916,659) | (7,561,855) | (25,478,514) |
Fidelity Momentum Factor ETF | (12,764,224) | — | (12,764,224) |
Fidelity Quality Factor ETF | (8,980,070) | (4,895,543) | (13,875,613) |
Fidelity Small-Mid Multifactor ETF | (1,059,827) | (354,816) | (1,414,643) |
Fidelity Stocks for Inflation ETF | (172,174) | (12,589) | (184,763) |
Fidelity U.S. Multifactor ETF | — | — | — |
Fidelity Value Factor ETF | (11,979,551) | (12,090,243) | (24,069,794) |
Annual Report | 96 |
Certain of the Funds intend to elect to defer to the next fiscal year capital losses recognized during the period November 1, 2020 to October 31, 2021. Loss deferrals were as follows:
Capital Losses | |
Fidelity U.S. Multifactor ETF | $ (71,596) |
July 31, 2021 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Dividend ETF for Rising Rates | $ 8,481,250 | $ — | $ — | $ 8,481,250 |
Fidelity High Dividend ETF | 21,671,400 | — | — | 21,671,400 |
Fidelity Low Volatility Factor ETF | 5,363,100 | — | — | 5,363,100 |
Fidelity Momentum Factor ETF | 712,000 | — | — | 712,000 |
Fidelity Quality Factor ETF | 2,471,800 | — | — | 2,471,800 |
Fidelity Small-Mid Multifactor ETF | 586,000 | — | — | 586,000 |
Fidelity Stocks for Inflation ETF | 220,000 | — | — | 220,000 |
Fidelity U.S. Multifactor ETFA | 135,400 | — | — | 135,400 |
Fidelity Value Factor ETF | 4,318,450 | — | — | 4,318,450 |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
July 31, 2020 | ||||
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 Multifactor 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. |
97 | Annual Report |
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statements of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Purchases ($) | Sales ($) | |
Fidelity Dividend ETF for Rising Rates | 117,583,032 | 113,463,033 |
Fidelity High Dividend ETF | 237,063,504 | 226,729,417 |
Fidelity Low Volatility Factor ETF | 188,995,727 | 185,482,620 |
Fidelity Momentum Factor ETF | 150,911,961 | 150,705,548 |
Fidelity Quality Factor ETF | 61,666,030 | 60,629,987 |
Fidelity Small-Mid Multifactor ETF | 26,550,693 | 25,872,034 |
Fidelity Stocks for Inflation ETF | 7,051,795 | 6,829,600 |
Fidelity U.S. Multifactor ETF | 2,180,328 | 2,171,034 |
Fidelity Value Factor ETF | 126,230,287 | 124,754,546 |
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity Dividend ETF for Rising Rates | 120,374,266 | 14,860,015 |
Fidelity High Dividend ETF | 307,336,388 | 2,707,324 |
Fidelity Low Volatility Factor ETF | 261,150,550 | 202,305,991 |
Fidelity Momentum Factor ETF | 111,390,506 | 70,707,511 |
Fidelity Quality Factor ETF | 106,594,952 | 60,501,411 |
Fidelity Small-Mid Multifactor ETF | 56,273,207 | 20,681,318 |
Fidelity Stocks for Inflation ETF | 42,711,998 | 3,981,364 |
Fidelity U.S. Multifactor ETF | 14,067,391 | 4,455,351 |
Fidelity Value Factor ETF | 232,515,553 | 69,542,728 |
Annual Report | 98 |
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Fidelity Dividend ETF for Rising Rates | Borrower | $ 3,845,000 | 0.29 % | $ 63 |
Total Security Lending Income Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Dividend ETF for Rising Rates | $ 371 | $ — | $ — |
Fidelity High Dividend ETF | 1,747 | 5 | — |
Fidelity Low Volatility Factor ETF | 103 | — | — |
Fidelity Momentum Factor ETF | 149 | — | — |
Fidelity Quality Factor ETF | 144 | — | — |
Fidelity Small-Mid Multifactor ETF | 3 | — | — |
Fidelity Value Factor ETF | 1,970 | — | — |
Amount | |
Fidelity Dividend ETF for Rising Rates | $ 2 |
Fidelity High Dividend ETF | 2 |
Fidelity Low Volatility Factor ETF | 7 |
Fidelity Momentum Factor ETF | 7 |
Fidelity Quality Factor ETF | 13 |
Fidelity Small-Mid Multifactor ETF | 3 |
Fidelity Stocks for Inflation ETF | 2 |
Fidelity U.S. Multifactor ETF | 1 |
Fidelity Value Factor ETF | 13 |
99 | Annual Report |
Annual Report | 100 |
101 | Annual Report |
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, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 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, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 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, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 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, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 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, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Fidelity Small-Mid Multifactor ETF | For the year ended July 31, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021 and 2020 and for the period from February 26, 2019 (commencement of operations) to July 31, 2019 |
Fidelity U.S. Multifactor ETF | For the period September 15, 2020 (commencement of operations) through July 31, 2021 | For the period September 15, 2020 (commencement of operations) through July 31, 2021 | For the period September 15, 2020 (commencement of operations) through July 31, 2021 |
Fidelity Value Factor ETF | For the year ended July 31, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 2020, 2019 and 2018, and for the period from September 12, 2016 (commencement of operations) to July 31, 2017 |
Annual Report | 102 |
103 | Annual Report |
Annual Report | 104 |
105 | Annual Report |
Annual Report | 106 |
107 | Annual Report |
Annual Report | 108 |
109 | Annual Report |
Annual Report | 110 |
111 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During PeriodB February 1, 2021 to July 31, 2021 | |
Fidelity Dividend ETF For Rising Rates | 0.29% | |||
Actual | $ 1,000.00 | $ 1,168.30 | $ 1.56 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity High Dividend ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,204.50 | $ 1.59 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Low Volatility Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,179.10 | $ 1.57 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Momentum Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,108.20 | $ 1.52 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Quality Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,213.00 | $ 1.59 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Small-Mid Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,163.40 | $ 1.56 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Stocks For Inflation ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,196.60 | $ 1.58 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
Annual Report | 112 |
Annualized Expense RatioA | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses Paid During PeriodB February 1, 2021 to July 31, 2021 | |
Fidelity U.S. Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,209.70 | $ 1.59 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Value Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,214.90 | $ 1.59 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
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 181/365 (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. |
113 | Annual Report |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity Dividend ETF for Rising Rates | 83% | 83% | 100% | 100% |
Fidelity High Dividend ETF | 62% | 62% | 75% | 75% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 62% | 62% | 98% | 98% |
Fidelity Stocks for Inflation ETF | 28% | 28% | 89% | 89% |
Fidelity U.S. Multifactor ETF | — | 29% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity Dividend ETF for Rising Rates | 97% | 97% | 100% | 100% |
Fidelity High Dividend ETF | 82% | 82% | 95% | 95% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 63% | 63% | 100% | 100% |
Fidelity Stocks for Inflation ETF | 30% | 30% | 90% | 90% |
Fidelity U.S. Multifactor ETF | — | 30% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
March 2020 | June 2020 | September 2020 | December 2020 | |
Fidelity Dividend ETF for Rising Rates | 12% | 12% | 3% | 3% |
Fidelity High Dividend ETF | 9% | 9% | 11% | 11% |
Fidelity Small-Mid Multifactor ETF | 10% | 10% | 16% | 16% |
Fidelity Stocks for Inflation ETF | — | — | 4% | 4% |
Fidelity U.S. Multifactor ETF | — | — | 4% | 4% |
Annual Report | 114 |
115 | Annual Report |
Annual Report | 116 |
Annual Report | 118 |
Annual Report | 120 |
Annual Report | 122 |
Annual Report | 124 |
125 | Annual Report |
Annual Report | 126 |
127 | Annual Report |
Annual Report | 128 |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Blue Chip Growth ETF – NAVA | 44.14 | 52.99 |
Fidelity Blue Chip Growth ETF – Market PriceB | 44.58 | 53.51 |
Russell 1000 Growth IndexA | 36.68 | 43.25 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 9.3 |
Amazon.com, Inc. | 7.5 |
Alphabet, Inc. Class A | 6.8 |
Microsoft Corp. | 6.8 |
Facebook, Inc. Class A | 5.2 |
NVIDIA Corp. | 4.7 |
Marvell Technology, Inc. | 3.1 |
Tesla, Inc. | 2.2 |
Salesforce.com, Inc. | 1.8 |
PayPal Holdings, Inc. | 1.6 |
49.0 |
% of fund's net assets | ||
Information Technology | 37.3 | |
Consumer Discretionary | 26.5 | |
Communication Services | 17.3 | |
Health Care | 7.5 | |
Industrials | 5.5 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity Blue Chip Value ETF – NAVA | 42.83 | 37.36 |
Fidelity Blue Chip Value ETF – Market PriceB | 42.99 | 33.70 |
Russell 1000 Value IndexA | 39.32 | 34.99 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 4.4 |
Comcast Corp. Class A | 3.6 |
UnitedHealth Group, Inc. | 2.7 |
Alphabet, Inc. Class A | 2.7 |
Bristol-Myers Squibb Co. | 2.6 |
The Procter & Gamble Co. | 2.6 |
CBRE Group, Inc. Class A | 2.5 |
Bank of America Corp. | 2.5 |
Cigna Corp. | 2.4 |
Cisco Systems, Inc. | 2.4 |
28.4 |
% of fund's net assets | ||
Financials | 19.7 | |
Health Care | 19.1 | |
Communication Services | 11.4 | |
Industrials | 11.2 | |
Utilities | 9.5 |
Annual Report | 10 |
% of fund's net assets | |
Microsoft Corp. | 7.7 |
Alphabet, Inc. Class C | 5.9 |
Amazon.com, Inc. | 4.8 |
Facebook, Inc. Class A | 4.5 |
Apple, Inc. | 4.3 |
Alphabet, Inc. Class A | 2.5 |
NVIDIA Corp. | 2.5 |
Sea Ltd. ADR | 2.3 |
Salesforce.com, Inc. | 2.0 |
T-Mobile US, Inc. | 1.8 |
38.3 |
% of fund's net assets | ||
Information Technology | 40.7 | |
Communication Services | 24.4 | |
Health Care | 14.2 | |
Consumer Discretionary | 12.1 | |
Industrials | 3.2 |
11 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 6.9 |
Microsoft Corp. | 6.5 |
Amazon.com, Inc. | 4.5 |
Facebook, Inc. Class A | 3.1 |
Alphabet, Inc. Class A | 2.5 |
Alphabet, Inc. Class C | 2.5 |
NVIDIA Corp. | 2.2 |
Visa, Inc. Class A | 2.0 |
UnitedHealth Group, Inc. | 1.8 |
Mastercard, Inc. Class A | 1.8 |
33.8 |
% of fund's net assets | ||
Information Technology | 39.8 | |
Communication Services | 14.0 | |
Consumer Discretionary | 9.7 | |
Health Care | 9.4 | |
Industrials | 8.6 |
Annual Report | 12 |
Average Annual Total Returns | Past 1 Year | Life of fund |
Fidelity New Millennium ETF – NAVA | 45.03 | 40.02 |
Fidelity New Millennium ETF – Market PriceB | 45.31 | 36.91 |
S&P 500 IndexA | 36.45 | 37.90 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
13 | Annual Report |
Annual Report | 14 |
% of fund's net assets | |
General Electric Co. | 5.3 |
Wells Fargo & Co. | 4.0 |
Bristol-Myers Squibb Co. | 2.9 |
The PNC Financial Services Group, Inc. | 2.8 |
Comcast Corp. Class A | 2.8 |
Exxon Mobil Corp. | 2.3 |
Eli Lilly & Co. | 2.3 |
American International Group, Inc. | 1.9 |
Cisco Systems, Inc. | 1.9 |
Hess Corp. | 1.7 |
27.9 |
% of fund's net assets | ||
Financials | 18.2 | |
Health Care | 17.4 | |
Industrials | 14.2 | |
Consumer Discretionary | 9.9 | |
Energy | 9.7 |
15 | Annual Report |
% of fund's net assets | |
Crown Castle International Corp. | 9.9 |
Prologis, Inc. | 7.7 |
Digital Realty Trust, Inc. | 7.1 |
SBA Communications Corp. | 7.0 |
Equinix, Inc. | 5.7 |
Welltower, Inc. | 5.4 |
Duke Realty Corp. | 5.2 |
Ventas, Inc. | 3.5 |
UDR, Inc. | 3.1 |
CubeSmart | 3.0 |
57.6 |
% of fund's net assets | ||
REITs - Diversified | 42.4 | |
REITs - Apartments | 11.2 | |
REITs - Health Care | 10.1 | |
REITs - Warehouse/Industrial | 7.7 | |
REITs - Storage | 6.7 |
Annual Report | 16 |
% of fund's net assets | |
Charles River Laboratories International, Inc. | 1.6 |
Molina Healthcare, Inc. | 1.3 |
Mohawk Industries, Inc. | 1.3 |
TFI International, Inc. | 1.3 |
Tapestry, Inc. | 1.3 |
Jones Lang LaSalle, Inc. | 1.3 |
Signature Bank | 1.2 |
Darling Ingredients, Inc. | 1.2 |
Discover Financial Services | 1.1 |
Kornit Digital Ltd. | 1.1 |
12.7 |
% of fund's net assets | ||
Industrials | 18.6 | |
Information Technology | 16.8 | |
Financials | 15.0 | |
Consumer Discretionary | 13.5 | |
Health Care | 13.3 |
17 | Annual Report |
% of fund's net assets | |
Microsoft Corp. | 5.2 |
Danaher Corp. | 2.4 |
Salesforce.com, Inc. | 2.3 |
Intuit, Inc. | 2.2 |
Merck & Co., Inc. | 2.2 |
Prologis, Inc. | 2.1 |
Accenture PLC Class A | 2.0 |
AbbVie, Inc. | 2.0 |
NVIDIA Corp. | 1.9 |
PayPal Holdings, Inc. | 1.8 |
24.1 |
% of fund's net assets | ||
Information Technology | 26.4 | |
Health Care | 14.7 | |
Consumer Discretionary | 12.9 | |
Financials | 12.6 | |
Industrials | 9.3 |
Annual Report | 18 |
% of fund's net assets | |
Microsoft Corp. | 3.4 |
Accenture PLC Class A | 2.1 |
NVIDIA Corp. | 2.0 |
Nasdaq, Inc. | 1.9 |
Adobe, Inc. | 1.9 |
Intuit, Inc. | 1.9 |
Anthem, Inc. | 1.9 |
Salesforce.com, Inc. | 1.7 |
PayPal Holdings, Inc. | 1.6 |
Bank of America Corp. | 1.5 |
19.9 |
% of fund's net assets | ||
Information Technology | 29.4 | |
Consumer Discretionary | 14.5 | |
Health Care | 14.4 | |
Financials | 11.1 | |
Industrials | 8.7 |
19 | Annual Report |
Common Stocks – 99.2% | ||
Shares | Value | |
COMMUNICATION SERVICES – 17.3% | ||
Entertainment – 3.1% | ||
Activision Blizzard, Inc. | 12,660 | $ 1,058,629 |
Bilibili, Inc. ADR (a) | 5 | 447 |
Endeavor Group Holdings, Inc. (a) | 14,978 | 384,186 |
Netflix, Inc. (a) | 10,666 | 5,520,401 |
Roku, Inc. (a) | 3,412 | 1,461,394 |
Sea Ltd. ADR (a) | 15,722 | 4,341,787 |
Take-Two Interactive Software, Inc. (a) | 2 | 340 |
The Walt Disney Co. (a) | 3 | 535 |
12,767,719 | ||
Interactive Media & Services – 13.5% | ||
Alphabet, Inc. Class A (a) | 10,248 | 27,613,543 |
Bumble, Inc. Class A (a) | 3,316 | 168,718 |
Facebook, Inc. Class A (a) | 59,510 | 21,203,413 |
JOYY, Inc. ADR | 8 | 436 |
Match Group, Inc. (a) | 8,056 | 1,283,079 |
Snap, Inc. Class A (a) | 51,990 | 3,869,096 |
Twitter, Inc. (a) | 7,986 | 557,024 |
Zillow Group, Inc. Class C (a) | 1,969 | 209,226 |
54,904,535 | ||
Media – 0.4% | ||
Criteo S.A. ADR (a) | 19,899 | 771,882 |
DISH Network Corp. Class A (a) | 14,210 | 595,257 |
1,367,139 | ||
Wireless Telecommunication Services – 0.3% | ||
T-Mobile US, Inc. (a) | 8,598 | 1,238,284 |
TOTAL COMMUNICATION SERVICES | 70,277,677 | |
CONSUMER DISCRETIONARY – 26.5% | ||
Automobiles – 2.8% | ||
Ford Motor Co. (a) | 20,901 | 291,569 |
General Motors Co. (a) | 16,131 | 916,886 |
Harley-Davidson, Inc. | 7,271 | 288,077 |
Tesla, Inc. (a) | 13,090 | 8,995,448 |
XPeng, Inc. ADR (a) | 20,899 | 847,036 |
11,339,016 | ||
Diversified Consumer Services – 0.1% | ||
Duolingo, Inc. (a) | 204 | 28,611 |
Mister Car Wash, Inc. (a) | 7,152 | 149,048 |
177,659 | ||
Hotels, Restaurants & Leisure – 4.1% | ||
Airbnb, Inc. Class A (a) | 21,768 | 3,134,810 |
Boyd Gaming Corp. (a) | 180 | 10,260 |
Caesars Entertainment, Inc. (a) | 28,489 | 2,488,799 |
Chipotle Mexican Grill, Inc. (a) | 1,123 | 2,092,643 |
Churchill Downs, Inc. | 3,383 | 628,562 |
DraftKings, Inc. Class A (a) | 2,142 | 103,887 |
Expedia Group, Inc. (a) | 7,600 | 1,222,612 |
Hilton Worldwide Holdings, Inc. (a) | 6,886 | 905,165 |
| ||
Shares | Value | |
Marriott International, Inc. Class A (a) | 9,090 | $ 1,326,958 |
MGM Resorts International | 18,542 | 695,881 |
Penn National Gaming, Inc. (a) | 45,193 | 3,090,297 |
Planet Fitness, Inc. Class A (a) | 5,255 | 395,334 |
Texas Roadhouse, Inc. | 120 | 11,060 |
Vail Resorts, Inc. (a) | 1,766 | 538,983 |
Wynn Resorts Ltd. (a) | 2,176 | 213,966 |
16,859,217 | ||
Household Durables – 0.8% | ||
D.R. Horton, Inc. | 3,171 | 302,608 |
KB Home | 4,911 | 208,423 |
Lennar Corp. Class A | 4,541 | 477,486 |
Meritage Homes Corp. (a) | 1,398 | 151,795 |
PulteGroup, Inc. | 4,065 | 223,047 |
Purple Innovation, Inc. (a) | 264 | 6,954 |
Sonos, Inc. (a) | 5,518 | 184,191 |
Taylor Morrison Home Corp. (a) | 6 | 162 |
Tempur Sealy International, Inc. | 9,709 | 420,108 |
Toll Brothers, Inc. | 6,981 | 413,764 |
Tri Pointe Homes, Inc. (a) | 21,233 | 512,140 |
Tupperware Brands Corp. (a) | 15,435 | 322,437 |
3,223,115 | ||
Internet & Direct Marketing Retail – 8.4% | ||
Alibaba Group Holding Ltd. ADR (a) | 114 | 22,252 |
Amazon.com, Inc. (a) | 9,137 | 30,404,190 |
Chewy, Inc. Class A (a) | 4,250 | 355,725 |
ContextLogic, Inc. Class A (a) | 12 | 120 |
Coupang, Inc. (a) | 3,113 | 113,064 |
eBay, Inc. | 11,429 | 779,572 |
Etsy, Inc. (a) | 2,433 | 446,480 |
Farfetch Ltd. Class A (a) | 14,670 | 735,260 |
Global-e Online Ltd. (a) | 2,405 | 167,484 |
JD.com, Inc. ADR (a) | 6 | 432 |
Pinduoduo, Inc. ADR (a) | 3,473 | 318,162 |
The RealReal, Inc. (a) | 15,901 | 262,525 |
Wayfair, Inc. Class A (a) | 2,412 | 582,160 |
34,187,426 | ||
Leisure Products – 0.2% | ||
Callaway Golf Co. (a) | 217 | 6,874 |
Peloton Interactive, Inc. Class A (a) | 7,478 | 882,778 |
Vista Outdoor, Inc. (a) | 3 | 124 |
889,776 | ||
Multiline Retail – 0.5% | ||
Kohl's Corp. | 4,671 | 237,287 |
Nordstrom, Inc. (a) | 23,041 | 762,657 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 5,641 | 525,177 |
Target Corp. | 2,143 | 559,430 |
2,084,551 | ||
Specialty Retail – 5.6% | ||
Academy Sports & Outdoors, Inc. (a) | 3,796 | 140,642 |
Annual Report | 20 |
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Specialty Retail – continued | ||
American Eagle Outfitters, Inc. | 51,799 | $ 1,785,512 |
Aritzia, Inc. (a) | 10,205 | 299,295 |
Bath & Body Works, Inc. | 8,235 | 659,376 |
Burlington Stores, Inc. (a) | 3,336 | 1,116,893 |
Carvana Co. (a) | 12,959 | 4,374,440 |
Citi Trends, Inc. (a) | 1,837 | 146,501 |
Dick's Sporting Goods, Inc. | 11,045 | 1,150,226 |
Five Below, Inc. (a) | 6,207 | 1,206,765 |
Floor & Decor Holdings, Inc. Class A (a) | 13,375 | 1,631,884 |
Lowe's Cos., Inc. | 29,451 | 5,674,913 |
RH (a) | 5,532 | 3,673,691 |
The Gap, Inc. | 17,592 | 513,159 |
The Home Depot, Inc. | 1,802 | 591,398 |
Urban Outfitters, Inc. (a) | 5 | 182 |
22,964,877 | ||
Textiles, Apparel & Luxury Goods – 4.0% | ||
Capri Holdings Ltd. (a) | 31,765 | 1,788,687 |
Crocs, Inc. (a) | 18,657 | 2,533,807 |
Deckers Outdoor Corp. (a) | 2,874 | 1,180,783 |
Levi Strauss & Co. Class A | 6,300 | 173,376 |
Lululemon Athletica, Inc. (a) | 4,302 | 1,721,531 |
NIKE, Inc. Class B | 34,613 | 5,798,024 |
PVH Corp. (a) | 14,382 | 1,504,645 |
Tapestry, Inc. (a) | 21,513 | 910,000 |
Under Armour, Inc. Class A (a) | 28,298 | 578,694 |
16,189,547 | ||
TOTAL CONSUMER DISCRETIONARY | 107,915,184 | |
CONSUMER STAPLES – 0.9% | ||
Beverages – 0.7% | ||
Celsius Holdings, Inc. (a) | 8,020 | 550,413 |
Constellation Brands, Inc. Class A | 1,347 | 302,186 |
Monster Beverage Corp. (a) | 8,088 | 762,860 |
The Boston Beer Co., Inc. Class A (a) | 28 | 19,880 |
The Coca-Cola Co. | 22,783 | 1,299,314 |
2,934,653 | ||
Food Products – 0.1% | ||
Bunge Ltd. | 113 | 8,773 |
Darling Ingredients, Inc. (a) | 3,574 | 246,856 |
Freshpet, Inc. (a) | 889 | 130,194 |
385,823 | ||
Personal Products – 0.1% | ||
The Honest Co., Inc. (a) | 15,584 | 223,942 |
Tobacco – 0.0% | ||
Altria Group, Inc. | 7 | 340 |
TOTAL CONSUMER STAPLES | 3,544,758 |
| ||
Shares | Value | |
ENERGY – 0.6% | ||
Energy Equipment & Services – 0.1% | ||
Schlumberger N.V. | 12,128 | $ 349,650 |
Oil, Gas & Consumable Fuels – 0.5% | ||
BP PLC ADR | 416 | 10,059 |
Cheniere Energy, Inc. (a) | 1,789 | 151,940 |
ConocoPhillips | 5,715 | 320,383 |
Devon Energy Corp. | 4,862 | 125,634 |
Diamondback Energy, Inc. | 3,836 | 295,871 |
EOG Resources, Inc. | 5,980 | 435,703 |
Hess Corp. | 7,594 | 580,485 |
Pioneer Natural Resources Co. | 1,099 | 159,761 |
Suncor Energy, Inc. | 8,269 | 162,782 |
TotalEnergies SE ADR | 2 | 89 |
Valero Energy Corp. | 203 | 13,595 |
2,256,302 | ||
TOTAL ENERGY | 2,605,952 | |
FINANCIALS – 1.5% | ||
Banks – 0.5% | ||
Bank of America Corp. | 4,758 | 182,517 |
Citigroup, Inc. | 6,010 | 406,396 |
Wells Fargo & Co. | 31,397 | 1,442,378 |
2,031,291 | ||
Capital Markets – 0.4% | ||
BowX Acquisition Corp. (a) | 14,504 | 153,307 |
Coinbase Global, Inc. Class A (a) | 524 | 123,968 |
Morgan Stanley | 5,672 | 544,399 |
The Charles Schwab Corp. | 5,477 | 372,162 |
The Goldman Sachs Group, Inc. | 1,241 | 465,226 |
1,659,062 | ||
Consumer Finance – 0.5% | ||
Ally Financial, Inc. | 10,763 | 552,788 |
American Express Co. | 5,329 | 908,754 |
Capital One Financial Corp. | 3,901 | 630,792 |
2,092,334 | ||
Insurance – 0.1% | ||
Goosehead Insurance, Inc. Class A | 997 | 119,830 |
MetLife, Inc. | 2,523 | 145,577 |
Prudential Financial, Inc. | 1,475 | 147,913 |
413,320 | ||
TOTAL FINANCIALS | 6,196,007 | |
HEALTH CARE – 7.5% | ||
Biotechnology – 2.3% | ||
Acceleron Pharma, Inc. (a) | 3,166 | 395,940 |
ADC Therapeutics S.A. (a) | 514 | 10,815 |
Agios Pharmaceuticals, Inc. (a) | 3,323 | 159,803 |
Akouos, Inc. (a) | 2,603 | 28,295 |
Allakos, Inc. (a) | 422 | 33,574 |
21 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Alnylam Pharmaceuticals, Inc. (a) | 4,243 | $ 759,242 |
Annexon, Inc. (a) | 2,480 | 52,229 |
Arcutis Biotherapeutics, Inc. (a) | 1,350 | 31,495 |
Argenx SE ADR (a) | 885 | 269,421 |
Ascendis Pharma A/S ADR (a) | 1,870 | 221,015 |
Avidity Biosciences, Inc. (a) | 628 | 12,127 |
BeiGene Ltd. ADR (a) | 1,401 | 443,543 |
BioAtla, Inc. (a) | 436 | 17,872 |
Bolt Biotherapeutics, Inc. (a) | 1,875 | 20,906 |
Bridgebio Pharma, Inc. (a) | 1,322 | 70,661 |
Cerevel Therapeutics Holdings, Inc. (a) | 7,159 | 176,398 |
Connect Biopharma Holdings Ltd. (a) | 4,661 | 102,589 |
Day One Biopharmaceuticals, Inc. (a) | 6,382 | 151,381 |
Forma Therapeutics Holdings, Inc. (a) | 1,741 | 39,851 |
Fusion Pharmaceuticals, Inc. (a) | 2,385 | 19,438 |
Generation Bio Co. (a) | 817 | 17,762 |
Horizon Therapeutics PLC (a) | 11,262 | 1,126,425 |
Immunocore Holdings PLC (a) | 1,161 | 37,988 |
Instil Bio, Inc. (a) | 4,082 | 61,434 |
Kura Oncology, Inc. (a) | 1,129 | 21,383 |
Mirati Therapeutics, Inc. (a) | 469 | 75,068 |
Moderna, Inc. (a) | 4,688 | 1,657,677 |
Neurocrine Biosciences, Inc. (a) | 4 | 372 |
Novavax, Inc. (a) | 2,620 | 469,845 |
Prelude Therapeutics, Inc. (a) | 1,795 | 57,512 |
Protagonist Therapeutics, Inc. (a) | 4,017 | 198,560 |
Recursion Pharmaceuticals, Inc. (a) | 5,355 | 162,524 |
Regeneron Pharmaceuticals, Inc. (a) | 1,157 | 664,824 |
Relay Therapeutics, Inc. (a) | 3,275 | 106,241 |
REVOLUTION Medicines, Inc. (a) | 3,239 | 92,765 |
Sage Therapeutics, Inc. (a) | 4 | 176 |
Sana Biotechnology, Inc. (a) | 126 | 2,052 |
Seagen, Inc. (a) | 1,065 | 163,360 |
Shattuck Labs, Inc. (a) | 500 | 11,020 |
Silverback Therapeutics, Inc. (a) | 1,835 | 55,564 |
Taysha Gene Therapies, Inc. (a) | 447 | 7,729 |
TG Therapeutics, Inc. (a) | 1,112 | 38,909 |
Translate Bio, Inc. (a) | 6,216 | 171,810 |
Turning Point Therapeutics, Inc. (a) | 4,160 | 265,491 |
Twist Bioscience Corp. (a) | 185 | 22,764 |
Vaxcyte, Inc. (a) | 1,162 | 25,192 |
Verve Therapeutics, Inc. (a) | 4,043 | 240,275 |
Xencor, Inc. (a) | 3,726 | 114,686 |
Zai Lab Ltd. ADR (a) | 3,949 | 571,065 |
9,457,068 | ||
Health Care Equipment & Supplies – 2.4% | ||
Axonics, Inc. (a) | 6,917 | 470,010 |
Boston Scientific Corp. (a) | 3,461 | 157,822 |
CryoPort, Inc. (a) | 811 | 50,055 |
| ||
Shares | Value | |
Danaher Corp. | 4,013 | $ 1,193,827 |
DexCom, Inc. (a) | 4,845 | 2,497,646 |
Figs, Inc. Class A (a) | 4,372 | 159,141 |
Inmode Ltd. (a) | 3,546 | 403,074 |
Intuitive Surgical, Inc. (a) | 2,795 | 2,771,131 |
Novocure Ltd. (a) | 100 | 15,401 |
Outset Medical, Inc. (a) | 390 | 15,974 |
Shockwave Medical, Inc. (a) | 6,873 | 1,250,886 |
Tandem Diabetes Care, Inc. (a) | 5,642 | 613,116 |
9,598,083 | ||
Health Care Providers & Services – 0.8% | ||
1Life Healthcare, Inc. (a) | 7,268 | 196,527 |
agilon health, Inc. (a) | 7,004 | 257,677 |
Alignment Healthcare, Inc. (a) | 6,965 | 145,081 |
Cano Health, Inc. (a) | 4,151 | 44,623 |
Guardant Health, Inc. (a) | 4,224 | 463,795 |
Humana, Inc. | 2,276 | 969,257 |
Oak Street Health, Inc. (a) | 6,186 | 389,966 |
Owens & Minor, Inc. | 2,492 | 115,255 |
Signify Health, Inc. (a) | 804 | 21,161 |
Surgery Partners, Inc. (a) | 2,648 | 144,475 |
UnitedHealth Group, Inc. | 1,682 | 693,354 |
3,441,171 | ||
Health Care Technology – 0.0% | ||
Certara, Inc. (a) | 2,746 | 74,719 |
GoodRx Holdings, Inc. Class A (a) | 217 | 6,959 |
81,678 | ||
Life Sciences Tools & Services – 0.5% | ||
10X Genomics, Inc. Class A (a) | 2,738 | 501,684 |
Absci Corp. (a) | 3,132 | 89,200 |
Avantor, Inc. (a) | 12,159 | 456,935 |
Bio-Rad Laboratories, Inc. Class A (a) | 280 | 207,063 |
Maravai LifeSciences Holdings, Inc. Class A (a) | 5,123 | 225,258 |
NanoString Technologies, Inc. (a) | 2,858 | 177,025 |
Olink Holding AB ADR (a) | 6,482 | 242,232 |
Seer, Inc. (a) | 666 | 21,272 |
Thermo Fisher Scientific, Inc. | 8 | 4,270 |
1,924,939 | ||
Pharmaceuticals – 1.5% | ||
Arvinas, Inc. (a) | 893 | 90,282 |
Atea Pharmaceuticals, Inc. (a) | 1,760 | 44,070 |
Eli Lilly & Co. | 11,661 | 2,839,454 |
Intra-Cellular Therapies, Inc. (a) | 6,379 | 218,991 |
Nektar Therapeutics (a) | 10 | 161 |
Pharvaris N.V. (a) | 1,018 | 18,090 |
Zoetis, Inc. | 14,235 | 2,885,434 |
6,096,482 | ||
TOTAL HEALTH CARE | 30,599,421 |
Annual Report | 22 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – 5.5% | ||
Aerospace & Defense – 0.3% | ||
Axon Enterprise, Inc. (a) | 2,551 | $ 474,537 |
Howmet Aerospace, Inc. (a) | 9,837 | 322,851 |
The Boeing Co. (a) | 2,094 | 474,249 |
1,271,637 | ||
Air Freight & Logistics – 0.3% | ||
FedEx Corp. | 4,596 | 1,286,650 |
Airlines – 0.0% | ||
JetBlue Airways Corp. (a) | 74 | 1,121 |
Spirit Airlines, Inc. (a) | 22 | 624 |
1,745 | ||
Building Products – 0.4% | ||
Builders FirstSource, Inc. (a) | 13,466 | 599,237 |
Carrier Global Corp. | 6,334 | 349,953 |
The AZEK Co., Inc. (a) | 12,186 | 443,205 |
Trane Technologies PLC | 542 | 110,357 |
1,502,752 | ||
Commercial Services & Supplies – 0.1% | ||
ACV Auctions, Inc. Class A (a) | 14,998 | 347,354 |
Construction & Engineering – 0.1% | ||
Dycom Industries, Inc. (a) | 3,333 | 231,310 |
MasTec, Inc. (a) | 2,724 | 275,751 |
Quanta Services, Inc. | 68 | 6,181 |
513,242 | ||
Electrical Equipment – 0.3% | ||
Acuity Brands, Inc. | 4,422 | 775,530 |
Sunrun, Inc. (a) | 8,584 | 454,695 |
1,230,225 | ||
Industrial Conglomerates – 0.2% | ||
General Electric Co. | 71,153 | 921,431 |
Machinery – 0.3% | ||
Caterpillar, Inc. | 1,161 | 240,037 |
Deere & Co. | 1,566 | 566,250 |
Otis Worldwide Corp. | 1,955 | 175,070 |
Proterra, Inc. (a) | 15,843 | 174,748 |
1,156,105 | ||
Professional Services – 0.2% | ||
First Advantage Corp. (a) | 7,536 | 147,781 |
KBR, Inc. | 4,005 | 154,993 |
Upwork, Inc. (a) | 8,649 | 447,932 |
750,706 | ||
Road & Rail – 3.3% | ||
Avis Budget Group, Inc. (a) | 3,670 | 303,766 |
Canadian Pacific Railway Ltd. | 6,707 | 498,025 |
Lyft, Inc. Class A (a) | 111,893 | 6,189,921 |
TuSimple Holdings, Inc. (a) | 7,057 | 259,697 |
| ||
Shares | Value | |
Uber Technologies, Inc. (a) | 140,132 | $ 6,090,137 |
13,341,546 | ||
TOTAL INDUSTRIALS | 22,323,393 | |
INFORMATION TECHNOLOGY – 37.3% | ||
IT Services – 3.9% | ||
Dlocal Ltd. (a) | 4,305 | 194,328 |
Endava PLC ADR (a) | 2,200 | 282,964 |
MongoDB, Inc. (a) | 1,308 | 469,467 |
PayPal Holdings, Inc. (a) | 24,188 | 6,664,520 |
Shopify, Inc. Class A (a) | 1,803 | 2,706,812 |
Snowflake, Inc. Class A (a) | 1,048 | 278,475 |
Square, Inc. Class A (a) | 11,689 | 2,890,222 |
Squarespace, Inc. Class A (a) | 2,742 | 138,827 |
Twilio, Inc. Class A (a) | 6,234 | 2,328,960 |
15,954,575 | ||
Semiconductors & Semiconductor Equipment – 10.4% | ||
Ambarella, Inc. (a) | 67 | 6,599 |
ASML Holding N.V. | 781 | 598,824 |
Cirrus Logic, Inc. (a) | 2,215 | 182,937 |
Enphase Energy, Inc. (a) | 4,722 | 895,291 |
KLA Corp. | 35 | 12,186 |
Lam Research Corp. | 1,165 | 742,583 |
Marvell Technology, Inc. | 209,947 | 12,703,893 |
Micron Technology, Inc. (a) | 62 | 4,779 |
NVIDIA Corp. | 97,248 | 18,962,387 |
NXP Semiconductors N.V. | 28,498 | 5,881,702 |
ON Semiconductor Corp. (a) | 13,484 | 526,685 |
Synaptics, Inc. (a) | 1,299 | 197,344 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 2,711 | 316,211 |
Teradyne, Inc. | 8,518 | 1,081,786 |
42,113,207 | ||
Software – 13.6% | ||
Adobe, Inc. (a) | 9,731 | 6,049,082 |
Atlassian Corp. PLC Class A (a) | 486 | 158,008 |
Autodesk, Inc. (a) | 679 | 218,047 |
Avalara, Inc. (a) | 1,560 | 260,785 |
Cadence Design Systems, Inc. (a) | 3,266 | 482,225 |
Cloudflare, Inc. Class A (a) | 2,360 | 279,967 |
Coupa Software, Inc. (a) | 2,367 | 513,639 |
Crowdstrike Holdings, Inc. Class A (a) | 2,745 | 696,159 |
DocuSign, Inc. (a) | 3,412 | 1,016,913 |
DoubleVerify Holdings, Inc. (a) | 17,497 | 605,396 |
Five9, Inc. (a) | 1,374 | 276,572 |
HubSpot, Inc. (a) | 2,405 | 1,433,428 |
Intuit, Inc. | 1,821 | 965,075 |
Lightspeed POS, Inc. (a) | 11,549 | 988,774 |
Microsoft Corp. | 96,579 | 27,516,323 |
RingCentral, Inc. Class A (a) | 3,518 | 940,256 |
23 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Software – continued | ||
Salesforce.com, Inc. (a) | 30,498 | $ 7,378,381 |
SentinelOne, Inc. Class A (a) | 5,376 | 265,091 |
ServiceNow, Inc. (a) | 1,611 | 947,091 |
Telos Corp. (a) | 2,024 | 56,712 |
The Trade Desk, Inc. Class A (a) | 11,301 | 925,665 |
UiPath, Inc. (a) | 6,692 | 418,652 |
Workday, Inc. Class A (a) | 3,169 | 742,814 |
Zendesk, Inc. (a) | 1,057 | 137,970 |
Zoom Video Communications, Inc. Class A (a) | 6,020 | 2,276,162 |
55,549,187 | ||
Technology Hardware, Storage & Peripherals – 9.4% | ||
Apple, Inc. | 261,083 | 38,081,566 |
Logitech International S.A. | 1,217 | 132,714 |
38,214,280 | ||
TOTAL INFORMATION TECHNOLOGY | 151,831,249 | |
MATERIALS – 1.8% | ||
Chemicals – 0.8% | ||
Albemarle Corp. | 816 | 168,129 |
Celanese Corp. | 1 | 156 |
CF Industries Holdings, Inc. | 4,321 | 204,167 |
Corteva, Inc. | 6,890 | 294,754 |
Nutrien Ltd. | 16,053 | 954,482 |
Olin Corp. | 6,286 | 295,631 |
PPG Industries, Inc. | 891 | 145,696 |
The Chemours Co. | 20,050 | 666,662 |
The Mosaic Co. | 16,361 | 510,954 |
Tronox Holdings PLC Class A | 5 | 93 |
Westlake Chemical Corp. | 51 | 4,229 |
3,244,953 | ||
Construction Materials – 0.1% | ||
Eagle Materials, Inc. | 2,096 | 296,207 |
Metals & Mining – 0.9% | ||
Allegheny Technologies, Inc. (a) | 6,342 | 130,201 |
ArcelorMittal S.A. | 18,348 | 646,584 |
First Quantum Minerals Ltd. | 11,830 | 253,365 |
Freeport-McMoRan, Inc. | 47,125 | 1,795,462 |
Gatos Silver, Inc. (a) | 8,810 | 120,168 |
Vale S.A. ADR | 29,427 | 618,556 |
3,564,336 |
| ||
Shares | Value | |
Paper & Forest Products – 0.0% | ||
Louisiana-Pacific Corp. | 93 | $5,156 |
West Fraser Timber Co. Ltd. | 3,777 | 270,923 |
276,079 | ||
TOTAL MATERIALS | 7,381,575 | |
REAL ESTATE – 0.3% | ||
Equity Real Estate Investment Trusts (REITs) – 0.1% | ||
Simon Property Group, Inc. | 4,553 | 576,045 |
Real Estate Management & Development – 0.2% | ||
Compass, Inc. (a) | 9,079 | 124,019 |
Realogy Holdings Corp. (a) | 5,395 | 95,600 |
Redfin Corp. (a) | 6,555 | 383,926 |
603,545 | ||
TOTAL REAL ESTATE | 1,179,590 | |
UTILITIES – 0.0% | ||
Independent Power and Renewable Electricity Producers – 0.0% | ||
Brookfield Renewable Corp. | 2,645 | 112,254 |
Brookfield Renewable Corp. Class A | 873 | 37,044 |
The AES Corp. | 8 | 194 |
TOTAL UTILITIES | 149,492 | |
TOTAL COMMON STOCKS (Cost $339,195,123) | 404,004,298 | |
Money Market Fund – 0.9% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $3,498,742) | 3,498,743 | 3,498,743 |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $342,693,865) | 407,503,041 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (313,542) | |
NET ASSETS – 100.0% | $ 407,189,499 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 24 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 70,277,677 | $ 70,277,677 | $ — | $ — | ||||
Consumer Discretionary | 107,915,184 | 107,915,184 | — | — | ||||
Consumer Staples | 3,544,758 | 3,544,758 | — | — | ||||
Energy | 2,605,952 | 2,605,952 | — | — | ||||
Financials | 6,196,007 | 6,196,007 | — | — | ||||
Health Care | 30,599,421 | 30,599,421 | — | — | ||||
Industrials | 22,323,393 | 22,323,393 | — | — | ||||
Information Technology | 151,831,249 | 151,831,249 | — | — | ||||
Materials | 7,381,575 | 7,381,575 | — | — | ||||
Real Estate | 1,179,590 | 1,179,590 | — | — | ||||
Utilities | 149,492 | 149,492 | — | — | ||||
Money Market Fund | 3,498,743 | 3,498,743 | — | — | ||||
Total Investments in Securities: | $ 407,503,041 | $ 407,503,041 | $ — | $ — |
25 | Annual Report |
Common Stocks – 96.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 11.4% | ||
Diversified Telecommunication Services – 1.9% | ||
Verizon Communications, Inc. | 31,421 | $ 1,752,663 |
Entertainment – 0.3% | ||
Lions Gate Entertainment Corp. Class B (a) | 21,257 | 283,994 |
Interactive Media & Services – 3.2% | ||
Alphabet, Inc. Class A (a) | 928 | 2,500,524 |
Facebook, Inc. Class A (a) | 1,487 | 529,818 |
3,030,342 | ||
Media – 6.0% | ||
Comcast Corp. Class A | 57,568 | 3,386,726 |
Fox Corp. Class A | 7,997 | 285,173 |
The Interpublic Group of Cos., Inc. | 41,634 | 1,472,178 |
WPP PLC ADR | 8,340 | 539,598 |
5,683,675 | ||
TOTAL COMMUNICATION SERVICES | 10,750,674 | |
CONSUMER DISCRETIONARY – 4.7% | ||
Auto Components – 0.4% | ||
Lear Corp. | 1,984 | 347,160 |
Household Durables – 0.5% | ||
Whirlpool Corp. | 1,940 | 429,788 |
Multiline Retail – 1.3% | ||
Dollar General Corp. | 5,333 | 1,240,669 |
Specialty Retail – 1.3% | ||
Best Buy Co., Inc. | 8,537 | 959,132 |
Lowe's Cos., Inc. | 1,521 | 293,081 |
1,252,213 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||
PVH Corp. (a) | 4,477 | 468,384 |
Tapestry, Inc. (a) | 15,986 | 676,208 |
1,144,592 | ||
TOTAL CONSUMER DISCRETIONARY | 4,414,422 | |
CONSUMER STAPLES – 6.8% | ||
Food & Staples Retailing – 1.7% | ||
The Kroger Co. | 27,152 | 1,105,086 |
US Foods Holding Corp. (a) | 13,285 | 456,207 |
1,561,293 | ||
Food Products – 2.2% | ||
Mondelez International, Inc. Class A | 24,633 | 1,558,284 |
Tyson Foods, Inc. Class A | 7,952 | 568,250 |
2,126,534 | ||
Household Products – 2.9% | ||
Spectrum Brands Holdings, Inc. | 2,994 | 261,526 |
| ||
Shares | Value | |
The Procter & Gamble Co. | 17,483 | $ 2,486,607 |
2,748,133 | ||
TOTAL CONSUMER STAPLES | 6,435,960 | |
FINANCIALS – 19.7% | ||
Banks – 7.6% | ||
Bank of America Corp. | 61,995 | 2,378,128 |
Cullen/Frost Bankers, Inc. | 2,537 | 272,271 |
JPMorgan Chase & Co. | 14,728 | 2,235,416 |
M&T Bank Corp. | 7,528 | 1,007,623 |
The PNC Financial Services Group, Inc. | 7,262 | 1,324,661 |
7,218,099 | ||
Capital Markets – 1.7% | ||
Affiliated Managers Group, Inc. | 4,671 | 740,073 |
BlackRock, Inc. | 408 | 353,805 |
Invesco Ltd. | 12,088 | 294,706 |
State Street Corp. | 2,858 | 249,046 |
1,637,630 | ||
Consumer Finance – 2.5% | ||
Capital One Financial Corp. | 5,839 | 944,166 |
Discover Financial Services | 10,999 | 1,367,396 |
2,311,562 | ||
Diversified Financial Services – 4.4% | ||
Berkshire Hathaway, Inc. Class B (a) | 14,856 | 4,134,277 |
Insurance – 3.5% | ||
American International Group, Inc. | 9,837 | 465,782 |
Chubb Ltd. | 6,642 | 1,120,771 |
The Allstate Corp. | 2,336 | 303,797 |
The Travelers Cos., Inc. | 9,447 | 1,406,847 |
3,297,197 | ||
TOTAL FINANCIALS | 18,598,765 | |
HEALTH CARE – 19.1% | ||
Biotechnology – 2.7% | ||
Amgen, Inc. | 5,877 | 1,419,531 |
Regeneron Pharmaceuticals, Inc. (a) | 1,940 | 1,114,743 |
2,534,274 | ||
Health Care Providers & Services – 11.1% | ||
Anthem, Inc. | 3,282 | 1,260,321 |
Centene Corp. (a) | 29,990 | 2,057,614 |
Cigna Corp. | 9,909 | 2,274,017 |
CVS Health Corp. | 13,248 | 1,091,105 |
Humana, Inc. | 2,887 | 1,229,458 |
UnitedHealth Group, Inc. | 6,264 | 2,582,146 |
10,494,661 | ||
Pharmaceuticals – 5.3% | ||
AstraZeneca PLC ADR | 23,450 | 1,342,278 |
Bristol-Myers Squibb Co. | 36,698 | 2,490,693 |
Annual Report | 26 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Sanofi ADR | 22,384 | $ 1,154,119 |
4,987,090 | ||
TOTAL HEALTH CARE | 18,016,025 | |
INDUSTRIALS – 11.2% | ||
Aerospace & Defense – 2.7% | ||
L3Harris Technologies, Inc. | 4,303 | 975,662 |
Northrop Grumman Corp. | 4,200 | 1,524,684 |
2,500,346 | ||
Building Products – 1.7% | ||
Johnson Controls International PLC | 10,185 | 727,413 |
Owens Corning | 2,150 | 206,744 |
Trane Technologies PLC | 3,249 | 661,529 |
1,595,686 | ||
Electrical Equipment – 0.7% | ||
Regal-Beloit Corp. | 4,476 | 659,001 |
Industrial Conglomerates – 1.4% | ||
3M Co. | 6,718 | 1,329,761 |
Machinery – 4.7% | ||
ITT, Inc. | 8,864 | 867,874 |
Oshkosh Corp. | 11,178 | 1,336,330 |
Otis Worldwide Corp. | 8,582 | 768,518 |
Pentair PLC | 11,872 | 874,610 |
Stanley Black & Decker, Inc. | 3,214 | 633,319 |
4,480,651 | ||
TOTAL INDUSTRIALS | 10,565,445 | |
INFORMATION TECHNOLOGY – 6.8% | ||
Communications Equipment – 2.4% | ||
Cisco Systems, Inc. | 40,522 | 2,243,703 |
Electronic Equipment, Instruments & Components – 1.5% | ||
TE Connectivity Ltd. | 9,906 | 1,460,838 |
IT Services – 1.6% | ||
Amdocs Ltd. | 20,016 | 1,543,434 |
Semiconductors & Semiconductor Equipment – 0.7% | ||
NXP Semiconductors N.V. | 3,214 | 663,337 |
Software – 0.6% | ||
NortonLifelock, Inc. | 22,493 | 558,276 |
TOTAL INFORMATION TECHNOLOGY | 6,469,588 | |
MATERIALS – 2.8% | ||
Chemicals – 1.5% | ||
DuPont de Nemours, Inc. | 10,362 | 777,668 |
International Flavors & Fragrances, Inc. | 4,169 | 628,018 |
1,405,686 |
| ||
Shares | Value | |
Metals & Mining – 1.3% | ||
BHP Group Ltd. ADR | 1,267 | $99,536 |
Newmont Corp. | 17,853 | 1,121,525 |
1,221,061 | ||
TOTAL MATERIALS | 2,626,747 | |
REAL ESTATE – 4.6% | ||
Equity Real Estate Investment Trusts (REITs) – 2.1% | ||
American Tower Corp. | 4,879 | 1,379,781 |
Simon Property Group, Inc. | 5,014 | 634,371 |
2,014,152 | ||
Real Estate Management & Development – 2.5% | ||
CBRE Group, Inc. Class A (a) | 24,674 | 2,380,054 |
TOTAL REAL ESTATE | 4,394,206 | |
UTILITIES – 9.5% | ||
Electric Utilities – 7.7% | ||
Duke Energy Corp. | 11,291 | 1,186,797 |
Evergy, Inc. | 20,322 | 1,325,401 |
Exelon Corp. | 28,228 | 1,321,070 |
Portland General Electric Co. | 17,553 | 858,342 |
PPL Corp. | 27,622 | 783,636 |
The Southern Co. | 28,238 | 1,803,561 |
7,278,807 | ||
Multi-Utilities – 1.8% | ||
Dominion Energy, Inc. | 22,922 | 1,716,170 |
TOTAL UTILITIES | 8,994,977 | |
TOTAL COMMON STOCKS (Cost $80,050,711) | 91,266,809 | |
Money Market Fund – 3.4% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $3,153,434) | 3,153,434 | 3,153,434 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $83,204,145) | 94,420,243 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 44,686 | |
NET ASSETS – 100.0% | $ 94,464,929 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
27 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 10,750,674 | $ 10,750,674 | $ — | $ — | ||||
Consumer Discretionary | 4,414,422 | 4,414,422 | — | — | ||||
Consumer Staples | 6,435,960 | 6,435,960 | — | — | ||||
Financials | 18,598,765 | 18,598,765 | — | — | ||||
Health Care | 18,016,025 | 18,016,025 | — | — | ||||
Industrials | 10,565,445 | 10,565,445 | — | — | ||||
Information Technology | 6,469,588 | 6,469,588 | — | — | ||||
Materials | 2,626,747 | 2,626,747 | — | — | ||||
Real Estate | 4,394,206 | 4,394,206 | — | — | ||||
Utilities | 8,994,977 | 8,994,977 | — | — | ||||
Money Market Fund | 3,153,434 | 3,153,434 | — | — | ||||
Total Investments in Securities: | $ 94,420,243 | $ 94,420,243 | $ — | $ — |
United States of America | 88.9 |
Switzerland | 2.7 |
Ireland | 2.4 |
United Kingdom | 2.0 |
Guernsey | 1.7 |
France | 1.2 |
Others (Individually Less Than 1%) | 1.1 |
100.0% |
Annual Report | 28 |
Common Stocks – 99.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 24.4% | ||
Entertainment – 6.0% | ||
Netflix, Inc. (a) | 1,223 | $ 632,988 |
Roku, Inc. (a) | 1,546 | 662,167 |
Sea Ltd. ADR (a) | 3,312 | 914,642 |
Spotify Technology S.A. (a) | 80 | 18,294 |
The Walt Disney Co. (a) | 798 | 140,464 |
2,368,555 | ||
Interactive Media & Services – 15.1% | ||
Alphabet, Inc. Class A (a) | 373 | 1,005,060 |
Alphabet, Inc. Class C (a) | 861 | 2,328,506 |
Facebook, Inc. Class A (a) | 4,964 | 1,768,673 |
fuboTV, Inc. (a) | 3,740 | 97,390 |
Match Group, Inc. (a) | 455 | 72,468 |
MediaAlpha, Inc. Class A (a) | 526 | 17,568 |
Snap, Inc. Class A (a) | 4,794 | 356,769 |
ZoomInfo Technologies, Inc. Class A (a) | 6,501 | 349,429 |
5,995,863 | ||
Media – 1.5% | ||
Comcast Corp. Class A | 3,433 | 201,963 |
Magnite, Inc. (a) | 10,185 | 308,606 |
TechTarget, Inc. (a) | 1,427 | 104,285 |
614,854 | ||
Wireless Telecommunication Services – 1.8% | ||
T-Mobile US, Inc. (a) | 4,965 | 715,059 |
TOTAL COMMUNICATION SERVICES | 9,694,331 | |
CONSUMER DISCRETIONARY – 12.1% | ||
Automobiles – 1.6% | ||
Tesla, Inc. (a) | 953 | 654,902 |
Diversified Consumer Services – 0.1% | ||
Arco Platform Ltd. Class A (a) | 1,188 | 34,571 |
Hotels, Restaurants & Leisure – 0.5% | ||
Airbnb, Inc. Class A (a) | 1,203 | 173,244 |
Penn National Gaming, Inc. (a) | 179 | 12,240 |
185,484 | ||
Household Durables – 0.6% | ||
Purple Innovation, Inc. (a) | 8,406 | 221,414 |
The Lovesac Co. (a) | 158 | 9,591 |
231,005 | ||
Internet & Direct Marketing Retail – 6.4% | ||
Amazon.com, Inc. (a) | 579 | 1,926,674 |
Chewy, Inc. Class A (a) | 2,066 | 172,924 |
DoorDash, Inc. Class A (a) | 378 | 65,882 |
Farfetch Ltd. Class A (a) | 691 | 34,633 |
Global-e Online Ltd. (a) | 3,388 | 235,940 |
Porch Group, Inc. (a) | 2,473 | 45,825 |
The Original BARK Co. (a) | 5,618 | 45,225 |
2,527,103 |
| ||
Shares | Value | |
Leisure Products – 0.4% | ||
Peloton Interactive, Inc. Class A (a) | 1,421 | $ 167,749 |
Specialty Retail – 2.3% | ||
Academy Sports & Outdoors, Inc. (a) | 446 | 16,524 |
American Eagle Outfitters, Inc. | 267 | 9,204 |
Carvana Co. (a) | 2,059 | 695,036 |
Dick's Sporting Goods, Inc. | 1,310 | 136,423 |
Shift Technologies, Inc. (a) | 6,973 | 58,922 |
916,109 | ||
Textiles, Apparel & Luxury Goods – 0.2% | ||
Capri Holdings Ltd. (a) | 293 | 16,499 |
Deckers Outdoor Corp. (a) | 15 | 6,163 |
Lululemon Athletica, Inc. (a) | 96 | 38,416 |
Tapestry, Inc. (a) | 1,014 | 42,892 |
103,970 | ||
TOTAL CONSUMER DISCRETIONARY | 4,820,893 | |
CONSUMER STAPLES – 1.2% | ||
Food & Staples Retailing – 0.8% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 1,884 | 95,406 |
Costco Wholesale Corp. | 521 | 223,884 |
319,290 | ||
Food Products – 0.4% | ||
AppHarvest, Inc. (a) | 9,848 | 117,388 |
Beyond Meat, Inc. (a) | 194 | 23,804 |
141,192 | ||
TOTAL CONSUMER STAPLES | 460,482 | |
FINANCIALS – 2.0% | ||
Banks – 0.9% | ||
Wells Fargo & Co. | 7,624 | 350,247 |
Capital Markets – 0.2% | ||
Coinbase Global, Inc. Class A (a) | 35 | 8,280 |
XP, Inc. Class A (a) | 1,542 | 63,315 |
71,595 | ||
Consumer Finance – 0.8% | ||
Capital One Financial Corp. | 771 | 124,670 |
LendingTree, Inc. (a) | 1,049 | 204,786 |
329,456 | ||
Insurance – 0.1% | ||
Palomar Holdings, Inc. (a) | 554 | 45,112 |
TOTAL FINANCIALS | 796,410 | |
HEALTH CARE – 14.2% | ||
Biotechnology – 5.7% | ||
AbbVie, Inc. | 1,178 | 137,001 |
Agios Pharmaceuticals, Inc. (a) | 1,827 | 87,860 |
Allakos, Inc. (a) | 243 | 19,333 |
Alnylam Pharmaceuticals, Inc. (a) | 696 | 124,542 |
Applied Therapeutics, Inc. (a) | 808 | 13,906 |
29 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Argenx SE ADR (a) | 285 | $ 86,763 |
Ascendis Pharma A/S ADR (a) | 78 | 9,219 |
Aurinia Pharmaceuticals, Inc. (a) | 2,482 | 33,656 |
Crinetics Pharmaceuticals, Inc. (a) | 697 | 12,532 |
Cytokinetics, Inc. (a) | 1,664 | 49,387 |
Erasca, Inc. (a) | 1,073 | 22,533 |
Exelixis, Inc. (a) | 2,120 | 35,722 |
Forma Therapeutics Holdings, Inc. (a) | 1,174 | 26,873 |
Gritstone bio, Inc. (a) | 1,641 | 10,962 |
Horizon Therapeutics PLC (a) | 567 | 56,711 |
Instil Bio, Inc. (a) | 1,905 | 28,670 |
Keros Therapeutics, Inc. (a) | 422 | 15,530 |
Kura Oncology, Inc. (a) | 525 | 9,943 |
Mirati Therapeutics, Inc. (a) | 367 | 58,742 |
Moderna, Inc. (a) | 410 | 144,976 |
Monte Rosa Therapeutics, Inc. (a) | 970 | 23,784 |
Neurocrine Biosciences, Inc. (a) | 2,468 | 230,042 |
Novavax, Inc. (a) | 1,291 | 231,515 |
Passage Bio, Inc. (a) | 672 | 7,930 |
Prelude Therapeutics, Inc. (a) | 601 | 19,256 |
Protagonist Therapeutics, Inc. (a) | 1,091 | 53,928 |
Regeneron Pharmaceuticals, Inc. (a) | 760 | 436,704 |
Relay Therapeutics, Inc. (a) | 1,118 | 36,268 |
REVOLUTION Medicines, Inc. (a) | 984 | 28,182 |
Sarepta Therapeutics, Inc. (a) | 1,119 | 75,846 |
TG Therapeutics, Inc. (a) | 1,018 | 35,620 |
Translate Bio, Inc. (a) | 1,765 | 48,785 |
Vaxcyte, Inc. (a) | 418 | 9,062 |
Zentalis Pharmaceuticals, Inc. (a) | 789 | 41,983 |
2,263,766 | ||
Health Care Equipment & Supplies – 2.8% | ||
Boston Scientific Corp. (a) | 7,791 | 355,270 |
Danaher Corp. | 576 | 171,354 |
DexCom, Inc. (a) | 357 | 184,037 |
Hologic, Inc. (a) | 1,411 | 105,881 |
Novocure Ltd. (a) | 993 | 152,932 |
Penumbra, Inc. (a) | 268 | 71,350 |
TransMedics Group, Inc. (a) | 2,656 | 75,749 |
1,116,573 | ||
Health Care Providers & Services – 4.9% | ||
1Life Healthcare, Inc. (a) | 5,820 | 157,373 |
agilon health, Inc. (a) | 2,469 | 90,834 |
Alignment Healthcare, Inc. (a) | 1,387 | 28,891 |
Cano Health, Inc. (a) | 3,185 | 34,239 |
CareMax, Inc. (a) | 7,035 | 70,913 |
Centene Corp. (a) | 2,934 | 201,302 |
Cigna Corp. | 691 | 158,578 |
Clover Health Investments Corp. (a) | 1,286 | 10,378 |
Humana, Inc. | 944 | 402,012 |
| ||
Shares | Value | |
LifeStance Health Group, Inc. (a) | 2,112 | $ 50,054 |
Oak Street Health, Inc. (a) | 3,061 | 192,965 |
UnitedHealth Group, Inc. | 1,344 | 554,024 |
1,951,563 | ||
Health Care Technology – 0.3% | ||
Doximity, Inc. Class A (a) | 356 | 22,037 |
GoodRx Holdings, Inc. Class A (a) | 1,472 | 47,207 |
Inspire Medical Systems, Inc. (a) | 226 | 41,394 |
110,638 | ||
Life Sciences Tools & Services – 0.1% | ||
10X Genomics, Inc. Class A (a) | 55 | 10,077 |
Olink Holding AB ADR (a) | 621 | 23,207 |
33,284 | ||
Pharmaceuticals – 0.4% | ||
Arvinas, Inc. (a) | 557 | 56,313 |
IMARA, Inc. (a) | 2,317 | 12,488 |
Intra-Cellular Therapies, Inc. (a) | 296 | 10,162 |
Nektar Therapeutics (a) | 4,168 | 65,813 |
Terns Pharmaceuticals, Inc. (a) | 1,496 | 11,220 |
155,996 | ||
TOTAL HEALTH CARE | 5,631,820 | |
INDUSTRIALS – 3.2% | ||
Building Products – 0.2% | ||
The AZEK Co., Inc. (a) | 1,643 | 59,756 |
Commercial Services & Supplies – 0.2% | ||
ACV Auctions, Inc. Class A (a) | 2,708 | 62,717 |
Electrical Equipment – 0.5% | ||
Sunrun, Inc. (a) | 3,646 | 193,128 |
Marine – 0.1% | ||
Genco Shipping & Trading Ltd. | 2,228 | 39,101 |
Golden Ocean Group Ltd. | 1,919 | 18,749 |
57,850 | ||
Professional Services – 0.0% | ||
Legalzoomcom, Inc. (a) | 282 | 10,372 |
Road & Rail – 2.2% | ||
Lyft, Inc. Class A (a) | 3,781 | 209,165 |
TuSimple Holdings, Inc. (a) | 772 | 28,410 |
Uber Technologies, Inc. (a) | 14,533 | 631,604 |
869,179 | ||
TOTAL INDUSTRIALS | 1,253,002 | |
INFORMATION TECHNOLOGY – 40.7% | ||
Communications Equipment – 0.3% | ||
Lumentum Holdings, Inc. (a) | 1,360 | 114,226 |
Electronic Equipment, Instruments & Components – 0.2% | ||
Flex Ltd. (a) | 3,595 | 64,602 |
Jabil, Inc. | 299 | 17,803 |
82,405 |
Annual Report | 30 |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
IT Services – 7.3% | ||
Affirm Holdings, Inc. (a) | 141 | $ 7,941 |
Dlocal Ltd. (a) | 428 | 19,320 |
EPAM Systems, Inc. (a) | 134 | 75,013 |
Flywire Corp. (a) | 1,300 | 41,288 |
Global Payments, Inc. | 510 | 98,639 |
GoDaddy, Inc. Class A (a) | 4,592 | 385,039 |
Marqeta, Inc. Class A (a) | 4,003 | 107,401 |
Mastercard, Inc. Class A | 452 | 174,445 |
MongoDB, Inc. (a) | 385 | 138,184 |
Nuvei Corp. (a)(b) | 2,276 | 186,973 |
Paymentus Holdings, Inc. Class A (a) | 47 | 1,363 |
PayPal Holdings, Inc. (a) | 1,066 | 293,715 |
Repay Holding Corp. (a) | 3,779 | 94,135 |
Snowflake, Inc. Class A (a) | 102 | 27,103 |
Square, Inc. Class A (a) | 1,375 | 339,983 |
TaskUS, Inc. Class A (a) | 400 | 12,180 |
Twilio, Inc. Class A (a) | 594 | 221,913 |
Visa, Inc. Class A | 762 | 187,749 |
Wix.com Ltd. (a) | 1,549 | 462,593 |
2,874,977 | ||
Semiconductors & Semiconductor Equipment – 8.3% | ||
Applied Materials, Inc. | 2,610 | 365,217 |
Cirrus Logic, Inc. (a) | 51 | 4,212 |
Lam Research Corp. | 453 | 288,747 |
Marvell Technology, Inc. | 3,431 | 207,610 |
Micron Technology, Inc. (a) | 6,613 | 513,037 |
NVIDIA Corp. | 5,006 | 976,120 |
NXP Semiconductors N.V. | 2,795 | 576,860 |
ON Semiconductor Corp. (a) | 4,523 | 176,668 |
Semtech Corp. (a) | 250 | 15,477 |
SolarEdge Technologies, Inc. (a) | 515 | 133,632 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 339 | 39,541 |
3,297,121 | ||
Software – 20.3% | ||
Adobe, Inc. (a) | 711 | 441,979 |
Alkami Technology, Inc. (a) | 1,465 | 45,840 |
Alteryx, Inc. Class A (a) | 49 | 3,793 |
Anaplan, Inc. (a) | 3,574 | 204,433 |
Autodesk, Inc. (a) | 466 | 149,647 |
BTRS Holdings, Inc. (a) | 4,462 | 52,250 |
Ceridian HCM Holding, Inc. (a) | 1,348 | 132,643 |
Cloudflare, Inc. Class A (a) | 694 | 82,329 |
Confluent, Inc. Class A (a) | 287 | 11,248 |
Coupa Software, Inc. (a) | 284 | 61,628 |
Digital Turbine, Inc. (a) | 2,865 | 180,352 |
DocuSign, Inc. (a) | 110 | 32,784 |
DoubleVerify Holdings, Inc. (a) | 4,799 | 166,045 |
Dynatrace, Inc. (a) | 6,636 | 423,841 |
| ||
Shares | Value | |
Elastic N.V. (a) | 920 | $ 136,215 |
HubSpot, Inc. (a) | 531 | 316,487 |
Intapp, Inc. (a) | 4,809 | 163,025 |
Intuit, Inc. | 521 | 276,114 |
Latch, Inc. (a) | 3,113 | 41,496 |
Lightspeed POS, Inc. (a) | 3,918 | 335,492 |
Microsoft Corp. | 10,715 | 3,052,811 |
Monday.com Ltd. (a) | 231 | 51,118 |
RingCentral, Inc. Class A (a) | 146 | 39,021 |
Salesforce.com, Inc. (a) | 3,275 | 792,321 |
SentinelOne, Inc. Class A (a) | 279 | 13,757 |
ServiceNow, Inc. (a) | 489 | 287,478 |
The Trade Desk, Inc. Class A (a) | 1,121 | 91,821 |
Viant Technology, Inc. Class A (a) | 1,982 | 34,269 |
Workday, Inc. Class A (a) | 612 | 143,453 |
Zendesk, Inc. (a) | 237 | 30,936 |
Zoom Video Communications, Inc. Class A (a) | 646 | 244,253 |
Zuora, Inc. Class A (a) | 655 | 11,325 |
8,050,204 | ||
Technology Hardware, Storage & Peripherals – 4.3% | ||
Apple, Inc. | 11,755 | 1,714,584 |
TOTAL INFORMATION TECHNOLOGY | 16,133,517 | |
MATERIALS – 1.1% | ||
Metals & Mining – 1.1% | ||
First Quantum Minerals Ltd. | 1,283 | 27,478 |
Freeport-McMoRan, Inc. | 10,484 | 399,440 |
TOTAL MATERIALS | 426,918 | |
UTILITIES – 0.8% | ||
Electric Utilities – 0.5% | ||
Edison International | 2,352 | 128,184 |
NextEra Energy, Inc. | 1,023 | 79,692 |
207,876 | ||
Independent Power and Renewable Electricity Producers – 0.3% | ||
Brookfield Renewable Corp. Class A | 844 | 35,814 |
The AES Corp. | 3,418 | 81,006 |
116,820 | ||
TOTAL UTILITIES | 324,696 | |
TOTAL COMMON STOCKS (Cost $36,896,593) | 39,542,069 |
31 | Annual Report |
Money Market Fund – 0.3% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $133,427) | 133,427 | $ 133,427 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $37,030,020) | 39,675,496 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 3,846 | |
NET ASSETS – 100.0% | $ 39,679,342 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $186,973 or 0.0% of net assets. | |
(c) | 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 | $ 9,694,331 | $ 9,694,331 | $ — | $ — | ||||
Consumer Discretionary | 4,820,893 | 4,820,893 | — | — | ||||
Consumer Staples | 460,482 | 460,482 | — | — | ||||
Financials | 796,410 | 796,410 | — | — | ||||
Health Care | 5,631,820 | 5,631,820 | — | — | ||||
Industrials | 1,253,002 | 1,253,002 | — | — | ||||
Information Technology | 16,133,517 | 16,133,517 | — | — | ||||
Materials | 426,918 | 426,918 | — | — | ||||
Utilities | 324,696 | 324,696 | — | — | ||||
Money Market Fund | 133,427 | 133,427 | — | — | ||||
Total Investments in Securities: | $ 39,675,496 | $ 39,675,496 | $ — | $ — |
Annual Report | 32 |
Common Stocks – 98.3% | ||
Shares | Value | |
COMMUNICATION SERVICES – 14.0% | ||
Entertainment – 3.1% | ||
Netflix, Inc. (a) | 947 | $490,139 |
The Walt Disney Co. (a) | 3,460 | 609,029 |
1,099,168 | ||
Interactive Media & Services – 8.1% | ||
Alphabet, Inc. Class A (a) | 336 | 905,362 |
Alphabet, Inc. Class C (a) | 332 | 897,868 |
Facebook, Inc. Class A (a) | 3,141 | 1,119,138 |
2,922,368 | ||
Media – 2.8% | ||
Charter Communications, Inc. Class A (a) | 572 | 425,597 |
Comcast Corp. Class A | 9,587 | 564,003 |
989,600 | ||
TOTAL COMMUNICATION SERVICES | 5,011,136 | |
CONSUMER DISCRETIONARY – 9.7% | ||
Hotels, Restaurants & Leisure – 1.0% | ||
Hilton Worldwide Holdings, Inc. (a) | 2,705 | 355,572 |
Internet & Direct Marketing Retail – 4.5% | ||
Amazon.com, Inc. (a) | 485 | 1,613,881 |
Multiline Retail – 0.9% | ||
Dollar General Corp. | 1,479 | 344,075 |
Specialty Retail – 1.7% | ||
The Home Depot, Inc. | 1,893 | 621,264 |
Textiles, Apparel & Luxury Goods – 1.6% | ||
NIKE, Inc. Class B | 3,343 | 559,986 |
TOTAL CONSUMER DISCRETIONARY | 3,494,778 | |
CONSUMER STAPLES – 2.4% | ||
Food & Staples Retailing – 1.4% | ||
Costco Wholesale Corp. | 1,134 | 487,303 |
Personal Products – 1.0% | ||
The Estee Lauder Cos., Inc. Class A | 1,109 | 370,217 |
TOTAL CONSUMER STAPLES | 857,520 | |
FINANCIALS – 7.4% | ||
Capital Markets – 5.5% | ||
BlackRock, Inc. | 467 | 404,968 |
Intercontinental Exchange, Inc. | 2,784 | 333,607 |
Moody's Corp. | 1,040 | 391,040 |
MSCI, Inc. | 655 | 390,354 |
S&P Global, Inc. | 1,041 | 446,298 |
1,966,267 | ||
Insurance – 1.9% | ||
Arthur J Gallagher & Co. | 2,093 | 291,576 |
| ||
Shares | Value | |
Marsh & McLennan Cos., Inc. | 2,688 | $ 395,727 |
687,303 | ||
TOTAL FINANCIALS | 2,653,570 | |
HEALTH CARE – 9.4% | ||
Health Care Equipment & Supplies – 3.9% | ||
Danaher Corp. | 1,789 | 532,210 |
IDEXX Laboratories, Inc. (a) | 586 | 397,619 |
Intuitive Surgical, Inc. (a) | 451 | 447,148 |
1,376,977 | ||
Health Care Providers & Services – 1.8% | ||
UnitedHealth Group, Inc. | 1,597 | 658,315 |
Health Care Technology – 1.0% | ||
Veeva Systems, Inc. Class A (a) | 1,092 | 363,319 |
Life Sciences Tools & Services – 1.4% | ||
Thermo Fisher Scientific, Inc. | 937 | 505,989 |
Pharmaceuticals – 1.3% | ||
Zoetis, Inc. | 2,274 | 460,940 |
TOTAL HEALTH CARE | 3,365,540 | |
INDUSTRIALS – 8.6% | ||
Aerospace & Defense – 1.7% | ||
HEICO Corp. Class A | 2,219 | 269,143 |
TransDigm Group, Inc. (a) | 523 | 335,290 |
604,433 | ||
Electrical Equipment – 1.0% | ||
AMETEK, Inc. | 2,530 | 351,796 |
Industrial Conglomerates – 1.0% | ||
Roper Technologies, Inc. | 707 | 347,377 |
Professional Services – 3.8% | ||
Equifax, Inc. | 1,327 | 345,816 |
IHS Markit Ltd. | 3,104 | 362,672 |
TransUnion | 2,649 | 318,039 |
Verisk Analytics, Inc. | 1,745 | 331,445 |
1,357,972 | ||
Road & Rail – 1.1% | ||
Union Pacific Corp. | 1,856 | 406,019 |
TOTAL INDUSTRIALS | 3,067,597 | |
INFORMATION TECHNOLOGY – 39.8% | ||
Electronic Equipment, Instruments & Components – 1.0% | ||
Amphenol Corp. Class A | 4,745 | 343,965 |
IT Services – 6.8% | ||
Accenture PLC Class A | 1,660 | 527,349 |
Mastercard, Inc. Class A | 1,644 | 634,485 |
PayPal Holdings, Inc. (a) | 2,136 | 588,532 |
Visa, Inc. Class A | 2,831 | 697,530 |
2,447,896 |
33 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Semiconductors & Semiconductor Equipment – 7.6% | ||
Analog Devices, Inc. | 2,024 | $ 338,858 |
Applied Materials, Inc. | 3,120 | 436,582 |
KLA Corp. | 1,028 | 357,908 |
Lam Research Corp. | 563 | 358,862 |
NVIDIA Corp. | 4,096 | 798,679 |
Texas Instruments, Inc. | 2,319 | 442,048 |
2,732,937 | ||
Software – 17.5% | ||
Adobe, Inc. (a) | 958 | 595,521 |
ANSYS, Inc. (a) | 947 | 348,932 |
Autodesk, Inc. (a) | 1,382 | 443,802 |
Cadence Design Systems, Inc. (a) | 2,313 | 341,514 |
Fortinet, Inc. (a) | 1,518 | 413,260 |
Intuit, Inc. | 930 | 492,872 |
Microsoft Corp. | 8,145 | 2,320,592 |
Salesforce.com, Inc. (a) | 2,049 | 495,715 |
ServiceNow, Inc. (a) | 733 | 430,923 |
Synopsys, Inc. (a) | 1,338 | 385,331 |
6,268,462 | ||
Technology Hardware, Storage & Peripherals – 6.9% | ||
Apple, Inc. | 16,892 | 2,463,867 |
TOTAL INFORMATION TECHNOLOGY | 14,257,127 | |
MATERIALS – 2.4% | ||
Chemicals – 2.4% | ||
Linde PLC | 1,544 | 474,610 |
The Sherwin-Williams Co. | 1,312 | 381,831 |
TOTAL MATERIALS | 856,441 |
| ||
Shares | Value | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
American Tower Corp. | 1,473 | $ 416,564 |
Equinix, Inc. | 441 | 361,801 |
Prologis, Inc. | 3,245 | 415,490 |
TOTAL REAL ESTATE | 1,193,855 | |
UTILITIES – 1.3% | ||
Electric Utilities – 1.3% | ||
NextEra Energy, Inc. | 6,023 | 469,192 |
TOTAL COMMON STOCKS (Cost $31,450,062) | 35,226,756 | |
Money Market Fund – 1.7% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $608,084) | 608,084 | 608,084 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $32,058,146) | 35,834,840 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 7,485 | |
NET ASSETS – 100.0% | $ 35,842,325 |
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 | $ 5,011,136 | $ 5,011,136 | $ — | $ — | ||||
Consumer Discretionary | 3,494,778 | 3,494,778 | — | — | ||||
Consumer Staples | 857,520 | 857,520 | — | — | ||||
Financials | 2,653,570 | 2,653,570 | — | — | ||||
Health Care | 3,365,540 | 3,365,540 | — | — | ||||
Industrials | 3,067,597 | 3,067,597 | — | — | ||||
Information Technology | 14,257,127 | 14,257,127 | — | — | ||||
Materials | 856,441 | 856,441 | — | — | ||||
Real Estate | 1,193,855 | 1,193,855 | — | — | ||||
Utilities | 469,192 | 469,192 | — | — | ||||
Money Market Fund | 608,084 | 608,084 | — | — | ||||
Total Investments in Securities: | $ 35,834,840 | $ 35,834,840 | $ — | $ — |
Annual Report | 34 |
Common Stocks – 97.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 6.0% | ||
Diversified Telecommunication Services – 1.4% | ||
Verizon Communications, Inc. | 15,593 | $ 869,777 |
Media – 4.6% | ||
Comcast Corp. Class A | 28,214 | 1,659,830 |
Omnicom Group, Inc. | 2,555 | 186,055 |
The Interpublic Group of Cos., Inc. | 25,706 | 908,964 |
2,754,849 | ||
TOTAL COMMUNICATION SERVICES | 3,624,626 | |
CONSUMER DISCRETIONARY – 9.9% | ||
Auto Components – 0.3% | ||
Magna International, Inc. | 2,502 | 209,743 |
Automobiles – 1.5% | ||
General Motors Co. (a) | 9,785 | 556,180 |
Stellantis N.V. | 18,666 | 357,827 |
914,007 | ||
Hotels, Restaurants & Leisure – 1.2% | ||
Booking Holdings, Inc. (a) | 204 | 444,365 |
Churchill Downs, Inc. | 1,428 | 265,322 |
709,687 | ||
Household Durables – 2.4% | ||
D.R. Horton, Inc. | 6,423 | 612,947 |
Mohawk Industries, Inc. (a) | 2,052 | 399,935 |
NVR, Inc. (a) | 78 | 407,362 |
1,420,244 | ||
Internet & Direct Marketing Retail – 0.7% | ||
Coupang, Inc. (a) | 515 | 18,705 |
eBay, Inc. | 3,583 | 244,396 |
Farfetch Ltd. Class A (a) | 3,755 | 188,201 |
451,302 | ||
Leisure Products – 0.3% | ||
Peloton Interactive, Inc. Class A (a) | 1,492 | 176,131 |
Specialty Retail – 1.7% | ||
AutoZone, Inc. (a) | 249 | 404,269 |
Best Buy Co., Inc. | 2,868 | 322,220 |
National Vision Holdings, Inc. (a) | 3,120 | 168,417 |
Vroom, Inc. (a) | 3,450 | 127,788 |
1,022,694 | ||
Textiles, Apparel & Luxury Goods – 1.8% | ||
PVH Corp. (a) | 2,943 | 307,897 |
Ralph Lauren Corp. | 1,614 | 183,221 |
Tapestry, Inc. (a) | 9,077 | 383,957 |
Under Armour, Inc. Class A (a) | 9,808 | 200,574 |
1,075,649 | ||
TOTAL CONSUMER DISCRETIONARY | 5,979,457 |
| ||
Shares | Value | |
CONSUMER STAPLES – 4.2% | ||
Beverages – 2.0% | ||
Diageo PLC ADR | 1,831 | $ 362,923 |
Molson Coors Beverage Co. Class B (a) | 3,898 | 190,573 |
The Coca-Cola Co. | 11,561 | 659,324 |
1,212,820 | ||
Food & Staples Retailing – 1.3% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 5,857 | 296,598 |
The Kroger Co. | 11,960 | 486,772 |
783,370 | ||
Tobacco – 0.9% | ||
Altria Group, Inc. | 10,866 | 522,003 |
TOTAL CONSUMER STAPLES | 2,518,193 | |
ENERGY – 9.7% | ||
Energy Equipment & Services – 0.9% | ||
Oceaneering International, Inc. (a) | 12,427 | 164,782 |
Schlumberger N.V. | 10,407 | 300,034 |
TechnipFMC PLC (a) | 7,334 | 52,951 |
517,767 | ||
Oil, Gas & Consumable Fuels – 8.8% | ||
Canadian Natural Resources Ltd. | 17,163 | 566,722 |
Cheniere Energy, Inc. (a) | 9,032 | 767,088 |
EQT Corp. (a) | 7,745 | 142,431 |
Exxon Mobil Corp. | 23,883 | 1,374,944 |
Golar LNG Ltd. (a) | 19,222 | 214,518 |
Hess Corp. | 13,464 | 1,029,188 |
Range Resources Corp. (a) | 24,575 | 374,277 |
The Williams Cos., Inc. | 23,444 | 587,272 |
Valero Energy Corp. | 4,205 | 281,609 |
5,338,049 | ||
TOTAL ENERGY | 5,855,816 | |
FINANCIALS – 18.2% | ||
Banks – 9.3% | ||
Bank of America Corp. | 23,710 | 909,515 |
Comerica, Inc. | 4,315 | 296,268 |
HDFC Bank Ltd. ADR | 3,645 | 257,228 |
The PNC Financial Services Group, Inc. | 9,279 | 1,692,582 |
Wells Fargo & Co. | 52,905 | 2,430,456 |
5,586,049 | ||
Capital Markets – 2.5% | ||
Morgan Stanley | 7,734 | 742,309 |
The Goldman Sachs Group, Inc. | 2,071 | 776,377 |
1,518,686 | ||
Insurance – 5.4% | ||
American International Group, Inc. | 24,470 | 1,158,655 |
Arch Capital Group Ltd. (a) | 10,466 | 408,174 |
Chubb Ltd. | 4,978 | 839,988 |
First American Financial Corp. | 3,130 | 210,680 |
35 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Insurance – continued | ||
MetLife, Inc. | 8,902 | $513,645 |
RenaissanceRe Holdings Ltd. | 833 | 127,191 |
3,258,333 | ||
Thrifts & Mortgage Finance – 1.0% | ||
Radian Group, Inc. | 27,366 | 617,924 |
TOTAL FINANCIALS | 10,980,992 | |
HEALTH CARE – 17.4% | ||
Biotechnology – 1.4% | ||
Amgen, Inc. | 2,412 | 582,595 |
Regeneron Pharmaceuticals, Inc. (a) | 423 | 243,060 |
825,655 | ||
Health Care Equipment & Supplies – 4.1% | ||
Becton Dickinson and Co. | 2,289 | 585,412 |
Boston Scientific Corp. (a) | 15,084 | 687,830 |
Butterfly Network, Inc. (a) | 6,998 | 75,159 |
Danaher Corp. | 2,801 | 833,269 |
Hologic, Inc. (a) | 4,364 | 327,475 |
2,509,145 | ||
Health Care Providers & Services – 4.8% | ||
Centene Corp. (a) | 10,321 | 708,124 |
Cigna Corp. | 2,664 | 611,362 |
Guardant Health, Inc. (a) | 320 | 35,136 |
Oak Street Health, Inc. (a) | 3,875 | 244,280 |
UnitedHealth Group, Inc. | 2,469 | 1,017,771 |
Universal Health Services, Inc. Class B | 1,759 | 282,161 |
2,898,834 | ||
Life Sciences Tools & Services – 1.2% | ||
Bruker Corp. | 8,930 | 734,492 |
Pharmaceuticals – 5.9% | ||
Bristol-Myers Squibb Co. | 25,770 | 1,749,010 |
Eli Lilly & Co. | 5,622 | 1,368,957 |
Sanofi ADR | 6,780 | 349,577 |
Viatris, Inc. | 5,568 | 78,341 |
3,545,885 | ||
TOTAL HEALTH CARE | 10,514,011 | |
INDUSTRIALS – 14.2% | ||
Aerospace & Defense – 3.3% | ||
BWX Technologies, Inc. | 1,361 | 78,162 |
General Dynamics Corp. | 3,221 | 631,413 |
Huntington Ingalls Industries, Inc. | 2,989 | 613,134 |
Northrop Grumman Corp. | 1,804 | 654,888 |
1,977,597 | ||
Air Freight & Logistics – 0.6% | ||
XPO Logistics, Inc. (a) | 2,735 | 379,317 |
Airlines – 0.3% | ||
JetBlue Airways Corp. (a) | 12,169 | 179,980 |
| ||
Shares | Value | |
Building Products – 0.9% | ||
Fortune Brands Home & Security, Inc. | 3,477 | $338,903 |
JELD-WEN Holding, Inc. (a) | 6,424 | 170,108 |
509,011 | ||
Commercial Services & Supplies – 0.4% | ||
Stericycle, Inc. (a) | 3,764 | 265,550 |
Construction & Engineering – 0.6% | ||
AECOM (a) | 3,094 | 194,798 |
Argan, Inc. | 4,160 | 186,992 |
381,790 | ||
Electrical Equipment – 0.6% | ||
Sensata Technologies Holding PLC (a) | 5,910 | 346,444 |
Industrial Conglomerates – 5.3% | ||
General Electric Co. | 248,214 | 3,214,371 |
Machinery – 0.8% | ||
Donaldson Co., Inc. | 3,059 | 202,475 |
Pentair PLC | 3,598 | 265,065 |
467,540 | ||
Professional Services – 0.7% | ||
Leidos Holdings, Inc. | 2,416 | 257,111 |
Science Applications International Corp. | 1,835 | 160,195 |
417,306 | ||
Road & Rail – 0.7% | ||
Knight-Swift Transportation Holdings, Inc. | 8,934 | 443,930 |
TOTAL INDUSTRIALS | 8,582,836 | |
INFORMATION TECHNOLOGY – 8.2% | ||
Communications Equipment – 2.3% | ||
Cisco Systems, Inc. | 20,724 | 1,147,488 |
Telefonaktiebolaget LM Ericsson ADR | 22,483 | 259,229 |
1,406,717 | ||
Electronic Equipment, Instruments & Components – 0.8% | ||
Keysight Technologies, Inc. (a) | 3,061 | 503,688 |
IT Services – 3.6% | ||
Akamai Technologies, Inc. (a) | 4,601 | 551,752 |
Euronet Worldwide, Inc. (a) | 1,486 | 212,231 |
Fidelity National Information Services, Inc. | 3,127 | 466,079 |
Visa, Inc. Class A | 3,757 | 925,687 |
2,155,749 | ||
Semiconductors & Semiconductor Equipment – 1.5% | ||
Analog Devices, Inc. | 3,189 | 533,902 |
Intel Corp. | 6,718 | 360,891 |
894,793 | ||
TOTAL INFORMATION TECHNOLOGY | 4,960,947 | |
MATERIALS – 4.0% | ||
Chemicals – 1.1% | ||
Nutrien Ltd. | 4,303 | 255,598 |
Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Chemicals – continued | ||
Olin Corp. | 8,233 | $ 387,198 |
642,796 | ||
Containers & Packaging – 1.3% | ||
Avery Dennison Corp. | 1,483 | 312,439 |
O-I Glass, Inc. (a) | 32,161 | 475,661 |
788,100 | ||
Metals & Mining – 1.6% | ||
Commercial Metals Co. | 4,488 | 147,206 |
Freeport-McMoRan, Inc. | 11,550 | 440,055 |
Royal Gold, Inc. | 1,855 | 225,420 |
Steel Dynamics, Inc. | 2,943 | 189,676 |
1,002,357 | ||
TOTAL MATERIALS | 2,433,253 | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
Cousins Properties, Inc. | 4,705 | 186,883 |
Gaming and Leisure Properties, Inc. | 7,156 | 338,765 |
Healthcare Trust of America, Inc. Class A | 5,989 | 171,225 |
Simon Property Group, Inc. | 2,056 | 260,125 |
Spirit Realty Capital, Inc. | 7,190 | 361,082 |
VEREIT, Inc. | 3,828 | 187,457 |
VICI Properties, Inc. | 12,595 | 392,838 |
TOTAL REAL ESTATE | 1,898,375 | |
UTILITIES – 2.7% | ||
Electric Utilities – 2.3% | ||
Duke Energy Corp. | 6,474 | 680,482 |
| ||
Shares | Value | |
FirstEnergy Corp. | 5,742 | $220,034 |
The Southern Co. | 7,236 | 462,163 |
1,362,679 | ||
Independent Power and Renewable Electricity Producers – 0.4% | ||
The AES Corp. | 11,198 | 265,393 |
TOTAL UTILITIES | 1,628,072 | |
TOTAL COMMON STOCKS (Cost $51,499,439) | 58,976,578 | |
Money Market Fund – 2.4% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,413,800) | 1,413,801 | 1,413,800 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $52,913,239) | 60,390,378 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 16,450 | |
NET ASSETS – 100.0% | $ 60,406,828 |
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 | $ 3,624,626 | $ 3,624,626 | $ — | $ — | ||||
Consumer Discretionary | 5,979,457 | 5,979,457 | — | — | ||||
Consumer Staples | 2,518,193 | 2,518,193 | — | — | ||||
Energy | 5,855,816 | 5,855,816 | — | — | ||||
Financials | 10,980,992 | 10,980,992 | — | — | ||||
Health Care | 10,514,011 | 10,514,011 | — | — | ||||
Industrials | 8,582,836 | 8,582,836 | — | — | ||||
Information Technology | 4,960,947 | 4,960,947 | — | — | ||||
Materials | 2,433,253 | 2,433,253 | — | — | ||||
Real Estate | 1,898,375 | 1,898,375 | — | — | ||||
Utilities | 1,628,072 | 1,628,072 | — | — | ||||
Money Market Fund | 1,413,800 | 1,413,800 | — | — | ||||
Total Investments in Securities: | $ 60,390,378 | $ 60,390,378 | $ — | $ — |
37 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 96.4% | ||
REITs - Apartments – 11.2% | ||
American Homes 4 Rent Class A | 7,598 | $ 319,116 |
Apartment Income REIT Corp. | 3,781 | 199,032 |
Invitation Homes, Inc. | 8,578 | 348,953 |
Mid-America Apartment Communities, Inc. | 2,505 | 483,716 |
UDR, Inc. | 9,550 | 525,154 |
1,875,971 | ||
REITs - Diversified – 42.4% | ||
Crown Castle International Corp. | 8,554 | 1,651,692 |
Digital Realty Trust, Inc. | 7,739 | 1,193,044 |
Duke Realty Corp. | 17,049 | 867,453 |
Equinix, Inc. | 1,156 | 948,394 |
Gaming and Leisure Properties, Inc. | 7,321 | 346,576 |
Lamar Advertising Co. Class A | 1,589 | 169,387 |
Lexington Realty Trust | 13,055 | 171,673 |
SBA Communications Corp. | 3,450 | 1,176,416 |
VICI Properties, Inc. | 8,928 | 278,464 |
Washington Real Estate Investment Trust | 4,880 | 118,535 |
Weyerhaeuser Co. | 5,180 | 174,722 |
7,096,356 | ||
REITs - Health Care – 10.1% | ||
Medical Properties Trust, Inc. | 9,781 | 205,694 |
Ventas, Inc. | 9,704 | 580,105 |
Welltower, Inc. | 10,367 | 900,478 |
1,686,277 | ||
REITs - Hotels – 1.8% | ||
DiamondRock Hospitality Co. (a) | 12,796 | 110,174 |
RLJ Lodging Trust | 8,549 | 122,678 |
Ryman Hospitality Properties, Inc. (a) | 894 | 68,570 |
301,422 | ||
REITs - Manufactured Homes – 5.0% | ||
Equity Lifestyle Properties, Inc. | 5,870 | 491,906 |
Sun Communities, Inc. | 1,712 | 335,740 |
827,646 | ||
REITs - Office Property – 5.0% | ||
American Assets Trust, Inc. | 2,658 | 98,160 |
Brandywine Realty Trust | 2,895 | 40,414 |
Highwoods Properties, Inc. | 2,714 | 129,431 |
Mack-Cali Realty Corp. | 4,779 | 86,022 |
Piedmont Office Realty Trust, Inc. Class A | 4,559 | 86,712 |
VEREIT, Inc. | 8,058 | 394,600 |
835,339 |
| ||
Shares | Value | |
REITs - Shopping Centers – 3.0% | ||
Kimco Realty Corp. | 10,661 | $ 227,399 |
Phillips Edison & Co., Inc. (a) | 1,956 | 54,768 |
Regency Centers Corp. | 3,469 | 226,907 |
509,074 | ||
REITs - Single Tenant – 3.5% | ||
National Retail Properties, Inc. | 7,109 | 347,417 |
Spirit Realty Capital, Inc. | 4,834 | 242,763 |
590,180 | ||
REITs - Storage – 6.7% | ||
CubeSmart | 10,109 | 502,013 |
Extra Space Storage, Inc. | 2,343 | 408,010 |
Iron Mountain, Inc. | 4,843 | 211,930 |
1,121,953 | ||
REITs - Warehouse/Industrial – 7.7% | ||
Prologis, Inc. | 10,067 | 1,288,979 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 16,133,197 | |
REAL ESTATE MANAGEMENT & DEVELOPMENT – 3.3% | ||
Real Estate Services – 3.3% | ||
CBRE Group, Inc. Class A (a) | 4,855 | 468,313 |
Realogy Holdings Corp. (a) | 4,637 | 82,168 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 550,481 | |
TOTAL COMMON STOCKS (Cost $14,783,890) | 16,683,678 | |
Money Market Fund – 0.3% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $52,589) | 52,589 | 52,589 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $14,836,479) | 16,736,267 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (860) | |
NET ASSETS – 100.0% | $ 16,735,407 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 38 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Common Stocks | $ 16,683,678 | $ 16,683,678 | $ — | $ — | ||||
Money Market Funds | 52,589 | 52,589 | — | — | ||||
Total Investments in Securities: | $ 16,736,267 | $ 16,736,267 | $ — | $ — |
39 | Annual Report |
Common Stocks – 99.0% | ||
Shares | Value | |
COMMUNICATION SERVICES – 1.5% | ||
Media – 1.5% | ||
Nexstar Media Group, Inc. Class A | 1,171 | $ 172,219 |
Omnicom Group, Inc. | 1,077 | 78,427 |
TechTarget, Inc. (a) | 633 | 46,260 |
The Interpublic Group of Cos., Inc. | 2,179 | 77,049 |
TOTAL COMMUNICATION SERVICES | 373,955 | |
CONSUMER DISCRETIONARY – 13.5% | ||
Auto Components – 0.6% | ||
Adient PLC (a) | 2,485 | 104,693 |
Patrick Industries, Inc. | 601 | 49,661 |
154,354 | ||
Hotels, Restaurants & Leisure – 3.1% | ||
Brinker International, Inc. (a) | 1,199 | 65,154 |
Caesars Entertainment, Inc. (a) | 2,727 | 238,231 |
Churchill Downs, Inc. | 993 | 184,499 |
Hilton Grand Vacations, Inc. (a) | 2,287 | 93,012 |
Wyndham Hotels & Resorts, Inc. | 2,487 | 179,213 |
760,109 | ||
Household Durables – 2.5% | ||
GoPro, Inc. Class A (a) | 3,333 | 34,130 |
Helen of Troy Ltd. (a) | 689 | 153,916 |
Mohawk Industries, Inc. (a) | 1,658 | 323,144 |
Tempur Sealy International, Inc. | 2,182 | 94,415 |
605,605 | ||
Multiline Retail – 0.6% | ||
Ollie's Bargain Outlet Holdings, Inc. (a) | 1,648 | 153,429 |
Specialty Retail – 3.5% | ||
Academy Sports & Outdoors, Inc. (a) | 783 | 29,010 |
American Eagle Outfitters, Inc. | 203 | 6,997 |
AutoZone, Inc. (a) | 129 | 209,441 |
Best Buy Co., Inc. | 1,033 | 116,058 |
Dick's Sporting Goods, Inc. | 1,596 | 166,207 |
Rent-A-Center, Inc. | 1,255 | 71,811 |
Williams-Sonoma, Inc. | 1,690 | 256,373 |
855,897 | ||
Textiles, Apparel & Luxury Goods – 3.2% | ||
Crocs, Inc. (a) | 1,744 | 236,853 |
Deckers Outdoor Corp. (a) | 608 | 249,797 |
Tapestry, Inc. (a) | 7,338 | 310,397 |
797,047 | ||
TOTAL CONSUMER DISCRETIONARY | 3,326,441 | |
CONSUMER STAPLES – 4.0% | ||
Beverages – 0.3% | ||
Primo Water Corp. | 4,038 | 66,748 |
Food & Staples Retailing – 1.6% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 3,539 | 179,215 |
| ||
Shares | Value | |
US Foods Holding Corp. (a) | 5,801 | $ 199,206 |
378,421 | ||
Food Products – 1.9% | ||
Darling Ingredients, Inc. (a) | 4,145 | 286,295 |
Nomad Foods Ltd. (a) | 5,292 | 138,227 |
Seaboard Corp. | 11 | 45,210 |
469,732 | ||
Personal Products – 0.2% | ||
Herbalife Nutrition Ltd. (a) | 1,137 | 57,919 |
TOTAL CONSUMER STAPLES | 972,820 | |
ENERGY – 2.7% | ||
Oil, Gas & Consumable Fuels – 2.7% | ||
Antero Resources Corp. (a) | 6,952 | 94,547 |
Brigham Minerals, Inc. Class A | 751 | 14,750 |
Cheniere Energy, Inc. (a) | 2,300 | 195,339 |
Hess Corp. | 2,367 | 180,933 |
HollyFrontier Corp. | 934 | 27,460 |
Marathon Petroleum Corp. | 1,337 | 73,829 |
Murphy Oil Corp. | 3,873 | 84,083 |
TOTAL ENERGY | 670,941 | |
FINANCIALS – 15.0% | ||
Banks – 6.9% | ||
BOK Financial Corp. | 813 | 68,300 |
Comerica, Inc. | 3,723 | 255,621 |
Cullen/Frost Bankers, Inc. | 1,485 | 159,370 |
First Citizens BancShares, Inc. Class A | 174 | 136,171 |
First Hawaiian, Inc. | 3,444 | 94,813 |
M&T Bank Corp. | 479 | 64,114 |
Signature Bank | 1,341 | 304,367 |
Sterling Bancorp | 5,071 | 110,092 |
Synovus Financial Corp. | 3,727 | 152,434 |
Trico Bancshares | 640 | 25,235 |
Western Alliance Bancorp | 2,531 | 234,928 |
Wintrust Financial Corp. | 1,368 | 97,675 |
1,703,120 | ||
Capital Markets – 0.4% | ||
LPL Financial Holdings, Inc. | 621 | 87,586 |
Consumer Finance – 2.6% | ||
Discover Financial Services | 2,188 | 272,012 |
Encore Capital Group, Inc. (a) | 851 | 40,286 |
Santander Consumer USA Holdings, Inc. | 2,061 | 84,563 |
Synchrony Financial | 4,909 | 230,821 |
627,682 | ||
Insurance – 5.1% | ||
Arch Capital Group Ltd. (a) | 3,684 | 143,676 |
Assurant, Inc. | 1,287 | 203,101 |
Enstar Group Ltd. (a) | 327 | 84,046 |
First American Financial Corp. | 2,847 | 191,632 |
Annual Report | 40 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Insurance – continued | ||
Lincoln National Corp. | 3,053 | $ 188,126 |
Old Republic International Corp. | 7,676 | 189,290 |
Primerica, Inc. | 1,046 | 152,946 |
Reinsurance Group of America, Inc. | 901 | 99,272 |
1,252,089 | ||
TOTAL FINANCIALS | 3,670,477 | |
HEALTH CARE – 13.3% | ||
Biotechnology – 2.3% | ||
4D Molecular Therapeutics, Inc. (a) | 255 | 6,342 |
Acceleron Pharma, Inc. (a) | 297 | 37,143 |
Agios Pharmaceuticals, Inc. (a) | 195 | 9,378 |
Allovir, Inc. (a) | 258 | 4,938 |
ALX Oncology Holdings, Inc. (a) | 218 | 12,766 |
Annexon, Inc. (a) | 369 | 7,771 |
Arcutis Biotherapeutics, Inc. (a) | 125 | 2,916 |
Argenx SE ADR (a) | 217 | 66,061 |
Avid Bioservices, Inc. (a) | 830 | 21,290 |
Crinetics Pharmaceuticals, Inc. (a) | 83 | 1,492 |
Cytokinetics, Inc. (a) | 752 | 22,319 |
Emergent BioSolutions, Inc. (a) | 370 | 24,383 |
Exelixis, Inc. (a) | 2,284 | 38,485 |
Forma Therapeutics Holdings, Inc. (a) | 202 | 4,624 |
Global Blood Therapeutics, Inc. (a) | 659 | 18,011 |
Iovance Biotherapeutics, Inc. (a) | 1,035 | 23,050 |
Keros Therapeutics, Inc. (a) | 154 | 5,667 |
Kura Oncology, Inc. (a) | 488 | 9,243 |
Kymera Therapeutics, Inc. (a) | 250 | 15,045 |
Mirati Therapeutics, Inc. (a) | 44 | 7,043 |
Natera, Inc. (a) | 386 | 44,205 |
Novavax, Inc. (a) | 239 | 42,860 |
Prelude Therapeutics, Inc. (a) | 304 | 9,740 |
Protagonist Therapeutics, Inc. (a) | 458 | 22,639 |
Relay Therapeutics, Inc. (a) | 187 | 6,066 |
REVOLUTION Medicines, Inc. (a) | 94 | 2,692 |
Silverback Therapeutics, Inc. (a) | 239 | 7,237 |
TG Therapeutics, Inc. (a) | 922 | 32,261 |
United Therapeutics Corp. (a) | 226 | 41,116 |
Vaxcyte, Inc. (a) | 24 | 520 |
Vericel Corp. (a) | 377 | 19,958 |
567,261 | ||
Health Care Equipment & Supplies – 2.1% | ||
Envista Holdings Corp. (a) | 3,250 | 140,010 |
Hologic, Inc. (a) | 1,996 | 149,780 |
Integer Holdings Corp. (a) | 853 | 83,500 |
Masimo Corp. (a) | 550 | 149,815 |
523,105 |
| ||
Shares | Value | |
Health Care Providers & Services – 4.0% | ||
Acadia Healthcare Co., Inc. (a) | 2,321 | $ 143,252 |
Laboratory Corp. of America Holdings (a) | 732 | 216,782 |
Molina Healthcare, Inc. (a) | 1,198 | 327,066 |
Premier, Inc. Class A | 1,570 | 55,955 |
R1 RCM, Inc. (a) | 2,708 | 57,978 |
Universal Health Services, Inc. Class B | 1,071 | 171,799 |
972,832 | ||
Health Care Technology – 0.3% | ||
Phreesia, Inc. (a) | 985 | 67,325 |
Life Sciences Tools & Services – 3.3% | ||
10X Genomics, Inc. Class A (a) | 374 | 68,528 |
Bio-Rad Laboratories, Inc. Class A (a) | 208 | 153,818 |
Bruker Corp. | 581 | 47,787 |
Charles River Laboratories International, Inc. (a) | 971 | 395,119 |
Syneos Health, Inc. (a) | 1,662 | 149,032 |
814,284 | ||
Pharmaceuticals – 1.3% | ||
Arvinas, Inc. (a) | 455 | 46,001 |
Jazz Pharmaceuticals PLC (a) | 1,373 | 232,751 |
Ocular Therapeutix, Inc. (a) | 1,175 | 12,937 |
Prestige Consumer Healthcare, Inc. (a) | 246 | 12,927 |
Royalty Pharma PLC Class A | 277 | 10,581 |
Viatris, Inc. | 621 | 8,737 |
323,934 | ||
TOTAL HEALTH CARE | 3,268,741 | |
INDUSTRIALS – 18.6% | ||
Aerospace & Defense – 0.3% | ||
Curtiss-Wright Corp. | 612 | 72,399 |
Building Products – 2.6% | ||
Builders FirstSource, Inc. (a) | 5,612 | 249,734 |
Fortune Brands Home & Security, Inc. | 1,235 | 120,375 |
JELD-WEN Holding, Inc. (a) | 1,766 | 46,764 |
Owens Corning | 1,019 | 97,987 |
The AZEK Co., Inc. (a) | 3,467 | 126,095 |
640,955 | ||
Commercial Services & Supplies – 0.6% | ||
Cimpress PLC (a) | 490 | 50,103 |
The Brink's Co. | 1,372 | 105,589 |
155,692 | ||
Construction & Engineering – 1.4% | ||
AECOM (a) | 1,838 | 115,720 |
EMCOR Group, Inc. | 1,427 | 173,823 |
Granite Construction, Inc. | 1,243 | 47,756 |
337,299 | ||
Electrical Equipment – 2.7% | ||
Acuity Brands, Inc. | 929 | 162,928 |
41 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Electrical Equipment – continued | ||
AMETEK, Inc. | 1,241 | $ 172,561 |
Atkore, Inc. (a) | 638 | 47,920 |
Regal-Beloit Corp. | 1,071 | 157,683 |
Sensata Technologies Holding PLC (a) | 2,025 | 118,706 |
659,798 | ||
Machinery – 4.5% | ||
Allison Transmission Holdings, Inc. | 2,916 | 116,378 |
Crane Co. | 1,296 | 126,010 |
Donaldson Co., Inc. | 3,304 | 218,692 |
ITT, Inc. | 2,261 | 221,375 |
Kornit Digital Ltd. (a) | 2,033 | 268,681 |
SPX Corp. (a) | 1,137 | 75,792 |
SPX FLOW, Inc. | 1,090 | 89,543 |
1,116,471 | ||
Marine – 0.4% | ||
Kirby Corp. (a) | 1,603 | 92,830 |
Professional Services – 3.1% | ||
ASGN, Inc. (a) | 1,350 | 136,526 |
CACI International, Inc. Class A (a) | 232 | 61,935 |
Insperity, Inc. | 927 | 91,819 |
KBR, Inc. | 1,556 | 60,217 |
ManpowerGroup, Inc. | 1,604 | 190,202 |
Nielsen Holdings PLC | 9,640 | 228,372 |
769,071 | ||
Road & Rail – 2.0% | ||
Knight-Swift Transportation Holdings, Inc. | 3,253 | 161,642 |
TFI International, Inc. | 2,878 | 322,393 |
484,035 | ||
Trading Companies & Distributors – 1.0% | ||
Beacon Roofing Supply, Inc. (a) | 1,414 | 75,621 |
Rush Enterprises, Inc. Class A | 1,261 | 59,254 |
Univar Solutions, Inc. (a) | 4,438 | 108,909 |
243,784 | ||
TOTAL INDUSTRIALS | 4,572,334 | |
INFORMATION TECHNOLOGY – 16.8% | ||
Electronic Equipment, Instruments & Components – 3.8% | ||
Advanced Energy Industries, Inc. | 992 | 102,920 |
Arrow Electronics, Inc. (a) | 2,101 | 249,116 |
Fabrinet (a) | 909 | 85,919 |
Insight Enterprises, Inc. (a) | 922 | 92,550 |
SYNNEX Corp. | 1,101 | 131,613 |
TTM Technologies, Inc. (a) | 2,703 | 37,815 |
Zebra Technologies Corp. Class A (a) | 413 | 228,174 |
928,107 | ||
IT Services – 3.7% | ||
Concentrix Corp. (a) | 1,081 | 176,992 |
EPAM Systems, Inc. (a) | 405 | 226,719 |
| ||
Shares | Value | |
ExlService Holdings, Inc. (a) | 874 | $ 98,954 |
Genpact Ltd. | 2,944 | 146,641 |
The Western Union Co. | 4,966 | 115,261 |
Unisys Corp. (a) | 1,593 | 35,604 |
Verra Mobility Corp. (a) | 3,525 | 53,968 |
WNS Holdings Ltd. ADR (a) | 557 | 45,863 |
900,002 | ||
Semiconductors & Semiconductor Equipment – 1.8% | ||
Cirrus Logic, Inc. (a) | 465 | 38,404 |
CMC Materials, Inc. | 740 | 107,034 |
Entegris, Inc. | 1,539 | 185,665 |
Semtech Corp. (a) | 1,697 | 105,061 |
SiTime Corp. (a) | 118 | 16,006 |
452,170 | ||
Software – 6.7% | ||
ANSYS, Inc. (a) | 414 | 152,542 |
CyberArk Software Ltd. (a) | 1,195 | 169,726 |
Dynatrace, Inc. (a) | 1,228 | 78,432 |
Elastic N.V. (a) | 494 | 73,142 |
j2 Global, Inc. (a) | 1,168 | 165,003 |
Lightspeed POS, Inc. (a) | 1,765 | 150,961 |
Paycom Software, Inc. (a) | 371 | 148,400 |
Rapid7, Inc. (a) | 1,394 | 158,568 |
RingCentral, Inc. Class A (a) | 312 | 83,388 |
Sprout Social, Inc. Class A (a) | 749 | 66,541 |
Telos Corp. (a) | 4,635 | 129,873 |
Tenable Holdings, Inc. (a) | 1,795 | 76,826 |
Workiva, Inc. (a) | 1,074 | 139,373 |
Xperi Holding Corp. | 2,794 | 58,031 |
1,650,806 | ||
Technology Hardware, Storage & Peripherals – 0.8% | ||
Seagate Technology Holdings PLC | 2,289 | 201,203 |
TOTAL INFORMATION TECHNOLOGY | 4,132,288 | |
MATERIALS – 5.5% | ||
Chemicals – 3.5% | ||
Element Solutions, Inc. | 5,751 | 134,516 |
FMC Corp. | 1,200 | 128,340 |
Huntsman Corp. | 3,575 | 94,416 |
Olin Corp. | 3,758 | 176,739 |
The Chemours Co. | 4,013 | 133,432 |
Tronox Holdings PLC Class A | 2,356 | 43,421 |
Valvoline, Inc. | 4,941 | 151,590 |
862,454 | ||
Construction Materials – 0.7% | ||
Eagle Materials, Inc. | 1,098 | 155,169 |
Containers & Packaging – 0.9% | ||
O-I Glass, Inc. (a) | 4,031 | 59,618 |
Westrock Co. | 3,413 | 167,954 |
227,572 |
Annual Report | 42 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – 0.4% | ||
Commercial Metals Co. | 3,077 | $ 100,926 |
TOTAL MATERIALS | 1,346,121 | |
REAL ESTATE – 5.8% | ||
Equity Real Estate Investment Trusts (REITs) – 4.2% | ||
Americold Realty Trust | 3,751 | 145,726 |
Corporate Office Properties Trust | 2,852 | 83,963 |
CubeSmart | 5,267 | 261,559 |
Douglas Emmett, Inc. | 4,277 | 142,852 |
Equity Lifestyle Properties, Inc. | 1,304 | 109,275 |
Lexington Realty Trust | 7,318 | 96,232 |
RLJ Lodging Trust | 4,364 | 62,623 |
Terreno Realty Corp. | 1,760 | 120,314 |
1,022,544 | ||
Real Estate Management & Development – 1.6% | ||
Cushman & Wakefield PLC (a) | 1,962 | 36,630 |
Jones Lang LaSalle, Inc. (a) | 1,382 | 307,592 |
Realogy Holdings Corp. (a) | 3,004 | 53,231 |
397,453 | ||
TOTAL REAL ESTATE | 1,419,997 | |
UTILITIES – 2.3% | ||
Electric Utilities – 0.8% | ||
Alliant Energy Corp. | 2,141 | 125,313 |
Edison International | 1,400 | 76,300 |
201,613 |
| ||
Shares | Value | |
Gas Utilities – 0.2% | ||
Brookfield Infrastructure Corp. | 885 | $ 57,313 |
Independent Power and Renewable Electricity Producers – 0.7% | ||
The AES Corp. | 7,176 | 170,071 |
Multi-Utilities – 0.6% | ||
CenterPoint Energy, Inc. | 5,629 | 143,314 |
TOTAL UTILITIES | 572,311 | |
TOTAL COMMON STOCKS (Cost $22,720,134) | 24,326,426 | |
Money Market Fund – 1.0% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $236,078) | 236,078 | 236,078 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $22,956,212) | 24,562,504 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (4,822) | |
NET ASSETS – 100.0% | $ 24,557,682 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
43 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 373,955 | $ 373,955 | $ — | $ — | ||||
Consumer Discretionary | 3,326,441 | 3,326,441 | — | — | ||||
Consumer Staples | 972,820 | 972,820 | — | — | ||||
Energy | 670,941 | 670,941 | — | — | ||||
Financials | 3,670,477 | 3,670,477 | — | — | ||||
Health Care | 3,268,741 | 3,268,741 | — | — | ||||
Industrials | 4,572,334 | 4,572,334 | — | — | ||||
Information Technology | 4,132,288 | 4,132,288 | — | — | ||||
Materials | 1,346,121 | 1,346,121 | — | — | ||||
Real Estate | 1,419,997 | 1,419,997 | — | — | ||||
Utilities | 572,311 | 572,311 | — | — | ||||
Money Market Fund | 236,078 | 236,078 | — | — | ||||
Total Investments in Securities: | $ 24,562,504 | $ 24,562,504 | $ — | $ — |
United States of America | 89.7 |
Ireland | 2.4 |
Canada | 2.2 |
Bermuda | 2.1 |
Israel | 1.8 |
Others (Individually Less Than 1%) | 1.8 |
100.0% |
Annual Report | 44 |
Common Stocks – 98.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.4% | ||
Entertainment – 1.5% | ||
The Walt Disney Co. (a) | 260 | $ 45,765 |
Interactive Media & Services – 1.6% | ||
Alphabet, Inc. Class A (a) | 19 | 51,196 |
Media – 2.3% | ||
Cable One, Inc. | 19 | 35,872 |
Comcast Corp. Class A | 582 | 34,239 |
70,111 | ||
TOTAL COMMUNICATION SERVICES | 167,072 | |
CONSUMER DISCRETIONARY – 12.9% | ||
Automobiles – 0.8% | ||
General Motors Co. (a) | 426 | 24,214 |
Diversified Consumer Services – 2.4% | ||
Adtalem Global Education, Inc. (a) | 972 | 35,322 |
Bright Horizons Family Solutions, Inc. (a) | 273 | 40,814 |
76,136 | ||
Hotels, Restaurants & Leisure – 1.5% | ||
Marriott International, Inc. Class A (a) | 324 | 47,297 |
Household Durables – 1.2% | ||
Taylor Morrison Home Corp. (a) | 1,370 | 36,743 |
Internet & Direct Marketing Retail – 1.3% | ||
eBay, Inc. | 589 | 40,176 |
Multiline Retail – 1.8% | ||
Target Corp. | 213 | 55,604 |
Specialty Retail – 3.9% | ||
The Gap, Inc. | 1,493 | 43,551 |
The Home Depot, Inc. | 144 | 47,259 |
The TJX Cos., Inc. | 468 | 32,203 |
123,013 | ||
TOTAL CONSUMER DISCRETIONARY | 403,183 | |
CONSUMER STAPLES – 5.4% | ||
Beverages – 1.4% | ||
Keurig Dr Pepper, Inc. | 1,281 | 45,104 |
Food Products – 1.5% | ||
Darling Ingredients, Inc. (a) | 689 | 47,589 |
Household Products – 2.5% | ||
Kimberly-Clark Corp. | 202 | 27,416 |
The Procter & Gamble Co. | 344 | 48,927 |
76,343 | ||
TOTAL CONSUMER STAPLES | 169,036 | |
ENERGY – 2.0% | ||
Oil, Gas & Consumable Fuels – 2.0% | ||
Cheniere Energy, Inc. (a) | 409 | 34,737 |
| ||
Shares | Value | |
Valero Energy Corp. | 392 | $ 26,252 |
TOTAL ENERGY | 60,989 | |
FINANCIALS – 12.6% | ||
Banks – 1.6% | ||
Bank of America Corp. | 1,282 | 49,178 |
Capital Markets – 4.6% | ||
BlackRock, Inc. | 36 | 31,218 |
Northern Trust Corp. | 367 | 41,416 |
S&P Global, Inc. | 79 | 33,869 |
State Street Corp. | 437 | 38,080 |
144,583 | ||
Consumer Finance – 2.5% | ||
American Express Co. | 196 | 33,424 |
Discover Financial Services | 352 | 43,760 |
77,184 | ||
Insurance – 3.9% | ||
Arch Capital Group Ltd. (a) | 951 | 37,089 |
Marsh & McLennan Cos., Inc. | 227 | 33,419 |
The Travelers Cos., Inc. | 335 | 49,888 |
120,396 | ||
TOTAL FINANCIALS | 391,341 | |
HEALTH CARE – 14.7% | ||
Biotechnology – 4.2% | ||
AbbVie, Inc. | 535 | 62,220 |
Amgen, Inc. | 163 | 39,371 |
Vertex Pharmaceuticals, Inc. (a) | 144 | 29,028 |
130,619 | ||
Health Care Equipment & Supplies – 4.4% | ||
Danaher Corp. | 256 | 76,157 |
IDEXX Laboratories, Inc. (a) | 52 | 35,284 |
ResMed, Inc. | 98 | 26,636 |
138,077 | ||
Health Care Providers & Services – 1.6% | ||
Cigna Corp. | 216 | 49,570 |
Pharmaceuticals – 4.5% | ||
AstraZeneca PLC ADR | 641 | 36,691 |
Merck & Co., Inc. | 888 | 68,260 |
Zoetis, Inc. | 181 | 36,689 |
141,640 | ||
TOTAL HEALTH CARE | 459,906 | |
INDUSTRIALS – 9.3% | ||
Air Freight & Logistics – 1.0% | ||
United Parcel Service, Inc. Class B | 165 | 31,574 |
Commercial Services & Supplies – 1.2% | ||
Montrose Environmental Group, Inc. (a) | 691 | 37,100 |
45 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Electrical Equipment – 2.7% | ||
Acuity Brands, Inc. | 169 | $ 29,639 |
Rockwell Automation, Inc. | 80 | 24,594 |
Sunrun, Inc. (a) | 553 | 29,292 |
83,525 | ||
Machinery – 1.0% | ||
Xylem, Inc. | 245 | 30,833 |
Professional Services – 3.4% | ||
KBR, Inc. | 832 | 32,199 |
ManpowerGroup, Inc. | 312 | 36,997 |
Verisk Analytics, Inc. | 198 | 37,608 |
106,804 | ||
TOTAL INDUSTRIALS | 289,836 | |
INFORMATION TECHNOLOGY – 26.4% | ||
IT Services – 3.8% | ||
Accenture PLC Class A | 200 | 63,536 |
PayPal Holdings, Inc. (a) | 202 | 55,657 |
119,193 | ||
Semiconductors & Semiconductor Equipment – 6.0% | ||
Applied Materials, Inc. | 360 | 50,375 |
NVIDIA Corp. | 300 | 58,497 |
ON Semiconductor Corp. (a) | 1,322 | 51,637 |
SolarEdge Technologies, Inc. (a) | 99 | 25,689 |
186,198 | ||
Software – 15.0% | ||
Adobe, Inc. (a) | 87 | 54,082 |
Autodesk, Inc. (a) | 105 | 33,719 |
Cadence Design Systems, Inc. (a) | 259 | 38,241 |
Intuit, Inc. | 130 | 68,896 |
Microsoft Corp. | 567 | 161,544 |
Rapid7, Inc. (a) | 344 | 39,130 |
Salesforce.com, Inc. (a) | 297 | 71,853 |
467,465 | ||
Technology Hardware, Storage & Peripherals – 1.6% | ||
Apple, Inc. | 351 | 51,197 |
TOTAL INFORMATION TECHNOLOGY | 824,053 | |
MATERIALS – 3.6% | ||
Chemicals – 1.1% | ||
Linde PLC | 109 | 33,506 |
| ||
Shares | Value | |
Containers & Packaging – 2.5% | ||
Avery Dennison Corp. | 191 | $ 40,240 |
Crown Holdings, Inc. | 244 | 24,341 |
O-I Glass, Inc. (a) | 904 | 13,370 |
77,951 | ||
TOTAL MATERIALS | 111,457 | |
REAL ESTATE – 4.2% | ||
Equity Real Estate Investment Trusts (REITs) – 2.8% | ||
Digital Realty Trust, Inc. | 138 | 21,274 |
Prologis, Inc. | 519 | 66,453 |
87,727 | ||
Real Estate Management & Development – 1.4% | ||
CBRE Group, Inc. Class A (a) | 452 | 43,600 |
TOTAL REAL ESTATE | 131,327 | |
UTILITIES – 2.1% | ||
Electric Utilities – 0.9% | ||
NextEra Energy, Inc. | 372 | 28,979 |
Water Utilities – 1.2% | ||
American Water Works Co., Inc. | 222 | 37,764 |
TOTAL UTILITIES | 66,743 | |
TOTAL COMMON STOCKS (Cost $2,975,958) | 3,074,943 | |
Money Market Fund – 0.6% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $18,726) | 18,726 | 18,726 |
TOTAL INVESTMENT IN SECURITIES – 99.2% (Cost $2,994,684) | 3,093,669 | |
NET OTHER ASSETS (LIABILITIES) – 0.8% | 26,495 | |
NET ASSETS – 100.0% | $ 3,120,164 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 46 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 167,072 | $ 167,072 | $ — | $ — | ||||
Consumer Discretionary | 403,183 | 403,183 | — | — | ||||
Consumer Staples | 169,036 | 169,036 | — | — | ||||
Energy | 60,989 | 60,989 | — | — | ||||
Financials | 391,341 | 391,341 | — | — | ||||
Health Care | 459,906 | 459,906 | — | — | ||||
Industrials | 289,836 | 289,836 | — | — | ||||
Information Technology | 824,053 | 824,053 | — | — | ||||
Materials | 111,457 | 111,457 | — | — | ||||
Real Estate | 131,327 | 131,327 | — | — | ||||
Utilities | 66,743 | 66,743 | — | — | ||||
Money Market Fund | 18,726 | 18,726 | — | — | ||||
Total Investments in Securities: | $ 3,093,669 | $ 3,093,669 | $ — | $ — |
47 | Annual Report |
Common Stocks – 98.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.3% | ||
Entertainment – 1.5% | ||
The Walt Disney Co. (a) | 171 | $ 30,099 |
Interactive Media & Services – 3.7% | ||
Bumble, Inc. Class A (a) | 250 | 12,720 |
Facebook, Inc. Class A (a) | 48 | 17,102 |
Match Group, Inc. (a) | 40 | 6,371 |
Snap, Inc. Class A (a) | 276 | 20,540 |
TripAdvisor, Inc. (a) | 359 | 13,624 |
Vimeo, Inc. (a) | 126 | 5,645 |
76,002 | ||
Media – 3.1% | ||
Cable One, Inc. | 6 | 11,328 |
Meredith Corp. (a) | 460 | 20,074 |
The Interpublic Group of Cos., Inc. | 586 | 20,721 |
ViacomCBS, Inc. Class B | 292 | 11,952 |
64,075 | ||
TOTAL COMMUNICATION SERVICES | 170,176 | |
CONSUMER DISCRETIONARY – 14.5% | ||
Automobiles – 0.7% | ||
General Motors Co. (a) | 242 | 13,755 |
Diversified Consumer Services – 1.3% | ||
Adtalem Global Education, Inc. (a) | 367 | 13,337 |
Bright Horizons Family Solutions, Inc. (a) | 86 | 12,857 |
26,194 | ||
Hotels, Restaurants & Leisure – 2.1% | ||
Airbnb, Inc. Class A (a) | 52 | 7,489 |
Marriott International, Inc. Class A (a) | 131 | 19,123 |
Starbucks Corp. | 141 | 17,122 |
43,734 | ||
Household Durables – 1.0% | ||
Taylor Morrison Home Corp. (a) | 811 | 21,751 |
Internet & Direct Marketing Retail – 2.2% | ||
Amazon.com, Inc. (a) | 7 | 23,293 |
Etsy, Inc. (a) | 74 | 13,580 |
The RealReal, Inc. (a) | 464 | 7,660 |
44,533 | ||
Multiline Retail – 0.7% | ||
Kohl's Corp. | 276 | 14,021 |
Specialty Retail – 5.3% | ||
Best Buy Co., Inc. | 101 | 11,348 |
Burlington Stores, Inc. (a) | 44 | 14,731 |
Lowe's Cos., Inc. | 99 | 19,076 |
Ross Stores, Inc. | 52 | 6,380 |
The Gap, Inc. | 659 | 19,223 |
Torrid Holdings, Inc. (a) | 375 | 8,756 |
Ulta Beauty, Inc. (a) | 35 | 11,753 |
| ||
Shares | Value | |
Williams-Sonoma, Inc. | 120 | $ 18,204 |
109,471 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||
PVH Corp. (a) | 102 | 10,671 |
Tapestry, Inc. (a) | 329 | 13,917 |
24,588 | ||
TOTAL CONSUMER DISCRETIONARY | 298,047 | |
CONSUMER STAPLES – 4.1% | ||
Beverages – 1.0% | ||
The Coca-Cola Co. | 242 | 13,801 |
The Duckhorn Portfolio, Inc. (a) | 299 | 6,569 |
20,370 | ||
Food Products – 1.2% | ||
Laird Superfood, Inc. (a) | 406 | 11,327 |
The Hershey Co. | 78 | 13,953 |
25,280 | ||
Household Products – 0.5% | ||
The Clorox Co. | 54 | 9,768 |
Personal Products – 1.4% | ||
The Estee Lauder Cos., Inc. Class A | 58 | 19,362 |
Unilever PLC ADR | 171 | 9,838 |
29,200 | ||
TOTAL CONSUMER STAPLES | 84,618 | |
ENERGY – 0.5% | ||
Oil, Gas & Consumable Fuels – 0.5% | ||
Renewable Energy Group, Inc. (a) | 180 | 11,025 |
FINANCIALS – 11.1% | ||
Banks – 4.3% | ||
Bank of America Corp. | 814 | 31,225 |
Citigroup, Inc. | 427 | 28,874 |
First Horizon Corp. | 728 | 11,248 |
First United Corp. | 382 | 6,612 |
JPMorgan Chase & Co. | 72 | 10,928 |
88,887 | ||
Capital Markets – 3.9% | ||
Coinbase Global, Inc. Class A (a) | 24 | 5,678 |
Morningstar, Inc. | 94 | 23,747 |
MSCI, Inc. | 17 | 10,132 |
Nasdaq, Inc. | 211 | 39,400 |
78,957 | ||
Insurance – 2.1% | ||
The Hartford Financial Services Group, Inc. | 226 | 14,378 |
The Progressive Corp. | 296 | 28,167 |
42,545 |
Annual Report | 48 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – 0.8% | ||
NMI Holdings, Inc. Class A (a) | 741 | $ 16,317 |
TOTAL FINANCIALS | 226,706 | |
HEALTH CARE – 14.4% | ||
Biotechnology – 2.0% | ||
AbbVie, Inc. | 133 | 15,468 |
Vertex Pharmaceuticals, Inc. (a) | 77 | 15,522 |
Zai Lab Ltd. ADR (a) | 69 | 9,978 |
40,968 | ||
Health Care Equipment & Supplies – 2.1% | ||
Hologic, Inc. (a) | 344 | 25,814 |
ResMed, Inc. | 59 | 16,036 |
41,850 | ||
Health Care Providers & Services – 4.7% | ||
1Life Healthcare, Inc. (a) | 335 | 9,058 |
AMN Healthcare Services, Inc. (a) | 142 | 14,280 |
Anthem, Inc. | 99 | 38,017 |
Cigna Corp. | 111 | 25,473 |
Innovage Holding Corp. (a) | 566 | 9,543 |
96,371 | ||
Pharmaceuticals – 5.6% | ||
AstraZeneca PLC ADR | 541 | 30,967 |
Eli Lilly & Co. | 96 | 23,376 |
GlaxoSmithKline PLC ADR | 563 | 22,599 |
Merck & Co., Inc. | 224 | 17,219 |
Zoetis, Inc. | 104 | 21,080 |
115,241 | ||
TOTAL HEALTH CARE | 294,430 | |
INDUSTRIALS – 8.7% | ||
Air Freight & Logistics – 0.7% | ||
United Parcel Service, Inc. Class B | 73 | 13,969 |
Commercial Services & Supplies – 0.3% | ||
Stericycle, Inc. (a) | 78 | 5,503 |
Electrical Equipment – 2.8% | ||
AMETEK, Inc. | 185 | 25,724 |
nVent Electric PLC | 479 | 15,141 |
Sunrun, Inc. (a) | 308 | 16,315 |
57,180 | ||
Machinery – 2.4% | ||
Federal Signal Corp. | 772 | 30,579 |
Otis Worldwide Corp. | 211 | 18,895 |
49,474 | ||
Professional Services – 2.5% | ||
Leidos Holdings, Inc. | 189 | 20,113 |
ManpowerGroup, Inc. | 150 | 17,787 |
| ||
Shares | Value | |
Science Applications International Corp. | 162 | $ 14,143 |
52,043 | ||
TOTAL INDUSTRIALS | 178,169 | |
INFORMATION TECHNOLOGY – 29.4% | ||
Communications Equipment – 0.8% | ||
Arista Networks, Inc. (a) | 44 | 16,737 |
Electronic Equipment, Instruments & Components – 1.9% | ||
CDW Corp. | 146 | 26,769 |
Insight Enterprises, Inc. (a) | 129 | 12,949 |
39,718 | ||
IT Services – 9.3% | ||
Accenture PLC Class A | 138 | 43,840 |
Genpact Ltd. | 300 | 14,943 |
Mastercard, Inc. Class A | 60 | 23,156 |
PayPal Holdings, Inc. (a) | 121 | 33,339 |
Square, Inc. Class A (a) | 57 | 14,094 |
Twilio, Inc. Class A (a) | 50 | 18,680 |
Visa, Inc. Class A | 93 | 22,914 |
WEX, Inc. (a) | 102 | 19,352 |
190,318 | ||
Semiconductors & Semiconductor Equipment – 3.6% | ||
Advanced Micro Devices, Inc. (a) | 182 | 19,327 |
NVIDIA Corp. | 204 | 39,778 |
Universal Display Corp. | 59 | 13,835 |
72,940 | ||
Software – 12.4% | ||
Adobe, Inc. (a) | 63 | 39,162 |
Ceridian HCM Holding, Inc. (a) | 112 | 11,021 |
HubSpot, Inc. (a) | 50 | 29,801 |
Intuit, Inc. | 72 | 38,158 |
Microsoft Corp. | 247 | 70,373 |
PagerDuty, Inc. (a) | 268 | 10,878 |
Rapid7, Inc. (a) | 172 | 19,565 |
Salesforce.com, Inc. (a) | 147 | 35,564 |
254,522 | ||
Technology Hardware, Storage & Peripherals – 1.4% | ||
Apple, Inc. | 204 | 29,756 |
TOTAL INFORMATION TECHNOLOGY | 603,991 | |
MATERIALS – 2.6% | ||
Chemicals – 0.4% | ||
Valvoline, Inc. | 246 | 7,547 |
Metals & Mining – 2.2% | ||
Commercial Metals Co. | 357 | 11,710 |
Newmont Corp. | 332 | 20,856 |
Schnitzer Steel Industries, Inc. Class A | 245 | 12,843 |
45,409 | ||
TOTAL MATERIALS | 52,956 |
49 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – 2.5% | ||
Equity Real Estate Investment Trusts (REITs) – 2.5% | ||
Equity Lifestyle Properties, Inc. | 219 | $ 18,352 |
STORE Capital Corp. | 580 | 20,990 |
Ventas, Inc. | 199 | 11,897 |
TOTAL REAL ESTATE | 51,239 | |
UTILITIES – 2.3% | ||
Electric Utilities – 1.5% | ||
ALLETE, Inc. | 181 | 12,728 |
NextEra Energy, Inc. | 220 | 17,138 |
29,866 | ||
Water Utilities – 0.8% | ||
American Water Works Co., Inc. | 103 | 17,521 |
TOTAL UTILITIES | 47,387 | |
TOTAL COMMON STOCKS (Cost $1,967,635) | 2,018,744 |
Money Market Fund – 1.7% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $33,764) | 33,764 | $ 33,764 |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $2,001,399) | 2,052,508 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (1,904) | |
NET ASSETS – 100.0% | $ 2,050,604 |
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 | $ 170,176 | $ 170,176 | $ — | $ — | ||||
Consumer Discretionary | 298,047 | 298,047 | — | — | ||||
Consumer Staples | 84,618 | 84,618 | — | — | ||||
Energy | 11,025 | 11,025 | — | — | ||||
Financials | 226,706 | 226,706 | — | — | ||||
Health Care | 294,430 | 294,430 | — | — | ||||
Industrials | 178,169 | 178,169 | — | — | ||||
Information Technology | 603,991 | 603,991 | — | — | ||||
Materials | 52,956 | 52,956 | — | — | ||||
Real Estate | 51,239 | 51,239 | — | — | ||||
Utilities | 47,387 | 47,387 | — | — | ||||
Money Market Fund | 33,764 | 33,764 | — | — | ||||
Total Investments in Securities: | $ 2,052,508 | $ 2,052,508 | $ — | $ — |
Annual Report | 50 |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule: | $ 407,503,041 | $ 94,420,243 | $ 39,675,496 | $ 35,834,840 | |||
Cash | 3,080 | — | 2,989 | — | |||
Foreign currency held at value (cost $59, $—, $— and $—, respectively) | 59 | — | — | — | |||
Receivable for investments sold | 475,658 | — | 248,765 | 57,649 | |||
Receivable for fund shares sold | 174,313 | — | 93,094 | 156,415 | |||
Dividends receivable | 47,534 | 91,405 | 4,396 | 7,696 | |||
Total assets | 408,203,685 | 94,511,648 | 40,024,740 | 36,056,600 | |||
Liabilities | |||||||
Payable for investments purchased | 820,658 | — | 327,268 | 197,950 | |||
Accrued management fees | 193,528 | 46,719 | 18,130 | 16,325 | |||
Total liabilities | 1,014,186 | 46,719 | 345,398 | 214,275 | |||
Net Assets | $407,189,499 | $94,464,929 | $39,679,342 | $35,842,325 | |||
Net Assets consist of: | |||||||
Paid in capital | $348,123,061 | $82,845,230 | $38,200,883 | $32,259,501 | |||
Total accumulated earnings (loss) | 59,066,438 | 11,619,699 | 1,478,459 | 3,582,824 | |||
Net Assets | $407,189,499 | $94,464,929 | $39,679,342 | $35,842,325 | |||
Shares outstanding | 12,425,000 | 3,300,000 | 1,875,000 | 1,550,000 | |||
Net Asset Value per share | $ 32.77 | $ 28.63 | $ 21.16 | $ 23.12 | |||
Investments at cost | $342,693,865 | $83,204,145 | $37,030,020 | $32,058,146 |
Annual Report | 52 |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETF | Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainability U.S. Equity ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule: | $ 60,390,378 | $ 16,736,267 | $ 24,562,504 | $ 3,093,669 | |||
Cash | — | — | — | — | |||
Foreign currency held at value (cost $—, $—, $— and $—, respectively) | — | — | — | — | |||
Receivable for investments sold | — | — | — | 347,252 | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 46,931 | 6,964 | 8,080 | 1,149 | |||
Total assets | 60,437,309 | 16,743,231 | 24,570,584 | 3,442,070 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | — | 320,560 | |||
Accrued management fees | 30,481 | 7,824 | 12,902 | 1,346 | |||
Total liabilities | 30,481 | 7,824 | 12,902 | 321,906 | |||
Net Assets | $60,406,828 | $16,735,407 | $24,557,682 | $3,120,164 | |||
Net Assets consist of: | |||||||
Paid in capital | $52,949,865 | $14,871,592 | $23,313,549 | $3,018,299 | |||
Total accumulated earnings (loss) | 7,456,963 | 1,863,815 | 1,244,133 | 101,865 | |||
Net Assets | $60,406,828 | $16,735,407 | $24,557,682 | $3,120,164 | |||
Shares outstanding | 2,075,000 | 675,000 | 1,075,000 | 150,000 | |||
Net Asset Value per share | $ 29.11 | $ 24.79 | $ 22.84 | $ 20.80 | |||
Investments at cost | $52,913,239 | $14,836,479 | $22,956,212 | $2,994,684 |
53 | Annual Report |
Fidelity Women's Leadership ETF | |
Assets | |
Investments in securities, at value – See accompanying schedule: | $ 2,052,508 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for investments sold | — |
Receivable for fund shares sold | — |
Dividends receivable | 1,025 |
Total assets | 2,053,533 |
Liabilities | |
Payable for investments purchased | 1,928 |
Accrued management fees | 1,001 |
Total liabilities | 2,929 |
Net Assets | $2,050,604 |
Net Assets consist of: | |
Paid in capital | $2,000,200 |
Total accumulated earnings (loss) | 50,404 |
Net Assets | $2,050,604 |
Shares outstanding | 100,000 |
Net Asset Value per share | $ 20.51 |
Investments at cost | $2,001,399 |
Annual Report | 54 |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity Growth Opportunities ETFA | Fidelity Magellan ETFA | ||||
Investment Income | |||||||
Dividends | $ 710,082 | $ 941,505 | $ 29,684 | $ 66,491 | |||
Interest | 3 | — | — | — | |||
Total income | 710,085 | 941,505 | 29,684 | 66,491 | |||
Expenses | |||||||
Management fees | 1,309,546 | 307,259 | 68,385 | 65,901 | |||
Independent trustees' fees and expenses | 727 | 164 | 28 | 28 | |||
Miscellaneous | — | 148 | — | — | |||
Total expenses before reductions | 1,310,273 | 307,571 | 68,413 | 65,929 | |||
Expense reductions | (6,985) | (2,480) | (281) | (148) | |||
Total expenses | 1,303,288 | 305,091 | 68,132 | 65,781 | |||
Net investment income (loss) | (593,203) | 636,414 | (38,448) | 710 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (5,224,738) | 362,737 | (1,182,907) | (199,392) | |||
Net realized gain (loss) on In-kind redemptions | 5,609,433 | 2,272,588 | 48,524 | 140,042 | |||
Net realized gain (loss) on futures contracts | 4,161 | 4,045 | 6,226 | 28 | |||
Net realized gain (loss) on foreign currency transactions | (734) | — | 121 | — | |||
Total net realized gain (loss) | 388,122 | 2,639,370 | (1,128,036) | (59,322) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 62,277,433 | 11,135,394 | 2,645,476 | 3,776,694 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | 3 | — | (24) | — | |||
Total change in net unrealized appreciation (depreciation) | 62,277,436 | 11,135,394 | 2,645,452 | 3,776,694 | |||
Net gain (loss) | 62,665,558 | 13,774,764 | 1,517,416 | 3,717,372 | |||
Net increase (decrease) in net assets resulting from operations | $62,072,355 | $14,411,178 | $ 1,478,968 | $3,718,082 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
55 | Annual Report |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETFA | Fidelity Small-Mid Cap Opportunities ETFA | Fidelity Sustainability U.S. Equity ETFB | ||||
Investment Income | |||||||
Dividends | $ 636,800 | $ 111,607 | $ 76,524 | $ 1,658 | |||
Interest | — | — | — | — | |||
Total income | 636,800 | 111,607 | 76,524 | 1,658 | |||
Expenses | |||||||
Management fees | 196,062 | 27,534 | 56,998 | 1,882 | |||
Independent trustees' fees and expenses | 105 | 11 | 23 | — | |||
Miscellaneous | — | — | — | — | |||
Total expenses before reductions | 196,167 | 27,545 | 57,021 | 1,882 | |||
Expense reductions | (1,266) | (206) | (479) | — | |||
Total expenses | 194,901 | 27,339 | 56,542 | 1,882 | |||
Net investment income (loss) | 441,899 | 84,268 | 19,982 | (224) | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 53,431 | (29,056) | (371,405) | 3,104 | |||
Net realized gain (loss) on In-kind redemptions | 1,209,248 | 110,482 | — | — | |||
Net realized gain (loss) on futures contracts | (167) | — | 9,246 | — | |||
Net realized gain (loss) on foreign currency transactions | (81) | — | — | — | |||
Total net realized gain (loss) | 1,262,431 | 81,426 | (362,159) | 3,104 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 7,391,517 | 1,899,788 | 1,606,292 | 98,985 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | — | — | — | |||
Total change in net unrealized appreciation (depreciation) | 7,391,517 | 1,899,788 | 1,606,292 | 98,985 | |||
Net gain (loss) | 8,653,948 | 1,981,214 | 1,244,133 | 102,089 | |||
Net increase (decrease) in net assets resulting from operations | $9,095,847 | $2,065,482 | $1,264,115 | $101,865 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
Annual Report | 56 |
Fidelity Women's Leadership ETFB | |
Investment Income | |
Dividends | $ 1,740 |
Interest | — |
Total income | 1,740 |
Expenses | |
Management fees | 1,539 |
Independent trustees' fees and expenses | — |
Miscellaneous | — |
Total expenses before reductions | 1,539 |
Expense reductions | — |
Net investment income (loss) | 201 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (906) |
Net realized gain (loss) on In-kind redemptions | — |
Net realized gain (loss) on futures contracts | — |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | (906) |
Change in net unrealized appreciation (depreciation) on investment securities | 51,109 |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | 51,109 |
Net gain (loss) | 50,203 |
Net increase (decrease) in net assets resulting from operations | $50,404 |
B | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
57 | Annual Report |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | ||||||
Year ended July 31, 2021 | Year ended July 31, 2020A | Year ended July 31, 2021 | Year ended July 31, 2020A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (593,203) | $ (11,109) | $ 636,414 | $ 8,392 | |||
Net realized gain (loss) | 388,122 | (84,333) | 2,639,370 | (83,069) | |||
Change in net unrealized appreciation (depreciation) | 62,277,436 | 2,531,741 | 11,135,394 | 80,704 | |||
Net increase (decrease) in net assets resulting from operations | 62,072,355 | 2,436,299 | 14,411,178 | 6,027 | |||
Distributions to shareholders | (12,550) | — | (554,000) | (3,500) | |||
Share transactions | |||||||
Proceeds from sales of shares | 330,484,944 | 39,057,852 | 85,150,123 | 8,090,408 | |||
Cost of shares redeemed | (26,849,401) | — | (12,635,307) | — | |||
Net increase (decrease) in net assets resulting from share transactions | 303,635,543 | 39,057,852 | 72,514,816 | 8,090,408 | |||
Total increase (decrease) in net assets | 365,695,348 | 41,494,151 | 86,371,994 | 8,092,935 | |||
Net Assets | |||||||
Beginning of year | 41,494,151 | — | 8,092,935 | — | |||
End of year | $407,189,499 | $41,494,151 | $ 94,464,929 | $8,092,935 | |||
Other Information | |||||||
Shares | |||||||
Sold | 11,550,000 | 1,825,000 | 3,400,000 | 400,000 | |||
Redeemed | (950,000) | — | (500,000) | — | |||
Net increase (decrease) | 10,600,000 | 1,825,000 | 2,900,000 | 400,000 |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
Annual Report | 58 |
Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | Fidelity New Millennium ETF | |||||
Year ended July 31, 2021B | Year ended July 31, 2021B | Year ended July 31, 2021 | Year ended July 31, 2020A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (38,448) | $ 710 | $ 441,899 | $ 6,701 | |||
Net realized gain (loss) | (1,128,036) | (59,322) | 1,262,431 | (13,928) | |||
Change in net unrealized appreciation (depreciation) | 2,645,452 | 3,776,694 | 7,391,517 | 85,622 | |||
Net increase (decrease) in net assets resulting from operations | 1,478,968 | 3,718,082 | 9,095,847 | 78,395 | |||
Distributions to shareholders | — | (4,875) | (485,050) | (3,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 39,144,463 | 33,724,455 | 51,361,590 | 6,036,688 | |||
Cost of shares redeemed | (944,089) | (1,595,337) | (5,677,642) | — | |||
Net increase (decrease) in net assets resulting from share transactions | 38,200,374 | 32,129,118 | 45,683,948 | 6,036,688 | |||
Total increase (decrease) in net assets | 39,679,342 | 35,842,325 | 54,294,745 | 6,112,083 | |||
Net Assets | |||||||
Beginning of year | — | — | 6,112,083 | — | |||
End of year | $39,679,342 | $35,842,325 | $60,406,828 | $6,112,083 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,925,000 | 1,625,000 | 1,975,000 | 300,000 | |||
Redeemed | (50,000) | (75,000) | (200,000) | — | |||
Net increase (decrease) | 1,875,000 | 1,550,000 | 1,775,000 | 300,000 |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
59 | Annual Report |
Fidelity Real Estate Investment ETF | Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainability U.S. Equity ETF | Fidelity Women's Leadership ETF | ||||
Year ended July 31, 2021B | Year ended July 31, 2021B | Year ended July 31, 2021C | Year ended July 31, 2021C | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 84,268 | $ 19,982 | $ (224) | $ 201 | |||
Net realized gain (loss) | 81,426 | (362,159) | 3,104 | (906) | |||
Change in net unrealized appreciation (depreciation) | 1,899,788 | 1,606,292 | 98,985 | 51,109 | |||
Net increase (decrease) in net assets resulting from operations | 2,065,482 | 1,264,115 | 101,865 | 50,404 | |||
Distributions to shareholders | (92,000) | (23,950) | — | — | |||
Share transactions | |||||||
Proceeds from sales of shares | 15,359,907 | 23,317,517 | 3,018,299 | 2,000,200 | |||
Cost of shares redeemed | (597,982) | — | — | — | |||
Net increase (decrease) in net assets resulting from share transactions | 14,761,925 | 23,317,517 | 3,018,299 | 2,000,200 | |||
Total increase (decrease) in net assets | 16,735,407 | 24,557,682 | 3,120,164 | 2,050,604 | |||
Net Assets | |||||||
Beginning of year | — | — | — | — | |||
End of year | $16,735,407 | $24,557,682 | $3,120,164 | $2,050,604 | |||
Other Information | |||||||
Shares | |||||||
Sold | 700,000 | 1,075,000 | 150,000 | 100,000 | |||
Redeemed | (25,000) | — | — | — | |||
Net increase (decrease) | 675,000 | 1,075,000 | 150,000 | 100,000 |
B | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
C | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
Annual Report | 60 |
Fidelity Blue Chip Growth ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 22.74 | $ 20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B | (0.08) | (0.01) | |
Net realized and unrealized gain (loss) | 10.11 | 2.75 | |
Total from investment operations | 10.03 | 2.74 | |
Distributions from net investment income | (0.00) C | — | |
Total distributions | (0.00) C | — | |
Net asset value, end of period | $ 32.77 | $ 22.74 | |
Total ReturnD,E,F | 44.14% | 13.68% | |
Ratios to Average Net AssetsG | �� | ||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .59% H | |
Net investment income (loss) | (.27)% | (.34)% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $407,189 | $41,494 | |
Portfolio turnover rateI,J | 63% | 11% K |
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 | Amount represents less than $0.005 per share. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
61 | Annual Report |
Fidelity Blue Chip Value ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 20.23 | $20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B | 0.32 | 0.03 | |
Net realized and unrealized gain (loss) | 8.32 | 0.21 C | |
Total from investment operations | 8.64 | 0.24 | |
Distributions from net investment income | (0.24) | (0.01) | |
Total distributions | (0.24) | (0.01) | |
Net asset value, end of period | $ 28.63 | $20.23 | |
Total ReturnD,E,F | 42.83% | 1.23% | |
Ratios to Average Net AssetsG | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .58% | .59% H | |
Net investment income (loss) | 1.22% | 1.02% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $94,465 | $8,093 | |
Portfolio turnover rateI,J | 97% | 20% K |
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 | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
Annual Report | 62 |
Fidelity Growth Opportunities ETF | |
Year ended July 31, 2021A | |
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) | 1.19 |
Total from investment operations | 1.16 |
Net asset value, end of period | $ 21.16 |
Total ReturnC,D,E | 5.82% |
Ratios to Average Net AssetsF,G | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | (.33)% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $39,679 |
Portfolio turnover rateH,I,J | 49% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
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 | Annualized. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
63 | Annual Report |
Fidelity Magellan ETF | |
Year ended July 31, 2021A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 20.00 |
Income from Investment Operations | |
Net investment income (loss)B | — C |
Net realized and unrealized gain (loss) | 3.13 |
Total from investment operations | 3.13 |
Distributions from net investment income | (0.01) |
Total distributions | (0.01) |
Net asset value, end of period | $ 23.12 |
Total ReturnD,E,F | 15.65% |
Ratios to Average Net AssetsG,H | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | .01% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $35,842 |
Portfolio turnover rateI,J,K | 41% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Amount represents less than $0.005 per share. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Annualized. |
H | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Amount not annualized. |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 64 |
Fidelity New Millennium ETF | |||
Year ended July 31, 2021 | Year ended July 31, 2020A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 20.37 | $20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B | 0.36 | 0.03 | |
Net realized and unrealized gain (loss) | 8.75 | 0.36 | |
Total from investment operations | 9.11 | 0.39 | |
Distributions from net investment income | (0.37) | (0.02) | |
Total distributions | (0.37) | (0.02) | |
Net asset value, end of period | $ 29.11 | $20.37 | |
Total ReturnC,D,E | 45.03% | 1.95% | |
Ratios to Average Net AssetsF | |||
Expenses before reductions | .59% | .59% G | |
Expenses net of fee waivers, if any | .59% | .59% G | |
Expenses net of all reductions | .58% | .59% G | |
Net investment income (loss) | 1.33% | 1.00% G | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $60,407 | $6,112 | |
Portfolio turnover rateH,I | 68% | 10% J |
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 | Based on net asset value. |
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 class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
G | Annualized. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
J | Amount not annualized. |
65 | Annual Report |
Fidelity Real Estate Investment ETF | |
Year ended July 31, 2021A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 20.00 |
Income from Investment Operations | |
Net investment income (loss)B | 0.21 |
Net realized and unrealized gain (loss) | 4.79 |
Total from investment operations | 5.00 |
Distributions from net investment income | (0.21) |
Total distributions | (0.21) |
Net asset value, end of period | $ 24.79 |
Total ReturnC,D,E | 25.17% |
Ratios to Average Net AssetsF,G | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .58% |
Net investment income (loss) | 1.80% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $16,735 |
Portfolio turnover rateH,I,J | 23% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
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 | Annualized. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 66 |
Fidelity Small-Mid Cap Opportunities ETF | |
Year ended July 31, 2021A | |
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) | 2.84 |
Total from investment operations | 2.87 |
Distributions from net investment income | (0.03) |
Total distributions | (0.03) |
Net asset value, end of period | $ 22.84 |
Total ReturnC,D,E | 14.36% |
Ratios to Average Net AssetsF,G | |
Expenses before reductions | .64% |
Expenses net of fee waivers, if any | .64% |
Expenses net of all reductions | .63% |
Net investment income (loss) | .22% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $24,558 |
Portfolio turnover rateH,I,J | 37% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
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 | Annualized. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
67 | Annual Report |
Fidelity Sustainability U.S. Equity ETF | |
Year ended July 31, 2021A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $20.00 |
Income from Investment Operations | |
Net investment income (loss)B | (—) C |
Net realized and unrealized gain (loss) | 0.80 |
Total from investment operations | 0.80 |
Net asset value, end of period | $20.80 |
Total ReturnD,E | 3.99% |
Ratios to Average Net AssetsF,G | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | (.07)% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $3,120 |
Portfolio turnover rateH,I,J | 23% |
A | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Amount represents less than $0.005 per share. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Annualized. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Amount not annualized. |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 68 |
Fidelity Women's Leadership ETF | |
Year ended July 31, 2021A | |
Selected Per-Share Data | |
Net asset value, beginning of period | $20.00 |
Income from Investment Operations | |
Net investment income (loss)B | — C |
Net realized and unrealized gain (loss) | 0.51 |
Total from investment operations | 0.51 |
Net asset value, end of period | $20.51 |
Total ReturnD,E | 2.53% |
Ratios to Average Net AssetsF,G | |
Expenses before reductions | .59% |
Expenses net of fee waivers, if any | .59% |
Expenses net of all reductions | .59% |
Net investment income (loss) | .08% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $2,051 |
Portfolio turnover rateH,I | 5% |
A | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
B | Calculated based on average shares outstanding during the period. |
C | Amount represents less than $0.005 per share. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Annualized. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Amount not annualized. |
69 | Annual Report |
For the year ended July 31, 2021
Annual Report | 70 |
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Blue Chip Growth ETF | $ 345,677,558 | $ 65,958,403 | $ (4,132,920) | $ 61,825,483 |
Fidelity Blue Chip Value ETF | 83,879,834 | 10,682,705 | (142,296) | 10,540,409 |
Fidelity Growth Opportunities ETF | 37,445,925 | 3,190,653 | (961,082) | 2,229,571 |
Fidelity Magellan ETF | 32,147,395 | 3,737,076 | (49,631) | 3,687,445 |
Fidelity New Millennium ETF | 53,221,172 | 7,425,570 | (256,364) | 7,169,206 |
Fidelity Real Estate Investment ETF | 14,875,547 | 1,885,003 | (24,283) | 1,860,720 |
Fidelity Small-Mid Cap Opportunities ETF | 22,996,593 | 2,094,329 | (528,418) | 1,565,911 |
71 | Annual Report |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Sustainability U.S. Equity ETF | $ 3,000,224 | $ 115,552 | $ (22,107) | $ 93,445 |
Fidelity Women’s Leadership ETF | 2,001,839 | 91,267 | (40,598) | 50,669 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Blue Chip Growth ETF | $ — | $ — | $ (2,264,599) | $ 61,825,483 |
Fidelity Blue Chip Value ETF | 1,079,290 | — | — | 10,540,409 |
Fidelity Growth Opportunities ETF | — | — | (751,103) | 2,229,562 |
Fidelity Magellan ETF | — | — | (104,621) | 3,687,445 |
Fidelity New Millennium ETF | 287,757 | — | — | 7,169,206 |
Fidelity Real Estate Investment ETF | 3,095 | — | — | 1,860,720 |
Fidelity Small-Mid Cap Opportunities ETF | — | — | (321,778) | 1,565,911 |
Fidelity Sustainability U.S. Equity ETF | 8,420 | — | — | 93,445 |
Fidelity Women’s Leadership ETF | 201 | — | (466) | 50,669 |
No-expiration Short-term | No-expiration Long-term | Total capital loss carryforward | |
Fidelity Blue Chip Growth ETF | $ (2,264,599) | $ — | $ (2,264,599) |
Fidelity Blue Chip Value ETF | — | — | — |
Fidelity Growth Opportunities ETF | (751,103) | — | (751,103) |
Fidelity Magellan ETF | (104,621) | — | (104,621) |
Fidelity New Millennium ETF | — | — | — |
Fidelity Real Estate Investment ETF | — | — | — |
Fidelity Small-Mid Cap Opportunities ETF | (321,778) | — | (321,778) |
Fidelity Sustainability U.S. Equity ETF | — | — | — |
Fidelity Women’s Leadership ETF | (466) | — | (466) |
Ordinary Losses | |
Fidelity Blue Chip Growth ETF | $ (494,447) |
July 31, 2021 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Blue Chip Growth ETF | $ 12,550 | $ — | $ — | $ 12,550 |
Fidelity Blue Chip Value ETF | 554,000 | — | — | 554,000 |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETFA | 4,875 | — | — | 4,875 |
Fidelity New Millennium ETF | 485,050 | — | — | 485,050 |
Fidelity Real Estate Investment ETFA | 92,000 | — | — | 92,000 |
Fidelity Small-Mid Cap Opportunities ETFA | 23,950 | — | — | 23,950 |
Fidelity Sustainability U.S. Equity ETF | — | — | — | — |
Fidelity Women’s Leadership ETF | — | — | — | — |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
Annual Report | 72 |
July 31, 2020A | ||||
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. |
73 | Annual Report |
Purchases ($) | Sales ($) | |
Fidelity Blue Chip Growth ETF | 279,332,433 | 138,719,272 |
Fidelity Blue Chip Value ETF | 71,408,006 | 48,709,374 |
Fidelity Growth Opportunities ETF | 22,711,524 | 12,795,437 |
Fidelity Magellan ETF | 16,001,825 | 10,238,930 |
Fidelity New Millennium ETF | 37,524,826 | 21,724,026 |
Fidelity Real Estate Investment ETF | 5,849,217 | 2,452,530 |
Fidelity Small-Mid Cap Opportunities ETF | 15,689,984 | 7,316,140 |
Fidelity Sustainability U.S. Equity ETF | 2,728,252 | 579,115 |
Fidelity Women’s Leadership ETF | 2,059,373 | 90,794 |
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity Blue Chip Growth ETF | 178,948,594 | 19,269,490 |
Fidelity Blue Chip Value ETF | 58,544,542 | 11,123,712 |
Fidelity Growth Opportunities ETF | 28,932,751 | 815,997 |
Fidelity Magellan ETF | 26,954,132 | 1,207,615 |
Fidelity New Millennium ETF | 32,433,256 | 3,918,326 |
Fidelity Real Estate Investment ETF | 11,837,212 | 515,704 |
Fidelity Small-Mid Cap Opportunities ETF | 14,724,251 | — |
Fidelity Sustainability U.S. Equity ETF | 823,717 | — |
Fidelity Women’s Leadership ETF | — | — |
Amount | |
Fidelity Blue Chip Growth ETF | $ 2,166 |
Fidelity Blue Chip Value ETF | 791 |
Fidelity Growth Opportunities ETF | 255 |
Fidelity Magellan ETF | 102 |
Fidelity New Millennium ETF | 909 |
Fidelity Real Estate Investment ETF | 87 |
Fidelity Small-Mid Cap Opportunities ETF | 217 |
Fidelity Sustainability U.S. Equity ETF | 16 |
Fidelity Women’s Leadership ETF | 11 |
Annual Report | 74 |
Brokerage service rebates | Custodian credits | |
Fidelity Blue Chip Growth ETF | $ 6,984 | $ 1 |
Fidelity Blue Chip Value ETF | 2,480 | — |
Fidelity Growth Opportunities ETF | 281 | — |
Fidelity Magellan ETF | 148 | — |
Fidelity New Millennium ETF | 1,266 | — |
Fidelity Real Estate Investment ETF | 206 | — |
Fidelity Small-Mid Cap Opportunities ETF | 479 | — |
Fidelity Sustainability U.S. Equity ETF | — | — |
Fidelity Women’s Leadership ETF | — | — |
75 | Annual Report |
Annual Report | 76 |
77 | Annual Report |
Annual Report | 78 |
79 | Annual Report |
Annual Report | 80 |
81 | Annual Report |
Annual Report | 82 |
83 | Annual Report |
Annual Report | 84 |
Annualized Expense RatioA | Beginning Account Value | Ending Account Value July 31, 2021 | Expenses Paid During Period | |
Fidelity Blue Chip Growth ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,136.00 | $ 3.12B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity Blue Chip Value ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,197.90 | $ 3.22B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity Growth Opportunities ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,058.20 | $ 2.99B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity Magellan ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,156.50 | $ 3.14B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity New Millennium ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,213.30 | $ 3.24B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity Real Estate Investment ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,251.70 | $ 3.28B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D |
85 | Annual Report |
Annualized Expense RatioA | Beginning Account Value | Ending Account Value July 31, 2021 | Expenses Paid During Period | |
Fidelity Small-Mid Cap Opportunities ETF | 0.64% | |||
Actual | $ 1,000.00 | $ 1,143.60 | $ 3.38B | |
Hypothetical C | $ 1,000.00 | $ 1,021.62 | $ 3.21D | |
Fidelity Sustainability U.S. Equity ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,039.90 | $ 0.77B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D | |
Fidelity Women’S Leadership ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,025.30 | $ 0.77B | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96D |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Actual expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period) for Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF and Fidelity New Millennium ETF and multiplied by 180/365 (to reflect the period February 2, 2021 to July 31, 2021) for Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate Investment ETF and Fidelity Small-Mid Cap Opportunities ETF and multiplied by 47/365 (to reflect the period June 15, 2021 to July 31, 2021) for Fidelity Sustainability U.S. Equity ETF and Fidelity Women’s Leadership ETF. |
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 181/365 (to reflect the one-half year period). |
Annual Report | 86 |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity Blue Chip Growth ETF | — | 100% | — | — |
Fidelity Blue Chip Value ETF | 100% | 100% | 100% | 100% |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETF | — | — | 100% | 100% |
Fidelity New Millennium ETF | 54% | 54% | 100% | 100% |
Fidelity Real Estate Investment ETF | — | — | — | — |
Fidelity Small-Mid Cap Opportunities ETF | — | — | 100% | 100% |
Fidelity Sustainability U.S. Equity ETF | — | — | — | — |
Fidelity Women's Leadership ETF | — | — | — | — |
September 2020 | December 2020 | March 2021 | June 2021 | |
Fidelity Blue Chip Growth ETF | — | 100% | — | — |
Fidelity Blue Chip Value ETF | 100% | 100% | 100% | 100% |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETF | — | — | 100% | 100% |
Fidelity New Millennium ETF | 59% | 59% | 100% | 100% |
Fidelity Real Estate Investment ETF | — | — | — | — |
Fidelity Small-Mid Cap Opportunities ETF | — | — | 100% | 100% |
Fidelity Sustainability U.S. Equity ETF | — | — | — | — |
Fidelity Women's Leadership ETF | — | — | — | — |
March 2020 | June 2020 | September 2020 | December 2020 | |
Fidelity New Millennium ETF | — | — | 4% | 4% |
87 | Annual Report |
Annual Report | 88 |
89 | Annual Report |
Annual Report | 90 |
91 | Annual Report |
Annual Report | 92 |
93 | Annual Report |
Annual Report | 94 |
95 | Annual Report |
Item 2. | Code of Ethics |
As of the end of the period, July 31, 2021, Fidelity Covington Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert |
The Board of Trustees of the trust has determined that Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue is independent for purposes of Item 3 of Form N-CSR.
Item 4. | Principal Accountant Fees and Services |
Fees and Services
The following table presents fees billed by 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 Growth Opportunities ETF, Fidelity Magellan ETF, 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, Fidelity Real Estate Investment ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Stocks for Inflation ETF, Fidelity Sustainability U.S. Equity ETF, and Fidelity Women’s Leadership ETF (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2021 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Growth Opportunities ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Magellan ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity MSCI Communication Services Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 |
Fidelity MSCI Consumer Staples Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Materials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity Real Estate Investment ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Small-Mid Cap Opportunities ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Stocks for Inflation ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity Sustainability U.S. Equity ETF | $ | 8,300 | $ | — | $ | 3,400 | $ | 100 | ||||||||
Fidelity Women’s Leadership ETF | $ | 8,300 | $ | — | $ | 3,400 | $ | 100 |
July 31, 2020 FeesA,B,C
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Growth Opportunities ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Magellan ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
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 Real Estate Investment ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Small-Mid Cap Opportunities ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Stocks for Inflation ETF | $ | 11,200 | $ | — | $ | 3,500 | $ | 200 | ||||||||
Fidelity Sustainability U.S. Equity ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Women’s Leadership ETF | $ | — | $ | — | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate Investment ETF, and Fidelity Small-Mid Cap Opportunities ETF commenced operations on February 2, 2021 and Fidelity Sustainability U.S. Equity ETF and Fidelity Women’s Leadership ETF commenced operations on June 15, 2021. |
C | 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 Multifactor ETF, Fidelity U.S. Multifactor ETF, and Fidelity Value Factor ETF (the “Funds”):
Services Billed by PwC
July 31, 2021 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Blue Chip Growth ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Blue Chip Value ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Dividend ETF for Rising Rates | $ | 11,400 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity High Dividend ETF | $ | 11,400 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Low Volatility Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity Momentum Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity New Millennium ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Quality Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity Small-Mid Multifactor ETF | $ | 13,800 | $ | — | $ | 4,800 | $ | 500 | ||||||||
Fidelity U.S. Multifactor ETF | $ | 12,900 | $ | — | $ | 4,500 | $ | 400 | ||||||||
Fidelity Value Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 |
July 31, 2020 FeesA,B,C
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 Multifactor ETF | $ | 14,500 | $ | — | $ | 4,800 | $ | 600 | ||||||||
Fidelity U.S. Multifactor ETF | $ | — | $ | — | $ | — | $ | — | ||||||||
Fidelity Value Factor ETF | $ | 11,800 | $ | — | $ | 4,300 | $ | 500 |
A | Amounts may reflect rounding. |
B | Fidelity U.S. Multifactor ETF commenced operations on September 15, 2020. |
C | Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF and Fidelity New Millennium ETF commenced operations on June 2, 2020. |
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, 2021A,B | July 31, 2020A,B,C | |||||||
Audit-Related Fees | $ | — | $ | — | ||||
Tax Fees | $ | — | $ | 3,000 | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Sustainability U.S. Equity ETF, and Fidelity Women’s Leadership ETFs’ commencement of operations. |
C | May include amounts billed prior to the Fidelity Stocks for Inflation ETF’s commencement of operations. |
Services Billed by PwC
July 31, 2021A,B | July 31, 2020A,B,C | |||||||
Audit-Related Fees | $ | 8,959,700 | $ | 8,940,200 | ||||
Tax Fees | $ | 11,200 | $ | 20,800 | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity U.S. Multifactor ETF’s commencement of operations. |
C | May include amounts billed prior to the Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF, Fidelity New Millennium ETFs’ 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, 2021A,B | July 31, 2020A,B,C | ||||||
Deloitte Entities | $ | 586,600 | $ | 550,100 | ||||
PwC | $ | 14,327,600 | $ | 14,290,300 |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Sustainability U.S. Equity ETF, Fidelity U.S. Multifactor ETF, and Fidelity Women’s Leadership ETFs’ commencement of operations. |
C | 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 ETFs’ 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”)
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, 2021, the members of the Audit Committee were Donald Donahue, Thomas Bostick, Thomas Kennedy, 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.
(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 |
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, 2021 |
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, 2021 |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | September 21, 2021 |