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, MA 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: January 31, 2022
Item 1. Reports to Stockholders
Note to Shareholders | 3 | |
Investment Summary | 4 | |
Schedule of Investments | 15 | |
Financial Statements | 64 | |
Notes to Financial Statements | 87 | |
Shareholder Expense Example | 92 |
Semi-Annual Report | 2 |
3 | Semi-Annual Report |
% of fund's net assets | |
Facebook, Inc. Class A | 17.4 |
Alphabet, Inc. Class A | 11.6 |
Alphabet, Inc. Class C | 10.9 |
The Walt Disney Co. | 5.7 |
Verizon Communications, Inc. | 4.9 |
AT&T, Inc. | 4.8 |
Comcast Corp. Class A | 4.7 |
Netflix, Inc. | 3.1 |
Charter Communications, Inc. Class A | 2.2 |
T-Mobile US, Inc. | 2.0 |
67.3 |
Semi-Annual Report | 4 |
% of fund's net assets | |
Amazon.com, Inc. | 21.0 |
Tesla, Inc. | 13.5 |
The Home Depot, Inc. | 7.0 |
McDonald's Corp. | 3.5 |
NIKE, Inc. Class B | 3.4 |
Lowe's Cos., Inc. | 3.0 |
Starbucks Corp. | 2.1 |
Target Corp. | 2.0 |
Booking Holdings, Inc. | 1.9 |
The TJX Cos., Inc. | 1.6 |
59.0 |
5 | Semi-Annual Report |
% of fund's net assets | |
The Procter & Gamble Co. | 13.9 |
The Coca-Cola Co. | 8.4 |
PepsiCo, Inc. | 8.1 |
Costco Wholesale Corp. | 7.5 |
Walmart, Inc. | 7.2 |
Philip Morris International, Inc. | 4.8 |
Mondelez International, Inc. Class A | 3.8 |
Altria Group, Inc. | 3.7 |
The Estee Lauder Cos., Inc. Class A | 2.9 |
Colgate-Palmolive Co. | 2.7 |
63.0 |
Semi-Annual Report | 6 |
% of fund's net assets | |
Exxon Mobil Corp. | 21.3 |
Chevron Corp. | 16.8 |
ConocoPhillips | 7.9 |
EOG Resources, Inc. | 4.3 |
Schlumberger N.V. | 3.6 |
Pioneer Natural Resources Co. | 3.4 |
Marathon Petroleum Corp. | 3.0 |
Phillips 66 | 2.5 |
The Williams Cos., Inc. | 2.4 |
Kinder Morgan, Inc. | 2.4 |
67.6 |
7 | Semi-Annual Report |
% of fund's net assets | |
JPMorgan Chase & Co. | 8.4 |
Berkshire Hathaway, Inc. Class B | 7.8 |
Bank of America Corp. | 6.6 |
Wells Fargo & Co. | 4.1 |
Morgan Stanley | 2.6 |
Citigroup, Inc. | 2.5 |
The Charles Schwab Corp. | 2.4 |
BlackRock, Inc. | 2.3 |
American Express Co. | 2.3 |
Goldman Sachs Group, Inc. | 2.3 |
41.3 |
Semi-Annual Report | 8 |
% of fund's net assets | |
Johnson & Johnson | 7.8 |
UnitedHealth Group, Inc. | 7.6 |
Pfizer, Inc. | 5.1 |
AbbVie, Inc. | 4.1 |
Thermo Fisher Scientific, Inc. | 3.9 |
Abbott Laboratories | 3.9 |
Merck & Co., Inc. | 3.5 |
Eli Lilly & Co. | 3.4 |
Danaher Corp. | 3.1 |
Bristol-Myers Squibb Co. | 2.5 |
44.9 |
9 | Semi-Annual Report |
% of fund's net assets | |
Union Pacific Corp. | 4.1 |
United Parcel Service, Inc. Class B | 3.8 |
Honeywell International, Inc. | 3.6 |
Raytheon Technologies Corp. | 3.5 |
The Boeing Co. | 2.8 |
Deere & Co. | 2.8 |
Caterpillar, Inc. | 2.8 |
General Electric Co. | 2.6 |
Lockheed Martin Corp. | 2.5 |
3M Co. | 2.4 |
30.9 |
Semi-Annual Report | 10 |
% of fund's net assets | |
Apple, Inc. | 23.0 |
Microsoft Corp. | 17.6 |
NVIDIA Corp. | 4.9 |
Visa, Inc. Class A | 3.0 |
Mastercard, Inc. Class A | 2.7 |
Adobe, Inc. | 2.0 |
Broadcom, Inc. | 1.9 |
Cisco Systems, Inc. | 1.9 |
Salesforce.com, Inc. | 1.8 |
Accenture PLC Class A | 1.8 |
60.6 |
11 | Semi-Annual Report |
% of fund's net assets | |
Linde PLC | 13.1 |
The Sherwin-Williams Co. | 5.7 |
Air Products & Chemicals, Inc. | 5.0 |
Freeport-McMoRan, Inc. | 4.4 |
Newmont Corp. | 3.9 |
Ecolab, Inc. | 3.9 |
Dow, Inc. | 3.5 |
DuPont de Nemours, Inc. | 3.2 |
PPG Industries, Inc. | 3.0 |
Corteva, Inc. | 2.8 |
48.5 |
Semi-Annual Report | 12 |
% of fund's net assets | |
Prologis, Inc. | 7.3 |
American Tower Corp. | 7.3 |
Crown Castle International Corp. | 5.0 |
Equinix, Inc. | 4.1 |
Public Storage | 3.6 |
Simon Property Group, Inc. | 3.1 |
Digital Realty Trust, Inc. | 2.7 |
Realty Income Corp. | 2.4 |
Welltower, Inc. | 2.3 |
SBA Communications Corp. | 2.3 |
40.1 |
13 | Semi-Annual Report |
% of fund's net assets | |
NextEra Energy, Inc. | 13.6 |
Duke Energy Corp. | 7.2 |
The Southern Co. | 6.5 |
Dominion Energy, Inc. | 5.8 |
Exelon Corp. | 5.0 |
American Electric Power Co., Inc. | 4.0 |
Sempra Energy | 3.9 |
Xcel Energy, Inc. | 3.3 |
Public Service Enterprise Group, Inc. | 3.0 |
Eversource Energy | 2.7 |
55.0 |
Semi-Annual Report | 14 |
Common Stocks – 99.9% | |||
Shares | Value | ||
DIVERSIFIED TELECOMMUNICATION SERVICES – 13.3% | |||
Alternative Carriers – 3.0% | |||
Anterix, Inc. (a) | 9,806 | $ 502,656 | |
Bandwidth, Inc. Class A (a) | 16,748 | 1,048,592 | |
Cogent Communications Holdings, Inc. | 33,437 | 2,126,928 | |
EchoStar Corp. Class A (a) | 31,847 | 754,455 | |
Globalstar, Inc. (a) | 540,114 | 577,922 | |
Iridium Communications, Inc. (a) | 91,492 | 3,282,733 | |
Liberty Global PLC Class A (a) | 122,448 | 3,320,790 | |
Liberty Global PLC Class C (a) | 171,869 | 4,647,338 | |
Liberty Latin America Ltd. Class A (a) | 41,796 | 457,248 | |
Liberty Latin America Ltd. Class C (a) | 123,401 | 1,333,965 | |
Lumen Technologies, Inc. | 431,012 | 5,327,308 | |
23,379,935 | |||
Integrated Telecommunication Services – 10.3% | |||
AT&T, Inc. | 1,480,506 | 37,752,903 | |
ATN International, Inc. | 10,099 | 400,728 | |
Consolidated Communications Holdings, Inc. (a) | 62,189 | 447,139 | |
Frontier Communications Parent, Inc. (a) | 122,051 | 3,253,879 | |
IDT Corp. Class B (a) | 16,539 | 620,709 | |
Radius Global Infrastructure, Inc. (a) | 49,346 | 679,001 | |
Verizon Communications, Inc. | 721,174 | 38,388,092 | |
81,542,451 | |||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 104,922,386 | ||
ENTERTAINMENT – 17.5% | |||
Interactive Home Entertainment – 4.8% | |||
Activision Blizzard, Inc. | 193,645 | 15,299,891 | |
Electronic Arts, Inc. | 76,770 | 10,184,308 | |
Skillz, Inc. (a) | 64,092 | 308,282 | |
Take-Two Interactive Software, Inc. (a) | 39,231 | 6,407,992 | |
Zynga, Inc. Class A (a) | 609,624 | 5,529,290 | |
37,729,763 | |||
Movies & Entertainment – 12.7% | |||
AMC Entertainment Holdings, Inc. Class A (a) | 167,886 | 2,696,249 | |
Cinemark Holdings, Inc. (a) | 74,918 | 1,131,262 | |
CuriosityStream, Inc. (a) | 12,836 | 56,863 | |
IMAX Corp. (a) | 37,290 | 643,253 | |
Liberty Media Corp-Liberty Braves Class A (a) | 7,660 | 214,863 | |
Liberty Media Corp-Liberty Braves Class C (a) | 31,037 | 837,999 | |
Liberty Media Corp-Liberty Formula One Class C (a) | 90,714 | 5,463,704 |
| |||
Shares | Value | ||
Lions Gate Entertainment Corp. Class A (a) | 43,711 | $ 685,388 | |
Lions Gate Entertainment Corp. Class B (a) | 90,616 | 1,321,181 | |
Live Nation Entertainment, Inc. (a) | 59,672 | 6,534,681 | |
Madison Square Garden Entertainment Corp. (a) | 18,183 | 1,287,902 | |
Madison Square Garden Sports Corp. Class A (a) | 11,496 | 1,909,141 | |
Netflix, Inc. (a) | 57,741 | 24,663,491 | |
Roku, Inc. (a) | 33,817 | 5,547,679 | |
The Marcus Corp. (a) | 15,124 | 254,839 | |
The Walt Disney Co. (a) | 317,444 | 45,384,969 | |
World Wrestling Entertainment, Inc. Class A | 35,202 | 1,757,988 | |
100,391,452 | |||
TOTAL ENTERTAINMENT | 138,121,215 | ||
INTERACTIVE MEDIA & SERVICES – 46.8% | |||
Interactive Media & Services – 46.8% | |||
Alphabet, Inc. Class A (a) | 33,872 | 91,660,003 | |
Alphabet, Inc. Class C (a) | 31,566 | 85,669,177 | |
Angi, Inc. (a) | 51,458 | 441,510 | |
Bumble, Inc. Class A (a) | 52,976 | 1,563,322 | |
Cargurus, Inc. (a) | 60,779 | 1,938,850 | |
Cars.com, Inc. (a) | 52,160 | 812,653 | |
Eventbrite, Inc. Class A (a) | 52,325 | 749,817 | |
EverQuote, Inc. Class A (a) | 12,466 | 205,190 | |
Facebook, Inc. Class A (a) | 436,961 | 136,882,403 | |
fuboTV, Inc. (a) | 32,603 | 350,156 | |
IAC/InterActive Corp. (a) | 37,367 | 5,102,090 | |
j2 Global, Inc. (a) | 32,872 | 3,453,532 | |
Match Group, Inc. (a) | 69,971 | 7,885,732 | |
MediaAlpha, Inc. Class A (a) | 9,897 | 146,971 | |
Pinterest, Inc. Class A (a) | 169,915 | 5,022,688 | |
QuinStreet, Inc. (a) | 37,812 | 608,395 | |
Snap, Inc. Class A (a) | 252,613 | 8,220,027 | |
TripAdvisor, Inc. (a) | 75,068 | 2,038,096 | |
TrueCar, Inc. (a) | 67,219 | 231,233 | |
Twitter, Inc. (a) | 209,136 | 7,844,692 | |
Vimeo, Inc. (a) | 109,031 | 1,597,304 | |
Yelp, Inc. (a) | 56,104 | 1,937,832 | |
ZipRecruiter, Inc. (a) | 16,558 | 359,143 | |
ZoomInfo Technologies, Inc. Class A (a) | 78,942 | 4,172,874 | |
TOTAL INTERACTIVE MEDIA & SERVICES | 368,893,690 | ||
MEDIA – 19.9% | |||
Advertising – 2.5% | |||
Advantage Solutions, Inc. (a) | 46,476 | 338,345 | |
Boston Omaha Corp. Class A (a) | 12,281 | 324,096 |
15 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MEDIA – continued | |||
Advertising – continued | |||
Cardlytics, Inc. (a) | 24,199 | $ 1,623,753 | |
Clear Channel Outdoor Holdings, Inc. (a) | 238,020 | 728,341 | |
Loyalty Ventures, Inc. (a) | 14,449 | 423,500 | |
Magnite, Inc. (a) | 90,804 | 1,232,210 | |
Omnicom Group, Inc. | 85,963 | 6,478,172 | |
PubMatic, Inc. (a) | 5,112 | 125,500 | |
Stagwell, Inc. (a) | 44,382 | 331,534 | |
TechTarget, Inc. (a) | 18,993 | 1,575,279 | |
The Interpublic Group of Cos., Inc. | 160,671 | 5,710,247 | |
Thryv Holdings, Inc. (a) | 13,517 | 438,356 | |
19,329,333 | |||
Broadcasting – 4.9% | |||
AMC Networks, Inc. Class A (a) | 20,631 | 879,500 | |
Discovery, Inc. Class A (a) | 126,552 | 3,532,066 | |
Discovery, Inc. Class C (a) | 181,859 | 4,973,844 | |
Entercom Communications Corp. (a) | 81,780 | 197,908 | |
Fox Corp. Class A | 136,186 | 5,530,513 | |
Fox Corp. Class B | 108,595 | 4,037,562 | |
Gray Television, Inc. | 61,007 | 1,271,996 | |
Hemisphere Media Group, Inc. (a) | 12,622 | 81,917 | |
iHeartMedia, Inc. Class A (a) | 88,083 | 1,774,872 | |
Nexstar Media Group, Inc. Class A | 26,684 | 4,413,000 | |
Sinclair Broadcast Group, Inc. Class A | 37,235 | 1,023,218 | |
TEGNA, Inc. | 161,893 | 3,134,248 | |
The E.W. Scripps Co. Class A | 40,121 | 822,481 | |
ViacomCBS, Inc. Class B | 197,829 | 6,617,380 | |
38,290,505 | |||
Cable & Satellite – 11.1% | |||
Altice USA, Inc. Class A (a) | 168,423 | 2,428,660 | |
Cable One, Inc. | 2,805 | 4,332,968 | |
Charter Communications, Inc. Class A (a) | 29,584 | 17,553,370 | |
Comcast Corp. Class A | 745,195 | 37,252,298 | |
DISH Network Corp. Class A (a) | 130,987 | 4,112,992 | |
Liberty Broadband Corp. Class A (a) | 19,466 | 2,848,849 | |
Liberty Broadband Corp. Class C (a) | 47,258 | 7,013,560 | |
Liberty Media Corp-Liberty SiriusXM Class A (a) | 63,937 | 2,957,086 | |
Liberty Media Corp-Liberty SiriusXM Class C (a) | 92,423 | 4,300,442 |
| |||
Shares | Value | ||
Sirius XM Holdings, Inc. | 668,388 | $ 4,250,948 | |
WideOpenWest, Inc. (a) | 39,337 | 732,061 | |
87,783,234 | |||
Publishing – 1.4% | |||
Gannett Co., Inc. (a) | 94,735 | 460,412 | |
John Wiley & Sons, Inc. Class A | 34,652 | 1,758,589 | |
News Corp. Class A | 206,335 | 4,588,891 | |
Scholastic Corp. | 20,818 | 853,954 | |
The New York Times Co. Class A | 92,874 | 3,717,746 | |
11,379,592 | |||
TOTAL MEDIA | 156,782,664 | ||
WIRELESS TELECOMMUNICATION SERVICES – 2.4% | |||
Wireless Telecommunication Services – 2.4% | |||
Gogo, Inc. (a) | 37,448 | 466,228 | |
Shenandoah Telecommunications Co. | 39,168 | 891,855 | |
Telephone & Data Systems, Inc. | 76,722 | 1,519,096 | |
T-Mobile US, Inc. (a) | 143,862 | 15,561,552 | |
United States Cellular Corp. (a) | 12,600 | 385,812 | |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 18,824,543 | ||
TOTAL COMMON STOCKS (Cost $693,898,585) | 787,544,498 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,088,000) | 1,088,000 | 1,088,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $694,986,585) | 788,632,498 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 2,367 | ||
NET ASSETS – 100.0% | $ 788,634,865 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 16 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Communication Services Select Sector Index Contracts (United States) | 11 | March 2022 | $1,062,600 | $(35,355) | $(35,355) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 787,544,498 | $ 787,544,498 | $ — | $ — | |||||
Money Market Funds | 1,088,000 | 1,088,000 | — | — | |||||
Total Investments in Securities: | $ 788,632,498 | $ 788,632,498 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (35,355) | $ (35,355) | $ — | $ — | |||||
Total Liabilities | $ (35,355) | $ (35,355) | $ — | $ — | |||||
Total Derivative Instruments: | $ (35,355) | $ (35,355) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(35,355) | |
Total Equity Risk | 0 | (35,355) | |
Total Value of Derivatives | $0 | $(35,355) |
(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). |
17 | Semi-Annual Report |
Common Stocks – 99.9% | |||
Shares | Value | ||
AUTO COMPONENTS – 2.5% | |||
Auto Parts & Equipment – 2.4% | |||
Adient PLC (a) | 36,345 | $ 1,525,400 | |
American Axle & Manufacturing Holdings, Inc. (a) | 74,467 | 606,161 | |
Aptiv PLC (a) | 81,582 | 11,142,470 | |
Autoliv, Inc. | 28,916 | 2,863,841 | |
BorgWarner, Inc. | 81,492 | 3,573,424 | |
Dana, Inc. | 59,725 | 1,293,644 | |
Dorman Products, Inc. (a) | 12,159 | 1,138,447 | |
Fox Factory Holding Corp. (a) | 15,312 | 2,037,568 | |
Gentex Corp. | 84,057 | 2,639,390 | |
Gentherm, Inc. (a) | 15,316 | 1,338,465 | |
Holley, Inc. (a) | 3,963 | 46,922 | |
LCI Industries | 10,617 | 1,307,696 | |
Lear Corp. | 19,383 | 3,243,164 | |
Luminar Technologies, Inc. (a) | 6,844 | 100,196 | |
Modine Manufacturing Co. (a) | 4,847 | 44,350 | |
Patrick Industries, Inc. | 1,093 | 70,389 | |
Standard Motor Products, Inc. | 15,328 | 733,751 | |
Stoneridge, Inc. (a) | 20,990 | 396,081 | |
Tenneco, Inc. Class A (a) | 54,524 | 572,502 | |
Veoneer, Inc. (a) | 44,445 | 1,564,909 | |
Visteon Corp. (a) | 11,087 | 1,125,441 | |
XPEL, Inc. (a) | 1,798 | 112,123 | |
37,476,334 | |||
Tires & Rubber – 0.1% | |||
The Goodyear Tire & Rubber Co. (a) | 114,795 | 2,379,700 | |
TOTAL AUTO COMPONENTS | 39,856,034 | ||
AUTOMOBILES – 16.6% | |||
Automobile Manufacturers – 16.5% | |||
Canoo, Inc. (a) | 17,096 | 104,628 | |
Electric Last Mile Solutions, Inc. (a) | 12,023 | 62,640 | |
Faraday Future Intelligent Electric, Inc. (a) | 10,665 | 45,646 | |
Fisker, Inc. (a) | 6,284 | 74,214 | |
Ford Motor Co. | 1,155,709 | 23,460,893 | |
General Motors Co. (a) | 383,845 | 20,240,147 | |
Lucid Group, Inc. (a) | 1,116 | 32,799 | |
Rivian Automotive, Inc. (a) | 1,794 | 117,938 | |
Tesla, Inc. (a) | 226,932 | 212,571,743 | |
Thor Industries, Inc. | 19,765 | 1,869,571 | |
Winnebago Industries, Inc. | 15,166 | 978,510 | |
259,558,729 | |||
Motorcycle Manufacturers – 0.1% | |||
Harley-Davidson, Inc. | 55,244 | 1,909,785 | |
TOTAL AUTOMOBILES | 261,468,514 |
| |||
Shares | Value | ||
DISTRIBUTORS – 1.1% | |||
Distributors – 1.1% | |||
Funko, Inc. Class A (a) | 3,237 | $ 55,936 | |
Genuine Parts Co. | 46,300 | 6,168,549 | |
LKQ Corp. | 93,979 | 5,158,507 | |
Pool Corp. | 12,744 | 6,069,330 | |
17,452,322 | |||
Internet Retail – 0.0% | |||
ThredUp, Inc. (a) | 6,728 | 62,368 | |
TOTAL DISTRIBUTORS | 17,514,690 | ||
DIVERSIFIED CONSUMER SERVICES – 1.3% | |||
Education Services – 0.6% | |||
Adtalem Global Education, Inc. (a) | 25,671 | 755,241 | |
American Public Education, Inc. (a) | 18,531 | 396,378 | |
Bright Horizons Family Solutions, Inc. (a) | 20,193 | 2,592,983 | |
Coursera, Inc. (a) | 6,571 | 133,457 | |
Duolingo, Inc. (a) | 1,005 | 100,510 | |
Graham Holdings Co. Class B | 1,885 | 1,121,801 | |
Grand Canyon Education, Inc. (a) | 17,647 | 1,476,701 | |
Houghton Mifflin Harcourt Co. (a) | 5,897 | 106,205 | |
Laureate Education, Inc. Class A | 56,581 | 715,749 | |
Perdoceo Education Corp. (a) | 47,354 | 521,841 | |
PowerSchool Holdings, Inc. (a) | 4,734 | 77,543 | |
Strategic Education, Inc. | 10,242 | 611,038 | |
Stride, Inc. (a) | 26,469 | 928,268 | |
9,537,715 | |||
Specialized Consumer Services – 0.7% | |||
Carriage Services, Inc. | 16,381 | 824,292 | |
European Wax Center, Inc. (a) | 4,050 | 98,982 | |
Frontdoor, Inc. (a) | 32,318 | 1,173,143 | |
H&R Block, Inc. | 75,003 | 1,714,569 | |
Mister Car Wash, Inc. (a) | 7,598 | 130,686 | |
OneSpaWorld Holdings Ltd. (a) | 69,417 | 716,383 | |
Rover Group, Inc. (a) | 12,557 | 81,997 | |
Service Corp. International | 57,448 | 3,545,691 | |
Terminix Global Holdings, Inc. (a) | 47,090 | 2,031,463 | |
The Beachbody Co., Inc. (a) | 27,693 | 50,401 | |
WW International, Inc. (a) | 32,495 | 409,437 | |
10,777,044 | |||
TOTAL DIVERSIFIED CONSUMER SERVICES | 20,314,759 | ||
HOTELS, RESTAURANTS & LEISURE – 17.3% | |||
Casinos & Gaming – 2.0% | |||
Accel Entertainment, Inc. (a) | 51,436 | 648,608 | |
Bally's Corp. (a) | 18,921 | 676,237 | |
Boyd Gaming Corp. (a) | 31,724 | 1,886,309 | |
Caesars Entertainment, Inc. (a) | 59,480 | 4,528,807 | |
Churchill Downs, Inc. | 12,416 | 2,611,085 | |
Everi Holdings, Inc. (a) | 52,764 | 1,043,144 |
Semi-Annual Report | 18 |
Common Stocks – continued | |||
Shares | Value | ||
HOTELS, RESTAURANTS & LEISURE – continued | |||
Casinos & Gaming – continued | |||
Golden Entertainment, Inc. (a) | 1,358 | $ 61,083 | |
Golden Nugget Online Gaming, Inc. (a) | 11,932 | 95,933 | |
Las Vegas Sands Corp. (a) | 108,762 | 4,763,776 | |
MGM Resorts International | 128,282 | 5,480,207 | |
Monarch Casino & Resort, Inc. (a) | 10,436 | 645,988 | |
Penn National Gaming, Inc. (a) | 55,280 | 2,521,321 | |
Red Rock Resorts, Inc. Class A | 31,902 | 1,420,277 | |
Rush Street Interactive, Inc. (a) | 8,955 | 90,804 | |
Scientific Games Corp. Class A (a) | 25,610 | 1,477,697 | |
Wynn Resorts Ltd. (a) | 33,829 | 2,890,688 | |
30,841,964 | |||
Hotels, Resorts & Cruise Lines – 5.7% | |||
Airbnb, Inc. Class A (a) | 12,499 | 1,924,471 | |
Booking Holdings, Inc. (a) | 11,986 | 29,439,174 | |
Carnival Corp. (a) | 224,109 | 4,439,599 | |
Choice Hotels International, Inc. | 14,323 | 2,053,918 | |
Expedia Group, Inc. (a) | 42,954 | 7,873,039 | |
Hilton Grand Vacations, Inc. (a) | 34,311 | 1,676,436 | |
Hilton Worldwide Holdings, Inc. (a) | 84,979 | 12,331,303 | |
Hyatt Hotels Corp. Class A (a) | 1,323 | 121,200 | |
Lindblad Expeditions Holdings, Inc. (a) | 29,630 | 499,858 | |
Marriott International, Inc. Class A (a) | 84,064 | 13,544,392 | |
Marriott Vacations Worldwide Corp. | 14,720 | 2,390,234 | |
Membership Collective Group, Inc. (a) | 5,858 | 51,960 | |
Norwegian Cruise Line Holdings Ltd. (a) | 135,768 | 2,828,047 | |
Playa Hotels & Resorts N.V. (a) | 91,307 | 696,672 | |
Royal Caribbean Cruises Ltd. (a) | 71,720 | 5,580,533 | |
Travel + Leisure Co. | 32,837 | 1,865,142 | |
Wyndham Hotels & Resorts, Inc. | 33,745 | 2,832,893 | |
90,148,871 | |||
Leisure Facilities – 0.6% | |||
F45 Training Holdings, Inc. (a) | 5,095 | 63,739 | |
Planet Fitness, Inc. Class A (a) | 28,966 | 2,567,546 | |
SeaWorld Entertainment, Inc. (a) | 23,440 | 1,396,555 | |
Six Flags Entertainment Corp. (a) | 31,974 | 1,262,653 | |
Vail Resorts, Inc. | 13,231 | 3,666,310 | |
8,956,803 | |||
Restaurants – 9.0% | |||
Aramark | 78,273 | 2,683,981 | |
BJ's Restaurants, Inc. (a) | 14,809 | 445,603 | |
Bloomin' Brands, Inc. (a) | 37,585 | 764,103 | |
Brinker International, Inc. (a) | 21,072 | 699,801 | |
Chipotle Mexican Grill, Inc. (a) | 8,066 | 11,982,688 | |
Chuys Holdings, Inc. (a) | 1,859 | 46,865 |
| |||
Shares | Value | ||
Cracker Barrel Old Country Store, Inc. | 9,276 | $ 1,105,143 | |
Darden Restaurants, Inc. | 41,677 | 5,829,362 | |
Dave & Buster's Entertainment, Inc. (a) | 22,576 | 807,995 | |
Denny's Corp. (a) | 43,205 | 669,677 | |
Dine Brands Global, Inc. | 9,718 | 659,366 | |
Domino's Pizza, Inc. | 12,204 | 5,548,548 | |
El Pollo Loco Holdings, Inc. (a) | 22,496 | 300,097 | |
Jack in the Box, Inc. | 10,095 | 919,150 | |
Krispy Kreme, Inc. | 3,839 | 57,547 | |
McDonald's Corp. | 214,241 | 55,584,827 | |
Papa John's International, Inc. | 12,667 | 1,563,741 | |
Ruth's Hospitality Group, Inc. (a) | 27,936 | 559,558 | |
Shake Shack, Inc. Class A (a) | 15,197 | 1,004,066 | |
Starbucks Corp. | 340,847 | 33,512,077 | |
Texas Roadhouse, Inc. | 24,212 | 2,067,463 | |
The Cheesecake Factory, Inc. (a) | 20,588 | 734,580 | |
The Wendy's Co. | 73,968 | 1,703,483 | |
Wingstop, Inc. | 11,191 | 1,715,021 | |
Yum! Brands, Inc. | 90,016 | 11,267,303 | |
142,232,045 | |||
TOTAL HOTELS, RESTAURANTS & LEISURE | 272,179,683 | ||
HOUSEHOLD DURABLES – 4.8% | |||
Consumer Electronics – 0.5% | |||
Garmin Ltd. | 45,488 | 5,659,617 | |
GoPro, Inc. Class A (a) | 74,291 | 658,218 | |
Snap One Holdings Corp. (a) | 2,323 | 43,696 | |
Sonos, Inc. (a) | 38,712 | 976,317 | |
Universal Electronics, Inc. (a) | 11,091 | 393,619 | |
7,731,467 | |||
Home Furnishings – 0.6% | |||
Ethan Allen Interiors, Inc. | 22,328 | 562,889 | |
La-Z-Boy, Inc. | 23,269 | 854,205 | |
Leggett & Platt, Inc. | 48,536 | 1,934,160 | |
Mohawk Industries, Inc. (a) | 19,984 | 3,154,874 | |
Tempur Sealy International, Inc. | 68,451 | 2,725,034 | |
The Lovesac Co. (a) | 3,390 | 182,552 | |
9,413,714 | |||
Homebuilding – 3.0% | |||
Cavco Industries, Inc. (a) | 4,305 | 1,159,939 | |
Century Communities, Inc. | 15,373 | 1,012,312 | |
D.R. Horton, Inc. | 104,719 | 9,343,029 | |
Dream Finders Homes, Inc. (a) | 2,971 | 55,379 | |
Green Brick Partners, Inc. (a) | 27,108 | 641,918 | |
Hovnanian Enterprises, Inc. (a) | 644 | 62,391 | |
Installed Building Products, Inc. | 10,290 | 1,140,029 | |
KB Home | 33,437 | 1,412,713 | |
Lennar Corp. Class A | 84,897 | 8,159,451 | |
LGI Homes, Inc. (a) | 8,978 | 1,117,851 |
19 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HOUSEHOLD DURABLES – continued | |||
Homebuilding – continued | |||
M.D.C. Holdings, Inc. | 25,008 | $ 1,267,656 | |
M/I Homes, Inc. (a) | 15,988 | 847,204 | |
Meritage Homes Corp. (a) | 15,613 | 1,592,994 | |
NVR, Inc. (a) | 1,104 | 5,881,251 | |
PulteGroup, Inc. | 87,284 | 4,598,994 | |
Skyline Champion Corp. (a) | 24,415 | 1,644,106 | |
Taylor Morrison Home Corp. (a) | 50,575 | 1,552,147 | |
Toll Brothers, Inc. | 42,823 | 2,525,272 | |
TopBuild Corp. (a) | 11,680 | 2,717,352 | |
Tri Pointe Homes, Inc. (a) | 57,277 | 1,363,765 | |
48,095,753 | |||
Household Appliances – 0.5% | |||
Cricut, Inc. (a) | 2,188 | 43,279 | |
Helen of Troy Ltd. (a) | 9,260 | 1,938,396 | |
iRobot Corp. (a) | 12,134 | 795,020 | |
Traeger, Inc. (a) | 10,037 | 102,277 | |
Weber, Inc. | 13,935 | 151,055 | |
Whirlpool Corp. | 20,482 | 4,305,111 | |
7,335,138 | |||
Housewares & Specialties – 0.2% | |||
Newell Brands, Inc. | 131,853 | 3,060,308 | |
Tupperware Brands Corp. (a) | 4,681 | 72,181 | |
3,132,489 | |||
TOTAL HOUSEHOLD DURABLES | 75,708,561 | ||
INTERNET & DIRECT MARKETING RETAIL – 23.7% | |||
Internet & Direct Marketing Retail – 23.7% | |||
1-800-FLOWERS.com, Inc. Class A (a) | 20,324 | 346,118 | |
Amazon.com, Inc. (a) | 110,398 | 330,252,305 | |
CarParts.com, Inc. (a) | 8,435 | 77,602 | |
Chewy, Inc. Class A (a) | 2,864 | 136,355 | |
ContextLogic, Inc. Class A (a) | 36,927 | 97,857 | |
DoorDash, Inc. Class A (a) | 1,089 | 123,591 | |
Duluth Holdings, Inc. Class B (a) | 6,078 | 91,656 | |
eBay, Inc. | 196,321 | 11,793,002 | |
Etsy, Inc. (a) | 37,765 | 5,932,126 | |
Groupon, Inc. (a) | 17,293 | 528,128 | |
Lands' End, Inc. (a) | 15,079 | 276,398 | |
MercadoLibre, Inc. (a) | 13,279 | 15,032,625 | |
Overstock.com, Inc. (a) | 15,834 | 759,082 | |
PetMed Express, Inc. | 16,588 | 428,468 | |
Porch Group, Inc. (a) | 9,397 | 99,138 | |
Quotient Technology, Inc. (a) | 51,549 | 366,513 | |
Qurate Retail, Inc. Class A | 145,394 | 1,022,120 | |
Revolve Group, Inc. (a) | 16,896 | 833,311 | |
Shutterstock, Inc. | 10,446 | 1,012,949 | |
Stitch Fix, Inc. Class A (a) | 23,543 | 386,812 | |
The Original BARK Co. (a) | 28,808 | 108,606 |
| |||
Shares | Value | ||
The RealReal, Inc. (a) | 24,763 | $ 234,010 | |
Wayfair, Inc. Class A (a) | 21,247 | 3,312,832 | |
373,251,604 | |||
Internet Retail – 0.0% | |||
Xometry, Inc. (a) | 1,477 | 76,213 | |
TOTAL INTERNET & DIRECT MARKETING RETAIL | 373,327,817 | ||
INTERNET SOFTWARE & SERVICES – 0.0% | |||
Internet Software & Services – 0.0% | |||
Liquidity Services, Inc. (a) | 1,992 | 37,908 | |
LEISURE PRODUCTS – 1.2% | |||
Leisure Products – 1.2% | |||
Acushnet Holdings Corp. | 19,805 | 924,893 | |
AMMO, Inc. (a) | 13,503 | 62,654 | |
Brunswick Corp. | 27,631 | 2,508,618 | |
Callaway Golf Co. (a) | 46,110 | 1,100,185 | |
Clarus Corp. | 1,689 | 38,053 | |
Hasbro, Inc. | 42,907 | 3,968,039 | |
Hayward Holdings, Inc. (a) | 1,931 | 38,021 | |
Johnson Outdoors, Inc. Class A | 4,740 | 427,643 | |
Latham Group, Inc. (a) | 2,398 | 39,999 | |
Malibu Boats, Inc. Class A (a) | 11,874 | 779,647 | |
Mattel, Inc. (a) | 124,978 | 2,614,540 | |
Polaris, Inc. | 20,566 | 2,315,526 | |
Smith & Wesson Brands, Inc. | 38,434 | 656,453 | |
Sturm Ruger & Co., Inc. | 10,947 | 735,967 | |
Vinco Ventures, Inc. (a) | 22,197 | 73,028 | |
Vista Outdoor, Inc. (a) | 28,404 | 1,095,826 | |
YETI Holdings, Inc. (a) | 29,520 | 1,935,922 | |
TOTAL LEISURE PRODUCTS | 19,315,014 | ||
MEDIA – 0.0% | |||
Broadcasting – 0.0% | |||
Media General, Inc. (a)(b) | 7,026 | 0 | |
MULTILINE RETAIL – 4.2% | |||
Department Stores – 0.6% | |||
Dillard's, Inc. Class A | 4,383 | 1,112,055 | |
Kohl's Corp. | 54,787 | 3,271,332 | |
Macy's, Inc. | 114,356 | 2,927,514 | |
Nordstrom, Inc. (a) | 43,705 | 983,362 | |
8,294,263 | |||
General Merchandise Stores – 3.6% | |||
Big Lots, Inc. | 17,653 | 739,837 | |
Dollar General Corp. | 70,153 | 14,625,498 | |
Dollar Tree, Inc. (a) | 70,687 | 9,275,548 | |
Franchise Group, Inc. | 2,462 | 123,272 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 22,219 | 1,065,179 |
Semi-Annual Report | 20 |
Common Stocks – continued | |||
Shares | Value | ||
MULTILINE RETAIL – continued | |||
General Merchandise Stores – continued | |||
Target Corp. | 141,377 | $ 31,163,732 | |
56,993,066 | |||
TOTAL MULTILINE RETAIL | 65,287,329 | ||
SPECIALTY RETAIL – 20.5% | |||
Apparel Retail – 3.5% | |||
Abercrombie & Fitch Co. Class A (a) | 29,954 | 1,168,206 | |
American Eagle Outfitters, Inc. | 59,317 | 1,354,207 | |
Boot Barn Holdings, Inc. (a) | 15,091 | 1,387,919 | |
Burlington Stores, Inc. (a) | 20,819 | 4,932,646 | |
Caleres, Inc. | 2,068 | 49,591 | |
Citi Trends, Inc. (a) | 556 | 27,088 | |
Designer Brands, Inc. Class A (a) | 44,423 | 585,051 | |
Foot Locker, Inc. | 36,242 | 1,619,293 | |
Genesco, Inc. (a) | 13,049 | 839,442 | |
Guess?, Inc. | 27,212 | 626,420 | |
Ross Stores, Inc. | 107,167 | 10,475,574 | |
Shoe Carnival, Inc. | 19,992 | 682,927 | |
The Buckle, Inc. | 19,108 | 719,225 | |
The Children's Place, Inc. (a) | 9,789 | 692,572 | |
The Gap, Inc. | 80,802 | 1,460,092 | |
The TJX Cos., Inc. | 352,213 | 25,348,770 | |
Urban Outfitters, Inc. (a) | 31,144 | 894,456 | |
Victoria's Secret & Co. (a) | 28,780 | 1,606,787 | |
Zumiez, Inc. (a) | 14,651 | 658,562 | |
55,128,828 | |||
Automotive Retail – 3.5% | |||
Advance Auto Parts, Inc. | 21,603 | 5,001,311 | |
America's Car-Mart, Inc. (a) | 4,775 | 453,243 | |
Arko Corp. (a) | 8,759 | 71,999 | |
Asbury Automotive Group, Inc. (a) | 8,780 | 1,413,317 | |
AutoNation, Inc. (a) | 20,138 | 2,195,042 | |
AutoZone, Inc. (a) | 6,567 | 13,044,360 | |
Camping World Holdings, Inc. Class A | 21,884 | 726,549 | |
CarMax, Inc. (a) | 51,610 | 5,737,484 | |
Carvana Co. (a) | 20,486 | 3,319,961 | |
Group 1 Automotive, Inc. | 7,762 | 1,318,065 | |
Lithia Motors, Inc. | 9,862 | 2,880,986 | |
Monro, Inc. | 16,067 | 799,012 | |
Murphy USA, Inc. | 11,047 | 2,172,503 | |
O'Reilly Automotive, Inc. (a) | 20,952 | 13,655,466 | |
Penske Automotive Group, Inc. | 14,623 | 1,486,135 | |
Sonic Automotive, Inc. Class A | 15,608 | 796,164 | |
TravelCenters of America, Inc. (a) | 927 | 42,253 | |
55,113,850 | |||
Computer & Electronics Retail – 0.6% | |||
Best Buy Co., Inc. | 70,129 | 6,962,407 |
| |||
Shares | Value | ||
GameStop Corp. Class A (a) | 19,516 | $ 2,125,878 | |
Rent-A-Center, Inc. | 22,118 | 932,274 | |
10,020,559 | |||
Home Improvement Retail – 10.2% | |||
Floor & Decor Holdings, Inc. Class A (a) | 28,981 | 3,150,814 | |
GrowGeneration Corp. (a) | 11,987 | 101,170 | |
Lowe's Cos., Inc. | 199,017 | 47,236,685 | |
Lumber Liquidators Holdings, Inc. (a) | 3,603 | 52,027 | |
The Home Depot, Inc. | 299,669 | 109,972,530 | |
160,513,226 | |||
Homefurnishing Retail – 0.6% | |||
Bed Bath & Beyond, Inc. (a) | 51,637 | 838,585 | |
Haverty Furniture Companies, Inc. | 15,799 | 466,386 | |
RH (a) | 5,572 | 2,244,513 | |
Sleep Number Corp. (a) | 11,671 | 834,476 | |
The Aaron's Co., Inc. | 13,515 | 286,113 | |
Williams-Sonoma, Inc. | 25,455 | 4,086,546 | |
8,756,619 | |||
Specialty Stores – 2.1% | |||
Academy Sports & Outdoors, Inc. (a) | 2,156 | 83,868 | |
Bath & Body Works, Inc. | 85,019 | 4,767,015 | |
Dick's Sporting Goods, Inc. | 24,354 | 2,810,452 | |
Five Below, Inc. (a) | 18,628 | 3,054,992 | |
Hibbett, Inc. | 11,069 | 682,404 | |
Leslie's, Inc. (a) | 4,199 | 87,465 | |
MarineMax, Inc. (a) | 15,398 | 724,630 | |
National Vision Holdings, Inc. (a) | 34,167 | 1,396,747 | |
Party City Holdings, Inc. (a) | 7,691 | 36,378 | |
Petco Health & Wellness Co., Inc. (a) | 2,181 | 40,894 | |
Sally Beauty Holdings, Inc. (a) | 55,771 | 957,588 | |
Signet Jewelers Ltd. | 23,236 | 2,001,317 | |
Sportsman's Warehouse Holdings, Inc. (a) | 5,004 | 54,844 | |
The Container Store Group, Inc. (a) | 4,205 | 42,891 | |
The ODP Corp. (a) | 24,658 | 1,090,623 | |
Tractor Supply Co. | 36,126 | 7,886,667 | |
Ulta Beauty, Inc. (a) | 16,573 | 6,028,263 | |
Winmark Corp. | 3,032 | 653,154 | |
32,400,192 | |||
TOTAL SPECIALTY RETAIL | 321,933,274 | ||
TEXTILES, APPAREL & LUXURY GOODS – 6.7% | |||
Apparel, Accessories & Luxury Goods – 2.6% | |||
Capri Holdings Ltd. (a) | 52,164 | 3,133,491 | |
Carter's, Inc. | 17,101 | 1,592,445 | |
Columbia Sportswear Co. | 12,780 | 1,186,879 | |
G-III Apparel Group Ltd. (a) | 26,501 | 720,032 |
21 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
TEXTILES, APPAREL & LUXURY GOODS – continued | |||
Apparel, Accessories & Luxury Goods – continued | |||
Hanesbrands, Inc. | 125,100 | $ 2,014,110 | |
Kontoor Brands, Inc. | 21,585 | 1,063,925 | |
Levi Strauss & Co. Class A | 33,697 | 738,975 | |
Lululemon Athletica, Inc. (a) | 35,848 | 11,964,629 | |
Movado Group, Inc. | 1,731 | 64,168 | |
Oxford Industries, Inc. | 10,078 | 830,326 | |
PVH Corp. | 25,236 | 2,397,672 | |
Ralph Lauren Corp. | 17,951 | 1,989,689 | |
Tapestry, Inc. | 92,521 | 3,511,172 | |
Under Armour, Inc. Class A (a) | 73,555 | 1,385,041 | |
Under Armour, Inc. Class C (a) | 83,133 | 1,329,297 | |
VF Corp. | 102,756 | 6,700,719 | |
40,622,570 | |||
Footwear – 4.1% | |||
Crocs, Inc. (a) | 23,233 | 2,384,170 | |
Deckers Outdoor Corp. (a) | 9,597 | 3,073,247 | |
NIKE, Inc. Class B | 365,738 | 54,154,826 | |
Skechers U.S.A., Inc. Class A (a) | 50,163 | 2,106,846 | |
Steven Madden Ltd. | 34,437 | 1,416,738 | |
Wolverine World Wide, Inc. | 35,510 | 940,660 | |
64,076,487 | |||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 104,699,057 | ||
TOTAL COMMON STOCKS (Cost $1,316,246,341) | 1,571,642,640 |
Money Market Fund – 0.1% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $1,810,000) | 1,810,000 | $ 1,810,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,318,056,341) | 1,573,452,640 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 661,265 | ||
NET ASSETS – 100.0% | $1,574,113,905 |
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 | March 2022 | $ 404,880 | $ (22,414) | $ (22,414) |
CME E-mini S&P Consumer Discretionary Select Sector Index Contracts (United States) | 10 | March 2022 | 1,866,400 | (114,692) | (114,692) |
Total Equity Index Contracts | $ (137,106) |
Semi-Annual Report | 22 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,571,642,640 | $ 1,571,642,640 | $ — | $ — | |||||
Money Market Funds | 1,810,000 | 1,810,000 | — | — | |||||
Total Investments in Securities: | $ 1,573,452,640 | $ 1,573,452,640 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (137,106) | $ (137,106) | $ — | $ — | |||||
Total Liabilities | $ (137,106) | $ (137,106) | $ — | $ — | |||||
Total Derivative Instruments: | $ (137,106) | $ (137,106) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(137,106) | |
Total Equity Risk | 0 | (137,106) | |
Total Value of Derivatives | $0 | $(137,106) |
(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). |
23 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
BEVERAGES – 22.8% | |||
Brewers – 0.6% | |||
Molson Coors Beverage Co. Class B | 84,919 | $4,047,239 | |
The Boston Beer Co., Inc. Class A (a) | 4,508 | 1,897,102 | |
5,944,341 | |||
Distillers & Vintners – 2.7% | |||
Brown-Forman Corp. Class B | 125,682 | 8,474,737 | |
Constellation Brands, Inc. Class A | 66,673 | 15,851,506 | |
MGP Ingredients, Inc. | 15,865 | 1,200,346 | |
The Duckhorn Portfolio, Inc. (a) | 30,431 | 607,403 | |
26,133,992 | |||
Soft Drinks – 19.5% | |||
Celsius Holdings, Inc. (a) | 22,242 | 1,061,611 | |
Coca-Cola Bottling Co. Consolidated | 3,540 | 2,028,420 | |
Keurig Dr Pepper, Inc. | 283,809 | 10,770,551 | |
Monster Beverage Corp. (a) | 159,607 | 13,841,119 | |
National Beverage Corp. | 26,533 | 1,185,229 | |
PepsiCo, Inc. | 448,708 | 77,859,812 | |
The Coca-Cola Co. | 1,333,804 | 81,375,382 | |
188,122,124 | |||
TOTAL BEVERAGES | 220,200,457 | ||
FOOD & STAPLES RETAILING – 22.1% | |||
Drug Retail – 1.6% | |||
Rite Aid Corp. (a) | 71,231 | 755,761 | |
Walgreens Boots Alliance, Inc. | 293,764 | 14,617,697 | |
15,373,458 | |||
Food Distributors – 2.9% | |||
Performance Food Group Co. (a) | 75,191 | 3,172,308 | |
SpartanNash Co. | 47,023 | 1,155,355 | |
Sysco Corp. | 199,916 | 15,623,435 | |
The Andersons, Inc. | 34,067 | 1,297,953 | |
The Chefs' Warehouse, Inc. (a) | 36,859 | 1,099,873 | |
United Natural Foods, Inc. (a) | 48,999 | 1,900,181 | |
US Foods Holding Corp. (a) | 99,862 | 3,521,134 | |
27,770,239 | |||
Food Retail – 2.3% | |||
Casey's General Stores, Inc. | 17,168 | 3,224,322 | |
Grocery Outlet Holding Corp. (a) | 57,868 | 1,468,690 | |
Ingles Markets, Inc. Class A | 18,189 | 1,399,280 | |
Sprouts Farmers Market, Inc. (a) | 71,269 | 1,934,241 | |
The Kroger Co. | 298,177 | 12,997,535 | |
Weis Markets, Inc. | 18,393 | 1,107,994 | |
22,132,062 | |||
Hypermarkets & Super Centers – 15.3% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 64,852 | 3,986,452 | |
Costco Wholesale Corp. | 143,521 | 72,496,763 | |
PriceSmart, Inc. | 17,553 | 1,253,460 |
| |||
Shares | Value | ||
Walmart, Inc. | 498,504 | $ 69,695,844 | |
147,432,519 | |||
TOTAL FOOD & STAPLES RETAILING | 212,708,278 | ||
FOOD PRODUCTS – 20.1% | |||
Agricultural Products – 3.3% | |||
AppHarvest, Inc. (a) | 82,536 | 246,782 | |
Archer-Daniels-Midland Co. | 224,394 | 16,829,550 | |
Bunge Ltd. | 62,152 | 6,144,347 | |
Darling Ingredients, Inc. (a) | 74,187 | 4,730,905 | |
Fresh Del Monte Produce, Inc. | 34,763 | 967,454 | |
Ingredion, Inc. | 32,804 | 3,106,539 | |
32,025,577 | |||
Packaged Foods & Meats – 16.8% | |||
B&G Foods, Inc. | 46,726 | 1,453,179 | |
Beyond Meat, Inc. (a) | 26,972 | 1,756,686 | |
Calavo Growers, Inc. | 19,961 | 826,585 | |
Cal-Maine Foods, Inc. | 32,249 | 1,257,711 | |
Campbell Soup Co. | 88,965 | 3,925,136 | |
Conagra Brands, Inc. | 200,056 | 6,953,947 | |
Flowers Foods, Inc. | 102,012 | 2,869,598 | |
Freshpet, Inc. (a) | 22,055 | 2,051,777 | |
General Mills, Inc. | 238,916 | 16,408,751 | |
Hormel Foods Corp. | 125,303 | 5,948,133 | |
Hostess Brands, Inc. (a) | 90,843 | 1,864,098 | |
J&J Snack Foods Corp. | 9,817 | 1,489,141 | |
John B Sanfilippo & Son, Inc. | 11,037 | 873,027 | |
Kellogg Co. | 106,099 | 6,684,237 | |
Lamb Weston Holdings, Inc. | 64,703 | 4,154,580 | |
Lancaster Colony Corp. | 10,779 | 1,711,382 | |
McCormick & Co., Inc. (non-vtg.) | 100,608 | 10,091,988 | |
Mission Produce, Inc. (a) | 21,115 | 301,311 | |
Mondelez International, Inc. Class A | 546,219 | 36,613,060 | |
Pilgrim's Pride Corp. (a) | 42,725 | 1,195,018 | |
Post Holdings, Inc. (a) | 28,516 | 3,017,563 | |
Sanderson Farms, Inc. | 11,095 | 2,041,480 | |
Seaboard Corp. | 284 | 1,084,877 | |
Tattooed Chef, Inc. (a) | 56,606 | 718,896 | |
The Hain Celestial Group, Inc. (a) | 60,800 | 2,221,024 | |
The Hershey Co. | 59,695 | 11,764,094 | |
The JM Smucker Co. | 46,800 | 6,579,144 | |
The Kraft Heinz Co. | 270,362 | 9,678,960 | |
The Simply Good Foods Co. (a) | 56,069 | 1,975,311 | |
Tootsie Roll Industries, Inc. | 23,691 | 804,309 | |
TreeHouse Foods, Inc. (a) | 39,298 | 1,522,011 | |
Tyson Foods, Inc. Class A | 118,424 | 10,763,557 | |
Utz Brands, Inc. | 60,395 | 972,963 | |
Vital Farms, Inc. (a) | 23,936 | 395,662 | |
161,969,196 | |||
TOTAL FOOD PRODUCTS | 193,994,773 |
Semi-Annual Report | 24 |
Common Stocks – continued | |||
Shares | Value | ||
HOUSEHOLD PRODUCTS – 21.4% | |||
Household Products – 21.4% | |||
Central Garden and Pet Co. (a) | 14,352 | $ 665,789 | |
Central Garden and Pet Co. Class A (a) | 31,720 | 1,374,428 | |
Church & Dwight Co., Inc. | 103,281 | 10,601,795 | |
Colgate-Palmolive Co. | 314,641 | 25,942,150 | |
Energizer Holdings, Inc. | 40,017 | 1,505,039 | |
Kimberly-Clark Corp. | 134,507 | 18,514,889 | |
Reynolds Consumer Products, Inc. | 46,348 | 1,402,954 | |
Spectrum Brands Holdings, Inc. | 25,924 | 2,317,087 | |
The Clorox Co. | 51,767 | 8,689,609 | |
The Procter & Gamble Co. | 833,503 | 133,735,556 | |
WD-40 Co. | 8,694 | 1,932,328 | |
TOTAL HOUSEHOLD PRODUCTS | 206,681,624 | ||
PERSONAL PRODUCTS – 4.4% | |||
Personal Products – 4.4% | |||
BellRing Brands, Inc. Class A (a) | 35,695 | 869,530 | |
Coty, Inc. Class A (a) | 188,274 | 1,596,564 | |
Edgewell Personal Care Co. | 34,500 | 1,580,100 | |
elf Beauty, Inc. (a) | 40,383 | 1,193,722 | |
Herbalife Nutrition Ltd. (a) | 56,160 | 2,387,362 | |
Inter Parfums, Inc. | 15,732 | 1,556,996 | |
Medifast, Inc. | 7,437 | 1,477,806 | |
Nu Skin Enterprises, Inc. Class A | 31,791 | 1,532,008 | |
The Beauty Health Co. (a) | 46,591 | 661,592 | |
The Estee Lauder Cos., Inc. Class A | 88,658 | 27,642,678 | |
The Honest Co., Inc. (a) | 40,670 | 263,948 | |
USANA Health Sciences, Inc. (a) | 11,561 | 1,105,000 | |
Veru, Inc. (a) | 95,397 | 496,065 | |
TOTAL PERSONAL PRODUCTS | 42,363,371 |
| |||
Shares | Value | ||
TOBACCO – 8.9% | |||
Tobacco – 8.9% | |||
Altria Group, Inc. | 705,122 | $ 35,876,608 | |
Philip Morris International, Inc. | 455,712 | 46,869,979 | |
Turning Point Brands, Inc. | 21,339 | 751,773 | |
Universal Corp. | 22,933 | 1,248,243 | |
Vector Group Ltd. | 95,408 | 1,059,983 | |
TOTAL TOBACCO | 85,806,586 | ||
TOTAL COMMON STOCKS (Cost $817,375,313) | 961,755,089 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,650,000) | 1,650,000 | 1,650,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $819,025,313) | 963,405,089 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,262,459 | ||
NET ASSETS – 100.0% | $ 964,667,548 |
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 | March 2022 | $ 101,220 | $ (3,412) | $ (3,412) |
CME E-mini S&P Consumer Staples Select Sector Index Contracts (United States) | 35 | March 2022 | 2,673,300 | (1,305) | (1,305) |
Total Equity Index Contracts | $ (4,717) |
25 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 961,755,089 | $ 961,755,089 | $ — | $ — | |||||
Money Market Funds | 1,650,000 | 1,650,000 | — | — | |||||
Total Investments in Securities: | $ 963,405,089 | $ 963,405,089 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (4,717) | $ (4,717) | $ — | $ — | |||||
Total Liabilities | $ (4,717) | $ (4,717) | $ — | $ — | |||||
Total Derivative Instruments: | $ (4,717) | $ (4,717) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(4,717) | |
Total Equity Risk | 0 | (4,717) | |
Total Value of Derivatives | $0 | $(4,717) |
(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). |
Semi-Annual Report | 26 |
Common Stocks – 99.7% | |||
Shares | Value | ||
ENERGY EQUIPMENT & SERVICES – 9.6% | |||
Oil & Gas Drilling – 0.7% | |||
Helmerich & Payne, Inc. | 87,885 | $ 2,522,299 | |
Nabors Industries Ltd. (a) | 6,045 | 625,718 | |
Noble Corp. (a) | 36,839 | 909,555 | |
Patterson-UTI Energy, Inc. | 152,877 | 1,522,655 | |
Transocean Ltd. (a) | 502,513 | 1,582,916 | |
Valaris Ltd. (a) | 21,440 | 889,546 | |
8,052,689 | |||
Oil & Gas Equipment & Services – 8.9% | |||
Archrock, Inc. | 102,110 | 861,808 | |
Aspen Aerogels, Inc. (a) | 22,081 | 655,806 | |
Baker Hughes Co. | 674,304 | 18,502,902 | |
Bristow Group, Inc. (a) | 6,089 | 200,024 | |
Cactus, Inc. Class A | 47,613 | 2,307,326 | |
ChampionX Corp. (a) | 165,418 | 3,705,363 | |
Core Laboratories N.V. | 37,810 | 1,008,393 | |
DMC Global, Inc. (a) | 15,651 | 631,361 | |
Dril-Quip, Inc. (a) | 27,600 | 698,004 | |
Expro Group Holdings N.V. (a) | 21,757 | 340,715 | |
Halliburton Co. | 724,288 | 22,264,613 | |
Helix Energy Solutions Group, Inc. (a) | 120,154 | 424,143 | |
Liberty Oilfield Services, Inc. Class A (a) | 79,692 | 964,273 | |
NexTier Oilfield Solitions, Inc. (a) | 134,949 | 812,393 | |
NOV, Inc. | 315,123 | 5,174,320 | |
Oceaneering International, Inc. (a) | 82,414 | 1,073,854 | |
ProPetro Holding Corp. (a) | 64,490 | 677,790 | |
RPC, Inc. (a) | 55,332 | 327,012 | |
Schlumberger N.V. | 1,138,898 | 44,496,745 | |
Select Energy Services, Inc. Class A (a) | 54,222 | 361,661 | |
TechnipFMC PLC (a) | 345,669 | 2,243,392 | |
US Silica Holdings, Inc. (a) | 62,091 | 592,969 | |
Weatherford International PLC (a) | 56,556 | 1,696,680 | |
110,021,547 | |||
TOTAL ENERGY EQUIPMENT & SERVICES | 118,074,236 | ||
OIL, GAS & CONSUMABLE FUELS – 90.1% | |||
Coal & Consumable Fuels – 0.3% | |||
Arch Resources, Inc. | 12,655 | 1,197,669 | |
Centrus Energy Corp. (a) | 8,377 | 363,981 | |
CONSOL Energy, Inc. (a) | 27,198 | 591,285 | |
Peabody Energy Corp. (a) | 70,959 | 766,357 | |
Uranium Energy Corp. (a) | 192,922 | 503,526 | |
3,422,818 | |||
Integrated Oil & Gas – 40.5% | |||
Chevron Corp. | 1,577,019 | 207,109,905 | |
Exxon Mobil Corp. | 3,452,369 | 262,241,949 |
| |||
Shares | Value | ||
Occidental Petroleum Corp. | 761,228 | $ 28,675,459 | |
498,027,313 | |||
Oil & Gas Exploration & Production – 30.2% | |||
Antero Resources Corp. (a) | 230,548 | 4,502,603 | |
APA Corp. | 307,717 | 10,219,282 | |
Berry Corp. | 47,211 | 410,264 | |
Brigham Minerals, Inc. Class A | 37,581 | 813,253 | |
Cabot Oil & Gas Corp. | 628,992 | 13,774,925 | |
California Resources Corp. | 33,668 | 1,434,930 | |
Callon Petroleum Co. (a) | 38,066 | 1,881,983 | |
Centennial Resource Development, Inc. Class A (a) | 149,935 | 1,170,992 | |
Chesapeake Energy Corp. | 61,954 | 4,223,404 | |
Civitas Resources, Inc. | 41,506 | 2,262,077 | |
CNX Resources Corp. (a) | 177,007 | 2,625,014 | |
Comstock Resources, Inc. (a) | 67,737 | 526,994 | |
ConocoPhillips | 1,091,966 | 96,770,027 | |
Crescent Energy, Inc. (a) | 18,715 | 248,348 | |
Denbury, Inc. (a) | 41,138 | 3,091,109 | |
Devon Energy Corp. | 524,997 | 26,549,098 | |
Diamondback Energy, Inc. | 140,460 | 17,720,434 | |
EOG Resources, Inc. | 475,714 | 53,032,597 | |
EQT Corp. (a) | 261,408 | 5,554,920 | |
Gulfport Energy Corp. (a) | 10,204 | 667,852 | |
Hess Corp. | 227,119 | 20,960,813 | |
Kosmos Energy Ltd. (a) | 331,925 | 1,437,235 | |
Laredo Petroleum, Inc. (a) | 11,137 | 747,961 | |
Magnolia Oil & Gas Corp. Class A | 115,355 | 2,495,129 | |
Marathon Oil Corp. | 641,941 | 12,498,591 | |
Matador Resources Co. | 95,705 | 4,284,713 | |
Murphy Oil Corp. | 126,420 | 3,994,872 | |
Northern Oil and Gas, Inc. | 49,919 | 1,174,095 | |
Oasis Petroleum, Inc. | 16,573 | 2,244,481 | |
Ovintiv, Inc. | 213,408 | 8,280,230 | |
PDC Energy, Inc. | 80,977 | 4,799,507 | |
Pioneer Natural Resources Co. | 189,052 | 41,381,592 | |
Range Resources Corp. (a) | 201,519 | 3,879,241 | |
SM Energy Co. | 94,358 | 3,095,886 | |
Southwestern Energy Co. (a) | 554,751 | 2,440,904 | |
Talos Energy, Inc. (a) | 22,833 | 242,943 | |
Tellurian, Inc. (a) | 310,528 | 779,425 | |
Texas Pacific Land Corp. | 5,070 | 5,450,250 | |
Viper Energy Partners LP | 47,736 | 1,290,781 | |
Whiting Petroleum Corp. (a) | 31,836 | 2,363,823 | |
371,322,578 | |||
Oil & Gas Refining & Marketing – 8.8% | |||
Alto Ingredients, Inc. (a) | 58,515 | 303,108 | |
Clean Energy Fuels Corp. (a) | 135,469 | 822,297 | |
CVR Energy, Inc. | 25,274 | 493,601 | |
Delek US Holdings, Inc. (a) | 55,088 | 854,966 | |
Gevo, Inc. (a) | 162,798 | 556,769 |
27 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
OIL, GAS & CONSUMABLE FUELS – continued | |||
Oil & Gas Refining & Marketing – continued | |||
Green Plains, Inc. (a) | 37,085 | $ 1,132,576 | |
HollyFrontier Corp. | 125,469 | 4,411,490 | |
Marathon Petroleum Corp. | 520,920 | 37,376,010 | |
Par Pacific Holdings, Inc. (a) | 36,973 | 521,319 | |
PBF Energy, Inc. Class A (a) | 79,366 | 1,257,157 | |
Phillips 66 | 357,026 | 30,272,235 | |
Renewable Energy Group, Inc. (a) | 41,227 | 1,659,799 | |
REX American Resources Corp. (a) | 4,499 | 433,839 | |
Valero Energy Corp. | 333,342 | 27,657,386 | |
World Fuel Services Corp. | 51,607 | 1,455,833 | |
109,208,385 | |||
Oil & Gas Storage & Transportation – 10.3% | |||
Antero Midstream Corp. | 254,608 | 2,533,350 | |
Cheniere Energy, Inc. | 197,537 | 22,104,390 | |
Dorian LPG Ltd. | 26,557 | 315,763 | |
DTE Midstream LLC (a) | 79,199 | 4,094,588 | |
EnLink Midstream LLC | 220,850 | 1,757,966 | |
Equitrans Midstream Corp. | 334,458 | 2,712,454 | |
Hess Midstream LP | 26,818 | 787,376 | |
International Seaways, Inc. | 31,945 | 466,078 | |
Kinder Morgan, Inc. | 1,661,422 | 28,842,286 | |
ONEOK, Inc. | 364,099 | 22,093,527 | |
Plains GP Holdings LP Class A | 151,525 | 1,747,083 |
| |||
Shares | Value | ||
Targa Resources Corp. | 168,556 | $ 9,958,289 | |
The Williams Cos., Inc. | 992,498 | 29,715,390 | |
127,128,540 | |||
TOTAL OIL, GAS & CONSUMABLE FUELS | 1,109,109,634 | ||
TOTAL COMMON STOCKS (Cost $960,170,092) | 1,227,183,870 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,920,000) | 1,920,000 | 1,920,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $962,090,092) | 1,229,103,870 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,161,701 | ||
NET ASSETS – 100.0% | $1,230,265,571 |
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) | 42 | March 2022 | $2,883,300 | $253,753 | $253,753 |
Semi-Annual Report | 28 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,227,183,870 | $ 1,227,183,870 | $ — | $ — | |||||
Money Market Funds | 1,920,000 | 1,920,000 | — | — | |||||
Total Investments in Securities: | $ 1,229,103,870 | $ 1,229,103,870 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 253,753 | $ 253,753 | $ — | $ — | |||||
Total Assets | $ 253,753 | $ 253,753 | $ — | $ — | |||||
Total Derivative Instruments: | $ 253,753 | $ 253,753 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $253,753 | $0 | |
Total Equity Risk | 253,753 | 0 | |
Total Value of Derivatives | $253,753 | $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). |
29 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
BANKS – 38.1% | |||
Diversified Banks – 23.1% | |||
Bank of America Corp. | 2,757,006 | $ 127,208,257 | |
Citigroup, Inc. | 737,440 | 48,022,093 | |
JPMorgan Chase & Co. | 1,087,617 | 161,619,886 | |
US Bancorp | 513,246 | 29,865,784 | |
Wells Fargo & Co. | 1,495,106 | 80,436,703 | |
447,152,723 | |||
Regional Banks – 15.0% | |||
1st Source Corp. | 8,186 | 408,318 | |
Allegiance Bancshares, Inc. | 6,913 | 304,379 | |
Amalgamated Financial Corp. | 5,700 | 96,957 | |
Amerant Bancorp, Inc. | 8,173 | 277,882 | |
Ameris Bancorp | 25,046 | 1,235,018 | |
Arrow Financial Corp. | 7,111 | 251,587 | |
Associated Banc-Corp. | 62,708 | 1,498,721 | |
Atlantic Union Bankshares Corp. | 30,184 | 1,229,092 | |
Banc of California, Inc. | 20,088 | 388,100 | |
Bancfirst Corp. | 7,309 | 547,810 | |
Bank First Corp. | 2,797 | 195,762 | |
Bank of Hawaii Corp. | 16,445 | 1,415,421 | |
Bank of Marin Bancorp | 6,507 | 242,646 | |
Bank OZK | 45,374 | 2,125,772 | |
BankUnited, Inc. | 28,307 | 1,181,817 | |
Banner Corp. | 7,992 | 496,383 | |
Bar Harbor Bankshares | 6,091 | 186,019 | |
Berkshire Hills Bancorp, Inc. | 15,531 | 459,562 | |
BOK Financial Corp. | 11,422 | 1,171,326 | |
Brookline Bancorp, Inc. | 17,341 | 296,531 | |
Byline Bancorp, Inc. | 9,987 | 259,662 | |
Cadence Bank | 55,513 | 1,730,340 | |
Camden National Corp. | 6,761 | 335,751 | |
Capital City Bank Group, Inc. | 6,105 | 168,864 | |
Cathay General Bancorp | 29,071 | 1,312,846 | |
CBTX, Inc. | 6,810 | 200,418 | |
Central Pacific Financial Corp. | 5,914 | 172,097 | |
Citizens Financial Group, Inc. | 155,839 | 8,021,033 | |
City Holding Co. | 3,499 | 280,655 | |
Columbia Banking System, Inc. | 26,291 | 914,138 | |
Comerica, Inc. | 49,521 | 4,594,558 | |
Commerce Bancshares, Inc. | 41,958 | 2,891,326 | |
Community Bank System, Inc. | 17,089 | 1,220,496 | |
Community Trust Bancorp, Inc. | 7,906 | 349,366 | |
ConnectOne Bancorp, Inc. | 14,047 | 449,644 | |
CrossFirst Bankshares, Inc. (a) | 18,388 | 284,278 | |
Cullen/Frost Bankers, Inc. | 22,526 | 3,176,391 | |
Customers Bancorp, Inc. (a) | 11,010 | 641,883 | |
CVB Financial Corp. | 46,312 | 1,020,253 | |
Dime Community Bancshares, Inc. | 13,386 | 467,975 | |
Eagle Bancorp, Inc. | 8,214 | 492,594 | |
East West Bancorp, Inc. | 52,341 | 4,519,122 |
| |||
Shares | Value | ||
Eastern Bankshares, Inc. | 62,628 | $ 1,333,350 | |
Enterprise Financial Services Corp. | 14,180 | 702,477 | |
FB Financial Corp. | 12,477 | 555,476 | |
Fifth Third Bancorp | 252,100 | 11,251,223 | |
First Bancorp | 12,741 | 559,457 | |
First BanCorp | 62,566 | 910,335 | |
First Busey Corp. | 21,851 | 609,206 | |
First Citizens BancShares, Inc. Class A | 4,382 | 3,413,929 | |
First Commonwealth Financial Corp. | 21,144 | 350,145 | |
First Community Bankshares, Inc. | 7,685 | 239,849 | |
First Financial Bancorp | 23,110 | 582,603 | |
First Financial Bankshares, Inc. | 50,064 | 2,352,507 | |
First Financial Corp. | 5,498 | 246,805 | |
First Foundation, Inc. | 18,254 | 477,342 | |
First Hawaiian, Inc. | 50,028 | 1,418,294 | |
First Horizon Corp. | 202,779 | 3,469,549 | |
First Interstate Bancsystem, Inc. Class A | 16,760 | 615,930 | |
First Merchants Corp. | 22,148 | 939,740 | |
First Mid Bancshares, Inc. | 6,547 | 269,409 | |
First Midwest Bancorp, Inc. | 36,342 | 754,823 | |
First Republic Bank | 64,414 | 11,181,626 | |
Flushing Financial Corp. | 10,795 | 254,870 | |
FNB Corp. | 128,645 | 1,662,093 | |
Fulton Financial Corp. | 69,380 | 1,245,371 | |
German American Bancorp, Inc. | 9,871 | 390,892 | |
Glacier Bancorp, Inc. | 38,632 | 2,006,160 | |
Great Southern Bancorp, Inc. | 5,650 | 335,271 | |
Great Western Bancorp, Inc. | 19,345 | 597,374 | |
Hancock Whitney Corp. | 32,505 | 1,713,664 | |
Harborone Bancorp, Inc. | 22,710 | 322,482 | |
Heartland Financial USA, Inc. | 16,268 | 846,424 | |
Heritage Commerce Corp. | 26,082 | 324,982 | |
Heritage Financial Corp. | 7,803 | 189,301 | |
Hilltop Holdings, Inc. | 24,296 | 802,497 | |
Home BancShares, Inc. | 58,878 | 1,387,166 | |
HomeStreet, Inc. | 4,801 | 234,049 | |
Hope Bancorp, Inc. | 32,600 | 546,050 | |
Horizon Bancorp, Inc. | 15,013 | 320,227 | |
Huntington Bancshares, Inc. | 540,326 | 8,137,310 | |
Independent Bank Corp. | 8,920 | 218,362 | |
Independent Bank Corp./MA | 15,394 | 1,298,484 | |
Independent Bank Group, Inc. | 14,341 | 1,088,769 | |
International Bancshares Corp. | 20,616 | 866,490 | |
Investors Bancorp, Inc. | 86,033 | 1,404,059 | |
KeyCorp | 350,486 | 8,783,179 | |
Lakeland Bancorp, Inc. | 26,191 | 495,796 | |
Lakeland Financial Corp. | 9,231 | 737,834 | |
Live Oak Bancshares, Inc. | 11,868 | 698,550 |
Semi-Annual Report | 30 |
Common Stocks – continued | |||
Shares | Value | ||
BANKS – continued | |||
Regional Banks – continued | |||
M&T Bank Corp. | 47,377 | $ 8,024,716 | |
Mercantile Bank Corp. | 7,454 | 286,755 | |
Meta Financial Group, Inc. | 7,728 | 459,507 | |
Metropolitan Bank Holding Corp. (a) | 3,623 | 362,300 | |
Midland States Bancorp, Inc. | 9,906 | 285,986 | |
MidWestOne Financial Group, Inc. | 7,013 | 223,925 | |
National Bank Holdings Corp. Class A | 6,487 | 294,510 | |
NBT Bancorp, Inc. | 11,425 | 441,919 | |
Nicolet Bankshares, Inc. (a) | 4,889 | 455,117 | |
OceanFirst Financial Corp. | 23,955 | 543,779 | |
OFG Bancorp | 13,558 | 375,150 | |
Old National Bancorp | 46,343 | 849,467 | |
Origin Bancorp, Inc. | 8,755 | 374,014 | |
Pacific Premier Bancorp, Inc. | 29,158 | 1,115,294 | |
PacWest Bancorp | 43,214 | 2,006,426 | |
Park National Corp. | 5,956 | 806,800 | |
Peapack-Gladstone Financial Corp. | 7,939 | 292,473 | |
Peoples Bancorp, Inc. | 11,050 | 366,308 | |
People's United Financial, Inc. | 160,454 | 3,109,599 | |
Pinnacle Financial Partners, Inc. | 28,024 | 2,710,201 | |
Popular, Inc. | 30,247 | 2,697,125 | |
Preferred Bank | 2,271 | 177,274 | |
Prosperity Bancshares, Inc. | 34,878 | 2,554,813 | |
QCR Holdings, Inc. | 6,425 | 366,482 | |
Regions Financial Corp. | 348,770 | 8,000,784 | |
Renasant Corp. | 15,826 | 582,080 | |
Republic Bancorp, Inc. Class A | 4,337 | 212,600 | |
S&T Bancorp, Inc. | 8,188 | 252,272 | |
Sandy Spring Bancorp, Inc. | 19,187 | 907,737 | |
Seacoast Banking Corp. of Florida | 20,017 | 730,621 | |
ServisFirst Bancshares, Inc. | 18,186 | 1,543,446 | |
Signature Bank | 22,140 | 6,744,508 | |
Silvergate Capital Corp. (a) | 10,894 | 1,173,720 | |
Simmons First National Corp. Class A | 37,934 | 1,084,912 | |
Southside Bancshares, Inc. | 10,862 | 455,118 | |
SouthState Corp. | 25,850 | 2,181,998 | |
Sterling Bancorp | 72,788 | 1,913,597 | |
Stock Yards Bancorp, Inc. | 9,500 | 566,010 | |
SVB Financial Group (a) | 21,367 | 12,476,191 | |
Synovus Financial Corp. | 53,756 | 2,674,899 | |
Texas Capital Bancshares, Inc. (a) | 18,824 | 1,180,265 | |
The Bancorp, Inc. (a) | 18,083 | 539,235 | |
The First Bancshares, Inc. | 9,020 | 325,351 | |
The First of Long Island Corp. | 10,460 | 229,179 | |
The PNC Financial Services Group, Inc. | 155,198 | 31,969,236 |
| |||
Shares | Value | ||
Tompkins Financial Corp. | 6,023 | $ 479,190 | |
Towne Bank | 30,297 | 950,720 | |
Trico Bancshares | 12,039 | 523,335 | |
TriState Capital Holdings, Inc. (a) | 10,632 | 335,865 | |
Triumph Bancorp, Inc. (a) | 8,758 | 766,150 | |
Truist Financial Corp. | 486,584 | 30,567,207 | |
Trustmark Corp. | 24,184 | 787,915 | |
UMB Financial Corp. | 17,053 | 1,678,868 | |
Umpqua Holdings Corp. | 83,121 | 1,685,694 | |
United Bankshares, Inc. | 50,343 | 1,778,618 | |
United Community Banks, Inc. | 29,562 | 1,046,199 | |
Univest Financial Corp. | 13,073 | 393,889 | |
Valley National Bancorp | 153,496 | 2,136,664 | |
Veritex Holdings, Inc. | 16,570 | 665,286 | |
Washington Trust Bancorp, Inc. | 8,172 | 466,458 | |
Webster Financial Corp. | 33,912 | 1,926,541 | |
WesBanco, Inc. | 25,609 | 908,863 | |
Westamerica BanCorp. | 7,079 | 411,148 | |
Western Alliance Bancorp | 37,954 | 3,764,657 | |
Wintrust Financial Corp. | 21,123 | 2,071,533 | |
Zions Bancorp NA | 60,163 | 4,080,255 | |
289,003,328 | |||
TOTAL BANKS | 736,156,051 | ||
CAPITAL MARKETS – 26.8% | |||
Asset Management & Custody Banks – 9.5% | |||
Affiliated Managers Group, Inc. | 15,072 | 2,203,677 | |
Ameriprise Financial, Inc. | 41,456 | 12,615,475 | |
Ares Management Corp. Class A | 44,744 | 3,566,992 | |
Artisan Partners Asset Management, Inc. Class A | 24,108 | 1,041,707 | |
Assetmark Financial Holdings, Inc. (a) | 6,907 | 165,699 | |
BlackRock, Inc. | 55,329 | 45,532,447 | |
Blackstone, Inc. Class A | 249,397 | 32,912,922 | |
Blucora, Inc. (a) | 18,277 | 296,453 | |
Blue Owl Capital, Inc. | 58,371 | 725,552 | |
Brightsphere Investment Group, Inc. | 13,332 | 287,705 | |
Cohen & Steers, Inc. | 8,881 | 741,830 | |
Diamond Hill Investment Group, Inc. | 1,215 | 226,901 | |
Federated Hermes, Inc. | 34,287 | 1,135,243 | |
Focus Financial Partners, Inc. Class A (a) | 19,673 | 990,732 | |
Franklin Resources, Inc. | 109,706 | 3,507,301 | |
Hamilton Lane, Inc. Class A | 12,757 | 1,153,998 | |
Invesco Ltd. | 126,764 | 2,872,472 | |
Janus Henderson Group PLC | 56,836 | 2,097,248 | |
KKR & Co., Inc. | 190,656 | 13,567,081 | |
Northern Trust Corp. | 72,398 | 8,444,503 | |
SEI Investments Co. | 44,099 | 2,584,642 |
31 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
CAPITAL MARKETS – continued | |||
Asset Management & Custody Banks – continued | |||
State Street Corp. | 133,292 | $ 12,596,094 | |
StepStone Group, Inc. | 17,451 | 610,960 | |
T Rowe Price Group, Inc. | 82,609 | 12,757,308 | |
The Bank of New York Mellon Corp. | 298,990 | 17,718,147 | |
The Carlyle Group, Inc. | 58,129 | 2,967,485 | |
Victory Capital Holdings, Inc. Class A | 7,471 | 244,078 | |
Virtus Investment Partners, Inc. | 2,834 | 741,601 | |
WisdomTree Investments, Inc. | 40,105 | 224,989 | |
184,531,242 | |||
Financial Exchanges & Data – 8.4% | |||
Cboe Global Markets, Inc. | 38,762 | 4,594,460 | |
CME Group, Inc. | 130,733 | 30,003,223 | |
Coinbase Global, Inc. Class A (a) | 13,775 | 2,619,316 | |
Donnelley Financial Solutions, Inc. (a) | 11,005 | 409,606 | |
FactSet Research Systems, Inc. | 13,723 | 5,789,596 | |
Intercontinental Exchange, Inc. | 204,917 | 25,954,787 | |
MarketAxess Holdings, Inc. | 13,808 | 4,756,580 | |
Moody's Corp. | 60,829 | 20,864,347 | |
Morningstar, Inc. | 8,571 | 2,463,391 | |
MSCI, Inc. | 29,988 | 16,077,167 | |
Nasdaq, Inc. | 42,529 | 7,621,622 | |
Open Lending Corp. Class A (a) | 32,208 | 611,630 | |
S&P Global, Inc. | 87,530 | 36,344,207 | |
Tradeweb Markets, Inc. Class A | 38,217 | 3,239,655 | |
161,349,587 | |||
Investment Banking & Brokerage – 8.9% | |||
B Riley Financial, Inc. | 5,462 | 336,295 | |
BGC Partners, Inc. Class A | 111,272 | 469,568 | |
Cowen, Inc. Class A | 9,627 | 304,983 | |
Evercore, Inc. Class A | 14,514 | 1,811,637 | |
Freedom Holding Corp. (a) | 6,457 | 412,344 | |
Goldman Sachs Group, Inc. | 123,399 | 43,767,157 | |
Houlihan Lokey, Inc. | 18,545 | 1,970,963 | |
Interactive Brokers Group, Inc. Class A | 32,009 | 2,182,694 | |
Jefferies Financial Group, Inc. | 76,627 | 2,807,613 | |
LPL Financial Holdings, Inc. | 29,299 | 5,048,804 | |
Moelis & Co. Class A | 22,407 | 1,265,323 | |
Morgan Stanley | 497,861 | 51,050,667 | |
Perella Weinberg Partners | 12,684 | 137,748 | |
Piper Sandler Cos. | 6,712 | 1,035,125 | |
PJT Partners, Inc. Class A | 8,795 | 609,669 | |
Raymond James Financial, Inc. | 67,782 | 7,176,080 | |
Robinhood Markets, Inc. (a) | 65,837 | 931,594 | |
Stifel Financial Corp. | 38,292 | 2,868,071 | |
StoneX Group, Inc. (a) | 6,193 | 406,323 | |
The Charles Schwab Corp. | 527,098 | 46,226,495 |
| |||
Shares | Value | ||
Virtu Financial, Inc. Class A | 32,264 | $ 997,926 | |
171,817,079 | |||
TOTAL CAPITAL MARKETS | 517,697,908 | ||
CONSUMER FINANCE – 5.8% | |||
Consumer Finance – 5.8% | |||
Ally Financial, Inc. | 131,302 | 6,265,731 | |
American Express Co. | 245,923 | 44,221,874 | |
Atlanticus Holdings Corp. (a) | 2,672 | 171,836 | |
Capital One Financial Corp. | 162,082 | 23,782,292 | |
Credit Acceptance Corp. (a) | 3,139 | 1,693,679 | |
Curo Group Holdings Corp. | 6,735 | 96,513 | |
Discover Financial Services | 108,920 | 12,607,490 | |
Encore Capital Group, Inc. (a) | 9,056 | 584,112 | |
Enova International, Inc. (a) | 13,606 | 548,050 | |
FirstCash Holdings, Inc. | 15,119 | 1,053,794 | |
Green Dot Corp. Class A (a) | 17,181 | 544,810 | |
LendingClub Corp. (a) | 34,278 | 643,055 | |
LendingTree, Inc. (a) | 4,440 | 540,970 | |
Navient Corp. | 60,830 | 1,060,267 | |
Nelnet, Inc. Class A | 6,331 | 560,483 | |
OneMain Holdings, Inc. | 28,675 | 1,481,351 | |
Oportun Financial Corp. (a) | 5,934 | 106,871 | |
PRA Group, Inc. (a) | 17,098 | 795,057 | |
PROG Holdings, Inc. (a) | 20,717 | 824,744 | |
SLM Corp. | 101,912 | 1,869,066 | |
SoFi Technologies, Inc. (a) | 188,673 | 2,354,639 | |
Synchrony Financial | 207,178 | 8,823,711 | |
Upstart Holdings, Inc. (a) | 7,107 | 774,734 | |
World Acceptance Corp. (a) | 1,427 | 269,674 | |
TOTAL CONSUMER FINANCE | 111,674,803 | ||
DIVERSIFIED FINANCIAL SERVICES – 8.7% | |||
Multi-Sector Holdings – 7.9% | |||
Berkshire Hathaway, Inc. Class B (a) | 482,521 | 151,038,723 | |
Cannae Holdings, Inc. (a) | 29,710 | 887,438 | |
151,926,161 | |||
Other Diversified Financial Services – 0.8% | |||
Apollo Global Management, Inc. | 130,774 | 9,154,180 | |
Equitable Holdings, Inc. | 134,788 | 4,534,268 | |
Voya Financial, Inc. | 40,208 | 2,732,536 | |
16,420,984 | |||
Specialized Finance – 0.0% | |||
A-Mark Precious Metals, Inc. | 3,083 | 190,838 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 168,537,983 | ||
INSURANCE – 18.0% | |||
Insurance Brokers – 4.3% | |||
Aon PLC Class A | 82,189 | 22,720,327 | |
Arthur J Gallagher & Co. | 75,353 | 11,901,253 |
Semi-Annual Report | 32 |
Common Stocks – continued | |||
Shares | Value | ||
INSURANCE – continued | |||
Insurance Brokers – continued | |||
Brown & Brown, Inc. | 88,118 | $ 5,840,461 | |
BRP Group, Inc. Class A (a) | 20,045 | 611,773 | |
eHealth, Inc. (a) | 9,034 | 197,393 | |
GoHealth, Inc. Class A (a) | 18,510 | 51,088 | |
Goosehead Insurance, Inc. Class A | 7,088 | 698,735 | |
Hippo Holdings, Inc. (a) | 101,760 | 213,696 | |
Marsh & McLennan Cos., Inc. | 184,389 | 28,329,526 | |
Ryan Specialty Group Holdings, Inc. (a) | 25,918 | 969,592 | |
Selectquote, Inc. (a) | 21,366 | 157,895 | |
Willis Towers Watson PLC | 46,970 | 10,989,101 | |
82,680,840 | |||
Life & Health Insurance – 3.8% | |||
Aflac, Inc. | 231,857 | 14,565,257 | |
American Equity Investment Life Holding Co. | 30,625 | 1,259,912 | |
Brighthouse Financial, Inc. (a) | 30,485 | 1,659,908 | |
CNO Financial Group, Inc. | 48,009 | 1,197,344 | |
Genworth Financial, Inc. Class A (a) | 173,544 | 676,822 | |
Globe Life, Inc. | 35,690 | 3,651,087 | |
Independence Holding Co. | 1,757 | 100,061 | |
Lincoln National Corp. | 65,073 | 4,553,808 | |
MetLife, Inc. | 265,000 | 17,770,900 | |
National Western Life Group, Inc. Class A | 901 | 192,697 | |
Oscar Health, Inc. (a) | 15,448 | 103,502 | |
Primerica, Inc. | 14,390 | 2,220,953 | |
Principal Financial Group, Inc. | 97,143 | 7,097,268 | |
Prudential Financial, Inc. | 140,142 | 15,635,643 | |
Trupanion, Inc. (a) | 12,488 | 1,189,482 | |
Unum Group | 74,650 | 1,894,617 | |
73,769,261 | |||
Multi-line Insurance – 1.8% | |||
American Financial Group, Inc. | 26,229 | 3,417,114 | |
American International Group, Inc. | 311,069 | 17,964,235 | |
American National Group, Inc. | 2,940 | 555,043 | |
Assurant, Inc. | 21,506 | 3,279,880 | |
Horace Mann Educators Corp. | 10,908 | 414,613 | |
The Hartford Financial Services Group, Inc. | 126,259 | 9,074,234 | |
34,705,119 | |||
Property & Casualty Insurance – 7.4% | |||
Ambac Financial Group, Inc. (a) | 17,742 | 251,404 | |
AMERISAFE, Inc. | 8,228 | 432,135 | |
Arch Capital Group Ltd. (a) | 144,790 | 6,706,673 | |
Argo Group International Holdings Ltd. | 13,043 | 740,582 | |
Assured Guaranty Ltd. | 26,905 | 1,433,767 |
| |||
Shares | Value | ||
Axis Capital Holdings Ltd. | 28,031 | $ 1,597,206 | |
Chubb Ltd. | 159,752 | 31,515,875 | |
Cincinnati Financial Corp. | 55,935 | 6,590,821 | |
Donegal Group, Inc. Class A | 6,660 | 95,571 | |
Employers Holdings, Inc. | 6,239 | 243,945 | |
Erie Indemnity Co. Class A | 9,332 | 1,718,021 | |
Fidelity National Financial, Inc. | 98,207 | 4,944,722 | |
First American Financial Corp. | 39,973 | 2,978,388 | |
HCI Group, Inc. | 2,531 | 171,779 | |
James River Group Holdings Ltd. | 13,097 | 370,907 | |
Kemper Corp. | 23,427 | 1,405,152 | |
Kinsale Capital Group, Inc. | 7,878 | 1,578,121 | |
Lemonade, Inc. (a) | 13,650 | 435,845 | |
Loews Corp. | 80,363 | 4,794,457 | |
Markel Corp. (a) | 5,033 | 6,204,380 | |
MBIA, Inc. (a) | 18,138 | 247,946 | |
Mercury General Corp. | 10,569 | 577,702 | |
MetroMile, Inc. (a) | 27,412 | 45,504 | |
Old Republic International Corp. | 107,505 | 2,755,353 | |
Palomar Holdings, Inc. (a) | 8,866 | 467,682 | |
ProAssurance Corp. | 13,572 | 325,185 | |
RLI Corp. | 15,046 | 1,576,520 | |
Root, Inc. Class A (a) | 20,785 | 41,778 | |
Safety Insurance Group, Inc. | 3,083 | 253,823 | |
Selective Insurance Group, Inc. | 22,194 | 1,751,107 | |
State Auto Financial Corp. | 6,556 | 338,945 | |
Stewart Information Services Corp. | 7,616 | 544,011 | |
The Allstate Corp. | 107,999 | 13,032,239 | |
The Hanover Insurance Group, Inc. | 13,289 | 1,833,350 | |
The Progressive Corp. | 213,719 | 23,222,707 | |
The Travelers Cos., Inc. | 90,990 | 15,120,718 | |
United Fire Group, Inc. | 7,811 | 194,806 | |
Universal Insurance Holdings, Inc. | 10,260 | 176,882 | |
White Mountains Insurance Group Ltd. | 1,190 | 1,238,742 | |
WR Berkley Corp. | 52,357 | 4,424,167 | |
142,378,918 | |||
Reinsurance – 0.7% | |||
Alleghany Corp. (a) | 5,076 | 3,370,464 | |
Enstar Group Ltd. (a) | 3,948 | 1,046,536 | |
Everest Re Group Ltd. | 14,505 | 4,110,717 | |
Reinsurance Group of America, Inc. | 24,768 | 2,844,109 | |
RenaissanceRe Holdings Ltd. | 17,092 | 2,686,350 | |
SiriusPoint Ltd. (a) | 33,090 | 280,272 | |
14,338,448 | |||
TOTAL INSURANCE | 347,872,586 | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.2% | |||
Mortgage REITs – 1.2% | |||
AGNC Investment Corp. | 192,355 | 2,864,166 | |
Annaly Capital Management, Inc. | 526,107 | 4,156,245 |
33 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Mortgage REITs – continued | |||
Apollo Commercial Real Estate Finance, Inc. | 51,797 | $ 707,029 | |
Arbor Realty Trust, Inc. | 48,947 | 857,062 | |
Ares Commercial Real Estate Corp. | 16,554 | 243,178 | |
ARMOUR Residential REIT, Inc. | 30,607 | 287,094 | |
Blackstone Mortgage Trust, Inc. Class A | 51,347 | 1,613,323 | |
BrightSpire Capital, Inc. | 30,804 | 289,250 | |
Broadmark Realty Capital, Inc. | 48,845 | 458,166 | |
Chimera Investment Corp. | 87,446 | 1,267,967 | |
Dynex Capital, Inc. | 12,632 | 203,123 | |
Ellington Financial, Inc. | 19,128 | 339,904 | |
Franklin BSP Realty Trust, Inc. | 11,845 | 159,552 | |
Granite Point Mortgage Trust, Inc. | 18,329 | 221,781 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 28,157 | 1,167,952 | |
Invesco Mortgage Capital, Inc. | 101,769 | 272,741 | |
KKR Real Estate Finance Trust, Inc. | 12,761 | 272,320 | |
Ladder Capital Corp. | 41,710 | 495,932 | |
MFA Financial, Inc. | 141,314 | 654,284 | |
New Residential Investment Corp. | 169,403 | 1,804,142 | |
New York Mortgage Trust, Inc. | 136,792 | 512,970 | |
PennyMac Mortgage Investment Trust | 35,817 | 638,259 | |
Ready Capital Corp. | 20,525 | 292,276 | |
Redwood Trust, Inc. | 41,301 | 509,241 | |
Starwood Property Trust, Inc. | 105,755 | 2,617,436 | |
TPG RE Finance Trust, Inc. | 18,135 | 228,864 | |
Two Harbors Investment Corp. | 115,763 | 665,637 | |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 23,799,894 | ||
THRIFTS & MORTGAGE FINANCE – 1.1% | |||
Thrifts & Mortgage Finance – 1.1% | |||
Axos Financial, Inc. (a) | 19,150 | 986,225 | |
Capitol Federal Financial, Inc. | 47,858 | 532,660 | |
Columbia Financial, Inc. (a) | 18,623 | 394,249 | |
Essent Group Ltd. | 41,330 | 1,886,301 | |
Federal Agricultural Mortgage Corp. Class C | 3,491 | 425,204 | |
Flagstar Bancorp, Inc. | 18,547 | 839,252 |
| |||
Shares | Value | ||
Hingham Institution For Savings The | 636 | $ 246,660 | |
Kearny Financial Corp. | 30,248 | 391,409 | |
Luther Burbank Corp. | 7,032 | 90,221 | |
Merchants Bancorp | 6,279 | 183,033 | |
MGIC Investment Corp. | 125,471 | 1,904,650 | |
Mr. Cooper Group, Inc. (a) | 25,556 | 1,026,073 | |
New York Community Bancorp, Inc. | 170,849 | 1,992,099 | |
NMI Holdings, Inc. Class A (a) | 30,286 | 749,276 | |
Northfield Bancorp, Inc. | 16,797 | 264,721 | |
Northwest Bancshares, Inc. | 31,074 | 438,454 | |
PennyMac Financial Services, Inc. | 18,115 | 1,135,810 | |
Premier Financial Corp. | 14,552 | 434,377 | |
Provident Financial Services, Inc. | 27,885 | 673,980 | |
Radian Group, Inc. | 69,861 | 1,564,188 | |
Rocket Cos., Inc. Class A | 49,935 | 631,178 | |
TFS Financial Corp. | 21,762 | 378,224 | |
TrustCo Bank Corp. | 4,098 | 138,922 | |
UWM Holdings Corp. | 36,609 | 189,268 | |
Walker & Dunlop, Inc. | 11,077 | 1,466,706 | |
Washington Federal, Inc. | 28,506 | 998,280 | |
Waterstone Financial, Inc. | 10,296 | 210,244 | |
WSFS Financial Corp. | 21,473 | 1,124,756 | |
TOTAL THRIFTS & MORTGAGE FINANCE | 21,296,420 | ||
TOTAL COMMON STOCKS (Cost $1,588,980,035) | 1,927,035,645 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $4,259,001) | 4,259,001 | 4,259,001 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,593,239,036) | 1,931,294,646 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,605,478 | ||
NET ASSETS – 100.0% | $1,932,900,124 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 34 |
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) | 6 | March 2022 | $ 607,320 | $ (52,794) | $ (52,794) |
CME E-mini S&P Financial Select Sector Index Contracts (United States) | 41 | March 2022 | 4,923,588 | (74,431) | (74,431) |
Total Equity Index Contracts | $ (127,225) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,927,035,645 | $ 1,927,035,645 | $ — | $ — | |||||
Money Market Funds | 4,259,001 | 4,259,001 | — | — | |||||
Total Investments in Securities: | $ 1,931,294,646 | $ 1,931,294,646 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (127,225) | $ (127,225) | $ — | $ — | |||||
Total Liabilities | $ (127,225) | $ (127,225) | $ — | $ — | |||||
Total Derivative Instruments: | $ (127,225) | $ (127,225) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(127,225) | |
Total Equity Risk | 0 | (127,225) | |
Total Value of Derivatives | $0 | $(127,225) |
(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 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
BIOTECHNOLOGY – 17.3% | |||
Biotechnology – 17.3% | |||
2seventy bio, Inc. (a) | 10,892 | $ 203,354 | |
4D Molecular Therapeutics, Inc. (a) | 11,495 | 181,621 | |
AbbVie, Inc. | 843,992 | 115,534,065 | |
ACADIA Pharmaceuticals, Inc. (a) | 57,543 | 1,294,142 | |
Agenus, Inc. (a) | 93,924 | 259,230 | |
Agios Pharmaceuticals, Inc. (a) | 25,283 | 780,992 | |
Akebia Therapeutics, Inc. (a) | 75,090 | 149,429 | |
Akero Therapeutics, Inc. (a) | 7,365 | 129,035 | |
Albireo Pharma, Inc. (a) | 8,335 | 237,464 | |
Alder Biopharmaceuticals, Inc. (a)(b) | 22,547 | 19,841 | |
Alector, Inc. (a) | 24,561 | 389,537 | |
Aligos Therapeutics, Inc. (a) | 12,129 | 38,692 | |
Alkermes PLC (a) | 77,582 | 1,978,341 | |
Allakos, Inc. (a) | 15,341 | 103,705 | |
Allogene Therapeutics, Inc. (a) | 36,763 | 420,936 | |
Allovir, Inc. (a) | 17,003 | 138,745 | |
Alnylam Pharmaceuticals, Inc. (a) | 56,857 | 7,823,523 | |
ALX Oncology Holdings, Inc. (a) | 3,550 | 56,800 | |
Amgen, Inc. | 271,202 | 61,600,822 | |
Amicus Therapeutics, Inc. (a) | 103,009 | 969,315 | |
AnaptysBio, Inc. (a) | 8,462 | 270,530 | |
Anavex Life Sciences Corp. (a) | 34,274 | 448,304 | |
Anika Therapeutics, Inc. (a) | 6,672 | 212,170 | |
Annexon, Inc. (a) | 10,961 | 82,208 | |
Apellis Pharmaceuticals, Inc. (a) | 36,538 | 1,471,385 | |
Applied Molecular Transport, Inc. (a) | 5,078 | 47,835 | |
Applied Therapeutics, Inc. (a) | 8,937 | 27,526 | |
Arcturus Therapeutics Holdings, Inc. (a) | 10,125 | 264,566 | |
Arcus Biosciences, Inc. (a) | 18,520 | 570,416 | |
Arcutis Biotherapeutics, Inc. (a) | 11,798 | 178,268 | |
Arena Pharmaceuticals, Inc. (a) | 27,726 | 2,550,238 | |
Arrowhead Pharmaceuticals, Inc. (a) | 47,385 | 2,500,033 | |
Atara Biotherapeutics, Inc. (a) | 35,031 | 538,076 | |
Aurinia Pharmaceuticals, Inc. (a) | 52,009 | 866,470 | |
Avid Bioservices, Inc. (a) | 28,907 | 545,475 | |
Avidity Biosciences, Inc. (a) | 16,310 | 271,072 | |
Beam Therapeutics, Inc. (a) | 15,810 | 1,094,210 | |
BioAtla, Inc. (a) | 9,209 | 88,038 | |
BioCryst Pharmaceuticals, Inc. (a) | 86,107 | 1,330,353 | |
Biogen, Inc. (a) | 71,199 | 16,090,974 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 28,189 | 3,745,472 | |
BioMarin Pharmaceutical, Inc. (a) | 87,441 | 7,749,896 | |
Bioxcel Therapeutics, Inc. (a) | 9,134 | 154,365 | |
Bluebird Bio, Inc. (a) | 32,676 | 257,814 | |
Blueprint Medicines Corp. (a) | 26,499 | 2,043,073 | |
Bolt Biotherapeutics, Inc. (a) | 6,046 | 23,217 |
| |||
Shares | Value | ||
Bridgebio Pharma, Inc. (a) | 32,344 | $ 319,235 | |
C4 Therapeutics, Inc. (a) | 5,911 | 144,406 | |
CareDx, Inc. (a) | 24,973 | 1,043,871 | |
Caribou Biosciences, Inc. (a) | 11,432 | 122,665 | |
Catalyst Pharmaceuticals, Inc. (a) | 44,864 | 258,417 | |
Celldex Therapeutics, Inc. (a) | 18,064 | 560,165 | |
CEL-SCI Corp. (a) | 19,261 | 116,336 | |
Cerevel Therapeutics Holdings, Inc. (a) | 21,020 | 547,361 | |
ChemoCentryx, Inc. (a) | 23,291 | 626,295 | |
Chimerix, Inc. (a) | 33,266 | 189,949 | |
Clovis Oncology, Inc. (a) | 56,125 | 114,495 | |
Coherus Biosciences, Inc. (a) | 29,281 | 361,913 | |
Cortexyme, Inc. (a) | 7,715 | 46,907 | |
Crinetics Pharmaceuticals, Inc. (a) | 15,366 | 290,264 | |
CRISPR Therapeutics AG (a) | 29,281 | 1,866,664 | |
Cue Biopharma, Inc. (a) | 14,562 | 107,613 | |
Cullinan Management, Inc. (a) | 7,730 | 104,200 | |
Curis, Inc. (a) | 32,463 | 103,557 | |
Cytokinetics, Inc. (a) | 35,916 | 1,192,052 | |
Deciphera Pharmaceuticals, Inc. (a) | 19,174 | 161,637 | |
Denali Therapeutics, Inc. (a) | 37,998 | 1,300,292 | |
DermTech, Inc. (a) | 8,187 | 104,876 | |
Dynavax Technologies Corp. (a) | 55,633 | 721,560 | |
Dyne Therapeutics, Inc. (a) | 10,986 | 81,516 | |
Eagle Pharmaceuticals, Inc. (a) | 5,323 | 244,539 | |
Editas Medicine, Inc. (a) | 32,449 | 617,829 | |
Emergent BioSolutions, Inc. (a) | 23,598 | 1,104,386 | |
Enanta Pharmaceuticals, Inc. (a) | 8,907 | 529,254 | |
Epizyme, Inc. (a) | 34,447 | 42,370 | |
Erasca, Inc. (a) | 11,554 | 136,915 | |
Essa Pharma, Inc. (a) | 10,074 | 93,789 | |
Exact Sciences Corp. (a) | 82,241 | 6,279,923 | |
Exelixis, Inc. (a) | 150,074 | 2,716,339 | |
Fate Therapeutics, Inc. (a) | 36,543 | 1,516,900 | |
FibroGen, Inc. (a) | 39,150 | 590,774 | |
Forma Therapeutics Holdings, Inc. (a) | 7,916 | 93,725 | |
G1 Therapeutics, Inc. (a) | 13,452 | 135,596 | |
Generation Bio Co. (a) | 17,189 | 111,729 | |
Geron Corp. (a) | 113,476 | 127,093 | |
Gilead Sciences, Inc. | 598,812 | 41,126,408 | |
Global Blood Therapeutics, Inc. (a) | 26,704 | 770,410 | |
Gossamer Bio, Inc. (a) | 24,899 | 238,781 | |
Halozyme Therapeutics, Inc. (a) | 64,549 | 2,234,041 | |
Heron Therapeutics, Inc. (a) | 46,162 | 402,071 | |
Homology Medicines, Inc. (a) | 17,781 | 66,145 | |
Horizon Therapeutics PLC (a) | 102,341 | 9,551,486 | |
Humacyte, Inc. (a) | 24,543 | 132,041 | |
Humanigen, Inc. (a) | 22,648 | 58,432 | |
Icosavax, Inc. (a) | 5,632 | 85,944 |
Semi-Annual Report | 36 |
Common Stocks – continued | |||
Shares | Value | ||
BIOTECHNOLOGY – continued | |||
Biotechnology – continued | |||
Ideaya Biosciences, Inc. (a) | 12,812 | $ 212,295 | |
IGM Biosciences, Inc. (a) | 3,543 | 62,711 | |
Imago Biosciences, Inc. (a) | 5,577 | 112,767 | |
ImmunityBio, Inc. (a) | 36,638 | 213,233 | |
ImmunoGen, Inc. (a) | 95,201 | 537,886 | |
Immunovant, Inc. (a) | 20,372 | 142,400 | |
Incyte Corp. (a) | 89,664 | 6,664,725 | |
Inhibrx, Inc. (a) | 4,547 | 120,768 | |
Inovio Pharmaceuticals, Inc. (a) | 99,523 | 412,025 | |
Insmed, Inc. (a) | 55,149 | 1,250,779 | |
Intellia Therapeutics, Inc. (a) | 31,527 | 2,981,508 | |
Intercept Pharmaceuticals, Inc. (a) | 14,313 | 234,590 | |
Invitae Corp. (a) | 93,218 | 1,047,770 | |
Ionis Pharmaceuticals, Inc. (a) | 60,689 | 1,929,910 | |
Iovance Biotherapeutics, Inc. (a) | 59,899 | 997,318 | |
Ironwood Pharmaceuticals, Inc. (a) | 73,383 | 818,220 | |
iTeos Therapeutics, Inc. (a) | 6,711 | 245,757 | |
IVERIC bio, Inc. (a) | 34,696 | 483,662 | |
Karuna Therapeutics, Inc. (a) | 9,839 | 1,092,719 | |
Karyopharm Therapeutics, Inc. (a) | 32,380 | 288,182 | |
Keros Therapeutics, Inc. (a) | 6,060 | 281,002 | |
Kiniksa Pharmaceuticals Ltd. Class A (a) | 11,440 | 128,471 | |
Kinnate Biopharma, Inc. (a) | 5,169 | 56,756 | |
Kodiak Sciences, Inc. (a) | 14,768 | 866,882 | |
Kronos Bio, Inc. (a) | 7,986 | 72,673 | |
Krystal Biotech, Inc. (a) | 8,297 | 489,523 | |
Kura Oncology, Inc. (a) | 26,461 | 372,836 | |
Kymera Therapeutics, Inc. (a) | 13,492 | 566,664 | |
Lexicon Pharmaceuticals, Inc. (a) | 27,429 | 86,950 | |
Ligand Pharmaceuticals, Inc. (a) | 8,021 | 999,657 | |
MacroGenics, Inc. (a) | 22,920 | 283,062 | |
Madrigal Pharmaceuticals, Inc. (a) | 4,923 | 283,466 | |
MannKind Corp. (a) | 112,401 | 419,256 | |
MeiraGTx Holdings PLC (a) | 10,507 | 157,500 | |
Mersana Therapeutics, Inc. (a) | 26,905 | 128,337 | |
Merus N.V. (a) | 13,235 | 325,713 | |
MiMedx Group, Inc. (a) | 34,891 | 173,059 | |
Mirati Therapeutics, Inc. (a) | 17,179 | 2,049,455 | |
Moderna, Inc. (a) | 163,862 | 27,746,752 | |
Monte Rosa Therapeutics, Inc. (a) | 5,526 | 69,959 | |
Morphic Holding, Inc. (a) | 8,551 | 362,819 | |
Myovant Sciences Ltd. (a) | 17,552 | 229,229 | |
Myriad Genetics, Inc. (a) | 37,882 | 995,918 | |
Natera, Inc. (a) | 40,232 | 2,842,391 | |
Neurocrine Biosciences, Inc. (a) | 45,120 | 3,565,382 | |
Nkarta, Inc. (a) | 5,668 | 56,170 | |
Novavax, Inc. (a) | 33,706 | 3,158,252 | |
Nurix Therapeutics, Inc. (a) | 9,490 | 176,704 |
| |||
Shares | Value | ||
Ocugen, Inc. (a) | 94,594 | $ 335,809 | |
Olema Pharmaceuticals, Inc. (a) | 4,713 | 30,305 | |
Opko Health, Inc. (a) | 211,961 | 663,438 | |
Organogenesis Holdings, Inc. (a) | 15,193 | 116,834 | |
ORIC Pharmaceuticals, Inc. (a) | 13,329 | 131,824 | |
Passage Bio, Inc. (a) | 11,367 | 57,176 | |
PMV Pharmaceuticals, Inc. (a) | 5,318 | 85,407 | |
Point Biopharma Global, Inc. (a) | 17,180 | 110,811 | |
Praxis Precision Medicines, Inc. (a) | 10,361 | 153,964 | |
Preciden, Inc. (a) | 43,334 | 111,802 | |
Precision BioSciences, Inc. (a) | 21,731 | 103,657 | |
Prelude Therapeutics, Inc. (a) | 6,475 | 64,297 | |
Prometheus Biosciences, Inc. (a) | 5,557 | 199,663 | |
Protagonist Therapeutics, Inc. (a) | 20,394 | 597,340 | |
Prothena Corp. PLC (a) | 15,402 | 524,900 | |
PTC Therapeutics, Inc. (a) | 30,118 | 1,211,346 | |
Radius Health, Inc. (a) | 18,921 | 143,421 | |
Rapt Therapeutics, Inc. (a) | 8,885 | 192,094 | |
Recursion Pharmaceuticals, Inc. (a) | 18,946 | 224,321 | |
Regeneron Pharmaceuticals, Inc. (a) | 50,198 | 30,550,001 | |
REGENXBIO, Inc. (a) | 15,072 | 397,901 | |
Relay Therapeutics, Inc. (a) | 20,114 | 445,123 | |
Repare Therapeutics, Inc. (a) | 7,828 | 120,786 | |
Replimune Group, Inc. (a) | 9,931 | 196,932 | |
REVOLUTION Medicines, Inc. (a) | 23,183 | 498,898 | |
Rhythm Pharmaceuticals, Inc. (a) | 16,569 | 122,776 | |
Rigel Pharmaceuticals, Inc. (a) | 78,920 | 202,035 | |
Rocket Pharmaceuticals, Inc. (a) | 18,185 | 302,598 | |
Rubius Therapeutics, Inc. (a) | 19,181 | 129,472 | |
Sage Therapeutics, Inc. (a) | 25,641 | 1,010,768 | |
Sana Biotechnology, Inc. (a) | 17,909 | 156,883 | |
Sangamo Therapeutics, Inc. (a) | 58,722 | 354,094 | |
Sarepta Therapeutics, Inc. (a) | 36,270 | 2,595,844 | |
Scholar Rock Holding Corp. (a) | 11,311 | 201,449 | |
Seagen, Inc. (a) | 65,071 | 8,752,700 | |
Seres Therapeutics, Inc. (a) | 32,518 | 271,200 | |
Shattuck Labs, Inc. (a) | 6,951 | 48,031 | |
Sorrento Therapeutics, Inc. (a) | 135,124 | 466,178 | |
SpringWorks Therapeutics, Inc. (a) | 9,398 | 523,281 | |
Stoke Therapeutics, Inc. (a) | 6,089 | 115,387 | |
Sutro Biopharma, Inc. (a) | 15,252 | 162,891 | |
Syndax Pharmaceuticals, Inc. (a) | 17,993 | 294,006 | |
Tango Therapeutics, Inc. (a) | 18,759 | 160,014 | |
Taysha Gene Therapies, Inc. (a) | 8,068 | 64,141 | |
TG Therapeutics, Inc. (a) | 57,509 | 665,379 | |
Travere Therapeutics, Inc. (a) | 26,424 | 726,660 | |
Turning Point Therapeutics, Inc. (a) | 19,749 | 735,255 | |
Twist Bioscience Corp. (a) | 21,064 | 1,251,623 | |
Ultragenyx Pharmaceutical, Inc. (a) | 30,926 | 2,162,655 | |
uniQure N.V. (a) | 16,808 | 303,384 | |
United Therapeutics Corp. (a) | 21,466 | 4,333,341 |
37 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BIOTECHNOLOGY – continued | |||
Biotechnology – continued | |||
Vanda Pharmaceuticals, Inc. (a) | 26,239 | $ 397,783 | |
Vaxart, Inc. (a) | 58,346 | 288,813 | |
Vaxcyte, Inc. (a) | 9,683 | 184,364 | |
VBI Vaccines, Inc. (a) | 89,549 | 152,233 | |
Veracyte, Inc. (a) | 33,766 | 1,026,824 | |
Vericel Corp. (a) | 19,347 | 688,366 | |
Vertex Pharmaceuticals, Inc. (a) | 123,902 | 30,114,381 | |
Verve Therapeutics, Inc. (a) | 8,005 | 230,704 | |
Viking Therapeutics, Inc. (a) | 32,605 | 120,965 | |
Vir Biotechnology, Inc. (a) | 31,027 | 1,065,157 | |
XBiotech, Inc. | 8,688 | 93,570 | |
Xencor, Inc. (a) | 24,915 | 856,329 | |
Xenon Pharmaceuticals, Inc. (a) | 18,839 | 510,914 | |
Y-mAbs Therapeutics, Inc. (a) | 12,348 | 122,122 | |
Zentalis Pharmaceuticals, Inc. (a) | 10,735 | 612,754 | |
ZIOPHARM Oncology, Inc. (a) | 103,316 | 111,581 | |
Zymeworks, Inc. (a) | 17,532 | 156,035 | |
TOTAL BIOTECHNOLOGY | 482,131,792 | ||
HEALTH CARE EQUIPMENT & SUPPLIES – 24.1% | |||
Health Care Equipment – 22.4% | |||
Abbott Laboratories | 846,686 | 107,918,597 | |
ABIOMED, Inc. (a) | 21,714 | 6,424,521 | |
Accelerate Diagnostics, Inc. (a) | 14,915 | 49,667 | |
Alphatec Holdings, Inc. (a) | 30,348 | 313,798 | |
AngioDynamics, Inc. (a) | 18,834 | 407,379 | |
Aspira Women's Health, Inc. (a) | 23,882 | 28,897 | |
AtriCure, Inc. (a) | 20,715 | 1,359,733 | |
AxoGen, Inc. (a) | 18,340 | 159,741 | |
Axonics, Inc. (a) | 16,770 | 795,401 | |
Baxter International, Inc. | 238,754 | 20,399,142 | |
Becton Dickinson and Co. | 137,160 | 34,857,842 | |
Boston Scientific Corp. (a) | 680,023 | 29,172,987 | |
Butterfly Network, Inc. (a) | 51,892 | 300,974 | |
Cardiovascular Systems, Inc. (a) | 18,913 | 332,301 | |
CONMED Corp. | 13,856 | 1,906,309 | |
CryoLife, Inc. (a) | 18,835 | 335,263 | |
CryoPort, Inc. (a) | 17,441 | 728,511 | |
Cutera, Inc. (a) | 7,268 | 264,628 | |
Danaher Corp. | 306,859 | 87,697,234 | |
DexCom, Inc. (a) | 46,210 | 19,892,481 | |
Edwards Lifesciences Corp. (a) | 297,697 | 32,508,512 | |
Envista Holdings Corp. (a) | 76,767 | 3,319,405 | |
Glaukos Corp. (a) | 22,086 | 1,175,859 | |
Globus Medical, Inc. Class A (a) | 37,501 | 2,502,442 | |
Heska Corp. (a) | 4,891 | 672,904 | |
Hologic, Inc. (a) | 121,195 | 8,512,737 | |
IDEXX Laboratories, Inc. (a) | 40,632 | 20,612,614 | |
Inari Medical, Inc. (a) | 9,733 | 715,959 |
| |||
Shares | Value | ||
Inogen, Inc. (a) | 9,128 | $ 271,375 | |
Insulet Corp. (a) | 32,955 | 8,172,840 | |
Integer Holdings Corp. (a) | 15,902 | 1,246,876 | |
Integra LifeSciences Holdings Corp. (a) | 34,502 | 2,233,660 | |
Intersect ENT, Inc. (a) | 14,771 | 404,725 | |
Intuitive Surgical, Inc. (a) | 170,488 | 48,449,280 | |
iRhythm Technologies, Inc. (a) | 14,181 | 1,770,214 | |
LeMaitre Vascular, Inc. | 9,207 | 389,548 | |
LivaNova PLC (a) | 25,355 | 1,904,414 | |
Masimo Corp. (a) | 24,932 | 5,481,799 | |
Medtronic PLC | 642,583 | 66,500,915 | |
Mesa Laboratories, Inc. | 2,451 | 696,893 | |
Natus Medical, Inc. (a) | 16,691 | 384,561 | |
Nevro Corp. (a) | 15,996 | 1,050,937 | |
Novocure Ltd. (a) | 44,409 | 3,048,678 | |
NuVasive, Inc. (a) | 24,957 | 1,298,014 | |
Ortho Clinical Diagnostics Holdings PLC (a) | 56,028 | 972,646 | |
Orthofix Medical, Inc. (a) | 9,861 | 299,774 | |
Outset Medical, Inc. (a) | 19,094 | 710,106 | |
Penumbra, Inc. (a) | 16,661 | 3,765,553 | |
ResMed, Inc. | 69,590 | 15,908,274 | |
Senseonics Holdings, Inc. (a) | 172,774 | 463,034 | |
Shockwave Medical, Inc. (a) | 15,223 | 2,206,878 | |
SI-BONE, Inc. (a) | 12,301 | 242,330 | |
Sight Sciences, Inc. (a) | 5,632 | 82,396 | |
Steris PLC | 47,698 | 10,703,431 | |
Stryker Corp. | 162,089 | 40,206,176 | |
Surmodics, Inc. (a) | 6,516 | 297,651 | |
Tactile Systems Technology, Inc. (a) | 9,398 | 148,206 | |
Tandem Diabetes Care, Inc. (a) | 30,107 | 3,555,938 | |
Teleflex, Inc. | 22,385 | 6,943,603 | |
TransMedics Group, Inc. (a) | 11,694 | 185,584 | |
Treace Medical Concepts, Inc. (a) | 7,545 | 136,866 | |
Vapotherm, Inc. (a) | 8,006 | 129,457 | |
Varex Imaging Corp. (a) | 18,667 | 487,209 | |
ViewRay, Inc. (a) | 57,146 | 248,585 | |
Zimmer Biomet Holdings, Inc. | 99,819 | 12,279,733 | |
Zomedica Corp. (a) | 427,527 | 133,089 | |
Zynex, Inc. | 11,673 | 92,450 | |
626,869,536 | |||
Health Care Supplies – 1.7% | |||
Align Technology, Inc. (a) | 35,866 | 17,752,235 | |
Atrion Corp. | 701 | 424,392 | |
Avanos Medical, Inc. (a) | 22,819 | 690,503 | |
BioLife Solutions, Inc. (a) | 11,564 | 345,070 | |
Cerus Corp. (a) | 82,426 | 441,803 | |
DENTSPLY SIRONA, Inc. | 104,384 | 5,576,193 | |
Establishment Labs Holdings, Inc. (a) | 8,995 | 470,798 | |
Figs, Inc. Class A (a) | 14,403 | 323,779 |
Semi-Annual Report | 38 |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE EQUIPMENT & SUPPLIES – continued | |||
Health Care Supplies – continued | |||
Haemonetics Corp. (a) | 24,484 | $ 1,183,801 | |
ICU Medical, Inc. (a) | 9,671 | 2,063,405 | |
Lantheus Holdings, Inc. (a) | 32,809 | 833,677 | |
Meridian Bioscience, Inc. (a) | 19,470 | 405,950 | |
Merit Medical Systems, Inc. (a) | 24,166 | 1,340,005 | |
Neogen Corp. (a) | 51,200 | 1,867,264 | |
OraSure Technologies, Inc. (a) | 33,637 | 297,688 | |
OrthoPediatrics Corp. (a) | 6,491 | 306,959 | |
Pulmonx Corp. (a) | 9,340 | 227,429 | |
Quidel Corp. (a) | 17,857 | 1,845,700 | |
Silk Road Medical, Inc. (a) | 15,855 | 520,203 | |
SmileDirectClub, Inc. (a) | 48,549 | 124,285 | |
STAAR Surgical Co. (a) | 18,196 | 1,323,213 | |
The Cooper Cos., Inc. | 23,554 | 9,381,558 | |
47,745,910 | |||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 674,615,446 | ||
HEALTH CARE PROVIDERS & SERVICES – 20.5% | |||
Health Care Distributors – 1.6% | |||
AdaptHealth Corp. (a) | 36,960 | 698,544 | |
AmerisourceBergen Corp. | 74,471 | 10,142,950 | |
Cardinal Health, Inc. | 138,450 | 7,139,866 | |
Covetrus, Inc. (a) | 49,922 | 902,091 | |
Henry Schein, Inc. (a) | 66,557 | 5,011,742 | |
McKesson Corp. | 73,877 | 18,965,703 | |
Owens & Minor, Inc. | 34,070 | 1,434,006 | |
Patterson Cos., Inc. | 42,269 | 1,212,698 | |
PetIQ, Inc. (a) | 11,508 | 235,224 | |
45,742,824 | |||
Health Care Facilities – 1.8% | |||
Acadia Healthcare Co., Inc. (a) | 40,640 | 2,139,696 | |
Brookdale Senior Living, Inc. (a) | 88,604 | 468,715 | |
Cano Health, Inc. (a) | 83,071 | 480,150 | |
Community Health Systems, Inc. (a) | 54,701 | 694,156 | |
Encompass Health Corp. | 47,617 | 2,954,159 | |
Hanger, Inc. (a) | 18,275 | 331,326 | |
HCA Healthcare, Inc. | 122,319 | 29,362,676 | |
National HealthCare Corp. | 6,303 | 412,216 | |
Select Medical Holdings Corp. | 50,980 | 1,184,265 | |
Surgery Partners, Inc. (a) | 16,009 | 683,104 | |
Tenet Healthcare Corp. (a) | 43,392 | 3,216,215 | |
The Ensign Group, Inc. | 24,988 | 1,884,845 | |
The Joint Corp. (a) | 6,731 | 363,743 | |
The Pennant Group, Inc. (a) | 12,525 | 208,166 | |
Universal Health Services, Inc. Class B | 36,155 | 4,702,319 | |
US Physical Therapy, Inc. | 6,252 | 605,006 | |
49,690,757 |
| |||
Shares | Value | ||
Health Care Services – 5.6% | |||
1Life Healthcare, Inc. (a) | 39,000 | $ 435,240 | |
Accolade, Inc. (a) | 17,317 | 330,755 | |
Addus HomeCare Corp. (a) | 7,493 | 598,166 | |
Agiliti, Inc. (a) | 15,533 | 297,146 | |
Amedisys, Inc. (a) | 15,545 | 2,100,130 | |
AMN Healthcare Services, Inc. (a) | 22,650 | 2,295,351 | |
Apollo Medical Holdings, Inc. (a) | 14,528 | 747,902 | |
Apria, Inc. (a) | 8,422 | 315,067 | |
Aveanna Healthcare Holdings, Inc. (a) | 21,941 | 120,456 | |
Castle Biosciences, Inc. (a) | 9,420 | 407,415 | |
Chemed Corp. | 7,497 | 3,515,418 | |
Cigna Corp. | 162,432 | 37,434,079 | |
CorVel Corp. (a) | 4,652 | 819,310 | |
Cross Country Healthcare, Inc. (a) | 17,206 | 370,101 | |
CVS Health Corp. | 630,220 | 67,124,732 | |
DaVita, Inc. (a) | 32,456 | 3,517,257 | |
Fulgent Genetics, Inc. (a) | 9,340 | 596,546 | |
Guardant Health, Inc. (a) | 41,071 | 2,856,488 | |
Hims & Hers Health, Inc. (a) | 38,925 | 189,954 | |
Laboratory Corp. of America Holdings (a) | 46,076 | 12,503,183 | |
LHC Group, Inc. (a) | 14,387 | 1,785,427 | |
MEDNAX, Inc. (a) | 37,689 | 921,496 | |
ModivCare, Inc. (a) | 6,069 | 703,579 | |
National Research Corp. | 6,745 | 280,592 | |
Oak Street Health, Inc. (a) | 46,192 | 802,817 | |
Option Care Health, Inc. (a) | 60,160 | 1,405,939 | |
Premier, Inc. Class A | 58,495 | 2,235,679 | |
Privia Health Group, Inc. (a) | 10,079 | 214,481 | |
Quest Diagnostics, Inc. | 58,432 | 7,889,489 | |
R1 RCM, Inc. (a) | 59,803 | 1,422,115 | |
RadNet, Inc. (a) | 21,235 | 546,801 | |
Signify Health, Inc. (a) | 12,011 | 160,107 | |
Tivity Health, Inc. (a) | 18,614 | 473,540 | |
155,416,758 | |||
Managed Health Care – 11.5% | |||
Alignment Healthcare, Inc. (a) | 17,850 | 135,660 | |
Anthem, Inc. | 116,444 | 51,350,640 | |
Centene Corp. (a) | 278,458 | 21,652,894 | |
Clover Health Investments Corp. (a) | 141,744 | 365,700 | |
HealthEquity, Inc. (a) | 39,878 | 2,131,080 | |
Humana, Inc. | 61,373 | 24,088,902 | |
Molina Healthcare, Inc. (a) | 27,870 | 8,095,678 | |
Progyny, Inc. (a) | 25,336 | 1,026,108 | |
Triple-S Management Corp. Class B (a) | 11,651 | 419,319 | |
UnitedHealth Group, Inc. | 450,332 | 212,813,393 | |
322,079,374 | |||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 572,929,713 |
39 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE TECHNOLOGY – 1.8% | |||
Health Care Technology – 1.8% | |||
Allscripts Healthcare Solutions, Inc. (a) | 59,576 | $ 1,204,627 | |
American Well Corp. Class A (a) | 24,492 | 115,847 | |
Cerner Corp. | 141,172 | 12,874,886 | |
Certara, Inc. (a) | 41,320 | 1,104,484 | |
Change Healthcare, Inc. (a) | 111,211 | 2,188,632 | |
Computer Programs & Systems, Inc. (a) | 6,768 | 191,670 | |
Evolent Health, Inc. Class A (a) | 41,961 | 994,895 | |
Health Catalyst, Inc. (a) | 20,598 | 614,850 | |
HealthStream, Inc. (a) | 12,052 | 293,466 | |
Inspire Medical Systems, Inc. (a) | 12,981 | 2,872,565 | |
Multiplan Corp. (a) | 63,558 | 256,139 | |
NextGen Healthcare, Inc. (a) | 27,287 | 526,912 | |
Omnicell, Inc. (a) | 20,730 | 3,112,402 | |
OptimizeRx Corp. (a) | 7,521 | 337,919 | |
Phreesia, Inc. (a) | 21,721 | 677,478 | |
Schrodinger, Inc. (a) | 23,415 | 663,815 | |
Sema4 Holdings Corp. (a) | 51,509 | 176,161 | |
Simulations Plus, Inc. | 7,621 | 324,045 | |
Tabula Rasa HealthCare, Inc. (a) | 11,133 | 120,125 | |
Teladoc Health, Inc. (a) | 68,291 | 5,238,603 | |
Veeva Systems, Inc. Class A (a) | 66,007 | 15,613,296 | |
Vocera Communications, Inc. (a) | 16,499 | 1,303,586 | |
TOTAL HEALTH CARE TECHNOLOGY | 50,806,403 | ||
LIFE SCIENCES TOOLS & SERVICES – 10.1% | |||
Life Sciences Tools & Services – 10.1% | |||
10X Genomics, Inc. Class A (a) | 36,701 | 3,533,205 | |
23andMe Holding Co. (a) | 28,657 | 133,828 | |
Adaptive Biotechnologies Corp. (a) | 43,425 | 757,332 | |
Agilent Technologies, Inc. | 144,711 | 20,161,137 | |
Avantor, Inc. (a) | 250,728 | 9,359,676 | |
Bionano Genomics, Inc. (a) | 132,387 | 293,899 | |
Bio-Rad Laboratories, Inc. Class A (a) | 10,641 | 6,381,727 | |
Bio-Techne Corp. | 18,677 | 7,030,210 | |
Bruker Corp. | 50,613 | 3,370,826 | |
Charles River Laboratories International, Inc. (a) | 24,036 | 7,926,111 | |
Codexis, Inc. (a) | 27,984 | 573,672 | |
Fluidigm Corp. (a) | 34,487 | 112,772 | |
Illumina, Inc. (a) | 70,063 | 24,439,376 | |
IQVIA Holdings, Inc. (a) | 91,512 | 22,411,289 | |
Maravai LifeSciences Holdings, Inc. Class A (a) | 53,288 | 1,541,089 | |
MaxCyte, Inc. (a) | 31,104 | 200,932 | |
Medpace Holdings, Inc. (a) | 13,778 | 2,445,044 | |
Mettler-Toledo International, Inc. (a) | 11,048 | 16,270,169 |
| |||
Shares | Value | ||
NanoString Technologies, Inc. (a) | 21,715 | $ 753,945 | |
NeoGenomics, Inc. (a) | 55,602 | 1,253,269 | |
Pacific Biosciences of California, Inc. (a) | 89,932 | 1,005,440 | |
PerkinElmer, Inc. | 53,471 | 9,206,102 | |
Personalis, Inc. (a) | 15,581 | 177,468 | |
Quanterix Corp. (a) | 14,101 | 429,234 | |
Quantum-Si, Inc. (a) | 38,851 | 186,096 | |
Repligen Corp. (a) | 24,891 | 4,936,881 | |
Seer, Inc. (a) | 14,864 | 233,811 | |
Sotera Health Co. (a) | 40,328 | 867,455 | |
Syneos Health, Inc. (a) | 49,514 | 4,483,988 | |
Thermo Fisher Scientific, Inc. | 187,894 | 109,222,782 | |
Waters Corp. (a) | 29,265 | 9,368,312 | |
West Pharmaceutical Services, Inc. | 35,352 | 13,901,113 | |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 282,968,190 | ||
PHARMACEUTICALS – 25.9% | |||
Pharmaceuticals – 25.9% | |||
Aclaris Therapeutics, Inc. (a) | 20,975 | 229,047 | |
Aerie Pharmaceuticals, Inc. (a) | 21,131 | 155,524 | |
Amneal Pharmaceuticals, Inc. (a) | 45,653 | 202,243 | |
Amphastar Pharmaceuticals, Inc. (a) | 18,624 | 430,028 | |
ANI Pharmaceuticals, Inc. (a) | 5,432 | 219,561 | |
Antares Pharma, Inc. (a) | 74,581 | 251,338 | |
Arvinas, Inc. (a) | 17,534 | 1,253,506 | |
Atea Pharmaceuticals, Inc. (a) | 7,865 | 56,156 | |
Axsome Therapeutics, Inc. (a) | 11,530 | 316,383 | |
BioDelivery Sciences International, Inc. (a) | 39,592 | 144,907 | |
Bristol-Myers Squibb Co. | 1,061,267 | 68,865,616 | |
Cara Therapeutics, Inc. (a) | 18,940 | 219,325 | |
Cassava Sciences, Inc. (a) | 18,139 | 802,651 | |
Catalent, Inc. (a) | 81,412 | 8,461,149 | |
Collegium Pharmaceutical, Inc. (a) | 14,771 | 263,662 | |
Corcept Therapeutics, Inc. (a) | 52,872 | 992,407 | |
Elanco Animal Health, Inc. (a) | 203,024 | 5,286,745 | |
Eli Lilly & Co. | 388,329 | 95,292,053 | |
Endo International PLC (a) | 109,285 | 348,619 | |
Fulcrum Therapeutics, Inc. (a) | 12,176 | 148,060 | |
Harmony Biosciences Holdings, Inc. (a) | 8,102 | 290,538 | |
Innoviva, Inc. (a) | 29,806 | 477,790 | |
Intra-Cellular Therapies, Inc. (a) | 38,998 | 1,852,015 | |
Jazz Pharmaceuticals PLC (a) | 29,211 | 4,057,700 | |
Johnson & Johnson | 1,257,257 | 216,612,808 | |
Merck & Co., Inc. | 1,208,968 | 98,506,713 | |
Nektar Therapeutics (a) | 87,197 | 969,631 | |
NGM Biopharmaceuticals, Inc. (a) | 14,557 | 230,146 | |
Nuvation Bio, Inc. (a) | 51,650 | 315,065 | |
Ocular Therapeutix, Inc. (a) | 34,671 | 196,238 |
Semi-Annual Report | 40 |
Common Stocks – continued | |||
Shares | Value | ||
PHARMACEUTICALS – continued | |||
Pharmaceuticals – continued | |||
Omeros Corp. (a) | 28,482 | $ 170,892 | |
Oramed Pharmaceuticals, Inc. (a) | 13,944 | 124,938 | |
Organon & Co. | 121,580 | 3,879,618 | |
Pacira BioSciences, Inc. (a) | 21,128 | 1,326,205 | |
Perrigo Co. PLC | 64,057 | 2,438,650 | |
Pfizer, Inc. | 2,677,719 | 141,089,014 | |
Phathom Pharmaceuticals, Inc. (a) | 6,688 | 112,358 | |
Phibro Animal Health Corp. Class A | 10,052 | 194,004 | |
Pliant Therapeutics, Inc. (a) | 6,150 | 72,139 | |
Prestige Consumer Healthcare, Inc. (a) | 24,184 | 1,365,187 | |
Provention Bio, Inc. (a) | 22,622 | 121,254 | |
Reata Pharmaceuticals, Inc. Class A (a) | 12,813 | 360,302 | |
Relmada Therapeutics, Inc. (a) | 11,304 | 207,881 | |
Revance Therapeutics, Inc. (a) | 32,198 | 429,199 | |
Royalty Pharma PLC Class A | 163,468 | 6,540,355 | |
SIGA Technologies, Inc. (a) | 21,874 | 142,400 | |
Supernus Pharmaceuticals, Inc. (a) | 25,645 | 791,148 | |
Theravance Biopharma, Inc. (a) | 25,575 | 232,988 | |
Tilray, Inc. Class 2 (a) | 221,305 | 1,318,978 | |
Viatris, Inc. | 576,694 | 8,633,109 |
| |||
Shares | Value | ||
Zoetis, Inc. | 226,353 | $ 45,223,066 | |
Zogenix, Inc. (a) | 23,800 | 619,038 | |
TOTAL PHARMACEUTICALS | 722,840,347 | ||
TOTAL COMMON STOCKS (Cost $2,164,670,929) | 2,786,291,891 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $3,894,000) | 3,894,000 | 3,894,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $2,168,564,929) | 2,790,185,891 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 4,071,237 | ||
NET ASSETS – 100.0% | $2,794,257,128 |
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 | March 2022 | $ 708,540 | $ (66,892) | $ (66,892) |
CME E-mini S&P Health Care Select Sector Index Contracts (United States) | 53 | March 2022 | 7,018,790 | (264,156) | (264,156) |
Total Equity Index Contracts | $ (331,048) |
41 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,786,291,891 | $ 2,786,272,050 | $ — | $ 19,841 | |||||
Money Market Funds | 3,894,000 | 3,894,000 | — | — | |||||
Total Investments in Securities: | $ 2,790,185,891 | $ 2,790,166,050 | $ — | $ 19,841 | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (331,048) | $ (331,048) | $ — | $ — | |||||
Total Liabilities | $ (331,048) | $ (331,048) | $ — | $ — | |||||
Total Derivative Instruments: | $ (331,048) | $ (331,048) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(331,048) | |
Total Equity Risk | 0 | (331,048) | |
Total Value of Derivatives | $0 | $(331,048) |
(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). |
Semi-Annual Report | 42 |
Common Stocks – 99.8% | |||
Shares | Value | ||
AEROSPACE & DEFENSE – 15.9% | |||
Aerospace & Defense – 15.9% | |||
AAR Corp. (a) | 7,331 | $ 295,219 | |
Aerojet Rocketdyne Holdings, Inc. | 14,508 | 559,864 | |
AeroVironment, Inc. (a) | 4,993 | 284,202 | |
Astra Space, Inc. (a) | 23,479 | 112,230 | |
Axon Enterprise, Inc. (a) | 13,995 | 1,958,320 | |
BWX Technologies, Inc. | 20,268 | 902,129 | |
Curtiss-Wright Corp. | 8,753 | 1,162,311 | |
Ducommun, Inc. (a) | 2,319 | 101,456 | |
General Dynamics Corp. | 50,725 | 10,758,772 | |
HEICO Corp. | 9,300 | 1,268,427 | |
HEICO Corp. Class A | 15,631 | 1,714,721 | |
Hexcel Corp. (a) | 17,836 | 930,504 | |
Howmet Aerospace, Inc. | 82,613 | 2,568,438 | |
Huntington Ingalls Industries, Inc. | 8,590 | 1,608,048 | |
Kaman Corp. | 5,287 | 211,321 | |
Kratos Defense & Security Solutions, Inc. (a) | 26,420 | 442,799 | |
L3Harris Technologies, Inc. | 42,902 | 8,978,960 | |
Lockheed Martin Corp. | 53,203 | 20,702,883 | |
Maxar Technologies, Inc. | 15,639 | 406,770 | |
Mercury Systems, Inc. (a) | 12,416 | 706,719 | |
Momentus, Inc. (a) | 9,396 | 33,826 | |
Moog, Inc. Class A | 6,214 | 473,755 | |
National Presto Industries, Inc. | 1,122 | 92,284 | |
Northrop Grumman Corp. | 32,470 | 12,010,653 | |
PAE, Inc. (a) | 13,996 | 140,100 | |
Parsons Corp. (a) | 5,429 | 165,313 | |
Raytheon Technologies Corp. | 321,908 | 29,032,883 | |
Rocket Lab USA, Inc. (a) | 33,323 | 301,240 | |
Spirit AeroSystems Holdings, Inc. Class A | 22,561 | 988,849 | |
Textron, Inc. | 47,849 | 3,256,603 | |
The Boeing Co. (a) | 118,875 | 23,803,530 | |
TransDigm Group, Inc. (a) | 11,177 | 6,887,156 | |
Triumph Group, Inc. (a) | 13,678 | 249,213 | |
Vectrus, Inc. (a) | 2,526 | 116,221 | |
Virgin Galactic Holdings, Inc. (a) | 41,510 | 381,892 | |
TOTAL AEROSPACE & DEFENSE | 133,607,611 | ||
AIR FREIGHT & LOGISTICS – 6.6% | |||
Air Freight & Logistics – 6.6% | |||
Air Transport Services Group, Inc. (a) | 3,951 | 106,084 | |
Atlas Air Worldwide Holdings, Inc. (a) | 1,519 | 122,021 | |
CH Robinson Worldwide, Inc. | 28,103 | 2,940,979 | |
Expeditors International of Washington, Inc. | 36,266 | 4,151,732 | |
FedEx Corp. | 53,988 | 13,273,490 |
| |||
Shares | Value | ||
Forward Air Corp. | 5,811 | $ 617,709 | |
GXO Logistics, Inc. (a) | 22,080 | 1,793,117 | |
Hub Group, Inc. Class A (a) | 7,145 | 541,019 | |
United Parcel Service, Inc. Class B | 155,481 | 31,439,813 | |
TOTAL AIR FREIGHT & LOGISTICS | 54,985,964 | ||
AIRLINES – 0.6% | |||
Airlines – 0.6% | |||
Alaska Air Group, Inc. (a) | 6,684 | 365,882 | |
Allegiant Travel Co. (a) | 946 | 169,012 | |
American Airlines Group, Inc. (a) | 34,743 | 572,217 | |
Delta Air Lines, Inc. (a) | 34,055 | 1,351,643 | |
Frontier Group Holdings, Inc. (a) | 9,143 | 119,590 | |
Hawaiian Holdings, Inc. (a) | 2,893 | 49,470 | |
JetBlue Airways Corp. (a) | 17,314 | 253,304 | |
SkyWest, Inc. (a) | 2,639 | 100,678 | |
Southwest Airlines Co. (a) | 31,531 | 1,411,328 | |
Spirit Airlines, Inc. (a) | 5,729 | 123,002 | |
Sun Country Airlines Holdings, Inc. (a) | 4,270 | 113,497 | |
Wheels Up Experience, Inc. (a) | 15,629 | 59,703 | |
TOTAL AIRLINES | 4,689,326 | ||
BUILDING PRODUCTS – 7.3% | |||
Building Products – 7.3% | |||
AAON, Inc. | 8,978 | 576,837 | |
Advanced Drainage Systems, Inc. | 11,324 | 1,280,631 | |
Allegion PLC | 19,128 | 2,347,579 | |
American Woodmark Corp. (a) | 3,596 | 215,508 | |
AO Smith Corp. | 28,508 | 2,178,581 | |
Apogee Enterprises, Inc. | 5,429 | 242,405 | |
Armstrong World Industries, Inc. | 10,187 | 1,008,717 | |
Builders FirstSource, Inc. (a) | 42,013 | 2,856,464 | |
Carlisle Cos., Inc. | 11,117 | 2,483,982 | |
Carrier Global Corp. | 175,975 | 8,390,488 | |
Cornerstone Building Brands, Inc. (a) | 11,003 | 162,294 | |
CSW Industrials, Inc. | 3,188 | 353,868 | |
Fortune Brands Home & Security, Inc. | 29,427 | 2,771,141 | |
Gibraltar Industries, Inc. (a) | 6,982 | 382,614 | |
Griffon Corp. | 10,483 | 234,714 | |
Insteel Industries, Inc. | 4,113 | 155,595 | |
Janus International Group, Inc. (a) | 14,677 | 155,576 | |
JELD-WEN Holding, Inc. (a) | 19,624 | 463,126 | |
Johnson Controls International PLC | 152,040 | 11,048,747 | |
Lennox International, Inc. | 7,134 | 2,023,345 | |
Masco Corp. | 52,769 | 3,341,861 | |
Masonite International Corp. (a) | 4,931 | 489,352 | |
Owens Corning | 21,974 | 1,949,094 | |
PGT Innovations, Inc. (a) | 12,848 | 243,984 |
43 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BUILDING PRODUCTS – continued | |||
Building Products – continued | |||
Quanex Building Products Corp. | 7,105 | $ 154,818 | |
Resideo Technologies, Inc. (a) | 29,957 | 742,334 | |
Simpson Manufacturing Co., Inc. | 9,258 | 1,044,210 | |
The AZEK Co., Inc. (a) | 19,839 | 655,282 | |
Trane Technologies PLC | 50,725 | 8,780,498 | |
Trex Co., Inc. (a) | 24,621 | 2,252,083 | |
UFP Industries, Inc. | 13,170 | 1,051,756 | |
View, Inc. (a) | 11,511 | 30,274 | |
Zurn Water Solutions Corp. | 25,985 | 793,582 | |
TOTAL BUILDING PRODUCTS | 60,861,340 | ||
COMMERCIAL SERVICES & SUPPLIES – 6.7% | |||
Commercial Printing – 0.1% | |||
Brady Corp. Class A | 10,400 | 539,968 | |
Cimpress PLC (a) | 3,456 | 232,312 | |
Deluxe Corp. | 9,262 | 278,786 | |
Ennis, Inc. | 5,731 | 108,488 | |
1,159,554 | |||
Diversified Support Services – 2.0% | |||
ACV Auctions, Inc. Class A (a) | 9,135 | 121,130 | |
Cintas Corp. | 19,784 | 7,746,030 | |
Copart, Inc. (a) | 45,457 | 5,875,317 | |
Driven Brands Holdings, Inc. (a) | 10,648 | 300,806 | |
Healthcare Services Group, Inc. | 15,996 | 290,967 | |
IAA, Inc. (a) | 28,870 | 1,325,999 | |
KAR Auction Services, Inc. (a) | 25,833 | 367,345 | |
Matthews International Corp. Class A | 6,698 | 235,234 | |
UniFirst Corp. | 3,256 | 618,933 | |
Viad Corp. (a) | 4,452 | 167,707 | |
17,049,468 | |||
Environmental & Facilities Services – 4.1% | |||
ABM Industries, Inc. | 14,363 | 598,794 | |
BrightView Holdings, Inc. (a) | 8,894 | 118,023 | |
Casella Waste Systems, Inc. Class A (a) | 10,733 | 815,493 | |
Clean Harbors, Inc. (a) | 11,013 | 1,019,253 | |
Harsco Corp. (a) | 17,017 | 267,167 | |
Heritage-Crystal Clean, Inc. (a) | 3,277 | 93,755 | |
Montrose Environmental Group, Inc. (a) | 4,717 | 215,897 | |
Republic Services, Inc. | 47,577 | 6,073,680 | |
Rollins, Inc. | 47,387 | 1,461,889 | |
SP Plus Corp. (a) | 4,999 | 140,872 | |
Stericycle, Inc. (a) | 19,691 | 1,156,649 | |
Tetra Tech, Inc. | 11,574 | 1,610,985 | |
US Ecology, Inc. (a) | 6,663 | 190,429 | |
Waste Connections, Inc. | 55,619 | 6,935,689 |
| |||
Shares | Value | ||
Waste Management, Inc. | 89,897 | $ 13,524,105 | |
34,222,680 | |||
Office Services & Supplies – 0.3% | |||
ACCO Brands Corp. | 20,478 | 166,691 | |
Herman Miller, Inc. | 16,169 | 624,447 | |
HNI Corp. | 9,483 | 397,717 | |
Interface, Inc. | 12,433 | 164,862 | |
Kimball International, Inc. Class B | 8,058 | 79,130 | |
MSA Safety, Inc. | 7,987 | 1,097,414 | |
Pitney Bowes, Inc. | 18,240 | 112,358 | |
Steelcase, Inc. Class A | 18,519 | 228,524 | |
2,871,143 | |||
Security & Alarm Services – 0.2% | |||
ADT, Inc. | 32,609 | 247,502 | |
CoreCivic, Inc. (a) | 26,241 | 265,297 | |
The Brink's Co. | 10,732 | 748,879 | |
1,261,678 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 56,564,523 | ||
CONSTRUCTION & ENGINEERING – 1.8% | |||
Construction & Engineering – 1.8% | |||
AECOM | 29,175 | 2,016,868 | |
Ameresco, Inc. Class A (a) | 5,666 | 286,756 | |
API Group Corp. (a) | 30,011 | 669,245 | |
Arcosa, Inc. | 10,348 | 482,838 | |
Argan, Inc. | 3,407 | 126,570 | |
Comfort Systems USA, Inc. | 7,774 | 697,950 | |
Construction Partners, Inc. Class A (a) | 6,728 | 176,543 | |
Dycom Industries, Inc. (a) | 6,556 | 552,605 | |
EMCOR Group, Inc. | 11,504 | 1,371,392 | |
Fluor Corp. (a) | 30,269 | 636,860 | |
Granite Construction, Inc. | 9,873 | 355,230 | |
Great Lakes Dredge & Dock Corp. (a) | 14,019 | 191,920 | |
IES Holdings, Inc. (a) | 2,044 | 100,769 | |
MasTec, Inc. (a) | 12,659 | 1,090,320 | |
MYR Group, Inc. (a) | 3,641 | 342,363 | |
NV5 Global, Inc. (a) | 2,815 | 294,421 | |
Primoris Services Corp. | 11,443 | 294,314 | |
Quanta Services, Inc. | 29,703 | 3,051,092 | |
Sterling Construction Co., Inc. (a) | 6,057 | 153,908 | |
Tutor Perini Corp. (a) | 9,690 | 115,311 | |
Valmont Industries, Inc. | 4,525 | 982,966 | |
WillScot Mobile Mini Holdings Corp. (a) | 36,303 | 1,344,663 | |
TOTAL CONSTRUCTION & ENGINEERING | 15,334,904 | ||
ELECTRICAL EQUIPMENT – 7.5% | |||
Electrical Components & Equipment – 7.4% | |||
Acuity Brands, Inc. | 7,642 | 1,463,672 |
Semi-Annual Report | 44 |
Common Stocks – continued | |||
Shares | Value | ||
ELECTRICAL EQUIPMENT – continued | |||
Electrical Components & Equipment – continued | |||
AMETEK, Inc. | 49,356 | $ 6,750,420 | |
Array Technologies, Inc. (a) | 24,688 | 260,212 | |
Atkore, Inc. (a) | 9,866 | 1,063,357 | |
Blink Charging Co. (a) | 8,048 | 168,284 | |
ChargePoint Holdings, Inc. (a) | 38,351 | 531,161 | |
Eaton Corp. PLC | 85,092 | 13,481,126 | |
Emerson Electric Co. | 127,621 | 11,734,751 | |
Encore Wire Corp. | 4,405 | 496,399 | |
EnerSys | 9,117 | 683,137 | |
Enovix Corp. (a) | 9,243 | 148,905 | |
FREYR Battery S.A. (a) | 19,760 | 179,421 | |
FuelCell Energy, Inc. (a) | 69,464 | 294,527 | |
Generac Holdings, Inc. (a) | 13,477 | 3,805,635 | |
GrafTech International Ltd. | 37,401 | 391,962 | |
Hubbell, Inc. | 11,597 | 2,172,002 | |
nVent Electric PLC | 35,817 | 1,238,910 | |
Plug Power, Inc. (a) | 110,348 | 2,413,311 | |
Regal Rexnord Corp. | 14,370 | 2,277,358 | |
Rockwell Automation, Inc. | 24,767 | 7,163,112 | |
Romeo Power, Inc. (a) | 20,442 | 48,243 | |
Sensata Technologies Holding PLC (a) | 33,742 | 1,935,441 | |
Shoals Technologies Group, Inc. (a) | 22,251 | 375,152 | |
Stem, Inc. (a) | 6,949 | 85,334 | |
Sunrun, Inc. (a) | 37,464 | 971,442 | |
Thermon Group Holdings, Inc. (a) | 7,327 | 125,658 | |
Vertiv Holdings Co. | 56,254 | 1,173,458 | |
Vicor Corp. (a) | 4,739 | 447,030 | |
61,879,420 | |||
Heavy Electrical Equipment – 0.1% | |||
AZZ, Inc. | 5,363 | 255,171 | |
Bloom Energy Corp. Class A (a) | 31,247 | 471,205 | |
TPI Composites, Inc. (a) | 7,710 | 93,060 | |
819,436 | |||
TOTAL ELECTRICAL EQUIPMENT | 62,698,856 | ||
INDUSTRIAL CONGLOMERATES – 9.8% | |||
Industrial Conglomerates – 9.8% | |||
3M Co. | 123,531 | 20,508,617 | |
General Electric Co. | 234,329 | 22,139,404 | |
Honeywell International, Inc. | 147,389 | 30,138,103 | |
Roper Technologies, Inc. | 22,503 | 9,837,411 | |
TOTAL INDUSTRIAL CONGLOMERATES | 82,623,535 | ||
MACHINERY – 20.8% | |||
Agricultural & Farm Machinery – 3.3% | |||
AGCO Corp. | 13,645 | 1,599,194 | |
Deere & Co. | 62,885 | 23,669,914 | |
Hydrofarm Holdings Group, Inc. (a) | 5,595 | 109,718 |
| |||
Shares | Value | ||
Lindsay Corp. | 2,308 | $ 291,385 | |
The Toro Co. | 22,820 | 2,203,956 | |
27,874,167 | |||
Construction Machinery & Heavy Trucks – 5.7% | |||
Alamo Group, Inc. | 2,189 | 308,321 | |
Allison Transmission Holdings, Inc. | 22,685 | 861,803 | |
Astec Industries, Inc. | 4,565 | 288,919 | |
Blue Bird Corp. (a) | 3,439 | 53,339 | |
Caterpillar, Inc. | 116,879 | 23,558,131 | |
Cummins, Inc. | 30,658 | 6,771,739 | |
Douglas Dynamics, Inc. | 4,860 | 177,536 | |
Federal Signal Corp. | 12,998 | 507,182 | |
Hyliion Holdings Corp. (a) | 19,801 | 88,114 | |
Hyzon Motors, Inc. (a) | 15,730 | 79,908 | |
Ideanomics, Inc. (a) | 91,455 | 97,857 | |
Meritor, Inc. (a) | 14,882 | 343,030 | |
Microvast Holdings, Inc. (a) | 28,687 | 158,926 | |
Nikola Corp. (a) | 33,918 | 272,362 | |
Oshkosh Corp. | 14,616 | 1,663,447 | |
PACCAR, Inc. | 74,118 | 6,892,233 | |
Proterra, Inc. (a) | 36,028 | 284,981 | |
REV Group, Inc. | 6,633 | 89,081 | |
Terex Corp. | 14,867 | 620,251 | |
The Greenbrier Cos., Inc. | 7,012 | 283,004 | |
The Manitowoc Co., Inc. (a) | 7,322 | 133,627 | |
The Shyft Group, Inc. | 6,850 | 287,289 | |
Trinity Industries, Inc. | 15,816 | 454,394 | |
Wabash National Corp. | 10,908 | 214,015 | |
Westinghouse Air Brake Technologies Corp. | 38,335 | 3,407,981 | |
47,897,470 | |||
Industrial Machinery – 11.8% | |||
Albany International Corp. Class A | 6,597 | 552,235 | |
Altra Industrial Motion Corp. | 13,828 | 667,616 | |
Barnes Group, Inc. | 10,324 | 466,335 | |
Berkshire Grey, Inc. (a) | 9,447 | 32,687 | |
Chart Industries, Inc. (a) | 7,883 | 960,701 | |
CIRCOR International, Inc. (a) | 4,229 | 117,439 | |
Colfax Corp. (a) | 27,416 | 1,127,346 | |
Columbus McKinnon Corp. | 6,111 | 264,484 | |
Crane Co. | 10,042 | 1,039,447 | |
Desktop Metal, Inc. Class A (a) | 42,543 | 174,001 | |
Donaldson Co., Inc. | 26,878 | 1,496,029 | |
Dover Corp. | 30,736 | 5,222,354 | |
Energy Recovery, Inc. (a) | 8,150 | 159,577 | |
Enerpac Tool Group Corp. | 13,062 | 233,157 | |
EnPro Industries, Inc. | 4,142 | 434,993 | |
ESCO Technologies, Inc. | 5,556 | 443,258 | |
Evoqua Water Technologies Corp. (a) | 25,729 | 1,042,025 | |
Flowserve Corp. | 27,772 | 905,923 |
45 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MACHINERY – continued | |||
Industrial Machinery – continued | |||
Fortive Corp. | 72,683 | $ 5,127,059 | |
Franklin Electric Co., Inc. | 8,415 | 730,422 | |
Gates Industrial Corp. PLC (a) | 12,757 | 197,351 | |
Graco, Inc. | 36,214 | 2,627,688 | |
Helios Technologies, Inc. | 6,576 | 503,919 | |
Hillenbrand, Inc. | 15,678 | 728,713 | |
Hillman Solutions Corp. (a) | 19,891 | 178,422 | |
Hyster-Yale Materials Handling, Inc. | 1,507 | 67,649 | |
IDEX Corp. | 16,223 | 3,495,083 | |
Illinois Tool Works, Inc. | 67,238 | 15,728,313 | |
Ingersoll Rand, Inc. | 86,518 | 4,863,177 | |
ITT, Inc. | 18,342 | 1,685,997 | |
John Bean Technologies Corp. | 6,774 | 914,490 | |
Kadant, Inc. | 2,476 | 517,434 | |
Kennametal, Inc. | 17,045 | 589,246 | |
Lincoln Electric Holdings, Inc. | 12,073 | 1,543,412 | |
Luxfer Holdings PLC | 5,963 | 101,848 | |
Markforged Holding Corp. (a) | 9,826 | 46,477 | |
Mueller Industries, Inc. | 11,021 | 569,345 | |
Mueller Water Products, Inc. Class A | 34,045 | 437,478 | |
Nordson Corp. | 11,163 | 2,595,844 | |
Omega Flex, Inc. | 663 | 94,119 | |
Otis Worldwide Corp. | 86,557 | 7,394,565 | |
Parker Hannifin Corp. | 27,565 | 8,545,426 | |
Pentair PLC | 35,377 | 2,253,515 | |
Proto Labs, Inc. (a) | 5,962 | 299,173 | |
RBC Bearings, Inc. (a) | 6,045 | 1,090,941 | |
Snap-on, Inc. | 11,510 | 2,396,958 | |
SPX Corp. (a) | 9,639 | 502,963 | |
SPX FLOW, Inc. | 8,940 | 770,628 | |
Standex International Corp. | 2,624 | 260,694 | |
Stanley Black & Decker, Inc. | 34,790 | 6,076,073 | |
Tennant Co. | 4,032 | 311,149 | |
The Gorman-Rupp Co. | 4,417 | 177,166 | |
The Middleby Corp. (a) | 11,860 | 2,196,472 | |
The Timken Co. | 14,700 | 981,960 | |
Watts Water Technologies, Inc. Class A | 5,868 | 899,036 | |
Welbilt, Inc. (a) | 28,772 | 683,335 | |
Woodward, Inc. | 12,928 | 1,425,571 | |
Xylem, Inc. | 38,458 | 4,038,859 | |
98,987,577 | |||
TOTAL MACHINERY | 174,759,214 | ||
MARINE – 0.1% | |||
Marine – 0.1% | |||
Genco Shipping & Trading Ltd. | 5,746 | 89,408 | |
Kirby Corp. (a) | 3,199 | 208,511 |
| |||
Shares | Value | ||
Matson, Inc. | 2,337 | $ 228,231 | |
TOTAL MARINE | 526,150 | ||
PROFESSIONAL SERVICES – 7.2% | |||
Human Resource & Employment Services – 1.1% | |||
ASGN, Inc. (a) | 11,325 | 1,300,903 | |
Barrett Business Services, Inc. | 1,619 | 103,616 | |
First Advantage Corp. (a) | 6,482 | 109,675 | |
Heidrick & Struggles International, Inc. | 4,153 | 181,777 | |
Insperity, Inc. | 7,826 | 841,530 | |
Kelly Services, Inc. Class A | 7,343 | 125,418 | |
Kforce, Inc. | 4,125 | 283,264 | |
Korn Ferry | 11,921 | 791,316 | |
ManpowerGroup, Inc. | 11,609 | 1,217,436 | |
Robert Half International, Inc. | 23,881 | 2,704,762 | |
Skillsoft Corp. (a) | 14,111 | 104,704 | |
TriNet Group, Inc. (a) | 8,463 | 721,048 | |
TrueBlue, Inc. (a) | 7,552 | 200,883 | |
Upwork, Inc. (a) | 24,422 | 664,278 | |
9,350,610 | |||
Research & Consulting Services – 6.1% | |||
Booz Allen Hamilton Holding Corp. | 28,829 | 2,212,049 | |
CACI International, Inc. Class A (a) | 5,017 | 1,241,507 | |
CBIZ, Inc. (a) | 10,068 | 388,927 | |
Clarivate PLC (a) | 74,964 | 1,233,907 | |
CoStar Group, Inc. (a) | 84,319 | 5,915,821 | |
CRA International, Inc. | 1,567 | 133,289 | |
Dun & Bradstreet Holdings, Inc. (a) | 32,485 | 651,649 | |
Equifax, Inc. | 26,007 | 6,235,438 | |
Exponent, Inc. | 11,101 | 1,054,373 | |
Forrester Research, Inc. (a) | 2,538 | 139,641 | |
FTI Consulting, Inc. (a) | 7,304 | 1,064,996 | |
Huron Consulting Group, Inc. (a) | 4,848 | 213,894 | |
ICF International, Inc. | 3,993 | 376,899 | |
IHS Markit Ltd. | 80,846 | 9,442,004 | |
Jacobs Engineering Group, Inc. | 27,821 | 3,621,738 | |
KBR, Inc. | 30,133 | 1,307,772 | |
Leidos Holdings, Inc. | 28,680 | 2,565,426 | |
ManTech International Corp. Class A | 5,933 | 428,600 | |
Nielsen Holdings PLC | 72,966 | 1,376,139 | |
Resources Connection, Inc. | 6,615 | 115,299 | |
Science Applications International Corp. | 12,676 | 1,039,812 | |
Spire Global, Inc. (a) | 9,928 | 24,721 | |
TransUnion | 40,883 | 4,215,855 | |
Verisk Analytics, Inc. | 32,720 | 6,417,374 | |
Willdan Group, Inc. (a) | 2,756 | 86,704 | |
51,503,834 | |||
TOTAL PROFESSIONAL SERVICES | 60,854,444 |
Semi-Annual Report | 46 |
Common Stocks – continued | |||
Shares | Value | ||
ROAD & RAIL – 11.8% | |||
Railroads – 7.7% | |||
CSX Corp. | 481,296 | $ 16,469,949 | |
Norfolk Southern Corp. | 52,727 | 14,341,217 | |
Union Pacific Corp. | 139,221 | 34,046,495 | |
64,857,661 | |||
Trucking – 4.1% | |||
AMERCO | 2,089 | 1,272,096 | |
ArcBest Corp. | 5,451 | 482,086 | |
Avis Budget Group, Inc. (a) | 10,684 | 1,882,307 | |
Heartland Express, Inc. | 11,033 | 165,054 | |
JB Hunt Transport Services, Inc. | 17,968 | 3,459,559 | |
Knight-Swift Transportation Holdings, Inc. | 33,603 | 1,901,258 | |
Landstar System, Inc. | 8,189 | 1,310,240 | |
Lyft, Inc. Class A (a) | 55,665 | 2,144,216 | |
Marten Transport Ltd. | 13,353 | 222,862 | |
Old Dominion Freight Line, Inc. | 21,014 | 6,344,757 | |
Ryder System, Inc. | 11,474 | 839,782 | |
Saia, Inc. (a) | 5,606 | 1,593,674 | |
Schneider National, Inc. Class B | 12,299 | 314,854 | |
TuSimple Holdings, Inc. (a) | 7,853 | 147,322 | |
Uber Technologies, Inc. (a) | 261,477 | 9,779,240 | |
Werner Enterprises, Inc. | 13,140 | 585,913 | |
XPO Logistics, Inc. (a) | 20,854 | 1,379,909 | |
33,825,129 | |||
TOTAL ROAD & RAIL | 98,682,790 | ||
TRADING COMPANIES & DISTRIBUTORS – 3.7% | |||
Trading Companies & Distributors – 3.7% | |||
Air Lease Corp. | 23,086 | 919,054 | |
Applied Industrial Technologies, Inc. | 8,262 | 809,511 | |
Beacon Roofing Supply, Inc. (a) | 11,902 | 653,063 | |
Boise Cascade Co. | 8,460 | 594,061 | |
Core & Main, Inc. (a) | 14,302 | 343,963 | |
DXP Enterprises, Inc. (a) | 3,886 | 110,945 | |
Fastenal Co. | 122,695 | 6,954,353 | |
GATX Corp. | 7,244 | 756,636 | |
Global Industrial Co. | 2,913 | 101,838 |
| |||
Shares | Value | ||
GMS, Inc. (a) | 8,293 | $ 424,436 | |
H&E Equipment Services, Inc. | 6,968 | 290,078 | |
Herc Holdings, Inc. | 4,411 | 707,745 | |
McGrath RentCorp | 5,212 | 397,206 | |
MRC Global, Inc. (a) | 16,492 | 122,206 | |
MSC Industrial Direct Co., Inc. Class A | 10,017 | 817,788 | |
NOW, Inc. (a) | 23,681 | 210,524 | |
Rush Enterprises, Inc. Class A | 9,212 | 486,578 | |
Rush Enterprises, Inc. Class B | 1,217 | 61,750 | |
SiteOne Landscape Supply, Inc. (a) | 9,494 | 1,710,059 | |
Triton International Ltd. | 14,740 | 890,591 | |
United Rentals, Inc. (a) | 15,458 | 4,948,415 | |
Univar Solutions, Inc. (a) | 36,574 | 969,211 | |
Veritiv Corp. (a) | 3,068 | 285,569 | |
Watsco, Inc. | 7,028 | 1,985,832 | |
WESCO International, Inc. (a) | 9,706 | 1,183,064 | |
WW Grainger, Inc. | 9,447 | 4,677,304 | |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 31,411,780 | ||
TOTAL COMMON STOCKS (Cost $740,690,342) | 837,600,437 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,620,000) | 1,620,000 | 1,620,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $742,310,342) | 839,220,437 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 398,737 | ||
NET ASSETS – 100.0% | $ 839,619,174 |
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) | 3 | March 2022 | $ 303,660 | $ (22,592) | $ (22,592) |
CME E-mini S&P Industrial Select Sector Index Contracts (United States) | 16 | March 2022 | 1,620,480 | (64,053) | (64,053) |
Total Equity Index Contracts | $ (86,645) |
47 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 837,600,437 | $ 837,600,437 | $ — | $ — | |||||
Money Market Funds | 1,620,000 | 1,620,000 | — | — | |||||
Total Investments in Securities: | $ 839,220,437 | $ 839,220,437 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (86,645) | $ (86,645) | $ — | $ — | |||||
Total Liabilities | $ (86,645) | $ (86,645) | $ — | $ — | |||||
Total Derivative Instruments: | $ (86,645) | $ (86,645) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(86,645) | |
Total Equity Risk | 0 | (86,645) | |
Total Value of Derivatives | $0 | $(86,645) |
(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). |
Semi-Annual Report | 48 |
Common Stocks – 99.8% | |||
Shares | Value | ||
COMMUNICATIONS EQUIPMENT – 2.9% | |||
Communications Equipment – 2.9% | |||
ADTRAN, Inc. | 25,086 | $ 481,902 | |
Arista Networks, Inc. (a) | 122,554 | 15,234,688 | |
Calix, Inc. (a) | 30,851 | 1,551,188 | |
Cambium Networks Corp. (a) | 4,887 | 118,168 | |
Casa Systems, Inc. (a) | 15,787 | 69,936 | |
Ciena Corp. (a) | 81,978 | 5,435,961 | |
Cisco Systems, Inc. | 2,240,256 | 124,715,052 | |
Clearfield, Inc. (a) | 6,213 | 400,552 | |
CommScope Holding Co., Inc. (a) | 106,100 | 996,279 | |
Comtech Telecommunications Corp. | 13,988 | 284,376 | |
Digi International, Inc. (a) | 17,892 | 399,707 | |
Extreme Networks, Inc. (a) | 68,489 | 869,126 | |
F5 Networks, Inc. (a) | 32,119 | 6,668,547 | |
Harmonic, Inc. (a) | 56,782 | 610,974 | |
Infinera Corp. (a) | 95,942 | 807,832 | |
Inseego Corp. (a) | 40,940 | 186,686 | |
Juniper Networks, Inc. | 173,167 | 6,029,675 | |
Lumentum Holdings, Inc. (a) | 38,873 | 3,944,832 | |
Motorola Solutions, Inc. | 90,013 | 20,877,615 | |
NETGEAR, Inc. (a) | 16,667 | 461,176 | |
Netscout Systems, Inc. (a) | 39,505 | 1,246,383 | |
Plantronics, Inc. (a) | 20,308 | 541,208 | |
Ribbon Communications, Inc. (a) | 50,515 | 227,318 | |
ViaSat, Inc. (a) | 29,218 | 1,286,176 | |
Viavi Solutions, Inc. (a) | 121,883 | 2,006,194 | |
TOTAL COMMUNICATIONS EQUIPMENT | 195,451,551 | ||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 3.1% | |||
Electronic Components – 0.8% | |||
Amphenol Corp. Class A | 318,313 | 25,334,532 | |
Belden, Inc. | 23,495 | 1,314,545 | |
Corning, Inc. | 432,052 | 18,163,466 | |
II-VI, Inc. (a) | 55,893 | 3,543,616 | |
Knowles Corp. (a) | 49,184 | 1,043,193 | |
Littelfuse, Inc. | 13,129 | 3,544,436 | |
Rogers Corp. (a) | 10,036 | 2,739,326 | |
Vishay Intertechnology, Inc. | 69,434 | 1,437,978 | |
57,121,092 | |||
Electronic Equipment & Instruments – 1.2% | |||
908 Devices, Inc. (a) | 8,264 | 130,736 | |
Advanced Energy Industries, Inc. | 20,455 | 1,762,812 | |
Aeva Technologies, Inc. (a) | 50,740 | 265,370 | |
AEye, Inc. (a) | 53,349 | 154,179 | |
Badger Meter, Inc. | 15,803 | 1,598,790 | |
Cognex Corp. | 93,953 | 6,244,116 | |
Coherent, Inc. (a) | 13,034 | 3,369,028 | |
Evolv Technologies Holdings, Inc. (a) | 34,477 | 110,326 | |
FARO Technologies, Inc. (a) | 9,378 | 509,319 | |
Itron, Inc. (a) | 23,952 | 1,485,024 |
| |||
Shares | Value | ||
Keysight Technologies, Inc. (a) | 98,031 | $ 16,549,593 | |
MicroVision, Inc. (a) | 84,023 | 286,518 | |
Napco Security Technologies, Inc. (a) | 16,620 | 345,530 | |
National Instruments Corp. | 70,445 | 2,903,743 | |
nLight, Inc. (a) | 20,741 | 429,131 | |
Novanta, Inc. (a) | 19,027 | 2,627,629 | |
OSI Systems, Inc. (a) | 9,124 | 756,745 | |
PAR Technology Corp. (a) | 13,095 | 491,063 | |
Teledyne Technologies, Inc. (a) | 24,833 | 10,465,371 | |
Trimble, Inc. (a) | 134,028 | 9,671,460 | |
Velodyne Lidar, Inc. (a) | 50,113 | 195,942 | |
Vishay Precision Group, Inc. (a) | 7,488 | 239,841 | |
Vontier Corp. | 90,699 | 2,549,549 | |
Zebra Technologies Corp. Class A (a) | 28,447 | 14,482,937 | |
77,624,752 | |||
Electronic Manufacturing Services – 0.7% | |||
Benchmark Electronics, Inc. | 19,499 | 470,706 | |
CTS Corp. | 16,474 | 552,703 | |
Fabrinet (a) | 19,567 | 2,214,202 | |
Flex Ltd. (a) | 260,678 | 4,217,770 | |
IPG Photonics Corp. (a) | 20,050 | 3,097,123 | |
Jabil, Inc. | 73,782 | 4,536,855 | |
Kimball Electronics, Inc. (a) | 14,031 | 277,673 | |
Methode Electronics, Inc. | 20,521 | 903,540 | |
Plexus Corp. (a) | 14,931 | 1,157,451 | |
Sanmina Corp. (a) | 34,940 | 1,321,431 | |
TE Connectivity Ltd. | 174,671 | 24,979,700 | |
TTM Technologies, Inc. (a) | 56,363 | 758,646 | |
44,487,800 | |||
Technology Distributors – 0.4% | |||
Arrow Electronics, Inc. (a) | 38,255 | 4,743,620 | |
Avnet, Inc. | 53,469 | 2,158,009 | |
CDW Corp. | 73,218 | 13,841,863 | |
ePlus, Inc. (a) | 14,092 | 647,809 | |
Insight Enterprises, Inc. (a) | 18,824 | 1,772,280 | |
PC Connection, Inc. | 6,226 | 269,897 | |
ScanSource, Inc. (a) | 14,423 | 449,709 | |
SYNNEX Corp. | 23,712 | 2,479,564 | |
26,362,751 | |||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 205,596,395 | ||
IT SERVICES – 16.6% | |||
Data Processing & Outsourced Services – 11.1% | |||
Affirm Holdings, Inc. (a) | 46,388 | 2,972,079 | |
Alliance Data Systems Corp. | 24,704 | 1,705,564 | |
Automatic Data Processing, Inc. | 224,908 | 46,369,282 | |
Broadridge Financial Solutions, Inc. | 61,994 | 9,870,685 | |
Cantaloupe, Inc. (a) | 28,339 | 238,048 |
49 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
IT SERVICES – continued | |||
Data Processing & Outsourced Services – continued | |||
Cass Information Systems, Inc. | 6,656 | $ 270,766 | |
Concentrix Corp. | 23,712 | 4,765,875 | |
Conduent, Inc. (a) | 88,667 | 419,395 | |
CSG Systems International, Inc. | 17,568 | 997,335 | |
Euronet Worldwide, Inc. (a) | 28,185 | 3,773,690 | |
EVERTEC, Inc. | 32,346 | 1,411,579 | |
Evo Payments, Inc. Class A (a) | 24,914 | 600,926 | |
ExlService Holdings, Inc. (a) | 17,936 | 2,161,647 | |
Fidelity National Information Services, Inc. | 328,355 | 39,376,332 | |
Fiserv, Inc. (a) | 316,749 | 33,480,369 | |
FleetCor Technologies, Inc. (a) | 41,716 | 9,939,254 | |
Global Payments, Inc. | 156,433 | 23,446,178 | |
I3 Verticals, Inc. Class A (a) | 11,325 | 262,061 | |
International Money Express, Inc. (a) | 15,659 | 250,701 | |
Jack Henry & Associates, Inc. | 39,468 | 6,623,125 | |
Mastercard, Inc. Class A | 468,311 | 180,946,004 | |
Maximus, Inc. | 33,170 | 2,564,704 | |
MoneyGram International, Inc. (a) | 41,350 | 362,639 | |
Paya Holdings, Inc. (a) | 37,102 | 243,018 | |
Paychex, Inc. | 172,154 | 20,272,855 | |
Paymentus Holdings, Inc. Class A (a) | 6,274 | 164,881 | |
Payoneer Global, Inc. (a) | 116,991 | 610,693 | |
PayPal Holdings, Inc. (a) | 593,412 | 102,031,259 | |
Repay Holding Corp. (a) | 45,823 | 819,773 | |
Sabre Corp. (a) | 161,452 | 1,477,286 | |
Shift4 Payments, Inc. (a) | 22,631 | 1,193,106 | |
Square, Inc. Class A (a) | 268,871 | 32,880,235 | |
TaskUS, Inc. Class A (a) | 14,498 | 463,936 | |
The Western Union Co. | 217,400 | 4,111,034 | |
TTEC Holdings, Inc. | 10,020 | 802,502 | |
Verra Mobility Corp. (a) | 73,806 | 1,169,087 | |
Visa, Inc. Class A | 897,143 | 202,906,832 | |
WEX, Inc. (a) | 23,764 | 3,825,529 | |
745,780,264 | |||
Internet Services & Infrastructure – 1.8% | |||
Akamai Technologies, Inc. (a) | 86,590 | 9,918,885 | |
BigCommerce Holdings, Inc. (a) | 20,256 | 662,169 | |
Brightcove, Inc. (a) | 18,205 | 171,673 | |
Cloudflare, Inc. Class A (a) | 126,257 | 12,171,175 | |
DigitalOcean Holdings, Inc. (a) | 14,257 | 817,496 | |
Fastly, Inc. Class A (a) | 58,978 | 1,690,309 | |
GoDaddy, Inc. Class A (a) | 90,160 | 6,826,014 | |
Limelight Networks, Inc. (a) | 66,527 | 284,070 | |
MongoDB, Inc. (a) | 30,960 | 12,542,206 | |
Okta, Inc. (a) | 66,424 | 13,144,645 | |
Rackspace Technology, Inc. (a) | 21,475 | 268,652 |
| |||
Shares | Value | ||
Snowflake, Inc. Class A (a) | 111,922 | $ 30,879,280 | |
SolarWinds Corp. | 21,165 | 287,844 | |
Switch, Inc. Class A | 54,825 | 1,405,165 | |
Tucows, Inc. Class A (a) | 5,090 | 402,110 | |
Twilio, Inc. Class A (a) | 88,893 | 18,322,625 | |
VeriSign, Inc. (a) | 53,524 | 11,624,342 | |
121,418,660 | |||
IT Consulting & Other Services – 3.7% | |||
Accenture PLC Class A | 337,103 | 119,192,879 | |
Cognizant Technology Solutions Corp. Class A | 279,114 | 23,841,918 | |
DXC Technology Co. (a) | 133,183 | 4,006,145 | |
EPAM Systems, Inc. (a) | 30,154 | 14,357,526 | |
Gartner, Inc. (a) | 44,557 | 13,094,857 | |
Grid Dynamics Holdings, Inc. (a) | 22,160 | 590,564 | |
International Business Machines Corp. | 476,480 | 63,643,434 | |
Kyndryl Holdings, Inc. (a) | 94,939 | 1,602,570 | |
LiveRamp Holdings, Inc. (a) | 36,608 | 1,634,547 | |
Perficient, Inc. (a) | 17,397 | 1,823,553 | |
The Hackett Group, Inc. | 13,595 | 260,208 | |
Unisys Corp. (a) | 33,973 | 620,007 | |
244,668,208 | |||
TOTAL IT SERVICES | 1,111,867,132 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 19.8% | |||
Semiconductor Equipment – 3.0% | |||
ACM Research, Inc. Class A (a) | 6,878 | 547,833 | |
Amkor Technology, Inc. | 57,878 | 1,274,473 | |
Applied Materials, Inc. | 479,996 | 66,325,847 | |
Axcelis Technologies, Inc. (a) | 17,488 | 1,094,924 | |
Brooks Automation, Inc. | 39,982 | 3,372,082 | |
CMC Materials, Inc. | 15,595 | 2,820,824 | |
Cohu, Inc. (a) | 25,273 | 833,503 | |
Enphase Energy, Inc. (a) | 68,116 | 9,568,254 | |
Entegris, Inc. | 72,208 | 8,653,407 | |
FormFactor, Inc. (a) | 41,153 | 1,758,879 | |
Ichor Holdings Ltd. (a) | 14,692 | 623,235 | |
KLA Corp. | 81,176 | 31,599,381 | |
Kulicke & Soffa Industries, Inc. | 32,987 | 1,804,059 | |
Lam Research Corp. | 75,467 | 44,519,493 | |
MKS Instruments, Inc. | 29,572 | 4,593,419 | |
Onto Innovation, Inc. (a) | 26,020 | 2,381,871 | |
PDF Solutions, Inc. (a) | 15,285 | 454,423 | |
Photronics, Inc. (a) | 31,995 | 572,071 | |
SolarEdge Technologies, Inc. (a) | 27,836 | 6,631,092 | |
Teradyne, Inc. | 87,698 | 10,298,376 | |
Ultra Clean Holdings, Inc. (a) | 23,315 | 1,175,542 | |
Veeco Instruments, Inc. (a) | 25,562 | 702,699 | |
201,605,687 |
Semi-Annual Report | 50 |
Common Stocks – continued | |||
Shares | Value | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – continued | |||
Semiconductors – 16.8% | |||
Advanced Micro Devices, Inc. (a) | 644,809 | $ 73,669,428 | |
Allegro MicroSystems, Inc. (a) | 30,227 | 857,842 | |
Alpha & Omega Semiconductor Ltd. (a) | 10,957 | 493,394 | |
Ambarella, Inc. (a) | 19,296 | 2,704,334 | |
Analog Devices, Inc. | 285,684 | 46,843,606 | |
Broadcom, Inc. | 218,090 | 127,774,569 | |
CEVA, Inc. (a) | 12,353 | 465,338 | |
Cirrus Logic, Inc. (a) | 30,579 | 2,734,986 | |
Diodes, Inc. (a) | 24,151 | 2,240,971 | |
First Solar, Inc. (a) | 51,030 | 3,999,731 | |
Impinj, Inc. (a) | 9,852 | 782,150 | |
indie Semiconductor, Inc. (a) | 20,460 | 161,839 | |
Intel Corp. | 2,156,687 | 105,289,459 | |
Lattice Semiconductor Corp. (a) | 72,551 | 4,006,266 | |
MACOM Technology Solutions Holdings, Inc. (a) | 25,596 | 1,566,731 | |
MagnaChip Semiconductor Corp. (a) | 22,210 | 395,116 | |
Marvell Technology, Inc. | 437,747 | 31,255,136 | |
MaxLinear, Inc. Class A (a) | 38,512 | 2,311,490 | |
Meta Materials, Inc. (a) | 104,094 | 173,837 | |
Microchip Technology, Inc. | 291,426 | 22,579,687 | |
Micron Technology, Inc. | 598,445 | 49,234,070 | |
Monolithic Power Systems, Inc. | 23,197 | 9,346,767 | |
NeoPhotonics Corp. (a) | 29,517 | 453,381 | |
NVIDIA Corp. | 1,328,992 | 325,416,981 | |
NXP Semiconductors N.V. | 140,898 | 28,946,085 | |
ON Semiconductor Corp. (a) | 229,270 | 13,526,930 | |
Power Integrations, Inc. | 31,931 | 2,577,151 | |
Qorvo, Inc. (a) | 59,183 | 8,124,642 | |
QUALCOMM, Inc. | 599,640 | 105,392,727 | |
Rambus, Inc. (a) | 57,997 | 1,464,424 | |
Rockley Photonics Holdings Ltd. (a) | 43,765 | 143,112 | |
Semtech Corp. (a) | 34,424 | 2,447,546 | |
Silicon Laboratories, Inc. (a) | 23,777 | 3,927,723 | |
SiTime Corp. (a) | 6,473 | 1,508,792 | |
SkyWater Technology, Inc. (a) | 5,193 | 52,086 | |
Skyworks Solutions, Inc. | 87,702 | 12,850,097 | |
SMART Global Holdings, Inc. (a) | 11,601 | 665,433 | |
SunPower Corp. (a) | 45,697 | 766,796 | |
Synaptics, Inc. (a) | 20,680 | 4,350,038 | |
Texas Instruments, Inc. | 490,778 | 88,089,743 | |
Universal Display Corp. | 23,927 | 3,673,034 | |
Wolfspeed, Inc. (a) | 61,837 | 5,827,519 | |
Xilinx, Inc. | 131,425 | 25,437,309 | |
1,124,528,296 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 1,326,133,983 |
| |||
Shares | Value | ||
SOFTWARE – 33.2% | |||
Application Software – 11.6% | |||
8x8, Inc. (a) | 57,513 | $ 882,824 | |
ACI Worldwide, Inc. (a) | 56,491 | 1,941,596 | |
Adobe, Inc. (a) | 253,257 | 135,315,215 | |
Agilysys, Inc. (a) | 12,000 | 456,720 | |
Alarm.com Holdings, Inc. (a) | 25,233 | 1,881,625 | |
Alkami Technology, Inc. (a) | 9,275 | 142,278 | |
Altair Engineering, Inc. Class A (a) | 24,541 | 1,544,120 | |
Alteryx, Inc. Class A (a) | 31,510 | 1,798,276 | |
American Software, Inc. Class A | 15,933 | 366,300 | |
Anaplan, Inc. (a) | 69,445 | 3,352,805 | |
ANSYS, Inc. (a) | 46,408 | 15,779,184 | |
Appfolio, Inc. Class A (a) | 9,292 | 1,070,996 | |
Asana, Inc. (a) | 35,461 | 1,860,993 | |
Aspen Technology, Inc. (a) | 35,715 | 5,362,964 | |
Autodesk, Inc. (a) | 117,104 | 29,251,408 | |
Avalara, Inc. (a) | 45,730 | 5,012,923 | |
Avaya Holdings Corp. (a) | 44,844 | 817,058 | |
AvePoint, Inc. (a) | 43,114 | 253,941 | |
Benefitfocus, Inc. (a) | 13,735 | 153,008 | |
Bentley Systems, Inc. | 93,474 | 3,754,851 | |
Bill.com Holdings, Inc. (a) | 39,765 | 7,484,171 | |
Black Knight, Inc. (a) | 83,210 | 6,207,466 | |
Blackbaud, Inc. (a) | 23,341 | 1,590,456 | |
Blackline, Inc. (a) | 27,828 | 2,556,558 | |
Bottomline Technologies DE, Inc. (a) | 23,798 | 1,341,969 | |
Box, Inc. Class A (a) | 81,310 | 2,124,630 | |
BTRS Holdings, Inc. (a) | 31,773 | 203,347 | |
C3.ai, Inc. (a) | 21,223 | 559,014 | |
Cadence Design Systems, Inc. (a) | 146,976 | 22,360,929 | |
CDK Global, Inc. | 64,108 | 2,754,721 | |
Cerence, Inc. (a) | 20,143 | 1,278,879 | |
Ceridian HCM Holding, Inc. (a) | 71,616 | 5,429,925 | |
ChannelAdvisor Corp. (a) | 15,592 | 329,615 | |
Cipher Mining, Inc. (a) | 26,273 | 79,870 | |
Citrix Systems, Inc. | 65,781 | 6,705,715 | |
Clear Secure, Inc. (a) | 7,904 | 195,150 | |
Consensus Cloud Solutions, Inc. (a) | 7,590 | 430,353 | |
Couchbase, Inc. (a) | 5,752 | 134,769 | |
Coupa Software, Inc. (a) | 39,163 | 5,258,416 | |
Datadog, Inc. Class A (a) | 102,123 | 14,921,191 | |
Digital Turbine, Inc. (a) | 48,602 | 2,145,778 | |
DocuSign, Inc. (a) | 103,606 | 13,030,527 | |
Domo, Inc. Class B (a) | 15,083 | 708,298 | |
Dropbox, Inc. Class A (a) | 167,400 | 4,143,150 | |
Duck Creek Technologies, Inc. (a) | 21,029 | 537,291 | |
Dynatrace, Inc. (a) | 98,443 | 5,400,583 | |
E2open Parent Holdings, Inc. (a) | 79,815 | 742,279 | |
Ebix, Inc. | 13,272 | 403,336 | |
Elastic N.V. (a) | 34,209 | 3,189,989 |
51 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Application Software – continued | |||
Envestnet, Inc. (a) | 26,978 | $ 1,994,753 | |
Everbridge, Inc. (a) | 20,618 | 1,053,992 | |
Fair Isaac Corp. (a) | 15,091 | 7,469,894 | |
Five9, Inc. (a) | 36,074 | 4,534,502 | |
Guidewire Software, Inc. (a) | 41,965 | 4,231,751 | |
HubSpot, Inc. (a) | 23,776 | 11,621,709 | |
Intapp, Inc. (a) | 6,469 | 130,156 | |
InterDigital, Inc. | 16,559 | 1,143,068 | |
Intuit, Inc. | 145,260 | 80,652,710 | |
Jamf Holding Corp. (a) | 18,814 | 621,991 | |
Latch, Inc. (a) | 18,782 | 120,393 | |
LivePerson, Inc. (a) | 35,998 | 1,075,260 | |
Manhattan Associates, Inc. (a) | 33,527 | 4,488,259 | |
Marathon Digital Holdings, Inc. (a) | 52,572 | 1,237,545 | |
MeridianLink, Inc. (a) | 10,689 | 207,260 | |
MicroStrategy, Inc. Class A (a) | 4,093 | 1,506,265 | |
Mimecast Ltd. (a) | 33,001 | 2,630,510 | |
Mitek Systems, Inc. (a) | 22,285 | 364,805 | |
Model N, Inc. (a) | 16,882 | 466,956 | |
Momentive Global, Inc. (a) | 65,585 | 1,123,471 | |
nCino, Inc. | 15,061 | 690,246 | |
NCR Corp. (a) | 69,974 | 2,663,210 | |
New Relic, Inc. (a) | 31,078 | 3,267,541 | |
Nuance Communications, Inc. (a) | 159,116 | 8,791,159 | |
Nutanix, Inc. Class A (a) | 108,806 | 2,974,756 | |
Olo, Inc. (a) | 13,216 | 231,941 | |
ON24, Inc. (a) | 9,291 | 152,930 | |
PagerDuty, Inc. (a) | 34,976 | 1,154,907 | |
Palantir Technologies, Inc. (a) | 844,617 | 11,579,699 | |
Paycom Software, Inc. (a) | 27,158 | 9,106,077 | |
Paylocity Holding Corp. (a) | 20,318 | 4,144,466 | |
Pegasystems, Inc. | 21,648 | 2,147,915 | |
PROS Holdings, Inc. (a) | 22,107 | 612,585 | |
PTC, Inc. (a) | 59,062 | 6,866,548 | |
Q2 Holdings, Inc. (a) | 28,237 | 1,842,464 | |
Rekor Systems, Inc. (a) | 16,275 | 75,679 | |
Rimini Street, Inc. (a) | 18,089 | 93,158 | |
RingCentral, Inc. Class A (a) | 41,175 | 7,266,976 | |
Riot Blockchain, Inc. (a) | 51,090 | 814,375 | |
Salesforce.com, Inc. (a) | 520,433 | 121,068,329 | |
ShotSpotter, Inc. (a) | 4,309 | 113,628 | |
Smartsheet, Inc. Class A (a) | 63,168 | 3,930,313 | |
Splunk, Inc. (a) | 87,051 | 10,787,360 | |
Sprinklr, Inc. (a) | 15,583 | 175,309 | |
Sprout Social, Inc. Class A (a) | 20,652 | 1,421,890 | |
SPS Commerce, Inc. (a) | 19,292 | 2,389,314 | |
SS&C Technologies Holdings, Inc. | 122,275 | 9,766,104 | |
Synopsys, Inc. (a) | 81,039 | 25,162,609 | |
The Trade Desk, Inc. Class A (a) | 231,185 | 16,076,605 |
| |||
Shares | Value | ||
Tyler Technologies, Inc. (a) | 21,681 | $ 10,272,458 | |
Unity Software, Inc. (a) | 30,088 | 3,163,753 | |
Upland Software, Inc. (a) | 13,156 | 257,858 | |
Verint Systems, Inc. (a) | 34,391 | 1,765,290 | |
Veritone, Inc. (a) | 14,630 | 230,715 | |
Vertex, Inc. (a) | 13,537 | 196,422 | |
Vonage Holdings Corp. (a) | 125,965 | 2,625,111 | |
Workday, Inc. Class A (a) | 101,440 | 25,665,334 | |
Workiva, Inc. (a) | 20,611 | 2,437,869 | |
Yext, Inc. (a) | 52,318 | 423,776 | |
Zendesk, Inc. (a) | 63,921 | 6,296,858 | |
Zoom Video Communications, Inc. Class A (a) | 115,387 | 17,801,906 | |
776,428,153 | |||
Systems Software – 21.6% | |||
A10 Networks, Inc. | 28,647 | 423,976 | |
Appian Corp. (a) | 18,800 | 1,059,756 | |
CommVault Systems, Inc. (a) | 21,666 | 1,461,588 | |
Crowdstrike Holdings, Inc. Class A (a) | 100,744 | 18,198,396 | |
Dolby Laboratories, Inc. Class A | 34,567 | 3,036,711 | |
Fortinet, Inc. (a) | 73,731 | 21,915,802 | |
JFrog Ltd. (a) | 19,919 | 532,236 | |
KnowBe4, Inc. (a) | 17,044 | 407,693 | |
Mandiant, Inc. (a) | 127,435 | 1,922,994 | |
McAfee Corp. | 37,942 | 973,212 | |
Microsoft Corp. | 3,795,145 | 1,180,214,192 | |
N-Able, Inc. (a) | 21,165 | 236,201 | |
NortonLifelock, Inc. | 308,363 | 8,020,522 | |
OneSpan, Inc. (a) | 15,923 | 255,723 | |
Oracle Corp. | 890,536 | 72,275,902 | |
Palo Alto Networks, Inc. (a) | 51,726 | 26,763,032 | |
Ping Identity Holding Corp. (a) | 37,780 | 747,666 | |
Progress Software Corp. | 24,061 | 1,095,016 | |
Qualys, Inc. (a) | 17,883 | 2,291,528 | |
Rapid7, Inc. (a) | 28,369 | 2,732,786 | |
SailPoint Technologies Holding, Inc. (a) | 49,852 | 1,928,774 | |
ServiceNow, Inc. (a) | 105,313 | 61,690,249 | |
Telos Corp. (a) | 8,752 | 102,311 | |
Tenable Holdings, Inc. (a) | 40,320 | 2,072,448 | |
Teradata Corp. (a) | 58,800 | 2,371,992 | |
Varonis Systems, Inc. (a) | 56,402 | 2,101,539 | |
VMware, Inc. Class A | 111,477 | 14,322,565 | |
Xperi Holding Corp. | 56,801 | 958,233 | |
Zscaler, Inc. (a) | 42,871 | 11,022,563 | |
Zuora, Inc. Class A (a) | 59,870 | 995,638 | |
1,442,131,244 | |||
TOTAL SOFTWARE | 2,218,559,397 |
Semi-Annual Report | 52 |
Common Stocks – continued | |||
Shares | Value | ||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 24.2% | |||
Technology Hardware, Storage & Peripherals – 24.2% | |||
3D Systems Corp. (a) | 66,760 | $ 1,195,004 | |
Apple, Inc. | 8,787,387 | 1,535,859,500 | |
Avid Technology, Inc. (a) | 17,973 | 563,633 | |
Corsair Gaming, Inc. (a) | 14,711 | 287,453 | |
DELL Technologies, Inc. Class C (a) | 147,314 | 8,368,908 | |
Diebold Nixdorf, Inc. (a) | 38,770 | 362,112 | |
Eastman Kodak Co. (a) | 22,453 | 88,240 | |
Hewlett Packard Enterprise Co. | 693,387 | 11,323,010 | |
HP, Inc. | 637,981 | 23,433,042 | |
NetApp, Inc. | 119,286 | 10,319,432 | |
Pure Storage, Inc. Class A (a) | 142,928 | 3,786,163 | |
Seagate Technology Holdings PLC | 108,782 | 11,655,991 | |
Super Micro Computer, Inc. (a) | 21,574 | 874,179 | |
Western Digital Corp. (a) | 164,427 | 8,507,453 | |
Xerox Holdings Corp. | 80,795 | 1,705,582 | |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 1,618,329,702 | ||
TOTAL COMMON STOCKS (Cost $3,651,307,681) | 6,675,938,160 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $11,734,000) | 11,734,000 | $ 11,734,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $3,663,041,681) | 6,687,672,160 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 2,638,079 | ||
NET ASSETS – 100.0% | $6,690,310,239 |
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 | March 2022 | $ 910,980 | $ (64,651) | $ (64,651) |
CME E-mini S&P Information Technology Select Sector Index Contracts (United States) | 76 | March 2022 | 12,392,560 | (338,884) | (338,884) |
Total Equity Index Contracts | $ (403,535) |
53 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 6,675,938,160 | $ 6,675,938,160 | $ — | $ — | |||||
Money Market Funds | 11,734,000 | 11,734,000 | — | — | |||||
Total Investments in Securities: | $ 6,687,672,160 | $ 6,687,672,160 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (403,535) | $ (403,535) | $ — | $ — | |||||
Total Liabilities | $ (403,535) | $ (403,535) | $ — | $ — | |||||
Total Derivative Instruments: | $ (403,535) | $ (403,535) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(403,535) | |
Total Equity Risk | 0 | (403,535) | |
Total Value of Derivatives | $0 | $(403,535) |
(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). |
Semi-Annual Report | 54 |
Common Stocks – 99.8% | |||
Shares | Value | ||
CHEMICALS – 62.8% | |||
Commodity Chemicals – 8.0% | |||
AdvanSix, Inc. | 11,636 | $ 489,759 | |
Cabot Corp. | 23,383 | 1,285,831 | |
Dow, Inc. | 308,054 | 18,400,065 | |
Hawkins, Inc. | 7,926 | 295,798 | |
Koppers Holdings, Inc. (a) | 8,788 | 262,585 | |
Kronos Worldwide, Inc. | 9,486 | 136,124 | |
LyondellBasell Industries N.V. Class A | 110,542 | 10,692,728 | |
Olin Corp. | 59,683 | 3,024,138 | |
Origin Materials, Inc. (a) | 43,694 | 228,957 | |
Orion Engineered Carbons S.A. | 24,955 | 426,731 | |
PureCycle Technologies, Inc. (a) | 29,036 | 172,764 | |
Tredegar Corp. | 11,094 | 130,355 | |
Trinseo PLC | 12,855 | 688,257 | |
Tronox Holdings PLC Class A | 47,525 | 1,078,817 | |
Valvoline, Inc. | 74,705 | 2,460,783 | |
Westlake Chemical Corp. | 15,888 | 1,567,351 | |
41,341,043 | |||
Diversified Chemicals – 2.3% | |||
Eastman Chemical Co. | 56,088 | 6,670,546 | |
Huntsman Corp. | 87,094 | 3,120,578 | |
The Chemours Co. | 68,273 | 2,233,210 | |
12,024,334 | |||
Fertilizers & Agricultural Chemicals – 6.9% | |||
American Vanguard Corp. | 11,652 | 176,761 | |
CF Industries Holdings, Inc. | 88,851 | 6,119,168 | |
Corteva, Inc. | 303,268 | 14,581,125 | |
FMC Corp. | 53,162 | 5,867,490 | |
The Mosaic Co. | 153,004 | 6,112,510 | |
The Scotts Miracle-Gro Co. | 17,295 | 2,615,004 | |
35,472,058 | |||
Industrial Gases – 18.1% | |||
Air Products & Chemicals, Inc. | 91,439 | 25,796,771 | |
Linde PLC (a) | 213,312 | 67,978,268 | |
93,775,039 | |||
Specialty Chemicals – 27.5% | |||
Albemarle Corp. | 48,309 | 10,663,729 | |
Amyris, Inc. (a) | 67,593 | 308,224 | |
Ashland Global Holdings, Inc. | 23,800 | 2,285,752 | |
Avient Corp. | 37,753 | 1,878,967 | |
Axalta Coating Systems Ltd. (a) | 85,613 | 2,535,001 | |
Balchem Corp. | 13,384 | 1,966,645 | |
Celanese Corp. | 45,899 | 7,146,933 | |
Chase Corp. | 3,110 | 295,077 | |
Danimer Scientific, Inc. (a) | 32,247 | 161,557 | |
DuPont de Nemours, Inc. | 216,059 | 16,550,119 | |
Ecolab, Inc. | 106,356 | 20,149,144 | |
ECOVYST, Inc. | 16,915 | 173,040 | |
Element Solutions, Inc. | 92,132 | 2,067,442 |
| |||
Shares | Value | ||
Ferro Corp. (a) | 30,663 | $ 668,453 | |
FutureFuel Corp. | 11,014 | 85,909 | |
GCP Applied Technologies, Inc. (a) | 18,223 | 581,314 | |
HB Fuller Co. | 21,667 | 1,555,041 | |
Ingevity Corp. (a) | 16,302 | 1,074,465 | |
Innospec, Inc. | 10,158 | 944,288 | |
International Flavors & Fragrances, Inc. | 102,882 | 13,572,193 | |
Kraton Corp. (a) | 13,327 | 618,106 | |
Livent Corp. (a) | 66,829 | 1,537,735 | |
Minerals Technologies, Inc. | 13,904 | 972,863 | |
NewMarket Corp. | 3,615 | 1,222,123 | |
PPG Industries, Inc. | 98,045 | 15,314,629 | |
Quaker Chemical Corp. | 5,547 | 1,160,266 | |
RPM International, Inc. | 53,606 | 4,750,028 | |
Sensient Technologies Corp. | 17,390 | 1,473,629 | |
Stepan Co. | 8,804 | 969,849 | |
The Sherwin-Williams Co. | 103,325 | 29,603,646 | |
142,286,167 | |||
TOTAL CHEMICALS | 324,898,641 | ||
CONSTRUCTION MATERIALS – 4.8% | |||
Construction Materials – 4.8% | |||
Eagle Materials, Inc. | 16,443 | 2,398,212 | |
Forterra, Inc. (a) | 12,327 | 289,315 | |
Martin Marietta Materials, Inc. | 25,767 | 10,026,455 | |
Summit Materials, Inc. Class A (a) | 48,673 | 1,730,812 | |
United States Lime & Minerals, Inc. | 923 | 116,750 | |
Vulcan Materials Co. | 54,805 | 10,429,939 | |
TOTAL CONSTRUCTION MATERIALS | 24,991,483 | ||
CONTAINERS & PACKAGING – 14.1% | |||
Metal & Glass Containers – 5.9% | |||
AptarGroup, Inc. | 27,248 | 3,196,190 | |
Ball Corp. | 134,911 | 13,099,858 | |
Berry Global Group, Inc. (a) | 55,888 | 3,767,969 | |
Crown Holdings, Inc. | 54,265 | 6,207,916 | |
Greif, Inc. Class A | 10,406 | 615,619 | |
Greif, Inc. Class B | 1,787 | 106,148 | |
Myers Industries, Inc. | 12,652 | 228,622 | |
O-I Glass, Inc. (a) | 65,038 | 865,656 | |
Silgan Holdings, Inc. | 36,431 | 1,631,380 | |
Trimas Corp. | 17,777 | 617,928 | |
30,337,286 | |||
Paper Packaging – 8.2% | |||
Amcor PLC | 635,430 | 7,631,514 | |
Avery Dennison Corp. | 34,236 | 7,032,759 | |
Graphic Packaging Holding Co. | 126,637 | 2,394,706 | |
International Paper Co. | 153,369 | 7,400,054 | |
Packaging Corp. of America | 39,239 | 5,910,571 | |
Pactiv Evergreen, Inc. | 18,203 | 199,323 |
55 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
CONTAINERS & PACKAGING – continued | |||
Paper Packaging – continued | |||
Ranpak Holdings Corp. (a) | 16,210 | $ 435,401 | |
Sealed Air Corp. | 61,916 | 4,205,335 | |
Sonoco Products Co. | 40,638 | 2,301,736 | |
Westrock Co. | 110,291 | 5,091,032 | |
42,602,431 | |||
TOTAL CONTAINERS & PACKAGING | 72,939,717 | ||
METALS & MINING – 17.2% | |||
Aluminum – 1.3% | |||
Alcoa Corp. | 77,188 | 4,377,331 | |
Arconic Corp. (a) | 42,856 | 1,325,536 | |
Century Aluminum Co. (a) | 22,312 | 342,266 | |
Kaiser Aluminum Corp. | 6,574 | 629,461 | |
6,674,594 | |||
Copper – 4.4% | |||
Freeport-McMoRan, Inc. | 606,410 | 22,570,580 | |
Diversified Metals & Mining – 0.5% | |||
Compass Minerals International, Inc. | 14,026 | 748,988 | |
Materion Corp. | 8,471 | 701,822 | |
MP Materials Corp. (a) | 25,657 | 1,024,741 | |
Piedmont Lithium, Inc. (a) | 6,549 | 316,841 | |
2,792,392 | |||
Gold – 4.5% | |||
Coeur Mining, Inc. (a) | 106,323 | 498,655 | |
McEwen Mining, Inc. (a) | 160,345 | 136,678 | |
Newmont Corp. | 330,094 | 20,191,850 | |
Royal Gold, Inc. | 27,119 | 2,753,934 | |
23,581,117 | |||
Silver – 0.2% | |||
Gatos Silver, Inc. (a) | 17,069 | 53,085 | |
Hecla Mining Co. | 221,466 | 1,098,471 | |
1,151,556 | |||
Steel – 6.3% | |||
Allegheny Technologies, Inc. (a) | 52,679 | 963,499 | |
Alpha Metallurgical Resources, Inc. (a) | 6,831 | 431,924 | |
Carpenter Technology Corp. | 19,919 | 572,074 | |
Cleveland-Cliffs, Inc. (a) | 196,114 | 3,361,394 | |
Commercial Metals Co. | 49,733 | 1,663,072 | |
Nucor Corp. | 121,316 | 12,301,442 | |
Reliance Steel & Aluminum Co. | 26,224 | 4,009,125 |
| |||
Shares | Value | ||
Ryerson Holding Corp. | 7,137 | $ 146,309 | |
Schnitzer Steel Industries, Inc. Class A | 10,745 | 420,559 | |
Steel Dynamics, Inc. | 84,314 | 4,681,113 | |
SunCoke Energy, Inc. | 34,539 | 236,592 | |
United States Steel Corp. | 111,681 | 2,314,030 | |
Warrior Met Coal, Inc. | 21,248 | 556,698 | |
Worthington Industries, Inc. | 13,833 | 749,472 | |
32,407,303 | |||
TOTAL METALS & MINING | 89,177,542 | ||
PAPER & FOREST PRODUCTS – 0.9% | |||
Forest Products – 0.5% | |||
Louisiana-Pacific Corp. | 39,278 | 2,609,630 | |
Paper Products – 0.4% | |||
Clearwater Paper Corp. (a) | 6,867 | 217,135 | |
Glatfelter Corp. | 18,404 | 319,494 | |
Mercer International, Inc. | 17,540 | 213,111 | |
Neenah, Inc. | 7,019 | 323,576 | |
Schweitzer-Mauduit International, Inc. | 13,053 | 395,114 | |
Sylvamo Corp. (a) | 14,594 | 434,755 | |
1,903,185 | |||
TOTAL PAPER & FOREST PRODUCTS | 4,512,815 | ||
TOTAL COMMON STOCKS (Cost $495,398,448) | 516,520,198 | ||
Money Market Fund – 0.3% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,389,000) | 1,389,000 | 1,389,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $496,787,448) | 517,909,198 | ||
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (400,693) | ||
NET ASSETS – 100.0% | $ 517,508,505 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 56 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P Materials Select Sector Index Contracts (United States) | 9 | March 2022 | $ 801,990 | $ (43,186) | $ (43,186) |
CME E-mini Micro Russell 2000 Index Contracts (United States) | 9 | March 2022 | 91,098 | (8,617) | (8,617) |
Total Equity Index Contracts | $ (51,803) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 516,520,198 | $ 516,520,198 | $ — | $ — | |||||
Money Market Funds | 1,389,000 | 1,389,000 | — | — | |||||
Total Investments in Securities: | $ 517,909,198 | $ 517,909,198 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (51,803) | $ (51,803) | $ — | $ — | |||||
Total Liabilities | $ (51,803) | $ (51,803) | $ — | $ — | |||||
Total Derivative Instruments: | $ (51,803) | $ (51,803) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(51,803) | |
Total Equity Risk | 0 | (51,803) | |
Total Value of Derivatives | $0 | $(51,803) |
(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). |
57 | Semi-Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 94.4% | |||
Diversified REITs – 3.1% | |||
Alexander & Baldwin, Inc. | 100,843 | $ 2,314,347 | |
American Assets Trust, Inc. | 71,717 | 2,579,660 | |
Armada Hoffler Properties, Inc. | 80,970 | 1,136,009 | |
Broadstone Net Lease, Inc. | 231,910 | 5,359,440 | |
DigitalBridge Group, Inc. (a) | 682,940 | 4,985,462 | |
Empire State Realty Trust, Inc. Class A | 201,408 | 1,796,559 | |
Essential Properties Realty Trust, Inc. | 176,461 | 4,685,040 | |
Gladstone Commercial Corp. | 49,147 | 1,139,719 | |
Global Net Lease, Inc. | 124,393 | 1,783,796 | |
iStar, Inc. | 100,870 | 2,165,679 | |
One Liberty Properties, Inc. | 27,233 | 830,606 | |
PS Business Parks, Inc. | 28,360 | 4,734,986 | |
STORE Capital Corp. | 337,073 | 10,688,585 | |
Washington Real Estate Investment Trust | 105,191 | 2,589,802 | |
WP Carey, Inc. | 246,353 | 19,116,993 | |
65,906,683 | |||
Health Care REITs – 7.9% | |||
CareTrust REIT, Inc. | 131,491 | 2,788,924 | |
Community Healthcare Trust, Inc. | 38,019 | 1,723,781 | |
Diversified Healthcare Trust | 322,008 | 982,124 | |
Global Medical REIT, Inc. | 101,005 | 1,707,995 | |
Healthcare Realty Trust, Inc. | 197,807 | 6,135,973 | |
Healthcare Trust of America, Inc. Class A | 296,913 | 9,664,518 | |
Healthpeak Properties, Inc. | 722,058 | 25,539,192 | |
LTC Properties, Inc. | 42,155 | 1,520,531 | |
Medical Properties Trust, Inc. | 797,232 | 18,145,000 | |
National Health Investors, Inc. | 55,599 | 3,215,290 | |
Omega Healthcare Investors, Inc. | 320,567 | 10,091,449 | |
Physicians Realty Trust | 273,392 | 4,992,138 | |
Sabra Health Care REIT, Inc. | 300,457 | 4,089,220 | |
Universal Health Realty Income Trust | 16,848 | 982,238 | |
Ventas, Inc. | 533,925 | 28,308,704 | |
Welltower, Inc. | 573,042 | 49,642,629 | |
169,529,706 | |||
Hotel & Resort REITs – 2.6% | |||
Apple Hospitality REIT, Inc. | 298,256 | 4,810,869 | |
Chatham Lodging Trust (a) | 65,975 | 875,488 | |
CorePoint Lodging, Inc. (a) | 58,266 | 915,359 | |
DiamondRock Hospitality Co. (a) | 284,084 | 2,656,185 | |
Host Hotels & Resorts, Inc. (a) | 972,170 | 16,857,428 | |
Park Hotels & Resorts, Inc. (a) | 324,809 | 5,911,524 | |
Pebblebrook Hotel Trust | 186,077 | 4,028,567 | |
RLJ Lodging Trust | 232,192 | 3,215,859 | |
Ryman Hospitality Properties, Inc. (a) | 72,545 | 6,412,978 | |
Service Properties Trust | 218,981 | 1,872,288 |
| |||
Shares | Value | ||
Summit Hotel Properties, Inc. (a) | 159,213 | $ 1,499,787 | |
Sunstone Hotel Investors, Inc. (a) | 296,980 | 3,358,844 | |
Xenia Hotels & Resorts, Inc. (a) | 161,757 | 2,804,866 | |
55,220,042 | |||
Industrial REITs – 12.5% | |||
Americold Realty Trust | 359,647 | 10,231,957 | |
Duke Realty Corp. | 514,790 | 29,744,566 | |
EastGroup Properties, Inc. | 55,373 | 11,069,616 | |
First Industrial Realty Trust, Inc. | 174,994 | 10,636,135 | |
Industrial Logistics Properties Trust | 90,090 | 2,065,764 | |
Lexington Realty Trust | 380,996 | 5,673,030 | |
Monmouth Real Estate Investment Corp. Class A | 130,483 | 2,738,838 | |
Plymouth Industrial REIT, Inc. | 55,958 | 1,608,793 | |
Prologis, Inc. | 1,006,242 | 157,798,870 | |
Rexford Industrial Realty, Inc. | 192,644 | 14,095,762 | |
SL Green Realty Corp. | 92,098 | 6,678,947 | |
STAG Industrial, Inc. | 224,676 | 9,600,406 | |
Terreno Realty Corp. | 97,819 | 7,313,927 | |
269,256,611 | |||
Office REITs – 6.3% | |||
Alexandria Real Estate Equities, Inc. | 197,841 | 38,547,340 | |
Boston Properties, Inc. | 200,806 | 22,506,337 | |
Brandywine Realty Trust | 219,241 | 2,819,439 | |
City Office REIT, Inc. | 67,683 | 1,206,788 | |
Corporate Office Properties Trust | 138,812 | 3,506,391 | |
Cousins Properties, Inc. | 204,462 | 7,884,055 | |
Douglas Emmett, Inc. | 239,103 | 7,464,796 | |
Easterly Government Properties, Inc. | 114,760 | 2,406,517 | |
Equity Commonwealth (a) | 168,636 | 4,391,281 | |
Franklin Street Properties Corp. | 124,553 | 691,269 | |
Highwoods Properties, Inc. | 142,852 | 6,159,778 | |
Hudson Pacific Properties, Inc. | 209,420 | 4,948,595 | |
JBG SMITH Properties | 157,787 | 4,323,364 | |
Kilroy Realty Corp. | 144,399 | 9,241,536 | |
Mack-Cali Realty Corp. (a) | 85,933 | 1,417,895 | |
Office Properties Income Trust | 65,463 | 1,667,997 | |
Orion Office REIT, Inc. (a) | 98,433 | 1,637,925 | |
Paramount Group, Inc. | 226,552 | 1,968,737 | |
Piedmont Office Realty Trust, Inc. Class A | 157,607 | 2,799,100 | |
Vornado Realty Trust | 220,128 | 9,027,449 | |
134,616,589 | |||
REITs - Shopping Centers – 0.0% | |||
Phillips Edison & Co., Inc. | 34,350 | 1,082,712 | |
Residential REITs – 15.1% | |||
American Campus Communities, Inc. | 185,602 | 9,699,560 | |
American Homes 4 Rent Class A | 390,672 | 15,286,995 | |
Apartment Income REIT Corp. | 216,719 | 11,447,098 |
Semi-Annual Report | 58 |
Common Stocks – continued | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Residential REITs – continued | |||
Apartment Investment and Management Co. Class A (a) | 191,394 | $ 1,345,500 | |
AvalonBay Communities, Inc. | 188,433 | 46,020,992 | |
Camden Property Trust | 137,520 | 22,015,577 | |
Centerspace | 19,309 | 1,841,692 | |
Equity Lifestyle Properties, Inc. | 239,095 | 18,718,747 | |
Equity Residential | 480,401 | 42,625,981 | |
Essex Property Trust, Inc. | 88,137 | 29,305,552 | |
Independence Realty Trust, Inc. | 160,034 | 3,679,182 | |
Invitation Homes, Inc. | 783,663 | 32,898,173 | |
Mid-America Apartment Communities, Inc. | 155,970 | 32,235,880 | |
NexPoint Residential Trust, Inc. | 31,976 | 2,535,697 | |
Sun Communities, Inc. | 159,577 | 30,153,670 | |
UDR, Inc. | 400,621 | 22,771,298 | |
UMH Properties, Inc. | 68,169 | 1,608,788 | |
324,190,382 | |||
Retail REITs – 10.9% | |||
Acadia Realty Trust | 119,841 | 2,371,653 | |
Agree Realty Corp. | 102,631 | 6,710,015 | |
Alexander's, Inc. | 2,514 | 661,861 | |
American Finance Trust, Inc. | 144,967 | 1,197,427 | |
Brixmor Property Group, Inc. | 404,895 | 10,268,137 | |
Federal Realty Investment Trust | 94,236 | 12,014,148 | |
Getty Realty Corp. | 46,615 | 1,383,067 | |
Kimco Realty Corp. | 803,742 | 19,498,781 | |
Kite Realty Group Trust | 300,157 | 6,267,278 | |
National Retail Properties, Inc. | 237,888 | 10,557,469 | |
NETSTREIT Corp. | 80,609 | 1,821,763 | |
Realty Income Corp. | 755,121 | 52,412,949 | |
Regency Centers Corp. | 209,289 | 15,016,486 | |
Retail Opportunity Investments Corp. | 162,928 | 3,019,056 | |
RPT Realty | 122,915 | 1,551,187 | |
Saul Centers, Inc. | 18,435 | 910,320 | |
Seritage Growth Properties, Class A (a) | 61,509 | 637,233 | |
Simon Property Group, Inc. | 447,515 | 65,874,208 | |
SITE Centers Corp. | 240,460 | 3,561,213 | |
Spirit Realty Capital, Inc. | 161,858 | 7,681,781 | |
Tanger Factory Outlet Centers, Inc. | 145,573 | 2,476,197 | |
The Macerich Co. | 289,863 | 4,794,334 | |
Urban Edge Properties | 162,986 | 2,972,865 | |
Urstadt Biddle Properties, Inc. Class A | 49,434 | 973,355 | |
234,632,783 | |||
Specialized REITs – 36.0% | |||
American Tower Corp. | 619,893 | 155,903,090 |
| |||
Shares | Value | ||
CatchMark Timber Trust, Inc. Class A | 67,564 | $ 554,025 | |
Crown Castle International Corp. | 588,483 | 107,404,032 | |
CubeSmart | 279,871 | 14,200,655 | |
CyrusOne, Inc. | 168,686 | 15,156,437 | |
Digital Realty Trust, Inc. | 384,885 | 57,436,389 | |
EPR Properties | 103,080 | 4,532,428 | |
Equinix, Inc. | 122,264 | 88,629,174 | |
Extra Space Storage, Inc. | 182,060 | 36,082,471 | |
Four Corners Property Trust, Inc. | 101,963 | 2,760,138 | |
Gaming and Leisure Properties, Inc. | 304,985 | 13,779,222 | |
Gladstone Land Corp. | 43,792 | 1,334,780 | |
Iron Mountain, Inc. | 396,060 | 18,187,075 | |
Lamar Advertising Co. Class A | 118,712 | 13,148,541 | |
Life Storage, Inc. | 107,060 | 14,447,747 | |
MGM Growth Properties LLC Class A | 215,252 | 8,368,998 | |
National Storage Affiliates Trust | 126,538 | 7,789,679 | |
Outfront Media, Inc. | 206,235 | 5,122,877 | |
PotlatchDeltic Corp. | 92,440 | 4,972,348 | |
Public Storage | 214,061 | 76,747,290 | |
Rayonier, Inc. | 194,926 | 7,122,596 | |
Safehold, Inc. | 24,160 | 1,495,504 | |
SBA Communications Corp. | 149,481 | 48,647,097 | |
Uniti Group, Inc. | 322,825 | 3,893,270 | |
VICI Properties, Inc. | 856,781 | 24,521,072 | |
Weyerhaeuser Co. | 1,018,587 | 41,181,472 | |
773,418,407 | |||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 2,027,853,915 | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – 5.4% | |||
Diversified Real Estate Activities – 0.2% | |||
Five Point Holdings LLC Class A (a) | 105,003 | 607,968 | |
Tejon Ranch Co. (a) | 30,222 | 526,165 | |
The RMR Group, Inc. Class A | 22,923 | 733,765 | |
The St. Joe Co. | 46,904 | 2,275,313 | |
4,143,211 | |||
Interactive Media & Services – 0.2% | |||
Zillow Group, Inc. Class A (a) | 84,719 | 4,224,089 | |
Real Estate Development – 0.3% | |||
Forestar Group, Inc. (a) | 37,797 | 754,050 | |
The Howard Hughes Corp. (a) | 55,132 | 5,309,763 | |
6,063,813 | |||
Real Estate Operating Companies – 0.2% | |||
FRP Holdings, Inc. (a) | 11,894 | 671,773 | |
Kennedy-Wilson Holdings, Inc. | 154,274 | 3,464,994 | |
4,136,767 | |||
Real Estate Services – 4.5% | |||
CBRE Group, Inc. Class A (a) | 456,068 | 46,217,931 | |
Cushman & Wakefield PLC (a) | 176,998 | 3,715,188 |
59 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – continued | |||
Real Estate Services – continued | |||
Doma Holdings, Inc. (a) | 213,901 | $ 855,604 | |
Douglas Elliman, Inc. (a) | 113,904 | 883,895 | |
eXp World Holdings, Inc. | 94,651 | 2,568,828 | |
Jones Lang LaSalle, Inc. (a) | 69,186 | 17,351,157 | |
Marcus & Millichap, Inc. (a) | 37,632 | 1,761,554 | |
Newmark Group, Inc. Class A | 247,593 | 3,790,649 | |
Opendoor Technologies, Inc. (a) | 178,086 | 1,768,394 | |
RE/MAX Holdings, Inc. Class A | 25,197 | 749,863 | |
Realogy Holdings Corp. (a) | 158,255 | 2,611,207 | |
Redfin Corp. (a) | 135,970 | 4,020,633 | |
Zillow Group, Inc. Class C (a) | 228,347 | 11,526,957 | |
97,821,860 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 116,389,740 | ||
TOTAL COMMON STOCKS (Cost $1,813,651,672) | 2,144,243,655 |
Money Market Fund – 0.1% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,511,000) | 2,511,000 | $ 2,511,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,816,162,672) | 2,146,754,655 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,749,741 | ||
NET ASSETS – 100.0% | $ 2,148,504,396 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Dow Jones U.S. Real Estate Index Contracts (United States) | 96 | March 2022 | $3,984,000 | $(237,221) | $(237,221) |
Semi-Annual Report | 60 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,144,243,655 | $ 2,144,243,655 | $ — | $ ��� | |||||
Money Market Funds | 2,511,000 | 2,511,000 | — | — | |||||
Total Investments in Securities: | $ 2,146,754,655 | $ 2,146,754,655 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (237,221) | $ (237,221) | $ — | $ — | |||||
Total Liabilities | $ (237,221) | $ (237,221) | $ — | $ — | |||||
Total Derivative Instruments: | $ (237,221) | $ (237,221) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(237,221) | |
Total Equity Risk | 0 | (237,221) | |
Total Value of Derivatives | $0 | $(237,221) |
(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). |
61 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
ELECTRIC UTILITIES – 59.4% | |||
Electric Utilities – 59.4% | |||
ALLETE, Inc. | 56,757 | $ 3,622,799 | |
Alliant Energy Corp. | 271,190 | 16,233,433 | |
American Electric Power Co., Inc. | 542,091 | 49,005,026 | |
Duke Energy Corp. | 833,662 | 87,584,530 | |
Edison International | 411,451 | 25,835,008 | |
Entergy Corp. | 217,766 | 24,339,706 | |
Evergy, Inc. | 248,457 | 16,139,767 | |
Eversource Energy | 372,378 | 33,324,107 | |
Exelon Corp. | 1,059,598 | 61,403,704 | |
FirstEnergy Corp. | 589,705 | 24,744,022 | |
Hawaiian Electric Industries, Inc. | 118,583 | 5,039,778 | |
IDACORP, Inc. | 54,768 | 6,036,529 | |
MGE Energy, Inc. | 39,365 | 3,048,032 | |
NextEra Energy, Inc. | 2,125,797 | 166,067,262 | |
NRG Energy, Inc. | 265,250 | 10,591,432 | |
OGE Energy Corp. | 216,933 | 8,226,099 | |
Otter Tail Corp. | 45,156 | 2,862,890 | |
PG&E Corp. (a) | 1,613,471 | 20,636,294 | |
Pinnacle West Capital Corp. | 122,208 | 8,506,899 | |
PNM Resources, Inc. | 88,513 | 3,966,268 | |
Portland General Electric Co. | 96,968 | 5,094,699 | |
PPL Corp. | 833,974 | 24,752,348 | |
The Southern Co. | 1,147,381 | 79,731,506 | |
Xcel Energy, Inc. | 583,469 | 40,644,451 | |
TOTAL ELECTRIC UTILITIES | 727,436,589 | ||
GAS UTILITIES – 4.5% | |||
Gas Utilities – 4.5% | |||
Atmos Energy Corp. | 141,719 | 15,195,111 | |
Chesapeake Utilities Corp. | 17,976 | 2,448,511 | |
National Fuel Gas Co. | 93,935 | 5,704,673 | |
New Jersey Resources Corp. | 104,657 | 4,208,258 | |
Northwest Natural Holding Co. | 33,601 | 1,590,671 | |
ONE Gas, Inc. | 58,044 | 4,521,047 | |
South Jersey Industries, Inc. | 122,162 | 3,056,493 | |
Southwest Gas Holdings, Inc. | 64,122 | 4,371,838 | |
Spire, Inc. | 56,129 | 3,700,024 | |
Star Group LP | 39,353 | 410,845 | |
UGI Corp. | 226,568 | 10,274,859 | |
TOTAL GAS UTILITIES | 55,482,330 | ||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 3.4% | |||
Independent Power Producers & Energy Traders – 2.5% | |||
Clearway Energy, Inc. Class A | 35,787 | 1,104,029 | |
Clearway Energy, Inc. Class C | 84,470 | 2,844,950 | |
The AES Corp. | 722,079 | 16,015,712 | |
Vistra Corp. | 470,572 | 10,263,175 | |
30,227,866 |
| |||
Shares | Value | ||
Renewable Electricity – 0.9% | |||
NextEra Energy Partners LP | 83,064 | $ 6,248,074 | |
Ormat Technologies, Inc. | 48,634 | 3,314,894 | |
Sunnova Energy International, Inc. (a) | 91,471 | 1,798,320 | |
11,361,288 | |||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 41,589,154 | ||
MULTI-UTILITIES – 27.8% | |||
Multi-Utilities – 27.8% | |||
Ameren Corp. | 278,632 | 24,725,804 | |
Avista Corp. | 74,139 | 3,296,220 | |
Black Hills Corp. | 68,868 | 4,665,118 | |
CenterPoint Energy, Inc. | 642,473 | 18,220,534 | |
CMS Energy Corp. | 313,878 | 20,207,466 | |
Consolidated Edison, Inc. | 382,930 | 33,104,299 | |
Dominion Energy, Inc. | 876,105 | 70,666,629 | |
DTE Energy Co. | 209,962 | 25,285,724 | |
MDU Resources Group, Inc. | 219,444 | 6,445,070 | |
NiSource, Inc. | 425,218 | 12,407,861 | |
NorthWestern Corp. | 55,874 | 3,247,397 | |
Public Service Enterprise Group, Inc. | 547,864 | 36,449,392 | |
Sempra Energy | 346,032 | 47,807,781 | |
Unitil Corp. | 17,471 | 820,089 | |
WEC Energy Group, Inc. | 341,812 | 33,169,436 | |
TOTAL MULTI-UTILITIES | 340,518,820 | ||
WATER UTILITIES – 4.6% | |||
Water Utilities – 4.6% | |||
American States Water Co. | 40,086 | 3,697,132 | |
American Water Works Co., Inc. | 196,683 | 31,626,626 | |
California Water Service Group | 55,949 | 3,473,873 | |
Essential Utilities, Inc. | 253,000 | 12,331,220 | |
Middlesex Water Co. | 18,011 | 1,823,434 | |
SJW Group | 30,887 | 2,126,879 | |
The York Water Co. | 14,348 | 651,686 | |
TOTAL WATER UTILITIES | 55,730,850 | ||
TOTAL COMMON STOCKS (Cost $1,135,701,729) | 1,220,757,743 |
Semi-Annual Report | 62 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,214,000) | 2,214,000 | $ 2,214,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,137,915,729) | 1,222,971,743 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 622,917 | ||
NET ASSETS – 100.0% | $1,223,594,660 |
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) | 37 | March 2022 | $2,577,790 | $(18,998) | $(18,998) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,220,757,743 | $ 1,220,757,743 | $ — | $ — | |||||
Money Market Funds | 2,214,000 | 2,214,000 | — | — | |||||
Total Investments in Securities: | $ 1,222,971,743 | $ 1,222,971,743 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (18,998) | $ (18,998) | $ — | $ — | |||||
Total Liabilities | $ (18,998) | $ (18,998) | $ — | $ — | |||||
Total Derivative Instruments: | $ (18,998) | $ (18,998) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(18,998) | |
Total Equity Risk | 0 | (18,998) | |
Total Value of Derivatives | $0 | $(18,998) |
(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). |
63 | Semi-Annual Report |
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 | $ 788,632,498 | $ 1,573,452,640 | $ 963,405,089 | $ 1,229,103,870 | |||
Segregated cash with brokers for derivative instruments | 55,000 | 117,000 | 110,500 | 168,000 | |||
Cash | 134,762 | 78,286 | 41,242 | 2,901 | |||
Receivable for investments sold | 3,477,839 | 233,410 | — | 51,629 | |||
Receivable for fund shares sold | — | — | 28,265 | 71,135 | |||
Dividends receivable | 1,280,782 | 434,965 | 1,134,709 | 935,030 | |||
Interest receivable | 5 | 12 | 7 | 6 | |||
Receivable for daily variation margin on futures contracts | 18,592 | 60,957 | 12,803 | 14,153 | |||
Total assets | 793,599,478 | 1,574,377,270 | 964,732,615 | 1,230,346,724 | |||
Liabilities | |||||||
Payable for investments purchased | 4,907,849 | 118,851 | — | — | |||
Payable for fund shares redeemed | — | 23,035 | — | — | |||
Accrued management fees | 56,764 | 121,479 | 65,067 | 81,153 | |||
Payable for daily variation margin on futures contracts | — | — | — | — | |||
Total liabilities | 4,964,613 | 263,365 | 65,067 | 81,153 | |||
Net Assets | $788,634,865 | $1,574,113,905 | $964,667,548 | $1,230,265,571 | |||
Net Assets consist of: | |||||||
Paid in capital | $691,267,733 | $1,188,683,799 | $840,245,901 | $1,135,518,593 | |||
Total accumulated earnings (loss) | 97,367,132 | 385,430,106 | 124,421,647 | 94,746,978 | |||
Net Assets | $788,634,865 | $1,574,113,905 | $964,667,548 | $1,230,265,571 | |||
Shares outstanding | 16,350,000 | 19,750,000 | 21,100,000 | 69,050,000 | |||
Net Asset Value per share | $ 48.23 | $ 79.70 | $ 45.72 | $ 17.82 | |||
Investments at cost | $694,986,585 | $1,318,056,341 | $819,025,313 | $ 962,090,092 |
Semi-Annual Report | 64 |
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 | $ 1,931,294,646 | $ 2,790,185,891 | $ 839,220,437 | $ 6,687,672,160 | |||
Segregated cash with brokers for derivative instruments | 307,700 | 330,000 | 96,500 | 733,500 | |||
Cash | 70,511 | 21,613 | 21,246 | 520,194 | |||
Receivable for investments sold | 12,895 | 135,483 | — | 259,798 | |||
Receivable for fund shares sold | 147,581 | — | — | — | |||
Dividends receivable | 1,168,653 | 3,727,158 | 349,377 | 1,248,189 | |||
Interest receivable | 19 | 31 | 7 | 39 | |||
Receivable for daily variation margin on futures contracts | 35,263 | 69,085 | 32,616 | 349,332 | |||
Total assets | 1,933,037,268 | 2,794,469,261 | 839,720,183 | 6,690,783,212 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | — | — | |||
Payable for fund shares redeemed | — | 12,790 | 38,745 | — | |||
Accrued management fees | 137,144 | 199,343 | 62,264 | 472,973 | |||
Payable for daily variation margin on futures contracts | — | — | — | — | |||
Total liabilities | 137,144 | 212,133 | 101,009 | 472,973 | |||
Net Assets | $1,932,900,124 | $2,794,257,128 | $839,619,174 | $6,690,310,239 | |||
Net Assets consist of: | |||||||
Paid in capital | $1,593,131,322 | $2,145,046,921 | $732,963,436 | $3,645,352,999 | |||
Total accumulated earnings (loss) | 339,768,802 | 649,210,207 | 106,655,738 | 3,044,957,240 | |||
Net Assets | $1,932,900,124 | $2,794,257,128 | $839,619,174 | $6,690,310,239 | |||
Shares outstanding | 34,750,000 | 44,200,000 | 15,950,000 | 53,550,000 | |||
Net Asset Value per share | $ 55.62 | $ 63.22 | $ 52.64 | $ 124.94 | |||
Investments at cost | $1,593,239,036 | $2,168,564,929 | $742,310,342 | $3,663,041,681 |
65 | Semi-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 | $ 517,909,198 | $ 2,146,754,655 | $ 1,222,971,743 | ||
Segregated cash with brokers for derivative instruments | 40,950 | 220,800 | 111,000 | ||
Cash | 39,415 | 96,336 | 33,550 | ||
Receivable for investments sold | — | 942,561 | — | ||
Receivable for fund shares sold | 20,516 | — | 94,557 | ||
Dividends receivable | 298,479 | 666,966 | 444,315 | ||
Interest receivable | 6 | 13 | 10 | ||
Receivable for daily variation margin on futures contracts | 15,639 | — | 23,976 | ||
Total assets | 518,324,203 | 2,148,681,331 | 1,223,679,151 | ||
Liabilities | |||||
Payable for investments purchased | 768,502 | — | — | ||
Payable for fund shares redeemed | 10,258 | — | — | ||
Accrued management fees | 36,938 | 153,975 | 84,491 | ||
Payable for daily variation margin on futures contracts | — | 22,960 | — | ||
Total liabilities | 815,698 | 176,935 | 84,491 | ||
Net Assets | $517,508,505 | $2,148,504,396 | $1,223,594,660 | ||
Net Assets consist of: | |||||
Paid in capital | $484,807,248 | $1,857,195,053 | $1,140,872,625 | ||
Total accumulated earnings (loss) | 32,701,257 | 291,309,343 | 82,722,035 | ||
Net Assets | $517,508,505 | $2,148,504,396 | $1,223,594,660 | ||
Shares outstanding | 11,050,000 | 67,400,000 | 27,350,000 | ||
Net Asset Value per share | $ 46.83 | $ 31.88 | $ 44.74 | ||
Investments at cost | $496,787,448 | $1,816,162,672 | $1,137,915,729 |
Semi-Annual Report | 66 |
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 | $ 3,726,224 | $ 6,715,853 | $ 10,050,130 | $ 20,530,988 | |||
Non-Cash dividends | 1,381,986 | — | — | — | |||
Interest | 26 | 52 | 30 | 32 | |||
Total income | 5,108,236 | 6,715,905 | 10,050,160 | 20,531,020 | |||
Expenses | |||||||
Management fees | 380,805 | 716,042 | 355,653 | 418,109 | |||
Independent trustees' fees and expenses | 1,592 | 2,938 | 1,458 | 1,674 | |||
Legal | — | 33 | — | — | |||
Total expenses | 382,397 | 719,013 | 357,111 | 419,783 | |||
Net investment income (loss) | 4,725,839 | 5,996,892 | 9,693,049 | 20,111,237 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 2,178,061 | (5,989,711) | (64,309) | (18,081,175) | |||
Net realized gain (loss) on In-kind redemptions | 35,830,441 | 167,948,428 | 5,308,390 | 38,070,970 | |||
Net realized gain (loss) on futures contracts | (201,485) | 281,586 | 285,452 | (55,734) | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | 37,807,017 | 162,240,303 | 5,529,533 | 19,934,061 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (151,718,321) | (203,394,509) | 40,782,839 | 260,122,194 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (87,835) | (220,160) | (45,470) | 328,765 | |||
Total change in net unrealized appreciation (depreciation) | (151,806,156) | (203,614,669) | 40,737,369 | 260,450,959 | |||
Net gain (loss) | (113,999,139) | (41,374,366) | 46,266,902 | 280,385,020 | |||
Net increase (decrease) in net assets resulting from operations | $(109,273,300) | $ (35,377,474) | $ 55,959,951 | $300,496,257 |
67 | Semi-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 | $ 18,759,093 | $ 18,672,386 | $ 5,523,399 | $ 24,407,862 | |||
Non-Cash dividends | — | — | — | — | |||
Interest | 68 | 123 | 26 | 283 | |||
Total income | 18,759,161 | 18,672,509 | 5,523,425 | 24,408,145 | |||
Expenses | |||||||
Management fees | 789,622 | 1,217,116 | 363,950 | 2,777,781 | |||
Independent trustees' fees and expenses | 3,209 | 5,033 | 1,515 | 11,273 | |||
Legal | — | — | — | — | |||
Total expenses | 792,831 | 1,222,149 | 365,465 | 2,789,054 | |||
Net investment income (loss) | 17,966,330 | 17,450,360 | 5,157,960 | 21,619,091 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (3,684,993) | (1,562,586) | 2,619,951 | 4,801,621 | |||
Net realized gain (loss) on In-kind redemptions | 37,079,460 | 68,154,017 | 21,861,852 | 54,193,309 | |||
Net realized gain (loss) on futures contracts | 407,593 | 240,139 | (102,466) | 2,666,153 | |||
Net realized gain (loss) on foreign currency transactions | — | — | (3) | — | |||
Total net realized gain (loss) | 33,802,060 | 66,831,570 | 24,379,334 | 61,661,083 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 76,265,635 | (194,811,270) | (56,842,389) | 86,709,738 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (73,838) | (546,889) | (88,240) | (905,459) | |||
Total change in net unrealized appreciation (depreciation) | 76,191,797 | (195,358,159) | (56,930,629) | 85,804,279 | |||
Net gain (loss) | 109,993,857 | (128,526,589) | (32,551,295) | 147,465,362 | |||
Net increase (decrease) in net assets resulting from operations | $127,960,187 | $(111,076,229) | $(27,393,335) | $169,084,453 |
Semi-Annual Report | 68 |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 4,212,172 | $ 28,557,856 | $ 17,175,778 | ||
Non-Cash dividends | — | 1,805,296 | — | ||
Interest | 17 | 38 | 25 | ||
Total income | 4,212,189 | 30,363,190 | 17,175,803 | ||
Expenses | |||||
Management fees | 214,101 | 859,200 | 482,678 | ||
Independent trustees' fees and expenses | 906 | 3,381 | 1,965 | ||
Legal | — | — | — | ||
Total expenses | 215,007 | 862,581 | 484,643 | ||
Net investment income (loss) | 3,997,182 | 29,500,609 | 16,691,160 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (559,637) | (13,524,622) | (1,658,291) | ||
Net realized gain (loss) on In-kind redemptions | 23,464,049 | 21,171,594 | 29,095,367 | ||
Net realized gain (loss) on futures contracts | (61,645) | 264,851 | 236,821 | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | 22,842,767 | 7,911,823 | 27,673,897 | ||
Change in net unrealized appreciation (depreciation) on investment securities | (26,064,642) | (10,318,469) | 27,391,765 | ||
Change in net unrealized appreciation (depreciation) on futures contracts | (37,481) | (321,537) | (52,425) | ||
Total change in net unrealized appreciation (depreciation) | (26,102,123) | (10,640,006) | 27,339,340 | ||
Net gain (loss) | (3,259,356) | (2,728,183) | 55,013,237 | ||
Net increase (decrease) in net assets resulting from operations | $ 737,826 | $ 26,772,426 | $ 71,704,397 |
69 | Semi-Annual Report |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 4,725,839 | $ 4,881,029 | $ 5,996,892 | $ 7,612,303 | |||
Net realized gain (loss) | 37,807,017 | 67,452,249 | 162,240,303 | 125,780,203 | |||
Change in net unrealized appreciation (depreciation) | (151,806,156) | 172,979,615 | (203,614,669) | 281,286,349 | |||
Net increase (decrease) in net assets resulting from operations | (109,273,300) | 245,312,893 | (35,377,474) | 414,678,855 | |||
Distributions to shareholders | (5,212,200) | (4,490,900) | (6,016,400) | (7,322,150) | |||
Share transactions | |||||||
Proceeds from sales of shares | 79,158,252 | 277,514,566 | 312,712,026 | 640,804,871 | |||
Cost of shares redeemed | (92,413,171) | (179,670,185) | (328,735,390) | (298,219,402) | |||
Net increase (decrease) in net assets resulting from share transactions | (13,254,919) | 97,844,381 | (16,023,364) | 342,585,469 | |||
Total increase (decrease) in net assets | (127,740,419) | 338,666,374 | (57,417,238) | 749,942,174 | |||
Net Assets | |||||||
Beginning of period | 916,375,284 | 577,708,910 | 1,631,531,143 | 881,588,969 | |||
End of period | $ 788,634,865 | $ 916,375,284 | $1,574,113,905 | $1,631,531,143 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,450,000 | 5,500,000 | 3,650,000 | 9,000,000 | |||
Redeemed | (1,800,000) | (4,050,000) | (3,950,000) | (4,350,000) | |||
Net increase (decrease) | (350,000) | 1,450,000 | (300,000) | 4,650,000 |
Semi-Annual Report | 70 |
Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 9,693,049 | $ 20,968,508 | $ 20,111,237 | $ 28,490,030 | |||
Net realized gain (loss) | 5,529,533 | 55,734,389 | 19,934,061 | (6,896,933) | |||
Change in net unrealized appreciation (depreciation) | 40,737,369 | 62,687,995 | 260,450,959 | 241,972,018 | |||
Net increase (decrease) in net assets resulting from operations | 55,959,951 | 139,390,892 | 300,496,257 | 263,565,115 | |||
Distributions to shareholders | (9,715,800) | (20,813,400) | (18,971,900) | (29,586,300) | |||
Share transactions | |||||||
Proceeds from sales of shares | 121,801,557 | 272,522,699 | 162,720,276 | 328,207,237 | |||
Cost of shares redeemed | (21,660,848) | (251,466,243) | (108,037,059) | (117,452,719) | |||
Net increase (decrease) in net assets resulting from share transactions | 100,140,709 | 21,056,456 | 54,683,217 | 210,754,518 | |||
Total increase (decrease) in net assets | 146,384,860 | 139,633,948 | 336,207,574 | 444,733,333 | |||
Net Assets | |||||||
Beginning of period | 818,282,688 | 678,648,740 | 894,057,997 | 449,324,664 | |||
End of period | $964,667,548 | $ 818,282,688 | $1,230,265,571 | $ 894,057,997 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,700,000 | 6,800,000 | 10,300,000 | 28,300,000 | |||
Redeemed | (500,000) | (6,100,000) | (7,600,000) | (9,400,000) | |||
Net increase (decrease) | 2,200,000 | 700,000 | 2,700,000 | 18,900,000 |
71 | Semi-Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 17,966,330 | $ 24,866,481 | $ 17,450,360 | $ 31,015,066 | |||
Net realized gain (loss) | 33,802,060 | 39,534,722 | 66,831,570 | 66,838,221 | |||
Change in net unrealized appreciation (depreciation) | 76,191,797 | 390,693,235 | (195,358,159) | 504,537,093 | |||
Net increase (decrease) in net assets resulting from operations | 127,960,187 | 455,094,438 | (111,076,229) | 602,390,380 | |||
Distributions to shareholders | (18,017,150) | (23,611,000) | (18,462,700) | (33,149,950) | |||
Share transactions | |||||||
Proceeds from sales of shares | 206,821,504 | 715,027,877 | 220,557,260 | 399,566,161 | |||
Cost of shares redeemed | (100,799,367) | (154,635,399) | (142,999,766) | (137,834,298) | |||
Net increase (decrease) in net assets resulting from share transactions | 106,022,137 | 560,392,478 | 77,557,494 | 261,731,863 | |||
Total increase (decrease) in net assets | 215,965,174 | 991,875,916 | (51,981,435) | 830,972,293 | |||
Net Assets | |||||||
Beginning of period | 1,716,934,950 | 725,059,034 | 2,846,238,563 | 2,015,266,270 | |||
End of period | $1,932,900,124 | $1,716,934,950 | $2,794,257,128 | $2,846,238,563 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,650,000 | 14,900,000 | 3,300,000 | 6,950,000 | |||
Redeemed | (1,800,000) | (3,250,000) | (2,200,000) | (2,350,000) | |||
Net increase (decrease) | 1,850,000 | 11,650,000 | 1,100,000 | 4,600,000 |
Semi-Annual Report | 72 |
Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,157,960 | $ 7,779,970 | $ 21,619,091 | $ 39,380,753 | |||
Net realized gain (loss) | 24,379,334 | 10,549,630 | 61,661,083 | 223,319,232 | |||
Change in net unrealized appreciation (depreciation) | (56,930,629) | 189,422,820 | 85,804,279 | 1,490,020,346 | |||
Net increase (decrease) in net assets resulting from operations | (27,393,335) | 207,752,420 | 169,084,453 | 1,752,720,331 | |||
Distributions to shareholders | (5,147,300) | (7,709,800) | (23,751,150) | (39,319,850) | |||
Share transactions | |||||||
Proceeds from sales of shares | 66,309,673 | 348,123,647 | 422,255,213 | 583,974,201 | |||
Cost of shares redeemed | (56,421,016) | (33,192,592) | (84,167,045) | (378,741,782) | |||
Net increase (decrease) in net assets resulting from share transactions | 9,888,657 | 314,931,055 | 338,088,168 | 205,232,419 | |||
Total increase (decrease) in net assets | (22,651,978) | 514,973,675 | 483,421,471 | 1,918,632,900 | |||
Net Assets | |||||||
Beginning of period | 862,271,152 | 347,297,477 | 6,206,888,768 | 4,288,255,868 | |||
End of period | $839,619,174 | $862,271,152 | $6,690,310,239 | $6,206,888,768 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,200,000 | 7,200,000 | 3,250,000 | 5,600,000 | |||
Redeemed | (1,050,000) | (650,000) | (700,000) | (3,750,000) | |||
Net increase (decrease) | 150,000 | 6,550,000 | 2,550,000 | 1,850,000 |
73 | Semi-Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,997,182 | $ 5,649,740 | $ 29,500,609 | $ 28,240,488 | |||
Net realized gain (loss) | 22,842,767 | 23,574,472 | 7,911,823 | 9,097,959 | |||
Change in net unrealized appreciation (depreciation) | (26,102,123) | 65,955,360 | (10,640,006) | 381,807,072 | |||
Net increase (decrease) in net assets resulting from operations | 737,826 | 95,179,572 | 26,772,426 | 419,145,519 | |||
Distributions to shareholders | (4,060,900) | (5,562,850) | (26,655,300) | (43,349,650) | |||
Share transactions | |||||||
Proceeds from sales of shares | 60,989,240 | 363,160,504 | 414,933,761 | 427,447,059 | |||
Cost of shares redeemed | (84,294,241) | (73,126,709) | (51,161,702) | (84,781,395) | |||
Net increase (decrease) in net assets resulting from share transactions | (23,305,001) | 290,033,795 | 363,772,059 | 342,665,664 | |||
Total increase (decrease) in net assets | (26,628,075) | 379,650,517 | 363,889,185 | 718,461,533 | |||
Net Assets | |||||||
Beginning of period | 544,136,580 | 164,486,063 | 1,784,615,211 | 1,066,153,678 | |||
End of period | $517,508,505 | $544,136,580 | $2,148,504,396 | $1,784,615,211 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,250,000 | 8,250,000 | 12,800,000 | 15,600,000 | |||
Redeemed | (1,800,000) | (1,650,000) | (1,600,000) | (3,400,000) | |||
Net increase (decrease) | (550,000) | 6,600,000 | 11,200,000 | 12,200,000 |
Semi-Annual Report | 74 |
Fidelity MSCI Utilities Index ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 16,691,160 | $ 30,395,742 | |
Net realized gain (loss) | 27,673,897 | 37,203,035 | |
Change in net unrealized appreciation (depreciation) | 27,339,340 | 48,102,265 | |
Net increase (decrease) in net assets resulting from operations | 71,704,397 | 115,701,042 | |
Distributions to shareholders | (16,242,750) | (31,181,450) | |
Share transactions | |||
Proceeds from sales of shares | 226,414,161 | 416,979,624 | |
Cost of shares redeemed | (134,573,391) | (270,013,514) | |
Net increase (decrease) in net assets resulting from share transactions | 91,840,770 | 146,966,110 | |
Total increase (decrease) in net assets | 147,302,417 | 231,485,702 | |
Net Assets | |||
Beginning of period | 1,076,292,243 | 844,806,541 | |
End of period | $1,223,594,660 | $1,076,292,243 | |
Other Information | |||
Shares | |||
Sold | 5,100,000 | 10,350,000 | |
Redeemed | (3,000,000) | (6,700,000) | |
Net increase (decrease) | 2,100,000 | 3,650,000 |
75 | Semi-Annual Report |
Fidelity MSCI Communication Services Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | $ 32.10 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.28 | 0.34 | 0.33 | 0.49 | 0.85 | 0.80 | |||||
Net realized and unrealized gain (loss) | (6.62) | 16.96 | 3.52 | 5.59 | (2.43) | 0.62 | |||||
Total from investment operations | (6.34) | 17.30 | 3.85 | 6.08 | (1.58) | 1.42 | |||||
Distributions from net investment income | (0.30) | (0.31) | (0.32) | (0.49) | (1.00) | (0.90) | |||||
Distributions from net realized gain | — | — | — | — | (1.28) | — | |||||
Total distributions | (0.30) | (0.31) | (0.32) | (0.49) | (2.28) | (0.90) | |||||
Net asset value, end of period | $ 48.23 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | |||||
Total ReturnC,D | (11.59)% | 45.81% | 11.40% | 21.33% | (5.14)% | 4.58% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.04% F | .72% | .96% | 1.53% | 2.81% | 2.55% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $788,635 | $916,375 | $577,709 | $374,389 | $125,104 | $115,818 | |||||
Portfolio turnover rateG,H | 12% I | 13% | 23% | 82% | 38% | 27% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 76 |
Fidelity MSCI Consumer Discretionary Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | $ 31.99 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.30 | 0.42 | 0.50 | 0.51 | 0.47 | 0.50 | |||||
Net realized and unrealized gain (loss) | (1.67) | 24.10 | 11.01 | 2.96 | 7.20 | 4.07 | |||||
Total from investment operations | (1.37) | 24.52 | 11.51 | 3.47 | 7.67 | 4.57 | |||||
Distributions from net investment income | (0.30) | (0.40) | (0.51) | (0.54) | (0.41) | (0.50) | |||||
Total distributions | (0.30) | (0.40) | (0.51) | (0.54) | (0.41) | (0.50) | |||||
Net asset value, end of period | $ 79.70 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | |||||
Total ReturnC,D | (1.70)% | 42.95% | 25.26% | 8.15% | 21.36% | 14.41% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | .70% F | .58% | 1.06% | 1.18% | 1.16% | 1.49% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,574,114 | $1,631,531 | $881,589 | $728,457 | $628,129 | $293,913 | |||||
Portfolio turnover rateG,H | 2% I | 48% | 60% | 25% | 5% | 7% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
77 | Semi-Annual Report |
Fidelity MSCI Consumer Staples Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | $ 32.82 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.50 | 1.02 | 0.96 | 0.94 | 0.86 | 0.83 | |||||
Net realized and unrealized gain (loss) | 2.43 | 6.01 | 1.70 | 3.23 | (0.88) | 0.40 | |||||
Total from investment operations | 2.93 | 7.03 | 2.66 | 4.17 | (0.02) | 1.23 | |||||
Distributions from net investment income | (0.51) | (1.02) | (0.96) | (0.91) | (0.88) | (0.82) | |||||
Total distributions | (0.51) | (1.02) | (0.96) | (0.91) | (0.88) | (0.82) | |||||
Net asset value, end of period | $ 45.72 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | |||||
Total ReturnC,D | 6.82% | 19.09% | 7.74% | 13.16% | (0.06)% | 3.82% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.28% F | 2.53% | 2.68% | 2.83% | 2.65% | 2.56% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $964,668 | $818,283 | $678,649 | $548,070 | $311,970 | $312,349 | |||||
Portfolio turnover rateG,H | 5% I | 20% | 34% | 30% | 24% | 11% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 78 |
Fidelity MSCI Energy Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | $ 19.03 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.30 | 0.49 | 0.51 | 0.54 | 0.47 | 0.57 | |||||
Net realized and unrealized gain (loss) | 4.34 | 4.02 | (6.86) | (4.70) | 3.22 | (0.73) | |||||
Total from investment operations | 4.64 | 4.51 | (6.35) | (4.16) | 3.69 | (0.16) | |||||
Distributions from net investment income | (0.29) | (0.51) | (0.97) | (0.55) | (0.58) | (0.48) | |||||
Total distributions | (0.29) | (0.51) | (0.97) | (0.55) | (0.58) | (0.48) | |||||
Net asset value, end of period | $ 17.82 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | |||||
Total ReturnC,D | 34.98% | 48.79% | (39.28)% | (19.42)% | 20.52% | (0.96)% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 4.03% F | 4.11% | 4.18% | 2.92% | 2.40% | 2.91% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,230,266 | $894,058 | $449,325 | $467,628 | $634,157 | $431,311 | |||||
Portfolio turnover rateG,H | 5% I | 11% | 17% | 6% | 5% | 10% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
79 | Semi-Annual Report |
Fidelity MSCI Financials Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | $ 28.61 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.53 | 0.96 | 1.00 | 0.89 | 0.75 | 0.61 | |||||
Net realized and unrealized gain (loss) | 3.43 | 18.00 | (7.09) | 0.18 | 4.11 | 8.28 | |||||
Total from investment operations | 3.96 | 18.96 | (6.09) | 1.07 | 4.86 | 8.89 | |||||
Distributions from net investment income | (0.53) | (0.89) | (1.01) | (0.90) | (0.75) | (0.56) | |||||
Total distributions | (0.53) | (0.89) | (1.01) | (0.90) | (0.75) | (0.56) | |||||
Net asset value, end of period | $ 55.62 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | |||||
Total ReturnC,D | 7.63% | 56.15% | (14.78)% | 2.80% | 13.23% | 31.31% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.91% F | 2.10% | 2.61% | 2.27% | 1.88% | 1.77% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,932,900 | $1,716,935 | $725,059 | $1,143,858 | $1,574,375 | $921,679 | |||||
Portfolio turnover rateG,H | 2% I | 4% | 6% | 5% | 5% | 18% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 80 |
Fidelity MSCI Health Care Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | $ 35.67 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.40 | 0.75 | 0.72 | 0.63 | 0.56 | 0.51 | |||||
Net realized and unrealized gain (loss) | (2.81) | 13.74 | 7.88 | 1.01 | 5.29 | 2.76 | |||||
Total from investment operations | (2.41) | 14.49 | 8.60 | 1.64 | 5.85 | 3.27 | |||||
Distributions from net investment income | (0.41) | (0.79) | (0.69) | (0.93) | (0.57) | (0.50) | |||||
Total distributions | (0.41) | (0.79) | (0.69) | (0.93) | (0.57) | (0.50) | |||||
Net asset value, end of period | $ 63.22 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | |||||
Total ReturnC,D | (3.68)% | 27.91% | 19.69% | 3.84% | 15.34% | 9.30% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.20% F | 1.28% | 1.52% | 1.43% | 1.39% | 1.45% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $2,794,257 | $2,846,239 | $2,015,266 | $1,557,252 | $1,252,626 | $818,710 | |||||
Portfolio turnover rateG,H | 2% I | 7% | 7% | 5% | 8% | 4% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
81 | Semi-Annual Report |
Fidelity MSCI Industrials Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | $ 30.10 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.33 | 0.61 | 0.69 | 0.70 | 0.61 | 0.61 | |||||
Net realized and unrealized gain (loss) | (1.94) | 17.00 | (2.48) | 0.51 | 4.62 | 4.79 | |||||
Total from investment operations | (1.61) | 17.61 | (1.79) | 1.21 | 5.23 | 5.40 | |||||
Distributions from net investment income | (0.32) | (0.59) | (0.70) | (0.68) | (0.65) | (0.57) | |||||
Total distributions | (0.32) | (0.59) | (0.70) | (0.68) | (0.65) | (0.57) | |||||
Net asset value, end of period | $ 52.64 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | |||||
Total ReturnC,D | (2.97)% | 47.17% | (4.34)% | 3.23% | 15.08% | 18.08% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.19% F | 1.24% | 1.80% | 1.84% | 1.61% | 1.85% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $839,619 | $862,271 | $347,297 | $454,471 | $499,824 | $354,586 | |||||
Portfolio turnover rateG,H | 3% I | 5% | 4% | 5% | 5% | 5% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 82 |
Fidelity MSCI Information Technology Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | $ 34.93 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.41 | 0.79 | 0.87 | 0.70 | 0.53 | 0.48 | |||||
Net realized and unrealized gain (loss) | 3.28 | 34.45 | 22.70 | 8.17 | 11.85 | 9.54 | |||||
Total from investment operations | 3.69 | 35.24 | 23.57 | 8.87 | 12.38 | 10.02 | |||||
Distributions from net investment income | (0.45) | (0.79) | (0.85) | (0.70) | (0.52) | (0.45) | |||||
Total distributions | (0.45) | (0.79) | (0.85) | (0.70) | (0.52) | (0.45) | |||||
Net asset value, end of period | $ 124.94 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | |||||
Total ReturnC,D | 3.02% | 40.57% | 36.99% | 15.94% | 27.92% | 28.86% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | .65% F | .76% | 1.21% | 1.22% | 1.02% | 1.19% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $6,690,310 | $6,206,889 | $4,288,256 | $2,571,364 | $2,223,254 | $1,010,043 | |||||
Portfolio turnover rateG,H | 2% I | 3% | 5% | 18% | 4% | 6% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
83 | Semi-Annual Report |
Fidelity MSCI Materials Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | $ 27.71 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.37 | 0.71 | 0.65 | 0.65 | 0.55 | 0.57 | |||||
Net realized and unrealized gain (loss) | (0.07) | 13.98 | 0.30 | (2.08) | 3.09 | 3.87 | |||||
Total from investment operations | 0.30 | 14.69 | 0.95 | (1.43) | 3.64 | 4.44 | |||||
Distributions from net investment income | (0.38) | (0.68) | (0.68) | (0.64) | (0.57) | (0.52) | |||||
Total distributions | (0.38) | (0.68) | (0.68) | (0.64) | (0.57) | (0.52) | |||||
Net asset value, end of period | $ 46.83 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | |||||
Total ReturnC,D | 0.66% | 45.01% | 3.28% | (4.02)% | 11.54% | 16.17% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.56% F | 1.66% | 2.08% | 2.05% | 1.60% | 1.93% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $517,509 | $544,137 | $164,486 | $199,043 | $265,428 | $211,931 | |||||
Portfolio turnover rateG,H | 2% I | 4% | 3% | 12% | 10% | 7% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 84 |
Fidelity MSCI Real Estate Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | $ 25.83 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.46 | 0.58 | 0.67 | 1.05 | 0.76 | 0.68 | |||||
Net realized and unrealized gain (loss) | 0.09 C | 7.83 | (2.13) | 2.08 | 0.32 | (1.12) | |||||
Total from investment operations | 0.55 | 8.41 | (1.46) | 3.13 | 1.08 | (0.44) | |||||
Distributions from net investment income | (0.42) | (0.89) | (0.68) | (1.24) | (0.92) | (0.86) | |||||
Return of capital | — | — | (0.21) | — | — | — | |||||
Total distributions | (0.42) | (0.89) | (0.89) | (1.24) | (0.92) | (0.86) | |||||
Net asset value, end of period | $ 31.88 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | |||||
Total ReturnD,E | 1.68% | 35.58% | (5.27)% | 13.19% | 4.53% | (1.53)% | |||||
Ratios to Average Net AssetsA,F | |||||||||||
Expenses before reductions | .08% G | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% G | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% G | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.88% G | 2.16% | 2.62% | 4.20% | 3.15% | 2.85% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $2,148,504 | $1,784,615 | $1,066,154 | $844,003 | $502,347 | $392,538 | |||||
Portfolio turnover rateH,I | 6% J | 8% | 9% | 10% | 8% | 17% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
85 | Semi-Annual Report |
Fidelity MSCI Utilities Index ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | $ 33.57 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.63 | 1.21 | 1.23 | 1.16 | 1.10 | 1.06 | |||||
Net realized and unrealized gain (loss) | 2.09 | 3.56 | (0.09) | 4.32 | 0.20 | 1.09 | |||||
Total from investment operations | 2.72 | 4.77 | 1.14 | 5.48 | 1.30 | 2.15 | |||||
Distributions from net investment income | (0.61) | (1.25) | (1.24) | (1.12) | (1.09) | (1.08) | |||||
Total distributions | (0.61) | (1.25) | (1.24) | (1.12) | (1.09) | (1.08) | |||||
Net asset value, end of period | $ 44.74 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | |||||
Total ReturnC,D | 6.44% | 12.46% | 3.13% | 15.93% | 3.83% | 6.61% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.90% F | 2.96% | 3.06% | 3.11% | 3.21% | 3.22% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,223,595 | $1,076,292 | $844,807 | $733,190 | $336,273 | $277,149 | |||||
Portfolio turnover rateG,H | 1% I | 5% | 5% | 7% | 6% | 6% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
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 | 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. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 86 |
For the period ended January 31, 2022 (Unaudited)
87 | Semi-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 | $ 699,408,710 | $ 140,260,330 | $ (51,036,542) | $ 89,223,788 |
Fidelity MSCI Consumer Discretionary Index ETF | 1,340,231,350 | 279,672,341 | (46,451,051) | 233,221,290 |
Fidelity MSCI Consumer Staples Index ETF | 834,724,822 | 159,523,089 | (30,842,822) | 128,680,267 |
Fidelity MSCI Energy Index ETF | 1,031,710,231 | 273,482,011 | (76,088,372) | 197,393,639 |
Semi-Annual Report | 88 |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Financials Index ETF | $ 1,598,827,669 | $ 363,988,478 | $ (31,521,501) | $ 332,466,977 |
Fidelity MSCI Health Care Index ETF | 2,182,155,381 | 738,884,319 | (130,853,809) | 608,030,510 |
Fidelity MSCI Industrials Index ETF | 745,434,982 | 149,971,285 | (56,185,830) | 93,785,455 |
Fidelity MSCI Information Technology Index ETF | 3,673,066,033 | 3,106,158,399 | (91,552,272) | 3,014,606,127 |
Fidelity MSCI Materials Index ETF | 497,940,941 | 42,617,991 | (22,649,734) | 19,968,257 |
Fidelity MSCI Real Estate Index ETF | 1,836,054,980 | 377,434,511 | (66,734,836) | 310,699,675 |
Fidelity MSCI Utilities Index ETF | 1,144,915,452 | 98,333,374 | (20,277,083) | 78,056,291 |
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) |
89 | Semi-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 MSCI Communication Services Index ETF | 111,661,346 | 111,195,791 |
Fidelity MSCI Consumer Discretionary Index ETF | 36,774,328 | 36,066,167 |
Fidelity MSCI Consumer Staples Index ETF | 40,091,670 | 39,739,914 |
Fidelity MSCI Energy Index ETF | 49,946,590 | 48,890,986 |
Fidelity MSCI Financials Index ETF | 43,865,612 | 41,963,415 |
Fidelity MSCI Health Care Index ETF | 54,342,146 | 56,106,228 |
Fidelity MSCI Industrials Index ETF | 22,817,982 | 23,484,630 |
Fidelity MSCI Information Technology Index ETF | 117,254,742 | 115,461,946 |
Fidelity MSCI Materials Index ETF | 11,133,154 | 10,898,381 |
Fidelity MSCI Real Estate Index ETF | 134,085,274 | 128,409,416 |
Fidelity MSCI Utilities Index ETF | 16,902,110 | 16,367,730 |
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity MSCI Communication Services Index ETF | 78,964,561 | 92,107,299 |
Fidelity MSCI Consumer Discretionary Index ETF | 311,547,595 | 327,883,068 |
Fidelity MSCI Consumer Staples Index ETF | 121,262,438 | 215,564,180 |
Fidelity MSCI Energy Index ETF | 161,654,485 | 107,053,486 |
Fidelity MSCI Financials Index ETF | 201,059,316 | 98,136,073 |
Fidelity MSCI Health Care Index ETF | 219,579,046 | 142,371,388 |
Fidelity MSCI Industrials Index ETF | 65,890,886 | 56,068,055 |
Fidelity MSCI Information Technology Index ETF | 420,247,684 | 83,809,469 |
Fidelity MSCI Materials Index ETF | 60,733,014 | 83,786,457 |
Fidelity MSCI Real Estate Index ETF | 410,922,843 | 50,619,469 |
Fidelity MSCI Utilities Index ETF | 224,617,765 | 133,474,055 |
Semi-Annual Report | 90 |
Sub-Adviser. BlackRock Fund Advisors (BFA), serves as sub-adviser for the Funds. BFA provides discretionary investment advisory services to the Funds and is paid by the investment adviser for providing these services.
91 | Semi-Annual Report |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 884.10 | $ 0.38 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 983.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,068.20 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,349.80 | $ 0.47 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,076.30 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 963.20 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 970.30 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 |
Semi-Annual Report | 92 |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,030.20 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,006.60 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,016.80 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,064.40 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 |
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 184/365 (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. |
93 | Semi-Annual Report |
Note to Shareholders | 3 | |
Investment Summary | 4 | |
Schedule of Investments | 13 | |
Financial Statements | 54 | |
Notes to Financial Statements | 74 | |
Shareholder Expense Example | 80 |
Semi-Annual Report | 2 |
3 | Semi-Annual Report |
% of fund's net assets | |
Apple, Inc. | 7.5 |
Microsoft Corp. | 6.5 |
UnitedHealth Group, Inc. | 2.5 |
Pfizer, Inc. | 2.3 |
Johnson & Johnson | 2.2 |
AbbVie, Inc. | 1.9 |
The Home Depot, Inc. | 1.8 |
Visa, Inc. Class A | 1.8 |
Mastercard, Inc. Class A | 1.8 |
JPMorgan Chase & Co. | 1.7 |
30.0 |
% of fund's net assets | ||
Information Technology | 28.9 | |
Health Care | 14.3 | |
Consumer Discretionary | 11.4 | |
Financials | 11.4 | |
Communication Services | 9.0 | |
Industrials | 8.0 | |
Consumer Staples | 5.8 | |
Real Estate | 2.9 | |
Energy | 2.9 | |
Utilities | 2.4 | |
Materials | 2.4 |
Semi-Annual Report | 4 |
% of fund's net assets | |
Apple, Inc. | 5.5 |
Microsoft Corp. | 4.7 |
Exxon Mobil Corp. | 2.9 |
Chevron Corp. | 2.6 |
The Procter & Gamble Co. | 2.4 |
Bank of America Corp. | 2.4 |
Wells Fargo & Co. | 2.3 |
Blackstone, Inc. Class A | 2.2 |
JPMorgan Chase & Co. | 2.2 |
PepsiCo, Inc. | 2.1 |
29.3 |
% of fund's net assets | ||
Information Technology | 21.7 | |
Financials | 19.1 | |
Consumer Staples | 12.7 | |
Energy | 11.1 | |
Real Estate | 9.6 | |
Materials | 8.5 | |
Health Care | 6.7 | |
Consumer Discretionary | 5.2 | |
Communication Services | 3.2 | |
Industrials | 1.8 |
5 | Semi-Annual Report |
% of fund's net assets | |
Microsoft Corp. | 6.7 |
Alphabet, Inc. Class A | 4.3 |
Amazon.com, Inc. | 3.4 |
Visa, Inc. Class A | 2.0 |
UnitedHealth Group, Inc. | 1.8 |
Accenture PLC Class A | 1.8 |
Johnson & Johnson | 1.7 |
Intel Corp. | 1.5 |
The Home Depot, Inc. | 1.5 |
Texas Instruments, Inc. | 1.4 |
26.1 |
% of fund's net assets | ||
Information Technology | 27.7 | |
Health Care | 13.5 | |
Financials | 12.0 | |
Consumer Discretionary | 11.2 | |
Communication Services | 10.1 | |
Industrials | 8.4 | |
Consumer Staples | 5.7 | |
Real Estate | 3.1 | |
Energy | 3.0 | |
Materials | 2.7 | |
Utilities | 2.4 |
Semi-Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 7.4 |
Microsoft Corp. | 6.3 |
Alphabet, Inc. Class A | 4.2 |
Amazon.com, Inc. | 3.6 |
Facebook, Inc. Class A | 2.2 |
Tesla, Inc. | 2.2 |
NVIDIA Corp. | 2.1 |
Johnson & Johnson | 1.9 |
UnitedHealth Group, Inc. | 1.8 |
JPMorgan Chase & Co. | 1.6 |
33.3 |
% of fund's net assets | ||
Information Technology | 28.7 | |
Health Care | 12.4 | |
Financials | 11.7 | |
Consumer Discretionary | 11.7 | |
Communication Services | 9.5 | |
Industrials | 8.4 | |
Consumer Staples | 5.7 | |
Real Estate | 3.4 | |
Energy | 3.3 | |
Materials | 2.6 | |
Utilities | 2.4 |
7 | Semi-Annual Report |
% of fund's net assets | |
Apple, Inc. | 7.0 |
Microsoft Corp. | 6.0 |
Alphabet, Inc. Class A | 4.0 |
NVIDIA Corp. | 2.1 |
Berkshire Hathaway, Inc. Class B | 2.1 |
Facebook, Inc. Class A | 2.0 |
UnitedHealth Group, Inc. | 1.8 |
The Home Depot, Inc. | 1.7 |
Johnson & Johnson | 1.7 |
Visa, Inc. Class A | 1.5 |
29.9 |
% of fund's net assets | ||
Information Technology | 29.0 | |
Health Care | 13.0 | |
Consumer Discretionary | 11.7 | |
Financials | 11.1 | |
Communication Services | 9.7 | |
Industrials | 8.5 | |
Consumer Staples | 5.6 | |
Real Estate | 3.3 | |
Energy | 2.9 | |
Materials | 2.6 | |
Utilities | 2.4 |
Semi-Annual Report | 8 |
% of fund's net assets | |
Devon Energy Corp. | 0.7 |
Marathon Oil Corp. | 0.4 |
Molina Healthcare, Inc. | 0.4 |
Brown & Brown, Inc. | 0.4 |
Targa Resources Corp. | 0.4 |
CF Industries Holdings, Inc. | 0.4 |
JB Hunt Transport Services, Inc. | 0.4 |
Bunge Ltd. | 0.3 |
Advance Auto Parts, Inc. | 0.3 |
LKQ Corp. | 0.3 |
4.0 |
% of fund's net assets | ||
Industrials | 16.9 | |
Financials | 16.8 | |
Consumer Discretionary | 13.6 | |
Information Technology | 12.6 | |
Health Care | 11.3 | |
Real Estate | 9.0 | |
Materials | 5.6 | |
Energy | 4.0 | |
Communication Services | 3.6 | |
Consumer Staples | 3.3 | |
Utilities | 3.1 |
9 | Semi-Annual Report |
% of fund's net assets | |
EOG Resources, Inc. | 5.5 |
Apple, Inc. | 5.3 |
Ovintiv, Inc. | 5.2 |
Microsoft Corp. | 4.5 |
Louisiana-Pacific Corp. | 2.8 |
Olin Corp. | 2.6 |
Freeport-McMoRan, Inc. | 2.5 |
The Coca-Cola Co. | 2.4 |
Bunge Ltd. | 2.3 |
Tyson Foods, Inc. Class A | 2.3 |
35.4 |
% of fund's net assets | ||
Information Technology | 22.4 | |
Health Care | 16.1 | |
Consumer Staples | 11.1 | |
Energy | 10.7 | |
Materials | 8.0 | |
Consumer Discretionary | 6.5 | |
Communication Services | 6.1 | |
Real Estate | 5.6 | |
Financials | 5.4 | |
Industrials | 4.7 | |
Utilities | 3.3 |
Semi-Annual Report | 10 |
% of fund's net assets | |
Apple, Inc. | 6.8 |
Microsoft Corp. | 5.8 |
Alphabet, Inc. Class A | 4.0 |
Facebook, Inc. Class A | 2.0 |
EOG Resources, Inc. | 1.8 |
The Home Depot, Inc. | 1.8 |
Johnson & Johnson | 1.7 |
The Procter & Gamble Co. | 1.6 |
Union Pacific Corp. | 1.4 |
Ford Motor Co. | 1.4 |
28.3 |
% of fund's net assets | ||
Information Technology | 27.8 | |
Health Care | 12.5 | |
Consumer Discretionary | 12.1 | |
Financials | 10.9 | |
Communication Services | 10.3 | |
Industrials | 8.8 | |
Consumer Staples | 5.6 | |
Real Estate | 3.6 | |
Energy | 3.1 | |
Materials | 2.8 | |
Utilities | 2.3 |
11 | Semi-Annual Report |
% of fund's net assets | |
Apple, Inc. | 7.1 |
Microsoft Corp. | 6.1 |
Alphabet, Inc. Class A | 4.0 |
Amazon.com, Inc. | 3.5 |
Facebook, Inc. Class A | 2.1 |
Berkshire Hathaway, Inc. Class B | 2.0 |
UnitedHealth Group, Inc. | 1.7 |
Johnson & Johnson | 1.7 |
Visa, Inc. Class A | 1.6 |
Mastercard, Inc. Class A | 1.5 |
31.3 |
% of fund's net assets | ||
Information Technology | 28.6 | |
Health Care | 13.7 | |
Consumer Discretionary | 11.3 | |
Financials | 10.2 | |
Communication Services | 9.9 | |
Industrials | 8.7 | |
Consumer Staples | 5.7 | |
Energy | 3.3 | |
Real Estate | 3.1 | |
Utilities | 2.6 | |
Materials | 2.6 |
Semi-Annual Report | 12 |
Common Stocks – 99.4% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.0% | ||
Diversified Telecommunication Services – 2.4% | ||
AT&T, Inc. | 203,535 | $ 5,190,143 |
Lumen Technologies, Inc. (a) | 269,612 | 3,332,404 |
Verizon Communications, Inc. | 111,761 | 5,949,038 |
14,471,585 | ||
Entertainment – 0.5% | ||
Activision Blizzard, Inc. | 43,142 | 3,408,649 |
Media – 6.1% | ||
Cable One, Inc. (a) | 1,513 | 2,337,177 |
Comcast Corp. Class A | 122,427 | 6,120,126 |
Fox Corp. Class A | 106,184 | 4,312,132 |
News Corp. Class A | 158,197 | 3,518,301 |
Nexstar Media Group, Inc. Class A | 25,056 | 4,143,761 |
Omnicom Group, Inc. | 49,902 | 3,760,615 |
Sirius XM Holdings, Inc. (a) | 504,162 | 3,206,470 |
The Interpublic Group of Cos., Inc. | 123,667 | 4,395,125 |
The New York Times Co. Class A | 60,921 | 2,438,668 |
ViacomCBS, Inc. Class B | 65,797 | 2,200,910 |
36,433,285 | ||
TOTAL COMMUNICATION SERVICES | 54,313,519 | |
CONSUMER DISCRETIONARY – 11.4% | ||
Distributors – 1.0% | ||
Genuine Parts Co. | 44,492 | 5,927,669 |
Hotels, Restaurants & Leisure – 2.3% | ||
McDonald's Corp. | 30,421 | 7,892,729 |
Starbucks Corp. | 57,576 | 5,660,872 |
13,553,601 | ||
Household Durables – 1.3% | ||
Leggett & Platt, Inc. (a) | 100,243 | 3,994,684 |
Newell Brands, Inc. | 167,168 | 3,879,969 |
7,874,653 | ||
Multiline Retail – 1.1% | ||
Target Corp. | 29,504 | 6,503,567 |
Specialty Retail – 3.2% | ||
Lowe's Cos., Inc. | 34,751 | 8,248,150 |
The Home Depot, Inc. | 30,087 | 11,041,327 |
19,289,477 | ||
Textiles, Apparel & Luxury Goods – 2.5% | ||
Hanesbrands, Inc. | 279,617 | 4,501,834 |
NIKE, Inc. Class B | 47,641 | 7,054,203 |
VF Corp. | 57,507 | 3,750,031 |
15,306,068 | ||
TOTAL CONSUMER DISCRETIONARY | 68,455,035 | |
CONSUMER STAPLES – 5.8% | ||
Beverages – 2.0% | ||
PepsiCo, Inc. | 36,052 | 6,255,743 |
| ||
Shares | Value | |
The Coca-Cola Co. | 101,413 | $ 6,187,207 |
12,442,950 | ||
Household Products – 1.4% | ||
The Procter & Gamble Co. | 52,373 | 8,403,248 |
Tobacco – 2.4% | ||
Altria Group, Inc. | 81,433 | 4,143,311 |
British American Tobacco PLC | 63,171 | 2,681,173 |
Japan Tobacco, Inc. | 114,500 | 2,279,566 |
Philip Morris International, Inc. | 50,698 | 5,214,289 |
14,318,339 | ||
TOTAL CONSUMER STAPLES | 35,164,537 | |
ENERGY – 2.9% | ||
Oil, Gas & Consumable Fuels – 2.9% | ||
Chevron Corp. | 38,860 | 5,103,484 |
Exxon Mobil Corp. | 81,421 | 6,184,739 |
ONEOK, Inc. | 31,899 | 1,935,631 |
The Williams Cos., Inc. | 66,652 | 1,995,561 |
Valero Energy Corp. | 23,817 | 1,976,097 |
TOTAL ENERGY | 17,195,512 | |
FINANCIALS – 11.4% | ||
Banks – 8.4% | ||
Bank of America Corp. | 211,345 | 9,751,458 |
Citigroup, Inc. | 83,598 | 5,443,902 |
JPMorgan Chase & Co. | 66,873 | 9,937,328 |
The PNC Financial Services Group, Inc. | 27,879 | 5,742,795 |
Truist Financial Corp. | 83,711 | 5,258,725 |
US Bancorp | 93,939 | 5,466,310 |
Wells Fargo & Co. | 163,017 | 8,770,315 |
50,370,833 | ||
Insurance – 1.7% | ||
MetLife, Inc. | 78,444 | 5,260,455 |
Prudential Financial, Inc. | 47,092 | 5,254,054 |
10,514,509 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.3% | ||
AGNC Investment Corp. | 217,222 | 3,234,436 |
Starwood Property Trust, Inc. | 175,151 | 4,334,987 |
7,569,423 | ||
TOTAL FINANCIALS | 68,454,765 | |
HEALTH CARE – 14.3% | ||
Biotechnology – 3.3% | ||
AbbVie, Inc. | 84,197 | 11,525,727 |
Gilead Sciences, Inc. | 116,424 | 7,996,000 |
19,521,727 | ||
Health Care Providers & Services – 2.5% | ||
UnitedHealth Group, Inc. | 32,028 | 15,135,472 |
13 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – 8.5% | ||
Bayer AG | 103,408 | $ 6,241,150 |
GlaxoSmithKline PLC | 365,979 | 8,067,387 |
Johnson & Johnson | 76,170 | 13,123,329 |
Merck & Co., Inc. | 117,668 | 9,587,589 |
Organon & Co. | 11,752 | 375,006 |
Pfizer, Inc. | 260,344 | 13,717,526 |
51,111,987 | ||
TOTAL HEALTH CARE | 85,769,186 | |
INDUSTRIALS – 8.0% | ||
Aerospace & Defense – 2.0% | ||
General Dynamics Corp. | 12,966 | 2,750,089 |
Lockheed Martin Corp. | 7,881 | 3,066,733 |
Northrop Grumman Corp. | 7,091 | 2,622,961 |
Raytheon Technologies Corp. | 41,857 | 3,775,083 |
12,214,866 | ||
Air Freight & Logistics – 0.6% | ||
United Parcel Service, Inc. Class B | 19,211 | 3,884,656 |
Construction & Engineering – 0.2% | ||
ACS Actividades de Construccion y Servicios S.A. | 46,843 | 1,170,470 |
Electrical Equipment – 0.9% | ||
Eaton Corp. PLC | 18,024 | 2,855,542 |
Emerson Electric Co. | 26,140 | 2,403,573 |
5,259,115 | ||
Industrial Conglomerates – 2.0% | ||
3M Co. | 16,475 | 2,735,180 |
CK Hutchison Holdings Ltd. | 204,500 | 1,447,685 |
General Electric Co. | 31,807 | 3,005,125 |
Honeywell International, Inc. | 17,163 | 3,509,490 |
Jardine Matheson Holdings Ltd. | 22,028 | 1,296,128 |
11,993,608 | ||
Machinery – 1.6% | ||
Caterpillar, Inc. | 15,275 | 3,078,829 |
Cummins, Inc. | 8,387 | 1,852,521 |
Illinois Tool Works, Inc. | 11,516 | 2,693,823 |
PACCAR, Inc. | 20,277 | 1,885,558 |
9,510,731 | ||
Road & Rail – 0.7% | ||
Union Pacific Corp. | 16,580 | 4,054,639 |
TOTAL INDUSTRIALS | 48,088,085 | |
INFORMATION TECHNOLOGY – 28.9% | ||
Communications Equipment – 1.6% | ||
Cisco Systems, Inc. | 168,078 | 9,356,902 |
IT Services – 5.5% | ||
International Business Machines Corp. | 54,487 | 7,277,828 |
Kyndryl Holdings, Inc. (a)(b) | 10,885 | 183,739 |
| ||
Shares | Value | |
Mastercard, Inc. Class A | 27,239 | $ 10,524,605 |
The Western Union Co. | 226,773 | 4,288,277 |
Visa, Inc. Class A | 48,345 | 10,934,189 |
33,208,638 | ||
Semiconductors & Semiconductor Equipment – 5.4% | ||
Broadcom, Inc. | 16,358 | 9,583,825 |
Intel Corp. | 143,715 | 7,016,166 |
QUALCOMM, Inc. | 46,680 | 8,204,477 |
Texas Instruments, Inc. | 42,460 | 7,621,145 |
32,425,613 | ||
Software – 7.5% | ||
Microsoft Corp. | 125,003 | 38,873,433 |
NortonLifelock, Inc. | 240,672 | 6,259,879 |
45,133,312 | ||
Technology Hardware, Storage & Peripherals – 8.9% | ||
Apple, Inc. | 258,064 | 45,104,426 |
HP, Inc. | 218,242 | 8,016,029 |
53,120,455 | ||
TOTAL INFORMATION TECHNOLOGY | 173,244,920 | |
MATERIALS – 2.4% | ||
Chemicals – 1.7% | ||
Air Products & Chemicals, Inc. | 7,160 | 2,019,979 |
Clariant AG | 53,705 | 1,124,226 |
Dow, Inc. | 30,812 | 1,840,401 |
Linde PLC (b) | 11,778 | 3,753,413 |
LyondellBasell Industries N.V. Class A | 16,318 | 1,578,440 |
10,316,459 | ||
Containers & Packaging – 0.5% | ||
Amcor PLC | 125,549 | 1,507,843 |
International Paper Co. | 27,978 | 1,349,939 |
2,857,782 | ||
Metals & Mining – 0.2% | ||
Fortescue Metals Group Ltd. | 66,362 | 929,028 |
Paper & Forest Products – 0.0% | ||
Sylvamo Corp. (b) | 2,520 | 75,071 |
TOTAL MATERIALS | 14,178,340 | |
REAL ESTATE – 2.9% | ||
Equity Real Estate Investment Trusts (REITs) – 2.9% | ||
American Tower Corp. | 9,459 | 2,378,938 |
Crown Castle International Corp. | 10,674 | 1,948,112 |
Iron Mountain, Inc. | 27,887 | 1,280,571 |
Omega Healthcare Investors, Inc. | 23,960 | 754,261 |
Prologis, Inc. | 17,511 | 2,746,075 |
Public Storage | 5,472 | 1,961,876 |
Simon Property Group, Inc. | 12,807 | 1,885,190 |
Ventas, Inc. | 21,383 | 1,133,727 |
Vornado Realty Trust | 22,739 | 932,526 |
Welltower, Inc. | 18,214 | 1,577,879 |
Semi-Annual Report | 14 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
WP Carey, Inc. | 13,758 | $ 1,067,621 |
TOTAL REAL ESTATE | 17,666,776 | |
UTILITIES – 2.4% | ||
Electric Utilities – 2.0% | ||
Duke Energy Corp. | 23,030 | 2,419,532 |
Exelon Corp. | 41,786 | 2,421,499 |
NextEra Energy, Inc. | 41,547 | 3,245,651 |
PPL Corp. | 53,750 | 1,595,300 |
The Southern Co. | 34,796 | 2,417,974 |
12,099,956 | ||
Multi-Utilities – 0.4% | ||
Dominion Energy, Inc. | 28,050 | 2,262,513 |
TOTAL UTILITIES | 14,362,469 | |
TOTAL COMMON STOCKS (Cost $483,909,346) | 596,893,144 | |
Money Market Funds – 1.5% | ||
Fidelity Cash Central Fund, 0.08% (c) | 1,911,481 | 1,911,863 |
| ||
Shares | Value | |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 7,124,288 | $ 7,125,000 |
TOTAL MONEY MARKET FUNDS (Cost $9,036,863) | 9,036,863 | |
TOTAL INVESTMENT IN SECURITIES – 100.9% (Cost $492,946,209) | 605,930,007 | |
NET OTHER ASSETS (LIABILITIES) – (0.9%) | (5,700,380) | |
NET ASSETS – 100.0% | $ 600,229,627 |
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 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) | 15 | March 2022 | $3,378,188 | $(75,658) | $(75,658) |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $ 654,480 | $ 7,703,072 | $ 6,445,689 | $ 412 | $— | $— | $1,911,863 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 2,620,350 | 18,106,567 | 13,601,917 | 11,621 | — | — | $7,125,000 | 0.0% | ||||||
Total | $3,274,830 | $25,809,639 | $20,047,606 | $12,033 | $— | $— | $9,036,863 |
15 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 54,313,519 | $ 54,313,519 | $ — | $ — | ||||
Consumer Discretionary | 68,455,035 | 68,455,035 | — | — | ||||
Consumer Staples | 35,164,537 | 35,164,537 | — | — | ||||
Energy | 17,195,512 | 17,195,512 | — | — | ||||
Financials | 68,454,765 | 68,454,765 | — | — | ||||
Health Care | 85,769,186 | 85,769,186 | — | — | ||||
Industrials | 48,088,085 | 48,088,085 | — | — | ||||
Information Technology | 173,244,920 | 173,244,920 | — | — | ||||
Materials | 14,178,340 | 14,178,340 | — | — | ||||
Real Estate | 17,666,776 | 17,666,776 | — | — | ||||
Utilities | 14,362,469 | 14,362,469 | — | — | ||||
Money Market Funds | 9,036,863 | 9,036,863 | — | — | ||||
Total Investments in Securities: | $ 605,930,007 | $ 605,930,007 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (75,658) | $ (75,658) | $ — | $ — | ||||
Total Liabilities | $ (75,658) | $ (75,658) | $ — | $ — | ||||
Total Derivative Instruments: | $ (75,658) | $ (75,658) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(75,658) | |
Total Equity Risk | 0 | (75,658) | |
Total Value of Derivatives | $0 | $(75,658) |
(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). |
Semi-Annual Report | 16 |
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.2% | ||
Diversified Telecommunication Services – 0.9% | ||
AT&T, Inc. | 129,111 | $ 3,292,330 |
Lumen Technologies, Inc. (a) | 170,616 | 2,108,814 |
Verizon Communications, Inc. | 70,897 | 3,773,847 |
9,174,991 | ||
Entertainment – 0.2% | ||
Activision Blizzard, Inc. | 27,271 | 2,154,682 |
Media – 2.1% | ||
Cable One, Inc. (a) | 981 | 1,515,380 |
Comcast Corp. Class A | 77,569 | 3,877,674 |
Fox Corp. Class A | 67,083 | 2,724,241 |
News Corp. Class A | 100,386 | 2,232,585 |
Nexstar Media Group, Inc. Class A | 15,815 | 2,615,485 |
Omnicom Group, Inc. | 31,532 | 2,376,252 |
Sirius XM Holdings, Inc. (a) | 317,890 | 2,021,780 |
The Interpublic Group of Cos., Inc. | 78,225 | 2,780,116 |
The New York Times Co. Class A | 38,463 | 1,539,674 |
ViacomCBS, Inc. Class B | 41,602 | 1,391,587 |
23,074,774 | ||
TOTAL COMMUNICATION SERVICES | 34,404,447 | |
CONSUMER DISCRETIONARY – 5.2% | ||
Distributors – 0.4% | ||
Genuine Parts Co. | 36,767 | 4,898,467 |
Hotels, Restaurants & Leisure – 1.0% | ||
McDonald's Corp. | 24,984 | 6,482,099 |
Starbucks Corp. | 47,514 | 4,671,576 |
11,153,675 | ||
Household Durables – 0.6% | ||
Berkeley Group Holdings PLC | 53,588 | 3,018,208 |
Newell Brands, Inc. | 137,627 | 3,194,323 |
6,212,531 | ||
Multiline Retail – 0.5% | ||
Target Corp. | 24,343 | 5,365,928 |
Specialty Retail – 1.5% | ||
Lowe's Cos., Inc. | 28,649 | 6,799,840 |
The Home Depot, Inc. | 24,984 | 9,168,628 |
15,968,468 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||
Hanesbrands, Inc. (a) | 230,030 | 3,703,483 |
NIKE, Inc. Class B | 39,148 | 5,796,644 |
VF Corp. | 47,288 | 3,083,651 |
12,583,778 | ||
TOTAL CONSUMER DISCRETIONARY | 56,182,847 | |
CONSUMER STAPLES – 12.7% | ||
Beverages – 4.1% | ||
PepsiCo, Inc. | 129,326 | 22,440,647 |
| ||
Shares | Value | |
The Coca-Cola Co. | 364,991 | $ 22,268,101 |
44,708,748 | ||
Household Products – 2.4% | ||
The Procter & Gamble Co. | 162,624 | 26,093,021 |
Tobacco – 6.2% | ||
Altria Group, Inc. | 360,244 | 18,329,215 |
British American Tobacco PLC | 361,051 | 15,324,120 |
Japan Tobacco, Inc. | 657,100 | 13,082,121 |
Philip Morris International, Inc. | 202,595 | 20,836,896 |
67,572,352 | ||
TOTAL CONSUMER STAPLES | 138,374,121 | |
ENERGY – 11.1% | ||
Oil, Gas & Consumable Fuels – 11.1% | ||
Chevron Corp. | 212,026 | 27,845,375 |
Exxon Mobil Corp. | 412,607 | 31,341,628 |
Kinder Morgan, Inc. | 1,084,615 | 18,828,916 |
ONEOK, Inc. | 357,659 | 21,702,748 |
The Williams Cos., Inc. | 703,396 | 21,059,676 |
TOTAL ENERGY | 120,778,343 | |
FINANCIALS – 19.1% | ||
Banks – 10.0% | ||
Bank of America Corp. | 559,589 | 25,819,436 |
Citigroup, Inc. | 245,207 | 15,967,880 |
JPMorgan Chase & Co. | 161,305 | 23,969,923 |
US Bancorp | 298,663 | 17,379,200 |
Wells Fargo & Co. | 474,480 | 25,527,024 |
108,663,463 | ||
Capital Markets – 2.3% | ||
Blackstone, Inc. Class A | 186,099 | 24,559,485 |
Insurance – 3.2% | ||
MetLife, Inc. | 259,061 | 17,372,631 |
Prudential Financial, Inc. | 156,336 | 17,442,407 |
34,815,038 | ||
Mortgage Real Estate Investment Trusts (REITs) – 2.4% | ||
AGNC Investment Corp. | 753,784 | 11,223,844 |
Starwood Property Trust, Inc. | 613,140 | 15,175,215 |
26,399,059 | ||
Thrifts & Mortgage Finance – 1.2% | ||
New York Community Bancorp, Inc. (a) | 1,143,366 | 13,331,648 |
TOTAL FINANCIALS | 207,768,693 | |
HEALTH CARE – 6.7% | ||
Biotechnology – 2.3% | ||
AbbVie, Inc. | 76,062 | 10,412,127 |
Amgen, Inc. | 31,629 | 7,184,211 |
Gilead Sciences, Inc. | 105,417 | 7,240,040 |
24,836,378 |
17 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – 4.4% | ||
Bristol-Myers Squibb Co. | 121,384 | $ 7,876,608 |
GlaxoSmithKline PLC | 330,971 | 7,295,695 |
Johnson & Johnson | 69,010 | 11,889,733 |
Merck & Co., Inc. | 106,883 | 8,708,827 |
Organon & Co. | 10,559 | 336,937 |
Pfizer, Inc. | 236,352 | 12,453,387 |
48,561,187 | ||
TOTAL HEALTH CARE | 73,397,565 | |
INDUSTRIALS – 1.8% | ||
Aerospace & Defense – 0.5% | ||
General Dynamics Corp. | 5,222 | 1,107,586 |
Lockheed Martin Corp. | 3,243 | 1,261,948 |
Northrop Grumman Corp. | 2,864 | 1,059,394 |
Raytheon Technologies Corp. | 17,057 | 1,538,371 |
4,967,299 | ||
Air Freight & Logistics – 0.1% | ||
United Parcel Service, Inc. Class B | 7,772 | 1,571,576 |
Commercial Services & Supplies – 0.1% | ||
Waste Management, Inc. | 7,587 | 1,141,388 |
Construction & Engineering – 0.0% | ||
ACS Actividades de Construccion y Servicios S.A. | 18,882 | 471,806 |
Electrical Equipment – 0.2% | ||
Eaton Corp. PLC | 7,298 | 1,156,222 |
Emerson Electric Co. | 10,599 | 974,578 |
2,130,800 | ||
Industrial Conglomerates – 0.5% | ||
3M Co. | 6,650 | 1,104,033 |
CK Hutchison Holdings Ltd. | 89,000 | 630,044 |
General Electric Co. | 12,870 | 1,215,958 |
Honeywell International, Inc. | 6,943 | 1,419,705 |
Jardine Matheson Holdings Ltd. | 10,453 | 615,054 |
4,984,794 | ||
Machinery – 0.3% | ||
Caterpillar, Inc. | 6,180 | 1,245,641 |
Illinois Tool Works, Inc. | 4,679 | 1,094,512 |
PACCAR, Inc. | 8,191 | 761,681 |
3,101,834 | ||
Road & Rail – 0.1% | ||
Union Pacific Corp. | 6,718 | 1,642,887 |
TOTAL INDUSTRIALS | 20,012,384 | |
INFORMATION TECHNOLOGY – 21.7% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 223,847 | 12,461,562 |
| ||
Shares | Value | |
IT Services – 3.5% | ||
International Business Machines Corp. | 72,356 | $ 9,664,591 |
Kyndryl Holdings, Inc. (a)(b) | 14,440 | 243,747 |
Mastercard, Inc. Class A | 36,363 | 14,049,936 |
Visa, Inc. Class A | 64,394 | 14,563,991 |
38,522,265 | ||
Semiconductors & Semiconductor Equipment – 4.0% | ||
Broadcom, Inc. | 21,837 | 12,793,862 |
Intel Corp. | 191,616 | 9,354,693 |
QUALCOMM, Inc. | 62,099 | 10,914,520 |
Texas Instruments, Inc. | 56,451 | 10,132,390 |
43,195,465 | ||
Software – 5.5% | ||
Microsoft Corp. | 166,488 | 51,774,438 |
NortonLifelock, Inc. | 319,383 | 8,307,152 |
60,081,590 | ||
Technology Hardware, Storage & Peripherals – 7.5% | ||
Apple, Inc. | 343,628 | 60,059,302 |
HP, Inc. | 290,443 | 10,667,971 |
Seagate Technology Holdings PLC | 103,543 | 11,094,633 |
81,821,906 | ||
TOTAL INFORMATION TECHNOLOGY | 236,082,788 | |
MATERIALS – 8.5% | ||
Chemicals – 5.7% | ||
Air Products & Chemicals, Inc. | 41,684 | 11,759,890 |
Clariant AG | 472,373 | 9,888,352 |
Dow, Inc. | 199,749 | 11,931,008 |
Linde PLC (b) | 52,709 | 16,797,304 |
LyondellBasell Industries N.V. Class A | 118,973 | 11,508,258 |
61,884,812 | ||
Containers & Packaging – 2.0% | ||
Amcor PLC | 950,846 | 11,419,660 |
International Paper Co. | 208,364 | 10,053,563 |
21,473,223 | ||
Metals & Mining – 0.7% | ||
Fortescue Metals Group Ltd. | 579,347 | 8,110,513 |
Paper & Forest Products – 0.1% | ||
Sylvamo Corp. (a)(b) | 18,796 | 559,933 |
TOTAL MATERIALS | 92,028,481 | |
REAL ESTATE – 9.6% | ||
Equity Real Estate Investment Trusts (REITs) – 9.6% | ||
American Tower Corp. | 39,706 | 9,986,059 |
Crown Castle International Corp. | 51,353 | 9,372,436 |
Iron Mountain, Inc. | 214,829 | 9,864,948 |
Omega Healthcare Investors, Inc. | 185,976 | 5,854,524 |
Prologis, Inc. | 80,856 | 12,679,838 |
Public Storage | 32,762 | 11,746,160 |
Simon Property Group, Inc. | 79,956 | 11,769,523 |
Semi-Annual Report | 18 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Ventas, Inc. | 149,428 | $ 7,922,673 |
Vornado Realty Trust | 182,077 | 7,466,978 |
Welltower, Inc. | 118,488 | 10,264,615 |
WP Carey, Inc. | 102,448 | 7,949,965 |
TOTAL REAL ESTATE | 104,877,719 | |
TOTAL COMMON STOCKS (Cost $925,115,206) | 1,083,907,388 | |
Money Market Funds – 1.8% | ||
Fidelity Cash Central Fund, 0.08% (c) | 1,527,431 | 1,527,737 |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 18,461,304 | 18,463,150 |
TOTAL MONEY MARKET FUNDS (Cost $19,990,887) | 19,990,887 | |
TOTAL INVESTMENT IN SECURITIES – 101.4% (Cost $945,106,093) | 1,103,898,275 | |
NET OTHER ASSETS (LIABILITIES) – (1.4%) | (15,044,972) | |
NET ASSETS – 100.0% | $1,088,853,303 |
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 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) | 22 | March 2022 | $4,954,675 | $(142,606) | $(142,606) |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $3,234,325 | $ 22,421,536 | $ 24,128,124 | $ 596 | $— | $— | $ 1,527,737 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 1,661,850 | 146,673,200 | 129,871,900 | 17,223 | — | — | $18,463,150 | 0.1% | ||||||
Total | $4,896,175 | $169,094,736 | $154,000,024 | $17,819 | $— | $— | $19,990,887 |
19 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 34,404,447 | $ 34,404,447 | $ — | $ — | ||||
Consumer Discretionary | 56,182,847 | 56,182,847 | — | — | ||||
Consumer Staples | 138,374,121 | 138,374,121 | — | — | ||||
Energy | 120,778,343 | 120,778,343 | — | — | ||||
Financials | 207,768,693 | 207,768,693 | — | — | ||||
Health Care | 73,397,565 | 73,397,565 | — | — | ||||
Industrials | 20,012,384 | 20,012,384 | — | — | ||||
Information Technology | 236,082,788 | 236,082,788 | — | — | ||||
Materials | 92,028,481 | 92,028,481 | — | — | ||||
Real Estate | 104,877,719 | 104,877,719 | — | — | ||||
Money Market Funds | 19,990,887 | 19,990,887 | — | — | ||||
Total Investments in Securities: | $ 1,103,898,275 | $ 1,103,898,275 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (142,606) | $ (142,606) | $ — | $ — | ||||
Total Liabilities | $ (142,606) | $ (142,606) | $ — | $ — | ||||
Total Derivative Instruments: | $ (142,606) | $ (142,606) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(142,606) | |
Total Equity Risk | 0 | (142,606) | |
Total Value of Derivatives | $0 | $(142,606) |
(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 | 91.2% |
Ireland | 2.7% |
United Kingdom | 2.4% |
Japan | 1.2% |
Netherlands | 1.1% |
Jersey | 1.0% |
Others (Individually Less Than 1%) | 1.8% |
101.4% |
Semi-Annual Report | 20 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.1% | ||
Diversified Telecommunication Services – 2.1% | ||
AT&T, Inc. | 182,172 | $4,645,386 |
Verizon Communications, Inc. | 97,876 | 5,209,939 |
9,855,325 | ||
Entertainment – 1.5% | ||
Activision Blizzard, Inc. | 44,658 | 3,528,429 |
Take-Two Interactive Software, Inc. (a) | 19,784 | 3,231,518 |
6,759,947 | ||
Interactive Media & Services – 4.3% | ||
Alphabet, Inc. Class A (a) | 7,498 | 20,290,113 |
Media – 1.6% | ||
Cable One, Inc. (b) | 1,534 | 2,369,616 |
Comcast Corp. Class A | 100,010 | 4,999,500 |
7,369,116 | ||
Wireless Telecommunication Services – 0.6% | ||
T-Mobile US, Inc. (a) | 26,880 | 2,907,610 |
TOTAL COMMUNICATION SERVICES | 47,182,111 | |
CONSUMER DISCRETIONARY – 11.2% | ||
Distributors – 0.5% | ||
Pool Corp. | 5,146 | 2,450,783 |
Diversified Consumer Services – 0.5% | ||
Service Corp. International (b) | 37,566 | 2,318,574 |
Hotels, Restaurants & Leisure – 2.1% | ||
Domino's Pizza, Inc. | 4,698 | 2,135,946 |
McDonald's Corp. | 17,849 | 4,630,923 |
Starbucks Corp. | 32,120 | 3,158,038 |
9,924,907 | ||
Household Durables – 0.4% | ||
Garmin Ltd. | 15,590 | 1,939,708 |
Internet & Direct Marketing Retail – 3.4% | ||
Amazon.com, Inc. (a) | 5,375 | 16,079,151 |
Multiline Retail – 0.5% | ||
Dollar General Corp. | 12,276 | 2,559,300 |
Specialty Retail – 2.9% | ||
AutoZone, Inc. (a) | 1,640 | 3,257,614 |
The Home Depot, Inc. | 18,511 | 6,793,167 |
The TJX Cos., Inc. | 46,520 | 3,348,044 |
13,398,825 | ||
Textiles, Apparel & Luxury Goods – 0.9% | ||
NIKE, Inc. Class B | 27,120 | 4,015,658 |
TOTAL CONSUMER DISCRETIONARY | 52,686,906 | |
CONSUMER STAPLES – 5.7% | ||
Beverages – 0.9% | ||
PepsiCo, Inc. | 24,155 | 4,191,376 |
Food & Staples Retailing – 1.6% | ||
Costco Wholesale Corp. | 7,983 | 4,032,453 |
| ||
Shares | Value | |
Walmart, Inc. | 24,612 | $ 3,441,003 |
7,473,456 | ||
Food Products – 0.7% | ||
Hormel Foods Corp. (b) | 33,647 | 1,597,223 |
The Hershey Co. | 9,385 | 1,849,502 |
3,446,725 | ||
Household Products – 2.5% | ||
Colgate-Palmolive Co. | 26,904 | 2,218,235 |
Kimberly-Clark Corp. | 14,123 | 1,944,031 |
The Clorox Co. | 9,860 | 1,655,100 |
The Procter & Gamble Co. | 36,601 | 5,872,630 |
11,689,996 | ||
TOTAL CONSUMER STAPLES | 26,801,553 | |
ENERGY – 3.0% | ||
Oil, Gas & Consumable Fuels – 3.0% | ||
Cabot Oil & Gas Corp. | 60,232 | 1,319,081 |
Cheniere Energy, Inc. | 12,960 | 1,450,224 |
Chevron Corp. | 30,041 | 3,945,284 |
Exxon Mobil Corp. | 62,075 | 4,715,217 |
Kinder Morgan, Inc. | 74,022 | 1,285,022 |
ONEOK, Inc. | 22,044 | 1,337,630 |
TOTAL ENERGY | 14,052,458 | |
FINANCIALS – 12.0% | ||
Capital Markets – 4.5% | ||
CME Group, Inc. | 20,707 | 4,752,257 |
FactSet Research Systems, Inc. | 10,141 | 4,278,386 |
Intercontinental Exchange, Inc. | 35,415 | 4,485,664 |
Nasdaq, Inc. | 19,766 | 3,542,265 |
S&P Global, Inc. | 10,546 | 4,378,910 |
21,437,482 | ||
Insurance – 7.5% | ||
Aon PLC Class A | 15,781 | 4,362,500 |
Arthur J Gallagher & Co. | 27,436 | 4,333,242 |
Brown & Brown, Inc. | 66,987 | 4,439,898 |
Chubb Ltd. | 25,174 | 4,966,327 |
Erie Indemnity Co. Class A | 19,321 | 3,556,996 |
Marsh & McLennan Cos., Inc. | 28,709 | 4,410,851 |
The Progressive Corp. | 43,013 | 4,673,792 |
The Travelers Cos., Inc. | 25,952 | 4,312,703 |
35,056,309 | ||
TOTAL FINANCIALS | 56,493,791 | |
HEALTH CARE – 13.5% | ||
Biotechnology – 1.7% | ||
Amgen, Inc. | 19,416 | 4,410,150 |
Regeneron Pharmaceuticals, Inc. (a) | 6,244 | 3,800,036 |
8,210,186 |
21 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 4.5% | ||
Abbott Laboratories | 44,592 | $ 5,683,696 |
Baxter International, Inc. | 46,736 | 3,993,124 |
Danaher Corp. | 16,952 | 4,844,712 |
ResMed, Inc. | 13,075 | 2,988,945 |
Steris PLC | 15,312 | 3,436,013 |
20,946,490 | ||
Health Care Providers & Services – 2.5% | ||
Chemed Corp. | 6,711 | 3,146,855 |
UnitedHealth Group, Inc. | 17,807 | 8,415,054 |
11,561,909 | ||
Pharmaceuticals – 4.8% | ||
Eli Lilly & Co. | 20,343 | 4,991,969 |
Johnson & Johnson | 46,540 | 8,018,377 |
Merck & Co., Inc. | 68,359 | 5,569,891 |
Zoetis, Inc. | 20,262 | 4,048,145 |
22,628,382 | ||
TOTAL HEALTH CARE | 63,346,967 | |
INDUSTRIALS – 8.4% | ||
Aerospace & Defense – 1.2% | ||
L3Harris Technologies, Inc. | 12,513 | 2,618,846 |
Northrop Grumman Corp. | 8,259 | 3,055,004 |
5,673,850 | ||
Air Freight & Logistics – 1.1% | ||
CH Robinson Worldwide, Inc. | 27,915 | 2,921,305 |
Expeditors International of Washington, Inc. | 20,973 | 2,400,989 |
5,322,294 | ||
Building Products – 0.5% | ||
Carrier Global Corp. | 51,089 | 2,435,924 |
Commercial Services & Supplies – 1.7% | ||
Republic Services, Inc. | 22,383 | 2,857,414 |
Rollins, Inc. | 64,244 | 1,981,927 |
Waste Management, Inc. | 20,255 | 3,047,162 |
7,886,503 | ||
Industrial Conglomerates – 0.7% | ||
3M Co. | 18,357 | 3,047,629 |
Machinery – 2.2% | ||
Graco, Inc. | 32,006 | 2,322,355 |
Illinois Tool Works, Inc. | 13,613 | 3,184,353 |
Otis Worldwide Corp. | 30,583 | 2,612,706 |
The Toro Co. | 22,010 | 2,125,726 |
10,245,140 | ||
Professional Services – 1.0% | ||
Exponent, Inc. | 21,364 | 2,029,153 |
| ||
Shares | Value | |
Verisk Analytics, Inc. | 14,280 | $ 2,800,736 |
4,829,889 | ||
TOTAL INDUSTRIALS | 39,441,229 | |
INFORMATION TECHNOLOGY – 27.7% | ||
IT Services – 14.4% | ||
Accenture PLC Class A | 23,609 | 8,347,670 |
Akamai Technologies, Inc. (a) | 48,798 | 5,589,811 |
Amdocs Ltd. | 71,491 | 5,425,452 |
Automatic Data Processing, Inc. | 29,654 | 6,113,765 |
Broadridge Financial Solutions, Inc. | 31,918 | 5,081,984 |
Fiserv, Inc. (a) | 55,144 | 5,828,721 |
Jack Henry & Associates, Inc. | 31,546 | 5,293,734 |
Maximus, Inc. | 63,603 | 4,917,784 |
Paychex, Inc. | 49,745 | 5,857,971 |
VeriSign, Inc. (a) | 25,894 | 5,623,659 |
Visa, Inc. Class A | 40,732 | 9,212,357 |
67,292,908 | ||
Semiconductors & Semiconductor Equipment – 2.9% | ||
Intel Corp. | 143,166 | 6,989,364 |
Texas Instruments, Inc. | 37,717 | 6,769,824 |
13,759,188 | ||
Software – 10.4% | ||
Citrix Systems, Inc. | 54,005 | 5,505,270 |
Microsoft Corp. | 100,953 | 31,394,364 |
Oracle Corp. | 79,511 | 6,453,113 |
Tyler Technologies, Inc. (a) | 11,238 | 5,324,564 |
48,677,311 | ||
TOTAL INFORMATION TECHNOLOGY | 129,729,407 | |
MATERIALS – 2.7% | ||
Chemicals – 1.3% | ||
Air Products & Chemicals, Inc. | 5,261 | 1,484,233 |
Balchem Corp. | 6,528 | 959,224 |
Ecolab, Inc. | 6,484 | 1,228,394 |
Linde PLC (a) | 8,388 | 2,673,088 |
6,344,939 | ||
Construction Materials – 0.5% | ||
Martin Marietta Materials, Inc. | 2,944 | 1,145,569 |
Vulcan Materials Co. | 6,060 | 1,153,279 |
2,298,848 | ||
Containers & Packaging – 0.9% | ||
AptarGroup, Inc. | 7,143 | 837,874 |
Ball Corp. | 13,731 | 1,333,280 |
Packaging Corp. of America | 6,950 | 1,046,879 |
Sonoco Products Co. | 14,091 | 798,114 |
4,016,147 | ||
TOTAL MATERIALS | 12,659,934 |
Semi-Annual Report | 22 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
Agree Realty Corp. | 8,326 | $ 544,354 |
American Tower Corp. | 7,004 | 1,761,506 |
Crown Castle International Corp. | 7,667 | 1,399,304 |
CubeSmart | 13,561 | 688,085 |
Digital Realty Trust, Inc. | 6,744 | 1,006,407 |
Duke Realty Corp. | 15,318 | 885,074 |
Equinix, Inc. | 1,684 | 1,220,732 |
Equity Lifestyle Properties, Inc. | 8,654 | 677,522 |
Essex Property Trust, Inc. | 2,483 | 825,597 |
Extra Space Storage, Inc. | 4,722 | 935,853 |
Life Storage, Inc. | 5,557 | 749,917 |
Prologis, Inc. | 12,469 | 1,955,389 |
Public Storage | 3,521 | 1,262,384 |
Sun Communities, Inc. | 4,122 | 778,893 |
TOTAL REAL ESTATE | 14,691,017 | |
UTILITIES – 2.4% | ||
Electric Utilities – 1.3% | ||
Duke Energy Corp. | 17,730 | 1,862,714 |
NextEra Energy, Inc. | 33,963 | 2,653,189 |
Xcel Energy, Inc. | 20,374 | 1,419,253 |
5,935,156 | ||
Multi-Utilities – 0.9% | ||
CMS Energy Corp. | 19,041 | 1,225,860 |
Consolidated Edison, Inc. | 17,066 | 1,475,356 |
WEC Energy Group, Inc. | 13,856 | 1,344,586 |
4,045,802 |
| ||
Shares | Value | |
Water Utilities – 0.2% | ||
American Water Works Co., Inc. | 7,578 | $ 1,218,542 |
TOTAL UTILITIES | 11,199,500 | |
TOTAL COMMON STOCKS (Cost $422,945,323) | 468,284,873 | |
Money Market Funds – 1.2% | ||
Fidelity Cash Central Fund, 0.08% (c) | 620,399 | 620,523 |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 5,215,641 | 5,216,163 |
TOTAL MONEY MARKET FUNDS (Cost $5,836,686) | 5,836,686 | |
TOTAL INVESTMENT IN SECURITIES – 101.0% (Cost $428,782,009) | 474,121,559 | |
NET OTHER ASSETS (LIABILITIES) – (1.0%) | (4,806,888) | |
NET ASSETS – 100.0% | $ 469,314,671 |
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 are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Micro E-mini S&P 500 Index Future Contracts (United States) | 1 | March 2022 | $ 225,212 | $ (8,200) | $ (8,200) |
CME E-mini S&P 500 Index Future Contracts (United States) | 31 | March 2022 | 698,159 | (25,332) | (25,332) |
Total Equity Index Contracts | $ (33,532) |
23 | Semi-Annual Report |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $ 556,788 | $ 4,373,953 | $ 4,310,218 | $238 | $— | $— | $ 620,523 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 940,440 | 13,266,585 | 8,990,862 | 723 | — | — | $5,216,163 | 0.0% | ||||||
Total | $1,497,228 | $17,640,538 | $13,301,080 | $961 | $— | $— | $5,836,686 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Equities: | |||||||||
Communication Services | $ 47,182,111 | $ 47,182,111 | $ — | $ — | |||||
Consumer Discretionary | 52,686,906 | 52,686,906 | — | — | |||||
Consumer Staples | 26,801,553 | 26,801,553 | — | — | |||||
Energy | 14,052,458 | 14,052,458 | — | — | |||||
Financials | 56,493,791 | 56,493,791 | — | — | |||||
Health Care | 63,346,967 | 63,346,967 | — | — | |||||
Industrials | 39,441,229 | 39,441,229 | — | — | |||||
Information Technology | 129,729,407 | 129,729,407 | — | — | |||||
Materials | 12,659,934 | 12,659,934 | — | — | |||||
Real Estate | 14,691,017 | 14,691,017 | — | — | |||||
Utilities | 11,199,500 | 11,199,500 | — | — | |||||
Money Market Funds | 5,836,686 | 5,836,686 | — | — | |||||
Total Investments in Securities: | $ 474,121,559 | $ 474,121,559 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (33,532) | $ (33,532) | $ — | $ — | |||||
Total Liabilities | $ (33,532) | $ (33,532) | $ — | $ — | |||||
Total Derivative Instruments: | $ (33,532) | $ (33,532) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(33,532) | |
Total Equity Risk | 0 | (33,532) | |
Total Value of Derivatives | $0 | $(33,532) |
(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). |
Semi-Annual Report | 24 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.5% | ||
Entertainment – 0.2% | ||
AMC Entertainment Holdings, Inc. Class A (a)(b) | 15,882 | $ 255,065 |
Interactive Media & Services – 7.2% | ||
Alphabet, Inc. Class A (a) | 1,817 | 4,916,929 |
Facebook, Inc. Class A (a) | 8,350 | 2,615,721 |
j2 Global, Inc. (a) | 4,705 | 494,307 |
Snap, Inc. Class A (a) | 14,001 | 455,593 |
8,482,550 | ||
Media – 2.1% | ||
Comcast Corp. Class A | 23,723 | 1,185,913 |
Nexstar Media Group, Inc. Class A | 3,682 | 608,929 |
The Interpublic Group of Cos., Inc. | 17,293 | 614,593 |
2,409,435 | ||
TOTAL COMMUNICATION SERVICES | 11,147,050 | |
CONSUMER DISCRETIONARY – 11.7% | ||
Automobiles – 3.0% | ||
Ford Motor Co. | 43,878 | 890,723 |
Tesla, Inc. (a) | 2,775 | 2,599,398 |
3,490,121 | ||
Internet & Direct Marketing Retail – 3.5% | ||
Amazon.com, Inc. (a) | 1,394 | 4,170,109 |
Multiline Retail – 1.2% | ||
Macy's, Inc. | 21,685 | 555,136 |
Target Corp. | 3,834 | 845,129 |
1,400,265 | ||
Specialty Retail – 3.7% | ||
Dick's Sporting Goods, Inc. (b) | 5,123 | 591,194 |
GameStop Corp. Class A (a)(b) | 3,110 | 338,772 |
Lowe's Cos., Inc. | 4,658 | 1,105,577 |
Signet Jewelers Ltd. | 6,240 | 537,451 |
The Home Depot, Inc. | 4,675 | 1,715,632 |
4,288,626 | ||
Textiles, Apparel & Luxury Goods – 0.3% | ||
Crocs, Inc. (a) | 3,781 | 388,006 |
TOTAL CONSUMER DISCRETIONARY | 13,737,127 | |
CONSUMER STAPLES – 5.7% | ||
Beverages – 0.9% | ||
PepsiCo, Inc. | 6,051 | 1,049,969 |
Food & Staples Retailing – 1.2% | ||
Costco Wholesale Corp. | 1,934 | 976,921 |
The Kroger Co. | 10,250 | 446,798 |
1,423,719 | ||
Food Products – 0.6% | ||
Bunge Ltd. | 4,313 | 426,383 |
| ||
Shares | Value | |
Darling Ingredients, Inc. (a) | 4,794 | $ 305,714 |
732,097 | ||
Household Products – 1.3% | ||
The Procter & Gamble Co. | 9,245 | 1,483,360 |
Personal Products – 0.4% | ||
The Estee Lauder Cos., Inc. Class A | 1,714 | 534,408 |
Tobacco – 1.3% | ||
Altria Group, Inc. | 13,267 | 675,025 |
Philip Morris International, Inc. | 8,208 | 844,193 |
1,519,218 | ||
TOTAL CONSUMER STAPLES | 6,742,771 | |
ENERGY – 3.3% | ||
Oil, Gas & Consumable Fuels – 3.3% | ||
Antero Resources Corp. (a) | 18,624 | 363,727 |
ConocoPhillips | 8,716 | 772,412 |
Devon Energy Corp. | 10,385 | 525,169 |
Exxon Mobil Corp. | 17,454 | 1,325,806 |
Ovintiv, Inc. | 10,957 | 425,132 |
Targa Resources Corp. | 7,168 | 423,485 |
TOTAL ENERGY | 3,835,731 | |
FINANCIALS – 11.7% | ||
Banks – 5.3% | ||
Bank of America Corp. | 35,414 | 1,634,002 |
JPMorgan Chase & Co. | 12,475 | 1,853,785 |
Signature Bank | 2,367 | 721,059 |
SVB Financial Group (a) | 1,098 | 641,122 |
Wells Fargo & Co. | 25,284 | 1,360,279 |
6,210,247 | ||
Capital Markets – 4.1% | ||
Blackstone, Inc. Class A | 6,766 | 892,909 |
Goldman Sachs Group, Inc. | 2,658 | 942,740 |
KKR & Co., Inc. | 10,282 | 731,667 |
Morgan Stanley | 11,093 | 1,137,476 |
The Charles Schwab Corp. | 12,794 | 1,122,034 |
4,826,826 | ||
Consumer Finance – 2.3% | ||
American Express Co. | 5,858 | 1,053,386 |
Capital One Financial Corp. | 5,816 | 853,382 |
Discover Financial Services | 6,966 | 806,314 |
2,713,082 | ||
TOTAL FINANCIALS | 13,750,155 | |
HEALTH CARE – 12.4% | ||
Biotechnology – 1.1% | ||
Intellia Therapeutics, Inc. (a) | 6,644 | 628,323 |
Moderna, Inc. (a) | 4,020 | 680,707 |
1,309,030 |
25 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 2.4% | ||
Danaher Corp. | 4,591 | $ 1,312,062 |
Intuitive Surgical, Inc. (a) | 3,371 | 957,970 |
Shockwave Medical, Inc. (a) | 3,672 | 532,330 |
2,802,362 | ||
Health Care Providers & Services – 4.6% | ||
CVS Health Corp. | 12,815 | 1,364,926 |
HCA Healthcare, Inc. | 4,179 | 1,003,169 |
Tenet Healthcare Corp. (a) | 12,185 | 903,152 |
UnitedHealth Group, Inc. | 4,513 | 2,132,708 |
5,403,955 | ||
Life Sciences Tools & Services – 1.3% | ||
Bio-Techne Corp. | 1,854 | 697,864 |
Charles River Laboratories International, Inc. (a) | 2,420 | 798,019 |
1,495,883 | ||
Pharmaceuticals – 3.0% | ||
Eli Lilly & Co. | 5,396 | 1,324,125 |
Johnson & Johnson | 12,566 | 2,164,996 |
3,489,121 | ||
TOTAL HEALTH CARE | 14,500,351 | |
INDUSTRIALS – 8.4% | ||
Aerospace & Defense – 2.0% | ||
General Dynamics Corp. | 3,605 | 764,621 |
Raytheon Technologies Corp. | 10,850 | 978,561 |
Textron, Inc. | 8,338 | 567,484 |
2,310,666 | ||
Building Products – 1.1% | ||
Carrier Global Corp. | 13,484 | 642,917 |
Johnson Controls International PLC | 9,926 | 721,323 |
1,364,240 | ||
Electrical Equipment – 1.6% | ||
Eaton Corp. PLC | 4,518 | 715,787 |
Emerson Electric Co. | 7,697 | 707,739 |
Generac Holdings, Inc. (a) | 1,472 | 415,663 |
1,839,189 | ||
Industrial Conglomerates – 0.7% | ||
General Electric Co. | 8,626 | 814,984 |
Machinery – 0.8% | ||
Deere & Co. | 2,460 | 925,944 |
Professional Services – 0.5% | ||
Robert Half International, Inc. | 5,215 | 590,651 |
Road & Rail – 0.3% | ||
Avis Budget Group, Inc. (a) | 2,285 | 402,571 |
Trading Companies & Distributors – 1.4% | ||
Herc Holdings, Inc. | 3,132 | 502,529 |
United Rentals, Inc. (a) | 1,721 | 550,927 |
| ||
Shares | Value | |
WESCO International, Inc. (a) | 4,584 | $ 558,744 |
1,612,200 | ||
TOTAL INDUSTRIALS | 9,860,445 | |
INFORMATION TECHNOLOGY – 28.7% | ||
Communications Equipment – 2.2% | ||
Cisco Systems, Inc. | 28,468 | 1,584,814 |
Motorola Solutions, Inc. | 4,278 | 992,239 |
2,577,053 | ||
IT Services – 3.3% | ||
Accenture PLC Class A | 4,372 | 1,545,852 |
EPAM Systems, Inc. (a) | 1,494 | 711,353 |
Gartner, Inc. (a) | 3,127 | 918,994 |
Perficient, Inc. (a) | 6,524 | 683,846 |
3,860,045 | ||
Semiconductors & Semiconductor Equipment – 3.9% | ||
Applied Materials, Inc. | 8,915 | 1,231,875 |
NVIDIA Corp. | 10,137 | 2,482,146 |
Synaptics, Inc. (a) | 4,432 | 932,271 |
4,646,292 | ||
Software – 11.0% | ||
Dynatrace, Inc. (a) | 12,885 | 706,871 |
Fortinet, Inc. (a) | 3,206 | 952,951 |
Intuit, Inc. | 2,289 | 1,270,922 |
Microsoft Corp. | 23,728 | 7,378,934 |
Oracle Corp. | 14,587 | 1,183,881 |
Teradata Corp. (a) | 17,130 | 691,024 |
Workiva, Inc. (a) | 6,179 | 730,852 |
12,915,435 | ||
Technology Hardware, Storage & Peripherals – 8.3% | ||
Apple, Inc. | 49,978 | 8,735,155 |
NetApp, Inc. | 11,176 | 966,835 |
9,701,990 | ||
TOTAL INFORMATION TECHNOLOGY | 33,700,815 | |
MATERIALS – 2.6% | ||
Chemicals – 1.5% | ||
Albemarle Corp. | 1,085 | 239,503 |
International Flavors & Fragrances, Inc. | 2,146 | 283,100 |
Linde PLC (a) | 2,058 | 655,843 |
Olin Corp. | 3,797 | 192,394 |
The Sherwin-Williams Co. | 1,321 | 378,480 |
1,749,320 | ||
Metals & Mining – 1.1% | ||
Alcoa Corp. | 4,983 | 282,586 |
Cleveland-Cliffs, Inc. (a) | 10,597 | 181,632 |
Freeport-McMoRan, Inc. | 9,653 | 359,285 |
Nucor Corp. | 2,669 | 270,637 |
Semi-Annual Report | 26 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Steel Dynamics, Inc. | 3,761 | $ 208,811 |
1,302,951 | ||
TOTAL MATERIALS | 3,052,271 | |
REAL ESTATE – 3.4% | ||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||
American Tower Corp. | 1,884 | 473,826 |
AvalonBay Communities, Inc. | 1,130 | 275,980 |
Equity Residential | 3,023 | 268,231 |
Extra Space Storage, Inc. | 1,244 | 246,548 |
Iron Mountain, Inc. | 4,556 | 209,212 |
Kimco Realty Corp. | 9,111 | 221,033 |
Lamar Advertising Co. Class A | 1,690 | 187,184 |
Mid-America Apartment Communities, Inc. | 1,184 | 244,709 |
Prologis, Inc. | 3,221 | 505,117 |
Public Storage | 945 | 338,811 |
Simon Property Group, Inc. | 1,954 | 287,629 |
UDR, Inc. | 3,978 | 226,110 |
3,484,390 | ||
Real Estate Management & Development – 0.4% | ||
CBRE Group, Inc. Class A (a) | 2,571 | 260,545 |
Jones Lang LaSalle, Inc. (a) | 800 | 200,632 |
461,177 | ||
TOTAL REAL ESTATE | 3,945,567 | |
UTILITIES – 2.4% | ||
Electric Utilities – 2.2% | ||
Duke Energy Corp. | 4,482 | 470,879 |
Evergy, Inc. | 4,350 | 282,576 |
Exelon Corp. | 7,091 | 410,924 |
FirstEnergy Corp. | 7,616 | 319,567 |
| ||
Shares | Value | |
NextEra Energy, Inc. | 8,248 | $ 644,334 |
The Southern Co. | 6,731 | 467,737 |
2,596,017 | ||
Gas Utilities – 0.2% | ||
UGI Corp. | 5,950 | 269,832 |
TOTAL UTILITIES | 2,865,849 | |
TOTAL COMMON STOCKS (Cost $109,941,082) | 117,138,132 | |
Money Market Funds – 1.1% | ||
Fidelity Cash Central Fund, 0.08% (c) | 190,071 | 190,109 |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 1,127,467 | 1,127,580 |
TOTAL MONEY MARKET FUNDS (Cost $1,317,689) | 1,317,689 | |
TOTAL INVESTMENT IN SECURITIES – 100.9% (Cost $111,258,771) | 118,455,821 | |
NET OTHER ASSETS (LIABILITIES) – (0.9%) | (1,060,236) | |
NET ASSETS – 100.0% | $ 117,395,585 |
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 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) | 11 | March 2022 | $247,734 | $(10,723) | $(10,723) |
27 | Semi-Annual Report |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $425,440 | $ 913,483 | $1,148,814 | $ 59 | $— | $— | $ 190,109 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | — | 8,377,634 | 7,250,054 | 505 | — | — | $1,127,580 | 0.0% | ||||||
Total | $425,440 | $9,291,117 | $8,398,868 | $564 | $— | $— | $1,317,689 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 11,147,050 | $ 11,147,050 | $ — | $ — | ||||
Consumer Discretionary | 13,737,127 | 13,737,127 | — | — | ||||
Consumer Staples | 6,742,771 | 6,742,771 | — | — | ||||
Energy | 3,835,731 | 3,835,731 | — | — | ||||
Financials | 13,750,155 | 13,750,155 | — | — | ||||
Health Care | 14,500,351 | 14,500,351 | — | — | ||||
Industrials | 9,860,445 | 9,860,445 | — | — | ||||
Information Technology | 33,700,815 | 33,700,815 | — | — | ||||
Materials | 3,052,271 | 3,052,271 | — | — | ||||
Real Estate | 3,945,567 | 3,945,567 | — | — | ||||
Utilities | 2,865,849 | 2,865,849 | — | — | ||||
Money Market Funds | 1,317,689 | 1,317,689 | — | — | ||||
Total Investments in Securities: | $ 118,455,821 | $ 118,455,821 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (10,723) | $ (10,723) | $ — | $ — | ||||
Total Liabilities | $ (10,723) | $ (10,723) | $ — | $ — | ||||
Total Derivative Instruments: | $ (10,723) | $ (10,723) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(10,723) | |
Total Equity Risk | 0 | (10,723) | |
Total Value of Derivatives | $0 | $(10,723) |
(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). |
Semi-Annual Report | 28 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.7% | ||
Diversified Telecommunication Services – 1.6% | ||
AT&T, Inc. | 76,762 | $1,957,431 |
Verizon Communications, Inc. | 41,961 | 2,233,584 |
4,191,015 | ||
Interactive Media & Services – 6.4% | ||
Alphabet, Inc. Class A (a) | 3,862 | 10,450,842 |
Facebook, Inc. Class A (a) | 16,956 | 5,311,637 |
Match Group, Inc. (a) | 8,101 | 912,983 |
16,675,462 | ||
Media – 1.7% | ||
Charter Communications, Inc. Class A (a) | 2,050 | 1,216,347 |
Comcast Corp. Class A | 43,729 | 2,186,013 |
Sirius XM Holdings, Inc. (b) | 152,863 | 972,208 |
4,374,568 | ||
TOTAL COMMUNICATION SERVICES | 25,241,045 | |
CONSUMER DISCRETIONARY – 11.7% | ||
Hotels, Restaurants & Leisure – 3.4% | ||
Domino's Pizza, Inc. | 3,944 | 1,793,139 |
McDonald's Corp. | 12,896 | 3,345,867 |
Wingstop, Inc. | 11,463 | 1,756,705 |
Yum! Brands, Inc. | 16,694 | 2,089,588 |
8,985,299 | ||
Internet & Direct Marketing Retail – 0.8% | ||
eBay, Inc. | 33,503 | 2,012,525 |
Specialty Retail – 5.8% | ||
AutoZone, Inc. (a) | 1,338 | 2,657,736 |
Lowe's Cos., Inc. | 14,683 | 3,485,010 |
O'Reilly Automotive, Inc. (a) | 3,706 | 2,415,386 |
The Home Depot, Inc. | 12,341 | 4,528,900 |
Williams-Sonoma, Inc. (b) | 13,081 | 2,100,024 |
15,187,056 | ||
Textiles, Apparel & Luxury Goods – 1.7% | ||
Crocs, Inc. (a) | 14,430 | 1,480,807 |
NIKE, Inc. Class B | 19,088 | 2,826,360 |
4,307,167 | ||
TOTAL CONSUMER DISCRETIONARY | 30,492,047 | |
CONSUMER STAPLES – 5.6% | ||
Beverages – 1.3% | ||
Monster Beverage Corp. (a) | 11,389 | 987,654 |
The Coca-Cola Co. | 38,144 | 2,327,165 |
3,314,819 | ||
Food Products – 0.4% | ||
The Hershey Co. | 5,585 | 1,100,636 |
Household Products – 2.6% | ||
Colgate-Palmolive Co. | 15,751 | 1,298,670 |
Kimberly-Clark Corp. | 8,334 | 1,147,175 |
| ||
Shares | Value | |
The Clorox Co. | 5,895 | $ 989,535 |
The Procter & Gamble Co. | 20,560 | 3,298,852 |
6,734,232 | ||
Tobacco – 1.3% | ||
Altria Group, Inc. | 28,877 | 1,469,262 |
Philip Morris International, Inc. | 17,784 | 1,829,084 |
3,298,346 | ||
TOTAL CONSUMER STAPLES | 14,448,033 | |
ENERGY – 2.9% | ||
Energy Equipment & Services – 0.6% | ||
Schlumberger N.V. | 38,727 | 1,513,064 |
Oil, Gas & Consumable Fuels – 2.3% | ||
Cabot Oil & Gas Corp. | 55,183 | 1,208,508 |
EOG Resources, Inc. | 15,469 | 1,724,484 |
Kinder Morgan, Inc. | 61,414 | 1,066,147 |
Texas Pacific Land Corp. | 620 | 666,500 |
The Williams Cos., Inc. | 41,041 | 1,228,767 |
5,894,406 | ||
TOTAL ENERGY | 7,407,470 | |
FINANCIALS – 11.1% | ||
Banks – 2.9% | ||
First Horizon Corp. | 113,010 | 1,933,601 |
SVB Financial Group (a) | 3,342 | 1,951,394 |
Umpqua Holdings Corp. | 90,790 | 1,841,221 |
Western Alliance Bancorp | 18,282 | 1,813,392 |
7,539,608 | ||
Capital Markets – 4.7% | ||
Blackstone, Inc. Class A | 18,932 | 2,498,456 |
CME Group, Inc. | 10,382 | 2,382,669 |
Moody's Corp. | 5,395 | 1,850,485 |
MSCI, Inc. | 3,223 | 1,727,915 |
S&P Global, Inc. | 5,319 | 2,208,555 |
SEI Investments Co. | 28,657 | 1,679,587 |
12,347,667 | ||
Consumer Finance – 0.8% | ||
Capital One Financial Corp. | 13,273 | 1,947,547 |
Diversified Financial Services – 2.1% | ||
Berkshire Hathaway, Inc. Class B (a) | 17,466 | 5,467,207 |
Mortgage Real Estate Investment Trusts (REITs) – 0.6% | ||
AGNC Investment Corp. | 111,205 | 1,655,843 |
TOTAL FINANCIALS | 28,957,872 | |
HEALTH CARE – 13.0% | ||
Biotechnology – 2.2% | ||
AbbVie, Inc. | 24,987 | 3,420,470 |
Amgen, Inc. | 10,529 | 2,391,557 |
5,812,027 |
29 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 3.0% | ||
Danaher Corp. | 9,193 | $ 2,627,268 |
Edwards Lifesciences Corp. (a) | 18,176 | 1,984,819 |
Hologic, Inc. (a) | 23,276 | 1,634,906 |
IDEXX Laboratories, Inc. (a) | 2,852 | 1,446,820 |
7,693,813 | ||
Health Care Providers & Services – 1.8% | ||
UnitedHealth Group, Inc. | 9,676 | 4,572,587 |
Health Care Technology – 0.5% | ||
Veeva Systems, Inc. Class A (a) | 5,688 | 1,345,440 |
Life Sciences Tools & Services – 2.4% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 2,300 | 1,379,379 |
Mettler-Toledo International, Inc. (a) | 1,221 | 1,798,142 |
Thermo Fisher Scientific, Inc. | 5,405 | 3,141,927 |
6,319,448 | ||
Pharmaceuticals – 3.1% | ||
Johnson & Johnson | 25,311 | 4,360,832 |
Pfizer, Inc. | 70,340 | 3,706,215 |
8,067,047 | ||
TOTAL HEALTH CARE | 33,810,362 | |
INDUSTRIALS – 8.5% | ||
Aerospace & Defense – 0.7% | ||
Lockheed Martin Corp. | 4,587 | 1,784,939 |
Air Freight & Logistics – 0.5% | ||
Expeditors International of Washington, Inc. | 10,099 | 1,156,134 |
Commercial Services & Supplies – 0.4% | ||
Copart, Inc. (a) | 8,853 | 1,144,250 |
Electrical Equipment – 1.0% | ||
Emerson Electric Co. | 14,754 | 1,356,630 |
Rockwell Automation, Inc. | 4,287 | 1,239,886 |
2,596,516 | ||
Industrial Conglomerates – 1.3% | ||
3M Co. | 9,166 | 1,521,739 |
Honeywell International, Inc. | 9,059 | 1,852,385 |
3,374,124 | ||
Machinery – 1.5% | ||
Graco, Inc. | 15,325 | 1,111,982 |
Illinois Tool Works, Inc. | 6,684 | 1,563,522 |
Otis Worldwide Corp. | 14,854 | 1,268,977 |
3,944,481 | ||
Professional Services – 0.5% | ||
Verisk Analytics, Inc. | 6,902 | 1,353,689 |
Road & Rail – 2.1% | ||
CSX Corp. | 48,688 | 1,666,103 |
Norfolk Southern Corp. | 5,921 | 1,610,453 |
| ||
Shares | Value | |
Union Pacific Corp. | 9,122 | $ 2,230,785 |
5,507,341 | ||
Trading Companies & Distributors – 0.5% | ||
Fastenal Co. | 23,788 | 1,348,304 |
TOTAL INDUSTRIALS | 22,209,778 | |
INFORMATION TECHNOLOGY – 29.0% | ||
Communications Equipment – 1.2% | ||
Cisco Systems, Inc. | 53,672 | 2,987,920 |
IT Services – 5.5% | ||
Accenture PLC Class A | 8,752 | 3,094,532 |
Automatic Data Processing, Inc. | 9,975 | 2,056,546 |
Mastercard, Inc. Class A | 9,489 | 3,666,360 |
Paychex, Inc. | 15,675 | 1,845,888 |
Visa, Inc. Class A | 16,718 | 3,781,110 |
14,444,436 | ||
Semiconductors & Semiconductor Equipment – 7.2% | ||
Applied Materials, Inc. | 16,642 | 2,299,592 |
Broadcom, Inc. | 5,690 | 3,333,657 |
KLA Corp. | 5,396 | 2,100,501 |
NVIDIA Corp. | 22,599 | 5,533,591 |
QUALCOMM, Inc. | 17,552 | 3,084,940 |
Texas Instruments, Inc. | 13,731 | 2,464,577 |
18,816,858 | ||
Software – 8.1% | ||
Adobe, Inc. (a) | 5,368 | 2,868,122 |
Aspen Technology, Inc. (a) | 11,228 | 1,685,997 |
Microsoft Corp. | 50,549 | 15,719,728 |
Zoom Video Communications, Inc. Class A (a) | 5,255 | 810,741 |
21,084,588 | ||
Technology Hardware, Storage & Peripherals – 7.0% | ||
Apple, Inc. | 104,670 | 18,294,223 |
TOTAL INFORMATION TECHNOLOGY | 75,628,025 | |
MATERIALS – 2.6% | ||
Chemicals – 1.8% | ||
Celanese Corp. | 3,506 | 545,919 |
Ecolab, Inc. | 3,477 | 658,718 |
Linde PLC (a) | 4,528 | 1,442,983 |
LyondellBasell Industries N.V. Class A | 6,022 | 582,508 |
The Sherwin-Williams Co. | 2,899 | 830,592 |
Valvoline, Inc. | 15,005 | 494,265 |
4,554,985 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 3,273 | 477,367 |
Containers & Packaging – 0.2% | ||
Sealed Air Corp. | 8,376 | 568,898 |
Metals & Mining – 0.4% | ||
Newmont Corp. | 11,882 | 726,822 |
Semi-Annual Report | 30 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Royal Gold, Inc. | 4,105 | $ 416,863 |
1,143,685 | ||
TOTAL MATERIALS | 6,744,935 | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
American Tower Corp. | 3,876 | 974,814 |
AvalonBay Communities, Inc. | 2,255 | 550,739 |
Digital Realty Trust, Inc. | 3,782 | 564,388 |
Duke Realty Corp. | 8,675 | 501,242 |
Essex Property Trust, Inc. | 1,394 | 463,505 |
Extra Space Storage, Inc. | 2,650 | 525,203 |
National Retail Properties, Inc. | 7,747 | 343,812 |
Omega Healthcare Investors, Inc. | 10,736 | 337,969 |
Prologis, Inc. | 6,938 | 1,088,017 |
Public Storage | 1,961 | 703,077 |
SBA Communications Corp. | 1,597 | 519,728 |
Simon Property Group, Inc. | 4,401 | 647,827 |
VICI Properties, Inc. | 13,880 | 397,246 |
Weyerhaeuser Co. | 13,984 | 565,373 |
WP Carey, Inc. | 5,124 | 397,622 |
TOTAL REAL ESTATE | 8,580,562 | |
UTILITIES – 2.4% | ||
Electric Utilities – 1.4% | ||
FirstEnergy Corp. | 19,765 | 829,339 |
IDACORP, Inc. | 6,166 | 679,617 |
NextEra Energy, Inc. | 19,528 | 1,525,527 |
NRG Energy, Inc. | 16,401 | 654,892 |
3,689,375 | ||
Gas Utilities – 0.3% | ||
National Fuel Gas Co. | 12,608 | 765,684 |
| ||
Shares | Value | |
Multi-Utilities – 0.7% | ||
Dominion Energy, Inc. | 13,053 | $1,052,855 |
Public Service Enterprise Group, Inc. | 12,827 | 853,380 |
1,906,235 | ||
TOTAL UTILITIES | 6,361,294 | |
TOTAL COMMON STOCKS (Cost $227,163,410) | 259,881,423 | |
Money Market Funds – 0.6% | ||
Fidelity Cash Central Fund, 0.08% (c) | 424,691 | 424,776 |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 1,171,789 | 1,171,907 |
TOTAL MONEY MARKET FUNDS (Cost $1,596,683) | 1,596,683 | |
TOTAL INVESTMENT IN SECURITIES – 100.4% (Cost $228,760,093) | 261,478,106 | |
NET OTHER ASSETS (LIABILITIES) – (0.4%) | (916,470) | |
NET ASSETS – 100.0% | $ 260,561,636 |
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 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) | 28 | March 2022 | $630,595 | $(17,802) | $(17,802) |
31 | Semi-Annual Report |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $ 175,551 | $ 2,994,033 | $ 2,744,807 | $ 106 | $— | $ (1) | $ 424,776 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 1,454,475 | 10,379,219 | 10,661,787 | 3,094 | — | — | $1,171,907 | 0.0% | ||||||
Total | $1,630,026 | $13,373,252 | $13,406,594 | $3,200 | $— | $ (1) | $1,596,683 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 25,241,045 | $ 25,241,045 | $ — | $ — | ||||
Consumer Discretionary | 30,492,047 | 30,492,047 | — | — | ||||
Consumer Staples | 14,448,033 | 14,448,033 | — | — | ||||
Energy | 7,407,470 | 7,407,470 | — | — | ||||
Financials | 28,957,872 | 28,957,872 | — | — | ||||
Health Care | 33,810,362 | 33,810,362 | — | — | ||||
Industrials | 22,209,778 | 22,209,778 | — | — | ||||
Information Technology | 75,628,025 | 75,628,025 | — | — | ||||
Materials | 6,744,935 | 6,744,935 | — | — | ||||
Real Estate | 8,580,562 | 8,580,562 | — | — | ||||
Utilities | 6,361,294 | 6,361,294 | — | — | ||||
Money Market Funds | 1,596,683 | 1,596,683 | — | — | ||||
Total Investments in Securities: | $ 261,478,106 | $ 261,478,106 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (17,802) | $ (17,802) | $ — | $ — | ||||
Total Liabilities | $ (17,802) | $ (17,802) | $ — | $ — | ||||
Total Derivative Instruments: | $ (17,802) | $ (17,802) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(17,802) | |
Total Equity Risk | 0 | (17,802) | |
Total Value of Derivatives | $0 | $(17,802) |
(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). |
Semi-Annual Report | 32 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 3.6% | ||
Diversified Telecommunication Services – 0.7% | ||
Cogent Communications Holdings, Inc. | 1,104 | $ 70,226 |
IDT Corp. Class B (a) | 1,124 | 42,184 |
Liberty Global PLC Class C (a) | 7,357 | 198,933 |
Lumen Technologies, Inc. | 15,137 | 187,093 |
498,436 | ||
Entertainment – 0.4% | ||
Sciplay Corp. Class A (a) | 3,212 | 40,150 |
World Wrestling Entertainment, Inc. Class A | 1,474 | 73,611 |
Zynga, Inc. Class A (a) | 16,267 | 147,542 |
261,303 | ||
Interactive Media & Services – 0.3% | ||
j2 Global, Inc. (a) | 906 | 95,184 |
Yelp, Inc. (a) | 2,062 | 71,222 |
166,406 | ||
Media – 2.2% | ||
Altice USA, Inc. Class A (a) | 4,369 | 63,001 |
AMC Networks, Inc. Class A (a) | 1,289 | 54,950 |
Cable One, Inc. | 86 | 132,847 |
DISH Network Corp. Class A (a) | 3,947 | 123,936 |
Gray Television, Inc. | 3,143 | 65,531 |
John Wiley & Sons, Inc. Class A | 1,301 | 66,026 |
Loyalty Ventures, Inc. (a) | 480 | 14,069 |
News Corp. Class A | 7,633 | 169,758 |
Nexstar Media Group, Inc. Class A | 800 | 132,304 |
Scholastic Corp. | 1,720 | 70,554 |
Sirius XM Holdings, Inc. (b) | 20,477 | 130,234 |
TechTarget, Inc. (a) | 840 | 69,670 |
TEGNA, Inc. | 5,140 | 99,510 |
The Interpublic Group of Cos., Inc. | 5,740 | 204,000 |
The New York Times Co. Class A | 2,645 | 105,879 |
1,502,269 | ||
TOTAL COMMUNICATION SERVICES | 2,428,414 | |
CONSUMER DISCRETIONARY – 13.6% | ||
Auto Components – 1.3% | ||
Autoliv, Inc. | 1,486 | 147,174 |
BorgWarner, Inc. | 3,988 | 174,874 |
Dorman Products, Inc. (a) | 923 | 86,421 |
Gentex Corp. | 4,580 | 143,812 |
Gentherm, Inc. (a) | 1,093 | 95,517 |
Lear Corp. | 973 | 162,802 |
Standard Motor Products, Inc. | 1,613 | 77,214 |
887,814 | ||
Automobiles – 0.2% | ||
Harley-Davidson, Inc. | 3,225 | 111,488 |
Distributors – 0.4% | ||
LKQ Corp. | 4,326 | 237,454 |
| ||
Shares | Value | |
Diversified Consumer Services – 1.1% | ||
American Public Education, Inc. (a) | 2,242 | $ 47,956 |
Carriage Services, Inc. | 1,792 | 90,173 |
Frontdoor, Inc. (a) | 2,304 | 83,635 |
Graham Holdings Co. Class B | 139 | 82,722 |
Grand Canyon Education, Inc. (a) | 1,183 | 98,994 |
H&R Block, Inc. | 4,412 | 100,858 |
Perdoceo Education Corp. (a) | 5,692 | 62,726 |
Service Corp. International | 2,830 | 174,668 |
741,732 | ||
Hotels, Restaurants & Leisure – 1.6% | ||
Boyd Gaming Corp. (a) | 1,914 | 113,806 |
Choice Hotels International, Inc. | 820 | 117,588 |
Cracker Barrel Old Country Store, Inc. | 708 | 84,351 |
Jack in the Box, Inc. | 840 | 76,482 |
Papa John's International, Inc. | 862 | 106,414 |
RCI Hospitality Holdings, Inc. | 1,000 | 69,870 |
Texas Roadhouse, Inc. | 1,383 | 118,094 |
Travel + Leisure Co. | 2,132 | 121,098 |
Vail Resorts, Inc. | 646 | 179,007 |
Wingstop, Inc. | 668 | 102,371 |
1,089,081 | ||
Household Durables – 2.1% | ||
Century Communities, Inc. | 1,187 | 78,164 |
Ethan Allen Interiors, Inc. | 2,725 | 68,697 |
La-Z-Boy, Inc. | 2,249 | 82,561 |
M/I Homes, Inc. (a) | 1,270 | 67,297 |
Mohawk Industries, Inc. (a) | 960 | 151,555 |
Newell Brands, Inc. | 6,624 | 153,743 |
Taylor Morrison Home Corp. (a) | 3,631 | 111,435 |
Tempur Sealy International, Inc. | 3,526 | 140,370 |
Toll Brothers, Inc. | 2,299 | 135,572 |
TopBuild Corp. (a) | 643 | 149,594 |
Tri Pointe Homes, Inc. (a) | 3,824 | 91,050 |
Whirlpool Corp. | 979 | 205,776 |
1,435,814 | ||
Internet & Direct Marketing Retail – 0.3% | ||
Qurate Retail, Inc. Class A | 9,323 | 65,541 |
Revolve Group, Inc. (a) | 1,346 | 66,385 |
Shutterstock, Inc. | 811 | 78,642 |
210,568 | ||
Leisure Products – 0.5% | ||
Brunswick Corp. | 1,440 | 130,738 |
Smith & Wesson Brands, Inc. | 2,923 | 49,925 |
Sturm Ruger & Co., Inc. | 934 | 62,793 |
Vista Outdoor, Inc. (a) | 2,030 | 78,317 |
321,773 | ||
Multiline Retail – 0.7% | ||
Dillard's, Inc. Class A (b) | 425 | 107,831 |
Kohl's Corp. | 2,928 | 174,831 |
33 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Multiline Retail – continued | ||
Macy's, Inc. | 6,900 | $ 176,640 |
459,302 | ||
Specialty Retail – 3.9% | ||
Abercrombie & Fitch Co. Class A (a) | 2,344 | 91,416 |
Academy Sports & Outdoors, Inc. (a) | 2,141 | 83,285 |
Advance Auto Parts, Inc. | 1,031 | 238,687 |
American Eagle Outfitters, Inc. (b) | 3,444 | 78,627 |
Asbury Automotive Group, Inc. (a) | 520 | 83,704 |
AutoNation, Inc. (a) | 1,118 | 121,862 |
Bath & Body Works, Inc. | 3,942 | 221,028 |
Citi Trends, Inc. (a) | 863 | 42,045 |
Dick's Sporting Goods, Inc. | 1,288 | 148,635 |
Foot Locker, Inc. | 2,255 | 100,753 |
Genesco, Inc. (a) | 1,228 | 78,997 |
Group 1 Automotive, Inc. | 546 | 92,716 |
Haverty Furniture Companies, Inc. | 1,781 | 52,575 |
Hibbett, Inc. | 881 | 54,314 |
Lithia Motors, Inc. | 495 | 144,604 |
MarineMax, Inc. (a) | 1,372 | 64,566 |
Penske Automotive Group, Inc. | 1,036 | 105,289 |
Rent-A-Center, Inc. | 1,583 | 66,724 |
RH (a) | 271 | 109,164 |
Sally Beauty Holdings, Inc. (a) | 4,408 | 75,685 |
Shoe Carnival, Inc. (b) | 1,984 | 67,774 |
Signet Jewelers Ltd. | 1,543 | 132,899 |
The Buckle, Inc. | 1,728 | 65,042 |
Urban Outfitters, Inc. (a) | 2,344 | 67,320 |
Williams-Sonoma, Inc. (b) | 1,244 | 199,712 |
Winmark Corp. | 327 | 70,442 |
2,657,865 | ||
Textiles, Apparel & Luxury Goods – 1.5% | ||
Capri Holdings Ltd. (a) | 2,705 | 162,489 |
Carter's, Inc. | 1,073 | 99,918 |
Crocs, Inc. (a) | 1,151 | 118,116 |
Deckers Outdoor Corp. (a) | 453 | 145,064 |
Kontoor Brands, Inc. | 1,574 | 77,582 |
Levi Strauss & Co. Class A | 3,006 | 65,922 |
Movado Group, Inc. | 2,093 | 77,587 |
Skechers U.S.A., Inc. Class A (a) | 2,637 | 110,754 |
Tapestry, Inc. | 4,483 | 170,130 |
1,027,562 | ||
TOTAL CONSUMER DISCRETIONARY | 9,180,453 | |
CONSUMER STAPLES – 3.3% | ||
Beverages – 0.3% | ||
Molson Coors Beverage Co. Class B | 3,481 | 165,905 |
Food & Staples Retailing – 0.1% | ||
Ingles Markets, Inc. Class A | 1,199 | 92,239 |
| ||
Shares | Value | |
Food Products – 2.1% | ||
Bunge Ltd. | 2,459 | $ 243,097 |
Campbell Soup Co. | 3,853 | 169,994 |
Darling Ingredients, Inc. (a) | 2,788 | 177,791 |
Flowers Foods, Inc. | 5,084 | 143,013 |
Ingredion, Inc. | 1,534 | 145,270 |
J&J Snack Foods Corp. | 573 | 86,918 |
John B Sanfilippo & Son, Inc. | 817 | 64,625 |
Lamb Weston Holdings, Inc. | 2,682 | 172,211 |
Lancaster Colony Corp. | 565 | 89,705 |
Sanderson Farms, Inc. | 587 | 108,008 |
1,400,632 | ||
Household Products – 0.1% | ||
WD-40 Co. (b) | 421 | 93,571 |
Personal Products – 0.5% | ||
Herbalife Nutrition Ltd. (a) | 2,375 | 100,961 |
Medifast, Inc. | 385 | 76,503 |
Nu Skin Enterprises, Inc. Class A | 1,771 | 85,345 |
USANA Health Sciences, Inc. (a) | 814 | 77,802 |
340,611 | ||
Tobacco – 0.2% | ||
Universal Corp. | 1,600 | 87,088 |
Vector Group Ltd. | 6,024 | 66,927 |
154,015 | ||
TOTAL CONSUMER STAPLES | 2,246,973 | |
ENERGY – 4.0% | ||
Energy Equipment & Services – 0.4% | ||
Cactus, Inc. Class A | 2,681 | 129,921 |
ChampionX Corp. (a) | 5,268 | 118,003 |
National Energy Services Reunited Corp. (a) | 6,591 | 65,449 |
313,373 | ||
Oil, Gas & Consumable Fuels – 3.6% | ||
Antero Resources Corp. (a) | 8,517 | 166,337 |
Cabot Oil & Gas Corp. | 8,959 | 196,202 |
CONSOL Energy, Inc. (a) | 3,687 | 80,155 |
Continental Resources, Inc. | 2,734 | 142,004 |
Devon Energy Corp. | 9,359 | 473,285 |
Equitrans Midstream Corp. | 13,103 | 106,265 |
International Seaways, Inc. | 4,984 | 72,717 |
Marathon Oil Corp. | 14,963 | 291,330 |
Ovintiv, Inc. | 5,738 | 222,634 |
PDC Energy, Inc. | 2,994 | 177,454 |
Targa Resources Corp. | 4,268 | 252,154 |
Teekay Corp. (a) | 27,304 | 84,642 |
Teekay Tankers Ltd. Class A (a) | 6,655 | 71,009 |
World Fuel Services Corp. | 2,794 | 78,819 |
2,415,007 | ||
TOTAL ENERGY | 2,728,380 |
Semi-Annual Report | 34 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – 16.8% | ||
Banks – 7.0% | ||
Ameris Bancorp | 2,097 | $ 103,403 |
Bank OZK | 2,937 | 137,598 |
Brookline Bancorp, Inc. | 5,252 | 89,809 |
Camden National Corp. | 1,613 | 80,102 |
Cathay General Bancorp | 2,508 | 113,261 |
Comerica, Inc. | 2,502 | 232,136 |
ConnectOne Bancorp, Inc. | 2,788 | 89,244 |
Customers Bancorp, Inc. (a) | 1,981 | 115,492 |
Eagle Bancorp, Inc. | 1,502 | 90,075 |
East West Bancorp, Inc. | 2,467 | 213,001 |
First BanCorp | 7,687 | 111,846 |
First Horizon Corp. | 10,474 | 179,210 |
First Midwest Bancorp, Inc. | 4,913 | 102,043 |
Fulton Financial Corp. | 6,011 | 107,897 |
Great Southern Bancorp, Inc. | 1,372 | 81,415 |
Hancock Whitney Corp. | 2,465 | 129,955 |
Hanmi Financial Corp. | 3,812 | 102,467 |
Harborone Bancorp, Inc. | 5,399 | 76,666 |
Hilltop Holdings, Inc. | 2,711 | 89,544 |
HomeStreet, Inc. | 1,920 | 93,600 |
Hope Bancorp, Inc. | 6,235 | 104,436 |
Independent Bank Corp. | 3,334 | 81,616 |
Lakeland Bancorp, Inc. | 4,562 | 86,359 |
Meta Financial Group, Inc. | 1,702 | 101,201 |
PacWest Bancorp | 2,949 | 136,922 |
Popular, Inc. | 1,842 | 164,251 |
Preferred Bank | 1,260 | 98,356 |
QCR Holdings, Inc. | 1,484 | 84,647 |
Sandy Spring Bancorp, Inc. | 2,044 | 96,702 |
Synovus Financial Corp. | 3,227 | 160,576 |
Towne Bank | 2,883 | 90,469 |
UMB Financial Corp. | 1,177 | 115,876 |
Umpqua Holdings Corp. | 5,848 | 118,597 |
United Community Banks, Inc. | 3,183 | 112,646 |
Univest Financial Corp. | 2,702 | 81,411 |
Valley National Bancorp | 9,603 | 133,674 |
WesBanco, Inc. | 2,725 | 96,710 |
Western Alliance Bancorp | 1,838 | 182,311 |
Wintrust Financial Corp. | 1,536 | 150,636 |
Zions Bancorp NA | 3,081 | 208,953 |
4,745,113 | ||
Capital Markets – 3.0% | ||
Affiliated Managers Group, Inc. | 871 | 127,349 |
Cboe Global Markets, Inc. | 1,750 | 207,427 |
Cowen, Inc. Class A | 1,916 | 60,699 |
Evercore, Inc. Class A | 961 | 119,952 |
Franklin Resources, Inc. | 5,174 | 165,413 |
Houlihan Lokey, Inc. | 1,331 | 141,459 |
Invesco Ltd. | 6,958 | 157,668 |
| ||
Shares | Value | |
Janus Henderson Group PLC | 3,491 | $ 128,818 |
Jefferies Financial Group, Inc. | 4,160 | 152,422 |
Moelis & Co. Class A | 1,734 | 97,919 |
Morningstar, Inc. | 489 | 140,543 |
Open Lending Corp. Class A (a) | 2,830 | 53,742 |
Oppenheimer Holdings, Inc. | 1,582 | 67,061 |
SEI Investments Co. | 2,390 | 140,078 |
Stifel Financial Corp. | 2,154 | 161,335 |
Victory Capital Holdings, Inc. Class A | 2,187 | 71,449 |
1,993,334 | ||
Consumer Finance – 0.7% | ||
Enova International, Inc. (a) | 2,377 | 95,746 |
Navient Corp. | 5,177 | 90,235 |
OneMain Holdings, Inc. | 2,223 | 114,840 |
SLM Corp. | 7,236 | 132,708 |
433,529 | ||
Insurance – 4.6% | ||
American Financial Group, Inc. | 1,277 | 166,368 |
American National Group, Inc. | 484 | 91,374 |
Assurant, Inc. | 1,058 | 161,356 |
Brown & Brown, Inc. | 3,839 | 254,449 |
Employers Holdings, Inc. | 1,896 | 74,134 |
Enstar Group Ltd. (a) | 398 | 105,502 |
Everest Re Group Ltd. | 701 | 198,663 |
Fidelity National Financial, Inc. | 4,686 | 235,940 |
First American Financial Corp. | 2,186 | 162,879 |
Globe Life, Inc. | 1,775 | 181,582 |
Loews Corp. | 3,757 | 224,143 |
Mercury General Corp. | 1,390 | 75,977 |
Old Republic International Corp. | 5,813 | 148,987 |
Primerica, Inc. | 881 | 135,973 |
Reinsurance Group of America, Inc. | 1,300 | 149,279 |
Safety Insurance Group, Inc. | 981 | 80,766 |
Selective Insurance Group, Inc. | 1,470 | 115,983 |
Stewart Information Services Corp. | 1,397 | 99,788 |
The Hanover Insurance Group, Inc. | 894 | 123,336 |
Unum Group | 4,837 | 122,763 |
WR Berkley Corp. | 2,476 | 209,222 |
3,118,464 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.5% | ||
AGNC Investment Corp. | 10,110 | 150,538 |
Apollo Commercial Real Estate Finance, Inc. | 5,755 | 78,556 |
Chimera Investment Corp. | 6,887 | 99,861 |
328,955 | ||
Thrifts & Mortgage Finance – 1.0% | ||
Essent Group Ltd. | 2,662 | 121,494 |
Flagstar Bancorp, Inc. | 1,897 | 85,839 |
Merchants Bancorp | 3,038 | 88,558 |
MGIC Investment Corp. | 8,494 | 128,939 |
Provident Financial Services, Inc. | 3,746 | 90,541 |
35 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – continued | ||
Radian Group, Inc. | 5,005 | $112,062 |
Waterstone Financial, Inc. | 3,444 | 70,326 |
697,759 | ||
TOTAL FINANCIALS | 11,317,154 | |
HEALTH CARE – 11.3% | ||
Biotechnology – 1.6% | ||
Agios Pharmaceuticals, Inc. (a) | 2,021 | 62,429 |
Alkermes PLC (a) | 4,077 | 103,963 |
Blueprint Medicines Corp. (a) | 1,366 | 105,319 |
CareDx, Inc. (a) | 1,344 | 56,179 |
Denali Therapeutics, Inc. (a) | 2,120 | 72,546 |
Eagle Pharmaceuticals, Inc. (a) | 1,507 | 69,231 |
Exelixis, Inc. (a) | 7,268 | 131,551 |
Intellia Therapeutics, Inc. (a) | 1,133 | 107,148 |
Sage Therapeutics, Inc. (a) | 2,073 | 81,718 |
United Therapeutics Corp. (a) | 813 | 164,120 |
Vanda Pharmaceuticals, Inc. (a) | 4,617 | 69,994 |
Vericel Corp. (a) | 1,784 | 63,475 |
1,087,673 | ||
Health Care Equipment & Supplies – 2.8% | ||
AngioDynamics, Inc. (a) | 2,752 | 59,526 |
AtriCure, Inc. (a) | 1,297 | 85,135 |
Atrion Corp. | 119 | 72,044 |
CONMED Corp. | 833 | 114,604 |
DENTSPLY SIRONA, Inc. | 3,538 | 189,000 |
Envista Holdings Corp. (a) | 3,372 | 145,805 |
Globus Medical, Inc. Class A (a) | 1,671 | 111,506 |
ICU Medical, Inc. (a) | 558 | 119,055 |
Inogen, Inc. (a) | 1,271 | 37,787 |
Integer Holdings Corp. (a) | 1,056 | 82,801 |
Integra LifeSciences Holdings Corp. (a) | 1,705 | 110,382 |
LeMaitre Vascular, Inc. | 1,320 | 55,849 |
LivaNova PLC (a) | 1,310 | 98,394 |
Meridian Bioscience, Inc. (a) | 3,490 | 72,766 |
Merit Medical Systems, Inc. (a) | 1,506 | 83,508 |
Mesa Laboratories, Inc. (b) | 279 | 79,328 |
Neogen Corp. (a) | 2,662 | 97,083 |
Quidel Corp. (a) | 879 | 90,853 |
Shockwave Medical, Inc. (a) | 713 | 103,364 |
STAAR Surgical Co. (a) | 937 | 68,139 |
1,876,929 | ||
Health Care Providers & Services – 3.9% | ||
Acadia Healthcare Co., Inc. (a) | 2,048 | 107,827 |
Amedisys, Inc. (a) | 688 | 92,949 |
AMN Healthcare Services, Inc. (a) | 1,138 | 115,325 |
Chemed Corp. | 319 | 149,582 |
CorVel Corp. (a) | 509 | 89,645 |
| ||
Shares | Value | |
Cross Country Healthcare, Inc. (a) | 3,506 | $ 75,414 |
DaVita, Inc. (a) | 1,312 | 142,182 |
Encompass Health Corp. | 1,907 | 118,310 |
Fulgent Genetics, Inc. (a)(b) | 776 | 49,563 |
HealthEquity, Inc. (a) | 1,804 | 96,406 |
Henry Schein, Inc. (a) | 2,451 | 184,560 |
LHC Group, Inc. (a) | 693 | 86,001 |
ModivCare, Inc. (a) | 494 | 57,269 |
Molina Healthcare, Inc. (a) | 895 | 259,980 |
National HealthCare Corp. | 967 | 63,242 |
Option Care Health, Inc. (a) | 4,141 | 96,775 |
Owens & Minor, Inc. | 2,490 | 104,804 |
Premier, Inc. Class A | 2,631 | 100,557 |
Select Medical Holdings Corp. | 2,856 | 66,345 |
Tenet Healthcare Corp. (a) | 2,133 | 158,098 |
The Ensign Group, Inc. | 1,336 | 100,775 |
Triple-S Management Corp. Class B (a) | 2,893 | 104,119 |
Universal Health Services, Inc. Class B | 1,303 | 169,468 |
US Physical Therapy, Inc. | 686 | 66,384 |
2,655,580 | ||
Health Care Technology – 0.8% | ||
Allscripts Healthcare Solutions, Inc. (a) | 5,311 | 107,388 |
Computer Programs & Systems, Inc. (a) | 2,082 | 58,962 |
HealthStream, Inc. (a) | 2,421 | 58,951 |
Omnicell, Inc. (a) | 914 | 137,228 |
OptimizeRx Corp. (a) | 1,100 | 49,423 |
Vocera Communications, Inc. (a) | 1,761 | 139,137 |
551,089 | ||
Life Sciences Tools & Services – 1.0% | ||
Bruker Corp. | 1,956 | 130,270 |
Frontage Holdings Corp. (a)(c) | 86,000 | 41,362 |
Medpace Holdings, Inc. (a) | 666 | 118,188 |
Pacific Biosciences of California, Inc. (a) | 4,005 | 44,776 |
Repligen Corp. (a) | 831 | 164,820 |
Syneos Health, Inc. (a) | 1,875 | 169,800 |
669,216 | ||
Pharmaceuticals – 1.2% | ||
Corcept Therapeutics, Inc. (a) | 4,147 | 77,839 |
Innoviva, Inc. (a) | 4,857 | 77,858 |
Jazz Pharmaceuticals PLC (a) | 1,114 | 154,746 |
Perrigo Co. PLC | 2,840 | 108,119 |
Phibro Animal Health Corp. Class A | 2,913 | 56,221 |
Prestige Consumer Healthcare, Inc. (a) | 1,691 | 95,457 |
Royalty Pharma PLC Class A | 2,679 | 107,187 |
Supernus Pharmaceuticals, Inc. (a) | 3,002 | 92,611 |
770,038 | ||
TOTAL HEALTH CARE | 7,610,525 |
Semi-Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – 16.9% | ||
Aerospace & Defense – 0.5% | ||
Huntington Ingalls Industries, Inc. | 716 | $134,035 |
Textron, Inc. | 3,323 | 226,164 |
360,199 | ||
Air Freight & Logistics – 0.5% | ||
CH Robinson Worldwide, Inc. | 2,112 | 221,021 |
Forward Air Corp. | 924 | 98,221 |
319,242 | ||
Building Products – 2.4% | ||
Advanced Drainage Systems, Inc. | 1,021 | 115,465 |
Allegion PLC | 1,410 | 173,049 |
AO Smith Corp. | 2,286 | 174,696 |
Apogee Enterprises, Inc. (b) | 1,645 | 73,449 |
Armstrong World Industries, Inc. | 1,034 | 102,387 |
Carlisle Cos., Inc. | 867 | 193,722 |
Lennox International, Inc. | 549 | 155,707 |
Owens Corning | 1,741 | 154,427 |
Simpson Manufacturing Co., Inc. | 976 | 110,083 |
Trex Co., Inc. (a) | 1,815 | 166,018 |
UFP Industries, Inc. | 1,417 | 113,162 |
Zurn Water Solutions Corp. | 2,272 | 69,387 |
1,601,552 | ||
Commercial Services & Supplies – 0.9% | ||
Brady Corp. Class A | 1,540 | 79,957 |
Deluxe Corp. | 1,727 | 51,983 |
Ennis, Inc. | 3,010 | 56,979 |
Healthcare Services Group, Inc. | 2,882 | 52,423 |
Herman Miller, Inc. | 2,064 | 79,712 |
HNI Corp. | 1,899 | 79,644 |
MSA Safety, Inc. | 746 | 102,500 |
UniFirst Corp. | 421 | 80,028 |
583,226 | ||
Construction & Engineering – 1.8% | ||
AECOM | 2,542 | 175,729 |
API Group Corp. (a) | 4,088 | 91,162 |
Argan, Inc. | 1,355 | 50,338 |
Comfort Systems USA, Inc. | 1,115 | 100,105 |
EMCOR Group, Inc. | 1,060 | 126,363 |
Granite Construction, Inc. | 1,883 | 67,750 |
IES Holdings, Inc. (a) | 1,241 | 61,181 |
MasTec, Inc. (a) | 1,169 | 100,686 |
MYR Group, Inc. (a) | 735 | 69,112 |
Primoris Services Corp. | 2,520 | 64,814 |
Quanta Services, Inc. | 2,147 | 220,540 |
Valmont Industries, Inc. | 464 | 100,795 |
1,228,575 | ||
Electrical Equipment – 1.6% | ||
Acuity Brands, Inc. | 709 | 135,795 |
Atkore, Inc. (a) | 1,151 | 124,055 |
| ||
Shares | Value | |
Encore Wire Corp. | 864 | $ 97,364 |
EnerSys | 1,033 | 77,403 |
GrafTech International Ltd. | 6,488 | 67,994 |
Hubbell, Inc. | 880 | 164,815 |
nVent Electric PLC | 3,508 | 121,342 |
Regal Rexnord Corp. | 936 | 148,337 |
Sensata Technologies Holding PLC (a) | 2,732 | 156,707 |
1,093,812 | ||
Machinery – 4.5% | ||
AGCO Corp. | 1,105 | 129,506 |
Albany International Corp. Class A | 988 | 82,705 |
Allison Transmission Holdings, Inc. | 2,627 | 99,800 |
Crane Co. | 1,100 | 113,861 |
Donaldson Co., Inc. | 2,224 | 123,788 |
Energy Recovery, Inc. (a) | 3,116 | 61,011 |
Federal Signal Corp. | 2,089 | 81,513 |
Franklin Electric Co., Inc. | 1,076 | 93,397 |
Graco, Inc. | 2,608 | 189,236 |
Helios Technologies, Inc. | 1,000 | 76,630 |
Hillenbrand, Inc. | 2,027 | 94,215 |
ITT, Inc. | 1,522 | 139,902 |
Kadant, Inc. | 391 | 81,711 |
Lincoln Electric Holdings, Inc. | 1,065 | 136,150 |
Lindsay Corp. | 440 | 55,550 |
Mueller Industries, Inc. | 1,907 | 98,516 |
Nordson Corp. | 850 | 197,659 |
Oshkosh Corp. | 1,240 | 141,124 |
Pentair PLC | 2,591 | 165,047 |
Snap-on, Inc. | 850 | 177,013 |
Terex Corp. | 1,860 | 77,599 |
The Middleby Corp. (a) | 908 | 168,162 |
The Timken Co. | 1,484 | 99,131 |
The Toro Co. | 1,680 | 162,254 |
Watts Water Technologies, Inc. Class A | 643 | 98,514 |
Woodward, Inc. | 1,126 | 124,164 |
3,068,158 | ||
Marine – 0.2% | ||
Matson, Inc. | 1,245 | 121,587 |
Professional Services – 1.9% | ||
ASGN, Inc. (a) | 1,115 | 128,080 |
Booz Allen Hamilton Holding Corp. | 2,214 | 169,880 |
CACI International, Inc. Class A (a) | 501 | 123,978 |
CBIZ, Inc. (a) | 2,242 | 86,608 |
Heidrick & Struggles International, Inc. | 1,502 | 65,743 |
ICF International, Inc. | 787 | 74,285 |
Kelly Services, Inc. Class A | 2,750 | 46,970 |
Kforce, Inc. | 1,090 | 74,850 |
Korn Ferry | 1,396 | 92,667 |
ManpowerGroup, Inc. | 1,080 | 113,260 |
Robert Half International, Inc. | 1,813 | 205,340 |
37 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Professional Services – continued | ||
Science Applications International Corp. | 1,303 | $ 106,885 |
1,288,546 | ||
Road & Rail – 1.1% | ||
JB Hunt Transport Services, Inc. | 1,266 | 243,756 |
Landstar System, Inc. | 774 | 123,840 |
Ryder System, Inc. | 1,302 | 95,293 |
Saia, Inc. (a) | 525 | 149,247 |
XPO Logistics, Inc. (a) | 1,812 | 119,900 |
732,036 | ||
Trading Companies & Distributors – 1.5% | ||
Applied Industrial Technologies, Inc. | 1,060 | 103,859 |
BlueLinx Holdings, Inc. (a) | 1,100 | 78,804 |
Boise Cascade Co. | 1,451 | 101,889 |
McGrath RentCorp | 1,013 | 77,201 |
MSC Industrial Direct Co., Inc. Class A | 1,165 | 95,110 |
Rush Enterprises, Inc. Class A | 1,670 | 88,209 |
Titan Machinery, Inc. (a) | 2,147 | 66,128 |
Veritiv Corp. (a) | 1,006 | 93,638 |
Watsco, Inc. | 569 | 160,777 |
WESCO International, Inc. (a) | 975 | 118,843 |
984,458 | ||
TOTAL INDUSTRIALS | 11,381,391 | |
INFORMATION TECHNOLOGY – 12.6% | ||
Communications Equipment – 1.0% | ||
Ciena Corp. (a) | 2,836 | 188,055 |
Juniper Networks, Inc. | 5,890 | 205,090 |
NETGEAR, Inc. (a) | 2,121 | 58,688 |
Netscout Systems, Inc. (a) | 3,042 | 95,975 |
Viavi Solutions, Inc. (a) | 6,349 | 104,505 |
652,313 | ||
Electronic Equipment, Instruments & Components – 3.2% | ||
Advanced Energy Industries, Inc. | 1,095 | 94,367 |
Arrow Electronics, Inc. (a) | 1,377 | 170,748 |
Avnet, Inc. | 2,606 | 105,178 |
Badger Meter, Inc. | 932 | 94,290 |
CTS Corp. | 2,113 | 70,891 |
ePlus, Inc. (a) | 1,542 | 70,886 |
Fabrinet (a) | 1,072 | 121,308 |
Insight Enterprises, Inc. (a) | 1,004 | 94,527 |
Jabil, Inc. | 2,560 | 157,414 |
Kimball Electronics, Inc. (a) | 3,030 | 59,964 |
Littelfuse, Inc. | 511 | 137,955 |
Methode Electronics, Inc. | 1,732 | 76,260 |
Novanta, Inc. (a) | 840 | 116,004 |
OSI Systems, Inc. (a) | 821 | 68,094 |
Plexus Corp. (a) | 1,016 | 78,760 |
Rogers Corp. (a) | 528 | 144,118 |
| ||
Shares | Value | |
Sanmina Corp. (a) | 2,327 | $ 88,007 |
ScanSource, Inc. (a) | 2,507 | 78,168 |
SYNNEX Corp. | 963 | 100,701 |
TTM Technologies, Inc. (a) | 5,472 | 73,653 |
Vishay Intertechnology, Inc. | 4,254 | 88,100 |
Vontier Corp. | 3,792 | 106,593 |
2,195,986 | ||
IT Services – 2.8% | ||
Alliance Data Systems Corp. | 1,222 | 84,367 |
Amdocs Ltd. | 2,287 | 173,560 |
Concentrix Corp. | 834 | 167,626 |
Conduent, Inc. (a) | 11,530 | 54,537 |
CSG Systems International, Inc. | 1,693 | 96,112 |
DXC Technology Co. (a) | 4,481 | 134,788 |
Euronet Worldwide, Inc. (a) | 1,069 | 143,128 |
EVERTEC, Inc. | 2,010 | 87,716 |
ExlService Holdings, Inc. (a) | 907 | 109,312 |
Genpact Ltd. | 3,234 | 160,891 |
Jack Henry & Associates, Inc. | 1,215 | 203,889 |
Maximus, Inc. | 1,411 | 109,099 |
Perficient, Inc. (a) | 985 | 103,248 |
The Hackett Group, Inc. | 3,747 | 71,718 |
The Western Union Co. | 7,371 | 139,386 |
TTEC Holdings, Inc. | 781 | 62,550 |
1,901,927 | ||
Semiconductors & Semiconductor Equipment – 1.9% | ||
Amkor Technology, Inc. | 3,456 | 76,101 |
Brooks Automation, Inc. | 1,511 | 127,438 |
Cirrus Logic, Inc. (a) | 1,421 | 127,094 |
Diodes, Inc. (a) | 1,175 | 109,028 |
Kulicke & Soffa Industries, Inc. | 1,726 | 94,395 |
MKS Instruments, Inc. | 1,017 | 157,971 |
Onto Innovation, Inc. (a) | 1,410 | 129,071 |
Photronics, Inc. (a) | 5,192 | 92,833 |
Power Integrations, Inc. | 1,291 | 104,197 |
Rambus, Inc. (a) | 3,693 | 93,248 |
Ultra Clean Holdings, Inc. (a) | 1,769 | 89,193 |
Universal Display Corp. | 754 | 115,746 |
1,316,315 | ||
Software – 3.4% | ||
ACI Worldwide, Inc. (a) | 3,203 | 110,087 |
Alarm.com Holdings, Inc. (a) | 1,225 | 91,348 |
American Software, Inc. Class A | 3,047 | 70,051 |
Aspen Technology, Inc. (a) | 1,180 | 177,189 |
Blackbaud, Inc. (a) | 1,403 | 95,600 |
CDK Global, Inc. | 2,685 | 115,374 |
CommVault Systems, Inc. (a) | 1,330 | 89,722 |
Consensus Cloud Solutions, Inc. (a) | 301 | 17,067 |
Dolby Laboratories, Inc. Class A | 1,361 | 119,564 |
Dropbox, Inc. Class A (a) | 5,267 | 130,358 |
Five9, Inc. (a) | 1,051 | 132,111 |
Semi-Annual Report | 38 |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Software – continued | ||
InterDigital, Inc. | 1,231 | $ 84,976 |
Manhattan Associates, Inc. (a) | 1,091 | 146,052 |
NCR Corp. (a) | 3,027 | 115,208 |
Paylocity Holding Corp. (a) | 708 | 144,418 |
Progress Software Corp. | 1,831 | 83,329 |
Qualys, Inc. (a) | 960 | 123,014 |
SPS Commerce, Inc. (a) | 938 | 116,171 |
Teradata Corp. (a) | 2,428 | 97,946 |
VMware, Inc. Class A | 1,298 | 166,767 |
Xperi Holding Corp. | 4,120 | 69,504 |
2,295,856 | ||
Technology Hardware, Storage & Peripherals – 0.3% | ||
Avid Technology, Inc. (a) | 2,576 | 80,783 |
Xerox Holdings Corp. | 4,477 | 94,510 |
175,293 | ||
TOTAL INFORMATION TECHNOLOGY | 8,537,690 | |
MATERIALS – 5.6% | ||
Chemicals – 2.2% | ||
AdvanSix, Inc. | 1,854 | 78,035 |
Avient Corp. | 2,190 | 108,996 |
Balchem Corp. | 777 | 114,172 |
CF Industries Holdings, Inc. | 3,630 | 249,998 |
Minerals Technologies, Inc. | 1,078 | 75,428 |
NewMarket Corp. | 254 | 85,870 |
Olin Corp. | 2,807 | 142,231 |
Sensient Technologies Corp. | 1,112 | 94,231 |
The Chemours Co. | 3,536 | 115,662 |
Trinseo PLC | 1,518 | 81,274 |
Tronox Holdings PLC Class A | 4,298 | 97,565 |
Valvoline, Inc. | 3,791 | 124,875 |
Westlake Chemical Corp. | 1,061 | 104,668 |
1,473,005 | ||
Construction Materials – 0.4% | ||
Eagle Materials, Inc. | 852 | 124,264 |
Summit Materials, Inc. Class A (a) | 2,941 | 104,582 |
228,846 | ||
Containers & Packaging – 1.6% | ||
AptarGroup, Inc. | 1,160 | 136,068 |
Berry Global Group, Inc. (a) | 2,373 | 159,988 |
Crown Holdings, Inc. | 2,071 | 236,923 |
Greif, Inc. Class A | 1,201 | 71,051 |
Sealed Air Corp. | 2,684 | 182,297 |
Sonoco Products Co. | 2,008 | 113,733 |
Westrock Co. | 4,115 | 189,948 |
1,090,008 | ||
Metals & Mining – 1.0% | ||
Cleveland-Cliffs, Inc. (a) | 7,505 | 128,636 |
| ||
Shares | Value | |
Reliance Steel & Aluminum Co. | 1,079 | $ 164,957 |
Schnitzer Steel Industries, Inc. Class A | 1,413 | 55,305 |
Steel Dynamics, Inc. | 3,153 | 175,054 |
SunCoke Energy, Inc. | 8,686 | 59,499 |
United States Steel Corp. | 5,137 | 106,439 |
689,890 | ||
Paper & Forest Products – 0.4% | ||
Louisiana-Pacific Corp. | 2,182 | 144,972 |
Resolute Forest Products, Inc. | 5,451 | 74,243 |
Schweitzer-Mauduit International, Inc. | 1,750 | 52,972 |
272,187 | ||
TOTAL MATERIALS | 3,753,936 | |
REAL ESTATE – 9.0% | ||
Equity Real Estate Investment Trusts (REITs) – 8.5% | ||
Agree Realty Corp. | 1,354 | 88,525 |
American Campus Communities, Inc. | 2,451 | 128,089 |
American Homes 4 Rent Class A | 4,120 | 161,216 |
Brandywine Realty Trust | 5,337 | 68,634 |
Brixmor Property Group, Inc. | 5,280 | 133,901 |
Camden Property Trust | 1,407 | 225,247 |
CareTrust REIT, Inc. | 3,011 | 63,863 |
City Office REIT, Inc. | 3,940 | 70,250 |
Cousins Properties, Inc. | 2,841 | 109,549 |
CubeSmart | 3,141 | 159,374 |
EastGroup Properties, Inc. | 703 | 140,537 |
Equity Lifestyle Properties, Inc. | 2,456 | 192,280 |
Essential Properties Realty Trust, Inc. | 2,828 | 75,083 |
Federal Realty Investment Trust | 1,157 | 147,506 |
First Industrial Realty Trust, Inc. | 2,277 | 138,396 |
Four Corners Property Trust, Inc. | 2,392 | 64,751 |
Gaming and Leisure Properties, Inc. | 3,381 | 152,754 |
Healthcare Realty Trust, Inc. | 2,993 | 92,843 |
Healthcare Trust of America, Inc. Class A | 4,046 | 131,697 |
Highwoods Properties, Inc. | 2,160 | 93,139 |
Industrial Logistics Properties Trust | 2,405 | 55,147 |
Iron Mountain, Inc. | 4,286 | 196,813 |
Kilroy Realty Corp. | 1,871 | 119,744 |
Kimco Realty Corp. | 8,895 | 215,793 |
Kite Realty Group Trust | 3,205 | 66,920 |
Lamar Advertising Co. Class A | 1,399 | 154,953 |
Life Storage, Inc. | 1,226 | 165,449 |
LTC Properties, Inc. | 1,682 | 60,670 |
National Health Investors, Inc. | 1,176 | 68,008 |
National Retail Properties, Inc. | 2,894 | 128,436 |
National Storage Affiliates Trust | 1,638 | 100,835 |
Omega Healthcare Investors, Inc. | 3,906 | 122,961 |
Piedmont Office Realty Trust, Inc. Class A | 3,806 | 67,595 |
PotlatchDeltic Corp. | 1,633 | 87,839 |
Preferred Apartment Communities, Inc. Class A | 4,500 | 75,060 |
39 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
PS Business Parks, Inc. | 519 | $ 86,652 |
Regency Centers Corp. | 2,476 | 177,653 |
Retail Opportunity Investments Corp. | 3,876 | 71,822 |
Rexford Industrial Realty, Inc. | 2,201 | 161,047 |
RPT Realty | 4,426 | 55,856 |
Sabra Health Care REIT, Inc. | 5,051 | 68,744 |
SL Green Realty Corp. | 1,376 | 99,790 |
Spirit Realty Capital, Inc. | 2,164 | 102,703 |
STAG Industrial, Inc. | 2,861 | 122,251 |
STORE Capital Corp. | 3,935 | 124,779 |
Tanger Factory Outlet Centers, Inc. | 3,685 | 62,682 |
UDR, Inc. | 4,171 | 237,080 |
Urstadt Biddle Properties, Inc. Class A | 2,741 | 53,970 |
WP Carey, Inc. | 2,535 | 196,716 |
5,745,602 | ||
Real Estate Management & Development – 0.5% | ||
Douglas Elliman, Inc. (a) | 2,986 | 23,172 |
Jones Lang LaSalle, Inc. (a) | 761 | 190,851 |
Realogy Holdings Corp. (a) | 3,838 | 63,327 |
The RMR Group, Inc. Class A | 1,335 | 42,733 |
320,083 | ||
TOTAL REAL ESTATE | 6,065,685 | |
UTILITIES – 3.1% | ||
Electric Utilities – 1.5% | ||
ALLETE, Inc. | 1,442 | 92,043 |
Hawaiian Electric Industries, Inc. | 2,652 | 112,710 |
IDACORP, Inc. | 1,146 | 126,312 |
NRG Energy, Inc. | 4,245 | 169,503 |
OGE Energy Corp. | 4,042 | 153,272 |
Otter Tail Corp. | 1,612 | 102,201 |
Pinnacle West Capital Corp. | 2,047 | 142,492 |
Portland General Electric Co. | 2,253 | 118,372 |
1,016,905 | ||
Gas Utilities – 0.9% | ||
Chesapeake Utilities Corp. | 674 | 91,805 |
National Fuel Gas Co. | 2,227 | 135,246 |
New Jersey Resources Corp. | 2,671 | 107,401 |
Spire, Inc. | 1,424 | 93,870 |
UGI Corp. | 3,671 | 166,480 |
594,802 |
| ||
Shares | Value | |
Independent Power and Renewable Electricity Producers – 0.2% | ||
Clearway Energy, Inc. Class C | 3,229 | $ 108,753 |
Multi-Utilities – 0.4% | ||
Avista Corp. | 2,210 | 98,257 |
MDU Resources Group, Inc. | 4,173 | 122,561 |
NorthWestern Corp. (b) | 1,552 | 90,202 |
311,020 | ||
Water Utilities – 0.1% | ||
California Water Service Group | 1,509 | 93,694 |
TOTAL UTILITIES | 2,125,174 | |
TOTAL COMMON STOCKS (Cost $66,438,263) | 67,375,775 | |
Money Market Funds – 1.2% | ||
Fidelity Cash Central Fund, 0.08% (d) | 91,132 | 91,150 |
Fidelity Securities Lending Cash Central Fund, 0.08% (d)(e) | 704,205 | 704,275 |
TOTAL MONEY MARKET FUNDS (Cost $795,425) | 795,425 | |
TOTAL INVESTMENT IN SECURITIES – 101.0% (Cost $67,233,688) | 68,171,200 | |
NET OTHER ASSETS (LIABILITIES) – (1.0%) | (683,495) | |
NET ASSETS – 100.0% | $ 67,487,705 |
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 $41,362 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 are available on the SEC's website or upon request. | |
(e) | Investment made with cash collateral received from securities on loan. |
Semi-Annual Report | 40 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | March 2022 | $101,220 | $(7,600) | $(7,600) |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $ 25,839 | $1,756,848 | $1,691,537 | $ 34 | $— | $— | $ 91,150 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 92,825 | 2,970,138 | 2,358,688 | 1,521 | — | — | $704,275 | 0.0% | ||||||
Total | $118,664 | $4,726,986 | $4,050,225 | $1,555 | $— | $— | $795,425 |
41 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 2,428,414 | $ 2,428,414 | $ — | $ — | ||||
Consumer Discretionary | 9,180,453 | 9,180,453 | — | — | ||||
Consumer Staples | 2,246,973 | 2,246,973 | — | — | ||||
Energy | 2,728,380 | 2,728,380 | — | — | ||||
Financials | 11,317,154 | 11,317,154 | — | — | ||||
Health Care | 7,610,525 | 7,610,525 | — | — | ||||
Industrials | 11,381,391 | 11,381,391 | — | — | ||||
Information Technology | 8,537,690 | 8,537,690 | — | — | ||||
Materials | 3,753,936 | 3,753,936 | — | — | ||||
Real Estate | 6,065,685 | 6,065,685 | — | — | ||||
Utilities | 2,125,174 | 2,125,174 | — | — | ||||
Money Market Funds | 795,425 | 795,425 | — | — | ||||
Total Investments in Securities: | $ 68,171,200 | $ 68,171,200 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (7,600) | $ (7,600) | $ — | $ — | ||||
Total Liabilities | $ (7,600) | $ (7,600) | $ — | $ — | ||||
Total Derivative Instruments: | $ (7,600) | $ (7,600) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(7,600) | |
Total Equity Risk | 0 | (7,600) | |
Total Value of Derivatives | $0 | $(7,600) |
(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). |
Semi-Annual Report | 42 |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 6.1% | ||
Diversified Telecommunication Services – 1.1% | ||
Lumen Technologies, Inc. | 134,513 | $ 1,662,581 |
Entertainment – 0.2% | ||
Activision Blizzard, Inc. | 4,686 | 370,241 |
Interactive Media & Services – 3.2% | ||
Alphabet, Inc. Class A (a) | 1,121 | 3,033,504 |
Facebook, Inc. Class A (a) | 4,911 | 1,538,420 |
j2 Global, Inc. (a) | 3,265 | 343,021 |
4,914,945 | ||
Media – 1.6% | ||
Comcast Corp. Class A | 12,569 | 628,324 |
Discovery, Inc. Class A (a) | 9,936 | 277,314 |
Fox Corp. Class A | 7,974 | 323,824 |
Loyalty Ventures, Inc. (a) | 1,972 | 57,799 |
Nexstar Media Group, Inc. Class A | 1,828 | 302,315 |
Omnicom Group, Inc. | 4,023 | 303,173 |
The Interpublic Group of Cos., Inc. | 7,998 | 284,249 |
ViacomCBS, Inc. Class B | 7,504 | 251,009 |
2,428,007 | ||
TOTAL COMMUNICATION SERVICES | 9,375,774 | |
CONSUMER DISCRETIONARY – 6.5% | ||
Automobiles – 0.8% | ||
Ford Motor Co. | 63,440 | 1,287,832 |
Hotels, Restaurants & Leisure – 1.1% | ||
Boyd Gaming Corp. (a) | 13,250 | 787,845 |
Starbucks Corp. | 8,726 | 857,940 |
1,645,785 | ||
Household Durables – 0.9% | ||
Mohawk Industries, Inc. (a) | 3,949 | 623,429 |
PulteGroup, Inc. | 14,887 | 784,396 |
1,407,825 | ||
Multiline Retail – 1.9% | ||
Kohl's Corp. | 15,077 | 900,248 |
Macy's, Inc. | 44,359 | 1,135,590 |
Target Corp. | 3,895 | 858,575 |
2,894,413 | ||
Specialty Retail – 1.4% | ||
Bath & Body Works, Inc. | 12,770 | 716,014 |
Dick's Sporting Goods, Inc. | 7,213 | 832,380 |
Foot Locker, Inc. | 14,205 | 634,680 |
2,183,074 | ||
Textiles, Apparel & Luxury Goods – 0.4% | ||
Crocs, Inc. (a) | 5,515 | 565,949 |
TOTAL CONSUMER DISCRETIONARY | 9,984,878 |
| ||
Shares | Value | |
CONSUMER STAPLES – 11.1% | ||
Beverages – 2.4% | ||
The Coca-Cola Co. | 59,784 | $ 3,647,422 |
Food Products – 4.6% | ||
Bunge Ltd. | 35,663 | 3,525,644 |
Tyson Foods, Inc. Class A | 38,595 | 3,507,900 |
7,033,544 | ||
Tobacco – 4.1% | ||
Altria Group, Inc. | 61,903 | 3,149,624 |
Philip Morris International, Inc. | 31,722 | 3,262,608 |
6,412,232 | ||
TOTAL CONSUMER STAPLES | 17,093,198 | |
ENERGY – 10.7% | ||
Oil, Gas & Consumable Fuels – 10.7% | ||
EOG Resources, Inc. | 75,769 | 8,446,728 |
Ovintiv, Inc. | 205,971 | 7,991,675 |
TOTAL ENERGY | 16,438,403 | |
FINANCIALS – 5.4% | ||
Banks – 1.5% | ||
First Horizon Corp. | 43,866 | 750,547 |
Popular, Inc. | 9,188 | 819,294 |
Western Alliance Bancorp | 7,049 | 699,191 |
2,269,032 | ||
Capital Markets – 1.0% | ||
Evercore, Inc. Class A | 5,153 | 643,197 |
Goldman Sachs Group, Inc. | 2,367 | 839,528 |
1,482,725 | ||
Consumer Finance – 1.7% | ||
Capital One Financial Corp. | 4,985 | 731,449 |
Discover Financial Services | 5,800 | 671,350 |
OneMain Holdings, Inc. | 11,626 | 600,599 |
Synchrony Financial | 14,819 | 631,141 |
2,634,539 | ||
Diversified Financial Services – 1.2% | ||
Berkshire Hathaway, Inc. Class B (a) | 5,912 | 1,850,574 |
TOTAL FINANCIALS | 8,236,870 | |
HEALTH CARE – 16.1% | ||
Biotechnology – 1.6% | ||
Moderna, Inc. (a) | 4,929 | 834,628 |
United Therapeutics Corp. (a) | 8,036 | 1,622,227 |
2,456,855 | ||
Health Care Providers & Services – 7.0% | ||
Anthem, Inc. | 5,123 | 2,259,192 |
HCA Healthcare, Inc. | 7,383 | 1,772,289 |
Laboratory Corp. of America Holdings (a) | 5,746 | 1,559,234 |
Tenet Healthcare Corp. (a) | 23,740 | 1,759,609 |
43 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
UnitedHealth Group, Inc. | 7,119 | $ 3,364,226 |
10,714,550 | ||
Life Sciences Tools & Services – 1.7% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 2,193 | 1,315,208 |
Waters Corp. (a) | 4,279 | 1,369,793 |
2,685,001 | ||
Pharmaceuticals – 5.8% | ||
Bristol-Myers Squibb Co. | 31,194 | 2,024,179 |
Eli Lilly & Co. | 8,811 | 2,162,131 |
Jazz Pharmaceuticals PLC (a) | 11,103 | 1,542,318 |
Johnson & Johnson | 18,201 | 3,135,850 |
8,864,478 | ||
TOTAL HEALTH CARE | 24,720,884 | |
INDUSTRIALS – 4.7% | ||
Building Products – 0.3% | ||
Owens Corning | 4,660 | 413,342 |
Construction & Engineering – 0.2% | ||
MasTec, Inc. (a) | 4,436 | 382,073 |
Electrical Equipment – 0.3% | ||
Emerson Electric Co. | 4,989 | 458,738 |
Machinery – 1.0% | ||
Caterpillar, Inc. | 2,737 | 551,670 |
Deere & Co. | 1,557 | 586,055 |
Snap-on, Inc. | 2,001 | 416,708 |
1,554,433 | ||
Road & Rail – 2.6% | ||
Avis Budget Group, Inc. (a) | 5,330 | 939,039 |
Union Pacific Corp. | 12,583 | 3,077,173 |
4,016,212 | ||
Trading Companies & Distributors – 0.3% | ||
United Rentals, Inc. (a) | 1,414 | 452,650 |
TOTAL INDUSTRIALS | 7,277,448 | |
INFORMATION TECHNOLOGY – 22.4% | ||
Communications Equipment – 0.7% | ||
Cisco Systems, Inc. | 19,738 | 1,098,815 |
IT Services – 5.0% | ||
Accenture PLC Class A | 3,166 | 1,119,434 |
Alliance Data Systems Corp. | 5,015 | 346,236 |
Amdocs Ltd. | 6,260 | 475,071 |
Automatic Data Processing, Inc. | 3,288 | 677,887 |
DXC Technology Co. (a) | 12,289 | 369,653 |
Gartner, Inc. (a) | 1,763 | 518,128 |
International Business Machines Corp. | 5,626 | 751,465 |
Kyndryl Holdings, Inc. (a) | 1,119 | 18,889 |
Mastercard, Inc. Class A | 3,629 | 1,402,173 |
| ||
Shares | Value | |
Paychex, Inc. | 4,790 | $ 564,070 |
Visa, Inc. Class A | 6,553 | 1,482,092 |
7,725,098 | ||
Semiconductors & Semiconductor Equipment – 4.5% | ||
Applied Materials, Inc. | 5,697 | 787,211 |
Broadcom, Inc. | 2,053 | 1,202,812 |
Intel Corp. | 19,540 | 953,943 |
KLA Corp. | 1,694 | 659,423 |
Lam Research Corp. | 1,092 | 644,193 |
Micron Technology, Inc. | 8,623 | 709,414 |
QUALCOMM, Inc. | 6,178 | 1,085,845 |
Texas Instruments, Inc. | 4,887 | 877,168 |
6,920,009 | ||
Software – 5.7% | ||
Consensus Cloud Solutions, Inc. (a) | 1,081 | 61,293 |
Fortinet, Inc. (a) | 1,872 | 556,433 |
Microsoft Corp. | 22,391 | 6,963,153 |
Oracle Corp. | 10,066 | 816,957 |
Teradata Corp. (a) | 9,169 | 369,877 |
8,767,713 | ||
Technology Hardware, Storage & Peripherals – 6.5% | ||
Apple, Inc. | 46,448 | 8,118,182 |
HP, Inc. | 18,717 | 687,475 |
NetApp, Inc. | 6,143 | 531,431 |
Seagate Technology Holdings PLC | 5,500 | 589,325 |
9,926,413 | ||
TOTAL INFORMATION TECHNOLOGY | 34,438,048 | |
MATERIALS – 8.0% | ||
Chemicals – 2.6% | ||
Olin Corp. | 78,325 | 3,968,727 |
Metals & Mining – 2.6% | ||
Freeport-McMoRan, Inc. | 105,195 | 3,915,358 |
Paper & Forest Products – 2.8% | ||
Louisiana-Pacific Corp. | 65,202 | 4,332,021 |
TOTAL MATERIALS | 12,216,106 | |
REAL ESTATE – 5.6% | ||
Equity Real Estate Investment Trusts (REITs) – 3.8% | ||
Simon Property Group, Inc. | 19,540 | 2,876,288 |
Weyerhaeuser Co. | 74,216 | 3,000,553 |
5,876,841 | ||
Real Estate Management & Development – 1.8% | ||
CBRE Group, Inc. Class A (a) | 26,305 | 2,665,749 |
TOTAL REAL ESTATE | 8,542,590 | |
UTILITIES – 3.3% | ||
Electric Utilities – 1.7% | ||
NRG Energy, Inc. | 65,849 | 2,629,350 |
Semi-Annual Report | 44 |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Multi-Utilities – 1.6% | ||
MDU Resources Group, Inc. | 85,494 | $ 2,510,959 |
TOTAL UTILITIES | 5,140,309 | |
TOTAL COMMON STOCKS (Cost $149,666,175) | 153,464,508 | |
Money Market Fund – 0.1% | ||
Fidelity Cash Central Fund, 0.08% (b) (Cost $106,924) | 106,902 | 106,924 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $149,773,099) | 153,571,432 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 40,753 | |
NET ASSETS – 100.0% | $ 153,612,185 |
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 are available on the SEC's website or upon request. |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $— | $1,666,623 | $1,559,699 | $24 | $— | $— | $106,924 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 9,375,774 | $ 9,375,774 | $ — | $ — | ||||
Consumer Discretionary | 9,984,878 | 9,984,878 | — | — | ||||
Consumer Staples | 17,093,198 | 17,093,198 | — | — | ||||
Energy | 16,438,403 | 16,438,403 | — | — | ||||
Financials | 8,236,870 | 8,236,870 | — | — | ||||
Health Care | 24,720,884 | 24,720,884 | — | — | ||||
Industrials | 7,277,448 | 7,277,448 | — | — | ||||
Information Technology | 34,438,048 | 34,438,048 | — | — | ||||
Materials | 12,216,106 | 12,216,106 | — | — | ||||
Real Estate | 8,542,590 | 8,542,590 | — | — | ||||
Utilities | 5,140,309 | 5,140,309 | — | — | ||||
Money Market Fund | 106,924 | 106,924 | — | — | ||||
Total Investments in Securities: | $ 153,571,432 | $ 153,571,432 | $ — | $ — |
45 | Semi-Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.3% | ||
Diversified Telecommunication Services – 0.7% | ||
AT&T, Inc. | 4,686 | $ 119,493 |
Entertainment – 0.4% | ||
Activision Blizzard, Inc. | 971 | 76,718 |
Interactive Media & Services – 6.3% | ||
Alphabet, Inc. Class A (a) | 249 | 673,812 |
Facebook, Inc. Class A (a) | 1,085 | 339,887 |
j2 Global, Inc. (a) | 470 | 49,378 |
1,063,077 | ||
Media – 2.9% | ||
Comcast Corp. Class A | 2,711 | 135,523 |
Discovery, Inc. Class C (a) | 2,127 | 58,173 |
Fox Corp. Class A | 1,616 | 65,626 |
Nexstar Media Group, Inc. Class A | 366 | 60,529 |
Omnicom Group, Inc. | 809 | 60,966 |
The Interpublic Group of Cos., Inc. | 1,616 | 57,433 |
ViacomCBS, Inc. Class B | 1,524 | 50,978 |
489,228 | ||
TOTAL COMMUNICATION SERVICES | 1,748,516 | |
CONSUMER DISCRETIONARY – 12.1% | ||
Automobiles – 1.4% | ||
Ford Motor Co. | 11,532 | 234,099 |
Diversified Consumer Services – 0.8% | ||
Service Corp. International | 2,200 | 135,784 |
Hotels, Restaurants & Leisure – 2.9% | ||
Domino's Pizza, Inc. | 270 | 122,756 |
McDonald's Corp. | 870 | 225,721 |
Yum! Brands, Inc. | 1,140 | 142,694 |
491,171 | ||
Household Durables – 1.6% | ||
Lennar Corp. Class A | 1,407 | 135,227 |
PulteGroup, Inc. | 2,679 | 141,156 |
276,383 | ||
Multiline Retail – 0.9% | ||
Target Corp. | 720 | 158,710 |
Specialty Retail – 4.5% | ||
AutoZone, Inc. (a) | 92 | 182,744 |
Foot Locker, Inc. | 2,563 | 114,515 |
O'Reilly Automotive, Inc. (a) | 253 | 164,893 |
The Home Depot, Inc. | 827 | 303,492 |
765,644 | ||
TOTAL CONSUMER DISCRETIONARY | 2,061,791 | |
CONSUMER STAPLES – 5.6% | ||
Household Products – 3.8% | ||
Colgate-Palmolive Co. | 1,618 | 133,404 |
Kimberly-Clark Corp. | 886 | 121,958 |
| ||
Shares | Value | |
The Clorox Co. | 670 | $ 112,466 |
The Procter & Gamble Co. | 1,666 | 267,310 |
635,138 | ||
Tobacco – 1.8% | ||
Altria Group, Inc. | 2,856 | 145,313 |
Philip Morris International, Inc. | 1,622 | 166,823 |
312,136 | ||
TOTAL CONSUMER STAPLES | 947,274 | |
ENERGY – 3.1% | ||
Oil, Gas & Consumable Fuels – 3.1% | ||
EOG Resources, Inc. | 2,836 | 316,157 |
Kinder Morgan, Inc. | 11,654 | 202,314 |
TOTAL ENERGY | 518,471 | |
FINANCIALS – 10.9% | ||
Banks – 2.1% | ||
First Horizon Corp. | 10,148 | 173,632 |
Popular, Inc. | 2,145 | 191,270 |
364,902 | ||
Capital Markets – 2.0% | ||
MSCI, Inc. | 281 | 150,650 |
S&P Global, Inc. | 447 | 185,603 |
336,253 | ||
Consumer Finance – 2.8% | ||
Capital One Financial Corp. | 1,139 | 167,125 |
Discover Financial Services | 1,344 | 155,568 |
Synchrony Financial | 3,440 | 146,510 |
469,203 | ||
Insurance – 3.1% | ||
Aflac, Inc. | 3,044 | 191,224 |
American Financial Group, Inc. | 1,204 | 156,857 |
The Travelers Cos., Inc. | 1,134 | 188,448 |
536,529 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.9% | ||
AGNC Investment Corp. | 10,022 | 149,228 |
TOTAL FINANCIALS | 1,856,115 | |
HEALTH CARE – 12.5% | ||
Biotechnology – 3.9% | ||
Amgen, Inc. | 718 | 163,087 |
Biogen, Inc. (a) | 403 | 91,078 |
Gilead Sciences, Inc. | 2,175 | 149,379 |
Regeneron Pharmaceuticals, Inc. (a) | 233 | 141,801 |
United Therapeutics Corp. (a) | 580 | 117,085 |
662,430 | ||
Health Care Providers & Services – 1.4% | ||
HCA Healthcare, Inc. | 568 | 136,348 |
Universal Health Services, Inc. Class B | 792 | 103,008 |
239,356 |
Semi-Annual Report | 46 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Life Sciences Tools & Services – 0.6% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 160 | $ 95,957 |
Pharmaceuticals – 6.6% | ||
Bristol-Myers Squibb Co. | 2,582 | 167,546 |
Eli Lilly & Co. | 749 | 183,797 |
Johnson & Johnson | 1,694 | 291,859 |
Merck & Co., Inc. | 2,527 | 205,900 |
Organon & Co. | 4,025 | 128,438 |
Zoetis, Inc. | 751 | 150,042 |
1,127,582 | ||
TOTAL HEALTH CARE | 2,125,325 | |
INDUSTRIALS – 8.8% | ||
Air Freight & Logistics – 0.9% | ||
Expeditors International of Washington, Inc. | 1,307 | 149,625 |
Building Products – 1.8% | ||
AO Smith Corp. | 2,199 | 168,048 |
Owens Corning | 1,644 | 145,823 |
313,871 | ||
Construction & Engineering – 1.8% | ||
MasTec, Inc. (a) | 1,553 | 133,760 |
Quanta Services, Inc. | 1,722 | 176,884 |
310,644 | ||
Machinery – 1.8% | ||
Cummins, Inc. | 728 | 160,801 |
Snap-on, Inc. | 710 | 147,857 |
308,658 | ||
Road & Rail – 2.5% | ||
Old Dominion Freight Line, Inc. | 599 | 180,856 |
Union Pacific Corp. | 964 | 235,746 |
416,602 | ||
TOTAL INDUSTRIALS | 1,499,400 | |
INFORMATION TECHNOLOGY – 27.8% | ||
IT Services – 7.6% | ||
Accenture PLC Class A | 451 | 159,464 |
Akamai Technologies, Inc. (a) | 637 | 72,968 |
Amdocs Ltd. | 902 | 68,453 |
Automatic Data Processing, Inc. | 470 | 96,900 |
Cognizant Technology Solutions Corp. Class A | 1,101 | 94,047 |
Mastercard, Inc. Class A | 520 | 200,918 |
Maximus, Inc. | 802 | 62,011 |
Paychex, Inc. | 689 | 81,137 |
PayPal Holdings, Inc. (a) | 689 | 118,467 |
The Western Union Co. | 3,073 | 58,110 |
VeriSign, Inc. (a) | 344 | 74,710 |
| ||
Shares | Value | |
Visa, Inc. Class A | 932 | $ 210,790 |
1,297,975 | ||
Semiconductors & Semiconductor Equipment – 3.7% | ||
Applied Materials, Inc. | 813 | 112,340 |
Intel Corp. | 2,804 | 136,891 |
KLA Corp. | 244 | 94,982 |
Lam Research Corp. | 156 | 92,028 |
Skyworks Solutions, Inc. | 411 | 60,220 |
Texas Instruments, Inc. | 698 | 125,284 |
621,745 | ||
Software – 8.6% | ||
Adobe, Inc. (a) | 291 | 155,481 |
Consensus Cloud Solutions, Inc. (a) | 156 | 8,845 |
Dolby Laboratories, Inc. Class A | 689 | 60,529 |
Fortinet, Inc. (a) | 270 | 80,255 |
Microsoft Corp. | 3,171 | 986,117 |
Oracle Corp. | 1,440 | 116,870 |
VMware, Inc. Class A | 443 | 56,917 |
1,465,014 | ||
Technology Hardware, Storage & Peripherals – 7.9% | ||
Apple, Inc. | 6,583 | 1,150,577 |
HP, Inc. | 2,691 | 98,841 |
Seagate Technology Holdings PLC | 796 | 85,291 |
1,334,709 | ||
TOTAL INFORMATION TECHNOLOGY | 4,719,443 | |
MATERIALS – 2.8% | ||
Construction Materials – 0.9% | ||
Eagle Materials, Inc. | 981 | 143,079 |
Metals & Mining – 0.9% | ||
Newmont Corp. | 2,594 | 158,675 |
Paper & Forest Products – 1.0% | ||
Louisiana-Pacific Corp. | 2,557 | 169,887 |
TOTAL MATERIALS | 471,641 | |
REAL ESTATE – 3.6% | ||
Equity Real Estate Investment Trusts (REITs) – 3.6% | ||
Extra Space Storage, Inc. | 1,008 | 199,776 |
Medical Properties Trust, Inc. | 8,421 | 191,662 |
Public Storage | 604 | 216,552 |
TOTAL REAL ESTATE | 607,990 | |
UTILITIES – 2.3% | ||
Multi-Utilities – 2.3% | ||
MDU Resources Group, Inc. | 6,087 | 178,775 |
47 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Multi-Utilities – continued | ||
Public Service Enterprise Group, Inc. | 3,215 | $ 213,894 |
TOTAL UTILITIES | 392,669 | |
TOTAL COMMON STOCKS (Cost $15,706,299) | 16,948,635 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $15,706,299) | 16,948,635 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 31,963 | |
NET ASSETS – 100.0% | $ 16,980,598 |
Legend | ||
(a) | Non-income producing. |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $7,306 | $52,877 | $60,183 | $2 | $— | $— | $— | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 1,748,516 | $ 1,748,516 | $ — | $ — | ||||
Consumer Discretionary | 2,061,791 | 2,061,791 | — | — | ||||
Consumer Staples | 947,274 | 947,274 | — | — | ||||
Energy | 518,471 | 518,471 | — | — | ||||
Financials | 1,856,115 | 1,856,115 | — | — | ||||
Health Care | 2,125,325 | 2,125,325 | — | — | ||||
Industrials | 1,499,400 | 1,499,400 | — | — | ||||
Information Technology | 4,719,443 | 4,719,443 | — | — | ||||
Materials | 471,641 | 471,641 | — | — | ||||
Real Estate | 607,990 | 607,990 | — | — | ||||
Utilities | 392,669 | 392,669 | — | — | ||||
Total Investments in Securities: | $ 16,948,635 | $ 16,948,635 | $ — | $ — |
Semi-Annual Report | 48 |
Common Stocks – 99.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 9.9% | ||
Diversified Telecommunication Services – 1.6% | ||
AT&T, Inc. | 148,310 | $3,781,905 |
Verizon Communications, Inc. | 80,890 | 4,305,775 |
8,087,680 | ||
Interactive Media & Services – 6.1% | ||
Alphabet, Inc. Class A (a) | 7,254 | 19,629,832 |
Facebook, Inc. Class A (a) | 32,071 | 10,046,561 |
29,676,393 | ||
Media – 2.2% | ||
Comcast Corp. Class A | 84,054 | 4,201,859 |
Discovery, Inc. Class A (a) | 70,539 | 1,968,744 |
Fox Corp. Class A | 56,606 | 2,298,770 |
Loyalty Ventures, Inc. (a) | 15,603 | 457,324 |
ViacomCBS, Inc. Class B | 52,894 | 1,769,304 |
10,696,001 | ||
TOTAL COMMUNICATION SERVICES | 48,460,074 | |
CONSUMER DISCRETIONARY – 11.3% | ||
Automobiles – 1.8% | ||
Ford Motor Co. | 256,169 | 5,200,231 |
General Motors Co. (a) | 67,735 | 3,571,666 |
8,771,897 | ||
Diversified Consumer Services – 0.6% | ||
H&R Block, Inc. | 117,947 | 2,696,269 |
Hotels, Restaurants & Leisure – 1.8% | ||
McDonald's Corp. | 20,649 | 5,357,383 |
Starbucks Corp. | 37,635 | 3,700,273 |
9,057,656 | ||
Household Durables – 2.4% | ||
Lennar Corp. Class A | 30,821 | 2,962,206 |
PulteGroup, Inc. | 57,363 | 3,022,457 |
Toll Brothers, Inc. | 51,128 | 3,015,018 |
Whirlpool Corp. | 13,807 | 2,902,093 |
11,901,774 | ||
Internet & Direct Marketing Retail – 3.5% | ||
Amazon.com, Inc. (a) | 5,650 | 16,901,806 |
Multiline Retail – 0.7% | ||
Kohl's Corp. | 58,054 | 3,466,404 |
Specialty Retail – 0.5% | ||
Foot Locker, Inc. | 54,616 | 2,440,243 |
TOTAL CONSUMER DISCRETIONARY | 55,236,049 | |
CONSUMER STAPLES – 5.7% | ||
Food & Staples Retailing – 1.6% | ||
The Kroger Co. | 47,517 | 2,071,266 |
Walgreens Boots Alliance, Inc. | 42,866 | 2,133,012 |
Walmart, Inc. | 26,590 | 3,717,548 |
7,921,826 |
| ||
Shares | Value | |
Food Products – 1.0% | ||
Archer-Daniels-Midland Co. | 34,054 | $2,554,050 |
Tyson Foods, Inc. Class A | 26,602 | 2,417,856 |
4,971,906 | ||
Household Products – 1.8% | ||
Kimberly-Clark Corp. | 16,024 | 2,205,703 |
The Procter & Gamble Co. | 38,855 | 6,234,285 |
8,439,988 | ||
Tobacco – 1.3% | ||
Altria Group, Inc. | 55,220 | 2,809,593 |
Philip Morris International, Inc. | 33,849 | 3,481,370 |
6,290,963 | ||
TOTAL CONSUMER STAPLES | 27,624,683 | |
ENERGY – 3.3% | ||
Oil, Gas & Consumable Fuels – 3.3% | ||
Chevron Corp. | 29,445 | 3,867,012 |
ConocoPhillips | 29,257 | 2,592,755 |
EOG Resources, Inc. | 17,729 | 1,976,429 |
Exxon Mobil Corp. | 61,203 | 4,648,980 |
Marathon Oil Corp. | 76,055 | 1,480,791 |
Occidental Petroleum Corp. | 39,658 | 1,493,917 |
TOTAL ENERGY | 16,059,884 | |
FINANCIALS – 10.2% | ||
Banks – 2.1% | ||
Citigroup, Inc. | 66,469 | 4,328,462 |
Wells Fargo & Co. | 110,519 | 5,945,922 |
10,274,384 | ||
Capital Markets – 0.8% | ||
Goldman Sachs Group, Inc. | 11,655 | 4,133,795 |
Consumer Finance – 2.6% | ||
Ally Financial, Inc. | 63,206 | 3,016,190 |
Capital One Financial Corp. | 23,647 | 3,469,724 |
Discover Financial Services | 27,171 | 3,145,043 |
Synchrony Financial | 68,606 | 2,921,930 |
12,552,887 | ||
Diversified Financial Services – 2.0% | ||
Berkshire Hathaway, Inc. Class B (a) | 31,974 | 10,008,501 |
Insurance – 1.5% | ||
MetLife, Inc. | 59,655 | 4,000,464 |
The Allstate Corp. | 26,956 | 3,252,781 |
7,253,245 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.2% | ||
AGNC Investment Corp. | 195,982 | 2,918,172 |
Annaly Capital Management, Inc. | 375,284 | 2,964,744 |
5,882,916 | ||
TOTAL FINANCIALS | 50,105,728 |
49 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 13.7% | ||
Biotechnology – 3.0% | ||
AbbVie, Inc. | 46,696 | $ 6,392,216 |
Amgen, Inc. | 19,674 | 4,468,752 |
Gilead Sciences, Inc. | 58,782 | 4,037,148 |
14,898,116 | ||
Health Care Equipment & Supplies – 0.5% | ||
Quidel Corp. (a) | 21,965 | 2,270,302 |
Health Care Providers & Services – 3.9% | ||
Anthem, Inc. | 10,970 | 4,837,660 |
CVS Health Corp. | 53,464 | 5,694,451 |
UnitedHealth Group, Inc. | 18,095 | 8,551,154 |
19,083,265 | ||
Life Sciences Tools & Services – 0.5% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 4,296 | 2,576,440 |
Pharmaceuticals – 5.8% | ||
Bristol-Myers Squibb Co. | 70,316 | 4,562,806 |
Jazz Pharmaceuticals PLC (a) | 21,555 | 2,994,205 |
Johnson & Johnson | 47,307 | 8,150,523 |
Merck & Co., Inc. | 69,352 | 5,650,801 |
Pfizer, Inc. | 131,438 | 6,925,468 |
28,283,803 | ||
TOTAL HEALTH CARE | 67,111,926 | |
INDUSTRIALS – 8.7% | ||
Aerospace & Defense – 0.6% | ||
Lockheed Martin Corp. | 8,488 | 3,302,935 |
Air Freight & Logistics – 1.3% | ||
FedEx Corp. | 10,253 | 2,520,803 |
United Parcel Service, Inc. Class B | 18,982 | 3,838,350 |
6,359,153 | ||
Building Products – 0.4% | ||
Owens Corning (b) | 22,817 | 2,023,868 |
Industrial Conglomerates – 0.6% | ||
3M Co. | 16,976 | 2,818,356 |
Machinery – 3.3% | ||
Caterpillar, Inc. | 16,149 | 3,254,993 |
Cummins, Inc. | 10,718 | 2,367,392 |
Deere & Co. | 9,176 | 3,453,846 |
Oshkosh Corp. | 19,014 | 2,163,983 |
PACCAR, Inc. | 29,808 | 2,771,846 |
Snap-on, Inc. | 9,909 | 2,063,549 |
16,075,609 | ||
Professional Services – 0.4% | ||
ManpowerGroup, Inc. | 18,459 | 1,935,795 |
Road & Rail – 2.1% | ||
CSX Corp. | 89,997 | 3,079,697 |
Norfolk Southern Corp. | 10,958 | 2,980,467 |
| ||
Shares | Value | |
Union Pacific Corp. | 16,906 | $ 4,134,362 |
10,194,526 | ||
TOTAL INDUSTRIALS | 42,710,242 | |
INFORMATION TECHNOLOGY – 28.6% | ||
IT Services – 8.2% | ||
Accenture PLC Class A | 18,173 | 6,425,609 |
Alliance Data Systems Corp. | 39,016 | 2,693,665 |
Amdocs Ltd. | 48,063 | 3,647,501 |
Cognizant Technology Solutions Corp. Class A | 54,218 | 4,631,302 |
DXC Technology Co. (a) | 94,443 | 2,840,845 |
International Business Machines Corp. | 34,832 | 4,652,510 |
Kyndryl Holdings, Inc. (a)(b) | 6,967 | 117,603 |
Mastercard, Inc. Class A | 19,312 | 7,461,771 |
Visa, Inc. Class A | 33,684 | 7,618,310 |
40,089,116 | ||
Semiconductors & Semiconductor Equipment – 3.4% | ||
Intel Corp. | 110,989 | 5,418,483 |
Micron Technology, Inc. | 56,071 | 4,612,961 |
QUALCOMM, Inc. | 36,767 | 6,462,168 |
16,493,612 | ||
Software – 8.9% | ||
Microsoft Corp. | 96,491 | 30,006,771 |
Oracle Corp. | 59,977 | 4,867,733 |
Salesforce.com, Inc. (a) | 24,943 | 5,802,490 |
VMware, Inc. Class A | 23,264 | 2,988,959 |
43,665,953 | ||
Technology Hardware, Storage & Peripherals – 8.1% | ||
Apple, Inc. | 199,581 | 34,882,767 |
HP, Inc. | 134,788 | 4,950,764 |
39,833,531 | ||
TOTAL INFORMATION TECHNOLOGY | 140,082,212 | |
MATERIALS – 2.6% | ||
Chemicals – 0.8% | ||
Dow, Inc. | 24,260 | 1,449,050 |
LyondellBasell Industries N.V. Class A | 12,915 | 1,249,268 |
The Mosaic Co. | 35,467 | 1,416,906 |
4,115,224 | ||
Containers & Packaging – 0.4% | ||
International Paper Co. | 21,271 | 1,026,326 |
Westrock Co. | 22,995 | 1,061,449 |
2,087,775 | ||
Metals & Mining – 1.1% | ||
Freeport-McMoRan, Inc. | 43,459 | 1,617,544 |
Newmont Corp. | 24,804 | 1,517,261 |
Nucor Corp. | 12,905 | 1,308,567 |
United States Steel Corp. (b) | 41,355 | 856,875 |
5,300,247 |
Semi-Annual Report | 50 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Paper & Forest Products – 0.3% | ||
Louisiana-Pacific Corp. | 18,662 | $1,239,903 |
Sylvamo Corp. (a) | 1,936 | 57,674 |
1,297,577 | ||
TOTAL MATERIALS | 12,800,823 | |
REAL ESTATE – 3.1% | ||
Equity Real Estate Investment Trusts (REITs) – 2.7% | ||
Alexandria Real Estate Equities, Inc. | 4,808 | 936,791 |
American Tower Corp. | 7,469 | 1,878,453 |
Kilroy Realty Corp. | 11,402 | 729,728 |
Kimco Realty Corp. | 38,383 | 931,172 |
Medical Properties Trust, Inc. | 39,610 | 901,524 |
Omega Healthcare Investors, Inc. | 21,995 | 692,403 |
Prologis, Inc. | 13,471 | 2,112,522 |
Simon Property Group, Inc. | 8,727 | 1,284,614 |
SL Green Realty Corp. | 10,116 | 733,619 |
VICI Properties, Inc. | 28,140 | 805,367 |
Welltower, Inc. | 12,502 | 1,083,048 |
Weyerhaeuser Co. | 28,049 | 1,134,021 |
13,223,262 | ||
Real Estate Management & Development – 0.4% | ||
CBRE Group, Inc. Class A (a) | 10,657 | 1,079,980 |
Jones Lang LaSalle, Inc. (a) | 3,296 | 826,604 |
1,906,584 | ||
TOTAL REAL ESTATE | 15,129,846 | |
UTILITIES – 2.6% | ||
Electric Utilities – 1.6% | ||
Duke Energy Corp. | 20,054 | 2,106,873 |
Exelon Corp. | 36,870 | 2,136,616 |
NRG Energy, Inc. | 32,189 | 1,285,307 |
PG&E Corp. (a) | 165,807 | 2,120,672 |
7,649,468 |
| ||
Shares | Value | |
Multi-Utilities – 1.0% | ||
Consolidated Edison, Inc. | 20,244 | $ 1,750,094 |
Public Service Enterprise Group, Inc. | 24,998 | 1,663,117 |
Sempra Energy | 12,813 | 1,770,244 |
5,183,455 | ||
TOTAL UTILITIES | 12,832,923 | |
TOTAL COMMON STOCKS (Cost $430,361,413) | 488,154,390 | |
Money Market Funds – 0.8% | ||
Fidelity Cash Central Fund, 0.08% (c) | 976,687 | 976,883 |
Fidelity Securities Lending Cash Central Fund, 0.08% (c)(d) | 2,792,704 | 2,792,983 |
TOTAL MONEY MARKET FUNDS (Cost $3,769,866) | 3,769,866 | |
TOTAL INVESTMENT IN SECURITIES – 100.5% (Cost $434,131,279) | 491,924,256 | |
NET OTHER ASSETS (LIABILITIES) – (0.5%) | (2,291,496) | |
NET ASSETS – 100.0% | $ 489,632,760 |
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 are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Micro E-mini S&P 500 Index Future Contracts (United States) | 3 | March 2022 | $ 675,637 | $ (22,105) | $ (22,105) |
CME E-mini S&P 500 Index Future Contracts (United States) | 31 | March 2022 | 698,159 | (13,379) | (13,379) |
Total Equity Index Contracts | $ (35,484) |
51 | Semi-Annual Report |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.08% | $ 647,052 | $ 6,091,064 | $ 5,761,233 | $ 320 | $— | $— | $ 976,883 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 0.08% | 3,639,908 | 36,960,206 | 37,807,131 | 18,133 | — | — | $2,792,983 | 0.0% | ||||||
Total | $4,286,960 | $43,051,270 | $43,568,364 | $18,453 | $— | $— | $3,769,866 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 48,460,074 | $ 48,460,074 | $ — | $ — | ||||
Consumer Discretionary | 55,236,049 | 55,236,049 | — | — | ||||
Consumer Staples | 27,624,683 | 27,624,683 | — | — | ||||
Energy | 16,059,884 | 16,059,884 | — | — | ||||
Financials | 50,105,728 | 50,105,728 | — | — | ||||
Health Care | 67,111,926 | 67,111,926 | — | — | ||||
Industrials | 42,710,242 | 42,710,242 | — | — | ||||
Information Technology | 140,082,212 | 140,082,212 | — | — | ||||
Materials | 12,800,823 | 12,800,823 | — | — | ||||
Real Estate | 15,129,846 | 15,129,846 | — | — | ||||
Utilities | 12,832,923 | 12,832,923 | — | — | ||||
Money Market Funds | 3,769,866 | 3,769,866 | — | — | ||||
Total Investments in Securities: | $ 491,924,256 | $ 491,924,256 | $ — | $ — |
Derivative Instruments: | ||||||||
Liabilities | ||||||||
Futures Contracts | $ (35,484) | $ (35,484) | $ — | $ — | ||||
Total Liabilities | $ (35,484) | $ (35,484) | $ — | $ — | ||||
Total Derivative Instruments: | $ (35,484) | $ (35,484) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(35,484) | |
Total Equity Risk | 0 | (35,484) | |
Total Value of Derivatives | $0 | $(35,484) |
(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). |
Semi-Annual Report | 52 |
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 $7,043,872, $18,064,233, $5,193,114 and $1,163,436, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $596,893,144 | $1,083,907,388 | $468,284,873 | $117,138,132 | |||
Fidelity Central Funds | 9,036,863 | 19,990,887 | 5,836,686 | 1,317,689 | |||
Total Investments in Securities | $605,930,007 | $1,103,898,275 | $474,121,559 | $118,455,821 | |||
Segregated cash with brokers for derivative instruments | 162,000 | 237,600 | 44,280 | 11,880 | |||
Cash | — | — | 21,628 | 25,218 | |||
Foreign currency held at value (cost $562,313, $1,240,329, $— and $—, respectively) | 548,694 | 1,206,577 | — | — | |||
Receivable for investments sold | — | — | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 808,897 | 2,175,793 | 439,670 | 55,172 | |||
Receivable for daily variation margin on futures contracts | 40,976 | 49,551 | 16,605 | 4,455 | |||
Distributions receivable from Fidelity Central Funds | 3,211 | 5,007 | 343 | 178 | |||
Total assets | 607,493,785 | 1,107,572,803 | 474,644,085 | 118,552,724 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | — | — | |||
Payable for fund shares redeemed | — | — | — | — | |||
Accrued management fees | 139,158 | 256,350 | 113,251 | 29,559 | |||
Collateral on securities loaned, at value | 7,125,000 | 18,463,150 | 5,216,163 | 1,127,580 | |||
Total liabilities | 7,264,158 | 18,719,500 | 5,329,414 | 1,157,139 | |||
Net Assets | $600,229,627 | $1,088,853,303 | $469,314,671 | $117,395,585 | |||
Net Assets consist of: | |||||||
Paid in capital | $513,759,723 | $ 911,736,584 | $409,383,483 | $104,091,680 | |||
Total accumulated earnings (loss) | 86,469,904 | 177,116,719 | 59,931,188 | 13,303,905 | |||
Net Assets | $600,229,627 | $1,088,853,303 | $469,314,671 | $117,395,585 | |||
Shares outstanding | 13,450,000 | 26,950,000 | 9,550,000 | 2,350,000 | |||
Net Asset Value per share | $ 44.63 | $ 40.40 | $ 49.14 | $ 49.96 | |||
Investments at cost – Unaffiliated issuers | $483,909,346 | $ 925,115,206 | $422,945,323 | $109,941,082 | |||
Investments at cost – Fidelity Central Funds | 9,036,863 | 19,990,887 | 5,836,686 | 1,317,689 | |||
Investments at cost | $492,946,209 | $ 945,106,093 | $428,782,009 | $111,258,771 |
Semi-Annual Report | 54 |
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 $1,154,748, $699,617, $— and $—, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $259,881,423 | $67,375,775 | $153,464,508 | $16,948,635 | |||
Fidelity Central Funds | 1,596,683 | 795,425 | 106,924 | — | |||
Total Investments in Securities | $261,478,106 | $68,171,200 | $153,571,432 | $16,948,635 | |||
Segregated cash with brokers for derivative instruments | 30,240 | 5,500 | — | — | |||
Cash | 47,737 | 11,338 | — | 20,952 | |||
Foreign currency held at value (cost $—, $188, $— and $—, respectively) | — | 190 | — | — | |||
Receivable for investments sold | 5,178,890 | 216,239 | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 267,679 | 24,243 | 74,942 | 14,832 | |||
Receivable for daily variation margin on futures contracts | 11,340 | 2,940 | — | — | |||
Distributions receivable from Fidelity Central Funds | 871 | 146 | 8 | — | |||
Total assets | 267,014,863 | 68,431,796 | 153,646,382 | 16,984,419 | |||
Liabilities | |||||||
Payable for investments purchased | — | 223,296 | — | — | |||
Payable for fund shares redeemed | 5,218,429 | — | — | — | |||
Accrued management fees | 62,891 | 16,520 | 34,197 | 3,821 | |||
Collateral on securities loaned, at value | 1,171,907 | 704,275 | — | — | |||
Total liabilities | 6,453,227 | 944,091 | 34,197 | 3,821 | |||
Net Assets | $260,561,636 | $67,487,705 | $153,612,185 | $16,980,598 | |||
Net Assets consist of: | |||||||
Paid in capital | $216,549,699 | $62,428,402 | $147,334,854 | $15,508,008 | |||
Total accumulated earnings (loss) | 44,011,937 | 5,059,303 | 6,277,331 | 1,472,590 | |||
Net Assets | $260,561,636 | $67,487,705 | $153,612,185 | $16,980,598 | |||
Shares outstanding | 4,950,000 | 2,000,000 | 4,650,000 | 650,000 | |||
Net Asset Value per share | $ 52.64 | $ 33.74 | $ 33.03 | $ 26.12 | |||
Investments at cost – Unaffiliated issuers | $227,163,410 | $66,438,263 | $149,666,175 | $15,706,299 | |||
Investments at cost – Fidelity Central Funds | 1,596,683 | 795,425 | 106,924 | — | |||
Investments at cost | $228,760,093 | $67,233,688 | $149,773,099 | $15,706,299 |
55 | Semi-Annual Report |
Fidelity Value Factor ETF | |
Assets | |
Investments in securities, at value (including securities loaned of $2,801,616) – See accompanying schedule: | |
Unaffiliated issuers | $488,154,390 |
Fidelity Central Funds | 3,769,866 |
Total Investments in Securities | $491,924,256 |
Segregated cash with brokers for derivative instruments | 65,880 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for investments sold | — |
Receivable for fund shares sold | 5,100,321 |
Dividends receivable | 488,307 |
Receivable for daily variation margin on futures contracts | 24,705 |
Distributions receivable from Fidelity Central Funds | 226 |
Total assets | 497,603,695 |
Liabilities | |
Payable for investments purchased | 5,065,538 |
Payable for fund shares redeemed | — |
Accrued management fees | 112,414 |
Collateral on securities loaned, at value | 2,792,983 |
Total liabilities | 7,970,935 |
Net Assets | $489,632,760 |
Net Assets consist of: | |
Paid in capital | $409,859,050 |
Total accumulated earnings (loss) | 79,773,710 |
Net Assets | $489,632,760 |
Shares outstanding | 9,600,000 |
Net Asset Value per share | $ 51.00 |
Investments at cost – Unaffiliated issuers | $430,361,413 |
Investments at cost – Fidelity Central Funds | 3,769,866 |
Investments at cost | $434,131,279 |
Semi-Annual Report | 56 |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 6,761,191 | $ 18,199,022 | $ 3,833,649 | $ 694,341 | |||
Non-Cash dividends | — | — | — | — | |||
Interest | 55 | 121 | 23 | 4 | |||
Income from Fidelity Central Funds (including $11,621, $17,223, $723 and $505, from security lending, respectively) | 12,033 | 17,819 | 961 | 564 | |||
Total income | 6,773,279 | 18,216,962 | 3,834,633 | 694,909 | |||
Expenses | |||||||
Management fees | 758,624 | 1,513,502 | 725,265 | 182,196 | |||
Independent trustees' fees and expenses | 878 | 1,794 | 876 | 232 | |||
Total expenses before reductions | 759,502 | 1,515,296 | 726,141 | 182,428 | |||
Expense reductions | (2) | (3) | (5) | (8) | |||
Total expenses | 759,500 | 1,515,293 | 726,136 | 182,420 | |||
Net investment income (loss) | 6,013,779 | 16,701,669 | 3,108,497 | 512,489 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 252,464 | 1,257,416 | (1,152,420) | (3,311,152) | |||
Net realized gain (loss) on In-kind redemptions | — | 50,171,970 | 41,132,200 | 22,117,243 | |||
Net realized gain (loss) on futures contracts | 118,862 | 314,680 | 72,615 | 33,533 | |||
Net realized gain (loss) on foreign currency transactions | (8,387) | (45,274) | — | — | |||
Total net realized gain (loss) | 362,939 | 51,698,792 | 40,052,395 | 18,839,624 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 23,509,487 | 2,908,097 | (33,002,897) | (18,060,951) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (116,277) | (259,136) | (50,459) | (25,210) | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (14,223) | (43,992) | — | — | |||
Total change in net unrealized appreciation (depreciation) | 23,378,987 | 2,604,969 | (33,053,356) | (18,086,161) | |||
Net gain (loss) | 23,741,926 | 54,303,761 | 6,999,039 | 753,463 | |||
Net increase (decrease) in net assets resulting from operations | $29,755,705 | $ 71,005,430 | $ 10,107,536 | $ 1,265,952 |
57 | Semi-Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||
Investment Income | |||||||
Dividends | $ 1,934,179 | $ 456,419 | $ 840,539 | $ 138,521 | |||
Non-Cash dividends | — | 56,521 | — | — | |||
Interest | 8 | — | — | — | |||
Income from Fidelity Central Funds (including $3,094, $1,521, $— and $—, from security lending, respectively) | 3,200 | 1,555 | 24 | 2 | |||
Total income | 1,937,387 | 514,495 | 840,563 | 138,523 | |||
Expenses | |||||||
Management fees | 348,375 | 88,804 | 123,402 | 19,831 | |||
Independent trustees' fees and expenses | 406 | 107 | 110 | 22 | |||
Total expenses before reductions | 348,781 | 88,911 | 123,512 | 19,853 | |||
Expense reductions | (7) | (4) | (5) | (4) | |||
Total expenses | 348,774 | 88,907 | 123,507 | 19,849 | |||
Net investment income (loss) | 1,588,613 | 425,588 | 717,056 | 118,674 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (1,286,562) | (1,693,303) | (1,004,853) | (79,083) | |||
Net realized gain (loss) on In-kind redemptions | 26,280,870 | 7,284,131 | 3,580,846 | 373,608 | |||
Net realized gain (loss) on futures contracts | 35,771 | 1,313 | — | — | |||
Net realized gain (loss) on foreign currency transactions | — | 2 | — | — | |||
Total net realized gain (loss) | 25,030,079 | 5,592,143 | 2,575,993 | 294,525 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (19,324,025) | (6,908,681) | 899,879 | (59,653) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (1) | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (23,558) | (7,600) | — | — | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | (1) | — | — | |||
Total change in net unrealized appreciation (depreciation) | (19,347,584) | (6,916,282) | 899,879 | (59,653) | |||
Net gain (loss) | 5,682,495 | (1,324,139) | 3,475,872 | 234,872 | |||
Net increase (decrease) in net assets resulting from operations | $ 7,271,108 | $ (898,551) | $ 4,192,928 | $ 353,546 |
Semi-Annual Report | 58 |
Fidelity Value Factor ETF | |
Investment Income | |
Dividends | $ 4,395,011 |
Non-Cash dividends | — |
Interest | 32 |
Income from Fidelity Central Funds (including $18,133 from security lending) | 18,453 |
Total income | 4,413,496 |
Expenses | |
Management fees | 647,328 |
Independent trustees' fees and expenses | 761 |
Total expenses before reductions | 648,089 |
Expense reductions | (5) |
Total expenses | 648,084 |
Net investment income (loss) | 3,765,412 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (1,813,165) |
Net realized gain (loss) on In-kind redemptions | 47,721,566 |
Net realized gain (loss) on futures contracts | 82,886 |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | 45,991,287 |
Change in net unrealized appreciation (depreciation) on investment securities | (27,035,910) |
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — |
Change in net unrealized appreciation (depreciation) on futures contracts | (54,370) |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | (27,090,280) |
Net gain (loss) | 18,901,007 |
Net increase (decrease) in net assets resulting from operations | $ 22,666,419 |
59 | Semi-Annual Report |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 6,013,779 | $ 8,784,728 | $ 16,701,669 | $ 21,768,395 | |||
Net realized gain (loss) | 362,939 | 8,411,727 | 51,698,792 | (873,727) | |||
Change in net unrealized appreciation (depreciation) | 23,378,987 | 90,284,912 | 2,604,969 | 217,287,166 | |||
Net increase (decrease) in net assets resulting from operations | 29,755,705 | 107,481,367 | 71,005,430 | 238,181,834 | |||
Distributions to shareholders | (5,545,350) | (8,481,250) | (15,271,950) | (21,671,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 85,930,571 | 124,130,292 | 176,343,728 | 317,619,142 | |||
Cost of shares redeemed | — | (15,358,454) | (195,345,493) | (2,802,769) | |||
Net increase (decrease) in net assets resulting from share transactions | 85,930,571 | 108,771,838 | (19,001,765) | 314,816,373 | |||
Total increase (decrease) in net assets | 110,140,926 | 207,771,955 | 36,731,715 | 531,326,807 | |||
Net Assets | |||||||
Beginning of period | 490,088,701 | 282,316,746 | 1,052,121,588 | 520,794,781 | |||
End of period | $600,229,627 | $490,088,701 | $1,088,853,303 | $1,052,121,588 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,950,000 | 3,050,000 | 4,500,000 | 8,850,000 | |||
Redeemed | — | (450,000) | (5,200,000) | (100,000) | |||
Net increase (decrease) | 1,950,000 | 2,600,000 | (700,000) | 8,750,000 |
Semi-Annual Report | 60 |
Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,108,497 | $ 5,379,525 | $ 512,489 | $ 655,181 | |||
Net realized gain (loss) | 40,052,395 | 26,847,966 | 18,839,624 | 15,466,576 | |||
Change in net unrealized appreciation (depreciation) | (33,053,356) | 72,820,962 | (18,086,161) | 11,929,637 | |||
Net increase (decrease) in net assets resulting from operations | 10,107,536 | 105,048,453 | 1,265,952 | 28,051,394 | |||
Distributions to shareholders | (2,852,900) | (5,363,100) | (449,400) | (712,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 154,345,461 | 269,729,319 | 70,261,133 | 112,430,208 | |||
Cost of shares redeemed | (204,182,048) | (208,226,111) | (110,445,767) | (71,334,762) | |||
Net increase (decrease) in net assets resulting from share transactions | (49,836,587) | 61,503,208 | (40,184,634) | 41,095,446 | |||
Total increase (decrease) in net assets | (42,581,951) | 161,188,561 | (39,368,082) | 68,434,840 | |||
Net Assets | |||||||
Beginning of period | 511,896,622 | 350,708,061 | 156,763,667 | 88,328,827 | |||
End of period | $ 469,314,671 | $ 511,896,622 | $ 117,395,585 | $156,763,667 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,150,000 | 6,300,000 | 1,350,000 | 2,500,000 | |||
Redeemed | (4,100,000) | (4,950,000) | (2,150,000) | (1,600,000) | |||
Net increase (decrease) | (950,000) | 1,350,000 | (800,000) | 900,000 |
61 | Semi-Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 1,588,613 | $ 2,456,845 | $ 425,588 | $ 529,744 | |||
Net realized gain (loss) | 25,030,079 | 8,878,028 | 5,592,143 | 5,851,497 | |||
Change in net unrealized appreciation (depreciation) | (19,347,584) | 43,078,149 | (6,916,282) | 6,938,993 | |||
Net increase (decrease) in net assets resulting from operations | 7,271,108 | 54,413,022 | (898,551) | 13,320,234 | |||
Distributions to shareholders | (1,465,650) | (2,471,800) | (419,500) | (586,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 110,583,671 | 107,535,102 | 38,040,873 | 56,891,867 | |||
Cost of shares redeemed | (101,548,288) | (60,777,523) | (37,174,255) | (20,803,647) | |||
Net increase (decrease) in net assets resulting from share transactions | 9,035,383 | 46,757,579 | 866,618 | 36,088,220 | |||
Total increase (decrease) in net assets | 14,840,841 | 98,698,801 | (451,433) | 48,822,454 | |||
Net Assets | |||||||
Beginning of period | 245,720,795 | 147,021,994 | 67,939,138 | 19,116,684 | |||
End of period | $ 260,561,636 | $245,720,795 | $ 67,487,705 | $ 67,939,138 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,100,000 | 2,400,000 | 1,100,000 | 1,900,000 | |||
Redeemed | (1,950,000) | (1,450,000) | (1,100,000) | (700,000) | |||
Net increase (decrease) | 150,000 | 950,000 | — | 1,200,000 |
Semi-Annual Report | 62 |
Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 717,056 | $ 166,284 | $ 118,674 | $ 98,616 | |||
Net realized gain (loss) | 2,575,993 | 448,093 | 294,525 | 555,355 | |||
Change in net unrealized appreciation (depreciation) | 899,879 | 3,036,951 | (59,653) | 1,301,989 | |||
Net increase (decrease) in net assets resulting from operations | 4,192,928 | 3,651,328 | 353,546 | 1,955,960 | |||
Distributions to shareholders | (630,300) | (220,000) | (108,000) | (135,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 127,321,532 | 43,042,176 | 7,828,341 | 14,155,302 | |||
Cost of shares redeemed | (23,354,729) | (4,000,783) | (2,584,695) | (4,484,456) | |||
Net increase (decrease) in net assets resulting from share transactions | 103,966,803 | 39,041,393 | 5,243,646 | 9,670,846 | |||
Total increase (decrease) in net assets | 107,529,431 | 42,472,721 | 5,489,192 | 11,491,406 | |||
Net Assets | |||||||
Beginning of period | 46,082,754 | 3,610,033 | 11,491,406 | — | |||
End of period | $153,612,185 | $46,082,754 | $16,980,598 | $11,491,406 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,900,000 | 1,500,000 | 300,000 | 650,000 | |||
Redeemed | (750,000) | (150,000) | (100,000) | (200,000) | |||
Net increase (decrease) | 3,150,000 | 1,350,000 | 200,000 | 450,000 |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
63 | Semi-Annual Report |
Fidelity Value Factor ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 3,765,412 | $ 4,474,089 | |
Net realized gain (loss) | 45,991,287 | 4,981,984 | |
Change in net unrealized appreciation (depreciation) | (27,090,280) | 90,885,205 | |
Net increase (decrease) in net assets resulting from operations | 22,666,419 | 100,341,278 | |
Distributions to shareholders | (3,678,000) | (4,318,450) | |
Share transactions | |||
Proceeds from sales of shares | 214,841,794 | 236,163,931 | |
Cost of shares redeemed | (194,466,775) | (71,833,308) | |
Net increase (decrease) in net assets resulting from share transactions | 20,375,019 | 164,330,623 | |
Total increase (decrease) in net assets | 39,363,438 | 260,353,451 | |
Net Assets | |||
Beginning of period | 450,269,322 | 189,915,871 | |
End of period | $ 489,632,760 | $450,269,322 | |
Other Information | |||
Shares | |||
Sold | 4,300,000 | 5,450,000 | |
Redeemed | (3,900,000) | (1,700,000) | |
Net increase (decrease) | 400,000 | 3,750,000 |
Semi-Annual Report | 64 |
Fidelity Dividend ETF For Rising Rates | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | $ 25.34 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.50 | 0.93 | 1.01 | 1.07 | 0.93 | 0.76 | |||||
Net realized and unrealized gain (loss) | 1.98 | 10.85 | (0.56) | 0.79 | 3.03 | 2.98 | |||||
Total from investment operations | 2.48 | 11.78 | 0.45 | 1.86 | 3.96 | 3.74 | |||||
Distributions from net investment income | (0.47) | (0.88) | (1.04) | (1.09) | (0.92) | (0.58) | |||||
Total distributions | (0.47) | (0.88) | (1.04) | (1.09) | (0.92) | (0.58) | |||||
Net asset value, end of period | $ 44.63 | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | |||||
Total ReturnD,E,F | 5.86% | 37.57% | 1.86% | 6.09% | 14.04% | 14.85% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | 2.30% I | 2.44% | 3.15% | 3.42% | 3.08% | 3.09% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $600,230 | $490,089 | $282,317 | $360,229 | $346,896 | $152,492 | |||||
Portfolio turnover rateJ,K | 0% L | 32% | 35% | 35% | 38% | 52% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
65 | Semi-Annual Report |
Fidelity High Dividend ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | $ 25.32 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.62 | 1.02 | 1.10 | 1.23 | 1.09 | 0.85 | |||||
Net realized and unrealized gain (loss) | 2.27 | 10.48 | (2.52) | (0.03) | 3.21 | 1.57 | |||||
Total from investment operations | 2.89 | 11.50 | (1.42) | 1.20 | 4.30 | 2.42 | |||||
Distributions from net investment income | (0.54) | (1.01) | (1.14) | (1.23) | (1.12) | (0.76) | |||||
Distributions from net realized gain | — | — | — | — | (0.01) | — | |||||
Total distributions | (0.54) | (1.01) | (1.14) | (1.23) | (1.13) | (0.76) | |||||
Net asset value, end of period | $ 40.40 | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | |||||
Total ReturnD,E,F | 7.69% | 42.42% | (4.54)% | 4.16% | 16.23% | 9.61% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | 3.20% I | 3.04% | 3.85% | 4.15% | 3.80% | 3.61% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,088,853 | $1,052,122 | $520,795 | $362,952 | $171,835 | $59,350 | |||||
Portfolio turnover rateJ,K | 1% L | 32% | 49% | 50% | 53% | 57% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
Semi-Annual Report | 66 |
Fidelity Low Volatility Factor ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | $ 25.31 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.31 | 0.56 | 0.62 | 0.62 | 0.53 | 0.45 | |||||
Net realized and unrealized gain (loss) | 0.37 | 10.43 | 1.95 | 3.92 | 4.20 | 2.81 | |||||
Total from investment operations | 0.68 | 10.99 | 2.57 | 4.54 | 4.73 | 3.26 | |||||
Distributions from net investment income | (0.29) | (0.57) | (0.61) | (0.57) | (0.52) | (0.38) | |||||
Total distributions | (0.29) | (0.57) | (0.61) | (0.57) | (0.52) | (0.38) | |||||
Net asset value, end of period | $ 49.14 | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | |||||
Total ReturnD,E,F | 1.40% | 28.90% | 7.29% | 14.20% | 16.89% | 12.94% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | 1.24% I | 1.31% | 1.69% | 1.83% | 1.73% | 1.87% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $469,315 | $511,897 | $350,708 | $245,502 | $66,420 | $33,833 | |||||
Portfolio turnover rateJ,K | 15% L | 46% | 31% | 36% | 31% | 33% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
67 | Semi-Annual Report |
Fidelity Momentum Factor ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | $ 25.34 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.21 | 0.25 | 0.42 | 0.40 | 0.36 | 0.36 | |||||
Net realized and unrealized gain (loss) | 0.17 | 10.54 | 3.47 | 2.22 | 4.97 | 3.19 | |||||
Total from investment operations | 0.38 | 10.79 | 3.89 | 2.62 | 5.33 | 3.55 | |||||
Distributions from net investment income | (0.19) | (0.28) | (0.43) | (0.40) | (0.35) | (0.29) | |||||
Total distributions | (0.19) | (0.28) | (0.43) | (0.40) | (0.35) | (0.29) | |||||
Net asset value, end of period | $ 49.96 | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | |||||
Total ReturnD,E,F | 0.75% | 27.58% | 11.06% | 7.91% | 18.72% | 14.11% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | .81% I | .55% | 1.18% | 1.18% | 1.14% | 1.50% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $117,396 | $156,764 | $88,329 | $121,736 | $95,702 | $35,745 | |||||
Portfolio turnover rateJ,K | 56% L | 128% | 138% | 133% | 125% | 106% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
Semi-Annual Report | 68 |
Fidelity Quality Factor ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | $ 25.37 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.35 | 0.62 | 0.62 | 0.58 | 0.53 | 0.45 | |||||
Net realized and unrealized gain (loss) | 1.44 | 13.00 | 2.90 | 1.77 | 4.38 | 3.62 | |||||
Total from investment operations | 1.79 | 13.62 | 3.52 | 2.35 | 4.91 | 4.07 | |||||
Distributions from net investment income | (0.34) | (0.62) | (0.61) | (0.54) | (0.55) | (0.33) | |||||
Total distributions | (0.34) | (0.62) | (0.61) | (0.54) | (0.55) | (0.33) | |||||
Net asset value, end of period | $ 52.64 | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | |||||
Total ReturnD,E,F | 3.49% | 36.00% | 10.26% | 7.14% | 16.95% | 16.10% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | 1.32% I | 1.39% | 1.74% | 1.72% | 1.66% | 1.84% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $260,562 | $245,721 | $147,022 | $162,282 | $65,259 | $30,569 | |||||
Portfolio turnover rateJ,K | 18% L | 35% | 41% | 29% | 30% | 35% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
69 | Semi-Annual Report |
Fidelity Small-Mid Multifactor ETF | |||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 33.97 | $ 23.90 | $ 25.50 | $24.85 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B,C | 0.24 | 0.38 | 0.31 | 0.18 | |||
Net realized and unrealized gain (loss) | (0.23) | 10.11 | (1.58) | 0.64 | |||
Total from investment operations | 0.01 | 10.49 | (1.27) | 0.82 | |||
Distributions from net investment income | (0.24) | (0.42) | (0.33) | (0.17) | |||
Total distributions | (0.24) | (0.42) | (0.33) | (0.17) | |||
Net asset value, end of period | $ 33.74 | $ 33.97 | $ 23.90 | $25.50 | |||
Total ReturnD,E,F | 0.05% | 44.21% | (4.90)% | 3.35% | |||
Ratios to Average Net AssetsB,G,H | |||||||
Expenses before reductions | .29% I | .29% | .29% | .29% I | |||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% I | |||
Expenses net of all reductions | .29% I | .29% | .29% | .29% I | |||
Net investment income (loss) | 1.39% I | 1.23% | 1.32% | 1.70% I | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $67,488 | $67,939 | $19,117 | $7,650 | |||
Portfolio turnover rateJ,K | 30% L | 61% | 52% | 2% L |
A | For the period February 26, 2019 (commencement of operations) to July 31, 2019. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
Semi-Annual Report | 70 |
Fidelity Stocks for Inflation ETF | |||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Year ended July 31, 2020A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 30.72 | $ 24.07 | $24.94 | ||
Income from Investment Operations | |||||
Net investment income (loss)B,C | 0.27 | 0.39 | 0.38 | ||
Net realized and unrealized gain (loss) | 2.28 | 7.08 | (0.90) | ||
Total from investment operations | 2.55 | 7.47 | (0.52) | ||
Distributions from net investment income | (0.24) | (0.82) | (0.35) | ||
Total distributions | (0.24) | (0.82) | (0.35) | ||
Net asset value, end of period | $ 33.03 | $ 30.72 | $24.07 | ||
Total ReturnD,E,F | 8.34% | 31.78% | (1.88)% | ||
Ratios to Average Net AssetsB,G,H | |||||
Expenses before reductions | .29% I | .29% | .29% I,J | ||
Expenses net of fee waivers, if any | .29% I | .29% | .29% I,J | ||
Expenses net of all reductions | .29% I | .29% | .29% I,J | ||
Net investment income (loss) | 1.70% I | 1.34% | 2.16% I,J | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $153,612 | $46,083 | $3,610 | ||
Portfolio turnover rateK,L | 42% M | 52% | 65% M |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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 | Proxy expenses are not annualized. |
K | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
L | Portfolio turnover rate excludes securities received or delivered in-kind. |
M | Amount not annualized. |
71 | Semi-Annual Report |
Fidelity U.S. Multifactor ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 25.54 | $ 20.09 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.23 | 0.31 D | |
Net realized and unrealized gain (loss) | 0.55 | 5.62 | |
Total from investment operations | 0.78 | 5.93 | |
Distributions from net investment income | (0.20) | (0.48) | |
Total distributions | (0.20) | (0.48) | |
Net asset value, end of period | $ 26.12 | $ 25.54 | |
Total ReturnE,F,G | 3.11% | 29.94% | |
Ratios to Average Net AssetsB,H,I,J | |||
Expenses before reductions | .29% | .29% | |
Expenses net of fee waivers, if any | .29% | .29% | |
Expenses net of all reductions | .29% | .29% | |
Net investment income (loss) | 1.74% | 1.56% D | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $16,981 | $11,491 | |
Portfolio turnover rateK,L,M | 19% | 30% |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | 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%. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
H | Annualized. |
I | 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. |
J | 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. |
K | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
L | Amount not annualized. |
M | Portfolio turnover rate excludes securities received or delivered in-kind. |
Semi-Annual Report | 72 |
Fidelity Value Factor ETF | |||||||||||
Six months ended January 31, 2022 (Unaudited) | 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 | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | $ 25.37 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)B,C | 0.42 | 0.64 | 0.73 | 0.70 | 0.58 | 0.49 | |||||
Net realized and unrealized gain (loss) | 2.06 | 14.07 | 0.28 | 0.59 | 4.18 | 4.23 | |||||
Total from investment operations | 2.48 | 14.71 | 1.01 | 1.29 | 4.76 | 4.72 | |||||
Distributions from net investment income | (0.42) | (0.62) | (0.69) | (0.66) | (0.58) | (0.37) | |||||
Total distributions | (0.42) | (0.62) | (0.69) | (0.66) | (0.58) | (0.37) | |||||
Net asset value, end of period | $ 51.00 | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | |||||
Total ReturnD,E,F | 5.08% | 42.56% | 3.12% | 3.95% | 16.11% | 18.65% | |||||
Ratios to Average Net AssetsB,G,H | |||||||||||
Expenses before reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of fee waivers, if any | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Expenses net of all reductions | .29% I | .29% | .29% | .29% | .30% | .29% I | |||||
Net investment income (loss) | 1.69% I | 1.50% | 2.13% | 2.09% | 1.79% | 1.92% I | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $489,633 | $450,269 | $189,916 | $136,403 | $86,450 | $38,639 | |||||
Portfolio turnover rateJ,K | 25% L | 42% | 45% | 31% | 38% | 42% L |
A | For the period September 12, 2016 (commencement of operations) to July 31, 2017. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
73 | Semi-Annual Report |
For the period ended January 31, 2022 (Unaudited)
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% |
Semi-Annual Report | 74 |
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.
75 | Semi-Annual Report |
period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. Foreign taxes are provided for based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 493,698,448 | $ 122,852,994 | $ (10,621,435) | $ 112,231,559 |
Fidelity High Dividend ETF | 946,550,796 | 172,776,198 | (15,428,719) | 157,347,479 |
Fidelity Low Volatility Factor ETF | 428,956,773 | 57,651,294 | (12,486,508) | 45,164,786 |
Fidelity Momentum Factor ETF | 111,263,492 | 13,876,272 | (6,683,943) | 7,192,329 |
Fidelity Quality Factor ETF | 228,817,681 | 38,250,250 | (5,589,825) | 32,660,425 |
Fidelity Small-Mid Multifactor ETF | 67,259,708 | 3,970,228 | (3,058,736) | 911,492 |
Fidelity Stocks for Inflation ETF | 149,815,970 | 7,680,722 | (3,925,260) | 3,755,462 |
Fidelity U.S. Multifactor ETF | 15,711,642 | 1,588,450 | (351,457) | 1,236,993 |
Fidelity Value Factor ETF | 434,360,461 | 65,136,421 | (7,572,626) | 57,563,795 |
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) |
Capital Losses | |
Fidelity U.S. Multifactor ETF | $ (71,596) |
Semi-Annual Report | 76 |
Purchases ($) | Sales ($) | |
Fidelity Dividend ETF for Rising Rates | 2,577,401 | 1,066,936 |
Fidelity High Dividend ETF | 19,614,910 | 13,187,751 |
Fidelity Low Volatility Factor ETF | 76,082,874 | 75,903,084 |
Fidelity Momentum Factor ETF | 70,110,929 | 70,072,360 |
Fidelity Quality Factor ETF | 42,912,674 | 42,987,530 |
Fidelity Small-Mid Multifactor ETF | 18,201,001 | 18,064,749 |
Fidelity Stocks for Inflation ETF | 36,603,712 | 35,800,984 |
Fidelity U.S. Multifactor ETF | 2,564,798 | 2,511,647 |
Fidelity Value Factor ETF | 110,594,189 | 109,962,458 |
77 | Semi-Annual Report |
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity Dividend ETF for Rising Rates | 83,469,659 | — |
Fidelity High Dividend ETF | 170,834,910 | 193,341,887 |
Fidelity Low Volatility Factor ETF | 153,061,423 | 202,937,028 |
Fidelity Momentum Factor ETF | 69,787,327 | 109,670,576 |
Fidelity Quality Factor ETF | 109,750,743 | 100,760,924 |
Fidelity Small-Mid Multifactor ETF | 37,699,910 | 36,953,216 |
Fidelity Stocks for Inflation ETF | 126,421,023 | 23,268,368 |
Fidelity U.S. Multifactor ETF | 7,763,055 | 2,569,746 |
Fidelity Value Factor ETF | 210,901,186 | 191,223,181 |
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 | $ 1,248 | $ 81 | $ — |
Fidelity High Dividend ETF | 1,798 | 18 | — |
Fidelity Low Volatility Factor ETF | 74 | — | — |
Fidelity Momentum Factor ETF | 51 | — | — |
Fidelity Quality Factor ETF | 323 | 197 | — |
Fidelity Small-Mid Multifactor ETF | 142 | 43 | 6,832 |
Fidelity Value Factor ETF | 1,876 | — | — |
Semi-Annual Report | 78 |
Amount | |
Fidelity Dividend ETF for Rising Rates | $ 2 |
Fidelity High Dividend ETF | 3 |
Fidelity Low Volatility Factor ETF | 5 |
Fidelity Momentum Factor ETF | 8 |
Fidelity Quality Factor ETF | 7 |
Fidelity Small-Mid Multifactor ETF | 4 |
Fidelity Stocks for Inflation ETF | 5 |
Fidelity U.S. Multifactor ETF | 4 |
Fidelity Value Factor ETF | 5 |
79 | Semi-Annual Report |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity Dividend ETF For Rising Rates | 0.29% | |||
Actual | $ 1,000.00 | $ 1,058.60 | $ 1.50 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity High Dividend ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,076.90 | $ 1.52 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Low Volatility Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,014.00 | $ 1.47 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Momentum Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,007.50 | $ 1.47 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Quality Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,034.90 | $ 1.49 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Small-Mid Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.50 | $ 1.46 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Stocks For Inflation ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,083.40 | $ 1.52 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 |
Semi-Annual Report | 80 |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity U.S. Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,031.10 | $ 1.48 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 | |
Fidelity Value Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,050.80 | $ 1.50 | |
Hypothetical C | $ 1,000.00 | $ 1,023.74 | $ 1.48 |
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 184/365 (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. |
81 | Semi-Annual Report |
Semi-Annual Report | 2 |
3 | Semi-Annual Report |
% of fund's net assets | |
Apple, Inc. | 11.2 |
Microsoft Corp. | 7.7 |
Alphabet, Inc. Class A | 7.1 |
Amazon.com, Inc. | 7.0 |
NVIDIA Corp. | 5.9 |
Facebook, Inc. Class A | 4.6 |
Tesla, Inc. | 3.9 |
Marvell Technology, Inc. | 3.4 |
Lowe's Cos., Inc. | 1.8 |
Salesforce.com, Inc. | 1.7 |
54.3 |
% of fund's net assets | ||
Information Technology | 41.3 | |
Consumer Discretionary | 27.3 | |
Communication Services | 15.0 | |
Health Care | 5.9 | |
Industrials | 4.8 |
Semi-Annual Report | 4 |
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 4.9 |
Exxon Mobil Corp. | 3.5 |
Comcast Corp. Class A | 3.1 |
Bank of America Corp. | 3.1 |
UnitedHealth Group, Inc. | 3.0 |
The Procter & Gamble Co. | 2.9 |
Centene Corp. | 2.6 |
Alphabet, Inc. Class A | 2.6 |
Cigna Corp. | 2.6 |
JPMorgan Chase & Co. | 2.6 |
30.9 |
% of fund's net assets | ||
Financials | 22.0 | |
Health Care | 19.3 | |
Utilities | 11.4 | |
Communication Services | 10.0 | |
Industrials | 8.6 |
5 | Semi-Annual Report |
% of fund's net assets | |
Microsoft Corp. | 8.9 |
Amazon.com, Inc. | 7.1 |
Alphabet, Inc. Class C | 6.4 |
NVIDIA Corp. | 4.0 |
Facebook, Inc. Class A | 3.1 |
Carvana Co. | 3.0 |
Alphabet, Inc. Class A | 3.0 |
Apple, Inc. | 2.5 |
Roku, Inc. | 2.4 |
T-Mobile US, Inc. | 2.3 |
42.7 |
% of fund's net assets | ||
Information Technology | 43.2 | |
Communication Services | 22.5 | |
Consumer Discretionary | 16.2 | |
Health Care | 8.5 | |
Industrials | 3.3 |
Semi-Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 8.3 |
Microsoft Corp. | 7.4 |
Amazon.com, Inc. | 4.6 |
Facebook, Inc. Class A | 3.1 |
Alphabet, Inc. Class A | 2.7 |
Alphabet, Inc. Class C | 2.6 |
NVIDIA Corp. | 2.6 |
UnitedHealth Group, Inc. | 2.3 |
Mastercard, Inc. Class A | 2.1 |
The Home Depot, Inc. | 2.0 |
37.7 |
% of fund's net assets | ||
Information Technology | 42.6 | |
Health Care | 12.6 | |
Consumer Discretionary | 10.3 | |
Communication Services | 8.5 | |
Industrials | 8.5 |
7 | Semi-Annual Report |
% of fund's net assets | |
Wells Fargo & Co. | 4.4 |
General Electric Co. | 4.4 |
Exxon Mobil Corp. | 3.3 |
Bristol-Myers Squibb Co. | 2.6 |
Bank of America Corp. | 2.5 |
Comcast Corp. Class A | 2.2 |
American International Group, Inc. | 2.2 |
Hess Corp. | 2.0 |
The PNC Financial Services Group, Inc. | 1.9 |
UnitedHealth Group, Inc. | 1.8 |
27.3 |
% of fund's net assets | ||
Financials | 19.8 | |
Health Care | 14.9 | |
Energy | 12.9 | |
Industrials | 12.4 | |
Consumer Discretionary | 8.0 |
Semi-Annual Report | 8 |
% of fund's net assets | |
Crown Castle International Corp. | 9.8 |
Prologis, Inc. | 7.6 |
SBA Communications Corp. | 7.1 |
Digital Realty Trust, Inc. | 5.9 |
Welltower, Inc. | 5.6 |
Duke Realty Corp. | 4.9 |
UDR, Inc. | 3.4 |
Ventas, Inc. | 3.3 |
Mid-America Apartment Communities, Inc. | 3.1 |
CBRE Group, Inc. Class A | 3.0 |
53.7 |
% of fund's net assets | ||
Real Estate | 99.5 | |
Information Technology | 0.2 |
9 | Semi-Annual Report |
% of fund's net assets | |
Signature Bank | 1.7 |
Builders FirstSource, Inc. | 1.6 |
Molina Healthcare, Inc. | 1.4 |
Jones Lang LaSalle, Inc. | 1.4 |
Comerica, Inc. | 1.4 |
Charles River Laboratories International, Inc. | 1.3 |
Tapestry, Inc. | 1.2 |
TFI International, Inc. | 1.2 |
Williams-Sonoma, Inc. | 1.1 |
CubeSmart | 1.1 |
13.4 |
% of fund's net assets | ||
Industrials | 16.9 | |
Financials | 16.9 | |
Information Technology | 14.9 | |
Consumer Discretionary | 12.4 | |
Health Care | 11.8 |
Semi-Annual Report | 10 |
% of fund's net assets | |
Microsoft Corp. | 6.2 |
Prologis, Inc. | 2.8 |
Danaher Corp. | 2.5 |
Salesforce.com, Inc. | 2.4 |
Apple, Inc. | 2.2 |
NVIDIA Corp. | 2.1 |
Bank of America Corp. | 2.0 |
The Travelers Cos., Inc. | 2.0 |
ON Semiconductor Corp. | 2.0 |
Merck & Co., Inc. | 2.0 |
26.2 |
% of fund's net assets | ||
Information Technology | 25.6 | |
Financials | 13.6 | |
Consumer Discretionary | 12.1 | |
Health Care | 11.9 | |
Industrials | 9.8 |
11 | Semi-Annual Report |
% of fund's net assets | |
Microsoft Corp. | 4.0 |
Anthem, Inc. | 2.7 |
Bank of America Corp. | 2.3 |
Accenture PLC Class A | 2.0 |
CDW Corp. | 2.0 |
Apple, Inc. | 1.9 |
Morningstar, Inc. | 1.8 |
The Progressive Corp. | 1.8 |
Salesforce.com, Inc. | 1.7 |
AMETEK, Inc. | 1.7 |
21.9 |
% of fund's net assets | ||
Information Technology | 27.5 | |
Financials | 14.7 | |
Consumer Discretionary | 13.5 | |
Health Care | 12.6 | |
Industrials | 10.9 |
Semi-Annual Report | 12 |
Common Stocks – 99.3% | ||
Shares | Value | |
COMMUNICATION SERVICES – 15.0% | ||
Entertainment – 2.3% | ||
Endeavor Group Holdings, Inc. (a) | 23,632 | $ 741,336 |
Netflix, Inc. (a) | 12,203 | 5,212,389 |
ROBLOX Corp. (a) | 9,416 | 620,138 |
Roku, Inc. (a) | 3,187 | 522,827 |
Sea Ltd. ADR (a) | 19,415 | 2,918,269 |
10,014,959 | ||
Interactive Media & Services – 12.5% | ||
Alphabet, Inc. Class A (a) | 11,349 | 30,711,188 |
Bumble, Inc. Class A (a) | 5,444 | 160,652 |
Facebook, Inc. Class A (a) | 62,794 | 19,670,849 |
Snap, Inc. Class A (a) | 99,491 | 3,237,437 |
ZipRecruiter, Inc. (a) | 7,041 | 152,719 |
ZoomInfo Technologies, Inc. Class A (a) | 10 | 529 |
53,933,374 | ||
Media – 0.2% | ||
Criteo S.A. ADR (a) | 7,735 | 261,443 |
DISH Network Corp. Class A (a) | 16,077 | 504,818 |
766,261 | ||
TOTAL COMMUNICATION SERVICES | 64,714,594 | |
CONSUMER DISCRETIONARY – 27.3% | ||
Automobiles – 5.0% | ||
Ford Motor Co. | 21,532 | 437,099 |
General Motors Co. (a) | 13,142 | 692,978 |
NIO, Inc. ADR (a) | 11 | 270 |
Rivian Automotive, Inc. (a) | 34,086 | 2,240,814 |
Tesla, Inc. (a) | 17,939 | 16,803,820 |
XPeng, Inc. ADR (a) | 37,470 | 1,314,822 |
21,489,803 | ||
Diversified Consumer Services – 0.0% | ||
Mister Car Wash, Inc. (a) | 8,216 | 141,315 |
Hotels, Restaurants & Leisure – 4.6% | ||
Airbnb, Inc. Class A (a) | 31,169 | 4,799,091 |
Booking Holdings, Inc. (a) | 199 | 488,770 |
Caesars Entertainment, Inc. (a) | 27,056 | 2,060,044 |
Chipotle Mexican Grill, Inc. (a) | 1,249 | 1,855,489 |
Churchill Downs, Inc. | 3,828 | 805,028 |
Dutch Bros, Inc. (a) | 3,560 | 185,654 |
Expedia Group, Inc. (a) | 6,705 | 1,228,959 |
Hilton Worldwide Holdings, Inc. (a) | 9,341 | 1,355,473 |
Marriott International, Inc. Class A (a) | 11,741 | 1,891,710 |
MGM Resorts International | 12,393 | 529,429 |
Penn National Gaming, Inc. (a) | 64,862 | 2,958,356 |
Sweetgreen, Inc. (a) | 42,772 | 1,293,853 |
Vail Resorts, Inc. | 1,317 | 364,941 |
19,816,797 | ||
Household Durables – 0.2% | ||
Lennar Corp. Class A | 3,415 | 328,215 |
| ||
Shares | Value | |
Sonos, Inc. (a) | 17 | $ 429 |
Tempur Sealy International, Inc. | 10,749 | 427,918 |
Toll Brothers, Inc. | 1,776 | 104,731 |
Tri Pointe Homes, Inc. (a) | 1,992 | 47,429 |
Tupperware Brands Corp. (a) | 21 | 324 |
909,046 | ||
Internet & Direct Marketing Retail – 7.8% | ||
Amazon.com, Inc. (a) | 10,028 | 29,998,461 |
Chewy, Inc. Class A (a) | 13,660 | 650,353 |
DoorDash, Inc. Class A (a) | 3,686 | 418,324 |
eBay, Inc. | 46 | 2,763 |
Etsy, Inc. (a) | 4,936 | 775,347 |
Global-e Online Ltd. (a) | 6,756 | 241,257 |
JD.com, Inc. ADR (a) | 2,318 | 173,572 |
Overstock.com, Inc. (a) | 5,879 | 281,839 |
Pinduoduo, Inc. ADR (a) | 3,435 | 205,550 |
The Original BARK Co. (a) | 42,737 | 161,119 |
Wayfair, Inc. Class A (a) | 2,561 | 399,311 |
33,307,896 | ||
Leisure Products – 0.0% | ||
Peloton Interactive, Inc. Class A (a) | 5,835 | 159,470 |
Multiline Retail – 0.4% | ||
Dollar Tree, Inc. (a) | 11,462 | 1,504,044 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 6,018 | 288,503 |
Target Corp. | 5 | 1,102 |
1,793,649 | ||
Specialty Retail – 5.8% | ||
American Eagle Outfitters, Inc. | 53,021 | 1,210,469 |
Aritzia, Inc. (a) | 11,496 | 533,312 |
Bath & Body Works, Inc. | 5,477 | 307,095 |
Burlington Stores, Inc. (a) | 6,187 | 1,465,886 |
Carvana Co. (a) | 16,200 | 2,625,372 |
Citi Trends, Inc. (a) | 2,086 | 101,630 |
Dick's Sporting Goods, Inc. | 10,366 | 1,196,236 |
Five Below, Inc. (a) | 9,021 | 1,479,444 |
Floor & Decor Holdings, Inc. Class A (a) | 13,421 | 1,459,131 |
Foot Locker, Inc. | 8,242 | 368,253 |
Lowe's Cos., Inc. | 32,091 | 7,616,799 |
RH (a) | 5,928 | 2,387,917 |
Signet Jewelers Ltd. | 5,263 | 453,302 |
The Children's Place, Inc. (a) | 2,292 | 162,159 |
The TJX Cos., Inc. | 16,609 | 1,195,350 |
Victoria's Secret & Co. (a) | 26,859 | 1,499,538 |
Warby Parker, Inc. (a) | 19,692 | 731,952 |
24,793,845 | ||
Textiles, Apparel & Luxury Goods – 3.5% | ||
Capri Holdings Ltd. (a) | 43,165 | 2,592,922 |
Crocs, Inc. (a) | 17,981 | 1,845,210 |
Deckers Outdoor Corp. (a) | 3,256 | 1,042,669 |
Lululemon Athletica, Inc. (a) | 4,094 | 1,366,414 |
13 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Textiles, Apparel & Luxury Goods – continued | ||
NIKE, Inc. Class B | 39,059 | $ 5,783,466 |
On Holding AG (a) | 951 | 25,078 |
PVH Corp. | 14,533 | 1,380,780 |
Tapestry, Inc. | 24,592 | 933,266 |
Under Armour, Inc. Class A (a) | 24 | 452 |
14,970,257 | ||
TOTAL CONSUMER DISCRETIONARY | 117,382,078 | |
CONSUMER STAPLES – 0.6% | ||
Beverages – 0.5% | ||
Celsius Holdings, Inc. (a) | 28,315 | 1,351,475 |
The Boston Beer Co., Inc. Class A (a) | 1,621 | 682,165 |
2,033,640 | ||
Household Products – 0.0% | ||
The Procter & Gamble Co. | 1,031 | 165,424 |
Personal Products – 0.1% | ||
Olaplex Holdings, Inc. (a) | 9,447 | 206,323 |
TOTAL CONSUMER STAPLES | 2,405,387 | |
ENERGY – 1.8% | ||
Energy Equipment & Services – 0.0% | ||
Halliburton Co. | 5,816 | 178,784 |
Oil, Gas & Consumable Fuels – 1.8% | ||
Cenovus Energy, Inc. | 16,141 | 234,785 |
Cheniere Energy, Inc. | 2,033 | 227,493 |
Denbury, Inc. (a) | 7,118 | 534,847 |
Devon Energy Corp. | 13,096 | 662,265 |
Diamondback Energy, Inc. | 8,388 | 1,058,230 |
EOG Resources, Inc. | 11,194 | 1,247,907 |
Hess Corp. | 16,384 | 1,512,079 |
Phillips 66 | 7,148 | 606,079 |
Pioneer Natural Resources Co. | 3,289 | 719,929 |
Range Resources Corp. (a) | 6,847 | 131,805 |
Valero Energy Corp. | 7,484 | 620,947 |
7,556,366 | ||
TOTAL ENERGY | 7,735,150 | |
FINANCIALS – 1.3% | ||
Banks – 0.6% | ||
Bank of America Corp. | 10,050 | 463,707 |
Silvergate Capital Corp. (a) | 3 | 323 |
Wells Fargo & Co. | 35,901 | 1,931,474 |
2,395,504 | ||
Capital Markets – 0.4% | ||
Coinbase Global, Inc. Class A (a) | 4 | 761 |
Goldman Sachs Group, Inc. | 1,994 | 707,232 |
Morgan Stanley | 8,475 | 869,026 |
| ||
Shares | Value | |
The Charles Schwab Corp. | 1,668 | $ 146,283 |
1,723,302 | ||
Consumer Finance – 0.3% | ||
American Express Co. | 3,925 | 705,794 |
LendingClub Corp. (a) | 32,428 | 608,349 |
1,314,143 | ||
TOTAL FINANCIALS | 5,432,949 | |
HEALTH CARE – 5.9% | ||
Biotechnology – 1.0% | ||
ADC Therapeutics S.A. (a) | 489 | 7,770 |
Alnylam Pharmaceuticals, Inc. (a) | 6,027 | 829,315 |
Arcutis Biotherapeutics, Inc. (a) | 1,709 | 25,823 |
Argenx SE ADR (a) | 1,003 | 270,068 |
Ascendis Pharma A/S ADR (a) | 1,855 | 225,642 |
Avidity Biosciences, Inc. (a) | 668 | 11,102 |
Cerevel Therapeutics Holdings, Inc. (a) | 8,044 | 209,466 |
Day One Biopharmaceuticals, Inc. (a) | 7,250 | 106,938 |
Generation Bio Co. (a) | 865 | 5,623 |
Horizon Therapeutics PLC (a) | 14,385 | 1,342,552 |
Instil Bio, Inc. (a) | 4,576 | 53,127 |
Moderna, Inc. (a) | 6 | 1,016 |
Recursion Pharmaceuticals, Inc. (a) | 6,125 | 72,520 |
Regeneron Pharmaceuticals, Inc. (a) | 550 | 334,725 |
Relay Therapeutics, Inc. (a) | 3,462 | 76,614 |
REVOLUTION Medicines, Inc. (a) | 3,589 | 77,235 |
TG Therapeutics, Inc. (a) | 1,181 | 13,664 |
Turning Point Therapeutics, Inc. (a) | 4,695 | 174,795 |
Twist Bioscience Corp. (a) | 196 | 11,646 |
Verve Therapeutics, Inc. (a) | 4,517 | 130,180 |
Xencor, Inc. (a) | 4,127 | 141,845 |
4,121,666 | ||
Health Care Equipment & Supplies – 2.3% | ||
Axonics, Inc. (a) | 7,776 | 368,816 |
Boston Scientific Corp. (a) | 7,678 | 329,386 |
Danaher Corp. | 5,253 | 1,501,255 |
DexCom, Inc. (a) | 5,593 | 2,407,675 |
Edwards Lifesciences Corp. (a) | 1,428 | 155,938 |
Figs, Inc. Class A (a) | 4,926 | 110,736 |
Inmode Ltd. (a) | 4,187 | 201,939 |
Insulet Corp. (a) | 2,602 | 645,296 |
Intuitive Surgical, Inc. (a) | 8,115 | 2,306,121 |
Outset Medical, Inc. (a) | 372 | 13,835 |
Shockwave Medical, Inc. (a) | 7,751 | 1,123,662 |
Tandem Diabetes Care, Inc. (a) | 6,377 | 753,187 |
9,917,846 | ||
Health Care Providers & Services – 0.5% | ||
agilon health, Inc. (a) | 7,858 | 130,285 |
Alignment Healthcare, Inc. (a) | 6,628 | 50,373 |
Centene Corp. (a) | 2,242 | 174,338 |
Semi-Annual Report | 14 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
Guardant Health, Inc. (a) | 8,148 | $ 566,693 |
Humana, Inc. | 2 | 785 |
LifeStance Health Group, Inc. (a) | 21,198 | 161,741 |
Surgery Partners, Inc. (a) | 3,928 | 167,608 |
UnitedHealth Group, Inc. | 2,424 | 1,145,510 |
2,397,333 | ||
Health Care Technology – 0.1% | ||
Certara, Inc. (a) | 3,055 | 81,660 |
Doximity, Inc. Class A (a) | 8,763 | 399,330 |
480,990 | ||
Life Sciences Tools & Services – 0.4% | ||
10X Genomics, Inc. Class A (a) | 3,103 | 298,726 |
Avantor, Inc. (a) | 13,901 | 518,924 |
Bio-Rad Laboratories, Inc. Class A (a) | 313 | 187,715 |
ICON PLC (a) | 644 | 171,124 |
Maravai LifeSciences Holdings, Inc. Class A (a) | 7,740 | 223,841 |
NanoString Technologies, Inc. (a) | 2,839 | 98,570 |
Olink Holding AB ADR (a) | 6,842 | 110,704 |
Seer, Inc. (a) | 635 | 9,989 |
Thermo Fisher Scientific, Inc. | 318 | 184,853 |
1,804,446 | ||
Pharmaceuticals – 1.6% | ||
Arvinas, Inc. (a) | 3 | 214 |
Eli Lilly & Co. | 11,774 | 2,889,222 |
Intra-Cellular Therapies, Inc. (a) | 7,228 | 343,258 |
Nuvation Bio, Inc. (a) | 23,102 | 140,922 |
Zoetis, Inc. | 16,922 | 3,380,846 |
6,754,462 | ||
TOTAL HEALTH CARE | 25,476,743 | |
INDUSTRIALS – 4.8% | ||
Aerospace & Defense – 0.2% | ||
Axon Enterprise, Inc. (a) | 4 | 560 |
Howmet Aerospace, Inc. | 11,129 | 346,001 |
The Boeing Co. (a) | 2,689 | 538,445 |
885,006 | ||
Airlines – 0.0% | ||
Ryanair Holdings PLC ADR (a) | 1,830 | 204,264 |
Building Products – 0.1% | ||
Builders FirstSource, Inc. (a) | 2,622 | 178,270 |
The AZEK Co., Inc. (a) | 3,792 | 125,249 |
303,519 | ||
Commercial Services & Supplies – 0.1% | ||
ACV Auctions, Inc. Class A (a) | 26,413 | 350,236 |
Li-Cycle Holdings Corp. (a) | 15,232 | 115,459 |
465,695 |
| ||
Shares | Value | |
Electrical Equipment – 0.4% | ||
Acuity Brands, Inc. | 6,259 | $ 1,198,786 |
Array Technologies, Inc. (a) | 20,828 | 219,527 |
Sunrun, Inc. (a) | 9,747 | 252,740 |
1,671,053 | ||
Industrial Conglomerates – 0.3% | ||
General Electric Co. | 15,518 | 1,466,141 |
Machinery – 0.2% | ||
Deere & Co. | 1,758 | 661,711 |
Proterra, Inc. (a) | 49 | 388 |
662,099 | ||
Professional Services – 0.0% | ||
KBR, Inc. | 4,477 | 194,302 |
Upwork, Inc. (a) | 26 | 707 |
195,009 | ||
Road & Rail – 3.5% | ||
Avis Budget Group, Inc. (a) | 4,161 | 733,085 |
Bird Global, Inc. (a) | 103,534 | 365,475 |
Hertz Global Holdings, Inc. (a) | 20,154 | 388,166 |
Lyft, Inc. Class A (a) | 167,659 | 6,458,225 |
TuSimple Holdings, Inc. (a) | 22 | 413 |
Uber Technologies, Inc. (a) | 189,803 | 7,098,632 |
15,043,996 | ||
TOTAL INDUSTRIALS | 20,896,782 | |
INFORMATION TECHNOLOGY – 41.3% | ||
Communications Equipment – 0.2% | ||
Arista Networks, Inc. (a) | 7,397 | 919,521 |
IT Services – 3.4% | ||
Affirm Holdings, Inc. (a) | 4 | 256 |
DigitalOcean Holdings, Inc. (a) | 19,694 | 1,129,254 |
Endava PLC ADR (a) | 2,491 | 302,955 |
Flywire Corp. (a) | 11,436 | 322,381 |
Globant S.A. (a) | 743 | 189,599 |
Mastercard, Inc. Class A | 2,473 | 955,518 |
MongoDB, Inc. (a) | 1,905 | 771,735 |
Okta, Inc. (a) | 3,304 | 653,829 |
PayPal Holdings, Inc. (a) | 23,220 | 3,992,447 |
Shift4 Payments, Inc. (a) | 7,014 | 369,778 |
Shopify, Inc. Class A (a) | 1,821 | 1,757,681 |
Snowflake, Inc. Class A (a) | 486 | 134,087 |
Square, Inc. Class A (a) | 11,808 | 1,444,000 |
TaskUS, Inc. Class A (a) | 6,478 | 207,296 |
TDCX, Inc. (a) | 5,673 | 92,980 |
Thoughtworks Holding, Inc. (a) | 1,698 | 36,371 |
Twilio, Inc. Class A (a) | 8,590 | 1,770,571 |
Visa, Inc. Class A | 956 | 216,218 |
14,346,956 | ||
Semiconductors & Semiconductor Equipment – 12.7% | ||
Advanced Micro Devices, Inc. (a) | 4,649 | 531,148 |
15 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Semiconductors & Semiconductor Equipment – continued | ||
ASML Holding N.V. | 870 | $ 589,164 |
Cirrus Logic, Inc. (a) | 6,736 | 602,468 |
Enphase Energy, Inc. (a) | 1 | 140 |
GLOBALFOUNDRIES, Inc. (a) | 20,827 | 1,027,604 |
Lam Research Corp. | 419 | 247,177 |
Marvell Technology, Inc. | 204,460 | 14,598,444 |
Microchip Technology, Inc. | 3,047 | 236,082 |
NVIDIA Corp. | 103,911 | 25,443,647 |
NXP Semiconductors N.V. | 31,230 | 6,415,891 |
ON Semiconductor Corp. (a) | 14,843 | 875,737 |
QUALCOMM, Inc. | 5,696 | 1,001,129 |
Synaptics, Inc. (a) | 1,451 | 305,218 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 6,089 | 746,694 |
Teradyne, Inc. | 11,046 | 1,297,132 |
Wolfspeed, Inc. (a) | 2,103 | 198,187 |
Xilinx, Inc. | 2,696 | 521,811 |
54,637,673 | ||
Software – 13.8% | ||
Adobe, Inc. (a) | 9,613 | 5,136,226 |
Amplitude, Inc. (a) | 7,814 | 307,168 |
AppLovin Corp. (a) | 7,744 | 498,869 |
Atlassian Corp. PLC Class A (a) | 2,253 | 730,738 |
Bill.com Holdings, Inc. (a) | 2 | 376 |
Cadence Design Systems, Inc. (a) | 3,681 | 560,027 |
Confluent, Inc. Class A (a) | 3,461 | 226,315 |
Coupa Software, Inc. (a) | 3,901 | 523,787 |
Crowdstrike Holdings, Inc. Class A (a) | 3,123 | 564,139 |
Datadog, Inc. Class A (a) | 1,171 | 171,095 |
DocuSign, Inc. (a) | 14 | 1,761 |
DoubleVerify Holdings, Inc. (a) | 25,473 | 704,583 |
EngageSmart, Inc. (a) | 16,246 | 355,138 |
Expensify, Inc. (a) | 5,719 | 167,281 |
Freshworks, Inc. (a) | 6,448 | 140,244 |
Gitlab, Inc. (a) | 2,766 | 177,052 |
HashiCorp, Inc. (a) | 637 | 42,290 |
HubSpot, Inc. (a) | 3,383 | 1,653,610 |
Intuit, Inc. | 3,213 | 1,783,954 |
Microsoft Corp. | 106,178 | 33,019,234 |
Qualtrics International, Inc. (a) | 12,109 | 354,430 |
Riskified Ltd. (a) | 11,992 | 83,584 |
Salesforce.com, Inc. (a) | 31,238 | 7,266,896 |
Samsara, Inc. (a) | 2,965 | 53,667 |
SentinelOne, Inc. Class A (a) | 5,457 | 244,201 |
ServiceNow, Inc. (a) | 1,816 | 1,063,777 |
The Trade Desk, Inc. Class A (a) | 7,544 | 524,610 |
UiPath, Inc. (a) | 14,778 | 539,840 |
Workday, Inc. Class A (a) | 2,984 | 754,982 |
| ||
Shares | Value | |
Zoom Video Communications, Inc. Class A (a) | 11,525 | $ 1,778,077 |
59,427,951 | ||
Technology Hardware, Storage & Peripherals – 11.2% | ||
Apple, Inc. | 276,305 | 48,292,588 |
TOTAL INFORMATION TECHNOLOGY | 177,624,689 | |
MATERIALS – 1.0% | ||
Chemicals – 0.6% | ||
CF Industries Holdings, Inc. | 7,523 | 518,109 |
Corteva, Inc. | 3,931 | 189,002 |
Nutrien Ltd. | 15,842 | 1,106,441 |
Olin Corp. | 7 | 355 |
The Chemours Co. | 18 | 589 |
The Mosaic Co. | 23,621 | 943,659 |
2,758,155 | ||
Metals & Mining – 0.4% | ||
Freeport-McMoRan, Inc. | 43,132 | 1,605,373 |
Gatos Silver, Inc. (a) | 29 | 90 |
1,605,463 | ||
TOTAL MATERIALS | 4,363,618 | |
REAL ESTATE – 0.3% | ||
Equity Real Estate Investment Trusts (REITs) – 0.1% | ||
Simon Property Group, Inc. | 3,578 | 526,681 |
Real Estate Management & Development – 0.2% | ||
Opendoor Technologies, Inc. (a) | 28 | 278 |
WeWork, Inc. (a) | 89,758 | 666,902 |
667,180 | ||
TOTAL REAL ESTATE | 1,193,861 | |
UTILITIES – 0.0% | ||
Independent Power and Renewable Electricity Producers – 0.0% | ||
Brookfield Renewable Corp. | 8 | 274 |
TOTAL COMMON STOCKS (Cost $409,091,364) | 427,226,125 | |
Money Market Fund – 0.7% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,856,955) | 2,856,955 | 2,856,955 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $411,948,319) | 430,083,080 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (5,277) | |
NET ASSETS – 100.0% | $ 430,077,803 |
Semi-Annual Report | 16 |
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 | $ 64,714,594 | $ 64,714,594 | $ — | $ — | ||||
Consumer Discretionary | 117,382,078 | 117,382,078 | — | — | ||||
Consumer Staples | 2,405,387 | 2,405,387 | — | — | ||||
Energy | 7,735,150 | 7,735,150 | — | — | ||||
Financials | 5,432,949 | 5,432,949 | — | — | ||||
Health Care | 25,476,743 | 25,476,743 | — | — | ||||
Industrials | 20,896,782 | 20,896,782 | — | — | ||||
Information Technology | 177,624,689 | 177,624,689 | — | — | ||||
Materials | 4,363,618 | 4,363,618 | — | — | ||||
Real Estate | 1,193,861 | 1,193,861 | — | — | ||||
Utilities | 274 | 274 | — | — | ||||
Money Market Fund | 2,856,955 | 2,856,955 | — | — | ||||
Total Investments in Securities: | $ 430,083,080 | $ 430,083,080 | $ — | $ — |
17 | Semi-Annual Report |
Common Stocks – 98.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.0% | ||
Diversified Telecommunication Services – 1.7% | ||
Verizon Communications, Inc. | 34,224 | $ 1,821,743 |
Interactive Media & Services – 3.1% | ||
Alphabet, Inc. Class A (a) | 1,025 | 2,773,722 |
Facebook, Inc. Class A (a) | 1,600 | 501,216 |
3,274,938 | ||
Media – 5.2% | ||
Comcast Corp. Class A | 67,100 | 3,354,329 |
The Interpublic Group of Cos., Inc. | 42,156 | 1,498,224 |
WPP PLC ADR | 9,252 | 720,824 |
5,573,377 | ||
TOTAL COMMUNICATION SERVICES | 10,670,058 | |
CONSUMER DISCRETIONARY – 3.9% | ||
Household Durables – 0.8% | ||
Whirlpool Corp. | 4,238 | 890,785 |
Internet & Direct Marketing Retail – 0.7% | ||
eBay, Inc. | 11,447 | 687,621 |
Multiline Retail – 1.3% | ||
Dollar General Corp. | 6,760 | 1,409,325 |
Textiles, Apparel & Luxury Goods – 1.1% | ||
PVH Corp. | 5,004 | 475,430 |
Tapestry, Inc. | 18,223 | 691,563 |
1,166,993 | ||
TOTAL CONSUMER DISCRETIONARY | 4,154,724 | |
CONSUMER STAPLES – 7.7% | ||
Food & Staples Retailing – 0.8% | ||
US Foods Holding Corp. (a) | 22,697 | 800,296 |
Food Products – 2.8% | ||
Mondelez International, Inc. Class A | 32,412 | 2,172,576 |
Tyson Foods, Inc. Class A | 9,010 | 818,919 |
2,991,495 | ||
Household Products – 3.9% | ||
Spectrum Brands Holdings, Inc. | 6,190 | 553,262 |
The Clorox Co. | 3,333 | 559,478 |
The Procter & Gamble Co. | 18,943 | 3,039,404 |
4,152,144 | ||
Personal Products – 0.2% | ||
Unilever PLC ADR | 5,114 | 262,809 |
TOTAL CONSUMER STAPLES | 8,206,744 | |
ENERGY – 3.5% | ||
Oil, Gas & Consumable Fuels – 3.5% | ||
Exxon Mobil Corp. | 48,459 | 3,680,946 |
| ||
Shares | Value | |
FINANCIALS – 22.0% | ||
Banks – 10.0% | ||
Bank of America Corp. | 72,164 | $ 3,329,647 |
Cullen/Frost Bankers, Inc. | 2,669 | 376,356 |
JPMorgan Chase & Co. | 18,347 | 2,726,364 |
M&T Bank Corp. | 8,441 | 1,429,737 |
The PNC Financial Services Group, Inc. | 8,385 | 1,727,226 |
Wells Fargo & Co. | 20,633 | 1,110,055 |
10,699,385 | ||
Capital Markets – 2.6% | ||
Affiliated Managers Group, Inc. | 5,328 | 779,007 |
BlackRock, Inc. | 995 | 818,825 |
Invesco Ltd. | 13,481 | 305,480 |
Northern Trust Corp. | 7,635 | 890,546 |
2,793,858 | ||
Diversified Financial Services – 4.9% | ||
Berkshire Hathaway, Inc. Class B (a) | 16,621 | 5,202,705 |
Insurance – 4.5% | ||
Chubb Ltd. | 7,976 | 1,573,505 |
The Travelers Cos., Inc. | 10,953 | 1,820,170 |
Willis Towers Watson PLC | 6,070 | 1,420,137 |
4,813,812 | ||
TOTAL FINANCIALS | 23,509,760 | |
HEALTH CARE – 19.3% | ||
Biotechnology – 2.3% | ||
Regeneron Pharmaceuticals, Inc. (a) | 2,065 | 1,256,738 |
Vertex Pharmaceuticals, Inc. (a) | 5,136 | 1,248,305 |
2,505,043 | ||
Health Care Providers & Services – 12.1% | ||
Anthem, Inc. | 3,630 | 1,600,794 |
Centene Corp. (a) | 35,873 | 2,789,484 |
Cigna Corp. | 11,969 | 2,758,376 |
CVS Health Corp. | 11,410 | 1,215,279 |
Humana, Inc. | 3,194 | 1,253,645 |
UnitedHealth Group, Inc. | 6,851 | 3,237,577 |
12,855,155 | ||
Pharmaceuticals – 4.9% | ||
AstraZeneca PLC ADR | 24,622 | 1,433,247 |
Bristol-Myers Squibb Co. | 23,241 | 1,508,108 |
Sanofi ADR | 44,273 | 2,302,196 |
5,243,551 | ||
TOTAL HEALTH CARE | 20,603,749 | |
INDUSTRIALS – 8.6% | ||
Aerospace & Defense – 3.4% | ||
L3Harris Technologies, Inc. | 4,637 | 970,478 |
Lockheed Martin Corp. | 2,376 | 924,573 |
Northrop Grumman Corp. | 4,566 | 1,688,963 |
3,584,014 |
Semi-Annual Report | 18 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Electrical Equipment – 0.8% | ||
Regal Rexnord Corp. | 5,046 | $ 799,690 |
Machinery – 4.4% | ||
ITT, Inc. | 10,101 | 928,484 |
Oshkosh Corp. | 12,605 | 1,434,575 |
Otis Worldwide Corp. | 9,680 | 826,962 |
Pentair PLC | 15,028 | 957,284 |
Stanley Black & Decker, Inc. | 3,402 | 594,159 |
4,741,464 | ||
TOTAL INDUSTRIALS | 9,125,168 | |
INFORMATION TECHNOLOGY – 8.1% | ||
Communications Equipment – 1.9% | ||
Cisco Systems, Inc. | 36,256 | 2,018,372 |
Electronic Equipment, Instruments & Components – 1.5% | ||
TE Connectivity Ltd. | 11,151 | 1,594,704 |
IT Services – 3.1% | ||
Amdocs Ltd. | 12,555 | 952,799 |
Cognizant Technology Solutions Corp. Class A | 15,483 | 1,322,558 |
Fiserv, Inc. (a) | 7,366 | 778,586 |
Maximus, Inc. | 3,154 | 243,867 |
3,297,810 | ||
Semiconductors & Semiconductor Equipment – 0.7% | ||
NXP Semiconductors N.V. | 3,797 | 780,056 |
Software – 0.9% | ||
NortonLifelock, Inc. | 35,654 | 927,361 |
TOTAL INFORMATION TECHNOLOGY | 8,618,303 | |
MATERIALS – 3.1% | ||
Chemicals – 2.0% | ||
DuPont de Nemours, Inc. | 18,662 | 1,429,509 |
International Flavors & Fragrances, Inc. | 5,397 | 711,972 |
2,141,481 | ||
Metals & Mining – 1.1% | ||
Newmont Corp. | 19,340 | 1,183,028 |
TOTAL MATERIALS | 3,324,509 |
| ||
Shares | Value | |
REAL ESTATE – 1.0% | ||
Real Estate Management & Development – 1.0% | ||
CBRE Group, Inc. Class A (a) | 10,785 | $ 1,092,952 |
UTILITIES – 11.4% | ||
Electric Utilities – 9.7% | ||
Duke Energy Corp. | 12,337 | 1,296,125 |
Entergy Corp. | 4,557 | 509,336 |
Evergy, Inc. | 18,866 | 1,225,535 |
Exelon Corp. | 36,228 | 2,099,413 |
PG&E Corp. (a) | 131,365 | 1,680,158 |
Portland General Electric Co. | 13,917 | 731,199 |
PPL Corp. | 30,111 | 893,695 |
The Southern Co. | 27,607 | 1,918,410 |
10,353,871 | ||
Multi-Utilities – 1.7% | ||
Dominion Energy, Inc. | 21,916 | 1,767,745 |
TOTAL UTILITIES | 12,121,616 | |
TOTAL COMMON STOCKS (Cost $91,998,291) | 105,108,529 | |
Money Market Fund – 1.4% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $1,499,000) | 1,499,000 | 1,499,000 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $93,497,291) | 106,607,529 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 2,758 | |
NET ASSETS – 100.0% | $ 106,610,287 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
19 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 10,670,058 | $ 10,670,058 | $ — | $ — | ||||
Consumer Discretionary | 4,154,724 | 4,154,724 | — | — | ||||
Consumer Staples | 8,206,744 | 8,206,744 | — | — | ||||
Energy | 3,680,946 | 3,680,946 | — | — | ||||
Financials | 23,509,760 | 23,509,760 | — | — | ||||
Health Care | 20,603,749 | 20,603,749 | — | — | ||||
Industrials | 9,125,168 | 9,125,168 | — | — | ||||
Information Technology | 8,618,303 | 8,618,303 | — | — | ||||
Materials | 3,324,509 | 3,324,509 | — | — | ||||
Real Estate | 1,092,952 | 1,092,952 | — | — | ||||
Utilities | 12,121,616 | 12,121,616 | — | — | ||||
Money Market Fund | 1,499,000 | 1,499,000 | — | — | ||||
Total Investments in Securities: | $ 106,607,529 | $ 106,607,529 | $ — | $ — |
United States of America | 88.4% |
Switzerland | 3.0% |
United Kingdom | 2.3% |
Ireland | 2.2% |
France | 2.2% |
Others (Individually Less Than 1%) | 1.9% |
100.0% |
Semi-Annual Report | 20 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 22.5% | ||
Entertainment – 5.1% | ||
Netflix, Inc. (a) | 524 | $ 223,821 |
Roku, Inc. (a) | 8,169 | 1,340,125 |
Sea Ltd. ADR (a) | 8,503 | 1,278,086 |
2,842,032 | ||
Interactive Media & Services – 14.2% | ||
Alphabet, Inc. Class A (a) | 615 | 1,664,233 |
Alphabet, Inc. Class C (a) | 1,317 | 3,574,299 |
Facebook, Inc. Class A (a) | 5,647 | 1,768,979 |
NerdWallet, Inc. (a) | 834 | 12,618 |
Snap, Inc. Class A (a) | 10,349 | 336,757 |
ZoomInfo Technologies, Inc. Class A (a) | 11,199 | 591,979 |
7,948,865 | ||
Media – 0.9% | ||
Magnite, Inc. (a) | 21,413 | 290,574 |
TechTarget, Inc. (a) | 2,825 | 234,306 |
524,880 | ||
Wireless Telecommunication Services – 2.3% | ||
T-Mobile US, Inc. (a) | 12,137 | 1,312,859 |
TOTAL COMMUNICATION SERVICES | 12,628,636 | |
CONSUMER DISCRETIONARY – 16.2% | ||
Automobiles – 2.3% | ||
Rivian Automotive, Inc. (a) | 4,743 | 311,805 |
Tesla, Inc. (a) | 1,065 | 997,607 |
1,309,412 | ||
Hotels, Restaurants & Leisure – 0.7% | ||
Airbnb, Inc. Class A (a) | 2,128 | 327,648 |
Sweetgreen, Inc. (a) | 1,992 | 60,258 |
387,906 | ||
Household Durables – 0.1% | ||
Purple Innovation, Inc. (a) | 4,699 | 39,096 |
Internet & Direct Marketing Retail – 8.9% | ||
Amazon.com, Inc. (a) | 1,325 | 3,963,698 |
Cazoo Group Ltd. (a) | 12,266 | 58,141 |
Chewy, Inc. Class A (a) | 6,891 | 328,080 |
DoorDash, Inc. Class A (a) | 1,184 | 134,372 |
Global-e Online Ltd. (a) | 13,693 | 488,977 |
Porch Group, Inc. (a) | 4,630 | 48,846 |
The Original BARK Co. (a) | 1,997 | 7,529 |
5,029,643 | ||
Leisure Products – 0.1% | ||
Peloton Interactive, Inc. Class A (a) | 2,696 | 73,682 |
Specialty Retail – 3.7% | ||
Academy Sports & Outdoors, Inc. (a) | 1,555 | 60,489 |
American Eagle Outfitters, Inc. | 284 | 6,484 |
Carvana Co. (a) | 10,501 | 1,701,792 |
Dick's Sporting Goods, Inc. | 2,792 | 322,197 |
| ||
Shares | Value | |
Shift Technologies, Inc. (a) | 67 | $ 153 |
2,091,115 | ||
Textiles, Apparel & Luxury Goods – 0.4% | ||
Capri Holdings Ltd. (a) | 1,233 | 74,066 |
Lululemon Athletica, Inc. (a) | 95 | 31,707 |
Tapestry, Inc. | 2,504 | 95,027 |
200,800 | ||
TOTAL CONSUMER DISCRETIONARY | 9,131,654 | |
CONSUMER STAPLES – 0.6% | ||
Beverages – 0.1% | ||
The Boston Beer Co., Inc. Class A (a) | 134 | 56,391 |
Food & Staples Retailing – 0.4% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 3,908 | 240,225 |
Food Products – 0.1% | ||
Local Bounti Corp. (a) | 5,205 | 24,568 |
TOTAL CONSUMER STAPLES | 321,184 | |
ENERGY – 1.4% | ||
Oil, Gas & Consumable Fuels – 1.4% | ||
Canadian Natural Resources Ltd. | 7,470 | 379,979 |
Cenovus Energy, Inc. | 6,262 | 91,086 |
Hess Corp. | 3,532 | 325,968 |
TOTAL ENERGY | 797,033 | |
FINANCIALS – 2.0% | ||
Banks – 1.0% | ||
Wells Fargo & Co. | 10,806 | 581,363 |
Capital Markets – 0.5% | ||
Coinbase Global, Inc. Class A (a) | 1,341 | 254,991 |
Consumer Finance – 0.5% | ||
Capital One Financial Corp. | 1,072 | 157,294 |
LendingTree, Inc. (a) | 996 | 121,353 |
278,647 | ||
TOTAL FINANCIALS | 1,115,001 | |
HEALTH CARE – 8.5% | ||
Biotechnology – 2.2% | ||
Agios Pharmaceuticals, Inc. (a) | 3,074 | 94,956 |
Alnylam Pharmaceuticals, Inc. (a) | 1,632 | 224,563 |
ALX Oncology Holdings, Inc. (a) | 1,542 | 24,672 |
Argenx SE ADR (a) | 377 | 101,511 |
Ascendis Pharma A/S ADR (a) | 80 | 9,731 |
Aurinia Pharmaceuticals, Inc. (a) | 4,151 | 69,156 |
Celldex Therapeutics, Inc. (a) | 1,663 | 51,570 |
Cytokinetics, Inc. (a) | 1,676 | 55,626 |
Erasca, Inc. (a) | 4,246 | 50,315 |
Exelixis, Inc. (a) | 3,546 | 64,183 |
Icosavax, Inc. (a) | 861 | 13,139 |
21 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Imago Biosciences, Inc. (a) | 2,053 | $ 41,512 |
Instil Bio, Inc. (a) | 3,243 | 37,651 |
Keros Therapeutics, Inc. (a) | 949 | 44,005 |
Mirati Therapeutics, Inc. (a) | 595 | 70,983 |
Monte Rosa Therapeutics, Inc. (a) | 461 | 5,836 |
Nuvalent, Inc. (a) | 1,168 | 15,756 |
Prelude Therapeutics, Inc. (a) | 1,055 | 10,476 |
Protagonist Therapeutics, Inc. (a) | 1,831 | 53,630 |
Relay Therapeutics, Inc. (a) | 2,250 | 49,793 |
Tenaya Therapeutics, Inc. (a) | 1,688 | 20,121 |
TG Therapeutics, Inc. (a) | 2,390 | 27,652 |
Vaxcyte, Inc. (a) | 1,575 | 29,988 |
Zentalis Pharmaceuticals, Inc. (a) | 1,300 | 74,204 |
1,241,029 | ||
Health Care Equipment & Supplies – 2.0% | ||
Boston Scientific Corp. (a) | 13,424 | 575,890 |
Danaher Corp. | 638 | 182,334 |
DexCom, Inc. (a) | 363 | 156,264 |
Figs, Inc. Class A (a) | 1,274 | 28,640 |
Insulet Corp. (a) | 277 | 68,696 |
Penumbra, Inc. (a) | 411 | 92,890 |
TransMedics Group, Inc. (a) | 2,714 | 43,071 |
1,147,785 | ||
Health Care Providers & Services – 4.0% | ||
agilon health, Inc. (a) | 18,370 | 304,575 |
Alignment Healthcare, Inc. (a) | 1,407 | 10,693 |
Cano Health, Inc. (a) | 3,150 | 18,207 |
CareMax, Inc. (a) | 5,087 | 31,539 |
Centene Corp. (a) | 5,795 | 450,619 |
Humana, Inc. | 1,280 | 502,400 |
LifeStance Health Group, Inc. (a) | 39,942 | 304,758 |
Oak Street Health, Inc. (a) | 19,917 | 346,158 |
Surgery Partners, Inc. (a) | 814 | 34,733 |
UnitedHealth Group, Inc. | 465 | 219,745 |
2,223,427 | ||
Health Care Technology – 0.1% | ||
GoodRx Holdings, Inc. Class A (a) | 1,643 | 39,448 |
Life Sciences Tools & Services – 0.0% | ||
Olink Holding AB ADR (a) | 777 | 12,572 |
Pharmaceuticals – 0.2% | ||
Arvinas, Inc. (a) | 930 | 66,486 |
IMARA, Inc. (a) | 2,873 | 3,993 |
Terns Pharmaceuticals, Inc. (a) | 2,595 | 16,271 |
86,750 | ||
TOTAL HEALTH CARE | 4,751,011 |
| ||
Shares | Value | |
INDUSTRIALS – 3.3% | ||
Building Products – 0.2% | ||
The AZEK Co., Inc. (a) | 2,758 | $ 91,097 |
Electrical Equipment – 0.0% | ||
FREYR Battery S.A. (a) | 3,350 | 30,418 |
Marine – 0.1% | ||
Golden Ocean Group Ltd. | 7,871 | 71,232 |
Road & Rail – 3.0% | ||
Lyft, Inc. Class A (a) | 12,496 | 481,346 |
Uber Technologies, Inc. (a) | 31,807 | 1,189,582 |
1,670,928 | ||
TOTAL INDUSTRIALS | 1,863,675 | |
INFORMATION TECHNOLOGY – 43.2% | ||
Electronic Equipment, Instruments & Components – 1.1% | ||
Flex Ltd. (a) | 18,653 | 301,806 |
Jabil, Inc. | 4,669 | 287,097 |
TE Connectivity Ltd. | 214 | 30,604 |
619,507 | ||
IT Services – 9.7% | ||
Cognizant Technology Solutions Corp. Class A | 2,083 | 177,930 |
Dlocal Ltd. (a) | 8,905 | 266,438 |
EPAM Systems, Inc. (a) | 171 | 81,420 |
Flywire Corp. (a) | 2,369 | 66,782 |
Global Payments, Inc. | 2,323 | 348,171 |
GoDaddy, Inc. Class A (a) | 8,286 | 627,333 |
Marqeta, Inc. Class A (a) | 4,426 | 52,227 |
Mastercard, Inc. Class A | 1,487 | 574,547 |
MongoDB, Inc. (a) | 845 | 342,318 |
Nuvei Corp. (a)(b) | 2,225 | 135,602 |
Nuvei Corp. (a)(b) | 5,993 | 365,573 |
Payoneer Global, Inc. (a) | 2,964 | 15,472 |
Repay Holding Corp. (a) | 9,446 | 168,989 |
Shift4 Payments, Inc. (a) | 3,136 | 165,330 |
Snowflake, Inc. Class A (a) | 268 | 73,941 |
Square, Inc. Class A (a) | 2,595 | 317,342 |
TaskUS, Inc. Class A (a) | 2,406 | 76,992 |
TDCX, Inc. (a) | 5,213 | 85,441 |
Thoughtworks Holding, Inc. (a) | 2,778 | 59,505 |
Twilio, Inc. Class A (a) | 1,528 | 314,951 |
Visa, Inc. Class A | 1,986 | 449,174 |
Wix.com Ltd. (a) | 5,135 | 674,585 |
5,440,063 | ||
Semiconductors & Semiconductor Equipment – 10.6% | ||
Applied Materials, Inc. | 3,942 | 544,706 |
Cirrus Logic, Inc. (a) | 63 | 5,635 |
GLOBALFOUNDRIES, Inc. (a) | 9,968 | 491,821 |
Lam Research Corp. | 684 | 403,505 |
Marvell Technology, Inc. | 6,055 | 432,327 |
Semi-Annual Report | 22 |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Semiconductors & Semiconductor Equipment – continued | ||
Micron Technology, Inc. | 7,177 | $ 590,452 |
NVIDIA Corp. | 9,193 | 2,250,998 |
NXP Semiconductors N.V. | 3,257 | 669,118 |
ON Semiconductor Corp. (a) | 8,106 | 478,254 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 788 | 96,632 |
5,963,448 | ||
Software – 19.3% | ||
Adobe, Inc. (a) | 803 | 429,043 |
Alkami Technology, Inc. (a) | 2,505 | 38,427 |
Anaplan, Inc. (a) | 5,623 | 271,478 |
BTRS Holdings, Inc. (a) | 7,428 | 47,539 |
Ceridian HCM Holding, Inc. (a) | 2,472 | 187,427 |
Confluent, Inc. Class A (a) | 2,171 | 141,962 |
DoubleVerify Holdings, Inc. (a) | 9,889 | 273,530 |
Dynatrace, Inc. (a) | 11,162 | 612,347 |
Elastic N.V. (a) | 1,184 | 110,408 |
EngageSmart, Inc. (a) | 3,387 | 74,040 |
Freshworks, Inc. (a) | 297 | 6,460 |
Gitlab, Inc. (a) | 736 | 47,111 |
HashiCorp, Inc. (a) | 2,148 | 142,606 |
HubSpot, Inc. (a) | 794 | 388,107 |
Intapp, Inc. (a) | 8,888 | 178,826 |
Intuit, Inc. | 825 | 458,065 |
Lightspeed Commerce, Inc. (a) | 6,460 | 209,684 |
Microsoft Corp. | 16,166 | 5,027,303 |
Monday.com Ltd. (a) | 428 | 89,589 |
Riskified Ltd. (a) | 3,746 | 26,110 |
Salesforce.com, Inc. (a) | 4,732 | 1,100,805 |
Samsara, Inc. (a) | 3,076 | 55,675 |
SentinelOne, Inc. Class A (a) | 479 | 21,435 |
ServiceNow, Inc. (a) | 560 | 328,037 |
Synopsys, Inc. (a) | 118 | 36,639 |
The Trade Desk, Inc. Class A (a) | 3,978 | 276,630 |
UiPath, Inc. (a) | 3,177 | 116,056 |
| ||
Shares | Value | |
Viant Technology, Inc. Class A (a) | 3,302 | $ 26,383 |
Workday, Inc. Class A (a) | 425 | 107,529 |
10,829,251 | ||
Technology Hardware, Storage & Peripherals – 2.5% | ||
Apple, Inc. | 8,051 | 1,407,154 |
TOTAL INFORMATION TECHNOLOGY | 24,259,423 | |
MATERIALS – 1.9% | ||
Metals & Mining – 1.9% | ||
Freeport-McMoRan, Inc. | 29,200 | 1,086,824 |
REAL ESTATE – 0.2% | ||
Real Estate Management & Development – 0.2% | ||
WeWork, Inc. (a) | 12,805 | 95,141 |
TOTAL COMMON STOCKS (Cost $60,963,965) | 56,049,582 | |
Money Market Fund – 0.3% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (c) (Cost $169,272) | 169,272 | 169,272 |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $61,133,237) | 56,218,854 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (37,215) | |
NET ASSETS – 100.0% | $ 56,181,639 |
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 $501,175 or 0.9% of net assets. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
23 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 12,628,636 | $ 12,628,636 | $ — | $ — | ||||
Consumer Discretionary | 9,131,654 | 9,131,654 | — | — | ||||
Consumer Staples | 321,184 | 321,184 | — | — | ||||
Energy | 797,033 | 797,033 | — | — | ||||
Financials | 1,115,001 | 1,115,001 | — | — | ||||
Health Care | 4,751,011 | 4,751,011 | — | — | ||||
Industrials | 1,863,675 | 1,863,675 | — | — | ||||
Information Technology | 24,259,423 | 24,259,423 | — | — | ||||
Materials | 1,086,824 | 1,086,824 | — | — | ||||
Real Estate | 95,141 | 95,141 | — | — | ||||
Money Market Fund | 169,272 | 169,272 | — | — | ||||
Total Investments in Securities: | $ 56,218,854 | $ 56,218,854 | $ — | $ — |
United States of America | 90.1% |
Singapore | 3.0% |
Israel | 2.3% |
Canada | 2.2% |
Netherlands | 1.4% |
Others (Individually Less Than 1%) | 1.1% |
100.1% |
Semi-Annual Report | 24 |
Common Stocks – 98.0% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.5% | ||
Entertainment – 0.0% | ||
Netflix, Inc. (a) | 13 | $5,553 |
ROBLOX Corp. (a) | 24 | 1,581 |
7,134 | ||
Interactive Media & Services – 8.5% | ||
Alphabet, Inc. Class A (a) | 510 | 1,380,096 |
Alphabet, Inc. Class C (a) | 497 | 1,348,843 |
Facebook, Inc. Class A (a) | 5,100 | 1,597,626 |
4,326,565 | ||
Media – 0.0% | ||
Charter Communications, Inc. Class A (a) | 13 | 7,713 |
TOTAL COMMUNICATION SERVICES | 4,341,412 | |
CONSUMER DISCRETIONARY – 10.3% | ||
Hotels, Restaurants & Leisure – 2.2% | ||
Domino's Pizza, Inc. | 1,164 | 529,213 |
Hilton Worldwide Holdings, Inc. (a) | 4,031 | 584,938 |
1,114,151 | ||
Internet & Direct Marketing Retail – 4.6% | ||
Amazon.com, Inc. (a) | 777 | 2,324,372 |
Multiline Retail – 0.0% | ||
Dollar General Corp. | 118 | 24,601 |
Specialty Retail – 2.0% | ||
The Home Depot, Inc. | 2,800 | 1,027,544 |
Textiles, Apparel & Luxury Goods – 1.5% | ||
NIKE, Inc. Class B | 5,129 | 759,451 |
TOTAL CONSUMER DISCRETIONARY | 5,250,119 | |
CONSUMER STAPLES – 2.8% | ||
Food & Staples Retailing – 1.6% | ||
Costco Wholesale Corp. | 1,624 | 820,331 |
Personal Products – 1.2% | ||
The Estee Lauder Cos., Inc. Class A | 1,955 | 609,550 |
TOTAL CONSUMER STAPLES | 1,429,881 | |
FINANCIALS – 7.2% | ||
Capital Markets – 4.8% | ||
BlackRock, Inc. | 805 | 662,467 |
Coinbase Global, Inc. Class A (a) | 10 | 1,901 |
Moody's Corp. | 1,691 | 580,013 |
MSCI, Inc. | 1,074 | 575,793 |
S&P Global, Inc. | 1,508 | 626,152 |
T Rowe Price Group, Inc. | 3 | 463 |
2,446,789 | ||
Insurance – 2.4% | ||
Arthur J Gallagher & Co. | 3,578 | 565,109 |
| ||
Shares | Value | |
Marsh & McLennan Cos., Inc. | 4,064 | $ 624,393 |
1,189,502 | ||
TOTAL FINANCIALS | 3,636,291 | |
HEALTH CARE – 12.6% | ||
Health Care Equipment & Supplies – 3.9% | ||
Danaher Corp. | 2,678 | 765,346 |
IDEXX Laboratories, Inc. (a) | 1,141 | 578,829 |
Intuitive Surgical, Inc. (a) | 2,219 | 630,595 |
1,974,770 | ||
Health Care Providers & Services – 2.3% | ||
UnitedHealth Group, Inc. | 2,454 | 1,159,687 |
Health Care Technology – 1.0% | ||
Veeva Systems, Inc. Class A (a) | 2,247 | 531,505 |
Life Sciences Tools & Services – 2.7% | ||
IQVIA Holdings, Inc. (a) | 2,323 | 568,903 |
Thermo Fisher Scientific, Inc. | 1,344 | 781,267 |
1,350,170 | ||
Pharmaceuticals – 2.7% | ||
Eli Lilly & Co. | 3,078 | 755,310 |
Zoetis, Inc. | 3,112 | 621,747 |
1,377,057 | ||
TOTAL HEALTH CARE | 6,393,189 | |
INDUSTRIALS – 8.5% | ||
Aerospace & Defense – 1.0% | ||
HEICO Corp. Class A | 4,517 | 495,515 |
Commercial Services & Supplies – 1.1% | ||
Cintas Corp. | 1,368 | 535,613 |
Electrical Equipment – 1.1% | ||
AMETEK, Inc. | 4,040 | 552,551 |
Industrial Conglomerates – 1.0% | ||
Roper Technologies, Inc. | 1,225 | 535,521 |
Professional Services – 4.3% | ||
Equifax, Inc. | 2,319 | 556,003 |
IHS Markit Ltd. | 4,837 | 564,913 |
TransUnion | 5,025 | 518,178 |
Verisk Analytics, Inc. | 2,722 | 533,866 |
2,172,960 | ||
TOTAL INDUSTRIALS | 4,292,160 | |
INFORMATION TECHNOLOGY – 42.6% | ||
Electronic Equipment, Instruments & Components – 2.2% | ||
Amphenol Corp. Class A | 7,328 | 583,236 |
Teledyne Technologies, Inc. (a) | 1,261 | 531,423 |
1,114,659 | ||
IT Services – 3.7% | ||
Accenture PLC Class A | 2,389 | 844,702 |
25 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
IT Services – continued | ||
Mastercard, Inc. Class A | 2,729 | $ 1,054,431 |
1,899,133 | ||
Semiconductors & Semiconductor Equipment – 9.1% | ||
Advanced Micro Devices, Inc. (a) | 6,208 | 709,264 |
Analog Devices, Inc. | 3,755 | 615,707 |
Applied Materials, Inc. | 4,969 | 686,616 |
KLA Corp. | 1,629 | 634,121 |
Lam Research Corp. | 1,079 | 636,524 |
NVIDIA Corp. | 5,436 | 1,331,059 |
Texas Instruments, Inc. | 52 | 9,334 |
4,622,625 | ||
Software – 19.3% | ||
Adobe, Inc. (a) | 1,706 | 911,516 |
ANSYS, Inc. (a) | 1,618 | 550,136 |
Autodesk, Inc. (a) | 2,345 | 585,758 |
Cadence Design Systems, Inc. (a) | 3,721 | 566,113 |
DocuSign, Inc. (a) | 27 | 3,396 |
Fortinet, Inc. (a) | 1,935 | 575,159 |
Intuit, Inc. | 1,312 | 728,462 |
Microsoft Corp. | 12,052 | 3,747,931 |
Salesforce.com, Inc. (a) | 3,606 | 838,864 |
ServiceNow, Inc. (a) | 1,231 | 721,095 |
Synopsys, Inc. (a) | 1,861 | 577,840 |
9,806,270 | ||
Technology Hardware, Storage & Peripherals – 8.3% | ||
Apple, Inc. | 24,007 | 4,195,943 |
TOTAL INFORMATION TECHNOLOGY | 21,638,630 | |
MATERIALS – 2.6% | ||
Chemicals – 2.6% | ||
Linde PLC (a) | 2,317 | 738,382 |
| ||
Shares | Value | |
The Sherwin-Williams Co. | 2,055 | $ 588,778 |
TOTAL MATERIALS | 1,327,160 | |
REAL ESTATE – 1.5% | ||
Equity Real Estate Investment Trusts (REITs) – 1.5% | ||
Prologis, Inc. | 4,699 | 736,897 |
UTILITIES – 1.4% | ||
Electric Utilities – 1.4% | ||
NextEra Energy, Inc. | 9,249 | 722,532 |
TOTAL COMMON STOCKS (Cost $46,823,215) | 49,768,271 | |
Money Market Fund – 1.8% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $930,824) | 930,824 | 930,824 |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $47,754,039) | 50,699,095 | |
NET OTHER ASSETS (LIABILITIES) – 0.2% | 87,787 | |
NET ASSETS – 100.0% | $ 50,786,882 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 26 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 4,341,412 | $ 4,341,412 | $ — | $ — | ||||
Consumer Discretionary | 5,250,119 | 5,250,119 | — | — | ||||
Consumer Staples | 1,429,881 | 1,429,881 | — | — | ||||
Financials | 3,636,291 | 3,636,291 | — | — | ||||
Health Care | 6,393,189 | 6,393,189 | — | — | ||||
Industrials | 4,292,160 | 4,292,160 | — | — | ||||
Information Technology | 21,638,630 | 21,638,630 | — | — | ||||
Materials | 1,327,160 | 1,327,160 | — | — | ||||
Real Estate | 736,897 | 736,897 | — | — | ||||
Utilities | 722,532 | 722,532 | — | — | ||||
Money Market Fund | 930,824 | 930,824 | — | — | ||||
Total Investments in Securities: | $ 50,699,095 | $ 50,699,095 | $ — | $ — |
27 | Semi-Annual Report |
Common Stocks – 94.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.2% | ||
Diversified Telecommunication Services – 1.3% | ||
Verizon Communications, Inc. | 14,940 | $ 795,256 |
Media – 3.9% | ||
Comcast Corp. Class A | 27,355 | 1,367,477 |
Omnicom Group, Inc. | 6,331 | 477,104 |
The Interpublic Group of Cos., Inc. | 15,632 | 555,561 |
2,400,142 | ||
TOTAL COMMUNICATION SERVICES | 3,195,398 | |
CONSUMER DISCRETIONARY – 8.0% | ||
Auto Components – 0.3% | ||
Magna International, Inc. | 2,538 | 204,588 |
Automobiles – 1.3% | ||
General Motors Co. (a) | 8,968 | 472,883 |
Stellantis N.V. | 17,898 | 345,252 |
818,135 | ||
Hotels, Restaurants & Leisure – 1.3% | ||
Booking Holdings, Inc. (a) | 185 | 454,384 |
Churchill Downs, Inc. | 1,405 | 295,471 |
Sweetgreen, Inc. (a) | 1,630 | 49,308 |
799,163 | ||
Household Durables – 1.8% | ||
D.R. Horton, Inc. | 4,347 | 387,839 |
Mohawk Industries, Inc. (a) | 1,812 | 286,061 |
NVR, Inc. (a) | 76 | 404,869 |
1,078,769 | ||
Internet & Direct Marketing Retail – 1.1% | ||
Coupang, Inc. (a) | 19,298 | 401,784 |
eBay, Inc. | 3,503 | 210,425 |
Farfetch Ltd. Class A (a) | 4,018 | 87,231 |
699,440 | ||
Leisure Products – 0.2% | ||
Peloton Interactive, Inc. Class A (a) | 3,520 | 96,202 |
Specialty Retail – 0.7% | ||
Best Buy Co., Inc. | 2,752 | 273,219 |
National Vision Holdings, Inc. (a) | 3,323 | 135,844 |
409,063 | ||
Textiles, Apparel & Luxury Goods – 1.3% | ||
Allbirds, Inc. (a) | 2,274 | 28,107 |
PVH Corp. | 2,823 | 268,213 |
Ralph Lauren Corp. | 1,689 | 187,209 |
Tapestry, Inc. | 8,289 | 314,567 |
798,096 | ||
TOTAL CONSUMER DISCRETIONARY | 4,903,456 | |
CONSUMER STAPLES – 4.2% | ||
Beverages – 2.0% | ||
Diageo PLC ADR | 1,690 | 344,675 |
| ||
Shares | Value | |
Molson Coors Beverage Co. Class B | 4,272 | $ 203,604 |
The Coca-Cola Co. | 10,882 | 663,911 |
1,212,190 | ||
Food & Staples Retailing – 1.4% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 5,864 | 360,460 |
The Kroger Co. | 11,250 | 490,387 |
850,847 | ||
Tobacco – 0.8% | ||
Altria Group, Inc. | 10,153 | 516,585 |
TOTAL CONSUMER STAPLES | 2,579,622 | |
ENERGY – 12.9% | ||
Energy Equipment & Services – 1.0% | ||
Oceaneering International, Inc. (a) | 12,849 | 167,422 |
Schlumberger N.V. | 10,454 | 408,438 |
TechnipFMC PLC (a) | 7,550 | 49,000 |
624,860 | ||
Oil, Gas & Consumable Fuels – 11.9% | ||
Canadian Natural Resources Ltd. | 16,130 | 821,340 |
Cheniere Energy, Inc. | 8,486 | 949,583 |
EQT Corp. (a) | 36,062 | 766,317 |
Exxon Mobil Corp. | 26,445 | 2,008,762 |
Golar LNG Ltd. (a) | 18,722 | 268,661 |
Hess Corp. | 13,286 | 1,226,165 |
Range Resources Corp. (a) | 11,674 | 224,724 |
The Williams Cos., Inc. | 22,137 | 662,782 |
Valero Energy Corp. | 3,936 | 326,570 |
7,254,904 | ||
TOTAL ENERGY | 7,879,764 | |
FINANCIALS – 19.8% | ||
Banks – 9.8% | ||
Bank of America Corp. | 33,241 | 1,533,740 |
Comerica, Inc. | 3,915 | 363,234 |
HDFC Bank Ltd. ADR | 3,724 | 255,578 |
The PNC Financial Services Group, Inc. | 5,587 | 1,150,866 |
Wells Fargo & Co. | 50,304 | 2,706,355 |
6,009,773 | ||
Capital Markets – 2.3% | ||
Goldman Sachs Group, Inc. | 1,924 | 682,404 |
Morgan Stanley | 7,290 | 747,517 |
1,429,921 | ||
Diversified Financial Services – 0.4% | ||
Equitable Holdings, Inc. | 6,432 | 216,372 |
Insurance – 6.0% | ||
American International Group, Inc. | 23,340 | 1,347,885 |
Arch Capital Group Ltd. (a) | 8,763 | 405,902 |
Chubb Ltd. | 4,948 | 976,142 |
First American Financial Corp. | 3,189 | 237,612 |
MetLife, Inc. | 8,203 | 550,093 |
Semi-Annual Report | 28 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Insurance – continued | ||
RenaissanceRe Holdings Ltd. | 880 | $ 138,310 |
3,655,944 | ||
Thrifts & Mortgage Finance – 1.3% | ||
Radian Group, Inc. | 34,564 | 773,888 |
TOTAL FINANCIALS | 12,085,898 | |
HEALTH CARE – 14.9% | ||
Biotechnology – 0.8% | ||
Amgen, Inc. | 2,197 | 499,027 |
Health Care Equipment & Supplies – 2.9% | ||
Becton Dickinson and Co. | 2,137 | 543,097 |
Boston Scientific Corp. (a) | 14,015 | 601,244 |
Butterfly Network, Inc. (a) | 53,455 | 310,039 |
Hologic, Inc. (a) | 4,101 | 288,054 |
1,742,434 | ||
Health Care Providers & Services – 4.6% | ||
Centene Corp. (a) | 6,924 | 538,410 |
Cigna Corp. | 2,463 | 567,623 |
Guardant Health, Inc. (a) | 1,854 | 128,946 |
LifeStance Health Group, Inc. (a) | 15,628 | 119,242 |
Oak Street Health, Inc. (a) | 8,412 | 146,200 |
UnitedHealth Group, Inc. | 2,303 | 1,088,329 |
Universal Health Services, Inc. Class B | 1,745 | 226,955 |
2,815,705 | ||
Life Sciences Tools & Services – 0.6% | ||
Bruker Corp. | 5,520 | 367,632 |
Pharmaceuticals – 6.0% | ||
Bristol-Myers Squibb Co. | 24,340 | 1,579,422 |
Eli Lilly & Co. | 4,203 | 1,031,374 |
Sanofi ADR | 6,342 | 329,784 |
Viatris, Inc. | 47,013 | 703,785 |
3,644,365 | ||
TOTAL HEALTH CARE | 9,069,163 | |
INDUSTRIALS – 12.4% | ||
Aerospace & Defense – 3.3% | ||
BWX Technologies, Inc. | 5,402 | 240,443 |
General Dynamics Corp. | 2,997 | 635,664 |
Huntington Ingalls Industries, Inc. | 2,806 | 525,283 |
Northrop Grumman Corp. | 1,680 | 621,432 |
2,022,822 | ||
Air Freight & Logistics – 0.4% | ||
GXO Logistics, Inc. (a) | 2,735 | 222,110 |
Building Products – 0.7% | ||
Fortune Brands Home & Security, Inc. | 3,071 | 289,196 |
JELD-WEN Holding, Inc. (a) | 6,080 | 143,488 |
432,684 |
| ||
Shares | Value | |
Construction & Engineering – 0.6% | ||
AECOM | 3,046 | $210,570 |
Argan, Inc. | 4,342 | 161,305 |
371,875 | ||
Electrical Equipment – 0.5% | ||
Sensata Technologies Holding PLC (a) | 5,434 | 311,694 |
Industrial Conglomerates – 4.3% | ||
General Electric Co. | 28,086 | 2,653,565 |
Machinery – 0.7% | ||
Donaldson Co., Inc. | 3,144 | 174,995 |
Pentair PLC | 3,565 | 227,091 |
402,086 | ||
Professional Services – 0.6% | ||
Leidos Holdings, Inc. | 2,399 | 214,590 |
Science Applications International Corp. | 1,893 | 155,283 |
369,873 | ||
Road & Rail – 1.3% | ||
Hertz Global Holdings, Inc. (a) | 5,742 | 110,591 |
Knight-Swift Transportation Holdings, Inc. | 8,732 | 494,057 |
XPO Logistics, Inc. (a) | 2,679 | 177,269 |
781,917 | ||
TOTAL INDUSTRIALS | 7,568,626 | |
INFORMATION TECHNOLOGY – 7.5% | ||
Communications Equipment – 2.2% | ||
Cisco Systems, Inc. | 17,394 | 968,324 |
Telefonaktiebolaget LM Ericsson ADR | 30,201 | 373,888 |
1,342,212 | ||
Electronic Equipment, Instruments & Components – 0.7% | ||
Keysight Technologies, Inc. (a) | 2,749 | 464,086 |
IT Services – 3.1% | ||
Akamai Technologies, Inc. (a) | 3,090 | 353,959 |
Euronet Worldwide, Inc. (a) | 1,517 | 203,111 |
Fidelity National Information Services, Inc. | 2,961 | 355,083 |
Global Payments, Inc. | 1,236 | 185,252 |
Visa, Inc. Class A | 3,433 | 776,442 |
1,873,847 | ||
Semiconductors & Semiconductor Equipment – 1.5% | ||
Analog Devices, Inc. | 2,092 | 343,025 |
Intel Corp. | 11,987 | 585,206 |
928,231 | ||
TOTAL INFORMATION TECHNOLOGY | 4,608,376 | |
MATERIALS – 3.7% | ||
Chemicals – 1.1% | ||
Nutrien Ltd. | 3,970 | 277,106 |
Olin Corp. | 7,546 | 382,356 |
659,462 |
29 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Containers & Packaging – 1.2% | ||
Avery Dennison Corp. | 1,426 | $292,929 |
O-I Glass, Inc. (a) | 30,631 | 407,699 |
700,628 | ||
Metals & Mining – 1.4% | ||
Commercial Metals Co. | 3,965 | 132,590 |
Freeport-McMoRan, Inc. | 11,497 | 427,918 |
Royal Gold, Inc. | 1,673 | 169,893 |
Steel Dynamics, Inc. | 2,645 | 146,850 |
877,251 | ||
TOTAL MATERIALS | 2,237,341 | |
REAL ESTATE – 3.2% | ||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||
Cousins Properties, Inc. | 4,795 | 184,895 |
Gaming and Leisure Properties, Inc. | 6,765 | 305,643 |
Healthcare Trust of America, Inc. Class A | 6,214 | 202,266 |
Orion Office REIT, Inc. (a) | 278 | 4,626 |
Realty Income Corp. | 2,780 | 192,960 |
Simon Property Group, Inc. | 1,903 | 280,121 |
Spirit Realty Capital, Inc. | 6,761 | 320,877 |
VICI Properties, Inc. | 11,066 | 316,709 |
1,808,097 | ||
Real Estate Management & Development – 0.2% | ||
WeWork, Inc. (a) | 17,515 | 130,136 |
TOTAL REAL ESTATE | 1,938,233 | |
UTILITIES – 3.1% | ||
Electric Utilities – 2.2% | ||
Duke Energy Corp. | 6,054 | 636,033 |
| ||
Shares | Value | |
FirstEnergy Corp. | 5,772 | $ 242,193 |
The Southern Co. | 6,834 | 474,895 |
1,353,121 | ||
Independent Power and Renewable Electricity Producers – 0.9% | ||
The AES Corp. | 11,053 | 245,156 |
Vistra Corp. | 13,567 | 295,896 |
541,052 | ||
TOTAL UTILITIES | 1,894,173 | |
TOTAL COMMON STOCKS (Cost $50,326,587) | 57,960,050 | |
Money Market Fund – 4.8% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $2,969,490) | 2,969,490 | 2,969,490 |
TOTAL INVESTMENT IN SECURITIES – 99.7% (Cost $53,296,077) | 60,929,540 | |
NET OTHER ASSETS (LIABILITIES) – 0.3% | 165,089 | |
NET ASSETS – 100.0% | $ 61,094,629 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 30 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 3,195,398 | $ 3,195,398 | $ — | $ — | ||||
Consumer Discretionary | 4,903,456 | 4,903,456 | — | — | ||||
Consumer Staples | 2,579,622 | 2,579,622 | — | — | ||||
Energy | 7,879,764 | 7,879,764 | — | — | ||||
Financials | 12,085,898 | 12,085,898 | — | — | ||||
Health Care | 9,069,163 | 9,069,163 | — | — | ||||
Industrials | 7,568,626 | 7,568,626 | — | — | ||||
Information Technology | 4,608,376 | 4,608,376 | — | — | ||||
Materials | 2,237,341 | 2,237,341 | — | — | ||||
Real Estate | 1,938,233 | 1,938,233 | — | — | ||||
Utilities | 1,894,173 | 1,894,173 | — | — | ||||
Money Market Fund | 2,969,490 | 2,969,490 | — | — | ||||
Total Investments in Securities: | $ 60,929,540 | $ 60,929,540 | $ — | $ — |
31 | Semi-Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 96.1% | ||
REITs - Apartments – 11.1% | ||
American Homes 4 Rent Class A | 8,727 | $ 341,488 |
Apartment Income REIT Corp. | 5,465 | 288,661 |
Invitation Homes, Inc. | 10,243 | 430,001 |
Mid-America Apartment Communities, Inc. | 3,372 | 696,925 |
UDR, Inc. | 13,383 | 760,690 |
2,517,765 | ||
REITs - Diversified – 39.2% | ||
Crown Castle International Corp. | 12,107 | 2,209,649 |
Digital Realty Trust, Inc. | 8,913 | 1,330,087 |
Duke Realty Corp. | 19,188 | 1,108,683 |
Equinix, Inc. | 821 | 595,143 |
Gaming and Leisure Properties, Inc. | 10,619 | 479,766 |
Lamar Advertising Co. Class A | 2,309 | 255,745 |
Lexington Realty Trust | 13,343 | 198,677 |
SBA Communications Corp. | 4,919 | 1,600,839 |
VICI Properties, Inc. | 14,785 | 423,147 |
Washington Real Estate Investment Trust | 6,920 | 170,370 |
Weyerhaeuser Co. | 12,476 | 504,405 |
8,876,511 | ||
REITs - Health Care – 10.7% | ||
Healthcare Trust of America, Inc. Class A | 1,318 | 42,901 |
Medical Properties Trust, Inc. | 15,380 | 350,049 |
Ventas, Inc. | 14,016 | 743,128 |
Welltower, Inc. | 14,780 | 1,280,391 |
2,416,469 | ||
REITs - Hotels – 3.7% | ||
DiamondRock Hospitality Co. (a) | 19,329 | 180,726 |
Host Hotels & Resorts, Inc. (a) | 19,675 | 341,165 |
RLJ Lodging Trust | 12,953 | 179,399 |
Ryman Hospitality Properties, Inc. (a) | 1,557 | 137,639 |
838,929 | ||
REITs - Manufactured Homes – 5.0% | ||
Equity Lifestyle Properties, Inc. | 8,014 | 627,416 |
Sun Communities, Inc. | 2,694 | 509,058 |
1,136,474 | ||
REITs - Office Property – 2.2% | ||
American Assets Trust, Inc. | 3,762 | 135,319 |
Highwoods Properties, Inc. | 3,362 | 144,969 |
Mack-Cali Realty Corp. (a) | 7,037 | 116,111 |
Piedmont Office Realty Trust, Inc. Class A | 5,325 | 94,572 |
490,971 | ||
REITs - Shopping Centers – 4.3% | ||
Kimco Realty Corp. | 16,438 | 398,786 |
Phillips Edison & Co., Inc. | 4,242 | 133,708 |
| ||
Shares | Value | |
Regency Centers Corp. | 4,981 | $ 357,387 |
Urban Edge Properties | 4,385 | 79,982 |
969,863 | ||
REITs - Single Tenant – 5.3% | ||
Four Corners Property Trust, Inc. | 4,205 | 113,829 |
National Retail Properties, Inc. | 9,853 | 437,276 |
Realty Income Corp. | 4,684 | 325,117 |
Spirit Realty Capital, Inc. | 6,898 | 327,379 |
1,203,601 | ||
REITs - Storage – 6.9% | ||
CubeSmart | 12,588 | 638,715 |
Extra Space Storage, Inc. | 3,212 | 636,586 |
Iron Mountain, Inc. | 6,252 | 287,092 |
1,562,393 | ||
REITs - Warehouse/Industrial – 7.7% | ||
Prologis, Inc. | 11,054 | 1,733,488 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 21,746,464 | |
INFORMATION TECHNOLOGY – 0.2% | ||
IT Services – 0.2% | ||
Cyxtera Technologies, Inc. (a) | 3,202 | 38,328 |
REAL ESTATE MANAGEMENT & DEVELOPMENT – 3.4% | ||
Real Estate Services – 3.4% | ||
CBRE Group, Inc. Class A (a) | 6,699 | 678,877 |
Realogy Holdings Corp. (a) | 6,305 | 104,032 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 782,909 | |
TOTAL COMMON STOCKS (Cost $20,860,529) | 22,567,701 | |
Money Market Fund – 0.3% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $60,189) | 60,189 | 60,189 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $20,920,718) | 22,627,890 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (4,546) | |
NET ASSETS – 100.0% | $ 22,623,344 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 32 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Common Stocks | $ 22,567,701 | $ 22,567,701 | $ — | $ — | ||||
Money Market Funds | 60,189 | 60,189 | — | — | ||||
Total Investments in Securities: | $ 22,627,890 | $ 22,627,890 | $ — | $ — |
33 | Semi-Annual Report |
Common Stocks – 98.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 2.5% | ||
Interactive Media & Services – 0.8% | ||
j2 Global, Inc. (a) | 1,395 | $146,559 |
ZipRecruiter, Inc. (a) | 3,801 | 82,443 |
229,002 | ||
Media – 1.7% | ||
Nexstar Media Group, Inc. Class A | 1,399 | 231,366 |
Omnicom Group, Inc. | 1,286 | 96,913 |
TechTarget, Inc. (a) | 739 | 61,293 |
The Interpublic Group of Cos., Inc. | 2,603 | 92,511 |
482,083 | ||
TOTAL COMMUNICATION SERVICES | 711,085 | |
CONSUMER DISCRETIONARY – 12.4% | ||
Auto Components – 0.5% | ||
Adient PLC (a) | 2,566 | 107,695 |
Patrick Industries, Inc. | 717 | 46,175 |
153,870 | ||
Diversified Consumer Services – 0.2% | ||
Adtalem Global Education, Inc. (a) | 1,544 | 45,425 |
Hotels, Restaurants & Leisure – 3.0% | ||
Brinker International, Inc. (a) | 1,432 | 47,557 |
Caesars Entertainment, Inc. (a) | 2,652 | 201,923 |
Churchill Downs, Inc. | 1,114 | 234,274 |
Hilton Grand Vacations, Inc. (a) | 2,731 | 133,437 |
Wyndham Hotels & Resorts, Inc. | 2,970 | 249,332 |
866,523 | ||
Household Durables – 2.0% | ||
Helen of Troy Ltd. (a) | 823 | 172,278 |
Mohawk Industries, Inc. (a) | 1,980 | 312,583 |
Tempur Sealy International, Inc. | 2,606 | 103,745 |
588,606 | ||
Specialty Retail – 3.7% | ||
Academy Sports & Outdoors, Inc. (a) | 857 | 33,337 |
American Eagle Outfitters, Inc. | 213 | 4,863 |
AutoZone, Inc. (a) | 154 | 305,898 |
Best Buy Co., Inc. | 1,234 | 122,511 |
Dick's Sporting Goods, Inc. | 1,796 | 207,258 |
Rent-A-Center, Inc. | 1,498 | 63,141 |
Williams-Sonoma, Inc. | 2,018 | 323,970 |
1,060,978 | ||
Textiles, Apparel & Luxury Goods – 3.0% | ||
Capri Holdings Ltd. (a) | 1,742 | 104,642 |
Crocs, Inc. (a) | 2,083 | 213,757 |
Deckers Outdoor Corp. (a) | 657 | 210,391 |
Tapestry, Inc. | 8,763 | 332,556 |
861,346 | ||
TOTAL CONSUMER DISCRETIONARY | 3,576,748 |
| ||
Shares | Value | |
CONSUMER STAPLES – 4.6% | ||
Beverages – 0.3% | ||
Primo Water Corp. | 4,821 | $ 80,511 |
Food & Staples Retailing – 1.7% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 4,139 | 254,424 |
US Foods Holding Corp. (a) | 6,927 | 244,246 |
498,670 | ||
Food Products – 2.6% | ||
Darling Ingredients, Inc. (a) | 4,950 | 315,662 |
Lamb Weston Holdings, Inc. | 3,409 | 218,892 |
Nomad Foods Ltd. (a) | 6,318 | 163,004 |
Seaboard Corp. | 13 | 49,660 |
747,218 | ||
TOTAL CONSUMER STAPLES | 1,326,399 | |
ENERGY – 4.7% | ||
Energy Equipment & Services – 0.6% | ||
TechnipFMC PLC (a) | 27,018 | 175,347 |
Oil, Gas & Consumable Fuels – 4.1% | ||
Antero Resources Corp. (a) | 8,301 | 162,119 |
Brigham Minerals, Inc. Class A | 896 | 19,389 |
Cheniere Energy, Inc. | 2,747 | 307,389 |
Denbury, Inc. (a) | 1,488 | 111,808 |
EQT Corp. (a) | 4,400 | 93,500 |
Hess Corp. | 2,827 | 260,904 |
HollyFrontier Corp. | 3,074 | 108,082 |
Murphy Oil Corp. | 4,155 | 131,298 |
1,194,489 | ||
TOTAL ENERGY | 1,369,836 | |
FINANCIALS – 16.9% | ||
Banks – 8.4% | ||
BOK Financial Corp. | 972 | 99,679 |
Comerica, Inc. | 4,446 | 412,500 |
Cullen/Frost Bankers, Inc. | 1,773 | 250,011 |
First Citizens BancShares, Inc. Class A | 101 | 78,687 |
First Hawaiian, Inc. | 4,113 | 116,604 |
M&T Bank Corp. | 572 | 96,885 |
Signature Bank | 1,600 | 487,408 |
Sterling Bancorp | 6,056 | 159,212 |
Synovus Financial Corp. | 4,450 | 221,432 |
Trico Bancshares | 689 | 29,951 |
Western Alliance Bancorp | 3,023 | 299,851 |
Wintrust Financial Corp. | 1,634 | 160,246 |
2,412,466 | ||
Capital Markets – 0.6% | ||
LPL Financial Holdings, Inc. | 962 | 165,772 |
Consumer Finance – 2.1% | ||
Discover Financial Services | 2,614 | 302,570 |
Encore Capital Group, Inc. (a) | 1,016 | 65,532 |
Semi-Annual Report | 34 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Consumer Finance – continued | ||
Synchrony Financial | 5,864 | $ 249,748 |
617,850 | ||
Diversified Financial Services – 0.3% | ||
Cannae Holdings, Inc. (a) | 2,626 | 78,439 |
Insurance – 5.5% | ||
Arch Capital Group Ltd. (a) | 4,399 | 203,762 |
Assurant, Inc. | 1,537 | 234,408 |
Enstar Group Ltd. (a) | 391 | 103,646 |
First American Financial Corp. | 3,400 | 253,334 |
Lincoln National Corp. | 3,647 | 255,217 |
Old Republic International Corp. | 9,166 | 234,924 |
Primerica, Inc. | 1,250 | 192,925 |
Reinsurance Group of America, Inc. | 1,054 | 121,031 |
1,599,247 | ||
TOTAL FINANCIALS | 4,873,774 | |
HEALTH CARE – 11.8% | ||
Biotechnology – 1.6% | ||
4D Molecular Therapeutics, Inc. (a) | 306 | 4,835 |
Agios Pharmaceuticals, Inc. (a) | 232 | 7,166 |
Allovir, Inc. (a) | 304 | 2,481 |
ALX Oncology Holdings, Inc. (a) | 257 | 4,112 |
Arcutis Biotherapeutics, Inc. (a) | 120 | 1,813 |
Argenx SE ADR (a) | 260 | 70,008 |
Avid Bioservices, Inc. (a) | 993 | 18,738 |
Celldex Therapeutics, Inc. (a) | 449 | 13,923 |
Cytokinetics, Inc. (a) | 742 | 24,627 |
Emergent BioSolutions, Inc. (a) | 444 | 20,779 |
Exelixis, Inc. (a) | 2,728 | 49,377 |
Forma Therapeutics Holdings, Inc. (a) | 243 | 2,877 |
Global Blood Therapeutics, Inc. (a) | 786 | 22,676 |
Horizon Therapeutics PLC (a) | 271 | 25,292 |
Keros Therapeutics, Inc. (a) | 148 | 6,863 |
Kura Oncology, Inc. (a) | 582 | 8,200 |
Kymera Therapeutics, Inc. (a) | 297 | 12,474 |
Mirati Therapeutics, Inc. (a) | 53 | 6,323 |
Natera, Inc. (a) | 461 | 32,570 |
Prelude Therapeutics, Inc. (a) | 358 | 3,555 |
Protagonist Therapeutics, Inc. (a) | 548 | 16,051 |
Relay Therapeutics, Inc. (a) | 207 | 4,581 |
REVOLUTION Medicines, Inc. (a) | 107 | 2,303 |
TG Therapeutics, Inc. (a) | 908 | 10,505 |
United Therapeutics Corp. (a) | 271 | 54,707 |
Vaxcyte, Inc. (a) | 23 | 438 |
Vericel Corp. (a) | 450 | 16,011 |
Verve Therapeutics, Inc. (a) | 496 | 14,295 |
457,580 |
| ||
Shares | Value | |
Health Care Equipment & Supplies – 2.1% | ||
Envista Holdings Corp. (a) | 3,158 | $ 136,552 |
Figs, Inc. Class A (a) | 3,359 | 75,510 |
Hologic, Inc. (a) | 2,384 | 167,452 |
Integer Holdings Corp. (a) | 1,019 | 79,900 |
Masimo Corp. (a) | 657 | 144,455 |
603,869 | ||
Health Care Providers & Services – 4.3% | ||
Acadia Healthcare Co., Inc. (a) | 2,772 | 145,946 |
Laboratory Corp. of America Holdings (a) | 875 | 237,440 |
Molina Healthcare, Inc. (a) | 1,430 | 415,386 |
Owens & Minor, Inc. | 2,249 | 94,660 |
Premier, Inc. Class A | 1,875 | 71,663 |
R1 RCM, Inc. (a) | 3,234 | 76,905 |
Surgery Partners, Inc. (a) | 996 | 42,499 |
Universal Health Services, Inc. Class B | 1,279 | 166,347 |
1,250,846 | ||
Life Sciences Tools & Services – 2.8% | ||
10X Genomics, Inc. Class A (a) | 446 | 42,936 |
Bio-Rad Laboratories, Inc. Class A (a) | 248 | 148,733 |
Charles River Laboratories International, Inc. (a) | 1,159 | 382,192 |
Maravai LifeSciences Holdings, Inc. Class A (a) | 29 | 839 |
Syneos Health, Inc. (a) | 2,649 | 239,893 |
814,593 | ||
Pharmaceuticals – 1.0% | ||
Arvinas, Inc. (a) | 542 | 38,747 |
Jazz Pharmaceuticals PLC (a) | 1,640 | 227,812 |
Prestige Consumer Healthcare, Inc. (a) | 295 | 16,653 |
Viatris, Inc. | 741 | 11,093 |
294,305 | ||
TOTAL HEALTH CARE | 3,421,193 | |
INDUSTRIALS – 16.9% | ||
Aerospace & Defense – 0.3% | ||
Curtiss-Wright Corp. | 730 | 96,937 |
Building Products – 2.1% | ||
Builders FirstSource, Inc. (a) | 6,701 | 455,601 |
JELD-WEN Holding, Inc. (a) | 1,679 | 39,625 |
The AZEK Co., Inc. (a) | 3,673 | 121,319 |
616,545 | ||
Commercial Services & Supplies – 0.5% | ||
Cimpress PLC (a) | 586 | 39,391 |
The Brink's Co. | 1,639 | 114,369 |
153,760 | ||
Construction & Engineering – 0.5% | ||
AECOM | 2,195 | 151,740 |
Electrical Equipment – 3.2% | ||
Acuity Brands, Inc. | 997 | 190,956 |
35 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Electrical Equipment – continued | ||
AMETEK, Inc. | 1,482 | $ 202,693 |
Atkore, Inc. (a) | 762 | 82,128 |
Generac Holdings, Inc. (a) | 326 | 92,056 |
Regal Rexnord Corp. | 1,279 | 202,696 |
Sensata Technologies Holding PLC (a) | 2,417 | 138,639 |
909,168 | ||
Machinery – 3.3% | ||
Allison Transmission Holdings, Inc. | 3,032 | 115,186 |
Crane Co. | 1,547 | 160,130 |
ITT, Inc. | 2,700 | 248,184 |
Kornit Digital Ltd. (a) | 1,963 | 206,233 |
Oshkosh Corp. | 1,205 | 137,141 |
SPX Corp. (a) | 1,358 | 70,860 |
937,734 | ||
Marine – 0.4% | ||
Kirby Corp. (a) | 1,915 | 124,820 |
Professional Services – 3.7% | ||
Alight, Inc. (a) | 11,945 | 115,389 |
ASGN, Inc. (a) | 1,612 | 185,170 |
CACI International, Inc. Class A (a) | 728 | 180,151 |
Insperity, Inc. | 1,107 | 119,036 |
KBR, Inc. | 4,285 | 185,969 |
Kforce, Inc. | 986 | 67,709 |
ManpowerGroup, Inc. | 75 | 7,865 |
Nielsen Holdings PLC | 11,512 | 217,116 |
1,078,405 | ||
Road & Rail – 1.9% | ||
Knight-Swift Transportation Holdings, Inc. | 3,885 | 219,813 |
TFI International, Inc. | 3,437 | 330,983 |
550,796 | ||
Trading Companies & Distributors – 1.0% | ||
Beacon Roofing Supply, Inc. (a) | 1,689 | 92,675 |
Rush Enterprises, Inc. Class A | 1,505 | 79,494 |
Univar Solutions, Inc. (a) | 3,904 | 103,456 |
275,625 | ||
TOTAL INDUSTRIALS | 4,895,530 | |
INFORMATION TECHNOLOGY – 14.9% | ||
Communications Equipment – 0.5% | ||
Lumentum Holdings, Inc. (a) | 1,385 | 140,550 |
Electronic Equipment, Instruments & Components – 3.9% | ||
Advanced Energy Industries, Inc. | 1,195 | 102,985 |
Arrow Electronics, Inc. (a) | 2,509 | 311,116 |
Fabrinet (a) | 1,086 | 122,892 |
Flex Ltd. (a) | 2,885 | 46,679 |
Insight Enterprises, Inc. (a) | 1,102 | 103,754 |
SYNNEX Corp. | 1,316 | 137,614 |
TTM Technologies, Inc. (a) | 3,222 | 43,368 |
| ||
Shares | Value | |
Zebra Technologies Corp. Class A (a) | 493 | $ 250,996 |
1,119,404 | ||
IT Services – 4.2% | ||
Amdocs Ltd. | 1,884 | 142,977 |
Concentrix Corp. | 1,292 | 259,679 |
Cyxtera Technologies, Inc. (a) | 9,768 | 116,923 |
EPAM Systems, Inc. (a) | 484 | 230,452 |
ExlService Holdings, Inc. (a) | 1,043 | 125,702 |
Genpact Ltd. | 3,515 | 174,871 |
Unisys Corp. (a) | 1,791 | 32,686 |
Verra Mobility Corp. (a) | 4,210 | 66,686 |
WNS Holdings Ltd. ADR (a) | 665 | 55,966 |
1,205,942 | ||
Semiconductors & Semiconductor Equipment – 1.5% | ||
Cirrus Logic, Inc. (a) | 500 | 44,720 |
Entegris, Inc. | 1,839 | 220,386 |
Semtech Corp. (a) | 2,026 | 144,048 |
SiTime Corp. (a) | 143 | 33,332 |
442,486 | ||
Software – 3.8% | ||
ANSYS, Inc. (a) | 494 | 167,965 |
CyberArk Software Ltd. (a) | 1,427 | 195,713 |
Dynatrace, Inc. (a) | 1,467 | 80,480 |
Elastic N.V. (a) | 590 | 55,018 |
Paycom Software, Inc. (a) | 364 | 122,049 |
Rapid7, Inc. (a) | 1,664 | 160,293 |
Sprout Social, Inc. Class A (a) | 894 | 61,552 |
Tenable Holdings, Inc. (a) | 2,143 | 110,150 |
Workiva, Inc. (a) | 1,283 | 151,753 |
1,104,973 | ||
Technology Hardware, Storage & Peripherals – 1.0% | ||
Seagate Technology Holdings PLC | 2,733 | 292,841 |
TOTAL INFORMATION TECHNOLOGY | 4,306,196 | |
MATERIALS – 6.4% | ||
Chemicals – 4.0% | ||
Axalta Coating Systems Ltd. (a) | 3,329 | 98,572 |
Element Solutions, Inc. | 6,868 | 154,118 |
Huntsman Corp. | 4,269 | 152,958 |
Olin Corp. | 4,488 | 227,407 |
The Chemours Co. | 4,793 | 156,779 |
Trinseo PLC | 1,813 | 97,068 |
Tronox Holdings PLC Class A | 2,814 | 63,878 |
Valvoline, Inc. | 5,900 | 194,346 |
1,145,126 | ||
Construction Materials – 1.1% | ||
Eagle Materials, Inc. | 1,312 | 191,355 |
Summit Materials, Inc. Class A (a) | 3,715 | 132,106 |
323,461 |
Semi-Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Containers & Packaging – 0.9% | ||
Avery Dennison Corp. | 951 | $195,354 |
O-I Glass, Inc. (a) | 4,710 | 62,690 |
258,044 | ||
Metals & Mining – 0.4% | ||
Commercial Metals Co. | 3,675 | 122,892 |
TOTAL MATERIALS | 1,849,523 | |
REAL ESTATE – 5.1% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
Corporate Office Properties Trust | 3,406 | 86,036 |
CubeSmart | 6,290 | 319,155 |
Douglas Emmett, Inc. | 5,108 | 159,472 |
Equity Lifestyle Properties, Inc. | 1,557 | 121,897 |
Lexington Realty Trust | 7,042 | 104,855 |
Terreno Realty Corp. | 2,102 | 157,166 |
948,581 | ||
Real Estate Management & Development – 1.8% | ||
Cushman & Wakefield PLC (a) | 1,888 | 39,629 |
Jones Lang LaSalle, Inc. (a) | 1,649 | 413,553 |
Realogy Holdings Corp. (a) | 3,590 | 59,235 |
512,417 | ||
TOTAL REAL ESTATE | 1,460,998 | |
UTILITIES – 2.5% | ||
Electric Utilities – 1.2% | ||
Alliant Energy Corp. | 2,557 | 153,062 |
Edison International | 1,673 | 105,048 |
| ||
Shares | Value | |
PG&E Corp. (a) | 7,996 | $ 102,269 |
360,379 | ||
Gas Utilities – 0.4% | ||
Brookfield Infrastructure Corp. | 1,882 | 124,814 |
Independent Power and Renewable Electricity Producers – 0.7% | ||
The AES Corp. | 8,568 | 190,038 |
Multi-Utilities – 0.2% | ||
MDU Resources Group, Inc. | 2,021 | 59,357 |
TOTAL UTILITIES | 734,588 | |
TOTAL COMMON STOCKS (Cost $27,064,180) | 28,525,870 | |
Money Market Fund – 1.0% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $291,569) | 291,569 | 291,569 |
TOTAL INVESTMENT IN SECURITIES – 99.7% (Cost $27,355,749) | 28,817,439 | |
NET OTHER ASSETS (LIABILITIES) – 0.3% | 94,038 | |
NET ASSETS – 100.0% | $ 28,911,477 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
37 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 711,085 | $ 711,085 | $ — | $ — | ||||
Consumer Discretionary | 3,576,748 | 3,576,748 | — | — | ||||
Consumer Staples | 1,326,399 | 1,326,399 | — | — | ||||
Energy | 1,369,836 | 1,369,836 | — | — | ||||
Financials | 4,873,774 | 4,873,774 | — | — | ||||
Health Care | 3,421,193 | 3,421,193 | — | — | ||||
Industrials | 4,895,530 | 4,895,530 | — | — | ||||
Information Technology | 4,306,196 | 4,306,196 | — | — | ||||
Materials | 1,849,523 | 1,849,523 | — | — | ||||
Real Estate | 1,460,998 | 1,460,998 | — | — | ||||
Utilities | 734,588 | 734,588 | — | — | ||||
Money Market Fund | 291,569 | 291,569 | — | — | ||||
Total Investments in Securities: | $ 28,817,439 | $ 28,817,439 | $ — | $ — |
United States of America | 88.9% |
Ireland | 2.3% |
Bermuda | 2.3% |
United Kingdom | 1.7% |
Canada | 1.6% |
Israel | 1.4% |
Others (Individually Less Than 1%) | 1.5% |
99.7% |
Semi-Annual Report | 38 |
Common Stocks – 98.2% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.2% | ||
Entertainment – 1.3% | ||
The Walt Disney Co. (a) | 532 | $ 76,060 |
Interactive Media & Services – 1.7% | ||
Alphabet, Inc. Class A (a) | 37 | 100,124 |
Media – 2.2% | ||
Cable One, Inc. | 41 | 63,334 |
Comcast Corp. Class A | 1,213 | 60,638 |
123,972 | ||
TOTAL COMMUNICATION SERVICES | 300,156 | |
CONSUMER DISCRETIONARY – 12.1% | ||
Automobiles – 0.8% | ||
General Motors Co. (a) | 849 | 44,768 |
Diversified Consumer Services – 2.1% | ||
Adtalem Global Education, Inc. (a) | 1,715 | 50,455 |
Bright Horizons Family Solutions, Inc. (a) | 542 | 69,598 |
120,053 | ||
Hotels, Restaurants & Leisure – 2.5% | ||
Marriott International, Inc. Class A (a) | 643 | 103,600 |
Sweetgreen, Inc. (a) | 1,340 | 40,535 |
144,135 | ||
Household Durables – 1.2% | ||
Taylor Morrison Home Corp. (a) | 2,232 | 68,500 |
Internet & Direct Marketing Retail – 1.2% | ||
eBay, Inc. | 1,169 | 70,222 |
Multiline Retail – 1.6% | ||
Target Corp. | 421 | 92,801 |
Specialty Retail – 2.7% | ||
The Gap, Inc. | 2,970 | 53,668 |
The Home Depot, Inc. | 286 | 104,956 |
158,624 | ||
TOTAL CONSUMER DISCRETIONARY | 699,103 | |
CONSUMER STAPLES – 6.0% | ||
Beverages – 1.7% | ||
Keurig Dr Pepper, Inc. | 2,542 | 96,469 |
Food Products – 1.5% | ||
Darling Ingredients, Inc. (a) | 1,369 | 87,301 |
Household Products – 2.8% | ||
Kimberly-Clark Corp. | 401 | 55,198 |
The Procter & Gamble Co. | 682 | 109,427 |
164,625 | ||
TOTAL CONSUMER STAPLES | 348,395 | |
ENERGY – 2.8% | ||
Oil, Gas & Consumable Fuels – 2.8% | ||
Cheniere Energy, Inc. | 811 | 90,751 |
| ||
Shares | Value | |
Valero Energy Corp. | 854 | $ 70,856 |
TOTAL ENERGY | 161,607 | |
FINANCIALS – 13.6% | ||
Banks – 2.0% | ||
Bank of America Corp. | 2,543 | 117,334 |
Capital Markets – 5.5% | ||
BlackRock, Inc. | 73 | 60,074 |
Moody's Corp. | 267 | 91,581 |
Northern Trust Corp. | 728 | 84,914 |
State Street Corp. | 866 | 81,837 |
318,406 | ||
Consumer Finance – 2.6% | ||
American Express Co. | 388 | 69,770 |
Discover Financial Services | 698 | 80,794 |
150,564 | ||
Insurance – 3.5% | ||
Arch Capital Group Ltd. (a) | 1,887 | 87,406 |
The Travelers Cos., Inc. | 694 | 115,329 |
202,735 | ||
TOTAL FINANCIALS | 789,039 | |
HEALTH CARE – 11.9% | ||
Biotechnology – 2.4% | ||
Amgen, Inc. | 321 | 72,912 |
Vertex Pharmaceuticals, Inc. (a) | 284 | 69,026 |
141,938 | ||
Health Care Equipment & Supplies – 2.5% | ||
Danaher Corp. | 503 | 143,752 |
Health Care Providers & Services – 2.0% | ||
Cigna Corp. | 424 | 97,715 |
Guardant Health, Inc. (a) | 287 | 19,961 |
117,676 | ||
Life Sciences Tools & Services – 1.8% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 66 | 39,582 |
ICON PLC (a) | 235 | 62,445 |
102,027 | ||
Pharmaceuticals – 3.2% | ||
Merck & Co., Inc. | 1,407 | 114,642 |
Zoetis, Inc. | 354 | 70,726 |
185,368 | ||
TOTAL HEALTH CARE | 690,761 | |
INDUSTRIALS – 9.8% | ||
Air Freight & Logistics – 1.1% | ||
United Parcel Service, Inc. Class B | 329 | 66,527 |
Building Products – 0.9% | ||
Johnson Controls International PLC | 694 | 50,433 |
39 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Electrical Equipment – 2.5% | ||
Acuity Brands, Inc. | 195 | $ 37,348 |
Generac Holdings, Inc. (a) | 110 | 31,062 |
Rockwell Automation, Inc. | 158 | 45,697 |
Sunrun, Inc. (a) | 1,099 | 28,497 |
142,604 | ||
Machinery – 1.7% | ||
Deere & Co. | 128 | 48,179 |
Xylem, Inc. | 458 | 48,099 |
96,278 | ||
Professional Services – 3.6% | ||
KBR, Inc. | 1,650 | 71,610 |
ManpowerGroup, Inc. | 620 | 65,019 |
Verisk Analytics, Inc. | 365 | 71,588 |
208,217 | ||
TOTAL INDUSTRIALS | 564,059 | |
INFORMATION TECHNOLOGY – 25.6% | ||
IT Services – 4.4% | ||
Accenture PLC Class A | 297 | 105,013 |
Mastercard, Inc. Class A | 196 | 75,731 |
PayPal Holdings, Inc. (a) | 413 | 71,011 |
251,755 | ||
Semiconductors & Semiconductor Equipment – 4.9% | ||
NVIDIA Corp. | 496 | 121,451 |
ON Semiconductor Corp. (a) | 1,949 | 114,991 |
SolarEdge Technologies, Inc. (a) | 207 | 49,311 |
285,753 | ||
Software – 14.1% | ||
Adobe, Inc. (a) | 178 | 95,106 |
Autodesk, Inc. (a) | 219 | 54,704 |
Intuit, Inc. | 174 | 96,610 |
Microsoft Corp. | 1,164 | 361,981 |
Rapid7, Inc. (a) | 709 | 68,298 |
Salesforce.com, Inc. (a) | 599 | 139,345 |
816,044 | ||
Technology Hardware, Storage & Peripherals – 2.2% | ||
Apple, Inc. | 717 | 125,317 |
TOTAL INFORMATION TECHNOLOGY | 1,478,869 | |
MATERIALS – 5.2% | ||
Chemicals – 1.8% | ||
Eastman Chemical Co. | 300 | 35,679 |
| ||
Shares | Value | |
Linde PLC (a) | 215 | $ 68,516 |
104,195 | ||
Containers & Packaging – 3.4% | ||
Avery Dennison Corp. | 409 | 84,017 |
Crown Holdings, Inc. | 544 | 62,234 |
O-I Glass, Inc. (a) | 3,634 | 48,368 |
194,619 | ||
TOTAL MATERIALS | 298,814 | |
REAL ESTATE – 4.4% | ||
Equity Real Estate Investment Trusts (REITs) – 2.8% | ||
Digital Realty Trust, Inc. | 25 | 3,731 |
Prologis, Inc. | 1,030 | 161,525 |
165,256 | ||
Real Estate Management & Development – 1.6% | ||
CBRE Group, Inc. Class A (a) | 895 | 90,699 |
TOTAL REAL ESTATE | 255,955 | |
UTILITIES – 1.6% | ||
Electric Utilities – 1.0% | ||
NextEra Energy, Inc. | 739 | 57,731 |
Water Utilities – 0.6% | ||
American Water Works Co., Inc. | 220 | 35,376 |
TOTAL UTILITIES | 93,107 | |
TOTAL COMMON STOCKS (Cost $5,772,537) | 5,679,865 | |
Money Market Fund – 1.8% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $104,017) | 104,017 | 104,017 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $5,876,554) | 5,783,882 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (1,600) | |
NET ASSETS – 100.0% | $ 5,782,282 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 40 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 300,156 | $ 300,156 | $ — | $ — | ||||
Consumer Discretionary | 699,103 | 699,103 | — | — | ||||
Consumer Staples | 348,395 | 348,395 | — | — | ||||
Energy | 161,607 | 161,607 | — | — | ||||
Financials | 789,039 | 789,039 | — | — | ||||
Health Care | 690,761 | 690,761 | — | — | ||||
Industrials | 564,059 | 564,059 | — | — | ||||
Information Technology | 1,478,869 | 1,478,869 | — | — | ||||
Materials | 298,814 | 298,814 | — | — | ||||
Real Estate | 255,955 | 255,955 | — | — | ||||
Utilities | 93,107 | 93,107 | — | — | ||||
Money Market Fund | 104,017 | 104,017 | — | — | ||||
Total Investments in Securities: | $ 5,783,882 | $ 5,783,882 | $ — | $ — |
41 | Semi-Annual Report |
Common Stocks – 98.2% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.2% | ||
Entertainment – 1.5% | ||
The Walt Disney Co. (a) | 299 | $ 42,748 |
Interactive Media & Services – 1.8% | ||
Bumble, Inc. Class A (a) | 699 | 20,627 |
Match Group, Inc. (a) | 78 | 8,791 |
Snap, Inc. Class A (a) | 541 | 17,604 |
Vimeo, Inc. (a) | 454 | 6,651 |
53,673 | ||
Media – 1.9% | ||
Cable One, Inc. | 10 | 15,448 |
The Interpublic Group of Cos., Inc. | 1,080 | 38,383 |
53,831 | ||
TOTAL COMMUNICATION SERVICES | 150,252 | |
CONSUMER DISCRETIONARY – 13.5% | ||
Automobiles – 0.9% | ||
General Motors Co. (a) | 502 | 26,471 |
Diversified Consumer Services – 1.1% | ||
Adtalem Global Education, Inc. (a) | 441 | 12,974 |
Bright Horizons Family Solutions, Inc. (a) | 142 | 18,234 |
31,208 | ||
Hotels, Restaurants & Leisure – 1.7% | ||
Airbnb, Inc. Class A (a) | 86 | 13,242 |
Marriott International, Inc. Class A (a) | 220 | 35,446 |
48,688 | ||
Household Durables – 1.1% | ||
Taylor Morrison Home Corp. (a) | 1,058 | 32,470 |
Internet & Direct Marketing Retail – 2.5% | ||
Amazon.com, Inc. (a) | 13 | 38,889 |
Etsy, Inc. (a) | 118 | 18,535 |
The RealReal, Inc. (a) | 1,439 | 13,599 |
71,023 | ||
Multiline Retail – 0.4% | ||
Kohl's Corp. | 168 | 10,031 |
Specialty Retail – 4.5% | ||
Best Buy Co., Inc. | 185 | 18,367 |
Lowe's Cos., Inc. | 169 | 40,112 |
Ross Stores, Inc. | 86 | 8,406 |
The Gap, Inc. | 1,123 | 20,293 |
Torrid Holdings, Inc. (a) | 1,195 | 10,994 |
Williams-Sonoma, Inc. | 203 | 32,590 |
130,762 | ||
Textiles, Apparel & Luxury Goods – 1.3% | ||
PVH Corp. | 172 | 16,342 |
Tapestry, Inc. | 556 | 21,100 |
37,442 | ||
TOTAL CONSUMER DISCRETIONARY | 388,095 |
| ||
Shares | Value | |
CONSUMER STAPLES – 3.8% | ||
Beverages – 0.9% | ||
The Coca-Cola Co. | 410 | $ 25,014 |
Food & Staples Retailing – 0.6% | ||
Albertsons Cos., Inc. | 618 | 17,397 |
Food Products – 1.0% | ||
The Hershey Co. | 141 | 27,787 |
Household Products – 0.5% | ||
The Clorox Co. | 89 | 14,939 |
Personal Products – 0.8% | ||
Olaplex Holdings, Inc. (a) | 134 | 2,927 |
The Estee Lauder Cos., Inc. Class A | 70 | 21,825 |
24,752 | ||
TOTAL CONSUMER STAPLES | 109,889 | |
ENERGY – 1.1% | ||
Oil, Gas & Consumable Fuels – 1.1% | ||
Phillips 66 | 238 | 20,180 |
Renewable Energy Group, Inc. (a) | 305 | 12,279 |
TOTAL ENERGY | 32,459 | |
FINANCIALS – 14.7% | ||
Banks – 5.7% | ||
Bank of America Corp. | 1,436 | 66,257 |
Citigroup, Inc. | 726 | 47,277 |
First Horizon Corp. | 1,236 | 21,148 |
First United Corp. | 630 | 12,556 |
JPMorgan Chase & Co. | 120 | 17,832 |
165,070 | ||
Capital Markets – 4.7% | ||
Coinbase Global, Inc. Class A (a) | 46 | 8,747 |
Franklin Resources, Inc. | 537 | 17,168 |
Morningstar, Inc. | 179 | 51,446 |
MSCI, Inc. | 25 | 13,403 |
Nasdaq, Inc. | 243 | 43,548 |
134,312 | ||
Insurance – 3.2% | ||
The Hartford Financial Services Group, Inc. | 586 | 42,116 |
The Progressive Corp. | 467 | 50,744 |
92,860 | ||
Thrifts & Mortgage Finance – 1.1% | ||
NMI Holdings, Inc. Class A (a) | 1,332 | 32,954 |
TOTAL FINANCIALS | 425,196 | |
HEALTH CARE – 12.6% | ||
Biotechnology – 2.0% | ||
Alnylam Pharmaceuticals, Inc. (a) | 107 | 14,723 |
Vertex Pharmaceuticals, Inc. (a) | 141 | 34,270 |
Semi-Annual Report | 42 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Zai Lab Ltd. ADR (a) | 164 | $ 8,146 |
57,139 | ||
Health Care Equipment & Supplies – 2.1% | ||
Figs, Inc. Class A (a) | 709 | 15,938 |
Hologic, Inc. (a) | 629 | 44,181 |
60,119 | ||
Health Care Providers & Services – 4.7% | ||
Anthem, Inc. | 175 | 77,173 |
Cigna Corp. | 201 | 46,323 |
Guardant Health, Inc. (a) | 185 | 12,867 |
136,363 | ||
Life Sciences Tools & Services – 0.6% | ||
ICON PLC (a) | 67 | 17,803 |
Pharmaceuticals – 3.2% | ||
Eli Lilly & Co. | 121 | 29,692 |
GlaxoSmithKline PLC ADR | 536 | 24,024 |
Zoetis, Inc. | 184 | 36,761 |
90,477 | ||
TOTAL HEALTH CARE | 361,901 | |
INDUSTRIALS – 10.9% | ||
Air Freight & Logistics – 1.3% | ||
United Parcel Service, Inc. Class B | 187 | 37,813 |
Airlines – 0.4% | ||
JetBlue Airways Corp. (a) | 849 | 12,421 |
Commercial Services & Supplies – 0.3% | ||
Stericycle, Inc. (a) | 128 | 7,519 |
Electrical Equipment – 3.2% | ||
AMETEK, Inc. | 357 | 48,827 |
nVent Electric PLC | 849 | 29,367 |
Sunrun, Inc. (a) | 561 | 14,546 |
92,740 | ||
Machinery – 2.6% | ||
Federal Signal Corp. | 1,029 | 40,152 |
Otis Worldwide Corp. | 412 | 35,197 |
75,349 | ||
Professional Services – 3.1% | ||
Leidos Holdings, Inc. | 369 | 33,007 |
ManpowerGroup, Inc. | 299 | 31,356 |
Science Applications International Corp. | 294 | 24,117 |
88,480 | ||
TOTAL INDUSTRIALS | 314,322 | |
INFORMATION TECHNOLOGY – 27.5% | ||
Communications Equipment – 1.3% | ||
Arista Networks, Inc. (a) | 297 | 36,920 |
| ||
Shares | Value | |
Electronic Equipment, Instruments & Components – 2.7% | ||
CDW Corp. | 302 | $57,093 |
Insight Enterprises, Inc. (a) | 220 | 20,713 |
77,806 | ||
IT Services – 7.6% | ||
Accenture PLC Class A | 167 | 59,048 |
Genpact Ltd. | 509 | 25,323 |
Mastercard, Inc. Class A | 116 | 44,820 |
PayPal Holdings, Inc. (a) | 210 | 36,107 |
Twilio, Inc. Class A (a) | 106 | 21,849 |
WEX, Inc. (a) | 210 | 33,806 |
220,953 | ||
Semiconductors & Semiconductor Equipment – 2.5% | ||
Advanced Micro Devices, Inc. (a) | 212 | 24,221 |
NVIDIA Corp. | 192 | 47,013 |
71,234 | ||
Software – 11.5% | ||
Adobe, Inc. (a) | 91 | 48,621 |
HubSpot, Inc. (a) | 62 | 30,306 |
Intuit, Inc. | 79 | 43,863 |
Microsoft Corp. | 368 | 114,441 |
PagerDuty, Inc. (a) | 451 | 14,892 |
Rapid7, Inc. (a) | 291 | 28,032 |
Salesforce.com, Inc. (a) | 218 | 50,713 |
330,868 | ||
Technology Hardware, Storage & Peripherals – 1.9% | ||
Apple, Inc. | 322 | 56,279 |
TOTAL INFORMATION TECHNOLOGY | 794,060 | |
MATERIALS – 3.1% | ||
Chemicals – 1.0% | ||
Eastman Chemical Co. | 130 | 15,461 |
Valvoline, Inc. | 445 | 14,658 |
30,119 | ||
Construction Materials – 0.6% | ||
Summit Materials, Inc. Class A (a) | 482 | 17,140 |
Metals & Mining – 1.5% | ||
Commercial Metals Co. | 702 | 23,475 |
Schnitzer Steel Industries, Inc. Class A | 483 | 18,905 |
42,380 | ||
TOTAL MATERIALS | 89,639 | |
REAL ESTATE – 3.0% | ||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||
Equity Lifestyle Properties, Inc. | 411 | 32,177 |
STORE Capital Corp. | 1,036 | 32,852 |
Ventas, Inc. | 398 | 21,102 |
TOTAL REAL ESTATE | 86,131 |
43 | Semi-Annual Report |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – 2.8% | ||
Electric Utilities – 1.8% | ||
ALLETE, Inc. | 303 | $19,341 |
NextEra Energy, Inc. | 392 | 30,623 |
49,964 | ||
Water Utilities – 1.0% | ||
American Water Works Co., Inc. | 184 | 29,587 |
TOTAL UTILITIES | 79,551 | |
TOTAL COMMON STOCKS (Cost $2,910,838) | 2,831,495 | |
Money Market Fund – 2.9% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 0.01% (b) (Cost $84,007) | 84,007 | 84,007 |
TOTAL INVESTMENT IN SECURITIES – 101.1% (Cost $2,994,845) | 2,915,502 | |
NET OTHER ASSETS (LIABILITIES) – (1.1%) | (32,765) | |
NET ASSETS – 100.0% | $ 2,882,737 |
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 | $ 150,252 | $ 150,252 | $ — | $ — | ||||
Consumer Discretionary | 388,095 | 388,095 | — | — | ||||
Consumer Staples | 109,889 | 109,889 | — | — | ||||
Energy | 32,459 | 32,459 | — | — | ||||
Financials | 425,196 | 425,196 | — | — | ||||
Health Care | 361,901 | 361,901 | — | — | ||||
Industrials | 314,322 | 314,322 | — | — | ||||
Information Technology | 794,060 | 794,060 | — | — | ||||
Materials | 89,639 | 89,639 | — | — | ||||
Real Estate | 86,131 | 86,131 | — | — | ||||
Utilities | 79,551 | 79,551 | — | — | ||||
Money Market Fund | 84,007 | 84,007 | — | — | ||||
Total Investments in Securities: | $ 2,915,502 | $ 2,915,502 | $ — | $ — |
Semi-Annual Report | 44 |
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: | $ 430,083,080 | $ 106,607,529 | $ 56,218,854 | $ 50,699,095 | |||
Cash | 240,816 | — | 15,998 | — | |||
Foreign currency held at value (cost $58, $—, $— and $—, respectively) | 58 | — | — | — | |||
Receivable for investments sold | — | 86,569 | — | 206,512 | |||
Receivable for fund shares sold | 763,892 | — | — | 564,245 | |||
Dividends receivable | 54,533 | 71,932 | 4,736 | 7,689 | |||
Total assets | 431,142,379 | 106,766,030 | 56,239,588 | 51,477,541 | |||
Liabilities | |||||||
Payable for investments purchased | 840,497 | 103,573 | 31,351 | 665,328 | |||
Accrued management fees | 224,079 | 52,170 | 26,598 | 25,331 | |||
Total liabilities | 1,064,576 | 155,743 | 57,949 | 690,659 | |||
Net Assets | $430,077,803 | $106,610,287 | $56,181,639 | $50,786,882 | |||
Net Assets consist of: | |||||||
Paid in capital | $410,345,347 | $ 93,761,797 | $64,303,368 | $49,372,916 | |||
Total accumulated earnings (loss) | 19,732,456 | 12,848,490 | (8,121,729) | 1,413,966 | |||
Net Assets | $430,077,803 | $106,610,287 | $56,181,639 | $50,786,882 | |||
Shares outstanding | 14,075,000 | 3,675,000 | 3,150,000 | 2,250,000 | |||
Net Asset Value per share | $ 30.56 | $ 29.01 | $ 17.84 | $ 22.57 | |||
Investments at cost | $411,948,319 | $ 93,497,291 | $61,133,237 | $47,754,039 |
Semi-Annual Report | 46 |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETF | Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainable U.S. Equity ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule: | $ 60,929,540 | $ 22,627,890 | $ 28,817,439 | $ 5,783,882 | |||
Cash | — | — | 2,713 | — | |||
Foreign currency held at value (cost $—, $—, $— and $—, respectively) | — | — | — | — | |||
Receivable for investments sold | 149,406 | — | 102,132 | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 46,172 | 6,669 | 7,880 | 1,274 | |||
Total assets | 61,125,118 | 22,634,559 | 28,930,164 | 5,785,156 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | 2,713 | — | |||
Accrued management fees | 30,489 | 11,215 | 15,974 | 2,874 | |||
Total liabilities | 30,489 | 11,215 | 18,687 | 2,874 | |||
Net Assets | $61,094,629 | $22,623,344 | $28,911,477 | $5,782,282 | |||
Net Assets consist of: | |||||||
Paid in capital | $52,956,630 | $20,684,118 | $28,044,818 | $5,764,980 | |||
Total accumulated earnings (loss) | 8,137,999 | 1,939,226 | 866,659 | 17,302 | |||
Net Assets | $61,094,629 | $22,623,344 | $28,911,477 | $5,782,282 | |||
Shares outstanding | 2,075,000 | 900,000 | 1,275,000 | 275,000 | |||
Net Asset Value per share | $ 29.44 | $ 25.14 | $ 22.68 | $ 21.03 | |||
Investments at cost | $53,296,077 | $20,920,718 | $27,355,749 | $5,876,554 |
47 | Semi-Annual Report |
Fidelity Women's Leadership ETF | |
Assets | |
Investments in securities, at value – See accompanying schedule: | $ 2,915,502 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for investments sold | 103,808 |
Receivable for fund shares sold | — |
Dividends receivable | 1,110 |
Total assets | 3,020,420 |
Liabilities | |
Payable for investments purchased | 136,238 |
Accrued management fees | 1,445 |
Total liabilities | 137,683 |
Net Assets | $2,882,737 |
Net Assets consist of: | |
Paid in capital | $3,025,364 |
Total accumulated earnings (loss) | (142,627) |
Net Assets | $2,882,737 |
Shares outstanding | 150,000 |
Net Asset Value per share | $ 19.22 |
Investments at cost | $2,994,845 |
Semi-Annual Report | 48 |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | ||||
Investment Income | |||||||
Dividends | $ 822,036 | $ 916,249 | $ 72,818 | $ 124,684 | |||
Non-Cash dividends | — | — | — | — | |||
Total income | 822,036 | 916,249 | 72,818 | 124,684 | |||
Expenses | |||||||
Management fees | 1,388,501 | 294,402 | 144,841 | 136,616 | |||
Independent trustees' fees and expenses | 780 | 170 | 77 | 72 | |||
Total expenses | 1,389,281 | 294,572 | 144,918 | 136,688 | |||
Net investment income (loss) | (567,245) | 621,677 | (72,100) | (12,004) | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (11,555,990) | 1,073,136 | (2,061,046) | (1,500,211) | |||
Net realized gain (loss) on In-kind redemptions | 19,453,485 | 343,063 | 89,452 | 181,120 | |||
Net realized gain (loss) on futures contracts | 8,960 | — | 3,833 | — | |||
Net realized gain (loss) on foreign currency transactions | 1,223 | — | (492) | — | |||
Total net realized gain (loss) | 7,907,678 | 1,416,199 | (1,968,253) | (1,319,091) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (46,674,414) | 1,894,140 | (7,559,859) | (831,638) | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (1) | — | 24 | — | |||
Total change in net unrealized appreciation (depreciation) | (46,674,415) | 1,894,140 | (7,559,835) | (831,638) | |||
Net gain (loss) | (38,766,737) | 3,310,339 | (9,528,088) | (2,150,729) | |||
Net increase (decrease) in net assets resulting from operations | $(39,333,982) | $3,932,016 | $(9,600,188) | $(2,162,733) |
49 | Semi-Annual Report |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETF | Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainable U.S. Equity ETF | ||||
Investment Income | |||||||
Dividends | $ 560,414 | $ 254,944 | $ 156,174 | $ 24,379 | |||
Non-Cash dividends | — | 14,342 | — | — | |||
Total income | 560,414 | 269,286 | 156,174 | 24,379 | |||
Expenses | |||||||
Management fees | 179,906 | 58,799 | 90,183 | 14,443 | |||
Independent trustees' fees and expenses | 107 | 31 | 46 | 7 | |||
Total expenses | 180,013 | 58,830 | 90,229 | 14,450 | |||
Net investment income (loss) | 380,401 | 210,456 | 65,945 | 9,929 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 46,857 | (42,380) | (527,576) | 2,377 | |||
Net realized gain (loss) on In-kind redemptions | 770,981 | 300,276 | 305,593 | 114,888 | |||
Net realized gain (loss) on futures contracts | — | — | (2,234) | — | |||
Net realized gain (loss) on foreign currency transactions | 48 | — | — | — | |||
Total net realized gain (loss) | 817,886 | 257,896 | (224,217) | 117,265 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 156,324 | (192,616) | (144,602) | (191,657) | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | — | — | — | |||
Total change in net unrealized appreciation (depreciation) | 156,324 | (192,616) | (144,602) | (191,657) | |||
Net gain (loss) | 974,210 | 65,280 | (368,819) | (74,392) | |||
Net increase (decrease) in net assets resulting from operations | $1,354,611 | $ 275,736 | $ (302,874) | $ (64,463) |
Semi-Annual Report | 50 |
Fidelity Women's Leadership ETF | |
Investment Income | |
Dividends | $ 12,981 |
Non-Cash dividends | — |
Total income | 12,981 |
Expenses | |
Management fees | 7,596 |
Independent trustees' fees and expenses | 4 |
Total expenses | 7,600 |
Net investment income (loss) | 5,381 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (62,510) |
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) | (62,510) |
Change in net unrealized appreciation (depreciation) on investment securities | (130,452) |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | (130,452) |
Net gain (loss) | (192,962) |
Net increase (decrease) in net assets resulting from operations | $(187,581) |
51 | Semi-Annual Report |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (567,245) | $ (593,203) | $ 621,677 | $ 636,414 | |||
Net realized gain (loss) | 7,907,678 | 388,122 | 1,416,199 | 2,639,370 | |||
Change in net unrealized appreciation (depreciation) | (46,674,415) | 62,277,436 | 1,894,140 | 11,135,394 | |||
Net increase (decrease) in net assets resulting from operations | (39,333,982) | 62,072,355 | 3,932,016 | 14,411,178 | |||
Distributions to shareholders | — | (12,550) | (2,703,225) | (554,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 143,159,457 | 330,484,944 | 12,386,687 | 85,150,123 | |||
Cost of shares redeemed | (80,937,171) | (26,849,401) | (1,470,120) | (12,635,307) | |||
Net increase (decrease) in net assets resulting from share transactions | 62,222,286 | 303,635,543 | 10,916,567 | 72,514,816 | |||
Total increase (decrease) in net assets | 22,888,304 | 365,695,348 | 12,145,358 | 86,371,994 | |||
Net Assets | |||||||
Beginning of period | 407,189,499 | 41,494,151 | 94,464,929 | 8,092,935 | |||
End of period | $430,077,803 | $407,189,499 | $106,610,287 | $ 94,464,929 | |||
Other Information | |||||||
Shares | |||||||
Sold | 4,150,000 | 11,550,000 | 425,000 | 3,400,000 | |||
Redeemed | (2,500,000) | (950,000) | (50,000) | (500,000) | |||
Net increase (decrease) | 1,650,000 | 10,600,000 | 375,000 | 2,900,000 |
Semi-Annual Report | 52 |
Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (72,100) | $ (38,448) | $ (12,004) | $ 710 | |||
Net realized gain (loss) | (1,968,253) | (1,128,036) | (1,319,091) | (59,322) | |||
Change in net unrealized appreciation (depreciation) | (7,559,835) | 2,645,452 | (831,638) | 3,776,694 | |||
Net increase (decrease) in net assets resulting from operations | (9,600,188) | 1,478,968 | (2,162,733) | 3,718,082 | |||
Distributions to shareholders | — | — | (6,125) | (4,875) | |||
Share transactions | |||||||
Proceeds from sales of shares | 26,629,063 | 39,144,463 | 18,256,349 | 33,724,455 | |||
Cost of shares redeemed | (526,578) | (944,089) | (1,142,934) | (1,595,337) | |||
Net increase (decrease) in net assets resulting from share transactions | 26,102,485 | 38,200,374 | 17,113,415 | 32,129,118 | |||
Total increase (decrease) in net assets | 16,502,297 | 39,679,342 | 14,944,557 | 35,842,325 | |||
Net Assets | |||||||
Beginning of period | 39,679,342 | — | 35,842,325 | — | |||
End of period | $56,181,639 | $39,679,342 | $50,786,882 | $35,842,325 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,300,000 | 1,925,000 | 750,000 | 1,625,000 | |||
Redeemed | (25,000) | (50,000) | (50,000) | (75,000) | |||
Net increase (decrease) | 1,275,000 | 1,875,000 | 700,000 | 1,550,000 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
53 | Semi-Annual Report |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 380,401 | $ 441,899 | $ 210,456 | $ 84,268 | |||
Net realized gain (loss) | 817,886 | 1,262,431 | 257,896 | 81,426 | |||
Change in net unrealized appreciation (depreciation) | 156,324 | 7,391,517 | (192,616) | 1,899,788 | |||
Net increase (decrease) in net assets resulting from operations | 1,354,611 | 9,095,847 | 275,736 | 2,065,482 | |||
Distributions to shareholders | (673,575) | (485,050) | (200,325) | (92,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 2,966,192 | 51,361,590 | 7,082,829 | 15,359,907 | |||
Cost of shares redeemed | (2,959,427) | (5,677,642) | (1,270,303) | (597,982) | |||
Net increase (decrease) in net assets resulting from share transactions | 6,765 | 45,683,948 | 5,812,526 | 14,761,925 | |||
Total increase (decrease) in net assets | 687,801 | 54,294,745 | 5,887,937 | 16,735,407 | |||
Net Assets | |||||||
Beginning of period | 60,406,828 | 6,112,083 | 16,735,407 | — | |||
End of period | $61,094,629 | $60,406,828 | $22,623,344 | $16,735,407 | |||
Other Information | |||||||
Shares | |||||||
Sold | 100,000 | 1,975,000 | 275,000 | 700,000 | |||
Redeemed | (100,000) | (200,000) | (50,000) | (25,000) | |||
Net increase (decrease) | — | 1,775,000 | 225,000 | 675,000 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
Semi-Annual Report | 54 |
Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainable U.S. Equity ETF | ||||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021B | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 65,945 | $ 19,982 | $ 9,929 | $ (224) | |||
Net realized gain (loss) | (224,217) | (362,159) | 117,265 | 3,104 | |||
Change in net unrealized appreciation (depreciation) | (144,602) | 1,606,292 | (191,657) | 98,985 | |||
Net increase (decrease) in net assets resulting from operations | (302,874) | 1,264,115 | (64,463) | 101,865 | |||
Distributions to shareholders | (74,600) | (23,950) | (20,100) | — | |||
Share transactions | |||||||
Proceeds from sales of shares | 6,527,363 | 23,317,517 | 4,349,696 | 3,018,299 | |||
Cost of shares redeemed | (1,796,094) | — | (1,603,015) | — | |||
Net increase (decrease) in net assets resulting from share transactions | 4,731,269 | 23,317,517 | 2,746,681 | 3,018,299 | |||
Total increase (decrease) in net assets | 4,353,795 | 24,557,682 | 2,662,118 | 3,120,164 | |||
Net Assets | |||||||
Beginning of period | 24,557,682 | — | 3,120,164 | — | |||
End of period | $28,911,477 | $24,557,682 | $ 5,782,282 | $3,120,164 | |||
Other Information | |||||||
Shares | |||||||
Sold | 275,000 | 1,075,000 | 200,000 | 150,000 | |||
Redeemed | (75,000) | — | (75,000) | — | |||
Net increase (decrease) | 200,000 | 1,075,000 | 125,000 | 150,000 |
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. |
55 | Semi-Annual Report |
Fidelity Women's Leadership ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021B | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 5,381 | $ 201 | |
Net realized gain (loss) | (62,510) | (906) | |
Change in net unrealized appreciation (depreciation) | (130,452) | 51,109 | |
Net increase (decrease) in net assets resulting from operations | (187,581) | 50,404 | |
Distributions to shareholders | (5,450) | — | |
Share transactions | |||
Proceeds from sales of shares | 1,025,164 | 2,000,200 | |
Cost of shares redeemed | — | — | |
Net increase (decrease) in net assets resulting from share transactions | 1,025,164 | 2,000,200 | |
Total increase (decrease) in net assets | 832,133 | 2,050,604 | |
Net Assets | |||
Beginning of period | 2,050,604 | — | |
End of period | $2,882,737 | $2,050,604 | |
Other Information | |||
Shares | |||
Sold | 50,000 | 100,000 | |
Redeemed | — | — | |
Net increase (decrease) | 50,000 | 100,000 |
B | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
Semi-Annual Report | 56 |
Fidelity Blue Chip Growth ETF | |||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Year ended July 31, 2020A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 32.77 | $ 22.74 | $ 20.00 | ||
Income from Investment Operations | |||||
Net investment income (loss)B,C | (0.04) | (0.08) | (0.01) | ||
Net realized and unrealized gain (loss) | (2.17) | 10.11 | 2.75 | ||
Total from investment operations | (2.21) | 10.03 | 2.74 | ||
Distributions from net investment income | — | (0.00) D | — | ||
Total distributions | — | (0.00) D | — | ||
Net asset value, end of period | $ 30.56 | $ 32.77 | $ 22.74 | ||
Total ReturnE,F,G | (6.76)% | 44.14% | 13.68% | ||
Ratios to Average Net AssetsB,H | |||||
Expenses before reductions | .59% I | .59% | .59% I | ||
Expenses net of fee waivers, if any | .59% I | .59% | .59% I | ||
Expenses net of all reductions | .59% I | .59% | .59% I | ||
Net investment income (loss) | (.24)% I | (.27)% | (.34)% I | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $430,078 | $407,189 | $41,494 | ||
Portfolio turnover rateJ,K | 30% L | 63% | 11% L |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Amount represents less than $0.005 per share. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | 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. |
57 | Semi-Annual Report |
Fidelity Blue Chip Value ETF | |||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Year ended July 31, 2020A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 28.63 | $ 20.23 | $20.00 | ||
Income from Investment Operations | |||||
Net investment income (loss)B,C | 0.18 | 0.32 | 0.03 | ||
Net realized and unrealized gain (loss) | 0.98 | 8.32 | 0.21 | ||
Total from investment operations | 1.16 | 8.64 | 0.24 | ||
Distributions from net investment income | (0.20) | (0.24) | (0.01) | ||
Distributions from net realized gain | (0.58) | — | — | ||
Total distributions | (0.78) | (0.24) | (0.01) | ||
Net asset value, end of period | $ 29.01 | $ 28.63 | $20.23 | ||
Total ReturnD,E,F | 4.10% | 42.83% | 1.23% | ||
Ratios to Average Net AssetsB,G | |||||
Expenses before reductions | .59% H | .59% | .59% H | ||
Expenses net of fee waivers, if any | .59% H | .59% | .59% H | ||
Expenses net of all reductions | .59% H | .58% | .59% H | ||
Net investment income (loss) | 1.25% H | 1.22% | 1.02% H | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $106,610 | $94,465 | $8,093 | ||
Portfolio turnover rateI,J | 38% K | 97% | 20% K |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
Semi-Annual Report | 58 |
Fidelity Growth Opportunities ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 21.16 | $ 20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | (0.03) | (0.03) | |
Net realized and unrealized gain (loss) | (3.29) | 1.19 | |
Total from investment operations | (3.32) | 1.16 | |
Net asset value, end of period | $ 17.84 | $ 21.16 | |
Total ReturnD,E,F | (15.73)% | 5.82% | |
Ratios to Average Net AssetsB,G,H | |||
Expenses before reductions | .59% | .59% | |
Expenses net of fee waivers, if any | .59% | .59% | |
Expenses net of all reductions | .59% | .59% | |
Net investment income (loss) | (.29)% | (.33)% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $56,182 | $39,679 | |
Portfolio turnover rateI,J,K | 45% | 49% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
59 | Semi-Annual Report |
Fidelity Magellan ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 23.12 | $ 20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | (0.01) | — D | |
Net realized and unrealized gain (loss) | (0.54) | 3.13 | |
Total from investment operations | (0.55) | 3.13 | |
Distributions from net investment income | (0.00) D | (0.01) | |
Total distributions | (0.00) D | (0.01) | |
Net asset value, end of period | $ 22.57 | $ 23.12 | |
Total ReturnE,F,G | (2.39)% | 15.65% | |
Ratios to Average Net AssetsB,H,I | |||
Expenses before reductions | .59% | .59% | |
Expenses net of fee waivers, if any | .59% | .59% | |
Expenses net of all reductions | .59% | .59% | |
Net investment income (loss) | (.05)% | .01% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $50,787 | $35,842 | |
Portfolio turnover rateJ,K,L | 32% | 41% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Amount represents less than $0.005 per share. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
H | Annualized. |
I | 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. |
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. |
Semi-Annual Report | 60 |
Fidelity New Millennium ETF | |||||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021 | Year ended July 31, 2020A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 29.11 | $ 20.37 | $20.00 | ||
Income from Investment Operations | |||||
Net investment income (loss)B,C | 0.18 | 0.36 | 0.03 | ||
Net realized and unrealized gain (loss) | 0.47 | 8.75 | 0.36 | ||
Total from investment operations | 0.65 | 9.11 | 0.39 | ||
Distributions from net investment income | (0.32) | (0.37) | (0.02) | ||
Total distributions | (0.32) | (0.37) | (0.02) | ||
Net asset value, end of period | $ 29.44 | $ 29.11 | $20.37 | ||
Total ReturnD,E,F | 2.28% | 45.03% | 1.95% | ||
Ratios to Average Net AssetsB,G | |||||
Expenses before reductions | .59% H | .59% | .59% H | ||
Expenses net of fee waivers, if any | .59% H | .59% | .59% H | ||
Expenses net of all reductions | .59% H | .58% | .59% H | ||
Net investment income (loss) | 1.25% H | 1.33% | 1.00% H | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $61,095 | $60,407 | $6,112 | ||
Portfolio turnover rateI,J | 15% K | 68% | 10% K |
A | For the period June 2, 2020 (commencement of operations) to July 31, 2020. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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 | Semi-Annual Report |
Fidelity Real Estate Investment ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 24.79 | $ 20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.27 | 0.21 | |
Net realized and unrealized gain (loss) | 0.33 | 4.79 | |
Total from investment operations | 0.60 | 5.00 | |
Distributions from net investment income | (0.25) | (0.21) | |
Total distributions | (0.25) | (0.21) | |
Net asset value, end of period | $ 25.14 | $ 24.79 | |
Total ReturnD,E,F | 2.40% | 25.17% | |
Ratios to Average Net AssetsB,G,H | |||
Expenses before reductions | .59% | .59% | |
Expenses net of fee waivers, if any | .59% | .59% | |
Expenses net of all reductions | .59% | .58% | |
Net investment income (loss) | 2.12% | 1.80% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $22,623 | $16,735 | |
Portfolio turnover rateI,J,K | 12% | 23% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
Semi-Annual Report | 62 |
Fidelity Small-Mid Cap Opportunities ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 22.84 | $ 20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.06 | 0.03 | |
Net realized and unrealized gain (loss) | (0.16) | 2.84 | |
Total from investment operations | (0.10) | 2.87 | |
Distributions from net investment income | (0.06) | (0.03) | |
Total distributions | (0.06) | (0.03) | |
Net asset value, end of period | $ 22.68 | $ 22.84 | |
Total ReturnD,E,F | (0.47)% | 14.36% | |
Ratios to Average Net AssetsB,G,H | |||
Expenses before reductions | .64% | .64% | |
Expenses net of fee waivers, if any | .64% | .64% | |
Expenses net of all reductions | .64% | .63% | |
Net investment income (loss) | .47% | .22% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $28,911 | $24,558 | |
Portfolio turnover rateI,J,K | 22% | 37% |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
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. |
63 | Semi-Annual Report |
Fidelity Sustainable U.S. Equity ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $20.80 | $20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.04 | (—) D | |
Net realized and unrealized gain (loss) | 0.27 E | 0.80 | |
Total from investment operations | 0.31 | 0.80 | |
Distributions from net investment income | (0.08) | — | |
Total distributions | (0.08) | — | |
Net asset value, end of period | $21.03 | $20.80 | |
Total ReturnF,G | 1.45% | 3.99% | |
Ratios to Average Net AssetsB,H,I | |||
Expenses before reductions | .59% | .59% | |
Expenses net of fee waivers, if any | .59% | .59% | |
Expenses net of all reductions | .59% | .59% | |
Net investment income (loss) | .41% | (.07)% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $5,782 | $3,120 | |
Portfolio turnover rateJ,K,L | 50% | 23% |
A | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Amount represents less than $0.005 per share. |
E | 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. |
F | Based on net asset value. |
G | Total returns for periods of less than one year are not annualized. |
H | Annualized. |
I | 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. |
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. |
Semi-Annual Report | 64 |
Fidelity Women's Leadership ETF | |||
Six months ended January 31, 2022 (Unaudited) | Year ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $20.51 | $20.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.04 | — D | |
Net realized and unrealized gain (loss) | (1.29) | 0.51 | |
Total from investment operations | (1.25) | 0.51 | |
Distributions from net investment income | (0.04) | — | |
Total distributions | (0.04) | — | |
Net asset value, end of period | $19.22 | $20.51 | |
Total ReturnE,F | (6.10)% | 2.53% | |
Ratios to Average Net AssetsB,G,H | |||
Expenses before reductions | .59% | .59% | |
Expenses net of fee waivers, if any | .59% | .59% | |
Expenses net of all reductions | .59% | .59% | |
Net investment income (loss) | .42% | .08% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $2,883 | $2,051 | |
Portfolio turnover rateI,J | 38% K | 5% |
A | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Amount represents less than $0.005 per share. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
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. |
65 | Semi-Annual Report |
For the period ended January 31, 2022 (Unaudited)
Semi-Annual Report | 66 |
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
67 | Semi-Annual Report |
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Blue Chip Growth ETF | $ 417,744,178 | $ 54,839,744 | $ (42,500,842) | $ 12,338,902 |
Fidelity Blue Chip Value ETF | 94,329,732 | 13,568,547 | (1,290,750) | 12,277,797 |
Fidelity Growth Opportunities ETF | 62,236,297 | 2,894,311 | (8,911,754) | (6,017,443) |
Fidelity Magellan ETF | 47,908,957 | 3,942,351 | (1,152,213) | 2,790,138 |
Fidelity New Millennium ETF | 53,671,044 | 9,183,023 | (1,924,527) | 7,258,496 |
Fidelity Real Estate Investment ETF | 20,977,474 | 1,849,642 | (199,226) | 1,650,416 |
Fidelity Small-Mid Cap Opportunities ETF | 27,508,207 | 2,608,016 | (1,298,784) | 1,309,232 |
Fidelity Sustainable U.S. Equity ETF | 5,923,839 | 249,650 | (389,607) | (139,957) |
Fidelity Women’s Leadership ETF | 3,011,159 | 124,470 | (220,127) | (95,657) |
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 Sustainable U.S. Equity ETF | — | — | — |
Fidelity Women’s Leadership ETF | (466) | — | (466) |
Ordinary Losses | |
Fidelity Blue Chip Growth ETF | $ (494,447) |
Semi-Annual Report | 68 |
The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Purchases ($) | Sales ($) | |
Fidelity Blue Chip Growth ETF | 149,798,896 | 141,196,620 |
Fidelity Blue Chip Value ETF | 37,746,408 | 37,032,857 |
Fidelity Growth Opportunities ETF | 26,555,315 | 22,401,883 |
Fidelity Magellan ETF | 15,897,920 | 14,484,395 |
Fidelity New Millennium ETF | 9,086,228 | 10,978,012 |
Fidelity Real Estate Investment ETF | 2,848,879 | 2,332,368 |
Fidelity Small-Mid Cap Opportunities ETF | 7,308,623 | 6,023,037 |
Fidelity Sustainable U.S. Equity ETF | 3,085,776 | 2,359,494 |
Fidelity Women’s Leadership ETF | 1,237,266 | 946,627 |
In-kind Subscriptions ($) | In-kind Redemptions ($) | |
Fidelity Blue Chip Growth ETF | 117,903,875 | 64,500,696 |
Fidelity Blue Chip Value ETF | 11,124,224 | 1,303,899 |
Fidelity Growth Opportunities ETF | 22,318,451 | 431,868 |
Fidelity Magellan ETF | 16,184,076 | 905,164 |
Fidelity New Millennium ETF | 2,396,491 | 2,493,452 |
Fidelity Real Estate Investment ETF | 6,466,148 | 1,163,613 |
Fidelity Small-Mid Cap Opportunities ETF | 4,580,298 | 1,299,149 |
Fidelity Sustainable U.S. Equity ETF | 3,256,237 | 1,303,127 |
Fidelity Women’s Leadership ETF | 715,157 | — |
69 | Semi-Annual Report |
Fidelity Small-Mid Cap Opportunities ETF’s management fee is based on an annual rate of .64% of average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Amount | |
Fidelity Blue Chip Growth ETF | $ 1,821 |
Fidelity Blue Chip Value ETF | 355 |
Fidelity Growth Opportunities ETF | 425 |
Fidelity Magellan ETF | 123 |
Fidelity New Millennium ETF | 217 |
Fidelity Real Estate Investment ETF | 50 |
Fidelity Small-Mid Cap Opportunities ETF | 156 |
Fidelity Sustainable U.S. Equity ETF | 48 |
Fidelity Women’s Leadership ETF | 23 |
Purchases | Sales | Realized Gain (Loss) | |
Fidelity Blue Chip Growth ETF | $ 5,140,352 | $ 1,154,744 | $ (168,938) |
Fidelity Blue Chip Value ETF | 440,096 | 660,488 | 115,907 |
Fidelity New Millennium ETF | 141,742 | 89,695 | 5,239 |
Semi-Annual Report | 70 |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity Blue Chip Growth ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 932.40 | $ 2.87 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Blue Chip Value ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,041.00 | $ 3.04 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Growth Opportunities ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 842.70 | $ 2.74 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Magellan ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 976.10 | $ 2.94 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity New Millennium ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,022.80 | $ 3.01 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Real Estate Investment ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,024.00 | $ 3.01 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Small-Mid Cap Opportunities ETF | 0.64% | |||
Actual | $ 1,000.00 | $ 995.30 | $ 3.22D | |
Hypothetical C | $ 1,000.00 | $ 1,021.98 | $ 3.26D |
71 | Semi-Annual Report |
Annualized Expense RatioA | Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Expenses Paid During PeriodB August 1, 2021 to January 31, 2022 | |
Fidelity Sustainable U.S. Equity ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,014.50 | $ 3.00 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 | |
Fidelity Women's Leadership ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 939.00 | $ 2.88 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 |
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 184/365 (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. |
D | If fees and changes to the expense contract and/ or expense cap, effective February 1, 2022, had been in effect during the current period, the restated annualized expense ratio and the expenses paid in the actual and hypothetical examples above would be as shown in table below: |
Semi-Annual Report | 72 |
Annualized Expense RatioA | Expenses Paid | |
Fidelity Small-Mid Cap Opportunities ETF | 0.60% | |
Actual | $ 3.02 | |
Hypothetical B | $ 3.06 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | 5% return per year before expenses. |
73 | Semi-Annual Report |
Semi-Annual Report | 74 |
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Covington 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 Fidelity Covington Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the 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: | March 24, 2022 |
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: | March 24, 2022 | |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | March 24, 2022 |