UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07319
Fidelity Covington Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant’s telephone number, including area code: 617-563-7000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2022
Item 1. | Reports to Stockholders |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Communication Services Index ETF – NAVA | -32.06 | 4.90 | 6.99 |
Fidelity MSCI Communication Services Index ETF – Market PriceB | -32.13 | 4.87 | 6.97 |
MSCI USA IMI Communication Services 25/50 IndexA | -32.01 | 4.99 | 7.07 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Alphabet, Inc. Class A | 12.2 |
Meta Platforms, Inc. Class A | 12.0 |
Alphabet, Inc. Class C | 11.0 |
Verizon Communications, Inc. | 6.3 |
The Walt Disney Co. | 4.8 |
Comcast Corp. Class A | 4.1 |
AT&T, Inc. | 4.1 |
Netflix, Inc. | 3.5 |
T-Mobile US, Inc. | 3.4 |
Activision Blizzard, Inc. | 2.5 |
63.9 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Consumer Discretionary Index ETF – NAVA | -13.89 | 15.14 | 13.51 |
Fidelity MSCI Consumer Discretionary Index ETF – Market PriceB | -13.97 | 15.12 | 13.39 |
Fidelity MSCI Consumer Discretionary Index ETF Capped Linked IndexA | -13.80 | 15.09 | 13.55 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Amazon.com, Inc. | 24.9 |
Tesla, Inc. | 15.5 |
The Home Depot, Inc. | 6.5 |
McDonald's Corp. | 4.1 |
NIKE, Inc. Class B | 3.1 |
Lowe's Cos., Inc. | 2.7 |
Starbucks Corp. | 2.0 |
Booking Holdings, Inc. | 1.7 |
Target Corp. | 1.6 |
The TJX Cos., Inc. | 1.5 |
63.6 |
Annual Report | 10 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Consumer Staples Index ETF – NAVA | 5.79 | 8.95 | 9.64 |
Fidelity MSCI Consumer Staples Index ETF – Market PriceB | 5.83 | 8.96 | 9.49 |
Fidelity MSCI Consumer Staples Index ETF Capped Linked IndexA | 5.89 | 9.08 | 9.79 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
11 | Annual Report |
Annual Report | 12 |
% of fund's net assets | |
The Procter & Gamble Co. | 12.4 |
The Coca-Cola Co. | 9.6 |
PepsiCo, Inc. | 8.7 |
Costco Wholesale Corp. | 8.4 |
Walmart, Inc. | 7.0 |
Philip Morris International, Inc. | 4.1 |
Mondelez International, Inc. Class A | 3.6 |
Altria Group, Inc. | 3.2 |
Colgate-Palmolive Co. | 2.6 |
The Estee Lauder Cos., Inc. Class A | 2.6 |
62.2 |
13 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Energy Index ETF – NAVA | 65.70 | 7.77 | 1.76 |
Fidelity MSCI Energy Index ETF – Market PriceB | 65.68 | 7.75 | 1.78 |
Fidelity MSCI Energy Index ETF Capped Linked IndexA | 65.91 | 7.85 | 1.85 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 14 |
15 | Annual Report |
% of fund's net assets | |
Exxon Mobil Corp. | 22.3 |
Chevron Corp. | 17.1 |
ConocoPhillips | 6.8 |
EOG Resources, Inc. | 3.6 |
Occidental Petroleum Corp. | 3.4 |
Marathon Petroleum Corp. | 3.2 |
Pioneer Natural Resources Co. | 3.0 |
Schlumberger N.V. | 2.9 |
Valero Energy Corp. | 2.5 |
Phillips 66 | 2.4 |
67.2 |
Annual Report | 16 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Financials Index ETF – NAVA | -6.11 | 7.78 | 10.04 |
Fidelity MSCI Financials Index ETF – Market PriceB | -6.12 | 7.79 | 10.07 |
Fidelity MSCI Financials Index ETF Capped Linked IndexA | -6.04 | 7.87 | 10.15 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
17 | Annual Report |
Annual Report | 18 |
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 8.5 |
JPMorgan Chase & Co. | 7.5 |
Bank of America Corp. | 5.4 |
Wells Fargo & Co. | 3.7 |
S&P Global, Inc. | 2.9 |
Goldman Sachs Group, Inc. | 2.5 |
Morgan Stanley | 2.5 |
Citigroup, Inc. | 2.2 |
BlackRock, Inc. | 2.2 |
The Charles Schwab Corp. | 2.2 |
39.6 |
19 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Health Care Index ETF – NAVA | -3.32 | 12.13 | 12.81 |
Fidelity MSCI Health Care Index ETF – Market PriceB | -3.30 | 12.17 | 12.72 |
Fidelity MSCI Health Care Index ETF Capped Linked IndexA | -3.25 | 12.24 | 12.92 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 20 |
21 | Annual Report |
% of fund's net assets | |
UnitedHealth Group, Inc. | 8.7 |
Johnson & Johnson | 7.9 |
Pfizer, Inc. | 4.9 |
Eli Lilly & Co. | 4.6 |
AbbVie, Inc. | 4.3 |
Thermo Fisher Scientific, Inc. | 4.0 |
Merck & Co., Inc. | 3.9 |
Danaher Corp. | 3.4 |
Abbott Laboratories | 3.3 |
Bristol-Myers Squibb Co. | 2.8 |
47.8 |
Annual Report | 22 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Industrials Index ETF – NAVA | -7.10 | 9.21 | 9.93 |
Fidelity MSCI Industrials Index ETF – Market PriceB | -7.08 | 9.21 | 9.80 |
Fidelity MSCI Industrials Index ETF Capped Linked IndexA | -7.04 | 9.31 | 10.04 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
23 | Annual Report |
Annual Report | 24 |
% of fund's net assets | |
Union Pacific Corp. | 4.0 |
United Parcel Service, Inc. Class B | 3.9 |
Raytheon Technologies Corp. | 3.8 |
Honeywell International, Inc. | 3.6 |
Caterpillar, Inc. | 2.9 |
Lockheed Martin Corp. | 2.8 |
Deere & Co. | 2.7 |
The Boeing Co. | 2.4 |
3M Co. | 2.3 |
General Electric Co. | 2.2 |
30.6 |
25 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Information Technology Index ETF – NAVA | -9.41 | 20.94 | 19.51 |
Fidelity MSCI Information Technology Index ETF – Market PriceB | -9.42 | 20.95 | 19.60 |
Fidelity MSCI Information Technology Index ETF Capped Linked IndexA | -9.35 | 21.05 | 19.63 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 26 |
27 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 24.1 |
Microsoft Corp. | 18.2 |
NVIDIA Corp. | 4.1 |
Visa, Inc. Class A | 3.2 |
Mastercard, Inc. Class A | 2.8 |
Broadcom, Inc. | 2.0 |
Accenture PLC Class A | 1.8 |
Adobe, Inc. | 1.8 |
Cisco Systems, Inc. | 1.7 |
Salesforce, Inc. | 1.6 |
61.3 |
Annual Report | 28 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Materials Index ETF – NAVA | -4.68 | 8.85 | 8.66 |
Fidelity MSCI Materials Index ETF – Market PriceB | -4.63 | 8.87 | 8.53 |
Fidelity MSCI Materials Index ETF Capped Linked IndexA | -4.60 | 8.89 | 8.72 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
29 | Annual Report |
Annual Report | 30 |
% of fund's net assets | |
Linde PLC | 13.3 |
The Sherwin-Williams Co. | 5.1 |
Air Products & Chemicals, Inc. | 4.7 |
Freeport-McMoRan, Inc. | 3.9 |
Ecolab, Inc. | 3.6 |
Corteva, Inc. | 3.6 |
Dow, Inc. | 3.4 |
Nucor Corp. | 3.1 |
Newmont Corp. | 3.1 |
International Flavors & Fragrances, Inc. | 2.7 |
46.5 |
31 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Real Estate Index ETF – NAVA | -4.25 | 7.79 | 6.60 |
Fidelity MSCI Real Estate Index ETF – Market PriceB | -4.26 | 7.80 | 6.39 |
Fidelity MSCI Real Estate Index ETF Capped Linked IndexA | -4.30 | 7.91 | 6.69 |
S&P 500 IndexA | -4.64 | 12.83 | 12.12 |
B | From February 5, 2015, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 32 |
33 | Annual Report |
% of fund's net assets | |
American Tower Corp. | 8.3 |
Prologis, Inc. | 6.6 |
Crown Castle International Corp. | 5.3 |
Equinix, Inc. | 4.3 |
Public Storage | 3.5 |
Realty Income Corp. | 3.0 |
Welltower, Inc. | 2.6 |
Digital Realty Trust, Inc. | 2.5 |
SBA Communications Corp. | 2.5 |
Simon Property Group, Inc. | 2.4 |
41.0 |
Annual Report | 34 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Utilities Index ETF – NAVA | 15.10 | 9.95 | 11.22 |
Fidelity MSCI Utilities Index ETF – Market PriceB | 15.08 | 9.95 | 11.11 |
Fidelity MSCI Utilities Index ETF Capped Linked IndexA | 15.17 | 10.07 | 11.36 |
S&P 500 IndexA | -4.64 | 12.83 | 12.45 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
35 | Annual Report |
Annual Report | 36 |
% of fund's net assets | |
NextEra Energy, Inc. | 13.8 |
Duke Energy Corp. | 7.0 |
The Southern Co. | 6.8 |
Dominion Energy, Inc. | 5.5 |
Sempra Energy | 4.4 |
American Electric Power Co., Inc. | 4.1 |
Exelon Corp. | 3.8 |
Xcel Energy, Inc. | 3.3 |
Consolidated Edison, Inc. | 2.9 |
Public Service Enterprise Group, Inc. | 2.8 |
54.4 |
37 | Annual Report |
Common Stocks – 99.9% | |||
Shares | Value | ||
DIVERSIFIED TELECOMMUNICATION SERVICES – 14.6% | |||
Alternative Carriers – 3.3% | |||
Anterix, Inc. (a) | 8,997 | $ 400,277 | |
Bandwidth, Inc. Class A (a) | 16,213 | 269,622 | |
Cogent Communications Holdings, Inc. | 30,258 | 1,930,763 | |
EchoStar Corp. Class A (a) | 25,896 | 511,705 | |
Globalstar, Inc. (a) | 502,327 | 703,258 | |
Iridium Communications, Inc. (a) | 81,014 | 3,622,136 | |
Liberty Global PLC Class A (a) | 109,827 | 2,389,835 | |
Liberty Global PLC Class C (a) | 158,158 | 3,620,237 | |
Liberty Latin America Ltd. Class A (a) | 27,098 | 199,712 | |
Liberty Latin America Ltd. Class C (a) | 108,755 | 798,262 | |
Lumen Technologies, Inc. | 397,541 | 4,329,221 | |
18,775,028 | |||
Integrated Telecommunication Services – 11.3% | |||
AT&T, Inc. | 1,221,783 | 22,945,085 | |
ATN International, Inc. | 7,780 | 358,191 | |
Consolidated Communications Holdings, Inc. (a) | 42,222 | 278,665 | |
Frontier Communications Parent, Inc. (a) | 111,624 | 2,892,178 | |
IDT Corp. Class B (a) | 13,856 | 360,672 | |
Radius Global Infrastructure, Inc. (a) | 54,776 | 836,977 | |
Verizon Communications, Inc. | 768,039 | 35,475,721 | |
63,147,489 | |||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 81,922,517 | ||
ENTERTAINMENT – 21.0% | |||
Interactive Home Entertainment – 6.3% | |||
Activision Blizzard, Inc. | 175,803 | 14,055,450 | |
Electronic Arts, Inc. | 71,322 | 9,359,586 | |
Playstudios, Inc. (a) | 57,832 | 232,485 | |
ROBLOX Corp. Class A (a) | 106,983 | 4,592,780 | |
Skillz, Inc. (a) | 166,070 | 262,390 | |
Take-Two Interactive Software, Inc. (a) | 52,311 | 6,943,239 | |
35,445,930 | |||
Movies & Entertainment – 14.7% | |||
AMC Entertainment Holdings, Inc. Class A (a) | 205,490 | 2,991,934 | |
Cinemark Holdings, Inc. (a) | 75,410 | 1,382,265 | |
Endeavor Group Holdings, Inc. (a) | 56,499 | 1,287,612 | |
IMAX Corp. (a) | 32,804 | 551,435 | |
Liberty Media Corp-Liberty Braves Class A (a) | 5,516 | 159,192 | |
Liberty Media Corp-Liberty Braves Class C (a) | 27,590 | 763,415 |
| |||
Shares | Value | ||
Liberty Media Corp-Liberty Formula One Class C (a) | 83,374 | $ 5,650,256 | |
Lions Gate Entertainment Corp. Class A (a) | 41,091 | 359,957 | |
Lions Gate Entertainment Corp. Class B (a) | 84,783 | 704,547 | |
Live Nation Entertainment, Inc. (a) | 55,844 | 5,248,778 | |
Madison Square Garden Entertainment Corp. (a) | 17,277 | 1,006,040 | |
Madison Square Garden Sports Corp. Class A (a) | 10,367 | 1,594,237 | |
Netflix, Inc. (a) | 86,448 | 19,442,155 | |
Roku, Inc. (a) | 38,084 | 2,495,264 | |
The Marcus Corp. (a) | 15,306 | 251,478 | |
The Walt Disney Co. (a) | 256,686 | 27,234,385 | |
Warner Bros Discovery, Inc. (a) | 605,046 | 9,075,690 | |
World Wrestling Entertainment, Inc. Class A | 30,719 | 2,129,134 | |
82,327,774 | |||
TOTAL ENTERTAINMENT | 117,773,704 | ||
INTERACTIVE MEDIA & SERVICES – 42.0% | |||
Interactive Media & Services – 42.0% | |||
Alphabet, Inc. Class A (a) | 587,466 | 68,334,045 | |
Alphabet, Inc. Class C (a) | 532,046 | 62,057,845 | |
Angi, Inc. (a) | 50,620 | 263,224 | |
Bumble, Inc. Class A (a) | 49,923 | 1,893,080 | |
Cargurus, Inc. (a) | 60,472 | 1,468,865 | |
Cars.com, Inc. (a) | 45,956 | 540,443 | |
Eventbrite, Inc. Class A (a) | 60,648 | 567,665 | |
EverQuote, Inc. Class A (a) | 12,011 | 125,515 | |
fuboTV, Inc. (a) | 96,879 | 243,166 | |
IAC/InterActive Corp. (a) | 34,585 | 2,369,073 | |
Match Group, Inc. (a) | 71,245 | 5,222,971 | |
MediaAlpha, Inc. Class A (a) | 15,466 | 190,541 | |
Meta Platforms, Inc. Class A (a) | 422,265 | 67,182,362 | |
Nextdoor Holdings, Inc. (a) | 31,064 | 104,064 | |
Pinterest, Inc. Class A (a) | 178,490 | 3,476,985 | |
QuinStreet, Inc. (a) | 36,541 | 392,816 | |
Snap, Inc. Class A (a) | 304,103 | 3,004,538 | |
TripAdvisor, Inc. (a) | 70,480 | 1,339,825 | |
TrueCar, Inc. (a) | 62,055 | 159,481 | |
Twitter, Inc. (a) | 195,739 | 8,144,700 | |
Vimeo, Inc. (a) | 104,192 | 579,308 | |
Yelp, Inc. (a) | 51,112 | 1,567,094 | |
Ziff Davis, Inc. (a) | 30,100 | 2,464,889 | |
ZipRecruiter, Inc. (a) | 27,146 | 475,869 | |
ZoomInfo Technologies, Inc. Class A (a) | 90,687 | 3,436,130 | |
235,604,494 | |||
Internet & Direct Marketing Retail – 0.0% | |||
Shutterstock, Inc. | 189 | 10,678 | |
TOTAL INTERACTIVE MEDIA & SERVICES | 235,615,172 |
Annual Report | 38 |
Common Stocks – continued | |||
Shares | Value | ||
LEISURE PRODUCTS – 0.0% | |||
Leisure Products – 0.0% | |||
Vinco Ventures, Inc. (a) | 85,419 | $ 64,918 | |
MEDIA – 18.4% | |||
Advertising – 2.5% | |||
AdTheorent Holding Co., Inc. (a) | 15,337 | 43,097 | |
Advantage Solutions, Inc. (a) | 55,957 | 248,449 | |
Boston Omaha Corp. Class A (a) | 14,000 | 341,600 | |
Cardlytics, Inc. (a) | 23,161 | 319,622 | |
Clear Channel Outdoor Holdings, Inc. (a) | 231,001 | 358,052 | |
Innovid Corp. (a) | 42,396 | 112,773 | |
Loyalty Ventures, Inc. (a) | 14,921 | 44,017 | |
Magnite, Inc. (a) | 83,336 | 636,687 | |
Omnicom Group, Inc. | 79,540 | 5,555,074 | |
PubMatic, Inc. (a) | 26,982 | 447,631 | |
Stagwell, Inc. (a) | 43,952 | 290,523 | |
TechTarget, Inc. (a) | 19,691 | 1,283,656 | |
The Interpublic Group of Cos., Inc. | 148,318 | 4,430,259 | |
Thryv Holdings, Inc. (a) | 14,233 | 346,431 | |
14,457,871 | |||
Broadcasting – 4.1% | |||
AMC Networks, Inc. Class A (a) | 19,536 | 596,239 | |
Audacy, Inc. (a) | 86,583 | 55,153 | |
Fox Corp. Class A | 125,665 | 4,160,768 | |
Fox Corp. Class B | 99,659 | 3,079,463 | |
Gray Television, Inc. | 55,278 | 1,026,512 | |
iHeartMedia, Inc. Class A (a) | 79,985 | 598,288 | |
Nexstar Media Group, Inc. Class A | 24,736 | 4,659,520 | |
Paramount Global Class B | 185,091 | 4,377,402 | |
Sinclair Broadcast Group, Inc. Class A | 34,620 | 756,101 | |
TEGNA, Inc. | 147,603 | 3,090,807 | |
The E.W. Scripps Co. Class A (a) | 37,292 | 531,784 | |
22,932,037 | |||
Cable & Satellite – 10.2% | |||
Altice USA, Inc. Class A (a) | 151,378 | 1,590,983 | |
Cable One, Inc. | 2,573 | 3,542,198 | |
Charter Communications, Inc. Class A (a) | 27,567 | 11,911,701 | |
Comcast Corp. Class A | 618,943 | 23,222,741 | |
DISH Network Corp. Class A (a) | 129,828 | 2,255,112 | |
Liberty Broadband Corp. Class C (a) | 43,735 | 4,764,054 | |
Liberty Media Corp-Liberty SiriusXM Class A (a) | 53,042 | 2,113,724 |
| |||
Shares | Value | ||
Liberty Media Corp-Liberty SiriusXM Class C (a) | 84,954 | $ 3,382,868 | |
Sirius XM Holdings, Inc. | 553,661 | 3,698,455 | |
WideOpenWest, Inc. (a) | 36,831 | 676,954 | |
57,158,790 | |||
Publishing – 1.6% | |||
Gannett Co., Inc. (a) | 94,953 | 285,808 | |
John Wiley & Sons, Inc. Class A | 31,026 | 1,620,178 | |
News Corp. Class A | 189,810 | 3,253,343 | |
Scholastic Corp. | 20,710 | 974,820 | |
The New York Times Co. Class A | 86,089 | 2,750,544 | |
8,884,693 | |||
TOTAL MEDIA | 103,433,391 | ||
WIRELESS TELECOMMUNICATION SERVICES – 3.9% | |||
Wireless Telecommunication Services – 3.9% | |||
Gogo, Inc. (a) | 34,790 | 603,955 | |
Shenandoah Telecommunications Co. | 33,268 | 741,877 | |
Telephone & Data Systems, Inc. | 71,298 | 1,127,221 | |
T-Mobile US, Inc. (a) | 132,073 | 18,894,363 | |
United States Cellular Corp. (a) | 11,093 | 324,914 | |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 21,692,330 | ||
TOTAL COMMON STOCKS (Cost $674,683,917) | 560,502,032 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $940,000) | 940,000 | 940,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $675,623,917) | 561,442,032 | ||
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (196,500) | ||
NET ASSETS – 100.0% | $ 561,245,532 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
39 | Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Communication Service Select Sector Index Contracts (United States) | 10 | September 2022 | $738,875 | $(5,223) | $(5,223) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 560,502,032 | $ 560,502,032 | $ — | $ — | |||||
Money Market Funds | 940,000 | 940,000 | — | — | |||||
Total Investments in Securities: | $ 561,442,032 | $ 561,442,032 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (5,223) | $ (5,223) | $ — | $ — | |||||
Total Liabilities | $ (5,223) | $ (5,223) | $ — | $ — | |||||
Total Derivative Instruments: | $ (5,223) | $ (5,223) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(5,223) | |
Total Equity Risk | 0 | (5,223) | |
Total Value of Derivatives | $0 | $(5,223) |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 40 |
Common Stocks – 99.8% | |||
Shares | Value | ||
AUTO COMPONENTS – 2.1% | |||
Auto Parts & Equipment – 2.0% | |||
Adient PLC (a) | 27,445 | $ 927,092 | |
American Axle & Manufacturing Holdings, Inc. (a) | 47,052 | 419,233 | |
Aptiv PLC (a) | 67,283 | 7,057,314 | |
Autoliv, Inc. | 22,178 | 1,907,308 | |
BorgWarner, Inc. | 62,035 | 2,385,866 | |
Dana, Inc. | 40,729 | 682,618 | |
Dorman Products, Inc. (a) | 7,993 | 808,012 | |
Fox Factory Holding Corp. (a) | 12,119 | 1,147,185 | |
Gentex Corp. | 62,214 | 1,755,679 | |
Gentherm, Inc. (a) | 10,233 | 660,642 | |
Holley, Inc. (a) | 3,393 | 27,110 | |
LCI Industries | 7,419 | 1,002,233 | |
Lear Corp. | 15,583 | 2,355,215 | |
Luminar Technologies, Inc. (a) | 2,371 | 16,028 | |
Modine Manufacturing Co. (a) | 3,211 | 42,128 | |
Patrick Industries, Inc. | 922 | 55,984 | |
Solid Power, Inc. (a) | 3,234 | 20,504 | |
Standard Motor Products, Inc. | 8,559 | 391,489 | |
Stoneridge, Inc. (a) | 14,049 | 264,402 | |
Tenneco, Inc. Class A (a) | 28,926 | 545,834 | |
Visteon Corp. (a) | 8,217 | 1,048,325 | |
XPEL, Inc. (a) | 1,521 | 93,222 | |
23,613,423 | |||
Tires & Rubber – 0.1% | |||
The Goodyear Tire & Rubber Co. (a) | 80,612 | 989,915 | |
TOTAL AUTO COMPONENTS | 24,603,338 | ||
AUTOMOBILES – 18.2% | |||
Automobile Manufacturers – 18.1% | |||
Canoo, Inc. (a) | 9,335 | 32,299 | |
Faraday Future Intelligent Electric, Inc. (a) | 9,646 | 21,318 | |
Fisker, Inc. (a) | 4,116 | 39,431 | |
Ford Motor Co. | 968,887 | 14,232,950 | |
General Motors Co. | 325,227 | 11,792,731 | |
Lordstown Motors Corp. Class A (a) | 15,086 | 33,793 | |
Lucid Group, Inc. (a) | 50,714 | 925,531 | |
Rivian Automotive, Inc. (a) | 14,700 | 504,210 | |
Tesla, Inc. (a) | 204,872 | 182,633,144 | |
Thor Industries, Inc. | 15,379 | 1,296,911 | |
Winnebago Industries, Inc. | 10,677 | 644,570 | |
Workhorse Group, Inc. (a) | 8,484 | 27,743 | |
212,184,631 | |||
Motorcycle Manufacturers – 0.1% | |||
Harley-Davidson, Inc. | 39,488 | 1,493,041 | |
TOTAL AUTOMOBILES | 213,677,672 |
| |||
Shares | Value | ||
DISTRIBUTORS – 1.1% | |||
Distributors – 1.1% | |||
Funko, Inc. Class A (a) | 2,224 | $ 58,291 | |
Genuine Parts Co. | 35,604 | 5,442,784 | |
LKQ Corp. | 68,792 | 3,772,553 | |
Pool Corp. | 10,150 | 3,630,655 | |
TOTAL DISTRIBUTORS | 12,904,283 | ||
DIVERSIFIED CONSUMER SERVICES – 1.3% | |||
Education Services – 0.6% | |||
2U, Inc. (a) | 2,873 | 28,127 | |
Adtalem Global Education, Inc. (a) | 16,731 | 670,913 | |
American Public Education, Inc. (a) | 15,041 | 236,294 | |
Bright Horizons Family Solutions, Inc. (a) | 16,008 | 1,499,470 | |
Chegg, Inc. (a) | 34,741 | 739,983 | |
Coursera, Inc. (a) | 1,398 | 19,418 | |
Duolingo, Inc. (a) | 331 | 30,369 | |
Graham Holdings Co. Class B | 1,200 | 713,388 | |
Grand Canyon Education, Inc. (a) | 10,256 | 985,294 | |
Laureate Education, Inc. Class A | 39,427 | 466,816 | |
Perdoceo Education Corp. (a) | 30,589 | 419,069 | |
PowerSchool Holdings, Inc. (a) | 2,044 | 29,454 | |
Strategic Education, Inc. | 7,922 | 569,037 | |
Stride, Inc. (a) | 13,636 | 609,257 | |
7,016,889 | |||
Specialized Consumer Services – 0.7% | |||
ADT, Inc. | 3,864 | 28,207 | |
Carriage Services, Inc. | 7,267 | 263,647 | |
European Wax Center, Inc. | 1,660 | 34,727 | |
Frontdoor, Inc. (a) | 25,764 | 689,702 | |
H&R Block, Inc. | 44,406 | 1,774,464 | |
Mister Car Wash, Inc. (a) | 2,535 | 29,406 | |
OneSpaWorld Holdings Ltd. (a) | 31,406 | 226,437 | |
Rover Group, Inc. (a) | 5,577 | 24,371 | |
Service Corp. International | 41,405 | 3,083,016 | |
Terminix Global Holdings, Inc. (a) | 32,795 | 1,465,936 | |
The Beachbody Co., Inc. (a) | 15,913 | 19,096 | |
Vivint Smart Home, Inc. (a) | 4,125 | 19,718 | |
WW International, Inc. (a) | 24,043 | 159,646 | |
7,818,373 | |||
TOTAL DIVERSIFIED CONSUMER SERVICES | 14,835,262 | ||
HOTELS, RESTAURANTS & LEISURE – 16.9% | |||
Casinos & Gaming – 1.6% | |||
Accel Entertainment, Inc. (a) | 28,494 | 343,638 | |
Bally's Corp. (a) | 14,089 | 309,535 | |
Boyd Gaming Corp. | 22,822 | 1,266,849 | |
Caesars Entertainment, Inc. (a) | 49,783 | 2,274,585 | |
Churchill Downs, Inc. | 9,063 | 1,901,417 | |
DraftKings Inc. Class A (a) | 15,197 | 208,655 | |
Everi Holdings, Inc. (a) | 30,404 | 584,061 |
41 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HOTELS, RESTAURANTS & LEISURE – continued | |||
Casinos & Gaming – continued | |||
Golden Entertainment, Inc. (a) | 1,183 | $ 51,898 | |
Las Vegas Sands Corp. (a) | 87,941 | 3,314,496 | |
Light & Wonder, Inc. (a) | 21,507 | 1,095,567 | |
MGM Resorts International | 89,739 | 2,937,158 | |
Monarch Casino & Resort, Inc. (a) | 5,640 | 361,806 | |
Penn National Gaming, Inc. (a) | 45,433 | 1,569,710 | |
Red Rock Resorts, Inc. Class A | 17,262 | 678,915 | |
Rush Street Interactive, Inc. (a) | 3,844 | 21,296 | |
Wynn Resorts Ltd. (a) | 28,763 | 1,825,875 | |
18,745,461 | |||
Hotels, Resorts & Cruise Lines – 5.3% | |||
Airbnb, Inc. Class A (a) | 63,546 | 7,052,335 | |
Booking Holdings, Inc. (a) | 10,020 | 19,395,614 | |
Carnival Corp. (a) | 223,226 | 2,022,427 | |
Choice Hotels International, Inc. | 9,879 | 1,194,075 | |
Expedia Group, Inc. (a) | 36,673 | 3,889,172 | |
Hilton Grand Vacations, Inc. (a) | 24,912 | 1,015,662 | |
Hilton Worldwide Holdings, Inc. | 69,021 | 8,839,519 | |
Hyatt Hotels Corp. Class A (a) | 1,152 | 95,328 | |
Lindblad Expeditions Holdings, Inc. (a) | 18,993 | 150,045 | |
Marriott International, Inc. Class A | 68,396 | 10,862,653 | |
Marriott Vacations Worldwide Corp. | 10,720 | 1,467,782 | |
Membership Collective Group, Inc. (a) | 3,320 | 22,410 | |
Norwegian Cruise Line Holdings Ltd. (a) | 110,351 | 1,340,765 | |
Playa Hotels & Resorts N.V. (a) | 48,810 | 334,837 | |
Royal Caribbean Cruises Ltd. (a) | 58,454 | 2,262,754 | |
Target Hospitality Corp. (a) | 4,664 | 64,130 | |
Travel + Leisure Co. | 23,825 | 1,027,096 | |
Wyndham Hotels & Resorts, Inc. | 24,249 | 1,683,123 | |
62,719,727 | |||
Leisure Facilities – 0.5% | |||
Bowlero Corp. (a) | 2,573 | 29,435 | |
F45 Training Holdings, Inc. (a) | 4,354 | 8,577 | |
Life Time Group Holdings, Inc. (a) | 1,939 | 28,115 | |
Planet Fitness, Inc. Class A (a) | 22,513 | 1,774,250 | |
RCI Hospitality Holdings, Inc. | 500 | 28,480 | |
SeaWorld Entertainment, Inc. (a) | 14,661 | 699,770 | |
Six Flags Entertainment Corp. (a) | 23,802 | 539,591 | |
Vail Resorts, Inc. | 10,409 | 2,468,286 | |
5,576,504 | |||
Restaurants – 9.5% | |||
Aramark | 60,459 | 2,019,331 | |
BJ's Restaurants, Inc. (a) | 11,306 | 265,352 | |
Bloomin' Brands, Inc. | 27,640 | 563,580 | |
Brinker International, Inc. (a) | 15,828 | 439,227 | |
Chipotle Mexican Grill, Inc. (a) | 6,877 | 10,757,141 | |
Chuys Holdings, Inc. (a) | 1,084 | 24,097 | |
Cracker Barrel Old Country Store, Inc. | 6,796 | 646,096 | |
Darden Restaurants, Inc. | 32,279 | 4,018,413 |
| |||
Shares | Value | ||
Dave & Buster's Entertainment, Inc. (a) | 13,258 | $ 495,319 | |
Denny's Corp. (a) | 29,765 | 289,018 | |
Dine Brands Global, Inc. | 5,915 | 421,799 | |
Domino's Pizza, Inc. | 9,273 | 3,636,036 | |
Dutch Bros, Inc. (a) | 798 | 29,917 | |
El Pollo Loco Holdings, Inc. (a) | 18,163 | 176,544 | |
Jack in the Box, Inc. | 7,241 | 500,643 | |
Krispy Kreme, Inc. | 3,269 | 46,681 | |
McDonald's Corp. | 181,675 | 47,847,745 | |
Papa John's International, Inc. | 10,058 | 964,462 | |
Portillo's, Inc. Class A (a) | 1,542 | 35,204 | |
Ruth's Hospitality Group, Inc. | 15,746 | 276,342 | |
Shake Shack, Inc. Class A (a) | 11,538 | 593,745 | |
Starbucks Corp. | 282,070 | 23,913,894 | |
Texas Roadhouse, Inc. | 17,733 | 1,546,672 | |
The Cheesecake Factory, Inc. (a) | 15,955 | 466,365 | |
The Wendy's Co. | 53,590 | 1,126,998 | |
Wingstop, Inc. | 9,201 | 1,160,982 | |
Yum! Brands, Inc. | 71,597 | 8,773,496 | |
111,035,099 | |||
TOTAL HOTELS, RESTAURANTS & LEISURE | 198,076,791 | ||
HOUSEHOLD DURABLES – 4.0% | |||
Consumer Electronics – 0.4% | |||
Garmin Ltd. | 38,823 | 3,789,901 | |
GoPro, Inc. Class A (a) | 53,357 | 339,351 | |
Snap One Holdings Corp. (a) | 1,981 | 24,089 | |
Sonos, Inc. (a) | 32,321 | 714,617 | |
Universal Electronics, Inc. (a) | 8,550 | 237,263 | |
Vuzix Corp. (a) | 4,572 | 37,353 | |
5,142,574 | |||
Home Furnishings – 0.5% | |||
Ethan Allen Interiors, Inc. | 11,760 | 270,362 | |
La-Z-Boy, Inc. | 16,254 | 452,999 | |
Leggett & Platt, Inc. | 36,108 | 1,431,321 | |
Mohawk Industries, Inc. (a) | 13,676 | 1,757,093 | |
Purple Innovation, Inc. (a) | 4,663 | 16,274 | |
Tempur Sealy International, Inc. | 47,125 | 1,294,995 | |
The Lovesac Co. (a) | 2,052 | 63,940 | |
5,286,984 | |||
Homebuilding – 2.6% | |||
Cavco Industries, Inc. (a) | 2,796 | 720,781 | |
Century Communities, Inc. | 10,121 | 517,892 | |
D.R. Horton, Inc. | 83,925 | 6,548,668 | |
Dream Finders Homes, Inc. (a) | 2,535 | 32,955 | |
Green Brick Partners, Inc. (a) | 14,081 | 377,371 | |
Hovnanian Enterprises, Inc. (a) | 530 | 25,710 | |
Installed Building Products, Inc. | 8,451 | 857,100 | |
KB Home | 23,598 | 770,239 | |
Lennar Corp. Class A | 65,418 | 5,560,530 | |
LGI Homes, Inc. (a) | 6,759 | 762,415 |
Annual Report | 42 |
Common Stocks – continued | |||
Shares | Value | ||
HOUSEHOLD DURABLES – continued | |||
Homebuilding – continued | |||
M.D.C. Holdings, Inc. | 17,665 | $ 640,356 | |
M/I Homes, Inc. (a) | 10,079 | 463,735 | |
Meritage Homes Corp. (a) | 10,731 | 947,547 | |
NVR, Inc. (a) | 815 | 3,580,377 | |
PulteGroup, Inc. | 63,732 | 2,779,990 | |
Skyline Champion Corp. (a) | 15,933 | 1,008,559 | |
Taylor Morrison Home Corp. (a) | 33,219 | 953,385 | |
Toll Brothers, Inc. | 29,902 | 1,470,580 | |
TopBuild Corp. (a) | 8,777 | 1,858,266 | |
Tri Pointe Homes, Inc. (a) | 32,932 | 609,901 | |
30,486,357 | |||
Household Appliances – 0.3% | |||
Cricut, Inc. (a) | 3,759 | 25,336 | |
Helen of Troy Ltd. (a) | 6,620 | 885,690 | |
iRobot Corp. (a) | 9,708 | 446,665 | |
Traeger, Inc. (a) | 6,035 | 18,527 | |
Weber, Inc. | 3,169 | 20,187 | |
Whirlpool Corp. | 15,067 | 2,604,632 | |
4,001,037 | |||
Housewares & Specialties – 0.2% | |||
Newell Brands, Inc. | 105,047 | 2,123,000 | |
Tupperware Brands Corp. (a) | 2,940 | 21,932 | |
2,144,932 | |||
TOTAL HOUSEHOLD DURABLES | 47,061,884 | ||
INTERNET & DIRECT MARKETING RETAIL – 26.9% | |||
Internet & Direct Marketing Retail – 26.9% | |||
1-800-FLOWERS.com, Inc. Class A (a) | 17,407 | 173,548 | |
Amazon.com, Inc. (a) | 2,167,232 | 292,467,958 | |
BARK, Inc. (a) | 8,557 | 12,237 | |
Boxed, Inc. (a) | 3,669 | 6,898 | |
CarParts.com, Inc. (a) | 5,109 | 40,770 | |
Chewy, Inc. Class A (a) | 966 | 37,490 | |
ContextLogic, Inc. Class A (a) | 18,415 | 27,622 | |
DoorDash, Inc. Class A (a) | 14,796 | 1,032,021 | |
Duluth Holdings, Inc. Class B (a) | 5,223 | 50,350 | |
eBay, Inc. | 146,163 | 7,107,907 | |
Etsy, Inc. (a) | 31,903 | 3,308,979 | |
Groupon, Inc. (a) | 14,076 | 149,206 | |
Lands' End, Inc. (a) | 12,913 | 164,641 | |
Liquidity Services, Inc. (a) | 1,707 | 34,362 | |
MercadoLibre, Inc. (a) | 11,236 | 9,142,846 | |
Overstock.com, Inc. (a) | 13,554 | 393,066 | |
PetMed Express, Inc. | 11,552 | 252,065 | |
Porch Group, Inc. (a) | 7,002 | 13,514 | |
Poshmark, Inc. Class A (a) | 2,249 | 24,267 | |
Quotient Technology, Inc. (a) | 44,960 | 124,539 | |
Qurate Retail, Inc. Class A | 121,313 | 331,184 | |
Revolve Group, Inc. (a) | 14,445 | 409,082 |
| |||
Shares | Value | ||
Stitch Fix, Inc. Class A (a) | 18,667 | $ 111,442 | |
The RealReal, Inc. (a) | 17,650 | 41,124 | |
ThredUp, Inc. (a) | 6,286 | 14,143 | |
Wayfair, Inc. Class A (a) | 17,793 | 959,221 | |
316,430,482 | |||
Internet Retail – 0.0% | |||
Vivid Seats, Inc. Class A | 3,200 | 26,752 | |
Xometry, Inc. (a) | 798 | 30,324 | |
57,076 | |||
TOTAL INTERNET & DIRECT MARKETING RETAIL | 316,487,558 | ||
LEISURE PRODUCTS – 1.1% | |||
Leisure Products – 1.1% | |||
Acushnet Holdings Corp. | 12,614 | 614,680 | |
AMMO, Inc. (a) | 6,687 | 32,632 | |
Brunswick Corp. | 20,489 | 1,641,579 | |
Callaway Golf Co. (a) | 34,820 | 799,119 | |
Clarus Corp. | 1,593 | 32,848 | |
Hasbro, Inc. | 33,821 | 2,662,389 | |
Johnson Outdoors, Inc. Class A | 3,666 | 246,758 | |
Latham Group, Inc. (a) | 3,289 | 18,057 | |
Malibu Boats, Inc. Class A (a) | 7,574 | 472,996 | |
Mattel, Inc. (a) | 91,201 | 2,115,863 | |
Peloton Interactive, Inc. Class A (a) | 56,193 | 533,272 | |
Polaris, Inc. | 15,318 | 1,796,495 | |
Smith & Wesson Brands, Inc. | 21,338 | 310,468 | |
Sturm Ruger & Co., Inc. | 6,444 | 426,142 | |
Vista Outdoor, Inc. (a) | 17,516 | 527,232 | |
YETI Holdings, Inc. (a) | 23,320 | 1,183,956 | |
TOTAL LEISURE PRODUCTS | 13,414,486 | ||
MULTILINE RETAIL – 4.0% | |||
Department Stores – 0.3% | |||
Dillard's, Inc. Class A | 2,015 | 458,110 | |
Kohl's Corp. | 37,071 | 1,080,249 | |
Macy's, Inc. | 77,763 | 1,372,517 | |
Nordstrom, Inc. | 33,065 | 777,358 | |
3,688,234 | |||
General Merchandise Stores – 3.7% | |||
Big Lots, Inc. | 11,793 | 238,100 | |
Dollar General Corp. | 57,076 | 14,179,391 | |
Dollar Tree, Inc. (a) | 55,666 | 9,204,930 | |
Franchise Group, Inc. | 2,120 | 69,811 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 16,826 | 991,893 | |
Target Corp. | 117,565 | 19,207,770 | |
43,891,895 | |||
TOTAL MULTILINE RETAIL | 47,580,129 | ||
SPECIALTY RETAIL – 18.4% | |||
Apparel Retail – 2.9% | |||
Abercrombie & Fitch Co. Class A (a) | 20,409 | 363,484 |
43 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SPECIALTY RETAIL – continued | |||
Apparel Retail – continued | |||
American Eagle Outfitters, Inc. | 49,442 | $ 595,282 | |
Boot Barn Holdings, Inc. (a) | 9,094 | 566,556 | |
Burlington Stores, Inc. (a) | 17,097 | 2,412,900 | |
Caleres, Inc. | 1,783 | 44,254 | |
Chico's FAS, Inc. (a) | 5,648 | 28,353 | |
Designer Brands, Inc. Class A | 24,457 | 352,914 | |
Foot Locker, Inc. | 26,492 | 751,578 | |
Genesco, Inc. (a) | 5,824 | 326,435 | |
Guess?, Inc. | 16,715 | 316,081 | |
Ross Stores, Inc. | 87,703 | 7,126,746 | |
Shoe Carnival, Inc. | 9,512 | 207,457 | |
The Buckle, Inc. | 11,775 | 355,605 | |
The Children's Place, Inc. (a) | 6,393 | 277,073 | |
The Gap, Inc. | 62,681 | 602,991 | |
The TJX Cos., Inc. | 292,757 | 17,905,018 | |
Urban Outfitters, Inc. (a) | 22,470 | 460,185 | |
Victoria's Secret & Co. (a) | 24,349 | 899,939 | |
Zumiez, Inc. (a) | 9,042 | 235,092 | |
33,827,943 | |||
Automotive Retail – 3.4% | |||
Advance Auto Parts, Inc. | 15,633 | 3,026,861 | |
America's Car-Mart, Inc. (a) | 2,871 | 297,349 | |
Arko Corp. | 7,505 | 68,521 | |
Asbury Automotive Group, Inc. (a) | 6,117 | 1,049,922 | |
AutoNation, Inc. (a) | 10,924 | 1,297,116 | |
AutoZone, Inc. (a) | 5,097 | 10,894,277 | |
Camping World Holdings, Inc. Class A | 15,509 | 419,363 | |
CarMax, Inc. (a) | 40,860 | 4,067,204 | |
Carvana Co. (a) | 21,077 | 614,395 | |
EVgo, Inc. (a) | 2,994 | 26,856 | |
Group 1 Automotive, Inc. | 4,765 | 843,024 | |
Lithia Motors, Inc. | 7,642 | 2,027,270 | |
Monro, Inc. | 11,290 | 566,194 | |
Murphy USA, Inc. | 6,342 | 1,803,411 | |
O'Reilly Automotive, Inc. (a) | 16,549 | 11,643,711 | |
Penske Automotive Group, Inc. | 8,813 | 1,009,000 | |
Sonic Automotive, Inc. Class A | 8,268 | 346,016 | |
TravelCenters of America, Inc. (a) | 813 | 33,918 | |
Volta, Inc. (a) | 12,122 | 22,305 | |
40,056,713 | |||
Computer & Electronics Retail – 0.6% | |||
Best Buy Co., Inc. | 54,547 | 4,199,573 | |
GameStop Corp. Class A (a) | 66,563 | 2,263,808 | |
Rent-A-Center, Inc. | 18,926 | 445,329 | |
6,908,710 | |||
Home Improvement Retail – 9.4% | |||
Floor & Decor Holdings, Inc. Class A (a) | 24,274 | 1,955,756 | |
GrowGeneration Corp. (a) | 5,602 | 27,170 | |
Lowe's Cos., Inc. | 163,907 | 31,393,108 |
| |||
Shares | Value | ||
Lumber Liquidators Holdings, Inc. (a) | 3,090 | $ 31,023 | |
The Home Depot, Inc. | 253,936 | 76,419,500 | |
109,826,557 | |||
Homefurnishing Retail – 0.4% | |||
Bed Bath & Beyond, Inc. (a) | 41,376 | 208,121 | |
Haverty Furniture Cos., Inc. | 9,052 | 247,391 | |
RH (a) | 4,522 | 1,263,583 | |
Sleep Number Corp. (a) | 8,588 | 386,975 | |
The Aaron's Co., Inc. | 11,577 | 150,733 | |
Williams-Sonoma, Inc. | 18,851 | 2,722,461 | |
4,979,264 | |||
Specialty Stores – 1.7% | |||
Academy Sports & Outdoors, Inc. | 1,859 | 79,993 | |
Bath & Body Works, Inc. | 66,109 | 2,349,514 | |
Dick's Sporting Goods, Inc. | 16,945 | 1,585,883 | |
Five Below, Inc. (a) | 14,675 | 1,864,752 | |
Hibbett, Inc. | 5,996 | 281,332 | |
Leslie's, Inc. (a) | 2,241 | 33,974 | |
MarineMax, Inc. (a) | 8,823 | 360,331 | |
National Vision Holdings, Inc. (a) | 25,382 | 739,631 | |
Party City Holdco, Inc. (a) | 19,836 | 22,613 | |
Petco Health & Wellness Co., Inc. (a) | 1,859 | 25,877 | |
Sally Beauty Holdings, Inc. (a) | 36,622 | 468,029 | |
Signet Jewelers Ltd. | 15,227 | 928,238 | |
Sportsman's Warehouse Holdings, Inc. (a) | 4,263 | 42,033 | |
The Container Store Group, Inc. (a) | 3,578 | 26,692 | |
The ODP Corp. (a) | 14,362 | 521,341 | |
Tractor Supply Co. | 28,223 | 5,404,140 | |
Ulta Beauty, Inc. (a) | 13,557 | 5,272,453 | |
Warby Parker, Inc. (a) | 1,653 | 20,481 | |
Winmark Corp. | 1,489 | 330,781 | |
20,358,088 | |||
TOTAL SPECIALTY RETAIL | 215,957,275 | ||
TEXTILES, APPAREL & LUXURY GOODS – 5.8% | |||
Apparel, Accessories & Luxury Goods – 2.2% | |||
Capri Holdings Ltd. (a) | 39,004 | 1,898,715 | |
Carter's, Inc. | 11,850 | 965,538 | |
Columbia Sportswear Co. | 10,580 | 783,026 | |
G-III Apparel Group Ltd. (a) | 16,661 | 368,041 | |
Hanesbrands, Inc. | 97,851 | 1,093,974 | |
Kontoor Brands, Inc. | 16,295 | 594,767 | |
Levi Strauss & Co. Class A | 28,852 | 545,880 | |
Lululemon Athletica, Inc. (a) | 29,213 | 9,070,929 | |
Movado Group, Inc. | 1,503 | 51,072 | |
Oxford Industries, Inc. | 5,558 | 530,233 | |
PLBY Group, Inc. (a) | 3,041 | 19,523 | |
PVH Corp. | 18,999 | 1,176,418 | |
Ralph Lauren Corp. | 12,671 | 1,249,741 | |
Tapestry, Inc. | 68,517 | 2,304,227 |
Annual Report | 44 |
Common Stocks – continued | |||
Shares | Value | ||
TEXTILES, APPAREL & LUXURY GOODS – continued | |||
Apparel, Accessories & Luxury Goods – continued | |||
Under Armour, Inc. Class A (a) | 60,401 | $ 559,313 | |
Under Armour, Inc. Class C (a) | 68,369 | 564,728 | |
VF Corp. | 83,532 | 3,732,210 | |
25,508,335 | |||
Footwear – 3.6% | |||
Allbirds, Inc. (a) | 5,767 | 29,642 | |
Crocs, Inc. (a) | 17,669 | 1,265,807 | |
Deckers Outdoor Corp. (a) | 7,170 | 2,245,716 | |
NIKE, Inc. Class B | 311,989 | 35,853,776 | |
Skechers U.S.A., Inc. Class A (a) | 36,568 | 1,388,121 | |
Steven Madden Ltd. | 22,827 | 723,616 | |
Wolverine World Wide, Inc. | 27,102 | 608,982 | |
42,115,660 | |||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 67,623,995 | ||
TOTAL COMMON STOCKS (Cost $1,175,063,487) | 1,172,222,673 |
Money Market Fund – 0.1% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $1,840,000) | 1,840,000 | $ 1,840,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,176,903,487) | 1,174,062,673 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 953,368 | ||
NET ASSETS – 100.0% | $1,175,016,041 |
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) | 2 | September 2022 | $ 188,530 | $ 3,456 | $ 3,456 |
CME E-mini S&P Consumer Discretionary Select Sector Index Contracts (United States) | 15 | September 2022 | 2,471,400 | 166,795 | 166,795 |
Total Equity Index Contracts | $170,251 |
45 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,172,222,673 | $ 1,172,222,673 | $ — | $ — | |||||
Money Market Funds | 1,840,000 | 1,840,000 | — | — | |||||
Total Investments in Securities: | $ 1,174,062,673 | $ 1,174,062,673 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 170,251 | $ 170,251 | $ — | $ — | |||||
Total Assets | $ 170,251 | $ 170,251 | $ — | $ — | |||||
Total Derivative Instruments: | $ 170,251 | $ 170,251 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $170,251 | $0 | |
Total Equity Risk | 170,251 | 0 | |
Total Value of Derivatives | $170,251 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 46 |
Common Stocks – 99.7% | |||
Shares | Value | ||
BEVERAGES – 25.3% | |||
Brewers – 0.7% | |||
Molson Coors Beverage Co. Class B | 92,327 | $5,516,538 | |
The Boston Beer Co., Inc. Class A (a) | 5,855 | 2,227,418 | |
7,743,956 | |||
Distillers & Vintners – 2.9% | |||
Brown-Forman Corp. Class B | 142,214 | 10,555,123 | |
Constellation Brands, Inc. Class A | 72,613 | 17,885,308 | |
MGP Ingredients, Inc. | 14,449 | 1,519,746 | |
The Duckhorn Portfolio, Inc. (a) | 48,080 | 881,787 | |
Vintage Wine Estates, Inc. (a) | 8,370 | 61,436 | |
30,903,400 | |||
Soft Drinks – 21.7% | |||
Celsius Holdings, Inc. (a) | 27,834 | 2,476,113 | |
Coca-Cola Consolidated, Inc. | 3,796 | 1,947,348 | |
Keurig Dr Pepper, Inc. | 319,013 | 12,358,564 | |
Monster Beverage Corp. (a) | 176,446 | 17,577,550 | |
National Beverage Corp. | 28,322 | 1,534,486 | |
PepsiCo, Inc. | 525,023 | 91,858,024 | |
The Coca-Cola Co. | 1,579,401 | 101,350,162 | |
229,102,247 | |||
TOTAL BEVERAGES | 267,749,603 | ||
FOOD & STAPLES RETAILING – 22.9% | |||
Drug Retail – 1.3% | |||
Rite Aid Corp. (a) | 93,384 | 768,551 | |
Walgreens Boots Alliance, Inc. | 328,915 | 13,031,612 | |
13,800,163 | |||
Food Distributors – 3.0% | |||
Performance Food Group Co. (a) | 84,388 | 4,194,927 | |
SpartanNash Co. | 40,534 | 1,308,843 | |
Sysco Corp. | 223,795 | 19,000,196 | |
The Andersons, Inc. | 35,232 | 1,274,341 | |
The Chefs' Warehouse, Inc. (a) | 37,866 | 1,310,542 | |
United Natural Foods, Inc. (a) | 45,308 | 1,926,043 | |
US Foods Holding Corp. (a) | 110,540 | 3,482,010 | |
32,496,902 | |||
Food Retail – 2.5% | |||
Casey's General Stores, Inc. | 19,779 | 4,008,214 | |
Grocery Outlet Holding Corp. (a) | 61,827 | 2,641,250 | |
Ingles Markets, Inc. Class A | 15,593 | 1,488,508 | |
Sprouts Farmers Market, Inc. (a) | 79,801 | 2,205,700 | |
The Kroger Co. | 310,914 | 14,438,846 | |
Weis Markets, Inc. | 18,081 | 1,390,971 | |
26,173,489 | |||
Hypermarkets & Super Centers – 16.1% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 71,702 | 4,854,225 | |
Costco Wholesale Corp. | 164,872 | 89,245,214 | |
PriceSmart, Inc. | 21,614 | 1,434,737 |
| |||
Shares | Value | ||
Walmart, Inc. | 564,854 | $ 74,588,971 | |
170,123,147 | |||
TOTAL FOOD & STAPLES RETAILING | 242,593,701 | ||
FOOD PRODUCTS – 20.4% | |||
Agricultural Products – 3.5% | |||
AppHarvest, Inc. (a) | 92,532 | 355,323 | |
Archer-Daniels-Midland Co. | 246,182 | 20,376,484 | |
Benson Hill, Inc. (a) | 19,032 | 61,854 | |
Bunge Ltd. | 66,951 | 6,181,586 | |
Darling Ingredients, Inc. (a) | 78,548 | 5,441,805 | |
Fresh Del Monte Produce, Inc. | 43,339 | 1,287,602 | |
Ingredion, Inc. | 37,103 | 3,375,631 | |
Local Bounti Corp. (a) | 12,709 | 49,184 | |
37,129,469 | |||
Food Retail – 0.0% | |||
Fresh Market, Inc. (a) | 6,179 | 0 | |
Packaged Foods & Meats – 16.9% | |||
B&G Foods, Inc. | 53,539 | 1,322,949 | |
Beyond Meat, Inc. (a) | 37,801 | 1,209,254 | |
BRC, Inc. Class A | 6,272 | 58,894 | |
Calavo Growers, Inc. | 26,798 | 1,079,959 | |
Cal-Maine Foods, Inc. | 33,821 | 1,728,591 | |
Campbell Soup Co. | 101,097 | 4,989,137 | |
Conagra Brands, Inc. | 224,575 | 7,682,711 | |
Flowers Foods, Inc. | 114,602 | 3,255,843 | |
Freshpet, Inc. (a) | 26,603 | 1,421,664 | |
General Mills, Inc. | 266,101 | 19,901,694 | |
Hormel Foods Corp. | 142,540 | 7,032,924 | |
Hostess Brands, Inc. (a) | 97,667 | 2,209,228 | |
J&J Snack Foods Corp. | 11,660 | 1,580,047 | |
John B Sanfilippo & Son, Inc. | 13,890 | 1,040,361 | |
Kellogg Co. | 119,959 | 8,867,369 | |
Lamb Weston Holdings, Inc. | 73,454 | 5,851,346 | |
Lancaster Colony Corp. | 13,244 | 1,753,241 | |
McCormick & Co., Inc. (non-vtg.) | 112,963 | 9,867,318 | |
Mission Produce, Inc. (a) | 23,665 | 335,570 | |
Mondelez International, Inc. Class A | 597,029 | 38,233,737 | |
Pilgrim's Pride Corp. (a) | 49,007 | 1,537,350 | |
Post Holdings, Inc. (a) | 32,495 | 2,825,115 | |
Seaboard Corp. | 341 | 1,384,678 | |
Sovos Brands, Inc. (a) | 4,828 | 68,364 | |
Tattooed Chef, Inc. (a) | 68,703 | 433,516 | |
The Hain Celestial Group, Inc. (a) | 68,163 | 1,550,708 | |
The Hershey Co. | 65,267 | 14,878,265 | |
The JM Smucker Co. | 52,191 | 6,905,913 | |
The Kraft Heinz Co. | 304,774 | 11,224,826 | |
The Simply Good Foods Co. (a) | 56,575 | 1,845,477 | |
Tootsie Roll Industries, Inc. | 27,341 | 960,216 | |
TreeHouse Foods, Inc. (a) | 43,820 | 1,902,664 | |
Tyson Foods, Inc. Class A | 132,818 | 11,689,312 |
47 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
FOOD PRODUCTS – continued | |||
Packaged Foods & Meats – continued | |||
Utz Brands, Inc. | 78,702 | $1,323,768 | |
Vital Farms, Inc. (a) | 26,843 | 316,747 | |
178,268,756 | |||
TOTAL FOOD PRODUCTS | 215,398,225 | ||
HOUSEHOLD PRODUCTS – 19.3% | |||
Household Products – 19.3% | |||
Central Garden and Pet Co. (a) | 16,311 | 706,919 | |
Central Garden and Pet Co. Class A (a) | 36,031 | 1,470,065 | |
Church & Dwight Co., Inc. | 111,453 | 9,804,520 | |
Colgate-Palmolive Co. | 346,629 | 27,293,567 | |
Energizer Holdings, Inc. | 48,673 | 1,437,314 | |
Kimberly-Clark Corp. | 148,077 | 19,515,068 | |
Reynolds Consumer Products, Inc. | 54,298 | 1,577,900 | |
Spectrum Brands Holdings, Inc. | 26,839 | 1,866,384 | |
The Clorox Co. | 57,761 | 8,192,820 | |
The Procter & Gamble Co. | 943,177 | 131,016,717 | |
WD-40 Co. | 9,747 | 1,728,825 | |
TOTAL HOUSEHOLD PRODUCTS | 204,610,099 | ||
PERSONAL PRODUCTS – 4.1% | |||
Personal Products – 4.1% | |||
BellRing Brands, Inc. (a) | 81,796 | 1,974,556 | |
Coty, Inc. Class A (a) | 224,723 | 1,644,972 | |
Edgewell Personal Care Co. | 43,545 | 1,732,220 | |
elf Beauty, Inc. (a) | 49,277 | 1,652,258 | |
Herbalife Nutrition Ltd. (a) | 63,057 | 1,539,221 | |
Inter Parfums, Inc. | 17,748 | 1,481,426 | |
Medifast, Inc. | 8,907 | 1,498,068 | |
Nu Skin Enterprises, Inc. Class A | 35,617 | 1,549,696 | |
The Beauty Health Co. (a) | 97,688 | 1,301,204 | |
The Estee Lauder Cos., Inc. Class A | 99,864 | 27,272,858 |
| |||
Shares | Value | ||
The Honest Co., Inc. (a) | 45,566 | $ 152,191 | |
USANA Health Sciences, Inc. (a) | 13,905 | 968,066 | |
Veru, Inc. (a) | 85,391 | 1,033,231 | |
TOTAL PERSONAL PRODUCTS | 43,799,967 | ||
TOBACCO – 7.7% | |||
Tobacco – 7.7% | |||
Altria Group, Inc. | 779,940 | 34,208,168 | |
Philip Morris International, Inc. | 447,794 | 43,503,187 | |
Turning Point Brands, Inc. | 23,934 | 574,416 | |
Universal Corp. | 24,272 | 1,357,048 | |
Vector Group Ltd. | 124,534 | 1,387,309 | |
TOTAL TOBACCO | 81,030,128 | ||
TOTAL COMMON STOCKS (Cost $956,700,195) | 1,055,181,723 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $1,500,000) | 1,500,000 | 1,500,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $958,200,195) | 1,056,681,723 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,677,021 | ||
NET ASSETS – 100.0% | $1,058,358,744 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | September 2022 | $ 94,265 | $ 3,003 | $ 3,003 |
CME E-mini S&P Consumer Staples Select Sector Index Contracts (United States) | 37 | September 2022 | 2,775,000 | 110,232 | 110,232 |
Total Equity Index Contracts | $113,235 |
Annual Report | 48 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,055,181,723 | $ 1,055,181,723 | $ — | $ — | |||||
Money Market Funds | 1,500,000 | 1,500,000 | — | — | |||||
Total Investments in Securities: | $ 1,056,681,723 | $ 1,056,681,723 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 113,235 | $ 113,235 | $ — | $ — | |||||
Total Assets | $ 113,235 | $ 113,235 | $ — | $ — | |||||
Total Derivative Instruments: | $ 113,235 | $ 113,235 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $113,235 | $0 | |
Total Equity Risk | 113,235 | 0 | |
Total Value of Derivatives | $113,235 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
49 | Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
ENERGY EQUIPMENT & SERVICES – 8.1% | |||
Oil & Gas Drilling – 0.8% | |||
Helmerich & Payne, Inc. | 90,732 | $ 4,200,892 | |
Nabors Industries Ltd. (a) | 6,638 | 945,849 | |
Noble Corp. (a) | 39,648 | 1,189,440 | |
Patterson-UTI Energy, Inc. | 181,862 | 3,009,816 | |
Transocean Ltd. (a) | 530,476 | 1,793,009 | |
Valaris Ltd. (a) | 23,239 | 1,166,133 | |
12,305,139 | |||
Oil & Gas Equipment & Services – 7.3% | |||
Archrock, Inc. | 116,046 | 979,428 | |
Baker Hughes Co. | 680,468 | 17,481,223 | |
Bristow Group, Inc. (a) | 8,349 | 215,404 | |
Cactus, Inc. Class A | 50,065 | 2,082,203 | |
ChampionX Corp. | 169,007 | 3,530,556 | |
Core Laboratories N.V. | 40,725 | 771,332 | |
DMC Global, Inc. (a) | 17,540 | 399,210 | |
Dril-Quip, Inc. (a) | 31,956 | 819,671 | |
Expro Group Holdings N.V. (a) | 63,575 | 774,344 | |
Halliburton Co. | 735,948 | 21,563,276 | |
Helix Energy Solutions Group, Inc. (a) | 137,586 | 555,847 | |
Liberty Energy, Inc. (a) | 86,402 | 1,226,908 | |
NexTier Oilfield Solitions, Inc. (a) | 159,045 | 1,585,679 | |
NOV, Inc. | 325,016 | 6,048,548 | |
Oceaneering International, Inc. (a) | 86,838 | 922,220 | |
ProPetro Holding Corp. (a) | 69,293 | 728,962 | |
RPC, Inc. (a) | 61,999 | 505,912 | |
Schlumberger N.V. | 1,152,402 | 42,673,446 | |
Select Energy Services, Inc. Class A (a) | 62,666 | 468,115 | |
TechnipFMC PLC (a) | 361,668 | 2,925,894 | |
Tidewater, Inc. (a) | 6,427 | 141,587 | |
US Silica Holdings, Inc. (a) | 67,538 | 934,051 | |
Weatherford International PLC (a) | 63,919 | 1,478,447 | |
108,812,263 | |||
TOTAL ENERGY EQUIPMENT & SERVICES | 121,117,402 | ||
OIL, GAS & CONSUMABLE FUELS – 91.7% | |||
Coal & Consumable Fuels – 0.5% | |||
Arch Resources, Inc. | 13,168 | 1,700,516 | |
Centrus Energy Corp. (a) | 10,664 | 353,512 | |
CONSOL Energy, Inc. | 29,482 | 1,807,836 | |
Enviva, Inc. | 2,242 | 156,110 | |
Peabody Energy Corp. (a) | 83,089 | 1,744,038 | |
Uranium Energy Corp. (a) | 241,635 | 1,014,867 | |
6,776,879 | |||
Integrated Oil & Gas – 42.8% | |||
Chevron Corp. | 1,557,093 | 255,020,692 | |
Exxon Mobil Corp. | 3,422,729 | 331,765,122 |
| |||
Shares | Value | ||
Occidental Petroleum Corp. | 768,035 | $ 50,498,301 | |
637,284,115 | |||
Oil & Gas Exploration & Production – 29.4% | |||
Antero Resources Corp. (a) | 235,233 | 9,324,636 | |
APA Corp. | 309,288 | 11,496,235 | |
Berry Corp. | 54,474 | 465,208 | |
Brigham Minerals, Inc. Class A | 40,607 | 1,078,116 | |
California Resources Corp. | 34,675 | 1,555,520 | |
Callon Petroleum Co. (a) | 50,457 | 2,323,040 | |
Centennial Resource Development, Inc. Class A (a) | 160,537 | 1,069,176 | |
Chesapeake Energy Corp. | 63,552 | 5,984,692 | |
Chord Energy Corp. | 35,838 | 4,595,865 | |
Civitas Resources, Inc. | 43,383 | 2,557,862 | |
CNX Resources Corp. (a) | 178,479 | 3,082,332 | |
Comstock Resources, Inc. (a) | 76,919 | 1,225,320 | |
ConocoPhillips | 1,041,560 | 101,479,191 | |
Coterra Energy, Inc. | 637,260 | 19,493,783 | |
Crescent Energy Co. Class A (a) | 23,581 | 344,283 | |
Denbury, Inc. (a) | 42,125 | 3,029,209 | |
Devon Energy Corp. | 528,616 | 33,223,516 | |
Diamondback Energy, Inc. | 141,766 | 18,148,883 | |
Earthstone Energy Inc. Class A (a) | 11,606 | 164,689 | |
EOG Resources, Inc. | 480,633 | 53,456,002 | |
EQT Corp. | 266,820 | 11,748,085 | |
Gran Tierra Energy, Inc. (a) | 110,952 | 148,676 | |
Gulfport Energy Corp. (a) | 11,221 | 1,032,781 | |
Hess Corp. | 229,453 | 25,806,579 | |
Kimbell Royalty Partners LP | 9,884 | 176,133 | |
Kosmos Energy Ltd. (a) | 388,272 | 2,461,644 | |
Laredo Petroleum, Inc. (a) | 12,982 | 1,151,114 | |
Magnolia Oil & Gas Corp. Class A | 122,654 | 2,959,641 | |
Marathon Oil Corp. | 645,120 | 15,998,976 | |
Matador Resources Co. | 97,902 | 5,656,778 | |
Murphy Oil Corp. | 128,952 | 4,531,373 | |
Northern Oil and Gas, Inc. | 52,802 | 1,522,282 | |
Ovintiv, Inc. | 215,772 | 11,023,791 | |
PDC Energy, Inc. | 81,161 | 5,331,466 | |
Pioneer Natural Resources Co. | 190,588 | 45,159,827 | |
Range Resources Corp. | 205,819 | 6,806,434 | |
Ranger Oil Corp. Class A | 5,021 | 191,099 | |
SandRidge Energy, Inc. (a) | 8,844 | 165,648 | |
SilverBow Resources, Inc. (a) | 5,182 | 234,175 | |
SM Energy Co. | 96,788 | 3,995,409 | |
Southwestern Energy Co. (a) | 553,990 | 3,911,169 | |
Talos Energy, Inc. (a) | 29,231 | 553,927 | |
Tellurian, Inc. (a) | 342,348 | 1,273,535 | |
Texas Pacific Land Corp. | 5,149 | 9,442,494 | |
Viper Energy Partners LP | 51,489 | 1,582,772 | |
W&T Offshore, Inc. (a) | 29,851 | 148,359 | |
437,111,725 |
Annual Report | 50 |
Common Stocks – continued | |||
Shares | Value | ||
OIL, GAS & CONSUMABLE FUELS – continued | |||
Oil & Gas Refining & Marketing – 9.2% | |||
Alto Ingredients, Inc. (a) | 70,282 | $ 302,212 | |
Archaea Energy, Inc. (a) | 9,349 | 153,137 | |
Clean Energy Fuels Corp. (a) | 156,919 | 1,016,835 | |
CVR Energy, Inc. | 28,027 | 940,025 | |
Delek US Holdings, Inc. | 58,983 | 1,572,487 | |
Gevo, Inc. (a) | 216,495 | 636,495 | |
Green Plains, Inc. (a) | 37,085 | 1,335,802 | |
HF Sinclair Corp. | 128,664 | 6,152,712 | |
Marathon Petroleum Corp. | 512,124 | 46,941,286 | |
New Fortress Energy, Inc. | 3,908 | 191,375 | |
Par Pacific Holdings, Inc. (a) | 44,104 | 727,716 | |
PBF Energy, Inc. Class A (a) | 82,674 | 2,757,178 | |
Phillips 66 | 394,253 | 35,088,517 | |
REX American Resources Corp. (a) | 5,253 | 501,451 | |
Valero Energy Corp. | 338,218 | 37,464,408 | |
World Fuel Services Corp. | 54,415 | 1,508,384 | |
137,290,020 | |||
Oil & Gas Storage & Transportation – 9.8% | |||
Antero Midstream Corp. | 262,012 | 2,635,841 | |
Cheniere Energy, Inc. | 198,378 | 29,673,381 | |
Dorian LPG Ltd. | 32,150 | 518,258 | |
DT Midstream, Inc. | 80,793 | 4,446,039 | |
EnLink Midstream LLC (b) | 228,438 | 2,238,692 | |
Equitrans Midstream Corp. | 345,624 | 2,713,148 | |
Hess Midstream LP | 38,076 | 1,158,272 | |
International Seaways, Inc. | 35,336 | 835,696 | |
Kinder Morgan, Inc. | 1,675,721 | 30,146,221 |
| |||
Shares | Value | ||
Kinetik Holdings, Inc. | 4,289 | $ 174,477 | |
NextDecade Corp. (a) | 27,662 | 195,570 | |
ONEOK, Inc. | 367,038 | 21,926,850 | |
Plains GP Holdings LP Class A (b) | 157,746 | 1,765,178 | |
Targa Resources Corp. | 179,701 | 12,419,136 | |
The Williams Cos., Inc. | 998,860 | 34,051,138 | |
144,897,897 | |||
TOTAL OIL, GAS & CONSUMABLE FUELS | 1,363,360,636 | ||
TOTAL COMMON STOCKS (Cost $1,072,132,232) | 1,484,478,038 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (c) (Cost $1,890,000) | 1,890,000 | 1,890,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,074,022,232) | 1,486,368,038 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,208,528 | ||
NET ASSETS – 100.0% | $1,487,576,566 |
Legend | ||
(a) | Non-income producing. | |
(b) | A portion of the security sold on a delayed delivery basis. | |
(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 Contract | |||||
CME E-mini S&P Energy Select Sector Index Contracts (United States) | 36 | September 2022 | $2,948,760 | $132,591 | $132,591 |
51 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,484,478,038 | $ 1,484,478,038 | $ — | $ — | |||||
Money Market Funds | 1,890,000 | 1,890,000 | — | — | |||||
Total Investments in Securities: | $ 1,486,368,038 | $ 1,486,368,038 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 132,591 | $ 132,591 | $ — | $ — | |||||
Total Assets | $ 132,591 | $ 132,591 | $ — | $ — | |||||
Total Derivative Instruments: | $ 132,591 | $ 132,591 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $132,591 | $0 | |
Total Equity Risk | 132,591 | 0 | |
Total Value of Derivatives | $132,591 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 52 |
Common Stocks – 99.6% | |||
Shares | Value | ||
BANKS – 35.3% | |||
Diversified Banks – 20.2% | |||
Bank of America Corp. | 2,467,099 | $ 83,412,617 | |
Citigroup, Inc. | 674,077 | 34,984,596 | |
JPMorgan Chase & Co. | 1,003,036 | 115,710,233 | |
US Bancorp | 478,860 | 22,602,192 | |
Wells Fargo & Co. | 1,295,762 | 56,845,079 | |
313,554,717 | |||
Regional Banks – 15.1% | |||
1st Source Corp. | 7,598 | 366,376 | |
Allegiance Bancshares, Inc. | 6,913 | 304,449 | |
Amalgamated Financial Corp. | 6,131 | 141,503 | |
Amerant Bancorp, Inc. | 9,692 | 264,785 | |
Ameris Bancorp | 23,084 | 1,091,642 | |
Arrow Financial Corp. | 6,621 | 222,135 | |
Associated Banc-Corp. | 54,471 | 1,094,867 | |
Atlantic Union Bankshares Corp. | 26,730 | 924,591 | |
Banc of California, Inc. | 21,135 | 370,074 | |
Bancfirst Corp. | 6,281 | 674,517 | |
Bank First Corp. | 2,601 | 200,069 | |
Bank of Hawaii Corp. | 14,928 | 1,195,882 | |
Bank of Marin Bancorp | 6,066 | 198,480 | |
Bank OZK | 42,573 | 1,707,177 | |
BankUnited, Inc. | 25,207 | 979,292 | |
Banner Corp. | 7,992 | 495,424 | |
Bar Harbor Bankshares | 5,650 | 163,681 | |
Berkshire Hills Bancorp, Inc. | 14,931 | 420,606 | |
BOK Financial Corp. | 10,656 | 938,048 | |
Brookline Bancorp, Inc. | 17,341 | 239,826 | |
Byline Bancorp, Inc. | 8,653 | 211,912 | |
Cadence Bank | 53,613 | 1,399,299 | |
Camden National Corp. | 5,452 | 249,156 | |
Capital City Bank Group, Inc. | 5,127 | 166,064 | |
Cathay General Bancorp | 25,406 | 1,059,430 | |
CBTX, Inc. | 6,891 | 213,276 | |
Central Pacific Financial Corp. | 5,914 | 140,044 | |
Citizens Financial Group, Inc. | 168,517 | 6,398,590 | |
City Holding Co. | 3,499 | 303,678 | |
Columbia Banking System, Inc. | 26,291 | 793,199 | |
Comerica, Inc. | 44,631 | 3,470,953 | |
Commerce Bancshares, Inc. | 37,503 | 2,606,083 | |
Community Bank System, Inc. | 17,089 | 1,150,602 | |
Community Trust Bancorp, Inc. | 6,552 | 283,898 | |
ConnectOne Bancorp, Inc. | 12,506 | 330,659 | |
CrossFirst Bankshares, Inc. (a) | 17,147 | 235,257 | |
Cullen/Frost Bankers, Inc. | 20,753 | 2,706,191 | |
Customers Bancorp, Inc. (a) | 10,986 | 419,555 | |
CVB Financial Corp. | 47,486 | 1,266,452 | |
Dime Community Bancshares, Inc. | 11,937 | 406,813 | |
Eagle Bancorp, Inc. | 8,214 | 402,732 | |
East West Bancorp, Inc. | 48,338 | 3,469,702 |
| |||
Shares | Value | ||
Eastern Bankshares, Inc. | 57,550 | $ 1,174,020 | |
Enterprise Financial Services Corp. | 12,856 | 604,618 | |
FB Financial Corp. | 13,553 | 580,746 | |
Fifth Third Bancorp | 232,022 | 7,916,591 | |
First Bancorp | 12,741 | 482,629 | |
First BanCorp | 59,866 | 903,378 | |
First Busey Corp. | 20,044 | 494,085 | |
First Citizens BancShares, Inc. Class A | 4,066 | 3,076,661 | |
First Commonwealth Financial Corp. | 21,144 | 313,354 | |
First Community Bankshares, Inc. | 6,040 | 193,763 | |
First Financial Bancorp | 23,110 | 516,277 | |
First Financial Bankshares, Inc. | 46,461 | 2,052,647 | |
First Financial Corp. | 4,769 | 222,808 | |
First Foundation, Inc. | 18,714 | 389,625 | |
First Hawaiian, Inc. | 44,350 | 1,130,482 | |
First Horizon Corp. | 181,110 | 4,049,620 | |
First Interstate Bancsystem, Inc. Class A | 30,502 | 1,243,872 | |
First Merchants Corp. | 21,531 | 894,182 | |
First Mid Bancshares, Inc. | 6,859 | 257,693 | |
First Republic Bank | 60,046 | 9,770,085 | |
Flushing Financial Corp. | 10,762 | 232,352 | |
FNB Corp. | 129,059 | 1,543,546 | |
Fulton Financial Corp. | 61,878 | 1,032,744 | |
German American Bancorp, Inc. | 9,214 | 348,658 | |
Glacier Bancorp, Inc. | 37,755 | 1,891,148 | |
Great Southern Bancorp, Inc. | 4,191 | 259,591 | |
Hancock Whitney Corp. | 30,132 | 1,470,743 | |
Harborone Bancorp, Inc. | 18,723 | 271,484 | |
Heartland Financial USA, Inc. | 15,359 | 689,619 | |
Heritage Commerce Corp. | 22,746 | 267,948 | |
Heritage Financial Corp. | 7,803 | 203,034 | |
Hilltop Holdings, Inc. | 17,488 | 504,529 | |
Home BancShares, Inc. | 53,794 | 1,269,538 | |
HomeStreet, Inc. | 4,501 | 167,842 | |
Hope Bancorp, Inc. | 32,600 | 490,304 | |
Horizon Bancorp, Inc. | 14,860 | 283,380 | |
Huntington Bancshares, Inc. | 488,887 | 6,497,308 | |
Independent Bank Corp. | 8,257 | 173,232 | |
Independent Bank Corp./MA | 15,394 | 1,290,017 | |
Independent Bank Group, Inc. | 12,992 | 918,794 | |
International Bancshares Corp. | 20,441 | 896,542 | |
KeyCorp | 315,580 | 5,775,114 | |
Lakeland Bancorp, Inc. | 23,374 | 372,114 | |
Lakeland Financial Corp. | 8,898 | 692,264 | |
Live Oak Bancshares, Inc. | 11,013 | 414,529 | |
M&T Bank Corp. | 60,928 | 10,811,674 | |
Mercantile Bank Corp. | 6,006 | 212,853 | |
Metropolitan Bank Holding Corp. (a) | 3,378 | 234,366 | |
Midland States Bancorp, Inc. | 7,822 | 204,936 | |
MidWestOne Financial Group, Inc. | 5,504 | 171,780 | |
National Bank Holdings Corp. Class A | 6,487 | 269,989 |
53 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BANKS – continued | |||
Regional Banks – continued | |||
NBT Bancorp, Inc. | 11,425 | $ 463,170 | |
Nicolet Bankshares, Inc. (a) | 4,547 | 363,669 | |
Northwest Bancshares, Inc. | 31,074 | 446,844 | |
OceanFirst Financial Corp. | 23,814 | 489,616 | |
OFG Bancorp | 13,258 | 364,197 | |
Old National Bancorp | 102,589 | 1,786,074 | |
Old Second Bancorp, Inc. | 12,538 | 176,159 | |
Origin Bancorp, Inc. | 7,764 | 334,395 | |
Pacific Premier Bancorp, Inc. | 29,158 | 980,875 | |
PacWest Bancorp | 39,932 | 1,119,294 | |
Park National Corp. | 5,832 | 755,594 | |
Pathward Financial, Inc. | 7,728 | 260,588 | |
Peapack-Gladstone Financial Corp. | 6,429 | 209,971 | |
Peoples Bancorp, Inc. | 10,870 | 336,100 | |
Pinnacle Financial Partners, Inc. | 25,938 | 2,051,696 | |
Popular, Inc. | 27,348 | 2,124,119 | |
Preferred Bank | 2,271 | 165,102 | |
Premier Financial Corp. | 12,975 | 369,528 | |
Prosperity Bancshares, Inc. | 31,805 | 2,356,432 | |
QCR Holdings, Inc. | 6,056 | 359,060 | |
Regions Financial Corp. | 318,357 | 6,742,801 | |
Renasant Corp. | 15,826 | 528,588 | |
Republic Bancorp, Inc. Class A | 3,725 | 167,029 | |
S&T Bancorp, Inc. | 11,681 | 361,410 | |
Sandy Spring Bancorp, Inc. | 16,506 | 681,698 | |
Seacoast Banking Corp. of Florida | 20,936 | 749,090 | |
ServisFirst Bancshares, Inc. | 16,714 | 1,428,211 | |
Signature Bank | 21,346 | 3,961,177 | |
Silvergate Capital Corp. (a) | 10,389 | 969,190 | |
Simmons First National Corp. Class A | 38,618 | 917,178 | |
Southside Bancshares, Inc. | 10,862 | 433,828 | |
SouthState Corp. | 26,005 | 2,204,444 | |
Stock Yards Bancorp, Inc. | 9,364 | 647,521 | |
SVB Financial Group (a) | 19,956 | 8,053,244 | |
Synovus Financial Corp. | 49,997 | 2,018,879 | |
Texas Capital Bancshares, Inc. (a) | 17,501 | 1,025,909 | |
The Bancorp, Inc. (a) | 17,783 | 437,462 | |
The First Bancshares, Inc. | 7,880 | 228,520 | |
The First of Long Island Corp. | 8,931 | 162,544 | |
The PNC Financial Services Group, Inc. | 142,143 | 23,587,209 | |
Tompkins Financial Corp. | 5,086 | 392,385 | |
Towne Bank | 26,110 | 779,906 | |
Trico Bancshares | 10,853 | 518,773 | |
Triumph Bancorp, Inc. (a) | 8,131 | 590,717 | |
Truist Financial Corp. | 451,146 | 22,769,339 | |
Trustmark Corp. | 21,731 | 705,606 | |
UMB Financial Corp. | 15,996 | 1,447,638 | |
Umpqua Holdings Corp. | 75,575 | 1,330,876 | |
United Bankshares, Inc. | 47,478 | 1,839,298 |
| |||
Shares | Value | ||
United Community Banks, Inc. | 36,205 | $ 1,232,056 | |
Univest Financial Corp. | 10,965 | 273,467 | |
Valley National Bancorp | 146,351 | 1,710,843 | |
Veritex Holdings, Inc. | 16,888 | 522,515 | |
Washington Federal, Inc. | 25,459 | 868,916 | |
Washington Trust Bancorp, Inc. | 6,655 | 365,226 | |
Webster Financial Corp. | 61,141 | 2,839,999 | |
WesBanco, Inc. | 22,312 | 761,285 | |
Westamerica BanCorp. | 7,079 | 424,811 | |
Western Alliance Bancorp | 36,169 | 2,762,588 | |
Wintrust Financial Corp. | 19,556 | 1,682,598 | |
Zions Bancorp NA | 51,657 | 2,817,889 | |
233,261,223 | |||
TOTAL BANKS | 546,815,940 | ||
CAPITAL MARKETS – 27.4% | |||
Asset Management & Custody Banks – 9.0% | |||
Affiliated Managers Group, Inc. | 13,577 | 1,715,861 | |
Ameriprise Financial, Inc. | 37,620 | 10,154,390 | |
Ares Management Corp. Class A | 49,498 | 3,546,532 | |
Artisan Partners Asset Management, Inc. Class A | 22,920 | 911,299 | |
Assetmark Financial Holdings, Inc. (a) | 7,316 | 138,931 | |
BlackRock, Inc. | 51,646 | 34,560,470 | |
Blackstone, Inc. Class A | 237,912 | 24,283,678 | |
Blucora, Inc. (a) | 15,238 | 304,760 | |
Blue Owl Capital, Inc. | 82,472 | 941,005 | |
Brightsphere Investment Group, Inc. | 12,401 | 234,503 | |
Cohen & Steers, Inc. | 9,139 | 673,453 | |
Diamond Hill Investment Group, Inc. | 1,117 | 213,537 | |
Federated Hermes, Inc. | 29,644 | 1,011,157 | |
Focus Financial Partners, Inc. Class A (a) | 20,076 | 811,673 | |
Franklin Resources, Inc. | 102,143 | 2,803,825 | |
Hamilton Lane, Inc. Class A | 12,122 | 916,059 | |
Invesco Ltd. | 116,986 | 2,075,332 | |
Janus Henderson Group PLC | 48,737 | 1,255,952 | |
KKR & Co., Inc. | 188,783 | 10,469,905 | |
Northern Trust Corp. | 67,123 | 6,697,533 | |
SEI Investments Co. | 39,936 | 2,210,857 | |
State Street Corp. | 124,347 | 8,833,611 | |
StepStone Group, Inc. | 16,787 | 447,206 | |
T Rowe Price Group, Inc. | 77,480 | 9,566,456 | |
The Bank of New York Mellon Corp. | 259,615 | 11,282,868 | |
The Carlyle Group, Inc. | 66,779 | 2,598,371 | |
TPG, Inc. | 12,106 | 345,263 | |
Victory Capital Holdings, Inc. Class A | 6,221 | 172,135 | |
Virtus Investment Partners, Inc. | 2,636 | 543,859 | |
WisdomTree Investments, Inc. | 37,263 | 193,768 | |
139,914,249 | |||
Financial Exchanges & Data – 9.6% | |||
Cboe Global Markets, Inc. | 36,157 | 4,461,051 |
Annual Report | 54 |
Common Stocks – continued | |||
Shares | Value | ||
CAPITAL MARKETS – continued | |||
Financial Exchanges & Data – continued | |||
CME Group, Inc. | 122,082 | $ 24,352,917 | |
Coinbase Global, Inc. Class A (a) | 40,834 | 2,570,909 | |
Donnelley Financial Solutions, Inc. (a) | 10,221 | 347,412 | |
FactSet Research Systems, Inc. | 12,815 | 5,506,349 | |
Intercontinental Exchange, Inc. | 190,853 | 19,465,097 | |
MarketAxess Holdings, Inc. | 12,826 | 3,473,024 | |
Moody's Corp. | 56,622 | 17,566,976 | |
Morningstar, Inc. | 8,786 | 2,243,505 | |
MSCI, Inc. | 27,606 | 13,287,872 | |
Nasdaq, Inc. | 39,097 | 7,072,647 | |
Open Lending Corp. Class A (a) | 36,543 | 378,586 | |
S&P Global, Inc. | 120,314 | 45,349,956 | |
Tradeweb Markets, Inc. Class A | 36,454 | 2,570,736 | |
148,647,037 | |||
Investment Banking & Brokerage – 8.8% | |||
B Riley Financial, Inc. | 5,360 | 276,254 | |
BGC Partners, Inc. Class A | 103,677 | 378,421 | |
Cowen, Inc. Class A | 8,917 | 312,719 | |
Evercore, Inc. Class A | 13,168 | 1,316,405 | |
Freedom Holding Corp. (a) | 6,325 | 338,577 | |
Goldman Sachs Group, Inc. | 114,791 | 38,270,172 | |
Houlihan Lokey, Inc. | 17,157 | 1,450,796 | |
Interactive Brokers Group, Inc. Class A | 31,739 | 1,862,762 | |
Jefferies Financial Group, Inc. | 65,720 | 2,140,500 | |
LPL Financial Holdings, Inc. | 27,215 | 5,712,973 | |
Moelis & Co. Class A | 21,513 | 1,002,076 | |
Morgan Stanley | 453,818 | 38,256,858 | |
Perella Weinberg Partners | 15,648 | 110,318 | |
Piper Sandler Cos. | 6,245 | 788,119 | |
PJT Partners, Inc. Class A | 7,905 | 565,049 | |
Raymond James Financial, Inc. | 66,061 | 6,505,027 | |
Stifel Financial Corp. | 36,285 | 2,170,206 | |
StoneX Group, Inc. (a) | 5,752 | 501,172 | |
The Charles Schwab Corp. | 492,225 | 33,988,136 | |
Virtu Financial, Inc. Class A | 31,564 | 736,388 | |
136,682,928 | |||
TOTAL CAPITAL MARKETS | 425,244,214 | ||
CONSUMER FINANCE – 5.2% | |||
Consumer Finance – 5.2% | |||
Ally Financial, Inc. | 113,232 | 3,744,582 | |
American Express Co. | 219,251 | 33,769,039 | |
Atlanticus Holdings Corp. (a) | 1,735 | 67,040 | |
Capital One Financial Corp. | 140,518 | 15,433,092 | |
Credit Acceptance Corp. (a) | 2,652 | 1,527,313 | |
Curo Group Holdings Corp. | 6,245 | 44,714 | |
Discover Financial Services | 96,778 | 9,774,578 | |
Encore Capital Group, Inc. (a) | 8,419 | 609,788 | |
Enova International, Inc. (a) | 11,530 | 397,900 |
| |||
Shares | Value | ||
FirstCash Holdings, Inc. | 14,087 | $ 1,032,014 | |
Green Dot Corp. Class A (a) | 16,591 | 466,207 | |
LendingClub Corp. (a) | 34,463 | 477,312 | |
LendingTree, Inc. (a) | 4,146 | 188,975 | |
Navient Corp. | 52,312 | 861,579 | |
Nelnet, Inc. Class A | 5,275 | 501,600 | |
OneMain Holdings, Inc. | 41,203 | 1,532,752 | |
Oportun Financial Corp. (a) | 6,937 | 63,682 | |
PRA Group, Inc. (a) | 14,762 | 588,118 | |
PROG Holdings, Inc. (a) | 18,616 | 342,907 | |
SLM Corp. | 94,472 | 1,473,763 | |
SoFi Technologies, Inc. (a) | 201,551 | 1,271,787 | |
Synchrony Financial | 177,104 | 5,929,442 | |
Upstart Holdings, Inc. (a) | 22,917 | 557,571 | |
World Acceptance Corp. (a) | 1,213 | 134,370 | |
TOTAL CONSUMER FINANCE | 80,790,125 | ||
DIVERSIFIED FINANCIAL SERVICES – 9.5% | |||
Multi-Sector Holdings – 8.6% | |||
Berkshire Hathaway, Inc. Class B (a) | 438,610 | 131,846,166 | |
Cannae Holdings, Inc. (a) | 26,778 | 565,284 | |
Compass Diversified Holdings | 20,939 | 505,258 | |
132,916,708 | |||
Other Diversified Financial Services – 0.9% | |||
Apollo Global Management, Inc. | 135,754 | 7,751,553 | |
Equitable Holdings, Inc. | 132,370 | 3,763,279 | |
Jackson Financial, Inc. | 17,849 | 491,026 | |
Voya Financial, Inc. | 36,084 | 2,170,814 | |
14,176,672 | |||
Specialized Finance – 0.0% | |||
A-Mark Precious Metals, Inc. | 6,238 | 189,011 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 147,282,391 | ||
INSURANCE – 19.7% | |||
Insurance Brokers – 5.0% | |||
Aon PLC Class A | 72,677 | 21,151,914 | |
Arthur J Gallagher & Co. | 70,857 | 12,682,694 | |
Brown & Brown, Inc. | 81,521 | 5,307,017 | |
BRP Group, Inc. Class A (a) | 19,329 | 532,901 | |
Goosehead Insurance, Inc. Class A | 6,552 | 368,288 | |
Hagerty, Inc. Class A (a) | 8,242 | 94,618 | |
Hippo Holdings, Inc. (a) | 94,606 | 80,793 | |
Marsh & McLennan Cos., Inc. | 170,782 | 28,001,417 | |
Ryan Specialty Holdings, Inc. (a) | 28,157 | 1,217,509 | |
Selectquote, Inc. (a) | 43,916 | 80,805 | |
Willis Towers Watson PLC | 39,970 | 8,271,392 | |
77,789,348 | |||
Life & Health Insurance – 3.9% | |||
Aflac, Inc. | 209,714 | 12,016,612 | |
American Equity Investment Life Holding Co. | 26,903 | 1,010,477 |
55 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
INSURANCE – continued | |||
Life & Health Insurance – continued | |||
Brighthouse Financial, Inc. (a) | 26,170 | $ 1,136,301 | |
CNO Financial Group, Inc. | 41,154 | 771,638 | |
Genworth Financial, Inc. Class A (a) | 173,544 | 737,562 | |
Globe Life, Inc. | 32,081 | 3,231,519 | |
Lincoln National Corp. | 55,809 | 2,865,234 | |
MetLife, Inc. | 238,230 | 15,068,048 | |
National Western Life Group, Inc. Class A | 852 | 172,104 | |
Oscar Health, Inc. (a) | 14,370 | 77,598 | |
Primerica, Inc. | 13,489 | 1,735,899 | |
Principal Financial Group, Inc. | 88,613 | 5,931,754 | |
Prudential Financial, Inc. | 127,725 | 12,771,223 | |
Trupanion, Inc. (a) | 11,815 | 744,699 | |
Unum Group | 69,254 | 2,229,286 | |
60,499,954 | |||
Multi-line Insurance – 1.9% | |||
American Financial Group, Inc. | 24,646 | 3,294,677 | |
American International Group, Inc. | 276,762 | 14,327,969 | |
Assurant, Inc. | 18,792 | 3,303,258 | |
Horace Mann Educators Corp. | 10,908 | 373,599 | |
The Hartford Financial Services Group, Inc. | 112,655 | 7,262,868 | |
28,562,371 | |||
Property & Casualty Insurance – 8.1% | |||
Ambac Financial Group, Inc. (a) | 16,470 | 193,852 | |
AMERISAFE, Inc. | 6,841 | 311,676 | |
Arch Capital Group Ltd. (a) | 128,909 | 5,723,560 | |
Argo Group International Holdings Ltd. | 12,089 | 396,398 | |
Assured Guaranty Ltd. | 21,355 | 1,246,918 | |
Axis Capital Holdings Ltd. | 27,491 | 1,388,021 | |
Chubb Ltd. | 144,784 | 27,312,054 | |
Cincinnati Financial Corp. | 51,847 | 5,046,787 | |
Donegal Group, Inc. Class A | 6,170 | 87,367 | |
Employers Holdings, Inc. | 6,139 | 243,780 | |
Erie Indemnity Co. Class A | 8,696 | 1,768,419 | |
Fidelity National Financial, Inc. | 91,351 | 3,650,386 | |
First American Financial Corp. | 37,175 | 2,156,150 | |
HCI Group, Inc. | 3,142 | 215,133 | |
James River Group Holdings Ltd. | 13,097 | 311,185 | |
Kemper Corp. | 21,776 | 1,019,117 | |
Kinsale Capital Group, Inc. | 7,359 | 1,789,782 | |
Lemonade, Inc. (a) | 13,688 | 258,019 | |
Loews Corp. | 72,511 | 4,223,766 | |
Markel Corp. (a) | 4,625 | 5,999,272 | |
MBIA, Inc. (a) | 15,741 | 198,022 | |
Mercury General Corp. | 9,872 | 413,933 | |
Old Republic International Corp. | 100,379 | 2,335,819 | |
Palomar Holdings, Inc. (a) | 8,710 | 543,243 | |
ProAssurance Corp. | 13,572 | 300,348 |
| |||
Shares | Value | ||
RLI Corp. | 13,948 | $ 1,534,001 | |
Root, Inc. Class A (a) | 29,910 | 31,405 | |
Safety Insurance Group, Inc. | 3,885 | 336,247 | |
Selective Insurance Group, Inc. | 20,586 | 1,602,826 | |
Stewart Information Services Corp. | 7,616 | 416,214 | |
The Allstate Corp. | 94,559 | 11,060,566 | |
The Hanover Insurance Group, Inc. | 12,277 | 1,675,442 | |
The Progressive Corp. | 198,512 | 22,840,791 | |
The Travelers Cos., Inc. | 81,978 | 13,009,909 | |
United Fire Group, Inc. | 7,272 | 238,740 | |
Universal Insurance Holdings, Inc. | 9,750 | 123,337 | |
White Mountains Insurance Group Ltd. | 1,029 | 1,275,373 | |
WR Berkley Corp. | 72,208 | 4,515,166 | |
125,793,024 | |||
Reinsurance – 0.8% | |||
Alleghany Corp. (a) | 4,605 | 3,856,596 | |
Enstar Group Ltd. (a) | 3,934 | 778,617 | |
Everest Re Group Ltd. | 13,331 | 3,484,057 | |
Reinsurance Group of America, Inc. | 22,804 | 2,640,247 | |
RenaissanceRe Holdings Ltd. | 14,919 | 1,929,176 | |
SiriusPoint Ltd. (a) | 30,566 | 133,879 | |
12,822,572 | |||
TOTAL INSURANCE | 305,467,269 | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.4% | |||
Mortgage REITs – 1.4% | |||
AGNC Investment Corp. | 177,184 | 2,234,290 | |
Annaly Capital Management, Inc. | 529,560 | 3,643,373 | |
Apollo Commercial Real Estate Finance, Inc. | 45,433 | 580,634 | |
Arbor Realty Trust, Inc. | 47,208 | 784,597 | |
Ares Commercial Real Estate Corp. | 17,762 | 243,339 | |
ARMOUR Residential REIT, Inc. | 32,956 | 259,364 | |
Blackstone Mortgage Trust, Inc. Class A | 54,232 | 1,679,565 | |
BrightSpire Capital, Inc. | 32,431 | 286,690 | |
Broadmark Realty Capital, Inc. | 47,405 | 359,804 | |
Chimera Investment Corp. | 81,228 | 850,457 | |
Dynex Capital, Inc. | 12,705 | 213,444 | |
Ellington Financial, Inc. | 18,801 | 301,756 | |
Franklin BSP Realty Trust, Inc. | 14,939 | 229,314 | |
Granite Point Mortgage Trust, Inc. | 18,403 | 195,256 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 29,056 | 1,048,631 | |
Invesco Mortgage Capital, Inc. | 11,414 | 202,028 | |
KKR Real Estate Finance Trust, Inc. | 16,044 | 312,698 | |
Ladder Capital Corp. | 40,168 | 477,196 | |
MFA Financial, Inc. | 33,026 | 428,017 | |
New Residential Investment Corp. | 159,220 | 1,737,090 | |
New York Mortgage Trust, Inc. | 127,139 | 399,216 | |
PennyMac Mortgage Investment Trust | 32,212 | 494,776 | |
Ready Capital Corp. | 25,132 | 349,586 |
Annual Report | 56 |
Common Stocks – continued | |||
Shares | Value | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Mortgage REITs – continued | |||
Redwood Trust, Inc. | 40,076 | $ 347,058 | |
Starwood Property Trust, Inc. | 103,759 | 2,450,788 | |
TPG RE Finance Trust, Inc. | 18,401 | 199,651 | |
Two Harbors Investment Corp. | 117,816 | 633,850 | |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 20,942,468 | ||
THRIFTS & MORTGAGE FINANCE – 1.1% | |||
Thrifts & Mortgage Finance – 1.1% | |||
Axos Financial, Inc. (a) | 18,686 | 780,327 | |
Capitol Federal Financial, Inc. | 47,858 | 458,958 | |
Columbia Financial, Inc. (a) | 13,450 | 273,573 | |
Enact Holdings, Inc. | 10,979 | 252,956 | |
Essent Group Ltd. | 37,119 | 1,550,090 | |
Federal Agricultural Mortgage Corp. Class C | 3,246 | 358,001 | |
Flagstar Bancorp, Inc. | 18,547 | 764,137 | |
Hingham Institution For Savings The | 535 | 155,155 | |
Kearny Financial Corp. | 26,806 | 313,898 | |
Luther Burbank Corp. | 6,542 | 86,289 | |
Merchants Bancorp | 6,485 | 171,593 | |
MGIC Investment Corp. | 108,155 | 1,529,312 | |
Mr. Cooper Group, Inc. (a) | 23,918 | 1,077,506 | |
New York Community Bancorp, Inc. | 160,679 | 1,706,411 | |
NMI Holdings, Inc. Class A (a) | 28,119 | 532,574 | |
Northfield Bancorp, Inc. | 15,621 | 229,941 | |
PennyMac Financial Services, Inc. | 16,203 | 887,762 | |
Provident Financial Services, Inc. | 26,894 | 655,138 |
| |||
Shares | Value | ||
Radian Group, Inc. | 60,057 | $ 1,343,475 | |
Rocket Cos., Inc. Class A | 46,485 | 442,537 | |
TFS Financial Corp. | 21,254 | 311,371 | |
TrustCo Bank Corp. | 4,098 | 137,529 | |
UWM Holdings Corp. | 30,036 | 113,236 | |
Walker & Dunlop, Inc. | 10,722 | 1,207,726 | |
Waterstone Financial, Inc. | 8,627 | 160,894 | |
WSFS Financial Corp. | 20,973 | 1,000,832 | |
TOTAL THRIFTS & MORTGAGE FINANCE | 16,501,221 | ||
TOTAL COMMON STOCKS (Cost $1,507,649,538) | 1,543,043,628 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $3,269,000) | 3,269,000 | 3,269,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $1,510,918,538) | 1,546,312,628 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 3,186,114 | ||
NET ASSETS – 100.0% | $1,549,498,742 |
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) | 7 | September 2022 | $ 659,855 | $ 36,419 | $ 36,419 |
CME E-mini S&P Financial Select Sector Index Contracts (United States) | 54 | September 2022 | 5,610,600 | 197,095 | 197,095 |
Total Equity Index Contracts | $ 233,514 |
57 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,543,043,628 | $ 1,543,043,628 | $ — | $ — | |||||
Money Market Funds | 3,269,000 | 3,269,000 | — | — | |||||
Total Investments in Securities: | $ 1,546,312,628 | $ 1,546,312,628 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 233,514 | $ 233,514 | $ — | $ — | |||||
Total Assets | $ 233,514 | $ 233,514 | $ — | $ — | |||||
Total Derivative Instruments: | $ 233,514 | $ 233,514 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $233,514 | $0 | |
Total Equity Risk | 233,514 | 0 | |
Total Value of Derivatives | $233,514 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 58 |
Common Stocks – 99.7% | |||
Shares | Value | ||
BIOTECHNOLOGY – 17.2% | |||
Biotechnology – 17.2% | |||
2seventy bio, Inc. (a) | 17,971 | $ 258,603 | |
4D Molecular Therapeutics, Inc. (a) | 15,135 | 142,269 | |
AbbVie, Inc. | 900,901 | 129,288,303 | |
ACADIA Pharmaceuticals, Inc. (a) | 61,313 | 900,688 | |
Adicet Bio, Inc. (a) | 9,111 | 153,885 | |
Agenus, Inc. (a) | 120,596 | 311,138 | |
Agios Pharmaceuticals, Inc. (a) | 24,890 | 536,877 | |
Akero Therapeutics, Inc. (a) | 11,157 | 114,248 | |
Albireo Pharma, Inc. (a) | 8,857 | 184,137 | |
Alector, Inc. (a) | 27,973 | 285,884 | |
Alkermes PLC (a) | 82,686 | 2,116,762 | |
Allogene Therapeutics, Inc. (a) | 44,767 | 581,076 | |
Allovir, Inc. (a) | 18,105 | 83,102 | |
Alnylam Pharmaceuticals, Inc. (a) | 61,141 | 8,684,468 | |
ALX Oncology Holdings, Inc. (a) | 9,300 | 90,024 | |
Amgen, Inc. | 283,718 | 70,211,693 | |
Amicus Therapeutics, Inc. (a) | 106,514 | 1,060,879 | |
AnaptysBio, Inc. (a) | 9,042 | 189,339 | |
Anavex Life Sciences Corp. (a) | 39,838 | 408,738 | |
Anika Therapeutics, Inc. (a) | 7,136 | 166,697 | |
Apellis Pharmaceuticals, Inc. (a) | 39,944 | 2,248,048 | |
Arcturus Therapeutics Holdings, Inc. (a) | 12,425 | 218,059 | |
Arcus Biosciences, Inc. (a) | 22,012 | 585,299 | |
Arcutis Biotherapeutics, Inc. (a) | 15,323 | 371,736 | |
Arrowhead Pharmaceuticals, Inc. (a) | 51,392 | 2,185,702 | |
Atara Biotherapeutics, Inc. (a) | 39,510 | 119,715 | |
Aurinia Pharmaceuticals, Inc. (a) | 57,237 | 468,199 | |
Avid Bioservices, Inc. (a) | 30,821 | 605,633 | |
Avidity Biosciences, Inc. (a) | 17,354 | 282,697 | |
Beam Therapeutics, Inc. (a) | 27,635 | 1,740,452 | |
BioCryst Pharmaceuticals, Inc. (a) | 94,438 | 1,040,707 | |
Biogen, Inc. (a) | 74,872 | 16,101,972 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 30,584 | 4,465,876 | |
BioMarin Pharmaceutical, Inc. (a) | 93,573 | 8,051,957 | |
Bioxcel Therapeutics, Inc. (a) | 9,714 | 149,984 | |
Blueprint Medicines Corp. (a) | 30,030 | 1,533,332 | |
Bridgebio Pharma, Inc. (a) | 33,892 | 293,505 | |
C4 Therapeutics, Inc. (a) | 17,292 | 166,695 | |
CareDx, Inc. (a) | 27,331 | 650,204 | |
Caribou Biosciences, Inc. (a) | 24,610 | 199,833 | |
Catalyst Pharmaceuticals, Inc. (a) | 51,543 | 527,800 | |
Celldex Therapeutics, Inc. (a) | 19,224 | 590,561 | |
Celularity, Inc. (a) | 13,974 | 42,062 | |
Cerevel Therapeutics Holdings, Inc. (a) | 29,878 | 785,493 | |
ChemoCentryx, Inc. (a) | 28,409 | 671,021 | |
Chimerix, Inc. (a) | 46,634 | 102,128 |
| |||
Shares | Value | ||
Chinook Therapeutics, Inc. (a) | 20,127 | $ 372,551 | |
Coherus Biosciences, Inc. (a) | 31,195 | 264,222 | |
Crinetics Pharmaceuticals, Inc. (a) | 19,342 | 371,560 | |
CRISPR Therapeutics AG (a) | 37,170 | 2,787,750 | |
Cullinan Oncology, Inc. (a) | 5,845 | 78,966 | |
Cytokinetics, Inc. (a) | 40,418 | 1,710,894 | |
Deciphera Pharmaceuticals, Inc. (a) | 18,916 | 240,044 | |
Denali Therapeutics, Inc. (a) | 43,356 | 1,474,971 | |
DermTech, Inc. (a) | 8,709 | 71,414 | |
Dynavax Technologies Corp. (a) | 57,784 | 830,934 | |
Dyne Therapeutics, Inc. (a) | 11,682 | 122,544 | |
Eagle Pharmaceuticals, Inc. (a) | 6,323 | 251,023 | |
Editas Medicine, Inc. (a) | 34,595 | 550,406 | |
Emergent BioSolutions, Inc. (a) | 23,235 | 804,860 | |
Enanta Pharmaceuticals, Inc. (a) | 10,143 | 559,386 | |
EQRx, Inc. (a) | 74,200 | 404,390 | |
Erasca, Inc. (a) | 17,400 | 131,196 | |
Exact Sciences Corp. (a) | 88,831 | 4,006,278 | |
Exelixis, Inc. (a) | 162,992 | 3,409,793 | |
Fate Therapeutics, Inc. (a) | 38,921 | 1,188,258 | |
FibroGen, Inc. (a) | 46,078 | 579,661 | |
Forma Therapeutics Holdings, Inc. (a) | 16,857 | 139,576 | |
Generation Bio Co. (a) | 22,872 | 145,923 | |
Geron Corp. (a) | 171,303 | 325,476 | |
Gilead Sciences, Inc. | 638,659 | 38,159,875 | |
Global Blood Therapeutics, Inc. (a) | 31,242 | 1,022,238 | |
Gossamer Bio, Inc. (a) | 26,087 | 292,957 | |
GreenLight Biosciences Holdings PBC (a) | 24,907 | 52,803 | |
Halozyme Therapeutics, Inc. (a) | 69,846 | 3,415,469 | |
Heron Therapeutics, Inc. (a) | 49,178 | 136,715 | |
Horizon Therapeutics PLC (a) | 109,588 | 9,092,516 | |
Humacyte, Inc. (a) | 26,167 | 91,061 | |
Ideaya Biosciences, Inc. (a) | 13,624 | 203,270 | |
IGM Biosciences, Inc. (a) | 5,382 | 86,704 | |
Imago Biosciences, Inc. (a) | 7,686 | 123,745 | |
ImmunityBio, Inc. (a) | 60,518 | 235,415 | |
ImmunoGen, Inc. (a) | 101,465 | 480,944 | |
Immunovant, Inc. (a) | 21,706 | 89,429 | |
Incyte Corp. (a) | 95,953 | 7,453,629 | |
Inhibrx, Inc. (a) | 11,542 | 200,138 | |
Inovio Pharmaceuticals, Inc. (a) | 106,077 | 210,032 | |
Insmed, Inc. (a) | 60,338 | 1,334,677 | |
Intellia Therapeutics, Inc. (a) | 34,128 | 2,210,129 | |
Intercept Pharmaceuticals, Inc. (a) | 12,826 | 163,660 | |
Invitae Corp. (a) | 114,513 | 217,575 | |
Ionis Pharmaceuticals, Inc. (a) | 64,691 | 2,429,794 | |
Iovance Biotherapeutics, Inc. (a) | 59,965 | 698,592 | |
Ironwood Pharmaceuticals, Inc. (a) | 72,673 | 832,106 | |
iTeos Therapeutics, Inc. (a) | 9,826 | 240,344 | |
IVERIC bio, Inc. (a) | 40,883 | 437,039 | |
Karuna Therapeutics, Inc. (a) | 11,337 | 1,476,644 |
59 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BIOTECHNOLOGY – continued | |||
Biotechnology – continued | |||
Karyopharm Therapeutics, Inc. (a) | 34,526 | $ 146,736 | |
Keros Therapeutics, Inc. (a) | 7,386 | 236,943 | |
Kezar Life Sciences, Inc. (a) | 21,575 | 210,788 | |
Kiniksa Pharmaceuticals Ltd. Class A (a) | 15,672 | 155,310 | |
Kodiak Sciences, Inc. (a) | 15,754 | 156,752 | |
Krystal Biotech, Inc. (a) | 8,819 | 640,083 | |
Kura Oncology, Inc. (a) | 28,201 | 431,757 | |
Kymera Therapeutics, Inc. (a) | 17,333 | 381,846 | |
Lexicon Pharmaceuticals, Inc. (a) | 29,227 | 69,560 | |
Ligand Pharmaceuticals, Inc. (a) | 8,543 | 786,212 | |
MacroGenics, Inc. (a) | 24,428 | 76,460 | |
Madrigal Pharmaceuticals, Inc. (a) | 6,059 | 380,626 | |
MannKind Corp. (a) | 119,767 | 413,196 | |
MeiraGTx Holdings PLC (a) | 14,761 | 122,221 | |
Mersana Therapeutics, Inc. (a) | 42,020 | 213,041 | |
Merus N.V. (a) | 14,105 | 341,059 | |
MiMedx Group, Inc. (a) | 37,153 | 127,063 | |
Mirati Therapeutics, Inc. (a) | 19,707 | 1,269,131 | |
Mirum Pharmaceuticals, Inc. (a) | 8,060 | 202,306 | |
Moderna, Inc. (a) | 174,420 | 28,620,578 | |
Monte Rosa Therapeutics, Inc. (a) | 11,333 | 102,790 | |
Morphic Holding, Inc. (a) | 9,808 | 259,618 | |
Myovant Sciences Ltd. (a) | 21,564 | 282,057 | |
Myriad Genetics, Inc. (a) | 40,376 | 1,065,119 | |
Natera, Inc. (a) | 46,004 | 2,162,188 | |
Neurocrine Biosciences, Inc. (a) | 48,381 | 4,554,104 | |
Novavax, Inc. (a) | 38,686 | 2,108,774 | |
Nurix Therapeutics, Inc. (a) | 17,015 | 271,559 | |
Ocugen, Inc. (a) | 113,273 | 292,244 | |
Opko Health, Inc. (a) | 225,881 | 533,079 | |
Organogenesis Holdings, Inc. (a) | 29,355 | 168,498 | |
PMV Pharmaceuticals, Inc. (a) | 10,357 | 154,837 | |
Point Biopharma Global, Inc. (a) | 19,156 | 140,605 | |
Praxis Precision Medicines, Inc. (a) | 18,475 | 65,217 | |
Precigen, Inc. (a) | 46,176 | 72,496 | |
Prometheus Biosciences, Inc. (a) | 4,807 | 205,115 | |
Protagonist Therapeutics, Inc. (a) | 16,709 | 166,255 | |
Prothena Corp. PLC (a) | 16,388 | 509,011 | |
PTC Therapeutics, Inc. (a) | 32,898 | 1,432,708 | |
Radius Health, Inc. (a) | 20,139 | 203,001 | |
Rapt Therapeutics, Inc. (a) | 12,499 | 230,232 | |
Recursion Pharmaceuticals, Inc. (a) | 24,421 | 206,602 | |
Regeneron Pharmaceuticals, Inc. (a) | 54,357 | 31,618,923 | |
REGENXBIO, Inc. (a) | 18,450 | 578,776 | |
Relay Therapeutics, Inc. (a) | 32,950 | 626,709 | |
Repare Therapeutics, Inc. (a) | 10,298 | 130,167 | |
Replimune Group, Inc. (a) | 12,329 | 237,703 | |
REVOLUTION Medicines, Inc. (a) | 22,056 | 498,245 | |
Rhythm Pharmaceuticals, Inc. (a) | 20,577 | 259,270 |
| |||
Shares | Value | ||
Rigel Pharmaceuticals, Inc. (a) | 84,082 | $ 100,058 | |
Rocket Pharmaceuticals, Inc. (a) | 21,628 | 313,606 | |
Sage Therapeutics, Inc. (a) | 27,323 | 940,184 | |
Sana Biotechnology, Inc. (a) | 43,104 | 287,935 | |
Sangamo Therapeutics, Inc. (a) | 62,550 | 268,340 | |
Sarepta Therapeutics, Inc. (a) | 42,182 | 3,920,817 | |
Scholar Rock Holding Corp. (a) | 19,722 | 135,293 | |
Seagen, Inc. (a) | 70,206 | 12,635,676 | |
Seres Therapeutics, Inc. (a) | 50,283 | 206,663 | |
Sorrento Therapeutics, Inc. (a) | 155,188 | 403,489 | |
SpringWorks Therapeutics, Inc. (a) | 13,750 | 410,850 | |
Stoke Therapeutics, Inc. (a) | 8,422 | 124,561 | |
Syndax Pharmaceuticals, Inc. (a) | 22,044 | 449,036 | |
Tango Therapeutics, Inc. (a) | 13,714 | 56,090 | |
TG Therapeutics, Inc. (a) | 69,810 | 418,162 | |
Travere Therapeutics, Inc. (a) | 27,038 | 636,475 | |
Turning Point Therapeutics, Inc. (a) | 22,430 | 1,681,801 | |
Twist Bioscience Corp. (a) | 26,974 | 1,179,843 | |
Ultragenyx Pharmaceutical, Inc. (a) | 33,641 | 1,792,392 | |
uniQure N.V. (a) | 21,083 | 534,454 | |
United Therapeutics Corp. (a) | 23,015 | 5,318,076 | |
Vanda Pharmaceuticals, Inc. (a) | 27,979 | 301,614 | |
Vaxart, Inc. (a) | 62,174 | 228,800 | |
Vaxcyte, Inc. (a) | 17,130 | 395,360 | |
VBI Vaccines, Inc. (a) | 95,407 | 81,163 | |
Vera Therapeutics, Inc. (a) | 7,466 | 128,789 | |
Veracyte, Inc. (a) | 35,970 | 947,450 | |
Vericel Corp. (a) | 21,723 | 706,866 | |
Vertex Pharmaceuticals, Inc. (a) | 129,669 | 36,360,484 | |
Verve Therapeutics, Inc. (a) | 16,382 | 403,325 | |
Vir Biotechnology, Inc. (a) | 36,591 | 1,017,596 | |
Viridian Therapeutics, Inc. (a) | 7,875 | 104,265 | |
Xencor, Inc. (a) | 28,499 | 817,636 | |
Xenon Pharmaceuticals, Inc. (a) | 23,255 | 770,903 | |
Y-mAbs Therapeutics, Inc. (a) | 16,973 | 264,609 | |
Zentalis Pharmaceuticals, Inc. (a) | 23,213 | 677,820 | |
TOTAL BIOTECHNOLOGY | 511,315,107 | ||
HEALTH CARE EQUIPMENT & SUPPLIES – 21.8% | |||
Health Care Equipment – 20.5% | |||
Abbott Laboratories | 898,222 | 97,762,482 | |
ABIOMED, Inc. (a) | 23,226 | 6,805,450 | |
Alphatec Holdings, Inc. (a) | 36,250 | 273,325 | |
AngioDynamics, Inc. (a) | 20,052 | 454,980 | |
Artivion, Inc. (a) | 20,053 | 393,039 | |
AtriCure, Inc. (a) | 22,536 | 1,113,504 | |
Axonics, Inc. (a) | 18,786 | 1,218,648 | |
Baxter International, Inc. | 255,925 | 15,012,560 | |
Becton Dickinson and Co. | 145,047 | 35,436,433 | |
Boston Scientific Corp. (a) | 726,690 | 29,830,624 | |
Butterfly Network, Inc. (a) | 55,314 | 240,063 |
Annual Report | 60 |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE EQUIPMENT & SUPPLIES – continued | |||
Health Care Equipment – continued | |||
Cardiovascular Systems, Inc. (a) | 20,131 | $ 310,219 | |
CONMED Corp. | 14,967 | 1,461,228 | |
CryoPort, Inc. (a) | 25,211 | 937,849 | |
Cutera, Inc. (a) | 6,999 | 324,894 | |
Danaher Corp. | 346,139 | 100,889,134 | |
DexCom, Inc. (a) | 197,856 | 16,240,020 | |
Edwards Lifesciences Corp. (a) | 317,427 | 31,914,111 | |
Enovis Corp. (a) | 24,545 | 1,465,827 | |
Envista Holdings Corp. (a) | 82,384 | 3,348,910 | |
Glaukos Corp. (a) | 24,092 | 1,297,354 | |
Globus Medical, Inc. Class A (a) | 51,486 | 3,021,713 | |
Heska Corp. (a) | 5,239 | 479,316 | |
Hologic, Inc. (a) | 127,149 | 9,075,896 | |
IDEXX Laboratories, Inc. (a) | 42,922 | 17,133,604 | |
Inari Medical, Inc. (a) | 20,543 | 1,593,726 | |
Inogen, Inc. (a) | 11,414 | 317,537 | |
Insulet Corp. (a) | 35,296 | 8,746,349 | |
Integer Holdings Corp. (a) | 16,946 | 1,184,356 | |
Integra LifeSciences Holdings Corp. (a) | 37,987 | 2,090,804 | |
Intuitive Surgical, Inc. (a) | 182,212 | 41,939,736 | |
iRhythm Technologies, Inc. (a) | 15,062 | 2,329,037 | |
LeMaitre Vascular, Inc. | 9,787 | 492,775 | |
LivaNova PLC (a) | 26,954 | 1,716,161 | |
Masimo Corp. (a) | 26,732 | 3,864,913 | |
Medtronic PLC | 683,828 | 63,267,767 | |
Mesa Laboratories, Inc. | 2,731 | 582,386 | |
Nevro Corp. (a) | 17,040 | 738,684 | |
Novocure Ltd. (a) | 48,044 | 3,266,512 | |
NuVasive, Inc. (a) | 26,581 | 1,396,034 | |
Orthofix Medical, Inc. (a) | 10,499 | 269,299 | |
Outset Medical, Inc. (a) | 20,370 | 314,717 | |
Paragon 28, Inc. (a) | 13,559 | 257,621 | |
Penumbra, Inc. (a) | 18,286 | 2,548,703 | |
PROCEPT BioRobotics Corp. (a) | 5,580 | 213,714 | |
QuidelOrtho Corp. (a) | 25,559 | 2,608,040 | |
ResMed, Inc. | 74,509 | 17,920,905 | |
Senseonics Holdings, Inc. (a) | 184,084 | 237,468 | |
Shockwave Medical, Inc. (a) | 18,199 | 3,838,715 | |
SI-BONE, Inc. (a) | 14,435 | 194,006 | |
Steris PLC | 51,063 | 11,522,366 | |
Stryker Corp. | 173,072 | 37,167,212 | |
Surmodics, Inc. (a) | 6,922 | 240,886 | |
Tactile Systems Technology, Inc. (a) | 10,036 | 77,779 | |
Tandem Diabetes Care, Inc. (a) | 32,364 | 2,142,820 | |
Teleflex, Inc. | 23,907 | 5,748,677 | |
TransMedics Group, Inc. (a) | 13,818 | 557,971 | |
Treace Medical Concepts, Inc. (a) | 8,067 | 136,494 | |
Varex Imaging Corp. (a) | 19,885 | 443,237 | |
ViewRay, Inc. (a) | 68,141 | 207,830 |
| |||
Shares | Value | ||
Zimmer Biomet Holdings, Inc. | 106,262 | $ 11,730,262 | |
Zimvie, Inc. (a) | 10,619 | 206,221 | |
608,552,903 | |||
Health Care Supplies – 1.3% | |||
Align Technology, Inc. (a) | 38,209 | 10,735,583 | |
Atrion Corp. | 718 | 485,296 | |
Avanos Medical, Inc. (a) | 24,327 | 690,157 | |
BioLife Solutions, Inc. (a) | 15,847 | 305,372 | |
Bioventus, Inc. Class A (a) | 15,359 | 130,398 | |
Cerus Corp. (a) | 87,820 | 474,228 | |
DENTSPLY SIRONA, Inc. | 111,528 | 4,032,852 | |
Embecta Corp. | 28,789 | 847,260 | |
Establishment Labs Holdings, Inc. (a) | 9,575 | 567,702 | |
Figs, Inc. Class A (a) | 33,841 | 357,699 | |
Haemonetics Corp. (a) | 26,108 | 1,814,245 | |
ICU Medical, Inc. (a) | 10,309 | 1,826,446 | |
Lantheus Holdings, Inc. (a) | 34,579 | 2,652,901 | |
Meridian Bioscience, Inc. (a) | 22,338 | 707,221 | |
Merit Medical Systems, Inc. (a) | 28,622 | 1,645,193 | |
Neogen Corp. (a) | 54,564 | 1,262,065 | |
OraSure Technologies, Inc. (a) | 35,841 | 109,673 | |
OrthoPediatrics Corp. (a) | 6,897 | 325,883 | |
Pulmonx Corp. (a) | 14,016 | 238,833 | |
Silk Road Medical, Inc. (a) | 17,808 | 810,442 | |
STAAR Surgical Co. (a) | 20,591 | 1,661,694 | |
The Cooper Cos., Inc. | 25,081 | 8,201,487 | |
39,882,630 | |||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 648,435,533 | ||
HEALTH CARE PROVIDERS & SERVICES – 22.4% | |||
Health Care Distributors – 1.9% | |||
AdaptHealth Corp. (a) | 33,190 | 733,831 | |
AmerisourceBergen Corp. | 79,789 | 11,643,609 | |
Cardinal Health, Inc. | 140,855 | 8,389,324 | |
Covetrus, Inc. (a) | 55,893 | 1,160,898 | |
Henry Schein, Inc. (a) | 70,007 | 5,518,652 | |
McKesson Corp. | 76,299 | 26,062,212 | |
Owens & Minor, Inc. | 36,332 | 1,286,516 | |
Patterson Cos., Inc. | 45,053 | 1,399,346 | |
PetIQ, Inc. (a) | 14,016 | 229,862 | |
56,424,250 | |||
Health Care Facilities – 1.6% | |||
Acadia Healthcare Co., Inc. (a) | 45,616 | 3,782,022 | |
Brookdale Senior Living, Inc. (a) | 83,541 | 402,668 | |
Cano Health, Inc. (a) | 73,208 | 445,837 | |
Community Health Systems, Inc. (a) | 58,297 | 173,725 | |
Encompass Health Corp. | 50,749 | 2,568,914 | |
Hanger, Inc. (a) | 19,493 | 361,985 | |
HCA Healthcare, Inc. | 123,707 | 26,277,841 | |
National HealthCare Corp. | 7,447 | 528,960 | |
Select Medical Holdings Corp. | 57,709 | 1,709,341 |
61 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE PROVIDERS & SERVICES – continued | |||
Health Care Facilities – continued | |||
Surgery Partners, Inc. (a) | 20,399 | $ 803,313 | |
Tenet Healthcare Corp. (a) | 52,206 | 3,451,861 | |
The Ensign Group, Inc. | 26,453 | 2,108,040 | |
The Joint Corp. (a) | 7,195 | 123,034 | |
The Pennant Group, Inc. (a) | 13,337 | 177,916 | |
Universal Health Services, Inc. Class B | 34,517 | 3,882,127 | |
US Physical Therapy, Inc. | 6,658 | 864,075 | |
47,661,659 | |||
Health Care Services – 5.7% | |||
1Life Healthcare, Inc. (a) | 68,184 | 1,155,037 | |
Accolade, Inc. (a) | 28,876 | 266,814 | |
Addus HomeCare Corp. (a) | 7,991 | 741,645 | |
Agiliti, Inc. (a) | 16,577 | 362,871 | |
agilon health, Inc. (a) | 102,868 | 2,574,786 | |
Amedisys, Inc. (a) | 16,589 | 1,988,192 | |
AMN Healthcare Services, Inc. (a) | 23,652 | 2,659,431 | |
Apollo Medical Holdings, Inc. (a) | 19,863 | 1,053,335 | |
Aveanna Healthcare Holdings, Inc. (a) | 23,391 | 49,589 | |
CareMax, Inc. (a) | 24,374 | 174,274 | |
Castle Biosciences, Inc. (a) | 10,682 | 298,669 | |
Chemed Corp. | 7,658 | 3,684,187 | |
Cigna Corp. | 163,479 | 45,015,577 | |
CorVel Corp. (a) | 4,942 | 814,886 | |
Cross Country Healthcare, Inc. (a) | 18,308 | 482,599 | |
CVS Health Corp. | 668,521 | 63,964,089 | |
DaVita, Inc. (a) | 29,303 | 2,466,140 | |
DocGo, Inc. (a) | 40,640 | 314,147 | |
Enhabit, Inc. (a) | 25,374 | 444,299 | |
Fulgent Genetics, Inc. (a) | 9,978 | 596,185 | |
Guardant Health, Inc. (a) | 46,486 | 2,332,203 | |
Hims & Hers Health, Inc. (a) | 59,850 | 370,472 | |
Laboratory Corp. of America Holdings | 47,619 | 12,485,226 | |
LHC Group, Inc. (a) | 15,315 | 2,497,264 | |
ModivCare, Inc. (a) | 6,475 | 646,205 | |
National Research Corp. | 7,991 | 302,859 | |
Oak Street Health, Inc. (a) | 55,286 | 1,600,530 | |
Option Care Health, Inc. (a) | 73,022 | 2,453,539 | |
Pediatrix Medical Group, Inc. (a) | 42,446 | 961,826 | |
Premier, Inc. Class A | 60,392 | 2,322,676 | |
Privia Health Group, Inc. (a) | 37,805 | 1,390,468 | |
Quest Diagnostics, Inc. | 60,728 | 8,293,623 | |
R1 RCM, Inc. (a) | 70,411 | 1,760,275 | |
RadNet, Inc. (a) | 25,979 | 534,388 | |
Signify Health, Inc. (a) | 34,718 | 594,025 | |
167,652,331 | |||
Managed Health Care – 13.2% | |||
Alignment Healthcare, Inc. (a) | 42,684 | 626,601 | |
Centene Corp. (a) | 296,878 | 27,600,748 | |
Clover Health Investments Corp. (a) | 167,399 | 468,717 |
| |||
Shares | Value | ||
Elevance Health, Inc. | 122,903 | $ 58,637,021 | |
HealthEquity, Inc. (a) | 42,488 | 2,471,527 | |
Humana, Inc. | 64,497 | 31,087,554 | |
Molina Healthcare, Inc. (a) | 29,708 | 9,735,906 | |
Progyny, Inc. (a) | 36,692 | 1,120,207 | |
UnitedHealth Group, Inc. | 479,243 | 259,912,648 | |
391,660,929 | |||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 663,399,169 | ||
HEALTH CARE TECHNOLOGY – 1.2% | |||
Health Care Technology – 1.2% | |||
Allscripts Healthcare Solutions, Inc. (a) | 58,920 | 932,114 | |
American Well Corp. Class A (a) | 98,894 | 385,687 | |
Certara, Inc. (a) | 52,643 | 1,210,263 | |
Change Healthcare, Inc. (a) | 126,607 | 3,072,752 | |
Computer Programs & Systems, Inc. (a) | 7,232 | 244,152 | |
Definitive Healthcare Corp. (a) | 17,307 | 449,636 | |
Evolent Health, Inc. Class A (a) | 39,168 | 1,331,320 | |
GoodRx Holdings, Inc. Class A (a) | 37,154 | 231,469 | |
Health Catalyst, Inc. (a) | 22,984 | 384,752 | |
HealthStream, Inc. (a) | 12,864 | 309,508 | |
Inspire Medical Systems, Inc. (a) | 13,955 | 2,916,455 | |
Multiplan Corp. (a) | 97,158 | 491,620 | |
NextGen Healthcare, Inc. (a) | 29,758 | 509,457 | |
Omnicell, Inc. (a) | 22,663 | 2,495,650 | |
OptimizeRx Corp. (a) | 8,043 | 180,726 | |
Phreesia, Inc. (a) | 25,512 | 599,277 | |
Schrodinger, Inc. (a) | 29,755 | 931,332 | |
Sema4 Holdings Corp. (a) | 54,873 | 88,894 | |
Simulations Plus, Inc. | 8,143 | 522,373 | |
Teladoc Health, Inc. (a) | 81,963 | 3,020,337 | |
Veeva Systems, Inc. Class A (a) | 70,847 | 15,839,972 | |
TOTAL HEALTH CARE TECHNOLOGY | 36,147,746 | ||
LIFE SCIENCES TOOLS & SERVICES – 9.6% | |||
Life Sciences Tools & Services – 9.6% | |||
10X Genomics, Inc. Class A (a) | 42,580 | 1,709,587 | |
23andMe Holding Co. (a) | 80,315 | 223,276 | |
Adaptive Biotechnologies Corp. (a) | 51,649 | 473,105 | |
Agilent Technologies, Inc. | 153,011 | 20,518,775 | |
Avantor, Inc. (a) | 310,234 | 9,002,991 | |
Bionano Genomics, Inc. (a) | 141,087 | 262,422 | |
Bio-Rad Laboratories, Inc. Class A (a) | 11,389 | 6,414,968 | |
Bio-Techne Corp. | 20,043 | 7,722,167 | |
Bruker Corp. | 53,529 | 3,669,413 | |
Charles River Laboratories International, Inc. (a) | 25,707 | 6,440,632 | |
Codexis, Inc. (a) | 29,840 | 204,702 | |
Cytek Biosciences, Inc. (a) | 34,038 | 435,686 | |
Illumina, Inc. (a) | 79,861 | 17,304,281 | |
IQVIA Holdings, Inc. (a) | 97,240 | 23,363,855 |
Annual Report | 62 |
Common Stocks – continued | |||
Shares | Value | ||
LIFE SCIENCES TOOLS & SERVICES – continued | |||
Life Sciences Tools & Services – continued | |||
Maravai LifeSciences Holdings, Inc. Class A (a) | 56,768 | $ 1,481,077 | |
MaxCyte, Inc. (a) | 33,134 | 180,580 | |
Medpace Holdings, Inc. (a) | 14,288 | 2,422,245 | |
Mettler-Toledo International, Inc. (a) | 11,615 | 15,677,114 | |
NanoString Technologies, Inc. (a) | 23,165 | 296,512 | |
NeoGenomics, Inc. (a) | 59,256 | 599,671 | |
Pacific Biosciences of California, Inc. (a) | 106,806 | 466,742 | |
PerkinElmer, Inc. | 64,184 | 9,831,063 | |
Quanterix Corp. (a) | 17,665 | 282,463 | |
Quantum-Si, Inc. (a) | 41,403 | 134,560 | |
Repligen Corp. (a) | 26,750 | 5,707,380 | |
Seer, Inc. (a) | 19,416 | 174,744 | |
SomaLogic, Inc. (a) | 69,284 | 349,884 | |
Sotera Health Co. (a) | 50,211 | 964,051 | |
Syneos Health, Inc. (a) | 53,163 | 4,207,320 | |
Thermo Fisher Scientific, Inc. | 199,254 | 119,235,586 | |
Waters Corp. (a) | 30,789 | 11,208,120 | |
West Pharmaceutical Services, Inc. | 37,875 | 13,012,335 | |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 283,977,307 | ||
PHARMACEUTICALS – 27.4% | |||
Pharmaceuticals – 27.4% | |||
Aclaris Therapeutics, Inc. (a) | 22,367 | 344,675 | |
Aerie Pharmaceuticals, Inc. (a) | 22,523 | 157,886 | |
Amneal Pharmaceuticals, Inc. (a) | 48,669 | 172,288 | |
Amphastar Pharmaceuticals, Inc. (a) | 19,842 | 741,892 | |
ANI Pharmaceuticals, Inc. (a) | 6,793 | 232,660 | |
Arvinas, Inc. (a) | 22,787 | 1,210,218 | |
ATAI Life Sciences N.V. (a) | 61,133 | 235,973 | |
Atea Pharmaceuticals, Inc. (a) | 37,925 | 310,985 | |
Axsome Therapeutics, Inc. (a) | 14,331 | 553,033 | |
Bristol-Myers Squibb Co. | 1,110,226 | 81,912,474 | |
Cara Therapeutics, Inc. (a) | 22,993 | 200,959 | |
Cassava Sciences, Inc. (a) | 19,357 | 316,100 | |
Catalent, Inc. (a) | 86,557 | 9,789,597 | |
CinCor Pharma, Inc. (a) | 6,691 | 151,350 | |
Collegium Pharmaceutical, Inc. (a) | 17,482 | 300,516 | |
Corcept Therapeutics, Inc. (a) | 48,357 | 1,385,912 | |
DICE Therapeutics, Inc. (a) | 4,843 | 83,493 | |
Elanco Animal Health, Inc. (a) | 217,302 | 4,402,539 | |
Eli Lilly & Co. | 412,313 | 135,935,473 | |
Endo International PLC (a) | 116,477 | 61,756 | |
Evolus, Inc. (a) | 18,346 | 226,206 | |
Fulcrum Therapeutics, Inc. (a) | 12,988 | 76,369 | |
Harmony Biosciences Holdings, Inc. (a) | 11,874 | 602,368 | |
Innoviva, Inc. (a) | 31,778 | 455,697 | |
Intra-Cellular Therapies, Inc. (a) | 42,152 | 2,281,266 | |
Jazz Pharmaceuticals PLC (a) | 31,326 | 4,888,736 |
| |||||
Shares | Value | ||||
Johnson & Johnson | 1,339,204 | $ 233,717,882 | |||
Merck & Co., Inc. | 1,287,487 | 115,024,089 | |||
Nektar Therapeutics (a) | 95,569 | 378,453 | |||
NGM Biopharmaceuticals, Inc. (a) | 13,464 | 194,959 | |||
Nuvation Bio, Inc. (a) | 62,778 | 173,267 | |||
Organon & Co. | 129,359 | 4,103,267 | |||
Pacira BioSciences, Inc. (a) | 22,831 | 1,291,321 | |||
Perrigo Co. PLC | 68,233 | 2,856,916 | |||
Pfizer, Inc. | 2,864,219 | 144,671,702 | |||
Phathom Pharmaceuticals, Inc. (a) | 10,172 | 93,684 | |||
Phibro Animal Health Corp. Class A | 10,690 | 209,203 | |||
Prestige Consumer Healthcare, Inc. (a) | 25,750 | 1,552,982 | |||
Provention Bio, Inc. (a) | 30,719 | 117,347 | |||
Reata Pharmaceuticals, Inc. Class A (a) | 13,625 | 418,015 | |||
Relmada Therapeutics, Inc. (a) | 9,803 | 250,957 | |||
Revance Therapeutics, Inc. (a) | 34,286 | 532,119 | |||
Roivant Sciences Ltd. (a) | 140,398 | 558,784 | |||
Royalty Pharma PLC Class A | 176,703 | 7,684,813 | |||
SIGA Technologies, Inc. | 23,324 | 400,940 | |||
Supernus Pharmaceuticals, Inc. (a) | 27,327 | 867,632 | |||
Theravance Biopharma, Inc. (a) | 27,257 | 239,589 | |||
Tilray Brands, Inc. (a) | 239,570 | 874,431 | |||
Tricida, Inc. (a) | 12,631 | 115,700 | |||
Viatris, Inc. | 614,497 | 5,954,476 | |||
Zoetis, Inc. | 240,394 | 43,883,925 | |||
Zogenix, Inc. | 23,800 | 16,184 | |||
TOTAL PHARMACEUTICALS | 813,213,058 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.1% | |||||
Semiconductor Equipment – 0.1% | |||||
Azenta, Inc. | 38,237 | 2,610,058 | |||
TOTAL COMMON STOCKS (Cost $2,351,815,548) | 2,959,097,978 | ||||
Money Market Fund – 0.1% | |||||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $4,564,000) | 4,564,000 | 4,564,000 | |||
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $2,356,379,548) | 2,963,661,978 | ||||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 4,696,798 | ||||
NET ASSETS – 100.0% | $2,968,358,776 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
63 | Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 8 | September 2022 | $ 754,120 | $ 58,006 | $ 58,006 |
CME E-mini S&P Health Care Select Sector Index Contracts (United States) | 61 | September 2022 | 8,165,460 | 378,338 | 378,338 |
Total Equity Index Contracts | $ 436,344 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,959,097,978 | $ 2,959,097,978 | $ — | $ — | |||||
Money Market Funds | 4,564,000 | 4,564,000 | — | — | |||||
Total Investments in Securities: | $ 2,963,661,978 | $ 2,963,661,978 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 436,344 | $ 436,344 | $ — | $ — | |||||
Total Assets | $ 436,344 | $ 436,344 | $ — | $ — | |||||
Total Derivative Instruments: | $ 436,344 | $ 436,344 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $436,344 | $0 | |
Total Equity Risk | 436,344 | 0 | |
Total Value of Derivatives | $436,344 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 64 |
Common Stocks – 99.7% | |||
Shares | Value | ||
AEROSPACE & DEFENSE – 17.4% | |||
Aerospace & Defense – 17.4% | |||
AAR Corp. (a) | 6,855 | $ 305,253 | |
Aerojet Rocketdyne Holdings, Inc. (a) | 14,001 | 611,704 | |
AeroVironment, Inc. (a) | 4,527 | 392,219 | |
AerSale Corp. (a) | 2,992 | 52,390 | |
Astra Space, Inc. (a) | 24,012 | 34,337 | |
Axon Enterprise, Inc. (a) | 13,019 | 1,434,564 | |
BWX Technologies, Inc. | 17,653 | 1,000,572 | |
Cadre Holdings, Inc. | 2,327 | 55,033 | |
Curtiss-Wright Corp. | 7,429 | 1,065,616 | |
Ducommun, Inc. (a) | 2,197 | 104,006 | |
General Dynamics Corp. | 45,574 | 10,330,258 | |
HEICO Corp. | 8,408 | 1,326,026 | |
HEICO Corp. Class A | 14,165 | 1,808,587 | |
Hexcel Corp. | 16,252 | 983,408 | |
Howmet Aerospace, Inc. | 72,868 | 2,705,589 | |
Huntington Ingalls Industries, Inc. | 7,729 | 1,675,956 | |
Kaman Corp. | 4,842 | 149,037 | |
Kratos Defense & Security Solutions, Inc. (a) | 24,153 | 347,562 | |
L3Harris Technologies, Inc. | 37,275 | 8,944,882 | |
Lockheed Martin Corp. | 47,320 | 19,581,489 | |
Maxar Technologies, Inc. | 14,089 | 387,166 | |
Mercury Systems, Inc. (a) | 9,868 | 582,311 | |
Moog, Inc. Class A | 5,584 | 478,214 | |
National Presto Industries, Inc. | 988 | 70,345 | |
Northrop Grumman Corp. | 28,633 | 13,712,344 | |
Parsons Corp. (a) | 7,008 | 302,956 | |
Raytheon Technologies Corp. | 288,127 | 26,856,318 | |
Rocket Lab USA, Inc. (a) | 26,932 | 125,772 | |
Spirit AeroSystems Holdings, Inc. Class A | 20,376 | 668,740 | |
Textron, Inc. | 41,876 | 2,748,741 | |
The Boeing Co. (a) | 106,932 | 17,035,337 | |
TransDigm Group, Inc. (a) | 10,173 | 6,331,065 | |
Triumph Group, Inc. (a) | 12,685 | 197,125 | |
V2X, Inc. (a) | 2,230 | 74,125 | |
Virgin Galactic Holdings, Inc. (a) | 39,879 | 296,700 | |
TOTAL AEROSPACE & DEFENSE | 122,775,747 | ||
AIR FREIGHT & LOGISTICS – 6.7% | |||
Air Freight & Logistics – 6.7% | |||
Air Transport Services Group, Inc. (a) | 3,507 | 109,909 | |
Atlas Air Worldwide Holdings, Inc. (a) | 1,436 | 108,720 | |
CH Robinson Worldwide, Inc. | 24,830 | 2,748,681 | |
Expeditors International of Washington, Inc. | 32,723 | 3,476,819 |
| |||
Shares | Value | ||
FedEx Corp. | 48,600 | $ 11,328,174 | |
Forward Air Corp. | 5,216 | 547,315 | |
GXO Logistics, Inc. (a) | 20,528 | 985,344 | |
Hub Group, Inc. Class A (a) | 6,596 | 503,934 | |
United Parcel Service, Inc. Class B | 141,436 | 27,564,462 | |
TOTAL AIR FREIGHT & LOGISTICS | 47,373,358 | ||
AIRLINES – 0.5% | |||
Airlines – 0.5% | |||
Alaska Air Group, Inc. (a) | 6,050 | 268,197 | |
Allegiant Travel Co. (a) | 881 | 101,588 | |
American Airlines Group, Inc. (a) | 31,465 | 431,385 | |
Blade Air Mobility, Inc. (a) | 8,213 | 45,623 | |
Delta Air Lines, Inc. (a) | 30,842 | 980,776 | |
Frontier Group Holdings, Inc. (a) | 8,739 | 126,541 | |
Hawaiian Holdings, Inc. (a) | 2,560 | 38,298 | |
JetBlue Airways Corp. (a) | 15,316 | 128,961 | |
SkyWest, Inc. (a) | 2,343 | 56,583 | |
Southwest Airlines Co. (a) | 28,528 | 1,087,487 | |
Spirit Airlines, Inc. (a) | 5,369 | 132,990 | |
Sun Country Airlines Holdings, Inc. (a) | 5,588 | 112,710 | |
Wheels Up Experience, Inc. (a) | 11,181 | 25,045 | |
TOTAL AIRLINES | 3,536,184 | ||
BUILDING PRODUCTS – 6.8% | |||
Building Products – 6.8% | |||
AAON, Inc. | 8,077 | 485,993 | |
Advanced Drainage Systems, Inc. | 12,508 | 1,483,449 | |
Allegion PLC | 16,982 | 1,794,997 | |
American Woodmark Corp. (a) | 3,189 | 160,152 | |
AO Smith Corp. | 25,382 | 1,605,919 | |
Apogee Enterprises, Inc. | 4,839 | 201,351 | |
Armstrong World Industries, Inc. | 9,099 | 812,996 | |
Builders FirstSource, Inc. (a) | 36,973 | 2,514,164 | |
Carlisle Cos., Inc. | 10,062 | 2,979,358 | |
Carrier Global Corp. | 165,176 | 6,694,583 | |
CSW Industrials, Inc. | 2,891 | 345,388 | |
Fortune Brands Home & Security, Inc. | 25,920 | 1,806,106 | |
Gibraltar Industries, Inc. (a) | 6,344 | 296,836 | |
Griffon Corp. | 8,157 | 244,791 | |
Insteel Industries, Inc. | 3,808 | 119,190 | |
Janus International Group, Inc. (a) | 15,575 | 158,398 | |
JELD-WEN Holding, Inc. (a) | 17,344 | 308,376 | |
Johnson Controls International PLC | 135,658 | 7,313,323 | |
Lennox International, Inc. | 6,376 | 1,527,243 | |
Masco Corp. | 46,252 | 2,561,436 | |
Masonite International Corp. (a) | 4,268 | 388,516 | |
Owens Corning | 19,144 | 1,775,414 | |
PGT Innovations, Inc. (a) | 11,369 | 248,981 | |
Quanex Building Products Corp. | 6,331 | 155,806 | |
Resideo Technologies, Inc. (a) | 28,629 | 644,439 |
65 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BUILDING PRODUCTS – continued | |||
Building Products – continued | |||
Simpson Manufacturing Co., Inc. | 8,350 | $ 862,388 | |
The AZEK Co., Inc. (a) | 22,460 | 464,473 | |
Trane Technologies PLC | 45,089 | 6,627,632 | |
Trex Co., Inc. (a) | 22,138 | 1,428,344 | |
UFP Industries, Inc. | 11,977 | 1,104,399 | |
Zurn Elkay Water Solutions Corp. | 24,301 | 703,514 | |
TOTAL BUILDING PRODUCTS | 47,817,955 | ||
COMMERCIAL SERVICES & SUPPLIES – 7.5% | |||
Commercial Printing – 0.1% | |||
Brady Corp. Class A | 9,225 | 441,416 | |
Cimpress PLC (a) | 3,319 | 133,391 | |
Deluxe Corp. | 8,189 | 205,871 | |
Ennis, Inc. | 5,065 | 110,670 | |
891,348 | |||
Diversified Support Services – 2.3% | |||
ACV Auctions, Inc. Class A (a) | 19,869 | 146,832 | |
Cintas Corp. | 18,025 | 7,669,457 | |
Copart, Inc. (a) | 41,215 | 5,279,641 | |
Driven Brands Holdings, Inc. (a) | 9,675 | 293,927 | |
Healthcare Services Group, Inc. | 14,147 | 202,868 | |
IAA, Inc. (a) | 25,957 | 979,358 | |
KAR Auction Services, Inc. (a) | 23,245 | 397,489 | |
Matthews International Corp. Class A | 5,490 | 153,446 | |
UniFirst Corp. | 2,923 | 572,586 | |
Viad Corp. (a) | 3,934 | 132,851 | |
15,828,455 | |||
Environmental & Facilities Services – 4.7% | |||
ABM Industries, Inc. | 13,045 | 584,938 | |
BrightView Holdings, Inc. (a) | 6,712 | 88,196 | |
Casella Waste Systems, Inc. Class A (a) | 9,766 | 790,558 | |
Clean Harbors, Inc. (a) | 9,942 | 970,240 | |
Harsco Corp. (a) | 15,717 | 75,599 | |
Heritage-Crystal Clean, Inc. (a) | 3,164 | 106,184 | |
Montrose Environmental Group, Inc. (a) | 4,580 | 183,749 | |
Republic Services, Inc. | 42,767 | 5,930,072 | |
Rollins, Inc. | 42,688 | 1,646,476 | |
SP Plus Corp. (a) | 4,405 | 150,915 | |
Stericycle, Inc. (a) | 17,661 | 827,771 | |
Tetra Tech, Inc. | 10,442 | 1,600,445 | |
Waste Connections, Inc. | 49,683 | 6,626,222 | |
Waste Management, Inc. | 80,046 | 13,172,370 | |
32,753,735 | |||
Office Services & Supplies – 0.3% | |||
ACCO Brands Corp. | 18,088 | 129,691 | |
HNI Corp. | 8,373 | 295,734 | |
Interface, Inc. | 11,554 | 167,418 | |
MillerKnoll, Inc. | 14,708 | 442,858 | |
MSA Safety, Inc. | 7,213 | 925,716 |
| |||
Shares | Value | ||
Pitney Bowes, Inc. | 18,240 | $ 59,645 | |
Steelcase, Inc. Class A | 15,856 | 176,477 | |
2,197,539 | |||
Security & Alarm Services – 0.1% | |||
CoreCivic, Inc. (a) | 23,207 | 249,939 | |
The Brink's Co. | 9,526 | 542,411 | |
792,350 | |||
Specialized REITs – 0.0% | |||
The Geo Group, Inc. (a) | 17,910 | 117,490 | |
TOTAL COMMERCIAL SERVICES & SUPPLIES | 52,580,917 | ||
CONSTRUCTION & ENGINEERING – 2.4% | |||
Construction & Engineering – 2.2% | |||
AECOM | 25,940 | 1,867,680 | |
Ameresco, Inc. Class A (a) | 6,157 | 352,304 | |
API Group Corp. (a) | 31,399 | 556,076 | |
Arcosa, Inc. | 9,307 | 479,869 | |
Argan, Inc. | 3,000 | 111,480 | |
Comfort Systems USA, Inc. | 6,907 | 729,794 | |
Construction Partners, Inc. Class A (a) | 7,960 | 189,289 | |
Dycom Industries, Inc. (a) | 5,853 | 603,795 | |
EMCOR Group, Inc. | 10,175 | 1,184,065 | |
Fluor Corp. (a) | 27,181 | 690,669 | |
Granite Construction, Inc. | 8,962 | 267,964 | |
Great Lakes Dredge & Dock Corp. (a) | 12,899 | 166,784 | |
IES Holdings, Inc. (a) | 1,822 | 60,126 | |
MasTec, Inc. (a) | 11,076 | 874,229 | |
MYR Group, Inc. (a) | 3,299 | 314,164 | |
NV5 Global, Inc. (a) | 2,547 | 345,373 | |
Primoris Services Corp. | 10,390 | 242,710 | |
Quanta Services, Inc. | 27,767 | 3,852,116 | |
Sterling Infrastructure, Inc. (a) | 5,601 | 144,002 | |
Tutor Perini Corp. (a) | 8,388 | 76,163 | |
Valmont Industries, Inc. | 4,105 | 1,114,425 | |
WillScot Mobile Mini Holdings Corp. (a) | 43,100 | 1,664,091 | |
15,887,168 | |||
Multi-Utilities – 0.2% | |||
MDU Resources Group, Inc. | 39,174 | 1,119,201 | |
TOTAL CONSTRUCTION & ENGINEERING | 17,006,369 | ||
ELECTRICAL EQUIPMENT – 7.7% | |||
Electrical Components & Equipment – 7.6% | |||
Acuity Brands, Inc. | 6,744 | 1,230,106 | |
AMETEK, Inc. | 44,736 | 5,524,896 | |
Array Technologies, Inc. (a) | 24,983 | 420,963 | |
Atkore, Inc. (a) | 8,663 | 859,976 | |
Blink Charging Co. (a) | 7,424 | 157,166 | |
ChargePoint Holdings, Inc. (a) | 41,571 | 628,138 | |
Eaton Corp. PLC | 76,997 | 11,425,585 | |
Emerson Electric Co. | 114,685 | 10,329,678 | |
Encore Wire Corp. | 3,898 | 539,756 |
Annual Report | 66 |
Common Stocks – continued | |||
Shares | Value | ||
ELECTRICAL EQUIPMENT – continued | |||
Electrical Components & Equipment – continued | |||
EnerSys | 7,972 | $ 525,434 | |
Enovix Corp. (a) | 13,606 | 181,232 | |
ESS Tech, Inc. (a) | 10,311 | 39,182 | |
FREYR Battery S.A. (a) | 15,745 | 157,135 | |
FuelCell Energy, Inc. (a) | 70,419 | 252,804 | |
Generac Holdings, Inc. (a) | 12,322 | 3,305,993 | |
GrafTech International Ltd. | 40,688 | 313,298 | |
Heliogen, Inc. (a) | 14,172 | 35,005 | |
Hubbell, Inc. | 10,509 | 2,301,681 | |
nVent Electric PLC | 32,081 | 1,132,780 | |
Plug Power, Inc. (a) | 100,174 | 2,137,713 | |
Regal Rexnord Corp. | 13,065 | 1,754,629 | |
Rockwell Automation, Inc. | 22,435 | 5,727,207 | |
Sensata Technologies Holding PLC | 30,453 | 1,354,245 | |
SES AI Corp. (a) | 17,624 | 81,247 | |
Shoals Technologies Group, Inc. (a) | 20,162 | 476,428 | |
Stem, Inc. (a) | 11,858 | 134,351 | |
Sunrun, Inc. (a) | 36,238 | 1,184,620 | |
Thermon Group Holdings, Inc. (a) | 6,476 | 100,831 | |
Vertiv Holdings Co. | 61,909 | 707,001 | |
Vicor Corp. (a) | 4,373 | 319,054 | |
53,338,134 | |||
Heavy Electrical Equipment – 0.1% | |||
AZZ, Inc. | 4,744 | 201,810 | |
Babcock & Wilcox Enterprises, Inc. (a) | 11,585 | 92,217 | |
Bloom Energy Corp. Class A (a) | 31,160 | 630,367 | |
Energy Vault Holdings, Inc. (a) | 10,323 | 45,937 | |
TPI Composites, Inc. (a) | 7,365 | 121,301 | |
1,091,632 | |||
TOTAL ELECTRICAL EQUIPMENT | 54,429,766 | ||
INDUSTRIAL CONGLOMERATES – 8.1% | |||
Industrial Conglomerates – 8.1% | |||
3M Co. | 110,264 | 15,794,215 | |
General Electric Co. | 212,248 | 15,687,250 | |
Honeywell International, Inc. | 132,412 | 25,484,013 | |
TOTAL INDUSTRIAL CONGLOMERATES | 56,965,478 | ||
LEISURE PRODUCTS – 0.0% | |||
Leisure Products – 0.0% | |||
Hayward Holdings, Inc. (a) | 14,816 | 172,903 | |
MACHINERY – 20.4% | |||
Agricultural & Farm Machinery – 3.2% | |||
AGCO Corp. | 12,251 | 1,334,379 | |
Deere & Co. | 56,270 | 19,310,739 | |
Hydrofarm Holdings Group, Inc. (a) | 5,300 | 17,119 | |
Lindsay Corp. | 2,143 | 329,936 | |
The Toro Co. | 20,265 | 1,742,587 |
| |||
Shares | Value | ||
Titan International, Inc. (a) | 9,649 | $ 161,717 | |
22,896,477 | |||
Construction Machinery & Heavy Trucks – 5.9% | |||
Alamo Group, Inc. | 2,079 | 269,043 | |
Allison Transmission Holdings, Inc. | 18,897 | 791,217 | |
Astec Industries, Inc. | 4,394 | 215,877 | |
Blue Bird Corp. (a) | 3,374 | 37,654 | |
Caterpillar, Inc. | 103,465 | 20,511,936 | |
Cummins, Inc. | 27,499 | 6,085,804 | |
Douglas Dynamics, Inc. | 4,499 | 143,338 | |
Federal Signal Corp. | 11,714 | 486,365 | |
Hyliion Holdings Corp. (a) | 21,765 | 85,537 | |
Hyzon Motors, Inc. (a) | 13,917 | 55,946 | |
Ideanomics, Inc. (a) | 88,212 | 60,117 | |
Meritor, Inc. (a) | 13,000 | 473,460 | |
Microvast Holdings, Inc. (a) | 23,227 | 61,552 | |
Nikola Corp. (a) | 51,965 | 323,222 | |
Oshkosh Corp. | 12,863 | 1,107,504 | |
PACCAR, Inc. | 67,106 | 6,141,541 | |
Proterra, Inc. (a) | 33,774 | 182,042 | |
REV Group, Inc. | 6,743 | 78,489 | |
Terex Corp. | 13,535 | 453,558 | |
The Greenbrier Cos., Inc. | 6,351 | 202,089 | |
The Manitowoc Co., Inc. (a) | 6,910 | 78,981 | |
The Shyft Group, Inc. | 6,422 | 166,587 | |
Trinity Industries, Inc. | 15,298 | 396,983 | |
Wabash National Corp. | 9,619 | 173,719 | |
Westinghouse Air Brake Technologies Corp. | 34,014 | 3,179,289 | |
41,761,850 | |||
Industrial Machinery – 11.3% | |||
Albany International Corp. Class A | 6,153 | 561,584 | |
Altra Industrial Motion Corp. | 12,589 | 525,339 | |
Barnes Group, Inc. | 9,329 | 315,507 | |
Chart Industries, Inc. (a) | 7,013 | 1,368,166 | |
CIRCOR International, Inc. (a) | 3,685 | 64,156 | |
Columbus McKinnon Corp. | 5,597 | 185,261 | |
Crane Holdings Co. | 9,645 | 954,180 | |
Desktop Metal, Inc. Class A (a) | 42,486 | 90,495 | |
Donaldson Co., Inc. | 23,817 | 1,295,883 | |
Dover Corp. | 27,828 | 3,720,047 | |
Energy Recovery, Inc. (a) | 9,878 | 219,588 | |
Enerpac Tool Group Corp. | 11,545 | 234,364 | |
EnPro Industries, Inc. | 3,808 | 355,972 | |
Esab Corp. | 9,271 | 382,151 | |
ESCO Technologies, Inc. | 5,018 | 389,146 | |
Evoqua Water Technologies Corp. (a) | 23,381 | 891,050 | |
Flowserve Corp. | 25,249 | 854,426 | |
Fortive Corp. | 65,782 | 4,239,650 | |
Franklin Electric Co., Inc. | 7,656 | 695,318 | |
Gates Industrial Corp. PLC (a) | 19,698 | 242,285 |
67 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MACHINERY – continued | |||
Industrial Machinery – continued | |||
Graco, Inc. | 32,843 | $ 2,205,736 | |
Helios Technologies, Inc. | 6,261 | 430,882 | |
Hillenbrand, Inc. | 13,996 | 646,615 | |
Hillman Solutions Corp. (a) | 18,985 | 196,495 | |
Hyster-Yale Materials Handling, Inc. | 1,759 | 60,844 | |
IDEX Corp. | 14,709 | 3,070,504 | |
Illinois Tool Works, Inc. | 60,417 | 12,552,236 | |
Ingersoll Rand, Inc. | 78,718 | 3,920,156 | |
ITT, Inc. | 16,483 | 1,236,720 | |
John Bean Technologies Corp. | 6,155 | 691,268 | |
Kadant, Inc. | 2,225 | 453,566 | |
Kennametal, Inc. | 15,340 | 411,879 | |
Lincoln Electric Holdings, Inc. | 10,780 | 1,524,723 | |
Luxfer Holdings PLC | 5,669 | 92,632 | |
Markforged Holding Corp. (a) | 16,262 | 35,614 | |
Mueller Industries, Inc. | 9,994 | 672,896 | |
Mueller Water Products, Inc. Class A | 30,113 | 392,071 | |
Nordson Corp. | 10,094 | 2,331,613 | |
Omega Flex, Inc. | 687 | 78,998 | |
Otis Worldwide Corp. | 82,049 | 6,413,770 | |
Parker Hannifin Corp. | 24,805 | 7,170,877 | |
Pentair PLC | 31,751 | 1,552,306 | |
Proto Labs, Inc. (a) | 5,291 | 258,677 | |
RBC Bearings, Inc. (a) | 5,558 | 1,311,688 | |
Sarcos Technology and Robotics Corp. (a) | 12,423 | 41,617 | |
Snap-on, Inc. | 10,329 | 2,314,212 | |
SPX Corp. (a) | 8,715 | 515,318 | |
Standex International Corp. | 2,396 | 232,604 | |
Stanley Black & Decker, Inc. | 31,546 | 3,070,372 | |
Tennant Co. | 3,403 | 228,103 | |
The Gorman-Rupp Co. | 4,090 | 125,563 | |
The Middleby Corp. (a) | 10,211 | 1,477,430 | |
The Timken Co. | 13,030 | 851,901 | |
Velo3D, Inc. (a) | 10,635 | 34,138 | |
Watts Water Technologies, Inc. Class A | 5,343 | 738,029 | |
Woodward, Inc. | 11,550 | 1,209,285 | |
Xylem, Inc. | 34,759 | 3,198,871 | |
79,334,777 | |||
TOTAL MACHINERY | 143,993,104 | ||
MARINE – 0.1% | |||
Marine – 0.1% | |||
Eagle Bulk Shipping, Inc. | 1,839 | 97,338 | |
Genco Shipping & Trading Ltd. | 7,288 | 140,513 | |
Kirby Corp. (a) | 2,952 | 187,275 | |
Matson, Inc. | 1,974 | 180,956 | |
TOTAL MARINE | 606,082 |
| |||
Shares | Value | ||
PROFESSIONAL SERVICES – 6.7% | |||
Human Resource & Employment Services – 1.1% | |||
Alight, Inc. (a) | 49,434 | $ 372,732 | |
ASGN, Inc. (a) | 10,017 | 1,039,364 | |
Barrett Business Services, Inc. | 1,434 | 117,000 | |
First Advantage Corp. (a) | 10,513 | 147,497 | |
Heidrick & Struggles International, Inc. | 3,838 | 119,515 | |
HireRight Holdings Corp. (a) | 4,604 | 68,415 | |
Insperity, Inc. | 7,024 | 770,814 | |
Kelly Services, Inc. Class A | 6,492 | 140,747 | |
Kforce, Inc. | 3,931 | 258,856 | |
Korn Ferry | 10,560 | 691,786 | |
ManpowerGroup, Inc. | 10,361 | 812,406 | |
Robert Half International, Inc. | 21,387 | 1,692,567 | |
Skillsoft Corp. (a) | 12,483 | 47,935 | |
Sterling Check Corp. (a) | 15,813 | 310,726 | |
TriNet Group, Inc. (a) | 8,279 | 683,018 | |
TrueBlue, Inc. (a) | 6,638 | 143,646 | |
Upwork, Inc. (a) | 22,175 | 411,568 | |
7,828,592 | |||
Research & Consulting Services – 5.6% | |||
Booz Allen Hamilton Holding Corp. | 25,736 | 2,470,141 | |
CACI International, Inc. Class A (a) | 4,522 | 1,366,956 | |
CBIZ, Inc. (a) | 9,097 | 415,005 | |
Clarivate PLC (a) | 59,693 | 864,952 | |
CoStar Group, Inc. (a) | 76,261 | 5,535,786 | |
CRA International, Inc. | 1,400 | 138,614 | |
Dun & Bradstreet Holdings, Inc. (a) | 37,482 | 590,716 | |
Equifax, Inc. | 23,575 | 4,925,053 | |
Exponent, Inc. | 10,022 | 1,007,111 | |
Forrester Research, Inc. (a) | 2,242 | 104,231 | |
Franklin Covey Co. (a) | 2,492 | 130,406 | |
FTI Consulting, Inc. (a) | 6,606 | 1,080,477 | |
Huron Consulting Group, Inc. (a) | 4,146 | 278,197 | |
ICF International, Inc. | 3,608 | 340,415 | |
Jacobs Engineering Group, Inc. | 24,964 | 3,427,557 | |
KBR, Inc. | 26,945 | 1,434,282 | |
Leidos Holdings, Inc. | 25,734 | 2,753,538 | |
ManTech International Corp. Class A | 5,343 | 511,966 | |
Nielsen Holdings PLC | 65,838 | 1,576,820 | |
Planet Labs PBC (a) | 30,982 | 165,134 | |
Resources Connection, Inc. | 5,904 | 126,700 | |
Science Applications International Corp. | 11,288 | 1,093,469 | |
TransUnion | 37,084 | 2,938,165 | |
Verisk Analytics, Inc. | 31,139 | 5,924,195 | |
Willdan Group, Inc. (a) | 2,423 | 65,930 | |
39,265,816 | |||
TOTAL PROFESSIONAL SERVICES | 47,094,408 |
Annual Report | 68 |
Common Stocks – continued | |||
Shares | Value | ||
ROAD & RAIL – 11.4% | |||
Railroads – 7.6% | |||
CSX Corp. | 423,482 | $ 13,691,173 | |
Norfolk Southern Corp. | 46,294 | 11,627,664 | |
Union Pacific Corp. | 122,967 | 27,950,399 | |
53,269,236 | |||
Trucking – 3.8% | |||
AMERCO | 1,894 | 1,017,230 | |
ArcBest Corp. | 4,750 | 420,850 | |
Avis Budget Group, Inc. (a) | 6,254 | 1,138,416 | |
Heartland Express, Inc. | 11,431 | 181,524 | |
Hertz Global Holdings, Inc. (a) | 44,319 | 949,313 | |
JB Hunt Transport Services, Inc. | 16,173 | 2,964,026 | |
Knight-Swift Transportation Holdings, Inc. | 30,435 | 1,672,403 | |
Landstar System, Inc. | 7,200 | 1,127,376 | |
Lyft, Inc. Class A (a) | 59,103 | 819,168 | |
Marten Transport Ltd. | 12,830 | 276,615 | |
Old Dominion Freight Line, Inc. | 18,850 | 5,721,164 | |
Ryder System, Inc. | 10,410 | 815,311 | |
Saia, Inc. (a) | 5,106 | 1,214,462 | |
Schneider National, Inc. Class B | 10,880 | 275,590 | |
TuSimple Holdings, Inc. (a) | 9,569 | 95,307 | |
Uber Technologies, Inc. (a) | 283,014 | 6,636,678 | |
Werner Enterprises, Inc. | 11,434 | 502,639 | |
XPO Logistics, Inc. (a) | 19,956 | 1,192,171 | |
27,020,243 | |||
TOTAL ROAD & RAIL | 80,289,479 | ||
TRADING COMPANIES & DISTRIBUTORS – 4.0% | |||
Trading Companies & Distributors – 4.0% | |||
Air Lease Corp. | 20,993 | 779,050 | |
Applied Industrial Technologies, Inc. | 7,399 | 744,265 | |
Beacon Roofing Supply, Inc. (a) | 10,896 | 653,978 | |
BlueLinx Holdings, Inc. (a) | 1,877 | 150,160 | |
Boise Cascade Co. | 7,588 | 536,548 | |
Core & Main, Inc. (a) | 12,956 | 312,758 | |
DXP Enterprises, Inc. (a) | 3,078 | 104,652 | |
Fastenal Co. | 111,123 | 5,707,277 | |
GATX Corp. | 6,841 | 685,810 | |
Global Industrial Co. | 3,284 | 117,403 |
| |||
Shares | Value | ||
GMS, Inc. (a) | 7,474 | $ 396,645 | |
H&E Equipment Services, Inc. | 6,353 | 227,120 | |
Herc Holdings, Inc. | 4,593 | 569,624 | |
McGrath RentCorp | 4,693 | 395,901 | |
MRC Global, Inc. (a) | 16,073 | 186,768 | |
MSC Industrial Direct Co., Inc. Class A | 9,082 | 750,718 | |
NOW, Inc. (a) | 21,574 | 238,608 | |
Rush Enterprises, Inc. Class A | 8,289 | 399,447 | |
Rush Enterprises, Inc. Class B | 1,069 | 57,993 | |
SiteOne Landscape Supply, Inc. (a) | 8,661 | 1,206,737 | |
Titan Machinery, Inc. (a) | 3,926 | 110,438 | |
Triton International Ltd. | 12,934 | 828,811 | |
United Rentals, Inc. (a) | 13,984 | 4,512,217 | |
Univar Solutions, Inc. (a) | 32,726 | 884,911 | |
Veritiv Corp. (a) | 2,675 | 331,754 | |
Watsco, Inc. | 6,369 | 1,744,788 | |
WESCO International, Inc. (a) | 8,797 | 1,124,609 | |
WW Grainger, Inc. | 8,871 | 4,821,655 | |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 28,580,645 | ||
TOTAL COMMON STOCKS (Cost $688,245,797) | 703,222,395 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $910,000) | 910,000 | 910,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $689,155,797) | 704,132,395 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,162,168 | ||
NET ASSETS – 100.0% | $ 705,294,563 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
69 | Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 3 | September 2022 | $ 282,795 | $ 8,533 | $ 8,533 |
CME E-mini S&P Industrial Select Sector Index Contracts (United States) | 17 | September 2022 | 1,638,630 | 77,948 | 77,948 |
Total Equity Index Contracts | $ 86,481 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 703,222,395 | $ 703,222,395 | $ — | $ — | |||||
Money Market Funds | 910,000 | 910,000 | — | — | |||||
Total Investments in Securities: | $ 704,132,395 | $ 704,132,395 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 86,481 | $ 86,481 | $ — | $ — | |||||
Total Assets | $ 86,481 | $ 86,481 | $ — | $ — | |||||
Total Derivative Instruments: | $ 86,481 | $ 86,481 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $86,481 | $0 | |
Total Equity Risk | 86,481 | 0 | |
Total Value of Derivatives | $86,481 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 70 |
Common Stocks – 99.9% | |||
Shares | Value | ||
COMMUNICATIONS EQUIPMENT – 2.9% | |||
Communications Equipment – 2.9% | |||
ADTRAN Holdings, Inc. | 38,227 | $ 920,888 | |
Arista Networks, Inc. (a) | 128,590 | 14,997,452 | |
Calix, Inc. (a) | 30,163 | 1,720,498 | |
Cambium Networks Corp. (a) | 6,258 | 117,963 | |
Casa Systems, Inc. (a) | 20,133 | 88,988 | |
Ciena Corp. (a) | 79,585 | 4,106,586 | |
Cisco Systems, Inc. | 2,167,757 | 98,351,135 | |
Clearfield, Inc. (a) | 6,083 | 599,480 | |
CommScope Holding Co., Inc. (a) | 106,434 | 961,099 | |
Comtech Telecommunications Corp. | 13,793 | 160,275 | |
Digi International, Inc. (a) | 18,205 | 518,660 | |
Extreme Networks, Inc. (a) | 67,209 | 879,094 | |
F5, Inc. (a) | 31,593 | 5,287,404 | |
Harmonic, Inc. (a) | 53,553 | 584,799 | |
Infinera Corp. (a) | 99,621 | 652,518 | |
Inseego Corp. (a) | 41,113 | 91,682 | |
Juniper Networks, Inc. | 167,878 | 4,705,620 | |
Lumentum Holdings, Inc. (a) | 37,552 | 3,396,954 | |
Motorola Solutions, Inc. | 87,699 | 20,924,104 | |
NETGEAR, Inc. (a) | 15,267 | 393,583 | |
Netscout Systems, Inc. (a) | 38,398 | 1,366,201 | |
Plantronics, Inc. (a) | 22,253 | 885,447 | |
Ribbon Communications, Inc. (a) | 38,651 | 131,027 | |
ViaSat, Inc. (a) | 29,017 | 955,530 | |
Viavi Solutions, Inc. (a) | 119,638 | 1,770,642 | |
TOTAL COMMUNICATIONS EQUIPMENT | 164,567,629 | ||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 3.2% | |||
Electronic Components – 0.9% | |||
Amphenol Corp. Class A | 312,196 | 24,079,677 | |
Belden, Inc. | 23,405 | 1,514,772 | |
Corning, Inc. | 419,405 | 15,417,328 | |
II-VI, Inc. (a) | 67,033 | 3,528,617 | |
Knowles Corp. (a) | 47,750 | 943,063 | |
Lightwave Logic, Inc. (a) | 57,724 | 615,915 | |
Littelfuse, Inc. | 12,844 | 3,581,806 | |
Rogers Corp. (a) | 9,783 | 2,634,073 | |
Vishay Intertechnology, Inc. | 69,075 | 1,427,089 | |
53,742,340 | |||
Electronic Equipment & Instruments – 1.2% | |||
908 Devices, Inc. (a) | 9,554 | 214,965 | |
Advanced Energy Industries, Inc. | 19,590 | 1,753,109 | |
Aeva Technologies, Inc. (a) | 56,168 | 198,273 | |
AEye, Inc. (a) | 52,858 | 118,402 | |
Arlo Technologies, Inc. (a) | 44,105 | 310,058 | |
Badger Meter, Inc. | 15,211 | 1,463,146 | |
Cognex Corp. | 90,462 | 4,611,753 | |
Evolv Technologies Holdings, Inc. (a) | 33,546 | 90,239 | |
FARO Technologies, Inc. (a) | 9,470 | 307,964 |
| |||
Shares | Value | ||
Itron, Inc. (a) | 23,414 | $ 1,367,378 | |
Keysight Technologies, Inc. (a) | 95,428 | 15,516,593 | |
MicroVision, Inc. (a) | 85,360 | 439,604 | |
Mirion Technologies, Inc. (a) | 67,459 | 458,721 | |
Napco Security Technologies, Inc. (a) | 16,244 | 416,821 | |
National Instruments Corp. | 68,676 | 2,609,688 | |
nLight, Inc. (a) | 23,061 | 282,728 | |
Novanta, Inc. (a) | 18,513 | 2,854,705 | |
OSI Systems, Inc. (a) | 8,819 | 852,533 | |
Ouster, Inc. (a) | 35,953 | 63,277 | |
PAR Technology Corp. (a) | 13,976 | 581,681 | |
SmartRent, Inc. (a) | 45,427 | 257,117 | |
Teledyne Technologies, Inc. (a) | 24,676 | 9,658,186 | |
Trimble, Inc. (a) | 131,528 | 9,131,989 | |
Velodyne Lidar, Inc. (a) | 78,682 | 82,616 | |
Vishay Precision Group, Inc. (a) | 6,558 | 204,479 | |
Vontier Corp. | 83,843 | 2,163,149 | |
Zebra Technologies Corp. Class A (a) | 27,612 | 9,876,536 | |
65,885,710 | |||
Electronic Manufacturing Services – 0.7% | |||
Benchmark Electronics, Inc. | 18,326 | 468,779 | |
CTS Corp. | 17,861 | 726,586 | |
Fabrinet (a) | 19,246 | 1,848,771 | |
Flex Ltd. (a) | 241,388 | 4,055,318 | |
IPG Photonics Corp. (a) | 19,133 | 2,039,195 | |
Jabil, Inc. | 70,895 | 4,206,909 | |
Kimball Electronics, Inc. (a) | 13,064 | 287,408 | |
Methode Electronics, Inc. | 19,390 | 799,644 | |
Plexus Corp. (a) | 14,613 | 1,372,891 | |
Sanmina Corp. (a) | 33,053 | 1,522,091 | |
TE Connectivity Ltd. | 169,733 | 22,698,394 | |
TTM Technologies, Inc. (a) | 51,568 | 697,715 | |
40,723,701 | |||
Technology Distributors – 0.4% | |||
Arrow Electronics, Inc. (a) | 35,205 | 4,512,225 | |
Avnet, Inc. | 51,475 | 2,464,108 | |
CDW Corp. | 70,516 | 12,800,770 | |
ePlus, Inc. (a) | 13,988 | 777,313 | |
Insight Enterprises, Inc. (a) | 18,154 | 1,695,765 | |
PC Connection, Inc. | 6,133 | 290,888 | |
ScanSource, Inc. (a) | 13,328 | 425,830 | |
TD SYNNEX Corp. | 22,557 | 2,265,174 | |
25,232,073 | |||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 185,583,824 | ||
IT SERVICES – 16.2% | |||
Data Processing & Outsourced Services – 11.1% | |||
Affirm Holdings, Inc. (a) | 98,933 | 2,655,362 | |
Automatic Data Processing, Inc. | 219,191 | 52,851,334 | |
AvidXchange Holdings, Inc. (a) | 25,599 | 184,825 |
71 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
IT SERVICES – continued | |||
Data Processing & Outsourced Services – continued | |||
Block, Inc. (a) | 270,200 | $ 20,551,412 | |
Broadridge Financial Solutions, Inc. | 61,060 | 9,803,183 | |
Cantaloupe, Inc. (a) | 27,735 | 168,351 | |
Cass Information Systems, Inc. | 6,919 | 252,267 | |
Concentrix Corp. | 23,131 | 3,094,003 | |
Conduent, Inc. (a) | 89,642 | 417,732 | |
CSG Systems International, Inc. | 16,826 | 1,097,896 | |
Euronet Worldwide, Inc. (a) | 26,613 | 2,615,260 | |
EVERTEC, Inc. | 31,897 | 1,243,664 | |
Evo Payments, Inc. Class A (a) | 24,677 | 674,669 | |
ExlService Holdings, Inc. (a) | 17,276 | 2,908,760 | |
Fidelity National Information Services, Inc. | 318,101 | 32,497,198 | |
Fiserv, Inc. (a) | 323,317 | 34,168,141 | |
FleetCor Technologies, Inc. (a) | 40,125 | 8,831,111 | |
Flywire Corp. (a) | 15,763 | 369,800 | |
Global Payments, Inc. | 147,051 | 17,987,278 | |
I3 Verticals, Inc. Class A (a) | 11,478 | 311,398 | |
International Money Express, Inc. (a) | 17,074 | 410,459 | |
Jack Henry & Associates, Inc. | 38,154 | 7,927,257 | |
Marqeta, Inc. Class A (a) | 188,250 | 1,805,317 | |
Mastercard, Inc. Class A | 455,428 | 161,125,872 | |
Maximus, Inc. | 32,205 | 2,152,904 | |
MoneyGram International, Inc. (a) | 42,476 | 431,556 | |
Paya Holdings, Inc. (a) | 44,630 | 311,964 | |
Paychex, Inc. | 169,238 | 21,709,851 | |
Paymentus Holdings, Inc. Class A (a) | 7,630 | 111,016 | |
Payoneer Global, Inc. (a) | 105,796 | 564,951 | |
PayPal Holdings, Inc. (a) | 577,542 | 49,974,709 | |
Remitly Global, Inc. (a) | 43,215 | 411,839 | |
Repay Holdings Corp. (a) | 42,387 | 567,986 | |
Sabre Corp. (a) | 159,864 | 983,164 | |
Shift4 Payments, Inc. (a) | 25,638 | 933,992 | |
TaskUS, Inc. Class A (a) | 12,761 | 268,364 | |
The Western Union Co. | 204,688 | 3,483,790 | |
TTEC Holdings, Inc. | 9,779 | 715,529 | |
Verra Mobility Corp. (a) | 72,463 | 1,194,915 | |
Visa, Inc. Class A | 865,410 | 183,562,115 | |
WEX, Inc. (a) | 23,314 | 3,875,020 | |
635,206,214 | |||
Internet Services & Infrastructure – 1.4% | |||
Akamai Technologies, Inc. (a) | 83,979 | 8,080,459 | |
BigCommerce Holdings, Inc. (a) | 30,108 | 471,190 | |
Cloudflare, Inc. Class A (a) | 131,059 | 6,594,889 | |
Cyxtera Technologies, Inc. (a) | 23,221 | 283,064 | |
DigitalOcean Holdings, Inc. (a) | 25,188 | 1,032,204 | |
Edgio, Inc. (a) | 70,272 | 177,788 | |
Fastly, Inc. Class A (a) | 55,008 | 625,441 | |
GoDaddy, Inc. Class A (a) | 87,691 | 6,504,918 |
| |||
Shares | Value | ||
MongoDB, Inc. (a) | 34,892 | $ 10,902,703 | |
Okta, Inc. (a) | 77,443 | 7,624,263 | |
Rackspace Technology, Inc. (a) | 27,312 | 184,083 | |
Snowflake, Inc. Class A (a) | 111,861 | 16,769,083 | |
SolarWinds Corp. | 20,695 | 221,644 | |
Squarespace, Inc. Class A (a) | 16,668 | 354,528 | |
Switch, Inc. Class A | 68,399 | 2,312,570 | |
Tucows, Inc. Class A (a) | 5,314 | 245,879 | |
Twilio, Inc. Class A (a) | 89,937 | 7,626,658 | |
VeriSign, Inc. (a) | 51,868 | 9,811,351 | |
79,822,715 | |||
IT Consulting & Other Services – 3.7% | |||
Accenture PLC Class A | 329,795 | 101,003,017 | |
Cognizant Technology Solutions Corp. Class A | 273,470 | 18,585,021 | |
DXC Technology Co. (a) | 127,163 | 4,018,351 | |
EPAM Systems, Inc. (a) | 29,738 | 10,385,996 | |
Gartner, Inc. (a) | 43,013 | 11,419,091 | |
Grid Dynamics Holdings, Inc. (a) | 22,061 | 416,291 | |
International Business Machines Corp. | 469,284 | 61,377,654 | |
Kyndryl Holdings, Inc. (a) | 93,264 | 976,474 | |
LiveRamp Holdings, Inc. (a) | 35,459 | 943,564 | |
Perficient, Inc. (a) | 17,953 | 1,894,401 | |
The Hackett Group, Inc. | 12,395 | 259,923 | |
Unisys Corp. (a) | 34,973 | 479,830 | |
211,759,613 | |||
TOTAL IT SERVICES | 926,788,542 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 19.1% | |||
Semiconductor Equipment – 3.1% | |||
ACM Research, Inc. Class A (a) | 22,237 | 375,361 | |
Amkor Technology, Inc. | 57,250 | 1,154,733 | |
Applied Materials, Inc. | 461,018 | 48,858,688 | |
Axcelis Technologies, Inc. (a) | 17,300 | 1,216,709 | |
Cohu, Inc. (a) | 25,260 | 721,931 | |
Enphase Energy, Inc. (a) | 69,902 | 19,864,750 | |
Entegris, Inc. | 77,721 | 8,541,538 | |
FormFactor, Inc. (a) | 40,742 | 1,448,786 | |
Ichor Holdings Ltd. (a) | 14,778 | 461,960 | |
KLA Corp. | 78,670 | 30,173,092 | |
Kulicke & Soffa Industries, Inc. | 32,403 | 1,559,232 | |
Lam Research Corp. | 72,795 | 36,434,626 | |
MKS Instruments, Inc. | 28,872 | 3,412,670 | |
Onto Innovation, Inc. (a) | 25,678 | 2,137,694 | |
PDF Solutions, Inc. (a) | 15,538 | 419,215 | |
Photronics, Inc. (a) | 32,056 | 763,253 | |
SolarEdge Technologies, Inc. (a) | 27,665 | 9,962,996 | |
Teradyne, Inc. | 85,019 | 8,577,567 | |
Ultra Clean Holdings, Inc. (a) | 23,357 | 784,795 | |
Veeco Instruments, Inc. (a) | 26,348 | 574,386 | |
177,443,982 |
Annual Report | 72 |
Common Stocks – continued | |||
Shares | Value | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – continued | |||
Semiconductors – 16.0% | |||
Advanced Micro Devices, Inc. (a) | 853,087 | $ 80,591,129 | |
Allegro MicroSystems, Inc. (a) | 34,901 | 866,592 | |
Alpha & Omega Semiconductor Ltd. (a) | 11,810 | 496,138 | |
Ambarella, Inc. (a) | 18,289 | 1,582,913 | |
Analog Devices, Inc. | 273,125 | 46,966,575 | |
Broadcom, Inc. | 213,747 | 114,457,244 | |
CEVA, Inc. (a) | 11,953 | 445,010 | |
Cirrus Logic, Inc. (a) | 29,799 | 2,546,623 | |
Credo Technology Group Holding Ltd. (a) | 15,067 | 241,825 | |
Diodes, Inc. (a) | 23,420 | 1,905,685 | |
First Solar, Inc. (a) | 49,778 | 4,936,484 | |
Impinj, Inc. (a) | 10,943 | 930,374 | |
indie Semiconductor, Inc. (a) | 38,923 | 280,246 | |
Intel Corp. | 2,124,879 | 77,154,356 | |
Lattice Semiconductor Corp. (a) | 71,620 | 4,404,630 | |
MACOM Technology Solutions Holdings, Inc. (a) | 25,374 | 1,470,170 | |
MagnaChip Semiconductor Corp. (a) | 23,745 | 362,349 | |
Marvell Technology, Inc. | 439,815 | 24,488,899 | |
MaxLinear, Inc. Class A (a) | 37,943 | 1,533,277 | |
Meta Materials, Inc. (a) | 171,913 | 154,722 | |
Microchip Technology, Inc. | 289,939 | 19,965,199 | |
Micron Technology, Inc. | 583,992 | 36,125,745 | |
Monolithic Power Systems, Inc. | 23,121 | 10,744,791 | |
Navitas Semiconductor Corp. (a) | 22,370 | 116,771 | |
NeoPhotonics Corp. (a) | 27,625 | 441,724 | |
NVIDIA Corp. | 1,304,567 | 236,948,504 | |
NXP Semiconductors N.V. | 136,912 | 25,175,379 | |
ON Semiconductor Corp. (a) | 225,952 | 15,089,075 | |
Power Integrations, Inc. | 30,774 | 2,616,098 | |
Qorvo, Inc. (a) | 56,922 | 5,923,872 | |
QUALCOMM, Inc. | 588,099 | 85,309,641 | |
Rambus, Inc. (a) | 56,887 | 1,438,103 | |
Rockley Photonics Holdings Ltd. (a) | 46,872 | 119,992 | |
Semtech Corp. (a) | 33,515 | 2,088,990 | |
Silicon Laboratories, Inc. (a) | 19,868 | 2,930,133 | |
SiTime Corp. (a) | 8,121 | 1,510,344 | |
Skyworks Solutions, Inc. | 85,824 | 9,344,517 | |
SMART Global Holdings, Inc. (a) | 24,405 | 478,826 | |
SunPower Corp. (a) | 45,021 | 917,078 | |
Synaptics, Inc. (a) | 20,554 | 2,979,302 | |
Texas Instruments, Inc. | 481,932 | 86,212,815 | |
Universal Display Corp. | 24,380 | 2,814,915 | |
Wolfspeed, Inc. (a) | 64,278 | 5,354,357 | |
920,461,412 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 1,097,905,394 |
| |||
Shares | Value | ||
SOFTWARE – 33.2% | |||
Application Software – 10.6% | |||
8x8, Inc. (a) | 55,391 | $ 270,862 | |
ACI Worldwide, Inc. (a) | 56,858 | 1,622,159 | |
Adobe, Inc. (a) | 246,146 | 100,949,398 | |
Agilysys, Inc. (a) | 12,208 | 589,646 | |
Alarm.com Holdings, Inc. (a) | 24,732 | 1,750,284 | |
Alkami Technology, Inc. (a) | 9,385 | 130,639 | |
Altair Engineering, Inc. Class A (a) | 26,821 | 1,580,025 | |
Alteryx, Inc. Class A (a) | 31,139 | 1,508,062 | |
American Software, Inc. Class A | 16,473 | 294,537 | |
Amplitude, Inc. Class A (a) | 24,471 | 361,681 | |
ANSYS, Inc. (a) | 45,584 | 12,717,480 | |
Appfolio, Inc. Class A (a) | 9,495 | 966,686 | |
AppLovin Corp. Class A (a) | 61,825 | 2,197,260 | |
Asana, Inc. (a) | 32,351 | 625,021 | |
Aspen Technology, Inc. (a) | 14,562 | 2,971,959 | |
Autodesk, Inc. (a) | 114,661 | 24,803,468 | |
Avalara, Inc. (a) | 45,493 | 3,976,998 | |
Avaya Holdings Corp. (a) | 57,079 | 51,291 | |
AvePoint, Inc. (a) | 42,737 | 214,967 | |
Benefitfocus, Inc. (a) | 13,913 | 117,843 | |
Bentley Systems, Inc. | 99,135 | 3,925,746 | |
Bill.com Holdings, Inc. (a) | 48,915 | 6,607,438 | |
Black Knight, Inc. (a) | 81,610 | 5,360,145 | |
Blackbaud, Inc. (a) | 21,303 | 1,306,300 | |
Blackline, Inc. (a) | 29,446 | 1,861,576 | |
Box, Inc. Class A (a) | 77,131 | 2,193,606 | |
Braze, Inc. Class A (a) | 10,268 | 446,350 | |
BTRS Holdings, Inc. (a) | 38,366 | 247,461 | |
C3.ai, Inc. (a) | 39,607 | 729,165 | |
Cadence Design Systems, Inc. (a) | 144,862 | 26,955,921 | |
CCC Intelligent Solutions Holdings, Inc. (a) | 63,826 | 637,622 | |
Cerence, Inc. (a) | 20,376 | 573,992 | |
Ceridian HCM Holding, Inc. (a) | 71,150 | 3,896,885 | |
ChannelAdvisor Corp. (a) | 14,137 | 208,379 | |
Cipher Mining, Inc. (a) | 26,023 | 44,760 | |
Citrix Systems, Inc. | 65,844 | 6,677,240 | |
Clear Secure, Inc. (a) | 15,449 | 391,169 | |
Clearwater Analytics Holdings, Inc. (a) | 12,571 | 160,657 | |
Consensus Cloud Solutions, Inc. (a) | 9,505 | 513,555 | |
Couchbase, Inc. (a) | 8,038 | 122,419 | |
Coupa Software, Inc. (a) | 38,844 | 2,541,174 | |
CS Disco, Inc. (a) | 7,574 | 185,866 | |
Datadog, Inc. Class A (a) | 117,329 | 11,968,731 | |
Digital Turbine, Inc. (a) | 47,908 | 961,514 | |
DocuSign, Inc. (a) | 103,256 | 6,606,319 | |
Domo, Inc. Class B (a) | 15,260 | 427,433 | |
DoubleVerify Holdings, Inc. (a) | 21,152 | 485,015 | |
Dropbox, Inc. Class A (a) | 149,888 | 3,408,453 |
73 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Application Software – continued | |||
Duck Creek Technologies, Inc. (a) | 41,228 | $ 568,946 | |
Dynatrace, Inc. (a) | 104,039 | 3,914,988 | |
E2open Parent Holdings, Inc. (a) | 94,758 | 639,616 | |
Ebix, Inc. | 12,879 | 304,717 | |
Elastic N.V. (a) | 38,874 | 3,105,644 | |
Embark Technology, Inc. (a) | 84,934 | 38,730 | |
Enfusion, Inc. Class A (a) | 8,529 | 98,084 | |
Envestnet, Inc. (a) | 24,468 | 1,425,750 | |
Everbridge, Inc. (a) | 20,503 | 515,445 | |
EverCommerce, Inc. (a) | 15,245 | 175,013 | |
Expensify, Inc. Class A (a) | 7,074 | 141,197 | |
Fair Isaac Corp. (a) | 13,786 | 6,369,546 | |
Five9, Inc. (a) | 35,970 | 3,889,076 | |
Freshworks, Inc. Class A (a) | 45,998 | 603,034 | |
Guidewire Software, Inc. (a) | 41,167 | 3,199,499 | |
HubSpot, Inc. (a) | 23,580 | 7,262,640 | |
Informatica Inc. Class A (a) | 18,388 | 421,085 | |
Intapp, Inc. (a) | 6,390 | 96,936 | |
InterDigital, Inc. | 15,965 | 980,091 | |
Intuit, Inc. | 140,377 | 64,035,776 | |
Jamf Holding Corp. (a) | 18,573 | 453,924 | |
Latch, Inc. (a) | 22,095 | 26,514 | |
LivePerson, Inc. (a) | 35,861 | 489,144 | |
Manhattan Associates, Inc. (a) | 32,852 | 4,621,291 | |
Marathon Digital Holdings, Inc. (a) | 50,716 | 658,801 | |
Matterport, Inc. (a) | 109,550 | 465,587 | |
MeridianLink, Inc. (a) | 10,470 | 178,514 | |
MicroStrategy, Inc. Class A (a) | 4,845 | 1,385,961 | |
Mitek Systems, Inc. (a) | 23,040 | 250,675 | |
Model N, Inc. (a) | 17,057 | 428,472 | |
Momentive Global, Inc. (a) | 66,462 | 574,896 | |
nCino, Inc. (a) | 25,161 | 812,449 | |
NCR Corp. (a) | 68,757 | 2,231,165 | |
New Relic, Inc. (a) | 31,655 | 1,920,509 | |
NextNav, Inc. (a) | 17,575 | 48,507 | |
Nutanix, Inc. Class A (a) | 113,251 | 1,713,488 | |
Olo, Inc. (a) | 37,870 | 405,588 | |
ON24, Inc. (a) | 13,955 | 134,108 | |
PagerDuty, Inc. (a) | 41,566 | 1,077,806 | |
Palantir Technologies, Inc. (a) | 856,679 | 8,866,628 | |
Paycom Software, Inc. (a) | 26,794 | 8,855,149 | |
Paycor HCM, Inc. (a) | 18,198 | 485,705 | |
Paylocity Holding Corp. (a) | 20,067 | 4,132,397 | |
Pegasystems, Inc. | 21,232 | 852,465 | |
Procore Technologies, Inc. (a) | 14,058 | 726,799 | |
PROS Holdings, Inc. (a) | 21,084 | 513,817 | |
PTC, Inc. (a) | 58,282 | 7,190,833 | |
Q2 Holdings, Inc. (a) | 29,467 | 1,293,601 | |
Rimini Street, Inc. (a) | 25,533 | 179,242 |
| |||
Shares | Value | ||
RingCentral, Inc. Class A (a) | 41,872 | $ 2,072,245 | |
Riot Blockchain, Inc. (a) | 64,619 | 473,011 | |
Salesforce, Inc. (a) | 514,000 | 94,586,280 | |
Samsara, Inc. (a) | 33,344 | 482,154 | |
SEMrush Holdings, Inc. Class A (a) | 20,101 | 244,428 | |
ShotSpotter, Inc. (a) | 4,558 | 153,103 | |
Smartsheet, Inc. Class A (a) | 62,629 | 1,882,628 | |
Splunk, Inc. (a) | 83,095 | 8,634,401 | |
Sprinklr, Inc. (a) | 28,120 | 318,881 | |
Sprout Social, Inc. Class A (a) | 23,913 | 1,245,867 | |
SPS Commerce, Inc. (a) | 18,726 | 2,242,626 | |
SS&C Technologies Holdings, Inc. | 120,579 | 7,134,659 | |
Sumo Logic, Inc. (a) | 44,514 | 301,360 | |
Synopsys, Inc. (a) | 79,929 | 29,373,907 | |
The Trade Desk, Inc. Class A (a) | 229,388 | 10,322,460 | |
Tyler Technologies, Inc. (a) | 21,653 | 8,639,547 | |
Unity Software, Inc. (a) | 99,428 | 3,717,613 | |
Upland Software, Inc. (a) | 14,286 | 161,718 | |
Verint Systems, Inc. (a) | 34,171 | 1,560,590 | |
Veritone, Inc. (a) | 16,409 | 115,355 | |
Vertex, Inc. (a) | 20,692 | 232,785 | |
Workday, Inc. Class A (a) | 102,260 | 15,860,526 | |
Workiva, Inc. (a) | 23,747 | 1,555,428 | |
Yext, Inc. (a) | 53,975 | 236,411 | |
Zendesk, Inc. (a) | 63,392 | 4,781,025 | |
Zeta Global Holdings Corp. Class A (a) | 16,640 | 89,024 | |
Zoom Video Communications, Inc. Class A (a) | 113,841 | 11,823,526 | |
604,146,563 | |||
Industrial Conglomerates – 0.4% | |||
Roper Technologies, Inc. | 55,169 | 24,090,647 | |
Systems Software – 22.2% | |||
A10 Networks, Inc. | 34,226 | 510,310 | |
Appian Corp. (a) | 18,011 | 874,074 | |
CommVault Systems, Inc. (a) | 20,858 | 1,169,925 | |
Crowdstrike Holdings, Inc. Class A (a) | 103,121 | 18,933,016 | |
Dolby Laboratories, Inc. Class A | 34,185 | 2,645,919 | |
Fortinet, Inc. (a) | 356,239 | 21,249,656 | |
Gitlab, Inc. Class A (a) | 19,044 | 1,093,126 | |
JFrog Ltd. (a) | 26,306 | 583,993 | |
KnowBe4, Inc. (a) | 36,028 | 514,840 | |
Mandiant, Inc. (a) | 124,825 | 2,843,513 | |
Microsoft Corp. | 3,716,463 | 1,043,359,823 | |
N-Able, Inc. (a) | 23,274 | 228,551 | |
NortonLifelock, Inc. | 304,791 | 7,476,523 | |
OneSpan, Inc. (a) | 16,804 | 186,020 | |
Oracle Corp. | 836,107 | 65,082,569 | |
Palo Alto Networks, Inc. (a) | 51,416 | 25,661,725 | |
Ping Identity Holding Corp. (a) | 36,954 | 633,761 | |
Progress Software Corp. | 22,979 | 1,079,094 | |
Qualys, Inc. (a) | 18,451 | 2,256,926 |
Annual Report | 74 |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Systems Software – continued | |||
Rapid7, Inc. (a) | 30,207 | $ 1,932,342 | |
Sailpoint Technologies Holdings, Inc. (a) | 48,512 | 3,093,610 | |
ServiceNow, Inc. (a) | 104,365 | 46,615,671 | |
Telos Corp. (a) | 13,891 | 110,294 | |
Tenable Holdings, Inc. (a) | 57,105 | 2,207,108 | |
Teradata Corp. (a) | 55,182 | 2,112,919 | |
Varonis Systems, Inc. (a) | 55,925 | 1,422,173 | |
VMware, Inc. Class A | 109,376 | 12,709,491 | |
Xperi Holding Corp. | 54,368 | 911,208 | |
Zscaler, Inc. (a) | 43,766 | 6,786,356 | |
Zuora, Inc. Class A (a) | 61,066 | 519,672 | |
1,274,804,208 | |||
TOTAL SOFTWARE | 1,903,041,418 | ||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 25.3% | |||
Technology Hardware, Storage & Peripherals – 25.3% | |||
3D Systems Corp. (a) | 66,808 | 764,284 | |
Apple, Inc. | 8,515,923 | 1,383,922,647 | |
Avid Technology, Inc. (a) | 20,222 | 567,429 | |
Corsair Gaming, Inc. (a) | 22,012 | 310,369 | |
DELL Technologies, Inc. Class C | 152,089 | 6,853,130 | |
Diebold Nixdorf, Inc. (a) | 36,679 | 118,473 | |
Eastman Kodak Co. (a) | 27,029 | 148,930 | |
Hewlett Packard Enterprise Co. | 680,738 | 9,693,709 | |
HP, Inc. | 549,156 | 18,336,319 | |
IonQ, Inc. (a) | 51,409 | 277,609 |
| |||
Shares | Value | ||
NetApp, Inc. | 116,406 | $ 8,303,240 | |
Pure Storage, Inc. Class A (a) | 144,201 | 4,088,098 | |
Seagate Technology Holdings PLC | 108,877 | 8,707,982 | |
Super Micro Computer, Inc. (a) | 24,379 | 1,316,710 | |
Western Digital Corp. (a) | 163,919 | 8,048,423 | |
Xerox Holdings Corp. | 60,995 | 1,044,844 | |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 1,452,502,196 | ||
TOTAL COMMON STOCKS (Cost $3,658,820,879) | 5,730,389,003 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $6,254,000) | 6,254,000 | 6,254,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $3,665,074,879) | 5,736,643,003 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 2,421,183 | ||
NET ASSETS – 100.0% | $5,739,064,186 |
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) | 6 | September 2022 | $ 565,590 | $ 22,886 | $ 22,886 |
CME E-mini S&P Information Technology Select Sector Index Contracts (United States) | 52 | September 2022 | 7,567,560 | 469,924 | 469,924 |
Total Equity Index Contracts | $ 492,810 |
75 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 5,730,389,003 | $ 5,730,389,003 | $ — | $ — | |||||
Money Market Funds | 6,254,000 | 6,254,000 | — | — | |||||
Total Investments in Securities: | $ 5,736,643,003 | $ 5,736,643,003 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 492,810 | $ 492,810 | $ — | $ — | |||||
Total Assets | $ 492,810 | $ 492,810 | $ — | $ — | |||||
Total Derivative Instruments: | $ 492,810 | $ 492,810 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $492,810 | $0 | |
Total Equity Risk | 492,810 | 0 | |
Total Value of Derivatives | $492,810 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 76 |
Common Stocks – 99.6% | |||
Shares | Value | ||
CHEMICALS – 62.7% | |||
Commodity Chemicals – 7.9% | |||
AdvanSix, Inc. | 10,797 | $ 424,214 | |
Cabot Corp. | 21,801 | 1,618,942 | |
Dow, Inc. | 283,426 | 15,081,097 | |
Hawkins, Inc. | 7,350 | 292,163 | |
Koppers Holdings, Inc. | 8,148 | 191,804 | |
Kronos Worldwide, Inc. | 8,817 | 154,915 | |
LyondellBasell Industries N.V. Class A | 101,087 | 9,008,873 | |
Olin Corp. | 57,119 | 2,985,610 | |
Origin Materials, Inc. (a) | 39,643 | 233,101 | |
Orion Engineered Carbons S.A. | 23,465 | 405,710 | |
PureCycle Technologies, Inc. (a) | 31,398 | 237,997 | |
Tredegar Corp. | 10,294 | 107,881 | |
Trinseo PLC | 11,448 | 409,495 | |
Tronox Holdings PLC Class A | 44,462 | 694,052 | |
Valvoline, Inc. | 69,093 | 2,226,176 | |
Westlake Corp. | 14,808 | 1,441,411 | |
35,513,441 | |||
Diversified Chemicals – 2.0% | |||
Eastman Chemical Co. | 49,684 | 4,766,186 | |
Huntsman Corp. | 70,243 | 2,034,238 | |
LSB Industries, Inc. (a) | 12,112 | 167,267 | |
The Chemours Co. | 61,641 | 2,193,803 | |
9,161,494 | |||
Fertilizers & Agricultural Chemicals – 8.6% | |||
American Vanguard Corp. | 10,804 | 252,922 | |
CF Industries Holdings, Inc. | 79,857 | 7,625,545 | |
Corteva, Inc. | 280,068 | 16,117,913 | |
FMC Corp. | 48,424 | 5,379,906 | |
Intrepid Potash, Inc. (a) | 4,202 | 191,611 | |
The Mosaic Co. | 141,883 | 7,471,559 | |
The Scotts Miracle-Gro Co. | 16,061 | 1,428,626 | |
38,468,082 | |||
Industrial Gases – 18.0% | |||
Air Products & Chemicals, Inc. | 85,409 | 21,201,076 | |
Linde PLC | 197,450 | 59,629,900 | |
80,830,976 | |||
Specialty Chemicals – 26.2% | |||
Albemarle Corp. | 45,085 | 11,014,716 | |
Amyris, Inc. (a) | 65,315 | 116,261 | |
Ashland Global Holdings, Inc. | 20,830 | 2,092,790 | |
Avient Corp. | 35,289 | 1,522,720 | |
Axalta Coating Systems Ltd. (a) | 86,496 | 2,181,429 | |
Balchem Corp. | 12,473 | 1,693,334 | |
Celanese Corp. | 41,616 | 4,890,296 | |
Chase Corp. | 3,109 | 282,670 | |
Danimer Scientific, Inc. (a) | 34,892 | 161,201 | |
Diversey Holdings Ltd. (a) | 31,307 | 234,489 | |
DuPont de Nemours, Inc. | 197,584 | 12,098,068 |
| |||
Shares | Value | ||
Ecolab, Inc. | 99,418 | $ 16,420,871 | |
ECOVYST, Inc. | 23,831 | 243,791 | |
Element Solutions, Inc. | 90,819 | 1,794,583 | |
FutureFuel Corp. | 10,214 | 73,439 | |
GCP Applied Technologies, Inc. (a) | 18,560 | 584,640 | |
Ginkgo Bioworks Holdings, Inc. (a) | 229,575 | 656,585 | |
HB Fuller Co. | 20,424 | 1,311,221 | |
Ingevity Corp. (a) | 15,133 | 1,015,424 | |
Innospec, Inc. | 9,532 | 972,264 | |
International Flavors & Fragrances, Inc. | 98,109 | 12,170,421 | |
Livent Corp. (a) | 62,241 | 1,549,179 | |
Minerals Technologies, Inc. | 12,750 | 851,828 | |
NewMarket Corp. | 2,987 | 928,360 | |
Perimeter Solutions S.A. (a) | 56,369 | 651,062 | |
PPG Industries, Inc. | 90,916 | 11,754,530 | |
Quaker Chemical Corp. | 4,823 | 782,339 | |
RPM International, Inc. | 49,953 | 4,515,751 | |
Sensient Technologies Corp. | 16,172 | 1,390,469 | |
Stepan Co. | 8,638 | 969,270 | |
The Sherwin-Williams Co. | 95,287 | 23,053,737 | |
117,977,738 | |||
TOTAL CHEMICALS | 281,951,731 | ||
CONSTRUCTION MATERIALS – 4.5% | |||
Construction Materials – 4.5% | |||
Eagle Materials, Inc. | 15,220 | 1,924,569 | |
Martin Marietta Materials, Inc. | 24,038 | 8,463,299 | |
Summit Materials, Inc. Class A (a) | 45,739 | 1,258,280 | |
United States Lime & Minerals, Inc. | 860 | 88,469 | |
Vulcan Materials Co. | 51,152 | 8,456,960 | |
TOTAL CONSTRUCTION MATERIALS | 20,191,577 | ||
CONTAINERS & PACKAGING – 13.6% | |||
Metal & Glass Containers – 5.3% | |||
AptarGroup, Inc. | 25,257 | 2,721,694 | |
Ball Corp. | 123,849 | 9,092,994 | |
Berry Global Group, Inc. (a) | 52,123 | 3,004,891 | |
Crown Holdings, Inc. | 47,989 | 4,879,522 | |
Greif, Inc. Class A | 10,258 | 724,420 | |
Greif, Inc. Class B | 2,131 | 148,786 | |
Myers Industries, Inc. | 11,792 | 286,899 | |
O-I Glass, Inc. (a) | 59,952 | 881,894 | |
Silgan Holdings, Inc. | 34,026 | 1,514,157 | |
Trimas Corp. | 16,502 | 488,459 | |
23,743,716 | |||
Paper Packaging – 8.3% | |||
Amcor PLC | 583,124 | 7,551,456 | |
Avery Dennison Corp. | 31,766 | 6,050,153 | |
Graphic Packaging Holding Co. | 118,305 | 2,632,286 | |
International Paper Co. | 137,735 | 5,890,926 | |
Packaging Corp. of America | 36,030 | 5,066,178 |
77 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
CONTAINERS & PACKAGING – continued | |||
Paper Packaging – continued | |||
Pactiv Evergreen, Inc. | 16,916 | $ 172,882 | |
Ranpak Holdings Corp. (a) | 16,683 | 85,250 | |
Sealed Air Corp. | 57,077 | 3,488,546 | |
Sonoco Products Co. | 37,876 | 2,404,747 | |
Westrock Co. | 101,395 | 4,295,092 | |
37,637,516 | |||
TOTAL CONTAINERS & PACKAGING | 61,381,232 | ||
ENERGY EQUIPMENT & SERVICES – 0.0% | |||
Oil & Gas Equipment & Services – 0.0% | |||
Aspen Aerogels, Inc. (a) | 11,503 | 150,459 | |
METALS & MINING – 18.0% | |||
Aluminum – 1.2% | |||
Alcoa Corp. | 71,032 | 3,614,818 | |
Arconic Corp. (a) | 40,851 | 1,234,109 | |
Century Aluminum Co. (a) | 19,378 | 152,892 | |
Kaiser Aluminum Corp. | 6,093 | 461,667 | |
5,463,486 | |||
Copper – 3.9% | |||
Freeport-McMoRan, Inc. | 560,418 | 17,681,188 | |
Diversified Metals & Mining – 0.6% | |||
Compass Minerals International, Inc. | 13,118 | 488,383 | |
Materion Corp. | 7,850 | 643,229 | |
MP Materials Corp. (a) | 30,838 | 1,035,232 | |
Piedmont Lithium, Inc. (a) | 6,144 | 277,770 | |
2,444,614 | |||
Gold – 3.8% | |||
Coeur Mining, Inc. (a) | 98,540 | 316,313 | |
McEwen Mining, Inc. | 15,690 | 61,034 | |
Newmont Corp. | 307,192 | 13,909,654 | |
Royal Gold, Inc. | 25,280 | 2,648,586 | |
16,935,587 | |||
Silver – 0.2% | |||
Hecla Mining Co. | 207,154 | 938,408 | |
Steel – 8.3% | |||
Alpha Metallurgical Resources, Inc. | 6,788 | 928,327 | |
ATI, Inc. (a) | 49,097 | 1,222,024 | |
Carpenter Technology Corp. | 18,593 | 597,579 | |
Cleveland-Cliffs, Inc. (a) | 202,019 | 3,577,757 | |
Commercial Metals Co. | 46,799 | 1,854,176 | |
Nucor Corp. | 103,672 | 14,078,658 |
| |||
Shares | Value | ||
Ramaco Resources, Inc. | 8,548 | $ 100,354 | |
Reliance Steel & Aluminum Co. | 23,770 | 4,522,243 | |
Ryerson Holding Corp. | 6,641 | 181,963 | |
Schnitzer Steel Industries, Inc. Class A | 10,078 | 358,374 | |
Steel Dynamics, Inc. | 73,696 | 5,739,444 | |
SunCoke Energy, Inc. | 32,043 | 237,118 | |
TimkenSteel Corp. (a) | 15,235 | 309,118 | |
United States Steel Corp. | 100,519 | 2,377,274 | |
Warrior Met Coal, Inc. | 19,839 | 633,459 | |
Worthington Industries, Inc. | 12,796 | 655,283 | |
37,373,151 | |||
TOTAL METALS & MINING | 80,836,434 | ||
PAPER & FOREST PRODUCTS – 0.8% | |||
Forest Products – 0.5% | |||
Louisiana-Pacific Corp. | 33,076 | 2,104,626 | |
Paper Products – 0.3% | |||
Clearwater Paper Corp. (a) | 6,381 | 227,802 | |
Glatfelter Corp. | 17,076 | 104,847 | |
Mativ, Inc. | 21,040 | 459,724 | |
Mercer International, Inc. | 16,634 | 265,478 | |
Sylvamo Corp. | 13,543 | 531,427 | |
1,589,278 | |||
TOTAL PAPER & FOREST PRODUCTS | 3,693,904 | ||
TOTAL COMMON STOCKS (Cost $481,164,846) | 448,205,337 | ||
Money Market Fund – 0.3% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $1,109,000) | 1,109,000 | 1,109,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $482,273,846) | 449,314,337 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 502,764 | ||
NET ASSETS – 100.0% | $ 449,817,101 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 78 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | September 2022 | $ 94,265 | $ 11,318 | $ 11,318 |
CME E-mini S&P Materials Select Sector Index Contracts (United States) | 16 | September 2022 | 1,324,320 | (43,097) | (43,097) |
CME E-mini Micro Russell 2000 Index Contracts (United States) | 9 | September 2022 | 84,839 | 1,535 | 1,535 |
Total Equity Index Contracts | $ (30,244) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 448,205,337 | $ 448,205,337 | $ — | $ — | |||||
Money Market Funds | 1,109,000 | 1,109,000 | — | — | |||||
Total Investments in Securities: | $ 449,314,337 | $ 449,314,337 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 12,853 | $ 12,853 | $ — | $ — | |||||
Total Assets | $ 12,853 | $ 12,853 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (43,097) | $ (43,097) | $ — | $ — | |||||
Total Liabilities | $ (43,097) | $ (43,097) | $ — | $ — | |||||
Total Derivative Instruments: | $ (30,244) | $ (30,244) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $12,853 | $(43,097) | |
Total Equity Risk | 12,853 | (43,097) | |
Total Value of Derivatives | $12,853 | $(43,097) |
(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 | 82.9% |
Ireland | 13.3% |
Netherlands | 2.0% |
Jersey | 1.7% |
Others (Individually Less Than 1%) | 0.4% |
100.3% |
79 | Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 95.2% | |||
Diversified REITs – 3.1% | |||
Alexander & Baldwin, Inc. | 87,606 | $ 1,744,235 | |
American Assets Trust, Inc. | 60,651 | 1,833,480 | |
Armada Hoffler Properties, Inc. | 80,214 | 1,137,434 | |
Broadstone Net Lease, Inc. | 196,570 | 4,456,242 | |
DigitalBridge Group, Inc. (a) | 681,473 | 3,734,472 | |
Empire State Realty Trust, Inc. Class A | 176,718 | 1,507,404 | |
Essential Properties Realty Trust, Inc. | 161,705 | 3,900,325 | |
Gladstone Commercial Corp. | 44,802 | 938,602 | |
Global Net Lease, Inc. | 123,795 | 1,868,067 | |
iStar, Inc. | 85,179 | 1,423,341 | |
One Liberty Properties, Inc. | 21,982 | 610,000 | |
STORE Capital Corp. | 296,080 | 8,592,242 | |
Washington Real Estate Investment Trust | 103,948 | 2,304,527 | |
WP Carey, Inc. | 227,266 | 20,294,854 | |
54,345,225 | |||
Health Care REITs – 8.1% | |||
CareTrust REIT, Inc. | 117,362 | 2,423,525 | |
Community Healthcare Trust, Inc. | 31,526 | 1,227,938 | |
Diversified Healthcare Trust | 306,856 | 530,861 | |
Global Medical REIT, Inc. | 88,763 | 1,081,133 | |
Healthcare Realty Trust, Inc. | 454,033 | 11,918,366 | |
Healthpeak Properties, Inc. | 642,568 | 17,754,154 | |
LTC Properties, Inc. | 47,061 | 1,971,856 | |
Medical Properties Trust, Inc. | 712,788 | 12,288,465 | |
National Health Investors, Inc. | 54,632 | 3,542,339 | |
Omega Healthcare Investors, Inc. | 285,441 | 8,848,671 | |
Physicians Realty Trust | 270,136 | 4,800,317 | |
Sabra Health Care REIT, Inc. | 274,269 | 4,221,000 | |
Universal Health Realty Income Trust | 16,908 | 911,341 | |
Ventas, Inc. | 478,611 | 25,739,700 | |
Welltower, Inc. | 534,919 | 46,184,906 | |
143,444,572 | |||
Hotel & Resort REITs – 2.6% | |||
Apple Hospitality REIT, Inc. | 260,455 | 4,344,389 | |
Chatham Lodging Trust (a) | 56,429 | 686,177 | |
DiamondRock Hospitality Co. (a) | 256,865 | 2,383,707 | |
Host Hotels & Resorts, Inc. | 853,157 | 15,194,726 | |
Park Hotels & Resorts, Inc. | 285,697 | 4,454,016 | |
Pebblebrook Hotel Trust | 159,724 | 3,124,202 | |
RLJ Lodging Trust | 201,354 | 2,514,912 | |
Ryman Hospitality Properties, Inc. (a) | 63,442 | 5,617,155 | |
Service Properties Trust | 212,043 | 1,386,761 | |
Summit Hotel Properties, Inc. (a) | 135,773 | 1,065,818 | |
Sunstone Hotel Investors, Inc. (a) | 261,103 | 2,958,297 | |
Xenia Hotels & Resorts, Inc. (a) | 139,103 | 2,284,071 | |
46,014,231 |
| |||
Shares | Value | ||
Industrial REITs – 11.7% | |||
Americold Realty Trust, Inc. | 319,534 | $ 10,464,738 | |
Duke Realty Corp. | 456,057 | 28,530,926 | |
EastGroup Properties, Inc. | 49,028 | 8,361,235 | |
First Industrial Realty Trust, Inc. | 156,126 | 8,110,746 | |
Indus Realty Trust, Inc. | 6,004 | 366,724 | |
Industrial Logistics Properties Trust | 91,202 | 914,756 | |
LXP Industrial Trust | 339,712 | 3,726,641 | |
Plymouth Industrial REIT, Inc. | 49,842 | 959,957 | |
Prologis, Inc. | 884,881 | 117,299,825 | |
Rexford Industrial Realty, Inc. | 192,525 | 12,593,060 | |
SL Green Realty Corp. | 78,845 | 3,914,654 | |
STAG Industrial, Inc. | 217,661 | 7,134,928 | |
Terreno Realty Corp. | 90,952 | 5,698,143 | |
208,076,333 | |||
Office REITs – 5.7% | |||
Alexandria Real Estate Equities, Inc. | 181,672 | 30,117,584 | |
Boston Properties, Inc. | 179,071 | 16,324,112 | |
Brandywine Realty Trust | 199,967 | 1,869,692 | |
City Office REIT, Inc. | 56,770 | 800,457 | |
Corporate Office Properties Trust | 133,552 | 3,759,489 | |
Cousins Properties, Inc. | 180,238 | 5,560,342 | |
Douglas Emmett, Inc. | 213,328 | 5,043,074 | |
Easterly Government Properties, Inc. | 95,052 | 1,926,704 | |
Equity Commonwealth (a) | 134,472 | 3,771,940 | |
Franklin Street Properties Corp. | 132,868 | 503,570 | |
Highwoods Properties, Inc. | 127,076 | 4,520,093 | |
Hudson Pacific Properties, Inc. | 192,154 | 2,889,996 | |
JBG SMITH Properties | 136,493 | 3,472,382 | |
Kilroy Realty Corp. | 126,233 | 6,839,304 | |
Office Properties Income Trust | 58,010 | 1,205,448 | |
Orion Office REIT, Inc. | 81,950 | 896,533 | |
Paramount Group, Inc. | 208,957 | 1,640,312 | |
Piedmont Office Realty Trust, Inc. Class A | 146,565 | 2,016,734 | |
Veris Residential, Inc. (a) | 91,929 | 1,282,410 | |
Vornado Realty Trust | 194,167 | 5,900,735 | |
100,340,911 | |||
REITs - Shopping Centers – 0.3% | |||
Phillips Edison & Co., Inc. | 136,418 | 4,643,669 | |
Residential REITs – 14.9% | |||
American Campus Communities, Inc. | 167,739 | 10,956,711 | |
American Homes 4 Rent Class A | 372,769 | 14,120,490 | |
Apartment Income REIT Corp. | 187,012 | 8,479,124 | |
Apartment Investment and Management Co. Class A (a) | 182,222 | 1,516,087 | |
AvalonBay Communities, Inc. | 166,510 | 35,623,149 | |
Bluerock Residential Growth REIT, Inc. | 35,544 | 933,741 | |
Camden Property Trust | 117,074 | 16,519,141 | |
Centerspace | 17,628 | 1,514,069 | |
Equity Lifestyle Properties, Inc. | 211,996 | 15,585,946 | |
Equity Residential | 426,673 | 33,446,896 |
Annual Report | 80 |
Common Stocks – continued | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Residential REITs – continued | |||
Essex Property Trust, Inc. | 77,612 | $ 22,238,166 | |
Independence Realty Trust, Inc. | 274,886 | 6,102,469 | |
Invitation Homes, Inc. | 722,460 | 28,197,614 | |
Mid-America Apartment Communities, Inc. | 137,134 | 25,469,898 | |
NexPoint Residential Trust, Inc. | 27,679 | 1,841,761 | |
Sun Communities, Inc. | 139,460 | 22,865,862 | |
UDR, Inc. | 379,204 | 18,353,474 | |
UMH Properties, Inc. | 63,248 | 1,347,815 | |
265,112,413 | |||
Retail REITs – 10.9% | |||
Acadia Realty Trust | 108,227 | 1,853,929 | |
Agree Realty Corp. | 85,055 | 6,769,527 | |
Alexander's, Inc. | 2,740 | 667,217 | |
American Finance Trust, Inc. | 152,871 | 1,190,865 | |
Brixmor Property Group, Inc. | 354,876 | 8,226,026 | |
CBL & Associates Properties, Inc. | 13,494 | 415,480 | |
Federal Realty OP LP | 84,283 | 8,901,128 | |
Getty Realty Corp. | 46,847 | 1,374,491 | |
Kimco Realty Corp. | 737,950 | 16,316,074 | |
Kite Realty Group Trust | 267,003 | 5,310,690 | |
National Retail Properties, Inc. | 208,823 | 9,942,063 | |
NETSTREIT Corp. | 60,354 | 1,237,257 | |
Realty Income Corp. | 708,884 | 52,450,327 | |
Regency Centers Corp. | 183,768 | 11,840,172 | |
Retail Opportunity Investments Corp. | 146,315 | 2,554,660 | |
RPT Realty | 99,842 | 1,085,283 | |
Saul Centers, Inc. | 16,130 | 843,276 | |
Seritage Growth Properties, Class A (a) | 42,619 | 512,280 | |
Simon Property Group, Inc. | 393,701 | 42,771,677 | |
SITE Centers Corp. | 226,044 | 3,302,503 | |
Spirit Realty Capital, Inc. | 152,950 | 6,781,803 | |
Tanger Factory Outlet Centers, Inc. | 124,086 | 2,018,879 | |
The Macerich Co. | 257,473 | 2,731,789 | |
Urban Edge Properties | 139,553 | 2,292,856 | |
Urstadt Biddle Properties, Inc. Class A | 38,435 | 707,204 | |
Whitestone REIT | 55,630 | 624,725 | |
192,722,181 | |||
Specialized REITs – 37.9% | |||
American Tower Corp. | 545,434 | 147,719,890 | |
CatchMark Timber Trust, Inc. Class A | 54,764 | 615,547 | |
Crown Castle International Corp. | 516,272 | 93,269,700 | |
CubeSmart | 267,029 | 12,248,620 | |
Digital Realty Trust, Inc. | 341,613 | 45,246,642 | |
EPR Properties | 89,237 | 4,801,843 | |
Equinix, Inc. | 108,731 | 76,518,354 | |
Extra Space Storage, Inc. | 159,528 | 30,233,747 | |
Farmland Partners, Inc. | 49,841 | 739,640 | |
Four Corners Property Trust, Inc. | 95,420 | 2,789,127 |
| |||
Shares | Value | ||
Gaming and Leisure Properties, Inc. | 280,270 | $ 14,571,237 | |
Gladstone Land Corp. | 41,071 | 1,113,435 | |
InvenTrust Properties Corp. | 80,037 | 2,294,661 | |
Iron Mountain, Inc. | 346,332 | 16,793,639 | |
Lamar Advertising Co. Class A | 103,687 | 10,478,608 | |
Life Storage, Inc. | 99,678 | 12,548,463 | |
National Storage Affiliates Trust | 105,971 | 5,811,450 | |
Outfront Media, Inc. | 155,690 | 2,874,037 | |
PotlatchDeltic Corp. | 84,245 | 4,130,532 | |
Public Storage | 188,585 | 61,556,030 | |
Rayonier, Inc. | 175,748 | 6,634,487 | |
Safehold, Inc. | 24,508 | 1,045,021 | |
SBA Communications Corp. | 129,928 | 43,628,523 | |
Uniti Group, Inc. | 292,577 | 2,916,993 | |
VICI Properties, Inc. | 1,149,944 | 39,316,585 | |
Weyerhaeuser Co. | 892,940 | 32,431,581 | |
672,328,392 | |||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 1,687,027,927 | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – 4.5% | |||
Diversified Real Estate Activities – 0.2% | |||
Five Point Holdings LLC Class A (a) | 77,901 | 328,742 | |
Tejon Ranch Co. (a) | 23,113 | 381,827 | |
The RMR Group, Inc. Class A | 17,987 | 520,004 | |
The St. Joe Co. | 39,700 | 1,668,194 | |
WeWork, Inc. (a) | 226,233 | 1,079,131 | |
3,977,898 | |||
Real Estate Development – 0.2% | |||
Forestar Group, Inc. (a) | 27,332 | 378,275 | |
Offerpad Solutions, Inc. (a) | 66,279 | 139,849 | |
The Howard Hughes Corp. (a) | 49,224 | 3,489,489 | |
4,007,613 | |||
Real Estate Operating Companies – 0.2% | |||
FRP Holdings, Inc. (a) | 7,824 | 461,616 | |
Kennedy-Wilson Holdings, Inc. | 147,551 | 3,048,404 | |
3,510,020 | |||
Real Estate Services – 3.9% | |||
Anywhere Real Estate, Inc. (a) | 138,172 | 1,372,048 | |
CBRE Group, Inc. Class A (a) | 398,747 | 34,140,718 | |
Compass, Inc. Class A (a) | 285,723 | 1,091,462 | |
Cushman & Wakefield PLC (a) | 172,552 | 2,898,874 | |
Doma Holdings, Inc. (a) | 236,712 | 175,640 | |
Douglas Elliman, Inc. | 95,271 | 571,626 | |
eXp World Holdings, Inc. | 85,346 | 1,268,242 | |
Jones Lang LaSalle, Inc. (a) | 59,771 | 11,396,537 | |
Marcus & Millichap, Inc. | 33,051 | 1,352,447 | |
Newmark Group, Inc. Class A | 234,361 | 2,671,715 | |
Opendoor Technologies, Inc. (a) | 501,303 | 2,461,398 | |
RE/MAX Holdings, Inc. Class A | 23,672 | 599,848 | |
Redfin Corp. (a) | 125,467 | 1,091,563 |
81 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – continued | |||
Real Estate Services – continued | |||
Zillow Group, Inc. Class C (a) | 198,698 | $ 6,930,586 | |
68,022,704 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 79,518,235 | ||
TOTAL COMMON STOCKS (Cost $1,668,609,846) | 1,766,546,162 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $2,471,000) | 2,471,000 | 2,471,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $1,671,080,846) | 1,769,017,162 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 3,570,081 | ||
NET ASSETS – 100.0% | $1,772,587,243 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Dow Jones U.S. Real Estate Index Contracts (United States) | 151 | September 2022 | $5,861,820 | $161,401 | $161,401 |
Annual Report | 82 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,766,546,162 | $ 1,766,546,162 | $ — | $ — | |||||
Money Market Funds | 2,471,000 | 2,471,000 | — | — | |||||
Total Investments in Securities: | $ 1,769,017,162 | $ 1,769,017,162 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 161,401 | $ 161,401 | $ — | $ — | |||||
Total Assets | $ 161,401 | $ 161,401 | $ — | $ — | |||||
Total Derivative Instruments: | $ 161,401 | $ 161,401 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $161,401 | $0 | |
Total Equity Risk | 161,401 | 0 | |
Total Value of Derivatives | $161,401 | $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). |
83 | Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
ELECTRIC UTILITIES – 59.3% | |||
Electric Utilities – 59.3% | |||
ALLETE, Inc. | 97,897 | $ 6,076,467 | |
Alliant Energy Corp. | 458,046 | 27,908,743 | |
American Electric Power Co., Inc. | 920,609 | 90,735,223 | |
Constellation Energy Corp. | 595,133 | 39,338,291 | |
Duke Energy Corp. | 1,404,761 | 154,425,377 | |
Edison International | 695,138 | 47,109,502 | |
Entergy Corp. | 370,735 | 42,682,721 | |
Evergy, Inc. | 419,323 | 28,622,988 | |
Eversource Energy | 628,928 | 55,484,028 | |
Exelon Corp. | 1,788,484 | 83,146,621 | |
FirstEnergy Corp. | 989,311 | 40,660,682 | |
Hawaiian Electric Industries, Inc. | 202,792 | 8,578,102 | |
IDACORP, Inc. | 92,611 | 10,346,501 | |
MGE Energy, Inc. | 67,411 | 5,485,907 | |
NextEra Energy, Inc. | 3,583,712 | 302,787,827 | |
NRG Energy, Inc. | 443,970 | 16,759,868 | |
OGE Energy Corp. | 366,544 | 15,057,628 | |
Otter Tail Corp. | 70,168 | 4,930,705 | |
PG&E Corp. (a) | 2,723,688 | 29,579,252 | |
Pinnacle West Capital Corp. | 206,769 | 15,191,318 | |
PNM Resources, Inc. | 151,118 | 7,294,466 | |
Portland General Electric Co. | 165,460 | 8,494,716 | |
PPL Corp. | 1,342,706 | 39,045,890 | |
The Southern Co. | 1,935,878 | 148,849,659 | |
Xcel Energy, Inc. | 993,688 | 72,718,088 | |
TOTAL ELECTRIC UTILITIES | 1,301,310,570 | ||
GAS UTILITIES – 4.8% | |||
Gas Utilities – 4.8% | |||
Atmos Energy Corp. | 247,258 | 30,014,649 | |
Chesapeake Utilities Corp. | 17,976 | 2,465,049 | |
National Fuel Gas Co. | 159,186 | 11,515,515 | |
New Jersey Resources Corp. | 177,674 | 8,206,762 | |
Northwest Natural Holding Co. | 59,060 | 3,169,750 | |
ONE Gas, Inc. | 99,191 | 8,425,284 | |
South Jersey Industries, Inc. | 217,219 | 7,446,267 | |
Southwest Gas Holdings, Inc. | 111,501 | 9,696,127 | |
Spire, Inc. | 95,828 | 7,210,099 | |
Star Group LP | 69,337 | 682,276 | |
UGI Corp. | 384,618 | 16,600,113 | |
TOTAL GAS UTILITIES | 105,431,891 | ||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 3.7% | |||
Independent Power Producers & Energy Traders – 2.5% | |||
Clearway Energy, Inc. Class A | 66,561 | 2,298,351 | |
Clearway Energy, Inc. Class C | 150,365 | 5,644,702 | |
The AES Corp. | 1,220,424 | 27,117,821 | |
Vistra Corp. | 796,688 | 20,594,385 | |
55,655,259 |
| |||
Shares | Value | ||
Renewable Electricity – 1.2% | |||
Altus Power, Inc. (a) | 94,392 | $ 740,033 | |
Montauk Renewables, Inc. (a) | 123,861 | 1,482,616 | |
NextEra Energy Partners LP | 153,622 | 12,710,685 | |
Ormat Technologies, Inc. | 83,126 | 7,193,724 | |
Sunnova Energy International, Inc. (a) | 188,341 | 4,900,633 | |
27,027,691 | |||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 82,682,950 | ||
MULTI-UTILITIES – 27.7% | |||
Multi-Utilities – 27.7% | |||
Ameren Corp. | 470,590 | 43,821,341 | |
Avista Corp. | 113,841 | 4,810,921 | |
Black Hills Corp. | 118,747 | 9,167,268 | |
CenterPoint Energy, Inc. | 1,148,384 | 36,392,289 | |
CMS Energy Corp. | 529,045 | 36,361,263 | |
Consolidated Edison, Inc. | 646,539 | 64,181,927 | |
Dominion Energy, Inc. | 1,479,778 | 121,312,200 | |
DTE Energy Co. | 353,760 | 46,094,928 | |
NiSource, Inc. | 741,556 | 22,543,302 | |
NorthWestern Corp. | 99,701 | 5,528,420 | |
Public Service Enterprise Group, Inc. | 916,719 | 60,200,937 | |
Sempra Energy | 576,416 | 95,569,773 | |
Unitil Corp. | 29,604 | 1,621,411 | |
WEC Energy Group, Inc. | 575,994 | 59,793,937 | |
TOTAL MULTI-UTILITIES | 607,399,917 | ||
WATER UTILITIES – 4.2% | |||
Water Utilities – 4.2% | |||
American States Water Co. | 68,689 | 5,987,620 | |
American Water Works Co., Inc. | 331,799 | 51,574,837 | |
California Water Service Group | 100,294 | 6,025,664 | |
Essential Utilities, Inc. | 440,430 | 22,875,934 | |
Middlesex Water Co. | 18,011 | 1,713,026 | |
SJW Group | 46,084 | 3,025,875 | |
The York Water Co. | 25,906 | 1,113,699 | |
TOTAL WATER UTILITIES | 92,316,655 | ||
TOTAL COMMON STOCKS (Cost $2,014,584,822) | 2,189,141,983 |
Annual Report | 84 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $4,164,000) | 4,164,000 | $ 4,164,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $2,018,748,822) | 2,193,305,983 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,766,385 | ||
NET ASSETS – 100.0% | $2,195,072,368 |
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) | 76 | September 2022 | $5,679,480 | $237,502 | $237,502 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,189,141,983 | $ 2,189,141,983 | $ — | $ — | |||||
Money Market Funds | 4,164,000 | 4,164,000 | — | — | |||||
Total Investments in Securities: | $ 2,193,305,983 | $ 2,193,305,983 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 237,502 | $ 237,502 | $ — | $ — | |||||
Total Assets | $ 237,502 | $ 237,502 | $ — | $ — | |||||
Total Derivative Instruments: | $ 237,502 | $ 237,502 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $237,502 | $0 | |
Total Equity Risk | 237,502 | 0 | |
Total Value of Derivatives | $237,502 | $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). |
85 | 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 | $ 561,442,032 | $ 1,174,062,673 | $ 1,056,681,723 | $ 1,486,368,038 | |||
Segregated cash with brokers for derivative instruments | 52,000 | 176,000 | 160,900 | 259,200 | |||
Cash | 67,885 | 42,019 | 53,431 | 8,975 | |||
Receivable for investments sold | |||||||
Regular delivery | 3,419,456 | 491,760 | — | — | |||
Delayed delivery | — | — | — | 60,009 | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 836,427 | 272,120 | 1,554,984 | 969,644 | |||
Interest receivable | 1,016 | 2,381 | 2,365 | 1,906 | |||
Receivable for daily variation margin on futures contracts | 6,389 | 44,644 | — | 4,460 | |||
Total assets | 565,825,205 | 1,175,091,597 | 1,058,453,403 | 1,487,672,232 | |||
Liabilities | |||||||
Payable for investments purchased | 4,540,463 | — | — | — | |||
Accrued management fees | 39,210 | 75,556 | 72,933 | 95,666 | |||
Payable for daily variation margin on futures contracts | — | — | 21,726 | — | |||
Total liabilities | 4,579,673 | 75,556 | 94,659 | 95,666 | |||
Net Assets | $ 561,245,532 | $1,175,016,041 | $1,058,358,744 | $1,487,576,566 | |||
Net Assets consist of: | |||||||
Paid in capital | $ 716,203,913 | $1,225,752,080 | $ 984,281,586 | $1,247,266,191 | |||
Total accumulated earnings (loss) | (154,958,381) | (50,736,039) | 74,077,158 | 240,310,375 | |||
Net Assets | $ 561,245,532 | $1,175,016,041 | $1,058,358,744 | $1,487,576,566 | |||
Shares outstanding | 15,200,000 | 16,900,000 | 23,650,000 | 69,300,000 | |||
Net Asset Value per share | $ 36.92 | $ 69.53 | $ 44.75 | $ 21.47 | |||
Investments at cost | $ 675,623,917 | $1,176,903,487 | $ 958,200,195 | $1,074,022,232 |
Annual Report | 86 |
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 | $ 1,546,312,628 | $ 2,963,661,978 | $ 704,132,395 | $ 5,736,643,003 | |||
Segregated cash with brokers for derivative instruments | 400,300 | 440,500 | 101,500 | 553,000 | |||
Cash | 48,417 | 439,098 | 86,379 | 94,026 | |||
Receivable for investments sold | |||||||
Regular delivery | — | 135,483 | 620,568 | 1,021,884 | |||
Delayed delivery | — | — | — | — | |||
Receivable for fund shares sold | — | 29,235 | 15,622 | — | |||
Dividends receivable | 2,805,582 | 3,865,909 | 356,509 | 1,119,263 | |||
Interest receivable | 4,297 | 7,688 | 1,752 | 10,885 | |||
Receivable for daily variation margin on futures contracts | 30,952 | — | 36,009 | — | |||
Total assets | 1,549,602,176 | 2,968,579,891 | 705,350,734 | 5,739,442,061 | |||
Liabilities | |||||||
Payable for investments purchased | — | — | 9,989 | — | |||
Accrued management fees | 103,434 | 201,983 | 46,182 | 374,309 | |||
Payable for daily variation margin on futures contracts | — | 19,132 | — | 3,566 | |||
Total liabilities | 103,434 | 221,115 | 56,171 | 377,875 | |||
Net Assets | $1,549,498,742 | $2,968,358,776 | $705,294,563 | $5,739,064,186 | |||
Net Assets consist of: | |||||||
Paid in capital | $1,561,771,056 | $2,418,689,207 | $700,083,680 | $3,732,036,036 | |||
Total accumulated earnings (loss) | (12,272,314) | 549,669,569 | 5,210,883 | 2,007,028,150 | |||
Net Assets | $1,549,498,742 | $2,968,358,776 | $705,294,563 | $5,739,064,186 | |||
Shares outstanding | 32,300,000 | 47,100,000 | 14,100,000 | 52,450,000 | |||
Net Asset Value per share | $ 47.97 | $ 63.02 | $ 50.02 | $ 109.42 | |||
Investments at cost | $1,510,918,538 | $2,356,379,548 | $689,155,797 | $3,665,074,879 |
87 | 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 | $ 449,314,337 | $ 1,769,017,162 | $ 2,193,305,983 | ||
Segregated cash with brokers for derivative instruments | 82,450 | 407,700 | 304,000 | ||
Cash | 32,037 | 92,067 | 210,651 | ||
Receivable for investments sold | |||||
Regular delivery | — | — | — | ||
Delayed delivery | — | — | — | ||
Receivable for fund shares sold | — | — | 16,072 | ||
Dividends receivable | 395,658 | 3,378,199 | 1,346,877 | ||
Interest receivable | 1,223 | 2,782 | 4,556 | ||
Receivable for daily variation margin on futures contracts | 21,276 | — | 21,286 | ||
Total assets | 449,846,981 | 1,772,897,910 | 2,195,209,425 | ||
Liabilities | |||||
Payable for investments purchased | — | — | — | ||
Accrued management fees | 29,880 | 117,390 | 137,057 | ||
Payable for daily variation margin on futures contracts | — | 193,277 | — | ||
Total liabilities | 29,880 | 310,667 | 137,057 | ||
Net Assets | $449,817,101 | $1,772,587,243 | $2,195,072,368 | ||
Net Assets consist of: | |||||
Paid in capital | $496,032,123 | $1,737,632,593 | $2,053,870,508 | ||
Total accumulated earnings (loss) | (46,215,022) | 34,954,650 | 141,201,860 | ||
Net Assets | $449,817,101 | $1,772,587,243 | $2,195,072,368 | ||
Shares outstanding | 10,250,000 | 60,050,000 | 46,000,000 | ||
Net Asset Value per share | $ 43.88 | $ 29.52 | $ 47.72 | ||
Investments at cost | $482,273,846 | $1,671,080,846 | $2,018,748,822 |
Annual Report | 88 |
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 | $ 6,774,408 | $ 11,833,546 | $ 22,185,523 | $ 45,487,948 | |||
Non-Cash dividends | 1,381,986 | — | — | — | |||
Interest | 2,911 | 6,124 | 6,103 | 5,821 | |||
Total income | 8,159,305 | 11,839,670 | 22,191,626 | 45,493,769 | |||
Expenses | |||||||
Management fees | 659,920 | 1,251,967 | 790,421 | 1,036,367 | |||
Independent trustees' fees and expenses | 2,681 | 5,062 | 3,042 | 3,924 | |||
Legal | — | 166 | — | — | |||
Total expenses | 662,601 | 1,257,195 | 793,463 | 1,040,291 | |||
Net investment income (loss) | 7,496,704 | 10,582,475 | 21,398,163 | 44,453,478 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (10,027,660) | (23,342,599) | (2,093,662) | (24,151,357) | |||
Net realized gain (loss) on In-kind redemptions | 74,949,699 | 244,935,351 | 24,658,852 | 142,083,558 | |||
Net realized gain (loss) on futures contracts | (581,837) | (500,990) | 205,810 | 2,326,354 | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | 64,340,202 | 221,091,762 | 22,771,000 | 120,258,555 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (359,546,119) | (461,631,622) | (5,115,409) | 405,454,222 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | (57,703) | 87,197 | 72,482 | 207,603 | |||
Total change in net unrealized appreciation (depreciation) | (359,603,822) | (461,544,425) | (5,042,927) | 405,661,825 | |||
Net gain (loss) | (295,263,620) | (240,452,663) | 17,728,073 | 525,920,380 | |||
Net increase (decrease) in net assets resulting from operations | $(287,766,916) | $(229,870,188) | $ 39,126,236 | $570,373,858 |
89 | 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 | $ 36,725,847 | $ 38,737,572 | $ 11,109,291 | $ 49,481,596 | |||
Non-Cash dividends | — | — | — | — | |||
Interest | 10,118 | 17,662 | 4,132 | 28,556 | |||
Total income | 36,735,965 | 38,755,234 | 11,113,423 | 49,510,152 | |||
Expenses | |||||||
Management fees | 1,500,358 | 2,403,785 | 677,066 | 5,226,008 | |||
Independent trustees' fees and expenses | 5,939 | 9,406 | 2,724 | 20,624 | |||
Legal | — | — | — | — | |||
Total expenses | 1,506,297 | 2,413,191 | 679,790 | 5,246,632 | |||
Net investment income (loss) | 35,229,668 | 36,342,043 | 10,433,633 | 44,263,520 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (15,572,814) | (20,264,865) | 3,898,601 | (26,195,409) | |||
Net realized gain (loss) on In-kind redemptions | 89,126,693 | 89,691,459 | 57,966,583 | 201,668,286 | |||
Net realized gain (loss) on futures contracts | (747,733) | (762,367) | (456,931) | 1,069,161 | |||
Net realized gain (loss) on foreign currency transactions | — | — | 7 | — | |||
Total net realized gain (loss) | 72,806,146 | 68,664,227 | 61,408,260 | 176,542,038 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (226,395,885) | (209,149,803) | (138,775,886) | (866,352,617) | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 286,901 | 220,503 | 84,886 | (9,114) | |||
Total change in net unrealized appreciation (depreciation) | (226,108,984) | (208,929,300) | (138,691,000) | (866,361,731) | |||
Net gain (loss) | (153,302,838) | (140,265,073) | (77,282,740) | (689,819,693) | |||
Net increase (decrease) in net assets resulting from operations | $(118,073,170) | $(103,923,030) | $ (66,849,107) | $(645,556,173) |
Annual Report | 90 |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 9,414,072 | $ 44,732,014 | $ 37,270,312 | ||
Non-Cash dividends | — | — | — | ||
Interest | 2,975 | 7,368 | 9,604 | ||
Total income | 9,417,047 | 44,739,382 | 37,279,916 | ||
Expenses | |||||
Management fees | 424,899 | 1,643,378 | 1,136,666 | ||
Independent trustees' fees and expenses | 1,711 | 6,394 | 4,220 | ||
Legal | — | — | — | ||
Total expenses | 426,610 | 1,649,772 | 1,140,886 | ||
Net investment income (loss) | 8,990,437 | 43,089,610 | 36,139,030 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (2,851,559) | (18,844,011) | (5,642,753) | ||
Net realized gain (loss) on In-kind redemptions | 41,145,449 | 118,602,151 | 53,559,282 | ||
Net realized gain (loss) on futures contracts | (232,116) | 208,478 | 384,148 | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | 38,061,774 | 99,966,618 | 48,300,677 | ||
Change in net unrealized appreciation (depreciation) on investment securities | (80,145,901) | (242,974,136) | 116,892,912 | ||
Change in net unrealized appreciation (depreciation) on futures contracts | (15,922) | 77,085 | 204,075 | ||
Total change in net unrealized appreciation (depreciation) | (80,161,823) | (242,897,051) | 117,096,987 | ||
Net gain (loss) | (42,100,049) | (142,930,433) | 165,397,664 | ||
Net increase (decrease) in net assets resulting from operations | $(33,109,612) | $ (99,840,823) | $201,536,694 |
91 | Annual Report |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 7,496,704 | $ 4,881,029 | $ 10,582,475 | $ 7,612,303 | |||
Net realized gain (loss) | 64,340,202 | 67,452,249 | 221,091,762 | 125,780,203 | |||
Change in net unrealized appreciation (depreciation) | (359,603,822) | 172,979,615 | (461,544,425) | 281,286,349 | |||
Net increase (decrease) in net assets resulting from operations | (287,766,916) | 245,312,893 | (229,870,188) | 414,678,855 | |||
Distributions to shareholders | (7,610,350) | (4,490,900) | (11,050,200) | (7,322,150) | |||
Share transactions | |||||||
Proceeds from sales of shares | 233,928,059 | 277,514,566 | 324,283,128 | 640,804,871 | |||
Cost of shares redeemed | (293,680,545) | (179,670,185) | (539,877,842) | (298,219,402) | |||
Net increase (decrease) in net assets resulting from share transactions | (59,752,486) | 97,844,381 | (215,594,714) | 342,585,469 | |||
Total increase (decrease) in net assets | (355,129,752) | 338,666,374 | (456,515,102) | 749,942,174 | |||
Net Assets | |||||||
Beginning of year | 916,375,284 | 577,708,910 | 1,631,531,143 | 881,588,969 | |||
End of year | $ 561,245,532 | $ 916,375,284 | $1,175,016,041 | $1,631,531,143 | |||
Other Information | |||||||
Shares | |||||||
Sold | 5,400,000 | 5,500,000 | 3,800,000 | 9,000,000 | |||
Redeemed | (6,900,000) | (4,050,000) | (6,950,000) | (4,350,000) | |||
Net increase (decrease) | (1,500,000) | 1,450,000 | (3,150,000) | 4,650,000 |
Annual Report | 92 |
Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 21,398,163 | $ 20,968,508 | $ 44,453,478 | $ 28,490,030 | |||
Net realized gain (loss) | 22,771,000 | 55,734,389 | 120,258,555 | (6,896,933) | |||
Change in net unrealized appreciation (depreciation) | (5,042,927) | 62,687,995 | 405,661,825 | 241,972,018 | |||
Net increase (decrease) in net assets resulting from operations | 39,126,236 | 139,390,892 | 570,373,858 | 263,565,115 | |||
Distributions to shareholders | (21,252,450) | (20,813,400) | (46,175,650) | (29,586,300) | |||
Share transactions | |||||||
Proceeds from sales of shares | 324,193,400 | 272,522,699 | 387,541,369 | 328,207,237 | |||
Cost of shares redeemed | (101,991,130) | (251,466,243) | (318,221,008) | (117,452,719) | |||
Net increase (decrease) in net assets resulting from share transactions | 222,202,270 | 21,056,456 | 69,320,361 | 210,754,518 | |||
Total increase (decrease) in net assets | 240,076,056 | 139,633,948 | 593,518,569 | 444,733,333 | |||
Net Assets | |||||||
Beginning of year | 818,282,688 | 678,648,740 | 894,057,997 | 449,324,664 | |||
End of year | $1,058,358,744 | $ 818,282,688 | $1,487,576,566 | $ 894,057,997 | |||
Other Information | |||||||
Shares | |||||||
Sold | 7,100,000 | 6,800,000 | 21,050,000 | 28,300,000 | |||
Redeemed | (2,350,000) | (6,100,000) | (18,100,000) | (9,400,000) | |||
Net increase (decrease) | 4,750,000 | 700,000 | 2,950,000 | 18,900,000 |
93 | Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 35,229,668 | $ 24,866,481 | $ 36,342,043 | $ 31,015,066 | |||
Net realized gain (loss) | 72,806,146 | 39,534,722 | 68,664,227 | 66,838,221 | |||
Change in net unrealized appreciation (depreciation) | (226,108,984) | 390,693,235 | (208,929,300) | 504,537,093 | |||
Net increase (decrease) in net assets resulting from operations | (118,073,170) | 455,094,438 | (103,923,030) | 602,390,380 | |||
Distributions to shareholders | (36,480,350) | (23,611,000) | (37,227,200) | (33,149,950) | |||
Share transactions | |||||||
Proceeds from sales of shares | 276,240,117 | 715,027,877 | 455,404,706 | 399,566,161 | |||
Cost of shares redeemed | (289,122,805) | (154,635,399) | (192,134,263) | (137,834,298) | |||
Net increase (decrease) in net assets resulting from share transactions | (12,882,688) | 560,392,478 | 263,270,443 | 261,731,863 | |||
Total increase (decrease) in net assets | (167,436,208) | 991,875,916 | 122,120,213 | 830,972,293 | |||
Net Assets | |||||||
Beginning of year | 1,716,934,950 | 725,059,034 | 2,846,238,563 | 2,015,266,270 | |||
End of year | $1,549,498,742 | $1,716,934,950 | $2,968,358,776 | $2,846,238,563 | |||
Other Information | |||||||
Shares | |||||||
Sold | 4,950,000 | 14,900,000 | 7,000,000 | 6,950,000 | |||
Redeemed | (5,550,000) | (3,250,000) | (3,000,000) | (2,350,000) | |||
Net increase (decrease) | (600,000) | 11,650,000 | 4,000,000 | 4,600,000 |
Annual Report | 94 |
Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 10,433,633 | $ 7,779,970 | $ 44,263,520 | $ 39,380,753 | |||
Net realized gain (loss) | 61,408,260 | 10,549,630 | 176,542,038 | 223,319,232 | |||
Change in net unrealized appreciation (depreciation) | (138,691,000) | 189,422,820 | (866,361,731) | 1,490,020,346 | |||
Net increase (decrease) in net assets resulting from operations | (66,849,107) | 207,752,420 | (645,556,173) | 1,752,720,331 | |||
Distributions to shareholders | (10,491,650) | (7,709,800) | (46,200,150) | (39,319,850) | |||
Share transactions | |||||||
Proceeds from sales of shares | 101,356,059 | 348,123,647 | 554,048,203 | 583,974,201 | |||
Cost of shares redeemed | (180,991,891) | (33,192,592) | (330,116,462) | (378,741,782) | |||
Net increase (decrease) in net assets resulting from share transactions | (79,635,832) | 314,931,055 | 223,931,741 | 205,232,419 | |||
Total increase (decrease) in net assets | (156,976,589) | 514,973,675 | (467,824,582) | 1,918,632,900 | |||
Net Assets | |||||||
Beginning of year | 862,271,152 | 347,297,477 | 6,206,888,768 | 4,288,255,868 | |||
End of year | $ 705,294,563 | $862,271,152 | $5,739,064,186 | $6,206,888,768 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,900,000 | 7,200,000 | 4,350,000 | 5,600,000 | |||
Redeemed | (3,600,000) | (650,000) | (2,900,000) | (3,750,000) | |||
Net increase (decrease) | (1,700,000) | 6,550,000 | 1,450,000 | 1,850,000 |
95 | Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 8,990,437 | $ 5,649,740 | $ 43,089,610 | $ 28,240,488 | |||
Net realized gain (loss) | 38,061,774 | 23,574,472 | 99,966,618 | 9,097,959 | |||
Change in net unrealized appreciation (depreciation) | (80,161,823) | 65,955,360 | (242,897,051) | 381,807,072 | |||
Net increase (decrease) in net assets resulting from operations | (33,109,612) | 95,179,572 | (99,840,823) | 419,145,519 | |||
Distributions to shareholders | (8,977,200) | (5,562,850) | (56,284,500) | (43,349,650) | |||
Share transactions | |||||||
Proceeds from sales of shares | 135,066,634 | 363,160,504 | 475,187,190 | 427,447,059 | |||
Cost of shares redeemed | (187,299,301) | (73,126,709) | (331,089,835) | (84,781,395) | |||
Net increase (decrease) in net assets resulting from share transactions | (52,232,667) | 290,033,795 | 144,097,355 | 342,665,664 | |||
Total increase (decrease) in net assets | (94,319,479) | 379,650,517 | (12,027,968) | 718,461,533 | |||
Net Assets | |||||||
Beginning of year | 544,136,580 | 164,486,063 | 1,784,615,211 | 1,066,153,678 | |||
End of year | $ 449,817,101 | $544,136,580 | $1,772,587,243 | $1,784,615,211 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,750,000 | 8,250,000 | 14,750,000 | 15,600,000 | |||
Redeemed | (4,100,000) | (1,650,000) | (10,900,000) | (3,400,000) | |||
Net increase (decrease) | (1,350,000) | 6,600,000 | 3,850,000 | 12,200,000 |
Annual Report | 96 |
Fidelity MSCI Utilities Index ETF | |||
Year ended July 31, 2022 | Year ended July 31, 2021 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 36,139,030 | $ 30,395,742 | |
Net realized gain (loss) | 48,300,677 | 37,203,035 | |
Change in net unrealized appreciation (depreciation) | 117,096,987 | 48,102,265 | |
Net increase (decrease) in net assets resulting from operations | 201,536,694 | 115,701,042 | |
Distributions to shareholders | (36,559,700) | (31,181,450) | |
Share transactions | |||
Proceeds from sales of shares | 1,236,559,491 | 416,979,624 | |
Cost of shares redeemed | (282,756,360) | (270,013,514) | |
Net increase (decrease) in net assets resulting from share transactions | 953,803,131 | 146,966,110 | |
Total increase (decrease) in net assets | 1,118,780,125 | 231,485,702 | |
Net Assets | |||
Beginning of year | 1,076,292,243 | 844,806,541 | |
End of year | $2,195,072,368 | $1,076,292,243 | |
Other Information | |||
Shares | |||
Sold | 27,150,000 | 10,350,000 | |
Redeemed | (6,400,000) | (6,700,000) | |
Net increase (decrease) | 20,750,000 | 3,650,000 |
97 | Annual Report |
Fidelity MSCI Communication Services Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.45 | 0.34 | 0.33 | 0.49 | 0.85 | ||||
Net realized and unrealized gain (loss) | (17.95) | 16.96 | 3.52 | 5.59 | (2.43) | ||||
Total from investment operations | (17.50) | 17.30 | 3.85 | 6.08 | (1.58) | ||||
Distributions from net investment income | (0.45) | (0.31) | (0.32) | (0.49) | (1.00) | ||||
Distributions from net realized gain | — | — | — | — | (1.28) | ||||
Total distributions | (0.45) | (0.31) | (0.32) | (0.49) | (2.28) | ||||
Net asset value, end of period | $ 36.92 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | ||||
Total ReturnC | (32.06)% | 45.81% | 11.40% | 21.33% | (5.14)% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .95% | .72% | .96% | 1.53% | 2.81% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $561,246 | $916,375 | $577,709 | $374,389 | $125,104 | ||||
Portfolio turnover rateE,F | 21% | 13% | 23% | 82% | 38% |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 98 |
Fidelity MSCI Consumer Discretionary Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.55 | 0.42 | 0.50 | 0.51 | 0.47 | ||||
Net realized and unrealized gain (loss) | (11.81) | 24.10 | 11.01 | 2.96 | 7.20 | ||||
Total from investment operations | (11.26) | 24.52 | 11.51 | 3.47 | 7.67 | ||||
Distributions from net investment income | (0.58) | (0.40) | (0.51) | (0.54) | (0.41) | ||||
Total distributions | (0.58) | (0.40) | (0.51) | (0.54) | (0.41) | ||||
Net asset value, end of period | $ 69.53 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | ||||
Total ReturnC | (13.89)% | 42.95% | 25.26% | 8.15% | 21.36% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .71% | .58% | 1.06% | 1.18% | 1.16% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,175,016 | $1,631,531 | $881,589 | $728,457 | $628,129 | ||||
Portfolio turnover rateE,F | 8% | 48% | 60% | 25% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
99 | Annual Report |
Fidelity MSCI Consumer Staples Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.01 | 1.02 | 0.96 | 0.94 | 0.86 | ||||
Net realized and unrealized gain (loss) | 1.45 | 6.01 | 1.70 | 3.23 | (0.88) | ||||
Total from investment operations | 2.46 | 7.03 | 2.66 | 4.17 | (0.02) | ||||
Distributions from net investment income | (1.01) | (1.02) | (0.96) | (0.91) | (0.88) | ||||
Total distributions | (1.01) | (1.02) | (0.96) | (0.91) | (0.88) | ||||
Net asset value, end of period | $ 44.75 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | ||||
Total ReturnC | 5.79% | 19.09% | 7.74% | 13.16% | (0.06)% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.27% | 2.53% | 2.68% | 2.83% | 2.65% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,058,359 | $818,283 | $678,649 | $548,070 | $311,970 | ||||
Portfolio turnover rateE,F | 8% | 20% | 34% | 30% | 24% |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 100 |
Fidelity MSCI Energy Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.65 | 0.49 | 0.51 | 0.54 | 0.47 | ||||
Net realized and unrealized gain (loss) | 8.02 | 4.02 | (6.86) | (4.70) | 3.22 | ||||
Total from investment operations | 8.67 | 4.51 | (6.35) | (4.16) | 3.69 | ||||
Distributions from net investment income | (0.67) | (0.51) | (0.97) | (0.55) | (0.58) | ||||
Total distributions | (0.67) | (0.51) | (0.97) | (0.55) | (0.58) | ||||
Net asset value, end of period | $ 21.47 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | ||||
Total ReturnC | 65.70% | 48.79% | (39.28)% | (19.42)% | 20.52% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 3.59% | 4.11% | 4.18% | 2.92% | 2.40% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,487,577 | $894,058 | $449,325 | $467,628 | $634,157 | ||||
Portfolio turnover rateE,F | 8% | 11% | 17% | 6% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
101 | Annual Report |
Fidelity MSCI Financials Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.05 | 0.96 | 1.00 | 0.89 | 0.75 | ||||
Net realized and unrealized gain (loss) | (4.19) | 18.00 | (7.09) | 0.18 | 4.11 | ||||
Total from investment operations | (3.14) | 18.96 | (6.09) | 1.07 | 4.86 | ||||
Distributions from net investment income | (1.08) | (0.89) | (1.01) | (0.90) | (0.75) | ||||
Total distributions | (1.08) | (0.89) | (1.01) | (0.90) | (0.75) | ||||
Net asset value, end of period | $ 47.97 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | ||||
Total ReturnC | (6.11)% | 56.15% | (14.78)% | 2.80% | 13.23% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.97% | 2.10% | 2.61% | 2.27% | 1.88% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,549,499 | $1,716,935 | $725,059 | $1,143,858 | $1,574,375 | ||||
Portfolio turnover rateE,F | 6% | 4% | 6% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 102 |
Fidelity MSCI Health Care Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.81 | 0.75 | 0.72 | 0.63 | 0.56 | ||||
Net realized and unrealized gain (loss) | (3.00) | 13.74 | 7.88 | 1.01 | 5.29 | ||||
Total from investment operations | (2.19) | 14.49 | 8.60 | 1.64 | 5.85 | ||||
Distributions from net investment income | (0.83) | (0.79) | (0.69) | (0.93) | (0.57) | ||||
Total distributions | (0.83) | (0.79) | (0.69) | (0.93) | (0.57) | ||||
Net asset value, end of period | $ 63.02 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | ||||
Total ReturnC | (3.32)% | 27.91% | 19.69% | 3.84% | 15.34% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.27% | 1.28% | 1.52% | 1.43% | 1.39% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $2,968,359 | $2,846,239 | $2,015,266 | $1,557,252 | $1,252,626 | ||||
Portfolio turnover rateE,F | 4% | 7% | 7% | 5% | 8% |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
103 | Annual Report |
Fidelity MSCI Industrials Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.68 | 0.61 | 0.69 | 0.70 | 0.61 | ||||
Net realized and unrealized gain (loss) | (4.55) | 17.00 | (2.48) | 0.51 | 4.62 | ||||
Total from investment operations | (3.87) | 17.61 | (1.79) | 1.21 | 5.23 | ||||
Distributions from net investment income | (0.68) | (0.59) | (0.70) | (0.68) | (0.65) | ||||
Total distributions | (0.68) | (0.59) | (0.70) | (0.68) | (0.65) | ||||
Net asset value, end of period | $ 50.02 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | ||||
Total ReturnC | (7.10)% | 47.17% | (4.34)% | 3.23% | 15.08% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.29% | 1.24% | 1.80% | 1.84% | 1.61% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $705,295 | $862,271 | $347,297 | $454,471 | $499,824 | ||||
Portfolio turnover rateE,F | 7% | 5% | 4% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 104 |
Fidelity MSCI Information Technology Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.84 | 0.79 | 0.87 | 0.70 | 0.53 | ||||
Net realized and unrealized gain (loss) | (12.24) | 34.45 | 22.70 | 8.17 | 11.85 | ||||
Total from investment operations | (11.40) | 35.24 | 23.57 | 8.87 | 12.38 | ||||
Distributions from net investment income | (0.88) | (0.79) | (0.85) | (0.70) | (0.52) | ||||
Total distributions | (0.88) | (0.79) | (0.85) | (0.70) | (0.52) | ||||
Net asset value, end of period | $ 109.42 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | ||||
Total ReturnC | (9.41)% | 40.57% | 36.99% | 15.94% | 27.92% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .71% | .76% | 1.21% | 1.22% | 1.02% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $5,739,064 | $6,206,889 | $4,288,256 | $2,571,364 | $2,223,254 | ||||
Portfolio turnover rateE,F | 5% | 3% | 5% | 18% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
105 | Annual Report |
Fidelity MSCI Materials Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.83 | 0.71 | 0.65 | 0.65 | 0.55 | ||||
Net realized and unrealized gain (loss) | (3.01) | 13.98 | 0.30 | (2.08) | 3.09 | ||||
Total from investment operations | (2.18) | 14.69 | 0.95 | (1.43) | 3.64 | ||||
Distributions from net investment income | (0.85) | (0.68) | (0.68) | (0.64) | (0.57) | ||||
Total distributions | (0.85) | (0.68) | (0.68) | (0.64) | (0.57) | ||||
Net asset value, end of period | $ 43.88 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | ||||
Total ReturnC | (4.68)% | 45.01% | 3.28% | (4.02)% | 11.54% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.77% | 1.66% | 2.08% | 2.05% | 1.60% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $449,817 | $544,137 | $164,486 | $199,043 | $265,428 | ||||
Portfolio turnover rateE,F | 4% | 4% | 3% | 12% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 106 |
Fidelity MSCI Real Estate Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.68 | 0.58 | 0.67 | 1.05 | 0.76 | ||||
Net realized and unrealized gain (loss) | (2.01) | 7.83 | (2.13) | 2.08 | 0.32 | ||||
Total from investment operations | (1.33) | 8.41 | (1.46) | 3.13 | 1.08 | ||||
Distributions from net investment income | (0.90) | (0.89) | (0.68) | (1.24) | (0.92) | ||||
Return of capital | — | — | (0.21) | — | — | ||||
Total distributions | (0.90) | (0.89) | (0.89) | (1.24) | (0.92) | ||||
Net asset value, end of period | $ 29.52 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | ||||
Total ReturnC | (4.25)% | 35.58% | (5.27)% | 13.19% | 4.53% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.20% | 2.16% | 2.62% | 4.20% | 3.15% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,772,587 | $1,784,615 | $1,066,154 | $844,003 | $502,347 | ||||
Portfolio turnover rateE,F | 11% | 8% | 9% | 10% | 8% |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
107 | Annual Report |
Fidelity MSCI Utilities Index ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.19 | 1.21 | 1.23 | 1.16 | 1.10 | ||||
Net realized and unrealized gain (loss) | 5.11 | 3.56 | (0.09) | 4.32 | 0.20 | ||||
Total from investment operations | 6.30 | 4.77 | 1.14 | 5.48 | 1.30 | ||||
Distributions from net investment income | (1.21) | (1.25) | (1.24) | (1.12) | (1.09) | ||||
Total distributions | (1.21) | (1.25) | (1.24) | (1.12) | (1.09) | ||||
Net asset value, end of period | $ 47.72 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | ||||
Total ReturnC | 15.10% | 12.46% | 3.13% | 15.93% | 3.83% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.66% | 2.96% | 3.06% | 3.11% | 3.21% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $2,195,072 | $1,076,292 | $844,807 | $733,190 | $336,273 | ||||
Portfolio turnover rateE,F | 3% | 5% | 5% | 7% | 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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 108 |
For the period ended July 31, 2022
109 | 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 | $ 682,799,553 | $ 51,364,931 | $ (172,722,452) | $ (121,357,521) |
Fidelity MSCI Consumer Discretionary Index ETF | 1,197,056,443 | 116,327,142 | (139,320,912) | (22,993,770) |
Annual Report | 110 |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Consumer Staples Index ETF | $ 973,606,521 | $ 115,652,039 | $ (32,576,837) | $ 83,075,202 |
Fidelity MSCI Energy Index ETF | 1,125,703,970 | 367,949,831 | (7,285,763) | 360,664,068 |
Fidelity MSCI Financials Index ETF | 1,519,277,142 | 134,798,805 | (107,763,319) | 27,035,486 |
Fidelity MSCI Health Care Index ETF | 2,385,399,066 | 738,845,985 | (160,583,073) | 578,262,912 |
Fidelity MSCI Industrials Index ETF | 692,559,867 | 89,240,125 | (77,667,597) | 11,572,528 |
Fidelity MSCI Information Technology Index ETF | 3,681,549,651 | 2,277,588,635 | (222,495,283) | 2,055,093,352 |
Fidelity MSCI Materials Index ETF | 483,605,956 | 25,655,984 | (59,947,603) | (34,291,619) |
Fidelity MSCI Real Estate Index ETF | 1,692,180,153 | 170,332,547 | (93,495,538) | 76,837,009 |
Fidelity MSCI Utilities Index ETF | 2,027,289,752 | 172,167,238 | (6,151,007) | 166,016,231 |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 926,743 | $ — | $ (34,527,602) | $ (121,357,522) |
Fidelity MSCI Consumer Discretionary Index ETF | — | — | (27,742,269) | (22,993,770) |
Fidelity MSCI Consumer Staples Index ETF | 1,410,411 | — | (10,408,455) | 83,075,202 |
Fidelity MSCI Energy Index ETF | — | — | (120,353,695) | 360,664,070 |
Fidelity MSCI Financials Index ETF | 1,201,658 | — | (40,509,457) | 27,035,485 |
Fidelity MSCI Health Care Index ETF | 3,421,029 | — | (32,014,371) | 578,262,911 |
Fidelity MSCI Industrials Index ETF | 194,511 | — | (6,556,157) | 11,572,529 |
Fidelity MSCI Information Technology Index ETF | 2,189,180 | — | (50,254,380) | 2,055,093,350 |
Fidelity MSCI Materials Index ETF | 177,675 | — | (12,101,079) | (34,291,618) |
Fidelity MSCI Real Estate Index ETF | — | — | (41,882,360) | 76,837,010 |
Fidelity MSCI Utilities Index ETF | — | — | (24,814,370) | 166,016,230 |
Short-term | Long-term | Total capital loss carryforward | |
Fidelity MSCI Communication Services Index ETF | $ (12,230,815) | $ (22,296,787) | $ (34,527,602) |
Fidelity MSCI Consumer Discretionary Index ETF | (14,180,659) | (13,561,610) | (27,742,269) |
Fidelity MSCI Consumer Staples Index ETF | (26,716) | (10,381,739) | (10,408,455) |
Fidelity MSCI Energy Index ETF | (9,381,586) | (110,972,109) | (120,353,695) |
Fidelity MSCI Financials Index ETF | (16,543,269) | (23,966,188) | (40,509,457) |
Fidelity MSCI Health Care Index ETF | (5,200,136) | (26,814,235) | (32,014,371) |
Fidelity MSCI Industrials Index ETF | (3,152,556) | (3,403,601) | (6,556,157) |
Fidelity MSCI Information Technology Index ETF | (50,254,380) | — | (50,254,380) |
Fidelity MSCI Materials Index ETF | (4,695,708) | (7,405,371) | (12,101,079) |
Fidelity MSCI Real Estate Index ETF | (25,436,170) | (16,446,190) | (41,882,360) |
Fidelity MSCI Utilities Index ETF | (11,092,389) | (13,721,981) | (24,814,370) |
July 31, 2022 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Communication Services Index ETF | $ 7,610,350 | $ — | $ — | $ 7,610,350 |
Fidelity MSCI Consumer Discretionary Index ETF | 11,050,200 | — | — | 11,050,200 |
Fidelity MSCI Consumer Staples Index ETF | 21,252,450 | — | — | 21,252,450 |
Fidelity MSCI Energy Index ETF | 46,175,650 | — | — | 46,175,650 |
Fidelity MSCI Financials Index ETF | 36,480,350 | — | — | 36,480,350 |
111 | Annual Report |
July 31, 2022 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Health Care Index ETF | $ 37,227,200 | $ — | $ — | $ 37,227,200 |
Fidelity MSCI Industrials Index ETF | 10,491,650 | — | — | 10,491,650 |
Fidelity MSCI Information Technology Index ETF | 46,200,150 | — | — | 46,200,150 |
Fidelity MSCI Materials Index ETF | 8,977,200 | — | — | 8,977,200 |
Fidelity MSCI Real Estate Index ETF | 56,284,500 | — | — | 56,284,500 |
Fidelity MSCI Utilities Index ETF | 36,559,700 | — | — | 36,559,700 |
July 31, 2021 | ||||
Fidelity MSCI Communication Services Index ETF | $ 4,490,900 | $ — | $ — | $ 4,490,900 |
Fidelity MSCI Consumer Discretionary Index ETF | 7,322,150 | — | — | 7,322,150 |
Fidelity MSCI Consumer Staples Index ETF | 20,813,400 | — | — | 20,813,400 |
Fidelity MSCI Energy Index ETF | 29,586,300 | — | — | 29,586,300 |
Fidelity MSCI Financials Index ETF | 23,611,000 | — | — | 23,611,000 |
Fidelity MSCI Health Care Index ETF | 33,149,950 | — | — | 33,149,950 |
Fidelity MSCI Industrials Index ETF | 7,709,800 | — | — | 7,709,800 |
Fidelity MSCI Information Technology Index ETF | 39,319,850 | — | — | 39,319,850 |
Fidelity MSCI Materials Index ETF | 5,562,850 | — | — | 5,562,850 |
Fidelity MSCI Real Estate Index ETF | 43,349,650 | — | — | 43,349,650 |
Fidelity MSCI Utilities Index ETF | 31,181,450 | — | — | 31,181,450 |
Annual Report | 112 |
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 a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund.
Purchases ($) | Sales ($) | |
Fidelity MSCI Communication Services Index ETF | 166,826,685 | 164,615,448 |
Fidelity MSCI Consumer Discretionary Index ETF | 119,680,657 | 120,309,094 |
Fidelity MSCI Consumer Staples Index ETF | 72,303,200 | 71,432,134 |
Fidelity MSCI Energy Index ETF | 100,135,321 | 95,643,690 |
Fidelity MSCI Financials Index ETF | 98,408,485 | 100,412,089 |
Fidelity MSCI Health Care Index ETF | 119,160,383 | 119,132,545 |
Fidelity MSCI Industrials Index ETF | 59,776,154 | 61,279,223 |
Fidelity MSCI Information Technology Index ETF | 322,969,652 | 308,536,436 |
Fidelity MSCI Materials Index ETF | 22,073,899 | 22,713,589 |
Fidelity MSCI Real Estate Index ETF | 229,177,180 | 223,580,884 |
Fidelity MSCI Utilities Index ETF | 51,636,590 | 45,247,239 |
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity MSCI Communication Services Index ETF | 233,159,663 | 291,659,523 |
Fidelity MSCI Consumer Discretionary Index ETF | 323,098,067 | 538,478,230 |
Fidelity MSCI Consumer Staples Index ETF | 323,023,483 | 101,620,902 |
Fidelity MSCI Energy Index ETF | 381,732,710 | 312,877,885 |
Fidelity MSCI Financials Index ETF | 268,600,165 | 281,403,215 |
Fidelity MSCI Health Care Index ETF | 453,404,003 | 191,231,824 |
Fidelity MSCI Industrials Index ETF | 100,694,083 | 179,750,292 |
Fidelity MSCI Information Technology Index ETF | 551,465,460 | 328,604,763 |
Fidelity MSCI Materials Index ETF | 134,586,799 | 186,369,632 |
Fidelity MSCI Real Estate Index ETF | 470,908,174 | 329,045,028 |
Fidelity MSCI Utilities Index ETF | 1,226,475,838 | 280,407,682 |
113 | Annual Report |
Annual Report | 114 |
115 | Annual Report |
Annual Report | 116 |
117 | Annual Report |
Annual Report | 118 |
119 | Annual Report |
Annual Report | 120 |
121 | Annual Report |
Annual Report | 122 |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,227.60 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,003.70 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 |
123 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,081.40 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
Annual Report | 124 |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity MSCI Communication Services Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Financials Index ETF | 94% | 94% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 93% | 93% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 96% | 96% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 80% | 80% | 79% | 79% |
Fidelity MSCI Real Estate Index ETF | 1% | 1% | 1% | 1% |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity MSCI Communication Services Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Financials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Real Estate Index ETF | 1% | 1% | 1% | 1% |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
March 2021 | June 2021 | September 2021 | December 2021 | |
Fidelity MSCI Real Estate Index ETF | 73% | 73% | 55% | 55% |
125 | Annual Report |
Annual Report | 126 |
127 | Annual Report |
Annual Report | 128 |
Annual Report | 130 |
Annual Report | 132 |
133 | Annual Report |
Annual Report | 134 |
Annual Report | 136 |
Annual Report | 138 |
139 | Annual Report |
Annual Report | 140 |
141 | Annual Report |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity Dividend ETF for Rising Rates – NAVA | -1.06 | 10.90 | 11.79 |
Fidelity Dividend ETF for Rising Rates – Market PriceB | -1.08 | 10.86 | 11.88 |
Fidelity Dividend Index For Rising RatesA | -0.72 | 11.26 | 12.16 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 7.5 |
Microsoft Corp. | 6.5 |
Johnson & Johnson | 2.4 |
Merck & Co., Inc. | 2.0 |
Visa, Inc. Class A | 2.0 |
AbbVie, Inc. | 1.9 |
Pfizer, Inc. | 1.9 |
Bristol-Myers Squibb Co. | 1.8 |
Amgen, Inc. | 1.7 |
27.7 |
% of fund's net assets | ||
Information Technology | 28.0 | |
Health Care | 14.5 | |
Financials | 10.6 | |
Consumer Discretionary | 10.4 | |
Communication Services | 8.7 | |
Industrials | 8.7 | |
Consumer Staples | 5.9 | |
Energy | 4.3 | |
Real Estate | 3.4 | |
Utilities | 2.8 | |
Materials | 2.5 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity High Dividend ETF – NAVA | 4.43 | 11.44 | 11.36 |
Fidelity High Dividend ETF – Market PriceB | 4.35 | 11.42 | 11.51 |
Fidelity High Dividend IndexA | 4.76 | 11.78 | 11.71 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 5.6 |
Microsoft Corp. | 4.7 |
Exxon Mobil Corp. | 3.5 |
Chevron Corp. | 3.3 |
The Williams Cos., Inc. | 2.4 |
Kinder Morgan, Inc. | 2.2 |
ONEOK, Inc. | 2.0 |
JPMorgan Chase & Co. | 1.9 |
Sempra Energy | 1.9 |
The Southern Co. | 1.8 |
29.3 |
% of fund's net assets | ||
Information Technology | 20.6 | |
Financials | 17.2 | |
Energy | 13.5 | |
Utilities | 11.8 | |
Real Estate | 11.5 | |
Materials | 9.6 | |
Health Care | 6.7 | |
Consumer Discretionary | 4.4 | |
Communication Services | 2.4 | |
Industrials | 1.9 | |
Consumer Staples | 0.1 |
Annual Report | 10 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity Low Volatility Factor ETF – NAVA | -1.12 | 12.79 | 13.08 |
Fidelity Low Volatility Factor ETF – Market PriceB | -1.34 | 12.74 | 13.24 |
Fidelity U.S. Low Volatility Factor IndexA | -0.83 | 13.06 | 13.37 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
11 | Annual Report |
Annual Report | 12 |
% of fund's net assets | |
Microsoft Corp. | 6.2 |
Alphabet, Inc. Class A | 3.6 |
Amazon.com, Inc. | 3.3 |
UnitedHealth Group, Inc. | 2.0 |
Visa, Inc. Class A | 1.9 |
Johnson & Johnson | 1.9 |
Mastercard, Inc. Class A | 1.8 |
Eli Lilly & Co. | 1.6 |
Automatic Data Processing, Inc. | 1.6 |
Texas Instruments, Inc. | 1.6 |
25.5 |
% of fund's net assets | ||
Information Technology | 27.2 | |
Health Care | 13.6 | |
Financials | 11.9 | |
Consumer Discretionary | 11.3 | |
Industrials | 9.4 | |
Communication Services | 8.2 | |
Consumer Staples | 5.6 | |
Energy | 4.1 | |
Real Estate | 3.2 | |
Utilities | 2.7 | |
Materials | 2.5 |
13 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity Momentum Factor ETF – NAVA | -7.20 | 10.99 | 11.74 |
Fidelity Momentum Factor ETF – Market PriceB | -7.11 | 10.98 | 11.88 |
Fidelity U.S. Momentum Factor IndexA | -6.92 | 11.33 | 12.09 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 14 |
15 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 7.2 |
Microsoft Corp. | 6.1 |
Alphabet, Inc. Class A | 4.0 |
Amazon.com, Inc. | 3.5 |
Tesla, Inc. | 2.4 |
UnitedHealth Group, Inc. | 2.1 |
Berkshire Hathaway, Inc. Class B | 1.9 |
NVIDIA Corp. | 1.9 |
Eli Lilly & Co. | 1.5 |
Pfizer, Inc. | 1.5 |
32.1 |
% of fund's net assets | ||
Information Technology | 26.6 | |
Health Care | 14.4 | |
Consumer Discretionary | 11.7 | |
Financials | 11.1 | |
Industrials | 8.3 | |
Communication Services | 8.3 | |
Consumer Staples | 6.1 | |
Energy | 4.4 | |
Real Estate | 3.3 | |
Utilities | 2.9 | |
Materials | 2.7 |
Annual Report | 16 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity Quality Factor ETF – NAVA | -4.79 | 12.34 | 13.23 |
Fidelity Quality Factor ETF – Market PriceB | -4.70 | 12.30 | 13.32 |
Fidelity U.S. Quality Factor IndexA | -4.52 | 12.66 | 13.57 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
17 | Annual Report |
Annual Report | 18 |
% of fund's net assets | |
Apple, Inc. | 7.1 |
Microsoft Corp. | 6.0 |
Alphabet, Inc. Class A | 3.7 |
UnitedHealth Group, Inc. | 2.2 |
Berkshire Hathaway, Inc. Class B | 2.1 |
Johnson & Johnson | 2.0 |
NVIDIA Corp. | 1.6 |
Pfizer, Inc. | 1.5 |
AbbVie, Inc. | 1.5 |
Visa, Inc. Class A | 1.5 |
29.2 |
% of fund's net assets | ||
Information Technology | 28.4 | |
Health Care | 13.8 | |
Consumer Discretionary | 11.2 | |
Financials | 10.7 | |
Industrials | 8.3 | |
Communication Services | 8.0 | |
Consumer Staples | 6.1 | |
Energy | 4.3 | |
Real Estate | 3.5 | |
Utilities | 2.8 | |
Materials | 2.7 |
19 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Small-Mid Multifactor ETF – NAVA | -2.35 | 9.95 |
Fidelity Small-Mid Multifactor ETF – Market PriceB | -2.24 | 9.92 |
Fidelity Small-Mid Multifactor IndexA | -2.02 | 10.30 |
Dow Jones U.S. Completion Total Stock Market IndexA | -21.85 | 7.63 |
B | From February 28, 2019, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 20 |
21 | Annual Report |
% of fund's net assets | |
SolarEdge Technologies, Inc. | 0.5 |
Lantheus Holdings, Inc. | 0.4 |
Texas Pacific Land Corp. | 0.4 |
Jack Henry & Associates, Inc. | 0.4 |
Carlisle Cos., Inc. | 0.4 |
Steel Dynamics, Inc. | 0.4 |
APA Corp. | 0.4 |
Leidos Holdings, Inc. | 0.3 |
Brown-Forman Corp. Class B | 0.3 |
3.5 |
% of fund's net assets | ||
Industrials | 17.6 | |
Financials | 15.8 | |
Information Technology | 14.8 | |
Health Care | 13.4 | |
Consumer Discretionary | 12.5 | |
Real Estate | 7.6 | |
Materials | 4.9 | |
Energy | 4.1 | |
Consumer Staples | 3.4 | |
Communication Services | 2.9 | |
Utilities | 2.8 |
Annual Report | 22 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Stocks for Inflation ETF – NAVA | 5.03 | 11.83 |
Fidelity Stocks for Inflation ETF – Market PriceB | 4.94 | 11.72 |
Fidelity Stocks For Inflation Factor IndexA | 5.35 | 12.22 |
Russell 1000 IndexA | -6.87 | 12.91 |
B | From November 7, 2019, date initially listed on the Cboe BZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
23 | Annual Report |
Annual Report | 24 |
% of fund's net assets | |
Apple, Inc. | 5.3 |
Microsoft Corp. | 4.5 |
Marathon Oil Corp. | 3.5 |
Nucor Corp. | 3.3 |
APA Corp. | 3.2 |
PDC Energy, Inc. | 3.2 |
Olin Corp. | 2.7 |
UnitedHealth Group, Inc. | 2.6 |
Louisiana-Pacific Corp. | 2.5 |
National Fuel Gas Co. | 2.3 |
33.1 |
% of fund's net assets | ||
Information Technology | 21.9 | |
Health Care | 19.0 | |
Consumer Staples | 10.3 | |
Energy | 9.8 | |
Materials | 8.5 | |
Consumer Discretionary | 6.3 | |
Financials | 6.2 | |
Industrials | 4.8 | |
Real Estate | 4.7 | |
Communication Services | 4.2 | |
Utilities | 4.2 |
25 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity U.S. Multifactor ETF – NAVA | -2.64 | 13.37 |
Fidelity U.S. Multifactor ETF – Market PriceB | -2.64 | 14.23 |
Fidelity U.S. Multifactor IndexA | -2.35 | 13.73 |
Russell 1000 IndexA | -6.87 | 11.73 |
B | From From September 17, 2020, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 26 |
27 | Annual Report |
% of fund's net assets | |
Apple, Inc. | 6.7 |
Microsoft Corp. | 5.6 |
Alphabet, Inc. Class A | 3.7 |
Johnson & Johnson | 1.9 |
Eli Lilly & Co. | 1.7 |
National Fuel Gas Co. | 1.5 |
The Home Depot, Inc. | 1.5 |
Exelon Corp. | 1.5 |
Pfizer, Inc. | 1.4 |
Merck & Co., Inc. | 1.4 |
26.9 |
% of fund's net assets | ||
Information Technology | 27.2 | |
Health Care | 14.1 | |
Consumer Discretionary | 12.1 | |
Financials | 11.3 | |
Industrials | 8.9 | |
Communication Services | 8.0 | |
Consumer Staples | 5.7 | |
Energy | 3.7 | |
Real Estate | 3.0 | |
Utilities | 3.0 | |
Materials | 2.9 |
Annual Report | 28 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity Value Factor ETF – NAVA | -3.86 | 11.27 | 12.73 |
Fidelity Value Factor ETF – Market PriceB | -4.11 | 11.22 | 12.82 |
Fidelity U.S. Value Factor IndexA | -3.61 | 11.60 | 13.07 |
Russell 1000 IndexA | -6.87 | 12.55 | 13.45 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
29 | Annual Report |
Annual Report | 30 |
% of fund's net assets | |
Apple, Inc. | 7.3 |
Microsoft Corp. | 6.2 |
Alphabet, Inc. Class A | 3.8 |
Amazon.com, Inc. | 3.7 |
Johnson & Johnson | 2.1 |
Berkshire Hathaway, Inc. Class B | 2.0 |
Visa, Inc. Class A | 1.7 |
Merck & Co., Inc. | 1.6 |
Pfizer, Inc. | 1.6 |
Bristol-Myers Squibb Co. | 1.5 |
31.5 |
% of fund's net assets | ||
Information Technology | 27.6 | |
Health Care | 14.2 | |
Financials | 10.9 | |
Consumer Discretionary | 10.9 | |
Industrials | 9.0 | |
Communication Services | 7.7 | |
Consumer Staples | 5.9 | |
Energy | 4.5 | |
Real Estate | 3.3 | |
Materials | 3.0 | |
Utilities | 2.8 |
31 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.7% | ||
Diversified Telecommunication Services – 2.0% | ||
AT&T, Inc. | 228,055 | $ 4,282,873 |
Lumen Technologies, Inc. (a) | 239,550 | 2,608,699 |
Verizon Communications, Inc. | 117,910 | 5,446,263 |
12,337,835 | ||
Entertainment – 1.5% | ||
Activision Blizzard, Inc. | 48,340 | 3,864,783 |
Electronic Arts, Inc. | 25,209 | 3,308,177 |
Warner Music Group Corp. Class A | 71,585 | 2,147,550 |
9,320,510 | ||
Media – 5.2% | ||
Cable One, Inc. | 1,902 | 2,618,445 |
Comcast Corp. Class A | 129,078 | 4,843,007 |
Fox Corp. Class A | 76,523 | 2,533,677 |
News Corp. Class A | 134,517 | 2,305,621 |
Nexstar Media Group, Inc. Class A | 17,473 | 3,291,389 |
Omnicom Group, Inc. | 39,871 | 2,784,591 |
Paramount Global Class B | 95,399 | 2,256,186 |
Sirius XM Holdings, Inc. (a) | 440,054 | 2,939,561 |
TEGNA, Inc. | 147,489 | 3,088,420 |
The Interpublic Group of Cos., Inc. | 83,829 | 2,503,972 |
The New York Times Co. Class A | 70,898 | 2,265,191 |
31,430,060 | ||
TOTAL COMMUNICATION SERVICES | 53,088,405 | |
CONSUMER DISCRETIONARY – 10.4% | ||
Hotels, Restaurants & Leisure – 2.8% | ||
McDonald's Corp. | 36,825 | 9,698,600 |
Starbucks Corp. | 86,737 | 7,353,563 |
17,052,163 | ||
Household Durables – 0.8% | ||
Persimmon PLC | 200,948 | 4,607,015 |
Multiline Retail – 1.0% | ||
Target Corp. | 38,337 | 6,263,499 |
Specialty Retail – 3.8% | ||
Dick's Sporting Goods, Inc. (a) | 59,535 | 5,571,880 |
Lowe's Cos., Inc. | 38,809 | 7,433,088 |
The Home Depot, Inc. | 34,466 | 10,372,198 |
23,377,166 | ||
Textiles, Apparel & Luxury Goods – 2.0% | ||
NIKE, Inc. Class B | 65,060 | 7,476,695 |
VF Corp. | 107,995 | 4,825,217 |
12,301,912 | ||
TOTAL CONSUMER DISCRETIONARY | 63,601,755 | |
CONSUMER STAPLES – 5.9% | ||
Beverages – 1.1% | ||
The Coca-Cola Co. | 109,630 | 7,034,957 |
| ||
Shares | Value | |
Food & Staples Retailing – 1.1% | ||
Costco Wholesale Corp. | 12,670 | $ 6,858,271 |
Household Products – 1.3% | ||
The Procter & Gamble Co. | 56,205 | 7,807,437 |
Tobacco – 2.4% | ||
Altria Group, Inc. | 88,380 | 3,876,347 |
British American Tobacco PLC | 68,785 | 2,695,703 |
Imperial Brands PLC | 127,292 | 2,786,681 |
Philip Morris International, Inc. | 53,341 | 5,182,078 |
14,540,809 | ||
TOTAL CONSUMER STAPLES | 36,241,474 | |
ENERGY – 4.3% | ||
Oil, Gas & Consumable Fuels – 4.3% | ||
Chevron Corp. | 47,822 | 7,832,287 |
Exxon Mobil Corp. | 95,987 | 9,304,020 |
Kinder Morgan, Inc. | 167,780 | 3,018,362 |
ONEOK, Inc. (a) | 44,874 | 2,680,773 |
The Williams Cos., Inc. | 97,236 | 3,314,775 |
Woodside Energy Group Ltd. | 7,336 | 163,708 |
TOTAL ENERGY | 26,313,925 | |
FINANCIALS – 10.6% | ||
Banks – 5.2% | ||
Bank of America Corp. | 207,541 | 7,016,961 |
Citigroup, Inc. | 98,488 | 5,111,527 |
JPMorgan Chase & Co. | 75,861 | 8,751,325 |
Truist Financial Corp. | 90,429 | 4,563,952 |
Wells Fargo & Co. | 142,188 | 6,237,787 |
31,681,552 | ||
Capital Markets – 3.3% | ||
Blackstone, Inc. Class A | 43,581 | 4,448,313 |
Goldman Sachs Group, Inc. | 17,588 | 5,863,663 |
Morgan Stanley | 65,535 | 5,524,601 |
T Rowe Price Group, Inc. | 33,294 | 4,110,810 |
19,947,387 | ||
Consumer Finance – 0.5% | ||
OneMain Holdings, Inc. (a) | 87,054 | 3,238,409 |
Insurance – 0.9% | ||
The Progressive Corp. | 49,303 | 5,672,803 |
Mortgage Real Estate Investment Trusts (REITs) – 0.7% | ||
Annaly Capital Management, Inc. | 601,275 | 4,136,772 |
TOTAL FINANCIALS | 64,676,923 | |
HEALTH CARE – 14.5% | ||
Biotechnology – 4.9% | ||
AbbVie, Inc. | 81,056 | 11,632,347 |
Amgen, Inc. | 42,348 | 10,479,860 |
Annual Report | 32 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Gilead Sciences, Inc. | 134,522 | $ 8,037,689 |
30,149,896 | ||
Health Care Equipment & Supplies – 1.5% | ||
Medtronic PLC | 94,635 | 8,755,630 |
Pharmaceuticals – 8.1% | ||
Bristol-Myers Squibb Co. | 151,855 | 11,203,862 |
Johnson & Johnson | 84,728 | 14,786,731 |
Merck & Co., Inc. | 134,657 | 12,030,256 |
Pfizer, Inc. | 228,632 | 11,548,202 |
49,569,051 | ||
TOTAL HEALTH CARE | 88,474,577 | |
INDUSTRIALS – 8.7% | ||
Aerospace & Defense – 1.0% | ||
Lockheed Martin Corp. | 15,199 | 6,289,498 |
Air Freight & Logistics – 1.0% | ||
United Parcel Service, Inc. Class B | 30,789 | 6,000,468 |
Electrical Equipment – 0.8% | ||
Emerson Electric Co. | 55,305 | 4,981,322 |
Industrial Conglomerates – 2.5% | ||
3M Co. | 36,013 | 5,158,502 |
Honeywell International, Inc. | 33,913 | 6,526,896 |
Jardine Matheson Holdings Ltd. | 73,228 | 3,865,706 |
15,551,104 | ||
Machinery – 2.3% | ||
AGCO Corp. | 39,341 | 4,285,022 |
Caterpillar, Inc. | 30,562 | 6,058,916 |
Volvo AB Class B | 193,750 | 3,450,391 |
13,794,329 | ||
Road & Rail – 1.1% | ||
Union Pacific Corp. | 28,203 | 6,410,542 |
TOTAL INDUSTRIALS | 53,027,263 | |
INFORMATION TECHNOLOGY – 28.0% | ||
Communications Equipment – 1.4% | ||
Cisco Systems, Inc. | 192,185 | 8,719,433 |
IT Services – 5.4% | ||
International Business Machines Corp. | 64,588 | 8,447,464 |
The Western Union Co. | 379,789 | 6,464,009 |
TietoEVRY Oyj | 231,465 | 6,254,350 |
Visa, Inc. Class A | 56,342 | 11,950,702 |
33,116,525 | ||
Semiconductors & Semiconductor Equipment – 5.8% | ||
Broadcom, Inc. | 18,434 | 9,871,038 |
Intel Corp. | 207,898 | 7,548,777 |
QUALCOMM, Inc. | 56,380 | 8,178,483 |
| ||
Shares | Value | |
Texas Instruments, Inc. | 54,124 | $ 9,682,242 |
35,280,540 | ||
Software – 7.9% | ||
Microsoft Corp. | 140,677 | 39,493,661 |
Oracle Corp. | 110,243 | 8,581,315 |
48,074,976 | ||
Technology Hardware, Storage & Peripherals – 7.5% | ||
Apple, Inc. | 284,321 | 46,205,006 |
TOTAL INFORMATION TECHNOLOGY | 171,396,480 | |
MATERIALS – 2.5% | ||
Chemicals – 1.7% | ||
Air Products & Chemicals, Inc. | 8,316 | 2,064,281 |
Dow, Inc. | 33,839 | 1,800,573 |
Linde PLC | 12,444 | 3,758,088 |
LyondellBasell Industries N.V. Class A | 17,752 | 1,582,058 |
Yara International ASA | 25,892 | 1,100,762 |
10,305,762 | ||
Containers & Packaging – 0.2% | ||
International Paper Co. | 34,745 | 1,486,044 |
Metals & Mining – 0.6% | ||
BHP Group Ltd. | 40,582 | 1,095,345 |
Fortescue Metals Group Ltd. | 90,364 | 1,156,447 |
Newmont Corp. | 34,529 | 1,563,473 |
3,815,265 | ||
TOTAL MATERIALS | 15,607,071 | |
REAL ESTATE – 3.4% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
American Tower Corp. | 12,037 | 3,259,981 |
Crown Castle International Corp. | 13,446 | 2,429,154 |
Digital Realty Trust, Inc. | 12,715 | 1,684,102 |
Iron Mountain, Inc. | 31,060 | 1,506,099 |
Medical Properties Trust, Inc. | 65,113 | 1,122,548 |
Omega Healthcare Investors, Inc. | 46,619 | 1,445,189 |
Prologis, Inc. | 19,320 | 2,561,059 |
Simon Property Group, Inc. | 13,494 | 1,465,988 |
SL Green Realty Corp. | 18,126 | 899,956 |
VICI Properties, Inc. | 52,822 | 1,805,984 |
WP Carey, Inc. | 18,753 | 1,674,643 |
19,854,703 | ||
Real Estate Management & Development – 0.2% | ||
Hongkong Land Holdings Ltd. | 215,800 | 1,120,002 |
TOTAL REAL ESTATE | 20,974,705 | |
UTILITIES – 2.8% | ||
Electric Utilities – 2.8% | ||
American Electric Power Co., Inc. | 26,347 | 2,596,760 |
Duke Energy Corp. | 27,816 | 3,057,813 |
Edison International | 33,090 | 2,242,509 |
33 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Electric Utilities – continued | ||
Exelon Corp. | 53,345 | $ 2,480,009 |
Pinnacle West Capital Corp. | 25,375 | 1,864,301 |
PPL Corp. | 67,900 | 1,974,532 |
The Southern Co. | 41,041 | 3,155,643 |
TOTAL UTILITIES | 17,371,567 | |
TOTAL COMMON STOCKS (Cost $569,049,523) | 610,774,145 | |
Money Market Funds – 3.0% | ||
Fidelity Cash Central Fund, 2.01% (b) | 1,663,905 | 1,664,238 |
Fidelity Securities Lending Cash Central Fund, 2.01% (b)(c) | 16,550,270 | 16,551,925 |
TOTAL MONEY MARKET FUNDS (Cost $18,216,163) | 18,216,163 | |
TOTAL INVESTMENT IN SECURITIES – 102.8% (Cost $587,265,686) | 628,990,308 | |
NET OTHER ASSETS (LIABILITIES) – (2.8%) | (16,847,515) | |
NET ASSETS – 100.0% | $ 612,142,793 |
Legend | ||
(a) | Security or a portion of the security is on loan at period end. | |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(c) | 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 Contracts (United States) | 5 | September 2022 | $1,033,375 | $75,785 | $75,785 |
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, 2.01% | $ 654,480 | $ 54,792,330 | $ 53,782,572 | $ 3,230 | $— | $— | $ 1,664,238 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 2,620,350 | 106,586,070 | 92,654,495 | 79,206 | — | — | $16,551,925 | 0.0% | ||||||
Total | $3,274,830 | $161,378,400 | $146,437,067 | $82,436 | $— | $— | $18,216,163 |
Annual Report | 34 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 53,088,405 | $ 53,088,405 | $ — | $ — | ||||
Consumer Discretionary | 63,601,755 | 63,601,755 | — | — | ||||
Consumer Staples | 36,241,474 | 36,241,474 | — | — | ||||
Energy | 26,313,925 | 26,313,925 | — | — | ||||
Financials | 64,676,923 | 64,676,923 | — | — | ||||
Health Care | 88,474,577 | 88,474,577 | — | — | ||||
Industrials | 53,027,263 | 53,027,263 | — | — | ||||
Information Technology | 171,396,480 | 171,396,480 | — | — | ||||
Materials | 15,607,071 | 15,607,071 | — | — | ||||
Real Estate | 20,974,705 | 20,974,705 | — | — | ||||
Utilities | 17,371,567 | 17,371,567 | — | — | ||||
Money Market Funds | 18,216,163 | 18,216,163 | — | — | ||||
Total Investments in Securities: | $ 628,990,308 | $ 628,990,308 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 75,785 | $ 75,785 | $ — | $ — | ||||
Total Assets | $ 75,785 | $ 75,785 | — | $ — | ||||
Total Derivative Instruments: | $ 75,785 | $ 75,785 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $75,785 | $0 | |
Total Equity Risk | 75,785 | 0 | |
Total Value of Derivatives | $75,785 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
35 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 2.4% | ||
Diversified Telecommunication Services – 0.6% | ||
AT&T, Inc. | 129,956 | $ 2,440,574 |
Lumen Technologies, Inc. (a) | 137,149 | 1,493,552 |
Verizon Communications, Inc. | 67,191 | 3,103,552 |
7,037,678 | ||
Entertainment – 0.4% | ||
Activision Blizzard, Inc. | 27,546 | 2,202,303 |
Electronic Arts, Inc. | 14,367 | 1,885,381 |
Warner Music Group Corp. Class A | 40,985 | 1,229,550 |
5,317,234 | ||
Media – 1.4% | ||
Cable One, Inc. | 1,088 | 1,497,828 |
Comcast Corp. Class A | 73,462 | 2,756,294 |
Fox Corp. Class A | 43,811 | 1,450,582 |
News Corp. Class A | 77,015 | 1,320,037 |
Nexstar Media Group, Inc. Class A | 9,936 | 1,871,644 |
Omnicom Group, Inc. | 22,826 | 1,594,168 |
Paramount Global Class B | 54,619 | 1,291,739 |
Sirius XM Holdings, Inc. (a) | 251,946 | 1,682,999 |
TEGNA, Inc. | 83,792 | 1,754,605 |
The Interpublic Group of Cos., Inc. | 47,995 | 1,433,611 |
The New York Times Co. Class A | 40,590 | 1,296,851 |
17,950,358 | ||
TOTAL COMMUNICATION SERVICES | 30,305,270 | |
CONSUMER DISCRETIONARY – 4.4% | ||
Hotels, Restaurants & Leisure – 1.6% | ||
Darden Restaurants, Inc. | 42,460 | 5,285,845 |
McDonald's Corp. | 31,726 | 8,355,677 |
Starbucks Corp. | 74,724 | 6,335,101 |
19,976,623 | ||
Household Durables – 0.3% | ||
Persimmon PLC | 172,755 | 3,960,650 |
Multiline Retail – 0.4% | ||
Target Corp. | 33,044 | 5,398,729 |
Specialty Retail – 1.6% | ||
Dick's Sporting Goods, Inc. (a) | 51,308 | 4,801,916 |
Lowe's Cos., Inc. | 33,440 | 6,404,763 |
The Home Depot, Inc. | 29,702 | 8,938,520 |
20,145,199 | ||
Textiles, Apparel & Luxury Goods – 0.5% | ||
NIKE, Inc. Class B | 56,064 | 6,442,875 |
TOTAL CONSUMER DISCRETIONARY | 55,924,076 | |
CONSUMER STAPLES – 0.1% | ||
Personal Products – 0.1% | ||
Haleon PLC (b) | 345,827 | 1,228,002 |
| ||
Shares | Value | |
ENERGY – 13.5% | ||
Oil, Gas & Consumable Fuels – 13.5% | ||
Chevron Corp. | 254,825 | $ 41,735,239 |
Exxon Mobil Corp. | 460,550 | 44,641,111 |
Kinder Morgan, Inc. | 1,566,094 | 28,174,031 |
ONEOK, Inc. (a) | 432,670 | 25,847,706 |
The Williams Cos., Inc. | 895,631 | 30,532,061 |
Woodside Energy Group Ltd. | 78,042 | 1,741,558 |
TOTAL ENERGY | 172,671,706 | |
FINANCIALS – 17.2% | ||
Banks – 6.5% | ||
Bank of America Corp. | 615,633 | 20,814,552 |
Citigroup, Inc. | 338,220 | 17,553,618 |
JPMorgan Chase & Co. | 214,678 | 24,765,254 |
Wells Fargo & Co. | 452,198 | 19,837,926 |
82,971,350 | ||
Capital Markets – 5.5% | ||
Blackstone, Inc. Class A | 155,746 | 15,896,994 |
Goldman Sachs Group, Inc. | 60,824 | 20,278,114 |
Morgan Stanley | 221,170 | 18,644,631 |
T Rowe Price Group, Inc. | 128,498 | 15,865,648 |
70,685,387 | ||
Consumer Finance – 1.0% | ||
OneMain Holdings, Inc. | 351,213 | 13,065,124 |
Insurance – 2.9% | ||
Old Republic International Corp. | 693,668 | 16,141,654 |
The Progressive Corp. | 182,285 | 20,973,712 |
37,115,366 | ||
Mortgage Real Estate Investment Trusts (REITs) – 1.3% | ||
Annaly Capital Management, Inc. | 2,402,635 | 16,530,129 |
TOTAL FINANCIALS | 220,367,356 | |
HEALTH CARE – 6.7% | ||
Biotechnology – 2.4% | ||
AbbVie, Inc. | 81,865 | 11,748,446 |
Amgen, Inc. | 42,968 | 10,633,291 |
Gilead Sciences, Inc. | 136,778 | 8,172,486 |
30,554,223 | ||
Pharmaceuticals – 4.3% | ||
Bristol-Myers Squibb Co. | 154,112 | 11,370,383 |
GSK PLC | 276,662 | 5,816,304 |
Johnson & Johnson | 85,114 | 14,854,095 |
Merck & Co., Inc. | 136,190 | 12,167,215 |
Pfizer, Inc. | 230,540 | 11,644,575 |
55,852,572 | ||
TOTAL HEALTH CARE | 86,406,795 |
Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – 1.9% | ||
Aerospace & Defense – 0.2% | ||
Lockheed Martin Corp. | 6,946 | $ 2,874,324 |
Air Freight & Logistics – 0.2% | ||
United Parcel Service, Inc. Class B | 14,026 | 2,733,527 |
Construction & Engineering – 0.2% | ||
ACS Actividades de Construccion y Servicios S.A. | 78,160 | 1,865,679 |
Industrial Conglomerates – 0.4% | ||
3M Co. | 16,427 | 2,353,003 |
Honeywell International, Inc. | 15,452 | 2,973,892 |
5,326,895 | ||
Machinery – 0.5% | ||
AGCO Corp. | 18,041 | 1,965,026 |
Caterpillar, Inc. | 13,946 | 2,764,794 |
Volvo AB Class B | 88,676 | 1,579,184 |
6,309,004 | ||
Road & Rail – 0.4% | ||
Aurizon Holdings Ltd. | 775,911 | 2,176,552 |
Union Pacific Corp. | 12,849 | 2,920,578 |
5,097,130 | ||
TOTAL INDUSTRIALS | 24,206,559 | |
INFORMATION TECHNOLOGY – 20.6% | ||
Communications Equipment – 1.0% | ||
Cisco Systems, Inc. | 282,939 | 12,836,943 |
IT Services – 3.8% | ||
International Business Machines Corp. | 94,133 | 12,311,655 |
The Western Union Co. | 544,553 | 9,268,292 |
TietoEVRY Oyj | 330,696 | 8,935,643 |
Visa, Inc. Class A | 83,733 | 17,760,607 |
48,276,197 | ||
Semiconductors & Semiconductor Equipment – 4.6% | ||
Broadcom, Inc. | 27,150 | 14,538,282 |
Intel Corp. | 305,186 | 11,081,303 |
NVIDIA Corp. | 102,257 | 18,572,939 |
Texas Instruments, Inc. | 79,193 | 14,166,836 |
58,359,360 | ||
Software – 5.7% | ||
Microsoft Corp. | 215,125 | 60,394,192 |
Oracle Corp. | 160,826 | 12,518,696 |
72,912,888 | ||
Technology Hardware, Storage & Peripherals – 5.5% | ||
Apple, Inc. | 435,541 | 70,779,768 |
TOTAL INFORMATION TECHNOLOGY | 263,165,156 | |
MATERIALS – 9.6% | ||
Chemicals – 5.7% | ||
Air Products & Chemicals, Inc. | 58,831 | 14,603,619 |
| ||
Shares | Value | |
Dow, Inc. | 261,188 | $ 13,897,814 |
Linde PLC | 62,949 | 19,010,598 |
LyondellBasell Industries N.V. Class A | 153,826 | 13,708,973 |
Yara International ASA | 272,789 | 11,597,236 |
72,818,240 | ||
Containers & Packaging – 1.1% | ||
International Paper Co. | 318,206 | 13,609,670 |
Metals & Mining – 2.8% | ||
BHP Group Ltd. | 431,899 | 11,657,347 |
Fortescue Metals Group Ltd. | 961,716 | 12,307,710 |
Newmont Corp. | 260,756 | 11,807,032 |
35,772,089 | ||
TOTAL MATERIALS | 122,199,999 | |
REAL ESTATE – 11.5% | ||
Equity Real Estate Investment Trusts (REITs) – 11.5% | ||
American Tower Corp. | 59,470 | 16,106,260 |
Crown Castle International Corp. | 75,827 | 13,698,906 |
Digital Realty Trust, Inc. | 85,759 | 11,358,780 |
Gaming and Leisure Properties, Inc. | 262,649 | 13,655,121 |
Iron Mountain, Inc. | 255,025 | 12,366,162 |
Medical Properties Trust, Inc. | 527,783 | 9,098,979 |
Omega Healthcare Investors, Inc. | 404,807 | 12,549,017 |
Prologis, Inc. | 95,606 | 12,673,531 |
Simon Property Group, Inc. | 87,943 | 9,554,128 |
SL Green Realty Corp. (a) | 157,654 | 7,827,521 |
VICI Properties, Inc. | 418,322 | 14,302,429 |
WP Carey, Inc. | 152,653 | 13,631,913 |
TOTAL REAL ESTATE | 146,822,747 | |
UTILITIES – 11.8% | ||
Electric Utilities – 9.9% | ||
American Electric Power Co., Inc. | 221,383 | 21,819,509 |
Duke Energy Corp. | 200,135 | 22,000,841 |
Edison International | 313,799 | 21,266,158 |
Pinnacle West Capital Corp. | 265,875 | 19,533,836 |
PPL Corp. | 647,945 | 18,842,241 |
The Southern Co. | 301,160 | 23,156,192 |
126,618,777 | ||
Multi-Utilities – 1.9% | ||
Sempra Energy | 145,333 | 24,096,211 |
TOTAL UTILITIES | 150,714,988 | |
TOTAL COMMON STOCKS (Cost $1,222,338,336) | 1,274,012,654 | |
Money Market Funds – 1.5% | ||
Fidelity Cash Central Fund, 2.01% (c) | 2,742,851 | 2,743,400 |
37 | Annual Report |
Money Market Funds – continued | ||
Shares | Value | |
Fidelity Securities Lending Cash Central Fund, 2.01% (c)(d) | 16,057,744 | $ 16,059,350 |
TOTAL MONEY MARKET FUNDS (Cost $18,802,750) | 18,802,750 | |
TOTAL INVESTMENT IN SECURITIES – 101.2% (Cost $1,241,141,086) | 1,292,815,404 | |
NET OTHER ASSETS (LIABILITIES) – (1.2%) | (14,761,209) | |
NET ASSETS – 100.0% | $1,278,054,195 |
Legend | ||
(a) | Security or a portion of the security is on loan at period end. | |
(b) | Non-income producing. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Micro E-mini S&P 500 Index Contracts (United States) | 18 | September 2022 | $3,720,150 | $311,911 | $311,911 |
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, 2.01% | $3,234,325 | $138,498,201 | $138,989,126 | $ 8,364 | $— | $— | $ 2,743,400 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 1,661,850 | 264,332,443 | 249,934,943 | 62,843 | — | — | $16,059,350 | 0.0% | ||||||
Total | $4,896,175 | $402,830,644 | $388,924,069 | $71,207 | $— | $— | $18,802,750 |
Annual Report | 38 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 30,305,270 | $ 30,305,270 | $ — | $ — | ||||
Consumer Discretionary | 55,924,076 | 55,924,076 | — | — | ||||
Consumer Staples | 1,228,002 | 1,228,002 | — | — | ||||
Energy | 172,671,706 | 172,671,706 | — | — | ||||
Financials | 220,367,356 | 220,367,356 | — | — | ||||
Health Care | 86,406,795 | 86,406,795 | — | — | ||||
Industrials | 24,206,559 | 24,206,559 | — | — | ||||
Information Technology | 263,165,156 | 263,165,156 | — | — | ||||
Materials | 122,199,999 | 122,199,999 | — | — | ||||
Real Estate | 146,822,747 | 146,822,747 | — | — | ||||
Utilities | 150,714,988 | 150,714,988 | — | — | ||||
Money Market Funds | 18,802,750 | 18,802,750 | — | — | ||||
Total Investments in Securities: | $ 1,292,815,404 | $ 1,292,815,404 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 311,911 | $ 311,911 | $ — | $ — | ||||
Total Assets | $ 311,911 | $ 311,911 | — | $ — | ||||
Total Derivative Instruments: | $ 311,911 | $ 311,911 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $311,911 | $0 | |
Total Equity Risk | 311,911 | 0 | |
Total Value of Derivatives | $311,911 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
39 | Annual Report |
Common Stocks – 99.7% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.2% | ||
Diversified Telecommunication Services – 1.5% | ||
AT&T, Inc. | 158,540 | $2,977,381 |
Verizon Communications, Inc. | 81,794 | 3,778,065 |
6,755,446 | ||
Entertainment – 0.7% | ||
Activision Blizzard, Inc. | 33,893 | 2,709,745 |
Warner Bros Discovery, Inc. (a) | 38,354 | 575,310 |
3,285,055 | ||
Interactive Media & Services – 3.6% | ||
Alphabet, Inc. Class A (a) | 137,986 | 16,050,532 |
Media – 1.6% | ||
Cable One, Inc. | 1,349 | 1,857,141 |
Comcast Corp. Class A | 89,416 | 3,354,889 |
Omnicom Group, Inc. | 28,255 | 1,973,329 |
7,185,359 | ||
Wireless Telecommunication Services – 0.8% | ||
T-Mobile US, Inc. (a) | 22,987 | 3,288,520 |
TOTAL COMMUNICATION SERVICES | 36,564,912 | |
CONSUMER DISCRETIONARY – 11.3% | ||
Diversified Consumer Services – 0.7% | ||
Service Corp. International | 38,673 | 2,879,592 |
Hotels, Restaurants & Leisure – 2.2% | ||
Domino's Pizza, Inc. | 5,568 | 2,183,268 |
McDonald's Corp. | 16,810 | 4,427,250 |
Starbucks Corp. | 36,582 | 3,101,422 |
9,711,940 | ||
Household Durables – 0.4% | ||
Garmin Ltd. | 20,002 | 1,952,595 |
Internet & Direct Marketing Retail – 3.3% | ||
Amazon.com, Inc. (a) | 109,837 | 14,822,503 |
Multiline Retail – 0.8% | ||
Dollar General Corp. | 13,690 | 3,401,007 |
Specialty Retail – 3.1% | ||
AutoZone, Inc. (a) | 1,356 | 2,898,301 |
O'Reilly Automotive, Inc. (a) | 4,201 | 2,955,781 |
The Home Depot, Inc. | 17,588 | 5,292,933 |
The TJX Cos., Inc. | 45,793 | 2,800,700 |
13,947,715 | ||
Textiles, Apparel & Luxury Goods – 0.8% | ||
NIKE, Inc. Class B | 29,486 | 3,388,531 |
TOTAL CONSUMER DISCRETIONARY | 50,103,883 | |
CONSUMER STAPLES – 5.6% | ||
Beverages – 1.0% | ||
PepsiCo, Inc. | 25,781 | 4,510,644 |
Food & Staples Retailing – 0.9% | ||
Walmart, Inc. | 28,885 | 3,814,264 |
| ||
Shares | Value | |
Food Products – 1.0% | ||
Hormel Foods Corp. | 43,362 | $2,139,481 |
The Hershey Co. | 11,011 | 2,510,067 |
4,649,548 | ||
Household Products – 2.7% | ||
Colgate-Palmolive Co. | 32,323 | 2,545,113 |
Kimberly-Clark Corp. | 17,730 | 2,336,637 |
The Clorox Co. | 12,977 | 1,840,658 |
The Procter & Gamble Co. | 37,627 | 5,226,766 |
11,949,174 | ||
TOTAL CONSUMER STAPLES | 24,923,630 | |
ENERGY – 4.1% | ||
Oil, Gas & Consumable Fuels – 4.1% | ||
Cheniere Energy, Inc. | 11,944 | 1,786,584 |
Chevron Corp. | 28,681 | 4,697,374 |
Coterra Energy, Inc. | 55,877 | 1,709,277 |
Exxon Mobil Corp. | 58,859 | 5,705,203 |
Kinder Morgan, Inc. | 83,546 | 1,502,993 |
ONEOK, Inc. (b) | 22,211 | 1,326,885 |
The Williams Cos., Inc. | 48,715 | 1,660,694 |
TOTAL ENERGY | 18,389,010 | |
FINANCIALS – 11.9% | ||
Capital Markets – 3.9% | ||
CME Group, Inc. | 17,874 | 3,565,506 |
FactSet Research Systems, Inc. | 8,472 | 3,640,249 |
Houlihan Lokey, Inc. | 33,500 | 2,832,760 |
Intercontinental Exchange, Inc. | 32,474 | 3,312,023 |
S&P Global, Inc. | 10,764 | 4,057,274 |
17,407,812 | ||
Insurance – 8.0% | ||
Arthur J Gallagher & Co. | 24,117 | 4,316,702 |
Assurant, Inc. | 22,893 | 4,024,131 |
Brown & Brown, Inc. | 53,267 | 3,467,682 |
Chubb Ltd. | 20,919 | 3,946,160 |
Erie Indemnity Co. Class A (b) | 18,755 | 3,814,017 |
Marsh & McLennan Cos., Inc. | 27,648 | 4,533,166 |
The Progressive Corp. | 37,093 | 4,267,921 |
The Travelers Cos., Inc. | 22,290 | 3,537,423 |
WR Berkley Corp. | 59,290 | 3,707,404 |
35,614,606 | ||
TOTAL FINANCIALS | 53,022,418 | |
HEALTH CARE – 13.6% | ||
Biotechnology – 1.2% | ||
Amgen, Inc. | 20,635 | 5,106,543 |
Health Care Equipment & Supplies – 4.6% | ||
Abbott Laboratories | 44,069 | 4,796,470 |
Baxter International, Inc. | 43,374 | 2,544,319 |
Annual Report | 40 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – continued | ||
Danaher Corp. | 18,091 | $ 5,272,984 |
Medtronic PLC | 46,432 | 4,295,889 |
ResMed, Inc. | 15,370 | 3,696,792 |
20,606,454 | ||
Health Care Providers & Services – 2.1% | ||
UnitedHealth Group, Inc. | 16,768 | 9,093,957 |
Pharmaceuticals – 5.7% | ||
Eli Lilly & Co. | 21,861 | 7,207,353 |
Johnson & Johnson | 47,099 | 8,219,718 |
Merck & Co., Inc. | 68,445 | 6,114,876 |
Zoetis, Inc. | 21,353 | 3,897,990 |
25,439,937 | ||
TOTAL HEALTH CARE | 60,246,891 | |
INDUSTRIALS – 9.4% | ||
Aerospace & Defense – 2.3% | ||
L3Harris Technologies, Inc. | 12,517 | 3,003,705 |
Lockheed Martin Corp. | 8,334 | 3,448,693 |
Northrop Grumman Corp. | 7,546 | 3,613,779 |
10,066,177 | ||
Air Freight & Logistics – 0.6% | ||
CH Robinson Worldwide, Inc. | 26,239 | 2,904,657 |
Commercial Services & Supplies – 2.0% | ||
Republic Services, Inc. | 19,749 | 2,738,397 |
Rollins, Inc. | 74,865 | 2,887,543 |
Waste Management, Inc. | 19,313 | 3,178,147 |
8,804,087 | ||
Industrial Conglomerates – 0.6% | ||
3M Co. | 19,700 | 2,821,828 |
Machinery – 2.1% | ||
Graco, Inc. | 32,450 | 2,179,342 |
Otis Worldwide Corp. | 31,731 | 2,480,412 |
PACCAR, Inc. | 27,178 | 2,487,331 |
The Toro Co. | 24,150 | 2,076,658 |
9,223,743 | ||
Professional Services – 1.8% | ||
Booz Allen Hamilton Holding Corp. | 30,497 | 2,927,102 |
Exponent, Inc. | 24,644 | 2,476,475 |
Verisk Analytics, Inc. | 13,023 | 2,477,626 |
7,881,203 | ||
TOTAL INDUSTRIALS | 41,701,695 | |
INFORMATION TECHNOLOGY – 27.2% | ||
IT Services – 14.6% | ||
Akamai Technologies, Inc. (a) | 46,758 | 4,499,055 |
Amdocs Ltd. | 68,277 | 5,944,196 |
Automatic Data Processing, Inc. | 29,652 | 7,149,690 |
| ||
Shares | Value | |
Concentrix Corp. | 26,275 | $ 3,514,544 |
Fiserv, Inc. (a) | 54,890 | 5,800,775 |
Jack Henry & Associates, Inc. | 31,680 | 6,582,154 |
Mastercard, Inc. Class A | 22,500 | 7,960,275 |
Maximus, Inc. | 68,531 | 4,581,297 |
Paychex, Inc. | 46,830 | 6,007,352 |
VeriSign, Inc. (a) | 24,635 | 4,659,957 |
Visa, Inc. Class A | 40,212 | 8,529,367 |
65,228,662 | ||
Semiconductors & Semiconductor Equipment – 2.8% | ||
Intel Corp. | 150,333 | 5,458,591 |
Texas Instruments, Inc. | 39,252 | 7,021,791 |
12,480,382 | ||
Software – 9.8% | ||
Citrix Systems, Inc. | 51,781 | 5,251,111 |
Microsoft Corp. | 97,408 | 27,346,322 |
Oracle Corp. | 80,200 | 6,242,768 |
Tyler Technologies, Inc. (a) | 11,618 | 4,635,582 |
43,475,783 | ||
TOTAL INFORMATION TECHNOLOGY | 121,184,827 | |
MATERIALS – 2.5% | ||
Chemicals – 1.3% | ||
Air Products & Chemicals, Inc. | 5,132 | 1,273,917 |
Balchem Corp. | 5,895 | 800,305 |
Ecolab, Inc. | 6,770 | 1,118,201 |
Linde PLC | 7,971 | 2,407,242 |
5,599,665 | ||
Construction Materials – 0.4% | ||
Martin Marietta Materials, Inc. | 2,749 | 967,868 |
Vulcan Materials Co. | 5,610 | 927,501 |
1,895,369 | ||
Containers & Packaging – 0.6% | ||
AptarGroup, Inc. | 7,445 | 802,273 |
Ball Corp. | 11,805 | 866,723 |
Packaging Corp. of America | 6,257 | 879,797 |
2,548,793 | ||
Metals & Mining – 0.2% | ||
Newmont Corp. | 21,094 | 955,136 |
TOTAL MATERIALS | 10,998,963 | |
REAL ESTATE – 3.2% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
Agree Realty Corp. | 10,087 | 802,824 |
American Tower Corp. | 7,247 | 1,962,705 |
Crown Castle International Corp. | 7,903 | 1,427,756 |
CubeSmart | 13,871 | 636,263 |
Digital Realty Trust, Inc. | 7,089 | 938,938 |
Equinix, Inc. | 1,798 | 1,265,324 |
Equity Lifestyle Properties, Inc. | 9,423 | 692,779 |
41 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
Essex Property Trust, Inc. | 2,503 | $ 717,185 |
Extra Space Storage, Inc. | 4,346 | 823,654 |
Medical Properties Trust, Inc. | 33,269 | 573,558 |
Mid-America Apartment Communities, Inc. | 4,029 | 748,306 |
Prologis, Inc. | 11,716 | 1,553,073 |
Public Storage | 3,254 | 1,062,138 |
Realty Income Corp. | 14,731 | 1,089,947 |
TOTAL REAL ESTATE | 14,294,450 | |
UTILITIES – 2.7% | ||
Electric Utilities – 1.4% | ||
American Electric Power Co., Inc. | 16,475 | 1,623,776 |
Duke Energy Corp. | 17,711 | 1,946,970 |
Eversource Energy | 15,032 | 1,326,123 |
Xcel Energy, Inc. | 20,156 | 1,475,016 |
6,371,885 | ||
Multi-Utilities – 1.3% | ||
Ameren Corp. | 14,118 | 1,314,668 |
CMS Energy Corp. | 18,568 | 1,276,179 |
Consolidated Edison, Inc. | 15,279 | 1,516,746 |
WEC Energy Group, Inc. | 13,824 | 1,435,070 |
5,542,663 | ||
TOTAL UTILITIES | 11,914,548 | |
TOTAL COMMON STOCKS (Cost $431,452,966) | 443,345,227 |
Money Market Funds – 0.6% | ||
Shares | Value | |
Fidelity Cash Central Fund, 2.01% (c) | 1,126,573 | $ 1,126,798 |
Fidelity Securities Lending Cash Central Fund, 2.01% (c)(d) | 1,748,486 | 1,748,660 |
TOTAL MONEY MARKET FUNDS (Cost $2,875,458) | 2,875,458 | |
TOTAL INVESTMENT IN SECURITIES – 100.3% (Cost $434,328,424) | 446,220,685 | |
NET OTHER ASSETS (LIABILITIES) – (0.3%) | (1,357,925) | |
NET ASSETS – 100.0% | $ 444,862,760 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 70 | September 2022 | $1,446,725 | $114,995 | $114,995 |
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, 2.01% | $ 556,788 | $13,938,955 | $13,368,945 | $2,800 | $— | $— | $1,126,798 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 940,440 | 37,473,784 | 36,665,564 | 1,790 | — | — | $1,748,660 | 0.0% | ||||||
Total | $1,497,228 | $51,412,739 | $50,034,509 | $4,590 | $— | $— | $2,875,458 |
Annual Report | 42 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Equities: | |||||||||
Communication Services | $ 36,564,912 | $ 36,564,912 | $ — | $ — | |||||
Consumer Discretionary | 50,103,883 | 50,103,883 | — | — | |||||
Consumer Staples | 24,923,630 | 24,923,630 | — | — | |||||
Energy | 18,389,010 | 18,389,010 | — | — | |||||
Financials | 53,022,418 | 53,022,418 | — | — | |||||
Health Care | 60,246,891 | 60,246,891 | — | — | |||||
Industrials | 41,701,695 | 41,701,695 | — | — | |||||
Information Technology | 121,184,827 | 121,184,827 | — | — | |||||
Materials | 10,998,963 | 10,998,963 | — | — | |||||
Real Estate | 14,294,450 | 14,294,450 | — | — | |||||
Utilities | 11,914,548 | 11,914,548 | — | — | |||||
Money Market Funds | 2,875,458 | 2,875,458 | — | — | |||||
Total Investments in Securities: | $ 446,220,685 | $ 446,220,685 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 114,995 | $ 114,995 | $ — | $ — | |||||
Total Assets | $ 114,995 | $ 114,995 | $ — | $ — | |||||
Total Derivative Instruments: | $ 114,995 | $ 114,995 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $114,995 | $0 | |
Total Equity Risk | 114,995 | 0 | |
Total Value of Derivatives | $114,995 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
43 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.3% | ||
Entertainment – 1.2% | ||
AMC Entertainment Holdings, Inc. Class A (a)(b) | 48,124 | $700,686 |
Live Nation Entertainment, Inc. (a) | 7,595 | 713,854 |
1,414,540 | ||
Interactive Media & Services – 4.5% | ||
Alphabet, Inc. Class A (a) | 40,371 | 4,695,955 |
ZoomInfo Technologies, Inc. Class A (a) | 14,698 | 556,907 |
5,252,862 | ||
Media – 2.6% | ||
Fox Corp. Class A | 20,073 | 664,617 |
Liberty Media Corp-Liberty Formula One Class A (a) | 13,525 | 838,415 |
Nexstar Media Group, Inc. Class A | 4,313 | 812,440 |
The Interpublic Group of Cos., Inc. | 21,818 | 651,703 |
2,967,175 | ||
TOTAL COMMUNICATION SERVICES | 9,634,577 | |
CONSUMER DISCRETIONARY – 11.7% | ||
Automobiles – 2.4% | ||
Tesla, Inc. (a) | 3,081 | 2,746,557 |
Hotels, Restaurants & Leisure – 1.9% | ||
Hilton Worldwide Holdings, Inc. | 4,247 | 543,913 |
Marriott International, Inc. Class A | 3,697 | 587,158 |
McDonald's Corp. | 4,285 | 1,128,540 |
2,259,611 | ||
Internet & Direct Marketing Retail – 3.5% | ||
Amazon.com, Inc. (a) | 30,491 | 4,114,761 |
Multiline Retail – 0.9% | ||
Dollar Tree, Inc. (a) | 3,842 | 635,313 |
Macy's, Inc. | 22,394 | 395,254 |
1,030,567 | ||
Specialty Retail – 3.0% | ||
AutoZone, Inc. (a) | 320 | 683,965 |
Murphy USA, Inc. | 2,198 | 625,023 |
O'Reilly Automotive, Inc. (a) | 1,048 | 737,362 |
The Home Depot, Inc. | 4,823 | 1,451,434 |
3,497,784 | ||
TOTAL CONSUMER DISCRETIONARY | 13,649,280 | |
CONSUMER STAPLES – 6.1% | ||
Beverages – 2.1% | ||
PepsiCo, Inc. | 6,919 | 1,210,548 |
The Coca-Cola Co. | 18,976 | 1,217,690 |
2,428,238 | ||
Food & Staples Retailing – 1.9% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 7,942 | 537,673 |
Costco Wholesale Corp. | 2,240 | 1,212,512 |
| ||
Shares | Value | |
The Kroger Co. | 10,842 | $ 503,503 |
2,253,688 | ||
Food Products – 0.9% | ||
Bunge Ltd. | 4,568 | 421,763 |
The Hershey Co. | 2,562 | 584,034 |
1,005,797 | ||
Household Products – 1.2% | ||
The Procter & Gamble Co. | 10,229 | 1,420,910 |
TOTAL CONSUMER STAPLES | 7,108,633 | |
ENERGY – 4.4% | ||
Oil, Gas & Consumable Fuels – 4.4% | ||
APA Corp. | 8,369 | 311,076 |
Chevron Corp. | 7,556 | 1,237,522 |
ConocoPhillips | 6,806 | 663,108 |
Devon Energy Corp. | 6,356 | 399,475 |
Exxon Mobil Corp. | 15,950 | 1,546,033 |
Marathon Oil Corp. | 13,190 | 327,112 |
SM Energy Co. | 8,314 | 343,202 |
Targa Resources Corp. | 4,710 | 325,508 |
TOTAL ENERGY | 5,153,036 | |
FINANCIALS – 11.1% | ||
Banks – 1.0% | ||
Wells Fargo & Co. | 25,883 | 1,135,487 |
Capital Markets – 3.5% | ||
Ameriprise Financial, Inc. | 2,693 | 726,894 |
Ares Management Corp. Class A | 9,748 | 698,444 |
Blackstone, Inc. Class A | 8,196 | 836,566 |
CME Group, Inc. | 4,070 | 811,884 |
The Charles Schwab Corp. | 13,644 | 942,118 |
4,015,906 | ||
Consumer Finance – 0.7% | ||
American Express Co. | 5,576 | 858,816 |
Diversified Financial Services – 1.9% | ||
Berkshire Hathaway, Inc. Class B (a) | 7,467 | 2,244,580 |
Insurance – 4.0% | ||
American International Group, Inc. | 12,778 | 661,517 |
Aon PLC Class A | 2,873 | 836,158 |
Brown & Brown, Inc. | 11,554 | 752,165 |
Chubb Ltd. | 4,360 | 822,471 |
Marsh & McLennan Cos., Inc. | 5,475 | 897,681 |
The Travelers Cos., Inc. | 4,440 | 704,628 |
4,674,620 | ||
TOTAL FINANCIALS | 12,929,409 | |
HEALTH CARE – 14.4% | ||
Biotechnology – 2.2% | ||
AbbVie, Inc. | 10,984 | 1,576,314 |
Annual Report | 44 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Regeneron Pharmaceuticals, Inc. (a) | 1,676 | $ 974,912 |
2,551,226 | ||
Health Care Equipment & Supplies – 0.9% | ||
Lantheus Holdings, Inc. (a) | 13,758 | 1,055,514 |
Health Care Providers & Services – 6.1% | ||
Centene Corp. (a) | 11,993 | 1,114,989 |
CVS Health Corp. | 12,812 | 1,225,852 |
Elevance Health, Inc. | 2,437 | 1,162,693 |
McKesson Corp. | 3,203 | 1,094,081 |
UnitedHealth Group, Inc. | 4,564 | 2,475,240 |
7,072,855 | ||
Life Sciences Tools & Services – 1.4% | ||
Thermo Fisher Scientific, Inc. | 2,755 | 1,648,620 |
Pharmaceuticals – 3.8% | ||
Eli Lilly & Co. | 5,340 | 1,760,544 |
Intra-Cellular Therapies, Inc. (a) | 18,116 | 980,438 |
Pfizer, Inc. | 34,684 | 1,751,889 |
4,492,871 | ||
TOTAL HEALTH CARE | 16,821,086 | |
INDUSTRIALS – 8.3% | ||
Aerospace & Defense – 2.6% | ||
General Dynamics Corp. | 2,774 | 628,782 |
Lockheed Martin Corp. | 1,849 | 765,135 |
Northrop Grumman Corp. | 1,506 | 721,223 |
Raytheon Technologies Corp. | 9,632 | 897,799 |
3,012,939 | ||
Building Products – 1.0% | ||
Builders FirstSource, Inc. (a) | 8,147 | 553,996 |
Carlisle Cos., Inc. | 2,060 | 609,966 |
1,163,962 | ||
Commercial Services & Supplies – 1.1% | ||
Cintas Corp. | 1,553 | 660,786 |
Republic Services, Inc. | 4,454 | 617,591 |
1,278,377 | ||
Machinery – 1.0% | ||
Deere & Co. | 2,137 | 733,376 |
Evoqua Water Technologies Corp. (a) | 12,764 | 486,436 |
1,219,812 | ||
Professional Services – 0.9% | ||
KBR, Inc. | 10,991 | 585,051 |
Robert Half International, Inc. | 5,384 | 426,090 |
1,011,141 | ||
Road & Rail – 1.7% | ||
Avis Budget Group, Inc. (a)(b) | 1,944 | 353,866 |
CSX Corp. | 21,027 | 679,803 |
| ||
Shares | Value | |
Union Pacific Corp. | 4,055 | $ 921,702 |
1,955,371 | ||
TOTAL INDUSTRIALS | 9,641,602 | |
INFORMATION TECHNOLOGY – 26.6% | ||
Communications Equipment – 1.5% | ||
Arista Networks, Inc. (a) | 8,197 | 956,016 |
Juniper Networks, Inc. | 27,264 | 764,210 |
1,720,226 | ||
IT Services – 2.8% | ||
Accenture PLC Class A | 4,679 | 1,432,991 |
Cognizant Technology Solutions Corp. Class A | 12,919 | 877,975 |
Paychex, Inc. | 7,664 | 983,138 |
3,294,104 | ||
Semiconductors & Semiconductor Equipment – 5.9% | ||
Advanced Micro Devices, Inc. (a) | 13,776 | 1,301,419 |
Broadcom, Inc. | 2,670 | 1,429,731 |
Marvell Technology, Inc. | 16,851 | 938,264 |
NVIDIA Corp. | 11,887 | 2,159,036 |
ON Semiconductor Corp. (a) | 16,413 | 1,096,060 |
6,924,510 | ||
Software – 8.5% | ||
Datadog, Inc. Class A (a) | 8,235 | 840,052 |
Fortinet, Inc. (a) | 16,700 | 996,155 |
Microsoft Corp. | 25,361 | 7,119,847 |
Palo Alto Networks, Inc. (a) | 1,870 | 933,317 |
9,889,371 | ||
Technology Hardware, Storage & Peripherals – 7.9% | ||
Apple, Inc. | 51,545 | 8,376,578 |
Pure Storage, Inc. Class A (a) | 30,893 | 875,817 |
9,252,395 | ||
TOTAL INFORMATION TECHNOLOGY | 31,080,606 | |
MATERIALS – 2.7% | ||
Chemicals – 1.5% | ||
Albemarle Corp. | 1,219 | 297,814 |
CF Industries Holdings, Inc. | 2,696 | 257,441 |
Corteva, Inc. | 5,724 | 329,416 |
Linde PLC | 2,186 | 660,172 |
The Mosaic Co. | 4,294 | 226,122 |
1,770,965 | ||
Metals & Mining – 1.2% | ||
Alcoa Corp. | 3,801 | 193,433 |
Cleveland-Cliffs, Inc. (a) | 9,673 | 171,309 |
Freeport-McMoRan, Inc. | 9,583 | 302,344 |
Nucor Corp. | 2,275 | 308,945 |
Steel Dynamics, Inc. | 3,096 | 241,116 |
45 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
United States Steel Corp. | 8,191 | $ 193,717 |
1,410,864 | ||
TOTAL MATERIALS | 3,181,829 | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
AvalonBay Communities, Inc. | 1,368 | 292,670 |
Camden Property Trust | 1,675 | 236,343 |
Duke Realty Corp. | 5,184 | 324,311 |
Equity Residential | 3,674 | 288,005 |
Extra Space Storage, Inc. | 1,488 | 282,006 |
Independence Realty Trust, Inc. | 9,358 | 207,748 |
Iron Mountain, Inc. | 4,649 | 225,430 |
Kimco Realty Corp. | 10,377 | 229,435 |
Life Storage, Inc. | 1,881 | 236,799 |
Mid-America Apartment Communities, Inc. | 1,451 | 269,494 |
Prologis, Inc. | 3,631 | 481,325 |
Public Storage | 1,045 | 341,098 |
Rexford Industrial Realty, Inc. | 3,280 | 214,545 |
UDR, Inc. | 4,973 | 240,693 |
TOTAL REAL ESTATE | 3,869,902 | |
UTILITIES – 2.9% | ||
Electric Utilities – 1.7% | ||
Edison International | 5,361 | 363,315 |
Exelon Corp. | 9,123 | 424,128 |
FirstEnergy Corp. | 8,549 | 351,364 |
NextEra Energy, Inc. | 9,900 | 836,451 |
1,975,258 | ||
Gas Utilities – 0.3% | ||
National Fuel Gas Co. | 4,353 | 314,896 |
Independent Power and Renewable Electricity Producers – 0.3% | ||
Vistra Corp. | 12,891 | 333,232 |
| ||
Shares | Value | |
Multi-Utilities – 0.6% | ||
CenterPoint Energy, Inc. | 11,281 | $357,495 |
Consolidated Edison, Inc. | 4,195 | 416,438 |
773,933 | ||
TOTAL UTILITIES | 3,397,319 | |
TOTAL COMMON STOCKS (Cost $109,660,524) | 116,467,279 | |
Money Market Funds – 1.0% | ||
Fidelity Cash Central Fund, 2.01% (c) | 180,244 | 180,280 |
Fidelity Securities Lending Cash Central Fund, 2.01% (c)(d) | 1,004,750 | 1,004,850 |
TOTAL MONEY MARKET FUNDS (Cost $1,185,130) | 1,185,130 | |
TOTAL INVESTMENT IN SECURITIES – 100.8% (Cost $110,845,654) | 117,652,409 | |
NET OTHER ASSETS (LIABILITIES) – (0.8%) | (904,040) | |
NET ASSETS – 100.0% | $ 116,748,369 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 10 | September 2022 | $206,675 | $17,618 | $17,618 |
Annual Report | 46 |
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, 2.01% | $425,440 | $ 2,411,776 | $ 2,656,936 | $ 642 | $— | $— | $ 180,280 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | — | 18,895,143 | 17,890,293 | 9,717 | — | — | $1,004,850 | 0.0% | ||||||
Total | $425,440 | $21,306,919 | $20,547,229 | $10,359 | $— | $— | $1,185,130 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 9,634,577 | $ 9,634,577 | $ — | $ — | ||||
Consumer Discretionary | 13,649,280 | 13,649,280 | — | — | ||||
Consumer Staples | 7,108,633 | 7,108,633 | — | — | ||||
Energy | 5,153,036 | 5,153,036 | — | — | ||||
Financials | 12,929,409 | 12,929,409 | — | — | ||||
Health Care | 16,821,086 | 16,821,086 | — | — | ||||
Industrials | 9,641,602 | 9,641,602 | — | — | ||||
Information Technology | 31,080,606 | 31,080,606 | — | — | ||||
Materials | 3,181,829 | 3,181,829 | — | — | ||||
Real Estate | 3,869,902 | 3,869,902 | — | — | ||||
Utilities | 3,397,319 | 3,397,319 | — | — | ||||
Money Market Funds | 1,185,130 | 1,185,130 | — | — | ||||
Total Investments in Securities: | $ 117,652,409 | $ 117,652,409 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 17,618 | $ 17,618 | $ — | $ — | ||||
Total Assets | $ 17,618 | $ 17,618 | — | $ — | ||||
Total Derivative Instruments: | $ 17,618 | $ 17,618 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $17,618 | $0 | |
Total Equity Risk | 17,618 | 0 | |
Total Value of Derivatives | $17,618 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
47 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.0% | ||
Diversified Telecommunication Services – 0.8% | ||
Verizon Communications, Inc. | 46,521 | $ 2,148,805 |
Entertainment – 0.5% | ||
Activision Blizzard, Inc. | 17,824 | 1,425,029 |
Interactive Media & Services – 5.6% | ||
Alphabet, Inc. Class A (a) | 85,671 | 9,965,251 |
Match Group, Inc. (a) | 10,759 | 788,742 |
Meta Platforms, Inc. Class A (a) | 20,237 | 3,219,706 |
ZoomInfo Technologies, Inc. Class A (a) | 22,202 | 841,234 |
14,814,933 | ||
Media – 1.1% | ||
Comcast Corp. Class A | 50,908 | 1,910,068 |
Sirius XM Holdings, Inc. (b) | 154,592 | 1,032,675 |
2,942,743 | ||
TOTAL COMMUNICATION SERVICES | 21,331,510 | |
CONSUMER DISCRETIONARY – 11.2% | ||
Distributors – 0.6% | ||
Pool Corp. | 4,745 | 1,697,286 |
Hotels, Restaurants & Leisure – 3.8% | ||
Domino's Pizza, Inc. | 4,864 | 1,907,223 |
McDonald's Corp. | 12,937 | 3,407,218 |
Starbucks Corp. | 29,373 | 2,490,243 |
Yum! Brands, Inc. | 18,337 | 2,247,016 |
10,051,700 | ||
Multiline Retail – 0.8% | ||
Target Corp. | 12,925 | 2,111,686 |
Specialty Retail – 5.0% | ||
AutoZone, Inc. (a) | 1,152 | 2,462,273 |
Lowe's Cos., Inc. | 13,455 | 2,577,036 |
O'Reilly Automotive, Inc. (a) | 3,560 | 2,504,781 |
The Home Depot, Inc. | 12,786 | 3,847,819 |
Williams-Sonoma, Inc. (b) | 13,186 | 1,904,322 |
13,296,231 | ||
Textiles, Apparel & Luxury Goods – 1.0% | ||
NIKE, Inc. Class B | 22,781 | 2,617,993 |
TOTAL CONSUMER DISCRETIONARY | 29,774,896 | |
CONSUMER STAPLES – 6.1% | ||
Beverages – 2.3% | ||
Brown-Forman Corp. Class B | 19,348 | 1,436,008 |
Monster Beverage Corp. (a) | 16,864 | 1,679,992 |
The Coca-Cola Co. | 46,407 | 2,977,937 |
6,093,937 | ||
Food Products – 0.6% | ||
The Hershey Co. | 7,029 | 1,602,331 |
Household Products – 1.8% | ||
Kimberly-Clark Corp. | 11,315 | 1,491,204 |
| ||
Shares | Value | |
The Procter & Gamble Co. | 23,946 | $ 3,326,339 |
4,817,543 | ||
Tobacco – 1.4% | ||
Altria Group, Inc. | 36,914 | 1,619,048 |
Philip Morris International, Inc. | 22,444 | 2,180,435 |
3,799,483 | ||
TOTAL CONSUMER STAPLES | 16,313,294 | |
ENERGY – 4.3% | ||
Oil, Gas & Consumable Fuels – 4.3% | ||
APA Corp. | 35,815 | 1,331,244 |
ConocoPhillips | 21,636 | 2,107,995 |
Coterra Energy, Inc. | 55,715 | 1,704,322 |
DT Midstream, Inc. | 22,876 | 1,258,866 |
EOG Resources, Inc. | 14,279 | 1,588,110 |
Kinder Morgan, Inc. | 79,947 | 1,438,247 |
Texas Pacific Land Corp. | 1,098 | 2,013,567 |
TOTAL ENERGY | 11,442,351 | |
FINANCIALS – 10.7% | ||
Banks – 2.5% | ||
East West Bancorp, Inc. | 23,045 | 1,654,170 |
SVB Financial Group (a) | 3,554 | 1,434,217 |
US Bancorp | 41,231 | 1,946,103 |
Western Alliance Bancorp | 20,451 | 1,562,047 |
6,596,537 | ||
Capital Markets – 4.8% | ||
Blackstone, Inc. Class A | 18,810 | 1,919,937 |
CME Group, Inc. | 10,309 | 2,056,439 |
Coinbase Global, Inc. Class A (a)(b) | 10,661 | 671,216 |
Moody's Corp. | 6,671 | 2,069,678 |
MSCI, Inc. | 4,070 | 1,959,054 |
S&P Global, Inc. | 6,228 | 2,347,520 |
SEI Investments Co. | 32,864 | 1,819,351 |
12,843,195 | ||
Consumer Finance – 0.7% | ||
Discover Financial Services | 18,349 | 1,853,249 |
Diversified Financial Services – 2.1% | ||
Berkshire Hathaway, Inc. Class B (a) | 18,458 | 5,548,475 |
Mortgage Real Estate Investment Trusts (REITs) – 0.6% | ||
AGNC Investment Corp. | 137,034 | 1,727,999 |
TOTAL FINANCIALS | 28,569,455 | |
HEALTH CARE – 13.8% | ||
Biotechnology – 4.7% | ||
AbbVie, Inc. | 27,920 | 4,006,799 |
Amgen, Inc. | 13,820 | 3,420,035 |
Moderna, Inc. (a) | 16,054 | 2,634,301 |
Annual Report | 48 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Biotechnology – continued | ||
Regeneron Pharmaceuticals, Inc. (a) | 4,327 | $ 2,516,973 |
12,578,108 | ||
Health Care Equipment & Supplies – 0.7% | ||
IDEXX Laboratories, Inc. (a) | 4,731 | 1,888,521 |
Health Care Providers & Services – 2.3% | ||
UnitedHealth Group, Inc. | 10,980 | 5,954,893 |
Life Sciences Tools & Services – 1.6% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 3,743 | 2,108,282 |
Mettler-Toledo International, Inc. (a) | 1,653 | 2,231,104 |
4,339,386 | ||
Pharmaceuticals – 4.5% | ||
Johnson & Johnson | 30,845 | 5,383,069 |
Pfizer, Inc. | 80,078 | 4,044,740 |
Zoetis, Inc. | 14,358 | 2,621,053 |
12,048,862 | ||
TOTAL HEALTH CARE | 36,809,770 | |
INDUSTRIALS – 8.3% | ||
Aerospace & Defense – 0.7% | ||
Lockheed Martin Corp. | 4,833 | 1,999,944 |
Air Freight & Logistics – 0.5% | ||
Expeditors International of Washington, Inc. | 12,257 | 1,302,306 |
Commercial Services & Supplies – 1.1% | ||
Cintas Corp. | 3,801 | 1,617,287 |
Copart, Inc. (a) | 11,056 | 1,416,274 |
3,033,561 | ||
Electrical Equipment – 0.5% | ||
Atkore, Inc. (a) | 12,327 | 1,223,701 |
Industrial Conglomerates – 1.4% | ||
3M Co. | 11,419 | 1,635,657 |
Honeywell International, Inc. | 11,110 | 2,138,231 |
3,773,888 | ||
Machinery – 1.1% | ||
Illinois Tool Works, Inc. | 7,050 | 1,464,708 |
Otis Worldwide Corp. | 17,957 | 1,403,699 |
2,868,407 | ||
Professional Services – 0.5% | ||
Verisk Analytics, Inc. | 7,358 | 1,399,860 |
Road & Rail – 2.0% | ||
CSX Corp. | 50,711 | 1,639,487 |
Norfolk Southern Corp. | 6,126 | 1,538,667 |
Union Pacific Corp. | 9,416 | 2,140,257 |
5,318,411 |
| ||
Shares | Value | |
Trading Companies & Distributors – 0.5% | ||
Fastenal Co. | 25,787 | $ 1,324,420 |
TOTAL INDUSTRIALS | 22,244,498 | |
INFORMATION TECHNOLOGY – 28.4% | ||
Communications Equipment – 1.0% | ||
Cisco Systems, Inc. | 59,004 | 2,677,012 |
IT Services – 5.2% | ||
Automatic Data Processing, Inc. | 11,030 | 2,659,554 |
Mastercard, Inc. Class A | 10,189 | 3,604,766 |
Paychex, Inc. | 16,276 | 2,087,885 |
VeriSign, Inc. (a) | 8,323 | 1,574,379 |
Visa, Inc. Class A | 18,629 | 3,951,397 |
13,877,981 | ||
Semiconductors & Semiconductor Equipment – 7.0% | ||
Applied Materials, Inc. | 18,407 | 1,950,774 |
Broadcom, Inc. | 5,681 | 3,042,062 |
KLA Corp. | 5,514 | 2,114,840 |
Lam Research Corp. | 3,802 | 1,902,939 |
NVIDIA Corp. | 23,980 | 4,355,487 |
QUALCOMM, Inc. | 16,963 | 2,460,653 |
Texas Instruments, Inc. | 15,816 | 2,829,324 |
18,656,079 | ||
Software – 8.1% | ||
Adobe, Inc. (a) | 6,512 | 2,670,701 |
Fair Isaac Corp. (a) | 3,569 | 1,648,985 |
Microsoft Corp. | 56,567 | 15,880,620 |
Roper Technologies, Inc. | 3,390 | 1,480,311 |
21,680,617 | ||
Technology Hardware, Storage & Peripherals – 7.1% | ||
Apple, Inc. | 115,575 | 18,782,093 |
TOTAL INFORMATION TECHNOLOGY | 75,673,782 | |
MATERIALS – 2.7% | ||
Chemicals – 1.5% | ||
Celanese Corp. | 3,672 | 431,496 |
CF Industries Holdings, Inc. | 7,826 | 747,305 |
Ecolab, Inc. | 4,171 | 688,924 |
Linde PLC | 4,985 | 1,505,470 |
The Sherwin-Williams Co. | 3,267 | 790,418 |
4,163,613 | ||
Construction Materials – 0.2% | ||
Eagle Materials, Inc. | 3,544 | 448,139 |
Metals & Mining – 0.8% | ||
Freeport-McMoRan, Inc. | 22,249 | 701,956 |
Newmont Corp. | 13,003 | 588,776 |
Nucor Corp. | 6,118 | 830,824 |
2,121,556 |
49 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Paper & Forest Products – 0.2% | ||
Louisiana-Pacific Corp. | 7,406 | $ 471,244 |
TOTAL MATERIALS | 7,204,552 | |
REAL ESTATE – 3.5% | ||
Equity Real Estate Investment Trusts (REITs) – 3.5% | ||
American Tower Corp. | 4,678 | 1,266,943 |
AvalonBay Communities, Inc. | 2,537 | 542,766 |
Duke Realty Corp. | 9,340 | 584,310 |
Equity Residential | 6,657 | 521,842 |
Essex Property Trust, Inc. | 1,646 | 471,628 |
Extra Space Storage, Inc. | 2,852 | 540,511 |
Gaming and Leisure Properties, Inc. | 10,526 | 547,247 |
Prologis, Inc. | 7,561 | 1,002,286 |
Public Storage | 2,117 | 691,010 |
Realty Income Corp. | 9,623 | 712,006 |
SBA Communications Corp. | 1,973 | 662,514 |
Simon Property Group, Inc. | 4,961 | 538,963 |
VICI Properties, Inc. | 18,293 | 625,438 |
WP Carey, Inc. | 6,430 | 574,199 |
TOTAL REAL ESTATE | 9,281,663 | |
UTILITIES – 2.8% | ||
Electric Utilities – 1.5% | ||
FirstEnergy Corp. | 19,614 | 806,136 |
IDACORP, Inc. | 6,579 | 735,006 |
NextEra Energy, Inc. | 22,278 | 1,882,268 |
NRG Energy, Inc. | 18,868 | 712,267 |
4,135,677 | ||
Gas Utilities – 0.6% | ||
National Fuel Gas Co. | 11,652 | 842,906 |
UGI Corp. | 16,991 | 733,331 |
1,576,237 |
| ||
Shares | Value | |
Independent Power and Renewable Electricity Producers – 0.3% | ||
The AES Corp. | 35,687 | $ 792,965 |
Multi-Utilities – 0.4% | ||
WEC Energy Group, Inc. | 9,229 | 958,062 |
TOTAL UTILITIES | 7,462,941 | |
TOTAL COMMON STOCKS (Cost $263,912,490) | 266,108,712 | |
Money Market Funds – 1.4% | ||
Fidelity Cash Central Fund, 2.01% (c) | 291,622 | 291,681 |
Fidelity Securities Lending Cash Central Fund, 2.01% (c)(d) | 3,523,923 | 3,524,275 |
TOTAL MONEY MARKET FUNDS (Cost $3,815,956) | 3,815,956 | |
TOTAL INVESTMENT IN SECURITIES – 101.2% (Cost $267,728,446) | 269,924,668 | |
NET OTHER ASSETS (LIABILITIES) – (1.2%) | (3,210,859) | |
NET ASSETS – 100.0% | $ 266,713,809 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 17 | September 2022 | $351,348 | $33,125 | $33,125 |
Annual Report | 50 |
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, 2.01% | $ 175,551 | $ 8,301,763 | $ 8,185,632 | $ 1,472 | $— | $ (1) | $ 291,681 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 1,454,475 | 34,290,590 | 32,220,790 | 26,297 | — | — | $3,524,275 | 0.0% | ||||||
Total | $1,630,026 | $42,592,353 | $40,406,422 | $27,769 | $— | $ (1) | $3,815,956 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 21,331,510 | $ 21,331,510 | $ — | $ — | ||||
Consumer Discretionary | 29,774,896 | 29,774,896 | — | — | ||||
Consumer Staples | 16,313,294 | 16,313,294 | — | — | ||||
Energy | 11,442,351 | 11,442,351 | — | — | ||||
Financials | 28,569,455 | 28,569,455 | — | — | ||||
Health Care | 36,809,770 | 36,809,770 | — | — | ||||
Industrials | 22,244,498 | 22,244,498 | — | — | ||||
Information Technology | 75,673,782 | 75,673,782 | — | — | ||||
Materials | 7,204,552 | 7,204,552 | — | — | ||||
Real Estate | 9,281,663 | 9,281,663 | — | — | ||||
Utilities | 7,462,941 | 7,462,941 | — | — | ||||
Money Market Funds | 3,815,956 | 3,815,956 | — | — | ||||
Total Investments in Securities: | $ 269,924,668 | $ 269,924,668 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 33,125 | $ 33,125 | $ — | $ — | ||||
Total Assets | $ 33,125 | $ 33,125 | — | $ — | ||||
Total Derivative Instruments: | $ 33,125 | $ 33,125 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $33,125 | $0 | |
Total Equity Risk | 33,125 | 0 | |
Total Value of Derivatives | $33,125 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
51 | Annual Report |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 2.9% | ||
Diversified Telecommunication Services – 0.5% | ||
Cogent Communications Holdings, Inc. | 1,628 | $ 103,883 |
EchoStar Corp. Class A (a) | 3,270 | 64,615 |
Lumen Technologies, Inc. | 17,012 | 185,261 |
353,759 | ||
Entertainment – 0.1% | ||
Sciplay Corp. Class A (a) | 5,767 | 78,662 |
Interactive Media & Services – 0.3% | ||
Cargurus, Inc. (a) | 3,180 | 77,242 |
Shutterstock, Inc. | 1,059 | 59,833 |
Ziff Davis, Inc. (a) | 1,285 | 105,229 |
242,304 | ||
Media – 2.0% | ||
AMC Networks, Inc. Class A (a) | 2,058 | 62,810 |
Cable One, Inc. | 106 | 145,928 |
DISH Network Corp. Class A (a) | 5,372 | 93,312 |
Entravision Communications Corp. Class A | 12,549 | 67,263 |
John Wiley & Sons, Inc. Class A | 1,883 | 98,330 |
News Corp. Class A | 9,533 | 163,396 |
Nexstar Media Group, Inc. Class A | 916 | 172,547 |
Scholastic Corp. | 2,078 | 97,811 |
Sirius XM Holdings, Inc. (b) | 21,764 | 145,384 |
TechTarget, Inc. (a) | 1,178 | 76,794 |
TEGNA, Inc. | 6,209 | 130,016 |
The New York Times Co. Class A | 3,751 | 119,844 |
Thryv Holdings, Inc. (a) | 2,441 | 59,414 |
1,432,849 | ||
TOTAL COMMUNICATION SERVICES | 2,107,574 | |
CONSUMER DISCRETIONARY – 12.5% | ||
Auto Components – 1.4% | ||
Autoliv, Inc. | 1,670 | 143,620 |
BorgWarner, Inc. | 4,563 | 175,493 |
Dorman Products, Inc. (a) | 1,094 | 110,592 |
Fox Factory Holding Corp. (a) | 1,069 | 101,192 |
Gentex Corp. | 5,167 | 145,813 |
Gentherm, Inc. (a) | 1,185 | 76,504 |
Lear Corp. | 1,161 | 175,473 |
Standard Motor Products, Inc. | 1,704 | 77,941 |
1,006,628 | ||
Automobiles – 0.3% | ||
Harley-Davidson, Inc. | 3,853 | 145,682 |
Winnebago Industries, Inc. | 1,464 | 88,382 |
234,064 | ||
Diversified Consumer Services – 1.5% | ||
Carriage Services, Inc. | 1,598 | 57,976 |
Frontdoor, Inc. (a) | 2,979 | 79,748 |
Graham Holdings Co. Class B | 170 | 101,063 |
Grand Canyon Education, Inc. (a) | 1,387 | 133,249 |
| ||
Shares | Value | |
H&R Block, Inc. | 5,099 | $ 203,756 |
Laureate Education, Inc. Class A | 6,867 | 81,305 |
Perdoceo Education Corp. (a) | 7,346 | 100,640 |
Service Corp. International | 3,173 | 236,262 |
Stride, Inc. (a) | 2,488 | 111,164 |
1,105,163 | ||
Hotels, Restaurants & Leisure – 2.0% | ||
Boyd Gaming Corp. | 2,186 | 121,345 |
Choice Hotels International, Inc. | 894 | 108,058 |
Churchill Downs, Inc. | 774 | 162,385 |
Papa John's International, Inc. | 968 | 92,821 |
Planet Fitness, Inc. Class A (a) | 1,855 | 146,193 |
Red Rock Resorts, Inc. Class A | 2,169 | 85,307 |
Texas Roadhouse, Inc. | 1,660 | 144,785 |
The Wendy's Co. | 5,258 | 110,576 |
Vail Resorts, Inc. | 758 | 179,744 |
Wingstop, Inc. | 831 | 104,856 |
Wyndham Hotels & Resorts, Inc. | 2,000 | 138,820 |
1,394,890 | ||
Household Durables – 2.1% | ||
Cavco Industries, Inc. (a) | 355 | 91,515 |
Century Communities, Inc. | 1,449 | 74,145 |
Ethan Allen Interiors, Inc. | 3,011 | 69,223 |
Helen of Troy Ltd. (a) | 640 | 85,626 |
KB Home | 2,722 | 88,846 |
Meritage Homes Corp. (a) | 1,157 | 102,163 |
Mohawk Industries, Inc. (a) | 1,137 | 146,082 |
Skyline Champion Corp. (a) | 1,633 | 103,369 |
Taylor Morrison Home Corp. (a) | 3,775 | 108,343 |
Tempur Sealy International, Inc. | 4,176 | 114,756 |
Toll Brothers, Inc. | 2,622 | 128,950 |
TopBuild Corp. (a) | 714 | 151,168 |
Tri Pointe Homes, Inc. (a) | 4,258 | 78,858 |
Whirlpool Corp. | 1,096 | 189,466 |
1,532,510 | ||
Leisure Products – 0.9% | ||
Acushnet Holdings Corp. | 1,936 | 94,341 |
Brunswick Corp. | 1,728 | 138,447 |
Hasbro, Inc. | 2,359 | 185,701 |
Smith & Wesson Brands, Inc. | 4,637 | 67,468 |
Sturm Ruger & Co., Inc. | 1,271 | 84,051 |
Vista Outdoor, Inc. (a) | 2,457 | 73,956 |
643,964 | ||
Multiline Retail – 0.4% | ||
Dillard's, Inc. Class A (b) | 327 | 74,343 |
Kohl's Corp. | 3,061 | 89,198 |
Macy's, Inc. | 6,626 | 116,949 |
280,490 | ||
Specialty Retail – 2.7% | ||
Academy Sports & Outdoors, Inc. | 2,958 | 127,283 |
Annual Report | 52 |
Common Stocks – continued | ||
Shares | Value | |
CONSUMER DISCRETIONARY – continued | ||
Specialty Retail – continued | ||
Asbury Automotive Group, Inc. (a) | 713 | $ 122,379 |
AutoNation, Inc. (a) | 1,141 | 135,482 |
Boot Barn Holdings, Inc. (a) | 1,172 | 73,016 |
Dick's Sporting Goods, Inc. | 1,433 | 134,115 |
Foot Locker, Inc. | 2,766 | 78,471 |
Group 1 Automotive, Inc. | 637 | 112,698 |
Lithia Motors, Inc. | 621 | 164,739 |
MarineMax, Inc. (a) | 1,750 | 71,470 |
Murphy USA, Inc. | 663 | 188,531 |
Penske Automotive Group, Inc. | 1,065 | 121,932 |
Sally Beauty Holdings, Inc. (a) | 5,431 | 69,408 |
Shoe Carnival, Inc. | 2,336 | 50,948 |
Signet Jewelers Ltd. | 1,506 | 91,806 |
The Buckle, Inc. | 2,242 | 67,708 |
The Cato Corp. Class A | 4,464 | 55,130 |
Williams-Sonoma, Inc. | 1,360 | 196,411 |
Winmark Corp. | 359 | 79,752 |
1,941,279 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||
Capri Holdings Ltd. (a) | 2,961 | 144,141 |
Carter's, Inc. | 1,301 | 106,005 |
Crocs, Inc. (a) | 1,437 | 102,947 |
Deckers Outdoor Corp. (a) | 558 | 174,771 |
Kontoor Brands, Inc. | 2,039 | 74,424 |
Levi Strauss & Co. Class A | 4,284 | 81,053 |
Movado Group, Inc. | 2,065 | 70,169 |
Steven Madden Ltd. | 2,656 | 84,195 |
837,705 | ||
TOTAL CONSUMER DISCRETIONARY | 8,976,693 | |
CONSUMER STAPLES – 3.4% | ||
Beverages – 0.5% | ||
Brown-Forman Corp. Class B | 3,414 | 253,387 |
Coca-Cola Consolidated, Inc. | 192 | 98,496 |
351,883 | ||
Food & Staples Retailing – 0.9% | ||
Albertsons Cos., Inc. | 3,906 | 104,876 |
BJ's Wholesale Club Holdings, Inc. (a) | 2,971 | 201,137 |
Ingles Markets, Inc. Class A | 1,139 | 108,729 |
Sprouts Farmers Market, Inc. (a) | 4,086 | 112,937 |
Weis Markets, Inc. | 1,465 | 112,702 |
640,381 | ||
Food Products – 1.4% | ||
Campbell Soup Co. | 4,257 | 210,083 |
Darling Ingredients, Inc. (a) | 3,261 | 225,922 |
Flowers Foods, Inc. | 5,183 | 147,249 |
Hostess Brands, Inc. (a) | 5,484 | 124,048 |
Ingredion, Inc. | 1,718 | 156,304 |
| ||
Shares | Value | |
John B Sanfilippo & Son, Inc. | 1,070 | $ 80,143 |
Lancaster Colony Corp. | 746 | 98,755 |
1,042,504 | ||
Household Products – 0.1% | ||
Central Garden and Pet Co. Class A (a) | 2,402 | 98,002 |
Personal Products – 0.2% | ||
Herbalife Nutrition Ltd. (a) | 3,138 | 76,599 |
USANA Health Sciences, Inc. (a) | 960 | 66,835 |
143,434 | ||
Tobacco – 0.3% | ||
Universal Corp. | 1,791 | 100,135 |
Vector Group Ltd. | 8,534 | 95,069 |
195,204 | ||
TOTAL CONSUMER STAPLES | 2,471,408 | |
ENERGY – 4.1% | ||
Energy Equipment & Services – 0.1% | ||
Cactus, Inc. Class A | 2,495 | 103,767 |
Oil, Gas & Consumable Fuels – 4.0% | ||
APA Corp. | 6,959 | 258,666 |
Arch Resources, Inc. | 979 | 126,428 |
Chord Energy Corp. | 813 | 104,259 |
Civitas Resources, Inc. | 2,427 | 143,096 |
Comstock Resources, Inc. (a) | 11,361 | 180,981 |
CONSOL Energy, Inc. | 3,880 | 237,922 |
Continental Resources, Inc. | 2,228 | 153,487 |
Denbury, Inc. (a) | 1,751 | 125,914 |
DT Midstream, Inc. | 2,806 | 154,414 |
Equitrans Midstream Corp. | 16,649 | 130,695 |
HF Sinclair Corp. | 4,187 | 200,222 |
Murphy Oil Corp. | 4,336 | 152,367 |
PDC Energy, Inc. | 2,584 | 169,743 |
Peabody Energy Corp. (a) | 7,968 | 167,248 |
REX American Resources Corp. (a) | 924 | 88,205 |
Teekay Corp. (a) | 27,471 | 86,259 |
Texas Pacific Land Corp. | 154 | 282,413 |
World Fuel Services Corp. | 3,737 | 103,590 |
2,865,909 | ||
TOTAL ENERGY | 2,969,676 | |
FINANCIALS – 15.8% | ||
Banks – 6.2% | ||
1st Source Corp. | 1,727 | 83,276 |
Banner Corp. | 1,681 | 104,205 |
Cathay General Bancorp | 2,586 | 107,836 |
Comerica, Inc. | 2,435 | 189,370 |
Community Trust Bancorp, Inc. | 1,900 | 82,327 |
ConnectOne Bancorp, Inc. | 2,732 | 72,234 |
Customers Bancorp, Inc. (a) | 1,625 | 62,059 |
Dime Community Bancshares, Inc. | 2,599 | 88,574 |
53 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Banks – continued | ||
Eagle Bancorp, Inc. | 1,667 | $ 81,733 |
Farmers National Banc Corp. | 4,704 | 66,797 |
First BanCorp | 7,747 | 116,902 |
First Citizens BancShares, Inc. Class A | 264 | 199,764 |
First Financial Corp. | 1,853 | 86,572 |
First Horizon Corp. | 11,102 | 248,241 |
Fulton Financial Corp. | 6,171 | 102,994 |
Great Southern Bancorp, Inc. | 1,388 | 85,973 |
Hancock Whitney Corp. | 2,472 | 120,658 |
Hanmi Financial Corp. | 3,203 | 80,940 |
Heartland Financial USA, Inc. | 2,027 | 91,012 |
Hilltop Holdings, Inc. | 3,058 | 88,223 |
HomeStreet, Inc. | 1,793 | 66,861 |
Hope Bancorp, Inc. | 6,014 | 90,451 |
Lakeland Bancorp, Inc. | 4,775 | 76,018 |
Metropolitan Bank Holding Corp. (a) | 864 | 59,944 |
Midland States Bancorp, Inc. | 2,831 | 74,172 |
OFG Bancorp | 3,420 | 93,947 |
Origin Bancorp, Inc. | 2,016 | 86,829 |
PacWest Bancorp | 3,053 | 85,576 |
Pathward Financial, Inc. | 1,692 | 57,054 |
Peapack-Gladstone Financial Corp. | 2,211 | 72,211 |
Popular, Inc. | 1,831 | 142,214 |
QCR Holdings, Inc. | 1,524 | 90,358 |
Republic Bancorp, Inc. Class A | 1,655 | 74,210 |
Sandy Spring Bancorp, Inc. | 2,165 | 89,415 |
Southside Bancshares, Inc. | 2,200 | 87,868 |
Synovus Financial Corp. | 3,326 | 134,304 |
Towne Bank | 3,245 | 96,928 |
UMB Financial Corp. | 1,281 | 115,930 |
Umpqua Holdings Corp. | 6,400 | 112,704 |
Valley National Bancorp | 10,569 | 123,552 |
WesBanco, Inc. | 2,874 | 98,061 |
Western Alliance Bancorp | 2,087 | 159,405 |
Zions Bancorp NA | 3,054 | 166,596 |
4,414,298 | ||
Capital Markets – 2.8% | ||
Affiliated Managers Group, Inc. | 1,032 | 130,424 |
Cboe Global Markets, Inc. | 1,979 | 244,169 |
Diamond Hill Investment Group, Inc. | 454 | 86,791 |
Donnelley Financial Solutions, Inc. (a) | 2,458 | 83,547 |
Evercore, Inc. Class A | 1,077 | 107,668 |
Federated Hermes, Inc. | 3,536 | 120,613 |
Franklin Resources, Inc. (b) | 5,959 | 163,575 |
Hamilton Lane, Inc. Class A | 1,314 | 99,299 |
Houlihan Lokey, Inc. | 1,366 | 115,509 |
Janus Henderson Group PLC | 4,138 | 106,636 |
Jefferies Financial Group, Inc. | 4,481 | 145,946 |
Morningstar, Inc. | 556 | 141,975 |
| ||
Shares | Value | |
Piper Sandler Cos. | 680 | $ 85,816 |
SEI Investments Co. | 2,605 | 144,213 |
Stifel Financial Corp. | 2,295 | 137,264 |
Victory Capital Holdings, Inc. Class A | 2,488 | 68,843 |
1,982,288 | ||
Consumer Finance – 0.9% | ||
Bread Financial Holdings, Inc. | 1,578 | 62,505 |
Credit Acceptance Corp. (a)(b) | 250 | 143,977 |
Encore Capital Group, Inc. (a) | 1,451 | 105,096 |
Enova International, Inc. (a) | 2,388 | 82,410 |
Navient Corp. | 6,277 | 103,382 |
Nelnet, Inc. Class A | 1,136 | 108,022 |
Regional Management Corp. | 1,634 | 66,994 |
672,386 | ||
Diversified Financial Services – 0.1% | ||
Jackson Financial, Inc. | 3,173 | 87,289 |
Insurance – 4.4% | ||
American Equity Investment Life Holding Co. | 2,861 | 107,459 |
American Financial Group, Inc. | 1,399 | 187,018 |
AMERISAFE, Inc. | 1,689 | 76,951 |
Assurant, Inc. | 1,209 | 212,518 |
Employers Holdings, Inc. | 2,279 | 90,499 |
Enstar Group Ltd. (a) | 438 | 86,689 |
Everest Re Group Ltd. | 756 | 197,581 |
First American Financial Corp. | 2,366 | 137,228 |
Genworth Financial, Inc. Class A (a) | 25,451 | 108,167 |
Globe Life, Inc. | 1,896 | 190,984 |
Lincoln National Corp. | 3,248 | 166,752 |
Loews Corp. | 3,744 | 218,088 |
Old Republic International Corp. | 6,453 | 150,161 |
Primerica, Inc. | 990 | 127,403 |
Reinsurance Group of America, Inc. | 1,526 | 176,680 |
RenaissanceRe Holdings Ltd. | 1,058 | 136,810 |
RLI Corp. | 1,220 | 134,176 |
Safety Insurance Group, Inc. | 1,048 | 90,705 |
Selective Insurance Group, Inc. | 1,704 | 132,674 |
Stewart Information Services Corp. | 1,348 | 73,668 |
The Hanover Insurance Group, Inc. | 979 | 133,604 |
WR Berkley Corp. | 3,893 | 243,429 |
3,179,244 | ||
Mortgage Real Estate Investment Trusts (REITs) – 0.2% | ||
Chimera Investment Corp. | 8,481 | 88,796 |
KKR Real Estate Finance Trust, Inc. | 4,103 | 79,967 |
168,763 | ||
Thrifts & Mortgage Finance – 1.2% | ||
Essent Group Ltd. | 3,054 | 127,535 |
Flagstar Bancorp, Inc. | 2,341 | 96,449 |
Merchants Bancorp | 2,733 | 72,315 |
MGIC Investment Corp. | 9,035 | 127,755 |
Annual Report | 54 |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Thrifts & Mortgage Finance – continued | ||
Mr. Cooper Group, Inc. (a) | 2,893 | $ 130,330 |
PennyMac Financial Services, Inc. | 1,684 | 92,266 |
Provident Financial Services, Inc. | 4,115 | 100,242 |
Southern Missouri Bancorp, Inc. | 1,486 | 80,155 |
827,047 | ||
TOTAL FINANCIALS | 11,331,315 | |
HEALTH CARE – 13.4% | ||
Biotechnology – 2.1% | ||
Alkermes PLC (a) | 5,100 | 130,560 |
AnaptysBio, Inc. (a) | 2,721 | 56,978 |
Catalyst Pharmaceuticals, Inc. (a) | 14,321 | 146,647 |
Cytokinetics, Inc. (a) | 3,369 | 142,610 |
Dynavax Technologies Corp. (a)(b) | 7,367 | 105,937 |
Eagle Pharmaceuticals, Inc. (a) | 1,800 | 71,460 |
Exelixis, Inc. (a) | 8,106 | 169,577 |
Ironwood Pharmaceuticals, Inc. (a) | 8,602 | 98,493 |
Neurocrine Biosciences, Inc. (a) | 2,123 | 199,838 |
Prothena Corp. PLC (a) | 2,750 | 85,415 |
United Therapeutics Corp. (a) | 938 | 216,744 |
Vanda Pharmaceuticals, Inc. (a) | 5,730 | 61,769 |
1,486,028 | ||
Health Care Equipment & Supplies – 4.1% | ||
ABIOMED, Inc. (a) | 825 | 241,733 |
Atrion Corp. | 140 | 94,626 |
CONMED Corp. (b) | 906 | 88,453 |
DENTSPLY SIRONA, Inc. | 4,140 | 149,702 |
Envista Holdings Corp. (a) | 3,727 | 151,503 |
Globus Medical, Inc. Class A (a) | 2,092 | 122,779 |
ICU Medical, Inc. (a) | 601 | 106,479 |
Integer Holdings Corp. (a) | 1,365 | 95,400 |
Integra LifeSciences Holdings Corp. (a) | 2,077 | 114,318 |
iRadimed Corp. | 1,961 | 82,852 |
Lantheus Holdings, Inc. (a) | 3,686 | 282,790 |
LeMaitre Vascular, Inc. (b) | 2,031 | 102,261 |
LivaNova PLC (a) | 1,677 | 106,775 |
Masimo Corp. (a) | 973 | 140,676 |
Meridian Bioscience, Inc. (a) | 3,997 | 126,545 |
Merit Medical Systems, Inc. (a) | 2,002 | 115,075 |
Mesa Laboratories, Inc. (b) | 338 | 72,079 |
Neogen Corp. (a) | 3,433 | 79,405 |
Penumbra, Inc. (a) | 781 | 108,856 |
QuidelOrtho Corp. (a) | 1,219 | 124,387 |
Shockwave Medical, Inc. (a) | 957 | 201,860 |
Tandem Diabetes Care, Inc. (a) | 1,431 | 94,747 |
UFP Technologies, Inc. (a) | 1,040 | 83,741 |
Varex Imaging Corp. (a) | 3,405 | 75,897 |
2,962,939 |
| ||
Shares | Value | |
Health Care Providers & Services – 3.5% | ||
Acadia Healthcare Co., Inc. (a) | 2,540 | $ 210,591 |
AMN Healthcare Services, Inc. (a) | 1,294 | 145,497 |
Apollo Medical Holdings, Inc. (a)(b) | 1,930 | 102,348 |
Chemed Corp. | 351 | 168,863 |
CorVel Corp. (a) | 601 | 99,099 |
Cross Country Healthcare, Inc. (a) | 3,740 | 98,586 |
DaVita, Inc. (a) | 1,495 | 125,819 |
Encompass Health Corp. | 2,447 | 123,867 |
Enhabit, Inc. (a) | 1,250 | 21,888 |
Fulgent Genetics, Inc. (a) | 1,412 | 84,367 |
Henry Schein, Inc. (a) | 2,711 | 213,708 |
LHC Group, Inc. (a) | 1,008 | 164,364 |
National HealthCare Corp. | 1,326 | 94,186 |
National Research Corp. | 2,040 | 77,316 |
Owens & Minor, Inc. | 2,707 | 95,855 |
Premier, Inc. Class A | 3,494 | 134,379 |
Select Medical Holdings Corp. | 4,621 | 136,874 |
The Ensign Group, Inc. | 1,672 | 133,242 |
Universal Health Services, Inc. Class B | 1,477 | 166,118 |
US Physical Therapy, Inc. | 934 | 121,215 |
2,518,182 | ||
Health Care Technology – 0.4% | ||
Computer Programs & Systems, Inc. (a) | 2,846 | 96,081 |
HealthStream, Inc. (a) | 3,406 | 81,949 |
Omnicell, Inc. (a) | 1,036 | 114,084 |
292,114 | ||
Life Sciences Tools & Services – 1.3% | ||
Bruker Corp. | 2,371 | 162,532 |
Frontage Holdings Corp. (a)(c) | 168,000 | 55,002 |
Maravai LifeSciences Holdings, Inc. Class A (a) | 3,890 | 101,490 |
Medpace Holdings, Inc. (a) | 798 | 135,285 |
Repligen Corp. (a) | 1,020 | 217,627 |
Sotera Health Co. (a) | 4,695 | 90,144 |
Syneos Health, Inc. (a) | 2,118 | 167,619 |
929,699 | ||
Pharmaceuticals – 2.0% | ||
Amphastar Pharmaceuticals, Inc. (a) | 3,363 | 125,743 |
Corcept Therapeutics, Inc. (a) | 5,073 | 145,392 |
Elanco Animal Health, Inc. (a) | 8,936 | 181,043 |
Harmony Biosciences Holdings, Inc. (a) | 2,280 | 115,664 |
Innoviva, Inc. (a) | 5,569 | 79,860 |
Jazz Pharmaceuticals PLC (a) | 1,303 | 203,346 |
Organon & Co. | 5,437 | 172,462 |
Perrigo Co. PLC | 3,707 | 155,212 |
Phibro Animal Health Corp. Class A | 4,191 | 82,018 |
Prestige Consumer Healthcare, Inc. (a) | 1,830 | 110,367 |
55 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Supernus Pharmaceuticals, Inc. (a) | 3,115 | $ 98,901 |
1,470,008 | ||
TOTAL HEALTH CARE | 9,658,970 | |
INDUSTRIALS – 17.6% | ||
Aerospace & Defense – 0.4% | ||
Curtiss-Wright Corp. | 932 | 133,686 |
Huntington Ingalls Industries, Inc. | 819 | 177,592 |
311,278 | ||
Air Freight & Logistics – 0.7% | ||
Atlas Air Worldwide Holdings, Inc. (a) | 1,061 | 80,328 |
CH Robinson Worldwide, Inc. | 2,276 | 251,953 |
Forward Air Corp. | 878 | 92,129 |
Hub Group, Inc. Class A (a) | 1,185 | 90,534 |
514,944 | ||
Building Products – 2.6% | ||
Allegion PLC | 1,622 | 171,445 |
AO Smith Corp. | 2,453 | 155,201 |
Armstrong World Industries, Inc. | 1,191 | 106,416 |
Builders FirstSource, Inc. (a) | 3,235 | 219,980 |
Carlisle Cos., Inc. | 918 | 271,820 |
Fortune Brands Home & Security, Inc. | 2,341 | 163,121 |
Insteel Industries, Inc. | 1,732 | 54,212 |
Lennox International, Inc. | 638 | 152,820 |
Owens Corning | 1,908 | 176,948 |
Simpson Manufacturing Co., Inc. | 1,074 | 110,923 |
Trex Co., Inc. (a) | 2,072 | 133,685 |
UFP Industries, Inc. | 1,499 | 138,223 |
1,854,794 | ||
Commercial Services & Supplies – 1.2% | ||
Brady Corp. Class A | 1,738 | 83,163 |
Clean Harbors, Inc. (a) | 1,265 | 123,452 |
CoreCivic, Inc. (a) | 7,291 | 78,524 |
Ennis, Inc. | 3,398 | 74,246 |
Heritage-Crystal Clean, Inc. (a) | 2,272 | 76,248 |
Rollins, Inc. | 4,720 | 182,051 |
Tetra Tech, Inc. | 1,071 | 164,152 |
The Geo Group, Inc. (a) | 10,120 | 66,387 |
848,223 | ||
Construction & Engineering – 1.5% | ||
AECOM | 2,642 | 190,224 |
API Group Corp. (a) | 5,143 | 91,082 |
Argan, Inc. | 1,715 | 63,729 |
Comfort Systems USA, Inc. | 1,132 | 119,607 |
EMCOR Group, Inc. | 1,169 | 136,037 |
MasTec, Inc. (a) | 1,398 | 110,344 |
MDU Resources Group, Inc. | 4,684 | 133,822 |
MYR Group, Inc. (a) | 846 | 80,565 |
| ||
Shares | Value | |
Valmont Industries, Inc. | 538 | $ 146,056 |
1,071,466 | ||
Electrical Equipment – 1.5% | ||
Acuity Brands, Inc. | 745 | 135,888 |
Atkore, Inc. (a) | 1,142 | 113,367 |
Encore Wire Corp. | 764 | 105,791 |
GrafTech International Ltd. | 7,664 | 59,013 |
Hubbell, Inc. | 995 | 217,925 |
nVent Electric PLC | 3,797 | 134,072 |
Regal Rexnord Corp. | 1,211 | 162,637 |
Sensata Technologies Holding PLC | 3,028 | 134,655 |
1,063,348 | ||
Machinery – 4.3% | ||
AGCO Corp. | 1,265 | 137,784 |
Albany International Corp. Class A | 1,087 | 99,210 |
Allison Transmission Holdings, Inc. | 2,787 | 116,692 |
Crane Holdings Co. | 1,198 | 118,518 |
Donaldson Co., Inc. | 2,611 | 142,065 |
Federal Signal Corp. | 2,317 | 96,202 |
Franklin Electric Co., Inc. | 1,171 | 106,350 |
Graco, Inc. | 2,925 | 196,443 |
Helios Technologies, Inc. | 1,188 | 81,758 |
Hillenbrand, Inc. | 2,156 | 99,607 |
ITT, Inc. | 1,694 | 127,101 |
John Bean Technologies Corp. | 837 | 94,003 |
Kadant, Inc. | 434 | 88,471 |
Lincoln Electric Holdings, Inc. | 1,194 | 168,879 |
Mueller Industries, Inc. | 1,761 | 118,568 |
Nordson Corp. | 927 | 214,128 |
Pentair PLC | 3,025 | 147,892 |
RBC Bearings, Inc. (a) | 697 | 164,492 |
Snap-on, Inc. | 940 | 210,607 |
Terex Corp. | 2,252 | 75,465 |
The Gorman-Rupp Co. | 1,764 | 54,155 |
The Middleby Corp. (a) | 1,015 | 146,860 |
The Toro Co. | 1,932 | 166,133 |
Watts Water Technologies, Inc. Class A | 728 | 100,559 |
3,071,942 | ||
Marine – 0.1% | ||
Matson, Inc. | 1,135 | 104,045 |
Professional Services – 2.8% | ||
ASGN, Inc. (a) | 1,162 | 120,569 |
Booz Allen Hamilton Holding Corp. | 2,435 | 233,711 |
CACI International, Inc. Class A (a) | 520 | 157,191 |
CBIZ, Inc. (a) | 2,164 | 98,722 |
CRA International, Inc. | 770 | 76,238 |
Exponent, Inc. | 1,282 | 128,828 |
FTI Consulting, Inc. (a) | 829 | 135,591 |
Heidrick & Struggles International, Inc. | 1,556 | 48,454 |
ICF International, Inc. | 832 | 78,499 |
Annual Report | 56 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Professional Services – continued | ||
Insperity, Inc. | 994 | $ 109,082 |
Kforce, Inc. | 1,091 | 71,842 |
Korn Ferry | 1,531 | 100,296 |
Leidos Holdings, Inc. | 2,400 | 256,800 |
ManpowerGroup, Inc. | 1,223 | 95,895 |
Resources Connection, Inc. | 3,680 | 78,973 |
Robert Half International, Inc. | 1,897 | 150,129 |
TriNet Group, Inc. (a) | 1,170 | 96,525 |
2,037,345 | ||
Road & Rail – 0.9% | ||
AMERCO | 219 | 117,620 |
ArcBest Corp. | 941 | 83,372 |
Knight-Swift Transportation Holdings, Inc. | 3,104 | 170,565 |
Landstar System, Inc. | 839 | 131,371 |
Saia, Inc. (a) | 529 | 125,823 |
628,751 | ||
Trading Companies & Distributors – 1.6% | ||
Applied Industrial Technologies, Inc. | 1,072 | 107,832 |
BlueLinx Holdings, Inc. (a) | 905 | 72,400 |
Boise Cascade Co. | 1,208 | 85,418 |
GMS, Inc. (a) | 1,673 | 88,786 |
McGrath RentCorp | 1,078 | 90,940 |
MSC Industrial Direct Co., Inc. Class A | 1,273 | 105,226 |
Rush Enterprises, Inc. Class A | 1,664 | 80,188 |
SiteOne Landscape Supply, Inc. (a) | 881 | 122,750 |
Titan Machinery, Inc. (a) | 2,180 | 61,323 |
Transcat, Inc. (a) | 794 | 49,482 |
Watsco, Inc. | 624 | 170,945 |
WESCO International, Inc. (a) | 1,026 | 131,164 |
1,166,454 | ||
TOTAL INDUSTRIALS | 12,672,590 | |
INFORMATION TECHNOLOGY – 14.8% | ||
Communications Equipment – 1.4% | ||
Ciena Corp. (a) | 2,952 | 152,323 |
Clearfield, Inc. (a) | 1,271 | 125,257 |
F5, Inc. (a) | 1,075 | 179,912 |
Juniper Networks, Inc. | 5,960 | 167,059 |
Lumentum Holdings, Inc. (a) | 1,665 | 150,616 |
Netscout Systems, Inc. (a) | 3,038 | 108,092 |
Viavi Solutions, Inc. (a) | 7,170 | 106,116 |
989,375 | ||
Electronic Equipment, Instruments & Components – 3.3% | ||
Arrow Electronics, Inc. (a) | 1,384 | 177,387 |
Badger Meter, Inc. | 1,015 | 97,633 |
Belden, Inc. | 1,708 | 110,542 |
Cognex Corp. | 3,221 | 164,207 |
CTS Corp. | 2,391 | 97,266 |
| ||
Shares | Value | |
ePlus, Inc. (a) | 1,761 | $ 97,859 |
Fabrinet (a) | 1,108 | 106,434 |
Jabil, Inc. | 2,861 | 169,772 |
Kimball Electronics, Inc. (a) | 3,690 | 81,180 |
Littelfuse, Inc. | 564 | 157,283 |
Methode Electronics, Inc. | 1,952 | 80,500 |
Napco Security Technologies, Inc. (a) | 3,567 | 91,529 |
National Instruments Corp. | 3,256 | 123,728 |
Novanta, Inc. (a) | 935 | 144,177 |
Plexus Corp. (a) | 1,176 | 110,485 |
Rogers Corp. (a) | 476 | 128,163 |
Sanmina Corp. (a) | 2,422 | 111,533 |
TD SYNNEX Corp. | 1,139 | 114,378 |
Vishay Intertechnology, Inc. | 4,879 | 100,800 |
Vontier Corp. | 4,522 | 116,668 |
2,381,524 | ||
IT Services – 3.2% | ||
Amdocs Ltd. | 2,437 | 212,165 |
Cass Information Systems, Inc. | 1,704 | 62,128 |
Concentrix Corp. | 862 | 115,301 |
CSG Systems International, Inc. | 1,545 | 100,811 |
DXC Technology Co. (a) | 5,038 | 159,201 |
EVERTEC, Inc. | 2,306 | 89,911 |
ExlService Holdings, Inc. (a) | 953 | 160,457 |
Genpact Ltd. | 3,502 | 168,376 |
GoDaddy, Inc. Class A (a) | 2,948 | 218,683 |
Grid Dynamics Holdings, Inc. (a) | 3,197 | 60,327 |
Information Services Group, Inc. | 10,186 | 75,987 |
International Money Express, Inc. (a) | 4,602 | 110,632 |
Jack Henry & Associates, Inc. | 1,318 | 273,841 |
Maximus, Inc. | 1,624 | 108,564 |
Perficient, Inc. (a) | 1,055 | 111,324 |
The Hackett Group, Inc. | 3,706 | 77,715 |
The Western Union Co. | 8,555 | 145,606 |
TTEC Holdings, Inc. | 1,094 | 80,048 |
2,331,077 | ||
Semiconductors & Semiconductor Equipment – 3.2% | ||
Amkor Technology, Inc. | 4,327 | 87,276 |
Axcelis Technologies, Inc. (a) | 1,481 | 104,159 |
Cirrus Logic, Inc. (a) | 1,511 | 129,130 |
Diodes, Inc. (a) | 1,305 | 106,188 |
First Solar, Inc. (a) | 2,158 | 214,009 |
Kulicke & Soffa Industries, Inc. | 2,009 | 96,673 |
Lattice Semiconductor Corp. (a) | 2,917 | 179,395 |
MaxLinear, Inc. Class A (a) | 1,966 | 79,446 |
MKS Instruments, Inc. | 1,135 | 134,157 |
Onto Innovation, Inc. (a) | 1,361 | 113,303 |
Photronics, Inc. (a) | 4,501 | 107,169 |
Power Integrations, Inc. | 1,583 | 134,571 |
Rambus, Inc. (a) | 3,962 | 100,159 |
Semtech Corp. (a) | 1,725 | 107,519 |
57 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Semiconductors & Semiconductor Equipment – continued | ||
SiTime Corp. (a) | 522 | $ 97,082 |
SMART Global Holdings, Inc. (a) | 2,986 | 58,585 |
SolarEdge Technologies, Inc. (a) | 941 | 338,882 |
Synaptics, Inc. (a) | 809 | 117,265 |
2,304,968 | ||
Software – 3.7% | ||
A10 Networks, Inc. (b) | 5,681 | 84,704 |
ACI Worldwide, Inc. (a) | 3,438 | 98,086 |
American Software, Inc. Class A | 3,466 | 61,972 |
Aspen Technology, Inc. (a) | 541 | 110,413 |
Bentley Systems, Inc. (b) | 4,036 | 159,826 |
Black Knight, Inc. (a) | 2,858 | 187,714 |
Blackbaud, Inc. (a) | 1,537 | 94,249 |
Box, Inc. Class A (a) | 4,459 | 126,814 |
Citrix Systems, Inc. | 2,203 | 223,406 |
CommVault Systems, Inc. (a) | 1,558 | 87,388 |
Consensus Cloud Solutions, Inc. (a) | 1,421 | 76,777 |
Dolby Laboratories, Inc. Class A | 1,588 | 122,911 |
Dropbox, Inc. Class A (a) | 6,269 | 142,557 |
InterDigital, Inc. | 1,359 | 83,429 |
Manhattan Associates, Inc. (a) | 1,311 | 184,418 |
Paylocity Holding Corp. (a) | 827 | 170,304 |
Progress Software Corp. | 2,021 | 94,906 |
Qualys, Inc. (a) | 935 | 114,369 |
SPS Commerce, Inc. (a) | 1,003 | 120,119 |
Teradata Corp. (a) | 2,953 | 113,070 |
Workiva, Inc. (a) | 1,148 | 75,194 |
Xperi Holding Corp. | 5,285 | 88,577 |
2,621,203 | ||
TOTAL INFORMATION TECHNOLOGY | 10,628,147 | |
MATERIALS – 4.9% | ||
Chemicals – 1.5% | ||
AdvanSix, Inc. | 1,933 | 75,947 |
Balchem Corp. | 872 | 118,383 |
Chase Corp. | 770 | 70,008 |
Hawkins, Inc. | 1,813 | 72,067 |
Huntsman Corp. | 4,392 | 127,192 |
NewMarket Corp. | 300 | 93,240 |
Olin Corp. | 3,062 | 160,051 |
Sensient Technologies Corp. | 1,316 | 113,150 |
Valvoline, Inc. | 4,244 | 136,742 |
Westlake Corp. | 1,050 | 102,207 |
1,068,987 | ||
Construction Materials – 0.3% | ||
Eagle Materials, Inc. | 964 | 121,898 |
Summit Materials, Inc. Class A (a) | 3,366 | 92,599 |
214,497 |
| ||
Shares | Value | |
Containers & Packaging – 0.7% | ||
Berry Global Group, Inc. (a) | 2,717 | $ 156,635 |
Sealed Air Corp. | 2,831 | 173,031 |
Westrock Co. | 4,749 | 201,167 |
530,833 | ||
Metals & Mining – 1.9% | ||
Alcoa Corp. | 3,385 | 172,263 |
Cleveland-Cliffs, Inc. (a) | 9,179 | 162,560 |
Commercial Metals Co. | 3,351 | 132,767 |
Reliance Steel & Aluminum Co. | 1,192 | 226,778 |
Schnitzer Steel Industries, Inc. Class A | 1,990 | 70,764 |
Steel Dynamics, Inc. | 3,466 | 269,932 |
TimkenSteel Corp. (a) | 5,016 | 101,775 |
United States Steel Corp. | 6,307 | 149,160 |
Warrior Met Coal, Inc. | 2,952 | 94,257 |
1,380,256 | ||
Paper & Forest Products – 0.5% | ||
Louisiana-Pacific Corp. | 2,039 | 129,741 |
Resolute Forest Products, Inc. (a) | 6,271 | 127,176 |
Sylvamo Corp. | 2,465 | 96,727 |
353,644 | ||
TOTAL MATERIALS | 3,548,217 | |
REAL ESTATE – 7.6% | ||
Equity Real Estate Investment Trusts (REITs) – 7.3% | ||
Agree Realty Corp. | 1,702 | 135,462 |
American Campus Communities, Inc. | 2,765 | 180,610 |
American Homes 4 Rent Class A | 4,911 | 186,029 |
Brandywine Realty Trust | 6,259 | 58,522 |
Brixmor Property Group, Inc. | 5,820 | 134,908 |
Broadstone Net Lease, Inc. | 4,406 | 99,884 |
City Office REIT, Inc. | 3,530 | 49,773 |
Corporate Office Properties Trust | 3,509 | 98,778 |
Cousins Properties, Inc. | 3,239 | 99,923 |
CubeSmart | 3,751 | 172,058 |
Douglas Emmett, Inc. | 3,886 | 91,865 |
EastGroup Properties, Inc. | 774 | 131,998 |
Essential Properties Realty Trust, Inc. | 3,596 | 86,736 |
Federal Realty OP LP | 1,307 | 138,032 |
First Industrial Realty Trust, Inc. | 2,508 | 130,291 |
Gaming and Leisure Properties, Inc. | 4,048 | 210,455 |
Getty Realty Corp. | 2,323 | 68,157 |
Healthcare Realty Trust, Inc. | 4,415 | 115,894 |
Highwoods Properties, Inc. | 2,549 | 90,668 |
Iron Mountain, Inc. | 4,790 | 232,267 |
Kilroy Realty Corp. | 2,118 | 114,753 |
Lamar Advertising Co. Class A | 1,572 | 158,866 |
Life Storage, Inc. | 1,418 | 178,512 |
LXP Industrial Trust | 7,029 | 77,108 |
Medical Properties Trust, Inc. | 9,849 | 169,797 |
National Health Investors, Inc. | 1,552 | 100,632 |
Annual Report | 58 |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Equity Real Estate Investment Trusts (REITs) – continued | ||
National Retail Properties, Inc. | 3,425 | $ 163,064 |
National Storage Affiliates Trust | 1,879 | 103,044 |
Omega Healthcare Investors, Inc. | 4,850 | 150,350 |
One Liberty Properties, Inc. | 1,931 | 53,585 |
Physicians Realty Trust | 5,761 | 102,373 |
Piedmont Office Realty Trust, Inc. Class A | 4,524 | 62,250 |
PotlatchDeltic Corp. | 1,834 | 89,921 |
Rayonier, Inc. | 3,213 | 121,291 |
Regency Centers Corp. | 2,679 | 172,608 |
Retail Opportunity Investments Corp. | 4,422 | 77,208 |
Rexford Industrial Realty, Inc. | 2,632 | 172,159 |
Saul Centers, Inc. | 1,277 | 66,762 |
SL Green Realty Corp. | 1,562 | 77,553 |
Spirit Realty Capital, Inc. | 2,690 | 119,275 |
STAG Industrial, Inc. | 3,435 | 112,599 |
STORE Capital Corp. | 4,802 | 139,354 |
Terreno Realty Corp. | 1,662 | 104,124 |
Urstadt Biddle Properties, Inc. Class A | 3,154 | 58,034 |
5,257,532 | ||
Real Estate Management & Development – 0.3% | ||
Jones Lang LaSalle, Inc. (a) | 843 | 160,735 |
Marcus & Millichap, Inc. | 1,448 | 59,252 |
219,987 | ||
TOTAL REAL ESTATE | 5,477,519 | |
UTILITIES – 2.8% | ||
Electric Utilities – 1.7% | ||
ALLETE, Inc. | 1,622 | 100,677 |
Hawaiian Electric Industries, Inc. | 2,832 | 119,794 |
IDACORP, Inc. | 1,208 | 134,958 |
MGE Energy, Inc. | 1,274 | 103,678 |
NRG Energy, Inc. | 4,652 | 175,613 |
OGE Energy Corp. | 4,123 | 169,373 |
Otter Tail Corp. | 1,521 | 106,881 |
Pinnacle West Capital Corp. | 2,296 | 168,687 |
Portland General Electric Co. | 2,297 | 117,928 |
1,197,589 | ||
Gas Utilities – 0.8% | ||
Chesapeake Utilities Corp. | 685 | 93,934 |
| ||
Shares | Value | |
National Fuel Gas Co. | 2,159 | $ 156,182 |
Southwest Gas Holdings, Inc. | 1,689 | 146,875 |
UGI Corp. | 4,048 | 174,712 |
571,703 | ||
Independent Power and Renewable Electricity Producers – 0.2% | ||
Clearway Energy, Inc. Class C | 3,340 | 125,383 |
Water Utilities – 0.1% | ||
American States Water Co. | 1,157 | 100,856 |
TOTAL UTILITIES | 1,995,531 | |
TOTAL COMMON STOCKS (Cost $73,612,535) | 71,837,640 | |
Money Market Funds – 1.6% | ||
Fidelity Cash Central Fund, 2.01% (d) | 79,533 | 79,549 |
Fidelity Securities Lending Cash Central Fund, 2.01% (d)(e) | 1,033,947 | 1,034,050 |
TOTAL MONEY MARKET FUNDS (Cost $1,113,599) | 1,113,599 | |
TOTAL INVESTMENT IN SECURITIES – 101.4% (Cost $74,726,134) | 72,951,239 | |
NET OTHER ASSETS (LIABILITIES) – (1.4%) | (1,002,234) | |
NET ASSETS – 100.0% | $ 71,949,005 |
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 $55,002 or 0.1% of net assets. | |
(d) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(e) | Investment made with cash collateral received from securities on loan. |
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 | September 2022 | $94,265 | $8,862 | $8,862 |
59 | 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, 2.01% | $ 25,839 | $ 3,873,830 | $ 3,820,120 | $ 725 | $— | $— | $ 79,549 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 92,825 | 7,278,171 | 6,336,946 | 4,504 | — | — | $1,034,050 | 0.0% | ||||||
Total | $118,664 | $11,152,001 | $10,157,066 | $5,229 | $— | $— | $1,113,599 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 2,107,574 | $ 2,107,574 | $ — | $ — | ||||
Consumer Discretionary | 8,976,693 | 8,976,693 | — | — | ||||
Consumer Staples | 2,471,408 | 2,471,408 | — | — | ||||
Energy | 2,969,676 | 2,969,676 | — | — | ||||
Financials | 11,331,315 | 11,331,315 | — | — | ||||
Health Care | 9,658,970 | 9,658,970 | — | — | ||||
Industrials | 12,672,590 | 12,672,590 | — | — | ||||
Information Technology | 10,628,147 | 10,628,147 | — | — | ||||
Materials | 3,548,217 | 3,548,217 | — | — | ||||
Real Estate | 5,477,519 | 5,477,519 | — | — | ||||
Utilities | 1,995,531 | 1,995,531 | — | — | ||||
Money Market Funds | 1,113,599 | 1,113,599 | — | — | ||||
Total Investments in Securities: | $ 72,951,239 | $ 72,951,239 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 8,862 | $ 8,862 | $ — | $ — | ||||
Total Assets | $ 8,862 | $ 8,862 | — | $ — | ||||
Total Derivative Instruments: | $ 8,862 | $ 8,862 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $8,862 | $0 | |
Total Equity Risk | 8,862 | 0 | |
Total Value of Derivatives | $8,862 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 60 |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 4.2% | ||
Diversified Telecommunication Services – 1.2% | ||
Liberty Global PLC Class A (a) | 19,833 | $431,566 |
Lumen Technologies, Inc. | 235,058 | 2,559,782 |
2,991,348 | ||
Interactive Media & Services – 2.1% | ||
Alphabet, Inc. Class A (a) | 35,962 | 4,183,100 |
Meta Platforms, Inc. Class A (a) | 8,721 | 1,387,511 |
5,570,611 | ||
Media – 0.9% | ||
DISH Network Corp. Class A (a) | 17,220 | 299,111 |
Fox Corp. Class A | 13,753 | 455,362 |
Nexstar Media Group, Inc. Class A | 3,121 | 587,903 |
TEGNA, Inc. | 26,291 | 550,533 |
The Interpublic Group of Cos., Inc. | 15,034 | 449,066 |
2,341,975 | ||
TOTAL COMMUNICATION SERVICES | 10,903,934 | |
CONSUMER DISCRETIONARY – 6.3% | ||
Automobiles – 0.4% | ||
Ford Motor Co. | 76,765 | 1,127,678 |
Diversified Consumer Services – 0.6% | ||
Service Corp. International | 20,536 | 1,529,110 |
Hotels, Restaurants & Leisure – 1.7% | ||
Domino's Pizza, Inc. | 2,938 | 1,152,019 |
McDonald's Corp. | 7,498 | 1,974,748 |
Yum! Brands, Inc. | 10,984 | 1,345,980 |
4,472,747 | ||
Household Durables – 0.5% | ||
Lennar Corp. Class A | 14,136 | 1,201,560 |
Multiline Retail – 0.3% | ||
Macy's, Inc. | 50,672 | 894,361 |
Specialty Retail – 2.8% | ||
AutoZone, Inc. (a) | 690 | 1,474,799 |
Dick's Sporting Goods, Inc. | 11,338 | 1,061,123 |
O'Reilly Automotive, Inc. (a) | 2,132 | 1,500,054 |
Signet Jewelers Ltd. | 15,380 | 937,565 |
The Home Depot, Inc. | 7,259 | 2,184,524 |
7,158,065 | ||
TOTAL CONSUMER DISCRETIONARY | 16,383,521 | |
CONSUMER STAPLES – 10.3% | ||
Food Products – 1.6% | ||
Tyson Foods, Inc. Class A | 46,929 | 4,130,221 |
Household Products – 3.8% | ||
Kimberly-Clark Corp. | 31,976 | 4,214,117 |
The Procter & Gamble Co. | 40,336 | 5,603,074 |
9,817,191 |
| ||
Shares | Value | |
Personal Products – 1.5% | ||
The Estee Lauder Cos., Inc. Class A | 14,915 | $ 4,073,287 |
Tobacco – 3.4% | ||
Altria Group, Inc. | 92,481 | 4,056,217 |
Philip Morris International, Inc. | 49,191 | 4,778,905 |
8,835,122 | ||
TOTAL CONSUMER STAPLES | 26,855,821 | |
ENERGY – 9.8% | ||
Oil, Gas & Consumable Fuels – 9.8% | ||
APA Corp. | 222,111 | 8,255,866 |
Marathon Oil Corp. | 369,255 | 9,157,524 |
PDC Energy, Inc. | 124,972 | 8,209,410 |
TOTAL ENERGY | 25,622,800 | |
FINANCIALS – 6.2% | ||
Banks – 0.9% | ||
Popular, Inc. | 16,334 | 1,268,662 |
Western Alliance Bancorp | 15,464 | 1,181,140 |
2,449,802 | ||
Capital Markets – 2.2% | ||
Blackstone, Inc. Class A | 13,358 | 1,363,451 |
Jefferies Financial Group, Inc. | 39,872 | 1,298,631 |
Raymond James Financial, Inc. | 14,095 | 1,387,935 |
S&P Global, Inc. | 4,408 | 1,661,507 |
5,711,524 | ||
Consumer Finance – 2.1% | ||
Capital One Financial Corp. | 11,347 | 1,246,241 |
Credit Acceptance Corp. (a) | 2,871 | 1,653,438 |
Discover Financial Services | 13,584 | 1,371,984 |
Synchrony Financial | 36,310 | 1,215,659 |
5,487,322 | ||
Insurance – 0.5% | ||
Fidelity National Financial, Inc. | 29,656 | 1,185,054 |
Thrifts & Mortgage Finance – 0.5% | ||
Essent Group Ltd. | 32,524 | 1,358,202 |
TOTAL FINANCIALS | 16,191,904 | |
HEALTH CARE – 19.0% | ||
Biotechnology – 2.7% | ||
Moderna, Inc. (a) | 21,678 | 3,557,143 |
Regeneron Pharmaceuticals, Inc. (a) | 5,810 | 3,379,619 |
6,936,762 | ||
Health Care Providers & Services – 10.8% | ||
Elevance Health, Inc. | 8,607 | 4,106,400 |
Laboratory Corp. of America Holdings | 12,066 | 3,163,585 |
McKesson Corp. | 12,885 | 4,401,258 |
Molina Healthcare, Inc. (a) | 11,072 | 3,628,516 |
Quest Diagnostics, Inc. | 24,136 | 3,296,253 |
Tenet Healthcare Corp. (a) | 43,009 | 2,843,755 |
61 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Providers & Services – continued | ||
UnitedHealth Group, Inc. | 12,568 | $ 6,816,129 |
28,255,896 | ||
Life Sciences Tools & Services – 1.1% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 5,253 | 2,958,805 |
Pharmaceuticals – 4.4% | ||
Organon & Co. | 98,301 | 3,118,108 |
Pfizer, Inc. | 95,684 | 4,832,999 |
Zoetis, Inc. | 18,879 | 3,446,361 |
11,397,468 | ||
TOTAL HEALTH CARE | 49,548,931 | |
INDUSTRIALS – 4.8% | ||
Air Freight & Logistics – 0.2% | ||
Expeditors International of Washington, Inc. | 4,588 | 487,475 |
Building Products – 0.6% | ||
Builders FirstSource, Inc. (a) | 7,220 | 490,960 |
Owens Corning | 5,545 | 514,243 |
UFP Industries, Inc. | 6,189 | 570,688 |
1,575,891 | ||
Electrical Equipment – 0.2% | ||
Atkore, Inc. (a) | 4,784 | 474,908 |
Professional Services – 0.1% | ||
Robert Half International, Inc. | 4,317 | 341,647 |
Road & Rail – 3.7% | ||
CSX Corp. | 132,189 | 4,273,670 |
Old Dominion Freight Line, Inc. | 1,608 | 488,044 |
Union Pacific Corp. | 20,835 | 4,735,796 |
9,497,510 | ||
TOTAL INDUSTRIALS | 12,377,431 | |
INFORMATION TECHNOLOGY – 21.9% | ||
Communications Equipment – 0.6% | ||
Cisco Systems, Inc. | 32,909 | 1,493,081 |
IT Services – 4.4% | ||
Accenture PLC Class A | 5,043 | 1,544,469 |
Automatic Data Processing, Inc. | 5,087 | 1,226,577 |
Cognizant Technology Solutions Corp. Class A | 9,598 | 652,280 |
Gartner, Inc. (a) | 2,464 | 654,143 |
International Business Machines Corp. | 9,002 | 1,177,372 |
Mastercard, Inc. Class A | 6,088 | 2,153,874 |
Paychex, Inc. | 6,636 | 851,266 |
VeriSign, Inc. (a) | 3,196 | 604,555 |
Visa, Inc. Class A | 11,397 | 2,417,418 |
11,281,954 |
| ||
Shares | Value | |
Semiconductors & Semiconductor Equipment – 4.8% | ||
Applied Materials, Inc. | 9,069 | $ 961,133 |
Broadcom, Inc. | 3,189 | 1,707,646 |
Intel Corp. | 33,639 | 1,221,432 |
KLA Corp. | 2,373 | 910,140 |
Lam Research Corp. | 1,749 | 875,392 |
Micron Technology, Inc. | 13,073 | 808,696 |
NVIDIA Corp. | 15,659 | 2,844,144 |
QUALCOMM, Inc. | 9,191 | 1,333,246 |
Synaptics, Inc. (a) | 3,087 | 447,461 |
Texas Instruments, Inc. | 8,218 | 1,470,118 |
12,579,408 | ||
Software – 6.3% | ||
Adobe, Inc. (a) | 3,664 | 1,502,680 |
Fortinet, Inc. (a) | 13,461 | 802,948 |
Intuit, Inc. | 2,598 | 1,185,130 |
Microsoft Corp. | 41,615 | 11,682,995 |
Oracle Corp. | 15,683 | 1,220,765 |
16,394,518 | ||
Technology Hardware, Storage & Peripherals – 5.8% | ||
Apple, Inc. | 85,736 | 13,932,957 |
HP, Inc. | 21,649 | 722,860 |
Seagate Technology Holdings PLC | 6,518 | 521,310 |
15,177,127 | ||
TOTAL INFORMATION TECHNOLOGY | 56,926,088 | |
MATERIALS – 8.5% | ||
Chemicals – 2.7% | ||
Olin Corp. | 136,761 | 7,148,497 |
Metals & Mining – 3.3% | ||
Nucor Corp. | 63,542 | 8,629,004 |
Paper & Forest Products – 2.5% | ||
Louisiana-Pacific Corp. | 101,183 | 6,438,274 |
TOTAL MATERIALS | 22,215,775 | |
REAL ESTATE – 4.7% | ||
Equity Real Estate Investment Trusts (REITs) – 4.7% | ||
Extra Space Storage, Inc. | 23,001 | 4,359,149 |
Kimco Realty Corp. | 192,338 | 4,252,593 |
Simon Property Group, Inc. | 33,228 | 3,609,890 |
TOTAL REAL ESTATE | 12,221,632 | |
UTILITIES – 4.2% | ||
Electric Utilities – 1.9% | ||
NRG Energy, Inc. | 128,924 | 4,866,881 |
Annual Report | 62 |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Gas Utilities – 2.3% | ||
National Fuel Gas Co. | 82,250 | $ 5,949,965 |
TOTAL UTILITIES | 10,816,846 | |
TOTAL COMMON STOCKS (Cost $274,088,935) | 260,064,683 | |
Money Market Fund – 0.0% | ||
Fidelity Cash Central Fund, 2.01% (b) (Cost $111,694) | 111,671 | 111,694 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $274,200,629) | 260,176,377 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 202,352 | |
NET ASSETS – 100.0% | $ 260,378,729 |
Legend | ||
(a) | Non-income producing. | |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Fund | 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, 2.01% | $— | $5,723,152 | $5,611,458 | $539 | $— | $— | $111,694 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 10,903,934 | $ 10,903,934 | $ — | $ — | ||||
Consumer Discretionary | 16,383,521 | 16,383,521 | — | — | ||||
Consumer Staples | 26,855,821 | 26,855,821 | — | — | ||||
Energy | 25,622,800 | 25,622,800 | — | — | ||||
Financials | 16,191,904 | 16,191,904 | — | — | ||||
Health Care | 49,548,931 | 49,548,931 | — | — | ||||
Industrials | 12,377,431 | 12,377,431 | — | — | ||||
Information Technology | 56,926,088 | 56,926,088 | — | — | ||||
Materials | 22,215,775 | 22,215,775 | — | — | ||||
Real Estate | 12,221,632 | 12,221,632 | — | — | ||||
Utilities | 10,816,846 | 10,816,846 | — | — | ||||
Money Market Fund | 111,694 | 111,694 | — | — | ||||
Total Investments in Securities: | $ 260,176,377 | $ 260,176,377 | $ — | $ — |
63 | Annual Report |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.0% | ||
Diversified Telecommunication Services – 0.4% | ||
Liberty Global PLC Class C (a) | 2,592 | $ 59,331 |
Interactive Media & Services – 5.3% | ||
Alphabet, Inc. Class A (a) | 4,700 | 546,704 |
Meta Platforms, Inc. Class A (a) | 1,146 | 182,328 |
Ziff Davis, Inc. (a) | 684 | 56,013 |
785,045 | ||
Media – 2.3% | ||
Fox Corp. Class A | 1,799 | 59,565 |
Nexstar Media Group, Inc. Class A | 408 | 76,855 |
Omnicom Group, Inc. | 937 | 65,440 |
TEGNA, Inc. | 3,442 | 72,075 |
The Interpublic Group of Cos., Inc. | 1,971 | 58,874 |
332,809 | ||
TOTAL COMMUNICATION SERVICES | 1,177,185 | |
CONSUMER DISCRETIONARY – 12.1% | ||
Automobiles – 0.8% | ||
Ford Motor Co. | 7,665 | 112,599 |
Diversified Consumer Services – 2.5% | ||
H&R Block, Inc. | 5,278 | 210,909 |
Service Corp. International | 2,057 | 153,164 |
364,073 | ||
Hotels, Restaurants & Leisure – 3.0% | ||
Domino's Pizza, Inc. | 293 | 114,888 |
McDonald's Corp. | 750 | 197,528 |
Yum! Brands, Inc. | 1,096 | 134,304 |
446,720 | ||
Household Durables – 2.3% | ||
Lennar Corp. Class A | 1,416 | 120,360 |
PulteGroup, Inc. | 2,439 | 106,389 |
Toll Brothers, Inc. | 2,178 | 107,114 |
333,863 | ||
Specialty Retail – 3.5% | ||
AutoZone, Inc. (a) | 69 | 147,480 |
O'Reilly Automotive, Inc. (a) | 213 | 149,865 |
The Home Depot, Inc. | 725 | 218,181 |
515,526 | ||
TOTAL CONSUMER DISCRETIONARY | 1,772,781 | |
CONSUMER STAPLES – 5.7% | ||
Food Products – 0.9% | ||
The Hershey Co. | 551 | 125,606 |
Household Products – 3.0% | ||
Colgate-Palmolive Co. | 1,531 | 120,551 |
Kimberly-Clark Corp. | 867 | 114,262 |
The Procter & Gamble Co. | 1,502 | 208,643 |
443,456 |
| ||
Shares | Value | |
Tobacco – 1.8% | ||
Altria Group, Inc. | 2,677 | $117,413 |
Philip Morris International, Inc. | 1,543 | 149,902 |
267,315 | ||
TOTAL CONSUMER STAPLES | 836,377 | |
ENERGY – 3.7% | ||
Oil, Gas & Consumable Fuels – 3.7% | ||
ConocoPhillips | 2,131 | 207,624 |
EOG Resources, Inc. | 1,551 | 172,502 |
Kinder Morgan, Inc. | 9,399 | 169,088 |
TOTAL ENERGY | 549,214 | |
FINANCIALS – 11.3% | ||
Banks – 0.9% | ||
Popular, Inc. | 1,598 | 124,117 |
Capital Markets – 3.8% | ||
Houlihan Lokey, Inc. | 1,399 | 118,299 |
MSCI, Inc. | 293 | 141,033 |
Raymond James Financial, Inc. | 1,383 | 136,184 |
S&P Global, Inc. | 431 | 162,457 |
557,973 | ||
Consumer Finance – 3.7% | ||
Capital One Financial Corp. | 1,111 | 122,021 |
Credit Acceptance Corp. (a) | 281 | 161,831 |
Discover Financial Services | 1,333 | 134,633 |
Synchrony Financial | 3,567 | 119,423 |
537,908 | ||
Insurance – 2.9% | ||
Aflac, Inc. | 2,445 | 140,099 |
American Financial Group, Inc. | 1,096 | 146,513 |
The Travelers Cos., Inc. | 915 | 145,210 |
431,822 | ||
TOTAL FINANCIALS | 1,651,820 | |
HEALTH CARE – 14.1% | ||
Biotechnology – 2.7% | ||
Gilead Sciences, Inc. | 2,198 | 131,331 |
Regeneron Pharmaceuticals, Inc. (a) | 222 | 129,135 |
United Therapeutics Corp. (a) | 589 | 136,100 |
396,566 | ||
Health Care Providers & Services – 2.5% | ||
Laboratory Corp. of America Holdings | 443 | 116,150 |
Molina Healthcare, Inc. (a) | 403 | 132,071 |
Quest Diagnostics, Inc. | 880 | 120,182 |
368,403 | ||
Life Sciences Tools & Services – 0.7% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 190 | 107,019 |
Pharmaceuticals – 8.2% | ||
Eli Lilly & Co. | 754 | 248,586 |
Annual Report | 64 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Pharmaceuticals – continued | ||
Johnson & Johnson | 1,619 | $ 282,548 |
Merck & Co., Inc. | 2,361 | 210,932 |
Organon & Co. | 3,539 | 112,257 |
Pfizer, Inc. | 4,180 | 211,132 |
Zoetis, Inc. | 737 | 134,539 |
1,199,994 | ||
TOTAL HEALTH CARE | 2,071,982 | |
INDUSTRIALS – 8.9% | ||
Air Freight & Logistics – 0.9% | ||
Expeditors International of Washington, Inc. | 1,267 | 134,619 |
Building Products – 0.8% | ||
AO Smith Corp. | 1,850 | 117,049 |
Commercial Services & Supplies – 2.3% | ||
Republic Services, Inc. | 1,129 | 156,547 |
Waste Management, Inc. | 1,052 | 173,117 |
329,664 | ||
Electrical Equipment – 0.9% | ||
Atkore, Inc. (a) | 1,317 | 130,739 |
Machinery – 1.9% | ||
Otis Worldwide Corp. | 1,791 | 140,002 |
Snap-on, Inc. | 637 | 142,720 |
282,722 | ||
Road & Rail – 2.1% | ||
Old Dominion Freight Line, Inc. | 442 | 134,152 |
Union Pacific Corp. | 781 | 177,521 |
311,673 | ||
TOTAL INDUSTRIALS | 1,306,466 | |
INFORMATION TECHNOLOGY – 27.2% | ||
IT Services – 7.1% | ||
Accenture PLC Class A | 399 | 122,198 |
Akamai Technologies, Inc. (a) | 563 | 54,172 |
Amdocs Ltd. | 796 | 69,300 |
Automatic Data Processing, Inc. | 437 | 105,369 |
Cognizant Technology Solutions Corp. Class A | 863 | 58,649 |
Concentrix Corp. | 305 | 40,797 |
Gartner, Inc. (a) | 229 | 60,795 |
Mastercard, Inc. Class A | 465 | 164,512 |
Paychex, Inc. | 603 | 77,353 |
The Western Union Co. | 3,244 | 55,213 |
VeriSign, Inc. (a) | 299 | 56,559 |
Visa, Inc. Class A | 863 | 183,051 |
1,047,968 | ||
Semiconductors & Semiconductor Equipment – 3.6% | ||
Applied Materials, Inc. | 757 | 80,227 |
| ||
Shares | Value | |
Intel Corp. | 2,680 | $ 97,311 |
KLA Corp. | 210 | 80,543 |
Lam Research Corp. | 150 | 75,076 |
Micron Technology, Inc. | 1,113 | 68,850 |
Texas Instruments, Inc. | 666 | 119,141 |
521,148 | ||
Software – 9.0% | ||
Adobe, Inc. (a) | 287 | 117,705 |
Dolby Laboratories, Inc. Class A | 701 | 54,257 |
Fortinet, Inc. (a) | 1,220 | 72,773 |
Intuit, Inc. | 212 | 96,708 |
Microsoft Corp. | 2,934 | 823,691 |
Oracle Corp. | 1,293 | 100,647 |
VMware, Inc. Class A | 518 | 60,192 |
1,325,973 | ||
Technology Hardware, Storage & Peripherals – 7.5% | ||
Apple, Inc. | 6,027 | 979,448 |
HP, Inc. | 1,952 | 65,177 |
Seagate Technology Holdings PLC | 609 | 48,708 |
1,093,333 | ||
TOTAL INFORMATION TECHNOLOGY | 3,988,422 | |
MATERIALS – 2.9% | ||
Construction Materials – 0.8% | ||
Eagle Materials, Inc. | 951 | 120,254 |
Metals & Mining – 1.2% | ||
Nucor Corp. | 1,301 | 176,676 |
Paper & Forest Products – 0.9% | ||
Louisiana-Pacific Corp. | 1,983 | 126,178 |
TOTAL MATERIALS | 423,108 | |
REAL ESTATE – 3.0% | ||
Equity Real Estate Investment Trusts (REITs) – 3.0% | ||
Extra Space Storage, Inc. | 832 | 157,681 |
Public Storage | 491 | 160,267 |
STAG Industrial, Inc. | 3,829 | 125,515 |
TOTAL REAL ESTATE | 443,463 | |
UTILITIES – 3.0% | ||
Electric Utilities – 1.5% | ||
Exelon Corp. | 4,587 | 213,250 |
65 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Gas Utilities – 1.5% | ||
National Fuel Gas Co. | 3,047 | $ 220,420 |
TOTAL UTILITIES | 433,670 | |
TOTAL COMMON STOCKS (Cost $14,548,443) | 14,654,488 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $14,548,443) | 14,654,488 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 21,899 | |
NET ASSETS – 100.0% | $ 14,676,387 |
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, 2.01% | $7,306 | $272,079 | $279,385 | $8 | $— | $— | $— | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 1,177,185 | $ 1,177,185 | $ — | $ — | ||||
Consumer Discretionary | 1,772,781 | 1,772,781 | — | — | ||||
Consumer Staples | 836,377 | 836,377 | — | — | ||||
Energy | 549,214 | 549,214 | — | — | ||||
Financials | 1,651,820 | 1,651,820 | — | — | ||||
Health Care | 2,071,982 | 2,071,982 | — | — | ||||
Industrials | 1,306,466 | 1,306,466 | — | — | ||||
Information Technology | 3,988,422 | 3,988,422 | — | — | ||||
Materials | 423,108 | 423,108 | — | — | ||||
Real Estate | 443,463 | 443,463 | — | — | ||||
Utilities | 433,670 | 433,670 | — | — | ||||
Total Investments in Securities: | $ 14,654,488 | $ 14,654,488 | $ — | $ — |
Annual Report | 66 |
Common Stocks – 99.8% | ||
Shares | Value | |
COMMUNICATION SERVICES – 7.7% | ||
Diversified Telecommunication Services – 1.4% | ||
AT&T, Inc. | 160,861 | $3,020,970 |
Verizon Communications, Inc. | 84,775 | 3,915,757 |
6,936,727 | ||
Entertainment – 0.1% | ||
Warner Bros Discovery, Inc. (a) | 38,881 | 583,215 |
Interactive Media & Services – 4.9% | ||
Alphabet, Inc. Class A (a) | 161,080 | 18,736,825 |
Meta Platforms, Inc. Class A (a) | 37,588 | 5,980,251 |
24,717,076 | ||
Media – 1.3% | ||
Comcast Corp. Class A | 92,806 | 3,482,081 |
Fox Corp. Class A | 47,238 | 1,564,050 |
Paramount Global Class B | 59,068 | 1,396,959 |
6,443,090 | ||
TOTAL COMMUNICATION SERVICES | 38,680,108 | |
CONSUMER DISCRETIONARY – 10.9% | ||
Automobiles – 1.2% | ||
Ford Motor Co. | 216,044 | 3,173,686 |
General Motors Co. | 80,675 | 2,925,276 |
6,098,962 | ||
Hotels, Restaurants & Leisure – 2.7% | ||
Booking Holdings, Inc. (a) | 1,880 | 3,639,097 |
McDonald's Corp. | 22,252 | 5,860,509 |
Starbucks Corp. | 49,505 | 4,197,034 |
13,696,640 | ||
Household Durables – 2.5% | ||
D.R. Horton, Inc. | 41,527 | 3,240,352 |
Lennar Corp. Class A | 38,379 | 3,262,215 |
PulteGroup, Inc. | 65,556 | 2,859,553 |
Toll Brothers, Inc. | 58,178 | 2,861,194 |
12,223,314 | ||
Internet & Direct Marketing Retail – 3.7% | ||
Amazon.com, Inc. (a) | 136,033 | 18,357,653 |
Multiline Retail – 0.8% | ||
Kohl's Corp. | 58,130 | 1,693,908 |
Macy's, Inc. | 135,289 | 2,387,851 |
4,081,759 | ||
TOTAL CONSUMER DISCRETIONARY | 54,458,328 | |
CONSUMER STAPLES – 5.9% | ||
Food & Staples Retailing – 1.1% | ||
The Kroger Co. | 66,865 | 3,105,211 |
Walgreens Boots Alliance, Inc. | 62,244 | 2,466,107 |
5,571,318 | ||
Food Products – 1.3% | ||
Archer-Daniels-Midland Co. | 41,870 | 3,465,580 |
| ||
Shares | Value | |
Tyson Foods, Inc. Class A | 32,839 | $ 2,890,160 |
6,355,740 | ||
Household Products – 1.9% | ||
Kimberly-Clark Corp. | 23,556 | 3,104,446 |
The Procter & Gamble Co. | 47,143 | 6,548,634 |
9,653,080 | ||
Tobacco – 1.6% | ||
Altria Group, Inc. | 75,681 | 3,319,369 |
Philip Morris International, Inc. | 45,316 | 4,402,449 |
7,721,818 | ||
TOTAL CONSUMER STAPLES | 29,301,956 | |
ENERGY – 4.5% | ||
Oil, Gas & Consumable Fuels – 4.5% | ||
APA Corp. | 39,970 | 1,485,685 |
Chevron Corp. | 33,906 | 5,553,125 |
ConocoPhillips | 30,399 | 2,961,775 |
Exxon Mobil Corp. | 69,814 | 6,767,071 |
Marathon Oil Corp. | 68,519 | 1,699,271 |
Occidental Petroleum Corp. | 41,901 | 2,754,991 |
PDC Energy, Inc. | 21,221 | 1,394,007 |
TOTAL ENERGY | 22,615,925 | |
FINANCIALS – 10.9% | ||
Banks – 3.9% | ||
Bank of America Corp. | 152,490 | 5,155,687 |
Citigroup, Inc. | 68,061 | 3,532,366 |
JPMorgan Chase & Co. | 56,711 | 6,542,181 |
Wells Fargo & Co. | 101,628 | 4,458,420 |
19,688,654 | ||
Capital Markets – 1.4% | ||
Goldman Sachs Group, Inc. | 12,101 | 4,034,352 |
Raymond James Financial, Inc. | 28,061 | 2,763,167 |
6,797,519 | ||
Consumer Finance – 2.0% | ||
Ally Financial, Inc. | 61,862 | 2,045,777 |
Capital One Financial Corp. | 24,189 | 2,656,678 |
Discover Financial Services | 27,702 | 2,797,902 |
Synchrony Financial | 72,709 | 2,434,297 |
9,934,654 | ||
Diversified Financial Services – 1.9% | ||
Berkshire Hathaway, Inc. Class B (a) | 32,383 | 9,734,330 |
Insurance – 0.6% | ||
MetLife, Inc. | 50,166 | 3,172,999 |
Thrifts & Mortgage Finance – 1.1% | ||
Essent Group Ltd. | 62,934 | 2,628,124 |
MGIC Investment Corp. | 186,346 | 2,634,932 |
5,263,056 | ||
TOTAL FINANCIALS | 54,591,212 |
67 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 14.2% | ||
Biotechnology – 3.1% | ||
Gilead Sciences, Inc. | 86,555 | $ 5,171,661 |
Moderna, Inc. (a) | 32,622 | 5,352,944 |
Regeneron Pharmaceuticals, Inc. (a) | 8,778 | 5,106,075 |
15,630,680 | ||
Health Care Providers & Services – 3.4% | ||
CVS Health Corp. | 59,342 | 5,677,843 |
Elevance Health, Inc. | 13,315 | 6,352,586 |
Laboratory Corp. of America Holdings | 17,790 | 4,664,360 |
16,694,789 | ||
Life Sciences Tools & Services – 0.9% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 7,669 | 4,319,641 |
Pharmaceuticals – 6.8% | ||
Bristol-Myers Squibb Co. | 100,434 | 7,410,021 |
Johnson & Johnson | 60,547 | 10,566,662 |
Merck & Co., Inc. | 90,792 | 8,111,357 |
Pfizer, Inc. | 158,519 | 8,006,795 |
34,094,835 | ||
TOTAL HEALTH CARE | 70,739,945 | |
INDUSTRIALS – 9.0% | ||
Aerospace & Defense – 1.5% | ||
Lockheed Martin Corp. | 8,879 | 3,674,219 |
Northrop Grumman Corp. | 7,880 | 3,773,732 |
7,447,951 | ||
Air Freight & Logistics – 1.3% | ||
FedEx Corp. | 12,157 | 2,833,675 |
United Parcel Service, Inc. Class B | 19,133 | 3,728,830 |
6,562,505 | ||
Building Products – 1.0% | ||
Builders FirstSource, Inc. (a) | 34,534 | 2,348,312 |
Owens Corning | 26,192 | 2,429,046 |
4,777,358 | ||
Electrical Equipment – 0.4% | ||
Atkore, Inc. (a) | 22,296 | 2,213,324 |
Industrial Conglomerates – 0.6% | ||
3M Co. | 20,976 | 3,004,602 |
Machinery – 1.9% | ||
Caterpillar, Inc. | 18,075 | 3,583,369 |
Cummins, Inc. | 11,648 | 2,577,819 |
Deere & Co. | 9,642 | 3,308,941 |
9,470,129 | ||
Professional Services – 0.3% | ||
ManpowerGroup, Inc. | 21,721 | 1,703,144 |
Road & Rail – 2.0% | ||
CSX Corp. | 92,946 | 3,004,944 |
Norfolk Southern Corp. | 11,213 | 2,816,369 |
| ||
Shares | Value | |
Union Pacific Corp. | 17,398 | $ 3,954,566 |
9,775,879 | ||
TOTAL INDUSTRIALS | 44,954,892 | |
INFORMATION TECHNOLOGY – 27.6% | ||
IT Services – 7.5% | ||
Accenture PLC Class A | 20,522 | 6,285,068 |
Amdocs Ltd. | 57,169 | 4,977,133 |
Cognizant Technology Solutions Corp. Class A | 56,507 | 3,840,216 |
International Business Machines Corp. | 42,619 | 5,574,139 |
PayPal Holdings, Inc. (a) | 49,570 | 4,289,292 |
The Western Union Co. | 234,717 | 3,994,883 |
Visa, Inc. Class A | 40,084 | 8,502,217 |
37,462,948 | ||
Semiconductors & Semiconductor Equipment – 2.6% | ||
Intel Corp. | 141,039 | 5,121,126 |
Micron Technology, Inc. | 66,630 | 4,121,732 |
Qorvo, Inc. (a) | 34,677 | 3,608,835 |
12,851,693 | ||
Software – 7.0% | ||
Microsoft Corp. | 110,891 | 31,131,539 |
VMware, Inc. Class A | 35,532 | 4,128,819 |
35,260,358 | ||
Technology Hardware, Storage & Peripherals – 10.5% | ||
Apple, Inc. | 225,461 | 36,639,667 |
DELL Technologies, Inc. Class C | 76,058 | 3,427,174 |
Hewlett Packard Enterprise Co. | 270,905 | 3,857,687 |
HP, Inc. | 128,334 | 4,285,072 |
Western Digital Corp. (a) | 85,882 | 4,216,806 |
52,426,406 | ||
TOTAL INFORMATION TECHNOLOGY | 138,001,405 | |
MATERIALS – 3.0% | ||
Chemicals – 0.9% | ||
Dow, Inc. | 28,948 | 1,540,323 |
LyondellBasell Industries N.V. Class A | 15,274 | 1,361,219 |
The Mosaic Co. | 32,459 | 1,709,291 |
4,610,833 | ||
Containers & Packaging – 0.3% | ||
International Paper Co. | 29,986 | 1,282,501 |
Metals & Mining – 1.6% | ||
Cleveland-Cliffs, Inc. (a) | 69,277 | 1,226,896 |
Freeport-McMoRan, Inc. | 50,032 | 1,578,510 |
Nucor Corp. | 14,272 | 1,938,137 |
Steel Dynamics, Inc. | 22,623 | 1,761,879 |
United States Steel Corp. (b) | 57,434 | 1,358,314 |
7,863,736 |
Annual Report | 68 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Paper & Forest Products – 0.2% | ||
Louisiana-Pacific Corp. | 18,407 | $ 1,171,238 |
TOTAL MATERIALS | 14,928,308 | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 2.9% | ||
Gaming and Leisure Properties, Inc. | 24,708 | 1,284,569 |
Highwoods Properties, Inc. | 23,816 | 847,135 |
Kilroy Realty Corp. | 15,844 | 858,428 |
Kimco Realty Corp. | 47,978 | 1,060,794 |
Medical Properties Trust, Inc. | 51,105 | 881,050 |
Omega Healthcare Investors, Inc. | 36,966 | 1,145,946 |
Prologis, Inc. | 15,670 | 2,077,215 |
Realty Income Corp. | 21,297 | 1,575,765 |
Simon Property Group, Inc. | 10,844 | 1,178,092 |
SL Green Realty Corp. | 14,116 | 700,859 |
VICI Properties, Inc. | 42,076 | 1,438,578 |
Weyerhaeuser Co. | 32,936 | 1,196,236 |
14,244,667 | ||
Real Estate Management & Development – 0.4% | ||
CBRE Group, Inc. Class A (a) | 13,735 | 1,175,991 |
Jones Lang LaSalle, Inc. (a) | 4,436 | 845,812 |
2,021,803 | ||
TOTAL REAL ESTATE | 16,266,470 | |
UTILITIES – 2.8% | ||
Electric Utilities – 2.4% | ||
American Electric Power Co., Inc. | 19,126 | 1,885,058 |
Duke Energy Corp. | 20,718 | 2,277,530 |
Exelon Corp. | 38,632 | 1,796,002 |
NRG Energy, Inc. | 32,082 | 1,211,095 |
PG&E Corp. (a) | 114,359 | 1,241,939 |
PPL Corp. | 48,078 | 1,398,108 |
| ||
Shares | Value | |
The Southern Co. | 30,110 | $ 2,315,158 |
12,124,890 | ||
Multi-Utilities – 0.4% | ||
Sempra Energy | 12,432 | 2,061,226 |
TOTAL UTILITIES | 14,186,116 | |
TOTAL COMMON STOCKS (Cost $503,936,690) | 498,724,665 | |
Money Market Funds – 0.3% | ||
Fidelity Cash Central Fund, 2.01% (c) | 474,391 | 474,486 |
Fidelity Securities Lending Cash Central Fund, 2.01% (c)(d) | 834,292 | 834,375 |
TOTAL MONEY MARKET FUNDS (Cost $1,308,861) | 1,308,861 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $505,245,551) | 500,033,526 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (360,549) | |
NET ASSETS – 100.0% | $ 499,672,977 |
Legend | ||
(a) | Non-income producing. | |
(b) | Security or a portion of the security is on loan at period end. | |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. | |
(d) | Investment made with cash collateral received from securities on loan. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 31 | September 2022 | $640,693 | $59,075 | $59,075 |
69 | 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, 2.01% | $ 647,052 | $16,563,639 | $16,736,205 | $ 2,494 | $— | $— | $ 474,486 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 3,639,908 | 72,851,375 | 75,656,908 | 18,946 | — | — | $ 834,375 | 0.0% | ||||||
Total | $4,286,960 | $89,415,014 | $92,393,113 | $21,440 | $— | $— | $1,308,861 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 38,680,108 | $ 38,680,108 | $ — | $ — | ||||
Consumer Discretionary | 54,458,328 | 54,458,328 | — | — | ||||
Consumer Staples | 29,301,956 | 29,301,956 | — | — | ||||
Energy | 22,615,925 | 22,615,925 | — | — | ||||
Financials | 54,591,212 | 54,591,212 | — | — | ||||
Health Care | 70,739,945 | 70,739,945 | — | — | ||||
Industrials | 44,954,892 | 44,954,892 | — | — | ||||
Information Technology | 138,001,405 | 138,001,405 | — | — | ||||
Materials | 14,928,308 | 14,928,308 | — | — | ||||
Real Estate | 16,266,470 | 16,266,470 | — | — | ||||
Utilities | 14,186,116 | 14,186,116 | — | — | ||||
Money Market Funds | 1,308,861 | 1,308,861 | — | — | ||||
Total Investments in Securities: | $ 500,033,526 | $ 500,033,526 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 59,075 | $ 59,075 | $ — | $ — | ||||
Total Assets | $ 59,075 | $ 59,075 | — | $ — | ||||
Total Derivative Instruments: | $ 59,075 | $ 59,075 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $59,075 | $0 | |
Total Equity Risk | 59,075 | 0 | |
Total Value of Derivatives | $59,075 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 70 |
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 $16,178,663, $15,732,727, $1,713,449 and $995,227, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $610,774,145 | $1,274,012,654 | $443,345,227 | $116,467,279 | |||
Fidelity Central Funds | 18,216,163 | 18,802,750 | 2,875,458 | 1,185,130 | |||
Total Investments in Securities | $628,990,308 | $1,292,815,404 | $446,220,685 | $117,652,409 | |||
Segregated cash with brokers for derivative instruments | 52,500 | 189,000 | 73,500 | 10,500 | |||
Cash | — | — | — | 9,291 | |||
Foreign currency held at value (cost $959,291, $15,447, $— and $—, respectively) | 936,810 | 15,441 | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 1,139,326 | 3,045,175 | 398,028 | 100,021 | |||
Receivable for daily variation margin on futures contracts | 15,000 | 54,000 | 21,000 | 3,000 | |||
Distributions receivable from Fidelity Central Funds | 17,960 | 12,936 | 1,523 | 4,266 | |||
Total assets | 631,151,904 | 1,296,131,956 | 446,714,736 | 117,779,487 | |||
Liabilities | |||||||
Payable for investments purchased | 2,314,313 | 1,731,023 | — | — | |||
Accrued management fees | 142,873 | 287,388 | 103,316 | 26,268 | |||
Collateral on securities loaned, at value | 16,551,925 | 16,059,350 | 1,748,660 | 1,004,850 | |||
Total liabilities | 19,009,111 | 18,077,761 | 1,851,976 | 1,031,118 | |||
Net Assets | $612,142,793 | $1,278,054,195 | $444,862,760 | $116,748,369 | |||
Net Assets consist of: | |||||||
Paid in capital | $609,109,222 | $1,279,276,536 | $465,736,372 | $136,421,010 | |||
Total accumulated earnings (loss) | 3,033,571 | (1,222,341) | (20,873,612) | (19,672,641) | |||
Net Assets | $612,142,793 | $1,278,054,195 | $444,862,760 | $116,748,369 | |||
Shares outstanding | 14,900,000 | 33,250,000 | 9,350,000 | 2,550,000 | |||
Net Asset Value per share | $ 41.08 | $ 38.44 | $ 47.58 | $ 45.78 | |||
Investments at cost – Unaffiliated issuers | $569,049,523 | $1,222,338,336 | $431,452,966 | $109,660,524 | |||
Investments at cost – Fidelity Central Funds | 18,216,163 | 18,802,750 | 2,875,458 | 1,185,130 | |||
Investments at cost | $587,265,686 | $1,241,141,086 | $434,328,424 | $110,845,654 |
Annual Report | 72 |
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 $3,519,772, $1,024,664, $— and $—, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $266,108,712 | $71,837,640 | $260,064,683 | $14,654,488 | |||
Fidelity Central Funds | 3,815,956 | 1,113,599 | 111,694 | — | |||
Total Investments in Securities | $269,924,668 | $72,951,239 | $260,176,377 | $14,654,488 | |||
Segregated cash with brokers for derivative instruments | 17,850 | 5,500 | — | — | |||
Cash | 14,778 | 10,931 | 25,787 | 8,287 | |||
Foreign currency held at value (cost $—, $40, $— and $—, respectively) | — | 42 | — | — | |||
Receivable for fund shares sold | 2,378,688 | — | — | — | |||
Dividends receivable | 309,563 | 29,495 | 236,761 | 16,980 | |||
Receivable for daily variation margin on futures contracts | 5,100 | 625 | — | — | |||
Distributions receivable from Fidelity Central Funds | 7,774 | 1,114 | 141 | — | |||
Total assets | 272,658,421 | 72,998,946 | 260,439,066 | 14,679,755 | |||
Liabilities | |||||||
Payable for investments purchased | 2,359,777 | — | — | — | |||
Accrued management fees | 60,560 | 15,891 | 60,337 | 3,368 | |||
Collateral on securities loaned, at value | 3,524,275 | 1,034,050 | — | — | |||
Total liabilities | 5,944,612 | 1,049,941 | 60,337 | 3,368 | |||
Net Assets | $266,713,809 | $71,949,005 | $260,378,729 | $14,676,387 | |||
Net Assets consist of: | |||||||
Paid in capital | $282,932,222 | $79,548,331 | $281,279,573 | $14,977,116 | |||
Total accumulated earnings (loss) | (16,218,413) | (7,599,326) | (20,900,844) | (300,729) | |||
Net Assets | $266,713,809 | $71,949,005 | $260,378,729 | $14,676,387 | |||
Shares outstanding | 5,550,000 | 2,200,000 | 8,200,000 | 600,000 | |||
Net Asset Value per share | $ 48.06 | $ 32.70 | $ 31.75 | $ 24.46 | |||
Investments at cost – Unaffiliated issuers | $263,912,490 | $73,612,535 | $274,088,935 | $14,548,443 | |||
Investments at cost – Fidelity Central Funds | 3,815,956 | 1,113,599 | 111,694 | — | |||
Investments at cost | $267,728,446 | $74,726,134 | $274,200,629 | $14,548,443 |
73 | Annual Report |
Fidelity Value Factor ETF | |
Assets | |
Investments in securities, at value (including securities loaned of $886,875) – See accompanying schedule: | |
Unaffiliated issuers | $498,724,665 |
Fidelity Central Funds | 1,308,861 |
Total Investments in Securities | $500,033,526 |
Segregated cash with brokers for derivative instruments | 32,550 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for fund shares sold | — |
Dividends receivable | 545,998 |
Receivable for daily variation margin on futures contracts | 9,300 |
Distributions receivable from Fidelity Central Funds | 530 |
Total assets | 500,621,904 |
Liabilities | |
Payable for investments purchased | — |
Accrued management fees | 114,552 |
Collateral on securities loaned, at value | 834,375 |
Total liabilities | 948,927 |
Net Assets | $499,672,977 |
Net Assets consist of: | |
Paid in capital | $542,074,216 |
Total accumulated earnings (loss) | (42,401,239) |
Net Assets | $499,672,977 |
Shares outstanding | 10,800,000 |
Net Asset Value per share | $ 46.27 |
Investments at cost – Unaffiliated issuers | $503,936,690 |
Investments at cost – Fidelity Central Funds | 1,308,861 |
Investments at cost | $505,245,551 |
Annual Report | 74 |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 16,000,940 | $ 37,957,376 | $ 7,402,653 | $ 1,381,401 | |||
Non-Cash dividends | — | — | — | — | |||
Interest | 280 | 520 | 111 | 28 | |||
Income from Fidelity Central Funds (including $79,206, $62,843, $1,790 and $9,717, from security lending, respectively) | 82,436 | 71,207 | 4,590 | 10,359 | |||
Total income | 16,083,656 | 38,029,103 | 7,407,354 | 1,391,788 | |||
Expenses | |||||||
Management fees | 1,646,543 | 3,240,024 | 1,375,843 | 344,252 | |||
Independent trustees' fees and expenses | 1,823 | 3,609 | 1,579 | 407 | |||
Interest | 434 | 666 | — | — | |||
Total expenses before reductions | 1,648,800 | 3,244,299 | 1,377,422 | 344,659 | |||
Expense reductions | (7) | (3) | (14) | (17) | |||
Total expenses | 1,648,793 | 3,244,296 | 1,377,408 | 344,642 | |||
Net investment income (loss) | 14,434,863 | 34,784,807 | 6,029,946 | 1,047,146 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (11,470,096) | (18,937,886) | (7,423,941) | (13,764,660) | |||
Net realized gain (loss) on In-kind redemptions | 28,658,945 | 115,017,417 | 64,909,434 | 23,173,071 | |||
Net realized gain (loss) on futures contracts | (298,585) | (748,019) | (84,720) | (19,895) | |||
Net realized gain (loss) on foreign currency transactions | (116,454) | (273,833) | — | — | |||
Total net realized gain (loss) | 16,773,810 | 95,057,679 | 57,400,773 | 9,388,516 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (47,749,689) | (104,209,767) | (66,450,186) | (18,451,246) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 35,166 | 195,381 | 98,068 | 3,131 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (26,397) | (15,491) | — | — | |||
Total change in net unrealized appreciation (depreciation) | (47,740,920) | (104,029,877) | (66,352,118) | (18,448,115) | |||
Net gain (loss) | (30,967,110) | (8,972,198) | (8,951,345) | (9,059,599) | |||
Net increase (decrease) in net assets resulting from operations | $ (16,532,247) | $ 25,812,609 | $ (2,921,399) | $ (8,012,453) |
75 | Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||
Investment Income | |||||||
Dividends | $ 4,013,771 | $ 1,019,032 | $ 3,126,298 | $ 279,127 | |||
Non-Cash dividends | — | 56,521 | — | — | |||
Interest | 70 | 27 | — | — | |||
Income from Fidelity Central Funds (including $26,297, $4,504, $— and $—, from security lending, respectively) | 27,769 | 5,229 | 539 | 8 | |||
Total income | 4,041,610 | 1,080,809 | 3,126,837 | 279,135 | |||
Expenses | |||||||
Management fees | 725,142 | 191,674 | 461,951 | 42,168 | |||
Independent trustees' fees and expenses | 810 | 217 | 449 | 46 | |||
Interest | — | — | — | — | |||
Total expenses before reductions | 725,952 | 191,891 | 462,400 | 42,214 | |||
Expense reductions | (21) | (16) | (13) | (9) | |||
Total expenses | 725,931 | 191,875 | 462,387 | 42,205 | |||
Net investment income (loss) | 3,315,679 | 888,934 | 2,664,450 | 236,930 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (4,455,052) | (4,409,380) | (6,951,751) | (337,879) | |||
Net realized gain (loss) on In-kind redemptions | 35,610,910 | 9,757,165 | 11,336,462 | 770,929 | |||
Net realized gain (loss) on futures contracts | (101,657) | (41,579) | — | — | |||
Net realized gain (loss) on foreign currency transactions | — | (4) | — | — | |||
Total net realized gain (loss) | 31,054,201 | 5,306,202 | 4,384,711 | 433,050 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (49,845,816) | (9,621,088) | (16,922,706) | (1,195,944) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (1) | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 27,369 | 8,862 | — | — | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | (1) | — | — | |||
Total change in net unrealized appreciation (depreciation) | (49,818,448) | (9,612,227) | (16,922,706) | (1,195,944) | |||
Net gain (loss) | (18,764,247) | (4,306,025) | (12,537,995) | (762,894) | |||
Net increase (decrease) in net assets resulting from operations | $(15,448,568) | $ (3,417,091) | $ (9,873,545) | $ (525,964) |
Annual Report | 76 |
Fidelity Value Factor ETF | |
Investment Income | |
Dividends | $ 9,113,199 |
Non-Cash dividends | — |
Interest | 153 |
Income from Fidelity Central Funds (including $18,946 from security lending) | 21,440 |
Total income | 9,134,792 |
Expenses | |
Management fees | 1,390,110 |
Independent trustees' fees and expenses | 1,551 |
Interest | — |
Total expenses before reductions | 1,391,661 |
Expense reductions | (16) |
Total expenses | 1,391,645 |
Net investment income (loss) | 7,743,147 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (13,045,847) |
Net realized gain (loss) on In-kind redemptions | 68,934,700 |
Net realized gain (loss) on futures contracts | (182,873) |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | 55,705,980 |
Change in net unrealized appreciation (depreciation) on investment securities | (90,040,912) |
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — |
Change in net unrealized appreciation (depreciation) on futures contracts | 40,189 |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | (90,000,723) |
Net gain (loss) | (34,294,743) |
Net increase (decrease) in net assets resulting from operations | $(26,551,596) |
77 | Annual Report |
Fidelity Dividend ETF For Rising Rates | Fidelity High Dividend ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 14,434,863 | $ 8,784,728 | $ 34,784,807 | $ 21,768,395 | |||
Net realized gain (loss) | 16,773,810 | 8,411,727 | 95,057,679 | (873,727) | |||
Change in net unrealized appreciation (depreciation) | (47,740,920) | 90,284,912 | (104,029,877) | 217,287,166 | |||
Net increase (decrease) in net assets resulting from operations | (16,532,247) | 107,481,367 | 25,812,609 | 238,181,834 | |||
Distributions to shareholders | (14,425,400) | (8,481,250) | (36,931,550) | (21,671,400) | |||
Share transactions | �� | ||||||
Proceeds from sales of shares | 291,688,328 | 124,130,292 | 758,176,457 | 317,619,142 | |||
Cost of shares redeemed | (138,676,589) | (15,358,454) | (521,124,909) | (2,802,769) | |||
Net increase (decrease) in net assets resulting from share transactions | 153,011,739 | 108,771,838 | 237,051,548 | 314,816,373 | |||
Total increase (decrease) in net assets | 122,054,092 | 207,771,955 | 225,932,607 | 531,326,807 | |||
Net Assets | |||||||
Beginning of year | 490,088,701 | 282,316,746 | 1,052,121,588 | 520,794,781 | |||
End of year | $ 612,142,793 | $490,088,701 | $1,278,054,195 | $1,052,121,588 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,600,000 | 3,050,000 | 19,000,000 | 8,850,000 | |||
Redeemed | (3,200,000) | (450,000) | (13,400,000) | (100,000) | |||
Net increase (decrease) | 3,400,000 | 2,600,000 | 5,600,000 | 8,750,000 |
Annual Report | 78 |
Fidelity Low Volatility Factor ETF | Fidelity Momentum Factor ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 6,029,946 | $ 5,379,525 | $ 1,047,146 | $ 655,181 | |||
Net realized gain (loss) | 57,400,773 | 26,847,966 | 9,388,516 | 15,466,576 | |||
Change in net unrealized appreciation (depreciation) | (66,352,118) | 72,820,962 | (18,448,115) | 11,929,637 | |||
Net increase (decrease) in net assets resulting from operations | (2,921,399) | 105,048,453 | (8,012,453) | 28,051,394 | |||
Distributions to shareholders | (5,937,600) | (5,363,100) | (999,550) | (712,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 286,611,056 | 269,729,319 | 86,253,555 | 112,430,208 | |||
Cost of shares redeemed | (344,785,919) | (208,226,111) | (117,256,850) | (71,334,762) | |||
Net increase (decrease) in net assets resulting from share transactions | (58,174,863) | 61,503,208 | (31,003,295) | 41,095,446 | |||
Total increase (decrease) in net assets | (67,033,862) | 161,188,561 | (40,015,298) | 68,434,840 | |||
Net Assets | |||||||
Beginning of year | 511,896,622 | 350,708,061 | 156,763,667 | 88,328,827 | |||
End of year | $ 444,862,760 | $ 511,896,622 | $ 116,748,369 | $156,763,667 | |||
Other Information | |||||||
Shares | |||||||
Sold | 5,950,000 | 6,300,000 | 1,700,000 | 2,500,000 | |||
Redeemed | (7,100,000) | (4,950,000) | (2,300,000) | (1,600,000) | |||
Net increase (decrease) | (1,150,000) | 1,350,000 | (600,000) | 900,000 |
79 | Annual Report |
Fidelity Quality Factor ETF | Fidelity Small-Mid Multifactor ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,315,679 | $ 2,456,845 | $ 888,934 | $ 529,744 | |||
Net realized gain (loss) | 31,054,201 | 8,878,028 | 5,306,202 | 5,851,497 | |||
Change in net unrealized appreciation (depreciation) | (49,818,448) | 43,078,149 | (9,612,227) | 6,938,993 | |||
Net increase (decrease) in net assets resulting from operations | (15,448,568) | 54,413,022 | (3,417,091) | 13,320,234 | |||
Distributions to shareholders | (3,437,350) | (2,471,800) | (905,700) | (586,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 184,056,355 | 107,535,102 | 67,940,474 | 56,891,867 | |||
Cost of shares redeemed | (144,177,423) | (60,777,523) | (59,607,816) | (20,803,647) | |||
Net increase (decrease) in net assets resulting from share transactions | 39,878,932 | 46,757,579 | 8,332,658 | 36,088,220 | |||
Total increase (decrease) in net assets | 20,993,014 | 98,698,801 | 4,009,867 | 48,822,454 | |||
Net Assets | |||||||
Beginning of year | 245,720,795 | 147,021,994 | 67,939,138 | 19,116,684 | |||
End of year | $ 266,713,809 | $245,720,795 | $ 71,949,005 | $ 67,939,138 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,600,000 | 2,400,000 | 2,000,000 | 1,900,000 | |||
Redeemed | (2,850,000) | (1,450,000) | (1,800,000) | (700,000) | |||
Net increase (decrease) | 750,000 | 950,000 | 200,000 | 1,200,000 |
Annual Report | 80 |
Fidelity Stocks for Inflation ETF | Fidelity U.S. Multifactor ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 2,664,450 | $ 166,284 | $ 236,930 | $ 98,616 | |||
Net realized gain (loss) | 4,384,711 | 448,093 | 433,050 | 555,355 | |||
Change in net unrealized appreciation (depreciation) | (16,922,706) | 3,036,951 | (1,195,944) | 1,301,989 | |||
Net increase (decrease) in net assets resulting from operations | (9,873,545) | 3,651,328 | (525,964) | 1,955,960 | |||
Distributions to shareholders | (2,544,600) | (220,000) | (235,000) | (135,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 327,785,389 | 43,042,176 | 9,088,569 | 14,155,302 | |||
Cost of shares redeemed | (101,071,269) | (4,000,783) | (5,142,624) | (4,484,456) | |||
Net increase (decrease) in net assets resulting from share transactions | 226,714,120 | 39,041,393 | 3,945,945 | 9,670,846 | |||
Total increase (decrease) in net assets | 214,295,975 | 42,472,721 | 3,184,981 | 11,491,406 | |||
Net Assets | |||||||
Beginning of year | 46,082,754 | 3,610,033 | 11,491,406 | — | |||
End of year | $ 260,378,729 | $46,082,754 | $14,676,387 | $11,491,406 | |||
Other Information | |||||||
Shares | |||||||
Sold | 9,900,000 | 1,500,000 | 350,000 | 650,000 | |||
Redeemed | (3,200,000) | (150,000) | (200,000) | (200,000) | |||
Net increase (decrease) | 6,700,000 | 1,350,000 | 150,000 | 450,000 |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
81 | Annual Report |
Fidelity Value Factor ETF | |||
Year ended July 31, 2022 | Year ended July 31, 2021 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 7,743,147 | $ 4,474,089 | |
Net realized gain (loss) | 55,705,980 | 4,981,984 | |
Change in net unrealized appreciation (depreciation) | (90,000,723) | 90,885,205 | |
Net increase (decrease) in net assets resulting from operations | (26,551,596) | 100,341,278 | |
Distributions to shareholders | (7,920,650) | (4,318,450) | |
Share transactions | |||
Proceeds from sales of shares | 409,246,223 | 236,163,931 | |
Cost of shares redeemed | (325,370,322) | (71,833,308) | |
Net increase (decrease) in net assets resulting from share transactions | 83,875,901 | 164,330,623 | |
Total increase (decrease) in net assets | 49,403,655 | 260,353,451 | |
Net Assets | |||
Beginning of year | 450,269,322 | 189,915,871 | |
End of year | $ 499,672,977 | $450,269,322 | |
Other Information | |||
Shares | |||
Sold | 8,250,000 | 5,450,000 | |
Redeemed | (6,650,000) | (1,700,000) | |
Net increase (decrease) | 1,600,000 | 3,750,000 |
Annual Report | 82 |
Fidelity Dividend ETF For Rising Rates | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.08 | 0.93 | 1.01 | 1.07 | 0.93 | ||||
Net realized and unrealized gain (loss) | (1.54) | 10.85 | (0.56) | 0.79 | 3.03 | ||||
Total from investment operations | (0.46) | 11.78 | 0.45 | 1.86 | 3.96 | ||||
Distributions from net investment income | (1.08) | (0.88) | (1.04) | (1.09) | (0.92) | ||||
Total distributions | (1.08) | (0.88) | (1.04) | (1.09) | (0.92) | ||||
Net asset value, end of period | $ 41.08 | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | ||||
Total ReturnC,D | (1.06)% | 37.57% | 1.86% | 6.09% | 14.04% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 2.54% | 2.44% | 3.15% | 3.42% | 3.08% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $612,143 | $490,089 | $282,317 | $360,229 | $346,896 | ||||
Portfolio turnover rateG,H | 28% | 32% | 35% | 35% | 38% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | 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. |
83 | Annual Report |
Fidelity High Dividend ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.21 | 1.02 | 1.10 | 1.23 | 1.09 | ||||
Net realized and unrealized gain (loss) | 0.44 C | 10.48 | (2.52) | (0.03) | 3.21 | ||||
Total from investment operations | 1.65 | 11.50 | (1.42) | 1.20 | 4.30 | ||||
Distributions from net investment income | (1.26) | (1.01) | (1.14) | (1.23) | (1.12) | ||||
Distributions from net realized gain | — | — | — | — | (0.01) | ||||
Total distributions | (1.26) | (1.01) | (1.14) | (1.23) | (1.13) | ||||
Net asset value, end of period | $ 38.44 | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | ||||
Total ReturnD,E | 4.43% | 42.42% | (4.54)% | 4.16% | 16.23% | ||||
Ratios to Average Net AssetsA,F,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 3.11% | 3.04% | 3.85% | 4.15% | 3.80% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,278,054 | $1,052,122 | $520,795 | $362,952 | $171,835 | ||||
Portfolio turnover rateH,I | 38% | 32% | 49% | 50% | 53% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | 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. |
Annual Report | 84 |
Fidelity Low Volatility Factor ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.62 | 0.56 | 0.62 | 0.62 | 0.53 | ||||
Net realized and unrealized gain (loss) | (1.17) | 10.43 | 1.95 | 3.92 | 4.20 | ||||
Total from investment operations | (0.55) | 10.99 | 2.57 | 4.54 | 4.73 | ||||
Distributions from net investment income | (0.62) | (0.57) | (0.61) | (0.57) | (0.52) | ||||
Total distributions | (0.62) | (0.57) | (0.61) | (0.57) | (0.52) | ||||
Net asset value, end of period | $ 47.58 | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | ||||
Total ReturnC,D | (1.12)% | 28.90% | 7.29% | 14.20% | 16.89% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.27% | 1.31% | 1.69% | 1.83% | 1.73% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $444,863 | $511,897 | $350,708 | $245,502 | $66,420 | ||||
Portfolio turnover rateG,H | 28% | 46% | 31% | 36% | 31% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | 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. |
85 | Annual Report |
Fidelity Momentum Factor ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.43 | 0.25 | 0.42 | 0.40 | 0.36 | ||||
Net realized and unrealized gain (loss) | (4.01) | 10.54 | 3.47 | 2.22 | 4.97 | ||||
Total from investment operations | (3.58) | 10.79 | 3.89 | 2.62 | 5.33 | ||||
Distributions from net investment income | (0.41) | (0.28) | (0.43) | (0.40) | (0.35) | ||||
Total distributions | (0.41) | (0.28) | (0.43) | (0.40) | (0.35) | ||||
Net asset value, end of period | $ 45.78 | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | ||||
Total ReturnC,D | (7.20)% | 27.58% | 11.06% | 7.91% | 18.72% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | .88% | .55% | 1.18% | 1.18% | 1.14% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $116,748 | $156,764 | $88,329 | $121,736 | $95,702 | ||||
Portfolio turnover rateG,H | 123% | 128% | 138% | 133% | 125% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | 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. |
Annual Report | 86 |
Fidelity Quality Factor ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.67 | 0.62 | 0.62 | 0.58 | 0.53 | ||||
Net realized and unrealized gain (loss) | (3.10) | 13.00 | 2.90 | 1.77 | 4.38 | ||||
Total from investment operations | (2.43) | 13.62 | 3.52 | 2.35 | 4.91 | ||||
Distributions from net investment income | (0.70) | (0.62) | (0.61) | (0.54) | (0.55) | ||||
Total distributions | (0.70) | (0.62) | (0.61) | (0.54) | (0.55) | ||||
Net asset value, end of period | $ 48.06 | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | ||||
Total ReturnC,D | (4.79)% | 36.00% | 10.26% | 7.14% | 16.95% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.33% | 1.39% | 1.74% | 1.72% | 1.66% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $266,714 | $245,721 | $147,022 | $162,282 | $65,259 | ||||
Portfolio turnover rateG,H | 38% | 35% | 41% | 29% | 30% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | 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. |
87 | Annual Report |
Fidelity Small-Mid Multifactor ETF | |||||||
Year ended July 31, 2022 | 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 | 0.45 | 0.38 | 0.31 | 0.18 | |||
Net realized and unrealized gain (loss) | (1.26) | 10.11 | (1.58) | 0.64 | |||
Total from investment operations | (0.81) | 10.49 | (1.27) | 0.82 | |||
Distributions from net investment income | (0.46) | (0.42) | (0.33) | (0.17) | |||
Total distributions | (0.46) | (0.42) | (0.33) | (0.17) | |||
Net asset value, end of period | $ 32.70 | $ 33.97 | $ 23.90 | $25.50 | |||
Total ReturnD,E,F | (2.35)% | 44.21% | (4.90)% | 3.35% | |||
Ratios to Average Net AssetsB,G,H | |||||||
Expenses before reductions | .29% | .29% | .29% | .29% I | |||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% I | |||
Expenses net of all reductions | .29% | .29% | .29% | .29% I | |||
Net investment income (loss) | 1.35% | 1.23% | 1.32% | 1.70% I | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $71,949 | $67,939 | $19,117 | $7,650 | |||
Portfolio turnover rateJ,K | 60% | 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. |
Annual Report | 88 |
Fidelity Stocks for Inflation ETF | |||||
Year ended July 31, 2022 | 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 | 0.54 | 0.39 | 0.38 | ||
Net realized and unrealized gain (loss) | 1.00 D | 7.08 | (0.90) | ||
Total from investment operations | 1.54 | 7.47 | (0.52) | ||
Distributions from net investment income | (0.51) | (0.82) | (0.35) | ||
Total distributions | (0.51) | (0.82) | (0.35) | ||
Net asset value, end of period | $ 31.75 | $ 30.72 | $24.07 | ||
Total ReturnE,F,G | 5.03% | 31.78% | (1.88)% | ||
Ratios to Average Net AssetsB,H,I | |||||
Expenses before reductions | .29% | .29% | .29% J,K | ||
Expenses net of fee waivers, if any | .29% | .29% | .29% J,K | ||
Expenses net of all reductions | .29% | .29% | .29% J,K | ||
Net investment income (loss) | 1.68% | 1.34% | 2.16% J,K | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $260,379 | $46,083 | $3,610 | ||
Portfolio turnover rateL,M | 76% | 52% | 65% N |
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 | 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. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
J | Annualized. |
K | Proxy expenses are not annualized. |
L | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
M | Portfolio turnover rate excludes securities received or delivered in-kind. |
N | Amount not annualized. |
89 | Annual Report |
Fidelity U.S. Multifactor ETF | |||
Year ended July 31, 2022 | 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 | 0.41 | 0.31 D | |
Net realized and unrealized gain (loss) | (1.09) | 5.62 | |
Total from investment operations | (0.68) | 5.93 | |
Distributions from net investment income | (0.40) | (0.48) | |
Total distributions | (0.40) | (0.48) | |
Net asset value, end of period | $ 24.46 | $ 25.54 | |
Total ReturnE,F,G | (2.64)% | 29.94% | |
Ratios to Average Net AssetsB,H,I | |||
Expenses before reductions | .29% | .29% J | |
Expenses net of fee waivers, if any | .29% | .29% J | |
Expenses net of all reductions | .29% | .29% J | |
Net investment income (loss) | 1.63% | 1.56% D,J | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $14,676 | $11,491 | |
Portfolio turnover rateK,L | 46% | 30% M |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
J | 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. |
Annual Report | 90 |
Fidelity Value Factor ETF | |||||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | Year ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.79 | 0.64 | 0.73 | 0.70 | 0.58 | ||||
Net realized and unrealized gain (loss) | (2.65) | 14.07 | 0.28 | 0.59 | 4.18 | ||||
Total from investment operations | (1.86) | 14.71 | 1.01 | 1.29 | 4.76 | ||||
Distributions from net investment income | (0.81) | (0.62) | (0.69) | (0.66) | (0.58) | ||||
Total distributions | (0.81) | (0.62) | (0.69) | (0.66) | (0.58) | ||||
Net asset value, end of period | $ 46.27 | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | ||||
Total ReturnC,D | (3.86)% | 42.56% | 3.12% | 3.95% | 16.11% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.61% | 1.50% | 2.13% | 2.09% | 1.79% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $499,673 | $450,269 | $189,916 | $136,403 | $86,450 | ||||
Portfolio turnover rateG,H | 46% | 42% | 45% | 31% | 38% |
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 would have been lower if certain expenses had not been reduced during the applicable periods shown. |
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 | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | 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. |
91 | Annual Report |
For the period ended July 31, 2022
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% |
Annual Report | 92 |
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, 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.
93 | 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 | $ 589,043,295 | $ 77,187,822 | $ (37,240,809) | $ 39,947,013 |
Fidelity High Dividend ETF | 1,245,302,434 | 124,020,134 | (76,507,164) | 47,512,970 |
Fidelity Low Volatility Factor ETF | 434,480,629 | 38,872,207 | (27,132,151) | 11,740,056 |
Fidelity Momentum Factor ETF | 110,904,010 | 11,319,248 | (4,570,849) | 6,748,399 |
Fidelity Quality Factor ETF | 267,874,052 | 17,946,634 | (15,896,018) | 2,050,616 |
Fidelity Small-Mid Multifactor ETF | 74,895,844 | 4,035,078 | (5,979,683) | (1,944,605) |
Fidelity Stocks for Inflation ETF | 274,427,708 | 4,365,544 | (18,616,875) | (14,251,331) |
Fidelity U.S. Multifactor ETF | 14,566,909 | 972,434 | (884,855) | 87,579 |
Fidelity Value Factor ETF | 505,672,354 | 34,211,619 | (39,850,447) | (5,638,828) |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 220,380 | $ — | $ (37,105,723) | $ 39,918,913 |
Fidelity High Dividend ETF | — | — | (48,478,976) | 47,503,603 |
Fidelity Low Volatility Factor ETF | 226,741 | — | (32,840,340) | 11,739,987 |
Fidelity Momentum Factor ETF | 47,596 | — | (26,468,636) | 6,748,399 |
Fidelity Quality Factor ETF | 13,689 | — | (18,282,717) | 2,050,615 |
Fidelity Small-Mid Multifactor ETF | — | — | (5,654,648) | (1,944,603) |
Fidelity Stocks for Inflation ETF | 128,534 | — | (6,778,047) | (14,251,331) |
Fidelity U.S. Multifactor ETF | 1,930 | — | (390,238) | 87,579 |
Fidelity Value Factor ETF | 150,701 | — | (36,913,111) | (5,638,829) |
Short-term | Long-term | Total capital loss carryforward | |
Fidelity Dividend ETF for Rising Rates | $ (17,164,602) | $ (19,941,121) | $ (37,105,723) |
Fidelity High Dividend ETF | (22,272,452) | (26,206,524) | (48,478,976) |
Fidelity Low Volatility Factor ETF | (23,273,269) | (9,567,071) | (32,840,340) |
Fidelity Momentum Factor ETF | (26,468,636) | — | (26,468,636) |
Fidelity Quality Factor ETF | (13,340,917) | (4,941,800) | (18,282,717) |
Fidelity Small-Mid Multifactor ETF | (5,086,857) | (567,791) | (5,654,648) |
Fidelity Stocks for Inflation ETF | (6,778,047) | — | (6,778,047) |
Fidelity U.S. Multifactor ETF | (371,399) | (18,839) | (390,238) |
Fidelity Value Factor ETF | (23,339,017) | (13,574,094) | (36,913,111) |
Annual Report | 94 |
Certain of the Funds intend to elect to defer to the next fiscal year ordinary losses recognized during the period January 1, 2022 to July 31, 2022. Loss deferrals were as follows:
Ordinary Losses | |
Fidelity High Dividend ETF | $ (246,968) |
Fidelity Small-Mid Multifactor ETF | (75) |
July 31, 2022 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Dividend ETF for Rising Rates | $ 14,425,400 | $ — | $ — | $ 14,425,400 |
Fidelity High Dividend ETF | 36,931,550 | — | — | 36,931,550 |
Fidelity Low Volatility Factor ETF | 5,937,600 | — | — | 5,937,600 |
Fidelity Momentum Factor ETF | 999,550 | — | — | 999,550 |
Fidelity Quality Factor ETF | 3,437,350 | — | — | 3,437,350 |
Fidelity Small-Mid Multifactor ETF | 905,700 | — | — | 905,700 |
Fidelity Stocks for Inflation ETF | 2,544,600 | — | — | 2,544,600 |
Fidelity U.S. Multifactor ETF | 235,000 | — | — | 235,000 |
Fidelity Value Factor ETF | 7,920,650 | — | — | 7,920,650 |
July 31, 2021 | ||||
Fidelity Dividend ETF for Rising Rates | $ 8,481,250 | $ — | $ — | $ 8,481,250 |
Fidelity High Dividend ETF | 21,671,400 | — | — | 21,671,400 |
Fidelity Low Volatility Factor ETF | 5,363,100 | — | — | 5,363,100 |
Fidelity Momentum Factor ETF | 712,000 | — | — | 712,000 |
Fidelity Quality Factor ETF | 2,471,800 | — | — | 2,471,800 |
Fidelity Small-Mid Multifactor ETF | 586,000 | — | — | 586,000 |
Fidelity Stocks for Inflation ETF | 220,000 | — | — | 220,000 |
Fidelity U.S. Multifactor ETFA | 135,400 | — | — | 135,400 |
Fidelity Value Factor ETF | 4,318,450 | — | — | 4,318,450 |
A | For the period September 15, 2020 (commencement of operations) through July 31, 2021. |
95 | Annual Report |
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statements of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Purchases ($) | Sales ($) | |
Fidelity Dividend ETF for Rising Rates | 164,729,644 | 158,060,172 |
Fidelity High Dividend ETF | 451,490,895 | 427,228,614 |
Fidelity Low Volatility Factor ETF | 132,476,398 | 132,665,616 |
Fidelity Momentum Factor ETF | 147,333,792 | 147,255,191 |
Fidelity Quality Factor ETF | 94,646,775 | 94,358,214 |
Fidelity Small-Mid Multifactor ETF | 40,252,981 | 39,745,169 |
Fidelity Stocks for Inflation ETF | 122,445,405 | 120,412,359 |
Fidelity U.S. Multifactor ETF | 6,683,918 | 6,611,687 |
Fidelity Value Factor ETF | 221,202,910 | 219,106,747 |
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity Dividend ETF for Rising Rates | 284,875,887 | 137,581,750 |
Fidelity High Dividend ETF | 734,783,660 | 517,515,411 |
Fidelity Low Volatility Factor ETF | 284,231,727 | 342,548,918 |
Fidelity Momentum Factor ETF | 85,652,521 | 116,416,200 |
Fidelity Quality Factor ETF | 182,554,595 | 143,034,657 |
Fidelity Small-Mid Multifactor ETF | 67,211,300 | 59,192,455 |
Fidelity Stocks for Inflation ETF | 325,375,791 | 100,765,677 |
Fidelity U.S. Multifactor ETF | 8,994,580 | 5,101,328 |
Fidelity Value Factor ETF | 403,931,932 | 321,748,364 |
Annual Report | 96 |
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC) each Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, Fidelity Dividend ETF for Rising Rates and Fidelity High Dividend ETF had no interfund loans outstanding. Any open loans at period end are presented under the caption "Interfund Loans" in the Schedule of Investments with accrued interest included in Other affiliated receivables on the Statement of Assets and Liabilities. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable to affiliates" in their Statements of Assets and Liabilities. Activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Fidelity Dividend ETF for Rising Rates | Borrower | $ 9,929,200 | 0.32 % | $ 434 |
Fidelity High Dividend ETF | Borrower | 15,227,200 | 0.32 | 666 |
Amount | |
Fidelity Momentum Factor ETF | $ 8,246 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Dividend ETF for Rising Rates | $ 8,684 | $ 702 | $ — |
Fidelity High Dividend ETF | 6,821 | 514 | — |
Fidelity Low Volatility Factor ETF | 178 | — | — |
Fidelity Momentum Factor ETF | 1,043 | — | — |
Fidelity Quality Factor ETF | 2,875 | 1,664 | — |
Fidelity Small-Mid Multifactor ETF | 450 | 843 | — |
Fidelity Value Factor ETF | 1,986 | — | — |
97 | Annual Report |
Amount | |
Fidelity Dividend ETF for Rising Rates | $ 7 |
Fidelity High Dividend ETF | 3 |
Fidelity Low Volatility Factor ETF | 14 |
Fidelity Momentum Factor ETF | 17 |
Fidelity Quality Factor ETF | 21 |
Fidelity Small-Mid Multifactor ETF | 16 |
Fidelity Stocks for Inflation ETF | 13 |
Fidelity U.S. Multifactor ETF | 9 |
Fidelity Value Factor ETF | 16 |
Annual Report | 98 |
Fund Name | Statements of changes in net assets |
Fidelity Dividend ETF for Rising Rates | For the years ended July 31, 2022 and 2021 |
Fidelity High Dividend ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Low Volatility Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Momentum Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Quality Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Small-Mid Multifactor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity U.S. Multifactor ETF | For the year ended July 31, 2022 and for the period September 15, 2020 (commencement of operations) through July 31, 2021 |
Fidelity Value Factor ETF | For the years ended July 31, 2022 and 2021 |
99 | Annual Report |
Annual Report | 100 |
101 | Annual Report |
Annual Report | 102 |
103 | Annual Report |
Annual Report | 104 |
105 | Annual Report |
Annual Report | 106 |
107 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity Dividend ETF For Rising Rates | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity High Dividend ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Low Volatility Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Momentum Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Quality Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Small-Mid Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Stocks for Inflation ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
Annual Report | 108 |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity U.S. Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Value Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
109 | Annual Report |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Dividend ETF for Rising Rates | 88% | 88% | 92% | 92% |
Fidelity High Dividend ETF | 76% | 76% | 76% | 76% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Stocks for Inflation ETF | 98% | 98% | 100% | 100% |
Fidelity U.S. Multifactor ETF | 98% | 98% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Dividend ETF for Rising Rates | 100% | 100% | 100% | 100% |
Fidelity High Dividend ETF | 96% | 96% | 100% | 100% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Stocks for Inflation ETF | 100% | 100% | 100% | 100% |
Fidelity U.S. Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
March 2021 | June 2021 | September 2021 | December 2021 | |
Fidelity High Dividend ETF | 6% | 6% | 4% | 4% |
Annual Report | 110 |
111 | Annual Report |
Annual Report | 112 |
Annual Report | 114 |
Annual Report | 116 |
117 | Annual Report |
Annual Report | 118 |
Annual Report | 120 |
Annual Report | 122 |
123 | Annual Report |
Annual Report | 124 |
Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Blue Chip Growth ETF – NAVA | -23.92 | 10.74 |
Fidelity Blue Chip Growth ETF – Market PriceB | -23.78 | 10.95 |
Russell 1000 Growth IndexA | -11.93 | 14.38 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
5 | Annual Report |
Annual Report | 6 |
% of fund's net assets | |
Apple, Inc. | 13.4 |
Microsoft Corp. | 9.0 |
Amazon.com, Inc. | 8.2 |
Alphabet, Inc. Class A | 6.6 |
NVIDIA Corp. | 5.7 |
Tesla, Inc. | 4.9 |
Marvell Technology, Inc. | 3.7 |
Meta Platforms, Inc. Class A | 2.3 |
NXP Semiconductors N.V. | 1.7 |
Lowe's Cos., Inc. | 1.7 |
57.2 |
% of fund's net assets | ||
Information Technology | 42.1 | |
Consumer Discretionary | 28.0 | |
Communication Services | 10.9 | |
Health Care | 7.0 | |
Energy | 4.2 |
7 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Blue Chip Value ETF – NAVA | 1.27 | 19.29 |
Fidelity Blue Chip Value ETF – Market PriceB | 1.29 | 17.55 |
Russell 1000 Value IndexA | -1.43 | 16.71 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 8 |
9 | Annual Report |
% of fund's net assets | |
Berkshire Hathaway, Inc. Class B | 4.7 |
Exxon Mobil Corp. | 4.5 |
Cigna Corp. | 3.1 |
Centene Corp. | 3.1 |
UnitedHealth Group, Inc. | 2.9 |
Comcast Corp. Class A | 2.7 |
Bristol-Myers Squibb Co. | 2.6 |
JPMorgan Chase & Co. | 2.3 |
Alphabet, Inc. Class A | 2.2 |
Bank of America Corp. | 2.0 |
30.1 |
% of fund's net assets | ||
Financials | 20.6 | |
Health Care | 20.2 | |
Utilities | 12.3 | |
Information Technology | 9.0 | |
Industrials | 8.3 |
Annual Report | 10 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Growth Opportunities ETF – NAVA | -31.53 | -19.44 |
Fidelity Growth Opportunities ETF – Market PriceB | -31.57 | -20.77 |
Russell 1000 Growth IndexA | -11.93 | -0.11 |
B | From February 4, 2021, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
11 | Annual Report |
Annual Report | 12 |
% of fund's net assets | |
Microsoft Corp. | 9.4 |
Alphabet, Inc. Class C | 5.7 |
T-Mobile US, Inc. | 4.2 |
NVIDIA Corp. | 3.8 |
Amazon.com, Inc. | 3.4 |
Apple, Inc. | 3.2 |
Tesla, Inc. | 3.2 |
Alphabet, Inc. Class A | 3.1 |
Exxon Mobil Corp. | 2.4 |
Antero Resources Corp. | 2.3 |
40.7 |
% of fund's net assets | ||
Information Technology | 40.7 | |
Communication Services | 17.8 | |
Health Care | 12.5 | |
Energy | 10.7 | |
Consumer Discretionary | 8.8 |
13 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Magellan ETF – NAVA | -9.50 | 3.11 |
Fidelity Magellan ETF – Market PriceB | -9.39 | 2.63 |
S&P 500 IndexA | -4.64 | 6.82 |
B | From February 4, 2021, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 14 |
15 | Annual Report |
% of fund's net assets | |
Microsoft Corp. | 7.4 |
Apple, Inc. | 6.8 |
Amazon.com, Inc. | 3.1 |
UnitedHealth Group, Inc. | 2.9 |
Alphabet, Inc. Class A | 2.9 |
NVIDIA Corp. | 2.7 |
Thermo Fisher Scientific, Inc. | 2.3 |
Danaher Corp. | 2.2 |
NextEra Energy, Inc. | 2.2 |
Visa, Inc. Class A | 2.1 |
34.6 |
% of fund's net assets | ||
Information Technology | 42.1 | |
Health Care | 14.0 | |
Financials | 8.2 | |
Industrials | 7.6 | |
Real Estate | 6.8 |
Annual Report | 16 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity New Millennium ETF – NAVA | 1.00 | 20.38 |
Fidelity New Millennium ETF – Market PriceB | 0.91 | 18.85 |
S&P 500 IndexA | -4.64 | 16.27 |
B | From June 4, 2020, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
17 | Annual Report |
Annual Report | 18 |
% of fund's net assets | |
Exxon Mobil Corp. | 4.5 |
Bristol-Myers Squibb Co. | 3.2 |
EQT Corp. | 3.0 |
General Electric Co. | 2.5 |
Wells Fargo & Co. | 2.5 |
Eli Lilly & Co. | 2.4 |
Cheniere Energy, Inc. | 2.3 |
American International Group, Inc. | 2.2 |
UnitedHealth Group, Inc. | 2.2 |
Hess Corp. | 2.2 |
27.0 |
% of fund's net assets | ||
Energy | 18.2 | |
Financials | 17.0 | |
Health Care | 16.9 | |
Industrials | 11.7 | |
Information Technology | 7.2 |
19 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Real Estate Investment ETF – NAVA | -1.68 | 14.95 |
Fidelity Real Estate Investment ETF – Market PriceB | -1.67 | 15.03 |
MSCI US IMI Real Estate 25/50 IndexA | -4.24 | 11.76 |
S&P 500 IndexA | -4.64 | 6.82 |
B | From February 4, 2021, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 20 |
21 | Annual Report |
% of fund's net assets | |
Crown Castle International Corp. | 10.4 |
Prologis, Inc. | 7.7 |
SBA Communications Corp. | 7.5 |
Welltower, Inc. | 5.4 |
Equinix, Inc. | 4.8 |
Digital Realty Trust, Inc. | 4.0 |
Ventas, Inc. | 3.8 |
Duke Realty Corp. | 3.2 |
UDR, Inc. | 3.2 |
Extra Space Storage, Inc. | 3.1 |
53.1 |
% of fund's net assets | ||
REITs - Diversified | 40.2 | |
REITs - Apartments | 11.3 | |
REITs - Health Care | 9.2 | |
REITs - Warehouse/Industrial | 7.7 | |
REITs - Storage | 7.4 |
Annual Report | 22 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Small-Mid Cap Opportunities ETF – NAVA | -7.88 | 3.55 |
Fidelity Small-Mid Cap Opportunities ETF – Market PriceB | -7.97 | 2.03 |
Russell 2500 IndexA | -11.27 | 6.82 |
B | From February 4, 2021, date initially listed on the CboeBZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
23 | Annual Report |
Annual Report | 24 |
% of fund's net assets | |
Builders FirstSource, Inc. | 1.7 |
Molina Healthcare, Inc. | 1.5 |
Comerica, Inc. | 1.3 |
TFI International, Inc. | 1.3 |
Antero Resources Corp. | 1.2 |
AutoZone, Inc. | 1.2 |
Hess Corp. | 1.2 |
Jones Lang LaSalle, Inc. | 1.2 |
Tapestry, Inc. | 1.1 |
Williams-Sonoma, Inc. | 1.1 |
12.8 |
% of fund's net assets | ||
Industrials | 16.6 | |
Financials | 14.9 | |
Information Technology | 13.3 | |
Consumer Discretionary | 12.6 | |
Health Care | 12.3 |
25 | Annual Report |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Sustainable U.S. Equity ETF – NAVA | -7.01 | -2.94 |
Fidelity Sustainable U.S. Equity ETF – Market PriceB | -7.05 | -2.53 |
Russell 3000 IndexA | -7.35 | -4.10 |
MSCI USA IMI ESG Leaders IndexA | -6.35 | 12.91 |
B | From June 17, 2021, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 26 |
27 | Annual Report |
% of fund's net assets | |
Microsoft Corp. | 6.2 |
Danaher Corp. | 2.9 |
Prologis, Inc. | 2.9 |
Merck & Co., Inc. | 2.5 |
Cheniere Energy, Inc. | 2.4 |
Cigna Corp. | 2.3 |
Apple, Inc. | 2.3 |
Salesforce, Inc. | 2.1 |
The Travelers Cos., Inc. | 2.1 |
Marriott International, Inc. Class A | 2.1 |
27.8 |
% of fund's net assets | ||
Information Technology | 23.1 | |
Health Care | 14.5 | |
Financials | 12.1 | |
Consumer Discretionary | 10.5 | |
Industrials | 9.5 |
Annual Report | 28 |
Average Annual Total Returns | Past 1 Year | Life of Fund |
Fidelity Women’s Leadership ETF – NAVA | -14.14 | -10.71 |
Fidelity Women’s Leadership ETF – Market PriceB | -14.12 | -10.47 |
Russell 3000 IndexA | -7.35 | -4.10 |
MSCI USA Women's Leadership IndexA | -14.07 | 12.91 |
B | From June 17, 2021, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
29 | Annual Report |
Annual Report | 30 |
% of fund's net assets | |
Microsoft Corp. | 3.4 |
Elevance Health, Inc. | 3.3 |
Apple, Inc. | 2.4 |
Cigna Corp. | 2.2 |
CDW Corp. | 2.2 |
The Progressive Corp. | 2.0 |
Accenture PLC Class A | 1.9 |
Hologic, Inc. | 1.8 |
AMETEK, Inc. | 1.8 |
Nasdaq, Inc. | 1.8 |
22.8 |
% of fund's net assets | ||
Information Technology | 25.5 | |
Health Care | 15.0 | |
Industrials | 12.3 | |
Financials | 12.2 | |
Consumer Discretionary | 11.1 |
31 | Annual Report |
Common Stocks – 99.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 10.9% | ||
Entertainment – 1.6% | ||
Bilibili, Inc. ADR (a) | 27,906 | $ 682,023 |
Endeavor Group Holdings, Inc. (a) | 18,924 | 431,278 |
Netflix, Inc. (a) | 18,046 | 4,058,545 |
Sea Ltd. ADR (a) | 7,523 | 574,155 |
5,746,001 | ||
Interactive Media & Services – 9.2% | ||
Alphabet, Inc. Class A (a) | 204,383 | 23,773,831 |
Meta Platforms, Inc. Class A (a) | 52,461 | 8,346,545 |
Snap, Inc. Class A (a) | 144,840 | 1,431,019 |
ZoomInfo Technologies, Inc. Class A (a) | 340 | 12,883 |
33,564,278 | ||
Wireless Telecommunication Services – 0.1% | ||
T-Mobile US, Inc. (a) | 1,872 | 267,808 |
TOTAL COMMUNICATION SERVICES | 39,578,087 | |
CONSUMER DISCRETIONARY – 28.0% | ||
Automobiles – 5.5% | ||
Rivian Automotive, Inc. (a) | 37,622 | 1,290,435 |
Tesla, Inc. (a) | 20,123 | 17,938,648 |
XPeng, Inc. ADR (a) | 32,503 | 794,048 |
20,023,131 | ||
Hotels, Restaurants & Leisure – 4.1% | ||
Airbnb, Inc. Class A (a) | 33,625 | 3,731,702 |
Booking Holdings, Inc. (a) | 401 | 776,212 |
Caesars Entertainment, Inc. (a) | 34,437 | 1,573,427 |
Chipotle Mexican Grill, Inc. (a) | 1,398 | 2,186,780 |
Hilton Worldwide Holdings, Inc. | 9,524 | 1,219,739 |
Marriott International, Inc. Class A | 13,056 | 2,073,554 |
Penn National Gaming, Inc. (a) | 68,659 | 2,372,168 |
Sweetgreen, Inc. (a) | 58,992 | 926,764 |
14,860,346 | ||
Internet & Direct Marketing Retail – 9.0% | ||
Alibaba Group Holding Ltd. ADR (a) | 7,593 | 678,586 |
Amazon.com, Inc. (a) | 220,782 | 29,794,531 |
JD.com, Inc. ADR | 14,609 | 869,236 |
Pinduoduo, Inc. ADR (a) | 20,332 | 996,471 |
Wayfair, Inc. Class A (a) | 6,601 | 355,860 |
32,694,684 | ||
Multiline Retail – 1.1% | ||
Dollar Tree, Inc. (a) | 20,735 | 3,428,740 |
Ollie's Bargain Outlet Holdings, Inc. (a) | 5,825 | 343,384 |
Target Corp. | 2,259 | 369,075 |
4,141,199 | ||
Specialty Retail – 4.7% | ||
American Eagle Outfitters, Inc. | 93,881 | 1,130,327 |
Burlington Stores, Inc. (a) | 5,809 | 819,824 |
Carvana Co. (a) | 42,890 | 1,250,244 |
Five Below, Inc. (a) | 12,427 | 1,579,099 |
| ||
Shares | Value | |
Floor & Decor Holdings, Inc. Class A (a) | 13,892 | $ 1,119,278 |
Lowe's Cos., Inc. | 32,511 | 6,226,832 |
RH (a) | 6,145 | 1,717,097 |
The TJX Cos., Inc. | 30,895 | 1,889,538 |
Victoria's Secret & Co. (a) | 20,154 | 744,892 |
Warby Parker, Inc. (a) | 34,556 | 428,149 |
16,905,280 | ||
Textiles, Apparel & Luxury Goods – 3.6% | ||
Capri Holdings Ltd. (a) | 40,648 | 1,978,745 |
Crocs, Inc. (a) | 25,534 | 1,829,256 |
Deckers Outdoor Corp. (a) | 3,178 | 995,381 |
Lululemon Athletica, Inc. (a) | 10,910 | 3,387,664 |
NIKE, Inc. Class B | 40,423 | 4,645,411 |
On Holding AG (a) | 5,818 | 126,658 |
12,963,115 | ||
TOTAL CONSUMER DISCRETIONARY | 101,587,755 | |
CONSUMER STAPLES – 1.4% | ||
Beverages – 1.1% | ||
Celsius Holdings, Inc. (a) | 33,307 | 2,962,991 |
Constellation Brands, Inc. Class A | 677 | 166,752 |
The Boston Beer Co., Inc. Class A (a) | 1,680 | 639,122 |
3,768,865 | ||
Food & Staples Retailing – 0.2% | ||
Albertsons Cos., Inc. | 8,970 | 240,844 |
BJ's Wholesale Club Holdings, Inc. (a) | 3,468 | 234,784 |
Sysco Corp. | 3,958 | 336,034 |
811,662 | ||
Household Products – 0.1% | ||
The Procter & Gamble Co. | 3,130 | 434,788 |
TOTAL CONSUMER STAPLES | 5,015,315 | |
ENERGY – 4.2% | ||
Energy Equipment & Services – 0.1% | ||
Halliburton Co. | 10,705 | 313,657 |
US Silica Holdings, Inc. (a) | 8,577 | 118,620 |
432,277 | ||
Oil, Gas & Consumable Fuels – 4.1% | ||
Antero Resources Corp. (a) | 17,543 | 695,405 |
Cenovus Energy, Inc. | 16,763 | 319,408 |
Cheniere Energy, Inc. | 3,148 | 470,878 |
Denbury, Inc. (a) | 5,598 | 402,552 |
Devon Energy Corp. | 16,638 | 1,045,698 |
Diamondback Energy, Inc. | 12,241 | 1,567,093 |
EOG Resources, Inc. | 14,464 | 1,608,686 |
EQT Corp. | 3,788 | 166,786 |
Exxon Mobil Corp. | 11,884 | 1,151,916 |
Hess Corp. | 18,486 | 2,079,120 |
Imperial Oil Ltd. | 2,973 | 142,480 |
Marathon Oil Corp. | 19,828 | 491,734 |
Annual Report | 32 |
Common Stocks – continued | ||
Shares | Value | |
ENERGY – continued | ||
Oil, Gas & Consumable Fuels – continued | ||
Northern Oil and Gas, Inc. | 3,686 | $ 106,267 |
Occidental Petroleum Corp. | 15,444 | 1,015,443 |
Phillips 66 | 10,536 | 937,704 |
Pioneer Natural Resources Co. | 6,265 | 1,484,492 |
Valero Energy Corp. | 11,638 | 1,289,141 |
14,974,803 | ||
TOTAL ENERGY | 15,407,080 | |
FINANCIALS – 0.9% | ||
Banks – 0.3% | ||
Wells Fargo & Co. | 22,338 | 979,968 |
Consumer Finance – 0.5% | ||
American Express Co. | 12,890 | 1,985,318 |
Diversified Financial Services – 0.1% | ||
Berkshire Hathaway, Inc. Class B (a) | 578 | 173,747 |
TOTAL FINANCIALS | 3,139,033 | |
HEALTH CARE – 7.0% | ||
Biotechnology – 1.2% | ||
Alnylam Pharmaceuticals, Inc. (a) | 6,254 | 888,318 |
Arcutis Biotherapeutics, Inc. (a) | 3,038 | 73,702 |
Argenx SE ADR (a) | 1,064 | 387,519 |
Ascendis Pharma A/S ADR (a) | 1,796 | 153,612 |
Avidity Biosciences, Inc. (a) | 686 | 11,175 |
Generation Bio Co. (a) | 844 | 5,385 |
Horizon Therapeutics PLC (a) | 14,887 | 1,235,174 |
Instil Bio, Inc. (a) | 4,539 | 25,600 |
Karuna Therapeutics, Inc. (a) | 1,602 | 208,660 |
Regeneron Pharmaceuticals, Inc. (a) | 969 | 563,658 |
Vertex Pharmaceuticals, Inc. (a) | 2,451 | 687,285 |
Verve Therapeutics, Inc. (a) | 4,685 | 115,345 |
4,355,433 | ||
Health Care Equipment & Supplies – 1.7% | ||
Axonics, Inc. (a) | 7,628 | 494,828 |
Danaher Corp. | 5,438 | 1,585,014 |
DexCom, Inc. (a) | 21,517 | 1,766,115 |
Insulet Corp. (a) | 2,546 | 630,899 |
Shockwave Medical, Inc. (a) | 8,044 | 1,696,721 |
6,173,577 | ||
Health Care Providers & Services – 1.6% | ||
agilon health, Inc. (a) | 2,006 | 50,210 |
Alignment Healthcare, Inc. (a) | 6,748 | 99,061 |
Centene Corp. (a) | 2,325 | 216,155 |
Elevance Health, Inc. | 342 | 163,168 |
Guardant Health, Inc. (a) | 18,077 | 906,923 |
LifeStance Health Group, Inc. (a) | 21,932 | 130,715 |
Surgery Partners, Inc. (a) | 4,009 | 157,874 |
| ||
Shares | Value | |
UnitedHealth Group, Inc. | 7,749 | $ 4,202,593 |
5,926,699 | ||
Health Care Technology – 0.0% | ||
Certara, Inc. (a) | 3,185 | 73,223 |
Life Sciences Tools & Services – 0.3% | ||
10X Genomics, Inc. Class A (a) | 3,993 | 160,319 |
ICON PLC (a) | 668 | 161,155 |
Olink Holding AB ADR (a) | 6,738 | 90,626 |
Seer, Inc. (a) | 630 | 5,670 |
Thermo Fisher Scientific, Inc. | 1,235 | 739,037 |
1,156,807 | ||
Pharmaceuticals – 2.2% | ||
Eli Lilly & Co. | 14,100 | 4,648,629 |
Zoetis, Inc. | 17,550 | 3,203,753 |
7,852,382 | ||
TOTAL HEALTH CARE | 25,538,121 | |
INDUSTRIALS – 3.5% | ||
Aerospace & Defense – 0.5% | ||
Howmet Aerospace, Inc. | 11,542 | 428,555 |
L3Harris Technologies, Inc. | 1,232 | 295,643 |
Lockheed Martin Corp. | 416 | 172,145 |
Northrop Grumman Corp. | 402 | 192,518 |
The Boeing Co. (a) | 5,172 | 823,951 |
1,912,812 | ||
Electrical Equipment – 0.5% | ||
Acuity Brands, Inc. | 6,497 | 1,185,053 |
Generac Holdings, Inc. (a) | 2,453 | 658,140 |
1,843,193 | ||
Industrial Conglomerates – 0.2% | ||
General Electric Co. | 7,829 | 578,641 |
Machinery – 0.2% | ||
Deere & Co. | 1,966 | 674,692 |
Road & Rail – 2.1% | ||
Avis Budget Group, Inc. (a) | 3,548 | 645,842 |
Bird Global, Inc. (a) | 105,848 | 56,946 |
Hertz Global Holdings, Inc. (a) | 30,083 | 644,378 |
Lyft, Inc. Class A (a) | 161,121 | 2,233,137 |
Uber Technologies, Inc. (a) | 170,011 | 3,986,758 |
7,567,061 | ||
TOTAL INDUSTRIALS | 12,576,399 | |
INFORMATION TECHNOLOGY – 42.1% | ||
IT Services – 2.4% | ||
Mastercard, Inc. Class A | 11,648 | 4,120,946 |
MongoDB, Inc. (a) | 1,668 | 521,200 |
Okta, Inc. (a) | 13,576 | 1,336,557 |
Shift4 Payments, Inc. (a) | 7,713 | 280,985 |
Snowflake, Inc. Class A (a) | 2,248 | 336,998 |
33 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
IT Services – continued | ||
Twilio, Inc. Class A (a) | 14,603 | $1,238,334 |
Visa, Inc. Class A | 3,355 | 711,629 |
8,546,649 | ||
Semiconductors & Semiconductor Equipment – 14.0% | ||
Advanced Micro Devices, Inc. (a) | 29,472 | 2,784,220 |
ASML Holding N.V. | 907 | 521,017 |
Cirrus Logic, Inc. (a) | 6,341 | 541,902 |
GLOBALFOUNDRIES, Inc. (a) | 28,244 | 1,454,001 |
Lam Research Corp. | 1,364 | 682,696 |
Marvell Technology, Inc. | 238,397 | 13,273,945 |
Monolithic Power Systems, Inc. | 1,254 | 582,759 |
NVIDIA Corp. | 114,037 | 20,712,540 |
NXP Semiconductors N.V. | 34,312 | 6,309,291 |
ON Semiconductor Corp. (a) | 23,784 | 1,588,295 |
Synaptics, Inc. (a) | 1,502 | 217,715 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 7,876 | 696,868 |
Teradyne, Inc. | 15,910 | 1,605,160 |
50,970,409 | ||
Software – 12.3% | ||
Atlassian Corp. PLC Class A (a) | 789 | 165,153 |
Bill.com Holdings, Inc. (a) | 2,722 | 367,688 |
Coupa Software, Inc. (a) | 6,706 | 438,706 |
Crowdstrike Holdings, Inc. Class A (a) | 4,370 | 802,332 |
Datadog, Inc. Class A (a) | 3,679 | 375,295 |
EngageSmart, Inc. (a) | 9,795 | 184,832 |
HubSpot, Inc. (a) | 3,952 | 1,217,216 |
Intuit, Inc. | 3,959 | 1,805,977 |
Microsoft Corp. | 116,604 | 32,735,407 |
Paycom Software, Inc. (a) | 677 | 223,742 |
Riskified Ltd. (a) | 12,489 | 54,827 |
Salesforce, Inc. (a) | 23,931 | 4,403,783 |
ServiceNow, Inc. (a) | 1,880 | 839,721 |
Zoom Video Communications, Inc. Class A (a) | 11,689 | 1,214,019 |
44,828,698 | ||
Technology Hardware, Storage & Peripherals – 13.4% | ||
Apple, Inc. | 299,399 | 48,655,331 |
TOTAL INFORMATION TECHNOLOGY | 153,001,087 |
| ||
Shares | Value | |
MATERIALS – 1.5% | ||
Chemicals – 1.1% | ||
Cabot Corp. | 2,095 | $ 155,575 |
CF Industries Holdings, Inc. | 9,684 | 924,725 |
Nutrien Ltd. | 18,081 | 1,547,803 |
The Mosaic Co. | 23,980 | 1,262,787 |
3,890,890 | ||
Metals & Mining – 0.4% | ||
Freeport-McMoRan, Inc. | 52,775 | 1,665,051 |
TOTAL MATERIALS | 5,555,941 | |
REAL ESTATE – 0.1% | ||
Real Estate Management & Development – 0.1% | ||
WeWork, Inc. (a) | 117,060 | 558,376 |
UTILITIES – 0.0% | ||
Multi-Utilities – 0.0% | ||
Sempra Energy | 1,082 | 179,396 |
TOTAL COMMON STOCKS (Cost $391,690,162) | 362,136,590 | |
Money Market Fund – 0.5% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $1,690,342) | 1,690,342 | 1,690,342 |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $393,380,504) | 363,826,932 | |
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (429,994) | |
NET ASSETS – 100.0% | $ 363,396,938 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 34 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 39,578,087 | $ 39,578,087 | $ — | $ — | ||||
Consumer Discretionary | 101,587,755 | 101,587,755 | — | — | ||||
Consumer Staples | 5,015,315 | 5,015,315 | — | — | ||||
Energy | 15,407,080 | 15,407,080 | — | — | ||||
Financials | 3,139,033 | 3,139,033 | — | — | ||||
Health Care | 25,538,121 | 25,538,121 | — | — | ||||
Industrials | 12,576,399 | 12,576,399 | — | — | ||||
Information Technology | 153,001,087 | 153,001,087 | — | — | ||||
Materials | 5,555,941 | 5,555,941 | — | — | ||||
Real Estate | 558,376 | 558,376 | — | — | ||||
Utilities | 179,396 | 179,396 | — | — | ||||
Money Market Fund | 1,690,342 | 1,690,342 | — | — | ||||
Total Investments in Securities: | $ 363,826,932 | $ 363,826,932 | $ — | $ — |
35 | Annual Report |
Common Stocks – 97.5% | ||
Shares | Value | |
COMMUNICATION SERVICES – 8.3% | ||
Diversified Telecommunication Services – 2.0% | ||
Verizon Communications, Inc. | 48,719 | $ 2,250,331 |
Entertainment – 1.4% | ||
Activision Blizzard, Inc. | 20,046 | 1,602,678 |
Interactive Media & Services – 2.2% | ||
Alphabet, Inc. Class A (a) | 21,820 | 2,538,102 |
Media – 2.7% | ||
Comcast Corp. Class A | 80,852 | 3,033,567 |
TOTAL COMMUNICATION SERVICES | 9,424,678 | |
CONSUMER DISCRETIONARY – 4.2% | ||
Diversified Consumer Services – 1.4% | ||
H&R Block, Inc. | 40,497 | 1,618,260 |
Internet & Direct Marketing Retail – 0.5% | ||
eBay, Inc. | 11,929 | 580,107 |
Multiline Retail – 1.6% | ||
Dollar General Corp. | 7,263 | 1,804,347 |
Specialty Retail – 0.7% | ||
Ross Stores, Inc. | 9,913 | 805,531 |
TOTAL CONSUMER DISCRETIONARY | 4,808,245 | |
CONSUMER STAPLES – 7.1% | ||
Beverages – 0.6% | ||
Coca-Cola Europacific Partners PLC | 13,151 | 711,732 |
Food & Staples Retailing – 0.7% | ||
US Foods Holding Corp. (a) | 25,254 | 795,501 |
Food Products – 2.7% | ||
Mondelez International, Inc. Class A | 35,549 | 2,276,558 |
Tyson Foods, Inc. Class A | 9,195 | 809,252 |
3,085,810 | ||
Household Products – 2.8% | ||
Spectrum Brands Holdings, Inc. | 10,921 | 759,446 |
The Clorox Co. | 5,479 | 777,141 |
The Procter & Gamble Co. | 11,707 | 1,626,220 |
3,162,807 | ||
Personal Products – 0.3% | ||
Unilever PLC ADR | 8,052 | 391,810 |
TOTAL CONSUMER STAPLES | 8,147,660 | |
ENERGY – 4.5% | ||
Oil, Gas & Consumable Fuels – 4.5% | ||
Exxon Mobil Corp. | 53,524 | 5,188,081 |
FINANCIALS – 20.6% | ||
Banks – 8.6% | ||
Bank of America Corp. | 69,263 | 2,341,782 |
Cullen/Frost Bankers, Inc. | 2,820 | 367,728 |
JPMorgan Chase & Co. | 22,751 | 2,624,556 |
| ||
Shares | Value | |
M&T Bank Corp. | 8,066 | $ 1,431,312 |
The PNC Financial Services Group, Inc. | 8,746 | 1,451,311 |
Wells Fargo & Co. | 35,736 | 1,567,738 |
9,784,427 | ||
Capital Markets – 3.2% | ||
Affiliated Managers Group, Inc. | 5,512 | 696,607 |
BlackRock, Inc. | 2,833 | 1,895,787 |
Invesco Ltd. | 14,183 | 251,606 |
Northern Trust Corp. | 8,583 | 856,412 |
3,700,412 | ||
Diversified Financial Services – 4.7% | ||
Berkshire Hathaway, Inc. Class B (a) | 17,857 | 5,367,814 |
Insurance – 4.1% | ||
Chubb Ltd. | 7,923 | 1,494,594 |
The Travelers Cos., Inc. | 10,954 | 1,738,400 |
Willis Towers Watson PLC | 6,836 | 1,414,642 |
4,647,636 | ||
TOTAL FINANCIALS | 23,500,289 | |
HEALTH CARE – 20.2% | ||
Biotechnology – 2.5% | ||
Regeneron Pharmaceuticals, Inc. (a) | 2,348 | 1,365,808 |
Vertex Pharmaceuticals, Inc. (a) | 5,262 | 1,475,517 |
2,841,325 | ||
Health Care Providers & Services – 12.1% | ||
Centene Corp. (a) | 37,755 | 3,510,082 |
Cigna Corp. | 12,837 | 3,534,796 |
Elevance Health, Inc. | 3,885 | 1,853,534 |
Humana, Inc. | 3,404 | 1,640,728 |
UnitedHealth Group, Inc. | 6,041 | 3,276,276 |
13,815,416 | ||
Pharmaceuticals – 5.6% | ||
AstraZeneca PLC ADR | 25,859 | 1,712,641 |
Bristol-Myers Squibb Co. | 39,647 | 2,925,156 |
Sanofi ADR | 35,861 | 1,782,292 |
6,420,089 | ||
TOTAL HEALTH CARE | 23,076,830 | |
INDUSTRIALS – 8.3% | ||
Aerospace & Defense – 5.0% | ||
L3Harris Technologies, Inc. | 4,942 | 1,185,932 |
Lockheed Martin Corp. | 2,972 | 1,229,843 |
Northrop Grumman Corp. | 4,496 | 2,153,134 |
The Boeing Co. (a) | 6,761 | 1,077,095 |
5,646,004 | ||
Electrical Equipment – 0.7% | ||
Regal Rexnord Corp. | 6,209 | 833,869 |
Machinery – 2.6% | ||
ITT, Inc. | 5,208 | 390,756 |
Annual Report | 36 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Machinery – continued | ||
Oshkosh Corp. | 14,083 | $ 1,212,546 |
Pentair PLC | 16,179 | 790,992 |
Stanley Black & Decker, Inc. | 6,194 | 602,862 |
2,997,156 | ||
TOTAL INDUSTRIALS | 9,477,029 | |
INFORMATION TECHNOLOGY – 9.0% | ||
Communications Equipment – 1.5% | ||
Cisco Systems, Inc. | 38,755 | 1,758,315 |
Electronic Equipment, Instruments & Components – 1.1% | ||
TE Connectivity Ltd. | 9,058 | 1,211,326 |
IT Services – 3.0% | ||
Amdocs Ltd. | 14,736 | 1,282,916 |
Cognizant Technology Solutions Corp. Class A | 22,780 | 1,548,129 |
Maximus, Inc. | 9,705 | 648,779 |
3,479,824 | ||
Semiconductors & Semiconductor Equipment – 1.6% | ||
Broadcom, Inc. | 419 | 224,366 |
Micron Technology, Inc. | 12,576 | 777,951 |
NXP Semiconductors N.V. | 4,535 | 833,896 |
1,836,213 | ||
Software – 1.8% | ||
Aspen Technology, Inc. (a) | 1,846 | 376,750 |
NortonLifelock, Inc. | 40,319 | 989,025 |
Open Text Corp. | 16,155 | 660,740 |
2,026,515 | ||
TOTAL INFORMATION TECHNOLOGY | 10,312,193 | |
MATERIALS – 2.3% | ||
Chemicals – 1.8% | ||
DuPont de Nemours, Inc. | 19,545 | 1,196,740 |
International Flavors & Fragrances, Inc. | 6,979 | 865,745 |
2,062,485 | ||
Metals & Mining – 0.5% | ||
Newmont Corp. | 11,710 | 530,229 |
TOTAL MATERIALS | 2,592,714 |
| ||
Shares | Value | |
REAL ESTATE – 0.7% | ||
Real Estate Management & Development – 0.7% | ||
CBRE Group, Inc. Class A (a) | 9,209 | $ 788,475 |
UTILITIES – 12.3% | ||
Electric Utilities – 10.3% | ||
Constellation Energy Corp. | 23,412 | 1,547,533 |
Duke Energy Corp. | 13,495 | 1,483,505 |
Evergy, Inc. | 20,279 | 1,384,245 |
Exelon Corp. | 27,388 | 1,273,268 |
NextEra Energy, Inc. | 11,383 | 961,750 |
PG&E Corp. (a) | 163,982 | 1,780,845 |
Portland General Electric Co. | 14,662 | 752,747 |
PPL Corp. | 17,611 | 512,128 |
The Southern Co. | 26,197 | 2,014,287 |
11,710,308 | ||
Independent Power and Renewable Electricity Producers – 0.5% | ||
The AES Corp. | 25,851 | 574,409 |
Multi-Utilities – 1.5% | ||
Dominion Energy, Inc. | 21,037 | 1,724,613 |
TOTAL UTILITIES | 14,009,330 | |
TOTAL COMMON STOCKS (Cost $102,143,223) | 111,325,524 | |
Money Market Fund – 2.4% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $2,781,434) | 2,781,434 | 2,781,434 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $104,924,657) | 114,106,958 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 68,470 | |
NET ASSETS – 100.0% | $ 114,175,428 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
37 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 9,424,678 | $ 9,424,678 | $ — | $ — | ||||
Consumer Discretionary | 4,808,245 | 4,808,245 | — | — | ||||
Consumer Staples | 8,147,660 | 8,147,660 | — | — | ||||
Energy | 5,188,081 | 5,188,081 | — | — | ||||
Financials | 23,500,289 | 23,500,289 | — | — | ||||
Health Care | 23,076,830 | 23,076,830 | — | — | ||||
Industrials | 9,477,029 | 9,477,029 | — | — | ||||
Information Technology | 10,312,193 | 10,312,193 | — | — | ||||
Materials | 2,592,714 | 2,592,714 | — | — | ||||
Real Estate | 788,475 | 788,475 | — | — | ||||
Utilities | 14,009,330 | 14,009,330 | — | — | ||||
Money Market Fund | 2,781,434 | 2,781,434 | — | — | ||||
Total Investments in Securities: | $ 114,106,958 | $ 114,106,958 | $ — | $ — |
United States of America | 88.9% |
United Kingdom | 2.5% |
Switzerland | 2.4% |
Ireland | 1.9% |
France | 1.6% |
Guernsey | 1.1% |
Others (Individually Less Than 1%) | 1.5% |
99.9% |
Annual Report | 38 |
Common Stocks – 99.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 17.8% | ||
Entertainment – 2.3% | ||
Roku, Inc. (a) | 14,507 | $950,498 |
Sea Ltd. ADR (a) | 6,512 | 496,996 |
1,447,494 | ||
Interactive Media & Services – 10.6% | ||
Alphabet, Inc. Class A (a) | 16,569 | 1,927,306 |
Alphabet, Inc. Class C (a) | 30,526 | 3,560,553 |
Meta Platforms, Inc. Class A (a) | 4,024 | 640,219 |
ZoomInfo Technologies, Inc. Class A (a) | 12,524 | 474,534 |
6,602,612 | ||
Media – 0.7% | ||
Charter Communications, Inc. Class A (a) | 1 | 432 |
Magnite, Inc. (a) | 19,672 | 150,294 |
TechTarget, Inc. (a) | 4,248 | 276,927 |
427,653 | ||
Wireless Telecommunication Services – 4.2% | ||
T-Mobile US, Inc. (a) | 18,237 | 2,608,985 |
TOTAL COMMUNICATION SERVICES | 11,086,744 | |
CONSUMER DISCRETIONARY – 8.8% | ||
Automobiles – 3.2% | ||
Tesla, Inc. (a) | 2,216 | 1,975,453 |
Hotels, Restaurants & Leisure – 0.7% | ||
Airbnb, Inc. Class A (a) | 3,538 | 392,648 |
Sweetgreen, Inc. (a) | 2,627 | 41,270 |
433,918 | ||
Household Durables – 0.0% | ||
Purple Innovation, Inc. (a) | 39 | 136 |
Internet & Direct Marketing Retail – 4.8% | ||
Amazon.com, Inc. (a) | 15,867 | 2,141,251 |
Cazoo Group Ltd. (a) | 65,579 | 35,708 |
DoorDash, Inc. Class A (a) | 6,303 | 439,634 |
Global-e Online Ltd. (a) | 14,222 | 323,693 |
Wayfair, Inc. Class A (a) | 926 | 49,921 |
2,990,207 | ||
Textiles, Apparel & Luxury Goods – 0.1% | ||
Lululemon Athletica, Inc. (a) | 286 | 88,806 |
TOTAL CONSUMER DISCRETIONARY | 5,488,520 | |
CONSUMER STAPLES – 0.2% | ||
Beverages – 0.1% | ||
The Boston Beer Co., Inc. Class A (a) | 181 | 68,858 |
Food Products – 0.1% | ||
Local Bounti Corp. (a) | 6,904 | 26,718 |
TOTAL CONSUMER STAPLES | 95,576 |
| ||
Shares | Value | |
ENERGY – 10.7% | ||
Energy Equipment & Services – 0.0% | ||
NOV, Inc. | 14 | $ 261 |
Oil, Gas & Consumable Fuels – 10.7% | ||
Antero Resources Corp. (a) | 35,967 | 1,425,732 |
Canadian Natural Resources Ltd. | 13,965 | 771,126 |
Cenovus Energy, Inc. | 30,291 | 577,174 |
Cheniere Energy, Inc. | 259 | 38,741 |
ConocoPhillips | 604 | 58,848 |
Exxon Mobil Corp. | 15,025 | 1,456,373 |
Hess Corp. | 9,183 | 1,032,812 |
Imperial Oil Ltd. | 4,436 | 212,594 |
Ovintiv, Inc. | 9,870 | 504,258 |
Pioneer Natural Resources Co. | 454 | 107,575 |
Range Resources Corp. | 962 | 31,813 |
Tourmaline Oil Corp. | 7,570 | 474,282 |
6,691,328 | ||
TOTAL ENERGY | 6,691,589 | |
FINANCIALS – 1.3% | ||
Banks – 1.3% | ||
Wells Fargo & Co. | 18,008 | 790,011 |
HEALTH CARE – 12.5% | ||
Biotechnology – 2.5% | ||
Agios Pharmaceuticals, Inc. (a) | 2,639 | 56,923 |
Alnylam Pharmaceuticals, Inc. (a) | 2,191 | 311,210 |
ALX Oncology Holdings, Inc. (a) | 2,111 | 20,434 |
Argenx SE ADR (a) | 608 | 221,440 |
Ascendis Pharma A/S ADR (a) | 76 | 6,500 |
Aurinia Pharmaceuticals, Inc. (a) | 7,662 | 62,675 |
Blueprint Medicines Corp. (a) | 506 | 25,836 |
Celldex Therapeutics, Inc. (a) | 1,608 | 49,398 |
Cytokinetics, Inc. (a) | 4,398 | 186,167 |
Erasca, Inc. (a) | 4,541 | 34,239 |
Exelixis, Inc. (a) | 4,757 | 99,516 |
Icosavax, Inc. (a) | 1,087 | 7,609 |
Imago Biosciences, Inc. (a) | 2,641 | 42,520 |
Instil Bio, Inc. (a) | 4,276 | 24,117 |
Keros Therapeutics, Inc. (a) | 1,222 | 39,202 |
Mirati Therapeutics, Inc. (a) | 804 | 51,778 |
Monte Rosa Therapeutics, Inc. (a) | 583 | 5,288 |
Morphic Holding, Inc. (a) | 700 | 18,529 |
Nuvalent, Inc. (a) | 1,131 | 16,807 |
Relay Therapeutics, Inc. (a) | 4,212 | 80,112 |
Tenaya Therapeutics, Inc. (a) | 2,344 | 11,181 |
TG Therapeutics, Inc. (a) | 3,284 | 19,671 |
Vaxcyte, Inc. (a) | 4,032 | 93,059 |
Zentalis Pharmaceuticals, Inc. (a) | 3,125 | 91,250 |
1,575,461 |
39 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – 2.6% | ||
Boston Scientific Corp. (a) | 17,987 | $ 738,367 |
Danaher Corp. | 973 | 283,600 |
Insulet Corp. (a) | 594 | 147,193 |
Penumbra, Inc. (a) | 698 | 97,287 |
TransMedics Group, Inc. (a) | 8,236 | 332,570 |
1,599,017 | ||
Health Care Providers & Services – 7.3% | ||
agilon health, Inc. (a) | 24,066 | 602,372 |
Alignment Healthcare, Inc. (a) | 1,504 | 22,079 |
Cano Health, Inc. (a) | 28,065 | 170,916 |
Centene Corp. (a) | 8,941 | 831,245 |
Guardant Health, Inc. (a) | 3,489 | 175,043 |
Humana, Inc. | 1,795 | 865,190 |
LifeStance Health Group, Inc. (a) | 28,500 | 169,860 |
Oak Street Health, Inc. (a) | 24,553 | 710,809 |
Surgery Partners, Inc. (a) | 1,066 | 41,979 |
UnitedHealth Group, Inc. | 1,715 | 930,113 |
4,519,606 | ||
Pharmaceuticals – 0.1% | ||
Arvinas, Inc. (a) | 1,260 | 66,918 |
TOTAL HEALTH CARE | 7,761,002 | |
INDUSTRIALS – 3.5% | ||
Aerospace & Defense – 1.4% | ||
Lockheed Martin Corp. | 666 | 275,597 |
Northrop Grumman Corp. | 592 | 283,509 |
Raytheon Technologies Corp. | 1,952 | 181,946 |
The Boeing Co. (a) | 1,064 | 169,506 |
910,558 | ||
Road & Rail – 2.1% | ||
Lyft, Inc. Class A (a) | 20,012 | 277,366 |
Uber Technologies, Inc. (a) | 43,359 | 1,016,769 |
1,294,135 | ||
TOTAL INDUSTRIALS | 2,204,693 | |
INFORMATION TECHNOLOGY – 40.7% | ||
Electronic Equipment, Instruments & Components – 1.2% | ||
Flex Ltd. (a) | 22,653 | 380,570 |
Jabil, Inc. | 6,290 | 373,249 |
753,819 | ||
IT Services – 10.1% | ||
Block, Inc. (a) | 3,491 | 265,526 |
Cloudflare, Inc. Class A (a) | 1,054 | 53,037 |
Cognizant Technology Solutions Corp. Class A | 5,510 | 374,460 |
Dlocal Ltd. (a) | 9,059 | 251,659 |
EPAM Systems, Inc. (a) | 662 | 231,204 |
Flywire Corp. (a) | 4,117 | 96,585 |
| ||
Shares | Value | |
GoDaddy, Inc. Class A (a) | 9,289 | $ 689,058 |
Marqeta, Inc. Class A (a) | 19,115 | 183,313 |
Mastercard, Inc. Class A | 2,523 | 892,612 |
MongoDB, Inc. (a) | 1,387 | 433,396 |
Nuvei Corp. (a)(b) | 2,984 | 104,302 |
Nuvei Corp. (a)(b) | 10,377 | 361,950 |
Payoneer Global, Inc. (a) | 4,057 | 21,664 |
Repay Holdings Corp. (a) | 15,181 | 203,425 |
Shift4 Payments, Inc. (a) | 4,924 | 179,381 |
Shopify, Inc. Class A (a) | 1,968 | 68,545 |
Snowflake, Inc. Class A (a) | 2,416 | 362,183 |
TaskUS, Inc. Class A (a) | 7,838 | 164,833 |
Thoughtworks Holding, Inc. (a) | 37 | 579 |
Twilio, Inc. Class A (a) | 3,956 | 335,469 |
Visa, Inc. Class A | 4,751 | 1,007,735 |
6,280,916 | ||
Semiconductors & Semiconductor Equipment – 11.2% | ||
Advanced Micro Devices, Inc. (a) | 3,177 | 300,131 |
Applied Materials, Inc. | 5,318 | 563,602 |
GLOBALFOUNDRIES, Inc. (a) | 15,289 | 787,078 |
Lam Research Corp. | 903 | 451,961 |
Marvell Technology, Inc. | 9,466 | 527,067 |
Micron Technology, Inc. | 4,440 | 274,658 |
NVIDIA Corp. | 13,129 | 2,384,620 |
NXP Semiconductors N.V. | 4,939 | 908,183 |
ON Semiconductor Corp. (a) | 11,409 | 761,893 |
6,959,193 | ||
Software – 15.0% | ||
Bill.com Holdings, Inc. (a) | 1,265 | 170,876 |
Confluent, Inc. Class A (a) | 1,541 | 39,219 |
Datadog, Inc. Class A (a) | 1,840 | 187,698 |
DoubleVerify Holdings, Inc. (a) | 11,690 | 268,052 |
Dynatrace, Inc. (a) | 20,572 | 774,124 |
Elastic N.V. (a) | 4,064 | 324,673 |
EngageSmart, Inc. (a) | 23 | 434 |
Five9, Inc. (a) | 1,208 | 130,609 |
Gitlab, Inc. Class A (a) | 1,507 | 86,502 |
HubSpot, Inc. (a) | 508 | 156,464 |
Intapp, Inc. (a) | 3,576 | 54,248 |
Intuit, Inc. | 929 | 423,782 |
Microsoft Corp. | 20,880 | 5,861,851 |
Riskified Ltd. (a) | 5,154 | 22,626 |
Salesforce, Inc. (a) | 1,477 | 271,798 |
SentinelOne, Inc. Class A (a) | 658 | 16,351 |
ServiceNow, Inc. (a) | 693 | 309,535 |
The Trade Desk, Inc. Class A (a) | 5,088 | 228,960 |
Viant Technology, Inc. Class A (a) | 4,368 | 21,709 |
9,349,511 |
Annual Report | 40 |
Common Stocks – continued | ||
Shares | Value | |
INFORMATION TECHNOLOGY – continued | ||
Technology Hardware, Storage & Peripherals – 3.2% | ||
Apple, Inc. | 12,230 | $ 1,987,497 |
TOTAL INFORMATION TECHNOLOGY | 25,330,936 | |
MATERIALS – 3.0% | ||
Chemicals – 1.0% | ||
CF Industries Holdings, Inc. | 2,143 | 204,635 |
Nutrien Ltd. | 3,874 | 331,847 |
The Mosaic Co. | 2,017 | 106,215 |
642,697 | ||
Metals & Mining – 2.0% | ||
Alcoa Corp. | 5,442 | 276,944 |
ArcelorMittal S.A. | 11,712 | 287,998 |
Freeport-McMoRan, Inc. | 20,442 | 644,945 |
1,209,887 | ||
TOTAL MATERIALS | 1,852,584 | |
REAL ESTATE – 0.1% | ||
Real Estate Management & Development – 0.1% | ||
Opendoor Technologies, Inc. (a) | 11,243 | 55,203 |
WeWork, Inc. (a) | 7,983 | 38,079 |
TOTAL REAL ESTATE | 93,282 | |
UTILITIES – 1.3% | ||
Electric Utilities – 1.3% | ||
Constellation Energy Corp. | 2,257 | 149,188 |
| ||
Shares | Value | |
Exelon Corp. | 1,365 | $ 63,459 |
NextEra Energy, Inc. | 435 | 36,753 |
PG&E Corp. (a) | 52,746 | 572,821 |
TOTAL UTILITIES | 822,221 | |
TOTAL COMMON STOCKS (Cost $64,773,170) | 62,217,158 | |
Money Market Fund – 0.0% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (c) (Cost $6,770) | 6,770 | 6,770 |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $64,779,940) | 62,223,928 | |
NET OTHER ASSETS (LIABILITIES) – 0.1% | 86,090 | |
NET ASSETS – 100.0% | $ 62,310,018 |
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 $466,252 or 0.7% of net assets. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 11,086,744 | $ 11,086,744 | $ — | $ — | ||||
Consumer Discretionary | 5,488,520 | 5,488,520 | — | — | ||||
Consumer Staples | 95,576 | 95,576 | — | — | ||||
Energy | 6,691,589 | 6,691,589 | — | — | ||||
Financials | 790,011 | 790,011 | — | — | ||||
Health Care | 7,761,002 | 7,761,002 | — | — | ||||
Industrials | 2,204,693 | 2,204,693 | — | — | ||||
Information Technology | 25,330,936 | 25,330,936 | — | — | ||||
Materials | 1,852,584 | 1,852,584 | — | — | ||||
Real Estate | 93,282 | 93,282 | — | — | ||||
Utilities | 822,221 | 822,221 | — | — | ||||
Money Market Fund | 6,770 | 6,770 | — | — | ||||
Total Investments in Securities: | $ 62,223,928 | $ 62,223,928 | $ — | $ — |
41 | Annual Report |
Common Stocks – 98.6% | ||
Shares | Value | |
COMMUNICATION SERVICES – 4.8% | ||
Interactive Media & Services – 4.8% | ||
Alphabet, Inc. Class A (a) | 11,518 | $ 1,339,774 |
Alphabet, Inc. Class C (a) | 7,726 | 901,160 |
TOTAL COMMUNICATION SERVICES | 2,240,934 | |
CONSUMER DISCRETIONARY – 5.9% | ||
Hotels, Restaurants & Leisure – 2.8% | ||
Domino's Pizza, Inc. | 1,859 | 728,932 |
Hilton Worldwide Holdings, Inc. | 4,485 | 574,394 |
1,303,326 | ||
Internet & Direct Marketing Retail – 3.1% | ||
Amazon.com, Inc. (a) | 10,867 | 1,466,502 |
TOTAL CONSUMER DISCRETIONARY | 2,769,828 | |
CONSUMER STAPLES – 3.6% | ||
Food & Staples Retailing – 2.1% | ||
Costco Wholesale Corp. | 1,780 | 963,514 |
Personal Products – 1.5% | ||
The Estee Lauder Cos., Inc. Class A | 2,660 | 726,446 |
TOTAL CONSUMER STAPLES | 1,689,960 | |
FINANCIALS – 8.2% | ||
Capital Markets – 5.1% | ||
Intercontinental Exchange, Inc. | 6,937 | 707,505 |
Moody's Corp. | 2,434 | 755,148 |
S&P Global, Inc. | 2,396 | 903,124 |
2,365,777 | ||
Insurance – 3.1% | ||
Arthur J Gallagher & Co. | 3,966 | 709,874 |
Marsh & McLennan Cos., Inc. | 4,436 | 727,327 |
1,437,201 | ||
TOTAL FINANCIALS | 3,802,978 | |
HEALTH CARE – 14.0% | ||
Health Care Equipment & Supplies – 3.8% | ||
Danaher Corp. | 3,509 | 1,022,768 |
IDEXX Laboratories, Inc. (a) | 1,842 | 735,290 |
1,758,058 | ||
Health Care Providers & Services – 2.9% | ||
UnitedHealth Group, Inc. | 2,492 | 1,351,511 |
Life Sciences Tools & Services – 3.9% | ||
Mettler-Toledo International, Inc. (a) | 548 | 739,652 |
Thermo Fisher Scientific, Inc. | 1,773 | 1,060,981 |
1,800,633 | ||
Pharmaceuticals – 3.4% | ||
Eli Lilly & Co. | 2,428 | 800,487 |
| ||
Shares | Value | |
Zoetis, Inc. | 4,323 | $ 789,164 |
1,589,651 | ||
TOTAL HEALTH CARE | 6,499,853 | |
INDUSTRIALS – 7.6% | ||
Aerospace & Defense – 1.5% | ||
HEICO Corp. Class A | 5,358 | 684,110 |
Commercial Services & Supplies – 3.1% | ||
Cintas Corp. | 1,704 | 725,035 |
Copart, Inc. (a) | 5,551 | 711,083 |
1,436,118 | ||
Professional Services – 3.0% | ||
Equifax, Inc. | 3,486 | 728,260 |
Verisk Analytics, Inc. | 3,639 | 692,320 |
1,420,580 | ||
TOTAL INDUSTRIALS | 3,540,808 | |
INFORMATION TECHNOLOGY – 42.1% | ||
Electronic Equipment, Instruments & Components – 4.2% | ||
Amphenol Corp. Class A | 8,699 | 670,954 |
CDW Corp. | 3,584 | 650,603 |
Teledyne Technologies, Inc. (a) | 1,622 | 634,851 |
1,956,408 | ||
IT Services – 7.6% | ||
Accenture PLC Class A | 2,807 | 859,672 |
Automatic Data Processing, Inc. | 3,113 | 750,607 |
Mastercard, Inc. Class A | 2,691 | 952,049 |
Visa, Inc. Class A | 4,659 | 988,220 |
3,550,548 | ||
Semiconductors & Semiconductor Equipment – 7.6% | ||
Advanced Micro Devices, Inc. (a) | 8,512 | 804,128 |
KLA Corp. | 1,946 | 746,369 |
Lam Research Corp. | 1,478 | 739,754 |
NVIDIA Corp. | 6,806 | 1,236,174 |
3,526,425 | ||
Software – 15.9% | ||
Adobe, Inc. (a) | 2,057 | 843,617 |
ANSYS, Inc. (a) | 2,448 | 682,968 |
Cadence Design Systems, Inc. (a) | 4,178 | 777,442 |
Intuit, Inc. | 1,911 | 871,741 |
Microsoft Corp. | 12,199 | 3,424,747 |
Synopsys, Inc. (a) | 2,106 | 773,955 |
7,374,470 | ||
Technology Hardware, Storage & Peripherals – 6.8% | ||
Apple, Inc. | 19,592 | 3,183,896 |
TOTAL INFORMATION TECHNOLOGY | 19,591,747 | |
MATERIALS – 3.4% | ||
Chemicals – 3.4% | ||
Linde PLC | 2,816 | 850,432 |
Annual Report | 42 |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Chemicals – continued | ||
The Sherwin-Williams Co. | 3,065 | $ 741,546 |
TOTAL MATERIALS | 1,591,978 | |
REAL ESTATE – 6.8% | ||
Equity Real Estate Investment Trusts (REITs) – 6.8% | ||
American Tower Corp. | 3,108 | 841,739 |
Crown Castle International Corp. | 4,162 | 751,907 |
Prologis, Inc. | 6,437 | 853,289 |
SBA Communications Corp. | 2,080 | 698,443 |
TOTAL REAL ESTATE | 3,145,378 | |
UTILITIES – 2.2% | ||
Electric Utilities – 2.2% | ||
NextEra Energy, Inc. | 12,002 | 1,014,049 |
TOTAL COMMON STOCKS (Cost $44,289,287) | 45,887,513 |
Money Market Fund – 1.6% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $728,455) | 728,455 | $ 728,455 |
TOTAL INVESTMENT IN SECURITIES – 100.2% (Cost $45,017,742) | 46,615,968 | |
NET OTHER ASSETS (LIABILITIES) – (0.2%) | (88,560) | |
NET ASSETS – 100.0% | $ 46,527,408 |
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 | $ 2,240,934 | $ 2,240,934 | $ — | $ — | ||||
Consumer Discretionary | 2,769,828 | 2,769,828 | — | — | ||||
Consumer Staples | 1,689,960 | 1,689,960 | — | — | ||||
Financials | 3,802,978 | 3,802,978 | — | — | ||||
Health Care | 6,499,853 | 6,499,853 | — | — | ||||
Industrials | 3,540,808 | 3,540,808 | — | — | ||||
Information Technology | 19,591,747 | 19,591,747 | — | — | ||||
Materials | 1,591,978 | 1,591,978 | — | — | ||||
Real Estate | 3,145,378 | 3,145,378 | — | — | ||||
Utilities | 1,014,049 | 1,014,049 | — | — | ||||
Money Market Fund | 728,455 | 728,455 | — | — | ||||
Total Investments in Securities: | $ 46,615,968 | $ 46,615,968 | $ — | $ — |
43 | Annual Report |
Common Stocks – 95.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 4.8% | ||
Diversified Telecommunication Services – 1.2% | ||
Verizon Communications, Inc. | 14,389 | $ 664,628 |
Entertainment – 0.6% | ||
Endeavor Group Holdings, Inc. (a) | 14,568 | 332,005 |
Interactive Media & Services – 1.1% | ||
Alphabet, Inc. Class A (a) | 5,120 | 595,558 |
Media – 1.9% | ||
Comcast Corp. Class A | 29,159 | 1,094,046 |
TOTAL COMMUNICATION SERVICES | 2,686,237 | |
CONSUMER DISCRETIONARY – 6.1% | ||
Auto Components – 1.0% | ||
American Axle & Manufacturing Holdings, Inc. (a) | 22,417 | 199,735 |
Aptiv PLC (a) | 1,851 | 194,151 |
Magna International, Inc. | 2,532 | 161,694 |
555,580 | ||
Automobiles – 0.6% | ||
General Motors Co. | 8,890 | 322,351 |
Hotels, Restaurants & Leisure – 1.2% | ||
Booking Holdings, Inc. (a) | 186 | 360,038 |
Churchill Downs, Inc. | 1,475 | 309,455 |
669,493 | ||
Household Durables – 0.7% | ||
Mohawk Industries, Inc. (a) | 1,785 | 229,337 |
NVR, Inc. (a) | 46 | 202,083 |
431,420 | ||
Internet & Direct Marketing Retail – 1.1% | ||
Coupang, Inc. (a) | 19,613 | 339,109 |
eBay, Inc. | 5,372 | 261,240 |
600,349 | ||
Leisure Products – 0.1% | ||
Peloton Interactive, Inc. Class A (a) | 5,897 | 55,963 |
Specialty Retail – 0.3% | ||
Best Buy Co., Inc. | 2,602 | 200,328 |
Textiles, Apparel & Luxury Goods – 1.1% | ||
PVH Corp. | 2,770 | 171,518 |
Ralph Lauren Corp. | 1,670 | 164,712 |
Tapestry, Inc. | 8,261 | 277,818 |
614,048 | ||
TOTAL CONSUMER DISCRETIONARY | 3,449,532 | |
CONSUMER STAPLES – 3.2% | ||
Beverages – 2.1% | ||
Diageo PLC ADR | 1,648 | 315,427 |
The Boston Beer Co., Inc. Class A (a) | 466 | 177,280 |
The Coca-Cola Co. | 10,652 | 683,539 |
1,176,246 |
| ||
Shares | Value | |
Food & Staples Retailing – 1.1% | ||
Walmart, Inc. | 4,877 | $ 644,008 |
TOTAL CONSUMER STAPLES | 1,820,254 | |
ENERGY – 18.2% | ||
Energy Equipment & Services – 1.1% | ||
Oceaneering International, Inc. (a) | 15,288 | 162,359 |
Schlumberger N.V. | 10,668 | 395,036 |
TechnipFMC PLC (a) | 5,659 | 45,781 |
603,176 | ||
Oil, Gas & Consumable Fuels – 17.1% | ||
Canadian Natural Resources Ltd. | 16,251 | 897,055 |
Cheniere Energy, Inc. | 8,615 | 1,288,632 |
EQT Corp. | 38,501 | 1,695,199 |
Exxon Mobil Corp. | 26,099 | 2,529,776 |
Golar LNG Ltd. (a) | 19,627 | 439,056 |
Hess Corp. | 10,773 | 1,211,639 |
Range Resources Corp. | 10,824 | 357,950 |
The Williams Cos., Inc. | 22,429 | 764,605 |
Valero Energy Corp. | 4,080 | 451,941 |
9,635,853 | ||
TOTAL ENERGY | 10,239,029 | |
FINANCIALS – 17.0% | ||
Banks – 7.1% | ||
Bank of America Corp. | 33,818 | 1,143,386 |
Comerica, Inc. | 3,953 | 307,425 |
HDFC Bank Ltd. ADR | 3,512 | 220,554 |
The PNC Financial Services Group, Inc. | 5,642 | 936,233 |
Wells Fargo & Co. | 32,041 | 1,405,639 |
4,013,237 | ||
Capital Markets – 2.7% | ||
Goldman Sachs Group, Inc. | 1,938 | 646,110 |
Morgan Stanley | 7,407 | 624,410 |
TPG, Inc. | 8,877 | 253,172 |
1,523,692 | ||
Diversified Financial Services – 0.3% | ||
Equitable Holdings, Inc. | 6,466 | 183,828 |
Insurance – 5.8% | ||
American International Group, Inc. | 24,197 | 1,252,679 |
Arch Capital Group Ltd. (a) | 8,698 | 386,191 |
Chubb Ltd. | 4,027 | 759,653 |
First American Financial Corp. | 3,159 | 183,222 |
MetLife, Inc. | 8,396 | 531,047 |
RenaissanceRe Holdings Ltd. | 909 | 117,543 |
3,230,335 | ||
Thrifts & Mortgage Finance – 1.1% | ||
Radian Group, Inc. | 27,750 | 620,768 |
TOTAL FINANCIALS | 9,571,860 |
Annual Report | 44 |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – 16.9% | ||
Biotechnology – 1.1% | ||
Amgen, Inc. | 2,198 | $543,939 |
Day One Biopharmaceuticals, Inc. (a) | 4,313 | 73,882 |
617,821 | ||
Health Care Equipment & Supplies – 2.4% | ||
Becton Dickinson and Co. | 1,780 | 434,872 |
Boston Scientific Corp. (a) | 10,013 | 411,034 |
Butterfly Network, Inc. (a) | 53,146 | 230,654 |
Embecta Corp. | 343 | 10,094 |
Hologic, Inc. (a) | 3,999 | 285,448 |
1,372,102 | ||
Health Care Providers & Services – 6.2% | ||
Centene Corp. (a) | 6,832 | 635,171 |
Cigna Corp. | 2,441 | 672,154 |
Guardant Health, Inc. (a) | 4,510 | 226,267 |
Henry Schein, Inc. (a) | 5,884 | 463,836 |
LifeStance Health Group, Inc. (a) | 14,847 | 88,488 |
Oak Street Health, Inc. (a) | 6,146 | 177,927 |
UnitedHealth Group, Inc. | 2,272 | 1,232,196 |
3,496,039 | ||
Life Sciences Tools & Services – 0.2% | ||
10X Genomics, Inc. Class A (a) | 2,472 | 99,251 |
Pharmaceuticals – 7.0% | ||
Bristol-Myers Squibb Co. | 24,243 | 1,788,648 |
Eli Lilly & Co. | 4,143 | 1,365,906 |
Sanofi ADR | 6,291 | 312,663 |
Viatris, Inc. | 47,560 | 460,856 |
3,928,073 | ||
TOTAL HEALTH CARE | 9,513,286 | |
INDUSTRIALS – 11.7% | ||
Aerospace & Defense – 4.6% | ||
BWX Technologies, Inc. | 5,250 | 297,570 |
General Dynamics Corp. | 3,468 | 786,091 |
Huntington Ingalls Industries, Inc. | 3,546 | 768,915 |
Northrop Grumman Corp. | 1,534 | 734,633 |
2,587,209 | ||
Air Freight & Logistics – 0.2% | ||
GXO Logistics, Inc. (a) | 2,735 | 131,280 |
Building Products – 0.6% | ||
Fortune Brands Home & Security, Inc. | 2,927 | 203,953 |
JELD-WEN Holding, Inc. (a) | 6,137 | 109,116 |
313,069 | ||
Construction & Engineering – 0.7% | ||
AECOM | 3,062 | 220,464 |
Argan, Inc. | 4,375 | 162,575 |
383,039 | ||
Electrical Equipment – 0.4% | ||
Sensata Technologies Holding PLC | 5,357 | 238,226 |
| ||
Shares | Value | |
Industrial Conglomerates – 2.5% | ||
General Electric Co. | 19,107 | $ 1,412,198 |
Machinery – 0.6% | ||
Donaldson Co., Inc. | 3,158 | 171,827 |
Pentair PLC | 3,622 | 177,079 |
348,906 | ||
Professional Services – 0.8% | ||
Leidos Holdings, Inc. | 2,379 | 254,553 |
Science Applications International Corp. | 1,865 | 180,663 |
435,216 | ||
Road & Rail – 1.3% | ||
Hertz Global Holdings, Inc. (a) | 5,045 | 108,064 |
Knight-Swift Transportation Holdings, Inc. | 8,283 | 455,151 |
XPO Logistics, Inc. (a) | 2,524 | 150,784 |
713,999 | ||
TOTAL INDUSTRIALS | 6,563,142 | |
INFORMATION TECHNOLOGY – 7.2% | ||
Communications Equipment – 1.8% | ||
Cisco Systems, Inc. | 16,990 | 770,836 |
Telefonaktiebolaget LM Ericsson ADR | 30,538 | 230,257 |
1,001,093 | ||
Electronic Equipment, Instruments & Components – 0.8% | ||
Keysight Technologies, Inc. (a) | 2,707 | 440,158 |
IT Services – 2.9% | ||
Akamai Technologies, Inc. (a) | 3,067 | 295,107 |
Euronet Worldwide, Inc. (a) | 1,684 | 165,487 |
Fidelity National Information Services, Inc. | 2,897 | 295,957 |
Global Payments, Inc. | 1,251 | 153,022 |
Visa, Inc. Class A | 3,497 | 741,749 |
1,651,322 | ||
Semiconductors & Semiconductor Equipment – 1.7% | ||
Analog Devices, Inc. | 2,132 | 366,619 |
Intel Corp. | 12,297 | 446,504 |
Skyworks Solutions, Inc. | 1,416 | 154,174 |
967,297 | ||
TOTAL INFORMATION TECHNOLOGY | 4,059,870 | |
MATERIALS – 3.9% | ||
Chemicals – 1.0% | ||
Cabot Corp. | 2,997 | 222,557 |
Nutrien Ltd. | 3,997 | 342,383 |
564,940 | ||
Containers & Packaging – 1.3% | ||
Avery Dennison Corp. | 1,430 | 272,358 |
O-I Glass, Inc. (a) | 30,661 | 451,023 |
723,381 | ||
Metals & Mining – 1.6% | ||
Commercial Metals Co. | 2,254 | 89,303 |
Freeport-McMoRan, Inc. | 18,184 | 573,705 |
45 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
MATERIALS – continued | ||
Metals & Mining – continued | ||
Royal Gold, Inc. | 950 | $99,532 |
Steel Dynamics, Inc. | 1,561 | 121,571 |
884,111 | ||
TOTAL MATERIALS | 2,172,432 | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 3.1% | ||
Cousins Properties, Inc. | 4,854 | 149,746 |
Gaming and Leisure Properties, Inc. | 6,718 | 349,269 |
Healthcare Realty Trust, Inc. | 6,279 | 164,824 |
Orion Office REIT, Inc. | 258 | 2,822 |
Realty Income Corp. | 2,769 | 204,878 |
Simon Property Group, Inc. | 1,938 | 210,544 |
Spirit Realty Capital, Inc. | 6,726 | 298,231 |
VICI Properties, Inc. | 11,215 | 383,441 |
1,763,755 | ||
Real Estate Management & Development – 0.2% | ||
WeWork, Inc. (a) | 18,566 | 88,560 |
TOTAL REAL ESTATE | 1,852,315 | |
UTILITIES – 3.6% | ||
Electric Utilities – 2.5% | ||
Duke Energy Corp. | 5,907 | 649,356 |
FirstEnergy Corp. | 5,809 | 238,750 |
| ||
Shares | Value | |
The Southern Co. | 6,562 | $ 504,552 |
1,392,658 | ||
Independent Power and Renewable Electricity Producers – 1.1% | ||
The AES Corp. | 14,258 | 316,813 |
Vistra Corp. | 13,159 | 340,160 |
656,973 | ||
TOTAL UTILITIES | 2,049,631 | |
TOTAL COMMON STOCKS (Cost $48,201,843) | 53,977,588 | |
Money Market Fund – 5.3% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $2,977,495) | 2,977,495 | 2,977,495 |
TOTAL INVESTMENT IN SECURITIES – 101.2% (Cost $51,179,338) | 56,955,083 | |
NET OTHER ASSETS (LIABILITIES) – (1.2%) | (679,445) | |
NET ASSETS – 100.0% | $ 56,275,638 |
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 | $ 2,686,237 | $ 2,686,237 | $ — | $ — | ||||
Consumer Discretionary | 3,449,532 | 3,449,532 | — | — | ||||
Consumer Staples | 1,820,254 | 1,820,254 | — | — | ||||
Energy | 10,239,029 | 10,239,029 | — | — | ||||
Financials | 9,571,860 | 9,571,860 | — | — | ||||
Health Care | 9,513,286 | 9,513,286 | — | — | ||||
Industrials | 6,563,142 | 6,563,142 | — | — | ||||
Information Technology | 4,059,870 | 4,059,870 | — | — | ||||
Materials | 2,172,432 | 2,172,432 | — | — | ||||
Real Estate | 1,852,315 | 1,852,315 | — | — | ||||
Utilities | 2,049,631 | 2,049,631 | — | — | ||||
Money Market Fund | 2,977,495 | 2,977,495 | — | — | ||||
Total Investments in Securities: | $ 56,955,083 | $ 56,955,083 | $ — | $ — |
Annual Report | 46 |
Common Stocks – 99.6% | ||
Shares | Value | |
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 95.7% | ||
REITs - Apartments – 11.3% | ||
American Homes 4 Rent Class A | 9,008 | $ 341,223 |
Apartment Income REIT Corp. | 5,605 | 254,131 |
Invitation Homes, Inc. | 10,847 | 423,358 |
Mid-America Apartment Communities, Inc. | 3,382 | 628,139 |
UDR, Inc. | 13,451 | 651,028 |
2,297,879 | ||
REITs - Diversified – 40.2% | ||
American Assets Trust, Inc. | 3,894 | 117,716 |
Crown Castle International Corp. | 11,696 | 2,112,999 |
Digital Realty Trust, Inc. | 6,067 | 803,574 |
Duke Realty Corp. | 10,470 | 655,003 |
Equinix, Inc. | 1,373 | 966,235 |
Gaming and Leisure Properties, Inc. | 10,295 | 535,237 |
Lamar Advertising Co. Class A | 2,409 | 243,454 |
LXP Industrial Trust | 14,793 | 162,279 |
SBA Communications Corp. | 4,500 | 1,511,055 |
VICI Properties, Inc. | 13,618 | 465,599 |
Washington Real Estate Investment Trust | 6,711 | 148,783 |
Weyerhaeuser Co. | 11,703 | 425,053 |
8,146,987 | ||
REITs - Health Care – 9.2% | ||
Ventas, Inc. | 14,384 | 773,572 |
Welltower, Inc. | 12,548 | 1,083,394 |
1,856,966 | ||
REITs - Hotels – 4.3% | ||
DiamondRock Hospitality Co. (a) | 19,978 | 185,396 |
Host Hotels & Resorts, Inc. | 20,939 | 372,924 |
RLJ Lodging Trust | 13,402 | 167,391 |
Ryman Hospitality Properties, Inc. (a) | 1,558 | 137,945 |
863,656 | ||
REITs - Manufactured Homes – 4.9% | ||
Equity Lifestyle Properties, Inc. | 7,606 | 559,193 |
Sun Communities, Inc. | 2,680 | 439,413 |
998,606 | ||
REITs - Office Property – 1.4% | ||
Highwoods Properties, Inc. | 3,245 | 115,425 |
Piedmont Office Realty Trust, Inc. Class A | 5,302 | 72,955 |
Veris Residential, Inc. (a) | 6,735 | 93,953 |
282,333 | ||
REITs - Shopping Centers – 4.9% | ||
Kimco Realty Corp. | 16,559 | 366,120 |
Phillips Edison & Co., Inc. | 6,441 | 219,252 |
Regency Centers Corp. | 4,601 | 296,442 |
| ||
Shares | Value | |
Urban Edge Properties | 6,345 | $ 104,248 |
986,062 | ||
REITs - Single Tenant – 4.4% | ||
Four Corners Property Trust, Inc. | 4,028 | 117,738 |
National Retail Properties, Inc. | 9,724 | 462,960 |
Spirit Realty Capital, Inc. | 6,894 | 305,680 |
886,378 | ||
REITs - Storage – 7.4% | ||
CubeSmart | 12,759 | 585,255 |
Extra Space Storage, Inc. | 3,331 | 631,291 |
Iron Mountain, Inc. | 5,854 | 283,861 |
1,500,407 | ||
REITs - Warehouse/Industrial – 7.7% | ||
Prologis, Inc. | 11,803 | 1,564,606 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 19,383,880 | |
INFORMATION TECHNOLOGY – 0.1% | ||
IT Services – 0.1% | ||
Cyxtera Technologies, Inc. (a) | 2,078 | 25,331 |
REAL ESTATE MANAGEMENT & DEVELOPMENT – 3.8% | ||
Real Estate Services – 3.8% | ||
Anywhere Real Estate, Inc. (a) | 5,910 | 58,686 |
CBRE Group, Inc. Class A (a) | 6,690 | 572,798 |
Zillow Group, Inc. Class C (a) | 4,005 | 139,695 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 771,179 | |
TOTAL COMMON STOCKS (Cost $19,719,867) | 20,180,390 | |
Money Market Fund – 0.4% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $74,436) | 74,436 | 74,435 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $19,794,303) | 20,254,825 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,709 | |
NET ASSETS – 100.0% | $ 20,256,534 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
47 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Common Stocks | $ 20,180,390 | $ 20,180,390 | $ — | $ — | ||||
Money Market Funds | 74,435 | 74,435 | — | — | ||||
Total Investments in Securities: | $ 20,254,825 | $ 20,254,825 | $ — | $ — |
Annual Report | 48 |
Common Stocks – 98.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 2.3% | ||
Interactive Media & Services – 0.8% | ||
Bumble, Inc. Class A (a) | 2,952 | $111,940 |
Ziff Davis, Inc. (a) | 1,451 | 118,822 |
230,762 | ||
Media – 1.5% | ||
Nexstar Media Group, Inc. Class A | 1,455 | 274,079 |
TechTarget, Inc. (a) | 759 | 49,479 |
The Interpublic Group of Cos., Inc. | 2,708 | 80,888 |
404,446 | ||
TOTAL COMMUNICATION SERVICES | 635,208 | |
CONSUMER DISCRETIONARY – 12.6% | ||
Auto Components – 0.5% | ||
Adient PLC (a) | 2,566 | 86,679 |
Patrick Industries, Inc. | 746 | 45,297 |
131,976 | ||
Diversified Consumer Services – 0.2% | ||
Adtalem Global Education, Inc. (a) | 1,444 | 57,904 |
Hotels, Restaurants & Leisure – 2.2% | ||
Brinker International, Inc. (a) | 1,452 | 40,293 |
Caesars Entertainment, Inc. (a) | 2,759 | 126,059 |
Churchill Downs, Inc. | 1,159 | 243,158 |
Wyndham Hotels & Resorts, Inc. | 3,090 | 214,477 |
623,987 | ||
Household Durables – 3.2% | ||
Helen of Troy Ltd. (a) | 856 | 114,524 |
KB Home | 2,787 | 90,968 |
LGI Homes, Inc. (a) | 1,345 | 151,716 |
Mohawk Industries, Inc. (a) | 2,060 | 264,669 |
Tempur Sealy International, Inc. | 9,554 | 262,544 |
884,421 | ||
Specialty Retail – 4.2% | ||
Academy Sports & Outdoors, Inc. | 880 | 37,866 |
AutoZone, Inc. (a) | 160 | 341,982 |
Best Buy Co., Inc. | 1,284 | 98,855 |
Dick's Sporting Goods, Inc. | 1,745 | 163,315 |
Lithia Motors, Inc. | 438 | 116,193 |
Rent-A-Center, Inc. | 3,966 | 93,320 |
Williams-Sonoma, Inc. | 2,099 | 303,138 |
1,154,669 | ||
Textiles, Apparel & Luxury Goods – 2.3% | ||
Capri Holdings Ltd. (a) | 3,546 | 172,619 |
Crocs, Inc. (a) | 2,167 | 155,244 |
Tapestry, Inc. | 9,116 | 306,571 |
634,434 | ||
TOTAL CONSUMER DISCRETIONARY | 3,487,391 |
| ||
Shares | Value | |
CONSUMER STAPLES – 5.5% | ||
Food & Staples Retailing – 2.8% | ||
BJ's Wholesale Club Holdings, Inc. (a) | 4,306 | $ 291,516 |
Performance Food Group Co. (a) | 3,357 | 166,877 |
US Foods Holding Corp. (a) | 7,206 | 226,989 |
Walgreens Boots Alliance, Inc. | 2,265 | 89,739 |
775,121 | ||
Food Products – 2.7% | ||
Darling Ingredients, Inc. (a) | 4,108 | 284,602 |
Lamb Weston Holdings, Inc. | 3,546 | 282,475 |
Nomad Foods Ltd. (a) | 6,573 | 121,206 |
Seaboard Corp. | 14 | 56,849 |
745,132 | ||
TOTAL CONSUMER STAPLES | 1,520,253 | |
ENERGY – 7.2% | ||
Energy Equipment & Services – 0.8% | ||
TechnipFMC PLC (a) | 28,106 | 227,378 |
Oil, Gas & Consumable Fuels – 6.4% | ||
Antero Resources Corp. (a) | 8,636 | 342,331 |
Brigham Minerals, Inc. Class A | 932 | 24,745 |
Cenovus Energy, Inc. | 5,449 | 103,967 |
Cheniere Energy, Inc. | 1,792 | 268,047 |
Denbury, Inc. (a) | 1,548 | 111,317 |
EQT Corp. | 4,577 | 201,525 |
Hess Corp. | 2,941 | 330,774 |
HF Sinclair Corp. | 3,198 | 152,928 |
Marathon Oil Corp. | 4,067 | 100,862 |
Murphy Oil Corp. | 4,322 | 151,875 |
1,788,371 | ||
TOTAL ENERGY | 2,015,749 | |
FINANCIALS – 14.9% | ||
Banks – 6.0% | ||
BOK Financial Corp. | 1,011 | 88,998 |
Comerica, Inc. | 4,625 | 359,686 |
Cullen/Frost Bankers, Inc. | 1,844 | 240,457 |
Eastern Bankshares, Inc. | 6,675 | 136,170 |
First Hawaiian, Inc. | 4,279 | 109,072 |
M&T Bank Corp. | 595 | 105,583 |
Synovus Financial Corp. | 4,629 | 186,919 |
Trico Bancshares | 717 | 34,273 |
Webster Financial Corp. | 2,916 | 135,448 |
Western Alliance Bancorp | 1,486 | 113,501 |
Wintrust Financial Corp. | 1,700 | 146,268 |
1,656,375 | ||
Capital Markets – 0.7% | ||
LPL Financial Holdings, Inc. | 1,001 | 210,130 |
Consumer Finance – 1.5% | ||
Discover Financial Services | 2,234 | 225,634 |
49 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
FINANCIALS – continued | ||
Consumer Finance – continued | ||
Encore Capital Group, Inc. (a) | 1,057 | $76,559 |
Synchrony Financial | 3,412 | 114,234 |
416,427 | ||
Insurance – 6.2% | ||
American Financial Group, Inc. | 1,292 | 172,715 |
Arch Capital Group Ltd. (a) | 4,576 | 203,174 |
Assurant, Inc. | 1,599 | 281,072 |
Enstar Group Ltd. (a) | 391 | 77,387 |
First American Financial Corp. | 5,024 | 291,392 |
Lincoln National Corp. | 3,794 | 194,784 |
Old Republic International Corp. | 9,535 | 221,879 |
Primerica, Inc. | 1,250 | 160,863 |
Reinsurance Group of America, Inc. | 1,054 | 122,032 |
1,725,298 | ||
Thrifts & Mortgage Finance – 0.5% | ||
Walker & Dunlop, Inc. | 1,280 | 144,179 |
TOTAL FINANCIALS | 4,152,409 | |
HEALTH CARE – 12.3% | ||
Biotechnology – 1.6% | ||
4D Molecular Therapeutics, Inc. (a) | 319 | 2,999 |
ALX Oncology Holdings, Inc. (a) | 267 | 2,584 |
Arcutis Biotherapeutics, Inc. (a) | 120 | 2,911 |
Argenx SE ADR (a) | 270 | 98,337 |
Blueprint Medicines Corp. (a) | 463 | 23,641 |
Celldex Therapeutics, Inc. (a) | 456 | 14,008 |
Cytokinetics, Inc. (a) | 761 | 32,213 |
Exelixis, Inc. (a) | 2,838 | 59,371 |
Global Blood Therapeutics, Inc. (a) | 818 | 26,765 |
Horizon Therapeutics PLC (a) | 282 | 23,397 |
Keros Therapeutics, Inc. (a) | 154 | 4,940 |
Mirati Therapeutics, Inc. (a) | 383 | 24,665 |
Prelude Therapeutics, Inc. (a) | 372 | 1,860 |
Relay Therapeutics, Inc. (a) | 210 | 3,994 |
United Therapeutics Corp. (a) | 282 | 65,162 |
Vaxcyte, Inc. (a) | 24 | 554 |
Vericel Corp. (a) | 468 | 15,229 |
Verve Therapeutics, Inc. (a) | 516 | 12,704 |
Zentalis Pharmaceuticals, Inc. (a) | 689 | 20,119 |
435,453 | ||
Health Care Equipment & Supplies – 1.8% | ||
Envista Holdings Corp. (a) | 3,285 | 133,535 |
Figs, Inc. Class A (a) | 10,730 | 113,416 |
Hologic, Inc. (a) | 2,480 | 177,023 |
Integer Holdings Corp. (a) | 1,060 | 74,083 |
498,057 | ||
Health Care Providers & Services – 5.1% | ||
Acadia Healthcare Co., Inc. (a) | 2,884 | 239,112 |
| ||
Shares | Value | |
AdaptHealth Corp. (a) | 6,473 | $ 143,118 |
Laboratory Corp. of America Holdings | 477 | 125,065 |
Molina Healthcare, Inc. (a) | 1,225 | 401,457 |
Owens & Minor, Inc. | 4,786 | 169,472 |
Premier, Inc. Class A | 1,950 | 74,997 |
R1 RCM, Inc. (a) | 3,364 | 84,100 |
Surgery Partners, Inc. (a) | 1,036 | 40,798 |
Universal Health Services, Inc. Class B | 1,331 | 149,698 |
1,427,817 | ||
Health Care Technology – 0.3% | ||
Evolent Health, Inc. Class A (a) | 2,939 | 99,897 |
Life Sciences Tools & Services – 2.3% | ||
10X Genomics, Inc. Class A (a) | 464 | 18,630 |
Charles River Laboratories International, Inc. (a) | 1,206 | 302,151 |
Syneos Health, Inc. (a) | 2,755 | 218,031 |
West Pharmaceutical Services, Inc. | 265 | 91,043 |
629,855 | ||
Pharmaceuticals – 1.2% | ||
Arvinas, Inc. (a) | 564 | 29,954 |
Jazz Pharmaceuticals PLC (a) | 1,706 | 266,238 |
Prestige Consumer Healthcare, Inc. (a) | 307 | 18,515 |
Viatris, Inc. | 771 | 7,471 |
322,178 | ||
TOTAL HEALTH CARE | 3,413,257 | |
INDUSTRIALS – 16.6% | ||
Aerospace & Defense – 0.4% | ||
Curtiss-Wright Corp. | 759 | 108,871 |
Building Products – 1.8% | ||
Builders FirstSource, Inc. (a) | 6,971 | 474,028 |
JELD-WEN Holding, Inc. (a) | 1,679 | 29,853 |
503,881 | ||
Commercial Services & Supplies – 0.3% | ||
The Brink's Co. | 1,705 | 97,083 |
Construction & Engineering – 1.7% | ||
AECOM | 2,284 | 164,448 |
Fluor Corp. (a) | 7,165 | 182,063 |
Granite Construction, Inc. | 4,261 | 127,404 |
473,915 | ||
Electrical Equipment – 3.2% | ||
Acuity Brands, Inc. | 1,037 | 189,149 |
AMETEK, Inc. | 1,541 | 190,313 |
Atkore, Inc. (a) | 1,579 | 156,747 |
Regal Rexnord Corp. | 1,734 | 232,876 |
Sensata Technologies Holding PLC | 2,514 | 111,798 |
880,883 | ||
Machinery – 2.5% | ||
Allison Transmission Holdings, Inc. | 2,832 | 118,576 |
Crane Holdings Co. | 1,609 | 159,178 |
Annual Report | 50 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Machinery – continued | ||
ITT, Inc. | 2,809 | $ 210,759 |
Oshkosh Corp. | 1,253 | 107,883 |
SPX Corp. (a) | 1,413 | 83,551 |
679,947 | ||
Professional Services – 3.3% | ||
ASGN, Inc. (a) | 2,477 | 257,013 |
CACI International, Inc. Class A (a) | 757 | 228,834 |
Insperity, Inc. | 1,151 | 126,311 |
KBR, Inc. | 4,458 | 237,299 |
Kforce, Inc. | 1,026 | 67,562 |
917,019 | ||
Road & Rail – 2.0% | ||
TFI International, Inc. | 3,575 | 357,250 |
XPO Logistics, Inc. (a) | 3,219 | 192,303 |
549,553 | ||
Trading Companies & Distributors – 1.4% | ||
Beacon Roofing Supply, Inc. (a) | 2,601 | 156,112 |
Rush Enterprises, Inc. Class A | 1,566 | 75,466 |
Univar Solutions, Inc. (a) | 5,705 | 154,263 |
385,841 | ||
TOTAL INDUSTRIALS | 4,596,993 | |
INFORMATION TECHNOLOGY – 13.3% | ||
Communications Equipment – 0.5% | ||
Lumentum Holdings, Inc. (a) | 1,440 | 130,262 |
Electronic Equipment, Instruments & Components – 2.3% | ||
Advanced Energy Industries, Inc. | 1,243 | 111,236 |
Fabrinet (a) | 1,130 | 108,548 |
Flex Ltd. (a) | 3,001 | 50,417 |
Insight Enterprises, Inc. (a) | 1,574 | 147,027 |
TD SYNNEX Corp. | 1,838 | 184,572 |
TTM Technologies, Inc. (a) | 3,352 | 45,353 |
647,153 | ||
IT Services – 4.7% | ||
Amdocs Ltd. | 1,960 | 170,638 |
Concentrix Corp. | 1,711 | 228,863 |
Cyxtera Technologies, Inc. (a) | 10,161 | 123,863 |
EPAM Systems, Inc. (a) | 504 | 176,022 |
ExlService Holdings, Inc. (a) | 1,085 | 182,681 |
Genpact Ltd. | 3,656 | 175,781 |
Perficient, Inc. (a) | 1,066 | 112,484 |
Verra Mobility Corp. (a) | 4,379 | 72,210 |
WNS Holdings Ltd. ADR (a) | 692 | 60,003 |
1,302,545 | ||
Semiconductors & Semiconductor Equipment – 2.4% | ||
Cirrus Logic, Inc. (a) | 500 | 42,730 |
Entegris, Inc. | 1,913 | 210,239 |
Ichor Holdings Ltd. (a) | 3,010 | 94,092 |
| ||
Shares | Value | |
ON Semiconductor Corp. (a) | 3,241 | $ 216,434 |
SiTime Corp. (a) | 542 | 100,801 |
664,296 | ||
Software – 2.2% | ||
ANSYS, Inc. (a) | 514 | 143,401 |
Dynatrace, Inc. (a) | 1,526 | 57,423 |
Elastic N.V. (a) | 2,067 | 165,133 |
Paycom Software, Inc. (a) | 378 | 124,925 |
Tenable Holdings, Inc. (a) | 3,291 | 127,197 |
618,079 | ||
Technology Hardware, Storage & Peripherals – 1.2% | ||
Avid Technology, Inc. (a) | 3,497 | 98,126 |
Seagate Technology Holdings PLC | 2,843 | 227,383 |
325,509 | ||
TOTAL INFORMATION TECHNOLOGY | 3,687,844 | |
MATERIALS – 6.2% | ||
Chemicals – 3.7% | ||
Element Solutions, Inc. | 7,144 | 141,165 |
Huntsman Corp. | 7,013 | 203,097 |
The Chemours Co. | 4,986 | 177,452 |
The Mosaic Co. | 2,267 | 119,380 |
Trinseo PLC | 3,551 | 127,019 |
Tronox Holdings PLC Class A | 2,927 | 45,691 |
Valvoline, Inc. | 6,138 | 197,766 |
1,011,570 | ||
Construction Materials – 1.0% | ||
Eagle Materials, Inc. | 1,365 | 172,604 |
Summit Materials, Inc. Class A (a) | 3,864 | 106,299 |
278,903 | ||
Containers & Packaging – 0.5% | ||
O-I Glass, Inc. (a) | 10,045 | 147,762 |
Metals & Mining – 1.0% | ||
Commercial Metals Co. | 3,823 | 151,467 |
Steel Dynamics, Inc. | 1,556 | 121,181 |
272,648 | ||
TOTAL MATERIALS | 1,710,883 | |
REAL ESTATE – 5.0% | ||
Equity Real Estate Investment Trusts (REITs) – 3.2% | ||
Corporate Office Properties Trust | 3,543 | 99,735 |
CubeSmart | 6,543 | 300,127 |
Douglas Emmett, Inc. | 7,582 | 179,239 |
LXP Industrial Trust | 7,326 | 80,366 |
Terreno Realty Corp. | 2,187 | 137,016 |
Ventas, Inc. | 1,992 | 107,130 |
903,613 | ||
Real Estate Management & Development – 1.8% | ||
Anywhere Real Estate, Inc. (a) | 12,931 | 128,405 |
Cushman & Wakefield PLC (a) | 1,947 | 32,709 |
51 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
REAL ESTATE – continued | ||
Real Estate Management & Development – continued | ||
Jones Lang LaSalle, Inc. (a) | 1,715 | $ 326,999 |
488,113 | ||
TOTAL REAL ESTATE | 1,391,726 | |
UTILITIES – 3.0% | ||
Electric Utilities – 1.3% | ||
Alliant Energy Corp. | 2,660 | 162,074 |
Edison International | 1,740 | 117,920 |
PG&E Corp. (a) | 8,318 | 90,333 |
370,327 | ||
Gas Utilities – 0.5% | ||
Brookfield Infrastructure Corp. | 2,937 | 134,544 |
Independent Power and Renewable Electricity Producers – 1.2% | ||
The AES Corp. | 8,913 | 198,047 |
Vistra Corp. | 5,359 | 138,530 |
336,577 | ||
TOTAL UTILITIES | 841,448 | |
TOTAL COMMON STOCKS (Cost $27,123,387) | 27,453,161 |
Money Market Fund – 1.1% | ||
Shares | Value | |
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $298,438) | 298,438 | $ 298,438 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $27,421,825) | 27,751,599 | |
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (4,109) | |
NET ASSETS – 100.0% | $ 27,747,490 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 52 |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 635,208 | $ 635,208 | $ — | $ — | ||||
Consumer Discretionary | 3,487,391 | 3,487,391 | — | — | ||||
Consumer Staples | 1,520,253 | 1,520,253 | — | — | ||||
Energy | 2,015,749 | 2,015,749 | — | — | ||||
Financials | 4,152,409 | 4,152,409 | — | — | ||||
Health Care | 3,413,257 | 3,413,257 | — | — | ||||
Industrials | 4,596,993 | 4,596,993 | — | — | ||||
Information Technology | 3,687,844 | 3,687,844 | — | — | ||||
Materials | 1,710,883 | 1,710,883 | — | — | ||||
Real Estate | 1,391,726 | 1,391,726 | — | — | ||||
Utilities | 841,448 | 841,448 | — | — | ||||
Money Market Fund | 298,438 | 298,438 | — | — | ||||
Total Investments in Securities: | $ 27,751,599 | $ 27,751,599 | $ — | $ — |
United States of America | 89.9% |
Canada | 2.1% |
Ireland | 2.1% |
Bermuda | 2.1% |
United Kingdom | 2.0% |
Others (Individually Less Than 1%) | 1.8% |
100.0% |
53 | Annual Report |
Common Stocks – 96.9% | ||
Shares | Value | |
COMMUNICATION SERVICES – 4.6% | ||
Interactive Media & Services – 1.8% | ||
Alphabet, Inc. Class A (a) | 860 | $ 100,035 |
Media – 2.8% | ||
Cable One, Inc. | 47 | 64,704 |
Comcast Corp. Class A | 1,398 | 52,453 |
The Interpublic Group of Cos., Inc. | 1,520 | 45,403 |
162,560 | ||
TOTAL COMMUNICATION SERVICES | 262,595 | |
CONSUMER DISCRETIONARY – 10.5% | ||
Automobiles – 0.6% | ||
General Motors Co. | 979 | 35,498 |
Diversified Consumer Services – 2.1% | ||
Adtalem Global Education, Inc. (a) | 1,515 | 60,752 |
Bright Horizons Family Solutions, Inc. (a) | 624 | 58,450 |
119,202 | ||
Hotels, Restaurants & Leisure – 2.0% | ||
Marriott International, Inc. Class A | 740 | 117,527 |
Household Durables – 1.3% | ||
Taylor Morrison Home Corp. (a) | 2,572 | 73,816 |
Internet & Direct Marketing Retail – 2.2% | ||
Amazon.com, Inc. (a) | 431 | 58,163 |
eBay, Inc. | 1,347 | 65,505 |
123,668 | ||
Specialty Retail – 1.7% | ||
The Home Depot, Inc. | 330 | 99,310 |
Textiles, Apparel & Luxury Goods – 0.6% | ||
Tapestry, Inc. | 1,085 | 36,489 |
TOTAL CONSUMER DISCRETIONARY | 605,510 | |
CONSUMER STAPLES – 8.6% | ||
Beverages – 2.0% | ||
Keurig Dr Pepper, Inc. | 2,928 | 113,431 |
Food & Staples Retailing – 1.0% | ||
Albertsons Cos., Inc. | 2,205 | 59,204 |
Food Products – 1.9% | ||
Darling Ingredients, Inc. (a) | 1,578 | 109,324 |
Household Products – 3.0% | ||
Kimberly-Clark Corp. | 462 | 60,887 |
The Procter & Gamble Co. | 786 | 109,183 |
170,070 | ||
Personal Products – 0.7% | ||
The Estee Lauder Cos., Inc. Class A | 149 | 40,692 |
TOTAL CONSUMER STAPLES | 492,721 |
| ||
Shares | Value | |
ENERGY – 4.8% | ||
Oil, Gas & Consumable Fuels – 4.8% | ||
Cheniere Energy, Inc. | 935 | $ 139,857 |
Denbury, Inc. (a) | 417 | 29,987 |
Valero Energy Corp. | 984 | 108,998 |
TOTAL ENERGY | 278,842 | |
FINANCIALS – 12.1% | ||
Banks – 2.6% | ||
Bank of America Corp. | 3,103 | 104,913 |
Huntington Bancshares, Inc. | 3,452 | 45,877 |
150,790 | ||
Capital Markets – 4.8% | ||
BlackRock, Inc. | 84 | 56,211 |
Moody's Corp. | 192 | 59,568 |
Northern Trust Corp. | 896 | 89,403 |
State Street Corp. | 998 | 70,898 |
276,080 | ||
Consumer Finance – 2.6% | ||
American Express Co. | 447 | 68,847 |
Discover Financial Services | 805 | 81,305 |
150,152 | ||
Insurance – 2.1% | ||
The Travelers Cos., Inc. | 746 | 118,390 |
TOTAL FINANCIALS | 695,412 | |
HEALTH CARE – 14.5% | ||
Biotechnology – 3.2% | ||
Amgen, Inc. | 371 | 91,811 |
Vertex Pharmaceuticals, Inc. (a) | 328 | 91,975 |
183,786 | ||
Health Care Equipment & Supplies – 2.9% | ||
Danaher Corp. | 579 | 168,761 |
Health Care Providers & Services – 2.6% | ||
Cigna Corp. | 489 | 134,651 |
Guardant Health, Inc. (a) | 323 | 16,205 |
150,856 | ||
Life Sciences Tools & Services – 2.0% | ||
Bio-Rad Laboratories, Inc. Class A (a) | 87 | 49,003 |
ICON PLC (a) | 271 | 65,379 |
114,382 | ||
Pharmaceuticals – 3.8% | ||
Merck & Co., Inc. | 1,621 | 144,820 |
Zoetis, Inc. | 409 | 74,663 |
219,483 | ||
TOTAL HEALTH CARE | 837,268 | |
INDUSTRIALS – 9.5% | ||
Air Freight & Logistics – 1.3% | ||
United Parcel Service, Inc. Class B | 379 | 73,863 |
Annual Report | 54 |
Common Stocks – continued | ||
Shares | Value | |
INDUSTRIALS – continued | ||
Building Products – 0.8% | ||
Johnson Controls International PLC | 800 | $ 43,128 |
Electrical Equipment – 1.5% | ||
Acuity Brands, Inc. | 282 | 51,437 |
Generac Holdings, Inc. (a) | 127 | 34,074 |
85,511 | ||
Machinery – 1.7% | ||
Deere & Co. | 155 | 53,193 |
Ingersoll Rand, Inc. | 918 | 45,716 |
98,909 | ||
Professional Services – 4.2% | ||
KBR, Inc. | 1,901 | 101,190 |
ManpowerGroup, Inc. | 788 | 61,787 |
Verisk Analytics, Inc. | 421 | 80,096 |
243,073 | ||
TOTAL INDUSTRIALS | 544,484 | |
INFORMATION TECHNOLOGY – 23.1% | ||
IT Services – 4.0% | ||
Accenture PLC Class A | 342 | 104,741 |
Concentrix Corp. | 199 | 26,618 |
Mastercard, Inc. Class A | 166 | 58,729 |
PayPal Holdings, Inc. (a) | 476 | 41,189 |
231,277 | ||
Semiconductors & Semiconductor Equipment – 5.7% | ||
Advanced Micro Devices, Inc. (a) | 514 | 48,558 |
NVIDIA Corp. | 572 | 103,892 |
ON Semiconductor Corp. (a) | 1,372 | 91,622 |
SolarEdge Technologies, Inc. (a) | 238 | 85,711 |
329,783 | ||
Software – 11.1% | ||
Adobe, Inc. (a) | 160 | 65,619 |
Intuit, Inc. | 200 | 91,234 |
Microsoft Corp. | 1,279 | 359,067 |
Salesforce, Inc. (a) | 667 | 122,741 |
638,661 | ||
Technology Hardware, Storage & Peripherals – 2.3% | ||
Apple, Inc. | 826 | 134,233 |
TOTAL INFORMATION TECHNOLOGY | 1,333,954 |
| ||
Shares | Value | |
MATERIALS – 4.5% | ||
Chemicals – 1.9% | ||
Eastman Chemical Co. | 345 | $33,096 |
Linde PLC | 248 | 74,896 |
107,992 | ||
Containers & Packaging – 2.6% | ||
Avery Dennison Corp. | 471 | 89,706 |
Crown Holdings, Inc. | 626 | 63,652 |
153,358 | ||
TOTAL MATERIALS | 261,350 | |
REAL ESTATE – 2.8% | ||
Equity Real Estate Investment Trusts (REITs) – 2.8% | ||
Prologis, Inc. | 1,234 | 163,579 |
UTILITIES – 1.9% | ||
Electric Utilities – 1.2% | ||
NextEra Energy, Inc. | 852 | 71,985 |
Water Utilities – 0.7% | ||
American Water Works Co., Inc. | 254 | 39,482 |
TOTAL UTILITIES | 111,467 | |
TOTAL COMMON STOCKS (Cost $5,896,399) | 5,587,182 | |
Money Market Fund – 2.8% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $158,785) | 158,785 | 158,785 |
TOTAL INVESTMENT IN SECURITIES – 99.7% (Cost $6,055,184) | 5,745,967 | |
NET OTHER ASSETS (LIABILITIES) – 0.3% | 17,345 | |
NET ASSETS – 100.0% | $ 5,763,312 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
55 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | ||||
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 262,595 | $ 262,595 | $ — | $ — | ||||
Consumer Discretionary | 605,510 | 605,510 | — | — | ||||
Consumer Staples | 492,721 | 492,721 | — | — | ||||
Energy | 278,842 | 278,842 | — | — | ||||
Financials | 695,412 | 695,412 | — | — | ||||
Health Care | 837,268 | 837,268 | — | — | ||||
Industrials | 544,484 | 544,484 | — | — | ||||
Information Technology | 1,333,954 | 1,333,954 | — | — | ||||
Materials | 261,350 | 261,350 | — | — | ||||
Real Estate | 163,579 | 163,579 | — | — | ||||
Utilities | 111,467 | 111,467 | — | — | ||||
Money Market Fund | 158,785 | 158,785 | — | — | ||||
Total Investments in Securities: | $ 5,745,967 | $ 5,745,967 | $ — | $ — |
Annual Report | 56 |
Common Stocks – 98.2% | ||
Shares | Value | |
COMMUNICATION SERVICES – 5.5% | ||
Diversified Telecommunication Services – 0.8% | ||
Verizon Communications, Inc. | 474 | $ 21,894 |
Entertainment – 0.9% | ||
The Walt Disney Co. (a) | 211 | 22,387 |
Interactive Media & Services – 1.9% | ||
Alphabet, Inc. Class C (a) | 140 | 16,330 |
Bumble, Inc. Class A (a) | 873 | 33,104 |
49,434 | ||
Media – 1.9% | ||
Cable One, Inc. | 11 | 15,143 |
The Interpublic Group of Cos., Inc. | 1,142 | 34,112 |
49,255 | ||
TOTAL COMMUNICATION SERVICES | 142,970 | |
CONSUMER DISCRETIONARY – 11.1% | ||
Automobiles – 0.7% | ||
General Motors Co. | 531 | 19,254 |
Diversified Consumer Services – 1.1% | ||
Adtalem Global Education, Inc. (a) | 366 | 14,677 |
Bright Horizons Family Solutions, Inc. (a) | 151 | 14,144 |
28,821 | ||
Hotels, Restaurants & Leisure – 2.0% | ||
Marriott International, Inc. Class A | 232 | 36,847 |
Vail Resorts, Inc. | 70 | 16,599 |
53,446 | ||
Household Durables – 0.8% | ||
Taylor Morrison Home Corp. (a) | 724 | 20,779 |
Internet & Direct Marketing Retail – 2.0% | ||
Amazon.com, Inc. (a) | 260 | 35,087 |
Etsy, Inc. (a) | 126 | 13,069 |
The RealReal, Inc. (a) | 1,559 | 3,632 |
51,788 | ||
Specialty Retail – 3.3% | ||
Best Buy Co., Inc. | 195 | 15,013 |
Lowe's Cos., Inc. | 153 | 29,304 |
The Gap, Inc. | 1,188 | 11,429 |
Torrid Holdings, Inc. (a) | 1,308 | 5,310 |
Williams-Sonoma, Inc. | 174 | 25,129 |
86,185 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||
PVH Corp. | 184 | 11,393 |
Tapestry, Inc. | 587 | 19,741 |
31,134 | ||
TOTAL CONSUMER DISCRETIONARY | 291,407 | |
CONSUMER STAPLES – 4.9% | ||
Beverages – 1.1% | ||
The Coca-Cola Co. | 434 | 27,850 |
| ||
Shares | Value | |
Food & Staples Retailing – 0.7% | ||
Albertsons Cos., Inc. | 654 | $ 17,560 |
Food Products – 1.3% | ||
The Hershey Co. | 150 | 34,194 |
Household Products – 0.7% | ||
The Clorox Co. | 135 | 19,148 |
Personal Products – 1.1% | ||
Olaplex Holdings, Inc. (a) | 476 | 8,187 |
The Estee Lauder Cos., Inc. Class A | 79 | 21,575 |
29,762 | ||
TOTAL CONSUMER STAPLES | 128,514 | |
ENERGY – 2.4% | ||
Oil, Gas & Consumable Fuels – 2.4% | ||
EQT Corp. | 316 | 13,913 |
Occidental Petroleum Corp. | 265 | 17,424 |
Phillips 66 | 364 | 32,396 |
TOTAL ENERGY | 63,733 | |
FINANCIALS – 12.2% | ||
Banks – 3.9% | ||
Bank of America Corp. | 1,266 | 42,803 |
Citigroup, Inc. | 392 | 20,345 |
First Horizon Corp. | 674 | 15,071 |
First United Corp. | 550 | 9,911 |
JPMorgan Chase & Co. | 130 | 14,997 |
103,127 | ||
Capital Markets – 4.0% | ||
Franklin Resources, Inc. | 569 | 15,619 |
Morningstar, Inc. | 117 | 29,876 |
MSCI, Inc. | 27 | 12,996 |
Nasdaq, Inc. | 256 | 46,310 |
104,801 | ||
Insurance – 4.3% | ||
Marsh & McLennan Cos., Inc. | 122 | 20,003 |
The Hartford Financial Services Group, Inc. | 621 | 40,036 |
The Progressive Corp. | 462 | 53,158 |
113,197 | ||
TOTAL FINANCIALS | 321,125 | |
HEALTH CARE – 15.0% | ||
Biotechnology – 2.6% | ||
Alnylam Pharmaceuticals, Inc. (a) | 123 | 17,471 |
Vertex Pharmaceuticals, Inc. (a) | 150 | 42,061 |
Zai Lab Ltd. ADR (a) | 211 | 8,552 |
68,084 | ||
Health Care Equipment & Supplies – 2.2% | ||
Figs, Inc. Class A (a) | 917 | 9,693 |
57 | Annual Report |
Common Stocks – continued | ||
Shares | Value | |
HEALTH CARE – continued | ||
Health Care Equipment & Supplies – continued | ||
Hologic, Inc. (a) | 665 | $ 47,468 |
57,161 | ||
Health Care Providers & Services – 5.9% | ||
Cigna Corp. | 213 | 58,651 |
Elevance Health, Inc. | 179 | 85,401 |
Guardant Health, Inc. (a) | 228 | 11,439 |
155,491 | ||
Life Sciences Tools & Services – 0.6% | ||
ICON PLC (a) | 73 | 17,611 |
Pharmaceuticals – 3.7% | ||
Eli Lilly & Co. | 127 | 41,871 |
GSK PLC SPON ADR ADR | 454 | 19,145 |
Zoetis, Inc. | 195 | 35,597 |
96,613 | ||
TOTAL HEALTH CARE | 394,960 | |
INDUSTRIALS – 12.3% | ||
Air Freight & Logistics – 1.4% | ||
United Parcel Service, Inc. Class B | 187 | 36,444 |
Airlines – 0.3% | ||
JetBlue Airways Corp. (a) | 916 | 7,713 |
Commercial Services & Supplies – 0.2% | ||
Stericycle, Inc. (a) | 133 | 6,234 |
Electrical Equipment – 3.4% | ||
AMETEK, Inc. | 377 | 46,560 |
nVent Electric PLC | 898 | 31,708 |
Sunrun, Inc. (a) | 347 | 11,343 |
89,611 | ||
Machinery – 3.7% | ||
Deere & Co. | 69 | 23,680 |
Federal Signal Corp. | 1,089 | 45,215 |
Otis Worldwide Corp. | 367 | 28,688 |
97,583 | ||
Professional Services – 3.3% | ||
Leidos Holdings, Inc. | 297 | 31,779 |
ManpowerGroup, Inc. | 315 | 24,699 |
Science Applications International Corp. | 310 | 30,030 |
86,508 | ||
TOTAL INDUSTRIALS | 324,093 | |
INFORMATION TECHNOLOGY – 25.5% | ||
Communications Equipment – 0.9% | ||
Arista Networks, Inc. (a) | 197 | 22,976 |
Electronic Equipment, Instruments & Components – 3.0% | ||
CDW Corp. | 319 | 57,908 |
Insight Enterprises, Inc. (a) | 232 | 21,671 |
79,579 |
| ||
Shares | Value | |
IT Services – 7.4% | ||
Accenture PLC Class A | 165 | $ 50,533 |
Concentrix Corp. | 96 | 12,841 |
Genpact Ltd. | 472 | 22,694 |
Mastercard, Inc. Class A | 123 | 43,516 |
PayPal Holdings, Inc. (a) | 222 | 19,210 |
Twilio, Inc. Class A (a) | 113 | 9,582 |
WEX, Inc. (a) | 222 | 36,898 |
195,274 | ||
Semiconductors & Semiconductor Equipment – 2.6% | ||
Advanced Micro Devices, Inc. (a) | 225 | 21,256 |
Marvell Technology, Inc. | 248 | 13,809 |
NVIDIA Corp. | 178 | 32,330 |
67,395 | ||
Software – 9.1% | ||
Adobe, Inc. (a) | 97 | 39,782 |
HubSpot, Inc. (a) | 56 | 17,248 |
Intuit, Inc. | 83 | 37,862 |
Microsoft Corp. | 319 | 89,556 |
PagerDuty, Inc. (a) | 479 | 12,420 |
Salesforce, Inc. (a) | 231 | 42,509 |
239,377 | ||
Technology Hardware, Storage & Peripherals – 2.5% | ||
Apple, Inc. | 394 | 64,029 |
TOTAL INFORMATION TECHNOLOGY | 668,630 | |
MATERIALS – 3.9% | ||
Chemicals – 1.8% | ||
Cabot Corp. | 232 | 17,228 |
Eastman Chemical Co. | 139 | 13,334 |
Valvoline, Inc. | 472 | 15,208 |
45,770 | ||
Construction Materials – 0.5% | ||
Summit Materials, Inc. Class A (a) | 513 | 14,113 |
Metals & Mining – 1.6% | ||
Commercial Metals Co. | 664 | 26,308 |
Schnitzer Steel Industries, Inc. Class A | 442 | 15,717 |
42,025 | ||
TOTAL MATERIALS | 101,908 | |
REAL ESTATE – 3.3% | ||
Equity Real Estate Investment Trusts (REITs) – 3.3% | ||
Equity Lifestyle Properties, Inc. | 435 | 31,981 |
STORE Capital Corp. | 1,097 | 31,835 |
Ventas, Inc. | 421 | 22,642 |
TOTAL REAL ESTATE | 86,458 | |
UTILITIES – 2.1% | ||
Electric Utilities – 0.9% | ||
NextEra Energy, Inc. | 296 | 25,009 |
Annual Report | 58 |
Common Stocks – continued | ||
Shares | Value | |
UTILITIES – continued | ||
Water Utilities – 1.2% | ||
American Water Works Co., Inc. | 195 | $ 30,311 |
TOTAL UTILITIES | 55,320 | |
TOTAL COMMON STOCKS (Cost $2,820,529) | 2,579,118 | |
Money Market Fund – 1.8% | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 1.84% (b) (Cost $47,536) | 47,536 | 47,536 |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $2,868,065) | 2,626,654 | |
NET OTHER ASSETS (LIABILITIES) – 0.0% | 698 | |
NET ASSETS – 100.0% | $ 2,627,352 |
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 | $ 142,970 | $ 142,970 | $ — | $ — | ||||
Consumer Discretionary | 291,407 | 291,407 | — | — | ||||
Consumer Staples | 128,514 | 128,514 | — | — | ||||
Energy | 63,733 | 63,733 | — | — | ||||
Financials | 321,125 | 321,125 | — | — | ||||
Health Care | 394,960 | 394,960 | — | — | ||||
Industrials | 324,093 | 324,093 | — | — | ||||
Information Technology | 668,630 | 668,630 | — | — | ||||
Materials | 101,908 | 101,908 | — | — | ||||
Real Estate | 86,458 | 86,458 | — | — | ||||
Utilities | 55,320 | 55,320 | — | — | ||||
Money Market Fund | 47,536 | 47,536 | — | — | ||||
Total Investments in Securities: | $ 2,626,654 | $ 2,626,654 | $ — | $ — |
59 | Annual Report |
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: | $ 363,826,932 | $ 114,106,958 | $ 62,223,928 | $ 46,615,968 | |||
Cash | 36 | — | — | — | |||
Foreign currency held at value (cost $57, $—, $— and $—, respectively) | 57 | — | — | — | |||
Receivable for investments sold | 240,563 | — | 12,013 | 252,394 | |||
Receivable for fund shares sold | — | — | 96,756 | — | |||
Dividends receivable | 67,625 | 122,549 | 8,792 | 10,872 | |||
Total assets | 364,135,213 | 114,229,507 | 62,341,489 | 46,879,234 | |||
Liabilities | |||||||
Payable to custodian bank | — | — | — | — | |||
Payable for investments purchased | 576,522 | — | 3,124 | 330,778 | |||
Accrued management fees | 161,753 | 54,079 | 28,347 | 21,048 | |||
Total liabilities | 738,275 | 54,079 | 31,471 | 351,826 | |||
Net Assets | $363,396,938 | $114,175,428 | $ 62,310,018 | $46,527,408 | |||
Net Assets consist of: | |||||||
Paid in capital | $446,056,614 | $105,492,197 | $ 80,798,166 | $49,142,677 | |||
Total accumulated earnings (loss) | (82,659,676) | 8,683,231 | (18,488,148) | (2,615,269) | |||
Net Assets | $363,396,938 | $114,175,428 | $ 62,310,018 | $46,527,408 | |||
Shares outstanding | 14,575,000 | 4,075,000 | 4,300,000 | 2,225,000 | |||
Net Asset Value per share | $ 24.93 | $ 28.02 | $ 14.49 | $ 20.91 | |||
Investments at cost | $393,380,504 | $104,924,657 | $ 64,779,940 | $45,017,742 |
Annual Report | 60 |
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: | $ 56,955,083 | $ 20,254,825 | $ 27,751,599 | $ 5,745,967 | |||
Cash | — | — | — | — | |||
Foreign currency held at value (cost $—, $—, $— and $—, respectively) | — | — | — | — | |||
Receivable for investments sold | 485,773 | — | — | 177,937 | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 50,958 | 11,170 | 8,820 | 2,949 | |||
Total assets | 57,491,814 | 20,265,995 | 27,760,419 | 5,926,853 | |||
Liabilities | |||||||
Payable to custodian bank | 7 | — | — | — | |||
Payable for investments purchased | 1,189,962 | — | — | 160,864 | |||
Accrued management fees | 26,207 | 9,461 | 12,929 | 2,677 | |||
Total liabilities | 1,216,176 | 9,461 | 12,929 | 163,541 | |||
Net Assets | $56,275,638 | $20,256,534 | $27,747,490 | $5,763,312 | |||
Net Assets consist of: | |||||||
Paid in capital | $50,976,875 | $19,989,181 | $29,510,832 | $6,350,930 | |||
Total accumulated earnings (loss) | 5,298,763 | 267,353 | (1,763,342) | (587,618) | |||
Net Assets | $56,275,638 | $20,256,534 | $27,747,490 | $5,763,312 | |||
Shares outstanding | 1,950,000 | 850,000 | 1,325,000 | 300,000 | |||
Net Asset Value per share | $ 28.86 | $ 23.83 | $ 20.94 | $ 19.21 | |||
Investments at cost | $51,179,338 | $19,794,303 | $27,421,825 | $6,055,184 |
61 | Annual Report |
Fidelity Women's Leadership ETF | |
Assets | |
Investments in securities, at value – See accompanying schedule: | $ 2,626,654 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for investments sold | — |
Receivable for fund shares sold | — |
Dividends receivable | 1,922 |
Total assets | 2,628,576 |
Liabilities | |
Payable to custodian bank | — |
Payable for investments purchased | — |
Accrued management fees | 1,224 |
Total liabilities | 1,224 |
Net Assets | $2,627,352 |
Net Assets consist of: | |
Paid in capital | $3,038,662 |
Total accumulated earnings (loss) | (411,310) |
Net Assets | $2,627,352 |
Shares outstanding | 150,000 |
Net Asset Value per share | $ 17.52 |
Investments at cost | $2,868,065 |
Annual Report | 62 |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | ||||
Investment Income | |||||||
Dividends | $ 1,785,260 | $ 2,048,344 | $ 211,162 | �� | $ 295,228 | ||
Interest | 2 | — | 7 | — | |||
Total income | 1,785,262 | 2,048,344 | 211,169 | 295,228 | |||
Expenses | |||||||
Management fees | 2,482,925 | 618,893 | 307,296 | 270,697 | |||
Independent trustees' fees and expenses | 1,380 | 339 | 161 | 144 | |||
Total expenses | 2,484,305 | 619,232 | 307,457 | 270,841 | |||
Net investment income (loss) | (699,043) | 1,429,112 | (96,288) | 24,387 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (51,216,268) | 1,106,812 | (16,013,129) | (4,072,903) | |||
Net realized gain (loss) on In-kind redemptions | 26,260,346 | 414,774 | 1,542,820 | 329,428 | |||
Net realized gain (loss) on futures contracts | (53,041) | — | 15,938 | — | |||
Net realized gain (loss) on foreign currency transactions | 1,237 | — | (487) | — | |||
Total net realized gain (loss) | (25,007,726) | 1,521,586 | (14,454,858) | (3,743,475) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (94,362,748) | (2,033,797) | (5,201,488) | (2,178,468) | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (16) | — | 24 | — | |||
Total change in net unrealized appreciation (depreciation) | (94,362,764) | (2,033,797) | (5,201,464) | (2,178,468) | |||
Net gain (loss) | (119,370,490) | (512,211) | (19,656,322) | (5,921,943) | |||
Net increase (decrease) in net assets resulting from operations | $(120,069,533) | $ 916,901 | $(19,752,610) | $(5,897,556) |
63 | 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 | $ 1,171,332 | $ 443,565 | $ 301,060 | $ 60,152 | |||
Interest | — | — | — | — | |||
Total income | 1,171,332 | 443,565 | 301,060 | 60,152 | |||
Expenses | |||||||
Management fees | 355,126 | 120,905 | 173,951 | 30,850 | |||
Independent trustees' fees and expenses | 201 | 65 | 90 | 16 | |||
Total expenses | 355,327 | 120,970 | 174,041 | 30,866 | |||
Net investment income (loss) | 816,005 | 322,595 | 127,019 | 29,286 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (295,878) | (173,522) | (1,746,244) | (284,651) | |||
Net realized gain (loss) on In-kind redemptions | 1,558,079 | 587,745 | 396,318 | 114,888 | |||
Net realized gain (loss) on futures contracts | — | — | (2,234) | — | |||
Net realized gain (loss) on foreign currency transactions | 83 | — | (1) | — | |||
Total net realized gain (loss) | 1,262,284 | 414,223 | (1,352,161) | (169,763) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (1,701,394) | (1,439,266) | (1,276,518) | (408,202) | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | — | — | — | |||
Total change in net unrealized appreciation (depreciation) | (1,701,394) | (1,439,266) | (1,276,518) | (408,202) | |||
Net gain (loss) | (439,110) | (1,025,043) | (2,628,679) | (577,965) | |||
Net increase (decrease) in net assets resulting from operations | $ 376,895 | $ (702,448) | $(2,501,660) | $(548,679) |
Annual Report | 64 |
Fidelity Women's Leadership ETF | |
Investment Income | |
Dividends | $ 29,906 |
Interest | — |
Total income | 29,906 |
Expenses | |
Management fees | 15,295 |
Independent trustees' fees and expenses | 8 |
Total expenses | 15,303 |
Net investment income (loss) | 14,603 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (180,403) |
Net realized gain (loss) on In-kind redemptions | 23,338 |
Net realized gain (loss) on futures contracts | — |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | (157,065) |
Change in net unrealized appreciation (depreciation) on investment securities | (292,520) |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | (292,520) |
Net gain (loss) | (449,585) |
Net increase (decrease) in net assets resulting from operations | $(434,982) |
65 | Annual Report |
Fidelity Blue Chip Growth ETF | Fidelity Blue Chip Value ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (699,043) | $ (593,203) | $ 1,429,112 | $ 636,414 | |||
Net realized gain (loss) | (25,007,726) | 388,122 | 1,521,586 | 2,639,370 | |||
Change in net unrealized appreciation (depreciation) | (94,362,764) | 62,277,436 | (2,033,797) | 11,135,394 | |||
Net increase (decrease) in net assets resulting from operations | (120,069,533) | 62,072,355 | 916,901 | 14,411,178 | |||
Distributions to shareholders | — | (12,550) | (3,452,325) | (554,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 209,141,668 | 330,484,944 | 25,101,299 | 85,150,123 | |||
Cost of shares redeemed | (132,864,696) | (26,849,401) | (2,855,376) | (12,635,307) | |||
Net increase (decrease) in net assets resulting from share transactions | 76,276,972 | 303,635,543 | 22,245,923 | 72,514,816 | |||
Total increase (decrease) in net assets | (43,792,561) | 365,695,348 | 19,710,499 | 86,371,994 | |||
Net Assets | |||||||
Beginning of year | 407,189,499 | 41,494,151 | 94,464,929 | 8,092,935 | |||
End of year | $ 363,396,938 | $407,189,499 | $114,175,428 | $ 94,464,929 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,575,000 | 11,550,000 | 875,000 | 3,400,000 | |||
Redeemed | (4,425,000) | (950,000) | (100,000) | (500,000) | |||
Net increase (decrease) | 2,150,000 | 10,600,000 | 775,000 | 2,900,000 |
Annual Report | 66 |
Fidelity Growth Opportunities ETF | Fidelity Magellan ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021A | Year ended July 31, 2022 | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ (96,288) | $ (38,448) | $ 24,387 | $ 710 | |||
Net realized gain (loss) | (14,454,858) | (1,128,036) | (3,743,475) | (59,322) | |||
Change in net unrealized appreciation (depreciation) | (5,201,464) | 2,645,452 | (2,178,468) | 3,776,694 | |||
Net increase (decrease) in net assets resulting from operations | (19,752,610) | 1,478,968 | (5,897,556) | 3,718,082 | |||
Distributions to shareholders | — | — | (32,550) | (4,875) | |||
Share transactions | |||||||
Proceeds from sales of shares | 59,102,297 | 39,144,463 | 19,270,749 | 33,724,455 | |||
Cost of shares redeemed | (16,719,011) | (944,089) | (2,655,560) | (1,595,337) | |||
Net increase (decrease) in net assets resulting from share transactions | 42,383,286 | 38,200,374 | 16,615,189 | 32,129,118 | |||
Total increase (decrease) in net assets | 22,630,676 | 39,679,342 | 10,685,083 | 35,842,325 | |||
Net Assets | |||||||
Beginning of year | 39,679,342 | — | 35,842,325 | — | |||
End of year | $ 62,310,018 | $39,679,342 | $46,527,408 | $35,842,325 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,500,000 | 1,925,000 | 800,000 | 1,625,000 | |||
Redeemed | (1,075,000) | (50,000) | (125,000) | (75,000) | |||
Net increase (decrease) | 2,425,000 | 1,875,000 | 675,000 | 1,550,000 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
67 | Annual Report |
Fidelity New Millennium ETF | Fidelity Real Estate Investment ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2022 | Year ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 816,005 | $ 441,899 | $ 322,595 | $ 84,268 | |||
Net realized gain (loss) | 1,262,284 | 1,262,431 | 414,223 | 81,426 | |||
Change in net unrealized appreciation (depreciation) | (1,701,394) | 7,391,517 | (1,439,266) | 1,899,788 | |||
Net increase (decrease) in net assets resulting from operations | 376,895 | 9,095,847 | (702,448) | 2,065,482 | |||
Distributions to shareholders | (1,100,175) | (485,050) | (456,700) | (92,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 3,720,338 | 51,361,590 | 7,736,496 | 15,359,907 | |||
Cost of shares redeemed | (7,128,248) | (5,677,642) | (3,056,221) | (597,982) | |||
Net increase (decrease) in net assets resulting from share transactions | (3,407,910) | 45,683,948 | 4,680,275 | 14,761,925 | |||
Total increase (decrease) in net assets | (4,131,190) | 54,294,745 | 3,521,127 | 16,735,407 | |||
Net Assets | |||||||
Beginning of year | 60,406,828 | 6,112,083 | 16,735,407 | — | |||
End of year | $56,275,638 | $60,406,828 | $20,256,534 | $16,735,407 | |||
Other Information | |||||||
Shares | |||||||
Sold | 125,000 | 1,975,000 | 300,000 | 700,000 | |||
Redeemed | (250,000) | (200,000) | (125,000) | (25,000) | |||
Net increase (decrease) | (125,000) | 1,775,000 | 175,000 | 675,000 |
A | For the period February 2, 2021 (commencement of operations) to July 31, 2021. |
Annual Report | 68 |
Fidelity Small-Mid Cap Opportunities ETF | Fidelity Sustainable U.S. Equity ETF | ||||||
Year ended July 31, 2022 | Year ended July 31, 2021A | Year ended July 31, 2022 | Year ended July 31, 2021B | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 127,019 | $ 19,982 | $ 29,286 | $ (224) | |||
Net realized gain (loss) | (1,352,161) | (362,159) | (169,763) | 3,104 | |||
Change in net unrealized appreciation (depreciation) | (1,276,518) | 1,606,292 | (408,202) | 98,985 | |||
Net increase (decrease) in net assets resulting from operations | (2,501,660) | 1,264,115 | (548,679) | 101,865 | |||
Distributions to shareholders | (131,575) | (23,950) | (36,950) | — | |||
Share transactions | |||||||
Proceeds from sales of shares | 8,178,290 | 23,317,517 | 4,831,792 | 3,018,299 | |||
Cost of shares redeemed | (2,355,247) | — | (1,603,015) | — | |||
Net increase (decrease) in net assets resulting from share transactions | 5,823,043 | 23,317,517 | 3,228,777 | 3,018,299 | |||
Total increase (decrease) in net assets | 3,189,808 | 24,557,682 | 2,643,148 | 3,120,164 | |||
Net Assets | |||||||
Beginning of year | 24,557,682 | — | 3,120,164 | — | |||
End of year | $27,747,490 | $24,557,682 | $ 5,763,312 | $3,120,164 | |||
Other Information | |||||||
Shares | |||||||
Sold | 350,000 | 1,075,000 | 225,000 | 150,000 | |||
Redeemed | (100,000) | — | (75,000) | — | |||
Net increase (decrease) | 250,000 | 1,075,000 | 150,000 | 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. |
69 | Annual Report |
Fidelity Women's Leadership ETF | |||
Year ended July 31, 2022 | Year ended July 31, 2021B | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 14,603 | $ 201 | |
Net realized gain (loss) | (157,065) | (906) | |
Change in net unrealized appreciation (depreciation) | (292,520) | 51,109 | |
Net increase (decrease) in net assets resulting from operations | (434,982) | 50,404 | |
Distributions to shareholders | (13,700) | — | |
Share transactions | |||
Proceeds from sales of shares | 1,499,632 | 2,000,200 | |
Cost of shares redeemed | (474,202) | — | |
Net increase (decrease) in net assets resulting from share transactions | 1,025,430 | 2,000,200 | |
Total increase (decrease) in net assets | 576,748 | 2,050,604 | |
Net Assets | |||
Beginning of year | 2,050,604 | — | |
End of year | $2,627,352 | $2,050,604 | |
Other Information | |||
Shares | |||
Sold | 75,000 | 100,000 | |
Redeemed | (25,000) | — | |
Net increase (decrease) | 50,000 | 100,000 |
B | For the period June 15, 2021 (commencement of operations) to July 31, 2021. |
Annual Report | 70 |
Fidelity Blue Chip Growth ETF | |||||
Year ended July 31, 2022 | 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 | (0.05) | (0.08) | (0.01) | ||
Net realized and unrealized gain (loss) | (7.79) | 10.11 | 2.75 | ||
Total from investment operations | (7.84) | 10.03 | 2.74 | ||
Distributions from net investment income | — | (0.00) D | — | ||
Total distributions | — | (0.00) D | — | ||
Net asset value, end of period | $ 24.93 | $ 32.77 | $ 22.74 | ||
Total ReturnE,F,G | (23.92)% | 44.14% | 13.68% | ||
Ratios to Average Net AssetsB,H | |||||
Expenses before reductions | .59% | .59% | .59% I | ||
Expenses net of fee waivers, if any | .59% | .59% | .59% I | ||
Expenses net of all reductions | .59% | .59% | .59% I | ||
Net investment income (loss) | (.17)% | (.27)% | (.34)% I | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $363,397 | $407,189 | $41,494 | ||
Portfolio turnover rateJ,K | 57% | 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. |
71 | Annual Report |
Fidelity Blue Chip Value ETF | |||||
Year ended July 31, 2022 | 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 | 0.39 | 0.32 | 0.03 | ||
Net realized and unrealized gain (loss) | (0.03) | 8.32 | 0.21 | ||
Total from investment operations | 0.36 | 8.64 | 0.24 | ||
Distributions from net investment income | (0.39) | (0.24) | (0.01) | ||
Distributions from net realized gain | (0.58) | — | — | ||
Total distributions | (0.97) | (0.24) | (0.01) | ||
Net asset value, end of period | $ 28.02 | $ 28.63 | $20.23 | ||
Total ReturnD,E,F | 1.27% | 42.83% | 1.23% | ||
Ratios to Average Net AssetsB,G | |||||
Expenses before reductions | .59% | .59% | .59% H | ||
Expenses net of fee waivers, if any | .59% | .59% | .59% H | ||
Expenses net of all reductions | .59% | .58% | .59% H | ||
Net investment income (loss) | 1.36% | 1.22% | 1.02% H | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $114,175 | $94,465 | $8,093 | ||
Portfolio turnover rateI,J | 54% | 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. |
Annual Report | 72 |
Fidelity Growth Opportunities ETF | |||
Year ended July 31, 2022 | 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) | (6.64) | 1.19 | |
Total from investment operations | (6.67) | 1.16 | |
Net asset value, end of period | $ 14.49 | $ 21.16 | |
Total ReturnD,E,F | (31.53)% | 5.82% | |
Ratios to Average Net AssetsB,G | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .59% H | |
Net investment income (loss) | (.19)% | (.33)% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $62,310 | $39,679 | |
Portfolio turnover rateI,J | 99% | 49% K |
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 | 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. |
73 | Annual Report |
Fidelity Magellan ETF | |||
Year ended July 31, 2022 | 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) | (2.20) | 3.13 | |
Total from investment operations | (2.19) | 3.13 | |
Distributions from net investment income | (0.02) | (0.01) | |
Total distributions | (0.02) | (0.01) | |
Net asset value, end of period | $ 20.91 | $ 23.12 | |
Total ReturnE,F,G | (9.50)% | 15.65% | |
Ratios to Average Net AssetsB,H | |||
Expenses before reductions | .59% | .59% I | |
Expenses net of fee waivers, if any | .59% | .59% I | |
Expenses net of all reductions | .59% | .59% I | |
Net investment income (loss) | .05% | .01% I | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $46,527 | $35,842 | |
Portfolio turnover rateJ,K | 68% | 41% L |
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 | 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. |
Annual Report | 74 |
Fidelity New Millennium ETF | |||||
Year ended July 31, 2022 | 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 | 0.40 | 0.36 | 0.03 | ||
Net realized and unrealized gain (loss) | (0.12) | 8.75 | 0.36 | ||
Total from investment operations | 0.28 | 9.11 | 0.39 | ||
Distributions from net investment income | (0.53) | (0.37) | (0.02) | ||
Total distributions | (0.53) | (0.37) | (0.02) | ||
Net asset value, end of period | $ 28.86 | $ 29.11 | $20.37 | ||
Total ReturnD,E,F | 1.00% | 45.03% | 1.95% | ||
Ratios to Average Net AssetsB,G | |||||
Expenses before reductions | .59% | .59% | .59% H | ||
Expenses net of fee waivers, if any | .59% | .59% | .59% H | ||
Expenses net of all reductions | .59% | .58% | .59% H | ||
Net investment income (loss) | 1.36% | 1.33% | 1.00% H | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $56,276 | $60,407 | $6,112 | ||
Portfolio turnover rateI,J | 36% | 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. |
75 | Annual Report |
Fidelity Real Estate Investment ETF | |||
Year ended July 31, 2022 | 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 | 0.39 | 0.21 | |
Net realized and unrealized gain (loss) | (0.80) | 4.79 | |
Total from investment operations | (0.41) | 5.00 | |
Distributions from net investment income | (0.55) | (0.21) | |
Total distributions | (0.55) | (0.21) | |
Net asset value, end of period | $ 23.83 | $ 24.79 | |
Total ReturnD,E,F | (1.68)% | 25.17% | |
Ratios to Average Net AssetsB,G | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .58% H | |
Net investment income (loss) | 1.58% | 1.80% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $20,257 | $16,735 | |
Portfolio turnover rateI,J | 24% | 23% K |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
Annual Report | 76 |
Fidelity Small-Mid Cap Opportunities ETF | |||
Year ended July 31, 2022 | 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 | 0.10 | 0.03 | |
Net realized and unrealized gain (loss) | (1.89) | 2.84 | |
Total from investment operations | (1.79) | 2.87 | |
Distributions from net investment income | (0.11) | (0.03) | |
Total distributions | (0.11) | (0.03) | |
Net asset value, end of period | $ 20.94 | $ 22.84 | |
Total ReturnD,E,F | (7.88)% | 14.36% | |
Ratios to Average Net AssetsB,G | |||
Expenses before reductions | .62% | .64% H | |
Expenses net of fee waivers, if any | .62% | .64% H | |
Expenses net of all reductions | .62% | .63% H | |
Net investment income (loss) | .45% | .22% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $27,747 | $24,558 | |
Portfolio turnover rateI,J | 42% | 37% K |
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 | 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. |
77 | Annual Report |
Fidelity Sustainable U.S. Equity ETF | |||
Year ended July 31, 2022 | 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 | 0.11 | (—) D | |
Net realized and unrealized gain (loss) | (1.57) | 0.80 | |
Total from investment operations | (1.46) | 0.80 | |
Distributions from net investment income | (0.13) | — | |
Total distributions | (0.13) | — | |
Net asset value, end of period | $19.21 | $20.80 | |
Total ReturnE,F | (7.01)% | 3.99% | |
Ratios to Average Net AssetsB,G | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .59% H | |
Net investment income (loss) | .56% | (.07)% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $5,763 | $3,120 | |
Portfolio turnover rateI,J | 66% | 23% K |
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 | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Portfolio turnover rate excludes securities received or delivered in-kind. |
K | Amount not annualized. |
Annual Report | 78 |
Fidelity Women's Leadership ETF | |||
Year ended July 31, 2022 | 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 | 0.11 | — D | |
Net realized and unrealized gain (loss) | (3.01) | 0.51 | |
Total from investment operations | (2.90) | 0.51 | |
Distributions from net investment income | (0.09) | — | |
Total distributions | (0.09) | — | |
Net asset value, end of period | $ 17.52 | $20.51 | |
Total ReturnE,F | (14.14)% | 2.53% | |
Ratios to Average Net AssetsB,G | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .59% H | |
Net investment income (loss) | .56% | .08% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 2,627 | $2,051 | |
Portfolio turnover rateI,J | 64% | 5% K |
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 | 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. |
79 | Annual Report |
For the period ended July 31, 2022
Annual Report | 80 |
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.
81 | 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 | $ 406,761,011 | $ 27,574,746 | $ (70,508,825) | $ (42,934,079) |
Fidelity Blue Chip Value ETF | 105,794,631 | 12,999,328 | (4,687,001) | 8,312,327 |
Fidelity Growth Opportunities ETF | 68,746,850 | 3,406,191 | (9,929,113) | (6,522,922) |
Fidelity Magellan ETF | 45,341,616 | 2,853,832 | (1,579,480) | 1,274,352 |
Fidelity New Millennium ETF | 51,859,414 | 8,666,011 | (3,570,342) | 5,095,669 |
Fidelity Real Estate Investment ETF | 19,914,116 | 886,429 | (545,720) | 340,709 |
Fidelity Small-Mid Cap Opportunities ETF | 27,566,383 | 2,582,949 | (2,397,733) | 185,216 |
Fidelity Sustainable U.S. Equity ETF | 6,127,679 | 282,732 | (664,444) | (381,712) |
Fidelity Women’s Leadership ETF | 2,924,175 | 105,015 | (402,536) | (297,521) |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity Blue Chip Growth ETF | $ — | $ — | $ (38,946,620) | $ (42,934,094) |
Fidelity Blue Chip Value ETF | 98,347 | 909,767 | — | 8,312,327 |
Fidelity Growth Opportunities ETF | — | — | (11,918,052) | (6,522,922) |
Fidelity Magellan ETF | — | — | (3,889,621) | 1,274,352 |
Fidelity New Millennium ETF | 71,676 | 131,418 | — | 5,095,669 |
Fidelity Real Estate Investment ETF | — | — | — | 340,709 |
Fidelity Small-Mid Cap Opportunities ETF | — | — | (1,948,558) | 185,216 |
Fidelity Sustainable U.S. Equity ETF | 756 | — | (206,662) | (381,712) |
Fidelity Women’s Leadership ETF | 1,104 | — | (114,893) | (297,521) |
Short-term | Long-term | Total capital loss carryforward | |
Fidelity Blue Chip Growth ETF | $ (32,340,952) | $ (6,605,668) | $ (38,946,620) |
Fidelity Blue Chip Value ETF | — | — | — |
Fidelity Growth Opportunities ETF | (10,187,779) | (1,730,273) | (11,918,052) |
Fidelity Magellan ETF | (3,889,621) | — | (3,889,621) |
Fidelity New Millennium ETF | — | — | — |
Fidelity Real Estate Investment ETF | — | — | — |
Fidelity Small-Mid Cap Opportunities ETF | (1,499,196) | (449,362) | (1,948,558) |
Fidelity Sustainable U.S. Equity ETF | (181,512) | (25,150) | (206,662) |
Fidelity Women’s Leadership ETF | (114,801) | (92) | (114,893) |
Capital Losses | Ordinary Losses | |
Fidelity Blue Chip Growth ETF | $ — | $ (778,962) |
Fidelity Blue Chip Value ETF | (637,210) | — |
Fidelity Growth Opportunities ETF | — | (47,174) |
Fidelity Real Estate Investment ETF | (73,356) | — |
Annual Report | 82 |
The tax character of distributions paid was as follows:
July 31, 2022 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity Blue Chip Growth ETF | $ — | $ — | $ — | $ — |
Fidelity Blue Chip Value ETF | 3,109,325 | 343,000 | — | 3,452,325 |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETF | 32,550 | — | — | 32,550 |
Fidelity New Millennium ETF | 1,100,175 | — | — | 1,100,175 |
Fidelity Real Estate Investment ETF | 456,700 | — | — | 456,700 |
Fidelity Small-Mid Cap Opportunities ETF | 131,575 | — | — | 131,575 |
Fidelity Sustainable U.S. Equity ETF | 36,950 | — | — | 36,950 |
Fidelity Women’s Leadership ETF | 13,700 | — | — | 13,700 |
July 31, 2021 | ||||
Fidelity Blue Chip Growth ETF | $ 12,550 | $ — | $ — | $ 12,550 |
Fidelity Blue Chip Value ETF | 554,000 | — | — | 554,000 |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETFA | 4,875 | — | — | 4,875 |
Fidelity New Millennium ETF | 485,050 | — | — | 485,050 |
Fidelity Real Estate Investment ETFA | 92,000 | — | — | 92,000 |
Fidelity Small-Mid Cap Opportunities ETFA | 23,950 | — | — | 23,950 |
Fidelity Sustainable U.S. Equity ETF | — | — | — | — |
Fidelity Women’s Leadership ETF | — | — | — | — |
A | For the period February 2, 2021 (commencement of operations) through July 31, 2021. |
83 | Annual Report |
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statements of Operations.
Purchases ($) | Sales ($) | |
Fidelity Blue Chip Growth ETF | 253,953,681 | 239,410,897 |
Fidelity Blue Chip Value ETF | 57,039,982 | 55,417,041 |
Fidelity Growth Opportunities ETF | 61,288,425 | 51,918,897 |
Fidelity Magellan ETF | 32,299,185 | 30,555,931 |
Fidelity New Millennium ETF | 20,924,556 | 22,548,795 |
Fidelity Real Estate Investment ETF | 5,247,879 | 4,819,638 |
Fidelity Small-Mid Cap Opportunities ETF | 13,212,255 | 11,540,304 |
Fidelity Sustainable U.S. Equity ETF | 4,131,162 | 3,373,055 |
Fidelity Women’s Leadership ETF | 1,906,054 | 1,607,770 |
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity Blue Chip Growth ETF | 166,852,774 | 103,926,987 |
Fidelity Blue Chip Value ETF | 21,143,547 | 1,809,137 |
Fidelity Growth Opportunities ETF | 45,760,501 | 12,779,847 |
Fidelity Magellan ETF | 16,998,532 | 2,155,757 |
Fidelity New Millennium ETF | 2,980,922 | 5,850,976 |
Fidelity Real Estate Investment ETF | 7,058,100 | 2,827,765 |
Fidelity Small-Mid Cap Opportunities ETF | 5,795,212 | 1,708,521 |
Fidelity Sustainable U.S. Equity ETF | 3,635,667 | 1,303,127 |
Fidelity Women’s Leadership ETF | 1,042,340 | 330,306 |
Amount | |
Fidelity Blue Chip Growth ETF | $ 3,032 |
Annual Report | 84 |
Amount | |
Fidelity Blue Chip Value ETF | 522 |
Fidelity Growth Opportunities ETF | 1,209 |
Fidelity Magellan ETF | 237 |
Fidelity New Millennium ETF | 352 |
Fidelity Real Estate Investment ETF | 102 |
Fidelity Small-Mid Cap Opportunities ETF | 239 |
Fidelity Sustainable U.S. Equity ETF | 68 |
Fidelity Women’s Leadership ETF | 30 |
Purchases | Sales | Realized Gain (Loss) | |
Fidelity Blue Chip Growth ETF | $ 8,256,181 | $ 2,366,357 | $ (934,298) |
Fidelity Blue Chip Value ETF | 1,469,051 | 1,876,213 | 15,498 |
Fidelity Growth Opportunities ETF | 940,391 | 331,976 | (165,143) |
Fidelity Magellan ETF | 1,436,969 | 1,306,774 | (295,508) |
Fidelity New Millennium ETF | 408,228 | 180,225 | (78,400) |
Fidelity Real Estate Investment ETF | 65,669 | 24,003 | (908) |
Fidelity Small-Mid Cap Opportunities ETF | 329,739 | 511,185 | (122,733) |
Fidelity Sustainable U.S. Equity ETF | 145,017 | 159,090 | (4,231) |
Fidelity Women’s Leadership ETF | 9,404 | 15,675 | (21,522) |
85 | Annual Report |
Annual Report | 86 |
87 | Annual Report |
Annual Report | 88 |
89 | Annual Report |
Annual Report | 90 |
91 | Annual Report |
Annual Report | 92 |
93 | Annual Report |
Annual Report | 94 |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity Blue Chip Growth ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Blue Chip Value ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Growth Opportunities ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Magellan ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity New Millennium ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Real Estate Investment ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Small-Mid Cap Opportunities ETF | 0.61% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 3.02 | |
Hypothetical C | $ 1,000.00 | $ 1,021.77 | $ 3.06 |
95 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2022 | Ending Account Value July 31, 2022 | Expenses Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity Sustainable U.S. Equity ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 | |
Fidelity Women's Leadership ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 2.93 | |
Hypothetical C | $ 1,000.00 | $ 1,021.87 | $ 2.96 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
Annual Report | 96 |
Fidelity Blue Chip Value ETF | $1,259,117 |
Fidelity New Millennium ETF | $ 195,844 |
Fidelity Blue Chip Value ETF | $29,101 |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Blue Chip Growth ETF | — | — | — | — |
Fidelity Blue Chip Value ETF | 40% | 40% | 100% | 100% |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETF | 100% | 100% | 100% | 100% |
Fidelity New Millennium ETF | 68% | 68% | 100% | 100% |
Fidelity Real Estate Investment ETF | 0% | 0% | 0% | 0% |
Fidelity Small-Mid Cap Opportunities ETF | 100% | 100% | 100% | 100% |
Fidelity Sustainable U.S. Equity ETF | 97% | 97% | 100% | 100% |
Fidelity Women’s Leadership ETF | 100% | 100% | 100% | 100% |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Blue Chip Growth ETF | — | — | — | — |
Fidelity Blue Chip Value ETF | 46% | 46% | 100% | 100% |
Fidelity Growth Opportunities ETF | — | — | — | — |
Fidelity Magellan ETF | 100% | 100% | 100% | 100% |
Fidelity New Millennium ETF | 89% | 89% | 100% | 100% |
Fidelity Real Estate Investment ETF | 0% | 0% | 0% | 0% |
Fidelity Small-Mid Cap Opportunities ETF | 100% | 100% | 100% | 100% |
Fidelity Sustainable U.S. Equity ETF | 100% | 100% | 100% | 100% |
Fidelity Women’s Leadership ETF | 100% | 100% | 100% | 100% |
March 2021 | June 2021 | September 2021 | December 2021 | |
Fidelity New Millennium ETF | — | — | 7% | 7% |
Fidelity Real Estate Investment ETF | 100% | 100% | 100% | 100% |
97 | Annual Report |
Annual Report | 98 |
99 | Annual Report |
Annual Report | 100 |
101 | Annual Report |
Annual Report | 102 |
Annual Report | 104 |
Annual Report | 106 |
107 | Annual Report |
Annual Report | 108 |
109 | Annual Report |
Item 2. | Code of Ethics |
As of the end of the period, July 31, 2022, Fidelity Covington Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert |
The Board of Trustees of the trust has determined that Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue is independent for purposes of Item 3 of Form N-CSR.
Item 4. | Principal Accountant Fees and Services |
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity MSCI Communication Services Index ETF, Fidelity MSCI Consumer Discretionary Index ETF, Fidelity MSCI Consumer Staples Index ETF, Fidelity MSCI Energy Index ETF, Fidelity MSCI Financials Index ETF, Fidelity MSCI Health Care Index ETF, Fidelity MSCI Industrials Index ETF, Fidelity MSCI Information Technology Index ETF, Fidelity MSCI Materials Index ETF, Fidelity MSCI Real Estate Index ETF, Fidelity MSCI Utilities Index ETF, Fidelity Real Estate Investment ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Stocks for Inflation ETF, Fidelity Sustainable U.S. Equity ETF, and Fidelity Women’s Leadership ETF (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2022 FeesA
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Growth Opportunities ETF | $ | 12,200 | $ | — | $ | 4,000 | $ | 300 | ||||||||
Fidelity Magellan ETF | $ | 12,200 | $ | — | $ | 4,000 | $ | 300 | ||||||||
Fidelity MSCI Communication Services Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 12,900 | $ | — | $ | 4,800 | $ | 300 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 12,600 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 |
Fidelity MSCI Materials Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 12,900 | $ | — | $ | 5,100 | $ | 300 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity Real Estate Investment ETF | $ | 12,200 | $ | — | $ | 4,000 | $ | 300 | ||||||||
Fidelity Small-Mid Cap Opportunities ETF | $ | 12,200 | $ | — | $ | 4,000 | $ | 300 | ||||||||
Fidelity Stocks for Inflation ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity Sustainable U.S. Equity ETF | $ | 12,500 | $ | — | $ | 4,500 | $ | 400 | ||||||||
Fidelity Women’s Leadership ETF | $ | 12,500 | $ | — | $ | 4,500 | $ | 400 |
July 31, 2021 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Growth Opportunities ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Magellan ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity MSCI Communication Services Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 |
Fidelity MSCI Materials Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity Real Estate Investment ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Small-Mid Cap Opportunities ETF | $ | 10,200 | $ | — | $ | 3,000 | $ | 100 | ||||||||
Fidelity Stocks for Inflation ETF | $ | 12,600 | $ | — | $ | 3,500 | $ | 300 | ||||||||
Fidelity Sustainable U.S. Equity ETF | $ | 8,300 | $ | — | $ | 3,400 | $ | 100 | ||||||||
Fidelity Women’s Leadership ETF | $ | 8,300 | $ | — | $ | 3,400 | $ | 100 |
A | Amounts may reflect rounding. |
B | Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate Investment ETF, and Fidelity Small-Mid Cap Opportunities ETF commenced operations on February 2, 2021 and Fidelity Sustainable U.S. Equity ETF and Fidelity Women’s Leadership ETF commenced operations on June 15, 2021. |
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Blue Chip Growth ETF, Fidelity Blue Chip Value ETF, Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity New Millennium ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity U.S. Multifactor ETF, and Fidelity Value Factor ETF (the “Funds”):
Services Billed by PwC
July 31, 2022 FeesA
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Blue Chip Growth ETF | $ | 14,400 | $ | — | $ | 4,600 | $ | 500 | ||||||||
Fidelity Blue Chip Value ETF | $ | 14,400 | $ | — | $ | 4,600 | $ | 500 | ||||||||
Fidelity Dividend ETF for Rising Rates | $ | 11,700 | $ | — | $ | 4,600 | $ | 400 | ||||||||
Fidelity High Dividend ETF | $ | 11,700 | $ | — | $ | 4,600 | $ | 400 | ||||||||
Fidelity Low Volatility Factor ETF | $ | 11,400 | $ | — | $ | 4,400 | $ | 400 | ||||||||
Fidelity Momentum Factor ETF | $ | 11,400 | $ | — | $ | 4,400 | $ | 400 | ||||||||
Fidelity New Millennium ETF | $ | 14,400 | $ | — | $ | 4,600 | $ | 500 | ||||||||
Fidelity Quality Factor ETF | $ | 11,400 | $ | — | $ | 4,400 | $ | 400 | ||||||||
Fidelity Small-Mid Multifactor ETF | $ | 14,200 | $ | — | $ | 4,900 | $ | 500 | ||||||||
Fidelity U.S. Multifactor ETF | $ | 14,400 | $ | — | $ | 4,600 | $ | 500 | ||||||||
Fidelity Value Factor ETF | $ | 11,400 | $ | — | $ | 4,400 | $ | 400 |
July 31, 2021 FeesA,B
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity Blue Chip Growth ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Blue Chip Value ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Dividend ETF for Rising Rates | $ | 11,400 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity High Dividend ETF | $ | 11,400 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Low Volatility Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity Momentum Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity New Millennium ETF | $ | 13,900 | $ | — | $ | 4,500 | $ | 500 | ||||||||
Fidelity Quality Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 | ||||||||
Fidelity Small-Mid Multifactor ETF | $ | 13,800 | $ | — | $ | 4,800 | $ | 500 | ||||||||
Fidelity U.S. Multifactor ETF | $ | 12,900 | $ | — | $ | 4,500 | $ | 400 | ||||||||
Fidelity Value Factor ETF | $ | 11,100 | $ | — | $ | 4,300 | $ | 400 |
A | Amounts may reflect rounding. |
B | Fidelity U.S. Multifactor ETF commenced operations on September 15, 2020. |
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
July 31, 2022A | July 31, 2021A,B | |||||||
Audit-Related Fees | $ | — | $ | — | ||||
Tax Fees | $ | — | $ | — | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Sustainable U.S. Equity ETF, and Fidelity Women’s Leadership ETFs’ commencement of operations. |
Services Billed by PwC
July 31, 2022A | July 31, 2021A,B | |||||||
Audit-Related Fees | $ | 7,914,600 | $ | 8,959,700 | ||||
Tax Fees | $ | 353,200 | $ | 11,200 | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity U.S. Multifactor ETF’s commencement of operations. |
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund’s financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | July 31, 2022A | July 31, 2021A,B | ||||||
Deloitte Entities | $ | 544,100 | $ | 586,600 | ||||
PwC | $ | 13,290,200 | $ | 14,327,600 |
A | Amounts may reflect rounding. |
B | May include amounts billed prior to the Fidelity Growth Opportunities ETF, Fidelity Magellan ETF, Fidelity Real Estate ETF, Fidelity Small-Mid Cap Opportunities ETF, Fidelity Sustainable U.S. Equity ETF, Fidelity U.S. Multifactor ETF and Fidelity Women’s Leadership ETFs’ commencement of operations. |
The trust’s Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5. | Audit Committee of Listed Registrants |
The Audit Committee is a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of July 31, 2022, the members of the Audit Committee were Donald Donahue, Thomas Bostick, Thomas Kennedy, Garnett Smith and Susan Tomasky.
Item 6. | Investments |
(a) Not applicable.
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11. | Controls and Procedures |
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Covington Trust
By: | /s/ Stacie M. Smith | |
Stacie M. Smith | ||
President and Treasurer | ||
Date: | September 21, 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: | September 21, 2022 |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | September 21, 2022 |