UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07319
Fidelity Covington Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant’s telephone number, including area code: 617-563-7000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2023
Item 1. Reports to Stockholders
Investment Summary | 3 | |
Schedule of Investments | 14 | |
Financial Statements | 62 | |
Notes to Financial Statements | 85 | |
Shareholder Expense Example | 90 | |
Liquidity Risk Management Program | 92 |
Semi-Annual Report | 2 |
% of fund's net assets | |
Alphabet, Inc. Class A | 11.8 |
Meta Platforms, Inc. Class A | 11.0 |
Alphabet, Inc. Class C | 10.5 |
The Walt Disney Co. | 6.2 |
Verizon Communications, Inc. | 5.5 |
Netflix, Inc. | 4.7 |
AT&T, Inc. | 4.5 |
Comcast Corp. Class A | 4.3 |
T-Mobile US, Inc. | 3.6 |
Activision Blizzard, Inc. | 2.4 |
64.5 |
3 | Semi-Annual Report |
% of fund's net assets | |
Amazon.com, Inc. | 21.2 |
Tesla, Inc. | 10.4 |
The Home Depot, Inc. | 7.5 |
McDonald's Corp. | 4.4 |
NIKE, Inc. Class B | 3.6 |
Lowe's Cos., Inc. | 2.9 |
Starbucks Corp. | 2.8 |
Booking Holdings, Inc. | 2.2 |
The TJX Cos., Inc. | 2.1 |
Target Corp. | 1.8 |
General Motors Co. | 1.2 |
60.1 |
Semi-Annual Report | 4 |
% of fund's net assets | |
The Procter & Gamble Co. | 12.2 |
The Coca-Cola Co. | 8.7 |
PepsiCo, Inc. | 8.2 |
Costco Wholesale Corp. | 7.8 |
Walmart, Inc. | 7.3 |
Philip Morris International, Inc. | 4.9 |
Mondelez International, Inc. Class A | 3.7 |
Altria Group, Inc. | 3.3 |
The Estee Lauder Cos., Inc. Class A | 2.6 |
Colgate-Palmolive Co. | 2.4 |
61.1 |
5 | Semi-Annual Report |
% of fund's net assets | |
Exxon Mobil Corp. | 22.8 |
Chevron Corp. | 15.1 |
ConocoPhillips | 6.9 |
Schlumberger N.V. | 3.9 |
Marathon Petroleum Corp. | 3.8 |
EOG Resources, Inc. | 3.8 |
Occidental Petroleum Corp. | 2.9 |
Valero Energy Corp. | 2.8 |
Pioneer Natural Resources Co. | 2.6 |
Phillips 66 | 2.4 |
67.0 |
Semi-Annual Report | 6 |
% of fund's net assets | |
JPMorgan Chase & Co. | 8.4 |
Berkshire Hathaway, Inc. Class B | 8.3 |
Bank of America Corp. | 5.3 |
Wells Fargo & Co. | 3.7 |
S&P Global, Inc. | 2.6 |
Morgan Stanley | 2.6 |
Goldman Sachs Group, Inc. | 2.6 |
BlackRock, Inc. | 2.3 |
The Charles Schwab Corp. | 2.3 |
American Express Co. | 2.3 |
40.4 |
7 | Semi-Annual Report |
% of fund's net assets | |
UnitedHealth Group, Inc. | 8.0 |
Johnson & Johnson | 7.3 |
Eli Lilly & Co. | 4.8 |
Merck & Co., Inc. | 4.7 |
AbbVie, Inc. | 4.5 |
Pfizer, Inc. | 4.2 |
Thermo Fisher Scientific, Inc. | 3.8 |
Abbott Laboratories | 3.3 |
Danaher Corp. | 3.1 |
Bristol-Myers Squibb Co. | 2.7 |
46.4 |
Semi-Annual Report | 8 |
% of fund's net assets | |
Raytheon Technologies Corp. | 3.8 |
Honeywell International, Inc. | 3.6 |
United Parcel Service, Inc. Class B | 3.5 |
Caterpillar, Inc. | 3.5 |
Union Pacific Corp. | 3.3 |
Deere & Co. | 3.2 |
The Boeing Co. | 3.1 |
Lockheed Martin Corp. | 2.9 |
General Electric Co. | 2.3 |
Illinois Tool Works, Inc. | 1.9 |
31.1 |
9 | Semi-Annual Report |
% of fund's net assets | |
Apple, Inc. | 20.7 |
Microsoft Corp. | 17.1 |
NVIDIA Corp. | 4.7 |
Visa, Inc. Class A | 3.7 |
Mastercard, Inc. Class A | 3.1 |
Broadcom, Inc. | 2.3 |
Cisco Systems, Inc. | 2.0 |
Accenture PLC Class A | 1.7 |
Adobe, Inc. | 1.7 |
Salesforce, Inc. | 1.6 |
58.6 |
Semi-Annual Report | 10 |
% of fund's net assets | |
Linde PLC | 13.2 |
Air Products & Chemicals, Inc. | 5.7 |
Freeport-McMoRan, Inc. | 5.1 |
The Sherwin-Williams Co. | 4.6 |
Corteva, Inc. | 3.7 |
Nucor Corp. | 3.5 |
Dow, Inc. | 3.4 |
Newmont Corp. | 3.3 |
Ecolab, Inc. | 3.2 |
DuPont de Nemours, Inc. | 3.0 |
48.7 |
11 | Semi-Annual Report |
% of fund's net assets | |
Prologis, Inc. | 8.7 |
American Tower Corp. | 7.6 |
Equinix, Inc. | 4.9 |
Crown Castle, Inc. | 4.6 |
Public Storage | 3.5 |
Simon Property Group, Inc. | 3.1 |
Realty Income Corp. | 3.0 |
Welltower, Inc. | 2.5 |
VICI Properties, Inc. | 2.4 |
Digital Realty Trust, Inc. | 2.4 |
42.7 |
Semi-Annual Report | 12 |
% of fund's net assets | |
NextEra Energy, Inc. | 12.9 |
Duke Energy Corp. | 6.9 |
The Southern Co. | 6.5 |
Dominion Energy, Inc. | 4.7 |
Sempra Energy | 4.4 |
American Electric Power Co., Inc. | 4.3 |
Exelon Corp. | 3.7 |
Xcel Energy, Inc. | 3.3 |
Consolidated Edison, Inc. | 3.0 |
Public Service Enterprise Group, Inc. | 2.7 |
52.4 |
13 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
DIVERSIFIED TELECOMMUNICATION SERVICES – 14.3% | |||
Alternative Carriers – 3.3% | |||
Anterix, Inc. (a) | 9,397 | $ 338,950 | |
Bandwidth, Inc. Class A (a) | 16,057 | 399,498 | |
Charge Enterprises Inc. (a) | 78,637 | 105,374 | |
Cogent Communications Holdings, Inc. | 29,822 | 2,044,894 | |
EchoStar Corp. Class A (a) | 23,384 | 437,515 | |
Globalstar, Inc. (a) | 506,843 | 714,649 | |
Iridium Communications, Inc. (a) | 67,746 | 4,053,921 | |
Liberty Global PLC Class A (a) | 107,230 | 2,325,819 | |
Liberty Global PLC Class C (a) | 153,803 | 3,437,497 | |
Liberty Latin America Ltd. Class A (a) | 25,941 | 255,259 | |
Liberty Latin America Ltd. Class C (a) | 104,804 | 1,032,319 | |
Lumen Technologies, Inc. | 403,993 | 2,120,963 | |
17,266,658 | |||
Integrated Telecommunication Services – 11.0% | |||
AT&T, Inc. | 1,152,722 | 23,480,947 | |
ATN International, Inc. | 7,621 | 372,514 | |
Consolidated Communications Holdings, Inc. (a) | 50,653 | 220,341 | |
Frontier Communications Parent, Inc. (a) | 108,788 | 3,221,213 | |
IDT Corp. Class B (a) | 14,291 | 420,012 | |
Radius Global Infrastructure, Inc. Class A (a) | 56,164 | 756,529 | |
Verizon Communications, Inc. | 682,919 | 28,388,943 | |
56,860,499 | |||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 74,127,157 | ||
ENTERTAINMENT – 23.1% | |||
Interactive Home Entertainment – 6.0% | |||
Activision Blizzard, Inc. | 163,377 | 12,509,777 | |
Electronic Arts, Inc. | 65,971 | 8,489,148 | |
Playstudios, Inc. (a) | 59,921 | 276,835 | |
Playtika Holding Corp. (a) | 50,061 | 525,140 | |
ROBLOX Corp. Class A (a) | 104,138 | 3,874,975 | |
Skillz, Inc. (a) | 178,976 | 143,073 | |
Take-Two Interactive Software, Inc. (a) | 45,494 | 5,151,286 | |
30,970,234 | |||
Movies & Entertainment – 17.1% | |||
AMC Entertainment Holdings, Inc. Class A (a) | 332,712 | 1,780,009 | |
Cinemark Holdings, Inc. (a) | 76,042 | 907,941 | |
Endeavor Group Holdings, Inc. Class A (a) | 60,079 | 1,347,572 | |
IMAX Corp. (a) | 31,121 | 529,057 |
| |||
Shares | Value | ||
Liberty Media Corp-Liberty Braves Class A (a) | 5,371 | $ 188,683 | |
Liberty Media Corp-Liberty Braves Class C (a) | 27,840 | 965,491 | |
Liberty Media Corp-Liberty Formula One Class C (a) | 68,301 | 4,835,711 | |
Lions Gate Entertainment Corp. Class A (a) | 40,016 | 318,928 | |
Lions Gate Entertainment Corp. Class B (a) | 85,687 | 652,935 | |
Live Nation Entertainment, Inc. (a) | 53,953 | 4,342,677 | |
Madison Square Garden Entertainment Corp. (a) | 17,317 | 905,506 | |
Madison Square Garden Sports Corp. Class A | 10,246 | 1,863,133 | |
Netflix, Inc. (a) | 69,138 | 24,465,173 | |
Roku, Inc. (a) | 45,399 | 2,610,443 | |
The Marcus Corp. | 14,964 | 226,555 | |
The Walt Disney Co. (a) | 298,017 | 32,331,864 | |
Vivid Seats, Inc. Class A (a) | 17,244 | 146,746 | |
Warner Bros Discovery, Inc. (a) | 559,046 | 8,285,062 | |
World Wrestling Entertainment, Inc. Class A | 29,840 | 2,525,061 | |
89,228,547 | |||
TOTAL ENTERTAINMENT | 120,198,781 | ||
INTERACTIVE MEDIA & SERVICES – 39.1% | |||
Interactive Media & Services – 39.1% | |||
Alphabet, Inc. Class A (a) | 621,440 | 61,423,130 | |
Alphabet, Inc. Class C (a) | 546,670 | 54,595,933 | |
Angi, Inc. (a) | 53,605 | 155,991 | |
Bumble, Inc. Class A (a) | 49,935 | 1,285,826 | |
Cargurus, Inc. (a) | 61,154 | 1,079,368 | |
Cars.com, Inc. (a) | 45,569 | 779,230 | |
Eventbrite, Inc. Class A (a) | 57,086 | 507,495 | |
fuboTV, Inc. (a) | 124,714 | 320,515 | |
IAC, Inc. (a) | 37,017 | 2,091,460 | |
Match Group, Inc. (a) | 74,883 | 4,052,668 | |
MediaAlpha, Inc. Class A (a) | 16,735 | 233,453 | |
Meta Platforms, Inc. Class A (a) | 383,970 | 57,200,011 | |
Nextdoor Holdings, Inc. (a) | 63,870 | 157,120 | |
Pinterest, Inc. Class A (a) | 174,168 | 4,578,877 | |
QuinStreet, Inc. (a) | 36,010 | 552,033 | |
Shutterstock, Inc. | 17,640 | 1,327,763 | |
Snap, Inc. Class A (a) | 321,333 | 3,714,609 | |
TripAdvisor, Inc. (a) | 71,207 | 1,659,123 | |
Vimeo, Inc. (a) | 107,970 | 490,184 | |
Yelp, Inc. (a) | 49,235 | 1,551,395 | |
Ziff Davis, Inc. (a) | 29,288 | 2,620,690 | |
ZipRecruiter, Inc. Class A (a) | 26,060 | 511,818 |
Semi-Annual Report | 14 |
Common Stocks – continued | |||
Shares | Value | ||
INTERACTIVE MEDIA & SERVICES – continued | |||
Interactive Media & Services – continued | |||
ZoomInfo Technologies, Inc. Class A (a) | 93,187 | $ 2,630,669 | |
TOTAL INTERACTIVE MEDIA & SERVICES | 203,519,361 | ||
MEDIA – 19.2% | |||
Advertising – 4.0% | |||
Advantage Solutions, Inc. (a) | 53,565 | 138,733 | |
Boston Omaha Corp. Class A (a) | 13,850 | 366,332 | |
Cardlytics, Inc. (a) | 23,137 | 173,528 | |
Clear Channel Outdoor Holdings, Inc. (a) | 235,805 | 450,388 | |
Innovid Corp. (a) | 40,589 | 91,325 | |
Magnite, Inc. (a) | 83,449 | 1,008,064 | |
Omnicom Group, Inc. | 68,045 | 5,851,190 | |
PubMatic, Inc. Class A (a) | 28,616 | 438,683 | |
Stagwell, Inc. (a) | 55,213 | 387,595 | |
TechTarget, Inc. (a) | 19,677 | 974,602 | |
The Interpublic Group of Cos., Inc. | 144,671 | 5,274,705 | |
The Trade Desk, Inc. Class A (a) | 105,136 | 5,330,395 | |
Thryv Holdings, Inc. (a) | 14,680 | 328,392 | |
20,813,932 | |||
Broadcasting – 3.9% | |||
AMC Networks, Inc. Class A (a) | 19,558 | 362,018 | |
Fox Corp. Class A | 115,719 | 3,927,503 | |
Fox Corp. Class B | 92,288 | 2,925,530 | |
Gray Television, Inc. | 53,384 | 691,857 | |
iHeartMedia, Inc. Class A (a) | 80,432 | 623,348 | |
Nexstar Media Group, Inc. Class A | 18,060 | 3,698,146 | |
Paramount Global Class B | 180,179 | 4,172,946 | |
Sinclair Broadcast Group, Inc. Class A | 30,797 | 635,342 | |
TEGNA, Inc. | 134,214 | 2,674,885 | |
The E.W. Scripps Co. Class A (a) | 38,070 | 569,146 | |
20,280,721 | |||
Cable & Satellite – 9.6% | |||
Altice USA, Inc. Class A (a) | 152,487 | 747,186 | |
Cable One, Inc. | 2,515 | 1,986,548 | |
Charter Communications, Inc. Class A (a) | 26,151 | 10,050,091 | |
Comcast Corp. Class A | 572,432 | 22,525,199 | |
DISH Network Corp. Class A (a) | 135,137 | 1,944,622 | |
Liberty Broadband Corp. Class C (a) | 42,580 | 3,822,832 | |
Liberty Media Corp-Liberty SiriusXM Class A (a) | 50,862 | 2,066,015 | |
Liberty Media Corp-Liberty SiriusXM Class C (a) | 81,331 | 3,277,639 | |
Sirius XM Holdings, Inc. | 490,317 | 2,838,936 |
| |||
Shares | Value | ||
WideOpenWest, Inc. (a) | 36,413 | $ 418,385 | |
49,677,453 | |||
Publishing – 1.7% | |||
John Wiley & Sons, Inc. Class A | 31,063 | 1,422,685 | |
News Corp. Class A | 185,022 | 3,748,546 | |
Scholastic Corp. | 20,490 | 906,477 | |
The New York Times Co. Class A | 83,802 | 2,919,662 | |
8,997,370 | |||
TOTAL MEDIA | 99,769,476 | ||
WIRELESS TELECOMMUNICATION SERVICES – 4.0% | |||
Wireless Telecommunication Services – 4.0% | |||
Gogo, Inc. (a) | 40,161 | 673,500 | |
Shenandoah Telecommunications Co. | 33,707 | 658,972 | |
Telephone & Data Systems, Inc. | 71,347 | 953,909 | |
T-Mobile US, Inc. (a) | 123,493 | 18,438,740 | |
United States Cellular Corp. (a) | 10,929 | 267,323 | |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 20,992,444 | ||
TOTAL COMMON STOCKS (Cost $636,634,828) | 518,607,219 |
Preferred Stock – 0.1% | |||
Principal Amount | |||
COMMUNICATION SERVICES – 0.1% | |||
Entertainment – 0.1% | |||
AMC Entertainment Holdings, Inc. 0.000% (a) | $ 358,413 | 867,360 | |
TOTAL PREFERRED STOCKS (Cost $2,367,278) | 867,360 |
Money Market Fund – 0.2% | |||
Shares | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $940,000) | 940,000 | 940,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $639,942,106) | 520,414,579 | ||
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (133,355) | ||
NET ASSETS – 100.0% | $ 520,281,224 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
15 | Semi-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) | 13 | March 2023 | $940,225 | $71,183 | $71,183 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 518,607,219 | $ 518,607,219 | $ — | $ — | |||||
Money Market Funds | 940,000 | 940,000 | — | — | |||||
Preferred Stocks | 867,360 | 867,360 | — | — | |||||
Total Investments in Securities: | $ 520,414,579 | $ 520,414,579 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 71,183 | $ 71,183 | $ — | $ — | |||||
Total Assets | $ 71,183 | $ 71,183 | $ — | $ — | |||||
Total Derivative Instruments: | $ 71,183 | $ 71,183 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $71,183 | $0 | |
Total Equity Risk | 71,183 | 0 | |
Total Value of Derivatives | $71,183 | $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). |
Semi-Annual Report | 16 |
Common Stocks – 99.7% | |||
Shares | Value | ||
AUTO COMPONENTS – 2.3% | |||
Auto Parts & Equipment – 2.2% | |||
Adient PLC (a) | 22,473 | $ 1,011,734 | |
American Axle & Manufacturing Holdings, Inc. (a) | 27,156 | 240,874 | |
Aptiv PLC (a) | 64,116 | 7,250,878 | |
Autoliv, Inc. | 19,600 | 1,805,552 | |
BorgWarner, Inc. | 55,900 | 2,642,952 | |
Dana, Inc. | 30,583 | 554,776 | |
Dorman Products, Inc. (a) | 6,330 | 614,390 | |
Fox Factory Holding Corp. (a) | 10,019 | 1,183,144 | |
Gentex Corp. | 55,736 | 1,644,769 | |
Gentherm, Inc. (a) | 7,865 | 585,392 | |
Holley, Inc. (a) | 11,189 | 37,036 | |
LCI Industries | 6,026 | 676,238 | |
Lear Corp. | 14,072 | 2,051,416 | |
Luminar Technologies, Inc. (a) | 49,452 | 329,845 | |
Modine Manufacturing Co. (a) | 11,100 | 265,179 | |
Patrick Industries, Inc. | 5,149 | 365,424 | |
QuantumScape Corp. (a) | 62,172 | 529,084 | |
Solid Power, Inc. (a) | 24,826 | 83,167 | |
Standard Motor Products, Inc. | 4,569 | 184,862 | |
Stoneridge, Inc. (a) | 6,478 | 159,747 | |
Visteon Corp. (a) | 6,664 | 1,041,850 | |
XPEL, Inc. (a) | 4,584 | 348,705 | |
23,607,014 | |||
Tires & Rubber – 0.1% | |||
The Goodyear Tire & Rubber Co. (a) | 67,038 | 754,177 | |
TOTAL AUTO COMPONENTS | 24,361,191 | ||
AUTOMOBILES – 13.4% | |||
Automobile Manufacturers – 13.2% | |||
Canoo, Inc. (a) | 43,568 | 52,282 | |
Fisker, Inc. (a) | 39,436 | 293,798 | |
Ford Motor Co. | 934,698 | 12,627,770 | |
General Motors Co. | 327,823 | 12,890,000 | |
Lordstown Motors Corp. Class A (a) | 39,042 | 51,145 | |
Lucid Group, Inc. (a) | 99,131 | 1,158,842 | |
Rivian Automotive, Inc. Class A (a) | 75,363 | 1,462,042 | |
Tesla, Inc. (a) | 630,355 | 109,190,093 | |
Thor Industries, Inc. | 12,927 | 1,232,331 | |
Winnebago Industries, Inc. | 7,152 | 455,439 | |
Workhorse Group, Inc. (a) | 38,810 | 85,770 | |
139,499,512 | |||
Motorcycle Manufacturers – 0.2% | |||
Harley-Davidson, Inc. | 32,916 | 1,515,124 | |
TOTAL AUTOMOBILES | 141,014,636 | ||
DISTRIBUTORS – 1.2% | |||
Distributors – 1.2% | |||
Funko, Inc. Class A (a) | 8,326 | 100,745 |
| |||
Shares | Value | ||
Genuine Parts Co. | 33,470 | $ 5,616,935 | |
LKQ Corp. | 61,610 | 3,632,526 | |
Pool Corp. | 9,356 | 3,607,767 | |
TOTAL DISTRIBUTORS | 12,957,973 | ||
DIVERSIFIED CONSUMER SERVICES – 1.1% | |||
Education Services – 0.5% | |||
2U, Inc. (a) | 18,368 | 158,516 | |
Adtalem Global Education, Inc. (a) | 10,718 | 409,213 | |
Bright Horizons Family Solutions, Inc. (a) | 13,700 | 1,051,886 | |
Chegg, Inc. (a) | 29,962 | 622,011 | |
Coursera, Inc. (a) | 13,820 | 220,429 | |
Duolingo, Inc. (a) | 4,350 | 415,382 | |
Graham Holdings Co. Class B | 918 | 599,739 | |
Grand Canyon Education, Inc. (a) | 7,573 | 882,709 | |
Laureate Education, Inc. Class A | 33,427 | 367,028 | |
Perdoceo Education Corp. (a) | 16,060 | 240,418 | |
Strategic Education, Inc. | 5,550 | 518,092 | |
Stride, Inc. (a) | 9,631 | 413,459 | |
5,898,882 | |||
Specialized Consumer Services – 0.6% | |||
ADT, Inc. | 40,618 | 357,032 | |
Carriage Services, Inc. | 3,133 | 101,572 | |
European Wax Center, Inc. Class A | 6,086 | 114,660 | |
Frontdoor, Inc. (a) | 19,316 | 525,009 | |
H&R Block, Inc. | 37,912 | 1,477,810 | |
Mister Car Wash, Inc. (a) | 18,033 | 185,199 | |
OneSpaWorld Holdings Ltd. (a) | 15,861 | 166,699 | |
Rover Group, Inc. (a) | 17,329 | 70,876 | |
Service Corp. International | 37,232 | 2,760,753 | |
The Beachbody Co., Inc. (a) | 16,883 | 10,488 | |
Vivint Smart Home, Inc. (a) | 10,090 | 120,878 | |
WW International, Inc. (a) | 13,351 | 66,354 | |
5,957,330 | |||
TOTAL DIVERSIFIED CONSUMER SERVICES | 11,856,212 | ||
HOTELS, RESTAURANTS & LEISURE – 20.5% | |||
Casinos & Gaming – 2.1% | |||
Accel Entertainment, Inc. (a) | 13,888 | 128,047 | |
Bally's Corp. (a) | 7,380 | 146,641 | |
Boyd Gaming Corp. | 18,995 | 1,183,578 | |
Caesars Entertainment, Inc. (a) | 50,631 | 2,635,850 | |
Churchill Downs, Inc. | 8,042 | 1,995,220 | |
DraftKings Inc. Class A (a) | 90,373 | 1,354,691 | |
Everi Holdings, Inc. (a) | 21,299 | 369,964 | |
Golden Entertainment, Inc. (a) | 4,389 | 173,366 | |
Las Vegas Sands Corp. (a) | 81,308 | 4,797,172 | |
Light & Wonder, Inc. Class A (a) | 21,091 | 1,376,188 | |
MGM Resorts International | 74,279 | 3,075,893 | |
Monarch Casino & Resort, Inc. (a) | 3,361 | 257,520 |
17 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HOTELS, RESTAURANTS & LEISURE – continued | |||
Casinos & Gaming – continued | |||
Penn Entertainment, Inc. (a) | 37,584 | $ 1,332,353 | |
Red Rock Resorts, Inc. Class A | 12,466 | 561,095 | |
Wynn Resorts Ltd. (a) | 25,607 | 2,653,909 | |
22,041,487 | |||
Hotels, Resorts & Cruise Lines – 6.9% | |||
Airbnb, Inc. Class A (a) | 89,745 | 9,971,567 | |
Booking Holdings, Inc. (a) | 9,399 | 22,878,106 | |
Carnival Corp. (a) | 233,977 | 2,531,631 | |
Choice Hotels International, Inc. | 8,592 | 1,055,871 | |
Expedia Group, Inc. (a) | 35,930 | 4,106,799 | |
Hilton Grand Vacations, Inc. (a) | 20,924 | 990,961 | |
Hilton Worldwide Holdings, Inc. | 64,913 | 9,418,227 | |
Hyatt Hotels Corp. Class A (a) | 11,878 | 1,296,127 | |
Lindblad Expeditions Holdings, Inc. (a) | 8,179 | 97,330 | |
Marriott International, Inc. Class A | 65,288 | 11,371,864 | |
Marriott Vacations Worldwide Corp. | 8,780 | 1,405,151 | |
Membership Collective Group, Inc. Class A (a) | 6,923 | 36,692 | |
Norwegian Cruise Line Holdings Ltd. (a) | 99,889 | 1,519,312 | |
Playa Hotels & Resorts N.V. (a) | 31,483 | 238,641 | |
Royal Caribbean Cruises Ltd. (a) | 54,240 | 3,522,346 | |
Target Hospitality Corp. (a) | 7,021 | 107,807 | |
Travel + Leisure Co. | 19,868 | 841,807 | |
Wyndham Hotels & Resorts, Inc. | 21,413 | 1,659,722 | |
73,049,961 | |||
Leisure Facilities – 0.6% | |||
Bowlero Corp. (a) | 9,222 | 126,802 | |
F45 Training Holdings, Inc. (a) | 8,290 | 25,699 | |
Life Time Group Holdings, Inc. (a) | 6,897 | 129,595 | |
Planet Fitness, Inc. Class A (a) | 19,969 | 1,690,376 | |
RCI Hospitality Holdings, Inc. | 1,973 | 179,129 | |
SeaWorld Entertainment, Inc. (a) | 10,421 | 650,166 | |
Six Flags Entertainment Corp. (a) | 17,731 | 476,077 | |
Vail Resorts, Inc. | 9,500 | 2,492,230 | |
Xponential Fitness Inc. Class A (a) | 3,867 | 106,265 | |
5,876,339 | |||
Restaurants – 10.9% | |||
Aramark | 54,752 | 2,438,107 | |
BJ's Restaurants, Inc. (a) | 5,562 | 175,592 | |
Bloomin' Brands, Inc. | 20,112 | 487,716 | |
Brinker International, Inc. (a) | 10,407 | 410,660 | |
Chipotle Mexican Grill, Inc. (a) | 6,574 | 10,823,302 | |
Chuys Holdings, Inc. (a) | 4,466 | 152,871 | |
Cracker Barrel Old Country Store, Inc. | 5,131 | 572,517 | |
Darden Restaurants, Inc. | 28,988 | 4,289,354 |
| |||
Shares | Value | ||
Dave & Buster's Entertainment, Inc. (a) | 9,278 | $ 402,201 | |
Denny's Corp. (a) | 13,729 | 165,023 | |
Dine Brands Global, Inc. | 3,531 | 272,982 | |
Domino's Pizza, Inc. | 8,482 | 2,994,146 | |
Dutch Bros, Inc. Class A (a) | 6,094 | 232,242 | |
El Pollo Loco Holdings, Inc. | 4,824 | 59,191 | |
First Watch Restaurant Group Inc. (a) | 4,202 | 68,072 | |
Jack in the Box, Inc. | 4,991 | 379,216 | |
Krispy Kreme, Inc. | 15,877 | 193,699 | |
Kura Sushi USA Inc. Class A (a) | 1,038 | 64,501 | |
McDonald's Corp. | 174,120 | 46,559,688 | |
Papa John's International, Inc. | 7,958 | 713,753 | |
Portillo's, Inc. Class A (a) | 9,673 | 218,223 | |
Ruth's Hospitality Group, Inc. | 7,606 | 131,660 | |
Shake Shack, Inc. Class A (a) | 8,848 | 503,274 | |
Starbucks Corp. | 271,557 | 29,637,731 | |
Sweetgreen, Inc. Class A (a) | 11,455 | 118,788 | |
Texas Roadhouse, Inc. | 15,053 | 1,511,773 | |
The Cheesecake Factory, Inc. | 11,139 | 437,206 | |
The Wendy's Co. | 42,878 | 956,180 | |
Wingstop, Inc. | 7,091 | 1,123,711 | |
Yum! Brands, Inc. | 67,344 | 8,789,066 | |
114,882,445 | |||
TOTAL HOTELS, RESTAURANTS & LEISURE | 215,850,232 | ||
HOUSEHOLD DURABLES – 4.3% | |||
Consumer Electronics – 0.4% | |||
Garmin Ltd. | 36,569 | 3,615,943 | |
GoPro, Inc. Class A (a) | 30,694 | 188,768 | |
Snap One Holdings Corp. (a) | 3,597 | 34,495 | |
Sonos, Inc. (a) | 30,162 | 556,187 | |
Vuzix Corp. (a) | 14,408 | 75,066 | |
4,470,459 | |||
Home Furnishings – 0.5% | |||
Ethan Allen Interiors, Inc. | 5,403 | 155,282 | |
La-Z-Boy, Inc. | 10,199 | 289,958 | |
Leggett & Platt, Inc. | 31,433 | 1,149,191 | |
Mohawk Industries, Inc. (a) | 12,051 | 1,446,843 | |
Purple Innovation, Inc. (a) | 12,749 | 73,944 | |
Tempur Sealy International, Inc. | 38,487 | 1,568,345 | |
The Lovesac Co. (a) | 3,227 | 83,063 | |
4,766,626 | |||
Homebuilding – 3.0% | |||
Cavco Industries, Inc. (a) | 2,005 | 533,530 | |
Century Communities, Inc. | 6,888 | 421,546 | |
D.R. Horton, Inc. | 78,124 | 7,710,058 | |
Dream Finders Homes, Inc. Class A (a) | 4,608 | 58,245 | |
Green Brick Partners, Inc. (a) | 7,094 | 221,333 | |
Installed Building Products, Inc. | 5,792 | 637,641 |
Semi-Annual Report | 18 |
Common Stocks – continued | |||
Shares | Value | ||
HOUSEHOLD DURABLES – continued | |||
Homebuilding – continued | |||
KB Home | 18,594 | $ 714,939 | |
Lennar Corp. Class A | 60,338 | 6,178,611 | |
LGI Homes, Inc. (a) | 4,968 | 565,607 | |
M.D.C. Holdings, Inc. | 13,493 | 509,496 | |
M/I Homes, Inc. (a) | 6,584 | 393,723 | |
Meritage Homes Corp. (a) | 8,667 | 933,349 | |
NVR, Inc. (a) | 739 | 3,894,530 | |
PulteGroup, Inc. | 54,663 | 3,109,778 | |
Skyline Champion Corp. (a) | 12,809 | 755,091 | |
Taylor Morrison Home Corp. (a) | 25,599 | 916,444 | |
Toll Brothers, Inc. | 25,699 | 1,528,834 | |
TopBuild Corp. (a) | 7,674 | 1,535,260 | |
Tri Pointe Homes, Inc. (a) | 24,091 | 532,170 | |
31,150,185 | |||
Household Appliances – 0.3% | |||
Cricut, Inc. Class A | 6,283 | 61,510 | |
Helen of Troy Ltd. (a) | 5,679 | 642,352 | |
iRobot Corp. (a) | 6,455 | 290,475 | |
Traeger, Inc. (a) | 12,614 | 45,789 | |
Whirlpool Corp. | 12,922 | 2,010,534 | |
3,050,660 | |||
Housewares & Specialties – 0.1% | |||
Newell Brands, Inc. | 93,141 | 1,486,530 | |
Tupperware Brands Corp. (a) | 10,418 | 46,152 | |
1,532,682 | |||
TOTAL HOUSEHOLD DURABLES | 44,970,612 | ||
INTERNET & DIRECT MARKETING RETAIL – 24.0% | |||
Internet & Direct Marketing Retail – 24.0% | |||
1-800-FLOWERS.com, Inc. Class A (a) | 4,863 | 48,484 | |
Amazon.com, Inc. (a) | 2,169,976 | 223,789,625 | |
BARK, Inc. (a) | 14,629 | 29,404 | |
CarParts.com, Inc. (a) | 10,329 | 70,444 | |
Chewy, Inc. Class A (a) | 22,050 | 993,573 | |
ContextLogic, Inc. Class A (a) | 115,484 | 79,441 | |
DoorDash, Inc. Class A (a) | 54,985 | 3,184,731 | |
eBay, Inc. | 129,999 | 6,434,951 | |
Etsy, Inc. (a) | 29,937 | 4,118,733 | |
Lands' End, Inc. (a) | 3,167 | 28,598 | |
MercadoLibre, Inc. (a) | 10,724 | 12,672,444 | |
Overstock.com, Inc. (a) | 10,829 | 262,170 | |
PetMed Express, Inc. | 4,730 | 101,600 | |
Qurate Retail, Inc. Class A (a) | 84,164 | 217,143 | |
Revolve Group, Inc. (a) | 9,654 | 275,525 | |
Stitch Fix, Inc. Class A (a) | 17,787 | 92,670 | |
Wayfair, Inc. Class A (a) | 17,217 | 1,041,629 | |
Xometry, Inc. Class A (a) | 3,170 | 111,013 | |
TOTAL INTERNET & DIRECT MARKETING RETAIL | 253,552,178 |
| |||
Shares | Value | ||
LEISURE PRODUCTS – 1.0% | |||
Leisure Products – 1.0% | |||
Acushnet Holdings Corp. | 8,436 | $ 396,070 | |
AMMO, Inc. (a) | 20,790 | 51,559 | |
Brunswick Corp. | 17,499 | 1,475,691 | |
Clarus Corp. | 4,990 | 50,149 | |
Hasbro, Inc. | 31,093 | 1,839,773 | |
Johnson Outdoors, Inc. Class A | 1,384 | 94,749 | |
Latham Group, Inc. (a) | 11,109 | 48,880 | |
Malibu Boats, Inc. Class A (a) | 4,861 | 294,528 | |
Mattel, Inc. (a) | 83,169 | 1,701,638 | |
Peloton Interactive, Inc. Class A (a) | 69,446 | 897,937 | |
Polaris, Inc. | 13,409 | 1,539,889 | |
Smith & Wesson Brands, Inc. | 10,845 | 120,163 | |
Sturm Ruger & Co., Inc. | 4,188 | 238,297 | |
Topgolf Callaway Brands Corp. (a) | 32,717 | 801,239 | |
Vista Outdoor, Inc. (a) | 13,397 | 393,202 | |
YETI Holdings, Inc. (a) | 20,431 | 914,491 | |
TOTAL LEISURE PRODUCTS | 10,858,255 | ||
MULTILINE RETAIL – 4.1% | |||
Department Stores – 0.3% | |||
Dillard's, Inc. Class A | 1,283 | 504,617 | |
Kohl's Corp. | 30,447 | 985,569 | |
Macy's, Inc. | 63,789 | 1,507,334 | |
Nordstrom, Inc. | 26,518 | 518,162 | |
3,515,682 | |||
General Merchandise Stores – 3.8% | |||
Big Lots, Inc. | 6,514 | 106,569 | |
Dollar General Corp. | 53,385 | 12,470,736 | |
Dollar Tree, Inc. (a) | 52,996 | 7,958,939 | |
Franchise Group, Inc. | 6,696 | 206,839 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 13,336 | 730,279 | |
Target Corp. | 108,932 | 18,751,555 | |
40,224,917 | |||
TOTAL MULTILINE RETAIL | 43,740,599 | ||
SPECIALTY RETAIL – 21.3% | |||
Apparel Retail – 3.9% | |||
Abercrombie & Fitch Co. Class A (a) | 11,730 | 339,701 | |
American Eagle Outfitters, Inc. | 38,151 | 615,757 | |
Boot Barn Holdings, Inc. (a) | 7,065 | 589,857 | |
Burlington Stores, Inc. (a) | 15,488 | 3,559,607 | |
Caleres, Inc. | 8,709 | 226,608 | |
Chico's FAS, Inc. (a) | 30,401 | 160,213 | |
Designer Brands, Inc. Class A | 14,100 | 145,371 | |
Foot Locker, Inc. | 20,160 | 877,162 | |
Genesco, Inc. (a) | 3,088 | 149,120 | |
Guess?, Inc. | 8,478 | 196,435 | |
Ross Stores, Inc. | 82,818 | 9,788,260 |
19 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SPECIALTY RETAIL – continued | |||
Apparel Retail – continued | |||
Shoe Carnival, Inc. | 4,252 | $ 116,122 | |
The Buckle, Inc. | 7,126 | 313,544 | |
The Children's Place, Inc. (a) | 2,935 | 133,161 | |
The Gap, Inc. | 47,418 | 643,462 | |
The TJX Cos., Inc. | 274,789 | 22,494,228 | |
Urban Outfitters, Inc. (a) | 14,203 | 389,020 | |
Victoria's Secret & Co. (a) | 19,695 | 830,144 | |
Zumiez, Inc. (a) | 3,922 | 101,305 | |
41,669,077 | |||
Automotive Retail – 3.5% | |||
Advance Auto Parts, Inc. | 14,253 | 2,170,447 | |
America's Car-Mart, Inc. (a) | 1,468 | 126,453 | |
Arko Corp. | 11,388 | 95,545 | |
Asbury Automotive Group, Inc. (a) | 4,988 | 1,097,360 | |
AutoNation, Inc. (a) | 8,624 | 1,092,833 | |
AutoZone, Inc. (a) | 4,614 | 11,252,854 | |
Camping World Holdings, Inc. Class A | 9,427 | 239,540 | |
CarMax, Inc. (a) | 37,582 | 2,647,652 | |
Carvana Co. (a) | 20,410 | 207,570 | |
EVgo, Inc. (a) | 15,558 | 107,195 | |
Group 1 Automotive, Inc. | 3,556 | 760,451 | |
Lithia Motors, Inc. | 6,527 | 1,717,906 | |
Monro, Inc. | 7,630 | 388,367 | |
Murphy USA, Inc. | 5,261 | 1,431,150 | |
O'Reilly Automotive, Inc. (a) | 14,982 | 11,870,988 | |
Penske Automotive Group, Inc. | 7,034 | 899,086 | |
Sonic Automotive, Inc. Class A | 4,842 | 260,064 | |
TravelCenters of America, Inc. (a) | 3,168 | 144,207 | |
36,509,668 | |||
Computer & Electronics Retail – 0.6% | |||
Best Buy Co., Inc. | 47,915 | 4,251,019 | |
GameStop Corp. Class A (a) | 60,893 | 1,331,730 | |
Rent-A-Center, Inc. | 13,334 | 358,551 | |
5,941,300 | |||
Home Improvement Retail – 10.6% | |||
Floor & Decor Holdings, Inc. Class A (a) | 25,136 | 2,281,595 | |
Lowe's Cos., Inc. | 146,902 | 30,592,341 | |
The Home Depot, Inc. | 242,288 | 78,542,501 | |
111,416,437 | |||
Homefurnishing Retail – 0.4% | |||
Bed Bath & Beyond, Inc. (a) | 16,111 | 45,433 | |
Haverty Furniture Cos., Inc. | 3,386 | 118,239 | |
RH (a) | 4,677 | 1,459,177 | |
Sleep Number Corp. (a) | 5,208 | 179,051 | |
The Aaron's Co., Inc. | 7,546 | 110,549 | |
Williams-Sonoma, Inc. | 15,898 | 2,145,276 | |
4,057,725 |
| |||
Shares | Value | ||
Specialty Stores – 2.3% | |||
Academy Sports & Outdoors, Inc. | 19,159 | $ 1,119,269 | |
Bath & Body Works, Inc. | 54,117 | 2,489,923 | |
Dick's Sporting Goods, Inc. | 13,180 | 1,723,417 | |
Five Below, Inc. (a) | 13,096 | 2,581,615 | |
Hibbett, Inc. | 2,913 | 193,307 | |
Leslie's, Inc. (a) | 36,874 | 571,178 | |
MarineMax, Inc. (a) | 5,232 | 163,500 | |
National Vision Holdings, Inc. (a) | 18,700 | 768,570 | |
Petco Health & Wellness Co., Inc. (a) | 21,610 | 252,621 | |
Sally Beauty Holdings, Inc. (a) | 25,366 | 395,202 | |
Signet Jewelers Ltd. | 11,028 | 847,061 | |
Sportsman's Warehouse Holdings, Inc. (a) | 10,462 | 98,657 | |
The Container Store Group, Inc. (a) | 7,937 | 41,352 | |
The ODP Corp. (a) | 10,377 | 535,453 | |
Tractor Supply Co. | 26,262 | 5,987,473 | |
Ulta Beauty, Inc. (a) | 12,117 | 6,227,653 | |
Warby Parker, Inc. Class A (a) | 15,895 | 256,704 | |
Winmark Corp. | 694 | 194,875 | |
24,447,830 | |||
TOTAL SPECIALTY RETAIL | 224,042,037 | ||
TEXTILES, APPAREL & LUXURY GOODS – 6.5% | |||
Apparel, Accessories & Luxury Goods – 2.2% | |||
Capri Holdings Ltd. (a) | 32,717 | 2,175,353 | |
Carter's, Inc. | 9,241 | 770,422 | |
Columbia Sportswear Co. | 8,096 | 776,407 | |
G-III Apparel Group Ltd. (a) | 10,288 | 174,073 | |
Hanesbrands, Inc. | 82,713 | 698,098 | |
Kontoor Brands, Inc. | 11,813 | 564,189 | |
Levi Strauss & Co. Class A | 22,285 | 410,044 | |
Lululemon Athletica, Inc. (a) | 27,507 | 8,441,348 | |
Movado Group, Inc. | 3,764 | 133,095 | |
Oxford Industries, Inc. | 3,588 | 420,585 | |
PVH Corp. | 15,875 | 1,427,163 | |
Ralph Lauren Corp. | 10,165 | 1,258,935 | |
Tapestry, Inc. | 57,176 | 2,605,510 | |
Under Armour, Inc. Class A (a) | 44,726 | 554,155 | |
Under Armour, Inc. Class C (a) | 46,766 | 509,750 | |
VF Corp. | 78,277 | 2,421,890 | |
23,341,017 | |||
Footwear – 4.3% | |||
Allbirds, Inc. Class A (a) | 22,701 | 62,428 | |
Crocs, Inc. (a) | 14,514 | 1,767,370 | |
Deckers Outdoor Corp. (a) | 6,285 | 2,686,712 | |
NIKE, Inc. Class B | 299,067 | 38,080,201 | |
Skechers U.S.A., Inc. Class A (a) | 31,731 | 1,527,848 | |
Steven Madden Ltd. | 17,792 | 637,843 |
Semi-Annual Report | 20 |
Common Stocks – continued | |||
Shares | Value | ||
TEXTILES, APPAREL & LUXURY GOODS – continued | |||
Footwear – continued | |||
Wolverine World Wide, Inc. | 18,664 | $ 301,050 | |
45,063,452 | |||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 68,404,469 | ||
TOTAL COMMON STOCKS (Cost $1,123,951,573) | 1,051,608,394 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $2,070,000) | 2,070,000 | 2,070,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,126,021,573) | 1,053,678,394 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 570,071 | ||
NET ASSETS – 100.0% | $1,054,248,465 |
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 Consumer Discretionary Select Sector Index Contracts (United States) | 15 | March 2023 | 2,262,150 | $ 110,871 | $ 110,871 |
CME E-mini Russell 2000 Index Contracts (United States) | 2 | March 2023 | 193,940 | 9,347 | 9,347 |
Total Equity Index Contracts | $ 120,218 |
21 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,051,608,394 | $ 1,051,608,394 | $ — | $ — | |||||
Money Market Funds | 2,070,000 | 2,070,000 | — | — | |||||
Total Investments in Securities: | $ 1,053,678,394 | $ 1,053,678,394 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 120,218 | $ 120,218 | $ — | $ — | |||||
Total Assets | $ 120,218 | $ 120,218 | $ — | $ — | |||||
Total Derivative Instruments: | $ 120,218 | $ 120,218 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $120,218 | $0 | |
Total Equity Risk | 120,218 | 0 | |
Total Value of Derivatives | $120,218 | $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). |
Semi-Annual Report | 22 |
Common Stocks – 99.6% | |||
Shares | Value | ||
BEVERAGES – 23.8% | |||
Brewers – 0.7% | |||
Molson Coors Beverage Co. Class B | 99,366 | $5,224,664 | |
The Boston Beer Co., Inc. Class A (a) | 6,793 | 2,639,828 | |
7,864,492 | |||
Distillers & Vintners – 2.7% | |||
Brown-Forman Corp. Class B | 150,439 | 10,016,229 | |
Constellation Brands, Inc. Class A | 76,811 | 17,783,283 | |
MGP Ingredients, Inc. | 15,336 | 1,495,873 | |
The Duckhorn Portfolio, Inc. (a) | 70,107 | 1,134,331 | |
30,429,716 | |||
Soft Drinks – 20.4% | |||
Celsius Holdings, Inc. (a) | 29,317 | 2,941,082 | |
Coca-Cola Consolidated, Inc. | 4,011 | 2,032,695 | |
Keurig Dr Pepper, Inc. | 369,837 | 13,047,849 | |
Monster Beverage Corp. (a) | 186,754 | 19,437,356 | |
National Beverage Corp. (a) | 30,002 | 1,326,089 | |
PepsiCo, Inc. | 534,899 | 91,478,427 | |
The Coca-Cola Co. | 1,593,554 | 97,716,731 | |
The Vita Coco Co. Inc. (a) | 24,841 | 337,092 | |
228,317,321 | |||
TOTAL BEVERAGES | 266,611,529 | ||
FOOD & STAPLES RETAILING – 22.4% | |||
Drug Retail – 1.1% | |||
Walgreens Boots Alliance, Inc. | 350,434 | 12,916,997 | |
Food Distributors – 3.1% | |||
Performance Food Group Co. (a) | 89,314 | 5,476,735 | |
SpartanNash Co. | 44,418 | 1,407,162 | |
Sysco Corp. | 237,092 | 18,365,146 | |
The Andersons, Inc. | 38,063 | 1,399,957 | |
The Chefs' Warehouse, Inc. (a) | 42,269 | 1,615,944 | |
United Natural Foods, Inc. (a) | 48,047 | 1,999,716 | |
US Foods Holding Corp. (a) | 118,262 | 4,509,330 | |
34,773,990 | |||
Food Retail – 2.5% | |||
Casey's General Stores, Inc. | 20,940 | 4,939,955 | |
Fresh Market, Inc. (a) | 6,179 | 0 | |
Grocery Outlet Holding Corp. (a) | 67,005 | 2,036,282 | |
Ingles Markets, Inc. Class A | 16,517 | 1,569,115 | |
Sprouts Farmers Market, Inc. (a) | 84,369 | 2,695,590 | |
The Kroger Co. | 328,893 | 14,678,495 | |
Weis Markets, Inc. | 19,145 | 1,652,979 | |
27,572,416 | |||
Hypermarkets & Super Centers – 15.7% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 75,886 | 5,499,458 | |
Costco Wholesale Corp. | 169,720 | 86,750,681 | |
PriceSmart, Inc. | 24,725 | 1,837,315 |
| |||
Shares | Value | ||
Walmart, Inc. | 568,163 | $ 81,741,611 | |
175,829,065 | |||
TOTAL FOOD & STAPLES RETAILING | 251,092,468 | ||
FOOD PRODUCTS – 21.2% | |||
Agricultural Products – 3.6% | |||
Archer-Daniels-Midland Co. | 260,691 | 21,598,249 | |
Benson Hill, Inc. (a) | 201,208 | 539,237 | |
Bunge Ltd. | 76,638 | 7,594,826 | |
Darling Ingredients, Inc. (a) | 84,160 | 5,578,966 | |
Fresh Del Monte Produce, Inc. | 48,858 | 1,397,339 | |
Ingredion, Inc. | 39,307 | 4,040,760 | |
40,749,377 | |||
Packaged Foods & Meats – 17.6% | |||
B&G Foods, Inc. | 93,377 | 1,309,145 | |
Beyond Meat, Inc. (a) | 84,892 | 1,394,776 | |
BRC, Inc. Class A (a) | 46,142 | 304,537 | |
Calavo Growers, Inc. | 29,392 | 942,014 | |
Cal-Maine Foods, Inc. | 35,745 | 2,045,329 | |
Campbell Soup Co. | 111,800 | 5,805,774 | |
Conagra Brands, Inc. | 239,284 | 8,898,972 | |
Flowers Foods, Inc. | 121,751 | 3,371,285 | |
Freshpet, Inc. (a) | 40,978 | 2,595,137 | |
General Mills, Inc. | 281,490 | 22,057,556 | |
Hormel Foods Corp. | 151,247 | 6,853,002 | |
Hostess Brands, Inc. (a) | 103,613 | 2,396,569 | |
J&J Snack Foods Corp. | 13,186 | 1,889,554 | |
John B Sanfilippo & Son, Inc. | 15,917 | 1,345,146 | |
Kellogg Co. | 126,896 | 8,702,528 | |
Lamb Weston Holdings, Inc. | 77,702 | 7,761,653 | |
Lancaster Colony Corp. | 14,766 | 2,833,743 | |
McCormick & Co., Inc. (non-vtg.) | 121,251 | 9,108,375 | |
Mission Produce, Inc. (a) | 74,611 | 929,653 | |
Mondelez International, Inc. Class A | 631,558 | 41,329,155 | |
Pilgrim's Pride Corp. (a) | 52,770 | 1,281,256 | |
Post Holdings, Inc. (a) | 34,571 | 3,282,516 | |
Seaboard Corp. | 361 | 1,415,300 | |
Seneca Foods Corp. Class A (a) | 10,365 | 647,812 | |
Sovos Brands, Inc. (a) | 53,968 | 731,806 | |
Tattooed Chef, Inc. (a) | 88,204 | 134,070 | |
The Hain Celestial Group, Inc. (a) | 79,008 | 1,621,244 | |
The Hershey Co. | 69,043 | 15,507,058 | |
The JM Smucker Co. | 55,210 | 8,436,088 | |
The Kraft Heinz Co. | 350,315 | 14,198,267 | |
The Simply Good Foods Co. (a) | 65,743 | 2,386,471 | |
Tootsie Roll Industries, Inc. | 28,660 | 1,281,962 | |
TreeHouse Foods, Inc. (a) | 46,311 | 2,242,842 | |
Tyson Foods, Inc. Class A | 141,004 | 9,271,013 | |
Utz Brands, Inc. | 83,304 | 1,387,845 | |
Vital Farms, Inc. (a) | 36,193 | 636,273 |
23 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
FOOD PRODUCTS – continued | |||
Packaged Foods & Meats – continued | |||
Westrock Coffee Co. (a) | 59,050 | $ 772,964 | |
197,108,690 | |||
TOTAL FOOD PRODUCTS | 237,858,067 | ||
HOUSEHOLD PRODUCTS – 19.1% | |||
Household Products – 19.1% | |||
Central Garden and Pet Co. (a) | 18,183 | 762,595 | |
Central Garden and Pet Co. Class A (a) | 41,088 | 1,628,318 | |
Church & Dwight Co., Inc. | 118,491 | 9,581,182 | |
Colgate-Palmolive Co. | 366,676 | 27,328,362 | |
Energizer Holdings, Inc. | 58,997 | 2,188,789 | |
Kimberly-Clark Corp. | 156,645 | 20,365,417 | |
Reynolds Consumer Products, Inc. | 59,590 | 1,773,994 | |
Spectrum Brands Holdings, Inc. | 34,701 | 2,355,504 | |
The Clorox Co. | 61,103 | 8,840,993 | |
The Procter & Gamble Co. | 960,892 | 136,811,803 | |
WD-40 Co. | 10,650 | 1,858,851 | |
TOTAL HOUSEHOLD PRODUCTS | 213,495,808 | ||
PERSONAL PRODUCTS – 4.5% | |||
Personal Products – 4.5% | |||
BellRing Brands, Inc. (a) | 101,602 | 2,881,433 | |
Coty, Inc. Class A (a) | 271,240 | 2,701,550 | |
Edgewell Personal Care Co. | 46,041 | 1,973,317 | |
elf Beauty, Inc. (a) | 52,107 | 2,998,758 | |
Herbalife Nutrition Ltd. (a) | 92,419 | 1,623,802 | |
Inter Parfums, Inc. | 19,503 | 2,305,645 | |
Medifast, Inc. | 11,964 | 1,333,388 | |
Nu Skin Enterprises, Inc. Class A | 43,231 | 1,853,745 | |
The Beauty Health Co. (a) | 117,538 | 1,339,933 | |
The Estee Lauder Cos., Inc. Class A | 106,414 | 29,485,191 |
| |||
Shares | Value | ||
The Honest Co., Inc. (a) | 98,553 | $ 325,225 | |
USANA Health Sciences, Inc. (a) | 20,189 | 1,179,845 | |
Veru, Inc. (a) | 114,451 | 659,238 | |
TOTAL PERSONAL PRODUCTS | 50,661,070 | ||
TOBACCO – 8.6% | |||
Tobacco – 8.6% | |||
Altria Group, Inc. | 825,160 | 37,165,206 | |
Philip Morris International, Inc. | 525,185 | 54,745,284 | |
Turning Point Brands, Inc. | 26,929 | 625,022 | |
Universal Corp. | 28,399 | 1,544,054 | |
Vector Group Ltd. | 146,044 | 1,891,270 | |
TOTAL TOBACCO | 95,970,836 | ||
TOTAL COMMON STOCKS (Cost $1,020,911,710) | 1,115,689,778 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $2,770,000) | 2,770,000 | 2,770,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $1,023,681,710) | 1,118,459,778 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,691,364 | ||
NET ASSETS – 100.0% | $1,120,151,142 |
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 Consumer Staples Select Sector Index Contracts (United States) | 56 | March 2023 | 4,174,240 | $ (60,380) | $ (60,380) |
CME E-mini Russell 2000 Index Contracts (United States) | 1 | March 2023 | 96,970 | 2,613 | 2,613 |
Total Equity Index Contracts | $ (57,767) |
Semi-Annual Report | 24 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,115,689,778 | $ 1,115,689,778 | $ — | $ — | |||||
Money Market Funds | 2,770,000 | 2,770,000 | — | — | |||||
Total Investments in Securities: | $ 1,118,459,778 | $ 1,118,459,778 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 2,613 | $ 2,613 | $ — | $ — | |||||
Total Assets | $ 2,613 | $ 2,613 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (60,380) | $ (60,380) | $ — | $ — | |||||
Total Liabilities | $ (60,380) | $ (60,380) | $ — | $ — | |||||
Total Derivative Instruments: | $ (57,767) | $ (57,767) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $2,613 | $(60,380) | |
Total Equity Risk | 2,613 | (60,380) | |
Total Value of Derivatives | $2,613 | $(60,380) |
(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). |
25 | Semi-Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
ENERGY EQUIPMENT & SERVICES – 10.8% | |||
Oil & Gas Drilling – 1.1% | |||
Diamond Offshore Drilling Inc. (a) | 92,650 | $ 1,061,769 | |
Helmerich & Payne, Inc. (a) | 91,004 | 4,408,234 | |
Nabors Industries Ltd. (a) | 7,961 | 1,413,396 | |
Noble Corp. PLC (a) | 85,229 | 3,467,968 | |
Patterson-UTI Energy, Inc. | 184,233 | 3,095,114 | |
Transocean Ltd. (a) | 572,227 | 3,856,810 | |
Valaris Ltd. (a) | 23,213 | 1,686,192 | |
18,989,483 | |||
Oil & Gas Equipment & Services – 9.7% | |||
Archrock, Inc. | 125,882 | 1,247,491 | |
Baker Hughes Co. | 839,545 | 26,647,158 | |
Bristow Group, Inc. (a) | 9,315 | 284,480 | |
Cactus, Inc. Class A | 52,190 | 2,824,001 | |
ChampionX Corp. | 171,212 | 5,653,420 | |
Core Laboratories N.V. | 42,805 | 1,095,808 | |
DMC Global, Inc. (a) | 20,999 | 477,517 | |
Dril-Quip, Inc. (a) | 32,562 | 999,979 | |
Expro Group Holdings N.V. (a) | 64,496 | 1,218,330 | |
Halliburton Co. | 752,292 | 31,009,476 | |
Helix Energy Solutions Group, Inc. (a) | 136,857 | 1,085,276 | |
Liberty Energy, Inc. | 114,640 | 1,814,751 | |
NexTier Oilfield Solitions, Inc. (a) | 170,690 | 1,607,900 | |
NOV, Inc. | 329,709 | 8,058,088 | |
Oceaneering International, Inc. (a) | 87,909 | 1,876,857 | |
ProFrac Holding Corp. Class A (a) | 16,962 | 381,645 | |
ProPetro Holding Corp. (a) | 74,838 | 744,638 | |
RPC, Inc. | 72,735 | 721,531 | |
Schlumberger N.V. | 1,170,729 | 66,708,139 | |
Select Energy Services, Inc. Class A | 62,621 | 549,813 | |
TechnipFMC PLC (a) | 363,346 | 5,046,876 | |
TETRA Technologies, Inc. (a) | 121,396 | 480,728 | |
Tidewater, Inc. (a) | 11,838 | 513,769 | |
US Silica Holdings, Inc. (a) | 68,575 | 839,358 | |
Weatherford International PLC (a) | 58,724 | 3,340,221 | |
165,227,250 | |||
TOTAL ENERGY EQUIPMENT & SERVICES | 184,216,733 | ||
OIL, GAS & CONSUMABLE FUELS – 89.0% | |||
Coal & Consumable Fuels – 0.6% | |||
Arch Resources, Inc. | 15,270 | 2,260,265 | |
Centrus Energy Corp. Class A (a) | 10,336 | 424,293 | |
CONSOL Energy, Inc. | 29,461 | 1,703,729 | |
Enviva, Inc. | 29,598 | 1,346,117 | |
Peabody Energy Corp. (a) | 98,647 | 2,751,265 | |
Uranium Energy Corp. (a) | 300,022 | 1,209,089 | |
9,694,758 | |||
Integrated Oil & Gas – 40.9% | |||
Chevron Corp. | 1,476,831 | 256,998,131 |
| |||
Shares | Value | ||
Exxon Mobil Corp. | 3,345,518 | $ 388,113,543 | |
Occidental Petroleum Corp. | 771,675 | 49,996,823 | |
695,108,497 | |||
Oil & Gas Exploration & Production – 28.3% | |||
Antero Resources Corp. (a) | 235,834 | 6,801,453 | |
APA Corp. | 309,567 | 13,723,105 | |
Berry Corp. | 57,257 | 526,764 | |
California Resources Corp. | 45,598 | 1,948,403 | |
Callon Petroleum Co. (a) | 50,678 | 2,156,349 | |
Chesapeake Energy Corp. | 85,861 | 7,445,866 | |
Chord Energy Corp. | 35,773 | 5,127,344 | |
Civitas Resources, Inc. | 47,414 | 3,155,402 | |
CNX Resources Corp. (a) | 178,498 | 2,986,272 | |
Comstock Resources, Inc. | 83,134 | 1,010,078 | |
ConocoPhillips | 962,702 | 117,324,493 | |
Coterra Energy, Inc. | 661,203 | 16,549,911 | |
Crescent Energy Co. Class A | 38,480 | 464,069 | |
Denbury, Inc. (a) | 42,170 | 3,659,513 | |
Devon Energy Corp. | 528,857 | 33,444,917 | |
Diamondback Energy, Inc. | 142,360 | 20,801,643 | |
Earthstone Energy Inc. Class A (a) | 46,600 | 647,740 | |
EOG Resources, Inc. | 485,250 | 64,174,312 | |
EQT Corp. | 278,059 | 9,084,188 | |
Gran Tierra Energy, Inc. (a) | 398,331 | 386,301 | |
Gulfport Energy Corp. (a) | 11,370 | 774,865 | |
Hess Corp. | 231,294 | 34,731,107 | |
Kimbell Royalty Partners LP | 49,771 | 810,770 | |
Kosmos Energy Ltd. (a) | 391,699 | 3,098,339 | |
Laredo Petroleum, Inc. (a) | 14,034 | 789,834 | |
Magnolia Oil & Gas Corp. Class A | 144,932 | 3,421,844 | |
Marathon Oil Corp. | 647,152 | 17,777,265 | |
Matador Resources Co. | 99,496 | 6,582,655 | |
Murphy Oil Corp. | 129,255 | 5,636,811 | |
Northern Oil and Gas, Inc. | 58,829 | 1,971,948 | |
Ovintiv, Inc. | 215,971 | 10,632,252 | |
PDC Energy, Inc. | 81,391 | 5,512,612 | |
Permian Resources Corp. | 175,795 | 1,910,892 | |
Pioneer Natural Resources Co. | 190,445 | 43,869,006 | |
Range Resources Corp. | 221,199 | 5,534,399 | |
Ranger Oil Corp. Class A | 18,516 | 777,672 | |
SandRidge Energy, Inc. (a) | 8,844 | 139,824 | |
SilverBow Resources, Inc. (a) | 14,131 | 371,221 | |
Sitio Royalties Corp. Class A | 63,349 | 1,683,183 | |
SM Energy Co. | 104,484 | 3,434,389 | |
Southwestern Energy Co. (a) | 753,243 | 4,157,901 | |
Talos Energy, Inc. (a) | 52,230 | 1,034,676 | |
Tellurian, Inc. (a) | 455,144 | 905,737 | |
Texas Pacific Land Corp. | 5,159 | 10,296,590 | |
VAALCO Energy Inc. | 104,777 | 487,213 | |
Viper Energy Partners LP | 52,441 | 1,665,002 | |
Vitesse Energy Inc. (a) | 8,642 | 137,926 |
Semi-Annual Report | 26 |
Common Stocks – continued | |||
Shares | Value | ||
OIL, GAS & CONSUMABLE FUELS – continued | |||
Oil & Gas Exploration & Production – continued | |||
W&T Offshore, Inc. (a) | 98,220 | $ 610,928 | |
480,174,984 | |||
Oil & Gas Refining & Marketing – 10.1% | |||
Alto Ingredients, Inc. (a) | 94,790 | 321,338 | |
Clean Energy Fuels Corp. (a) | 165,801 | 938,434 | |
CVR Energy, Inc. | 28,462 | 944,938 | |
Delek US Holdings, Inc. | 59,610 | 1,595,164 | |
Gevo, Inc. (a) | 255,253 | 541,136 | |
Green Plains, Inc. (a) | 37,085 | 1,289,445 | |
HF Sinclair Corp. | 136,387 | 7,760,420 | |
Marathon Petroleum Corp. | 503,748 | 64,741,693 | |
Par Pacific Holdings, Inc. (a) | 43,881 | 1,172,939 | |
PBF Energy, Inc. Class A | 82,955 | 3,483,281 | |
Phillips 66 | 398,803 | 39,987,977 | |
REX American Resources Corp. (a) | 16,791 | 549,402 | |
Valero Energy Corp. | 336,454 | 47,113,654 | |
Vertex Energy Inc. (a) | 64,226 | 467,565 | |
World Fuel Services Corp. | 54,178 | 1,533,237 | |
172,440,623 | |||
Oil & Gas Storage & Transportation – 9.1% | |||
Antero Midstream Corp. | 264,827 | 2,886,614 | |
Cheniere Energy, Inc. | 198,402 | 30,313,842 | |
Dorian LPG Ltd. | 32,150 | 638,177 | |
DT Midstream, Inc. | 81,439 | 4,451,456 | |
EnLink Midstream LLC (a) | 229,235 | 2,915,869 | |
Equitrans Midstream Corp. | 352,571 | 2,556,140 | |
Excelerate Energy Inc. Class A | 19,250 | 448,525 | |
Hess Midstream LP Class A | 39,325 | 1,214,356 | |
International Seaways, Inc. | 35,830 | 1,391,637 |
| |||
Shares | Value | ||
Kinder Morgan, Inc. | 1,691,598 | $ 30,956,243 | |
Kinetik Holdings, Inc. | 17,734 | 554,897 | |
New Fortress Energy, Inc. | 36,848 | 1,429,334 | |
NextDecade Corp. (a) | 59,836 | 358,418 | |
ONEOK, Inc. | 371,664 | 25,451,551 | |
Plains GP Holdings LP Class A (a) | 169,848 | 2,223,310 | |
Targa Resources Corp. | 180,238 | 13,521,455 | |
The Williams Cos., Inc. | 1,011,286 | 32,603,861 | |
153,915,685 | |||
TOTAL OIL, GAS & CONSUMABLE FUELS | 1,511,334,547 | ||
TOTAL COMMON STOCKS (Cost $1,123,433,641) | 1,695,551,280 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $2,080,000) | 2,080,000 | 2,080,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,125,513,641) | 1,697,631,280 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,315,336 | ||
NET ASSETS – 100.0% | $1,698,946,616 |
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 Energy Select Sector Index Contracts (United States) | 33 | March 2023 | $3,111,570 | $28,065 | $28,065 |
27 | Semi-Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,695,551,280 | $ 1,695,551,280 | $ — | $ — | |||||
Money Market Funds | 2,080,000 | 2,080,000 | — | — | |||||
Total Investments in Securities: | $ 1,697,631,280 | $ 1,697,631,280 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 28,065 | $ 28,065 | $ — | $ — | |||||
Total Assets | $ 28,065 | $ 28,065 | $ — | $ — | |||||
Total Derivative Instruments: | $ 28,065 | $ 28,065 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $28,065 | $0 | |
Total Equity Risk | 28,065 | 0 | |
Total Value of Derivatives | $28,065 | $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). |
Semi-Annual Report | 28 |
Common Stocks – 99.6% | |||
Shares | Value | ||
BANKS – 34.8% | |||
Diversified Banks – 20.9% | |||
Bank of America Corp. | 2,350,993 | $ 83,413,232 | |
Citigroup, Inc. | 629,271 | 32,860,531 | |
JPMorgan Chase & Co. | 953,590 | 133,464,456 | |
US Bancorp | 458,521 | 22,834,346 | |
Wells Fargo & Co. | 1,232,848 | 57,783,586 | |
330,356,151 | |||
Regional Banks – 13.9% | |||
1st Source Corp. | 6,456 | 317,571 | |
Amalgamated Financial Corp. | 5,200 | 119,340 | |
Amerant Bancorp, Inc. | 8,631 | 240,287 | |
Ameris Bancorp | 23,084 | 1,088,641 | |
Arrow Financial Corp. | 6,447 | 212,171 | |
Associated Banc-Corp. | 50,788 | 1,138,159 | |
Atlantic Union Bankshares Corp. | 24,241 | 937,884 | |
Banc of California, Inc. | 21,135 | 368,172 | |
Bancfirst Corp. | 5,941 | 511,698 | |
Bank First Corp. | 2,786 | 222,490 | |
Bank of Hawaii Corp. | 13,050 | 998,194 | |
Bank of Marin Bancorp | 6,218 | 189,462 | |
Bank OZK | 39,818 | 1,818,488 | |
BankUnited, Inc. | 24,507 | 922,443 | |
Banner Corp. | 8,650 | 560,779 | |
Bar Harbor Bankshares | 5,344 | 166,038 | |
Berkshire Hills Bancorp, Inc. | 14,931 | 463,608 | |
BOK Financial Corp. | 10,098 | 1,014,849 | |
Brookline Bancorp, Inc. | 17,341 | 226,820 | |
Business First Bancshares Inc. | 7,481 | 155,156 | |
Byline Bancorp, Inc. | 8,211 | 203,633 | |
Cadence Bank | 53,613 | 1,371,421 | |
Cambridge Bancorp | 2,206 | 176,480 | |
Camden National Corp. | 5,180 | 218,751 | |
Capital City Bank Group, Inc. | 4,855 | 157,642 | |
Cathay General Bancorp | 23,713 | 1,042,423 | |
Central Pacific Financial Corp. | 5,914 | 133,656 | |
Citizens Financial Group, Inc. | 160,886 | 6,969,582 | |
City Holding Co. | 3,499 | 331,670 | |
Coastal Financial Corp. (a) | 3,651 | 166,741 | |
Columbia Banking System, Inc. | 26,291 | 812,655 | |
Comerica, Inc. | 42,976 | 3,150,571 | |
Commerce Bancshares, Inc. | 36,777 | 2,447,877 | |
Community Bank System, Inc. | 17,089 | 986,206 | |
Community Trust Bancorp, Inc. | 6,212 | 267,613 | |
ConnectOne Bancorp, Inc. | 12,401 | 294,772 | |
CrossFirst Bankshares, Inc. (a) | 16,229 | 219,091 | |
Cullen/Frost Bankers, Inc. | 19,964 | 2,600,910 | |
Customers Bancorp, Inc. (a) | 10,986 | 333,645 | |
CVB Financial Corp. | 47,486 | 1,150,111 | |
Dime Community Bancshares, Inc. | 11,321 | 337,592 | |
Eagle Bancorp, Inc. | 8,114 | 385,334 |
| |||
Shares | Value | ||
East West Bancorp, Inc. | 46,245 | $ 3,631,157 | |
Eastern Bankshares, Inc. | 52,941 | 856,056 | |
Enterprise Financial Services Corp. | 12,480 | 665,434 | |
Equity Bancshares, Inc. Class A | 4,661 | 139,131 | |
Farmers National Banc Corp. | 10,474 | 150,616 | |
FB Financial Corp. | 12,173 | 457,218 | |
Fifth Third Bancorp | 222,740 | 8,083,235 | |
First Bancorp | 12,741 | 507,729 | |
First BanCorp | 57,887 | 778,580 | |
First Busey Corp. | 17,024 | 406,363 | |
First Citizens BancShares, Inc. Class A | 3,929 | 3,055,505 | |
First Commonwealth Financial Corp. | 21,144 | 311,028 | |
First Community Bankshares, Inc. | 5,734 | 186,412 | |
First Financial Bancorp | 23,110 | 585,376 | |
First Financial Bankshares, Inc. | 44,369 | 1,580,424 | |
First Financial Corp. | 4,531 | 203,533 | |
First Foundation, Inc. | 17,055 | 264,864 | |
First Hawaiian, Inc. | 42,708 | 1,171,908 | |
First Horizon Corp. | 175,031 | 4,328,517 | |
First Interstate Bancsystem, Inc. Class A | 30,037 | 1,077,728 | |
First Merchants Corp. | 19,301 | 822,995 | |
First Mid Bancshares, Inc. | 6,979 | 224,235 | |
First Republic Bank | 59,651 | 8,403,633 | |
Five Star Bancorp | 3,159 | 85,167 | |
Flushing Financial Corp. | 10,880 | 208,787 | |
FNB Corp. | 116,767 | 1,666,265 | |
Fulton Financial Corp. | 54,320 | 908,774 | |
German American Bancorp, Inc. | 10,205 | 393,097 | |
Glacier Bancorp, Inc. | 36,482 | 1,663,214 | |
Great Southern Bancorp, Inc. | 3,977 | 232,416 | |
Hancock Whitney Corp. | 28,509 | 1,467,643 | |
Hanmi Financial Corp. | 5,332 | 124,182 | |
Harborone Bancorp, Inc. | 16,483 | 224,828 | |
HBT Financial Inc. | 2,438 | 51,125 | |
Heartland Financial USA, Inc. | 13,770 | 681,202 | |
Heritage Commerce Corp. | 21,556 | 261,259 | |
Heritage Financial Corp. | 7,803 | 222,620 | |
Hilltop Holdings, Inc. | 17,506 | 572,446 | |
Home BancShares, Inc. | 64,731 | 1,545,129 | |
HomeStreet, Inc. | 4,501 | 124,093 | |
Hope Bancorp, Inc. | 32,600 | 420,214 | |
Horizon Bancorp, Inc. | 12,952 | 202,569 | |
Huntington Bancshares, Inc. | 468,142 | 7,101,714 | |
Independent Bank Corp. | 8,010 | 177,582 | |
Independent Bank Corp./MA | 14,994 | 1,194,872 | |
Independent Bank Group, Inc. | 12,789 | 783,966 | |
International Bancshares Corp. | 18,177 | 851,956 | |
KeyCorp | 302,739 | 5,809,561 | |
Lakeland Bancorp, Inc. | 21,998 | 423,901 |
29 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BANKS – continued | |||
Regional Banks – continued | |||
Lakeland Financial Corp. | 8,898 | $ 629,178 | |
Live Oak Bancshares, Inc. | 11,322 | 387,552 | |
M&T Bank Corp. | 57,008 | 8,893,248 | |
Mercantile Bank Corp. | 5,700 | 195,681 | |
Metrocity Bankshares Inc. | 5,675 | 114,749 | |
Metropolitan Bank Holding Corp. (a) | 3,385 | 201,001 | |
Mid Penn Bancorp Inc. | 4,036 | 127,013 | |
Midland States Bancorp, Inc. | 7,414 | 188,909 | |
MidWestOne Financial Group, Inc. | 5,202 | 162,042 | |
National Bank Holdings Corp. Class A | 10,906 | 460,560 | |
NBT Bancorp, Inc. | 11,425 | 449,117 | |
Nicolet Bankshares, Inc. (a) | 4,309 | 314,083 | |
Northwest Bancshares, Inc. | 31,074 | 439,386 | |
OceanFirst Financial Corp. | 19,202 | 459,312 | |
OFG Bancorp | 13,258 | 375,334 | |
Old National Bancorp | 95,855 | 1,677,462 | |
Old Second Bancorp, Inc. | 12,933 | 219,732 | |
Origin Bancorp, Inc. | 7,697 | 288,637 | |
Pacific Premier Bancorp, Inc. | 29,158 | 942,970 | |
PacWest Bancorp | 38,240 | 1,057,718 | |
Park National Corp. | 5,526 | 692,131 | |
Pathward Financial, Inc. | 7,628 | 378,501 | |
Peapack-Gladstone Financial Corp. | 6,089 | 225,841 | |
Peoples Bancorp, Inc. | 9,814 | 291,181 | |
Pinnacle Financial Partners, Inc. | 25,078 | 1,974,391 | |
Popular, Inc. | 24,803 | 1,702,478 | |
Preferred Bank | 2,171 | 154,423 | |
Premier Financial Corp. | 12,832 | 321,057 | |
Prosperity Bancshares, Inc. | 29,617 | 2,246,746 | |
QCR Holdings, Inc. | 5,485 | 288,292 | |
Regions Financial Corp. | 303,301 | 7,139,706 | |
Renasant Corp. | 15,826 | 563,089 | |
Republic Bancorp, Inc. Class A | 3,521 | 158,375 | |
S&T Bancorp, Inc. | 11,681 | 424,955 | |
Sandy Spring Bancorp, Inc. | 15,645 | 528,801 | |
Seacoast Banking Corp. of Florida | 20,936 | 672,255 | |
ServisFirst Bancshares, Inc. | 15,830 | 1,079,289 | |
Signature Bank | 20,560 | 2,651,212 | |
Silvergate Capital Corp. Class A (a) | 10,300 | 146,672 | |
Simmons First National Corp. Class A | 38,618 | 861,568 | |
SmartFinancial Inc. | 4,268 | 115,108 | |
South Plains Financial Inc. | 3,478 | 97,732 | |
Southside Bancshares, Inc. | 10,862 | 411,453 | |
SouthState Corp. | 24,835 | 1,976,866 | |
Stellar Bancorp, Inc. | 15,203 | 427,356 | |
Stock Yards Bancorp, Inc. | 10,046 | 602,358 | |
SVB Financial Group (a) | 19,277 | 5,830,136 |
| |||
Shares | Value | ||
Synovus Financial Corp. | 48,042 | $ 2,015,362 | |
Texas Capital Bancshares, Inc. (a) | 16,829 | 1,111,892 | |
The Bancorp, Inc. (a) | 17,783 | 603,377 | |
The First Bancshares, Inc. | 8,164 | 250,227 | |
The First of Long Island Corp. | 8,455 | 149,315 | |
The PNC Financial Services Group, Inc. | 133,168 | 22,029,982 | |
Tompkins Financial Corp. | 4,386 | 330,397 | |
Towne Bank | 22,419 | 683,107 | |
Trico Bancshares | 10,275 | 519,401 | |
Triumph Bancorp, Inc. (a) | 8,105 | 451,692 | |
Truist Financial Corp. | 430,643 | 21,269,458 | |
Trustmark Corp. | 19,551 | 569,325 | |
UMB Financial Corp. | 15,170 | 1,368,182 | |
Umpqua Holdings Corp. | 72,423 | 1,318,099 | |
United Bankshares, Inc. | 46,109 | 1,853,582 | |
United Community Banks, Inc. | 36,087 | 1,174,271 | |
Univest Financial Corp. | 10,940 | 297,021 | |
Valley National Bancorp | 142,499 | 1,692,888 | |
Veritex Holdings, Inc. | 16,888 | 475,397 | |
Washington Federal, Inc. | 22,164 | 785,935 | |
Washington Trust Bancorp, Inc. | 6,315 | 270,093 | |
Webster Financial Corp. | 57,082 | 3,005,367 | |
WesBanco, Inc. | 19,374 | 720,132 | |
Westamerica BanCorp. | 7,079 | 393,309 | |
Western Alliance Bancorp | 35,304 | 2,660,862 | |
Wintrust Financial Corp. | 19,951 | 1,824,918 | |
Zions Bancorp NA | 49,434 | 2,627,911 | |
220,718,043 | |||
TOTAL BANKS | 551,074,194 | ||
CAPITAL MARKETS – 27.4% | |||
Asset Management & Custody Banks – 9.2% | |||
Affiliated Managers Group, Inc. | 12,415 | 2,144,567 | |
Ameriprise Financial, Inc. | 35,119 | 12,295,864 | |
Ares Management Corp. Class A | 50,202 | 4,166,264 | |
Artisan Partners Asset Management, Inc. Class A (a) | 21,877 | 805,511 | |
Assetmark Financial Holdings, Inc. (a) | 7,649 | 203,004 | |
BlackRock, Inc. | 48,990 | 37,193,698 | |
Blackstone, Inc. Class A | 227,930 | 21,872,163 | |
Blucora, Inc. (a) | 13,741 | 400,413 | |
Blue Owl Capital, Inc. | 81,418 | 1,024,238 | |
Brightsphere Investment Group, Inc. | 11,322 | 265,501 | |
Cohen & Steers, Inc. | 8,874 | 651,973 | |
Diamond Hill Investment Group, Inc. | 1,049 | 197,663 | |
Federated Hermes, Inc. | 28,062 | 1,102,837 | |
Focus Financial Partners, Inc. Class A (a) | 19,889 | 897,988 | |
Franklin Resources, Inc. | 96,775 | 3,019,380 |
Semi-Annual Report | 30 |
Common Stocks – continued | |||
Shares | Value | ||
CAPITAL MARKETS – continued | |||
Asset Management & Custody Banks – continued | |||
Hamilton Lane, Inc. Class A | 11,916 | $ 927,780 | |
Invesco Ltd. | 110,756 | 2,050,094 | |
Janus Henderson Group PLC | 46,661 | 1,209,453 | |
KKR & Co., Inc. | 181,429 | 10,125,553 | |
Northern Trust Corp. | 64,261 | 6,231,389 | |
SEI Investments Co. | 37,385 | 2,333,946 | |
State Street Corp. | 119,331 | 10,898,500 | |
StepStone Group, Inc. Class A | 16,420 | 479,300 | |
T Rowe Price Group, Inc. | 73,254 | 8,531,893 | |
The Bank of New York Mellon Corp. | 249,203 | 12,602,196 | |
The Carlyle Group, Inc. | 64,517 | 2,320,676 | |
TPG, Inc. | 12,545 | 404,074 | |
Victory Capital Holdings, Inc. Class A | 5,881 | 174,313 | |
Virtus Investment Partners, Inc. | 2,483 | 533,547 | |
WisdomTree Investments, Inc. | 37,147 | 213,967 | |
145,277,745 | |||
Financial Exchanges & Data – 8.9% | |||
Cboe Global Markets, Inc. | 34,868 | 4,284,580 | |
CME Group, Inc. | 116,726 | 20,620,815 | |
Coinbase Global, Inc. Class A (a) | 40,551 | 2,371,422 | |
Donnelley Financial Solutions, Inc. (a) | 8,909 | 406,340 | |
FactSet Research Systems, Inc. | 12,340 | 5,219,080 | |
Intercontinental Exchange, Inc. | 181,283 | 19,496,987 | |
MarketAxess Holdings, Inc. | 12,196 | 4,437,515 | |
Moody's Corp. | 53,600 | 17,299,400 | |
Morningstar, Inc. | 8,264 | 2,007,160 | |
MSCI, Inc. | 26,125 | 13,887,005 | |
Nasdaq, Inc. | 112,197 | 6,753,137 | |
Open Lending Corp. Class A (a) | 37,128 | 325,613 | |
S&P Global, Inc. | 110,710 | 41,509,607 | |
Tradeweb Markets, Inc. Class A | 34,858 | 2,598,315 | |
141,216,976 | |||
Investment Banking & Brokerage – 9.3% | |||
B Riley Financial, Inc. | 5,088 | 217,410 | |
BGC Partners, Inc. Class A | 101,999 | 443,696 | |
Cowen, Inc. Class A | 8,441 | 328,186 | |
Evercore, Inc. Class A | 12,398 | 1,609,384 | |
Freedom Holding Corp. (a) | 5,740 | 369,656 | |
Goldman Sachs Group, Inc. | 111,000 | 40,604,910 | |
Houlihan Lokey, Inc. | 16,217 | 1,606,618 | |
Interactive Brokers Group, Inc. Class A | 31,594 | 2,525,624 | |
Jefferies Financial Group, Inc. | 60,356 | 2,370,784 | |
LPL Financial Holdings, Inc. | 25,900 | 6,141,408 | |
Moelis & Co. Class A | 21,401 | 1,000,497 | |
Morgan Stanley | 418,439 | 40,726,668 | |
Perella Weinberg Partners | 14,832 | 152,028 |
| |||
Shares | Value | ||
Piper Sandler Cos. | 5,900 | $ 838,390 | |
PJT Partners, Inc. Class A | 7,536 | 603,106 | |
Raymond James Financial, Inc. | 63,053 | 7,110,487 | |
Stifel Financial Corp. | 34,395 | 2,318,567 | |
StoneX Group, Inc. (a) | 5,782 | 508,122 | |
The Charles Schwab Corp. | 472,540 | 36,584,047 | |
Virtu Financial, Inc. Class A | 28,485 | 550,045 | |
146,609,633 | |||
TOTAL CAPITAL MARKETS | 433,104,354 | ||
CONSUMER FINANCE – 5.2% | |||
Consumer Finance – 5.2% | |||
Ally Financial, Inc. | 101,183 | 3,287,436 | |
American Express Co. | 207,047 | 36,218,732 | |
Atlanticus Holdings Corp. (a) | 1,633 | 53,072 | |
Bread Financial Holdings, Inc. | 3,086 | 126,619 | |
Capital One Financial Corp. | 124,580 | 14,825,020 | |
Credit Acceptance Corp. (a) | 2,114 | 978,021 | |
Discover Financial Services | 88,670 | 10,350,449 | |
Encore Capital Group, Inc. (a) | 7,977 | 444,478 | |
Enova International, Inc. (a) | 10,918 | 498,407 | |
Ezcorp, Inc. Class A (a) | 17,427 | 158,760 | |
FirstCash Holdings, Inc. | 13,044 | 1,202,396 | |
Green Dot Corp. Class A (a) | 16,591 | 299,965 | |
LendingClub Corp. (a) | 33,961 | 329,082 | |
LendingTree, Inc. (a) | 3,818 | 151,422 | |
Navient Corp. | 47,224 | 895,839 | |
Nelnet, Inc. Class A | 4,822 | 460,453 | |
OneMain Holdings, Inc. | 38,699 | 1,669,475 | |
PRA Group, Inc. (a) | 13,051 | 525,172 | |
PROG Holdings, Inc. (a) | 17,000 | 378,930 | |
SLM Corp. | 82,967 | 1,457,730 | |
SoFi Technologies, Inc. (a) | 196,844 | 1,364,129 | |
Synchrony Financial | 157,573 | 5,787,656 | |
Upstart Holdings, Inc. (a) | 23,942 | 447,237 | |
World Acceptance Corp. (a) | 1,145 | 109,599 | |
TOTAL CONSUMER FINANCE | 82,020,079 | ||
DIVERSIFIED FINANCIAL SERVICES – 9.4% | |||
Multi-Sector Holdings – 8.4% | |||
Berkshire Hathaway, Inc. Class B (a) | 423,091 | 131,801,309 | |
Cannae Holdings, Inc. (a) | 24,387 | 596,018 | |
Compass Diversified Holdings | 21,138 | 471,800 | |
132,869,127 | |||
Other Diversified Financial Services – 1.0% | |||
Apollo Global Management, Inc. | 129,742 | 9,183,139 | |
Equitable Holdings, Inc. | 121,807 | 3,906,350 | |
Jackson Financial, Inc. Class A | 16,897 | 744,144 | |
Voya Financial, Inc. | 31,939 | 2,228,384 | |
16,062,017 |
31 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
DIVERSIFIED FINANCIAL SERVICES – continued | |||
Specialized Finance – 0.0% | |||
A-Mark Precious Metals, Inc. | 6,388 | $ 245,938 | |
TOTAL DIVERSIFIED FINANCIAL SERVICES | 149,177,082 | ||
INSURANCE – 20.6% | |||
Insurance Brokers – 5.0% | |||
Aon PLC Class A | 68,505 | 21,831,173 | |
Arthur J Gallagher & Co. | 68,267 | 13,361,217 | |
Brown & Brown, Inc. | 77,941 | 4,564,225 | |
BRP Group, Inc. Class A (a) | 19,852 | 568,760 | |
Goosehead Insurance, Inc. Class A (a) | 6,435 | 251,287 | |
Hagerty, Inc. Class A (a) | 7,800 | 74,958 | |
Hippo Holdings, Inc. (a) | 4,599 | 77,171 | |
Marsh & McLennan Cos., Inc. | 162,147 | 28,361,132 | |
Ryan Specialty Holdings, Inc. (a) | 27,356 | 1,165,913 | |
Willis Towers Watson PLC | 35,703 | 9,075,345 | |
79,331,181 | |||
Life & Health Insurance – 4.2% | |||
Aflac, Inc. | 194,876 | 14,323,386 | |
American Equity Investment Life Holding Co. | 24,482 | 1,166,567 | |
Brighthouse Financial, Inc. (a) | 23,578 | 1,326,734 | |
CNO Financial Group, Inc. | 38,965 | 1,003,738 | |
Genworth Financial, Inc. Class A (a) | 173,544 | 957,963 | |
Globe Life, Inc. | 30,049 | 3,631,422 | |
Lincoln National Corp. | 52,735 | 1,868,401 | |
MetLife, Inc. | 220,064 | 16,069,073 | |
National Western Life Group, Inc. Class A | 896 | 248,013 | |
Oscar Health, Inc. Class A (a) | 13,845 | 53,165 | |
Primerica, Inc. | 12,154 | 1,965,910 | |
Principal Financial Group, Inc. | 81,802 | 7,570,775 | |
Prudential Financial, Inc. | 120,760 | 12,672,554 | |
Trupanion, Inc. (a) | 11,490 | 678,140 | |
Unum Group | 64,877 | 2,726,780 | |
66,262,621 | |||
Multi-line Insurance – 1.7% | |||
American International Group, Inc. | 246,842 | 15,605,351 | |
Assurant, Inc. | 17,893 | 2,372,433 | |
Horace Mann Educators Corp. | 10,908 | 388,434 | |
The Hartford Financial Services Group, Inc. | 105,350 | 8,176,214 | |
26,542,432 | |||
Property & Casualty Insurance – 9.0% | |||
Ambac Financial Group, Inc. (a) | 14,640 | 243,902 | |
American Financial Group, Inc. | 24,343 | 3,471,068 | |
AMERISAFE, Inc. | 6,467 | 356,202 | |
Arch Capital Group Ltd. (a) | 119,819 | 7,710,353 |
| |||
Shares | Value | ||
Argo Group International Holdings Ltd. | 11,443 | $ 317,658 | |
Assured Guaranty Ltd. | 19,611 | 1,227,649 | |
Axis Capital Holdings Ltd. | 27,540 | 1,723,178 | |
Chubb Ltd. | 135,718 | 30,874,488 | |
Cincinnati Financial Corp. | 49,098 | 5,555,439 | |
Donegal Group, Inc. Class A | 5,830 | 88,499 | |
Employers Holdings, Inc. | 6,139 | 269,318 | |
Erie Indemnity Co. Class A | 8,257 | 2,017,598 | |
Fidelity National Financial, Inc. | 85,214 | 3,751,973 | |
First American Financial Corp. | 33,817 | 2,092,258 | |
HCI Group, Inc. | 2,562 | 128,638 | |
James River Group Holdings Ltd. | 13,097 | 296,778 | |
Kemper Corp. | 21,000 | 1,233,330 | |
Kinsale Capital Group, Inc. | 7,044 | 1,961,331 | |
Lemonade, Inc. (a) | 14,621 | 238,030 | |
Loews Corp. | 66,473 | 4,086,760 | |
Markel Corp. (a) | 4,394 | 6,191,058 | |
MBIA, Inc. (a) | 14,925 | 194,174 | |
Mercury General Corp. | 9,417 | 336,469 | |
Old Republic International Corp. | 95,261 | 2,513,938 | |
Palomar Holdings, Inc. (a) | 8,258 | 422,066 | |
ProAssurance Corp. | 13,572 | 263,161 | |
RLI Corp. | 13,337 | 1,766,486 | |
Safety Insurance Group, Inc. | 3,885 | 327,855 | |
Selective Insurance Group, Inc. | 19,723 | 1,873,685 | |
Stewart Information Services Corp. | 7,616 | 363,816 | |
The Allstate Corp. | 87,747 | 11,272,857 | |
The Hanover Insurance Group, Inc. | 11,695 | 1,573,913 | |
The Progressive Corp. | 189,953 | 25,900,092 | |
The Travelers Cos., Inc. | 77,030 | 14,721,974 | |
United Fire Group, Inc. | 7,239 | 227,956 | |
Universal Insurance Holdings, Inc. | 9,570 | 121,922 | |
White Mountains Insurance Group Ltd. | 852 | 1,301,822 | |
WR Berkley Corp. | 68,878 | 4,831,103 | |
141,848,797 | |||
Reinsurance – 0.7% | |||
Enstar Group Ltd. (a) | 3,659 | 886,576 | |
Everest Re Group Ltd. | 12,791 | 4,472,885 | |
Reinsurance Group of America, Inc. | 21,741 | 3,299,631 | |
RenaissanceRe Holdings Ltd. | 14,191 | 2,777,037 | |
SiriusPoint Ltd. (a) | 28,968 | 219,867 | |
11,655,996 | |||
TOTAL INSURANCE | 325,641,027 | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.2% | |||
Mortgage REITs – 1.2% | |||
AGNC Investment Corp. | 169,684 | 1,968,334 | |
Annaly Capital Management, Inc. | 151,920 | 3,565,563 |
Semi-Annual Report | 32 |
Common Stocks – continued | |||
Shares | Value | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Mortgage REITs – continued | |||
Apollo Commercial Real Estate Finance, Inc. | 44,237 | $ 538,364 | |
Arbor Realty Trust, Inc. | 53,672 | 801,323 | |
Ares Commercial Real Estate Corp. | 17,935 | 220,242 | |
ARMOUR Residential REIT, Inc. | 37,862 | 237,773 | |
Blackstone Mortgage Trust, Inc. Class A | 52,790 | 1,258,514 | |
BrightSpire Capital, Inc. | 31,900 | 243,078 | |
Broadmark Realty Capital, Inc. | 44,923 | 196,763 | |
Chimera Investment Corp. | 76,300 | 556,227 | |
Claros Mortgage Trust Inc. | 24,991 | 418,349 | |
Dynex Capital, Inc. | 14,825 | 213,628 | |
Ellington Financial, Inc. | 18,725 | 257,094 | |
Franklin BSP Realty Trust, Inc. | 26,606 | 385,787 | |
Granite Point Mortgage Trust, Inc. | 17,446 | 116,539 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 30,324 | 1,119,259 | |
Invesco Mortgage Capital, Inc. | 10,802 | 158,681 | |
KKR Real Estate Finance Trust, Inc. | 17,136 | 272,977 | |
Ladder Capital Corp. | 38,115 | 426,888 | |
MFA Financial, Inc. | 29,872 | 355,178 | |
New York Mortgage Trust, Inc. | 120,441 | 375,776 | |
PennyMac Mortgage Investment Trust | 29,513 | 450,073 | |
Ready Capital Corp. | 35,832 | 474,057 | |
Redwood Trust, Inc. | 40,129 | 335,479 | |
Rithm Capital Corp. | 152,483 | 1,434,865 | |
Starwood Property Trust, Inc. | 100,517 | 2,099,800 | |
TPG RE Finance Trust, Inc. | 18,574 | 161,780 | |
Two Harbors Investment Corp. | 27,892 | 500,383 | |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 19,142,774 | ||
THRIFTS & MORTGAGE FINANCE – 1.0% | |||
Thrifts & Mortgage Finance – 1.0% | |||
Axos Financial, Inc. (a) | 18,512 | 890,797 | |
Bridgewater Bancshares Inc. (a) | 6,236 | 97,032 | |
Capitol Federal Financial, Inc. | 47,858 | 400,571 | |
Columbia Financial, Inc. (a) | 13,428 | 266,546 | |
Enact Holdings, Inc. | 11,582 | 291,287 | |
Essent Group Ltd. | 35,753 | 1,574,205 | |
Federal Agricultural Mortgage Corp. Class C | 3,073 | 408,617 |
| |||
Shares | Value | ||
Hingham Institution For Savings The | 501 | $ 146,462 | |
Kearny Financial Corp. | 20,959 | 196,595 | |
Luther Burbank Corp. | 6,202 | 72,811 | |
Merchants Bancorp | 6,145 | 176,792 | |
MGIC Investment Corp. | 103,849 | 1,466,348 | |
Mr. Cooper Group, Inc. (a) | 22,337 | 1,027,279 | |
New York Community Bancorp, Inc. | 228,758 | 2,285,292 | |
NMI Holdings, Inc. Class A (a) | 27,312 | 634,458 | |
Northfield Bancorp, Inc. | 15,621 | 233,534 | |
PennyMac Financial Services, Inc. | 14,903 | 1,004,760 | |
Provident Financial Services, Inc. | 26,166 | 613,854 | |
Radian Group, Inc. | 53,956 | 1,192,428 | |
Rocket Cos., Inc. Class A | 36,909 | 347,314 | |
Southern Missouri Bancorp, Inc. | 2,404 | 116,402 | |
TFS Financial Corp. | 19,142 | 272,774 | |
TrustCo Bank Corp. | 4,098 | 147,159 | |
UWM Holdings Corp. | 28,457 | 130,333 | |
Walker & Dunlop, Inc. | 10,482 | 999,773 | |
Waterstone Financial, Inc. | 7,255 | 116,806 | |
WSFS Financial Corp. | 20,473 | 989,051 | |
TOTAL THRIFTS & MORTGAGE FINANCE | 16,099,280 | ||
TOTAL COMMON STOCKS (Cost $1,446,891,607) | 1,576,258,790 | ||
Money Market Fund – 0.3% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $4,489,000) | 4,489,000 | 4,489,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,451,380,607) | 1,580,747,790 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,440,199 | ||
NET ASSETS – 100.0% | $1,582,187,989 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
33 | Semi-Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Financial Select Sector Index Contracts (United States) | 45 | March 2023 | 5,087,250 | $ 259,713 | $ 259,713 |
CME E-mini Russell 2000 Index Contracts (United States) | 6 | March 2023 | 581,820 | 40,848 | 40,848 |
Total Equity Index Contracts | $ 300,561 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,576,258,790 | $ 1,576,258,790 | $ — | $ — | |||||
Money Market Funds | 4,489,000 | 4,489,000 | — | — | |||||
Total Investments in Securities: | $ 1,580,747,790 | $ 1,580,747,790 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 300,561 | $ 300,561 | $ — | $ — | |||||
Total Assets | $ 300,561 | $ 300,561 | $ — | $ — | |||||
Total Derivative Instruments: | $ 300,561 | $ 300,561 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $300,561 | $0 | |
Total Equity Risk | 300,561 | 0 | |
Total Value of Derivatives | $300,561 | $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). |
Semi-Annual Report | 34 |
Common Stocks – 99.6% | |||
Shares | Value | ||
BIOTECHNOLOGY – 19.0% | |||
Biotechnology – 19.0% | |||
2seventy bio, Inc. (a) | 18,864 | $ 256,550 | |
AbbVie, Inc. | 950,062 | 140,371,660 | |
ACADIA Pharmaceuticals, Inc. (a) | 66,305 | 1,261,784 | |
Adicet Bio, Inc. (a) | 9,581 | 87,666 | |
ADMA Biologics Inc. (a) | 105,357 | 388,767 | |
Aerovate Therapeutics Inc. (a) | 4,611 | 105,361 | |
Agenus, Inc. (a) | 144,272 | 376,550 | |
Agios Pharmaceuticals, Inc. (a) | 26,112 | 769,782 | |
Akero Therapeutics, Inc. (a) | 15,742 | 779,229 | |
Akouos, Inc. (a) | 11,863 | 9,372 | |
Albireo Pharma, Inc. (a) | 9,280 | 414,445 | |
Alector, Inc. (a) | 29,560 | 260,719 | |
Alkermes PLC (a) | 88,055 | 2,521,895 | |
Allakos, Inc. (a) | 34,231 | 254,336 | |
Allogene Therapeutics, Inc. (a) | 46,936 | 362,346 | |
Allovir, Inc. (a) | 24,840 | 143,575 | |
Alnylam Pharmaceuticals, Inc. (a) | 64,494 | 14,601,442 | |
Altimmune Inc. (a) | 26,409 | 360,219 | |
ALX Oncology Holdings, Inc. (a) | 9,770 | 90,861 | |
Amgen, Inc. | 287,438 | 72,549,351 | |
Amicus Therapeutics, Inc. (a) | 114,754 | 1,496,392 | |
AnaptysBio, Inc. (a) | 9,541 | 237,475 | |
Anavex Life Sciences Corp. (a) | 41,909 | 455,551 | |
Anika Therapeutics, Inc. (a) | 7,512 | 232,947 | |
Apellis Pharmaceuticals, Inc. (a) | 47,344 | 2,496,449 | |
Arcellx Inc. (a) | 8,259 | 275,933 | |
Arcturus Therapeutics Holdings, Inc. (a) | 13,149 | 277,838 | |
Arcus Biosciences, Inc. (a) | 23,106 | 499,783 | |
Arcutis Biotherapeutics, Inc. (a) | 22,039 | 365,186 | |
Arrowhead Pharmaceuticals, Inc. (a) | 54,017 | 1,890,055 | |
Atara Biotherapeutics, Inc. (a) | 41,484 | 210,324 | |
Aurinia Pharmaceuticals, Inc. (a) | 64,620 | 584,811 | |
Avid Bioservices, Inc. (a) | 33,937 | 537,223 | |
Avidity Biosciences, Inc. (a) | 28,554 | 676,730 | |
Beam Therapeutics, Inc. (a) | 30,189 | 1,311,712 | |
BioCryst Pharmaceuticals, Inc. (a) | 99,138 | 1,045,906 | |
Biogen, Inc. (a) | 77,975 | 22,682,927 | |
BioMarin Pharmaceutical, Inc. (a) | 99,662 | 11,496,012 | |
Bioxcel Therapeutics, Inc. (a) | 10,184 | 290,448 | |
Bluebird Bio, Inc. (a) | 41,542 | 263,792 | |
Blueprint Medicines Corp. (a) | 31,968 | 1,494,184 | |
Bridgebio Pharma, Inc. (a) | 35,917 | 333,310 | |
C4 Therapeutics, Inc. (a) | 18,138 | 141,295 | |
CareDx, Inc. (a) | 28,650 | 428,031 | |
Caribou Biosciences, Inc. (a) | 25,832 | 186,249 | |
Catalyst Pharmaceuticals, Inc. (a) | 52,200 | 808,578 | |
Celldex Therapeutics, Inc. (a) | 20,187 | 889,439 |
| |||
Shares | Value | ||
Cerevel Therapeutics Holdings, Inc. (a) | 34,064 | $ 1,163,286 | |
Chinook Therapeutics, Inc. (a) | 21,745 | 549,496 | |
Cogent Biosciences Inc. (a) | 17,711 | 266,728 | |
Coherus Biosciences, Inc. (a) | 32,746 | 277,686 | |
Crinetics Pharmaceuticals, Inc. (a) | 20,374 | 399,534 | |
CRISPR Therapeutics AG (a) | 40,067 | 2,044,218 | |
CTI BioPharma Corp. (a) | 49,292 | 272,585 | |
Cullinan Oncology, Inc. (a) | 8,385 | 97,601 | |
Cytokinetics, Inc. (a) | 48,177 | 2,046,559 | |
Deciphera Pharmaceuticals, Inc. (a) | 28,044 | 477,028 | |
Denali Therapeutics, Inc. (a) | 46,491 | 1,407,283 | |
Dynavax Technologies Corp. (a) | 64,418 | 733,077 | |
Dyne Therapeutics, Inc. (a) | 14,762 | 215,525 | |
Eagle Pharmaceuticals, Inc. (a) | 6,636 | 225,226 | |
Editas Medicine, Inc. (a) | 36,334 | 359,343 | |
Emergent BioSolutions, Inc. (a) | 24,665 | 325,331 | |
Enanta Pharmaceuticals, Inc. (a) | 10,680 | 570,098 | |
Entrada Therapeutics Inc. (a) | 5,914 | 71,855 | |
EQRx, Inc. (a) | 77,913 | 190,887 | |
Erasca, Inc. (a) | 37,026 | 148,104 | |
Exact Sciences Corp. (a) | 94,911 | 6,408,391 | |
Exelixis, Inc. (a) | 172,846 | 3,045,547 | |
Fate Therapeutics, Inc. (a) | 42,068 | 250,725 | |
FibroGen, Inc. (a) | 48,368 | 1,141,485 | |
G1 Therapeutics, Inc. (a) | 23,096 | 184,306 | |
Generation Bio Co. (a) | 24,254 | 143,099 | |
Geron Corp. (a) | 179,857 | 593,528 | |
Gilead Sciences, Inc. | 673,479 | 56,531,827 | |
Gossamer Bio, Inc. (a) | 27,403 | 72,344 | |
GreenLight Biosciences Holdings PBC (a) | 32,344 | 35,255 | |
Halozyme Therapeutics, Inc. (a) | 74,061 | 3,834,138 | |
Heron Therapeutics, Inc. (a) | 63,325 | 171,611 | |
HilleVax Inc. (a) | 6,300 | 107,730 | |
Horizon Therapeutics PLC (a) | 117,604 | 12,903,511 | |
Humacyte, Inc. (a) | 27,483 | 72,280 | |
Ideaya Biosciences, Inc. (a) | 20,596 | 350,750 | |
IGM Biosciences, Inc. (a) | 5,715 | 129,902 | |
ImmunityBio, Inc. (a) | 63,526 | 241,399 | |
ImmunoGen, Inc. (a) | 106,733 | 490,972 | |
Immunovant, Inc. (a) | 19,923 | 354,032 | |
Incyte Corp. (a) | 101,447 | 8,637,198 | |
Inhibrx, Inc. (a) | 13,080 | 327,000 | |
Inovio Pharmaceuticals, Inc. (a) | 125,008 | 207,513 | |
Insmed, Inc. (a) | 71,612 | 1,541,806 | |
Intellia Therapeutics, Inc. (a) | 36,644 | 1,555,171 | |
Intercept Pharmaceuticals, Inc. (a) | 17,927 | 327,347 | |
Ionis Pharmaceuticals, Inc. (a) | 68,637 | 2,736,557 | |
Iovance Biotherapeutics, Inc. (a) | 62,973 | 501,265 | |
Ironwood Pharmaceuticals, Inc. (a) | 73,578 | 847,619 |
35 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BIOTECHNOLOGY – continued | |||
Biotechnology – continued | |||
iTeos Therapeutics, Inc. (a) | 10,296 | $ 215,186 | |
IVERIC bio, Inc. (a) | 61,379 | 1,417,855 | |
Karuna Therapeutics, Inc. (a) | 14,364 | 2,864,038 | |
Karyopharm Therapeutics, Inc. (a) | 57,849 | 190,902 | |
Keros Therapeutics, Inc. (a) | 8,748 | 512,370 | |
Kezar Life Sciences, Inc. (a) | 25,624 | 183,724 | |
Kiniksa Pharmaceuticals Ltd. Class A (a) | 16,471 | 238,171 | |
Kodiak Sciences, Inc. (a) | 19,666 | 158,901 | |
Krystal Biotech, Inc. (a) | 9,698 | 806,098 | |
Kura Oncology, Inc. (a) | 31,582 | 436,463 | |
Kymera Therapeutics, Inc. (a) | 18,259 | 682,521 | |
Lexicon Pharmaceuticals, Inc. (a) | 40,782 | 91,352 | |
Madrigal Pharmaceuticals, Inc. (a) | 6,419 | 1,850,277 | |
MannKind Corp. (a) | 130,431 | 713,458 | |
MeiraGTx Holdings PLC (a) | 15,276 | 127,707 | |
Mersana Therapeutics, Inc. (a) | 40,285 | 265,075 | |
Merus N.V. (a) | 16,242 | 253,375 | |
MiMedx Group, Inc. (a) | 38,986 | 150,876 | |
Mirati Therapeutics, Inc. (a) | 21,092 | 1,126,524 | |
Mirum Pharmaceuticals, Inc. (a) | 10,662 | 250,344 | |
Moderna, Inc. (a) | 178,675 | 31,457,520 | |
Monte Rosa Therapeutics, Inc. (a) | 11,681 | 86,439 | |
Morphic Holding, Inc. (a) | 11,397 | 373,024 | |
Myovant Sciences Ltd. (a) | 23,780 | 639,206 | |
Myriad Genetics, Inc. (a) | 43,820 | 864,130 | |
Natera, Inc. (a) | 55,429 | 2,379,567 | |
Neurocrine Biosciences, Inc. (a) | 51,426 | 5,704,686 | |
Nkarta, Inc. (a) | 15,726 | 83,820 | |
Novavax, Inc. (a) | 42,156 | 459,922 | |
Nurix Therapeutics, Inc. (a) | 17,861 | 219,512 | |
Nuvalent, Inc. Class A (a) | 9,258 | 280,055 | |
Ocugen, Inc. (a) | 119,471 | 151,728 | |
Organogenesis Holdings, Inc. (a) | 30,812 | 78,879 | |
PMV Pharmaceuticals, Inc. (a) | 10,874 | 89,167 | |
Point Biopharma Global, Inc. (a) | 36,188 | 289,504 | |
Precigen, Inc. (a) | 80,916 | 131,084 | |
ProKidney Corp. (a) | 16,576 | 172,888 | |
Prometheus Biosciences, Inc. (a) | 12,518 | 1,422,796 | |
Protagonist Therapeutics, Inc. (a) | 20,818 | 276,671 | |
Prothena Corp. PLC (a) | 17,712 | 1,001,614 | |
PTC Therapeutics, Inc. (a) | 34,555 | 1,585,729 | |
Radius Health, Inc. (a) | 20,244 | 1,620 | |
Rapt Therapeutics, Inc. (a) | 15,810 | 459,281 | |
Recursion Pharmaceuticals, Inc. Class A (a) | 25,643 | 213,606 | |
Regeneron Pharmaceuticals, Inc. (a) | 57,597 | 43,685,597 | |
REGENXBIO, Inc. (a) | 19,390 | 450,042 | |
Relay Therapeutics, Inc. (a) | 41,812 | 897,286 |
| |||
Shares | Value | ||
Repare Therapeutics, Inc. (a) | 10,761 | $ 133,006 | |
Replimune Group, Inc. (a) | 19,137 | 532,965 | |
REVOLUTION Medicines, Inc. (a) | 32,857 | 878,596 | |
Rhythm Pharmaceuticals, Inc. (a) | 22,117 | 604,900 | |
Rocket Pharmaceuticals, Inc. (a) | 29,220 | 634,951 | |
Roivant Sciences Ltd. (a) | 153,336 | 1,272,689 | |
Sage Therapeutics, Inc. (a) | 28,703 | 1,272,691 | |
Sana Biotechnology, Inc. (a) | 45,266 | 206,413 | |
Sangamo Therapeutics, Inc. (a) | 70,305 | 245,364 | |
Sarepta Therapeutics, Inc. (a) | 42,452 | 5,305,226 | |
Scholar Rock Holding Corp. (a) | 20,709 | 250,579 | |
Seagen, Inc. (a) | 74,327 | 10,367,130 | |
Seres Therapeutics, Inc. (a) | 52,774 | 288,674 | |
Sorrento Therapeutics, Inc. (a) | 248,149 | 237,851 | |
SpringWorks Therapeutics, Inc. (a) | 14,455 | 453,887 | |
Stoke Therapeutics, Inc. (a) | 9,158 | 91,214 | |
Syndax Pharmaceuticals, Inc. (a) | 28,887 | 829,057 | |
Tango Therapeutics, Inc. (a) | 26,089 | 172,187 | |
TG Therapeutics, Inc. (a) | 73,288 | 1,116,176 | |
Travere Therapeutics, Inc. (a) | 29,533 | 661,539 | |
Twist Bioscience Corp. (a) | 29,073 | 834,104 | |
Ultragenyx Pharmaceutical, Inc. (a) | 36,053 | 1,634,282 | |
uniQure N.V. (a) | 22,117 | 469,986 | |
United Therapeutics Corp. (a) | 24,458 | 6,436,612 | |
Vanda Pharmaceuticals, Inc. (a) | 29,389 | 225,708 | |
Vaxcyte, Inc. (a) | 28,223 | 1,279,913 | |
Vera Therapeutics, Inc. (a) | 7,842 | 66,500 | |
Veracyte, Inc. (a) | 38,115 | 957,830 | |
Vericel Corp. (a) | 22,827 | 627,058 | |
Vertex Pharmaceuticals, Inc. (a) | 137,804 | 44,524,472 | |
Verve Therapeutics, Inc. (a) | 17,181 | 390,868 | |
Vir Biotechnology, Inc. (a) | 39,795 | 1,175,942 | |
Viridian Therapeutics, Inc. (a) | 15,857 | 579,098 | |
Xencor, Inc. (a) | 30,989 | 1,020,158 | |
Xenon Pharmaceuticals, Inc. (a) | 25,269 | 987,765 | |
Y-mAbs Therapeutics, Inc. (a) | 17,719 | 79,558 | |
Zentalis Pharmaceuticals, Inc. (a) | 24,388 | 575,557 | |
TOTAL BIOTECHNOLOGY | 596,571,344 | ||
HEALTH CARE EQUIPMENT & SUPPLIES – 19.1% | |||
Health Care Equipment – 17.7% | |||
Abbott Laboratories | 940,992 | 104,026,666 | |
Alphatec Holdings, Inc. (a) | 38,036 | 495,229 | |
AngioDynamics, Inc. (a) | 21,044 | 273,993 | |
Artivion, Inc. (a) | 21,040 | 274,362 | |
AtriCure, Inc. (a) | 23,701 | 1,025,779 | |
AxoGen, Inc. (a) | 21,638 | 204,912 | |
Axonics, Inc. (a) | 21,057 | 1,292,900 | |
Baxter International, Inc. | 270,609 | 12,364,125 | |
Becton Dickinson and Co. | 153,246 | 38,651,706 | |
Boston Scientific Corp. (a) | 769,257 | 35,578,136 |
Semi-Annual Report | 36 |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE EQUIPMENT & SUPPLIES – continued | |||
Health Care Equipment – continued | |||
Butterfly Network, Inc. (a) | 58,087 | $ 159,739 | |
Cardiovascular Systems, Inc. (a) | 21,118 | 294,385 | |
CONMED Corp. | 16,367 | 1,567,304 | |
Cutera, Inc. (a) | 8,086 | 281,635 | |
DexCom, Inc. (a) | 210,948 | 22,590,421 | |
Edwards Lifesciences Corp. (a) | 333,118 | 25,550,151 | |
Enovis Corp. (a) | 26,386 | 1,660,999 | |
Envista Holdings Corp. (a) | 87,645 | 3,417,279 | |
GE Healthcare Inc. (a) | 195,466 | 13,588,796 | |
Glaukos Corp. (a) | 25,314 | 1,241,652 | |
Globus Medical, Inc. Class A (a) | 41,497 | 3,133,023 | |
Heska Corp. (a) | 5,520 | 493,709 | |
Hologic, Inc. (a) | 134,382 | 10,934,663 | |
IDEXX Laboratories, Inc. (a) | 44,735 | 21,495,167 | |
Inari Medical, Inc. (a) | 22,943 | 1,308,898 | |
Inogen, Inc. (a) | 12,001 | 279,983 | |
Inspire Medical Systems, Inc. (a) | 15,507 | 3,924,201 | |
Insulet Corp. (a) | 37,263 | 10,706,405 | |
Integer Holdings Corp. (a) | 17,789 | 1,170,694 | |
Integra LifeSciences Holdings Corp. (a) | 40,544 | 2,323,171 | |
Intuitive Surgical, Inc. (a) | 191,888 | 47,144,963 | |
iRhythm Technologies, Inc. (a) | 16,025 | 1,575,257 | |
LeMaitre Vascular, Inc. | 10,852 | 511,997 | |
LivaNova PLC (a) | 28,764 | 1,616,537 | |
Masimo Corp. (a) | 26,880 | 4,571,750 | |
Medtronic PLC | 714,485 | 59,795,250 | |
Mesa Laboratories, Inc. | 2,868 | 557,941 | |
Nevro Corp. (a) | 17,886 | 656,774 | |
Novocure Ltd. (a) | 50,881 | 4,639,330 | |
NuVasive, Inc. (a) | 27,896 | 1,272,058 | |
Omnicell, Inc. (a) | 23,789 | 1,319,576 | |
Orthofix Medical, Inc. (a) | 11,058 | 239,185 | |
Outset Medical, Inc. (a) | 21,404 | 601,880 | |
Paragon 28, Inc. (a) | 14,217 | 239,556 | |
Penumbra, Inc. (a) | 19,366 | 4,849,440 | |
PROCEPT BioRobotics Corp. (a) | 5,862 | 227,973 | |
QuidelOrtho Corp. (a) | 26,982 | 2,309,929 | |
ResMed, Inc. | 78,680 | 17,968,152 | |
Senseonics Holdings, Inc. (a) | 238,181 | 269,145 | |
Shockwave Medical, Inc. (a) | 19,270 | 3,621,411 | |
SI-BONE, Inc. (a) | 15,140 | 257,834 | |
Steris PLC | 53,741 | 11,098,054 | |
Stryker Corp. | 182,957 | 46,436,316 | |
Surmodics, Inc. (a) | 7,251 | 203,826 | |
Tandem Diabetes Care, Inc. (a) | 34,535 | 1,406,956 | |
Teleflex, Inc. | 25,257 | 6,148,059 | |
TransMedics Group, Inc. (a) | 15,977 | 1,006,871 | |
Treace Medical Concepts, Inc. (a) | 8,490 | 196,034 |
| |||
Shares | Value | ||
Varex Imaging Corp. (a) | 20,872 | $ 448,539 | |
ViewRay, Inc. (a) | 71,525 | 328,300 | |
Zimmer Biomet Holdings, Inc. | 112,743 | 14,356,694 | |
556,185,670 | |||
Health Care Supplies – 1.4% | |||
Align Technology, Inc. (a) | 39,820 | 10,740,649 | |
Atrion Corp. | 765 | 525,785 | |
Avanos Medical, Inc. (a) | 25,567 | 783,373 | |
Bioventus, Inc. Class A (a) | 16,111 | 31,578 | |
Cerus Corp. (a) | 92,191 | 289,480 | |
DENTSPLY SIRONA, Inc. | 115,770 | 4,263,809 | |
Embecta Corp. | 31,217 | 823,817 | |
Establishment Labs Holdings, Inc. (a) | 10,578 | 719,727 | |
Figs, Inc. Class A (a) | 38,232 | 342,176 | |
Haemonetics Corp. (a) | 27,790 | 2,351,034 | |
ICU Medical, Inc. (a) | 11,014 | 2,128,235 | |
Lantheus Holdings, Inc. (a) | 36,833 | 2,117,897 | |
Meridian Bioscience, Inc. (a) | 23,460 | 797,640 | |
Merit Medical Systems, Inc. (a) | 30,541 | 2,179,100 | |
Neogen Corp. (a) | 116,095 | 2,485,594 | |
OraSure Technologies, Inc. (a) | 37,276 | 208,000 | |
OrthoPediatrics Corp. (a) | 7,842 | 369,593 | |
Pulmonx Corp. (a) | 14,721 | 130,870 | |
Silk Road Medical, Inc. (a) | 18,701 | 1,016,586 | |
STAAR Surgical Co. (a) | 22,015 | 1,553,158 | |
The Cooper Cos., Inc. | 26,511 | 9,250,483 | |
UFP Technologies, Inc. (a) | 3,872 | 440,363 | |
43,548,947 | |||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 599,734,617 | ||
HEALTH CARE PROVIDERS & SERVICES – 21.6% | |||
Health Care Distributors – 2.0% | |||
AdaptHealth Corp. (a) | 36,458 | 781,295 | |
AmerisourceBergen Corp. | 83,524 | 14,112,215 | |
Cardinal Health, Inc. | 146,430 | 11,311,717 | |
Henry Schein, Inc. (a) | 73,318 | 6,316,346 | |
McKesson Corp. | 77,231 | 29,245,835 | |
Owens & Minor, Inc. (a) | 39,135 | 772,525 | |
Patterson Cos., Inc. | 47,310 | 1,428,289 | |
63,968,222 | |||
Health Care Facilities – 1.7% | |||
Acadia Healthcare Co., Inc. (a) | 48,787 | 4,099,084 | |
Brookdale Senior Living, Inc. (a) | 93,898 | 270,426 | |
Cano Health, Inc. (a) | 76,874 | 106,086 | |
Community Health Systems, Inc. (a) | 61,211 | 319,521 | |
Encompass Health Corp. | 53,874 | 3,364,431 | |
HCA Healthcare, Inc. | 123,383 | 31,471,302 | |
National HealthCare Corp. | 7,823 | 465,782 | |
Select Medical Holdings Corp. | 57,376 | 1,667,920 | |
Surgery Partners, Inc. (a) | 36,319 | 1,205,791 | |
Tenet Healthcare Corp. (a) | 55,074 | 3,020,809 |
37 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE PROVIDERS & SERVICES – continued | |||
Health Care Facilities – continued | |||
The Ensign Group, Inc. | 28,130 | $ 2,623,123 | |
The Pennant Group, Inc. (a) | 13,995 | 181,095 | |
Universal Health Services, Inc. Class B | 35,400 | 5,246,634 | |
US Physical Therapy, Inc. | 6,984 | 692,464 | |
54,734,468 | |||
Health Care Services – 5.5% | |||
1Life Healthcare, Inc. (a) | 73,277 | 1,171,699 | |
23andMe Holding Co. Class A (a) | 131,675 | 329,188 | |
Accolade, Inc. (a) | 31,658 | 369,449 | |
Addus HomeCare Corp. (a) | 8,719 | 937,467 | |
Agiliti, Inc. (a) | 17,423 | 321,454 | |
agilon health, Inc. (a) | 110,406 | 2,402,435 | |
Amedisys, Inc. (a) | 17,435 | 1,685,267 | |
AMN Healthcare Services, Inc. (a) | 23,311 | 2,234,126 | |
Apollo Medical Holdings, Inc. (a) | 20,850 | 743,094 | |
CareMax, Inc. (a) | 25,596 | 120,045 | |
Castle Biosciences, Inc. (a) | 12,245 | 331,595 | |
Chemed Corp. | 8,034 | 4,058,295 | |
Cigna Corp. | 163,951 | 51,918,363 | |
CorVel Corp. (a) | 5,177 | 922,334 | |
Cross Country Healthcare, Inc. (a) | 19,201 | 532,828 | |
CVS Health Corp. | 705,429 | 62,232,946 | |
DaVita, Inc. (a) | 29,508 | 2,431,164 | |
DocGo, Inc. (a) | 42,661 | 426,610 | |
Enhabit, Inc. (a) | 26,648 | 409,313 | |
Fulgent Genetics, Inc. (a) | 10,495 | 354,521 | |
Guardant Health, Inc. (a) | 49,382 | 1,552,076 | |
Hims & Hers Health, Inc. (a) | 62,858 | 520,464 | |
Invitae Corp. (a) | 120,738 | 284,942 | |
Laboratory Corp. of America Holdings | 48,575 | 12,246,729 | |
LHC Group, Inc. (a) | 15,812 | 2,507,783 | |
ModivCare, Inc. (a) | 6,799 | 729,261 | |
National Research Corp. | 8,341 | 387,189 | |
NeoGenomics, Inc. (a) | 65,463 | 777,701 | |
Oak Street Health, Inc. (a) | 58,059 | 1,687,195 | |
Opko Health, Inc. (a) | 271,368 | 350,065 | |
Option Care Health, Inc. (a) | 78,176 | 2,256,941 | |
Pediatrix Medical Group, Inc. (a) | 42,454 | 651,669 | |
Premier, Inc. Class A | 63,409 | 2,115,324 | |
Privia Health Group, Inc. (a) | 41,475 | 1,121,484 | |
Quest Diagnostics, Inc. | 62,609 | 9,296,184 | |
R1 RCM, Inc. (a) | 77,259 | 1,105,576 | |
RadNet, Inc. (a) | 27,220 | 572,981 | |
Sema4 Holdings Corp. (a) | 57,599 | 24,468 | |
Signify Health, Inc. Class A (a) | 37,823 | 1,076,443 | |
173,196,668 |
| |||
Shares | Value | ||
Managed Health Care – 12.4% | |||
Alignment Healthcare, Inc. (a) | 44,799 | $ 553,268 | |
Centene Corp. (a) | 307,132 | 23,415,744 | |
Clover Health Investments Corp. (a) | 175,949 | 234,012 | |
Elevance Health, Inc. | 128,961 | 64,479,210 | |
HealthEquity, Inc. (a) | 45,283 | 2,755,470 | |
Humana, Inc. | 68,002 | 34,796,623 | |
Molina Healthcare, Inc. (a) | 31,199 | 9,728,784 | |
Progyny, Inc. (a) | 39,481 | 1,357,752 | |
UnitedHealth Group, Inc. | 502,614 | 250,899,883 | |
388,220,746 | |||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 680,120,104 | ||
HEALTH CARE TECHNOLOGY – 0.8% | |||
Health Care Technology – 0.8% | |||
Allscripts Healthcare Solutions, Inc. (a) | 58,639 | 1,050,224 | |
American Well Corp. Class A (a) | 106,554 | 423,019 | |
Certara, Inc. (a) | 55,275 | 1,072,335 | |
Computer Programs & Systems, Inc. (a) | 7,616 | 223,758 | |
Definitive Healthcare Corp. (a) | 18,153 | 224,734 | |
Doximity, Inc. Class A (a) | 51,463 | 1,815,100 | |
Evolent Health, Inc. Class A (a) | 44,442 | 1,431,921 | |
GoodRx Holdings, Inc. Class A (a) | 39,144 | 218,815 | |
Health Catalyst, Inc. (a) | 26,493 | 368,253 | |
HealthStream, Inc. (a) | 13,531 | 327,180 | |
Multiplan Corp. (a) | 101,999 | 134,639 | |
NextGen Healthcare, Inc. (a) | 31,243 | 594,242 | |
Nutex Health Inc. (a) | 175,001 | 234,501 | |
OptimizeRx Corp. (a) | 8,466 | 151,965 | |
Phreesia, Inc. (a) | 26,793 | 1,004,470 | |
Schrodinger, Inc. (a) | 31,259 | 755,843 | |
Simulations Plus, Inc. | 8,566 | 352,405 | |
Teladoc Health, Inc. (a) | 87,148 | 2,562,151 | |
Veeva Systems, Inc. Class A (a) | 75,271 | 12,837,469 | |
TOTAL HEALTH CARE TECHNOLOGY | 25,783,024 | ||
LIFE SCIENCES TOOLS & SERVICES – 12.3% | |||
Life Sciences Tools & Services – 12.3% | |||
10X Genomics, Inc. Class A (a) | 40,956 | 1,917,969 | |
Adaptive Biotechnologies Corp. (a) | 54,400 | 504,288 | |
Agilent Technologies, Inc. | 159,052 | 24,188,628 | |
Avantor, Inc. (a) | 361,587 | 8,641,929 | |
Azenta, Inc. (a) | 40,184 | 2,246,286 | |
BioLife Solutions, Inc. (a) | 16,646 | 390,182 | |
Bionano Genomics, Inc. (a) | 159,535 | 288,758 | |
Bio-Rad Laboratories, Inc. Class A (a) | 11,924 | 5,573,993 | |
Bio-Techne Corp. | 84,345 | 6,718,923 | |
Bruker Corp. | 55,610 | 3,899,373 |
Semi-Annual Report | 38 |
Common Stocks – continued | |||
Shares | Value | ||
LIFE SCIENCES TOOLS & SERVICES – continued | |||
Life Sciences Tools & Services – continued | |||
Charles River Laboratories International, Inc. (a) | 27,331 | $ 6,648,266 | |
Codexis, Inc. (a) | 31,344 | 192,766 | |
CryoPort, Inc. (a) | 26,600 | 607,278 | |
Cytek Biosciences, Inc. (a) | 35,730 | 430,547 | |
Danaher Corp. | 371,337 | 98,174,076 | |
Illumina, Inc. (a) | 84,522 | 18,104,612 | |
Inotiv Inc. (a) | 10,288 | 74,588 | |
IQVIA Holdings, Inc. (a) | 100,217 | 22,990,782 | |
Maravai LifeSciences Holdings, Inc. Class A (a) | 59,588 | 873,560 | |
MaxCyte, Inc. (a) | 40,273 | 235,194 | |
Medpace Holdings, Inc. (a) | 13,361 | 2,953,716 | |
Mettler-Toledo International, Inc. (a) | 12,093 | 18,537,602 | |
NanoString Technologies, Inc. (a) | 24,349 | 257,612 | |
OmniAb Inc. (a) | 43,800 | 181,332 | |
OmniAb Inc. (b) | 3,335 | 0 | |
OmniAb Inc. (b) | 3,335 | 0 | |
Pacific Biosciences of California, Inc. (a) | 116,662 | 1,293,782 | |
PerkinElmer, Inc. | 67,756 | 9,318,483 | |
Quanterix Corp. (a) | 18,558 | 262,225 | |
Quantum-Si, Inc. (a) | 43,471 | 96,506 | |
Repligen Corp. (a) | 28,337 | 5,250,846 | |
Seer, Inc. (a) | 20,485 | 93,207 | |
SomaLogic, Inc. (a) | 72,762 | 253,212 | |
Sotera Health Co. (a) | 52,702 | 908,582 | |
Syneos Health, Inc. (a) | 55,044 | 1,977,180 | |
Thermo Fisher Scientific, Inc. | 210,522 | 120,067,012 | |
Waters Corp. (a) | 32,174 | 10,571,733 | |
West Pharmaceutical Services, Inc. | 39,756 | 10,559,194 | |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 385,284,222 | ||
PHARMACEUTICALS – 26.8% | |||
Pharmaceuticals – 26.8% | |||
Aclaris Therapeutics, Inc. (a) | 25,265 | 426,979 | |
Amneal Pharmaceuticals, Inc. (a) | 51,113 | 112,449 | |
Amphastar Pharmaceuticals, Inc. (a) | 20,829 | 630,286 | |
ANI Pharmaceuticals, Inc. (a) | 7,163 | 320,401 | |
Arvinas, Inc. (a) | 24,595 | 805,978 | |
ATAI Life Sciences N.V. (a) | 64,188 | 114,255 | |
Atea Pharmaceuticals, Inc. (a) | 39,805 | 184,297 | |
Axsome Therapeutics, Inc. (a) | 16,371 | 1,227,825 | |
Bristol-Myers Squibb Co. | 1,147,348 | 83,354,832 | |
Cara Therapeutics, Inc. (a) | 24,121 | 281,733 | |
Cassava Sciences, Inc. (a) | 20,344 | 569,632 | |
Catalent, Inc. (a) | 91,831 | 4,917,550 | |
CinCor Pharma, Inc. (a) | 9,115 | 263,697 | |
Collegium Pharmaceutical, Inc. (a) | 17,421 | 489,182 |
| |||
Shares | Value | ||
Corcept Therapeutics, Inc. (a) | 51,849 | $ 1,185,268 | |
DICE Therapeutics, Inc. (a) | 16,216 | 515,182 | |
Elanco Animal Health, Inc. (a) | 230,478 | 3,164,463 | |
Eli Lilly & Co. | 433,979 | 149,353,873 | |
Esperion Therapeutics, Inc. (a) | 30,472 | 193,802 | |
Evolus, Inc. (a) | 19,239 | 199,893 | |
Fulcrum Therapeutics, Inc. (a) | 20,208 | 254,823 | |
Harmony Biosciences Holdings, Inc. (a) | 12,485 | 601,403 | |
Innoviva, Inc. (a) | 33,376 | 422,206 | |
Intra-Cellular Therapies, Inc. (a) | 45,577 | 2,184,050 | |
Jazz Pharmaceuticals PLC (a) | 33,657 | 5,272,706 | |
Johnson & Johnson | 1,412,751 | 230,871,768 | |
Ligand Pharmaceuticals, Inc. (a) | 8,966 | 624,930 | |
Merck & Co., Inc. | 1,361,220 | 146,208,640 | |
Nektar Therapeutics (a) | 100,600 | 273,632 | |
NGM Biopharmaceuticals, Inc. (a) | 14,122 | 73,999 | |
Nuvation Bio, Inc. (a) | 65,140 | 160,244 | |
Organon & Co. | 137,014 | 4,128,232 | |
Pacira BioSciences, Inc. (a) | 24,527 | 963,175 | |
Perrigo Co. PLC | 72,400 | 2,709,208 | |
Pfizer, Inc. | 3,015,715 | 133,173,974 | |
Phathom Pharmaceuticals, Inc. (a) | 10,705 | 127,711 | |
Phibro Animal Health Corp. Class A | 11,258 | 173,373 | |
Pliant Therapeutics, Inc. (a) | 22,975 | 805,044 | |
Prestige Consumer Healthcare, Inc. (a) | 27,028 | 1,777,361 | |
Provention Bio, Inc. (a) | 41,730 | 361,382 | |
Reata Pharmaceuticals, Inc. Class A (a) | 14,283 | 618,882 | |
Revance Therapeutics, Inc. (a) | 43,371 | 1,504,106 | |
Royalty Pharma PLC Class A | 188,372 | 7,382,299 | |
Scilex Holding Co. | 34,921 | 267,873 | |
SIGA Technologies, Inc. | 24,566 | 180,069 | |
Supernus Pharmaceuticals, Inc. (a) | 28,687 | 1,176,454 | |
Tarsus Pharmaceuticals Inc. (a) | 9,332 | 147,072 | |
Theravance Biopharma, Inc. (a) | 31,930 | 345,163 | |
Tilray Brands, Inc. (a) | 287,469 | 931,400 | |
Ventyx Biosciences Inc. (a) | 9,133 | 383,586 | |
Viatris, Inc. | 652,162 | 7,930,290 | |
Zoetis, Inc. | 251,547 | 41,628,513 | |
Zogenix, Inc. (a) | 23,800 | 16,184 | |
TOTAL PHARMACEUTICALS | 841,991,329 | ||
TOTAL COMMON STOCKS (Cost $2,505,049,849) | 3,129,484,640 |
39 | Semi-Annual Report |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (c) (Cost $5,624,000) | 5,624,000 | $ 5,624,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $2,510,673,849) | 3,135,108,640 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 4,865,928 | ||
NET ASSETS – 100.0% | $3,139,974,568 |
Legend | ||
(a) | Non-income producing. | |
(b) | Level 3 security. | |
(c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Health Care Select Sector Index Contracts (United States) | 73 | March 2023 | 9,871,790 | (318,359) | (318,359) |
CME E-mini Russell 2000 Index Contracts (United States) | 11 | March 2023 | 1,066,670 | 46,009 | 46,009 |
Total Equity Index Contracts | $(272,350) |
Semi-Annual Report | 40 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 3,129,484,640 | $ 3,129,484,640 | $ — | $ — | |||||
Money Market Funds | 5,624,000 | 5,624,000 | — | — | |||||
Total Investments in Securities: | $ 3,135,108,640 | $ 3,135,108,640 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 46,009 | $ 46,009 | $ — | $ — | |||||
Total Assets | $ 46,009 | $ 46,009 | $ — | $ — | |||||
Liabilities | |||||||||
Futures Contracts | $ (318,359) | $ (318,359) | $ — | $ — | |||||
Total Liabilities | $ (318,359) | $ (318,359) | $ — | $ — | |||||
Total Derivative Instruments: | $ (272,350) | $ (272,350) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $46,009 | $(318,359) | |
Total Equity Risk | 46,009 | (318,359) | |
Total Value of Derivatives | $46,009 | $(318,359) |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
41 | Semi-Annual Report |
Common Stocks – 99.7% | |||
Shares | Value | ||
AEROSPACE & DEFENSE – 18.2% | |||
Aerospace & Defense – 18.2% | |||
AAR Corp. (a) | 6,916 | $ 355,759 | |
Aerojet Rocketdyne Holdings, Inc. (a) | 13,958 | 780,531 | |
AeroVironment, Inc. (a) | 4,625 | 411,486 | |
AerSale Corp. (a) | 2,948 | 54,862 | |
Axon Enterprise, Inc. (a) | 13,014 | 2,543,456 | |
BWX Technologies, Inc. | 17,521 | 1,066,328 | |
Cadre Holdings, Inc. | 2,565 | 58,713 | |
Curtiss-Wright Corp. | 7,404 | 1,227,583 | |
Ducommun, Inc. (a) | 2,165 | 125,094 | |
General Dynamics Corp. | 44,936 | 10,472,784 | |
HEICO Corp. | 8,425 | 1,440,254 | |
HEICO Corp. Class A | 14,132 | 1,889,166 | |
Hexcel Corp. | 16,256 | 1,147,348 | |
Howmet Aerospace, Inc. | 72,067 | 2,932,406 | |
Huntington Ingalls Industries, Inc. | 7,703 | 1,698,820 | |
Kaman Corp. | 4,774 | 120,400 | |
Kratos Defense & Security Solutions, Inc. (a) | 24,505 | 280,582 | |
L3Harris Technologies, Inc. | 36,886 | 7,923,851 | |
Leonardo DRS Inc. (a) | 8,115 | 108,335 | |
Lockheed Martin Corp. | 45,999 | 21,309,497 | |
Maxar Technologies, Inc. | 14,315 | 739,656 | |
Mercury Systems, Inc. (a) | 9,952 | 497,451 | |
Moog, Inc. Class A | 5,582 | 532,076 | |
National Presto Industries, Inc. | 1,065 | 81,590 | |
Northrop Grumman Corp. | 28,330 | 12,692,973 | |
Parsons Corp. (a) | 7,073 | 307,817 | |
Raytheon Technologies Corp. | 284,614 | 28,418,708 | |
Rocket Lab USA, Inc. (a) | 26,543 | 131,919 | |
Spirit AeroSystems Holdings, Inc. Class A | 20,316 | 734,423 | |
Textron, Inc. | 40,776 | 2,970,532 | |
The Boeing Co. (a) | 108,741 | 23,161,833 | |
TransDigm Group, Inc. | 9,930 | 7,127,257 | |
Triumph Group, Inc. (a) | 12,505 | 142,432 | |
V2X, Inc. (a) | 2,372 | 104,748 | |
Virgin Galactic Holdings, Inc. (a) | 39,257 | 216,699 | |
Woodward, Inc. | 11,040 | 1,128,950 | |
TOTAL AEROSPACE & DEFENSE | 134,936,319 | ||
AIR FREIGHT & LOGISTICS – 5.9% | |||
Air Freight & Logistics – 5.9% | |||
Air Transport Services Group, Inc. (a) | 3,665 | 103,756 | |
Atlas Air Worldwide Holdings, Inc. (a) | 1,349 | 137,881 | |
CH Robinson Worldwide, Inc. | 23,879 | 2,391,960 |
| |||
Shares | Value | ||
Expeditors International of Washington, Inc. | 31,536 | $ 3,410,618 | |
FedEx Corp. | 47,595 | 9,226,767 | |
Forward Air Corp. | 5,204 | 561,251 | |
GXO Logistics, Inc. (a) | 20,577 | 1,076,795 | |
Hub Group, Inc. Class A (a) | 6,320 | 538,906 | |
United Parcel Service, Inc. Class B | 141,072 | 26,130,767 | |
TOTAL AIR FREIGHT & LOGISTICS | 43,578,701 | ||
AIRLINES – 0.5% | |||
Airlines – 0.5% | |||
Alaska Air Group, Inc. (a) | 6,123 | 314,355 | |
Allegiant Travel Co. (a) | 869 | 74,760 | |
American Airlines Group, Inc. (a) | 31,480 | 508,087 | |
Delta Air Lines, Inc. (a) | 30,943 | 1,209,871 | |
Frontier Group Holdings, Inc. (a) | 8,783 | 110,490 | |
Hawaiian Holdings, Inc. (a) | 2,524 | 31,096 | |
JetBlue Airways Corp. (a) | 16,174 | 129,392 | |
Joby Aviation Inc. (a) | 29,299 | 129,501 | |
SkyWest, Inc. (a) | 2,635 | 54,703 | |
Southwest Airlines Co. | 28,593 | 1,022,772 | |
Spirit Airlines, Inc. | 5,293 | 105,013 | |
Sun Country Airlines Holdings, Inc. (a) | 2,779 | 51,884 | |
TOTAL AIRLINES | 3,741,924 | ||
BUILDING PRODUCTS – 6.9% | |||
Building Products – 6.9% | |||
AAON, Inc. | 8,237 | 628,648 | |
Advanced Drainage Systems, Inc. | 12,924 | 1,303,256 | |
Allegion PLC | 16,940 | 1,991,297 | |
American Woodmark Corp. (a) | 3,145 | 180,177 | |
AO Smith Corp. | 24,764 | 1,676,523 | |
Apogee Enterprises, Inc. | 4,258 | 199,445 | |
Armstrong World Industries, Inc. | 8,908 | 689,568 | |
AZZ, Inc. | 4,853 | 206,155 | |
Builders FirstSource, Inc. (a) | 30,084 | 2,397,695 | |
Carlisle Cos., Inc. | 9,972 | 2,501,576 | |
Carrier Global Corp. | 162,225 | 7,386,104 | |
CSW Industrials, Inc. | 2,851 | 385,484 | |
Fortune Brands Home & Security, Inc. | 24,953 | 1,609,718 | |
Gibraltar Industries, Inc. (a) | 6,074 | 325,384 | |
Griffon Corp. | 8,250 | 337,260 | |
Hayward Holdings, Inc. (a) | 14,476 | 195,281 | |
Insteel Industries, Inc. | 3,747 | 112,373 | |
Janus International Group, Inc. (a) | 15,355 | 168,905 | |
JELD-WEN Holding, Inc. (a) | 16,180 | 204,677 | |
Johnson Controls International PLC | 132,777 | 9,237,296 | |
Lennox International, Inc. | 6,147 | 1,602,031 | |
Masco Corp. | 43,470 | 2,312,604 |
Semi-Annual Report | 42 |
Common Stocks – continued | |||
Shares | Value | ||
BUILDING PRODUCTS – continued | |||
Building Products – continued | |||
Masonite International Corp. (a) | 4,109 | $ 374,823 | |
MasterBrand, Inc. | 24,832 | 228,454 | |
Owens Corning | 18,550 | 1,792,857 | |
PGT Innovations, Inc. (a) | 11,518 | 249,941 | |
Quanex Building Products Corp. | 6,527 | 168,984 | |
Resideo Technologies, Inc. (a) | 28,035 | 539,113 | |
Simpson Manufacturing Co., Inc. | 8,297 | 888,692 | |
The AZEK Co., Inc. (a) | 21,912 | 528,737 | |
Trane Technologies PLC | 44,667 | 8,000,753 | |
Trex Co., Inc. (a) | 21,173 | 1,116,241 | |
UFP Industries, Inc. | 11,834 | 1,107,071 | |
Zurn Elkay Water Solutions Corp. | 34,461 | 753,317 | |
TOTAL BUILDING PRODUCTS | 51,400,440 | ||
COMMERCIAL SERVICES & SUPPLIES – 7.0% | |||
Commercial Printing – 0.1% | |||
Brady Corp. Class A | 8,954 | 478,770 | |
Cimpress PLC (a) | 3,271 | 106,929 | |
Deluxe Corp. | 8,424 | 168,396 | |
Ennis, Inc. | 4,993 | 106,051 | |
860,146 | |||
Diversified Support Services – 2.2% | |||
ACV Auctions, Inc. Class A (a) | 21,441 | 210,122 | |
Aurora Innovation, Inc. (a) | 41,710 | 75,912 | |
Cintas Corp. | 17,555 | 7,789,856 | |
Copart, Inc. (a) | 82,466 | 5,493,060 | |
Driven Brands Holdings, Inc. (a) | 9,763 | 284,982 | |
Healthcare Services Group, Inc. | 14,454 | 194,695 | |
IAA, Inc. (a) | 25,781 | 1,075,841 | |
KAR Auction Services, Inc. (a) | 22,243 | 323,858 | |
Liquidity Services, Inc. (a) | 5,485 | 82,220 | |
Matthews International Corp. Class A | 5,414 | 200,535 | |
UniFirst Corp. | 2,913 | 578,056 | |
Viad Corp. (a) | 3,887 | 114,861 | |
VSE Corp. | 2,089 | 114,686 | |
16,538,684 | |||
Environmental & Facilities Services – 4.3% | |||
ABM Industries, Inc. | 12,861 | 603,310 | |
BrightView Holdings, Inc. (a) | 6,652 | 52,883 | |
Casella Waste Systems, Inc. Class A (a) | 9,801 | 785,256 | |
Clean Harbors, Inc. (a) | 9,906 | 1,290,752 | |
Harsco Corp. (a) | 15,493 | 123,014 | |
Heritage-Crystal Clean, Inc. (a) | 3,120 | 116,064 | |
Montrose Environmental Group, Inc. (a) | 4,670 | 252,927 | |
Republic Services, Inc. | 42,629 | 5,320,952 | |
Rollins, Inc. | 42,714 | 1,554,790 |
| |||
Shares | Value | ||
SP Plus Corp. (a) | 4,553 | $ 171,694 | |
Stericycle, Inc. (a) | 17,714 | 953,190 | |
Tetra Tech, Inc. | 10,279 | 1,598,590 | |
Waste Connections, Inc. | 49,574 | 6,588,385 | |
Waste Management, Inc. | 79,676 | 12,328,267 | |
31,740,074 | |||
Office Services & Supplies – 0.3% | |||
ACCO Brands Corp. | 18,813 | 119,463 | |
HNI Corp. | 7,938 | 252,190 | |
Interface, Inc. | 11,390 | 129,618 | |
MillerKnoll, Inc. | 14,500 | 346,260 | |
MSA Safety, Inc. | 7,166 | 977,371 | |
Pitney Bowes, Inc. | 18,240 | 78,614 | |
Steelcase, Inc. Class A | 17,178 | 133,989 | |
2,037,505 | |||
Security & Alarm Services – 0.1% | |||
CoreCivic, Inc. (a) | 22,586 | 240,315 | |
The Brink's Co. | 9,148 | 600,109 | |
The Geo Group, Inc. (a) | 17,910 | 205,965 | |
1,046,389 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 52,222,798 | ||
CONSTRUCTION & ENGINEERING – 2.6% | |||
Construction & Engineering – 2.6% | |||
AECOM | 25,572 | 2,231,668 | |
Ameresco, Inc. Class A (a) | 6,174 | 398,038 | |
API Group Corp. (a) | 31,760 | 706,342 | |
Arcosa, Inc. | 9,291 | 550,678 | |
Argan, Inc. | 2,728 | 106,365 | |
Comfort Systems USA, Inc. | 6,931 | 838,928 | |
Construction Partners, Inc. Class A (a) | 7,848 | 222,020 | |
Dycom Industries, Inc. (a) | 5,669 | 540,653 | |
EMCOR Group, Inc. | 9,512 | 1,410,154 | |
Fluor Corp. (a) | 27,311 | 1,003,679 | |
Granite Construction, Inc. | 8,465 | 360,440 | |
Great Lakes Dredge & Dock Corp. (a) | 12,715 | 87,479 | |
IES Holdings, Inc. (a) | 1,798 | 71,578 | |
MasTec, Inc. (a) | 12,044 | 1,183,082 | |
MDU Resources Group, Inc. | 39,198 | 1,211,610 | |
MYR Group, Inc. (a) | 3,246 | 321,549 | |
Primoris Services Corp. | 10,242 | 272,437 | |
Quanta Services, Inc. | 27,571 | 4,196,030 | |
Sterling Infrastructure, Inc. (a) | 5,802 | 211,135 | |
Tutor Perini Corp. (a) | 8,268 | 75,818 | |
Valmont Industries, Inc. | 4,116 | 1,357,169 | |
WillScot Mobile Mini Holdings Corp. (a) | 41,192 | 1,996,164 | |
TOTAL CONSTRUCTION & ENGINEERING | 19,353,016 |
43 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
ELECTRICAL EQUIPMENT – 7.5% | |||
Electrical Components & Equipment – 7.4% | |||
Acuity Brands, Inc. | 6,325 | $ 1,192,389 | |
Allied Motion Technologies Inc. | 2,607 | 105,948 | |
AMETEK, Inc. | 44,253 | 6,413,145 | |
Array Technologies, Inc. (a) | 27,726 | 616,349 | |
Atkore, Inc. (a) | 7,936 | 1,033,664 | |
Blink Charging Co. (a) | 7,958 | 108,308 | |
ChargePoint Holdings, Inc. (a) | 42,086 | 510,924 | |
Eaton Corp. PLC | 76,775 | 12,453,673 | |
Emerson Electric Co. | 113,978 | 10,283,095 | |
Encore Wire Corp. | 3,672 | 592,771 | |
EnerSys | 7,856 | 652,205 | |
Enovix Corp. (a) | 13,990 | 111,081 | |
ESS Tech, Inc. (a) | 10,163 | 22,460 | |
Fluence Energy Inc. (a) | 7,683 | 185,468 | |
FREYR Battery S.A. (a) | 19,719 | 173,724 | |
FuelCell Energy, Inc. (a) | 74,241 | 271,722 | |
Generac Holdings, Inc. (a) | 12,334 | 1,487,480 | |
GrafTech International Ltd. | 40,112 | 262,332 | |
Heliogen, Inc. (a) | 19,581 | 12,485 | |
Hubbell, Inc. | 10,347 | 2,368,532 | |
nVent Electric PLC | 32,093 | 1,275,697 | |
Plug Power, Inc. (a) | 100,534 | 1,711,089 | |
Regal Rexnord Corp. | 12,815 | 1,783,848 | |
Rockwell Automation, Inc. | 22,253 | 6,276,014 | |
Sensata Technologies Holding PLC | 29,984 | 1,524,686 | |
SES AI Corp. (a) | 20,459 | 67,515 | |
Shoals Technologies Group, Inc. Class A (a) | 25,729 | 717,582 | |
Stem, Inc. (a) | 11,690 | 115,263 | |
SunPower Corp. (a) | 16,669 | 290,541 | |
Sunrun, Inc. (a) | 36,956 | 971,204 | |
Thermon Group Holdings, Inc. (a) | 6,384 | 147,598 | |
Vertiv Holdings Co. | 61,699 | 877,360 | |
Vicor Corp. (a) | 4,315 | 299,590 | |
54,915,742 | |||
Heavy Electrical Equipment – 0.1% | |||
Babcock & Wilcox Enterprises, Inc. (a) | 12,665 | 84,095 | |
Bloom Energy Corp. Class A (a) | 33,854 | 843,980 | |
Energy Vault Holdings, Inc. (a) | 13,157 | 55,786 | |
NuScale Power Corp. (a) | 3,265 | 34,805 | |
TPI Composites, Inc. (a) | 7,261 | 94,756 | |
1,113,422 | |||
TOTAL ELECTRICAL EQUIPMENT | 56,029,164 | ||
INDUSTRIAL CONGLOMERATES – 7.6% | |||
Industrial Conglomerates – 7.6% | |||
3M Co. | 106,714 | 12,280,647 | |
General Electric Co. | 211,371 | 17,011,138 |
| |||
Shares | Value | ||
Honeywell International, Inc. | 129,861 | $ 27,073,421 | |
TOTAL INDUSTRIAL CONGLOMERATES | 56,365,206 | ||
MACHINERY – 21.8% | |||
Agricultural & Farm Machinery – 3.8% | |||
AGCO Corp. | 12,224 | 1,688,501 | |
Deere & Co. | 55,969 | 23,665,932 | |
Lindsay Corp. | 2,111 | 330,625 | |
The Toro Co. | 20,157 | 2,247,909 | |
Titan International, Inc. (a) | 9,513 | 158,772 | |
28,091,739 | |||
Construction Machinery & Heavy Trucks – 6.6% | |||
Alamo Group, Inc. | 2,101 | 328,743 | |
Allison Transmission Holdings, Inc. | 18,602 | 838,578 | |
Astec Industries, Inc. | 4,330 | 191,126 | |
Caterpillar, Inc. | 101,761 | 25,673,283 | |
Cummins, Inc. | 27,177 | 6,781,749 | |
Douglas Dynamics, Inc. | 4,435 | 179,218 | |
Federal Signal Corp. | 11,686 | 622,279 | |
Hyliion Holdings Corp. (a) | 21,457 | 76,816 | |
Hyzon Motors, Inc. (a) | 13,721 | 29,226 | |
Microvast Holdings, Inc. (a) | 22,899 | 37,325 | |
Nikola Corp. (a) | 61,231 | 165,936 | |
Oshkosh Corp. | 12,632 | 1,273,053 | |
PACCAR, Inc. | 67,028 | 7,326,831 | |
Proterra, Inc. (a) | 34,418 | 175,532 | |
REV Group, Inc. | 6,647 | 85,148 | |
Terex Corp. | 13,020 | 663,629 | |
The Greenbrier Cos., Inc. | 6,249 | 193,219 | |
The Manitowoc Co., Inc. (a) | 6,805 | 93,229 | |
The Shyft Group, Inc. | 6,330 | 210,726 | |
Trinity Industries, Inc. | 14,961 | 430,428 | |
Wabash National Corp. | 9,483 | 244,282 | |
Westinghouse Air Brake Technologies Corp. | 33,305 | 3,457,392 | |
49,077,748 | |||
Industrial Machinery – 11.4% | |||
3D Systems Corp. (a) | 25,024 | 271,761 | |
Albany International Corp. Class A | 5,971 | 669,648 | |
Altra Industrial Motion Corp. | 12,573 | 767,833 | |
Barnes Group, Inc. | 9,197 | 407,059 | |
Chart Industries, Inc. (a) | 8,220 | 1,101,316 | |
CIRCOR International, Inc. (a) | 3,633 | 100,452 | |
Columbus McKinnon Corp. | 5,517 | 198,336 | |
Crane Holdings Co. | 9,205 | 1,066,952 | |
Desktop Metal, Inc. Class A (a) | 41,882 | 70,362 | |
Donaldson Co., Inc. | 23,685 | 1,476,760 | |
Dover Corp. | 27,671 | 4,201,288 | |
Energy Recovery, Inc. (a) | 9,738 | 215,502 | |
Enerpac Tool Group Corp. | 11,165 | 296,319 | |
EnPro Industries, Inc. | 3,823 | 462,851 |
Semi-Annual Report | 44 |
Common Stocks – continued | |||
Shares | Value | ||
MACHINERY – continued | |||
Industrial Machinery – continued | |||
Esab Corp. | 9,330 | $ 539,367 | |
ESCO Technologies, Inc. | 5,027 | 494,858 | |
Evoqua Water Technologies Corp. (a) | 23,433 | 1,136,735 | |
Flowserve Corp. | 25,113 | 864,390 | |
Fortive Corp. | 65,137 | 4,431,270 | |
Franklin Electric Co., Inc. | 7,636 | 689,531 | |
Gates Industrial Corp. PLC (a) | 19,382 | 256,036 | |
Graco, Inc. | 32,600 | 2,227,232 | |
Helios Technologies, Inc. | 6,283 | 414,678 | |
Hillenbrand, Inc. | 13,338 | 625,019 | |
Hillman Solutions Corp. (a) | 18,717 | 179,683 | |
Hyster-Yale Materials Handling, Inc. | 1,735 | 56,266 | |
IDEX Corp. | 14,549 | 3,487,104 | |
Illinois Tool Works, Inc. | 59,682 | 14,087,339 | |
Ingersoll Rand, Inc. | 77,718 | 4,352,208 | |
ITT, Inc. | 15,966 | 1,462,326 | |
John Bean Technologies Corp. | 6,134 | 685,352 | |
Kadant, Inc. | 2,269 | 462,354 | |
Kennametal, Inc. | 14,838 | 422,883 | |
Lincoln Electric Holdings, Inc. | 10,607 | 1,769,990 | |
Luxfer Holdings PLC | 5,589 | 92,498 | |
Markforged Holding Corp. (a) | 16,030 | 21,480 | |
Mueller Industries, Inc. | 9,846 | 645,405 | |
Mueller Water Products, Inc. Class A | 30,288 | 383,143 | |
Nordson Corp. | 9,924 | 2,414,509 | |
Omega Flex, Inc. | 679 | 72,178 | |
Otis Worldwide Corp. | 81,006 | 6,661,123 | |
Parker Hannifin Corp. | 24,750 | 8,068,500 | |
Pentair PLC | 31,712 | 1,756,211 | |
Proto Labs, Inc. (a) | 5,382 | 164,689 | |
RBC Bearings, Inc. (a) | 5,577 | 1,360,621 | |
Sarcos Technology and Robotics Corp. (a) | 14,297 | 8,578 | |
Snap-on, Inc. | 10,269 | 2,554,208 | |
SPX Technologies, Inc. (a) | 8,763 | 657,313 | |
Standex International Corp. | 2,285 | 264,077 | |
Stanley Black & Decker, Inc. | 28,494 | 2,544,799 | |
Tennant Co. | 3,468 | 243,211 | |
The Gorman-Rupp Co. | 4,025 | 115,638 | |
The Middleby Corp. (a) | 9,867 | 1,533,825 | |
The Timken Co. | 12,694 | 1,045,351 | |
Velo3D, Inc. (a) | 10,483 | 25,159 | |
Watts Water Technologies, Inc. Class A | 5,267 | 861,260 | |
Xylem, Inc. | 34,732 | 3,612,475 | |
85,057,311 | |||
TOTAL MACHINERY | 162,226,798 |
| |||
Shares | Value | ||
MARINE – 0.1% | |||
Marine – 0.1% | |||
Eagle Bulk Shipping, Inc. | 1,801 | $ 103,161 | |
Genco Shipping & Trading Ltd. | 7,184 | 130,318 | |
Kirby Corp. (a) | 2,912 | 206,111 | |
Matson, Inc. | 1,946 | 128,670 | |
TOTAL MARINE | 568,260 | ||
PROFESSIONAL SERVICES – 5.9% | |||
Human Resource & Employment Services – 1.0% | |||
Alight, Inc. Class A (a) | 49,592 | 465,669 | |
ASGN, Inc. (a) | 9,725 | 884,489 | |
Barrett Business Services, Inc. | 1,414 | 140,523 | |
First Advantage Corp. (a) | 10,365 | 143,866 | |
Heidrick & Struggles International, Inc. | 3,782 | 116,334 | |
HireRight Holdings Corp. (a) | 4,540 | 51,938 | |
Insperity, Inc. | 6,981 | 771,749 | |
Kelly Services, Inc. Class A | 6,400 | 115,840 | |
Kforce, Inc. | 3,875 | 217,504 | |
Korn Ferry | 10,539 | 569,001 | |
ManpowerGroup, Inc. | 10,019 | 873,256 | |
Robert Half International, Inc. | 21,119 | 1,773,151 | |
Skillsoft Corp. (a) | 15,651 | 30,050 | |
Sterling Check Corp. (a) | 16,051 | 223,911 | |
TriNet Group, Inc. (a) | 7,759 | 585,417 | |
TrueBlue, Inc. (a) | 6,517 | 127,929 | |
Upwork, Inc. (a) | 23,020 | 298,339 | |
7,388,966 | |||
Research & Consulting Services – 4.9% | |||
Booz Allen Hamilton Holding Corp. | 25,507 | 2,413,982 | |
CACI International, Inc. Class A (a) | 4,514 | 1,390,718 | |
CBIZ, Inc. (a) | 8,969 | 426,835 | |
Clarivate PLC (a) | 58,851 | 654,423 | |
CoStar Group, Inc. (a) | 76,324 | 5,945,640 | |
CRA International, Inc. | 1,376 | 163,524 | |
Dun & Bradstreet Holdings, Inc. | 37,455 | 548,716 | |
Equifax, Inc. | 23,593 | 5,242,365 | |
Exponent, Inc. | 9,815 | 1,006,430 | |
Forrester Research, Inc. (a) | 2,210 | 81,903 | |
Franklin Covey Co. (a) | 2,456 | 113,958 | |
FTI Consulting, Inc. (a) | 6,658 | 1,062,084 | |
Huron Consulting Group, Inc. (a) | 3,980 | 270,799 | |
ICF International, Inc. | 3,625 | 370,439 | |
Jacobs Solutions, Inc. | 24,598 | 3,039,083 | |
KBR, Inc. | 26,803 | 1,373,118 | |
Leidos Holdings, Inc. | 25,003 | 2,471,297 | |
NV5 Global, Inc. (a) | 2,566 | 342,022 | |
Planet Labs PBC (a) | 30,542 | 151,183 | |
Resources Connection, Inc. | 6,161 | 106,400 |
45 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
PROFESSIONAL SERVICES – continued | |||
Research & Consulting Services – continued | |||
Science Applications International Corp. | 10,603 | $ 1,100,379 | |
TransUnion | 37,108 | 2,662,499 | |
Verisk Analytics, Inc. | 30,255 | 5,500,056 | |
36,437,853 | |||
TOTAL PROFESSIONAL SERVICES | 43,826,819 | ||
ROAD & RAIL – 10.6% | |||
Railroads – 6.5% | |||
CSX Corp. | 412,747 | 12,762,137 | |
Norfolk Southern Corp. | 45,275 | 11,129,048 | |
Union Pacific Corp. | 120,374 | 24,579,167 | |
48,470,352 | |||
Trucking – 4.1% | |||
ArcBest Corp. | 4,784 | 399,225 | |
Avis Budget Group, Inc. (a) | 6,021 | 1,204,441 | |
Covenant Transportation Group, Inc. Class A | 1,860 | 61,678 | |
Heartland Express, Inc. | 11,267 | 189,511 | |
Hertz Global Holdings, Inc. (a) | 34,595 | 623,402 | |
JB Hunt Transport Services, Inc. | 16,008 | 3,026,312 | |
Knight-Swift Transportation Holdings, Inc. | 29,421 | 1,738,781 | |
Landstar System, Inc. | 7,038 | 1,216,378 | |
Lyft, Inc. Class A (a) | 59,699 | 970,109 | |
Marten Transport Ltd. | 12,643 | 279,284 | |
Old Dominion Freight Line, Inc. | 18,312 | 6,102,291 | |
PAM Transportation Services Inc. (a) | 1,284 | 37,172 | |
RXO Inc. (a) | 19,852 | 363,689 | |
Ryder System, Inc. | 9,892 | 933,904 | |
Saia, Inc. (a) | 5,101 | 1,391,451 | |
Schneider National, Inc. Class B | 11,017 | 291,950 | |
TuSimple Holdings, Inc. Class A (a) | 9,433 | 19,809 | |
Uber Technologies, Inc. (a) | 286,238 | 8,853,341 | |
U-Haul Holding Co. | 17,009 | 1,050,986 | |
Universal Logistics Holdings, Inc | 1,513 | 54,347 | |
Werner Enterprises, Inc. | 10,959 | 514,744 | |
XPO Logistics, Inc. (a) | 20,068 | 799,910 | |
30,122,715 | |||
TOTAL ROAD & RAIL | 78,593,067 | ||
TRADING COMPANIES & DISTRIBUTORS – 5.1% | |||
Trading Companies & Distributors – 5.1% | |||
Air Lease Corp. | 20,372 | 916,129 | |
Applied Industrial Technologies, Inc. | 7,419 | 1,062,475 | |
Beacon Roofing Supply, Inc. (a) | 9,986 | 568,004 | |
BlueLinx Holdings, Inc. (a) | 1,849 | 160,530 |
| |||
Shares | Value | ||
Boise Cascade Co. | 7,587 | $ 568,797 | |
Core & Main, Inc. Class A (a) | 13,059 | 288,212 | |
DXP Enterprises, Inc. (a) | 3,034 | 91,930 | |
Fastenal Co. | 110,776 | 5,599,727 | |
Ferguson PLC | 40,154 | 5,715,520 | |
GATX Corp. | 6,822 | 780,778 | |
Global Industrial Co. | 3,236 | 85,075 | |
GMS, Inc. (a) | 7,329 | 434,756 | |
H&E Equipment Services, Inc. | 6,261 | 318,622 | |
Herc Holdings, Inc. | 4,634 | 719,753 | |
McGrath RentCorp | 4,702 | 468,037 | |
MRC Global, Inc. (a) | 16,469 | 223,978 | |
MSC Industrial Direct Co., Inc. Class A | 9,132 | 755,217 | |
NOW, Inc. (a) | 21,261 | 298,505 | |
Rush Enterprises, Inc. Class A | 8,308 | 447,054 | |
Rush Enterprises, Inc. Class B | 1,053 | 61,253 | |
SiteOne Landscape Supply, Inc. (a) | 8,681 | 1,315,258 | |
Titan Machinery, Inc. (a) | 3,870 | 170,048 | |
Transcat, Inc. (a) | 1,377 | 115,007 | |
Triton International Ltd. | 11,824 | 835,247 | |
United Rentals, Inc. | 13,490 | 5,948,416 | |
Univar Solutions, Inc. (a) | 32,029 | 1,104,360 | |
Veritiv Corp. | 2,547 | 318,477 | |
Watsco, Inc. | 6,401 | 1,839,455 | |
WESCO International, Inc. (a) | 8,819 | 1,314,119 | |
WW Grainger, Inc. | 8,827 | 5,203,340 | |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 37,728,079 | ||
TOTAL COMMON STOCKS (Cost $689,600,058) | 740,570,591 | ||
Money Market Fund – 0.3% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $1,720,000) | 1,720,000 | 1,720,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $691,320,058) | 742,290,591 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 357,419 | ||
NET ASSETS – 100.0% | $ 742,648,010 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Semi-Annual Report | 46 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Industrial Select Sector Index Contracts (United States) | 17 | March 2023 | 1,751,510 | $ 42,033 | $ 42,033 |
CME E-mini Russell 2000 Index Contracts (United States) | 3 | March 2023 | 290,910 | 22,710 | 22,710 |
Total Equity Index Contracts | $ 64,743 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 740,570,591 | $ 740,570,591 | $ — | $ — | |||||
Money Market Funds | 1,720,000 | 1,720,000 | — | — | |||||
Total Investments in Securities: | $ 742,290,591 | $ 742,290,591 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 64,743 | $ 64,743 | $ — | $ — | |||||
Total Assets | $ 64,743 | $ 64,743 | $ — | $ — | |||||
Total Derivative Instruments: | $ 64,743 | $ 64,743 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $64,743 | $0 | |
Total Equity Risk | 64,743 | 0 | |
Total Value of Derivatives | $64,743 | $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 | Semi-Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
COMMUNICATIONS EQUIPMENT – 3.3% | |||
Communications Equipment – 3.3% | |||
ADTRAN Holdings, Inc. | 55,228 | $ 1,042,152 | |
Arista Networks, Inc. (a) | 131,779 | 16,606,790 | |
Calix, Inc. (a) | 36,054 | 1,897,883 | |
Cambium Networks Corp. (a) | 22,642 | 485,218 | |
Casa Systems, Inc. (a) | 88,994 | 304,359 | |
Ciena Corp. (a) | 87,097 | 4,530,786 | |
Cisco Systems, Inc. | 2,196,919 | 106,924,048 | |
Clearfield, Inc. (a) | 9,106 | 650,715 | |
CommScope Holding Co., Inc. (a) | 140,060 | 1,176,504 | |
Comtech Telecommunications Corp. | 43,900 | 696,254 | |
Digi International, Inc. (a) | 26,939 | 915,657 | |
Extreme Networks, Inc. (a) | 87,508 | 1,577,769 | |
F5, Inc. (a) | 33,907 | 5,006,708 | |
Harmonic, Inc. (a) | 78,944 | 1,039,692 | |
Infinera Corp. (a) | 156,293 | 1,144,065 | |
Juniper Networks, Inc. | 182,098 | 5,881,765 | |
Lumentum Holdings, Inc. (a) | 41,720 | 2,510,710 | |
Motorola Solutions, Inc. | 89,713 | 23,057,138 | |
NETGEAR, Inc. (a) | 33,573 | 670,453 | |
Netscout Systems, Inc. (a) | 47,070 | 1,510,947 | |
Ribbon Communications, Inc. (a) | 158,714 | 557,086 | |
ViaSat, Inc. (a) | 39,710 | 1,368,009 | |
Viavi Solutions, Inc. (a) | 147,286 | 1,664,332 | |
TOTAL COMMUNICATIONS EQUIPMENT | 181,219,040 | ||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 3.8% | |||
Electronic Components – 1.0% | |||
Amphenol Corp. Class A | 320,148 | 25,538,206 | |
Belden, Inc. | 27,297 | 2,213,514 | |
Coherent Corp. (a) | 78,579 | 3,410,329 | |
Corning, Inc. | 435,256 | 15,064,210 | |
Knowles Corp. (a) | 71,693 | 1,378,656 | |
Lightwave Logic, Inc. (a) | 100,485 | 632,051 | |
Littelfuse, Inc. | 14,538 | 3,731,759 | |
Rogers Corp. (a) | 11,513 | 1,607,100 | |
Vishay Intertechnology, Inc. | 84,304 | 1,929,718 | |
55,505,543 | |||
Electronic Equipment & Instruments – 1.4% | |||
908 Devices, Inc. (a) | 34,087 | 317,691 | |
Advanced Energy Industries, Inc. | 23,653 | 2,193,579 | |
Aeva Technologies, Inc. (a) | 228,494 | 386,155 | |
Arlo Technologies, Inc. (a) | 132,501 | 496,879 | |
Badger Meter, Inc. | 18,474 | 2,141,137 | |
Cognex Corp. | 99,208 | 5,430,646 | |
Evolv Technologies Holdings, Inc. (a) | 121,487 | 371,750 | |
FARO Technologies, Inc. (a) | 20,201 | 555,124 | |
Itron, Inc. (a) | 30,156 | 1,733,065 | |
Keysight Technologies, Inc. (a) | 97,194 | 17,431,744 | |
MicroVision, Inc. (a) | 200,976 | 504,450 |
| |||
Shares | Value | ||
Mirion Technologies, Inc. (a) | 119,733 | $ 951,877 | |
Napco Security Technologies, Inc. (a) | 28,558 | 827,325 | |
National Instruments Corp. | 77,957 | 4,209,678 | |
nLight, Inc. (a) | 55,491 | 688,088 | |
Novanta, Inc. (a) | 21,121 | 3,410,408 | |
OSI Systems, Inc. (a) | 12,457 | 1,179,803 | |
PAR Technology Corp. (a) | 27,892 | 948,049 | |
SmartRent, Inc. (a) | 185,384 | 541,321 | |
Teledyne Technologies, Inc. (a) | 25,721 | 10,912,392 | |
Trimble, Inc. (a) | 137,386 | 7,976,631 | |
Vishay Precision Group, Inc. (a) | 15,047 | 649,729 | |
Vontier Corp. | 101,493 | 2,337,384 | |
Zebra Technologies Corp. Class A (a) | 28,830 | 9,115,469 | |
75,310,374 | |||
Electronic Manufacturing Services – 0.9% | |||
Benchmark Electronics, Inc. | 30,592 | 856,270 | |
CTS Corp. | 24,614 | 1,095,569 | |
Fabrinet (a) | 21,978 | 2,893,624 | |
Flex Ltd. (a) | 259,021 | 6,048,140 | |
IPG Photonics Corp. (a) | 22,394 | 2,510,367 | |
Jabil, Inc. | 77,359 | 6,082,738 | |
Kimball Electronics, Inc. (a) | 27,803 | 709,533 | |
Methode Electronics, Inc. | 27,228 | 1,299,865 | |
Plexus Corp. (a) | 17,898 | 1,718,029 | |
Sanmina Corp. (a) | 35,846 | 2,184,097 | |
TE Connectivity Ltd. | 172,112 | 21,884,041 | |
TTM Technologies, Inc. (a) | 73,642 | 1,157,652 | |
48,439,925 | |||
Technology Distributors – 0.5% | |||
Arrow Electronics, Inc. (a) | 37,226 | 4,373,683 | |
Avnet, Inc. | 57,971 | 2,659,710 | |
CDW Corp. | 73,637 | 14,435,061 | |
ePlus, Inc. (a) | 20,771 | 1,033,980 | |
Insight Enterprises, Inc. (a) | 21,977 | 2,477,247 | |
PC Connection, Inc. | 12,590 | 617,288 | |
ScanSource, Inc. (a) | 24,231 | 797,927 | |
TD SYNNEX Corp. | 26,269 | 2,683,378 | |
29,078,274 | |||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 208,334,116 | ||
IT SERVICES – 17.5% | |||
Data Processing & Outsourced Services – 12.2% | |||
Affirm Holdings, Inc. (a) | 122,377 | 1,981,284 | |
Automatic Data Processing, Inc. | 221,791 | 50,082,626 | |
AvidXchange Holdings, Inc. (a) | 65,236 | 725,424 | |
Block, Inc. (a) | 280,756 | 22,943,380 | |
Broadridge Financial Solutions, Inc. | 64,439 | 9,689,048 | |
Cass Information Systems, Inc. | 14,707 | 714,172 | |
Concentrix Corp. | 26,157 | 3,709,324 |
Semi-Annual Report | 48 |
Common Stocks – continued | |||
Shares | Value | ||
IT SERVICES – continued | |||
Data Processing & Outsourced Services – continued | |||
Conduent, Inc. (a) | 177,410 | $ 846,246 | |
CSG Systems International, Inc. | 22,601 | 1,348,602 | |
Euronet Worldwide, Inc. (a) | 30,110 | 3,392,795 | |
EVERTEC, Inc. | 40,534 | 1,497,326 | |
Evo Payments, Inc. Class A (a) | 35,042 | 1,186,873 | |
ExlService Holdings, Inc. (a) | 19,395 | 3,308,787 | |
Fidelity National Information Services, Inc. | 327,940 | 24,608,618 | |
Fiserv, Inc. (a) | 325,548 | 34,729,461 | |
FleetCor Technologies, Inc. (a) | 39,651 | 8,279,525 | |
Flywire Corp. (a) | 31,660 | 853,870 | |
Global Payments, Inc. | 150,656 | 16,981,944 | |
I3 Verticals, Inc. Class A (a) | 26,684 | 771,701 | |
International Money Express, Inc. (a) | 32,225 | 733,441 | |
Jack Henry & Associates, Inc. | 40,442 | 7,283,200 | |
Marqeta, Inc. Class A (a) | 249,008 | 1,650,923 | |
Mastercard, Inc. Class A | 458,777 | 170,022,756 | |
Maximus, Inc. | 37,708 | 2,822,444 | |
MoneyGram International, Inc. (a) | 77,621 | 835,978 | |
Paya Holdings, Inc. (a) | 89,005 | 865,129 | |
Paychex, Inc. | 174,789 | 20,251,053 | |
Paymentus Holdings, Inc. Class A (a) | 32,202 | 279,835 | |
Payoneer Global, Inc. (a) | 161,123 | 960,293 | |
PayPal Holdings, Inc. (a) | 585,718 | 47,730,160 | |
Remitly Global, Inc. (a) | 79,194 | 955,080 | |
Repay Holdings Corp. (a) | 85,989 | 837,533 | |
Sabre Corp. (a) | 231,312 | 1,575,235 | |
Shift4 Payments, Inc. Class A (a) | 32,782 | 2,099,359 | |
SS&C Technologies Holdings, Inc. | 128,717 | 7,768,071 | |
TaskUS, Inc. Class A (a) | 30,718 | 572,891 | |
The Western Union Co. | 230,250 | 3,262,642 | |
Toast Inc. Class A (a) | 2,990 | 66,707 | |
TTEC Holdings, Inc. | 17,222 | 875,566 | |
Verra Mobility Corp. (a) | 97,378 | 1,502,543 | |
Visa, Inc. Class A | 869,111 | 200,078,043 | |
WEX, Inc. (a) | 25,623 | 4,739,486 | |
665,419,374 | |||
Internet Services & Infrastructure – 1.4% | |||
Akamai Technologies, Inc. (a) | 88,155 | 7,841,387 | |
BigCommerce Holdings, Inc. Series 1 (a) | 59,657 | 731,395 | |
Cloudflare, Inc. Class A (a) | 140,814 | 7,450,469 | |
Cyxtera Technologies, Inc. (a) | 94,161 | 303,198 | |
DigitalOcean Holdings, Inc. (a) | 34,550 | 1,014,043 | |
Edgio, Inc. (a) | 206,180 | 323,703 | |
Fastly, Inc. Class A (a) | 96,423 | 997,978 | |
GoDaddy, Inc. Class A (a) | 87,634 | 7,197,381 | |
MongoDB, Inc. (a) | 37,935 | 8,126,056 | |
Okta, Inc. (a) | 86,490 | 6,366,529 |
| |||
Shares | Value | ||
Rackspace Technology, Inc. (a) | 99,732 | $ 299,196 | |
Snowflake, Inc. Class A (a) | 119,694 | 18,724,929 | |
Squarespace, Inc. Class A (a) | 35,013 | 830,508 | |
Tucows, Inc. Class A (a) | 13,408 | 444,743 | |
Twilio, Inc. Class A (a) | 96,122 | 5,751,941 | |
VeriSign, Inc. (a) | 53,025 | 11,562,101 | |
77,965,557 | |||
IT Consulting & Other Services – 3.9% | |||
Accenture PLC Class A | 336,092 | 93,786,473 | |
Cognizant Technology Solutions Corp. Class A | 280,639 | 18,732,653 | |
DXC Technology Co. (a) | 134,012 | 3,850,165 | |
EPAM Systems, Inc. (a) | 31,286 | 10,407,288 | |
Gartner, Inc. (a) | 43,010 | 14,543,401 | |
Grid Dynamics Holdings, Inc. (a) | 49,040 | 613,981 | |
International Business Machines Corp. | 478,296 | 64,440,820 | |
Kyndryl Holdings, Inc. (a) | 129,805 | 1,738,089 | |
Perficient, Inc. (a) | 23,246 | 1,723,458 | |
The Hackett Group, Inc. | 28,440 | 628,524 | |
Unisys Corp. (a) | 79,133 | 428,109 | |
210,892,961 | |||
TOTAL IT SERVICES | 954,277,892 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 20.4% | |||
Semiconductor Equipment – 3.3% | |||
ACM Research, Inc. Class A (a) | 60,381 | 754,159 | |
Aehr Test Systems (a) | 2,048 | 71,598 | |
Amkor Technology, Inc. | 70,511 | 2,063,152 | |
Applied Materials, Inc. | 459,620 | 51,243,034 | |
Axcelis Technologies, Inc. (a) | 21,987 | 2,417,471 | |
Cohu, Inc. (a) | 35,160 | 1,268,573 | |
Enphase Energy, Inc. (a) | 72,950 | 16,149,671 | |
Entegris, Inc. | 83,381 | 6,729,680 | |
FormFactor, Inc. (a) | 55,964 | 1,574,827 | |
Ichor Holdings Ltd. (a) | 27,210 | 919,698 | |
KLA Corp. | 76,073 | 29,857,131 | |
Kulicke & Soffa Industries, Inc. | 37,875 | 1,935,412 | |
Lam Research Corp. | 73,428 | 36,721,343 | |
MKS Instruments, Inc. | 36,357 | 3,720,048 | |
Onto Innovation, Inc. (a) | 30,651 | 2,410,701 | |
PDF Solutions, Inc. (a) | 27,189 | 864,066 | |
Photronics, Inc. (a) | 50,608 | 917,017 | |
SolarEdge Technologies, Inc. (a) | 30,655 | 9,782,930 | |
Teradyne, Inc. | 86,923 | 8,840,069 | |
Ultra Clean Holdings, Inc. (a) | 34,180 | 1,150,157 | |
Veeco Instruments, Inc. (a) | 44,645 | 886,650 | |
180,277,387 | |||
Semiconductors – 17.1% | |||
Advanced Micro Devices, Inc. (a) | 861,138 | 64,714,521 | |
Allegro MicroSystems, Inc. (a) | 47,086 | 1,797,273 |
49 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – continued | |||
Semiconductors – continued | |||
Alpha & Omega Semiconductor Ltd. (a) | 21,756 | $ 717,078 | |
Ambarella, Inc. (a) | 23,691 | 2,128,399 | |
Analog Devices, Inc. | 275,000 | 47,154,250 | |
Broadcom, Inc. | 214,913 | 125,726,254 | |
CEVA, Inc. (a) | 24,824 | 822,171 | |
Cirrus Logic, Inc. (a) | 34,142 | 3,086,095 | |
Credo Technology Group Holding Ltd. (a) | 49,345 | 855,149 | |
Diodes, Inc. (a) | 28,031 | 2,500,085 | |
First Solar, Inc. (a) | 52,987 | 9,410,491 | |
Impinj, Inc. (a) | 14,517 | 1,884,016 | |
indie Semiconductor, Inc. Class A (a) | 81,944 | 653,094 | |
Intel Corp. | 2,174,930 | 61,463,522 | |
Lattice Semiconductor Corp. (a) | 77,989 | 5,910,786 | |
MACOM Technology Solutions Holdings, Inc. (a) | 30,947 | 2,074,068 | |
MagnaChip Semiconductor Corp. (a) | 56,609 | 600,055 | |
Marvell Technology, Inc. | 458,217 | 19,772,064 | |
MaxLinear, Inc. Class A (a) | 49,080 | 2,022,096 | |
Meta Materials, Inc. (a) | 377,528 | 381,303 | |
Microchip Technology, Inc. | 297,981 | 23,129,285 | |
Micron Technology, Inc. | 590,647 | 35,616,014 | |
Monolithic Power Systems, Inc. | 24,505 | 10,452,853 | |
Navitas Semiconductor Corp. (a) | 91,328 | 452,987 | |
NVIDIA Corp. | 1,323,337 | 258,540,350 | |
NXP Semiconductors N.V. | 141,174 | 26,019,780 | |
ON Semiconductor Corp. (a) | 234,761 | 17,243,195 | |
Power Integrations, Inc. | 34,689 | 2,986,376 | |
Qorvo, Inc. (a) | 58,245 | 6,328,902 | |
QUALCOMM, Inc. | 595,097 | 79,272,871 | |
Rambus, Inc. (a) | 67,744 | 2,741,600 | |
Semtech Corp. (a) | 45,336 | 1,497,448 | |
Silicon Laboratories, Inc. (a) | 20,596 | 3,231,718 | |
SiTime Corp. (a) | 11,716 | 1,350,035 | |
Skyworks Solutions, Inc. | 88,814 | 9,740,231 | |
SMART Global Holdings, Inc. (a) | 45,337 | 779,343 | |
Synaptics, Inc. (a) | 24,398 | 3,050,482 | |
Texas Instruments, Inc. | 486,731 | 86,253,601 | |
Universal Display Corp. | 26,938 | 3,570,093 | |
Wolfspeed, Inc. (a) | 68,996 | 5,313,382 | |
931,243,316 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 1,111,520,703 | ||
SOFTWARE – 32.8% | |||
Application Software – 11.4% | |||
8x8, Inc. (a) | 138,185 | 650,851 | |
ACI Worldwide, Inc. (a) | 74,467 | 2,079,863 |
| |||
Shares | Value | ||
Adobe, Inc. (a) | 249,336 | $ 92,339,094 | |
Agilysys, Inc. (a) | 17,792 | 1,486,700 | |
Alarm.com Holdings, Inc. (a) | 31,012 | 1,662,243 | |
Alkami Technology, Inc. (a) | 35,237 | 576,830 | |
Altair Engineering, Inc. Class A (a) | 34,588 | 1,836,623 | |
Alteryx, Inc. Class A (a) | 39,499 | 2,191,799 | |
American Software, Inc. Class A | 40,416 | 614,727 | |
Amplitude, Inc. Class A (a) | 50,091 | 720,309 | |
ANSYS, Inc. (a) | 47,631 | 12,686,993 | |
Appfolio, Inc. Class A (a) | 13,033 | 1,463,997 | |
AppLovin Corp. Class A (a) | 84,654 | 1,075,106 | |
Asana, Inc. Class A (a) | 56,409 | 874,339 | |
Aspen Technology, Inc. (a) | 15,710 | 3,122,362 | |
Autodesk, Inc. (a) | 116,941 | 25,161,026 | |
AvePoint, Inc. (a) | 116,110 | 519,012 | |
Bentley Systems, Inc. Class B | 111,714 | 4,362,432 | |
Bill.com Holdings, Inc. (a) | 52,476 | 6,067,275 | |
Black Knight, Inc. (a) | 88,461 | 5,359,852 | |
Blackbaud, Inc. (a) | 29,867 | 1,858,026 | |
Blackline, Inc. (a) | 35,648 | 2,559,526 | |
Box, Inc. Class A (a) | 87,997 | 2,815,024 | |
Braze, Inc. Class A (a) | 27,093 | 866,976 | |
C3.ai, Inc. Class A (a) | 67,308 | 1,336,064 | |
Cadence Design Systems, Inc. (a) | 147,497 | 26,966,876 | |
CCC Intelligent Solutions Holdings, Inc. (a) | 102,374 | 946,959 | |
Cerence, Inc. (a) | 40,661 | 997,008 | |
Ceridian HCM Holding, Inc. (a) | 78,269 | 5,657,283 | |
Clear Secure, Inc. Class A | 28,967 | 909,274 | |
Clearwater Analytics Holdings, Inc. Class A (a) | 34,032 | 666,347 | |
Consensus Cloud Solutions, Inc. (a) | 14,946 | 878,376 | |
Couchbase, Inc. (a) | 32,880 | 486,295 | |
Coupa Software, Inc. (a) | 46,756 | 3,736,740 | |
CS Disco, Inc. (a) | 30,715 | 255,242 | |
Datadog, Inc. Class A (a) | 131,749 | 9,856,143 | |
Digital Turbine, Inc. (a) | 69,585 | 1,207,996 | |
DocuSign, Inc. (a) | 113,516 | 6,883,610 | |
Domo, Inc. Class B (a) | 38,488 | 596,949 | |
DoubleVerify Holdings, Inc. (a) | 35,609 | 968,209 | |
Dropbox, Inc. Class A (a) | 161,466 | 3,750,855 | |
Duck Creek Technologies, Inc. (a) | 74,605 | 1,412,273 | |
Dynatrace, Inc. (a) | 115,763 | 4,448,772 | |
E2open Parent Holdings, Inc. (a) | 157,633 | 1,087,668 | |
Ebix, Inc. | 31,042 | 591,661 | |
Elastic N.V. (a) | 45,498 | 2,677,102 | |
Enfusion, Inc. Class A (a) | 35,748 | 424,686 | |
Envestnet, Inc. (a) | 24,468 | 1,590,420 | |
Everbridge, Inc. (a) | 33,087 | 1,057,461 | |
EverCommerce, Inc. (a) | 61,728 | 637,650 | |
Expensify, Inc. Class A (a) | 28,702 | 298,788 |
Semi-Annual Report | 50 |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Application Software – continued | |||
Fair Isaac Corp. (a) | 14,000 | $ 9,323,300 | |
Five9, Inc. (a) | 43,433 | 3,421,652 | |
ForgeRock Inc. Class A (a) | 2,400 | 47,664 | |
Freshworks, Inc. Class A (a) | 79,235 | 1,282,022 | |
Guidewire Software, Inc. (a) | 48,591 | 3,558,805 | |
HubSpot, Inc. (a) | 25,364 | 8,801,562 | |
Informatica Inc. Class A (a) | 38,000 | 676,400 | |
Intapp, Inc. (a) | 22,099 | 640,429 | |
InterDigital, Inc. | 22,698 | 1,587,725 | |
Intuit, Inc. | 142,524 | 60,240,619 | |
Jamf Holding Corp. (a) | 35,310 | 701,610 | |
LivePerson, Inc. (a) | 69,832 | 899,436 | |
LiveRamp Holdings, Inc. (a) | 51,480 | 1,377,605 | |
Manhattan Associates, Inc. (a) | 36,247 | 4,725,159 | |
Marathon Digital Holdings, Inc. (a) | 87,117 | 628,114 | |
Matterport, Inc. (a) | 219,793 | 773,671 | |
MeridianLink, Inc. (a) | 32,631 | 518,180 | |
MicroStrategy, Inc. Class A (a) | 6,580 | 1,656,383 | |
Mitek Systems, Inc. (a) | 54,803 | 540,358 | |
Model N, Inc. (a) | 26,468 | 1,049,721 | |
Momentive Global, Inc. (a) | 110,602 | 852,741 | |
nCino, Inc. (a) | 41,436 | 1,185,070 | |
NCR Corp. (a) | 88,213 | 2,418,800 | |
New Relic, Inc. (a) | 38,335 | 2,340,352 | |
NextNav, Inc. (a) | 70,987 | 210,122 | |
Nutanix, Inc. Class A (a) | 131,041 | 3,652,113 | |
Olo, Inc. Class A (a) | 93,182 | 747,320 | |
ON24, Inc. (a) | 57,961 | 537,878 | |
PagerDuty, Inc. (a) | 58,324 | 1,737,472 | |
Palantir Technologies, Inc. Class A (a) | 920,389 | 7,160,626 | |
Paycom Software, Inc. (a) | 28,171 | 9,125,714 | |
Paycor HCM, Inc. (a) | 31,521 | 791,492 | |
Paylocity Holding Corp. (a) | 22,047 | 4,592,170 | |
Pegasystems, Inc. | 31,338 | 1,218,421 | |
PowerSchool Holdings, Inc. Class A (a) | 42,359 | 953,925 | |
Procore Technologies, Inc. (a) | 21,518 | 1,203,932 | |
PROS Holdings, Inc. (a) | 35,170 | 886,284 | |
PTC, Inc. (a) | 61,799 | 8,335,449 | |
Q2 Holdings, Inc. (a) | 43,737 | 1,431,075 | |
Rimini Street, Inc. (a) | 97,931 | 440,689 | |
RingCentral, Inc. Class A (a) | 52,601 | 2,053,017 | |
Riot Blockchain, Inc. (a) | 133,072 | 834,361 | |
Roper Technologies, Inc. | 57,011 | 24,329,444 | |
Salesforce, Inc. (a) | 527,597 | 88,620,468 | |
Samsara, Inc. Class A (a) | 70,914 | 967,267 | |
SEMrush Holdings, Inc. Class A (a) | 52,791 | 515,768 | |
ShotSpotter, Inc. (a) | 15,602 | 601,457 |
| |||
Shares | Value | ||
Smartsheet, Inc. Class A (a) | 76,794 | $ 3,318,269 | |
Splunk, Inc. (a) | 89,781 | 8,598,326 | |
Sprinklr, Inc. Class A (a) | 70,567 | 701,436 | |
Sprout Social, Inc. Class A (a) | 30,930 | 1,978,592 | |
SPS Commerce, Inc. (a) | 21,761 | 2,961,237 | |
Sumo Logic, Inc. (a) | 90,541 | 1,071,100 | |
Synopsys, Inc. (a) | 82,121 | 29,050,304 | |
Tyler Technologies, Inc. (a) | 22,996 | 7,422,419 | |
Unity Software, Inc. (a) | 141,173 | 5,014,465 | |
Verint Systems, Inc. (a) | 43,129 | 1,637,608 | |
Vertex, Inc. Class A (a) | 46,477 | 627,439 | |
Workday, Inc. Class A (a) | 107,608 | 19,523,319 | |
Workiva, Inc. (a) | 28,791 | 2,491,285 | |
Yext, Inc. (a) | 117,585 | 817,216 | |
Zeta Global Holdings Corp. Class A (a) | 100,047 | 908,427 | |
Zoom Video Communications, Inc. Class A (a) | 124,118 | 9,308,850 | |
618,901,826 | |||
Systems Software – 21.4% | |||
A10 Networks, Inc. | 53,688 | 831,090 | |
Adeia, Inc. | 90,776 | 993,997 | |
Appian Corp. Class A (a) | 27,578 | 1,140,764 | |
CommVault Systems, Inc. (a) | 26,710 | 1,662,163 | |
Crowdstrike Holdings, Inc. Class A (a) | 109,773 | 11,624,961 | |
Dolby Laboratories, Inc. Class A | 37,636 | 2,994,320 | |
Fortinet, Inc. (a) | 362,453 | 18,970,790 | |
Gitlab, Inc. Class A (a) | 29,393 | 1,452,308 | |
JFrog Ltd. (a) | 42,625 | 1,095,889 | |
KnowBe4, Inc. Class A (a) | 54,614 | 1,359,343 | |
Microsoft Corp. | 3,757,361 | 931,111,630 | |
N-Able, Inc. (a) | 54,395 | 558,637 | |
NortonLifelock, Inc. | 333,711 | 7,678,690 | |
OneSpan, Inc. (a) | 41,294 | 570,270 | |
Oracle Corp. | 851,520 | 75,325,459 | |
Palo Alto Networks, Inc. (a) | 160,185 | 25,411,748 | |
Progress Software Corp. | 29,675 | 1,573,962 | |
Qualys, Inc. (a) | 21,296 | 2,456,707 | |
Rapid7, Inc. (a) | 39,092 | 1,558,598 | |
ServiceNow, Inc. (a) | 106,974 | 48,687,077 | |
SolarWinds Corp. (a) | 64,371 | 654,009 | |
Telos Corp. (a) | 57,225 | 277,541 | |
Tenable Holdings, Inc. (a) | 68,038 | 2,737,169 | |
Teradata Corp. (a) | 65,283 | 2,277,071 | |
Varonis Systems, Inc. (a) | 72,167 | 1,864,795 | |
VMware, Inc. Class A (a) | 114,660 | 14,042,410 | |
Xperi, Inc. (a) | 51,365 | 531,628 | |
Zscaler, Inc. (a) | 46,905 | 5,823,725 |
51 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Systems Software – continued | |||
Zuora, Inc. Class A (a) | 108,677 | $ 860,722 | |
1,166,127,473 | |||
TOTAL SOFTWARE | 1,785,029,299 | ||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 22.0% | |||
Technology Hardware, Storage & Peripherals – 22.0% | |||
Apple, Inc. | 7,808,900 | 1,126,746,181 | |
Avid Technology, Inc. (a) | 31,069 | 941,701 | |
Corsair Gaming, Inc. (a) | 40,311 | 634,092 | |
DELL Technologies, Inc. Class C | 149,188 | 6,060,017 | |
Eastman Kodak Co. (a) | 102,725 | 370,837 | |
Hewlett Packard Enterprise Co. | 711,576 | 11,477,721 | |
HP, Inc. | 560,716 | 16,339,264 | |
IonQ, Inc. (a) | 127,017 | 563,955 | |
NetApp, Inc. | 121,303 | 8,033,898 | |
Pure Storage, Inc. Class A (a) | 160,409 | 4,642,236 | |
Seagate Technology Holdings PLC | 111,552 | 7,560,995 | |
Super Micro Computer, Inc. (a) | 28,956 | 2,094,388 | |
Western Digital Corp. (a) | 176,456 | 7,755,241 | |
Xerox Holdings Corp. | 82,529 | 1,351,825 | |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 1,194,572,351 | ||
TOTAL COMMON STOCKS (Cost $3,783,490,601) | 5,434,953,401 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $9,434,000) | 9,434,000 | $ 9,434,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $3,792,924,601) | 5,444,387,401 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,874,299 | ||
NET ASSETS – 100.0% | $5,446,261,700 |
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 | March 2023 | $ 678,790 | $ 33,924 | $ 33,924 |
CME E-mini Technology Select Sector Index Contracts (United States) | 83 | March 2023 | 11,420,800 | 407,310 | 407,310 |
Total Equity Index Contracts | $ 441,234 |
Semi-Annual Report | 52 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 5,434,953,401 | $ 5,434,953,401 | $ — | $ — | |||||
Money Market Funds | 9,434,000 | 9,434,000 | — | — | |||||
Total Investments in Securities: | $ 5,444,387,401 | $ 5,444,387,401 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 441,234 | $ 441,234 | $ — | $ — | |||||
Total Assets | $ 441,234 | $ 441,234 | $ — | $ — | |||||
Total Derivative Instruments: | $ 441,234 | $ 441,234 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $441,234 | $0 | |
Total Equity Risk | 441,234 | 0 | |
Total Value of Derivatives | $441,234 | $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). |
53 | Semi-Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
CHEMICALS – 61.7% | |||
Commodity Chemicals – 8.1% | |||
AdvanSix, Inc. | 10,497 | $ 453,890 | |
Cabot Corp. | 21,175 | 1,595,113 | |
Dow, Inc. | 270,522 | 16,055,481 | |
Hawkins, Inc. | 7,167 | 279,513 | |
Koppers Holdings, Inc. | 7,828 | 270,927 | |
Kronos Worldwide, Inc. | 8,776 | 102,240 | |
LyondellBasell Industries N.V. Class A | 98,301 | 9,504,724 | |
Mativ Holdings, Inc. | 20,715 | 570,906 | |
Olin Corp. | 51,948 | 3,355,321 | |
Origin Materials, Inc. (a) | 40,420 | 244,541 | |
Orion Engineered Carbons S.A. | 22,938 | 482,157 | |
PureCycle Technologies, Inc. (a) | 30,945 | 259,319 | |
Trinseo PLC | 10,555 | 292,901 | |
Tronox Holdings PLC Class A | 43,633 | 748,306 | |
Valvoline, Inc. | 66,718 | 2,445,882 | |
Westlake Corp. | 14,440 | 1,772,510 | |
38,433,731 | |||
Diversified Chemicals – 0.9% | |||
Huntsman Corp. | 64,393 | 2,040,614 | |
LSB Industries, Inc. (a) | 19,336 | 245,760 | |
The Chemours Co. | 58,353 | 2,123,466 | |
4,409,840 | |||
Fertilizers & Agricultural Chemicals – 8.1% | |||
American Vanguard Corp. | 10,380 | 234,484 | |
CF Industries Holdings, Inc. | 75,058 | 6,357,413 | |
Corteva, Inc. | 270,685 | 17,445,648 | |
FMC Corp. | 47,447 | 6,316,619 | |
Intrepid Potash, Inc. (a) | 4,162 | 136,222 | |
The Mosaic Co. | 130,056 | 6,442,974 | |
The Scotts Miracle-Gro Co. | 15,665 | 1,130,857 | |
38,064,217 | |||
Industrial Gases – 18.9% | |||
Air Products & Chemicals, Inc. | 83,548 | 26,777,970 | |
Linde PLC | 187,726 | 62,126,042 | |
88,904,012 | |||
Specialty Chemicals – 25.7% | |||
Albemarle Corp. | 44,120 | 12,417,574 | |
Amyris, Inc. (a) | 95,608 | 152,017 | |
Ashland, Inc. | 19,346 | 2,113,937 | |
Aspen Aerogels, Inc. (a) | 22,301 | 234,160 | |
Avient Corp. | 34,293 | 1,389,552 | |
Axalta Coating Systems Ltd. (a) | 83,123 | 2,502,002 | |
Balchem Corp. | 12,082 | 1,578,272 | |
Celanese Corp. | 40,813 | 5,028,162 | |
Chase Corp. | 3,037 | 286,632 | |
Diversey Holdings Ltd. (a) | 30,083 | 182,604 | |
DuPont de Nemours, Inc. | 188,681 | 13,952,960 | |
Eastman Chemical Co. | 46,260 | 4,078,744 |
| |||
Shares | Value | ||
Ecolab, Inc. | 96,616 | $ 14,959,055 | |
ECOVYST, Inc. (a) | 30,136 | 316,127 | |
Element Solutions, Inc. | 87,827 | 1,798,697 | |
FutureFuel Corp. | 9,814 | 90,976 | |
Ginkgo Bioworks Holdings, Inc. (a) | 309,506 | 603,537 | |
HB Fuller Co. | 19,996 | 1,381,724 | |
Ingevity Corp. (a) | 14,348 | 1,182,849 | |
Innospec, Inc. | 9,352 | 1,056,963 | |
International Flavors & Fragrances, Inc. | 96,034 | 10,799,984 | |
Livent Corp. (a) | 67,430 | 1,747,786 | |
Minerals Technologies, Inc. | 12,254 | 851,040 | |
NewMarket Corp. | 2,832 | 975,652 | |
Perimeter Solutions S.A. (a) | 55,009 | 511,584 | |
PPG Industries, Inc. | 88,520 | 11,537,697 | |
Quaker Chemical Corp. | 4,734 | 931,982 | |
RPM International, Inc. | 48,606 | 4,370,165 | |
Sensient Technologies Corp. | 15,856 | 1,200,141 | |
Stepan Co. | 8,417 | 924,523 | |
The Sherwin-Williams Co. | 92,748 | 21,943,249 | |
121,100,347 | |||
TOTAL CHEMICALS | 290,912,147 | ||
CONSTRUCTION MATERIALS – 4.5% | |||
Construction Materials – 4.5% | |||
Eagle Materials, Inc. | 14,174 | 2,070,538 | |
Martin Marietta Materials, Inc. | 23,495 | 8,449,742 | |
Summit Materials, Inc. Class A (a) | 45,239 | 1,486,554 | |
United States Lime & Minerals, Inc. | 861 | 130,700 | |
Vulcan Materials Co. | 50,062 | 9,177,866 | |
TOTAL CONSTRUCTION MATERIALS | 21,315,400 | ||
CONTAINERS & PACKAGING – 12.0% | |||
Metal & Glass Containers – 4.5% | |||
AptarGroup, Inc. | 24,616 | 2,846,594 | |
Ball Corp. | 118,394 | 6,895,267 | |
Berry Global Group, Inc. | 47,129 | 2,909,273 | |
Crown Holdings, Inc. | 45,641 | 4,023,711 | |
Greif, Inc. Class A | 10,045 | 717,514 | |
Greif, Inc. Class B | 2,051 | 169,003 | |
Myers Industries, Inc. | 11,739 | 282,675 | |
O-I Glass, Inc. (a) | 58,712 | 1,130,206 | |
Silgan Holdings, Inc. | 33,165 | 1,787,262 | |
Trimas Corp. | 15,856 | 488,206 | |
21,249,711 | |||
Paper Packaging – 7.5% | |||
Amcor PLC | 560,889 | 6,764,321 | |
Avery Dennison Corp. | 30,608 | 5,798,379 | |
Graphic Packaging Holding Co. | 115,993 | 2,794,271 | |
International Paper Co. | 129,547 | 5,417,656 | |
Packaging Corp. of America | 35,310 | 5,038,737 |
Semi-Annual Report | 54 |
Common Stocks – continued | |||
Shares | Value | ||
CONTAINERS & PACKAGING – continued | |||
Paper Packaging – continued | |||
Pactiv Evergreen, Inc. | 16,644 | $ 191,572 | |
Ranpak Holdings Corp. (a) | 16,035 | 122,828 | |
Sealed Air Corp. | 54,710 | 2,995,920 | |
Sonoco Products Co. | 36,753 | 2,245,976 | |
Westrock Co. | 95,790 | 3,758,800 | |
35,128,460 | |||
TOTAL CONTAINERS & PACKAGING | 56,378,171 | ||
METALS & MINING – 20.9% | |||
Aluminum – 1.1% | |||
Alcoa Corp. | 67,775 | 3,540,566 | |
Arconic Corp. (a) | 38,671 | 909,155 | |
Century Aluminum Co. (a) | 19,166 | 215,426 | |
Kaiser Aluminum Corp. | 6,014 | 526,346 | |
Tredegar Corp. | 10,302 | 124,963 | |
5,316,456 | |||
Copper – 5.1% | |||
Freeport-McMoRan, Inc. | 538,382 | 24,022,605 | |
Diversified Metals & Mining – 0.6% | |||
Compass Minerals International, Inc. | 12,886 | 601,261 | |
Materion Corp. | 7,742 | 698,715 | |
MP Materials Corp. (a) | 29,993 | 975,072 | |
Piedmont Lithium, Inc. (a) | 6,781 | 465,448 | |
2,740,496 | |||
Gold – 4.1% | |||
Coeur Mining, Inc. (a) | 106,246 | 413,297 | |
Newmont Corp. | 298,966 | 15,824,270 | |
Royal Gold, Inc. | 24,726 | 3,140,944 | |
19,378,511 | |||
Silver – 0.3% | |||
Hecla Mining Co. | 212,269 | 1,309,700 | |
Steel – 9.7% | |||
Alpha Metallurgical Resources, Inc. | 6,211 | 999,536 | |
ATI, Inc. (a) | 48,856 | 1,777,870 | |
Carpenter Technology Corp. | 18,221 | 879,892 | |
Cleveland-Cliffs, Inc. (a) | 194,857 | 4,160,197 | |
Commercial Metals Co. | 45,403 | 2,464,021 | |
Haynes International, Inc. | 4,629 | 257,789 | |
Nucor Corp. | 98,610 | 16,667,062 | |
Ramaco Resources, Inc. | 8,212 | 85,651 |
| |||
Shares | Value | ||
Reliance Steel & Aluminum Co. | 22,712 | $ 5,165,844 | |
Ryerson Holding Corp. | 6,290 | 240,089 | |
Schnitzer Steel Industries, Inc. Class A | 9,678 | 327,504 | |
Steel Dynamics, Inc. | 68,786 | 8,298,343 | |
SunCoke Energy, Inc. | 31,458 | 286,582 | |
TimkenSteel Corp. (a) | 14,885 | 292,788 | |
United States Steel Corp. | 89,396 | 2,546,892 | |
Warrior Met Coal, Inc. | 19,485 | 738,092 | |
Worthington Industries, Inc. | 12,080 | 686,990 | |
45,875,142 | |||
TOTAL METALS & MINING | 98,642,910 | ||
PAPER & FOREST PRODUCTS – 0.7% | |||
Forest Products – 0.4% | |||
Louisiana-Pacific Corp. | 27,786 | 1,891,949 | |
Paper Products – 0.3% | |||
Clearwater Paper Corp. (a) | 6,336 | 244,633 | |
Mercer International, Inc. | 16,308 | 207,600 | |
Sylvamo Corp. | 14,981 | 712,047 | |
1,164,280 | |||
TOTAL PAPER & FOREST PRODUCTS | 3,056,229 | ||
TOTAL COMMON STOCKS (Cost $466,013,268) | 470,304,857 | ||
Money Market Fund – 0.1% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $749,000) | 749,000 | 749,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $466,762,268) | 471,053,857 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 340,829 | ||
NET ASSETS – 100.0% | $ 471,394,686 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
55 | Semi-Annual Report |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini Materials Select Sector Index Contracts (United States) | 11 | March 2023 | $991,430 | $43,835 | $43,835 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 470,304,857 | $ 470,304,857 | $ — | $ — | |||||
Money Market Funds | 749,000 | 749,000 | — | — | |||||
Total Investments in Securities: | $ 471,053,857 | $ 471,053,857 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 43,835 | $ 43,835 | $ — | $ — | |||||
Total Assets | $ 43,835 | $ 43,835 | $ — | $ — | |||||
Total Derivative Instruments: | $ 43,835 | $ 43,835 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $43,835 | $0 | |
Total Equity Risk | 43,835 | 0 | |
Total Value of Derivatives | $43,835 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
United States of America | 83.1% |
Ireland | 13.2% |
Netherlands | 2.0% |
Bailiwick of Jersey | 1.4% |
Others (Individually Less Than 1%) | 0.4% |
100.1% |
Semi-Annual Report | 56 |
Common Stocks – 99.8% | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – 95.0% | |||
Diversified REITs – 2.9% | |||
Alexander & Baldwin, Inc. (a) | 85,355 | $ 1,708,807 | |
American Assets Trust, Inc. | 59,177 | 1,684,177 | |
Armada Hoffler Properties, Inc. | 77,456 | 982,142 | |
Broadstone Net Lease, Inc. | 194,527 | 3,522,884 | |
Empire State Realty Trust, Inc. Class A | 166,737 | 1,390,587 | |
Essential Properties Realty Trust, Inc. | 150,416 | 3,832,600 | |
Gladstone Commercial Corp. | 55,455 | 942,180 | |
Global Net Lease, Inc. | 118,565 | 1,772,547 | |
iStar, Inc. | 99,608 | 924,362 | |
One Liberty Properties, Inc. | 20,353 | 490,711 | |
STORE Capital Corp. | 289,698 | 9,331,173 | |
WP Carey, Inc. | 220,685 | 18,875,188 | |
45,457,358 | |||
Health Care REITs – 7.9% | |||
CareTrust REIT, Inc. | 111,967 | 2,319,956 | |
Community Healthcare Trust, Inc. | 29,684 | 1,272,850 | |
Global Medical REIT, Inc. | 84,841 | 952,765 | |
Healthcare Realty Trust, Inc. | 436,195 | 9,391,278 | |
Healthpeak Properties, Inc. | 618,832 | 17,005,503 | |
LTC Properties, Inc. | 45,154 | 1,722,625 | |
Medical Properties Trust, Inc. | 689,773 | 8,932,560 | |
National Health Investors, Inc. | 52,453 | 3,085,810 | |
Omega Healthcare Investors, Inc. | 269,060 | 7,921,126 | |
Physicians Realty Trust | 253,775 | 4,024,872 | |
Sabra Health Care REIT, Inc. | 263,995 | 3,563,933 | |
Universal Health Realty Income Trust | 15,830 | 867,642 | |
Ventas, Inc. | 458,855 | 23,773,278 | |
Welltower, Inc. | 524,353 | 39,347,449 | |
124,181,647 | |||
Hotel & Resort REITs – 2.9% | |||
Apple Hospitality REIT, Inc. | 247,366 | 4,385,799 | |
Chatham Lodging Trust | 52,634 | 747,929 | |
DiamondRock Hospitality Co. | 246,230 | 2,371,195 | |
Host Hotels & Resorts, Inc. | 819,545 | 15,448,423 | |
Park Hotels & Resorts, Inc. | 271,658 | 3,996,089 | |
Pebblebrook Hotel Trust | 160,053 | 2,624,869 | |
RLJ Lodging Trust | 191,185 | 2,403,195 | |
Ryman Hospitality Properties, Inc. | 61,994 | 5,758,623 | |
Service Properties Trust | 193,336 | 1,722,624 | |
Summit Hotel Properties, Inc. | 131,748 | 1,122,493 | |
Sunstone Hotel Investors, Inc. | 246,215 | 2,705,903 | |
Xenia Hotels & Resorts, Inc. | 131,621 | 1,961,153 | |
45,248,295 | |||
Industrial REITs – 12.3% | |||
Americold Realty Trust, Inc. | 310,265 | 9,745,424 | |
EastGroup Properties, Inc. | 48,255 | 8,118,904 | |
First Industrial Realty Trust, Inc. | 151,308 | 8,072,282 | |
Indus Realty Trust, Inc. | 5,739 | 367,870 |
| |||
Shares | Value | ||
Industrial Logistics Properties Trust | 83,792 | $ 369,523 | |
LXP Industrial Trust | 332,624 | 3,841,807 | |
Plymouth Industrial REIT, Inc. | 50,612 | 1,132,696 | |
Prologis, Inc. | 1,061,363 | 137,213,009 | |
Rexford Industrial Realty, Inc. | 191,790 | 12,172,911 | |
STAG Industrial, Inc. | 206,250 | 7,342,500 | |
Terreno Realty Corp. | 87,952 | 5,666,747 | |
194,043,673 | |||
Office REITs – 5.5% | |||
Alexandria Real Estate Equities, Inc. | 178,993 | 28,771,335 | |
Boston Properties, Inc. | 171,086 | 12,752,751 | |
Brandywine Realty Trust | 205,640 | 1,348,998 | |
City Office REIT, Inc. | 54,279 | 534,105 | |
Corporate Office Properties Trust | 128,615 | 3,610,223 | |
Cousins Properties, Inc. | 173,607 | 4,760,304 | |
Douglas Emmett, Inc. | 205,933 | 3,449,378 | |
Easterly Government Properties, Inc. | 98,668 | 1,602,368 | |
Equity Commonwealth | 128,910 | 3,289,783 | |
Highwoods Properties, Inc. | 126,501 | 3,841,835 | |
Hudson Pacific Properties, Inc. | 170,955 | 1,947,178 | |
JBG SMITH Properties | 127,214 | 2,562,090 | |
Kilroy Realty Corp. | 120,849 | 4,959,643 | |
Office Properties Income Trust | 55,466 | 951,797 | |
Orion Office REIT, Inc. | 72,950 | 703,968 | |
Paramount Group, Inc. | 200,507 | 1,293,270 | |
Piedmont Office Realty Trust, Inc. Class A | 140,099 | 1,485,049 | |
SL Green Realty Corp. | 75,142 | 3,092,093 | |
Veris Residential, Inc. (a) | 88,528 | 1,531,535 | |
Vornado Realty Trust | 188,467 | 4,596,710 | |
87,084,413 | |||
Residential REITs – 13.6% | |||
American Homes 4 Rent Class A | 358,264 | 12,284,872 | |
Apartment Income REIT Corp. | 180,345 | 6,900,000 | |
Apartment Investment and Management Co. Class A | 174,689 | 1,311,914 | |
AvalonBay Communities, Inc. | 159,604 | 28,320,134 | |
Camden Property Trust | 116,370 | 14,337,948 | |
Centerspace | 17,584 | 1,189,030 | |
Elme Communities | 100,026 | 1,920,499 | |
Equity Lifestyle Properties, Inc. | 201,961 | 14,496,761 | |
Equity Residential | 409,458 | 26,062,002 | |
Essex Property Trust, Inc. | 74,453 | 16,831,590 | |
Independence Realty Trust, Inc. | 266,358 | 5,015,521 | |
Invitation Homes, Inc. | 700,246 | 22,757,995 | |
Mid-America Apartment Communities, Inc. | 132,061 | 22,017,210 | |
NexPoint Residential Trust, Inc. | 27,188 | 1,372,994 | |
Sun Communities, Inc. | 140,495 | 22,038,046 | |
UDR, Inc. | 364,262 | 15,513,918 |
57 | Semi-Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) – continued | |||
Residential REITs – continued | |||
UMH Properties, Inc. | 63,295 | $ 1,134,246 | |
213,504,680 | |||
Retail REITs – 12.6% | |||
Acadia Realty Trust | 108,227 | 1,680,765 | |
Agree Realty Corp. | 87,455 | 6,526,767 | |
Alexander's, Inc. | 2,634 | 624,995 | |
American Finance Trust, Inc. | 152,885 | 1,044,205 | |
Brixmor Property Group, Inc. | 342,690 | 8,063,496 | |
CBL & Associates Properties, Inc. | 16,614 | 442,763 | |
Federal Realty Investment Trust | 81,580 | 9,098,617 | |
Getty Realty Corp. | 45,807 | 1,668,749 | |
InvenTrust Properties Corp. | 76,486 | 1,902,207 | |
Kimco Realty Corp. | 710,052 | 15,947,768 | |
Kite Realty Group Trust | 254,595 | 5,524,711 | |
National Retail Properties, Inc. | 201,264 | 9,529,850 | |
NETSTREIT Corp. | 64,546 | 1,299,311 | |
Phillips Edison & Co., Inc. | 130,306 | 4,367,857 | |
Realty Income Corp. | 704,739 | 47,802,446 | |
Regency Centers Corp. | 177,857 | 11,850,612 | |
Retail Opportunity Investments Corp. | 142,098 | 2,249,411 | |
RPT Realty | 98,600 | 1,033,328 | |
Saul Centers, Inc. | 16,411 | 702,555 | |
Simon Property Group, Inc. | 377,045 | 48,435,201 | |
SITE Centers Corp. | 232,427 | 3,172,629 | |
Spirit Realty Capital, Inc. | 153,282 | 6,726,014 | |
Tanger Factory Outlet Centers, Inc. | 119,961 | 2,292,455 | |
The Macerich Co. | 246,116 | 3,381,634 | |
Urban Edge Properties | 133,405 | 2,101,129 | |
Urstadt Biddle Properties, Inc. Class A | 34,601 | 649,807 | |
Whitestone REIT | 53,410 | 555,998 | |
198,675,280 | |||
Specialized REITs – 37.3% | |||
American Tower Corp. | 532,596 | 118,976,620 | |
Crown Castle, Inc. | 485,306 | 71,878,672 | |
CubeSmart | 259,859 | 11,898,944 | |
Digital Realty Trust, Inc. | 328,205 | 37,618,857 | |
EPR Properties | 87,011 | 3,696,227 | |
Equinix, Inc. | 104,604 | 77,211,351 | |
Extra Space Storage, Inc. | 154,401 | 24,369,110 | |
Farmland Partners, Inc. | 53,379 | 687,522 | |
Four Corners Property Trust, Inc. | 95,474 | 2,745,832 | |
Gaming and Leisure Properties, Inc. | 296,380 | 15,874,113 | |
Gladstone Land Corp. | 40,122 | 783,984 | |
Iron Mountain, Inc. | 332,811 | 18,164,824 | |
Lamar Advertising Co. Class A | 100,456 | 10,702,582 | |
Life Storage, Inc. | 98,197 | 10,609,204 | |
National Storage Affiliates Trust | 104,470 | 4,262,376 | |
Outfront Media, Inc. | 169,157 | 3,366,224 |
| |||
Shares | Value | ||
PotlatchDeltic Corp. | 94,115 | $ 4,606,929 | |
Public Storage | 181,780 | 55,322,925 | |
Rayonier, Inc. | 167,746 | 6,104,277 | |
Safehold, Inc. | 32,021 | 1,119,454 | |
SBA Communications Corp. | 123,974 | 36,885,984 | |
Uniti Group, Inc. | 292,957 | 1,930,587 | |
VICI Properties, Inc. | 1,114,781 | 38,103,215 | |
Weyerhaeuser Co. (a) | 855,356 | 29,449,907 | |
586,369,720 | |||
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | 1,494,565,066 | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – 4.8% | |||
Diversified Real Estate Activities – 0.2% | |||
Tejon Ranch Co. (a) | 24,240 | 485,285 | |
The RMR Group, Inc. Class A | 17,192 | 533,296 | |
The St. Joe Co. | 37,693 | 1,775,340 | |
2,793,921 | |||
Real Estate Development – 0.2% | |||
Forestar Group, Inc. (a) | 28,302 | 421,134 | |
The Howard Hughes Corp. (a) | 45,075 | 3,853,461 | |
4,274,595 | |||
Real Estate Operating Companies – 0.4% | |||
DigitalBridge Group, Inc. | 185,882 | 2,751,054 | |
FRP Holdings, Inc. (a) | 7,016 | 394,089 | |
Kennedy-Wilson Holdings, Inc. | 141,876 | 2,536,743 | |
Seritage Growth Properties, Class A (a) | 40,869 | 496,558 | |
WeWork, Inc. Class A (a) | 268,517 | 426,942 | |
6,605,386 | |||
Real Estate Services – 4.0% | |||
Anywhere Real Estate, Inc. (a) | 138,209 | 1,172,012 | |
CBRE Group, Inc. Class A (a) | 373,957 | 31,977,063 | |
Compass, Inc. Class A (a) | 301,864 | 1,213,493 | |
Cushman & Wakefield PLC (a) | 166,936 | 2,408,886 | |
Douglas Elliman, Inc. | 94,683 | 441,223 | |
eXp World Holdings, Inc. | 91,655 | 1,428,901 | |
Jones Lang LaSalle, Inc. (a) | 55,855 | 10,325,914 | |
Marcus & Millichap, Inc. | 30,503 | 1,105,429 | |
Newmark Group, Inc. Class A | 192,315 | 1,648,140 | |
Opendoor Technologies, Inc. (a) | 550,710 | 1,206,055 | |
RE/MAX Holdings, Inc. Class A | 22,612 | 515,780 | |
Redfin Corp. (a) | 128,084 | 958,068 | |
Zillow Group, Inc. Class C (a) | 188,685 | 8,341,764 | |
62,742,728 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 76,416,630 | ||
TOTAL COMMON STOCKS (Cost $1,619,192,033) | 1,570,981,696 |
Semi-Annual Report | 58 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $2,420,000) | 2,420,000 | $ 2,420,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,621,612,033) | 1,573,401,696 | ||
NET OTHER ASSETS (LIABILITIES) – (0.0%) | (28,562) | ||
NET ASSETS – 100.0% | $1,573,373,134 |
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) | 61 | March 2023 | $2,198,440 | $182,862 | $182,862 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,570,981,696 | $ 1,570,981,696 | $ — | $ — | |||||
Money Market Funds | 2,420,000 | 2,420,000 | — | — | |||||
Total Investments in Securities: | $ 1,573,401,696 | $ 1,573,401,696 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 182,862 | $ 182,862 | $ — | $ — | |||||
Total Assets | $ 182,862 | $ 182,862 | $ — | $ — | |||||
Total Derivative Instruments: | $ 182,862 | $ 182,862 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $182,862 | $0 | |
Total Equity Risk | 182,862 | 0 | |
Total Value of Derivatives | $182,862 | $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). |
59 | Semi-Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
ELECTRIC UTILITIES – 59.8% | |||
Electric Utilities – 59.8% | |||
ALLETE, Inc. | 115,106 | $ 7,120,457 | |
Alliant Energy Corp. | 500,210 | 27,026,346 | |
American Electric Power Co., Inc. | 1,024,105 | 96,224,906 | |
Constellation Energy Corp. | 651,551 | 55,616,393 | |
Duke Energy Corp. | 1,534,897 | 157,250,198 | |
Edison International | 760,367 | 52,389,286 | |
Entergy Corp. | 405,504 | 43,907,973 | |
Evergy, Inc. | 457,542 | 28,665,006 | |
Eversource Energy | 690,619 | 56,858,662 | |
Exelon Corp. | 1,977,022 | 83,410,558 | |
FirstEnergy Corp. | 1,082,098 | 44,311,913 | |
Hawaiian Electric Industries, Inc. | 220,102 | 9,303,712 | |
IDACORP, Inc. | 101,586 | 10,748,815 | |
MGE Energy, Inc. | 73,908 | 5,403,414 | |
NextEra Energy, Inc. | 3,916,696 | 292,303,022 | |
NRG Energy, Inc. | 471,111 | 16,121,418 | |
OGE Energy Corp. | 399,351 | 15,702,481 | |
Otter Tail Corp. | 76,932 | 4,935,188 | |
PG&E Corp. (a) | 2,971,744 | 47,250,730 | |
Pinnacle West Capital Corp. | 225,852 | 16,837,267 | |
PNM Resources, Inc. | 164,249 | 8,127,041 | |
Portland General Electric Co. | 177,511 | 8,445,973 | |
PPL Corp. | 1,467,551 | 43,439,510 | |
The Southern Co. | 2,169,373 | 146,823,165 | |
Xcel Energy, Inc. | 1,090,402 | 74,986,946 | |
TOTAL ELECTRIC UTILITIES | 1,353,210,380 | ||
GAS UTILITIES – 4.9% | |||
Gas Utilities – 4.9% | |||
Atmos Energy Corp. | 279,475 | 32,849,492 | |
Chesapeake Utilities Corp. | 17,976 | 2,266,414 | |
National Fuel Gas Co. | 174,877 | 10,153,359 | |
New Jersey Resources Corp. | 193,892 | 9,679,089 | |
Northwest Natural Holding Co. | 71,417 | 3,580,848 | |
ONE Gas, Inc. | 109,162 | 8,990,582 | |
South Jersey Industries, Inc. | 247,041 | 8,915,710 | |
Southwest Gas Holdings, Inc. (a) | 134,998 | 9,035,416 | |
Spire, Inc. | 106,155 | 7,666,514 | |
Star Group LP | 76,012 | 908,343 | |
UGI Corp. | 420,333 | 16,741,863 | |
TOTAL GAS UTILITIES | 110,787,630 | ||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 3.9% | |||
Independent Power Producers & Energy Traders – 2.4% | |||
The AES Corp. | 1,331,494 | 36,496,250 | |
Vistra Corp. | 747,413 | 17,235,344 | |
53,731,594 | |||
Renewable Electricity – 1.5% | |||
Altus Power, Inc. (a) | 107,395 | 861,308 |
| |||
Shares | Value | ||
Clearway Energy, Inc. Class A | 72,969 | $ 2,338,657 | |
Clearway Energy, Inc. Class C | 166,499 | 5,626,001 | |
Montauk Renewables, Inc. (a) | 137,811 | 1,531,080 | |
NextEra Energy Partners LP | 168,563 | 12,355,668 | |
Ormat Technologies, Inc. | 90,361 | 8,362,911 | |
Sunnova Energy International, Inc. (a) | 211,090 | 4,112,033 | |
35,187,658 | |||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 88,919,252 | ||
MULTI-UTILITIES – 26.7% | |||
Multi-Utilities – 26.7% | |||
Ameren Corp. | 515,050 | 44,742,394 | |
Avista Corp. | 130,642 | 5,212,616 | |
Black Hills Corp. | 131,348 | 9,506,968 | |
CenterPoint Energy, Inc. | 1,254,885 | 37,797,136 | |
CMS Energy Corp. | 578,492 | 36,554,909 | |
Consolidated Edison, Inc. | 706,843 | 67,369,206 | |
Dominion Energy, Inc. | 1,659,556 | 105,614,144 | |
DTE Energy Co. | 386,204 | 44,942,560 | |
NiSource, Inc. | 809,255 | 22,456,826 | |
NorthWestern Corp. | 113,468 | 6,444,982 | |
Public Service Enterprise Group, Inc. | 994,454 | 61,586,536 | |
Sempra Energy | 626,563 | 100,456,846 | |
Unitil Corp. | 32,452 | 1,693,021 | |
WEC Energy Group, Inc. | 628,804 | 59,101,288 | |
TOTAL MULTI-UTILITIES | 603,479,432 | ||
WATER UTILITIES – 4.5% | |||
Water Utilities – 4.5% | |||
American States Water Co. | 74,827 | 7,046,459 | |
American Water Works Co., Inc. | 362,383 | 56,709,316 | |
Artesian Resources Corp. Class A | 17,145 | 1,009,840 | |
California Water Service Group | 109,995 | 6,728,394 | |
Essential Utilities, Inc. | 496,583 | 23,205,324 | |
Middlesex Water Co. | 18,011 | 1,510,402 | |
SJW Group | 49,566 | 3,836,904 | |
The York Water Co. | 30,596 | 1,390,588 | |
TOTAL WATER UTILITIES | 101,437,227 | ||
TOTAL COMMON STOCKS (Cost $2,240,010,385) | 2,257,833,921 |
Semi-Annual Report | 60 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 4.15% (b) (Cost $4,404,000) | 4,404,000 | $ 4,404,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $2,244,414,385) | 2,262,237,921 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,026,918 | ||
NET ASSETS – 100.0% | $2,263,264,839 |
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 Utilities Select Sector Index Contracts (United States) | 202 | March 2023 | $14,129,900 | $(121,299) | $(121,299) |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 2,257,833,921 | $ 2,257,833,921 | $ — | $ — | |||||
Money Market Funds | 4,404,000 | 4,404,000 | — | — | |||||
Total Investments in Securities: | $ 2,262,237,921 | $ 2,262,237,921 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Liabilities | |||||||||
Futures Contracts | $ (121,299) | $ (121,299) | $ — | $ — | |||||
Total Liabilities | $ (121,299) | $ (121,299) | $ — | $ — | |||||
Total Derivative Instruments: | $ (121,299) | $ (121,299) | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $0 | $(121,299) | |
Total Equity Risk | 0 | (121,299) | |
Total Value of Derivatives | $0 | $(121,299) |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
61 | Semi-Annual Report |
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 | $ 520,414,579 | $ 1,053,678,394 | $ 1,118,459,778 | $ 1,697,631,280 | |||
Segregated cash with brokers for derivative instruments | 63,050 | 176,600 | 221,400 | 264,000 | |||
Cash | 6,348 | 8,492 | 11,395 | 381 | |||
Receivable for investments sold | |||||||
Regular delivery | 10,930,060 | 150,767 | — | — | |||
Delayed delivery | — | — | — | 73,928 | |||
Receivable for fund shares sold | — | — | — | 21,774 | |||
Dividends receivable | 799,218 | 253,473 | 1,515,769 | 1,036,939 | |||
Interest receivable | 2,450 | 6,542 | 8,612 | 7,459 | |||
Receivable for daily variation margin on futures contracts | 80,843 | 43,345 | 48,564 | 27,133 | |||
Total assets | 532,296,548 | 1,054,317,613 | 1,120,265,518 | 1,699,062,894 | |||
Liabilities | |||||||
Payable for investments purchased | 11,981,001 | — | — | — | |||
Payable for fund shares redeemed | — | — | 36,101 | — | |||
Accrued management fees | 34,323 | 69,148 | 78,275 | 116,278 | |||
Payable for daily variation margin on futures contracts | — | — | — | — | |||
Total liabilities | 12,015,324 | 69,148 | 114,376 | 116,278 | |||
Net Assets | $ 520,281,224 | $1,054,248,465 | $1,120,151,142 | $1,698,946,616 | |||
Net Assets consist of: | |||||||
Paid in capital | $ 699,090,753 | $1,176,045,416 | $1,046,739,486 | $1,254,433,030 | |||
Total accumulated earnings (loss) | (178,809,529) | (121,796,951) | 73,411,656 | 444,513,586 | |||
Net Assets | $ 520,281,224 | $1,054,248,465 | $1,120,151,142 | $1,698,946,616 | |||
Shares outstanding | 14,550,000 | 16,100,000 | 25,050,000 | 69,250,000 | |||
Net Asset Value per share | $ 35.76 | $ 65.48 | $ 44.72 | $ 24.53 | |||
Investments at cost | $ 639,942,106 | $1,126,021,573 | $1,023,681,710 | $1,125,513,641 |
Semi-Annual Report | 62 |
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 | $ 1,580,747,790 | $ 3,135,108,640 | $ 742,290,591 | $ 5,444,387,401 | |||
Segregated cash with brokers for derivative instruments | 336,300 | 538,300 | 114,300 | 870,600 | |||
Cash | 18,594 | 14,019 | 7,338 | 7,760 | |||
Receivable for investments sold | |||||||
Regular delivery | 11,770 | — | — | — | |||
Delayed delivery | — | — | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 1,100,247 | 4,367,040 | 341,883 | 1,307,654 | |||
Interest receivable | 13,255 | 21,535 | 5,786 | 26,950 | |||
Receivable for daily variation margin on futures contracts | 83,868 | 154,356 | 38,376 | 24,124 | |||
Total assets | 1,582,311,824 | 3,140,203,890 | 742,798,274 | 5,446,624,489 | |||
Liabilities | |||||||
Payable for investments purchased | 15,230 | 9,372 | 82,234 | — | |||
Payable for fund shares redeemed | — | — | 17,269 | — | |||
Accrued management fees | 108,605 | 219,950 | 50,761 | 362,789 | |||
Payable for daily variation margin on futures contracts | — | — | — | — | |||
Total liabilities | 123,835 | 229,322 | 150,264 | 362,789 | |||
Net Assets | $1,582,187,989 | $3,139,974,568 | $742,648,010 | $5,446,261,700 | |||
Net Assets consist of: | |||||||
Paid in capital | $1,477,705,775 | $2,562,661,200 | $692,973,578 | $3,746,061,824 | |||
Total accumulated earnings (loss) | 104,482,214 | 577,313,368 | 49,674,432 | 1,700,199,876 | |||
Net Assets | $1,582,187,989 | $3,139,974,568 | $742,648,010 | $5,446,261,700 | |||
Shares outstanding | 30,600,000 | 49,450,000 | 13,900,000 | 52,550,000 | |||
Net Asset Value per share | $ 51.71 | $ 63.50 | $ 53.43 | $ 103.64 | |||
Investments at cost | $1,451,380,607 | $2,510,673,849 | $691,320,058 | $3,792,924,601 |
63 | Semi-Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Assets | |||||
Investments in securities, at value – See accompanying schedule | $ 471,053,857 | $ 1,573,401,696 | $ 2,262,237,921 | ||
Segregated cash with brokers for derivative instruments | 57,200 | 195,200 | 909,000 | ||
Cash | 6,339 | 8,680 | 224 | ||
Receivable for investments sold | |||||
Regular delivery | — | — | — | ||
Delayed delivery | — | — | — | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable | 283,364 | 1,428,650 | 855,571 | ||
Interest receivable | 3,185 | 6,855 | 12,735 | ||
Receivable for daily variation margin on futures contracts | 22,588 | 191,825 | — | ||
Total assets | 471,426,533 | 1,575,232,906 | 2,264,015,451 | ||
Liabilities | |||||
Payable for investments purchased | — | 1,754,109 | — | ||
Payable for fund shares redeemed | — | — | 13,575 | ||
Accrued management fees | 31,847 | 105,663 | 153,866 | ||
Payable for daily variation margin on futures contracts | — | — | 583,171 | ||
Total liabilities | 31,847 | 1,859,772 | 750,612 | ||
Net Assets | $471,394,686 | $1,573,373,134 | $2,263,264,839 | ||
Net Assets consist of: | |||||
Paid in capital | $480,526,767 | $1,673,155,495 | $2,260,974,431 | ||
Total accumulated earnings (loss) | (9,132,081) | (99,782,361) | 2,290,408 | ||
Net Assets | $471,394,686 | $1,573,373,134 | $2,263,264,839 | ||
Shares outstanding | 9,850,000 | 57,400,000 | 50,450,000 | ||
Net Asset Value per share | $ 47.86 | $ 27.41 | $ 44.86 | ||
Investments at cost | $466,762,268 | $1,621,612,033 | $2,244,414,385 |
Semi-Annual Report | 64 |
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 | $ 2,846,466 | $ 5,344,165 | $ 13,189,610 | $ 30,678,831 | |||
Interest | 16,438 | 30,681 | 32,470 | 33,876 | |||
Total income | 2,862,904 | 5,374,846 | 13,222,080 | 30,712,707 | |||
Expenses | |||||||
Management fees | 214,682 | 439,183 | 450,801 | 661,604 | |||
Independent trustees' fees and expenses | 920 | 1,869 | 1,865 | 2,685 | |||
Legal | — | 532 | — | — | |||
Total expenses | 215,602 | 441,584 | 452,666 | 664,289 | |||
Net investment income (loss) | 2,647,302 | 4,933,262 | 12,769,414 | 30,048,418 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (26,227,621) | (20,300,530) | (5,593,492) | (4,096,030) | |||
Net realized gain (loss) on In-kind redemptions | 7,762,615 | 18,758,826 | 8,538,131 | 47,141,754 | |||
Net realized gain (loss) on futures contracts | (117,108) | (194,322) | 29,957 | 158,312 | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | (18,582,114) | (1,736,026) | 2,974,596 | 43,204,036 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (5,345,642) | (69,502,365) | (3,703,460) | 159,771,833 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 76,406 | (50,033) | (171,002) | (104,526) | |||
Total change in net unrealized appreciation (depreciation) | (5,269,236) | (69,552,398) | (3,874,462) | 159,667,307 | |||
Net gain (loss) | (23,851,350) | (71,288,424) | (899,866) | 202,871,343 | |||
Net increase (decrease) in net assets resulting from operations | $(21,204,048) | $(66,355,162) | $ 11,869,548 | $232,919,761 |
65 | Semi-Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||
Investment Income | |||||||
Dividends | $ 18,677,552 | $ 22,507,479 | $ 5,668,044 | $ 25,861,568 | |||
Interest | 55,572 | 96,734 | 24,128 | 120,845 | |||
Total income | 18,733,124 | 22,604,213 | 5,692,172 | 25,982,413 | |||
Expenses | |||||||
Management fees | 642,014 | 1,263,378 | 286,789 | 2,181,797 | |||
Independent trustees' fees and expenses | 2,668 | 5,217 | 1,182 | 9,187 | |||
Legal | — | — | — | — | |||
Total expenses | 644,682 | 1,268,595 | 287,971 | 2,190,984 | |||
Net investment income (loss) | 18,088,442 | 21,335,618 | 5,404,201 | 23,791,429 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (6,686,623) | (21,943,225) | (8,952,347) | (30,785,166) | |||
Net realized gain (loss) on In-kind redemptions | 28,308,101 | 31,156,215 | 17,401,415 | 143,863,073 | |||
Net realized gain (loss) on futures contracts | 450,668 | 753,824 | 47,699 | 120,090 | |||
Net realized gain (loss) on foreign currency transactions | — | — | (16) | — | |||
Total net realized gain (loss) | 22,072,146 | 9,966,814 | 8,496,751 | 113,197,997 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 93,973,093 | 17,152,361 | 35,993,935 | (420,105,324) | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 67,047 | (708,694) | (21,738) | (51,576) | |||
Total change in net unrealized appreciation (depreciation) | 94,040,140 | 16,443,667 | 35,972,197 | (420,156,900) | |||
Net gain (loss) | 116,112,286 | 26,410,481 | 44,468,948 | (306,958,903) | |||
Net increase (decrease) in net assets resulting from operations | $134,200,728 | $ 47,746,099 | $49,873,149 | $(283,167,474) |
Semi-Annual Report | 66 |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 4,193,477 | $ 27,905,054 | $ 31,492,214 | ||
Interest | 15,162 | 33,772 | 65,018 | ||
Total income | 4,208,639 | 27,938,826 | 31,557,232 | ||
Expenses | |||||
Management fees | 181,342 | 643,862 | 890,199 | ||
Independent trustees' fees and expenses | 751 | 2,745 | 3,656 | ||
Legal | — | — | — | ||
Total expenses | 182,093 | 646,607 | 893,855 | ||
Net investment income (loss) | 4,026,546 | 27,292,219 | 30,663,377 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (3,049,927) | (12,702,844) | (2,668,234) | ||
Net realized gain (loss) on In-kind redemptions | 2,879,112 | 21,522,657 | 20,292,982 | ||
Net realized gain (loss) on futures contracts | 1,433 | (584,901) | (228,350) | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | (169,382) | 8,234,912 | 17,396,398 | ||
Change in net unrealized appreciation (depreciation) on investment securities | 37,251,098 | (146,146,653) | (156,733,626) | ||
Change in net unrealized appreciation (depreciation) on futures contracts | 74,079 | 21,461 | (358,801) | ||
Total change in net unrealized appreciation (depreciation) | 37,325,177 | (146,125,192) | (157,092,427) | ||
Net gain (loss) | 37,155,795 | (137,890,280) | (139,696,029) | ||
Net increase (decrease) in net assets resulting from operations | $41,182,341 | $(110,598,061) | $(109,032,652) |
67 | Semi-Annual Report |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 2,647,302 | $ 7,496,704 | $ 4,933,262 | $ 10,582,475 | |||
Net realized gain (loss) | (18,582,114) | 64,340,202 | (1,736,026) | 221,091,762 | |||
Change in net unrealized appreciation (depreciation) | (5,269,236) | (359,603,822) | (69,552,398) | (461,544,425) | |||
Net increase (decrease) in net assets resulting from operations | (21,204,048) | (287,766,916) | (66,355,162) | (229,870,188) | |||
Distributions to shareholders | (2,647,100) | (7,610,350) | (4,705,750) | (11,050,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 55,844,035 | 233,928,059 | 25,289,905 | 324,283,128 | |||
Cost of shares redeemed | (72,957,195) | (293,680,545) | (74,996,569) | (539,877,842) | |||
Net increase (decrease) in net assets resulting from share transactions | (17,113,160) | (59,752,486) | (49,706,664) | (215,594,714) | |||
Total increase (decrease) in net assets | (40,964,308) | (355,129,752) | (120,767,576) | (456,515,102) | |||
Net Assets | |||||||
Beginning of period | 561,245,532 | 916,375,284 | 1,175,016,041 | 1,631,531,143 | |||
End of period | $520,281,224 | $ 561,245,532 | $1,054,248,465 | $1,175,016,041 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,650,000 | 5,400,000 | 400,000 | 3,800,000 | |||
Redeemed | (2,300,000) | (6,900,000) | (1,200,000) | (6,950,000) | |||
Net increase (decrease) | (650,000) | (1,500,000) | (800,000) | (3,150,000) |
Semi-Annual Report | 68 |
Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 12,769,414 | $ 21,398,163 | $ 30,048,418 | $ 44,453,478 | |||
Net realized gain (loss) | 2,974,596 | 22,771,000 | 43,204,036 | 120,258,555 | |||
Change in net unrealized appreciation (depreciation) | (3,874,462) | (5,042,927) | 159,667,307 | 405,661,825 | |||
Net increase (decrease) in net assets resulting from operations | 11,869,548 | 39,126,236 | 232,919,761 | 570,373,858 | |||
Distributions to shareholders | (12,535,050) | (21,252,450) | (28,716,550) | (46,175,650) | |||
Share transactions | |||||||
Proceeds from sales of shares | 99,409,056 | 324,193,400 | 102,017,301 | 387,541,369 | |||
Cost of shares redeemed | (36,951,156) | (101,991,130) | (94,850,462) | (318,221,008) | |||
Net increase (decrease) in net assets resulting from share transactions | 62,457,900 | 222,202,270 | 7,166,839 | 69,320,361 | |||
Total increase (decrease) in net assets | 61,792,398 | 240,076,056 | 211,370,050 | 593,518,569 | |||
Net Assets | |||||||
Beginning of period | 1,058,358,744 | 818,282,688 | 1,487,576,566 | 894,057,997 | |||
End of period | $1,120,151,142 | $1,058,358,744 | $1,698,946,616 | $1,487,576,566 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,250,000 | 7,100,000 | 4,250,000 | 21,050,000 | |||
Redeemed | (850,000) | (2,350,000) | (4,300,000) | (18,100,000) | |||
Net increase (decrease) | 1,400,000 | 4,750,000 | (50,000) | 2,950,000 |
69 | Semi-Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 18,088,442 | $ 35,229,668 | $ 21,335,618 | $ 36,342,043 | |||
Net realized gain (loss) | 22,072,146 | 72,806,146 | 9,966,814 | 68,664,227 | |||
Change in net unrealized appreciation (depreciation) | 94,040,140 | (226,108,984) | 16,443,667 | (208,929,300) | |||
Net increase (decrease) in net assets resulting from operations | 134,200,728 | (118,073,170) | 47,746,099 | (103,923,030) | |||
Distributions to shareholders | (17,446,200) | (36,480,350) | (20,102,300) | (37,227,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 32,183,781 | 276,240,117 | 212,773,811 | 455,404,706 | |||
Cost of shares redeemed | (116,249,062) | (289,122,805) | (68,801,818) | (192,134,263) | |||
Net increase (decrease) in net assets resulting from share transactions | (84,065,281) | (12,882,688) | 143,971,993 | 263,270,443 | |||
Total increase (decrease) in net assets | 32,689,247 | (167,436,208) | 171,615,792 | 122,120,213 | |||
Net Assets | |||||||
Beginning of period | 1,549,498,742 | 1,716,934,950 | 2,968,358,776 | 2,846,238,563 | |||
End of period | $1,582,187,989 | $1,549,498,742 | $3,139,974,568 | $2,968,358,776 | |||
Other Information | |||||||
Shares | |||||||
Sold | 700,000 | 4,950,000 | 3,450,000 | 7,000,000 | |||
Redeemed | (2,400,000) | (5,550,000) | (1,100,000) | (3,000,000) | |||
Net increase (decrease) | (1,700,000) | (600,000) | 2,350,000 | 4,000,000 |
Semi-Annual Report | 70 |
Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,404,201 | $ 10,433,633 | $ 23,791,429 | $ 44,263,520 | |||
Net realized gain (loss) | 8,496,751 | 61,408,260 | 113,197,997 | 176,542,038 | |||
Change in net unrealized appreciation (depreciation) | 35,972,197 | (138,691,000) | (420,156,900) | (866,361,731) | |||
Net increase (decrease) in net assets resulting from operations | 49,873,149 | (66,849,107) | (283,167,474) | (645,556,173) | |||
Distributions to shareholders | (5,409,600) | (10,491,650) | (23,660,800) | (46,200,150) | |||
Share transactions | |||||||
Proceeds from sales of shares | 56,705,716 | 101,356,059 | 234,509,282 | 554,048,203 | |||
Cost of shares redeemed | (63,815,818) | (180,991,891) | (220,483,494) | (330,116,462) | |||
Net increase (decrease) in net assets resulting from share transactions | (7,110,102) | (79,635,832) | 14,025,788 | 223,931,741 | |||
Total increase (decrease) in net assets | 37,353,447 | (156,976,589) | (292,802,486) | (467,824,582) | |||
Net Assets | |||||||
Beginning of period | 705,294,563 | 862,271,152 | 5,739,064,186 | 6,206,888,768 | |||
End of period | $742,648,010 | $ 705,294,563 | $5,446,261,700 | $5,739,064,186 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,100,000 | 1,900,000 | 2,250,000 | 4,350,000 | |||
Redeemed | (1,300,000) | (3,600,000) | (2,150,000) | (2,900,000) | |||
Net increase (decrease) | (200,000) | (1,700,000) | 100,000 | 1,450,000 |
71 | Semi-Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 4,026,546 | $ 8,990,437 | $ 27,292,219 | $ 43,089,610 | |||
Net realized gain (loss) | (169,382) | 38,061,774 | 8,234,912 | 99,966,618 | |||
Change in net unrealized appreciation (depreciation) | 37,325,177 | (80,161,823) | (146,125,192) | (242,897,051) | |||
Net increase (decrease) in net assets resulting from operations | 41,182,341 | (33,109,612) | (110,598,061) | (99,840,823) | |||
Distributions to shareholders | (4,099,400) | (8,977,200) | (24,138,950) | (56,284,500) | |||
Share transactions | |||||||
Proceeds from sales of shares | 22,327,920 | 135,066,634 | 59,034,312 | 475,187,190 | |||
Cost of shares redeemed | (37,833,276) | (187,299,301) | (123,511,410) | (331,089,835) | |||
Net increase (decrease) in net assets resulting from share transactions | (15,505,356) | (52,232,667) | (64,477,098) | 144,097,355 | |||
Total increase (decrease) in net assets | 21,577,585 | (94,319,479) | (199,214,109) | (12,027,968) | |||
Net Assets | |||||||
Beginning of period | 449,817,101 | 544,136,580 | 1,772,587,243 | 1,784,615,211 | |||
End of period | $471,394,686 | $ 449,817,101 | $1,573,373,134 | $1,772,587,243 | |||
Other Information | |||||||
Shares | |||||||
Sold | 500,000 | 2,750,000 | 2,250,000 | 14,750,000 | |||
Redeemed | (900,000) | (4,100,000) | (4,900,000) | (10,900,000) | |||
Net increase (decrease) | (400,000) | (1,350,000) | (2,650,000) | 3,850,000 |
Semi-Annual Report | 72 |
Fidelity MSCI Utilities Index ETF | |||
Six months ended January 31, 2023 (Unaudited) | Year ended July 31, 2022 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 30,663,377 | $ 36,139,030 | |
Net realized gain (loss) | 17,396,398 | 48,300,677 | |
Change in net unrealized appreciation (depreciation) | (157,092,427) | 117,096,987 | |
Net increase (decrease) in net assets resulting from operations | (109,032,652) | 201,536,694 | |
Distributions to shareholders | (29,878,800) | (36,559,700) | |
Share transactions | |||
Proceeds from sales of shares | 346,776,647 | 1,236,559,491 | |
Cost of shares redeemed | (139,672,724) | (282,756,360) | |
Net increase (decrease) in net assets resulting from share transactions | 207,103,923 | 953,803,131 | |
Total increase (decrease) in net assets | 68,192,471 | 1,118,780,125 | |
Net Assets | |||
Beginning of period | 2,195,072,368 | 1,076,292,243 | |
End of period | $2,263,264,839 | $2,195,072,368 | |
Other Information | |||
Shares | |||
Sold | 7,650,000 | 27,150,000 | |
Redeemed | (3,200,000) | (6,400,000) | |
Net increase (decrease) | 4,450,000 | 20,750,000 |
73 | Semi-Annual Report |
Fidelity MSCI Communication Services Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 36.92 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | $ 32.62 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.17 | 0.45 | 0.34 | 0.33 | 0.49 | 0.85 | |||||
Net realized and unrealized gain (loss) | (1.16) | (17.95) | 16.96 | 3.52 | 5.59 | (2.43) | |||||
Total from investment operations | (0.99) | (17.50) | 17.30 | 3.85 | 6.08 | (1.58) | |||||
Distributions from net investment income | (0.17) | (0.45) | (0.31) | (0.32) | (0.49) | (1.00) | |||||
Distributions from net realized gain | — | — | — | — | — | (1.28) | |||||
Total distributions | (0.17) | (0.45) | (0.31) | (0.32) | (0.49) | (2.28) | |||||
Net asset value, end of period | $ 35.76 | $ 36.92 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | |||||
Total ReturnC,D | (2.65)% | (32.06)% | 45.81% | 11.40% | 21.33% | (5.14)% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.03% F | .95% | .72% | .96% | 1.53% | 2.81% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $520,281 | $561,246 | $916,375 | $577,709 | $374,389 | $125,104 | |||||
Portfolio turnover rateG,H | 11% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 74 |
Fidelity MSCI Consumer Discretionary Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 69.53 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | $ 36.06 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.30 | 0.55 | 0.42 | 0.50 | 0.51 | 0.47 | |||||
Net realized and unrealized gain (loss) | (4.07) | (11.81) | 24.10 | 11.01 | 2.96 | 7.20 | |||||
Total from investment operations | (3.77) | (11.26) | 24.52 | 11.51 | 3.47 | 7.67 | |||||
Distributions from net investment income | (0.28) | (0.58) | (0.40) | (0.51) | (0.54) | (0.41) | |||||
Total distributions | (0.28) | (0.58) | (0.40) | (0.51) | (0.54) | (0.41) | |||||
Net asset value, end of period | $ 65.48 | $ 69.53 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | |||||
Total ReturnC,D | (5.39)% | (13.89)% | 42.95% | 25.26% | 8.15% | 21.36% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | .94% F | .71% | .58% | 1.06% | 1.18% | 1.16% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,054,248 | $1,175,016 | $1,631,531 | $881,589 | $728,457 | $628,129 | |||||
Portfolio turnover rateG,H | 6% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
75 | Semi-Annual Report |
Fidelity MSCI Consumer Staples Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 44.75 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | $ 33.23 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.52 | 1.01 | 1.02 | 0.96 | 0.94 | 0.86 | |||||
Net realized and unrealized gain (loss) | (0.04) | 1.45 | 6.01 | 1.70 | 3.23 | (0.88) | |||||
Total from investment operations | 0.48 | 2.46 | 7.03 | 2.66 | 4.17 | (0.02) | |||||
Distributions from net investment income | (0.51) | (1.01) | (1.02) | (0.96) | (0.91) | (0.88) | |||||
Total distributions | (0.51) | (1.01) | (1.02) | (0.96) | (0.91) | (0.88) | |||||
Net asset value, end of period | $ 44.72 | $ 44.75 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | |||||
Total ReturnC,D | 1.09% | 5.79% | 19.09% | 7.74% | 13.16% | (0.06)% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.37% F | 2.27% | 2.53% | 2.68% | 2.83% | 2.65% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,120,151 | $1,058,359 | $818,283 | $678,649 | $548,070 | $311,970 | |||||
Portfolio turnover rateG,H | 3% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 76 |
Fidelity MSCI Energy Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 21.47 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | $ 18.39 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.44 | 0.65 | 0.49 | 0.51 | 0.54 | 0.47 | |||||
Net realized and unrealized gain (loss) | 3.04 | 8.02 | 4.02 | (6.86) | (4.70) | 3.22 | |||||
Total from investment operations | 3.48 | 8.67 | 4.51 | (6.35) | (4.16) | 3.69 | |||||
Distributions from net investment income | (0.42) | (0.67) | (0.51) | (0.97) | (0.55) | (0.58) | |||||
Total distributions | (0.42) | (0.67) | (0.51) | (0.97) | (0.55) | (0.58) | |||||
Net asset value, end of period | $ 24.53 | $ 21.47 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | |||||
Total ReturnC,D | 16.48% | 65.70% | 48.79% | (39.28)% | (19.42)% | 20.52% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 3.81% F | 3.59% | 4.11% | 4.18% | 2.92% | 2.40% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,698,947 | $1,487,577 | $894,058 | $449,325 | $467,628 | $634,157 | |||||
Portfolio turnover rateG,H | 4% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
77 | Semi-Annual Report |
Fidelity MSCI Financials Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 47.97 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | $ 36.94 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.57 | 1.05 | 0.96 | 1.00 | 0.89 | 0.75 | |||||
Net realized and unrealized gain (loss) | 3.72 | (4.19) | 18.00 | (7.09) | 0.18 | 4.11 | |||||
Total from investment operations | 4.29 | (3.14) | 18.96 | (6.09) | 1.07 | 4.86 | |||||
Distributions from net investment income | (0.55) | (1.08) | (0.89) | (1.01) | (0.90) | (0.75) | |||||
Total distributions | (0.55) | (1.08) | (0.89) | (1.01) | (0.90) | (0.75) | |||||
Net asset value, end of period | $ 51.71 | $ 47.97 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | |||||
Total ReturnC,D | 9.04% | (6.11)% | 56.15% | (14.78)% | 2.80% | 13.23% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.36% F | 1.97% | 2.10% | 2.61% | 2.27% | 1.88% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,582,188 | $1,549,499 | $1,716,935 | $725,059 | $1,143,858 | $1,574,375 | |||||
Portfolio turnover rateG,H | 2% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 78 |
Fidelity MSCI Health Care Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 63.02 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | $ 38.44 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.44 | 0.81 | 0.75 | 0.72 | 0.63 | 0.56 | |||||
Net realized and unrealized gain (loss) | 0.46 | (3.00) | 13.74 | 7.88 | 1.01 | 5.29 | |||||
Total from investment operations | 0.90 | (2.19) | 14.49 | 8.60 | 1.64 | 5.85 | |||||
Distributions from net investment income | (0.42) | (0.83) | (0.79) | (0.69) | (0.93) | (0.57) | |||||
Total distributions | (0.42) | (0.83) | (0.79) | (0.69) | (0.93) | (0.57) | |||||
Net asset value, end of period | $ 63.50 | $ 63.02 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | |||||
Total ReturnC,D | 1.43% | (3.32)% | 27.91% | 19.69% | 3.84% | 15.34% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.41% F | 1.27% | 1.28% | 1.52% | 1.43% | 1.39% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $3,139,975 | $2,968,359 | $2,846,239 | $2,015,266 | $1,557,252 | $1,252,626 | |||||
Portfolio turnover rateG,H | 4% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
79 | Semi-Annual Report |
Fidelity MSCI Industrials Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 50.02 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | $ 34.93 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.39 | 0.68 | 0.61 | 0.69 | 0.70 | 0.61 | |||||
Net realized and unrealized gain (loss) | 3.41 | (4.55) | 17.00 | (2.48) | 0.51 | 4.62 | |||||
Total from investment operations | 3.80 | (3.87) | 17.61 | (1.79) | 1.21 | 5.23 | |||||
Distributions from net investment income | (0.39) | (0.68) | (0.59) | (0.70) | (0.68) | (0.65) | |||||
Total distributions | (0.39) | (0.68) | (0.59) | (0.70) | (0.68) | (0.65) | |||||
Net asset value, end of period | $ 53.43 | $ 50.02 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | |||||
Total ReturnC,D | 7.67% | (7.10)% | 47.17% | (4.34)% | 3.23% | 15.08% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.58% F | 1.29% | 1.24% | 1.80% | 1.84% | 1.61% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $742,648 | $705,295 | $862,271 | $347,297 | $454,471 | $499,824 | |||||
Portfolio turnover rateG,H | 3% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 80 |
Fidelity MSCI Information Technology Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 109.42 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | $ 44.50 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.46 | 0.84 | 0.79 | 0.87 | 0.70 | 0.53 | |||||
Net realized and unrealized gain (loss) | (5.79) | (12.24) | 34.45 | 22.70 | 8.17 | 11.85 | |||||
Total from investment operations | (5.33) | (11.40) | 35.24 | 23.57 | 8.87 | 12.38 | |||||
Distributions from net investment income | (0.45) | (0.88) | (0.79) | (0.85) | (0.70) | (0.52) | |||||
Total distributions | (0.45) | (0.88) | (0.79) | (0.85) | (0.70) | (0.52) | |||||
Net asset value, end of period | $ 103.64 | $ 109.42 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | |||||
Total ReturnC,D | (4.84)% | (9.41)% | 40.57% | 36.99% | 15.94% | 27.92% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | .91% F | .71% | .76% | 1.21% | 1.22% | 1.02% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $5,446,262 | $5,739,064 | $6,206,889 | $4,288,256 | $2,571,364 | $2,223,254 | |||||
Portfolio turnover rateG,H | 4% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
81 | Semi-Annual Report |
Fidelity MSCI Materials Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 43.88 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | $ 31.63 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.40 | 0.83 | 0.71 | 0.65 | 0.65 | 0.55 | |||||
Net realized and unrealized gain (loss) | 3.99 | (3.01) | 13.98 | 0.30 | (2.08) | 3.09 | |||||
Total from investment operations | 4.39 | (2.18) | 14.69 | 0.95 | (1.43) | 3.64 | |||||
Distributions from net investment income | (0.41) | (0.85) | (0.68) | (0.68) | (0.64) | (0.57) | |||||
Total distributions | (0.41) | (0.85) | (0.68) | (0.68) | (0.64) | (0.57) | |||||
Net asset value, end of period | $ 47.86 | $ 43.88 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | |||||
Total ReturnC,D | 10.10% | (4.68)% | 45.01% | 3.28% | (4.02)% | 11.54% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 1.86% F | 1.77% | 1.66% | 2.08% | 2.05% | 1.60% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $471,395 | $449,817 | $544,137 | $164,486 | $199,043 | $265,428 | |||||
Portfolio turnover rateG,H | 2% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 82 |
Fidelity MSCI Real Estate Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 29.52 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | $ 24.53 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.46 | 0.68 | 0.58 | 0.67 | 1.05 | 0.76 | |||||
Net realized and unrealized gain (loss) | (2.16) | (2.01) | 7.83 | (2.13) | 2.08 | 0.32 | |||||
Total from investment operations | (1.70) | (1.33) | 8.41 | (1.46) | 3.13 | 1.08 | |||||
Distributions from net investment income | (0.41) | (0.90) | (0.89) | (0.68) | (1.24) | (0.92) | |||||
Return of capital | — | — | — | (0.21) | — | — | |||||
Total distributions | (0.41) | (0.90) | (0.89) | (0.89) | (1.24) | (0.92) | |||||
Net asset value, end of period | $ 27.41 | $ 29.52 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | |||||
Total ReturnC,D | (5.70)% | (4.25)% | 35.58% | (5.27)% | 13.19% | 4.53% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 3.54% F | 2.20% | 2.16% | 2.62% | 4.20% | 3.15% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $1,573,373 | $1,772,587 | $1,784,615 | $1,066,154 | $844,003 | $502,347 | |||||
Portfolio turnover rateG,H | 3% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
83 | Semi-Annual Report |
Fidelity MSCI Utilities Index ETF | |||||||||||
Six months ended January 31, 2023 (Unaudited) | 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 | $ 47.72 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | $ 34.64 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.66 | 1.19 | 1.21 | 1.23 | 1.16 | 1.10 | |||||
Net realized and unrealized gain (loss) | (2.88) | 5.11 | 3.56 | (0.09) | 4.32 | 0.20 | |||||
Total from investment operations | (2.22) | 6.30 | 4.77 | 1.14 | 5.48 | 1.30 | |||||
Distributions from net investment income | (0.64) | (1.21) | (1.25) | (1.24) | (1.12) | (1.09) | |||||
Total distributions | (0.64) | (1.21) | (1.25) | (1.24) | (1.12) | (1.09) | |||||
Net asset value, end of period | $ 44.86 | $ 47.72 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | |||||
Total ReturnC,D | (4.69)% | 15.10% | 12.46% | 3.13% | 15.93% | 3.83% | |||||
Ratios to Average Net AssetsA,E | |||||||||||
Expenses before reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of fee waivers, if any | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Expenses net of all reductions | .08% F | .08% | .08% | .08% | .08% | .08% | |||||
Net investment income (loss) | 2.88% F | 2.66% | 2.96% | 3.06% | 3.11% | 3.21% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $2,263,265 | $2,195,072 | $1,076,292 | $844,807 | $733,190 | $336,273 | |||||
Portfolio turnover rateG,H | 1% I | 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 | Total returns for periods of less than one year are not annualized. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
F | Annualized. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
I | Amount not annualized. |
Semi-Annual Report | 84 |
For the period ended January 31, 2023 (Unaudited)
85 | Semi-Annual Report |
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.
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 648,167,028 | $ 26,032,614 | $ (153,785,063) | $ (127,752,449) |
Fidelity MSCI Consumer Discretionary Index ETF | 1,145,849,427 | 100,905,605 | (193,076,638) | (92,171,033) |
Semi-Annual Report | 86 |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Consumer Staples Index ETF | $ 1,039,472,528 | $ 131,765,723 | $ (52,778,473) | $ 78,987,250 |
Fidelity MSCI Energy Index ETF | 1,168,204,539 | 577,576,759 | (48,150,018) | 529,426,741 |
Fidelity MSCI Financials Index ETF | 1,461,297,221 | 208,366,603 | (88,916,034) | 119,450,569 |
Fidelity MSCI Health Care Index ETF | 2,544,363,564 | 766,174,047 | (175,428,971) | 590,745,076 |
Fidelity MSCI Industrials Index ETF | 695,323,808 | 113,014,746 | (66,047,963) | 46,966,783 |
Fidelity MSCI Information Technology Index ETF | 3,827,156,550 | 1,916,725,214 | (299,494,363) | 1,617,230,851 |
Fidelity MSCI Materials Index ETF | 468,585,012 | 47,326,799 | (44,857,954) | 2,468,845 |
Fidelity MSCI Real Estate Index ETF | 1,645,520,800 | 101,782,216 | (173,901,320) | (72,119,104) |
Fidelity MSCI Utilities Index ETF | 2,253,626,922 | 74,122,745 | (65,511,746) | 8,610,999 |
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) |
87 | Semi-Annual Report |
Derivatives were used to increase or decrease exposure to the following risk(s):
Purchases ($) | Sales ($) | |
Fidelity MSCI Communication Services Index ETF | 56,590,826 | 56,738,531 |
Fidelity MSCI Consumer Discretionary Index ETF | 67,204,374 | 67,239,653 |
Fidelity MSCI Consumer Staples Index ETF | 29,101,696 | 30,141,874 |
Fidelity MSCI Energy Index ETF | 60,832,493 | 58,448,069 |
Fidelity MSCI Financials Index ETF | 32,419,184 | 33,530,101 |
Fidelity MSCI Health Care Index ETF | 120,788,193 | 119,824,132 |
Fidelity MSCI Industrials Index ETF | 19,020,109 | 18,994,698 |
Fidelity MSCI Information Technology Index ETF | 214,511,961 | 215,568,143 |
Fidelity MSCI Materials Index ETF | 7,877,229 | 7,364,640 |
Fidelity MSCI Real Estate Index ETF | 50,440,913 | 44,748,954 |
Fidelity MSCI Utilities Index ETF | 30,766,683 | 28,400,370 |
Semi-Annual Report | 88 |
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity MSCI Communication Services Index ETF | 55,600,472 | 72,636,343 |
Fidelity MSCI Consumer Discretionary Index ETF | 25,205,773 | 74,737,665 |
Fidelity MSCI Consumer Staples Index ETF | 99,138,468 | 36,825,498 |
Fidelity MSCI Energy Index ETF | 100,742,844 | 93,064,336 |
Fidelity MSCI Financials Index ETF | 31,137,047 | 111,912,455 |
Fidelity MSCI Health Care Index ETF | 211,994,617 | 68,554,099 |
Fidelity MSCI Industrials Index ETF | 56,249,601 | 63,361,268 |
Fidelity MSCI Information Technology Index ETF | 233,392,796 | 219,830,502 |
Fidelity MSCI Materials Index ETF | 22,203,718 | 37,696,872 |
Fidelity MSCI Real Estate Index ETF | 58,483,264 | 122,412,848 |
Fidelity MSCI Utilities Index ETF | 344,108,741 | 138,653,976 |
89 | Semi-Annual Report |
Annualized Expense RatioA | Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Expenses Paid During PeriodB August 1, 2022 to January 31, 2023 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 973.50 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 946.10 | $ 0.39 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,010.90 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,164.80 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,090.40 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,014.30 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,076.70 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 |
Semi-Annual Report | 90 |
Annualized Expense RatioA | Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Expenses Paid During PeriodB August 1, 2022 to January 31, 2023 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,101.00 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 953.10 | $ 0.39 | |
Hypothetical C | $ 1,000.00 | $ 1,024.80 | $ 0.41 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
91 | Semi-Annual Report |
Semi-Annual Report | 92 |
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) | Not applicable. |
(b) | Not applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Covington Trust’s Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Covington Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Covington Trust
By: | /s/ Stacie M. Smith | |
Stacie M. Smith | ||
President and Treasurer | ||
Date: | March 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Stacie M. Smith | |
Stacie M. Smith | ||
President and Treasurer | ||
Date: | March 23, 2023 | |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | March 23, 2023 |