UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07319
Fidelity Covington Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant’s telephone number, including area code: 617-563-7000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2023
Item 1. | Reports to Stockholders |
Annual Report | 2 |
3 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Communication Services Index ETF – NAVA | 16.44 | 9.29 | 7.92 |
Fidelity MSCI Communication Services Index ETF – Market PriceB | 16.56 | 9.21 | 7.92 |
MSCI USA IMI Communication Services 25/50 IndexA | 16.56 | 9.41 | 8.00 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 4 |
5 | Annual Report |
% of fund's net assets | |
Meta Platforms, Inc. Class A | 20.1 |
Alphabet, Inc. Class A | 11.9 |
Alphabet, Inc. Class C | 9.9 |
Netflix, Inc. | 4.8 |
The Walt Disney Co. | 4.5 |
Comcast Corp. Class A | 4.4 |
Verizon Communications, Inc. | 3.8 |
AT&T, Inc. | 3.2 |
T-Mobile US, Inc. | 2.7 |
Activision Blizzard, Inc. | 2.5 |
67.8 |
Annual Report | 6 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Consumer Discretionary Index ETF – NAVA | 10.04 | 12.91 | 13.15 |
Fidelity MSCI Consumer Discretionary Index ETF – Market PriceB | 10.12 | 12.93 | 13.05 |
Fidelity MSCI Consumer Discretionary Index ETF Capped Linked IndexA | 10.15 | 12.85 | 13.19 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
7 | Annual Report |
Annual Report | 8 |
% of fund's net assets | |
Amazon.com, Inc. | 22.7 |
Tesla, Inc. | 15.0 |
The Home Depot, Inc. | 6.6 |
McDonald's Corp. | 4.0 |
Lowe's Cos., Inc. | 2.8 |
NIKE, Inc. Class B | 2.7 |
Starbucks Corp. | 2.3 |
Booking Holdings, Inc. | 2.2 |
The TJX Cos., Inc. | 2.0 |
Airbnb, Inc. Class A | 1.3 |
O'Reilly Automotive, Inc. | 1.2 |
62.8 |
9 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Consumer Staples Index ETF – NAVA | 6.20 | 10.28 | 9.28 |
Fidelity MSCI Consumer Staples Index ETF – Market PriceB | 6.11 | 10.24 | 9.14 |
Fidelity MSCI Consumer Staples Index ETF Capped Linked IndexA | 6.30 | 10.40 | 9.43 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 10 |
11 | Annual Report |
% of fund's net assets | |
The Procter & Gamble Co. | 12.6 |
PepsiCo, Inc. | 8.6 |
The Coca-Cola Co. | 8.5 |
Costco Wholesale Corp. | 8.2 |
Walmart, Inc. | 7.8 |
Philip Morris International, Inc. | 4.8 |
Mondelez International, Inc. Class A | 3.7 |
Altria Group, Inc. | 3.0 |
Colgate-Palmolive Co. | 2.3 |
Archer-Daniels-Midland Co. | 1.8 |
61.3 |
Annual Report | 12 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Energy Index ETF – NAVA | 16.10 | 6.97 | 3.14 |
Fidelity MSCI Energy Index ETF – Market PriceB | 16.11 | 6.97 | 3.16 |
Fidelity MSCI Energy Index ETF Capped Linked IndexA | 16.21 | 7.04 | 3.23 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
13 | Annual Report |
Annual Report | 14 |
% of fund's net assets | |
Exxon Mobil Corp. | 20.3 |
Chevron Corp. | 14.8 |
ConocoPhillips | 7.0 |
Schlumberger N.V. | 4.2 |
EOG Resources, Inc. | 4.0 |
Marathon Petroleum Corp. | 3.7 |
Occidental Petroleum Corp. | 2.9 |
Pioneer Natural Resources Co. | 2.7 |
Phillips 66 | 2.7 |
Valero Energy Corp. | 2.6 |
64.9 |
15 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Financials Index ETF – NAVA | 6.44 | 6.45 | 9.66 |
Fidelity MSCI Financials Index ETF – Market PriceB | 6.48 | 6.46 | 9.70 |
Fidelity MSCI Financials Index ETF Capped Linked IndexA | 6.53 | 6.55 | 9.77 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 16 |
17 | Annual Report |
% of fund's net assets | |
JPMorgan Chase & Co. | 8.0 |
Berkshire Hathaway, Inc. Class B | 7.9 |
Visa, Inc. Class A | 6.7 |
Mastercard, Inc. Class A | 5.8 |
Bank of America Corp. | 4.0 |
Wells Fargo & Co. | 3.0 |
S&P Global, Inc. | 2.2 |
Goldman Sachs Group, Inc. | 2.1 |
Morgan Stanley | 2.0 |
BlackRock, Inc. | 1.9 |
43.6 |
Annual Report | 18 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Health Care Index ETF – NAVA | 2.65 | 9.55 | 11.72 |
Fidelity MSCI Health Care Index ETF – Market PriceB | 2.53 | 9.53 | 11.63 |
Fidelity MSCI Health Care Index ETF Capped Linked IndexA | 2.73 | 9.64 | 11.84 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
19 | Annual Report |
Annual Report | 20 |
% of fund's net assets | |
UnitedHealth Group, Inc. | 8.1 |
Johnson & Johnson | 7.5 |
Eli Lilly & Co. | 6.3 |
Merck & Co., Inc. | 4.6 |
AbbVie, Inc. | 4.5 |
Thermo Fisher Scientific, Inc. | 3.6 |
Pfizer, Inc. | 3.5 |
Abbott Laboratories | 3.3 |
Danaher Corp. | 3.0 |
Bristol-Myers Squibb Co. | 2.3 |
46.7 |
21 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Industrials Index ETF – NAVA | 19.17 | 9.98 | 10.84 |
Fidelity MSCI Industrials Index ETF – Market PriceB | 19.23 | 10.00 | 10.73 |
Fidelity MSCI Industrials Index ETF Capped Linked IndexA | 19.28 | 10.07 | 10.95 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 22 |
23 | Annual Report |
% of fund's net assets | |
Union Pacific Corp. | 3.2 |
Caterpillar, Inc. | 3.1 |
The Boeing Co. | 3.1 |
United Parcel Service, Inc. Class B | 3.1 |
Honeywell International, Inc. | 3.0 |
RTX Corp. | 2.9 |
General Electric Co. | 2.8 |
Deere & Co. | 2.8 |
Automatic Data Processing, Inc. | 2.3 |
Lockheed Martin Corp. | 2.3 |
28.6 |
Annual Report | 24 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Information Technology Index ETF – NAVA | 23.86 | 20.16 | 19.95 |
Fidelity MSCI Information Technology Index ETF – Market PriceB | 23.83 | 20.16 | 20.02 |
Fidelity MSCI Information Technology Index ETF Capped Linked IndexA | 23.98 | 20.27 | 20.06 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
25 | Annual Report |
Annual Report | 26 |
% of fund's net assets | |
Apple, Inc. | 22.8 |
Microsoft Corp. | 19.8 |
NVIDIA Corp. | 4.5 |
Broadcom, Inc. | 3.1 |
Adobe, Inc. | 2.1 |
Salesforce, Inc. | 1.9 |
Cisco Systems, Inc. | 1.8 |
Accenture PLC Class A | 1.7 |
Oracle Corp. | 1.6 |
Advanced Micro Devices, Inc. | 1.6 |
60.9 |
27 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Materials Index ETF – NAVA | 12.41 | 9.02 | 9.04 |
Fidelity MSCI Materials Index ETF – Market PriceB | 12.30 | 9.01 | 8.91 |
Fidelity MSCI Materials Index ETF Capped Linked IndexA | 12.52 | 9.09 | 9.10 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 28 |
29 | Annual Report |
% of fund's net assets | |
Linde PLC | 15.4 |
The Sherwin-Williams Co. | 5.5 |
Air Products & Chemicals, Inc. | 5.4 |
Freeport-McMoRan, Inc. | 5.1 |
Ecolab, Inc. | 3.8 |
Nucor Corp. | 3.5 |
Corteva, Inc. | 3.2 |
Dow, Inc. | 3.2 |
DuPont de Nemours, Inc. | 2.9 |
Newmont Corp. | 2.7 |
50.7 |
Annual Report | 30 |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Real Estate Index ETF – NAVA | -9.85 | 4.64 | 4.52 |
Fidelity MSCI Real Estate Index ETF – Market PriceB | -9.95 | 4.64 | 4.32 |
Fidelity MSCI Real Estate Index ETF Capped Linked IndexA | -9.76 | 4.77 | 4.61 |
S&P 500 IndexA | 13.02 | 12.20 | 12.22 |
B | From February 5, 2015, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
31 | Annual Report |
Annual Report | 32 |
% of fund's net assets | |
Prologis, Inc. | 8.6 |
American Tower Corp. | 6.7 |
Equinix, Inc. | 5.7 |
Crown Castle, Inc. | 3.5 |
Public Storage | 3.3 |
Welltower, Inc. | 3.1 |
Simon Property Group, Inc. | 3.1 |
Realty Income Corp. | 3.0 |
Digital Realty Trust, Inc. | 2.7 |
CoStar Group, Inc. | 2.6 |
42.3 |
33 | Annual Report |
Average Annual Total Returns | Past 1 Year | Past 5 Years | Life of Fund |
Fidelity MSCI Utilities Index ETF – NAVA | -6.63 | 7.64 | 9.25 |
Fidelity MSCI Utilities Index ETF – Market PriceB | -6.64 | 7.64 | 9.15 |
Fidelity MSCI Utilities Index ETF Capped Linked IndexA | -6.55 | 7.74 | 9.38 |
S&P 500 IndexA | 13.02 | 12.20 | 12.51 |
B | From October 24, 2013, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 34 |
35 | Annual Report |
% of fund's net assets | |
NextEra Energy, Inc. | 13.4 |
The Southern Co. | 7.1 |
Duke Energy Corp. | 6.5 |
Sempra | 4.2 |
Dominion Energy, Inc. | 4.0 |
American Electric Power Co., Inc. | 3.9 |
Exelon Corp. | 3.8 |
Xcel Energy, Inc. | 3.1 |
Consolidated Edison, Inc. | 3.0 |
Constellation Energy Corp. | 2.9 |
51.9 |
Annual Report | 36 |
Common Stocks – 99.7% | |||
Shares | Value | ||
DIVERSIFIED TELECOMMUNICATION SERVICES – 9.9% | |||
Alternative Carriers – 2.3% | |||
Anterix, Inc. (a) | 11,519 | $ 323,338 | |
Bandwidth, Inc. Class A (a) | 20,677 | 313,257 | |
Cogent Communications Holdings, Inc. | 37,930 | 2,322,833 | |
EchoStar Corp. Class A (a) | 29,483 | 572,855 | |
Globalstar, Inc. (a) | 631,518 | 682,039 | |
Iridium Communications, Inc. | 78,433 | 4,121,654 | |
Liberty Global PLC Class A (a) | 142,352 | 2,643,477 | |
Liberty Global PLC Class C (a) | 224,819 | 4,442,424 | |
Liberty Latin America Ltd. Class A (a) | 31,731 | 266,540 | |
Liberty Latin America Ltd. Class C (a) | 134,600 | 1,119,872 | |
Lumen Technologies, Inc. | 878,465 | 1,572,452 | |
18,380,741 | |||
Integrated Telecommunication Services – 7.6% | |||
AT&T, Inc. | 1,752,314 | 25,443,599 | |
ATN International, Inc. | 9,599 | 348,828 | |
Consolidated Communications Holdings, Inc. (a) | 64,988 | 232,657 | |
Frontier Communications Parent, Inc. (a) | 160,659 | 2,925,600 | |
IDT Corp. Class B (a) | 15,550 | 368,846 | |
Radius Global Infrastructure, Inc. Class A (a) | 67,490 | 1,006,276 | |
Verizon Communications, Inc. | 891,630 | 30,386,751 | |
60,712,557 | |||
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES | 79,093,298 | ||
ENTERTAINMENT – 21.7% | |||
Interactive Home Entertainment – 5.9% | |||
Activision Blizzard, Inc. (a) | 210,439 | 19,520,321 | |
Electronic Arts, Inc. | 85,388 | 11,642,654 | |
Playstudios, Inc. (a) | 77,040 | 379,807 | |
ROBLOX Corp. Class A (a) | 171,979 | 6,750,176 | |
Take-Two Interactive Software, Inc. (a) | 60,172 | 9,202,706 | |
47,495,664 | |||
Movies & Entertainment – 15.8% | |||
AMC Entertainment Holdings, Inc. Class A (a) | 452,424 | 2,248,547 | |
Atlanta Braves Holdings, Inc. (a) | 5,789 | 274,051 | |
Atlanta Braves Holdings, Inc. Class C (a) | 36,757 | 1,496,745 | |
Cinemark Holdings, Inc. (a) | 95,395 | 1,592,143 | |
Endeavor Group Holdings, Inc. Class A (a) | 139,887 | 3,301,333 | |
IMAX Corp. (a) | 37,646 | 693,063 |
| |||
Shares | Value | ||
Liberty Media Corp. Liberty Formula One Class C (a) | 86,810 | $ 6,302,406 | |
Lions Gate Entertainment Corp. Class A (a) | 54,552 | 418,959 | |
Lions Gate Entertainment Corp. Class B (a) | 107,819 | 789,235 | |
Live Nation Entertainment, Inc. (a) | 73,282 | 6,430,496 | |
Madison Square Garden Entertainment Corp. (a) | 26,923 | 937,997 | |
Madison Square Garden Sports Corp. | 13,493 | 2,870,636 | |
Netflix, Inc. (a) | 87,976 | 38,618,825 | |
Roku, Inc. (a) | 87,832 | 8,455,587 | |
Sphere Entertainment Co. (a) | 21,724 | 922,184 | |
The Marcus Corp. | 19,180 | 299,208 | |
The Walt Disney Co. (a) | 404,289 | 35,937,249 | |
Vivid Seats, Inc. Class A (a) | 32,501 | 270,733 | |
Warner Bros Discovery, Inc. (a) | 768,089 | 10,038,923 | |
World Wrestling Entertainment, Inc. Class A | 37,866 | 3,975,930 | |
125,874,250 | |||
TOTAL ENTERTAINMENT | 173,369,914 | ||
INTERACTIVE MEDIA & SERVICES – 47.8% | |||
Interactive Media & Services – 47.8% | |||
Alphabet, Inc. Class A (a) | 716,046 | 95,033,625 | |
Alphabet, Inc. Class C (a) | 590,793 | 78,640,456 | |
Angi, Inc. (a) | 68,524 | 265,188 | |
Bumble, Inc. Class A (a) | 83,840 | 1,552,717 | |
Cargurus, Inc. (a) | 77,923 | 1,765,735 | |
Cars.com, Inc. (a) | 54,796 | 1,249,897 | |
Eventbrite, Inc. Class A (a) | 71,422 | 822,067 | |
IAC, Inc. (a) | 68,869 | 4,793,282 | |
Match Group, Inc. (a) | 161,835 | 7,526,946 | |
MediaAlpha, Inc. Class A (a) | 23,144 | 234,680 | |
Meta Platforms, Inc. Class A (a) | 503,930 | 160,552,098 | |
Nextdoor Holdings, Inc. (a) | 95,976 | 298,485 | |
Pinterest, Inc. Class A (a) | 271,329 | 7,865,828 | |
QuinStreet, Inc. (a) | 44,564 | 395,728 | |
Shutterstock, Inc. | 21,869 | 1,125,160 | |
Snap, Inc. Class A (a) | 547,671 | 6,221,543 | |
TripAdvisor, Inc. (a) | 95,381 | 1,778,856 | |
Vimeo, Inc. (a) | 107,970 | 444,836 | |
Yelp, Inc. (a) | 57,623 | 2,595,916 | |
Ziff Davis, Inc. (a) | 41,308 | 2,995,656 | |
ZipRecruiter, Inc. Class A (a) | 39,534 | 732,170 | |
ZoomInfo Technologies, Inc. (a) | 195,626 | 5,002,157 | |
TOTAL INTERACTIVE MEDIA & SERVICES | 381,893,026 | ||
MEDIA – 17.2% | |||
Advertising – 4.0% | |||
Boston Omaha Corp. Class A (a) | 20,737 | 404,786 |
37 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MEDIA – continued | |||
Advertising – continued | |||
Clear Channel Outdoor Holdings, Inc. (a) | 270,663 | $ 487,193 | |
Integral Ad Science Holding Corp. (a) | 33,880 | 706,398 | |
Magnite, Inc. (a) | 117,672 | 1,780,377 | |
Omnicom Group, Inc. | 78,375 | 6,632,093 | |
PubMatic, Inc. Class A (a) | 34,195 | 683,558 | |
Stagwell, Inc. (a) | 80,317 | 538,927 | |
TechTarget, Inc. (a) | 23,745 | 771,238 | |
The Interpublic Group of Cos., Inc. | 167,608 | 5,737,222 | |
The Trade Desk, Inc. Class A (a) | 144,946 | 13,227,772 | |
Thryv Holdings, Inc. (a) | 28,724 | 680,759 | |
31,650,323 | |||
Broadcasting – 3.2% | |||
AMC Networks, Inc. Class A (a) | 23,365 | 294,866 | |
Entravision Communications Corp. Class A | 54,341 | 259,750 | |
Fox Corp. Class A | 167,284 | 5,595,650 | |
Fox Corp. Class B | 124,477 | 3,909,823 | |
Gray Television, Inc. | 70,803 | 670,504 | |
iHeartMedia, Inc. Class A (a) | 90,304 | 427,138 | |
Nexstar Media Group, Inc. | 28,064 | 5,240,110 | |
Paramount Global Class B | 318,373 | 5,103,519 | |
Sinclair, Inc. | 33,732 | 469,212 | |
TEGNA, Inc. | 185,512 | 3,135,153 | |
The E.W. Scripps Co. Class A (a) | 50,407 | 497,013 | |
25,602,738 | |||
Cable & Satellite – 8.5% | |||
Altice USA, Inc. Class A (a) | 189,517 | 642,463 | |
Cable One, Inc. | 3,976 | 2,878,385 | |
Charter Communications, Inc. Class A (a) | 31,796 | 12,883,421 | |
Comcast Corp. Class A | 780,560 | 35,328,146 | |
DISH Network Corp. Class A (a) | 217,748 | 1,726,742 | |
Liberty Broadband Corp. Class C (a) | 67,547 | 6,020,464 | |
Liberty Media Corp. Liberty SiriusXM Class C (a) | 143,033 | 4,552,740 | |
Sirius XM Holdings, Inc. | 679,577 | 3,465,843 | |
WideOpenWest, Inc. (a) | 44,990 | 370,718 | |
67,868,922 | |||
Publishing – 1.5% | |||
John Wiley & Sons, Inc. Class A | 38,459 | 1,316,452 | |
News Corp. Class A | 256,347 | 5,080,797 | |
Scholastic Corp. | 24,640 | 1,064,202 |
| |||
Shares | Value | ||
The New York Times Co. Class A | 121,340 | $ 4,945,818 | |
12,407,269 | |||
TOTAL MEDIA | 137,529,252 | ||
WIRELESS TELECOMMUNICATION SERVICES – 3.1% | |||
Wireless Telecommunication Services – 3.1% | |||
GCI Liberty, Inc. (a)(b) | 40,953 | 0 | |
Gogo, Inc. (a) | 55,732 | 839,881 | |
Shenandoah Telecommunications Co. | 41,617 | 776,989 | |
Telephone & Data Systems, Inc. | 87,173 | 699,128 | |
T-Mobile US, Inc. (a) | 159,066 | 21,914,523 | |
United States Cellular Corp. (a) | 13,526 | 239,546 | |
TOTAL WIRELESS TELECOMMUNICATION SERVICES | 24,470,067 | ||
TOTAL COMMON STOCKS (Cost $790,359,314) | 796,355,557 |
Preferred Stock – 0.2% | |||
Principal Amount | |||
COMMUNICATION SERVICES – 0.2% | |||
Entertainment – 0.2% | |||
AMC Entertainment Holdings, Inc. 0.000% (a) | $ 697,820 | 1,290,967 | |
TOTAL PREFERRED STOCKS (Cost $2,825,605) | 1,290,967 |
Money Market Fund – 0.1% | |||
Shares | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (c) (Cost $1,120,000) | 1,120,000 | 1,120,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $794,304,919) | 798,766,524 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 88,970 | ||
NET ASSETS – 100.0% | $ 798,855,494 |
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. |
Annual Report | 38 |
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) | 12 | September 2023 | $1,086,000 | $50,173 | $50,173 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 796,355,557 | $ 796,355,557 | $ — | $ — | |||||
Preferred Stocks | 1,290,967 | 1,290,967 | — | — | |||||
Money Market Funds | 1,120,000 | 1,120,000 | — | — | |||||
Total Investments in Securities: | $ 798,766,524 | $ 798,766,524 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 50,173 | $ 50,173 | $ — | $ — | |||||
Total Assets | $ 50,173 | $ 50,173 | $ — | $ — | |||||
Total Derivative Instruments: | $ 50,173 | $ 50,173 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $50,173 | $0 | |
Total Equity Risk | 50,173 | 0 | |
Total Value of Derivatives | $50,173 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
39 | Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
AUTOMOBILE COMPONENTS – 2.4% | |||
Automotive Parts & Equipment – 2.3% | |||
Adient PLC (a) | 27,549 | $ 1,172,486 | |
American Axle & Manufacturing Holdings, Inc. (a) | 44,824 | 423,587 | |
Aptiv PLC (a) | 71,158 | 7,791,089 | |
Autoliv, Inc. | 22,255 | 2,246,197 | |
BorgWarner, Inc. | 62,655 | 2,913,458 | |
Dana, Inc. | 41,157 | 781,160 | |
Dorman Products, Inc. (a) | 8,104 | 686,328 | |
Fox Factory Holding Corp. (a) | 12,009 | 1,343,807 | |
Garrett Motion, Inc. (a) | 20,971 | 163,154 | |
Gentex Corp. | 64,212 | 2,156,239 | |
Gentherm, Inc. (a) | 10,355 | 618,918 | |
LCI Industries | 7,465 | 1,017,256 | |
Lear Corp. | 16,086 | 2,489,469 | |
Luminar Technologies, Inc. (a) | 76,120 | 563,288 | |
Modine Manufacturing Co. (a) | 17,618 | 661,732 | |
Patrick Industries, Inc. | 6,976 | 603,773 | |
Phinia, Inc. (a) | 12,495 | 354,483 | |
QuantumScape Corp. (a) | 86,830 | 1,155,707 | |
Solid Power, Inc. (a) | 83,647 | 239,230 | |
Standard Motor Products, Inc. | 7,785 | 297,154 | |
Stoneridge, Inc. (a) | 13,514 | 276,226 | |
Visteon Corp. (a) | 8,022 | 1,236,110 | |
XPEL, Inc. (a) | 6,751 | 548,384 | |
29,739,235 | |||
Tires & Rubber – 0.1% | |||
The Goodyear Tire & Rubber Co. (a) | 80,521 | 1,294,777 | |
TOTAL AUTOMOBILE COMPONENTS | 31,034,012 | ||
AUTOMOBILES – 18.0% | |||
Automobile Manufacturers – 17.9% | |||
Canoo, Inc. (a) | 244,684 | 157,870 | |
Fisker, Inc. (a) | 65,081 | 401,550 | |
Ford Motor Co. | 1,025,420 | 13,545,798 | |
General Motors Co. | 364,015 | 13,967,255 | |
Lucid Group, Inc. (a) | 254,854 | 1,939,439 | |
Rivian Automotive, Inc. Class A (a) | 173,959 | 4,808,227 | |
Tesla, Inc. (a) | 728,892 | 194,927,588 | |
Thor Industries, Inc. | 14,408 | 1,663,980 | |
Winnebago Industries, Inc. | 9,680 | 665,984 | |
232,077,691 | |||
Motorcycle Manufacturers – 0.1% | |||
Harley-Davidson, Inc. | 38,587 | 1,489,844 | |
TOTAL AUTOMOBILES | 233,567,535 | ||
BROADLINE RETAIL – 24.9% | |||
Broadline Retail – 24.9% | |||
Amazon.com, Inc. (a) | 2,199,618 | 294,044,934 | |
Dillard's, Inc. Class A | 1,377 | 472,366 |
| |||
Shares | Value | ||
eBay, Inc. | 141,157 | $ 6,282,898 | |
Etsy, Inc. (a) | 33,377 | 3,392,772 | |
Kohl's Corp. | 34,008 | 967,527 | |
Macy's, Inc. | 77,074 | 1,278,658 | |
MercadoLibre, Inc. (a) | 11,779 | 14,582,991 | |
Nordstrom, Inc. | 33,533 | 774,948 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 16,827 | 1,226,352 | |
Qurate Retail, Inc. (a) | 212,887 | 217,145 | |
TOTAL BROADLINE RETAIL | 323,240,591 | ||
DISTRIBUTORS – 1.1% | |||
Distributors – 1.1% | |||
Genuine Parts Co. | 37,022 | 5,765,066 | |
LKQ Corp. | 71,150 | 3,898,308 | |
Pool Corp. | 10,428 | 4,012,069 | |
TOTAL DISTRIBUTORS | 13,675,443 | ||
DIVERSIFIED CONSUMER SERVICES – 1.2% | |||
Education Services – 0.6% | |||
2U, Inc. (a) | 47,867 | 228,804 | |
Adtalem Global Education, Inc. (a) | 14,099 | 609,641 | |
Bright Horizons Family Solutions, Inc. (a) | 16,120 | 1,564,124 | |
Chegg, Inc. (a) | 42,166 | 427,142 | |
Coursera, Inc. (a) | 33,746 | 529,475 | |
Duolingo, Inc. (a) | 7,336 | 1,138,474 | |
Graham Holdings Co. Class B | 1,133 | 664,788 | |
Grand Canyon Education, Inc. (a) | 8,944 | 970,871 | |
Laureate Education, Inc. | 42,847 | 549,298 | |
Perdoceo Education Corp. (a) | 25,693 | 343,001 | |
Strategic Education, Inc. | 7,346 | 551,685 | |
Stride, Inc. (a) | 13,036 | 498,105 | |
Udemy, Inc. (a) | 28,336 | 334,648 | |
8,410,056 | |||
Specialized Consumer Services – 0.6% | |||
ADT, Inc. | 73,073 | 466,206 | |
Carriage Services, Inc. | 7,214 | 233,517 | |
European Wax Center, Inc. Class A (a) | 15,013 | 290,802 | |
Frontdoor, Inc. (a) | 24,368 | 850,931 | |
H&R Block, Inc. | 42,818 | 1,439,113 | |
Mister Car Wash, Inc. (a) | 35,668 | 354,183 | |
OneSpaWorld Holdings Ltd. (a) | 30,775 | 395,305 | |
Rover Group, Inc. (a) | 48,536 | 265,977 | |
Service Corp. International | 41,158 | 2,743,181 | |
WW International, Inc. (a) | 27,882 | 324,825 | |
7,364,040 | |||
TOTAL DIVERSIFIED CONSUMER SERVICES | 15,774,096 |
Annual Report | 40 |
Common Stocks – continued | |||
Shares | Value | ||
HOTELS, RESTAURANTS & LEISURE – 20.9% | |||
Casinos & Gaming – 2.2% | |||
Accel Entertainment, Inc. (a) | 26,562 | $ 302,807 | |
Bally's Corp. (a) | 14,357 | 233,732 | |
Boyd Gaming Corp. | 21,284 | 1,454,123 | |
Caesars Entertainment, Inc. (a) | 57,962 | 3,420,917 | |
Churchill Downs, Inc. | 18,131 | 2,100,476 | |
DraftKings, Inc. Class A (a) | 105,701 | 3,359,178 | |
Everi Holdings, Inc. (a) | 29,657 | 440,110 | |
Golden Entertainment, Inc. (a) | 8,079 | 342,065 | |
Las Vegas Sands Corp. (a) | 90,607 | 5,419,205 | |
Light & Wonder, Inc. (a) | 25,163 | 1,768,959 | |
MGM Resorts International | 79,535 | 4,037,992 | |
Monarch Casino & Resort, Inc. | 5,217 | 361,642 | |
Penn Entertainment, Inc. (a) | 43,622 | 1,146,822 | |
Red Rock Resorts, Inc. Class A | 14,953 | 725,221 | |
Wynn Resorts Ltd. | 27,378 | 2,983,654 | |
28,096,903 | |||
Hotels, Resorts & Cruise Lines – 7.6% | |||
Airbnb, Inc. Class A (a) | 107,930 | 16,425,867 | |
Bluegreen Vacations Holding Corp. | 5,731 | 224,025 | |
Booking Holdings, Inc. (a) | 9,774 | 29,036,599 | |
Carnival Corp. (a) | 269,025 | 5,068,431 | |
Choice Hotels International, Inc. | 9,498 | 1,241,863 | |
Expedia Group, Inc. (a) | 39,277 | 4,812,611 | |
Hilton Grand Vacations, Inc. (a) | 22,617 | 1,051,690 | |
Hilton Worldwide Holdings, Inc. | 69,427 | 10,795,204 | |
Hyatt Hotels Corp. Class A | 13,177 | 1,664,914 | |
Lindblad Expeditions Holdings, Inc. (a) | 19,276 | 227,842 | |
Marriott International, Inc. Class A | 68,451 | 13,814,096 | |
Marriott Vacations Worldwide Corp. | 9,917 | 1,274,434 | |
Membership Collective Group, Inc. (a) | 22,484 | 134,229 | |
Norwegian Cruise Line Holdings Ltd. (a) | 116,308 | 2,566,918 | |
Playa Hotels & Resorts N.V. (a) | 39,924 | 325,780 | |
Royal Caribbean Cruises Ltd. (a) | 60,696 | 6,622,541 | |
Sabre Corp. (a) | 105,095 | 430,890 | |
Target Hospitality Corp. (a) | 15,671 | 200,119 | |
Travel + Leisure Co. | 22,582 | 919,765 | |
Wyndham Hotels & Resorts, Inc. | 23,832 | 1,856,989 | |
98,694,807 | |||
Leisure Facilities – 0.5% | |||
Bowlero Corp. (a) | 18,817 | 228,250 | |
Life Time Group Holdings, Inc. (a) | 17,808 | 322,147 | |
Planet Fitness, Inc. Class A (a) | 23,538 | 1,589,757 | |
SeaWorld Entertainment, Inc. (a) | 11,741 | 650,099 | |
Six Flags Entertainment Corp. (a) | 22,267 | 532,181 | |
Vail Resorts, Inc. | 10,850 | 2,555,066 |
| |||
Shares | Value | ||
Xponential Fitness, Inc. Class A (a) | 9,899 | $ 209,067 | |
6,086,567 | |||
Restaurants – 10.6% | |||
Aramark | 63,204 | 2,551,546 | |
BJ's Restaurants, Inc. (a) | 9,244 | 348,129 | |
Bloomin' Brands, Inc. | 26,544 | 713,237 | |
Brinker International, Inc. (a) | 13,978 | 549,056 | |
Chipotle Mexican Grill, Inc. (a) | 7,193 | 14,114,680 | |
Chuys Holdings, Inc. (a) | 7,329 | 304,813 | |
Cracker Barrel Old Country Store, Inc. | 6,069 | 565,631 | |
Darden Restaurants, Inc. | 31,896 | 5,387,872 | |
Dave & Buster's Entertainment, Inc. (a) | 13,604 | 623,063 | |
Denny's Corp. (a) | 23,500 | 276,360 | |
Dine Brands Global, Inc. | 5,370 | 323,918 | |
Domino's Pizza, Inc. | 9,487 | 3,763,872 | |
DoorDash, Inc. Class A (a) | 67,386 | 6,117,975 | |
Dutch Bros, Inc. Class A (a) | 13,028 | 403,998 | |
El Pollo Loco Holdings, Inc. | 15,835 | 168,643 | |
First Watch Restaurant Group, Inc. (a) | 10,271 | 191,451 | |
Jack in the Box, Inc. | 6,431 | 639,306 | |
Krispy Kreme, Inc. | 24,201 | 372,695 | |
Kura Sushi USA. Inc. Class A (a) | 2,901 | 288,679 | |
McDonald's Corp. | 176,687 | 51,804,628 | |
Papa John's International, Inc. | 10,351 | 856,028 | |
Portillo's, Inc. Class A (a) | 16,786 | 386,917 | |
RCI Hospitality Holdings, Inc. | 3,522 | 245,660 | |
Shake Shack, Inc. Class A (a) | 11,192 | 869,171 | |
Starbucks Corp. | 298,232 | 30,291,424 | |
Sweetgreen, Inc. Class A (a) | 34,836 | 524,979 | |
Texas Roadhouse, Inc. | 18,229 | 2,033,445 | |
The Cheesecake Factory, Inc. | 15,652 | 575,681 | |
The Wendy's Co. | 50,968 | 1,095,302 | |
Wingstop, Inc. | 8,241 | 1,389,268 | |
Yum! Brands, Inc. | 73,158 | 10,071,662 | |
137,849,089 | |||
TOTAL HOTELS, RESTAURANTS & LEISURE | 270,727,366 | ||
HOUSEHOLD DURABLES – 4.9% | |||
Consumer Electronics – 0.4% | |||
Garmin Ltd. | 40,565 | 4,295,428 | |
GoPro, Inc. Class A (a) | 58,617 | 239,743 | |
Snap One Holdings Corp. (a) | 16,528 | 160,983 | |
Sonos, Inc. (a) | 37,993 | 651,200 | |
Vizio Holding Corp. Class A (a) | 32,745 | 243,950 | |
5,591,304 | |||
Home Furnishings – 0.5% | |||
Ethan Allen Interiors, Inc. | 9,662 | 304,063 | |
La-Z-Boy, Inc. | 14,848 | 465,782 |
41 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HOUSEHOLD DURABLES – continued | |||
Home Furnishings – continued | |||
Leggett & Platt, Inc. | 37,548 | $ 1,098,654 | |
Mohawk Industries, Inc. (a) | 15,052 | 1,600,630 | |
Tempur Sealy International, Inc. | 47,189 | 2,106,045 | |
The Lovesac Co. (a) | 8,272 | 242,204 | |
5,817,378 | |||
Homebuilding – 3.6% | |||
Beazer Homes USA, Inc. (a) | 12,130 | 407,932 | |
Cavco Industries, Inc. (a) | 2,394 | 707,786 | |
Century Communities, Inc. | 8,972 | 692,818 | |
D.R. Horton, Inc. | 82,156 | 10,435,455 | |
Dream Finders Homes, Inc. Class A (a) | 11,887 | 303,118 | |
Green Brick Partners, Inc. (a) | 9,111 | 514,954 | |
Installed Building Products, Inc. | 7,154 | 1,058,935 | |
KB Home | 21,470 | 1,158,736 | |
Legacy Housing Corp. (a) | 7,678 | 182,122 | |
Lennar Corp. Class A | 66,505 | 8,434,829 | |
LGI Homes, Inc. (a) | 6,308 | 875,235 | |
M.D.C. Holdings, Inc. | 15,639 | 801,968 | |
M/I Homes, Inc. (a) | 8,228 | 822,800 | |
Meritage Homes Corp. | 10,345 | 1,540,888 | |
NVR, Inc. (a) | 859 | 5,417,232 | |
PulteGroup, Inc. | 59,471 | 5,018,758 | |
Skyline Champion Corp. (a) | 15,532 | 1,081,959 | |
Taylor Morrison Home Corp. (a) | 29,086 | 1,408,344 | |
Toll Brothers, Inc. | 30,167 | 2,423,315 | |
TopBuild Corp. (a) | 8,741 | 2,394,422 | |
Tri Pointe Homes, Inc. (a) | 29,677 | 946,103 | |
46,627,709 | |||
Household Appliances – 0.3% | |||
Cricut, Inc. Class A | 22,158 | 262,794 | |
Helen of Troy Ltd. (a) | 7,253 | 1,024,849 | |
iRobot Corp. (a) | 9,964 | 398,560 | |
Traeger, Inc. (a) | 44,251 | 197,359 | |
Whirlpool Corp. | 14,952 | 2,156,976 | |
4,040,538 | |||
Housewares & Specialties – 0.1% | |||
Newell Brands, Inc. | 113,479 | 1,266,426 | |
TOTAL HOUSEHOLD DURABLES | 63,343,355 | ||
LEISURE PRODUCTS – 1.1% | |||
Leisure Products – 1.1% | |||
Acushnet Holdings Corp. | 10,968 | 654,022 | |
Brunswick Corp. | 19,767 | 1,706,090 | |
Clarus Corp. | 4,990 | 44,411 | |
Funko, Inc. Class A (a) | 16,751 | 136,688 | |
Hasbro, Inc. | 35,731 | 2,306,793 | |
Johnson Outdoors, Inc. Class A | 3,185 | 188,297 | |
Malibu Boats, Inc. Class A (a) | 7,200 | 431,640 |
| |||
Shares | Value | ||
MasterCraft Boat Holdings, Inc. (a) | 8,026 | $ 245,997 | |
Mattel, Inc. (a) | 97,017 | 2,066,462 | |
Peloton Interactive, Inc. Class A (a) | 94,606 | 918,624 | |
Polaris, Inc. | 14,965 | 2,032,846 | |
Smith & Wesson Brands, Inc. | 20,354 | 259,106 | |
Sturm Ruger & Co., Inc. | 6,443 | 341,157 | |
Topgolf Callaway Brands Corp. (a) | 44,519 | 889,044 | |
Vista Outdoor, Inc. (a) | 18,237 | 552,581 | |
YETI Holdings, Inc. (a) | 24,996 | 1,064,830 | |
TOTAL LEISURE PRODUCTS | 13,838,588 | ||
SPECIALTY RETAIL – 19.9% | |||
Apparel Retail – 3.6% | |||
Abercrombie & Fitch Co. Class A (a) | 17,194 | 681,054 | |
American Eagle Outfitters, Inc. | 56,437 | 792,940 | |
Boot Barn Holdings, Inc. (a) | 9,285 | 871,861 | |
Burlington Stores, Inc. (a) | 17,397 | 3,090,055 | |
Caleres, Inc. | 13,668 | 369,583 | |
Chico's FAS, Inc. (a) | 53,195 | 324,489 | |
Designer Brands, Inc. Class A | 26,339 | 262,073 | |
Foot Locker, Inc. | 25,119 | 674,947 | |
Genesco, Inc. (a) | 6,493 | 183,167 | |
Guess?, Inc. | 13,584 | 285,128 | |
Revolve Group, Inc. (a) | 16,718 | 329,679 | |
Ross Stores, Inc. | 89,404 | 10,249,275 | |
Shoe Carnival, Inc. | 8,801 | 234,195 | |
Stitch Fix, Inc. Class A (a) | 51,540 | 263,369 | |
The Buckle, Inc. | 10,991 | 401,831 | |
The Children's Place, Inc. (a) | 7,475 | 235,014 | |
The Gap, Inc. | 65,439 | 674,022 | |
The TJX Cos., Inc. | 299,415 | 25,908,380 | |
Urban Outfitters, Inc. (a) | 18,126 | 659,243 | |
Victoria's Secret & Co. (a) | 22,242 | 455,739 | |
Zumiez, Inc. (a) | 10,567 | 199,294 | |
47,145,338 | |||
Automotive Retail – 3.5% | |||
Advance Auto Parts, Inc. | 16,232 | 1,207,498 | |
America's Car-Mart, Inc. (a) | 2,747 | 327,223 | |
Arko Corp. | 27,395 | 228,474 | |
Asbury Automotive Group, Inc. (a) | 5,547 | 1,251,403 | |
AutoNation, Inc. (a) | 9,255 | 1,489,870 | |
AutoZone, Inc. (a) | 4,795 | 11,899,847 | |
Camping World Holdings, Inc. Class A | 14,783 | 473,499 | |
CarMax, Inc. (a) | 42,300 | 3,494,403 | |
Carvana Co. (a) | 32,248 | 1,481,796 | |
EVgo, Inc. (a) | 51,938 | 226,969 | |
Group 1 Automotive, Inc. | 3,957 | 1,023,003 | |
Lithia Motors, Inc. | 7,556 | 2,346,365 | |
Monro, Inc. | 10,404 | 381,307 | |
Murphy USA, Inc. | 5,721 | 1,756,519 |
Annual Report | 42 |
Common Stocks – continued | |||
Shares | Value | ||
SPECIALTY RETAIL – continued | |||
Automotive Retail – continued | |||
O'Reilly Automotive, Inc. (a) | 16,026 | $ 14,836,711 | |
Penske Automotive Group, Inc. | 7,205 | 1,163,031 | |
Sonic Automotive, Inc. Class A | 6,469 | 309,800 | |
Valvoline, Inc. | 36,141 | 1,372,274 | |
45,269,992 | |||
Computer & Electronics Retail – 0.5% | |||
Best Buy Co., Inc. | 52,189 | 4,334,297 | |
GameStop Corp. Class A (a) | 71,585 | 1,589,187 | |
Upbound Group, Inc. | 15,461 | 535,414 | |
6,458,898 | |||
Home Improvement Retail – 9.6% | |||
Floor & Decor Holdings, Inc. Class A (a) | 27,306 | 3,136,094 | |
Lowe's Cos., Inc. | 154,728 | 36,248,129 | |
The Home Depot, Inc. | 254,214 | 84,866,802 | |
124,251,025 | |||
Homefurnishing Retail – 0.6% | |||
Arhaus, Inc. (a) | 20,036 | 229,612 | |
Haverty Furniture Cos., Inc. | 7,336 | 261,162 | |
Overstock.com, Inc. (a) | 17,364 | 633,265 | |
RH (a) | 4,795 | 1,861,275 | |
Sleep Number Corp. (a) | 11,016 | 305,033 | |
The Aaron's Co., Inc. | 16,356 | 258,752 | |
Wayfair, Inc. Class A (a) | 22,636 | 1,762,665 | |
Williams-Sonoma, Inc. | 17,865 | 2,476,804 | |
7,788,568 | |||
Other Specialty Retail – 2.1% | |||
1-800-FLOWERS.com, Inc. Class A (a) | 18,185 | 157,846 | |
Academy Sports & Outdoors, Inc. | 21,798 | 1,303,302 | |
Bath & Body Works, Inc. | 58,944 | 2,184,465 | |
Chewy, Inc. Class A (a) | 28,671 | 971,947 | |
Dick's Sporting Goods, Inc. | 16,846 | 2,375,286 | |
Five Below, Inc. (a) | 14,930 | 3,110,516 | |
Franchise Group, Inc. | 9,413 | 280,131 | |
Hibbett, Inc. | 5,436 | 252,230 | |
Leslie's, Inc. (a) | 55,226 | 351,790 | |
MarineMax, Inc. (a) | 9,290 | 374,666 | |
National Vision Holdings, Inc. (a) | 24,562 | 531,276 | |
Petco Health & Wellness Co., Inc. (a) | 34,216 | 279,203 | |
PetMed Express, Inc. | 12,393 | 181,557 | |
Sally Beauty Holdings, Inc. (a) | 36,998 | 442,866 | |
Signet Jewelers Ltd. | 12,563 | 1,011,196 | |
The ODP Corp. (a) | 11,804 | 588,784 | |
Tractor Supply Co. | 28,864 | 6,465,247 | |
Ulta Beauty, Inc. (a) | 13,189 | 5,866,467 | |
Warby Parker, Inc. Class A (a) | 27,729 | 414,271 |
| |||
Shares | Value | ||
Winmark Corp. | 1,063 | $ 386,358 | |
27,529,404 | |||
TOTAL SPECIALTY RETAIL | 258,443,225 | ||
TEXTILES, APPAREL & LUXURY GOODS – 5.4% | |||
Apparel, Accessories & Luxury Goods – 2.0% | |||
Capri Holdings Ltd. (a) | 35,089 | 1,295,135 | |
Carter's, Inc. | 11,408 | 855,714 | |
Columbia Sportswear Co. | 10,993 | 864,160 | |
Figs, Inc. Class A (a) | 5,394 | 39,700 | |
G-III Apparel Group Ltd. (a) | 17,037 | 352,836 | |
Hanesbrands, Inc. | 115,710 | 609,792 | |
Kontoor Brands, Inc. | 15,470 | 655,309 | |
Levi Strauss & Co. Class A | 32,149 | 484,485 | |
Lululemon Athletica, Inc. (a) | 30,287 | 11,464,538 | |
Movado Group, Inc. | 8,027 | 230,375 | |
Oxford Industries, Inc. | 5,069 | 546,692 | |
PVH Corp. | 17,410 | 1,560,632 | |
Ralph Lauren Corp. | 11,564 | 1,518,700 | |
Tapestry, Inc. | 63,408 | 2,736,055 | |
Under Armour, Inc. Class A (a) | 62,794 | 506,120 | |
Under Armour, Inc. Class C (a) | 63,456 | 470,844 | |
VF Corp. | 90,767 | 1,798,094 | |
25,989,181 | |||
Footwear – 3.4% | |||
Crocs, Inc. (a) | 16,899 | 1,831,007 | |
Deckers Outdoor Corp. (a) | 7,043 | 3,829,209 | |
NIKE, Inc. Class B | 319,539 | 35,273,910 | |
Skechers U.S.A., Inc. Class A (a) | 36,731 | 2,041,509 | |
Steven Madden Ltd. | 21,969 | 733,325 | |
Wolverine World Wide, Inc. | 27,493 | 348,336 | |
44,057,296 | |||
TOTAL TEXTILES, APPAREL & LUXURY GOODS | 70,046,477 | ||
TOTAL COMMON STOCKS (Cost $1,187,294,449) | 1,293,690,688 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $1,940,000) | 1,940,000 | 1,940,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,189,234,449) | 1,295,630,688 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 511,757 | ||
NET ASSETS – 100.0% | $1,296,142,445 |
43 | Annual Report |
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) | 10 | September 2023 | 1,766,600 | $ 93,127 | $ 93,127 |
CME E-mini Russell 2000 Index Contracts (United States) | 3 | September 2023 | 302,040 | 12,534 | 12,534 |
Total Equity Index Contracts | $ 105,661 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,293,690,688 | $ 1,293,690,688 | $ — | $ — | |||||
Money Market Funds | 1,940,000 | 1,940,000 | — | — | |||||
Total Investments in Securities: | $ 1,295,630,688 | $ 1,295,630,688 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 105,661 | $ 105,661 | $ — | $ — | |||||
Total Assets | $ 105,661 | $ 105,661 | $ — | $ — | |||||
Total Derivative Instruments: | $ 105,661 | $ 105,661 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $105,661 | $0 | |
Total Equity Risk | 105,661 | 0 | |
Total Value of Derivatives | $105,661 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 44 |
Common Stocks – 99.7% | |||
Shares | Value | ||
BEVERAGES – 24.2% | |||
Brewers – 0.8% | |||
Molson Coors Beverage Co. Class B | 100,061 | $6,981,256 | |
The Boston Beer Co., Inc. Class A (a) | 7,210 | 2,678,082 | |
9,659,338 | |||
Distillers & Vintners – 2.8% | |||
Brown-Forman Corp. Class B | 153,681 | 10,849,879 | |
Constellation Brands, Inc. Class A | 78,464 | 21,404,979 | |
MGP Ingredients, Inc. | 15,394 | 1,755,070 | |
The Duckhorn Portfolio, Inc. (a) | 74,727 | 940,066 | |
34,949,994 | |||
Soft Drinks & Non-alcoholic Beverages – 20.6% | |||
Celsius Holdings, Inc. (a) | 25,954 | 3,755,544 | |
Coca-Cola Consolidated, Inc. | 3,639 | 2,304,979 | |
Keurig Dr Pepper, Inc. | 395,802 | 13,461,226 | |
Monster Beverage Corp. (a) | 367,843 | 21,147,294 | |
National Beverage Corp. (a) | 28,242 | 1,492,590 | |
PepsiCo, Inc. | 571,965 | 107,220,559 | |
The Coca-Cola Co. | 1,703,577 | 105,502,523 | |
The Vita Coco Co., Inc. (a) | 26,491 | 699,892 | |
255,584,607 | |||
TOTAL BEVERAGES | 300,193,939 | ||
CONSUMER STAPLES DISTRIBUTION & RETAIL – 25.8% | |||
Consumer Staples Merchandise Retail – 19.9% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 73,274 | 4,858,799 | |
Costco Wholesale Corp. | 181,196 | 101,591,161 | |
Dollar General Corp. | 64,703 | 10,925,749 | |
Dollar Tree, Inc. (a) | 54,098 | 8,348,944 | |
PriceSmart, Inc. | 24,564 | 1,909,360 | |
Target Corp. | 159,108 | 21,713,469 | |
Walmart, Inc. | 606,304 | 96,923,757 | |
246,271,239 | |||
Drug Retail – 0.9% | |||
Walgreens Boots Alliance, Inc. | 358,781 | 10,752,667 | |
Food Distributors – 2.7% | |||
Performance Food Group Co. (a) | 86,276 | 5,155,854 | |
SpartanNash Co. | 47,355 | 1,062,646 | |
Sysco Corp. | 240,501 | 18,352,631 | |
The Andersons, Inc. | 37,500 | 1,830,750 | |
The Chefs' Warehouse, Inc. (a) | 43,622 | 1,585,224 | |
United Natural Foods, Inc. (a) | 51,090 | 1,062,672 | |
US Foods Holding Corp. (a) | 116,055 | 4,959,030 | |
34,008,807 | |||
Food Retail – 2.3% | |||
Albertsons Cos., Inc. Class A | 5,377 | 116,842 | |
Casey's General Stores, Inc. | 20,757 | 5,244,464 | |
Grocery Outlet Holding Corp. (a) | 71,951 | 2,406,761 | |
Ingles Markets, Inc. Class A | 17,606 | 1,492,989 |
| |||
Shares | Value | ||
Sprouts Farmers Market, Inc. (a) | 71,822 | $ 2,819,014 | |
The Kroger Co. | 324,582 | 15,787,668 | |
Weis Markets, Inc. | 20,395 | 1,353,004 | |
29,220,742 | |||
TOTAL CONSUMER STAPLES DISTRIBUTION & RETAIL | 320,253,455 | ||
FOOD PRODUCTS – 19.2% | |||
Agricultural Products & Services – 3.4% | |||
Archer-Daniels-Midland Co. | 257,912 | 21,912,203 | |
Bunge Ltd. | 77,551 | 8,427,467 | |
Darling Ingredients, Inc. (a) | 85,996 | 5,955,223 | |
Fresh Del Monte Produce, Inc. | 52,158 | 1,386,360 | |
Ingredion, Inc. | 37,845 | 4,210,635 | |
41,891,888 | |||
Packaged Foods & Meats – 15.8% | |||
B&G Foods, Inc. | 99,531 | 1,319,781 | |
Beyond Meat, Inc. (a) | 90,079 | 1,549,359 | |
Calavo Growers, Inc. | 30,244 | 1,141,106 | |
Cal-Maine Foods, Inc. | 36,871 | 1,703,071 | |
Campbell Soup Co. | 104,893 | 4,806,197 | |
Conagra Brands, Inc. | 239,907 | 7,871,349 | |
Flowers Foods, Inc. | 126,065 | 3,115,066 | |
Freshpet, Inc. (a) | 35,929 | 2,642,219 | |
General Mills, Inc. | 274,199 | 20,493,633 | |
Hormel Foods Corp. | 158,576 | 6,482,587 | |
Hostess Brands, Inc. (a) | 95,896 | 2,305,340 | |
J&J Snack Foods Corp. | 12,749 | 2,043,920 | |
John B Sanfilippo & Son, Inc. | 12,275 | 1,336,870 | |
Kellogg Co. | 135,806 | 9,084,063 | |
Lamb Weston Holdings, Inc. | 73,486 | 7,615,354 | |
Lancaster Colony Corp. | 13,125 | 2,528,269 | |
McCormick & Co., Inc. (non-vtg.) | 123,008 | 11,006,756 | |
Mission Produce, Inc. (a) | 76,145 | 884,805 | |
Mondelez International, Inc. Class A | 623,844 | 46,245,556 | |
Pilgrim's Pride Corp. (a) | 56,235 | 1,392,941 | |
Post Holdings, Inc. (a) | 34,567 | 2,948,565 | |
Seaboard Corp. | 372 | 1,341,060 | |
Seneca Foods Corp. Class A (a) | 9,731 | 375,276 | |
Sovos Brands, Inc. (a) | 57,532 | 1,024,070 | |
The Hain Celestial Group, Inc. (a) | 84,258 | 1,067,549 | |
The Hershey Co. | 69,551 | 16,087,842 | |
The JM Smucker Co. | 53,963 | 8,129,526 | |
The Kraft Heinz Co. | 374,909 | 13,564,208 | |
The Simply Good Foods Co. (a) | 67,109 | 2,597,789 | |
Tootsie Roll Industries, Inc. | 29,333 | 1,022,548 | |
TreeHouse Foods, Inc. (a) | 41,018 | 2,116,939 | |
Tyson Foods, Inc. Class A | 146,742 | 8,176,464 | |
Utz Brands, Inc. | 86,344 | 1,446,262 | |
Vital Farms, Inc. (a) | 38,569 | 451,257 |
45 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
FOOD PRODUCTS – continued | |||
Packaged Foods & Meats – continued | |||
Westrock Coffee Co. (a) | 40,687 | $ 451,422 | |
196,369,019 | |||
TOTAL FOOD PRODUCTS | 238,260,907 | ||
HOUSEHOLD PRODUCTS – 19.1% | |||
Household Products – 19.1% | |||
Central Garden and Pet Co. (a) | 17,135 | 693,625 | |
Central Garden and Pet Co. Class A (a) | 43,791 | 1,673,692 | |
Church & Dwight Co., Inc. | 119,296 | 11,413,048 | |
Colgate-Palmolive Co. | 366,404 | 27,941,969 | |
Energizer Holdings, Inc. | 57,047 | 2,036,578 | |
Kimberly-Clark Corp. | 157,842 | 20,377,402 | |
Reynolds Consumer Products, Inc. | 61,091 | 1,690,999 | |
Spectrum Brands Holdings, Inc. | 31,230 | 2,448,744 | |
The Clorox Co. | 61,014 | 9,242,401 | |
The Procter & Gamble Co. | 1,000,972 | 156,451,924 | |
WD-40 Co. | 10,923 | 2,506,828 | |
TOTAL HOUSEHOLD PRODUCTS | 236,477,210 | ||
PERSONAL CARE PRODUCTS – 3.3% | |||
Personal Care Products – 3.3% | |||
BellRing Brands, Inc. (a) | 86,170 | 3,097,811 | |
Coty, Inc. Class A (a) | 254,743 | 3,067,106 | |
Edgewell Personal Care Co. | 43,082 | 1,697,862 | |
elf Beauty, Inc. (a) | 33,048 | 3,857,362 | |
Herbalife Ltd. (a) | 96,921 | 1,573,997 | |
Inter Parfums, Inc. | 15,591 | 2,331,790 | |
Medifast, Inc. | 12,766 | 1,300,728 | |
Nu Skin Enterprises, Inc. Class A | 45,999 | 1,351,910 | |
Olaplex Holdings, Inc. (a) | 32,427 | 116,737 |
| |||
Shares | Value | ||
The Beauty Health Co. (a) | 126,209 | $ 1,046,273 | |
The Estee Lauder Cos., Inc. Class A | 108,624 | 19,552,320 | |
USANA Health Sciences, Inc. (a) | 19,603 | 1,272,431 | |
TOTAL PERSONAL CARE PRODUCTS | 40,266,327 | ||
TOBACCO – 8.1% | |||
Tobacco – 8.1% | |||
Altria Group, Inc. | 822,115 | 37,340,463 | |
Philip Morris International, Inc. | 591,197 | 58,954,165 | |
Turning Point Brands, Inc. | 28,694 | 684,352 | |
Universal Corp. | 28,484 | 1,440,436 | |
Vector Group Ltd. | 140,347 | 1,841,353 | |
TOTAL TOBACCO | 100,260,769 | ||
TOTAL COMMON STOCKS (Cost $1,104,758,772) | 1,235,712,607 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $2,080,000) | 2,080,000 | 2,080,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,106,838,772) | 1,237,792,607 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,525,981 | ||
NET ASSETS – 100.0% | $1,239,318,588 |
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) | 43 | September 2023 | 3,294,660 | $ 50,337 | $ 50,337 |
CME E-mini Russell 2000 Index Contracts (United States) | 1 | September 2023 | 100,680 | 1,603 | 1,603 |
Total Equity Index Contracts | $ 51,940 |
Annual Report | 46 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,235,712,607 | $ 1,235,712,607 | $ — | $ — | |||||
Money Market Funds | 2,080,000 | 2,080,000 | — | — | |||||
Total Investments in Securities: | $ 1,237,792,607 | $ 1,237,792,607 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 51,940 | $ 51,940 | $ — | $ — | |||||
Total Assets | $ 51,940 | $ 51,940 | $ — | $ — | |||||
Total Derivative Instruments: | $ 51,940 | $ 51,940 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $51,940 | $0 | |
Total Equity Risk | 51,940 | 0 | |
Total Value of Derivatives | $51,940 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
47 | Annual Report |
Common Stocks – 99.8% | |||
Shares | Value | ||
ENERGY EQUIPMENT & SERVICES – 12.0% | |||
Oil & Gas Drilling – 1.4% | |||
Diamond Offshore Drilling, Inc. (a) | 90,939 | $ 1,439,564 | |
Helmerich & Payne, Inc. | 87,527 | 3,918,584 | |
Nabors Industries Ltd. (a) | 7,678 | 940,478 | |
Noble Corp. PLC (a) | 83,254 | 4,351,687 | |
Patterson-UTI Energy, Inc. | 178,604 | 2,829,087 | |
Transocean Ltd. (a) | 571,630 | 5,030,344 | |
Valaris Ltd. (a) | 52,688 | 4,046,439 | |
22,556,183 | |||
Oil & Gas Equipment & Services – 10.6% | |||
Archrock, Inc. | 122,030 | 1,422,870 | |
Baker Hughes Co. | 827,272 | 29,608,065 | |
Bristow Group, Inc. (a) | 8,894 | 273,668 | |
Cactus, Inc. Class A | 53,268 | 2,704,949 | |
ChampionX Corp. | 165,372 | 5,887,243 | |
Core Laboratories, Inc. | 42,050 | 1,092,879 | |
DMC Global, Inc. (a) | 20,208 | 381,123 | |
Dril-Quip, Inc. (a) | 31,435 | 813,852 | |
Expro Group Holdings N.V. (a) | 77,829 | 1,727,025 | |
Halliburton Co. | 738,198 | 28,848,778 | |
Helix Energy Solutions Group, Inc. (a) | 130,156 | 1,249,498 | |
Liberty Energy, Inc. | 137,653 | 2,267,145 | |
NexTier Oilfield Solitions, Inc. (a) | 165,688 | 1,975,001 | |
NOV, Inc. | 322,415 | 6,474,093 | |
Oceaneering International, Inc. (a) | 85,061 | 1,909,619 | |
Oil States International, Inc. (a) | 57,890 | 465,436 | |
ProFrac Holding Corp. Class A (a) | 17,549 | 225,856 | |
ProPetro Holding Corp. (a) | 74,383 | 776,559 | |
RPC, Inc. | 74,110 | 616,595 | |
Schlumberger N.V. | 1,160,483 | 67,702,578 | |
Select Energy Services, Inc. Class A | 70,762 | 595,108 | |
TechnipFMC PLC (a) | 360,987 | 6,620,502 | |
TETRA Technologies, Inc. (a) | 119,165 | 535,051 | |
Tidewater, Inc. (a) | 11,696 | 738,135 | |
US Silica Holdings, Inc. (a) | 67,699 | 880,764 | |
Weatherford International PLC (a) | 57,630 | 4,789,053 | |
170,581,445 | |||
TOTAL ENERGY EQUIPMENT & SERVICES | 193,137,628 | ||
OIL, GAS & CONSUMABLE FUELS – 87.8% | |||
Coal & Consumable Fuels – 0.4% | |||
Centrus Energy Corp. Class A (a) | 11,241 | 422,662 | |
CONSOL Energy, Inc. | 28,659 | 2,135,669 | |
Enviva, Inc. | 30,898 | 416,196 | |
Peabody Energy Corp. | 107,487 | 2,412,008 | |
Uranium Energy Corp. (a) | 300,168 | 1,080,605 | |
6,467,140 | |||
Integrated Oil & Gas – 38.0% | |||
Chevron Corp. | 1,450,325 | 237,360,190 |
| |||
Shares | Value | ||
Exxon Mobil Corp. | 3,045,509 | $ 326,600,385 | |
Occidental Petroleum Corp. | 746,249 | 47,110,699 | |
611,071,274 | |||
Oil & Gas Exploration & Production – 29.3% | |||
Antero Resources Corp. (a) | 227,454 | 6,084,395 | |
APA Corp. | 298,941 | 12,104,121 | |
Berry Corp. | 59,551 | 464,498 | |
California Resources Corp. | 44,257 | 2,361,111 | |
Callon Petroleum Co. (a) | 48,908 | 1,836,984 | |
Chesapeake Energy Corp. | 93,850 | 7,915,309 | |
Chord Energy Corp. | 34,643 | 5,433,408 | |
Civitas Resources, Inc. | 45,680 | 3,419,605 | |
CNX Resources Corp. (a) | 172,602 | 3,521,081 | |
Comstock Resources, Inc. | 115,606 | 1,473,977 | |
ConocoPhillips | 959,861 | 112,994,837 | |
Coterra Energy, Inc. | 639,628 | 17,615,355 | |
Crescent Energy Co. Class A | 38,526 | 457,304 | |
Denbury, Inc. (a) | 41,080 | 3,611,343 | |
Devon Energy Corp. | 534,631 | 28,870,074 | |
Diamondback Energy, Inc. | 140,946 | 20,764,165 | |
Earthstone Energy, Inc. Class A (a) | 45,043 | 719,787 | |
EOG Resources, Inc. | 480,287 | 63,652,436 | |
EQT Corp. | 294,952 | 12,441,075 | |
Gulfport Energy Corp. (a) | 11,008 | 1,127,770 | |
Hess Corp. | 225,882 | 34,273,076 | |
Kimbell Royalty Partners LP | 49,963 | 789,915 | |
Kosmos Energy Ltd. (a) | 380,672 | 2,702,771 | |
Laredo Petroleum, Inc. (a) | 14,176 | 748,209 | |
Magnolia Oil & Gas Corp. Class A | 150,698 | 3,337,961 | |
Marathon Oil Corp. | 623,471 | 16,378,583 | |
Matador Resources Co. | 96,210 | 5,352,162 | |
Murphy Oil Corp. | 124,643 | 5,393,303 | |
Northern Oil and Gas, Inc. | 60,328 | 2,375,113 | |
Ovintiv, Inc. | 208,758 | 9,621,656 | |
PDC Energy, Inc. | 78,563 | 5,962,146 | |
Permian Resources Corp. | 208,334 | 2,435,424 | |
Pioneer Natural Resources Co. | 191,019 | 43,107,258 | |
Range Resources Corp. | 213,683 | 6,716,057 | |
Riley Exploration Permian, Inc. | 5,568 | 208,522 | |
SandRidge Energy, Inc. | 26,313 | 449,426 | |
SilverBow Resources, Inc. (a) | 13,657 | 489,057 | |
Sitio Royalties Corp. Class A | 63,607 | 1,739,015 | |
SM Energy Co. | 100,542 | 3,648,669 | |
Southwestern Energy Co. (a) | 904,719 | 5,862,579 | |
Talos Energy, Inc. (a) | 94,297 | 1,508,752 | |
Tellurian, Inc. (a) | 453,958 | 780,808 | |
Texas Pacific Land Corp. | 5,056 | 7,615,853 | |
VAALCO Energy, Inc. | 104,521 | 465,118 | |
Viper Energy Partners LP | 55,325 | 1,500,414 | |
Vitesse Energy, Inc. | 19,743 | 497,326 |
Annual Report | 48 |
Common Stocks – continued | |||
Shares | Value | ||
OIL, GAS & CONSUMABLE FUELS – continued | |||
Oil & Gas Exploration & Production – continued | |||
W&T Offshore, Inc. (a) | 98,311 | $ 430,602 | |
471,258,410 | |||
Oil & Gas Refining & Marketing – 10.3% | |||
Clean Energy Fuels Corp. (a) | 159,217 | 784,940 | |
CVR Energy, Inc. | 28,350 | 1,041,579 | |
Delek US Holdings, Inc. | 58,968 | 1,626,927 | |
Green Plains, Inc. (a) | 37,085 | 1,316,888 | |
HF Sinclair Corp. | 132,694 | 6,912,030 | |
Marathon Petroleum Corp. | 447,840 | 59,571,677 | |
Par Pacific Holdings, Inc. (a) | 48,171 | 1,516,423 | |
PBF Energy, Inc. Class A | 95,327 | 4,522,313 | |
Phillips 66 | 385,520 | 43,004,756 | |
REX American Resources Corp. (a) | 16,239 | 601,168 | |
Valero Energy Corp. | 324,940 | 41,888,015 | |
Vertex Energy, Inc. (a) | 64,230 | 338,492 | |
World Kinect Corp. | 53,012 | 1,194,891 | |
164,320,099 | |||
Oil & Gas Storage & Transportation – 9.8% | |||
Antero Midstream Corp. | 275,714 | 3,292,025 | |
Cheniere Energy, Inc. | 199,040 | 32,216,614 | |
Dorian LPG Ltd. | 31,028 | 922,773 | |
DT Midstream, Inc. | 79,856 | 4,273,893 | |
EnLink Midstream LLC (a) | 221,050 | 2,564,180 | |
Equitrans Midstream Corp. | 357,928 | 3,711,713 | |
Excelerate Energy, Inc. Class A | 18,606 | 394,819 | |
Hess Midstream LP Class A | 48,166 | 1,502,298 | |
International Seaways, Inc. | 34,600 | 1,483,994 | |
Kinder Morgan, Inc. | 1,653,887 | 29,290,339 |
| |||
Shares | Value | ||
Kinetik Holdings, Inc. | 17,205 | $ 619,380 | |
New Fortress Energy, Inc. | 50,933 | 1,454,137 | |
NextDecade Corp. (a) | 60,022 | 334,323 | |
ONEOK, Inc. | 365,843 | 24,526,115 | |
Plains GP Holdings LP Class A (a) | 162,312 | 2,546,675 | |
Targa Resources Corp. | 175,895 | 14,421,631 | |
The Williams Cos., Inc. | 996,067 | 34,314,508 | |
157,869,417 | |||
TOTAL OIL, GAS & CONSUMABLE FUELS | 1,410,986,340 | ||
TOTAL COMMON STOCKS (Cost $1,131,681,831) | 1,604,123,968 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $2,130,000) | 2,130,000 | 2,130,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $1,133,811,831) | 1,606,253,968 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 787,551 | ||
NET ASSETS – 100.0% | $1,607,041,519 |
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) | 29 | September 2023 | $2,671,770 | $172,921 | $172,921 |
49 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,604,123,968 | $ 1,604,123,968 | $ — | $ — | |||||
Money Market Funds | 2,130,000 | 2,130,000 | — | — | |||||
Total Investments in Securities: | $ 1,606,253,968 | $ 1,606,253,968 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 172,921 | $ 172,921 | $ — | $ — | |||||
Total Assets | $ 172,921 | $ 172,921 | $ — | $ — | |||||
Total Derivative Instruments: | $ 172,921 | $ 172,921 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $172,921 | $0 | |
Total Equity Risk | 172,921 | 0 | |
Total Value of Derivatives | $172,921 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 50 |
Common Stocks – 99.6% | |||
Shares | Value | ||
BANKS – 27.0% | |||
Diversified Banks – 19.6% | |||
Bank of America Corp. | 1,783,112 | $ 57,059,584 | |
Citigroup, Inc. | 482,033 | 22,973,693 | |
Comerica, Inc. | 32,863 | 1,773,287 | |
Fifth Third Bancorp | 168,711 | 4,909,490 | |
First Citizens BancShares, Inc. Class A | 2,667 | 3,817,277 | |
JPMorgan Chase & Co. | 726,053 | 114,687,332 | |
KeyCorp | 230,938 | 2,842,847 | |
The PNC Financial Services Group, Inc. | 98,750 | 13,517,888 | |
US Bancorp | 379,394 | 15,054,354 | |
Wells Fargo & Co. | 932,057 | 43,023,751 | |
279,659,503 | |||
Regional Banks – 7.4% | |||
1st Source Corp. | 4,686 | 219,773 | |
Amalgamated Financial Corp. | 4,256 | 84,950 | |
Amerant Bancorp, Inc. | 6,050 | 119,911 | |
Ameris Bancorp | 16,583 | 723,848 | |
Arrow Financial Corp. | 4,902 | 98,628 | |
Associated Banc-Corp. | 37,715 | 714,699 | |
Atlantic Union Bankshares Corp. | 18,652 | 596,491 | |
Axos Financial, Inc. (a) | 13,255 | 622,985 | |
Banc of California, Inc. | 14,257 | 202,592 | |
Bancfirst Corp. | 5,385 | 537,962 | |
Bank First Corp. | 2,108 | 186,263 | |
Bank of Hawaii Corp. | 9,861 | 563,359 | |
Bank of Marin Bancorp | 4,148 | 87,025 | |
Bank OZK | 27,973 | 1,223,259 | |
BankUnited, Inc. | 18,575 | 554,278 | |
Banner Corp. | 8,650 | 411,827 | |
Bar Harbor Bankshares | 4,128 | 112,736 | |
Berkshire Hills Bancorp, Inc. | 11,229 | 256,133 | |
BOK Financial Corp. | 7,463 | 664,804 | |
Brookline Bancorp, Inc. | 17,341 | 185,202 | |
Business First Bancshares, Inc. | 6,787 | 138,794 | |
Byline Bancorp, Inc. | 6,296 | 138,197 | |
Cadence Bank | 45,034 | 1,128,102 | |
Cambridge Bancorp | 2,000 | 123,080 | |
Camden National Corp. | 4,034 | 139,496 | |
Capital City Bank Group, Inc. | 3,267 | 105,949 | |
Capitol Federal Financial, Inc. | 33,734 | 223,656 | |
Cathay General Bancorp | 17,504 | 665,852 | |
Central Pacific Financial Corp. | 5,914 | 107,871 | |
Citizens Financial Group, Inc. | 120,886 | 3,899,782 | |
City Holding Co. | 3,499 | 346,086 | |
Coastal Financial Corp. (a) | 2,748 | 124,127 | |
Columbia Banking System, Inc. | 51,588 | 1,152,992 | |
Columbia Financial, Inc. (a) | 8,032 | 140,399 | |
Commerce Bancshares, Inc. | 29,450 | 1,566,151 |
| |||
Shares | Value | ||
Community Bank System, Inc. | 13,327 | $ 717,392 | |
Community Trust Bancorp, Inc. | 3,872 | 148,607 | |
ConnectOne Bancorp, Inc. | 9,888 | 202,407 | |
CrossFirst Bankshares, Inc. (a) | 10,803 | 126,071 | |
Cullen/Frost Bankers, Inc. | 15,009 | 1,629,677 | |
Customers Bancorp, Inc. (a) | 7,325 | 307,504 | |
CVB Financial Corp. | 34,497 | 650,958 | |
Dime Community Bancshares, Inc. | 9,001 | 201,622 | |
Eagle Bancorp, Inc. | 7,989 | 221,295 | |
East West Bancorp, Inc. | 35,167 | 2,187,739 | |
Eastern Bankshares, Inc. | 39,921 | 563,685 | |
Enterprise Financial Services Corp. | 9,276 | 380,316 | |
Equity Bancshares, Inc. Class A | 3,736 | 101,470 | |
Farmers National Banc Corp. | 10,065 | 138,394 | |
FB Financial Corp. | 9,126 | 323,243 | |
First Bancorp | 9,847 | 325,739 | |
First BanCorp | 44,484 | 660,587 | |
First Busey Corp. | 13,146 | 284,742 | |
First Commonwealth Financial Corp. | 25,003 | 361,043 | |
First Community Bankshares, Inc. | 3,479 | 116,999 | |
First Financial Bancorp | 23,355 | 539,267 | |
First Financial Bankshares, Inc. | 33,610 | 1,095,350 | |
First Financial Corp. | 3,546 | 135,493 | |
First Foundation, Inc. | 12,991 | 94,964 | |
First Hawaiian, Inc. | 32,496 | 672,342 | |
First Horizon Corp. | 133,113 | 1,814,330 | |
First Interstate Bancsystem, Inc. Class A | 22,266 | 639,702 | |
First Merchants Corp. | 15,021 | 482,475 | |
First Mid Bancshares, Inc. | 5,397 | 165,202 | |
Five Star Bancorp | 2,969 | 73,275 | |
Flushing Financial Corp. | 7,449 | 117,545 | |
FNB Corp. | 89,465 | 1,144,257 | |
Fulton Financial Corp. | 42,130 | 602,459 | |
German American Bancorp, Inc. | 7,478 | 220,302 | |
Glacier Bancorp, Inc. | 27,391 | 895,686 | |
Great Southern Bancorp, Inc. | 2,548 | 140,981 | |
Hancock Whitney Corp. | 21,316 | 938,117 | |
Hanmi Financial Corp. | 5,332 | 101,308 | |
Harborone Bancorp, Inc. | 11,660 | 122,313 | |
HBT Financial, Inc. | 3,694 | 73,289 | |
Heartland Financial USA, Inc. | 9,743 | 334,575 | |
Heritage Commerce Corp. | 17,358 | 166,637 | |
Heritage Financial Corp. | 8,887 | 166,720 | |
Hilltop Holdings, Inc. | 12,223 | 378,057 | |
Hingham Institution For Savings The | 409 | 90,982 | |
Home BancShares, Inc. | 47,921 | 1,164,960 | |
HomeStreet, Inc. | 4,429 | 40,747 | |
Hope Bancorp, Inc. | 32,600 | 354,036 | |
Horizon Bancorp, Inc. | 11,703 | 145,000 | |
Huntington Bancshares, Inc. | 357,442 | 4,375,090 |
51 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BANKS – continued | |||
Regional Banks – continued | |||
Independent Bank Corp. | 11,102 | $ 668,896 | |
Independent Bank Corp. | 6,108 | 126,191 | |
Independent Bank Group, Inc. | 9,351 | 419,579 | |
International Bancshares Corp. | 14,010 | 695,456 | |
Kearny Financial Corp. | 16,621 | 142,774 | |
Lakeland Bancorp, Inc. | 14,937 | 225,698 | |
Lakeland Financial Corp. | 6,265 | 347,332 | |
Live Oak Bancshares, Inc. | 8,128 | 307,807 | |
Luther Burbank Corp. | 7,262 | 74,799 | |
M&T Bank Corp. | 41,573 | 5,814,400 | |
Mercantile Bank Corp. | 3,764 | 132,192 | |
Metrocity Bankshares, Inc. | 5,315 | 113,954 | |
Metropolitan Bank Holding Corp. (a) | 2,383 | 107,926 | |
Mid Penn Bancorp, Inc. | 3,729 | 87,632 | |
Midland States Bancorp, Inc. | 5,704 | 133,645 | |
MidWestOne Financial Group, Inc. | 4,231 | 103,786 | |
National Bank Holdings Corp. Class A | 7,480 | 257,013 | |
NBT Bancorp, Inc. | 10,587 | 393,836 | |
New York Community Bancorp, Inc. | 171,788 | 2,382,700 | |
Nicolet Bankshares, Inc. | 3,315 | 277,300 | |
Northfield Bancorp, Inc. | 10,733 | 130,728 | |
Northwest Bancshares, Inc. | 31,074 | 384,075 | |
OceanFirst Financial Corp. | 14,872 | 277,065 | |
OFG Bancorp | 12,316 | 412,463 | |
Old National Bancorp | 72,994 | 1,243,088 | |
Old Second Bancorp, Inc. | 11,075 | 177,089 | |
Origin Bancorp, Inc. | 7,500 | 244,500 | |
Pacific Premier Bancorp, Inc. | 25,317 | 646,596 | |
PacWest Bancorp | 29,239 | 271,923 | |
Park National Corp. | 4,010 | 447,195 | |
Pathward Financial, Inc. | 6,678 | 346,989 | |
Peapack-Gladstone Financial Corp. | 3,821 | 111,688 | |
Peoples Bancorp, Inc. | 8,532 | 240,346 | |
Pinnacle Financial Partners, Inc. | 19,090 | 1,448,931 | |
Popular, Inc. | 18,076 | 1,311,414 | |
Preferred Bank | 2,171 | 143,460 | |
Premier Financial Corp. | 9,034 | 195,676 | |
Prosperity Bancshares, Inc. | 22,585 | 1,430,082 | |
Provident Financial Services, Inc. | 18,218 | 337,762 | |
QCR Holdings, Inc. | 4,324 | 221,519 | |
Regions Financial Corp. | 231,184 | 4,709,218 | |
Renasant Corp. | 13,653 | 422,424 | |
Republic Bancorp, Inc. Class A | 2,190 | 100,368 | |
S&T Bancorp, Inc. | 9,434 | 297,926 | |
Sandy Spring Bancorp, Inc. | 11,604 | 283,950 | |
Seacoast Banking Corp. of Florida | 20,936 | 517,329 | |
ServisFirst Bancshares, Inc. | 12,606 | 752,326 |
| |||
Shares | Value | ||
Simmons First National Corp. Class A | 32,061 | $ 647,312 | |
SmartFinancial, Inc. | 3,965 | 99,601 | |
South Plains Financial, Inc. | 3,250 | 87,263 | |
Southern Missouri Bancorp, Inc. | 2,593 | 124,646 | |
Southside Bancshares, Inc. | 7,392 | 245,488 | |
SouthState Corp. | 18,863 | 1,465,089 | |
Stellar Bancorp, Inc. | 11,043 | 274,529 | |
Stock Yards Bancorp, Inc. | 6,914 | 330,558 | |
Synovus Financial Corp. | 36,143 | 1,225,248 | |
Texas Capital Bancshares, Inc. (a) | 11,963 | 763,838 | |
The Bancorp, Inc. (a) | 13,180 | 499,522 | |
The First Bancshares, Inc. | 7,207 | 225,651 | |
Tompkins Financial Corp. | 3,203 | 192,692 | |
Towne Bank | 18,271 | 461,891 | |
Trico Bancshares | 7,869 | 294,143 | |
Triumph Bancorp, Inc. (a) | 5,246 | 371,994 | |
Truist Financial Corp. | 328,793 | 10,922,503 | |
TrustCo Bank Corp. | 4,098 | 124,538 | |
Trustmark Corp. | 14,484 | 380,350 | |
UMB Financial Corp. | 11,390 | 808,690 | |
United Bankshares, Inc. | 33,130 | 1,107,867 | |
United Community Banks, Inc. | 28,145 | 818,175 | |
Univest Financial Corp. | 7,334 | 143,013 | |
Valley National Bancorp | 107,081 | 1,098,651 | |
Veritex Holdings, Inc. | 13,886 | 298,688 | |
Washington Federal, Inc. | 16,339 | 507,163 | |
Washington Trust Bancorp, Inc. | 4,555 | 146,033 | |
Webster Financial Corp. | 43,176 | 2,043,088 | |
WesBanco, Inc. | 14,614 | 409,338 | |
Westamerica BanCorp. | 7,079 | 348,216 | |
Western Alliance Bancorp | 25,860 | 1,343,427 | |
Wintrust Financial Corp. | 15,155 | 1,278,476 | |
WSFS Financial Corp. | 15,121 | 661,544 | |
Zions Bancorp NA | 36,622 | 1,400,791 | |
106,171,272 | |||
TOTAL BANKS | 385,830,775 | ||
CAPITAL MARKETS – 22.9% | |||
Asset Management & Custody Banks – 7.7% | |||
Affiliated Managers Group, Inc. | 9,044 | 1,253,860 | |
Alti Global, Inc. (a) | 5,033 | 39,358 | |
Ameriprise Financial, Inc. | 26,017 | 9,065,624 | |
Ares Management Corp. Class A | 39,240 | 3,893,393 | |
Artisan Partners Asset Management, Inc. Class A | 17,170 | 712,383 | |
Assetmark Financial Holdings, Inc. (a) | 6,412 | 191,719 | |
BlackRock, Inc. | 37,123 | 27,428,328 | |
Blackstone, Inc. | 174,952 | 18,333,220 | |
Blucora, Inc. (a) | 9,089 | 235,223 |
Annual Report | 52 |
Common Stocks – continued | |||
Shares | Value | ||
CAPITAL MARKETS – continued | |||
Asset Management & Custody Banks – continued | |||
Blue Owl Capital, Inc. | 88,629 | $ 1,091,909 | |
Brightsphere Investment Group, Inc. | 8,009 | 170,431 | |
Cohen & Steers, Inc. | 6,989 | 449,463 | |
Diamond Hill Investment Group, Inc. | 868 | 157,551 | |
Federated Hermes, Inc. | 20,995 | 710,261 | |
Focus Financial Partners, Inc. Class A (a) | 14,701 | 769,303 | |
Franklin Resources, Inc. | 74,513 | 2,178,760 | |
Hamilton Lane, Inc. Class A | 7,931 | 701,338 | |
Invesco Ltd. | 85,951 | 1,443,977 | |
Janus Henderson Group PLC | 33,193 | 974,214 | |
KKR & Co., Inc. | 149,297 | 8,865,256 | |
Northern Trust Corp. | 51,808 | 4,150,857 | |
SEI Investments Co. | 28,728 | 1,809,577 | |
State Street Corp. | 83,324 | 6,035,991 | |
StepStone Group, Inc. Class A | 12,247 | 343,773 | |
T Rowe Price Group, Inc. | 55,772 | 6,874,457 | |
The Bank of New York Mellon Corp. | 199,140 | 9,032,990 | |
The Carlyle Group, Inc. | 54,337 | 1,937,114 | |
TPG, Inc. | 13,255 | 390,095 | |
Victory Capital Holdings, Inc. Class A | 6,023 | 199,723 | |
Virtus Investment Partners, Inc. | 1,794 | 369,080 | |
WisdomTree Investments, Inc. | 27,307 | 190,057 | |
109,999,285 | |||
Financial Exchanges & Data – 7.9% | |||
Cboe Global Markets, Inc. | 26,072 | 3,641,737 | |
CME Group, Inc. | 89,015 | 17,710,424 | |
Coinbase Global, Inc. Class A (a) | 41,017 | 4,044,686 | |
Donnelley Financial Solutions, Inc. (a) | 6,282 | 297,139 | |
FactSet Research Systems, Inc. | 9,492 | 4,129,400 | |
Intercontinental Exchange, Inc. | 138,627 | 15,914,380 | |
MarketAxess Holdings, Inc. | 9,326 | 2,510,746 | |
Moody's Corp. | 40,853 | 14,410,896 | |
Morningstar, Inc. | 6,357 | 1,465,161 | |
MSCI, Inc. | 19,830 | 10,868,426 | |
Nasdaq, Inc. | 84,805 | 4,281,804 | |
Open Lending Corp. (a) | 19,521 | 220,392 | |
S&P Global, Inc. | 81,224 | 32,043,680 | |
Tradeweb Markets, Inc. Class A | 27,501 | 2,249,307 | |
113,788,178 | |||
Investment Banking & Brokerage – 7.3% | |||
B Riley Financial, Inc. | 4,363 | 242,277 | |
BGC Group, Inc. Class A | 76,716 | 365,168 | |
Evercore, Inc. Class A | 9,088 | 1,227,425 | |
Freedom Holding Corp. (a) | 4,426 | 353,018 | |
Goldman Sachs Group, Inc. | 82,672 | 29,420,485 | |
Houlihan Lokey, Inc. | 12,539 | 1,252,019 |
| |||
Shares | Value | ||
Interactive Brokers Group, Inc. Class A | 25,358 | $ 2,214,514 | |
Jefferies Financial Group, Inc. | 43,509 | 1,600,696 | |
LPL Financial Holdings, Inc. | 19,422 | 4,454,630 | |
Moelis & Co. Class A | 15,775 | 770,293 | |
Morgan Stanley | 310,652 | 28,443,297 | |
Perella Weinberg Partners | 10,000 | 98,800 | |
Piper Sandler Cos. | 4,413 | 645,887 | |
PJT Partners, Inc. Class A | 5,882 | 466,502 | |
Raymond James Financial, Inc. | 50,672 | 5,577,467 | |
Stifel Financial Corp. | 26,484 | 1,682,793 | |
StoneX Group, Inc. (a) | 4,603 | 423,522 | |
The Charles Schwab Corp. | 372,168 | 24,600,305 | |
Virtu Financial, Inc. Class A | 23,883 | 443,269 | |
104,282,367 | |||
TOTAL CAPITAL MARKETS | 328,069,830 | ||
CONSUMER FINANCE – 4.3% | |||
Consumer Finance – 4.3% | |||
Ally Financial, Inc. | 67,919 | 2,074,246 | |
American Express Co. | 156,647 | 26,454,545 | |
Atlanticus Holdings Corp. (a) | 1,192 | 48,514 | |
Bread Financial Holdings, Inc. | 3,086 | 128,285 | |
Capital One Financial Corp. | 94,649 | 11,075,826 | |
Credit Acceptance Corp. (a) | 1,581 | 879,985 | |
Discover Financial Services | 64,241 | 6,780,638 | |
Encore Capital Group, Inc. (a) | 5,728 | 306,448 | |
Enova International, Inc. (a) | 7,791 | 429,206 | |
Ezcorp, Inc. Class A (a) | 12,835 | 116,285 | |
FirstCash Holdings, Inc. | 9,741 | 928,123 | |
Green Dot Corp. Class A (a) | 12,525 | 244,864 | |
LendingClub Corp. (a) | 27,683 | 232,260 | |
Navient Corp. | 24,554 | 467,508 | |
Nelnet, Inc. Class A | 3,642 | 359,393 | |
NerdWallet, Inc. Class A (a) | 8,866 | 99,388 | |
OneMain Holdings, Inc. | 28,934 | 1,315,918 | |
PRA Group, Inc. (a) | 9,536 | 227,529 | |
PROG Holdings, Inc. (a) | 12,069 | 489,760 | |
SLM Corp. | 54,512 | 882,004 | |
SoFi Technologies, Inc. (a) | 208,012 | 2,381,737 | |
Synchrony Financial | 106,390 | 3,674,711 | |
Upstart Holdings, Inc. (a) | 17,523 | 1,203,655 | |
World Acceptance Corp. (a) | 865 | 136,575 | |
TOTAL CONSUMER FINANCE | 60,937,403 | ||
FINANCIAL SERVICES – 27.8% | |||
Commercial & Residential Mortgage Finance – 0.6% | |||
Enact Holdings, Inc. | 8,008 | 217,818 | |
Essent Group Ltd. | 27,024 | 1,340,390 | |
Federal Agricultural Mortgage Corp. Class C | 2,271 | 365,063 |
53 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
FINANCIAL SERVICES – continued | |||
Commercial & Residential Mortgage Finance – continued | |||
Merchants Bancorp | 4,495 | $ 142,087 | |
MGIC Investment Corp. | 72,913 | 1,220,564 | |
Mr. Cooper Group, Inc. (a) | 16,611 | 962,940 | |
NMI Holdings, Inc. Class A (a) | 19,857 | 530,380 | |
PennyMac Financial Services, Inc. | 10,536 | 792,623 | |
Radian Group, Inc. | 39,036 | 1,051,239 | |
Rocket Cos., Inc. Class A (a) | 28,686 | 313,538 | |
TFS Financial Corp. | 14,550 | 211,121 | |
UWM Holdings Corp. | 21,795 | 142,975 | |
Walker & Dunlop, Inc. | 7,866 | 715,649 | |
8,006,387 | |||
Diversified Financial Services – 0.9% | |||
Apollo Global Management, Inc. | 98,943 | 8,084,632 | |
Equitable Holdings, Inc. | 89,182 | 2,558,632 | |
Jackson Financial, Inc. Class A | 18,772 | 619,851 | |
Voya Financial, Inc. | 24,326 | 1,806,449 | |
13,069,564 | |||
Multi-Sector Holdings – 7.9% | |||
Berkshire Hathaway, Inc. Class B (a) | 321,533 | 113,166,755 | |
Cannae Holdings, Inc. (a) | 18,006 | 366,962 | |
Compass Diversified Holdings | 16,460 | 370,844 | |
113,904,561 | |||
Specialized Finance – 0.0% | |||
A-Mark Precious Metals, Inc. | 4,923 | 200,809 | |
Transaction & Payment Processing Services – 18.4% | |||
Affirm Holdings, Inc. (a) | 49,116 | 952,359 | |
AvidXchange Holdings, Inc. (a) | 36,003 | 446,797 | |
Block, Inc. (a) | 134,296 | 10,814,857 | |
Cass Information Systems, Inc. | 3,234 | 122,730 | |
Euronet Worldwide, Inc. (a) | 12,216 | 1,073,420 | |
EVERTEC, Inc. | 17,274 | 679,386 | |
Fidelity National Information Services, Inc. | 147,171 | 8,886,185 | |
Fiserv, Inc. (a) | 154,833 | 19,541,473 | |
FleetCor Technologies, Inc. (a) | 17,643 | 4,391,519 | |
Flywire Corp. (a) | 21,636 | 738,653 | |
Global Payments, Inc. | 65,883 | 7,263,601 | |
I3 Verticals, Inc. Class A (a) | 6,250 | 156,313 | |
International Money Express, Inc. (a) | 8,854 | 214,532 | |
Jack Henry & Associates, Inc. | 18,525 | 3,104,234 | |
Marqeta, Inc. Class A (a) | 98,680 | 550,634 | |
Mastercard, Inc. Class A | 210,810 | 83,118,167 | |
Paymentus Holdings, Inc. Class A (a) | 5,972 | 67,424 | |
Payoneer Global, Inc. (a) | 61,404 | 326,669 | |
PayPal Holdings, Inc. (a) | 264,328 | 20,041,349 | |
Remitly Global, Inc. (a) | 30,334 | 584,840 | |
Repay Holdings Corp. (a) | 20,647 | 172,403 | |
Shift4 Payments, Inc. Class A (a) | 12,365 | 853,061 |
| |||
Shares | Value | ||
Toast, Inc. Class A (a) | 75,836 | $ 1,673,701 | |
Visa, Inc. Class A | 402,459 | 95,676,578 | |
WEX, Inc. (a) | 10,710 | 2,027,939 | |
263,478,824 | |||
TOTAL FINANCIAL SERVICES | 398,660,145 | ||
INSURANCE – 16.6% | |||
Insurance Brokers – 4.3% | |||
Aon PLC Class A | 50,809 | 16,182,666 | |
Arthur J Gallagher & Co. | 53,024 | 11,389,555 | |
Brown & Brown, Inc. | 59,630 | 4,200,934 | |
BRP Group, Inc. Class A (a) | 15,370 | 382,867 | |
Goosehead Insurance, Inc. Class A (a) | 5,146 | 344,113 | |
Hagerty, Inc. Class A (a) | 5,905 | 52,141 | |
Hippo Holdings, Inc. (a) | 2,920 | 50,224 | |
Marsh & McLennan Cos., Inc. | 122,615 | 23,103,118 | |
Ryan Specialty Holdings, Inc. (a) | 21,124 | 915,514 | |
Willis Towers Watson PLC | 26,324 | 5,563,051 | |
62,184,183 | |||
Life & Health Insurance – 3.2% | |||
Aflac, Inc. | 143,931 | 10,411,969 | |
American Equity Investment Life Holding Co. (a) | 16,875 | 905,681 | |
Brighthouse Financial, Inc. (a) | 16,774 | 874,429 | |
CNO Financial Group, Inc. | 29,328 | 754,316 | |
F&G Annuities & Life, Inc. | 4,728 | 123,874 | |
Genworth Financial, Inc. Class A (a) | 122,282 | 716,573 | |
Globe Life, Inc. | 22,670 | 2,542,894 | |
Lincoln National Corp. | 42,254 | 1,184,802 | |
MetLife, Inc. | 162,966 | 10,261,969 | |
National Western Life Group, Inc. Class A | 608 | 256,375 | |
Oscar Health, Inc. Class A (a) | 28,840 | 216,877 | |
Primerica, Inc. | 9,039 | 1,922,595 | |
Principal Financial Group, Inc. | 60,651 | 4,844,195 | |
Prudential Financial, Inc. | 91,070 | 8,787,344 | |
Unum Group | 48,928 | 2,378,390 | |
46,182,283 | |||
Multi-line Insurance – 1.3% | |||
American International Group, Inc. | 181,759 | 10,956,433 | |
Assurant, Inc. | 13,104 | 1,762,619 | |
Horace Mann Educators Corp. | 10,908 | 328,658 | |
The Hartford Financial Services Group, Inc. | 77,407 | 5,564,015 | |
18,611,725 | |||
Property & Casualty Insurance – 7.1% | |||
Ambac Financial Group, Inc. (a) | 11,297 | 159,740 | |
American Financial Group, Inc. | 18,216 | 2,215,248 | |
AMERISAFE, Inc. | 5,064 | 263,936 | |
Arch Capital Group Ltd. (a) | 92,266 | 7,168,146 |
Annual Report | 54 |
Common Stocks – continued | |||
Shares | Value | ||
INSURANCE – continued | |||
Property & Casualty Insurance – continued | |||
Argo Group International Holdings Ltd. | 8,335 | $ 247,549 | |
Assured Guaranty Ltd. | 14,056 | 840,268 | |
Axis Capital Holdings Ltd. | 20,280 | 1,117,834 | |
Chubb Ltd. | 102,531 | 20,958,362 | |
Cincinnati Financial Corp. | 38,886 | 4,183,356 | |
Donegal Group, Inc. Class A | 4,571 | 66,599 | |
Employers Holdings, Inc. | 6,139 | 237,150 | |
Erie Indemnity Co. Class A | 6,299 | 1,398,126 | |
Fidelity National Financial, Inc. | 65,053 | 2,548,126 | |
First American Financial Corp. | 25,813 | 1,636,028 | |
HCI Group, Inc. | 1,441 | 90,509 | |
James River Group Holdings Ltd. | 10,011 | 185,103 | |
Kemper Corp. | 15,997 | 815,367 | |
Kinsale Capital Group, Inc. | 5,452 | 2,031,579 | |
Lemonade, Inc. (a) | 12,912 | 300,204 | |
Loews Corp. | 48,843 | 3,060,014 | |
Markel Group, Inc. (a) | 3,153 | 4,570,936 | |
MBIA, Inc. (a) | 11,687 | 102,144 | |
Mercury General Corp. | 7,052 | 226,933 | |
Old Republic International Corp. | 70,989 | 1,957,167 | |
Palomar Holdings, Inc. (a) | 6,129 | 371,172 | |
ProAssurance Corp. | 13,572 | 228,010 | |
RLI Corp. | 10,196 | 1,360,248 | |
Safety Insurance Group, Inc. | 3,885 | 279,720 | |
Selective Insurance Group, Inc. | 15,002 | 1,548,056 | |
Skyward Specialty Insurance Group, Inc. (a) | 3,272 | 77,514 | |
Stewart Information Services Corp. | 7,011 | 330,428 | |
The Allstate Corp. | 65,080 | 7,333,214 | |
The Hanover Insurance Group, Inc. | 9,076 | 1,029,944 | |
The Progressive Corp. | 144,989 | 18,265,714 | |
The Travelers Cos., Inc. | 57,235 | 9,879,333 | |
Tiptree, Inc. | 5,871 | 86,715 | |
Trupanion, Inc. (a) | 9,463 | 291,934 | |
United Fire Group, Inc. | 6,332 | 152,221 | |
Universal Insurance Holdings, Inc. | 6,424 | 99,765 | |
White Mountains Insurance Group Ltd. | 637 | 985,452 | |
WR Berkley Corp. | 52,322 | 3,227,744 | |
101,927,608 | |||
Reinsurance – 0.7% | |||
Enstar Group Ltd. (a) | 2,585 | 661,450 | |
Everest Group Ltd. | 10,609 | 3,824,650 | |
Reinsurance Group of America, Inc. | 16,492 | 2,314,652 | |
RenaissanceRe Holdings Ltd. | 12,322 | 2,301,257 | |
SiriusPoint Ltd. (a) | 22,196 | 207,311 | |
9,309,320 | |||
TOTAL INSURANCE | 238,215,119 |
| |||
Shares | Value | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) – 1.0% | |||
Mortgage REITs – 1.0% | |||
AGNC Investment Corp. | 143,160 | $ 1,458,800 | |
Annaly Capital Management, Inc. | 123,198 | 2,475,048 | |
Apollo Commercial Real Estate Finance, Inc. | 33,990 | 401,082 | |
Arbor Realty Trust, Inc. | 42,371 | 716,494 | |
Ares Commercial Real Estate Corp. | 15,406 | 164,228 | |
ARMOUR Residential REIT, Inc. | 47,698 | 243,737 | |
Blackstone Mortgage Trust, Inc. Class A | 40,448 | 929,899 | |
BrightSpire Capital, Inc. | 33,510 | 246,634 | |
Chimera Investment Corp. | 57,177 | 359,072 | |
Claros Mortgage Trust, Inc. | 28,196 | 347,375 | |
Dynex Capital, Inc. | 13,913 | 181,565 | |
Ellington Financial, Inc. | 16,120 | 217,942 | |
Franklin BSP Realty Trust, Inc. | 21,179 | 302,860 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 26,183 | 683,638 | |
Invesco Mortgage Capital, Inc. | 10,078 | 121,037 | |
KKR Real Estate Finance Trust, Inc. | 16,179 | 201,590 | |
Ladder Capital Corp. | 30,277 | 332,744 | |
MFA Financial, Inc. | 25,062 | 282,198 | |
New York Mortgage Trust, Inc. | 23,400 | 237,510 | |
PennyMac Mortgage Investment Trust | 21,780 | 278,348 | |
Ready Capital Corp. | 42,803 | 495,231 | |
Redwood Trust, Inc. | 29,338 | 220,915 | |
Rithm Capital Corp. | 122,339 | 1,233,177 | |
Starwood Property Trust, Inc. | 77,844 | 1,614,485 | |
TPG RE Finance Trust, Inc. | 13,143 | 102,515 | |
Two Harbors Investment Corp. | 23,794 | 319,077 | |
TOTAL MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS) | 14,167,201 | ||
TOTAL COMMON STOCKS (Cost $1,283,669,450) | 1,425,880,473 | ||
Money Market Fund – 0.3% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $3,889,000) | 3,889,000 | 3,889,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,287,558,450) | 1,429,769,473 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 1,294,550 | ||
NET ASSETS – 100.0% | $1,431,064,023 |
55 | Annual Report |
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 Financial Select Sector Index Contracts (United States) | 40 | September 2023 | 4,377,000 | $ 212,885 | $ 212,885 |
CME E-mini Russell 2000 Index Contracts (United States) | 6 | September 2023 | 604,080 | 35,508 | 35,508 |
Total Equity Index Contracts | $ 248,393 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,425,880,473 | $ 1,425,880,473 | $ — | $ — | |||||
Money Market Funds | 3,889,000 | 3,889,000 | — | — | |||||
Total Investments in Securities: | $ 1,429,769,473 | $ 1,429,769,473 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 248,393 | $ 248,393 | $ — | $ — | |||||
Total Assets | $ 248,393 | $ 248,393 | $ — | $ — | |||||
Total Derivative Instruments: | $ 248,393 | $ 248,393 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $248,393 | $0 | |
Total Equity Risk | 248,393 | 0 | |
Total Value of Derivatives | $248,393 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 56 |
Common Stocks – 99.7% | |||
Shares | Value | ||
BIOTECHNOLOGY – 18.3% | |||
Biotechnology – 18.3% | |||
2seventy bio, Inc. (a) | 23,160 | $ 175,784 | |
4D Molecular Therapeutics, Inc. (a) | 15,042 | 275,269 | |
89bio, Inc. (a) | 26,911 | 426,270 | |
AbbVie, Inc. | 931,619 | 139,351,570 | |
ACADIA Pharmaceuticals, Inc. (a) | 59,914 | 1,751,885 | |
ADMA Biologics, Inc. (a) | 103,003 | 427,462 | |
Aerovate Therapeutics, Inc. (a) | 4,501 | 78,542 | |
Agenus, Inc. (a) | 161,256 | 245,109 | |
Agios Pharmaceuticals, Inc. (a) | 29,168 | 773,535 | |
Akero Therapeutics, Inc. (a) | 23,352 | 1,013,477 | |
Akouos, Inc. (a)(b) | 11,863 | 9,372 | |
Aldeyra Therapeutics, Inc. (a) | 24,724 | 200,635 | |
Alector, Inc. (a) | 32,854 | 225,378 | |
Alkermes PLC (a) | 78,058 | 2,285,538 | |
Allakos, Inc. (a) | 20,228 | 108,827 | |
Allogene Therapeutics, Inc. (a) | 45,902 | 227,674 | |
Allovir, Inc. (a) | 29,930 | 98,470 | |
Alnylam Pharmaceuticals, Inc. (a) | 65,535 | 12,805,539 | |
Amgen, Inc. | 282,111 | 66,056,291 | |
Amicus Therapeutics, Inc. (a) | 112,202 | 1,528,191 | |
AnaptysBio, Inc. (a) | 10,892 | 214,681 | |
Anavex Life Sciences Corp. (a) | 40,985 | 338,126 | |
Anika Therapeutics, Inc. (a) | 7,336 | 171,149 | |
Apellis Pharmaceuticals, Inc. (a) | 42,582 | 1,096,486 | |
Arcellx, Inc. (a) | 12,620 | 432,235 | |
Arcturus Therapeutics Holdings, Inc. (a) | 12,863 | 449,690 | |
Arcus Biosciences, Inc. (a) | 22,600 | 449,740 | |
Arcutis Biotherapeutics, Inc. (a) | 23,436 | 255,687 | |
Ardelyx, Inc. (a) | 108,944 | 429,239 | |
Arrowhead Pharmaceuticals, Inc. (a) | 54,287 | 1,873,987 | |
ARS Pharmaceuticals, Inc. (a) | 19,923 | 146,434 | |
Aurinia Pharmaceuticals, Inc. (a) | 67,700 | 783,966 | |
Avid Bioservices, Inc. (a) | 33,189 | 420,173 | |
Avidity Biosciences, Inc. (a) | 31,754 | 301,981 | |
Beam Therapeutics, Inc. (a) | 30,557 | 943,295 | |
BioCryst Pharmaceuticals, Inc. (a) | 100,594 | 743,390 | |
Biogen, Inc. (a) | 76,301 | 20,615,767 | |
Biohaven Ltd. (a) | 30,519 | 606,718 | |
BioMarin Pharmaceutical, Inc. (a) | 99,062 | 8,710,522 | |
Biomea Fusion, Inc. (a) | 12,126 | 269,804 | |
Bioxcel Therapeutics, Inc. (a) | 10,012 | 91,510 | |
Bluebird Bio, Inc. (a) | 54,160 | 212,849 | |
Blueprint Medicines Corp. (a) | 31,861 | 2,102,826 | |
Bridgebio Pharma, Inc. (a) | 46,485 | 1,627,440 | |
CareDx, Inc. (a) | 28,012 | 305,611 | |
Catalyst Pharmaceuticals, Inc. (a) | 52,965 | 732,506 | |
Celldex Therapeutics, Inc. (a) | 21,170 | 748,571 |
| |||
Shares | Value | ||
Cerevel Therapeutics Holdings, Inc. (a) | 33,316 | $ 1,019,136 | |
Chinook Therapeutics, Inc. (a) | 24,318 | 952,779 | |
Cogent Biosciences, Inc. (a) | 28,688 | 372,657 | |
Coherus Biosciences, Inc. (a) | 43,836 | 211,290 | |
Compass Therapeutics, Inc. (a) | 39,953 | 114,665 | |
Crinetics Pharmaceuticals, Inc. (a) | 19,912 | 378,328 | |
CRISPR Therapeutics AG (a) | 39,696 | 2,275,772 | |
Cullinan Oncology, Inc. (a) | 8,209 | 86,933 | |
Cytokinetics, Inc. (a) | 47,877 | 1,596,698 | |
Day One Biopharmaceuticals, Inc. (a) | 27,005 | 357,546 | |
Deciphera Pharmaceuticals, Inc. (a) | 25,325 | 342,394 | |
Denali Therapeutics, Inc. (a) | 57,688 | 1,640,070 | |
Dynavax Technologies Corp. (a) | 67,781 | 948,256 | |
Dyne Therapeutics, Inc. (a) | 14,432 | 175,782 | |
Eagle Pharmaceuticals, Inc. (a) | 6,482 | 134,566 | |
Editas Medicine, Inc. (a) | 42,934 | 376,961 | |
Emergent BioSolutions, Inc. (a) | 24,665 | 169,695 | |
Enanta Pharmaceuticals, Inc. (a) | 10,438 | 198,009 | |
Entrada Therapeutics, Inc. (a) | 5,782 | 100,433 | |
EQRx, Inc. (a) | 116,003 | 198,365 | |
Erasca, Inc. (a) | 36,212 | 95,600 | |
Exact Sciences Corp. (a) | 94,107 | 9,179,197 | |
Exelixis, Inc. (a) | 153,888 | 3,033,132 | |
Fate Therapeutics, Inc. (a) | 41,122 | 169,834 | |
FibroGen, Inc. (a) | 47,290 | 97,417 | |
Geron Corp. (a) | 241,564 | 782,667 | |
Gilead Sciences, Inc. | 659,482 | 50,212,959 | |
Halozyme Therapeutics, Inc. (a) | 71,336 | 3,064,595 | |
HilleVax, Inc. (a) | 4,511 | 68,657 | |
Horizon Therapeutics PLC (a) | 114,809 | 11,511,898 | |
Ideaya Biosciences, Inc. (a) | 24,938 | 557,614 | |
IGM Biosciences, Inc. (a) | 8,592 | 91,419 | |
ImmunityBio, Inc. (a) | 73,648 | 162,026 | |
ImmunoGen, Inc. (a) | 115,388 | 2,056,214 | |
Immunovant, Inc. (a) | 27,487 | 627,528 | |
Incyte Corp. (a) | 100,006 | 6,372,382 | |
Inhibrx, Inc. (a) | 14,056 | 281,823 | |
Insmed, Inc. (a) | 71,489 | 1,579,192 | |
Intellia Therapeutics, Inc. (a) | 41,794 | 1,769,140 | |
Intercept Pharmaceuticals, Inc. (a) | 19,023 | 205,448 | |
Ionis Pharmaceuticals, Inc. (a) | 67,954 | 2,815,334 | |
Iovance Biotherapeutics, Inc. (a) | 99,752 | 724,200 | |
Ironwood Pharmaceuticals, Inc. (a) | 74,774 | 829,244 | |
iTeos Therapeutics, Inc. (a) | 12,250 | 172,235 | |
Janux Therapeutics, Inc. (a) | 6,844 | 95,816 | |
Karuna Therapeutics, Inc. (a) | 15,775 | 3,151,372 | |
Karyopharm Therapeutics, Inc. (a) | 56,561 | 101,810 | |
Keros Therapeutics, Inc. (a) | 10,539 | 441,373 |
57 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
BIOTECHNOLOGY – continued | |||
Biotechnology – continued | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) | 14,283 | $ 269,092 | |
Krystal Biotech, Inc. (a) | 10,204 | 1,317,336 | |
Kura Oncology, Inc. (a) | 27,081 | 282,726 | |
Kymera Therapeutics, Inc. (a) | 16,013 | 350,364 | |
Lexicon Pharmaceuticals, Inc. (a) | 56,314 | 113,191 | |
Lyell Immunopharma, Inc. (a) | 65,846 | 190,295 | |
Madrigal Pharmaceuticals, Inc. (a) | 6,699 | 1,375,305 | |
MannKind Corp. (a) | 139,419 | 637,145 | |
Mersana Therapeutics, Inc. (a) | 41,921 | 51,353 | |
Merus N.V. (a) | 15,890 | 416,954 | |
MiMedx Group, Inc. (a) | 45,142 | 364,296 | |
Mirati Therapeutics, Inc. (a) | 21,278 | 644,085 | |
Mirum Pharmaceuticals, Inc. (a) | 13,015 | 335,266 | |
Moderna, Inc. (a) | 173,120 | 20,369,299 | |
Monte Rosa Therapeutics, Inc. (a) | 22,136 | 156,502 | |
Morphic Holding, Inc. (a) | 14,263 | 809,140 | |
Myriad Genetics, Inc. (a) | 42,852 | 957,742 | |
Natera, Inc. (a) | 56,780 | 2,567,592 | |
Neurocrine Biosciences, Inc. (a) | 51,454 | 5,242,648 | |
Novavax, Inc. (a) | 45,465 | 421,915 | |
Nurix Therapeutics, Inc. (a) | 23,199 | 225,262 | |
Nuvalent, Inc. Class A (a) | 10,830 | 539,875 | |
Point Biopharma Global, Inc. (a) | 32,708 | 292,410 | |
ProKidney Corp. (a) | 16,202 | 207,710 | |
Protagonist Therapeutics, Inc. (a) | 23,683 | 459,450 | |
Prothena Corp. PLC (a) | 20,814 | 1,433,460 | |
PTC Therapeutics, Inc. (a) | 35,090 | 1,415,531 | |
Radius Health, Inc. (a)(b) | 20,244 | 1,620 | |
Rapt Therapeutics, Inc. (a) | 10,855 | 259,435 | |
Recursion Pharmaceuticals, Inc. Class A (a) | 67,749 | 956,616 | |
Regeneron Pharmaceuticals, Inc. (a) | 56,772 | 42,119,715 | |
REGENXBIO, Inc. (a) | 18,950 | 360,050 | |
Relay Therapeutics, Inc. (a) | 40,888 | 515,189 | |
Repare Therapeutics, Inc. (a) | 10,519 | 96,775 | |
Replimune Group, Inc. (a) | 20,019 | 421,800 | |
REVOLUTION Medicines, Inc. (a) | 39,212 | 1,029,315 | |
Rhythm Pharmaceuticals, Inc. (a) | 23,777 | 424,182 | |
Rocket Pharmaceuticals, Inc. (a) | 29,304 | 528,937 | |
Roivant Sciences Ltd. (a) | 180,064 | 2,157,167 | |
Sage Therapeutics, Inc. (a) | 28,105 | 974,681 | |
Sana Biotechnology, Inc. (a) | 44,254 | 259,328 | |
Sarepta Therapeutics, Inc. (a) | 39,456 | 4,276,636 | |
Scholar Rock Holding Corp. (a) | 20,247 | 143,754 | |
Seagen, Inc. (a) | 74,174 | 14,225,090 | |
Seres Therapeutics, Inc. (a) | 51,608 | 248,234 | |
SpringWorks Therapeutics, Inc. (a) | 18,098 | 567,915 | |
Stoke Therapeutics, Inc. (a) | 11,582 | 76,904 |
| |||
Shares | Value | ||
Summit Therapeutics, Inc. (a) | 73,619 | $ 154,600 | |
Syndax Pharmaceuticals, Inc. (a) | 29,691 | 633,012 | |
Tango Therapeutics, Inc. (a) | 25,517 | 86,247 | |
TG Therapeutics, Inc. (a) | 73,352 | 1,517,653 | |
Travere Therapeutics, Inc. (a) | 34,520 | 593,399 | |
Twist Bioscience Corp. (a) | 30,452 | 741,202 | |
Ultragenyx Pharmaceutical, Inc. (a) | 37,046 | 1,597,424 | |
uniQure N.V. (a) | 21,633 | 224,334 | |
United Therapeutics Corp. (a) | 24,428 | 5,929,164 | |
Vanda Pharmaceuticals, Inc. (a) | 28,729 | 166,054 | |
Vaxcyte, Inc. (a) | 36,076 | 1,733,813 | |
Veracyte, Inc. (a) | 38,396 | 1,053,970 | |
Vericel Corp. (a) | 23,789 | 854,501 | |
Vertex Pharmaceuticals, Inc. (a) | 136,028 | 47,928,106 | |
Verve Therapeutics, Inc. (a) | 21,205 | 434,490 | |
Viking Therapeutics, Inc. (a) | 49,912 | 723,724 | |
Vir Biotechnology, Inc. (a) | 45,924 | 646,610 | |
Viridian Therapeutics, Inc. (a) | 14,427 | 270,651 | |
Xencor, Inc. (a) | 28,504 | 692,362 | |
Xenon Pharmaceuticals, Inc. (a) | 26,607 | 982,330 | |
Zentalis Pharmaceuticals, Inc. (a) | 29,713 | 793,634 | |
Zymeworks, Inc. (a) | 16,894 | 126,029 | |
TOTAL BIOTECHNOLOGY | 564,012,258 | ||
HEALTH CARE EQUIPMENT & SUPPLIES – 20.6% | |||
Health Care Equipment – 19.1% | |||
Abbott Laboratories | 917,785 | 102,177,004 | |
Alphatec Holdings, Inc. (a) | 35,173 | 621,507 | |
AngioDynamics, Inc. (a) | 20,582 | 178,858 | |
Artivion, Inc. (a) | 18,696 | 325,684 | |
AtriCure, Inc. (a) | 25,004 | 1,383,971 | |
AxoGen, Inc. (a) | 21,154 | 182,771 | |
Axonics, Inc. (a) | 26,361 | 1,591,414 | |
Baxter International, Inc. | 266,703 | 12,062,977 | |
Becton Dickinson and Co. | 149,925 | 41,772,103 | |
Boston Scientific Corp. (a) | 759,032 | 39,355,809 | |
Butterfly Network, Inc. (a) | 74,713 | 192,012 | |
CONMED Corp. | 16,262 | 1,968,515 | |
Cutera, Inc. (a) | 6,925 | 138,569 | |
DexCom, Inc. (a) | 204,744 | 25,502,913 | |
Edwards Lifesciences Corp. (a) | 320,073 | 26,268,391 | |
Enovis Corp. (a) | 25,792 | 1,648,109 | |
Envista Holdings Corp. (a) | 86,523 | 2,977,256 | |
GE Healthcare, Inc. | 216,094 | 16,855,332 | |
Glaukos Corp. (a) | 23,997 | 1,851,129 | |
Globus Medical, Inc. Class A (a) | 41,071 | 2,475,349 | |
Hologic, Inc. (a) | 130,121 | 10,334,210 | |
IDEXX Laboratories, Inc. (a) | 43,818 | 24,307,159 | |
Inari Medical, Inc. (a) | 24,917 | 1,422,013 | |
Inspire Medical Systems, Inc. (a) | 15,370 | 4,423,640 | |
Insulet Corp. (a) | 36,781 | 10,179,142 |
Annual Report | 58 |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE EQUIPMENT & SUPPLIES – continued | |||
Health Care Equipment – continued | |||
Integer Holdings Corp. (a) | 17,752 | $ 1,641,705 | |
Integra LifeSciences Holdings Corp. (a) | 38,797 | 1,764,100 | |
Intuitive Surgical, Inc. (a) | 184,967 | 60,003,295 | |
iRhythm Technologies, Inc. (a) | 16,229 | 1,705,019 | |
LeMaitre Vascular, Inc. | 10,610 | 670,870 | |
LivaNova PLC (a) | 28,126 | 1,643,965 | |
Masimo Corp. (a) | 23,590 | 2,885,057 | |
Medtronic PLC | 702,576 | 61,658,070 | |
Nevro Corp. (a) | 18,831 | 470,587 | |
Novocure Ltd. (a) | 50,158 | 1,637,157 | |
NuVasive, Inc. (a) | 28,001 | 1,153,921 | |
Omnicell, Inc. (a) | 23,802 | 1,503,096 | |
Orchestra BioMed Holdings, Inc. (a) | 6,672 | 39,165 | |
Orthofix Medical, Inc. (a) | 17,745 | 349,399 | |
Outset Medical, Inc. (a) | 23,369 | 480,934 | |
Paragon 28, Inc. (a) | 17,358 | 306,716 | |
Penumbra, Inc. (a) | 19,137 | 5,805,400 | |
PROCEPT BioRobotics Corp. (a) | 20,120 | 692,933 | |
Pulmonx Corp. (a) | 18,911 | 264,754 | |
QuidelOrtho Corp. (a) | 26,388 | 2,305,256 | |
ResMed, Inc. | 77,591 | 17,252,359 | |
Shockwave Medical, Inc. (a) | 19,257 | 5,018,374 | |
SI-BONE, Inc. (a) | 18,381 | 473,495 | |
Sight Sciences, Inc. (a) | 12,943 | 113,898 | |
Silk Road Medical, Inc. (a) | 20,110 | 459,312 | |
Steris PLC | 52,384 | 11,815,211 | |
Stryker Corp. | 180,189 | 51,067,364 | |
Tandem Diabetes Care, Inc. (a) | 34,622 | 1,209,000 | |
Teleflex, Inc. | 24,803 | 6,229,769 | |
TransMedics Group, Inc. (a) | 17,165 | 1,599,435 | |
Treace Medical Concepts, Inc. (a) | 21,013 | 478,886 | |
Varex Imaging Corp. (a) | 21,785 | 507,373 | |
Zimmer Biomet Holdings, Inc. | 110,827 | 15,310,750 | |
Zynex, Inc. (a) | 11,861 | 115,763 | |
588,828,225 | |||
Health Care Supplies – 1.5% | |||
Align Technology, Inc. (a) | 38,551 | 14,568,037 | |
Atrion Corp. | 743 | 416,533 | |
Avanos Medical, Inc. (a) | 24,995 | 611,628 | |
Cerus Corp. (a) | 90,145 | 276,745 | |
DENTSPLY SIRONA, Inc. | 112,096 | 4,654,226 | |
Embecta Corp. | 30,513 | 651,148 | |
Establishment Labs Holdings, Inc. (a) | 8,389 | 604,092 | |
Haemonetics Corp. (a) | 26,695 | 2,462,347 | |
ICU Medical, Inc. (a) | 10,772 | 1,919,355 | |
Lantheus Holdings, Inc. (a) | 35,984 | 3,112,256 | |
Merit Medical Systems, Inc. (a) | 30,233 | 2,257,498 | |
Neogen Corp. (a) | 108,373 | 2,513,170 |
| |||
Shares | Value | ||
OraSure Technologies, Inc. (a) | 42,874 | $ 202,365 | |
OrthoPediatrics Corp. (a) | 9,158 | 382,347 | |
RxSight, Inc. (a) | 10,752 | 358,794 | |
STAAR Surgical Co. (a) | 21,531 | 1,179,253 | |
The Cooper Cos., Inc. | 26,107 | 10,214,625 | |
UFP Technologies, Inc. (a) | 3,784 | 736,612 | |
47,121,031 | |||
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES | 635,949,256 | ||
HEALTH CARE PROVIDERS & SERVICES – 20.9% | |||
Health Care Distributors – 2.2% | |||
AdaptHealth Corp. (a) | 35,644 | 489,749 | |
AmerisourceBergen Corp. | 90,826 | 16,975,379 | |
Cardinal Health, Inc. | 135,919 | 12,432,511 | |
Henry Schein, Inc. (a) | 69,218 | 5,453,686 | |
McKesson Corp. | 72,320 | 29,101,568 | |
Owens & Minor, Inc. (a) | 38,255 | 736,026 | |
Patterson Cos., Inc. | 46,254 | 1,521,294 | |
66,710,213 | |||
Health Care Facilities – 1.7% | |||
Acadia Healthcare Co., Inc. (a) | 48,568 | 3,838,329 | |
Brookdale Senior Living, Inc. (a) | 83,743 | 294,775 | |
Cano Health, Inc. (a) | 115,802 | 170,229 | |
Community Health Systems, Inc. (a) | 65,699 | 288,419 | |
Encompass Health Corp. | 52,686 | 3,478,857 | |
HCA Healthcare, Inc. | 109,809 | 29,956,993 | |
National HealthCare Corp. | 7,149 | 421,934 | |
Select Medical Holdings Corp. | 57,171 | 1,715,702 | |
Surgery Partners, Inc. (a) | 36,570 | 1,412,699 | |
Tenet Healthcare Corp. (a) | 49,112 | 3,670,140 | |
The Ensign Group, Inc. | 29,475 | 2,855,243 | |
The Pennant Group, Inc. (a) | 15,969 | 183,324 | |
Universal Health Services, Inc. Class B | 33,128 | 4,603,467 | |
US Physical Therapy, Inc. | 7,771 | 903,534 | |
53,793,645 | |||
Health Care Services – 4.9% | |||
23andMe Holding Co. Class A (a) | 143,715 | 275,933 | |
Accolade, Inc. (a) | 35,457 | 532,564 | |
Addus HomeCare Corp. (a) | 8,521 | 780,268 | |
Agiliti, Inc. (a) | 21,176 | 363,592 | |
agilon health, Inc. (a) | 160,234 | 3,068,481 | |
Amedisys, Inc. (a) | 17,386 | 1,579,344 | |
AMN Healthcare Services, Inc. (a) | 21,340 | 2,286,581 | |
Apollo Medical Holdings, Inc. (a) | 22,733 | 832,710 | |
Castle Biosciences, Inc. (a) | 13,376 | 225,386 | |
Chemed Corp. | 7,916 | 4,124,948 | |
CorVel Corp. (a) | 5,064 | 1,035,892 | |
Cross Country Healthcare, Inc. (a) | 17,714 | 457,021 | |
CVS Health Corp. | 675,859 | 50,479,909 | |
DaVita, Inc. (a) | 28,763 | 2,933,538 |
59 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
HEALTH CARE PROVIDERS & SERVICES – continued | |||
Health Care Services – continued | |||
DocGo, Inc. (a) | 45,970 | $ 385,688 | |
Enhabit, Inc. (a) | 26,054 | 357,721 | |
Fulgent Genetics, Inc. (a) | 10,998 | 427,052 | |
Guardant Health, Inc. (a) | 57,722 | 2,252,312 | |
Hims & Hers Health, Inc. (a) | 68,616 | 615,486 | |
Laboratory Corp. of America Holdings | 46,744 | 9,999,944 | |
LifeStance Health Group, Inc. (a) | 39,714 | 372,915 | |
ModivCare, Inc. (a) | 6,645 | 290,652 | |
National Research Corp. | 7,492 | 321,482 | |
NeoGenomics, Inc. (a) | 67,297 | 1,166,257 | |
Nutex Health, Inc. (a) | 171,107 | 71,591 | |
Opko Health, Inc. (a) | 224,205 | 417,021 | |
Option Care Health, Inc. (a) | 90,097 | 3,043,477 | |
Pediatrix Medical Group, Inc. (a) | 41,508 | 569,905 | |
Premier, Inc. Class A | 62,897 | 1,745,392 | |
Privia Health Group, Inc. (a) | 57,975 | 1,618,662 | |
Quest Diagnostics, Inc. | 59,026 | 7,980,906 | |
R1 RCM, Inc. (a) | 88,245 | 1,524,874 | |
RadNet, Inc. (a) | 30,980 | 1,024,818 | |
The Cigna Group | 156,859 | 46,289,091 | |
149,451,413 | |||
Managed Health Care – 12.1% | |||
Alignment Healthcare, Inc. (a) | 54,345 | 337,482 | |
Centene Corp. (a) | 290,816 | 19,801,661 | |
Clover Health Investments Corp. (a) | 199,268 | 249,085 | |
Elevance Health, Inc. | 125,296 | 59,093,353 | |
HealthEquity, Inc. (a) | 44,735 | 3,039,296 | |
Humana, Inc. | 66,051 | 30,174,078 | |
Molina Healthcare, Inc. (a) | 30,578 | 9,310,695 | |
Progyny, Inc. (a) | 42,297 | 1,766,323 | |
UnitedHealth Group, Inc. | 492,624 | 249,450,015 | |
373,221,988 | |||
TOTAL HEALTH CARE PROVIDERS & SERVICES | 643,177,259 | ||
HEALTH CARE TECHNOLOGY – 1.0% | |||
Health Care Technology – 1.0% | |||
Allscripts Healthcare Solutions, Inc. (a) | 57,341 | 775,250 | |
American Well Corp. Class A (a) | 104,178 | 255,236 | |
Certara, Inc. (a) | 63,159 | 1,229,706 | |
Computer Programs & Systems, Inc. (a) | 7,440 | 195,077 | |
Definitive Healthcare Corp. (a) | 23,323 | 275,911 | |
Doximity, Inc. Class A (a) | 56,365 | 2,013,922 | |
Evolent Health, Inc. Class A (a) | 52,732 | 1,602,526 | |
GoodRx Holdings, Inc. Class A (a) | 38,264 | 353,559 | |
Health Catalyst, Inc. (a) | 29,443 | 413,085 | |
HealthStream, Inc. | 13,223 | 297,253 |
| |||
Shares | Value | ||
Multiplan Corp. (a) | 121,752 | $ 261,767 | |
NextGen Healthcare, Inc. (a) | 27,866 | 463,412 | |
Phreesia, Inc. (a) | 27,231 | 863,767 | |
Schrodinger, Inc. (a) | 31,369 | 1,640,912 | |
Sharecare, Inc. (a) | 150,353 | 208,991 | |
Simulations Plus, Inc. | 8,368 | 416,726 | |
Teladoc Health, Inc. (a) | 86,504 | 2,575,224 | |
Veeva Systems, Inc. Class A (a) | 76,754 | 15,674,702 | |
TOTAL HEALTH CARE TECHNOLOGY | 29,517,026 | ||
LIFE SCIENCES TOOLS & SERVICES – 11.6% | |||
Life Sciences Tools & Services – 11.6% | |||
10X Genomics, Inc. Class A (a) | 46,125 | 2,904,953 | |
Adaptive Biotechnologies Corp. (a) | 53,190 | 448,924 | |
Agilent Technologies, Inc. | 156,157 | 19,015,238 | |
Avantor, Inc. (a) | 356,145 | 7,325,903 | |
Azenta, Inc. (a) | 36,459 | 1,712,844 | |
BioLife Solutions, Inc. (a) | 21,658 | 430,561 | |
Bio-Rad Laboratories, Inc. Class A (a) | 11,644 | 4,720,012 | |
Bio-Techne Corp. | 83,138 | 6,933,709 | |
Bruker Corp. | 54,345 | 3,734,588 | |
Charles River Laboratories International, Inc. (a) | 27,004 | 5,658,418 | |
CryoPort, Inc. (a) | 26,006 | 417,916 | |
Cytek Biosciences, Inc. (a) | 42,871 | 384,124 | |
Danaher Corp. | 365,780 | 93,295,847 | |
Fortrea Holdings, Inc. (a) | 46,456 | 1,484,734 | |
Illumina, Inc. (a) | 83,459 | 16,036,647 | |
IQVIA Holdings, Inc. (a) | 98,297 | 21,994,937 | |
Maravai LifeSciences Holdings, Inc. Class A (a) | 58,268 | 659,011 | |
MaxCyte, Inc. (a) | 46,531 | 207,994 | |
Medpace Holdings, Inc. (a) | 12,997 | 3,290,450 | |
Mesa Laboratories, Inc. | 2,802 | 360,505 | |
Mettler-Toledo International, Inc. (a) | 11,662 | 14,664,615 | |
NanoString Technologies, Inc. (a) | 23,799 | 113,283 | |
OmniAb, Inc. (a) | 48,647 | 267,559 | |
OmniAb, Inc. (12.5 earnout) (a)(b) | 3,335 | 0 | |
OmniAb, Inc. (15.0 earnout) (a)(b) | 3,335 | 0 | |
Pacific Biosciences of California, Inc. (a) | 125,209 | 1,654,011 | |
Quanterix Corp. (a) | 18,177 | 451,517 | |
Repligen Corp. (a) | 27,880 | 4,783,093 | |
Revvity, Inc. | 66,740 | 8,205,683 | |
SomaLogic, Inc. (a) | 84,260 | 206,437 | |
Sotera Health Co. (a) | 51,536 | 978,153 | |
Syneos Health, Inc. (a) | 54,604 | 2,315,756 | |
Thermo Fisher Scientific, Inc. | 203,681 | 111,751,617 | |
Waters Corp. (a) | 31,173 | 8,610,294 |
Annual Report | 60 |
Common Stocks – continued | |||
Shares | Value | ||
LIFE SCIENCES TOOLS & SERVICES – continued | |||
Life Sciences Tools & Services – continued | |||
West Pharmaceutical Services, Inc. | 39,259 | $ 14,448,882 | |
TOTAL LIFE SCIENCES TOOLS & SERVICES | 359,468,215 | ||
PHARMACEUTICALS – 27.3% | |||
Pharmaceuticals – 27.3% | |||
Aclaris Therapeutics, Inc. (a) | 27,632 | 272,728 | |
Amphastar Pharmaceuticals, Inc. (a) | 20,367 | 1,236,073 | |
Amylyx Pharmaceuticals, Inc. (a) | 15,840 | 371,448 | |
ANI Pharmaceuticals, Inc. (a) | 7,841 | 412,045 | |
Arvinas, Inc. (a) | 24,045 | 594,392 | |
ATAI Life Sciences N.V. (a) | 62,758 | 131,164 | |
Axsome Therapeutics, Inc. (a) | 18,367 | 1,441,259 | |
Bristol-Myers Squibb Co. | 1,110,723 | 69,075,863 | |
Cassava Sciences, Inc. (a) | 21,070 | 463,119 | |
Catalent, Inc. (a) | 95,015 | 4,610,128 | |
Collegium Pharmaceutical, Inc. (a) | 18,325 | 417,077 | |
Corcept Therapeutics, Inc. (a) | 45,552 | 1,160,665 | |
Cymabay Therapeutics, Inc. (a) | 38,499 | 502,412 | |
DICE Therapeutics, Inc. (a) | 15,103 | 709,841 | |
Elanco Animal Health, Inc. (a) | 259,602 | 3,133,396 | |
Eli Lilly & Co. | 426,562 | 193,893,757 | |
Enliven Therapeutics, Inc. (a) | 11,901 | 225,405 | |
Evolus, Inc. (a) | 22,322 | 223,666 | |
Harmony Biosciences Holdings, Inc. (a) | 17,393 | 615,190 | |
Harrow Health, Inc. (a) | 16,480 | 363,878 | |
Innoviva, Inc. (a) | 32,628 | 442,109 | |
Intra-Cellular Therapies, Inc. (a) | 45,182 | 2,794,055 | |
Jazz Pharmaceuticals PLC (a) | 33,478 | 4,366,201 | |
Johnson & Johnson | 1,372,172 | 229,879,975 | |
Ligand Pharmaceuticals, Inc. (a) | 8,391 | 561,610 | |
Merck & Co., Inc. | 1,340,119 | 142,923,691 | |
NGM Biopharmaceuticals, Inc. (a) | 23,811 | 56,432 | |
Nuvation Bio, Inc. (a) | 63,688 | 117,823 | |
Organon & Co. | 133,956 | 2,944,353 | |
Pacira BioSciences, Inc. (a) | 23,977 | 871,564 | |
Perrigo Co. PLC | 71,606 | 2,623,644 | |
Pfizer, Inc. | 2,980,729 | 107,485,088 | |
Phathom Pharmaceuticals, Inc. (a) | 17,325 | 263,513 |
| |||
Shares | Value | ||
Phibro Animal Health Corp. Class A | 11,016 | $ 159,512 | |
Pliant Therapeutics, Inc. (a) | 23,742 | 423,557 | |
Prestige Consumer Healthcare, Inc. (a) | 26,423 | 1,723,044 | |
Reata Pharmaceuticals, Inc. Class A (a) | 12,702 | 2,103,197 | |
Revance Therapeutics, Inc. (a) | 44,368 | 1,048,416 | |
Royalty Pharma PLC Class A | 198,793 | 6,238,124 | |
Scilex Holding Co. (a) | 34,921 | 181,467 | |
SIGA Technologies, Inc. | 18,813 | 107,987 | |
Supernus Pharmaceuticals, Inc. (a) | 28,822 | 884,547 | |
Tarsus Pharmaceuticals, Inc. (a) | 9,134 | 201,039 | |
Terns Pharmaceuticals, Inc. (a) | 16,444 | 118,726 | |
Theravance Biopharma, Inc. (a) | 26,650 | 263,569 | |
Tilray Brands, Inc. (a) | 346,841 | 877,508 | |
Ventyx Biosciences, Inc. (a) | 19,964 | 739,666 | |
Viatris, Inc. | 631,406 | 6,648,705 | |
Zoetis, Inc. | 244,270 | 45,944,744 | |
TOTAL PHARMACEUTICALS | 842,847,372 | ||
TOTAL COMMON STOCKS (Cost $2,479,763,165) | 3,074,971,386 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (c) (Cost $4,424,000) | 4,424,000 | 4,424,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $2,484,187,165) | 3,079,395,386 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 4,359,102 | ||
NET ASSETS – 100.0% | $3,083,754,488 |
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. |
61 | Annual Report |
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) | 57 | September 2023 | 7,761,690 | $ 162,123 | $ 162,123 |
CME E-mini Russell 2000 Index Contracts (United States) | 7 | September 2023 | 704,760 | 44,153 | 44,153 |
Total Equity Index Contracts | $ 206,276 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 3,074,971,386 | $ 3,074,778,927 | $ 181,467 | $ 10,992 | |||||
Money Market Funds | 4,424,000 | 4,424,000 | — | — | |||||
Total Investments in Securities: | $ 3,079,395,386 | $ 3,079,202,927 | $ 181,467 | $ 10,992 | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 206,276 | $ 206,276 | $ — | $ — | |||||
Total Assets | $ 206,276 | $ 206,276 | $ — | $ — | |||||
Total Derivative Instruments: | $ 206,276 | $ 206,276 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $206,276 | $0 | |
Total Equity Risk | 206,276 | 0 | |
Total Value of Derivatives | $206,276 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 62 |
Common Stocks – 99.6% | |||
Shares | Value | ||
AEROSPACE & DEFENSE – 15.8% | |||
Aerospace & Defense – 15.8% | |||
AAR Corp. (a) | 6,076 | $ 363,345 | |
AeroVironment, Inc. (a) | 4,610 | 439,149 | |
AerSale Corp. (a) | 4,153 | 62,336 | |
Astronics Corp. (a) | 4,341 | 91,074 | |
Axon Enterprise, Inc. (a) | 12,603 | 2,343,276 | |
BWX Technologies, Inc. | 16,649 | 1,148,781 | |
Cadre Holdings, Inc. | 3,028 | 70,462 | |
Curtiss-Wright Corp. | 6,978 | 1,335,310 | |
Ducommun, Inc. (a) | 2,256 | 113,116 | |
General Dynamics Corp. | 42,520 | 9,506,622 | |
HEICO Corp. | 7,961 | 1,400,977 | |
HEICO Corp. Class A | 13,473 | 1,890,936 | |
Hexcel Corp. | 15,346 | 1,084,655 | |
Howmet Aerospace, Inc. | 71,235 | 3,642,958 | |
Huntington Ingalls Industries, Inc. | 7,273 | 1,670,390 | |
Kaman Corp. | 4,552 | 104,195 | |
Kratos Defense & Security Solutions, Inc. (a) | 23,367 | 352,608 | |
L3Harris Technologies, Inc. | 34,590 | 6,554,459 | |
Leonardo DRS, Inc. (a) | 9,391 | 156,736 | |
Lockheed Martin Corp. | 41,503 | 18,525,694 | |
Mercury Systems, Inc. (a) | 9,433 | 358,265 | |
Moog, Inc. Class A | 5,247 | 553,244 | |
National Presto Industries, Inc. | 946 | 74,081 | |
Northrop Grumman Corp. | 26,305 | 11,705,725 | |
Parsons Corp. (a) | 7,709 | 380,979 | |
Rocket Lab USA, Inc. (a) | 43,062 | 317,367 | |
RTX Corp. | 266,430 | 23,427,190 | |
Spirit AeroSystems Holdings, Inc. Class A | 19,201 | 610,976 | |
Textron, Inc. | 37,369 | 2,906,187 | |
The Boeing Co. (a) | 103,650 | 24,756,802 | |
TransDigm Group, Inc. | 9,938 | 8,941,417 | |
Triumph Group, Inc. (a) | 11,671 | 147,638 | |
V2X, Inc. (a) | 2,327 | 119,747 | |
Virgin Galactic Holdings, Inc. (a) | 45,481 | 194,659 | |
Woodward, Inc. | 10,333 | 1,243,886 | |
TOTAL AEROSPACE & DEFENSE | 126,595,242 | ||
AIR FREIGHT & LOGISTICS – 5.6% | |||
Air Freight & Logistics – 5.6% | |||
Air Transport Services Group, Inc. (a) | 3,201 | 64,532 | |
CH Robinson Worldwide, Inc. | 21,213 | 2,125,119 | |
Expeditors International of Washington, Inc. | 28,124 | 3,580,185 | |
FedEx Corp. | 43,478 | 11,736,886 | |
Forward Air Corp. | 4,773 | 567,223 | |
GXO Logistics, Inc. (a) | 21,625 | 1,450,389 |
| |||
Shares | Value | ||
Hub Group, Inc. Class A (a) | 6,010 | $ 541,681 | |
United Parcel Service, Inc. Class B | 131,700 | 24,645,021 | |
TOTAL AIR FREIGHT & LOGISTICS | 44,711,036 | ||
BUILDING PRODUCTS – 7.1% | |||
Building Products – 7.1% | |||
AAON, Inc. | 8,379 | 881,973 | |
Advanced Drainage Systems, Inc. | 13,314 | 1,624,175 | |
Allegion PLC | 16,003 | 1,870,111 | |
American Woodmark Corp. (a) | 2,999 | 229,843 | |
AO Smith Corp. | 22,760 | 1,653,059 | |
Apogee Enterprises, Inc. | 4,005 | 198,368 | |
Armstrong World Industries, Inc. | 8,294 | 641,624 | |
AZZ, Inc. | 4,484 | 198,776 | |
Builders FirstSource, Inc. (a) | 25,130 | 3,629,526 | |
Carlisle Cos., Inc. | 9,301 | 2,578,237 | |
Carrier Global Corp. | 152,034 | 9,053,625 | |
CSW Industrials, Inc. | 2,801 | 505,720 | |
Fortune Brands Home & Security, Inc. | 23,123 | 1,643,352 | |
Gibraltar Industries, Inc. (a) | 5,684 | 367,584 | |
Griffon Corp. | 7,730 | 322,496 | |
Hayward Holdings, Inc. (a) | 17,261 | 230,607 | |
Insteel Industries, Inc. | 3,464 | 111,714 | |
Janus International Group, Inc. (a) | 15,869 | 181,224 | |
JELD-WEN Holding, Inc. (a) | 15,342 | 273,241 | |
Johnson Controls International PLC | 125,129 | 8,702,722 | |
Lennox International, Inc. | 5,815 | 2,136,664 | |
Masco Corp. | 41,039 | 2,490,246 | |
Masonite International Corp. (a) | 3,879 | 405,549 | |
MasterBrand, Inc. (a) | 23,168 | 286,125 | |
Owens Corning | 16,533 | 2,314,455 | |
PGT Innovations, Inc. (a) | 10,852 | 310,476 | |
Quanex Building Products Corp. | 5,993 | 168,643 | |
Resideo Technologies, Inc. (a) | 25,981 | 486,364 | |
Simpson Manufacturing Co., Inc. | 7,765 | 1,226,870 | |
The AZEK Co., Inc. (a) | 22,072 | 688,646 | |
Trane Technologies PLC | 41,713 | 8,319,241 | |
Trex Co., Inc. (a) | 19,807 | 1,369,456 | |
UFP Industries, Inc. | 11,377 | 1,169,100 | |
Zurn Elkay Water Solutions Corp. | 27,227 | 828,790 | |
TOTAL BUILDING PRODUCTS | 57,098,602 | ||
COMMERCIAL SERVICES & SUPPLIES – 6.7% | |||
Commercial Printing – 0.1% | |||
Brady Corp. Class A | 8,475 | 437,140 | |
Cimpress PLC (a) | 3,067 | 213,156 | |
Deluxe Corp. | 7,805 | 148,217 | |
Ennis, Inc. | 4,914 | 105,848 | |
904,361 |
63 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
COMMERCIAL SERVICES & SUPPLIES – continued | |||
Diversified Support Services – 2.2% | |||
ACV Auctions, Inc. Class A (a) | 23,214 | $ 406,013 | |
Cintas Corp. | 16,666 | 8,366,999 | |
Copart, Inc. (a) | 78,102 | 6,903,436 | |
Driven Brands Holdings, Inc. (a) | 12,074 | 312,354 | |
Healthcare Services Group, Inc. | 13,411 | 169,113 | |
Liquidity Services, Inc. (a) | 4,273 | 71,701 | |
Matthews International Corp. Class A | 5,329 | 244,601 | |
OPENLANE, Inc. (a) | 19,638 | 308,316 | |
UniFirst Corp. | 2,771 | 449,733 | |
Viad Corp. (a) | 3,754 | 105,900 | |
VSE Corp. | 2,061 | 110,779 | |
17,448,945 | |||
Environmental & Facilities Services – 4.1% | |||
ABM Industries, Inc. | 12,097 | 559,849 | |
BrightView Holdings, Inc. (a) | 7,590 | 58,519 | |
Casella Waste Systems, Inc. Class A (a) | 10,222 | 824,813 | |
Clean Harbors, Inc. (a) | 9,494 | 1,578,473 | |
Enviri Corp. (a) | 14,339 | 135,217 | |
Heritage-Crystal Clean, Inc. (a) | 3,292 | 151,662 | |
Montrose Environmental Group, Inc. (a) | 5,120 | 207,206 | |
Republic Services, Inc. | 40,311 | 6,091,395 | |
Rollins, Inc. | 44,859 | 1,831,593 | |
SP Plus Corp. (a) | 3,540 | 136,113 | |
Stericycle, Inc. (a) | 16,840 | 715,532 | |
Tetra Tech, Inc. | 9,696 | 1,640,660 | |
Waste Connections, Inc. | 46,897 | 6,620,450 | |
Waste Management, Inc. | 74,065 | 12,131,106 | |
32,682,588 | |||
Office Services & Supplies – 0.2% | |||
ACCO Brands Corp. | 17,057 | 103,877 | |
HNI Corp. | 8,371 | 243,512 | |
Interface, Inc. | 10,273 | 100,367 | |
MillerKnoll, Inc. | 13,636 | 266,857 | |
MSA Safety, Inc. | 6,785 | 1,126,310 | |
Pitney Bowes, Inc. | 18,240 | 71,866 | |
Steelcase, Inc. Class A | 15,182 | 130,110 | |
2,042,899 | |||
Security & Alarm Services – 0.1% | |||
CoreCivic, Inc. (a) | 20,677 | 200,567 | |
The Brink's Co. | 8,501 | 620,233 | |
The Geo Group, Inc. (a) | 22,457 | 167,754 | |
988,554 | |||
TOTAL COMMERCIAL SERVICES & SUPPLIES | 54,067,347 |
| |||
Shares | Value | ||
CONSTRUCTION & ENGINEERING – 2.5% | |||
Construction & Engineering – 2.5% | |||
AECOM | 24,035 | $ 2,091,045 | |
Ameresco, Inc. Class A (a) | 5,812 | 338,316 | |
API Group Corp. (a) | 29,898 | 859,866 | |
Arcosa, Inc. | 8,832 | 681,654 | |
Argan, Inc. | 2,448 | 93,122 | |
Comfort Systems USA, Inc. | 6,509 | 1,132,371 | |
Construction Partners, Inc. Class A (a) | 7,456 | 219,206 | |
Dycom Industries, Inc. (a) | 5,363 | 534,048 | |
EMCOR Group, Inc. | 8,684 | 1,867,407 | |
Fluor Corp. (a) | 25,880 | 801,762 | |
Granite Construction, Inc. | 7,888 | 322,856 | |
Great Lakes Dredge & Dock Corp. (a) | 12,485 | 104,874 | |
IES Holdings, Inc. (a) | 1,452 | 83,229 | |
MasTec, Inc. (a) | 11,477 | 1,351,417 | |
MDU Resources Group, Inc. | 35,241 | 779,531 | |
MYR Group, Inc. (a) | 3,060 | 436,234 | |
Primoris Services Corp. | 9,603 | 304,991 | |
Quanta Services, Inc. | 26,433 | 5,329,421 | |
Sterling Infrastructure, Inc. (a) | 5,547 | 332,765 | |
Valmont Industries, Inc. | 3,886 | 1,028,818 | |
WillScot Mobile Mini Holdings Corp. (a) | 37,469 | 1,796,639 | |
TOTAL CONSTRUCTION & ENGINEERING | 20,489,572 | ||
ELECTRICAL EQUIPMENT – 7.5% | |||
Electrical Components & Equipment – 7.4% | |||
Acuity Brands, Inc. | 5,788 | 956,409 | |
Allied Motion Technologies, Inc. | 2,562 | 99,662 | |
AMETEK, Inc. | 41,934 | 6,650,732 | |
Array Technologies, Inc. (a) | 27,580 | 525,399 | |
Atkore, Inc. (a) | 7,190 | 1,140,837 | |
Blink Charging Co. (a) | 9,632 | 61,645 | |
ChargePoint Holdings, Inc. (a) | 51,432 | 445,401 | |
Eaton Corp. PLC | 72,467 | 14,878,925 | |
Emerson Electric Co. | 104,043 | 9,504,328 | |
Encore Wire Corp. | 3,281 | 560,034 | |
EnerSys | 7,436 | 805,468 | |
Enovix Corp. (a) | 21,765 | 468,383 | |
Fluence Energy, Inc. (a) | 7,535 | 220,323 | |
FREYR Battery S.A. (a) | 19,356 | 162,978 | |
FuelCell Energy, Inc. (a) | 73,153 | 160,205 | |
Generac Holdings, Inc. (a) | 11,267 | 1,731,738 | |
GrafTech International Ltd. | 37,026 | 195,497 | |
Hubbell, Inc. | 9,758 | 3,044,496 | |
NEXTracker, Inc. Class A (a) | 8,728 | 369,631 | |
nVent Electric PLC | 30,161 | 1,594,914 | |
Plug Power, Inc. (a) | 97,243 | 1,275,828 |
Annual Report | 64 |
Common Stocks – continued | |||
Shares | Value | ||
ELECTRICAL EQUIPMENT – continued | |||
Electrical Components & Equipment – continued | |||
Preformed Line Products Co. | 449 | $ 77,906 | |
Regal Rexnord Corp. | 12,063 | 1,883,999 | |
Rockwell Automation, Inc. | 20,904 | 7,029,806 | |
Sensata Technologies Holding PLC | 27,774 | 1,173,452 | |
SES AI Corp. (a) | 13,794 | 43,313 | |
Shoals Technologies Group, Inc. Class A (a) | 30,904 | 802,268 | |
Stem, Inc. (a) | 26,476 | 187,185 | |
SunPower Corp. (a) | 15,769 | 155,640 | |
Sunrun, Inc. (a) | 39,093 | 741,985 | |
Thermon Group Holdings, Inc. (a) | 6,039 | 166,737 | |
Vertiv Holdings Co. | 58,680 | 1,526,267 | |
Vicor Corp. (a) | 4,086 | 377,015 | |
59,018,406 | |||
Heavy Electrical Equipment – 0.1% | |||
Babcock & Wilcox Enterprises, Inc. (a) | 11,044 | 60,521 | |
Bloom Energy Corp. Class A (a) | 33,472 | 597,810 | |
NuScale Power Corp. (a) | 4,418 | 33,488 | |
TPI Composites, Inc. (a) | 7,986 | 47,437 | |
739,256 | |||
TOTAL ELECTRICAL EQUIPMENT | 59,757,662 | ||
GROUND TRANSPORTATION – 11.0% | |||
Cargo Ground Transportation – 2.7% | |||
ArcBest Corp. | 4,449 | 517,508 | |
Covenant Transportation Group, Inc. | 1,457 | 79,785 | |
Heartland Express, Inc. | 8,542 | 139,662 | |
JB Hunt Transport Services, Inc. | 15,113 | 3,082,145 | |
Knight-Swift Transportation Holdings, Inc. | 29,314 | 1,780,825 | |
Landstar System, Inc. | 6,559 | 1,335,347 | |
Marten Transport Ltd. | 10,972 | 248,625 | |
Old Dominion Freight Line, Inc. | 18,018 | 7,558,371 | |
PAM Transportation Services, Inc. (a) | 1,259 | 32,558 | |
RXO, Inc. (a) | 21,395 | 471,760 | |
Ryder System, Inc. | 8,471 | 865,313 | |
Saia, Inc. (a) | 4,834 | 2,045,459 | |
Schneider National, Inc. Class B | 9,489 | 292,356 | |
TuSimple Holdings, Inc. Class A (a) | 24,958 | 58,402 | |
U-Haul Holding Co. | 17,675 | 1,011,187 | |
Universal Logistics Holdings, Inc. | 1,488 | 46,262 | |
Werner Enterprises, Inc. | 10,925 | 513,693 | |
XPO Logistics, Inc. (a) | 21,031 | 1,456,186 | |
21,535,444 | |||
Passenger Ground Transportation – 2.3% | |||
Avis Budget Group, Inc. (a) | 3,985 | 877,856 | |
Hertz Global Holdings, Inc. (a) | 26,326 | 443,593 | |
Lyft, Inc. Class A (a) | 60,364 | 767,226 |
| |||
Shares | Value | ||
Uber Technologies, Inc. (a) | 330,029 | $ 16,323,234 | |
18,411,909 | |||
Rail Transportation – 6.0% | |||
CSX Corp. | 372,989 | 12,427,994 | |
Norfolk Southern Corp. | 41,449 | 9,682,072 | |
Union Pacific Corp. | 111,118 | 25,781,598 | |
47,891,664 | |||
TOTAL GROUND TRANSPORTATION | 87,839,017 | ||
INDUSTRIAL CONGLOMERATES – 7.2% | |||
Industrial Conglomerates – 7.2% | |||
3M Co. | 100,416 | 11,196,384 | |
General Electric Co. | 198,524 | 22,679,382 | |
Honeywell International, Inc. | 121,215 | 23,531,468 | |
TOTAL INDUSTRIAL CONGLOMERATES | 57,407,234 | ||
MACHINERY – 20.5% | |||
Agricultural & Farm Machinery – 3.2% | |||
AGCO Corp. | 11,581 | 1,541,431 | |
Deere & Co. | 51,260 | 22,021,296 | |
Lindsay Corp. | 1,982 | 262,674 | |
The Toro Co. | 18,992 | 1,930,537 | |
Titan International, Inc. (a) | 10,049 | 125,512 | |
25,881,450 | |||
Construction Machinery & Heavy Transportation Equipment – 6.2% | |||
Alamo Group, Inc. | 1,984 | 384,420 | |
Allison Transmission Holdings, Inc. | 16,794 | 985,640 | |
Astec Industries, Inc. | 4,084 | 201,750 | |
Blue Bird Corp. (a) | 3,766 | 78,860 | |
Caterpillar, Inc. | 94,016 | 24,930,223 | |
Cummins, Inc. | 25,769 | 6,720,555 | |
Douglas Dynamics, Inc. | 4,112 | 127,678 | |
Federal Signal Corp. | 11,078 | 676,755 | |
Microvast Holdings, Inc. (a) | 18,025 | 51,732 | |
Nikola Corp. (a) | 91,074 | 243,168 | |
Oshkosh Corp. | 11,922 | 1,097,658 | |
PACCAR, Inc. | 95,154 | 8,195,614 | |
REV Group, Inc. | 5,853 | 75,679 | |
Terex Corp. | 12,382 | 725,957 | |
The Greenbrier Cos., Inc. | 5,755 | 265,823 | |
The Manitowoc Co., Inc. (a) | 6,624 | 120,027 | |
The Shyft Group, Inc. | 5,975 | 86,219 | |
Trinity Industries, Inc. | 14,199 | 372,298 | |
Wabash National Corp. | 8,617 | 204,050 | |
Westinghouse Air Brake Technologies Corp. | 32,773 | 3,881,634 | |
49,425,740 | |||
Industrial Machinery & Supplies & Components – 11.1% | |||
3D Systems Corp. (a) | 23,502 | 204,702 | |
Albany International Corp. Class A | 5,704 | 549,181 | |
Barnes Group, Inc. | 8,847 | 347,687 |
65 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
MACHINERY – continued | |||
Industrial Machinery & Supplies & Components – continued | |||
Chart Industries, Inc. (a) | 7,640 | $ 1,391,702 | |
CIRCOR International, Inc. (a) | 3,304 | 184,033 | |
Columbus McKinnon Corp. | 5,159 | 218,432 | |
Crane Co. | 8,781 | 822,692 | |
Desktop Metal, Inc. Class A (a) | 45,981 | 83,685 | |
Donaldson Co., Inc. | 22,084 | 1,387,538 | |
Dover Corp. | 25,448 | 3,714,645 | |
Energy Recovery, Inc. (a) | 9,128 | 278,221 | |
Enerpac Tool Group Corp. | 10,312 | 283,374 | |
EnPro Industries, Inc. | 3,631 | 503,910 | |
Esab Corp. | 10,425 | 716,198 | |
ESCO Technologies, Inc. | 4,724 | 474,998 | |
Flowserve Corp. | 23,877 | 901,596 | |
Fortive Corp. | 64,316 | 5,039,159 | |
Franklin Electric Co., Inc. | 7,159 | 707,452 | |
Gates Industrial Corp. PLC (a) | 20,384 | 277,630 | |
Graco, Inc. | 30,589 | 2,426,625 | |
Helios Technologies, Inc. | 5,993 | 378,758 | |
Hillenbrand, Inc. | 12,659 | 657,509 | |
Hillman Solutions Corp. (a) | 35,060 | 344,990 | |
Hyster-Yale Materials Handling, Inc. | 1,705 | 81,431 | |
IDEX Corp. | 13,757 | 3,106,468 | |
Illinois Tool Works, Inc. | 55,501 | 14,614,523 | |
Ingersoll Rand, Inc. | 73,736 | 4,812,749 | |
ITT, Inc. | 15,076 | 1,501,570 | |
John Bean Technologies Corp. | 5,799 | 716,814 | |
Kadant, Inc. | 2,141 | 477,122 | |
Kennametal, Inc. | 14,066 | 428,732 | |
Lincoln Electric Holdings, Inc. | 10,484 | 2,104,244 | |
Luxfer Holdings PLC | 5,039 | 63,794 | |
Mueller Industries, Inc. | 9,857 | 799,008 | |
Mueller Water Products, Inc. Class A | 28,649 | 460,962 | |
Nordson Corp. | 9,381 | 2,360,353 | |
Omega Flex, Inc. | 669 | 59,889 | |
Otis Worldwide Corp. | 75,249 | 6,844,649 | |
Parker Hannifin Corp. | 23,359 | 9,577,424 | |
Pentair PLC | 30,033 | 2,087,294 | |
Proto Labs, Inc. (a) | 4,722 | 156,534 | |
RBC Bearings, Inc. (a) | 5,281 | 1,193,770 | |
Snap-on, Inc. | 9,670 | 2,634,495 | |
SPX Technologies, Inc. (a) | 8,299 | 702,178 | |
Standex International Corp. | 2,154 | 320,020 | |
Stanley Black & Decker, Inc. | 27,868 | 2,766,456 | |
Symbotic, Inc. (a) | 2,690 | 170,923 | |
Tennant Co. | 3,181 | 255,243 | |
The Gorman-Rupp Co. | 4,252 | 134,788 | |
The Middleby Corp. (a) | 9,287 | 1,410,231 | |
The Timken Co. | 11,904 | 1,105,406 | |
Velo3D, Inc. (a) | 15,608 | 35,742 |
| |||
Shares | Value | ||
Watts Water Technologies, Inc. Class A | 4,987 | $ 930,225 | |
Xylem, Inc. | 43,584 | 4,914,096 | |
88,721,850 | |||
TOTAL MACHINERY | 164,029,040 | ||
MARINE TRANSPORTATION – 0.1% | |||
Marine Transportation – 0.1% | |||
Eagle Bulk Shipping, Inc. | 1,950 | 90,070 | |
Genco Shipping & Trading Ltd. | 7,658 | 111,041 | |
Kirby Corp. (a) | 2,706 | 220,485 | |
Matson, Inc. | 1,626 | 151,966 | |
TOTAL MARINE TRANSPORTATION | 573,562 | ||
PASSENGER AIRLINES – 0.5% | |||
Passenger Airlines – 0.5% | |||
Alaska Air Group, Inc. (a) | 5,745 | 279,379 | |
Allegiant Travel Co. (a) | 854 | 105,640 | |
American Airlines Group, Inc. (a) | 29,857 | 500,105 | |
Delta Air Lines, Inc. | 29,256 | 1,353,383 | |
Frontier Group Holdings, Inc. (a) | 7,755 | 72,121 | |
JetBlue Airways Corp. (a) | 14,779 | 114,833 | |
Joby Aviation, Inc. (a) | 28,335 | 253,598 | |
SkyWest, Inc. (a) | 2,200 | 96,778 | |
Southwest Airlines Co. | 27,079 | 925,019 | |
Spirit Airlines, Inc. | 5,179 | 94,776 | |
Sun Country Airlines Holdings, Inc. (a) | 2,729 | 58,837 | |
TOTAL PASSENGER AIRLINES | 3,854,469 | ||
PROFESSIONAL SERVICES – 10.0% | |||
Data Processing & Outsourced Services – 1.2% | |||
Broadridge Financial Solutions, Inc. | 21,435 | 3,599,365 | |
Concentrix Corp. | 8,077 | 672,330 | |
Conduent, Inc. (a) | 29,537 | 102,198 | |
CSG Systems International, Inc. | 5,636 | 290,761 | |
ExlService Holdings, Inc. (a) | 6,062 | 854,439 | |
Maximus, Inc. | 11,070 | 927,223 | |
SS&C Technologies Holdings, Inc. | 40,882 | 2,381,377 | |
TaskUS, Inc. Class A (a) | 4,965 | 59,878 | |
TTEC Holdings, Inc. | 3,403 | 117,199 | |
Verra Mobility Corp. (a) | 22,000 | 461,780 | |
9,466,550 | |||
Human Resource & Employment Services – 5.0% | |||
Alight, Inc. Class A (a) | 52,576 | 514,193 | |
ASGN, Inc. (a) | 8,992 | 686,269 | |
Automatic Data Processing, Inc. | 75,445 | 18,654,531 | |
Barrett Business Services, Inc. | 1,219 | 110,600 | |
Ceridian HCM Holding, Inc. (a) | 26,661 | 1,887,865 | |
First Advantage Corp. (a) | 10,696 | 160,440 |
Annual Report | 66 |
Common Stocks – continued | |||
Shares | Value | ||
PROFESSIONAL SERVICES – continued | |||
Human Resource & Employment Services – continued | |||
Heidrick & Struggles International, Inc. | 3,712 | $ 101,226 | |
HireRight Holdings Corp. (a) | 3,428 | 36,714 | |
Insperity, Inc. | 6,550 | 770,608 | |
Kelly Services, Inc. Class A | 6,285 | 115,141 | |
Kforce, Inc. | 3,483 | 220,962 | |
Korn Ferry | 9,604 | 505,939 | |
ManpowerGroup, Inc. | 9,254 | 729,956 | |
Paychex, Inc. | 59,076 | 7,412,266 | |
Paycom Software, Inc. | 9,881 | 3,643,718 | |
Paycor HCM, Inc. (a) | 11,136 | 299,113 | |
Paylocity Holding Corp. (a) | 7,617 | 1,727,916 | |
Robert Half, Inc. | 19,636 | 1,456,009 | |
Sterling Check Corp. (a) | 4,341 | 52,135 | |
TriNet Group, Inc. (a) | 6,523 | 686,415 | |
TrueBlue, Inc. (a) | 5,777 | 86,366 | |
Upwork, Inc. (a) | 21,499 | 224,235 | |
40,082,617 | |||
Research & Consulting Services – 3.8% | |||
Booz Allen Hamilton Holding Corp. | 24,083 | 2,915,970 | |
CACI International, Inc. Class A (a) | 4,284 | 1,501,285 | |
CBIZ, Inc. (a) | 8,337 | 440,944 | |
Clarivate PLC (a) | 67,799 | 644,768 | |
CRA International, Inc. | 1,352 | 135,322 | |
Dun & Bradstreet Holdings, Inc. | 39,926 | 471,925 | |
Equifax, Inc. | 22,436 | 4,578,739 | |
Exponent, Inc. | 9,223 | 826,196 | |
Forrester Research, Inc. (a) | 2,170 | 69,158 | |
Franklin Covey Co. (a) | 2,219 | 105,735 | |
FTI Consulting, Inc. (a) | 6,180 | 1,082,489 | |
Huron Consulting Group, Inc. (a) | 3,465 | 327,685 | |
ICF International, Inc. | 3,443 | 404,862 | |
Jacobs Solutions, Inc. | 23,077 | 2,894,087 | |
KBR, Inc. | 24,826 | 1,526,551 | |
Legalzoom.com, Inc. (a) | 13,759 | 210,237 | |
Leidos Holdings, Inc. | 23,705 | 2,217,129 | |
NV5 Global, Inc. (a) | 2,521 | 276,175 | |
Planet Labs PBC (a) | 34,323 | 127,681 | |
Resources Connection, Inc. | 6,067 | 96,951 | |
Science Applications International Corp. | 9,544 | 1,158,069 | |
TransUnion | 35,175 | 2,803,096 | |
Verisk Analytics, Inc. | 26,300 | 6,021,122 | |
30,836,176 | |||
TOTAL PROFESSIONAL SERVICES | 80,385,343 | ||
TRADING COMPANIES & DISTRIBUTORS – 5.1% | |||
Trading Companies & Distributors – 5.1% | |||
Air Lease Corp. | 19,201 | 812,970 |
| |||
Shares | Value | ||
Alta Equipment Group, Inc. | 3,192 | $ 51,551 | |
Applied Industrial Technologies, Inc. | 7,030 | 1,019,280 | |
Beacon Roofing Supply, Inc. (a) | 9,369 | 802,642 | |
BlueLinx Holdings, Inc. (a) | 1,633 | 153,894 | |
Boise Cascade Co. | 7,225 | 747,715 | |
Core & Main, Inc. Class A (a) | 15,845 | 500,860 | |
Custom Truck One Source, Inc. (a) | 11,097 | 76,791 | |
Distribution Solutions Group, Inc. (a) | 841 | 46,625 | |
DXP Enterprises, Inc. (a) | 2,979 | 113,142 | |
Fastenal Co. | 103,977 | 6,094,092 | |
Ferguson PLC | 37,367 | 6,039,255 | |
FTAI Aviation Ltd. | 18,232 | 587,253 | |
GATX Corp. | 6,436 | 806,817 | |
Global Industrial Co. | 3,455 | 98,467 | |
GMS, Inc. (a) | 6,442 | 474,711 | |
H&E Equipment Services, Inc. | 5,907 | 286,962 | |
Herc Holdings, Inc. | 4,801 | 642,518 | |
McGrath RentCorp | 4,478 | 431,590 | |
MRC Global, Inc. (a) | 15,196 | 171,563 | |
MSC Industrial Direct Co., Inc. Class A | 8,609 | 868,820 | |
NOW, Inc. (a) | 19,876 | 226,388 | |
Rush Enterprises, Inc. Class A | 7,751 | 501,335 | |
Rush Enterprises, Inc. Class B | 1,033 | 70,977 | |
SiteOne Landscape Supply, Inc. (a) | 8,190 | 1,392,300 | |
Titan Machinery, Inc. (a) | 3,800 | 121,296 | |
Transcat, Inc. (a) | 1,438 | 120,619 | |
Triton International Ltd. | 9,651 | 813,676 | |
United Rentals, Inc. | 12,632 | 5,869,838 | |
Univar Solutions, Inc. (a) | 28,706 | 1,037,435 | |
Veritiv Corp. | 2,315 | 324,401 | |
Watsco, Inc. | 6,060 | 2,291,831 | |
WESCO International, Inc. | 8,401 | 1,474,964 | |
WW Grainger, Inc. | 8,236 | 6,082,204 | |
Xometry, Inc. Class A (a) | 6,904 | 143,327 | |
TOTAL TRADING COMPANIES & DISTRIBUTORS | 41,298,109 | ||
TOTAL COMMON STOCKS (Cost $685,722,138) | 798,106,235 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $1,290,000) | 1,290,000 | 1,290,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $687,012,138) | 799,396,235 | ||
NET OTHER ASSETS (LIABILITIES) – 0.2% | 1,709,391 | ||
NET ASSETS – 100.0% | $ 801,105,626 |
67 | Annual Report |
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 Industrial Select Sector Index Contracts (United States) | 22 | September 2023 | 2,460,040 | $ 72,298 | $ 72,298 |
CME E-mini Russell 2000 Index Contracts (United States) | 4 | September 2023 | 402,720 | 6,812 | 6,812 |
Total Equity Index Contracts | $ 79,110 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 798,106,235 | $ 798,106,235 | $ — | $ — | |||||
Money Market Funds | 1,290,000 | 1,290,000 | — | — | |||||
Total Investments in Securities: | $ 799,396,235 | $ 799,396,235 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 79,110 | $ 79,110 | $ — | $ — | |||||
Total Assets | $ 79,110 | $ 79,110 | $ — | $ — | |||||
Total Derivative Instruments: | $ 79,110 | $ 79,110 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $79,110 | $0 | |
Total Equity Risk | 79,110 | 0 | |
Total Value of Derivatives | $79,110 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 68 |
Common Stocks – 99.8% | |||
Shares | Value | ||
COMMUNICATIONS EQUIPMENT – 3.4% | |||
Communications Equipment – 3.4% | |||
ADTRAN Holdings, Inc. | 187,825 | $ 1,827,537 | |
Arista Networks, Inc. (a) | 174,413 | 27,049,712 | |
Calix, Inc. (a) | 77,600 | 3,500,536 | |
Cambium Networks Corp. (a) | 30,946 | 501,325 | |
Ciena Corp. (a) | 139,838 | 5,901,164 | |
Cisco Systems, Inc. | 2,599,338 | 135,269,550 | |
Clearfield, Inc. (a) | 35,006 | 1,636,180 | |
CommScope Holding Co., Inc. (a) | 521,247 | 2,345,611 | |
Digi International, Inc. (a) | 70,310 | 2,948,098 | |
Extreme Networks, Inc. (a) | 165,967 | 4,413,063 | |
F5, Inc. (a) | 50,548 | 7,998,716 | |
Harmonic, Inc. (a) | 194,181 | 2,897,181 | |
Infinera Corp. (a) | 503,118 | 2,264,031 | |
Juniper Networks, Inc. | 265,454 | 7,379,621 | |
Lumentum Holdings, Inc. (a) | 80,075 | 4,192,727 | |
Motorola Solutions, Inc. | 110,856 | 31,774,655 | |
NETGEAR, Inc. (a) | 69,069 | 942,101 | |
Netscout Systems, Inc. (a) | 109,700 | 3,066,115 | |
Ribbon Communications, Inc. (a) | 234,010 | 744,152 | |
ViaSat, Inc. (a) | 98,456 | 3,046,229 | |
Viavi Solutions, Inc. (a) | 316,821 | 3,443,844 | |
TOTAL COMMUNICATIONS EQUIPMENT | 253,142,148 | ||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 4.4% | |||
Electronic Components – 1.1% | |||
Amphenol Corp. Class A | 393,469 | 34,747,247 | |
Belden, Inc. | 46,153 | 4,460,226 | |
Coherent Corp. (a) | 139,444 | 6,604,068 | |
Corning, Inc. | 559,334 | 18,983,796 | |
Knowles Corp. (a) | 169,162 | 3,090,590 | |
Lightwave Logic, Inc. (a) | 272,324 | 1,830,017 | |
Littelfuse, Inc. | 22,130 | 6,740,798 | |
Rogers Corp. (a) | 21,679 | 3,655,296 | |
Vishay Intertechnology, Inc. | 146,334 | 4,119,302 | |
84,231,340 | |||
Electronic Equipment & Instruments – 1.6% | |||
Advanced Energy Industries, Inc. | 40,335 | 5,049,135 | |
Arlo Technologies, Inc. (a) | 225,186 | 2,558,113 | |
Badger Meter, Inc. | 31,847 | 5,243,290 | |
Cognex Corp. | 141,503 | 7,728,894 | |
Crane NXT Co. | 62,162 | 3,676,882 | |
Evolv Technologies Holdings, Inc. (a) | 204,799 | 1,347,577 | |
FARO Technologies, Inc. (a) | 47,209 | 783,197 | |
Itron, Inc. (a) | 54,134 | 4,258,722 | |
Keysight Technologies, Inc. (a) | 121,720 | 19,606,658 | |
MicroVision, Inc. (a) | 442,046 | 1,768,184 | |
Mirion Technologies, Inc. (a) | 351,926 | 2,657,041 | |
Napco Security Technologies, Inc. | 74,109 | 2,777,605 | |
National Instruments Corp. | 117,026 | 6,904,534 |
| |||
Shares | Value | ||
nLight, Inc. (a) | 109,162 | $ 1,571,933 | |
Novanta, Inc. (a) | 33,174 | 5,868,481 | |
OSI Systems, Inc. (a) | 26,413 | 3,149,222 | |
PAR Technology Corp. (a) | 67,924 | 2,349,491 | |
SmartRent, Inc. (a) | 401,003 | 1,595,992 | |
Teledyne Technologies, Inc. (a) | 33,908 | 13,038,643 | |
Trimble, Inc. (a) | 190,495 | 10,248,631 | |
Vishay Precision Group, Inc. (a) | 30,045 | 1,123,984 | |
Vontier Corp. | 156,372 | 4,836,586 | |
Zebra Technologies Corp. Class A (a) | 38,708 | 11,920,516 | |
120,063,311 | |||
Electronic Manufacturing Services – 1.1% | |||
Benchmark Electronics, Inc. | 89,490 | 2,372,380 | |
CTS Corp. | 65,820 | 2,937,547 | |
Fabrinet (a) | 39,777 | 4,918,028 | |
Flex Ltd. (a) | 349,301 | 9,556,875 | |
IPG Photonics Corp. (a) | 33,863 | 4,451,291 | |
Jabil, Inc. | 102,447 | 11,337,810 | |
Kimball Electronics, Inc. (a) | 62,180 | 1,814,412 | |
Methode Electronics, Inc. | 82,447 | 2,773,517 | |
Plexus Corp. (a) | 36,602 | 3,604,931 | |
Sanmina Corp. (a) | 69,203 | 4,253,216 | |
TE Connectivity Ltd. | 211,238 | 30,310,541 | |
TTM Technologies, Inc. (a) | 199,758 | 2,868,525 | |
81,199,073 | |||
Technology Distributors – 0.6% | |||
Arrow Electronics, Inc. (a) | 49,695 | 7,083,525 | |
Avnet, Inc. | 97,515 | 4,729,478 | |
CDW Corp. | 94,599 | 17,696,635 | |
ePlus, Inc. (a) | 52,440 | 2,954,994 | |
Insight Enterprises, Inc. (a) | 30,655 | 4,496,782 | |
PC Connection, Inc. | 30,235 | 1,463,676 | |
ScanSource, Inc. (a) | 63,730 | 1,917,636 | |
TD SYNNEX Corp. | 49,493 | 4,885,454 | |
45,228,180 | |||
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS | 330,721,904 | ||
IT SERVICES – 5.5% | |||
Internet Services & Infrastructure – 1.8% | |||
Akamai Technologies, Inc. (a) | 118,280 | 11,177,460 | |
BigCommerce Holdings, Inc. Series 1 (a) | 159,335 | 1,722,411 | |
Cloudflare, Inc. Class A (a) | 197,883 | 13,608,414 | |
DigitalOcean Holdings, Inc. (a) | 82,599 | 4,090,303 | |
Fastly, Inc. Class A (a) | 194,935 | 3,580,956 | |
GoDaddy, Inc. Class A (a) | 116,204 | 8,958,167 | |
MongoDB, Inc. (a) | 49,638 | 21,016,729 | |
Okta, Inc. (a) | 123,934 | 9,525,567 | |
Rackspace Technology, Inc. (a) | 125,947 | 292,197 |
69 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
IT SERVICES – continued | |||
Internet Services & Infrastructure – continued | |||
Snowflake, Inc. Class A (a) | 172,037 | $ 30,572,695 | |
Squarespace, Inc. Class A (a) | 87,791 | 2,909,394 | |
Twilio, Inc. Class A (a) | 142,893 | 9,435,225 | |
VeriSign, Inc. (a) | 67,594 | 14,258,954 | |
131,148,472 | |||
IT Consulting & Other Services – 3.7% | |||
Accenture PLC Class A | 401,287 | 126,947,142 | |
Cognizant Technology Solutions Corp. Class A | 344,390 | 22,740,072 | |
DXC Technology Co. (a) | 209,964 | 5,805,505 | |
EPAM Systems, Inc. (a) | 44,407 | 10,516,022 | |
Gartner, Inc. (a) | 54,341 | 19,214,434 | |
Grid Dynamics Holdings, Inc. (a) | 141,106 | 1,470,324 | |
International Business Machines Corp. | 581,024 | 83,772,040 | |
Kyndryl Holdings, Inc. (a) | 293,180 | 4,004,839 | |
Perficient, Inc. (a) | 45,319 | 2,890,899 | |
The Hackett Group, Inc. | 61,500 | 1,429,875 | |
Thoughtworks Holding, Inc. (a) | 239,053 | 1,694,886 | |
280,486,038 | |||
TOTAL IT SERVICES | 411,634,510 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 22.4% | |||
Semiconductor Materials & Equipment – 3.9% | |||
ACM Research, Inc. Class A (a) | 116,882 | 1,531,154 | |
Aehr Test Systems (a) | 65,435 | 3,413,090 | |
Amkor Technology, Inc. | 139,530 | 4,058,928 | |
Applied Materials, Inc. | 542,200 | 82,192,098 | |
Axcelis Technologies, Inc. (a) | 31,563 | 6,327,750 | |
Cohu, Inc. (a) | 78,051 | 3,406,926 | |
Enphase Energy, Inc. (a) | 95,522 | 14,503,105 | |
Entegris, Inc. | 111,334 | 12,214,453 | |
FormFactor, Inc. (a) | 108,051 | 4,015,175 | |
Ichor Holdings Ltd. (a) | 71,691 | 2,775,876 | |
KLA Corp. | 90,496 | 46,510,419 | |
Kulicke & Soffa Industries, Inc. | 69,768 | 4,177,708 | |
Lam Research Corp. | 87,248 | 62,686,816 | |
MKS Instruments, Inc. | 55,961 | 6,109,262 | |
Onto Innovation, Inc. (a) | 47,947 | 5,960,771 | |
PDF Solutions, Inc. (a) | 63,328 | 2,912,455 | |
Photronics, Inc. (a) | 131,282 | 3,472,409 | |
SolarEdge Technologies, Inc. (a) | 42,245 | 10,200,478 | |
Teradyne, Inc. | 113,892 | 12,862,962 | |
Ultra Clean Holdings, Inc. (a) | 82,265 | 3,134,296 | |
Veeco Instruments, Inc. (a) | 106,926 | 3,011,036 | |
295,477,167 | |||
Semiconductors – 18.5% | |||
Advanced Micro Devices, Inc. (a) | 1,023,702 | 117,111,509 | |
Allegro MicroSystems, Inc. (a) | 92,412 | 4,769,383 |
| |||
Shares | Value | ||
Alpha & Omega Semiconductor Ltd. (a) | 59,872 | $ 1,968,591 | |
Ambarella, Inc. (a) | 47,216 | 3,938,759 | |
Analog Devices, Inc. | 325,356 | 64,918,283 | |
Broadcom, Inc. | 263,631 | 236,911,998 | |
CEVA, Inc. (a) | 56,885 | 1,544,997 | |
Cirrus Logic, Inc. (a) | 58,593 | 4,734,314 | |
Credo Technology Group Holding Ltd. (a) | 212,744 | 3,610,266 | |
Diodes, Inc. (a) | 48,745 | 4,605,915 | |
First Solar, Inc. (a) | 73,159 | 15,173,177 | |
Impinj, Inc. (a) | 36,310 | 2,418,972 | |
indie Semiconductor, Inc. Class A (a) | 286,866 | 2,719,490 | |
Intel Corp. | 2,667,299 | 95,409,285 | |
Lattice Semiconductor Corp. (a) | 105,687 | 9,611,176 | |
MACOM Technology Solutions Holdings, Inc. (a) | 65,361 | 4,570,041 | |
MagnaChip Semiconductor Corp. (a) | 106,910 | 988,917 | |
Marvell Technology, Inc. | 571,544 | 37,224,661 | |
MaxLinear, Inc. (a) | 104,477 | 2,577,448 | |
Microchip Technology, Inc. | 363,974 | 34,191,717 | |
Micron Technology, Inc. | 708,962 | 50,612,797 | |
Monolithic Power Systems, Inc. | 31,799 | 17,791,222 | |
Navitas Semiconductor Corp. (a) | 253,779 | 2,684,982 | |
NVIDIA Corp. | 722,690 | 337,705,810 | |
NXP Semiconductors N.V. | 171,663 | 38,277,416 | |
ON Semiconductor Corp. (a) | 289,409 | 31,183,820 | |
Power Integrations, Inc. | 56,399 | 5,478,599 | |
Qorvo, Inc. (a) | 80,851 | 8,895,227 | |
QUALCOMM, Inc. | 713,827 | 94,346,515 | |
Rambus, Inc. (a) | 100,614 | 6,299,442 | |
Semtech Corp. (a) | 122,397 | 3,573,992 | |
Silicon Laboratories, Inc. (a) | 32,054 | 4,780,534 | |
SiTime Corp. (a) | 27,059 | 3,490,882 | |
Skyworks Solutions, Inc. | 116,428 | 13,315,870 | |
SMART Global Holdings, Inc. (a) | 111,046 | 2,953,824 | |
Synaptics, Inc. (a) | 46,832 | 4,229,398 | |
Texas Instruments, Inc. | 578,010 | 104,041,800 | |
Universal Display Corp. | 41,155 | 6,003,691 | |
Wolfspeed, Inc. (a) | 114,492 | 7,545,023 | |
1,392,209,743 | |||
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT | 1,687,686,910 | ||
SOFTWARE – 39.8% | |||
Application Software – 14.3% | |||
8x8, Inc. (a) | 284,228 | 1,347,241 | |
ACI Worldwide, Inc. (a) | 150,317 | 3,485,851 | |
Adobe, Inc. (a) | 291,766 | 159,353,931 | |
Agilysys, Inc. (a) | 44,375 | 3,267,331 | |
Alarm.com Holdings, Inc. (a) | 65,689 | 3,626,690 |
Annual Report | 70 |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Application Software – continued | |||
Alkami Technology, Inc. (a) | 105,055 | $ 1,773,328 | |
Altair Engineering, Inc. Class A (a) | 59,332 | 4,446,340 | |
Alteryx, Inc. Class A (a) | 84,385 | 3,498,602 | |
American Software, Inc. Class A | 80,357 | 926,516 | |
Amplitude, Inc. Class A (a) | 139,745 | 1,618,247 | |
ANSYS, Inc. (a) | 59,575 | 20,380,607 | |
Appfolio, Inc. Class A (a) | 22,798 | 4,117,091 | |
AppLovin Corp. Class A (a) | 174,203 | 5,469,974 | |
Asana, Inc. Class A (a) | 127,941 | 3,106,407 | |
Aspen Technology, Inc. (a) | 29,363 | 5,241,295 | |
Atlassian Corp. Ltd. Class A (a) | 104,827 | 19,072,224 | |
Aurora Innovation, Inc. (a) | 1,459,295 | 4,786,488 | |
Autodesk, Inc. (a) | 142,626 | 30,235,286 | |
AvePoint, Inc. (a) | 288,731 | 1,790,132 | |
Bentley Systems, Inc. Class B | 176,012 | 9,483,527 | |
Bills Holdings, Inc. (a) | 76,618 | 9,603,300 | |
Black Knight, Inc. (a) | 129,564 | 9,110,940 | |
Blackbaud, Inc. (a) | 52,761 | 3,980,817 | |
Blackline, Inc. (a) | 66,702 | 3,874,052 | |
Box, Inc. Class A (a) | 153,796 | 4,806,125 | |
Braze, Inc. Class A (a) | 74,673 | 3,394,635 | |
C3.ai, Inc. Class A (a) | 121,332 | 5,095,944 | |
Cadence Design Systems, Inc. (a) | 178,772 | 41,834,436 | |
CCC Intelligent Solutions Holdings, Inc. (a) | 282,013 | 3,107,783 | |
Cerence, Inc. (a) | 99,760 | 2,774,326 | |
Clear Secure, Inc. Class A | 129,254 | 3,064,612 | |
Clearwater Analytics Holdings, Inc. Class A (a) | 173,141 | 2,983,219 | |
Consensus Cloud Solutions, Inc. (a) | 47,575 | 1,541,906 | |
Couchbase, Inc. (a) | 80,289 | 1,340,023 | |
CS Disco, Inc. (a) | 59,773 | 582,189 | |
Datadog, Inc. Class A (a) | 174,793 | 20,401,839 | |
Digital Turbine, Inc. (a) | 246,777 | 2,675,063 | |
DocuSign, Inc. (a) | 161,516 | 8,692,791 | |
Domo, Inc. Class B (a) | 75,403 | 1,347,452 | |
DoubleVerify Holdings, Inc. (a) | 121,267 | 5,105,341 | |
Dropbox, Inc. Class A (a) | 235,966 | 6,359,284 | |
Dynatrace, Inc. (a) | 171,487 | 9,378,624 | |
E2open Parent Holdings, Inc. (a) | 380,012 | 1,957,062 | |
Ebix, Inc. | 62,175 | 1,924,938 | |
Elastic N.V. (a) | 76,482 | 5,082,229 | |
Enfusion, Inc. Class A (a) | 31,983 | 347,016 | |
EngageSmart, Inc. (a) | 124,318 | 2,357,069 | |
Envestnet, Inc. (a) | 35,211 | 2,182,378 | |
Everbridge, Inc. (a) | 95,089 | 2,932,545 | |
Expensify, Inc. Class A (a) | 85,845 | 691,911 | |
Fair Isaac Corp. (a) | 17,925 | 15,020,612 | |
Five9, Inc. (a) | 70,210 | 6,160,927 |
| |||
Shares | Value | ||
ForgeRock, Inc. Class A (a) | 103,595 | $ 2,139,237 | |
Freshworks, Inc. Class A (a) | 198,580 | 3,705,503 | |
Guidewire Software, Inc. (a) | 74,535 | 6,322,059 | |
HashiCorp, Inc. Class A (a) | 121,331 | 3,592,611 | |
HubSpot, Inc. (a) | 32,813 | 19,049,587 | |
Informatica, Inc. Class A (a) | 90,497 | 1,723,063 | |
Intapp, Inc. (a) | 48,085 | 1,974,370 | |
InterDigital, Inc. | 38,883 | 3,604,065 | |
Intuit, Inc. | 179,384 | 91,790,793 | |
Jamf Holding Corp. (a) | 122,288 | 2,656,095 | |
LivePerson, Inc. (a) | 171,704 | 815,594 | |
LiveRamp Holdings, Inc. (a) | 110,951 | 3,166,542 | |
Manhattan Associates, Inc. (a) | 48,028 | 9,155,097 | |
Marathon Digital Holdings, Inc. (a) | 279,353 | 4,852,362 | |
Matterport, Inc. (a) | 622,028 | 2,108,675 | |
MeridianLink, Inc. (a) | 50,697 | 1,132,571 | |
MicroStrategy, Inc. Class A (a) | 12,786 | 5,598,734 | |
Mitek Systems, Inc. (a) | 112,321 | 1,146,797 | |
Model N, Inc. (a) | 77,383 | 2,578,402 | |
nCino, Inc. (a) | 94,243 | 3,048,761 | |
NCR Corp. (a) | 157,823 | 4,242,282 | |
New Relic, Inc. (a) | 61,285 | 5,146,714 | |
Nutanix, Inc. Class A (a) | 210,407 | 6,354,291 | |
Olo, Inc. Class A (a) | 247,965 | 1,949,005 | |
ON24, Inc. | 83,491 | 738,895 | |
PagerDuty, Inc. (a) | 138,680 | 3,594,586 | |
Palantir Technologies, Inc. Class A (a) | 1,261,966 | 25,037,405 | |
Pegasystems, Inc. | 62,150 | 3,278,412 | |
PowerSchool Holdings, Inc. Class A (a) | 134,127 | 3,241,850 | |
Procore Technologies, Inc. (a) | 76,528 | 5,804,649 | |
PROS Holdings, Inc. (a) | 89,328 | 3,394,464 | |
PTC, Inc. (a) | 83,064 | 12,111,562 | |
Q2 Holdings, Inc. (a) | 99,366 | 3,524,512 | |
Rimini Street, Inc. (a) | 133,978 | 364,420 | |
RingCentral, Inc. Class A (a) | 105,605 | 4,367,823 | |
Riot Blockchain, Inc. (a) | 264,825 | 4,904,559 | |
Roper Technologies, Inc. | 70,131 | 34,578,090 | |
Salesforce, Inc. (a) | 634,280 | 142,719,343 | |
Samsara, Inc. Class A (a) | 149,091 | 4,165,603 | |
SEMrush Holdings, Inc. Class A (a) | 89,279 | 947,250 | |
Smartsheet, Inc. Class A (a) | 125,006 | 5,550,266 | |
SoundHound AI, Inc. Class A (a) | 362,404 | 844,401 | |
SoundThinking, Inc. (a) | 23,144 | 525,832 | |
Splunk, Inc. (a) | 115,429 | 12,504,424 | |
Sprinklr, Inc. Class A (a) | 186,010 | 2,611,580 | |
Sprout Social, Inc. Class A (a) | 68,635 | 3,921,804 | |
SPS Commerce, Inc. (a) | 32,928 | 5,939,882 | |
Synopsys, Inc. (a) | 99,459 | 44,935,576 | |
Tyler Technologies, Inc. (a) | 30,835 | 12,230,086 |
71 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
SOFTWARE – continued | |||
Application Software – continued | |||
Unity Software, Inc. (a) | 197,668 | $ 9,061,101 | |
Verint Systems, Inc. (a) | 91,486 | 3,418,832 | |
Vertex, Inc. Class A (a) | 106,106 | 2,202,761 | |
Workday, Inc. Class A (a) | 136,077 | 32,267,939 | |
Workiva, Inc. (a) | 49,439 | 5,205,432 | |
Yext, Inc. (a) | 245,603 | 2,387,261 | |
Zeta Global Holdings Corp. Class A (a) | 293,239 | 2,703,664 | |
Zoom Video Communications, Inc. Class A (a) | 172,534 | 12,655,369 | |
1,076,331,339 | |||
Systems Software – 25.5% | |||
A10 Networks, Inc. | 174,975 | 2,715,612 | |
Adeia, Inc. | 241,429 | 2,901,977 | |
Appian Corp. Class A (a) | 60,796 | 3,132,210 | |
CommVault Systems, Inc. (a) | 52,406 | 4,084,000 | |
Crowdstrike Holdings, Inc. Class A (a) | 150,748 | 24,369,922 | |
Dolby Laboratories, Inc. Class A | 59,284 | 5,253,155 | |
Fortinet, Inc. (a) | 440,854 | 34,263,173 | |
Gitlab, Inc. Class A (a) | 91,657 | 4,548,937 | |
JFrog Ltd. (a) | 112,875 | 3,473,164 | |
Microsoft Corp. | 4,431,703 | 1,488,697,672 | |
N-Able, Inc. (a) | 158,500 | 2,230,095 | |
NortonLifelock, Inc. | 460,251 | 8,951,882 | |
OneSpan, Inc. (a) | 77,582 | 1,065,977 | |
Oracle Corp. | 1,030,697 | 120,828,609 | |
Palo Alto Networks, Inc. (a) | 198,295 | 49,565,818 | |
Progress Software Corp. | 61,166 | 3,673,630 | |
Qualys, Inc. (a) | 38,081 | 5,285,643 | |
Rapid7, Inc. (a) | 81,351 | 3,734,824 | |
SentinelOne, Inc. Class A (a) | 274,163 | 4,570,297 | |
ServiceNow, Inc. (a) | 130,945 | 76,340,935 | |
SolarWinds Corp. (a) | 123,436 | 1,301,016 | |
Tenable Holdings, Inc. (a) | 117,870 | 5,735,554 | |
Teradata Corp. (a) | 99,093 | 5,633,437 | |
UiPath, Inc. Class A (a) | 327,126 | 5,914,438 | |
Varonis Systems, Inc. (a) | 141,112 | 4,049,914 | |
VMware, Inc. Class A (a) | 160,316 | 25,270,611 | |
Xperi, Inc. (a) | 105,828 | 1,388,463 |
| |||
Shares | Value | ||
Zscaler, Inc. (a) | 67,222 | $ 10,781,064 | |
Zuora, Inc. Class A (a) | 266,855 | 3,130,209 | |
1,912,892,238 | |||
TOTAL SOFTWARE | 2,989,223,577 | ||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS – 24.3% | |||
Technology Hardware, Storage & Peripherals – 24.3% | |||
Apple, Inc. | 8,719,143 | 1,712,875,642 | |
Avid Technology, Inc. (a) | 88,066 | 2,099,494 | |
Corsair Gaming, Inc. (a) | 110,355 | 2,039,360 | |
DELL Technologies, Inc. Class C | 197,974 | 10,476,784 | |
Hewlett Packard Enterprise Co. | 921,814 | 16,021,127 | |
HP, Inc. | 613,431 | 20,138,940 | |
IonQ, Inc. (a) | 294,807 | 5,675,035 | |
NetApp, Inc. | 158,741 | 12,383,385 | |
Pure Storage, Inc. Class A (a) | 248,367 | 9,187,095 | |
Seagate Technology Holdings PLC | 148,684 | 9,441,434 | |
Super Micro Computer, Inc. (a) | 39,558 | 13,064,821 | |
Western Digital Corp. (a) | 249,487 | 10,618,167 | |
Xerox Holdings Corp. | 202,313 | 3,232,962 | |
TOTAL TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS | 1,827,254,246 | ||
TOTAL COMMON STOCKS (Cost $4,483,179,747) | 7,499,663,295 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $10,964,000) | 10,964,000 | 10,964,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.0% (Cost $4,494,143,747) | 7,510,627,295 | ||
NET OTHER ASSETS (LIABILITIES) – 0.0% | 1,387,988 | ||
NET ASSETS – 100.0% | $7,512,015,283 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Annual Report | 72 |
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) | 5 | September 2023 | $ 503,400 | $ 24,197 | $ 24,197 |
CME E-mini Technology Select Sector Index Contracts (United States) | 59 | September 2023 | 10,664,250 | 510,130 | 510,130 |
Total Equity Index Contracts | $ 534,327 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 7,499,663,295 | $ 7,499,663,295 | $ — | $ — | |||||
Money Market Funds | 10,964,000 | 10,964,000 | — | — | |||||
Total Investments in Securities: | $ 7,510,627,295 | $ 7,510,627,295 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 534,327 | $ 534,327 | $ — | $ — | |||||
Total Assets | $ 534,327 | $ 534,327 | $ — | $ — | |||||
Total Derivative Instruments: | $ 534,327 | $ 534,327 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $534,327 | $0 | |
Total Equity Risk | 534,327 | 0 | |
Total Value of Derivatives | $534,327 | $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). |
73 | Annual Report |
Common Stocks – 99.9% | |||
Shares | Value | ||
CHEMICALS – 61.9% | |||
Commodity Chemicals – 7.3% | |||
AdvanSix, Inc. | 10,656 | $ 427,412 | |
Cabot Corp. | 21,859 | 1,551,989 | |
Dow, Inc. | 275,274 | 15,544,723 | |
Hawkins, Inc. | 7,789 | 364,136 | |
Koppers Holdings, Inc. | 8,079 | 309,102 | |
Kronos Worldwide, Inc. | 8,911 | 83,318 | |
LyondellBasell Industries N.V. Class A | 101,237 | 10,008,290 | |
Mativ Holdings, Inc. | 21,204 | 333,751 | |
Olin Corp. | 48,340 | 2,788,251 | |
Origin Materials, Inc. (a) | 42,013 | 188,218 | |
Orion SA | 22,203 | 486,690 | |
PureCycle Technologies, Inc. (a) | 35,046 | 414,945 | |
Trinseo PLC | 10,973 | 193,344 | |
Tronox Holdings PLC Class A | 44,979 | 597,771 | |
Westlake Corp. | 14,908 | 2,049,850 | |
35,341,790 | |||
Diversified Chemicals – 0.9% | |||
Huntsman Corp. | 67,721 | 2,016,054 | |
LSB Industries, Inc. (a) | 19,281 | 215,369 | |
The Chemours Co. | 57,879 | 2,140,366 | |
4,371,789 | |||
Fertilizers & Agricultural Chemicals – 6.9% | |||
American Vanguard Corp. | 10,906 | 196,962 | |
CF Industries Holdings, Inc. | 76,197 | 6,254,250 | |
Corteva, Inc. | 277,069 | 15,635,004 | |
FMC Corp. | 48,656 | 4,682,167 | |
Intrepid Potash, Inc. (a) | 4,013 | 110,357 | |
The Mosaic Co. | 129,124 | 5,263,094 | |
The Scotts Miracle-Gro Co. Class A | 16,273 | 1,139,761 | |
33,281,595 | |||
Industrial Gases – 20.8% | |||
Air Products & Chemicals, Inc. | 86,348 | 26,364,635 | |
Linde PLC | 190,648 | 74,480,454 | |
100,845,089 | |||
Specialty Chemicals – 26.0% | |||
Albemarle Corp. | 45,607 | 9,681,454 | |
Amyris, Inc. (a) | 92,504 | 82,033 | |
Ashland, Inc. | 20,064 | 1,833,047 | |
Aspen Aerogels, Inc. (a) | 24,557 | 204,805 | |
Avient Corp. | 33,578 | 1,360,916 | |
Axalta Coating Systems Ltd. (a) | 85,947 | 2,750,304 | |
Balchem Corp. | 12,520 | 1,686,945 | |
Celanese Corp. | 40,935 | 5,132,840 | |
Chase Corp. | 2,964 | 373,138 | |
DuPont de Nemours, Inc. | 178,470 | 13,854,626 | |
Eastman Chemical Co. | 46,322 | 3,964,237 | |
Ecolab, Inc. | 99,614 | 18,243,308 | |
ECOVYST, Inc. (a) | 40,658 | 499,687 |
| |||
Shares | Value | ||
Element Solutions, Inc. | 89,234 | $ 1,870,345 | |
FutureFuel Corp. | 9,964 | 96,850 | |
Ginkgo Bioworks Holdings, Inc. (a) | 366,729 | 920,490 | |
HB Fuller Co. | 20,890 | 1,546,487 | |
Ingevity Corp. (a) | 13,752 | 880,403 | |
Innospec, Inc. | 9,716 | 1,040,972 | |
International Flavors & Fragrances, Inc. | 99,173 | 8,391,027 | |
Livent Corp. (a) | 69,894 | 1,720,790 | |
Minerals Technologies, Inc. | 12,679 | 777,857 | |
NewMarket Corp. | 2,828 | 1,277,408 | |
Perimeter Solutions S.A. (a) | 55,607 | 309,175 | |
PPG Industries, Inc. | 91,510 | 13,168,289 | |
Quaker Chemical Corp. | 4,895 | 980,860 | |
RPM International, Inc. | 50,122 | 5,178,104 | |
Sensient Technologies Corp. | 16,387 | 1,049,423 | |
Stepan Co. | 8,664 | 830,184 | |
The Sherwin-Williams Co. | 95,461 | 26,394,966 | |
126,100,970 | |||
TOTAL CHEMICALS | 299,941,233 | ||
CONSTRUCTION MATERIALS – 5.7% | |||
Construction Materials – 5.7% | |||
Eagle Materials, Inc. | 14,018 | 2,584,499 | |
Knife River Corp. (a) | 18,671 | 811,628 | |
Martin Marietta Materials, Inc. | 24,105 | 10,761,918 | |
Summit Materials, Inc. Class A (a) | 46,243 | 1,673,072 | |
United States Lime & Minerals, Inc. | 873 | 179,497 | |
Vulcan Materials Co. | 51,734 | 11,407,347 | |
TOTAL CONSTRUCTION MATERIALS | 27,417,961 | ||
CONTAINERS & PACKAGING – 11.4% | |||
Metal, Glass & Plastic Containers – 4.6% | |||
AptarGroup, Inc. | 25,422 | 3,087,756 | |
Ball Corp. | 122,240 | 7,174,266 | |
Berry Global Group, Inc. | 47,202 | 3,095,035 | |
Crown Holdings, Inc. | 46,699 | 4,331,799 | |
Greif, Inc. Class A | 10,104 | 747,393 | |
Greif, Inc. Class B | 2,082 | 164,624 | |
Myers Industries, Inc. | 12,139 | 238,046 | |
O-I Glass, Inc. (a) | 60,244 | 1,383,202 | |
Silgan Holdings, Inc. | 34,276 | 1,503,003 | |
Trimas Corp. | 16,106 | 414,890 | |
22,140,014 | |||
Paper & Plastic Packaging Products & Materials – 6.8% | |||
Amcor PLC | 577,687 | 5,927,069 | |
Avery Dennison Corp. | 31,536 | 5,802,939 | |
Graphic Packaging Holding Co. | 119,490 | 2,891,658 | |
International Paper Co. | 129,045 | 4,653,363 | |
Packaging Corp. of America | 34,948 | 5,359,276 | |
Pactiv Evergreen, Inc. | 17,358 | 149,452 |
Annual Report | 74 |
Common Stocks – continued | |||
Shares | Value | ||
CONTAINERS & PACKAGING – continued | |||
Paper & Plastic Packaging Products & Materials – continued | |||
Ranpak Holdings Corp. (a) | 18,124 | $ 116,175 | |
Sealed Air Corp. | 56,037 | 2,556,408 | |
Sonoco Products Co. | 38,093 | 2,233,773 | |
Westrock Co. | 99,011 | 3,296,076 | |
32,986,189 | |||
TOTAL CONTAINERS & PACKAGING | 55,126,203 | ||
METALS & MINING – 20.3% | |||
Aluminum – 0.9% | |||
Alcoa Corp. | 69,359 | 2,510,102 | |
Arconic Corp. (a) | 38,577 | 1,153,067 | |
Century Aluminum Co. (a) | 21,567 | 200,573 | |
Kaiser Aluminum Corp. | 6,169 | 500,923 | |
4,364,665 | |||
Copper – 5.1% | |||
Freeport-McMoRan, Inc. | 556,269 | 24,837,411 | |
Diversified Metals & Mining – 0.7% | |||
Compass Minerals International, Inc. | 13,556 | 513,366 | |
Ivanhoe Electric, Inc. (a) | 20,069 | 326,322 | |
Materion Corp. | 8,025 | 956,098 | |
MP Materials Corp. (a) | 41,458 | 988,773 | |
Piedmont Lithium, Inc. (a) | 7,096 | 389,287 | |
3,173,846 | |||
Gold – 3.4% | |||
Coeur Mining, Inc. (a) | 125,112 | 385,345 | |
Newmont Corp. | 308,913 | 13,258,546 | |
Royal Gold, Inc. | 25,523 | 3,066,333 | |
16,710,224 | |||
Silver – 0.3% | |||
Hecla Mining Co. | 222,027 | 1,278,875 | |
Steel – 9.9% | |||
Alpha Metallurgical Resources, Inc. | 5,265 | 912,003 | |
Arch Resources, Inc. | 6,442 | 827,411 | |
ATI, Inc. (a) | 49,991 | 2,383,571 | |
Carpenter Technology Corp. | 18,892 | 1,130,875 | |
Cleveland-Cliffs, Inc. (a) | 200,257 | 3,534,536 | |
Commercial Metals Co. | 45,540 | 2,605,799 | |
Haynes International, Inc. | 4,918 | 246,687 | |
Nucor Corp. | 97,956 | 16,857,248 | |
Olympic Steel, Inc. | 3,882 | 216,577 |
| |||
Shares | Value | ||
Ramaco Resources, Inc. | 10,381 | $ 95,505 | |
Reliance Steel & Aluminum Co. | 22,878 | 6,700,051 | |
Ryerson Holding Corp. | 8,970 | 381,135 | |
Schnitzer Steel Industries, Inc. Class A | 10,083 | 365,106 | |
Steel Dynamics, Inc. | 63,376 | 6,754,614 | |
SunCoke Energy, Inc. | 32,440 | 288,067 | |
TimkenSteel Corp. (a) | 15,380 | 358,354 | |
United States Steel Corp. | 88,372 | 2,253,486 | |
Warrior Met Coal, Inc. | 20,249 | 896,018 | |
Worthington Industries, Inc. | 12,592 | 939,615 | |
47,746,658 | |||
TOTAL METALS & MINING | 98,111,679 | ||
PAPER & FOREST PRODUCTS – 0.6% | |||
Forest Products – 0.4% | |||
Louisiana-Pacific Corp. | 25,221 | 1,920,075 | |
Paper Products – 0.2% | |||
Clearwater Paper Corp. (a) | 6,615 | 213,202 | |
Mercer International, Inc. | 15,469 | 137,674 | |
Sylvamo Corp. | 14,820 | 727,217 | |
1,078,093 | |||
TOTAL PAPER & FOREST PRODUCTS | 2,998,168 | ||
TOTAL COMMON STOCKS (Cost $479,272,079) | 483,595,244 | ||
Money Market Fund – 0.2% | |||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $889,000) | 889,000 | 889,000 | |
TOTAL INVESTMENT IN SECURITIES – 100.1% (Cost $480,161,079) | 484,484,244 | ||
NET OTHER ASSETS (LIABILITIES) – (0.1%) | (382,128) | ||
NET ASSETS – 100.0% | $ 484,102,116 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
75 | 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) | 5 | September 2023 | $456,400 | $19,088 | $19,088 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 483,595,244 | $ 483,595,244 | $ — | $ — | |||||
Money Market Funds | 889,000 | 889,000 | — | — | |||||
Total Investments in Securities: | $ 484,484,244 | $ 484,484,244 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 19,088 | $ 19,088 | $ — | $ — | |||||
Total Assets | $ 19,088 | $ 19,088 | $ — | $ — | |||||
Total Derivative Instruments: | $ 19,088 | $ 19,088 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $19,088 | $0 | |
Total Equity Risk | 19,088 | 0 | |
Total Value of Derivatives | $19,088 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 76 |
Common Stocks – 99.7% | |||
Shares | Value | ||
DIVERSIFIED REITS – 2.1% | |||
Diversified REITs – 2.1% | |||
Alexander & Baldwin, Inc. | 57,174 | $ 1,097,741 | |
American Assets Trust, Inc. | 41,261 | 928,372 | |
Armada Hoffler Properties, Inc. | 54,203 | 673,201 | |
Broadstone Net Lease, Inc. | 145,391 | 2,369,873 | |
Empire State Realty Trust, Inc. Class A | 107,967 | 966,305 | |
Essential Properties Realty Trust, Inc. | 115,001 | 2,823,275 | |
Gladstone Commercial Corp. | 33,267 | 442,451 | |
Global Net Lease, Inc. | 82,308 | 879,872 | |
One Liberty Properties, Inc. | 13,806 | 282,057 | |
WP Carey, Inc. | 165,424 | 11,171,083 | |
TOTAL DIVERSIFIED REITS | 21,634,230 | ||
HEALTH CARE REITS – 8.1% | |||
Health Care REITs – 8.1% | |||
CareTrust REIT, Inc. | 77,803 | 1,617,524 | |
Community Healthcare Trust, Inc. | 20,476 | 721,574 | |
Global Medical REIT, Inc. | 48,991 | 485,011 | |
Healthcare Realty Trust, Inc. | 294,736 | 5,756,194 | |
Healthpeak Properties, Inc. | 423,045 | 9,235,072 | |
LTC Properties, Inc. | 32,181 | 1,079,994 | |
Medical Properties Trust, Inc. | 462,706 | 4,668,704 | |
National Health Investors, Inc. | 34,107 | 1,872,816 | |
Omega Healthcare Investors, Inc. | 181,309 | 5,783,757 | |
Physicians Realty Trust | 185,064 | 2,727,843 | |
Sabra Health Care REIT, Inc. | 182,387 | 2,369,207 | |
Universal Health Realty Income Trust | 10,648 | 508,229 | |
Ventas, Inc. | 309,405 | 15,012,331 | |
Welltower, Inc. | 383,836 | 31,532,128 | |
TOTAL HEALTH CARE REITS | 83,370,384 | ||
HOTEL & RESORT REITS – 2.7% | |||
Hotel & Resort REITs – 2.7% | |||
Apple Hospitality REIT, Inc. | 169,044 | 2,620,182 | |
Chatham Lodging Trust | 37,654 | 361,478 | |
DiamondRock Hospitality Co. | 163,639 | 1,390,932 | |
Host Hotels & Resorts, Inc. | 551,808 | 10,153,267 | |
Park Hotels & Resorts, Inc. | 172,324 | 2,348,776 | |
Pebblebrook Hotel Trust | 97,228 | 1,502,173 | |
RLJ Lodging Trust | 125,404 | 1,291,661 | |
Ryman Hospitality Properties, Inc. | 40,656 | 3,874,110 | |
Service Properties Trust | 133,321 | 1,131,895 | |
Summit Hotel Properties, Inc. | 90,490 | 582,756 | |
Sunstone Hotel Investors, Inc. | 156,269 | 1,592,381 | |
Xenia Hotels & Resorts, Inc. | 86,617 | 1,100,036 | |
TOTAL HOTEL & RESORT REITS | 27,949,647 |
| |||
Shares | Value | ||
INDUSTRIAL REITS – 12.4% | |||
Industrial REITs – 12.4% | |||
Americold Realty Trust, Inc. | 208,969 | $ 6,774,775 | |
EastGroup Properties, Inc. | 34,233 | 6,065,403 | |
First Industrial Realty Trust, Inc. | 102,347 | 5,291,340 | |
LXP Industrial Trust | 230,059 | 2,316,694 | |
Plymouth Industrial REIT, Inc. | 32,221 | 733,672 | |
Prologis, Inc. | 714,202 | 89,096,700 | |
Rexford Industrial Realty, Inc. | 155,292 | 8,555,036 | |
STAG Industrial, Inc. | 138,914 | 5,042,578 | |
Terreno Realty Corp. | 64,063 | 3,801,499 | |
TOTAL INDUSTRIAL REITS | 127,677,697 | ||
OFFICE REITS – 4.7% | |||
Office REITs – 4.7% | |||
Alexandria Real Estate Equities, Inc. | 127,120 | 15,976,442 | |
Boston Properties, Inc. | 115,094 | 7,668,713 | |
Brandywine Realty Trust | 141,624 | 715,201 | |
Corporate Office Properties Trust | 87,017 | 2,262,442 | |
Cousins Properties, Inc. | 117,213 | 2,863,514 | |
Douglas Emmett, Inc. | 137,103 | 2,015,414 | |
Easterly Government Properties, Inc. | 71,559 | 1,056,211 | |
Equity Commonwealth | 87,507 | 1,714,262 | |
Highwoods Properties, Inc. | 81,565 | 2,061,147 | |
Hudson Pacific Properties, Inc. | 99,651 | 584,951 | |
JBG SMITH Properties | 83,383 | 1,394,998 | |
Kilroy Realty Corp. | 85,958 | 3,068,701 | |
Office Properties Income Trust | 38,945 | 299,876 | |
Orion Office REIT, Inc. | 49,442 | 321,373 | |
Paramount Group, Inc. | 127,415 | 667,655 | |
Piedmont Office Realty Trust, Inc. Class A | 100,429 | 747,192 | |
SL Green Realty Corp. | 50,324 | 1,897,718 | |
Vornado Realty Trust | 126,088 | 2,834,458 | |
TOTAL OFFICE REITS | 48,150,268 | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – 7.5% | |||
Diversified Real Estate Activities – 0.2% | |||
Tejon Ranch Co. (a) | 17,016 | 299,652 | |
The RMR Group, Inc. Class A | 12,032 | 283,714 | |
The St. Joe Co. | 27,700 | 1,758,396 | |
2,341,762 | |||
Real Estate Development – 0.3% | |||
Forestar Group, Inc. (a) | 16,232 | 478,519 | |
The Howard Hughes Corp. (a) | 27,065 | 2,285,098 | |
2,763,617 | |||
Real Estate Operating Companies – 0.4% | |||
DigitalBridge Group, Inc. | 125,074 | 2,003,686 | |
FRP Holdings, Inc. (a) | 5,826 | 334,238 | |
Kennedy-Wilson Holdings, Inc. | 76,506 | 1,262,349 |
77 | Annual Report |
Common Stocks – continued | |||
Shares | Value | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT – continued | |||
Real Estate Operating Companies – continued | |||
Seritage Growth Properties, Class A (a) | 29,711 | $ 278,986 | |
3,879,259 | |||
Real Estate Services – 6.6% | |||
Anywhere Real Estate, Inc. (a) | 80,767 | 676,827 | |
CBRE Group, Inc. Class A (a) | 240,365 | 20,024,808 | |
Compass, Inc. Class A (a) | 231,483 | 969,914 | |
CoStar Group, Inc. (a) | 314,598 | 26,416,794 | |
Cushman & Wakefield PLC (a) | 123,814 | 1,217,092 | |
eXp World Holdings, Inc. | 57,855 | 1,442,904 | |
Jones Lang LaSalle, Inc. (a) | 36,777 | 6,125,209 | |
Marcus & Millichap, Inc. | 19,891 | 729,602 | |
Newmark Group, Inc. Class A | 112,958 | 781,669 | |
Opendoor Technologies, Inc. (a) | 398,011 | 2,033,836 | |
RE/MAX Holdings, Inc. Class A | 15,732 | 310,078 | |
Redfin Corp. (a) | 85,135 | 1,275,322 | |
Zillow Group, Inc. Class C (a) | 118,629 | 6,424,947 | |
68,429,002 | |||
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | 77,413,640 | ||
RESIDENTIAL REITS – 14.0% | |||
Multi-Family Residential REITs – 9.2% | |||
Apartment Income REIT Corp. | 115,182 | 3,978,386 | |
Apartment Investment and Management Co. Class A | 106,756 | 889,278 | |
AvalonBay Communities, Inc. | 108,284 | 20,427,777 | |
Camden Property Trust | 82,522 | 9,002,325 | |
Centerspace | 12,188 | 757,240 | |
Elme Communities | 69,464 | 1,128,790 | |
Equity Residential | 278,388 | 18,356,905 | |
Essex Property Trust, Inc. | 49,857 | 12,142,672 | |
Independence Realty Trust, Inc. | 173,940 | 2,963,938 | |
Mid-America Apartment Communities, Inc. | 90,179 | 13,496,189 | |
NexPoint Residential Trust, Inc. | 18,523 | 769,816 | |
UDR, Inc. | 241,856 | 9,887,073 | |
Veris Residential, Inc. (a) | 57,450 | 1,073,166 | |
94,873,555 | |||
Single-Family Residential REITs – 4.8% | |||
American Homes 4 Rent Class A | 251,376 | 9,421,572 | |
Equity Lifestyle Properties, Inc. | 136,794 | 9,736,997 | |
Invitation Homes, Inc. | 473,217 | 16,799,203 | |
Sun Communities, Inc. | 96,229 | 12,538,639 | |
UMH Properties, Inc. | 44,375 | 738,844 | |
49,235,255 | |||
TOTAL RESIDENTIAL REITS | 144,108,810 |
| |||
Shares | Value | ||
RETAIL REITS – 12.6% | |||
Retail REITs – 12.6% | |||
Acadia Realty Trust | 74,272 | $ 1,166,813 | |
Agree Realty Corp. | 69,785 | 4,520,672 | |
Alexander's, Inc. | 1,946 | 376,298 | |
American Finance Trust, Inc. | 107,133 | 760,644 | |
Brixmor Property Group, Inc. | 232,256 | 5,281,501 | |
CBL & Associates Properties, Inc. | 9,105 | 198,216 | |
Federal Realty Investment Trust | 56,678 | 5,753,951 | |
Getty Realty Corp. | 34,819 | 1,125,350 | |
InvenTrust Properties Corp. | 53,282 | 1,296,884 | |
Kimco Realty Corp. | 478,863 | 9,701,764 | |
Kite Realty Group Trust | 169,428 | 3,876,513 | |
NETSTREIT Corp. | 45,427 | 812,689 | |
NNN REIT, Inc. | 140,661 | 6,003,412 | |
Phillips Edison & Co., Inc. | 90,590 | 3,198,733 | |
Realty Income Corp. | 510,864 | 31,147,378 | |
Regency Centers Corp. | 119,102 | 7,804,754 | |
Retail Opportunity Investments Corp. | 99,066 | 1,459,242 | |
RPT Realty | 68,408 | 743,595 | |
Saul Centers, Inc. | 10,122 | 390,203 | |
Simon Property Group, Inc. | 252,694 | 31,485,672 | |
SITE Centers Corp. | 147,577 | 2,073,457 | |
Spirit Realty Capital, Inc. | 109,285 | 4,407,464 | |
Tanger Factory Outlet Centers, Inc. | 82,366 | 1,928,188 | |
The Macerich Co. | 166,374 | 2,121,269 | |
Urban Edge Properties | 91,944 | 1,563,967 | |
Urstadt Biddle Properties, Inc. Class A | 22,954 | 520,597 | |
Whitestone REIT | 36,775 | 379,518 | |
TOTAL RETAIL REITS | 130,098,744 | ||
SPECIALIZED REITS – 35.6% | |||
Data Center REITs – 8.4% | |||
Digital Realty Trust, Inc. | 225,287 | 28,075,266 | |
Equinix, Inc. | 72,325 | 58,577,464 | |
86,652,730 | |||
Other Specialized REITs – 6.2% | |||
EPR Properties | 58,387 | 2,606,396 | |
Farmland Partners, Inc. | 40,168 | 461,530 | |
Four Corners Property Trust, Inc. | 67,582 | 1,777,407 | |
Gaming and Leisure Properties, Inc. | 202,904 | 9,629,824 | |
Gladstone Land Corp. | 28,082 | 470,093 | |
Iron Mountain, Inc. | 225,503 | 13,845,884 | |
Lamar Advertising Co. Class A | 67,664 | 6,678,437 | |
Outfront Media, Inc. | 114,946 | 1,777,065 | |
Safehold, Inc. | 31,515 | 779,366 | |
Uniti Group, Inc. | 193,924 | 1,082,096 | |
VICI Properties, Inc. | 776,657 | 24,449,162 | |
63,557,260 |
Annual Report | 78 |
Common Stocks – continued | |||
Shares | Value | ||
SPECIALIZED REITS – continued | |||
Self-Storage REITs – 6.5% | |||
CubeSmart | 174,442 | $ 7,563,805 | |
Extra Space Storage, Inc. | 163,457 | 22,813,693 | |
National Storage Affiliates Trust | 65,139 | 2,201,047 | |
Public Storage | 122,366 | 34,476,621 | |
67,055,166 | |||
Telecom Tower REITs – 12.0% | |||
American Tower Corp. | 360,432 | 68,593,814 | |
Crown Castle, Inc. | 335,400 | 36,320,466 | |
SBA Communications Corp. | 83,778 | 18,343,193 | |
123,257,473 | |||
Timber REITs – 2.5% | |||
PotlatchDeltic Corp. | 61,734 | 3,310,794 | |
Rayonier, Inc. | 108,222 | 3,584,313 | |
Weyerhaeuser Co. | 566,821 | 19,305,923 | |
26,201,030 | |||
TOTAL SPECIALIZED REITS | 366,723,659 | ||
TOTAL COMMON STOCKS (Cost $1,168,228,556) | 1,027,127,079 |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $1,750,000) | 1,750,000 | $ 1,750,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,169,978,556) | 1,028,877,079 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 661,498 | ||
NET ASSETS – 100.0% | $1,029,538,577 |
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) | 62 | September 2023 | $2,113,580 | $39,006 | $39,006 |
79 | Annual Report |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,027,127,079 | $ 1,027,127,079 | $ — | $ — | |||||
Money Market Funds | 1,750,000 | 1,750,000 | — | — | |||||
Total Investments in Securities: | $ 1,028,877,079 | $ 1,028,877,079 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 39,006 | $ 39,006 | $ — | $ — | |||||
Total Assets | $ 39,006 | $ 39,006 | $ — | $ — | |||||
Total Derivative Instruments: | $ 39,006 | $ 39,006 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $39,006 | $0 | |
Total Equity Risk | 39,006 | 0 | |
Total Value of Derivatives | $39,006 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 80 |
Common Stocks – 99.7% | |||
Shares | Value | ||
ELECTRIC UTILITIES – 61.2% | |||
Electric Utilities – 61.2% | |||
ALLETE, Inc. | 98,188 | $ 5,638,937 | |
Alliant Energy Corp. | 430,860 | 23,154,416 | |
American Electric Power Co., Inc. | 882,510 | 74,783,897 | |
Constellation Energy Corp. | 561,937 | 54,311,211 | |
Duke Energy Corp. | 1,322,122 | 123,777,062 | |
Edison International | 656,416 | 47,235,695 | |
Entergy Corp. | 363,857 | 37,368,114 | |
Evergy, Inc. | 393,876 | 23,620,744 | |
Eversource Energy | 598,145 | 43,263,828 | |
Exelon Corp. | 1,705,780 | 71,403,951 | |
FirstEnergy Corp. | 933,624 | 36,775,449 | |
Hawaiian Electric Industries, Inc. | 188,275 | 7,227,877 | |
IDACORP, Inc. | 86,887 | 8,933,721 | |
MGE Energy, Inc. | 62,367 | 5,004,328 | |
NextEra Energy, Inc. | 3,471,302 | 254,446,437 | |
NRG Energy, Inc. | 398,516 | 15,139,623 | |
OGE Energy Corp. | 343,710 | 12,425,117 | |
Otter Tail Corp. | 64,681 | 5,239,808 | |
PG&E Corp. (a) | 3,081,490 | 54,265,039 | |
Pinnacle West Capital Corp. | 194,296 | 16,091,595 | |
PNM Resources, Inc. | 139,722 | 6,262,340 | |
Portland General Electric Co. | 153,640 | 7,324,019 | |
PPL Corp. | 1,264,451 | 34,810,336 | |
The Southern Co. | 1,872,615 | 135,464,969 | |
Xcel Energy, Inc. | 943,947 | 59,213,795 | |
TOTAL ELECTRIC UTILITIES | 1,163,182,308 | ||
GAS UTILITIES – 4.4% | |||
Gas Utilities – 4.4% | |||
Atmos Energy Corp. | 247,876 | 30,168,988 | |
Chesapeake Utilities Corp. | 30,438 | 3,598,989 | |
National Fuel Gas Co. | 149,815 | 7,956,675 | |
New Jersey Resources Corp. | 166,431 | 7,439,466 | |
Northwest Natural Holding Co. | 62,198 | 2,672,648 | |
ONE Gas, Inc. | 95,165 | 7,530,406 | |
Southwest Gas Holdings, Inc. | 122,532 | 8,079,760 | |
Spire, Inc. | 90,067 | 5,725,559 | |
Star Group LP | 52,109 | 706,598 | |
UGI Corp. | 359,784 | 9,710,570 | |
TOTAL GAS UTILITIES | 83,589,659 | ||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS – 3.5% | |||
Independent Power Producers & Energy Traders – 2.2% | |||
The AES Corp. | 1,147,454 | 24,819,430 | |
Vistra Corp. | 585,722 | 16,435,360 | |
41,254,790 | |||
Renewable Electricity – 1.3% | |||
Altus Power, Inc. (a) | 109,294 | 744,292 | |
Clearway Energy, Inc. Class A | 57,127 | 1,409,323 |
| |||
Shares | Value | ||
Clearway Energy, Inc. Class C | 141,944 | $ 3,748,741 | |
Montauk Renewables, Inc. (a) | 88,848 | 777,420 | |
NextEra Energy Partners LP | 148,669 | 8,095,027 | |
Ormat Technologies, Inc. | 92,057 | 7,484,234 | |
Sunnova Energy International, Inc. (a) | 178,883 | 3,159,074 | |
25,418,111 | |||
TOTAL INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS | 66,672,901 | ||
MULTI-UTILITIES – 26.1% | |||
Multi-Utilities – 26.1% | |||
Ameren Corp. | 450,320 | 38,578,914 | |
Avista Corp. | 129,931 | 5,020,534 | |
Black Hills Corp. | 113,838 | 6,867,847 | |
CenterPoint Energy, Inc. | 1,080,471 | 32,511,372 | |
CMS Energy Corp. | 500,370 | 30,557,596 | |
Consolidated Edison, Inc. | 594,356 | 56,380,610 | |
Dominion Energy, Inc. | 1,432,960 | 76,735,008 | |
DTE Energy Co. | 353,616 | 40,418,309 | |
NiSource, Inc. | 708,511 | 19,724,946 | |
NorthWestern Corp. | 102,733 | 5,801,332 | |
Public Service Enterprise Group, Inc. | 855,713 | 54,012,605 | |
Sempra | 539,819 | 80,443,827 | |
Unitil Corp. | 27,970 | 1,455,559 | |
WEC Energy Group, Inc. | 541,130 | 48,625,942 | |
TOTAL MULTI-UTILITIES | 497,134,401 | ||
WATER UTILITIES – 4.5% | |||
Water Utilities – 4.5% | |||
American States Water Co. | 63,365 | 5,602,100 | |
American Water Works Co., Inc. | 333,919 | 49,229,678 | |
Artesian Resources Corp. Class A | 15,122 | 688,958 | |
California Water Service Group | 95,380 | 5,057,048 | |
Essential Utilities, Inc. | 430,885 | 18,222,127 | |
Middlesex Water Co. | 30,628 | 2,463,104 | |
SJW Group | 50,579 | 3,563,796 | |
The York Water Co. | 24,810 | 1,025,397 | |
TOTAL WATER UTILITIES | 85,852,208 | ||
TOTAL COMMON STOCKS (Cost $1,981,372,257) | 1,896,431,477 |
81 | Annual Report |
Money Market Fund – 0.2% | |||
Shares | Value | ||
State Street Institutional Treasury Plus Money Market Fund, Trust Class, 5.15% (b) (Cost $4,274,000) | 4,274,000 | $ 4,274,000 | |
TOTAL INVESTMENT IN SECURITIES – 99.9% (Cost $1,985,646,257) | 1,900,705,477 | ||
NET OTHER ASSETS (LIABILITIES) – 0.1% | 990,221 | ||
NET ASSETS – 100.0% | $1,901,695,698 |
Legend | ||
(a) | Non-income producing. | |
(b) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P Utilities Select Sector Index Contracts (United States) | 75 | September 2023 | $5,099,250 | $43,080 | $43,080 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Common Stocks | $ 1,896,431,477 | $ 1,896,431,477 | $ — | $ — | |||||
Money Market Funds | 4,274,000 | 4,274,000 | — | — | |||||
Total Investments in Securities: | $ 1,900,705,477 | $ 1,900,705,477 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 43,080 | $ 43,080 | $ — | $ — | |||||
Total Assets | $ 43,080 | $ 43,080 | $ — | $ — | |||||
Total Derivative Instruments: | $ 43,080 | $ 43,080 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $43,080 | $0 | |
Total Equity Risk | 43,080 | 0 | |
Total Value of Derivatives | $43,080 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
Annual Report | 82 |
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 | $ 798,766,524 | $ 1,295,630,688 | $ 1,237,792,607 | $ 1,606,253,968 | |||
Segregated cash with brokers for derivative instruments | 60,000 | 113,600 | 124,450 | 210,250 | |||
Cash | 108,115 | 34,758 | 41,020 | 16,783 | |||
Receivable for investments sold | |||||||
Regular delivery | — | — | — | 1,893,365 | |||
Delayed delivery | — | — | — | 71,050 | |||
Receivable for fund shares sold | 37,926 | 7,721 | — | — | |||
Dividends receivable | 1,063,295 | 421,687 | 1,472,734 | 1,056,591 | |||
Interest receivable | 3,880 | 8,118 | 9,060 | 9,120 | |||
Receivable for daily variation margin on futures contracts | 1,006 | 14,761 | — | 79,952 | |||
Other receivable | — | — | — | — | |||
Total assets | 800,040,746 | 1,296,231,333 | 1,239,439,871 | 1,609,591,079 | |||
Liabilities | |||||||
Payable for investments purchased | 1,131,520 | — | — | 2,442,568 | |||
Payable for fund shares redeemed | — | — | 20,861 | — | |||
Accrued management fees | 53,732 | 88,888 | 86,718 | 106,992 | |||
Payable for daily variation margin on futures contracts | — | — | 13,704 | — | |||
Total liabilities | 1,185,252 | 88,888 | 121,283 | 2,549,560 | |||
Net Assets | $798,855,494 | $1,296,142,445 | $1,239,318,588 | $1,607,041,519 | |||
Net Assets consist of: | |||||||
Paid in capital | $865,499,151 | $1,269,220,895 | $1,146,666,742 | $1,306,420,016 | |||
Total accumulated earnings (loss) | (66,643,657) | 26,921,550 | 92,651,846 | 300,621,503 | |||
Net Assets | $798,855,494 | $1,296,142,445 | $1,239,318,588 | $1,607,041,519 | |||
Shares outstanding | 18,750,000 | 17,100,000 | 26,700,000 | 66,950,000 | |||
Net Asset Value per share | $ 42.61 | $ 75.80 | $ 46.42 | $ 24.00 | |||
Investments at cost | $794,304,919 | $1,189,234,449 | $1,106,838,772 | $1,133,811,831 |
Annual Report | 84 |
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 | $ 1,429,769,473 | $ 3,079,395,386 | $ 799,396,235 | $ 7,510,627,295 | |||
Segregated cash with brokers for derivative instruments | 287,200 | 356,900 | 145,800 | 591,500 | |||
Cash | 10,891 | 67,757 | 18,064 | 141,825 | |||
Receivable for investments sold | |||||||
Regular delivery | 3,452 | — | 1,253,183 | 12,596,541 | |||
Delayed delivery | — | — | — | — | |||
Receivable for fund shares sold | — | — | 19,771 | 83,507 | |||
Dividends receivable | 1,119,738 | 4,241,493 | 382,169 | 1,233,620 | |||
Interest receivable | 11,977 | 28,850 | 5,136 | 44,955 | |||
Receivable for daily variation margin on futures contracts | 29,076 | — | — | 35,779 | |||
Other receivable | — | — | — | — | |||
Total assets | 1,431,231,807 | 3,084,090,386 | 801,220,358 | 7,525,355,022 | |||
Liabilities | |||||||
Payable for investments purchased | — | 40,510 | — | 12,825,879 | |||
Payable for fund shares redeemed | 69,352 | 31,201 | — | — | |||
Accrued management fees | 98,432 | 214,107 | 54,347 | 513,860 | |||
Payable for daily variation margin on futures contracts | — | 50,080 | 60,385 | — | |||
Total liabilities | 167,784 | 335,898 | 114,732 | 13,339,739 | |||
Net Assets | $1,431,064,023 | $3,083,754,488 | $801,105,626 | $7,512,015,283 | |||
Net Assets consist of: | |||||||
Paid in capital | $1,441,336,826 | $2,589,810,234 | $715,606,178 | $4,661,816,227 | |||
Total accumulated earnings (loss) | (10,272,803) | 493,944,254 | 85,499,448 | 2,850,199,056 | |||
Net Assets | $1,431,064,023 | $3,083,754,488 | $801,105,626 | $7,512,015,283 | |||
Shares outstanding | 28,700,000 | 48,350,000 | 13,650,000 | 55,900,000 | |||
Net Asset Value per share | $ 49.86 | $ 63.78 | $ 58.69 | $ 134.38 | |||
Investments at cost | $1,287,558,450 | $2,484,187,165 | $687,012,138 | $4,494,143,747 |
85 | 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 | $ 484,484,244 | $ 1,028,877,079 | $ 1,900,705,477 | ||
Segregated cash with brokers for derivative instruments | 24,000 | 145,700 | 262,500 | ||
Cash | 8,329 | 1,165 | 7,044 | ||
Receivable for investments sold | |||||
Regular delivery | — | — | — | ||
Delayed delivery | — | — | — | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable | 394,496 | 509,620 | 914,464 | ||
Interest receivable | 4,040 | 5,613 | 14,126 | ||
Receivable for daily variation margin on futures contracts | 47,377 | 14,066 | — | ||
Other receivable | — | 57,806 | — | ||
Total assets | 484,962,486 | 1,029,611,049 | 1,901,903,611 | ||
Liabilities | |||||
Payable for investments purchased | 827,427 | — | — | ||
Payable for fund shares redeemed | — | — | 35,275 | ||
Accrued management fees | 32,943 | 72,472 | 139,576 | ||
Payable for daily variation margin on futures contracts | — | — | 33,062 | ||
Total liabilities | 860,370 | 72,472 | 207,913 | ||
Net Assets | $484,102,116 | $1,029,538,577 | $1,901,695,698 | ||
Net Assets consist of: | |||||
Paid in capital | $497,488,898 | $1,256,582,498 | $2,027,692,953 | ||
Total accumulated earnings (loss) | (13,386,782) | (227,043,921) | (125,997,255) | ||
Net Assets | $484,102,116 | $1,029,538,577 | $1,901,695,698 | ||
Shares outstanding | 10,000,000 | 40,200,000 | 43,950,000 | ||
Net Asset Value per share | $ 48.41 | $ 25.61 | $ 43.27 | ||
Investments at cost | $480,161,079 | $1,169,978,556 | $1,985,646,257 |
Annual Report | 86 |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||
Investment Income | |||||||
Dividends | $ 5,697,889 | $ 11,273,221 | $ 27,214,319 | $ 54,356,245 | |||
Interest | 41,407 | 82,418 | 87,521 | 84,299 | |||
Total income | 5,739,296 | 11,355,639 | 27,301,840 | 54,440,544 | |||
Expenses | |||||||
Management fees | 479,078 | 903,749 | 938,171 | 1,292,155 | |||
Independent trustees' fees and expenses | 2,936 | 5,702 | 5,568 | 7,770 | |||
Legal | — | 409 | — | — | |||
Total expenses | 482,014 | 909,860 | 943,739 | 1,299,925 | |||
Net investment income (loss) | 5,257,282 | 10,445,779 | 26,358,101 | 53,140,619 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (34,961,819) | (34,153,316) | (16,349,473) | (11,177,327) | |||
Net realized gain (loss) on In-kind redemptions | 15,141,572 | 27,369,356 | 29,606,400 | 115,099,165 | |||
Net realized gain (loss) on futures contracts | 225,804 | 204,845 | (6,865) | (516,772) | |||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | |||
Total net realized gain (loss) | (19,594,443) | (6,579,115) | 13,250,062 | 103,405,066 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 118,643,490 | 109,237,053 | 32,472,307 | 60,096,331 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 55,396 | (64,590) | (61,295) | 40,330 | |||
Total change in net unrealized appreciation (depreciation) | 118,698,886 | 109,172,463 | 32,411,012 | 60,136,661 | |||
Net gain (loss) | 99,104,443 | 102,593,348 | 45,661,074 | 163,541,727 | |||
Net increase (decrease) in net assets resulting from operations | $104,361,725 | $113,039,127 | $ 72,019,175 | $216,682,346 |
87 | 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 | $ 34,143,970 | $ 45,247,165 | $ 11,271,556 | $ 52,858,026 | |||
Interest | 128,965 | 234,456 | 58,050 | 345,019 | |||
Total income | 34,272,935 | 45,481,621 | 11,329,606 | 53,203,045 | |||
Expenses | |||||||
Management fees | 1,223,575 | 2,528,306 | 587,109 | 4,817,645 | |||
Independent trustees' fees and expenses | 7,768 | 15,291 | 3,620 | 28,816 | |||
Legal | — | — | — | — | |||
Total expenses | 1,231,343 | 2,543,597 | 590,729 | 4,846,461 | |||
Net investment income (loss) | 33,041,592 | 42,938,024 | 10,738,877 | 48,356,584 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (109,982,227) | (48,708,793) | (18,247,520) | (109,197,966) | |||
Net realized gain (loss) on In-kind redemptions | 56,282,565 | 99,791,217 | 35,260,426 | 507,839,393 | |||
Net realized gain (loss) on futures contracts | 444,116 | 350,855 | 123,260 | 2,814,659 | |||
Net realized gain (loss) on foreign currency transactions | — | — | (16) | — | |||
Total net realized gain (loss) | (53,255,546) | 51,433,279 | 17,136,150 | 401,456,086 | |||
Change in net unrealized appreciation (depreciation) on investment securities | 106,816,933 | (12,074,209) | 97,407,499 | 944,915,424 | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 14,879 | (230,068) | (7,371) | 41,517 | |||
Total change in net unrealized appreciation (depreciation) | 106,831,812 | (12,304,277) | 97,400,128 | 944,956,941 | |||
Net gain (loss) | 53,576,266 | 39,129,002 | 114,536,278 | 1,346,413,027 | |||
Net increase (decrease) in net assets resulting from operations | $ 86,617,858 | $ 82,067,026 | $125,275,155 | $1,394,769,611 |
Annual Report | 88 |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | Fidelity MSCI Utilities Index ETF | |||
Investment Income | |||||
Dividends | $ 8,608,060 | $ 37,036,440 | $ 62,469,490 | ||
Interest | 36,710 | 71,186 | 157,097 | ||
Total income | 8,644,770 | 37,107,626 | 62,626,587 | ||
Expenses | |||||
Management fees | 373,187 | 1,128,403 | 1,757,535 | ||
Independent trustees' fees and expenses | 2,323 | 7,654 | 10,245 | ||
Legal | — | — | — | ||
Total expenses | 375,510 | 1,136,057 | 1,767,780 | ||
Net investment income (loss) | 8,269,260 | 35,971,569 | 60,858,807 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on investment securities | (5,418,072) | (40,677,292) | (11,624,223) | ||
Net realized gain (loss) on In-kind redemptions | 9,988,163 | 47,537,324 | 56,229,170 | ||
Net realized gain (loss) on futures contracts | 23,568 | (840,866) | (1,119,268) | ||
Net realized gain (loss) on foreign currency transactions | — | — | — | ||
Total net realized gain (loss) | 4,593,659 | 6,019,166 | 43,485,679 | ||
Change in net unrealized appreciation (depreciation) on investment securities | 37,282,674 | (239,037,793) | (259,497,941) | ||
Change in net unrealized appreciation (depreciation) on futures contracts | 49,332 | (122,395) | (194,422) | ||
Total change in net unrealized appreciation (depreciation) | 37,332,006 | (239,160,188) | (259,692,363) | ||
Net gain (loss) | 41,925,665 | (233,141,022) | (216,206,684) | ||
Net increase (decrease) in net assets resulting from operations | $50,194,925 | $(197,169,453) | $(155,347,877) |
89 | Annual Report |
Fidelity MSCI Communication Services Index ETF | Fidelity MSCI Consumer Discretionary Index ETF | ||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2023 | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 5,257,282 | $ 7,496,704 | $ 10,445,779 | $ 10,582,475 | |||
Net realized gain (loss) | (19,594,443) | 64,340,202 | (6,579,115) | 221,091,762 | |||
Change in net unrealized appreciation (depreciation) | 118,698,886 | (359,603,822) | 109,172,463 | (461,544,425) | |||
Net increase (decrease) in net assets resulting from operations | 104,361,725 | (287,766,916) | 113,039,127 | (229,870,188) | |||
Distributions to shareholders | (4,996,850) | (7,610,350) | (10,020,850) | (11,050,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 240,004,377 | 233,928,059 | 120,045,362 | 324,283,128 | |||
Cost of shares redeemed | (101,759,290) | (293,680,545) | (101,937,235) | (539,877,842) | |||
Net increase (decrease) in net assets resulting from share transactions | 138,245,087 | (59,752,486) | 18,108,127 | (215,594,714) | |||
Total increase (decrease) in net assets | 237,609,962 | (355,129,752) | 121,126,404 | (456,515,102) | |||
Net Assets | |||||||
Beginning of year | 561,245,532 | 916,375,284 | 1,175,016,041 | 1,631,531,143 | |||
End of year | $ 798,855,494 | $ 561,245,532 | $1,296,142,445 | $1,175,016,041 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,600,000 | 5,400,000 | 1,800,000 | 3,800,000 | |||
Redeemed | (3,050,000) | (6,900,000) | (1,600,000) | (6,950,000) | |||
Net increase (decrease) | 3,550,000 | (1,500,000) | 200,000 | (3,150,000) |
Annual Report | 90 |
Fidelity MSCI Consumer Staples Index ETF | Fidelity MSCI Energy Index ETF | ||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2023 | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 26,358,101 | $ 21,398,163 | $ 53,140,619 | $ 44,453,478 | |||
Net realized gain (loss) | 13,250,062 | 22,771,000 | 103,405,066 | 120,258,555 | |||
Change in net unrealized appreciation (depreciation) | 32,411,012 | (5,042,927) | 60,136,661 | 405,661,825 | |||
Net increase (decrease) in net assets resulting from operations | 72,019,175 | 39,126,236 | 216,682,346 | 570,373,858 | |||
Distributions to shareholders | (26,225,300) | (21,252,450) | (55,155,850) | (46,175,650) | |||
Share transactions | |||||||
Proceeds from sales of shares | 256,003,524 | 324,193,400 | 199,400,543 | 387,541,369 | |||
Cost of shares redeemed | (120,837,555) | (101,991,130) | (241,462,086) | (318,221,008) | |||
Net increase (decrease) in net assets resulting from share transactions | 135,165,969 | 222,202,270 | (42,061,543) | 69,320,361 | |||
Total increase (decrease) in net assets | 180,959,844 | 240,076,056 | 119,464,953 | 593,518,569 | |||
Net Assets | |||||||
Beginning of year | 1,058,358,744 | 818,282,688 | 1,487,576,566 | 894,057,997 | |||
End of year | $1,239,318,588 | $1,058,358,744 | $1,607,041,519 | $1,487,576,566 | |||
Other Information | |||||||
Shares | |||||||
Sold | 5,750,000 | 7,100,000 | 8,650,000 | 21,050,000 | |||
Redeemed | (2,700,000) | (2,350,000) | (11,000,000) | (18,100,000) | |||
Net increase (decrease) | 3,050,000 | 4,750,000 | (2,350,000) | 2,950,000 |
91 | Annual Report |
Fidelity MSCI Financials Index ETF | Fidelity MSCI Health Care Index ETF | ||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2023 | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 33,041,592 | $ 35,229,668 | $ 42,938,024 | $ 36,342,043 | |||
Net realized gain (loss) | (53,255,546) | 72,806,146 | 51,433,279 | 68,664,227 | |||
Change in net unrealized appreciation (depreciation) | 106,831,812 | (226,108,984) | (12,304,277) | (208,929,300) | |||
Net increase (decrease) in net assets resulting from operations | 86,617,858 | (118,073,170) | 82,067,026 | (103,923,030) | |||
Distributions to shareholders | (33,588,200) | (36,480,350) | (42,324,300) | (37,227,200) | |||
Share transactions | |||||||
Proceeds from sales of shares | 87,310,214 | 276,240,117 | 305,561,085 | 455,404,706 | |||
Cost of shares redeemed | (258,774,591) | (289,122,805) | (229,908,099) | (192,134,263) | |||
Net increase (decrease) in net assets resulting from share transactions | (171,464,377) | (12,882,688) | 75,652,986 | 263,270,443 | |||
Total increase (decrease) in net assets | (118,434,719) | (167,436,208) | 115,395,712 | 122,120,213 | |||
Net Assets | |||||||
Beginning of year | 1,549,498,742 | 1,716,934,950 | 2,968,358,776 | 2,846,238,563 | |||
End of year | $1,431,064,023 | $1,549,498,742 | $3,083,754,488 | $2,968,358,776 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,900,000 | 4,950,000 | 4,950,000 | 7,000,000 | |||
Redeemed | (5,500,000) | (5,550,000) | (3,700,000) | (3,000,000) | |||
Net increase (decrease) | (3,600,000) | (600,000) | 1,250,000 | 4,000,000 |
Annual Report | 92 |
Fidelity MSCI Industrials Index ETF | Fidelity MSCI Information Technology Index ETF | ||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2023 | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 10,738,877 | $ 10,433,633 | $ 48,356,584 | $ 44,263,520 | |||
Net realized gain (loss) | 17,136,150 | 61,408,260 | 401,456,086 | 176,542,038 | |||
Change in net unrealized appreciation (depreciation) | 97,400,128 | (138,691,000) | 944,956,941 | (866,361,731) | |||
Net increase (decrease) in net assets resulting from operations | 125,275,155 | (66,849,107) | 1,394,769,611 | (645,556,173) | |||
Distributions to shareholders | (10,658,050) | (10,491,650) | (47,990,200) | (46,200,150) | |||
Share transactions | |||||||
Proceeds from sales of shares | 100,904,162 | 101,356,059 | 1,618,758,979 | 554,048,203 | |||
Cost of shares redeemed | (119,710,204) | (180,991,891) | (1,192,587,293) | (330,116,462) | |||
Net increase (decrease) in net assets resulting from share transactions | (18,806,042) | (79,635,832) | 426,171,686 | 223,931,741 | |||
Total increase (decrease) in net assets | 95,811,063 | (156,976,589) | 1,772,951,097 | (467,824,582) | |||
Net Assets | |||||||
Beginning of year | 705,294,563 | 862,271,152 | 5,739,064,186 | 6,206,888,768 | |||
End of year | $ 801,105,626 | $ 705,294,563 | $ 7,512,015,283 | $5,739,064,186 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,900,000 | 1,900,000 | 13,600,000 | 4,350,000 | |||
Redeemed | (2,350,000) | (3,600,000) | (10,150,000) | (2,900,000) | |||
Net increase (decrease) | (450,000) | (1,700,000) | 3,450,000 | 1,450,000 |
93 | Annual Report |
Fidelity MSCI Materials Index ETF | Fidelity MSCI Real Estate Index ETF | ||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2023 | Year ended July 31, 2022 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 8,269,260 | $ 8,990,437 | $ 35,971,569 | $ 43,089,610 | |||
Net realized gain (loss) | 4,593,659 | 38,061,774 | 6,019,166 | 99,966,618 | |||
Change in net unrealized appreciation (depreciation) | 37,332,006 | (80,161,823) | (239,160,188) | (242,897,051) | |||
Net increase (decrease) in net assets resulting from operations | 50,194,925 | (33,109,612) | (197,169,453) | (99,840,823) | |||
Distributions to shareholders | (8,257,900) | (8,977,200) | (49,617,050) | (56,284,500) | |||
Share transactions | |||||||
Proceeds from sales of shares | 78,638,097 | 135,066,634 | 60,330,330 | 475,187,190 | |||
Cost of shares redeemed | (86,290,107) | (187,299,301) | (556,592,493) | (331,089,835) | |||
Net increase (decrease) in net assets resulting from share transactions | (7,652,010) | (52,232,667) | (496,262,163) | 144,097,355 | |||
Total increase (decrease) in net assets | 34,285,015 | (94,319,479) | (743,048,666) | (12,027,968) | |||
Net Assets | |||||||
Beginning of year | 449,817,101 | 544,136,580 | 1,772,587,243 | 1,784,615,211 | |||
End of year | $484,102,116 | $ 449,817,101 | $1,029,538,577 | $1,772,587,243 | |||
Other Information | |||||||
Shares | |||||||
Sold | 1,750,000 | 2,750,000 | 2,300,000 | 14,750,000 | |||
Redeemed | (2,000,000) | (4,100,000) | (22,150,000) | (10,900,000) | |||
Net increase (decrease) | (250,000) | (1,350,000) | (19,850,000) | 3,850,000 |
Annual Report | 94 |
Fidelity MSCI Utilities Index ETF | |||
Year ended July 31, 2023 | Year ended July 31, 2022 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 60,858,807 | $ 36,139,030 | |
Net realized gain (loss) | 43,485,679 | 48,300,677 | |
Change in net unrealized appreciation (depreciation) | (259,692,363) | 117,096,987 | |
Net increase (decrease) in net assets resulting from operations | (155,347,877) | 201,536,694 | |
Distributions to shareholders | (62,348,050) | (36,559,700) | |
Share transactions | |||
Proceeds from sales of shares | 400,446,151 | 1,236,559,491 | |
Cost of shares redeemed | (476,126,894) | (282,756,360) | |
Net increase (decrease) in net assets resulting from share transactions | (75,680,743) | 953,803,131 | |
Total increase (decrease) in net assets | (293,376,670) | 1,118,780,125 | |
Net Assets | |||
Beginning of year | 2,195,072,368 | 1,076,292,243 | |
End of year | $1,901,695,698 | $2,195,072,368 | |
Other Information | |||
Shares | |||
Sold | 8,900,000 | 27,150,000 | |
Redeemed | (10,950,000) | (6,400,000) | |
Net increase (decrease) | (2,050,000) | 20,750,000 |
95 | Annual Report |
Fidelity MSCI Communication Services Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 36.92 | $ 54.87 | $ 37.88 | $ 34.35 | $ 28.76 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.33 | 0.45 | 0.34 | 0.33 | 0.49 | ||||
Net realized and unrealized gain (loss) | 5.67 | (17.95) | 16.96 | 3.52 | 5.59 | ||||
Total from investment operations | 6.00 | (17.50) | 17.30 | 3.85 | 6.08 | ||||
Distributions from net investment income | (0.31) | (0.45) | (0.31) | (0.32) | (0.49) | ||||
Total distributions | (0.31) | (0.45) | (0.31) | (0.32) | (0.49) | ||||
Net asset value, end of period | $ 42.61 | $ 36.92 | $ 54.87 | $ 37.88 | $ 34.35 | ||||
Total ReturnC | 16.44% | (32.06)% | 45.81% | 11.40% | 21.33% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .92% | .95% | .72% | .96% | 1.53% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $798,855 | $561,246 | $916,375 | $577,709 | $374,389 | ||||
Portfolio turnover rateE,F | 18% | 21% | 13% | 23% | 82% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 96 |
Fidelity MSCI Consumer Discretionary Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 69.53 | $ 81.37 | $ 57.25 | $ 46.25 | $ 43.32 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.63 | 0.55 | 0.42 | 0.50 | 0.51 | ||||
Net realized and unrealized gain (loss) | 6.24 | (11.81) | 24.10 | 11.01 | 2.96 | ||||
Total from investment operations | 6.87 | (11.26) | 24.52 | 11.51 | 3.47 | ||||
Distributions from net investment income | (0.60) | (0.58) | (0.40) | (0.51) | (0.54) | ||||
Total distributions | (0.60) | (0.58) | (0.40) | (0.51) | (0.54) | ||||
Net asset value, end of period | $ 75.80 | $ 69.53 | $ 81.37 | $ 57.25 | $ 46.25 | ||||
Total ReturnC | 10.04% | (13.89)% | 42.95% | 25.26% | 8.15% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .96% | .71% | .58% | 1.06% | 1.18% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,296,142 | $1,175,016 | $1,631,531 | $881,589 | $728,457 | ||||
Portfolio turnover rateE,F | 12% | 8% | 48% | 60% | 25% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
97 | Annual Report |
Fidelity MSCI Consumer Staples Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 44.75 | $ 43.30 | $ 37.29 | $ 35.59 | $ 32.33 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.05 | 1.01 | 1.02 | 0.96 | 0.94 | ||||
Net realized and unrealized gain (loss) | 1.66 | 1.45 | 6.01 | 1.70 | 3.23 | ||||
Total from investment operations | 2.71 | 2.46 | 7.03 | 2.66 | 4.17 | ||||
Distributions from net investment income | (1.04) | (1.01) | (1.02) | (0.96) | (0.91) | ||||
Total distributions | (1.04) | (1.01) | (1.02) | (0.96) | (0.91) | ||||
Net asset value, end of period | $ 46.42 | $ 44.75 | $ 43.30 | $ 37.29 | $ 35.59 | ||||
Total ReturnC | 6.20% | 5.79% | 19.09% | 7.74% | 13.16% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.35% | 2.27% | 2.53% | 2.68% | 2.83% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,239,319 | $1,058,359 | $818,283 | $678,649 | $548,070 | ||||
Portfolio turnover rateE,F | 9% | 8% | 20% | 34% | 30% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 98 |
Fidelity MSCI Energy Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 21.47 | $ 13.47 | $ 9.47 | $ 16.79 | $ 21.50 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.78 | 0.65 | 0.49 | 0.51 | 0.54 | ||||
Net realized and unrealized gain (loss) | 2.57 | 8.02 | 4.02 | (6.86) | (4.70) | ||||
Total from investment operations | 3.35 | 8.67 | 4.51 | (6.35) | (4.16) | ||||
Distributions from net investment income | (0.82) | (0.67) | (0.51) | (0.97) | (0.55) | ||||
Total distributions | (0.82) | (0.67) | (0.51) | (0.97) | (0.55) | ||||
Net asset value, end of period | $ 24.00 | $ 21.47 | $ 13.47 | $ 9.47 | $ 16.79 | ||||
Total ReturnC | 16.10% | 65.70% | 48.79% | (39.28)% | (19.42)% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 3.44% | 3.59% | 4.11% | 4.18% | 2.92% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,607,042 | $1,487,577 | $894,058 | $449,325 | $467,628 | ||||
Portfolio turnover rateE,F | 8% | 8% | 11% | 17% | 6% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
99 | Annual Report |
Fidelity MSCI Financials Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 47.97 | $ 52.19 | $ 34.12 | $ 41.22 | $ 41.05 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.07 | 1.05 | 0.96 | 1.00 | 0.89 | ||||
Net realized and unrealized gain (loss) | 1.91 | (4.19) | 18.00 | (7.09) | 0.18 | ||||
Total from investment operations | 2.98 | (3.14) | 18.96 | (6.09) | 1.07 | ||||
Distributions from net investment income | (1.09) | (1.08) | (0.89) | (1.01) | (0.90) | ||||
Total distributions | (1.09) | (1.08) | (0.89) | (1.01) | (0.90) | ||||
Net asset value, end of period | $ 49.86 | $ 47.97 | $ 52.19 | $ 34.12 | $ 41.22 | ||||
Total ReturnC | 6.44% | (6.11)% | 56.15% | (14.78)% | 2.80% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.25% | 1.97% | 2.10% | 2.61% | 2.27% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,431,064 | $1,549,499 | $1,716,935 | $725,059 | $1,143,858 | ||||
Portfolio turnover rateE,F | 28% | 6% | 4% | 6% | 5% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 100 |
Fidelity MSCI Health Care Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 63.02 | $ 66.04 | $ 52.34 | $ 44.43 | $ 43.72 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.88 | 0.81 | 0.75 | 0.72 | 0.63 | ||||
Net realized and unrealized gain (loss) | 0.76 | (3.00) | 13.74 | 7.88 | 1.01 | ||||
Total from investment operations | 1.64 | (2.19) | 14.49 | 8.60 | 1.64 | ||||
Distributions from net investment income | (0.88) | (0.83) | (0.79) | (0.69) | (0.93) | ||||
Total distributions | (0.88) | (0.83) | (0.79) | (0.69) | (0.93) | ||||
Net asset value, end of period | $ 63.78 | $ 63.02 | $ 66.04 | $ 52.34 | $ 44.43 | ||||
Total ReturnC | 2.65% | (3.32)% | 27.91% | 19.69% | 3.84% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.42% | 1.27% | 1.28% | 1.52% | 1.43% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $3,083,754 | $2,968,359 | $2,846,239 | $2,015,266 | $1,557,252 | ||||
Portfolio turnover rateE,F | 6% | 4% | 7% | 7% | 5% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
101 | Annual Report |
Fidelity MSCI Industrials Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 50.02 | $ 54.57 | $ 37.55 | $ 40.04 | $ 39.51 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.79 | 0.68 | 0.61 | 0.69 | 0.70 | ||||
Net realized and unrealized gain (loss) | 8.67 | (4.55) | 17.00 | (2.48) | 0.51 | ||||
Total from investment operations | 9.46 | (3.87) | 17.61 | (1.79) | 1.21 | ||||
Distributions from net investment income | (0.79) | (0.68) | (0.59) | (0.70) | (0.68) | ||||
Total distributions | (0.79) | (0.68) | (0.59) | (0.70) | (0.68) | ||||
Net asset value, end of period | $ 58.69 | $ 50.02 | $ 54.57 | $ 37.55 | $ 40.04 | ||||
Total ReturnC | 19.17% | (7.10)% | 47.17% | (4.34)% | 3.23% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.53% | 1.29% | 1.24% | 1.80% | 1.84% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $801,106 | $705,295 | $862,271 | $347,297 | $454,471 | ||||
Portfolio turnover rateE,F | 11% | 7% | 5% | 4% | 5% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 102 |
Fidelity MSCI Information Technology Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 109.42 | $ 121.70 | $ 87.25 | $ 64.53 | $ 56.36 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.91 | 0.84 | 0.79 | 0.87 | 0.70 | ||||
Net realized and unrealized gain (loss) | 24.95 | (12.24) | 34.45 | 22.70 | 8.17 | ||||
Total from investment operations | 25.86 | (11.40) | 35.24 | 23.57 | 8.87 | ||||
Distributions from net investment income | (0.90) | (0.88) | (0.79) | (0.85) | (0.70) | ||||
Total distributions | (0.90) | (0.88) | (0.79) | (0.85) | (0.70) | ||||
Net asset value, end of period | $ 134.38 | $ 109.42 | $ 121.70 | $ 87.25 | $ 64.53 | ||||
Total ReturnC | 23.86% | (9.41)% | 40.57% | 36.99% | 15.94% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | .84% | .71% | .76% | 1.21% | 1.22% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $7,512,015 | $5,739,064 | $6,206,889 | $4,288,256 | $2,571,364 | ||||
Portfolio turnover rateE,F | 14% | 5% | 3% | 5% | 18% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
103 | Annual Report |
Fidelity MSCI Materials Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 43.88 | $ 46.91 | $ 32.90 | $ 32.63 | $ 34.70 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.82 | 0.83 | 0.71 | 0.65 | 0.65 | ||||
Net realized and unrealized gain (loss) | 4.53 | (3.01) | 13.98 | 0.30 | (2.08) | ||||
Total from investment operations | 5.35 | (2.18) | 14.69 | 0.95 | (1.43) | ||||
Distributions from net investment income | (0.82) | (0.85) | (0.68) | (0.68) | (0.64) | ||||
Total distributions | (0.82) | (0.85) | (0.68) | (0.68) | (0.64) | ||||
Net asset value, end of period | $ 48.41 | $ 43.88 | $ 46.91 | $ 32.90 | $ 32.63 | ||||
Total ReturnC | 12.41% | (4.68)% | 45.01% | 3.28% | (4.02)% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 1.85% | 1.77% | 1.66% | 2.08% | 2.05% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $484,102 | $449,817 | $544,137 | $164,486 | $199,043 | ||||
Portfolio turnover rateE,F | 4% | 4% | 4% | 3% | 12% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 104 |
Fidelity MSCI Real Estate Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 29.52 | $ 31.75 | $ 24.23 | $ 26.58 | $ 24.69 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.68 | 0.68 | 0.58 | 0.67 | 1.05 | ||||
Net realized and unrealized gain (loss) | (3.63) | (2.01) | 7.83 | (2.13) | 2.08 | ||||
Total from investment operations | (2.95) | (1.33) | 8.41 | (1.46) | 3.13 | ||||
Distributions from net investment income | (0.96) | (0.90) | (0.89) | (0.68) | (1.24) | ||||
Return of capital | — | — | — | (0.21) | — | ||||
Total distributions | (0.96) | (0.90) | (0.89) | (0.89) | (1.24) | ||||
Net asset value, end of period | $ 25.61 | $ 29.52 | $ 31.75 | $ 24.23 | $ 26.58 | ||||
Total ReturnC | (9.85)% | (4.25)% | 35.58% | (5.27)% | 13.19% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.66% | 2.20% | 2.16% | 2.62% | 4.20% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,029,539 | $1,772,587 | $1,784,615 | $1,066,154 | $844,003 | ||||
Portfolio turnover rateE,F | 9% | 11% | 8% | 9% | 10% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
105 | Annual Report |
Fidelity MSCI Utilities Index ETF | |||||||||
Year ended July 31, 2023 | Year ended July 31, 2022 | Year ended July 31, 2021 | Year ended July 31, 2020 | Year ended July 31, 2019 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 47.72 | $ 42.63 | $ 39.11 | $ 39.21 | $ 34.85 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.29 | 1.19 | 1.21 | 1.23 | 1.16 | ||||
Net realized and unrealized gain (loss) | (4.42) | 5.11 | 3.56 | (0.09) | 4.32 | ||||
Total from investment operations | (3.13) | 6.30 | 4.77 | 1.14 | 5.48 | ||||
Distributions from net investment income | (1.32) | (1.21) | (1.25) | (1.24) | (1.12) | ||||
Total distributions | (1.32) | (1.21) | (1.25) | (1.24) | (1.12) | ||||
Net asset value, end of period | $ 43.27 | $ 47.72 | $ 42.63 | $ 39.11 | $ 39.21 | ||||
Total ReturnC | (6.63)% | 15.10% | 12.46% | 3.13% | 15.93% | ||||
Ratios to Average Net AssetsA,D | |||||||||
Expenses before reductions | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of fee waivers, if any | .08% | .08% | .08% | .08% | .08% | ||||
Expenses net of all reductions | .08% | .08% | .08% | .08% | .08% | ||||
Net investment income (loss) | 2.89% | 2.66% | 2.96% | 3.06% | 3.11% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,901,696 | $2,195,072 | $1,076,292 | $844,807 | $733,190 | ||||
Portfolio turnover rateE,F | 4% | 3% | 5% | 5% | 7% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
E | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
F | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 106 |
For the period ended July 31, 2023
107 | 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.
Annual Report | 108 |
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 802,994,551 | $ 119,467,861 | $ (123,695,888) | $ (4,228,027) |
Fidelity MSCI Consumer Discretionary Index ETF | 1,211,626,998 | 154,974,189 | (70,970,499) | 84,003,690 |
Fidelity MSCI Consumer Staples Index ETF | 1,122,831,478 | 162,544,281 | (47,583,152) | 114,961,129 |
Fidelity MSCI Energy Index ETF | 1,180,202,910 | 433,528,814 | (7,477,756) | 426,051,058 |
Fidelity MSCI Financials Index ETF | 1,312,658,309 | 199,337,711 | (82,226,547) | 117,111,164 |
Fidelity MSCI Health Care Index ETF | 2,528,583,417 | 711,274,013 | (160,462,044) | 550,811,969 |
Fidelity MSCI Industrials Index ETF | 692,807,630 | 148,620,069 | (42,031,464) | 106,588,605 |
Fidelity MSCI Information Technology Index ETF | 4,525,389,955 | 3,108,087,587 | (122,850,247) | 2,985,237,340 |
Fidelity MSCI Materials Index ETF | 482,350,077 | 50,268,649 | (48,134,482) | 2,134,167 |
Fidelity MSCI Real Estate Index ETF | 1,188,882,695 | 33,695,118 | (193,700,734) | (160,005,616) |
Fidelity MSCI Utilities Index ETF | 1,995,018,583 | 53,223,593 | (147,536,699) | (94,313,106) |
Undistributed ordinary income | Undistributed capital gains | Capital loss carryforward | Net unrealized appreciation (depreciation) | |
Fidelity MSCI Communication Services Index ETF | $ 1,187,175 | $ — | $ (63,602,805) | $ (4,228,027) |
Fidelity MSCI Consumer Discretionary Index ETF | 424,929 | — | (57,507,069) | 84,003,690 |
Fidelity MSCI Consumer Staples Index ETF | 1,543,212 | — | (23,852,495) | 114,961,129 |
Fidelity MSCI Energy Index ETF | — | — | (125,429,556) | 426,051,059 |
Fidelity MSCI Financials Index ETF | 655,050 | — | (128,039,017) | 117,111,164 |
Fidelity MSCI Health Care Index ETF | 3,522,595 | — | (60,390,310) | 550,811,969 |
Fidelity MSCI Industrials Index ETF | 403,819 | — | (21,492,976) | 106,588,605 |
Fidelity MSCI Information Technology Index ETF | 2,555,564 | — | (137,593,846) | 2,985,237,340 |
Fidelity MSCI Materials Index ETF | 189,035 | — | (15,709,985) | 2,134,168 |
Fidelity MSCI Real Estate Index ETF | — | — | (67,038,305) | (160,005,616) |
Fidelity MSCI Utilities Index ETF | — | — | (31,684,148) | (94,313,107) |
Short-term | Long-term | Total capital loss carryforward | |
Fidelity MSCI Communication Services Index ETF | $ (12,527,615) | $ (51,075,190) | $ (63,602,805) |
Fidelity MSCI Consumer Discretionary Index ETF | (24,098,329) | (33,408,740) | (57,507,069) |
Fidelity MSCI Consumer Staples Index ETF | (4,439,041) | (19,413,454) | (23,852,495) |
Fidelity MSCI Energy Index ETF | (12,384,426) | (113,045,130) | (125,429,556) |
Fidelity MSCI Financials Index ETF | (20,040,330) | (107,998,687) | (128,039,017) |
Fidelity MSCI Health Care Index ETF | (6,410,461) | (53,979,849) | (60,390,310) |
Fidelity MSCI Industrials Index ETF | (5,152,790) | (16,340,186) | (21,492,976) |
Fidelity MSCI Information Technology Index ETF | (55,593,811) | (82,000,035) | (137,593,846) |
Fidelity MSCI Materials Index ETF | (5,547,025) | (10,162,960) | (15,709,985) |
Fidelity MSCI Real Estate Index ETF | (30,074,995) | (36,963,310) | (67,038,305) |
Fidelity MSCI Utilities Index ETF | (14,132,423) | (17,551,725) | (31,684,148) |
July 31, 2023 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Communication Services Index ETF | $ 4,996,850 | $ — | $ — | $ 4,996,850 |
109 | Annual Report |
July 31, 2023 | ||||
Ordinary Income | Long-Term Capital Gain | Tax Return Of Capital | Total | |
Fidelity MSCI Consumer Discretionary Index ETF | $ 10,020,850 | $ — | $ — | $ 10,020,850 |
Fidelity MSCI Consumer Staples Index ETF | 26,225,300 | — | — | 26,225,300 |
Fidelity MSCI Energy Index ETF | 55,155,850 | — | — | 55,155,850 |
Fidelity MSCI Financials Index ETF | 33,588,200 | — | — | 33,588,200 |
Fidelity MSCI Health Care Index ETF | 42,324,300 | — | — | 42,324,300 |
Fidelity MSCI Industrials Index ETF | 10,658,050 | — | — | 10,658,050 |
Fidelity MSCI Information Technology Index ETF | 47,990,200 | — | — | 47,990,200 |
Fidelity MSCI Materials Index ETF | 8,257,900 | — | — | 8,257,900 |
Fidelity MSCI Real Estate Index ETF | 49,617,050 | — | — | 49,617,050 |
Fidelity MSCI Utilities Index ETF | 62,348,050 | — | — | 62,348,050 |
July 31, 2022 | ||||
Fidelity MSCI Communication Services Index ETF | $ 7,610,350 | $ — | $ — | $ 7,610,350 |
Fidelity MSCI Consumer Discretionary Index ETF | 11,050,200 | — | — | 11,050,200 |
Fidelity MSCI Consumer Staples Index ETF | 21,252,450 | — | — | 21,252,450 |
Fidelity MSCI Energy Index ETF | 46,175,650 | — | — | 46,175,650 |
Fidelity MSCI Financials Index ETF | 36,480,350 | — | — | 36,480,350 |
Fidelity MSCI Health Care Index ETF | 37,227,200 | — | — | 37,227,200 |
Fidelity MSCI Industrials Index ETF | 10,491,650 | — | — | 10,491,650 |
Fidelity MSCI Information Technology Index ETF | 46,200,150 | — | — | 46,200,150 |
Fidelity MSCI Materials Index ETF | 8,977,200 | — | — | 8,977,200 |
Fidelity MSCI Real Estate Index ETF | 56,284,500 | — | — | 56,284,500 |
Fidelity MSCI Utilities Index ETF | 36,559,700 | — | — | 36,559,700 |
Annual Report | 110 |
Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
Purchases ($) | Sales ($) | |
Fidelity MSCI Communication Services Index ETF | 103,872,087 | 103,208,073 |
Fidelity MSCI Consumer Discretionary Index ETF | 134,092,901 | 133,089,706 |
Fidelity MSCI Consumer Staples Index ETF | 99,010,859 | 98,767,335 |
Fidelity MSCI Energy Index ETF | 123,564,773 | 122,631,447 |
Fidelity MSCI Financials Index ETF | 411,686,188 | 415,158,838 |
Fidelity MSCI Health Care Index ETF | 192,666,970 | 190,384,112 |
Fidelity MSCI Industrials Index ETF | 74,260,755 | 75,068,365 |
Fidelity MSCI Information Technology Index ETF | 788,539,066 | 958,896,770 |
Fidelity MSCI Materials Index ETF | 19,354,385 | 17,980,038 |
Fidelity MSCI Real Estate Index ETF | 122,019,674 | 125,681,833 |
Fidelity MSCI Utilities Index ETF | 88,921,564 | 87,570,777 |
In-Kind Subscriptions ($) | In-Kind Redemptions ($) | |
Fidelity MSCI Communication Services Index ETF | 239,165,626 | 101,343,758 |
Fidelity MSCI Consumer Discretionary Index ETF | 119,676,252 | 101,597,369 |
Fidelity MSCI Consumer Staples Index ETF | 255,160,389 | 120,452,322 |
Fidelity MSCI Energy Index ETF | 197,228,993 | 237,280,659 |
Fidelity MSCI Financials Index ETF | 84,481,330 | 249,567,849 |
Fidelity MSCI Health Care Index ETF | 304,485,931 | 229,082,633 |
Fidelity MSCI Industrials Index ETF | 100,136,948 | 118,823,169 |
Fidelity MSCI Information Technology Index ETF | 1,611,998,045 | 1,014,967,256 |
Fidelity MSCI Materials Index ETF | 78,190,332 | 85,996,840 |
Fidelity MSCI Real Estate Index ETF | 59,768,606 | 548,737,215 |
Fidelity MSCI Utilities Index ETF | 397,370,077 | 472,788,843 |
111 | Annual Report |
Fee Rate | |
Fidelity MSCI Communication Services Index ETF | .084% |
Fidelity MSCI Consumer Discretionary Index ETF | .084% |
Fidelity MSCI Consumer Staples Index ETF | .084% |
Fidelity MSCI Energy Index ETF | .084% |
Fidelity MSCI Financials Index ETF | .084% |
Fidelity MSCI Health Care Index ETF | .084% |
Fidelity MSCI Industrials Index ETF | .084% |
Fidelity MSCI Information Technology Index ETF | .084% |
Fidelity MSCI Materials Index ETF | .084% |
Fidelity MSCI Real Estate Index ETF | .084% |
Fidelity MSCI Utilities Index ETF | .084% |
Annual Report | 112 |
113 | Annual Report |
Annual Report | 114 |
115 | Annual Report |
Annual Report | 116 |
117 | Annual Report |
Annual Report | 118 |
119 | Annual Report |
Annual Report | 120 |
121 | Annual Report |
Annualized Expense RatioA | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During PeriodB February 1, 2023 to July 31, 2023 | |
Fidelity MSCI Communication Services Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,196.10 | $ 0.44 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Discretionary Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,163.20 | $ 0.43 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Consumer Staples Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,050.50 | $ 0.41 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Energy Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 996.70 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Financials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 976.20 | $ 0.39 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Health Care Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,012.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Industrials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,106.70 | $ 0.42 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 |
Annual Report | 122 |
Annualized Expense RatioA | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During PeriodB February 1, 2023 to July 31, 2023 | |
Fidelity MSCI Information Technology Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,301.60 | $ 0.46 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Materials Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 1,021.00 | $ 0.40 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Real Estate Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 955.90 | $ 0.39 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 | |
Fidelity MSCI Utilities Index ETF | 0.08% | |||
Actual | $ 1,000.00 | $ 979.70 | $ 0.39 | |
Hypothetical C | $ 1,000.00 | $ 1,024.40 | $ 0.40 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
123 | Annual Report |
September 2022 | December 2022 | March 2023 | June 2023 | |
Fidelity MSCI Communication Services Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Financials Index ETF | 94% | 94% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 97% | 97% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 78% | 78% | 89% | 89% |
Fidelity MSCI Real Estate Index ETF | 1% | 1% | 0% | 0% |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
September 2022 | December 2022 | March 2023 | June 2023 | |
Fidelity MSCI Communication Services Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Discretionary Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Consumer Staples Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Energy Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Financials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Health Care Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Industrials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Information Technology Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Materials Index ETF | 100% | 100% | 100% | 100% |
Fidelity MSCI Real Estate Index ETF | 0.55% | 0.55% | 0.41% | 0.41% |
Fidelity MSCI Utilities Index ETF | 100% | 100% | 100% | 100% |
March 2022 | June 2022 | September 2022 | December 2022 | |
Fidelity MSCI Real Estate Index ETF | 60.72% | 60.72% | 69.16% | 69.16% |
Annual Report | 124 |
125 | Annual Report |
Annual Report | 126 |
127 | Annual Report |
Annual Report | 128 |
Item 2. | Code of Ethics |
As of the end of the period, July 31, 2023, Fidelity Covington Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert |
The Board of Trustees of the trust has determined that Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue is independent for purposes of Item 3 of Form N-CSR.
Item 4. | Principal Accountant Fees and Services |
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity MSCI Communication Services Index ETF, Fidelity MSCI Consumer Discretionary Index ETF, Fidelity MSCI Consumer Staples Index ETF, Fidelity MSCI Energy Index ETF, Fidelity MSCI Financials Index ETF, Fidelity MSCI Health Care Index ETF, Fidelity MSCI Industrials Index ETF, Fidelity MSCI Information Technology Index ETF, Fidelity MSCI Materials Index ETF, Fidelity MSCI Real Estate Index ETF, and Fidelity MSCI Utilities Index ETF (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2023 FeesA
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity MSCI Communication Services Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 14,100 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 14,100 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Materials Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 14,000 | $ | — | $ | 3,800 | $ | 400 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 14,100 | $ | — | $ | 3,800 | $ | 400 |
July 31, 2022 FeesA
Audit Fees | Audit- Related Fees | Tax Fees | All Other Fees | |||||||||||||
Fidelity MSCI Communication Services Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Consumer Discretionary Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Consumer Staples Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Energy Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Financials Index ETF | $ | 12,900 | $ | — | $ | 4,800 | $ | 300 | ||||||||
Fidelity MSCI Health Care Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Industrials Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Information Technology Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Materials Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 | ||||||||
Fidelity MSCI Real Estate Index ETF | $ | 12,900 | $ | — | $ | 5,100 | $ | 300 | ||||||||
Fidelity MSCI Utilities Index ETF | $ | 12,900 | $ | — | $ | 4,600 | $ | 300 |
A | Amounts may reflect rounding. |
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
July 31, 2023A | July 31, 2022A | |||||||
Audit-Related Fees | $ | — | $ | — | ||||
Tax Fees | $ | — | $ | — | ||||
All Other Fees | $ | — | $ | — |
A | Amounts may reflect rounding. |
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund’s financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | July 31, 2023A | July 31, 2022A | ||||||
Deloitte Entities | $ | 288,800 | $ | 512,200 |
A | Amounts may reflect rounding. |
The trust’s Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its (their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5. | Audit Committee of Listed Registrants |
The Audit Committee is a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of July 31, 2023, the members of the Audit Committee were Donald Donahue, Thomas Bostick, Thomas Kennedy and Susan Tomasky.
Item 6. | Investments |
(a) | Not applicable. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11. | Controls and Procedures |
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Covington Trust
By: | /s/ Stacie M. Smith | |
Stacie M. Smith | ||
President and Treasurer | ||
Date: | September 21, 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: | September 21, 2023 |
By: | /s/ John J. Burke III | |
John J. Burke III | ||
Chief Financial Officer | ||
Date: | September 21, 2023 |