Quarterly Holdings Report
for
Fidelity® Emerging Markets Multifactor ETF
July 31, 2023
EMK-NPRT3-0923
1.9893930.104
Common Stocks - 96.7% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 13.8% | |||
Diversified Telecommunication Services - 4.8% | |||
China Tower Corp. Ltd. (H Shares) (a) | 1,720,000 | 194,084 | |
Chunghwa Telecom Co. Ltd. | 64,000 | 236,234 | |
LG Uplus Corp. | 21,771 | 170,971 | |
PT Sarana Menara Nusantara Tbk | 2,522,100 | 169,757 | |
PT Telkom Indonesia Persero Tbk | 890,200 | 219,598 | |
Telekom Malaysia Bhd | 158,400 | 178,810 | |
TIME dotCom Bhd | 151,500 | 180,429 | |
1,349,883 | |||
Entertainment - 1.4% | |||
International Games Systems Co. Ltd. | 11,000 | 214,564 | |
Tencent Music Entertainment Group ADR (b) | 23,114 | 161,567 | |
376,131 | |||
Interactive Media & Services - 2.1% | |||
Autohome, Inc. ADR Class A | 5,212 | 166,628 | |
Hello Group, Inc. ADR | 17,164 | 182,797 | |
Info Edge India Ltd. | 4,437 | 247,456 | |
596,881 | |||
Media - 1.1% | |||
Cheil Worldwide, Inc. | 11,466 | 163,267 | |
MultiChoice Group Ltd. | 30,768 | 153,133 | |
316,400 | |||
Wireless Telecommunication Services - 4.4% | |||
CelcomDigi Bhd | 194,400 | 190,563 | |
Far EasTone Telecommunications Co. Ltd. | 89,000 | 201,072 | |
Intouch Holdings PCL NVDR | 87,000 | 195,713 | |
Maxis Bhd | 202,900 | 181,796 | |
Mobile TeleSystems OJSC sponsored ADR (b)(c) | 15,647 | 15,584 | |
TIM SA | 76,100 | 229,401 | |
Turkcell Iletisim Hizmet A/S | 115,954 | 222,634 | |
1,236,763 | |||
TOTAL COMMUNICATION SERVICES | 3,876,058 | ||
CONSUMER DISCRETIONARY - 9.9% | |||
Automobile Components - 0.4% | |||
Hankook Tire Co. Ltd. | 3,897 | 118,318 | |
Automobiles - 1.5% | |||
Bajaj Auto Ltd. | 2,426 | 145,456 | |
Dongfeng Motor Group Co. Ltd. (H Shares) | 156,000 | 72,812 | |
Eicher Motors Ltd. | 3,033 | 124,106 | |
Li Auto, Inc. ADR (b) | 1,745 | 74,686 | |
417,060 | |||
Broadline Retail - 3.4% | |||
Alibaba Group Holding Ltd. sponsored ADR (b) | 5,377 | 549,314 | |
Coupang, Inc. Class A (b) | 3,103 | 56,319 | |
El Puerto de Liverpool S.A.B. Dcv Series C | 6,400 | 40,218 | |
JD.com, Inc.: | |||
Class A | 1,173 | 24,035 | |
sponsored ADR | 2,754 | 113,768 | |
MINISO Group Holding Ltd. ADR | 649 | 13,635 | |
PDD Holdings, Inc. ADR (b) | 1,544 | 138,682 | |
Vipshop Holdings Ltd. ADR (b) | 1,334 | 25,119 | |
961,090 | |||
Diversified Consumer Services - 0.4% | |||
China Education Group Holdings Ltd. | 63,000 | 58,002 | |
New Oriental Education & Technology Group, Inc. sponsored ADR (b) | 532 | 29,861 | |
TAL Education Group ADR (b) | 2,062 | 16,867 | |
104,730 | |||
Hotels, Restaurants & Leisure - 1.6% | |||
H World Group Ltd. ADR (b) | 499 | 23,972 | |
Jiumaojiu International Holdings Ltd. (a) | 39,000 | 76,213 | |
MakeMyTrip Ltd. (b) | 306 | 8,804 | |
Tongcheng Travel Holdings Ltd. (b) | 43,200 | 104,030 | |
TravelSky Technology Ltd. (H Shares) | 58,000 | 110,813 | |
Trip.com Group Ltd. ADR (b) | 1,608 | 65,992 | |
Yum China Holdings, Inc. | 1,229 | 74,994 | |
464,818 | |||
Household Durables - 0.4% | |||
Haier Smart Home Co. Ltd. | 32,600 | 106,386 | |
Specialty Retail - 1.3% | |||
Abu Dhabi National Oil Co. for Distribution PJSC | 86,405 | 91,744 | |
Jumbo SA | 5,582 | 167,031 | |
Topsports International Holdings Ltd. (a) | 104,000 | 95,349 | |
354,124 | |||
Textiles, Apparel & Luxury Goods - 0.9% | |||
Bosideng International Holdings Ltd. | 172,000 | 78,516 | |
Fila Holdings Corp. | 3,285 | 102,314 | |
Pou Chen Corp. | 80,000 | 79,551 | |
260,381 | |||
TOTAL CONSUMER DISCRETIONARY | 2,786,907 | ||
CONSUMER STAPLES - 9.6% | |||
Beverages - 1.1% | |||
Arca Continental S.A.B. de CV | 30,600 | 307,347 | |
Consumer Staples Distribution & Retail - 1.2% | |||
Bim Birlesik Magazalar A/S JSC | 44,038 | 353,426 | |
Food Products - 2.4% | |||
Indofood Sukses Makmur Tbk PT | 496,400 | 241,123 | |
Orion Corp./Republic of Korea | 2,244 | 199,815 | |
WH Group Ltd. (a) | 421,000 | 227,810 | |
668,748 | |||
Household Products - 1.1% | |||
Kimberly-Clark de Mexico SA de CV Series A | 130,300 | 306,744 | |
Personal Care Products - 1.9% | |||
Hengan International Group Co. Ltd. | 52,000 | 213,702 | |
Hindustan Unilever Ltd. | 10,072 | 313,590 | |
527,292 | |||
Tobacco - 1.9% | |||
ITC Ltd. | 57,566 | 325,944 | |
KT&G Corp. | 3,231 | 209,376 | |
535,320 | |||
TOTAL CONSUMER STAPLES | 2,698,877 | ||
ENERGY - 8.2% | |||
Oil, Gas & Consumable Fuels - 8.2% | |||
China Shenhua Energy Co. Ltd. (H Shares) | 103,500 | 309,225 | |
Coal India Ltd. | 110,469 | 307,908 | |
Exxaro Resources Ltd. | 20,064 | 182,794 | |
Gazprom OAO (c) | 14,450 | 1,532 | |
Inner Mongolia Yitai Coal Co. Ltd. (B Shares) | 184,637 | 271,416 | |
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) | 34,067 | 269,763 | |
PT Adaro Energy Indonesia Tbk | 1,457,900 | 232,993 | |
PT United Tractors Tbk | 173,000 | 315,771 | |
PTT Exploration and Production PCL NVDR | 57,700 | 268,872 | |
Surgutneftegas OJSC (c) | 56,600 | 702 | |
Thungela Resources Ltd. | 19,616 | 147,177 | |
2,308,153 | |||
FINANCIALS - 19.2% | |||
Banks - 14.4% | |||
Abu Dhabi Islamic Bank (b) | 48,260 | 147,682 | |
Agricultural Bank of China Ltd. (H Shares) | 339,000 | 123,017 | |
Akbank TAS | 148,772 | 154,370 | |
Al Rajhi Bank | 9,054 | 180,037 | |
Alinma Bank | 10,320 | 101,781 | |
Banco de Chile | 881,074 | 98,025 | |
Banco del Bajio SA (a) | 24,600 | 75,188 | |
Banco do Brasil SA | 15,100 | 152,966 | |
Bank Albilad | 6,734 | 78,530 | |
Bank of Baroda | 33,291 | 81,842 | |
Bank of China Ltd. (H Shares) | 452,000 | 167,500 | |
China CITIC Bank Corp. Ltd. (H Shares) | 177,000 | 85,337 | |
Far Eastern International Bank | 236,000 | 88,989 | |
Federal Bank Ltd. | 39,524 | 65,186 | |
Haci Omer Sabanci Holding A/S | 59,022 | 126,256 | |
HDFC Bank Ltd. | 15,926 | 319,725 | |
Hong Leong Bank Bhd | 19,100 | 82,940 | |
ICICI Bank Ltd. | 21,704 | 263,434 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 385,000 | 187,595 | |
Krung Thai Bank PCL NVDR | 160,100 | 95,886 | |
PT Bank Central Asia Tbk | 317,000 | 191,819 | |
PT Bank Mandiri (Persero) Tbk | 387,200 | 146,997 | |
Sberbank of Russia (c) | 38,410 | 239 | |
Standard Bank Group Ltd. | 11,187 | 120,150 | |
State Bank of India | 14,462 | 109,051 | |
Taichung Commercial Bank Co. Ltd. | 219,305 | 103,977 | |
Taiwan Business Bank | 218,000 | 99,890 | |
Taiwan Cooperative Financial Holding Co. Ltd. | 131,000 | 122,553 | |
TCS Group Holding PLC GDR (b)(c) | 789 | 7,069 | |
The Shanghai Commercial & Savings Bank Ltd. | 71,885 | 100,760 | |
Turkiye Is Bankasi A/S Series C | 226,611 | 127,163 | |
VTB Bank OJSC (b)(c) | 91,900,000 | 3,558 | |
Woori Financial Group, Inc. | 10,233 | 93,527 | |
Yapi ve Kredi Bankasi A/S | 263,985 | 139,508 | |
4,042,547 | |||
Capital Markets - 0.8% | |||
China Cinda Asset Management Co. Ltd. (H Shares) | 508,000 | 53,414 | |
HDFC Asset Management Co. Ltd. (a) | 2,769 | 85,310 | |
Investec Ltd. | 12,296 | 77,183 | |
215,907 | |||
Consumer Finance - 0.3% | |||
Mahindra & Mahindra Financial Services Ltd. | 21,325 | 77,121 | |
Financial Services - 0.8% | |||
Kakao Pay Corp. (b) | 78 | 3,072 | |
Power Finance Corp. Ltd. | 37,095 | 117,894 | |
REC Ltd. | 43,203 | 106,604 | |
227,570 | |||
Insurance - 2.9% | |||
BB Seguridade Participacoes SA | 13,600 | 88,969 | |
China Life Insurance Co. Ltd. (H Shares) | 66,000 | 115,096 | |
China Taiping Insurance Group Ltd. | 59,200 | 65,738 | |
Db Insurance Co. Ltd. | 1,745 | 103,360 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 3,593 | 80,759 | |
Momentum Metropolitan Holdings | 69,165 | 73,740 | |
New China Life Insurance Co. Ltd. (H Shares) | 30,800 | 88,861 | |
People's Insurance Co. of China Group Ltd. (H Shares) | 239,000 | 91,632 | |
PICC Property & Casualty Co. Ltd. (H Shares) | 96,000 | 112,019 | |
820,174 | |||
TOTAL FINANCIALS | 5,383,319 | ||
INDUSTRIALS - 2.8% | |||
Aerospace & Defense - 0.4% | |||
Bharat Electronics Ltd. | 35,713 | 56,751 | |
Hindustan Aeronautics Ltd. | 1,351 | 65,071 | |
121,822 | |||
Construction & Engineering - 0.2% | |||
China Railway Group Ltd. (H Shares) | 88,000 | 57,661 | |
Industrial Conglomerates - 1.5% | |||
CITIC Pacific Ltd. | 44,000 | 49,424 | |
Enka Insaat ve Sanayi A/S | 46,639 | 58,232 | |
Far Eastern New Century Corp. | 56,000 | 52,923 | |
GS Holdings Corp. | 1,173 | 34,694 | |
Hanwha Corp. | 1,756 | 42,500 | |
LG Corp. | 754 | 49,393 | |
PT Astra International Tbk | 252,600 | 114,742 | |
SK Square Co. Ltd. (b) | 308 | 10,729 | |
412,637 | |||
Machinery - 0.3% | |||
Yangzijiang Shipbuilding Holdings Ltd. | 60,800 | 70,517 | |
Transportation Infrastructure - 0.4% | |||
Grupo Aeroportuario Norte S.A.B. de CV | 5,300 | 59,910 | |
Promotora y Operadora de Infraestructura S.A.B. de CV | 4,845 | 50,317 | |
110,227 | |||
TOTAL INDUSTRIALS | 772,864 | ||
INFORMATION TECHNOLOGY - 15.4% | |||
Electronic Equipment, Instruments & Components - 3.4% | |||
Foxconn Technology Co. Ltd. | 50,000 | 88,619 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 63,000 | 217,508 | |
Kingboard Chemical Holdings Ltd. | 30,000 | 83,091 | |
L&F Co. Ltd. | 74 | 14,949 | |
Largan Precision Co. Ltd. | 1,000 | 69,209 | |
LG Display Co. Ltd. (b) | 693 | 7,334 | |
LG Innotek Co. Ltd. | 44 | 9,113 | |
Lotes Co. Ltd. | 3,077 | 73,042 | |
Samsung Electro-Mechanics Co. Ltd. | 180 | 20,533 | |
Samsung SDI Co. Ltd. | 170 | 88,691 | |
Simplo Technology Co. Ltd. | 9,000 | 88,063 | |
SINBON Electronics Co. Ltd. | 10,000 | 107,075 | |
Zhen Ding Technology Holding Ltd. | 25,000 | 83,528 | |
950,755 | |||
IT Services - 1.6% | |||
HCL Technologies Ltd. | 4,096 | 55,612 | |
Infosys Ltd. | 11,630 | 191,696 | |
Samsung SDS Co. Ltd. | 132 | 13,286 | |
Tata Consultancy Services Ltd. | 3,377 | 140,479 | |
Tech Mahindra Ltd. | 2,908 | 39,440 | |
440,513 | |||
Semiconductors & Semiconductor Equipment - 3.2% | |||
ASE Technology Holding Co. Ltd. | 36,000 | 131,163 | |
Chipbond Technology Corp. | 45,000 | 99,375 | |
Daqo New Energy Corp. ADR (b) | 2,869 | 112,092 | |
DB HiTek Co. Ltd. | 126 | 5,832 | |
Global Unichip Corp. | 3,000 | 156,078 | |
Leeno Industrial, Inc. | 28 | 3,704 | |
Novatek Microelectronics Corp. | 9,000 | 121,426 | |
Radiant Opto-Electronics Corp. | 27,000 | 103,527 | |
SK Hynix, Inc. | 1,648 | 159,544 | |
892,741 | |||
Software - 0.1% | |||
Tata Elxsi Ltd. | 257 | 22,371 | |
Technology Hardware, Storage & Peripherals - 7.1% | |||
ASUSTeK Computer, Inc. | 12,000 | 138,991 | |
Catcher Technology Co. Ltd. | 16,000 | 88,333 | |
Chicony Electronics Co. Ltd. | 32,000 | 106,407 | |
Gigabyte Technology Co. Ltd. | 24,000 | 239,798 | |
Lite-On Technology Corp. | 46,000 | 220,292 | |
Micro-Star International Co. Ltd. | 22,000 | 136,159 | |
Pegatron Corp. | 47,000 | 114,260 | |
Samsung Electronics Co. Ltd. | 17,646 | 966,299 | |
2,010,539 | |||
TOTAL INFORMATION TECHNOLOGY | 4,316,919 | ||
MATERIALS - 4.0% | |||
Chemicals - 1.4% | |||
Formosa Plastics Corp. | 27,000 | 71,481 | |
Kumho Petro Chemical Co. Ltd. | 519 | 48,901 | |
Mesaieed Petrochemical Holding Co. (b) | 115,995 | 62,140 | |
Petronas Chemicals Group Bhd | 34,100 | 52,560 | |
Pidilite Industries Ltd. | 2,205 | 70,104 | |
Sabic Agriculture-Nutrients Co. | 2,211 | 84,984 | |
390,170 | |||
Construction Materials - 0.3% | |||
Ambuja Cements Ltd. | 13,823 | 77,813 | |
Metals & Mining - 1.8% | |||
African Rainbow Minerals Ltd. | 3,700 | 41,767 | |
MMC Norilsk Nickel PJSC (b)(c) | 188 | 1,267 | |
NMDC Ltd. | 37,756 | 53,823 | |
NMDC Steel Ltd. | 47,680 | 27,768 | |
POSCO | 375 | 188,875 | |
Shougang Fushan Resources Group Ltd. | 272,000 | 78,126 | |
Vale SA | 9,300 | 135,207 | |
526,833 | |||
Paper & Forest Products - 0.5% | |||
Empresas CMPC SA | 19,866 | 39,187 | |
PT Indah Kiat Pulp & Paper Tbk | 99,200 | 60,191 | |
Sappi Ltd. | 19,195 | 41,555 | |
140,933 | |||
TOTAL MATERIALS | 1,135,749 | ||
REAL ESTATE - 6.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
FIBRA Macquarie Mexican (REIT) (a) | 267,700 | 520,735 | |
Real Estate Management & Development - 5.0% | |||
C&D International Investment Group Ltd. | 143,175 | 389,207 | |
China Overseas Land and Investment Ltd. | 173,500 | 408,460 | |
Emaar Properties PJSC | 326,593 | 601,072 | |
1,398,739 | |||
TOTAL REAL ESTATE | 1,919,474 | ||
UTILITIES - 7.0% | |||
Electric Utilities - 1.7% | |||
CPFL Energia SA | 58,400 | 439,254 | |
Inter Rao Ues JSC (c) | 7,348,600 | 41,055 | |
480,309 | |||
Gas Utilities - 3.5% | |||
Beijing Enterprises Holdings Ltd. | 115,000 | 456,390 | |
GAIL India Ltd. | 365,669 | 529,506 | |
985,896 | |||
Independent Power and Renewable Electricity Producers - 1.8% | |||
NHPC Ltd. | 808,107 | 505,996 | |
TOTAL UTILITIES | 1,972,201 | ||
TOTAL COMMON STOCKS (Cost $26,648,518) | 27,170,521 | ||
Nonconvertible Preferred Stocks - 2.4% | |||
Shares | Value ($) | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
AK Transneft OAO (c) | 12 | 3,528 | |
FINANCIALS - 0.5% | |||
Banks - 0.5% | |||
Itausa-Investimentos Itau SA (PN) | 66,531 | 137,340 | |
MATERIALS - 0.2% | |||
Metals & Mining - 0.2% | |||
Bradespar SA (PN) | 5,700 | 28,146 | |
Metalurgica Gerdau SA (PN) | 12,900 | 37,287 | |
65,433 | |||
UTILITIES - 1.7% | |||
Electric Utilities - 1.7% | |||
Companhia Energetica de Minas Gerais (CEMIG) (PN) | 172,400 | 459,173 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $568,772) | 665,474 | ||
TOTAL INVESTMENT IN SECURITIES - 99.1% (Cost $27,217,290) | 27,835,995 |
NET OTHER ASSETS (LIABILITIES) - 0.9% (d) | 247,658 |
NET ASSETS - 100.0% | 28,083,653 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI Emerging Markets Index Contracts (United States) | 5 | Sep 2023 | 263,575 | 14,129 | 14,129 |
The notional amount of futures purchased as a percentage of Net Assets is 0.9% |
Legend
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,274,689 or 4.5% of net assets. |
(b) | Non-income producing |
(c) | Level 3 security |
(d) | Includes $7,878 of cash collateral to cover margin requirements for futures contracts. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.32% | - | 2,550,327 | 2,550,327 | 1,337 | - | - | - | 0.0% |
Total | - | 2,550,327 | 2,550,327 | 1,337 | - | - | - | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
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.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the stock market.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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