| Common Stocks - 97.3% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 3.2% | | | |
| Diversified Telecommunication Services - 0.9% | | | |
| ATN International, Inc. | | 21,590 | 680,193 |
| Bandwidth, Inc. (a) | | 71,513 | 1,305,827 |
| Lumen Technologies, Inc. (a) | | 1,747,288 | 2,725,769 |
| | | | 4,711,789 |
| Entertainment - 0.7% | | | |
| Eventbrite, Inc. (a) | | 26,378 | 144,551 |
| Lions Gate Entertainment Corp.: | | | |
| Class A (a)(b) | | 101,882 | 1,013,726 |
| Class B (a) | | 111,933 | 1,042,096 |
| Madison Square Garden Entertainment Corp. | | 32,491 | 1,273,972 |
| | | | 3,474,345 |
| Interactive Media & Services - 0.9% | | | |
| TrueCar, Inc. (a) | | 183,726 | 622,831 |
| Vimeo, Inc. (a) | | 264,167 | 1,080,443 |
| Yelp, Inc. (a) | | 78,580 | 3,096,052 |
| Zedge, Inc. (a) | | 20,374 | 56,436 |
| | | | 4,855,762 |
| Media - 0.7% | | | |
| John Wiley & Sons, Inc. Class A | | 77,844 | 2,968,192 |
| TEGNA, Inc. | | 46,250 | 690,975 |
| | | | 3,659,167 |
| Wireless Telecommunication Services - 0.0% | | | |
| Spok Holdings, Inc. (b) | | 7,760 | 123,772 |
TOTAL COMMUNICATION SERVICES | | | 16,824,835 |
| CONSUMER DISCRETIONARY - 12.7% | | | |
| Automobile Components - 0.7% | | | |
| American Axle & Manufacturing Holdings, Inc. (a) | | 58,031 | 427,108 |
| Cooper-Standard Holding, Inc. (a) | | 56,921 | 942,612 |
| The Goodyear Tire & Rubber Co. (a) | | 160,902 | 2,209,184 |
| | | | 3,578,904 |
| Automobiles - 0.5% | | | |
| Winnebago Industries, Inc. (b) | | 37,827 | 2,799,198 |
| Broadline Retail - 0.3% | | | |
| ContextLogic, Inc. (a)(b) | | 68,898 | 392,030 |
| Dillard's, Inc. Class A (b) | | 1,859 | 876,779 |
| | | | 1,268,809 |
| Diversified Consumer Services - 1.1% | | | |
| 2U, Inc. (a)(b) | | 512,054 | 199,547 |
| Chegg, Inc. (a) | | 64,186 | 485,888 |
| Duolingo, Inc. (a) | | 15,558 | 3,431,784 |
| Frontdoor, Inc. (a) | | 43,765 | 1,425,864 |
| | | | 5,543,083 |
| Hotels, Restaurants & Leisure - 1.9% | | | |
| Dine Brands Global, Inc. | | 2,968 | 137,953 |
| Everi Holdings, Inc. (a) | | 69,502 | 698,495 |
| International Game Technology PLC | | 102,644 | 2,318,728 |
| Light & Wonder, Inc. Class A (a) | | 19,651 | 2,006,171 |
| PlayAGS, Inc. (a) | | 19,403 | 174,239 |
| Sabre Corp. (a) | | 66,061 | 159,868 |
| Shake Shack, Inc. Class A (a) | | 10,768 | 1,120,195 |
| Sweetgreen, Inc. Class A (a) | | 12,728 | 321,509 |
| Texas Roadhouse, Inc. Class A | | 1,426 | 220,274 |
| Wingstop, Inc. | | 7,568 | 2,772,915 |
| | | | 9,930,347 |
| Household Durables - 4.1% | | | |
| Cavco Industries, Inc. (a) | | 4,369 | 1,743,493 |
| Flexsteel Industries, Inc. | | 15,210 | 567,333 |
| Green Brick Partners, Inc. (a) | | 36,502 | 2,198,515 |
| Installed Building Products, Inc. (b) | | 15,390 | 3,981,855 |
| KB Home | | 6,552 | 464,406 |
| M.D.C. Holdings, Inc. | | 3,959 | 249,061 |
| M/I Homes, Inc. (a) | | 25,217 | 3,436,825 |
| Meritage Homes Corp. | | 16,910 | 2,967,029 |
| Taylor Morrison Home Corp. (a) | | 42,254 | 2,626,931 |
| TRI Pointe Homes, Inc. (a) | | 89,009 | 3,441,088 |
| | | | 21,676,536 |
| Leisure Products - 0.0% | | | |
| Bowflex, Inc. (a) | | 101,318 | 1,925 |
| Specialty Retail - 4.1% | | | |
| Abercrombie & Fitch Co. Class A (a) | | 25,718 | 3,223,237 |
| American Eagle Outfitters, Inc. | | 39,835 | 1,027,345 |
| Asbury Automotive Group, Inc. (a) | | 3,373 | 795,286 |
| CarParts.com, Inc. (a) | | 175,919 | 284,989 |
| Carvana Co. Class A (a)(b) | | 51,224 | 4,503,102 |
| Murphy U.S.A., Inc. | | 6,337 | 2,656,470 |
| National Vision Holdings, Inc. (a) | | 40,082 | 888,217 |
| Sally Beauty Holdings, Inc. (a) | | 90,918 | 1,129,202 |
| Sonic Automotive, Inc. Class A (sub. vtg.) | | 22,811 | 1,298,858 |
| Stitch Fix, Inc. (a) | | 79,928 | 211,010 |
| The Aaron's Co., Inc. | | 13,584 | 101,880 |
| The Container Store Group, Inc. (a) | | 72,809 | 83,002 |
| The ODP Corp. (a) | | 46,886 | 2,487,302 |
| Upbound Group, Inc. | | 46,207 | 1,626,948 |
| Urban Outfitters, Inc. (a) | | 28,409 | 1,233,519 |
| Winmark Corp. | | 102 | 36,893 |
| | | | 21,587,260 |
| Textiles, Apparel & Luxury Goods - 0.0% | | | |
| Rocky Brands, Inc. | | 7,381 | 200,247 |
TOTAL CONSUMER DISCRETIONARY | | | 66,586,309 |
| CONSUMER STAPLES - 3.0% | | | |
| Beverages - 1.2% | | | |
| Coca-Cola Consolidated, Inc. Consolidated | | 3,711 | 3,141,028 |
| Primo Water Corp. | | 162,460 | 2,958,397 |
| | | | 6,099,425 |
| Consumer Staples Distribution & Retail - 0.2% | | | |
| Ingles Markets, Inc. Class A | | 10,845 | 831,595 |
| Natural Grocers by Vitamin Cottage, Inc. | | 18,110 | 326,886 |
| PriceSmart, Inc. | | 2,141 | 179,844 |
| | | | 1,338,325 |
| Food Products - 0.3% | | | |
| Fresh Del Monte Produce, Inc. | | 49,282 | 1,276,897 |
| Vital Farms, Inc. (a) | | 12,036 | 279,837 |
| | | | 1,556,734 |
| Personal Care Products - 1.2% | | | |
| BellRing Brands, Inc. (a) | | 28,505 | 1,682,650 |
| elf Beauty, Inc. (a) | | 23,034 | 4,515,355 |
| Herbalife Ltd. (a) | | 11,035 | 110,902 |
| | | | 6,308,907 |
| Tobacco - 0.1% | | | |
| Turning Point Brands, Inc. | | 7,340 | 215,062 |
| Vector Group Ltd. | | 27,254 | 298,704 |
| | | | 513,766 |
TOTAL CONSUMER STAPLES | | | 15,817,157 |
| ENERGY - 6.4% | | | |
| Energy Equipment & Services - 1.6% | | | |
| Archrock, Inc. | | 21,035 | 413,758 |
| Borr Drilling Ltd. | | 26,049 | 178,436 |
| Bristow Group, Inc. (a) | | 17,138 | 466,154 |
| DMC Global, Inc. (a) | | 608 | 11,850 |
| Helix Energy Solutions Group, Inc. (a) | | 126,005 | 1,365,894 |
| Helmerich & Payne, Inc. | | 5,243 | 220,521 |
| Kodiak Gas Services, Inc. | | 35,676 | 975,382 |
| Nabors Industries Ltd. (a) | | 12,090 | 1,041,312 |
| Nabors Industries Ltd. warrants 6/11/26 (a) | | 10,764 | 88,265 |
| Oceaneering International, Inc. (a) | | 81,243 | 1,901,086 |
| Oil States International, Inc. (a) | | 37,640 | 231,862 |
| Patterson-UTI Energy, Inc. | | 25,854 | 308,697 |
| Tidewater, Inc. (a) | | 9,445 | 868,940 |
| U.S. Silica Holdings, Inc. (a) | | 31,425 | 389,984 |
| | | | 8,462,141 |
| Oil, Gas & Consumable Fuels - 4.8% | | | |
| Ardmore Shipping Corp. | | 33,603 | 551,761 |
| California Resources Corp. | | 4,265 | 235,002 |
| Civitas Resources, Inc. | | 16,240 | 1,232,778 |
| CNX Resources Corp. (a) | | 37,168 | 881,625 |
| CONSOL Energy, Inc. | | 3,384 | 283,444 |
| Crescent Energy, Inc. Class A | | 44,962 | 535,048 |
| CVR Energy, Inc. | | 14,968 | 533,759 |
| Delek U.S. Holdings, Inc. | | 54,921 | 1,688,272 |
| DHT Holdings, Inc. | | 24,851 | 285,787 |
| Equitrans Midstream Corp. | | 39,940 | 498,851 |
| Frontline PLC (NY Shares) | | 1,235 | 28,874 |
| FutureFuel Corp. | | 26,492 | 213,261 |
| Green Plains, Inc. (a) | | 130,171 | 3,009,554 |
| Magnolia Oil & Gas Corp. Class A (b) | | 55,458 | 1,439,135 |
| Matador Resources Co. (b) | | 62,677 | 4,184,943 |
| Murphy Oil Corp. | | 91,009 | 4,159,111 |
| Overseas Shipholding Group, Inc. | | 13,921 | 89,094 |
| PBF Energy, Inc. Class A | | 6,601 | 380,020 |
| Permian Resource Corp. Class A | | 113,506 | 2,004,516 |
| Scorpio Tankers, Inc. | | 15,180 | 1,086,129 |
| Teekay Tankers Ltd. | | 16,104 | 940,635 |
| Uranium Energy Corp. (a) | | 59,672 | 402,786 |
| Vitesse Energy, Inc. (b) | | 25,497 | 605,044 |
| W&T Offshore, Inc. | | 2,143 | 5,679 |
| World Kinect Corp. | | 4,171 | 110,323 |
| | | | 25,385,431 |
TOTAL ENERGY | | | 33,847,572 |
| FINANCIALS - 15.4% | | | |
| Banks - 6.7% | | | |
| 1st Source Corp. | | 12,430 | 651,581 |
| Amalgamated Financial Corp. | | 4,733 | 113,592 |
| Ameris Bancorp | | 36,574 | 1,769,450 |
| Atlantic Union Bankshares Corp. | | 31,240 | 1,103,084 |
| Axos Financial, Inc. (a) | | 21,362 | 1,154,402 |
| BancFirst Corp. | | 30,239 | 2,661,939 |
| Bancorp, Inc., Delaware (a) | | 50,883 | 1,702,545 |
| Banner Corp. | | 19,500 | 936,000 |
| Berkshire Hills Bancorp, Inc. (b) | | 27,778 | 636,672 |
| Byline Bancorp, Inc. | | 9,874 | 214,463 |
| Cadence Bank | | 48,427 | 1,404,383 |
| Capital City Bank Group, Inc. | | 2,429 | 67,283 |
| Central Pacific Financial Corp. | | 24,495 | 483,776 |
| Community Bank System, Inc. | | 10,214 | 490,578 |
| Community Trust Bancorp, Inc. | | 7,292 | 311,004 |
| CVB Financial Corp. | | 44,740 | 798,162 |
| Financial Institutions, Inc. | | 15,341 | 288,718 |
| First Bancorp, Puerto Rico | | 140,152 | 2,458,266 |
| First Busey Corp. | | 36,594 | 880,086 |
| First Commonwealth Financial Corp. | | 24,443 | 340,247 |
| First Financial Bankshares, Inc. (b) | | 18,848 | 618,403 |
| Great Southern Bancorp, Inc. (b) | | 23,452 | 1,285,639 |
| Heartland Financial U.S.A., Inc. | | 39,895 | 1,402,309 |
| Hope Bancorp, Inc. | | 13,364 | 153,820 |
| Lakeland Financial Corp. (b) | | 35,964 | 2,385,132 |
| Mercantile Bank Corp. | | 3,454 | 132,944 |
| Midland States Bancorp, Inc. | | 9,002 | 226,220 |
| NBT Bancorp, Inc. | | 4,498 | 164,987 |
| Northfield Bancorp, Inc. (b) | | 8,489 | 82,513 |
| Northwest Bancshares, Inc. | | 48,558 | 565,701 |
| OFG Bancorp | | 28,193 | 1,037,784 |
| Peapack-Gladstone Financial Corp. | | 11,554 | 281,109 |
| Provident Financial Services, Inc. | | 183,152 | 2,668,525 |
| Renasant Corp. | | 42,594 | 1,334,044 |
| Sierra Bancorp | | 14,744 | 297,829 |
| Stellar Bancorp, Inc. (b) | | 15,553 | 378,871 |
| UMB Financial Corp. | | 25,955 | 2,257,825 |
| Univest Corp. of Pennsylvania | | 10,172 | 211,781 |
| Westamerica Bancorp. | | 22,130 | 1,081,714 |
| | | | 35,033,381 |
| Capital Markets - 3.2% | | | |
| Assetmark Financial Holdings, Inc. (a) | | 71,453 | 2,530,151 |
| BGC Group, Inc. Class A | | 400,055 | 3,108,427 |
| Federated Hermes, Inc. | | 69,395 | 2,506,547 |
| Oppenheimer Holdings, Inc. Class A (non-vtg.) | | 5,016 | 200,239 |
| Stifel Financial Corp. | | 23,766 | 1,857,788 |
| StoneX Group, Inc. (a) | | 31,957 | 2,245,299 |
| Virtus Investment Partners, Inc. | | 10,790 | 2,675,704 |
| WisdomTree Investments, Inc. | | 200,339 | 1,841,115 |
| | | | 16,965,270 |
| Consumer Finance - 0.9% | | | |
| EZCORP, Inc. (non-vtg.) Class A (a)(b) | | 66,526 | 753,740 |
| Green Dot Corp. Class A (a) | | 27,734 | 258,758 |
| LendingTree, Inc. (a) | | 21,639 | 916,195 |
| PROG Holdings, Inc. | | 76,717 | 2,642,133 |
| Regional Management Corp. | | 12,304 | 297,880 |
| | | | 4,868,706 |
| Financial Services - 1.7% | | | |
| AvidXchange Holdings, Inc. (a) | | 105,981 | 1,393,650 |
| Compass Diversified Holdings | | 48,625 | 1,170,404 |
| Federal Agricultural Mortgage Corp. Class C (non-vtg.) | | 10,701 | 2,106,813 |
| Flywire Corp. (a) | | 20,563 | 510,168 |
| i3 Verticals, Inc. Class A (a) | | 3,137 | 71,806 |
| Marqeta, Inc. Class A (a) | | 122,253 | 728,628 |
| Payoneer Global, Inc. (a) | | 186,511 | 906,443 |
| Remitly Global, Inc. (a) | | 25,435 | 527,522 |
| StoneCo Ltd. Class A (a) | | 55,731 | 925,692 |
| Waterstone Financial, Inc. | | 29,278 | 356,313 |
| | | | 8,697,439 |
| Insurance - 2.3% | | | |
| American Equity Investment Life Holding Co. (a) | | 6,597 | 370,883 |
| Amerisafe, Inc. (b) | | 11,125 | 558,141 |
| CNO Financial Group, Inc. | | 13,308 | 365,704 |
| Goosehead Insurance (a) | | 23,152 | 1,542,386 |
| HCI Group, Inc. | | 7,307 | 848,197 |
| Kinsale Capital Group, Inc. | | 5,221 | 2,739,668 |
| Lemonade, Inc. (a)(b) | | 57,078 | 936,650 |
| Oscar Health, Inc. (a) | | 73,802 | 1,097,436 |
| Selective Insurance Group, Inc. | | 35,556 | 3,881,649 |
| | | | 12,340,714 |
| Mortgage Real Estate Investment Trusts - 0.6% | | | |
| Apollo Commercial Real Estate Finance, Inc. (b) | | 43,755 | 487,431 |
| BrightSpire Capital, Inc. | | 77,826 | 536,221 |
| KKR Real Estate Finance Trust, Inc. (b) | | 113,618 | 1,142,997 |
| Ladder Capital Corp. Class A | | 52,310 | 582,210 |
| TPG RE Finance Trust, Inc. (b) | | 68,360 | 527,739 |
| | | | 3,276,598 |
TOTAL FINANCIALS | | | 81,182,108 |
| HEALTH CARE - 13.8% | | | |
| Biotechnology - 7.1% | | | |
| 2seventy bio, Inc. (a)(b) | | 51,604 | 276,081 |
| ACADIA Pharmaceuticals, Inc. (a) | | 36,868 | 681,689 |
| Adaptimmune Therapeutics PLC sponsored ADR (a)(b) | | 99,246 | 156,809 |
| Adicet Bio, Inc. (a) | | 136,682 | 321,203 |
| Adverum Biotechnologies, Inc. (a) | | 11,887 | 168,082 |
| Affimed NV (a)(b) | | 8,130 | 43,089 |
| Agenus, Inc. | | 349,039 | 202,443 |
| Agios Pharmaceuticals, Inc. (a) | | 2,198 | 64,270 |
| Akebia Therapeutics, Inc. (a)(b) | | 260,741 | 477,156 |
| Akero Therapeutics, Inc. (a) | | 3,863 | 97,579 |
| Alector, Inc. (a) | | 44,330 | 266,867 |
| Alkermes PLC (a) | | 40,617 | 1,099,502 |
| Allakos, Inc. (a) | | 207,759 | 261,776 |
| Allovir, Inc. (a) | | 74,178 | 55,997 |
| Alpine Immune Sciences, Inc. (a) | | 15,789 | 625,876 |
| Amicus Therapeutics, Inc. (a) | | 75,024 | 883,783 |
| Anika Therapeutics, Inc. (a) | | 5,612 | 142,545 |
| Annexon, Inc. (a) | | 51,874 | 371,937 |
| Arbutus Biopharma Corp. (a) | | 77,105 | 198,931 |
| Arcturus Therapeutics Holdings, Inc. (a) | | 18,126 | 612,115 |
| Arcus Biosciences, Inc. (a) | | 11,239 | 212,192 |
| Arcutis Biotherapeutics, Inc. (a)(b) | | 67,960 | 673,484 |
| Ardelyx, Inc. (a) | | 18,040 | 131,692 |
| Arrowhead Pharmaceuticals, Inc. (a) | | 16,199 | 463,291 |
| Assembly Biosciences, Inc. (a) | | 7,304 | 97,143 |
| Atara Biotherapeutics, Inc. (a) | | 141,105 | 97,927 |
| Atreca, Inc. (a) | | 951 | 76 |
| Beam Therapeutics, Inc. (a) | | 6,275 | 207,326 |
| Biohaven Ltd. (a) | | 12,557 | 686,742 |
| bluebird bio, Inc. (a) | | 80,242 | 102,710 |
| Blueprint Medicines Corp. (a) | | 8,162 | 774,247 |
| Bolt Biotherapeutics, Inc. (a)(b) | | 50,403 | 70,564 |
| BridgeBio Pharma, Inc. (a) | | 14,547 | 449,793 |
| CareDx, Inc. (a) | | 35,083 | 371,529 |
| Carisma Therapeutics, Inc. | | 15,136 | 34,359 |
| Carisma Therapeutics, Inc. rights (a)(c) | | 304,482 | 3 |
| Cartesian Therapeutics, Inc. | | 85,031 | 55,270 |
| Cartesian Therapeutics, Inc. rights (a)(c) | | 85,524 | 11,118 |
| Catalyst Pharmaceutical Partners, Inc. (a) | | 36,859 | 587,532 |
| Celldex Therapeutics, Inc. (a) | | 5,964 | 250,309 |
| Cerevel Therapeutics Holdings (a) | | 2,520 | 106,520 |
| Cogent Biosciences, Inc. (a) | | 17,825 | 119,784 |
| Coherus BioSciences, Inc. (a) | | 8,127 | 19,424 |
| Corbus Pharmaceuticals Holdings, Inc. (a) | | 4,811 | 188,784 |
| Crinetics Pharmaceuticals, Inc. (a) | | 6,943 | 325,002 |
| Cytokinetics, Inc. (a) | | 10,689 | 749,406 |
| CytomX Therapeutics, Inc. (a)(b) | | 106,063 | 231,217 |
| Denali Therapeutics, Inc. (a) | | 10,366 | 212,710 |
| Design Therapeutics, Inc. (a) | | 42,047 | 169,449 |
| Disc Medicine, Inc. (a) | | 4,559 | 283,843 |
| Dynavax Technologies Corp. (a) | | 8,781 | 108,972 |
| Dyne Therapeutics, Inc. (a) | | 15,419 | 437,745 |
| Eagle Pharmaceuticals, Inc. (a) | | 11,758 | 61,612 |
| Editas Medicine, Inc. (a)(b) | | 41,684 | 309,295 |
| Enanta Pharmaceuticals, Inc. (a) | | 15,785 | 275,606 |
| Erasca, Inc. (a) | | 40,382 | 83,187 |
| Fate Therapeutics, Inc. (a) | | 88,250 | 647,755 |
| FibroGen, Inc. (a) | | 168,502 | 395,980 |
| Fortress Biotech, Inc. (a)(b) | | 3,592 | 7,184 |
| Gritstone Bio, Inc. (a)(b) | | 94,549 | 242,991 |
| Halozyme Therapeutics, Inc. (a) | | 19,264 | 783,660 |
| Heron Therapeutics, Inc. (a) | | 174,779 | 484,138 |
| Ideaya Biosciences, Inc. (a) | | 5,932 | 260,296 |
| Immunovant, Inc. (a) | | 6,592 | 212,988 |
| Insmed, Inc. (a) | | 37,180 | 1,008,693 |
| Intellia Therapeutics, Inc. (a) | | 11,290 | 310,588 |
| Iovance Biotherapeutics, Inc. (a) | | 29,711 | 440,317 |
| Ironwood Pharmaceuticals, Inc. Class A (a) | | 48,938 | 426,250 |
| Jounce Therapeutics, Inc. rights (a)(c) | | 118,367 | 1 |
| Kalvista Pharmaceuticals, Inc. (a) | | 24,105 | 285,885 |
| Karyopharm Therapeutics, Inc. (a) | | 168,406 | 254,293 |
| Kodiak Sciences, Inc. (a) | | 81,234 | 427,291 |
| Krystal Biotech, Inc. (a) | | 2,238 | 398,207 |
| Kura Oncology, Inc. (a) | | 35,047 | 747,553 |
| Macrogenics, Inc. (a) | | 36,254 | 533,659 |
| Madrigal Pharmaceuticals, Inc. (a) | | 1,692 | 451,832 |
| Mersana Therapeutics, Inc. (a) | | 108,760 | 487,245 |
| MiMedx Group, Inc. (a) | | 19,997 | 153,977 |
| Mirum Pharmaceuticals, Inc. (a)(b) | | 10,551 | 265,041 |
| Mustang Bio, Inc. (a) | | 4,631 | 4,816 |
| Myriad Genetics, Inc. (a) | | 7,367 | 157,064 |
| Nkarta, Inc. (a) | | 29,824 | 322,397 |
| Nurix Therapeutics, Inc. (a) | | 31,764 | 466,931 |
| Oncternal Therapeutics, Inc. rights (a)(c) | | 1,148 | 0 |
| Organogenesis Holdings, Inc. Class A (a) | | 52,508 | 149,123 |
| ORIC Pharmaceuticals, Inc. (a) | | 40,068 | 550,935 |
| Ovid Therapeutics, Inc. (a) | | 43,854 | 133,755 |
| Precigen, Inc. (a) | | 139,584 | 202,397 |
| Protagonist Therapeutics, Inc. (a) | | 22,127 | 640,134 |
| PTC Therapeutics, Inc. (a) | | 20,769 | 604,170 |
| Puma Biotechnology, Inc. (a)(b) | | 47,510 | 251,803 |
| Q32 Bio, Inc. (a) | | 2,267 | 38,630 |
| Q32 Bio, Inc. rights (a)(c) | | 40,603 | 0 |
| RAPT Therapeutics, Inc. (a) | | 8,720 | 78,306 |
| Recursion Pharmaceuticals, Inc. (a)(b) | | 21,949 | 218,832 |
| Relay Therapeutics, Inc. (a) | | 30,719 | 254,968 |
| Revolution Medicines, Inc. (a) | | 17,172 | 553,454 |
| Rhythm Pharmaceuticals, Inc. (a) | | 3,423 | 148,319 |
| Rigel Pharmaceuticals, Inc. (a) | | 122,845 | 181,811 |
| Rocket Pharmaceuticals, Inc. (a) | | 23,146 | 623,553 |
| Sana Biotechnology, Inc. (a)(b) | | 40,593 | 405,930 |
| Sangamo Therapeutics, Inc. (a) | | 176,165 | 118,066 |
| SpringWorks Therapeutics, Inc. (a) | | 7,122 | 350,545 |
| Surface Oncology, Inc. rights (a)(c) | | 60,289 | 1 |
| Sutro Biopharma, Inc. (a) | | 49,256 | 278,296 |
| Syndax Pharmaceuticals, Inc. (a) | | 21,856 | 520,173 |
| Tenaya Therapeutics, Inc. (a) | | 48,214 | 252,159 |
| TG Therapeutics, Inc. (a) | | 13,460 | 204,727 |
| Travere Therapeutics, Inc. (a) | | 40,329 | 310,937 |
| Twist Bioscience Corp. (a) | | 19,598 | 672,407 |
| Vanda Pharmaceuticals, Inc. (a) | | 58,526 | 240,542 |
| Vaxcyte, Inc. (a) | | 14,349 | 980,180 |
| Vera Therapeutics, Inc. (a) | | 18,034 | 777,626 |
| Veracyte, Inc. (a) | | 4,911 | 108,828 |
| Vericel Corp. (a) | | 3,175 | 165,164 |
| Voyager Therapeutics, Inc. (a) | | 37,101 | 345,410 |
| Xbiotech, Inc. (a)(b) | | 12,886 | 104,763 |
| Y-mAbs Therapeutics, Inc. (a) | | 13,033 | 211,917 |
| Zentalis Pharmaceuticals, Inc. (a) | | 12,499 | 196,984 |
| Zymeworks, Inc. (a) | | 15,477 | 162,818 |
| | | | 37,182,288 |
| Health Care Equipment & Supplies - 3.3% | | | |
| Accuray, Inc. (a) | | 244,499 | 603,913 |
| Angiodynamics, Inc. (a) | | 13,261 | 77,842 |
| Artivion, Inc. (a) | | 40,275 | 852,219 |
| Atricure, Inc. (a) | | 38,376 | 1,167,398 |
| Avanos Medical, Inc. (a) | | 84,096 | 1,674,351 |
| AxoGen, Inc. (a) | | 12,403 | 100,092 |
| Axonics, Inc. (a) | | 2,645 | 182,426 |
| Cerus Corp. (a) | | 206,018 | 389,374 |
| Haemonetics Corp. (a) | | 9,411 | 803,229 |
| Inari Medical, Inc. (a) | | 26,941 | 1,292,629 |
| IRadimed Corp. | | 9 | 396 |
| Lantheus Holdings, Inc. (a) | | 38,430 | 2,391,883 |
| LivaNova PLC (a) | | 7,757 | 433,927 |
| Merit Medical Systems, Inc. (a) | | 25,810 | 1,955,108 |
| Omnicell, Inc. (a) | | 43,360 | 1,267,413 |
| RxSight, Inc. (a) | | 22,169 | 1,143,477 |
| SurModics, Inc. (a) | | 18,882 | 553,998 |
| Tactile Systems Technology, Inc. (a) | | 21,554 | 350,253 |
| Varex Imaging Corp. (a) | | 18,130 | 328,153 |
| Zimvie, Inc. (a) | | 89,949 | 1,483,259 |
| | | | 17,051,340 |
| Health Care Providers & Services - 1.3% | | | |
| 23andMe Holding Co. Class A (a) | | 415,968 | 221,295 |
| Addus HomeCare Corp. (a) | | 6,864 | 709,326 |
| BrightSpring Health Services, Inc. | | 33,551 | 364,699 |
| Guardant Health, Inc. (a) | | 50,695 | 1,045,838 |
| HealthEquity, Inc. (a) | | 6,972 | 569,124 |
| National Healthcare Corp. (b) | | 3,724 | 351,955 |
| Option Care Health, Inc. (a) | | 103,197 | 3,461,227 |
| Patterson Companies, Inc. | | 10,956 | 302,933 |
| | | | 7,026,397 |
| Health Care Technology - 0.5% | | | |
| Health Catalyst, Inc. (a) | | 43,476 | 327,374 |
| HealthStream, Inc. | | 38,485 | 1,026,010 |
| Phreesia, Inc. (a) | | 34,913 | 835,468 |
| Veradigm, Inc. (a) | | 57,297 | 441,187 |
| | | | 2,630,039 |
| Life Sciences Tools & Services - 0.3% | | | |
| Adaptive Biotechnologies Corp. (a) | | 56,654 | 181,859 |
| Codexis, Inc. (a) | | 89,291 | 311,626 |
| Medpace Holdings, Inc. (a) | | 1,264 | 510,846 |
| Nanostring Technologies, Inc. (a) | | 75,479 | 6,038 |
| OmniAb, Inc. (a) | | 64,147 | 347,677 |
| Pacific Biosciences of California, Inc. (a) | | 23,156 | 86,835 |
| | | | 1,444,881 |
| Pharmaceuticals - 1.3% | | | |
| Amneal Intermediate, Inc. (a) | | 82,999 | 502,974 |
| Amphastar Pharmaceuticals, Inc. (a) | | 12,863 | 564,814 |
| Amylyx Pharmaceuticals, Inc. (a) | | 10,904 | 30,967 |
| Arvinas Holding Co. LLC (a) | | 14,637 | 604,215 |
| Atea Pharmaceuticals, Inc. (a) | | 39,001 | 157,564 |
| Axsome Therapeutics, Inc. (a) | | 4,252 | 339,310 |
| Cara Therapeutics, Inc. (a) | | 95,273 | 86,698 |
| Corcept Therapeutics, Inc. (a) | | 4,890 | 123,179 |
| Edgewise Therapeutics, Inc. (a) | | 12,214 | 222,783 |
| Evolus, Inc. (a) | | 24,527 | 343,378 |
| Eyepoint Pharmaceuticals, Inc. (a)(b) | | 17,604 | 363,875 |
| Intra-Cellular Therapies, Inc. (a) | | 13,870 | 959,804 |
| Ocular Therapeutix, Inc. (a) | | 39,700 | 361,270 |
| Pacira Biosciences, Inc. (a) | | 3,225 | 94,235 |
| Prestige Brands Holdings, Inc. (a) | | 15,865 | 1,151,164 |
| Relmada Therapeutics, Inc. (a)(b) | | 51,881 | 241,247 |
| Supernus Pharmaceuticals, Inc. (a) | | 2,514 | 85,753 |
| Terns Pharmaceuticals, Inc. (a) | | 33,692 | 221,020 |
| Ventyx Biosciences, Inc. (a) | | 61,910 | 340,505 |
| WAVE Life Sciences (a) | | 32,055 | 197,779 |
| | | | 6,992,534 |
TOTAL HEALTH CARE | | | 72,327,479 |
| INDUSTRIALS - 17.7% | | | |
| Aerospace & Defense - 0.6% | | | |
| AAR Corp. (a) | | 37,270 | 2,231,355 |
| Astronics Corp. (a) | | 22,081 | 420,422 |
| Park Aerospace Corp. | | 10,498 | 174,582 |
| Virgin Galactic Holdings, Inc. (a)(b) | | 65,589 | 97,072 |
| | | | 2,923,431 |
| Building Products - 1.6% | | | |
| American Woodmark Corp. (a) | | 6,263 | 636,697 |
| Apogee Enterprises, Inc. | | 27,529 | 1,629,717 |
| Griffon Corp. | | 23,534 | 1,725,984 |
| Janus International Group, Inc. (a) | | 99,316 | 1,502,651 |
| Jeld-Wen Holding, Inc. (a) | | 42,162 | 895,099 |
| Resideo Technologies, Inc. (a) | | 60,756 | 1,362,150 |
| Simpson Manufacturing Co. Ltd. | | 1,989 | 408,103 |
| | | | 8,160,401 |
| Commercial Services & Supplies - 2.2% | | | |
| ABM Industries, Inc. | | 34,951 | 1,559,514 |
| ACV Auctions, Inc. Class A (a) | | 27,282 | 512,083 |
| Brady Corp. Class A | | 38,197 | 2,264,318 |
| CECO Environmental Corp. (a) | | 11,016 | 253,588 |
| Cimpress PLC (a) | | 33,652 | 2,978,539 |
| Interface, Inc. | | 21,662 | 364,355 |
| OpenLane, Inc. (a) | | 76,648 | 1,326,010 |
| Steelcase, Inc. Class A | | 10,715 | 140,152 |
| The Brink's Co. | | 24,245 | 2,239,753 |
| | | | 11,638,312 |
| Construction & Engineering - 2.0% | | | |
| Arcosa, Inc. | | 4,978 | 427,411 |
| Comfort Systems U.S.A., Inc. | | 7,538 | 2,394,898 |
| Dycom Industries, Inc. (a) | | 4,886 | 701,288 |
| EMCOR Group, Inc. | | 8,192 | 2,868,838 |
| Fluor Corp. (a) | | 64,683 | 2,734,797 |
| IES Holdings, Inc. (a) | | 1,023 | 124,438 |
| Limbach Holdings, Inc. (a) | | 29,661 | 1,228,559 |
| | | | 10,480,229 |
| Electrical Equipment - 2.7% | | | |
| Array Technologies, Inc. (a) | | 56,514 | 842,624 |
| Atkore, Inc. | | 9,497 | 1,807,849 |
| Encore Wire Corp. | | 5,066 | 1,331,243 |
| EnerSys | | 32,540 | 3,073,728 |
| Enovix Corp. (a)(b) | | 7,428 | 59,498 |
| LSI Industries, Inc. | | 33,472 | 506,097 |
| Nextracker, Inc. Class A (a) | | 4,833 | 271,953 |
| Powell Industries, Inc. (b) | | 13,104 | 1,864,699 |
| Preformed Line Products Co. | | 10,878 | 1,399,672 |
| Thermon Group Holdings, Inc. (a) | | 37,781 | 1,236,194 |
| Vicor Corp. (a) | | 40,907 | 1,564,284 |
| | | | 13,957,841 |
| Ground Transportation - 0.1% | | | |
| Marten Transport Ltd. | | 39,690 | 733,471 |
| Machinery - 3.1% | | | |
| Albany International Corp. Class A | | 6,438 | 602,017 |
| Astec Industries, Inc. | | 804 | 35,143 |
| Enerpac Tool Group Corp. Class A | | 33,060 | 1,178,920 |
| Gorman-Rupp Co. | | 5,049 | 199,688 |
| Hurco Companies, Inc. | | 16,924 | 341,188 |
| Hyster-Yale Materials Handling, Inc. Class A | | 21,583 | 1,384,981 |
| L.B. Foster Co. Class A (a) | | 6,633 | 181,147 |
| Mueller Water Products, Inc. Class A | | 182,908 | 2,942,990 |
| Proto Labs, Inc. (a) | | 11,979 | 428,249 |
| SPX Technologies, Inc. (a) | | 5,127 | 631,288 |
| Tennant Co. | | 14,086 | 1,712,998 |
| Terex Corp. | | 55,933 | 3,602,085 |
| Watts Water Technologies, Inc. Class A | | 15,499 | 3,294,312 |
| | | | 16,535,006 |
| Marine Transportation - 0.5% | | | |
| Matson, Inc. | | 25,070 | 2,817,868 |
| Passenger Airlines - 0.7% | | | |
| Joby Aviation, Inc. (a)(b) | | 23,153 | 124,100 |
| SkyWest, Inc. (a) | | 49,477 | 3,417,871 |
| Sun Country Airlines Holdings, Inc. (a) | | 9,574 | 144,472 |
| | | | 3,686,443 |
| Professional Services - 2.5% | | | |
| Barrett Business Services, Inc. | | 10,816 | 1,370,604 |
| Conduent, Inc. (a) | | 20,061 | 67,806 |
| CRA International, Inc. | | 8,292 | 1,240,317 |
| CSG Systems International, Inc. (b) | | 53,178 | 2,740,794 |
| ExlService Holdings, Inc. (a) | | 71,169 | 2,263,174 |
| Huron Consulting Group, Inc. (a) | | 15,845 | 1,530,944 |
| Parsons Corp. (a) | | 20,388 | 1,691,185 |
| Planet Labs PBC Class A (a)(b) | | 165,147 | 421,125 |
| TriNet Group, Inc. | | 1,320 | 174,887 |
| Ttec Holdings, Inc. | | 61 | 633 |
| Upwork, Inc. (a) | | 140,524 | 1,722,824 |
| | | | 13,224,293 |
| Trading Companies & Distributors - 1.7% | | | |
| Alta Equipment Group, Inc. | | 11,742 | 152,059 |
| Applied Industrial Technologies, Inc. | | 5,985 | 1,182,337 |
| Beacon Roofing Supply, Inc. (a) | | 14,412 | 1,412,664 |
| Boise Cascade Co. | | 1,579 | 242,171 |
| Custom Truck One Source, Inc. Class A (a) | | 14,862 | 86,497 |
| DXP Enterprises, Inc. (a) | | 9,335 | 501,570 |
| GATX Corp. | | 5,319 | 712,906 |
| Global Industrial Co. | | 20,425 | 914,632 |
| H&E Equipment Services, Inc. | | 30,046 | 1,928,352 |
| McGrath RentCorp. | | 1,002 | 123,617 |
| MRC Global, Inc. (a) | | 38,181 | 479,935 |
| Rush Enterprises, Inc. Class A | | 25,521 | 1,365,884 |
| | | | 9,102,624 |
TOTAL INDUSTRIALS | | | 93,259,919 |
| INFORMATION TECHNOLOGY - 14.4% | | | |
| Communications Equipment - 0.2% | | | |
| CommScope Holding Co., Inc. (a) | | 442,820 | 580,094 |
| Extreme Networks, Inc. (a) | | 37,071 | 427,799 |
| | | | 1,007,893 |
| Electronic Equipment, Instruments & Components - 3.2% | | | |
| Arlo Technologies, Inc. (a) | | 25,216 | 318,982 |
| Badger Meter, Inc. | | 10,559 | 1,708,552 |
| Bel Fuse, Inc. Class B (non-vtg.) | | 2,575 | 155,298 |
| Belden, Inc. | | 32,850 | 3,042,239 |
| Benchmark Electronics, Inc. | | 46,403 | 1,392,554 |
| Fabrinet (a) | | 16,042 | 3,032,259 |
| FARO Technologies, Inc. (a) | | 9,321 | 200,495 |
| Itron, Inc. (a) | | 29,383 | 2,718,515 |
| Kimball Electronics, Inc. (a) | | 20,490 | 443,609 |
| OSI Systems, Inc. (a) | | 1,529 | 218,372 |
| PC Connection, Inc. | | 15,849 | 1,044,925 |
| Sanmina Corp. (a) | | 43,692 | 2,716,769 |
| | | | 16,992,569 |
| Semiconductors & Semiconductor Equipment - 1.6% | | | |
| Axcelis Technologies, Inc. (a) | | 13,605 | 1,517,230 |
| Diodes, Inc. (a) | | 6,541 | 461,141 |
| Lattice Semiconductor Corp. (a) | | 11,363 | 888,927 |
| MaxLinear, Inc. Class A (a) | | 57,448 | 1,072,554 |
| PDF Solutions, Inc. (a) | | 60,255 | 2,028,786 |
| Photronics, Inc. (a) | | 59,294 | 1,679,206 |
| Rambus, Inc. (a) | | 10,163 | 628,175 |
| | | | 8,276,019 |
| Software - 7.0% | | | |
| 8x8, Inc. (a)(b) | | 614,576 | 1,659,355 |
| AppFolio, Inc. (a) | | 3,249 | 801,658 |
| Aurora Innovation, Inc. (a)(b) | | 71,245 | 200,911 |
| Blackbaud, Inc. (a) | | 2,883 | 213,746 |
| BlackLine, Inc. (a) | | 44,055 | 2,845,072 |
| CommVault Systems, Inc. (a) | | 28,166 | 2,856,877 |
| Domo, Inc. Class B (a) | | 115,593 | 1,031,090 |
| E2open Parent Holdings, Inc. (a) | | 61,947 | 275,045 |
| Jamf Holding Corp. (a) | | 15,858 | 290,994 |
| LivePerson, Inc. (a)(b) | | 264,365 | 263,678 |
| Liveramp Holdings, Inc. (a) | | 78,238 | 2,699,211 |
| MeridianLink, Inc. (a) | | 12,114 | 226,532 |
| MicroStrategy, Inc. Class A (a) | | 2,545 | 4,338,105 |
| ON24, Inc. | | 15,719 | 112,234 |
| Pagerduty, Inc. (a) | | 32,174 | 729,706 |
| Progress Software Corp. | | 19,552 | 1,042,317 |
| PROS Holdings, Inc. (a) | | 23,866 | 867,052 |
| Q2 Holdings, Inc. (a) | | 65,843 | 3,460,708 |
| Qualys, Inc. (a) | | 21,737 | 3,627,253 |
| Rapid7, Inc. (a) | | 25,360 | 1,243,654 |
| SecureWorks Corp. (a) | | 25,721 | 172,845 |
| Sprinklr, Inc. (a)(b) | | 85,609 | 1,050,422 |
| Sprout Social, Inc. (a) | | 7,988 | 476,963 |
| SPS Commerce, Inc. (a) | | 16,716 | 3,090,788 |
| Tenable Holdings, Inc. (a) | | 27,785 | 1,373,413 |
| Upland Software, Inc. (a) | | 35,897 | 110,922 |
| Xperi, Inc. (a) | | 26,353 | 317,817 |
| Yext, Inc. (a) | | 83,518 | 503,614 |
| Zuora, Inc. (a) | | 131,673 | 1,200,858 |
| | | | 37,082,840 |
| Technology Hardware, Storage & Peripherals - 2.4% | | | |
| IonQ, Inc. (a)(b) | | 4,711 | 47,063 |
| Super Micro Computer, Inc. (a) | | 12,233 | 12,355,689 |
| | | | 12,402,752 |
TOTAL INFORMATION TECHNOLOGY | | | 75,762,073 |
| MATERIALS - 5.5% | | | |
| Chemicals - 2.3% | | | |
| American Vanguard Corp. | | 65,418 | 847,163 |
| Balchem Corp. | | 2,003 | 310,365 |
| Ecovyst, Inc. (a) | | 58,670 | 654,171 |
| H.B. Fuller Co. (b) | | 42,805 | 3,413,271 |
| Hawkins, Inc. | | 6,023 | 462,566 |
| Innospec, Inc. | | 16,406 | 2,115,390 |
| Minerals Technologies, Inc. | | 42,150 | 3,173,052 |
| Sensient Technologies Corp. | | 10,618 | 734,659 |
| Trinseo PLC | | 38,968 | 147,299 |
| | | | 11,857,936 |
| Containers & Packaging - 0.5% | | | |
| Myers Industries, Inc. | | 73,385 | 1,700,330 |
| Pactiv Evergreen, Inc. | | 39,848 | 570,623 |
| TriMas Corp. | | 20,218 | 540,427 |
| | | | 2,811,380 |
| Metals & Mining - 2.5% | | | |
| Arch Resources, Inc. | | 2,619 | 421,109 |
| ATI, Inc. (a) | | 41,170 | 2,106,669 |
| Carpenter Technology Corp. | | 41,770 | 2,983,213 |
| Constellium NV (a) | | 70,220 | 1,552,564 |
| Materion Corp. | | 11,181 | 1,473,097 |
| Olympic Steel, Inc. | | 2,923 | 207,182 |
| Ryerson Holding Corp. | | 4,973 | 166,596 |
| SunCoke Energy, Inc. | | 107,906 | 1,216,101 |
| Warrior Metropolitan Coal, Inc. | | 33,829 | 2,053,420 |
| Worthington Steel, Inc. (b) | | 28,342 | 1,016,061 |
| | | | 13,196,012 |
| Paper & Forest Products - 0.2% | | | |
| Clearwater Paper Corp. (a) | | 21,021 | 919,248 |
TOTAL MATERIALS | | | 28,784,576 |
| REAL ESTATE - 4.0% | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.6% | | | |
| Alexanders, Inc. | | 1,187 | 257,745 |
| American Assets Trust, Inc. | | 80,485 | 1,763,426 |
| Ashford Hospitality Trust, Inc. (a)(b) | | 78,720 | 107,846 |
| Community Healthcare Trust, Inc. | | 6,148 | 163,229 |
| EastGroup Properties, Inc. | | 12,539 | 2,254,136 |
| Empire State Realty Trust, Inc. | | 201,321 | 2,039,382 |
| Global Medical REIT, Inc. | | 71,901 | 629,134 |
| National Health Investors, Inc. | | 13,678 | 859,389 |
| NexPoint Residential Trust, Inc. | | 5,325 | 171,412 |
| Phillips Edison & Co., Inc. | | 54,633 | 1,959,686 |
| Retail Opportunity Investments Corp. | | 40,205 | 515,428 |
| Ryman Hospitality Properties, Inc. | | 23,865 | 2,759,033 |
| SITE Centers Corp. | | 43,283 | 634,096 |
| Tanger, Inc. | | 18,617 | 549,760 |
| Terreno Realty Corp. | | 51,237 | 3,402,137 |
| Universal Health Realty Income Trust (SBI) | | 7,117 | 261,265 |
| Urban Edge Properties | | 22,782 | 393,445 |
| | | | 18,720,549 |
| Real Estate Management & Development - 0.4% | | | |
| Anywhere Real Estate, Inc. (a) | | 35,669 | 220,434 |
| Compass, Inc. (a) | | 255,195 | 918,702 |
| Cushman & Wakefield PLC (a) | | 18,630 | 194,870 |
| Opendoor Technologies, Inc. (a) | | 244,633 | 741,238 |
| | | | 2,075,244 |
TOTAL REAL ESTATE | | | 20,795,793 |
| UTILITIES - 1.2% | | | |
| Electric Utilities - 0.5% | | | |
| Allete, Inc. | | 29,511 | 1,760,036 |
| Otter Tail Corp. | | 10,540 | 910,656 |
| Portland General Electric Co. | | 2,621 | 110,082 |
| | | | 2,780,774 |
| Gas Utilities - 0.3% | | | |
| New Jersey Resources Corp. | | 31,941 | 1,370,588 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| Altus Power, Inc. Class A (a)(b) | | 34,381 | 164,341 |
| Clearway Energy, Inc.: | | | |
| Class A | | 10,006 | 215,229 |
| Class C | | 9,297 | 214,296 |
| | | | 593,866 |
| Water Utilities - 0.3% | | | |
| American States Water Co. | | 16,599 | 1,199,112 |
| Consolidated Water Co., Inc. | | 6,791 | 199,044 |
| SJW Group | | 5,999 | 339,483 |
| | | | 1,737,639 |
TOTAL UTILITIES | | | 6,482,867 |
| TOTAL COMMON STOCKS (Cost $420,993,206) | | | 511,670,688 |
| | | | |
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
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 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)
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.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day 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.
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 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.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
