Quarterly Holdings Report
for
Fidelity® Enhanced International ETF
March 31, 2024
ITE-NPRT3-0324
1.9910067.100
Common Stocks - 97.4% | |||
Shares | Value ($) | ||
Australia - 6.0% | |||
ANZ Group Holdings Ltd. | 363,393 | 6,962,068 | |
Aristocrat Leisure Ltd. | 217,299 | 6,088,924 | |
BHP Group Ltd. | 319,630 | 9,220,861 | |
Brambles Ltd. | 671,154 | 7,063,324 | |
Cochlear Ltd. | 5,125 | 1,127,218 | |
Commonwealth Bank of Australia | 45,754 | 3,588,009 | |
Fortescue Ltd. | 597,564 | 10,007,646 | |
Glencore PLC | 560,514 | 3,079,542 | |
Goodman Group unit | 514,097 | 11,326,732 | |
Macquarie Group Ltd. | 63,544 | 8,269,267 | |
Medibank Private Ltd. | 1,443,023 | 3,535,701 | |
Northern Star Resources Ltd. | 43,186 | 407,217 | |
Origin Energy Ltd. | 296,371 | 1,776,797 | |
Reece Ltd. | 24,264 | 444,307 | |
Rio Tinto Ltd. | 26,048 | 2,066,776 | |
Telstra Group Ltd. | 2,317,977 | 5,830,567 | |
Transurban Group unit | 76,735 | 666,058 | |
Wesfarmers Ltd. | 52,965 | 2,360,802 | |
Woodside Energy Group Ltd. | 232,014 | 4,611,354 | |
TOTAL AUSTRALIA | 88,433,170 | ||
Belgium - 0.6% | |||
Ageas | 181,694 | 8,413,203 | |
D'ieteren Group | 223 | 49,464 | |
UCB SA | 5,553 | 685,354 | |
TOTAL BELGIUM | 9,148,021 | ||
China - 1.2% | |||
BOC Hong Kong (Holdings) Ltd. | 3,011,000 | 8,059,442 | |
Prosus NV | 251,901 | 7,901,521 | |
Wilmar International Ltd. | 1,041,600 | 2,645,946 | |
TOTAL CHINA | 18,606,909 | ||
Denmark - 3.6% | |||
Genmab A/S (a) | 24,495 | 7,383,380 | |
Genmab A/S ADR (a) | 54,010 | 1,615,439 | |
Novo Nordisk A/S: | |||
Series B | 309,297 | 39,425,709 | |
Series B sponsored ADR | 28,609 | 3,673,396 | |
ORSTED A/S (b) | 22,049 | 1,225,892 | |
TOTAL DENMARK | 53,323,816 | ||
Finland - 1.9% | |||
Fortum Corp. | 145,748 | 1,799,614 | |
Kesko Oyj | 208,731 | 3,899,155 | |
Kone OYJ (B Shares) | 155,034 | 7,215,529 | |
Nordea Bank Abp | 723,295 | 8,054,630 | |
UPM-Kymmene Corp. | 114,979 | 3,829,272 | |
Wartsila Corp. | 182,651 | 2,776,477 | |
TOTAL FINLAND | 27,574,677 | ||
France - 10.3% | |||
Air Liquide SA | 80,905 | 16,831,916 | |
Airbus Group NV | 6,315 | 1,163,105 | |
AXA SA | 32,123 | 1,206,545 | |
BNP Paribas SA | 53,253 | 3,783,789 | |
Carrefour SA | 5,381 | 92,159 | |
Compagnie de St.-Gobain | 137,564 | 10,675,198 | |
Danone SA | 30,676 | 1,982,048 | |
Eiffage SA | 45,961 | 5,213,865 | |
EssilorLuxottica SA | 1,006 | 227,592 | |
Eurazeo SA | 7,415 | 649,973 | |
Gecina SA | 7,223 | 737,563 | |
Hermes International SCA | 5,786 | 14,769,107 | |
L'Oreal SA | 34,741 | 16,440,746 | |
La Francaise des Jeux SAEM (b) | 79,379 | 3,235,405 | |
Legrand SA | 85,043 | 9,011,551 | |
LVMH Moet Hennessy Louis Vuitton SE | 14,992 | 13,484,363 | |
LVMH Moet Hennessy Louis Vuitton SE ADR | 2,107 | 381,430 | |
Orange SA | 152,723 | 1,793,964 | |
Orange SA ADR | 55,361 | 651,599 | |
Publicis Groupe SA | 88,652 | 9,664,645 | |
Safran SA | 57,275 | 12,979,228 | |
Teleperformance | 5,378 | 522,649 | |
Thales SA | 7,335 | 1,250,707 | |
TotalEnergies SE | 298,997 | 20,473,703 | |
Ubisoft Entertainment SA (a) | 94,080 | 1,979,723 | |
VINCI SA | 25,751 | 3,299,327 | |
Wendel SA | 10 | 1,021 | |
TOTAL FRANCE | 152,502,921 | ||
Germany - 7.9% | |||
Allianz SE | 8,741 | 2,619,717 | |
Bayer AG | 75,308 | 2,309,825 | |
Bayerische Motoren Werke AG (BMW) | 27,451 | 3,167,675 | |
Continental AG | 18,877 | 1,362,449 | |
Daimler Truck Holding AG | 71,012 | 3,597,666 | |
Deutsche Bank AG | 702,722 | 11,055,075 | |
Deutsche Borse AG | 34,298 | 7,017,505 | |
E.ON SE | 138,463 | 1,924,772 | |
Fresenius Medical Care AG & Co. KGaA | 7,062 | 271,612 | |
Fresenius SE & Co. KGaA | 225,041 | 6,069,637 | |
GEA Group AG | 35,196 | 1,488,092 | |
Hannover Reuck SE | 3,761 | 1,029,402 | |
HeidelbergCement AG | 87,592 | 9,634,135 | |
Knorr-Bremse AG | 29,464 | 2,228,285 | |
Mercedes-Benz Group AG: | |||
ADR | 50,563 | 1,005,698 | |
(Germany) | 368 | 29,304 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 22,725 | 11,088,979 | |
Rational AG | 619 | 533,579 | |
SAP SE | 123,073 | 23,960,993 | |
SAP SE sponsored ADR | 9,146 | 1,783,744 | |
Scout24 AG (b) | 41,787 | 3,149,422 | |
Siemens AG | 89,947 | 17,172,078 | |
Siemens AG sponsored ADR | 26,052 | 2,486,142 | |
Talanx AG | 17,985 | 1,424,189 | |
TOTAL GERMANY | 116,409,975 | ||
Hong Kong - 2.0% | |||
AIA Group Ltd. | 1,725,632 | 11,585,936 | |
AIA Group Ltd. ADR | 18,753 | 504,081 | |
Hang Seng Bank Ltd. | 273,100 | 2,988,541 | |
Hongkong Land Holdings Ltd. | 82,200 | 252,354 | |
Jardine Matheson Holdings Ltd. | 120,500 | 4,494,650 | |
Prudential PLC ADR (c) | 23,934 | 461,208 | |
Sun Hung Kai Properties Ltd. | 562,000 | 5,417,586 | |
Swire Pacific Ltd. (A Shares) | 30,500 | 250,955 | |
WH Group Ltd. (b) | 4,837,455 | 3,189,164 | |
TOTAL HONG KONG | 29,144,475 | ||
Israel - 0.6% | |||
Bank Hapoalim BM (Reg.) | 37,868 | 355,111 | |
Wix.com Ltd. (a) | 61,237 | 8,418,863 | |
TOTAL ISRAEL | 8,773,974 | ||
Italy - 2.8% | |||
Assicurazioni Generali SpA | 112,455 | 2,846,216 | |
Coca-Cola HBC AG | 250,924 | 7,927,094 | |
Ferrari NV (Italy) | 2,480 | 1,080,921 | |
Intesa Sanpaolo SpA | 3,584,403 | 13,004,833 | |
Poste Italiane SpA (b) | 216,473 | 2,710,254 | |
UniCredit SpA | 345,093 | 13,095,778 | |
UniCredit SpA ADR | 21,377 | 404,346 | |
TOTAL ITALY | 41,069,442 | ||
Japan - 23.1% | |||
Asahi Group Holdings | 76,600 | 2,805,327 | |
Canon, Inc. | 26,200 | 779,008 | |
Central Japan Railway Co. | 187,900 | 4,657,159 | |
Chubu Electric Power Co., Inc. | 516,000 | 6,730,361 | |
Daiwa Securities Group, Inc. (c) | 1,114,748 | 8,439,036 | |
DENSO Corp. | 570,900 | 10,880,212 | |
Disco Corp. | 29,350 | 10,700,400 | |
Fast Retailing Co. Ltd. | 39,142 | 12,077,704 | |
Fujitsu Ltd. | 218,000 | 3,481,404 | |
Hitachi Ltd. | 170,000 | 15,446,889 | |
Honda Motor Co. Ltd. | 573,806 | 7,063,598 | |
Hoya Corp. | 86,784 | 10,797,838 | |
Itochu Corp. | 40,050 | 1,710,155 | |
Japan Exchange Group, Inc. | 51,100 | 1,378,937 | |
JFE Holdings, Inc. | 407,200 | 6,720,764 | |
Kansai Electric Power Co., Inc. | 549,800 | 7,804,995 | |
Keyence Corp. | 6,300 | 2,916,944 | |
Kintetsu Group Holdings Co. Ltd. | 32,700 | 950,456 | |
Komatsu Ltd. | 71,800 | 2,116,815 | |
LY Corp. | 2,429,722 | 6,139,309 | |
Makita Corp. | 36,200 | 1,022,295 | |
Marubeni Corp. (c) | 345,400 | 5,956,313 | |
Mazda Motor Corp. (c) | 402,600 | 4,684,766 | |
Mitsubishi Chemical Holdings Corp. (c) | 801,100 | 4,864,918 | |
Mitsubishi Corp. | 632,918 | 14,562,382 | |
Mitsubishi UFJ Financial Group, Inc. | 344,600 | 3,494,259 | |
Mitsui & Co. Ltd. (c) | 272,500 | 12,678,144 | |
Murata Manufacturing Co. Ltd. | 247,600 | 4,636,162 | |
Nexon Co. Ltd. | 154,500 | 2,561,732 | |
Nidec Corp. | 112,900 | 4,641,892 | |
Nintendo Co. Ltd. | 52,108 | 2,842,912 | |
Nippon Paint Holdings Co. Ltd. | 970,000 | 6,949,168 | |
Nippon Sanso Holdings Corp. | 42,400 | 1,323,985 | |
Nippon Steel & Sumitomo Metal Corp. (c) | 147,300 | 3,531,191 | |
Nissan Motor Co. Ltd. sponsored ADR (c) | 88,153 | 699,053 | |
Nitto Denko Corp. | 80,600 | 7,334,291 | |
Nomura Research Institute Ltd. | 10,300 | 289,649 | |
Ono Pharmaceutical Co. Ltd. | 157,900 | 2,583,685 | |
Oracle Corp. Japan | 5,400 | 404,697 | |
ORIX Corp. | 84,500 | 1,840,937 | |
Otsuka Holdings Co. Ltd. | 100,300 | 4,154,983 | |
Pan Pacific International Holdings Ltd. | 33,800 | 894,233 | |
Panasonic Holdings Corp. | 930,700 | 8,844,048 | |
Rakuten Group, Inc. | 1,421,800 | 8,039,773 | |
Renesas Electronics Corp. | 571,100 | 10,125,726 | |
Shin-Etsu Chemical Co. Ltd. | 315,100 | 13,750,499 | |
Shin-Etsu Chemical Co. Ltd. ADR (c) | 16,040 | 350,795 | |
Shiseido Co. Ltd. | 27,098 | 739,297 | |
SoftBank Corp. (c) | 810,564 | 10,393,082 | |
Sompo Holdings, Inc. | 257,100 | 5,366,865 | |
Sony Group Corp. | 25,636 | 2,189,678 | |
Subaru Corp. | 276,858 | 6,265,791 | |
Tokyo Electric Power Co., Inc. (a) | 117,500 | 712,700 | |
Tokyo Electron Ltd. | 70,300 | 18,232,118 | |
Tokyo Gas Co. Ltd. | 38,800 | 880,676 | |
Toyota Motor Corp. | 715,961 | 18,000,711 | |
Toyota Motor Corp. sponsored ADR (c) | 12,609 | 3,173,433 | |
Toyota Tsusho Corp. | 130,700 | 8,918,820 | |
Trend Micro, Inc. | 42,900 | 2,172,206 | |
USS Co. Ltd. | 73,400 | 605,848 | |
Yokogawa Electric Corp. | 316,600 | 7,263,521 | |
TOTAL JAPAN | 341,574,545 | ||
Luxembourg - 0.3% | |||
ArcelorMittal SA (Netherlands) | 98,264 | 2,698,538 | |
Eurofins Scientific SA | 38,645 | 2,463,173 | |
TOTAL LUXEMBOURG | 5,161,711 | ||
Netherlands - 6.7% | |||
Akzo Nobel NV | 13,919 | 1,038,842 | |
ASML Holding NV: | |||
(depository receipt) | 17,028 | 16,525,163 | |
(Netherlands) | 25,820 | 24,853,040 | |
BE Semiconductor Industries NV | 14,664 | 2,244,894 | |
Koninklijke Ahold Delhaize NV | 163,580 | 4,891,978 | |
Koninklijke Philips Electronics NV | 420,708 | 8,444,907 | |
NN Group NV | 203,771 | 9,413,478 | |
Shell PLC (London) | 737,630 | 24,438,742 | |
Wolters Kluwer NV | 42,762 | 6,698,625 | |
TOTAL NETHERLANDS | 98,549,669 | ||
New Zealand - 0.1% | |||
Meridian Energy Ltd. | 589,331 | 2,080,886 | |
Norway - 0.6% | |||
DNB Bank ASA | 272,637 | 5,401,761 | |
Gjensidige Forsikring ASA | 164,013 | 2,374,876 | |
Salmar ASA | 13,429 | 884,917 | |
TOTAL NORWAY | 8,661,554 | ||
Singapore - 2.0% | |||
CapitaLand Ascendas REIT | 905,500 | 1,857,608 | |
Genting Singapore Ltd. | 2,490,800 | 1,632,555 | |
Oversea-Chinese Banking Corp. Ltd. | 921,300 | 9,204,471 | |
Sembcorp Industries Ltd. | 83,600 | 334,338 | |
Singapore Technologies Engineering Ltd. | 182,900 | 544,535 | |
Singapore Telecommunications Ltd. | 464,000 | 869,409 | |
STMicroelectronics NV: | |||
(depository receipt) | 12,502 | 540,586 | |
(France) | 116,187 | 5,003,906 | |
United Overseas Bank Ltd. | 445,155 | 9,663,020 | |
TOTAL SINGAPORE | 29,650,428 | ||
Spain - 3.2% | |||
ACS Actividades de Construccion y Servicios SA | 24,321 | 1,017,537 | |
Aena SME SA (b) | 43,194 | 8,502,142 | |
Banco Santander SA (Spain) | 862,131 | 4,205,492 | |
CaixaBank SA (c) | 1,485,747 | 7,201,821 | |
Iberdrola SA | 1,092,134 | 13,543,970 | |
Industria de Diseno Textil SA | 255,999 | 12,889,532 | |
TOTAL SPAIN | 47,360,494 | ||
Sweden - 2.0% | |||
Evolution AB (b) | 29,232 | 3,633,791 | |
Industrivarden AB (A Shares) | 68,087 | 2,341,445 | |
Svenska Handelsbanken AB (A Shares) (c) | 576,158 | 5,826,710 | |
Swedish Orphan Biovitrum AB (a) | 189,692 | 4,735,211 | |
Volvo AB (B Shares) (c) | 419,033 | 11,356,640 | |
Volvo Car AB (a) | 466,261 | 1,767,645 | |
TOTAL SWEDEN | 29,661,442 | ||
Switzerland - 5.1% | |||
ABB Ltd.: | |||
(Reg.) | 228,305 | 10,604,531 | |
sponsored ADR | 77,065 | 3,572,733 | |
Alcon, Inc. (Switzerland) | 94,886 | 7,863,591 | |
Barry Callebaut AG | 504 | 731,536 | |
BKW AG | 2,452 | 376,290 | |
Clariant AG (Reg.) | 28,244 | 381,765 | |
Compagnie Financiere Richemont SA (c) | 7,489 | 1,141,717 | |
Compagnie Financiere Richemont SA Series A | 23,714 | 3,615,540 | |
Givaudan SA | 2,541 | 11,315,248 | |
Lindt & Spruengli AG (participation certificate) | 155 | 1,854,466 | |
Logitech International SA (Reg.) | 95,692 | 8,569,148 | |
Novartis AG | 237,235 | 22,983,004 | |
Novartis AG sponsored ADR | 7,694 | 744,241 | |
Temenos AG | 3,586 | 256,390 | |
UBS Group AG | 29,014 | 892,441 | |
TOTAL SWITZERLAND | 74,902,641 | ||
United Kingdom - 10.4% | |||
3i Group PLC | 92,270 | 3,271,322 | |
AstraZeneca PLC (United Kingdom) | 79,056 | 10,654,565 | |
Aviva PLC | 603,721 | 3,784,025 | |
BAE Systems PLC | 757,138 | 12,896,115 | |
Barclays PLC sponsored ADR | 53,413 | 504,753 | |
BP PLC | 267,764 | 1,675,259 | |
British American Tobacco PLC: | |||
(United Kingdom) | 80,851 | 2,455,229 | |
sponsored ADR (c) | 330,709 | 10,086,625 | |
BT Group PLC | 2,188,492 | 3,028,758 | |
Bunzl PLC | 80,051 | 3,079,589 | |
Centrica PLC | 532,602 | 858,093 | |
Coca-Cola European Partners PLC | 39,479 | 2,761,556 | |
Halma PLC | 5,608 | 167,610 | |
Hargreaves Lansdown PLC | 220,522 | 2,048,522 | |
HSBC Holdings PLC: | |||
(United Kingdom) | 1,781,407 | 13,917,614 | |
sponsored ADR (c) | 141,574 | 5,572,353 | |
Imperial Brands PLC | 87,435 | 1,953,303 | |
InterContinental Hotel Group PLC | 24,068 | 2,503,707 | |
InterContinental Hotel Group PLC ADR | 25,576 | 2,702,360 | |
Land Securities Group PLC | 230,173 | 1,912,156 | |
Lloyds Banking Group PLC | 6,503,284 | 4,248,523 | |
Lloyds Banking Group PLC sponsored ADR | 176,341 | 456,723 | |
London Stock Exchange Group PLC | 18,593 | 2,227,033 | |
NatWest Group PLC | 406,334 | 1,361,629 | |
NatWest Group PLC sponsored ADR (c) | 76,803 | 522,260 | |
Pearson PLC | 458,785 | 6,033,758 | |
Rolls-Royce Holdings PLC (a) | 2,330,232 | 12,549,684 | |
Sage Group PLC | 468,492 | 7,482,992 | |
Schroders PLC | 742,736 | 3,530,415 | |
Smith & Nephew PLC sponsored ADR (c) | 29,929 | 758,999 | |
Tesco PLC | 2,499,774 | 9,357,996 | |
Tesco PLC Sponsored ADR (c) | 30,778 | 352,716 | |
Unilever PLC | 93,489 | 4,690,976 | |
Unilever PLC sponsored ADR | 61,468 | 3,085,079 | |
Vodafone Group PLC | 6,543,230 | 5,818,966 | |
Vodafone Group PLC sponsored ADR | 357,285 | 3,179,837 | |
Whitbread PLC | 27,245 | 1,139,594 | |
Wise PLC (a) | 158,594 | 1,858,773 | |
TOTAL UNITED KINGDOM | 154,489,467 | ||
United States of America - 7.0% | |||
CRH PLC | 44,117 | 3,801,985 | |
CSL Ltd. | 2,071 | 388,567 | |
GSK PLC | 347,170 | 7,486,754 | |
GSK PLC sponsored ADR | 178,452 | 7,650,237 | |
Holcim AG | 136,367 | 12,347,651 | |
James Hardie Industries PLC CDI (a) | 36,714 | 1,473,999 | |
Monday.com Ltd. (a) | 31,015 | 7,005,358 | |
Nestle SA (Reg. S) | 163,397 | 17,347,966 | |
QIAGEN NV (Germany) | 126,729 | 5,418,960 | |
Roche Holding AG: | |||
(Bearer) | 1,786 | 481,231 | |
(participation certificate) | 36,053 | 9,182,651 | |
Sanofi SA | 138,813 | 13,622,024 | |
Sanofi SA sponsored ADR | 54,207 | 2,634,460 | |
Schneider Electric SA | 62,138 | 14,054,429 | |
Schneider Electric SA ADR | 7,221 | 327,111 | |
TOTAL UNITED STATES OF AMERICA | 103,223,383 | ||
TOTAL COMMON STOCKS (Cost $1,122,425,414) | 1,440,303,600 | ||
Nonconvertible Preferred Stocks - 0.9% | |||
Shares | Value ($) | ||
Germany - 0.9% | |||
Dr. Ing. h.c. F. Porsche AG Series F (b) | 55,457 | 5,521,092 | |
Volkswagen AG | 57,077 | 7,564,183 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $14,289,549) | 13,085,275 | ||
Government Obligations - 0.1% | |||
Principal Amount (d) | Value ($) | ||
United States of America - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 5.27% to 5.32% 5/30/24 to 6/13/24 (e) (Cost $1,168,028) | 1,180,000 | 1,168,069 | |
Money Market Funds - 5.8% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (f) | 13,210,636 | 13,213,278 | |
Fidelity Securities Lending Cash Central Fund 5.39% (f)(g) | 73,724,213 | 73,731,585 | |
TOTAL MONEY MARKET FUNDS (Cost $86,944,863) | 86,944,863 | ||
TOTAL INVESTMENT IN SECURITIES - 104.2% (Cost $1,224,827,854) | 1,541,501,807 |
NET OTHER ASSETS (LIABILITIES) - (4.2)% | (62,522,056) |
NET ASSETS - 100.0% | 1,478,979,751 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI EAFE Index Contracts (United States) | 113 | Jun 2024 | 13,317,615 | 101,975 | 101,975 |
The notional amount of futures purchased as a percentage of Net Assets is 0.9% |
Legend
(a) | Non-income producing |
(b) | 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 $31,167,162 or 2.1% of net assets. |
(c) | Security or a portion of the security is on loan at period end. |
(d) | Amount is stated in United States dollars unless otherwise noted. |
(e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $440,294. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(g) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 19,925,982 | 290,468,000 | 297,180,704 | 284,832 | - | - | 13,213,278 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 10,181,938 | 183,113,947 | 119,564,300 | 80,980 | - | - | 73,731,585 | 0.2% |
Total | 30,107,920 | 473,581,947 | 416,745,004 | 365,812 | - | - | 86,944,863 | |
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.
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.
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. Government 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.
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 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.