Quarterly Holdings Report
for
Fidelity® Small-Mid Multifactor ETF
April 30, 2024
SFE-NPRT3-0624
1.9892235.105
Common Stocks - 99.9% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 0.1% | |||
Cogent Communications Group, Inc. | 6,147 | 394,514 | |
GCI Liberty, Inc. Class A (Escrow) (a) | 869 | 0 | |
394,514 | |||
Entertainment - 0.5% | |||
Playtika Holding Corp. | 42,365 | 307,146 | |
TKO Group Holdings, Inc. | 6,642 | 628,798 | |
Warner Music Group Corp. Class A | 15,398 | 508,134 | |
1,444,078 | |||
Interactive Media & Services - 0.6% | |||
CarGurus, Inc. Class A (b) | 16,834 | 378,092 | |
Match Group, Inc. (b) | 22,451 | 691,940 | |
Yelp, Inc. (b) | 10,222 | 411,333 | |
Ziff Davis, Inc. (b) | 6,642 | 332,831 | |
1,814,196 | |||
Media - 1.4% | |||
AMC Networks, Inc. Class A (b) | 17,022 | 180,774 | |
EchoStar Corp. Class A (b)(c) | 27,767 | 443,994 | |
Fox Corp. Class A | 29,231 | 906,453 | |
Liberty Broadband Corp. Class C (b) | 10,730 | 533,603 | |
Nexstar Media Group, Inc. Class A | 3,376 | 540,363 | |
Scholastic Corp. | 8,918 | 317,659 | |
Sirius XM Holdings, Inc. (c) | 89,765 | 263,909 | |
TEGNA, Inc. | 28,725 | 391,809 | |
The New York Times Co. Class A | 14,891 | 640,760 | |
4,219,324 | |||
Wireless Telecommunication Services - 0.2% | |||
Spok Holdings, Inc. | 17,767 | 274,500 | |
U.S. Cellular Corp. (b) | 7,145 | 259,792 | |
534,292 | |||
TOTAL COMMUNICATION SERVICES | 8,406,404 | ||
CONSUMER DISCRETIONARY - 13.9% | |||
Automobile Components - 1.6% | |||
Autoliv, Inc. | 6,566 | 786,541 | |
BorgWarner, Inc. | 20,778 | 680,895 | |
Dorman Products, Inc. (b) | 4,769 | 417,049 | |
Gentex Corp. | 20,833 | 714,572 | |
LCI Industries | 3,743 | 389,197 | |
Lear Corp. | 5,143 | 647,349 | |
Mobileye Global, Inc. (b)(c) | 14,566 | 401,293 | |
Patrick Industries, Inc. | 3,804 | 397,480 | |
Phinia, Inc. | 11,244 | 438,516 | |
4,872,892 | |||
Automobiles - 0.5% | |||
Harley-Davidson, Inc. | 15,060 | 517,913 | |
Thor Industries, Inc. (c) | 5,247 | 521,657 | |
Winnebago Industries, Inc. | 5,603 | 345,033 | |
1,384,603 | |||
Broadline Retail - 0.3% | |||
Dillard's, Inc. Class A (c) | 870 | 381,051 | |
Ollie's Bargain Outlet Holdings, Inc. (b) | 7,004 | 512,273 | |
893,324 | |||
Diversified Consumer Services - 2.0% | |||
Adtalem Global Education, Inc. (b) | 7,964 | 395,174 | |
Bright Horizons Family Solutions, Inc. (b) | 5,884 | 610,230 | |
Duolingo, Inc. (b) | 3,466 | 782,450 | |
Frontdoor, Inc. (b) | 12,487 | 383,226 | |
Graham Holdings Co. | 562 | 394,170 | |
Grand Canyon Education, Inc. (b) | 3,654 | 475,093 | |
H&R Block, Inc. | 13,796 | 651,585 | |
Laureate Education, Inc. Class A | 28,243 | 409,524 | |
Perdoceo Education Corp. | 18,272 | 334,378 | |
Service Corp. International | 12,124 | 869,412 | |
Strategic Education, Inc. | 3,999 | 459,245 | |
Stride, Inc. (b) | 6,573 | 438,748 | |
6,203,235 | |||
Hotels, Restaurants & Leisure - 1.8% | |||
Boyd Gaming Corp. | 7,871 | 421,177 | |
Choice Hotels International, Inc. (c) | 3,568 | 421,952 | |
Light & Wonder, Inc. Class A (b) | 8,284 | 739,430 | |
Texas Roadhouse, Inc. Class A | 5,792 | 931,238 | |
Travel+Leisure Co. | 10,538 | 458,825 | |
Vail Resorts, Inc. | 3,311 | 627,004 | |
Wendy's Co. | 22,836 | 456,492 | |
Wingstop, Inc. | 2,556 | 983,523 | |
Wyndham Hotels & Resorts, Inc. | 7,927 | 582,714 | |
5,622,355 | |||
Household Durables - 3.5% | |||
Beazer Homes U.S.A., Inc. (b) | 9,884 | 277,049 | |
Cavco Industries, Inc. (b) | 1,226 | 446,521 | |
Century Communities, Inc. | 4,446 | 352,657 | |
Dream Finders Homes, Inc. (b)(c) | 9,172 | 325,606 | |
Ethan Allen Interiors, Inc. | 10,257 | 289,658 | |
Green Brick Partners, Inc. (b) | 6,480 | 350,762 | |
Helen of Troy Ltd. (b) | 3,621 | 335,703 | |
Installed Building Products, Inc. | 2,663 | 627,749 | |
KB Home | 8,736 | 565,743 | |
La-Z-Boy, Inc. | 9,989 | 328,039 | |
Landsea Homes Corp. (b) | 21,594 | 249,411 | |
M/I Homes, Inc. (b) | 3,654 | 424,668 | |
Meritage Homes Corp. | 3,803 | 630,309 | |
Mohawk Industries, Inc. (b) | 5,380 | 620,422 | |
Skyline Champion Corp. (b) | 6,764 | 507,232 | |
Taylor Morrison Home Corp. (b) | 11,115 | 622,551 | |
Tempur Sealy International, Inc. | 14,878 | 744,793 | |
Toll Brothers, Inc. | 8,682 | 1,034,113 | |
TopBuild Corp. (b) | 2,479 | 1,003,177 | |
TRI Pointe Homes, Inc. (b) | 13,033 | 480,266 | |
Worthington Enterprises, Inc. | 6,294 | 359,765 | |
10,576,194 | |||
Leisure Products - 0.7% | |||
Acushnet Holdings Corp. | 5,853 | 356,916 | |
Brunswick Corp. | 7,030 | 566,899 | |
Hasbro, Inc. | 12,552 | 769,438 | |
Vista Outdoor, Inc. (b) | 11,998 | 421,010 | |
2,114,263 | |||
Specialty Retail - 2.5% | |||
Abercrombie & Fitch Co. Class A (b) | 5,317 | 646,122 | |
Academy Sports & Outdoors, Inc. | 8,276 | 482,491 | |
American Eagle Outfitters, Inc. | 23,489 | 569,843 | |
Asbury Automotive Group, Inc. (b) | 2,403 | 505,207 | |
AutoNation, Inc. (b) | 3,281 | 528,733 | |
Dick's Sporting Goods, Inc. | 5,166 | 1,038,056 | |
Group 1 Automotive, Inc. | 1,759 | 517,181 | |
Haverty Furniture Companies, Inc. | 8,606 | 265,065 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 2,410 | 613,056 | |
Murphy U.S.A., Inc. | 1,831 | 757,704 | |
Penske Automotive Group, Inc. | 2,823 | 431,665 | |
The Buckle, Inc. | 8,719 | 326,003 | |
Upbound Group, Inc. | 10,485 | 325,140 | |
Urban Outfitters, Inc. (b) | 9,912 | 386,172 | |
Winmark Corp. | 875 | 314,405 | |
7,706,843 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
Carter's, Inc. | 5,485 | 375,229 | |
G-III Apparel Group Ltd. (b) | 10,924 | 307,511 | |
Kontoor Brands, Inc. | 7,236 | 449,066 | |
Ralph Lauren Corp. | 4,031 | 659,633 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | 11,567 | 764,000 | |
Steven Madden Ltd. | 10,144 | 409,919 | |
2,965,358 | |||
TOTAL CONSUMER DISCRETIONARY | 42,339,067 | ||
CONSUMER STAPLES - 4.0% | |||
Beverages - 0.9% | |||
Brown-Forman Corp. Class B (non-vtg.) | 14,446 | 691,241 | |
Coca-Cola Consolidated, Inc. | 536 | 442,736 | |
Molson Coors Beverage Co. Class B | 14,207 | 813,493 | |
National Beverage Corp. (b) | 6,573 | 292,499 | |
The Vita Coco Co., Inc. (b) | 14,066 | 340,960 | |
2,580,929 | |||
Consumer Staples Distribution & Retail - 1.0% | |||
Albertsons Companies, Inc. | 33,968 | 692,947 | |
Andersons, Inc. | 6,446 | 354,143 | |
Casey's General Stores, Inc. | 2,979 | 952,029 | |
Ingles Markets, Inc. Class A | 3,831 | 274,874 | |
Sprouts Farmers Market LLC (b) | 10,433 | 688,891 | |
2,962,884 | |||
Food Products - 1.1% | |||
Cal-Maine Foods, Inc. | 6,732 | 372,482 | |
Campbell Soup Co. | 16,320 | 745,987 | |
Hormel Foods Corp. | 24,099 | 856,960 | |
Ingredion, Inc. | 5,865 | 672,070 | |
J&J Snack Foods Corp. | 2,412 | 331,143 | |
John B. Sanfilippo & Son, Inc. | 2,857 | 284,843 | |
3,263,485 | |||
Household Products - 0.3% | |||
Central Garden & Pet Co. Class A (non-vtg.) | 10,986 | 389,234 | |
Oil-Dri Corp. of America | 4,072 | 281,986 | |
WD-40 Co. | 1,709 | 386,456 | |
1,057,676 | |||
Personal Care Products - 0.5% | |||
BellRing Brands, Inc. (b) | 11,640 | 642,179 | |
elf Beauty, Inc. (b) | 4,586 | 745,363 | |
MediFast, Inc. | 5,065 | 139,439 | |
1,526,981 | |||
Tobacco - 0.2% | |||
Universal Corp. | 5,485 | 282,094 | |
Vector Group Ltd. | 30,329 | 313,905 | |
595,999 | |||
TOTAL CONSUMER STAPLES | 11,987,954 | ||
ENERGY - 5.1% | |||
Energy Equipment & Services - 0.4% | |||
TechnipFMC PLC | 40,092 | 1,027,157 | |
Oil, Gas & Consumable Fuels - 4.7% | |||
Ardmore Shipping Corp. | 21,284 | 356,507 | |
California Resources Corp. | 10,053 | 531,402 | |
Chesapeake Energy Corp. (c) | 10,206 | 917,315 | |
Chord Energy Corp. | 4,319 | 764,377 | |
CNX Resources Corp. (b) | 24,155 | 568,126 | |
CONSOL Energy, Inc. | 4,770 | 394,765 | |
CVR Energy, Inc. | 10,739 | 326,251 | |
Dorian LPG Ltd. | 9,986 | 412,622 | |
DT Midstream, Inc. | 11,135 | 692,597 | |
Equitrans Midstream Corp. | 53,565 | 724,734 | |
Gulfport Energy Corp. (b) | 3,050 | 484,066 | |
Hallador Energy Co. (b) | 36,551 | 186,776 | |
HF Sinclair Corp. | 14,021 | 760,639 | |
International Seaways, Inc. | 8,041 | 444,587 | |
Magnolia Oil & Gas Corp. Class A (c) | 25,543 | 640,363 | |
Murphy Oil Corp. | 16,191 | 722,766 | |
Overseas Shipholding Group, Inc. | 52,748 | 320,708 | |
Par Pacific Holdings, Inc. (b) | 11,393 | 350,904 | |
PBF Energy, Inc. Class A | 12,171 | 648,349 | |
Peabody Energy Corp. | 17,485 | 383,621 | |
Rex American Resources Corp. (b) | 8,192 | 453,263 | |
Scorpio Tankers, Inc. | 7,147 | 502,863 | |
Southwestern Energy Co. (b) | 109,254 | 818,312 | |
Teekay Corp. (b) | 38,152 | 279,273 | |
Teekay Tankers Ltd. | 6,418 | 373,977 | |
Texas Pacific Land Corp. | 1,677 | 966,455 | |
Vitesse Energy, Inc. (c) | 16,244 | 360,454 | |
14,386,072 | |||
TOTAL ENERGY | 15,413,229 | ||
FINANCIALS - 16.2% | |||
Banks - 4.8% | |||
1st Source Corp. | 6,391 | 316,994 | |
Amalgamated Financial Corp. | 11,971 | 293,768 | |
Axos Financial, Inc. (b) | 8,066 | 408,220 | |
Bancorp, Inc., Delaware (b) | 9,661 | 289,250 | |
Bank OZK | 12,494 | 557,857 | |
Business First Bancshares, Inc. | 14,153 | 285,749 | |
Cathay General Bancorp | 11,053 | 380,665 | |
City Holding Co. (c) | 3,581 | 361,753 | |
Columbia Banking Systems, Inc. | 26,254 | 493,838 | |
Community Trust Bancorp, Inc. | 7,767 | 326,292 | |
Customers Bancorp, Inc. (b) | 7,056 | 322,248 | |
East West Bancorp, Inc. | 11,896 | 886,133 | |
First Bancorp, Puerto Rico | 26,981 | 465,422 | |
First Commonwealth Financial Corp. | 26,426 | 348,559 | |
First Financial Corp., Indiana | 7,886 | 287,129 | |
FNB Corp., Pennsylvania | 41,753 | 556,985 | |
Fulton Financial Corp. | 27,449 | 454,281 | |
Hanmi Financial Corp. | 18,875 | 288,788 | |
Independent Bank Corp. | 12,450 | 308,885 | |
International Bancshares Corp. | 8,304 | 462,118 | |
Metropolitan Bank Holding Corp. (b) | 6,904 | 274,089 | |
Midland States Bancorp, Inc. | 12,224 | 267,706 | |
New York Community Bancorp, Inc. | 88,755 | 235,201 | |
OFG Bancorp | 10,401 | 375,580 | |
Old Second Bancorp, Inc. | 23,275 | 318,868 | |
Pathward Financial, Inc. | 7,082 | 356,720 | |
Peoples Bancorp, Inc. | 11,699 | 339,739 | |
Popular, Inc. | 7,319 | 622,042 | |
Preferred Bank, Los Angeles (c) | 4,803 | 363,539 | |
QCR Holdings, Inc. | 5,895 | 323,989 | |
UMB Financial Corp. | 5,833 | 464,657 | |
Valley National Bancorp | 54,895 | 384,814 | |
Webster Financial Corp. | 15,628 | 684,975 | |
Westamerica Bancorp. | 7,570 | 352,384 | |
Wintrust Financial Corp. | 6,464 | 624,681 | |
Zions Bancorporation NA | 15,487 | 631,560 | |
14,715,478 | |||
Capital Markets - 2.9% | |||
Affiliated Managers Group, Inc. | 3,756 | 586,312 | |
Artisan Partners Asset Management, Inc. | 10,251 | 419,573 | |
Evercore, Inc. Class A | 3,561 | 646,322 | |
GQG Partners, Inc. CDI | 275,073 | 409,842 | |
Hamilton Lane, Inc. Class A | 4,458 | 498,048 | |
Houlihan Lokey | 5,179 | 660,271 | |
Interactive Brokers Group, Inc. | 9,058 | 1,042,757 | |
Morningstar, Inc. | 2,462 | 695,884 | |
SEI Investments Co. | 9,759 | 643,606 | |
Stifel Financial Corp. | 9,570 | 764,834 | |
StoneX Group, Inc. (b) | 5,743 | 416,942 | |
Tradeweb Markets, Inc. Class A | 9,361 | 952,107 | |
Victory Capital Holdings, Inc. | 10,330 | 525,384 | |
Virtu Financial, Inc. Class A | 21,914 | 475,534 | |
8,737,416 | |||
Consumer Finance - 1.3% | |||
Ally Financial, Inc. | 22,766 | 873,076 | |
Bread Financial Holdings, Inc. | 10,568 | 390,065 | |
Credit Acceptance Corp. (b) | 834 | 428,442 | |
Enova International, Inc. (b) | 6,806 | 411,967 | |
FirstCash Holdings, Inc. | 4,409 | 498,129 | |
Navient Corp. | 21,747 | 326,640 | |
OneMain Holdings, Inc. | 12,546 | 653,772 | |
World Acceptance Corp. (b) | 2,283 | 314,072 | |
3,896,163 | |||
Financial Services - 2.5% | |||
Cass Information Systems, Inc. | 7,323 | 316,280 | |
Corebridge Financial, Inc. | 25,497 | 677,200 | |
Enact Holdings, Inc. | 11,720 | 348,436 | |
Essent Group Ltd. | 11,083 | 587,067 | |
EVERTEC, Inc. | 10,552 | 396,017 | |
Federal Agricultural Mortgage Corp. Class C (non-vtg.) | 2,033 | 378,402 | |
Jack Henry & Associates, Inc. | 5,739 | 933,678 | |
Jackson Financial, Inc. | 9,633 | 658,127 | |
MGIC Investment Corp. | 29,634 | 600,978 | |
Mr. Cooper Group, Inc. (b) | 7,901 | 609,957 | |
NMI Holdings, Inc. (b) | 13,409 | 413,802 | |
Radian Group, Inc. | 18,136 | 541,722 | |
The Western Union Co. | 42,380 | 569,587 | |
Voya Financial, Inc. | 9,694 | 660,743 | |
7,691,996 | |||
Insurance - 4.5% | |||
American Equity Investment Life Holding Co. | 8,666 | 486,249 | |
American Financial Group, Inc. | 5,994 | 765,734 | |
Assurant, Inc. | 4,575 | 797,880 | |
Axis Capital Holdings Ltd. | 9,220 | 565,463 | |
CNO Financial Group, Inc. | 16,807 | 442,528 | |
Enstar Group Ltd. (b) | 1,785 | 518,310 | |
Erie Indemnity Co. Class A | 2,205 | 843,765 | |
Genworth Financial, Inc. Class A (b) | 70,589 | 418,593 | |
Globe Life, Inc. | 7,110 | 541,569 | |
Goosehead Insurance (b) | 4,979 | 283,355 | |
Kinsale Capital Group, Inc. | 1,943 | 705,795 | |
National Western Life Group, Inc. | 726 | 354,883 | |
Old Republic International Corp. | 24,601 | 734,586 | |
Palomar Holdings, Inc. (b) | 6,167 | 485,158 | |
Primerica, Inc. | 3,160 | 669,478 | |
Reinsurance Group of America, Inc. | 5,295 | 990,112 | |
RenaissanceRe Holdings Ltd. | 4,187 | 918,000 | |
RLI Corp. | 4,310 | 609,219 | |
Ryan Specialty Group Holdings, Inc. | 12,214 | 602,639 | |
Selective Insurance Group, Inc. | 6,273 | 637,650 | |
Skyward Specialty Insurance Group, Inc. (b) | 11,222 | 391,872 | |
Unum Group | 16,186 | 820,630 | |
13,583,468 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
Blackstone Mortgage Trust, Inc. (c) | 24,505 | 432,268 | |
KKR Real Estate Finance Trust, Inc. | 26,430 | 248,706 | |
680,974 | |||
TOTAL FINANCIALS | 49,305,495 | ||
HEALTH CARE - 12.9% | |||
Biotechnology - 3.7% | |||
ACADIA Pharmaceuticals, Inc. (b) | 17,500 | 292,425 | |
ADMA Biologics, Inc. (b) | 64,990 | 423,735 | |
Alkermes PLC (b) | 19,710 | 483,683 | |
Arcellx, Inc. (b) | 6,175 | 308,874 | |
Ardelyx, Inc. (b) | 43,454 | 278,106 | |
Blueprint Medicines Corp. (b) | 6,894 | 629,698 | |
Catalyst Pharmaceutical Partners, Inc. (b) | 25,585 | 385,054 | |
Disc Medicine, Inc. (b) | 4,824 | 134,300 | |
Exact Sciences Corp. (b) | 14,450 | 857,608 | |
Exelixis, Inc. (b) | 30,232 | 709,243 | |
Halozyme Therapeutics, Inc. (b) | 15,608 | 594,665 | |
Ideaya Biosciences, Inc. (b) | 9,903 | 402,557 | |
Incyte Corp. (b) | 15,124 | 787,204 | |
Ionis Pharmaceuticals, Inc. (b) | 13,458 | 555,277 | |
Ironwood Pharmaceuticals, Inc. Class A (b) | 26,853 | 208,111 | |
Kiniksa Pharmaceuticals Ltd. (b) | 17,274 | 323,369 | |
Repligen Corp. (b) | 4,340 | 712,628 | |
United Therapeutics Corp. (b) | 3,910 | 916,230 | |
Vaxcyte, Inc. (b) | 8,508 | 515,159 | |
Vericel Corp. (b) | 9,087 | 416,821 | |
Viking Therapeutics, Inc. (b) | 17,284 | 1,375,447 | |
11,310,194 | |||
Health Care Equipment & Supplies - 2.6% | |||
Axonics, Inc. (b) | 7,011 | 466,722 | |
Dentsply Sirona, Inc. | 19,794 | 594,018 | |
Globus Medical, Inc. (b) | 11,822 | 588,617 | |
Haemonetics Corp. (b) | 6,410 | 589,400 | |
Integer Holdings Corp. (b) | 4,569 | 510,037 | |
Integra LifeSciences Holdings Corp. (b) | 10,684 | 311,652 | |
IRadimed Corp. | 7,004 | 284,432 | |
Lantheus Holdings, Inc. (b) | 9,097 | 605,314 | |
LeMaitre Vascular, Inc. | 5,902 | 382,450 | |
LivaNova PLC (b) | 8,651 | 482,293 | |
Merit Medical Systems, Inc. (b) | 6,748 | 500,027 | |
Neogen Corp. (b) | 29,153 | 359,456 | |
Omnicell, Inc. (b) | 11,203 | 300,352 | |
OraSure Technologies, Inc. (b) | 41,426 | 219,144 | |
QuidelOrtho Corp. (b) | 6,819 | 276,510 | |
Semler Scientific, Inc. (b) | 6,495 | 165,817 | |
Teleflex, Inc. | 3,737 | 780,099 | |
UFP Technologies, Inc. (b) | 1,982 | 408,173 | |
7,824,513 | |||
Health Care Providers & Services - 3.3% | |||
Addus HomeCare Corp. (b) | 4,089 | 393,157 | |
Amedisys, Inc. (b) | 4,879 | 449,112 | |
AMN Healthcare Services, Inc. (b) | 5,785 | 346,984 | |
Astrana Health, Inc. (b) | 10,212 | 379,376 | |
Chemed Corp. | 1,306 | 741,808 | |
Corvel Corp. (b) | 1,653 | 394,819 | |
Cross Country Healthcare, Inc. (b) | 14,699 | 258,702 | |
DaVita, Inc. (b) | 5,495 | 763,860 | |
Encompass Health Corp. | 9,409 | 784,522 | |
HealthEquity, Inc. (b) | 8,475 | 668,762 | |
Henry Schein, Inc. (b) | 10,964 | 759,586 | |
National Healthcare Corp. | 3,808 | 346,033 | |
National Research Corp. Class A | 8,098 | 277,357 | |
Option Care Health, Inc. (b) | 18,712 | 559,302 | |
PetIQ, Inc. Class A (b) | 16,912 | 276,004 | |
Premier, Inc. | 19,439 | 405,886 | |
Progyny, Inc. (b) | 11,913 | 381,931 | |
The Ensign Group, Inc. | 5,572 | 659,502 | |
U.S. Physical Therapy, Inc. | 3,818 | 387,565 | |
Universal Health Services, Inc. Class B | 5,091 | 867,659 | |
10,101,927 | |||
Health Care Technology - 0.4% | |||
Doximity, Inc. (b) | 16,820 | 408,558 | |
HealthStream, Inc. | 11,835 | 304,988 | |
Simulations Plus, Inc. | 8,260 | 374,591 | |
1,088,137 | |||
Life Sciences Tools & Services - 1.2% | |||
Bio-Techne Corp. | 12,892 | 814,903 | |
Bruker Corp. | 9,047 | 705,756 | |
Charles River Laboratories International, Inc. (b) | 4,149 | 950,121 | |
Medpace Holdings, Inc. (b) | 2,258 | 876,894 | |
OmniAb, Inc. (b) | 52,706 | 234,015 | |
Quanterix Corp. (b) | 14,007 | 225,793 | |
3,807,482 | |||
Pharmaceuticals - 1.7% | |||
Amneal Intermediate, Inc. (b) | 57,143 | 345,715 | |
Amphastar Pharmaceuticals, Inc. (b) | 7,306 | 301,373 | |
ANI Pharmaceuticals, Inc. (b) | 5,826 | 384,516 | |
Collegium Pharmaceutical, Inc. (b) | 10,227 | 377,683 | |
Corcept Therapeutics, Inc. (b) | 18,025 | 420,343 | |
Elanco Animal Health, Inc. (b) | 46,532 | 612,361 | |
Innoviva, Inc. (b) | 20,534 | 310,269 | |
Jazz Pharmaceuticals PLC (b) | 5,775 | 639,581 | |
Prestige Brands Holdings, Inc. (b) | 7,283 | 522,628 | |
Royalty Pharma PLC | 30,998 | 858,645 | |
Supernus Pharmaceuticals, Inc. (b) | 13,065 | 393,257 | |
5,166,371 | |||
TOTAL HEALTH CARE | 39,298,624 | ||
INDUSTRIALS - 18.4% | |||
Aerospace & Defense - 1.2% | |||
BWX Technologies, Inc. | 7,895 | 756,104 | |
Curtiss-Wright Corp. | 3,196 | 809,930 | |
Huntington Ingalls Industries, Inc. | 3,104 | 859,591 | |
Moog, Inc. Class A | 3,273 | 520,636 | |
Woodward, Inc. | 5,063 | 822,029 | |
3,768,290 | |||
Air Freight & Logistics - 0.3% | |||
C.H. Robinson Worldwide, Inc. | 9,647 | 684,937 | |
Hub Group, Inc. Class A | 8,735 | 351,322 | |
1,036,259 | |||
Building Products - 3.0% | |||
A.O. Smith Corp. | 9,752 | 807,856 | |
AAON, Inc. | 7,004 | 659,006 | |
Advanced Drain Systems, Inc. | 5,590 | 877,630 | |
Allegion PLC | 6,729 | 817,977 | |
American Woodmark Corp. (b) | 3,414 | 314,361 | |
Armstrong World Industries, Inc. | 4,794 | 550,735 | |
AZZ, Inc. | 5,070 | 363,164 | |
CSW Industrials, Inc. | 1,953 | 464,072 | |
Fortune Brands Innovations, Inc. | 9,895 | 723,325 | |
Gibraltar Industries, Inc. (b) | 4,488 | 320,712 | |
Janus International Group, Inc. (b) | 21,416 | 308,605 | |
MasterBrand, Inc. (b) | 23,662 | 394,446 | |
Simpson Manufacturing Co. Ltd. | 3,653 | 635,220 | |
Trex Co., Inc. (b) | 8,793 | 778,620 | |
UFP Industries, Inc. | 5,488 | 618,498 | |
Zurn Elkay Water Solutions Cor | 15,614 | 488,406 | |
9,122,633 | |||
Commercial Services & Supplies - 1.9% | |||
Brady Corp. Class A | 6,397 | 377,423 | |
Clean Harbors, Inc. (b) | 4,184 | 792,659 | |
CoreCivic, Inc. (b) | 22,448 | 334,475 | |
Ennis, Inc. | 13,117 | 261,028 | |
HNI Corp. | 8,403 | 352,506 | |
MSA Safety, Inc. | 3,474 | 626,710 | |
RB Global, Inc. | 13,783 | 986,587 | |
Steelcase, Inc. Class A | 23,620 | 284,149 | |
Tetra Tech, Inc. | 4,401 | 856,963 | |
The Brink's Co. | 5,404 | 472,634 | |
The GEO Group, Inc. (b) | 27,361 | 406,584 | |
5,751,718 | |||
Construction & Engineering - 1.6% | |||
Arcosa, Inc. | 5,609 | 426,396 | |
Argan, Inc. | 5,821 | 350,773 | |
Comfort Systems U.S.A., Inc. | 3,036 | 939,369 | |
Construction Partners, Inc. Class A (b) | 7,425 | 383,427 | |
EMCOR Group, Inc. | 3,625 | 1,294,741 | |
IES Holdings, Inc. (b) | 3,234 | 436,978 | |
MYR Group, Inc. (b) | 2,520 | 418,950 | |
Sterling Construction Co., Inc. (b) | 4,734 | 480,974 | |
4,731,608 | |||
Electrical Equipment - 1.3% | |||
Acuity Brands, Inc. | 2,711 | 673,141 | |
Atkore, Inc. | 3,687 | 646,331 | |
Encore Wire Corp. | 1,901 | 531,063 | |
EnerSys | 4,686 | 423,849 | |
nVent Electric PLC | 13,008 | 937,487 | |
Powell Industries, Inc. | 2,549 | 364,507 | |
Preformed Line Products Co. | 1,995 | 241,455 | |
3,817,833 | |||
Ground Transportation - 0.8% | |||
ArcBest Corp. | 3,256 | 361,123 | |
Knight-Swift Transportation Holdings, Inc. Class A | 12,961 | 599,187 | |
Landstar System, Inc. | 3,229 | 563,170 | |
XPO, Inc. (b) | 9,132 | 981,325 | |
2,504,805 | |||
Machinery - 4.0% | |||
AGCO Corp. | 5,362 | 612,287 | |
Alamo Group, Inc. (c) | 1,660 | 322,671 | |
Allison Transmission Holdings, Inc. | 8,806 | 647,681 | |
Crane Co. | 4,580 | 641,246 | |
Donaldson Co., Inc. | 10,222 | 738,028 | |
ESAB Corp. | 5,852 | 619,610 | |
ESCO Technologies, Inc. | 3,708 | 376,177 | |
Federal Signal Corp. | 6,389 | 519,426 | |
Flowserve Corp. | 12,981 | 612,184 | |
Franklin Electric Co., Inc. | 4,663 | 448,907 | |
Gorman-Rupp Co. | 8,384 | 278,097 | |
ITT, Inc. | 6,471 | 836,959 | |
Kadant, Inc. | 1,455 | 398,364 | |
Miller Industries, Inc. | 6,412 | 312,329 | |
Mueller Industries, Inc. | 11,047 | 616,644 | |
Oshkosh Corp. | 5,728 | 643,083 | |
RBC Bearings, Inc. (b) | 2,475 | 605,261 | |
SPX Technologies, Inc. (b) | 4,816 | 586,637 | |
Standex International Corp. | 2,233 | 386,041 | |
Tennant Co. | 3,486 | 406,049 | |
Terex Corp. | 7,485 | 419,534 | |
Toro Co. (c) | 8,278 | 725,070 | |
Watts Water Technologies, Inc. Class A | 2,689 | 533,659 | |
12,285,944 | |||
Marine Transportation - 0.1% | |||
Matson, Inc. | 4,088 | 440,605 | |
Passenger Airlines - 0.2% | |||
SkyWest, Inc. (b) | 6,641 | 484,992 | |
Professional Services - 2.7% | |||
ASGN, Inc. (b) | 5,147 | 496,428 | |
CACI International, Inc. Class A (b) | 1,927 | 775,097 | |
CBIZ, Inc. (b) | 6,480 | 461,246 | |
FTI Consulting, Inc. (b) | 3,206 | 685,539 | |
Huron Consulting Group, Inc. (b) | 3,276 | 305,454 | |
ICF International, Inc. | 2,641 | 381,070 | |
Insperity, Inc. | 4,051 | 416,969 | |
KBR, Inc. | 11,940 | 775,384 | |
Kelly Services, Inc. Class A (non-vtg.) | 13,142 | 301,477 | |
Kforce, Inc. | 4,506 | 278,291 | |
Maximus, Inc. | 6,252 | 501,911 | |
Parsons Corp. (b) | 5,893 | 462,659 | |
RCM Technologies, Inc. (b) | 8,884 | 168,352 | |
Robert Half, Inc. | 8,833 | 610,714 | |
Science Applications International Corp. | 4,768 | 613,642 | |
TriNet Group, Inc. | 3,804 | 381,807 | |
Verra Mobility Corp. (b) | 18,933 | 446,440 | |
8,062,480 | |||
Trading Companies & Distributors - 1.3% | |||
Applied Industrial Technologies, Inc. | 3,469 | 635,694 | |
Boise Cascade Co. | 3,902 | 516,118 | |
Core & Main, Inc. (b) | 14,951 | 844,283 | |
Global Industrial Co. | 6,161 | 237,260 | |
GMS, Inc. (b) | 5,061 | 468,244 | |
McGrath RentCorp. | 3,225 | 343,979 | |
MSC Industrial Direct Co., Inc. Class A (c) | 4,898 | 446,894 | |
Rush Enterprises, Inc. Class A | 8,516 | 374,023 | |
3,866,495 | |||
TOTAL INDUSTRIALS | 55,873,662 | ||
INFORMATION TECHNOLOGY - 11.5% | |||
Communications Equipment - 0.5% | |||
F5, Inc. (b) | 4,543 | 751,003 | |
Juniper Networks, Inc. | 23,823 | 829,517 | |
1,580,520 | |||
Electronic Equipment, Instruments & Components - 2.5% | |||
Arrow Electronics, Inc. (b) | 5,014 | 640,137 | |
Avnet, Inc. | 10,050 | 491,144 | |
Badger Meter, Inc. | 3,179 | 581,503 | |
Bel Fuse, Inc. Class B (non-vtg.) | 3,829 | 224,839 | |
Belden, Inc. | 5,312 | 431,706 | |
Daktronics, Inc. (b) | 31,218 | 295,010 | |
ePlus, Inc. (b) | 4,410 | 339,041 | |
Fabrinet (b) | 3,037 | 525,614 | |
Insight Enterprises, Inc. (b) | 2,744 | 500,972 | |
Littelfuse, Inc. | 2,325 | 536,238 | |
OSI Systems, Inc. (b) | 2,603 | 342,138 | |
PC Connection, Inc. | 4,132 | 256,060 | |
Plexus Corp. (b) | 3,843 | 388,181 | |
Sanmina Corp. (b) | 6,951 | 421,717 | |
TD SYNNEX Corp. | 5,430 | 639,871 | |
Vishay Intertechnology, Inc. | 17,190 | 397,777 | |
Vontier Corp. | 14,914 | 605,956 | |
7,617,904 | |||
IT Services - 0.6% | |||
Amdocs Ltd. | 9,006 | 756,414 | |
DXC Technology Co. (b) | 21,124 | 411,707 | |
Hackett Group, Inc. | 11,211 | 243,167 | |
Kyndryl Holdings, Inc. (b) | 23,602 | 464,015 | |
1,875,303 | |||
Semiconductors & Semiconductor Equipment - 1.7% | |||
Amkor Technology, Inc. | 12,724 | 411,621 | |
Axcelis Technologies, Inc. (b) | 3,551 | 367,600 | |
Cirrus Logic, Inc. (b) | 5,905 | 523,006 | |
Diodes, Inc. (b) | 5,860 | 427,839 | |
FormFactor, Inc. (b) | 10,066 | 448,843 | |
Onto Innovation, Inc. (b) | 4,107 | 761,807 | |
Photronics, Inc. (b) | 10,897 | 298,687 | |
Qorvo, Inc. (b) | 7,507 | 877,118 | |
Rambus, Inc. (b) | 9,256 | 507,414 | |
Universal Display Corp. | 3,736 | 590,213 | |
5,214,148 | |||
Software - 5.8% | |||
ACI Worldwide, Inc. (b) | 13,627 | 464,681 | |
Alarm.com Holdings, Inc. (b) | 6,460 | 429,590 | |
Altair Engineering, Inc. Class A (b) | 5,663 | 455,588 | |
AppFolio, Inc. (b) | 2,123 | 481,454 | |
AppLovin Corp. (b) | 12,701 | 896,310 | |
Aspen Technology, Inc. (b) | 2,707 | 532,927 | |
Bentley Systems, Inc. Class B | 17,155 | 901,152 | |
Blackbaud, Inc. (b) | 5,126 | 399,418 | |
BlackLine, Inc. (b) | 6,528 | 378,950 | |
Box, Inc. Class A (b) | 16,538 | 430,319 | |
CCC Intelligent Solutions Holdings, Inc. Class A (b) | 34,139 | 383,040 | |
Clearwater Analytics Holdings, Inc. (b) | 18,879 | 297,911 | |
CommVault Systems, Inc. (b) | 4,827 | 494,623 | |
DocuSign, Inc. (b) | 15,117 | 855,622 | |
Dolby Laboratories, Inc. Class A | 5,909 | 458,893 | |
DoubleVerify Holdings, Inc. (b) | 13,236 | 387,815 | |
Dropbox, Inc. Class A (b) | 21,267 | 492,544 | |
Elastic NV (b) | 6,384 | 652,572 | |
Five9, Inc. (b) | 6,991 | 402,472 | |
Freshworks, Inc. (b) | 19,209 | 342,881 | |
Guidewire Software, Inc. (b) | 6,543 | 722,347 | |
Informatica, Inc. (b) | 9,483 | 293,689 | |
InterDigital, Inc. | 3,594 | 354,836 | |
Liveramp Holdings, Inc. (b) | 9,253 | 297,114 | |
Mitek Systems, Inc. (b) | 20,030 | 252,979 | |
nCino, Inc. (b) | 10,678 | 311,370 | |
Procore Technologies, Inc. (b) | 8,071 | 552,218 | |
Progress Software Corp. | 6,319 | 314,813 | |
Qualys, Inc. (b) | 3,238 | 530,741 | |
Samsara, Inc. (b) | 16,138 | 563,700 | |
Smartsheet, Inc. (b) | 12,492 | 472,572 | |
SolarWinds, Inc. | 21,204 | 233,668 | |
SPS Commerce, Inc. (b) | 3,281 | 570,467 | |
Tenable Holdings, Inc. (b) | 11,228 | 504,923 | |
Teradata Corp. (b) | 10,146 | 376,417 | |
UiPath, Inc. Class A (b) | 32,413 | 614,875 | |
Varonis Systems, Inc. (b) | 11,044 | 483,175 | |
17,588,666 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Pure Storage, Inc. Class A (b) | 21,834 | 1,100,434 | |
TOTAL INFORMATION TECHNOLOGY | 34,976,975 | ||
MATERIALS - 5.7% | |||
Chemicals - 1.9% | |||
Axalta Coating Systems Ltd. (b) | 18,513 | 582,049 | |
Balchem Corp. | 3,284 | 464,292 | |
Eastman Chemical Co. | 9,063 | 855,910 | |
Element Solutions, Inc. | 21,700 | 501,921 | |
H.B. Fuller Co. | 5,742 | 428,985 | |
Hawkins, Inc. | 4,497 | 340,738 | |
Innospec, Inc. | 3,210 | 385,200 | |
Minerals Technologies, Inc. | 4,984 | 363,284 | |
NewMarket Corp. | 739 | 389,394 | |
Orion SA | 12,474 | 295,135 | |
The Mosaic Co. | 24,950 | 783,181 | |
Westlake Corp. | 3,264 | 480,983 | |
5,871,072 | |||
Construction Materials - 0.5% | |||
Eagle Materials, Inc. | 2,838 | 711,515 | |
Summit Materials, Inc. (b) | 12,300 | 478,470 | |
United States Lime & Minerals, Inc. | 966 | 299,460 | |
1,489,445 | |||
Containers & Packaging - 1.8% | |||
Aptargroup, Inc. | 5,292 | 764,059 | |
Berry Global Group, Inc. | 9,754 | 552,467 | |
Crown Holdings, Inc. | 9,056 | 743,226 | |
Graphic Packaging Holding Co. | 25,266 | 653,126 | |
Greif, Inc. Class A | 4,817 | 295,186 | |
International Paper Co. | 25,252 | 882,305 | |
Sonoco Products Co. | 9,103 | 510,223 | |
WestRock Co. | 19,615 | 940,735 | |
5,341,327 | |||
Metals & Mining - 1.3% | |||
Alpha Metallurgical Resources | 1,174 | 384,039 | |
Arch Resources, Inc. | 2,215 | 351,698 | |
Commercial Metals Co. | 10,583 | 568,730 | |
Materion Corp. | 2,909 | 334,360 | |
Royal Gold, Inc. | 5,451 | 654,829 | |
SunCoke Energy, Inc. | 24,584 | 253,461 | |
United States Steel Corp. | 16,945 | 618,493 | |
Warrior Metropolitan Coal, Inc. | 6,162 | 421,173 | |
Worthington Steel, Inc. | 8,589 | 264,455 | |
3,851,238 | |||
Paper & Forest Products - 0.2% | |||
Clearwater Paper Corp. (b) | 7,312 | 329,332 | |
Sylvamo Corp. | 6,486 | 405,375 | |
734,707 | |||
TOTAL MATERIALS | 17,287,789 | ||
REAL ESTATE - 6.6% | |||
Equity Real Estate Investment Trusts (REITs) - 6.2% | |||
American Homes 4 Rent Class A | 25,154 | 900,513 | |
Apartment Income (REIT) Corp. | 15,763 | 604,984 | |
Boston Properties, Inc. | 11,900 | 736,491 | |
Brandywine Realty Trust (SBI) | 67,104 | 304,652 | |
Brixmor Property Group, Inc. | 28,608 | 632,237 | |
Broadstone Net Lease, Inc. | 26,741 | 389,349 | |
CareTrust (REIT), Inc. | 18,912 | 467,505 | |
COPT Defense Properties (SBI) | 17,609 | 422,088 | |
Cousins Properties, Inc. | 19,926 | 457,102 | |
CubeSmart | 18,522 | 749,030 | |
Douglas Emmett, Inc. | 28,393 | 389,268 | |
Easterly Government Properties, Inc. | 27,098 | 316,776 | |
EastGroup Properties, Inc. | 4,025 | 625,324 | |
EPR Properties | 10,326 | 419,132 | |
Equity Commonwealth (b) | 20,094 | 376,160 | |
Essential Properties Realty Trust, Inc. | 19,466 | 512,734 | |
Federal Realty Investment Trust (SBI) | 6,743 | 702,418 | |
First Industrial Realty Trust, Inc. | 12,226 | 555,305 | |
Highwoods Properties, Inc. (SBI) | 17,059 | 446,946 | |
Kilroy Realty Corp. | 13,215 | 446,667 | |
Kite Realty Group Trust | 24,428 | 532,530 | |
Lamar Advertising Co. Class A | 7,319 | 847,906 | |
LTC Properties, Inc. | 10,966 | 362,975 | |
Medical Properties Trust, Inc. (c) | 109,026 | 501,520 | |
National Health Investors, Inc. | 7,256 | 457,563 | |
Net Lease Office Properties | 10,792 | 246,705 | |
NNN (REIT), Inc. | 16,654 | 674,987 | |
Omega Healthcare Investors, Inc. | 22,328 | 678,994 | |
Orion Office (REIT), Inc. | 51,803 | 161,625 | |
Piedmont Office Realty Trust, Inc. Class A | 44,251 | 304,889 | |
Regency Centers Corp. | 13,461 | 797,160 | |
STAG Industrial, Inc. | 17,276 | 594,122 | |
Tanger, Inc. | 15,469 | 438,546 | |
Terreno Realty Corp. | 8,977 | 487,900 | |
UDR, Inc. | 23,939 | 911,597 | |
Vornado Realty Trust | 18,231 | 474,553 | |
18,928,253 | |||
Real Estate Management & Development - 0.4% | |||
Forestar Group, Inc. (b) | 8,809 | 272,991 | |
Jones Lang LaSalle, Inc. (b) | 4,034 | 728,944 | |
The RMR Group, Inc. | 10,245 | 243,011 | |
1,244,946 | |||
TOTAL REAL ESTATE | 20,173,199 | ||
UTILITIES - 2.8% | |||
Electric Utilities - 1.7% | |||
Allete, Inc. | 7,382 | 437,162 | |
Evergy, Inc. | 17,541 | 920,025 | |
Genie Energy Ltd. Class B | 14,130 | 216,048 | |
Hawaiian Electric Industries, Inc. | 24,656 | 242,862 | |
IDACORP, Inc. | 5,469 | 518,352 | |
MGE Energy, Inc. (c) | 5,810 | 455,039 | |
OGE Energy Corp. | 18,536 | 642,272 | |
Otter Tail Corp. | 4,991 | 426,032 | |
Pinnacle West Capital Corp. | 9,831 | 724,053 | |
Portland General Electric Co. | 11,568 | 500,085 | |
5,081,930 | |||
Gas Utilities - 0.3% | |||
National Fuel Gas Co. | 10,402 | 552,346 | |
ONE Gas, Inc. (c) | 7,100 | 458,092 | |
1,010,438 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Clearway Energy, Inc. Class C | 16,352 | 382,310 | |
Multi-Utilities - 0.6% | |||
Avista Corp. | 11,580 | 416,648 | |
Black Hills Corp. | 8,558 | 469,834 | |
NiSource, Inc. | 32,614 | 908,626 | |
1,795,108 | |||
Water Utilities - 0.1% | |||
Consolidated Water Co., Inc. | 8,811 | 224,240 | |
TOTAL UTILITIES | 8,494,026 | ||
TOTAL COMMON STOCKS (Cost $303,056,796) | 303,556,424 | ||
Money Market Funds - 1.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (d) | 246,391 | 246,441 | |
Fidelity Securities Lending Cash Central Fund 5.39% (d)(e) | 4,173,507 | 4,173,924 | |
TOTAL MONEY MARKET FUNDS (Cost $4,420,365) | 4,420,365 | ||
TOTAL INVESTMENT IN SECURITIES - 101.3% (Cost $307,477,161) | 307,976,789 |
NET OTHER ASSETS (LIABILITIES) - (1.3)% (f) | (4,006,405) |
NET ASSETS - 100.0% | 303,970,384 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 3 | Jun 2024 | 297,840 | 995 | 995 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1% |
Legend
(a) | Level 3 security |
(b) | Non-income producing |
(c) | Security or a portion of the security is on loan at period end. |
(d) | 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. |
(e) | Investment made with cash collateral received from securities on loan. |
(f) | Includes $58,500 of cash collateral to cover margin requirements for futures contracts. |
Additional information on each restricted holding is as follows: | ||
Security | Acquisition Date | Acquisition Cost ($) |
GCI Liberty, Inc. Class A (Escrow) | 5/23/23 | 0 |
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% | 217,417 | 5,965,089 | 5,936,059 | 7,449 | (6) | - | 246,441 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 4,432,050 | 22,628,148 | 22,886,274 | 17,072 | - | - | 4,173,924 | 0.0% |
Total | 4,649,467 | 28,593,237 | 28,822,333 | 24,521 | (6) | - | 4,420,365 | |
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.
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 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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