Fidelity® Nasdaq Composite Index® Tracking Stock
Annual Report
November 30, 2019
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Nasdaq®, OMX®, NASDAQ OMX®, Nasdaq Composite®, and The Nasdaq Stock Market®, Inc. are registered trademarks of The NASDAQ OMXGroup, Inc. (which with its Affiliates are the Corporations) and are licensed for use by Fidelity. The product has not been passed on by the Corporations as to its legality or suitability. The product is not issued, endorsed or sold by the Corporations. The Corporations make no warranties and bear no liability with respect to shares of the product.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
The fund's net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing mutual fund shares as of the close of regular trading hours on The Nasdaq Stock Market, normally 4:00 p.m. Eastern time (or NYSE if NASDAQ is closed). The fund's market price performance is based on the daily closing price of the shares of the fund on The Nasdaq Stock Market.
Cumulative total returns reflect performance over the period shown generally by adding one year's return — positive or negative — to the next year's return. NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any), at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Cumulative Total Returns
| Periods ended November 30, 2019 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Nasdaq Composite Index® Tracking Stock - NAV | 19.83% | 90.70% | 346.80% |
| Fidelity® Nasdaq Composite Index® Tracking Stock - Market Price | 19.89% | 90.39% | 348.43% |
| Nasdaq Composite Index® | 19.51% | 91.36% | 352.71% |
| S&P 500 | 16.11% | 68.34% | 252.89% |
Average Annual Total Returns
| For the periods ended November 30, 2019 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Nasdaq Composite Index® Tracking Stock - NAV | 19.83% | 13.78% | 16.15% |
| Fidelity® Nasdaq Composite Index® Tracking Stock - Market Price | 19.89% | 13.74% | 16.19% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Nasdaq Composite Index® Tracking Stock - NAV on November 30, 2009.
The chart shows how the value of your investment would have changed, and also shows how the Nasdaq Composite Index® and S&P 500 Index performed over the same period.
| Period Ending Values |
| $44,680 | Fidelity® Nasdaq Composite Index® Tracking Stock - NAV |
| $45,271 | Nasdaq Composite Index® |
| $35,289 | S&P 500 Index |
Management's Discussion of Fund Performance
Market Recap: U.S. stocks continued to roll for the year ending November 30, 2019, with the S&P 500
® index soaring 16.11% and marking history as the longest and strongest bull market ever, despite persistent, nagging concerns about global growth and trade. After a rough December 2018, upbeat company earnings, along with signs the Fed may pause on rates, boosted stocks to an all-time high on April 30. In May, however, volatility spiked and the index sunk as trade negotiations between the U.S. and China broke down. The bull market roared back to recorded a series of highs in July, when the Fed, affirming a dovish shift in policy, cut interest rates for the first time since 2008. Volatility intensified in August, however, as the Treasury yield curve inverted for the first time since 2007, which some investors viewed as a sign the U.S. economy could be heading for recession. The market proved resilient, however, achieving a new high on October 30, when the Fed lowered rates for the third time this year. The rally continued with a strong November (+4%). Information technology (+32%) led the way, as investors regained comfort taking on risk. Communication services (+21%) also stood out, followed by real estate (+18%) and utilities (+17%). In contrast, energy (-8%) was by far the weakest group – struggling amid sluggish oil prices – while several solid gainers nonetheless fell short of the market: health care (+7%), consumer staples and materials (+13% each), financials and consumer discretionary (+14% each), and industrials (+16%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the exchange traded fund's (ETF) net asset value gained 19.83%, compared with an increase of 19.51% for the benchmark NASDAQ Composite Index. The ETF's market price rose 19.89% over the same time frame. At the individual-stock level, the largest positive impact on performance came from the two largest companies in the index, Apple and Microsoft. Apple (+52%), a maker of consumer electronics and personal computers, reported especially strong growth in services and wearable electronics, while software company Microsoft (+39%) benefited from strong earnings growth and a decision to buy back stock and increase its quarterly dividend. Better-than-expected financial results lifted shares of social media company Facebook (+43%). Other notable contributors included Alphabet (combining its Class A and Class C shares), parent company of online search giant Google – whose shares rose on the company's strong financial results and announcement of a $25 billion share buyback plan – and online retailer Amazon.com (+7%). In contrast, weak financial results weighed on shares of pharmacy retail chain Walgreens Boots Alliance (-27%). Kraft Heinz (-37%) detracted, with much of its decline coming in February, after the packaged-foods company reported an exceptionally large charge to its quarterly earnings and simultaneously announced a government inquiry into the firm's accounting practices. China-based Baidu (-37%) struggled, as the company anticipated continued challenges for its core online search-advertising business.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Note to Shareholders: On March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Premium/Discount Analysis (Unaudited)
Shares of Fidelity® Nasdaq Composite Index® Tracking Stock (the fund) are listed on The Nasdaq Stock Market® and can be bought and sold on the secondary market at market prices. Although the market price is expected to approximate the fund's NAV, it is possible that the market price and NAV will vary significantly. The closing market price is the daily closing price as reported on The Nasdaq Stock Market.
Premiums or discounts are the differences (expressed as a basis point differential with 1 basis point equaling 1/100 of 1%) between the fund's NAV and closing market price. A premium indicates that the closing market price is trading above the NAV. A discount indicates that the closing market price is trading below the NAV. A discrepancy may exist with respect to the timing of when the NAV is calculated and the determination of the closing market price.
The chart below presents information about the differences between the fund's daily closing market price and the fund's NAV.
Period Ended From December 1, 2014 to November 30, 2019
| | Closing Price Below NAV | Closing Price Above or Equal to NAV |
| Basis Point Differential | Number of Days | % of Total Days | Number of Days | % of Total Days |
| 0 - <25 | 341 | 27.08% | 863 | 68.55% |
| 25 - <50 | 8 | 0.64% | 45 | 3.57% |
| 50 - <75 | 0 | -- | 1 | 0.08% |
| 75 - <100 | 0 | -- | 0 | -- |
| 100 or above | 0 | -- | 1 | 0.08% |
| Total | 349 | 27.72% | 910 | 72.28% |
Investment Summary (Unaudited)
Top Ten Stocks as of November 30, 2019
| | % of fund's net assets |
| Apple, Inc. | 7.3 |
| Microsoft Corp. | 7.0 |
| Amazon.com, Inc. | 5.4 |
| Facebook, Inc. Class A | 3.1 |
| Alphabet, Inc. Class C | 2.7 |
| Alphabet, Inc. Class A | 2.4 |
| Intel Corp. | 1.6 |
| Cisco Systems, Inc. | 1.3 |
| Comcast Corp. Class A | 1.2 |
| PepsiCo, Inc. | 1.2 |
| | 33.2 |
Top Market Sectors as of November 30, 2019
| | % of fund's net assets |
| Information Technology | 33.7 |
| Communication Services | 14.4 |
| Consumer Discretionary | 10.8 |
| Health Care | 8.7 |
| Financials | 5.6 |
| Industrials | 3.9 |
| Consumer Staples | 3.7 |
| Real Estate | 1.1 |
| Utilities | 0.8 |
| Materials | 0.3 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 * |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 4.9%
Schedule of Investments November 30, 2019
Showing Percentage of Net Assets
| Common Stocks - 83.2% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 14.4% | | | |
| Diversified Telecommunication Services - 0.1% | | | |
| ATN International, Inc. | | 3,980 | $223,477 |
| Cogent Communications Group, Inc. | | 3,949 | 247,523 |
| Consolidated Communications Holdings, Inc. (a) | | 24,894 | 90,365 |
| Frontier Communications Corp. (a)(b) | | 171,387 | 115,669 |
| GCI Liberty, Inc. (b) | | 16,228 | 1,152,026 |
| Iridium Communications, Inc. (b) | | 20,109 | 468,540 |
| | | | 2,297,600 |
| Entertainment - 1.9% | | | |
| Activision Blizzard, Inc. | | 110,422 | 6,054,438 |
| Bilibili, Inc. ADR (b) | | 9,513 | 164,385 |
| Electronic Arts, Inc. (b) | | 42,465 | 4,289,390 |
| Glu Mobile, Inc. (b) | | 2,692 | 14,887 |
| iQIYI, Inc. ADR (a)(b) | | 62,117 | 1,189,541 |
| LiveXLive Media, Inc. (a)(b) | | 5,524 | 10,606 |
| NetEase, Inc. ADR | | 10,934 | 3,447,709 |
| Netflix, Inc. (b) | | 65,773 | 20,696,132 |
| Roku, Inc. Class A (b) | | 13,098 | 2,100,526 |
| Take-Two Interactive Software, Inc. (b) | | 16,239 | 1,970,603 |
| Viacom, Inc. Class B (non-vtg.) | | 53,327 | 1,283,581 |
| Zynga, Inc. (b) | | 143,540 | 894,254 |
| | | | 42,116,052 |
| Interactive Media & Services - 8.9% | | | |
| Alphabet, Inc.: | | | |
| Class A (b) | | 39,644 | 51,699,344 |
| Class C (b) | | 45,588 | 59,490,516 |
| Baidu.com, Inc. sponsored ADR (b) | | 47,446 | 5,623,774 |
| CarGurus, Inc. Class A (a)(b) | | 17,582 | 704,862 |
| Facebook, Inc. Class A (b) | | 332,869 | 67,119,705 |
| IAC/InterActiveCorp (b) | | 13,870 | 3,088,849 |
| Luokung Technology Corp. (a)(b) | | 32,954 | 44,488 |
| Match Group, Inc. (a) | | 14,656 | 1,032,955 |
| Momo, Inc. ADR | | 25,047 | 937,509 |
| Qutoutiao, Inc. ADR (a)(b) | | 44,295 | 129,784 |
| So-Young International, Inc. ADR (a) | | 8,897 | 109,611 |
| Sohu.Com Ltd. ADR (b) | | 7,502 | 76,820 |
| TripAdvisor, Inc. | | 25,730 | 730,732 |
| Trivago NV ADR (b) | | 6,451 | 15,031 |
| TrueCar, Inc. (b) | | 32,340 | 169,785 |
| Weibo Corp. sponsored ADR (a)(b) | | 14,867 | 636,456 |
| Yandex NV Series A (b) | | 50,221 | 2,107,775 |
| YY, Inc. ADR (b) | | 8,245 | 525,949 |
| Zillow Group, Inc.: | | | |
| Class A (a)(b) | | 8,420 | 328,885 |
| Class C (a)(b) | | 20,629 | 807,625 |
| | | | 195,380,455 |
| Media - 3.0% | | | |
| Charter Communications, Inc. Class A (b) | | 31,052 | 14,594,751 |
| Comcast Corp. Class A | | 610,604 | 26,958,167 |
| comScore, Inc.(b) | | 39,888 | 163,142 |
| Criteo SA sponsored ADR (b) | | 7,970 | 142,265 |
| Discovery Communications, Inc.: | | | |
| Class A (a)(b) | | 26,075 | 858,911 |
| Class C (non-vtg.) (b) | | 54,304 | 1,657,358 |
| DISH Network Corp.: | | | |
| rights 12/9/19 (b) | | 1,798 | 1,223 |
| Class A (b) | | 33,372 | 1,140,321 |
| Fox Corp.: | | | |
| Class A | | 47,128 | 1,685,297 |
| Class B | | 35,789 | 1,251,899 |
| Liberty Broadband Corp.: | | | |
| Class A (b) | | 4,183 | 494,891 |
| Class C (b) | | 25,488 | 3,045,561 |
| Liberty Global PLC: | | | |
| Class A (b) | | 25,596 | 577,190 |
| Class C (b) | | 61,699 | 1,326,529 |
| Liberty Latin America Ltd. Class A (b) | | 16,276 | 289,713 |
| Liberty Media Corp.: | | | |
| Liberty Braves Class C (b) | | 13,808 | 390,766 |
| Liberty Formula One Group Series C (b) | | 37,874 | 1,707,739 |
| Liberty SiriusXM Series A (b) | | 20,707 | 1,008,431 |
| Liberty SiriusXM Series C (b) | | 29,331 | 1,422,847 |
| Loral Space & Communications Ltd. (b) | | 7,937 | 268,747 |
| News Corp.: | | | |
| Class A | | 63,182 | 813,784 |
| Class B | | 32,438 | 427,208 |
| Nexstar Broadcasting Group, Inc. Class A | | 7,430 | 800,285 |
| Scholastic Corp. | | 12,617 | 468,469 |
| Sinclair Broadcast Group, Inc. Class A | | 9,690 | 337,503 |
| Sirius XM Holdings, Inc. (a) | | 628,571 | 4,387,426 |
| | | | 66,220,423 |
| Wireless Telecommunication Services - 0.5% | | | |
| Gogo, Inc. (a)(b) | | 19,192 | 97,112 |
| Millicom International Cellular SA (a) | | 13,582 | 608,609 |
| Shenandoah Telecommunications Co. | | 11,124 | 417,706 |
| T-Mobile U.S., Inc. (b) | | 116,987 | 9,189,329 |
| Vodafone Group PLC sponsored ADR | | 78,949 | 1,564,769 |
| | | | 11,877,525 |
|
| TOTAL COMMUNICATION SERVICES | | | 317,892,055 |
|
| CONSUMER DISCRETIONARY - 10.8% | | | |
| Auto Components - 0.1% | | | |
| Dorman Products, Inc. (b) | | 5,869 | 436,184 |
| Fox Factory Holding Corp. (a)(b) | | 9,306 | 613,545 |
| Gentex Corp. | | 52,790 | 1,499,236 |
| Gentherm, Inc. (b) | | 10,408 | 435,575 |
| | | | 2,984,540 |
| Automobiles - 0.4% | | | |
| Tesla, Inc. (b) | | 25,276 | 8,339,563 |
| Distributors - 0.2% | | | |
| Core-Mark Holding Co., Inc. | | 13,901 | 374,632 |
| LKQ Corp. (b) | | 55,721 | 1,965,837 |
| Pool Corp. | | 6,579 | 1,358,235 |
| | | | 3,698,704 |
| Diversified Consumer Services - 0.1% | | | |
| Career Education Corp. (b) | | 25,418 | 423,972 |
| Frontdoor, Inc. (b) | | 10,936 | 494,963 |
| Grand Canyon Education, Inc. (b) | | 8,828 | 752,057 |
| Strategic Education, Inc. | | 2,094 | 296,804 |
| Weight Watchers International, Inc. (b) | | 9,128 | 395,151 |
| | | | 2,362,947 |
| Hotels, Restaurants & Leisure - 1.5% | | | |
| Bloomin' Brands, Inc. | | 20,069 | 482,659 |
| Caesars Entertainment Corp. (b) | | 95,321 | 1,242,986 |
| Churchill Downs, Inc. | | 5,681 | 738,587 |
| Cracker Barrel Old Country Store, Inc. (a) | | 2,991 | 459,836 |
| Dave & Buster's Entertainment, Inc. | | 9,962 | 400,273 |
| Denny's Corp. (b) | | 21,499 | 420,090 |
| Dunkin' Brands Group, Inc. | | 13,337 | 1,020,947 |
| Eldorado Resorts, Inc. (a)(b) | | 10,982 | 587,647 |
| Golden Entertainment, Inc. (b) | | 9,766 | 176,960 |
| Huazhu Group Ltd. ADR | | 26,817 | 917,410 |
| Jack in the Box, Inc. (a) | | 4,422 | 350,620 |
| Marriott International, Inc. Class A | | 44,850 | 6,295,146 |
| Melco Crown Entertainment Ltd. sponsored ADR | | 29,734 | 632,740 |
| Monarch Casino & Resort, Inc. (b) | | 6,659 | 303,650 |
| Papa John's International, Inc. (a) | | 5,835 | 369,239 |
| Penn National Gaming, Inc. (b) | | 16,605 | 382,413 |
| Playa Hotels & Resorts NV (b) | | 34,468 | 271,608 |
| Ruth's Hospitality Group, Inc. | | 11,698 | 273,382 |
| Scientific Games Corp. Class A (b) | | 11,223 | 307,061 |
| Starbucks Corp. | | 156,661 | 13,383,549 |
| Texas Roadhouse, Inc. Class A | | 11,765 | 681,194 |
| The Cheesecake Factory, Inc. (a) | | 8,057 | 351,366 |
| The Stars Group, Inc. (b) | | 38,620 | 937,952 |
| Wendy's Co. | | 32,697 | 701,024 |
| Wingstop, Inc. | | 8,051 | 644,080 |
| Wynn Resorts Ltd. | | 12,678 | 1,532,136 |
| | | | 33,864,555 |
| Household Durables - 0.3% | | | |
| Cavco Industries, Inc. (b) | | 2,340 | 468,023 |
| Garmin Ltd. | | 28,864 | 2,819,724 |
| GoPro, Inc. Class A (a)(b) | | 14,299 | 57,768 |
| Helen of Troy Ltd. (b) | | 3,921 | 632,928 |
| LGI Homes, Inc. (a)(b) | | 4,337 | 313,435 |
| Newell Brands, Inc. | | 60,000 | 1,153,200 |
| Sonos, Inc. (a)(b) | | 4,896 | 67,810 |
| Universal Electronics, Inc. (b) | | 5,173 | 287,619 |
| | | | 5,800,507 |
| Internet & Direct Marketing Retail - 6.8% | | | |
| Amazon.com, Inc. (b) | | 65,449 | 117,860,559 |
| Baozun, Inc. sponsored ADR (a)(b) | | 7,042 | 267,385 |
| CNOVA NV (a)(b) | | 49,959 | 137,612 |
| Ctrip.com International Ltd. ADR (b) | | 79,750 | 2,650,890 |
| Duluth Holdings, Inc. (a)(b) | | 13,850 | 127,836 |
| eBay, Inc. | | 108,134 | 3,840,920 |
| Etsy, Inc. (b) | | 24,548 | 1,065,138 |
| Expedia, Inc. | | 24,592 | 2,500,023 |
| Groupon, Inc. (b) | | 74,225 | 215,253 |
| JD.com, Inc. sponsored ADR (b) | | 133,787 | 4,368,146 |
| Lands' End, Inc. (a)(b) | | 10,709 | 126,152 |
| MercadoLibre, Inc. (b) | | 6,737 | 3,911,367 |
| Overstock.com, Inc. (a)(b) | | 11,988 | 90,989 |
| PetMed Express, Inc. (a) | | 7,332 | 167,390 |
| Pinduoduo, Inc. ADR (b) | | 40,482 | 1,455,328 |
| Reebonz Holding Ltd. (a)(b) | | 21,969 | 26,143 |
| Secoo Holding Ltd. ADR (b) | | 2,876 | 18,263 |
| Stamps.com, Inc. (b) | | 3,849 | 335,825 |
| Stitch Fix, Inc. (a)(b) | | 15,033 | 354,478 |
| The Booking Holdings, Inc. (b) | | 5,270 | 10,034,238 |
| The RealReal, Inc. (a) | | 13,134 | 225,905 |
| Uxin Ltd. ADR (a)(b) | | 29,817 | 74,244 |
| Waitr Holdings, Inc. (a)(b) | | 80,026 | 30,410 |
| Yunji, Inc. ADR (a) | | 11,265 | 44,497 |
| | | | 149,928,991 |
| Leisure Products - 0.1% | | | |
| Hasbro, Inc. | | 18,946 | 1,926,808 |
| Multiline Retail - 0.2% | | | |
| Dollar Tree, Inc. (b) | | 31,601 | 2,890,227 |
| Ollie's Bargain Outlet Holdings, Inc. (a)(b) | | 11,769 | 769,693 |
| | | | 3,659,920 |
| Specialty Retail - 0.8% | | | |
| Bed Bath & Beyond, Inc. | | 9,120 | 132,970 |
| Conn's, Inc. (a)(b) | | 6,417 | 140,725 |
| Five Below, Inc. (b) | | 9,239 | 1,142,957 |
| Monro, Inc. | | 8,370 | 614,358 |
| National Vision Holdings, Inc. (b) | | 11,255 | 339,901 |
| O'Reilly Automotive, Inc. (b) | | 11,028 | 4,877,464 |
| Office Depot, Inc. | | 48,241 | 107,577 |
| Rent-A-Center, Inc. | | 15,998 | 416,428 |
| Ross Stores, Inc. | | 51,052 | 5,929,690 |
| Sleep Number Corp. (b) | | 11,958 | 577,213 |
| The Children's Place Retail Stores, Inc. (a) | | 3,531 | 255,150 |
| Tractor Supply Co. | | 19,741 | 1,864,340 |
| Ulta Beauty, Inc. (b) | | 8,712 | 2,037,388 |
| Urban Outfitters, Inc. (a)(b) | | 21,640 | 555,282 |
| | | | 18,991,443 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Columbia Sportswear Co. | | 13,863 | 1,282,328 |
| Crocs, Inc. (b) | | 21,032 | 734,017 |
| lululemon athletica, Inc. (b) | | 19,391 | 4,376,355 |
| Sequential Brands Group, Inc. (a)(b) | | 37,202 | 14,881 |
| Steven Madden Ltd. | | 19,983 | 848,678 |
| | | | 7,256,259 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 238,814,237 |
|
| CONSUMER STAPLES - 3.7% | | | |
| Beverages - 1.4% | | | |
| Coca-Cola Bottling Co. Consolidated | | 2,173 | 587,058 |
| MGP Ingredients, Inc. (a) | | 4,818 | 219,797 |
| Monster Beverage Corp. (b) | | 75,518 | 4,517,487 |
| National Beverage Corp. (a) | | 7,202 | 357,507 |
| PepsiCo, Inc. | | 185,479 | 25,193,613 |
| | | | 30,875,462 |
| Food & Staples Retailing - 1.3% | | | |
| Casey's General Stores, Inc. | | 5,990 | 1,040,882 |
| Costco Wholesale Corp. | | 59,770 | 17,919,644 |
| Grocery Outlet Holding Corp. (a) | | 27,142 | 899,214 |
| PriceSmart, Inc. | | 7,246 | 541,566 |
| Walgreens Boots Alliance, Inc. | | 129,975 | 7,746,510 |
| | | | 28,147,816 |
| Food Products - 0.9% | | | |
| Beyond Meat, Inc. (a) | | 7,860 | 652,066 |
| Bridgford Foods Corp. (b) | | 2,905 | 77,796 |
| Cal-Maine Foods, Inc. (a) | | 5,491 | 239,023 |
| Calavo Growers, Inc. (a) | | 4,830 | 430,788 |
| Hostess Brands, Inc. Class A (a)(b) | | 27,665 | 372,094 |
| J&J Snack Foods Corp. | | 2,640 | 488,400 |
| Lancaster Colony Corp. | | 3,608 | 570,172 |
| Mondelez International, Inc. | | 201,306 | 10,576,617 |
| Pilgrim's Pride Corp. (b) | | 35,312 | 1,112,328 |
| Sanderson Farms, Inc. | | 3,521 | 583,007 |
| The Kraft Heinz Co. | | 182,213 | 5,557,497 |
| | | | 20,659,788 |
| Household Products - 0.1% | | | |
| Central Garden & Pet Co. Class A (non-vtg.) (b) | | 10,241 | 256,127 |
| WD-40 Co. | | 3,521 | 679,940 |
| | | | 936,067 |
| Personal Products - 0.0% | | | |
| China SXT Pharmaceuticals, Inc. (a) | | 4,287 | 3,794 |
| Inter Parfums, Inc. | | 8,449 | 595,570 |
| | | | 599,364 |
|
| TOTAL CONSUMER STAPLES | | | 81,218,497 |
|
| ENERGY - 0.2% | | | |
| Energy Equipment & Services - 0.0% | | | |
| CSI Compressco LP | | 20,594 | 50,043 |
| Geospace Technologies Corp. (b) | | 5,066 | 73,052 |
| KLX Energy Services Holdings, Inc. (b) | | 14,392 | 81,315 |
| Mammoth Energy Services, Inc. | | 1,996 | 3,134 |
| SAExploration Holdings, Inc. (b) | | 3,479 | 8,280 |
| Smart Sand, Inc. (a)(b) | | 47,491 | 110,179 |
| Synthesis Energy Systems, Inc. (a)(b) | | 1,776 | 10,052 |
| | | | 336,055 |
| Oil, Gas & Consumable Fuels - 0.2% | | | |
| Abraxas Petroleum Corp. (b) | | 62,335 | 16,020 |
| Alliance Resource Partners LP | | 19,929 | 209,255 |
| Altus Midstream Co. (b) | | 31,094 | 60,011 |
| Amplify Energy Corp. New warrants 5/4/22 (b) | | 322 | 3 |
| Berry Petroleum Corp. | | 15,875 | 126,524 |
| Blueknight Energy Partners LP | | 29,345 | 31,399 |
| Calumet Specialty Products Partners LP (b) | | 5,644 | 17,440 |
| Clean Energy Fuels Corp. (b) | | 82,835 | 161,528 |
| Diamondback Energy, Inc. | | 28,178 | 2,179,287 |
| Golar LNG Ltd. | | 3,550 | 46,221 |
| National Energy Services Reunited Corp. (a)(b) | | 16,343 | 149,538 |
| Nextdecade Corp. (a)(b) | | 23,887 | 156,460 |
| Pacific Ethanol, Inc. (b) | | 15,366 | 7,436 |
| Penn Virginia Corp. (b) | | 7,344 | 177,358 |
| Rosehill Resources, Inc. (a)(b) | | 9,046 | 10,584 |
| StealthGas, Inc. (b) | | 12,758 | 44,398 |
| Tellurian, Inc. (a)(b) | | 40,751 | 297,075 |
| Top Ships, Inc. (a)(b) | | 16,272 | 12,346 |
| Viper Energy Partners LP | | 6,394 | 151,666 |
| Westwater Resources, Inc. (a)(b) | | 5,768 | 14,939 |
| | | | 3,869,488 |
|
| TOTAL ENERGY | | | 4,205,543 |
|
| FINANCIALS - 5.6% | | | |
| Banks - 2.3% | | | |
| 1st Source Corp. | | 7,466 | 383,827 |
| Ameris Bancorp | | 9,737 | 425,020 |
| BancFirst Corp. | | 8,408 | 496,829 |
| Bank OZK | | 12,921 | 383,495 |
| Banner Corp. | | 8,490 | 463,809 |
| BOK Financial Corp. | | 14,155 | 1,179,678 |
| Boston Private Financial Holdings, Inc. | | 24,137 | 283,368 |
| Bridge Bancorp, Inc. | | 8,138 | 265,950 |
| Brookline Bancorp, Inc., Delaware | | 23,658 | 379,711 |
| Camden National Corp. | | 6,691 | 290,657 |
| Cathay General Bancorp | | 11,462 | 422,031 |
| Centerstate Banks of Florida, Inc. | | 22,089 | 561,723 |
| City Holding Co. | | 4,871 | 387,147 |
| Columbia Banking Systems, Inc. | | 14,067 | 549,738 |
| Commerce Bancshares, Inc. (a) | | 21,771 | 1,459,310 |
| Community Trust Bancorp, Inc. | | 6,566 | 295,076 |
| ConnectOne Bancorp, Inc. | | 11,804 | 297,343 |
| CVB Financial Corp. | | 25,493 | 544,530 |
| Eagle Bancorp, Inc. | | 5,956 | 264,566 |
| East West Bancorp, Inc. | | 26,947 | 1,234,712 |
| Enterprise Bancorp, Inc. | | 1,972 | 62,887 |
| Enterprise Financial Services Corp. | | 7,782 | 351,746 |
| Farmers & Merchants Bancorp, Inc. | | 733 | 19,021 |
| Fifth Third Bancorp | | 132,855 | 4,010,892 |
| First Bancorp, North Carolina | | 9,371 | 366,406 |
| First Busey Corp. | | 13,234 | 352,024 |
| First Citizens Bancshares, Inc. | | 2,215 | 1,151,357 |
| First Financial Bancorp, Ohio | | 8,422 | 204,823 |
| First Financial Bankshares, Inc. (a) | | 29,266 | 1,011,726 |
| First Financial Corp., Indiana | | 5,686 | 251,435 |
| First Hawaiian, Inc. | | 28,859 | 823,636 |
| First Internet Bancorp | | 6,794 | 154,224 |
| First Merchants Corp. | | 3,983 | 161,272 |
| First Midwest Bancorp, Inc., Delaware | | 11,058 | 238,410 |
| First of Long Island Corp. | | 8,401 | 203,556 |
| Flushing Financial Corp. | | 10,762 | 228,154 |
| Fulton Financial Corp. (a) | | 28,336 | 486,246 |
| German American Bancorp, Inc. | | 8,665 | 292,011 |
| Glacier Bancorp, Inc. | | 17,117 | 750,580 |
| Great Southern Bancorp, Inc. | | 5,486 | 334,811 |
| Grupo Financiero Galicia SA sponsored ADR | | 5,193 | 69,378 |
| Hancock Whitney Corp. | | 12,320 | 500,315 |
| HarborOne Bancorp, Inc. | | 25,825 | 274,003 |
| Heartland Financial U.S.A., Inc. | | 8,187 | 386,590 |
| Home Bancshares, Inc. (a) | | 27,393 | 515,536 |
| Hope Bancorp, Inc. | | 12,824 | 186,076 |
| Howard Bancorp, Inc. (b) | | 5,998 | 99,927 |
| Huntington Bancshares, Inc. | | 206,945 | 3,081,411 |
| IBERIABANK Corp. | | 6,842 | 499,398 |
| Independent Bank Corp., Massachusetts | | 9,814 | 826,339 |
| Independent Bank Group, Inc. | | 12,096 | 697,092 |
| International Bancshares Corp. | | 15,319 | 649,832 |
| Investar Holding Corp. | | 1,440 | 36,029 |
| Investors Bancorp, Inc. | | 40,878 | 492,989 |
| Lakeland Bancorp, Inc. | | 16,612 | 277,088 |
| Lakeland Financial Corp. (a) | | 7,498 | 353,306 |
| Live Oak Bancshares, Inc. (a) | | 11,598 | 211,664 |
| Mid Penn Bancorp, Inc. | | 2,455 | 66,211 |
| NBT Bancorp, Inc. | | 12,160 | 486,400 |
| Old National Bancorp, Indiana | | 19,736 | 356,827 |
| Opus Bank | | 11,178 | 287,386 |
| Pacific Premier Bancorp, Inc. | | 12,029 | 385,409 |
| PacWest Bancorp | | 18,529 | 690,020 |
| People's Utah Bancorp | | 8,590 | 252,117 |
| Peoples Financial Services Corp. | | 512 | 25,149 |
| Peoples United Financial, Inc. | | 66,821 | 1,102,547 |
| Pinnacle Financial Partners, Inc. | | 10,341 | 635,144 |
| Popular, Inc. | | 15,282 | 845,247 |
| Preferred Bank, Los Angeles | | 5,343 | 294,666 |
| Premier Financial Bancorp, Inc. | | 914 | 16,589 |
| Renasant Corp. | | 4,476 | 158,450 |
| Republic Bancorp, Inc., Kentucky Class A | | 7,419 | 342,758 |
| S&T Bancorp, Inc. | | 10,063 | 379,576 |
| Sandy Spring Bancorp, Inc. | | 10,430 | 368,805 |
| Seacoast Banking Corp., Florida (b) | | 14,544 | 432,684 |
| ServisFirst Bancshares, Inc. | | 12,746 | 463,445 |
| Signature Bank | | 8,109 | 1,000,326 |
| Simmons First National Corp. Class A | | 16,292 | 422,126 |
| South State Corp. | | 5,528 | 460,372 |
| Southside Bancshares, Inc. | | 10,907 | 382,945 |
| Stock Yards Bancorp, Inc. | | 8,216 | 340,060 |
| SVB Financial Group (b) | | 8,953 | 2,074,679 |
| Tcf Financial Corp. | | 22,145 | 940,941 |
| The First Bancorp, Inc. | | 932 | 26,543 |
| TowneBank | | 6,368 | 179,259 |
| Trico Bancshares | | 8,169 | 315,732 |
| Trustmark Corp. | | 5,565 | 191,213 |
| UMB Financial Corp. | | 9,094 | 611,753 |
| Union Bankshares Corp. | | 6,195 | 234,171 |
| United Bankshares, Inc., West Virginia | | 17,295 | 654,962 |
| United Community Bank, Inc. | | 10,366 | 321,346 |
| Univest Corp. of Pennsylvania | | 11,132 | 290,657 |
| Valley National Bancorp | | 45,929 | 531,858 |
| Veritex Holdings, Inc. | | 10,972 | 285,382 |
| Washington Trust Bancorp, Inc. | | 5,999 | 313,088 |
| WesBanco, Inc. | | 11,223 | 409,415 |
| Westamerica Bancorp. | | 7,186 | 467,090 |
| Zions Bancorp NA | | 31,906 | 1,588,281 |
| | | | 50,812,339 |
| Capital Markets - 1.8% | | | |
| Blucora, Inc. (b) | | 14,901 | 350,770 |
| Carlyle Group LP | | 23,226 | 692,135 |
| CME Group, Inc. | | 60,360 | 12,236,783 |
| Diamond Hill Investment Group, Inc. | | 1,383 | 188,849 |
| E*TRADE Financial Corp. | | 31,769 | 1,407,367 |
| Interactive Brokers Group, Inc. | | 10,175 | 492,674 |
| LPL Financial | | 17,948 | 1,657,498 |
| MarketAxess Holdings, Inc. | | 7,116 | 2,873,583 |
| Morningstar, Inc. | | 8,594 | 1,350,117 |
| Northern Trust Corp. | | 39,141 | 4,197,481 |
| SEI Investments Co. | | 28,612 | 1,846,332 |
| T. Rowe Price Group, Inc. | | 42,361 | 5,234,125 |
| TD Ameritrade Holding Corp. | | 91,002 | 4,716,634 |
| The NASDAQ OMX Group, Inc. | | 29,556 | 3,097,469 |
| | | | 40,341,817 |
| Consumer Finance - 0.2% | | | |
| Credit Acceptance Corp. (b) | | 2,907 | 1,251,347 |
| Encore Capital Group, Inc. (a)(b) | | 5,814 | 212,037 |
| First Cash Financial Services, Inc. | | 6,164 | 498,298 |
| Navient Corp. | | 45,398 | 651,461 |
| PRA Group, Inc. (b) | | 10,276 | 376,513 |
| World Acceptance Corp. (b) | | 2,756 | 261,792 |
| | | | 3,251,448 |
| Insurance - 0.9% | | | |
| American National Insurance Co. | | 4,827 | 569,586 |
| Amerisafe, Inc. | | 6,520 | 440,752 |
| Arch Capital Group Ltd. (b) | | 61,209 | 2,568,942 |
| Cincinnati Financial Corp. | | 25,551 | 2,735,235 |
| eHealth, Inc. (b) | | 9,662 | 891,416 |
| Enstar Group Ltd. (b) | | 2,370 | 483,978 |
| Erie Indemnity Co. Class A | | 9,121 | 1,544,185 |
| Fanhua, Inc. ADR (a) | | 11,228 | 305,402 |
| James River Group Holdings Ltd. | | 9,847 | 389,547 |
| Kinsale Capital Group, Inc. | | 6,945 | 703,251 |
| National General Holdings Corp. | | 17,622 | 375,172 |
| National Western Life Group, Inc. | | 1,109 | 279,723 |
| Principal Financial Group, Inc. | | 45,520 | 2,508,152 |
| Safety Insurance Group, Inc. | | 4,807 | 469,404 |
| Selective Insurance Group, Inc. | | 8,822 | 584,193 |
| State Auto Financial Corp. | | 13,124 | 430,205 |
| Trupanion, Inc. (a)(b) | | 11,408 | 388,785 |
| United Fire Group, Inc. | | 7,944 | 349,059 |
| United Insurance Holdings Corp. (a) | | 16,929 | 214,829 |
| Willis Group Holdings PLC | | 19,271 | 3,785,595 |
| | | | 20,017,411 |
| Mortgage Real Estate Investment Trusts - 0.1% | | | |
| AGNC Investment Corp. | | 86,022 | 1,489,901 |
| Thrifts & Mortgage Finance - 0.3% | | | |
| Capitol Federal Financial, Inc. | | 37,201 | 527,510 |
| HomeStreet, Inc. (b) | | 10,502 | 335,224 |
| Kearny Financial Corp. | | 25,496 | 359,494 |
| LendingTree, Inc. (a)(b) | | 1,780 | 641,743 |
| Meridian Bancorp, Inc. Maryland | | 17,463 | 351,530 |
| Meta Financial Group, Inc. | | 9,072 | 322,691 |
| NMI Holdings, Inc. (b) | | 19,949 | 669,688 |
| Northfield Bancorp, Inc. | | 18,186 | 307,343 |
| Northwest Bancshares, Inc. | | 27,448 | 456,735 |
| OceanFirst Financial Corp. | | 14,671 | 351,811 |
| TFS Financial Corp. | | 57,252 | 1,161,643 |
| Trustco Bank Corp., New York | | 35,146 | 308,582 |
| Washington Federal, Inc. | | 10,037 | 369,462 |
| WMI Holdings Corp. (b) | | 14,653 | 196,936 |
| WSFS Financial Corp.(a) | | 15,506 | 691,413 |
| | | | 7,051,805 |
|
| TOTAL FINANCIALS | | | 122,964,721 |
|
| HEALTH CARE - 8.7% | | | |
| Biotechnology - 5.0% | | | |
| Abeona Therapeutics, Inc. (b) | | 26,065 | 87,839 |
| ACADIA Pharmaceuticals, Inc. (b) | | 19,620 | 888,590 |
| Acceleron Pharma, Inc. (b) | | 12,360 | 605,146 |
| Adamas Pharmaceuticals, Inc. (b) | | 5,885 | 35,016 |
| Adaptimmune Therapeutics PLC sponsored ADR (a)(b) | | 19,240 | 22,511 |
| ADMA Biologics, Inc. (b) | | 55,419 | 263,240 |
| Aduro Biotech, Inc. (b) | | 17,625 | 20,974 |
| Advaxis, Inc. (b) | | 77,507 | 39,854 |
| Aileron Therapeutics, Inc. (b) | | 36,277 | 17,417 |
| Aimmune Therapeutics, Inc. (a)(b) | | 15,368 | 429,075 |
| Alector, Inc. | | 7,686 | 143,267 |
| Alexion Pharmaceuticals, Inc. (b) | | 31,279 | 3,563,929 |
| Allakos, Inc. (a)(b) | | 4,151 | 394,345 |
| Allena Pharmaceuticals, Inc. (a)(b) | | 7,465 | 16,498 |
| Allogene Therapeutics, Inc. (a)(b) | | 16,096 | 453,585 |
| Alnylam Pharmaceuticals, Inc. (b) | | 14,309 | 1,676,156 |
| AMAG Pharmaceuticals, Inc. (a)(b) | | 7,010 | 74,657 |
| Amarin Corp. PLC ADR (a)(b) | | 49,294 | 1,048,483 |
| Amgen, Inc. | | 80,966 | 19,004,340 |
| Amicus Therapeutics, Inc. (b) | | 29,468 | 308,825 |
| AnaptysBio, Inc. (b) | | 5,651 | 76,232 |
| Anika Therapeutics, Inc. (b) | | 6,083 | 351,597 |
| Apellis Pharmaceuticals, Inc. (b) | | 30,382 | 816,668 |
| Aptinyx, Inc. (b) | | 2,901 | 11,778 |
| Aravive, Inc. (b) | | 6,024 | 57,951 |
| Arbutus Biopharma Corp. (b) | | 33,882 | 56,583 |
| Arena Pharmaceuticals, Inc. (b) | | 10,504 | 497,680 |
| Argenx SE ADR (b) | | 1,815 | 268,711 |
| ArQule, Inc. (a)(b) | | 45,987 | 441,015 |
| Arrowhead Pharmaceuticals, Inc. (a)(b) | | 20,282 | 1,480,789 |
| Ascendis Pharma A/S sponsored ADR (b) | | 7,317 | 842,772 |
| Assembly Biosciences, Inc. (b) | | 7,107 | 115,276 |
| Athenex, Inc. (a)(b) | | 14,410 | 224,508 |
| Audentes Therapeutics, Inc. (b) | | 9,338 | 271,082 |
| Autolus Therapeutics Ltd. ADR (b) | | 3,351 | 50,265 |
| Axovant Gene Therapies Ltd. (a)(b) | | 5,789 | 31,318 |
| AzurRx BioPharma, Inc. (b) | | 11,216 | 7,404 |
| BeiGene Ltd. ADR (b) | | 4,965 | 1,009,335 |
| Bellicum Pharmaceuticals, Inc. (a)(b) | | 55,279 | 47,938 |
| BeyondSpring, Inc. (b) | | 5,009 | 62,362 |
| BioCryst Pharmaceuticals, Inc. (b) | | 9,882 | 28,164 |
| Biogen, Inc. (b) | | 26,835 | 8,045,401 |
| BioMarin Pharmaceutical, Inc. (b) | | 26,303 | 2,122,915 |
| bluebird bio, Inc. (b) | | 8,349 | 675,768 |
| Blueprint Medicines Corp. (b) | | 7,776 | 637,943 |
| Calyxt, Inc. (b) | | 2,539 | 9,344 |
| CareDx, Inc. (b) | | 9,311 | 191,062 |
| Cellectis SA sponsored ADR (b) | | 5,392 | 74,949 |
| Chimerix, Inc. (b) | | 9,221 | 20,286 |
| China Biologic Products Holdings, Inc. (a)(b) | | 4,135 | 482,182 |
| Clementia Pharmaceuticals, Inc. rights 12/31/99 (b)(c) | | 20,215 | 27,290 |
| Coherus BioSciences, Inc. (b) | | 16,242 | 292,194 |
| Conatus Pharmaceuticals, Inc. (b) | | 24,825 | 9,175 |
| Constellation Pharmaceuticals, Inc. (b) | | 893 | 41,578 |
| Cortexyme, Inc. (a) | | 1,411 | 37,039 |
| Corvus Pharmaceuticals, Inc. (a)(b) | | 18,748 | 57,181 |
| CRISPR Therapeutics AG (a)(b) | | 9,272 | 664,339 |
| Cyclerion Therapeutics, Inc. (b) | | 1,643 | 3,040 |
| Cytokinetics, Inc. (b) | | 13,828 | 133,717 |
| DBV Technologies SA sponsored ADR (b) | | 10,232 | 79,810 |
| Deciphera Pharmaceuticals, Inc. (b) | | 15,650 | 740,089 |
| Denali Therapeutics, Inc. (a)(b) | | 34,919 | 621,209 |
| Dicerna Pharmaceuticals, Inc. (b) | | 19,685 | 473,621 |
| Dynavax Technologies Corp. (a)(b) | | 29,347 | 165,811 |
| Eagle Pharmaceuticals, Inc. (b) | | 5,835 | 341,231 |
| Editas Medicine, Inc. (a)(b) | | 10,574 | 320,181 |
| Enanta Pharmaceuticals, Inc. (b) | | 5,202 | 331,159 |
| Enochian Biosciences, Inc. (b) | | 1,009 | 5,862 |
| Epizyme, Inc. (b) | | 7,574 | 125,122 |
| Equillium, Inc. (b) | | 310 | 998 |
| Esperion Therapeutics, Inc. (a)(b) | | 4,081 | 209,600 |
| Evelo Biosciences, Inc. (a)(b) | | 1,946 | 8,776 |
| Exact Sciences Corp. (b) | | 23,500 | 1,903,735 |
| Exelixis, Inc. (b) | | 40,876 | 679,768 |
| Fate Therapeutics, Inc. (b) | | 16,681 | 260,557 |
| FibroGen, Inc. (b) | | 15,284 | 647,583 |
| Five Prime Therapeutics, Inc. (b) | | 16,392 | 64,257 |
| Forty Seven, Inc. (b) | | 3,157 | 39,904 |
| G1 Therapeutics, Inc. (a)(b) | | 8,681 | 187,510 |
| Galmed Pharmaceuticals Ltd. (a)(b) | | 2,534 | 11,403 |
| Gilead Sciences, Inc. | | 170,486 | 11,463,479 |
| Global Blood Therapeutics, Inc. (b) | | 8,238 | 547,827 |
| Gossamer Bio, Inc. | | 8,682 | 221,391 |
| Grifols SA ADR | | 31,052 | 710,470 |
| Gritstone Oncology, Inc. (a)(b) | | 11,234 | 97,848 |
| Halozyme Therapeutics, Inc. (b) | | 27,194 | 527,292 |
| Heron Therapeutics, Inc. (b) | | 10,665 | 272,597 |
| Idera Pharmaceuticals, Inc. (b) | | 3,185 | 5,574 |
| ImmunoGen, Inc. (b) | | 157,382 | 568,149 |
| Immunomedics, Inc. (a)(b) | | 33,152 | 622,595 |
| Incyte Corp. (b) | | 25,340 | 2,386,014 |
| InflaRx NV (a)(b) | | 15,355 | 52,207 |
| Insmed, Inc. (b) | | 12,450 | 286,973 |
| Intec Pharma Ltd. (a)(b) | | 13,375 | 6,637 |
| Ionis Pharmaceuticals, Inc. (b) | | 21,415 | 1,369,703 |
| Iovance Biotherapeutics, Inc. (a)(b) | | 48,587 | 1,109,241 |
| Jounce Therapeutics, Inc. (b) | | 3,780 | 20,450 |
| Karyopharm Therapeutics, Inc. (b) | | 63,810 | 1,117,951 |
| Kiniksa Pharmaceuticals Ltd. (b) | | 7,395 | 78,757 |
| La Jolla Pharmaceutical Co. (a)(b) | | 40,301 | 110,425 |
| Ligand Pharmaceuticals, Inc.: | | | |
| Class B (a)(b) | | 3,077 | 347,701 |
| General CVR (b) | | 1,530 | 5 |
| Glucagon CVR (b) | | 1,530 | 61 |
| rights (b) | | 1,530 | 3 |
| TR Beta CVR (b) | | 1,530 | 317 |
| Magenta Therapeutics, Inc. (b) | | 4,524 | 59,898 |
| Marker Therapeutics, Inc. (a)(b) | | 17,902 | 59,793 |
| Mersana Therapeutics, Inc. (b) | | 8,765 | 33,745 |
| Midatech Pharma PLC ADR (b) | | 9,991 | 6,494 |
| Mirati Therapeutics, Inc. (b) | | 6,110 | 615,705 |
| Moderna, Inc. | | 46,349 | 943,666 |
| Momenta Pharmaceuticals, Inc. (b) | | 14,640 | 245,952 |
| Myriad Genetics, Inc. (b) | | 17,855 | 459,588 |
| Natera, Inc. (b) | | 17,618 | 642,881 |
| Neoleukin Therapeutics, Inc. (b) | | 4,418 | 24,652 |
| Neon Therapeutics, Inc. (b) | | 5,701 | 6,499 |
| Neurocrine Biosciences, Inc. (b) | | 17,132 | 1,997,763 |
| Novavax, Inc. (a)(b) | | 11,347 | 55,033 |
| NuCana PLC ADR (a)(b) | | 3,114 | 26,656 |
| ObsEva SA (b) | | 7,154 | 32,551 |
| Organogenesis Holdings, Inc. Class A (b) | | 1,696 | 8,700 |
| Portola Pharmaceuticals, Inc. (b) | | 4,571 | 130,502 |
| Precision BioSciences, Inc. (a)(b) | | 5,859 | 104,114 |
| ProQR Therapeutics BV (b) | | 3,756 | 32,076 |
| Proteostasis Therapeutics, Inc. (a)(b) | | 82,725 | 201,849 |
| Prothena Corp. PLC (b) | | 2,942 | 37,716 |
| PTC Therapeutics, Inc. (b) | | 11,883 | 558,026 |
| Ra Pharmaceuticals, Inc. (b) | | 26,540 | 1,240,214 |
| Regeneron Pharmaceuticals, Inc. (b) | | 15,129 | 5,582,601 |
| REGENXBIO, Inc. (b) | | 8,750 | 366,275 |
| Repligen Corp. (b) | | 12,035 | 1,068,106 |
| Rocket Pharmaceuticals, Inc. (a)(b) | | 18,856 | 331,677 |
| Sage Therapeutics, Inc. (b) | | 6,862 | 1,062,032 |
| Sangamo Therapeutics, Inc. (b) | | 17,669 | 190,825 |
| Sarepta Therapeutics, Inc. (a)(b) | | 11,146 | 1,253,814 |
| Savara, Inc. (a)(b) | | 24,966 | 31,457 |
| Seattle Genetics, Inc. (b) | | 24,668 | 2,968,794 |
| Selecta Biosciences, Inc. (b) | | 6,484 | 10,634 |
| Sellas Life Sciences Group, Inc. (a)(b) | | 1,538 | 7,075 |
| Seres Therapeutics, Inc. (b) | | 32,169 | 127,068 |
| Solid Biosciences, Inc. (a)(b) | | 11,389 | 44,759 |
| Spark Therapeutics, Inc. (b) | | 6,090 | 676,843 |
| Sunesis Pharmaceuticals, Inc. (b) | | 28,734 | 12,356 |
| Synlogic, Inc. (b) | | 18,534 | 39,663 |
| T2 Biosystems, Inc. (a)(b) | | 51,707 | 70,322 |
| TG Therapeutics, Inc. (a)(b) | | 1,483 | 12,146 |
| The Medicines Company (a)(b) | | 14,322 | 1,205,912 |
| Tobira Therapeutics, Inc. rights (b)(c) | | 1,750 | 14,403 |
| Tocagen, Inc. (a)(b) | | 22,216 | 14,551 |
| Translate Bio, Inc. (a)(b) | | 12,744 | 128,077 |
| Tyme, Inc. (a)(b) | | 7,312 | 8,263 |
| uniQure B.V. (a)(b) | | 15,260 | 849,372 |
| UNITY Biotechnology, Inc. (b) | | 2,928 | 22,604 |
| VBI Vaccines, Inc. (b) | | 40,407 | 36,298 |
| Verastem, Inc. (a)(b) | | 103,955 | 142,418 |
| Vertex Pharmaceuticals, Inc. (b) | | 34,937 | 7,747,280 |
| Viking Therapeutics, Inc. (a)(b) | | 14,111 | 103,293 |
| Voyager Therapeutics, Inc. (b) | | 28,263 | 385,507 |
| Xencor, Inc. (b) | | 13,328 | 525,123 |
| Xenetic Biosciences, Inc. (a)(b) | | 19,052 | 23,434 |
| Zafgen, Inc. (a)(b) | | 14,542 | 11,779 |
| ZIOPHARM Oncology, Inc. (a)(b) | | 22,688 | 118,204 |
| | | | 111,227,469 |
| Health Care Equipment & Supplies - 1.8% | | | |
| Abiomed, Inc. (b) | | 7,504 | 1,472,135 |
| Align Technology, Inc. (b) | | 11,373 | 3,154,188 |
| Atrion Corp. | | 503 | 354,464 |
| Cardiovascular Systems, Inc. (b) | | 12,741 | 580,480 |
| CONMED Corp. | | 7,477 | 846,920 |
| Dentsply Sirona, Inc. | | 37,588 | 2,125,226 |
| DexCom, Inc. (b) | | 14,661 | 3,332,592 |
| electroCore, Inc. (a)(b) | | 9,670 | 14,602 |
| Heska Corp. (b) | | 2,242 | 214,111 |
| Hologic, Inc. (b) | | 48,175 | 2,472,341 |
| ICU Medical, Inc. (b) | | 2,953 | 553,628 |
| IDEXX Laboratories, Inc. (b) | | 11,421 | 2,873,295 |
| Insulet Corp. (b) | | 10,204 | 1,894,883 |
| Integra LifeSciences Holdings Corp. (b) | | 12,114 | 738,833 |
| Intuitive Surgical, Inc. (b) | | 15,605 | 9,252,205 |
| iRhythm Technologies, Inc. (b) | | 6,670 | 480,840 |
| Lantheus Holdings, Inc. (b) | | 8,092 | 169,123 |
| LeMaitre Vascular, Inc. (a) | | 7,846 | 279,082 |
| LivaNova PLC (b) | | 7,781 | 651,737 |
| Masimo Corp. (b) | | 7,474 | 1,158,993 |
| Merit Medical Systems, Inc. (b) | | 9,961 | 278,908 |
| Natus Medical, Inc. (b) | | 14,984 | 479,338 |
| Neogen Corp. (b) | | 10,214 | 679,946 |
| Novocure Ltd. (b) | | 15,576 | 1,435,796 |
| NuVasive, Inc. (b) | | 8,026 | 579,798 |
| Orthofix International NV (b) | | 5,544 | 251,698 |
| Quidel Corp. (b) | | 8,778 | 602,346 |
| Sientra, Inc. (b) | | 3,197 | 27,366 |
| Tactile Systems Technology, Inc. (a)(b) | | 5,345 | 343,202 |
| Tandem Diabetes Care, Inc. (b) | | 10,396 | 717,636 |
| Varex Imaging Corp. (b) | | 11,076 | 331,615 |
| Wright Medical Group NV (b) | | 17,877 | 532,198 |
| | | | 38,879,525 |
| Health Care Providers & Services - 0.4% | | | |
| Amedisys, Inc. (b) | | 7,234 | 1,178,853 |
| BioScrip, Inc. (b) | | 30,832 | 95,888 |
| BioTelemetry, Inc. (b) | | 11,159 | 516,773 |
| Corvel Corp. (b) | | 6,279 | 518,080 |
| Guardant Health, Inc. (b) | | 13,092 | 1,016,856 |
| HealthEquity, Inc. (b) | | 10,588 | 665,879 |
| Henry Schein, Inc. (b) | | 18,797 | 1,295,113 |
| LHC Group, Inc. (b) | | 3,230 | 430,882 |
| Magellan Health Services, Inc. (b) | | 4,031 | 313,330 |
| National Research Corp. Class A | | 9,098 | 586,912 |
| Patterson Companies, Inc. | | 7,241 | 140,910 |
| Pennant Group, Inc. (b) | | 7,515 | 176,001 |
| Premier, Inc. (b) | | 8,746 | 310,833 |
| Surgery Partners, Inc. (a)(b) | | 16,713 | 230,305 |
| The Ensign Group, Inc. | | 15,031 | 652,796 |
| | | | 8,129,411 |
| Health Care Technology - 0.2% | | | |
| Allscripts Healthcare Solutions, Inc. (b) | | 17,799 | 191,873 |
| Cerner Corp. | | 43,266 | 3,097,413 |
| HMS Holdings Corp. (b) | | 24,142 | 729,088 |
| Inovalon Holdings, Inc. Class A (a)(b) | | 21,106 | 379,908 |
| Livongo Health, Inc. (a) | | 3,012 | 86,023 |
| NantHealth, Inc. (a)(b) | | 17,512 | 20,664 |
| Nextgen Healthcare, Inc. (b) | | 23,055 | 424,673 |
| Omnicell, Inc. (b) | | 10,439 | 835,016 |
| | | | 5,764,658 |
| Life Sciences Tools & Services - 0.7% | | | |
| Accelerate Diagnostics, Inc. (a)(b) | | 11,370 | 169,868 |
| Bio-Techne Corp. | | 7,421 | 1,619,633 |
| Bruker Corp. | | 25,599 | 1,310,413 |
| ICON PLC (b) | | 8,537 | 1,392,897 |
| Illumina, Inc. (b) | | 20,267 | 6,500,843 |
| Luminex Corp. | | 15,648 | 330,642 |
| Medpace Holdings, Inc. (b) | | 10,794 | 827,576 |
| NeoGenomics, Inc. (b) | | 34,982 | 902,885 |
| Pacific Biosciences of California, Inc. (b) | | 35,678 | 183,385 |
| PRA Health Sciences, Inc. (b) | | 9,052 | 984,948 |
| Syneos Health, Inc. (b) | | 16,839 | 924,629 |
| | | | 15,147,719 |
| Pharmaceuticals - 0.6% | | | |
| Aclaris Therapeutics, Inc. (a)(b) | | 40,091 | 65,749 |
| Akcea Therapeutics, Inc. (a)(b) | | 15,080 | 293,608 |
| Akorn, Inc. (b) | | 68,795 | 251,102 |
| Amphastar Pharmaceuticals, Inc. (b) | | 15,717 | 306,639 |
| ANI Pharmaceuticals, Inc. rights (b)(c) | | 739 | 0 |
| Aquestive Therapeutics, Inc. (a)(b) | | 5,107 | 39,784 |
| AstraZeneca PLC rights (b)(c) | | 1,845 | 0 |
| Axsome Therapeutics, Inc. (a)(b) | | 10,341 | 407,125 |
| ContraVir Pharmaceuticals, Inc. (a)(b) | | 3,018 | 21,096 |
| Corcept Therapeutics, Inc. (a)(b) | | 22,397 | 287,354 |
| Cronos Group, Inc. (b) | | 25,285 | 173,034 |
| CymaBay Therapeutics, Inc. (b) | | 3,400 | 5,984 |
| Dova Pharmaceuticals, Inc. rights 12/31/99 (b)(c) | | 7,729 | 4,174 |
| Eloxx Pharmaceuticals, Inc. (b) | | 3,468 | 18,103 |
| Evolus, Inc. (a)(b) | | 15,964 | 223,336 |
| GW Pharmaceuticals PLC ADR (a)(b) | | 4,305 | 439,584 |
| Horizon Pharma PLC (b) | | 30,058 | 985,301 |
| Innoviva, Inc. (b) | | 22,119 | 298,164 |
| Jazz Pharmaceuticals PLC (b) | | 9,754 | 1,474,024 |
| Kala Pharmaceuticals, Inc. (a)(b) | | 5,409 | 22,556 |
| Marinus Pharmaceuticals, Inc. (b) | | 8,526 | 11,254 |
| Melinta Therapeutics, Inc. (a)(b) | | 52,897 | 85,693 |
| Mylan NV (b) | | 76,598 | 1,438,510 |
| MyoKardia, Inc. (b) | | 7,375 | 480,481 |
| Omeros Corp. (a)(b) | | 7,912 | 117,098 |
| Pacira Biosciences, Inc. (b) | | 7,519 | 347,528 |
| Paratek Pharmaceuticals, Inc. (a)(b) | | 16,470 | 48,257 |
| Provention Bio, Inc. (b) | | 1,695 | 16,882 |
| Reata Pharmaceuticals, Inc. (b) | | 6,255 | 1,220,538 |
| Sanofi SA sponsored ADR | | 36,560 | 1,706,621 |
| Sienna Biopharmaceuticals, Inc. (b) | | 50,412 | 8,484 |
| Supernus Pharmaceuticals, Inc. (b) | | 11,379 | 266,041 |
| Tetraphase Pharmaceuticals, Inc. (b) | | 6,142 | 15,969 |
| Tilray, Inc. Class 2 (a)(b) | | 13,445 | 266,749 |
| Tricida, Inc. (a)(b) | | 14,808 | 591,728 |
| WAVE Life Sciences (a)(b) | | 7,138 | 236,625 |
| Zogenix, Inc. (b) | | 16,277 | 777,715 |
| | | | 12,952,890 |
|
| TOTAL HEALTH CARE | | | 192,101,672 |
|
| INDUSTRIALS - 3.9% | | | |
| Aerospace & Defense - 0.2% | | | |
| AeroVironment, Inc. (b) | | 2,840 | 174,206 |
| Axon Enterprise, Inc. (a)(b) | | 11,906 | 878,663 |
| Elbit Systems Ltd. (a) | | 7,954 | 1,314,796 |
| Kratos Defense & Security Solutions, Inc. (b) | | 26,079 | 470,987 |
| Mercury Systems, Inc. (b) | | 9,884 | 724,003 |
| | | | 3,562,655 |
| Air Freight & Logistics - 0.2% | | | |
| Air Transport Services Group, Inc. (b) | | 17,366 | 427,377 |
| C.H. Robinson Worldwide, Inc. | | 21,607 | 1,660,498 |
| Expeditors International of Washington, Inc. | | 26,800 | 2,003,568 |
| Forward Air Corp. | | 8,008 | 560,800 |
| Hub Group, Inc. Class A (b) | | 9,910 | 506,104 |
| | | | 5,158,347 |
| Airlines - 0.4% | | | |
| Allegiant Travel Co. | | 3,240 | 549,925 |
| American Airlines Group, Inc. | | 62,562 | 1,798,032 |
| Hawaiian Holdings, Inc. | | 9,169 | 277,729 |
| JetBlue Airways Corp. (b) | | 46,572 | 897,442 |
| Ryanair Holdings PLC sponsored ADR (b) | | 17,697 | 1,474,514 |
| SkyWest, Inc. | | 10,525 | 659,286 |
| United Continental Holdings, Inc. (b) | | 42,550 | 3,948,640 |
| | | | 9,605,568 |
| Building Products - 0.1% | | | |
| AAON, Inc. (a) | | 22,610 | 1,116,256 |
| American Woodmark Corp. (b) | | 2,303 | 236,979 |
| Apogee Enterprises, Inc. | | 6,691 | 255,864 |
| Builders FirstSource, Inc. (b) | | 9,994 | 253,948 |
| Caesarstone Sdot-Yam Ltd. | | 4,264 | 66,774 |
| Gibraltar Industries, Inc. (b) | | 9,690 | 506,012 |
| Patrick Industries, Inc. | | 6,934 | 343,372 |
| Universal Forest Products, Inc. | | 4,857 | 240,907 |
| | | | 3,020,112 |
| Commercial Services & Supplies - 0.6% | | | |
| Casella Waste Systems, Inc. Class A (b) | | 13,682 | 639,086 |
| Cimpress NV (a)(b) | | 5,617 | 719,762 |
| Cintas Corp. | | 14,119 | 3,629,430 |
| Copart, Inc. (b) | | 35,573 | 3,165,997 |
| Healthcare Services Group, Inc. (a) | | 8,245 | 207,362 |
| Herman Miller, Inc. | | 24,781 | 1,184,036 |
| Interface, Inc. | | 16,835 | 282,660 |
| Kimball International, Inc. Class B | | 15,676 | 335,153 |
| McGrath RentCorp. | | 7,252 | 531,862 |
| Mobile Mini, Inc. | | 11,443 | 434,376 |
| SP Plus Corp. (b) | | 8,683 | 380,750 |
| Stericycle, Inc. (a)(b) | | 10,264 | 644,784 |
| Tetra Tech, Inc. | | 6,229 | 549,958 |
| U.S. Ecology, Inc. | | 6,286 | 345,667 |
| | | | 13,050,883 |
| Construction & Engineering - 0.0% | | | |
| Aegion Corp. (b) | | 13,315 | 288,403 |
| Concrete Pumping Holdings, Inc. (b) | | 4,220 | 20,256 |
| Primoris Services Corp. | | 14,399 | 317,066 |
| | | | 625,725 |
| Electrical Equipment - 0.1% | | | |
| Ballard Power Systems, Inc. (a)(b) | | 43,500 | 288,515 |
| Encore Wire Corp. | | 6,572 | 383,410 |
| Sunrun, Inc. (b) | | 27,893 | 387,155 |
| TPI Composites, Inc. (a)(b) | | 10,051 | 181,421 |
| | | | 1,240,501 |
| Industrial Conglomerates - 0.1% | | | |
| Icahn Enterprises LP | | 28,345 | 1,785,735 |
| Raven Industries, Inc. | | 10,360 | 356,073 |
| | | | 2,141,808 |
| Machinery - 0.6% | | | |
| Altra Industrial Motion Corp. | | 8,607 | 282,912 |
| Astec Industries, Inc. | | 2,611 | 97,808 |
| Chart Industries, Inc. (b) | | 7,890 | 435,528 |
| Columbus McKinnon Corp. (NY Shares) | | 7,901 | 324,573 |
| Franklin Electric Co., Inc. | | 20,107 | 1,115,335 |
| Kornit Digital Ltd. (a)(b) | | 7,836 | 267,208 |
| Lincoln Electric Holdings, Inc. | | 9,344 | 862,077 |
| Middleby Corp. (b) | | 8,488 | 982,571 |
| Nordson Corp. | | 8,524 | 1,413,535 |
| Omega Flex, Inc. | | 3,896 | 373,276 |
| PACCAR, Inc. | | 46,414 | 3,776,707 |
| RBC Bearings, Inc. (b) | | 2,794 | 463,469 |
| Sun Hydraulics Corp. | | 17,236 | 771,828 |
| TriMas Corp. (b) | | 13,891 | 430,343 |
| Woodward, Inc. | | 8,000 | 934,320 |
| | | | 12,531,490 |
| Marine - 0.0% | | | |
| Golden Ocean Group Ltd. | | 46,185 | 278,497 |
| Seanergy Martime Holdings Corp. (b) | | 13,843 | 7,323 |
| Star Bulk Carriers Corp. (a) | | 26,391 | 290,037 |
| | | | 575,857 |
| Professional Services - 0.5% | | | |
| 51job, Inc. sponsored ADR (b) | | 6,921 | 544,129 |
| CoStar Group, Inc. (b) | | 6,192 | 3,794,829 |
| Exponent, Inc. | | 5,730 | 364,142 |
| Forrester Research, Inc. | | 6,825 | 272,522 |
| Huron Consulting Group, Inc. (b) | | 7,834 | 525,270 |
| ICF International, Inc. | | 5,851 | 525,010 |
| Kelly Services, Inc. Class A (non-vtg.) | | 12,016 | 263,271 |
| Upwork, Inc. (b) | | 14,778 | 172,164 |
| Verisk Analytics, Inc. | | 21,761 | 3,209,312 |
| | | | 9,670,649 |
| Road & Rail - 0.9% | | | |
| AMERCO | | 2,785 | 1,008,783 |
| ArcBest Corp. | | 8,866 | 255,163 |
| Avis Budget Group, Inc. (b) | | 13,338 | 396,806 |
| CSX Corp. | | 110,683 | 7,918,262 |
| Heartland Express, Inc. | | 23,678 | 506,946 |
| J.B. Hunt Transport Services, Inc. | | 14,122 | 1,632,786 |
| Landstar System, Inc. | | 5,345 | 595,486 |
| Lyft, Inc. (a) | | 46,247 | 2,265,178 |
| Marten Transport Ltd. | | 16,558 | 349,871 |
| Old Dominion Freight Lines, Inc. | | 12,570 | 2,408,286 |
| Saia, Inc. (b) | | 6,693 | 635,166 |
| Universal Logistics Holdings, Inc. | | 11,720 | 233,697 |
| Werner Enterprises, Inc. | | 9,950 | 365,762 |
| | | | 18,572,192 |
| Trading Companies & Distributors - 0.2% | | | |
| Beacon Roofing Supply, Inc. (b) | | 5,730 | 169,895 |
| BMC Stock Holdings, Inc. (b) | | 19,956 | 590,897 |
| Fastenal Co. | | 73,586 | 2,613,775 |
| H&E Equipment Services, Inc. | | 6,985 | 230,505 |
| HD Supply Holdings, Inc. (b) | | 27,390 | 1,090,670 |
| Rush Enterprises, Inc. Class A | | 9,758 | 447,112 |
| | | | 5,142,854 |
|
| TOTAL INDUSTRIALS | | | 84,898,641 |
|
| INFORMATION TECHNOLOGY - 33.7% | | | |
| Communications Equipment - 1.6% | | | |
| Acacia Communications, Inc. (b) | | 10,239 | 682,327 |
| Applied Optoelectronics, Inc. (a)(b) | | 7,379 | 78,955 |
| Cisco Systems, Inc. | | 611,455 | 27,705,026 |
| EchoStar Holding Corp. Class A (b) | | 8,139 | 342,408 |
| Ericsson (B Shares) sponsored ADR | | 75,352 | 681,182 |
| Extreme Networks, Inc. (b) | | 11,842 | 83,249 |
| F5 Networks, Inc. (b) | | 9,116 | 1,328,292 |
| InterDigital, Inc. | | 4,992 | 283,546 |
| Ituran Location & Control Ltd. | | 8,722 | 209,328 |
| Lumentum Holdings, Inc. (b) | | 13,600 | 1,001,776 |
| NETGEAR, Inc. (b) | | 8,205 | 206,028 |
| Radware Ltd. (b) | | 15,361 | 370,046 |
| Sierra Wireless, Inc. (b) | | 8,475 | 74,714 |
| ViaSat, Inc. (b) | | 8,689 | 638,642 |
| Viavi Solutions, Inc. (b) | | 42,482 | 638,080 |
| xG Technology, Inc. (a)(b) | | 27,712 | 7,482 |
| | | | 34,331,081 |
| Electronic Equipment & Components - 1.0% | | | |
| Avnet, Inc. | | 17,526 | 712,432 |
| CDW Corp. | | 23,106 | 3,120,465 |
| Cognex Corp. (a) | | 27,363 | 1,373,075 |
| Coherent, Inc. (b) | | 2,824 | 426,029 |
| ePlus, Inc. (b) | | 4,490 | 375,229 |
| Flextronics International Ltd. (b) | | 63,644 | 755,454 |
| FLIR Systems, Inc. | | 23,089 | 1,236,647 |
| Hollysys Automation Technologies Ltd. | | 17,122 | 251,865 |
| II-VI, Inc. (b) | | 16,373 | 477,928 |
| Insight Enterprises, Inc. (b) | | 9,824 | 644,356 |
| IPG Photonics Corp. (b) | | 7,545 | 1,072,069 |
| Itron, Inc. (b) | | 12,724 | 1,018,938 |
| Littelfuse, Inc. | | 3,525 | 639,470 |
| MTS Systems Corp. | | 6,119 | 277,925 |
| National Instruments Corp. | | 25,082 | 1,056,454 |
| Novanta, Inc. (b) | | 8,758 | 816,070 |
| OSI Systems, Inc. (b) | | 5,680 | 565,103 |
| PC Connection, Inc. | | 9,806 | 483,632 |
| Plexus Corp. (b) | | 8,581 | 651,298 |
| Sanmina Corp. (b) | | 18,352 | 583,777 |
| ScanSource, Inc. (b) | | 9,349 | 331,142 |
| Tech Data Corp. (b) | | 5,577 | 808,052 |
| Trimble, Inc. (b) | | 44,098 | 1,787,292 |
| TTM Technologies, Inc. (b) | | 28,779 | 385,926 |
| Zebra Technologies Corp. Class A (b) | | 8,651 | 2,170,882 |
| | | | 22,021,510 |
| IT Services - 3.2% | | | |
| 21Vianet Group, Inc. ADR (b) | | 2,069 | 14,007 |
| Akamai Technologies, Inc. (b) | | 28,846 | 2,513,064 |
| Amdocs Ltd. | | 24,602 | 1,704,919 |
| Automatic Data Processing, Inc. | | 59,917 | 10,232,625 |
| Carbonite, Inc. (b) | | 10,729 | 246,767 |
| Cardtronics PLC (a)(b) | | 9,737 | 411,096 |
| Cass Information Systems, Inc. | | 5,786 | 326,735 |
| Cognizant Technology Solutions Corp. Class A | | 80,142 | 5,137,904 |
| CSG Systems International, Inc. | | 9,450 | 540,446 |
| Euronet Worldwide, Inc. (b) | | 6,915 | 1,086,969 |
| Exela Technologies, Inc. (b) | | 45,334 | 14,684 |
| ExlService Holdings, Inc. (b) | | 8,789 | 613,560 |
| Fiserv, Inc. (b) | | 95,468 | 11,097,200 |
| GDS Holdings Ltd. ADR (a)(b) | | 13,712 | 641,996 |
| GreenSky, Inc. Class A (a)(b) | | 4,432 | 32,974 |
| Inpixon (b) | | 135,997 | 5,685 |
| Internap Network Services Corp. (a)(b) | | 3,381 | 4,057 |
| Jack Henry & Associates, Inc. | | 14,008 | 2,128,376 |
| ManTech International Corp. Class A | | 5,357 | 415,596 |
| MongoDB, Inc. Class A (b) | | 6,743 | 1,002,684 |
| NIC, Inc. | | 22,752 | 516,243 |
| Okta, Inc. (b) | | 16,178 | 2,099,581 |
| Paychex, Inc. | | 47,150 | 4,060,558 |
| PayPal Holdings, Inc. (b) | | 156,477 | 16,901,081 |
| Presidio, Inc. | | 26,569 | 438,654 |
| QIWI PLC Class B sponsored ADR | | 10,597 | 210,033 |
| Sabre Corp. | | 41,551 | 931,989 |
| StoneCo Ltd. Class A (a)(b) | | 18,347 | 751,860 |
| Sykes Enterprises, Inc. (b) | | 13,286 | 466,870 |
| Ttec Holdings, Inc. | | 12,755 | 585,837 |
| Tucows, Inc. (a)(b) | | 4,804 | 272,627 |
| VeriSign, Inc. (b) | | 18,972 | 3,618,719 |
| Virtusa Corp. (b) | | 8,785 | 392,602 |
| Wix.com Ltd. (b) | | 7,857 | 949,833 |
| | | | 70,367,831 |
| Semiconductors & Semiconductor Equipment - 8.3% | | | |
| Advanced Energy Industries, Inc. (b) | | 6,263 | 402,147 |
| Advanced Micro Devices, Inc. (b) | | 155,002 | 6,068,328 |
| Ambarella, Inc. (b) | | 6,719 | 367,798 |
| Amkor Technology, Inc. (b) | | 24,549 | 296,797 |
| Analog Devices, Inc. | | 49,516 | 5,592,832 |
| Applied Materials, Inc. | | 130,428 | 7,551,781 |
| ASML Holding NV (a) | | 10,742 | 2,907,000 |
| Axcelis Technologies, Inc. (b) | | 9,692 | 207,796 |
| Broadcom, Inc. | | 54,530 | 17,242,931 |
| Brooks Automation, Inc. | | 17,887 | 800,801 |
| Cabot Microelectronics Corp. | | 4,539 | 605,548 |
| Canadian Solar, Inc. (b) | | 20,477 | 334,799 |
| Ceva, Inc. (b) | | 4,587 | 118,895 |
| Cirrus Logic, Inc. (b) | | 6,013 | 431,132 |
| Cree, Inc. (b) | | 16,213 | 716,777 |
| Cypress Semiconductor Corp. | | 58,475 | 1,371,239 |
| Diodes, Inc. (b) | | 13,993 | 645,637 |
| Enphase Energy, Inc. (a)(b) | | 40,062 | 876,156 |
| Entegris, Inc. | | 24,164 | 1,143,440 |
| First Solar, Inc. (b) | | 13,181 | 728,118 |
| FormFactor, Inc. (b) | | 25,137 | 581,670 |
| Himax Technologies, Inc. sponsored ADR (a)(b) | | 17,791 | 40,919 |
| Intel Corp. | | 623,049 | 36,167,994 |
| KLA-Tencor Corp. | | 22,270 | 3,649,162 |
| Kopin Corp. (b) | | 22,389 | 11,277 |
| Kulicke & Soffa Industries, Inc. | | 18,277 | 458,570 |
| Lam Research Corp. | | 21,828 | 5,824,365 |
| Lattice Semiconductor Corp. (b) | | 49,276 | 930,824 |
| Marvell Technology Group Ltd. | | 108,451 | 2,859,853 |
| Maxim Integrated Products, Inc. | | 38,600 | 2,187,462 |
| Mellanox Technologies Ltd. (b) | | 8,693 | 998,826 |
| Microchip Technology, Inc. (a) | | 30,605 | 2,893,397 |
| Micron Technology, Inc. (b) | | 159,314 | 7,569,008 |
| MKS Instruments, Inc. | | 8,266 | 878,510 |
| Monolithic Power Systems, Inc. | | 6,473 | 1,040,082 |
| Nova Measuring Instruments Ltd. (b) | | 11,360 | 410,323 |
| NVIDIA Corp. | | 87,192 | 18,897,994 |
| NXP Semiconductors NV | | 39,790 | 4,598,928 |
| ON Semiconductor Corp. (b) | | 73,501 | 1,578,066 |
| Power Integrations, Inc. (a) | | 3,671 | 335,860 |
| Qorvo, Inc. (b) | | 19,591 | 2,041,578 |
| Qualcomm, Inc. | | 165,676 | 13,842,230 |
| Rambus, Inc. (b) | | 30,226 | 394,449 |
| Semtech Corp. (b) | | 14,685 | 711,635 |
| Silicon Laboratories, Inc. (b) | | 8,027 | 850,300 |
| Silicon Motion Technology Corp. sponsored ADR | | 9,580 | 424,394 |
| Skyworks Solutions, Inc. | | 25,151 | 2,472,343 |
| SolarEdge Technologies, Inc. (b) | | 7,947 | 648,555 |
| SunPower Corp. (a)(b) | | 18,208 | 136,378 |
| Synaptics, Inc. (a)(b) | | 8,320 | 475,571 |
| Teradyne, Inc. | | 25,473 | 1,594,355 |
| Texas Instruments, Inc. | | 123,547 | 14,851,585 |
| Tower Semiconductor Ltd. (b) | | 11,788 | 258,393 |
| Universal Display Corp. | | 7,172 | 1,392,946 |
| Xilinx, Inc. | | 34,380 | 3,189,776 |
| Xperi Corp. | | 8,775 | 173,657 |
| | | | 183,781,187 |
| Software - 11.9% | | | |
| ACI Worldwide, Inc. (b) | | 22,881 | 858,038 |
| Adobe, Inc. (b) | | 68,494 | 21,200,948 |
| Alarm.com Holdings, Inc. (b) | | 11,706 | 510,616 |
| ANSYS, Inc. (b) | | 15,102 | 3,846,328 |
| Aspen Technology, Inc. (b) | | 13,746 | 1,723,748 |
| Atlassian Corp. PLC (b) | | 18,747 | 2,382,931 |
| Autodesk, Inc. (b) | | 30,275 | 5,476,748 |
| Blackbaud, Inc. | | 9,620 | 797,306 |
| BlackLine, Inc. (a)(b) | | 12,735 | 685,398 |
| Bottomline Technologies, Inc. (b) | | 9,873 | 488,615 |
| Cadence Design Systems, Inc. (b) | | 36,719 | 2,579,510 |
| CDK Global, Inc. | | 24,482 | 1,311,011 |
| Cerence, Inc. (b) | | 5,915 | 92,037 |
| Check Point Software Technologies Ltd. (b) | | 22,700 | 2,675,876 |
| Citrix Systems, Inc. | | 19,842 | 2,238,376 |
| CommVault Systems, Inc. (b) | | 7,179 | 363,401 |
| Cornerstone OnDemand, Inc. (b) | | 13,451 | 829,523 |
| Coupa Software, Inc. (b) | | 11,657 | 1,789,233 |
| Crowdstrike Holdings, Inc. (a) | | 3,235 | 187,630 |
| CyberArk Software Ltd. (b) | | 8,518 | 1,043,881 |
| Descartes Systems Group, Inc. (Canada) (b) | | 18,602 | 796,848 |
| DocuSign, Inc. (b) | | 23,030 | 1,639,966 |
| Dropbox, Inc. Class A (b) | | 27,891 | 515,705 |
| Ebix, Inc. (a) | | 5,943 | 206,698 |
| Everbridge, Inc. (b) | | 8,739 | 768,508 |
| FireEye, Inc. (b) | | 19,899 | 333,507 |
| Five9, Inc. (b) | | 14,650 | 998,691 |
| Fortinet, Inc. (b) | | 30,678 | 3,224,565 |
| GTY Govtech, Inc. (a)(b) | | 16,632 | 81,996 |
| Ideanomics, Inc. (a)(b) | | 17,035 | 15,507 |
| Intuit, Inc. | | 35,405 | 9,166,000 |
| j2 Global, Inc. | | 10,291 | 998,433 |
| LivePerson, Inc. (b) | | 18,911 | 750,578 |
| Magic Software Enterprises Ltd. | | 7,487 | 75,694 |
| Manhattan Associates, Inc. (b) | | 12,458 | 1,040,368 |
| Microsoft Corp. | | 1,014,248 | 153,536,862 |
| MicroStrategy, Inc. Class A (b) | | 2,933 | 440,918 |
| Mimecast Ltd. (b) | | 14,598 | 647,421 |
| NICE Systems Ltd. sponsored ADR (a)(b) | | 8,888 | 1,346,443 |
| Nortonlifelock, Inc. | | 83,613 | 2,081,964 |
| Nuance Communications, Inc. (b) | | 47,328 | 848,591 |
| Nutanix, Inc. Class A (b) | | 32,826 | 1,226,051 |
| Open Text Corp. | | 49,393 | 2,153,019 |
| Parametric Technology Corp. (b) | | 21,592 | 1,653,947 |
| Paylocity Holding Corp. (b) | | 10,359 | 1,267,113 |
| Pegasystems, Inc. | | 15,075 | 1,170,122 |
| Phunware, Inc. (b) | | 3,266 | 4,180 |
| Pluralsight, Inc. (b) | | 15,026 | 255,292 |
| Progress Software Corp. | | 12,316 | 517,395 |
| Proofpoint, Inc. (b) | | 7,947 | 943,229 |
| Qualys, Inc. (b) | | 7,927 | 693,692 |
| Rapid7, Inc. (b) | | 12,937 | 725,378 |
| RealPage, Inc. (b) | | 13,411 | 738,007 |
| Sapiens International Corp. NV | | 24,692 | 555,817 |
| SecureWorks Corp. (b) | | 3,376 | 38,284 |
| Splunk, Inc. (b) | | 24,814 | 3,702,745 |
| SPS Commerce, Inc. (b) | | 10,241 | 576,876 |
| SS&C Technologies Holdings, Inc. | | 42,429 | 2,547,861 |
| SurveyMonkey (b) | | 14,374 | 245,364 |
| Synopsys, Inc. (b) | | 22,026 | 3,106,547 |
| Talend SA ADR (a)(b) | | 7,575 | 287,547 |
| Tenable Holdings, Inc. (b) | | 9,447 | 256,486 |
| The Trade Desk, Inc. (a)(b) | | 5,520 | 1,453,637 |
| TiVo Corp. | | 27,730 | 216,571 |
| Varonis Systems, Inc. (b) | | 7,241 | 565,595 |
| Verint Systems, Inc. (b) | | 11,734 | 570,390 |
| Veritone, Inc. (a)(b) | | 4,013 | 12,119 |
| Workday, Inc. Class A (b) | | 21,702 | 3,887,262 |
| Xunlei Ltd. sponsored ADR (a)(b) | | 21,053 | 108,844 |
| Zoom Video Communications, Inc. Class A | | 8,041 | 599,055 |
| Zscaler, Inc. (a)(b) | | 20,062 | 1,045,832 |
| | | | 261,720,674 |
| Technology Hardware, Storage & Peripherals - 7.7% | | | |
| Apple, Inc. | | 600,169 | 160,395,143 |
| Logitech International SA | | 32,045 | 1,395,880 |
| Nano Dimension Ltd. ADR (a)(b) | | 15,006 | 39,016 |
| NetApp, Inc. | | 50,846 | 3,080,759 |
| Seagate Technology LLC | | 48,079 | 2,869,355 |
| Sonim Technologies, Inc. (a) | | 4,524 | 12,577 |
| Stratasys Ltd. (a)(b) | | 16,512 | 304,481 |
| Western Digital Corp. | | 48,553 | 2,443,672 |
| | | | 170,540,883 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 742,763,166 |
|
| MATERIALS - 0.3% | | | |
| Chemicals - 0.1% | | | |
| A. Schulman, Inc. rights (b)(c) | | 7,892 | 3,417 |
| AgroFresh Solutions, Inc. (b) | | 3,504 | 8,304 |
| Amyris, Inc. (a)(b) | | 31,579 | 126,948 |
| Balchem Corp. | | 3,264 | 325,192 |
| Innophos Holdings, Inc. | | 4,234 | 135,065 |
| Innospec, Inc. | | 6,694 | 658,690 |
| Loop Industries, Inc. (a)(b) | | 4,881 | 49,786 |
| | | | 1,307,402 |
| Containers & Packaging - 0.0% | | | |
| Silgan Holdings, Inc. | | 12,356 | 380,688 |
| Metals & Mining - 0.2% | | | |
| Century Aluminum Co. (b) | | 7,673 | 54,095 |
| Ferroglobe PLC (b) | | 34,193 | 21,839 |
| Ferroglobe Representation & Warranty Insurance (b)(c) | | 7,187 | 0 |
| Kaiser Aluminum Corp. | | 4,316 | 472,947 |
| Pan American Silver Corp. | | 27,633 | 531,935 |
| Royal Gold, Inc. | | 10,065 | 1,180,323 |
| Schnitzer Steel Industries, Inc. Class A | | 10,194 | 219,681 |
| SSR Mining, Inc. (b) | | 26,867 | 420,309 |
| Steel Dynamics, Inc. | | 35,302 | 1,190,736 |
| | | | 4,091,865 |
| Paper & Forest Products - 0.0% | | | |
| Mercer International, Inc. (SBI) | | 23,694 | 296,886 |
|
| TOTAL MATERIALS | | | 6,076,841 |
|
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.0% | | | |
| Brookfield Property REIT, Inc. Class A | | 10,568 | 201,003 |
| CareTrust (REIT), Inc. | | 25,480 | 532,022 |
| CIM Commercial Trust Corp. | | 6,063 | 87,914 |
| CyrusOne, Inc. | | 16,047 | 999,728 |
| Equinix, Inc. | | 14,253 | 8,079,313 |
| Gaming & Leisure Properties | | 38,655 | 1,631,241 |
| Hospitality Properties Trust (SBI) | | 22,995 | 535,554 |
| Industrial Logistics Properties Trust | | 9,225 | 199,629 |
| Lamar Advertising Co. Class A | | 13,635 | 1,137,568 |
| Potlatch Corp. | | 10,141 | 440,424 |
| Regency Centers Corp. | | 25,398 | 1,651,886 |
| Retail Opportunity Investments Corp. | | 28,361 | 517,305 |
| Sabra Health Care REIT, Inc. | | 20,156 | 449,076 |
| SBA Communications Corp. Class A | | 20,964 | 4,957,357 |
| | | | 21,420,020 |
| Real Estate Management & Development - 0.1% | | | |
| Brookfield Property Partners LP | | 69,333 | 1,321,101 |
| Colliers International Group, Inc. | | 8,226 | 594,826 |
| FirstService Corp. | | 8,143 | 780,832 |
| Newmark Group, Inc. | | 27,138 | 354,151 |
| Redfin Corp. (a)(b) | | 2,946 | 56,799 |
| The RMR Group, Inc. | | 4,874 | 228,932 |
| | | | 3,336,641 |
|
| TOTAL REAL ESTATE | | | 24,756,661 |
|
| UTILITIES - 0.8% | | | |
| Electric Utilities - 0.7% | | | |
| Alliant Energy Corp. | | 39,645 | 2,101,185 |
| Exelon Corp. | | 132,605 | 5,887,662 |
| MGE Energy, Inc. (a) | | 8,849 | 685,974 |
| Otter Tail Corp. | | 10,606 | 521,391 |
| Xcel Energy, Inc. | | 74,350 | 4,571,782 |
| | | | 13,767,994 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| Atlantica Yield PLC | | 18,662 | 483,719 |
| Pattern Energy Group, Inc. | | 23,982 | 659,985 |
| Terraform Power, Inc. | | 72,111 | 1,118,442 |
| | | | 2,262,146 |
| Water Utilities - 0.0% | | | |
| Middlesex Water Co. | | 6,870 | 431,505 |
|
| TOTAL UTILITIES | | | 16,461,645 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $1,158,953,338) | | | 1,832,153,679 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.6% | | | |
| U.S. Treasury Bills, yield at date of purchase 1.7% to 1.82% 12/19/19 to 3/19/20 (d) | | | |
| (Cost $14,952,638) | | 15,000,000 | 14,959,966 |
| | | Shares | Value |
|
| Money Market Funds - 18.7% | | | |
| Fidelity Cash Central Fund 1.61% (e) | | 353,967,697 | $354,038,491 |
| Fidelity Securities Lending Cash Central Fund 1.61% (e)(f) | | 57,424,736 | 57,430,478 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $411,465,901) | | | 411,468,969 |
| TOTAL INVESTMENT IN SECURITIES - 102.5% | | | |
| (Cost $1,585,371,877) | | | 2,258,582,614 |
| NET OTHER ASSETS (LIABILITIES) - (2.5)% | | | (56,112,547) |
| NET ASSETS - 100% | | | $2,202,470,067 |
| Futures Contracts | | | | | |
| | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) |
| Purchased | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini NASDAQ 100 Index Contracts (United States) | 2,200 | Dec. 2019 | $370,370,000 | $21,476,584 | $21,476,584 |
The notional amount of futures purchased as a percentage of Net Assets is 16.8%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $298,653,663.
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(c) Level 3 security
(d) 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 $14,959,966.
(e) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(f) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $6,266,911 |
| Fidelity Securities Lending Cash Central Fund | 1,437,099 |
| Total | $7,704,010 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount 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
The following is a summary of the inputs used, as of November 30, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| | Valuation Inputs at Reporting Date: |
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | | | | |
| Equities: | | | | |
| Communication Services | $317,892,055 | $317,892,055 | $-- | $-- |
| Consumer Discretionary | 238,814,237 | 238,814,237 | -- | -- |
| Consumer Staples | 81,218,497 | 81,218,497 | -- | -- |
| Energy | 4,205,543 | 4,205,543 | -- | -- |
| Financials | 122,964,721 | 122,964,721 | -- | -- |
| Health Care | 192,101,672 | 192,055,805 | -- | 45,867 |
| Industrials | 84,898,641 | 84,898,641 | -- | -- |
| Information Technology | 742,763,166 | 742,763,166 | -- | -- |
| Materials | 6,076,841 | 6,073,424 | -- | 3,417 |
| Real Estate | 24,756,661 | 24,756,661 | -- | -- |
| Utilities | 16,461,645 | 16,461,645 | -- | -- |
| U.S. Government and Government Agency Obligations | 14,959,966 | -- | 14,959,966 | -- |
| Money Market Funds | 411,468,969 | 411,468,969 | -- | -- |
| Total Investments in Securities: | $2,258,582,614 | $2,243,573,364 | $14,959,966 | $49,284 |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $21,476,584 | $21,476,584 | $-- | $-- |
| Total Assets | $21,476,584 | $21,476,584 | $-- | $-- |
| Total Derivative Instruments: | $21,476,584 | $21,476,584 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
| Primary Risk Exposure / Derivative Type | Value |
| | Asset | Liability |
| Equity Risk | | |
| Futures Contracts(a) | $21,476,584 | $0 |
| Total Equity Risk | 21,476,584 | 0 |
| Total Value of Derivatives | $21,476,584 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | November 30, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $55,645,164) — See accompanying schedule:
Unaffiliated issuers (cost $1,173,905,976) | $1,847,113,645 | |
| Fidelity Central Funds (cost $411,465,901) | 411,468,969 | |
| Total Investment in Securities (cost $1,585,371,877) | | $2,258,582,614 |
| Segregated cash with brokers for derivative instruments | | 1,025,123 |
| Foreign currency held at value (cost $5,242) | | 5,001 |
| Receivable for investments sold | | 3,590 |
| Dividends receivable | | 1,782,204 |
| Distributions receivable from Fidelity Central Funds | | 539,681 |
| Receivable for daily variation margin on futures contracts | | 730,889 |
| Prepaid expenses | | 14,283 |
| Receivable from investment adviser for expense reductions | | 111,708 |
| Other receivables | | 8,970 |
| Total assets | | 2,262,804,063 |
| Liabilities | | |
| Payable to custodian bank | $2,372,755 | |
| Accrued management fee | 429,640 | |
| Other affiliated payables | 46,640 | |
| Other payables and accrued expenses | 58,642 | |
| Collateral on securities loaned | 57,426,319 | |
| Total liabilities | | 60,333,996 |
| Net Assets | | $2,202,470,067 |
| Net Assets consist of: | | |
| Paid in capital | | $1,505,664,550 |
| Total accumulated earnings (loss) | | 696,805,517 |
| Net Assets | | $2,202,470,067 |
| Net Asset Value, offering price and redemption price per share ($2,202,470,067 ÷ 6,460,000 shares) | | $340.94 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended November 30, 2019 |
| Investment Income | | |
| Dividends | | $19,092,938 |
| Interest | | 352,980 |
| Income from Fidelity Central Funds (including $1,437,099 from security lending) | | 7,704,010 |
| Total income | | 27,149,928 |
| Expenses | | |
| Management fee | $4,764,984 | |
| Transfer agent and custody fees | 30,907 | |
| Accounting and security lending fees | 504,871 | |
| Independent trustees' fees and expenses | 11,280 | |
| Audit | 67,484 | |
| Legal | 29,584 | |
| Miscellaneous | 18,882 | |
| Total expenses before reductions | 5,427,992 | |
| Expense reductions | (1,242,844) | |
| Total expenses after reductions | | 4,185,148 |
| Net investment income (loss) | | 22,964,780 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (8,142,949) | |
| Redemptions in-kind | 86,836,878 | |
| Fidelity Central Funds | (1,366) | |
| Foreign currency transactions | 10,799 | |
| Futures contracts | 12,168,291 | |
| Total net realized gain (loss) | | 90,871,653 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 205,317,430 | |
| Fidelity Central Funds | 1,826 | |
| Assets and liabilities in foreign currencies | (144) | |
| Futures contracts | 41,289,295 | |
| Total change in net unrealized appreciation (depreciation) | | 246,608,407 |
| Net gain (loss) | | 337,480,060 |
| Net increase (decrease) in net assets resulting from operations | | $360,444,840 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended November 30, 2019 | Year ended November 30, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $22,964,780 | $16,915,802 |
| Net realized gain (loss) | 90,871,653 | 92,537,507 |
| Change in net unrealized appreciation (depreciation) | 246,608,407 | (4,534,483) |
| Net increase (decrease) in net assets resulting from operations | 360,444,840 | 104,918,826 |
| Distributions to shareholders | (22,429,700) | (16,311,200) |
| Share transactions | | |
| Proceeds from sales of shares | 216,266,412 | 447,694,234 |
| Cost of shares redeemed | (200,133,424) | (167,424,839) |
| Net increase (decrease) in net assets resulting from share transactions | 16,132,988 | 280,269,395 |
| Total increase (decrease) in net assets | 354,148,128 | 368,877,021 |
| Net Assets | | |
| Beginning of period | 1,848,321,939 | 1,479,444,918 |
| End of period | $2,202,470,067 | $1,848,321,939 |
| Other Information | | |
| Shares | | |
| Sold | 730,000 | 1,550,000 |
| Redeemed | (690,000) | (600,000) |
| Net increase (decrease) | 40,000 | 950,000 |
See accompanying notes which are an integral part of the financial statements.
Fidelity Nasdaq Composite Index Tracking Stock
| | | | | | |
| Years ended November 30, | 2019 | 2018 | 2017 | 2016 | 2015 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $287.90 | $270.47 | $209.73 | $201.07 | $188.45 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | 3.53 | 2.76 | 2.40 | 2.43 | 2.14 |
| Net realized and unrealized gain (loss) | 52.98 | 17.36 | 60.58 | 8.56 | 12.44 |
| Total from investment operations | 56.51 | 20.12 | 62.98 | 10.99 | 14.58 |
| Distributions from net investment income | (3.47) | (2.69) | (2.24) | (2.33) | (1.96) |
| Total distributions | (3.47) | (2.69) | (2.24) | (2.33) | (1.96) |
| Net asset value, end of period | $340.94 | $287.90 | $270.47 | $209.73 | $201.07 |
| Total ReturnB | 19.83% | 7.42% | 30.21% | 5.56% | 7.79% |
| Ratios to Average Net AssetsC,D | | | | | |
| Expenses before reductions | .27% | .27% | .31% | .32% | .42% |
| Expenses net of fee waivers, if any | .21% | .21% | .21% | .21% | .21% |
| Expenses net of all reductions | .21% | .21% | .21% | .21% | .21% |
| Net investment income (loss) | 1.15% | .95% | .99% | 1.25% | 1.11% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $2,202,470 | $1,848,322 | $1,479,445 | $755,017 | $663,523 |
| Portfolio turnover rateE,F | 6% | 10% | 12% | 6% | 9% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2019
1. Organization.
Fidelity Nasdaq Composite Index Tracking Stock (the Fund) is an exchange-traded fund of Fidelity Commonwealth Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 the Fund's 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 vendor 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 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 vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors 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 vendors. 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 open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of November 30, 2019 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of November 30, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in kind, partnerships, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $716,636,760 |
| Gross unrealized depreciation | (43,860,445) |
| Net unrealized appreciation (depreciation) | $672,776,315 |
| Tax Cost | $1,585,806,299 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $5,356,211 |
| Undistributed long-term capital gain | $18,885,674 |
| Net unrealized appreciation (depreciation) on securities and other investments | $672,563,632 |
The tax character of distributions paid was as follows:
| | November 30, 2019 | November 30, 2018 |
| Ordinary Income | $22,429,700 | $ 16,311,200 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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 and 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:
| 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.
|
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
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 and amounts recognized in the Statement of Assets and Liabilities. 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 fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, aggregated $102,493,252 and $140,388,032, respectively.
Securities received and delivered in-kind through subscriptions and redemptions totaled $172,470,290 and $159,510,871, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR Co., Inc. (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .24% of the Fund's average net assets. During January 2019, the Board approved to change the investment adviser from Fidelity Management & Research Company to FMR Co., Inc. effective February 1, 2019. There was no change to the management fee.
During November 2019, the Board approved to change the management fee structure for the Fund from a flat fee to an all-inclusive fee effective December 1, 2019. The Fund will pay a monthly management fee that is based on an annual rate of .21% of the Fund's average net assets. Under the management contract, the investment adviser will pay all other operating expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Prior to April 1, 2019, FSC had a separate agreement with the Fund for administration of the security lending program, based on the number and duration of lending transactions. For the period, the total fees paid for accounting and administration of securities lending were equivalent to an annual rate of .03%.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to NFS, as affiliated borrower, at period end was $798,488. Total fees paid by the Fund to NFS, as lending agent, amounted to $67,833. Security lending income 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. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds, and includes $65,102 from securities loaned to NFS, as affiliated borrower.
8. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of the Fund to the extent annual operating expenses exceeded .21% of average net assets. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $1,241,474.
During November 2019, the Board approved to discontinue the expense limitation effective December 1, 2019.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,370.
9. Share Transactions.
The Fund issues and redeems shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated stocks to the Fund and redemption proceeds are paid with a basket of securities from the Fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Effective January 1, 2020, following any required regulatory notices and approvals:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Commonwealth Trust and Shareholders of Fidelity Nasdaq Composite Index Tracking Stock:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Nasdaq Composite Index Tracking Stock (one of the funds constituting Fidelity Commonwealth Trust, referred to hereafter as the “Fund”) as of November 30, 2019, the related statement of operations for the year ended November 30, 2019, the statement of changes in net assets for each of the two years in the period ended November 30, 2019, including the related notes, and the financial highlights for each of the five years in the period ended November 30, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2019 and the financial highlights for each of the five years in the period ended November 30, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2019 by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
January 14, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Michael E. Wiley, each of the Trustees oversees 302 funds. Mr. Wiley oversees 199 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-FIDELITY.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. James C. Curvey is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and other equity funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
James C. Curvey (1935)
Year of Election or Appointment: 2018
Trustee
Chairman of the Board of Trustees
Mr. Curvey also serves as Trustee of other Fidelity® funds. Mr. Curvey is Vice Chairman (2007-present) and Director of FMR LLC (diversified financial services company). In addition, Mr. Curvey is an Overseer Emeritus for the Boston Symphony Orchestra, a Director of Artis-Naples, and a Trustee of Brewster Academy in Wolfeboro, New Hampshire. Previously, Mr. Curvey served as a Director of Fidelity Research & Analysis Co. (investment adviser firm, 2009-2018), Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2009-2014) and a Director of FMR and FMR Co., Inc. (investment adviser firms, 2007-2014).
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Dennis J. Dirks (1948)
Year of Election or Appointment: 2018
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008), as a member of the Independent Directors Council (IDC) Governing Council (2010-2015), and as a member of the Board of Directors for The Brookville Center for Children’s Services, Inc. (2009-2017). Mr. Dirks is a member of the Finance Committee (2016-present) and Board of Directors (2017-present) and is Treasurer (2018-present) of the Asolo Repertory Theatre.
Donald F. Donahue (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Donahue also serves as a Trustee of other Fidelity® funds. Mr. Donahue is President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 2012-present). Previously, Mr. Donahue served as a Member of the Advisory Board of certain Fidelity® funds (2015-2018) and Chief Executive Officer (2006-2012), Chief Operating Officer (2003-2006), and Managing Director, Customer Marketing and Development (1999-2003) of The Depository Trust & Clearing Corporation (financial markets infrastructure). Mr. Donahue serves as a Member (2007-present) and Co-Chairman (2016-present) of the Board of Directors of United Way of New York, Member of the Board of Directors of NYC Leadership Academy (2012-present) and Member of the Board of Advisors of Ripple Labs, Inc. (financial services, 2015-present). He also served as Chairman (2010-2012) and Member of the Board of Directors (2012-2013) of Omgeo, LLC (financial services), Treasurer of United Way of New York (2012-2016), and Member of the Board of Directors of XBRL US (financial services non-profit, 2009-2012) and the International Securities Services Association (2009-2012).
Alan J. Lacy (1953)
Year of Election or Appointment: 2018
Trustee
Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a Director of Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). He is a Trustee of the California Chapter of The Nature Conservancy (2015-present) and a Director of the Center for Advanced Study in the Behavioral Sciences at Stanford University (2015-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation (retail) and Chief Executive Officer and Chairman of the Board of Sears, Roebuck and Co. (retail, 2000-2005). Previously, Mr. Lacy served as Chairman (2014-2017) and a member (2010-2017) of the Board of Directors of Dave & Buster’s Entertainment, Inc. (restaurant and entertainment complexes), as Chairman (2008-2011) and a member (2006-2015) of the Board of Trustees of the National Parks Conservation Association, and as a member of the Board of Directors for The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), Earth Fare, Inc. (retail grocery, 2010-2014), and The Western Union Company (global money transfer, 2006-2011).
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2018
Trustee
Chairman of the Independent Trustees
Mr. Lautenbach also serves as Trustee of other Fidelity® funds. Mr. Lautenbach currently serves as Chair (2018-present) and Member (2013-present) of the Board of Governors, State University System of Florida and is a member of the Council on Foreign Relations (1994-present). He is also a member and has most recently served as Chairman of the Board of Directors of Artis-Naples (2012-present). Previously, Mr. Lautenbach served as a member and then Lead Director of the Board of Directors of Eaton Corporation (diversified industrial, 1997-2016). He was also a Partner and Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007). In addition, Mr. Lautenbach also had a 30-year career with IBM (technology company) during which time he served as Senior Vice President and a member of the Corporate Executive Committee (1968-1998).
Joseph Mauriello (1944)
Year of Election or Appointment: 2018
Trustee
Mr. Mauriello also serves as Trustee of other Fidelity® funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Independent Directors Council (IDC) Governing Council (2015-present). Previously, Mr. Mauriello served as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-2018).
Cornelia M. Small (1944)
Year of Election or Appointment: 2018
Trustee
Ms. Small also serves as Trustee of other Fidelity® funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
Garnett A. Smith (1947)
Year of Election or Appointment: 2017
Trustee
Mr. Smith also serves as Trustee of other Fidelity® funds. Prior to Mr. Smith's retirement, he served as Chairman and Chief Executive Officer of Inbrand Corp. (manufacturer of personal absorbent products, 1990-1997). He also served as President (1986-1990) of Inbrand Corp. Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank. In addition, Mr. Smith served as a Member of the Advisory Board of certain Fidelity® funds (2012-2013) and as a board member of the Jackson Hole Land Trust (2009-2012).
David M. Thomas (1949)
Year of Election or Appointment: 2018
Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present) and as a member of the Board of Directors (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), a Director of Fortune Brands, Inc. (consumer products, 2000-2011), and a member of the Board of Trustees of the University of Florida (2013-2018).
Michael E. Wiley (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Wiley also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Wiley serves as a Director of High Point Resources (exploration and production, 2005-present). Previously, Mr. Wiley served as a Director of Andeavor Corporation (independent oil refiner and marketer, 2005-2018), a Director of Andeavor Logistics LP (natural resources logistics, 2015-2018), a Director of Post Oak Bank (privately-held bank, 2004-2018), a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-2013), a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), an Advisory Director of Riverstone Holdings (private investment), a Director of Spinnaker Exploration Company (exploration and production, 2001-2005) and Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Vicki L. Fuller (1957)
Year of Election or Appointment: 2018
Member of the Advisory Board
Ms. Fuller also serves as Member of the Advisory Board of other Fidelity® funds. Ms. Fuller serves as a member of the Board of Directors, Audit Committee, and Nominating and Governance Committee of The Williams Companies, Inc. (natural gas infrastructure, 2018-present). Previously, Ms. Fuller served as the Chief Investment Officer of the New York State Common Retirement Fund (2012-2018) and held a variety of positions at AllianceBernstein L.P. (global asset management, 1985-2012), including Managing Director (2006-2012) and Senior Vice President and Senior Portfolio Manager (2001-2006).
Peter S. Lynch (1944)
Year of Election or Appointment: 2018
Member of the Advisory Board
Mr. Lynch also serves as Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of Fidelity Management & Research Company LLC (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served as Vice Chairman and a Director of FMR Co., Inc. (investment adviser firm) and on the Special Olympics International Board of Directors (1997-2006).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
William C. Coffey (1969)
Year of Election or Appointment: 2019
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Secretary and CLO of certain funds (2018-2019); CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-2019); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-2019); and Assistant Secretary of certain funds (2009-2018).
Timothy M. Cohen (1969)
Year of Election or Appointment: 2018
Vice President
Mr. Cohen also serves as Vice President of other funds. Mr. Cohen serves as Co-Head of Equity (2018-present), a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), and is an employee of Fidelity Investments. Previously, Mr. Cohen served as Executive Vice President of Fidelity SelectCo, LLC (2019), Head of Global Equity Research (2016-2018), Chief Investment Officer - Equity and a Director of Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2013-2015) and as a Director of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2017).
Jonathan Davis (1968)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2018
Deputy Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018).
Pamela R. Holding (1964)
Year of Election or Appointment: 2018
Vice President
Ms. Holding also serves as Vice President of other funds. Ms. Holding serves as Co-Head of Equity (2018-present) and is an employee of Fidelity Investments (2013-present). Previously, Ms. Holding served as Executive Vice President of Fidelity SelectCo, LLC (2019) and as Chief Investment Officer of Fidelity Institutional Asset Management (2013-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as Secretary and CLO of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Kenneth B. Robins (1969)
Year of Election or Appointment: 2018
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2019 to November 30, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Annualized Expense Ratio-A | Beginning
Account Value
June 1, 2019 | Ending
Account Value
November 30, 2019 | Expenses Paid
During Period-B
June 1, 2019
to November 30, 2019 |
| Actual | .21% | $1,000.00 | $1,169.90 | $1.14 |
| Hypothetical-C | | $1,000.00 | $1,024.02 | $1.07 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Nasdaq Composite Index Tracking Stock voted to pay on December 26, 2019, to shareholders of record at the opening of business on December 20, 2019, a distribution of $3.142 per share derived from capital gains realized from sales of portfolio securities and a dividend of $.879 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended November 30, 2019, $18,885,674, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 66%, 90%, 90%, and 90% of the dividends distributed in December, March, June, and September, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 82%, 94%, 94%, and 94% of the dividends distributed in December, March, June, and September, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Nasdaq Composite Index Tracking Stock
At its November 2019 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract and amended and restated sub-advisory agreements, including a sub-advisory agreement with Geode Capital Management, LLC (Geode) (together, the Amended and Restated Contracts) for the fund, effective January 1, 2020, for a one month period through January 31, 2020, in connection with an upcoming consolidation of certain of Fidelity's advisory businesses.
The Board considered that, on or about January 1, 2020, each of FMR Co., Inc. (FMRC), Fidelity Investments Money Management, Inc. (FIMM), and SelectCo, LLC (SelectCo) will merge with and into Fidelity Management & Research Company (FMR) and that, after the merger, FMR will redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreement with FMRC upon the completion of the merger. The Board noted that the Amended and Restated Contracts would be updated to reflect the renamed adviser, Fidelity Management & Research Company LLC and its new form of organization and domicile. The Board also noted that the Amended and Restated Contracts will not change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.
The Board concluded that the fund's Amended and Restated Contracts are fair and reasonable, and that the fund's Advisory Contracts should be approved through January 31, 2020.
In connection with its consideration of future renewals of the fund's Amended and Restated Contracts, the Board will consider: (i) the nature, extent and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's management fee structure is fair and reasonable, and that the continuation of the fund's Amended and Restated Contracts should be approved.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Nasdaq Composite Index Tracking Stock
At its November 2019 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated management contract with FMR Co., Inc. (FMRC) for the fund (the Amended Management Contract) and the sub-advisory agreement with Geode Capital Management, LLC (Geode) (together with the Amended Management Contract, the Amended and Restated Contracts): (1) to implement an all-inclusive fee structure and lower the management fee rate from 0.24% to 0.21% effective December 1, 2019; and (2) to reflect the upcoming consolidation of certain of Fidelity’s advisory businesses effective on or about January 1, 2020.
The Board considered that, on or about January 1, 2020, FMRC will merge with and into Fidelity Management & Research Company (FMR) and that, after the merger, FMR will redomicile as a Delaware limited liability company. The Board noted that the Amended and Restated Contracts would be updated to reflect the renamed adviser, Fidelity Management & Research Company LLC and its new form of organization and domicile. The Board also noted the Amended and Restated Contracts will not change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.
The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
Nature, Extent, and Quality of Services Provided. The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by FMR and the fund’s sub-adviser, Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family, and the investment performance of the fund in connection with the annual renewal of the fund's current management contract and sub-advisory agreement (Advisory Contracts). At its January 2019 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should benefit the fund's shareholders. The Board noted that approval of the Amended and Restated Contracts would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended and Restated Contracts will continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts.
Based on its review, the Board concluded at its January 2019 meeting that the fund's current management fee and total expenses are fair and reasonable in light of the services that the fund receives and the other factors considered.
The Board considered that the Amended Management Contract would implement an all-inclusive fee set below the fund's current management fee level and payable to FMR for managing the fund and paying all of the fund's operating expenses, subject to certain exceptions. The Board considered that the Amended Management Contract would result in a decrease to the fund's management fee rate by 3.0 basis points, and that the management fee rate would continue to rank below the total mapped group median of its competitor funds based on the competitive mapped group data provided to the Board in connection with the annual renewal of the existing management contract.
Based on its review, the Board concluded that the management fee and the total expenses continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.
Costs of the Services and Profitability. The Board considered that it previously reviewed information regarding the revenues earned and the expenses incurred by FMR in providing services to the fund and the level of FMR's profitability. At its January 2019 meeting, the Board concluded that it was satisfied that FMR's profitability in connection with the operation of the fund was not excessive under the circumstances. Because the Board was approving an arrangement that would reduce the management fee rate, the Board did not consider the costs of the services provided by and the profits realized by FMR to be significant factors in its decision to approve the Amended Management Contract.
Economies of Scale. The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its January 2019 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. The Board did not consider economies of scale to be a significant factor in its decision to approve the Amended Management Contract because the all-inclusive fee will be set below the fund's current management fee.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's advisory fee structures are fair and reasonable, and that the Amended and Restated Contracts should be approved.
ETF-ANN-0120
1.795540.116
