UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02105
Fidelity Salem Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
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Date of fiscal year end: | July 31 |
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Date of reporting period: | July 31, 2024 |
Item 1.
Reports to Stockholders
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| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® SAI U.S. Quality Index Fund Fidelity® SAI U.S. Quality Index Fund : FUQIX |
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This annual shareholder report contains information about Fidelity® SAI U.S. Quality Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI U.S. Quality Index Fund | $ 12 | 0.11% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, information technology gained 36% and contributed most to the fund's performance for the fiscal year. Communication services stocks also helped (+38%), benefiting from the media & entertainment industry (+38%). Health care rose 13%, boosted by the pharmaceuticals, biotechnology & life sciences industry (+17%), financials gained approximately 16%, lifted by the financial services industry (+17%), and consumer discretionary advanced roughly 28%. Other contributors included the consumer staples (+13%), industrials (+8%), real estate (+27%) and materials (+10%) sectors.
•Conversely, energy returned about 49% and detracted.
•Turning to individual stocks, the top contributor was Nvidia (+145%), from the semiconductors & semiconductor equipment industry. Within the same group, Broadcom gained approximately 95% and helped. In media & entertainment, Meta Platforms (+48%) and Alphabet (+30%) lifted the fund. Lastly, Microsoft (+25%), from the software & services group, also helped.
•In contrast, the biggest detractor was Qualcomm (-15%), from the semiconductors & semiconductor equipment industry. From the same industry, Texas Instruments returned -5% and hurt. Fortinet (-25%), a stock in the software & services group, detracted. In health care equipment & services, Edwards Lifesciences returned -23% and hindered the fund. Lastly, in commercial & professional services, Paycom Software (-54%) detracted.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
October 8, 2015 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI U.S. Quality Index Fund | $10,000 | $10,901 | $12,503 | $15,093 | $16,556 | $19,890 | $26,383 | $24,654 | $28,344 | $35,673 |
Fidelity SAI U.S. Quality Index Fund Linked Index℠ | $10,000 | $10,911 | $12,543 | $15,159 | $16,640 | $19,994 | $26,537 | $24,791 | $28,554 | $35,908 |
Fidelity U.S. Quality Focus Index℠ | $10,000 | $10,901 | $12,503 | $15,093 | $16,573 | $19,914 | $26,430 | $24,691 | $28,439 | $35,763 |
S&P 500® Index | $10,000 | $10,983 | $12,745 | $14,815 | $15,998 | $17,911 | $24,439 | $23,305 | $26,339 | $32,172 |
| | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI U.S. Quality Index Fund | 25.86% | 16.59% | 15.51% |
| Fidelity SAI U.S. Quality Index Fund Linked Index℠ | 25.76% | 16.63% | 15.60% |
| Fidelity U.S. Quality Focus Index℠ | 25.76% | 16.63% | -% |
| S&P 500® Index | 22.15% | 15.00% | 14.17% |
A From October 8, 2015
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $14,176,823,098 | |
| Number of Holdings | 87 | |
| Total Advisory Fee | $13,330,347 | |
| Portfolio Turnover | 53% | |
What did the Fund invest in?
(as of July 31, 2024)
MARKET SECTORS (% of Fund's net assets) | | |
| Information Technology | 41.0 | |
| Health Care | 15.1 | |
| Communication Services | 11.9 | |
| Financials | 10.8 | |
| Industrials | 7.0 | |
| Consumer Staples | 6.8 | |
| Consumer Discretionary | 5.8 | |
| Real Estate | 1.1 | |
| Energy | 0.2 | |
| Materials | 0.1 | |
| |
| Common Stocks | 99.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.2 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 99.8 |
| Israel | 0.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 9.7 | |
| NVIDIA Corp | 8.6 | |
| Alphabet Inc Class A | 6.5 | |
| Meta Platforms Inc Class A | 4.9 | |
| Microsoft Corp | 4.1 | |
| Johnson & Johnson | 4.0 | |
| Mastercard Inc Class A | 3.8 | |
| Visa Inc Class A | 3.7 | |
| Coca-Cola Co/The | 3.6 | |
| Adobe Inc | 3.4 | |
| | 52.3 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913531.100 2803-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® SAI Small-Mid Cap 500 Index Fund Fidelity® SAI Small-Mid Cap 500 Index Fund : FZFLX |
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This annual shareholder report contains information about Fidelity® SAI Small-Mid Cap 500 Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | $ 6 | 0.05% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, industrials gained about 18% and contributed most to the fund's performance for the fiscal year, especially among capital goods firms (+24%). Financials rose about 21% and also helped, as did consumer discretionary stocks, which advanced approximately 11%. Further bolstering performance was the utilities sector (+40%), along with information technology and real estate companies, which advanced 7% and 9%, respectively. Exposure to materials (+10%), energy (+8%), health care (+2%) and consumer staples (+7%) stocks was beneficial as well.
•Among individual holdings, the top contributor was utilities firm Vistra (+211%). A stake in capital goods stock Vertiv Holdings (+232%) was another plus, along with consumer durables & apparel company Deckers Outdoor (+78%). Applovin, within the software & services industry, gained roughly 164% and helped as well. In the consumer discretionary distribution & retail category, a stake in Williams-Sonoma (+106%) also was advantageous.
•In contrast, holdings in the communication services sector returned about -6% and detracted most, primarily due to the media & entertainment industry (-7%).
•On a stock-specific basis, the biggest detractor was Exact Sciences (-53%), a position in the pharmaceuticals, biotechnology & life sciences industry. A stake in software & services firm Bill Holdings (-60%) also hurt. Five Below (-65%), a stock in the consumer discretionary distribution & retail category, was another performance headwind. Among banks, New York Community Bancorp (-76%) weighed on the fund's return as well. Lastly, Wolfspeed (-71%), a holding in the semiconductors & semiconductor equipment industry, futher weighed on the fund's return.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
August 12, 2015 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI Small-Mid Cap 500 Index Fund | $10,000 | $10,326 | $11,608 | $13,455 | $14,162 | $14,159 | $20,812 | $18,952 | $20,529 | $23,029 |
Russell SMID 500™ Index | $10,000 | $10,335 | $11,622 | $13,496 | $14,206 | $14,207 | $20,895 | $19,035 | $20,592 | $23,107 |
Russell 3000® Index | $10,000 | $10,538 | $12,239 | $14,245 | $15,249 | $16,916 | $23,466 | $21,741 | $24,491 | $29,653 |
| | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | 12.18% | 10.21% | 9.74% |
| Russell SMID 500™ Index | 12.21% | 10.22% | 9.78% |
| Russell 3000® Index | 21.07% | 14.23% | 12.87% |
A From August 12, 2015
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $1,734,459,634 | |
| Number of Holdings | 506 | |
| Total Advisory Fee | $1,752,006 | |
| Portfolio Turnover | 31% | |
What did the Fund invest in?
(as of July 31, 2024)
MARKET SECTORS (% of Fund's net assets) | | |
| Industrials | 20.4 | |
| Financials | 15.9 | |
| Consumer Discretionary | 14.3 | |
| Information Technology | 11.0 | |
| Health Care | 9.5 | |
| Real Estate | 7.5 | |
| Materials | 6.9 | |
| Energy | 5.1 | |
| Consumer Staples | 3.9 | |
| Communication Services | 3.4 | |
| Utilities | 2.1 | |
| |
| Common Stocks | 100.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.0 |
ASSET ALLOCATION (% of Fund's net assets) |
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| United States | 98.5 |
| United Kingdom | 0.4 |
| Bermuda | 0.3 |
| Puerto Rico | 0.2 |
| Brazil | 0.2 |
| Belgium | 0.2 |
| Luxembourg | 0.1 |
| Japan | 0.1 |
| Finland | 0.0 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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TOP HOLDINGS (% of Fund's net assets) | | |
| Eqt Corp | 0.7 | |
| Watsco Inc | 0.6 | |
| Lennox International Inc | 0.5 | |
| Packaging Corp of America | 0.5 | |
| Textron Inc | 0.5 | |
| EMCOR Group Inc | 0.5 | |
| Reliance Inc | 0.5 | |
| Avery Dennison Corp | 0.5 | |
| Everest Group Ltd | 0.5 | |
| Pure Storage Inc Class A | 0.4 | |
| | 5.2 | |
| |
How has the Fund changed?
This is a summary of certain changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by September 28, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: - •Operating expenses
- •Expense reductions
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913530.100 2786-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® SAI U.S. Momentum Index Fund Fidelity® SAI U.S. Momentum Index Fund : FUMIX |
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This annual shareholder report contains information about Fidelity® SAI U.S. Momentum Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI U.S. Momentum Index Fund | $ 15 | 0.13% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, information technology gained 33% and contributed most to the fund's performance for the fiscal year. Industrials, which gained approximately 37%, also helped, benefiting from the capital goods industry (+44%), as did communication services, which advanced 36%, lifted by the media & entertainment industry (+35%). The health care sector rose about 43%, boosted by the pharmaceuticals, biotechnology & life sciences industry (+50%), while financials gained 34% and consumer discretionary advanced roughly 24%. Other contributors included the utilities (+81%), energy (+12%), materials (+18%), consumer staples (+16%) and real estate (+28%) sectors.
•Turning to individual stocks, the biggest contributor was Nvidia (+148%), from the semiconductors & semiconductor equipment category. Within the same group, Broadcom gained 84% and lifted the fund. In pharmaceuticals, biotechnology & life sciences, Eli Lilly gained 77% and contributed. In media & entertainment, Meta Platforms (+48%) boosted the fund. Lastly, in capital goods, General Electric (+88%) helped.
•In contrast, the biggest detractor was Intel (-12%), from the semiconductors & semiconductor equipment group. From the same group, ON Semiconductor (-36%) hurt. In software & services, Adobe (+1%) and CrowdStrike Holdings (+44%) hurt the fund's performance. Lastly, Tesla (-30%), from the automobiles & components industry, detracted.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
February 9, 2017 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI U.S. Momentum Index Fund | $10,000 | $10,980 | $13,432 | $14,363 | $16,770 | $22,301 | $19,835 | $21,024 |
MSCI USA Custom Momentum Composite Index | $10,000 | $11,002 | $13,464 | $14,416 | $16,851 | $22,435 | $19,974 | $21,212 |
MSCI USA Index | $10,000 | $10,768 | $12,450 | $13,375 | $15,041 | $20,620 | $19,123 | $21,529 |
| | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI U.S. Momentum Index Fund | 35.08% | 14.61% | 14.98% |
| MSCI USA Custom Momentum Composite Index | 35.04% | 14.72% | 15.11% |
| MSCI USA Index | 21.48% | 14.35% | 13.72% |
A From February 9, 2017
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $645,694,919 | |
| Number of Holdings | 234 | |
| Total Advisory Fee | $446,924 | |
| Portfolio Turnover | 104% | |
What did the Fund invest in?
(as of July 31, 2024)
MARKET SECTORS (% of Fund's net assets) | | |
| Information Technology | 30.9 | |
| Financials | 15.4 | |
| Industrials | 15.2 | |
| Communication Services | 10.4 | |
| Consumer Discretionary | 10.0 | |
| Health Care | 9.8 | |
| Consumer Staples | 4.1 | |
| Utilities | 1.5 | |
| Materials | 1.4 | |
| Energy | 0.9 | |
| Real Estate | 0.3 | |
| |
| Common Stocks | 99.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.1 |
ASSET ALLOCATION (% of Fund's net assets) |
|
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| United States | 99.7 |
| China | 0.2 |
| Brazil | 0.1 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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TOP HOLDINGS (% of Fund's net assets) | | |
| Broadcom Inc | 5.2 | |
| Amazon.com Inc | 5.2 | |
| NVIDIA Corp | 5.1 | |
| Meta Platforms Inc Class A | 4.9 | |
| Eli Lilly & Co | 4.7 | |
| JPMorgan Chase & Co | 3.8 | |
| Microsoft Corp | 3.2 | |
| Costco Wholesale Corp | 3.2 | |
| General Electric Co | 2.3 | |
| Netflix Inc | 1.9 | |
| | 39.5 | |
| |
How has the Fund changed?
This is a summary of certain changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by September 28, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913545.100 2882-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Real Estate Index Fund Fidelity® Real Estate Index Fund : FSRNX |
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This annual shareholder report contains information about Fidelity® Real Estate Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Real Estate Index Fund | $ 7 | 0.07% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, retail real estate investment trusts gained about 14% and notably contributed to the fund's performance for the fiscal year. Exposure to health care REITs, which rose 17%, also helped, as did telecom tower firms, which advanced roughly 14%. Additional bright spots included the other specialized real estate industry (+23%), while self-storage and multi-family residential REITs were up 14% and 9%, respectively. Holdings in the data center (+8%), office (+19%), real estate services (+8%), industrial (+4%), hotel & resort (+3%) and diversified (+3%) categories bolstered performance as well.
•Turning to individual stocks, the biggest contributor was American Tower (+20%), within the telecom tower industry. A position in health care REIT Welltower (+39%) was another plus. Among other specialized real estate stocks, Iron Mountain gained 73% and boosted the fund's return as well. In retail, a stake in Simon Property Group (+30%) provided an added lift, as did real estate services firm CBRE Group (+35%).
•In contrast, holdings among timber REITs returned about -5% and detracted most. Unfavorable exposure to real estate operating companies (-23%) and real estate development (-9%) stocks also hurt.
•The biggest stock-specific detractor was health care REIT Medical Properties Trust (-46%). Within the real estate services industry, CoStar Group (-7%), Opendoor Technologies (-55%) and Zillow (-10%) pressured the fund's return as well. Lastly, diversified REIT W.P. Carey (-7%) also proved to be a performance challenge.
How did the Fund perform over the past 10 years?
CUMULATIVE PERFORMANCE
July 31, 2014 through July 31, 2024.
Initial investment of $10,000.
Fidelity® Real Estate Index Fund | $10,000 | $11,129 | $13,433 | $12,680 | $13,174 | $14,602 | $12,216 | $17,069 | $16,350 | $14,764 | $16,333 |
Fidelity Real Estate Linked Index℠ | $10,000 | $11,129 | $13,457 | $12,695 | $13,185 | $14,621 | $12,238 | $17,133 | $16,409 | $14,825 | $16,415 |
MSCI US IMI Real Estate 25/25 Index | $10,000 | $11,129 | $13,433 | $13,204 | $13,810 | $15,636 | $14,843 | $20,304 | $19,446 | $17,568 | $19,453 |
S&P 500® Index | $10,000 | $11,121 | $11,745 | $13,629 | $15,843 | $17,108 | $19,153 | $26,134 | $24,921 | $28,165 | $34,403 |
| | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | 10 Year |
| Fidelity® Real Estate Index Fund | 10.63% | 2.27% | 5.03% |
| Fidelity Real Estate Linked Index℠ | 10.73% | 2.34% | 5.08% |
| MSCI US IMI Real Estate 25/25 Index | 10.73% | 4.46% | -% |
| S&P 500® Index | 22.15% | 15.00% | 13.15% |
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $2,726,235,514 | |
| Number of Holdings | 156 | |
| Total Advisory Fee | $1,716,716 | |
| Portfolio Turnover | 5% | |
What did the Fund invest in?
(as of July 31, 2024)
TOP INDUSTRIES (% of Fund's net assets) |
| Specialized REITs | 36.0 | |
| Retail REITs | 13.1 | |
| Residential REITs | 12.8 | |
| Industrial REITs | 11.8 | |
| Health Care REITs | 10.6 | |
| Real Estate Management & Development | 7.6 | |
| Office REITs | 3.3 | |
| Hotel & Resort REITs | 2.5 | |
| Diversified REITs | 1.9 | |
| |
| Common Stocks | 99.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |
ASSET ALLOCATION (% of Fund's net assets) |
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GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
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| |
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TOP HOLDINGS (% of Fund's net assets) | | |
| Prologis Inc | 8.1 | |
| American Tower Corp | 7.2 | |
| Equinix Inc | 5.3 | |
| Welltower Inc | 4.5 | |
| Simon Property Group Inc | 3.6 | |
| Realty Income Corp | 3.4 | |
| Crown Castle Inc | 3.4 | |
| Public Storage Operating Co | 3.2 | |
| Digital Realty Trust Inc | 3.2 | |
| CBRE Group Inc Class A | 2.4 | |
| | 44.3 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913516.100 2355-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® SAI U.S. Value Index Fund Fidelity® SAI U.S. Value Index Fund : FSWCX |
| | | |
This annual shareholder report contains information about Fidelity® SAI U.S. Value Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI U.S. Value Index Fund | $ 12 | 0.11% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, financials gained 33% and contributed most to the fund's performance for the fiscal year. Information technology stocks also helped (+23%). Energy rose 15%, industrials gained about 21%, lifted by the capital goods industry (+35%), and consumer discretionary advanced 23%. Other contributors included the communication services (+13%), materials (+8%), utilities (+105%) and real estate (-26%) sectors.
•In contrast, health care returned -3% and detracted most. This group was hampered by the pharmaceuticals, biotechnology & life sciences industry (-9%). Consumer staples (-3%) also hurt, held back by the consumer staples distribution & retail industry (-15%).
•Turning to individual stocks, the top contributor was JPMorgan Chase (+38%), from the banks group. Within the same category, Bank of America (+30%) and Wells Fargo (+32%) lifted the fund. Qualcomm, within the semiconductors & semiconductor equipment category, gained 39% and helped. Lastly, IBM (+39%), a stock in the software & services category, helped.
•Conversely, the biggest detractor was Bristol-Myers Squibb (-20%), from the pharmaceuticals, biotechnology & life sciences industry. Within the same group, Pfizer (-10%) hurt the fund. CVS Health (-16%) and Humana (-22%), within the health care equipment & services category, hurt. Lastly, Comcast (-6%), a stock in the media & entertainment industry, detracted.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
December 19, 2017 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI U.S. Value Index Fund | $10,000 | $10,367 | $10,431 | $9,375 | $13,348 | $14,044 | $14,991 | $17,716 |
Fidelity U.S. Value Focus Index℠ | $10,000 | $10,382 | $10,441 | $9,377 | $13,369 | $14,083 | $15,064 | $17,800 |
S&P 500® Index | $10,000 | $10,621 | $11,469 | $12,841 | $17,520 | $16,708 | $18,882 | $23,064 |
| | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI U.S. Value Index Fund | 18.17% | 11.17% | 9.02% |
| Fidelity U.S. Value Focus Index℠ | 18.16% | 11.26% | 9.10% |
| S&P 500® Index | 22.15% | 15.00% | 13.46% |
A From December 19, 2017
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $4,113,484,200 | |
| Number of Holdings | 204 | |
| Total Advisory Fee | $1,879,685 | |
| Portfolio Turnover | 63% | |
What did the Fund invest in?
(as of July 31, 2024)
MARKET SECTORS (% of Fund's net assets) | | |
| Financials | 23.1 | |
| Information Technology | 20.7 | |
| Energy | 13.3 | |
| Health Care | 12.9 | |
| Communication Services | 8.6 | |
| Consumer Discretionary | 5.9 | |
| Industrials | 5.4 | |
| Materials | 5.3 | |
| Consumer Staples | 3.7 | |
| Real Estate | 0.4 | |
| Utilities | 0.2 | |
| |
| Common Stocks | 99.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 99.2 |
| Ireland | 0.2 |
| Bermuda | 0.2 |
| China | 0.2 |
| Peru | 0.2 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Exxon Mobil Corp | 3.8 | |
| JPMorgan Chase & Co | 3.8 | |
| Chevron Corp | 3.5 | |
| Bank of America Corp | 3.3 | |
| Microsoft Corp | 3.2 | |
| Apple Inc | 3.2 | |
| NVIDIA Corp | 2.8 | |
| Wells Fargo & Co | 2.7 | |
| Cisco Systems Inc | 2.6 | |
| International Business Machines Corp | 2.4 | |
| | 31.3 | |
| |
How has the Fund changed?
This is a summary of certain changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by September 28, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913551.100 3056-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® SAI Real Estate Index Fund Fidelity® SAI Real Estate Index Fund : FESIX |
| | | |
This annual shareholder report contains information about Fidelity® SAI Real Estate Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI Real Estate Index Fund | $ 7 | 0.07% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, retail real estate investment trusts gained 15% and notably contributed to the fund's performance for the fiscal year. Exposure to health care REITs, which rose 17%, also helped, as did telecom tower firms, which advanced roughly 13%. Further bolstering performance were holdings in the specialized real estate industry (+22%), while self-storage and multi-family residential REITs were up 17% and 10%, respectively. Stakes among data center (+5%), real estate services (+8%), office (+18%), industrial (+3%), hotel & resort (+4%) and diversified (+6%) REITs aided performance as well.
•Turning to individual stocks, the biggest contributor was American Tower (+20%), within the telecom tower industry. A position in health care REIT Welltower (+39%) was another plus. Among other specialized real estate stocks, Iron Mountain gained 69% and boosted the fund's return as well. In retail, a stake in Simon Property Group (+30%) provided an added lift, as did real estate services firm CBRE Group (+33%).
•In contrast, the fund's holdings in timber REITs returned about -6% and detracted most. Unfavorable exposure to real estate operating companies (-23%) and real estate development (-10%) stocks also hurt.
•The biggest stock-specific detractor was health care REIT Medical Properties Trust (-45%). Within the real estate services industry, CoStar Group (-7%), Opendoor Technologies (-53%) and Zillow (-10%) pressured the fund's return as well. Lastly, diversified REIT W.P. Carey (-3%) also proved to be a performance challenge.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
February 2, 2016 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI Real Estate Index Fund | $10,000 | $12,152 | $11,471 | $11,915 | $13,200 | $11,083 | $15,485 | $14,829 | $13,395 |
Fidelity Real Estate Linked Index℠ | $10,000 | $12,170 | $11,482 | $11,924 | $13,223 | $11,068 | $15,495 | $14,841 | $13,408 |
MSCI US IMI Real Estate 25/25 Index | $10,000 | $12,152 | $11,940 | $12,488 | $14,139 | $13,422 | $18,360 | $17,496 | $15,886 |
S&P 500® Index | $10,000 | $11,549 | $13,402 | $15,579 | $16,823 | $18,834 | $25,699 | $24,506 | $27,696 |
| | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI Real Estate Index Fund | 10.30% | 2.28% | 4.70% |
| Fidelity Real Estate Linked Index℠ | 10.73% | 2.34% | 4.76% |
| MSCI US IMI Real Estate 25/25 Index | 10.73% | 4.46% | -% |
| S&P 500® Index | 22.15% | 15.00% | 15.42% |
A From February 2, 2016
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $2,578,643 | |
| Number of Holdings | 155 | |
| Total Advisory Fee | $56,242 | |
| Portfolio Turnover | 7% | |
What did the Fund invest in?
(as of July 31, 2024)
TOP INDUSTRIES (% of Fund's net assets) |
| Specialized REITs | 35.6 | |
| Retail REITs | 13.0 | |
| Residential REITs | 12.6 | |
| Industrial REITs | 11.7 | |
| Health Care REITs | 10.4 | |
| Real Estate Management & Development | 7.5 | |
| Office REITs | 3.3 | |
| Hotel & Resort REITs | 2.4 | |
| Diversified REITs | 2.0 | |
| |
| Common Stocks | 98.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.5 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Prologis Inc | 8.0 | |
| American Tower Corp | 7.1 | |
| Equinix Inc | 5.2 | |
| Welltower Inc | 4.3 | |
| Simon Property Group Inc | 3.5 | |
| Realty Income Corp | 3.4 | |
| Crown Castle Inc | 3.3 | |
| Public Storage Operating Co | 3.2 | |
| Digital Realty Trust Inc | 3.2 | |
| CBRE Group Inc Class A | 2.4 | |
| | 43.6 | |
| |
How has the Fund changed?
This is a summary of certain changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by September 28, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: - •Operating expenses
- •Expense reductions
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913533.100 2810-TSRA-0924 |
| |
| | ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | This report describes changes to the Fund that occurred during the reporting period. |
| | Fidelity® SAI U.S. Large Cap Index Fund Fidelity® SAI U.S. Large Cap Index Fund : FLCPX |
| | | |
This annual shareholder report contains information about Fidelity® SAI U.S. Large Cap Index Fund for the period August 1, 2023 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI U.S. Large Cap Index Fund | $ 2 | 0.02% | |
What affected the Fund's performance this period?
•U.S. equities gained for the 12 months ending July 31, 2024, driven by resilient corporate profits, a frenzy over generative artificial intelligence and the Federal Reserve's likely pivot to cutting interest rates later this year.
•Against this backdrop, information technology gained 35% and contributed most to the fund's performance for the fiscal year. Financials, which gained 26%, also helped, as did communication services, which advanced 30%, lifted by the media & entertainment industry (+30%). The health care sector rose about 14%, boosted by the pharmaceuticals, biotechnology & life sciences industry (+18%), while industrials gained approximately 18% and consumer discretionary advanced 12%. Other contributors included the consumer staples (+8%), energy (+10%), utilities (+12%), real estate (+12%) and materials (+10%) sectors.
•Turning to individual stocks, the top contributor was Nvidia (+151%), from the semiconductors & semiconductor equipment industry. Another notable contributor was Microsoft (+25%), a stock in the software & services industry. Amazon.com (+39%), from the consumer discretionary distribution & retail category, helped. Another notable contributor was Alphabet (+30%), a stock in the media & entertainment group. Lastly, Apple, within the technology hardware & equipment group, gained about 13% and also helped.
•Conversely, the biggest detractor was Tesla (-14%), from the automobiles & components category. In consumer durables & apparel, Nike returned -31% and hindered the fund. Another notable detractor was United Parcel Service (-27%), a stock in the transportation group. CrowdStrike Holdings (-39%), a stock in the software & services industry, hurt the fund's performance. Lastly, in capital goods, Boeing returned approximately -20% and hurt the fund's performance.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
February 2, 2016 through July 31, 2024.
Initial investment of $10,000.
Fidelity® SAI U.S. Large Cap Index Fund | $10,000 | $11,550 | $13,401 | $15,574 | $16,816 | $18,807 | $25,659 | $24,459 | $27,635 |
S&P 500® Index | $10,000 | $11,549 | $13,402 | $15,579 | $16,823 | $18,834 | $25,699 | $24,506 | $27,696 |
| | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | 5 Year | Life of Fund A |
| Fidelity® SAI U.S. Large Cap Index Fund | 22.14% | 14.95% | 15.39% |
| S&P 500® Index | 22.15% | 15.00% | 15.42% |
A From February 2, 2016
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $14,911,051,242 | |
| Number of Holdings | 507 | |
| Total Advisory Fee | $1,842,847 | |
| Portfolio Turnover | 40% | |
What did the Fund invest in?
(as of July 31, 2024)
MARKET SECTORS (% of Fund's net assets) | | |
| Information Technology | 31.3 | |
| Financials | 13.0 | |
| Health Care | 11.8 | |
| Consumer Discretionary | 10.0 | |
| Communication Services | 8.8 | |
| Industrials | 8.4 | |
| Consumer Staples | 5.8 | |
| Energy | 3.7 | |
| Utilities | 2.4 | |
| Real Estate | 2.3 | |
| Materials | 2.2 | |
| |
| Common Stocks | 99.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.3 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 99.5 |
| Ireland | 0.4 |
| China | 0.1 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 6.9 | |
| Microsoft Corp | 6.7 | |
| NVIDIA Corp | 6.3 | |
| Amazon.com Inc | 3.7 | |
| Meta Platforms Inc Class A | 2.2 | |
| Alphabet Inc Class A | 2.2 | |
| Alphabet Inc Class C | 1.8 | |
| Berkshire Hathaway Inc Class B | 1.8 | |
| Broadcom Inc | 1.6 | |
| Tesla Inc | 1.4 | |
| | 34.6 | |
| |
How has the Fund changed?
This is a summary of certain changes to the Fund since August 1, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by September 28, 2024 at fundresearch.fidelity.com/prospectus/sec or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913532.100 2807-TSRA-0924 |
Item 2.
Code of Ethics
As of the end of the period, July 31, 2024, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Real Estate Index Fund, Fidelity SAI Real Estate Index Fund, Fidelity SAI Small-Mid Cap 500 Index Fund, Fidelity SAI U.S. Large Cap Index Fund, Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2024 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $35,600 | $- | $9,800 | $900 |
Fidelity SAI Real Estate Index Fund | $39,000 | $- | $10,000 | $1,000 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $40,800 | $- | $8,400 | $1,000 |
Fidelity SAI U.S. Large Cap Index Fund | $39,000 | $- | $10,200 | $1,000 |
Fidelity SAI U.S. Momentum Index Fund | $41,400 | $- | $8,400 | $1,000 |
Fidelity SAI U.S. Quality Index Fund | $40,600 | $- | $8,400 | $1,000 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $35,700 | $- | $8,800 | $900 |
Fidelity SAI Real Estate Index Fund | $37,700 | $- | $9,200 | $1,000 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $41,000 | $- | $7,400 | $1,000 |
Fidelity SAI U.S. Large Cap Index Fund | $39,100 | $- | $9,200 | $1,000 |
Fidelity SAI U.S. Momentum Index Fund | $40,500 | $- | $7,400 | $1,000 |
Fidelity SAI U.S. Quality Index Fund | $40,700 | $- | $7,400 | $1,000 |
A Amounts may reflect rounding.
Services Billed by PwC
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity SAI U.S. Value Index Fund (the “Fund(s)”):
July 31, 2024 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $38,100 | $3,500 | $9,800 | $1,500 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $38,100 | $3,400 | $9,800 | $1,500 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another
investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
| | |
| July 31, 2024A | July 31, 2023A |
Audit-Related Fees | $200,000 | $80,000 |
Tax Fees | $- | $- |
All Other Fees | $1,929,500 | $- |
A Amounts may reflect rounding.
Services Billed by PwC
| | |
| July 31, 2024A | July 31, 2023 A |
Audit-Related Fees | $9,437,800 | $8,699,200 |
Tax Fees | $61,000 | $1,000 |
All Other Fees | $35,000 | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and
any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
| | |
Billed By | July 31, 2024A | July 31, 2023A |
Deloitte Entities | $5,009,600 | $3,353,300 |
PwC | $15,023,200 | $14,167,700 |
A Amounts may reflect rounding
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Fidelity® SAI U.S. Value Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI U.S. Value Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 99.4% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 8.6% | | | |
| Diversified Telecommunication Services - 4.0% | | | |
| AT&T, Inc. | | 3,872,515 | 74,545,914 |
| Verizon Communications, Inc. | | 2,273,365 | 92,116,750 |
| | | | 166,662,664 |
| Entertainment - 0.3% | | | |
| Warner Bros Discovery, Inc. (a) | | 1,204,278 | 10,417,005 |
| Interactive Media & Services - 0.8% | | | |
| Alphabet, Inc. Class A | | 196,582 | 33,721,676 |
| Media - 3.5% | | | |
| Charter Communications, Inc. Class A (a) | | 52,896 | 20,085,669 |
| Comcast Corp. Class A | | 2,114,000 | 87,244,780 |
| Fox Corp. Class A | | 191,299 | 7,277,014 |
| Interpublic Group of Companies, Inc. | | 203,842 | 6,557,597 |
| Liberty Broadband Corp. Class C (a) | | 69,158 | 4,660,558 |
| Nexstar Media Group, Inc. | | 16,845 | 3,112,788 |
| Omnicom Group, Inc. (b) | | 105,767 | 10,369,397 |
| Paramount Global Class B (b) | | 275,867 | 3,150,401 |
| | | | 142,458,204 |
TOTAL COMMUNICATION SERVICES | | | 353,259,549 |
| CONSUMER DISCRETIONARY - 5.8% | | | |
| Automobile Components - 0.4% | | | |
| Aptiv PLC (a) | | 146,937 | 10,195,958 |
| BorgWarner, Inc. | | 123,052 | 4,344,966 |
| Lear Corp. | | 30,670 | 3,742,967 |
| | | | 18,283,891 |
| Automobiles - 1.4% | | | |
| Ford Motor Co. | | 2,117,944 | 22,916,154 |
| General Motors Co. | | 616,217 | 27,310,737 |
| Harley-Davidson, Inc. | | 66,107 | 2,479,013 |
| Thor Industries, Inc. (b) | | 28,800 | 3,056,832 |
| | | | 55,762,736 |
| Broadline Retail - 0.9% | | | |
| Amazon.com, Inc. (a) | | 107,656 | 20,129,519 |
| eBay, Inc. | | 273,284 | 15,197,323 |
| Macy's, Inc. | | 148,609 | 2,567,964 |
| | | | 37,894,806 |
| Distributors - 0.1% | | | |
| LKQ Corp. | | 144,082 | 5,979,403 |
| Hotels, Restaurants & Leisure - 0.4% | | | |
| Expedia Group, Inc. (a) | | 68,562 | 8,753,311 |
| Yum China Holdings, Inc. | | 210,581 | 6,367,969 |
| | | | 15,121,280 |
| Household Durables - 2.2% | | | |
| D.R. Horton, Inc. | | 160,071 | 28,801,575 |
| KB Home | | 39,714 | 3,418,581 |
| Lennar Corp. Class A | | 138,636 | 24,528,867 |
| Meritage Homes Corp. | | 19,615 | 3,979,295 |
| Mohawk Industries, Inc. (a) | | 28,628 | 4,611,112 |
| PulteGroup, Inc. | | 113,603 | 14,995,596 |
| Taylor Morrison Home Corp. (a) | | 57,122 | 3,831,744 |
| Toll Brothers, Inc. | | 56,261 | 8,029,007 |
| | | | 92,195,777 |
| Leisure Products - 0.1% | | | |
| Mattel, Inc. (a)(b) | | 185,844 | 3,584,931 |
| Specialty Retail - 0.1% | | | |
| Signet Jewelers Ltd. | | 24,118 | 2,029,047 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| PVH Corp. | | 30,575 | 3,118,344 |
| Tapestry, Inc. | | 124,097 | 4,975,049 |
| | | | 8,093,393 |
TOTAL CONSUMER DISCRETIONARY | | | 238,945,264 |
| CONSUMER STAPLES - 3.6% | | | |
| Beverages - 0.1% | | | |
| Molson Coors Beverage Co. Class B (b) | | 98,206 | 5,190,187 |
| Consumer Staples Distribution & Retail - 0.7% | | | |
| Albertsons Companies, Inc. | | 217,723 | 4,317,447 |
| Kroger Co. | | 361,528 | 19,703,276 |
| Walgreens Boots Alliance, Inc. (b) | | 386,730 | 4,590,485 |
| | | | 28,611,208 |
| Food Products - 1.7% | | | |
| Archer Daniels Midland Co. | | 267,040 | 16,559,150 |
| Bunge Global SA | | 76,474 | 8,047,359 |
| Conagra Brands, Inc. | | 258,196 | 7,828,503 |
| Darling Ingredients, Inc. (a) | | 86,295 | 3,428,500 |
| Ingredion, Inc. | | 35,455 | 4,409,538 |
| The J.M. Smucker Co. | | 57,344 | 6,763,725 |
| The Kraft Heinz Co. | | 426,287 | 15,009,565 |
| Tyson Foods, Inc. Class A | | 154,474 | 9,407,467 |
| | | | 71,453,807 |
| Tobacco - 1.1% | | | |
| Altria Group, Inc. | | 927,668 | 45,465,009 |
TOTAL CONSUMER STAPLES | | | 150,720,211 |
| ENERGY - 13.3% | | | |
| Oil, Gas & Consumable Fuels - 13.3% | | | |
| APA Corp. | | 194,462 | 6,065,270 |
| Chesapeake Energy Corp. | | 60,161 | 4,592,089 |
| Chevron Corp. | | 887,397 | 142,400,597 |
| Chord Energy Corp. | | 33,584 | 5,765,029 |
| Civitas Resources, Inc. | | 49,733 | 3,469,374 |
| ConocoPhillips Co. | | 426,880 | 47,469,056 |
| Coterra Energy, Inc. | | 401,951 | 10,370,336 |
| Devon Energy Corp. | | 341,335 | 16,052,985 |
| EOG Resources, Inc. | | 310,394 | 39,357,959 |
| Exxon Mobil Corp. | | 1,317,250 | 156,212,671 |
| HF Sinclair Corp. | | 80,950 | 4,166,497 |
| Marathon Oil Corp. | | 304,629 | 8,544,843 |
| Marathon Petroleum Corp. | | 190,289 | 33,684,959 |
| Matador Resources Co. | | 62,675 | 3,853,259 |
| Murphy Oil Corp. | | 78,284 | 3,239,392 |
| Occidental Petroleum Corp. | | 359,146 | 21,843,260 |
| Ovintiv, Inc. | | 134,437 | 6,243,254 |
| PBF Energy, Inc. Class A | | 56,991 | 2,322,383 |
| SM Energy Co. | | 62,129 | 2,870,360 |
| Valero Energy Corp. | | 176,606 | 28,560,722 |
| | | | 547,084,295 |
| FINANCIALS - 23.0% | | | |
| Banks - 16.0% | | | |
| Bank of America Corp. | | 3,418,354 | 137,793,850 |
| Bank OZK | | 56,976 | 2,671,605 |
| Citigroup, Inc. | | 1,030,184 | 66,838,338 |
| Citizens Financial Group, Inc. | | 245,751 | 10,486,195 |
| Credicorp Ltd. (United States) | | 36,702 | 6,262,829 |
| East West Bancorp, Inc. | | 75,149 | 6,604,846 |
| Fifth Third Bancorp | | 369,444 | 15,642,259 |
| First Citizens Bancshares, Inc. | | 6,428 | 13,419,671 |
| First Horizon National Corp. | | 295,356 | 4,941,306 |
| Huntington Bancshares, Inc. | | 782,724 | 11,701,724 |
| JPMorgan Chase & Co. | | 732,824 | 155,944,947 |
| M&T Bank Corp. | | 90,116 | 15,515,272 |
| PNC Financial Services Group, Inc. | | 214,905 | 38,919,296 |
| Regions Financial Corp. | | 494,627 | 11,064,806 |
| U.S. Bancorp | | 842,785 | 37,824,191 |
| Webster Financial Corp. | | 92,618 | 4,595,705 |
| Wells Fargo & Co. | | 1,882,914 | 111,732,117 |
| Western Alliance Bancorp. | | 58,875 | 4,737,083 |
| | | | 656,696,040 |
| Capital Markets - 1.1% | | | |
| Affiliated Managers Group, Inc. | | 17,209 | 3,194,335 |
| Bank of New York Mellon Corp. | | 403,886 | 26,280,862 |
| State Street Corp. | | 162,706 | 13,825,129 |
| | | | 43,300,326 |
| Consumer Finance - 1.0% | | | |
| Capital One Financial Corp. | | 206,368 | 31,244,115 |
| Synchrony Financial | | 216,869 | 11,014,777 |
| | | | 42,258,892 |
| Financial Services - 0.3% | | | |
| Corebridge Financial, Inc. | | 125,147 | 3,698,094 |
| Essent Group Ltd. | | 57,613 | 3,620,401 |
| Jackson Financial, Inc. | | 36,658 | 3,228,103 |
| MGIC Investment Corp. | | 143,980 | 3,576,463 |
| | | | 14,123,061 |
| Insurance - 4.4% | | | |
| American International Group, Inc. | | 358,439 | 28,399,122 |
| Arch Capital Group Ltd. (a) | | 201,976 | 19,345,261 |
| Assured Guaranty Ltd. | | 27,922 | 2,299,935 |
| Chubb Ltd. | | 219,308 | 60,454,443 |
| Cincinnati Financial Corp. | | 84,555 | 11,044,574 |
| Enstar Group Ltd. (a) | | 6,827 | 2,214,679 |
| Everest Re Group Ltd. | | 23,471 | 9,221,052 |
| Globe Life, Inc. | | 45,349 | 4,205,666 |
| Hartford Financial Services Group, Inc. | | 159,733 | 17,717,584 |
| Lincoln National Corp. | | 91,829 | 3,057,906 |
| Markel Group, Inc. (a) | | 7,023 | 11,509,644 |
| RenaissanceRe Holdings Ltd. | | 28,559 | 6,623,118 |
| Unum Group | | 96,146 | 5,531,279 |
| | | | 181,624,263 |
| Mortgage Real Estate Investment Trusts - 0.2% | | | |
| AGNC Investment Corp. | | 392,605 | 3,929,976 |
| Rithm Capital Corp. | | 261,120 | 3,031,603 |
| | | | 6,961,579 |
TOTAL FINANCIALS | | | 944,964,161 |
| HEALTH CARE - 12.9% | | | |
| Biotechnology - 1.8% | | | |
| Biogen, Inc. (a) | | 78,635 | 16,764,982 |
| Gilead Sciences, Inc. | | 672,869 | 51,178,416 |
| United Therapeutics Corp. (a) | | 23,956 | 7,505,175 |
| | | | 75,448,573 |
| Health Care Equipment & Supplies - 2.0% | | | |
| Baxter International, Inc. | | 275,218 | 9,858,309 |
| Medtronic PLC | | 717,140 | 57,600,685 |
| Zimmer Biomet Holdings, Inc. | | 111,111 | 12,372,210 |
| | | | 79,831,204 |
| Health Care Providers & Services - 5.1% | | | |
| Centene Corp. (a) | | 288,221 | 22,169,959 |
| Cigna Group | | 153,425 | 53,494,695 |
| CVS Health Corp. | | 678,011 | 40,904,404 |
| Elevance Health, Inc. | | 125,526 | 66,783,598 |
| Molina Healthcare, Inc. (a) | | 31,649 | 10,800,854 |
| Tenet Healthcare Corp. (a) | | 52,757 | 7,897,723 |
| Universal Health Services, Inc. Class B | | 32,231 | 6,889,699 |
| | | | 208,940,932 |
| Pharmaceuticals - 4.0% | | | |
| Bristol-Myers Squibb Co. | | 1,094,811 | 52,069,211 |
| Jazz Pharmaceuticals PLC (a) | | 34,047 | 3,753,682 |
| Organon & Co. | | 138,895 | 3,036,245 |
| Pfizer, Inc. | | 3,060,455 | 93,466,296 |
| Royalty Pharma PLC | | 209,469 | 5,900,742 |
| Viatris, Inc. | | 643,069 | 7,755,412 |
| | | | 165,981,588 |
TOTAL HEALTH CARE | | | 530,202,297 |
| INDUSTRIALS - 5.5% | | | |
| Air Freight & Logistics - 0.9% | | | |
| FedEx Corp. | | 122,273 | 36,957,014 |
| Building Products - 0.6% | | | |
| Builders FirstSource, Inc. (a) | | 65,921 | 11,033,198 |
| Owens Corning | | 46,802 | 8,722,957 |
| UFP Industries, Inc. | | 33,353 | 4,400,261 |
| | | | 24,156,416 |
| Electrical Equipment - 0.1% | | | |
| Atkore, Inc. | | 19,675 | 2,656,125 |
| Industrial Conglomerates - 0.9% | | | |
| 3M Co. | | 298,863 | 38,119,976 |
| Machinery - 1.8% | | | |
| AGCO Corp. | | 33,450 | 3,158,349 |
| Allison Transmission Holdings, Inc. | | 47,246 | 4,185,523 |
| CNH Industrial NV | | 495,780 | 5,280,057 |
| Cummins, Inc. | | 73,873 | 21,556,141 |
| Mueller Industries, Inc. | | 61,352 | 4,352,311 |
| PACCAR, Inc. | | 283,084 | 27,929,067 |
| Snap-On, Inc. | | 28,473 | 8,172,605 |
| | | | 74,634,053 |
| Passenger Airlines - 0.6% | | | |
| Delta Air Lines, Inc. | | 348,525 | 14,993,546 |
| United Airlines Holdings, Inc. (a) | | 177,582 | 8,065,774 |
| | | | 23,059,320 |
| Professional Services - 0.2% | | | |
| SS&C Technologies Holdings, Inc. | | 116,211 | 8,477,592 |
| Trading Companies & Distributors - 0.4% | | | |
| AerCap Holdings NV | | 104,690 | 9,835,626 |
| Boise Cascade Co. | | 21,322 | 3,029,643 |
| WESCO International, Inc. | | 23,608 | 4,130,220 |
| | | | 16,995,489 |
TOTAL INDUSTRIALS | | | 225,055,985 |
| INFORMATION TECHNOLOGY - 20.7% | | | |
| Communications Equipment - 2.7% | | | |
| Cisco Systems, Inc. | | 2,186,915 | 105,956,032 |
| F5, Inc. (a) | | 31,655 | 6,446,224 |
| | | | 112,402,256 |
| Electronic Equipment, Instruments & Components - 1.9% | | | |
| Arrow Electronics, Inc. (a) | | 28,749 | 3,555,964 |
| Avnet, Inc. | | 48,813 | 2,624,187 |
| Corning, Inc. | | 416,384 | 16,659,524 |
| Flex Ltd. (a) | | 216,921 | 6,974,010 |
| Jabil, Inc. | | 65,133 | 7,338,535 |
| TD SYNNEX Corp. | | 41,972 | 5,001,803 |
| TE Connectivity Ltd. | | 165,390 | 25,524,639 |
| Teledyne Technologies, Inc. (a) | | 25,612 | 10,804,678 |
| | | | 78,483,340 |
| IT Services - 3.3% | | | |
| Akamai Technologies, Inc. (a) | | 82,264 | 8,084,906 |
| Amdocs Ltd. | | 63,142 | 5,523,031 |
| Cognizant Technology Solutions Corp. Class A | | 268,531 | 20,322,426 |
| IBM Corp. | | 496,126 | 95,325,650 |
| Twilio, Inc. Class A (a) | | 92,448 | 5,466,450 |
| | | | 134,722,463 |
| Semiconductors & Semiconductor Equipment - 4.9% | | | |
| NVIDIA Corp. | | 975,376 | 114,138,500 |
| ON Semiconductor Corp. (a) | | 232,363 | 18,182,405 |
| Qualcomm, Inc. | | 339,419 | 61,417,868 |
| Skyworks Solutions, Inc. | | 86,655 | 9,845,741 |
| | | | 203,584,514 |
| Software - 3.6% | | | |
| Gen Digital, Inc. | | 297,593 | 7,734,442 |
| Microsoft Corp. | | 316,610 | 132,453,794 |
| Zoom Video Communications, Inc. Class A (a) | | 140,909 | 8,510,904 |
| | | | 148,699,140 |
| Technology Hardware, Storage & Peripherals - 4.3% | | | |
| Apple, Inc. | | 577,972 | 128,356,022 |
| Dell Technologies, Inc. | | 143,984 | 16,368,101 |
| Hewlett Packard Enterprise Co. | | 702,114 | 13,979,090 |
| HP, Inc. | | 466,119 | 16,822,235 |
| | | | 175,525,448 |
TOTAL INFORMATION TECHNOLOGY | | | 853,417,161 |
| MATERIALS - 5.3% | | | |
| Chemicals - 2.5% | | | |
| Celanese Corp. | | 54,269 | 7,660,069 |
| CF Industries Holdings, Inc. | | 98,718 | 7,541,068 |
| Corteva, Inc. | | 376,428 | 21,117,611 |
| Dow, Inc. | | 379,793 | 20,687,325 |
| DuPont de Nemours, Inc. | | 225,813 | 18,900,548 |
| Eastman Chemical Co. | | 63,541 | 6,565,692 |
| LyondellBasell Industries NV Class A | | 138,933 | 13,818,276 |
| Olin Corp. | | 64,498 | 2,941,754 |
| The Mosaic Co. | | 173,580 | 5,167,477 |
| | | | 104,399,820 |
| Construction Materials - 0.8% | | | |
| CRH PLC | | 370,865 | 31,783,131 |
| Containers & Packaging - 0.7% | | | |
| Berry Global Group, Inc. | | 61,786 | 4,060,576 |
| Crown Holdings, Inc. | | 64,439 | 5,715,739 |
| International Paper Co. | | 187,590 | 8,719,183 |
| Smurfit Westrock PLC | | 139,422 | 6,251,682 |
| Sonoco Products Co. | | 53,067 | 2,861,373 |
| | | | 27,608,553 |
| Metals & Mining - 1.3% | | | |
| Cleveland-Cliffs, Inc. (a)(b) | | 256,799 | 3,941,865 |
| Commercial Metals Co. | | 62,492 | 3,755,769 |
| Nucor Corp. | | 129,492 | 21,099,426 |
| Reliance, Inc. | | 31,016 | 9,446,233 |
| Steel Dynamics, Inc. | | 79,774 | 10,627,492 |
| United States Steel Corp. | | 120,834 | 4,965,069 |
| | | | 53,835,854 |
TOTAL MATERIALS | | | 217,627,358 |
| REAL ESTATE - 0.4% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.4% | | | |
| VICI Properties, Inc. | | 563,409 | 17,612,165 |
| UTILITIES - 0.3% | | | |
| Electric Utilities - 0.2% | | | |
| NRG Energy, Inc. | | 112,595 | 8,463,766 |
| Gas Utilities - 0.1% | | | |
| UGI Corp. | | 113,214 | 2,805,443 |
TOTAL UTILITIES | | | 11,269,209 |
| TOTAL COMMON STOCKS (Cost $3,679,951,826) | | | 4,090,157,655 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $366,875) | | 368,000 | 366,868 |
| | | | |
| Money Market Funds - 0.9% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 16,463,499 | 16,466,792 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 18,185,403 | 18,187,221 |
| TOTAL MONEY MARKET FUNDS (Cost $34,654,013) | | | 34,654,013 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $3,714,972,714) | 4,125,178,536 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (11,694,336) |
| NET ASSETS - 100.0% | 4,113,484,200 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 84 | Sep 2024 | 23,343,600 | 12,544 | 12,544 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.6% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $366,868. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 224,734 | 1,584,149,990 | 1,567,907,976 | 793,955 | 44 | - | 16,466,792 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 3,834,773 | 121,949,641 | 107,597,193 | 39,471 | - | - | 18,187,221 | 0.1% |
| Total | 4,059,507 | 1,706,099,631 | 1,675,505,169 | 833,426 | 44 | - | 34,654,013 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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 | 353,259,549 | 353,259,549 | - | - |
Consumer Discretionary | 238,945,264 | 238,945,264 | - | - |
Consumer Staples | 150,720,211 | 150,720,211 | - | - |
Energy | 547,084,295 | 547,084,295 | - | - |
Financials | 944,964,161 | 944,964,161 | - | - |
Health Care | 530,202,297 | 530,202,297 | - | - |
Industrials | 225,055,985 | 225,055,985 | - | - |
Information Technology | 853,417,161 | 853,417,161 | - | - |
Materials | 217,627,358 | 217,627,358 | - | - |
Real Estate | 17,612,165 | 17,612,165 | - | - |
Utilities | 11,269,209 | 11,269,209 | - | - |
|
| U.S. Government and Government Agency Obligations | 366,868 | - | 366,868 | - |
|
| Money Market Funds | 34,654,013 | 34,654,013 | - | - |
| Total Investments in Securities: | 4,125,178,536 | 4,124,811,668 | 366,868 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 12,544 | 12,544 | - | - |
| Total Assets | 12,544 | 12,544 | - | - |
| Total Derivative Instruments: | 12,544 | 12,544 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 12,544 | 0 |
| Total Equity Risk | 12,544 | 0 |
| Total Value of Derivatives | 12,544 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $17,633,687) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $3,680,318,701) | $ | 4,090,524,523 | | |
Fidelity Central Funds (cost $34,654,013) | | 34,654,013 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $3,714,972,714) | | | $ | 4,125,178,536 |
| Segregated cash with brokers for derivative instruments | | | | 763,519 |
| Foreign currency held at value (cost $1,505) | | | | 1,494 |
| Receivable for fund shares sold | | | | 417,313 |
| Dividends receivable | | | | 5,919,535 |
| Distributions receivable from Fidelity Central Funds | | | | 40,256 |
| Receivable for daily variation margin on futures contracts | | | | 362,633 |
| Prepaid expenses | | | | 1,032 |
Total assets | | | | 4,132,684,318 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 620,686 | | |
| Accrued management fee | | 319,404 | | |
| Other payables and accrued expenses | | 73,178 | | |
| Collateral on securities loaned | | 18,186,850 | | |
| Total liabilities | | | | 19,200,118 |
| Net Assets | | | $ | 4,113,484,200 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 3,615,460,132 |
| Total accumulated earnings (loss) | | | | 498,024,068 |
| Net Assets | | | $ | 4,113,484,200 |
Net Asset Value, offering price and redemption price per share ($4,113,484,200 ÷ 334,763,922 shares) | | | $ | 12.29 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 53,062,799 |
| Interest | | | | 19,291 |
| Income from Fidelity Central Funds (including $39,471 from security lending) | | | | 833,426 |
| Total income | | | | 53,915,516 |
| Expenses | | | | |
| Management fee | $ | 1,879,685 | | |
| Custodian fees and expenses | | 41,212 | | |
| Independent trustees' fees and expenses | | 4,215 | | |
| Registration fees | | 31,027 | | |
| Audit fees | | 56,366 | | |
| Legal | | 5,934 | | |
| Interest | | 4,219 | | |
| Miscellaneous | | 9,158 | | |
| Total expenses | | | | 2,031,816 |
| Net Investment income (loss) | | | | 51,883,700 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 53,702,269 | | |
| Fidelity Central Funds | | 44 | | |
| Foreign currency transactions | | 2,759 | | |
| Futures contracts | | 1,156,067 | | |
| Total net realized gain (loss) | | | | 54,861,139 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 332,724,767 | | |
| Assets and liabilities in foreign currencies | | (11) | | |
| Futures contracts | | (43,805) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 332,680,951 |
| Net gain (loss) | | | | 387,542,090 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 439,425,790 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 51,883,700 | $ | 38,920,584 |
| Net realized gain (loss) | | 54,861,139 | | 87,798,644 |
| Change in net unrealized appreciation (depreciation) | | 332,680,951 | | (260,301,630) |
| Net increase (decrease) in net assets resulting from operations | | 439,425,790 | | (133,582,402) |
| Distributions to shareholders | | (49,337,422) | | (299,214,923) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 3,406,284,858 | | 408,566,801 |
| Reinvestment of distributions | | 44,602,754 | | 289,927,267 |
| Cost of shares redeemed | | (119,829,910) | | (2,825,899,380) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 3,331,057,702 | | (2,127,405,312) |
| Total increase (decrease) in net assets | | 3,721,146,070 | | (2,560,202,637) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 392,338,130 | | 2,952,540,767 |
| End of period | $ | 4,113,484,200 | $ | 392,338,130 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 307,055,096 | | 36,999,453 |
| Issued in reinvestment of distributions | | 4,371,902 | | 26,793,151 |
| Redeemed | | (10,833,391) | | (273,043,165) |
| Net increase (decrease) | | 300,593,607 | | (209,250,561) |
| | | | | |
Financial Highlights
Fidelity® SAI U.S. Value Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 11.48 | $ | 12.13 | $ | 12.22 | $ | 8.82 | $ | 10.06 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .31 | | .32 | | .31 | | .31 | | .29 |
| Net realized and unrealized gain (loss) | | 1.54 | | .40 C | | .31 | | 3.35 | | (1.27) |
| Total from investment operations | | 1.85 | | .72 | | .62 | | 3.66 | | (.98) |
| Distributions from net investment income | | (.59) | | (.38) | | (.28) | | (.26) | | (.26) |
| Distributions from net realized gain | | (.45) | | (.99) | | (.42) | | - | | - |
| Total distributions | | (1.04) | | (1.37) | | (.71) D | | (.26) | | (.26) |
| Net asset value, end of period | $ | 12.29 | $ | 11.48 | $ | 12.13 | $ | 12.22 | $ | 8.82 |
Total Return E | | | | 6.74% | | 5.21% | | 42.39% | | (10.13)% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .11% | | .12% | | .10% | | .11% | | .11% |
| Expenses net of fee waivers, if any | | | | .12% | | .10% | | .11% | | .11% |
| Expenses net of all reductions | | .11% | | .12% | | .10% | | .11% | | .11% |
| Net investment income (loss) | | 2.77% | | 2.90% | | 2.49% | | 2.89% | | 3.12% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 4,113,484 | $ | 392,338 | $ | 2,952,541 | $ | 3,589,260 | $ | 2,282,301 |
Portfolio turnover rate H | | | | 86% | | 62% | | 80% | | 82% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI U.S. Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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. 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 declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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) 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 | $463,789,533 |
| Gross unrealized depreciation | (75,561,494) |
| Net unrealized appreciation (depreciation) | $388,228,039 |
| Tax Cost | $3,736,950,497 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $92,069,171 |
| Undistributed long-term capital gain | $17,726,868 |
| Net unrealized appreciation (depreciation) on securities and other investments | $388,228,028 |
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $30,621,895 | $ 82,934,907 |
| Long-term Capital Gains | 18,715,527 | 216,280,016 |
| Total | $49,337,422 | $ 299,214,923 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Value Index Fund | 4,524,695,428 | 1,211,418,933 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (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 .10% of the Fund's average net assets.
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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
| Fidelity SAI U.S. Value Index Fund | Borrower | 6,813,250 | 5.57% | 4,219 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI U.S. Value Index Fund | 2,621 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI U.S. Value Index Fund | 4,165 | - | - |
9. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity SAI U.S. Value Index Fund | 83% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Value Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI U.S. Value Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of July 31, 2024, the related statement of operations for the year ended July 31, 2024, the statement of changes in net assets for each of the two years in the period ended July 31, 2024, including the related notes, and the financial highlights for each of the five years in the period ended July 31, 2024 (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 July 31, 2024, 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 July 31, 2024 and the financial highlights for each of the five years in the period ended July 31, 2024 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 July 31, 2024 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $20,612,492, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $484,844 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 95% and 84% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 97.76% and 83% of the dividends distributed in September and December, 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 designates 1.71% and 0.32% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9885515.106
USV-ANN-0924
Fidelity® Real Estate Index Fund
Annual Report
July 31, 2024
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 1-800-544-8544 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® Real Estate Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 99.6% |
| | | Shares | Value ($) |
| Equity Real Estate Investment Trusts (REITs) - 92.0% | | | |
| REITs - Apartments - 10.5% | | | |
| American Homes 4 Rent Class A | | 622,820 | 22,477,574 |
| Apartment Investment & Management Co. Class A (a) | | 242,187 | 2,145,777 |
| AvalonBay Communities, Inc. | | 268,922 | 55,107,496 |
| Camden Property Trust (SBI) | | 202,883 | 22,469,292 |
| Centerspace | | 28,611 | 1,997,906 |
| Equity Residential (SBI) | | 644,584 | 44,882,384 |
| Essex Property Trust, Inc. | | 121,507 | 33,822,689 |
| Independence Realty Trust, Inc. | | 432,968 | 8,074,853 |
| Invitation Homes, Inc. | | 1,158,000 | 40,842,660 |
| Mid-America Apartment Communities, Inc. | | 220,759 | 30,855,485 |
| UDR, Inc. | | 593,676 | 23,788,597 |
| | | | 286,464,713 |
| REITs - Diversified - 20.7% | | | |
| Alexander & Baldwin, Inc. | | 138,312 | 2,726,130 |
| Apple Hospitality (REIT), Inc. | | 439,877 | 6,505,781 |
| Armada Hoffler Properties, Inc. Class A, | | 125,723 | 1,493,589 |
| Broadstone Net Lease, Inc. | | 358,823 | 6,247,108 |
| Cousins Properties, Inc. | | 289,818 | 7,972,893 |
| Crown Castle, Inc. | | 818,578 | 90,109,066 |
| Digital Realty Trust, Inc. | | 590,564 | 88,283,412 |
| Elme Communities (SBI) | | 169,380 | 2,787,995 |
| EPR Properties | | 143,055 | 6,437,475 |
| Equinix, Inc. | | 179,200 | 141,611,008 |
| Farmland Partners, Inc. (b) | | 88,547 | 940,369 |
| Gaming & Leisure Properties | | 511,277 | 25,666,105 |
| Gladstone Commercial Corp. | | 79,449 | 1,195,707 |
| Gladstone Land Corp. | | 61,707 | 916,349 |
| Global Net Lease, Inc. | | 366,060 | 3,184,722 |
| InvenTrust Properties Corp. | | 128,955 | 3,632,662 |
| Lamar Advertising Co. Class A | | 166,629 | 19,972,152 |
| NexPoint Diversified Real Estate Trust | | 63,124 | 399,575 |
| NexPoint Residential Trust, Inc. | | 44,216 | 1,931,797 |
| One Liberty Properties, Inc. | | 36,967 | 975,559 |
| Outfront Media, Inc. | | 252,871 | 4,101,568 |
| PotlatchDeltic Corp. | | 148,475 | 6,586,351 |
| SBA Communications Corp. Class A | | 203,514 | 44,679,464 |
| Uniti Group, Inc. | | 458,123 | 1,759,192 |
| VICI Properties, Inc. | | 1,968,049 | 61,521,212 |
| Vornado Realty Trust | | 308,969 | 9,265,980 |
| WP Carey, Inc. | | 411,356 | 23,780,490 |
| | | | 564,683,711 |
| REITs - Health Care - 8.4% | | | |
| CareTrust (REIT), Inc. | | 259,047 | 6,983,907 |
| Community Healthcare Trust, Inc. | | 51,041 | 1,110,652 |
| Diversified Healthcare Trust (SBI) | | 321,932 | 1,075,253 |
| Global Medical REIT, Inc. | | 123,653 | 1,180,886 |
| Healthcare Realty Trust, Inc. | | 719,684 | 12,731,210 |
| Healthpeak Properties, Inc. | | 1,343,817 | 29,322,087 |
| LTC Properties, Inc. | | 82,382 | 2,941,861 |
| Medical Properties Trust, Inc. (b) | | 1,128,040 | 5,425,872 |
| Sabra Health Care REIT, Inc. | | 441,968 | 7,173,141 |
| Universal Health Realty Income Trust (SBI) | | 24,948 | 1,066,527 |
| Ventas, Inc. | | 759,842 | 41,365,798 |
| Welltower, Inc. | | 1,074,544 | 119,543,020 |
| | | | 229,920,214 |
| REITs - Health Care Facilities - 0.8% | | | |
| National Health Investors, Inc. | | 83,480 | 6,249,313 |
| Omega Healthcare Investors, Inc. | | 462,187 | 16,823,607 |
| | | | 23,072,920 |
| REITs - Hotels - 2.2% | | | |
| Chatham Lodging Trust | | 94,344 | 829,284 |
| DiamondRock Hospitality Co. | | 407,579 | 3,354,375 |
| Host Hotels & Resorts, Inc. | | 1,337,253 | 23,415,300 |
| Park Hotels & Resorts, Inc. | | 407,997 | 6,144,435 |
| Pebblebrook Hotel Trust | | 230,697 | 3,158,242 |
| RLJ Lodging Trust | | 297,803 | 2,811,260 |
| Ryman Hospitality Properties, Inc. | | 108,060 | 10,861,111 |
| Service Properties Trust | | 307,452 | 1,743,253 |
| Summit Hotel Properties, Inc. | | 213,169 | 1,351,491 |
| Sunstone Hotel Investors, Inc. | | 376,726 | 3,902,881 |
| Xenia Hotels & Resorts, Inc. | | 200,145 | 2,778,013 |
| | | | 60,349,645 |
| REITs - Industrial Buildings - 0.5% | | | |
| STAG Industrial, Inc. | | 346,198 | 14,128,340 |
| REITs - Management/Investment - 10.2% | | | |
| American Assets Trust, Inc. | | 96,906 | 2,569,947 |
| American Tower Corp. | | 880,322 | 194,022,969 |
| Empire State Realty Trust, Inc. | | 267,223 | 2,877,992 |
| LXP Industrial Trust (REIT) | | 554,934 | 5,715,820 |
| NNN (REIT), Inc. | | 345,402 | 15,505,096 |
| Rayonier, Inc. | | 266,662 | 8,087,858 |
| Safehold, Inc. | | 85,726 | 1,983,700 |
| UMH Properties, Inc. | | 128,843 | 2,288,252 |
| Weyerhaeuser Co. | | 1,374,393 | 43,650,722 |
| Whitestone REIT | | 94,039 | 1,297,738 |
| | | | 278,000,094 |
| REITs - Manufactured Homes - 1.9% | | | |
| Equity Lifestyle Properties, Inc. | | 332,487 | 22,835,207 |
| Sun Communities, Inc. | | 234,719 | 29,745,939 |
| | | | 52,581,146 |
| REITs - Office Buildings - 0.0% | | | |
| Office Properties Income Trust | | 92,163 | 229,486 |
| REITs - Office Property - 4.0% | | | |
| Alexandria Real Estate Equities, Inc. | | 297,762 | 34,924,505 |
| Brandywine Realty Trust (SBI) | | 332,327 | 1,674,928 |
| BXP, Inc. | | 282,318 | 20,132,097 |
| City Office REIT, Inc. | | 78,246 | 473,388 |
| COPT Defense Properties (SBI) | | 212,773 | 6,164,034 |
| Douglas Emmett, Inc. | | 319,037 | 5,133,305 |
| Easterly Government Properties, Inc. | | 187,639 | 2,613,811 |
| Equity Commonwealth (a) | | 193,077 | 3,932,978 |
| Highwoods Properties, Inc. (SBI) | | 203,934 | 6,315,836 |
| Hudson Pacific Properties, Inc. | | 239,059 | 1,431,963 |
| JBG SMITH Properties | | 165,674 | 2,708,770 |
| Kilroy Realty Corp. | | 211,197 | 7,807,953 |
| Net Lease Office Properties (b) | | 28,143 | 830,500 |
| Orion Office (REIT), Inc. | | 97,777 | 395,997 |
| Paramount Group, Inc. | | 322,400 | 1,689,376 |
| Peakstone Realty Trust (b) | | 68,275 | 927,175 |
| Piedmont Office Realty Trust, Inc. Class A | | 238,930 | 2,066,745 |
| SL Green Realty Corp. | | 125,810 | 8,383,978 |
| Veris Residential, Inc. | | 140,916 | 2,213,790 |
| | | | 109,821,129 |
| REITs - Regional Malls - 4.0% | | | |
| CBL & Associates Properties, Inc. (b) | | 23,573 | 607,476 |
| Simon Property Group, Inc. | | 615,093 | 94,379,870 |
| Tanger, Inc. | | 209,964 | 6,067,960 |
| The Macerich Co. | | 413,979 | 6,627,804 |
| | | | 107,683,110 |
| REITs - Shopping Centers - 7.8% | | | |
| Acadia Realty Trust (SBI) | | 198,913 | 4,304,477 |
| Alexanders, Inc. | | 4,637 | 1,123,545 |
| Brixmor Property Group, Inc. | | 569,538 | 14,506,133 |
| Federal Realty Investment Trust (SBI) | | 140,517 | 15,688,723 |
| Kimco Realty Corp. | | 1,273,043 | 27,663,224 |
| Kite Realty Group Trust | | 418,366 | 10,316,906 |
| Phillips Edison & Co., Inc. | | 232,682 | 8,167,138 |
| Realty Income Corp. | | 1,623,777 | 93,253,513 |
| Regency Centers Corp. | | 330,462 | 22,253,311 |
| Retail Opportunity Investments Corp. | | 238,930 | 3,572,004 |
| Saul Centers, Inc. | | 23,270 | 920,329 |
| SITE Centers Corp. | | 361,033 | 5,577,960 |
| Urban Edge Properties | | 225,580 | 4,579,274 |
| | | | 211,926,537 |
| REITs - Single Tenant - 1.2% | | | |
| Agree Realty Corp. | | 190,626 | 13,147,475 |
| Essential Properties Realty Trust, Inc. | | 326,987 | 9,675,545 |
| Four Corners Property Trust, Inc. | | 176,440 | 4,788,582 |
| Getty Realty Corp. | | 95,566 | 2,830,665 |
| NETSTREIT Corp. | | 147,398 | 2,427,645 |
| | | | 32,869,912 |
| REITs - Storage - 8.7% | | | |
| CubeSmart | | 428,079 | 20,367,999 |
| Extra Space Storage, Inc. | | 400,512 | 63,929,725 |
| Iron Mountain, Inc. | | 554,850 | 56,905,416 |
| National Storage Affiliates Trust | | 143,565 | 6,111,562 |
| Public Storage Operating Co. | | 299,032 | 88,489,549 |
| | | | 235,804,251 |
| REITs - Warehouse/Industrial - 11.1% | | | |
| Americold Realty Trust | | 508,166 | 15,189,082 |
| EastGroup Properties, Inc. | | 91,303 | 17,072,748 |
| First Industrial Realty Trust, Inc. | | 250,411 | 13,702,490 |
| Plymouth Industrial REIT, Inc. | | 83,464 | 1,996,459 |
| Prologis, Inc. | | 1,746,549 | 220,152,505 |
| Rexford Industrial Realty, Inc. | | 413,903 | 20,740,679 |
| Terreno Realty Corp. | | 184,176 | 12,599,480 |
| | | | 301,453,443 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 2,508,988,651 |
| Real Estate Management & Development - 7.6% | | | |
| Diversified Real Estate Activities - 0.2% | | | |
| Tejon Ranch Co. (a) | | 37,021 | 703,399 |
| The RMR Group, Inc. Class A | | 30,580 | 793,245 |
| The St. Joe Co. | | 66,623 | 4,109,307 |
| | | | 5,605,951 |
| Real Estate Development - 0.2% | | | |
| Forestar Group, Inc. (a)(b) | | 37,510 | 1,186,441 |
| Howard Hughes Holdings, Inc. | | 60,005 | 4,450,571 |
| | | | 5,637,012 |
| Real Estate Operating Companies - 0.3% | | | |
| Digitalbridge Group, Inc. | | 311,273 | 4,398,287 |
| Kennedy-Wilson Holdings, Inc. | | 201,981 | 2,102,622 |
| | | | 6,500,909 |
| Real Estate Services - 6.9% | | | |
| Anywhere Real Estate, Inc. (a) | | 178,515 | 842,591 |
| CBRE Group, Inc. (a) | | 576,923 | 65,024,991 |
| Compass, Inc. (a) | | 727,567 | 3,194,019 |
| CoStar Group, Inc. (a) | | 771,002 | 60,153,576 |
| Cushman & Wakefield PLC (a) | | 436,373 | 5,720,850 |
| eXp World Holdings, Inc. (b) | | 146,039 | 2,097,120 |
| Jones Lang LaSalle, Inc. (a) | | 89,830 | 22,538,347 |
| Marcus & Millichap, Inc. | | 47,639 | 1,886,981 |
| Newmark Group, Inc. Class A | | 282,000 | 3,660,360 |
| Opendoor Technologies, Inc. Class A (a)(b) | | 1,103,449 | 2,560,002 |
| Redfin Corp. (a)(b) | | 225,862 | 1,838,517 |
| Zillow Group, Inc.: | | | |
| Class A (a) | | 105,169 | 4,985,011 |
| Class C (a) | | 296,352 | 14,432,342 |
| | | | 188,934,707 |
| REITs - Shopping Centers - 0.0% | | | |
| Seritage Growth Properties (a)(b) | | 50,804 | 259,100 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | | | 206,937,679 |
| TOTAL COMMON STOCKS (Cost $2,371,296,427) | | | 2,715,926,330 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $345,939) | | 347,000 | 345,932 |
| | | | |
| Money Market Funds - 0.8% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 7,751,940 | 7,753,491 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 14,077,228 | 14,078,636 |
| TOTAL MONEY MARKET FUNDS (Cost $21,832,127) | | | 21,832,127 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $2,393,474,493) | 2,738,104,389 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (11,868,875) |
| NET ASSETS - 100.0% | 2,726,235,514 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 123 | Sep 2024 | 4,464,900 | 326,061 | 326,061 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 17 | Sep 2024 | 5,304,170 | 34,013 | 34,013 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 360,074 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.4% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $345,932. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 6,169,355 | 207,561,165 | 205,977,157 | 282,789 | 128 | - | 7,753,491 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 22,663,855 | 96,160,545 | 104,745,764 | 125,179 | - | - | 14,078,636 | 0.1% |
| Total | 28,833,210 | 303,721,710 | 310,722,921 | 407,968 | 128 | - | 21,832,127 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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: | | | | |
|
| Common Stocks | 2,715,926,330 | 2,715,926,330 | - | - |
|
| U.S. Treasury Obligations | 345,932 | - | 345,932 | - |
|
| Money Market Funds | 21,832,127 | 21,832,127 | - | - |
| Total Investments in Securities: | 2,738,104,389 | 2,737,758,457 | 345,932 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 360,074 | 360,074 | - | - |
| Total Assets | 360,074 | 360,074 | - | - |
| Total Derivative Instruments: | 360,074 | 360,074 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 360,074 | 0 |
| Total Equity Risk | 360,074 | 0 |
| Total Value of Derivatives | 360,074 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $13,240,627) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $2,371,642,366) | $ | 2,716,272,262 | | |
Fidelity Central Funds (cost $21,832,127) | | 21,832,127 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $2,393,474,493) | | | $ | 2,738,104,389 |
| Segregated cash with brokers for derivative instruments | | | | 198,207 |
| Receivable for fund shares sold | | | | 4,806,956 |
| Dividends receivable | | | | 632,982 |
| Distributions receivable from Fidelity Central Funds | | | | 29,257 |
| Receivable for daily variation margin on futures contracts | | | | 16,697 |
| Other receivables | | | | 285,883 |
Total assets | | | | 2,744,074,371 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 3,521,607 | | |
| Accrued management fee | | 153,598 | | |
| Other payables and accrued expenses | | 95,052 | | |
| Collateral on securities loaned | | 14,068,600 | | |
| Total liabilities | | | | 17,838,857 |
| Net Assets | | | $ | 2,726,235,514 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 2,572,414,261 |
| Total accumulated earnings (loss) | | | | 153,821,253 |
| Net Assets | | | $ | 2,726,235,514 |
Net Asset Value, offering price and redemption price per share ($2,726,235,514 ÷ 166,272,264 shares) | | | $ | 16.40 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 82,216,495 |
| Interest | | | | 36,216 |
| Income from Fidelity Central Funds (including $125,179 from security lending) | | | | 407,968 |
| Total income | | | | 82,660,679 |
| Expenses | | | | |
| Management fee | $ | 1,716,716 | | |
| Independent trustees' fees and expenses | | 7,304 | | |
| Interest | | 2,002 | | |
| Total expenses before reductions | | 1,726,022 | | |
| Expense reductions | | (4,245) | | |
| Total expenses after reductions | | | | 1,721,777 |
| Net Investment income (loss) | | | | 80,938,902 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (16,590,302) | | |
| Fidelity Central Funds | | 128 | | |
| Futures contracts | | (1,020,100) | | |
| Total net realized gain (loss) | | | | (17,610,274) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 200,598,518 | | |
| Futures contracts | | 164,353 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 200,762,871 |
| Net gain (loss) | | | | 183,152,597 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 264,091,499 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 80,938,902 | $ | 79,921,540 |
| Net realized gain (loss) | | (17,610,274) | | (24,549,785) |
| Change in net unrealized appreciation (depreciation) | | 200,762,871 | | (328,285,515) |
| Net increase (decrease) in net assets resulting from operations | | 264,091,499 | | (272,913,760) |
| Distributions to shareholders | | (74,163,935) | | (75,151,288) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 582,720,334 | | 636,858,558 |
| Reinvestment of distributions | | 64,941,837 | | 65,771,963 |
| Cost of shares redeemed | | (600,106,753) | | (739,809,748) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 47,555,418 | | (37,179,227) |
| Total increase (decrease) in net assets | | 237,482,982 | | (385,244,275) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 2,488,752,532 | | 2,873,996,807 |
| End of period | $ | 2,726,235,514 | $ | 2,488,752,532 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 39,317,946 | | 42,354,093 |
| Issued in reinvestment of distributions | | 4,293,111 | | 4,300,329 |
| Redeemed | | (40,308,949) | | (48,594,088) |
| Net increase (decrease) | | 3,302,108 | | (1,939,666) |
| | | | | |
Financial Highlights
Fidelity® Real Estate Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 15.27 | $ | 17.43 | $ | 18.44 | $ | 13.58 | $ | 16.82 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .49 | | .49 | | .44 | | .39 | | .51 |
| Net realized and unrealized gain (loss) | | 1.09 | | (2.18) | | (1.19) | | 4.88 | | (3.15) |
| Total from investment operations | | 1.58 | | (1.69) | | (.75) | | 5.27 | | (2.64) |
| Distributions from net investment income | | (.45) | | (.47) | | (.26) | | (.41) | | (.47) |
| Distributions from net realized gain | | - | | - | | - | | - | | (.13) |
| Total distributions | | (.45) | | (.47) | | (.26) | | (.41) | | (.60) |
| Net asset value, end of period | $ | 16.40 | $ | 15.27 | $ | 17.43 | $ | 18.44 | $ | 13.58 |
Total Return C | | | | (9.70)% | | (4.21)% | | 39.73% | | (16.34)% |
Ratios to Average Net Assets B,D,E | | | | | | | | | | |
| Expenses before reductions | | .07% | | .07% | | .07% | | .07% | | .07% |
| Expenses net of fee waivers, if any | | | | .07% | | .07% | | .07% | | .07% |
| Expenses net of all reductions | | .07% | | .07% | | .07% | | .07% | | .07% |
| Net investment income (loss) | | 3.30% | | 3.25% | | 2.45% | | 2.53% | | 3.32% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 2,726,236 | $ | 2,488,753 | $ | 2,873,997 | $ | 2,939,615 | $ | 2,082,589 |
Portfolio turnover rate F | | | | 13% | | 10% | | 44% | | 26% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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.
Distributions are declared and 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, 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 | $595,522,240 |
| Gross unrealized depreciation | (274,666,949) |
| Net unrealized appreciation (depreciation) | $320,855,291 |
| Tax Cost | $2,417,249,098 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $18,496,051 |
| Capital loss carryforward | $(185,530,089) |
| Net unrealized appreciation (depreciation) on securities and other investments | $320,855,291 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(77,660,646) |
Long-term | (107,869,443) |
| Total capital loss carryforward | $(185,530,089) |
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $74,163,935 | $ 75,151,288 |
| Total | $74,163,935 | $ 75,151,288 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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 U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Real Estate Index Fund | 186,832,410 | 112,986,515 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
| Fidelity Real Estate Index Fund | Borrower | 6,476,500 | 5.57% | 2,002 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity Real Estate Index Fund | 12,974 | 2,019 | 37,999 |
9. Expense Reductions.
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 $4,245.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 0.06% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $294,773 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 1% of the dividend distributed in June during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 0.05%, 0.53%, and 0.72% of the dividends distributed in September, December, and June, 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 designates 99.96%, 99.48%, and 99.29% of the dividends distributed in September, December, and June, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.929343.112
URX-I-ANN-0924
Fidelity® SAI Small-Mid Cap 500 Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
A fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the "LSE Group"). The LSE Group does not accept any liability whatsoever to any person arising out of the use of a fund or the underlying data.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI Small-Mid Cap 500 Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 100.0% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 3.4% | | | |
| Diversified Telecommunication Services - 0.5% | | | |
| Frontier Communications Parent, Inc. (a)(b) | | 118,457 | 3,470,790 |
| Iridium Communications, Inc. | | 57,819 | 1,659,405 |
| Liberty Global Ltd.: | | | |
| Class A | | 80,313 | 1,565,300 |
| Class C | | 82,753 | 1,664,163 |
| | | | 8,359,658 |
| Entertainment - 0.6% | | | |
| Liberty Media Corp. Liberty Live: | | | |
| Class C | | 22,374 | 873,033 |
| Series A | | 9,496 | 358,664 |
| Madison Square Garden Sports Corp. (a) | | 8,970 | 1,797,678 |
| Playtika Holding Corp. | | 33,862 | 258,367 |
| Roku, Inc. Class A (a) | | 60,979 | 3,549,588 |
| TKO Group Holdings, Inc. | | 38,070 | 4,162,955 |
| | | | 11,000,285 |
| Interactive Media & Services - 0.6% | | | |
| IAC, Inc. (a) | | 35,896 | 1,895,668 |
| Match Group, Inc. (a) | | 127,743 | 4,872,118 |
| TripAdvisor, Inc. (a) | | 52,037 | 917,412 |
| Trump Media & Technology Group (a)(b) | | 27,799 | 798,943 |
| Zoominfo Technologies, Inc. (a) | | 150,580 | 1,710,589 |
| | | | 10,194,730 |
| Media - 1.7% | | | |
| Interpublic Group of Companies, Inc. | | 181,793 | 5,848,281 |
| Liberty Broadband Corp.: | | | |
| Class A (a) | | 8,004 | 530,025 |
| Class C (a) | | 53,221 | 3,586,563 |
| Liberty Media Corp. Liberty SiriusXM: | | | |
| Class A | | 34,289 | 775,617 |
| Class C | | 71,087 | 1,600,168 |
| News Corp.: | | | |
| Class A | | 183,831 | 5,070,059 |
| Class B | | 54,641 | 1,556,722 |
| Nexstar Media Group, Inc. | | 15,033 | 2,777,948 |
| Paramount Global: | | | |
| Class A (b) | | 4,463 | 102,203 |
| Class B (b) | | 285,512 | 3,260,547 |
| The New York Times Co. Class A | | 77,571 | 4,157,030 |
| | | | 29,265,163 |
TOTAL COMMUNICATION SERVICES | | | 58,819,836 |
| CONSUMER DISCRETIONARY - 14.3% | | | |
| Automobile Components - 0.7% | | | |
| BorgWarner, Inc. | | 110,977 | 3,918,598 |
| Gentex Corp. | | 111,606 | 3,466,482 |
| Lear Corp. | | 27,240 | 3,324,370 |
| QuantumScape Corp. Class A (a)(b) | | 169,115 | 1,092,483 |
| | | | 11,801,933 |
| Automobiles - 0.7% | | | |
| Harley-Davidson, Inc. | | 58,389 | 2,189,588 |
| Lucid Group, Inc. Class A (a)(b) | | 428,298 | 1,507,609 |
| Rivian Automotive, Inc. (a)(b) | | 397,083 | 6,516,132 |
| Thor Industries, Inc. | | 24,540 | 2,604,676 |
| | | | 12,818,005 |
| Broadline Retail - 0.7% | | | |
| Dillard's, Inc. Class A (b) | | 1,484 | 591,508 |
| Etsy, Inc. (a) | | 56,121 | 3,655,722 |
| Kohl's Corp. | | 53,299 | 1,154,456 |
| Macy's, Inc. | | 132,141 | 2,283,396 |
| Nordstrom, Inc. | | 48,266 | 1,101,913 |
| Ollie's Bargain Outlet Holdings, Inc. (a) | | 29,414 | 2,871,983 |
| | | | 11,658,978 |
| Distributors - 0.4% | | | |
| Pool Corp. | | 17,988 | 6,728,232 |
| Diversified Consumer Services - 1.1% | | | |
| ADT, Inc. | | 139,975 | 1,089,006 |
| Bright Horizons Family Solutions, Inc. (a) | | 27,808 | 3,343,912 |
| Duolingo, Inc. (a) | | 17,702 | 3,043,682 |
| Grand Canyon Education, Inc. (a) | | 14,104 | 2,199,519 |
| H&R Block, Inc. | | 66,961 | 3,879,720 |
| Service Corp. International | | 68,829 | 5,500,125 |
| | | | 19,055,964 |
| Hotels, Restaurants & Leisure - 3.7% | | | |
| Aramark | | 126,349 | 4,329,980 |
| Boyd Gaming Corp. | | 33,130 | 2,016,623 |
| Caesars Entertainment, Inc. (a) | | 103,787 | 4,146,291 |
| Cava Group, Inc. (a) | | 36,406 | 3,066,113 |
| Choice Hotels International, Inc. (b) | | 13,884 | 1,769,516 |
| Churchill Downs, Inc. | | 33,618 | 4,826,200 |
| Dutch Bros, Inc. (a) | | 44,177 | 1,689,770 |
| Hyatt Hotels Corp. Class A | | 21,127 | 3,112,641 |
| Light & Wonder, Inc. Class A (a) | | 43,544 | 4,667,917 |
| Marriott Vacations Worldwide Corp. | | 16,793 | 1,420,352 |
| Norwegian Cruise Line Holdings Ltd. (a) | | 206,553 | 3,806,772 |
| Penn Entertainment, Inc. (a) | | 72,694 | 1,451,699 |
| Planet Fitness, Inc. (a) | | 41,995 | 3,095,032 |
| Texas Roadhouse, Inc. | | 32,172 | 5,617,553 |
| Travel+Leisure Co. | | 33,036 | 1,522,629 |
| Vail Resorts, Inc. | | 18,323 | 3,334,969 |
| Wendy's Co. | | 83,235 | 1,409,169 |
| Wingstop, Inc. | | 14,157 | 5,293,019 |
| Wyndham Hotels & Resorts, Inc. | | 37,850 | 2,866,002 |
| Wynn Resorts Ltd. | | 49,297 | 4,082,778 |
| | | | 63,525,025 |
| Household Durables - 1.7% | | | |
| Leggett & Platt, Inc. | | 64,163 | 845,027 |
| Mohawk Industries, Inc. (a) | | 25,606 | 4,124,358 |
| Newell Brands, Inc. | | 200,168 | 1,719,443 |
| SharkNinja, Inc. | | 31,935 | 2,454,205 |
| Tempur Sealy International, Inc. | | 80,957 | 4,238,099 |
| Toll Brothers, Inc. | | 50,052 | 7,142,921 |
| TopBuild Corp. (a) | | 15,324 | 7,333,147 |
| Whirlpool Corp. | | 25,531 | 2,603,396 |
| | | | 30,460,596 |
| Leisure Products - 0.8% | | | |
| Brunswick Corp. | | 32,575 | 2,653,234 |
| Hasbro, Inc. | | 67,106 | 4,325,653 |
| Mattel, Inc. (a) | | 165,309 | 3,188,811 |
| Polaris, Inc. | | 25,196 | 2,098,323 |
| YETI Holdings, Inc. (a)(b) | | 41,100 | 1,699,485 |
| | | | 13,965,506 |
| Specialty Retail - 2.9% | | | |
| Advance Auto Parts, Inc. | | 28,724 | 1,819,091 |
| AutoNation, Inc. (a) | | 12,439 | 2,372,366 |
| Bath & Body Works, Inc. | | 108,576 | 3,990,168 |
| Carvana Co. Class A (a) | | 50,883 | 6,779,142 |
| Dick's Sporting Goods, Inc. | | 27,463 | 5,941,620 |
| Five Below, Inc. (a) | | 26,230 | 1,907,970 |
| Floor & Decor Holdings, Inc. Class A (a) | | 50,658 | 4,964,484 |
| GameStop Corp. Class A (a)(b) | | 129,862 | 2,943,972 |
| Gap, Inc. | | 96,844 | 2,273,897 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 13,075 | 3,613,015 |
| Murphy U.S.A., Inc. | | 9,087 | 4,588,208 |
| Penske Automotive Group, Inc. | | 8,905 | 1,550,450 |
| RH (a) | | 7,170 | 2,079,874 |
| Valvoline, Inc. (a) | | 62,330 | 2,898,345 |
| Wayfair LLC Class A (a)(b) | | 44,508 | 2,422,570 |
| | | | 50,145,172 |
| Textiles, Apparel & Luxury Goods - 1.6% | | | |
| Amer Sports, Inc. | | 58,514 | 679,348 |
| Birkenstock Holding PLC | | 18,950 | 1,120,135 |
| Capri Holdings Ltd. (a) | | 54,742 | 1,836,047 |
| Carter's, Inc. (b) | | 17,303 | 1,047,697 |
| Columbia Sportswear Co. | | 16,047 | 1,311,040 |
| Crocs, Inc. (a) | | 28,694 | 3,855,613 |
| PVH Corp. | | 27,638 | 2,818,800 |
| Ralph Lauren Corp. Class A | | 18,580 | 3,262,462 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | | 65,218 | 4,247,648 |
| Tapestry, Inc. | | 110,497 | 4,429,825 |
| Under Armour, Inc.: | | | |
| Class A (sub. vtg.) (a) | | 91,029 | 634,472 |
| Class C (non-vtg.) (a)(b) | | 93,416 | 634,295 |
| VF Corp. | | 168,835 | 2,863,442 |
| | | | 28,740,824 |
TOTAL CONSUMER DISCRETIONARY | | | 248,900,235 |
| CONSUMER STAPLES - 3.9% | | | |
| Beverages - 0.5% | | | |
| Boston Beer Co., Inc. Class A (a) | | 4,388 | 1,229,561 |
| Celsius Holdings, Inc. (a) | | 84,978 | 3,979,520 |
| Coca-Cola Consolidated, Inc. | | 2,846 | 3,261,203 |
| | | | 8,470,284 |
| Consumer Staples Distribution & Retail - 1.8% | | | |
| Albertsons Companies, Inc. | | 201,639 | 3,998,501 |
| BJ's Wholesale Club Holdings, Inc. (a) | | 63,650 | 5,598,654 |
| Casey's General Stores, Inc. | | 17,859 | 6,926,435 |
| Grocery Outlet Holding Corp. (a) | | 46,757 | 914,567 |
| Maplebear, Inc. (NASDAQ) | | 83,038 | 2,863,981 |
| Performance Food Group Co. (a) | | 73,738 | 5,087,922 |
| U.S. Foods Holding Corp. (a) | | 110,532 | 6,011,835 |
| | | | 31,401,895 |
| Food Products - 0.9% | | | |
| Darling Ingredients, Inc. (a) | | 76,503 | 3,039,464 |
| Flowers Foods, Inc. | | 90,422 | 2,036,303 |
| Freshpet, Inc. (a) | | 22,459 | 2,733,260 |
| Ingredion, Inc. | | 31,615 | 3,931,958 |
| Pilgrim's Pride Corp. (a) | | 19,911 | 820,931 |
| Post Holdings, Inc. (a) | | 23,832 | 2,606,268 |
| Seaboard Corp. | | 124 | 402,741 |
| | | | 15,570,925 |
| Household Products - 0.1% | | | |
| Reynolds Consumer Products, Inc. | | 26,234 | 729,830 |
| Spectrum Brands Holdings, Inc. | | 14,141 | 1,196,470 |
| | | | 1,926,300 |
| Personal Care Products - 0.6% | | | |
| BellRing Brands, Inc. (a) | | 62,878 | 3,224,384 |
| Coty, Inc. Class A (a) | | 189,838 | 1,888,888 |
| elf Beauty, Inc. (a) | | 25,531 | 4,406,140 |
| | | | 9,519,412 |
TOTAL CONSUMER STAPLES | | | 66,888,816 |
| ENERGY - 5.1% | | | |
| Energy Equipment & Services - 0.8% | | | |
| NOV, Inc. | | 189,995 | 3,955,696 |
| TechnipFMC PLC | | 206,947 | 6,104,937 |
| Weatherford International PLC | | 34,819 | 4,103,767 |
| | | | 14,164,400 |
| Oil, Gas & Consumable Fuels - 4.3% | | | |
| Antero Midstream GP LP | | 163,538 | 2,348,406 |
| Antero Resources Corp. (a) | | 139,971 | 4,061,958 |
| APA Corp. | | 174,611 | 5,446,117 |
| Chesapeake Energy Corp. | | 63,334 | 4,834,284 |
| Chord Energy Corp. | | 29,815 | 5,118,043 |
| Civitas Resources, Inc. | | 48,220 | 3,363,827 |
| DT Midstream, Inc. | | 46,853 | 3,530,842 |
| EQT Corp. | | 284,408 | 9,814,906 |
| HF Sinclair Corp. | | 78,171 | 4,023,461 |
| Matador Resources Co. | | 56,716 | 3,486,900 |
| New Fortress Energy, Inc. Class A (b) | | 31,453 | 620,882 |
| Ovintiv, Inc. | | 129,422 | 6,010,358 |
| Permian Resource Corp. Class A | | 303,008 | 4,648,143 |
| Range Resources Corp. | | 114,394 | 3,572,525 |
| Southwestern Energy Co. (a) | | 529,221 | 3,413,475 |
| Texas Pacific Land Corp. (b) | | 9,062 | 7,656,484 |
| Viper Energy, Inc. | | 44,062 | 1,880,126 |
| | | | 73,830,737 |
TOTAL ENERGY | | | 87,995,137 |
| FINANCIALS - 15.9% | | | |
| Banks - 3.5% | | | |
| Bank OZK | | 51,282 | 2,404,613 |
| BOK Financial Corp. | | 10,945 | 1,125,584 |
| Columbia Banking Systems, Inc. | | 100,612 | 2,632,010 |
| Comerica, Inc. | | 63,973 | 3,506,360 |
| Commerce Bancshares, Inc. | | 57,483 | 3,719,725 |
| Cullen/Frost Bankers, Inc. | | 28,376 | 3,321,695 |
| East West Bancorp, Inc. | | 66,569 | 5,850,749 |
| First Hawaiian, Inc. | | 61,459 | 1,538,933 |
| First Horizon National Corp. | | 263,389 | 4,406,498 |
| FNB Corp., Pennsylvania | | 171,617 | 2,632,605 |
| Pinnacle Financial Partners, Inc. | | 36,571 | 3,522,519 |
| Popular, Inc. | | 34,413 | 3,531,806 |
| Prosperity Bancshares, Inc. | | 43,286 | 3,139,101 |
| Synovus Financial Corp. | | 70,421 | 3,292,182 |
| TFS Financial Corp. | | 24,355 | 330,254 |
| Webster Financial Corp. | | 82,355 | 4,086,455 |
| Western Alliance Bancorp. | | 51,805 | 4,168,230 |
| Wintrust Financial Corp. | | 31,308 | 3,387,526 |
| Zions Bancorporation NA | | 69,783 | 3,605,688 |
| | | | 60,202,533 |
| Capital Markets - 3.8% | | | |
| Affiliated Managers Group, Inc. | | 15,415 | 2,861,332 |
| Carlyle Group LP | | 105,647 | 5,254,882 |
| Evercore, Inc. Class A | | 17,307 | 4,333,500 |
| FactSet Research Systems, Inc. | | 18,352 | 7,581,028 |
| Houlihan Lokey | | 24,817 | 3,728,754 |
| Invesco Ltd. | | 176,330 | 3,043,456 |
| Janus Henderson Group PLC | | 62,361 | 2,321,700 |
| Jefferies Financial Group, Inc. | | 86,910 | 5,081,628 |
| Lazard, Inc. Class A | | 52,815 | 2,596,914 |
| MarketAxess Holdings, Inc. | | 17,824 | 3,984,199 |
| Morningstar, Inc. | | 12,879 | 4,091,014 |
| Robinhood Markets, Inc. (a) | | 320,486 | 6,592,397 |
| SEI Investments Co. | | 48,767 | 3,308,353 |
| Stifel Financial Corp. | | 47,898 | 4,247,116 |
| TPG, Inc. | | 40,542 | 2,067,237 |
| Virtu Financial, Inc. Class A | | 39,804 | 1,087,445 |
| XP, Inc. Class A | | 196,875 | 3,368,531 |
| | | | 65,549,486 |
| Consumer Finance - 1.0% | | | |
| Ally Financial, Inc. | | 132,439 | 5,961,079 |
| Credit Acceptance Corp. (a) | | 3,000 | 1,724,700 |
| OneMain Holdings, Inc. | | 54,461 | 2,846,132 |
| SLM Corp. | | 105,267 | 2,388,508 |
| SoFi Technologies, Inc. (a)(b) | | 497,199 | 3,748,880 |
| | | | 16,669,299 |
| Financial Services - 2.4% | | | |
| Affirm Holdings, Inc. Class A, (a)(b) | | 109,908 | 3,109,297 |
| Corebridge Financial, Inc. | | 123,351 | 3,645,022 |
| Equitable Holdings, Inc. | | 157,655 | 6,875,335 |
| Euronet Worldwide, Inc. (a) | | 20,850 | 2,126,492 |
| Jack Henry & Associates, Inc. | | 34,997 | 6,001,286 |
| MGIC Investment Corp. | | 128,716 | 3,197,305 |
| Shift4 Payments, Inc. (a)(b) | | 28,996 | 1,994,635 |
| The Western Union Co. | | 163,144 | 1,939,782 |
| Toast, Inc. (a) | | 214,043 | 5,599,365 |
| UWM Holdings Corp. Class A | | 45,489 | 382,108 |
| Voya Financial, Inc. | | 48,895 | 3,556,133 |
| WEX, Inc. (a) | | 20,140 | 3,694,683 |
| | | | 42,121,443 |
| Insurance - 4.4% | | | |
| American Financial Group, Inc. | | 34,631 | 4,535,276 |
| Assurant, Inc. | | 25,097 | 4,388,712 |
| Assured Guaranty Ltd. | | 25,575 | 2,106,613 |
| Axis Capital Holdings Ltd. | | 37,462 | 2,837,747 |
| Brighthouse Financial, Inc. (a) | | 29,794 | 1,485,827 |
| Everest Re Group Ltd. | | 20,765 | 8,157,946 |
| First American Financial Corp. | | 48,208 | 2,920,441 |
| Globe Life, Inc. | | 44,750 | 4,150,115 |
| Hanover Insurance Group, Inc. | | 17,220 | 2,367,578 |
| Kemper Corp. | | 29,228 | 1,872,346 |
| Kinsale Capital Group, Inc. | | 10,627 | 4,857,283 |
| Lincoln National Corp. | | 82,068 | 2,732,864 |
| Old Republic International Corp. | | 121,553 | 4,208,165 |
| Primerica, Inc. | | 16,674 | 4,198,013 |
| Reinsurance Group of America, Inc. | | 31,694 | 7,144,778 |
| RenaissanceRe Holdings Ltd. | | 25,018 | 5,801,924 |
| RLI Corp. | | 19,987 | 3,009,842 |
| Ryan Specialty Group Holdings, Inc. (b) | | 49,371 | 3,040,760 |
| Unum Group | | 92,082 | 5,297,477 |
| White Mountains Insurance Group Ltd. | | 1,203 | 2,148,558 |
| | | | 77,262,265 |
| Mortgage Real Estate Investment Trusts - 0.8% | | | |
| AGNC Investment Corp. | | 334,943 | 3,352,779 |
| Annaly Capital Management, Inc. | | 241,467 | 4,807,608 |
| Rithm Capital Corp. | | 232,918 | 2,704,178 |
| Starwood Property Trust, Inc. (b) | | 143,006 | 2,852,970 |
| | | | 13,717,535 |
TOTAL FINANCIALS | | | 275,522,561 |
| HEALTH CARE - 9.5% | | | |
| Biotechnology - 2.9% | | | |
| Apellis Pharmaceuticals, Inc. (a) | | 50,389 | 1,995,404 |
| Cerevel Therapeutics Holdings (a) | | 33,273 | 1,495,954 |
| Exact Sciences Corp. (a) | | 88,029 | 4,021,165 |
| Exelixis, Inc. (a) | | 138,116 | 3,238,820 |
| Ionis Pharmaceuticals, Inc. (a) | | 69,981 | 3,461,260 |
| Natera, Inc. (a) | | 54,614 | 5,591,927 |
| Neurocrine Biosciences, Inc. (a) | | 48,125 | 6,813,056 |
| Repligen Corp. (a) | | 26,882 | 4,498,703 |
| Roivant Sciences Ltd. (a) | | 169,116 | 1,834,909 |
| Sarepta Therapeutics, Inc. (a) | | 43,701 | 6,216,030 |
| Ultragenyx Pharmaceutical, Inc. (a) | | 42,110 | 1,895,792 |
| United Therapeutics Corp. (a) | | 21,073 | 6,601,960 |
| Viking Therapeutics, Inc. (a) | | 50,746 | 2,892,522 |
| | | | 50,557,502 |
| Health Care Equipment & Supplies - 1.3% | | | |
| Dentsply Sirona, Inc. | | 99,872 | 2,710,526 |
| Enovis Corp. (a) | | 26,239 | 1,250,026 |
| Envista Holdings Corp. (a) | | 82,920 | 1,415,444 |
| Globus Medical, Inc. (a) | | 54,022 | 3,887,423 |
| Inspire Medical Systems, Inc. (a) | | 14,360 | 2,025,478 |
| Masimo Corp. (a)(b) | | 20,669 | 2,211,170 |
| Penumbra, Inc. (a) | | 17,791 | 2,972,698 |
| QuidelOrtho Corp. (a) | | 26,009 | 1,021,894 |
| Teleflex, Inc. | | 22,725 | 5,020,407 |
| | | | 22,515,066 |
| Health Care Providers & Services - 2.1% | | | |
| Acadia Healthcare Co., Inc. (a) | | 43,907 | 2,847,369 |
| Amedisys, Inc. (a) | | 15,460 | 1,515,853 |
| Chemed Corp. | | 7,162 | 4,083,486 |
| DaVita, Inc. (a) | | 24,331 | 3,324,101 |
| Encompass Health Corp. | | 47,752 | 4,438,071 |
| Henry Schein, Inc. (a) | | 61,642 | 4,434,525 |
| Premier, Inc. Class A | | 57,447 | 1,205,238 |
| R1 RCM, Inc. (a) | | 75,671 | 974,642 |
| Tenet Healthcare Corp. (a) | | 46,782 | 7,003,265 |
| Universal Health Services, Inc. Class B | | 27,928 | 5,969,889 |
| | | | 35,796,439 |
| Health Care Technology - 0.1% | | | |
| Certara, Inc. (a) | | 58,018 | 905,661 |
| Doximity, Inc. (a)(b) | | 57,788 | 1,618,064 |
| | | | 2,523,725 |
| Life Sciences Tools & Services - 1.9% | | | |
| 10X Genomics, Inc. (a) | | 50,224 | 1,038,130 |
| Azenta, Inc. (a) | | 26,448 | 1,647,446 |
| Bio-Rad Laboratories, Inc. Class A (a) | | 9,316 | 3,152,162 |
| Bio-Techne Corp. | | 74,952 | 6,115,334 |
| Bruker Corp. | | 50,593 | 3,466,126 |
| Charles River Laboratories International, Inc. (a) | | 24,647 | 6,016,333 |
| Fortrea Holdings, Inc. (a) | | 43,162 | 1,190,840 |
| Medpace Holdings, Inc. (a) | | 12,261 | 4,690,078 |
| QIAGEN NV | | 106,592 | 4,742,278 |
| Sotera Health Co. (a) | | 60,560 | 839,967 |
| | | | 32,898,694 |
| Pharmaceuticals - 1.2% | | | |
| Catalent, Inc. (a) | | 87,330 | 5,182,162 |
| Elanco Animal Health, Inc. (a) | | 237,546 | 3,097,600 |
| Intra-Cellular Therapies, Inc. (a) | | 49,666 | 3,909,708 |
| Jazz Pharmaceuticals PLC (a) | | 29,365 | 3,237,491 |
| Organon & Co. | | 124,137 | 2,713,635 |
| Perrigo Co. PLC | | 65,391 | 1,848,604 |
| | | | 19,989,200 |
TOTAL HEALTH CARE | | | 164,280,626 |
| INDUSTRIALS - 20.4% | | | |
| Aerospace & Defense - 1.9% | | | |
| BWX Technologies, Inc. | | 43,992 | 4,376,764 |
| Curtiss-Wright Corp. | | 18,406 | 5,424,248 |
| Hexcel Corp. | | 39,922 | 2,643,236 |
| Huntington Ingalls Industries, Inc. | | 19,055 | 5,335,019 |
| Loar Holdings, Inc. (b) | | 4,993 | 312,063 |
| Spirit AeroSystems Holdings, Inc. Class A (a) | | 55,949 | 2,028,151 |
| Textron, Inc. | | 91,790 | 8,527,291 |
| Woodward, Inc. | | 28,711 | 4,478,629 |
| | | | 33,125,401 |
| Air Freight & Logistics - 0.5% | | | |
| C.H. Robinson Worldwide, Inc. | | 55,348 | 4,928,739 |
| GXO Logistics, Inc. (a) | | 56,652 | 3,171,379 |
| | | | 8,100,118 |
| Building Products - 3.2% | | | |
| A.O. Smith Corp. | | 57,991 | 4,931,555 |
| AAON, Inc. | | 32,952 | 2,917,241 |
| Advanced Drain Systems, Inc. | | 32,064 | 5,676,611 |
| Allegion PLC | | 42,202 | 5,773,656 |
| Armstrong World Industries, Inc. | | 20,961 | 2,754,275 |
| Fortune Brands Innovations, Inc. | | 60,180 | 4,863,146 |
| Hayward Holdings, Inc. (a) | | 68,775 | 1,017,182 |
| Lennox International, Inc. | | 15,467 | 9,024,995 |
| Owens Corning | | 41,630 | 7,758,999 |
| Simpson Manufacturing Co. Ltd. | | 20,449 | 3,928,048 |
| The AZEK Co., Inc. Class A, (a) | | 69,271 | 3,109,575 |
| Trex Co., Inc. (a) | | 52,297 | 4,373,598 |
| | | | 56,128,881 |
| Commercial Services & Supplies - 1.0% | | | |
| Clean Harbors, Inc. (a) | | 24,873 | 5,937,931 |
| MSA Safety, Inc. | | 17,856 | 3,368,534 |
| Stericycle, Inc. (a) | | 44,477 | 2,604,128 |
| Tetra Tech, Inc. | | 25,717 | 5,483,893 |
| Vestis Corp. | | 63,415 | 822,493 |
| | | | 18,216,979 |
| Construction & Engineering - 2.1% | | | |
| AECOM | | 65,494 | 5,934,411 |
| API Group Corp. (a) | | 109,740 | 4,158,049 |
| Comfort Systems U.S.A., Inc. | | 16,959 | 5,637,511 |
| EMCOR Group, Inc. | | 22,434 | 8,422,621 |
| MasTec, Inc. (a) | | 30,232 | 3,326,427 |
| MDU Resources Group, Inc. | | 97,996 | 2,640,012 |
| Valmont Industries, Inc. | | 9,603 | 2,865,151 |
| Willscot Holdings Corp. (a) | | 89,113 | 3,653,633 |
| | | | 36,637,815 |
| Electrical Equipment - 1.3% | | | |
| Acuity Brands, Inc. | | 14,857 | 3,734,307 |
| Generac Holdings, Inc. (a) | | 28,409 | 4,422,713 |
| nVent Electric PLC | | 79,707 | 5,789,119 |
| Regal Rexnord Corp. | | 32,031 | 5,146,741 |
| Sensata Technologies PLC | | 72,102 | 2,811,257 |
| | | | 21,904,137 |
| Ground Transportation - 1.7% | | | |
| Avis Budget Group, Inc. | | 8,295 | 837,878 |
| Knight-Swift Transportation Holdings, Inc. | | 75,503 | 4,109,628 |
| Landstar System, Inc. | | 17,162 | 3,265,071 |
| Lyft, Inc. (a) | | 174,196 | 2,099,062 |
| Ryder System, Inc. | | 20,785 | 2,913,226 |
| Saia, Inc. (a) | | 12,779 | 5,339,705 |
| Schneider National, Inc. Class B | | 22,672 | 610,104 |
| U-Haul Holding Co. (a)(b) | | 3,623 | 241,980 |
| U-Haul Holding Co. (non-vtg.) | | 48,489 | 3,090,204 |
| XPO, Inc. (a) | | 55,161 | 6,337,447 |
| | | | 28,844,305 |
| Machinery - 4.6% | | | |
| AGCO Corp. | | 30,030 | 2,835,433 |
| Allison Transmission Holdings, Inc. | | 42,172 | 3,736,017 |
| Crane Co. | | 23,597 | 3,785,431 |
| Donaldson Co., Inc. | | 57,935 | 4,334,697 |
| ESAB Corp. | | 27,284 | 2,772,054 |
| Flowserve Corp. | | 63,358 | 3,202,747 |
| Gates Industrial Corp. PLC (a) | | 98,886 | 1,838,291 |
| Graco, Inc. | | 80,708 | 6,864,215 |
| ITT, Inc. | | 39,755 | 5,623,742 |
| Lincoln Electric Holdings, Inc. | | 26,630 | 5,470,068 |
| Middleby Corp. (a) | | 25,693 | 3,483,457 |
| Nordson Corp. | | 27,380 | 6,854,035 |
| Oshkosh Corp. | | 31,475 | 3,419,759 |
| Pentair PLC | | 79,669 | 7,000,515 |
| RBC Bearings, Inc. (a) | | 13,714 | 3,988,580 |
| Snap-On, Inc. | | 24,966 | 7,165,991 |
| Timken Co. | | 31,179 | 2,711,014 |
| Toro Co. | | 50,387 | 4,823,548 |
| | | | 79,909,594 |
| Marine Transportation - 0.2% | | | |
| Kirby Corp. (a) | | 27,988 | 3,439,165 |
| Passenger Airlines - 0.3% | | | |
| Alaska Air Group, Inc. (a) | | 60,545 | 2,272,254 |
| American Airlines Group, Inc. (a)(b) | | 315,856 | 3,360,708 |
| | | | 5,632,962 |
| Professional Services - 2.2% | | | |
| CACI International, Inc. (a) | | 10,650 | 4,914,762 |
| Clarivate PLC (a)(b) | | 196,967 | 1,327,558 |
| Concentrix Corp. | | 22,917 | 1,615,649 |
| Dayforce, Inc. (a)(b) | | 71,515 | 4,239,409 |
| Dun & Bradstreet Holdings, Inc. | | 145,939 | 1,587,816 |
| FTI Consulting, Inc. (a) | | 16,968 | 3,698,515 |
| Genpact Ltd. | | 84,759 | 2,938,595 |
| KBR, Inc. | | 64,216 | 4,276,143 |
| ManpowerGroup, Inc. | | 23,064 | 1,766,241 |
| Parsons Corp. (a) | | 22,073 | 2,016,810 |
| Paycor HCM, Inc. (a) | | 35,024 | 434,648 |
| Paylocity Holding Corp. (a) | | 21,153 | 3,174,431 |
| Robert Half, Inc. | | 49,305 | 3,164,888 |
| Science Applications International Corp. | | 24,660 | 3,067,704 |
| | | | 38,223,169 |
| Trading Companies & Distributors - 1.4% | | | |
| Air Lease Corp. Class A | | 50,320 | 2,496,878 |
| Core & Main, Inc. (a) | | 80,053 | 4,280,434 |
| MSC Industrial Direct Co., Inc. Class A | | 22,141 | 1,969,442 |
| SiteOne Landscape Supply, Inc. (a) | | 21,519 | 3,156,407 |
| Watsco, Inc. | | 16,687 | 8,168,120 |
| WESCO International, Inc. | | 21,044 | 3,681,648 |
| | | | 23,752,929 |
TOTAL INDUSTRIALS | | | 353,915,455 |
| INFORMATION TECHNOLOGY - 11.0% | | | |
| Communications Equipment - 1.0% | | | |
| Ciena Corp. (a) | | 69,453 | 3,662,951 |
| F5, Inc. (a) | | 28,186 | 5,739,797 |
| Juniper Networks, Inc. | | 155,109 | 5,846,058 |
| Lumentum Holdings, Inc. (a) | | 32,203 | 1,667,471 |
| Ubiquiti, Inc. (b) | | 2,009 | 372,810 |
| | | | 17,289,087 |
| Electronic Equipment, Instruments & Components - 1.9% | | | |
| Arrow Electronics, Inc. (a) | | 25,976 | 3,212,971 |
| Avnet, Inc. | | 43,319 | 2,328,829 |
| Cognex Corp. | | 82,940 | 4,115,483 |
| Coherent Corp. (a) | | 63,788 | 4,444,748 |
| Crane NXT Co. | | 23,649 | 1,487,049 |
| IPG Photonics Corp. (a) | | 13,723 | 1,103,329 |
| Jabil, Inc. | | 56,680 | 6,386,136 |
| Littelfuse, Inc. | | 11,773 | 3,144,686 |
| TD SYNNEX Corp. | | 36,366 | 4,333,736 |
| Vontier Corp. | | 74,513 | 2,923,145 |
| | | | 33,480,112 |
| IT Services - 0.8% | | | |
| Amdocs Ltd. | | 55,266 | 4,834,117 |
| DXC Technology Co. (a) | | 87,542 | 1,780,604 |
| Globant SA (a) | | 20,293 | 3,951,250 |
| Kyndryl Holdings, Inc. (a) | | 109,700 | 2,947,639 |
| | | | 13,513,610 |
| Semiconductors & Semiconductor Equipment - 1.9% | | | |
| Allegro MicroSystems LLC (a) | | 36,288 | 872,364 |
| Amkor Technology, Inc. | | 54,398 | 1,776,639 |
| Astera Labs, Inc. (b) | | 10,635 | 466,238 |
| Cirrus Logic, Inc. (a) | | 25,941 | 3,384,782 |
| Lattice Semiconductor Corp. (a) | | 65,713 | 3,482,789 |
| MACOM Technology Solutions Holdings, Inc. (a) | | 26,916 | 2,716,363 |
| MKS Instruments, Inc. | | 32,259 | 4,061,408 |
| Onto Innovation, Inc. (a) | | 23,631 | 4,520,610 |
| Qorvo, Inc. (a) | | 46,482 | 5,568,544 |
| Universal Display Corp. | | 22,508 | 5,010,731 |
| Wolfspeed, Inc. (a)(b) | | 60,062 | 1,132,169 |
| | | | 32,992,637 |
| Software - 4.9% | | | |
| AppFolio, Inc. Class A, (a) | | 10,608 | 2,349,460 |
| Aspen Technology, Inc. (a) | | 12,977 | 2,439,027 |
| Bentley Systems, Inc. Class B | | 67,620 | 3,295,799 |
| Bill Holdings, Inc. (a) | | 49,402 | 2,468,124 |
| CCC Intelligent Solutions Holdings, Inc. Class A (a) | | 215,087 | 2,206,793 |
| Confluent, Inc. (a) | | 116,652 | 2,918,633 |
| Dolby Laboratories, Inc. Class A | | 28,202 | 2,221,190 |
| DoubleVerify Holdings, Inc. (a) | | 69,928 | 1,476,879 |
| Dropbox, Inc. Class A (a) | | 119,985 | 2,870,041 |
| Dynatrace, Inc. (a) | | 125,587 | 5,515,781 |
| Elastic NV (a) | | 39,259 | 4,305,535 |
| Five9, Inc. (a) | | 35,363 | 1,575,422 |
| Gen Digital, Inc. | | 271,588 | 7,058,572 |
| GitLab, Inc. (a) | | 57,160 | 2,928,307 |
| Guidewire Software, Inc. (a) | | 39,495 | 5,927,015 |
| HashiCorp, Inc. (a) | | 46,418 | 1,566,608 |
| Informatica, Inc. (a) | | 30,799 | 737,328 |
| Manhattan Associates, Inc. (a) | | 29,555 | 7,547,756 |
| nCino, Inc. (a) | | 39,821 | 1,304,536 |
| Nutanix, Inc. Class A (a) | | 117,185 | 5,919,014 |
| Pegasystems, Inc. | | 21,511 | 1,499,747 |
| Procore Technologies, Inc. (a) | | 50,803 | 3,608,537 |
| RingCentral, Inc. (a) | | 39,647 | 1,389,627 |
| SentinelOne, Inc. (a) | | 110,612 | 2,533,015 |
| Smartsheet, Inc. (a) | | 61,178 | 2,934,097 |
| Teradata Corp. (a) | | 46,824 | 1,518,034 |
| UiPath, Inc. Class A (a) | | 187,744 | 2,284,844 |
| Unity Software, Inc. (a)(b) | | 143,427 | 2,346,466 |
| | | | 84,746,187 |
| Technology Hardware, Storage & Peripherals - 0.5% | | | |
| Pure Storage, Inc. Class A (a) | | 139,936 | 8,386,364 |
TOTAL INFORMATION TECHNOLOGY | | | 190,407,997 |
| MATERIALS - 6.8% | | | |
| Chemicals - 2.0% | | | |
| Ashland, Inc. | | 24,096 | 2,328,878 |
| Axalta Coating Systems Ltd. (a) | | 106,275 | 3,788,704 |
| Element Solutions, Inc. | | 107,984 | 2,910,169 |
| FMC Corp. | | 60,084 | 3,506,502 |
| Huntsman Corp. | | 78,848 | 1,886,833 |
| NewMarket Corp. | | 3,245 | 1,820,023 |
| Olin Corp. | | 57,622 | 2,628,139 |
| RPM International, Inc. | | 61,336 | 7,449,871 |
| The Chemours Co. LLC | | 71,938 | 1,738,741 |
| The Mosaic Co. | | 154,376 | 4,595,774 |
| The Scotts Miracle-Gro Co. | | 20,494 | 1,610,828 |
| | | | 34,264,462 |
| Construction Materials - 0.2% | | | |
| Eagle Materials, Inc. | | 16,449 | 4,479,063 |
| Containers & Packaging - 2.7% | | | |
| Aptargroup, Inc. | | 31,849 | 4,681,166 |
| Avery Dennison Corp. | | 38,661 | 8,382,865 |
| Berry Global Group, Inc. | | 55,889 | 3,673,025 |
| Crown Holdings, Inc. | | 56,418 | 5,004,277 |
| Graphic Packaging Holding Co. | | 146,731 | 4,416,603 |
| Packaging Corp. of America | | 42,779 | 8,550,239 |
| Sealed Air Corp. | | 70,198 | 2,671,034 |
| Silgan Holdings, Inc. | | 39,988 | 2,056,583 |
| Smurfit Westrock PLC | | 123,429 | 5,534,556 |
| Sonoco Products Co. | | 47,253 | 2,547,882 |
| | | | 47,518,230 |
| Metals & Mining - 1.7% | | | |
| Alcoa Corp. | | 120,906 | 3,994,734 |
| ATI, Inc. (a) | | 59,537 | 4,031,250 |
| Cleveland-Cliffs, Inc. (a) | | 225,848 | 3,466,767 |
| MP Materials Corp. (a)(b) | | 63,184 | 854,248 |
| Reliance, Inc. | | 27,555 | 8,392,151 |
| Royal Gold, Inc. | | 31,688 | 4,376,747 |
| United States Steel Corp. | | 107,509 | 4,417,545 |
| | | | 29,533,442 |
| Paper & Forest Products - 0.2% | | | |
| Louisiana-Pacific Corp. | | 31,083 | 3,051,107 |
TOTAL MATERIALS | | | 118,846,304 |
| REAL ESTATE - 7.5% | | | |
| Equity Real Estate Investment Trusts (REITs) - 6.8% | | | |
| Agree Realty Corp. | | 47,785 | 3,295,731 |
| American Homes 4 Rent Class A | | 162,913 | 5,879,530 |
| Americold Realty Trust | | 137,111 | 4,098,248 |
| Brixmor Property Group, Inc. | | 144,580 | 3,682,453 |
| BXP, Inc. | | 75,781 | 5,403,943 |
| Camden Property Trust (SBI) | | 49,929 | 5,529,637 |
| Cousins Properties, Inc. | | 73,093 | 2,010,788 |
| CubeSmart | | 107,963 | 5,136,880 |
| EastGroup Properties, Inc. | | 23,050 | 4,310,120 |
| EPR Properties | | 36,050 | 1,622,250 |
| Equity Lifestyle Properties, Inc. | | 88,917 | 6,106,820 |
| Federal Realty Investment Trust (SBI) | | 39,766 | 4,439,874 |
| First Industrial Realty Trust, Inc. | | 63,720 | 3,486,758 |
| Gaming & Leisure Properties | | 125,682 | 6,309,236 |
| Healthcare Realty Trust, Inc. | | 183,441 | 3,245,071 |
| Highwoods Properties, Inc. (SBI) | | 50,323 | 1,558,503 |
| Host Hotels & Resorts, Inc. | | 336,322 | 5,888,998 |
| Kilroy Realty Corp. | | 56,394 | 2,084,886 |
| Kimco Realty Corp. | | 317,877 | 6,907,467 |
| Lamar Advertising Co. Class A | | 42,017 | 5,036,158 |
| Medical Properties Trust, Inc. (b) | | 286,419 | 1,377,675 |
| National Storage Affiliates Trust | | 34,561 | 1,471,262 |
| NNN (REIT), Inc. | | 87,452 | 3,925,720 |
| Omega Healthcare Investors, Inc. | | 119,048 | 4,333,347 |
| Park Hotels & Resorts, Inc. | | 100,205 | 1,509,087 |
| Rayonier, Inc. (b) | | 71,279 | 2,161,892 |
| Regency Centers Corp. | | 88,696 | 5,972,789 |
| Rexford Industrial Realty, Inc. | | 104,051 | 5,213,996 |
| STAG Industrial, Inc. | | 87,311 | 3,563,162 |
| Vornado Realty Trust | | 84,565 | 2,536,104 |
| | | | 118,098,385 |
| Real Estate Management & Development - 0.7% | | | |
| Howard Hughes Holdings, Inc. | | 14,943 | 1,108,322 |
| Jones Lang LaSalle, Inc. (a) | | 22,800 | 5,720,520 |
| Zillow Group, Inc.: | | | |
| Class A (a) | | 22,729 | 1,077,355 |
| Class C (a) | | 76,494 | 3,725,258 |
| | | | 11,631,455 |
TOTAL REAL ESTATE | | | 129,729,840 |
| UTILITIES - 2.2% | | | |
| Electric Utilities - 1.0% | | | |
| IDACORP, Inc. | | 24,397 | 2,384,807 |
| NRG Energy, Inc. | | 103,192 | 7,756,943 |
| OGE Energy Corp. | | 96,451 | 3,739,405 |
| Pinnacle West Capital Corp. | | 54,783 | 4,688,877 |
| | | | 18,570,032 |
| Gas Utilities - 0.3% | | | |
| National Fuel Gas Co. | | 43,958 | 2,575,499 |
| UGI Corp. | | 101,186 | 2,507,389 |
| | | | 5,082,888 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| Brookfield Renewable Corp. | | 65,199 | 1,832,092 |
| Clearway Energy, Inc.: | | | |
| Class A | | 16,773 | 413,119 |
| Class C | | 39,497 | 1,053,780 |
| | | | 3,298,991 |
| Multi-Utilities - 0.4% | | | |
| NiSource, Inc. | | 216,423 | 6,763,219 |
| Water Utilities - 0.3% | | | |
| Essential Utilities, Inc. | | 121,510 | 4,939,382 |
TOTAL UTILITIES | | | 38,654,512 |
| TOTAL COMMON STOCKS (Cost $1,421,332,965) | | | 1,733,961,319 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $314,037) | | 315,000 | 314,031 |
| | | | |
| Money Market Funds - 3.4% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 2,441,158 | 2,441,647 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 55,887,904 | 55,893,492 |
| TOTAL MONEY MARKET FUNDS (Cost $58,335,139) | | | 58,335,139 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 103.4% (Cost $1,479,982,141) | 1,792,610,489 |
NET OTHER ASSETS (LIABILITIES) - (3.4)% | (58,150,855) |
| NET ASSETS - 100.0% | 1,734,459,634 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 8 | Sep 2024 | 2,496,080 | 126,282 | 126,282 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.1% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $211,348. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 1,445,348 | 149,491,536 | 148,495,208 | 217,505 | (29) | - | 2,441,647 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 92,897,377 | 308,085,699 | 345,089,584 | 400,433 | - | - | 55,893,492 | 0.3% |
| Total | 94,342,725 | 457,577,235 | 493,584,792 | 617,938 | (29) | - | 58,335,139 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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 | 58,819,836 | 58,819,836 | - | - |
Consumer Discretionary | 248,900,235 | 248,900,235 | - | - |
Consumer Staples | 66,888,816 | 66,888,816 | - | - |
Energy | 87,995,137 | 87,995,137 | - | - |
Financials | 275,522,561 | 275,522,561 | - | - |
Health Care | 164,280,626 | 164,280,626 | - | - |
Industrials | 353,915,455 | 353,915,455 | - | - |
Information Technology | 190,407,997 | 190,407,997 | - | - |
Materials | 118,846,304 | 118,846,304 | - | - |
Real Estate | 129,729,840 | 129,729,840 | - | - |
Utilities | 38,654,512 | 38,654,512 | - | - |
|
| U.S. Government and Government Agency Obligations | 314,031 | - | 314,031 | - |
|
| Money Market Funds | 58,335,139 | 58,335,139 | - | - |
| Total Investments in Securities: | 1,792,610,489 | 1,792,296,458 | 314,031 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 126,282 | 126,282 | - | - |
| Total Assets | 126,282 | 126,282 | - | - |
| Total Derivative Instruments: | 126,282 | 126,282 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 126,282 | 0 |
| Total Equity Risk | 126,282 | 0 |
| Total Value of Derivatives | 126,282 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $55,025,889) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,421,647,002) | $ | 1,734,275,350 | | |
Fidelity Central Funds (cost $58,335,139) | | 58,335,139 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $1,479,982,141) | | | $ | 1,792,610,489 |
| Cash | | | | 5,494 |
| Receivable for investments sold | | | | 2,036 |
| Dividends receivable | | | | 549,199 |
| Distributions receivable from Fidelity Central Funds | | | | 58,972 |
| Receivable for daily variation margin on futures contracts | | | | 23,698 |
| Prepaid expenses | | | | 318 |
| Receivable from investment adviser for expense reductions | | | | 128,978 |
| Other receivables | | | | 62,830 |
Total assets | | | | 1,793,442,014 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 186,751 | | |
| Payable for fund shares redeemed | | 2,622,720 | | |
| Accrued management fee | | 156,859 | | |
| Other payables and accrued expenses | | 131,887 | | |
| Collateral on securities loaned | | 55,884,163 | | |
| Total liabilities | | | | 58,982,380 |
| Net Assets | | | $ | 1,734,459,634 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 1,381,453,260 |
| Total accumulated earnings (loss) | | | | 353,006,374 |
| Net Assets | | | $ | 1,734,459,634 |
Net Asset Value, offering price and redemption price per share ($1,734,459,634 ÷ 261,266,815 shares) | | | $ | 6.64 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 24,603,428 |
| Interest | | | | 17,128 |
| Income from Fidelity Central Funds (including $400,433 from security lending) | | | | 617,938 |
| Total income | | | | 25,238,494 |
| Expenses | | | | |
| Management fee | $ | 1,752,006 | | |
| Custodian fees and expenses | | 104,507 | | |
| Independent trustees' fees and expenses | | 4,702 | | |
| Registration fees | | 25,758 | | |
| Audit fees | | 56,720 | | |
| Legal | | 7,300 | | |
| Interest | | 29,179 | | |
| Miscellaneous | | 6,517 | | |
| Total expenses before reductions | | 1,986,689 | | |
| Expense reductions | | (1,156,957) | | |
| Total expenses after reductions | | | | 829,732 |
| Net Investment income (loss) | | | | 24,408,762 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 64,164,405 | | |
| Fidelity Central Funds | | (29) | | |
| Futures contracts | | 591,580 | | |
| Total net realized gain (loss) | | | | 64,755,956 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 97,073,533 | | |
| Assets and liabilities in foreign currencies | | (170) | | |
| Futures contracts | | 12,743 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 97,086,106 |
| Net gain (loss) | | | | 161,842,062 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 186,250,824 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 24,408,762 | $ | 17,192,877 |
| Net realized gain (loss) | | 64,755,956 | | (9,576,067) |
| Change in net unrealized appreciation (depreciation) | | 97,086,106 | | 138,189,010 |
| Net increase (decrease) in net assets resulting from operations | | 186,250,824 | | 145,805,820 |
| Distributions to shareholders | | (37,672,815) | | (110,768,589) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 228,116,525 | | 1,860,933,035 |
| Reinvestment of distributions | | 37,661,887 | | 110,367,799 |
| Cost of shares redeemed | | (290,833,750) | | (641,896,678) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (25,055,338) | | 1,329,404,156 |
| Total increase (decrease) in net assets | | 123,522,671 | | 1,364,441,387 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 1,610,936,963 | | 246,495,576 |
| End of period | $ | 1,734,459,634 | $ | 1,610,936,963 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 37,001,333 | | 336,949,020 |
| Issued in reinvestment of distributions | | 6,626,293 | | 19,549,412 |
| Redeemed | | (47,867,432) | | (116,031,798) |
| Net increase (decrease) | | (4,239,806) | | 240,466,634 |
| | | | | |
Financial Highlights
Fidelity® SAI Small-Mid Cap 500 Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 6.07 | $ | 9.84 | $ | 16.46 | $ | 12.19 | $ | 12.80 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .09 | | .10 | | .16 | | .20 | | .20 |
| Net realized and unrealized gain (loss) | | .62 | | .38 | | (1.07) | | 5.09 | | (.20) C |
| Total from investment operations | | .71 | | .48 | | (.91) | | 5.29 | | - |
| Distributions from net investment income | | (.09) | | (.11) | | (.22) | | (.17) | | (.22) |
| Distributions from net realized gain | | (.05) | | (4.15) | | (5.48) | | (.85) | | (.39) |
| Total distributions | | (.14) | | (4.25) D | | (5.71) D | | (1.02) | | (.61) |
| Net asset value, end of period | $ | 6.64 | $ | 6.07 | $ | 9.84 | $ | 16.46 | $ | 12.19 |
Total Return E | | | | 8.32% | | (8.94)% | | 46.99% | | (.03)% C |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .12% | | .15% | | .14% | | .13% | | .13% |
| Expenses net of fee waivers, if any | | | | .06% | | .05% | | .05% | | .05% |
| Expenses net of all reductions | | .05% | | .06% | | .05% | | .05% | | .05% |
| Net investment income (loss) | | 1.53% | | 1.77% | | 1.35% | | 1.37% | | 1.66% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,734,460 | $ | 1,610,937 | $ | 246,496 | $ | 1,087,415 | $ | 1,921,810 |
Portfolio turnover rate H | | | | 76% | | 93% | | 69% | | 79% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been (.16)%.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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. 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 declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, partnerships 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 | $383,657,963 |
| Gross unrealized depreciation | (91,071,336) |
| Net unrealized appreciation (depreciation) | $292,586,627 |
| Tax Cost | $1,500,023,862 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $12,627,119 |
| Undistributed long-term capital gain | $47,792,839 |
| Net unrealized appreciation (depreciation) on securities and other investments | $292,586,414 |
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $29,749,451 | $6,412,901 |
| Long-term Capital Gains | 7,923,364 | 104,355,688 |
| Total | $37,672,815 | $110,768,589 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 494,767,932 | 501,870,465 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .11% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
Fidelity SAI Small-Mid Cap 500 Index Fund | Borrower | 18,864,500 | 5.57% | 29,179 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 2,658 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 39,527 | 5,093 | 32,668 |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .05% of average net assets. This reimbursement will remain in place through November 30, 2025. 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 $1,156,957.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund | Strategic Advisers Small-Mid Cap Fund |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 74% | 26% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI Small-Mid Cap 500 Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Small-Mid Cap 500 Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $50,364,823, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $347,717 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 46% and 59% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 49.22% and 64.39% of the dividends distributed in September and December, 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 designates 15.93%, and 22.10% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9868212.108
SV3-ANN-0924
Fidelity® SAI Real Estate Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI Real Estate Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 98.5% |
| | | Shares | Value ($) |
| Equity Real Estate Investment Trusts (REITs) - 91.0% | | | |
| REITs - Apartments - 10.4% | | | |
| American Homes 4 Rent Class A | | 581 | 20,968 |
| Apartment Investment & Management Co. Class A (a) | | 237 | 2,100 |
| AvalonBay Communities, Inc. | | 251 | 51,435 |
| Camden Property Trust (SBI) | | 190 | 21,043 |
| Centerspace | | 28 | 1,955 |
| Equity Residential (SBI) | | 602 | 41,917 |
| Essex Property Trust, Inc. | | 114 | 31,733 |
| Independence Realty Trust, Inc. | | 406 | 7,572 |
| Invitation Homes, Inc. | | 1,083 | 38,197 |
| Mid-America Apartment Communities, Inc. | | 206 | 28,793 |
| UDR, Inc. | | 554 | 22,199 |
| | | | 267,912 |
| REITs - Diversified - 20.5% | | | |
| Alexander & Baldwin, Inc. | | 132 | 2,602 |
| Apple Hospitality (REIT), Inc. | | 412 | 6,093 |
| Armada Hoffler Properties, Inc. Class A, | | 111 | 1,319 |
| Broadstone Net Lease, Inc. | | 337 | 5,867 |
| Cousins Properties, Inc. | | 271 | 7,455 |
| Crown Castle, Inc. | | 766 | 84,321 |
| Digital Realty Trust, Inc. | | 552 | 82,518 |
| Elme Communities (SBI) | | 161 | 2,650 |
| EPR Properties | | 134 | 6,030 |
| Equinix, Inc. | | 168 | 132,760 |
| Farmland Partners, Inc. | | 79 | 839 |
| Gaming & Leisure Properties | | 478 | 23,996 |
| Gladstone Commercial Corp. | | 70 | 1,054 |
| Gladstone Land Corp. | | 55 | 817 |
| Global Net Lease, Inc. | | 347 | 3,019 |
| InvenTrust Properties Corp. | | 120 | 3,380 |
| Lamar Advertising Co. Class A | | 156 | 18,698 |
| NexPoint Diversified Real Estate Trust | | 56 | 354 |
| NexPoint Residential Trust, Inc. | | 40 | 1,748 |
| One Liberty Properties, Inc. | | 33 | 871 |
| Outfront Media, Inc. | | 239 | 3,877 |
| PotlatchDeltic Corp. | | 139 | 6,166 |
| SBA Communications Corp. Class A | | 190 | 41,713 |
| Uniti Group, Inc. | | 403 | 1,548 |
| VICI Properties, Inc. | | 1,841 | 57,550 |
| Vornado Realty Trust | | 289 | 8,667 |
| WP Carey, Inc. | | 385 | 22,257 |
| | | | 528,169 |
| REITs - Health Care - 8.3% | | | |
| CareTrust (REIT), Inc. | | 242 | 6,524 |
| Community Healthcare Trust, Inc. | | 45 | 979 |
| Diversified Healthcare Trust (SBI) | | 286 | 955 |
| Global Medical REIT, Inc. | | 109 | 1,041 |
| Healthcare Realty Trust, Inc. | | 674 | 11,923 |
| Healthpeak Properties, Inc. | | 1,256 | 27,406 |
| LTC Properties, Inc. | | 79 | 2,821 |
| Medical Properties Trust, Inc. (b) | | 1,058 | 5,089 |
| Sabra Health Care REIT, Inc. | | 414 | 6,719 |
| Universal Health Realty Income Trust (SBI) | | 22 | 941 |
| Ventas, Inc. | | 710 | 38,652 |
| Welltower, Inc. | | 1,005 | 111,806 |
| | | | 214,856 |
| REITs - Health Care Facilities - 0.8% | | | |
| National Health Investors, Inc. | | 78 | 5,839 |
| Omega Healthcare Investors, Inc. | | 433 | 15,761 |
| | | | 21,600 |
| REITs - Hotels - 2.2% | | | |
| Chatham Lodging Trust | | 84 | 738 |
| DiamondRock Hospitality Co. | | 384 | 3,160 |
| Host Hotels & Resorts, Inc. | | 1,249 | 21,870 |
| Park Hotels & Resorts, Inc. | | 382 | 5,753 |
| Pebblebrook Hotel Trust | | 218 | 2,984 |
| RLJ Lodging Trust | | 283 | 2,672 |
| Ryman Hospitality Properties, Inc. | | 101 | 10,152 |
| Service Properties Trust | | 270 | 1,531 |
| Summit Hotel Properties, Inc. | | 189 | 1,198 |
| Sunstone Hotel Investors, Inc. | | 354 | 3,667 |
| Xenia Hotels & Resorts, Inc. | | 192 | 2,665 |
| | | | 56,390 |
| REITs - Industrial Buildings - 0.5% | | | |
| STAG Industrial, Inc. | | 323 | 13,182 |
| REITs - Management/Investment - 10.1% | | | |
| American Assets Trust, Inc. | | 93 | 2,466 |
| American Tower Corp. | | 824 | 181,610 |
| Empire State Realty Trust, Inc. | | 256 | 2,757 |
| LXP Industrial Trust (REIT) | | 521 | 5,366 |
| NNN (REIT), Inc. | | 323 | 14,499 |
| Rayonier, Inc. | | 250 | 7,583 |
| Safehold, Inc. | | 85 | 1,967 |
| UMH Properties, Inc. | | 126 | 2,238 |
| Weyerhaeuser Co. | | 1,286 | 40,843 |
| Whitestone REIT | | 83 | 1,145 |
| | | | 260,474 |
| REITs - Manufactured Homes - 1.9% | | | |
| Equity Lifestyle Properties, Inc. | | 311 | 21,359 |
| Sun Communities, Inc. | | 219 | 27,754 |
| | | | 49,113 |
| REITs - Office Buildings - 0.0% | | | |
| Office Properties Income Trust | | 80 | 199 |
| REITs - Office Property - 4.0% | | | |
| Alexandria Real Estate Equities, Inc. | | 279 | 32,724 |
| Brandywine Realty Trust (SBI) | | 293 | 1,477 |
| BXP, Inc. | | 264 | 18,826 |
| City Office REIT, Inc. | | 69 | 417 |
| COPT Defense Properties (SBI) | | 199 | 5,765 |
| Douglas Emmett, Inc. | | 299 | 4,811 |
| Easterly Government Properties, Inc. | | 179 | 2,493 |
| Equity Commonwealth (a) | | 181 | 3,687 |
| Highwoods Properties, Inc. (SBI) | | 191 | 5,915 |
| Hudson Pacific Properties, Inc. | | 211 | 1,264 |
| JBG SMITH Properties | | 159 | 2,600 |
| Kilroy Realty Corp. | | 198 | 7,320 |
| Net Lease Office Properties | | 25 | 738 |
| Orion Office (REIT), Inc. | | 87 | 352 |
| Paramount Group, Inc. | | 286 | 1,499 |
| Peakstone Realty Trust | | 60 | 815 |
| Piedmont Office Realty Trust, Inc. Class A | | 236 | 2,041 |
| SL Green Realty Corp. | | 118 | 7,864 |
| Veris Residential, Inc. | | 136 | 2,137 |
| | | | 102,745 |
| REITs - Regional Malls - 3.9% | | | |
| CBL & Associates Properties, Inc. | | 22 | 567 |
| Simon Property Group, Inc. | | 575 | 88,228 |
| Tanger, Inc. | | 196 | 5,664 |
| The Macerich Co. | | 388 | 6,212 |
| | | | 100,671 |
| REITs - Shopping Centers - 7.7% | | | |
| Acadia Realty Trust (SBI) | | 188 | 4,068 |
| Alexanders, Inc. | | 4 | 969 |
| Brixmor Property Group, Inc. | | 532 | 13,550 |
| Federal Realty Investment Trust (SBI) | | 131 | 14,626 |
| Kimco Realty Corp. | | 1,190 | 25,859 |
| Kite Realty Group Trust | | 390 | 9,617 |
| Phillips Edison & Co., Inc. | | 217 | 7,617 |
| Realty Income Corp. | | 1,519 | 87,236 |
| Regency Centers Corp. | | 309 | 20,808 |
| Retail Opportunity Investments Corp. | | 224 | 3,349 |
| Saul Centers, Inc. | | 21 | 831 |
| SITE Centers Corp. | | 337 | 5,207 |
| Urban Edge Properties | | 211 | 4,283 |
| | | | 198,020 |
| REITs - Single Tenant - 1.2% | | | |
| Agree Realty Corp. | | 178 | 12,277 |
| Essential Properties Realty Trust, Inc. | | 306 | 9,055 |
| Four Corners Property Trust, Inc. | | 165 | 4,478 |
| Getty Realty Corp. | | 91 | 2,695 |
| NETSTREIT Corp. | | 142 | 2,339 |
| | | | 30,844 |
| REITs - Storage - 8.6% | | | |
| CubeSmart | | 400 | 19,032 |
| Extra Space Storage, Inc. | | 374 | 59,698 |
| Iron Mountain, Inc. | | 518 | 53,126 |
| National Storage Affiliates Trust | | 135 | 5,747 |
| Public Storage Operating Co. | | 280 | 82,858 |
| | | | 220,461 |
| REITs - Warehouse/Industrial - 10.9% | | | |
| Americold Realty Trust | | 475 | 14,198 |
| EastGroup Properties, Inc. | | 85 | 15,894 |
| First Industrial Realty Trust, Inc. | | 234 | 12,804 |
| Plymouth Industrial REIT, Inc. | | 82 | 1,961 |
| Prologis, Inc. | | 1,634 | 205,965 |
| Rexford Industrial Realty, Inc. | | 387 | 19,393 |
| Terreno Realty Corp. | | 172 | 11,767 |
| | | | 281,982 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 2,346,618 |
| Real Estate Management & Development - 7.5% | | | |
| Diversified Real Estate Activities - 0.2% | | | |
| Tejon Ranch Co. (a) | | 32 | 608 |
| The RMR Group, Inc. Class A | | 28 | 726 |
| The St. Joe Co. | | 63 | 3,886 |
| | | | 5,220 |
| Real Estate Development - 0.2% | | | |
| Forestar Group, Inc. (a) | | 34 | 1,075 |
| Howard Hughes Holdings, Inc. | | 56 | 4,154 |
| | | | 5,229 |
| Real Estate Operating Companies - 0.2% | | | |
| Digitalbridge Group, Inc. | | 290 | 4,098 |
| Kennedy-Wilson Holdings, Inc. | | 198 | 2,061 |
| | | | 6,159 |
| Real Estate Services - 6.9% | | | |
| Anywhere Real Estate, Inc. (a) | | 160 | 755 |
| CBRE Group, Inc. (a) | | 539 | 60,751 |
| Compass, Inc. (a) | | 688 | 3,020 |
| CoStar Group, Inc. (a) | | 721 | 56,252 |
| Cushman & Wakefield PLC (a) | | 408 | 5,349 |
| eXp World Holdings, Inc. (b) | | 143 | 2,053 |
| Jones Lang LaSalle, Inc. (a) | | 84 | 21,076 |
| Marcus & Millichap, Inc. | | 47 | 1,862 |
| Newmark Group, Inc. Class A | | 265 | 3,440 |
| Opendoor Technologies, Inc. Class A (a) | | 1,058 | 2,455 |
| Redfin Corp. (a) | | 200 | 1,628 |
| Zillow Group, Inc.: | | | |
| Class A (a) | | 97 | 4,598 |
| Class C (a) | | 278 | 13,539 |
| | | | 176,778 |
| REITs - Shopping Centers - 0.0% | | | |
| Seritage Growth Properties (a) | | 44 | 224 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | | | 193,610 |
| TOTAL COMMON STOCKS (Cost $1,733,019) | | | 2,540,228 |
| | | | |
| U.S. Treasury Obligations - 0.5% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $12,960) | | 13,000 | 12,960 |
| | | | |
| Money Market Funds - 7.0% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 174,282 | 174,317 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 5,757 | 5,757 |
| TOTAL MONEY MARKET FUNDS (Cost $180,074) | | | 180,074 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 106.0% (Cost $1,926,053) | 2,733,262 |
NET OTHER ASSETS (LIABILITIES) - (6.0)% | (154,619) |
| NET ASSETS - 100.0% | 2,578,643 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 1 | Sep 2024 | 36,300 | 2,703 | 2,703 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 1.4% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $364,007.
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $12,960. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 196,160 | 3,302,400 | 3,324,246 | 9,912 | 3 | - | 174,317 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 834,557 | 8,790,028 | 9,618,828 | 5,124 | - | - | 5,757 | 0.0% |
| Total | 1,030,717 | 12,092,428 | 12,943,074 | 15,036 | 3 | - | 180,074 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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: | | | | |
|
| Common Stocks | 2,540,228 | 2,540,228 | - | - |
|
| U.S. Treasury Obligations | 12,960 | - | 12,960 | - |
|
| Money Market Funds | 180,074 | 180,074 | - | - |
| Total Investments in Securities: | 2,733,262 | 2,720,302 | 12,960 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 2,703 | 2,703 | - | - |
| Total Assets | 2,703 | 2,703 | - | - |
| Total Derivative Instruments: | 2,703 | 2,703 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 2,703 | 0 |
| Total Equity Risk | 2,703 | 0 |
| Total Value of Derivatives | 2,703 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $5,765) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,745,979) | $ | 2,553,188 | | |
Fidelity Central Funds (cost $180,074) | | 180,074 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $1,926,053) | | | $ | 2,733,262 |
| Segregated cash with brokers for derivative instruments | | | | 15,000 |
| Dividends receivable | | | | 5,100 |
| Distributions receivable from Fidelity Central Funds | | | | 896 |
| Prepaid expenses | | | | 14 |
| Receivable from investment adviser for expense reductions | | | | 6,586 |
| Other receivables | | | | 16,376 |
Total assets | | | | 2,777,234 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 141,626 | | |
| Accrued management fee | | 4,215 | | |
| Payable for daily variation margin on futures contracts | | 90 | | |
| Audit fee payable | | 43,301 | | |
| Other payables and accrued expenses | | 3,184 | | |
| Collateral on securities loaned | | 6,175 | | |
| Total liabilities | | | | 198,591 |
| Net Assets | | | $ | 2,578,643 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 13,189,921 |
| Total accumulated earnings (loss) | | | | (10,611,278) |
| Net Assets | | | $ | 2,578,643 |
Net Asset Value, offering price and redemption price per share ($2,578,643 ÷ 343,493 shares) | | | $ | 7.51 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 2,722,087 |
| Interest | | | | 4,437 |
| Income from Fidelity Central Funds (including $5,124 from security lending) | | | | 15,036 |
| Total income | | | | 2,741,560 |
| Expenses | | | | |
| Management fee | $ | 56,242 | | |
| Custodian fees and expenses | | 6,814 | | |
| Independent trustees' fees and expenses | | 243 | | |
| Registration fees | | 22,426 | | |
| Audit fees | | 55,804 | | |
| Legal | | 268 | | |
| Miscellaneous | | 308 | | |
| Total expenses before reductions | | 142,105 | | |
| Expense reductions | | (86,069) | | |
| Total expenses after reductions | | | | 56,036 |
| Net Investment income (loss) | | | | 2,685,524 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 15,189,111 | | |
| Fidelity Central Funds | | 3 | | |
| Futures contracts | | 29,748 | | |
| Total net realized gain (loss) | | | | 15,218,862 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (9,785,581) | | |
| Futures contracts | | (16,874) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (9,802,455) |
| Net gain (loss) | | | | 5,416,407 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 8,101,931 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 2,685,524 | $ | 3,505,923 |
| Net realized gain (loss) | | 15,218,862 | | 36,843,376 |
| Change in net unrealized appreciation (depreciation) | | (9,802,455) | | (77,494,494) |
| Net increase (decrease) in net assets resulting from operations | | 8,101,931 | | (37,145,195) |
| Distributions to shareholders | | (3,751,888) | | (64,713,259) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | - | | 1,407,824 |
| Reinvestment of distributions | | 3,751,888 | | 64,704,858 |
| Cost of shares redeemed | | (88,653,526) | | (287,910,648) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (84,901,638) | | (221,797,966) |
| Total increase (decrease) in net assets | | (80,551,595) | | (323,656,420) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 83,130,238 | | 406,786,658 |
| End of period | $ | 2,578,643 | $ | 83,130,238 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | - | | 128,760 |
| Issued in reinvestment of distributions | | 549,404 | | 7,441,997 |
| Redeemed | | (11,868,156) | | (29,859,078) |
| Net increase (decrease) | | (11,318,752) | | (22,288,321) |
| | | | | |
Financial Highlights
Fidelity® SAI Real Estate Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 7.13 | $ | 11.98 | $ | 13.17 | $ | 9.67 | $ | 11.88 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .23 | | .26 | | .29 | | .28 | | .36 |
| Net realized and unrealized gain (loss) | | .47 | | (1.38) | | (.79) | | 3.48 | | (2.20) |
| Total from investment operations | | .70 | | (1.12) | | (.50) | | 3.76 | | (1.84) |
| Distributions from net investment income | | (.11) | | (.34) | | (.21) | | (.26) | | (.30) |
| Distributions from net realized gain | | (.20) | | (3.39) | | (.48) | | - | | (.07) |
| Total distributions | | (.32) C | | (3.73) | | (.69) | | (.26) | | (.37) |
| Net asset value, end of period | $ | 7.51 | $ | 7.13 | $ | 11.98 | $ | 13.17 | $ | 9.67 |
Total Return D | | | | (9.67)% | | (4.24)% | | 39.72% | | (16.04)% |
Ratios to Average Net Assets B,E,F | | | | | | | | | | |
| Expenses before reductions | | .18% | | .16% | | .09% | | .09% | | .16% |
| Expenses net of fee waivers, if any | | | | .09% | | .07% | | .07% | | .07% |
| Expenses net of all reductions | | .07% | | .09% | | .07% | | .07% | | .07% |
| Net investment income (loss) | | 3.36% | | 3.10% | | 2.28% | | 2.58% | | 3.52% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 2,579 | $ | 83,130 | $ | 406,787 | $ | 747,826 | $ | 572,828 |
Portfolio turnover rate G | | | | 8% | | 13% | | 53% | | 82% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal distributions per share do not sum due to rounding.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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 the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
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 | $803,143 |
| Gross unrealized depreciation | (33,505) |
| Net unrealized appreciation (depreciation) | $769,638 |
| Tax Cost | $1,963,624 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $603,356 |
| Undistributed long-term capital gain | $265,890 |
| Net unrealized appreciation (depreciation) on securities and other investments | $769,638 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation is estimated as of fiscal period end and is subject to adjustment.
| | |
| Short-term | $(678,885) |
| Long-term | (11,418,962) |
| Total capital loss carryforward | $(12,097,847) |
Due to large redemptions and then subscriptions in a prior period, approximately $12,097,847 of the Fund's realized capital losses are subject to limitation. Due to this limitation, the Fund will only be permitted to use approximately $70,663 of those capital losses per year to offset capital gains.
The Fund intends to elect to defer to its next fiscal year $152,313 of capital losses recognized during the period November 1, 2023 to July 31, 2024.
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $1,711,135 | $ 5,490,572 |
| Long-term Capital Gains | 2,040,753 | 59,222,687 |
| Total | $3,751,888 | $ 64,713,259 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI Real Estate Index Fund | 5,526,559 | 90,387,273 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (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 .07% of the Fund's average net assets.
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.
Interfund Trades. Funds 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. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI Real Estate Index Fund | 137 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI Real Estate Index Fund | 488 | 126 | 2,405 |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through November 30, 2025. 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 $85,631.
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 $438.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Small-Mid Cap Fund |
| Fidelity SAI Real Estate Index Fund | 87% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $15,229,561, or, if subsequently determined to be different, the net capital gain of such year.
A total of 0.07% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $8,686 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 0.57% and 0.71% of the dividends distributed in December and June, 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 designates 99.44% and 99.30% of the dividends distributed in December and June, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9870987.108
SV8-ANN-0924
Fidelity® SAI U.S. Momentum Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI U.S. Momentum Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 99.9% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 10.4% | | | |
| Entertainment - 2.1% | | | |
| Netflix, Inc. (a) | | 19,357 | 12,162,971 |
| Take-Two Interactive Software, Inc. (a) | | 1,090 | 164,078 |
| The Walt Disney Co. | | 12,090 | 1,132,712 |
| | | | 13,459,761 |
| Interactive Media & Services - 8.3% | | | |
| Alphabet, Inc.: | | | |
| Class A | | 68,699 | 11,784,626 |
| Class C | | 59,930 | 10,376,880 |
| Meta Platforms, Inc. Class A | | 65,792 | 31,240,015 |
| Pinterest, Inc. Class A (a) | | 3,354 | 107,160 |
| | | | 53,508,681 |
| Media - 0.0% | | | |
| News Corp. Class A | | 10,892 | 300,401 |
TOTAL COMMUNICATION SERVICES | | | 67,268,843 |
| CONSUMER DISCRETIONARY - 10.0% | | | |
| Automobiles - 0.1% | | | |
| General Motors Co. | | 18,526 | 821,072 |
| Broadline Retail - 5.2% | | | |
| Amazon.com, Inc. (a) | | 176,581 | 33,017,115 |
| MercadoLibre, Inc. (a) | | 324 | 540,724 |
| | | | 33,557,839 |
| Hotels, Restaurants & Leisure - 2.3% | | | |
| Booking Holdings, Inc. | | 692 | 2,570,787 |
| Chipotle Mexican Grill, Inc. (a) | | 79,929 | 4,341,743 |
| Domino's Pizza, Inc. | | 1,121 | 480,573 |
| Doordash, Inc. (a) | | 10,400 | 1,151,488 |
| Draftkings Holdings, Inc. (a) | | 12,143 | 448,684 |
| Hilton Worldwide Holdings, Inc. | | 10,491 | 2,252,103 |
| Hyatt Hotels Corp. Class A | | 583 | 85,893 |
| Marriott International, Inc. Class A | | 6,742 | 1,532,457 |
| Royal Caribbean Cruises Ltd. | | 11,361 | 1,780,496 |
| | | | 14,644,224 |
| Household Durables - 1.2% | | | |
| D.R. Horton, Inc. | | 10,501 | 1,889,445 |
| Garmin Ltd. | | 6,982 | 1,195,668 |
| Lennar Corp. Class A | | 9,712 | 1,718,344 |
| NVR, Inc. (a) | | 118 | 1,015,683 |
| PulteGroup, Inc. | | 12,006 | 1,584,792 |
| | | | 7,403,932 |
| Specialty Retail - 0.9% | | | |
| Bath & Body Works, Inc. | | 1,665 | 61,189 |
| Dick's Sporting Goods, Inc. | | 2,768 | 598,857 |
| O'Reilly Automotive, Inc. (a) | | 1,048 | 1,180,404 |
| Ross Stores, Inc. | | 3,900 | 558,597 |
| TJX Companies, Inc. | | 15,269 | 1,725,702 |
| Tractor Supply Co. | | 1,709 | 450,014 |
| Williams-Sonoma, Inc. | | 8,612 | 1,332,104 |
| | | | 5,906,867 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Deckers Outdoor Corp. (a) | | 1,870 | 1,725,318 |
| lululemon athletica, Inc. (a) | | 842 | 217,792 |
| | | | 1,943,110 |
TOTAL CONSUMER DISCRETIONARY | | | 64,277,044 |
| CONSUMER STAPLES - 4.1% | | | |
| Beverages - 0.0% | | | |
| Celsius Holdings, Inc. (a) | | 4,434 | 207,644 |
| Consumer Staples Distribution & Retail - 4.0% | | | |
| Costco Wholesale Corp. | | 24,979 | 20,532,738 |
| Walmart, Inc. | | 76,972 | 5,283,358 |
| | | | 25,816,096 |
| Household Products - 0.1% | | | |
| Colgate-Palmolive Co. | | 6,933 | 687,684 |
TOTAL CONSUMER STAPLES | | | 26,711,424 |
| ENERGY - 0.9% | | | |
| Oil, Gas & Consumable Fuels - 0.9% | | | |
| Diamondback Energy, Inc. | | 1,230 | 248,841 |
| Marathon Petroleum Corp. | | 14,709 | 2,603,787 |
| Phillips 66 Co. | | 10,892 | 1,584,568 |
| Targa Resources Corp. | | 7,470 | 1,010,542 |
| Texas Pacific Land Corp. | | 170 | 143,633 |
| The Williams Companies, Inc. | | 9,123 | 391,742 |
| | | | 5,983,113 |
| FINANCIALS - 15.4% | | | |
| Banks - 6.0% | | | |
| Bank of America Corp. | | 52,499 | 2,116,235 |
| Citigroup, Inc. | | 63,675 | 4,131,234 |
| Fifth Third Bancorp | | 11,500 | 486,910 |
| First Citizens Bancshares, Inc. | | 197 | 411,275 |
| JPMorgan Chase & Co. | | 114,125 | 24,285,800 |
| Wells Fargo & Co. | | 117,188 | 6,953,936 |
| | | | 38,385,390 |
| Capital Markets - 2.3% | | | |
| Ameriprise Financial, Inc. | | 1,334 | 573,713 |
| Ares Management Corp. Class A, | | 7,300 | 1,118,360 |
| Bank of New York Mellon Corp. | | 12,259 | 797,693 |
| Carlyle Group LP | | 3,961 | 197,020 |
| Cboe Global Markets, Inc. | | 3,134 | 575,120 |
| Coinbase Global, Inc. (a) | | 14,994 | 3,364,054 |
| Goldman Sachs Group, Inc. | | 4,849 | 2,468,286 |
| KKR & Co., Inc. | | 37,959 | 4,686,039 |
| Robinhood Markets, Inc. (a) | | 36,708 | 755,084 |
| Tradeweb Markets, Inc. Class A | | 2,592 | 289,475 |
| | | | 14,824,844 |
| Consumer Finance - 1.1% | | | |
| Ally Financial, Inc. | | 4,284 | 192,823 |
| American Express Co. | | 24,484 | 6,195,431 |
| Capital One Financial Corp. | | 2,721 | 411,959 |
| Discover Financial Services | | 2,145 | 308,859 |
| Synchrony Financial | | 4,233 | 214,994 |
| | | | 7,324,066 |
| Financial Services - 2.7% | | | |
| Apollo Global Management, Inc. | | 18,912 | 2,369,863 |
| Berkshire Hathaway, Inc. Class B (a) | | 17,855 | 7,829,418 |
| Corebridge Financial, Inc. | | 15,278 | 451,465 |
| Corpay, Inc. (a) | | 356 | 103,888 |
| Equitable Holdings, Inc. | | 8,663 | 377,793 |
| Fiserv, Inc. (a) | | 13,801 | 2,257,430 |
| MasterCard, Inc. Class A | | 4,311 | 1,999,054 |
| Toast, Inc. (a)(b) | | 9,120 | 238,579 |
| Visa, Inc. Class A | | 7,371 | 1,958,254 |
| | | | 17,585,744 |
| Insurance - 3.3% | | | |
| AFLAC, Inc. | | 3,002 | 286,331 |
| Allstate Corp. | | 13,819 | 2,364,707 |
| American International Group, Inc. | | 9,688 | 767,580 |
| Arch Capital Group Ltd. (a) | | 10,483 | 1,004,062 |
| Arthur J. Gallagher & Co. | | 1,155 | 327,431 |
| Assurant, Inc. | | 1,945 | 340,122 |
| Brown & Brown, Inc. | | 7,197 | 715,598 |
| Chubb Ltd. | | 8,888 | 2,450,066 |
| Erie Indemnity Co. Class A | | 1,537 | 678,048 |
| Fidelity National Financial, Inc. | | 1,529 | 84,722 |
| Hartford Financial Services Group, Inc. | | 14,573 | 1,616,437 |
| Loews Corp. | | 3,755 | 300,212 |
| Progressive Corp. | | 36,996 | 7,921,584 |
| Prudential Financial, Inc. | | 2,807 | 351,773 |
| The Travelers Companies, Inc. | | 5,797 | 1,254,703 |
| W.R. Berkley Corp. | | 10,933 | 602,736 |
| | | | 21,066,112 |
TOTAL FINANCIALS | | | 99,186,156 |
| HEALTH CARE - 9.8% | | | |
| Biotechnology - 1.5% | | | |
| Amgen, Inc. | | 9,202 | 3,059,389 |
| Neurocrine Biosciences, Inc. (a) | | 1,510 | 213,771 |
| Regeneron Pharmaceuticals, Inc. (a) | | 1,656 | 1,787,139 |
| United Therapeutics Corp. (a) | | 418 | 130,955 |
| Vertex Pharmaceuticals, Inc. (a) | | 9,335 | 4,627,546 |
| | | | 9,818,800 |
| Health Care Equipment & Supplies - 2.0% | | | |
| Boston Scientific Corp. (a) | | 86,650 | 6,401,702 |
| Intuitive Surgical, Inc. (a) | | 10,201 | 4,535,467 |
| Stryker Corp. | | 6,673 | 2,185,074 |
| | | | 13,122,243 |
| Health Care Providers & Services - 1.3% | | | |
| Cardinal Health, Inc. | | 5,931 | 598,023 |
| Cencora, Inc. | | 8,145 | 1,937,533 |
| Cigna Group | | 2,331 | 812,750 |
| DaVita, Inc. (a) | | 2,011 | 274,743 |
| McKesson Corp. | | 6,900 | 4,257,438 |
| Molina Healthcare, Inc. (a) | | 478 | 163,127 |
| Universal Health Services, Inc. Class B | | 833 | 178,062 |
| | | | 8,221,676 |
| Pharmaceuticals - 5.0% | | | |
| Eli Lilly & Co. | | 37,712 | 30,330,630 |
| Merck & Co., Inc. | | 15,110 | 1,709,394 |
| | | | 32,040,024 |
TOTAL HEALTH CARE | | | 63,202,743 |
| INDUSTRIALS - 15.2% | | | |
| Aerospace & Defense - 3.9% | | | |
| Axon Enterprise, Inc. (a) | | 2,967 | 890,130 |
| General Dynamics Corp. | | 3,782 | 1,129,721 |
| General Electric Co. | | 85,580 | 14,565,716 |
| HEICO Corp. | | 723 | 174,489 |
| HEICO Corp. Class A | | 1,178 | 223,950 |
| Howmet Aerospace, Inc. | | 24,747 | 2,368,288 |
| Huntington Ingalls Industries, Inc. | | 663 | 185,627 |
| RTX Corp. | | 9,313 | 1,094,184 |
| Textron, Inc. | | 1,035 | 96,152 |
| TransDigm Group, Inc. | | 3,362 | 4,351,168 |
| | | | 25,079,425 |
| Building Products - 1.6% | | | |
| A.O. Smith Corp. | | 718 | 61,059 |
| Builders FirstSource, Inc. (a) | | 5,712 | 956,017 |
| Carlisle Companies, Inc. | | 2,644 | 1,106,726 |
| Carrier Global Corp. | | 11,867 | 808,261 |
| Lennox International, Inc. | | 1,685 | 983,198 |
| Masco Corp. | | 5,073 | 394,933 |
| Owens Corning | | 3,433 | 639,843 |
| Trane Technologies PLC | | 15,349 | 5,130,864 |
| | | | 10,080,901 |
| Commercial Services & Supplies - 1.8% | | | |
| Cintas Corp. | | 4,721 | 3,606,561 |
| Copart, Inc. | | 26,738 | 1,399,200 |
| Republic Services, Inc. | | 10,572 | 2,054,351 |
| Veralto Corp. | | 4,179 | 445,314 |
| Waste Connections, Inc. (United States) | | 1,821 | 323,719 |
| Waste Management, Inc. | | 18,204 | 3,689,223 |
| | | | 11,518,368 |
| Construction & Engineering - 0.4% | | | |
| EMCOR Group, Inc. | | 2,390 | 897,302 |
| Quanta Services, Inc. | | 6,176 | 1,638,987 |
| | | | 2,536,289 |
| Electrical Equipment - 2.2% | | | |
| AMETEK, Inc. | | 2,698 | 468,049 |
| Eaton Corp. PLC | | 28,609 | 8,719,737 |
| Emerson Electric Co. | | 7,248 | 848,813 |
| GE Vernova LLC | | 5,471 | 975,151 |
| Hubbell, Inc. | | 2,083 | 824,139 |
| Vertiv Holdings Co. | | 34,502 | 2,715,307 |
| | | | 14,551,196 |
| Ground Transportation - 1.0% | | | |
| Uber Technologies, Inc. (a) | | 101,002 | 6,511,599 |
| Machinery - 2.8% | | | |
| Caterpillar, Inc. | | 19,163 | 6,634,231 |
| Cummins, Inc. | | 994 | 290,049 |
| Dover Corp. | | 2,354 | 433,748 |
| Ingersoll Rand, Inc. | | 22,767 | 2,285,807 |
| PACCAR, Inc. | | 24,581 | 2,425,161 |
| Parker Hannifin Corp. | | 6,675 | 3,745,743 |
| Pentair PLC | | 4,604 | 404,553 |
| Westinghouse Air Brake Tech Co. | | 9,226 | 1,486,770 |
| Xylem, Inc. | | 1,907 | 254,585 |
| | | | 17,960,647 |
| Passenger Airlines - 0.0% | | | |
| Delta Air Lines, Inc. | | 1,588 | 68,316 |
| Professional Services - 0.4% | | | |
| Booz Allen Hamilton Holding Corp. Class A | | 6,508 | 932,661 |
| Broadridge Financial Solutions, Inc. | | 2,337 | 500,118 |
| Leidos Holdings, Inc. | | 6,693 | 966,469 |
| Verisk Analytics, Inc. | | 840 | 219,870 |
| | | | 2,619,118 |
| Trading Companies & Distributors - 1.1% | | | |
| Fastenal Co. | | 14,317 | 1,012,928 |
| Ferguson PLC | | 6,585 | 1,466,150 |
| United Rentals, Inc. | | 3,565 | 2,699,062 |
| W.W. Grainger, Inc. | | 1,815 | 1,772,910 |
| Watsco, Inc. | | 650 | 318,169 |
| | | | 7,269,219 |
TOTAL INDUSTRIALS | | | 98,195,078 |
| INFORMATION TECHNOLOGY - 30.9% | | | |
| Communications Equipment - 1.0% | | | |
| Arista Networks, Inc. (a) | | 14,747 | 5,110,573 |
| Juniper Networks, Inc. | | 2,485 | 93,660 |
| Motorola Solutions, Inc. | | 3,265 | 1,302,474 |
| | | | 6,506,707 |
| Electronic Equipment, Instruments & Components - 0.8% | | | |
| Amphenol Corp. Class A | | 69,002 | 4,434,069 |
| CDW Corp. | | 1,771 | 386,273 |
| Jabil, Inc. | | 2,090 | 235,480 |
| | | | 5,055,822 |
| IT Services - 1.1% | | | |
| Akamai Technologies, Inc. (a) | | 2,311 | 227,125 |
| Gartner, Inc. (a) | | 1,793 | 898,634 |
| GoDaddy, Inc. (a) | | 8,578 | 1,247,670 |
| IBM Corp. | | 24,434 | 4,694,749 |
| MongoDB, Inc. Class A (a) | | 846 | 213,497 |
| | | | 7,281,675 |
| Semiconductors & Semiconductor Equipment - 17.4% | | | |
| Advanced Micro Devices, Inc. (a) | | 76,360 | 11,032,493 |
| Applied Materials, Inc. | | 39,767 | 8,438,557 |
| Broadcom, Inc. | | 205,512 | 33,021,664 |
| Entegris, Inc. | | 2,435 | 288,036 |
| Intel Corp. | | 67,641 | 2,079,284 |
| KLA Corp. | | 6,913 | 5,689,883 |
| Lam Research Corp. | | 6,214 | 5,724,585 |
| Marvell Technology, Inc. | | 4,776 | 319,896 |
| Micron Technology, Inc. | | 48,640 | 5,341,645 |
| Monolithic Power Systems, Inc. | | 1,003 | 865,679 |
| NVIDIA Corp. | | 274,208 | 32,087,820 |
| NXP Semiconductors NV | | 4,424 | 1,164,220 |
| Qualcomm, Inc. | | 32,681 | 5,913,627 |
| Teradyne, Inc. | | 2,215 | 290,519 |
| | | | 112,257,908 |
| Software - 9.2% | | | |
| Adobe, Inc. (a) | | 3,360 | 1,853,544 |
| AppLovin Corp. Class A, (a) | | 16,067 | 1,238,766 |
| Cadence Design Systems, Inc. (a) | | 7,705 | 2,062,320 |
| Crowdstrike Holdings, Inc. (a) | | 16,866 | 3,912,237 |
| Datadog, Inc. Class A (a) | | 4,004 | 466,226 |
| Fair Isaac Corp. (a) | | 1,238 | 1,980,800 |
| HubSpot, Inc. (a) | | 612 | 304,182 |
| Intuit, Inc. | | 5,912 | 3,827,133 |
| Manhattan Associates, Inc. (a) | | 1,845 | 471,176 |
| Microsoft Corp. | | 49,978 | 20,908,296 |
| MicroStrategy, Inc. Class A (a) | | 736 | 1,188,228 |
| Oracle Corp. | | 11,913 | 1,661,268 |
| Palantir Technologies, Inc. Class A (a) | | 79,105 | 2,127,133 |
| Palo Alto Networks, Inc. (a) | | 5,319 | 1,727,239 |
| PTC, Inc. (a) | | 2,591 | 460,809 |
| Salesforce, Inc. | | 24,638 | 6,376,314 |
| Samsara, Inc. (a) | | 6,974 | 266,965 |
| ServiceNow, Inc. (a) | | 5,911 | 4,813,859 |
| Synopsys, Inc. (a) | | 4,129 | 2,305,303 |
| UiPath, Inc. Class A (a) | | 6,614 | 80,492 |
| Workday, Inc. Class A (a) | | 3,152 | 715,882 |
| Zscaler, Inc. (a) | | 1,565 | 280,683 |
| | | | 59,028,855 |
| Technology Hardware, Storage & Peripherals - 1.4% | | | |
| Dell Technologies, Inc. | | 22,969 | 2,611,116 |
| NetApp, Inc. | | 8,075 | 1,025,364 |
| Pure Storage, Inc. Class A (a) | | 10,514 | 630,104 |
| Seagate Technology Holdings PLC | | 5,467 | 558,563 |
| Super Micro Computer, Inc. (a) | | 5,011 | 3,515,968 |
| Western Digital Corp. (a) | | 12,975 | 869,974 |
| | | | 9,211,089 |
TOTAL INFORMATION TECHNOLOGY | | | 199,342,056 |
| MATERIALS - 1.4% | | | |
| Chemicals - 0.8% | | | |
| Celanese Corp. | | 1,199 | 169,239 |
| Ecolab, Inc. | | 3,906 | 901,075 |
| Linde PLC | | 6,063 | 2,749,571 |
| Sherwin-Williams Co. | | 3,709 | 1,301,117 |
| Westlake Corp. | | 268 | 39,626 |
| | | | 5,160,628 |
| Construction Materials - 0.4% | | | |
| Martin Marietta Materials, Inc. | | 2,914 | 1,729,022 |
| Vulcan Materials Co. | | 4,340 | 1,191,373 |
| | | | 2,920,395 |
| Containers & Packaging - 0.2% | | | |
| International Paper Co. | | 2,380 | 110,622 |
| Packaging Corp. of America | | 1,646 | 328,986 |
| Smurfit Westrock PLC | | 13,338 | 598,076 |
| | | | 1,037,684 |
| Metals & Mining - 0.0% | | | |
| Reliance, Inc. | | 279 | 84,972 |
TOTAL MATERIALS | | | 9,203,679 |
| REAL ESTATE - 0.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.3% | | | |
| Digital Realty Trust, Inc. | | 1,448 | 216,462 |
| Iron Mountain, Inc. | | 9,113 | 934,629 |
| Simon Property Group, Inc. | | 2,245 | 344,473 |
| Welltower, Inc. | | 3,467 | 385,704 |
| | | | 1,881,268 |
| UTILITIES - 1.5% | | | |
| Electric Utilities - 1.1% | | | |
| Constellation Energy Corp. | | 29,404 | 5,580,879 |
| NRG Energy, Inc. | | 17,542 | 1,318,632 |
| | | | 6,899,511 |
| Independent Power and Renewable Electricity Producers - 0.4% | | | |
| Vistra Corp. | | 32,826 | 2,600,476 |
TOTAL UTILITIES | | | 9,499,987 |
| TOTAL COMMON STOCKS (Cost $505,030,093) | | | 644,751,391 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $68,789) | | 69,000 | 68,788 |
| | | | |
| Money Market Funds - 0.1% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 864,832 | 865,005 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 84,792 | 84,800 |
| TOTAL MONEY MARKET FUNDS (Cost $949,805) | | | 949,805 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $506,048,687) | 645,769,984 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (75,065) |
| NET ASSETS - 100.0% | 645,694,919 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 4 | Sep 2024 | 1,111,600 | 12,085 | 12,085 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.2% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $68,788. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 1,483,312 | 161,303,415 | 161,921,618 | 109,702 | (104) | - | 865,005 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 690,275 | 17,071,143 | 17,676,618 | 917 | - | - | 84,800 | 0.0% |
| Total | 2,173,587 | 178,374,558 | 179,598,236 | 110,619 | (104) | - | 949,805 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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 | 67,268,843 | 67,268,843 | - | - |
Consumer Discretionary | 64,277,044 | 64,277,044 | - | - |
Consumer Staples | 26,711,424 | 26,711,424 | - | - |
Energy | 5,983,113 | 5,983,113 | - | - |
Financials | 99,186,156 | 99,186,156 | - | - |
Health Care | 63,202,743 | 63,202,743 | - | - |
Industrials | 98,195,078 | 98,195,078 | - | - |
Information Technology | 199,342,056 | 199,342,056 | - | - |
Materials | 9,203,679 | 9,203,679 | - | - |
Real Estate | 1,881,268 | 1,881,268 | - | - |
Utilities | 9,499,987 | 9,499,987 | - | - |
|
| U.S. Government and Government Agency Obligations | 68,788 | - | 68,788 | - |
|
| Money Market Funds | 949,805 | 949,805 | - | - |
| Total Investments in Securities: | 645,769,984 | 645,701,196 | 68,788 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 12,085 | 12,085 | - | - |
| Total Assets | 12,085 | 12,085 | - | - |
| Total Derivative Instruments: | 12,085 | 12,085 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 12,085 | 0 |
| Total Equity Risk | 12,085 | 0 |
| Total Value of Derivatives | 12,085 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $83,712) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $505,098,882) | $ | 644,820,179 | | |
Fidelity Central Funds (cost $949,805) | | 949,805 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $506,048,687) | | | $ | 645,769,984 |
| Segregated cash with brokers for derivative instruments | | | | 62,283 |
| Receivable for investments sold | | | | 38,106,041 |
| Receivable for fund shares sold | | | | 499,646 |
| Dividends receivable | | | | 122,505 |
| Distributions receivable from Fidelity Central Funds | | | | 8,271 |
| Receivable for daily variation margin on futures contracts | | | | 17,100 |
| Prepaid expenses | | | | 161 |
Total assets | | | | 684,585,991 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 38,275,430 | | |
| Payable for fund shares redeemed | | 425,195 | | |
| Accrued management fee | | 54,976 | | |
| Other payables and accrued expenses | | 50,671 | | |
| Collateral on securities loaned | | 84,800 | | |
| Total liabilities | | | | 38,891,072 |
| Net Assets | | | $ | 645,694,919 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 487,629,507 |
| Total accumulated earnings (loss) | | | | 158,065,412 |
| Net Assets | | | $ | 645,694,919 |
Net Asset Value, offering price and redemption price per share ($645,694,919 ÷ 39,514,856 shares) | | | $ | 16.34 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 3,500,734 |
| Interest | | | | 13,722 |
| Income from Fidelity Central Funds (including $917 from security lending) | | | | 110,619 |
| Total income | | | | 3,625,075 |
| Expenses | | | | |
| Management fee | $ | 446,924 | | |
| Custodian fees and expenses | | 27,110 | | |
| Independent trustees' fees and expenses | | 1,202 | | |
| Registration fees | | 27,833 | | |
| Audit fees | | 56,777 | | |
| Legal | | 6,333 | | |
| Interest | | 7,275 | | |
| Miscellaneous | | 6,517 | | |
| Total expenses | | | | 579,971 |
| Net Investment income (loss) | | | | 3,045,104 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 29,312,633 | | |
| Fidelity Central Funds | | (104) | | |
| Futures contracts | | 279,597 | | |
| Total net realized gain (loss) | | | | 29,592,126 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 87,603,267 | | |
| Futures contracts | | (18,594) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 87,584,673 |
| Net gain (loss) | | | | 117,176,799 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 120,221,903 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 3,045,104 | $ | 36,071,724 |
| Net realized gain (loss) | | 29,592,126 | | 250,894,815 |
| Change in net unrealized appreciation (depreciation) | | 87,584,673 | | (238,747,543) |
| Net increase (decrease) in net assets resulting from operations | | 120,221,903 | | 48,218,996 |
| Distributions to shareholders | | (55,039,241) | | (61,615,588) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 337,347,841 | | 56,880,947 |
| Reinvestment of distributions | | 50,595,189 | | 60,451,730 |
| Cost of shares redeemed | | (142,340,861) | | (4,293,261,374) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 245,602,169 | | (4,175,928,697) |
| Total increase (decrease) in net assets | | 310,784,831 | | (4,189,325,289) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 334,910,088 | | 4,524,235,377 |
| End of period | $ | 645,694,919 | $ | 334,910,088 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 22,317,838 | | 4,142,276 |
| Issued in reinvestment of distributions | | 4,023,283 | | 4,354,609 |
| Redeemed | | (9,948,777) | | (309,624,256) |
| Net increase (decrease) | | 16,392,344 | | (301,127,371) |
| | | | | |
Financial Highlights
Fidelity® SAI U.S. Momentum Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 14.48 | $ | 13.95 | $ | 19.05 | $ | 15.74 | $ | 13.77 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .10 | | .30 | | .19 | | .10 | | .19 |
| Net realized and unrealized gain (loss) | | 4.17 | | .52 C | | (1.81) | | 4.66 | | 2.07 |
| Total from investment operations | | 4.27 | | .82 | | (1.62) | | 4.76 | | 2.26 |
| Distributions from net investment income | | (.11) | | (.29) | | (.10) | | (.18) | | (.22) |
| Distributions from net realized gain | | (2.30) | | - | | (3.38) | | (1.27) | | (.08) |
| Total distributions | | (2.41) | | (.29) | | (3.48) | | (1.45) | | (.29) D |
| Net asset value, end of period | $ | 16.34 | $ | 14.48 | $ | 13.95 | $ | 19.05 | $ | 15.74 |
Total Return E | | | | 5.99% C | | (11.06)% | | 32.98% | | 16.76% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .13% | | .11% | | .11% | | .11% | | .11% |
| Expenses net of fee waivers, if any | | | | .11% | | .11% | | .11% | | .11% |
| Expenses net of all reductions | | .13% | | .11% | | .11% | | .11% | | .11% |
| Net investment income (loss) | | .68% | | 2.15% | | 1.25% | | .58% | | 1.36% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 645,695 | $ | 334,910 | $ | 4,524,235 | $ | 2,908,860 | $ | 1,798,387 |
Portfolio turnover rate H | | | | 85% | | 138% | | 128% | | 163% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 5.95%.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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 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 | $146,958,335 |
| Gross unrealized depreciation | (7,963,532) |
| Net unrealized appreciation (depreciation) | $138,994,803 |
| Tax Cost | $506,775,181 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $1,783,387 |
| Undistributed long-term capital gain | $17,287,224 |
| Net unrealized appreciation (depreciation) on securities and other investments | $138,994,803 |
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $2,427,968 | $ 61,615,588 |
| Long-term Capital Gains | 52,611,273 | - |
| Total | $55,039,241 | $ 61,615,588 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Momentum Index Fund | 658,992,972 | 461,919,610 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (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 .10% of the Fund's average net assets.
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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
Fidelity SAI U.S. Momentum Index Fund | Borrower | 11,765,250 | 5.57% | 7,275 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI U.S. Momentum Index Fund | 697 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI U.S. Momentum Index Fund | 79 | - | - |
9. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Momentum Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Momentum Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 16, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $27,073,137, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed 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 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9878817.107
SY1-ANN-0924
Fidelity® SAI U.S. Large Cap Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's®; and S&P®; are registered trademarks of Standard & Poor's Financial Services LLC ("S&P") and Dow Jones®; is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). The fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index or indices.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI U.S. Large Cap Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 99.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 8.8% | | | |
| Diversified Telecommunication Services - 0.7% | | | |
| AT&T, Inc. | | 2,298,707 | 44,250,110 |
| Verizon Communications, Inc. | | 1,349,475 | 54,680,727 |
| | | | 98,930,837 |
| Entertainment - 1.1% | | | |
| Electronic Arts, Inc. | | 77,996 | 11,772,716 |
| Live Nation Entertainment, Inc. (a) | | 45,666 | 4,392,613 |
| Netflix, Inc. (a) | | 138,144 | 86,802,782 |
| Take-Two Interactive Software, Inc. (a) | | 50,911 | 7,663,633 |
| The Walt Disney Co. | | 584,455 | 54,757,589 |
| Warner Bros Discovery, Inc. (a) | | 714,915 | 6,184,015 |
| | | | 171,573,348 |
| Interactive Media & Services - 6.2% | | | |
| Alphabet, Inc.: | | | |
| Class A | | 1,882,918 | 322,995,754 |
| Class C | | 1,566,941 | 271,315,834 |
| Match Group, Inc. (a) | | 85,027 | 3,242,930 |
| Meta Platforms, Inc. Class A | | 702,568 | 333,600,363 |
| | | | 931,154,881 |
| Media - 0.6% | | | |
| Charter Communications, Inc. Class A (a) | | 31,400 | 11,923,208 |
| Comcast Corp. Class A | | 1,254,858 | 51,787,990 |
| Fox Corp.: | | | |
| Class A | | 73,854 | 2,809,406 |
| Class B | | 42,640 | 1,510,735 |
| Interpublic Group of Companies, Inc. | | 121,116 | 3,896,302 |
| News Corp.: | | | |
| Class A | | 121,449 | 3,349,563 |
| Class B | | 36,885 | 1,050,854 |
| Omnicom Group, Inc. | | 62,779 | 6,154,853 |
| Paramount Global Class B (b) | | 158,221 | 1,806,884 |
| | | | 84,289,795 |
| Wireless Telecommunication Services - 0.2% | | | |
| T-Mobile U.S., Inc. | | 165,302 | 30,131,249 |
TOTAL COMMUNICATION SERVICES | | | 1,316,080,110 |
| CONSUMER DISCRETIONARY - 10.0% | | | |
| Automobile Components - 0.1% | | | |
| Aptiv PLC (a) | | 87,239 | 6,053,514 |
| BorgWarner, Inc. | | 72,920 | 2,574,805 |
| | | | 8,628,319 |
| Automobiles - 1.6% | | | |
| Ford Motor Co. | | 1,257,252 | 13,603,467 |
| General Motors Co. | | 365,785 | 16,211,591 |
| Tesla, Inc. (a) | | 889,525 | 206,432,067 |
| | | | 236,247,125 |
| Broadline Retail - 3.8% | | | |
| Amazon.com, Inc. (a) | | 2,935,958 | 548,965,427 |
| eBay, Inc. | | 162,234 | 9,021,833 |
| Etsy, Inc. (a) | | 37,425 | 2,437,865 |
| | | | 560,425,125 |
| Distributors - 0.1% | | | |
| Genuine Parts Co. | | 44,662 | 6,570,227 |
| LKQ Corp. | | 85,631 | 3,553,687 |
| Pool Corp. | | 12,290 | 4,596,952 |
| | | | 14,720,866 |
| Hotels, Restaurants & Leisure - 1.8% | | | |
| Airbnb, Inc. Class A (a) | | 141,545 | 19,754,020 |
| Booking Holdings, Inc. | | 10,877 | 40,408,164 |
| Caesars Entertainment, Inc. (a) | | 69,264 | 2,767,097 |
| Carnival Corp. (a) | | 323,854 | 5,395,408 |
| Chipotle Mexican Grill, Inc. (a) | | 440,295 | 23,916,824 |
| Darden Restaurants, Inc. | | 38,272 | 5,598,811 |
| Domino's Pizza, Inc. | | 11,183 | 4,794,152 |
| Expedia Group, Inc. (a) | | 40,701 | 5,196,297 |
| Hilton Worldwide Holdings, Inc. | | 80,165 | 17,209,021 |
| Las Vegas Sands Corp. | | 117,051 | 4,643,413 |
| Marriott International, Inc. Class A | | 76,919 | 17,483,689 |
| McDonald's Corp. | | 231,050 | 61,320,670 |
| MGM Resorts International (a) | | 80,549 | 3,461,191 |
| Norwegian Cruise Line Holdings Ltd. (a) | | 137,315 | 2,530,715 |
| Royal Caribbean Cruises Ltd. | | 75,906 | 11,895,988 |
| Starbucks Corp. | | 363,151 | 28,307,620 |
| Wynn Resorts Ltd. | | 30,222 | 2,502,986 |
| Yum! Brands, Inc. | | 90,296 | 11,994,018 |
| | | | 269,180,084 |
| Household Durables - 0.4% | | | |
| D.R. Horton, Inc. | | 95,023 | 17,097,488 |
| Garmin Ltd. | | 49,262 | 8,436,118 |
| Lennar Corp. Class A | | 78,509 | 13,890,597 |
| Mohawk Industries, Inc. (a) | | 16,965 | 2,732,553 |
| NVR, Inc. (a) | | 1,004 | 8,641,910 |
| PulteGroup, Inc. | | 67,441 | 8,902,212 |
| | | | 59,700,878 |
| Leisure Products - 0.0% | | | |
| Hasbro, Inc. | | 41,883 | 2,699,778 |
| Specialty Retail - 1.9% | | | |
| AutoZone, Inc. (a) | | 5,547 | 17,382,578 |
| Bath & Body Works, Inc. | | 71,584 | 2,630,712 |
| Best Buy Co., Inc. | | 61,736 | 5,341,399 |
| CarMax, Inc. (a) | | 50,468 | 4,261,518 |
| Lowe's Companies, Inc. | | 183,446 | 45,037,827 |
| O'Reilly Automotive, Inc. (a) | | 18,881 | 21,266,426 |
| Ross Stores, Inc. | | 107,499 | 15,397,082 |
| The Home Depot, Inc. | | 317,722 | 116,972,532 |
| TJX Companies, Inc. | | 363,073 | 41,034,510 |
| Tractor Supply Co. | | 34,565 | 9,101,656 |
| Ulta Beauty, Inc. (a) | | 15,369 | 5,607,994 |
| | | | 284,034,234 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Deckers Outdoor Corp. (a) | | 8,229 | 7,592,322 |
| lululemon athletica, Inc. (a) | | 36,736 | 9,502,134 |
| NIKE, Inc. Class B | | 388,397 | 29,075,399 |
| Ralph Lauren Corp. Class A | | 12,496 | 2,194,173 |
| Tapestry, Inc. | | 73,787 | 2,958,121 |
| | | | 51,322,149 |
TOTAL CONSUMER DISCRETIONARY | | | 1,486,958,558 |
| CONSUMER STAPLES - 5.8% | | | |
| Beverages - 1.3% | | | |
| Brown-Forman Corp. Class B (non-vtg.) (b) | | 57,294 | 2,587,397 |
| Constellation Brands, Inc. Class A (sub. vtg.) | | 51,616 | 12,654,179 |
| Keurig Dr. Pepper, Inc. | | 334,640 | 11,471,459 |
| Molson Coors Beverage Co. Class B | | 58,384 | 3,085,594 |
| Monster Beverage Corp. (a) | | 227,404 | 11,699,936 |
| PepsiCo, Inc. | | 440,751 | 76,104,475 |
| The Coca-Cola Co. | | 1,242,974 | 82,956,085 |
| | | | 200,559,125 |
| Consumer Staples Distribution & Retail - 1.9% | | | |
| Costco Wholesale Corp. | | 142,185 | 116,876,070 |
| Dollar General Corp. | | 70,432 | 8,479,308 |
| Dollar Tree, Inc. (a) | | 66,446 | 6,932,976 |
| Kroger Co. | | 214,613 | 11,696,409 |
| Sysco Corp. | | 159,659 | 12,237,862 |
| Target Corp. | | 148,322 | 22,309,112 |
| Walgreens Boots Alliance, Inc. | | 229,173 | 2,720,284 |
| Walmart, Inc. | | 1,369,474 | 94,000,695 |
| | | | 275,252,716 |
| Food Products - 0.7% | | | |
| Archer Daniels Midland Co. | | 158,515 | 9,829,515 |
| Bunge Global SA | | 45,394 | 4,776,811 |
| Campbell Soup Co. | | 63,182 | 2,960,709 |
| Conagra Brands, Inc. | | 153,266 | 4,647,025 |
| General Mills, Inc. | | 180,991 | 12,151,736 |
| Hormel Foods Corp. | | 93,216 | 2,993,166 |
| Kellanova | | 84,394 | 4,907,511 |
| Lamb Weston Holdings, Inc. | | 46,212 | 2,773,644 |
| McCormick & Co., Inc. (non-vtg.) | | 80,711 | 6,215,554 |
| Mondelez International, Inc. | | 430,022 | 29,392,004 |
| The Hershey Co. | | 47,326 | 9,345,938 |
| The J.M. Smucker Co. | | 34,042 | 4,015,254 |
| The Kraft Heinz Co. | | 253,035 | 8,909,362 |
| Tyson Foods, Inc. Class A | | 91,694 | 5,584,165 |
| | | | 108,502,394 |
| Household Products - 1.2% | | | |
| Church & Dwight Co., Inc. | | 78,393 | 7,683,298 |
| Colgate-Palmolive Co. | | 263,020 | 26,088,954 |
| Kimberly-Clark Corp. | | 107,948 | 14,578,377 |
| Procter & Gamble Co. | | 756,636 | 121,636,803 |
| The Clorox Co. | | 39,819 | 5,253,321 |
| | | | 175,240,753 |
| Personal Care Products - 0.1% | | | |
| Estee Lauder Companies, Inc. Class A | | 74,713 | 7,442,162 |
| Kenvue, Inc. | | 613,898 | 11,350,974 |
| | | | 18,793,136 |
| Tobacco - 0.6% | | | |
| Altria Group, Inc. | | 550,650 | 26,987,357 |
| Philip Morris International, Inc. | | 498,382 | 57,393,671 |
| | | | 84,381,028 |
TOTAL CONSUMER STAPLES | | | 862,729,152 |
| ENERGY - 3.7% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Baker Hughes Co. Class A | | 319,951 | 12,388,503 |
| Halliburton Co. | | 283,834 | 9,843,363 |
| Schlumberger Ltd. | | 458,243 | 22,128,554 |
| | | | 44,360,420 |
| Oil, Gas & Consumable Fuels - 3.4% | | | |
| APA Corp. | | 115,561 | 3,604,348 |
| Chevron Corp. | | 549,482 | 88,175,377 |
| ConocoPhillips Co. | | 374,940 | 41,693,328 |
| Coterra Energy, Inc. | | 238,596 | 6,155,777 |
| Devon Energy Corp. | | 202,616 | 9,529,030 |
| Diamondback Energy, Inc. | | 57,173 | 11,566,670 |
| EOG Resources, Inc. | | 184,245 | 23,362,266 |
| EQT Corp. | | 190,301 | 6,567,288 |
| Exxon Mobil Corp. | | 1,438,161 | 170,551,513 |
| Hess Corp. | | 88,607 | 13,594,086 |
| Kinder Morgan, Inc. | | 619,005 | 13,079,576 |
| Marathon Oil Corp. | | 180,835 | 5,072,422 |
| Marathon Petroleum Corp. | | 112,954 | 19,995,117 |
| Occidental Petroleum Corp. | | 213,187 | 12,966,033 |
| ONEOK, Inc. | | 187,104 | 15,591,376 |
| Phillips 66 Co. | | 135,915 | 19,772,914 |
| Targa Resources Corp. | | 71,077 | 9,615,297 |
| The Williams Companies, Inc. | | 390,713 | 16,777,216 |
| Valero Energy Corp. | | 104,833 | 16,953,593 |
| | | | 504,623,227 |
TOTAL ENERGY | | | 548,983,647 |
| FINANCIALS - 13.0% | | | |
| Banks - 3.3% | | | |
| Bank of America Corp. | | 2,181,229 | 87,925,341 |
| Citigroup, Inc. | | 611,516 | 39,675,158 |
| Citizens Financial Group, Inc. | | 145,885 | 6,224,913 |
| Fifth Third Bancorp | | 219,292 | 9,284,823 |
| Huntington Bancshares, Inc. | | 464,640 | 6,946,368 |
| JPMorgan Chase & Co. | | 920,640 | 195,912,192 |
| KeyCorp | | 302,311 | 4,876,276 |
| M&T Bank Corp. | | 53,492 | 9,209,718 |
| PNC Financial Services Group, Inc. | | 127,565 | 23,102,022 |
| Regions Financial Corp. | | 293,623 | 6,568,347 |
| Truist Financial Corp. | | 429,000 | 19,172,010 |
| U.S. Bancorp | | 500,279 | 22,452,522 |
| Wells Fargo & Co. | | 1,117,690 | 66,323,725 |
| | | | 497,673,415 |
| Capital Markets - 3.0% | | | |
| Ameriprise Financial, Inc. | | 31,843 | 13,694,719 |
| Bank of New York Mellon Corp. | | 239,742 | 15,600,012 |
| BlackRock, Inc. | | 44,783 | 39,252,300 |
| Blackstone, Inc. | | 229,116 | 32,568,839 |
| Cboe Global Markets, Inc. | | 33,714 | 6,186,856 |
| Charles Schwab Corp. | | 478,624 | 31,201,499 |
| CME Group, Inc. | | 115,437 | 22,361,301 |
| FactSet Research Systems, Inc. | | 12,221 | 5,048,373 |
| Franklin Resources, Inc. | | 95,972 | 2,194,880 |
| Goldman Sachs Group, Inc. | | 103,382 | 52,624,539 |
| Intercontinental Exchange, Inc. | | 183,887 | 27,869,914 |
| Invesco Ltd. | | 143,969 | 2,484,905 |
| KKR & Co., Inc. | | 213,375 | 26,341,144 |
| MarketAxess Holdings, Inc. | | 12,129 | 2,711,195 |
| Moody's Corp. | | 50,346 | 22,981,942 |
| Morgan Stanley | | 401,191 | 41,406,923 |
| MSCI, Inc. | | 25,400 | 13,735,304 |
| NASDAQ, Inc. | | 132,630 | 8,976,398 |
| Northern Trust Corp. | | 65,598 | 5,815,263 |
| Raymond James Financial, Inc. | | 59,809 | 6,937,844 |
| S&P Global, Inc. | | 102,622 | 49,743,962 |
| State Street Corp. | | 96,588 | 8,207,082 |
| T. Rowe Price Group, Inc. | | 71,593 | 8,176,637 |
| | | | 446,121,831 |
| Consumer Finance - 0.6% | | | |
| American Express Co. | | 182,177 | 46,098,068 |
| Capital One Financial Corp. | | 122,505 | 18,547,257 |
| Discover Financial Services | | 80,343 | 11,568,589 |
| Synchrony Financial | | 128,746 | 6,539,009 |
| | | | 82,752,923 |
| Financial Services - 4.0% | | | |
| Berkshire Hathaway, Inc. Class B (a) | | 580,393 | 254,502,331 |
| Corpay, Inc. (a) | | 22,530 | 6,574,705 |
| Fidelity National Information Services, Inc. | | 178,339 | 13,701,785 |
| Fiserv, Inc. (a) | | 187,580 | 30,682,461 |
| Global Payments, Inc. | | 81,840 | 8,318,218 |
| Jack Henry & Associates, Inc. | | 23,373 | 4,008,002 |
| MasterCard, Inc. Class A | | 263,206 | 122,051,254 |
| PayPal Holdings, Inc. (a) | | 335,367 | 22,060,441 |
| Visa, Inc. Class A | | 504,665 | 134,074,351 |
| | | | 595,973,548 |
| Insurance - 2.1% | | | |
| AFLAC, Inc. | | 165,775 | 15,811,620 |
| Allstate Corp. | | 84,612 | 14,478,805 |
| American International Group, Inc. | | 212,780 | 16,858,559 |
| Aon PLC | | 69,710 | 22,900,432 |
| Arch Capital Group Ltd. (a) | | 119,896 | 11,483,639 |
| Arthur J. Gallagher & Co. | | 70,052 | 19,859,041 |
| Assurant, Inc. | | 16,638 | 2,909,487 |
| Brown & Brown, Inc. | | 75,905 | 7,547,234 |
| Chubb Ltd. | | 130,182 | 35,885,970 |
| Cincinnati Financial Corp. | | 50,197 | 6,556,732 |
| Everest Re Group Ltd. | | 13,934 | 5,474,251 |
| Globe Life, Inc. | | 26,873 | 2,492,202 |
| Hartford Financial Services Group, Inc. | | 94,818 | 10,517,213 |
| Loews Corp. | | 58,203 | 4,653,330 |
| Marsh & McLennan Companies, Inc. | | 157,966 | 35,158,493 |
| MetLife, Inc. | | 191,512 | 14,717,697 |
| Principal Financial Group, Inc. | | 69,141 | 5,635,683 |
| Progressive Corp. | | 187,771 | 40,205,527 |
| Prudential Financial, Inc. | | 115,094 | 14,423,580 |
| The Travelers Companies, Inc. | | 73,416 | 15,890,159 |
| W.R. Berkley Corp. | | 97,131 | 5,354,832 |
| Willis Towers Watson PLC | | 32,777 | 9,252,292 |
| | | | 318,066,778 |
TOTAL FINANCIALS | | | 1,940,588,495 |
| HEALTH CARE - 11.8% | | | |
| Biotechnology - 2.0% | | | |
| AbbVie, Inc. | | 566,126 | 104,914,470 |
| Amgen, Inc. | | 171,978 | 57,177,526 |
| Biogen, Inc. (a) | | 46,678 | 9,951,750 |
| Gilead Sciences, Inc. | | 399,412 | 30,379,277 |
| Incyte Corp. (a) | | 51,030 | 3,320,522 |
| Moderna, Inc. (a) | | 106,894 | 12,743,903 |
| Regeneron Pharmaceuticals, Inc. (a) | | 34,003 | 36,695,698 |
| Vertex Pharmaceuticals, Inc. (a) | | 82,729 | 41,010,420 |
| | | | 296,193,566 |
| Health Care Equipment & Supplies - 2.3% | | | |
| Abbott Laboratories | | 557,717 | 59,084,539 |
| Align Technology, Inc. (a) | | 22,447 | 5,205,010 |
| Baxter International, Inc. | | 163,384 | 5,852,415 |
| Becton, Dickinson & Co. | | 92,655 | 22,335,414 |
| Boston Scientific Corp. (a) | | 471,321 | 34,821,195 |
| DexCom, Inc. (a) | | 127,499 | 8,646,982 |
| Edwards Lifesciences Corp. (a) | | 193,191 | 12,180,693 |
| GE Healthcare Technologies, Inc. | | 136,098 | 11,517,974 |
| Hologic, Inc. (a) | | 74,818 | 6,105,897 |
| IDEXX Laboratories, Inc. (a) | | 26,477 | 12,606,229 |
| Insulet Corp. (a) | | 22,456 | 4,364,324 |
| Intuitive Surgical, Inc. (a) | | 113,716 | 50,559,271 |
| Medtronic PLC | | 425,693 | 34,191,662 |
| ResMed, Inc. | | 47,098 | 10,043,649 |
| Solventum Corp. | | 44,221 | 2,603,732 |
| STERIS PLC | | 31,680 | 7,563,917 |
| Stryker Corp. | | 108,695 | 35,592,178 |
| Teleflex, Inc. | | 15,120 | 3,340,310 |
| The Cooper Companies, Inc. | | 63,722 | 5,947,174 |
| Zimmer Biomet Holdings, Inc. | | 65,957 | 7,344,312 |
| | | | 339,906,877 |
| Health Care Providers & Services - 2.6% | | | |
| Cardinal Health, Inc. | | 78,090 | 7,873,815 |
| Cencora, Inc. | | 53,073 | 12,625,005 |
| Centene Corp. (a) | | 171,094 | 13,160,550 |
| Cigna Group | | 91,074 | 31,754,772 |
| CVS Health Corp. | | 402,478 | 24,281,498 |
| DaVita, Inc. (a) | | 16,560 | 2,262,427 |
| Elevance Health, Inc. | | 74,513 | 39,643,151 |
| HCA Holdings, Inc. | | 62,138 | 22,559,201 |
| Henry Schein, Inc. (a) | | 40,983 | 2,948,317 |
| Humana, Inc. | | 38,634 | 13,970,441 |
| Labcorp Holdings, Inc. | | 27,028 | 5,822,912 |
| McKesson Corp. | | 41,672 | 25,712,457 |
| Molina Healthcare, Inc. (a) | | 18,788 | 6,411,781 |
| Quest Diagnostics, Inc. | | 35,621 | 5,068,868 |
| UnitedHealth Group, Inc. | | 295,072 | 170,008,684 |
| Universal Health Services, Inc. Class B | | 19,134 | 4,090,084 |
| | | | 388,193,963 |
| Life Sciences Tools & Services - 1.3% | | | |
| Agilent Technologies, Inc. | | 93,955 | 13,285,237 |
| Bio-Rad Laboratories, Inc. Class A (a) | | 6,528 | 2,208,814 |
| Bio-Techne Corp. | | 50,527 | 4,122,498 |
| Charles River Laboratories International, Inc. (a) | | 16,516 | 4,031,556 |
| Danaher Corp. | | 211,340 | 58,558,087 |
| IQVIA Holdings, Inc. (a) | | 58,414 | 14,383,279 |
| Mettler-Toledo International, Inc. (a) | | 6,847 | 10,414,492 |
| Revvity, Inc. | | 39,563 | 4,969,508 |
| Thermo Fisher Scientific, Inc. | | 122,376 | 75,058,096 |
| Waters Corp. (a) | | 19,019 | 6,395,709 |
| West Pharmaceutical Services, Inc. | | 23,354 | 7,150,294 |
| | | | 200,577,570 |
| Pharmaceuticals - 3.6% | | | |
| Bristol-Myers Squibb Co. | | 649,887 | 30,908,626 |
| Catalent, Inc. (a) | | 58,093 | 3,447,239 |
| Eli Lilly & Co. | | 255,943 | 205,847,277 |
| Johnson & Johnson | | 771,563 | 121,791,220 |
| Merck & Co., Inc. | | 811,998 | 91,861,334 |
| Pfizer, Inc. | | 1,816,690 | 55,481,713 |
| Viatris, Inc. | | 381,729 | 4,603,652 |
| Zoetis, Inc. Class A | | 146,286 | 26,337,331 |
| | | | 540,278,392 |
TOTAL HEALTH CARE | | | 1,765,150,368 |
| INDUSTRIALS - 8.4% | | | |
| Aerospace & Defense - 2.0% | | | |
| Axon Enterprise, Inc. (a) | | 22,743 | 6,823,127 |
| General Dynamics Corp. | | 72,885 | 21,771,478 |
| General Electric Co. | | 350,926 | 59,727,605 |
| Howmet Aerospace, Inc. | | 124,319 | 11,897,328 |
| Huntington Ingalls Industries, Inc. | | 12,657 | 3,543,707 |
| L3Harris Technologies, Inc. | | 60,808 | 13,796,727 |
| Lockheed Martin Corp. | | 68,460 | 37,099,843 |
| Northrop Grumman Corp. | | 44,598 | 21,599,703 |
| RTX Corp. | | 426,230 | 50,077,763 |
| Textron, Inc. | | 61,135 | 5,679,442 |
| The Boeing Co. (a) | | 185,003 | 35,261,572 |
| TransDigm Group, Inc. | | 17,940 | 23,218,307 |
| | | | 290,496,602 |
| Air Freight & Logistics - 0.4% | | | |
| C.H. Robinson Worldwide, Inc. | | 37,588 | 3,347,211 |
| Expeditors International of Washington, Inc. | | 45,280 | 5,651,850 |
| FedEx Corp. | | 72,579 | 21,937,003 |
| United Parcel Service, Inc. Class B | | 233,839 | 30,485,590 |
| | | | 61,421,654 |
| Building Products - 0.5% | | | |
| A.O. Smith Corp. | | 38,775 | 3,297,426 |
| Allegion PLC | | 28,030 | 3,834,784 |
| Builders FirstSource, Inc. (a) | | 39,133 | 6,549,690 |
| Carrier Global Corp. | | 268,638 | 18,296,934 |
| Johnson Controls International PLC | | 215,973 | 15,450,708 |
| Masco Corp. | | 70,606 | 5,496,677 |
| Trane Technologies PLC | | 72,564 | 24,256,694 |
| | | | 77,182,913 |
| Commercial Services & Supplies - 0.6% | | | |
| Cintas Corp. | | 27,648 | 21,121,413 |
| Copart, Inc. | | 280,500 | 14,678,565 |
| Republic Services, Inc. | | 65,620 | 12,751,278 |
| Rollins, Inc. | | 90,041 | 4,313,864 |
| Veralto Corp. | | 70,435 | 7,505,554 |
| Waste Management, Inc. | | 117,011 | 23,713,449 |
| | | | 84,084,123 |
| Construction & Engineering - 0.1% | | | |
| Quanta Services, Inc. | | 46,932 | 12,454,814 |
| Electrical Equipment - 0.7% | | | |
| AMETEK, Inc. | | 74,201 | 12,872,389 |
| Eaton Corp. PLC | | 128,170 | 39,064,934 |
| Emerson Electric Co. | | 183,405 | 21,478,560 |
| GE Vernova LLC | | 87,871 | 15,662,127 |
| Generac Holdings, Inc. (a) | | 19,464 | 3,030,156 |
| Hubbell, Inc. | | 17,211 | 6,809,532 |
| Rockwell Automation, Inc. | | 36,549 | 10,184,379 |
| | | | 109,102,077 |
| Ground Transportation - 1.0% | | | |
| CSX Corp. | | 626,729 | 21,998,188 |
| J.B. Hunt Transport Services, Inc. | | 26,138 | 4,525,795 |
| Norfolk Southern Corp. | | 72,428 | 18,075,132 |
| Old Dominion Freight Lines, Inc. | | 57,124 | 12,006,322 |
| Uber Technologies, Inc. (a) | | 669,892 | 43,187,937 |
| Union Pacific Corp. | | 195,601 | 48,260,635 |
| | | | 148,054,009 |
| Industrial Conglomerates - 0.4% | | | |
| 3M Co. | | 177,407 | 22,628,263 |
| Honeywell International, Inc. | | 208,765 | 42,744,634 |
| | | | 65,372,897 |
| Machinery - 1.6% | | | |
| Caterpillar, Inc. | | 156,788 | 54,280,006 |
| Cummins, Inc. | | 43,852 | 12,796,014 |
| Deere & Co. | | 82,994 | 30,872,108 |
| Dover Corp. | | 44,057 | 8,117,943 |
| Fortive Corp. | | 112,857 | 8,108,775 |
| IDEX Corp. | | 24,269 | 5,059,601 |
| Illinois Tool Works, Inc. | | 87,053 | 21,526,466 |
| Ingersoll Rand, Inc. | | 129,339 | 12,985,636 |
| Nordson Corp. | | 17,419 | 4,360,498 |
| Otis Worldwide Corp. | | 129,624 | 12,249,468 |
| PACCAR, Inc. | | 168,038 | 16,578,629 |
| Parker Hannifin Corp. | | 41,209 | 23,124,842 |
| Pentair PLC | | 53,232 | 4,677,496 |
| Snap-On, Inc. | | 16,902 | 4,851,381 |
| Stanley Black & Decker, Inc. | | 49,341 | 5,211,396 |
| Westinghouse Air Brake Tech Co. | | 56,545 | 9,112,227 |
| Xylem, Inc. | | 77,725 | 10,376,288 |
| | | | 244,288,774 |
| Passenger Airlines - 0.1% | | | |
| American Airlines Group, Inc. (a)(b) | | 209,983 | 2,234,219 |
| Delta Air Lines, Inc. | | 206,909 | 8,901,225 |
| Southwest Airlines Co. | | 191,902 | 5,169,840 |
| United Airlines Holdings, Inc. (a) | | 105,431 | 4,788,676 |
| | | | 21,093,960 |
| Professional Services - 0.7% | | | |
| Automatic Data Processing, Inc. | | 131,219 | 34,460,734 |
| Broadridge Financial Solutions, Inc. | | 37,891 | 8,108,674 |
| Dayforce, Inc. (a)(b) | | 50,536 | 2,995,774 |
| Equifax, Inc. | | 39,632 | 11,071,992 |
| Jacobs Solutions, Inc. | | 40,145 | 5,875,221 |
| Leidos Holdings, Inc. | | 43,348 | 6,259,451 |
| Paychex, Inc. | | 102,716 | 13,149,702 |
| Paycom Software, Inc. | | 15,387 | 2,566,398 |
| Verisk Analytics, Inc. | | 45,744 | 11,973,492 |
| | | | 96,461,438 |
| Trading Companies & Distributors - 0.3% | | | |
| Fastenal Co. | | 183,549 | 12,986,092 |
| United Rentals, Inc. | | 21,349 | 16,163,328 |
| W.W. Grainger, Inc. | | 14,018 | 13,692,923 |
| | | | 42,842,343 |
TOTAL INDUSTRIALS | | | 1,252,855,604 |
| INFORMATION TECHNOLOGY - 31.3% | | | |
| Communications Equipment - 0.8% | | | |
| Arista Networks, Inc. (a) | | 81,374 | 28,200,160 |
| Cisco Systems, Inc. | | 1,298,133 | 62,894,544 |
| F5, Inc. (a) | | 18,815 | 3,831,487 |
| Juniper Networks, Inc. | | 104,150 | 3,925,414 |
| Motorola Solutions, Inc. | | 53,468 | 21,329,455 |
| | | | 120,181,060 |
| Electronic Equipment, Instruments & Components - 0.6% | | | |
| Amphenol Corp. Class A | | 385,091 | 24,745,948 |
| CDW Corp. | | 43,087 | 9,397,706 |
| Corning, Inc. | | 247,168 | 9,889,192 |
| Jabil, Inc. | | 38,665 | 4,356,386 |
| Keysight Technologies, Inc. (a) | | 55,964 | 7,810,895 |
| TE Connectivity Ltd. | | 98,171 | 15,150,730 |
| Teledyne Technologies, Inc. (a) | | 15,203 | 6,413,538 |
| Trimble, Inc. (a) | | 78,294 | 4,270,155 |
| Zebra Technologies Corp. Class A (a) | | 16,485 | 5,789,367 |
| | | | 87,823,917 |
| IT Services - 1.1% | | | |
| Accenture PLC Class A | | 201,568 | 66,642,412 |
| Akamai Technologies, Inc. (a) | | 48,836 | 4,799,602 |
| Cognizant Technology Solutions Corp. Class A | | 159,402 | 12,063,543 |
| EPAM Systems, Inc. (a) | | 18,588 | 3,998,836 |
| Gartner, Inc. (a) | | 24,887 | 12,473,116 |
| GoDaddy, Inc. (a) | | 45,182 | 6,571,722 |
| IBM Corp. | | 294,499 | 56,585,038 |
| VeriSign, Inc. (a) | | 27,781 | 5,195,325 |
| | | | 168,329,594 |
| Semiconductors & Semiconductor Equipment - 11.3% | | | |
| Advanced Micro Devices, Inc. (a) | | 518,184 | 74,867,224 |
| Analog Devices, Inc. | | 158,985 | 36,785,949 |
| Applied Materials, Inc. | | 266,379 | 56,525,624 |
| Broadcom, Inc. | | 1,396,562 | 224,399,582 |
| Enphase Energy, Inc. (a) | | 43,623 | 5,021,444 |
| First Solar, Inc. (a) | | 34,317 | 7,412,129 |
| Intel Corp. | | 1,364,779 | 41,953,306 |
| KLA Corp. | | 43,164 | 35,526,993 |
| Lam Research Corp. | | 41,914 | 38,612,853 |
| Microchip Technology, Inc. | | 173,249 | 15,381,046 |
| Micron Technology, Inc. | | 355,017 | 38,987,967 |
| Monolithic Power Systems, Inc. | | 15,604 | 13,467,656 |
| NVIDIA Corp. | | 7,886,104 | 922,831,890 |
| NXP Semiconductors NV | | 81,971 | 21,571,488 |
| ON Semiconductor Corp. (a) | | 137,934 | 10,793,336 |
| Qorvo, Inc. (a) | | 30,953 | 3,708,169 |
| Qualcomm, Inc. | | 358,424 | 64,856,823 |
| Skyworks Solutions, Inc. | | 51,440 | 5,844,613 |
| Teradyne, Inc. | | 50,049 | 6,564,427 |
| Texas Instruments, Inc. | | 291,894 | 59,490,916 |
| | | | 1,684,603,435 |
| Software - 10.3% | | | |
| Adobe, Inc. (a) | | 143,627 | 79,231,835 |
| ANSYS, Inc. (a) | | 27,988 | 8,777,876 |
| Autodesk, Inc. (a) | | 68,581 | 16,975,169 |
| Cadence Design Systems, Inc. (a) | | 87,245 | 23,351,997 |
| Crowdstrike Holdings, Inc. (a) | | 73,952 | 17,153,906 |
| Fair Isaac Corp. (a) | | 7,922 | 12,675,200 |
| Fortinet, Inc. (a) | | 203,284 | 11,798,603 |
| Gen Digital, Inc. | | 176,659 | 4,591,367 |
| Intuit, Inc. | | 89,760 | 58,106,136 |
| Microsoft Corp. | | 2,382,758 | 996,826,809 |
| Oracle Corp. | | 511,074 | 71,269,269 |
| Palo Alto Networks, Inc. (a) | | 103,584 | 33,636,832 |
| PTC, Inc. (a) | | 38,389 | 6,827,484 |
| Roper Technologies, Inc. | | 34,317 | 18,694,186 |
| Salesforce, Inc. | | 311,379 | 80,584,885 |
| ServiceNow, Inc. (a) | | 65,722 | 53,523,340 |
| Synopsys, Inc. (a) | | 48,905 | 27,304,640 |
| Tyler Technologies, Inc. (a) | | 13,611 | 7,732,545 |
| | | | 1,529,062,079 |
| Technology Hardware, Storage & Peripherals - 7.2% | | | |
| Apple, Inc. | | 4,621,068 | 1,026,246,774 |
| Hewlett Packard Enterprise Co. | | 416,780 | 8,298,090 |
| HP, Inc. | | 276,689 | 9,985,706 |
| NetApp, Inc. | | 66,159 | 8,400,870 |
| Seagate Technology Holdings PLC | | 62,610 | 6,396,864 |
| Super Micro Computer, Inc. (a) | | 16,145 | 11,328,139 |
| Western Digital Corp. (a) | | 104,686 | 7,019,196 |
| | | | 1,077,675,639 |
TOTAL INFORMATION TECHNOLOGY | | | 4,667,675,724 |
| MATERIALS - 2.2% | | | |
| Chemicals - 1.5% | | | |
| Air Products & Chemicals, Inc. | | 71,272 | 18,805,117 |
| Albemarle Corp. (b) | | 37,724 | 3,533,607 |
| Celanese Corp. | | 32,216 | 4,547,288 |
| CF Industries Holdings, Inc. | | 58,602 | 4,476,607 |
| Corteva, Inc. | | 223,447 | 12,535,377 |
| Dow, Inc. | | 225,444 | 12,279,935 |
| DuPont de Nemours, Inc. | | 134,041 | 11,219,232 |
| Eastman Chemical Co. | | 37,717 | 3,897,298 |
| Ecolab, Inc. | | 81,476 | 18,795,698 |
| FMC Corp. | | 39,948 | 2,331,365 |
| International Flavors & Fragrances, Inc. | | 81,867 | 8,144,129 |
| Linde PLC | | 154,112 | 69,889,792 |
| LyondellBasell Industries NV Class A | | 82,466 | 8,202,068 |
| PPG Industries, Inc. | | 75,455 | 9,581,276 |
| Sherwin-Williams Co. | | 74,784 | 26,234,227 |
| The Mosaic Co. | | 103,204 | 3,072,383 |
| | | | 217,545,399 |
| Construction Materials - 0.1% | | | |
| Martin Marietta Materials, Inc. | | 19,761 | 11,725,189 |
| Vulcan Materials Co. | | 42,397 | 11,638,400 |
| | | | 23,363,589 |
| Containers & Packaging - 0.2% | | | |
| Amcor PLC | | 463,402 | 4,879,623 |
| Avery Dennison Corp. | | 25,822 | 5,598,984 |
| Ball Corp. | | 99,508 | 6,351,596 |
| International Paper Co. | | 111,363 | 5,176,152 |
| Packaging Corp. of America | | 28,578 | 5,711,885 |
| Smurfit Westrock PLC | | 166,477 | 7,464,829 |
| | | | 35,183,069 |
| Metals & Mining - 0.4% | | | |
| Freeport-McMoRan, Inc. | | 460,538 | 20,913,031 |
| Newmont Corp. | | 369,698 | 18,141,081 |
| Nucor Corp. | | 76,865 | 12,524,383 |
| Steel Dynamics, Inc. | | 47,351 | 6,308,100 |
| | | | 57,886,595 |
TOTAL MATERIALS | | | 333,978,652 |
| REAL ESTATE - 2.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.1% | | | |
| Alexandria Real Estate Equities, Inc. | | 50,461 | 5,918,571 |
| American Tower Corp. | | 149,712 | 32,996,525 |
| AvalonBay Communities, Inc. | | 45,518 | 9,327,549 |
| BXP, Inc. | | 46,386 | 3,307,786 |
| Camden Property Trust (SBI) | | 34,155 | 3,782,666 |
| Crown Castle, Inc. | | 139,311 | 15,335,355 |
| Digital Realty Trust, Inc. | | 104,034 | 15,552,043 |
| Equinix, Inc. | | 30,427 | 24,044,632 |
| Equity Residential (SBI) | | 110,556 | 7,698,014 |
| Essex Property Trust, Inc. | | 20,584 | 5,729,762 |
| Extra Space Storage, Inc. | | 67,878 | 10,834,686 |
| Federal Realty Investment Trust (SBI) | | 23,894 | 2,667,765 |
| Healthpeak Properties, Inc. | | 225,644 | 4,923,552 |
| Host Hotels & Resorts, Inc. | | 226,034 | 3,957,855 |
| Invitation Homes, Inc. | | 184,576 | 6,509,996 |
| Iron Mountain, Inc. | | 93,977 | 9,638,281 |
| Kimco Realty Corp. | | 213,959 | 4,649,329 |
| Mid-America Apartment Communities, Inc. | | 37,454 | 5,234,946 |
| Prologis, Inc. | | 296,821 | 37,414,287 |
| Public Storage Operating Co. | | 50,702 | 15,003,736 |
| Realty Income Corp. | | 279,162 | 16,032,274 |
| Regency Centers Corp. | | 52,785 | 3,554,542 |
| SBA Communications Corp. Class A | | 34,449 | 7,562,933 |
| Simon Property Group, Inc. | | 104,493 | 16,033,406 |
| UDR, Inc. | | 97,126 | 3,891,839 |
| Ventas, Inc. | | 129,770 | 7,064,679 |
| VICI Properties, Inc. | | 334,423 | 10,454,063 |
| Welltower, Inc. | | 191,680 | 21,324,400 |
| Weyerhaeuser Co. | | 233,719 | 7,422,915 |
| | | | 317,868,387 |
| Real Estate Management & Development - 0.2% | | | |
| CBRE Group, Inc. (a) | | 96,695 | 10,898,493 |
| CoStar Group, Inc. (a) | | 130,918 | 10,214,222 |
| | | | 21,112,715 |
TOTAL REAL ESTATE | | | 338,981,102 |
| UTILITIES - 2.4% | | | |
| Electric Utilities - 1.6% | | | |
| Alliant Energy Corp. | | 82,191 | 4,574,751 |
| American Electric Power Co., Inc. | | 168,987 | 16,581,004 |
| Constellation Energy Corp. | | 101,063 | 19,181,757 |
| Duke Energy Corp. | | 247,412 | 27,034,709 |
| Edison International | | 123,347 | 9,868,993 |
| Entergy Corp. | | 68,452 | 7,938,378 |
| Evergy, Inc. | | 73,715 | 4,275,470 |
| Eversource Energy | | 112,940 | 7,330,935 |
| Exelon Corp. | | 320,611 | 11,926,729 |
| FirstEnergy Corp. | | 166,030 | 6,958,317 |
| NextEra Energy, Inc. | | 658,680 | 50,316,565 |
| NRG Energy, Inc. | | 66,836 | 5,024,062 |
| PG&E Corp. | | 685,119 | 12,503,422 |
| Pinnacle West Capital Corp. | | 36,462 | 3,120,783 |
| PPL Corp. | | 236,482 | 7,028,245 |
| Southern Co. | | 350,533 | 29,276,516 |
| Xcel Energy, Inc. | | 178,144 | 10,382,232 |
| | | | 233,322,868 |
| Gas Utilities - 0.0% | | | |
| Atmos Energy Corp. | | 48,361 | 6,184,405 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| The AES Corp. | | 227,880 | 4,053,985 |
| Vistra Corp. | | 104,710 | 8,295,126 |
| | | | 12,349,111 |
| Multi-Utilities - 0.6% | | | |
| Ameren Corp. | | 85,498 | 6,777,426 |
| CenterPoint Energy, Inc. | | 205,099 | 5,691,497 |
| CMS Energy Corp. | | 95,744 | 6,204,211 |
| Consolidated Edison, Inc. | | 110,865 | 10,811,555 |
| Dominion Energy, Inc. | | 268,733 | 14,366,466 |
| DTE Energy Co. | | 66,345 | 7,996,563 |
| NiSource, Inc. | | 143,715 | 4,491,094 |
| Public Service Enterprise Group, Inc. | | 159,675 | 12,737,275 |
| Sempra | | 202,882 | 16,242,733 |
| WEC Energy Group, Inc. | | 101,258 | 8,714,263 |
| | | | 94,033,083 |
| Water Utilities - 0.1% | | | |
| American Water Works Co., Inc. | | 62,460 | 8,891,806 |
TOTAL UTILITIES | | | 354,781,273 |
| TOTAL COMMON STOCKS (Cost $6,924,675,140) | | | 14,868,762,685 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $2,264,056) | | 2,271,000 | 2,264,012 |
| | | | |
| Money Market Funds - 0.3% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 32,960,786 | 32,967,378 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 10,592,915 | 10,593,974 |
| TOTAL MONEY MARKET FUNDS (Cost $43,561,352) | | | 43,561,352 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $6,970,500,548) | 14,914,588,049 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | (3,536,807) |
| NET ASSETS - 100.0% | 14,911,051,242 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 158 | Sep 2024 | 43,908,200 | 521,065 | 521,065 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $1,943,002. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 5,681,263 | 3,101,806,385 | 3,074,522,099 | 1,993,582 | 1,829 | - | 32,967,378 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 11,223,374 | 192,573,119 | 193,202,519 | 100,841 | - | - | 10,593,974 | 0.0% |
| Total | 16,904,637 | 3,294,379,504 | 3,267,724,618 | 2,094,423 | 1,829 | - | 43,561,352 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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 | 1,316,080,110 | 1,316,080,110 | - | - |
Consumer Discretionary | 1,486,958,558 | 1,486,958,558 | - | - |
Consumer Staples | 862,729,152 | 862,729,152 | - | - |
Energy | 548,983,647 | 548,983,647 | - | - |
Financials | 1,940,588,495 | 1,940,588,495 | - | - |
Health Care | 1,765,150,368 | 1,765,150,368 | - | - |
Industrials | 1,252,855,604 | 1,252,855,604 | - | - |
Information Technology | 4,667,675,724 | 4,667,675,724 | - | - |
Materials | 333,978,652 | 333,978,652 | - | - |
Real Estate | 338,981,102 | 338,981,102 | - | - |
Utilities | 354,781,273 | 354,781,273 | - | - |
|
| U.S. Government and Government Agency Obligations | 2,264,012 | - | 2,264,012 | - |
|
| Money Market Funds | 43,561,352 | 43,561,352 | - | - |
| Total Investments in Securities: | 14,914,588,049 | 14,912,324,037 | 2,264,012 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 521,065 | 521,065 | - | - |
| Total Assets | 521,065 | 521,065 | - | - |
| Total Derivative Instruments: | 521,065 | 521,065 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 521,065 | 0 |
| Total Equity Risk | 521,065 | 0 |
| Total Value of Derivatives | 521,065 | 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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $10,721,461) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $6,926,939,196) | $ | 14,871,026,697 | | |
Fidelity Central Funds (cost $43,561,352) | | 43,561,352 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $6,970,500,548) | | | $ | 14,914,588,049 |
| Cash | | | | 9,998 |
| Receivable for fund shares sold | | | | 6,460,763 |
| Dividends receivable | | | | 8,742,526 |
| Distributions receivable from Fidelity Central Funds | | | | 127,404 |
| Receivable for daily variation margin on futures contracts | | | | 635,064 |
| Prepaid expenses | | | | 3,199 |
| Receivable from investment adviser for expense reductions | | | | 28,565 |
| Other receivables | | | | 49,986 |
Total assets | | | | 14,930,645,554 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 10,058 | | |
| Payable for fund shares redeemed | | 8,613,525 | | |
| Accrued management fee | | 182,703 | | |
| Other payables and accrued expenses | | 163,876 | | |
| Collateral on securities loaned | | 10,624,150 | | |
| Total liabilities | | | | 19,594,312 |
| Net Assets | | | $ | 14,911,051,242 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 6,909,366,756 |
| Total accumulated earnings (loss) | | | | 8,001,684,486 |
| Net Assets | | | $ | 14,911,051,242 |
Net Asset Value, offering price and redemption price per share ($14,911,051,242 ÷ 647,727,544 shares) | | | $ | 23.02 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 181,883,924 |
| Interest | | | | 99,710 |
| Income from Fidelity Central Funds (including $100,841 from security lending) | | | | 2,094,423 |
| Total income | | | | 184,078,057 |
| Expenses | | | | |
| Management fee | $ | 1,842,847 | | |
| Custodian fees and expenses | | 184,806 | | |
| Independent trustees' fees and expenses | | 34,925 | | |
| Registration fees | | 74,238 | | |
| Audit fees | | 56,814 | | |
| Legal | | 18,657 | | |
| Interest | | 312,358 | | |
| Miscellaneous | | 51,484 | | |
| Total expenses before reductions | | 2,576,129 | | |
| Expense reductions | | (384,432) | | |
| Total expenses after reductions | | | | 2,191,697 |
| Net Investment income (loss) | | | | 181,886,360 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 62,037,632 | | |
| Fidelity Central Funds | | 1,829 | | |
| Futures contracts | | 7,496,374 | | |
| Total net realized gain (loss) | | | | 69,535,835 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 2,364,984,019 | | |
| Futures contracts | | (256,764) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 2,364,727,255 |
| Net gain (loss) | | | | 2,434,263,090 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 2,616,149,450 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 181,886,360 | $ | 176,131,497 |
| Net realized gain (loss) | | 69,535,835 | | 1,099,626,174 |
| Change in net unrealized appreciation (depreciation) | | 2,364,727,255 | | (125,052,184) |
| Net increase (decrease) in net assets resulting from operations | | 2,616,149,450 | | 1,150,705,487 |
| Distributions to shareholders | | (724,077,694) | | (1,089,852,286) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 9,140,804,990 | | 10,289,960,268 |
| Reinvestment of distributions | | 711,398,422 | | 1,074,867,889 |
| Cost of shares redeemed | | (7,003,466,492) | | (13,382,025,198) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 2,848,736,920 | | (2,017,197,041) |
| Total increase (decrease) in net assets | | 4,740,808,676 | | (1,956,343,840) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 10,170,242,566 | | 12,126,586,406 |
| End of period | $ | 14,911,051,242 | $ | 10,170,242,566 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 452,527,025 | | 566,651,200 |
| Issued in reinvestment of distributions | | 38,357,677 | | 59,907,420 |
| Redeemed | | (344,834,208) | | (735,080,816) |
| Net increase (decrease) | | 146,050,494 | | (108,522,196) |
| | | | | |
Financial Highlights
Fidelity® SAI U.S. Large Cap Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 20.27 | $ | 19.87 | $ | 23.16 | $ | 17.68 | $ | 16.09 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .30 | | .30 | | .30 | | .31 | | .32 |
| Net realized and unrealized gain (loss) | | 3.84 | | 1.99 | | (1.23) | | 5.94 | | 1.56 |
| Total from investment operations | | 4.14 | | 2.29 | | (.93) | | 6.25 | | 1.88 |
| Distributions from net investment income | | (.32) | | (.33) | | (.34) | | (.35) | | (.29) |
| Distributions from net realized gain | | (1.07) | | (1.56) | | (2.02) | | (.42) | | - |
| Total distributions | | (1.39) | | (1.89) | | (2.36) | | (.77) | | (.29) |
| Net asset value, end of period | $ | 23.02 | $ | 20.27 | $ | 19.87 | $ | 23.16 | $ | 17.68 |
Total Return C | | | | 12.98% | | (4.68)% | | 36.43% | | 11.84% |
Ratios to Average Net Assets B,D,E | | | | | | | | | | |
| Expenses before reductions | | .02% | | .03% | | .02% | | .02% | | .02% |
| Expenses net of fee waivers, if any | | | | .03% | | .02% | | .02% | | .02% |
| Expenses net of all reductions | | .02% | | .03% | | .02% | | .02% | | .02% |
| Net investment income (loss) | | 1.48% | | 1.66% | | 1.43% | | 1.52% | | 1.97% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 14,911,051 | $ | 10,170,243 | $ | 12,126,586 | $ | 13,967,770 | $ | 15,406,444 |
Portfolio turnover rate F | | | | 75% | | 75% | | 86% | | 80% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI U.S. Large Cap Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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 and losses deferred due to wash sales and excise tax regulations.
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 | $8,047,846,818 |
| Gross unrealized depreciation | (197,848,580) |
| Net unrealized appreciation (depreciation) | $7,849,998,238 |
| Tax Cost | $7,064,589,811 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $171,768,768 |
| Net unrealized appreciation (depreciation) on securities and other investments | $7,849,998,238 |
The Fund intends to elect to defer to its next fiscal year $20,082,521 of capital losses recognized during the period November 1, 2023 to July 31, 2024.
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $167,590,242 | $189,184,878 |
| Long-term Capital Gains | 556,487,452 | 900,667,408 |
| Total | $724,077,694 | $1,089,852,286 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Large Cap Index Fund | 7,248,348,623 | 4,935,100,069 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .015% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
| Fidelity SAI U.S. Large Cap Index Fund | Borrower | 59,384,647 | 5.57% | 312,358 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI U.S. Large Cap Index Fund | 20,067 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI U.S. Large Cap Index Fund | 9,550 | - | - |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .015% of average net assets. This reimbursement will remain in place through November 30, 2025. 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 $384,432.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity SAI U.S. Large Cap Index Fund | 22% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
| Fund | % of shares held |
| Fidelity SAI U.S. Large Cap Index Fund | 31% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Large Cap Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Large Cap Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $5,865,994, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $2,739,640 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 93% and 91% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 95.99% and 91.46% of the dividends distributed in September and December 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 designates 2.34% and 5.76% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9870993.108
SV9-ANN-0924
Fidelity® SAI U.S. Quality Index Fund
Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
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 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
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. © 2024 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.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® SAI U.S. Quality Index Fund
Schedule of Investments July 31, 2024
Showing Percentage of Net Assets
| Common Stocks - 99.8% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 12.0% | | | |
| Interactive Media & Services - 11.4% | | | |
| Alphabet, Inc. Class A | | 5,404,117 | 927,022,230 |
| Meta Platforms, Inc. Class A | | 1,453,223 | 690,033,877 |
| | | | 1,617,056,107 |
| Media - 0.6% | | | |
| The Trade Desk, Inc. Class A (a) | | 843,335 | 75,798,950 |
TOTAL COMMUNICATION SERVICES | | | 1,692,855,057 |
| CONSUMER DISCRETIONARY - 5.8% | | | |
| Broadline Retail - 0.4% | | | |
| Amazon.com, Inc. (a) | | 258,721 | 48,375,653 |
| Hotels, Restaurants & Leisure - 2.5% | | | |
| Booking Holdings, Inc. | | 68,179 | 253,285,667 |
| Wingstop, Inc. | | 56,854 | 21,256,574 |
| Yum! Brands, Inc. | | 547,897 | 72,777,159 |
| | | | 347,319,400 |
| Household Durables - 0.7% | | | |
| Garmin Ltd. | | 299,377 | 51,268,311 |
| NVR, Inc. (a) | | 6,133 | 52,789,675 |
| | | | 104,057,986 |
| Specialty Retail - 1.9% | | | |
| AutoZone, Inc. (a) | | 33,745 | 105,746,369 |
| O'Reilly Automotive, Inc. (a) | | 115,229 | 129,787,032 |
| Williams-Sonoma, Inc. (b) | | 251,762 | 38,942,546 |
| | | | 274,475,947 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Deckers Outdoor Corp. (a) | | 50,291 | 46,399,985 |
TOTAL CONSUMER DISCRETIONARY | | | 820,628,971 |
| CONSUMER STAPLES - 6.9% | | | |
| Beverages - 3.6% | | | |
| The Coca-Cola Co. | | 7,586,752 | 506,339,828 |
| Household Products - 2.1% | | | |
| Colgate-Palmolive Co. | | 1,608,645 | 159,561,498 |
| Procter & Gamble Co. | | 834,246 | 134,113,387 |
| | | | 293,674,885 |
| Tobacco - 1.2% | | | |
| Altria Group, Inc. | | 3,446,918 | 168,933,451 |
TOTAL CONSUMER STAPLES | | | 968,948,164 |
| ENERGY - 0.2% | | | |
| Oil, Gas & Consumable Fuels - 0.2% | | | |
| Texas Pacific Land Corp. (b) | | 36,482 | 30,823,642 |
| FINANCIALS - 10.8% | | | |
| Capital Markets - 0.9% | | | |
| Ameriprise Financial, Inc. | | 195,622 | 84,131,154 |
| Hamilton Lane, Inc. Class A | | 73,884 | 10,666,633 |
| LPL Financial | | 145,027 | 32,126,381 |
| | | | 126,924,168 |
| Financial Services - 7.6% | | | |
| Equitable Holdings, Inc. | | 615,716 | 26,851,375 |
| MasterCard, Inc. Class A | | 1,160,802 | 538,275,495 |
| Visa, Inc. Class A | | 1,955,130 | 519,419,387 |
| | | | 1,084,546,257 |
| Insurance - 2.3% | | | |
| Arch Capital Group Ltd. (a) | | 725,356 | 69,474,598 |
| Erie Indemnity Co. Class A | | 48,610 | 21,444,302 |
| Kinsale Capital Group, Inc. (b) | | 43,021 | 19,663,608 |
| Marsh & McLennan Companies, Inc. | | 958,721 | 213,382,533 |
| | | | 323,965,041 |
TOTAL FINANCIALS | | | 1,535,435,466 |
| HEALTH CARE - 15.0% | | | |
| Biotechnology - 4.9% | | | |
| AbbVie, Inc. | | 1,098,675 | 203,606,451 |
| Regeneron Pharmaceuticals, Inc. (a) | | 201,148 | 217,076,910 |
| United Therapeutics Corp. (a) | | 91,868 | 28,781,326 |
| Vertex Pharmaceuticals, Inc. (a) | | 486,622 | 241,228,258 |
| | | | 690,692,945 |
| Health Care Equipment & Supplies - 1.0% | | | |
| Edwards Lifesciences Corp. (a) | | 1,147,481 | 72,348,677 |
| IDEXX Laboratories, Inc. (a) | | 162,637 | 77,434,728 |
| | | | 149,783,405 |
| Health Care Technology - 0.4% | | | |
| Veeva Systems, Inc. Class A (a) | | 286,547 | 54,996,966 |
| Life Sciences Tools & Services - 0.6% | | | |
| Medpace Holdings, Inc. (a) | | 45,960 | 17,580,619 |
| Mettler-Toledo International, Inc. (a) | | 42,154 | 64,117,499 |
| | | | 81,698,118 |
| Pharmaceuticals - 8.1% | | | |
| Johnson & Johnson | | 3,516,583 | 555,092,627 |
| Merck & Co., Inc. | | 3,770,541 | 426,561,303 |
| Zoetis, Inc. Class A | | 898,320 | 161,733,533 |
| | | | 1,143,387,463 |
TOTAL HEALTH CARE | | | 2,120,558,897 |
| INDUSTRIALS - 7.0% | | | |
| Building Products - 0.1% | | | |
| A.O. Smith Corp. | | 241,168 | 20,508,927 |
| Commercial Services & Supplies - 0.9% | | | |
| Cintas Corp. | | 168,127 | 128,438,940 |
| Machinery - 2.0% | | | |
| Allison Transmission Holdings, Inc. | | 176,957 | 15,676,621 |
| Graco, Inc. | | 328,801 | 27,964,525 |
| Illinois Tool Works, Inc. | | 530,468 | 131,174,127 |
| Otis Worldwide Corp. | | 794,131 | 75,045,380 |
| Snap-On, Inc. | | 103,722 | 29,771,326 |
| | | | 279,631,979 |
| Professional Services - 2.8% | | | |
| Automatic Data Processing, Inc. | | 799,868 | 210,061,334 |
| Paychex, Inc. | | 623,737 | 79,850,811 |
| Paycom Software, Inc. | | 94,747 | 15,802,852 |
| Paylocity Holding Corp. (a)(b) | | 85,318 | 12,803,672 |
| Robert Half, Inc. | | 206,068 | 13,227,505 |
| Verisk Analytics, Inc. | | 273,346 | 71,548,316 |
| | | | 403,294,490 |
| Trading Companies & Distributors - 1.2% | | | |
| Fastenal Co. | | 1,116,561 | 78,996,691 |
| W.W. Grainger, Inc. | | 86,102 | 84,105,295 |
| | | | 163,101,986 |
TOTAL INDUSTRIALS | | | 994,976,322 |
| INFORMATION TECHNOLOGY - 40.9% | | | |
| Communications Equipment - 1.2% | | | |
| Arista Networks, Inc. (a) | | 492,625 | 170,719,194 |
| IT Services - 0.8% | | | |
| Gartner, Inc. (a) | | 152,280 | 76,321,213 |
| VeriSign, Inc. (a) | | 171,085 | 31,994,606 |
| | | | 108,315,819 |
| Semiconductors & Semiconductor Equipment - 16.1% | | | |
| Applied Materials, Inc. | | 1,625,474 | 344,925,583 |
| KLA Corp. | | 264,252 | 217,497,894 |
| Lam Research Corp. | | 256,160 | 235,984,838 |
| Lattice Semiconductor Corp. (a)(b) | | 261,379 | 13,853,087 |
| Microchip Technology, Inc. | | 1,056,757 | 93,818,886 |
| NVIDIA Corp. | | 10,288,834 | 1,203,999,355 |
| Qualcomm, Inc. | | 951,355 | 172,147,687 |
| | | | 2,282,227,330 |
| Software - 12.8% | | | |
| Adobe, Inc. (a) | | 883,197 | 487,215,625 |
| ANSYS, Inc. (a) | | 170,017 | 53,322,432 |
| Autodesk, Inc. (a) | | 418,409 | 103,564,596 |
| Cadence Design Systems, Inc. (a) | | 531,738 | 142,324,993 |
| Check Point Software Technologies Ltd. (a) | | 179,280 | 32,888,916 |
| CommVault Systems, Inc. (a) | | 84,890 | 12,975,437 |
| Dolby Laboratories, Inc. Class A | | 114,653 | 9,030,070 |
| Fair Isaac Corp. (a) | | 48,796 | 78,073,600 |
| Fortinet, Inc. (a) | | 1,245,660 | 72,298,106 |
| Manhattan Associates, Inc. (a) | | 120,322 | 30,727,832 |
| Microsoft Corp. | | 1,402,271 | 586,640,073 |
| Palo Alto Networks, Inc. (a) | | 616,052 | 200,050,566 |
| Qualys, Inc. (a) | | 72,148 | 10,760,153 |
| | | | 1,819,872,399 |
| Technology Hardware, Storage & Peripherals - 10.0% | | | |
| Apple, Inc. | | 6,172,591 | 1,370,809,007 |
| NetApp, Inc. | | 402,336 | 51,088,625 |
| | | | 1,421,897,632 |
TOTAL INFORMATION TECHNOLOGY | | | 5,803,032,374 |
| MATERIALS - 0.1% | | | |
| Metals & Mining - 0.1% | | | |
| Royal Gold, Inc. (b) | | 130,491 | 18,023,417 |
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.1% | | | |
| Iron Mountain, Inc. | | 573,249 | 58,792,417 |
| Simon Property Group, Inc. | | 638,371 | 97,951,646 |
| | | | 156,744,063 |
| TOTAL COMMON STOCKS (Cost $8,921,909,475) | | | 14,142,026,373 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% 8/22/24 (d) (Cost $1,791,505) | | 1,797,000 | 1,791,470 |
| | | | |
| Money Market Funds - 0.5% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (e) | | 27,065,482 | 27,070,895 |
| Fidelity Securities Lending Cash Central Fund 5.39% (e)(f) | | 42,157,763 | 42,161,979 |
| TOTAL MONEY MARKET FUNDS (Cost $69,232,874) | | | 69,232,874 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $8,992,933,854) | 14,213,050,717 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (36,227,619) |
| NET ASSETS - 100.0% | 14,176,823,098 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME Micro E-mini NASDAQ 100 Index Contracts (United States) | 89 | Sep 2024 | 34,719,345 | (397,136) | (397,136) |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.2% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $1,791,470. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 26,917,616 | 1,411,997,157 | 1,411,843,657 | 1,390,600 | (221) | - | 27,070,895 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 24,275,950 | 368,306,971 | 350,420,942 | 12,027 | - | - | 42,161,979 | 0.2% |
| Total | 51,193,566 | 1,780,304,128 | 1,762,264,599 | 1,402,627 | (221) | - | 69,232,874 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, 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 | 1,692,855,057 | 1,692,855,057 | - | - |
Consumer Discretionary | 820,628,971 | 820,628,971 | - | - |
Consumer Staples | 968,948,164 | 968,948,164 | - | - |
Energy | 30,823,642 | 30,823,642 | - | - |
Financials | 1,535,435,466 | 1,535,435,466 | - | - |
Health Care | 2,120,558,897 | 2,120,558,897 | - | - |
Industrials | 994,976,322 | 994,976,322 | - | - |
Information Technology | 5,803,032,374 | 5,803,032,374 | - | - |
Materials | 18,023,417 | 18,023,417 | - | - |
Real Estate | 156,744,063 | 156,744,063 | - | - |
|
| U.S. Government and Government Agency Obligations | 1,791,470 | - | 1,791,470 | - |
|
| Money Market Funds | 69,232,874 | 69,232,874 | - | - |
| Total Investments in Securities: | 14,213,050,717 | 14,211,259,247 | 1,791,470 | - |
Derivative Instruments: Liabilities | | | | |
Futures Contracts | (397,136) | (397,136) | - | - |
| Total Liabilities | (397,136) | (397,136) | - | - |
| Total Derivative Instruments: | (397,136) | (397,136) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. 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) | 0 | (397,136) |
| Total Equity Risk | 0 | (397,136) |
| Total Value of Derivatives | 0 | (397,136) |
(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).
Financial Statements
| Statement of Assets and Liabilities |
As of July 31, 2024 |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $42,165,756) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $8,923,700,980) | $ | 14,143,817,843 | | |
Fidelity Central Funds (cost $69,232,874) | | 69,232,874 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $8,992,933,854) | | | $ | 14,213,050,717 |
| Segregated cash with brokers for derivative instruments | | | | 55,747 |
| Receivable for fund shares sold | | | | 490,310 |
| Dividends receivable | | | | 6,022,479 |
| Distributions receivable from Fidelity Central Funds | | | | 136,848 |
| Receivable for daily variation margin on futures contracts | | | | 1,012,820 |
| Prepaid expenses | | | | 2,660 |
| Other receivables | | | | 3,483 |
Total assets | | | | 14,220,775,064 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 537,832 | | |
| Accrued management fee | | 1,197,242 | | |
| Other payables and accrued expenses | | 68,237 | | |
| Collateral on securities loaned | | 42,148,655 | | |
| Total liabilities | | | | 43,951,966 |
| Net Assets | | | $ | 14,176,823,098 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 7,534,119,190 |
| Total accumulated earnings (loss) | | | | 6,642,703,908 |
| Net Assets | | | $ | 14,176,823,098 |
Net Asset Value, offering price and redemption price per share ($14,176,823,098 ÷ 617,447,213 shares) | | | $ | 22.96 |
| Statement of Operations |
| Year ended July 31, 2024 |
| Investment Income | | | | |
| Dividends | | | $ | 153,452,516 |
| Interest | | | | 111,779 |
| Income from Fidelity Central Funds (including $12,027 from security lending) | | | | 1,402,627 |
| Total income | | | | 154,966,922 |
| Expenses | | | | |
| Management fee | $ | 13,330,347 | | |
| Custodian fees and expenses | | 91,245 | | |
| Independent trustees' fees and expenses | | 39,357 | | |
| Registration fees | | 33,568 | | |
| Audit fees | | 56,484 | | |
| Legal | | 14,234 | | |
| Interest | | 490,722 | | |
| Miscellaneous | | 59,402 | | |
| Total expenses before reductions | | 14,115,359 | | |
| Expense reductions | | (59,124) | | |
| Total expenses after reductions | | | | 14,056,235 |
| Net Investment income (loss) | | | | 140,910,687 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 1,576,689,608 | | |
| Fidelity Central Funds | | (221) | | |
| Futures contracts | | 6,289,763 | | |
| Total net realized gain (loss) | | | | 1,582,979,150 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 1,405,138,185 | | |
| Futures contracts | | (2,513,836) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 1,402,624,349 |
| Net gain (loss) | | | | 2,985,603,499 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 3,126,514,186 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2024 | | Year ended July 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 140,910,687 | $ | 159,567,532 |
| Net realized gain (loss) | | 1,582,979,150 | | 72,409,466 |
| Change in net unrealized appreciation (depreciation) | | 1,402,624,349 | | 1,425,225,146 |
| Net increase (decrease) in net assets resulting from operations | | 3,126,514,186 | | 1,657,202,144 |
| Distributions to shareholders | | (317,078,481) | | (151,433,952) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 1,055,257,787 | | 2,689,324,785 |
| Reinvestment of distributions | | 312,161,986 | | 148,959,461 |
| Cost of shares redeemed | | (3,073,561,656) | | (2,679,474,559) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (1,706,141,883) | | 158,809,687 |
| Total increase (decrease) in net assets | | 1,103,293,822 | | 1,664,577,879 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 13,073,529,276 | | 11,408,951,397 |
| End of period | $ | 14,176,823,098 | $ | 13,073,529,276 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 53,032,086 | | 165,452,298 |
| Issued in reinvestment of distributions | | 16,907,890 | | 9,395,183 |
| Redeemed | | (151,753,582) | | (167,559,660) |
| Net increase (decrease) | | (81,813,606) | | 7,287,821 |
| | | | | |
Financial Highlights
Fidelity® SAI U.S. Quality Index Fund |
| |
| Years ended July 31, | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 18.70 | $ | 16.49 | $ | 19.24 | $ | 15.96 | $ | 15.19 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .21 | | .23 | | .23 | | .22 | | .26 |
| Net realized and unrealized gain (loss) | | 4.51 | | 2.20 | | (1.36) | | 4.58 | | 2.45 |
| Total from investment operations | | 4.72 | | 2.43 | | (1.13) | | 4.80 | | 2.71 |
| Distributions from net investment income | | (.23) | | (.22) | | (.20) | | (.28) | | (.24) |
| Distributions from net realized gain | | (.23) | | - | | (1.42) | | (1.25) | | (1.69) |
| Total distributions | | (.46) | | (.22) | | (1.62) | | (1.52) C | | (1.94) C |
| Net asset value, end of period | $ | 22.96 | $ | 18.70 | $ | 16.49 | $ | 19.24 | $ | 15.96 |
Total Return D | | | | 14.97% | | (6.55)% | | 32.64% | | 20.14% |
Ratios to Average Net Assets B,E,F | | | | | | | | | | |
| Expenses before reductions | | .11% | | .11% | | .10% | | .10% | | .11% |
| Expenses net of fee waivers, if any | | | | .11% | | .10% | | .10% | | .11% |
| Expenses net of all reductions | | .11% | | .11% | | .10% | | .10% | | .11% |
| Net investment income (loss) | | 1.06% | | 1.43% | | 1.30% | | 1.30% | | 1.83% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 14,176,823 | $ | 13,073,529 | $ | 11,408,951 | $ | 10,136,091 | $ | 8,332,335 |
Portfolio turnover rate G | | | | 58% | | 47% | | 71% | | 60% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal distributions per share do not sum due to rounding.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Financial Statements
For the period ended July 31, 2024
1. Organization.
Fidelity SAI U.S. Quality Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. 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.
Funds may invest 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 Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in 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 July 31, 2024 is included at the end of the Fund's Schedule of Investments.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 July 31, 2024, 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.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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 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 | $5,328,921,179 |
| Gross unrealized depreciation | (122,056,473) |
| Net unrealized appreciation (depreciation) | $5,206,864,706 |
| Tax Cost | $9,006,186,011 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $319,615,850 |
| Undistributed long-term capital gain | $1,116,223,352 |
| Net unrealized appreciation (depreciation) on securities and other investments | $5,206,864,706 |
The tax character of distributions paid was as follows:
| | July 31, 2024 | July 31, 2023 |
| Ordinary Income | $157,333,391 | $151,433,952 |
| Long-term Capital Gains | 159,745,090 | - |
| Total | $317,078,481 | $151,433,952 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Quality Index Fund | 7,048,339,828 | 8,742,789,576 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
| Fidelity SAI U.S. Quality Index Fund | Borrower | 66,665,244 | 5.57% | 463,809 |
Interfund Trades. Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI U.S. Quality Index Fund | 22,141 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. 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. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS ($) | Security Lending Income From Securities Loaned to NFS ($) | Value of Securities Loaned to NFS at Period End ($) |
| Fidelity SAI U.S. Quality Index Fund | 1,262 | 2 | - |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance ($) | Weighted Average Interest Rate | Interest Expense ($) |
| Fidelity SAI U.S. Quality Index Fund | 27,698,000 | 5.83% | 26,913 |
10. Expense Reductions.
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 $59,124.
11. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity SAI U.S. Quality Index Fund | 88% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
| Fund | % of shares held |
| Fidelity SAI U.S. Quality Index Fund | 93% |
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Quality Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Quality Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2024, and 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 then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2024, $1,246,055,051, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| Proposal 1 |
| To elect a Board of Trustees. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 378,729,502,260.01 | 97.58 |
| Withheld | 9,407,876,478.96 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 378,454,868,010.95 | 97.51 |
| Withheld | 9,682,510,728.02 | 2.49 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Christine J. Thompson |
| Affirmative | 378,837,121,274.52 | 97.60 |
| Withheld | 9,300,257,464.45 | 2.40 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 378,262,110,794.85 | 97.46 |
| Withheld | 9,875,267,944.12 | 2.54 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Laura M. Bishop |
| Affirmative | 380,482,113,171.06 | 98.03 |
| Withheld | 7,655,265,567.91 | 1.97 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 380,016,034,008.12 | 97.91 |
| Withheld | 8,121,344,730.85 | 2.09 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| John Engler |
| Affirmative | 379,432,488,394.20 | 97.76 |
| Withheld | 8,704,890,344.77 | 2.24 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert F. Gartland |
| Affirmative | 378,741,819,600.60 | 97.58 |
| Withheld | 9,395,559,138.37 | 2.42 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Robert W. Helm |
| Affirmative | 380,389,324,755.07 | 98.00 |
| Withheld | 7,748,053,983.90 | 2.00 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 378,427,694,151.67 | 97.50 |
| Withheld | 9,709,684,587.30 | 2.50 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 377,842,228,145.18 | 97.35 |
| Withheld | 10,295,150,593.79 | 2.65 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Mark A. Murray |
| Affirmative | 380,158,432,703.37 | 97.94 |
| Withheld | 7,978,946,035.60 | 2.06 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 380,522,113,360.24 | 98.04 |
| Withheld | 7,615,265,378.73 | 1.96 |
| TOTAL | 388,137,378,738.97 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9868208.108
SV4-ANN-0924
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 16.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 17.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Salem Street Trust
|
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | September 20, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | September 20, 2024 |
|
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer (Principal Financial Officer) |
|
|
Date: | September 20, 2024 |
