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 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
Date of reporting period: | February 28, 2021 |
Item 1.
Reports to Stockholders
Fidelity® Small Cap Enhanced Index Fund
February 28, 2021
Contents
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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. © 2021 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Small Cap Enhanced Index Fund | 53.78% | 14.87% | 11.63% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Small Cap Enhanced Index Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the Russell 2000® Index performed over the same period.
| Period Ending Values | ||
|
| $30,060 | Fidelity® Small Cap Enhanced Index Fund |
|
| $30,669 | Russell 2000® Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 31.29% for the 12 months ending February 28, 2021, a volatile but productive period for U.S. risk assets. The early-2020 outbreak and spread of COVID-19 resulted in stocks suffering one of the quickest declines on record, through March 23, followed by a historic rebound that included the index closing 2020 at an all-time high and gaining modest ground in the first two months of the new year. The crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty and dislocation in financial markets. A rapid and expansive U.S. monetary/fiscal-policy response partially offset the economic disruption and fueled the market surge, as did resilient corporate earnings. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as concerns about election uncertainty, indications the U.S. economic recovery could be slowing and a new wave of COVID-19 cases. A shift in momentum began in October and accelerated following the U.S. elections, with the approval of three breakthrough COVID-19 vaccines and prospects for additional government stimulus fueling the “reflation trade” through February 28. By sector for the full 12 months, information technology (+50%) and consumer discretionary (+43%) led all gainers. Materials (+42%) and communication services (+37%) also stood out. In contrast, the defensive utilities (-3%) and real estate sectors (+5%) notably lagged. Comments from Geode Capital Management: For the fiscal year ending February 28, 2021, the fund gained 53.78%, outperforming the 51.00% advance of the benchmark Russell 2000® Index. Versus the benchmark, security selection was the primary contributor, especially within the information technology sector. Picks among financials stocks and an underweighting in real estate also helped. The fund's top individual relative contributor was an overweighting in Digital Turbine (+1234%), a stock we purchased during the period. Also bolstering performance was our outsized stake in Plug Power, which gained about 814% and was another new addition to the portfolio the past 12 months. Adding further value was a larger-than-benchmark position in Calix Networks (+332%), a stock we reduced exposure to this period. In contrast, the biggest detractor from performance versus the benchmark was stock selection and an underweighting in the consumer discretionary sector, primarily within the retailing industry. Weak picks in the health care sector, especially within the health care equipment & services industry, also hampered the fund's relative performance, as did subpar investment choices in industrials. The biggest individual relative detractor was an underweight position in Gamestop (+8%), a stake we established during the reporting period. Also hampering the portfolio’s relative return was Quidel, a benchmark component we avoided that gained 186%. Also holding back performance was our outsized stake in American Assets Trust, which returned roughly -23%. Notable changes in positioning include increased exposure to the consumer discretionary sector.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2021
| % of fund's net assets | |
| Plug Power, Inc. | 0.8 |
| Deckers Outdoor Corp. | 0.8 |
| Darling Ingredients, Inc. | 0.7 |
| Synaptics, Inc. | 0.7 |
| Penn National Gaming, Inc. | 0.7 |
| Churchill Downs, Inc. | 0.7 |
| Atkore, Inc. | 0.7 |
| Rexnord Corp. | 0.7 |
| EMCOR Group, Inc. | 0.7 |
| Calix Networks, Inc. | 0.7 |
| 7.2 |
Top Market Sectors as of February 28, 2021
| % of fund's net assets | |
| Health Care | 18.2 |
| Industrials | 16.6 |
| Financials | 15.4 |
| Information Technology | 14.4 |
| Consumer Discretionary | 14.1 |
| Real Estate | 4.9 |
| Materials | 4.0 |
| Energy | 2.8 |
| Consumer Staples | 2.8 |
| Utilities | 1.9 |
Asset Allocation (% of fund's net assets)
| As of February 28, 2021* | ||
| Stocks and Equity Futures | 100.0% | |
* Foreign investments - 4.4%
Schedule of Investments February 28, 2021
Showing Percentage of Net Assets
| Common Stocks - 96.8% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 1.7% | |||
| Diversified Telecommunication Services - 0.8% | |||
| Cogent Communications Group, Inc. | 2,968 | $177,635 | |
| Consolidated Communications Holdings, Inc. (a) | 97,384 | 512,240 | |
| Iridium Communications, Inc. (a) | 58,114 | 2,226,347 | |
| Liberty Latin America Ltd. Class C (a) | 32,012 | 350,852 | |
| Ooma, Inc. (a) | 36,249 | 572,734 | |
| ORBCOMM, Inc. (a) | 190,213 | 1,451,325 | |
| 5,291,133 | |||
| Entertainment - 0.2% | |||
| AMC Entertainment Holdings, Inc. Class A (b) | 20,702 | 165,823 | |
| Glu Mobile, Inc. (a) | 51,233 | 639,388 | |
| IMAX Corp. (a) | 25,545 | 528,015 | |
| 1,333,226 | |||
| Interactive Media & Services - 0.3% | |||
| Liberty TripAdvisor Holdings, Inc. (a) | 39,473 | 222,233 | |
| Yelp, Inc. (a) | 48,939 | 1,845,490 | |
| Zedge, Inc. (a) | 19,157 | 192,336 | |
| 2,260,059 | |||
| Media - 0.3% | |||
| AMC Networks, Inc. Class A (a) | 25,678 | 1,684,220 | |
| comScore, Inc. (a) | 13,854 | 50,567 | |
| Tegna, Inc. | 9,839 | 179,365 | |
| 1,914,152 | |||
| Wireless Telecommunication Services - 0.1% | |||
| Shenandoah Telecommunications Co. | 23,866 | 1,058,457 | |
| TOTAL COMMUNICATION SERVICES | 11,857,027 | ||
| CONSUMER DISCRETIONARY - 14.1% | |||
| Auto Components - 0.6% | |||
| Adient PLC (a) | 35,205 | 1,305,401 | |
| American Axle & Manufacturing Holdings, Inc. (a) | 35,531 | 347,138 | |
| Cooper-Standard Holding, Inc. (a) | 7,494 | 268,435 | |
| Modine Manufacturing Co. (a) | 62,525 | 867,222 | |
| Tenneco, Inc. (a) | 55,831 | 621,957 | |
| Visteon Corp. (a) | 5,848 | 743,690 | |
| Workhorse Group, Inc. (a)(b) | 2,250 | 36,383 | |
| 4,190,226 | |||
| Distributors - 0.1% | |||
| Core-Mark Holding Co., Inc. | 25,728 | 838,218 | |
| Diversified Consumer Services - 0.2% | |||
| Adtalem Global Education, Inc. (a) | 28,599 | 1,123,941 | |
| American Public Education, Inc. (a) | 2,931 | 86,289 | |
| 1,210,230 | |||
| Hotels, Restaurants & Leisure - 5.2% | |||
| Bloomin' Brands, Inc. | 82,945 | 2,060,354 | |
| Brinker International, Inc. | 59,366 | 4,071,914 | |
| Caesars Entertainment, Inc. (a) | 46,759 | 4,369,161 | |
| Churchill Downs, Inc. | 20,623 | 4,756,282 | |
| Cracker Barrel Old Country Store, Inc. | 4,222 | 653,861 | |
| Del Taco Restaurants, Inc. | 43,844 | 440,194 | |
| Fiesta Restaurant Group, Inc. (a) | 2,829 | 43,171 | |
| Hilton Grand Vacations, Inc. (a) | 20,110 | 794,546 | |
| Marriott Vacations Worldwide Corp. | 7,481 | 1,269,601 | |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | 85,733 | 2,534,267 | |
| Papa John's International, Inc. | 9,168 | 826,862 | |
| Penn National Gaming, Inc. (a) | 41,988 | 4,861,371 | |
| RCI Hospitality Holdings, Inc. | 9,017 | 579,342 | |
| Scientific Games Corp. Class A (a) | 54,679 | 2,560,618 | |
| Shake Shack, Inc. Class A (a)(b) | 25,143 | 2,978,943 | |
| Texas Roadhouse, Inc. Class A | 12,364 | 1,123,640 | |
| Wingstop, Inc. | 12,248 | 1,667,565 | |
| 35,591,692 | |||
| Household Durables - 2.0% | |||
| Cavco Industries, Inc. (a) | 5,359 | 1,130,267 | |
| Flexsteel Industries, Inc. | 18,114 | 599,211 | |
| iRobot Corp. (a)(b) | 16,566 | 2,056,006 | |
| KB Home | 59,817 | 2,415,410 | |
| La-Z-Boy, Inc. | 3,451 | 147,047 | |
| M.D.C. Holdings, Inc. | 38,133 | 2,157,184 | |
| M/I Homes, Inc. (a) | 45,612 | 2,276,039 | |
| Meritage Homes Corp. (a) | 7,221 | 608,803 | |
| Sonos, Inc. (a) | 11,959 | 465,683 | |
| TopBuild Corp. (a) | 813 | 154,803 | |
| TRI Pointe Homes, Inc. (a) | 102,642 | 1,950,198 | |
| 13,960,651 | |||
| Internet & Direct Marketing Retail - 0.7% | |||
| Magnite, Inc. (a) | 13,726 | 670,790 | |
| Overstock.com, Inc. (a) | 5,952 | 399,796 | |
| Shutterstock, Inc. | 31,029 | 2,737,689 | |
| Stamps.com, Inc. (a) | 2,448 | 445,365 | |
| Stitch Fix, Inc. (a)(b) | 12,661 | 966,161 | |
| 5,219,801 | |||
| Leisure Products - 1.0% | |||
| Acushnet Holdings Corp. | 5,359 | 226,257 | |
| American Outdoor Brands, Inc. (a) | 4,704 | 94,127 | |
| Clarus Corp. | 3,598 | 62,461 | |
| Johnson Outdoors, Inc. Class A | 15,072 | 1,818,889 | |
| Malibu Boats, Inc. Class A (a) | 14,058 | 1,047,883 | |
| Vista Outdoor, Inc. (a) | 99,773 | 3,153,825 | |
| YETI Holdings, Inc. (a) | 4,801 | 330,165 | |
| 6,733,607 | |||
| Specialty Retail - 2.9% | |||
| Asbury Automotive Group, Inc. (a) | 10,687 | 1,810,912 | |
| Bed Bath & Beyond, Inc. (b) | 27,850 | 748,051 | |
| GameStop Corp. Class A (a)(b) | 13,878 | 1,411,948 | |
| Group 1 Automotive, Inc. | 20,100 | 3,064,044 | |
| Haverty Furniture Companies, Inc. | 12,335 | 446,157 | |
| Lumber Liquidators Holdings, Inc. (a) | 6,115 | 151,469 | |
| Murphy U.S.A., Inc. | 2,492 | 310,628 | |
| Rent-A-Center, Inc. | 18,819 | 1,086,985 | |
| RH (a) | 2,909 | 1,426,486 | |
| Shoe Carnival, Inc. (b) | 41,901 | 2,051,473 | |
| Signet Jewelers Ltd. | 22,559 | 1,122,987 | |
| Sleep Number Corp. (a) | 28,423 | 3,897,646 | |
| Sonic Automotive, Inc. Class A (sub. vtg.) | 43,528 | 2,007,076 | |
| Sportsman's Warehouse Holdings, Inc. (a) | 9,627 | 163,081 | |
| The Aaron's Co., Inc. | 5,578 | 122,493 | |
| 19,821,436 | |||
| Textiles, Apparel & Luxury Goods - 1.4% | |||
| Crocs, Inc. (a) | 49,242 | 3,777,846 | |
| Deckers Outdoor Corp. (a) | 16,477 | 5,373,314 | |
| Lakeland Industries, Inc. (a) | 8,505 | 266,972 | |
| Rocky Brands, Inc. | 6,899 | 300,727 | |
| 9,718,859 | |||
| TOTAL CONSUMER DISCRETIONARY | 97,284,720 | ||
| CONSUMER STAPLES - 2.8% | |||
| Beverages - 0.2% | |||
| Celsius Holdings, Inc. (a)(b) | 2,904 | 172,875 | |
| Coca-Cola Bottling Co. Consolidated | 2,671 | 685,539 | |
| MGP Ingredients, Inc. | 6,624 | 423,141 | |
| 1,281,555 | |||
| Food & Staples Retailing - 0.7% | |||
| Andersons, Inc. | 25,583 | 668,740 | |
| BJ's Wholesale Club Holdings, Inc. (a) | 10,533 | 423,216 | |
| Ingles Markets, Inc. Class A | 13,857 | 720,010 | |
| Natural Grocers by Vitamin Cottage, Inc. | 20,580 | 289,766 | |
| Performance Food Group Co. (a) | 2,668 | 144,712 | |
| PriceSmart, Inc. | 6,937 | 669,074 | |
| Rite Aid Corp. (a)(b) | 29,154 | 570,835 | |
| United Natural Foods, Inc. (a)(b) | 45,987 | 1,216,356 | |
| Weis Markets, Inc. | 6,425 | 343,416 | |
| 5,046,125 | |||
| Food Products - 1.2% | |||
| Cal-Maine Foods, Inc. (a) | 21,696 | 826,618 | |
| Darling Ingredients, Inc. (a) | 78,934 | 4,975,999 | |
| Freshpet, Inc. (a) | 7,518 | 1,171,906 | |
| John B. Sanfilippo & Son, Inc. | 6,703 | 579,541 | |
| Lancaster Colony Corp. | 679 | 118,601 | |
| The Simply Good Foods Co. (a) | 11,343 | 330,875 | |
| 8,003,540 | |||
| Household Products - 0.5% | |||
| Central Garden & Pet Co. (a) | 2,240 | 102,144 | |
| Central Garden & Pet Co. Class A (non-vtg.) (a) | 4,250 | 176,418 | |
| WD-40 Co. | 9,241 | 2,880,882 | |
| 3,159,444 | |||
| Personal Products - 0.1% | |||
| USANA Health Sciences, Inc. (a) | 8,995 | 873,055 | |
| Tobacco - 0.1% | |||
| Universal Corp. | 3,606 | 183,257 | |
| Vector Group Ltd. | 30,754 | 419,792 | |
| 603,049 | |||
| TOTAL CONSUMER STAPLES | 18,966,768 | ||
| ENERGY - 2.8% | |||
| Energy Equipment & Services - 0.8% | |||
| Frank's International NV (a) | 25,809 | 116,915 | |
| Helix Energy Solutions Group, Inc. (a) | 160,260 | 785,274 | |
| Nabors Industries Ltd. | 19,631 | 2,179,237 | |
| Nextier Oilfield Solutions, Inc. (a) | 33,382 | 155,226 | |
| Oceaneering International, Inc. (a) | 49,988 | 589,858 | |
| Oil States International, Inc. (a) | 59,396 | 435,373 | |
| ProPetro Holding Corp. (a) | 52,927 | 607,073 | |
| U.S. Silica Holdings, Inc. | 60,573 | 806,227 | |
| 5,675,183 | |||
| Oil, Gas & Consumable Fuels - 2.0% | |||
| Antero Resources Corp. (a) | 52,991 | 476,919 | |
| DHT Holdings, Inc. | 218,612 | 1,219,855 | |
| Green Plains, Inc. | 10,083 | 255,302 | |
| Kosmos Energy Ltd. | 585,695 | 1,803,941 | |
| Magnolia Oil & Gas Corp. Class A (a) | 50,541 | 609,524 | |
| Nordic American Tanker Shipping Ltd. | 163,772 | 486,403 | |
| PBF Energy, Inc. Class A | 157,319 | 2,233,930 | |
| Penn Virginia Corp. (a) | 80,488 | 1,178,344 | |
| Range Resources Corp. (a) | 16,169 | 155,869 | |
| Renewable Energy Group, Inc. (a) | 28,681 | 2,230,521 | |
| SM Energy Co. | 212,184 | 2,940,870 | |
| World Fuel Services Corp. | 6,249 | 194,219 | |
| 13,785,697 | |||
| TOTAL ENERGY | 19,460,880 | ||
| FINANCIALS - 15.4% | |||
| Banks - 7.6% | |||
| 1st Source Corp. | 13,741 | 609,688 | |
| Altabancorp | 2,494 | 85,843 | |
| Ameris Bancorp | 19,000 | 905,160 | |
| Banc of California, Inc. | 22,947 | 425,896 | |
| BancFirst Corp. | 55,999 | 3,577,216 | |
| Bancorp, Inc., Delaware (a) | 31,287 | 634,187 | |
| Berkshire Hills Bancorp, Inc. | 28,129 | 567,081 | |
| Boston Private Financial Holdings, Inc. | 21,788 | 299,803 | |
| Brookline Bancorp, Inc., Delaware | 7,053 | 100,364 | |
| Cadence Bancorp Class A | 79,704 | 1,635,526 | |
| Capital City Bank Group, Inc. | 3,512 | 86,711 | |
| Cathay General Bancorp | 75,065 | 2,825,447 | |
| CIT Group, Inc. | 7,717 | 349,966 | |
| City Holding Co. | 1,428 | 107,400 | |
| Community Bank System, Inc. | 2,038 | 145,085 | |
| Community Trust Bancorp, Inc. | 8,071 | 329,781 | |
| Eagle Bancorp, Inc. | 3,495 | 170,871 | |
| Financial Institutions, Inc. | 17,321 | 474,249 | |
| First Bancorp, North Carolina | 2,362 | 95,118 | |
| First Bancorp, Puerto Rico | 398,494 | 4,180,202 | |
| First Commonwealth Financial Corp. | 20,250 | 271,553 | |
| First Financial Bankshares, Inc. | 12,533 | 559,724 | |
| First Financial Corp., Indiana | 3,946 | 167,231 | |
| First Foundation, Inc. | 3,748 | 85,642 | |
| First Interstate Bancsystem, Inc. | 21,966 | 997,696 | |
| First of Long Island Corp. | 4,358 | 80,972 | |
| Flushing Financial Corp. | 6,443 | 133,692 | |
| Fulton Financial Corp. | 181,151 | 2,798,783 | |
| Great Southern Bancorp, Inc. | 25,882 | 1,366,311 | |
| Great Western Bancorp, Inc. | 7,225 | 193,847 | |
| Hancock Whitney Corp. | 74,283 | 2,804,183 | |
| Hilltop Holdings, Inc. | 91,911 | 3,036,739 | |
| Hope Bancorp, Inc. | 16,953 | 223,101 | |
| Independent Bank Group, Inc. | 14,102 | 982,768 | |
| International Bancshares Corp. | 82,209 | 3,582,668 | |
| Investors Bancorp, Inc. | 324,177 | 4,324,521 | |
| Lakeland Bancorp, Inc. | 7,869 | 123,386 | |
| Lakeland Financial Corp. | 10,065 | 693,982 | |
| Live Oak Bancshares, Inc. | 8,893 | 490,093 | |
| Macatawa Bank Corp. | 3,856 | 34,048 | |
| Mercantile Bank Corp. | 3,248 | 94,972 | |
| Midland States Bancorp, Inc. | 10,521 | 257,765 | |
| Nicolet Bankshares, Inc. (a) | 2,845 | 210,672 | |
| OFG Bancorp | 59,302 | 1,145,122 | |
| Old National Bancorp, Indiana | 9,393 | 170,295 | |
| Park National Corp. | 4,233 | 524,892 | |
| Peapack-Gladstone Financial Corp. | 12,732 | 350,257 | |
| Republic Bancorp, Inc., Kentucky Class A | 1,009 | 42,418 | |
| Sandy Spring Bancorp, Inc. | 8,834 | 331,982 | |
| Sierra Bancorp | 16,482 | 393,096 | |
| Silvergate Capital Corp. (a) | 6,685 | 852,739 | |
| South State Corp. | 6,456 | 509,120 | |
| Southside Bancshares, Inc. | 15,559 | 538,030 | |
| Tompkins Financial Corp. | 4,764 | 368,400 | |
| Trico Bancshares | 8,413 | 362,348 | |
| Trustmark Corp. | 14,013 | 422,632 | |
| UMB Financial Corp. | 23,194 | 1,956,878 | |
| United Bankshares, Inc., West Virginia | 2,289 | 84,579 | |
| United Community Bank, Inc. | 17,910 | 592,105 | |
| Univest Corp. of Pennsylvania | 14,298 | 359,595 | |
| Valley National Bancorp | 81,900 | 1,003,275 | |
| Washington Trust Bancorp, Inc. | 4,325 | 205,654 | |
| WesBanco, Inc. | 25,690 | 829,273 | |
| 52,162,633 | |||
| Capital Markets - 2.2% | |||
| Artisan Partners Asset Management, Inc. | 68,424 | 3,250,140 | |
| B. Riley Financial, Inc. | 5,606 | 368,987 | |
| BGC Partners, Inc. Class A | 44,426 | 199,028 | |
| Cohen & Steers, Inc. | 35,315 | 2,273,580 | |
| Cowen Group, Inc. Class A | 12,672 | 428,947 | |
| Federated Hermes, Inc. Class B (non-vtg.) | 82,643 | 2,208,221 | |
| Oppenheimer Holdings, Inc. Class A (non-vtg.) | 41,336 | 1,566,634 | |
| Piper Jaffray Companies | 21,858 | 2,323,943 | |
| PJT Partners, Inc. | 12,749 | 888,860 | |
| Pzena Investment Management, Inc. | 5,775 | 53,246 | |
| Stifel Financial Corp. | 5,943 | 362,998 | |
| StoneX Group, Inc. (a) | 24,205 | 1,396,386 | |
| 15,320,970 | |||
| Consumer Finance - 1.1% | |||
| Enova International, Inc. (a) | 108,022 | 3,316,275 | |
| LendingClub Corp. (a) | 57,612 | 620,481 | |
| Nelnet, Inc. Class A | 42,002 | 3,049,345 | |
| PROG Holdings, Inc. | 11,156 | 557,800 | |
| 7,543,901 | |||
| Diversified Financial Services - 0.3% | |||
| Cannae Holdings, Inc. (a) | 41,478 | 1,549,203 | |
| Marlin Business Services Corp. (b) | 22,396 | 340,419 | |
| 1,889,622 | |||
| Insurance - 1.9% | |||
| Amerisafe, Inc. | 15,171 | 887,807 | |
| Crawford & Co. Class B | 5,381 | 48,967 | |
| eHealth, Inc. (a) | 14,289 | 849,052 | |
| Employers Holdings, Inc. | 10,032 | 333,965 | |
| Goosehead Insurance | 20,863 | 2,702,593 | |
| Horace Mann Educators Corp. | 28,055 | 1,081,240 | |
| Investors Title Co. | 271 | 41,130 | |
| ProAssurance Corp. | 17,938 | 443,966 | |
| Selective Insurance Group, Inc. | 45,966 | 3,117,874 | |
| Siriuspoint Ltd. (a) | 8,932 | 91,196 | |
| Trupanion, Inc. (a) | 35,894 | 3,473,103 | |
| 13,070,893 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| Redwood Trust, Inc. | 9,900 | 97,416 | |
| Thrifts & Mortgage Finance - 2.3% | |||
| Essent Group Ltd. | 77,244 | 3,184,770 | |
| Farmer Mac Class C (non-vtg.) | 9,653 | 832,571 | |
| Flagstar Bancorp, Inc. | 39,828 | 1,728,137 | |
| NMI Holdings, Inc. (a) | 17,147 | 391,980 | |
| Northwest Bancshares, Inc. | 119,970 | 1,693,976 | |
| Pennymac Financial Services, Inc. | 7,580 | 448,812 | |
| Premier Financial Corp. | 11,645 | 357,036 | |
| Radian Group, Inc. | 152,464 | 3,110,266 | |
| Walker & Dunlop, Inc. | 27,281 | 2,718,824 | |
| Washington Federal, Inc. | 35,811 | 1,082,208 | |
| Waterstone Financial, Inc. | 32,294 | 627,472 | |
| 16,176,052 | |||
| TOTAL FINANCIALS | 106,261,487 | ||
| HEALTH CARE - 18.2% | |||
| Biotechnology - 9.1% | |||
| ACADIA Pharmaceuticals, Inc. (a) | 5,991 | 293,379 | |
| Affimed NV (a) | 76,453 | 433,489 | |
| Agenus, Inc. (a)(b) | 100,352 | 401,408 | |
| Akebia Therapeutics, Inc. (a)(b) | 29,753 | 102,945 | |
| Allakos, Inc. (a)(b) | 3,886 | 470,905 | |
| Allogene Therapeutics, Inc. (a)(b) | 7,082 | 245,816 | |
| Amicus Therapeutics, Inc. (a) | 48,796 | 599,215 | |
| AnaptysBio, Inc. (a) | 15,409 | 442,238 | |
| Apellis Pharmaceuticals, Inc. (a) | 20,018 | 964,267 | |
| Arcturus Therapeutics Holdings, Inc. (a)(b) | 7,551 | 397,711 | |
| Arcus Biosciences, Inc. (a)(b) | 15,894 | 560,422 | |
| Ardelyx, Inc. (a) | 68,177 | 439,742 | |
| Arena Pharmaceuticals, Inc. (a) | 13,972 | 1,122,650 | |
| Arrowhead Pharmaceuticals, Inc. (a) | 20,049 | 1,597,103 | |
| Atara Biotherapeutics, Inc. (a) | 6,594 | 110,647 | |
| Athenex, Inc. (a) | 16,239 | 196,492 | |
| Athersys, Inc. (a)(b) | 152,728 | 311,565 | |
| AVEO Pharmaceuticals, Inc. (a) | 8,337 | 68,864 | |
| Beam Therapeutics, Inc. (b) | 16,491 | 1,469,843 | |
| BioCryst Pharmaceuticals, Inc. (a)(b) | 12,164 | 131,128 | |
| Biohaven Pharmaceutical Holding Co. Ltd. (a) | 8,805 | 748,249 | |
| BioXcel Therapeutics, Inc. (a)(b) | 10,028 | 537,601 | |
| Blueprint Medicines Corp. (a) | 10,726 | 1,053,508 | |
| BridgeBio Pharma, Inc. (a)(b) | 17,568 | 1,241,706 | |
| Calithera Biosciences, Inc. (a) | 32,024 | 93,510 | |
| CareDx, Inc. (a) | 7,659 | 605,674 | |
| Catalyst Biosciences, Inc. (a) | 22,365 | 134,861 | |
| Catalyst Pharmaceutical Partners, Inc. (a) | 63,676 | 247,700 | |
| ChemoCentryx, Inc. (a) | 7,734 | 524,675 | |
| Chimerix, Inc. (a) | 89,632 | 879,290 | |
| Clovis Oncology, Inc. (a)(b) | 52,374 | 313,720 | |
| Coherus BioSciences, Inc. (a) | 32,984 | 535,660 | |
| Concert Pharmaceuticals, Inc. (a) | 52,731 | 352,770 | |
| Constellation Pharmaceuticals, Inc. (a) | 12,093 | 304,744 | |
| Corbus Pharmaceuticals Holdings, Inc. (a)(b) | 232,507 | 506,865 | |
| Cue Biopharma, Inc. (a) | 13,190 | 179,516 | |
| Cytokinetics, Inc. (a) | 7,474 | 139,988 | |
| CytomX Therapeutics, Inc. (a) | 39,512 | 310,169 | |
| Deciphera Pharmaceuticals, Inc. (a) | 12,342 | 540,333 | |
| Denali Therapeutics, Inc. (a) | 10,998 | 789,656 | |
| Dicerna Pharmaceuticals, Inc. (a) | 7,437 | 200,650 | |
| Editas Medicine, Inc. (a)(b) | 16,834 | 738,339 | |
| Eiger Biopharmaceuticals, Inc. (a) | 19,256 | 195,834 | |
| Emergent BioSolutions, Inc. (a) | 17,903 | 1,718,688 | |
| Enanta Pharmaceuticals, Inc. (a) | 1,450 | 71,514 | |
| Epizyme, Inc. (a) | 31,485 | 301,941 | |
| Fate Therapeutics, Inc. (a) | 25,157 | 2,257,086 | |
| FibroGen, Inc. (a) | 21,083 | 1,054,782 | |
| Five Prime Therapeutics, Inc. (a) | 32,369 | 719,563 | |
| Flexion Therapeutics, Inc. (a)(b) | 25,626 | 282,399 | |
| Fortress Biotech, Inc. (a) | 17,362 | 64,587 | |
| Global Blood Therapeutics, Inc. (a) | 1,170 | 49,842 | |
| GlycoMimetics, Inc. (a) | 19,970 | 66,300 | |
| Gritstone Oncology, Inc. (a) | 17,747 | 240,827 | |
| Halozyme Therapeutics, Inc. (a) | 45,076 | 2,039,689 | |
| Heron Therapeutics, Inc. (a)(b) | 11,141 | 201,429 | |
| ImmunoGen, Inc. (a) | 117,811 | 1,030,846 | |
| Immunovant, Inc. (a) | 3,287 | 51,869 | |
| Inovio Pharmaceuticals, Inc. (a)(b) | 14,927 | 165,690 | |
| Insmed, Inc. (a) | 17,379 | 621,647 | |
| Intellia Therapeutics, Inc. (a)(b) | 7,744 | 468,202 | |
| Intercept Pharmaceuticals, Inc. (a)(b) | 4,566 | 98,900 | |
| Invitae Corp. (a)(b) | 34,290 | 1,376,058 | |
| Iovance Biotherapeutics, Inc. (a) | 4,993 | 186,239 | |
| Ironwood Pharmaceuticals, Inc. Class A (a) | 22,599 | 208,589 | |
| Jounce Therapeutics, Inc. (a) | 8,237 | 90,442 | |
| Kadmon Holdings, Inc. (a)(b) | 94,575 | 434,099 | |
| Karuna Therapeutics, Inc. (a) | 1,708 | 213,432 | |
| Karyopharm Therapeutics, Inc. (a)(b) | 25,179 | 347,974 | |
| Kindred Biosciences, Inc. (a) | 41,044 | 185,108 | |
| Kodiak Sciences, Inc. (a) | 5,075 | 654,726 | |
| Krystal Biotech, Inc. (a) | 2,162 | 170,560 | |
| Kura Oncology, Inc. (a) | 7,115 | 199,220 | |
| La Jolla Pharmaceutical Co. (a)(b) | 54,595 | 286,078 | |
| Lexicon Pharmaceuticals, Inc. (a) | 73,906 | 531,384 | |
| Ligand Pharmaceuticals, Inc. Class B (a)(b) | 1,807 | 267,834 | |
| Macrogenics, Inc. (a) | 6,374 | 159,414 | |
| Madrigal Pharmaceuticals, Inc. (a)(b) | 368 | 44,598 | |
| Mersana Therapeutics, Inc. (a) | 29,224 | 531,292 | |
| Minerva Neurosciences, Inc. (a) | 88,400 | 274,040 | |
| Mirati Therapeutics, Inc. (a) | 9,554 | 1,919,590 | |
| Molecular Templates, Inc. (a) | 15,876 | 173,048 | |
| Mustang Bio, Inc. (a) | 65,324 | 230,594 | |
| Myriad Genetics, Inc. (a) | 21,726 | 662,426 | |
| Natera, Inc. (a) | 15,308 | 1,777,106 | |
| Novavax, Inc. (a) | 16,984 | 3,927,210 | |
| Oncternal Therapeutics, Inc. rights (a)(c) | 1,148 | 0 | |
| Opko Health, Inc. (a)(b) | 177,008 | 796,536 | |
| Organogenesis Holdings, Inc. Class A (a)(b) | 10,817 | 164,527 | |
| Oyster Point Pharma, Inc. (a)(b) | 5,855 | 115,988 | |
| Pieris Pharmaceuticals, Inc. (a) | 41,502 | 112,885 | |
| Protagonist Therapeutics, Inc. (a) | 8,980 | 211,659 | |
| PTC Therapeutics, Inc. (a) | 22,892 | 1,307,133 | |
| Puma Biotechnology, Inc. (a) | 15,356 | 152,946 | |
| Radius Health, Inc. (a) | 25,992 | 483,711 | |
| REGENXBIO, Inc. (a) | 8,629 | 353,012 | |
| Relay Therapeutics, Inc. (a) | 2,737 | 112,956 | |
| Revolution Medicines, Inc. | 3,102 | 141,699 | |
| Rocket Pharmaceuticals, Inc. (a) | 2,948 | 163,850 | |
| Rubius Therapeutics, Inc. (a)(b) | 12,892 | 133,819 | |
| Sangamo Therapeutics, Inc. (a) | 8,497 | 97,631 | |
| Seres Therapeutics, Inc. (a) | 5,616 | 106,929 | |
| Sorrento Therapeutics, Inc. (a)(b) | 13,812 | 133,562 | |
| Springworks Therapeutics, Inc. (a) | 2,082 | 179,156 | |
| Syndax Pharmaceuticals, Inc. (a) | 15,431 | 376,671 | |
| TCR2 Therapeutics, Inc. (a) | 3,537 | 93,589 | |
| TG Therapeutics, Inc. (a)(b) | 40,158 | 1,757,716 | |
| Translate Bio, Inc. (a) | 6,323 | 147,579 | |
| Travere Therapeutics, Inc. (a) | 30,699 | 946,143 | |
| Turning Point Therapeutics, Inc. (a) | 6,499 | 766,297 | |
| Twist Bioscience Corp. (a) | 6,052 | 832,997 | |
| Ultragenyx Pharmaceutical, Inc. (a) | 12,939 | 1,831,386 | |
| Vanda Pharmaceuticals, Inc. (a) | 15,424 | 287,658 | |
| Vaxart, Inc. (a)(b) | 12,416 | 88,774 | |
| Veracyte, Inc. (a) | 10,095 | 586,116 | |
| Vericel Corp. (a) | 4,238 | 204,611 | |
| Viela Bio, Inc. (a) | 2,446 | 130,127 | |
| Vir Biotechnology, Inc. (a)(b) | 21,911 | 1,372,286 | |
| Xbiotech, Inc. (a) | 12,115 | 230,185 | |
| Xencor, Inc. (a) | 7,591 | 374,009 | |
| Y-mAbs Therapeutics, Inc. (a) | 1,838 | 64,642 | |
| 62,750,494 | |||
| Health Care Equipment & Supplies - 2.6% | |||
| Accuray, Inc. (a) | 138,649 | 690,472 | |
| Axonics Modulation Technologies, Inc. (a) | 1,333 | 67,063 | |
| Cardiovascular Systems, Inc. (a) | 55,963 | 2,311,272 | |
| Cerus Corp. (a) | 63,669 | 390,928 | |
| ConforMis, Inc. (a) | 65,524 | 66,179 | |
| CryoPort, Inc. (a)(b) | 1,906 | 113,293 | |
| Genmark Diagnostics, Inc. (a) | 53,793 | 1,051,653 | |
| Integer Holdings Corp. (a) | 8,226 | 725,451 | |
| Invacare Corp. | 15,616 | 142,106 | |
| Lantheus Holdings, Inc. (a) | 52,425 | 979,299 | |
| Meridian Bioscience, Inc. (a) | 127,471 | 2,687,089 | |
| Nevro Corp. (a) | 11,061 | 1,827,056 | |
| Novocure Ltd. (a) | 5,835 | 869,999 | |
| Orthofix International NV (a) | 20,027 | 931,456 | |
| Seaspine Holdings Corp. (a) | 4,768 | 90,211 | |
| Shockwave Medical, Inc. (a)(b) | 1,844 | 215,305 | |
| Sientra, Inc. (a) | 121,730 | 947,059 | |
| Staar Surgical Co. (a) | 8,189 | 851,738 | |
| SurModics, Inc. (a) | 41,669 | 2,173,038 | |
| Tandem Diabetes Care, Inc. (a) | 7,040 | 675,770 | |
| 17,806,437 | |||
| Health Care Providers & Services - 3.1% | |||
| AdaptHealth Corp. (a) | 30,109 | 926,454 | |
| Amedisys, Inc. (a) | 2,309 | 585,655 | |
| Apollo Medical Holdings, Inc. (a) | 15,600 | 386,100 | |
| Brookdale Senior Living, Inc. (a) | 130,678 | 760,546 | |
| Corvel Corp. (a) | 28,266 | 2,868,999 | |
| Cross Country Healthcare, Inc. (a) | 4,626 | 51,395 | |
| Modivcare, Inc. (a) | 8,644 | 1,108,679 | |
| National Healthcare Corp. | 25,388 | 1,765,735 | |
| Owens & Minor, Inc. | 127,242 | 4,327,500 | |
| Patterson Companies, Inc. | 37,816 | 1,174,565 | |
| Select Medical Holdings Corp. (a) | 102,891 | 3,256,500 | |
| Tenet Healthcare Corp. (a) | 80,074 | 4,085,375 | |
| 21,297,503 | |||
| Health Care Technology - 1.8% | |||
| Allscripts Healthcare Solutions, Inc. (a) | 248,771 | 3,838,537 | |
| HealthStream, Inc. (a) | 13,002 | 302,947 | |
| HMS Holdings Corp. (a) | 38,650 | 1,421,740 | |
| Inovalon Holdings, Inc. Class A (a) | 36,926 | 906,903 | |
| Inspire Medical Systems, Inc. (a) | 4,314 | 1,004,256 | |
| Nextgen Healthcare, Inc. (a) | 157,267 | 2,940,893 | |
| OptimizeRx Corp. (a) | 16,880 | 897,678 | |
| Phreesia, Inc. (a) | 11,134 | 681,958 | |
| Schrodinger, Inc. | 2,661 | 272,699 | |
| 12,267,611 | |||
| Life Sciences Tools & Services - 0.9% | |||
| Fluidigm Corp. (a)(b) | 26,609 | 122,401 | |
| Luminex Corp. | 21,645 | 703,895 | |
| Medpace Holdings, Inc. (a) | 10,237 | 1,662,796 | |
| Nanostring Technologies, Inc. (a) | 15,424 | 1,076,441 | |
| NeoGenomics, Inc. (a) | 19,701 | 1,004,160 | |
| Pacific Biosciences of California, Inc. (a) | 35,084 | 1,072,518 | |
| Quanterix Corp. (a) | 7,757 | 587,593 | |
| 6,229,804 | |||
| Pharmaceuticals - 0.7% | |||
| Amneal Pharmaceuticals, Inc. (a)(b) | 72,384 | 390,150 | |
| Arvinas Holding Co. LLC (a) | 4,512 | 353,290 | |
| Assertio Holdings, Inc. (a) | 91,214 | 77,806 | |
| Axsome Therapeutics, Inc. (a)(b) | 3,147 | 211,982 | |
| Cassava Sciences, Inc. (a) | 4,091 | 198,741 | |
| Cerecor, Inc. (a) | 39,569 | 133,348 | |
| Collegium Pharmaceutical, Inc. (a)(b) | 8,536 | 201,364 | |
| Corcept Therapeutics, Inc. (a) | 34,530 | 868,430 | |
| Endo International PLC (a) | 20,188 | 160,091 | |
| Intra-Cellular Therapies, Inc. (a) | 8,151 | 288,790 | |
| Liquidia Technologies, Inc. (a) | 46,471 | 130,119 | |
| Pacira Biosciences, Inc. (a) | 14,302 | 1,051,197 | |
| Prestige Brands Holdings, Inc. (a) | 11,421 | 476,370 | |
| Revance Therapeutics, Inc. (a) | 3,360 | 88,234 | |
| Theravance Biopharma, Inc. (a) | 5,381 | 89,163 | |
| WAVE Life Sciences (a) | 39,019 | 367,169 | |
| Zogenix, Inc. (a) | 1,714 | 36,354 | |
| 5,122,598 | |||
| TOTAL HEALTH CARE | 125,474,447 | ||
| INDUSTRIALS - 16.6% | |||
| Aerospace & Defense - 1.8% | |||
| AAR Corp. | 74,168 | 2,950,403 | |
| Aerojet Rocketdyne Holdings, Inc. | 2,228 | 114,230 | |
| Astronics Corp. (a) | 52,090 | 823,022 | |
| Axon Enterprise, Inc. (a) | 5,625 | 930,881 | |
| Maxar Technologies, Inc. | 56,229 | 2,690,558 | |
| Moog, Inc. Class A | 39,488 | 3,066,638 | |
| Parsons Corp. (a) | 59,218 | 2,116,451 | |
| Vectrus, Inc. (a) | 809 | 44,171 | |
| 12,736,354 | |||
| Air Freight & Logistics - 0.1% | |||
| Atlas Air Worldwide Holdings, Inc. (a) | 15,680 | 864,438 | |
| Airlines - 0.2% | |||
| Mesa Air Group, Inc. (a) | 101,968 | 1,244,010 | |
| Building Products - 1.5% | |||
| Advanced Drain Systems, Inc. | 14,644 | 1,611,133 | |
| Cornerstone Building Brands, Inc. (a) | 32,397 | 369,002 | |
| Gibraltar Industries, Inc. (a) | 10,376 | 906,344 | |
| Griffon Corp. | 3,404 | 83,738 | |
| Quanex Building Products Corp. | 66,276 | 1,612,495 | |
| Resideo Technologies, Inc. (a) | 32,794 | 787,712 | |
| Simpson Manufacturing Co. Ltd. | 10,440 | 1,017,482 | |
| Trex Co., Inc. (a) | 5,940 | 544,342 | |
| UFP Industries, Inc. | 56,166 | 3,426,126 | |
| 10,358,374 | |||
| Commercial Services & Supplies - 1.3% | |||
| Brady Corp. Class A | 42,747 | 2,240,370 | |
| Kimball International, Inc. Class B | 57,056 | 738,305 | |
| Knoll, Inc. | 39,272 | 640,526 | |
| Tetra Tech, Inc. | 14,217 | 1,967,206 | |
| UniFirst Corp. | 14,298 | 3,464,262 | |
| VSE Corp. | 1,443 | 55,642 | |
| 9,106,311 | |||
| Construction & Engineering - 0.9% | |||
| Comfort Systems U.S.A., Inc. | 5,072 | 314,160 | |
| EMCOR Group, Inc. | 46,215 | 4,499,955 | |
| Great Lakes Dredge & Dock Corp. (a) | 61,023 | 926,939 | |
| Primoris Services Corp. | 14,472 | 484,378 | |
| 6,225,432 | |||
| Electrical Equipment - 3.4% | |||
| Atkore, Inc. (a) | 67,320 | 4,554,198 | |
| AZZ, Inc. | 26,351 | 1,346,273 | |
| Encore Wire Corp. | 46,447 | 3,043,672 | |
| EnerSys | 44,724 | 4,037,683 | |
| FuelCell Energy, Inc. (a) | 45,397 | 769,025 | |
| Generac Holdings, Inc. (a) | 4,607 | 1,518,283 | |
| Plug Power, Inc. (a) | 117,383 | 5,678,977 | |
| Preformed Line Products Co. | 12,004 | 880,613 | |
| Sunrun, Inc. (a) | 24,602 | 1,539,593 | |
| Thermon Group Holdings, Inc. (a) | 2,746 | 56,101 | |
| 23,424,418 | |||
| Machinery - 3.2% | |||
| Albany International Corp. Class A | 3,142 | 248,375 | |
| Altra Industrial Motion Corp. | 35,416 | 2,051,295 | |
| Chart Industries, Inc. (a) | 1,475 | 211,058 | |
| CIRCOR International, Inc. (a) | 14,210 | 506,018 | |
| Columbus McKinnon Corp. (NY Shares) | 4,347 | 218,828 | |
| Energy Recovery, Inc. (a) | 10,110 | 177,936 | |
| EnPro Industries, Inc. | 15,693 | 1,260,776 | |
| Evoqua Water Technologies Corp. (a) | 39,160 | 961,378 | |
| Franklin Electric Co., Inc. | 2,486 | 186,599 | |
| Gorman-Rupp Co. | 6,337 | 202,721 | |
| Helios Technologies, Inc. | 7,254 | 474,412 | |
| Hillenbrand, Inc. | 48,075 | 2,233,565 | |
| Hurco Companies, Inc. | 18,717 | 588,275 | |
| Hyster-Yale Materials Handling Class A | 12,194 | 1,043,197 | |
| Kennametal, Inc. | 21,437 | 800,886 | |
| L.B. Foster Co. Class A (a) | 6,235 | 105,683 | |
| Lydall, Inc. (a) | 9,953 | 346,663 | |
| Manitowoc Co., Inc. (a) | 26,780 | 436,246 | |
| Mueller Industries, Inc. | 42,545 | 1,729,029 | |
| Park-Ohio Holdings Corp. | 2,175 | 70,318 | |
| Proto Labs, Inc. (a) | 7,988 | 1,163,692 | |
| Rexnord Corp. | 100,903 | 4,535,590 | |
| Tennant Co. | 4,655 | 354,711 | |
| Terex Corp. | 24,299 | 1,000,633 | |
| Wabash National Corp. | 15,819 | 262,279 | |
| Watts Water Technologies, Inc. Class A | 8,497 | 969,423 | |
| Welbilt, Inc. (a) | 3,388 | 54,140 | |
| 22,193,726 | |||
| Marine - 0.1% | |||
| Costamare, Inc. | 54,948 | 530,248 | |
| Professional Services - 1.7% | |||
| Barrett Business Services, Inc. | 4,865 | 346,388 | |
| CRA International, Inc. | 5,055 | 278,884 | |
| Heidrick & Struggles International, Inc. | 60,024 | 2,154,261 | |
| Kforce, Inc. | 57,911 | 2,973,730 | |
| Korn Ferry | 12,615 | 776,453 | |
| TriNet Group, Inc. (a) | 17,698 | 1,420,618 | |
| TrueBlue, Inc. (a) | 3,766 | 78,446 | |
| Upwork, Inc. (a) | 63,110 | 3,400,367 | |
| 11,429,147 | |||
| Road & Rail - 0.4% | |||
| ArcBest Corp. | 17,379 | 1,025,187 | |
| Heartland Express, Inc. | 10,444 | 190,081 | |
| Marten Transport Ltd. | 81,521 | 1,319,010 | |
| 2,534,278 | |||
| Trading Companies & Distributors - 2.0% | |||
| Applied Industrial Technologies, Inc. | 28,552 | 2,437,484 | |
| Boise Cascade Co. | 71,555 | 3,573,457 | |
| GMS, Inc. (a) | 41,692 | 1,525,927 | |
| Herc Holdings, Inc. (a) | 9,312 | 817,221 | |
| NOW, Inc. (a) | 35,925 | 381,883 | |
| Rush Enterprises, Inc. Class A | 82,257 | 3,490,165 | |
| Systemax, Inc. | 35,596 | 1,285,016 | |
| Titan Machinery, Inc. (a) | 3,550 | 86,975 | |
| Veritiv Corp. (a) | 7,953 | 189,122 | |
| WESCO International, Inc. (a) | 472 | 37,892 | |
| 13,825,142 | |||
| TOTAL INDUSTRIALS | 114,471,878 | ||
| INFORMATION TECHNOLOGY - 14.4% | |||
| Communications Equipment - 1.1% | |||
| Acacia Communications, Inc. (a) | 1,296 | 149,027 | |
| ADTRAN, Inc. | 21,012 | 353,842 | |
| Calix Networks, Inc. (a) | 113,673 | 4,491,220 | |
| Comtech Telecommunications Corp. | 4,570 | 122,842 | |
| Digi International, Inc. (a) | 9,006 | 210,380 | |
| Extreme Networks, Inc. (a) | 65,919 | 604,477 | |
| Inseego Corp. (a)(b) | 78,925 | 1,151,516 | |
| Plantronics, Inc. | 4,167 | 168,722 | |
| 7,252,026 | |||
| Electronic Equipment & Components - 1.5% | |||
| Arlo Technologies, Inc. (a) | 21,324 | 148,415 | |
| Badger Meter, Inc. | 1,813 | 196,874 | |
| ePlus, Inc. (a) | 6,472 | 611,992 | |
| II-VI, Inc. (a) | 22,808 | 1,922,714 | |
| Insight Enterprises, Inc. (a) | 38,770 | 3,240,784 | |
| Itron, Inc. (a) | 1,152 | 135,060 | |
| Kimball Electronics, Inc. (a) | 63,705 | 1,495,793 | |
| Methode Electronics, Inc. Class A | 25,455 | 990,963 | |
| PC Connection, Inc. | 17,520 | 806,095 | |
| ScanSource, Inc. (a) | 35,926 | 1,021,735 | |
| 10,570,425 | |||
| IT Services - 0.9% | |||
| Brightcove, Inc. (a) | 7,844 | 170,842 | |
| Conduent, Inc. (a) | 33,896 | 182,360 | |
| CSG Systems International, Inc. | 6,919 | 319,312 | |
| EVERTEC, Inc. | 46,303 | 1,801,187 | |
| Limelight Networks, Inc. (a)(b) | 110,713 | 362,032 | |
| ManTech International Corp. Class A | 8,270 | 646,383 | |
| Perspecta, Inc. | 21,648 | 632,122 | |
| Sykes Enterprises, Inc. (a) | 49,399 | 2,018,443 | |
| 6,132,681 | |||
| Semiconductors & Semiconductor Equipment - 5.2% | |||
| Alpha & Omega Semiconductor Ltd. (a) | 7,289 | 256,500 | |
| Ambarella, Inc. (a) | 27,991 | 3,148,708 | |
| Amkor Technology, Inc. | 152,867 | 3,651,993 | |
| Brooks Automation, Inc. | 23,869 | 1,984,946 | |
| Ceva, Inc. (a) | 2,534 | 155,157 | |
| Cirrus Logic, Inc. (a) | 30,961 | 2,531,991 | |
| Cohu, Inc. | 1,020 | 44,319 | |
| Diodes, Inc. (a) | 27,224 | 2,137,628 | |
| Enphase Energy, Inc. (a) | 10,306 | 1,814,474 | |
| FormFactor, Inc. (a) | 30,227 | 1,371,399 | |
| Lattice Semiconductor Corp. (a) | 75,149 | 3,616,170 | |
| NeoPhotonics Corp. (a) | 169,223 | 1,626,233 | |
| Photronics, Inc. (a) | 13,009 | 154,937 | |
| Pixelworks, Inc. (a) | 14,974 | 53,757 | |
| Power Integrations, Inc. | 30,996 | 2,739,117 | |
| Rambus, Inc. (a) | 11,861 | 248,844 | |
| Semtech Corp. (a) | 5,603 | 410,756 | |
| Silicon Laboratories, Inc. (a) | 24,690 | 3,845,221 | |
| Synaptics, Inc. (a) | 36,740 | 4,924,262 | |
| Ultra Clean Holdings, Inc. (a) | 13,291 | 616,437 | |
| Veeco Instruments, Inc. (a) | 2,690 | 57,835 | |
| 35,390,684 | |||
| Software - 5.0% | |||
| A10 Networks, Inc. (a) | 46,376 | 433,152 | |
| Agilysys, Inc. (a) | 67,134 | 4,000,515 | |
| AppFolio, Inc. (a) | 1,688 | 276,866 | |
| Appian Corp. Class A (a)(b) | 8,829 | 1,517,705 | |
| BlackLine, Inc. (a) | 30,293 | 3,756,938 | |
| Cloudera, Inc. (a) | 158,889 | 2,564,468 | |
| Cognyte Software Ltd. (a) | 4,962 | 143,253 | |
| CommVault Systems, Inc. (a) | 58,572 | 3,732,794 | |
| Cornerstone OnDemand, Inc. (a) | 20,488 | 1,035,054 | |
| Digital Turbine, Inc. (a) | 43,761 | 3,613,346 | |
| Domo, Inc. Class B (a) | 29,117 | 1,855,626 | |
| Ebix, Inc. | 4,764 | 116,146 | |
| MicroStrategy, Inc. Class A (a)(b) | 2,106 | 1,580,363 | |
| Progress Software Corp. | 67,203 | 2,858,816 | |
| Q2 Holdings, Inc. (a) | 27,909 | 3,401,549 | |
| SecureWorks Corp. (a) | 9,080 | 131,024 | |
| SPS Commerce, Inc. (a) | 25,554 | 2,574,054 | |
| Tenable Holdings, Inc. (a) | 8,763 | 358,494 | |
| Verint Systems, Inc. (a) | 4,962 | 244,577 | |
| Yext, Inc. (a)(b) | 13,847 | 234,291 | |
| 34,429,031 | |||
| Technology Hardware, Storage & Peripherals - 0.7% | |||
| 3D Systems Corp. (a) | 27,064 | 969,974 | |
| Avid Technology, Inc. (a)(b) | 171,347 | 3,322,418 | |
| Diebold Nixdorf, Inc. (a) | 45,696 | 663,506 | |
| 4,955,898 | |||
| TOTAL INFORMATION TECHNOLOGY | 98,730,745 | ||
| MATERIALS - 4.0% | |||
| Chemicals - 1.0% | |||
| Avient Corp. | 42,743 | 1,847,352 | |
| FutureFuel Corp. | 59,892 | 879,215 | |
| Hawkins, Inc. | 1,300 | 81,380 | |
| Rayonier Advanced Materials, Inc. (a) | 52,594 | 486,495 | |
| Stepan Co. | 23,976 | 2,893,663 | |
| Tronox Holdings PLC | 33,607 | 616,352 | |
| 6,804,457 | |||
| Construction Materials - 0.5% | |||
| Forterra, Inc. (a) | 161,670 | 3,762,061 | |
| Containers & Packaging - 0.5% | |||
| Myers Industries, Inc. | 140,294 | 3,106,109 | |
| Metals & Mining - 1.8% | |||
| Cleveland-Cliffs, Inc. | 286,389 | 3,820,429 | |
| Coeur d'Alene Mines Corp. (a) | 69,993 | 630,637 | |
| Commercial Metals Co. | 86,453 | 2,174,293 | |
| Materion Corp. | 7,443 | 509,697 | |
| Novagold Resources, Inc. (a) | 55,001 | 459,258 | |
| Schnitzer Steel Industries, Inc. Class A | 2,338 | 80,755 | |
| United States Steel Corp. | 35,332 | 586,865 | |
| Worthington Industries, Inc. | 61,386 | 3,921,952 | |
| 12,183,886 | |||
| Paper & Forest Products - 0.2% | |||
| Schweitzer-Mauduit International, Inc. | 30,020 | 1,401,934 | |
| TOTAL MATERIALS | 27,258,447 | ||
| REAL ESTATE - 4.9% | |||
| Equity Real Estate Investment Trusts (REITs) - 3.4% | |||
| Agree Realty Corp. | 3,532 | 228,026 | |
| American Assets Trust, Inc. | 73,247 | 2,276,517 | |
| Armada Hoffler Properties, Inc. | 8,206 | 105,939 | |
| CareTrust (REIT), Inc. | 15,675 | 347,672 | |
| CatchMark Timber Trust, Inc. | 14,206 | 145,043 | |
| City Office REIT, Inc. | 7,366 | 74,839 | |
| Colony Capital, Inc. | 161,068 | 953,523 | |
| CorePoint Lodging, Inc. | 5,654 | 51,508 | |
| DiamondRock Hospitality Co. (a) | 18,306 | 185,257 | |
| Diversified Healthcare Trust (SBI) | 146,463 | 659,084 | |
| EastGroup Properties, Inc. | 7,938 | 1,080,441 | |
| Essential Properties Realty Trust, Inc. | 26,243 | 608,838 | |
| Farmland Partners, Inc. | 10,773 | 128,845 | |
| Four Corners Property Trust, Inc. | 27,783 | 752,641 | |
| Gladstone Land Corp. | 9,746 | 174,356 | |
| Healthcare Realty Trust, Inc. | 13,170 | 380,086 | |
| Kite Realty Group Trust | 33,792 | 647,793 | |
| National Storage Affiliates Trust | 54,430 | 2,098,277 | |
| New Senior Investment Group, Inc. | 44,153 | 269,775 | |
| Potlatch Corp. | 1,846 | 93,685 | |
| Preferred Apartment Communities, Inc. Class A | 6,590 | 54,236 | |
| PS Business Parks, Inc. | 19,611 | 2,840,849 | |
| Retail Value, Inc. | 75 | 1,253 | |
| RLJ Lodging Trust | 194,895 | 3,059,852 | |
| Safehold, Inc. | 4,317 | 329,171 | |
| Service Properties Trust | 19,565 | 251,215 | |
| Sunstone Hotel Investors, Inc. | 219,418 | 2,898,512 | |
| Terreno Realty Corp. | 12,641 | 708,402 | |
| The GEO Group, Inc. (b) | 28,998 | 208,786 | |
| Xenia Hotels & Resorts, Inc. | 105,667 | 2,110,170 | |
| 23,724,591 | |||
| Real Estate Management & Development - 1.5% | |||
| eXp World Holdings, Inc. (a) | 22,188 | 1,339,933 | |
| Gyrodyne LLC (a) | 310 | 5,084 | |
| Kennedy-Wilson Holdings, Inc. | 57,453 | 1,077,818 | |
| Marcus & Millichap, Inc. (a) | 34,658 | 1,312,498 | |
| Newmark Group, Inc. | 265,730 | 2,662,615 | |
| Rafael Holdings, Inc. (a) | 1,562 | 55,888 | |
| RE/MAX Holdings, Inc. | 17,094 | 713,162 | |
| Redfin Corp. (a) | 11,219 | 849,727 | |
| The RMR Group, Inc. | 53,947 | 2,168,130 | |
| 10,184,855 | |||
| TOTAL REAL ESTATE | 33,909,446 | ||
| UTILITIES - 1.9% | |||
| Electric Utilities - 0.3% | |||
| Allete, Inc. | 12,144 | 754,507 | |
| MGE Energy, Inc. | 2,468 | 157,212 | |
| Otter Tail Corp. | 21,482 | 870,451 | |
| PNM Resources, Inc. | 5,271 | 253,061 | |
| 2,035,231 | |||
| Gas Utilities - 0.1% | |||
| New Jersey Resources Corp. | 16,978 | 667,066 | |
| South Jersey Industries, Inc. | 8,532 | 214,239 | |
| 881,305 | |||
| Independent Power and Renewable Electricity Producers - 1.0% | |||
| Atlantic Power Corp. (a) | 71,002 | 203,776 | |
| Clearway Energy, Inc. Class A | 105,872 | 2,768,553 | |
| Ormat Technologies, Inc. | 29,802 | 2,553,137 | |
| Sunnova Energy International, Inc. (a) | 28,815 | 1,292,065 | |
| 6,817,531 | |||
| Multi-Utilities - 0.1% | |||
| Avista Corp. | 13,970 | 561,734 | |
| Black Hills Corp. | 6,205 | 367,088 | |
| NorthWestern Energy Corp. | 1,628 | 95,205 | |
| 1,024,027 | |||
| Water Utilities - 0.4% | |||
| American States Water Co. | 10,063 | 735,102 | |
| California Water Service Group | 15,233 | 837,053 | |
| Consolidated Water Co., Inc. | 4,065 | 52,642 | |
| Middlesex Water Co. | 11,989 | 823,285 | |
| York Water Co. | 1,060 | 44,107 | |
| 2,492,189 | |||
| TOTAL UTILITIES | 13,250,283 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $451,104,393) | 666,926,128 | ||
| Nonconvertible Preferred Stocks - 0.0% | |||
| INDUSTRIALS - 0.0% | |||
| Trading Companies & Distributors - 0.0% | |||
| WESCO International, Inc. (d) | |||
| (Cost $34,318) | 1,295 | 39,303 | |
| Money Market Funds - 7.5% | |||
| Fidelity Cash Central Fund 0.07% (e) | 20,587,455 | 20,591,573 | |
| Fidelity Securities Lending Cash Central Fund 0.08% (e)(f) | 31,309,349 | 31,312,480 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $51,901,808) | 51,904,053 | ||
| TOTAL INVESTMENT IN SECURITIES - 104.3% | |||
| (Cost $503,040,519) | 718,869,484 | ||
| NET OTHER ASSETS (LIABILITIES) - (4.3)% | (29,738,938) | ||
| NET ASSETS - 100% | $689,130,546 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CME E-mini Russell 2000 Index Contracts (United States) | 200 | March 2021 | $21,992,000 | $745,903 | $745,903 |
The notional amount of futures purchased as a percentage of Net Assets is 3.2%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(f) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $9,205 |
| Fidelity Securities Lending Cash Central Fund | 257,252 |
| Total | $266,457 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2021, 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 | $11,857,027 | $11,857,027 | $-- | $-- |
| Consumer Discretionary | 97,284,720 | 97,284,720 | -- | -- |
| Consumer Staples | 18,966,768 | 18,966,768 | -- | -- |
| Energy | 19,460,880 | 19,460,880 | -- | -- |
| Financials | 106,261,487 | 106,261,487 | -- | -- |
| Health Care | 125,474,447 | 125,474,447 | -- | -- |
| Industrials | 114,511,181 | 114,511,181 | -- | -- |
| Information Technology | 98,730,745 | 98,730,745 | -- | -- |
| Materials | 27,258,447 | 27,258,447 | -- | -- |
| Real Estate | 33,909,446 | 33,909,446 | -- | -- |
| Utilities | 13,250,283 | 13,250,283 | -- | -- |
| Money Market Funds | 51,904,053 | 51,904,053 | -- | -- |
| Total Investments in Securities: | $718,869,484 | $718,869,484 | $-- | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $745,903 | $745,903 | $-- | $-- |
| Total Assets | $745,903 | $745,903 | $-- | $-- |
| Total Derivative Instruments: | $745,903 | $745,903 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. 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) | $745,903 | $0 |
| Total Equity Risk | 745,903 | 0 |
| Total Value of Derivatives | $745,903 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| February 28, 2021 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $30,509,599) — See accompanying schedule: Unaffiliated issuers (cost $451,138,711) | $666,965,431 | |
| Fidelity Central Funds (cost $51,901,808) | 51,904,053 | |
| Total Investment in Securities (cost $503,040,519) | $718,869,484 | |
| Segregated cash with brokers for derivative instruments | 1,254,500 | |
| Cash | 8,252 | |
| Receivable for fund shares sold | 1,002,820 | |
| Dividends receivable | 313,022 | |
| Distributions receivable from Fidelity Central Funds | 10,929 | |
| Total assets | 721,459,007 | |
| Liabilities | ||
| Payable for fund shares redeemed | $642,727 | |
| Accrued management fee | 367,122 | |
| Payable for daily variation margin on futures contracts | 9,637 | |
| Other payables and accrued expenses | 2,640 | |
| Collateral on securities loaned | 31,306,335 | |
| Total liabilities | 32,328,461 | |
| Net Assets | $689,130,546 | |
| Net Assets consist of: | ||
| Paid in capital | $468,072,167 | |
| Total accumulated earnings (loss) | 221,058,379 | |
| Net Assets | $689,130,546 | |
| Net Asset Value, offering price and redemption price per share ($689,130,546 ÷ 39,847,977 shares) | $17.29 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended February 28, 2021 | ||
| Investment Income | ||
| Dividends | $6,076,546 | |
| Income from Fidelity Central Funds (including $257,252 from security lending) | 266,457 | |
| Total income | 6,343,003 | |
| Expenses | ||
| Management fee | $3,210,039 | |
| Independent trustees' fees and expenses | 2,745 | |
| Miscellaneous | 8,804 | |
| Total expenses before reductions | 3,221,588 | |
| Expense reductions | (363) | |
| Total expenses after reductions | 3,221,225 | |
| Net investment income (loss) | 3,121,778 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 19,899,608 | |
| Fidelity Central Funds | (1,966) | |
| Futures contracts | 2,534,624 | |
| Total net realized gain (loss) | 22,432,266 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 199,784,342 | |
| Fidelity Central Funds | (492) | |
| Futures contracts | 1,127,826 | |
| Total change in net unrealized appreciation (depreciation) | 200,911,676 | |
| Net gain (loss) | 223,343,942 | |
| Net increase (decrease) in net assets resulting from operations | $226,465,720 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended February 28, 2021 | Year ended February 29, 2020 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $3,121,778 | $5,952,818 |
| Net realized gain (loss) | 22,432,266 | (222,927) |
| Change in net unrealized appreciation (depreciation) | 200,911,676 | (58,998,241) |
| Net increase (decrease) in net assets resulting from operations | 226,465,720 | (53,268,350) |
| Distributions to shareholders | (3,468,457) | (5,905,233) |
| Share transactions | ||
| Proceeds from sales of shares | 106,402,264 | 51,342,519 |
| Reinvestment of distributions | 3,296,821 | 5,607,999 |
| Cost of shares redeemed | (159,526,301) | (182,987,536) |
| Net increase (decrease) in net assets resulting from share transactions | (49,827,216) | (126,037,018) |
| Total increase (decrease) in net assets | 173,170,047 | (185,210,601) |
| Net Assets | ||
| Beginning of period | 515,960,499 | 701,171,100 |
| End of period | $689,130,546 | $515,960,499 |
| Other Information | ||
| Shares | ||
| Sold | 7,884,913 | 4,135,743 |
| Issued in reinvestment of distributions | 214,777 | 426,140 |
| Redeemed | (13,863,858) | (14,743,945) |
| Net increase (decrease) | (5,764,168) | (10,182,062) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Small Cap Enhanced Index Fund
| Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.31 | $12.57 | $13.81 | $14.32 | $10.99 |
| Income from Investment Operations | |||||
| Net investment income (loss)B | .08 | .12 | .11 | .12 | .12 |
| Net realized and unrealized gain (loss) | 5.99 | (1.26) | .31 | .56 | 3.31 |
| Total from investment operations | 6.07 | (1.14) | .42 | .68 | 3.43 |
| Distributions from net investment income | (.09) | (.12) | (.12) | (.13) | (.10) |
| Distributions from net realized gain | – | – | (1.54) | (1.06) | – |
| Total distributions | (.09) | (.12) | (1.66) | (1.19) | (.10) |
| Redemption fees added to paid in capitalB | – | – | – | – | –C |
| Net asset value, end of period | $17.29 | $11.31 | $12.57 | $13.81 | $14.32 |
| Total ReturnD | 53.78% | (9.18)% | 4.01% | 4.95% | 31.15% |
| Ratios to Average Net AssetsE,F | |||||
| Expenses before reductions | .64% | .64% | .64% | .64% | .67% |
| Expenses net of fee waivers, if any | .64% | .64% | .64% | .64% | .67% |
| Expenses net of all reductions | .64% | .64% | .64% | .64% | .67% |
| Net investment income (loss) | .62% | .94% | .84% | .89% | .93% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $689,131 | $515,960 | $701,171 | $762,811 | $1,210,189 |
| Portfolio turnover rateG | 44% | 79% | 88% | 100% | 76% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees 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.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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.
G Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
1. Organization.
Fidelity Small Cap Enhanced Index Fund (the Fund) is a fund of Fidelity Commonwealth Trust II (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 Delaware statutory trust.
2. 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 following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
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 February 28, 2021, 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. 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, 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, passive foreign investment companies (PFIC), market discount, capital loss carryforwards, partnerships (including allocations from Fidelity Central Funds), 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 | $236,362,338 |
| Gross unrealized depreciation | (21,863,240) |
| Net unrealized appreciation (depreciation) | $214,499,098 |
| Tax Cost | $504,370,386 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed long-term capital gain | $7,127,143 |
| Net unrealized appreciation (depreciation) on securities and other investments | $214,499,098 |
The Fund intends to elect to defer to its next fiscal year $567,862 of ordinary losses recognized during the period January 1, 2021 to February 28, 2021.
The tax character of distributions paid was as follows:
| February 28, 2021 | February 28, 2020 | |
| Ordinary Income | $3,311,815 | $ 5,905,233 |
| Long-term Capital Gains | 156,642 | – |
| Total | $3,468,457 | $5,905,233 |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Small Cap Enhanced Index Fund | 218,183,744 | 277,678,933 |
5. 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 Fund pays an all-inclusive management fee based on annual rate of .64% of the Fund's average net assets; and the investment adviser pays all ordinary operating expenses of the Fund, except fees and expenses of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
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. Effective during January 2021, commitment fees are borne by the investment advisor.
| Amount | |
| Fidelity Small Cap Enhanced Index Fund | $1,123 |
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 Income Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Fidelity Small Cap Enhanced Index Fund | $25,972 | $14,948 | $132,864 |
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 $363.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Commonwealth Trust II and Shareholders of Fidelity Small Cap Enhanced Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Small Cap Enhanced Index Fund (one of the funds constituting Fidelity Commonwealth Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (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 February 28, 2021, 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 February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 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 February 28, 2021 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 14, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 309 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. David M. Thomas serves as Lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and other equity funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Bettina Doulton (1964)
Year of Election or Appointment: 2020
Trustee
Ms. Doulton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Doulton served in a variety of positions at Fidelity Investments, including as a managing director of research (2006-2007), portfolio manager to certain Fidelity® funds (1993-2005), equity analyst and portfolio assistant (1990-1993), and research assistant (1987-1990). Ms. Doulton currently owns and operates Phi Builders + Architects and Cellardoor Winery. Previously, Ms. Doulton served as a member of the Board of Brown Capital Management, LLC (2013-2018).
Robert A. Lawrence (1952)
Year of Election or Appointment: 2020
Trustee
Acting Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Dennis J. Dirks (1948)
Year of Election or Appointment: 2018
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks served as Chief Operating Officer and as a member of the Board of The Depository Trust & Clearing Corporation (financial markets infrastructure), President, Chief Operating Officer and a member of the Board of The Depository Trust Company (DTC), President and a member of the Board of the National Securities Clearing Corporation (NSCC), Chief Executive Officer and a member of the Board of the Government Securities Clearing Corporation and Chief Executive Officer and a member of the Board of the Mortgage-Backed Securities Clearing Corporation. Mr. Dirks currently serves as a member of the Finance Committee (2016-present) and Board (2017-present) and is Treasurer (2018-present) of the Asolo Repertory Theatre.
Donald F. Donahue (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Donahue also serves as Trustee of other Fidelity® funds. Mr. Donahue serves as President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 2012-present). Previously, Mr. Donahue served as Chief Executive Officer (2006-2012), Chief Operating Officer (2003-2006) and Managing Director, Customer Marketing and Development (1999-2003) of The Depository Trust & Clearing Corporation (financial markets infrastructure). Mr. Donahue currently serves as a member (2007-present) and Co-Chairman (2016-present) of the Board of United Way of New York, a member of the Board of NYC Leadership Academy (2012-present) and a member of the Board of Advisors of Ripple Labs, Inc. (financial services, 2015-present). Mr. Donahue previously served as a member of the Advisory Board of certain Fidelity® funds (2015-2018).
Vicki L. Fuller (1957)
Year of Election or Appointment: 2020
Trustee
Ms. Fuller also serves as Trustee of other Fidelity® funds. Previously, Ms. Fuller served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chief Investment Officer of the New York State Common Retirement Fund (2012-2018) and held a variety of positions at AllianceBernstein L.P. (global asset management, 1985-2012), including Managing Director (2006-2012) and Senior Vice President and Senior Portfolio Manager (2001-2006). Ms. Fuller currently serves as a member of the Board, Audit Committee and Nominating and Governance Committee of The Williams Companies, Inc. (natural gas infrastructure, 2018-present), as a member of the Board, Audit Committee and Nominating and Governance Committee of two Blackstone business development companies (2020-present) and as a member of the Board of Treliant, LLC (consulting, 2019-present).
Patricia L. Kampling (1959)
Year of Election or Appointment: 2020
Trustee
Ms. Kampling also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Kampling served as Chairman of the Board and Chief Executive Officer (2012-2019), President and Chief Operating Officer (2011-2012) and Executive Vice President and Chief Financial Officer (2010-2011) of Alliant Energy Corporation. Ms. Kampling currently serves as a member of the Board, Compensation Committee and Executive Committee and as Chair of the Audit Committee of Briggs & Stratton Corporation (manufacturing, 2011-present) and as a member of the Board, Audit, Finance and Risk Committee and Safety, Environmental, Technology and Operations Committee of American Water Works Company, Inc. (utilities company, 2019-present). In addition, Ms. Kampling currently serves as a member of the Board of the Nature Conservancy, Wisconsin Chapter (2019-present). Previously, Ms. Kampling served as a Member of the Advisory Board of certain Fidelity® funds (2020), a member of the Board of Interstate Power and Light Company (2012-2019) and Wisconsin Power and Light Company (2012-2019) (each a subsidiary of Alliant Energy Corporation) and as a member of the Board and Workforce Development Committee of the Business Roundtable (2018-2019).
Thomas A. Kennedy (1955)
Year of Election or Appointment: 2021
Trustee
Mr. Kennedy also serves as Trustee of other Fidelity® funds. Previously, Mr. Kennedy served as a Member of the Advisory Board of certain Fidelity® funds (2020) and held a variety of positions at Raytheon Company (aerospace and defense, 1983-2020), including Chairman and Chief Executive Officer (2014-2020) and Executive Vice President and Chief Operating Officer (2013-2014). Mr. Kennedy currently serves as Executive Chairman of the Board of Directors of Raytheon Technologies Corporation (aerospace and defense, 2020-present). He is also a member of the Rutgers School of Engineering Industry Advisory Board (2011-present) and a member of the UCLA Engineering Dean’s Executive Board (2016-present).
Garnett A. Smith (1947)
Year of Election or Appointment: 2017
Trustee
Mr. Smith also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Smith served as Chairman and Chief Executive Officer (1990-1997) and President (1986-1990) of Inbrand Corp. (manufacturer of personal absorbent products). Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank (now Bank of America). Mr. Smith previously served as a member of the Advisory Board of certain Fidelity® funds (2012-2013).
David M. Thomas (1949)
Year of Election or Appointment: 2018
Trustee
Lead Independent Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). Mr. Thomas currently serves as Non-Executive Chairman of the Board of Fortune Brands Home and Security (home and security products, 2011-present), and a member of the Board (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication).
Susan Tomasky (1953)
Year of Election or Appointment: 2020
Trustee
Ms. Tomasky also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Tomasky served in various executive officer positions at American Electric Power Company, Inc. (1998-2011), including most recently as President of AEP Transmission (2007-2011). Ms. Tomasky currently serves as a member of the Board and Sustainability Committee and as Chair of the Audit Committee of Marathon Petroleum Corporation (2018-present) and as a member of the Board, Corporate Governance Committee and Organization and Compensation Committee and as Chair of the Audit Committee of Public Service Enterprise Group, Inc. (utilities company, 2012-present). In addition, Ms. Tomasky currently serves as a member of the Board of the Columbus Regional Airport Authority (2007-present), as a member of the Board of the Royal Shakespeare Company – America (2009-present), as a member of the Board of the Columbus Association for the Performing Arts (2011-present) and as a member of the Board of Kenyon College (2016-present). Previously, Ms. Tomasky served as a Member of the Advisory Board of certain Fidelity® funds (2020), a member of the Board (2011-2019) and as Lead Independent Director (2015-2018) of Andeavor Corporation (previously Tesoro Corporation) (independent oil refiner and marketer) and as a member of the Board of Summit Midstream Partners LP (energy, 2012-2018).
Michael E. Wiley (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Wiley also serves as Trustee of other Fidelity® funds. Previously, Mr. Wiley served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chairman, President and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004). Mr. Wiley also previously served as a member of the Board of Andeavor Corporation (independent oil refiner and marketer, 2005-2018), a member of the Board of Andeavor Logistics LP (natural resources logistics, 2015-2018) and a member of the Board of High Point Resources (exploration and production, 2005-2020).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Lautenbach also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Lautenbach currently serves as Chair of the Board of Governors, State University System of Florida (2013-present) and is a member of the Council on Foreign Relations (1994-present). He is also a member and has in the past served as Chairman of the Board of Directors of Artis-Naples (2012-present). Previously, Mr. Lautenbach served as a Trustee of certain Fidelity® funds (2000-2020) and a member and then Lead Director of the Board of Directors of Eaton Corporation (diversified industrial, 1997-2016). He was also a Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010); as well as Director of Sony Corporation (2006-2007). In addition, Mr. Lautenbach had a 30-year career with IBM (technology company), during which time he served as Senior Vice President and as a member of the Corporate Executive Committee (1968-1998).
Peter S. Lynch (1944)
Year of Election or Appointment: 2018
Member of the Advisory Board
Mr. Lynch also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of Fidelity Management & Research Company LLC (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served as Vice Chairman and a Director of FMR Co., Inc. (investment adviser firm) and on the Special Olympics International Board of Directors (1997-2006).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
William C. Coffey (1969)
Year of Election or Appointment: 2019
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Secretary and CLO of certain funds (2018-2019); CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-2019); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-2019); and Assistant Secretary of certain funds (2009-2018).
Timothy M. Cohen (1969)
Year of Election or Appointment: 2018
Vice President
Mr. Cohen also serves as Vice President of other funds. Mr. Cohen serves as Co-Head of Equity (2018-present), a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), and is an employee of Fidelity Investments. Previously, Mr. Cohen served as Executive Vice President of Fidelity SelectCo, LLC (2019), Head of Global Equity Research (2016-2018), Chief Investment Officer - Equity and a Director of Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2013-2015) and as a Director of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2017).
Jonathan Davis (1968)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2020
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Pamela R. Holding (1964)
Year of Election or Appointment: 2018
Vice President
Ms. Holding also serves as Vice President of other funds. Ms. Holding serves as Co-Head of Equity (2018-present) and is an employee of Fidelity Investments (2013-present). Previously, Ms. Holding served as Executive Vice President of Fidelity SelectCo, LLC (2019) and as Chief Investment Officer of Fidelity Institutional Asset Management (2013-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2020
Deputy Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Pogorelec also serves as Chief Compliance Officer of other funds. Mr. Pogorelec is a senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2006-present). Previously, Mr. Pogorelec served as Vice President, Associate General Counsel for Fidelity Investments (2010-2020) and Assistant Secretary of certain Fidelity funds (2015-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 |
|
| Fidelity Small Cap Enhanced Index Fund | .64% | |||
| Actual | $1,000.00 | $1,441.00 | $3.87 | |
| Hypothetical-C | $1,000.00 | $1,021.62 | $3.21 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Small Cap Enhanced Index Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $0.172 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $7,286,715, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% of the dividend distributed during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of the dividend distributed in 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 will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts
Fidelity Small Cap Enhanced Index Fund
At its January 2021 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract with Fidelity Management & Research Company LLC (FMR), and the sub-advisory agreements and sub-subadvisory agreements, in each case, where applicable (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC, for four months from February 1, 2021 through May 31, 2021, in connection with changes to the Board's meeting calendar.The Board considered that the approval of the fund's Advisory Contracts will not result in any changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the fees and expenses paid by shareholders; (iii) the nature, extent or quality of services provided under the fund's Advisory Contracts; or (iv) the day-to-day management of the fund or the persons primarily responsible for such management. The Board also considered that since its last approval of the fund's Advisory Contracts, FMR had provided additional information on the fund in support of the annual contract renewal process, including competitive analyses on total expenses and management fees and in-depth reviews of fund performance and fund profitability information. The Board also considered the findings of certain ad hoc committees that had been previously formed to discuss matters relevant to all of the Fidelity funds, including economies of scale, fall-out benefits and retail vs. institutional funds. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through May 31, 2021, with the understanding that the Board will consider the annual renewal for a full one year period in May 2021.In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider: (i) the nature, extent and quality of services provided to the funds, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's management fee structure is fair and reasonable, and that the continuation of the fund's Advisory Contracts should be approved for four months from February 1, 2021 through May 31, 2021.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on June 9, 2020. 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 |
|
| Dennis J. Dirks | ||
| Affirmative | 5,574,535,287.469 | 92.763 |
| Withheld | 434,874,126.147 | 7.237 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Donald F. Donahue | ||
| Affirmative | 5,580,170,513.183 | 92.857 |
| Withheld | 429,238,900.432 | 7.143 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Bettina Doulton | ||
| Affirmative | 5,613,263,967.947 | 93.408 |
| Withheld | 396,145,445.669 | 6.592 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Vicki L. Fuller | ||
| Affirmative | 5,634,796,072.779 | 93.766 |
| Withheld | 374,613,340.837 | 6.234 |
| TOTAL | 6,009,409,413.616 | 100.00 |
| Patricia L. Kampling | ||
| Affirmative | 5,595,247,247.638 | 93.108 |
| Withheld | 414,162,165.978 | 6.892 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Alan J. Lacy | ||
| Affirmative | 5,547,430,383.934 | 92.312 |
| Withheld | 461,979,029.681 | 7.688 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Ned C. Lautenbach | ||
| Affirmative | 5,444,850,891.997 | 90.605 |
| Withheld | 564,558,521.619 | 9.395 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Robert A. Lawrence | ||
| Affirmative | 5,556,314,439.390 | 92.460 |
| Withheld | 453,094,974.226 | 7.540 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Joseph Mauriello | ||
| Affirmative | 5,511,594,508.749 | 91.716 |
| Withheld | 497,814,904.867 | 8.284 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Cornelia M. Small | ||
| Affirmative | 5,567,879,551.358 | 92.653 |
| Withheld | 441,529,862.258 | 7.347 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Garnett A. Smith | ||
| Affirmative | 5,533,904,369.353 | 92.087 |
| Withheld | 475,505,044.262 | 7.913 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| David M. Thomas | ||
| Affirmative | 5,540,360,344.547 | 92.195 |
| Withheld | 469,049,069.069 | 7.805 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Susan Tomasky | ||
| Affirmative | 5,600,660,192.156 | 93.198 |
| Withheld | 408,749,221.459 | 6.802 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Michael E. Wiley | ||
| Affirmative | 5,540,897,405.806 | 92.204 |
| Withheld | 468,512,007.810 | 7.796 |
| TOTAL | 6,009,409,413.616 | 100.000 |
| Proposal 1 reflects trust wide proposal and voting results. |
SCE-ANN-0421
1.9885266.104
Item 2.
Code of Ethics
As of the end of the period, February 28, 2021, Fidelity Commonwealth Trust II (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 Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue 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 PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Small Cap Enhanced Index Fund (the “Fund”):
Services Billed by PwC
February 28, 2021 FeesA
| | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
| Fidelity Small Cap Enhanced Index Fund | $36,900 | $3,300 | $9,000 | $1,300 |
February 29, 2020 FeesA
| | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
| Fidelity Small Cap Enhanced Index Fund | $37,600 | $3,600 | $9,000 | $1,500 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by 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 PwC
| | February 28, 2021A | February 29, 2020A |
| Audit-Related Fees | $9,436,200 | $7,927,700 |
| Tax Fees | $14,300 | $28,000 |
| All Other Fees | $- | $- |
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 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 | February 28, 2021A | February 29, 2020A |
| PwC | $14,539,000 | $12,607,500 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from 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).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
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 11.
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 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
| (a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
| (a) | (2) | |
| (a) | (3) | Not applicable. |
| (b) | |
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 Commonwealth Trust II
| By: | /s/Stacie M. Smith |
| | Stacie M. Smith |
| | President and Treasurer |
| | |
| Date: | April 21, 2021 |
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/Stacie M. Smith |
| | Stacie M. Smith |
| | President and Treasurer |
| | |
| Date: | April 21, 2021 |
| By: | /s/John J. Burke III |
| | John J. Burke III |
| | Chief Financial Officer |
| | |
| Date: | April 21, 2021 |