N-CSRS 1 main.htm

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 811-21991

Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)

John Hitt, 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:

May 31

 

 

Date of reporting period:

November 30, 2015

Item 1. Reports to Stockholders

Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers®
Core Fund

Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015 to
November 30, 2015

Actual

.18%

$ 1,000.00

$ 983.20

$ .89

HypotheticalA

 

$ 1,000.00

$ 1,024.10

$ .91

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

JPMorgan U.S. Large Cap Core Plus Fund Select Class*

11.4

11.9

FMI Large Cap Fund

4.1

4.5

Putnam Equity Spectrum Fund Class A

2.8

3.2

BBH Core Select Fund Class N

2.4

2.3

Fidelity Advisor Technology Fund Class I

2.2

2.3

Apple, Inc.

1.9

2.2

Fidelity Financial Services Portfolio

1.8

1.9

Spartan 500 Index Fund Investor Class

1.7

2.3

Fidelity Health Care Portfolio

1.6

1.9

Microsoft Corp.

1.4

1.2

 

31.3

* The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

12.2

12.3

Financials

10.8

9.8

Health Care

9.7

9.2

Consumer Discretionary

7.8

7.8

Industrials

7.4

6.8

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

one732555

Stocks 62.5%

 

one732557

Stocks 60.8%

 

one732559

Convertible Bonds 0.0%

 

one732561

Convertible Bonds 0.0%

 

one732563

Large Blend Funds 21.0%

 

one732565

Large Blend Funds 22.2%

 

one732567

Large Growth
Funds 0.3%

 

one732569

Large Growth
Funds 0.4%

 

one732571

Large Value Funds 1.0%

 

one732573

Large Value Funds 0.0%

 

one732575

Mid-Cap Blend
Funds 2.8%

 

one732577

Mid-Cap Blend
Funds 3.2%

 

one732579

Sector Funds 10.8%

 

one732581

Sector Funds 11.9%

 

one732583

Short-Term
Investments and
Net Other Assets (Liabilities) 1.6%

 

one732585

Short-Term
Investments and
Net Other Assets (Liabilities) 1.5%

 

one732587

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 62.5%

Shares

Value

CONSUMER DISCRETIONARY - 7.8%

Auto Components - 0.2%

Autoliv, Inc.

34,100

$ 4,290,803

BorgWarner, Inc.

138,500

5,912,565

Cooper Tire & Rubber Co.

39,800

1,671,202

Delphi Automotive PLC

86,960

7,642,045

Gentex Corp.

37,600

629,236

Johnson Controls, Inc.

423,000

19,458,000

Lear Corp.

95,900

12,073,810

The Goodyear Tire & Rubber Co.

192,200

6,703,936

 

58,381,597

Automobiles - 0.3%

Ford Motor Co.

1,383,803

19,829,897

General Motors Co.

695,239

25,167,652

Harley-Davidson, Inc.

305,720

14,955,822

Tesla Motors, Inc. (a)

22,760

5,240,718

 

65,194,089

Hotels, Restaurants & Leisure - 1.3%

Brinker International, Inc.

61,900

2,823,878

Carnival Corp. unit

212,600

10,742,678

Chipotle Mexican Grill, Inc. (a)

34,728

20,126,612

Darden Restaurants, Inc.

36,600

2,055,822

Dunkin' Brands Group, Inc.

58,562

2,484,200

Hilton Worldwide Holdings, Inc.

346,600

8,048,052

Hyatt Hotels Corp. Class A (a)

4,200

207,018

Las Vegas Sands Corp.

110,800

4,881,848

Marriott International, Inc. Class A

19,800

1,404,018

McDonald's Corp.

530,805

60,596,699

MGM Mirage, Inc. (a)

226,200

5,143,788

Norwegian Cruise Line Holdings Ltd. (a)

123,900

7,116,816

Royal Caribbean Cruises Ltd.

169,395

15,687,671

Starbucks Corp.

624,701

38,350,394

Wyndham Worldwide Corp.

1,659,328

125,976,182

Yum! Brands, Inc.

168,871

12,244,836

 

317,890,512

Household Durables - 0.3%

D.R. Horton, Inc.

406,430

13,131,753

Harman International Industries, Inc.

125,592

12,956,071

Lennar Corp. Class A

682,236

34,937,306

Mohawk Industries, Inc. (a)

8,600

1,640,192

PulteGroup, Inc.

343,945

6,700,049

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Toll Brothers, Inc. (a)

155,676

$ 5,788,034

Whirlpool Corp.

38,200

6,208,264

 

81,361,669

Internet & Catalog Retail - 0.8%

Amazon.com, Inc. (a)

191,893

127,570,466

Netflix, Inc. (a)

77,300

9,533,409

Priceline Group, Inc. (a)

45,259

56,521,702

TripAdvisor, Inc. (a)

146,713

12,084,750

 

205,710,327

Leisure Products - 0.0%

Mattel, Inc.

498,900

12,402,654

Media - 2.8%

AMC Networks, Inc. Class A (a)

6,500

528,515

CBS Corp. Class B

56,000

2,826,880

Charter Communications, Inc. Class A (a)

585,204

109,643,821

Comcast Corp.:

Class A

2,539,477

154,552,570

Class A (special) (non-vtg.)

629,850

38,446,044

Discovery Communications, Inc. Class A (a)

19,300

601,002

DISH Network Corp. Class A (a)

233,706

14,655,703

Gannett Co., Inc.

32,450

554,246

Liberty Media Corp. Class A (a)

648,480

26,269,925

MSG Network, Inc. Class A (a)

1,040,419

20,579,488

News Corp. Class A

518,400

7,439,040

Omnicom Group, Inc.

31,300

2,313,696

Starz Series A (a)

51,982

1,833,925

Tegna, Inc.

94,000

2,655,500

The Madison Square Garden Co. (a)

292,224

47,474,711

The Walt Disney Co.

811,736

92,107,684

Time Warner Cable, Inc.

82,375

15,220,429

Time Warner, Inc.

1,379,022

96,503,960

Twenty-First Century Fox, Inc. Class A

1,673,152

49,374,716

Viacom, Inc. Class B (non-vtg.)

443,800

22,096,802

 

705,678,657

Multiline Retail - 0.3%

Big Lots, Inc.

13,500

607,365

Dillard's, Inc. Class A

19,700

1,477,500

Dollar General Corp.

108,500

7,096,985

Kohl's Corp.

92,500

4,359,525

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Macy's, Inc.

107,700

$ 4,208,916

Target Corp.

660,100

47,857,250

 

65,607,541

Specialty Retail - 1.5%

Abercrombie & Fitch Co. Class A

36,100

923,077

AutoNation, Inc. (a)

626,840

40,067,613

AutoZone, Inc. (a)

24,295

19,041,692

Best Buy Co., Inc.

394,615

12,540,865

CarMax, Inc. (a)

268,200

15,367,860

Foot Locker, Inc.

57,600

3,744,000

GameStop Corp. Class A

13,200

462,396

Gap, Inc.

108,400

2,897,532

Home Depot, Inc.

663,400

88,815,992

L Brands, Inc.

128,300

12,241,103

Lowe's Companies, Inc.

1,403,862

107,535,829

Penske Automotive Group, Inc.

11,500

536,590

Ross Stores, Inc.

270,460

14,066,625

Staples, Inc.

27,100

327,097

Tiffany & Co., Inc.

146,245

11,652,802

TJX Companies, Inc.

410,315

28,968,239

Tractor Supply Co.

59,000

5,271,650

 

364,460,962

Textiles, Apparel & Luxury Goods - 0.3%

Coach, Inc.

26,600

845,082

Hanesbrands, Inc.

602,000

18,463,340

NIKE, Inc. Class B

270,200

35,742,056

PVH Corp.

10,700

976,803

Ralph Lauren Corp.

88,869

11,038,418

VF Corp.

201,176

13,016,087

 

80,081,786

TOTAL CONSUMER DISCRETIONARY

1,956,769,794

CONSUMER STAPLES - 6.4%

Beverages - 2.2%

Anheuser-Busch InBev SA NV ADR

5,300

680,838

Coca-Cola Enterprises, Inc.

2,009,920

101,098,976

Diageo PLC

399,484

11,457,705

Dr. Pepper Snapple Group, Inc.

122,800

11,021,300

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

Molson Coors Brewing Co. Class B

1,464,703

$ 134,796,617

PepsiCo, Inc.

2,029,789

203,303,666

SABMiller PLC

26,211

1,591,491

The Coca-Cola Co.

2,081,627

88,718,943

 

552,669,536

Food & Staples Retailing - 1.5%

Costco Wholesale Corp.

273,448

44,139,976

CVS Health Corp.

1,763,303

165,909,179

Kroger Co.

2,686,368

101,168,619

Rite Aid Corp. (a)

305,200

2,404,976

Sysco Corp.

179,645

7,383,410

Wal-Mart Stores, Inc.

397,100

23,365,364

Walgreens Boots Alliance, Inc.

344,004

28,906,656

Whole Foods Market, Inc.

183,000

5,334,450

 

378,612,630

Food Products - 1.3%

Archer Daniels Midland Co.

300,700

10,972,543

Bunge Ltd.

140,800

9,378,688

Cal-Maine Foods, Inc.

38,400

2,093,184

ConAgra Foods, Inc.

234,300

9,589,899

Fresh Del Monte Produce, Inc.

48,300

2,111,193

General Mills, Inc.

403,498

23,306,044

Ingredion, Inc.

49,500

4,879,215

Kellogg Co.

424,363

29,183,444

Keurig Green Mountain, Inc.

159,200

8,342,080

Mead Johnson Nutrition Co. Class A

285,008

22,968,795

Mondelez International, Inc.

3,190,701

139,306,006

Sanderson Farms, Inc.

30,300

2,266,743

The Hershey Co.

63,578

5,487,417

The Kraft Heinz Co.

124,112

9,145,813

Tyson Foods, Inc. Class A

744,230

37,211,500

 

316,242,564

Household Products - 0.5%

Colgate-Palmolive Co.

126,100

8,282,248

Henkel AG & Co. KGaA

43,811

4,205,311

Procter & Gamble Co.

1,454,833

108,879,702

 

121,367,261

Personal Products - 0.0%

Edgewell Personal Care Co. (a)

6,300

507,150

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - continued

Estee Lauder Companies, Inc. Class A

21,900

$ 1,842,228

Herbalife Ltd. (a)

9,700

559,981

 

2,909,359

Tobacco - 0.9%

Altria Group, Inc.

307,000

17,683,200

British American Tobacco PLC sponsored ADR

129,310

14,966,339

Philip Morris International, Inc.

1,301,443

113,733,104

Reynolds American, Inc.

1,551,269

71,746,191

 

218,128,834

TOTAL CONSUMER STAPLES

1,589,930,184

ENERGY - 4.0%

Energy Equipment & Services - 0.4%

Atwood Oceanics, Inc.

30,500

484,340

Baker Hughes, Inc.

384,348

20,781,696

Cameron International Corp. (a)

77,400

5,285,646

Ensco PLC Class A

103,700

1,775,344

FMC Technologies, Inc. (a)

29,400

1,000,188

Halliburton Co.

456,700

18,199,495

Helmerich & Payne, Inc.

38,300

2,230,975

National Oilwell Varco, Inc.

115,500

4,312,770

Noble Corp.

154,600

2,051,542

Oceaneering International, Inc.

83,200

3,639,168

Rowan Companies PLC

156,000

3,171,480

Schlumberger Ltd.

519,816

40,103,804

 

103,036,448

Oil, Gas & Consumable Fuels - 3.6%

Anadarko Petroleum Corp.

325,912

19,522,129

Apache Corp.

552,000

27,147,360

Cabot Oil & Gas Corp.

404,785

7,622,102

Canadian Natural Resources Ltd.

98,700

2,390,174

Chevron Corp.

1,528,104

139,546,457

Cimarex Energy Co.

88,700

10,557,074

Columbia Pipeline Group, Inc.

456,298

8,747,233

Concho Resources, Inc. (a)

132,254

14,473,878

ConocoPhillips Co.

566,245

30,605,542

Continental Resources, Inc. (a)

147,700

5,361,510

EOG Resources, Inc.

376,955

31,449,356

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

EQT Corp.

333,008

$ 19,054,718

Exxon Mobil Corp.

2,848,322

232,593,975

HollyFrontier Corp.

235,543

11,324,907

Imperial Oil Ltd.

442,300

14,367,422

Kinder Morgan, Inc.

516,700

12,178,619

Magellan Midstream Partners LP

42,166

2,636,640

Marathon Oil Corp.

106,500

1,864,815

Marathon Petroleum Corp.

792,287

46,277,484

Noble Energy, Inc.

176,297

6,464,811

Occidental Petroleum Corp.

1,127,904

85,258,263

Phillips 66 Co.

237,700

21,756,681

Pioneer Natural Resources Co.

52,300

7,570,425

Range Resources Corp.

135,200

3,864,016

Spectra Energy Corp.

234,300

6,138,660

Suncor Energy, Inc.

1,530,287

42,283,568

Tesoro Corp.

32,800

3,777,576

The Williams Companies, Inc.

307,154

11,229,550

Total SA sponsored ADR

215,000

10,631,750

Valero Energy Corp.

712,975

51,234,384

Western Refining, Inc.

10,500

475,230

 

888,406,309

TOTAL ENERGY

991,442,757

FINANCIALS - 10.8%

Banks - 5.2%

Bank of America Corp.

9,637,319

167,978,470

BB&T Corp.

322,256

12,445,527

BOK Financial Corp.

8,700

598,995

CIT Group, Inc.

78,100

3,355,176

Citigroup, Inc.

4,800,563

259,662,453

Citizens Financial Group, Inc.

45,040

1,199,415

Comerica, Inc.

23,600

1,093,860

Commerce Bancshares, Inc.

13,314

611,379

Cullen/Frost Bankers, Inc.

8,000

558,320

East West Bancorp, Inc.

164,655

7,142,734

Fifth Third Bancorp

470,000

9,714,900

Huntington Bancshares, Inc.

449,200

5,251,148

Investors Bancorp, Inc.

43,700

560,234

JPMorgan Chase & Co.

3,712,688

247,562,036

KeyCorp

438,900

5,753,979

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

M&T Bank Corp.

148,250

$ 18,580,173

Peoples United Financial, Inc.

34,000

569,500

PNC Financial Services Group, Inc.

333,974

31,897,857

Regions Financial Corp.

1,278,800

12,967,032

Standard Chartered PLC:

rights 12/10/15 (a)

127,439

174,662

(United Kingdom)

446,039

3,743,154

SunTrust Banks, Inc.

327,300

14,211,366

SVB Financial Group (a)

67,653

8,962,669

Synovus Financial Corp.

16,900

564,122

U.S. Bancorp

4,583,309

201,161,432

Wells Fargo & Co.

5,172,741

285,018,029

 

1,301,338,622

Capital Markets - 1.6%

Ameriprise Financial, Inc.

262,668

29,668,351

Bank of New York Mellon Corp.

818,657

35,889,923

BlackRock, Inc. Class A

103,699

37,717,400

Charles Schwab Corp.

994,450

33,522,910

E*TRADE Financial Corp. (a)

360,100

10,957,843

Eaton Vance Corp. (non-vtg.)

14,500

520,840

Franklin Resources, Inc.

39,500

1,655,840

Goldman Sachs Group, Inc.

287,071

54,549,231

Invesco Ltd.

288,714

9,726,775

LPL Financial

87,500

4,023,250

Morgan Stanley

2,626,034

90,072,966

Northern Trust Corp.

191,100

14,321,034

Och-Ziff Capital Management Group LLC Class A

291,600

1,802,088

State Street Corp.

810,400

58,818,832

T. Rowe Price Group, Inc.

32,400

2,467,260

TD Ameritrade Holding Corp.

126,200

4,622,706

 

390,337,249

Consumer Finance - 0.4%

Ally Financial, Inc. (a)

39,662

791,654

American Express Co.

339,491

24,321,135

Capital One Financial Corp.

153,900

12,082,689

Discover Financial Services

564,573

32,045,163

Navient Corp.

71,000

845,610

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - continued

Nelnet, Inc. Class A

32,500

$ 1,072,500

Synchrony Financial (a)

868,499

27,644,323

 

98,803,074

Diversified Financial Services - 0.8%

Berkshire Hathaway, Inc. Class B (a)

580,343

77,818,193

CME Group, Inc.

264,407

25,819,344

IntercontinentalExchange, Inc.

113,613

29,521,202

Leucadia National Corp.

45,700

807,976

McGraw Hill Financial, Inc.

571,424

55,125,273

The NASDAQ OMX Group, Inc.

21,200

1,242,744

Voya Financial, Inc.

28,200

1,147,740

 

191,482,472

Insurance - 1.8%

ACE Ltd.

452,957

52,022,111

AFLAC, Inc.

163,200

10,647,168

Alleghany Corp. (a)

2,100

1,069,656

Allstate Corp.

171,400

10,757,064

American Financial Group, Inc.

67,600

5,002,400

American International Group, Inc.

915,940

58,235,465

Arch Capital Group Ltd. (a)

15,800

1,145,026

Arthur J. Gallagher & Co.

98,162

4,294,588

Assurant, Inc.

69,900

5,977,848

Axis Capital Holdings Ltd.

51,700

2,895,200

Cincinnati Financial Corp.

18,000

1,099,980

CNA Financial Corp.

200,800

7,377,392

Endurance Specialty Holdings Ltd.

52,390

3,455,644

Everest Re Group Ltd.

58,400

10,771,296

FNF Group

170,973

6,129,382

Genworth Financial, Inc. Class A (a)

500,629

2,528,176

Hanover Insurance Group, Inc.

41,900

3,544,740

Hartford Financial Services Group, Inc.

361,200

16,485,168

Lincoln National Corp.

201,900

11,102,481

Loews Corp.

521,900

19,774,791

Markel Corp. (a)

1,500

1,357,755

Marsh & McLennan Companies, Inc.

548,755

30,346,152

MetLife, Inc.

1,448,389

73,998,194

Principal Financial Group, Inc.

37,800

1,945,188

Progressive Corp.

75,400

2,323,828

Prudential Financial, Inc.

169,100

14,635,605

Reinsurance Group of America, Inc.

34,300

3,151,484

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

The Chubb Corp.

142,100

$ 18,548,313

The Travelers Companies, Inc.

200,700

22,994,199

Torchmark Corp.

45,500

2,758,210

Unum Group

200,875

7,368,095

W.R. Berkley Corp.

15,900

884,994

Willis Group Holdings PLC

217,300

9,987,108

XL Group PLC Class A

582,764

22,249,930

 

446,864,631

Real Estate Investment Trusts - 1.0%

American Tower Corp.

330,474

32,842,506

Annaly Capital Management, Inc.

574,200

5,500,836

AvalonBay Communities, Inc.

144,506

26,269,746

Crown Castle International Corp.

1,093,451

93,938,375

Federal Realty Investment Trust (SBI)

39,700

5,816,844

General Growth Properties, Inc.

194,500

4,953,915

Hospitality Properties Trust (SBI)

185,900

5,162,443

Iron Mountain, Inc.

164,417

4,567,504

Piedmont Office Realty Trust, Inc. Class A

104,000

2,026,960

Prologis, Inc.

395,233

16,896,211

Public Storage

30,900

7,417,854

Simon Property Group, Inc.

151,686

28,250,001

SL Green Realty Corp.

40,800

4,817,664

VEREIT, Inc.

310,400

2,585,632

Vornado Realty Trust

115,300

11,156,428

Weyerhaeuser Co.

174,821

5,623,992

 

257,826,911

Real Estate Management & Development - 0.0%

Jones Lang LaSalle, Inc.

5,600

930,272

Thrifts & Mortgage Finance - 0.0%

New York Community Bancorp, Inc.

56,100

920,040

Radian Group, Inc.

113,300

1,614,525

 

2,534,565

TOTAL FINANCIALS

2,690,117,796

HEALTH CARE - 9.7%

Biotechnology - 2.2%

AbbVie, Inc.

900,422

52,359,539

Alexion Pharmaceuticals, Inc. (a)

219,016

39,081,215

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Amgen, Inc.

718,740

$ 115,789,014

Baxalta, Inc.

2,075,702

71,362,635

Biogen, Inc. (a)

149,027

42,749,885

BioMarin Pharmaceutical, Inc. (a)

78,307

7,468,139

Celgene Corp. (a)

366,532

40,116,927

Gilead Sciences, Inc.

1,077,993

114,224,138

Incyte Corp. (a)

52,700

6,020,448

Intercept Pharmaceuticals, Inc. (a)

13,700

2,418,187

Regeneron Pharmaceuticals, Inc. (a)

28,300

15,409,350

United Therapeutics Corp. (a)

24,600

3,754,698

Vertex Pharmaceuticals, Inc. (a)

239,466

30,977,322

 

541,731,497

Health Care Equipment & Supplies - 1.9%

Abbott Laboratories

3,440,702

154,556,334

Baxter International, Inc.

489,781

18,440,255

Becton, Dickinson & Co.

598,061

89,858,665

Boston Scientific Corp. (a)

1,201,165

21,957,296

Edwards Lifesciences Corp. (a)

23,700

3,863,100

Intuitive Surgical, Inc. (a)

28,700

14,924,574

Medtronic PLC

1,977,213

148,963,227

St. Jude Medical, Inc.

74,800

4,719,880

Stryker Corp.

150,000

14,469,000

 

471,752,331

Health Care Providers & Services - 1.7%

Aetna, Inc.

439,262

45,134,171

Anthem, Inc.

193,500

25,228,530

Cardinal Health, Inc.

28,300

2,457,855

Cigna Corp.

95,500

12,890,590

DaVita HealthCare Partners, Inc. (a)

125,100

9,137,304

Express Scripts Holding Co. (a)

444,091

37,960,899

HCA Holdings, Inc. (a)

228,900

15,578,934

Humana, Inc.

146,015

24,626,890

Laboratory Corp. of America Holdings (a)

24,500

2,977,730

McKesson Corp.

469,286

88,859,304

Quest Diagnostics, Inc.

85,200

5,820,864

UnitedHealth Group, Inc.

1,291,838

145,603,061

Universal Health Services, Inc. Class B

11,800

1,433,936

 

417,710,068

Life Sciences Tools & Services - 0.1%

Agilent Technologies, Inc.

204,600

8,556,372

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

Illumina, Inc. (a)

47,662

$ 8,765,042

Thermo Fisher Scientific, Inc.

155,759

21,557,046

 

38,878,460

Pharmaceuticals - 3.8%

Allergan PLC (a)

297,816

93,481,464

Bristol-Myers Squibb Co.

1,139,818

76,379,204

Eli Lilly & Co.

687,000

56,361,480

GlaxoSmithKline PLC sponsored ADR

723,600

29,313,036

Johnson & Johnson

2,495,930

252,687,953

Mallinckrodt PLC (a)

223,200

15,157,512

Merck & Co., Inc.

811,672

43,026,733

Mylan N.V.

111,046

5,696,660

Novartis AG sponsored ADR

32,371

2,759,304

Pfizer, Inc.

7,014,423

229,862,642

Shire PLC sponsored ADR

161,519

33,654,099

Teva Pharmaceutical Industries Ltd. sponsored ADR

1,611,978

101,441,776

Valeant Pharmaceuticals International, Inc. (Canada) (a)

58,703

5,290,281

 

945,112,144

TOTAL HEALTH CARE

2,415,184,500

INDUSTRIALS - 7.4%

Aerospace & Defense - 3.3%

General Dynamics Corp.

66,400

9,724,944

Honeywell International, Inc.

2,051,470

213,250,307

Huntington Ingalls Industries, Inc.

6,100

798,612

L-3 Communications Holdings, Inc.

127,191

15,569,450

Lockheed Martin Corp.

556,200

121,896,792

Moog, Inc. Class A (a)

40,300

2,662,621

Northrop Grumman Corp.

854,392

159,224,493

Raytheon Co.

575,458

71,374,056

Rockwell Collins, Inc.

61,500

5,699,820

Spirit AeroSystems Holdings, Inc. Class A (a)

18,100

949,345

Textron, Inc.

577,700

24,650,459

The Boeing Co.

681,888

99,180,610

Triumph Group, Inc.

61,300

2,455,065

United Technologies Corp.

912,356

87,631,794

Vectrus, Inc. (a)

3,372

81,468

 

815,149,836

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Air Freight & Logistics - 0.3%

FedEx Corp.

211,700

$ 33,562,918

United Parcel Service, Inc. Class B

284,108

29,265,965

 

62,828,883

Airlines - 0.5%

Alaska Air Group, Inc.

77,100

6,147,183

American Airlines Group, Inc.

539,510

22,260,183

Delta Air Lines, Inc.

1,249,706

58,061,341

JetBlue Airways Corp. (a)

73,700

1,823,338

Southwest Airlines Co.

83,900

3,849,332

United Continental Holdings, Inc. (a)

583,169

32,500,008

 

124,641,385

Building Products - 0.1%

Allegion PLC

224,623

15,096,912

Fortune Brands Home & Security, Inc.

118,999

6,541,375

Masco Corp.

305,418

9,135,052

Owens Corning

88,300

4,135,972

 

34,909,311

Commercial Services & Supplies - 0.2%

ADT Corp.

21,300

755,511

Deluxe Corp.

41,200

2,416,380

Herman Miller, Inc.

82,600

2,619,246

Pitney Bowes, Inc.

11,300

244,080

R.R. Donnelley & Sons Co.

113,700

1,829,433

Republic Services, Inc.

39,491

1,734,840

The Brink's Co.

5,400

173,772

Tyco International Ltd.

674,010

23,799,293

Waste Connections, Inc.

49,420

2,693,390

 

36,265,945

Construction & Engineering - 0.1%

Chicago Bridge & Iron Co. NV

13,500

577,125

Fluor Corp.

294,145

14,295,447

Jacobs Engineering Group, Inc. (a)

15,800

697,412

Tutor Perini Corp. (a)

51,700

974,028

 

16,544,012

Electrical Equipment - 0.2%

Eaton Corp. PLC

489,815

28,487,640

Emerson Electric Co.

292,925

14,646,250

Hubbell, Inc. Class B

6,500

645,385

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

Rockwell Automation, Inc.

17,000

$ 1,809,480

Sensata Technologies Holding BV (a)

241,800

11,076,858

 

56,665,613

Industrial Conglomerates - 1.5%

Danaher Corp.

1,490,345

143,654,355

General Electric Co.

7,425,412

222,316,835

Roper Industries, Inc.

45,500

8,803,795

 

374,774,985

Machinery - 0.5%

AGCO Corp.

43,500

2,186,310

Caterpillar, Inc.

115,900

8,420,135

Cummins, Inc.

20,200

2,027,474

Deere & Co.

297,910

23,704,699

Dover Corp.

20,000

1,318,000

Flowserve Corp.

318,300

14,718,192

Illinois Tool Works, Inc.

91,200

8,570,976

Ingersoll-Rand PLC

33,700

1,977,179

Lincoln Electric Holdings, Inc.

7,400

417,730

Meritor, Inc. (a)

178,700

1,919,238

PACCAR, Inc.

399,868

20,777,141

Parker Hannifin Corp.

51,775

5,418,772

Pentair PLC

212,000

12,020,400

SPX Corp.

2,651

29,267

Stanley Black & Decker, Inc.

161,600

17,640,256

Timken Co.

56,000

1,805,440

Trinity Industries, Inc.

129,100

3,505,065

 

126,456,274

Professional Services - 0.0%

Dun & Bradstreet Corp.

5,000

538,950

Equifax, Inc.

22,700

2,531,050

Manpower, Inc.

9,600

866,688

Nielsen Holdings PLC

129,906

6,064,012

 

10,000,700

Road & Rail - 0.7%

AMERCO

1,700

689,180

Canadian National Railway Co.

101,000

6,028,462

Canadian Pacific Railway Ltd.

328,977

48,502,214

CSX Corp.

1,187,138

33,750,333

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - continued

Norfolk Southern Corp.

242,162

$ 23,019,920

Union Pacific Corp.

688,423

57,793,111

 

169,783,220

Trading Companies & Distributors - 0.0%

AerCap Holdings NV (a)

68,761

3,124,500

Aircastle Ltd.

98,900

2,072,944

TAL International Group, Inc.

73,600

1,485,248

W.W. Grainger, Inc.

8,100

1,624,374

 

8,307,066

TOTAL INDUSTRIALS

1,836,327,230

INFORMATION TECHNOLOGY - 12.2%

Communications Equipment - 0.9%

Brocade Communications Systems, Inc.

555,000

5,208,675

Cisco Systems, Inc.

5,389,430

146,861,968

Harris Corp.

63,012

5,238,188

Juniper Networks, Inc.

242,300

7,300,499

QUALCOMM, Inc.

1,355,100

66,115,329

 

230,724,659

Electronic Equipment & Components - 0.3%

Arrow Electronics, Inc. (a)

55,400

3,133,424

Avnet, Inc.

27,600

1,250,832

Corning, Inc.

561,700

10,520,641

Flextronics International Ltd. (a)

364,100

4,096,125

Ingram Micro, Inc. Class A

19,400

600,042

Jabil Circuit, Inc.

159,300

4,076,487

Keysight Technologies, Inc. (a)

102,300

3,151,863

TE Connectivity Ltd.

373,173

25,036,177

Tech Data Corp. (a)

57,600

3,896,640

Vishay Intertechnology, Inc.

143,700

1,712,904

 

57,475,135

Internet Software & Services - 2.7%

Akamai Technologies, Inc. (a)

138,820

7,997,420

Alphabet, Inc.:

Class A (a)

126,657

96,620,292

Class C

455,471

338,232,765

eBay, Inc. (a)

1,107,004

32,756,248

Facebook, Inc. Class A (a)

1,506,060

156,991,694

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

LinkedIn Corp. Class A (a)

18,200

$ 4,424,602

Twitter, Inc. (a)

246,500

6,261,100

Velti PLC (a)(g)

147,198

397

VeriSign, Inc. (a)

147,800

13,219,232

Yahoo!, Inc. (a)

636,661

21,525,508

 

678,029,258

IT Services - 2.4%

Accenture PLC Class A

437,584

46,917,756

Alliance Data Systems Corp. (a)

266,286

76,384,139

Amdocs Ltd.

221,589

12,535,290

ASAC II LP (a)(g)

241,305

6,242,091

Automatic Data Processing, Inc.

155,600

13,422,056

Cognizant Technology Solutions Corp. Class A (a)

478,659

30,911,798

Computer Sciences Corp.

18,900

592,137

CSRA, Inc. (a)

18,900

595,539

Fidelity National Information Services, Inc.

344,202

21,915,341

First Data Corp.

211,838

3,202,991

First Data Corp. Class A (a)

194,400

3,265,920

Fiserv, Inc. (a)

40,500

3,897,720

FleetCor Technologies, Inc. (a)

9,700

1,490,987

IBM Corp.

478,700

66,740,354

MasterCard, Inc. Class A

812,110

79,521,811

PayPal Holdings, Inc. (a)

657,149

23,171,074

Sabre Corp.

965,015

28,236,339

The Western Union Co.

238,800

4,503,768

Vantiv, Inc. (a)

1,133,212

59,731,605

Visa, Inc. Class A

1,381,630

109,162,586

Xerox Corp.

881,002

9,294,571

 

601,735,873

Semiconductors & Semiconductor Equipment - 1.3%

Analog Devices, Inc.

856,967

52,814,876

Applied Materials, Inc.

1,348,360

25,308,717

Avago Technologies Ltd.

339,237

44,253,467

Broadcom Corp. Class A

309,886

16,929,072

Intel Corp.

1,637,800

56,946,306

KLA-Tencor Corp.

55,218

3,670,340

Lam Research Corp.

639,680

50,022,976

Microchip Technology, Inc.

296,700

14,324,676

Micron Technology, Inc. (a)

643,400

10,249,362

NXP Semiconductors NV (a)

374,747

35,023,855

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Skyworks Solutions, Inc.

31,800

$ 2,640,036

Texas Instruments, Inc.

223,000

12,960,760

Xilinx, Inc.

128,414

6,380,892

 

331,525,335

Software - 2.3%

Adobe Systems, Inc. (a)

352,301

32,221,449

CA Technologies, Inc.

56,600

1,591,026

Electronic Arts, Inc. (a)

450,451

30,536,073

Microsoft Corp.

6,460,825

351,145,839

Oracle Corp.

2,373,569

92,497,984

Red Hat, Inc. (a)

250,155

20,365,119

Salesforce.com, Inc. (a)

333,600

26,584,584

Symantec Corp.

265,000

5,188,700

Synopsys, Inc. (a)

52,100

2,609,168

 

562,739,942

Technology Hardware, Storage & Peripherals - 2.3%

Apple, Inc.

4,089,226

483,755,436

EMC Corp.

1,737,802

44,035,903

Hewlett Packard Enterprise Co.

298,400

4,434,224

HP, Inc.

485,600

6,089,424

NetApp, Inc.

58,400

1,790,544

SanDisk Corp.

44,100

3,257,667

Seagate Technology LLC

499,900

17,966,406

Western Digital Corp.

318,187

19,858,051

 

581,187,655

TOTAL INFORMATION TECHNOLOGY

3,043,417,857

MATERIALS - 2.1%

Chemicals - 1.6%

Air Products & Chemicals, Inc.

48,800

6,680,232

Airgas, Inc.

126,300

17,454,660

Ashland, Inc.

149,400

16,829,910

Axiall Corp.

125,993

2,625,694

Cabot Corp.

50,500

2,198,770

Celanese Corp. Class A

268,700

19,010,525

CF Industries Holdings, Inc.

601,899

27,771,620

E.I. du Pont de Nemours & Co.

861,576

58,018,528

Eastman Chemical Co.

90,400

6,567,560

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Ecolab, Inc.

118,200

$ 14,084,712

Huntsman Corp.

182,800

2,288,656

LyondellBasell Industries NV Class A

664,798

63,700,944

Monsanto Co.

390,275

37,138,569

PPG Industries, Inc.

71,554

7,566,120

Praxair, Inc.

6,800

767,040

RPM International, Inc.

179,600

8,437,608

Stepan Co.

46,100

2,399,966

Syngenta AG:

sponsored ADR

25,100

1,857,651

(Switzerland)

30,302

11,160,226

The Dow Chemical Co.

1,269,426

66,175,177

The Mosaic Co.

460,269

14,562,911

Valspar Corp.

9,900

836,451

Westlake Chemical Corp.

16,900

1,014,845

 

389,148,375

Construction Materials - 0.1%

Martin Marietta Materials, Inc.

106,813

16,812,366

Vulcan Materials Co.

199,589

20,491,803

 

37,304,169

Containers & Packaging - 0.3%

Avery Dennison Corp.

100,300

6,615,788

Ball Corp.

88,800

6,164,496

Bemis Co., Inc.

13,200

621,984

Crown Holdings, Inc. (a)

261,827

13,591,440

Packaging Corp. of America

12,200

829,478

Sealed Air Corp.

891,799

40,452,003

Sonoco Products Co.

13,000

569,660

 

68,844,849

Metals & Mining - 0.1%

Alcoa, Inc.

467,300

4,373,928

Franco-Nevada Corp.

47,600

2,287,951

Freeport-McMoRan, Inc.

378,600

3,096,948

Nucor Corp.

153,800

6,375,010

Reliance Steel & Aluminum Co.

9,000

529,290

Steel Dynamics, Inc.

132,100

2,297,219

Teck Resources Ltd. Class B (sub. vtg.)

80,341

341,710

United States Steel Corp.

234,207

1,890,050

 

21,192,106

Common Stocks - continued

Shares

Value

MATERIALS - continued

Paper & Forest Products - 0.0%

Domtar Corp.

58,900

$ 2,420,201

International Paper Co.

199,800

8,357,634

Schweitzer-Mauduit International, Inc.

54,500

2,279,190

 

13,057,025

TOTAL MATERIALS

529,546,524

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.9%

AT&T, Inc.

2,048,040

68,957,507

Verizon Communications, Inc.

3,565,509

162,052,384

 

231,009,891

Wireless Telecommunication Services - 0.1%

T-Mobile U.S., Inc. (a)

319,400

11,338,700

TOTAL TELECOMMUNICATION SERVICES

242,348,591

UTILITIES - 1.1%

Electric Utilities - 0.7%

American Electric Power Co., Inc.

390,500

21,871,905

Duke Energy Corp.

88,800

6,017,088

Edison International

608,565

36,124,418

Entergy Corp.

92,600

6,169,938

Eversource Energy

40,900

2,083,855

Exelon Corp.

499,200

13,633,152

FirstEnergy Corp.

928,513

29,146,023

Great Plains Energy, Inc.

19,200

518,208

ITC Holdings Corp.

66,115

2,438,321

NextEra Energy, Inc.

122,921

12,274,891

OGE Energy Corp.

12,600

328,986

Pinnacle West Capital Corp.

14,300

906,048

PPL Corp.

332,846

11,330,078

Xcel Energy, Inc.

757,065

26,996,938

 

169,839,849

Gas Utilities - 0.0%

Amerigas Partners LP

54,797

2,148,590

Atmos Energy Corp.

108,000

6,729,480

UGI Corp.

22,300

773,141

 

9,651,211

Common Stocks - continued

Shares

Value

UTILITIES - continued

Independent Power and Renewable Electricity Producers - 0.0%

The AES Corp.

370,800

$ 3,704,292

Multi-Utilities - 0.4%

Ameren Corp.

31,300

1,369,688

CMS Energy Corp.

229,784

8,047,036

Consolidated Edison, Inc.

37,800

2,349,270

DTE Energy Co.

137,900

11,099,571

NiSource, Inc.

832,330

15,972,413

PG&E Corp.

704,253

37,135,261

Public Service Enterprise Group, Inc.

311,000

12,160,100

SCANA Corp.

103,000

6,091,420

 

94,224,759

Water Utilities - 0.0%

American Water Works Co., Inc.

92,650

5,351,464

TOTAL UTILITIES

282,771,575

TOTAL COMMON STOCKS

(Cost $13,038,414,249)


15,577,856,808

Convertible Preferred Stocks - 0.0%

 

 

 

 

CONSUMER DISCRETIONARY - 0.0%

Internet & Catalog Retail - 0.0%

The Honest Co., Inc. Series D (g)

(Cost $1,468,003)

32,084


1,468,003

Equity Funds - 35.9%

 

 

 

 

Large Blend Funds - 21.0%

BBH Core Select Fund Class N

26,482,237

598,498,549

FMI Large Cap Fund

47,945,580

1,022,679,221

Equity Funds - continued

Shares

Value

Large Blend Funds - continued

JPMorgan U.S. Large Cap Core Plus Fund Select Class (f)

95,285,934

$ 2,845,237,988

PIMCO StocksPLUS Absolute Return Fund Institutional Class

36,048,307

343,540,370

Spartan 500 Index Fund Investor Class (d)

5,823,639

428,503,343

TOTAL LARGE BLEND FUNDS

5,238,459,471

Large Growth Funds - 0.3%

Fidelity Growth Company Fund (d)

549,841

78,935,124

Large Value Funds - 1.0%

Fidelity SAI U.S. Quality Index Fund (d)

16,131,291

169,055,929

JPMorgan Value Advantage Fund Institutional Class

2,593,484

76,170,618

TOTAL LARGE VALUE FUNDS

245,226,547

Mid-Cap Blend Funds - 2.8%

Putnam Equity Spectrum Fund Class A

18,414,193

705,447,736

Sector Funds - 10.8%

Fidelity Advisor Materials Fund Class I (d)

1,065,130

78,457,463

Fidelity Advisor Technology Fund Class I (d)

14,441,058

550,637,541

Fidelity Consumer Discretionary Portfolio (d)

9,682,859

347,033,676

Fidelity Consumer Staples Portfolio (d)

2,777,015

258,068,017

Fidelity Energy Portfolio (d)

4,815,264

193,621,778

Fidelity Financial Services Portfolio (d)

5,078,834

444,702,682

Fidelity Health Care Portfolio (d)

1,777,140

391,059,567

Fidelity Industrials Portfolio (d)

8,764,459

278,183,920

Fidelity Telecommunications Portfolio (d)

1,051,474

64,833,914

Fidelity Utilities Portfolio (d)

1,129,983

73,844,409

TOTAL SECTOR FUNDS

2,680,442,967

TOTAL EQUITY FUNDS

(Cost $7,746,150,863)


8,948,511,845

U.S. Treasury Obligations - 0.0%

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.04% to 0.22% 1/7/16 to 7/21/16 (e)
(Cost $6,103,865)

$ 6,105,000


6,103,760

Money Market Funds - 1.5%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (c)

363,948,033

$ 363,948,033

Fidelity Cash Central Fund, 0.18% (b)

14,693,495

14,693,495

TOTAL MONEY MARKET FUNDS

(Cost $378,641,528)


378,641,528

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $21,170,778,508)

24,912,581,944

NET OTHER ASSETS (LIABILITIES) - 0.1%

30,912,409

NET ASSETS - 100%

$ 24,943,494,353

Futures Contracts

Expiration Date

Underlying
Face Amount
at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1,191 CME E-mini S&P 500 Index Contracts (United States)

Dec. 2015

$ 123,852,090

$ 8,218,566

 

The face value of futures purchased as a percentage of net assets is 0.5%

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) The rate quoted is the annualized seven-day yield of the fund at period end.

(d) Affiliated Fund

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $5,944,025.

(f) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.

(g) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $7,710,491 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ASAC II LP

10/10/13

$ 2,413,050

The Honest Co., Inc. Series D

8/12/15

$ 1,468,003

Velti PLC

4/19/13

$ 220,797

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

$ 4,555

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Fidelity Advisor Materials Fund
Class I

$ 91,514,164

$ -

$ 6,000,000

$ -

$ 78,457,463

Fidelity Advisor New Insights Fund Class I

43,465,088

-

43,803,697

-

-

Fidelity Advisor Technology Fund Class I

569,237,231

23,669,850

15,000,000

-

550,637,541

Fidelity Consumer Discretionary Portfolio

357,666,812

-

27,500,000

-

347,033,676

Fidelity Consumer Staples Portfolio

277,691,014

-

12,500,000

-

258,068,017

Affiliate

Value,
beginning of period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Fidelity Energy Portfolio

$ 227,727,798

$ -

$ 5,000,000

$ -

$ 193,621,778

Fidelity Financial Services Portfolio

464,678,953

-

6,000,000

-

444,702,682

Fidelity Growth Company Fund

50,646,706

25,000,000

-

-

78,935,124

Fidelity Health Care Portfolio

473,136,694

-

40,000,000

-

391,059,567

Fidelity Industrials Portfolio

289,883,785

-

10,000,000

-

278,183,920

Fidelity SAI U.S. Quality Index Fund

-

168,000,000

-

-

169,055,929

Fidelity Telecommunications Portfolio

67,494,385

-

1,000,000

-

64,833,914

Fidelity Utilities Portfolio

81,121,501

-

-

-

73,844,409

Spartan 500 Index Fund Investor Class

563,130,411

843,225,280

988,684,308

7,809,253

428,503,343

Total

$ 3,557,394,542

$ 1,059,895,130

$ 1,155,488,005

$ 7,809,253

$ 3,356,937,363

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 1,958,237,797

$ 1,956,769,794

$ -

$ 1,468,003

Consumer Staples

1,589,930,184

1,578,472,479

11,457,705

-

Energy

991,442,757

991,442,757

-

-

Financials

2,690,117,796

2,690,117,796

-

-

Health Care

2,415,184,500

2,415,184,500

-

-

Industrials

1,836,327,230

1,836,327,230

-

-

Information Technology

3,043,417,857

3,033,972,378

3,203,388

6,242,091

Materials

529,546,524

518,386,298

11,160,226

-

Telecommunication Services

242,348,591

242,348,591

-

-

Utilities

282,771,575

282,771,575

-

-

Equity Funds

8,948,511,845

8,948,511,845

-

-

U.S. Treasury
Obligations

6,103,760

-

6,103,760

-

Money Market Funds

378,641,528

378,641,528

-

-

Total Investments in Securities:

$ 24,912,581,944

$ 24,872,946,771

$ 31,925,079

$ 7,710,094

Derivative Instruments:

Assets

Futures Contracts

$ 8,218,566

$ 8,218,566

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 8,218,566

$ -

Total Value of Derivatives

$ 8,218,566

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $17,505,500,308)

$ 21,197,410,716

 

Fidelity Central Funds (cost $363,598,876)

358,233,865

 

Affiliated issuers (cost $3,301,679,324)

3,356,937,363

 

Total Investments (cost $21,170,778,508)

 

$ 24,912,581,944

Foreign currency held at value (cost $994,906)

968,238

Receivable for investments sold

147,949,031

Receivable for fund shares sold

9,874,561

Dividends receivable

34,376,969

Interest receivable

10,290

Distributions receivable from Fidelity Central Funds

1,584

Other receivables

155,990

Total assets

25,105,918,607

 

 

 

Liabilities

Payable for investments purchased

$ 147,014,381

Payable for fund shares redeemed

10,838,733

Accrued management fee

3,788,609

Payable for daily variation margin for derivative instruments

617,760

Other payables and accrued expenses

164,771

Total liabilities

162,424,254

 

 

 

Net Assets

$ 24,943,494,353

Net Assets consist of:

 

Paid in capital

$ 21,182,861,800

Undistributed net investment income

132,251,738

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(121,598,008)

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

3,749,978,823

Net Assets, for 1,644,579,739 shares outstanding

$ 24,943,494,353

Net Asset Value, offering price and redemption price per share ($24,943,494,353 ÷ 1,644,579,739 shares)

$ 15.17

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 146,694,396

Affiliated issuers

 

7,809,253

Interest

 

26,672

Income from Fidelity Central Funds

 

4,555

Total income

 

154,534,876

 

 

 

Expenses

Management fee

$ 51,842,570

Independent trustees' compensation

127,995

 

Miscellaneous

18,339

Total expenses before reductions

51,988,904

Expense reductions

(30,492,894)

21,496,010

Net investment income (loss)

133,038,866

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

(88,109,627)

Affiliated issuers

33,705,885

 

Foreign currency transactions

(634,199)

Futures contracts

(5,526,768)

Realized gain distribution from underlying funds:

 

 

Affiliated issuers

23,669,849

 

Total net realized gain (loss)

 

(36,894,860)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(462,944,442)

Assets and liabilities in foreign currencies

(43,238)

Futures contracts

5,354,771

Total change in net unrealized appreciation (depreciation)

 

(457,632,909)

Net gain (loss)

(494,527,769)

Net increase (decrease) in net assets resulting from operations

$ (361,488,903)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 133,038,866

$ 259,352,019

Net realized gain (loss)

(36,894,860)

1,250,578,771

Change in net unrealized appreciation (depreciation)

(457,632,909)

915,512,597

Net increase (decrease) in net assets resulting from operations

(361,488,903)

2,425,443,387

Distributions to shareholders from net investment income

(98,285,351)

(205,800,317)

Distributions to shareholders from net realized gain

(932,954,789)

(1,045,352,295)

Total distributions

(1,031,240,140)

(1,251,152,612)

Share transactions

 

 

Proceeds from sales of shares

2,858,812,019

11,425,710,248

Reinvestment of distributions

1,028,514,684

1,248,026,231

Cost of shares redeemed

(2,048,855,877)

(3,547,604,002)

Net increase (decrease) in net assets resulting from share transactions

1,838,470,826

9,126,132,477

Total increase (decrease) in net assets

445,741,783

10,300,423,252

 

 

 

Net Assets

Beginning of period

24,497,752,570

14,197,329,318

End of period (including undistributed net investment income of $132,251,738 and undistributed net investment income of $97,498,223, respectively)

$ 24,943,494,353

$ 24,497,752,570

Other Information

Shares

 

 

Sold

191,804,406

754,035,975

Issued in reinvestment of distributions

67,532,153

80,378,349

Redeemed

(134,818,334)

(226,738,395)

Net increase (decrease)

124,518,225

607,675,929

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Fund

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012

2011

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 16.12

$ 15.56

$ 14.00

$ 11.28

$ 12.06

$ 9.74

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .08

  .19

  .16

  .17

  .13

  .10

Net realized and unrealized gain (loss)

  (.35)

  1.51

  2.52

  2.89

  (.56)

  2.32

Total from investment operations

  (.27)

  1.70

  2.68

  3.06

  (.43)

  2.42

Distributions from net investment income

  (.07)

  (.16)

  (.14)

  (.16)

  (.12)

  (.08)

Distributions from net realized gain

  (.62)

  (.98)

  (.98)

  (.18)

  (.23)

  (.02)

Total distributions

  (.68) I

  (1.14)

  (1.12)

  (.34)

  (.35)

  (.10)

Net asset value, end of period

$ 15.17

$ 16.12

$ 15.56

$ 14.00

$ 11.28

$ 12.06

Total ReturnB, C

  (1.68)%

  11.37%

  20.15%

  27.75%

  (3.58)%

  24.93%

Ratios to Average Net AssetsE, F

 

 

 

 

 

 

Expenses before reductions

  .43%A

  .42%

  .46%

  .44%

  .41%

  .41%

Expenses net of fee waivers, if any

  .18%A

  .17%

  .20%

  .19%

  .16%

  .15%

Expenses net of all reductions

  .18%A

  .17%

  .20%

  .19%

  .16%

  .15%

Net investment income (loss)

  1.10%A

  1.22%

  1.07%

  1.36%

  1.20%

  .90%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 24,943,494

$ 24,497,753

$ 14,197,329

$ 10,785,567

$ 8,064,341

$ 8,524,136

Portfolio turnover rateG

  78%A

  104%

  109%

  73%

  64%H

  54%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds. G Amount does not include the portfolio activity of any Underlying Funds. H Portfolio turnover rate excludes securities received or delivered in-kind. I Total distributions of $.68 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.617 per share.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Core Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).

2. Significant Accounting Policies.

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 Strategic Advisers Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 fund, 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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015, is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may 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. Income and capital gain distributions from Underlying Funds and distributions from

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Transactions and Income - continued

ETFs, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

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2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 4,253,213,299

Gross unrealized depreciation 

(669,150,492)

Net unrealized appreciation (depreciation) on securities 

$ 3,584,062,807

Tax cost 

$ 21,328,519,137

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

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Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

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3. Derivative Instruments - continued

Futures Contracts - continued

During the period the Fund recognized net realized gain (loss) of $(5,526,768) and a change in net unrealized appreciation (depreciation) of $5,354,771 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,243,462,646 and $9,322,780,260, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .18% of the Fund's average net assets. The investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. AllianceBernstein, L.P. (AB), Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Cornerstone Investment Partners, LLC (through June 29, 2015), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, OppenheimerFunds, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Aristotle Capital Management, LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., Robeco Investment Management, Inc. (d/b/a Boston Partners) and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund.

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Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Sub-Advisers - continued

As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $224,480 for the period.

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 Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .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 are available on the SEC website or upon request.

7. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13,376 and is reflected in Miscellaneous expenses on the

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7. Committed Line of Credit - continued

Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2018. During the period, this waiver reduced the Fund's management fee by $30,192,910.

In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $294,617.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's management fee. During the period, these credits reduced the Fund's management fee by $5,367.

9. 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.

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:

Fidelity SAI U.S. Quality Index Fund

52%

Financial Services Portfolio

34%

Fidelity Adviser Technology Fund

32%

Consumer Discretionary Portfolio

27%

Industrials Portfolio

23%

Telecommunications Portfolio

11%

Utilities Portfolio

11%

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Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Core Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management (Aristotle), Brandywine Global Investment Management (Brandywine), ClariVest Asset Management (ClariVest), First Eagle Investment Management, LLC (First Eagle), LSV Asset Management (LSV), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management (MSIM), OppenheimerFunds, Inc. (OppenheimerFunds), Pyramis Global Advisors, LLC (Pyramis), Robeco investment Management, Inc. (dba Boston Partners), T. Rowe Price Associates, Inc. (T. Rowe Price), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders. In connection with a corporate reorganization involving First Eagle, in addition to renewing the existing sub-advisory agreement with First Eagle, the Board prospectively approved a new sub-advisory agreement with First Eagle (together with the Sub-Advisory Agreements and the management contract, the Advisory Contracts) to take effect upon the consummation of a transaction that would result in a change in control of First Eagle, effectively terminating the existing sub-advisory agreement. The Board noted that the reorganization would not result in any changes to the personnel that currently provide services to the fund or the nature, extent and quality of the services provided to the fund. In addition, the Board noted that the terms of the prospective sub-advisory agreement with First Eagle are identical to those of the current sub-advisory agreement.

Semiannual Report

In considering whether to renew the Advisory Contracts for the fund and prospectively approve a new sub-advisory agreement with First Eagle, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of a new sub-advisory agreement with First Eagle is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the new sub-advisory agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve a new sub-advisory agreement with First Eagle was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, AB, Aristotle, Brandywine, ClariVest, First Eagle, LSV, MFS, MSIM, OppenheimerFunds, Pyramis, Boston Partners, T. Rowe Price, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Semiannual Report

Strategic Advisers Core Fund

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The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one-, three-, and five-year periods ended December 31, 2014. The Board also noted that the fund had out-performed 57%, 63%, and 57% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board also noted Strategic Advisers' proposal to extend the 0.25% management fee waiver through September 30, 2018 and considered that the fund's maximum aggregate annual management fee rate may not exceed 1.00%. In addition, the Board considered that the portion of the management fee paid to Strategic Advisers is all-inclusive, meaning that Strategic Advisers pays the fund's operating expenses, with certain limited exceptions, out of its portfolio of the management fee. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board also noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

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Strategic Advisers Core Fund

one732591

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the fund's total expenses, the Board considered the fund's management fee as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses (giving effect to the fund's all-inclusive management fee) were below the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took into consideration that Strategic Advisers has agreed to waive 0.25% of its management fee through September 30, 2018.

Semiannual Report

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Investment Advisory Contract

Strategic Advisers Core Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses of the fund because Strategic Advisers has not allocated any assets of the fund to Waddell & Reed. The Board considered that to the extent Strategic Advisers allocates assets of the fund to Waddell & Reed in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to Waddell & Reed, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. In addition, the Board considered that Strategic Advisers' portion of the management fee will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund's operating expenses, with certain limited exceptions, out of its portion of the management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Semiannual Report

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Board Approval of Investment Advisory Contract

Strategic Advisers Core Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Semiannual Report

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to MSIM. The Board considered that to the extent Strategic Advisers allocates assets of the fund to MSIM in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to MSIM, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. In addition, the Board considered that Strategic Adviser's portion of the management fee paid to Strategic Advisers will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund's operating expenses, with certain limited exceptions, out of its portion of the management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

AllianceBernstein L.P.

Aristotle Capital Management, LLC

Brandywine Global Investment Management, LLC

ClariVest Asset Management LLC

FIAM LLC

First Eagle Investment Management, LLC

JP Morgan Investment Management Inc.

Loomis, Sayles & Company, L.P.

LSV Asset Management

Massachusetts Financial Services Company

Morgan Stanley Investment Management, Inc.

OppenheimerFunds, Inc.

Robeco Investment Management, Inc.
doing business as Boston Partners

T. Rowe Price Associates, Inc.

Waddell & Reed Investment Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

SAI-COR-USAN-0116
1.922645.105

Strategic Advisers®
Value Fund

Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015 to
November 30, 2015

Actual

.32%

$ 1,000.00

$ 973.00

$ 1.58

HypotheticalA

 

$ 1,000.00

$ 1,023.40

$ 1.62

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

JPMorgan Value Advantage Fund Institutional Class

10.0

11.3

Invesco Diversified Dividend Fund - Class A

4.5

4.3

Fidelity Low-Priced Stock Fund

4.1

4.0

JPMorgan Chase & Co.

2.6

2.4

Johnson & Johnson

2.5

1.4

Exxon Mobil Corp.

2.2

1.5

Pfizer, Inc.

2.1

2.0

Apple, Inc.

1.9

2.1

Wells Fargo & Co.

1.8

2.1

Citigroup, Inc.

1.6

1.3

 

33.3

Top Five Market Sectors as of November 30, 2015

(Stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

22.3

20.7

Health Care

11.5

11.4

Information Technology

11.2

12.4

Industrials

8.6

8.3

Energy

7.7

6.5

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

one732599

Common Stocks 79.0%

 

one732601

Common Stocks 77.4%

 

one732603

Large Value Funds 14.5%

 

one732605

Large Value Funds 15.6%

 

one732607

Mid-Cap Value
Funds 4.1%

 

one732609

Mid-Cap Value
Funds 4.0%

 

one732611

Short-Term Investments and Net Other Assets (Liabilities) 2.4%

 

one732613

Short-Term Investments and Net Other Assets (Liabilities) 3.0%

 

one732615

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 79.0%

Shares

Value

CONSUMER DISCRETIONARY - 6.7%

Auto Components - 1.0%

Autoliv, Inc.

146,300

$ 18,408,929

Cooper Tire & Rubber Co.

265,127

11,132,683

Delphi Automotive PLC

138,700

12,188,956

Gentex Corp.

144,400

2,416,534

Johnson Controls, Inc.

334,300

15,377,800

Lear Corp.

311,951

39,274,631

The Goodyear Tire & Rubber Co.

557,300

19,438,624

 

118,238,157

Automobiles - 0.9%

Ford Motor Co.

2,359,400

33,810,202

General Motors Co.

1,467,800

53,134,360

Harley-Davidson, Inc.

488,572

23,900,942

 

110,845,504

Hotels, Restaurants & Leisure - 0.4%

Brinker International, Inc.

309,300

14,110,266

Carnival Corp. unit

292,200

14,764,866

Hyatt Hotels Corp. Class A (a)

16,100

793,569

Royal Caribbean Cruises Ltd.

83,300

7,714,413

Six Flags Entertainment Corp.

111,460

5,784,774

Wyndham Worldwide Corp.

55,600

4,221,152

 

47,389,040

Household Durables - 0.5%

Lennar Corp. Class A

476,800

24,416,928

PulteGroup, Inc.

172,900

3,368,092

Toll Brothers, Inc. (a)

87,300

3,245,814

Whirlpool Corp.

164,600

26,750,792

 

57,781,626

Media - 2.3%

AMC Networks, Inc. Class A (a)

24,900

2,024,619

CBS Corp. Class B

398,301

20,106,234

Comcast Corp. Class A

175,508

10,681,417

Discovery Communications, Inc. Class A (a)

74,000

2,304,360

Gannett Co., Inc.

247,600

4,229,008

Liberty Broadband Corp. Class C (a)

92,788

4,900,134

Liberty Global PLC:

Class C (a)

473,539

19,415,099

LiLAC Class C (a)

23,355

915,983

Liberty Media Corp. Class C (a)

173,096

6,768,054

News Corp. Class A

182,600

2,620,310

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Omnicom Group, Inc.

154,653

$ 11,431,950

Starz Series A (a)

328,655

11,594,948

Tegna, Inc.

606,900

17,144,925

Time Warner Cable, Inc.

217,270

40,144,978

Time Warner, Inc.

1,113,372

77,913,773

Time, Inc.

126,508

2,105,093

Twenty-First Century Fox, Inc. Class A

579,800

17,109,898

Viacom, Inc. Class B (non-vtg.)

575,800

28,669,082

 

280,079,865

Multiline Retail - 1.0%

Big Lots, Inc.

160,800

7,234,392

Dillard's, Inc. Class A

109,300

8,197,500

Dollar General Corp.

145,900

9,543,319

Kohl's Corp.

444,400

20,944,572

Macy's, Inc.

348,100

13,603,748

Target Corp.

849,471

61,586,648

 

121,110,179

Specialty Retail - 0.5%

Abercrombie & Fitch Co. Class A

158,700

4,057,959

AutoNation, Inc. (a)

54,800

3,502,816

Best Buy Co., Inc.

742,058

23,582,603

Foot Locker, Inc.

69,000

4,485,000

GameStop Corp. Class A

50,500

1,769,015

Home Depot, Inc.

168,000

22,491,840

Penske Automotive Group, Inc.

44,100

2,057,706

Staples, Inc.

104,000

1,255,280

 

63,202,219

Textiles, Apparel & Luxury Goods - 0.1%

Coach, Inc.

102,100

3,243,717

PVH Corp.

40,900

3,733,761

Ralph Lauren Corp.

29,100

3,614,511

 

10,591,989

TOTAL CONSUMER DISCRETIONARY

809,238,579

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 3.0%

Beverages - 0.1%

Coca-Cola Enterprises, Inc.

25,980

$ 1,306,794

Diageo PLC sponsored ADR

116,000

13,288,960

 

14,595,754

Food & Staples Retailing - 0.5%

CVS Health Corp.

103,357

9,724,860

Kroger Co.

511,300

19,255,558

Wal-Mart Stores, Inc.

278,000

16,357,520

Walgreens Boots Alliance, Inc.

242,000

20,335,260

 

65,673,198

Food Products - 1.6%

Archer Daniels Midland Co.

1,266,500

46,214,585

Bunge Ltd.

280,300

18,670,783

Cal-Maine Foods, Inc.

90,100

4,911,351

Fresh Del Monte Produce, Inc.

235,200

10,280,592

General Mills, Inc.

310,100

17,911,376

Ingredion, Inc.

294,500

29,028,865

Kellogg Co.

141,600

9,737,832

Mondelez International, Inc.

364,000

15,892,240

The Hershey Co.

121,000

10,443,510

Tyson Foods, Inc. Class A

606,278

30,313,900

 

193,405,034

Personal Products - 0.3%

Coty, Inc. Class A

350,000

9,723,000

Edgewell Personal Care Co. (a)

24,000

1,932,000

Herbalife Ltd. (a)

37,200

2,147,556

Unilever NV (NY Reg.)

371,000

16,227,540

 

30,030,096

Tobacco - 0.5%

Philip Morris International, Inc.

652,800

57,048,192

TOTAL CONSUMER STAPLES

360,752,274

ENERGY - 7.7%

Energy Equipment & Services - 0.7%

Atwood Oceanics, Inc.

236,000

3,747,680

Baker Hughes, Inc.

151,600

8,197,012

Ensco PLC Class A

385,800

6,604,896

FMC Technologies, Inc. (a)

112,900

3,840,858

Halliburton Co.

588,100

23,435,785

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Helmerich & Payne, Inc.

197,200

$ 11,486,900

National Oilwell Varco, Inc.

202,100

7,546,414

Noble Corp.

962,700

12,775,029

Parker Drilling Co. (a)

1,082,600

2,977,150

Rowan Companies PLC

608,500

12,370,805

 

92,982,529

Oil, Gas & Consumable Fuels - 7.0%

Anadarko Petroleum Corp.

180,252

10,797,095

Canadian Natural Resources Ltd.

379,934

9,200,693

Chevron Corp.

1,008,500

92,096,220

Cimarex Energy Co.

49,351

5,873,756

ConocoPhillips Co.

345,700

18,685,085

Diamondback Energy, Inc.

76,694

5,983,666

Energen Corp.

130,148

7,716,475

EOG Resources, Inc.

328,721

27,425,193

EQT Corp.

52,913

3,027,682

Exxon Mobil Corp.

3,187,300

260,274,918

Hess Corp.

208,000

12,272,000

HollyFrontier Corp.

576,800

27,732,544

Marathon Oil Corp.

563,900

9,873,889

Marathon Petroleum Corp.

1,526,987

89,191,311

Occidental Petroleum Corp.

820,469

62,019,252

Phillips 66 Co.

1,202,354

110,051,462

Pioneer Natural Resources Co.

77,600

11,232,600

QEP Resources, Inc.

398,991

6,304,058

Rice Energy, Inc. (a)

89,180

1,202,146

Tesoro Corp.

31,100

3,581,787

Valero Energy Corp.

951,800

68,396,348

Western Refining, Inc.

40,300

1,823,978

 

844,762,158

TOTAL ENERGY

937,744,687

FINANCIALS - 22.3%

Banks - 10.8%

Banco Bilbao Vizcaya Argentaria SA sponsored ADR

1,469,600

12,153,592

Bank of America Corp.

9,320,700

162,459,801

BB&T Corp.

701,425

27,089,034

BOK Financial Corp.

125,100

8,613,135

CIT Group, Inc.

373,900

16,062,744

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

Citigroup, Inc.

3,624,569

$ 196,052,937

Citizens Financial Group, Inc.

172,820

4,602,197

Comerica, Inc.

90,600

4,199,310

Commerce Bancshares, Inc.

51,129

2,347,844

Cullen/Frost Bankers, Inc.

110,900

7,739,711

East West Bancorp, Inc.

71,300

3,092,994

Fifth Third Bancorp

1,539,136

31,813,941

First Republic Bank

232,000

15,975,520

Huntington Bancshares, Inc.

1,808,900

21,146,041

Investors Bancorp, Inc.

167,600

2,148,632

JPMorgan Chase & Co.

4,680,186

312,074,802

KeyCorp

1,449,300

19,000,323

M&T Bank Corp.

99,000

12,407,670

Mitsubishi UFJ Financial Group, Inc. sponsored ADR

1,950,000

12,597,000

Peoples United Financial, Inc.

130,500

2,185,875

PNC Financial Services Group, Inc.

718,800

68,652,588

Regions Financial Corp.

4,681,400

47,469,396

SunTrust Banks, Inc.

1,284,100

55,755,622

Synovus Financial Corp.

64,700

2,159,686

U.S. Bancorp

866,300

38,021,907

Wells Fargo & Co.

3,946,034

217,426,473

 

1,303,248,775

Capital Markets - 2.4%

Ameriprise Financial, Inc.

362,300

40,921,785

Bank of New York Mellon Corp.

561,800

24,629,312

BlackRock, Inc. Class A

82,147

29,878,507

E*TRADE Financial Corp. (a)

114,700

3,490,321

Eaton Vance Corp. (non-vtg.)

55,600

1,997,152

Goldman Sachs Group, Inc.

390,100

74,126,802

Invesco Ltd.

216,400

7,290,516

Morgan Stanley

1,543,800

52,952,340

Northern Trust Corp.

100,500

7,531,470

State Street Corp.

430,200

31,223,916

T. Rowe Price Group, Inc.

124,400

9,473,060

 

283,515,181

Consumer Finance - 1.8%

Ally Financial, Inc. (a)

626,445

12,503,842

American Express Co.

526,900

37,747,116

Capital One Financial Corp.

1,048,555

82,322,053

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services

1,019,025

$ 57,839,859

Navient Corp.

906,185

10,792,663

Nelnet, Inc. Class A

227,900

7,520,700

Synchrony Financial (a)

360,869

11,486,460

 

220,212,693

Diversified Financial Services - 0.5%

Berkshire Hathaway, Inc. Class B (a)

380,956

51,082,390

Leucadia National Corp.

175,400

3,101,072

The NASDAQ OMX Group, Inc.

81,300

4,765,806

Voya Financial, Inc.

108,300

4,407,810

 

63,357,078

Insurance - 6.1%

ACE Ltd.

375,396

43,114,231

AFLAC, Inc.

636,000

41,492,640

Alleghany Corp. (a)

8,100

4,125,816

Allstate Corp.

800,235

50,222,749

American Financial Group, Inc.

288,000

21,312,000

American International Group, Inc.

879,411

55,912,951

Aon PLC

91,416

8,660,752

Arch Capital Group Ltd. (a)

60,600

4,391,682

Assurant, Inc.

341,100

29,170,872

Axis Capital Holdings Ltd.

310,200

17,371,200

Cincinnati Financial Corp.

69,100

4,222,701

Endurance Specialty Holdings Ltd.

178,800

11,793,648

Everest Re Group Ltd.

185,000

34,121,400

Genworth Financial, Inc. Class A (a)

504,800

2,549,240

Hanover Insurance Group, Inc.

168,500

14,255,100

Hartford Financial Services Group, Inc.

1,367,100

62,394,444

Lincoln National Corp.

742,493

40,829,690

Loews Corp.

175,500

6,649,695

Markel Corp. (a)

5,700

5,159,469

MetLife, Inc.

1,362,429

69,606,498

Principal Financial Group, Inc.

145,000

7,461,700

Progressive Corp.

289,500

8,922,390

Prudential Financial, Inc.

614,600

53,193,630

Reinsurance Group of America, Inc.

41,100

3,776,268

The Travelers Companies, Inc.

795,796

91,174,348

Torchmark Corp.

174,600

10,584,252

Unum Group

688,900

25,268,852

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

W.R. Berkley Corp.

61,100

$ 3,400,826

XL Group PLC Class A

203,776

7,780,168

 

738,919,212

Real Estate Investment Trusts - 0.6%

American Homes 4 Rent Class A

264,856

4,444,284

Annaly Capital Management, Inc.

2,759,800

26,438,884

Hospitality Properties Trust (SBI)

508,600

14,123,822

Lexington Corporate Properties Trust

910,700

7,822,913

Piedmont Office Realty Trust, Inc. Class A

478,000

9,316,220

VEREIT, Inc.

1,019,900

8,495,767

 

70,641,890

Real Estate Management & Development - 0.0%

Jones Lang LaSalle, Inc.

21,500

3,571,580

Thrifts & Mortgage Finance - 0.1%

New York Community Bancorp, Inc.

215,300

3,530,920

Radian Group, Inc.

585,400

8,341,950

 

11,872,870

TOTAL FINANCIALS

2,695,339,279

HEALTH CARE - 11.5%

Biotechnology - 2.5%

AbbVie, Inc.

573,500

33,349,025

Amgen, Inc.

685,900

110,498,490

Baxalta, Inc.

925,400

31,815,252

Gilead Sciences, Inc.

1,034,291

109,593,474

United Therapeutics Corp. (a)

96,580

14,741,005

 

299,997,246

Health Care Equipment & Supplies - 0.6%

Baxter International, Inc.

662,600

24,946,890

Medtronic PLC

505,465

38,081,733

St. Jude Medical, Inc.

140,100

8,840,310

Zimmer Biomet Holdings, Inc.

82,010

8,283,830

 

80,152,763

Health Care Providers & Services - 2.8%

Aetna, Inc.

486,200

49,957,050

Anthem, Inc.

591,663

77,141,022

Cardinal Health, Inc.

117,334

10,190,458

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Cigna Corp.

77,260

$ 10,428,555

Express Scripts Holding Co. (a)

711,188

60,792,350

HCA Holdings, Inc. (a)

554,850

37,763,091

Quest Diagnostics, Inc.

419,098

28,632,775

UnitedHealth Group, Inc.

497,000

56,016,870

Universal Health Services, Inc. Class B

45,200

5,492,704

 

336,414,875

Pharmaceuticals - 5.6%

Johnson & Johnson

2,969,176

300,599,378

Merck & Co., Inc.

2,184,586

115,804,904

Novartis AG sponsored ADR

162,400

13,842,976

Pfizer, Inc.

7,602,234

249,125,208

Teva Pharmaceutical Industries Ltd. sponsored ADR

52,387

3,296,714

 

682,669,180

TOTAL HEALTH CARE

1,399,234,064

INDUSTRIALS - 8.6%

Aerospace & Defense - 3.8%

General Dynamics Corp.

407,404

59,668,390

Honeywell International, Inc.

437,156

45,442,366

Huntington Ingalls Industries, Inc.

23,300

3,050,436

L-3 Communications Holdings, Inc.

182,448

22,333,460

Lockheed Martin Corp.

264,072

57,874,020

Moog, Inc. Class A (a)

92,752

6,128,125

Northrop Grumman Corp.

437,700

81,569,772

Raytheon Co.

292,122

36,231,892

Rockwell Collins, Inc.

66,000

6,116,880

Spirit AeroSystems Holdings, Inc. Class A (a)

69,500

3,645,275

Textron, Inc.

308,835

13,177,989

The Boeing Co.

479,300

69,714,185

Triumph Group, Inc.

270,000

10,813,500

United Technologies Corp.

483,291

46,420,101

Vectrus, Inc. (a)

37,733

911,629

 

463,098,020

Air Freight & Logistics - 0.1%

FedEx Corp.

99,400

15,758,876

Airlines - 0.8%

Alaska Air Group, Inc.

67,900

5,413,667

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Airlines - continued

American Airlines Group, Inc.

312,200

$ 12,881,372

Delta Air Lines, Inc.

1,201,063

55,801,387

Southwest Airlines Co.

322,100

14,777,948

United Continental Holdings, Inc. (a)

184,160

10,263,237

 

99,137,611

Building Products - 0.0%

Owens Corning

57,700

2,702,668

Commercial Services & Supplies - 0.2%

ADT Corp.

81,700

2,897,899

Deluxe Corp.

191,700

11,243,205

Pitney Bowes, Inc.

43,400

937,440

R.R. Donnelley & Sons Co.

640,600

10,307,254

The Brink's Co.

42,484

1,367,135

 

26,752,933

Construction & Engineering - 0.1%

Chicago Bridge & Iron Co. NV

51,900

2,218,725

Fluor Corp.

70,100

3,406,860

Jacobs Engineering Group, Inc. (a)

60,700

2,679,298

Tutor Perini Corp. (a)

185,700

3,498,588

 

11,803,471

Electrical Equipment - 0.3%

Eaton Corp. PLC

188,000

10,934,080

Emerson Electric Co.

324,200

16,210,000

Hubbell, Inc. Class B

25,100

2,492,179

Rockwell Automation, Inc.

65,400

6,961,176

 

36,597,435

Industrial Conglomerates - 0.6%

General Electric Co.

2,273,372

68,064,758

Machinery - 1.9%

AGCO Corp.

255,200

12,826,352

Caterpillar, Inc.

525,200

38,155,780

Crane Co.

66,896

3,479,930

Deere & Co.

811,000

64,531,270

Dover Corp.

76,700

5,054,530

Illinois Tool Works, Inc.

335,100

31,492,698

Ingersoll-Rand PLC

247,105

14,497,650

Lincoln Electric Holdings, Inc.

28,500

1,608,825

Oshkosh Corp.

292,000

12,807,120

PACCAR, Inc.

146,600

7,617,336

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Parker Hannifin Corp.

72,800

$ 7,619,248

Pentair PLC

89,300

5,063,310

Stanley Black & Decker, Inc.

74,100

8,088,756

Timken Co.

169,200

5,455,008

Trinity Industries, Inc.

504,800

13,705,320

 

232,003,133

Professional Services - 0.1%

Dun & Bradstreet Corp.

19,300

2,080,347

Manpower, Inc.

36,700

3,313,276

 

5,393,623

Road & Rail - 0.5%

AMERCO

6,400

2,594,560

CSX Corp.

1,439,569

40,926,947

Norfolk Southern Corp.

147,900

14,059,374

 

57,580,881

Trading Companies & Distributors - 0.2%

Aircastle Ltd.

570,900

11,966,064

TAL International Group, Inc.

236,100

4,764,498

W.W. Grainger, Inc.

31,100

6,236,794

 

22,967,356

TOTAL INDUSTRIALS

1,041,860,765

INFORMATION TECHNOLOGY - 11.2%

Communications Equipment - 1.8%

Brocade Communications Systems, Inc.

2,289,562

21,487,539

Cisco Systems, Inc.

5,920,221

161,326,022

Harris Corp.

308,776

25,668,549

QUALCOMM, Inc.

254,400

12,412,176

 

220,894,286

Electronic Equipment & Components - 0.9%

Arrow Electronics, Inc. (a)

48,700

2,754,472

Avnet, Inc.

105,900

4,799,388

Corning, Inc.

2,195,500

41,121,715

Flextronics International Ltd. (a)

1,788,527

20,120,929

Ingram Micro, Inc. Class A

74,600

2,307,378

Jabil Circuit, Inc.

93,700

2,397,783

TE Connectivity Ltd.

244,235

16,385,726

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Tech Data Corp. (a)

166,200

$ 11,243,430

Vishay Intertechnology, Inc.

590,800

7,042,336

 

108,173,157

Internet Software & Services - 0.1%

eBay, Inc. (a)

306,072

9,056,670

IT Services - 1.2%

Amdocs Ltd.

102,867

5,819,186

Computer Sciences Corp.

116,115

3,637,883

CSG Systems International, Inc.

185,800

6,638,634

CSRA, Inc. (a)

72,500

2,284,475

IBM Corp.

677,700

94,484,934

PayPal Holdings, Inc. (a)

310,000

10,930,600

The Western Union Co.

250,200

4,718,772

Xerox Corp.

1,814,400

19,141,920

 

147,656,404

Semiconductors & Semiconductor Equipment - 1.7%

Intel Corp.

4,105,000

142,730,850

Lam Research Corp.

320,300

25,047,460

Texas Instruments, Inc.

693,500

40,306,220

 

208,084,530

Software - 2.0%

Activision Blizzard, Inc.

453,815

17,090,673

Adobe Systems, Inc. (a)

215,000

19,663,900

CA Technologies, Inc.

217,300

6,108,303

Microsoft Corp.

1,009,349

54,858,118

Oracle Corp.

3,369,919

131,325,743

Symantec Corp.

714,600

13,991,868

 

243,038,605

Technology Hardware, Storage & Peripherals - 3.5%

Apple, Inc.

1,931,484

228,494,557

EMC Corp.

3,246,500

82,266,310

Hewlett Packard Enterprise Co.

2,012,739

29,909,302

HP, Inc.

1,835,112

23,012,304

NetApp, Inc.

339,000

10,393,740

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

Seagate Technology LLC

571,588

$ 20,542,873

Western Digital Corp.

405,322

25,296,146

 

419,915,232

TOTAL INFORMATION TECHNOLOGY

1,356,818,884

MATERIALS - 3.2%

Chemicals - 2.3%

Ashland, Inc.

32,400

3,649,860

Cabot Corp.

272,700

11,873,358

Celanese Corp. Class A

335,900

23,764,925

CF Industries Holdings, Inc.

649,300

29,958,702

E.I. du Pont de Nemours & Co.

371,900

25,043,746

Eastman Chemical Co.

417,471

30,329,268

Huntsman Corp.

1,141,192

14,287,724

LyondellBasell Industries NV Class A

744,300

71,318,826

Methanex Corp.

141,706

5,566,586

Stepan Co.

142,400

7,413,344

The Dow Chemical Co.

864,800

45,082,024

Valspar Corp.

38,000

3,210,620

Westlake Chemical Corp.

64,700

3,885,235

 

275,384,218

Construction Materials - 0.1%

Martin Marietta Materials, Inc.

116,000

18,258,400

Containers & Packaging - 0.3%

Avery Dennison Corp.

81,041

5,345,464

Ball Corp.

48,700

3,380,754

Bemis Co., Inc.

50,900

2,398,408

Crown Holdings, Inc. (a)

280,952

14,584,218

Packaging Corp. of America

46,800

3,181,932

Sonoco Products Co.

50,000

2,191,000

WestRock Co.

182,380

9,233,899

 

40,315,675

Metals & Mining - 0.2%

Barrick Gold Corp.

403,181

2,967,741

Freeport-McMoRan, Inc.

391,500

3,202,470

Nucor Corp.

158,300

6,561,535

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Reliance Steel & Aluminum Co.

34,600

$ 2,034,826

Steel Dynamics, Inc.

496,400

8,632,396

 

23,398,968

Paper & Forest Products - 0.3%

Domtar Corp.

211,100

8,674,099

International Paper Co.

343,539

14,370,236

Schweitzer-Mauduit International, Inc.

199,000

8,322,180

 

31,366,515

TOTAL MATERIALS

388,723,776

TELECOMMUNICATION SERVICES - 2.0%

Diversified Telecommunication Services - 2.0%

AT&T, Inc.

2,292,300

77,181,741

Verizon Communications, Inc.

3,619,565

164,509,229

 

241,690,970

UTILITIES - 2.8%

Electric Utilities - 1.7%

American Electric Power Co., Inc.

1,039,300

58,211,193

Duke Energy Corp.

340,900

23,099,384

Edison International

161,400

9,580,704

Entergy Corp.

414,600

27,624,798

Eversource Energy

157,100

8,004,245

Exelon Corp.

1,021,300

27,891,703

FirstEnergy Corp.

532,500

16,715,175

Great Plains Energy, Inc.

73,800

1,991,862

ITC Holdings Corp.

422,000

15,563,360

OGE Energy Corp.

48,400

1,263,724

Pinnacle West Capital Corp.

54,900

3,478,464

Xcel Energy, Inc.

251,300

8,961,358

 

202,385,970

Gas Utilities - 0.1%

National Fuel Gas Co.

243,000

11,109,960

UGI Corp.

85,600

2,967,752

 

14,077,712

Independent Power and Renewable Electricity Producers - 0.2%

The AES Corp.

2,547,429

25,448,816

Common Stocks - continued

Shares

Value

UTILITIES - continued

Multi-Utilities - 0.7%

Ameren Corp.

120,200

$ 5,259,952

Consolidated Edison, Inc.

145,200

9,024,180

DTE Energy Co.

58,300

4,692,567

Public Service Enterprise Group, Inc.

1,270,900

49,692,190

SCANA Corp.

338,000

19,989,320

 

88,658,209

Water Utilities - 0.1%

American Water Works Co., Inc.

72,100

4,164,496

TOTAL UTILITIES

334,735,203

TOTAL COMMON STOCKS

(Cost $7,553,660,573)


9,566,138,481

Equity Funds - 18.6%

 

 

 

 

Large Value Funds - 14.5%

Invesco Diversified Dividend Fund - Class A

29,265,052

549,012,375

JPMorgan Value Advantage Fund Institutional Class

41,125,592

1,207,858,624

TOTAL LARGE VALUE FUNDS

1,756,870,999

Mid-Cap Value Funds - 4.1%

Fidelity Low-Priced Stock Fund (c)

9,969,888

493,010,953

TOTAL EQUITY FUNDS

(Cost $1,749,733,988)


2,249,881,952

U.S. Treasury Obligations - 0.1%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (d)
(Cost $8,328,901)

$ 8,330,000


8,329,336

Money Market Funds - 2.2%

Shares

Value

SSgA U.S. Treasury Money Market Fund Class N, 0% (a)(b)
(Cost $262,962,882)

262,962,882

$ 262,962,882

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $9,574,686,344)

12,087,312,651

NET OTHER ASSETS (LIABILITIES) - 0.1%

17,229,432

NET ASSETS - 100%

$ 12,104,542,083

Futures Contracts

Expiration Date

Underlying Face Amount at
Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1,748 ICE Russell 1000 Value Index Contracts (United States)

Dec. 2015

$ 172,649,960

$ 8,700,410

The face value of futures purchased as a percentage of net assets is 1.4%

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Affiliated Fund

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $7,185,419.

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Fidelity Low-Priced Stock Fund

$ 532,999,732

$ 18,587,848

$ 25,000,000

$ 3,039,078

$ 493,010,953

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 809,238,579

$ 809,238,579

$ -

$ -

Consumer Staples

360,752,274

360,752,274

-

-

Energy

937,744,687

937,744,687

-

-

Financials

2,695,339,279

2,695,339,279

-

-

Health Care

1,399,234,064

1,399,234,064

-

-

Industrials

1,041,860,765

1,041,860,765

-

-

Information Technology

1,356,818,884

1,356,818,884

-

-

Materials

388,723,776

388,723,776

-

-

Telecommunication Services

241,690,970

241,690,970

-

-

Utilities

334,735,203

334,735,203

-

-

Equity Funds

2,249,881,952

2,249,881,952

-

-

U.S. Treasury Obligations

8,329,336

-

8,329,336

-

Money Market Funds

262,962,882

262,962,882

-

-

Total Investments in Securities:

$ 12,087,312,651

$ 12,078,983,315

$ 8,329,336

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 8,700,410

$ 8,700,410

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 8,700,410

$ -

Total Value of Derivatives

$ 8,700,410

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 

November 30, 2015
(Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $9,173,622,355)

$ 11,594,301,698

 

Affiliated issuers (cost $401,063,989)

493,010,953

 

Total Investments (cost $9,574,686,344)

 

$ 12,087,312,651

Cash

 

309,481

Receivable for investments sold

159,379,552

Receivable for fund shares sold

4,580,438

Dividends receivable

27,982,574

Prepaid expenses

25,945

Other receivables

34,563

Total assets

12,279,625,204

Liabilities

Payable for investments purchased

$ 166,329,962

Payable for fund shares redeemed

5,097,604

Accrued management fee

1,801,748

Payable for daily variation margin for derivative instruments

279,680

Other affiliated payables

1,428,713

Other payables and accrued expenses

145,414

Total liabilities

175,083,121

Net Assets

$ 12,104,542,083

Net Assets consist of:

 

Paid in capital

$ 9,122,903,232

Undistributed net investment income

104,823,376

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

355,493,739

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

2,521,321,736

Net Assets, for 665,290,514 shares outstanding

$ 12,104,542,083

Net Asset Value, offering price and redemption price per share ($12,104,542,083 ÷ 665,290,514 shares)

$ 18.19

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

 

 

Six months ended
November 30, 2015 (Unaudited)

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 122,046,279

Affiliated issuers

 

3,039,078

Interest

 

1,278

Total income

 

125,086,635

Expenses

Management fee

$ 26,783,565

Transfer agent fees

7,954,641

Accounting fees and expenses

695,626

Custodian fees and expenses

63,515

Independent trustees' compensation

68,025

Registration fees

116,805

Audit

41,761

Legal

62,608

Miscellaneous

51,108

Total expenses before reductions

35,837,654

Expense reductions

(15,897,742)

19,939,912

Net investment income (loss)

105,146,723

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

370,448,272

Affiliated issuers

(650,177)

 

Foreign currency transactions

379

Futures contracts

(9,786,347)

Realized gain distributions from underlying funds:

Affiliated issuers

15,548,770

 

Total net realized gain (loss)

 

375,560,897

Change in net unrealized appreciation (depreciation) on:

Investment securities

(845,642,365)

Assets and liabilities in foreign currencies

(5,455)

Futures contracts

5,059,204

Total change in net unrealized appreciation (depreciation)

 

(840,588,616)

Net gain (loss)

(465,027,719)

Net increase (decrease) in net assets resulting from operations

$ (359,880,996)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended November 30, 2015 (Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 105,146,723

$ 211,983,395

Net realized gain (loss)

375,560,897

968,717,680

Change in net unrealized appreciation
(depreciation)

(840,588,616)

55,944,139

Net increase (decrease) in net assets resulting from operations

(359,880,996)

1,236,645,214

Distributions to shareholders from net investment income

(77,887,764)

(175,885,953)

Distributions to shareholders from net realized gain

(302,669,120)

(999,708,086)

Total distributions

(380,556,884)

(1,175,594,039)

Share transactions

 

 

Proceeds from sales of shares

993,593,173

2,490,549,700

Reinvestment of distributions

379,442,026

1,172,447,481

Cost of shares redeemed

(1,798,070,208)

(3,303,562,294)

Net increase (decrease) in net assets resulting from share transactions

(425,035,009)

359,434,887

Total increase (decrease) in net assets

(1,165,472,889)

420,486,062

Net Assets

Beginning of period

13,270,014,972

12,849,528,910

End of period (including undistributed net investment income of $104,823,376 and undistributed net investment income of $77,564,417, respectively)

$ 12,104,542,083

$ 13,270,014,972

Other Information

Shares

 

 

Sold

54,580,646

130,986,693

Issued in reinvestment of distributions

20,565,963

61,626,523

Redeemed

(99,013,464)

(174,656,082)

Net increase (decrease)

(23,866,855)

17,957,134

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Value Fund

 

Six months ended November 30, 2015
(Unaudited)

Years ended May 31,

 

 

2015

2014

2013

2012

2011

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 19.26

$ 19.14

$ 16.92

$ 13.54

$ 14.56

$ 12.10

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)D

  .15

  .31

  .26

  .29

  .24

  .20

Net realized and unrealized gain (loss)

  (.66)

  1.59

  3.02

  3.73

  (.82)

  2.47

Total from investment operations

  (.51)

  1.90

  3.28

  4.02

  (.58)

  2.67

Distributions from net investment income

  (.11)

  (.27)

  (.25)

  (.26)

  (.21)

  (.16)

Distributions from net realized gain

  (.44)

  (1.51)

  (.81)

  (.38)

  (.22)

  (.05)

Total distributions

  (.56) H

  (1.78)

  (1.06)

  (.64)

  (.44) G

  (.21)

Net asset value, end of period

$ 18.19

$ 19.26

$ 19.14

$ 16.92

$ 13.54

$ 14.56

Total ReturnB, C

  (2.70)%

  10.23%

  20.07%

  30.65%

  (4.04)%

  22.29%

Ratios to Average Net Assets E

 

 

 

 

 

 

Expenses before reductions

  .57%A

  .56%

  .56%

  .58%

  .60%

  .61%

Expenses net of fee waivers, if any

  .32%A

  .31%

  .31%

  .33%

  .35%

  .35%

Expenses net of all reductions

  .32%A

  .31%

  .31%

  .33%

  .35%

  .35%

Net investment income (loss)

  1.67%A

  1.63%

  1.45%

  1.90%

  1.81%

  1.48%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period(000 omitted)

$ 12,104,542

$ 13,270,015

$ 12,849,529

$ 9,527,041

$ 6,964,262

$ 7,343,388

Portfolio turnover rate F

  32%A

  31%

  42%

  48%

  32%

  49%

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds. F Amount does not include the portfolio activity of any Underlying Funds. G Total distributions of $.44 per share is comprised of distributions from net investment income of $.212 and distributions from net realized gain of $.223 per share. H Total distributions of $.56 per share is comprised of distributions from net investment income of $.114 and distributions from net realized gain of $.443 per share.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Value Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).

2. Significant Accounting Policies.

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 Strategic Advisers Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds ,including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015, is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may 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 Underlying Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 2,788,693,162

Gross unrealized depreciation

(294,038,172)

Net unrealized appreciation (depreciation) on securities

$ 2,494,654,990

Tax cost

$ 9,592,657,661

Semiannual Report

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Futures Contracts - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(9,786,347) and a change in net unrealized appreciation (depreciation) of $5,059,204 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $1,985,330,854 and $2,559,695,752, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .70% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .43% of the Fund's average net assets.

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, LSV Asset Management and Robeco Investment Management, Inc. (d/b/a Boston Partners) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Sub-Advisers - continued

FIAM LLC (FIAM) (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, has been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .13% of average net assets.

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $8,010 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2018. During the period, this waiver reduced the Fund's management fee by $15,708,631.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $231.

In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $188,880.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. 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.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Value Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC (Aristotle), Brandywine Global Investment Management, LLC (Brandywine), LSV Asset Management (LSV), Pyramis Global Advisors, LLC (Pyramis), and Robeco Investment Management, Inc. (dba Boston Partners) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, Aristotle, Brandywine, LSV, Pyramis, and Boston Partners (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Value Fund

one732617

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one- and three-year periods and in the second quartile for the five-year period ended December 31, 2014. The Board also noted that the fund had out-performed 81%, 79%, and 69% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board also noted Strategic Advisers' proposal to extend the 0.25% management fee waiver through September 30, 2018 and considered that the fund's maximum aggregate annual management fee rate may not exceed 0.70%. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Value Fund

one732619

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the fund's total expenses, the Board considered the fund's management fee as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Semiannual Report

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took into consideration that Strategic Advisers has agreed to waive 0.25% of its management fee through September 30, 2018.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

LSV Asset Management

FIAM LLC

Robeco Investment Management, Inc.
(d/b/a Boston Partners)

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

State Street Bank and Trust Company
Boston, MA

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

SUF-USAN-0116
1.922641.105

Strategic Advisers®
Value Multi-Manager Fund

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan accounts) or 1-800-544-3455 (all other accounts) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Value Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 966.50

$ 4.28

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 964.70

$ 5.99

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

JPMorgan Chase & Co.

3.0

3.0

Johnson & Johnson

2.7

1.6

Pfizer, Inc.

2.2

2.1

Wells Fargo & Co.

2.2

2.4

Exxon Mobil Corp.

2.0

1.4

Citigroup, Inc.

2.0

1.5

Apple, Inc.

1.9

2.4

Bank of America Corp.

1.6

1.5

Cisco Systems, Inc.

1.5

1.5

Verizon Communications, Inc.

1.5

0.5

 

20.6

Top Five Market Sectors as of November 30, 2015

(Stocks Only)

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

25.3

24.3

Health Care

13.4

14.2

Information Technology

12.6

15.3

Industrials

9.7

9.4

Energy

8.7

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

one732627

Common Stocks 90.2%

 

one732629

Common Stocks 91.8%

 

one732631

Short-Term
Investments and
Net Other Assets (Liabilities) 9.8%

 

one732633

Short-Term
Investments and
Net Other Assets (Liabilities) 8.2%

 

one732635

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 90.2%

Shares

Value

CONSUMER DISCRETIONARY - 8.2%

Auto Components - 1.2%

Autoliv, Inc.

300

$ 37,749

Delphi Automotive PLC

220

19,334

Gentex Corp.

230

3,849

Johnson Controls, Inc.

520

23,920

Lear Corp.

862

108,526

The Goodyear Tire & Rubber Co.

1,180

41,158

 

234,536

Automobiles - 0.9%

Ford Motor Co.

5,100

73,083

General Motors Co.

2,510

90,862

Harley-Davidson, Inc.

140

6,849

 

170,794

Hotels, Restaurants & Leisure - 0.4%

Brinker International, Inc.

400

18,248

Carnival Corp. unit

460

23,244

Hyatt Hotels Corp. Class A (a)

30

1,479

Royal Caribbean Cruises Ltd.

130

12,039

Six Flags Entertainment Corp.

379

19,670

Wyndham Worldwide Corp.

90

6,833

 

81,513

Household Durables - 0.7%

Lennar Corp. Class A

1,353

69,287

PulteGroup, Inc.

270

5,260

Toll Brothers, Inc. (a)

140

5,205

Whirlpool Corp.

340

55,257

 

135,009

Media - 3.1%

AMC Networks, Inc. Class A (a)

40

3,252

CBS Corp. Class B

956

48,259

Comcast Corp. Class A

581

35,360

Discovery Communications, Inc. Class A (a)

120

3,737

Gannett Co., Inc.

600

10,248

Liberty Broadband Corp. Class C (a)

314

16,582

Liberty Global PLC:

Class C (a)

1,650

67,650

LiLAC Class C (a)

80

3,138

Liberty Media Corp. Class C (a)

585

22,874

News Corp. Class A

290

4,162

Omnicom Group, Inc.

307

22,693

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Starz Series A (a)

923

$ 32,563

Tegna, Inc.

1,380

38,985

Time Warner Cable, Inc.

400

73,908

Time Warner, Inc.

2,314

161,934

Time, Inc.

431

7,172

Twenty-First Century Fox, Inc. Class A

900

26,559

Viacom, Inc. Class B (non-vtg.)

900

44,811

 

623,887

Multiline Retail - 1.1%

Dillard's, Inc. Class A

300

22,500

Dollar General Corp.

230

15,044

Kohl's Corp.

800

37,704

Macy's, Inc.

500

19,540

Target Corp.

1,832

132,820

 

227,608

Specialty Retail - 0.7%

AutoNation, Inc. (a)

90

5,753

Best Buy Co., Inc.

1,748

55,551

Foot Locker, Inc.

110

7,150

GameStop Corp. Class A

80

2,802

Home Depot, Inc.

550

73,634

Penske Automotive Group, Inc.

70

3,266

Staples, Inc.

160

1,931

 

150,087

Textiles, Apparel & Luxury Goods - 0.1%

Coach, Inc.

160

5,083

PVH Corp.

60

5,477

Ralph Lauren Corp.

50

6,211

 

16,771

TOTAL CONSUMER DISCRETIONARY

1,640,205

CONSUMER STAPLES - 3.9%

Beverages - 0.2%

Coca-Cola Enterprises, Inc.

40

2,012

Diageo PLC sponsored ADR

364

41,700

 

43,712

Food & Staples Retailing - 0.8%

CVS Health Corp.

330

31,050

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Kroger Co.

1,600

$ 60,256

Walgreens Boots Alliance, Inc.

790

66,384

 

157,690

Food Products - 2.1%

Archer Daniels Midland Co.

2,580

94,144

Bunge Ltd.

600

39,966

General Mills, Inc.

480

27,725

Ingredion, Inc.

650

64,071

Kellogg Co.

220

15,129

Mondelez International, Inc.

1,090

47,589

The Hershey Co.

350

30,209

Tyson Foods, Inc. Class A

1,816

90,800

 

409,633

Personal Products - 0.4%

Coty, Inc. Class A

970

26,947

Edgewell Personal Care Co. (a)

40

3,220

Herbalife Ltd. (a)

60

3,464

Unilever NV (NY Reg.)

1,130

49,426

 

83,057

Tobacco - 0.4%

Philip Morris International, Inc.

1,020

89,138

TOTAL CONSUMER STAPLES

783,230

ENERGY - 8.7%

Energy Equipment & Services - 0.6%

Baker Hughes, Inc.

230

12,436

Ensco PLC Class A

700

11,984

FMC Technologies, Inc. (a)

180

6,124

Halliburton Co.

1,576

62,804

Helmerich & Payne, Inc.

80

4,660

Noble Corp.

700

9,289

Paragon Offshore PLC

233

48

Parker Drilling Co. (a)

2,100

5,775

 

113,120

Oil, Gas & Consumable Fuels - 8.1%

Anadarko Petroleum Corp.

617

36,958

Canadian Natural Resources Ltd.

1,312

31,772

Chevron Corp.

1,500

136,980

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Cimarex Energy Co.

169

$ 20,114

ConocoPhillips Co.

700

37,835

Diamondback Energy, Inc.

263

20,519

Energen Corp.

445

26,384

EOG Resources, Inc.

1,124

93,775

EQT Corp.

179

10,242

Exxon Mobil Corp.

4,910

400,951

Hess Corp.

400

23,600

HollyFrontier Corp.

940

45,195

Marathon Oil Corp.

1,100

19,261

Marathon Petroleum Corp.

2,154

125,815

Occidental Petroleum Corp.

2,111

159,570

Phillips 66 Co.

2,588

236,880

Pioneer Natural Resources Co.

202

29,240

QEP Resources, Inc.

1,377

21,757

Rice Energy, Inc. (a)

304

4,098

Tesoro Corp.

50

5,759

Valero Energy Corp.

1,970

141,564

Western Refining, Inc.

60

2,716

 

1,630,985

TOTAL ENERGY

1,744,105

FINANCIALS - 25.3%

Banks - 12.4%

Banco Bilbao Vizcaya Argentaria SA sponsored ADR

4,400

36,388

Bank of America Corp.

18,355

319,928

BB&T Corp.

1,802

69,593

BOK Financial Corp.

270

18,590

Citigroup, Inc.

7,218

390,422

Citizens Financial Group, Inc.

270

7,190

Comerica, Inc.

140

6,489

Commerce Bancshares, Inc.

78

3,582

Cullen/Frost Bankers, Inc.

300

20,937

East West Bancorp, Inc.

110

4,772

Fifth Third Bancorp

3,227

66,702

First Republic Bank

751

51,714

Huntington Bancshares, Inc.

3,330

38,928

Investors Bancorp, Inc.

260

3,333

JPMorgan Chase & Co.

9,145

609,789

KeyCorp

2,600

34,086

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

M&T Bank Corp.

320

$ 40,106

Mitsubishi UFJ Financial Group, Inc. sponsored ADR

5,091

32,888

Peoples United Financial, Inc.

200

3,350

PNC Financial Services Group, Inc.

1,210

115,567

Regions Financial Corp.

6,360

64,490

SunTrust Banks, Inc.

1,310

56,880

Synovus Financial Corp.

100

3,338

U.S. Bancorp

1,350

59,252

Wells Fargo & Co.

7,849

432,480

 

2,490,794

Capital Markets - 2.2%

Ameriprise Financial, Inc.

540

60,993

Bank of New York Mellon Corp.

870

38,141

BlackRock, Inc. Class A

130

47,284

E*TRADE Financial Corp. (a)

180

5,477

Eaton Vance Corp. (non-vtg.)

90

3,233

Goldman Sachs Group, Inc.

500

95,010

Invesco Ltd.

340

11,455

Morgan Stanley

2,000

68,600

Northern Trust Corp.

160

11,990

State Street Corp.

1,010

73,306

T. Rowe Price Group, Inc.

190

14,469

 

429,958

Consumer Finance - 2.6%

Ally Financial, Inc. (a)

1,826

36,447

American Express Co.

820

58,745

Capital One Financial Corp.

2,934

230,348

Discover Financial Services

2,527

143,433

Navient Corp.

2,691

32,050

Synchrony Financial (a)

513

16,329

 

517,352

Diversified Financial Services - 1.0%

Berkshire Hathaway, Inc. Class B (a)

1,290

172,976

Leucadia National Corp.

270

4,774

The NASDAQ OMX Group, Inc.

130

7,621

Voya Financial, Inc.

170

6,919

 

192,290

Insurance - 6.5%

ACE Ltd.

955

109,682

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

AFLAC, Inc.

1,030

$ 67,197

Alleghany Corp. (a)

20

10,187

Allstate Corp.

1,902

119,370

American Financial Group, Inc.

660

48,840

American International Group, Inc.

1,662

105,670

Aon PLC

308

29,180

Arch Capital Group Ltd. (a)

90

6,522

Assurant, Inc.

460

39,339

Axis Capital Holdings Ltd.

670

37,520

Cincinnati Financial Corp.

110

6,722

Everest Re Group Ltd.

240

44,266

Hartford Financial Services Group, Inc.

1,720

78,501

Lincoln National Corp.

1,300

71,487

Loews Corp.

270

10,230

Markel Corp. (a)

10

9,052

MetLife, Inc.

2,265

115,719

Principal Financial Group, Inc.

230

11,836

Progressive Corp.

450

13,869

Prudential Financial, Inc.

1,050

90,878

Reinsurance Group of America, Inc.

60

5,513

The Travelers Companies, Inc.

1,616

185,145

Torchmark Corp.

280

16,974

Unum Group

1,190

43,649

W.R. Berkley Corp.

100

5,566

XL Group PLC Class A

697

26,611

 

1,309,525

Real Estate Investment Trusts - 0.4%

American Homes 4 Rent Class A

909

15,253

Annaly Capital Management, Inc.

3,600

34,488

Hospitality Properties Trust (SBI)

1,100

30,547

 

80,288

Real Estate Management & Development - 0.0%

Jones Lang LaSalle, Inc.

30

4,984

Thrifts & Mortgage Finance - 0.2%

New York Community Bancorp, Inc.

340

5,576

Radian Group, Inc.

2,200

31,350

 

36,926

TOTAL FINANCIALS

5,062,117

Common Stocks - continued

Shares

Value

HEALTH CARE - 13.4%

Biotechnology - 2.7%

AbbVie, Inc.

1,420

$ 82,573

Amgen, Inc.

1,080

173,988

Baxalta, Inc.

1,370

47,101

Gilead Sciences, Inc.

2,078

220,185

United Therapeutics Corp. (a)

130

19,842

 

543,689

Health Care Equipment & Supplies - 1.1%

Baxter International, Inc.

1,730

65,135

Medtronic PLC

1,588

119,640

St. Jude Medical, Inc.

220

13,882

Zimmer Biomet Holdings, Inc.

279

28,182

 

226,839

Health Care Providers & Services - 3.3%

Aetna, Inc.

700

71,925

Anthem, Inc.

1,136

148,112

Cardinal Health, Inc.

399

34,653

Cigna Corp.

763

102,990

Express Scripts Holding Co. (a)

1,236

105,653

HCA Holdings, Inc. (a)

310

21,099

Quest Diagnostics, Inc.

1,004

68,593

UnitedHealth Group, Inc.

770

86,787

Universal Health Services, Inc. Class B

70

8,506

 

648,318

Pharmaceuticals - 6.3%

Johnson & Johnson

5,383

544,975

Merck & Co., Inc.

4,139

219,408

Novartis AG sponsored ADR

450

38,358

Pfizer, Inc.

13,681

448,326

Teva Pharmaceutical Industries Ltd. sponsored ADR

173

10,887

 

1,261,954

TOTAL HEALTH CARE

2,680,800

INDUSTRIALS - 9.7%

Aerospace & Defense - 4.5%

General Dynamics Corp.

1,052

154,076

Honeywell International, Inc.

786

81,705

Huntington Ingalls Industries, Inc.

40

5,237

L-3 Communications Holdings, Inc.

260

31,827

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Lockheed Martin Corp.

610

$ 133,688

Northrop Grumman Corp.

620

115,543

Raytheon Co.

743

92,154

Rockwell Collins, Inc.

110

10,195

Spirit AeroSystems Holdings, Inc. Class A (a)

110

5,770

Textron, Inc.

803

34,264

The Boeing Co.

720

104,724

Triumph Group, Inc.

700

28,035

United Technologies Corp.

966

92,784

 

890,002

Air Freight & Logistics - 0.1%

FedEx Corp.

150

23,781

Airlines - 1.0%

Alaska Air Group, Inc.

110

8,770

American Airlines Group, Inc.

490

20,217

Delta Air Lines, Inc.

2,516

116,893

Southwest Airlines Co.

500

22,940

United Continental Holdings, Inc. (a)

628

34,998

 

203,818

Building Products - 0.0%

Owens Corning

90

4,216

Commercial Services & Supplies - 0.4%

ADT Corp.

130

4,611

Deluxe Corp.

700

41,055

Pitney Bowes, Inc.

70

1,512

R.R. Donnelley & Sons Co.

1,500

24,135

 

71,313

Construction & Engineering - 0.1%

Chicago Bridge & Iron Co. NV

80

3,420

Fluor Corp.

110

5,346

Jacobs Engineering Group, Inc. (a)

90

3,973

 

12,739

Electrical Equipment - 0.3%

Eaton Corp. PLC

290

16,866

Emerson Electric Co.

510

25,500

Hubbell, Inc. Class B

40

3,972

Rockwell Automation, Inc.

100

10,644

 

56,982

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Industrial Conglomerates - 0.6%

General Electric Co.

4,180

$ 125,149

Machinery - 2.3%

AGCO Corp.

570

28,648

Caterpillar, Inc.

850

61,753

Crane Co.

226

11,757

Deere & Co.

1,394

110,921

Dover Corp.

120

7,908

Illinois Tool Works, Inc.

735

69,075

Ingersoll-Rand PLC

604

35,437

Lincoln Electric Holdings, Inc.

40

2,258

Oshkosh Corp.

880

38,597

PACCAR, Inc.

230

11,951

Parker Hannifin Corp.

120

12,559

Pentair PLC

140

7,938

Stanley Black & Decker, Inc.

120

13,099

Timken Co.

200

6,448

Trinity Industries, Inc.

1,200

32,580

 

450,929

Professional Services - 0.0%

Dun & Bradstreet Corp.

20

2,156

Manpower, Inc.

60

5,417

 

7,573

Road & Rail - 0.2%

AMERCO

10

4,054

CSX Corp.

760

21,607

Norfolk Southern Corp.

230

21,864

 

47,525

Trading Companies & Distributors - 0.2%

Aircastle Ltd.

1,400

29,344

W.W. Grainger, Inc.

50

10,027

 

39,371

TOTAL INDUSTRIALS

1,933,398

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 2.0%

Brocade Communications Systems, Inc.

4,615

43,312

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Cisco Systems, Inc.

11,149

$ 303,810

Harris Corp.

733

60,934

 

408,056

Electronic Equipment & Components - 1.0%

Arrow Electronics, Inc. (a)

80

4,525

Avnet, Inc.

160

7,251

Corning, Inc.

3,000

56,190

Flextronics International Ltd. (a)

1,657

18,641

Ingram Micro, Inc. Class A

120

3,712

Jabil Circuit, Inc.

150

3,839

TE Connectivity Ltd.

695

46,628

Tech Data Corp. (a)

600

40,590

Vishay Intertechnology, Inc.

1,300

15,496

 

196,872

Internet Software & Services - 0.2%

eBay, Inc. (a)

1,047

30,981

IT Services - 1.1%

Computer Sciences Corp.

268

8,396

CSRA, Inc. (a)

120

3,781

IBM Corp.

950

132,449

PayPal Holdings, Inc. (a)

904

31,875

The Western Union Co.

390

7,355

Xerox Corp.

3,800

40,090

 

223,946

Semiconductors & Semiconductor Equipment - 1.6%

Intel Corp.

6,440

223,919

Lam Research Corp.

100

7,820

Texas Instruments, Inc.

1,554

90,318

 

322,057

Software - 3.0%

Activision Blizzard, Inc.

1,554

58,524

Adobe Systems, Inc. (a)

700

64,022

CA Technologies, Inc.

340

9,557

Microsoft Corp.

3,482

189,247

Oracle Corp.

6,876

267,958

Symantec Corp.

830

16,251

 

605,559

Technology Hardware, Storage & Peripherals - 3.7%

Apple, Inc.

3,197

378,205

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

EMC Corp.

5,470

$ 138,610

Hewlett Packard Enterprise Co.

4,200

62,412

HP, Inc.

3,594

45,069

Seagate Technology LLC

1,130

40,612

Western Digital Corp.

1,246

77,763

 

742,671

TOTAL INFORMATION TECHNOLOGY

2,530,142

MATERIALS - 3.2%

Chemicals - 2.0%

Ashland, Inc.

50

5,633

Celanese Corp. Class A

120

8,490

CF Industries Holdings, Inc.

850

39,219

E.I. du Pont de Nemours & Co.

570

38,384

Eastman Chemical Co.

510

37,052

Huntsman Corp.

3,215

40,252

LyondellBasell Industries NV Class A

1,130

108,277

Methanex Corp.

485

19,052

The Dow Chemical Co.

1,815

94,616

Valspar Corp.

60

5,069

Westlake Chemical Corp.

100

6,005

 

402,049

Construction Materials - 0.2%

Martin Marietta Materials, Inc.

320

50,368

Containers & Packaging - 0.6%

Avery Dennison Corp.

210

13,852

Ball Corp.

80

5,554

Bemis Co., Inc.

80

3,770

Crown Holdings, Inc. (a)

821

42,618

Packaging Corp. of America

70

4,759

Sonoco Products Co.

80

3,506

WestRock Co.

735

37,213

 

111,272

Metals & Mining - 0.1%

Barrick Gold Corp.

1,375

10,121

Freeport-McMoRan, Inc.

800

6,544

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Nucor Corp.

250

$ 10,363

Reliance Steel & Aluminum Co.

50

2,941

 

29,969

Paper & Forest Products - 0.3%

Domtar Corp.

500

20,545

International Paper Co.

846

35,388

 

55,933

TOTAL MATERIALS

649,591

TELECOMMUNICATION SERVICES - 2.3%

Diversified Telecommunication Services - 2.3%

AT&T, Inc.

5,013

168,788

Verizon Communications, Inc.

6,391

290,471

 

459,259

UTILITIES - 2.9%

Electric Utilities - 1.5%

American Electric Power Co., Inc.

1,380

77,294

Duke Energy Corp.

530

35,913

Edison International

250

14,840

Entergy Corp.

600

39,978

Eversource Energy

240

12,228

Exelon Corp.

900

24,579

FirstEnergy Corp.

1,100

34,529

Great Plains Energy, Inc.

120

3,239

ITC Holdings Corp.

1,250

46,100

OGE Energy Corp.

80

2,089

Pinnacle West Capital Corp.

90

5,702

Xcel Energy, Inc.

390

13,907

 

310,398

Gas Utilities - 0.2%

National Fuel Gas Co.

670

30,632

UGI Corp.

130

4,507

 

35,139

Independent Power and Renewable Electricity Producers - 0.4%

The AES Corp.

7,297

72,897

Multi-Utilities - 0.8%

Ameren Corp.

190

8,314

Common Stocks - continued

Shares

Value

UTILITIES - continued

Multi-Utilities - continued

Consolidated Edison, Inc.

230

$ 14,295

DTE Energy Co.

90

7,244

Public Service Enterprise Group, Inc.

2,190

85,629

SCANA Corp.

600

35,484

 

150,966

Water Utilities - 0.0%

American Water Works Co., Inc.

110

6,354

TOTAL UTILITIES

575,754

TOTAL COMMON STOCKS

(Cost $14,169,761)


18,058,601

U.S. Treasury Obligations - 0.4%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (c)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 9.4%

Shares

 

SSgA U.S. Treasury Money Market Fund Class N, 0% (a)(b)
(Cost $1,887,108)

1,887,108


1,887,108

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $16,126,861)

20,015,704

NET OTHER ASSETS (LIABILITIES) - 0.0%

6,611

NET ASSETS - 100%

$ 20,022,315

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Value Index Contracts (United States)

Dec. 2015

$ 1,679,090

$ 87,838

 

The face value of futures purchased as a percentage of net assets is 8.4%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $1,429,863.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,994.

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 1,640,205

$ 1,640,205

$ -

$ -

Consumer Staples

783,230

783,230

-

-

Energy

1,744,105

1,744,105

-

-

Financials

5,062,117

5,062,117

-

-

Health Care

2,680,800

2,680,800

-

-

Industrials

1,933,398

1,933,398

-

-

Information Technology

2,530,142

2,530,142

-

-

Materials

649,591

649,591

-

-

Telecommunication Services

459,259

459,259

-

-

Utilities

575,754

575,754

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

1,887,108

1,887,108

-

-

Total Investments in Securities:

$ 20,015,704

$ 19,945,709

$ 69,995

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 87,838

$ 87,838

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 87,838

$ -

Total Value of Derivatives

$ 87,838

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $16,126,861)

 

$ 20,015,704

Cash

 

588

Receivable for investments sold

256,867

Receivable for fund shares sold

9,127

Dividends receivable

48,569

Prepaid expenses

39

Receivable from investment adviser for expense reductions

486

Other receivables

140

Total assets

20,331,520

 

 

 

Liabilities

Payable for investments purchased

$ 264,030

Payable for fund shares redeemed

7,584

Accrued management fee

8,414

Distribution and service plan fees payable

24

Payable for daily variation margin for derivative instruments

2,752

Other affiliated payables

2,309

Other payables and accrued expenses

24,092

Total liabilities

309,205

 

 

 

Net Assets

$ 20,022,315

Net Assets consist of:

 

Paid in capital

$ 15,549,636

Undistributed net investment income

109,694

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

386,316

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

3,976,669

Net Assets

$ 20,022,315

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Value Multi-Manager:
Net Asset Value, offering price and redemption price per share ($16,854,182 ÷ 1,206,957 shares)

$ 13.96

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,934,070 ÷ 209,364 shares)

$ 14.01

 

 

 

Class L:
Net Asset Value, offering price and redemption price per share ($117,330 ÷ 8,403 shares)

$ 13.96

 

 

 

Class N:
Net Asset Value, offering price and redemption price per share ($116,733 ÷ 8,371 shares)

$ 13.94

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 203,644

Interest

 

12

Total income

 

203,656

 

 

 

Expenses

Management fee

$ 49,826

Transfer agent fees

10,413

Distribution and service plan fees

145

Accounting fees and expenses

3,820

Custodian fees and expenses

7,058

Independent trustees' compensation

105

Registration fees

35,319

Audit

25,434

Legal

95

Miscellaneous

84

Total expenses before reductions

132,299

Expense reductions

(38,664)

93,635

Net investment income (loss)

110,021

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

550,045

 

Foreign currency transactions

(5)

Futures contracts

(100,786)

Total net realized gain (loss)

 

449,254

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,289,681)

Assets and liabilities in foreign currencies

(13)

Futures contracts

60,666

Total change in net unrealized appreciation (depreciation)

 

(1,229,028)

Net gain (loss)

(779,774)

Net increase (decrease) in net assets resulting from operations

$ (669,753)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended
November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 110,021

$ 205,820

Net realized gain (loss)

449,254

1,185,436

Change in net unrealized appreciation (depreciation)

(1,229,028)

416,847

Net increase (decrease) in net assets resulting from operations

(669,753)

1,808,103

Distributions to shareholders from net investment income

(99,209)

(185,286)

Distributions to shareholders from net realized gain

(408,359)

(1,691,874)

Total distributions

(507,568)

(1,877,160)

Share transactions - net increase (decrease)

1,004,968

942,602

Total increase (decrease) in net assets

(172,353)

873,545

 

 

 

Net Assets

Beginning of period

20,194,668

19,321,123

End of period (including undistributed net investment income of $109,694 and undistributed net investment income of $98,882, respectively)

$ 20,022,315

$ 20,194,668

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Value Multi-Manager

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 13.32

$ 10.65

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .08

  .16

  .14

  .17

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  2.37

  2.92

  .59

Total from investment operations

  (.50)

  1.39

  2.51

  3.09

  .67

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.16)

  (.02)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.26)

  -

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.42)

  (.02)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

$ 13.32

$ 10.65

Total Return B, C

  (3.43)%

  9.78%

  19.66%

  29.71%

  6.71%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.36%A

  1.25%

  1.32%

  1.30%

  1.62%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%

  1.43%

  1.41%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 16,854

$ 17,235

$ 17,565

$ 15,774

$ 11,031

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

  14%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.87

$ 14.96

$ 13.33

$ 11.91

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .08

  .17

  .15

  .08

Net realized and unrealized gain (loss)

  (.57)

  1.23

  2.38

  1.62

Total from investment operations

  (.49)

  1.40

  2.53

  1.70

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.10)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.18)

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.28)

Net asset value, end of period

$ 14.01

$ 14.87

$ 14.96

$ 13.33

Total ReturnB, C

  (3.35)%

  9.83%

  19.81%

  14.61%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.25%A

  1.11%

  1.26%

  .98%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .87%A

Net investment income (loss)

  1.20%A

  1.18%

  1.07%

  1.40%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,934

$ 2,717

$ 1,535

$ 287

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .08

  .16

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.50)

  1.39

  1.46

Distributions from net investment income

  (.07)

  (.15)

  (.08)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.37)

  (1.49) H

  (.56)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

Total ReturnB, C

  (3.43)%

  9.78%

  10.65%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.33%A

  1.22%

  1.37%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.81

$ 14.92

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .06

  .12

  .06

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.52)

  1.35

  1.44

Distributions from net investment income

  (.06)

  (.11)

  (.07)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.35)H

  (1.46)

  (.55)

Net asset value, end of period

$ 13.94

$ 14.81

$ 14.92

Total ReturnB, C

  (3.53)%

  9.44%

  10.54%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.59%A

  1.47%

  1.63%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .86%A

  .83%

  .72%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.35 per share is comprised of distributions from net investment income of $.057 and distributions from net realized gain of $.296 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund commenced sale of Class L and Class N shares on November 12, 2013. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 4,397,674

Gross unrealized depreciation

(523,522)

Net unrealized appreciation (depreciation) on securities

$ 3,874,152

Tax cost

$ 16,141,552

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

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(100,786) and a change in net unrealized appreciation (depreciation) of $60,666 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $3,668,950 and $3,388,265, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .51% of the Fund's average net assets.

Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, LSV Asset Management and Robeco Investment Management, Inc. (d/b/a Boston Partners) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

FIAM LLC (FIAM) (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, has been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 145

$ 145

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, ETFs. FIIOC receives no fees for providing transfer

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Value Multi-Manager

$ 10,301

.12

Class L

56

.10

Class N

56

.10

 

$ 10,413

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Value Multi-Manager

.97%

$ 32,520

Class F

.87%

5,364

Class L

.97%

211

Class N

1.22%

212

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Amount

Value Multi-Manager

$ 353

Class L

2

Class N

2

 

$ 357

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Value Multi-Manager

$ 83,967

$ 163,845

Class F

14,186

19,477

Class L

590

1,124

Class N

466

840

Total

$ 99,209

$ 185,286

From net realized gain

 

 

Value Multi-Manager

$ 345,196

$ 1,500,491

Class F

58,321

170,949

Class L

2,424

10,221

Class N

2,418

10,213

Total

$ 408,359

$ 1,691,874

Semiannual Report

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended
November 30,
2015

Year ended
May 31,
2015

Six months ended
November 30,
2015

Year ended
May 31,
2015

Value Multi-Manager

 

 

 

 

Shares sold

56,825

183,481

$ 794,566

$ 2,671,024

Reinvestment of distributions

30,201

114,344

429,163

1,664,336

Shares redeemed

(42,453)

(311,753)

(601,679)

(4,582,240)

Net increase (decrease)

44,573

(13,928)

$ 622,050

$ (246,880)

Class F

 

 

 

 

Shares sold

47,378

81,488

$ 670,795

$ 1,188,352

Reinvestment of distributions

5,088

13,060

72,508

190,426

Shares redeemed

(25,833)

(14,431)

(366,282)

(211,694)

Net increase (decrease)

26,633

80,117

$ 377,021

$ 1,167,084

Class L

 

 

 

 

Reinvestment of distributions

212

780

$ 3,014

$ 11,345

Net increase (decrease)

212

780

$ 3,014

$ 11,345

Class N

 

 

 

 

Reinvestment of distributions

203

759

$ 2,883

$ 11,053

Net increase (decrease)

203

759

$ 2,883

$ 11,053

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 68% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Value Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC (Aristotle), Brandywine Global Investment Management, LLC (Brandywine), LSV Asset Management (LSV), Pyramis Global Advisors, LLC (Pyramis), and Robeco Investment Management, Inc. (dba Boston Partners) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, Aristotle, Brandywine, LSV, Pyramis, and Boston Partners (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Value Multi-Manager Fund

one732637

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one- and three-year periods ended December 31, 2014. The Board also noted that the retail class had out-performed 73% and 70% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Strategic Advisers Value Multi-Manager Fund

one732639

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Semiannual Report

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

LSV Asset Management

FIAM LLC

Robeco Investment Management, Inc.

(d/b/a Boston Partners)

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

State Street Bank and Trust Company

Boston, MA

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMV-USAN-0116
1.931577.103

Strategic Advisers®
Value Multi-Manager Fund

Class F

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Value Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 966.50

$ 4.28

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 964.70

$ 5.99

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

JPMorgan Chase & Co.

3.0

3.0

Johnson & Johnson

2.7

1.6

Pfizer, Inc.

2.2

2.1

Wells Fargo & Co.

2.2

2.4

Exxon Mobil Corp.

2.0

1.4

Citigroup, Inc.

2.0

1.5

Apple, Inc.

1.9

2.4

Bank of America Corp.

1.6

1.5

Cisco Systems, Inc.

1.5

1.5

Verizon Communications, Inc.

1.5

0.5

 

20.6

Top Five Market Sectors as of November 30, 2015

(Stocks Only)

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

25.3

24.3

Health Care

13.4

14.2

Information Technology

12.6

15.3

Industrials

9.7

9.4

Energy

8.7

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

one732647

Common Stocks 90.2%

 

one732649

Common Stocks 91.8%

 

one732651

Short-Term
Investments and
Net Other Assets (Liabilities) 9.8%

 

one732653

Short-Term
Investments and
Net Other Assets (Liabilities) 8.2%

 

one732655

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 90.2%

Shares

Value

CONSUMER DISCRETIONARY - 8.2%

Auto Components - 1.2%

Autoliv, Inc.

300

$ 37,749

Delphi Automotive PLC

220

19,334

Gentex Corp.

230

3,849

Johnson Controls, Inc.

520

23,920

Lear Corp.

862

108,526

The Goodyear Tire & Rubber Co.

1,180

41,158

 

234,536

Automobiles - 0.9%

Ford Motor Co.

5,100

73,083

General Motors Co.

2,510

90,862

Harley-Davidson, Inc.

140

6,849

 

170,794

Hotels, Restaurants & Leisure - 0.4%

Brinker International, Inc.

400

18,248

Carnival Corp. unit

460

23,244

Hyatt Hotels Corp. Class A (a)

30

1,479

Royal Caribbean Cruises Ltd.

130

12,039

Six Flags Entertainment Corp.

379

19,670

Wyndham Worldwide Corp.

90

6,833

 

81,513

Household Durables - 0.7%

Lennar Corp. Class A

1,353

69,287

PulteGroup, Inc.

270

5,260

Toll Brothers, Inc. (a)

140

5,205

Whirlpool Corp.

340

55,257

 

135,009

Media - 3.1%

AMC Networks, Inc. Class A (a)

40

3,252

CBS Corp. Class B

956

48,259

Comcast Corp. Class A

581

35,360

Discovery Communications, Inc. Class A (a)

120

3,737

Gannett Co., Inc.

600

10,248

Liberty Broadband Corp. Class C (a)

314

16,582

Liberty Global PLC:

Class C (a)

1,650

67,650

LiLAC Class C (a)

80

3,138

Liberty Media Corp. Class C (a)

585

22,874

News Corp. Class A

290

4,162

Omnicom Group, Inc.

307

22,693

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Starz Series A (a)

923

$ 32,563

Tegna, Inc.

1,380

38,985

Time Warner Cable, Inc.

400

73,908

Time Warner, Inc.

2,314

161,934

Time, Inc.

431

7,172

Twenty-First Century Fox, Inc. Class A

900

26,559

Viacom, Inc. Class B (non-vtg.)

900

44,811

 

623,887

Multiline Retail - 1.1%

Dillard's, Inc. Class A

300

22,500

Dollar General Corp.

230

15,044

Kohl's Corp.

800

37,704

Macy's, Inc.

500

19,540

Target Corp.

1,832

132,820

 

227,608

Specialty Retail - 0.7%

AutoNation, Inc. (a)

90

5,753

Best Buy Co., Inc.

1,748

55,551

Foot Locker, Inc.

110

7,150

GameStop Corp. Class A

80

2,802

Home Depot, Inc.

550

73,634

Penske Automotive Group, Inc.

70

3,266

Staples, Inc.

160

1,931

 

150,087

Textiles, Apparel & Luxury Goods - 0.1%

Coach, Inc.

160

5,083

PVH Corp.

60

5,477

Ralph Lauren Corp.

50

6,211

 

16,771

TOTAL CONSUMER DISCRETIONARY

1,640,205

CONSUMER STAPLES - 3.9%

Beverages - 0.2%

Coca-Cola Enterprises, Inc.

40

2,012

Diageo PLC sponsored ADR

364

41,700

 

43,712

Food & Staples Retailing - 0.8%

CVS Health Corp.

330

31,050

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Kroger Co.

1,600

$ 60,256

Walgreens Boots Alliance, Inc.

790

66,384

 

157,690

Food Products - 2.1%

Archer Daniels Midland Co.

2,580

94,144

Bunge Ltd.

600

39,966

General Mills, Inc.

480

27,725

Ingredion, Inc.

650

64,071

Kellogg Co.

220

15,129

Mondelez International, Inc.

1,090

47,589

The Hershey Co.

350

30,209

Tyson Foods, Inc. Class A

1,816

90,800

 

409,633

Personal Products - 0.4%

Coty, Inc. Class A

970

26,947

Edgewell Personal Care Co. (a)

40

3,220

Herbalife Ltd. (a)

60

3,464

Unilever NV (NY Reg.)

1,130

49,426

 

83,057

Tobacco - 0.4%

Philip Morris International, Inc.

1,020

89,138

TOTAL CONSUMER STAPLES

783,230

ENERGY - 8.7%

Energy Equipment & Services - 0.6%

Baker Hughes, Inc.

230

12,436

Ensco PLC Class A

700

11,984

FMC Technologies, Inc. (a)

180

6,124

Halliburton Co.

1,576

62,804

Helmerich & Payne, Inc.

80

4,660

Noble Corp.

700

9,289

Paragon Offshore PLC

233

48

Parker Drilling Co. (a)

2,100

5,775

 

113,120

Oil, Gas & Consumable Fuels - 8.1%

Anadarko Petroleum Corp.

617

36,958

Canadian Natural Resources Ltd.

1,312

31,772

Chevron Corp.

1,500

136,980

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Cimarex Energy Co.

169

$ 20,114

ConocoPhillips Co.

700

37,835

Diamondback Energy, Inc.

263

20,519

Energen Corp.

445

26,384

EOG Resources, Inc.

1,124

93,775

EQT Corp.

179

10,242

Exxon Mobil Corp.

4,910

400,951

Hess Corp.

400

23,600

HollyFrontier Corp.

940

45,195

Marathon Oil Corp.

1,100

19,261

Marathon Petroleum Corp.

2,154

125,815

Occidental Petroleum Corp.

2,111

159,570

Phillips 66 Co.

2,588

236,880

Pioneer Natural Resources Co.

202

29,240

QEP Resources, Inc.

1,377

21,757

Rice Energy, Inc. (a)

304

4,098

Tesoro Corp.

50

5,759

Valero Energy Corp.

1,970

141,564

Western Refining, Inc.

60

2,716

 

1,630,985

TOTAL ENERGY

1,744,105

FINANCIALS - 25.3%

Banks - 12.4%

Banco Bilbao Vizcaya Argentaria SA sponsored ADR

4,400

36,388

Bank of America Corp.

18,355

319,928

BB&T Corp.

1,802

69,593

BOK Financial Corp.

270

18,590

Citigroup, Inc.

7,218

390,422

Citizens Financial Group, Inc.

270

7,190

Comerica, Inc.

140

6,489

Commerce Bancshares, Inc.

78

3,582

Cullen/Frost Bankers, Inc.

300

20,937

East West Bancorp, Inc.

110

4,772

Fifth Third Bancorp

3,227

66,702

First Republic Bank

751

51,714

Huntington Bancshares, Inc.

3,330

38,928

Investors Bancorp, Inc.

260

3,333

JPMorgan Chase & Co.

9,145

609,789

KeyCorp

2,600

34,086

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

M&T Bank Corp.

320

$ 40,106

Mitsubishi UFJ Financial Group, Inc. sponsored ADR

5,091

32,888

Peoples United Financial, Inc.

200

3,350

PNC Financial Services Group, Inc.

1,210

115,567

Regions Financial Corp.

6,360

64,490

SunTrust Banks, Inc.

1,310

56,880

Synovus Financial Corp.

100

3,338

U.S. Bancorp

1,350

59,252

Wells Fargo & Co.

7,849

432,480

 

2,490,794

Capital Markets - 2.2%

Ameriprise Financial, Inc.

540

60,993

Bank of New York Mellon Corp.

870

38,141

BlackRock, Inc. Class A

130

47,284

E*TRADE Financial Corp. (a)

180

5,477

Eaton Vance Corp. (non-vtg.)

90

3,233

Goldman Sachs Group, Inc.

500

95,010

Invesco Ltd.

340

11,455

Morgan Stanley

2,000

68,600

Northern Trust Corp.

160

11,990

State Street Corp.

1,010

73,306

T. Rowe Price Group, Inc.

190

14,469

 

429,958

Consumer Finance - 2.6%

Ally Financial, Inc. (a)

1,826

36,447

American Express Co.

820

58,745

Capital One Financial Corp.

2,934

230,348

Discover Financial Services

2,527

143,433

Navient Corp.

2,691

32,050

Synchrony Financial (a)

513

16,329

 

517,352

Diversified Financial Services - 1.0%

Berkshire Hathaway, Inc. Class B (a)

1,290

172,976

Leucadia National Corp.

270

4,774

The NASDAQ OMX Group, Inc.

130

7,621

Voya Financial, Inc.

170

6,919

 

192,290

Insurance - 6.5%

ACE Ltd.

955

109,682

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

AFLAC, Inc.

1,030

$ 67,197

Alleghany Corp. (a)

20

10,187

Allstate Corp.

1,902

119,370

American Financial Group, Inc.

660

48,840

American International Group, Inc.

1,662

105,670

Aon PLC

308

29,180

Arch Capital Group Ltd. (a)

90

6,522

Assurant, Inc.

460

39,339

Axis Capital Holdings Ltd.

670

37,520

Cincinnati Financial Corp.

110

6,722

Everest Re Group Ltd.

240

44,266

Hartford Financial Services Group, Inc.

1,720

78,501

Lincoln National Corp.

1,300

71,487

Loews Corp.

270

10,230

Markel Corp. (a)

10

9,052

MetLife, Inc.

2,265

115,719

Principal Financial Group, Inc.

230

11,836

Progressive Corp.

450

13,869

Prudential Financial, Inc.

1,050

90,878

Reinsurance Group of America, Inc.

60

5,513

The Travelers Companies, Inc.

1,616

185,145

Torchmark Corp.

280

16,974

Unum Group

1,190

43,649

W.R. Berkley Corp.

100

5,566

XL Group PLC Class A

697

26,611

 

1,309,525

Real Estate Investment Trusts - 0.4%

American Homes 4 Rent Class A

909

15,253

Annaly Capital Management, Inc.

3,600

34,488

Hospitality Properties Trust (SBI)

1,100

30,547

 

80,288

Real Estate Management & Development - 0.0%

Jones Lang LaSalle, Inc.

30

4,984

Thrifts & Mortgage Finance - 0.2%

New York Community Bancorp, Inc.

340

5,576

Radian Group, Inc.

2,200

31,350

 

36,926

TOTAL FINANCIALS

5,062,117

Common Stocks - continued

Shares

Value

HEALTH CARE - 13.4%

Biotechnology - 2.7%

AbbVie, Inc.

1,420

$ 82,573

Amgen, Inc.

1,080

173,988

Baxalta, Inc.

1,370

47,101

Gilead Sciences, Inc.

2,078

220,185

United Therapeutics Corp. (a)

130

19,842

 

543,689

Health Care Equipment & Supplies - 1.1%

Baxter International, Inc.

1,730

65,135

Medtronic PLC

1,588

119,640

St. Jude Medical, Inc.

220

13,882

Zimmer Biomet Holdings, Inc.

279

28,182

 

226,839

Health Care Providers & Services - 3.3%

Aetna, Inc.

700

71,925

Anthem, Inc.

1,136

148,112

Cardinal Health, Inc.

399

34,653

Cigna Corp.

763

102,990

Express Scripts Holding Co. (a)

1,236

105,653

HCA Holdings, Inc. (a)

310

21,099

Quest Diagnostics, Inc.

1,004

68,593

UnitedHealth Group, Inc.

770

86,787

Universal Health Services, Inc. Class B

70

8,506

 

648,318

Pharmaceuticals - 6.3%

Johnson & Johnson

5,383

544,975

Merck & Co., Inc.

4,139

219,408

Novartis AG sponsored ADR

450

38,358

Pfizer, Inc.

13,681

448,326

Teva Pharmaceutical Industries Ltd. sponsored ADR

173

10,887

 

1,261,954

TOTAL HEALTH CARE

2,680,800

INDUSTRIALS - 9.7%

Aerospace & Defense - 4.5%

General Dynamics Corp.

1,052

154,076

Honeywell International, Inc.

786

81,705

Huntington Ingalls Industries, Inc.

40

5,237

L-3 Communications Holdings, Inc.

260

31,827

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Lockheed Martin Corp.

610

$ 133,688

Northrop Grumman Corp.

620

115,543

Raytheon Co.

743

92,154

Rockwell Collins, Inc.

110

10,195

Spirit AeroSystems Holdings, Inc. Class A (a)

110

5,770

Textron, Inc.

803

34,264

The Boeing Co.

720

104,724

Triumph Group, Inc.

700

28,035

United Technologies Corp.

966

92,784

 

890,002

Air Freight & Logistics - 0.1%

FedEx Corp.

150

23,781

Airlines - 1.0%

Alaska Air Group, Inc.

110

8,770

American Airlines Group, Inc.

490

20,217

Delta Air Lines, Inc.

2,516

116,893

Southwest Airlines Co.

500

22,940

United Continental Holdings, Inc. (a)

628

34,998

 

203,818

Building Products - 0.0%

Owens Corning

90

4,216

Commercial Services & Supplies - 0.4%

ADT Corp.

130

4,611

Deluxe Corp.

700

41,055

Pitney Bowes, Inc.

70

1,512

R.R. Donnelley & Sons Co.

1,500

24,135

 

71,313

Construction & Engineering - 0.1%

Chicago Bridge & Iron Co. NV

80

3,420

Fluor Corp.

110

5,346

Jacobs Engineering Group, Inc. (a)

90

3,973

 

12,739

Electrical Equipment - 0.3%

Eaton Corp. PLC

290

16,866

Emerson Electric Co.

510

25,500

Hubbell, Inc. Class B

40

3,972

Rockwell Automation, Inc.

100

10,644

 

56,982

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Industrial Conglomerates - 0.6%

General Electric Co.

4,180

$ 125,149

Machinery - 2.3%

AGCO Corp.

570

28,648

Caterpillar, Inc.

850

61,753

Crane Co.

226

11,757

Deere & Co.

1,394

110,921

Dover Corp.

120

7,908

Illinois Tool Works, Inc.

735

69,075

Ingersoll-Rand PLC

604

35,437

Lincoln Electric Holdings, Inc.

40

2,258

Oshkosh Corp.

880

38,597

PACCAR, Inc.

230

11,951

Parker Hannifin Corp.

120

12,559

Pentair PLC

140

7,938

Stanley Black & Decker, Inc.

120

13,099

Timken Co.

200

6,448

Trinity Industries, Inc.

1,200

32,580

 

450,929

Professional Services - 0.0%

Dun & Bradstreet Corp.

20

2,156

Manpower, Inc.

60

5,417

 

7,573

Road & Rail - 0.2%

AMERCO

10

4,054

CSX Corp.

760

21,607

Norfolk Southern Corp.

230

21,864

 

47,525

Trading Companies & Distributors - 0.2%

Aircastle Ltd.

1,400

29,344

W.W. Grainger, Inc.

50

10,027

 

39,371

TOTAL INDUSTRIALS

1,933,398

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 2.0%

Brocade Communications Systems, Inc.

4,615

43,312

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Cisco Systems, Inc.

11,149

$ 303,810

Harris Corp.

733

60,934

 

408,056

Electronic Equipment & Components - 1.0%

Arrow Electronics, Inc. (a)

80

4,525

Avnet, Inc.

160

7,251

Corning, Inc.

3,000

56,190

Flextronics International Ltd. (a)

1,657

18,641

Ingram Micro, Inc. Class A

120

3,712

Jabil Circuit, Inc.

150

3,839

TE Connectivity Ltd.

695

46,628

Tech Data Corp. (a)

600

40,590

Vishay Intertechnology, Inc.

1,300

15,496

 

196,872

Internet Software & Services - 0.2%

eBay, Inc. (a)

1,047

30,981

IT Services - 1.1%

Computer Sciences Corp.

268

8,396

CSRA, Inc. (a)

120

3,781

IBM Corp.

950

132,449

PayPal Holdings, Inc. (a)

904

31,875

The Western Union Co.

390

7,355

Xerox Corp.

3,800

40,090

 

223,946

Semiconductors & Semiconductor Equipment - 1.6%

Intel Corp.

6,440

223,919

Lam Research Corp.

100

7,820

Texas Instruments, Inc.

1,554

90,318

 

322,057

Software - 3.0%

Activision Blizzard, Inc.

1,554

58,524

Adobe Systems, Inc. (a)

700

64,022

CA Technologies, Inc.

340

9,557

Microsoft Corp.

3,482

189,247

Oracle Corp.

6,876

267,958

Symantec Corp.

830

16,251

 

605,559

Technology Hardware, Storage & Peripherals - 3.7%

Apple, Inc.

3,197

378,205

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

EMC Corp.

5,470

$ 138,610

Hewlett Packard Enterprise Co.

4,200

62,412

HP, Inc.

3,594

45,069

Seagate Technology LLC

1,130

40,612

Western Digital Corp.

1,246

77,763

 

742,671

TOTAL INFORMATION TECHNOLOGY

2,530,142

MATERIALS - 3.2%

Chemicals - 2.0%

Ashland, Inc.

50

5,633

Celanese Corp. Class A

120

8,490

CF Industries Holdings, Inc.

850

39,219

E.I. du Pont de Nemours & Co.

570

38,384

Eastman Chemical Co.

510

37,052

Huntsman Corp.

3,215

40,252

LyondellBasell Industries NV Class A

1,130

108,277

Methanex Corp.

485

19,052

The Dow Chemical Co.

1,815

94,616

Valspar Corp.

60

5,069

Westlake Chemical Corp.

100

6,005

 

402,049

Construction Materials - 0.2%

Martin Marietta Materials, Inc.

320

50,368

Containers & Packaging - 0.6%

Avery Dennison Corp.

210

13,852

Ball Corp.

80

5,554

Bemis Co., Inc.

80

3,770

Crown Holdings, Inc. (a)

821

42,618

Packaging Corp. of America

70

4,759

Sonoco Products Co.

80

3,506

WestRock Co.

735

37,213

 

111,272

Metals & Mining - 0.1%

Barrick Gold Corp.

1,375

10,121

Freeport-McMoRan, Inc.

800

6,544

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Nucor Corp.

250

$ 10,363

Reliance Steel & Aluminum Co.

50

2,941

 

29,969

Paper & Forest Products - 0.3%

Domtar Corp.

500

20,545

International Paper Co.

846

35,388

 

55,933

TOTAL MATERIALS

649,591

TELECOMMUNICATION SERVICES - 2.3%

Diversified Telecommunication Services - 2.3%

AT&T, Inc.

5,013

168,788

Verizon Communications, Inc.

6,391

290,471

 

459,259

UTILITIES - 2.9%

Electric Utilities - 1.5%

American Electric Power Co., Inc.

1,380

77,294

Duke Energy Corp.

530

35,913

Edison International

250

14,840

Entergy Corp.

600

39,978

Eversource Energy

240

12,228

Exelon Corp.

900

24,579

FirstEnergy Corp.

1,100

34,529

Great Plains Energy, Inc.

120

3,239

ITC Holdings Corp.

1,250

46,100

OGE Energy Corp.

80

2,089

Pinnacle West Capital Corp.

90

5,702

Xcel Energy, Inc.

390

13,907

 

310,398

Gas Utilities - 0.2%

National Fuel Gas Co.

670

30,632

UGI Corp.

130

4,507

 

35,139

Independent Power and Renewable Electricity Producers - 0.4%

The AES Corp.

7,297

72,897

Multi-Utilities - 0.8%

Ameren Corp.

190

8,314

Common Stocks - continued

Shares

Value

UTILITIES - continued

Multi-Utilities - continued

Consolidated Edison, Inc.

230

$ 14,295

DTE Energy Co.

90

7,244

Public Service Enterprise Group, Inc.

2,190

85,629

SCANA Corp.

600

35,484

 

150,966

Water Utilities - 0.0%

American Water Works Co., Inc.

110

6,354

TOTAL UTILITIES

575,754

TOTAL COMMON STOCKS

(Cost $14,169,761)


18,058,601

U.S. Treasury Obligations - 0.4%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (c)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 9.4%

Shares

 

SSgA U.S. Treasury Money Market Fund Class N, 0% (a)(b)
(Cost $1,887,108)

1,887,108


1,887,108

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $16,126,861)

20,015,704

NET OTHER ASSETS (LIABILITIES) - 0.0%

6,611

NET ASSETS - 100%

$ 20,022,315

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Value Index Contracts (United States)

Dec. 2015

$ 1,679,090

$ 87,838

 

The face value of futures purchased as a percentage of net assets is 8.4%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $1,429,863.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,994.

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 1,640,205

$ 1,640,205

$ -

$ -

Consumer Staples

783,230

783,230

-

-

Energy

1,744,105

1,744,105

-

-

Financials

5,062,117

5,062,117

-

-

Health Care

2,680,800

2,680,800

-

-

Industrials

1,933,398

1,933,398

-

-

Information Technology

2,530,142

2,530,142

-

-

Materials

649,591

649,591

-

-

Telecommunication Services

459,259

459,259

-

-

Utilities

575,754

575,754

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

1,887,108

1,887,108

-

-

Total Investments in Securities:

$ 20,015,704

$ 19,945,709

$ 69,995

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 87,838

$ 87,838

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 87,838

$ -

Total Value of Derivatives

$ 87,838

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $16,126,861)

 

$ 20,015,704

Cash

 

588

Receivable for investments sold

256,867

Receivable for fund shares sold

9,127

Dividends receivable

48,569

Prepaid expenses

39

Receivable from investment adviser for expense reductions

486

Other receivables

140

Total assets

20,331,520

 

 

 

Liabilities

Payable for investments purchased

$ 264,030

Payable for fund shares redeemed

7,584

Accrued management fee

8,414

Distribution and service plan fees payable

24

Payable for daily variation margin for derivative instruments

2,752

Other affiliated payables

2,309

Other payables and accrued expenses

24,092

Total liabilities

309,205

 

 

 

Net Assets

$ 20,022,315

Net Assets consist of:

 

Paid in capital

$ 15,549,636

Undistributed net investment income

109,694

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

386,316

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

3,976,669

Net Assets

$ 20,022,315

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Value Multi-Manager:
Net Asset Value, offering price and redemption price per share ($16,854,182 ÷ 1,206,957 shares)

$ 13.96

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,934,070 ÷ 209,364 shares)

$ 14.01

 

 

 

Class L:
Net Asset Value, offering price and redemption price per share ($117,330 ÷ 8,403 shares)

$ 13.96

 

 

 

Class N:
Net Asset Value, offering price and redemption price per share ($116,733 ÷ 8,371 shares)

$ 13.94

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 203,644

Interest

 

12

Total income

 

203,656

 

 

 

Expenses

Management fee

$ 49,826

Transfer agent fees

10,413

Distribution and service plan fees

145

Accounting fees and expenses

3,820

Custodian fees and expenses

7,058

Independent trustees' compensation

105

Registration fees

35,319

Audit

25,434

Legal

95

Miscellaneous

84

Total expenses before reductions

132,299

Expense reductions

(38,664)

93,635

Net investment income (loss)

110,021

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

550,045

 

Foreign currency transactions

(5)

Futures contracts

(100,786)

Total net realized gain (loss)

 

449,254

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,289,681)

Assets and liabilities in foreign currencies

(13)

Futures contracts

60,666

Total change in net unrealized appreciation (depreciation)

 

(1,229,028)

Net gain (loss)

(779,774)

Net increase (decrease) in net assets resulting from operations

$ (669,753)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended
November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 110,021

$ 205,820

Net realized gain (loss)

449,254

1,185,436

Change in net unrealized appreciation (depreciation)

(1,229,028)

416,847

Net increase (decrease) in net assets resulting from operations

(669,753)

1,808,103

Distributions to shareholders from net investment income

(99,209)

(185,286)

Distributions to shareholders from net realized gain

(408,359)

(1,691,874)

Total distributions

(507,568)

(1,877,160)

Share transactions - net increase (decrease)

1,004,968

942,602

Total increase (decrease) in net assets

(172,353)

873,545

 

 

 

Net Assets

Beginning of period

20,194,668

19,321,123

End of period (including undistributed net investment income of $109,694 and undistributed net investment income of $98,882, respectively)

$ 20,022,315

$ 20,194,668

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Value Multi-Manager

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 13.32

$ 10.65

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .08

  .16

  .14

  .17

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  2.37

  2.92

  .59

Total from investment operations

  (.50)

  1.39

  2.51

  3.09

  .67

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.16)

  (.02)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.26)

  -

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.42)

  (.02)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

$ 13.32

$ 10.65

Total Return B, C

  (3.43)%

  9.78%

  19.66%

  29.71%

  6.71%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.36%A

  1.25%

  1.32%

  1.30%

  1.62%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%

  1.43%

  1.41%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 16,854

$ 17,235

$ 17,565

$ 15,774

$ 11,031

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

  14%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.87

$ 14.96

$ 13.33

$ 11.91

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .08

  .17

  .15

  .08

Net realized and unrealized gain (loss)

  (.57)

  1.23

  2.38

  1.62

Total from investment operations

  (.49)

  1.40

  2.53

  1.70

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.10)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.18)

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.28)

Net asset value, end of period

$ 14.01

$ 14.87

$ 14.96

$ 13.33

Total ReturnB, C

  (3.35)%

  9.83%

  19.81%

  14.61%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.25%A

  1.11%

  1.26%

  .98%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .87%A

Net investment income (loss)

  1.20%A

  1.18%

  1.07%

  1.40%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,934

$ 2,717

$ 1,535

$ 287

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .08

  .16

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.50)

  1.39

  1.46

Distributions from net investment income

  (.07)

  (.15)

  (.08)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.37)

  (1.49) H

  (.56)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

Total ReturnB, C

  (3.43)%

  9.78%

  10.65%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.33%A

  1.22%

  1.37%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.81

$ 14.92

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .06

  .12

  .06

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.52)

  1.35

  1.44

Distributions from net investment income

  (.06)

  (.11)

  (.07)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.35)H

  (1.46)

  (.55)

Net asset value, end of period

$ 13.94

$ 14.81

$ 14.92

Total ReturnB, C

  (3.53)%

  9.44%

  10.54%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.59%A

  1.47%

  1.63%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .86%A

  .83%

  .72%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.35 per share is comprised of distributions from net investment income of $.057 and distributions from net realized gain of $.296 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund commenced sale of Class L and Class N shares on November 12, 2013. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 4,397,674

Gross unrealized depreciation

(523,522)

Net unrealized appreciation (depreciation) on securities

$ 3,874,152

Tax cost

$ 16,141,552

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

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(100,786) and a change in net unrealized appreciation (depreciation) of $60,666 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $3,668,950 and $3,388,265, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .51% of the Fund's average net assets.

Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, LSV Asset Management and Robeco Investment Management, Inc. (d/b/a Boston Partners) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

FIAM LLC (FIAM) (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, has been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 145

$ 145

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, ETFs. FIIOC receives no fees for providing transfer

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Value Multi-Manager

$ 10,301

.12

Class L

56

.10

Class N

56

.10

 

$ 10,413

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Value Multi-Manager

.97%

$ 32,520

Class F

.87%

5,364

Class L

.97%

211

Class N

1.22%

212

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Amount

Value Multi-Manager

$ 353

Class L

2

Class N

2

 

$ 357

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Value Multi-Manager

$ 83,967

$ 163,845

Class F

14,186

19,477

Class L

590

1,124

Class N

466

840

Total

$ 99,209

$ 185,286

From net realized gain

 

 

Value Multi-Manager

$ 345,196

$ 1,500,491

Class F

58,321

170,949

Class L

2,424

10,221

Class N

2,418

10,213

Total

$ 408,359

$ 1,691,874

Semiannual Report

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended
November 30,
2015

Year ended
May 31,
2015

Six months ended
November 30,
2015

Year ended
May 31,
2015

Value Multi-Manager

 

 

 

 

Shares sold

56,825

183,481

$ 794,566

$ 2,671,024

Reinvestment of distributions

30,201

114,344

429,163

1,664,336

Shares redeemed

(42,453)

(311,753)

(601,679)

(4,582,240)

Net increase (decrease)

44,573

(13,928)

$ 622,050

$ (246,880)

Class F

 

 

 

 

Shares sold

47,378

81,488

$ 670,795

$ 1,188,352

Reinvestment of distributions

5,088

13,060

72,508

190,426

Shares redeemed

(25,833)

(14,431)

(366,282)

(211,694)

Net increase (decrease)

26,633

80,117

$ 377,021

$ 1,167,084

Class L

 

 

 

 

Reinvestment of distributions

212

780

$ 3,014

$ 11,345

Net increase (decrease)

212

780

$ 3,014

$ 11,345

Class N

 

 

 

 

Reinvestment of distributions

203

759

$ 2,883

$ 11,053

Net increase (decrease)

203

759

$ 2,883

$ 11,053

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 68% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Value Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC (Aristotle), Brandywine Global Investment Management, LLC (Brandywine), LSV Asset Management (LSV), Pyramis Global Advisors, LLC (Pyramis), and Robeco Investment Management, Inc. (dba Boston Partners) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, Aristotle, Brandywine, LSV, Pyramis, and Boston Partners (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Value Multi-Manager Fund

one732657

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one- and three-year periods ended December 31, 2014. The Board also noted that the retail class had out-performed 73% and 70% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Strategic Advisers Value Multi-Manager Fund

one732659

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Semiannual Report

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

LSV Asset Management

FIAM LLC

Robeco Investment Management, Inc.

(d/b/a Boston Partners)

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

State Street Bank and Trust Company

Boston, MA

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMV-F-SANN-0116
1.951457.102

Strategic Advisers®
Value Multi-Manager Fund
Class L and Class N

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan participants) or 1-877-208-0098 (Advisors and Investment Professionals) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Value Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 966.50

$ 4.28

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 965.70

$ 4.77

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 964.70

$ 5.99

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

JPMorgan Chase & Co.

3.0

3.0

Johnson & Johnson

2.7

1.6

Pfizer, Inc.

2.2

2.1

Wells Fargo & Co.

2.2

2.4

Exxon Mobil Corp.

2.0

1.4

Citigroup, Inc.

2.0

1.5

Apple, Inc.

1.9

2.4

Bank of America Corp.

1.6

1.5

Cisco Systems, Inc.

1.5

1.5

Verizon Communications, Inc.

1.5

0.5

 

20.6

Top Five Market Sectors as of November 30, 2015

(Stocks Only)

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

25.3

24.3

Health Care

13.4

14.2

Information Technology

12.6

15.3

Industrials

9.7

9.4

Energy

8.7

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

one732667

Common Stocks 90.2%

 

one732669

Common Stocks 91.8%

 

one732671

Short-Term
Investments and
Net Other Assets (Liabilities) 9.8%

 

one732673

Short-Term
Investments and
Net Other Assets (Liabilities) 8.2%

 

one732675

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 90.2%

Shares

Value

CONSUMER DISCRETIONARY - 8.2%

Auto Components - 1.2%

Autoliv, Inc.

300

$ 37,749

Delphi Automotive PLC

220

19,334

Gentex Corp.

230

3,849

Johnson Controls, Inc.

520

23,920

Lear Corp.

862

108,526

The Goodyear Tire & Rubber Co.

1,180

41,158

 

234,536

Automobiles - 0.9%

Ford Motor Co.

5,100

73,083

General Motors Co.

2,510

90,862

Harley-Davidson, Inc.

140

6,849

 

170,794

Hotels, Restaurants & Leisure - 0.4%

Brinker International, Inc.

400

18,248

Carnival Corp. unit

460

23,244

Hyatt Hotels Corp. Class A (a)

30

1,479

Royal Caribbean Cruises Ltd.

130

12,039

Six Flags Entertainment Corp.

379

19,670

Wyndham Worldwide Corp.

90

6,833

 

81,513

Household Durables - 0.7%

Lennar Corp. Class A

1,353

69,287

PulteGroup, Inc.

270

5,260

Toll Brothers, Inc. (a)

140

5,205

Whirlpool Corp.

340

55,257

 

135,009

Media - 3.1%

AMC Networks, Inc. Class A (a)

40

3,252

CBS Corp. Class B

956

48,259

Comcast Corp. Class A

581

35,360

Discovery Communications, Inc. Class A (a)

120

3,737

Gannett Co., Inc.

600

10,248

Liberty Broadband Corp. Class C (a)

314

16,582

Liberty Global PLC:

Class C (a)

1,650

67,650

LiLAC Class C (a)

80

3,138

Liberty Media Corp. Class C (a)

585

22,874

News Corp. Class A

290

4,162

Omnicom Group, Inc.

307

22,693

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Starz Series A (a)

923

$ 32,563

Tegna, Inc.

1,380

38,985

Time Warner Cable, Inc.

400

73,908

Time Warner, Inc.

2,314

161,934

Time, Inc.

431

7,172

Twenty-First Century Fox, Inc. Class A

900

26,559

Viacom, Inc. Class B (non-vtg.)

900

44,811

 

623,887

Multiline Retail - 1.1%

Dillard's, Inc. Class A

300

22,500

Dollar General Corp.

230

15,044

Kohl's Corp.

800

37,704

Macy's, Inc.

500

19,540

Target Corp.

1,832

132,820

 

227,608

Specialty Retail - 0.7%

AutoNation, Inc. (a)

90

5,753

Best Buy Co., Inc.

1,748

55,551

Foot Locker, Inc.

110

7,150

GameStop Corp. Class A

80

2,802

Home Depot, Inc.

550

73,634

Penske Automotive Group, Inc.

70

3,266

Staples, Inc.

160

1,931

 

150,087

Textiles, Apparel & Luxury Goods - 0.1%

Coach, Inc.

160

5,083

PVH Corp.

60

5,477

Ralph Lauren Corp.

50

6,211

 

16,771

TOTAL CONSUMER DISCRETIONARY

1,640,205

CONSUMER STAPLES - 3.9%

Beverages - 0.2%

Coca-Cola Enterprises, Inc.

40

2,012

Diageo PLC sponsored ADR

364

41,700

 

43,712

Food & Staples Retailing - 0.8%

CVS Health Corp.

330

31,050

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Kroger Co.

1,600

$ 60,256

Walgreens Boots Alliance, Inc.

790

66,384

 

157,690

Food Products - 2.1%

Archer Daniels Midland Co.

2,580

94,144

Bunge Ltd.

600

39,966

General Mills, Inc.

480

27,725

Ingredion, Inc.

650

64,071

Kellogg Co.

220

15,129

Mondelez International, Inc.

1,090

47,589

The Hershey Co.

350

30,209

Tyson Foods, Inc. Class A

1,816

90,800

 

409,633

Personal Products - 0.4%

Coty, Inc. Class A

970

26,947

Edgewell Personal Care Co. (a)

40

3,220

Herbalife Ltd. (a)

60

3,464

Unilever NV (NY Reg.)

1,130

49,426

 

83,057

Tobacco - 0.4%

Philip Morris International, Inc.

1,020

89,138

TOTAL CONSUMER STAPLES

783,230

ENERGY - 8.7%

Energy Equipment & Services - 0.6%

Baker Hughes, Inc.

230

12,436

Ensco PLC Class A

700

11,984

FMC Technologies, Inc. (a)

180

6,124

Halliburton Co.

1,576

62,804

Helmerich & Payne, Inc.

80

4,660

Noble Corp.

700

9,289

Paragon Offshore PLC

233

48

Parker Drilling Co. (a)

2,100

5,775

 

113,120

Oil, Gas & Consumable Fuels - 8.1%

Anadarko Petroleum Corp.

617

36,958

Canadian Natural Resources Ltd.

1,312

31,772

Chevron Corp.

1,500

136,980

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Cimarex Energy Co.

169

$ 20,114

ConocoPhillips Co.

700

37,835

Diamondback Energy, Inc.

263

20,519

Energen Corp.

445

26,384

EOG Resources, Inc.

1,124

93,775

EQT Corp.

179

10,242

Exxon Mobil Corp.

4,910

400,951

Hess Corp.

400

23,600

HollyFrontier Corp.

940

45,195

Marathon Oil Corp.

1,100

19,261

Marathon Petroleum Corp.

2,154

125,815

Occidental Petroleum Corp.

2,111

159,570

Phillips 66 Co.

2,588

236,880

Pioneer Natural Resources Co.

202

29,240

QEP Resources, Inc.

1,377

21,757

Rice Energy, Inc. (a)

304

4,098

Tesoro Corp.

50

5,759

Valero Energy Corp.

1,970

141,564

Western Refining, Inc.

60

2,716

 

1,630,985

TOTAL ENERGY

1,744,105

FINANCIALS - 25.3%

Banks - 12.4%

Banco Bilbao Vizcaya Argentaria SA sponsored ADR

4,400

36,388

Bank of America Corp.

18,355

319,928

BB&T Corp.

1,802

69,593

BOK Financial Corp.

270

18,590

Citigroup, Inc.

7,218

390,422

Citizens Financial Group, Inc.

270

7,190

Comerica, Inc.

140

6,489

Commerce Bancshares, Inc.

78

3,582

Cullen/Frost Bankers, Inc.

300

20,937

East West Bancorp, Inc.

110

4,772

Fifth Third Bancorp

3,227

66,702

First Republic Bank

751

51,714

Huntington Bancshares, Inc.

3,330

38,928

Investors Bancorp, Inc.

260

3,333

JPMorgan Chase & Co.

9,145

609,789

KeyCorp

2,600

34,086

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

M&T Bank Corp.

320

$ 40,106

Mitsubishi UFJ Financial Group, Inc. sponsored ADR

5,091

32,888

Peoples United Financial, Inc.

200

3,350

PNC Financial Services Group, Inc.

1,210

115,567

Regions Financial Corp.

6,360

64,490

SunTrust Banks, Inc.

1,310

56,880

Synovus Financial Corp.

100

3,338

U.S. Bancorp

1,350

59,252

Wells Fargo & Co.

7,849

432,480

 

2,490,794

Capital Markets - 2.2%

Ameriprise Financial, Inc.

540

60,993

Bank of New York Mellon Corp.

870

38,141

BlackRock, Inc. Class A

130

47,284

E*TRADE Financial Corp. (a)

180

5,477

Eaton Vance Corp. (non-vtg.)

90

3,233

Goldman Sachs Group, Inc.

500

95,010

Invesco Ltd.

340

11,455

Morgan Stanley

2,000

68,600

Northern Trust Corp.

160

11,990

State Street Corp.

1,010

73,306

T. Rowe Price Group, Inc.

190

14,469

 

429,958

Consumer Finance - 2.6%

Ally Financial, Inc. (a)

1,826

36,447

American Express Co.

820

58,745

Capital One Financial Corp.

2,934

230,348

Discover Financial Services

2,527

143,433

Navient Corp.

2,691

32,050

Synchrony Financial (a)

513

16,329

 

517,352

Diversified Financial Services - 1.0%

Berkshire Hathaway, Inc. Class B (a)

1,290

172,976

Leucadia National Corp.

270

4,774

The NASDAQ OMX Group, Inc.

130

7,621

Voya Financial, Inc.

170

6,919

 

192,290

Insurance - 6.5%

ACE Ltd.

955

109,682

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

AFLAC, Inc.

1,030

$ 67,197

Alleghany Corp. (a)

20

10,187

Allstate Corp.

1,902

119,370

American Financial Group, Inc.

660

48,840

American International Group, Inc.

1,662

105,670

Aon PLC

308

29,180

Arch Capital Group Ltd. (a)

90

6,522

Assurant, Inc.

460

39,339

Axis Capital Holdings Ltd.

670

37,520

Cincinnati Financial Corp.

110

6,722

Everest Re Group Ltd.

240

44,266

Hartford Financial Services Group, Inc.

1,720

78,501

Lincoln National Corp.

1,300

71,487

Loews Corp.

270

10,230

Markel Corp. (a)

10

9,052

MetLife, Inc.

2,265

115,719

Principal Financial Group, Inc.

230

11,836

Progressive Corp.

450

13,869

Prudential Financial, Inc.

1,050

90,878

Reinsurance Group of America, Inc.

60

5,513

The Travelers Companies, Inc.

1,616

185,145

Torchmark Corp.

280

16,974

Unum Group

1,190

43,649

W.R. Berkley Corp.

100

5,566

XL Group PLC Class A

697

26,611

 

1,309,525

Real Estate Investment Trusts - 0.4%

American Homes 4 Rent Class A

909

15,253

Annaly Capital Management, Inc.

3,600

34,488

Hospitality Properties Trust (SBI)

1,100

30,547

 

80,288

Real Estate Management & Development - 0.0%

Jones Lang LaSalle, Inc.

30

4,984

Thrifts & Mortgage Finance - 0.2%

New York Community Bancorp, Inc.

340

5,576

Radian Group, Inc.

2,200

31,350

 

36,926

TOTAL FINANCIALS

5,062,117

Common Stocks - continued

Shares

Value

HEALTH CARE - 13.4%

Biotechnology - 2.7%

AbbVie, Inc.

1,420

$ 82,573

Amgen, Inc.

1,080

173,988

Baxalta, Inc.

1,370

47,101

Gilead Sciences, Inc.

2,078

220,185

United Therapeutics Corp. (a)

130

19,842

 

543,689

Health Care Equipment & Supplies - 1.1%

Baxter International, Inc.

1,730

65,135

Medtronic PLC

1,588

119,640

St. Jude Medical, Inc.

220

13,882

Zimmer Biomet Holdings, Inc.

279

28,182

 

226,839

Health Care Providers & Services - 3.3%

Aetna, Inc.

700

71,925

Anthem, Inc.

1,136

148,112

Cardinal Health, Inc.

399

34,653

Cigna Corp.

763

102,990

Express Scripts Holding Co. (a)

1,236

105,653

HCA Holdings, Inc. (a)

310

21,099

Quest Diagnostics, Inc.

1,004

68,593

UnitedHealth Group, Inc.

770

86,787

Universal Health Services, Inc. Class B

70

8,506

 

648,318

Pharmaceuticals - 6.3%

Johnson & Johnson

5,383

544,975

Merck & Co., Inc.

4,139

219,408

Novartis AG sponsored ADR

450

38,358

Pfizer, Inc.

13,681

448,326

Teva Pharmaceutical Industries Ltd. sponsored ADR

173

10,887

 

1,261,954

TOTAL HEALTH CARE

2,680,800

INDUSTRIALS - 9.7%

Aerospace & Defense - 4.5%

General Dynamics Corp.

1,052

154,076

Honeywell International, Inc.

786

81,705

Huntington Ingalls Industries, Inc.

40

5,237

L-3 Communications Holdings, Inc.

260

31,827

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Lockheed Martin Corp.

610

$ 133,688

Northrop Grumman Corp.

620

115,543

Raytheon Co.

743

92,154

Rockwell Collins, Inc.

110

10,195

Spirit AeroSystems Holdings, Inc. Class A (a)

110

5,770

Textron, Inc.

803

34,264

The Boeing Co.

720

104,724

Triumph Group, Inc.

700

28,035

United Technologies Corp.

966

92,784

 

890,002

Air Freight & Logistics - 0.1%

FedEx Corp.

150

23,781

Airlines - 1.0%

Alaska Air Group, Inc.

110

8,770

American Airlines Group, Inc.

490

20,217

Delta Air Lines, Inc.

2,516

116,893

Southwest Airlines Co.

500

22,940

United Continental Holdings, Inc. (a)

628

34,998

 

203,818

Building Products - 0.0%

Owens Corning

90

4,216

Commercial Services & Supplies - 0.4%

ADT Corp.

130

4,611

Deluxe Corp.

700

41,055

Pitney Bowes, Inc.

70

1,512

R.R. Donnelley & Sons Co.

1,500

24,135

 

71,313

Construction & Engineering - 0.1%

Chicago Bridge & Iron Co. NV

80

3,420

Fluor Corp.

110

5,346

Jacobs Engineering Group, Inc. (a)

90

3,973

 

12,739

Electrical Equipment - 0.3%

Eaton Corp. PLC

290

16,866

Emerson Electric Co.

510

25,500

Hubbell, Inc. Class B

40

3,972

Rockwell Automation, Inc.

100

10,644

 

56,982

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Industrial Conglomerates - 0.6%

General Electric Co.

4,180

$ 125,149

Machinery - 2.3%

AGCO Corp.

570

28,648

Caterpillar, Inc.

850

61,753

Crane Co.

226

11,757

Deere & Co.

1,394

110,921

Dover Corp.

120

7,908

Illinois Tool Works, Inc.

735

69,075

Ingersoll-Rand PLC

604

35,437

Lincoln Electric Holdings, Inc.

40

2,258

Oshkosh Corp.

880

38,597

PACCAR, Inc.

230

11,951

Parker Hannifin Corp.

120

12,559

Pentair PLC

140

7,938

Stanley Black & Decker, Inc.

120

13,099

Timken Co.

200

6,448

Trinity Industries, Inc.

1,200

32,580

 

450,929

Professional Services - 0.0%

Dun & Bradstreet Corp.

20

2,156

Manpower, Inc.

60

5,417

 

7,573

Road & Rail - 0.2%

AMERCO

10

4,054

CSX Corp.

760

21,607

Norfolk Southern Corp.

230

21,864

 

47,525

Trading Companies & Distributors - 0.2%

Aircastle Ltd.

1,400

29,344

W.W. Grainger, Inc.

50

10,027

 

39,371

TOTAL INDUSTRIALS

1,933,398

INFORMATION TECHNOLOGY - 12.6%

Communications Equipment - 2.0%

Brocade Communications Systems, Inc.

4,615

43,312

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Cisco Systems, Inc.

11,149

$ 303,810

Harris Corp.

733

60,934

 

408,056

Electronic Equipment & Components - 1.0%

Arrow Electronics, Inc. (a)

80

4,525

Avnet, Inc.

160

7,251

Corning, Inc.

3,000

56,190

Flextronics International Ltd. (a)

1,657

18,641

Ingram Micro, Inc. Class A

120

3,712

Jabil Circuit, Inc.

150

3,839

TE Connectivity Ltd.

695

46,628

Tech Data Corp. (a)

600

40,590

Vishay Intertechnology, Inc.

1,300

15,496

 

196,872

Internet Software & Services - 0.2%

eBay, Inc. (a)

1,047

30,981

IT Services - 1.1%

Computer Sciences Corp.

268

8,396

CSRA, Inc. (a)

120

3,781

IBM Corp.

950

132,449

PayPal Holdings, Inc. (a)

904

31,875

The Western Union Co.

390

7,355

Xerox Corp.

3,800

40,090

 

223,946

Semiconductors & Semiconductor Equipment - 1.6%

Intel Corp.

6,440

223,919

Lam Research Corp.

100

7,820

Texas Instruments, Inc.

1,554

90,318

 

322,057

Software - 3.0%

Activision Blizzard, Inc.

1,554

58,524

Adobe Systems, Inc. (a)

700

64,022

CA Technologies, Inc.

340

9,557

Microsoft Corp.

3,482

189,247

Oracle Corp.

6,876

267,958

Symantec Corp.

830

16,251

 

605,559

Technology Hardware, Storage & Peripherals - 3.7%

Apple, Inc.

3,197

378,205

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

EMC Corp.

5,470

$ 138,610

Hewlett Packard Enterprise Co.

4,200

62,412

HP, Inc.

3,594

45,069

Seagate Technology LLC

1,130

40,612

Western Digital Corp.

1,246

77,763

 

742,671

TOTAL INFORMATION TECHNOLOGY

2,530,142

MATERIALS - 3.2%

Chemicals - 2.0%

Ashland, Inc.

50

5,633

Celanese Corp. Class A

120

8,490

CF Industries Holdings, Inc.

850

39,219

E.I. du Pont de Nemours & Co.

570

38,384

Eastman Chemical Co.

510

37,052

Huntsman Corp.

3,215

40,252

LyondellBasell Industries NV Class A

1,130

108,277

Methanex Corp.

485

19,052

The Dow Chemical Co.

1,815

94,616

Valspar Corp.

60

5,069

Westlake Chemical Corp.

100

6,005

 

402,049

Construction Materials - 0.2%

Martin Marietta Materials, Inc.

320

50,368

Containers & Packaging - 0.6%

Avery Dennison Corp.

210

13,852

Ball Corp.

80

5,554

Bemis Co., Inc.

80

3,770

Crown Holdings, Inc. (a)

821

42,618

Packaging Corp. of America

70

4,759

Sonoco Products Co.

80

3,506

WestRock Co.

735

37,213

 

111,272

Metals & Mining - 0.1%

Barrick Gold Corp.

1,375

10,121

Freeport-McMoRan, Inc.

800

6,544

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Nucor Corp.

250

$ 10,363

Reliance Steel & Aluminum Co.

50

2,941

 

29,969

Paper & Forest Products - 0.3%

Domtar Corp.

500

20,545

International Paper Co.

846

35,388

 

55,933

TOTAL MATERIALS

649,591

TELECOMMUNICATION SERVICES - 2.3%

Diversified Telecommunication Services - 2.3%

AT&T, Inc.

5,013

168,788

Verizon Communications, Inc.

6,391

290,471

 

459,259

UTILITIES - 2.9%

Electric Utilities - 1.5%

American Electric Power Co., Inc.

1,380

77,294

Duke Energy Corp.

530

35,913

Edison International

250

14,840

Entergy Corp.

600

39,978

Eversource Energy

240

12,228

Exelon Corp.

900

24,579

FirstEnergy Corp.

1,100

34,529

Great Plains Energy, Inc.

120

3,239

ITC Holdings Corp.

1,250

46,100

OGE Energy Corp.

80

2,089

Pinnacle West Capital Corp.

90

5,702

Xcel Energy, Inc.

390

13,907

 

310,398

Gas Utilities - 0.2%

National Fuel Gas Co.

670

30,632

UGI Corp.

130

4,507

 

35,139

Independent Power and Renewable Electricity Producers - 0.4%

The AES Corp.

7,297

72,897

Multi-Utilities - 0.8%

Ameren Corp.

190

8,314

Common Stocks - continued

Shares

Value

UTILITIES - continued

Multi-Utilities - continued

Consolidated Edison, Inc.

230

$ 14,295

DTE Energy Co.

90

7,244

Public Service Enterprise Group, Inc.

2,190

85,629

SCANA Corp.

600

35,484

 

150,966

Water Utilities - 0.0%

American Water Works Co., Inc.

110

6,354

TOTAL UTILITIES

575,754

TOTAL COMMON STOCKS

(Cost $14,169,761)


18,058,601

U.S. Treasury Obligations - 0.4%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (c)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 9.4%

Shares

 

SSgA U.S. Treasury Money Market Fund Class N, 0% (a)(b)
(Cost $1,887,108)

1,887,108


1,887,108

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $16,126,861)

20,015,704

NET OTHER ASSETS (LIABILITIES) - 0.0%

6,611

NET ASSETS - 100%

$ 20,022,315

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Value Index Contracts (United States)

Dec. 2015

$ 1,679,090

$ 87,838

 

The face value of futures purchased as a percentage of net assets is 8.4%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $1,429,863.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,994.

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 1,640,205

$ 1,640,205

$ -

$ -

Consumer Staples

783,230

783,230

-

-

Energy

1,744,105

1,744,105

-

-

Financials

5,062,117

5,062,117

-

-

Health Care

2,680,800

2,680,800

-

-

Industrials

1,933,398

1,933,398

-

-

Information Technology

2,530,142

2,530,142

-

-

Materials

649,591

649,591

-

-

Telecommunication Services

459,259

459,259

-

-

Utilities

575,754

575,754

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

1,887,108

1,887,108

-

-

Total Investments in Securities:

$ 20,015,704

$ 19,945,709

$ 69,995

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 87,838

$ 87,838

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 87,838

$ -

Total Value of Derivatives

$ 87,838

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $16,126,861)

 

$ 20,015,704

Cash

 

588

Receivable for investments sold

256,867

Receivable for fund shares sold

9,127

Dividends receivable

48,569

Prepaid expenses

39

Receivable from investment adviser for expense reductions

486

Other receivables

140

Total assets

20,331,520

 

 

 

Liabilities

Payable for investments purchased

$ 264,030

Payable for fund shares redeemed

7,584

Accrued management fee

8,414

Distribution and service plan fees payable

24

Payable for daily variation margin for derivative instruments

2,752

Other affiliated payables

2,309

Other payables and accrued expenses

24,092

Total liabilities

309,205

 

 

 

Net Assets

$ 20,022,315

Net Assets consist of:

 

Paid in capital

$ 15,549,636

Undistributed net investment income

109,694

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

386,316

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

3,976,669

Net Assets

$ 20,022,315

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Value Multi-Manager:
Net Asset Value, offering price and redemption price per share ($16,854,182 ÷ 1,206,957 shares)

$ 13.96

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,934,070 ÷ 209,364 shares)

$ 14.01

 

 

 

Class L:
Net Asset Value, offering price and redemption price per share ($117,330 ÷ 8,403 shares)

$ 13.96

 

 

 

Class N:
Net Asset Value, offering price and redemption price per share ($116,733 ÷ 8,371 shares)

$ 13.94

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 203,644

Interest

 

12

Total income

 

203,656

 

 

 

Expenses

Management fee

$ 49,826

Transfer agent fees

10,413

Distribution and service plan fees

145

Accounting fees and expenses

3,820

Custodian fees and expenses

7,058

Independent trustees' compensation

105

Registration fees

35,319

Audit

25,434

Legal

95

Miscellaneous

84

Total expenses before reductions

132,299

Expense reductions

(38,664)

93,635

Net investment income (loss)

110,021

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

550,045

 

Foreign currency transactions

(5)

Futures contracts

(100,786)

Total net realized gain (loss)

 

449,254

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,289,681)

Assets and liabilities in foreign currencies

(13)

Futures contracts

60,666

Total change in net unrealized appreciation (depreciation)

 

(1,229,028)

Net gain (loss)

(779,774)

Net increase (decrease) in net assets resulting from operations

$ (669,753)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended
November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 110,021

$ 205,820

Net realized gain (loss)

449,254

1,185,436

Change in net unrealized appreciation (depreciation)

(1,229,028)

416,847

Net increase (decrease) in net assets resulting from operations

(669,753)

1,808,103

Distributions to shareholders from net investment income

(99,209)

(185,286)

Distributions to shareholders from net realized gain

(408,359)

(1,691,874)

Total distributions

(507,568)

(1,877,160)

Share transactions - net increase (decrease)

1,004,968

942,602

Total increase (decrease) in net assets

(172,353)

873,545

 

 

 

Net Assets

Beginning of period

20,194,668

19,321,123

End of period (including undistributed net investment income of $109,694 and undistributed net investment income of $98,882, respectively)

$ 20,022,315

$ 20,194,668

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Value Multi-Manager

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 13.32

$ 10.65

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .08

  .16

  .14

  .17

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  2.37

  2.92

  .59

Total from investment operations

  (.50)

  1.39

  2.51

  3.09

  .67

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.16)

  (.02)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.26)

  -

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.42)

  (.02)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

$ 13.32

$ 10.65

Total Return B, C

  (3.43)%

  9.78%

  19.66%

  29.71%

  6.71%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.36%A

  1.25%

  1.32%

  1.30%

  1.62%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%

  1.43%

  1.41%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 16,854

$ 17,235

$ 17,565

$ 15,774

$ 11,031

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

  14%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.87

$ 14.96

$ 13.33

$ 11.91

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .08

  .17

  .15

  .08

Net realized and unrealized gain (loss)

  (.57)

  1.23

  2.38

  1.62

Total from investment operations

  (.49)

  1.40

  2.53

  1.70

Distributions from net investment income

  (.07)

  (.15)

  (.14)

  (.10)

Distributions from net realized gain

  (.30)

  (1.35)

  (.77)

  (.18)

Total distributions

  (.37)

  (1.49) I

  (.90) H

  (.28)

Net asset value, end of period

$ 14.01

$ 14.87

$ 14.96

$ 13.33

Total ReturnB, C

  (3.35)%

  9.83%

  19.81%

  14.61%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.25%A

  1.11%

  1.26%

  .98%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .87%A

Net investment income (loss)

  1.20%A

  1.18%

  1.07%

  1.40%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,934

$ 2,717

$ 1,535

$ 287

Portfolio turnover rateG

  38%A

  36%

  59%

  30%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.

I Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.83

$ 14.93

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .08

  .16

  .08

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.50)

  1.39

  1.46

Distributions from net investment income

  (.07)

  (.15)

  (.08)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.37)

  (1.49) H

  (.56)

Net asset value, end of period

$ 13.96

$ 14.83

$ 14.93

Total ReturnB, C

  (3.43)%

  9.78%

  10.65%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.33%A

  1.22%

  1.37%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  1.11%A

  1.08%

  .97%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.81

$ 14.92

$ 14.03

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .06

  .12

  .06

Net realized and unrealized gain (loss)

  (.58)

  1.23

  1.38

Total from investment operations

  (.52)

  1.35

  1.44

Distributions from net investment income

  (.06)

  (.11)

  (.07)

Distributions from net realized gain

  (.30)

  (1.35)

  (.48)

Total distributions

  (.35)H

  (1.46)

  (.55)

Net asset value, end of period

$ 13.94

$ 14.81

$ 14.92

Total ReturnB, C

  (3.53)%

  9.44%

  10.54%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.59%A

  1.47%

  1.63%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .86%A

  .83%

  .72%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 117

$ 121

$ 111

Portfolio turnover rateG

  38%A

  36%

  59%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.35 per share is comprised of distributions from net investment income of $.057 and distributions from net realized gain of $.296 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund commenced sale of Class L and Class N shares on November 12, 2013. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 4,397,674

Gross unrealized depreciation

(523,522)

Net unrealized appreciation (depreciation) on securities

$ 3,874,152

Tax cost

$ 16,141,552

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

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(100,786) and a change in net unrealized appreciation (depreciation) of $60,666 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $3,668,950 and $3,388,265, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .51% of the Fund's average net assets.

Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, LSV Asset Management and Robeco Investment Management, Inc. (d/b/a Boston Partners) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

FIAM LLC (FIAM) (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, has been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 145

$ 145

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, ETFs. FIIOC receives no fees for providing transfer

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Value Multi-Manager

$ 10,301

.12

Class L

56

.10

Class N

56

.10

 

$ 10,413

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Value Multi-Manager

.97%

$ 32,520

Class F

.87%

5,364

Class L

.97%

211

Class N

1.22%

212

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Amount

Value Multi-Manager

$ 353

Class L

2

Class N

2

 

$ 357

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Value Multi-Manager

$ 83,967

$ 163,845

Class F

14,186

19,477

Class L

590

1,124

Class N

466

840

Total

$ 99,209

$ 185,286

From net realized gain

 

 

Value Multi-Manager

$ 345,196

$ 1,500,491

Class F

58,321

170,949

Class L

2,424

10,221

Class N

2,418

10,213

Total

$ 408,359

$ 1,691,874

Semiannual Report

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended
November 30,
2015

Year ended
May 31,
2015

Six months ended
November 30,
2015

Year ended
May 31,
2015

Value Multi-Manager

 

 

 

 

Shares sold

56,825

183,481

$ 794,566

$ 2,671,024

Reinvestment of distributions

30,201

114,344

429,163

1,664,336

Shares redeemed

(42,453)

(311,753)

(601,679)

(4,582,240)

Net increase (decrease)

44,573

(13,928)

$ 622,050

$ (246,880)

Class F

 

 

 

 

Shares sold

47,378

81,488

$ 670,795

$ 1,188,352

Reinvestment of distributions

5,088

13,060

72,508

190,426

Shares redeemed

(25,833)

(14,431)

(366,282)

(211,694)

Net increase (decrease)

26,633

80,117

$ 377,021

$ 1,167,084

Class L

 

 

 

 

Reinvestment of distributions

212

780

$ 3,014

$ 11,345

Net increase (decrease)

212

780

$ 3,014

$ 11,345

Class N

 

 

 

 

Reinvestment of distributions

203

759

$ 2,883

$ 11,053

Net increase (decrease)

203

759

$ 2,883

$ 11,053

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 68% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Value Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC (Aristotle), Brandywine Global Investment Management, LLC (Brandywine), LSV Asset Management (LSV), Pyramis Global Advisors, LLC (Pyramis), and Robeco Investment Management, Inc. (dba Boston Partners) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, Aristotle, Brandywine, LSV, Pyramis, and Boston Partners (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Value Multi-Manager Fund

one732677

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one- and three-year periods ended December 31, 2014. The Board also noted that the retail class had out-performed 73% and 70% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Strategic Advisers Value Multi-Manager Fund

one732679

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Semiannual Report

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

LSV Asset Management

FIAM LLC

Robeco Investment Management, Inc.

(d/b/a Boston Partners)

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

State Street Bank and Trust Company

Boston, MA

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMV-L-MMV-N-SANN-0116
1.9585617.102
Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers®
Growth Fund

Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Actual

.31%

$ 1,000.00

$ 1,010.00

$ 1.56

HypotheticalA

 

$ 1,000.00

$ 1,023.45

$ 1.57

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Fidelity Growth Company Fund

9.7

8.7

Apple, Inc.

3.9

4.8

Columbia Select Large Cap Growth Fund Class R5

3.2

3.2

Wells Fargo Advantage Premier Large Co. Growth Fund Administrator Class

2.9

3.4

Amazon.com, Inc.

2.3

1.1

Gilead Sciences, Inc.

2.1

2.2

Home Depot, Inc.

2.1

1.7

Alphabet, Inc. Class A

2.1

1.4

Facebook, Inc. Class A

1.9

1.4

Alphabet, Inc. Class C

1.9

1.3

 

32.1

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

26.2

25.2

Consumer Discretionary

16.8

15.2

Health Care

14.3

14.7

Consumer Staples

7.3

6.8

Industrials

6.2

6.2

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

two1406244

Stocks 79.3%

 

two1406246

Stocks 77.1%

 

two1406248

Large Blend Funds 1.3%

 

two1406250

Large Blend Funds 2.6%

 

two1406252

Large Growth Funds 16.8%

 

two1406254

Large Growth Funds 16.2%

 

two1406256

Large Value Funds 1.3%

 

two1406258

Large Value Funds 0.0%

 

two1406260

Short-Term
Investments and
Net Other Assets (Liabilities) 1.3%

 

two1406262

Short-Term
Investments and
Net Other Assets (Liabilities) 4.1%

 

two1406264

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 79.1%

Shares

Value

CONSUMER DISCRETIONARY - 16.6%

Auto Components - 0.4%

Lear Corp.

453,710

$ 57,122,089

Automobiles - 0.3%

General Motors Co.

408,050

14,771,410

Tesla Motors, Inc. (a)

93,535

21,537,369

 

36,308,779

Hotels, Restaurants & Leisure - 2.7%

Brinker International, Inc.

456,410

20,821,424

Carnival Corp. unit

345,663

17,466,351

Chipotle Mexican Grill, Inc. (a)

7,896

4,576,127

Darden Restaurants, Inc.

308,300

17,317,211

Domino's Pizza, Inc.

136,702

14,691,364

Dunkin' Brands Group, Inc.

294,300

12,484,206

Hilton Worldwide Holdings, Inc.

1,022,850

23,750,577

Las Vegas Sands Corp.

218,000

9,605,080

Marriott International, Inc. Class A

327,905

23,251,744

McDonald's Corp.

550,260

62,817,682

Norwegian Cruise Line Holdings Ltd. (a)

313,088

17,983,775

Starbucks Corp.

760,350

46,677,887

Wyndham Worldwide Corp.

273,600

20,771,712

Yum! Brands, Inc.

550,777

39,936,840

 

332,151,980

Household Durables - 0.4%

D.R. Horton, Inc.

964,200

31,153,302

Mohawk Industries, Inc. (a)

72,322

13,793,252

 

44,946,554

Internet & Catalog Retail - 3.0%

Amazon.com, Inc. (a)

425,646

282,969,461

Expedia, Inc.

129,840

15,984,602

Priceline Group, Inc. (a)

43,995

54,943,156

TripAdvisor, Inc. (a)

33,688

2,774,881

Vipshop Holdings Ltd. ADR (a)

208,684

3,449,547

Zalando SE (a)

107,612

3,649,688

 

363,771,335

Media - 2.8%

Charter Communications, Inc. Class A (a)

122,813

23,010,244

Comcast Corp. Class A

2,132,767

129,800,200

Legend Pictures LLC (a)(e)(f)

2,783

6,110,550

Omnicom Group, Inc.

312,540

23,102,957

The Walt Disney Co.

833,604

94,589,046

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Time Warner Cable, Inc.

90,078

$ 16,643,712

Twenty-First Century Fox, Inc. Class A

688,700

20,323,537

Viacom, Inc. Class B (non-vtg.)

568,020

28,281,716

 

341,861,962

Multiline Retail - 0.0%

Target Corp.

28,433

2,061,393

Specialty Retail - 5.7%

American Eagle Outfitters, Inc.

1,333,890

20,768,667

AutoNation, Inc. (a)

275,869

17,633,546

AutoZone, Inc. (a)

127,488

99,921,270

Best Buy Co., Inc.

650,223

20,664,087

Dick's Sporting Goods, Inc.

170,971

6,672,998

Foot Locker, Inc.

333,800

21,697,000

GameStop Corp. Class A

351,982

12,329,929

Home Depot, Inc.

1,932,077

258,666,469

L Brands, Inc.

292,750

27,931,278

Lowe's Companies, Inc.

717,305

54,945,563

O'Reilly Automotive, Inc. (a)

146,600

38,683,342

Ross Stores, Inc.

226,987

11,805,594

TJX Companies, Inc.

700,120

49,428,472

Ulta Salon, Cosmetics & Fragrance, Inc. (a)

345,802

57,748,934

 

698,897,149

Textiles, Apparel & Luxury Goods - 1.3%

lululemon athletica, Inc. (a)

91,634

4,381,938

Michael Kors Holdings Ltd. (a)

166,180

7,149,064

NIKE, Inc. Class B

902,375

119,366,165

Skechers U.S.A., Inc. Class A (sub. vtg.) (a)

314,328

9,492,706

Under Armour, Inc. Class A (sub. vtg.) (a)

233,541

20,135,905

 

160,525,778

TOTAL CONSUMER DISCRETIONARY

2,037,647,019

CONSUMER STAPLES - 7.3%

Beverages - 2.2%

Anheuser-Busch InBev SA NV ADR

204,400

26,257,224

Molson Coors Brewing Co. Class B

310,000

28,529,300

Monster Beverage Corp.

316,675

48,961,122

PepsiCo, Inc.

1,135,775

113,759,224

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

SABMiller PLC sponsored ADR

255,683

$ 15,545,526

The Coca-Cola Co.

920,069

39,213,341

 

272,265,737

Food & Staples Retailing - 1.3%

CVS Health Corp.

1,189,164

111,888,441

Kroger Co.

1,161,800

43,753,388

 

155,641,829

Food Products - 1.9%

Archer Daniels Midland Co.

936,303

34,165,696

Bunge Ltd.

239,517

15,954,227

Danone SA sponsored ADR

1,668,388

23,324,064

General Mills, Inc.

476,883

27,544,762

Kellogg Co.

370,210

25,459,342

Keurig Green Mountain, Inc.

115,755

6,065,562

Mead Johnson Nutrition Co. Class A

177,146

14,276,196

Mondelez International, Inc.

818,076

35,717,198

Tyson Foods, Inc. Class A

917,326

45,866,300

 

228,373,347

Household Products - 0.3%

Colgate-Palmolive Co.

265,871

17,462,407

Procter & Gamble Co.

274,363

20,533,327

 

37,995,734

Personal Products - 0.1%

Estee Lauder Companies, Inc. Class A

128,700

10,826,244

Tobacco - 1.5%

Altria Group, Inc.

392,274

22,594,982

Philip Morris International, Inc.

1,351,369

118,096,137

Reynolds American, Inc.

1,041,200

48,155,500

 

188,846,619

TOTAL CONSUMER STAPLES

893,949,510

ENERGY - 1.4%

Energy Equipment & Services - 0.4%

Cameron International Corp. (a)

198,671

13,567,243

Halliburton Co.

406,970

16,217,755

Schlumberger Ltd.

219,621

16,943,760

 

46,728,758

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 1.0%

Apache Corp.

313,210

$ 15,403,668

EOG Resources, Inc.

236,950

19,768,739

Marathon Petroleum Corp.

618,628

36,134,061

Occidental Petroleum Corp.

202,030

15,271,448

Tesoro Corp.

208,300

23,989,911

Valero Energy Corp.

196,500

14,120,490

 

124,688,317

TOTAL ENERGY

171,417,075

FINANCIALS - 4.0%

Banks - 0.6%

JPMorgan Chase & Co.

1,033,530

68,915,780

Capital Markets - 0.8%

Charles Schwab Corp.

1,221,600

41,180,136

Goldman Sachs Group, Inc.

155,900

29,624,118

Greenhill & Co., Inc.

76,755

2,034,775

SEI Investments Co.

428,602

23,311,663

 

96,150,692

Consumer Finance - 0.7%

American Express Co.

97,903

7,013,771

Capital One Financial Corp.

620,920

48,748,429

Discover Financial Services

396,827

22,523,901

LendingClub Corp.

913,854

10,984,525

 

89,270,626

Diversified Financial Services - 0.6%

CME Group, Inc.

376,800

36,794,520

FactSet Research Systems, Inc.

82,060

13,911,632

McGraw Hill Financial, Inc.

150,090

14,479,182

MSCI, Inc. Class A

171,350

12,015,062

 

77,200,396

Insurance - 0.7%

Everest Re Group Ltd.

106,090

19,567,240

FNF Group

436,453

15,646,840

MetLife, Inc.

226,699

11,582,052

Prudential Financial, Inc.

285,342

24,696,350

XL Group PLC Class A

381,100

14,550,398

 

86,042,880

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.5%

American Tower Corp.

472,693

$ 46,976,230

Extra Space Storage, Inc.

223,912

18,752,630

 

65,728,860

Real Estate Management & Development - 0.1%

Realogy Holdings Corp. (a)

248,497

10,265,411

TOTAL FINANCIALS

493,574,645

HEALTH CARE - 14.3%

Biotechnology - 5.5%

AbbVie, Inc.

350,600

20,387,390

Alexion Pharmaceuticals, Inc. (a)

274,786

49,032,814

Alnylam Pharmaceuticals, Inc. (a)

27,760

2,888,706

Amgen, Inc.

526,725

84,855,398

Biogen, Inc. (a)

176,973

50,766,475

BioMarin Pharmaceutical, Inc. (a)

259,160

24,716,089

Celgene Corp. (a)

1,313,418

143,753,600

Gilead Sciences, Inc.

2,450,645

259,670,344

Intrexon Corp. (a)

64,390

2,338,001

Seattle Genetics, Inc. (a)

35,005

1,469,510

Vertex Pharmaceuticals, Inc. (a)

209,250

27,068,580

 

666,946,907

Health Care Equipment & Supplies - 1.3%

DexCom, Inc. (a)

63,623

5,409,227

Edwards Lifesciences Corp. (a)

240,882

39,263,766

Hologic, Inc. (a)

560,895

22,632,113

Intuitive Surgical, Inc. (a)

40,264

20,938,085

Medtronic PLC

464,580

35,001,457

St. Jude Medical, Inc.

159,100

10,039,210

Varian Medical Systems, Inc. (a)

186,958

15,102,467

Zimmer Biomet Holdings, Inc.

53,998

5,454,338

 

153,840,663

Health Care Providers & Services - 2.9%

Aetna, Inc.

246,900

25,368,975

Cardinal Health, Inc.

238,600

20,722,410

Centene Corp. (a)

283,122

16,350,296

Cigna Corp.

187,800

25,349,244

Community Health Systems, Inc. (a)

422,289

12,221,044

Express Scripts Holding Co. (a)

218,613

18,687,039

HCA Holdings, Inc. (a)

771,583

52,513,939

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Laboratory Corp. of America Holdings (a)

207,400

$ 25,207,396

McKesson Corp.

336,769

63,767,210

Molina Healthcare, Inc. (a)

230,382

13,882,819

UnitedHealth Group, Inc.

762,870

85,983,078

 

360,053,450

Health Care Technology - 0.2%

athenahealth, Inc. (a)

127,829

21,443,315

Cerner Corp. (a)

53,529

3,190,328

 

24,633,643

Life Sciences Tools & Services - 1.1%

Agilent Technologies, Inc.

456,820

19,104,212

Illumina, Inc. (a)

140,884

25,908,568

Thermo Fisher Scientific, Inc.

669,842

92,706,133

 

137,718,913

Pharmaceuticals - 3.3%

Allergan PLC (a)

334,271

104,924,324

Bristol-Myers Squibb Co.

1,357,633

90,974,987

Eli Lilly & Co.

410,946

33,714,010

Endo Health Solutions, Inc. (a)

79,938

4,914,588

Merck & Co., Inc.

1,200,589

63,643,223

Novartis AG sponsored ADR

189,257

16,132,267

Novo Nordisk A/S Series B sponsored ADR

393,683

21,640,755

Pfizer, Inc.

504,012

16,516,473

Shire PLC sponsored ADR

184,950

38,536,182

Zoetis, Inc. Class A

351,325

16,406,878

 

407,403,687

TOTAL HEALTH CARE

1,750,597,263

INDUSTRIALS - 6.2%

Aerospace & Defense - 2.5%

General Dynamics Corp.

268,987

39,395,836

Honeywell International, Inc.

325,240

33,808,698

Lockheed Martin Corp.

127,550

27,953,858

Northrop Grumman Corp.

327,059

60,950,715

Textron, Inc.

480,105

20,486,080

The Boeing Co.

368,854

53,649,814

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

TransDigm Group, Inc. (a)

24,163

$ 5,669,365

United Technologies Corp.

700,832

67,314,914

 

309,229,280

Air Freight & Logistics - 1.0%

Expeditors International of Washington, Inc.

413,080

20,050,903

FedEx Corp.

248,779

39,441,423

United Parcel Service, Inc. Class B

541,534

55,783,417

XPO Logistics, Inc. (a)

89,307

2,723,864

 

117,999,607

Airlines - 0.9%

Copa Holdings SA Class A

241,310

12,463,662

Delta Air Lines, Inc.

1,200,039

55,753,812

JetBlue Airways Corp. (a)

622,400

15,398,176

United Continental Holdings, Inc. (a)

393,666

21,939,006

 

105,554,656

Building Products - 0.4%

Owens Corning

995,533

46,630,766

Electrical Equipment - 0.0%

SolarCity Corp. (a)

52,778

1,517,895

Industrial Conglomerates - 0.4%

Danaher Corp.

201,149

19,388,752

Roper Industries, Inc.

139,871

27,063,640

 

46,452,392

Machinery - 0.1%

Caterpillar, Inc.

145,160

10,545,874

Professional Services - 0.1%

IHS, Inc. Class A (a)

43,542

5,369,164

Verisk Analytics, Inc. (a)

172,493

12,928,350

 

18,297,514

Road & Rail - 0.8%

Canadian Pacific Railway Ltd.

318,500

46,957,554

Union Pacific Corp.

653,665

54,875,177

 

101,832,731

TOTAL INDUSTRIALS

758,060,715

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 26.2%

Communications Equipment - 1.3%

Cisco Systems, Inc.

1,689,663

$ 46,043,317

Harris Corp.

247,800

20,599,614

Juniper Networks, Inc.

1,045,900

31,512,967

Palo Alto Networks, Inc. (a)

28,732

5,382,653

QUALCOMM, Inc.

1,150,870

56,150,947

 

159,689,498

Electronic Equipment & Components - 0.1%

Keysight Technologies, Inc. (a)

313,825

9,668,948

Internet Software & Services - 7.2%

Alibaba Group Holding Ltd. sponsored ADR (a)

316,921

26,646,718

Alphabet, Inc.:

Class A (a)

333,893

254,710,275

Class C

314,099

233,249,917

Autohome, Inc. ADR Class A (a)

160,187

4,853,666

Dropbox, Inc. (a)(f)

286,254

3,864,429

eBay, Inc. (a)

605,507

17,916,952

Facebook, Inc. Class A (a)

2,273,937

237,035,193

LinkedIn Corp. Class A (a)

252,147

61,299,457

MercadoLibre, Inc.

47,210

5,818,160

Pandora Media, Inc. (a)

244,031

3,367,628

SurveyMonkey (f)

163,411

2,686,477

Twitter, Inc. (a)

701,470

17,817,338

Yelp, Inc. (a)

87,433

2,634,356

Zillow Group, Inc. (a)

173,518

4,516,674

Zillow Group, Inc. Class C (a)

347,036

8,554,437

 

884,971,677

IT Services - 6.5%

Accenture PLC Class A

266,242

28,546,467

Alliance Data Systems Corp. (a)

308,373

88,456,795

Amdocs Ltd.

308,178

17,433,629

Automatic Data Processing, Inc.

68,764

5,931,583

Cognizant Technology Solutions Corp. Class A (a)

1,431,260

92,430,771

Fidelity National Information Services, Inc.

753,067

47,947,776

Fiserv, Inc. (a)

341,500

32,865,960

FleetCor Technologies, Inc. (a)

357,685

54,979,761

Gartner, Inc. Class A (a)

52,889

4,934,544

Global Payments, Inc.

311,877

22,096,485

IBM Corp.

88,600

12,352,612

MasterCard, Inc. Class A

1,227,100

120,157,632

PayPal Holdings, Inc. (a)

557,987

19,674,622

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Vantiv, Inc. (a)

655,412

$ 34,546,767

Visa, Inc. Class A

2,643,368

208,852,506

 

791,207,910

Semiconductors & Semiconductor Equipment - 1.9%

Analog Devices, Inc.

622,555

38,368,065

Applied Materials, Inc.

582,050

10,925,079

ARM Holdings PLC sponsored ADR

284,214

14,409,650

Avago Technologies Ltd.

184,313

24,043,631

Broadcom Corp. Class A

212,959

11,633,950

Lam Research Corp.

761,000

59,510,200

NXP Semiconductors NV (a)

514,220

48,059,001

Skyworks Solutions, Inc.

267,700

22,224,454

 

229,174,030

Software - 5.0%

Activision Blizzard, Inc.

802,290

30,214,241

Adobe Systems, Inc. (a)

486,050

44,454,133

Aspen Technology, Inc. (a)

546,743

24,029,355

Autodesk, Inc. (a)

294,618

18,699,404

Electronic Arts, Inc. (a)

1,001,056

67,861,586

FireEye, Inc. (a)

136,168

3,115,524

Intuit, Inc.

275,788

27,633,958

Microsoft Corp.

3,339,659

181,510,467

Mobileye NV (a)

53,864

2,348,470

NetSuite, Inc. (a)

45,789

3,910,381

Oracle Corp.

2,489,634

97,021,037

Salesforce.com, Inc. (a)

164,392

13,100,398

ServiceNow, Inc. (a)

173,801

15,122,425

SolarWinds, Inc. (a)

514,450

30,059,314

Splunk, Inc. (a)

253,095

15,059,153

Synopsys, Inc. (a)

439,300

22,000,144

Tableau Software, Inc. (a)

53,380

5,179,461

Workday, Inc. Class A (a)

178,877

14,973,794

 

616,293,245

Technology Hardware, Storage & Peripherals - 4.2%

3D Systems Corp. (a)

70,077

639,102

Apple, Inc.

4,088,115

483,624,005

NCR Corp. (a)

819,670

22,221,254

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

Stratasys Ltd. (a)

24,362

$ 609,050

Western Digital Corp.

150,604

9,399,196

 

516,492,607

TOTAL INFORMATION TECHNOLOGY

3,207,497,915

MATERIALS - 2.1%

Chemicals - 2.0%

Ashland, Inc.

372,430

41,954,240

FMC Corp.

193,070

8,296,218

LyondellBasell Industries NV Class A

689,662

66,083,413

Monsanto Co.

691,052

65,760,508

PPG Industries, Inc.

406,400

42,972,736

Sherwin-Williams Co.

86,150

23,783,431

 

248,850,546

Metals & Mining - 0.1%

Freeport-McMoRan, Inc.

547,990

4,482,558

TOTAL MATERIALS

253,333,104

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

647,288

21,794,187

Verizon Communications, Inc.

1,604,314

72,916,071

 

94,710,258

Wireless Telecommunication Services - 0.1%

SBA Communications Corp. Class A (a)

190,300

20,011,948

TOTAL TELECOMMUNICATION SERVICES

114,722,206

UTILITIES - 0.1%

Independent Power and Renewable Electricity Producers - 0.1%

The AES Corp.

866,684

8,658,173

TOTAL COMMON STOCKS

(Cost $6,563,461,406)


9,689,457,625

Preferred Stocks - 0.2%

Shares

Value

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Diversified Consumer Services - 0.1%

Airbnb, Inc. Series D (a)(f)

98,859

$ 9,203,219

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Dropbox, Inc. Series A (a)(f)

28,508

384,858

TOTAL CONVERTIBLE PREFERRED STOCKS

9,588,077

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Internet & Catalog Retail - 0.1%

Flipkart Series D (a)(f)

52,096

5,416,421

INFORMATION TECHNOLOGY - 0.0%

IT Services - 0.0%

Palantir Technologies, Inc.:

Series G (a)(f)

296,161

2,280,440

Series H (a)(f)

93,416

719,303

Series H1 (a)(f)

93,416

719,303

 

3,719,046

TOTAL NONCONVERTIBLE PREFERRED STOCKS

9,135,467

TOTAL PREFERRED STOCKS

(Cost $7,040,302)


18,723,544

Equity Funds - 19.4%

 

 

 

 

Large Blend Funds - 1.3%

BBH Core Select Fund Class N

7,240,606

163,637,689

Large Growth Funds - 16.8%

Columbia Select Large Cap Growth Fund Class R5

21,035,729

394,209,561

Fidelity Growth Company Fund (c)

8,269,817

1,187,214,882

Equity Funds - continued

Shares

Value

Large Growth Funds - continued

PRIMECAP Odyssey Growth Fund

4,193,705

$ 115,452,695

Wells Fargo Advantage Premier Large Co. Growth Fund Administrator Class

22,357,685

359,064,428

TOTAL LARGE GROWTH FUNDS

2,055,941,566

Large Value Funds - 1.3%

Fidelity SAI U.S. Quality Index Fund (c)

14,620,789

153,225,870

TOTAL EQUITY FUNDS

(Cost $1,737,526,575)


2,372,805,125

U.S. Treasury Obligations - 0.0%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.1% 1/28/16 (d)
(Cost $3,459,440)

$ 3,460,000


3,459,664

Money Market Funds - 1.2%

 

Shares

 

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $153,215,334)

153,215,334


153,215,334

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $8,464,703,057)

12,237,661,292

NET OTHER ASSETS (LIABILITIES) - 0.1%

6,597,506

NET ASSETS - 100%

$ 12,244,258,798

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

627 ICE Russell 1000 Growth Index Contracts (United States)

Dec. 2015

$ 63,759,630

$ 4,239,177

TOTAL EQUITY INDEX CONTRACTS

$ 63,759,630

$ 4,239,177

 

The face value of futures purchased as a percentage of net assets is 0.5%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $249,915,427

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Affiliated Fund

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,553,752.

(e) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

(f) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $31,385,000 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Airbnb, Inc. Series D

4/16/14

$ 4,024,850

Dropbox, Inc.

5/1/12

$ 2,591,086

Dropbox, Inc. Series A

5/25/12

$ 257,972

Flipkart Series D

10/4/13

$ 1,195,447

Legend Pictures LLC

3/8/12

$ 2,977,445

Security

Acquisition Date

Acquisition Cost

Palantir Technologies, Inc. Series G

7/19/12

$ 906,253

Palantir Technologies, Inc. Series H

10/25/13

$ 327,890

Palantir Technologies, Inc. Series H1

10/25/13

$ 327,890

SurveyMonkey

11/25/14

$ 2,688,111

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Fidelity Growth Company Fund

$ 1,144,953,300

$ 25,000,000

$ -

$ -

$ 1,187,214,882

Fidelity SAI U.S. Quality Index Fund

-

150,000,000

-

-

153,225,870

Total

$ 1,144,953,300

$ 175,000,000

$ -

$ -

$ 1,340,440,752

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 2,052,266,659

$ 2,031,536,469

$ -

$ 20,730,190

Consumer Staples

893,949,510

893,949,510

-

-

Energy

171,417,075

171,417,075

-

-

Financials

493,574,645

493,574,645

-

-

Health Care

1,750,597,263

1,750,597,263

-

-

Industrials

758,060,715

758,060,715

-

-

Information Technology

3,211,601,819

3,200,947,009

-

10,654,810

Materials

253,333,104

253,333,104

-

-

Telecommunica-
tion Services

114,722,206

114,722,206

-

-

Utilities

8,658,173

8,658,173

-

-

Equity Funds

2,372,805,125

2,372,805,125

-

-

U.S. Treasury Obligations

3,459,664

-

3,459,664

-

Money Market Funds

153,215,334

153,215,334

-

-

Total Investments in Securities:

$ 12,237,661,292

$ 12,202,816,628

$ 3,459,664

$ 31,385,000

Derivative Instruments:

Assets

Futures Contracts

$ 4,239,177

$ 4,239,177

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 4,239,177

$ -

Total Value of Derivatives

$ 4,239,177

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $7,527,826,593)

$ 10,897,220,540

 

Affiliated issuers (cost $936,876,464)

1,340,440,752

 

Total Investments (cost $8,464,703,057)

 

$ 12,237,661,292

Foreign currency held at value (cost $14,199)

13,569

Receivable for investments sold

789,189

Receivable for fund shares sold

4,627,903

Dividends receivable

10,948,112

Interest receivable

1,395

Prepaid expenses

25,305

Other receivables

88,374

Total assets

12,254,155,139

 

 

 

Liabilities

Payable for investments purchased

$ 1,025,296

Payable for fund shares redeemed

5,144,360

Accrued management fee

1,759,271

Transfer agent fee payable

1,319,423

Payable for daily variation margin for derivative instruments

357,390

Other affiliated payables

114,792

Other payables and accrued expenses

175,809

Total liabilities

9,896,341

 

 

 

Net Assets

$ 12,244,258,798

Net Assets consist of:

 

Paid in capital

$ 8,186,024,907

Undistributed net investment income

44,301,493

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

236,735,616

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

3,777,196,782

Net Assets, for 714,387,308 shares outstanding

$ 12,244,258,798

Net Asset Value, offering price and redemption price per share ($12,244,258,798 ÷ 714,387,308 shares)

$ 17.14

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

64,084,620

Interest

 

22,994

Total income

 

64,107,614

 

 

 

Expenses

Management fee

$ 26,549,120

Transfer agent fees

7,902,326

Accounting fees and expenses

696,803

Custodian fees and expenses

68,495

Independent trustees' compensation

68,049

Registration fees

107,792

Audit

44,622

Legal

61,921

Miscellaneous

39,126

Total expenses before reductions

35,538,254

Expense reductions

(15,970,061)

19,568,193

Net investment income (loss)

44,539,421

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

237,344,471

Foreign currency transactions

(5,479)

Futures contracts

(10,094,462)

Realized gain distributions from underlying funds:

Unaffiliated issuers

22,456,408

 

Total net realized gain (loss)

 

249,700,938

Change in net unrealized appreciation (depreciation) on:

Investment securities

(187,373,837)

Assets and liabilities in foreign currencies

(683)

Futures contracts

1,952,437

Total change in net unrealized appreciation (depreciation)

 

(185,422,083)

Net gain (loss)

64,278,855

Net increase (decrease) in net assets resulting from operations

$ 108,818,276

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended
November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 44,539,421

$ 90,894,880

Net realized gain (loss)

249,700,938

787,408,821

Change in net unrealized appreciation (depreciation)

(185,422,083)

743,887,111

Net increase (decrease) in net assets resulting from operations

108,818,276

1,622,190,812

Distributions to shareholders from net investment income

(34,858,664)

(86,471,058)

Distributions to shareholders from net realized gain

(430,912,400)

(729,992,160)

Total distributions

(465,771,064)

(816,463,218)

Share transactions

 

 

Proceeds from sales of shares

1,026,303,288

2,432,032,057

Reinvestment of distributions

464,274,535

814,160,436

Cost of shares redeemed

(2,023,537,213)

(3,058,993,674)

Net increase (decrease) in net assets resulting from share transactions

(532,959,390)

187,198,819

Total increase (decrease) in net assets

(889,912,178)

992,926,413

 

 

 

Net Assets

Beginning of period

13,134,170,976

12,141,244,563

End of period (including undistributed net investment income of $44,301,493 and undistributed net investment income of $34,620,736, respectively)

$ 12,244,258,798

$ 13,134,170,976

Other Information

Shares

 

 

Sold

60,874,664

144,492,553

Issued in reinvestment of distributions

27,406,998

48,927,687

Redeemed

(120,324,674)

(182,438,348)

Net increase (decrease)

(32,043,012)

10,981,892

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012

2011 E

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 17.60

$ 16.51

$ 14.71

$ 12.13

$ 12.67

$ 10.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .06

  .12

  .12

  .12

  .07

  .07

Net realized and unrealized gain (loss)

  .11

  2.10

  3.01

  2.57

  (.43)

  2.63

Total from investment operations

  .17

  2.22

  3.13

  2.69

  (.36)

  2.70

Distributions from net investment income

  (.05)

  (.12)

  (.10)

  (.10)

  (.07)

  (.03)

Distributions from net realized gain

  (.58)

  (1.01)

  (1.23)

  - I

  (.11)

  -

Total distributions

  (.63)

  (1.13)

  (1.33)

  (.11) J

  (.18)

  (.03)

Net asset value, end of period

$ 17.14

$ 17.60

$ 16.51

$ 14.71

$ 12.13

$ 12.67

Total ReturnB, C

  1.00%

  13.99%

  22.64%

  22.29%

  (2.83)%

  27.03%

Ratios to Average Net AssetsF

 

 

 

 

 

 

Expenses before reductions

  .56%A

  .56%

  .56%

  .62%

  .62%

  .70%A

Expenses net of fee waivers, if any

  .31%A

  .31%

  .31%

  .37%

  .36%

  .45%A

Expenses net of all reductions

  .31%A

  .31%

  .31%

  .37%

  .36%

  .45%A

Net investment income (loss)

  .71%A

  .73%

  .75%

  .89%

  .61%

  .60%A

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 12,244,259

$ 13,134,171

$ 12,141,245

$ 9,084,200

$ 7,507,409

$ 6,800,471

Portfolio turnover rateG

  31%A

  40%

  39%

  73%

  49%H

  47%A

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E For the period June 2, 2010 (commencement of operations) to May 31, 2011 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds. G Amount does not include the portfolio activity of any Underlying Funds. H Portfolio turnover rate excludes securities received or delivered in-kind. I Amount represents less than $.005 per share. J Total distributions of $.11 per share is comprised of distributions from net investment income of $.103 and distributions from net realized gain of $.003 per share.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Growth Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).

2. Significant Accounting Policies.

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 Strategic Advisers Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, deferred trustees compensation, and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 3,982,823,823

Gross unrealized depreciation 

(223,074,324)

Net unrealized appreciation (depreciation) on securities 

$ 3,759,749,499

Tax cost 

$ 8,477,911,793

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(10,094,462) and a change in net unrealized appreciation (depreciation) of $1,952,437 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $1,851,937,560 and $2,415,948,567, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .95% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .42% of the Fund's average net assets.

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Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and Waddell & Reed Investment Management Co. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .13% of average net assets.

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $567 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $7,635 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

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7. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2018. During the period, this waiver reduced the Fund's management fee by $15,780,280.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $2,029 for the period.

In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $187,752.

8. 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.

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 48% of the total outstanding shares of Fidelity SAI U.S. Quality Index Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Growth Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC (ClariVest), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management Inc. (MSIM), Pyramis Global Advisors, LLC (Pyramis), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, ClariVest, MFS, MSIM, Pyramis, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

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In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Growth Fund

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The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one- and three-year periods ended December 31, 2014. The Board also noted that the fund had out-performed 63% and 54% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board also noted Strategic Advisers' proposal to extend the 0.25% management fee waiver through September 30, 2018 and considered that the fund's maximum aggregate annual management fee rate may not exceed 0.95%. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Growth Fund

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The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the fund's total expenses, the Board considered the fund's management fee as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

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Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took into consideration that Strategic Advisers has agreed to waive 0.25% of its management fee through September 30, 2018.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Investment Advisory Contract

Strategic Advisers Growth Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to Waddell & Reed on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

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Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Board Approval of Investment Advisory Contract

Strategic Advisers Growth Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Semiannual Report

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to MSIM on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

ClariVest Asset Management LLC

Loomis, Sayles & Company, L.P.

Massachusetts Financial Services
Company

Morgan Stanley Investment Management Inc.

FIAM LLC

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

SGF-USAN-0116
1.922643.105

Strategic Advisers® Short Duration Fund

Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.


Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Actual

.10%

$ 1,000.00

$ 998.90

$ .50

HypotheticalA

 

$ 1,000.00

$ 1,024.50

$ .51

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

PIMCO Short-Term Fund - Administrator Class

19.2

20.2

Fidelity Short-Term Bond Fund

10.1

10.8

Metropolitan West Low Duration Bond Fund - Class M

8.4

9.0

Fidelity Conservative Income Bond Fund Institutional Class

6.4

6.1

BlackRock Low Duration Bond Portfolio

4.6

4.1

JPMorgan Short Duration Bond Fund Class A

4.5

4.3

Fidelity Floating Rate High Income Fund

3.9

3.5

Janus Short-Term Bond Fund - Class T

3.6

3.4

Delaware Limited-Term Diversified Income Fund - Class A

2.5

2.3

Wells Fargo Advantage Ultra Short-Term Municipal Income Fund - Administrator Class

1.3

1.6

 

64.5

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

two1406276

Corporate Bonds 17.4%

 

two1406278

Corporate Bonds 17.0%

 

two1406280

U.S. Government and U.S. Government Agency Obligations 2.4%

 

two1406282

U.S. Government and U.S. Government Agency Obligations 2.7%

 

two1406284

Asset-Backed
Securities 6.0%

 

two1406286

Asset-Backed
Securities 6.7%

 

two1406288

CMOs and Other Mortgage Related Securities 1.7%

 

two1406290

CMOs and Other Mortgage Related Securities 1.4%

 

two1406292

Municipal Securities 0.3%

 

two1406294

Municipal Securities 0.1%

 

two1406296

Bank Loan Funds 3.9%

 

two1406298

Bank Loan Funds 3.5%

 

two1406300

Other Investments 0.1%

 

two1406302

Other Investments 0.0%

 

two1406304

Short-Term Funds 60.6%

 

two1406306

Short-Term Funds 61.8%

 

two1406308

Short-Term
Investments and
Net Other Assets (Liabilities) 7.6%

 

two1406310

Short-Term
Investments and
Net Other Assets
(Liabilities) 6.8%

 

two1406312

Asset allocations of fixed-income funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 17.4%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.5%

Auto Components - 0.0%

Delphi Automotive PLC 3.15% 11/19/20

$ 975,000

$ 978,196

Automobiles - 0.9%

American Honda Finance Corp. 0.8232% 10/7/16 (e)

5,000,000

5,014,235

Daimler Finance North America LLC:

0.629% 3/2/17 (d)(e)

5,000,000

4,968,555

0.6689% 8/1/17 (d)(e)

5,000,000

4,955,945

0.8141% 5/18/18 (d)(e)

5,000,000

4,929,880

1.0089% 8/1/16 (d)(e)

10,500,000

10,491,915

1.125% 3/10/17 (d)

1,825,000

1,811,873

1.1889% 8/1/18 (d)(e)

1,060,000

1,055,893

General Motors Financial Co., Inc.:

3.1% 1/15/19

630,000

630,478

3.15% 1/15/20

1,400,000

1,389,135

4.75% 8/15/17

1,375,000

1,426,461

Hyundai Capital Services, Inc.:

3.5% 9/13/17 (d)

605,000

618,314

4.375% 7/27/16 (d)

780,000

794,820

Volkswagen Group of America Finance LLC:

0.7476% 5/23/17 (d)(e)

15,000,000

14,423,700

1.25% 5/23/17 (d)

1,180,000

1,139,186

Volkswagen International Finance NV 0.8041% 11/18/16 (d)(e)

10,000,000

9,790,770

 

63,441,160

Diversified Consumer Services - 0.0%

ERAC U.S.A. Finance Co. 6.375% 10/15/17 (d)

550,000

594,481

ERAC U.S.A. Finance LLC:

1.4% 4/15/16 (d)

645,000

645,539

2.75% 3/15/17 (d)

520,000

527,367

2.8% 11/1/18 (d)

115,000

116,572

 

1,883,959

Hotels, Restaurants & Leisure - 0.0%

Brinker International, Inc. 2.6% 5/15/18

425,000

423,773

Carnival Corp. 1.2% 2/5/16

540,000

540,448

GLP Capital LP/GLP Financing II, Inc. 4.375% 11/1/18

1,225,000

1,257,156

Hyatt Hotels Corp. 3.875% 8/15/16

365,000

371,481

Wyndham Worldwide Corp. 2.95% 3/1/17

375,000

377,869

 

2,970,727

Household Durables - 0.1%

Mohawk Industries, Inc. 6.125% 1/15/16 (e)

1,485,000

1,493,462

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Newell Rubbermaid, Inc.:

2.05% 12/1/17

$ 280,000

$ 279,912

2.15% 10/15/18

540,000

537,301

Whirlpool Corp.:

1.35% 3/1/17

1,850,000

1,844,657

1.65% 11/1/17

450,000

449,704

 

4,605,036

Media - 0.3%

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (d)

860,000

864,449

Interpublic Group of Companies, Inc. 2.25% 11/15/17

1,840,000

1,839,098

NBCUniversal Enterprise, Inc.:

0.8575% 4/15/16 (d)(e)

7,000,000

7,006,986

1.0055% 4/15/18 (d)(e)

5,000,000

5,009,645

Omnicom Group, Inc. 5.9% 4/15/16

1,635,000

1,664,806

Thomson Reuters Corp.:

0.875% 5/23/16

615,000

614,994

1.3% 2/23/17

710,000

706,704

Time Warner Cable, Inc.:

5.85% 5/1/17

320,000

335,549

8.25% 4/1/19

1,390,000

1,609,327

 

19,651,558

Multiline Retail - 0.0%

Dollar General Corp. 4.125% 7/15/17

1,330,000

1,372,697

Specialty Retail - 0.2%

AutoZone, Inc. 1.3% 1/13/17

850,000

849,630

Home Depot, Inc. 0.7072% 9/15/17 (e)

10,000,000

10,031,600

Lowe's Companies, Inc. 0.935% 9/14/18 (e)

330,000

332,075

 

11,213,305

Textiles, Apparel & Luxury Goods - 0.0%

Invista Finance LLC 4.25% 10/15/19 (d)

1,120,000

1,094,800

TOTAL CONSUMER DISCRETIONARY

107,211,438

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER STAPLES - 0.8%

Beverages - 0.0%

Heineken NV 1.4% 10/1/17 (d)

$ 795,000

$ 793,451

PepsiCo, Inc. 1% 10/13/17

865,000

861,824

 

1,655,275

Food & Staples Retailing - 0.3%

CVS Health Corp.:

1.2% 12/5/16

610,000

611,434

1.9% 7/20/18

1,020,000

1,025,915

Kroger Co.:

0.8452% 10/17/16 (e)

10,000,000

10,001,670

1.2% 10/17/16

450,000

450,609

Walgreens Boots Alliance, Inc. 0.8141% 5/18/16 (e)

8,995,000

8,989,558

 

21,079,186

Food Products - 0.2%

Bunge Ltd. Finance Corp. 3.2% 6/15/17

2,260,000

2,283,954

General Mills, Inc.:

0.6239% 1/29/16 (e)

1,994,000

1,994,048

5.7% 2/15/17

5,000,000

5,263,940

H.J. Heinz Co. 2% 7/2/18 (d)

795,000

795,523

Mead Johnson Nutrition Co. 3% 11/15/20

295,000

295,438

Tyson Foods, Inc. 2.65% 8/15/19

635,000

639,594

William Wrigley Jr. Co. 1.4% 10/21/16 (d)

270,000

270,752

 

11,543,249

Tobacco - 0.3%

BAT International Finance PLC 0.8472% 6/15/18 (d)(e)

15,000,000

14,988,150

Imperial Tobacco Finance PLC 2.05% 2/11/18 (d)

1,820,000

1,821,862

Philip Morris International, Inc. 1.25% 8/11/17

2,586,000

2,591,296

Reynolds American, Inc. 2.3% 6/12/18

780,000

789,940

 

20,191,248

TOTAL CONSUMER STAPLES

54,468,958

ENERGY - 1.4%

Energy Equipment & Services - 0.1%

Cameron International Corp.:

1.15% 12/15/16

215,000

214,215

1.4% 6/15/17

670,000

664,227

Korea National Oil Corp. 4% 10/27/16 (d)

515,000

526,803

Nabors Industries, Inc. 2.35% 9/15/16

370,000

369,135

Rowan Companies, Inc. 5% 9/1/17

370,000

376,538

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Energy Equipment & Services - continued

SESI LLC:

6.375% 5/1/19

$ 1,210,000

$ 1,176,725

7.125% 12/15/21

1,180,000

1,118,050

Transocean, Inc.:

3% 10/15/17 (e)

940,000

888,300

5.55% 12/15/16 (e)

410,000

407,950

 

5,741,943

Oil, Gas & Consumable Fuels - 1.3%

Anadarko Petroleum Corp.:

5.95% 9/15/16

285,000

294,665

6.375% 9/15/17

1,700,000

1,819,119

BG Energy Capital PLC 2.875% 10/15/16 (d)

1,485,000

1,503,519

BP Capital Markets PLC:

0.6914% 2/10/17 (e)

10,000,000

9,972,180

3.2% 3/11/16

5,000,000

5,035,635

Canadian Natural Resources Ltd.:

0.7016% 3/30/16 (e)

5,000,000

4,990,260

5.7% 5/15/17

650,000

681,719

China Shenhua Overseas Capital Co. Ltd.:

2.5% 1/20/18 (Reg. S)

1,325,000

1,323,144

3.125% 1/20/20 (Reg. S)

1,740,000

1,739,273

CNOOC Finance (2013) Ltd. 1.125% 5/9/16

513,000

512,237

CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17

550,000

547,650

Columbia Pipeline Group, Inc. 2.45% 6/1/18 (d)

460,000

457,566

Continental Resources, Inc. 7.125% 4/1/21

1,145,000

1,191,242

DCP Midstream Operating LP 2.5% 12/1/17

1,410,000

1,309,636

Delek & Avner-Yam Tethys Ltd. 2.803% 12/30/16 (d)

370,000

370,059

Devon Energy Corp. 0.7872% 12/15/15 (e)

10,000,000

9,999,430

Ecopetrol SA 4.25% 9/18/18

1,205,000

1,226,088

Enbridge Energy Partners LP 5.875% 12/15/16

1,056,000

1,090,114

Enbridge, Inc.:

0.779% 6/2/17 (e)

2,341,000

2,294,669

0.9755% 10/1/16 (e)

6,820,000

6,775,056

Energy Transfer Partners LP 6.7% 7/1/18

275,000

295,624

EnLink Midstream Partners LP 2.7% 4/1/19

195,000

187,778

Enterprise Products Operating LP 2.55% 10/15/19

385,000

380,457

Exxon Mobil Corp.:

0.702% 3/6/22 (e)

2,475,000

2,453,940

1.305% 3/6/18

1,740,000

1,741,373

Kinder Morgan Energy Partners LP 3.5% 3/1/16

235,000

235,656

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Murphy Oil Corp. 2.5% 12/1/17

$ 2,060,000

$ 2,008,053

ONEOK Partners LP:

3.2% 9/15/18

95,000

93,815

3.25% 2/1/16

1,670,000

1,671,874

Origin Energy Finance Ltd. 3.5% 10/9/18 (d)

1,300,000

1,274,361

Petrobras Global Finance BV 1.9896% 5/20/16 (e)

7,000,000

6,875,400

Petroleos Mexicanos:

3.125% 1/23/19

195,000

192,750

3.5% 7/18/18

625,000

629,481

3.5% 7/23/20 (d)

410,000

404,322

Pioneer Natural Resources Co. 5.875% 7/15/16

2,045,000

2,094,597

Shell International Finance BV 0.6614% 5/10/17 (e)

10,000,000

9,997,190

Southwestern Energy Co. 3.3% 1/23/18

285,000

272,213

Tennessee Gas Pipeline Co. 8% 2/1/16

1,415,000

1,429,979

TransCanada PipeLines Ltd.:

1.0066% 6/30/16 (e)

5,900,000

5,898,307

1.1096% 1/12/18 (e)

3,000,000

2,993,880

 

94,264,311

TOTAL ENERGY

100,006,254

FINANCIALS - 9.7%

Banks - 6.3%

ABN AMRO Bank NV 1.1232% 10/28/16 (d)(e)

13,556,000

13,607,377

Bank of America Corp.:

1.1392% 3/22/16 (e)

16,260,000

16,279,837

1.7% 8/25/17

1,645,000

1,645,635

2% 1/11/18

715,000

717,776

3.625% 3/17/16

3,000,000

3,024,462

3.75% 7/12/16

5,000,000

5,082,940

5.65% 5/1/18

425,000

460,874

Bank of America NA:

0.782% 6/5/17 (e)

5,000,000

4,988,810

0.8316% 11/14/16 (e)

11,845,000

11,842,110

Bank of Nova Scotia 0.756% 12/13/16 (e)

4,990,000

4,997,929

Bank of Tokyo-Mitsubishi UFJ Ltd.:

0.642% 9/8/17 (d)(e)

3,000,000

2,974,917

0.8567% 2/26/16 (d)(e)

13,000,000

13,003,432

0.943% 9/9/16 (d)(e)

3,000,000

3,006,096

1.55% 9/9/16 (d)

1,690,000

1,696,997

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Banks - continued

Banque Federative du Credit Mutuel SA:

1.1672% 1/20/17 (d)(e)

$ 2,000,000

$ 2,008,728

1.7% 1/20/17 (d)

1,415,000

1,416,330

2.5% 10/29/18 (d)

1,405,000

1,417,415

Barclays Bank PLC:

5% 9/22/16

15,765,000

16,259,327

6.05% 12/4/17 (d)

1,930,000

2,068,333

BB&T Corp. 1.1972% 6/15/18 (e)

975,000

981,527

BNP Paribas SA 0.926% 12/12/16 (e)

6,623,000

6,634,206

BPCE SA:

1.5699% 4/25/16 (e)

15,000,000

15,050,760

1.625% 2/10/17

310,000

309,613

2.5% 12/10/18

1,410,000

1,423,234

Branch Banking & Trust Co. 0.7544% 12/1/16 (e)

5,000,000

4,999,880

Capital One NA:

0.7692% 3/22/16 (e)

3,000,000

2,998,182

1.0136% 2/5/18 (e)

5,000,000

4,978,315

Citigroup, Inc.:

1.0129% 4/27/18 (e)

5,000,000

4,984,860

1.0821% 11/24/17 (e)

5,000,000

4,983,350

1.1155% 4/1/16 (e)

18,984,000

19,002,680

1.2799% 7/25/16 (e)

10,000,000

10,024,650

1.3% 4/1/16

1,000,000

1,001,315

1.55% 8/14/17

1,630,000

1,627,175

1.7% 4/27/18

565,000

562,624

1.8% 2/5/18

1,205,000

1,204,296

1.85% 11/24/17

870,000

870,425

Commonwealth Bank of Australia:

0.696% 3/13/17 (d)(e)

5,000,000

4,999,770

1.1189% 11/2/18 (d)(e)

10,000,000

10,015,630

1.75% 11/2/18

2,126,000

2,116,476

Credit Agricole SA 1.174% 10/3/16 (d)(e)

5,000,000

5,017,100

Credit Suisse New York Branch:

0.633% 3/11/16 (e)

5,000,000

5,000,495

0.8967% 5/26/17 (e)

8,000,000

7,971,984

1.375% 5/26/17

1,725,000

1,720,670

Discover Bank 7% 4/15/20

1,360,000

1,556,408

DNB Bank ASA 3.2% 4/3/17 (d)

1,710,000

1,748,808

Fifth Third Bancorp 3.625% 1/25/16

760,000

763,225

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Banks - continued

Fifth Third Bank:

0.8741% 11/18/16 (e)

$ 7,500,000

$ 7,501,223

1.15% 11/18/16

8,180,000

8,184,581

1.2796% 8/20/18 (e)

5,000,000

5,000,440

HBOS PLC 6.75% 5/21/18 (d)

1,605,000

1,762,314

HSBC Bank PLC 1.0016% 5/15/18 (d)(e)

1,365,000

1,359,682

HSBC U.S.A., Inc.:

0.6991% 11/13/17 (e)

5,000,000

4,971,360

0.784% 3/3/17 (e)

5,000,000

4,991,315

1.625% 1/16/18

1,260,000

1,257,207

Huntington National Bank 2.2% 11/6/18

770,000

770,156

ING Bank NV:

0.664% 1/4/16 (d)(e)

5,000,000

4,999,140

1.282% 3/7/16 (d)(e)

1,020,000

1,021,435

Intesa Sanpaolo SpA 3.125% 1/15/16

7,595,000

7,614,869

Itau Unibanco Holding SA 2.85% 5/26/18 (d)

690,000

652,050

JPMorgan Chase & Co.:

2% 8/15/17

2,510,000

2,527,050

3.45% 3/1/16

3,000,000

3,020,145

KeyBank NA 0.8832% 11/25/16 (e)

5,800,000

5,801,079

Lloyds Bank PLC 2.3% 11/27/18

810,000

816,932

Manufacturers & Traders Trust Co. 0.6199% 7/25/17 (e)

10,000,000

9,964,840

Mizuho Bank Ltd.:

0.7755% 9/25/17 (d)(e)

7,000,000

6,976,921

1.7% 9/25/17 (d)

950,000

948,067

2.15% 10/20/18 (d)

690,000

689,788

MUFG Americas Holdings Corp. 0.9139% 2/9/18 (e)

9,000,000

9,006,993

MUFG Union Bank NA 1.0764% 9/26/16 (e)

9,045,000

9,062,339

National Bank of Canada 1.45% 11/7/17

2,090,000

2,083,034

Nordea Bank AB:

0.875% 5/13/16 (d)

2,840,000

2,839,943

1.1743% 9/17/18 (d)(e)

8,000,000

8,034,832

PNC Bank NA:

0.6289% 8/1/17 (e)

19,200,000

19,128,864

1.8% 11/5/18

1,300,000

1,299,055

Royal Bank of Canada:

0.5941% 2/3/17 (e)

10,000,000

9,991,250

0.793% 9/9/16 (e)

7,000,000

7,012,579

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Banks - continued

Royal Bank of Scotland Group PLC 1.2666% 3/31/17 (e)

$ 8,200,000

$ 8,191,357

Santander UK Group Holdings PLC 2.875% 10/16/20

820,000

819,180

Sovereign Bank 2% 1/12/18

445,000

443,543

Standard Chartered PLC 1.5% 9/8/17 (d)

1,390,000

1,379,063

Sumitomo Mitsui Banking Corp.:

0.6406% 7/11/17 (e)

5,000,000

4,972,865

0.7506% 1/10/17 (e)

7,000,000

6,989,598

0.8971% 1/16/18 (e)

5,000,000

4,981,020

Sumitomo Mitsui Trust Bank Ltd. 1.8% 3/28/18 (d)

1,815,000

1,806,079

SunTrust Banks, Inc. 2.35% 11/1/18

645,000

649,274

Swedbank AB 1.75% 3/12/18 (d)

2,835,000

2,827,941

The Toronto Dominion Bank:

0.5871% 1/6/17 (e)

5,000,000

4,994,780

0.7826% 4/30/18 (e)

1,260,000

1,258,840

0.793% 9/9/16 (e)

5,000,000

5,009,770

U.S. Bank NA 0.6199% 1/26/18 (e)

10,000,000

9,965,750

Wells Fargo Bank NA 0.5716% 5/16/16 (e)

10,641,000

10,635,754

Westpac Banking Corp.:

0.6944% 12/1/17 (e)

5,000,000

4,993,095

1.05% 11/25/16

1,045,000

1,046,491

1.1041% 11/23/18 (e)

5,000,000

5,005,350

 

454,306,216

Capital Markets - 2.2%

Deutsche Bank AG London Branch:

0.8817% 5/30/17 (e)

5,000,000

4,973,485

0.9691% 2/13/17 (e)

14,490,000

14,454,079

Goldman Sachs Group, Inc.:

0.7692% 3/22/16 (e)

28,678,000

28,683,850

1.0476% 5/22/17 (e)

10,000,000

9,993,980

1.1372% 12/15/17 (e)

5,000,000

5,004,720

2.75% 9/15/20

220,000

221,430

2.9% 7/19/18

775,000

794,870

6.15% 4/1/18

530,000

581,247

6.25% 9/1/17

2,738,000

2,956,854

JPMorgan Chase & Co.:

0.8141% 11/18/16 (e)

32,000,000

31,969,664

1.0267% 2/26/16 (e)

7,000,000

7,004,872

Legg Mason, Inc. 2.7% 7/15/19

185,000

184,963

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.:

6.4% 8/28/17

$ 1,485,000

$ 1,603,910

6.875% 4/25/18

1,465,000

1,630,546

Morgan Stanley:

1.064% 1/5/18 (e)

5,000,000

5,009,245

1.1699% 1/24/19 (e)

3,265,000

3,256,194

1.5999% 4/25/18 (e)

1,565,000

1,584,237

1.6432% 2/25/16 (e)

18,000,000

18,033,786

2.125% 4/25/18

500,000

503,821

3.8% 4/29/16

8,000,000

8,098,600

UBS AG Stamford Branch 1.0264% 3/26/18 (e)

10,000,000

9,980,910

 

156,525,263

Consumer Finance - 0.5%

American Express Co. 0.9676% 5/22/18 (e)

1,975,000

1,967,922

American Express Credit Corp. 0.8339% 7/29/16 (e)

8,000,000

8,004,360

Discover Financial Services 6.45% 6/12/17

255,000

271,508

Ford Motor Credit Co. LLC:

0.9564% 3/27/17 (e)

5,000,000

4,959,510

1.2372% 6/15/18 (e)

15,000,000

14,832,915

1.684% 9/8/17

1,765,000

1,749,182

1.7% 5/9/16

420,000

421,098

3% 6/12/17

1,385,000

1,401,788

Hyundai Capital America:

1.45% 2/6/17 (d)

975,000

970,875

1.875% 8/9/16 (d)

890,000

891,858

2.4% 10/30/18 (d)

455,000

454,028

Nissan Motor Acceptance Corp. 1.95% 9/12/17 (d)

1,375,000

1,381,666

 

37,306,710

Diversified Financial Services - 0.2%

Berkshire Hathaway Finance Corp. 0.6206% 1/12/18 (e)

5,000,000

4,993,850

GE Capital International Funding Co. 0.964% 4/15/16 (d)

7,906,000

7,915,582

IntercontinentalExchange, Inc.:

2.5% 10/15/18

480,000

485,006

2.75% 12/1/20

880,000

882,888

McGraw Hill Financial, Inc. 2.5% 8/15/18 (d)

230,000

231,574

 

14,508,900

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - 0.4%

ACE INA Holdings, Inc.:

2.3% 11/3/20

$ 970,000

$ 963,777

5.8% 3/15/18

1,000,000

1,093,276

AFLAC, Inc. 2.65% 2/15/17

215,000

218,429

AIA Group Ltd. 2.25% 3/11/19 (d)

336,000

335,212

Aon Corp. 3.125% 5/27/16

3,000,000

3,032,403

Aon PLC 2.8% 3/15/21

1,320,000

1,324,550

CNA Financial Corp. 6.5% 8/15/16

630,000

652,851

FNF Group 6.6% 5/15/17

1,280,000

1,356,928

Marsh & McLennan Companies, Inc. 2.55% 10/15/18

575,000

582,630

Metropolitan Life Global Funding I:

0.5208% 7/14/16 (d)(e)

5,000,000

5,002,445

0.7006% 4/10/17 (d)(e)

2,000,000

2,002,316

1.3% 4/10/17 (d)

1,735,000

1,738,244

1.5% 1/10/18 (d)

875,000

872,844

New York Life Global Funding 1.55% 11/2/18 (d)

2,430,000

2,416,139

Principal Financial Group, Inc. 1.85% 11/15/17

255,000

256,267

Principal Life Global Funding II:

0.7767% 5/27/16 (d)(e)

5,000,000

5,005,755

1.5% 9/11/17 (d)

1,195,000

1,195,406

2.2% 4/8/20 (d)

1,000,000

992,126

Xlit Ltd. 2.3% 12/15/18

695,000

697,003

 

29,738,601

Real Estate Investment Trusts - 0.1%

American Campus Communities Operating Partnership LP 3.35% 10/1/20

455,000

455,510

ERP Operating LP 5.375% 8/1/16

4,039,000

4,146,199

 

4,601,709

Real Estate Management & Development - 0.0%

Ventas Realty LP:

1.25% 4/17/17

280,000

278,320

1.55% 9/26/16

490,000

491,561

Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18

410,000

409,615

WEA Finance LLC/Westfield UK & Europe Finance PLC:

1.75% 9/15/17 (d)

760,000

755,266

3.25% 10/5/20 (d)

235,000

236,755

 

2,171,517

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.0%

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 6.113% 1/15/40 (d)

$ 505,000

$ 555,346

Nationwide Building Society 2.35% 1/21/20 (d)

755,000

753,912

 

1,309,258

TOTAL FINANCIALS

700,468,174

HEALTH CARE - 0.9%

Biotechnology - 0.2%

AbbVie, Inc. 1.8% 5/14/18

1,680,000

1,678,073

Amgen, Inc. 0.7576% 5/22/17 (e)

8,000,000

7,980,520

Baxalta, Inc. 2% 6/22/18 (d)

175,000

173,684

Biogen, Inc. 2.9% 9/15/20

510,000

511,164

Celgene Corp.:

1.9% 8/15/17

275,000

276,343

2.125% 8/15/18

435,000

436,602

Gilead Sciences, Inc. 1.85% 9/4/18

575,000

579,967

 

11,636,353

Health Care Equipment & Supplies - 0.2%

Becton, Dickinson & Co. 0.7872% 6/15/16 (e)

10,000,000

10,002,080

Zimmer Biomet Holdings, Inc. 2% 4/1/18

995,000

992,627

 

10,994,707

Health Care Providers & Services - 0.2%

Aetna, Inc. 1.5% 11/15/17

590,000

588,973

Catholic Health Initiatives:

1.6% 11/1/17

140,000

139,438

2.6% 8/1/18

745,000

754,779

Express Scripts Holding Co. 1.25% 6/2/17

700,000

696,131

Express Scripts, Inc. 3.125% 5/15/16

1,070,000

1,080,039

Humana, Inc. 2.625% 10/1/19

415,000

417,195

McKesson Corp.:

0.95% 12/4/15

405,000

405,002

1.292% 3/10/17

840,000

837,761

UnitedHealth Group, Inc.:

0.7652% 1/17/17 (e)

10,000,000

10,008,330

1.875% 11/15/16

500,000

504,926

1.9% 7/16/18

1,005,000

1,013,195

 

16,445,769

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - continued

Life Sciences Tools & Services - 0.0%

Agilent Technologies, Inc. 6.5% 11/1/17

$ 209,000

$ 224,150

Life Technologies Corp. 3.5% 1/15/16

1,495,000

1,499,922

Thermo Fisher Scientific, Inc. 1.3% 2/1/17

1,425,000

1,422,046

 

3,146,118

Pharmaceuticals - 0.3%

Actavis Funding SCS:

1.1994% 9/1/16 (e)

5,000,000

5,011,820

1.416% 3/12/18 (e)

5,356,000

5,372,566

1.85% 3/1/17

675,000

676,825

2.35% 3/12/18

2,115,000

2,134,204

Bayer U.S. Finance LLC 0.5732% 10/7/16 (d)(e)

10,000,000

9,992,390

Perrigo Co. PLC 1.3% 11/8/16

700,000

695,443

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

1,185,000

1,186,751

 

25,069,999

TOTAL HEALTH CARE

67,292,946

INDUSTRIALS - 0.3%

Airlines - 0.0%

Southwest Airlines Co.:

2.75% 11/6/19

640,000

648,559

5.125% 3/1/17

385,000

402,223

5.75% 12/15/16

485,000

507,268

 

1,558,050

Commercial Services & Supplies - 0.0%

Waste Management, Inc. 2.6% 9/1/16

480,000

485,949

Electrical Equipment - 0.0%

PPL Electric Utilities Corp. 3.9% 5/1/16 (d)

715,000

722,023

Industrial Conglomerates - 0.1%

Hutchison Whampoa International Ltd. 1.625% 10/31/17 (d)

2,660,000

2,651,743

Roper Industries, Inc.:

1.85% 11/15/17

230,000

229,429

2.05% 10/1/18

1,775,000

1,764,219

 

4,645,391

Machinery - 0.0%

Stanley Black & Decker, Inc. 4.25% 11/17/18

2,660,000

2,670,925

Professional Services - 0.0%

Experian Finance PLC 2.375% 6/15/17 (d)

640,000

640,563

Nonconvertible Bonds - continued

 

Principal Amount

Value

INDUSTRIALS - continued

Road & Rail - 0.1%

J.B. Hunt Transport Services, Inc. 2.4% 3/15/19

$ 235,000

$ 234,989

Kansas City Southern de Mexico SA de CV 2.35% 5/15/20

1,140,000

1,104,616

Penske Truck Leasing Co. LP:

2.5% 3/15/16 (d)

1,455,000

1,460,718

2.5% 6/15/19 (d)

615,000

607,390

2.875% 7/17/18 (d)

365,000

368,303

 

3,776,016

Trading Companies & Distributors - 0.1%

GATX Corp.:

1.25% 3/4/17

1,100,000

1,090,609

2.375% 7/30/18

255,000

254,013

2.6% 3/30/20

95,000

93,032

3.5% 7/15/16

1,180,000

1,195,594

International Lease Finance Corp. 2.2872% 6/15/16 (e)

990,000

988,020

 

3,621,268

Transportation Infrastructure - 0.0%

HPHT Finance 15 Ltd. 2.25% 3/17/18 (d)

466,000

463,549

TOTAL INDUSTRIALS

18,583,734

INFORMATION TECHNOLOGY - 0.8%

Communications Equipment - 0.2%

Cisco Systems, Inc. 0.6472% 6/15/18 (e)

15,000,000

14,988,000

Harris Corp. 1.999% 4/27/18

610,000

602,009

Juniper Networks, Inc. 3.1% 3/15/16

305,000

306,727

 

15,896,736

Electronic Equipment & Components - 0.3%

Amphenol Corp. 1.55% 9/15/17

775,000

772,977

Anstock II Ltd. 2.125% 7/24/17 (Reg. S)

785,000

776,110

Avnet, Inc. 6.625% 9/15/16

1,220,000

1,267,835

Keysight Technologies, Inc. 3.3% 10/30/19

2,200,000

2,168,705

Tyco Electronics Group SA 0.5239% 1/29/16 (e)

13,000,000

12,994,761

 

17,980,388

Internet Software & Services - 0.0%

Alibaba Group Holding Ltd. 2.5% 11/28/19

1,135,000

1,112,215

Baidu.com, Inc. 2.75% 6/9/19

485,000

482,412

Nonconvertible Bonds - continued

 

Principal Amount

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Tencent Holdings Ltd.:

2% 5/2/17 (d)

$ 715,000

$ 715,651

2.875% 2/11/20 (d)

390,000

388,383

 

2,698,661

IT Services - 0.0%

Fidelity National Information Services, Inc. 1.45% 6/5/17

380,000

376,855

Xerox Corp. 2.95% 3/15/17

200,000

202,174

 

579,029

Software - 0.1%

Microsoft Corp. 1.3% 11/3/18

1,570,000

1,567,077

Oracle Corp. 0.5232% 7/7/17 (e)

5,000,000

4,999,130

 

6,566,207

Technology Hardware, Storage & Peripherals - 0.2%

Hewlett Packard Enterprise Co.:

2.0606% 10/5/17 (d)(e)

10,000,000

10,015,230

2.45% 10/5/17 (d)

2,065,000

2,069,758

 

12,084,988

TOTAL INFORMATION TECHNOLOGY

55,806,009

MATERIALS - 0.3%

Chemicals - 0.0%

Eastman Chemical Co. 2.4% 6/1/17

710,000

717,018

Solvay Finance America LLC 3.4% 12/3/20 (d)

950,000

949,867

 

1,666,885

Construction Materials - 0.0%

Martin Marietta Materials, Inc. 1.4266% 6/30/17 (e)

705,000

699,907

Containers & Packaging - 0.0%

Rock-Tenn Co. 3.5% 3/1/20

1,115,000

1,132,518

Metals & Mining - 0.3%

Anglo American Capital PLC 1.2705% 4/15/16 (d)(e)

5,305,000

5,283,377

Goldcorp, Inc. 2.125% 3/15/18

1,150,000

1,131,018

Rio Tinto Finance (U.S.A.) PLC:

1.1743% 6/17/16 (e)

12,000,000

12,008,568

Nonconvertible Bonds - continued

 

Principal Amount

Value

MATERIALS - continued

Metals & Mining - continued

Rio Tinto Finance (U.S.A.) PLC: - continued

1.375% 6/17/16

$ 1,520,000

$ 1,520,915

Vale Overseas Ltd. 6.25% 1/23/17

485,000

493,536

 

20,437,414

TOTAL MATERIALS

23,936,724

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.:

0.7411% 2/12/16 (e)

13,000,000

12,996,217

2.45% 6/30/20

715,000

703,252

BellSouth Corp. 4.821% 4/26/16 (d)(e)

10,000,000

10,145,810

British Telecommunications PLC 1.625% 6/28/16

5,943,000

5,962,255

SBA Tower Trust:

2.24% 4/16/18 (d)

820,000

804,500

2.933% 12/15/17 (d)

2,205,000

2,223,912

3.156% 10/15/20 (d)

265,000

261,624

3.598% 4/16/18 (d)

635,000

634,923

Verizon Communications, Inc.:

0.733% 6/9/17 (e)

15,000,000

14,965,695

1.8672% 9/15/16 (e)

13,000,000

13,110,214

 

61,808,402

Wireless Telecommunication Services - 0.3%

America Movil S.A.B. de CV:

1.336% 9/12/16 (e)

5,000,000

4,999,800

2.375% 9/8/16

890,000

897,133

CC Holdings GS V LLC/Crown Castle GS III Corp. 2.381% 12/15/17

2,035,000

2,043,854

Vodafone Group PLC 0.7521% 2/19/16 (e)

12,000,000

11,993,652

 

19,934,439

TOTAL TELECOMMUNICATION SERVICES

81,742,841

UTILITIES - 0.6%

Electric Utilities - 0.5%

Commonwealth Edison Co.:

1.95% 9/1/16

385,000

387,454

5.95% 8/15/16

10,000,000

10,349,950

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Duke Energy Corp.:

0.704% 4/3/17 (e)

$ 6,874,000

$ 6,858,424

1.625% 8/15/17

495,000

495,899

2.15% 11/15/16

1,485,000

1,500,646

Duke Energy Industries, Inc. 0.6696% 7/11/16 (e)

5,000,000

4,999,560

EDF SA 1.15% 1/20/17 (d)

1,350,000

1,348,038

Exelon Corp. 1.55% 6/9/17

745,000

742,904

Georgia Power Co. 0.6572% 3/15/16 (e)

510,000

510,036

Monongahela Power Co. 5.7% 3/15/17 (d)

145,000

151,544

NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17

2,902,000

2,895,012

PPL Capital Funding, Inc. 1.9% 6/1/18

865,000

859,328

Southern Co. 1.95% 9/1/16

485,000

488,581

TECO Finance, Inc. 0.9196% 4/10/18 (e)

6,305,000

6,263,292

 

37,850,668

Independent Power and Renewable Electricity Producers - 0.0%

Exelon Generation Co. LLC 2.95% 1/15/20

455,000

455,142

PSEG Power LLC 2.75% 9/15/16

425,000

430,296

Southern Power Co. 1.85% 12/1/17

285,000

285,270

 

1,170,708

Multi-Utilities - 0.1%

Dominion Resources, Inc. 1.95% 8/15/16

4,640,000

4,664,954

NiSource Finance Corp. 6.8% 1/15/19

425,000

479,713

San Diego Gas & Electric Co. 1.914% 2/1/22

445,715

435,063

Zhejiang Energy Group Hong Kong Ltd. 2.3% 9/30/17 (Reg. S)

1,340,000

1,330,217

 

6,909,947

TOTAL UTILITIES

45,931,323

TOTAL NONCONVERTIBLE BONDS

(Cost $1,256,535,733)


1,255,448,401

U.S. Government and Government Agency Obligations - 0.9%

 

U.S. Government Agency Obligations - 0.3%

Fannie Mae 0.625% 8/26/16

3,930,000

3,929,430

Federal Home Loan Bank:

0.625% 12/28/16

3,200,000

3,193,933

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Government Agency Obligations - continued

Federal Home Loan Bank: - continued

1% 6/21/17

$ 3,390,000

$ 3,395,655

Freddie Mac 0.875% 10/14/16

10,895,000

10,906,876

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

21,425,894

U.S. Treasury Obligations - 0.6%

U.S. Treasury Notes:

0.5% 7/31/17

4,655,000

4,627,359

0.625% 8/31/17

5,405,000

5,379,661

0.625% 9/30/17

14,500,000

14,427,500

0.875% 11/15/17

11,270,000

11,254,594

0.875% 7/15/18

2,395,000

2,378,534

1.75% 9/30/19

2,240,000

2,264,588

TOTAL U.S. TREASURY OBLIGATIONS

40,332,236

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $61,846,890)


61,758,130

U.S. Government Agency - Mortgage Securities - 0.8%

 

Fannie Mae - 0.7%

1.826% 10/1/33 (e)

82,141

84,641

2.136% 12/1/35 (e)

16,621

17,462

2.193% 5/1/38 (e)

277,718

295,151

2.271% 7/1/35 (e)

32,673

34,274

2.336% 5/1/38 (e)

86,892

92,384

2.337% 4/1/38 (e)

37,814

40,213

2.343% 5/1/38 (e)

116,678

124,080

2.375% 8/1/37 (e)

27,943

29,600

2.602% 8/1/38 (e)

21,298

22,649

2.651% 12/1/36 (e)

32,197

34,239

3% 11/1/29 to 9/1/30

10,419,456

10,813,191

3.5% 10/1/25 to 11/1/44

5,491,003

5,777,378

4% 2/1/25 to 9/1/45

9,008,093

9,585,668

4.5% 5/1/19 to 1/1/27

4,555,912

4,849,918

5% 11/1/18 to 6/1/39

4,247,209

4,666,663

5.5% 5/1/16 to 5/1/40

6,818,285

7,594,482

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

6% 1/1/22 to 1/1/41

$ 2,085,372

$ 2,331,006

6.5% 7/1/32 to 12/1/32

238,162

276,543

TOTAL FANNIE MAE

46,669,542

Freddie Mac - 0.0%

2.283% 6/1/38 (e)

90,856

95,844

2.306% 7/1/38 (e)

47,225

49,799

2.341% 9/1/35 (e)

22,680

23,828

2.358% 2/1/37 (e)

23,966

25,388

2.374% 5/1/38 (e)

39,029

41,417

2.386% 5/1/37 (e)

28,548

30,280

2.388% 2/1/37 (e)

33,412

35,531

2.452% 10/1/36 (e)

189,510

200,446

2.472% 11/1/34 (e)

23,652

25,152

2.473% 7/1/35 (e)

39,888

42,144

2.701% 2/1/38 (e)

87,345

92,886

2.737% 2/1/37 (e)

51,956

55,252

4.5% 10/1/19

79,268

81,845

5% 10/1/18 to 12/1/23

715,231

764,300

5.5% 11/1/21 to 10/1/38

162,006

174,441

5.829% 12/1/36 (e)

10,633

11,308

6% 5/1/17 to 1/1/38

427,858

482,511

6.079% 11/1/36 (e)

7,060

7,508

TOTAL FREDDIE MAC

2,239,880

Ginnie Mae - 0.1%

3% 10/20/44 (e)

206,771

212,299

3% 11/20/44 (e)

1,032,421

1,058,636

3.5% 3/20/43 to 9/20/45

4,326,712

4,528,415

4% 1/20/45

267,397

280,626

4.5% 9/20/40

341,857

370,394

5% 12/20/34 to 3/20/41

1,313,463

1,458,782

6% 7/15/36

506,378

581,497

TOTAL GINNIE MAE

8,490,649

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $57,180,810)


57,400,071

Asset-Backed Securities - 6.0%

 

Principal Amount

Value

Ally Auto Receivables Trust:

Series 2012-A Class D, 3.15% 10/15/18 (d)

$ 335,000

$ 337,802

Series 2014-2 Class A2, 0.68% 7/17/17

4,198,096

4,197,478

Series 2014-3 Class A2, 0.81% 9/15/17

3,169,931

3,169,243

Series 2014-SN1:

Class A2A, 0.52% 10/20/16

51,774

51,763

Class A3, 0.75% 2/21/17

860,000

859,592

Series 2015-1 Class A4, 1.75% 5/15/20

340,000

339,661

Series 2015-SN1 Class A2A, 0.93% 6/20/17

4,392,037

4,389,611

Ally Master Owner Trust:

Series 2013-1:

Class A1, 0.647% 2/15/18 (e)

8,000,000

8,000,637

Class A2, 1% 2/15/18

240,000

240,090

Series 2014-1 Class A2, 1.29% 1/15/19

10,000,000

9,992,311

Series 2015-1 Class A, 0.5958% 1/15/19 (e)

5,000,000

4,979,604

Series 2015-3 Class A, 1.63% 5/15/20

2,645,000

2,629,503

American Express Credit Account Master Trust:

Series 2012-1 Class A, 0.467% 1/15/20 (e)

10,409,000

10,392,252

Series 2013-1 Class A, 0.617% 2/16/21 (e)

570,000

569,496

Series 2014-2 Class A, 1.26% 1/15/20

800,000

800,841

Series 2015-1 Class A, 0.4858% 1/15/20 (e)

5,000,000

5,000,483

AmeriCredit Automobile Receivables Trust:

Series 2013-2 Class B, 1.19% 5/8/18

1,190,000

1,189,703

Series 2013-5:

Class A3, 0.9% 9/10/18

1,287,267

1,286,188

Class B, 1.52% 1/8/19

315,000

314,218

Series 2014-2 Class B, 1.6% 7/8/19

345,000

344,462

Series 2014-4 Class A2A, 0.72% 4/9/18

2,886,086

2,882,441

Series 2015-1 Class A3, 1.26% 11/8/19

1,635,000

1,629,101

Series 2015-2:

Class A2A, 0.83% 9/10/18

4,412,396

4,404,023

Class A3, 1.27% 1/8/20

890,000

882,898

Americredit Automobile Receivables Trust Series 2015-4 Class A3, 1.7% 7/8/20

515,000

513,848

ARI Fleet Lease Trust Series 2014-A Class A2, 0.81% 11/15/22 (d)

544,003

542,302

Ari Fleet Lease Trust Series 2015-A:

Class A2, 1.11% 11/15/18 (d)

1,090,000

1,083,582

Class A3, 1.67% 9/15/23 (d)

1,150,000

1,140,667

Ascentium Equipment Receivables LLC Series 2015-2A Class A3, 1.93% 3/11/19 (d)

1,555,000

1,546,265

Ascentium Equipment Receivables Trust Series 2015-1A Class A2, 1.15% 7/10/17 (d)

551,583

550,488

Asset-Backed Securities - continued

 

Principal Amount

Value

Bank of America Credit Card Master Trust:

Series 2014-A2 Class A, 0.467% 9/16/19 (e)

$ 10,000,000

$ 9,984,935

Series 2014-A3 Class A, 0.4858% 1/15/20 (e)

10,000,000

9,989,655

Series 2015-A1 Class A, 0.5258% 6/15/20 (e)

5,000,000

4,993,777

BankBoston Home Equity Loan Trust Series 1998-2 Class A6, 6.64% 12/25/28 (MBIA Insured)

36,826

36,861

BMW Vehicle Lease Trust Series 2015-1 Class A2A, 0.86% 2/21/17

4,111,804

4,110,288

BMW Vehicle Owner Trust Series 2014-A Class A4, 1.5% 2/25/21

325,000

325,711

Capital Auto Receivables Asset Trust:

Series 2013-4 Class A3, 1.09% 3/20/18

630,000

629,656

Series 2014-1 Class A3, 1.32% 6/20/18

705,000

705,331

Series 2014-2 Class A3, 1.26% 5/21/18

1,455,000

1,454,583

Series 2014-3 Class A3, 1.48% 11/20/18

710,000

709,956

Series 2014-B Class A1, 0.5143% 2/21/17 (e)

2,795,986

2,793,877

Series 2015-1 Class A1B, 0.6143% 7/20/17 (e)

3,000,000

2,999,557

Series 2015-2:

Class A1A, 0.99% 10/20/17

5,000,000

4,986,902

Class A2, 1.39% 9/20/18

215,000

214,449

Class A3, 1.73% 9/20/19

450,000

448,790

Series 2015-4 Class A2, 1.62% 3/20/19

815,000

811,408

Capital One Multi-Asset Execution Trust:

Series 2007-A5 Class A5, 0.237% 7/15/20 (e)

7,975,000

7,922,391

Series 2015-A6 Class A6, 0.567% 6/15/20 (e)

10,000,000

9,983,156

Carmax Auto Owner Trust:

Series 2014-1:

Class B, 1.69% 8/15/19

100,000

99,735

Class C, 1.93% 11/15/19

145,000

144,136

Series 2014-2 Class A2, 0.46% 4/17/17

403,900

403,829

Series 2014-3 Class A2, 0.55% 8/15/17

2,306,858

2,305,469

Series 2014-4 Class A2A, 0.67% 2/15/18

2,702,789

2,700,963

Series 2015-1 Class A3, 1.38% 11/15/19

580,000

578,460

Series 2015-2:

Class A2A, 0.82% 6/15/18

5,000,000

4,992,019

Class A3, 1.37% 3/16/20

775,000

771,782

CCG Receivables Trust:

Series 2014-1 Class A2, 1.06% 11/15/21 (d)

360,558

359,422

Series 2015-1 Class A2, 1.46% 11/14/18 (d)

830,000

829,631

Chase Issuance Trust:

Series 2007-A12 Class A12, 0.247% 8/15/19 (e)

5,000,000

4,971,819

Series 2015-A3 Class A, 0.4458% 4/15/19 (e)

5,000,000

4,993,163

Asset-Backed Securities - continued

 

Principal Amount

Value

Chrysler Capital Auto Receivables Trust:

Series 2015-AA:

Class A2, 0.81% 11/15/17 (d)

$ 2,411,371

$ 2,410,373

Class A3, 1.22% 7/15/19 (d)

3,000,000

2,989,839

Series 2015-BA Class A2, 1.48% 12/17/18 (d)

4,500,000

4,499,910

CIT Equipment Collateral Series 2014-VT1 Class A2, 0.86% 5/22/17 (d)

4,164,865

4,161,670

Citibank Credit Card Issuance Trust:

Series 2014-A2 Class A2, 1.02% 2/22/19

1,345,000

1,344,907

Series 2014-A4 Class A4, 1.23% 4/24/19

8,950,000

8,958,625

Series 2014-A6 Class A6, 2.15% 7/15/21

2,105,000

2,126,902

CNH Equipment Trust:

Series 2014-A Class A2, 0.49% 6/15/17

63,944

63,940

Series 2014-C:

Class A2, 0.63% 12/15/17

2,131,578

2,130,524

Class A3, 1.05% 11/15/19

765,000

761,498

Series 2015-B Class A3, 1.37% 7/15/20

1,320,000

1,313,706

Series 2015-C:

Class A2A, 1.1% 12/17/18

5,000,000

5,000,373

Class A3, 1.66% 11/16/20

1,030,000

1,031,239

CNH Wholesale Master Note Trust Series 2013-2A Class A, 0.797% 8/15/19 (d)(e)

645,000

644,082

DB Master Finance LLC Series 2015-1A Class A21, 3.262% 2/20/45 (d)

1,677,325

1,673,696

Dell Equipment Finance Trust:

Series 2014-1 Class A2, 0.64% 7/22/16 (d)

1,670,045

1,669,290

Series 2015-1 Class A2, 1.01% 7/24/17 (d)

5,000,000

4,994,857

Series 2015-2 Class A2A, 1.42% 12/22/17 (d)

3,000,000

2,994,707

Diamond Resorts Owner Trust:

Series 2013-2 Class A, 2.27% 5/20/26 (d)

365,936

366,330

Series 2014-1 Class A, 2.54% 5/20/27 (d)

517,294

517,022

Series 2015-1 Class A, 2.73% 7/20/27 (d)

1,029,063

1,021,909

Series 2015-2 Class A, 2.99% 5/22/28 (d)

645,000

644,750

Discover Card Master Trust:

Series 2012-A6 Class A6, 1.67% 1/18/22

2,805,000

2,782,407

Series 2014-A5 Class A, 1.39% 4/15/20

1,410,000

1,411,371

Series 2015-A1 Class A1, 0.5458% 8/17/20 (e)

7,500,000

7,486,938

Series 2015-A3 Class A, 1.45% 3/15/21

265,000

263,849

Dominos Pizza Master Issuer LLC Series 2012-1A Class A2, 5.216% 1/25/42 (d)

724,331

751,599

Elara HGV Timeshare Issuer Trust Series 2014-A Class A, 2.53% 2/25/27 (d)

326,154

322,073

Asset-Backed Securities - continued

 

Principal Amount

Value

Enterprise Fleet Financing LLC:

Series 2012-2 Class A3, 0.93% 4/20/18 (d)

$ 2,435,468

$ 2,434,491

Series 2013-1 Class A2, 0.68% 9/20/18 (d)

180,093

180,058

Series 2013-2 Class A2, 1.06% 3/20/19 (d)

186,372

186,160

Series 2014-1 Class A2, 0.87% 9/20/19 (d)

3,575,606

3,565,338

Series 2014-2 Class A2, 1.05% 3/20/20 (d)

1,899,606

1,890,863

Series 2015-1 Class A2, 1.3% 9/20/20 (d)

1,040,000

1,037,878

Series 2015-2 Class A2, 1.59% 2/22/21 (d)

1,325,000

1,319,379

Exeter Automobile Receivables Trust Series 2014-2A Class A, 1.06% 8/15/18 (d)

60,648

60,508

Ford Credit Auto Lease Trust:

Series 2013-B:

Class B, 1.23% 11/15/16

695,000

695,146

Class C, 1.51% 8/15/17

475,000

475,330

Series 2014-B:

Class A2A, 0.51% 3/15/17

3,305,500

3,303,517

Class A4, 1.1% 11/15/17

580,000

579,006

Series 2015-A Class A4, 1.31% 8/15/18

895,000

891,090

Ford Credit Auto Owner Trust:

Series 2013-B Class A3, 0.57% 10/15/17

1,320,646

1,320,054

Series 2014-C Class A3, 1.06% 5/15/19

955,000

953,834

Series 2015-B Class A3, 1.16% 11/15/19

875,000

871,739

Series 2015-C Class A2A, 0.95% 8/15/18

5,000,000

5,000,017

Ford Credit Floorplan Master Owner Trust:

Series 2013-5:

Class A1, 1.5% 9/15/18

13,080,000

13,119,715

Class A2, 0.6658% 9/15/18 (e)

5,000,000

4,998,563

Series 2014-4 Class A1, 1.4% 8/15/19

2,185,000

2,179,466

Series 2015-1 Class A1, 1.42% 1/15/20

920,000

916,212

GE Dealer Floorplan Master Note Trust:

Series 2013-1 Class A, 0.6068% 4/20/18 (e)

2,035,000

2,033,841

Series 2014-1 Class A, 0.5743% 7/20/19 (e)

2,280,000

2,272,059

Series 2014-2 Class A, 0.6443% 10/20/19 (e)

1,050,000

1,043,029

GE Equipment Small Ticket LLC Series 2014-1A:

Class A2, 0.59% 8/24/16 (d)

465,718

465,680

Class A3, 0.95% 9/25/17 (d)

1,520,000

1,520,038

GE Equipment Transportation LLC Series 2015-1:

Class A2, 0.89% 11/24/17

4,821,704

4,823,984

Class A3, 1.28% 2/25/19

299,000

299,477

GM Financial Automobile Leasing Trust:

Series 2014-1A Class A2, 0.61% 7/20/16 (d)

222,758

222,723

Series 2014-2A Class A2, 0.73% 2/20/17 (d)

2,028,086

2,026,153

Series 2015-1 Class A2, 1.1% 12/20/17

4,516,166

4,513,160

Asset-Backed Securities - continued

 

Principal Amount

Value

GM Financial Automobile Leasing Trust: - continued

Series 2015-3 Class A3, 1.69% 3/20/19

$ 1,985,000

$ 1,977,019

GMF Floorplan Owner Revolving Trust Series 2015-1:

Class A1, 1.65% 5/15/20 (d)

645,000

640,288

Class A2, 0.6958% 5/15/20 (d)(e)

3,000,000

2,987,286

GreatAmerica Leasing Receivables Funding LLC Series 2014-1 Class A3, 0.89% 7/15/17 (d)

832,194

830,152

Hilton Grand Vacations Trust Series 2014-AA Class A, 1.77% 11/25/26 (d)

497,869

492,817

Honda Auto Receivables Owner Trust:

Series 2013-4 Class A4, 1.04% 2/18/20

105,000

104,870

Series 2014-4 Class A3, 0.99% 9/17/18

825,000

823,419

Series 2015-1 Class A3, 1.05% 10/15/18

755,000

753,466

Series 2015-3 Class A2, 0.92% 11/20/17

4,600,000

4,601,359

Hyundai Auto Lease Securitization Trust:

Series 2014-B Class A4, 1.26% 9/17/18 (d)

310,000

309,629

Series 2015-A:

Class A2, 1% 10/16/17 (d)

4,885,645

4,882,659

Class A4, 1.65% 8/15/19 (d)

1,315,000

1,316,881

Series 2015-B:

Class A2A, 0.95% 12/15/17 (d)

5,000,000

5,001,965

Class A3, 1.4% 11/15/18 (d)

735,000

732,566

Hyundai Auto Receivables Trust:

Series 2013-A Class A4, 0.75% 9/17/18

1,010,000

1,009,130

Series 2015-A Class A3, 1.05% 4/15/19

650,000

647,016

Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.547% 5/15/18 (d)(e)

4,790,000

4,783,774

John Deere Owner Trust:

Series 2013-A Class A3, 0.6% 3/15/17

169,490

169,445

Series 2014-B Class A2A, 0.54% 7/17/17

3,290,514

3,288,393

Series 2015-A Class A3, 1.32% 6/17/19

360,000

360,162

Series 2015-B Class A2, 0.98% 6/15/18

5,000,000

4,993,346

Kubota Credit Owner Trust:

Series 2014-1A Class A2, 0.58% 2/15/17 (d)

80,838

80,803

Series 2015-1A Class A3, 1.54% 3/15/19 (d)

1,290,000

1,286,991

Mercedes Benz Auto Lease Trust Series 2015-B Class A2A, 1% 1/16/18

5,000,000

4,994,184

Mercedes-Benz Auto Lease Trust Series 2015-A:

Class A2A, 0.78% 2/15/17

3,430,756

3,429,741

Class A3, 1.1% 8/15/17

1,700,000

1,700,194

Mercedes-Benz Auto Receivables Trust Series 2015-1 Class A3, 1.34% 12/16/19

1,325,000

1,322,445

Asset-Backed Securities - continued

 

Principal Amount

Value

Mercedes-Benz Master Owner Trust Series 2015-AA Class A, 0.5158% 4/15/19 (d)(e)

$ 3,769,000

$ 3,759,089

MMAF Equipment Finance LLC:

Series 2014-AA Class A3, 0.87% 1/8/19 (d)

1,840,000

1,829,579

Series 2015-AA Class A3, 1.39% 10/16/19 (d)

505,000

501,919

Motor PLC Series 2014-1A Class A1, 0.701% 8/25/21 (d)(e)

236,487

236,454

MVW Owner Trust:

Series 2013-1A Class A, 2.15% 4/22/30 (d)

137,354

135,468

Series 2014-1A Class A, 2.25% 9/22/31 (d)

436,789

434,135

Series 2015-1A Class A, 2.52% 12/20/32 (d)

1,261,799

1,254,042

Nissan Auto Lease Trust Series 2015-A Class A3, 1.4% 6/15/18

1,320,000

1,318,937

Nissan Auto Receivables Owner Trust:

Series 2014-B Class A3, 1.11% 5/15/19

570,000

568,995

Series 2015-B Class A3, 1.34% 3/16/20

1,325,000

1,319,740

Nissan Master Owner Trust Receivables:

Series 2013-A Class A, 0.4958% 2/15/18 (e)

7,050,000

7,048,909

Series 2015-A:

Class A1, 0.5958% 1/15/20 (e)

5,000,000

5,003,005

Class A2, 1.44% 1/15/20

890,000

886,040

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 (AMBAC Insured)

18,210

18,061

Santander Drive Auto Receivables Trust Series 2014-4 Class A2A, 0.67% 1/16/18

1,212,900

1,212,262

Sierra Timeshare Receivables Funding Co. LLC:

Series 2014-2A Class A, 2.05% 6/20/31 (d)

310,330

311,279

Series 2014-3A Class A, 2.3% 10/20/31 (d)

407,004

407,200

Series 2015-1A Class A, 2.4% 3/22/32 (d)

1,140,697

1,134,394

Series 2015-2A Class 2, 2.43% 6/20/32 (d)

854,322

843,378

Series 2015-3A Class A, 2.58% 9/20/32 (d)

632,870

625,355

SLM Student Loan Trust:

Series 2008-4 Class A4, 1.9699% 7/25/22 (e)

100,000

100,626

Series 2008-5 Class A4, 2.0199% 7/25/23 (e)

645,000

649,412

Series 2008-9 Class A, 1.8199% 4/25/23 (e)

477,643

479,623

Series 2014-1 Class A1, 0.477% 5/28/19 (e)

804,805

803,817

Smart Trust:

Series 2012-2U.S.A. Class A3A, 1.59% 10/14/16 (d)

5,007

5,009

Series 2012-4U.S. Class A3A, 0.97% 3/14/17

122,719

122,645

Series 2013-2U.S. Class A4A, 1.18% 2/14/19

435,000

432,281

SMART Trust:

Series 2014-1U.S. Class A3A, 0.95% 2/14/18

1,088,916

1,087,813

Series 2015-1U.S. Class A2A, 0.99% 8/14/17

584,291

584,392

Asset-Backed Securities - continued

 

Principal Amount

Value

SMART Trust: - continued

Series 2015-3U.S. Class A3A, 1.66% 8/14/19

$ 1,210,000

$ 1,203,291

Suntrust Auto Receivables Trust Series 2015-1A Class A3, 1.42% 9/16/19 (d)

1,320,000

1,313,936

Synchrony Credit Card Master Note Trust:

Series 2013-1 Class B, 1.69% 3/15/21

1,035,000

1,034,280

Series 2014-1 Class A, 1.61% 11/15/20

2,330,000

2,329,990

Series 2015-2 Class A, 1.6% 4/15/21

1,325,000

1,320,747

TCF Auto Receivables Owner Trust:

Series 2015-1A Class A2, 1.02% 8/15/18 (d)

4,904,472

4,899,454

Series 2015-2A Class A2, 1.64% 1/15/19 (d)

5,000,000

4,999,983

Toyota Auto Receivables Owner Trust:

Series 2013-A Class A4, 0.69% 11/15/18

815,000

813,170

Series 2014-C Class A4, 1.44% 4/15/20

200,000

200,190

Volkswagen Auto Loan Enhanced Trust:

Series 2014-1 Class A3, 0.91% 10/22/18

135,000

134,085

Series 2014-2 Class A4, 1.39% 5/20/21

1,380,000

1,365,071

Volkswagen Credit Auto Master Trust Series 2014-1A:

Class A1, 0.5443% 7/22/19 (d)(e)

10,000,000

9,882,767

Class A2, 1.4% 7/22/19 (d)

1,290,000

1,274,953

Volvo Financial Equipment LLC:

Series 2014-1A Class A3, 0.82% 4/16/18 (d)

575,000

573,967

Series 2015-1A Class A2, 0.95% 11/15/17 (d)

5,000,000

4,998,904

Wendys Funding LLC Series 2015-1A Class A2I, 3.371% 6/15/45 (d)

2,415,000

2,425,577

Wheels SPV LLC:

Series 2014-1A Class A2, 0.84% 3/20/23 (d)

410,592

409,128

Series 2015-1A Class A2, 1.27% 4/22/24 (d)

355,000

353,358

World Omni Auto Receivables Trust:

Series 2014-B Class A2A, 0.6% 1/16/18

2,408,578

2,407,082

Series 2015-A Class A3, 1.34% 5/15/20

340,000

339,322

Series 2015-B Class A3, 1.49% 12/15/20

730,000

726,114

World Omni Automobile Lease Securitization Trust:

Series 2013-A Class A3, 1.1% 12/15/16

2,375,166

2,376,087

Series 2014-A Class A4, 1.37% 1/15/20

490,000

489,672

Series 2015-A Class A2A, 1.06% 5/15/18

5,000,000

4,988,421

World Omni Master Owner Trust 201 Series 2013-1 Class A, 0.5468% 2/15/18 (d)(e)

1,175,000

1,174,669

TOTAL ASSET-BACKED SECURITIES

(Cost $429,442,113)


428,717,235

Collateralized Mortgage Obligations - 0.8%

 

Principal Amount

Value

Private Sponsor - 0.1%

Banc of America Mortgage Securities, Inc.:

Series 2004-A Class 2A2, 2.6452% 2/25/34 (e)

$ 24,634

$ 24,111

Series 2004-H Class 2A2, 2.8054% 9/25/34 (e)

76,421

74,878

Granite Master Issuer PLC floater:

Series 2006-1A Class A5, 0.3468% 12/20/54 (d)(e)

1,652,066

1,650,910

Series 2007-1 Class 3A1, 0.4068% 12/20/54 (e)

585,736

585,578

Granite Mortgages Series 2003-2 Class 1A3, 0.8172% 7/20/43 (e)

156,267

156,158

Granite Mortgages PLC floater:

Series 2003-3 Class 1A3, 0.7172% 1/20/44 (e)

13,196

13,183

Series 2004-1 Class 2A1, 0.6651% 3/20/44 (e)

418,030

417,737

Series 2004-3 Class 2A1, 0.6251% 9/20/44 (e)

240,005

239,837

GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4904% 7/25/44 (d)(e)

277,471

274,998

Lanark Master Issuer PLC floater Series 2013-1A Class 1A1, 0.8776% 12/22/54 (d)(e)

857,418

855,659

Towd Point Mortgage Trust:

Series 2015-4 Class A1B, 2.75% 4/25/55 (d)

1,052,802

1,049,870

Series 2015-5 Class A1B, 2.75% 5/25/55 (d)

948,473

950,151

WaMu Mortgage pass-thru certificates Series 2005-AR12 Class 2A1, 2.5799% 9/25/35 (e)

47,735

47,487

Wells Fargo Mortgage Backed Securities Trust Series 2004-G Class A3, 2.7266% 6/25/34 (e)

47,505

47,618

TOTAL PRIVATE SPONSOR

6,388,175

U.S. Government Agency - 0.7%

Fannie Mae:

floater Series 2003-31 Class FM, 0.721% 4/25/33 (e)

2,172,006

2,198,202

floater planned amortization class Series 2004-52 Class PF 0.671% 12/25/33 (e)

2,620,766

2,633,036

sequential payer Series 2012-114 Class DF, 0.621% 8/25/39 (e)

40,263

40,425

sequential payer floater:

Series 2005-74 Class DF, 0.571% 7/25/35 (e)

5,495,183

5,525,349

Series 2005-83 Class FP, 0.551% 10/25/35 (e)

5,352,443

5,370,336

Fannie Mae Connecticut Avenue Securities floater:

Series 2014-C04:

Class 1M1, 2.171% 11/25/24 (e)

435,426

437,301

Class 2M1, 2.321% 11/25/24 (e)

211,872

212,753

Series 2015-C01 Class 1M1, 1.721% 2/25/25 (e)

207,172

207,283

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae Connecticut Avenue Securities floater: - continued

Series 2015-C03:

Class 1M1, 1.697% 7/25/25 (e)

$ 386,041

$ 386,041

Class 2M1, 1.697% 7/25/25 (e)

859,397

858,542

1.721% 2/25/25 (e)

71,441

71,441

FHLMC Structured Agency Credit Risk Debt Notes floater:

Series 2014-HQ2 Class M1, 1.647% 9/25/24 (e)

688,089

689,774

Series 2014-HQ3 Class M1, 1.847% 10/25/24 (e)

281,999

282,505

Series 2015-DNA1 Class M1, 1.097% 10/25/27 (e)

587,193

585,086

Series 2015-DNA2 Class M1, 1.347% 12/25/27 (e)

654,083

653,735

Series 2015-DNA3 Class M1, 1.5422% 4/25/28 (e)

555,305

555,685

Series 2015-HQ1 Class M1, 1.247% 3/25/25 (e)

206,934

206,712

Series 2015-HQ2 Class M1, 1.297% 5/25/25 (e)

346,564

345,859

Series 2015-HQA1 Class M1, 1.447% 3/25/28 (e)

491,743

491,297

Freddie Mac:

floater planned amortization class:

Series 2953 Class LF, 0.497% 12/15/34 (e)

2,149,609

2,159,114

Series 4057 Class EF, 0.547% 12/15/41 (e)

15,488,496

15,516,679

floater sequential payer Series 3046 Class F, 0.567% 3/15/33 (e)

2,333,359

2,338,043

sequential payer Series 4226 Class EF, 0.547% 12/15/35 (e)

6,847,054

6,867,114

Series 4448 Class JA, 4% 11/15/36

190,000

202,721

TOTAL U.S. GOVERNMENT AGENCY

48,835,033

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $55,156,937)


55,223,208

Commercial Mortgage Securities - 1.6%

 

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class A4, 5.9975% 5/10/45 (e)

429,417

430,985

Series 2006-3 Class A4, 5.889% 7/10/44 (e)

4,476,190

4,502,664

Series 2006-4 Class A4, 5.634% 7/10/46

316,363

319,678

Series 2006-5 Class AM, 5.448% 9/10/47

60,000

61,344

Series 2007-4 Class AM, 5.8088% 2/10/51 (e)

50,000

52,883

Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.3458% 5/15/32 (d)(e)

1,981,000

1,963,017

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-PW13 Class A4, 5.54% 9/11/41

$ 3,393,354

$ 3,436,242

Series 2006-PW14 Class A4, 5.201% 12/11/38

601,868

615,041

Series 2006-T24 Class A4, 5.537% 10/12/41

1,079,991

1,100,608

BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.23% 5/15/29 (d)(e)

1,981,000

1,963,665

CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.597% 12/15/27 (d)(e)

6,485,000

6,454,733

Citigroup Commercial Mortgage Trust:

Series 13-GC15 Class A1, 1.378% 9/10/46

552,272

550,947

Series 2006-C4 Class A1A, 5.7922% 3/15/49 (e)

1,194,135

1,202,220

Series 2014-GC19 Class A1, 1.199% 3/10/47

301,781

296,180

Series 2014-GC2 Class A1, 1.392% 7/10/47

319,310

317,405

Series 2014-GC21 Class A1, 1.242% 5/10/47

520,347

516,944

Series 2014-GC25 Class A1, 1.485% 10/10/47

142,754

141,931

Series 2015-GC27 Class A1, 1.353% 2/10/48

658,252

652,140

Series 2015-GC31 Class A1, 1.637% 6/10/48

1,073,495

1,066,555

Series 2015-GC33 Class A1, 1.643% 9/10/58

367,230

364,500

Series 2015-P1 Class A1, 1.648% 9/15/48

402,598

401,356

Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD2 Class A4, 5.3358% 1/15/46 (e)

35,828

35,783

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.484% 4/15/47

1,581,271

1,639,550

COMM Mortgage Trust:

floater Series 2014-KYO Class A, 1.096% 6/11/27 (d)(e)

2,750,000

2,735,647

Series 2014-CR15 Class A1, 1.218% 2/10/47

759,905

756,205

Series 2014-CR17 Class A1, 1.275% 5/10/47

349,728

347,410

Series 2014-CR18 Class A1, 1.442% 7/15/47

539,555

536,040

Series 2014-CR19 Class A1, 1.415% 8/10/47

464,167

456,112

Series 2014-CR20 Class A1, 1.324% 11/10/47

313,055

306,568

Series 2014-CR21 Class A1, 1.494% 12/10/47

178,961

177,523

Series 2014-LC15 Class A1, 1.259% 4/10/47

612,724

608,167

Series 2014-LC17 Class A1, 1.381% 10/10/47

393,662

390,820

Series 2014-UBS2 Class A1, 1.298% 3/10/47

402,994

399,243

Series 2014-UBS4 Class A1, 1.309% 8/10/47

210,451

208,730

Series 2014-UBS5 Class A1, 1.373% 9/10/47

793,102

788,701

Series 2014-UBS6 Class A1, 1.445% 12/10/47

556,398

553,354

Series 2015-CCRE26 Class A1, 1.604% 10/10/48

519,340

516,573

Series 2015-CR22 Class A1, 1.569% 3/10/48

248,715

247,810

Series 2015-LC23 Class A2, 3.221% 10/10/53

1,400,000

1,447,808

Commercial Mortgage Securities - continued

 

Principal Amount

Value

COMM Mortgage Trust: - continued

Series 2015-PC1 Class A1, 1.667% 7/10/50

$ 1,504,926

$ 1,499,088

COMM Mortgage Trust pass-thru certificates Series 2014-TWC Class A, 1.057% 2/13/32 (d)(e)

400,000

397,352

CSAIL Commercial Mortgage Trust:

Series 2015-C1 Class A1, 1.684% 4/15/50

263,038

262,690

Series 2015-C2 Class A1, 1.4544% 6/15/57

1,923,524

1,913,010

Series 2015-C3 Class A1, 1.7167% 8/15/48

721,553

719,091

CSMC Series 2015-TOWN Class A, 1.4458% 3/15/17 (d)(e)

3,000,000

2,989,787

Del Coronado Trust floater Series 2013-HDC Class A, 0.9958% 3/15/26 (d)(e)

1,500,000

1,495,345

Freddie Mac pass-thru certificates:

Series 2013-K502 Class A2, 1.426% 8/25/17

1,505,000

1,509,265

Series K712 Class A1, 1.369% 5/25/19

1,136,956

1,138,527

GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.497% 12/15/16 (d)(e)

5,625,000

5,614,271

Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8193% 7/10/38 (e)

786,828

792,211

GS Mortgage Securities Trust:

floater Series 2014-GSFL Class A, 1.1958% 7/15/31 (d)(e)

754,351

752,574

sequential payer Series 2013-GC13 Class A1, 1.206% 7/10/46

354,337

353,450

Series 14-GC20 Class A1, 1.343% 4/10/47

233,974

231,810

Series 2012-GC6 Class A1, 1.282% 1/10/45

3,495

3,495

Series 2014-GC22 Class A1, 1.29% 6/10/47

367,900

363,951

Series 2014-GC24 Class A1, 1.509% 9/10/47

676,334

673,182

Series 2015-GC28 Class A1, 1.528% 2/10/48

1,064,393

1,058,896

Series 2015-GC32 Class A1, 1.593% 7/10/48

413,649

411,207

Hilton U.S.A. Trust floater Series 2013-HLF Class AFL, 1.1922% 11/5/30 (d)(e)

1,285,046

1,281,997

Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.446% 11/15/29 (d)(e)

1,314,000

1,313,978

JPMBB Commercial Mortgage Securities Trust:

sequential payer Series 2014-C21 Class A1, 1.322% 8/15/47 (d)

359,258

356,805

Series 2013-C14 Class A1, 1.2604% 8/15/46

671,756

670,377

Series 2014-C19 Class A1, 1.2661% 4/15/47

408,769

407,125

Series 2014-C22 Class A1, 1.451% 9/15/47

199,638

198,857

Series 2014-C23 Class A1, 1.6502% 9/15/47

299,144

298,050

Series 2014-C24 Class A1, 1.5386% 11/15/47

125,864

124,990

Series 2014-C26 Class A1, 1.5962% 1/15/48

1,474,580

1,466,629

Series 2015-C27 Class A1, 1.4137% 2/15/48

886,148

877,081

Commercial Mortgage Securities - continued

 

Principal Amount

Value

JPMBB Commercial Mortgage Securities Trust: - continued

Series 2015-C28 Class A1, 1.4451% 10/15/48

$ 1,400,375

$ 1,388,440

Series 2015-C30 Class A1, 1.7384% 7/15/48

1,768,953

1,763,647

JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A1, 1.6255% 5/15/48

421,610

419,213

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2014-BXH Class A, 1.097% 4/15/27 (d)(e)

2,500,000

2,496,793

Series 2014-FL5 Class A, 1.1758% 7/15/31 (d)(e)

2,550,000

2,532,989

sequential payer:

Series 2006-LDP8 Class A4, 5.399% 5/15/45

2,607,696

2,628,408

Series 2007-CB18 Class A4, 5.44% 6/12/47

10,391,466

10,693,638

Series 2006-LDP7 Class AM, 5.9107% 4/15/45 (e)

715,000

727,937

Series 2014-C20 Class A1, 1.2682% 7/15/47

410,083

406,740

LB-UBS Commercial Mortgage Trust:

sequential payer Series 2006-C1 Class A4, 5.156% 2/15/31

782,133

782,094

Series 2004-C1 Class A4, 4.568% 1/15/31

19,594

19,694

Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2% 9/15/28 (b)(d)

3,000,000

3,000,399

Merrill Lynch Mortgage Trust Series 2006-C2 Class AM, 5.782% 8/12/43 (e)

335,000

342,210

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer Series 2007-5 Class A4, 5.378% 8/12/48

2,816,771

2,892,874

Series 2006-2 Class A4, 5.8788% 6/12/46 (e)

336,609

339,348

Morgan Stanley BAML Trust:

sequential payer Series 2014-C18 Class A1, 1.686% 10/15/47

414,800

413,170

Series 2014-C14 Class A1, 1.25% 2/15/47

144,483

143,391

Series 2014-C16 Class A1, 1.294% 6/15/47

265,051

262,899

Series 2014-C17 Class A1, 1.551% 8/15/47

504,588

502,095

Series 2014-C19 Class A1, 1.573% 12/15/47

970,803

964,209

Series 2015-C24 Class A1, 1.706% 5/15/48

662,719

661,025

Morgan Stanley Capital I Trust:

Series 2006-HQ9 Class A4, 5.731% 7/12/44 (e)

869,625

877,326

Series 2015-MS1 Class A1, 1.638% 5/15/48

754,912

752,031

Wachovia Bank Commercial Mortgage Trust:

Series 2006-C23 Class A1A, 5.422% 1/15/45

489,596

489,282

Series 2006-C25 Class A1A, 5.715% 5/15/43 (e)

2,122,244

2,147,708

Wells Fargo Commercial Mortgage Trust:

Series 2014-LC18 Class A1, 1.437% 12/15/47

1,195,731

1,189,081

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wells Fargo Commercial Mortgage Trust: - continued

Series 2015-C26 Class A1, 1.454% 2/15/48

$ 768,492

$ 759,749

Series 2015-C27 Class A1, 1.73% 2/15/48

1,407,263

1,405,149

Series 2015-C28 Class A1, 1.531% 5/15/48

550,233

547,042

Series 2015-C31 Class A1, 1.679% 11/15/48

945,000

941,049

Series 2015-LC20 Class A1, 1.471% 4/15/50

967,005

959,501

Series 2015-NXS2 Class A2, 3.02% 7/15/58

1,180,000

1,212,036

Series 2015-SG1 Class A1, 1.568% 12/15/47

549,759

549,000

WF-RBS Commercial Mortgage Trust:

sequential payer Series 2013-C16 Class A1, 1.406% 9/15/46

419,282

419,109

Series 2013-C17 Class A1, 1.154% 12/15/46

289,088

288,017

Series 2013-UBS1 Class A1, 1.122% 3/15/46

235,598

233,921

Series 2014-C20 Class A1, 1.283% 5/15/47

654,358

648,504

Series 2014-C21 Class A1, 1.413% 8/15/47

799,962

795,297

Series 2014-C22 Class A1, 1.479% 9/15/57

491,700

488,801

Series 2014-C23 Class A1, 1.663% 10/15/57

244,604

244,179

Series 2014-C24 Class A1, 1.39% 11/15/47

104,793

103,925

Series 2014-LC14 Class A1, 1.193% 3/15/47

422,633

420,079

WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.3178% 11/15/29 (d)(e)

1,777,173

1,767,964

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $119,622,655)


118,358,136

Municipal Securities - 0.3%

 

California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 0.6%, tender 2/1/16 (d)(e)(f)

7,000,000

6,999,790

Florida Hurricane Catastrophe Fund Fin. Corp. Rev. Series 2013 A, 1.298% 7/1/16

1,475,000

1,479,307

Illinois Gen. Oblig. Series 2011, 4.961% 3/1/16

12,000,000

12,114,480

Univ. of California Revs. Bonds Series 2011 Y1, 0.693%, tender 7/1/17 (e)

445,000

444,795

TOTAL MUNICIPAL SECURITIES

(Cost $21,025,325)


21,038,372

Foreign Government and Government Agency Obligations - 0.0%

 

Republic of Iceland 4.875% 6/16/16 (d)
(Cost $732,645)

722,000


736,421

Bank Notes - 0.1%

 

Principal Amount

Value

Capital One Bank NA 1.15% 11/21/16

$ 440,000

$ 439,719

Marshall & Ilsley Bank 5% 1/17/17

5,021,000

5,194,245

PNC Bank NA:

1.15% 11/1/16

980,000

981,137

1.3% 10/3/16

1,175,000

1,179,531

Regions Bank 7.5% 5/15/18

289,000

322,944

Union Bank NA 2.125% 6/16/17

1,330,000

1,341,372

TOTAL BANK NOTES

(Cost $9,469,381)

9,458,948

Fixed-Income Funds - 3.9%

Shares

 

Bank Loan Funds - 3.9%

Fidelity Floating Rate High Income Fund (c)
(Cost $296,099,134)

29,949,212


277,629,194

Short-Term Funds - 60.6%

 

 

 

 

Short-Term Funds - 60.6%

BlackRock Low Duration Bond Portfolio

34,006,496

327,482,559

Delaware Limited-Term Diversified Income Fund - Class A

21,629,394

182,768,377

Fidelity Conservative Income Bond Fund Institutional Class (c)

45,980,948

460,729,097

Fidelity Short-Term Bond Fund (c)

84,561,372

725,536,575

Janus Short-Term Bond Fund - Class T

85,194,647

257,287,834

JPMorgan Short Duration Bond Fund Class A

30,002,370

324,925,663

Metropolitan West Low Duration Bond Fund - Class M

69,020,476

603,238,963

PIMCO Short-Term Fund - Administrator Class

141,771,486

1,385,107,399

Wells Fargo Advantage Ultra Short-Term Municipal Income Fund - Administrator Class

10,073,803

96,909,989

TOTAL SHORT-TERM FUNDS

(Cost $4,388,283,277)


4,363,986,456

Money Market Funds - 7.7%

Shares

Value

Fidelity Institutional Money Market Portfolio Institutional Class 0.16% (a)(c)

471,239,919

$ 471,239,919

SSgA U.S. Treasury Money Market Fund Class N, 0% (a)(g)

81,424,164

81,424,164

TOTAL MONEY MARKET FUNDS

(Cost $552,664,083)


552,664,083

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $7,248,058,983)

7,202,418,655

NET OTHER ASSETS (LIABILITIES) - (0.1)%

(5,039,640)

NET ASSETS - 100%

$ 7,197,379,015

Legend

(a) The rate quoted is the annualized seven-day yield of the fund at period end.

(b) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(c) Affiliated Fund

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $445,832,033 or 6.2% of net assets.

(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(f) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(g) Non-income producing

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value,
beginning of
period

Purchases

Sales
Proceeds

Dividend Income

Value,
end of
period

Fidelity Conservative Income Bond Fund Institutional Class

$ 443,423,428

$ 29,147,608

$ 11,394,442

$ 1,310,965

$ 460,729,097

Fidelity Floating Rate High Income Fund

252,443,621

39,038,545

-

5,076,861

277,629,194

Fidelity Institutional Money Market Portfolio Institutional Class 0.16%

470,863,485

376,433

-

376,433

471,239,919

Fidelity Short-Term Bond Fund

785,968,241

3,567,530

61,327,737

3,567,425

725,536,575

Total

$ 1,952,698,775

$ 72,130,116

$ 72,722,179

$ 10,331,684

$ 1,935,134,785

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Corporate Bonds

$ 1,255,448,401

$ -

$ 1,255,448,401

$ -

U.S. Government and Government Agency Obligations

61,758,130

-

61,758,130

-

U.S. Government Agency - Mortgage Securities

57,400,071

-

57,400,071

-

Asset-Backed Securities

428,717,235

-

428,717,235

-

Collateralized Mortgage Obligations

55,223,208

-

55,223,208

-

Commercial Mortgage Securities

118,358,136

-

118,358,136

-

Municipal Securities

21,038,372

-

21,038,372

-

Foreign Government and Government Agency Obligations

736,421

-

736,421

-

Bank Notes

9,458,948

-

9,458,948

-

Fixed-Income Funds

277,629,194

277,629,194

-

-

Short-Term Funds

4,363,986,456

4,363,986,456

-

-

Money Market Funds

552,664,083

552,664,083

-

-

Total Investments in Securities:

$ 7,202,418,655

$ 5,194,279,733

$ 2,008,138,922

$ -

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $5,296,937,718)

$ 5,267,283,870

 

Affiliated issuers (cost $1,951,121,265)

1,935,134,785

 

Total Investments (cost $7,248,058,983)

 

$ 7,202,418,655

Receivable for investments sold

933,619

Receivable for fund shares sold

2,855,563

Dividends receivable

151,561

Interest receivable

4,864,218

Prepaid expenses

13,974

Other receivables

49,668

Total assets

7,211,287,258

 

 

 

Liabilities

Payable for investments purchased

$ 10,062,591

Payable for fund shares redeemed

3,186,867

Distributions payable

4,399

Accrued management fee

197,495

Other affiliated payables

376,242

Other payables and accrued expenses

80,649

Total liabilities

13,908,243

 

 

 

Net Assets

$ 7,197,379,015

Net Assets consist of:

 

Paid in capital

$ 7,251,878,972

Distributions in excess of net investment income

(3,605,968)

Accumulated undistributed net realized gain (loss) on investments

(5,253,661)

Net unrealized appreciation (depreciation) on investments

(45,640,328)

Net Assets, for 720,046,548 shares outstanding

$ 7,197,379,015

Net Asset Value, offering price and redemption price per share ($7,197,379,015 ÷ 720,046,548 shares)

$ 10.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 18,997,003

Affiliated issuers

 

10,331,684

Interest

 

9,666,052

Total income 

 

38,994,739

 

 

 

Expenses

Management fee

$ 10,174,547

Transfer agent fees

1,644,262

Accounting fees and expenses

630,952

Custodian fees and expenses

27,835

Independent trustees' compensation

38,318

Registration fees

82,638

Audit

33,856

Legal

34,450

Miscellaneous

26,977

Total expenses before reductions

12,693,835

Expense reductions

(9,007,464)

3,686,371

Net investment income (loss)

35,308,368

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

(3,201,511)

Affiliated issuers

(103,196)

 

Total net realized gain (loss)

 

(3,304,707)

Change in net unrealized appreciation (depreciation) on investment securities

(41,718,859)

Net gain (loss)

(45,023,566)

Net increase (decrease) in net assets resulting from operations

$ (9,715,198)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended
November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 35,308,368

$ 65,296,765

Net realized gain (loss)

(3,304,707)

7,725,699

Change in net unrealized appreciation (depreciation)

(41,718,859)

(26,284,366)

Net increase (decrease) in net assets resulting from operations 

(9,715,198)

46,738,098

Distributions to shareholders from net investment income

(37,679,762)

(63,665,850)

Distributions to shareholders from net realized gain

(4,355,761)

(2,830,487)

Total distributions 

(42,035,523)

(66,496,337)

Share transactions

 

 

Proceeds from sales of shares

931,276,363

2,708,113,479

Reinvestment of distributions

42,001,491

66,437,908

Cost of shares redeemed

(986,412,053)

(1,361,681,297)

Net increase (decrease) in net assets resulting from share transactions 

(13,134,199)

1,412,870,090

Total increase (decrease) in net assets 

(64,884,920)

1,393,111,851

 

 

 

Net Assets

Beginning of period

7,262,263,935

5,869,152,084

End of period (including distributions in excess of net investment income of $3,605,968 and distributions in excess of net investment income of $1,234,574, respectively)

$ 7,197,379,015

$ 7,262,263,935

Other Information

Shares

 

 

Sold

92,904,416

268,797,745

Issued in reinvestment of distributions

4,191,137

6,603,546

Redeemed

(98,455,058)

(135,268,721)

Net increase (decrease)

(1,359,505)

140,132,570

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Short Duration Fund

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 10.07

$ 10.10

$ 10.09

$ 10.06

$ 10.00

Income from Investment
Operations

 

 

 

 

Net investment income (loss) D

  .049

  .095

  .077

  .087

  .035

Net realized and unrealized gain (loss)

  (.060)

  (.028)

  .020

  .040

  .051

Total from investment operations

  (.011)

  .067

  .097

  .127

  .086

Distributions from net investment income

  (.053)

  (.093)

  (.079)

  (.089)

  (.026)

Distributions from net realized gain

  (.006)

  (.004)

  (.008)

  (.008)

  -

Total distributions

  (.059)

  (.097)

  (.087)

  (.097)

  (.026)

Net asset value, end of period

$ 10.00

$ 10.07

$ 10.10

$ 10.09

$ 10.06

Total ReturnB, C

  (.11)%

  .66%

  .96%

  1.27%

  .86%

Ratios to Average Net Assets F

 

 

 

 

Expenses before reductions

  .35%A

  .35%

  .36%

  .38%

  .48%A

Expenses net of fee waivers, if any

  .10%A

  .10%

  .11%

  .13%

  .23%A

Expenses net of all reductions

  .10%A

  .10%

  .11%

  .13%

  .23%A

Net investment income (loss)

  .98%A

  .94%

  .76%

  .87%

  .79%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 7,197,379

$ 7,262,264

$ 5,869,152

$ 6,225,396

$ 2,935,591

Portfolio turnover rateG

  23%A

  16%

  31%

  17% H

  5%I

AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFor the period December 20, 2011 (commencement of operations) to May 31, 2012. FExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds. GAmount does not include the portfolio activity of any Underlying Funds. HPortfolio turnover rate excludes securities received or delivered in-kind. IAmount not annualized.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers® Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).

2. Significant Accounting Policies.

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 Strategic Advisers Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30 2015 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. Income and capital gain distributions from Underlying Funds, if any, are recorded

Semiannual Report

2. Significant Accounting Policies - continued

Investment Transactions and Income - continued

on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.

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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. 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.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, foreign currency transactions, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 11,085,792

Gross unrealized depreciation 

(57,872,832)

Net unrealized appreciation (depreciation) on securities 

$ (46,787,040)

Tax cost 

$ 7,249,205,695

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities and U.S. government securities, aggregated $751,398,089 and $800,450,244, respectively.

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .28% of the Fund's average net assets.

Semiannual Report

4. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .05% of average net assets.

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

5. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3,584 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

6. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2018. During the period, this waiver reduced the Fund's management fee by $8,989,103.

In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $18,361.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. 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.

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:

Fidelity Conservative Income Bond Fund

12%

Fidelity Short-Term Bond Fund 

14%

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Short Duration Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Pyramis Global Advisors, LLC (Pyramis) and T. Rowe Price Associates, Inc. (T. Rowe Price) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, Pyramis and T. Rowe Price (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Short Duration Fund

two1406314

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one-year period and in the second quartile for the three-year period ended December 31, 2014. The Board also noted that the fund had out-performed 81% and 56% of its peers for the one- and three-year period, respectively ended December 31, 2014. The Board also noted that the investment performance of the fund was higher than its benchmark for the periods shown.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board also noted Strategic Advisers' proposal to extend the 0.25% management fee waiver through September 30, 2018 and considered that the fund's maximum aggregate annual management fee rate may not exceed 0.55%. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Strategic Advisers Short Duration Fund

two1406316

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the fiscal year ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the fund's total expenses, the Board considered the fund's management fee as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the fiscal year ended February 28, 2015.

Semiannual Report

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took into consideration that Strategic Advisers has agreed to waive 0.25% of its management fee through September 30, 2018.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

FIAM LLC

T. Rowe Price Associates, Inc.

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA 

Fidelity Service Company, Inc.
Boston, MA 

Custodian

State Street Bank and Trust Company
Boston, MA

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

ASD-USAN-0116
1.934460.103

Strategic Advisers®
Core Multi-Manager Fund
Class L and Class N

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan participants) or 1-877-208-0098 (Advisors and Investment Professionals) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015 to
November 30, 2015

Core Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 994.10

$ 4.34

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 991.40

$ 6.07

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

3.3

Microsoft Corp.

2.3

1.8

Alphabet, Inc. Class C

2.2

1.2

PepsiCo, Inc.

1.6

1.0

Wells Fargo & Co.

1.5

1.6

Honeywell International, Inc.

1.5

0.8

Johnson & Johnson

1.5

1.1

Citigroup, Inc.

1.5

1.6

General Electric Co.

1.5

1.1

Danaher Corp.

1.3

0.8

 

17.8

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

18.3

19.0

Health Care

15.4

14.9

Financials

14.4

14.0

Consumer Discretionary

12.6

12.7

Industrials

11.8

11.0

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

two1406324

Common Stocks 95.2%

 

two1406326

Common Stocks 95.5%

 

two1406328

Convertible Bonds 0.0%

 

two1406330

Convertible Bonds 0.0%

 

two1406332

Short-Term Investments and Net Other Assets (Liabilities) 4.8%

 

two1406334

Short-Term Investments and Net Other Assets (Liabilities) 4.5%

 

two1406336

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 95.2%

Shares

Value

CONSUMER DISCRETIONARY - 12.6%

Auto Components - 0.2%

BorgWarner, Inc.

764

$ 32,615

Delphi Automotive PLC

328

28,825

Johnson Controls, Inc.

1,864

85,744

 

147,184

Automobiles - 0.3%

Ford Motor Co.

1,808

25,909

General Motors Co.

1,253

45,359

Harley-Davidson, Inc.

1,139

55,720

Tesla Motors, Inc. (a)

123

28,322

 

155,310

Hotels, Restaurants & Leisure - 2.1%

Carnival Corp. unit

750

37,898

Chipotle Mexican Grill, Inc. (a)

153

88,671

Dunkin' Brands Group, Inc.

377

15,992

Hilton Worldwide Holdings, Inc.

1,925

44,699

Las Vegas Sands Corp.

355

15,641

McDonald's Corp.

2,321

264,965

MGM Mirage, Inc. (a)

1,257

28,584

Norwegian Cruise Line Holdings Ltd. (a)

684

39,289

Royal Caribbean Cruises Ltd.

411

38,063

Starbucks Corp.

2,996

183,924

Wyndham Worldwide Corp.

6,380

484,370

Yum! Brands, Inc.

595

43,143

 

1,285,239

Household Durables - 0.4%

D.R. Horton, Inc.

812

26,236

Harman International Industries, Inc.

349

36,003

Lennar Corp. Class A

2,750

140,828

PulteGroup, Inc.

1,190

23,181

Toll Brothers, Inc. (a)

370

13,757

 

240,005

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

839

557,767

Netflix, Inc. (a)

431

53,155

Priceline Group, Inc. (a)

208

259,761

TripAdvisor, Inc. (a)

580

47,775

 

918,458

Leisure Products - 0.1%

Mattel, Inc.

2,766

68,763

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - 4.9%

Charter Communications, Inc. Class A (a)

3,023

$ 566,389

Comcast Corp.:

Class A

12,279

747,300

Class A (special) (non-vtg.)

1,928

117,685

DISH Network Corp. Class A (a)

650

40,762

Liberty Media Corp. Class A (a)

2,565

103,908

MSG Network, Inc. Class A (a)

5,839

115,495

News Corp. Class A

2,610

37,454

The Madison Square Garden Co. (a)

1,641

266,597

The Walt Disney Co.

3,483

395,216

Time Warner Cable, Inc.

360

66,517

Time Warner, Inc.

4,264

298,395

Twenty-First Century Fox, Inc. Class A

5,897

174,020

Viacom, Inc. Class B (non-vtg.)

867

43,168

 

2,972,906

Multiline Retail - 0.2%

Dollar General Corp.

393

25,706

Target Corp.

1,579

114,478

 

140,184

Specialty Retail - 2.4%

AutoNation, Inc. (a)

2,294

146,632

AutoZone, Inc. (a)

140

109,728

Best Buy Co., Inc.

729

23,168

CarMax, Inc. (a)

1,487

85,205

Home Depot, Inc.

3,148

421,454

L Brands, Inc.

713

68,027

Lowe's Companies, Inc.

4,557

349,066

Ross Stores, Inc.

1,498

77,911

Tiffany & Co., Inc.

407

32,430

TJX Companies, Inc.

1,686

119,032

Tractor Supply Co.

328

29,307

 

1,461,960

Textiles, Apparel & Luxury Goods - 0.5%

Hanesbrands, Inc.

3,323

101,916

NIKE, Inc. Class B

1,281

169,451

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Ralph Lauren Corp.

226

$ 28,071

VF Corp.

559

36,167

 

335,605

TOTAL CONSUMER DISCRETIONARY

7,725,614

CONSUMER STAPLES - 11.2%

Beverages - 4.4%

Anheuser-Busch InBev SA NV ADR

16

2,055

Coca-Cola Enterprises, Inc.

11,163

561,499

Diageo PLC

1,247

35,766

Dr. Pepper Snapple Group, Inc.

681

61,120

Molson Coors Brewing Co. Class B

7,308

672,555

PepsiCo, Inc.

9,969

998,495

SABMiller PLC

79

4,797

The Coca-Cola Co.

8,598

366,447

 

2,702,734

Food & Staples Retailing - 2.4%

Costco Wholesale Corp.

1,137

183,535

CVS Health Corp.

6,913

650,444

Kroger Co.

9,392

353,703

Rite Aid Corp. (a)

1,688

13,301

Sysco Corp.

1,001

41,141

Wal-Mart Stores, Inc.

1,579

92,908

Walgreens Boots Alliance, Inc.

1,568

131,759

Whole Foods Market, Inc.

1,021

29,762

 

1,496,553

Food Products - 2.2%

Bunge Ltd.

443

29,508

ConAgra Foods, Inc.

1,308

53,536

General Mills, Inc.

1,276

73,702

Kellogg Co.

1,623

111,614

Keurig Green Mountain, Inc.

880

46,112

Mead Johnson Nutrition Co. Class A

1,127

90,825

Mondelez International, Inc.

17,279

754,401

The Hershey Co.

177

15,277

The Kraft Heinz Co.

737

54,310

Tyson Foods, Inc. Class A

2,214

110,700

 

1,339,985

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - 0.8%

Colgate-Palmolive Co.

693

$ 45,516

Henkel AG & Co. KGaA

282

27,068

Procter & Gamble Co.

5,523

413,341

 

485,925

Personal Products - 0.0%

Estee Lauder Companies, Inc. Class A

56

4,711

Tobacco - 1.4%

Altria Group, Inc.

1,697

97,747

British American Tobacco PLC sponsored ADR

398

46,065

Philip Morris International, Inc.

5,003

437,212

Reynolds American, Inc.

5,649

261,266

 

842,290

TOTAL CONSUMER STAPLES

6,872,198

ENERGY - 5.4%

Energy Equipment & Services - 0.5%

Baker Hughes, Inc.

994

53,746

Cameron International Corp. (a)

430

29,365

Halliburton Co.

2,147

85,558

Schlumberger Ltd.

1,888

145,659

 

314,328

Oil, Gas & Consumable Fuels - 4.9%

Anadarko Petroleum Corp.

1,235

73,977

Apache Corp.

2,012

98,950

Cabot Oil & Gas Corp.

1,126

21,203

Canadian Natural Resources Ltd.

549

13,295

Chevron Corp.

5,051

461,257

Cimarex Energy Co.

485

57,725

Columbia Pipeline Group, Inc.

1,444

27,681

Concho Resources, Inc. (a)

604

66,102

ConocoPhillips Co.

1,439

77,778

Continental Resources, Inc. (a)

815

29,585

EOG Resources, Inc.

1,623

135,407

EQT Corp.

1,192

68,206

Exxon Mobil Corp.

9,321

761,153

HollyFrontier Corp.

415

19,953

Imperial Oil Ltd.

1,337

43,430

Kinder Morgan, Inc.

1,595

37,594

Magellan Midstream Partners LP

272

17,008

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Marathon Petroleum Corp.

1,979

$ 115,593

Noble Energy, Inc.

1,136

41,657

Occidental Petroleum Corp.

4,179

315,891

Phillips 66 Co.

243

22,242

Pioneer Natural Resources Co.

287

41,543

Range Resources Corp.

744

21,264

Spectra Energy Corp.

1,300

34,060

Suncor Energy, Inc.

6,041

166,920

The Williams Companies, Inc.

905

33,087

Total SA sponsored ADR

1,190

58,846

Valero Energy Corp.

1,866

134,091

 

2,995,498

TOTAL ENERGY

3,309,826

FINANCIALS - 14.4%

Banks - 6.6%

Bank of America Corp.

25,304

441,049

BB&T Corp.

625

24,138

Citigroup, Inc.

16,907

914,500

East West Bancorp, Inc.

406

17,612

Fifth Third Bancorp

900

18,603

JPMorgan Chase & Co.

11,321

754,884

M&T Bank Corp.

832

104,275

PNC Financial Services Group, Inc.

451

43,075

Standard Chartered PLC:

rights 12/10/15 (a)

390

535

(United Kingdom)

1,368

11,480

SVB Financial Group (a)

188

24,906

U.S. Bancorp

16,550

726,380

Wells Fargo & Co.

17,007

937,086

 

4,018,523

Capital Markets - 2.1%

Ameriprise Financial, Inc.

801

90,473

Bank of New York Mellon Corp.

3,904

171,151

BlackRock, Inc. Class A

321

116,754

Charles Schwab Corp.

2,953

99,546

E*TRADE Financial Corp. (a)

1,829

55,656

Franklin Resources, Inc.

113

4,737

Goldman Sachs Group, Inc.

708

134,534

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

647

$ 21,797

LPL Financial

480

22,070

Morgan Stanley

8,302

284,759

Northern Trust Corp.

915

68,570

Och-Ziff Capital Management Group LLC Class A

1,637

10,117

State Street Corp.

2,882

209,176

TD Ameritrade Holding Corp.

699

25,604

 

1,314,944

Consumer Finance - 0.4%

American Express Co.

1,094

78,374

Discover Financial Services

1,518

86,162

Synchrony Financial (a)

3,064

97,527

 

262,063

Diversified Financial Services - 1.5%

Berkshire Hathaway, Inc. Class B (a)

2,684

359,898

CME Group, Inc.

1,607

156,924

IntercontinentalExchange, Inc.

476

123,684

McGraw Hill Financial, Inc.

2,572

248,121

 

888,627

Insurance - 2.0%

ACE Ltd.

1,425

163,661

American International Group, Inc.

3,179

202,121

Arthur J. Gallagher & Co.

273

11,944

CNA Financial Corp.

1,103

40,524

FNF Group

655

23,482

Genworth Financial, Inc. Class A (a)

2,474

12,494

Loews Corp.

2,644

100,181

Marsh & McLennan Companies, Inc.

2,890

159,817

MetLife, Inc.

4,533

231,591

The Chubb Corp.

780

101,813

Willis Group Holdings PLC

1,200

55,152

XL Group PLC Class A

2,950

112,631

 

1,215,411

Real Estate Investment Trusts - 1.8%

American Tower Corp.

1,532

152,250

AvalonBay Communities, Inc.

633

115,073

Crown Castle International Corp.

4,458

382,987

Federal Realty Investment Trust (SBI)

221

32,381

General Growth Properties, Inc.

1,080

27,508

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Iron Mountain, Inc.

922

$ 25,613

Prologis, Inc.

1,099

46,982

Public Storage

171

41,050

Simon Property Group, Inc.

864

160,911

SL Green Realty Corp.

226

26,686

Vornado Realty Trust

627

60,669

Weyerhaeuser Co.

979

31,494

 

1,103,604

TOTAL FINANCIALS

8,803,172

HEALTH CARE - 15.4%

Biotechnology - 3.4%

AbbVie, Inc.

3,051

177,416

Alexion Pharmaceuticals, Inc. (a)

957

170,767

Amgen, Inc.

2,587

416,766

Baxalta, Inc.

10,677

367,075

Biogen, Inc. (a)

544

156,052

BioMarin Pharmaceutical, Inc. (a)

264

25,178

Celgene Corp. (a)

1,222

133,748

Gilead Sciences, Inc.

3,638

385,482

Incyte Corp. (a)

328

37,471

Intercept Pharmaceuticals, Inc. (a)

100

17,651

Regeneron Pharmaceuticals, Inc. (a)

157

85,487

Vertex Pharmaceuticals, Inc. (a)

900

116,424

 

2,089,517

Health Care Equipment & Supplies - 3.8%

Abbott Laboratories

17,569

789,199

Baxter International, Inc.

2,490

93,749

Becton, Dickinson & Co.

3,355

504,089

Boston Scientific Corp. (a)

4,568

83,503

Intuitive Surgical, Inc. (a)

163

84,763

Medtronic PLC

8,717

656,739

St. Jude Medical, Inc.

111

7,004

Stryker Corp.

831

80,158

 

2,299,204

Health Care Providers & Services - 2.2%

Aetna, Inc.

1,197

122,992

Anthem, Inc.

478

62,322

Cigna Corp.

160

21,597

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

DaVita HealthCare Partners, Inc. (a)

639

$ 46,673

Express Scripts Holding Co. (a)

1,428

122,065

HCA Holdings, Inc. (a)

470

31,988

Humana, Inc.

587

99,003

McKesson Corp.

1,699

321,706

UnitedHealth Group, Inc.

4,744

534,696

 

1,363,042

Life Sciences Tools & Services - 0.3%

Agilent Technologies, Inc.

1,142

47,758

Illumina, Inc. (a)

133

24,459

Thermo Fisher Scientific, Inc.

696

96,326

 

168,543

Pharmaceuticals - 5.7%

Allergan PLC (a)

1,255

393,932

Bristol-Myers Squibb Co.

5,274

353,411

Eli Lilly & Co.

2,831

232,255

GlaxoSmithKline PLC sponsored ADR

2,243

90,864

Johnson & Johnson

9,045

915,716

Mallinckrodt PLC (a)

1,237

84,005

Merck & Co., Inc.

1,150

60,962

Mylan N.V.

716

36,731

Novartis AG sponsored ADR

93

7,927

Pfizer, Inc.

22,236

728,674

Shire PLC sponsored ADR

709

147,727

Teva Pharmaceutical Industries Ltd. sponsored ADR

7,125

448,376

Valeant Pharmaceuticals International, Inc. (Canada) (a)

163

14,689

 

3,515,269

TOTAL HEALTH CARE

9,435,575

INDUSTRIALS - 11.8%

Aerospace & Defense - 5.3%

Honeywell International, Inc.

8,962

931,600

L-3 Communications Holdings, Inc.

223

27,297

Lockheed Martin Corp.

2,097

459,579

Northrop Grumman Corp.

3,603

671,455

Raytheon Co.

3,031

375,935

Rockwell Collins, Inc.

260

24,097

Textron, Inc.

3,003

128,138

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

2,547

$ 370,461

United Technologies Corp.

2,869

275,567

 

3,264,129

Air Freight & Logistics - 0.4%

FedEx Corp.

977

154,894

United Parcel Service, Inc. Class B

870

89,619

 

244,513

Airlines - 0.7%

American Airlines Group, Inc.

2,536

104,635

Delta Air Lines, Inc.

4,297

199,639

United Continental Holdings, Inc. (a)

2,155

120,098

 

424,372

Building Products - 0.2%

Allegion PLC

1,019

68,487

Fortune Brands Home & Security, Inc.

329

18,085

Masco Corp.

849

25,394

 

111,966

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

254

11,158

Tyco International Ltd.

3,895

137,532

Waste Connections, Inc.

318

17,331

 

166,021

Construction & Engineering - 0.0%

Fluor Corp.

767

37,276

Electrical Equipment - 0.3%

Eaton Corp. PLC

1,558

90,613

Emerson Electric Co.

633

31,650

Sensata Technologies Holding BV (a)

1,234

56,530

 

178,793

Industrial Conglomerates - 2.9%

Danaher Corp.

8,289

798,977

General Electric Co.

30,274

906,404

Roper Industries, Inc.

249

48,179

 

1,753,560

Machinery - 0.5%

Cummins, Inc.

61

6,123

Deere & Co.

716

56,972

Flowserve Corp.

1,757

81,244

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Illinois Tool Works, Inc.

240

$ 22,555

PACCAR, Inc.

1,005

52,220

Pentair PLC

1,038

58,855

Stanley Black & Decker, Inc.

356

38,861

 

316,830

Professional Services - 0.1%

Equifax, Inc.

125

13,938

Nielsen Holdings PLC

837

39,071

 

53,009

Road & Rail - 1.1%

Canadian National Railway Co.

651

38,857

Canadian Pacific Railway Ltd.

1,677

247,246

CSX Corp.

2,895

82,305

Norfolk Southern Corp.

851

80,896

Union Pacific Corp.

2,446

205,342

 

654,646

Trading Companies & Distributors - 0.0%

AerCap Holdings NV (a)

191

8,679

TOTAL INDUSTRIALS

7,213,794

INFORMATION TECHNOLOGY - 18.3%

Communications Equipment - 1.1%

Cisco Systems, Inc.

16,361

445,837

QUALCOMM, Inc.

5,100

248,829

 

694,666

Electronic Equipment & Components - 0.2%

Keysight Technologies, Inc. (a)

580

17,870

TE Connectivity Ltd.

1,461

98,018

 

115,888

Internet Software & Services - 4.5%

Akamai Technologies, Inc. (a)

770

44,360

Alphabet, Inc.:

Class A (a)

507

386,765

Class C

1,814

1,347,076

eBay, Inc. (a)

4,379

129,575

Facebook, Inc. Class A (a)

6,253

651,813

LinkedIn Corp. Class A (a)

105

25,527

Twitter, Inc. (a)

772

19,609

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Velti PLC (a)(d)

976

$ 3

VeriSign, Inc. (a)

820

73,341

Yahoo!, Inc. (a)

2,966

100,280

 

2,778,349

IT Services - 3.7%

Accenture PLC Class A

1,641

175,948

Alliance Data Systems Corp. (a)

1,000

286,850

Amdocs Ltd.

1,042

58,946

ASAC II LP (a)(d)

1,527

39,501

Automatic Data Processing, Inc.

861

74,270

Cognizant Technology Solutions Corp. Class A (a)

1,746

112,757

Fidelity National Information Services, Inc.

1,377

87,674

First Data Corp.

1,218

18,416

First Data Corp. Class A (a)

115

1,932

IBM Corp.

1,228

171,208

MasterCard, Inc. Class A

3,713

363,577

PayPal Holdings, Inc. (a)

3,405

120,060

Sabre Corp.

3,818

111,715

Vantiv, Inc. (a)

4,177

220,170

Visa, Inc. Class A

5,086

401,845

Xerox Corp.

2,992

31,566

 

2,276,435

Semiconductors & Semiconductor Equipment - 2.0%

Analog Devices, Inc.

4,802

295,947

Applied Materials, Inc.

7,631

143,234

Avago Technologies Ltd.

997

130,059

Broadcom Corp. Class A

894

48,839

Intel Corp.

3,059

106,361

KLA-Tencor Corp.

152

10,103

Lam Research Corp.

1,827

142,871

Microchip Technology, Inc.

1,640

79,179

Micron Technology, Inc. (a)

3,553

56,599

NXP Semiconductors NV (a)

1,290

120,563

Texas Instruments, Inc.

610

35,453

Xilinx, Inc.

720

35,777

 

1,204,985

Software - 3.5%

Adobe Systems, Inc. (a)

1,007

92,100

Electronic Arts, Inc. (a)

1,657

112,328

Microsoft Corp.

25,720

1,397,882

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Oracle Corp.

7,418

$ 289,079

Red Hat, Inc. (a)

1,384

112,671

Salesforce.com, Inc. (a)

1,574

125,432

 

2,129,492

Technology Hardware, Storage & Peripherals - 3.3%

Apple, Inc.

14,741

1,743,860

EMC Corp.

3,665

92,871

HP, Inc.

600

7,524

SanDisk Corp.

246

18,172

Seagate Technology LLC

1,941

69,760

Western Digital Corp.

1,306

81,507

 

2,013,694

TOTAL INFORMATION TECHNOLOGY

11,213,509

MATERIALS - 3.2%

Chemicals - 2.3%

Air Products & Chemicals, Inc.

270

36,960

Airgas, Inc.

703

97,155

Ashland, Inc.

783

88,205

Axiall Corp.

350

7,294

Celanese Corp. Class A

1,001

70,821

CF Industries Holdings, Inc.

2,587

119,364

E.I. du Pont de Nemours & Co.

3,206

215,892

Ecolab, Inc.

652

77,692

LyondellBasell Industries NV Class A

2,185

209,367

Monsanto Co.

1,529

145,500

PPG Industries, Inc.

261

27,598

Praxair, Inc.

42

4,738

RPM International, Inc.

993

46,651

Syngenta AG:

sponsored ADR

140

10,361

(Switzerland)

93

34,252

The Dow Chemical Co.

4,204

219,155

The Mosaic Co.

973

30,786

 

1,441,791

Construction Materials - 0.3%

Martin Marietta Materials, Inc.

597

93,968

Vulcan Materials Co.

1,148

117,865

 

211,833

Common Stocks - continued

Shares

Value

MATERIALS - continued

Containers & Packaging - 0.4%

Ball Corp.

424

$ 29,434

Crown Holdings, Inc. (a)

676

35,091

Sealed Air Corp.

3,528

160,030

 

224,555

Metals & Mining - 0.1%

Alcoa, Inc.

2,578

24,130

Franco-Nevada Corp.

262

12,593

Freeport-McMoRan, Inc.

957

7,828

Nucor Corp.

627

25,989

Teck Resources Ltd. Class B (sub. vtg.)

518

2,203

United States Steel Corp.

651

5,254

 

77,997

Paper & Forest Products - 0.1%

International Paper Co.

864

36,141

TOTAL MATERIALS

1,992,317

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

AT&T, Inc.

6,320

212,794

Verizon Communications, Inc.

11,599

527,175

 

739,969

Wireless Telecommunication Services - 0.1%

T-Mobile U.S., Inc. (a)

1,769

62,800

TOTAL TELECOMMUNICATION SERVICES

802,769

UTILITIES - 1.6%

Electric Utilities - 0.9%

American Electric Power Co., Inc.

622

34,838

Edison International

2,518

149,468

Exelon Corp.

932

25,453

FirstEnergy Corp.

3,922

123,112

ITC Holdings Corp.

426

15,711

NextEra Energy, Inc.

342

34,152

PPL Corp.

925

31,487

Xcel Energy, Inc.

2,816

100,419

 

514,640

Common Stocks - continued

Shares

Value

UTILITIES - continued

Gas Utilities - 0.1%

Amerigas Partners LP

353

$ 13,841

Atmos Energy Corp.

600

37,386

 

51,227

Multi-Utilities - 0.6%

CMS Energy Corp.

639

22,378

DTE Energy Co.

680

54,733

NiSource, Inc.

4,600

88,274

PG&E Corp.

4,075

214,865

 

380,250

Water Utilities - 0.0%

American Water Works Co., Inc.

205

11,841

TOTAL UTILITIES

957,958

TOTAL COMMON STOCKS

(Cost $45,211,137)


58,326,732

Convertible Preferred Stocks - 0.0%

 

 

CONSUMER DISCRETIONARY - 0.0%

Internet & Catalog Retail - 0.0%

The Honest Co., Inc. Series D (d)
(Cost $6,909)

151

6,909

U.S. Treasury Obligations - 0.1%

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.1% 1/28/16 (c)
(Cost $79,987)

$ 80,000


79,992

Money Market Funds - 4.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,881,383)

2,881,383

$ 2,881,383

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $48,179,416)

61,295,016

NET OTHER ASSETS (LIABILITIES) - 0.0%

(7,324)

NET ASSETS - 100%

$ 61,287,692

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

15 CME E-mini S&P 500 Index Contracts (United States)

Dec. 2015

$ 1,559,850

$ 105,000

 

The face value of futures purchased as a percentage of net assets is 2.5%

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $79,992.

(d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $46,413 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ASAC II LP

10/10/13

$ 15,270

The Honest Co., Inc. Series D

8/12/15

$ 6,909

Velti PLC

4/19/13

$ 1,464

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 7,732,523

$ 7,725,614

$ -

$ 6,909

Consumer Staples

6,872,198

6,836,432

35,766

-

Energy

3,309,826

3,309,826

-

-

Financials

8,803,172

8,803,172

-

-

Health Care

9,435,575

9,435,575

-

-

Industrials

7,213,794

7,213,794

-

-

Information Technology

11,213,509

11,155,589

18,419

39,501

Materials

1,992,317

1,958,065

34,252

-

Telecommunication Services

802,769

802,769

-

-

Utilities

957,958

957,958

-

-

U.S. Treasury Obligations

79,992

-

79,992

-

Money Market Funds

2,881,383

2,881,383

-

-

Total Investments in Securities:

$ 61,295,016

$ 61,080,177

$ 168,429

$ 46,410

Derivative Instruments:

Assets

Futures Contracts

$ 105,000

$ 105,000

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 105,000

$ -

Total Value of Derivatives

$ 105,000

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

November 30, 2015 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $48,179,416)

 

$ 61,295,016

Receivable for investments sold

503,791

Receivable for fund shares sold

1,223

Dividends receivable

121,947

Prepaid expenses

123

Receivable from investment adviser for expense reductions

8,344

Other receivables

486

Total assets

61,930,930

Liabilities

Payable for investments purchased

$ 467,090

Payable for fund shares redeemed

18,106

Accrued management fee

30,319

Distribution and service plan fees payable

25

Payable for daily variation margin for derivative instruments

7,575

Custodian fees payable

89,425

Other affiliated payables

6,291

Other payables and accrued expenses

24,407

Total liabilities

643,238

Net Assets

$ 61,287,692

Net Assets consist of:

 

Paid in capital

$ 47,574,327

Undistributed net investment income

246,568

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

246,272

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

13,220,525

Net Assets

$ 61,287,692

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 

November 30, 2015 (Unaudited)

Core Multi-Manager:

Net Asset Value, offering price and redemption price per share ($58,112,572 ÷ 4,764,315 shares)

$ 12.20

 

 

 

Class F:

Net Asset Value, offering price and redemption price per share ($2,935,137 ÷ 239,848 shares)

$ 12.24

 

 

 

Class L:

Net Asset Value, offering price and redemption price per share ($120,296 ÷ 9,861 shares)

$ 12.20

 

 

 

Class N:

Net Asset Value, offering price and redemption price per share ($119,687 ÷ 9,826 shares)

$ 12.18

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended November 30, 2015 (Unaudited)

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 536,257

Interest

 

215

Total income

 

536,472

Expenses

Management fee

$ 181,188

Transfer agent fees

28,264

Distribution and service plan fees

147

Accounting fees and expenses

11,793

Custodian fees and expenses

87,046

Independent trustees' compensation

325

Registration fees

37,071

Audit

26,585

Legal

299

Miscellaneous

254

Total expenses before reductions

372,972

Expense reductions

(81,493)

291,479

Net investment income (loss)

244,993

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

624,716

 

Foreign currency transactions

(3,630)

Futures contracts

(76,270)

Total net realized gain (loss)

 

544,816

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,319,908)

Assets and liabilities in foreign currencies

(8)

Futures contracts

68,159

Total change in net unrealized appreciation (depreciation)

 

(1,251,757)

Net gain (loss)

(706,941)

Net increase (decrease) in net assets resulting from operations

$ (461,948)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended November 30, 2015 (Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 244,993

$ 467,085

Net realized gain (loss)

544,816

6,941,722

Change in net unrealized appreciation (depreciation)

(1,251,757)

(1,350,852)

Net increase (decrease) in net assets resulting from operations

(461,948)

6,057,955

Distributions to shareholders from net investment income

(207,624)

(502,834)

Distributions to shareholders from net realized gain

(3,474,996)

(10,159,157)

Total distributions

(3,682,620)

(10,661,991)

Share transactions - net increase (decrease)

1,886,502

5,466,347

Total increase (decrease) in net assets

(2,258,066)

862,311

Net Assets

Beginning of period

63,545,758

62,683,447

End of period (including undistributed net investment income of $246,568 and undistributed net investment income of $209,199, respectively)

$ 61,287,692

$ 63,545,758

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.28

$ 13.02

$ 10.61

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss)D

  .05

  .10

  .11

  .13

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  2.27

  2.60

  .57

Total from investment operations

  (.09)

  1.38

  2.38

  2.73

  .62

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.12)

  (.01)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.20)

  -

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.32)

  (.01)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.28

$ 13.02

$ 10.61

Total ReturnB, C

  (.67)%

  10.70%

  19.49%

  26.33%

  6.24%

Ratios to Average Net AssetsF

 

 

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.21%

  1.03%

  1.10%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .96%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .80%

  1.12%

  .90%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 58,113

$ 60,606

$ 60,938

$ 67,623

$ 53,266

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

  77%A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class F

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 13.10

$ 14.30

$ 13.02

$ 11.62

Income from Investment Operations

 

 

 

 

Net investment income (loss)D

  .05

  .11

  .12

  .06

Net realized and unrealized gain (loss)

  (.13)

  1.28

  2.28

  1.46

Total from investment operations

  (.08)

  1.39

  2.40

  1.52

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.08)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.04)

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.12)

Net asset value, end of period

$ 12.24

$ 13.10

$ 14.30

$ 13.02

Total ReturnB, C

  (.59)%

  10.78%

  19.66%

  13.22%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.14%A

  1.05%

  1.11%

  .96%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .86%A

Net investment income (loss)

  .90%A

  .88%

  .90%

  1.02%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,935

$ 2,698

$ 1,527

$ 285

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.29

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .05

  .10

  .07

Net realized and unrealized gain (loss)

  (.14)

  1.27

  1.19

Total from investment operations

  (.09)

  1.37

  1.26

Distributions from net investment income

  (.04)

  (.12)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.78)

  (2.59)

  (.47)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.29

Total ReturnB, C

  (.67)%

  10.62%

  9.50%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.19%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .90%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.06

$ 14.27

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .03

  .07

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  1.18

Total from investment operations

  (.11)

  1.35

  1.23

Distributions from net investment income

  (.03)

  (.09)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.77)

  (2.56)

  (.46)H

Net asset value, end of period

$ 12.18

$ 13.06

$ 14.27

Total ReturnB, C

  (.86)%

  10.43%

  9.32%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.48%A

  1.39%

  1.45%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .55%A

  .53%

  .65%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Core Multi-Manager Fund (the Fund) is a diversified fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may 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 Underlying Funds and distributions from ETFs, if any, are recorded on

Semiannual Report

2. Significant Accounting Policies - continued

Investment Transactions and Income - continued

the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation, partnerships and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 14,083,173

Gross unrealized depreciation

(1,436,463)

Net unrealized appreciation (depreciation) on securities

$ 12,646,710

Tax cost

$ 48,648,306

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 risks:

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 for derivative instruments 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 included in the Statement of Operations.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Futures Contracts - continued

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(76,270) and a change in net unrealized appreciation (depreciation) of $68,159 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $35,941,292 and $37,601,717, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. AllianceBernstein, L.P. (AB), Cornerstone Investment Partners, LLC (through June 29, 2015), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc., OppenheimerFunds, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Sub-Advisers - continued

Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., Robeco Investment Management, Inc. (d/b/a Boston Partners) and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 147

$ 147

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Core Multi-Manager

$ 28,148

.10

Class L

58

.10

Class N

58

.10

 

$ 28,264

 

A Annualized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1,042 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Core Multi-Manager

.97%

$ 74,381

Class F

.87%

3,758

Class L

.97%

154

Class N

1.22%

153

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. During the period, these credits reduced the Fund's expenses by $18.

Semiannual Report

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of the fund-level operating expenses in the amount of $1,629 and a portion of class-level operating expenses as follows:

 

Amount

Core Multi-Manager

$ 1,396

Class L

2

Class N

2

 

$ 1,400

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Core Multi-Manager

$ 197,107

$ 484,614

Class F

9,822

16,549

Class L

408

976

Class N

287

695

Total

$ 207,624

$ 502,834

From net realized gain

 

 

Core Multi-Manager

$ 3,297,069

$ 9,798,347

Class F

164,303

321,329

Class L

6,821

19,746

Class N

6,803

19,735

Total

$ 3,474,996

$ 10,159,157

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Core Multi-Manager

 

 

 

 

Shares sold

23,792

95,933

$ 289,688

$ 1,251,118

Reinvestment of distributions

287,114

796,463

3,494,176

10,282,961

Shares redeemed

(183,434)

(521,747)

(2,328,909)

(7,398,943)

Net increase (decrease)

127,472

370,649

$ 1,454,955

$ 4,135,136

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

54,185

90,367

$ 667,925

$ 1,178,800

Reinvestment of distributions

14,273

26,179

174,125

337,878

Shares redeemed

(34,543)

(17,383)

(424,822)

(226,619)

Net increase (decrease)

33,915

99,163

$ 417,228

$ 1,290,059

Class L

 

 

 

 

Reinvestment of distributions

594

1,605

7,229

20,722

Net increase (decrease)

594

1,605

$ 7,229

$ 20,722

Class N

 

 

 

 

Reinvestment of distributions

583

1,583

7,090

20,430

Net increase (decrease)

583

1,583

$ 7,090

$ 20,430

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Core Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management (Aristotle), Brandywine Global Investment Management (Brandywine), ClariVest Asset Management (ClariVest), First Eagle Investment Management, LLC (First Eagle), LSV Asset Management (LSV), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management (MSIM), OppenheimerFunds, Inc. (OppenheimerFunds), Pyramis Global Advisors, LLC (Pyramis), Robeco Investment Management, Inc. (dba Boston Partners), T. Rowe Price Associates, Inc. (T. Rowe Price), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders. In connection with a corporate reorganization involving First Eagle, in addition to renewing the existing sub-advisory agreement with First Eagle, the Board prospectively approved a new sub-advisory agreement with First Eagle (together with the Sub-Advisory Agreements and the management contract, the Advisory Contracts) to take effect upon the consummation of a transaction that would result in a change in control of First Eagle, effectively terminating the existing sub-advisory agreement. The Board noted that the reorganization would not result in any changes to the personnel that currently provide services to the fund or the nature, extent and quality of the services provided to the fund. In addition, the Board noted that the terms of the prospective sub-advisory agreement with First Eagle are identical to those of the current sub-advisory agreement.

Semiannual Report

In considering whether to renew the Advisory Contracts for the fund and prospectively approve a new sub-advisory agreement with First Eagle, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of a new sub-advisory agreement with First Eagle is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the new sub-advisory agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve a new sub-advisory agreement with First Eagle was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, AB, Aristotle, Brandywine, ClariVest, First Eagle, LSV, MFS, MSIM, OppenheimerFunds, Pyramis, Boston Partners, T. Rowe Price, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

two1406338

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class out-performed 52% of its peers and under-performed 53% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.05% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

two1406340

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for the retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Semiannual Report

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses of the fund because Strategic Advisers has not allocated any assets of the fund to Waddell & Reed. The Board considered that to the extent Strategic Advisers allocates assets of the fund to Waddell & Reed in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to Waddell & Reed, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Semiannual Report

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Semiannual Report

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to MSIM. The Board considered that to the extent Strategic Advisers allocates assets of the fund to MSIM in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to MSIM, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

AllianceBernstein L.P.

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

ClariVest Asset Management LLC

FIAM LLC

First Eagle Investment Management, LLC

JP Morgan Investment Management Inc.

Loomis, Sayles & Company, L.P.

LSV Asset Management

Massachusetts Financial Services
Company

Morgan Stanley Investment
Management, Inc.

OppenheimerFunds, Inc.

Robeco Investment Management, Inc.
doing business as Boston Partners

T. Rowe Price Associates, Inc.

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMC-L-MMC-N-SANN-0116
1.9585622.102

Strategic Advisers®
Growth Multi-Manager Fund Class L and Class N

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan participants) or 1-877-208-0098 (Advisors and Investment Professionals) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Growth Multi-Manager

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.70

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class F

.76%

 

 

 

Actual

 

$ 1,000.00

$ 1,006.20

$ 3.81

HypotheticalA

 

$ 1,000.00

$ 1,021.20

$ 3.84

Class L

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.90

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class N

1.10%

 

 

 

Actual

 

$ 1,000.00

$ 1,004.90

$ 5.51

HypotheticalA

 

$ 1,000.00

$ 1,019.50

$ 5.55

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Fidelity Blue Chip Growth Fund

4.7

5.0

Apple, Inc.

4.6

5.7

Amazon.com, Inc.

2.5

1.2

Gilead Sciences, Inc.

2.4

2.5

Home Depot, Inc.

2.4

2.0

Alphabet, Inc. Class A

2.4

1.7

Alphabet, Inc. Class C

2.1

1.5

Facebook, Inc. Class A

2.1

1.6

Visa, Inc. Class A

1.8

1.7

Microsoft Corp.

1.6

0.9

 

26.6

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

30.1

30.1

Consumer Discretionary

19.4

18.1

Health Care

16.6

17.4

Consumer Staples

8.5

8.2

Industrials

7.1

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

two1406348

Stocks 91.5%

 

two1406350

Stocks 92.0%

 

two1406352

Large Growth Funds 4.7%

 

two1406354

Large Growth Funds 5.1%

 

two1406356

Short-Term
Investments and
Net Other Assets (Liabilities) 3.8%

 

two1406358

Short-Term
Investments and
Net Other Assets (Liabilities) 2.9%

 

two1406360

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 91.3%

Shares

Value

CONSUMER DISCRETIONARY - 19.2%

Auto Components - 0.5%

Lear Corp.

2,773

$ 349,121

Automobiles - 0.5%

General Motors Co.

2,744

99,333

Tesla Motors, Inc. (a)

861

198,254

 

297,587

Hotels, Restaurants & Leisure - 3.2%

Brinker International, Inc.

2,867

130,793

Carnival Corp. unit

2,172

109,751

Chipotle Mexican Grill, Inc. (a)

77

44,625

Darden Restaurants, Inc.

1,825

102,510

Domino's Pizza, Inc.

858

92,209

Dunkin' Brands Group, Inc.

2,858

121,236

Hilton Worldwide Holdings, Inc.

5,980

138,856

Las Vegas Sands Corp.

1,276

56,221

Marriott International, Inc. Class A

2,480

175,857

McDonald's Corp.

3,480

397,277

Norwegian Cruise Line Holdings Ltd. (a)

1,967

112,984

Starbucks Corp.

4,440

272,572

Wyndham Worldwide Corp.

1,639

124,433

Yum! Brands, Inc.

3,264

236,673

 

2,115,997

Household Durables - 0.4%

D.R. Horton, Inc.

5,800

187,398

Mohawk Industries, Inc. (a)

436

83,154

 

270,552

Internet & Catalog Retail - 3.3%

Amazon.com, Inc. (a)

2,511

1,669,313

Expedia, Inc.

873

107,475

Priceline Group, Inc. (a)

273

340,936

TripAdvisor, Inc. (a)

316

26,029

Vipshop Holdings Ltd. ADR (a)

1,931

31,919

Zalando SE (a)

987

33,474

 

2,209,146

Media - 3.1%

Charter Communications, Inc. Class A (a)

772

144,642

Comcast Corp. Class A

12,853

782,234

Omnicom Group, Inc.

2,095

154,862

The Walt Disney Co.

4,997

567,010

Time Warner Cable, Inc.

566

104,580

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Twenty-First Century Fox, Inc. Class A

4,700

$ 138,697

Viacom, Inc. Class B (non-vtg.)

3,870

192,687

 

2,084,712

Multiline Retail - 0.0%

Target Corp.

179

12,978

Specialty Retail - 6.7%

American Eagle Outfitters, Inc.

8,379

130,461

AutoNation, Inc. (a)

1,654

105,724

AutoZone, Inc. (a)

924

724,203

Best Buy Co., Inc.

4,084

129,790

Dick's Sporting Goods, Inc.

1,074

41,918

Foot Locker, Inc.

2,002

130,130

GameStop Corp. Class A

2,212

77,486

Home Depot, Inc.

11,944

1,599,063

L Brands, Inc.

1,709

163,056

Lowe's Companies, Inc.

4,208

322,333

O'Reilly Automotive, Inc. (a)

860

226,928

Ross Stores, Inc.

1,426

74,166

TJX Companies, Inc.

4,670

329,702

Ulta Salon, Cosmetics & Fragrance, Inc. (a)

2,263

377,921

 

4,432,881

Textiles, Apparel & Luxury Goods - 1.5%

lululemon athletica, Inc. (a)

841

40,217

Michael Kors Holdings Ltd. (a)

1,596

68,660

NIKE, Inc. Class B

5,436

719,074

Skechers U.S.A., Inc. Class A (sub. vtg.) (a)

1,975

59,645

Under Armour, Inc. Class A (sub. vtg.) (a)

1,496

128,985

 

1,016,581

TOTAL CONSUMER DISCRETIONARY

12,789,555

CONSUMER STAPLES - 8.5%

Beverages - 2.5%

Anheuser-Busch InBev SA NV ADR

1,195

153,510

Molson Coors Brewing Co. Class B

1,860

171,176

Monster Beverage Corp.

2,082

321,898

PepsiCo, Inc.

7,283

729,465

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

SABMiller PLC sponsored ADR

1,397

$ 84,938

The Coca-Cola Co.

5,232

222,988

 

1,683,975

Food & Staples Retailing - 1.5%

CVS Health Corp.

7,558

711,132

Kroger Co.

6,966

262,340

 

973,472

Food Products - 2.3%

Archer Daniels Midland Co.

5,735

209,270

Bunge Ltd.

1,508

100,448

Danone SA sponsored ADR

9,100

127,218

General Mills, Inc.

2,996

173,049

Kellogg Co.

2,490

171,237

Keurig Green Mountain, Inc.

1,097

57,483

Mead Johnson Nutrition Co. Class A

1,692

136,358

Mondelez International, Inc.

5,392

235,415

Tyson Foods, Inc. Class A

5,653

282,650

 

1,493,128

Household Products - 0.3%

Colgate-Palmolive Co.

1,671

109,751

Procter & Gamble Co.

1,454

108,817

 

218,568

Personal Products - 0.1%

Estee Lauder Companies, Inc. Class A

750

63,090

Tobacco - 1.8%

Altria Group, Inc.

2,465

141,984

Philip Morris International, Inc.

8,677

758,283

Reynolds American, Inc.

6,320

292,300

 

1,192,567

TOTAL CONSUMER STAPLES

5,624,800

ENERGY - 1.6%

Energy Equipment & Services - 0.4%

Cameron International Corp. (a)

1,248

85,226

Halliburton Co.

2,800

111,580

Schlumberger Ltd.

1,163

89,725

 

286,531

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 1.2%

Apache Corp.

2,200

$ 108,196

EOG Resources, Inc.

1,380

115,133

Marathon Petroleum Corp.

3,812

222,659

Occidental Petroleum Corp.

1,299

98,191

Tesoro Corp.

1,250

143,963

Valero Energy Corp.

1,179

84,723

 

772,865

TOTAL ENERGY

1,059,396

FINANCIALS - 4.7%

Banks - 0.7%

JPMorgan Chase & Co.

6,872

458,225

Capital Markets - 0.8%

Charles Schwab Corp.

7,140

240,689

Goldman Sachs Group, Inc.

937

178,049

Greenhill & Co., Inc.

410

10,869

SEI Investments Co.

2,268

123,357

 

552,964

Consumer Finance - 0.9%

American Express Co.

517

37,038

Capital One Financial Corp.

4,200

329,742

Discover Financial Services

2,485

141,049

LendingClub Corp.

8,191

98,456

 

606,285

Diversified Financial Services - 0.8%

CME Group, Inc.

2,200

214,830

FactSet Research Systems, Inc.

432

73,237

McGraw Hill Financial, Inc.

1,441

139,013

MSCI, Inc. Class A

1,577

110,579

 

537,659

Insurance - 0.8%

Everest Re Group Ltd.

639

117,857

FNF Group

2,617

93,819

MetLife, Inc.

1,425

72,803

Prudential Financial, Inc.

1,791

155,011

XL Group PLC Class A

2,295

87,623

 

527,113

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.6%

American Tower Corp.

2,833

$ 281,544

Extra Space Storage, Inc.

1,407

117,836

 

399,380

Real Estate Management & Development - 0.1%

Realogy Holdings Corp. (a)

1,561

64,485

TOTAL FINANCIALS

3,146,111

HEALTH CARE - 16.6%

Biotechnology - 6.1%

AbbVie, Inc.

2,090

121,534

Alexion Pharmaceuticals, Inc. (a)

1,668

297,638

Alnylam Pharmaceuticals, Inc. (a)

264

27,472

Amgen, Inc.

3,071

494,738

Biogen, Inc. (a)

1,055

302,637

BioMarin Pharmaceutical, Inc. (a)

1,742

166,135

Celgene Corp. (a)

7,858

860,058

Gilead Sciences, Inc.

15,279

1,618,963

Intrexon Corp. (a)

593

21,532

Seattle Genetics, Inc. (a)

333

13,979

Vertex Pharmaceuticals, Inc. (a)

1,220

157,819

 

4,082,505

Health Care Equipment & Supplies - 1.6%

DexCom, Inc. (a)

570

48,461

Edwards Lifesciences Corp. (a)

1,457

237,491

Hologic, Inc. (a)

3,524

142,193

Intuitive Surgical, Inc. (a)

370

192,407

Medtronic PLC

3,123

235,287

St. Jude Medical, Inc.

953

60,134

Varian Medical Systems, Inc. (a)

988

79,811

Zimmer Biomet Holdings, Inc.

284

28,687

 

1,024,471

Health Care Providers & Services - 3.4%

Aetna, Inc.

1,507

154,844

Cardinal Health, Inc.

1,431

124,282

Centene Corp. (a)

1,779

102,737

Cigna Corp.

1,125

151,853

Community Health Systems, Inc. (a)

2,654

76,807

Express Scripts Holding Co. (a)

1,427

121,980

HCA Holdings, Inc. (a)

4,616

314,165

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Laboratory Corp. of America Holdings (a)

1,240

$ 150,710

McKesson Corp.

2,063

390,629

Molina Healthcare, Inc. (a)

1,448

87,256

UnitedHealth Group, Inc.

4,960

559,042

 

2,234,305

Health Care Technology - 0.3%

athenahealth, Inc. (a)

1,193

200,126

Cerner Corp. (a)

284

16,926

 

217,052

Life Sciences Tools & Services - 1.4%

Agilent Technologies, Inc.

3,030

126,715

Illumina, Inc. (a)

1,239

227,852

Thermo Fisher Scientific, Inc.

4,216

583,494

 

938,061

Pharmaceuticals - 3.8%

Allergan PLC (a)

1,960

615,224

Bristol-Myers Squibb Co.

8,162

546,936

Eli Lilly & Co.

2,581

211,745

Endo Health Solutions, Inc. (a)

735

45,188

Merck & Co., Inc.

7,655

405,792

Novartis AG sponsored ADR

1,033

88,053

Novo Nordisk A/S Series B sponsored ADR

2,142

117,746

Pfizer, Inc.

3,389

111,058

Shire PLC sponsored ADR

1,080

225,029

Zoetis, Inc. Class A

3,149

147,058

 

2,513,829

TOTAL HEALTH CARE

11,010,223

INDUSTRIALS - 7.1%

Aerospace & Defense - 2.9%

General Dynamics Corp.

1,643

240,634

Honeywell International, Inc.

2,186

227,235

Lockheed Martin Corp.

750

164,370

Northrop Grumman Corp.

1,994

371,602

Textron, Inc.

3,018

128,778

The Boeing Co.

2,151

312,863

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

TransDigm Group, Inc. (a)

231

$ 54,200

United Technologies Corp.

4,590

440,870

 

1,940,552

Air Freight & Logistics - 1.1%

Expeditors International of Washington, Inc.

2,187

106,157

FedEx Corp.

1,643

260,481

United Parcel Service, Inc. Class B

3,387

348,895

XPO Logistics, Inc. (a)

810

24,705

 

740,238

Airlines - 1.0%

Copa Holdings SA Class A

1,627

84,035

Delta Air Lines, Inc.

7,298

339,065

JetBlue Airways Corp. (a)

3,700

91,538

United Continental Holdings, Inc. (a)

2,473

137,820

 

652,458

Building Products - 0.4%

Owens Corning

6,092

285,349

Electrical Equipment - 0.0%

SolarCity Corp. (a)

467

13,431

Industrial Conglomerates - 0.4%

Danaher Corp.

1,171

112,873

Roper Industries, Inc.

878

169,884

 

282,757

Machinery - 0.1%

Caterpillar, Inc.

967

70,253

Professional Services - 0.3%

IHS, Inc. Class A (a)

390

48,091

Verisk Analytics, Inc. (a)

1,587

118,946

 

167,037

Road & Rail - 0.9%

Canadian Pacific Railway Ltd.

1,863

274,669

Union Pacific Corp.

3,863

324,299

 

598,968

TOTAL INDUSTRIALS

4,751,043

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 30.1%

Communications Equipment - 1.4%

Cisco Systems, Inc.

9,444

$ 257,349

Harris Corp.

1,490

123,864

Juniper Networks, Inc.

6,290

189,518

Palo Alto Networks, Inc. (a)

264

49,458

QUALCOMM, Inc.

7,141

348,409

 

968,598

Electronic Equipment & Components - 0.1%

Keysight Technologies, Inc. (a)

2,155

66,396

Internet Software & Services - 8.4%

Alibaba Group Holding Ltd. sponsored ADR (a)

1,709

143,693

Alphabet, Inc.:

Class A (a)

2,047

1,561,554

Class C

1,920

1,425,792

Autohome, Inc. ADR Class A (a)

1,474

44,662

Dropbox, Inc. (a)(e)

1,441

19,454

eBay, Inc. (a)

4,110

121,615

Facebook, Inc. Class A (a)

13,440

1,400,986

LinkedIn Corp. Class A (a)

1,844

448,295

MercadoLibre, Inc.

458

56,444

Pandora Media, Inc. (a)

2,382

32,872

SurveyMonkey (e)

1,159

19,054

Twitter, Inc. (a)

6,454

163,932

Yelp, Inc. (a)

805

24,255

Zillow Group, Inc. (a)

1,596

41,544

Zillow Group, Inc. Class C (a)

3,193

78,707

 

5,582,859

IT Services - 7.3%

Accenture PLC Class A

1,671

179,165

Alliance Data Systems Corp. (a)

1,881

539,565

Amdocs Ltd.

1,849

104,598

Automatic Data Processing, Inc.

362

31,226

Cognizant Technology Solutions Corp. Class A (a)

8,588

554,613

Fidelity National Information Services, Inc.

4,972

316,567

Fiserv, Inc. (a)

2,049

197,196

FleetCor Technologies, Inc. (a)

2,508

385,505

Gartner, Inc. Class A (a)

487

45,437

Global Payments, Inc.

1,960

138,866

IBM Corp.

531

74,032

MasterCard, Inc. Class A

7,200

705,024

PayPal Holdings, Inc. (a)

3,810

134,341

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Vantiv, Inc. (a)

3,926

$ 206,939

Visa, Inc. Class A

15,468

1,222,127

 

4,835,201

Semiconductors & Semiconductor Equipment - 2.1%

Analog Devices, Inc.

4,146

255,518

Applied Materials, Inc.

3,407

63,949

ARM Holdings PLC sponsored ADR

1,551

78,636

Avago Technologies Ltd.

1,158

151,061

Broadcom Corp. Class A

1,338

73,095

Lam Research Corp.

4,498

351,744

NXP Semiconductors NV (a)

3,007

281,034

Skyworks Solutions, Inc.

1,602

132,998

 

1,388,035

Software - 5.9%

Activision Blizzard, Inc.

4,420

166,457

Adobe Systems, Inc. (a)

2,840

259,746

Aspen Technology, Inc. (a)

3,434

150,924

Autodesk, Inc. (a)

1,558

98,886

Electronic Arts, Inc. (a)

6,120

414,875

FireEye, Inc. (a)

1,253

28,669

Intuit, Inc.

1,731

173,446

Microsoft Corp.

19,752

1,073,521

Mobileye NV (a)

487

21,233

NetSuite, Inc. (a)

440

37,576

Oracle Corp.

15,174

591,331

Salesforce.com, Inc. (a)

1,033

82,320

ServiceNow, Inc. (a)

1,661

144,524

SolarWinds, Inc. (a)

3,432

200,532

Splunk, Inc. (a)

2,469

146,906

Synopsys, Inc. (a)

2,639

132,161

Tableau Software, Inc. (a)

510

49,485

Workday, Inc. Class A (a)

1,718

143,814

 

3,916,406

Technology Hardware, Storage & Peripherals - 4.9%

3D Systems Corp. (a)

682

6,220

Apple, Inc.

25,817

3,054,151

NCR Corp. (a)

5,577

151,192

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

Stratasys Ltd. (a)

234

$ 5,850

Western Digital Corp.

946

59,040

 

3,276,453

TOTAL INFORMATION TECHNOLOGY

20,033,948

MATERIALS - 2.4%

Chemicals - 2.4%

Ashland, Inc.

2,467

277,908

FMC Corp.

1,320

56,720

LyondellBasell Industries NV Class A

4,231

405,414

Monsanto Co.

4,459

424,318

PPG Industries, Inc.

2,410

254,833

Sherwin-Williams Co.

541

149,354

 

1,568,547

Metals & Mining - 0.0%

Freeport-McMoRan, Inc.

3,690

30,184

TOTAL MATERIALS

1,598,731

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

3,865

130,135

Verizon Communications, Inc.

9,840

447,228

 

577,363

Wireless Telecommunication Services - 0.2%

SBA Communications Corp. Class A (a)

1,110

116,728

TOTAL TELECOMMUNICATION SERVICES

694,091

UTILITIES - 0.1%

Independent Power and Renewable Electricity Producers - 0.1%

The AES Corp.

5,447

54,416

TOTAL COMMON STOCKS

(Cost $42,418,675)


60,762,314

Preferred Stocks - 0.2%

Shares

Value

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Diversified Consumer Services - 0.1%

Airbnb, Inc. Series D (a)(e)

783

$ 72,893

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Dropbox, Inc. Series A (a)(e)

144

1,944

TOTAL CONVERTIBLE PREFERRED STOCKS

74,837

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Internet & Catalog Retail - 0.1%

Flipkart Series D (a)(e)

365

37,949

INFORMATION TECHNOLOGY - 0.0%

IT Services - 0.0%

Palantir Technologies, Inc.:

Series G (a)(e)

1,489

11,465

Series H (a)(e)

655

5,044

Series H1 (a)(e)

655

5,044

 

21,553

TOTAL NONCONVERTIBLE PREFERRED STOCKS

59,502

TOTAL PREFERRED STOCKS

(Cost $50,711)


134,339

Equity Funds - 4.7%

 

 

 

 

Large Growth Funds - 4.7%

Fidelity Blue Chip Growth Fund (c)
(Cost $2,908,558)

44,949


3,129,813

U.S. Treasury Obligations - 0.1%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (d)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 3.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,448,782)

2,448,782

$ 2,448,782

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $47,896,718)

66,545,243

NET OTHER ASSETS (LIABILITIES) - 0.0%

(14,887)

NET ASSETS - 100%

$ 66,530,356

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Growth Index Contracts (United States)

Dec. 2015

$ 1,728,730

$ 86,383

 

The face value of futures purchased as a percentage of net assets is 2.6%

For the period the average monthly notional amount for futures in the aggregate was $1,352,407.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Affiliated Fund

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,995.

(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $172,847 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Airbnb, Inc. Series D

4/16/14

$ 31,878

Dropbox, Inc.

5/1/12

$ 13,044

Dropbox, Inc. Series A

5/25/12

$ 1,303

Flipkart Series D

10/4/13

$ 8,376

Palantir Technologies, Inc. Series G

7/19/12

$ 4,556

Palantir Technologies, Inc. Series H

10/25/13

$ 2,299

Palantir Technologies, Inc. Series H1

10/25/13

$ 2,299

SurveyMonkey

11/25/14

$ 19,066

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Fidelity Blue Chip Growth Fund

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Total

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 12,900,397

$ 12,789,555

$ -

$ 110,842

Consumer Staples

5,624,800

5,624,800

-

-

Energy

1,059,396

1,059,396

-

-

Financials

3,146,111

3,146,111

-

-

Health Care

11,010,223

11,010,223

-

-

Industrials

4,751,043

4,751,043

-

-

Information Technology

20,057,445

19,995,440

-

62,005

Materials

1,598,731

1,598,731

-

-

Telecommunication Services

694,091

694,091

-

-

Utilities

54,416

54,416

-

-

Equity Funds

3,129,813

3,129,813

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

2,448,782

2,448,782

-

-

Total Investments in Securities:

$ 66,545,243

$ 66,302,401

$ 69,995

$ 172,847

Derivative Instruments:

Assets

Futures Contracts

$ 86,383

$ 86,383

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 86,383

$ -

Total Value of Derivatives

$ 86,383

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $44,988,160)

$ 63,415,430

 

Affiliated issuers (cost $2,908,558)

3,129,813

 

Total Investments (cost $47,896,718)

 

$ 66,545,243

Foreign currency held at value (cost $20,624)

17,051

Receivable for investments sold

4,154

Receivable for fund shares sold

6,808

Dividends receivable

69,540

Interest receivable

19

Prepaid expenses

125

Other receivables

488

Total assets

66,643,428

 

 

 

Liabilities

Payable for investments purchased

$ 5,433

Payable for fund shares redeemed

31,482

Accrued management fee

27,797

Distribution and service plan fees payable

26

Payable for daily variation margin for derivative instruments

9,690

Other affiliated payables

6,760

Audit fees payable

21,512

Custody fees payable

9,885

Other payables and accrued expenses

487

Total liabilities

113,072

 

 

 

Net Assets

$ 66,530,356

Net Assets consist of:

 

Paid in capital

$ 46,458,705

Undistributed net investment income

113,396

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

1,227,014

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

18,731,241

Net Assets

$ 66,530,356

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Growth Multi-Manager:
Net Asset Value,
offering price and redemption price per share ($63,800,835 ÷ 4,674,073 shares)

$ 13.65

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,481,319 ÷ 181,753 shares)

$ 13.65

 

 

 

Class L:
Net Asset Value
, offering price and redemption price per share ($124,419 ÷ 9,120 shares)

$ 13.64

 

 

 

Class N:
Net Asset Value
, offering price and redemption price per share ($123,783 ÷ 9,088 shares)

$ 13.62

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

  Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 385,457

Affiliated issuers

 

1,168

Interest

 

117

Total income

 

386,742

 

 

 

Expenses

Management fee

$ 163,340

Transfer agent fees

29,840

Distribution and service plan fees

152

Accounting fees and expenses

12,614

Custodian fees and expenses

6,799

Independent trustees' compensation

344

Registration fees

36,994

Audit

25,488

Legal

309

Miscellaneous

164

Total expenses before reductions

276,044

Expense reductions

(1,404)

274,640

Net investment income (loss)

112,102

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

1,191,094

Foreign currency transactions

(197)

Futures contracts

(35,322)

Realized gain distributions from underlying funds:

Affiliated issuers

154,806

 

Total net realized gain (loss)

 

1,310,381

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,097,400)

Assets and liabilities in foreign currencies

(1,101)

Futures contracts

74,544

Total change in net unrealized appreciation (depreciation)

 

(1,023,957)

Net gain (loss)

286,424

Net increase (decrease) in net assets resulting from operations

$ 398,526

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 112,102

$ 238,021

Net realized gain (loss)

1,310,381

6,370,302

Change in net unrealized appreciation (depreciation)

(1,023,957)

943,010

Net increase (decrease) in net assets resulting
from operations

398,526

7,551,333

Distributions to shareholders from net investment income

(118,116)

(250,833)

Distributions to shareholders from net realized gain

(2,071,291)

(9,557,988)

Total distributions

(2,189,407)

(9,808,821)

Share transactions - net increase (decrease)

3,189,715

153,529

Total increase (decrease) in net assets

1,398,834

(2,103,959)

 

 

 

Net Assets

Beginning of period

65,131,522

67,235,481

End of period (including undistributed net investment income of $113,396 and undistributed net investment income of $119,410, respectively)

$ 66,530,356

$ 65,131,522

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 10.47

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .02

  .05

  .08

  .07

  .02

Net realized and unrealized gain (loss)

  .06

  1.71

  2.74

  2.22

  .46

Total from investment operations

  .08

  1.76

  2.82

  2.29

  .48

Distributions from net investment income

  (.03)

  (.06)

  (.07)

  (.06)

  (.01)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

  -

Total distributions

  (.47)

  (2.45) H

  (.79) I

  (.06)

  (.01)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

$ 10.47

Total ReturnB, C

  .57%

  13.15%

  22.94%

  21.97%

  4.83%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .85% A

  .84%

  .83%

  .87%

  .91% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .80%

  .87%

  .91% A

Expenses net of all reductions

  .85% A

  .84%

  .80%

  .87%

  .91% A

Net investment income (loss)

  .34% A

  .39%

  .55%

  .60%

  .32% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 63,801

$ 62,615

$ 65,731

$ 64,621

$ 52,717

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

  50% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.

I Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 11.31

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .03

  .07

  .09

  .03

Net realized and unrealized gain (loss)

  .05

  1.70

  2.75

  1.41

Total from investment operations

  .08

  1.77

  2.84

  1.44

Distributions from net investment income

  (.03)

  (.08)

  (.08)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

Total distributions

  (.47)

  (2.46)

  (.81)

  (.05)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

Total ReturnB, C

  .62%

  13.27%

  23.05%

  12.82%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .76% A

  .74%

  .74%

  .72% A

Expenses net of fee waivers, if any

  .76% A

  .74%

  .69%

  .72% A

Expenses net of all reductions

  .76% A

  .74%

  .69%

  .72% A

Net investment income (loss)

  .43% A

  .48%

  .66%

  .64% A

Supplemental Data

 

 

 

 

Net assets, end of period
(000 omitted)

$ 2,481

$ 2,269

$ 1,286

$ 256

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.03

$ 14.72

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .02

  .05

  .05

Net realized and unrealized gain (loss)

  .06

  1.71

  1.22

Total from investment operations

  .08

  1.76

  1.27

Distributions from net investment income

  (.03)

  (.07)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.47)

  (2.45)

  (.51)

Net asset value, end of period

$ 13.64

$ 14.03

$ 14.72

Total ReturnB, C

  .59%

  13.18%

  9.28%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  .85% A

  .84%

  .85% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .85% A

Expenses net of all reductions

  .85% A

  .84%

  .85% A

Net investment income (loss)

  .34% A

  .39%

  .58% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 124

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.01

$ 14.71

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .01

  .02

  .03

Net realized and unrealized gain (loss)

  .06

  1.70

  1.23

Total from investment operations

  .07

  1.72

  1.26

Distributions from net investment income

  (.01)

  (.03)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.46) H

  (2.42) I

  (.51)

Net asset value, end of period

$ 13.62

$ 14.01

$ 14.71

Total ReturnB, C

  .49%

  12.83%

  9.17%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.10% A

  1.09%

  1.10% A

Expenses net of fee waivers, if any

  1.10% A

  1.09%

  1.10% A

Expenses net of all reductions

  1.10% A

  1.09%

  1.10% A

Net investment income (loss)

  .09% A

  .14%

  .32% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 123

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.013 and distributions from net realized gain of $.442 per share.

I Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an

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Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

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Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 20,257,485

Gross unrealized depreciation

(1,669,021)

Net unrealized appreciation (depreciation) on securities

$ 18,588,464

Tax cost

$ 47,956,779

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

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3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(35,322) and a change in net unrealized appreciation (depreciation) of $74,544 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

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Notes to Financial Statements (Unaudited) - continued

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,068,989 and $9,373,939, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.

Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and Waddell & Reed Investment Management Co. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 152

$ 152

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds , excluding exchange-traded funds. FIIOC receives

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5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Growth Multi-Manager

$ 29,726

.10

Class L

57

.09

Class N

57

.09

 

$ 29,840

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $4 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. 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. During the period, these credits reduced the Fund's expenses by $22.

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Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Reimbursement

Growth Multi-Manager

$ 1,378

Class L

2

Class N

2

 

$ 1,382

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Growth Multi-Manager

$ 112,340

$ 241,432

Class F

5,424

8,656

Class L

238

510

Class N

114

235

Total

$ 118,116

$ 250,833

From net realized gain

 

 

Growth Multi-Manager

$ 1,986,171

$ 9,260,375

Class F

77,338

260,707

Class L

3,896

18,460

Class N

3,886

18,446

Total

$ 2,071,291

$ 9,557,988

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Growth Multi-Manager

 

 

 

 

Shares sold

89,967

103,048

$ 1,237,974

$ 1,428,473

Reinvestment of distributions

154,872

696,781

2,098,511

9,501,807

Shares redeemed

(31,324)

(802,621)

(424,440)

(11,839,923)

Net increase (decrease)

213,515

(2,792)

$ 2,912,045

$ (909,643)

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9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

40,626

70,412

$ 551,125

$ 976,138

Reinvestment of distributions

6,112

19,794

82,762

269,363

Shares redeemed

(26,615)

(15,876)

(364,351)

(219,980)

Net increase (decrease)

20,123

74,330

$ 269,536

$ 1,025,521

Class L

 

 

 

 

Reinvestment of distributions

305

1,391

4,134

18,970

Net increase (decrease)

305

1,391

$ 4,134

$ 18,970

Class N

 

 

 

 

Reinvestment of distributions

296

1,371

4,000

18,681

Net increase (decrease)

296

1,371

$ 4,000

$ 18,681

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

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Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Growth Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC (ClariVest), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management Inc. (MSIM), Pyramis Global Advisors, LLC (Pyramis), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, ClariVest, MFS, MSIM, Pyramis, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

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In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Growth Multi-Manager Fund

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The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class had out-performed 56% of its peers for the one-year period and under-performed 54% of its peers for the three-year period ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

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Strategic Advisers Growth Multi-Manager Fund

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The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board noted that the total expenses of each of the retail class, Class L, and Class F were below, and the total expenses of Class N were above, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to Waddell & Reed on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to MSIM on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

ClariVest Asset Management LLC

Loomis, Sayles & Company, L.P.

Massachusetts Financial Services
Company

Morgan Stanley Investment Management
Inc.

FIAM LLC

Waddell & Reed Investment Management
Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA 

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon
New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMG-L-MMG-N-SANN-0116
1.9585627.102
Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees Contents Shareholder Expense Example Investment Changes (Unaudited) Investments November 30, 2015 (Unaudited) Financial Statements Notes to Financial Statements Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers®
Core Multi-Manager Fund

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan accounts) or 1-800-544-3455 (all other accounts) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015 to
November 30, 2015

Core Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 994.10

$ 4.34

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 991.40

$ 6.07

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

3.3

Microsoft Corp.

2.3

1.8

Alphabet, Inc. Class C

2.2

1.2

PepsiCo, Inc.

1.6

1.0

Wells Fargo & Co.

1.5

1.6

Honeywell International, Inc.

1.5

0.8

Johnson & Johnson

1.5

1.1

Citigroup, Inc.

1.5

1.6

General Electric Co.

1.5

1.1

Danaher Corp.

1.3

0.8

 

17.8

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

18.3

19.0

Health Care

15.4

14.9

Financials

14.4

14.0

Consumer Discretionary

12.6

12.7

Industrials

11.8

11.0

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

the1982521

Common Stocks 95.2%

 

the1982523

Common Stocks 95.5%

 

the1982525

Convertible Bonds 0.0%

 

the1982527

Convertible Bonds 0.0%

 

the1982529

Short-Term Investments and Net Other Assets (Liabilities) 4.8%

 

the1982531

Short-Term Investments and Net Other Assets (Liabilities) 4.5%

 

the1982533

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 95.2%

Shares

Value

CONSUMER DISCRETIONARY - 12.6%

Auto Components - 0.2%

BorgWarner, Inc.

764

$ 32,615

Delphi Automotive PLC

328

28,825

Johnson Controls, Inc.

1,864

85,744

 

147,184

Automobiles - 0.3%

Ford Motor Co.

1,808

25,909

General Motors Co.

1,253

45,359

Harley-Davidson, Inc.

1,139

55,720

Tesla Motors, Inc. (a)

123

28,322

 

155,310

Hotels, Restaurants & Leisure - 2.1%

Carnival Corp. unit

750

37,898

Chipotle Mexican Grill, Inc. (a)

153

88,671

Dunkin' Brands Group, Inc.

377

15,992

Hilton Worldwide Holdings, Inc.

1,925

44,699

Las Vegas Sands Corp.

355

15,641

McDonald's Corp.

2,321

264,965

MGM Mirage, Inc. (a)

1,257

28,584

Norwegian Cruise Line Holdings Ltd. (a)

684

39,289

Royal Caribbean Cruises Ltd.

411

38,063

Starbucks Corp.

2,996

183,924

Wyndham Worldwide Corp.

6,380

484,370

Yum! Brands, Inc.

595

43,143

 

1,285,239

Household Durables - 0.4%

D.R. Horton, Inc.

812

26,236

Harman International Industries, Inc.

349

36,003

Lennar Corp. Class A

2,750

140,828

PulteGroup, Inc.

1,190

23,181

Toll Brothers, Inc. (a)

370

13,757

 

240,005

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

839

557,767

Netflix, Inc. (a)

431

53,155

Priceline Group, Inc. (a)

208

259,761

TripAdvisor, Inc. (a)

580

47,775

 

918,458

Leisure Products - 0.1%

Mattel, Inc.

2,766

68,763

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - 4.9%

Charter Communications, Inc. Class A (a)

3,023

$ 566,389

Comcast Corp.:

Class A

12,279

747,300

Class A (special) (non-vtg.)

1,928

117,685

DISH Network Corp. Class A (a)

650

40,762

Liberty Media Corp. Class A (a)

2,565

103,908

MSG Network, Inc. Class A (a)

5,839

115,495

News Corp. Class A

2,610

37,454

The Madison Square Garden Co. (a)

1,641

266,597

The Walt Disney Co.

3,483

395,216

Time Warner Cable, Inc.

360

66,517

Time Warner, Inc.

4,264

298,395

Twenty-First Century Fox, Inc. Class A

5,897

174,020

Viacom, Inc. Class B (non-vtg.)

867

43,168

 

2,972,906

Multiline Retail - 0.2%

Dollar General Corp.

393

25,706

Target Corp.

1,579

114,478

 

140,184

Specialty Retail - 2.4%

AutoNation, Inc. (a)

2,294

146,632

AutoZone, Inc. (a)

140

109,728

Best Buy Co., Inc.

729

23,168

CarMax, Inc. (a)

1,487

85,205

Home Depot, Inc.

3,148

421,454

L Brands, Inc.

713

68,027

Lowe's Companies, Inc.

4,557

349,066

Ross Stores, Inc.

1,498

77,911

Tiffany & Co., Inc.

407

32,430

TJX Companies, Inc.

1,686

119,032

Tractor Supply Co.

328

29,307

 

1,461,960

Textiles, Apparel & Luxury Goods - 0.5%

Hanesbrands, Inc.

3,323

101,916

NIKE, Inc. Class B

1,281

169,451

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Ralph Lauren Corp.

226

$ 28,071

VF Corp.

559

36,167

 

335,605

TOTAL CONSUMER DISCRETIONARY

7,725,614

CONSUMER STAPLES - 11.2%

Beverages - 4.4%

Anheuser-Busch InBev SA NV ADR

16

2,055

Coca-Cola Enterprises, Inc.

11,163

561,499

Diageo PLC

1,247

35,766

Dr. Pepper Snapple Group, Inc.

681

61,120

Molson Coors Brewing Co. Class B

7,308

672,555

PepsiCo, Inc.

9,969

998,495

SABMiller PLC

79

4,797

The Coca-Cola Co.

8,598

366,447

 

2,702,734

Food & Staples Retailing - 2.4%

Costco Wholesale Corp.

1,137

183,535

CVS Health Corp.

6,913

650,444

Kroger Co.

9,392

353,703

Rite Aid Corp. (a)

1,688

13,301

Sysco Corp.

1,001

41,141

Wal-Mart Stores, Inc.

1,579

92,908

Walgreens Boots Alliance, Inc.

1,568

131,759

Whole Foods Market, Inc.

1,021

29,762

 

1,496,553

Food Products - 2.2%

Bunge Ltd.

443

29,508

ConAgra Foods, Inc.

1,308

53,536

General Mills, Inc.

1,276

73,702

Kellogg Co.

1,623

111,614

Keurig Green Mountain, Inc.

880

46,112

Mead Johnson Nutrition Co. Class A

1,127

90,825

Mondelez International, Inc.

17,279

754,401

The Hershey Co.

177

15,277

The Kraft Heinz Co.

737

54,310

Tyson Foods, Inc. Class A

2,214

110,700

 

1,339,985

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - 0.8%

Colgate-Palmolive Co.

693

$ 45,516

Henkel AG & Co. KGaA

282

27,068

Procter & Gamble Co.

5,523

413,341

 

485,925

Personal Products - 0.0%

Estee Lauder Companies, Inc. Class A

56

4,711

Tobacco - 1.4%

Altria Group, Inc.

1,697

97,747

British American Tobacco PLC sponsored ADR

398

46,065

Philip Morris International, Inc.

5,003

437,212

Reynolds American, Inc.

5,649

261,266

 

842,290

TOTAL CONSUMER STAPLES

6,872,198

ENERGY - 5.4%

Energy Equipment & Services - 0.5%

Baker Hughes, Inc.

994

53,746

Cameron International Corp. (a)

430

29,365

Halliburton Co.

2,147

85,558

Schlumberger Ltd.

1,888

145,659

 

314,328

Oil, Gas & Consumable Fuels - 4.9%

Anadarko Petroleum Corp.

1,235

73,977

Apache Corp.

2,012

98,950

Cabot Oil & Gas Corp.

1,126

21,203

Canadian Natural Resources Ltd.

549

13,295

Chevron Corp.

5,051

461,257

Cimarex Energy Co.

485

57,725

Columbia Pipeline Group, Inc.

1,444

27,681

Concho Resources, Inc. (a)

604

66,102

ConocoPhillips Co.

1,439

77,778

Continental Resources, Inc. (a)

815

29,585

EOG Resources, Inc.

1,623

135,407

EQT Corp.

1,192

68,206

Exxon Mobil Corp.

9,321

761,153

HollyFrontier Corp.

415

19,953

Imperial Oil Ltd.

1,337

43,430

Kinder Morgan, Inc.

1,595

37,594

Magellan Midstream Partners LP

272

17,008

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Marathon Petroleum Corp.

1,979

$ 115,593

Noble Energy, Inc.

1,136

41,657

Occidental Petroleum Corp.

4,179

315,891

Phillips 66 Co.

243

22,242

Pioneer Natural Resources Co.

287

41,543

Range Resources Corp.

744

21,264

Spectra Energy Corp.

1,300

34,060

Suncor Energy, Inc.

6,041

166,920

The Williams Companies, Inc.

905

33,087

Total SA sponsored ADR

1,190

58,846

Valero Energy Corp.

1,866

134,091

 

2,995,498

TOTAL ENERGY

3,309,826

FINANCIALS - 14.4%

Banks - 6.6%

Bank of America Corp.

25,304

441,049

BB&T Corp.

625

24,138

Citigroup, Inc.

16,907

914,500

East West Bancorp, Inc.

406

17,612

Fifth Third Bancorp

900

18,603

JPMorgan Chase & Co.

11,321

754,884

M&T Bank Corp.

832

104,275

PNC Financial Services Group, Inc.

451

43,075

Standard Chartered PLC:

rights 12/10/15 (a)

390

535

(United Kingdom)

1,368

11,480

SVB Financial Group (a)

188

24,906

U.S. Bancorp

16,550

726,380

Wells Fargo & Co.

17,007

937,086

 

4,018,523

Capital Markets - 2.1%

Ameriprise Financial, Inc.

801

90,473

Bank of New York Mellon Corp.

3,904

171,151

BlackRock, Inc. Class A

321

116,754

Charles Schwab Corp.

2,953

99,546

E*TRADE Financial Corp. (a)

1,829

55,656

Franklin Resources, Inc.

113

4,737

Goldman Sachs Group, Inc.

708

134,534

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

647

$ 21,797

LPL Financial

480

22,070

Morgan Stanley

8,302

284,759

Northern Trust Corp.

915

68,570

Och-Ziff Capital Management Group LLC Class A

1,637

10,117

State Street Corp.

2,882

209,176

TD Ameritrade Holding Corp.

699

25,604

 

1,314,944

Consumer Finance - 0.4%

American Express Co.

1,094

78,374

Discover Financial Services

1,518

86,162

Synchrony Financial (a)

3,064

97,527

 

262,063

Diversified Financial Services - 1.5%

Berkshire Hathaway, Inc. Class B (a)

2,684

359,898

CME Group, Inc.

1,607

156,924

IntercontinentalExchange, Inc.

476

123,684

McGraw Hill Financial, Inc.

2,572

248,121

 

888,627

Insurance - 2.0%

ACE Ltd.

1,425

163,661

American International Group, Inc.

3,179

202,121

Arthur J. Gallagher & Co.

273

11,944

CNA Financial Corp.

1,103

40,524

FNF Group

655

23,482

Genworth Financial, Inc. Class A (a)

2,474

12,494

Loews Corp.

2,644

100,181

Marsh & McLennan Companies, Inc.

2,890

159,817

MetLife, Inc.

4,533

231,591

The Chubb Corp.

780

101,813

Willis Group Holdings PLC

1,200

55,152

XL Group PLC Class A

2,950

112,631

 

1,215,411

Real Estate Investment Trusts - 1.8%

American Tower Corp.

1,532

152,250

AvalonBay Communities, Inc.

633

115,073

Crown Castle International Corp.

4,458

382,987

Federal Realty Investment Trust (SBI)

221

32,381

General Growth Properties, Inc.

1,080

27,508

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Iron Mountain, Inc.

922

$ 25,613

Prologis, Inc.

1,099

46,982

Public Storage

171

41,050

Simon Property Group, Inc.

864

160,911

SL Green Realty Corp.

226

26,686

Vornado Realty Trust

627

60,669

Weyerhaeuser Co.

979

31,494

 

1,103,604

TOTAL FINANCIALS

8,803,172

HEALTH CARE - 15.4%

Biotechnology - 3.4%

AbbVie, Inc.

3,051

177,416

Alexion Pharmaceuticals, Inc. (a)

957

170,767

Amgen, Inc.

2,587

416,766

Baxalta, Inc.

10,677

367,075

Biogen, Inc. (a)

544

156,052

BioMarin Pharmaceutical, Inc. (a)

264

25,178

Celgene Corp. (a)

1,222

133,748

Gilead Sciences, Inc.

3,638

385,482

Incyte Corp. (a)

328

37,471

Intercept Pharmaceuticals, Inc. (a)

100

17,651

Regeneron Pharmaceuticals, Inc. (a)

157

85,487

Vertex Pharmaceuticals, Inc. (a)

900

116,424

 

2,089,517

Health Care Equipment & Supplies - 3.8%

Abbott Laboratories

17,569

789,199

Baxter International, Inc.

2,490

93,749

Becton, Dickinson & Co.

3,355

504,089

Boston Scientific Corp. (a)

4,568

83,503

Intuitive Surgical, Inc. (a)

163

84,763

Medtronic PLC

8,717

656,739

St. Jude Medical, Inc.

111

7,004

Stryker Corp.

831

80,158

 

2,299,204

Health Care Providers & Services - 2.2%

Aetna, Inc.

1,197

122,992

Anthem, Inc.

478

62,322

Cigna Corp.

160

21,597

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

DaVita HealthCare Partners, Inc. (a)

639

$ 46,673

Express Scripts Holding Co. (a)

1,428

122,065

HCA Holdings, Inc. (a)

470

31,988

Humana, Inc.

587

99,003

McKesson Corp.

1,699

321,706

UnitedHealth Group, Inc.

4,744

534,696

 

1,363,042

Life Sciences Tools & Services - 0.3%

Agilent Technologies, Inc.

1,142

47,758

Illumina, Inc. (a)

133

24,459

Thermo Fisher Scientific, Inc.

696

96,326

 

168,543

Pharmaceuticals - 5.7%

Allergan PLC (a)

1,255

393,932

Bristol-Myers Squibb Co.

5,274

353,411

Eli Lilly & Co.

2,831

232,255

GlaxoSmithKline PLC sponsored ADR

2,243

90,864

Johnson & Johnson

9,045

915,716

Mallinckrodt PLC (a)

1,237

84,005

Merck & Co., Inc.

1,150

60,962

Mylan N.V.

716

36,731

Novartis AG sponsored ADR

93

7,927

Pfizer, Inc.

22,236

728,674

Shire PLC sponsored ADR

709

147,727

Teva Pharmaceutical Industries Ltd. sponsored ADR

7,125

448,376

Valeant Pharmaceuticals International, Inc. (Canada) (a)

163

14,689

 

3,515,269

TOTAL HEALTH CARE

9,435,575

INDUSTRIALS - 11.8%

Aerospace & Defense - 5.3%

Honeywell International, Inc.

8,962

931,600

L-3 Communications Holdings, Inc.

223

27,297

Lockheed Martin Corp.

2,097

459,579

Northrop Grumman Corp.

3,603

671,455

Raytheon Co.

3,031

375,935

Rockwell Collins, Inc.

260

24,097

Textron, Inc.

3,003

128,138

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

2,547

$ 370,461

United Technologies Corp.

2,869

275,567

 

3,264,129

Air Freight & Logistics - 0.4%

FedEx Corp.

977

154,894

United Parcel Service, Inc. Class B

870

89,619

 

244,513

Airlines - 0.7%

American Airlines Group, Inc.

2,536

104,635

Delta Air Lines, Inc.

4,297

199,639

United Continental Holdings, Inc. (a)

2,155

120,098

 

424,372

Building Products - 0.2%

Allegion PLC

1,019

68,487

Fortune Brands Home & Security, Inc.

329

18,085

Masco Corp.

849

25,394

 

111,966

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

254

11,158

Tyco International Ltd.

3,895

137,532

Waste Connections, Inc.

318

17,331

 

166,021

Construction & Engineering - 0.0%

Fluor Corp.

767

37,276

Electrical Equipment - 0.3%

Eaton Corp. PLC

1,558

90,613

Emerson Electric Co.

633

31,650

Sensata Technologies Holding BV (a)

1,234

56,530

 

178,793

Industrial Conglomerates - 2.9%

Danaher Corp.

8,289

798,977

General Electric Co.

30,274

906,404

Roper Industries, Inc.

249

48,179

 

1,753,560

Machinery - 0.5%

Cummins, Inc.

61

6,123

Deere & Co.

716

56,972

Flowserve Corp.

1,757

81,244

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Illinois Tool Works, Inc.

240

$ 22,555

PACCAR, Inc.

1,005

52,220

Pentair PLC

1,038

58,855

Stanley Black & Decker, Inc.

356

38,861

 

316,830

Professional Services - 0.1%

Equifax, Inc.

125

13,938

Nielsen Holdings PLC

837

39,071

 

53,009

Road & Rail - 1.1%

Canadian National Railway Co.

651

38,857

Canadian Pacific Railway Ltd.

1,677

247,246

CSX Corp.

2,895

82,305

Norfolk Southern Corp.

851

80,896

Union Pacific Corp.

2,446

205,342

 

654,646

Trading Companies & Distributors - 0.0%

AerCap Holdings NV (a)

191

8,679

TOTAL INDUSTRIALS

7,213,794

INFORMATION TECHNOLOGY - 18.3%

Communications Equipment - 1.1%

Cisco Systems, Inc.

16,361

445,837

QUALCOMM, Inc.

5,100

248,829

 

694,666

Electronic Equipment & Components - 0.2%

Keysight Technologies, Inc. (a)

580

17,870

TE Connectivity Ltd.

1,461

98,018

 

115,888

Internet Software & Services - 4.5%

Akamai Technologies, Inc. (a)

770

44,360

Alphabet, Inc.:

Class A (a)

507

386,765

Class C

1,814

1,347,076

eBay, Inc. (a)

4,379

129,575

Facebook, Inc. Class A (a)

6,253

651,813

LinkedIn Corp. Class A (a)

105

25,527

Twitter, Inc. (a)

772

19,609

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Velti PLC (a)(d)

976

$ 3

VeriSign, Inc. (a)

820

73,341

Yahoo!, Inc. (a)

2,966

100,280

 

2,778,349

IT Services - 3.7%

Accenture PLC Class A

1,641

175,948

Alliance Data Systems Corp. (a)

1,000

286,850

Amdocs Ltd.

1,042

58,946

ASAC II LP (a)(d)

1,527

39,501

Automatic Data Processing, Inc.

861

74,270

Cognizant Technology Solutions Corp. Class A (a)

1,746

112,757

Fidelity National Information Services, Inc.

1,377

87,674

First Data Corp.

1,218

18,416

First Data Corp. Class A (a)

115

1,932

IBM Corp.

1,228

171,208

MasterCard, Inc. Class A

3,713

363,577

PayPal Holdings, Inc. (a)

3,405

120,060

Sabre Corp.

3,818

111,715

Vantiv, Inc. (a)

4,177

220,170

Visa, Inc. Class A

5,086

401,845

Xerox Corp.

2,992

31,566

 

2,276,435

Semiconductors & Semiconductor Equipment - 2.0%

Analog Devices, Inc.

4,802

295,947

Applied Materials, Inc.

7,631

143,234

Avago Technologies Ltd.

997

130,059

Broadcom Corp. Class A

894

48,839

Intel Corp.

3,059

106,361

KLA-Tencor Corp.

152

10,103

Lam Research Corp.

1,827

142,871

Microchip Technology, Inc.

1,640

79,179

Micron Technology, Inc. (a)

3,553

56,599

NXP Semiconductors NV (a)

1,290

120,563

Texas Instruments, Inc.

610

35,453

Xilinx, Inc.

720

35,777

 

1,204,985

Software - 3.5%

Adobe Systems, Inc. (a)

1,007

92,100

Electronic Arts, Inc. (a)

1,657

112,328

Microsoft Corp.

25,720

1,397,882

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Oracle Corp.

7,418

$ 289,079

Red Hat, Inc. (a)

1,384

112,671

Salesforce.com, Inc. (a)

1,574

125,432

 

2,129,492

Technology Hardware, Storage & Peripherals - 3.3%

Apple, Inc.

14,741

1,743,860

EMC Corp.

3,665

92,871

HP, Inc.

600

7,524

SanDisk Corp.

246

18,172

Seagate Technology LLC

1,941

69,760

Western Digital Corp.

1,306

81,507

 

2,013,694

TOTAL INFORMATION TECHNOLOGY

11,213,509

MATERIALS - 3.2%

Chemicals - 2.3%

Air Products & Chemicals, Inc.

270

36,960

Airgas, Inc.

703

97,155

Ashland, Inc.

783

88,205

Axiall Corp.

350

7,294

Celanese Corp. Class A

1,001

70,821

CF Industries Holdings, Inc.

2,587

119,364

E.I. du Pont de Nemours & Co.

3,206

215,892

Ecolab, Inc.

652

77,692

LyondellBasell Industries NV Class A

2,185

209,367

Monsanto Co.

1,529

145,500

PPG Industries, Inc.

261

27,598

Praxair, Inc.

42

4,738

RPM International, Inc.

993

46,651

Syngenta AG:

sponsored ADR

140

10,361

(Switzerland)

93

34,252

The Dow Chemical Co.

4,204

219,155

The Mosaic Co.

973

30,786

 

1,441,791

Construction Materials - 0.3%

Martin Marietta Materials, Inc.

597

93,968

Vulcan Materials Co.

1,148

117,865

 

211,833

Common Stocks - continued

Shares

Value

MATERIALS - continued

Containers & Packaging - 0.4%

Ball Corp.

424

$ 29,434

Crown Holdings, Inc. (a)

676

35,091

Sealed Air Corp.

3,528

160,030

 

224,555

Metals & Mining - 0.1%

Alcoa, Inc.

2,578

24,130

Franco-Nevada Corp.

262

12,593

Freeport-McMoRan, Inc.

957

7,828

Nucor Corp.

627

25,989

Teck Resources Ltd. Class B (sub. vtg.)

518

2,203

United States Steel Corp.

651

5,254

 

77,997

Paper & Forest Products - 0.1%

International Paper Co.

864

36,141

TOTAL MATERIALS

1,992,317

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

AT&T, Inc.

6,320

212,794

Verizon Communications, Inc.

11,599

527,175

 

739,969

Wireless Telecommunication Services - 0.1%

T-Mobile U.S., Inc. (a)

1,769

62,800

TOTAL TELECOMMUNICATION SERVICES

802,769

UTILITIES - 1.6%

Electric Utilities - 0.9%

American Electric Power Co., Inc.

622

34,838

Edison International

2,518

149,468

Exelon Corp.

932

25,453

FirstEnergy Corp.

3,922

123,112

ITC Holdings Corp.

426

15,711

NextEra Energy, Inc.

342

34,152

PPL Corp.

925

31,487

Xcel Energy, Inc.

2,816

100,419

 

514,640

Common Stocks - continued

Shares

Value

UTILITIES - continued

Gas Utilities - 0.1%

Amerigas Partners LP

353

$ 13,841

Atmos Energy Corp.

600

37,386

 

51,227

Multi-Utilities - 0.6%

CMS Energy Corp.

639

22,378

DTE Energy Co.

680

54,733

NiSource, Inc.

4,600

88,274

PG&E Corp.

4,075

214,865

 

380,250

Water Utilities - 0.0%

American Water Works Co., Inc.

205

11,841

TOTAL UTILITIES

957,958

TOTAL COMMON STOCKS

(Cost $45,211,137)


58,326,732

Convertible Preferred Stocks - 0.0%

 

 

CONSUMER DISCRETIONARY - 0.0%

Internet & Catalog Retail - 0.0%

The Honest Co., Inc. Series D (d)
(Cost $6,909)

151

6,909

U.S. Treasury Obligations - 0.1%

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.1% 1/28/16 (c)
(Cost $79,987)

$ 80,000


79,992

Money Market Funds - 4.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,881,383)

2,881,383

$ 2,881,383

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $48,179,416)

61,295,016

NET OTHER ASSETS (LIABILITIES) - 0.0%

(7,324)

NET ASSETS - 100%

$ 61,287,692

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

15 CME E-mini S&P 500 Index Contracts (United States)

Dec. 2015

$ 1,559,850

$ 105,000

 

The face value of futures purchased as a percentage of net assets is 2.5%

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $79,992.

(d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $46,413 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ASAC II LP

10/10/13

$ 15,270

The Honest Co., Inc. Series D

8/12/15

$ 6,909

Velti PLC

4/19/13

$ 1,464

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 7,732,523

$ 7,725,614

$ -

$ 6,909

Consumer Staples

6,872,198

6,836,432

35,766

-

Energy

3,309,826

3,309,826

-

-

Financials

8,803,172

8,803,172

-

-

Health Care

9,435,575

9,435,575

-

-

Industrials

7,213,794

7,213,794

-

-

Information Technology

11,213,509

11,155,589

18,419

39,501

Materials

1,992,317

1,958,065

34,252

-

Telecommunication Services

802,769

802,769

-

-

Utilities

957,958

957,958

-

-

U.S. Treasury Obligations

79,992

-

79,992

-

Money Market Funds

2,881,383

2,881,383

-

-

Total Investments in Securities:

$ 61,295,016

$ 61,080,177

$ 168,429

$ 46,410

Derivative Instruments:

Assets

Futures Contracts

$ 105,000

$ 105,000

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 105,000

$ -

Total Value of Derivatives

$ 105,000

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

November 30, 2015 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $48,179,416)

 

$ 61,295,016

Receivable for investments sold

503,791

Receivable for fund shares sold

1,223

Dividends receivable

121,947

Prepaid expenses

123

Receivable from investment adviser for expense reductions

8,344

Other receivables

486

Total assets

61,930,930

Liabilities

Payable for investments purchased

$ 467,090

Payable for fund shares redeemed

18,106

Accrued management fee

30,319

Distribution and service plan fees payable

25

Payable for daily variation margin for derivative instruments

7,575

Custodian fees payable

89,425

Other affiliated payables

6,291

Other payables and accrued expenses

24,407

Total liabilities

643,238

Net Assets

$ 61,287,692

Net Assets consist of:

 

Paid in capital

$ 47,574,327

Undistributed net investment income

246,568

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

246,272

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

13,220,525

Net Assets

$ 61,287,692

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 

November 30, 2015 (Unaudited)

Core Multi-Manager:

Net Asset Value, offering price and redemption price per share ($58,112,572 ÷ 4,764,315 shares)

$ 12.20

 

 

 

Class F:

Net Asset Value, offering price and redemption price per share ($2,935,137 ÷ 239,848 shares)

$ 12.24

 

 

 

Class L:

Net Asset Value, offering price and redemption price per share ($120,296 ÷ 9,861 shares)

$ 12.20

 

 

 

Class N:

Net Asset Value, offering price and redemption price per share ($119,687 ÷ 9,826 shares)

$ 12.18

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended November 30, 2015 (Unaudited)

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 536,257

Interest

 

215

Total income

 

536,472

Expenses

Management fee

$ 181,188

Transfer agent fees

28,264

Distribution and service plan fees

147

Accounting fees and expenses

11,793

Custodian fees and expenses

87,046

Independent trustees' compensation

325

Registration fees

37,071

Audit

26,585

Legal

299

Miscellaneous

254

Total expenses before reductions

372,972

Expense reductions

(81,493)

291,479

Net investment income (loss)

244,993

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

624,716

 

Foreign currency transactions

(3,630)

Futures contracts

(76,270)

Total net realized gain (loss)

 

544,816

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,319,908)

Assets and liabilities in foreign currencies

(8)

Futures contracts

68,159

Total change in net unrealized appreciation (depreciation)

 

(1,251,757)

Net gain (loss)

(706,941)

Net increase (decrease) in net assets resulting from operations

$ (461,948)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended November 30, 2015 (Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 244,993

$ 467,085

Net realized gain (loss)

544,816

6,941,722

Change in net unrealized appreciation (depreciation)

(1,251,757)

(1,350,852)

Net increase (decrease) in net assets resulting from operations

(461,948)

6,057,955

Distributions to shareholders from net investment income

(207,624)

(502,834)

Distributions to shareholders from net realized gain

(3,474,996)

(10,159,157)

Total distributions

(3,682,620)

(10,661,991)

Share transactions - net increase (decrease)

1,886,502

5,466,347

Total increase (decrease) in net assets

(2,258,066)

862,311

Net Assets

Beginning of period

63,545,758

62,683,447

End of period (including undistributed net investment income of $246,568 and undistributed net investment income of $209,199, respectively)

$ 61,287,692

$ 63,545,758

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.28

$ 13.02

$ 10.61

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss)D

  .05

  .10

  .11

  .13

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  2.27

  2.60

  .57

Total from investment operations

  (.09)

  1.38

  2.38

  2.73

  .62

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.12)

  (.01)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.20)

  -

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.32)

  (.01)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.28

$ 13.02

$ 10.61

Total ReturnB, C

  (.67)%

  10.70%

  19.49%

  26.33%

  6.24%

Ratios to Average Net AssetsF

 

 

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.21%

  1.03%

  1.10%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .96%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .80%

  1.12%

  .90%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 58,113

$ 60,606

$ 60,938

$ 67,623

$ 53,266

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

  77%A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class F

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 13.10

$ 14.30

$ 13.02

$ 11.62

Income from Investment Operations

 

 

 

 

Net investment income (loss)D

  .05

  .11

  .12

  .06

Net realized and unrealized gain (loss)

  (.13)

  1.28

  2.28

  1.46

Total from investment operations

  (.08)

  1.39

  2.40

  1.52

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.08)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.04)

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.12)

Net asset value, end of period

$ 12.24

$ 13.10

$ 14.30

$ 13.02

Total ReturnB, C

  (.59)%

  10.78%

  19.66%

  13.22%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.14%A

  1.05%

  1.11%

  .96%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .86%A

Net investment income (loss)

  .90%A

  .88%

  .90%

  1.02%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,935

$ 2,698

$ 1,527

$ 285

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.29

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .05

  .10

  .07

Net realized and unrealized gain (loss)

  (.14)

  1.27

  1.19

Total from investment operations

  (.09)

  1.37

  1.26

Distributions from net investment income

  (.04)

  (.12)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.78)

  (2.59)

  (.47)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.29

Total ReturnB, C

  (.67)%

  10.62%

  9.50%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.19%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .90%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.06

$ 14.27

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .03

  .07

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  1.18

Total from investment operations

  (.11)

  1.35

  1.23

Distributions from net investment income

  (.03)

  (.09)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.77)

  (2.56)

  (.46)H

Net asset value, end of period

$ 12.18

$ 13.06

$ 14.27

Total ReturnB, C

  (.86)%

  10.43%

  9.32%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.48%A

  1.39%

  1.45%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .55%A

  .53%

  .65%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Core Multi-Manager Fund (the Fund) is a diversified fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may 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 Underlying Funds and distributions from ETFs, if any, are recorded on

Semiannual Report

2. Significant Accounting Policies - continued

Investment Transactions and Income - continued

the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation, partnerships and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 14,083,173

Gross unrealized depreciation

(1,436,463)

Net unrealized appreciation (depreciation) on securities

$ 12,646,710

Tax cost

$ 48,648,306

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 risks:

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 for derivative instruments 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 included in the Statement of Operations.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Futures Contracts - continued

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(76,270) and a change in net unrealized appreciation (depreciation) of $68,159 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $35,941,292 and $37,601,717, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. AllianceBernstein, L.P. (AB), Cornerstone Investment Partners, LLC (through June 29, 2015), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc., OppenheimerFunds, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Sub-Advisers - continued

Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., Robeco Investment Management, Inc. (d/b/a Boston Partners) and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 147

$ 147

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Core Multi-Manager

$ 28,148

.10

Class L

58

.10

Class N

58

.10

 

$ 28,264

 

A Annualized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1,042 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Core Multi-Manager

.97%

$ 74,381

Class F

.87%

3,758

Class L

.97%

154

Class N

1.22%

153

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. During the period, these credits reduced the Fund's expenses by $18.

Semiannual Report

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of the fund-level operating expenses in the amount of $1,629 and a portion of class-level operating expenses as follows:

 

Amount

Core Multi-Manager

$ 1,396

Class L

2

Class N

2

 

$ 1,400

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Core Multi-Manager

$ 197,107

$ 484,614

Class F

9,822

16,549

Class L

408

976

Class N

287

695

Total

$ 207,624

$ 502,834

From net realized gain

 

 

Core Multi-Manager

$ 3,297,069

$ 9,798,347

Class F

164,303

321,329

Class L

6,821

19,746

Class N

6,803

19,735

Total

$ 3,474,996

$ 10,159,157

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Core Multi-Manager

 

 

 

 

Shares sold

23,792

95,933

$ 289,688

$ 1,251,118

Reinvestment of distributions

287,114

796,463

3,494,176

10,282,961

Shares redeemed

(183,434)

(521,747)

(2,328,909)

(7,398,943)

Net increase (decrease)

127,472

370,649

$ 1,454,955

$ 4,135,136

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

54,185

90,367

$ 667,925

$ 1,178,800

Reinvestment of distributions

14,273

26,179

174,125

337,878

Shares redeemed

(34,543)

(17,383)

(424,822)

(226,619)

Net increase (decrease)

33,915

99,163

$ 417,228

$ 1,290,059

Class L

 

 

 

 

Reinvestment of distributions

594

1,605

7,229

20,722

Net increase (decrease)

594

1,605

$ 7,229

$ 20,722

Class N

 

 

 

 

Reinvestment of distributions

583

1,583

7,090

20,430

Net increase (decrease)

583

1,583

$ 7,090

$ 20,430

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Core Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management (Aristotle), Brandywine Global Investment Management (Brandywine), ClariVest Asset Management (ClariVest), First Eagle Investment Management, LLC (First Eagle), LSV Asset Management (LSV), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management (MSIM), OppenheimerFunds, Inc. (OppenheimerFunds), Pyramis Global Advisors, LLC (Pyramis), Robeco Investment Management, Inc. (dba Boston Partners), T. Rowe Price Associates, Inc. (T. Rowe Price), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders. In connection with a corporate reorganization involving First Eagle, in addition to renewing the existing sub-advisory agreement with First Eagle, the Board prospectively approved a new sub-advisory agreement with First Eagle (together with the Sub-Advisory Agreements and the management contract, the Advisory Contracts) to take effect upon the consummation of a transaction that would result in a change in control of First Eagle, effectively terminating the existing sub-advisory agreement. The Board noted that the reorganization would not result in any changes to the personnel that currently provide services to the fund or the nature, extent and quality of the services provided to the fund. In addition, the Board noted that the terms of the prospective sub-advisory agreement with First Eagle are identical to those of the current sub-advisory agreement.

Semiannual Report

In considering whether to renew the Advisory Contracts for the fund and prospectively approve a new sub-advisory agreement with First Eagle, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of a new sub-advisory agreement with First Eagle is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the new sub-advisory agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve a new sub-advisory agreement with First Eagle was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, AB, Aristotle, Brandywine, ClariVest, First Eagle, LSV, MFS, MSIM, OppenheimerFunds, Pyramis, Boston Partners, T. Rowe Price, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

the1982535

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class out-performed 52% of its peers and under-performed 53% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.05% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

the1982537

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for the retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Semiannual Report

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses of the fund because Strategic Advisers has not allocated any assets of the fund to Waddell & Reed. The Board considered that to the extent Strategic Advisers allocates assets of the fund to Waddell & Reed in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to Waddell & Reed, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Semiannual Report

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Semiannual Report

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to MSIM. The Board considered that to the extent Strategic Advisers allocates assets of the fund to MSIM in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to MSIM, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

AllianceBernstein L.P.

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

ClariVest Asset Management LLC

FIAM LLC

First Eagle Investment Management, LLC

JP Morgan Investment Management Inc.

Loomis, Sayles & Company, L.P.

LSV Asset Management

Massachusetts Financial Services
Company

Morgan Stanley Investment
Management, Inc.

OppenheimerFunds, Inc.

Robeco Investment Management, Inc.
doing business as Boston Partners

T. Rowe Price Associates, Inc.

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMC-USAN-0116
1.931544.103

Strategic Advisers®
Growth Multi-Manager Fund

Class F

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Growth Multi-Manager

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.70

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class F

.76%

 

 

 

Actual

 

$ 1,000.00

$ 1,006.20

$ 3.81

HypotheticalA

 

$ 1,000.00

$ 1,021.20

$ 3.84

Class L

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.90

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class N

1.10%

 

 

 

Actual

 

$ 1,000.00

$ 1,004.90

$ 5.51

HypotheticalA

 

$ 1,000.00

$ 1,019.50

$ 5.55

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Fidelity Blue Chip Growth Fund

4.7

5.0

Apple, Inc.

4.6

5.7

Amazon.com, Inc.

2.5

1.2

Gilead Sciences, Inc.

2.4

2.5

Home Depot, Inc.

2.4

2.0

Alphabet, Inc. Class A

2.4

1.7

Alphabet, Inc. Class C

2.1

1.5

Facebook, Inc. Class A

2.1

1.6

Visa, Inc. Class A

1.8

1.7

Microsoft Corp.

1.6

0.9

 

26.6

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

30.1

30.1

Consumer Discretionary

19.4

18.1

Health Care

16.6

17.4

Consumer Staples

8.5

8.2

Industrials

7.1

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

the1982545

Stocks 91.5%

 

the1982547

Stocks 92.0%

 

the1982549

Large Growth Funds 4.7%

 

the1982551

Large Growth Funds 5.1%

 

the1982553

Short-Term
Investments and
Net Other Assets (Liabilities) 3.8%

 

the1982555

Short-Term
Investments and
Net Other Assets (Liabilities) 2.9%

 

the1982557

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 91.3%

Shares

Value

CONSUMER DISCRETIONARY - 19.2%

Auto Components - 0.5%

Lear Corp.

2,773

$ 349,121

Automobiles - 0.5%

General Motors Co.

2,744

99,333

Tesla Motors, Inc. (a)

861

198,254

 

297,587

Hotels, Restaurants & Leisure - 3.2%

Brinker International, Inc.

2,867

130,793

Carnival Corp. unit

2,172

109,751

Chipotle Mexican Grill, Inc. (a)

77

44,625

Darden Restaurants, Inc.

1,825

102,510

Domino's Pizza, Inc.

858

92,209

Dunkin' Brands Group, Inc.

2,858

121,236

Hilton Worldwide Holdings, Inc.

5,980

138,856

Las Vegas Sands Corp.

1,276

56,221

Marriott International, Inc. Class A

2,480

175,857

McDonald's Corp.

3,480

397,277

Norwegian Cruise Line Holdings Ltd. (a)

1,967

112,984

Starbucks Corp.

4,440

272,572

Wyndham Worldwide Corp.

1,639

124,433

Yum! Brands, Inc.

3,264

236,673

 

2,115,997

Household Durables - 0.4%

D.R. Horton, Inc.

5,800

187,398

Mohawk Industries, Inc. (a)

436

83,154

 

270,552

Internet & Catalog Retail - 3.3%

Amazon.com, Inc. (a)

2,511

1,669,313

Expedia, Inc.

873

107,475

Priceline Group, Inc. (a)

273

340,936

TripAdvisor, Inc. (a)

316

26,029

Vipshop Holdings Ltd. ADR (a)

1,931

31,919

Zalando SE (a)

987

33,474

 

2,209,146

Media - 3.1%

Charter Communications, Inc. Class A (a)

772

144,642

Comcast Corp. Class A

12,853

782,234

Omnicom Group, Inc.

2,095

154,862

The Walt Disney Co.

4,997

567,010

Time Warner Cable, Inc.

566

104,580

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Twenty-First Century Fox, Inc. Class A

4,700

$ 138,697

Viacom, Inc. Class B (non-vtg.)

3,870

192,687

 

2,084,712

Multiline Retail - 0.0%

Target Corp.

179

12,978

Specialty Retail - 6.7%

American Eagle Outfitters, Inc.

8,379

130,461

AutoNation, Inc. (a)

1,654

105,724

AutoZone, Inc. (a)

924

724,203

Best Buy Co., Inc.

4,084

129,790

Dick's Sporting Goods, Inc.

1,074

41,918

Foot Locker, Inc.

2,002

130,130

GameStop Corp. Class A

2,212

77,486

Home Depot, Inc.

11,944

1,599,063

L Brands, Inc.

1,709

163,056

Lowe's Companies, Inc.

4,208

322,333

O'Reilly Automotive, Inc. (a)

860

226,928

Ross Stores, Inc.

1,426

74,166

TJX Companies, Inc.

4,670

329,702

Ulta Salon, Cosmetics & Fragrance, Inc. (a)

2,263

377,921

 

4,432,881

Textiles, Apparel & Luxury Goods - 1.5%

lululemon athletica, Inc. (a)

841

40,217

Michael Kors Holdings Ltd. (a)

1,596

68,660

NIKE, Inc. Class B

5,436

719,074

Skechers U.S.A., Inc. Class A (sub. vtg.) (a)

1,975

59,645

Under Armour, Inc. Class A (sub. vtg.) (a)

1,496

128,985

 

1,016,581

TOTAL CONSUMER DISCRETIONARY

12,789,555

CONSUMER STAPLES - 8.5%

Beverages - 2.5%

Anheuser-Busch InBev SA NV ADR

1,195

153,510

Molson Coors Brewing Co. Class B

1,860

171,176

Monster Beverage Corp.

2,082

321,898

PepsiCo, Inc.

7,283

729,465

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

SABMiller PLC sponsored ADR

1,397

$ 84,938

The Coca-Cola Co.

5,232

222,988

 

1,683,975

Food & Staples Retailing - 1.5%

CVS Health Corp.

7,558

711,132

Kroger Co.

6,966

262,340

 

973,472

Food Products - 2.3%

Archer Daniels Midland Co.

5,735

209,270

Bunge Ltd.

1,508

100,448

Danone SA sponsored ADR

9,100

127,218

General Mills, Inc.

2,996

173,049

Kellogg Co.

2,490

171,237

Keurig Green Mountain, Inc.

1,097

57,483

Mead Johnson Nutrition Co. Class A

1,692

136,358

Mondelez International, Inc.

5,392

235,415

Tyson Foods, Inc. Class A

5,653

282,650

 

1,493,128

Household Products - 0.3%

Colgate-Palmolive Co.

1,671

109,751

Procter & Gamble Co.

1,454

108,817

 

218,568

Personal Products - 0.1%

Estee Lauder Companies, Inc. Class A

750

63,090

Tobacco - 1.8%

Altria Group, Inc.

2,465

141,984

Philip Morris International, Inc.

8,677

758,283

Reynolds American, Inc.

6,320

292,300

 

1,192,567

TOTAL CONSUMER STAPLES

5,624,800

ENERGY - 1.6%

Energy Equipment & Services - 0.4%

Cameron International Corp. (a)

1,248

85,226

Halliburton Co.

2,800

111,580

Schlumberger Ltd.

1,163

89,725

 

286,531

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 1.2%

Apache Corp.

2,200

$ 108,196

EOG Resources, Inc.

1,380

115,133

Marathon Petroleum Corp.

3,812

222,659

Occidental Petroleum Corp.

1,299

98,191

Tesoro Corp.

1,250

143,963

Valero Energy Corp.

1,179

84,723

 

772,865

TOTAL ENERGY

1,059,396

FINANCIALS - 4.7%

Banks - 0.7%

JPMorgan Chase & Co.

6,872

458,225

Capital Markets - 0.8%

Charles Schwab Corp.

7,140

240,689

Goldman Sachs Group, Inc.

937

178,049

Greenhill & Co., Inc.

410

10,869

SEI Investments Co.

2,268

123,357

 

552,964

Consumer Finance - 0.9%

American Express Co.

517

37,038

Capital One Financial Corp.

4,200

329,742

Discover Financial Services

2,485

141,049

LendingClub Corp.

8,191

98,456

 

606,285

Diversified Financial Services - 0.8%

CME Group, Inc.

2,200

214,830

FactSet Research Systems, Inc.

432

73,237

McGraw Hill Financial, Inc.

1,441

139,013

MSCI, Inc. Class A

1,577

110,579

 

537,659

Insurance - 0.8%

Everest Re Group Ltd.

639

117,857

FNF Group

2,617

93,819

MetLife, Inc.

1,425

72,803

Prudential Financial, Inc.

1,791

155,011

XL Group PLC Class A

2,295

87,623

 

527,113

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.6%

American Tower Corp.

2,833

$ 281,544

Extra Space Storage, Inc.

1,407

117,836

 

399,380

Real Estate Management & Development - 0.1%

Realogy Holdings Corp. (a)

1,561

64,485

TOTAL FINANCIALS

3,146,111

HEALTH CARE - 16.6%

Biotechnology - 6.1%

AbbVie, Inc.

2,090

121,534

Alexion Pharmaceuticals, Inc. (a)

1,668

297,638

Alnylam Pharmaceuticals, Inc. (a)

264

27,472

Amgen, Inc.

3,071

494,738

Biogen, Inc. (a)

1,055

302,637

BioMarin Pharmaceutical, Inc. (a)

1,742

166,135

Celgene Corp. (a)

7,858

860,058

Gilead Sciences, Inc.

15,279

1,618,963

Intrexon Corp. (a)

593

21,532

Seattle Genetics, Inc. (a)

333

13,979

Vertex Pharmaceuticals, Inc. (a)

1,220

157,819

 

4,082,505

Health Care Equipment & Supplies - 1.6%

DexCom, Inc. (a)

570

48,461

Edwards Lifesciences Corp. (a)

1,457

237,491

Hologic, Inc. (a)

3,524

142,193

Intuitive Surgical, Inc. (a)

370

192,407

Medtronic PLC

3,123

235,287

St. Jude Medical, Inc.

953

60,134

Varian Medical Systems, Inc. (a)

988

79,811

Zimmer Biomet Holdings, Inc.

284

28,687

 

1,024,471

Health Care Providers & Services - 3.4%

Aetna, Inc.

1,507

154,844

Cardinal Health, Inc.

1,431

124,282

Centene Corp. (a)

1,779

102,737

Cigna Corp.

1,125

151,853

Community Health Systems, Inc. (a)

2,654

76,807

Express Scripts Holding Co. (a)

1,427

121,980

HCA Holdings, Inc. (a)

4,616

314,165

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Laboratory Corp. of America Holdings (a)

1,240

$ 150,710

McKesson Corp.

2,063

390,629

Molina Healthcare, Inc. (a)

1,448

87,256

UnitedHealth Group, Inc.

4,960

559,042

 

2,234,305

Health Care Technology - 0.3%

athenahealth, Inc. (a)

1,193

200,126

Cerner Corp. (a)

284

16,926

 

217,052

Life Sciences Tools & Services - 1.4%

Agilent Technologies, Inc.

3,030

126,715

Illumina, Inc. (a)

1,239

227,852

Thermo Fisher Scientific, Inc.

4,216

583,494

 

938,061

Pharmaceuticals - 3.8%

Allergan PLC (a)

1,960

615,224

Bristol-Myers Squibb Co.

8,162

546,936

Eli Lilly & Co.

2,581

211,745

Endo Health Solutions, Inc. (a)

735

45,188

Merck & Co., Inc.

7,655

405,792

Novartis AG sponsored ADR

1,033

88,053

Novo Nordisk A/S Series B sponsored ADR

2,142

117,746

Pfizer, Inc.

3,389

111,058

Shire PLC sponsored ADR

1,080

225,029

Zoetis, Inc. Class A

3,149

147,058

 

2,513,829

TOTAL HEALTH CARE

11,010,223

INDUSTRIALS - 7.1%

Aerospace & Defense - 2.9%

General Dynamics Corp.

1,643

240,634

Honeywell International, Inc.

2,186

227,235

Lockheed Martin Corp.

750

164,370

Northrop Grumman Corp.

1,994

371,602

Textron, Inc.

3,018

128,778

The Boeing Co.

2,151

312,863

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

TransDigm Group, Inc. (a)

231

$ 54,200

United Technologies Corp.

4,590

440,870

 

1,940,552

Air Freight & Logistics - 1.1%

Expeditors International of Washington, Inc.

2,187

106,157

FedEx Corp.

1,643

260,481

United Parcel Service, Inc. Class B

3,387

348,895

XPO Logistics, Inc. (a)

810

24,705

 

740,238

Airlines - 1.0%

Copa Holdings SA Class A

1,627

84,035

Delta Air Lines, Inc.

7,298

339,065

JetBlue Airways Corp. (a)

3,700

91,538

United Continental Holdings, Inc. (a)

2,473

137,820

 

652,458

Building Products - 0.4%

Owens Corning

6,092

285,349

Electrical Equipment - 0.0%

SolarCity Corp. (a)

467

13,431

Industrial Conglomerates - 0.4%

Danaher Corp.

1,171

112,873

Roper Industries, Inc.

878

169,884

 

282,757

Machinery - 0.1%

Caterpillar, Inc.

967

70,253

Professional Services - 0.3%

IHS, Inc. Class A (a)

390

48,091

Verisk Analytics, Inc. (a)

1,587

118,946

 

167,037

Road & Rail - 0.9%

Canadian Pacific Railway Ltd.

1,863

274,669

Union Pacific Corp.

3,863

324,299

 

598,968

TOTAL INDUSTRIALS

4,751,043

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 30.1%

Communications Equipment - 1.4%

Cisco Systems, Inc.

9,444

$ 257,349

Harris Corp.

1,490

123,864

Juniper Networks, Inc.

6,290

189,518

Palo Alto Networks, Inc. (a)

264

49,458

QUALCOMM, Inc.

7,141

348,409

 

968,598

Electronic Equipment & Components - 0.1%

Keysight Technologies, Inc. (a)

2,155

66,396

Internet Software & Services - 8.4%

Alibaba Group Holding Ltd. sponsored ADR (a)

1,709

143,693

Alphabet, Inc.:

Class A (a)

2,047

1,561,554

Class C

1,920

1,425,792

Autohome, Inc. ADR Class A (a)

1,474

44,662

Dropbox, Inc. (a)(e)

1,441

19,454

eBay, Inc. (a)

4,110

121,615

Facebook, Inc. Class A (a)

13,440

1,400,986

LinkedIn Corp. Class A (a)

1,844

448,295

MercadoLibre, Inc.

458

56,444

Pandora Media, Inc. (a)

2,382

32,872

SurveyMonkey (e)

1,159

19,054

Twitter, Inc. (a)

6,454

163,932

Yelp, Inc. (a)

805

24,255

Zillow Group, Inc. (a)

1,596

41,544

Zillow Group, Inc. Class C (a)

3,193

78,707

 

5,582,859

IT Services - 7.3%

Accenture PLC Class A

1,671

179,165

Alliance Data Systems Corp. (a)

1,881

539,565

Amdocs Ltd.

1,849

104,598

Automatic Data Processing, Inc.

362

31,226

Cognizant Technology Solutions Corp. Class A (a)

8,588

554,613

Fidelity National Information Services, Inc.

4,972

316,567

Fiserv, Inc. (a)

2,049

197,196

FleetCor Technologies, Inc. (a)

2,508

385,505

Gartner, Inc. Class A (a)

487

45,437

Global Payments, Inc.

1,960

138,866

IBM Corp.

531

74,032

MasterCard, Inc. Class A

7,200

705,024

PayPal Holdings, Inc. (a)

3,810

134,341

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Vantiv, Inc. (a)

3,926

$ 206,939

Visa, Inc. Class A

15,468

1,222,127

 

4,835,201

Semiconductors & Semiconductor Equipment - 2.1%

Analog Devices, Inc.

4,146

255,518

Applied Materials, Inc.

3,407

63,949

ARM Holdings PLC sponsored ADR

1,551

78,636

Avago Technologies Ltd.

1,158

151,061

Broadcom Corp. Class A

1,338

73,095

Lam Research Corp.

4,498

351,744

NXP Semiconductors NV (a)

3,007

281,034

Skyworks Solutions, Inc.

1,602

132,998

 

1,388,035

Software - 5.9%

Activision Blizzard, Inc.

4,420

166,457

Adobe Systems, Inc. (a)

2,840

259,746

Aspen Technology, Inc. (a)

3,434

150,924

Autodesk, Inc. (a)

1,558

98,886

Electronic Arts, Inc. (a)

6,120

414,875

FireEye, Inc. (a)

1,253

28,669

Intuit, Inc.

1,731

173,446

Microsoft Corp.

19,752

1,073,521

Mobileye NV (a)

487

21,233

NetSuite, Inc. (a)

440

37,576

Oracle Corp.

15,174

591,331

Salesforce.com, Inc. (a)

1,033

82,320

ServiceNow, Inc. (a)

1,661

144,524

SolarWinds, Inc. (a)

3,432

200,532

Splunk, Inc. (a)

2,469

146,906

Synopsys, Inc. (a)

2,639

132,161

Tableau Software, Inc. (a)

510

49,485

Workday, Inc. Class A (a)

1,718

143,814

 

3,916,406

Technology Hardware, Storage & Peripherals - 4.9%

3D Systems Corp. (a)

682

6,220

Apple, Inc.

25,817

3,054,151

NCR Corp. (a)

5,577

151,192

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

Stratasys Ltd. (a)

234

$ 5,850

Western Digital Corp.

946

59,040

 

3,276,453

TOTAL INFORMATION TECHNOLOGY

20,033,948

MATERIALS - 2.4%

Chemicals - 2.4%

Ashland, Inc.

2,467

277,908

FMC Corp.

1,320

56,720

LyondellBasell Industries NV Class A

4,231

405,414

Monsanto Co.

4,459

424,318

PPG Industries, Inc.

2,410

254,833

Sherwin-Williams Co.

541

149,354

 

1,568,547

Metals & Mining - 0.0%

Freeport-McMoRan, Inc.

3,690

30,184

TOTAL MATERIALS

1,598,731

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

3,865

130,135

Verizon Communications, Inc.

9,840

447,228

 

577,363

Wireless Telecommunication Services - 0.2%

SBA Communications Corp. Class A (a)

1,110

116,728

TOTAL TELECOMMUNICATION SERVICES

694,091

UTILITIES - 0.1%

Independent Power and Renewable Electricity Producers - 0.1%

The AES Corp.

5,447

54,416

TOTAL COMMON STOCKS

(Cost $42,418,675)


60,762,314

Preferred Stocks - 0.2%

Shares

Value

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Diversified Consumer Services - 0.1%

Airbnb, Inc. Series D (a)(e)

783

$ 72,893

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Dropbox, Inc. Series A (a)(e)

144

1,944

TOTAL CONVERTIBLE PREFERRED STOCKS

74,837

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Internet & Catalog Retail - 0.1%

Flipkart Series D (a)(e)

365

37,949

INFORMATION TECHNOLOGY - 0.0%

IT Services - 0.0%

Palantir Technologies, Inc.:

Series G (a)(e)

1,489

11,465

Series H (a)(e)

655

5,044

Series H1 (a)(e)

655

5,044

 

21,553

TOTAL NONCONVERTIBLE PREFERRED STOCKS

59,502

TOTAL PREFERRED STOCKS

(Cost $50,711)


134,339

Equity Funds - 4.7%

 

 

 

 

Large Growth Funds - 4.7%

Fidelity Blue Chip Growth Fund (c)
(Cost $2,908,558)

44,949


3,129,813

U.S. Treasury Obligations - 0.1%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (d)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 3.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,448,782)

2,448,782

$ 2,448,782

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $47,896,718)

66,545,243

NET OTHER ASSETS (LIABILITIES) - 0.0%

(14,887)

NET ASSETS - 100%

$ 66,530,356

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Growth Index Contracts (United States)

Dec. 2015

$ 1,728,730

$ 86,383

 

The face value of futures purchased as a percentage of net assets is 2.6%

For the period the average monthly notional amount for futures in the aggregate was $1,352,407.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Affiliated Fund

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,995.

(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $172,847 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Airbnb, Inc. Series D

4/16/14

$ 31,878

Dropbox, Inc.

5/1/12

$ 13,044

Dropbox, Inc. Series A

5/25/12

$ 1,303

Flipkart Series D

10/4/13

$ 8,376

Palantir Technologies, Inc. Series G

7/19/12

$ 4,556

Palantir Technologies, Inc. Series H

10/25/13

$ 2,299

Palantir Technologies, Inc. Series H1

10/25/13

$ 2,299

SurveyMonkey

11/25/14

$ 19,066

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Fidelity Blue Chip Growth Fund

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Total

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 12,900,397

$ 12,789,555

$ -

$ 110,842

Consumer Staples

5,624,800

5,624,800

-

-

Energy

1,059,396

1,059,396

-

-

Financials

3,146,111

3,146,111

-

-

Health Care

11,010,223

11,010,223

-

-

Industrials

4,751,043

4,751,043

-

-

Information Technology

20,057,445

19,995,440

-

62,005

Materials

1,598,731

1,598,731

-

-

Telecommunication Services

694,091

694,091

-

-

Utilities

54,416

54,416

-

-

Equity Funds

3,129,813

3,129,813

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

2,448,782

2,448,782

-

-

Total Investments in Securities:

$ 66,545,243

$ 66,302,401

$ 69,995

$ 172,847

Derivative Instruments:

Assets

Futures Contracts

$ 86,383

$ 86,383

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 86,383

$ -

Total Value of Derivatives

$ 86,383

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $44,988,160)

$ 63,415,430

 

Affiliated issuers (cost $2,908,558)

3,129,813

 

Total Investments (cost $47,896,718)

 

$ 66,545,243

Foreign currency held at value (cost $20,624)

17,051

Receivable for investments sold

4,154

Receivable for fund shares sold

6,808

Dividends receivable

69,540

Interest receivable

19

Prepaid expenses

125

Other receivables

488

Total assets

66,643,428

 

 

 

Liabilities

Payable for investments purchased

$ 5,433

Payable for fund shares redeemed

31,482

Accrued management fee

27,797

Distribution and service plan fees payable

26

Payable for daily variation margin for derivative instruments

9,690

Other affiliated payables

6,760

Audit fees payable

21,512

Custody fees payable

9,885

Other payables and accrued expenses

487

Total liabilities

113,072

 

 

 

Net Assets

$ 66,530,356

Net Assets consist of:

 

Paid in capital

$ 46,458,705

Undistributed net investment income

113,396

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

1,227,014

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

18,731,241

Net Assets

$ 66,530,356

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Growth Multi-Manager:
Net Asset Value,
offering price and redemption price per share ($63,800,835 ÷ 4,674,073 shares)

$ 13.65

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,481,319 ÷ 181,753 shares)

$ 13.65

 

 

 

Class L:
Net Asset Value
, offering price and redemption price per share ($124,419 ÷ 9,120 shares)

$ 13.64

 

 

 

Class N:
Net Asset Value
, offering price and redemption price per share ($123,783 ÷ 9,088 shares)

$ 13.62

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

  Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 385,457

Affiliated issuers

 

1,168

Interest

 

117

Total income

 

386,742

 

 

 

Expenses

Management fee

$ 163,340

Transfer agent fees

29,840

Distribution and service plan fees

152

Accounting fees and expenses

12,614

Custodian fees and expenses

6,799

Independent trustees' compensation

344

Registration fees

36,994

Audit

25,488

Legal

309

Miscellaneous

164

Total expenses before reductions

276,044

Expense reductions

(1,404)

274,640

Net investment income (loss)

112,102

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

1,191,094

Foreign currency transactions

(197)

Futures contracts

(35,322)

Realized gain distributions from underlying funds:

Affiliated issuers

154,806

 

Total net realized gain (loss)

 

1,310,381

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,097,400)

Assets and liabilities in foreign currencies

(1,101)

Futures contracts

74,544

Total change in net unrealized appreciation (depreciation)

 

(1,023,957)

Net gain (loss)

286,424

Net increase (decrease) in net assets resulting from operations

$ 398,526

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 112,102

$ 238,021

Net realized gain (loss)

1,310,381

6,370,302

Change in net unrealized appreciation (depreciation)

(1,023,957)

943,010

Net increase (decrease) in net assets resulting
from operations

398,526

7,551,333

Distributions to shareholders from net investment income

(118,116)

(250,833)

Distributions to shareholders from net realized gain

(2,071,291)

(9,557,988)

Total distributions

(2,189,407)

(9,808,821)

Share transactions - net increase (decrease)

3,189,715

153,529

Total increase (decrease) in net assets

1,398,834

(2,103,959)

 

 

 

Net Assets

Beginning of period

65,131,522

67,235,481

End of period (including undistributed net investment income of $113,396 and undistributed net investment income of $119,410, respectively)

$ 66,530,356

$ 65,131,522

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 10.47

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .02

  .05

  .08

  .07

  .02

Net realized and unrealized gain (loss)

  .06

  1.71

  2.74

  2.22

  .46

Total from investment operations

  .08

  1.76

  2.82

  2.29

  .48

Distributions from net investment income

  (.03)

  (.06)

  (.07)

  (.06)

  (.01)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

  -

Total distributions

  (.47)

  (2.45) H

  (.79) I

  (.06)

  (.01)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

$ 10.47

Total ReturnB, C

  .57%

  13.15%

  22.94%

  21.97%

  4.83%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .85% A

  .84%

  .83%

  .87%

  .91% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .80%

  .87%

  .91% A

Expenses net of all reductions

  .85% A

  .84%

  .80%

  .87%

  .91% A

Net investment income (loss)

  .34% A

  .39%

  .55%

  .60%

  .32% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 63,801

$ 62,615

$ 65,731

$ 64,621

$ 52,717

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

  50% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.

I Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 11.31

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .03

  .07

  .09

  .03

Net realized and unrealized gain (loss)

  .05

  1.70

  2.75

  1.41

Total from investment operations

  .08

  1.77

  2.84

  1.44

Distributions from net investment income

  (.03)

  (.08)

  (.08)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

Total distributions

  (.47)

  (2.46)

  (.81)

  (.05)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

Total ReturnB, C

  .62%

  13.27%

  23.05%

  12.82%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .76% A

  .74%

  .74%

  .72% A

Expenses net of fee waivers, if any

  .76% A

  .74%

  .69%

  .72% A

Expenses net of all reductions

  .76% A

  .74%

  .69%

  .72% A

Net investment income (loss)

  .43% A

  .48%

  .66%

  .64% A

Supplemental Data

 

 

 

 

Net assets, end of period
(000 omitted)

$ 2,481

$ 2,269

$ 1,286

$ 256

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.03

$ 14.72

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .02

  .05

  .05

Net realized and unrealized gain (loss)

  .06

  1.71

  1.22

Total from investment operations

  .08

  1.76

  1.27

Distributions from net investment income

  (.03)

  (.07)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.47)

  (2.45)

  (.51)

Net asset value, end of period

$ 13.64

$ 14.03

$ 14.72

Total ReturnB, C

  .59%

  13.18%

  9.28%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  .85% A

  .84%

  .85% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .85% A

Expenses net of all reductions

  .85% A

  .84%

  .85% A

Net investment income (loss)

  .34% A

  .39%

  .58% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 124

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.01

$ 14.71

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .01

  .02

  .03

Net realized and unrealized gain (loss)

  .06

  1.70

  1.23

Total from investment operations

  .07

  1.72

  1.26

Distributions from net investment income

  (.01)

  (.03)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.46) H

  (2.42) I

  (.51)

Net asset value, end of period

$ 13.62

$ 14.01

$ 14.71

Total ReturnB, C

  .49%

  12.83%

  9.17%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.10% A

  1.09%

  1.10% A

Expenses net of fee waivers, if any

  1.10% A

  1.09%

  1.10% A

Expenses net of all reductions

  1.10% A

  1.09%

  1.10% A

Net investment income (loss)

  .09% A

  .14%

  .32% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 123

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.013 and distributions from net realized gain of $.442 per share.

I Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 20,257,485

Gross unrealized depreciation

(1,669,021)

Net unrealized appreciation (depreciation) on securities

$ 18,588,464

Tax cost

$ 47,956,779

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(35,322) and a change in net unrealized appreciation (depreciation) of $74,544 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,068,989 and $9,373,939, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.

Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and Waddell & Reed Investment Management Co. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 152

$ 152

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds , excluding exchange-traded funds. FIIOC receives

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Growth Multi-Manager

$ 29,726

.10

Class L

57

.09

Class N

57

.09

 

$ 29,840

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $4 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. 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. During the period, these credits reduced the Fund's expenses by $22.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Reimbursement

Growth Multi-Manager

$ 1,378

Class L

2

Class N

2

 

$ 1,382

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Growth Multi-Manager

$ 112,340

$ 241,432

Class F

5,424

8,656

Class L

238

510

Class N

114

235

Total

$ 118,116

$ 250,833

From net realized gain

 

 

Growth Multi-Manager

$ 1,986,171

$ 9,260,375

Class F

77,338

260,707

Class L

3,896

18,460

Class N

3,886

18,446

Total

$ 2,071,291

$ 9,557,988

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Growth Multi-Manager

 

 

 

 

Shares sold

89,967

103,048

$ 1,237,974

$ 1,428,473

Reinvestment of distributions

154,872

696,781

2,098,511

9,501,807

Shares redeemed

(31,324)

(802,621)

(424,440)

(11,839,923)

Net increase (decrease)

213,515

(2,792)

$ 2,912,045

$ (909,643)

Semiannual Report

9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

40,626

70,412

$ 551,125

$ 976,138

Reinvestment of distributions

6,112

19,794

82,762

269,363

Shares redeemed

(26,615)

(15,876)

(364,351)

(219,980)

Net increase (decrease)

20,123

74,330

$ 269,536

$ 1,025,521

Class L

 

 

 

 

Reinvestment of distributions

305

1,391

4,134

18,970

Net increase (decrease)

305

1,391

$ 4,134

$ 18,970

Class N

 

 

 

 

Reinvestment of distributions

296

1,371

4,000

18,681

Net increase (decrease)

296

1,371

$ 4,000

$ 18,681

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Growth Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC (ClariVest), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management Inc. (MSIM), Pyramis Global Advisors, LLC (Pyramis), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, ClariVest, MFS, MSIM, Pyramis, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Growth Multi-Manager Fund

the1982559

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class had out-performed 56% of its peers for the one-year period and under-performed 54% of its peers for the three-year period ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Growth Multi-Manager Fund

the1982561

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board noted that the total expenses of each of the retail class, Class L, and Class F were below, and the total expenses of Class N were above, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to Waddell & Reed on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to MSIM on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

ClariVest Asset Management LLC

Loomis, Sayles & Company, L.P.

Massachusetts Financial
Services Company

Morgan Stanley Investment
Management Inc.

FIAM LLC

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMG-F-SANN-0116
1.951498.102

Strategic Advisers®
Growth Multi-Manager Fund

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 (plan accounts) or 1-800-544-3455 (all other accounts) to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015
to November 30, 2015

Growth Multi-Manager

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.70

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class F

.76%

 

 

 

Actual

 

$ 1,000.00

$ 1,006.20

$ 3.81

HypotheticalA

 

$ 1,000.00

$ 1,021.20

$ 3.84

Class L

.85%

 

 

 

Actual

 

$ 1,000.00

$ 1,005.90

$ 4.26

HypotheticalA

 

$ 1,000.00

$ 1,020.75

$ 4.29

Class N

1.10%

 

 

 

Actual

 

$ 1,000.00

$ 1,004.90

$ 5.51

HypotheticalA

 

$ 1,000.00

$ 1,019.50

$ 5.55

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Fidelity Blue Chip Growth Fund

4.7

5.0

Apple, Inc.

4.6

5.7

Amazon.com, Inc.

2.5

1.2

Gilead Sciences, Inc.

2.4

2.5

Home Depot, Inc.

2.4

2.0

Alphabet, Inc. Class A

2.4

1.7

Alphabet, Inc. Class C

2.1

1.5

Facebook, Inc. Class A

2.1

1.6

Visa, Inc. Class A

1.8

1.7

Microsoft Corp.

1.6

0.9

 

26.6

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

30.1

30.1

Consumer Discretionary

19.4

18.1

Health Care

16.6

17.4

Consumer Staples

8.5

8.2

Industrials

7.1

7.4

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

the1982569

Stocks 91.5%

 

the1982571

Stocks 92.0%

 

the1982573

Large Growth Funds 4.7%

 

the1982575

Large Growth Funds 5.1%

 

the1982577

Short-Term
Investments and
Net Other Assets (Liabilities) 3.8%

 

the1982579

Short-Term
Investments and
Net Other Assets (Liabilities) 2.9%

 

the1982581

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 91.3%

Shares

Value

CONSUMER DISCRETIONARY - 19.2%

Auto Components - 0.5%

Lear Corp.

2,773

$ 349,121

Automobiles - 0.5%

General Motors Co.

2,744

99,333

Tesla Motors, Inc. (a)

861

198,254

 

297,587

Hotels, Restaurants & Leisure - 3.2%

Brinker International, Inc.

2,867

130,793

Carnival Corp. unit

2,172

109,751

Chipotle Mexican Grill, Inc. (a)

77

44,625

Darden Restaurants, Inc.

1,825

102,510

Domino's Pizza, Inc.

858

92,209

Dunkin' Brands Group, Inc.

2,858

121,236

Hilton Worldwide Holdings, Inc.

5,980

138,856

Las Vegas Sands Corp.

1,276

56,221

Marriott International, Inc. Class A

2,480

175,857

McDonald's Corp.

3,480

397,277

Norwegian Cruise Line Holdings Ltd. (a)

1,967

112,984

Starbucks Corp.

4,440

272,572

Wyndham Worldwide Corp.

1,639

124,433

Yum! Brands, Inc.

3,264

236,673

 

2,115,997

Household Durables - 0.4%

D.R. Horton, Inc.

5,800

187,398

Mohawk Industries, Inc. (a)

436

83,154

 

270,552

Internet & Catalog Retail - 3.3%

Amazon.com, Inc. (a)

2,511

1,669,313

Expedia, Inc.

873

107,475

Priceline Group, Inc. (a)

273

340,936

TripAdvisor, Inc. (a)

316

26,029

Vipshop Holdings Ltd. ADR (a)

1,931

31,919

Zalando SE (a)

987

33,474

 

2,209,146

Media - 3.1%

Charter Communications, Inc. Class A (a)

772

144,642

Comcast Corp. Class A

12,853

782,234

Omnicom Group, Inc.

2,095

154,862

The Walt Disney Co.

4,997

567,010

Time Warner Cable, Inc.

566

104,580

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Twenty-First Century Fox, Inc. Class A

4,700

$ 138,697

Viacom, Inc. Class B (non-vtg.)

3,870

192,687

 

2,084,712

Multiline Retail - 0.0%

Target Corp.

179

12,978

Specialty Retail - 6.7%

American Eagle Outfitters, Inc.

8,379

130,461

AutoNation, Inc. (a)

1,654

105,724

AutoZone, Inc. (a)

924

724,203

Best Buy Co., Inc.

4,084

129,790

Dick's Sporting Goods, Inc.

1,074

41,918

Foot Locker, Inc.

2,002

130,130

GameStop Corp. Class A

2,212

77,486

Home Depot, Inc.

11,944

1,599,063

L Brands, Inc.

1,709

163,056

Lowe's Companies, Inc.

4,208

322,333

O'Reilly Automotive, Inc. (a)

860

226,928

Ross Stores, Inc.

1,426

74,166

TJX Companies, Inc.

4,670

329,702

Ulta Salon, Cosmetics & Fragrance, Inc. (a)

2,263

377,921

 

4,432,881

Textiles, Apparel & Luxury Goods - 1.5%

lululemon athletica, Inc. (a)

841

40,217

Michael Kors Holdings Ltd. (a)

1,596

68,660

NIKE, Inc. Class B

5,436

719,074

Skechers U.S.A., Inc. Class A (sub. vtg.) (a)

1,975

59,645

Under Armour, Inc. Class A (sub. vtg.) (a)

1,496

128,985

 

1,016,581

TOTAL CONSUMER DISCRETIONARY

12,789,555

CONSUMER STAPLES - 8.5%

Beverages - 2.5%

Anheuser-Busch InBev SA NV ADR

1,195

153,510

Molson Coors Brewing Co. Class B

1,860

171,176

Monster Beverage Corp.

2,082

321,898

PepsiCo, Inc.

7,283

729,465

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

SABMiller PLC sponsored ADR

1,397

$ 84,938

The Coca-Cola Co.

5,232

222,988

 

1,683,975

Food & Staples Retailing - 1.5%

CVS Health Corp.

7,558

711,132

Kroger Co.

6,966

262,340

 

973,472

Food Products - 2.3%

Archer Daniels Midland Co.

5,735

209,270

Bunge Ltd.

1,508

100,448

Danone SA sponsored ADR

9,100

127,218

General Mills, Inc.

2,996

173,049

Kellogg Co.

2,490

171,237

Keurig Green Mountain, Inc.

1,097

57,483

Mead Johnson Nutrition Co. Class A

1,692

136,358

Mondelez International, Inc.

5,392

235,415

Tyson Foods, Inc. Class A

5,653

282,650

 

1,493,128

Household Products - 0.3%

Colgate-Palmolive Co.

1,671

109,751

Procter & Gamble Co.

1,454

108,817

 

218,568

Personal Products - 0.1%

Estee Lauder Companies, Inc. Class A

750

63,090

Tobacco - 1.8%

Altria Group, Inc.

2,465

141,984

Philip Morris International, Inc.

8,677

758,283

Reynolds American, Inc.

6,320

292,300

 

1,192,567

TOTAL CONSUMER STAPLES

5,624,800

ENERGY - 1.6%

Energy Equipment & Services - 0.4%

Cameron International Corp. (a)

1,248

85,226

Halliburton Co.

2,800

111,580

Schlumberger Ltd.

1,163

89,725

 

286,531

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 1.2%

Apache Corp.

2,200

$ 108,196

EOG Resources, Inc.

1,380

115,133

Marathon Petroleum Corp.

3,812

222,659

Occidental Petroleum Corp.

1,299

98,191

Tesoro Corp.

1,250

143,963

Valero Energy Corp.

1,179

84,723

 

772,865

TOTAL ENERGY

1,059,396

FINANCIALS - 4.7%

Banks - 0.7%

JPMorgan Chase & Co.

6,872

458,225

Capital Markets - 0.8%

Charles Schwab Corp.

7,140

240,689

Goldman Sachs Group, Inc.

937

178,049

Greenhill & Co., Inc.

410

10,869

SEI Investments Co.

2,268

123,357

 

552,964

Consumer Finance - 0.9%

American Express Co.

517

37,038

Capital One Financial Corp.

4,200

329,742

Discover Financial Services

2,485

141,049

LendingClub Corp.

8,191

98,456

 

606,285

Diversified Financial Services - 0.8%

CME Group, Inc.

2,200

214,830

FactSet Research Systems, Inc.

432

73,237

McGraw Hill Financial, Inc.

1,441

139,013

MSCI, Inc. Class A

1,577

110,579

 

537,659

Insurance - 0.8%

Everest Re Group Ltd.

639

117,857

FNF Group

2,617

93,819

MetLife, Inc.

1,425

72,803

Prudential Financial, Inc.

1,791

155,011

XL Group PLC Class A

2,295

87,623

 

527,113

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.6%

American Tower Corp.

2,833

$ 281,544

Extra Space Storage, Inc.

1,407

117,836

 

399,380

Real Estate Management & Development - 0.1%

Realogy Holdings Corp. (a)

1,561

64,485

TOTAL FINANCIALS

3,146,111

HEALTH CARE - 16.6%

Biotechnology - 6.1%

AbbVie, Inc.

2,090

121,534

Alexion Pharmaceuticals, Inc. (a)

1,668

297,638

Alnylam Pharmaceuticals, Inc. (a)

264

27,472

Amgen, Inc.

3,071

494,738

Biogen, Inc. (a)

1,055

302,637

BioMarin Pharmaceutical, Inc. (a)

1,742

166,135

Celgene Corp. (a)

7,858

860,058

Gilead Sciences, Inc.

15,279

1,618,963

Intrexon Corp. (a)

593

21,532

Seattle Genetics, Inc. (a)

333

13,979

Vertex Pharmaceuticals, Inc. (a)

1,220

157,819

 

4,082,505

Health Care Equipment & Supplies - 1.6%

DexCom, Inc. (a)

570

48,461

Edwards Lifesciences Corp. (a)

1,457

237,491

Hologic, Inc. (a)

3,524

142,193

Intuitive Surgical, Inc. (a)

370

192,407

Medtronic PLC

3,123

235,287

St. Jude Medical, Inc.

953

60,134

Varian Medical Systems, Inc. (a)

988

79,811

Zimmer Biomet Holdings, Inc.

284

28,687

 

1,024,471

Health Care Providers & Services - 3.4%

Aetna, Inc.

1,507

154,844

Cardinal Health, Inc.

1,431

124,282

Centene Corp. (a)

1,779

102,737

Cigna Corp.

1,125

151,853

Community Health Systems, Inc. (a)

2,654

76,807

Express Scripts Holding Co. (a)

1,427

121,980

HCA Holdings, Inc. (a)

4,616

314,165

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Laboratory Corp. of America Holdings (a)

1,240

$ 150,710

McKesson Corp.

2,063

390,629

Molina Healthcare, Inc. (a)

1,448

87,256

UnitedHealth Group, Inc.

4,960

559,042

 

2,234,305

Health Care Technology - 0.3%

athenahealth, Inc. (a)

1,193

200,126

Cerner Corp. (a)

284

16,926

 

217,052

Life Sciences Tools & Services - 1.4%

Agilent Technologies, Inc.

3,030

126,715

Illumina, Inc. (a)

1,239

227,852

Thermo Fisher Scientific, Inc.

4,216

583,494

 

938,061

Pharmaceuticals - 3.8%

Allergan PLC (a)

1,960

615,224

Bristol-Myers Squibb Co.

8,162

546,936

Eli Lilly & Co.

2,581

211,745

Endo Health Solutions, Inc. (a)

735

45,188

Merck & Co., Inc.

7,655

405,792

Novartis AG sponsored ADR

1,033

88,053

Novo Nordisk A/S Series B sponsored ADR

2,142

117,746

Pfizer, Inc.

3,389

111,058

Shire PLC sponsored ADR

1,080

225,029

Zoetis, Inc. Class A

3,149

147,058

 

2,513,829

TOTAL HEALTH CARE

11,010,223

INDUSTRIALS - 7.1%

Aerospace & Defense - 2.9%

General Dynamics Corp.

1,643

240,634

Honeywell International, Inc.

2,186

227,235

Lockheed Martin Corp.

750

164,370

Northrop Grumman Corp.

1,994

371,602

Textron, Inc.

3,018

128,778

The Boeing Co.

2,151

312,863

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

TransDigm Group, Inc. (a)

231

$ 54,200

United Technologies Corp.

4,590

440,870

 

1,940,552

Air Freight & Logistics - 1.1%

Expeditors International of Washington, Inc.

2,187

106,157

FedEx Corp.

1,643

260,481

United Parcel Service, Inc. Class B

3,387

348,895

XPO Logistics, Inc. (a)

810

24,705

 

740,238

Airlines - 1.0%

Copa Holdings SA Class A

1,627

84,035

Delta Air Lines, Inc.

7,298

339,065

JetBlue Airways Corp. (a)

3,700

91,538

United Continental Holdings, Inc. (a)

2,473

137,820

 

652,458

Building Products - 0.4%

Owens Corning

6,092

285,349

Electrical Equipment - 0.0%

SolarCity Corp. (a)

467

13,431

Industrial Conglomerates - 0.4%

Danaher Corp.

1,171

112,873

Roper Industries, Inc.

878

169,884

 

282,757

Machinery - 0.1%

Caterpillar, Inc.

967

70,253

Professional Services - 0.3%

IHS, Inc. Class A (a)

390

48,091

Verisk Analytics, Inc. (a)

1,587

118,946

 

167,037

Road & Rail - 0.9%

Canadian Pacific Railway Ltd.

1,863

274,669

Union Pacific Corp.

3,863

324,299

 

598,968

TOTAL INDUSTRIALS

4,751,043

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 30.1%

Communications Equipment - 1.4%

Cisco Systems, Inc.

9,444

$ 257,349

Harris Corp.

1,490

123,864

Juniper Networks, Inc.

6,290

189,518

Palo Alto Networks, Inc. (a)

264

49,458

QUALCOMM, Inc.

7,141

348,409

 

968,598

Electronic Equipment & Components - 0.1%

Keysight Technologies, Inc. (a)

2,155

66,396

Internet Software & Services - 8.4%

Alibaba Group Holding Ltd. sponsored ADR (a)

1,709

143,693

Alphabet, Inc.:

Class A (a)

2,047

1,561,554

Class C

1,920

1,425,792

Autohome, Inc. ADR Class A (a)

1,474

44,662

Dropbox, Inc. (a)(e)

1,441

19,454

eBay, Inc. (a)

4,110

121,615

Facebook, Inc. Class A (a)

13,440

1,400,986

LinkedIn Corp. Class A (a)

1,844

448,295

MercadoLibre, Inc.

458

56,444

Pandora Media, Inc. (a)

2,382

32,872

SurveyMonkey (e)

1,159

19,054

Twitter, Inc. (a)

6,454

163,932

Yelp, Inc. (a)

805

24,255

Zillow Group, Inc. (a)

1,596

41,544

Zillow Group, Inc. Class C (a)

3,193

78,707

 

5,582,859

IT Services - 7.3%

Accenture PLC Class A

1,671

179,165

Alliance Data Systems Corp. (a)

1,881

539,565

Amdocs Ltd.

1,849

104,598

Automatic Data Processing, Inc.

362

31,226

Cognizant Technology Solutions Corp. Class A (a)

8,588

554,613

Fidelity National Information Services, Inc.

4,972

316,567

Fiserv, Inc. (a)

2,049

197,196

FleetCor Technologies, Inc. (a)

2,508

385,505

Gartner, Inc. Class A (a)

487

45,437

Global Payments, Inc.

1,960

138,866

IBM Corp.

531

74,032

MasterCard, Inc. Class A

7,200

705,024

PayPal Holdings, Inc. (a)

3,810

134,341

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Vantiv, Inc. (a)

3,926

$ 206,939

Visa, Inc. Class A

15,468

1,222,127

 

4,835,201

Semiconductors & Semiconductor Equipment - 2.1%

Analog Devices, Inc.

4,146

255,518

Applied Materials, Inc.

3,407

63,949

ARM Holdings PLC sponsored ADR

1,551

78,636

Avago Technologies Ltd.

1,158

151,061

Broadcom Corp. Class A

1,338

73,095

Lam Research Corp.

4,498

351,744

NXP Semiconductors NV (a)

3,007

281,034

Skyworks Solutions, Inc.

1,602

132,998

 

1,388,035

Software - 5.9%

Activision Blizzard, Inc.

4,420

166,457

Adobe Systems, Inc. (a)

2,840

259,746

Aspen Technology, Inc. (a)

3,434

150,924

Autodesk, Inc. (a)

1,558

98,886

Electronic Arts, Inc. (a)

6,120

414,875

FireEye, Inc. (a)

1,253

28,669

Intuit, Inc.

1,731

173,446

Microsoft Corp.

19,752

1,073,521

Mobileye NV (a)

487

21,233

NetSuite, Inc. (a)

440

37,576

Oracle Corp.

15,174

591,331

Salesforce.com, Inc. (a)

1,033

82,320

ServiceNow, Inc. (a)

1,661

144,524

SolarWinds, Inc. (a)

3,432

200,532

Splunk, Inc. (a)

2,469

146,906

Synopsys, Inc. (a)

2,639

132,161

Tableau Software, Inc. (a)

510

49,485

Workday, Inc. Class A (a)

1,718

143,814

 

3,916,406

Technology Hardware, Storage & Peripherals - 4.9%

3D Systems Corp. (a)

682

6,220

Apple, Inc.

25,817

3,054,151

NCR Corp. (a)

5,577

151,192

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Technology Hardware, Storage & Peripherals - continued

Stratasys Ltd. (a)

234

$ 5,850

Western Digital Corp.

946

59,040

 

3,276,453

TOTAL INFORMATION TECHNOLOGY

20,033,948

MATERIALS - 2.4%

Chemicals - 2.4%

Ashland, Inc.

2,467

277,908

FMC Corp.

1,320

56,720

LyondellBasell Industries NV Class A

4,231

405,414

Monsanto Co.

4,459

424,318

PPG Industries, Inc.

2,410

254,833

Sherwin-Williams Co.

541

149,354

 

1,568,547

Metals & Mining - 0.0%

Freeport-McMoRan, Inc.

3,690

30,184

TOTAL MATERIALS

1,598,731

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

3,865

130,135

Verizon Communications, Inc.

9,840

447,228

 

577,363

Wireless Telecommunication Services - 0.2%

SBA Communications Corp. Class A (a)

1,110

116,728

TOTAL TELECOMMUNICATION SERVICES

694,091

UTILITIES - 0.1%

Independent Power and Renewable Electricity Producers - 0.1%

The AES Corp.

5,447

54,416

TOTAL COMMON STOCKS

(Cost $42,418,675)


60,762,314

Preferred Stocks - 0.2%

Shares

Value

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Diversified Consumer Services - 0.1%

Airbnb, Inc. Series D (a)(e)

783

$ 72,893

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Dropbox, Inc. Series A (a)(e)

144

1,944

TOTAL CONVERTIBLE PREFERRED STOCKS

74,837

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Internet & Catalog Retail - 0.1%

Flipkart Series D (a)(e)

365

37,949

INFORMATION TECHNOLOGY - 0.0%

IT Services - 0.0%

Palantir Technologies, Inc.:

Series G (a)(e)

1,489

11,465

Series H (a)(e)

655

5,044

Series H1 (a)(e)

655

5,044

 

21,553

TOTAL NONCONVERTIBLE PREFERRED STOCKS

59,502

TOTAL PREFERRED STOCKS

(Cost $50,711)


134,339

Equity Funds - 4.7%

 

 

 

 

Large Growth Funds - 4.7%

Fidelity Blue Chip Growth Fund (c)
(Cost $2,908,558)

44,949


3,129,813

U.S. Treasury Obligations - 0.1%

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 12/3/15 to 1/28/16 (d)
(Cost $69,992)

$ 70,000


69,995

Money Market Funds - 3.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,448,782)

2,448,782

$ 2,448,782

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $47,896,718)

66,545,243

NET OTHER ASSETS (LIABILITIES) - 0.0%

(14,887)

NET ASSETS - 100%

$ 66,530,356

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

17 ICE Russell 1000 Growth Index Contracts (United States)

Dec. 2015

$ 1,728,730

$ 86,383

 

The face value of futures purchased as a percentage of net assets is 2.6%

For the period the average monthly notional amount for futures in the aggregate was $1,352,407.

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Affiliated Fund

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $69,995.

(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $172,847 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Airbnb, Inc. Series D

4/16/14

$ 31,878

Dropbox, Inc.

5/1/12

$ 13,044

Dropbox, Inc. Series A

5/25/12

$ 1,303

Flipkart Series D

10/4/13

$ 8,376

Palantir Technologies, Inc. Series G

7/19/12

$ 4,556

Palantir Technologies, Inc. Series H

10/25/13

$ 2,299

Palantir Technologies, Inc. Series H1

10/25/13

$ 2,299

SurveyMonkey

11/25/14

$ 19,066

Affiliated Underlying Funds

Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:

Affiliate

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value,
end of
period

Fidelity Blue Chip Growth Fund

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Total

$ 3,290,742

$ -

$ -

$ 1,168

$ 3,129,813

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 12,900,397

$ 12,789,555

$ -

$ 110,842

Consumer Staples

5,624,800

5,624,800

-

-

Energy

1,059,396

1,059,396

-

-

Financials

3,146,111

3,146,111

-

-

Health Care

11,010,223

11,010,223

-

-

Industrials

4,751,043

4,751,043

-

-

Information Technology

20,057,445

19,995,440

-

62,005

Materials

1,598,731

1,598,731

-

-

Telecommunication Services

694,091

694,091

-

-

Utilities

54,416

54,416

-

-

Equity Funds

3,129,813

3,129,813

-

-

U.S. Treasury Obligations

69,995

-

69,995

-

Money Market Funds

2,448,782

2,448,782

-

-

Total Investments in Securities:

$ 66,545,243

$ 66,302,401

$ 69,995

$ 172,847

Derivative Instruments:

Assets

Futures Contracts

$ 86,383

$ 86,383

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 86,383

$ -

Total Value of Derivatives

$ 86,383

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

 November 30, 2015 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $44,988,160)

$ 63,415,430

 

Affiliated issuers (cost $2,908,558)

3,129,813

 

Total Investments (cost $47,896,718)

 

$ 66,545,243

Foreign currency held at value (cost $20,624)

17,051

Receivable for investments sold

4,154

Receivable for fund shares sold

6,808

Dividends receivable

69,540

Interest receivable

19

Prepaid expenses

125

Other receivables

488

Total assets

66,643,428

 

 

 

Liabilities

Payable for investments purchased

$ 5,433

Payable for fund shares redeemed

31,482

Accrued management fee

27,797

Distribution and service plan fees payable

26

Payable for daily variation margin for derivative instruments

9,690

Other affiliated payables

6,760

Audit fees payable

21,512

Custody fees payable

9,885

Other payables and accrued expenses

487

Total liabilities

113,072

 

 

 

Net Assets

$ 66,530,356

Net Assets consist of:

 

Paid in capital

$ 46,458,705

Undistributed net investment income

113,396

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

1,227,014

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

18,731,241

Net Assets

$ 66,530,356

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Assets and Liabilities - continued

 

 November 30, 2015 (Unaudited)

 

 

 

Growth Multi-Manager:
Net Asset Value,
offering price and redemption price per share ($63,800,835 ÷ 4,674,073 shares)

$ 13.65

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($2,481,319 ÷ 181,753 shares)

$ 13.65

 

 

 

Class L:
Net Asset Value
, offering price and redemption price per share ($124,419 ÷ 9,120 shares)

$ 13.64

 

 

 

Class N:
Net Asset Value
, offering price and redemption price per share ($123,783 ÷ 9,088 shares)

$ 13.62

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

  Six months ended November 30, 2015 (Unaudited)

 

 

 

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 385,457

Affiliated issuers

 

1,168

Interest

 

117

Total income

 

386,742

 

 

 

Expenses

Management fee

$ 163,340

Transfer agent fees

29,840

Distribution and service plan fees

152

Accounting fees and expenses

12,614

Custodian fees and expenses

6,799

Independent trustees' compensation

344

Registration fees

36,994

Audit

25,488

Legal

309

Miscellaneous

164

Total expenses before reductions

276,044

Expense reductions

(1,404)

274,640

Net investment income (loss)

112,102

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

1,191,094

Foreign currency transactions

(197)

Futures contracts

(35,322)

Realized gain distributions from underlying funds:

Affiliated issuers

154,806

 

Total net realized gain (loss)

 

1,310,381

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,097,400)

Assets and liabilities in foreign currencies

(1,101)

Futures contracts

74,544

Total change in net unrealized appreciation (depreciation)

 

(1,023,957)

Net gain (loss)

286,424

Net increase (decrease) in net assets resulting from operations

$ 398,526

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended November 30, 2015
(Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 112,102

$ 238,021

Net realized gain (loss)

1,310,381

6,370,302

Change in net unrealized appreciation (depreciation)

(1,023,957)

943,010

Net increase (decrease) in net assets resulting
from operations

398,526

7,551,333

Distributions to shareholders from net investment income

(118,116)

(250,833)

Distributions to shareholders from net realized gain

(2,071,291)

(9,557,988)

Total distributions

(2,189,407)

(9,808,821)

Share transactions - net increase (decrease)

3,189,715

153,529

Total increase (decrease) in net assets

1,398,834

(2,103,959)

 

 

 

Net Assets

Beginning of period

65,131,522

67,235,481

End of period (including undistributed net investment income of $113,396 and undistributed net investment income of $119,410, respectively)

$ 66,530,356

$ 65,131,522

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 10.47

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .02

  .05

  .08

  .07

  .02

Net realized and unrealized gain (loss)

  .06

  1.71

  2.74

  2.22

  .46

Total from investment operations

  .08

  1.76

  2.82

  2.29

  .48

Distributions from net investment income

  (.03)

  (.06)

  (.07)

  (.06)

  (.01)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

  -

Total distributions

  (.47)

  (2.45) H

  (.79) I

  (.06)

  (.01)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

$ 10.47

Total ReturnB, C

  .57%

  13.15%

  22.94%

  21.97%

  4.83%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .85% A

  .84%

  .83%

  .87%

  .91% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .80%

  .87%

  .91% A

Expenses net of all reductions

  .85% A

  .84%

  .80%

  .87%

  .91% A

Net investment income (loss)

  .34% A

  .39%

  .55%

  .60%

  .32% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 63,801

$ 62,615

$ 65,731

$ 64,621

$ 52,717

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

  50% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.

I Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class F

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 14.04

$ 14.73

$ 12.70

$ 11.31

Income from Investment Operations

 

 

 

 

Net investment income (loss) D

  .03

  .07

  .09

  .03

Net realized and unrealized gain (loss)

  .05

  1.70

  2.75

  1.41

Total from investment operations

  .08

  1.77

  2.84

  1.44

Distributions from net investment income

  (.03)

  (.08)

  (.08)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.73)

  -

Total distributions

  (.47)

  (2.46)

  (.81)

  (.05)

Net asset value, end of period

$ 13.65

$ 14.04

$ 14.73

$ 12.70

Total ReturnB, C

  .62%

  13.27%

  23.05%

  12.82%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  .76% A

  .74%

  .74%

  .72% A

Expenses net of fee waivers, if any

  .76% A

  .74%

  .69%

  .72% A

Expenses net of all reductions

  .76% A

  .74%

  .69%

  .72% A

Net investment income (loss)

  .43% A

  .48%

  .66%

  .64% A

Supplemental Data

 

 

 

 

Net assets, end of period
(000 omitted)

$ 2,481

$ 2,269

$ 1,286

$ 256

Portfolio turnover rateG

  30% A

  46%

  51%

  65%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.03

$ 14.72

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .02

  .05

  .05

Net realized and unrealized gain (loss)

  .06

  1.71

  1.22

Total from investment operations

  .08

  1.76

  1.27

Distributions from net investment income

  (.03)

  (.07)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.47)

  (2.45)

  (.51)

Net asset value, end of period

$ 13.64

$ 14.03

$ 14.72

Total ReturnB, C

  .59%

  13.18%

  9.28%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  .85% A

  .84%

  .85% A

Expenses net of fee waivers, if any

  .85% A

  .84%

  .85% A

Expenses net of all reductions

  .85% A

  .84%

  .85% A

Net investment income (loss)

  .34% A

  .39%

  .58% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 124

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Growth Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 14.01

$ 14.71

$ 13.96

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .01

  .02

  .03

Net realized and unrealized gain (loss)

  .06

  1.70

  1.23

Total from investment operations

  .07

  1.72

  1.26

Distributions from net investment income

  (.01)

  (.03)

  (.05)

Distributions from net realized gain

  (.44)

  (2.38)

  (.46)

Total distributions

  (.46) H

  (2.42) I

  (.51)

Net asset value, end of period

$ 13.62

$ 14.01

$ 14.71

Total ReturnB, C

  .49%

  12.83%

  9.17%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.10% A

  1.09%

  1.10% A

Expenses net of fee waivers, if any

  1.10% A

  1.09%

  1.10% A

Expenses net of all reductions

  1.10% A

  1.09%

  1.10% A

Net investment income (loss)

  .09% A

  .14%

  .32% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 124

$ 123

$ 109

Portfolio turnover rateG

  30% A

  46%

  51%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expense of the Underlying Funds are not included in the class' annualized ratios. The class indirectly bears its proportionate share of the expenses of the Underlying Funds.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.013 and distributions from net realized gain of $.442 per share.

I Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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 Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Semiannual Report

2. Significant Accounting Policies - continued

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 20,257,485

Gross unrealized depreciation

(1,669,021)

Net unrealized appreciation (depreciation) on securities

$ 18,588,464

Tax cost

$ 47,956,779

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(35,322) and a change in net unrealized appreciation (depreciation) of $74,544 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

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Notes to Financial Statements (Unaudited) - continued

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,068,989 and $9,373,939, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.

Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and Waddell & Reed Investment Management Co. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 152

$ 152

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds , excluding exchange-traded funds. FIIOC receives

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5. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees - continued

no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Growth Multi-Manager

$ 29,726

.10

Class L

57

.09

Class N

57

.09

 

$ 29,840

 

A Annualized

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $4 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. 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. During the period, these credits reduced the Fund's expenses by $22.

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Notes to Financial Statements (Unaudited) - continued

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

 

Reimbursement

Growth Multi-Manager

$ 1,378

Class L

2

Class N

2

 

$ 1,382

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Growth Multi-Manager

$ 112,340

$ 241,432

Class F

5,424

8,656

Class L

238

510

Class N

114

235

Total

$ 118,116

$ 250,833

From net realized gain

 

 

Growth Multi-Manager

$ 1,986,171

$ 9,260,375

Class F

77,338

260,707

Class L

3,896

18,460

Class N

3,886

18,446

Total

$ 2,071,291

$ 9,557,988

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Growth Multi-Manager

 

 

 

 

Shares sold

89,967

103,048

$ 1,237,974

$ 1,428,473

Reinvestment of distributions

154,872

696,781

2,098,511

9,501,807

Shares redeemed

(31,324)

(802,621)

(424,440)

(11,839,923)

Net increase (decrease)

213,515

(2,792)

$ 2,912,045

$ (909,643)

Semiannual Report

9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30, 2015

Year ended
May 31,
2015

Six months ended November 30, 2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

40,626

70,412

$ 551,125

$ 976,138

Reinvestment of distributions

6,112

19,794

82,762

269,363

Shares redeemed

(26,615)

(15,876)

(364,351)

(219,980)

Net increase (decrease)

20,123

74,330

$ 269,536

$ 1,025,521

Class L

 

 

 

 

Reinvestment of distributions

305

1,391

4,134

18,970

Net increase (decrease)

305

1,391

$ 4,134

$ 18,970

Class N

 

 

 

 

Reinvestment of distributions

296

1,371

4,000

18,681

Net increase (decrease)

296

1,371

$ 4,000

$ 18,681

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Growth Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC (ClariVest), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management Inc. (MSIM), Pyramis Global Advisors, LLC (Pyramis), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, ClariVest, MFS, MSIM, Pyramis, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

Semiannual Report

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Growth Multi-Manager Fund

the1982583

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class had out-performed 56% of its peers for the one-year period and under-performed 54% of its peers for the three-year period ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

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Strategic Advisers Growth Multi-Manager Fund

the1982585

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

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Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board noted that the total expenses of each of the retail class, Class L, and Class F were below, and the total expenses of Class N were above, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Semiannual Report

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to Waddell & Reed on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Strategic Advisers Growth Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will lower the amount of fees paid by Strategic Advisers to MSIM on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

ClariVest Asset Management LLC

Loomis, Sayles & Company, L.P.

Massachusetts Financial
Services Company

Morgan Stanley Investment
Management Inc.

FIAM LLC

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMG-USAN-0116
1.931555.103

Strategic Advisers®
Core Multi-Manager Fund

Class F

Semiannual Report

November 30, 2015

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

Board Approval of Investment Advisory Contracts and Management Fees

(Click Here)

 

To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5095 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2015 to November 30, 2015).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
June 1, 2015

Ending
Account Value
November 30, 2015

Expenses Paid
During Period
C
June 1, 2015 to
November 30, 2015

Core Multi-Manager

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class F

.87%

 

 

 

Actual

 

$ 1,000.00

$ 994.10

$ 4.34

HypotheticalA

 

$ 1,000.00

$ 1,020.65

$ 4.39

Class L

.97%

 

 

 

Actual

 

$ 1,000.00

$ 993.30

$ 4.83

HypotheticalA

 

$ 1,000.00

$ 1,020.15

$ 4.90

Class N

1.22%

 

 

 

Actual

 

$ 1,000.00

$ 991.40

$ 6.07

HypotheticalA

 

$ 1,000.00

$ 1,018.90

$ 6.16

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the direct investments of the Fund.

Top Ten Holdings as of November 30, 2015

(excluding cash equivalents)

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

2.9

3.3

Microsoft Corp.

2.3

1.8

Alphabet, Inc. Class C

2.2

1.2

PepsiCo, Inc.

1.6

1.0

Wells Fargo & Co.

1.5

1.6

Honeywell International, Inc.

1.5

0.8

Johnson & Johnson

1.5

1.1

Citigroup, Inc.

1.5

1.6

General Electric Co.

1.5

1.1

Danaher Corp.

1.3

0.8

 

17.8

Top Five Market Sectors as of November 30, 2015

(stocks only)

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

18.3

19.0

Health Care

15.4

14.9

Financials

14.4

14.0

Consumer Discretionary

12.6

12.7

Industrials

11.8

11.0

Asset Allocation (% of fund's net assets)

As of November 30, 2015

As of May 31, 2015

the1982593

Common Stocks 95.2%

 

the1982595

Common Stocks 95.5%

 

the1982597

Convertible Bonds 0.0%

 

the1982599

Convertible Bonds 0.0%

 

the1982601

Short-Term Investments and Net Other Assets (Liabilities) 4.8%

 

the1982603

Short-Term Investments and Net Other Assets (Liabilities) 4.5%

 

the1982605

Asset allocations of equity funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Semiannual Report


Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 95.2%

Shares

Value

CONSUMER DISCRETIONARY - 12.6%

Auto Components - 0.2%

BorgWarner, Inc.

764

$ 32,615

Delphi Automotive PLC

328

28,825

Johnson Controls, Inc.

1,864

85,744

 

147,184

Automobiles - 0.3%

Ford Motor Co.

1,808

25,909

General Motors Co.

1,253

45,359

Harley-Davidson, Inc.

1,139

55,720

Tesla Motors, Inc. (a)

123

28,322

 

155,310

Hotels, Restaurants & Leisure - 2.1%

Carnival Corp. unit

750

37,898

Chipotle Mexican Grill, Inc. (a)

153

88,671

Dunkin' Brands Group, Inc.

377

15,992

Hilton Worldwide Holdings, Inc.

1,925

44,699

Las Vegas Sands Corp.

355

15,641

McDonald's Corp.

2,321

264,965

MGM Mirage, Inc. (a)

1,257

28,584

Norwegian Cruise Line Holdings Ltd. (a)

684

39,289

Royal Caribbean Cruises Ltd.

411

38,063

Starbucks Corp.

2,996

183,924

Wyndham Worldwide Corp.

6,380

484,370

Yum! Brands, Inc.

595

43,143

 

1,285,239

Household Durables - 0.4%

D.R. Horton, Inc.

812

26,236

Harman International Industries, Inc.

349

36,003

Lennar Corp. Class A

2,750

140,828

PulteGroup, Inc.

1,190

23,181

Toll Brothers, Inc. (a)

370

13,757

 

240,005

Internet & Catalog Retail - 1.5%

Amazon.com, Inc. (a)

839

557,767

Netflix, Inc. (a)

431

53,155

Priceline Group, Inc. (a)

208

259,761

TripAdvisor, Inc. (a)

580

47,775

 

918,458

Leisure Products - 0.1%

Mattel, Inc.

2,766

68,763

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - 4.9%

Charter Communications, Inc. Class A (a)

3,023

$ 566,389

Comcast Corp.:

Class A

12,279

747,300

Class A (special) (non-vtg.)

1,928

117,685

DISH Network Corp. Class A (a)

650

40,762

Liberty Media Corp. Class A (a)

2,565

103,908

MSG Network, Inc. Class A (a)

5,839

115,495

News Corp. Class A

2,610

37,454

The Madison Square Garden Co. (a)

1,641

266,597

The Walt Disney Co.

3,483

395,216

Time Warner Cable, Inc.

360

66,517

Time Warner, Inc.

4,264

298,395

Twenty-First Century Fox, Inc. Class A

5,897

174,020

Viacom, Inc. Class B (non-vtg.)

867

43,168

 

2,972,906

Multiline Retail - 0.2%

Dollar General Corp.

393

25,706

Target Corp.

1,579

114,478

 

140,184

Specialty Retail - 2.4%

AutoNation, Inc. (a)

2,294

146,632

AutoZone, Inc. (a)

140

109,728

Best Buy Co., Inc.

729

23,168

CarMax, Inc. (a)

1,487

85,205

Home Depot, Inc.

3,148

421,454

L Brands, Inc.

713

68,027

Lowe's Companies, Inc.

4,557

349,066

Ross Stores, Inc.

1,498

77,911

Tiffany & Co., Inc.

407

32,430

TJX Companies, Inc.

1,686

119,032

Tractor Supply Co.

328

29,307

 

1,461,960

Textiles, Apparel & Luxury Goods - 0.5%

Hanesbrands, Inc.

3,323

101,916

NIKE, Inc. Class B

1,281

169,451

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Ralph Lauren Corp.

226

$ 28,071

VF Corp.

559

36,167

 

335,605

TOTAL CONSUMER DISCRETIONARY

7,725,614

CONSUMER STAPLES - 11.2%

Beverages - 4.4%

Anheuser-Busch InBev SA NV ADR

16

2,055

Coca-Cola Enterprises, Inc.

11,163

561,499

Diageo PLC

1,247

35,766

Dr. Pepper Snapple Group, Inc.

681

61,120

Molson Coors Brewing Co. Class B

7,308

672,555

PepsiCo, Inc.

9,969

998,495

SABMiller PLC

79

4,797

The Coca-Cola Co.

8,598

366,447

 

2,702,734

Food & Staples Retailing - 2.4%

Costco Wholesale Corp.

1,137

183,535

CVS Health Corp.

6,913

650,444

Kroger Co.

9,392

353,703

Rite Aid Corp. (a)

1,688

13,301

Sysco Corp.

1,001

41,141

Wal-Mart Stores, Inc.

1,579

92,908

Walgreens Boots Alliance, Inc.

1,568

131,759

Whole Foods Market, Inc.

1,021

29,762

 

1,496,553

Food Products - 2.2%

Bunge Ltd.

443

29,508

ConAgra Foods, Inc.

1,308

53,536

General Mills, Inc.

1,276

73,702

Kellogg Co.

1,623

111,614

Keurig Green Mountain, Inc.

880

46,112

Mead Johnson Nutrition Co. Class A

1,127

90,825

Mondelez International, Inc.

17,279

754,401

The Hershey Co.

177

15,277

The Kraft Heinz Co.

737

54,310

Tyson Foods, Inc. Class A

2,214

110,700

 

1,339,985

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - 0.8%

Colgate-Palmolive Co.

693

$ 45,516

Henkel AG & Co. KGaA

282

27,068

Procter & Gamble Co.

5,523

413,341

 

485,925

Personal Products - 0.0%

Estee Lauder Companies, Inc. Class A

56

4,711

Tobacco - 1.4%

Altria Group, Inc.

1,697

97,747

British American Tobacco PLC sponsored ADR

398

46,065

Philip Morris International, Inc.

5,003

437,212

Reynolds American, Inc.

5,649

261,266

 

842,290

TOTAL CONSUMER STAPLES

6,872,198

ENERGY - 5.4%

Energy Equipment & Services - 0.5%

Baker Hughes, Inc.

994

53,746

Cameron International Corp. (a)

430

29,365

Halliburton Co.

2,147

85,558

Schlumberger Ltd.

1,888

145,659

 

314,328

Oil, Gas & Consumable Fuels - 4.9%

Anadarko Petroleum Corp.

1,235

73,977

Apache Corp.

2,012

98,950

Cabot Oil & Gas Corp.

1,126

21,203

Canadian Natural Resources Ltd.

549

13,295

Chevron Corp.

5,051

461,257

Cimarex Energy Co.

485

57,725

Columbia Pipeline Group, Inc.

1,444

27,681

Concho Resources, Inc. (a)

604

66,102

ConocoPhillips Co.

1,439

77,778

Continental Resources, Inc. (a)

815

29,585

EOG Resources, Inc.

1,623

135,407

EQT Corp.

1,192

68,206

Exxon Mobil Corp.

9,321

761,153

HollyFrontier Corp.

415

19,953

Imperial Oil Ltd.

1,337

43,430

Kinder Morgan, Inc.

1,595

37,594

Magellan Midstream Partners LP

272

17,008

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Marathon Petroleum Corp.

1,979

$ 115,593

Noble Energy, Inc.

1,136

41,657

Occidental Petroleum Corp.

4,179

315,891

Phillips 66 Co.

243

22,242

Pioneer Natural Resources Co.

287

41,543

Range Resources Corp.

744

21,264

Spectra Energy Corp.

1,300

34,060

Suncor Energy, Inc.

6,041

166,920

The Williams Companies, Inc.

905

33,087

Total SA sponsored ADR

1,190

58,846

Valero Energy Corp.

1,866

134,091

 

2,995,498

TOTAL ENERGY

3,309,826

FINANCIALS - 14.4%

Banks - 6.6%

Bank of America Corp.

25,304

441,049

BB&T Corp.

625

24,138

Citigroup, Inc.

16,907

914,500

East West Bancorp, Inc.

406

17,612

Fifth Third Bancorp

900

18,603

JPMorgan Chase & Co.

11,321

754,884

M&T Bank Corp.

832

104,275

PNC Financial Services Group, Inc.

451

43,075

Standard Chartered PLC:

rights 12/10/15 (a)

390

535

(United Kingdom)

1,368

11,480

SVB Financial Group (a)

188

24,906

U.S. Bancorp

16,550

726,380

Wells Fargo & Co.

17,007

937,086

 

4,018,523

Capital Markets - 2.1%

Ameriprise Financial, Inc.

801

90,473

Bank of New York Mellon Corp.

3,904

171,151

BlackRock, Inc. Class A

321

116,754

Charles Schwab Corp.

2,953

99,546

E*TRADE Financial Corp. (a)

1,829

55,656

Franklin Resources, Inc.

113

4,737

Goldman Sachs Group, Inc.

708

134,534

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Invesco Ltd.

647

$ 21,797

LPL Financial

480

22,070

Morgan Stanley

8,302

284,759

Northern Trust Corp.

915

68,570

Och-Ziff Capital Management Group LLC Class A

1,637

10,117

State Street Corp.

2,882

209,176

TD Ameritrade Holding Corp.

699

25,604

 

1,314,944

Consumer Finance - 0.4%

American Express Co.

1,094

78,374

Discover Financial Services

1,518

86,162

Synchrony Financial (a)

3,064

97,527

 

262,063

Diversified Financial Services - 1.5%

Berkshire Hathaway, Inc. Class B (a)

2,684

359,898

CME Group, Inc.

1,607

156,924

IntercontinentalExchange, Inc.

476

123,684

McGraw Hill Financial, Inc.

2,572

248,121

 

888,627

Insurance - 2.0%

ACE Ltd.

1,425

163,661

American International Group, Inc.

3,179

202,121

Arthur J. Gallagher & Co.

273

11,944

CNA Financial Corp.

1,103

40,524

FNF Group

655

23,482

Genworth Financial, Inc. Class A (a)

2,474

12,494

Loews Corp.

2,644

100,181

Marsh & McLennan Companies, Inc.

2,890

159,817

MetLife, Inc.

4,533

231,591

The Chubb Corp.

780

101,813

Willis Group Holdings PLC

1,200

55,152

XL Group PLC Class A

2,950

112,631

 

1,215,411

Real Estate Investment Trusts - 1.8%

American Tower Corp.

1,532

152,250

AvalonBay Communities, Inc.

633

115,073

Crown Castle International Corp.

4,458

382,987

Federal Realty Investment Trust (SBI)

221

32,381

General Growth Properties, Inc.

1,080

27,508

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Iron Mountain, Inc.

922

$ 25,613

Prologis, Inc.

1,099

46,982

Public Storage

171

41,050

Simon Property Group, Inc.

864

160,911

SL Green Realty Corp.

226

26,686

Vornado Realty Trust

627

60,669

Weyerhaeuser Co.

979

31,494

 

1,103,604

TOTAL FINANCIALS

8,803,172

HEALTH CARE - 15.4%

Biotechnology - 3.4%

AbbVie, Inc.

3,051

177,416

Alexion Pharmaceuticals, Inc. (a)

957

170,767

Amgen, Inc.

2,587

416,766

Baxalta, Inc.

10,677

367,075

Biogen, Inc. (a)

544

156,052

BioMarin Pharmaceutical, Inc. (a)

264

25,178

Celgene Corp. (a)

1,222

133,748

Gilead Sciences, Inc.

3,638

385,482

Incyte Corp. (a)

328

37,471

Intercept Pharmaceuticals, Inc. (a)

100

17,651

Regeneron Pharmaceuticals, Inc. (a)

157

85,487

Vertex Pharmaceuticals, Inc. (a)

900

116,424

 

2,089,517

Health Care Equipment & Supplies - 3.8%

Abbott Laboratories

17,569

789,199

Baxter International, Inc.

2,490

93,749

Becton, Dickinson & Co.

3,355

504,089

Boston Scientific Corp. (a)

4,568

83,503

Intuitive Surgical, Inc. (a)

163

84,763

Medtronic PLC

8,717

656,739

St. Jude Medical, Inc.

111

7,004

Stryker Corp.

831

80,158

 

2,299,204

Health Care Providers & Services - 2.2%

Aetna, Inc.

1,197

122,992

Anthem, Inc.

478

62,322

Cigna Corp.

160

21,597

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

DaVita HealthCare Partners, Inc. (a)

639

$ 46,673

Express Scripts Holding Co. (a)

1,428

122,065

HCA Holdings, Inc. (a)

470

31,988

Humana, Inc.

587

99,003

McKesson Corp.

1,699

321,706

UnitedHealth Group, Inc.

4,744

534,696

 

1,363,042

Life Sciences Tools & Services - 0.3%

Agilent Technologies, Inc.

1,142

47,758

Illumina, Inc. (a)

133

24,459

Thermo Fisher Scientific, Inc.

696

96,326

 

168,543

Pharmaceuticals - 5.7%

Allergan PLC (a)

1,255

393,932

Bristol-Myers Squibb Co.

5,274

353,411

Eli Lilly & Co.

2,831

232,255

GlaxoSmithKline PLC sponsored ADR

2,243

90,864

Johnson & Johnson

9,045

915,716

Mallinckrodt PLC (a)

1,237

84,005

Merck & Co., Inc.

1,150

60,962

Mylan N.V.

716

36,731

Novartis AG sponsored ADR

93

7,927

Pfizer, Inc.

22,236

728,674

Shire PLC sponsored ADR

709

147,727

Teva Pharmaceutical Industries Ltd. sponsored ADR

7,125

448,376

Valeant Pharmaceuticals International, Inc. (Canada) (a)

163

14,689

 

3,515,269

TOTAL HEALTH CARE

9,435,575

INDUSTRIALS - 11.8%

Aerospace & Defense - 5.3%

Honeywell International, Inc.

8,962

931,600

L-3 Communications Holdings, Inc.

223

27,297

Lockheed Martin Corp.

2,097

459,579

Northrop Grumman Corp.

3,603

671,455

Raytheon Co.

3,031

375,935

Rockwell Collins, Inc.

260

24,097

Textron, Inc.

3,003

128,138

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

2,547

$ 370,461

United Technologies Corp.

2,869

275,567

 

3,264,129

Air Freight & Logistics - 0.4%

FedEx Corp.

977

154,894

United Parcel Service, Inc. Class B

870

89,619

 

244,513

Airlines - 0.7%

American Airlines Group, Inc.

2,536

104,635

Delta Air Lines, Inc.

4,297

199,639

United Continental Holdings, Inc. (a)

2,155

120,098

 

424,372

Building Products - 0.2%

Allegion PLC

1,019

68,487

Fortune Brands Home & Security, Inc.

329

18,085

Masco Corp.

849

25,394

 

111,966

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

254

11,158

Tyco International Ltd.

3,895

137,532

Waste Connections, Inc.

318

17,331

 

166,021

Construction & Engineering - 0.0%

Fluor Corp.

767

37,276

Electrical Equipment - 0.3%

Eaton Corp. PLC

1,558

90,613

Emerson Electric Co.

633

31,650

Sensata Technologies Holding BV (a)

1,234

56,530

 

178,793

Industrial Conglomerates - 2.9%

Danaher Corp.

8,289

798,977

General Electric Co.

30,274

906,404

Roper Industries, Inc.

249

48,179

 

1,753,560

Machinery - 0.5%

Cummins, Inc.

61

6,123

Deere & Co.

716

56,972

Flowserve Corp.

1,757

81,244

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Illinois Tool Works, Inc.

240

$ 22,555

PACCAR, Inc.

1,005

52,220

Pentair PLC

1,038

58,855

Stanley Black & Decker, Inc.

356

38,861

 

316,830

Professional Services - 0.1%

Equifax, Inc.

125

13,938

Nielsen Holdings PLC

837

39,071

 

53,009

Road & Rail - 1.1%

Canadian National Railway Co.

651

38,857

Canadian Pacific Railway Ltd.

1,677

247,246

CSX Corp.

2,895

82,305

Norfolk Southern Corp.

851

80,896

Union Pacific Corp.

2,446

205,342

 

654,646

Trading Companies & Distributors - 0.0%

AerCap Holdings NV (a)

191

8,679

TOTAL INDUSTRIALS

7,213,794

INFORMATION TECHNOLOGY - 18.3%

Communications Equipment - 1.1%

Cisco Systems, Inc.

16,361

445,837

QUALCOMM, Inc.

5,100

248,829

 

694,666

Electronic Equipment & Components - 0.2%

Keysight Technologies, Inc. (a)

580

17,870

TE Connectivity Ltd.

1,461

98,018

 

115,888

Internet Software & Services - 4.5%

Akamai Technologies, Inc. (a)

770

44,360

Alphabet, Inc.:

Class A (a)

507

386,765

Class C

1,814

1,347,076

eBay, Inc. (a)

4,379

129,575

Facebook, Inc. Class A (a)

6,253

651,813

LinkedIn Corp. Class A (a)

105

25,527

Twitter, Inc. (a)

772

19,609

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Velti PLC (a)(d)

976

$ 3

VeriSign, Inc. (a)

820

73,341

Yahoo!, Inc. (a)

2,966

100,280

 

2,778,349

IT Services - 3.7%

Accenture PLC Class A

1,641

175,948

Alliance Data Systems Corp. (a)

1,000

286,850

Amdocs Ltd.

1,042

58,946

ASAC II LP (a)(d)

1,527

39,501

Automatic Data Processing, Inc.

861

74,270

Cognizant Technology Solutions Corp. Class A (a)

1,746

112,757

Fidelity National Information Services, Inc.

1,377

87,674

First Data Corp.

1,218

18,416

First Data Corp. Class A (a)

115

1,932

IBM Corp.

1,228

171,208

MasterCard, Inc. Class A

3,713

363,577

PayPal Holdings, Inc. (a)

3,405

120,060

Sabre Corp.

3,818

111,715

Vantiv, Inc. (a)

4,177

220,170

Visa, Inc. Class A

5,086

401,845

Xerox Corp.

2,992

31,566

 

2,276,435

Semiconductors & Semiconductor Equipment - 2.0%

Analog Devices, Inc.

4,802

295,947

Applied Materials, Inc.

7,631

143,234

Avago Technologies Ltd.

997

130,059

Broadcom Corp. Class A

894

48,839

Intel Corp.

3,059

106,361

KLA-Tencor Corp.

152

10,103

Lam Research Corp.

1,827

142,871

Microchip Technology, Inc.

1,640

79,179

Micron Technology, Inc. (a)

3,553

56,599

NXP Semiconductors NV (a)

1,290

120,563

Texas Instruments, Inc.

610

35,453

Xilinx, Inc.

720

35,777

 

1,204,985

Software - 3.5%

Adobe Systems, Inc. (a)

1,007

92,100

Electronic Arts, Inc. (a)

1,657

112,328

Microsoft Corp.

25,720

1,397,882

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Oracle Corp.

7,418

$ 289,079

Red Hat, Inc. (a)

1,384

112,671

Salesforce.com, Inc. (a)

1,574

125,432

 

2,129,492

Technology Hardware, Storage & Peripherals - 3.3%

Apple, Inc.

14,741

1,743,860

EMC Corp.

3,665

92,871

HP, Inc.

600

7,524

SanDisk Corp.

246

18,172

Seagate Technology LLC

1,941

69,760

Western Digital Corp.

1,306

81,507

 

2,013,694

TOTAL INFORMATION TECHNOLOGY

11,213,509

MATERIALS - 3.2%

Chemicals - 2.3%

Air Products & Chemicals, Inc.

270

36,960

Airgas, Inc.

703

97,155

Ashland, Inc.

783

88,205

Axiall Corp.

350

7,294

Celanese Corp. Class A

1,001

70,821

CF Industries Holdings, Inc.

2,587

119,364

E.I. du Pont de Nemours & Co.

3,206

215,892

Ecolab, Inc.

652

77,692

LyondellBasell Industries NV Class A

2,185

209,367

Monsanto Co.

1,529

145,500

PPG Industries, Inc.

261

27,598

Praxair, Inc.

42

4,738

RPM International, Inc.

993

46,651

Syngenta AG:

sponsored ADR

140

10,361

(Switzerland)

93

34,252

The Dow Chemical Co.

4,204

219,155

The Mosaic Co.

973

30,786

 

1,441,791

Construction Materials - 0.3%

Martin Marietta Materials, Inc.

597

93,968

Vulcan Materials Co.

1,148

117,865

 

211,833

Common Stocks - continued

Shares

Value

MATERIALS - continued

Containers & Packaging - 0.4%

Ball Corp.

424

$ 29,434

Crown Holdings, Inc. (a)

676

35,091

Sealed Air Corp.

3,528

160,030

 

224,555

Metals & Mining - 0.1%

Alcoa, Inc.

2,578

24,130

Franco-Nevada Corp.

262

12,593

Freeport-McMoRan, Inc.

957

7,828

Nucor Corp.

627

25,989

Teck Resources Ltd. Class B (sub. vtg.)

518

2,203

United States Steel Corp.

651

5,254

 

77,997

Paper & Forest Products - 0.1%

International Paper Co.

864

36,141

TOTAL MATERIALS

1,992,317

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.2%

AT&T, Inc.

6,320

212,794

Verizon Communications, Inc.

11,599

527,175

 

739,969

Wireless Telecommunication Services - 0.1%

T-Mobile U.S., Inc. (a)

1,769

62,800

TOTAL TELECOMMUNICATION SERVICES

802,769

UTILITIES - 1.6%

Electric Utilities - 0.9%

American Electric Power Co., Inc.

622

34,838

Edison International

2,518

149,468

Exelon Corp.

932

25,453

FirstEnergy Corp.

3,922

123,112

ITC Holdings Corp.

426

15,711

NextEra Energy, Inc.

342

34,152

PPL Corp.

925

31,487

Xcel Energy, Inc.

2,816

100,419

 

514,640

Common Stocks - continued

Shares

Value

UTILITIES - continued

Gas Utilities - 0.1%

Amerigas Partners LP

353

$ 13,841

Atmos Energy Corp.

600

37,386

 

51,227

Multi-Utilities - 0.6%

CMS Energy Corp.

639

22,378

DTE Energy Co.

680

54,733

NiSource, Inc.

4,600

88,274

PG&E Corp.

4,075

214,865

 

380,250

Water Utilities - 0.0%

American Water Works Co., Inc.

205

11,841

TOTAL UTILITIES

957,958

TOTAL COMMON STOCKS

(Cost $45,211,137)


58,326,732

Convertible Preferred Stocks - 0.0%

 

 

CONSUMER DISCRETIONARY - 0.0%

Internet & Catalog Retail - 0.0%

The Honest Co., Inc. Series D (d)
(Cost $6,909)

151

6,909

U.S. Treasury Obligations - 0.1%

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.1% 1/28/16 (c)
(Cost $79,987)

$ 80,000


79,992

Money Market Funds - 4.7%

Shares

Value

Dreyfus Treasury & Agency Cash Management Fund Institutional Shares, 0.01% (b)
(Cost $2,881,383)

2,881,383

$ 2,881,383

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $48,179,416)

61,295,016

NET OTHER ASSETS (LIABILITIES) - 0.0%

(7,324)

NET ASSETS - 100%

$ 61,287,692

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

15 CME E-mini S&P 500 Index Contracts (United States)

Dec. 2015

$ 1,559,850

$ 105,000

 

The face value of futures purchased as a percentage of net assets is 2.5%

Legend

(a) Non-income producing

(b) The rate quoted is the annualized seven-day yield of the fund at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $79,992.

(d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $46,413 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ASAC II LP

10/10/13

$ 15,270

The Honest Co., Inc. Series D

8/12/15

$ 6,909

Velti PLC

4/19/13

$ 1,464

Other Information

The following is a summary of the inputs used, as of November 30, 2015, 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 in the table 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:

Consumer Discretionary

$ 7,732,523

$ 7,725,614

$ -

$ 6,909

Consumer Staples

6,872,198

6,836,432

35,766

-

Energy

3,309,826

3,309,826

-

-

Financials

8,803,172

8,803,172

-

-

Health Care

9,435,575

9,435,575

-

-

Industrials

7,213,794

7,213,794

-

-

Information Technology

11,213,509

11,155,589

18,419

39,501

Materials

1,992,317

1,958,065

34,252

-

Telecommunication Services

802,769

802,769

-

-

Utilities

957,958

957,958

-

-

U.S. Treasury Obligations

79,992

-

79,992

-

Money Market Funds

2,881,383

2,881,383

-

-

Total Investments in Securities:

$ 61,295,016

$ 61,080,177

$ 168,429

$ 46,410

Derivative Instruments:

Assets

Futures Contracts

$ 105,000

$ 105,000

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2015. 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)

$ 105,000

$ -

Total Value of Derivatives

$ 105,000

$ -

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

November 30, 2015 (Unaudited)

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $48,179,416)

 

$ 61,295,016

Receivable for investments sold

503,791

Receivable for fund shares sold

1,223

Dividends receivable

121,947

Prepaid expenses

123

Receivable from investment adviser for expense reductions

8,344

Other receivables

486

Total assets

61,930,930

Liabilities

Payable for investments purchased

$ 467,090

Payable for fund shares redeemed

18,106

Accrued management fee

30,319

Distribution and service plan fees payable

25

Payable for daily variation margin for derivative instruments

7,575

Custodian fees payable

89,425

Other affiliated payables

6,291

Other payables and accrued expenses

24,407

Total liabilities

643,238

Net Assets

$ 61,287,692

Net Assets consist of:

 

Paid in capital

$ 47,574,327

Undistributed net investment income

246,568

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

246,272

Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies

13,220,525

Net Assets

$ 61,287,692

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 

November 30, 2015 (Unaudited)

Core Multi-Manager:

Net Asset Value, offering price and redemption price per share ($58,112,572 ÷ 4,764,315 shares)

$ 12.20

 

 

 

Class F:

Net Asset Value, offering price and redemption price per share ($2,935,137 ÷ 239,848 shares)

$ 12.24

 

 

 

Class L:

Net Asset Value, offering price and redemption price per share ($120,296 ÷ 9,861 shares)

$ 12.20

 

 

 

Class N:

Net Asset Value, offering price and redemption price per share ($119,687 ÷ 9,826 shares)

$ 12.18

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended November 30, 2015 (Unaudited)

Investment Income

 

 

Dividends:

 

 

Unaffiliated issuers

 

$ 536,257

Interest

 

215

Total income

 

536,472

Expenses

Management fee

$ 181,188

Transfer agent fees

28,264

Distribution and service plan fees

147

Accounting fees and expenses

11,793

Custodian fees and expenses

87,046

Independent trustees' compensation

325

Registration fees

37,071

Audit

26,585

Legal

299

Miscellaneous

254

Total expenses before reductions

372,972

Expense reductions

(81,493)

291,479

Net investment income (loss)

244,993

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

 

 

Investment securities:

 

 

Unaffiliated issuers

624,716

 

Foreign currency transactions

(3,630)

Futures contracts

(76,270)

Total net realized gain (loss)

 

544,816

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,319,908)

Assets and liabilities in foreign currencies

(8)

Futures contracts

68,159

Total change in net unrealized appreciation (depreciation)

 

(1,251,757)

Net gain (loss)

(706,941)

Net increase (decrease) in net assets resulting from operations

$ (461,948)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended November 30, 2015 (Unaudited)

Year ended
May 31,
2015

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 244,993

$ 467,085

Net realized gain (loss)

544,816

6,941,722

Change in net unrealized appreciation (depreciation)

(1,251,757)

(1,350,852)

Net increase (decrease) in net assets resulting from operations

(461,948)

6,057,955

Distributions to shareholders from net investment income

(207,624)

(502,834)

Distributions to shareholders from net realized gain

(3,474,996)

(10,159,157)

Total distributions

(3,682,620)

(10,661,991)

Share transactions - net increase (decrease)

1,886,502

5,466,347

Total increase (decrease) in net assets

(2,258,066)

862,311

Net Assets

Beginning of period

63,545,758

62,683,447

End of period (including undistributed net investment income of $246,568 and undistributed net investment income of $209,199, respectively)

$ 61,287,692

$ 63,545,758

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013

2012 E

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.28

$ 13.02

$ 10.61

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss)D

  .05

  .10

  .11

  .13

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  2.27

  2.60

  .57

Total from investment operations

  (.09)

  1.38

  2.38

  2.73

  .62

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.12)

  (.01)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.20)

  -

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.32)

  (.01)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.28

$ 13.02

$ 10.61

Total ReturnB, C

  (.67)%

  10.70%

  19.49%

  26.33%

  6.24%

Ratios to Average Net AssetsF

 

 

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.21%

  1.03%

  1.10%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%

  .96%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .80%

  1.12%

  .90%A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 58,113

$ 60,606

$ 60,938

$ 67,623

$ 53,266

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

  77%A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 16, 2011 (commencement of operations) to May 31, 2012.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class F

 

Six months ended November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014

2013 E

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 13.10

$ 14.30

$ 13.02

$ 11.62

Income from Investment Operations

 

 

 

 

Net investment income (loss)D

  .05

  .11

  .12

  .06

Net realized and unrealized gain (loss)

  (.13)

  1.28

  2.28

  1.46

Total from investment operations

  (.08)

  1.39

  2.40

  1.52

Distributions from net investment income

  (.04)

  (.12)

  (.11)

  (.08)

Distributions from net realized gain

  (.74)

  (2.47)

  (1.02)

  (.04)

Total distributions

  (.78)

  (2.59)

  (1.12)H

  (.12)

Net asset value, end of period

$ 12.24

$ 13.10

$ 14.30

$ 13.02

Total ReturnB, C

  (.59)%

  10.78%

  19.66%

  13.22%

Ratios to Average Net AssetsF

 

 

 

 

Expenses before reductions

  1.14%A

  1.05%

  1.11%

  .96%A

Expenses net of fee waivers, if any

  .87%A

  .87%

  .87%

  .87%A

Expenses net of all reductions

  .87%A

  .87%

  .87%

  .86%A

Net investment income (loss)

  .90%A

  .88%

  .90%

  1.02%A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,935

$ 2,698

$ 1,527

$ 285

Portfolio turnover rateG

  125%A

  151%

  134%

  95%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class L

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.07

$ 14.29

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .05

  .10

  .07

Net realized and unrealized gain (loss)

  (.14)

  1.27

  1.19

Total from investment operations

  (.09)

  1.37

  1.26

Distributions from net investment income

  (.04)

  (.12)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.78)

  (2.59)

  (.47)

Net asset value, end of period

$ 12.20

$ 13.07

$ 14.29

Total ReturnB, C

  (.67)%

  10.62%

  9.50%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.23%A

  1.14%

  1.19%A

Expenses net of fee waivers, if any

  .97%A

  .97%

  .97%A

Expenses net of all reductions

  .97%A

  .97%

  .97%A

Net investment income (loss)

  .80%A

  .78%

  .90%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Strategic Advisers Core Multi-Manager Fund Class N

 

Six months ended
November 30, 2015

Years ended May 31,

 

(Unaudited)

2015

2014 E

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 13.06

$ 14.27

$ 13.50

Income from Investment Operations

 

 

 

Net investment income (loss)D

  .03

  .07

  .05

Net realized and unrealized gain (loss)

  (.14)

  1.28

  1.18

Total from investment operations

  (.11)

  1.35

  1.23

Distributions from net investment income

  (.03)

  (.09)

  (.06)

Distributions from net realized gain

  (.74)

  (2.47)

  (.41)

Total distributions

  (.77)

  (2.56)

  (.46)H

Net asset value, end of period

$ 12.18

$ 13.06

$ 14.27

Total ReturnB, C

  (.86)%

  10.43%

  9.32%

Ratios to Average Net AssetsF

 

 

 

Expenses before reductions

  1.48%A

  1.39%

  1.45%A

Expenses net of fee waivers, if any

  1.22%A

  1.22%

  1.22%A

Expenses net of all reductions

  1.22%A

  1.22%

  1.22%A

Net investment income (loss)

  .55%A

  .53%

  .65%A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 120

$ 121

$ 109

Portfolio turnover rateG

  125%A

  151%

  134%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount does not include the portfolio activity of any Underlying Funds.

H Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended November 30, 2015 (Unaudited)

1. Organization.

Strategic Advisers Core Multi-Manager Fund (the Fund) is a diversified fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Significant Accounting Policies.

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 Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

Semiannual Report

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Investment Valuation - continued

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 are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2015 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may 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 Underlying Funds and distributions from ETFs, if any, are recorded on

Semiannual Report

2. Significant Accounting Policies - continued

Investment Transactions and Income - continued

the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, foreign currency transactions, deferred trustees compensation, partnerships and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ 14,083,173

Gross unrealized depreciation

(1,436,463)

Net unrealized appreciation (depreciation) on securities

$ 12,646,710

Tax cost

$ 48,648,306

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

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.

Semiannual Report

3. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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 risks:

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 for derivative instruments 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 included in the Statement of Operations.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Futures Contracts - continued

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

During the period the Fund recognized net realized gain (loss) of $(76,270) and a change in net unrealized appreciation (depreciation) of $68,159 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $35,941,292 and $37,601,717, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.

During the period, the investment adviser waived its management fee as described in the Expense Reductions note.

Sub-Advisers. AllianceBernstein, L.P. (AB), Cornerstone Investment Partners, LLC (through June 29, 2015), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc., OppenheimerFunds, Inc., FIAM LLC (formerly Pyramis Global Advisors, LLC), an affiliate of the investment adviser, and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Sub-Advisers - continued

Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management, Inc., Robeco Investment Management, Inc. (d/b/a Boston Partners) and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Class N

.25%

$ 147

$ 147

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:

 

Amount

% of
Class-Level Average
Net Assets
A

Core Multi-Manager

$ 28,148

.10

Class L

58

.10

Class N

58

.10

 

$ 28,264

 

A Annualized

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1,042 for the period.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $40 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2016. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement

Core Multi-Manager

.97%

$ 74,381

Class F

.87%

3,758

Class L

.97%

154

Class N

1.22%

153

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. During the period, these credits reduced the Fund's expenses by $18.

Semiannual Report

7. Expense Reductions - continued

In addition, during the period the investment adviser reimbursed and/or waived a portion of the fund-level operating expenses in the amount of $1,629 and a portion of class-level operating expenses as follows:

 

Amount

Core Multi-Manager

$ 1,396

Class L

2

Class N

2

 

$ 1,400

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
November 30,
2015

Year ended
May 31,
2015

From net investment income

 

 

Core Multi-Manager

$ 197,107

$ 484,614

Class F

9,822

16,549

Class L

408

976

Class N

287

695

Total

$ 207,624

$ 502,834

From net realized gain

 

 

Core Multi-Manager

$ 3,297,069

$ 9,798,347

Class F

164,303

321,329

Class L

6,821

19,746

Class N

6,803

19,735

Total

$ 3,474,996

$ 10,159,157

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Core Multi-Manager

 

 

 

 

Shares sold

23,792

95,933

$ 289,688

$ 1,251,118

Reinvestment of distributions

287,114

796,463

3,494,176

10,282,961

Shares redeemed

(183,434)

(521,747)

(2,328,909)

(7,398,943)

Net increase (decrease)

127,472

370,649

$ 1,454,955

$ 4,135,136

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

9. Share Transactions - continued

 

Shares

Dollars

Six months ended November 30,
2015

Year ended
May 31,
2015

Six months ended November 30,
2015

Year ended
May 31,
2015

Class F

 

 

 

 

Shares sold

54,185

90,367

$ 667,925

$ 1,178,800

Reinvestment of distributions

14,273

26,179

174,125

337,878

Shares redeemed

(34,543)

(17,383)

(424,822)

(226,619)

Net increase (decrease)

33,915

99,163

$ 417,228

$ 1,290,059

Class L

 

 

 

 

Reinvestment of distributions

594

1,605

7,229

20,722

Net increase (decrease)

594

1,605

$ 7,229

$ 20,722

Class N

 

 

 

 

Reinvestment of distributions

583

1,583

7,090

20,430

Net increase (decrease)

583

1,583

$ 7,090

$ 20,430

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.

At the end of the period, the investment adviser or its affiliates were the owners of record of 94% of the total outstanding shares of the Fund.

Semiannual Report


Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Core Multi-Manager Fund

Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management (Aristotle), Brandywine Global Investment Management (Brandywine), ClariVest Asset Management (ClariVest), First Eagle Investment Management, LLC (First Eagle), LSV Asset Management (LSV), Massachusetts Financial Services Company (MFS), Morgan Stanley Investment Management (MSIM), OppenheimerFunds, Inc. (OppenheimerFunds), Pyramis Global Advisors, LLC (Pyramis), Robeco Investment Management, Inc. (dba Boston Partners), T. Rowe Price Associates, Inc. (T. Rowe Price), and Waddell & Reed Investment Management Company (WRIMCO) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board.

At its September 2015 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationship with the fund; (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows; and (v) whether any economies of scale are appropriately shared with fund shareholders. In connection with a corporate reorganization involving First Eagle, in addition to renewing the existing sub-advisory agreement with First Eagle, the Board prospectively approved a new sub-advisory agreement with First Eagle (together with the Sub-Advisory Agreements and the management contract, the Advisory Contracts) to take effect upon the consummation of a transaction that would result in a change in control of First Eagle, effectively terminating the existing sub-advisory agreement. The Board noted that the reorganization would not result in any changes to the personnel that currently provide services to the fund or the nature, extent and quality of the services provided to the fund. In addition, the Board noted that the terms of the prospective sub-advisory agreement with First Eagle are identical to those of the current sub-advisory agreement.

Semiannual Report

In considering whether to renew the Advisory Contracts for the fund and prospectively approve a new sub-advisory agreement with First Eagle, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of a new sub-advisory agreement with First Eagle is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the new sub-advisory agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve a new sub-advisory agreement with First Eagle was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Strategic Advisers, and each sub-adviser, AB, Aristotle, Brandywine, ClariVest, First Eagle, LSV, MFS, MSIM, OppenheimerFunds, Pyramis, Boston Partners, T. Rowe Price, and WRIMCO (collectively, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's portfolio manager compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in (i) identifying and recommending to the Trustees one or more sub-advisers for the fund; (ii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iii) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (iv) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about the sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board took into account discussions with Strategic Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund, for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

In connection with the renewal of the Advisory Contracts, the Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance measured over multiple periods against a benchmark index and peer group. Because the fund had been in existence less than five years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2014, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

the1982607

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the retail class was in the second quartile for the one-year period and the third quartile for the three-year period ended December 31, 2014. The Board also noted that the retail class out-performed 52% of its peers and under-performed 53% of its peers for the one- and three-year periods, respectively, ended December 31, 2014. The Board also noted that the investment performance of the fund was lower than its benchmark for the periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund. The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.05% of the fund's average daily net assets. The Board also considered Strategic Advisers' contractual commitment to reimburse the retail class, Class L, and Class N through July 31, 2016 to the extent that the total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of net assets, exceed 0.97%, 0.97%, and 1.22%, respectively. In addition, the Board also noted that Strategic Advisers has voluntarily agreed to reimburse Class F of the fund to the extent that total operating expenses of the class (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any) exceed 0.87% of the class' average net assets and that such arrangement may be terminated by Strategic Advisers at any time.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee. The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures are also comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Semiannual Report

Strategic Advisers Core Multi-Manager Fund

the1982609

The Board noted that the fund's management fee was ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended February 28, 2015.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses. In its review of the total expenses of each class of the fund, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type.

The Board noted that the total expenses of each of the retail class, Class L, and Class N were above, and the total expenses of Class F were below, the median of the fund's Total Mapped Group for the 12-month period ended February 28, 2015. The Board considered that, in general, various factors can affect total expenses. The total expenses for the retail class and Class L ranked below median when compared to a universe of no-load funds. The total expenses for Class N ranked above the competitive median of its institutional peer group primarily because of its 0.25% 12b-1 fee.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationship with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of fund profitability and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Strategic Advisers' and its affiliates' non-fund businesses and fall-out benefits related to the mutual fund business, as well as cases where Strategic Advisers' affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's sub-advisory contracts provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board took into consideration Strategic Advisers' contractual expense reimbursement commitment.

Semiannual Report

Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On June 4, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Waddell & Reed Investment Management Company (Waddell & Reed) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to Waddell & Reed on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within Waddell & Reed, including the backgrounds and compensation of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2014 Board meeting, as well as the information provided by Waddell & Reed in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature and quality of the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance. The Board considered that it reviewed historical investment performance of Waddell & Reed in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement as well as the information provided by Waddell & Reed regarding its performance in connection with the upcoming renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses of the fund because Strategic Advisers has not allocated any assets of the fund to Waddell & Reed. The Board considered that to the extent Strategic Advisers allocates assets of the fund to Waddell & Reed in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to Waddell & Reed, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Semiannual Report

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the Current Sub-Advisory Agreement, provides for breakpoints as the fund's assets grow and noted that the decline in sub-advisory fees pursuant to the new fee schedule will accrue directly to shareholders. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2014 Board meeting, as well as the information provided by Strategic Advisers in connection with the upcoming renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Board Approval of Investment Advisory Contract

Strategic Advisers Core Multi-Manager Fund

On September 16, 2015, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement (the Current Sub-Advisory Agreement) with Morgan Stanley Investment Management, Inc. (MSIM) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to MSIM, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the Current Sub-Advisory Agreement, except with respect to the date of execution and the fee schedule.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.

Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding the staffing within MSIM, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy in connection with the annual renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting.

The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the services provided to the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.

Semiannual Report

Investment Performance. The Board also considered that it reviewed historical investment performance of MSIM in managing fund assets in connection with the Board's renewal of the Current Sub-Advisory Agreement at its September 2015 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board considered that the new fee schedule will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to MSIM. The Board considered that to the extent Strategic Advisers allocates assets of the fund to MSIM in the future, the new fee schedule would result in lower fees to be paid by Strategic Advisers to MSIM, on behalf of the fund, compared to the existing fee schedule. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the fund's investment performance or costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits. The Board considered that it reviewed information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to further reduce sub-advisory fees paid to MSIM as assets allocated to MSIM grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2015 Board meeting.

Semiannual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Conclusion. 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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Advisers

AllianceBernstein L.P.

Aristotle Capital Management, LLC

Brandywine Global Investment
Management, LLC

ClariVest Asset Management LLC

FIAM LLC

First Eagle Investment Management LLC

JP Morgan Investment Management Inc.

Loomis, Sayles & Company, L.P.

LSV Asset Management

Massachusetts Financial Services
Company

Morgan Stanley Investment
Management, Inc.

OppenheimerFunds, Inc.

Robeco Investment Management, Inc.
doing business as Boston Partners

T. Rowe Price Associates, Inc.

Waddell & Reed Investment
Management Company

General Distributor

Fidelity Distributors Corporation
Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MMC-F-SANN-0116
1.951478.102

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

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 Fidelity Rutland Square Trust II's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II's (the "Trust") 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 second fiscal quarter of 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. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

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 Rutland Square Trust II

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 29, 2016

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/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 29, 2016

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

January 29, 2016