0000917286-11-000096.txt : 20111222 0000917286-11-000096.hdr.sgml : 20111222 20111222161352 ACCESSION NUMBER: 0000917286-11-000096 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20111031 FILED AS OF DATE: 20111222 DATE AS OF CHANGE: 20111222 EFFECTIVENESS DATE: 20111222 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY SALEM STREET TRUST CENTRAL INDEX KEY: 0000035315 IRS NUMBER: 042466841 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-02105 FILM NUMBER: 111277697 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6174391251 MAIL ADDRESS: STREET 1: 82 DEVONSHIRE STREET STREET 2: MAILZONE ZH-2 CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FIXED INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FLEXIBLE BOND FUND DATE OF NAME CHANGE: 19860904 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY CORPORATE BOND FUND INC DATE OF NAME CHANGE: 19851225 0000035315 S000033637 Spartan Mid Cap Index Fund C000103368 Fidelity Advantage Institutional Class FSMDX C000103369 Institutional Class FSTPX C000103370 Investor Class FSCLX C000103371 Fidelity Advantage Class FSCKX 0000035315 S000033638 Spartan Small Cap Index Fund C000103372 Fidelity Advantage Class FSSVX C000103373 Fidelity Advantage Institutional Class FSSNX C000103374 Institutional Class FSSSX C000103375 Investor Class FSSPX 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 811-2105

Fidelity Salem Street Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

April 30

 

 

Date of reporting period:

October 31, 2011

Item 1. Reports to Stockholders

Spartan® Mid Cap Index
Fund

Spartan Small Cap Index Fund

Investor Class

Fidelity Advantage® Class

Semiannual Report

October 31, 2011abc791931

Contents

Chairman's Message

(Click Here)

The Chairman's message to shareholders.

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Spartan® Mid Cap Index Fund

(Click Here)

(Click Here)

(Click Here)

Investment Summary

Investments

Financial Statements

Spartan® Small Cap Index Fund

(Click Here)

(Click Here)

(Click Here)

Investment Summary

Investments

Financial Statements

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 guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Geode is a registered trademark of Geode Capital Management, LLC.

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.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds 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 funds nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Abigail_P_Johnson)

Dear Shareholder:

Global equity markets began the fourth quarter on a strong note, sharply reversing course in October amid strong corporate earnings, better-than-expected economic news and the promise of a resolution to the sovereign debt crisis in Europe. The mini rally followed a third quarter marked by a significant downturn in July and August, which heightened investor anxiety and set off a wave of volatility that hampered most major asset classes through the end of September. Financial markets are difficult to predict, of course, but you can help put the odds in your favor by following these time-tested investment principles.

One of the basic tenets is to invest according to your time horizon. For long-term investors, riding out the markets' inevitable ups and downs has proven much more effective than making decisions based on short-term developments. If your goal is approaching, you can also benefit from patience and restraint, rather than attempting to time the market. No matter your time horizon, missing only a few of the markets' best days can significantly diminish returns. Patience also affords the benefits of compounding - earning interest on additional income or reinvested dividends and capital gains. While staying the course doesn't eliminate risk, it can considerably lessen the negative impact of short-term downturns.

Asset allocation is another principle to manage risk. As you spread your portfolio among the asset classes, be sure to consider your time horizon, risk tolerance and investment objectives. Younger investors may be better served by emphasizing equities, which historically have been the best-performing asset class over time. Investors who are nearing a specific goal, such as retirement or sending a child to college, may choose to favor bonds and other investments that have tended to be more stable. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. After deciding on a suitable allocation strategy, make sure your portfolio is adequately diversified, with exposure to stocks of small-, mid- and large-cap companies in a range of sectors, for example. And today, more than ever, geographic diversification should be taken into account.

Lastly, investing a certain amount of money on a regular basis - a principle known as dollar-cost averaging - can help lower the average cost of your purchases, while also giving you the discipline to avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to learn more by visiting us on the Internet, dropping by one of our Investor Centers or calling us by phone. It is our privilege to provide the resources you need to choose investments that are right for you.

Sincerely,

(The chairman's signature appears here.)

Abigail P. Johnson

Semiannual Report

Shareholder Expense Example

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

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 8, 2011 to October 31, 2011). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (May 1, 2011 to October 31, 2011).

Actual Expenses

The first line of the accompanying table for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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. In addition, each 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 for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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. In addition, each 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. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
October 31, 2011

Expenses Paid
During Period

Spartan Mid Cap Index Fund

 

 

 

Investor Class

.26%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .39 B

HypotheticalA

 

$ 1,000.00

$ 1,023.83

$ 1.32 C

Fidelity Advantage Class

.12%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .18 B

HypotheticalA

 

$ 1,000.00

$ 1,024.53

$ .61 C

Institutional Class

.08%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .12 B

HypotheticalA

 

$ 1,000.00

$ 1,024.73

$ .41 C

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .09 B

HypotheticalA

 

$ 1,000.00

$ 1,024.83

$ .31 C

Spartan Small Cap Index Fund

 

 

 

Investor Class

.31%

 

 

 

Actual

 

$ 1,000.00

$ 1,067.00

$ .47 B

HypotheticalA

 

$ 1,000.00

$ 1,023.58

$ 1.58 C

Fidelity Advantage Class

.17%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .26 B

HypotheticalA

 

$ 1,000.00

$ 1,024.28

$ .87 C

Institutional Class

.13%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .20 B

HypotheticalA

 

$ 1,000.00

$ 1,024.48

$ .66 C

Fidelity Advantage Institutional Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .17 B

HypotheticalA

 

$ 1,000.00

$ 1,024.58

$ .56 C

A 5% return per year before expenses

B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 54/366 (to reflect the period September 8, 2011 to October 31, 2011).

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

Semiannual Report

Spartan Mid Cap Index

Investment Summary (Unaudited)

Top Ten Stocks as of October 31, 2011

 

% of fund's
net assets

El Paso Corp.

0.5

Spectra Energy Corp.

0.5

Equity Residential (SBI)

0.4

H.J. Heinz Co.

0.4

Intuitive Surgical, Inc.

0.4

PPL Corp.

0.4

Consolidated Edison, Inc.

0.5

Marsh & McLennan Companies, Inc.

0.4

Intuit, Inc.

0.4

HCP, Inc.

0.4

 

4.3

Market Sectors as of October 31, 2011

 

% of fund's
net assets

Financials

18.7

Consumer Discretionary

15.8

Information Technology

13.6

Industrials

12.4

Health Care

9.6

Energy

8.3

Utilities

7.1

Materials

6.5

Consumer Staples

6.3

Telecommunication Services

1.2

Semiannual Report

Spartan Mid Cap Index

Investments October 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.5%

Shares

Value

CONSUMER DISCRETIONARY - 15.8%

Auto Components - 0.9%

Autoliv, Inc.

285

$ 16,464

BorgWarner, Inc. (a)

349

26,695

Federal-Mogul Corp. Class A (a)

52

877

Gentex Corp.

455

13,705

Lear Corp.

335

15,715

The Goodyear Tire & Rubber Co. (a)

775

11,129

TRW Automotive Holdings Corp. (a)

324

13,640

Visteon Corp. (a)

161

8,955

 

107,180

Automobiles - 0.3%

Harley-Davidson, Inc.

752

29,253

Tesla Motors, Inc. (a)

178

5,228

Thor Industries, Inc.

138

3,649

 

38,130

Distributors - 0.3%

Genuine Parts Co.

501

28,772

LKQ Corp. (a)

464

13,540

 

42,312

Diversified Consumer Services - 0.5%

Apollo Group, Inc. Class A (non-vtg.) (a)

357

16,904

Career Education Corp. (a)

201

3,242

DeVry, Inc.

218

8,214

Education Management Corp. (a)

115

2,284

H&R Block, Inc.

974

14,892

ITT Educational Services, Inc. (a)

84

5,205

Service Corp. International

752

7,520

Weight Watchers International, Inc.

92

6,865

 

65,126

Hotels, Restaurants & Leisure - 2.1%

Bally Technologies, Inc. (a)

133

4,824

Brinker International, Inc.

272

6,229

Chipotle Mexican Grill, Inc. (a)

99

33,276

Choice Hotels International, Inc.

93

3,328

Darden Restaurants, Inc.

435

20,828

Dunkin' Brands Group, Inc. (a)

86

2,503

Hyatt Hotels Corp. Class A (a)

145

5,393

International Game Technology

956

16,816

Marriott International, Inc. Class A

823

25,925

MGM Mirage, Inc. (a)

1,120

12,902

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Panera Bread Co. Class A (a)

92

$ 12,299

Penn National Gaming, Inc. (a)

214

7,704

Royal Caribbean Cruises Ltd.

430

12,780

Starwood Hotels & Resorts Worldwide, Inc.

621

31,118

Wendy's Co. (a)

918

4,645

WMS Industries, Inc. (a)

180

3,944

Wyndham Worldwide Corp.

541

18,215

Wynn Resorts Ltd.

252

33,466

 

256,195

Household Durables - 1.2%

D.R. Horton, Inc.

885

9,850

Garmin Ltd.

341

11,727

Harman International Industries, Inc.

221

9,538

Jarden Corp.

290

9,289

Leggett & Platt, Inc.

453

9,921

Lennar Corp. Class A

506

8,369

Mohawk Industries, Inc. (a)

180

9,477

Newell Rubbermaid, Inc.

928

13,734

NVR, Inc. (a)

17

10,927

PulteGroup, Inc. (a)

1,111

5,755

Tempur-Pedic International, Inc. (a)

218

14,837

Toll Brothers, Inc. (a)

461

8,040

Tupperware Brands Corp.

199

11,251

Whirlpool Corp.

243

12,347

 

145,062

Internet & Catalog Retail - 0.3%

Expedia, Inc.

617

16,202

HomeAway, Inc.

25

826

Netflix, Inc. (a)

167

13,707

 

30,735

Leisure Equipment & Products - 0.5%

Hasbro, Inc.

389

14,805

Mattel, Inc.

1,108

31,290

Polaris Industries, Inc.

206

13,048

 

59,143

Media - 3.1%

AMC Networks, Inc. Class A

175

5,709

Cablevision Systems Corp. - NY Group Class A

692

10,013

Charter Communications, Inc. Class A (a)

184

8,453

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Clear Channel Outdoor Holding, Inc. Class A (a)

142

$ 1,562

Discovery Communications, Inc. (a)

887

38,549

DISH Network Corp. Class A (a)

637

15,396

DreamWorks Animation SKG, Inc. Class A (a)

222

4,118

Gannett Co., Inc.

762

8,908

Interpublic Group of Companies, Inc.

1,556

14,751

John Wiley & Sons, Inc. Class A

147

6,991

Lamar Advertising Co. Class A (a)

182

4,093

Liberty Global, Inc. Class A (a)

881

35,399

Liberty Media Corp.:

Capital Series A (a)

226

17,361

Interactive Series A (a)

1,913

31,431

Liberty Starz Series A (a)

165

11,270

Madison Square Garden Co. Class A (a)

185

4,890

McGraw-Hill Companies, Inc.

970

41,225

Morningstar, Inc.

80

4,718

Omnicom Group, Inc.

895

39,810

Pandora Media, Inc.

46

727

Regal Entertainment Group Class A

257

3,711

Scripps Networks Interactive, Inc. Class A

300

12,744

Sirius XM Radio, Inc. (a)

12,565

22,491

Virgin Media, Inc.

1,010

24,624

Washington Post Co. Class B

16

5,443

 

374,387

Multiline Retail - 1.4%

Big Lots, Inc. (a)

207

7,802

Dillard's, Inc. Class A

98

5,050

Dollar General Corp. (a)

314

12,453

Dollar Tree, Inc. (a)

389

31,104

Family Dollar Stores, Inc.

390

22,866

JCPenney Co., Inc.

527

16,906

Macy's, Inc.

1,355

41,368

Nordstrom, Inc.

519

26,308

Sears Holdings Corp. (a)

123

9,616

 

173,473

Specialty Retail - 4.1%

Aarons, Inc. Class A

253

6,770

Abercrombie & Fitch Co. Class A

280

20,832

Advance Auto Parts, Inc.

235

15,291

American Eagle Outfitters, Inc.

618

8,114

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

AutoNation, Inc. (a)

125

$ 4,868

AutoZone, Inc. (a)

84

27,182

Bed Bath & Beyond, Inc. (a)

792

48,977

Best Buy Co., Inc.

935

24,525

CarMax, Inc. (a)

719

21,613

Chico's FAS, Inc.

557

6,885

Dick's Sporting Goods, Inc. (a)

300

11,727

DSW, Inc. Class A

68

3,559

Foot Locker, Inc.

492

10,755

GameStop Corp. Class A (a)

449

11,481

Gap, Inc.

1,127

21,300

Guess?, Inc.

206

6,796

Limited Brands, Inc.

793

33,869

O'Reilly Automotive, Inc. (a)

439

33,386

PetSmart, Inc.

361

16,949

RadioShack Corp.

308

3,668

Ross Stores, Inc.

374

32,811

Sally Beauty Holdings, Inc. (a)

309

5,930

Signet Jewelers Ltd.

275

11,855

Staples, Inc.

2,270

33,959

Tiffany & Co., Inc.

407

32,450

Tractor Supply Co.

230

16,316

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

144

9,690

Urban Outfitters, Inc. (a)

383

10,437

Williams-Sonoma, Inc.

334

12,538

 

504,533

Textiles, Apparel & Luxury Goods - 1.1%

Deckers Outdoor Corp. (a)

123

14,175

Fossil, Inc. (a)

167

17,311

Hanesbrands, Inc. (a)

306

8,069

PVH Corp.

190

14,138

Ralph Lauren Corp.

200

31,758

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

116

9,792

VF Corp.

277

38,287

 

133,530

TOTAL CONSUMER DISCRETIONARY

1,929,806

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 6.3%

Beverages - 1.2%

Beam, Inc.

491

$ 24,270

Brown-Forman Corp. Class B (non-vtg.)

326

24,362

Coca-Cola Enterprises, Inc.

1,036

27,786

Constellation Brands, Inc. Class A (sub. vtg.) (a)

577

11,667

Dr Pepper Snapple Group, Inc.

705

26,402

Hansen Natural Corp. (a)

223

19,867

Molson Coors Brewing Co. Class B

428

18,122

 

152,476

Food & Staples Retailing - 0.5%

Safeway, Inc.

1,127

21,830

SUPERVALU, Inc.

688

5,518

Whole Foods Market, Inc.

492

35,483

 

62,831

Food Products - 3.3%

Bunge Ltd.

468

28,908

Campbell Soup Co.

565

18,786

ConAgra Foods, Inc.

1,301

32,954

Corn Products International, Inc.

243

11,786

Dean Foods Co. (a)

591

5,745

Flowers Foods, Inc.

353

7,127

Green Mountain Coffee Roasters, Inc. (a)

391

25,423

H.J. Heinz Co.

1,021

54,562

Hershey Co.

482

27,585

Hormel Foods Corp.

439

12,937

McCormick & Co., Inc. (non-vtg.)

423

20,541

Mead Johnson Nutrition Co. Class A

649

46,631

Ralcorp Holdings, Inc. (a)

175

14,147

Sara Lee Corp.

1,863

33,161

Smithfield Foods, Inc. (a)

528

12,070

The J.M. Smucker Co.

369

28,420

Tyson Foods, Inc. Class A

959

18,509

 

399,292

Household Products - 0.5%

Church & Dwight Co., Inc.

456

20,146

Clorox Co.

424

28,383

Energizer Holdings, Inc. (a)

222

16,381

 

64,910

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - 0.4%

Avon Products, Inc.

1,371

$ 25,062

Herbalife Ltd.

379

23,634

 

48,696

Tobacco - 0.4%

Lorillard, Inc.

429

47,473

TOTAL CONSUMER STAPLES

775,678

ENERGY - 8.3%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)

179

7,650

Cameron International Corp. (a)

780

38,329

Carbo Ceramics, Inc.

61

8,287

Core Laboratories NV

145

15,698

Diamond Offshore Drilling, Inc.

220

14,419

Dresser-Rand Group, Inc. (a)

254

12,294

FMC Technologies, Inc. (a)

765

34,287

Helmerich & Payne, Inc.

304

16,167

McDermott International, Inc. (a)

744

8,169

Nabors Industries Ltd. (a)

914

16,754

Oceaneering International, Inc.

346

14,473

Oil States International, Inc. (a)

162

11,277

Patterson-UTI Energy, Inc.

491

9,977

Rowan Companies, Inc. (a)

406

14,003

RPC, Inc.

145

2,693

SEACOR Holdings, Inc.

69

5,875

Superior Energy Services, Inc. (a)

252

7,086

Tidewater, Inc.

163

8,024

Unit Corp. (a)

133

6,525

 

251,987

Oil, Gas & Consumable Fuels - 6.2%

Alpha Natural Resources, Inc. (a)

721

17,333

Arch Coal, Inc.

673

12,262

Brigham Exploration Co. (a)

372

13,546

Cabot Oil & Gas Corp.

333

25,881

Cimarex Energy Co.

272

17,408

Cobalt International Energy, Inc. (a)

377

3,891

Concho Resources, Inc. (a)

329

31,163

CONSOL Energy, Inc.

722

30,873

Continental Resources, Inc. (a)

134

8,127

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Denbury Resources, Inc. (a)

1,280

$ 20,096

El Paso Corp.

2,444

61,124

Energen Corp.

229

11,235

EQT Corp.

428

27,178

EXCO Resources, Inc.

481

6,065

Forest Oil Corp. (a)

349

4,069

HollyFrontier Corp.

608

18,660

Kosmos Energy Ltd.

110

1,705

Murphy Oil Corp.

616

34,108

Newfield Exploration Co. (a)

428

17,231

Noble Energy, Inc.

561

50,120

Peabody Energy Corp.

862

37,385

Pioneer Natural Resources Co.

372

31,211

Plains Exploration & Production Co. (a)

448

14,112

QEP Resources, Inc.

563

20,015

Quicksilver Resources, Inc. (a)

384

2,957

Range Resources Corp.

511

35,177

SandRidge Energy, Inc. (a)

1,302

9,973

SM Energy Co.

202

16,748

Southern Union Co.

397

16,686

Spectra Energy Corp.

2,063

59,064

Sunoco, Inc.

344

12,807

Teekay Corp.

133

3,426

Tesoro Corp. (a)

457

11,855

Ultra Petroleum Corp. (a)

486

15,484

Valero Energy Corp.

1,815

44,649

Whiting Petroleum Corp. (a)

374

17,410

 

761,034

TOTAL ENERGY

1,013,021

FINANCIALS - 18.7%

Capital Markets - 2.1%

Affiliated Managers Group, Inc. (a)

166

15,373

American Capital Ltd. (a)

1,114

8,656

Ameriprise Financial, Inc.

771

35,990

E*TRADE Financial Corp. (a)

796

8,637

Eaton Vance Corp. (non-vtg.)

377

9,911

Federated Investors, Inc. Class B (non-vtg.)

294

5,745

Greenhill & Co., Inc.

95

3,589

Invesco Ltd.

1,471

29,523

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc.

581

$ 3,811

Jefferies Group, Inc.

434

5,755

Lazard Ltd. Class A

352

9,624

Legg Mason, Inc.

473

13,008

LPL Investment Holdings, Inc.

112

3,249

Northern Trust Corp.

691

27,965

Raymond James Financial, Inc.

324

9,840

SEI Investments Co.

463

7,496

T. Rowe Price Group, Inc.

826

43,646

TD Ameritrade Holding Corp.

697

11,696

Waddell & Reed Financial, Inc. Class A

273

7,570

 

261,084

Commercial Banks - 2.4%

Associated Banc-Corp.

555

6,188

Bank of Hawaii Corp.

153

6,461

BOK Financial Corp.

80

4,178

CapitalSource, Inc.

1,029

6,544

CIT Group, Inc. (a)

638

22,234

City National Corp.

149

6,321

Comerica, Inc.

640

16,352

Commerce Bancshares, Inc.

234

9,079

Cullen/Frost Bankers, Inc.

168

8,239

East West Bancorp, Inc.

470

9,151

Fifth Third Bancorp

2,923

35,105

First Citizen Bancshares, Inc.

17

2,772

First Horizon National Corp.

849

5,935

First Republic Bank

235

6,510

Fulton Financial Corp.

641

6,051

Huntington Bancshares, Inc.

2,750

14,245

KeyCorp

3,024

21,349

M&T Bank Corp.

399

30,368

Popular, Inc. (a)

3,297

6,132

Regions Financial Corp.

3,995

15,700

SunTrust Banks, Inc.

1,707

33,679

Synovus Financial Corp.

2,499

3,749

TCF Financial Corp.

516

5,490

Valley National Bancorp

541

6,492

Zions Bancorporation

583

10,121

 

298,445

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - 0.5%

Discover Financial Services

1,735

$ 40,877

Green Dot Corp. Class A (a)

65

2,124

SLM Corp.

1,679

22,952

 

65,953

Diversified Financial Services - 1.0%

CBOE Holdings, Inc.

166

4,338

Interactive Brokers Group, Inc.

122

1,876

IntercontinentalExchange, Inc. (a)

234

30,392

Leucadia National Corp.

629

16,876

Moody's Corp.

635

22,536

MSCI, Inc. Class A (a)

382

12,755

NYSE Euronext

834

22,159

The NASDAQ Stock Market, Inc. (a)

394

9,870

 

120,802

Insurance - 4.6%

Alleghany Corp.

21

6,664

Allied World Assurance Co. Holdings Ltd.

120

6,972

American Financial Group, Inc.

255

9,137

American National Insurance Co.

21

1,501

Aon Corp.

1,051

48,998

Arch Capital Group Ltd. (a)

420

15,107

Arthur J. Gallagher & Co.

351

10,846

Aspen Insurance Holdings Ltd.

229

6,066

Assurant, Inc.

307

11,832

Assured Guaranty Ltd.

583

7,427

Axis Capital Holdings Ltd.

411

12,885

Brown & Brown, Inc.

369

8,148

Cincinnati Financial Corp.

466

13,486

CNA Financial Corp.

85

2,261

Endurance Specialty Holdings Ltd.

125

4,650

Erie Indemnity Co. Class A

89

7,027

Everest Re Group Ltd.

146

13,128

Fidelity National Financial, Inc. Class A

711

10,978

Genworth Financial, Inc. Class A (a)

1,559

9,946

Hanover Insurance Group, Inc.

149

5,686

Hartford Financial Services Group, Inc.

1,417

27,277

HCC Insurance Holdings, Inc.

362

9,633

Kemper Corp.

156

4,195

Lincoln National Corp.

998

19,012

Markel Corp. (a)

31

11,982

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Marsh & McLennan Companies, Inc.

1,744

$ 53,401

MBIA, Inc. (a)

463

4,074

Mercury General Corp.

84

3,637

Old Republic International Corp.

818

7,231

PartnerRe Ltd.

215

13,377

Principal Financial Group, Inc.

1,023

26,373

Progressive Corp.

1,979

37,621

Protective Life Corp.

281

5,227

Reinsurance Group of America, Inc.

235

12,274

RenaissanceRe Holdings Ltd.

164

11,172

StanCorp Financial Group, Inc.

139

4,718

Torchmark Corp.

335

13,712

Transatlantic Holdings, Inc.

198

10,304

Unum Group

981

23,387

Validus Holdings Ltd.

246

6,731

W.R. Berkley Corp.

366

12,740

White Mountains Insurance Group Ltd.

22

9,240

XL Group PLC Class A

987

21,457

 

561,520

Real Estate Investment Trusts - 7.2%

Alexandria Real Estate Equities, Inc.

197

13,020

American Capital Agency Corp.

570

15,681

Annaly Capital Management, Inc.

3,020

50,887

Apartment Investment & Management Co. Class A

377

9,301

AvalonBay Communities, Inc.

299

39,973

Boston Properties, Inc.

463

45,832

Brandywine Realty Trust (SBI)

425

3,872

BRE Properties, Inc.

237

11,878

Camden Property Trust (SBI)

224

13,583

Chimera Investment Corp.

3,269

9,840

CommonWealth REIT

273

5,283

Corporate Office Properties Trust (SBI)

232

5,626

DDR Corp.

684

8,762

Digital Realty Trust, Inc.

322

20,070

Douglas Emmett, Inc.

391

7,625

Duke Realty LP

800

9,824

Equity Residential (SBI)

935

54,866

Essex Property Trust, Inc.

104

14,847

Federal Realty Investment Trust (SBI)

199

17,663

General Growth Properties, Inc.

1,793

26,357

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

HCP, Inc.

1,291

$ 51,446

Health Care REIT, Inc.

564

29,717

Hospitality Properties Trust (SBI)

390

9,372

Host Hotels & Resorts, Inc.

2,185

31,180

Kimco Realty Corp.

1,298

22,676

Liberty Property Trust (SBI)

367

11,744

Mack-Cali Realty Corp.

272

7,632

Piedmont Office Realty Trust, Inc. Class A

547

9,288

Plum Creek Timber Co., Inc.

517

19,470

Prologis, Inc.

1,460

43,450

Rayonier, Inc.

390

16,275

Realty Income Corp.

426

14,233

Regency Centers Corp.

286

11,715

Senior Housing Properties Trust (SBI)

519

11,646

SL Green Realty Corp.

283

19,524

Taubman Centers, Inc.

177

10,838

The Macerich Co.

417

20,750

UDR, Inc.

693

17,276

Ventas, Inc.

805

44,766

Vornado Realty Trust

585

48,444

Weingarten Realty Investors (SBI)

382

8,866

Weyerhaeuser Co.

1,714

30,818

 

875,916

Real Estate Management & Development - 0.3%

CBRE Group, Inc. (a)

930

16,535

Forest City Enterprises, Inc. Class A (a)

445

6,088

Howard Hughes Corp. (a)

69

3,311

Jones Lang LaSalle, Inc.

136

8,788

The St. Joe Co. (a)

210

3,014

 

37,736

Thrifts & Mortgage Finance - 0.6%

BankUnited, Inc.

99

2,157

Capitol Federal Financial, Inc.

539

5,978

First Niagara Financial Group, Inc.

963

8,850

Hudson City Bancorp, Inc.

1,497

9,356

New York Community Bancorp, Inc.

1,395

18,567

People's United Financial, Inc.

1,201

15,313

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

TFS Financial Corp. (a)

236

$ 2,174

Washington Federal, Inc.

365

4,982

 

67,377

TOTAL FINANCIALS

2,288,833

HEALTH CARE - 9.6%

Biotechnology - 1.1%

Alexion Pharmaceuticals, Inc. (a)

585

39,493

Amylin Pharmaceuticals, Inc. (a)

402

4,631

BioMarin Pharmaceutical, Inc. (a)

353

12,041

Dendreon Corp. (a)

448

4,901

Human Genome Sciences, Inc. (a)

603

6,187

Myriad Genetics, Inc. (a)

276

5,873

Pharmasset, Inc. (a)

237

16,685

Regeneron Pharmaceuticals, Inc. (a)

232

12,830

United Therapeutics Corp. (a)

164

7,172

Vertex Pharmaceuticals, Inc. (a)

656

25,971

 

135,784

Health Care Equipment & Supplies - 2.7%

Alere, Inc. (a)

272

7,088

Boston Scientific Corp. (a)

4,864

28,649

C. R. Bard, Inc.

273

23,464

CareFusion Corp. (a)

712

18,227

DENTSPLY International, Inc.

449

16,595

Edwards Lifesciences Corp. (a)

365

27,528

Gen-Probe, Inc. (a)

152

9,135

Hill-Rom Holdings, Inc.

200

6,734

Hologic, Inc. (a)

833

13,428

IDEXX Laboratories, Inc. (a)

183

13,174

Intuitive Surgical, Inc. (a)

125

54,233

Kinetic Concepts, Inc. (a)

203

13,883

ResMed, Inc. (a)

488

13,810

Sirona Dental Systems, Inc. (a)

176

8,430

Teleflex, Inc.

126

7,542

The Cooper Companies, Inc.

147

10,187

Thoratec Corp. (a)

181

6,608

Varian Medical Systems, Inc. (a)

374

21,961

Zimmer Holdings, Inc. (a)

611

32,157

 

332,833

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - 2.8%

AMERIGROUP Corp. (a)

140

$ 7,788

AmerisourceBergen Corp.

872

35,578

Brookdale Senior Living, Inc. (a)

299

4,957

Catalyst Health Solutions, Inc. (a)

135

7,421

CIGNA Corp.

861

38,177

Community Health Systems, Inc. (a)

308

5,384

Coventry Health Care, Inc. (a)

472

15,014

DaVita, Inc. (a)

304

21,280

Health Management Associates, Inc. Class A (a)

802

7,026

Health Net, Inc. (a)

286

7,948

Henry Schein, Inc. (a)

294

20,380

Humana, Inc.

536

45,501

Laboratory Corp. of America Holdings (a)

319

26,748

LifePoint Hospitals, Inc. (a)

168

6,495

Lincare Holdings, Inc.

284

6,688

MEDNAX, Inc. (a)

153

10,067

Omnicare, Inc.

368

10,974

Patterson Companies, Inc.

329

10,354

Quest Diagnostics, Inc.

501

27,956

Tenet Healthcare Corp. (a)

1,462

6,915

Universal Health Services, Inc. Class B

287

11,471

VCA Antech, Inc. (a)

282

5,730

 

339,852

Health Care Technology - 0.4%

Allscripts-Misys Healthcare Solutions, Inc. (a)

606

11,605

Cerner Corp. (a)

452

28,670

Emdeon, Inc. Class A (a)

88

1,669

SXC Health Solutions Corp. (a)

196

9,100

 

51,044

Life Sciences Tools & Services - 1.4%

Agilent Technologies, Inc. (a)

1,107

41,036

Bio-Rad Laboratories, Inc. Class A (a)

63

6,272

Bruker BioSciences Corp. (a)

267

3,853

Charles River Laboratories International, Inc. (a)

169

5,455

Covance, Inc. (a)

193

9,791

Illumina, Inc. (a)

393

12,034

Life Technologies Corp. (a)

570

23,182

Mettler-Toledo International, Inc. (a)

102

15,667

PerkinElmer, Inc.

354

7,317

Pharmaceutical Product Development, Inc.

318

10,491

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

QIAGEN NV (a)

742

$ 10,225

Techne Corp.

117

8,050

Waters Corp. (a)

292

23,395

 

176,768

Pharmaceuticals - 1.2%

Endo Pharmaceuticals Holdings, Inc. (a)

371

11,987

Forest Laboratories, Inc. (a)

911

28,514

Hospira, Inc. (a)

535

16,826

Mylan, Inc. (a)

1,398

27,359

Perrigo Co.

264

23,834

Warner Chilcott PLC (a)

538

9,749

Watson Pharmaceuticals, Inc. (a)

403

27,065

 

145,334

TOTAL HEALTH CARE

1,181,615

INDUSTRIALS - 12.4%

Aerospace & Defense - 1.5%

Alliant Techsystems, Inc.

107

6,215

BE Aerospace, Inc. (a)

309

11,659

Goodrich Corp.

397

48,684

Huntington Ingalls Industries, Inc. (a)

151

4,455

ITT Corp.

587

26,767

L-3 Communications Holdings, Inc.

338

22,910

Rockwell Collins, Inc.

492

27,468

Spirit AeroSystems Holdings, Inc. Class A (a)

374

6,384

Textron, Inc.

881

17,109

TransDigm Group, Inc. (a)

159

14,933

 

186,584

Air Freight & Logistics - 0.6%

C.H. Robinson Worldwide, Inc.

525

36,451

Expeditors International of Washington, Inc.

675

30,780

UTI Worldwide, Inc.

338

4,938

 

72,169

Airlines - 0.6%

AMR Corp. (a)

1,085

2,854

Copa Holdings SA Class A

102

7,045

Delta Air Lines, Inc. (a)

2,691

22,927

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Airlines - continued

Southwest Airlines Co.

2,521

$ 21,555

United Continental Holdings, Inc. (a)

1,056

20,402

 

74,783

Building Products - 0.3%

Armstrong World Industries, Inc.

70

2,981

Fortune Brands Home & Security, Inc. (a)

488

7,091

Lennox International, Inc.

173

5,569

Masco Corp.

1,135

10,896

Owens Corning (a)

396

11,238

 

37,775

Commercial Services & Supplies - 1.2%

Avery Dennison Corp.

339

9,017

Cintas Corp.

359

10,731

Copart, Inc. (a)

177

7,708

Corrections Corp. of America (a)

338

7,514

Covanta Holding Corp.

366

5,366

Iron Mountain, Inc.

574

17,754

KAR Auction Services, Inc. (a)

103

1,416

Pitney Bowes, Inc.

583

11,882

R.R. Donnelley & Sons Co.

596

9,715

Republic Services, Inc.

1,021

29,058

Stericycle, Inc. (a)

273

22,817

Waste Connections, Inc.

361

12,292

 

145,270

Construction & Engineering - 0.9%

AECOM Technology Corp. (a)

375

7,845

Chicago Bridge & Iron Co. NV unit

317

11,596

Fluor Corp.

555

31,552

Jacobs Engineering Group, Inc. (a)

403

15,636

KBR, Inc.

482

13,453

Quanta Services, Inc. (a)

686

14,331

Shaw Group, Inc. (a)

221

5,140

URS Corp. (a)

248

8,854

 

108,407

Electrical Equipment - 1.3%

AMETEK, Inc.

512

20,234

Babcock & Wilcox Co. (a)

372

8,180

Cooper Industries PLC Class A

525

27,542

General Cable Corp. (a)

171

4,795

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

GrafTech International Ltd. (a)

408

$ 6,410

Hubbell, Inc. Class B

191

11,420

Polypore International, Inc. (a)

124

6,504

Regal-Beloit Corp.

123

6,535

Rockwell Automation, Inc.

460

31,119

Roper Industries, Inc.

305

24,736

Thomas & Betts Corp. (a)

165

8,199

 

155,674

Industrial Conglomerates - 0.1%

Carlisle Companies, Inc.

192

8,010

Machinery - 3.8%

AGCO Corp. (a)

301

13,193

CNH Global NV (a)

87

3,235

Crane Co.

154

6,793

Donaldson Co., Inc.

243

15,564

Dover Corp.

594

32,985

Eaton Corp.

1,085

48,630

Flowserve Corp.

178

16,499

Gardner Denver, Inc.

166

12,837

Graco, Inc.

191

8,202

Harsco Corp.

259

5,970

IDEX Corp.

262

9,288

Ingersoll-Rand Co. Ltd.

1,054

32,811

Joy Global, Inc.

333

29,038

Kennametal, Inc.

259

10,073

Lincoln Electric Holdings, Inc.

267

9,719

Manitowoc Co., Inc.

411

4,554

Navistar International Corp. (a)

229

9,634

Nordson Corp.

192

8,903

Oshkosh Truck Corp. (a)

293

6,112

Pall Corp.

370

18,933

Parker Hannifin Corp.

480

39,144

Pentair, Inc.

312

11,216

Snap-On, Inc.

184

9,875

SPX Corp.

161

8,792

Stanley Black & Decker, Inc.

535

34,160

Terex Corp. (a)

356

5,924

Timken Co.

278

11,709

Toro Co.

101

5,458

Trinity Industries, Inc.

252

6,872

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Valmont Industries, Inc.

72

$ 6,174

WABCO Holdings, Inc. (a)

214

10,745

Wabtec Corp.

152

10,211

 

463,253

Marine - 0.1%

Alexander & Baldwin, Inc.

135

5,604

Kirby Corp. (a)

169

10,400

 

16,004

Professional Services - 0.8%

Dun & Bradstreet Corp.

157

10,497

Equifax, Inc.

392

13,779

IHS, Inc. Class A (a)

157

13,186

Manpower, Inc.

261

11,260

Nielsen Holdings B.V. (a)

255

7,484

Robert Half International, Inc.

468

12,369

Towers Watson & Co.

183

12,023

Verisk Analytics, Inc. (a)

378

13,287

 

93,885

Road & Rail - 0.5%

Con-way, Inc.

182

5,364

Hertz Global Holdings, Inc. (a)

777

9,013

J.B. Hunt Transport Services, Inc.

290

12,270

Kansas City Southern (a)

349

22,046

Landstar System, Inc.

151

6,739

Ryder System, Inc.

161

8,201

 

63,633

Trading Companies & Distributors - 0.7%

Air Lease Corp. Class A

119

2,657

Fastenal Co.

939

35,767

GATX Corp.

151

5,735

MSC Industrial Direct Co., Inc. Class A

141

9,589

W.W. Grainger, Inc.

181

31,007

WESCO International, Inc. (a)

138

6,687

 

91,442

TOTAL INDUSTRIALS

1,516,889

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 13.6%

Communications Equipment - 1.1%

Acme Packet, Inc. (a)

170

$ 6,156

Brocade Communications Systems, Inc. (a)

1,497

6,557

Ciena Corp. (a)

297

3,914

EchoStar Holding Corp. Class A (a)

124

3,269

F5 Networks, Inc. (a)

258

26,819

Harris Corp.

377

14,232

JDS Uniphase Corp. (a)

719

8,628

Motorola Mobility Holdings, Inc.

830

32,270

Polycom, Inc. (a)

561

9,273

Riverbed Technology, Inc. (a)

489

13,487

Tellabs, Inc.

1,194

5,170

 

129,775

Computers & Peripherals - 0.7%

Diebold, Inc.

207

6,682

Fusion-io, Inc.

58

1,799

Lexmark International, Inc. Class A

251

7,957

NCR Corp. (a)

503

9,577

QLogic Corp. (a)

321

4,484

SanDisk Corp. (a)

758

38,408

Western Digital Corp. (a)

740

19,714

 

88,621

Electronic Equipment & Components - 1.2%

Amphenol Corp. Class A

561

26,642

Arrow Electronics, Inc. (a)

366

13,194

Avnet, Inc. (a)

485

14,700

AVX Corp.

145

1,944

Dolby Laboratories, Inc. Class A (a)

174

5,088

FLIR Systems, Inc.

508

13,360

Ingram Micro, Inc. Class A (a)

508

9,083

IPG Photonics Corp. (a)

91

4,810

Itron, Inc. (a)

125

4,599

Jabil Circuit, Inc.

612

12,583

Molex, Inc.

430

10,617

National Instruments Corp.

288

7,692

Tech Data Corp. (a)

138

6,787

Trimble Navigation Ltd. (a)

390

15,760

Vishay Intertechnology, Inc. (a)

475

5,106

 

151,965

Internet Software & Services - 0.8%

Akamai Technologies, Inc. (a)

594

16,002

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

AOL, Inc. (a)

352

$ 4,970

Equinix, Inc. (a)

149

14,305

IAC/InterActiveCorp

240

9,799

LinkedIn Corp. (a)

30

2,697

Monster Worldwide, Inc. (a)

407

3,757

Rackspace Hosting, Inc. (a)

328

13,576

VeriSign, Inc.

536

17,200

VistaPrint Ltd. (a)

125

4,365

WebMD Health Corp. (a)

189

6,795

 

93,466

IT Services - 2.4%

Alliance Data Systems Corp. (a)

162

16,595

Amdocs Ltd. (a)

590

17,712

Booz Allen Hamilton Holding Corp. Class A

85

1,344

Broadridge Financial Solutions, Inc.

389

8,655

Computer Sciences Corp.

494

15,541

CoreLogic, Inc. (a)

305

3,712

DST Systems, Inc.

114

5,722

Fidelity National Information Services, Inc.

835

21,860

Fiserv, Inc. (a)

457

26,904

FleetCor Technologies, Inc.

52

1,454

Gartner, Inc. Class A (a)

309

11,903

Genpact Ltd. (a)

402

6,492

Global Payments, Inc.

255

11,710

Lender Processing Services, Inc.

269

4,721

NeuStar, Inc. Class A (a)

232

7,375

Paychex, Inc.

1,030

30,014

SAIC, Inc. (a)

918

11,411

Teradata Corp. (a)

537

32,037

The Western Union Co.

2,014

35,185

Total System Services, Inc.

515

10,243

VeriFone Systems, Inc. (a)

325

13,718

 

294,308

Office Electronics - 0.3%

Xerox Corp.

4,458

36,466

Zebra Technologies Corp. Class A (a)

174

6,219

 

42,685

Semiconductors & Semiconductor Equipment - 3.7%

Advanced Micro Devices, Inc. (a)

1,955

11,398

Altera Corp.

1,025

38,868

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Analog Devices, Inc.

953

$ 34,851

Atmel Corp. (a)

1,456

15,375

Avago Technologies Ltd.

607

20,498

Cree, Inc. (a)

348

9,271

Cypress Semiconductor Corp.

496

9,479

Fairchild Semiconductor International, Inc. (a)

411

6,153

First Solar, Inc. (a)

190

9,456

Freescale Semiconductor Holdings I Ltd.

141

1,860

International Rectifier Corp. (a)

228

5,538

Intersil Corp. Class A

385

4,608

KLA-Tencor Corp.

534

25,146

Lam Research Corp. (a)

396

17,024

Linear Technology Corp.

725

23,425

LSI Corp. (a)

1,820

11,375

Marvell Technology Group Ltd. (a)

1,614

22,580

Maxim Integrated Products, Inc.

940

24,590

MEMC Electronic Materials, Inc. (a)

708

4,241

Microchip Technology, Inc.

607

21,949

Micron Technology, Inc. (a)

2,759

15,423

Novellus Systems, Inc. (a)

219

7,566

NVIDIA Corp. (a)

1,911

28,283

ON Semiconductor Corp. (a)

1,412

10,689

PMC-Sierra, Inc. (a)

770

4,882

Silicon Laboratories, Inc. (a)

144

6,156

Skyworks Solutions, Inc. (a)

602

11,926

SunPower Corp. Class A (a)

321

3,216

Teradyne, Inc. (a)

583

8,349

Varian Semiconductor Equipment Associates, Inc. (a)

240

15,065

Xilinx, Inc.

845

28,274

 

457,514

Software - 3.4%

Activision Blizzard, Inc.

1,345

18,010

ANSYS, Inc. (a)

293

15,927

Ariba, Inc. (a)

306

9,694

Autodesk, Inc. (a)

732

25,327

BMC Software, Inc. (a)

564

19,605

CA, Inc.

1,221

26,447

Cadence Design Systems, Inc. (a)

851

9,421

Citrix Systems, Inc. (a)

598

43,552

Compuware Corp. (a)

700

5,915

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Electronic Arts, Inc. (a)

1,059

$ 24,728

FactSet Research Systems, Inc.

147

14,615

Fortinet, Inc. (a)

381

8,786

Informatica Corp. (a)

337

15,334

Intuit, Inc.

962

51,631

MICROS Systems, Inc. (a)

258

12,699

Nuance Communications, Inc. (a)

759

20,098

Red Hat, Inc. (a)

615

30,535

Rovi Corp. (a)

360

17,834

Solera Holdings, Inc.

224

12,237

Synopsys, Inc. (a)

466

12,493

TIBCO Software, Inc. (a)

528

15,254

 

410,142

TOTAL INFORMATION TECHNOLOGY

1,668,476

MATERIALS - 6.5%

Chemicals - 3.2%

Airgas, Inc.

250

17,238

Albemarle Corp.

292

15,561

Ashland, Inc.

252

13,346

Cabot Corp.

210

6,338

Celanese Corp. Class A

498

21,688

CF Industries Holdings, Inc.

227

36,835

Cytec Industries, Inc.

156

6,969

Eastman Chemical Co.

453

17,798

Ecolab, Inc.

738

39,734

FMC Corp.

229

18,066

Huntsman Corp.

613

7,197

International Flavors & Fragrances, Inc.

257

15,564

Intrepid Potash, Inc. (a)

161

4,481

Kronos Worldwide, Inc.

74

1,642

Nalco Holding Co.

441

16,630

PPG Industries, Inc.

503

43,464

Rockwood Holdings, Inc. (a)

217

9,991

RPM International, Inc.

412

9,258

Sherwin-Williams Co.

286

23,655

Sigma Aldrich Corp.

388

25,406

Solutia, Inc. (a)

390

6,338

The Scotts Miracle-Gro Co. Class A

144

6,985

Valspar Corp.

304

10,600

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

W.R. Grace & Co. (a)

233

$ 9,737

Westlake Chemical Corp.

67

2,761

 

387,282

Construction Materials - 0.2%

Martin Marietta Materials, Inc.

144

10,392

Vulcan Materials Co.

410

12,829

 

23,221

Containers & Packaging - 1.0%

Aptargroup, Inc.

213

10,218

Ball Corp.

535

18,495

Bemis Co., Inc.

334

9,389

Crown Holdings, Inc. (a)

496

16,760

Greif, Inc. Class A

123

5,508

Owens-Illinois, Inc. (a)

521

10,462

Packaging Corp. of America

321

8,372

Rock-Tenn Co. Class A

221

13,081

Sealed Air Corp.

609

10,840

Silgan Holdings, Inc.

159

5,969

Sonoco Products Co.

316

9,919

Temple-Inland, Inc.

345

10,974

 

129,987

Metals & Mining - 1.6%

AK Steel Holding Corp.

362

3,015

Allegheny Technologies, Inc.

338

15,683

Allied Nevada Gold Corp. (a)

284

10,786

Carpenter Technology Corp.

139

7,884

Cliffs Natural Resources, Inc.

465

31,722

Commercial Metals Co.

355

4,413

Compass Minerals International, Inc.

103

7,835

Molycorp, Inc. (a)

179

6,850

Nucor Corp.

1,006

38,007

Reliance Steel & Aluminum Co.

237

10,473

Royal Gold, Inc.

173

12,383

Schnitzer Steel Industries, Inc. Class A

71

3,323

Steel Dynamics, Inc.

691

8,631

Titanium Metals Corp.

262

4,389

United States Steel Corp.

457

11,590

Walter Energy, Inc.

198

14,979

 

191,963

Common Stocks - continued

Shares

Value

MATERIALS - continued

Paper & Forest Products - 0.5%

Domtar Corp.

130

$ 10,648

International Paper Co.

1,392

38,558

MeadWestvaco Corp.

541

15,099

 

64,305

TOTAL MATERIALS

796,758

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.5%

Frontier Communications Corp.

3,175

19,876

Level 3 Communications, Inc. (a)

465

12,411

tw telecom, inc. (a)

475

8,788

Windstream Corp.

1,627

19,801

 

60,876

Wireless Telecommunication Services - 0.7%

Clearwire Corp. Class A (a)

666

1,279

Crown Castle International Corp. (a)

923

38,175

MetroPCS Communications, Inc. (a)

883

7,506

NII Holdings, Inc. (a)

542

12,753

SBA Communications Corp. Class A (a)

360

13,712

Telephone & Data Systems, Inc.

288

6,676

U.S. Cellular Corp. (a)

43

1,714

 

81,815

TOTAL TELECOMMUNICATION SERVICES

142,691

UTILITIES - 7.1%

Electric Utilities - 2.4%

DPL, Inc.

374

11,351

Edison International

1,034

41,980

Entergy Corp.

566

39,150

Great Plains Energy, Inc.

426

8,835

Hawaiian Electric Industries, Inc.

298

7,548

ITC Holdings Corp.

163

11,847

Northeast Utilities

565

19,532

NV Energy, Inc.

748

11,998

Pepco Holdings, Inc.

723

14,315

Pinnacle West Capital Corp.

349

15,907

PPL Corp.

1,831

53,776

Common Stocks - continued

Shares

Value

UTILITIES - continued

Electric Utilities - continued

Progress Energy, Inc.

934

$ 48,661

Westar Energy, Inc.

360

9,814

 

294,714

Gas Utilities - 0.7%

AGL Resources, Inc.

249

10,443

Atmos Energy Corp.

285

9,781

National Fuel Gas Co.

264

16,181

ONEOK, Inc.

342

26,009

Questar Corp.

565

10,888

UGI Corp.

353

10,121

 

83,423

Independent Power Producers & Energy Traders - 0.7%

Calpine Corp. (a)

1,116

16,930

Constellation Energy Group, Inc.

593

23,542

GenOn Energy, Inc. (a)

2,428

7,405

NRG Energy, Inc. (a)

767

16,429

The AES Corp. (a)

2,091

23,461

 

87,767

Multi-Utilities - 3.1%

Alliant Energy Corp.

355

14,477

Ameren Corp.

770

24,548

CenterPoint Energy, Inc.

1,356

28,259

CMS Energy Corp.

807

16,802

Consolidated Edison, Inc.

928

53,703

DTE Energy Co.

540

28,139

Integrys Energy Group, Inc.

251

13,280

MDU Resources Group, Inc.

600

12,366

NiSource, Inc.

894

19,748

NSTAR

332

14,970

OGE Energy Corp.

314

16,246

SCANA Corp.

369

15,601

Sempra Energy

760

40,835

TECO Energy, Inc.

686

12,739

Vectren Corp.

257

7,294

Wisconsin Energy Corp.

747

24,225

Xcel Energy, Inc.

1,539

39,783

 

383,015

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - 0.2%

American Water Works Co., Inc. (a)

559

$ 17,066

Aqua America, Inc.

438

9,719

 

26,785

TOTAL UTILITIES

875,704

TOTAL COMMON STOCKS

(Cost $11,602,815)


12,189,471

Investment Companies - 0.1%

 

 

 

 

Ares Capital Corp.
(Cost $9,418)

648


10,025

U.S. Treasury Obligations - 0.6%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.04% to 0.05% 3/8/12 to 5/3/12 (c)
(Cost $69,999)

$ 70,000


69,977

Money Market Funds - 6.5%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $796,597)

796,597


796,597

TOTAL INVESTMENT PORTFOLIO - 106.7%

(Cost $12,478,829)

13,066,070

NET OTHER ASSETS (LIABILITIES) - (6.7)%

(820,175)

NET ASSETS - 100%

$ 12,245,895

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1 CME E-mini S&P Midcap 400 Index Contracts

Dec. 2011

$ 88,610

$ 10,820

The face value of futures purchased as a percentage of net assets is 0.7%

Legend

(a) Non-income producing

(b) Affiliated fund that is 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) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $69,977.

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

$ 99

Other Information

The following is a summary of the inputs used, as of October 31, 2011, 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 Security 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

$ 1,929,806

$ 1,929,806

$ -

$ -

Consumer Staples

775,678

775,678

-

-

Energy

1,013,021

1,013,021

-

-

Financials

2,288,833

2,288,833

-

-

Health Care

1,181,615

1,181,615

-

-

Industrials

1,516,889

1,516,889

-

-

Information Technology

1,668,476

1,668,476

-

-

Materials

796,758

796,758

-

-

Telecommunication Services

142,691

142,691

-

-

Utilities

875,704

875,704

-

-

Investment Companies

10,025

10,025

-

-

U.S. Government and Government Agency Obligations

69,977

-

69,977

-

Money Market Funds

796,597

796,597

-

-

Total Investments in Securities:

$ 13,066,070

$ 12,996,093

$ 69,977

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 10,820

$ 10,820

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of October 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 10,820

$ -

Total Value of Derivatives

$ 10,820

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on 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

  

October 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $11,682,232)

$ 12,269,473

 

Fidelity Central Funds (cost $796,597)

796,597

 

Total Investments (cost $12,478,829)

 

$ 13,066,070

Receivable for fund shares sold

24,644

Dividends receivable

5,599

Distributions receivable from Fidelity Central Funds

40

Receivable from investment adviser for expense reductions

645

Total assets

13,096,998

 

 

 

Liabilities

Payable for investments purchased

$ 828,483

Accrued management fee

1,096

Payable for daily variation margin on futures contracts

20,825

Other affiliated payables

699

Total liabilities

851,103

 

 

 

Net Assets

$ 12,245,895

Net Assets consist of:

 

Paid in capital

$ 11,655,314

Undistributed net investment income

18,061

Accumulated undistributed net realized gain (loss) on investments

(25,541)

Net unrealized appreciation (depreciation) on investments

598,061

Net Assets

$ 12,245,895

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price
per share ($836,725 ÷ 79,644 shares)

$ 10.51

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,154,589 ÷ 585,685 shares)

$ 10.51

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,627,252 ÷ 250,001 shares)

$ 10.51

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,627,329 ÷ 250,001 shares)

$ 10.51

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 19,933

Interest

 

53

Income from Fidelity Central Funds

 

99

Total income

 

20,085

 

 

 

Expenses

Management fee

$ 1,901

Transfer agent fees

1,236

Independent trustees' compensation

3

Total expenses before reductions

3,140

Expense reductions

(1,116)

2,024

Net investment income (loss)

18,061

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

733

Futures contracts

(26,274)

Total net realized gain (loss)

 

(25,541)

Change in net unrealized appreciation (depreciation) on:

Investment securities

587,241

Futures contracts

10,820

Total change in net unrealized appreciation (depreciation)

 

598,061

Net gain (loss)

572,520

Net increase (decrease) in net assets resulting from operations

$ 590,581

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

Semiannual Report

Statement of Changes in Net Assets

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

Increase (Decrease) in Net Assets

 

Operations

 

Net investment income (loss)

$ 18,061

Net realized gain (loss)

(25,541)

Change in net unrealized appreciation (depreciation)

598,061

Net increase (decrease) in net assets resulting
from operations

590,581

Share transactions - net increase (decrease)

11,655,314

Total increase (decrease) in net assets

12,245,895

 

 

Net Assets

Beginning of period

-

End of period (including undistributed net investment income of $18,061)

$ 12,245,895

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

Semiannual Report

Financial Highlights - Investor Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .33% A

Expenses net of fee waivers, if any

  .26% A

Expenses net of all reductions

  .26% A

Net investment income (loss)

  1.00% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 837

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .20% A

Expenses net of fee waivers, if any

  .12% A

Expenses net of all reductions

  .12% A

Net investment income (loss)

  1.15% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 6,155

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .14% A

Expenses net of fee waivers, if any

  .08% A

Expenses net of all reductions

  .08% A

Net investment income (loss)

  1.18% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,627

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .12% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  1.20% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,627

Portfolio turnover rate F

  1% I

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 the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Spartan Small Cap Index

Investment Summary (Unaudited)

Top Ten Stocks as of October 31, 2011

 

% of fund's net assets

HealthSpring, Inc.

0.3

Netlogic Microsystems, Inc.

0.3

World Fuel Services Corp.

0.3

Home Properties, Inc.

0.3

Jack Henry & Associates, Inc.

0.3

Nu Skin Enterprises, Inc. Class A

0.3

Clean Harbors, Inc.

0.3

American Campus Communities, Inc.

0.2

National Retail Properties, Inc.

0.2

ONYX Pharmaceuticals, Inc.

0.3

 

2.8

Market Sectors as of October 31, 2011

 

% of fund's net assets

Financials

21.6

Information Technology

17.3

Industrials

15.4

Consumer Discretionary

13.2

Health Care

12.4

Energy

6.8

Materials

4.5

Utilities

3.7

Consumer Staples

3.6

Telecommunication Services

0.9

Semiannual Report

Spartan Small Cap Index

Investments October 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.4%

Shares

Value

CONSUMER DISCRETIONARY - 13.2%

Auto Components - 0.8%

American Axle & Manufacturing Holdings, Inc. (a)

750

$ 7,268

Amerigon, Inc. (a)

236

3,620

Cooper Tire & Rubber Co.

685

9,816

Dana Holding Corp. (a)

1,633

23,091

Dorman Products, Inc. (a)

112

4,268

Drew Industries, Inc.

222

5,335

Exide Technologies (a)

940

4,230

Fuel Systems Solutions, Inc. (a)

201

4,691

Modine Manufacturing Co. (a)

532

5,623

Motorcar Parts of America, Inc. (a)

135

1,339

Shiloh Industries, Inc.

50

395

Spartan Motors, Inc.

355

1,740

Standard Motor Products, Inc.

239

3,716

Stoneridge, Inc. (a)

281

2,211

Superior Industries International, Inc.

274

5,011

Tenneco, Inc. (a)

677

22,151

Tower International, Inc.

61

751

 

105,256

Automobiles - 0.0%

Winnebago Industries, Inc. (a)

371

3,020

Distributors - 0.2%

Audiovox Corp. Class A (a)

203

1,443

Core-Mark Holding Co., Inc.

138

4,622

Pool Corp.

542

15,837

Weyco Group, Inc.

76

1,801

 

23,703

Diversified Consumer Services - 1.3%

American Public Education, Inc. (a)

201

7,198

Archipelago Learning, Inc. (a)

144

1,467

Ascent Capital Group, Inc. (a)

162

7,369

Bridgepoint Education, Inc. (a)

187

4,052

Cambium Learning Group, Inc. (a)

153

505

Capella Education Co. (a)

161

5,604

Coinstar, Inc. (a)

353

16,852

Corinthian Colleges, Inc. (a)

835

1,595

Grand Canyon Education, Inc. (a)

333

5,431

Hillenbrand, Inc.

696

14,693

K12, Inc. (a)

293

10,270

Lincoln Educational Services Corp.

233

2,179

Mac-Gray Corp.

110

1,527

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - continued

Matthews International Corp. Class A

324

$ 11,385

National American University Holdings, Inc.

82

580

Regis Corp.

646

10,569

Sotheby's Class A (Ltd. vtg.)

757

26,662

Steiner Leisure Ltd. (a)

168

8,094

Stewart Enterprises, Inc. Class A

906

5,835

Strayer Education, Inc.

138

11,759

Universal Technical Institute, Inc. (a)

227

3,242

 

156,868

Hotels, Restaurants & Leisure - 2.7%

AFC Enterprises, Inc. (a)

262

3,592

Ambassadors Group, Inc.

201

997

Ameristar Casinos, Inc.

363

6,716

Benihana, Inc. Class A (sub. vtg.) (a)

149

1,436

Biglari Holdings, Inc. (a)

13

4,487

BJ's Restaurants, Inc. (a)

269

14,238

Bob Evans Farms, Inc.

332

10,923

Boyd Gaming Corp. (a)

582

3,771

Bravo Brio Restaurant Group, Inc.

233

4,527

Buffalo Wild Wings, Inc. (a)

205

13,575

Caribou Coffee Co., Inc. (a)

136

1,856

Carrols Restaurant Group, Inc. (a)

140

1,308

CEC Entertainment, Inc.

222

7,020

Churchill Downs, Inc.

142

6,826

Cracker Barrel Old Country Store, Inc.

252

10,682

Denny's Corp. (a)

1,213

4,367

DineEquity, Inc. (a)

172

8,077

Domino's Pizza, Inc. (a)

657

21,044

Einstein Noah Restaurant Group, Inc.

55

810

Gaylord Entertainment Co. (a)

401

9,379

International Speedway Corp. Class A

329

7,850

Interval Leisure Group, Inc. (a)

458

6,325

Isle of Capri Casinos, Inc. (a)

232

1,262

Jack in the Box, Inc. (a)

509

10,475

Jamba, Inc. (a)

757

1,287

Krispy Kreme Doughnuts, Inc. (a)

692

4,886

Life Time Fitness, Inc. (a)

477

20,573

Luby's, Inc. (a)

303

1,463

Marcus Corp.

260

3,099

McCormick & Schmick's Seafood Restaurants (a)

154

1,032

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Monarch Casino & Resort, Inc. (a)

83

$ 854

Morgans Hotel Group Co. (a)

236

1,536

Multimedia Games Holdng Co., Inc. (a)

287

1,897

O'Charleys, Inc. (a)

208

1,292

Orient Express Hotels Ltd. Class A (a)

1,066

9,093

P.F. Chang's China Bistro, Inc.

253

7,868

Papa John's International, Inc. (a)

221

7,461

Peet's Coffee & Tea, Inc. (a)

143

9,112

Pinnacle Entertainment, Inc. (a)

693

7,845

Red Lion Hotels Corp. (a)

168

1,168

Red Robin Gourmet Burgers, Inc. (a)

137

3,435

Ruby Tuesday, Inc. (a)

740

6,209

Ruth's Hospitality Group, Inc. (a)

457

2,157

Scientific Games Corp. Class A (a)

672

5,840

Shuffle Master, Inc. (a)

607

6,440

Six Flags Entertainment Corp.

463

16,622

Sonic Corp. (a)

722

5,350

Speedway Motorsports, Inc.

127

1,651

Texas Roadhouse, Inc. Class A

697

9,988

The Cheesecake Factory, Inc. (a)

645

18,054

Town Sports International Holdings, Inc. (a)

216

1,875

Vail Resorts, Inc.

411

18,314

 

337,944

Household Durables - 0.8%

American Greetings Corp. Class A

455

7,285

Beazer Homes USA, Inc. (a)

828

1,780

Blyth, Inc.

55

3,071

Cavco Industries, Inc. (a)

83

3,737

CSS Industries, Inc.

87

1,834

Ethan Allen Interiors, Inc.

282

5,584

Furniture Brands International, Inc. (a)

389

743

Helen of Troy Ltd. (a)

341

9,865

Hovnanian Enterprises, Inc. Class A (a)

569

819

iRobot Corp. (a)

263

8,905

KB Home

873

6,085

La-Z-Boy, Inc. (a)

593

6,025

Libbey, Inc. (a)

250

3,165

Lifetime Brands, Inc.

107

1,309

M.D.C. Holdings, Inc.

422

9,453

M/I Homes, Inc. (a)

216

1,614

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Meritage Homes Corp. (a)

322

$ 5,716

Ryland Group, Inc.

501

6,764

Sealy Corp., Inc. (a)

459

711

Skullcandy, Inc. (a)

106

1,670

Skyline Corp.

64

433

Standard Pacific Corp. (a)

1,237

3,760

Universal Electronics, Inc. (a)

183

3,402

Zagg, Inc. (a)

273

3,683

 

97,413

Internet & Catalog Retail - 0.4%

1-800-FLOWERS.com, Inc. Class A (a)

241

687

Blue Nile, Inc. (a)

146

6,589

Geeknet, Inc. (a)

41

798

HSN, Inc.

447

15,944

NutriSystem, Inc.

333

4,116

Orbitz Worldwide, Inc. (a)

194

367

Overstock.com, Inc. (a)

129

1,071

PetMed Express, Inc.

224

2,233

Shutterfly, Inc. (a)

337

14,043

U.S. Auto Parts Network, Inc. (a)

137

767

ValueVision Media, Inc. Class A (a)

455

1,492

 

48,107

Leisure Equipment & Products - 0.4%

Arctic Cat, Inc. (a)

126

2,559

Black Diamond, Inc. (a)

150

1,295

Brunswick Corp.

998

17,625

Callaway Golf Co.

674

3,916

Eastman Kodak Co. (a)

2,813

3,122

JAKKS Pacific, Inc.

310

5,881

Johnson Outdoors, Inc. Class A (a)

45

837

Leapfrog Enterprises, Inc. Class A (a)

441

1,645

Marine Products Corp. (a)

95

525

Smith & Wesson Holding Corp. (a)

633

1,874

Steinway Musical Instruments, Inc. (a)

70

1,764

Sturm, Ruger & Co., Inc.

214

6,488

Summer Infant, Inc. (a)

154

1,204

 

48,735

Media - 1.3%

A.H. Belo Corp. Class A

216

1,080

Arbitron, Inc.

302

11,998

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Belo Corp. Series A

949

$ 6,017

Central European Media Enterprises Ltd. Class A (a)

438

4,836

Cinemark Holdings, Inc.

1,044

21,579

Crown Media Holdings, Inc. Class A (a)

324

512

Cumulus Media, Inc. Class A (a)

420

1,264

E.W. Scripps Co. Class A (a)

418

3,486

Entercom Communications Corp. Class A (a)

261

1,712

Entravision Communication Corp. Class A (a)

467

771

Fisher Communications, Inc. (a)

112

3,252

Global Sources Ltd. (a)

106

773

Gray Television, Inc. (a)

461

876

Harte-Hanks, Inc.

527

4,627

interCLICK, Inc. (a)

274

2,028

Journal Communications, Inc. Class A (a)

459

1,772

Knology, Inc. (a)

354

5,073

LIN TV Corp. Class A (a)

275

858

Lions Gate Entertainment Corp. (a)

478

3,929

Live Nation Entertainment, Inc. (a)

1,598

15,005

Martha Stewart Living Omnimedia, Inc. Class A (a)

313

1,211

MDC Partners, Inc. Class A (sub. vtg.)

297

5,001

Meredith Corp.

406

10,893

National CineMedia, Inc.

624

7,550

Nexstar Broadcasting Group, Inc. Class A (a)

127

1,156

Outdoor Channel Holdings, Inc.

164

1,225

ReachLocal, Inc. (a)

114

1,141

Rentrak Corp. (a)

103

1,407

Saga Communications, Inc. Class A (a)

39

1,463

Scholastic Corp.

296

7,948

Sinclair Broadcast Group, Inc. Class A

587

5,623

The McClatchy Co. Class A (a)

536

842

The New York Times Co. Class A (a)

1,533

11,681

Valassis Communications, Inc. (a)

548

10,702

Value Line, Inc.

12

151

Westwood One, Inc. (a)

47

205

World Wrestling Entertainment, Inc. Class A

253

2,659

 

162,306

Multiline Retail - 0.3%

99 Cents Only Stores (a)

525

11,445

Fred's, Inc. Class A

452

5,510

Gordmans Stores, Inc. (a)

49

685

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Saks, Inc. (a)

1,299

$ 13,730

The Bon-Ton Stores, Inc.

115

607

Tuesday Morning Corp. (a)

453

1,640

 

33,617

Specialty Retail - 3.4%

Aeropostale, Inc. (a)

899

12,280

America's Car Mart, Inc. (a)

92

3,071

ANN, Inc. (a)

579

15,425

Asbury Automotive Group, Inc. (a)

334

6,229

Ascena Retail Group, Inc. (a)

697

20,143

Barnes & Noble, Inc.

305

3,742

bebe Stores, Inc.

468

3,360

Big 5 Sporting Goods Corp.

236

1,824

Body Central Corp.

150

3,150

Brown Shoe Co., Inc.

507

4,517

Build-A-Bear Workshop, Inc. (a)

154

1,009

Cabela's, Inc. Class A (a)

487

12,136

Casual Male Retail Group, Inc. (a)

441

1,830

Charming Shoppes, Inc. (a)

1,385

4,806

Christopher & Banks Corp.

404

1,345

Citi Trends, Inc. (a)

155

1,920

Coldwater Creek, Inc. (a)

1,176

1,235

Collective Brands, Inc. (a)

686

10,022

Conn's, Inc. (a)

162

1,492

Cost Plus, Inc. (a)

257

2,028

Destination Maternity Corp.

137

2,270

Express, Inc.

613

13,848

Finish Line, Inc. Class A

575

11,558

Francescas Holdings Corp. (a)

125

3,209

Genesco, Inc. (a)

265

15,619

GNC Holdings, Inc.

261

6,460

Group 1 Automotive, Inc.

268

12,210

Haverty Furniture Companies, Inc.

194

2,254

hhgregg, Inc. (a)

187

2,384

Hibbett Sports, Inc. (a)

304

12,522

Hot Topic, Inc.

468

3,538

Jos. A. Bank Clothiers, Inc. (a)

308

16,460

Kirkland's, Inc. (a)

177

1,989

Lithia Motors, Inc. Class A (sub. vtg.)

259

5,328

Lumber Liquidators Holdings, Inc. (a)

282

4,222

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

MarineMax, Inc. (a)

245

$ 1,994

Monro Muffler Brake, Inc.

343

12,722

New York & Co., Inc. (a)

252

673

Office Depot, Inc. (a)

3,105

7,110

OfficeMax, Inc. (a)

1,006

5,151

Pacific Sunwear of California, Inc. (a)

440

550

Penske Automotive Group, Inc.

496

10,113

Pier 1 Imports, Inc. (a)

1,099

13,748

Rent-A-Center, Inc.

711

24,281

rue21, Inc. (a)

179

4,769

Select Comfort Corp. (a)

618

12,836

Shoe Carnival, Inc. (a)

116

3,166

Sonic Automotive, Inc. Class A (sub. vtg.)

415

6,088

Stage Stores, Inc.

335

5,236

Stein Mart, Inc.

286

2,074

Syms Corp. (a)

60

469

Systemax, Inc. (a)

116

1,755

Talbots, Inc. (a)

717

1,886

Teavana Holdings, Inc. (a)

71

1,623

The Buckle, Inc.

301

13,413

The Cato Corp. Class A (sub. vtg.)

309

7,920

The Children's Place Retail Stores, Inc. (a)

291

13,662

The Men's Wearhouse, Inc.

578

17,849

The Pep Boys - Manny, Moe & Jack

596

6,854

Vitamin Shoppe, Inc. (a)

279

10,521

West Marine, Inc. (a)

162

1,473

Wet Seal, Inc. Class A (a)

1,075

4,504

Winmark Corp.

26

1,290

Zale Corp. (a)

372

1,373

Zumiez, Inc. (a)

244

5,551

 

426,089

Textiles, Apparel & Luxury Goods - 1.6%

Carter's, Inc. (a)

547

20,835

Cherokee, Inc.

94

1,235

Columbia Sportswear Co.

137

7,362

Crocs, Inc. (a)

952

16,822

Delta Apparel, Inc. (a)

79

1,423

G-III Apparel Group Ltd. (a)

192

5,412

Iconix Brand Group, Inc. (a)

813

14,593

K-Swiss, Inc. Class A (a)

290

1,305

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Kenneth Cole Productions, Inc. Class A (sub. vtg.) (a)

70

$ 753

Liz Claiborne, Inc. (a)

1,046

8,378

Maidenform Brands, Inc. (a)

264

6,489

Movado Group, Inc.

213

3,563

Oxford Industries, Inc.

148

5,846

Perry Ellis International, Inc. (a)

155

3,891

Quiksilver, Inc. (a)

1,526

5,112

R.G. Barry Corp.

136

1,511

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

434

6,189

Steven Madden Ltd. (a)

420

15,498

The Jones Group, Inc.

972

10,857

True Religion Apparel, Inc. (a)

285

9,667

Unifi, Inc. (a)

152

1,178

Vera Bradley, Inc.

221

10,011

Warnaco Group, Inc. (a)

491

24,108

Wolverine World Wide, Inc.

552

20,937

 

202,975

TOTAL CONSUMER DISCRETIONARY

1,646,033

CONSUMER STAPLES - 3.6%

Beverages - 0.2%

Boston Beer Co., Inc. Class A (a)

93

8,229

Central European Distribution Corp. (a)

842

4,547

Coca-Cola Bottling Co. Consolidated

57

3,199

Craft Brewers Alliance, Inc. (a)

97

635

Heckmann Corp. (a)

1,062

6,361

MGP Ingredients, Inc.

112

735

National Beverage Corp.

117

1,980

Primo Water Corp.

136

827

 

26,513

Food & Staples Retailing - 1.1%

Andersons, Inc.

209

7,716

Arden Group, Inc. Class A

11

998

Casey's General Stores, Inc.

425

21,059

Chefs' Warehouse Holdings (a)

112

1,600

Fresh Market, Inc.

314

12,560

Ingles Markets, Inc. Class A

131

1,978

Nash-Finch Co.

127

3,343

PriceSmart, Inc.

199

15,132

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Rite Aid Corp. (a)

6,674

$ 7,742

Ruddick Corp.

547

23,909

Spartan Stores, Inc.

272

4,657

Susser Holdings Corp. (a)

86

1,889

The Pantry, Inc. (a)

244

3,450

United Natural Foods, Inc. (a)

538

19,642

Village Super Market, Inc. Class A

66

1,872

Weis Markets, Inc.

132

5,221

Winn-Dixie Stores, Inc. (a)

683

4,330

 

137,098

Food Products - 1.4%

Alico, Inc.

33

751

B&G Foods, Inc. Class A

537

11,395

Cal-Maine Foods, Inc.

166

5,531

Calavo Growers, Inc.

147

3,318

Chiquita Brands International, Inc. (a)

539

4,786

Darling International, Inc. (a)

1,313

18,408

Diamond Foods, Inc.

248

16,306

Dole Food Co., Inc. (a)

434

4,592

Farmer Brothers Co.

63

369

Fresh Del Monte Produce, Inc.

405

10,311

Griffin Land & Nurseries, Inc.

23

617

Hain Celestial Group, Inc. (a)

399

13,390

Harbinger Group, Inc. (a)

84

432

Imperial Sugar Co.

114

772

J&J Snack Foods Corp.

160

8,251

Lancaster Colony Corp.

204

13,570

Lifeway Foods, Inc. (a)

43

453

Limoneira Co.

85

1,475

Omega Protein Corp. (a)

201

2,177

Pilgrims Pride Corp. (a)

520

2,621

Sanderson Farms, Inc.

247

12,227

Seneca Foods Corp. Class A (a)

96

2,021

Smart Balance, Inc. (a)

711

4,657

Snyders-Lance, Inc.

532

11,289

Tootsie Roll Industries, Inc.

271

6,713

TreeHouse Foods, Inc. (a)

397

24,352

 

180,784

Household Products - 0.2%

Central Garden & Pet Co. Class A (non-vtg.) (a)

561

4,931

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - continued

Oil-Dri Corp. of America

77

$ 1,544

Spectrum Brands Holdings, Inc. (a)

199

5,051

WD-40 Co.

173

7,615

 

19,141

Personal Products - 0.5%

Elizabeth Arden, Inc. (a)

270

9,256

Inter Parfums, Inc.

195

3,596

MediFast, Inc. (a)

140

2,302

Nature's Sunshine Products, Inc. (a)

118

2,048

Nu Skin Enterprises, Inc. Class A

610

30,823

Nutraceutical International Corp. (a)

101

1,394

Prestige Brands Holdings, Inc. (a)

571

6,041

Revlon, Inc. (a)

116

1,709

Schiff Nutrition International, Inc.

163

1,992

Synutra International, Inc. (a)

204

1,357

The Female Health Co.

172

783

USANA Health Sciences, Inc. (a)

70

2,422

 

63,723

Tobacco - 0.2%

Alliance One International, Inc. (a)

1,146

3,060

Star Scientific, Inc. (a)

1,288

3,735

Universal Corp.

256

10,962

Vector Group Ltd.

552

9,699

 

27,456

TOTAL CONSUMER STAPLES

454,715

ENERGY - 6.8%

Energy Equipment & Services - 2.1%

Basic Energy Services, Inc. (a)

283

5,190

Bristow Group, Inc.

412

20,509

C&J Energy Services, Inc.

129

2,175

Cal Dive International, Inc. (a)

984

2,204

Complete Production Services, Inc. (a)

885

29,028

Dawson Geophysical Co. (a)

82

2,370

Dril-Quip, Inc. (a)

387

25,194

Exterran Holdings, Inc. (a)

731

6,945

Geokinetics, Inc. (a)

99

324

Global Geophysical Services, Inc. (a)

191

1,822

Global Industries Ltd. (a)

1,139

9,055

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Gulf Island Fabrication, Inc.

171

$ 4,762

Gulfmark Offshore, Inc. Class A (a)

266

11,063

Helix Energy Solutions Group, Inc. (a)

1,189

21,473

Hercules Offshore, Inc. (a)

1,355

5,135

Hornbeck Offshore Services, Inc. (a)

237

7,783

ION Geophysical Corp. (a)

1,466

11,171

Key Energy Services, Inc. (a)

1,404

18,154

Lufkin Industries, Inc.

344

20,327

Matrix Service Co. (a)

323

3,430

Mitcham Industries, Inc. (a)

156

2,274

Natural Gas Services Group, Inc. (a)

156

2,147

Newpark Resources, Inc. (a)

1,000

8,930

OYO Geospace Corp. (a)

46

3,615

Parker Drilling Co. (a)

1,202

6,647

PHI, Inc. (non-vtg.) (a)

131

2,891

Pioneer Drilling Co. (a)

685

6,775

RigNet, Inc.

69

1,078

Tesco Corp. (a)

349

5,399

TETRA Technologies, Inc. (a)

853

8,104

Union Drilling, Inc. (a)

141

1,056

Vantage Drilling Co. (a)

1,773

2,411

Willbros Group, Inc. (a)

408

2,077

 

261,518

Oil, Gas & Consumable Fuels - 4.7%

Abraxas Petroleum Corp. (a)

984

3,838

Alon USA Energy, Inc.

105

798

Amyris, Inc. (a)

187

3,834

APCO Oil and Gas International, Inc.

102

8,466

Approach Resources, Inc. (a)

231

5,639

ATP Oil & Gas Corp. (a)

518

5,465

Berry Petroleum Co. Class A

583

20,143

Bill Barrett Corp. (a)

534

22,214

BPZ Energy, Inc. (a)

1,095

3,274

Callon Petroleum Co. (a)

412

1,941

CAMAC Energy, Inc. (a)

545

605

Carrizo Oil & Gas, Inc. (a)

438

11,914

Cheniere Energy, Inc. (a)

922

10,566

Clayton Williams Energy, Inc. (a)

63

4,116

Clean Energy Fuels Corp. (a)

562

6,643

Cloud Peak Energy, Inc. (a)

680

15,606

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Comstock Resources, Inc. (a)

537

$ 9,795

Contango Oil & Gas Co. (a)

136

8,750

Crimson Exploration, Inc. (a)

203

605

Crosstex Energy, Inc.

419

5,460

CVR Energy, Inc. (a)

983

24,339

Delek US Holdings, Inc.

149

2,158

DHT Holdings, Inc.

696

1,114

Endeavour International Corp. (a)

394

3,656

Energy Partners Ltd. (a)

342

4,904

Energy XXI (Bermuda) Ltd. (a)

845

24,818

Evolution Petroleum Corp. (a)

180

1,244

Frontline Ltd. (NY Shares)

628

3,266

FX Energy, Inc. (a)

632

3,741

Gastar Exploration Ltd. (a)

599

2,216

General Maritime Corp.

1,077

280

Georesources, Inc. (a)

230

6,104

Gevo, Inc. (a)

55

409

GMX Resources, Inc. (a)

645

1,613

Golar LNG Ltd. (NASDAQ)

447

18,072

Goodrich Petroleum Corp. (a)

308

4,882

Green Plains Renewable Energy, Inc. (a)

212

2,218

Gulfport Energy Corp. (a)

470

14,636

Hallador Energy Co.

42

399

Harvest Natural Resources, Inc. (a)

358

3,820

Houston American Energy Corp.

168

2,631

Hyperdynamics Corp. (a)

1,747

8,560

Isramco, Inc. (a)

10

848

James River Coal Co. (a)

420

4,347

KiOR, Inc. Class A

106

1,752

Knightsbridge Tankers Ltd.

253

4,271

Kodiak Oil & Gas Corp. (a)

2,351

16,245

L&L Energy, Inc. (a)

207

561

Magnum Hunter Resources Corp.

1,141

5,135

McMoRan Exploration Co. (a)

1,120

13,642

Miller Energy Resources, Inc. (a)

288

827

Nordic American Tanker Shipping Ltd.

529

7,628

Northern Oil & Gas, Inc. (a)

715

17,282

Oasis Petroleum, Inc. (a)

671

19,687

Overseas Shipholding Group, Inc.

322

4,019

Panhandle Royalty Co. Class A

90

2,999

Patriot Coal Corp. (a)

1,018

12,786

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Penn Virginia Corp.

554

$ 3,374

Petroleum Development Corp. (a)

263

6,867

Petroquest Energy, Inc. (a)

666

4,855

Rentech, Inc. (a)

2,730

4,395

Resolute Energy Corp. (a)

522

6,786

Rex American Resources Corp. (a)

75

1,368

Rex Energy Corp. (a)

360

5,573

Rosetta Resources, Inc. (a)

595

26,382

Scorpio Tankers, Inc. (a)

267

1,706

SemGroup Corp. Class A (a)

464

12,983

Ship Finance International Ltd. (NY Shares)

468

6,697

Solazyme, Inc.

124

1,261

Stone Energy Corp. (a)

550

13,360

Swift Energy Co. (a)

477

14,606

Syntroleum Corp. (a)

820

689

Targa Resources Corp.

196

6,613

Teekay Tankers Ltd.

434

2,144

Triangle Petroleum Corp. (a)

450

2,538

Ur-Energy, Inc. (a)

1,174

1,484

Uranerz Energy Corp. (a)

714

1,628

Uranium Energy Corp. (a)

915

3,074

Uranium Resources, Inc. (a)

867

1,040

USEC, Inc. (a)

1,465

3,077

Vaalco Energy, Inc. (a)

603

4,106

Venoco, Inc. (a)

355

3,458

Voyager Oil & Gas, Inc. (a)

526

1,452

W&T Offshore, Inc.

392

7,718

Warren Resources, Inc. (a)

741

2,319

Western Refining, Inc. (a)

587

9,380

Westmoreland Coal Co. (a)

92

1,013

World Fuel Services Corp.

794

31,641

Zion Oil & Gas, Inc. (a)

282

821

 

591,189

TOTAL ENERGY

852,707

FINANCIALS - 21.6%

Capital Markets - 2.0%

Apollo Investment Corp.

2,183

18,075

Arlington Asset Investment Corp.

68

1,569

Artio Global Investors, Inc. Class A

394

2,884

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

BGC Partners, Inc. Class A

867

$ 5,939

BlackRock Kelso Capital Corp.

822

7,020

Calamos Asset Management, Inc. Class A

243

3,035

Capital Southwest Corp.

37

3,256

CIFI Corp. (a)

110

609

Cohen & Steers, Inc.

207

5,624

Cowen Group, Inc. Class A (a)

693

1,885

Diamond Hill Investment Group, Inc.

27

2,033

Duff & Phelps Corp. Class A

368

4,670

Edelman Financial Group, Inc.

218

1,513

Epoch Holding Corp.

181

3,729

Evercore Partners, Inc. Class A

238

6,531

FBR Capital Markets Corp. (a)

557

1,159

Fidus Investment Corp.

56

728

Fifth Street Finance Corp.

749

7,385

Financial Engines, Inc. (a)

426

9,674

FXCM, Inc. Class A

225

2,588

GAMCO Investors, Inc. Class A

80

3,768

GFI Group, Inc.

753

3,253

Gladstone Capital Corp.

275

2,266

Gladstone Investment Corp.

235

1,760

Gleacher & Co., Inc. (a)

901

1,153

Golub Capital BDC, Inc.

108

1,676

Harris & Harris Group, Inc. (a)

347

1,364

Hercules Technology Growth Capital, Inc.

516

4,995

HFF, Inc. (a)

348

3,828

ICG Group, Inc. (a)

441

4,758

INTL FCStone, Inc. (a)

141

3,418

Investment Technology Group, Inc. (a)

473

5,397

JMP Group, Inc.

174

1,291

KBW, Inc.

408

5,777

Knight Capital Group, Inc. Class A (a)

1,122

14,014

Kohlberg Capital Corp.

213

1,402

Ladenburg Thalmann Financial Services, Inc. (a)

1,117

1,899

Main Street Capital Corp.

246

4,300

MCG Capital Corp.

940

4,362

Medallion Financial Corp.

158

1,880

Medley Capital Corp.

126

1,173

MF Global Holdings Ltd. (a)

1,690

169

MVC Capital, Inc.

290

3,750

New Mountain Finance Corp.

68

912

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

NGP Capital Resources Co.

284

$ 2,110

Oppenheimer Holdings, Inc. Class A (non-vtg.)

108

1,898

PennantPark Investment Corp.

524

5,617

Piper Jaffray Companies (a)

168

3,488

Prospect Capital Corp.

1,222

11,695

Pzena Investment Management, Inc.

81

351

Safeguard Scientifics, Inc. (a)

219

3,703

Solar Capital Ltd.

405

8,991

Solar Senior Capital Ltd.

86

1,287

Stifel Financial Corp. (a)

601

19,154

SWS Group, Inc.

310

1,708

THL Credit, Inc.

105

1,213

TICC Capital Corp.

393

3,502

Triangle Capital Corp.

231

3,872

Virtus Investment Partners, Inc. (a)

65

4,056

Walter Investment Management Corp.

292

7,405

Westwood Holdings Group, Inc.

64

2,345

 

250,866

Commercial Banks - 5.9%

1st Source Corp.

160

3,846

1st United Bancorp, Inc. (a)

293

1,518

Alliance Financial Corp.

51

1,570

Ameris Bancorp (a)

304

3,055

Ames National Corp.

89

1,639

Arrow Financial Corp.

129

3,011

BancFirst Corp.

68

2,632

Banco Latin Americano de Exporaciones SA (BLADEX) Series E

322

5,233

Bancorp Rhode Island, Inc.

40

1,744

Bancorp, Inc., Delaware (a)

380

3,055

BancorpSouth, Inc.

927

9,057

Bank of Kentucky Financial Corp.

62

1,339

Bank of Marin Bancorp

55

1,949

Bank of the Ozarks, Inc.

318

7,909

Banner Bank

203

3,567

Boston Private Financial Holdings, Inc.

868

6,579

Bridge Bancorp, Inc.

63

1,213

Bridge Capital Holdings (a)

105

1,158

Bryn Mawr Bank Corp.

113

2,075

Camden National Corp.

99

2,938

Cape Bancorp, Inc. (a)

135

1,026

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Capital Bank Corp. (a)

130

$ 273

Capital City Bank Group, Inc.

127

1,294

Cardinal Financial Corp.

350

3,759

Cascade Bancorp (a)

56

296

Cathay General Bancorp

874

12,227

Center Bancorp, Inc.

133

1,234

Center Financial Corp. (a)

375

2,464

Centerstate Banks of Florida, Inc.

279

1,585

Central Pacific Financial Corp. (a)

163

1,987

Century Bancorp, Inc. Class A (non-vtg.)

40

1,083

Chemical Financial Corp.

312

6,281

Citizens & Northern Corp.

127

2,104

City Holding Co.

174

5,718

CNB Financial Corp., Pennsylvania

114

1,632

CoBiz, Inc.

345

1,829

Columbia Banking Systems, Inc.

438

8,353

Community Bank System, Inc.

410

10,480

Community Trust Bancorp, Inc.

146

4,136

CVB Financial Corp.

997

9,681

Eagle Bancorp, Inc., Maryland (a)

217

3,010

Encore Bancshares, Inc. (a)

96

1,129

Enterprise Bancorp, Inc.

54

778

Enterprise Financial Services Corp.

203

3,132

Financial Institutions, Inc.

180

2,948

First Bancorp, North Carolina

160

2,029

First Busey Corp.

924

4,712

First Commonwealth Financial Corp.

1,220

5,624

First Community Bancshares, Inc.

166

1,994

First Connecticut Bancorp, Inc. (a)

232

2,728

First Financial Bancorp, Ohio

644

10,562

First Financial Bankshares, Inc.

345

10,957

First Financial Corp., Indiana

117

3,845

First Interstate Bancsystem, Inc.

194

2,452

First Merchants Corp.

267

2,152

First Midwest Bancorp, Inc., Delaware

830

7,478

First of Long Island Corp.

71

1,814

FirstMerit Corp.

1,225

17,162

FNB Corp., Pennsylvania

1,445

14,580

German American Bancorp, Inc.

165

2,866

Glacier Bancorp, Inc.

796

9,035

Great Southern Bancorp, Inc.

106

2,108

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Hampton Roads Bankshares, Inc. (a)

91

$ 399

Hancock Holding Co.

849

25,725

Hanmi Financial Corp. (a)

1,642

1,642

Heartland Financial USA, Inc.

138

2,157

Heritage Commerce Corp. (a)

194

937

Heritage Financial Corp., Washington

193

2,434

Home Bancshares, Inc.

260

6,097

Hudson Valley Holding Corp.

172

3,736

IBERIABANK Corp.

334

17,274

Independent Bank Corp., Massachusetts

218

5,651

International Bancshares Corp.

585

10,600

Investors Bancorp, Inc. (a)

525

7,287

Lakeland Bancorp, Inc.

201

1,867

Lakeland Financial Corp.

169

4,037

MainSource Financial Group, Inc.

208

1,951

MB Financial, Inc.

600

9,942

Merchants Bancshares, Inc.

53

1,509

Metro Bancorp, Inc. (a)

154

1,274

Midsouth Bancorp, Inc.

88

1,208

Nara Bancorp, Inc. (a)

458

3,884

National Bankshares, Inc.

73

2,040

National Penn Bancshares, Inc.

1,370

10,686

NBT Bancorp, Inc.

382

8,221

Northfield Bancorp, Inc.

173

2,389

Old National Bancorp, Indiana

1,056

12,218

OmniAmerican Bancorp, Inc. (a)

125

1,844

Oriental Financial Group, Inc.

521

5,517

Orrstown Financial Services, Inc.

82

751

Pacific Capital Bancorp NA (a)

47

1,217

Pacific Continental Corp.

199

1,725

PacWest Bancorp

344

6,068

Park National Corp.

145

8,658

Park Sterling Corp. (a)

322

1,240

Penns Woods Bancorp, Inc.

36

1,322

Peoples Bancorp, Inc.

116

1,535

Pinnacle Financial Partners, Inc. (a)

393

5,899

PrivateBancorp, Inc.

670

7,303

Prosperity Bancshares, Inc.

528

20,323

Renasant Corp.

264

3,807

Republic Bancorp, Inc., Kentucky Class A

103

2,095

S&T Bancorp, Inc.

285

5,321

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

S.Y. Bancorp, Inc.

152

$ 3,128

Sandy Spring Bancorp, Inc.

287

4,882

SCBT Financial Corp.

167

4,932

Seacoast Banking Corp., Florida (a)

818

1,219

Sierra Bancorp

131

1,433

Signature Bank, New York (a)

514

28,656

Simmons First National Corp. Class A

203

5,270

Southside Bancshares, Inc.

175

3,600

Southwest Bancorp, Inc., Oklahoma (a)

180

846

State Bancorp, Inc., New York

140

1,656

State Bank Financial Corp. (a)

368

5,314

StellarOne Corp.

284

3,405

Sterling Bancorp, New York

388

3,201

Sterling Financial Corp., Washington (a)

321

4,818

Suffolk Bancorp

90

766

Sun Bancorp, Inc., New Jersey (a)

428

1,271

Susquehanna Bancshares, Inc.

1,735

12,596

SVB Financial Group (a)

481

22,097

Taylor Capital Group, Inc. (a)

171

1,589

Texas Capital Bancshares, Inc. (a)

409

11,452

The First Bancorp, Inc.

96

1,381

Tompkins Financial Corp.

97

3,825

Tower Bancorp, Inc.

130

3,344

TowneBank

260

3,240

Trico Bancshares

131

1,943

Trustmark Corp.

720

15,941

UMB Financial Corp.

358

13,199

Umpqua Holdings Corp.

1,281

14,667

Union/First Market Bankshares Corp.

253

3,243

United Bankshares, Inc., West Virginia

563

13,366

United Community Banks, Inc., Georgia (a)

438

3,237

Univest Corp. of Pennsylvania

210

3,194

Virginia Commerce Bancorp, Inc. (a)

251

1,596

Washington Banking Co., Oak Harbor

142

1,678

Washington Trust Bancorp, Inc.

152

3,569

Webster Financial Corp.

800

15,712

WesBanco, Inc.

268

5,322

West Bancorp., Inc.

168

1,653

West Coast Bancorp (a)

234

3,494

Westamerica Bancorp.

322

14,432

Western Alliance Bancorp. (a)

813

5,285

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Wilshire Bancorp, Inc. (a)

644

$ 2,202

Wintrust Financial Corp.

389

11,234

 

744,302

Consumer Finance - 0.7%

Advance America Cash Advance Centers, Inc.

640

5,395

Cash America International, Inc.

331

18,122

Credit Acceptance Corp. (a)

78

5,376

DFC Global Corp. (a)

485

10,631

EZCORP, Inc. (non-vtg.) Class A (a)

525

14,585

First Cash Financial Services, Inc. (a)

350

14,525

First Marblehead Corp. (a)

800

768

Imperial Holdings, Inc. (a)

200

450

Nelnet, Inc. Class A

295

6,337

Netspend Holdings, Inc.

313

1,800

Nicholas Financial, Inc.

110

1,250

World Acceptance Corp. (a)

166

11,230

 

90,469

Diversified Financial Services - 0.5%

California First National Bancorp

19

317

Compass Diversified Holdings

414

5,407

Encore Capital Group, Inc. (a)

191

5,174

Gain Capital Holdings, Inc.

69

484

MarketAxess Holdings, Inc.

317

9,266

Marlin Business Services Corp.

99

1,167

NewStar Financial, Inc. (a)

332

3,559

PHH Corp. (a)

633

11,679

PICO Holdings, Inc. (a)

257

5,870

Portfolio Recovery Associates, Inc. (a)

191

13,397

Primus Guaranty Ltd. (a)

274

1,600

 

57,920

Insurance - 2.6%

Alterra Capital Holdings Ltd.

998

21,637

American Equity Investment Life Holding Co.

664

7,198

American Safety Insurance Group Ltd. (a)

138

2,817

Amerisafe, Inc. (a)

222

4,784

Amtrust Financial Services, Inc.

275

6,980

Argo Group International Holdings, Ltd.

307

9,268

Baldwin & Lyons, Inc. Class B

87

2,004

Citizens, Inc. Class A (a)

465

3,646

CNO Financial Group, Inc. (a)

2,468

15,425

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Crawford & Co. Class B

273

$ 1,941

Delphi Financial Group, Inc. Class A

531

14,061

Donegal Group, Inc. Class A

89

1,114

eHealth, Inc. (a)

225

3,341

EMC Insurance Group

43

836

Employers Holdings, Inc.

394

6,391

Enstar Group Ltd. (a)

78

7,174

FBL Financial Group, Inc. Class A

153

4,995

First American Financial Corp.

1,178

14,136

Flagstone Reinsurance Holdings Ltd.

615

5,221

Fortegra Financial Corp. (a)

54

285

Global Indemnity PLC (a)

168

3,392

Greenlight Capital Re, Ltd. (a)

316

7,119

Hallmark Financial Services, Inc. (a)

191

1,482

Harleysville Group, Inc.

138

8,109

Hilltop Holdings, Inc. (a)

426

3,357

Horace Mann Educators Corp.

451

6,066

Independence Holding Co.

68

564

Infinity Property & Casualty Corp.

139

8,056

Kansas City Life Insurance Co.

47

1,575

Maiden Holdings Ltd.

599

4,882

Meadowbrook Insurance Group, Inc.

599

6,206

Montpelier Re Holdings Ltd.

690

12,075

National Financial Partners Corp. (a)

500

6,835

National Interstate Corp.

74

1,968

National Western Life Insurance Co. Class A

23

3,307

Navigators Group, Inc. (a)

135

6,159

OneBeacon Insurance Group Ltd.

237

3,607

Phoenix Companies, Inc. (a)

1,235

1,840

Platinum Underwriters Holdings Ltd.

414

14,337

Presidential Life Corp.

287

2,847

Primerica, Inc.

379

8,577

ProAssurance Corp.

336

25,721

RLI Corp.

203

14,279

Safety Insurance Group, Inc.

129

5,498

SeaBright Insurance Holdings, Inc.

213

1,529

Selective Insurance Group, Inc.

595

9,538

State Auto Financial Corp.

151

2,007

Stewart Information Services Corp.

191

1,918

Symetra Financial Corp.

761

7,054

Tower Group, Inc.

415

9,848

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

United Fire & Casualty Co.

254

$ 4,778

Universal Insurance Holdings, Inc.

174

734

 

328,518

Real Estate Investment Trusts - 8.6%

Acadia Realty Trust (SBI)

448

9,283

AG Mortgage Investment Trust, Inc.

75

1,361

Agree Realty Corp.

92

2,200

Alexanders, Inc.

22

9,541

American Assets Trust, Inc.

334

6,770

American Campus Communities, Inc.

756

29,431

American Capital Mortgage Investment Corp.

90

1,636

Anworth Mortgage Asset Corp.

1,333

8,598

Apollo Commercial Real Estate Finance, Inc.

206

2,886

Armour Residential REIT, Inc.

880

6,292

Ashford Hospitality Trust, Inc.

615

5,474

Associated Estates Realty Corp.

467

7,930

BioMed Realty Trust, Inc.

1,480

26,803

Campus Crest Communities, Inc.

322

3,680

CapLease, Inc.

843

3,296

Capstead Mortgage Corp.

955

11,575

CBL & Associates Properties, Inc.

1,671

25,700

Cedar Shopping Centers, Inc.

581

2,132

Chatham Lodging Trust

148

1,665

Chesapeake Lodging Trust

332

4,960

Cogdell Spencer, Inc.

465

1,879

Colonial Properties Trust (SBI)

938

19,023

Colony Financial, Inc.

380

5,575

Coresite Realty Corp.

212

3,530

Cousins Properties, Inc.

1,029

6,750

Crexus Investment Corp.

661

6,319

CubeSmart

1,115

10,938

Cys Investments, Inc.

914

11,590

DCT Industrial Trust, Inc.

2,817

13,972

DiamondRock Hospitality Co.

1,895

17,150

DuPont Fabros Technology, Inc.

663

13,784

Dynex Capital, Inc.

425

3,723

EastGroup Properties, Inc.

306

13,345

Education Realty Trust, Inc.

750

6,938

Entertainment Properties Trust (SBI)

528

23,654

Equity Lifestyle Properties, Inc.

339

22,418

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Equity One, Inc.

602

$ 10,324

Excel Trust, Inc.

389

4,088

Extra Space Storage, Inc.

1,055

23,769

FelCor Lodging Trust, Inc. (a)

1,323

3,982

First Industrial Realty Trust, Inc. (a)

962

9,476

First Potomac Realty Trust

560

7,958

Franklin Street Properties Corp.

782

9,931

Getty Realty Corp.

306

4,878

Gladstone Commercial Corp.

138

2,323

Glimcher Realty Trust

1,189

10,891

Government Properties Income Trust

409

9,624

Hatteras Financial Corp.

849

21,819

Healthcare Realty Trust, Inc.

891

16,831

Hersha Hospitality Trust

1,594

7,030

Highwoods Properties, Inc. (SBI)

813

25,187

Home Properties, Inc.

536

31,570

Hudson Pacific Properties, Inc.

270

3,607

Inland Real Estate Corp.

877

6,578

Invesco Mortgage Capital, Inc.

1,253

19,772

Investors Real Estate Trust

908

6,728

iStar Financial, Inc. (a)

954

6,478

Kilroy Realty Corp.

663

24,325

Kite Realty Group Trust

719

2,969

LaSalle Hotel Properties (SBI)

959

22,930

Lexington Corporate Properties Trust

1,384

10,878

LTC Properties, Inc.

338

9,586

Medical Properties Trust, Inc.

1,270

12,827

MFA Financial, Inc.

3,972

26,811

Mid-America Apartment Communities, Inc.

411

25,646

Mission West Properties, Inc.

190

1,478

Monmouth Real Estate Investment Corp. Class A

329

2,764

MPG Office Trust, Inc. (a)

552

1,319

National Health Investors, Inc.

270

12,066

National Retail Properties, Inc.

1,068

29,103

Newcastle Investment Corp.

1,213

5,568

NorthStar Realty Finance Corp.

1,012

3,997

Omega Healthcare Investors, Inc.

1,151

20,442

One Liberty Properties, Inc.

116

1,886

Parkway Properties, Inc.

270

3,470

Pebblebrook Hotel Trust

563

10,714

Pennsylvania Real Estate Investment Trust (SBI)

571

5,858

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Pennymac Mortgage Investment Trust

320

$ 5,472

Post Properties, Inc.

557

22,882

Potlatch Corp.

449

14,584

PS Business Parks, Inc.

206

10,965

RAIT Financial Trust

409

2,127

Ramco-Gershenson Properties Trust (SBI)

407

3,928

Redwood Trust, Inc.

883

10,260

Resource Capital Corp.

858

4,607

Retail Opportunity Investments Corp.

490

5,586

RLJ Lodging Trust

330

4,891

Sabra Health Care REIT, Inc.

447

4,591

Saul Centers, Inc.

92

3,297

Sovran Self Storage, Inc.

310

13,702

Stag Industrial, Inc.

166

1,783

Starwood Property Trust, Inc.

1,062

19,955

Strategic Hotel & Resorts, Inc. (a)

1,959

11,147

Summit Hotel Properties, Inc.

280

2,260

Sun Communities, Inc.

237

9,025

Sunstone Hotel Investors, Inc. (a)

1,307

9,084

Tanger Factory Outlet Centers, Inc.

954

26,865

Terreno Realty Corp.

101

1,257

Two Harbors Investment Corp.

1,619

15,138

UMH Properties, Inc.

107

1,074

Universal Health Realty Income Trust (SBI)

138

5,240

Urstadt Biddle Properties, Inc. Class A

239

4,264

Washington (REIT) (SBI)

747

21,633

Whitestone REIT Class B

88

1,030

Winthrop Realty Trust

357

3,231

 

1,069,160

Real Estate Management & Development - 0.1%

Avatar Holdings, Inc. (a)

83

789

Consolidated-Tomoka Land Co.

39

1,168

Forestar Group, Inc. (a)

412

5,356

Kennedy-Wilson Holdings, Inc.

290

3,602

Tejon Ranch Co. (a)

149

3,873

 

14,788

Thrifts & Mortgage Finance - 1.2%

Apollo Residential Mortgage, Inc.

125

2,039

Astoria Financial Corp.

974

8,084

Bank Mutual Corp.

505

1,682

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

BankFinancial Corp.

196

$ 1,568

Beneficial Mutual Bancorp, Inc. (a)

335

2,750

Berkshire Hills Bancorp, Inc.

246

4,925

BofI Holding, Inc. (a)

97

1,484

Brookline Bancorp, Inc., Delaware

678

5,668

Charter Financial Corp., Georgia

63

590

Clifton Savings Bancorp, Inc.

79

804

Dime Community Bancshares, Inc.

377

4,494

Doral Financial Corp. (a)

1,356

1,627

ESB Financial Corp.

161

2,230

ESSA Bancorp, Inc.

161

1,777

Farmer Mac Class C (non-vtg.)

101

2,038

First Defiance Financial Corp. (a)

105

1,492

First Financial Holdings, Inc.

195

1,453

First PacTrust Bancorp, Inc.

111

1,396

Flagstar Bancorp, Inc. (a)

2,120

1,654

Flushing Financial Corp.

375

4,598

Fox Chase Bancorp, Inc.

135

1,709

Franklin Financial Corp./VA (a)

148

1,656

Home Federal Bancorp, Inc.

154

1,548

Kearny Financial Corp.

147

1,430

Meridian Interstate Bancorp, Inc. (a)

99

1,290

MGIC Investment Corp. (a)

2,177

5,791

Northwest Bancshares, Inc.

1,201

14,976

OceanFirst Financial Corp.

153

1,995

Ocwen Financial Corp. (a)

832

12,064

Oritani Financial Corp.

568

7,361

Provident Financial Services, Inc.

669

8,664

Provident New York Bancorp

470

3,267

Radian Group, Inc.

1,413

3,321

Rockville Financial, Inc.

317

3,186

Roma Financial Corp.

70

677

Territorial Bancorp, Inc.

153

3,006

The PMI Group, Inc. (a)

1,415

441

Trustco Bank Corp., New York

1,079

5,352

United Financial Bancorp, Inc.

204

3,293

ViewPoint Financial Group

406

5,225

Walker & Dunlop, Inc.

117

1,486

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Westfield Financial, Inc.

381

$ 2,709

WSFS Financial Corp.

82

3,260

 

146,060

TOTAL FINANCIALS

2,702,083

HEALTH CARE - 12.4%

Biotechnology - 3.7%

Achillion Pharmaceuticals, Inc. (a)

577

3,658

Acorda Therapeutics, Inc. (a)

440

9,610

Affymax, Inc. (a)

374

1,990

Alkermes PLC (a)

1,057

18,487

Allos Therapeutics, Inc. (a)

838

1,232

Alnylam Pharmaceuticals, Inc. (a)

446

3,622

AMAG Pharmaceuticals, Inc. (a)

224

3,161

Amicus Therapeutics, Inc. (a)

146

480

Anacor Pharmaceuticals, Inc.

101

684

Anthera Pharmaceuticals, Inc. (a)

233

1,489

Ardea Biosciences, Inc. (a)

181

3,604

Arena Pharmaceuticals, Inc. (a)

1,493

2,105

ARIAD Pharmaceuticals, Inc. (a)

1,486

17,282

ArQule, Inc. (a)

574

3,335

Array Biopharma, Inc. (a)

785

1,892

Astex Pharmaceuticals, Inc. (a)

643

1,241

AVEO Pharmaceuticals, Inc. (a)

362

5,814

AVI BioPharma, Inc. (a)

1,443

1,414

BioCryst Pharmaceuticals, Inc. (a)

268

823

BioMimetic Therapeutics, Inc. (a)

178

577

Biosante Pharmaceuticals, Inc. (a)

1,340

3,551

Biospecifics Technologies Corp. (a)

46

782

BioTime, Inc. (a)

280

1,263

Cell Therapeutics, Inc. (a)

2,475

3,168

Celldex Therapeutics, Inc. (a)

497

1,595

Cepheid, Inc. (a)

690

24,757

Chelsea Therapeutics International Ltd. (a)

683

3,094

Cleveland Biolabs, Inc. (a)

263

781

Codexis, Inc. (a)

274

1,263

Cubist Pharmaceuticals, Inc. (a)

669

25,295

Curis, Inc. (a)

941

3,463

Cytori Therapeutics, Inc. (a)

517

1,567

DUSA Pharmaceuticals, Inc. (a)

279

1,256

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Dyax Corp. (a)

1,068

$ 1,442

Dynavax Technologies Corp. (a)

1,470

3,998

Emergent BioSolutions, Inc. (a)

285

5,375

Enzon Pharmaceuticals, Inc. (a)

404

2,969

Exact Sciences Corp. (a)

622

4,945

Exelixis, Inc. (a)

1,426

11,023

Genomic Health, Inc. (a)

178

3,809

Geron Corp. (a)

1,386

3,257

GTx, Inc. (a)

203

891

Halozyme Therapeutics, Inc. (a)

919

7,747

Horizon Pharma, Inc.

102

917

Idenix Pharmaceuticals, Inc. (a)

588

3,528

ImmunoGen, Inc. (a)

840

11,407

Immunomedics, Inc. (a)

839

3,054

Incyte Corp. (a)

997

13,729

Infinity Pharmaceuticals, Inc. (a)

255

1,930

Inhibitex, Inc. (a)

668

2,599

Insmed, Inc. (a)

231

815

InterMune, Inc. (a)

607

15,479

Ironwood Pharmaceuticals, Inc. Class A (a)

564

7,670

Isis Pharmaceuticals, Inc. (a)

1,102

9,136

Keryx Biopharmaceuticals, Inc. (a)

706

2,210

Lexicon Pharmaceuticals, Inc. (a)

1,792

2,168

Ligand Pharmaceuticals, Inc. Class B (a)

240

3,528

MannKind Corp. (a)

838

2,615

Maxygen, Inc.

316

1,864

Medivation, Inc. (a)

359

6,168

Metabolix, Inc. (a)

359

1,842

Micromet, Inc. (a)

936

6,150

Momenta Pharmaceuticals, Inc. (a)

528

7,814

Nabi Biopharmaceuticals (a)

515

948

Neurocrine Biosciences, Inc. (a)

589

3,687

Novavax, Inc. (a)

1,016

1,605

NPS Pharmaceuticals, Inc. (a)

885

4,575

Nymox Pharmaceutical Corp. (a)

204

1,883

OncoGenex Pharmaceuticals, Inc. (a)

113

1,311

Oncothyreon, Inc. (a)

508

3,536

ONYX Pharmaceuticals, Inc. (a)

710

29,060

Opko Health, Inc. (a)

1,248

6,714

OREXIGEN Therapeutics, Inc. (a)

299

655

Osiris Therapeutics, Inc. (a)

271

1,453

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

PDL BioPharma, Inc.

1,557

$ 9,451

Peregrine Pharmaceuticals, Inc. (a)

810

851

Pharmacyclics, Inc. (a)

523

6,888

PharmAthene, Inc. (a)

331

563

Progenics Pharmaceuticals, Inc. (a)

307

2,017

Raptor Pharmaceutical Corp. (a)

603

2,979

Rigel Pharmaceuticals, Inc. (a)

705

5,534

Sangamo Biosciences, Inc. (a)

529

1,756

Savient Pharmaceuticals, Inc. (a)

760

2,850

SciClone Pharmaceuticals, Inc. (a)

373

1,570

Seattle Genetics, Inc. (a)

1,082

23,804

SIGA Technologies, Inc. (a)

385

1,247

Spectrum Pharmaceuticals, Inc. (a)

600

6,654

Sunesis Pharmaceuticals, Inc. (a)

264

356

Synta Pharmaceuticals Corp. (a)

216

799

Targacept, Inc. (a)

317

5,579

Theravance, Inc. (a)

775

17,228

Trius Therapeutics, Inc. (a)

89

610

Vanda Pharmaceuticals, Inc. (a)

300

1,743

Vical, Inc. (a)

745

2,228

Zalicus, Inc. (a)

690

1,014

ZIOPHARM Oncology, Inc. (a)

721

3,540

Zogenix, Inc.

203

412

 

459,514

Health Care Equipment & Supplies - 3.0%

Abaxis, Inc. (a)

254

7,127

Abiomed, Inc. (a)

372

5,602

Accuray, Inc. (a)

832

3,328

Align Technology, Inc. (a)

683

15,729

Alimera Sciences, Inc. (a)

134

953

Alphatec Holdings, Inc. (a)

605

1,252

Analogic Corp.

140

7,571

Angiodynamics, Inc. (a)

301

4,638

Antares Pharma, Inc. (a)

902

2,048

ArthroCare Corp. (a)

302

9,105

Atricure, Inc. (a)

149

1,663

Atrion Corp.

19

4,275

Bacterin International Holdings, Inc. (a)

207

685

BioLase Technology, Inc.

326

1,187

Cantel Medical Corp.

140

3,864

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Cardiovascular Systems, Inc. (a)

140

$ 1,159

Cerus Corp. (a)

528

1,410

Conceptus, Inc. (a)

361

4,159

CONMED Corp. (a)

317

8,328

Cryolife, Inc. (a)

302

1,392

Cyberonics, Inc. (a)

315

9,072

Cynosure, Inc. Class A (a)

109

1,327

Delcath Systems, Inc. (a)

503

1,821

DexCom, Inc. (a)

759

7,431

DynaVox, Inc. Class A (a)

87

294

Endologix, Inc. (a)

564

6,142

Exactech, Inc. (a)

92

1,472

Greatbatch, Inc. (a)

266

5,940

Haemonetics Corp. (a)

285

17,371

Hansen Medical, Inc. (a)

493

1,548

HeartWare International, Inc. (a)

135

9,171

ICU Medical, Inc. (a)

140

5,503

Insulet Corp. (a)

513

8,372

Integra LifeSciences Holdings Corp. (a)

233

7,470

Invacare Corp.

324

7,274

IRIS International, Inc. (a)

187

1,694

Kensey Nash Corp. (a)

110

2,957

Mako Surgical Corp. (a)

361

13,880

Masimo Corp.

584

12,077

Medical Action Industries, Inc. (a)

152

796

Meridian Bioscience, Inc.

456

8,308

Merit Medical Systems, Inc. (a)

430

5,771

Natus Medical, Inc. (a)

360

3,096

Neogen Corp. (a)

258

9,972

Neoprobe Corp. (a)

1,021

2,900

NuVasive, Inc. (a)

445

6,595

NxStage Medical, Inc. (a)

503

11,564

OraSure Technologies, Inc. (a)

550

5,110

Orthofix International NV (a)

205

7,198

Palomar Medical Technologies, Inc. (a)

176

1,498

Quidel Corp. (a)

326

5,822

Rockwell Medical Technologies, Inc. (a)

172

1,450

RTI Biologics, Inc. (a)

722

3,249

Solta Medical, Inc. (a)

675

1,478

SonoSite, Inc. (a)

162

5,020

Staar Surgical Co. (a)

379

3,411

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Stereotaxis, Inc. (a)

410

$ 476

Steris Corp.

658

20,385

SurModics, Inc. (a)

163

1,718

Symmetry Medical, Inc. (a)

389

3,536

Synergetics USA, Inc. (a)

244

1,632

Synovis Life Technologies, Inc. (a)

151

2,712

The Spectranetics Corp. (a)

417

3,269

Tornier BV

108

2,510

Unilife Corp. (a)

694

3,678

Uroplasty, Inc. (a)

231

1,042

Vascular Solutions, Inc. (a)

233

2,472

Volcano Corp. (a)

585

14,584

West Pharmaceutical Services, Inc.

374

14,537

Wright Medical Group, Inc. (a)

439

7,546

Young Innovations, Inc.

59

1,696

Zoll Medical Corp. (a)

244

9,226

 

380,548

Health Care Providers & Services - 3.0%

Accretive Health, Inc. (a)

447

10,643

Air Methods Corp. (a)

125

10,103

Alliance Healthcare Services, Inc. (a)

227

252

Almost Family, Inc. (a)

88

1,640

Amedisys, Inc. (a)

350

4,596

American Dental Partners, Inc. (a)

143

1,510

AMN Healthcare Services, Inc. (a)

416

1,972

AmSurg Corp. (a)

350

8,866

Assisted Living Concepts, Inc. Class A

240

3,410

Bio-Reference Laboratories, Inc. (a)

283

5,671

BioScrip, Inc. (a)

505

3,283

Capital Senior Living Corp. (a)

288

2,249

CardioNet, Inc. (a)

226

640

Centene Corp. (a)

557

19,579

Chemed Corp.

234

13,890

Chindex International, Inc. (a)

125

1,389

Corvel Corp. (a)

75

3,868

Cross Country Healthcare, Inc. (a)

306

1,530

Emeritus Corp. (a)

348

6,163

ExamWorks Group, Inc. (a)

291

3,070

Five Star Quality Care, Inc. (a)

610

1,580

Gentiva Health Services, Inc. (a)

318

1,317

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Hanger Orthopedic Group, Inc. (a)

383

$ 6,653

HealthSouth Corp. (a)

1,052

18,578

HealthSpring, Inc. (a)

754

40,671

Healthways, Inc. (a)

355

2,542

HMS Holdings Corp. (a)

946

23,120

IPC The Hospitalist Co., Inc. (a)

184

7,715

Kindred Healthcare, Inc. (a)

588

6,850

Landauer, Inc.

107

5,484

LHC Group, Inc. (a)

199

3,122

Magellan Health Services, Inc. (a)

348

17,912

MedQuist Holdings, Inc. (a)

393

3,360

Metropolitan Health Networks, Inc. (a)

531

3,462

Molina Healthcare, Inc. (a)

321

6,799

MWI Veterinary Supply, Inc. (a)

140

10,570

National Healthcare Corp.

123

4,712

National Research Corp.

17

568

NeoStem, Inc. (a)

423

283

Owens & Minor, Inc.

712

21,303

PharMerica Corp. (a)

343

5,351

Providence Service Corp. (a)

139

1,738

PSS World Medical, Inc. (a)

615

13,684

RadNet, Inc. (a)

283

727

Select Medical Holdings Corp. (a)

543

4,724

Skilled Healthcare Group, Inc. (a)

180

680

Sun Healthcare Group, Inc. (a)

233

610

Sunrise Senior Living, Inc. (a)

688

3,784

Team Health Holdings, Inc. (a)

306

6,218

The Ensign Group, Inc.

195

4,438

Triple-S Management Corp. (a)

208

3,952

U.S. Physical Therapy, Inc.

151

2,948

Universal American Spin Corp. (a)

340

3,910

Vanguard Health Systems, Inc. (a)

321

3,120

Wellcare Health Plans, Inc. (a)

475

23,280

 

370,089

Health Care Technology - 0.6%

athenahealth, Inc. (a)

391

20,688

Computer Programs & Systems, Inc.

124

6,333

Epocrates, Inc. (a)

58

505

HealthStream, Inc. (a)

159

2,414

MedAssets, Inc. (a)

556

5,927

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Medidata Solutions, Inc. (a)

255

$ 4,585

Merge Healthcare, Inc. (a)

543

3,584

Omnicell, Inc. (a)

376

5,621

Quality Systems, Inc.

429

16,692

Transcend Services, Inc. (a)

113

3,088

 

69,437

Life Sciences Tools & Services - 0.4%

Affymetrix, Inc. (a)

849

4,746

Albany Molecular Research, Inc. (a)

204

655

BG Medicine, Inc.

71

347

Caliper Life Sciences, Inc. (a)

550

5,764

Cambrex Corp. (a)

273

1,504

Complete Genomics, Inc.

92

524

Enzo Biochem, Inc. (a)

432

1,236

eResearchTechnology, Inc. (a)

616

3,148

Fluidigm Corp. (a)

75

1,047

Furiex Pharmaceuticals, Inc. (a)

105

1,491

Harvard Bioscience, Inc. (a)

260

1,186

Luminex Corp. (a)

420

9,223

Medtox Scientific, Inc.

87

1,274

Pacific Biosciences of California, Inc.

376

1,474

PAREXEL International Corp. (a)

660

14,540

Sequenom, Inc. (a)

1,150

5,716

 

53,875

Pharmaceuticals - 1.7%

Acura Pharmaceuticals, Inc. (a)

100

444

Aegerion Pharmaceuticals, Inc.

100

1,309

Akorn, Inc. (a)

652

5,861

Ampio Pharmaceuticals, Inc. (a)

211

1,500

Auxilium Pharmaceuticals, Inc. (a)

538

8,371

AVANIR Pharmaceuticals Class A (a)

1,502

4,491

Cadence Pharmaceuticals, Inc. (a)

492

2,868

Columbia Laboratories, Inc. (a)

779

1,971

Corcept Therapeutics, Inc. (a)

449

1,423

Cornerstone Therapeutics, Inc. (a)

75

460

DepoMed, Inc. (a)

580

2,598

Durect Corp. (a)

873

1,388

Endocyte, Inc.

179

1,738

Hi-Tech Pharmacal Co., Inc. (a)

126

4,476

Impax Laboratories, Inc. (a)

728

13,766

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Ista Pharmaceuticals, Inc. (a)

356

$ 1,474

Jazz Pharmaceuticals, Inc. (a)

249

9,701

KV Pharmaceutical Co. Class A (a)

478

531

Lannett Co., Inc. (a)

151

618

MAP Pharmaceuticals, Inc. (a)

230

3,399

Medicis Pharmaceutical Corp. Class A

692

26,497

Nektar Therapeutics (a)

1,285

6,965

Obagi Medical Products, Inc. (a)

195

1,841

Optimer Pharmaceuticals, Inc. (a)

525

7,492

Pacira Pharmaceuticals, Inc.

45

440

Pain Therapeutics, Inc.

381

1,695

Par Pharmaceutical Companies, Inc. (a)

406

12,424

Pernix Therapeutics Holdings, Inc. (a)

35

375

Pozen, Inc. (a)

246

627

Questcor Pharmaceuticals, Inc. (a)

596

24,204

Sagent Pharmaceuticals, Inc.

72

1,840

Salix Pharmaceuticals Ltd. (a)

656

22,471

Santarus, Inc. (a)

562

1,714

Sucampo Pharmaceuticals, Inc. Class A (a)

118

519

The Medicines Company (a)

596

11,157

Transcept Pharmaceuticals, Inc. (a)

48

419

ViroPharma, Inc. (a)

785

15,888

Vivus, Inc. (a)

1,000

9,430

XenoPort, Inc. (a)

463

2,824

 

217,209

TOTAL HEALTH CARE

1,550,672

INDUSTRIALS - 15.4%

Aerospace & Defense - 2.0%

AAR Corp.

441

8,789

AeroVironment, Inc. (a)

194

6,408

American Science & Engineering, Inc.

102

6,938

Astronics Corp. (a)

109

3,314

Ceradyne, Inc. (a)

275

9,202

Cubic Corp.

177

8,340

Curtiss-Wright Corp.

520

17,046

DigitalGlobe, Inc. (a)

393

8,017

Ducommun, Inc.

111

1,584

Esterline Technologies Corp. (a)

341

19,062

GenCorp, Inc. (non-vtg.) (a)

718

3,489

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

GeoEye, Inc. (a)

247

$ 8,292

HEICO Corp.

467

26,628

Hexcel Corp. (a)

1,095

27,057

KEYW Holding Corp.

197

1,655

Kratos Defense & Security Solutions, Inc. (a)

427

2,703

LMI Aerospace, Inc. (a)

97

1,951

Moog, Inc. Class A (a)

508

19,675

National Presto Industries, Inc.

56

5,348

Orbital Sciences Corp. (a)

643

9,941

Taser International, Inc. (a)

738

3,668

Teledyne Technologies, Inc. (a)

409

22,278

Triumph Group, Inc.

420

24,402

 

245,787

Air Freight & Logistics - 0.3%

Air Transport Services Group, Inc. (a)

657

3,640

Atlas Air Worldwide Holdings, Inc. (a)

291

11,209

Forward Air Corp.

325

10,644

Hub Group, Inc. Class A (a)

412

12,879

Pacer International, Inc. (a)

376

1,771

Park-Ohio Holdings Corp. (a)

92

1,489

 

41,632

Airlines - 0.6%

Alaska Air Group, Inc. (a)

400

26,612

Allegiant Travel Co. (a)

166

8,625

Hawaiian Holdings, Inc. (a)

630

3,371

JetBlue Airways Corp. (a)

2,775

12,432

Republic Airways Holdings, Inc. (a)

514

1,336

SkyWest, Inc.

590

7,912

Spirit Airlines, Inc. (a)

160

2,634

US Airways Group, Inc. (a)

1,809

10,438

 

73,360

Building Products - 0.6%

A.O. Smith Corp.

426

15,830

AAON, Inc.

225

4,763

Ameresco, Inc. Class A (a)

184

2,022

American Woodmark Corp.

102

1,735

Apogee Enterprises, Inc.

283

3,090

Builders FirstSource, Inc. (a)

422

688

Gibraltar Industries, Inc. (a)

360

4,018

Griffon Corp. (a)

551

5,218

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Insteel Industries, Inc.

183

$ 1,887

NCI Building Systems, Inc. (a)

208

1,895

Quanex Building Products Corp.

428

6,313

Simpson Manufacturing Co. Ltd.

462

14,165

Trex Co., Inc. (a)

194

3,585

Universal Forest Products, Inc.

222

6,232

USG Corp. (a)

801

7,417

 

78,858

Commercial Services & Supplies - 2.6%

A.T. Cross Co. Class A (a)

107

1,301

ABM Industries, Inc.

598

12,092

ACCO Brands Corp. (a)

592

4,067

American Reprographics Co. (a)

403

1,608

Casella Waste Systems, Inc. Class A (a)

272

1,708

Cenveo, Inc. (a)

573

2,149

Clean Harbors, Inc. (a)

523

30,475

CompX International, Inc. Class A

11

168

Consolidated Graphics, Inc. (a)

107

4,875

Courier Corp.

125

1,086

Deluxe Corp.

572

13,511

EnergySolutions, Inc. (a)

958

3,612

EnerNOC, Inc. (a)

306

2,714

Ennis, Inc.

314

4,594

Fuel Tech, Inc. (a)

209

1,158

G&K Services, Inc. Class A

191

5,799

Healthcare Services Group, Inc.

749

12,995

Heritage-Crystal Clean, Inc. (a)

44

701

Herman Miller, Inc.

638

13,175

Higher One Holdings, Inc. (a)

351

6,192

HNI Corp.

499

12,001

InnerWorkings, Inc. (a)

264

2,389

Interface, Inc. Class A

593

7,733

Intersections, Inc.

98

1,655

Kimball International, Inc. Class B

398

2,241

Knoll, Inc.

534

8,144

M&F Worldwide Corp. (a)

106

2,625

McGrath RentCorp.

274

7,321

Metalico, Inc. (a)

423

1,912

Mine Safety Appliances Co.

301

10,099

Mobile Mini, Inc. (a)

411

7,456

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Multi-Color Corp.

122

$ 3,234

Quad/Graphics, Inc.

290

5,719

Rollins, Inc.

702

15,290

Schawk, Inc. Class A

127

1,713

Standard Parking Corp. (a)

195

3,430

Steelcase, Inc. Class A

897

6,647

Swisher Hygiene, Inc. (Canada) (a)

1,017

4,469

Sykes Enterprises, Inc. (a)

471

7,503

Team, Inc. (a)

224

5,602

Tetra Tech, Inc. (a)

697

15,216

The Brink's Co.

524

14,562

The Geo Group, Inc. (a)

734

13,381

TMS International Corp.

144

1,237

TRC Companies, Inc. (a)

165

721

Unifirst Corp. Massachusetts

159

8,324

United Stationers, Inc.

512

16,287

US Ecology, Inc.

182

3,287

Viad Corp.

241

5,044

WCA Waste Corp. (a)

156

743

 

319,965

Construction & Engineering - 0.8%

Aegion Corp. (a)

445

6,582

Argan, Inc.

118

1,605

Comfort Systems USA, Inc.

453

4,983

Dycom Industries, Inc. (a)

364

7,073

EMCOR Group, Inc.

746

18,702

Furmanite Corp. (a)

465

3,102

Granite Construction, Inc.

429

9,653

Great Lakes Dredge & Dock Corp.

720

3,708

Layne Christensen Co. (a)

225

5,668

MasTec, Inc. (a)

633

13,685

Michael Baker Corp. (a)

88

1,811

MYR Group, Inc. (a)

240

4,630

Northwest Pipe Co. (a)

119

3,174

Orion Marine Group, Inc. (a)

283

1,922

Pike Electric Corp. (a)

182

1,385

Primoris Services Corp.

285

3,711

Sterling Construction Co., Inc. (a)

170

2,117

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Tutor Perini Corp.

364

$ 5,289

UniTek Global Services, Inc. (a)

102

476

 

99,276

Electrical Equipment - 1.3%

A123 Systems, Inc. (a)

933

3,200

Active Power, Inc. (a)

893

814

Acuity Brands, Inc.

484

22,409

American Superconductor Corp. (a)

468

2,040

AZZ, Inc.

142

6,342

Belden, Inc.

529

17,076

Brady Corp. Class A

534

16,404

Broadwind Energy, Inc. (a)

1,652

678

Capstone Turbine Corp. (a)

3,060

3,335

Coleman Cable, Inc. (a)

78

793

Encore Wire Corp.

190

5,050

EnerSys (a)

558

12,572

Franklin Electric Co., Inc.

257

11,801

FuelCell Energy, Inc. (a)

1,374

1,470

Generac Holdings, Inc. (a)

286

6,538

Global Power Equipment Group, Inc. (a)

187

4,957

II-VI, Inc. (a)

581

11,045

LSI Industries, Inc.

212

1,427

Powell Industries, Inc. (a)

106

3,563

PowerSecure International, Inc. (a)

175

744

Preformed Line Products Co.

27

1,737

Satcon Technology Corp. (a)

1,036

1,098

Thermon Group Holdings, Inc.

107

1,699

Valence Technology, Inc. (a)

671

643

Vicor Corp.

204

1,867

Woodward, Inc.

689

23,343

 

162,645

Industrial Conglomerates - 0.2%

Raven Industries, Inc.

200

12,002

Seaboard Corp.

3

6,594

Standex International Corp.

144

5,560

Tredegar Corp.

279

5,404

 

29,560

Machinery - 3.2%

3D Systems Corp. (a)

473

7,696

Accuride Corp. (a)

415

2,623

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Actuant Corp. Class A

768

$ 17,280

Alamo Group, Inc.

87

2,075

Albany International Corp. Class A

312

7,048

Altra Holdings, Inc. (a)

323

4,748

American Railcar Industries, Inc. (a)

102

2,250

Ampco-Pittsburgh Corp.

88

1,847

Astec Industries, Inc. (a)

225

7,481

Badger Meter, Inc.

172

5,631

Barnes Group, Inc.

608

14,148

Blount International, Inc. (a)

543

8,433

Briggs & Stratton Corp.

563

8,220

Cascade Corp.

97

4,181

Chart Industries, Inc. (a)

328

18,535

CIRCOR International, Inc.

194

6,755

CLARCOR, Inc.

560

27,149

Colfax Corp. (a)

282

7,123

Columbus McKinnon Corp. (NY Shares) (a)

242

3,628

Commercial Vehicle Group, Inc. (a)

356

3,927

Douglas Dynamics, Inc.

232

3,485

Dynamic Materials Corp.

163

3,537

Energy Recovery, Inc. (a)

499

1,532

EnPro Industries, Inc. (a)

231

7,956

ESCO Technologies, Inc.

294

8,988

Federal Signal Corp.

752

3,549

Flow International Corp. (a)

530

1,373

Force Protection, Inc. (a)

877

3,227

FreightCar America, Inc. (a)

125

2,369

Gorman-Rupp Co.

179

4,810

Graham Corp.

103

2,373

Greenbrier Companies, Inc. (a)

220

4,094

Hurco Companies, Inc. (a)

84

2,194

John Bean Technologies Corp.

332

5,358

Kadant, Inc. (a)

154

3,334

Kaydon Corp.

361

11,357

L.B. Foster Co. Class A

120

3,060

Lindsay Corp.

140

8,134

Lydall, Inc. (a)

181

1,984

Meritor, Inc. (a)

1,037

9,872

Met-Pro Corp.

158

1,424

Middleby Corp. (a)

209

17,615

Miller Industries, Inc.

122

2,494

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Mueller Industries, Inc.

423

$ 17,110

Mueller Water Products, Inc. Class A

1,816

4,994

NACCO Industries, Inc. Class A

68

5,583

NN, Inc. (a)

185

1,635

Omega Flex, Inc. (a)

26

307

PMFG, Inc. (a)

187

3,824

RBC Bearings, Inc. (a)

242

9,801

Robbins & Myers, Inc.

441

19,708

Sauer-Danfoss, Inc. (a)

136

5,266

Sun Hydraulics Corp.

227

6,529

Tecumseh Products Co. Class A (non-vtg.) (a)

265

1,685

Tennant Co.

214

8,280

Titan International, Inc.

464

10,440

TriMas Corp. (a)

295

5,750

Twin Disc, Inc.

102

3,968

Wabash National Corp. (a)

800

5,520

Watts Water Technologies, Inc. Class A

332

10,455

Xerium Technologies, Inc. (a)

124

1,285

 

397,037

Marine - 0.1%

Baltic Trading Ltd.

190

1,056

Eagle Bulk Shipping, Inc. (a)

713

1,105

Excel Maritime Carriers Ltd. (a)

505

1,434

Genco Shipping & Trading Ltd. (a)

369

3,321

International Shipholding Corp.

61

1,241

Ultrapetrol (Bahamas) Ltd. (a)

198

588

 

8,745

Professional Services - 1.5%

Acacia Research Corp. - Acacia Technologies (a)

479

19,083

Advisory Board Co. (a)

177

10,841

Barrett Business Services, Inc.

86

1,365

CBIZ, Inc. (a)

492

3,114

CDI Corp.

136

1,786

Corporate Executive Board Co.

387

14,160

CoStar Group, Inc. (a)

283

17,413

CRA International, Inc. (a)

138

2,666

Dolan Co. (a)

375

3,281

Exponent, Inc. (a)

157

7,564

Franklin Covey Co. (a)

148

1,427

FTI Consulting, Inc. (a)

474

18,680

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

GP Strategies Corp. (a)

157

$ 1,856

Heidrick & Struggles International, Inc.

189

3,738

Hill International, Inc. (a)

274

1,534

Hudson Highland Group, Inc. (a)

427

1,977

Huron Consulting Group, Inc. (a)

247

8,894

ICF International, Inc. (a)

229

5,354

Insperity, Inc.

260

6,703

Kelly Services, Inc. Class A (non-vtg.)

317

5,183

Kforce, Inc. (a)

396

5,053

Korn/Ferry International (a)

519

8,288

MISTRAS Group, Inc. (a)

152

3,314

Navigant Consulting, Inc. (a)

583

6,605

Odyssey Marine Exploration, Inc. (a)

755

2,152

On Assignment, Inc. (a)

393

4,240

Pendrell Corp. (a)

1,795

4,452

Resources Connection, Inc.

528

5,856

RPX Corp.

98

1,525

School Specialty, Inc. (a)

181

1,385

TrueBlue, Inc. (a)

455

6,015

VSE Corp.

45

1,094

 

186,598

Road & Rail - 1.2%

AMERCO (a)

98

7,420

Arkansas Best Corp.

290

5,974

Avis Budget Group, Inc. (a)

1,180

16,638

Celadon Group, Inc.

263

2,896

Covenant Transport Group, Inc. Class A (a)

78

250

Dollar Thrifty Automotive Group, Inc. (a)

325

19,838

Genesee & Wyoming, Inc. Class A (a)

446

26,408

Heartland Express, Inc.

568

7,617

Knight Transportation, Inc.

694

10,549

Marten Transport Ltd.

167

2,958

Old Dominion Freight Lines, Inc. (a)

532

19,455

Patriot Transportation Holding, Inc. (a)

66

1,518

Quality Distribution, Inc. (a)

159

1,792

RailAmerica, Inc. (a)

228

3,117

Roadrunner Transportation Systems, Inc. (a)

98

1,636

Saia, Inc. (a)

208

2,777

Swift Transporation Co.

878

7,814

Universal Truckload Services, Inc.

51

792

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - continued

Werner Enterprises, Inc.

492

$ 11,660

Zipcar, Inc. (a)

106

2,168

 

153,277

Trading Companies & Distributors - 1.0%

Aceto Corp.

283

1,794

Aircastle Ltd.

602

7,302

Applied Industrial Technologies, Inc.

471

15,835

Beacon Roofing Supply, Inc. (a)

512

9,436

CAI International, Inc. (a)

128

1,998

DXP Enterprises, Inc. (a)

91

2,273

Essex Rental Corp. (a)

159

453

H&E Equipment Services, Inc. (a)

341

3,741

Houston Wire & Cable Co.

185

2,362

Interline Brands, Inc. (a)

383

5,707

Kaman Corp.

290

9,643

Lawson Products, Inc.

32

533

RSC Holdings, Inc. (a)

760

7,418

Rush Enterprises, Inc. Class A (a)

362

6,987

SeaCube Container Leasing Ltd.

119

1,654

TAL International Group, Inc.

253

7,041

Textainer Group Holdings Ltd.

138

3,788

Titan Machinery, Inc. (a)

163

3,803

United Rentals, Inc. (a)

701

16,410

Watsco, Inc.

317

19,546

 

127,724

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)

209

2,360

TOTAL INDUSTRIALS

1,926,824

INFORMATION TECHNOLOGY - 17.3%

Communications Equipment - 2.3%

ADTRAN, Inc.

727

24,427

Anaren, Inc. (a)

161

3,080

Arris Group, Inc. (a)

1,388

14,935

Aruba Networks, Inc. (a)

960

22,742

Aviat Networks, Inc. (a)

642

1,316

Bel Fuse, Inc. Class B (non-vtg.)

110

1,967

BigBand Networks, Inc. (a)

502

1,124

Black Box Corp.

207

5,794

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Blue Coat Systems, Inc. (a)

485

$ 7,809

Calix Networks, Inc. (a)

398

3,467

Communications Systems, Inc.

76

1,252

Comtech Telecommunications Corp.

257

8,509

DG FastChannel, Inc. (a)

311

5,797

Dialogic, Inc. (a)

143

296

Digi International, Inc. (a)

268

3,428

EMCORE Corp. (a)

1,027

1,017

Emulex Corp. (a)

985

8,254

Extreme Networks, Inc. (a)

1,134

3,345

Finisar Corp. (a)

1,008

20,654

Globecomm Systems, Inc. (a)

239

3,248

Harmonic, Inc. (a)

1,174

6,457

Infinera Corp. (a)

1,175

8,589

InterDigital, Inc.

509

22,116

Ixia (a)

462

5,234

KVH Industries, Inc. (a)

165

1,214

Loral Space & Communications Ltd. (a)

125

7,563

Meru Networks, Inc. (a)

100

543

NETGEAR, Inc. (a)

408

14,468

NumereX Corp. Class A (a)

89

708

Oclaro, Inc. (a)

521

2,141

Oplink Communications, Inc. (a)

206

3,341

Opnext, Inc. (a)

406

403

ORBCOMM, Inc. (a)

400

1,100

Plantronics, Inc.

542

18,108

Powerwave Technologies, Inc. (a)

317

1,144

Procera Networks, Inc. (a)

154

1,756

ShoreTel, Inc. (a)

584

3,416

Sonus Networks, Inc. (a)

2,443

6,474

Sycamore Networks, Inc.

242

4,651

Symmetricom, Inc. (a)

562

2,894

Tekelec (a)

695

6,825

ViaSat, Inc. (a)

409

17,419

Westell Technologies, Inc. Class A (a)

580

1,166

 

280,191

Computers & Peripherals - 0.6%

Avid Technology, Inc. (a)

299

1,854

Cray, Inc. (a)

467

2,956

Dot Hill Systems Corp. (a)

660

1,135

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Electronics for Imaging, Inc. (a)

523

$ 7,845

Imation Corp. (a)

309

2,076

Immersion Corp. (a)

297

2,040

Intermec, Inc. (a)

688

5,552

Intevac, Inc. (a)

240

1,932

Novatel Wireless, Inc. (a)

362

1,437

OCZ Technology Group, Inc. (a)

603

4,263

Quantum Corp. (a)

2,313

6,037

Rimage Corp.

107

1,188

Silicon Graphics International Corp. (a)

365

5,278

STEC, Inc. (a)

477

5,400

Stratasys, Inc. (a)

237

6,645

Super Micro Computer, Inc. (a)

317

5,072

Synaptics, Inc. (a)

354

11,962

Xyratex Ltd.

326

4,447

 

77,119

Electronic Equipment & Components - 2.5%

Aeroflex Holding Corp.

205

2,232

Agilysys, Inc. (a)

191

1,622

Anixter International, Inc.

326

19,133

Benchmark Electronics, Inc. (a)

669

9,192

Brightpoint, Inc. (a)

762

7,734

Checkpoint Systems, Inc. (a)

456

6,042

Cognex Corp.

466

15,793

Coherent, Inc. (a)

280

14,272

CTS Corp.

365

3,387

Daktronics, Inc.

366

3,697

DDi Corp.

165

1,516

DTS, Inc. (a)

200

5,618

Echelon Corp. (a)

442

2,988

Electro Rent Corp.

225

3,616

Electro Scientific Industries, Inc. (a)

275

3,380

eMagin Corp. (a)

161

679

Fabrinet (a)

211

2,616

FARO Technologies, Inc. (a)

183

7,646

FEI Co. (a)

435

17,296

GSI Group, Inc. (a)

326

3,185

Identive Group, Inc. (a)

359

851

Insight Enterprises, Inc. (a)

517

8,737

KEMET Corp. (a)

527

4,859

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

LeCroy Corp. (a)

176

$ 1,806

Littelfuse, Inc.

254

12,436

Maxwell Technologies, Inc. (a)

287

5,731

Measurement Specialties, Inc. (a)

173

5,399

Mercury Computer Systems, Inc. (a)

354

5,168

Methode Electronics, Inc. Class A

394

3,660

Microvision, Inc. (a)

976

693

MTS Systems Corp.

175

6,417

Multi-Fineline Electronix, Inc. (a)

94

2,156

NeoPhotonics Corp.

80

418

Newport Corp. (a)

429

5,942

OSI Systems, Inc. (a)

211

9,347

Park Electrochemical Corp.

232

6,566

PC Connection, Inc. (a)

86

718

Plexus Corp. (a)

394

10,126

Power-One, Inc. (a)

710

3,515

Pulse Electronics Corp.

457

1,613

RadiSys Corp. (a)

213

1,248

Richardson Electronics Ltd.

145

1,884

Rofin-Sinar Technologies, Inc. (a)

315

8,190

Rogers Corp. (a)

179

7,727

Sanmina-SCI Corp. (a)

900

7,929

ScanSource, Inc. (a)

296

10,289

SYNNEX Corp. (a)

283

8,170

TTM Technologies, Inc. (a)

591

6,601

Universal Display Corp. (a)

432

20,231

Viasystems Group, Inc. (a)

27

556

Vishay Precision Group, Inc. (a)

129

1,882

X-Rite, Inc. (a)

300

1,353

Zygo Corp. (a)

204

3,129

 

306,991

Internet Software & Services - 1.8%

Active Network, Inc.

127

1,707

Ancestry.com, Inc. (a)

358

8,152

Bankrate, Inc.

277

5,393

Carbonite, Inc.

81

1,022

comScore, Inc. (a)

357

7,536

Constant Contact, Inc. (a)

333

6,740

Cornerstone OnDemand, Inc.

121

1,744

DealerTrack Holdings, Inc. (a)

452

9,804

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Demand Media, Inc.

73

$ 509

Dice Holdings, Inc. (a)

559

5,691

Digital River, Inc. (a)

446

8,175

EarthLink, Inc.

1,226

8,594

FriendFinder Networks, Inc. (a)

51

95

InfoSpace, Inc. (a)

437

3,828

Internap Network Services Corp. (a)

627

3,561

IntraLinks Holdings, Inc. (a)

391

3,398

j2 Global Communications, Inc.

517

15,913

Keynote Systems, Inc.

148

3,533

KIT Digital, Inc. (a)

468

4,212

Limelight Networks, Inc. (a)

711

1,977

Liquidity Services, Inc. (a)

216

7,033

LivePerson, Inc. (a)

542

6,824

LogMeIn, Inc. (a)

227

9,232

LoopNet, Inc. (a)

177

3,131

Marchex, Inc. Class B

220

1,956

ModusLink Global Solutions, Inc.

461

1,927

Move, Inc. (a)

1,943

3,575

NIC, Inc.

710

9,805

OpenTable, Inc. (a)

267

11,711

Openwave Systems, Inc. (a)

1,187

1,840

Perficient, Inc. (a)

251

2,392

quepasa.com, Inc. (a)

63

304

QuinStreet, Inc. (a)

292

3,355

RealNetworks, Inc.

219

2,137

Responsys, Inc.

107

1,168

RightNow Technologies, Inc. (a)

278

11,957

Saba Software, Inc. (a)

295

2,047

SciQuest, Inc. (a)

129

1,914

SPS Commerce, Inc. (a)

111

2,171

Stamps.com, Inc.

132

4,298

Support.com, Inc. (a)

544

1,148

TechTarget, Inc. (a)

171

1,267

Travelzoo, Inc. (a)

59

1,880

United Online, Inc.

1,011

5,975

ValueClick, Inc. (a)

877

15,435

Vocus, Inc. (a)

187

3,811

Web.com, Inc. (a)

362

3,497

XO Group, Inc. (a)

316

2,917

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Zillow, Inc. (a)

40

$ 1,188

Zix Corp. (a)

687

1,704

 

229,183

IT Services - 1.9%

Acxiom Corp. (a)

901

11,884

CACI International, Inc. Class A (a)

296

16,247

Cardtronics, Inc. (a)

483

12,041

Cass Information Systems, Inc.

90

3,527

Ciber, Inc. (a)

656

2,283

Computer Task Group, Inc. (a)

158

2,018

Convergys Corp. (a)

1,169

12,508

CSG Systems International, Inc. (a)

395

5,625

Dynamics Research Corp. (a)

83

800

Echo Global Logistics, Inc. (a)

120

1,853

Euronet Worldwide, Inc. (a)

561

10,867

ExlService Holdings, Inc. (a)

192

5,007

Forrester Research, Inc.

170

6,088

Global Cash Access Holdings, Inc. (a)

672

2,003

Hackett Group, Inc. (a)

335

1,384

Heartland Payment Systems, Inc.

429

9,335

iGate Corp.

365

4,920

Jack Henry & Associates, Inc.

957

31,016

Lionbridge Technologies, Inc. (a)

791

2,144

ManTech International Corp. Class A

259

9,099

Maximus, Inc.

385

15,531

MoneyGram International, Inc. (a)

867

2,220

NCI, Inc. Class A (a)

62

846

PRG-Schultz International, Inc. (a)

221

1,180

Sapient Corp.

1,237

15,289

ServiceSource International, Inc.

108

1,437

Stream Global Services, Inc. (a)

85

266

Syntel, Inc.

172

8,411

Teletech Holdings, Inc. (a)

299

5,227

TNS, Inc. (a)

293

5,722

Unisys Corp. (a)

477

12,397

Virtusa Corp. (a)

154

2,509

Wright Express Corp. (a)

430

20,158

 

241,842

Semiconductors & Semiconductor Equipment - 3.8%

Advanced Analogic Technologies, Inc. (a)

444

1,936

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Advanced Energy Industries, Inc. (a)

514

$ 4,801

Alpha & Omega Semiconductor Ltd. (a)

160

1,352

Amkor Technology, Inc. (a)

1,220

5,905

Amtech Systems, Inc. (a)

89

910

ANADIGICS, Inc. (a)

715

1,880

Applied Micro Circuits Corp. (a)

758

5,109

ATMI, Inc. (a)

354

7,222

Axcelis Technologies, Inc. (a)

1,149

1,609

AXT, Inc. (a)

334

1,570

Brooks Automation, Inc.

742

7,754

Cabot Microelectronics Corp. (a)

260

10,015

Cavium, Inc. (a)

548

17,914

Ceva, Inc. (a)

260

8,078

Cirrus Logic, Inc. (a)

741

12,330

Cohu, Inc.

296

3,283

Cymer, Inc. (a)

341

14,816

Diodes, Inc. (a)

393

8,791

DSP Group, Inc. (a)

253

1,564

Entegris, Inc. (a)

1,493

13,377

Entropic Communications, Inc. (a)

881

5,127

Exar Corp. (a)

373

2,279

FormFactor, Inc. (a)

599

3,582

FSI International, Inc. (a)

359

887

GSI Technology, Inc. (a)

316

1,548

GT Advanced Technologies, Inc. (a)

1,400

11,480

Hittite Microwave Corp. (a)

354

18,620

Inphi Corp.

213

2,352

Integrated Device Technology, Inc. (a)

1,631

9,916

Integrated Silicon Solution, Inc. (a)

344

3,168

IXYS Corp. (a)

258

3,527

Kopin Corp. (a)

815

3,301

Kulicke & Soffa Industries, Inc. (a)

805

7,768

Lattice Semiconductor Corp. (a)

1,315

8,324

LTX-Credence Corp. (a)

590

3,735

MaxLinear, Inc. Class A (a)

253

1,472

Micrel, Inc.

579

6,381

Microsemi Corp. (a)

969

17,888

Mindspeed Technologies, Inc. (a)

347

1,929

MIPS Technologies, Inc. (a)

647

3,552

MKS Instruments, Inc.

581

15,478

Monolithic Power Systems, Inc. (a)

316

3,937

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

MoSys, Inc. (a)

359

$ 1,389

Nanometrics, Inc. (a)

213

3,595

Netlogic Microsystems, Inc. (a)

766

37,687

NVE Corp. (a)

50

2,751

Omnivision Technologies, Inc. (a)

647

10,553

PDF Solutions, Inc. (a)

269

1,391

Pericom Semiconductor Corp. (a)

332

2,819

Photronics, Inc. (a)

618

3,875

PLX Technology, Inc. (a)

487

1,583

Power Integrations, Inc.

323

11,508

Rambus, Inc. (a)

1,100

19,503

RF Micro Devices, Inc. (a)

3,110

22,827

Rubicon Technology, Inc. (a)

181

1,886

Rudolph Technologies, Inc. (a)

404

2,977

Semtech Corp. (a)

734

17,924

Sigma Designs, Inc. (a)

397

3,311

Silicon Image, Inc. (a)

918

5,912

Spansion, Inc. Class A (a)

569

5,855

Standard Microsystems Corp. (a)

259

6,413

Supertex, Inc. (a)

114

2,104

Tessera Technologies, Inc. (a)

569

7,835

TriQuint Semiconductor, Inc. (a)

1,830

9,736

Ultra Clean Holdings, Inc. (a)

253

1,386

Ultratech, Inc. (a)

290

6,322

Veeco Instruments, Inc. (a)

454

12,117

Volterra Semiconductor Corp. (a)

277

6,565

 

476,291

Software - 4.4%

Accelrys, Inc. (a)

674

4,469

ACI Worldwide, Inc. (a)

371

11,379

Actuate Corp. (a)

369

2,399

Advent Software, Inc. (a)

368

10,083

American Software, Inc. Class A

289

2,260

Aspen Technology, Inc. (a)

938

16,265

Blackbaud, Inc.

500

14,015

Bottomline Technologies, Inc. (a)

398

9,667

BroadSoft, Inc. (a)

252

9,072

Callidus Software, Inc. (a)

385

2,179

CommVault Systems, Inc. (a)

497

21,162

Concur Technologies, Inc. (a)

503

23,400

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Convio, Inc. (a)

135

$ 1,295

Deltek, Inc. (a)

236

1,737

DemandTec, Inc. (a)

413

3,122

Digimarc Corp. (a)

65

1,739

Ebix, Inc.

334

5,715

Ellie Mae, Inc.

78

398

EPIQ Systems, Inc.

369

5,262

ePlus, Inc. (a)

36

978

Fair Isaac Corp.

441

12,061

FalconStor Software, Inc. (a)

352

1,193

Glu Mobile, Inc. (a)

476

1,442

Guidance Software, Inc. (a)

129

775

Interactive Intelligence Group, Inc. (a)

169

4,690

JDA Software Group, Inc. (a)

473

15,075

Kenexa Corp. (a)

297

6,792

Magma Design Automation, Inc. (a)

705

3,722

Manhattan Associates, Inc. (a)

226

9,571

Mentor Graphics Corp. (a)

1,078

12,246

MicroStrategy, Inc. Class A (a)

90

11,859

Monotype Imaging Holdings, Inc. (a)

413

5,604

Motricity, Inc. (a)

344

605

NetScout Systems, Inc. (a)

418

6,851

NetSuite, Inc. (a)

308

11,716

Opnet Technologies, Inc.

164

7,173

Parametric Technology Corp. (a)

1,333

27,766

Pegasystems, Inc.

189

7,142

Progress Software Corp. (a)

750

15,795

PROS Holdings, Inc. (a)

230

3,648

QAD, Inc. Class A

61

705

QLIK Technologies, Inc. (a)

792

22,627

Quest Software, Inc. (a)

684

12,032

RealD, Inc. (a)

482

5,384

RealPage, Inc. (a)

339

8,933

Rosetta Stone, Inc. (a)

124

1,231

S1 Corp. (a)

550

5,352

SeaChange International, Inc. (a)

270

2,279

Smith Micro Software, Inc. (a)

333

390

SolarWinds, Inc. (a)

646

18,644

Sourcefire, Inc. (a)

317

8,733

SRS Labs, Inc. (a)

112

787

SS&C Technologies Holdings, Inc. (a)

265

4,203

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

SuccessFactors, Inc. (a)

943

$ 25,178

Synchronoss Technologies, Inc. (a)

297

8,928

Take-Two Interactive Software, Inc. (a)

828

13,066

Taleo Corp. Class A (a)

463

15,001

Tangoe, Inc. (a)

107

1,439

TeleCommunication Systems, Inc. Class A (a)

491

1,620

TeleNav, Inc. (a)

177

1,517

THQ, Inc. (a)

761

1,621

TiVo, Inc. (a)

1,338

14,491

Tyler Technologies, Inc. (a)

355

11,207

Ultimate Software Group, Inc. (a)

292

17,573

Vasco Data Security International, Inc. (a)

290

2,395

Verint Systems, Inc. (a)

241

7,182

VirnetX Holding Corp. (a)

455

9,805

Wave Systems Corp. Class A (a)

848

2,213

Websense, Inc. (a)

447

7,974

 

544,832

TOTAL INFORMATION TECHNOLOGY

2,156,449

MATERIALS - 4.5%

Chemicals - 2.0%

A. Schulman, Inc.

346

7,304

American Vanguard Corp.

273

3,377

Balchem Corp.

322

11,872

Calgon Carbon Corp. (a)

626

9,985

Chase Corp.

59

826

Chemtura Corp. (a)

1,077

13,075

Ferro Corp. (a)

986

6,379

Flotek Industries, Inc. (a)

588

4,375

FutureFuel Corp.

191

2,158

Georgia Gulf Corp. (a)

383

6,932

H.B. Fuller Co.

548

11,777

Hawkins, Inc.

103

3,943

Innophos Holdings, Inc.

239

10,514

Innospec, Inc. (a)

266

8,033

KMG Chemicals, Inc.

108

1,570

Koppers Holdings, Inc.

231

7,644

Kraton Performance Polymers, Inc. (a)

360

7,085

Landec Corp. (a)

280

1,739

LSB Industries, Inc. (a)

207

7,334

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Minerals Technologies, Inc.

202

$ 11,078

NewMarket Corp.

100

19,414

NL Industries, Inc.

62

901

Olin Corp.

893

16,842

OM Group, Inc. (a)

343

9,916

OMNOVA Solutions, Inc. (a)

470

2,082

PolyOne Corp.

1,029

11,515

Quaker Chemical Corp.

150

5,219

Senomyx, Inc. (a)

421

1,920

Sensient Technologies Corp.

559

20,661

Spartech Corp. (a)

344

1,397

Stepan Co.

92

7,111

STR Holdings, Inc. (a)

379

3,240

TPC Group, Inc. (a)

162

3,219

Zep, Inc.

231

3,520

Zoltek Companies, Inc. (a)

287

2,081

 

246,038

Construction Materials - 0.2%

Eagle Materials, Inc.

491

10,105

Headwaters, Inc. (a)

565

994

Texas Industries, Inc.

257

7,710

United States Lime & Minerals, Inc. (a)

36

1,980

 

20,789

Containers & Packaging - 0.2%

AEP Industries, Inc. (a)

45

1,216

Boise, Inc.

1,180

7,139

Graphic Packaging Holding Co. (a)

1,787

7,899

Myers Industries, Inc.

385

4,705

 

20,959

Metals & Mining - 1.5%

A.M. Castle & Co. (a)

173

2,368

Amcol International Corp.

271

8,181

Century Aluminum Co. (a)

589

6,573

Coeur d'Alene Mines Corp. (a)

996

25,468

General Moly, Inc. (a)

699

2,405

Globe Specialty Metals, Inc.

707

11,786

Gold Resource Corp.

325

7,313

Golden Minerals Co. (a)

284

1,991

Golden Star Resources Ltd. (a)

2,666

5,269

Handy & Harman Ltd. (a)

54

648

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Haynes International, Inc.

136

$ 7,955

Hecla Mining Co. (a)

3,114

19,525

Horsehead Holding Corp. (a)

459

3,984

Jaguar Mining, Inc. (a)

988

5,104

Kaiser Aluminum Corp.

183

8,502

Materion Corp. (a)

232

6,134

Metals USA Holdings Corp. (a)

131

1,427

Midway Gold Corp. (a)

896

1,882

Noranda Aluminium Holding Corp.

233

2,158

Olympic Steel, Inc.

97

1,984

Paramount Gold & Silver Corp. (a)

1,399

3,721

Revett Minerals, Inc. (a)

233

970

RTI International Metals, Inc. (a)

338

8,920

Stillwater Mining Co. (a)

1,151

13,075

SunCoke Energy, Inc. (a)

131

1,653

Thompson Creek Metals Co., Inc. (a)

1,696

12,182

Universal Stainless & Alloy Products, Inc. (a)

88

3,313

US Energy Corp. (a)

227

711

US Gold Corp. (a)

1,231

5,589

Vista Gold Corp. (a)

892

3,212

Worthington Industries, Inc.

638

11,025

 

195,028

Paper & Forest Products - 0.6%

Buckeye Technologies, Inc.

442

13,366

Clearwater Paper Corp. (a)

256

8,481

Deltic Timber Corp.

120

8,123

Glatfelter

514

7,710

Kapstone Paper & Packaging Corp. (a)

440

7,216

Louisiana-Pacific Corp. (a)

1,460

9,709

Neenah Paper, Inc.

189

3,119

Schweitzer-Mauduit International, Inc.

178

12,517

Verso Paper Corp. (a)

139

254

Wausau-Mosinee Paper Corp.

597

4,478

 

74,973

TOTAL MATERIALS

557,787

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.7%

8x8, Inc. (a)

789

2,967

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

AboveNet, Inc.

254

$ 15,075

Alaska Communication Systems Group, Inc.

482

3,408

Atlantic Tele-Network, Inc.

100

3,795

Boingo Wireless, Inc.

53

405

Cbeyond, Inc. (a)

364

2,999

Cincinnati Bell, Inc. New (a)

2,241

7,216

Cogent Communications Group, Inc. (a)

475

7,624

Consolidated Communications Holdings, Inc.

305

5,758

FairPoint Communications, Inc. (a)

307

1,649

General Communications, Inc. Class A (a)

497

4,697

Globalstar, Inc. (a)

950

675

HickoryTech Corp.

144

1,607

IDT Corp. Class B

169

1,944

inContact, Inc. (a)

345

1,428

Iridium Communications, Inc. (a)

532

3,384

Neutral Tandem, Inc. (a)

371

3,910

PAETEC Holding Corp. (a)

1,406

7,705

Premiere Global Services, Inc. (a)

610

5,527

SureWest Communications

148

1,698

Towerstream Corp. (a)

468

1,348

Vonage Holdings Corp. (a)

1,627

5,450

 

90,269

Wireless Telecommunication Services - 0.2%

Leap Wireless International, Inc. (a)

728

5,060

NTELOS Holdings Corp.

349

6,638

Shenandoah Telecommunications Co.

284

3,851

USA Mobility, Inc.

267

3,490

 

19,039

TOTAL TELECOMMUNICATION SERVICES

109,308

UTILITIES - 3.7%

Electric Utilities - 1.5%

Allete, Inc.

364

14,382

Central Vermont Public Service Corp.

154

5,447

Cleco Corp.

674

24,850

El Paso Electric Co.

472

15,118

Empire District Electric Co.

463

9,246

IDACORP, Inc.

551

22,249

MGE Energy, Inc.

255

11,128

Common Stocks - continued

Shares

Value

UTILITIES - continued

Electric Utilities - continued

Otter Tail Corp.

401

$ 7,783

PNM Resources, Inc.

978

17,584

Portland General Electric Co.

845

20,736

UIL Holdings Corp.

583

19,869

Unisource Energy Corp.

421

15,695

Unitil Corp.

109

2,907

 

186,994

Gas Utilities - 1.3%

Chesapeake Utilities Corp.

94

3,985

Laclede Group, Inc.

250

10,030

New Jersey Resources Corp.

464

21,817

Nicor, Inc.

503

28,294

Northwest Natural Gas Co.

310

14,483

Piedmont Natural Gas Co., Inc.

808

26,414

South Jersey Industries, Inc.

342

19,258

Southwest Gas Corp.

519

20,490

WGL Holdings, Inc.

577

24,701

 

169,472

Independent Power Producers & Energy Traders - 0.3%

Atlantic Power Corp.

915

12,327

Black Hills Corp.

450

15,170

Dynegy, Inc. (a)

1,237

4,540

Ormat Technologies, Inc.

190

3,608

 

35,645

Multi-Utilities - 0.3%

Avista Corp.

648

16,492

CH Energy Group, Inc.

173

9,551

Genie Energy Ltd. Class B (a)

138

1,145

NorthWestern Energy Corp.

416

14,331

 

41,519

Water Utilities - 0.3%

American States Water Co.

195

6,813

Artesian Resources Corp. Class A

72

1,310

Cadiz, Inc. (a)

139

1,336

California Water Service Group

465

8,635

Connecticut Water Service, Inc.

88

2,353

Consolidated Water Co., Inc.

201

1,865

Middlesex Water Co.

157

2,975

Pennichuck Corp.

50

1,423

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

SJW Corp.

149

$ 3,469

York Water Co.

130

2,210

 

32,389

TOTAL UTILITIES

466,019

TOTAL COMMON STOCKS

(Cost $11,678,264)


12,422,597

U.S. Treasury Obligations - 0.4%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.05% 3/8/12 (c)
(Cost $49,997)

$ 50,000


49,961

Money Market Funds - 7.1%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $887,334)

887,334


887,334

TOTAL INVESTMENT PORTFOLIO - 106.9%

(Cost $12,615,595)

13,359,892

NET OTHER ASSETS (LIABILITIES) - (6.9)%

(867,698)

NET ASSETS - 100%

$ 12,492,194

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1 NYFE Russell 2000 Mini Index Contracts

Dec. 2011

$ 73,930

$ 9,928

The face value of futures purchased as a percentage of net assets is 0.6%

Legend

(a) Non-income producing

(b) Affiliated fund that is 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) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $49,961.

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

$ 106

Other Information

The following is a summary of the inputs used, as of October 31, 2011, 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 tables below, please refer to the Security 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

$ 1,646,033

$ 1,646,033

$ -

$ -

Consumer Staples

454,715

454,715

-

-

Energy

852,707

852,707

-

-

Financials

2,702,083

2,701,473

-

610

Health Care

1,550,672

1,550,672

-

-

Industrials

1,926,824

1,926,824

-

-

Information Technology

2,156,449

2,156,449

-

-

Materials

557,787

557,787

-

-

Telecommunication Services

109,308

109,308

-

-

Utilities

466,019

466,019

-

-

U.S. Government and Government Agency Obligations

49,961

-

49,961

-

Money Market Funds

887,334

887,334

-

-

Total Investments in Securities:

$ 13,359,892

$ 13,309,321

$ 49,961

$ 610

Derivative Instruments:

Assets

Futures Contracts

$ 9,928

$ 9,928

$ -

$ -

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

Investments in Securities:

Beginning Balance

$ -

Total Realized Gain (Loss)

-

Total Unrealized Gain (Loss)

(8,252)

Cost of Purchases

8,862

Proceeds of Sales

-

Amortization/Accretion

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ 610

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2011

$ (8,252)

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of October 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 9,928

$ -

Total Value of Derivatives

$ 9,928

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on 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

  

October 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $11,728,261)

$ 12,472,558

 

Fidelity Central Funds (cost $887,334)

887,334

 

Total Investments (cost $12,615,595)

 

$ 13,359,892

Segregated cash with broker for futures contracts

42,100

Receivable for investments sold

1,423

Receivable for fund shares sold

80,380

Dividends receivable

4,534

Distributions receivable from Fidelity Central Funds

44

Receivable from investment adviser for expense reductions

466

Total assets

13,488,839

 

 

 

Liabilities

Payable for investments purchased

$ 967,691

Accrued management fee

1,361

Payable for daily variation margin on futures contracts

26,891

Other affiliated payables

702

Total liabilities

996,645

 

 

 

Net Assets

$ 12,492,194

Net Assets consist of:

 

Paid in capital

$ 11,731,041

Undistributed net investment income

18,603

Accumulated undistributed net realized gain (loss) on investments

(11,677)

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

754,227

Net Assets

$ 12,492,194

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($1,202,403 ÷ 112,660 shares)

$ 10.67

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($5,951,718 ÷ 557,519 shares)

$ 10.68

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,668,997 ÷ 250,001 shares)

$ 10.68

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,669,076 ÷ 250,001 shares)

$ 10.68

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

 

Investment Income

  

  

Dividends

 

$ 21,243

Interest

 

53

Income from Fidelity Central Funds

 

106

Total income

 

21,402

 

 

 

Expenses

Management fee

$ 2,368

Transfer agent fees

1,237

Independent trustees' compensation

3

Total expenses before reductions

3,608

Expense reductions

(809)

2,799

Net investment income (loss)

18,603

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

52

Futures contracts

(11,729)

Total net realized gain (loss)

 

(11,677)

Change in net unrealized appreciation (depreciation) on:

Investment securities

744,297

Assets and liabilities in foreign currencies

2

Futures contracts

9,928

Total change in net unrealized appreciation (depreciation)

 

754,227

Net gain (loss)

742,550

Net increase (decrease) in net assets resulting from operations

$ 761,153

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

Semiannual Report

Statement of Changes in Net Assets

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

Increase (Decrease) in Net Assets

 

Operations

 

Net investment income (loss)

$ 18,603

Net realized gain (loss)

(11,677)

Change in net unrealized appreciation (depreciation)

754,227

Net increase (decrease) in net assets resulting
from operations

761,153

Share transactions - net increase (decrease)

11,731,041

Total increase (decrease) in net assets

12,492,194

 

 

Net Assets

Beginning of period

-

End of period (including undistributed net investment income of $18,603)

$ 12,492,194

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

Semiannual Report

Financial Highlights - Investor Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .65

Total from investment operations

  .67

Net asset value, end of period

$ 10.67

Total Return B, C

  6.70%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .36% A

Expenses net of fee waivers, if any

  .31% A

Expenses net of all reductions

  .31% A

Net investment income (loss)

  1.04% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 1,202

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .23%A

Expenses net of fee waivers, if any

  .17%A

Expenses net of all reductions

  .17%A

Net investment income (loss)

  1.19%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 5,952

Portfolio turnover rateF

  1%I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .17%A

Expenses net of fee waivers, if any

  .13%A

Expenses net of all reductions

  .13%A

Net investment income (loss)

  1.22%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,669

Portfolio turnover rateF

  1%I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .15%A

Expenses net of fee waivers, if any

  .11%A

Expenses net of all reductions

  .11%A

Net investment income (loss)

  1.24%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,669

Portfolio turnover rateF

  1%I

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 the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Notes to Financial Statements

For the period ended October 31, 2011 (Unaudited)

1. Organization.

Spartan Small Cap Index Fund and Spartan Mid Cap Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust) (formerly Fidelity Fixed-Income Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund offers Investor Class, Fidelity Advantage® Class, Institutional Class and Fidelity Advantage® Institutional Class 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. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.

3. 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 Funds:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Each Fund uses independent pricing services approved by the Board of Trustees to value their investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

Each Fund categorizes the inputs to valuation techniques used to value their 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)

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 October 31, 2011, as well as a roll forward of Level 3 securities, is included at the end of each Fund's Schedule of Investments. Valuation techniques used to value each 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 an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These 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 or official closing 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 each business day and are categorized as Level 1 in the hierarchy.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate 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 Funds' 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 Funds are 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

received. 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. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on each 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. Temporary book-tax differences will reverse in a subsequent period.

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

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

 

Tax cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation) on
securities and other investments

Spartan Mid Cap Index Fund

$ 12,478,907

$ 805,164

$ (218,001)

$ 587,163

Spartan Small Cap Index Fund

12,615,595

1,024,411

(280,114)

744,297

Short-Term Trading (Redemption) Fees. Shares held by investors of Spartan Mid Cap Index Fund less than 30 days are subject to a redemption fee equal to 0.75% of the net asset value of shares redeemed. Shares held by investors of Spartan Small Cap Index Fund less than 90 days are subject to a redemption fee equal to 1.50% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital.

New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds' financial statement disclosures.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts, in order to meet their investment objectives. The strategy is to use 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 Funds may not achieve their objectives.

The Funds' use of derivatives increased or decreased their 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

Notes to Financial Statements (Unaudited) - continued

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to sell 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 Funds. The Funds' maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Funds. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net Unrealized Appreciation (Depreciation)

Spartan Mid Cap Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (26,274)

$ 10,820

Totals (a)

$ (26,274)

$ 10,820

Spartan Small Cap Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (11,729)

$ 9,928

Totals (a)

$ (11,729)

$ 9,928

(a) A summary of the value of derivatives by risk exposure as of period end, is included at the end of the Schedule of Investments and is representative of activity for the period.

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 Funds used futures contracts to manage their 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 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 is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Semiannual Report

4. Derivative Instruments - continued

Futures Contracts - continued

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

Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, are noted in the table below.

 

Purchases ($)

Sales ($)

Spartan Mid Cap Index Fund

11,680,169

67,185

Spartan Small Cap Index Fund

11,756,474

75,747

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .12% and .15% of average net assets for Spartan Mid Cap Index Fund and Spartan Small Cap Index Fund, respectively. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the Independent Trustees and certain other expenses such as interest expense, including commitment fees.

In addition, under expense contracts, FMR pays class-level expenses as necessary so that the total expenses do not exceed certain amounts of each class' average net assets on an annual basis with certain exceptions, as noted in the following table:

 

Investor Class

Fidelity
Advantage Class

Institutional Class

Fidelity
Advantage
Institutional Class

Spartan Mid Cap Index Fund

.33%

.20%

.14%

.12%

Spartan Small Cap Index Fund

.36%

.23%

.17%

.15%

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

6. Fees and Other Transactions with Affiliates - continued

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by FMR for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class. FIIOC receives transfer agent fees at an annual rate of .21%, .11%, .035% and .015% of average net assets for each Fund's Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. Under the expense contracts, each Investor Class, Fidelity Advantage Class and Institutional Class pays all or a portion of the transfer agent fees at an annual rate of .21%, .08% and .02% of average net assets, respectively. Each Fidelity Advantage Institutional Class does not pay transfer agent fees. For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

Spartan Mid Cap Index Fund

 

Investor Class

$ 791

Fidelity Advantage Class

370

Institutional Class

75

 

$ 1,236

 

 

Spartan Small Cap Index Fund

 

Investor Class

$ 803

Fidelity Advantage Class

359

Institutional Class

75

 

$ 1,237

7. Expense Reductions.

FMR contractually agreed to reimburse each class of Spartan Mid Cap Index Fund and Spartan Small Cap Index Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through June 20, 2013. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

Semiannual Report

7. Expense Reductions - continued

The following classes were in reimbursement during the period:

 

Expense
Limitations

Reimbursement
from adviser

Spartan Mid Cap Index Fund

 

Investor Class

.26%

$269

Fidelity Advantage Class

.12%

392

Institutional Class

.08%

228

Fidelity Advantage Institutional Class

.06%

227

 

 

 

Spartan Small Cap Index Fund

 

Investor Class

.31%

$199

Fidelity Advantage Class

.17%

297

Institutional Class

.13%

157

Fidelity Advantage Institutional Class

.11%

156

8. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares A

Dollars A

Period ended October 31, 2011

2011

2011

Spartan Mid Cap Index Fund

 

 

Investor Class

 

 

Shares sold

329,645

$ 3,297,156

Shares redeemed

(250,001)

(2,565,010)

Net increase (decrease)

79,644

$ 732,146

Fidelity Advantage Class

 

 

Shares sold

585,685

$ 5,923,148

Net increase (decrease)

585,685

$ 5,923,148

Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Fidelity Advantage Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Spartan Small Cap Index Fund

 

 

Investor Class

 

 

Shares sold

362,661

$ 3,646,320

Shares redeemed

(250,001)

(2,567,510)

Net increase (decrease)

112,660

$ 1,078,810

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. Share Transactions - continued

 

Shares A

Dollars A

Period ended October 31, 2011

2011

2011

Spartan Small Cap Index Fund

 

 

Fidelity Advantage Class

 

 

Shares sold

557,519

$ 5,652,211

Net increase (decrease)

557,519

$ 5,652,211

Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Fidelity Advantage Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

A For the period September 8, 2011 (commencement of operations) to October 31, 2011.

9. Other.

The Funds' 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 Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

At the end of the period, FMR or its affiliates were the owners of record of approximately 86% of the total shares of the Funds.

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

Spartan Mid Cap Index Fund

Spartan Small Cap Index Fund

On July 14, 2011, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and sub-advisory agreements (together, the Advisory Contracts) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the funds' investment personnel and the funds' investment objectives and disciplines. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of each fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources (including increased resources in non-United States offices), as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel.

Shareholder and Administrative Services. The Board considered 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, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of the Investment Adviser's supervision of third party service providers, principally custodians and subcustodians.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, and investor education materials and asset allocation tools.

Investment Performance. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts.

Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity to the funds will benefit each fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee out of which FMR will pay all "fund-level" expenses, with certain limited exceptions, and the projected total expenses of each class of the fund. The Board noted that each fund's proposed management fee rate, even before deducting projected payments by FMR, is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable management fee characteristics.

Semiannual Report

The Board also considered that the proposed contractual arrangements for each fund oblige FMR to pay all class-level expenses of each class of each fund and limit the total expenses of each class of each fund. These contractual arrangements may not be amended to increase fees shareholders pay without the approval of the Board. In addition, the Board considered that FMR had contractually agreed to reimburse each class of each fund to the extent that each class's total operating expenses (excluding interest, taxes, securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets exceed certain limits.

Based on its review, the Board concluded that each fund's management fee and the projected total expenses of each class of each fund were reasonable in light of the services that each fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. In connection with its future renewal of each fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.

Additional Information Requested by the Board: The Board also received information explaining that each fund's investments will be chosen using an investment discipline developed by Geode Capital Management, LLC, the sub-adviser to Fidelity's equity index funds.

Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

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 advisory fee structures are fair and reasonable, and that each fund's Advisory Contracts should be approved.

Semiannual Report

Investment Adviser

Fidelity Management & Research
Company

Boston, MA

Investment Sub-Adviser

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Service Company, Inc.

Boston, MA

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Custodian

State Street Bank and Trust Company

Boston, MA

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774 (8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) abc791943 1-800-544-5555

abc791943 Automated line for quickest service 

MCX-SCX-USAN-1211
1.929314.100

abc791946

Spartan® Mid Cap Index
Fund

Spartan Small Cap Index Fund

Institutional Class

Fidelity Advantage® Institutional Class

Semiannual Report

October 31, 2011abc791931

Contents

Chairman's Message

(Click Here)

The Chairman's message to shareholders.

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Spartan® Mid Cap Index Fund

(Click Here)

(Click Here)

(Click Here)

Investment Summary

Investments

Financial Statements

Spartan® Small Cap Index Fund

(Click Here)

(Click Here)

(Click Here)

Investment Summary

Investments

Financial Statements

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 guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.

Geode is a registered trademark of Geode Capital Management, LLC.

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.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds 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 funds nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Abigail_P_Johnson)

Dear Shareholder:

Global equity markets began the fourth quarter on a strong note, sharply reversing course in October amid strong corporate earnings, better-than-expected economic news and the promise of a resolution to the sovereign debt crisis in Europe. The mini rally followed a third quarter marked by a significant downturn in July and August, which heightened investor anxiety and set off a wave of volatility that hampered most major asset classes through the end of September. Financial markets are difficult to predict, of course, but you can help put the odds in your favor by following these time-tested investment principles.

One of the basic tenets is to invest according to your time horizon. For long-term investors, riding out the markets' inevitable ups and downs has proven much more effective than making decisions based on short-term developments. If your goal is approaching, you can also benefit from patience and restraint, rather than attempting to time the market. No matter your time horizon, missing only a few of the markets' best days can significantly diminish returns. Patience also affords the benefits of compounding - earning interest on additional income or reinvested dividends and capital gains. While staying the course doesn't eliminate risk, it can considerably lessen the negative impact of short-term downturns.

Asset allocation is another principle to manage risk. As you spread your portfolio among the asset classes, be sure to consider your time horizon, risk tolerance and investment objectives. Younger investors may be better served by emphasizing equities, which historically have been the best-performing asset class over time. Investors who are nearing a specific goal, such as retirement or sending a child to college, may choose to favor bonds and other investments that have tended to be more stable. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. After deciding on a suitable allocation strategy, make sure your portfolio is adequately diversified, with exposure to stocks of small-, mid- and large-cap companies in a range of sectors, for example. And today, more than ever, geographic diversification should be taken into account.

Lastly, investing a certain amount of money on a regular basis - a principle known as dollar-cost averaging - can help lower the average cost of your purchases, while also giving you the discipline to avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to learn more by visiting us on the Internet, dropping by one of our Investor Centers or calling us by phone. It is our privilege to provide the resources you need to choose investments that are right for you.

Sincerely,

(The chairman's signature appears here.)

Abigail P. Johnson

Semiannual Report

Shareholder Expense Example

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

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 8, 2011 to October 31, 2011). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (May 1, 2011 to October 31, 2011).

Actual Expenses

The first line of the accompanying table for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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. In addition, each 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 for each class of each 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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. In addition, each 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. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
October 31, 2011

Expenses Paid
During Period

Spartan Mid Cap Index Fund

 

 

 

Investor Class

.26%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .39 B

HypotheticalA

 

$ 1,000.00

$ 1,023.83

$ 1.32 C

Fidelity Advantage Class

.12%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .18 B

HypotheticalA

 

$ 1,000.00

$ 1,024.53

$ .61 C

Institutional Class

.08%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .12 B

HypotheticalA

 

$ 1,000.00

$ 1,024.73

$ .41 C

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,051.00

$ .09 B

HypotheticalA

 

$ 1,000.00

$ 1,024.83

$ .31 C

Spartan Small Cap Index Fund

 

 

 

Investor Class

.31%

 

 

 

Actual

 

$ 1,000.00

$ 1,067.00

$ .47 B

HypotheticalA

 

$ 1,000.00

$ 1,023.58

$ 1.58 C

Fidelity Advantage Class

.17%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .26 B

HypotheticalA

 

$ 1,000.00

$ 1,024.28

$ .87 C

Institutional Class

.13%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .20 B

HypotheticalA

 

$ 1,000.00

$ 1,024.48

$ .66 C

Fidelity Advantage Institutional Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,068.00

$ .17 B

HypotheticalA

 

$ 1,000.00

$ 1,024.58

$ .56 C

A 5% return per year before expenses

B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 54/366 (to reflect the period September 8, 2011 to October 31, 2011).

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

Semiannual Report

Spartan Mid Cap Index

Investment Summary (Unaudited)

Top Ten Stocks as of October 31, 2011

 

% of fund's
net assets

El Paso Corp.

0.5

Spectra Energy Corp.

0.5

Equity Residential (SBI)

0.4

H.J. Heinz Co.

0.4

Intuitive Surgical, Inc.

0.4

PPL Corp.

0.4

Consolidated Edison, Inc.

0.5

Marsh & McLennan Companies, Inc.

0.4

Intuit, Inc.

0.4

HCP, Inc.

0.4

 

4.3

Market Sectors as of October 31, 2011

 

% of fund's
net assets

Financials

18.7

Consumer Discretionary

15.8

Information Technology

13.6

Industrials

12.4

Health Care

9.6

Energy

8.3

Utilities

7.1

Materials

6.5

Consumer Staples

6.3

Telecommunication Services

1.2

Semiannual Report

Spartan Mid Cap Index

Investments October 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.5%

Shares

Value

CONSUMER DISCRETIONARY - 15.8%

Auto Components - 0.9%

Autoliv, Inc.

285

$ 16,464

BorgWarner, Inc. (a)

349

26,695

Federal-Mogul Corp. Class A (a)

52

877

Gentex Corp.

455

13,705

Lear Corp.

335

15,715

The Goodyear Tire & Rubber Co. (a)

775

11,129

TRW Automotive Holdings Corp. (a)

324

13,640

Visteon Corp. (a)

161

8,955

 

107,180

Automobiles - 0.3%

Harley-Davidson, Inc.

752

29,253

Tesla Motors, Inc. (a)

178

5,228

Thor Industries, Inc.

138

3,649

 

38,130

Distributors - 0.3%

Genuine Parts Co.

501

28,772

LKQ Corp. (a)

464

13,540

 

42,312

Diversified Consumer Services - 0.5%

Apollo Group, Inc. Class A (non-vtg.) (a)

357

16,904

Career Education Corp. (a)

201

3,242

DeVry, Inc.

218

8,214

Education Management Corp. (a)

115

2,284

H&R Block, Inc.

974

14,892

ITT Educational Services, Inc. (a)

84

5,205

Service Corp. International

752

7,520

Weight Watchers International, Inc.

92

6,865

 

65,126

Hotels, Restaurants & Leisure - 2.1%

Bally Technologies, Inc. (a)

133

4,824

Brinker International, Inc.

272

6,229

Chipotle Mexican Grill, Inc. (a)

99

33,276

Choice Hotels International, Inc.

93

3,328

Darden Restaurants, Inc.

435

20,828

Dunkin' Brands Group, Inc. (a)

86

2,503

Hyatt Hotels Corp. Class A (a)

145

5,393

International Game Technology

956

16,816

Marriott International, Inc. Class A

823

25,925

MGM Mirage, Inc. (a)

1,120

12,902

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Panera Bread Co. Class A (a)

92

$ 12,299

Penn National Gaming, Inc. (a)

214

7,704

Royal Caribbean Cruises Ltd.

430

12,780

Starwood Hotels & Resorts Worldwide, Inc.

621

31,118

Wendy's Co. (a)

918

4,645

WMS Industries, Inc. (a)

180

3,944

Wyndham Worldwide Corp.

541

18,215

Wynn Resorts Ltd.

252

33,466

 

256,195

Household Durables - 1.2%

D.R. Horton, Inc.

885

9,850

Garmin Ltd.

341

11,727

Harman International Industries, Inc.

221

9,538

Jarden Corp.

290

9,289

Leggett & Platt, Inc.

453

9,921

Lennar Corp. Class A

506

8,369

Mohawk Industries, Inc. (a)

180

9,477

Newell Rubbermaid, Inc.

928

13,734

NVR, Inc. (a)

17

10,927

PulteGroup, Inc. (a)

1,111

5,755

Tempur-Pedic International, Inc. (a)

218

14,837

Toll Brothers, Inc. (a)

461

8,040

Tupperware Brands Corp.

199

11,251

Whirlpool Corp.

243

12,347

 

145,062

Internet & Catalog Retail - 0.3%

Expedia, Inc.

617

16,202

HomeAway, Inc.

25

826

Netflix, Inc. (a)

167

13,707

 

30,735

Leisure Equipment & Products - 0.5%

Hasbro, Inc.

389

14,805

Mattel, Inc.

1,108

31,290

Polaris Industries, Inc.

206

13,048

 

59,143

Media - 3.1%

AMC Networks, Inc. Class A

175

5,709

Cablevision Systems Corp. - NY Group Class A

692

10,013

Charter Communications, Inc. Class A (a)

184

8,453

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Clear Channel Outdoor Holding, Inc. Class A (a)

142

$ 1,562

Discovery Communications, Inc. (a)

887

38,549

DISH Network Corp. Class A (a)

637

15,396

DreamWorks Animation SKG, Inc. Class A (a)

222

4,118

Gannett Co., Inc.

762

8,908

Interpublic Group of Companies, Inc.

1,556

14,751

John Wiley & Sons, Inc. Class A

147

6,991

Lamar Advertising Co. Class A (a)

182

4,093

Liberty Global, Inc. Class A (a)

881

35,399

Liberty Media Corp.:

Capital Series A (a)

226

17,361

Interactive Series A (a)

1,913

31,431

Liberty Starz Series A (a)

165

11,270

Madison Square Garden Co. Class A (a)

185

4,890

McGraw-Hill Companies, Inc.

970

41,225

Morningstar, Inc.

80

4,718

Omnicom Group, Inc.

895

39,810

Pandora Media, Inc.

46

727

Regal Entertainment Group Class A

257

3,711

Scripps Networks Interactive, Inc. Class A

300

12,744

Sirius XM Radio, Inc. (a)

12,565

22,491

Virgin Media, Inc.

1,010

24,624

Washington Post Co. Class B

16

5,443

 

374,387

Multiline Retail - 1.4%

Big Lots, Inc. (a)

207

7,802

Dillard's, Inc. Class A

98

5,050

Dollar General Corp. (a)

314

12,453

Dollar Tree, Inc. (a)

389

31,104

Family Dollar Stores, Inc.

390

22,866

JCPenney Co., Inc.

527

16,906

Macy's, Inc.

1,355

41,368

Nordstrom, Inc.

519

26,308

Sears Holdings Corp. (a)

123

9,616

 

173,473

Specialty Retail - 4.1%

Aarons, Inc. Class A

253

6,770

Abercrombie & Fitch Co. Class A

280

20,832

Advance Auto Parts, Inc.

235

15,291

American Eagle Outfitters, Inc.

618

8,114

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

AutoNation, Inc. (a)

125

$ 4,868

AutoZone, Inc. (a)

84

27,182

Bed Bath & Beyond, Inc. (a)

792

48,977

Best Buy Co., Inc.

935

24,525

CarMax, Inc. (a)

719

21,613

Chico's FAS, Inc.

557

6,885

Dick's Sporting Goods, Inc. (a)

300

11,727

DSW, Inc. Class A

68

3,559

Foot Locker, Inc.

492

10,755

GameStop Corp. Class A (a)

449

11,481

Gap, Inc.

1,127

21,300

Guess?, Inc.

206

6,796

Limited Brands, Inc.

793

33,869

O'Reilly Automotive, Inc. (a)

439

33,386

PetSmart, Inc.

361

16,949

RadioShack Corp.

308

3,668

Ross Stores, Inc.

374

32,811

Sally Beauty Holdings, Inc. (a)

309

5,930

Signet Jewelers Ltd.

275

11,855

Staples, Inc.

2,270

33,959

Tiffany & Co., Inc.

407

32,450

Tractor Supply Co.

230

16,316

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

144

9,690

Urban Outfitters, Inc. (a)

383

10,437

Williams-Sonoma, Inc.

334

12,538

 

504,533

Textiles, Apparel & Luxury Goods - 1.1%

Deckers Outdoor Corp. (a)

123

14,175

Fossil, Inc. (a)

167

17,311

Hanesbrands, Inc. (a)

306

8,069

PVH Corp.

190

14,138

Ralph Lauren Corp.

200

31,758

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

116

9,792

VF Corp.

277

38,287

 

133,530

TOTAL CONSUMER DISCRETIONARY

1,929,806

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 6.3%

Beverages - 1.2%

Beam, Inc.

491

$ 24,270

Brown-Forman Corp. Class B (non-vtg.)

326

24,362

Coca-Cola Enterprises, Inc.

1,036

27,786

Constellation Brands, Inc. Class A (sub. vtg.) (a)

577

11,667

Dr Pepper Snapple Group, Inc.

705

26,402

Hansen Natural Corp. (a)

223

19,867

Molson Coors Brewing Co. Class B

428

18,122

 

152,476

Food & Staples Retailing - 0.5%

Safeway, Inc.

1,127

21,830

SUPERVALU, Inc.

688

5,518

Whole Foods Market, Inc.

492

35,483

 

62,831

Food Products - 3.3%

Bunge Ltd.

468

28,908

Campbell Soup Co.

565

18,786

ConAgra Foods, Inc.

1,301

32,954

Corn Products International, Inc.

243

11,786

Dean Foods Co. (a)

591

5,745

Flowers Foods, Inc.

353

7,127

Green Mountain Coffee Roasters, Inc. (a)

391

25,423

H.J. Heinz Co.

1,021

54,562

Hershey Co.

482

27,585

Hormel Foods Corp.

439

12,937

McCormick & Co., Inc. (non-vtg.)

423

20,541

Mead Johnson Nutrition Co. Class A

649

46,631

Ralcorp Holdings, Inc. (a)

175

14,147

Sara Lee Corp.

1,863

33,161

Smithfield Foods, Inc. (a)

528

12,070

The J.M. Smucker Co.

369

28,420

Tyson Foods, Inc. Class A

959

18,509

 

399,292

Household Products - 0.5%

Church & Dwight Co., Inc.

456

20,146

Clorox Co.

424

28,383

Energizer Holdings, Inc. (a)

222

16,381

 

64,910

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - 0.4%

Avon Products, Inc.

1,371

$ 25,062

Herbalife Ltd.

379

23,634

 

48,696

Tobacco - 0.4%

Lorillard, Inc.

429

47,473

TOTAL CONSUMER STAPLES

775,678

ENERGY - 8.3%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)

179

7,650

Cameron International Corp. (a)

780

38,329

Carbo Ceramics, Inc.

61

8,287

Core Laboratories NV

145

15,698

Diamond Offshore Drilling, Inc.

220

14,419

Dresser-Rand Group, Inc. (a)

254

12,294

FMC Technologies, Inc. (a)

765

34,287

Helmerich & Payne, Inc.

304

16,167

McDermott International, Inc. (a)

744

8,169

Nabors Industries Ltd. (a)

914

16,754

Oceaneering International, Inc.

346

14,473

Oil States International, Inc. (a)

162

11,277

Patterson-UTI Energy, Inc.

491

9,977

Rowan Companies, Inc. (a)

406

14,003

RPC, Inc.

145

2,693

SEACOR Holdings, Inc.

69

5,875

Superior Energy Services, Inc. (a)

252

7,086

Tidewater, Inc.

163

8,024

Unit Corp. (a)

133

6,525

 

251,987

Oil, Gas & Consumable Fuels - 6.2%

Alpha Natural Resources, Inc. (a)

721

17,333

Arch Coal, Inc.

673

12,262

Brigham Exploration Co. (a)

372

13,546

Cabot Oil & Gas Corp.

333

25,881

Cimarex Energy Co.

272

17,408

Cobalt International Energy, Inc. (a)

377

3,891

Concho Resources, Inc. (a)

329

31,163

CONSOL Energy, Inc.

722

30,873

Continental Resources, Inc. (a)

134

8,127

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Denbury Resources, Inc. (a)

1,280

$ 20,096

El Paso Corp.

2,444

61,124

Energen Corp.

229

11,235

EQT Corp.

428

27,178

EXCO Resources, Inc.

481

6,065

Forest Oil Corp. (a)

349

4,069

HollyFrontier Corp.

608

18,660

Kosmos Energy Ltd.

110

1,705

Murphy Oil Corp.

616

34,108

Newfield Exploration Co. (a)

428

17,231

Noble Energy, Inc.

561

50,120

Peabody Energy Corp.

862

37,385

Pioneer Natural Resources Co.

372

31,211

Plains Exploration & Production Co. (a)

448

14,112

QEP Resources, Inc.

563

20,015

Quicksilver Resources, Inc. (a)

384

2,957

Range Resources Corp.

511

35,177

SandRidge Energy, Inc. (a)

1,302

9,973

SM Energy Co.

202

16,748

Southern Union Co.

397

16,686

Spectra Energy Corp.

2,063

59,064

Sunoco, Inc.

344

12,807

Teekay Corp.

133

3,426

Tesoro Corp. (a)

457

11,855

Ultra Petroleum Corp. (a)

486

15,484

Valero Energy Corp.

1,815

44,649

Whiting Petroleum Corp. (a)

374

17,410

 

761,034

TOTAL ENERGY

1,013,021

FINANCIALS - 18.7%

Capital Markets - 2.1%

Affiliated Managers Group, Inc. (a)

166

15,373

American Capital Ltd. (a)

1,114

8,656

Ameriprise Financial, Inc.

771

35,990

E*TRADE Financial Corp. (a)

796

8,637

Eaton Vance Corp. (non-vtg.)

377

9,911

Federated Investors, Inc. Class B (non-vtg.)

294

5,745

Greenhill & Co., Inc.

95

3,589

Invesco Ltd.

1,471

29,523

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc.

581

$ 3,811

Jefferies Group, Inc.

434

5,755

Lazard Ltd. Class A

352

9,624

Legg Mason, Inc.

473

13,008

LPL Investment Holdings, Inc.

112

3,249

Northern Trust Corp.

691

27,965

Raymond James Financial, Inc.

324

9,840

SEI Investments Co.

463

7,496

T. Rowe Price Group, Inc.

826

43,646

TD Ameritrade Holding Corp.

697

11,696

Waddell & Reed Financial, Inc. Class A

273

7,570

 

261,084

Commercial Banks - 2.4%

Associated Banc-Corp.

555

6,188

Bank of Hawaii Corp.

153

6,461

BOK Financial Corp.

80

4,178

CapitalSource, Inc.

1,029

6,544

CIT Group, Inc. (a)

638

22,234

City National Corp.

149

6,321

Comerica, Inc.

640

16,352

Commerce Bancshares, Inc.

234

9,079

Cullen/Frost Bankers, Inc.

168

8,239

East West Bancorp, Inc.

470

9,151

Fifth Third Bancorp

2,923

35,105

First Citizen Bancshares, Inc.

17

2,772

First Horizon National Corp.

849

5,935

First Republic Bank

235

6,510

Fulton Financial Corp.

641

6,051

Huntington Bancshares, Inc.

2,750

14,245

KeyCorp

3,024

21,349

M&T Bank Corp.

399

30,368

Popular, Inc. (a)

3,297

6,132

Regions Financial Corp.

3,995

15,700

SunTrust Banks, Inc.

1,707

33,679

Synovus Financial Corp.

2,499

3,749

TCF Financial Corp.

516

5,490

Valley National Bancorp

541

6,492

Zions Bancorporation

583

10,121

 

298,445

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - 0.5%

Discover Financial Services

1,735

$ 40,877

Green Dot Corp. Class A (a)

65

2,124

SLM Corp.

1,679

22,952

 

65,953

Diversified Financial Services - 1.0%

CBOE Holdings, Inc.

166

4,338

Interactive Brokers Group, Inc.

122

1,876

IntercontinentalExchange, Inc. (a)

234

30,392

Leucadia National Corp.

629

16,876

Moody's Corp.

635

22,536

MSCI, Inc. Class A (a)

382

12,755

NYSE Euronext

834

22,159

The NASDAQ Stock Market, Inc. (a)

394

9,870

 

120,802

Insurance - 4.6%

Alleghany Corp.

21

6,664

Allied World Assurance Co. Holdings Ltd.

120

6,972

American Financial Group, Inc.

255

9,137

American National Insurance Co.

21

1,501

Aon Corp.

1,051

48,998

Arch Capital Group Ltd. (a)

420

15,107

Arthur J. Gallagher & Co.

351

10,846

Aspen Insurance Holdings Ltd.

229

6,066

Assurant, Inc.

307

11,832

Assured Guaranty Ltd.

583

7,427

Axis Capital Holdings Ltd.

411

12,885

Brown & Brown, Inc.

369

8,148

Cincinnati Financial Corp.

466

13,486

CNA Financial Corp.

85

2,261

Endurance Specialty Holdings Ltd.

125

4,650

Erie Indemnity Co. Class A

89

7,027

Everest Re Group Ltd.

146

13,128

Fidelity National Financial, Inc. Class A

711

10,978

Genworth Financial, Inc. Class A (a)

1,559

9,946

Hanover Insurance Group, Inc.

149

5,686

Hartford Financial Services Group, Inc.

1,417

27,277

HCC Insurance Holdings, Inc.

362

9,633

Kemper Corp.

156

4,195

Lincoln National Corp.

998

19,012

Markel Corp. (a)

31

11,982

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Marsh & McLennan Companies, Inc.

1,744

$ 53,401

MBIA, Inc. (a)

463

4,074

Mercury General Corp.

84

3,637

Old Republic International Corp.

818

7,231

PartnerRe Ltd.

215

13,377

Principal Financial Group, Inc.

1,023

26,373

Progressive Corp.

1,979

37,621

Protective Life Corp.

281

5,227

Reinsurance Group of America, Inc.

235

12,274

RenaissanceRe Holdings Ltd.

164

11,172

StanCorp Financial Group, Inc.

139

4,718

Torchmark Corp.

335

13,712

Transatlantic Holdings, Inc.

198

10,304

Unum Group

981

23,387

Validus Holdings Ltd.

246

6,731

W.R. Berkley Corp.

366

12,740

White Mountains Insurance Group Ltd.

22

9,240

XL Group PLC Class A

987

21,457

 

561,520

Real Estate Investment Trusts - 7.2%

Alexandria Real Estate Equities, Inc.

197

13,020

American Capital Agency Corp.

570

15,681

Annaly Capital Management, Inc.

3,020

50,887

Apartment Investment & Management Co. Class A

377

9,301

AvalonBay Communities, Inc.

299

39,973

Boston Properties, Inc.

463

45,832

Brandywine Realty Trust (SBI)

425

3,872

BRE Properties, Inc.

237

11,878

Camden Property Trust (SBI)

224

13,583

Chimera Investment Corp.

3,269

9,840

CommonWealth REIT

273

5,283

Corporate Office Properties Trust (SBI)

232

5,626

DDR Corp.

684

8,762

Digital Realty Trust, Inc.

322

20,070

Douglas Emmett, Inc.

391

7,625

Duke Realty LP

800

9,824

Equity Residential (SBI)

935

54,866

Essex Property Trust, Inc.

104

14,847

Federal Realty Investment Trust (SBI)

199

17,663

General Growth Properties, Inc.

1,793

26,357

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

HCP, Inc.

1,291

$ 51,446

Health Care REIT, Inc.

564

29,717

Hospitality Properties Trust (SBI)

390

9,372

Host Hotels & Resorts, Inc.

2,185

31,180

Kimco Realty Corp.

1,298

22,676

Liberty Property Trust (SBI)

367

11,744

Mack-Cali Realty Corp.

272

7,632

Piedmont Office Realty Trust, Inc. Class A

547

9,288

Plum Creek Timber Co., Inc.

517

19,470

Prologis, Inc.

1,460

43,450

Rayonier, Inc.

390

16,275

Realty Income Corp.

426

14,233

Regency Centers Corp.

286

11,715

Senior Housing Properties Trust (SBI)

519

11,646

SL Green Realty Corp.

283

19,524

Taubman Centers, Inc.

177

10,838

The Macerich Co.

417

20,750

UDR, Inc.

693

17,276

Ventas, Inc.

805

44,766

Vornado Realty Trust

585

48,444

Weingarten Realty Investors (SBI)

382

8,866

Weyerhaeuser Co.

1,714

30,818

 

875,916

Real Estate Management & Development - 0.3%

CBRE Group, Inc. (a)

930

16,535

Forest City Enterprises, Inc. Class A (a)

445

6,088

Howard Hughes Corp. (a)

69

3,311

Jones Lang LaSalle, Inc.

136

8,788

The St. Joe Co. (a)

210

3,014

 

37,736

Thrifts & Mortgage Finance - 0.6%

BankUnited, Inc.

99

2,157

Capitol Federal Financial, Inc.

539

5,978

First Niagara Financial Group, Inc.

963

8,850

Hudson City Bancorp, Inc.

1,497

9,356

New York Community Bancorp, Inc.

1,395

18,567

People's United Financial, Inc.

1,201

15,313

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

TFS Financial Corp. (a)

236

$ 2,174

Washington Federal, Inc.

365

4,982

 

67,377

TOTAL FINANCIALS

2,288,833

HEALTH CARE - 9.6%

Biotechnology - 1.1%

Alexion Pharmaceuticals, Inc. (a)

585

39,493

Amylin Pharmaceuticals, Inc. (a)

402

4,631

BioMarin Pharmaceutical, Inc. (a)

353

12,041

Dendreon Corp. (a)

448

4,901

Human Genome Sciences, Inc. (a)

603

6,187

Myriad Genetics, Inc. (a)

276

5,873

Pharmasset, Inc. (a)

237

16,685

Regeneron Pharmaceuticals, Inc. (a)

232

12,830

United Therapeutics Corp. (a)

164

7,172

Vertex Pharmaceuticals, Inc. (a)

656

25,971

 

135,784

Health Care Equipment & Supplies - 2.7%

Alere, Inc. (a)

272

7,088

Boston Scientific Corp. (a)

4,864

28,649

C. R. Bard, Inc.

273

23,464

CareFusion Corp. (a)

712

18,227

DENTSPLY International, Inc.

449

16,595

Edwards Lifesciences Corp. (a)

365

27,528

Gen-Probe, Inc. (a)

152

9,135

Hill-Rom Holdings, Inc.

200

6,734

Hologic, Inc. (a)

833

13,428

IDEXX Laboratories, Inc. (a)

183

13,174

Intuitive Surgical, Inc. (a)

125

54,233

Kinetic Concepts, Inc. (a)

203

13,883

ResMed, Inc. (a)

488

13,810

Sirona Dental Systems, Inc. (a)

176

8,430

Teleflex, Inc.

126

7,542

The Cooper Companies, Inc.

147

10,187

Thoratec Corp. (a)

181

6,608

Varian Medical Systems, Inc. (a)

374

21,961

Zimmer Holdings, Inc. (a)

611

32,157

 

332,833

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - 2.8%

AMERIGROUP Corp. (a)

140

$ 7,788

AmerisourceBergen Corp.

872

35,578

Brookdale Senior Living, Inc. (a)

299

4,957

Catalyst Health Solutions, Inc. (a)

135

7,421

CIGNA Corp.

861

38,177

Community Health Systems, Inc. (a)

308

5,384

Coventry Health Care, Inc. (a)

472

15,014

DaVita, Inc. (a)

304

21,280

Health Management Associates, Inc. Class A (a)

802

7,026

Health Net, Inc. (a)

286

7,948

Henry Schein, Inc. (a)

294

20,380

Humana, Inc.

536

45,501

Laboratory Corp. of America Holdings (a)

319

26,748

LifePoint Hospitals, Inc. (a)

168

6,495

Lincare Holdings, Inc.

284

6,688

MEDNAX, Inc. (a)

153

10,067

Omnicare, Inc.

368

10,974

Patterson Companies, Inc.

329

10,354

Quest Diagnostics, Inc.

501

27,956

Tenet Healthcare Corp. (a)

1,462

6,915

Universal Health Services, Inc. Class B

287

11,471

VCA Antech, Inc. (a)

282

5,730

 

339,852

Health Care Technology - 0.4%

Allscripts-Misys Healthcare Solutions, Inc. (a)

606

11,605

Cerner Corp. (a)

452

28,670

Emdeon, Inc. Class A (a)

88

1,669

SXC Health Solutions Corp. (a)

196

9,100

 

51,044

Life Sciences Tools & Services - 1.4%

Agilent Technologies, Inc. (a)

1,107

41,036

Bio-Rad Laboratories, Inc. Class A (a)

63

6,272

Bruker BioSciences Corp. (a)

267

3,853

Charles River Laboratories International, Inc. (a)

169

5,455

Covance, Inc. (a)

193

9,791

Illumina, Inc. (a)

393

12,034

Life Technologies Corp. (a)

570

23,182

Mettler-Toledo International, Inc. (a)

102

15,667

PerkinElmer, Inc.

354

7,317

Pharmaceutical Product Development, Inc.

318

10,491

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

QIAGEN NV (a)

742

$ 10,225

Techne Corp.

117

8,050

Waters Corp. (a)

292

23,395

 

176,768

Pharmaceuticals - 1.2%

Endo Pharmaceuticals Holdings, Inc. (a)

371

11,987

Forest Laboratories, Inc. (a)

911

28,514

Hospira, Inc. (a)

535

16,826

Mylan, Inc. (a)

1,398

27,359

Perrigo Co.

264

23,834

Warner Chilcott PLC (a)

538

9,749

Watson Pharmaceuticals, Inc. (a)

403

27,065

 

145,334

TOTAL HEALTH CARE

1,181,615

INDUSTRIALS - 12.4%

Aerospace & Defense - 1.5%

Alliant Techsystems, Inc.

107

6,215

BE Aerospace, Inc. (a)

309

11,659

Goodrich Corp.

397

48,684

Huntington Ingalls Industries, Inc. (a)

151

4,455

ITT Corp.

587

26,767

L-3 Communications Holdings, Inc.

338

22,910

Rockwell Collins, Inc.

492

27,468

Spirit AeroSystems Holdings, Inc. Class A (a)

374

6,384

Textron, Inc.

881

17,109

TransDigm Group, Inc. (a)

159

14,933

 

186,584

Air Freight & Logistics - 0.6%

C.H. Robinson Worldwide, Inc.

525

36,451

Expeditors International of Washington, Inc.

675

30,780

UTI Worldwide, Inc.

338

4,938

 

72,169

Airlines - 0.6%

AMR Corp. (a)

1,085

2,854

Copa Holdings SA Class A

102

7,045

Delta Air Lines, Inc. (a)

2,691

22,927

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Airlines - continued

Southwest Airlines Co.

2,521

$ 21,555

United Continental Holdings, Inc. (a)

1,056

20,402

 

74,783

Building Products - 0.3%

Armstrong World Industries, Inc.

70

2,981

Fortune Brands Home & Security, Inc. (a)

488

7,091

Lennox International, Inc.

173

5,569

Masco Corp.

1,135

10,896

Owens Corning (a)

396

11,238

 

37,775

Commercial Services & Supplies - 1.2%

Avery Dennison Corp.

339

9,017

Cintas Corp.

359

10,731

Copart, Inc. (a)

177

7,708

Corrections Corp. of America (a)

338

7,514

Covanta Holding Corp.

366

5,366

Iron Mountain, Inc.

574

17,754

KAR Auction Services, Inc. (a)

103

1,416

Pitney Bowes, Inc.

583

11,882

R.R. Donnelley & Sons Co.

596

9,715

Republic Services, Inc.

1,021

29,058

Stericycle, Inc. (a)

273

22,817

Waste Connections, Inc.

361

12,292

 

145,270

Construction & Engineering - 0.9%

AECOM Technology Corp. (a)

375

7,845

Chicago Bridge & Iron Co. NV unit

317

11,596

Fluor Corp.

555

31,552

Jacobs Engineering Group, Inc. (a)

403

15,636

KBR, Inc.

482

13,453

Quanta Services, Inc. (a)

686

14,331

Shaw Group, Inc. (a)

221

5,140

URS Corp. (a)

248

8,854

 

108,407

Electrical Equipment - 1.3%

AMETEK, Inc.

512

20,234

Babcock & Wilcox Co. (a)

372

8,180

Cooper Industries PLC Class A

525

27,542

General Cable Corp. (a)

171

4,795

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

GrafTech International Ltd. (a)

408

$ 6,410

Hubbell, Inc. Class B

191

11,420

Polypore International, Inc. (a)

124

6,504

Regal-Beloit Corp.

123

6,535

Rockwell Automation, Inc.

460

31,119

Roper Industries, Inc.

305

24,736

Thomas & Betts Corp. (a)

165

8,199

 

155,674

Industrial Conglomerates - 0.1%

Carlisle Companies, Inc.

192

8,010

Machinery - 3.8%

AGCO Corp. (a)

301

13,193

CNH Global NV (a)

87

3,235

Crane Co.

154

6,793

Donaldson Co., Inc.

243

15,564

Dover Corp.

594

32,985

Eaton Corp.

1,085

48,630

Flowserve Corp.

178

16,499

Gardner Denver, Inc.

166

12,837

Graco, Inc.

191

8,202

Harsco Corp.

259

5,970

IDEX Corp.

262

9,288

Ingersoll-Rand Co. Ltd.

1,054

32,811

Joy Global, Inc.

333

29,038

Kennametal, Inc.

259

10,073

Lincoln Electric Holdings, Inc.

267

9,719

Manitowoc Co., Inc.

411

4,554

Navistar International Corp. (a)

229

9,634

Nordson Corp.

192

8,903

Oshkosh Truck Corp. (a)

293

6,112

Pall Corp.

370

18,933

Parker Hannifin Corp.

480

39,144

Pentair, Inc.

312

11,216

Snap-On, Inc.

184

9,875

SPX Corp.

161

8,792

Stanley Black & Decker, Inc.

535

34,160

Terex Corp. (a)

356

5,924

Timken Co.

278

11,709

Toro Co.

101

5,458

Trinity Industries, Inc.

252

6,872

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Valmont Industries, Inc.

72

$ 6,174

WABCO Holdings, Inc. (a)

214

10,745

Wabtec Corp.

152

10,211

 

463,253

Marine - 0.1%

Alexander & Baldwin, Inc.

135

5,604

Kirby Corp. (a)

169

10,400

 

16,004

Professional Services - 0.8%

Dun & Bradstreet Corp.

157

10,497

Equifax, Inc.

392

13,779

IHS, Inc. Class A (a)

157

13,186

Manpower, Inc.

261

11,260

Nielsen Holdings B.V. (a)

255

7,484

Robert Half International, Inc.

468

12,369

Towers Watson & Co.

183

12,023

Verisk Analytics, Inc. (a)

378

13,287

 

93,885

Road & Rail - 0.5%

Con-way, Inc.

182

5,364

Hertz Global Holdings, Inc. (a)

777

9,013

J.B. Hunt Transport Services, Inc.

290

12,270

Kansas City Southern (a)

349

22,046

Landstar System, Inc.

151

6,739

Ryder System, Inc.

161

8,201

 

63,633

Trading Companies & Distributors - 0.7%

Air Lease Corp. Class A

119

2,657

Fastenal Co.

939

35,767

GATX Corp.

151

5,735

MSC Industrial Direct Co., Inc. Class A

141

9,589

W.W. Grainger, Inc.

181

31,007

WESCO International, Inc. (a)

138

6,687

 

91,442

TOTAL INDUSTRIALS

1,516,889

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 13.6%

Communications Equipment - 1.1%

Acme Packet, Inc. (a)

170

$ 6,156

Brocade Communications Systems, Inc. (a)

1,497

6,557

Ciena Corp. (a)

297

3,914

EchoStar Holding Corp. Class A (a)

124

3,269

F5 Networks, Inc. (a)

258

26,819

Harris Corp.

377

14,232

JDS Uniphase Corp. (a)

719

8,628

Motorola Mobility Holdings, Inc.

830

32,270

Polycom, Inc. (a)

561

9,273

Riverbed Technology, Inc. (a)

489

13,487

Tellabs, Inc.

1,194

5,170

 

129,775

Computers & Peripherals - 0.7%

Diebold, Inc.

207

6,682

Fusion-io, Inc.

58

1,799

Lexmark International, Inc. Class A

251

7,957

NCR Corp. (a)

503

9,577

QLogic Corp. (a)

321

4,484

SanDisk Corp. (a)

758

38,408

Western Digital Corp. (a)

740

19,714

 

88,621

Electronic Equipment & Components - 1.2%

Amphenol Corp. Class A

561

26,642

Arrow Electronics, Inc. (a)

366

13,194

Avnet, Inc. (a)

485

14,700

AVX Corp.

145

1,944

Dolby Laboratories, Inc. Class A (a)

174

5,088

FLIR Systems, Inc.

508

13,360

Ingram Micro, Inc. Class A (a)

508

9,083

IPG Photonics Corp. (a)

91

4,810

Itron, Inc. (a)

125

4,599

Jabil Circuit, Inc.

612

12,583

Molex, Inc.

430

10,617

National Instruments Corp.

288

7,692

Tech Data Corp. (a)

138

6,787

Trimble Navigation Ltd. (a)

390

15,760

Vishay Intertechnology, Inc. (a)

475

5,106

 

151,965

Internet Software & Services - 0.8%

Akamai Technologies, Inc. (a)

594

16,002

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

AOL, Inc. (a)

352

$ 4,970

Equinix, Inc. (a)

149

14,305

IAC/InterActiveCorp

240

9,799

LinkedIn Corp. (a)

30

2,697

Monster Worldwide, Inc. (a)

407

3,757

Rackspace Hosting, Inc. (a)

328

13,576

VeriSign, Inc.

536

17,200

VistaPrint Ltd. (a)

125

4,365

WebMD Health Corp. (a)

189

6,795

 

93,466

IT Services - 2.4%

Alliance Data Systems Corp. (a)

162

16,595

Amdocs Ltd. (a)

590

17,712

Booz Allen Hamilton Holding Corp. Class A

85

1,344

Broadridge Financial Solutions, Inc.

389

8,655

Computer Sciences Corp.

494

15,541

CoreLogic, Inc. (a)

305

3,712

DST Systems, Inc.

114

5,722

Fidelity National Information Services, Inc.

835

21,860

Fiserv, Inc. (a)

457

26,904

FleetCor Technologies, Inc.

52

1,454

Gartner, Inc. Class A (a)

309

11,903

Genpact Ltd. (a)

402

6,492

Global Payments, Inc.

255

11,710

Lender Processing Services, Inc.

269

4,721

NeuStar, Inc. Class A (a)

232

7,375

Paychex, Inc.

1,030

30,014

SAIC, Inc. (a)

918

11,411

Teradata Corp. (a)

537

32,037

The Western Union Co.

2,014

35,185

Total System Services, Inc.

515

10,243

VeriFone Systems, Inc. (a)

325

13,718

 

294,308

Office Electronics - 0.3%

Xerox Corp.

4,458

36,466

Zebra Technologies Corp. Class A (a)

174

6,219

 

42,685

Semiconductors & Semiconductor Equipment - 3.7%

Advanced Micro Devices, Inc. (a)

1,955

11,398

Altera Corp.

1,025

38,868

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Analog Devices, Inc.

953

$ 34,851

Atmel Corp. (a)

1,456

15,375

Avago Technologies Ltd.

607

20,498

Cree, Inc. (a)

348

9,271

Cypress Semiconductor Corp.

496

9,479

Fairchild Semiconductor International, Inc. (a)

411

6,153

First Solar, Inc. (a)

190

9,456

Freescale Semiconductor Holdings I Ltd.

141

1,860

International Rectifier Corp. (a)

228

5,538

Intersil Corp. Class A

385

4,608

KLA-Tencor Corp.

534

25,146

Lam Research Corp. (a)

396

17,024

Linear Technology Corp.

725

23,425

LSI Corp. (a)

1,820

11,375

Marvell Technology Group Ltd. (a)

1,614

22,580

Maxim Integrated Products, Inc.

940

24,590

MEMC Electronic Materials, Inc. (a)

708

4,241

Microchip Technology, Inc.

607

21,949

Micron Technology, Inc. (a)

2,759

15,423

Novellus Systems, Inc. (a)

219

7,566

NVIDIA Corp. (a)

1,911

28,283

ON Semiconductor Corp. (a)

1,412

10,689

PMC-Sierra, Inc. (a)

770

4,882

Silicon Laboratories, Inc. (a)

144

6,156

Skyworks Solutions, Inc. (a)

602

11,926

SunPower Corp. Class A (a)

321

3,216

Teradyne, Inc. (a)

583

8,349

Varian Semiconductor Equipment Associates, Inc. (a)

240

15,065

Xilinx, Inc.

845

28,274

 

457,514

Software - 3.4%

Activision Blizzard, Inc.

1,345

18,010

ANSYS, Inc. (a)

293

15,927

Ariba, Inc. (a)

306

9,694

Autodesk, Inc. (a)

732

25,327

BMC Software, Inc. (a)

564

19,605

CA, Inc.

1,221

26,447

Cadence Design Systems, Inc. (a)

851

9,421

Citrix Systems, Inc. (a)

598

43,552

Compuware Corp. (a)

700

5,915

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Electronic Arts, Inc. (a)

1,059

$ 24,728

FactSet Research Systems, Inc.

147

14,615

Fortinet, Inc. (a)

381

8,786

Informatica Corp. (a)

337

15,334

Intuit, Inc.

962

51,631

MICROS Systems, Inc. (a)

258

12,699

Nuance Communications, Inc. (a)

759

20,098

Red Hat, Inc. (a)

615

30,535

Rovi Corp. (a)

360

17,834

Solera Holdings, Inc.

224

12,237

Synopsys, Inc. (a)

466

12,493

TIBCO Software, Inc. (a)

528

15,254

 

410,142

TOTAL INFORMATION TECHNOLOGY

1,668,476

MATERIALS - 6.5%

Chemicals - 3.2%

Airgas, Inc.

250

17,238

Albemarle Corp.

292

15,561

Ashland, Inc.

252

13,346

Cabot Corp.

210

6,338

Celanese Corp. Class A

498

21,688

CF Industries Holdings, Inc.

227

36,835

Cytec Industries, Inc.

156

6,969

Eastman Chemical Co.

453

17,798

Ecolab, Inc.

738

39,734

FMC Corp.

229

18,066

Huntsman Corp.

613

7,197

International Flavors & Fragrances, Inc.

257

15,564

Intrepid Potash, Inc. (a)

161

4,481

Kronos Worldwide, Inc.

74

1,642

Nalco Holding Co.

441

16,630

PPG Industries, Inc.

503

43,464

Rockwood Holdings, Inc. (a)

217

9,991

RPM International, Inc.

412

9,258

Sherwin-Williams Co.

286

23,655

Sigma Aldrich Corp.

388

25,406

Solutia, Inc. (a)

390

6,338

The Scotts Miracle-Gro Co. Class A

144

6,985

Valspar Corp.

304

10,600

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

W.R. Grace & Co. (a)

233

$ 9,737

Westlake Chemical Corp.

67

2,761

 

387,282

Construction Materials - 0.2%

Martin Marietta Materials, Inc.

144

10,392

Vulcan Materials Co.

410

12,829

 

23,221

Containers & Packaging - 1.0%

Aptargroup, Inc.

213

10,218

Ball Corp.

535

18,495

Bemis Co., Inc.

334

9,389

Crown Holdings, Inc. (a)

496

16,760

Greif, Inc. Class A

123

5,508

Owens-Illinois, Inc. (a)

521

10,462

Packaging Corp. of America

321

8,372

Rock-Tenn Co. Class A

221

13,081

Sealed Air Corp.

609

10,840

Silgan Holdings, Inc.

159

5,969

Sonoco Products Co.

316

9,919

Temple-Inland, Inc.

345

10,974

 

129,987

Metals & Mining - 1.6%

AK Steel Holding Corp.

362

3,015

Allegheny Technologies, Inc.

338

15,683

Allied Nevada Gold Corp. (a)

284

10,786

Carpenter Technology Corp.

139

7,884

Cliffs Natural Resources, Inc.

465

31,722

Commercial Metals Co.

355

4,413

Compass Minerals International, Inc.

103

7,835

Molycorp, Inc. (a)

179

6,850

Nucor Corp.

1,006

38,007

Reliance Steel & Aluminum Co.

237

10,473

Royal Gold, Inc.

173

12,383

Schnitzer Steel Industries, Inc. Class A

71

3,323

Steel Dynamics, Inc.

691

8,631

Titanium Metals Corp.

262

4,389

United States Steel Corp.

457

11,590

Walter Energy, Inc.

198

14,979

 

191,963

Common Stocks - continued

Shares

Value

MATERIALS - continued

Paper & Forest Products - 0.5%

Domtar Corp.

130

$ 10,648

International Paper Co.

1,392

38,558

MeadWestvaco Corp.

541

15,099

 

64,305

TOTAL MATERIALS

796,758

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.5%

Frontier Communications Corp.

3,175

19,876

Level 3 Communications, Inc. (a)

465

12,411

tw telecom, inc. (a)

475

8,788

Windstream Corp.

1,627

19,801

 

60,876

Wireless Telecommunication Services - 0.7%

Clearwire Corp. Class A (a)

666

1,279

Crown Castle International Corp. (a)

923

38,175

MetroPCS Communications, Inc. (a)

883

7,506

NII Holdings, Inc. (a)

542

12,753

SBA Communications Corp. Class A (a)

360

13,712

Telephone & Data Systems, Inc.

288

6,676

U.S. Cellular Corp. (a)

43

1,714

 

81,815

TOTAL TELECOMMUNICATION SERVICES

142,691

UTILITIES - 7.1%

Electric Utilities - 2.4%

DPL, Inc.

374

11,351

Edison International

1,034

41,980

Entergy Corp.

566

39,150

Great Plains Energy, Inc.

426

8,835

Hawaiian Electric Industries, Inc.

298

7,548

ITC Holdings Corp.

163

11,847

Northeast Utilities

565

19,532

NV Energy, Inc.

748

11,998

Pepco Holdings, Inc.

723

14,315

Pinnacle West Capital Corp.

349

15,907

PPL Corp.

1,831

53,776

Common Stocks - continued

Shares

Value

UTILITIES - continued

Electric Utilities - continued

Progress Energy, Inc.

934

$ 48,661

Westar Energy, Inc.

360

9,814

 

294,714

Gas Utilities - 0.7%

AGL Resources, Inc.

249

10,443

Atmos Energy Corp.

285

9,781

National Fuel Gas Co.

264

16,181

ONEOK, Inc.

342

26,009

Questar Corp.

565

10,888

UGI Corp.

353

10,121

 

83,423

Independent Power Producers & Energy Traders - 0.7%

Calpine Corp. (a)

1,116

16,930

Constellation Energy Group, Inc.

593

23,542

GenOn Energy, Inc. (a)

2,428

7,405

NRG Energy, Inc. (a)

767

16,429

The AES Corp. (a)

2,091

23,461

 

87,767

Multi-Utilities - 3.1%

Alliant Energy Corp.

355

14,477

Ameren Corp.

770

24,548

CenterPoint Energy, Inc.

1,356

28,259

CMS Energy Corp.

807

16,802

Consolidated Edison, Inc.

928

53,703

DTE Energy Co.

540

28,139

Integrys Energy Group, Inc.

251

13,280

MDU Resources Group, Inc.

600

12,366

NiSource, Inc.

894

19,748

NSTAR

332

14,970

OGE Energy Corp.

314

16,246

SCANA Corp.

369

15,601

Sempra Energy

760

40,835

TECO Energy, Inc.

686

12,739

Vectren Corp.

257

7,294

Wisconsin Energy Corp.

747

24,225

Xcel Energy, Inc.

1,539

39,783

 

383,015

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - 0.2%

American Water Works Co., Inc. (a)

559

$ 17,066

Aqua America, Inc.

438

9,719

 

26,785

TOTAL UTILITIES

875,704

TOTAL COMMON STOCKS

(Cost $11,602,815)


12,189,471

Investment Companies - 0.1%

 

 

 

 

Ares Capital Corp.
(Cost $9,418)

648


10,025

U.S. Treasury Obligations - 0.6%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.04% to 0.05% 3/8/12 to 5/3/12 (c)
(Cost $69,999)

$ 70,000


69,977

Money Market Funds - 6.5%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $796,597)

796,597


796,597

TOTAL INVESTMENT PORTFOLIO - 106.7%

(Cost $12,478,829)

13,066,070

NET OTHER ASSETS (LIABILITIES) - (6.7)%

(820,175)

NET ASSETS - 100%

$ 12,245,895

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1 CME E-mini S&P Midcap 400 Index Contracts

Dec. 2011

$ 88,610

$ 10,820

The face value of futures purchased as a percentage of net assets is 0.7%

Legend

(a) Non-income producing

(b) Affiliated fund that is 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) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $69,977.

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

$ 99

Other Information

The following is a summary of the inputs used, as of October 31, 2011, 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 Security 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

$ 1,929,806

$ 1,929,806

$ -

$ -

Consumer Staples

775,678

775,678

-

-

Energy

1,013,021

1,013,021

-

-

Financials

2,288,833

2,288,833

-

-

Health Care

1,181,615

1,181,615

-

-

Industrials

1,516,889

1,516,889

-

-

Information Technology

1,668,476

1,668,476

-

-

Materials

796,758

796,758

-

-

Telecommunication Services

142,691

142,691

-

-

Utilities

875,704

875,704

-

-

Investment Companies

10,025

10,025

-

-

U.S. Government and Government Agency Obligations

69,977

-

69,977

-

Money Market Funds

796,597

796,597

-

-

Total Investments in Securities:

$ 13,066,070

$ 12,996,093

$ 69,977

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 10,820

$ 10,820

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of October 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 10,820

$ -

Total Value of Derivatives

$ 10,820

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on 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

  

October 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $11,682,232)

$ 12,269,473

 

Fidelity Central Funds (cost $796,597)

796,597

 

Total Investments (cost $12,478,829)

 

$ 13,066,070

Receivable for fund shares sold

24,644

Dividends receivable

5,599

Distributions receivable from Fidelity Central Funds

40

Receivable from investment adviser for expense reductions

645

Total assets

13,096,998

 

 

 

Liabilities

Payable for investments purchased

$ 828,483

Accrued management fee

1,096

Payable for daily variation margin on futures contracts

20,825

Other affiliated payables

699

Total liabilities

851,103

 

 

 

Net Assets

$ 12,245,895

Net Assets consist of:

 

Paid in capital

$ 11,655,314

Undistributed net investment income

18,061

Accumulated undistributed net realized gain (loss) on investments

(25,541)

Net unrealized appreciation (depreciation) on investments

598,061

Net Assets

$ 12,245,895

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price
per share ($836,725 ÷ 79,644 shares)

$ 10.51

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,154,589 ÷ 585,685 shares)

$ 10.51

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,627,252 ÷ 250,001 shares)

$ 10.51

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,627,329 ÷ 250,001 shares)

$ 10.51

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 19,933

Interest

 

53

Income from Fidelity Central Funds

 

99

Total income

 

20,085

 

 

 

Expenses

Management fee

$ 1,901

Transfer agent fees

1,236

Independent trustees' compensation

3

Total expenses before reductions

3,140

Expense reductions

(1,116)

2,024

Net investment income (loss)

18,061

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

733

Futures contracts

(26,274)

Total net realized gain (loss)

 

(25,541)

Change in net unrealized appreciation (depreciation) on:

Investment securities

587,241

Futures contracts

10,820

Total change in net unrealized appreciation (depreciation)

 

598,061

Net gain (loss)

572,520

Net increase (decrease) in net assets resulting from operations

$ 590,581

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

Semiannual Report

Statement of Changes in Net Assets

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

Increase (Decrease) in Net Assets

 

Operations

 

Net investment income (loss)

$ 18,061

Net realized gain (loss)

(25,541)

Change in net unrealized appreciation (depreciation)

598,061

Net increase (decrease) in net assets resulting
from operations

590,581

Share transactions - net increase (decrease)

11,655,314

Total increase (decrease) in net assets

12,245,895

 

 

Net Assets

Beginning of period

-

End of period (including undistributed net investment income of $18,061)

$ 12,245,895

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

Semiannual Report

Financial Highlights - Investor Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .33% A

Expenses net of fee waivers, if any

  .26% A

Expenses net of all reductions

  .26% A

Net investment income (loss)

  1.00% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 837

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .20% A

Expenses net of fee waivers, if any

  .12% A

Expenses net of all reductions

  .12% A

Net investment income (loss)

  1.15% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 6,155

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .14% A

Expenses net of fee waivers, if any

  .08% A

Expenses net of all reductions

  .08% A

Net investment income (loss)

  1.18% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,627

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .49

Total from investment operations

  .51

Net asset value, end of period

$ 10.51

Total Return B, C

  5.10%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .12% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  1.20% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,627

Portfolio turnover rate F

  1% I

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 the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Spartan Small Cap Index

Investment Summary (Unaudited)

Top Ten Stocks as of October 31, 2011

 

% of fund's net assets

HealthSpring, Inc.

0.3

Netlogic Microsystems, Inc.

0.3

World Fuel Services Corp.

0.3

Home Properties, Inc.

0.3

Jack Henry & Associates, Inc.

0.3

Nu Skin Enterprises, Inc. Class A

0.3

Clean Harbors, Inc.

0.3

American Campus Communities, Inc.

0.2

National Retail Properties, Inc.

0.2

ONYX Pharmaceuticals, Inc.

0.3

 

2.8

Market Sectors as of October 31, 2011

 

% of fund's net assets

Financials

21.6

Information Technology

17.3

Industrials

15.4

Consumer Discretionary

13.2

Health Care

12.4

Energy

6.8

Materials

4.5

Utilities

3.7

Consumer Staples

3.6

Telecommunication Services

0.9

Semiannual Report

Spartan Small Cap Index

Investments October 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.4%

Shares

Value

CONSUMER DISCRETIONARY - 13.2%

Auto Components - 0.8%

American Axle & Manufacturing Holdings, Inc. (a)

750

$ 7,268

Amerigon, Inc. (a)

236

3,620

Cooper Tire & Rubber Co.

685

9,816

Dana Holding Corp. (a)

1,633

23,091

Dorman Products, Inc. (a)

112

4,268

Drew Industries, Inc.

222

5,335

Exide Technologies (a)

940

4,230

Fuel Systems Solutions, Inc. (a)

201

4,691

Modine Manufacturing Co. (a)

532

5,623

Motorcar Parts of America, Inc. (a)

135

1,339

Shiloh Industries, Inc.

50

395

Spartan Motors, Inc.

355

1,740

Standard Motor Products, Inc.

239

3,716

Stoneridge, Inc. (a)

281

2,211

Superior Industries International, Inc.

274

5,011

Tenneco, Inc. (a)

677

22,151

Tower International, Inc.

61

751

 

105,256

Automobiles - 0.0%

Winnebago Industries, Inc. (a)

371

3,020

Distributors - 0.2%

Audiovox Corp. Class A (a)

203

1,443

Core-Mark Holding Co., Inc.

138

4,622

Pool Corp.

542

15,837

Weyco Group, Inc.

76

1,801

 

23,703

Diversified Consumer Services - 1.3%

American Public Education, Inc. (a)

201

7,198

Archipelago Learning, Inc. (a)

144

1,467

Ascent Capital Group, Inc. (a)

162

7,369

Bridgepoint Education, Inc. (a)

187

4,052

Cambium Learning Group, Inc. (a)

153

505

Capella Education Co. (a)

161

5,604

Coinstar, Inc. (a)

353

16,852

Corinthian Colleges, Inc. (a)

835

1,595

Grand Canyon Education, Inc. (a)

333

5,431

Hillenbrand, Inc.

696

14,693

K12, Inc. (a)

293

10,270

Lincoln Educational Services Corp.

233

2,179

Mac-Gray Corp.

110

1,527

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - continued

Matthews International Corp. Class A

324

$ 11,385

National American University Holdings, Inc.

82

580

Regis Corp.

646

10,569

Sotheby's Class A (Ltd. vtg.)

757

26,662

Steiner Leisure Ltd. (a)

168

8,094

Stewart Enterprises, Inc. Class A

906

5,835

Strayer Education, Inc.

138

11,759

Universal Technical Institute, Inc. (a)

227

3,242

 

156,868

Hotels, Restaurants & Leisure - 2.7%

AFC Enterprises, Inc. (a)

262

3,592

Ambassadors Group, Inc.

201

997

Ameristar Casinos, Inc.

363

6,716

Benihana, Inc. Class A (sub. vtg.) (a)

149

1,436

Biglari Holdings, Inc. (a)

13

4,487

BJ's Restaurants, Inc. (a)

269

14,238

Bob Evans Farms, Inc.

332

10,923

Boyd Gaming Corp. (a)

582

3,771

Bravo Brio Restaurant Group, Inc.

233

4,527

Buffalo Wild Wings, Inc. (a)

205

13,575

Caribou Coffee Co., Inc. (a)

136

1,856

Carrols Restaurant Group, Inc. (a)

140

1,308

CEC Entertainment, Inc.

222

7,020

Churchill Downs, Inc.

142

6,826

Cracker Barrel Old Country Store, Inc.

252

10,682

Denny's Corp. (a)

1,213

4,367

DineEquity, Inc. (a)

172

8,077

Domino's Pizza, Inc. (a)

657

21,044

Einstein Noah Restaurant Group, Inc.

55

810

Gaylord Entertainment Co. (a)

401

9,379

International Speedway Corp. Class A

329

7,850

Interval Leisure Group, Inc. (a)

458

6,325

Isle of Capri Casinos, Inc. (a)

232

1,262

Jack in the Box, Inc. (a)

509

10,475

Jamba, Inc. (a)

757

1,287

Krispy Kreme Doughnuts, Inc. (a)

692

4,886

Life Time Fitness, Inc. (a)

477

20,573

Luby's, Inc. (a)

303

1,463

Marcus Corp.

260

3,099

McCormick & Schmick's Seafood Restaurants (a)

154

1,032

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Monarch Casino & Resort, Inc. (a)

83

$ 854

Morgans Hotel Group Co. (a)

236

1,536

Multimedia Games Holdng Co., Inc. (a)

287

1,897

O'Charleys, Inc. (a)

208

1,292

Orient Express Hotels Ltd. Class A (a)

1,066

9,093

P.F. Chang's China Bistro, Inc.

253

7,868

Papa John's International, Inc. (a)

221

7,461

Peet's Coffee & Tea, Inc. (a)

143

9,112

Pinnacle Entertainment, Inc. (a)

693

7,845

Red Lion Hotels Corp. (a)

168

1,168

Red Robin Gourmet Burgers, Inc. (a)

137

3,435

Ruby Tuesday, Inc. (a)

740

6,209

Ruth's Hospitality Group, Inc. (a)

457

2,157

Scientific Games Corp. Class A (a)

672

5,840

Shuffle Master, Inc. (a)

607

6,440

Six Flags Entertainment Corp.

463

16,622

Sonic Corp. (a)

722

5,350

Speedway Motorsports, Inc.

127

1,651

Texas Roadhouse, Inc. Class A

697

9,988

The Cheesecake Factory, Inc. (a)

645

18,054

Town Sports International Holdings, Inc. (a)

216

1,875

Vail Resorts, Inc.

411

18,314

 

337,944

Household Durables - 0.8%

American Greetings Corp. Class A

455

7,285

Beazer Homes USA, Inc. (a)

828

1,780

Blyth, Inc.

55

3,071

Cavco Industries, Inc. (a)

83

3,737

CSS Industries, Inc.

87

1,834

Ethan Allen Interiors, Inc.

282

5,584

Furniture Brands International, Inc. (a)

389

743

Helen of Troy Ltd. (a)

341

9,865

Hovnanian Enterprises, Inc. Class A (a)

569

819

iRobot Corp. (a)

263

8,905

KB Home

873

6,085

La-Z-Boy, Inc. (a)

593

6,025

Libbey, Inc. (a)

250

3,165

Lifetime Brands, Inc.

107

1,309

M.D.C. Holdings, Inc.

422

9,453

M/I Homes, Inc. (a)

216

1,614

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Meritage Homes Corp. (a)

322

$ 5,716

Ryland Group, Inc.

501

6,764

Sealy Corp., Inc. (a)

459

711

Skullcandy, Inc. (a)

106

1,670

Skyline Corp.

64

433

Standard Pacific Corp. (a)

1,237

3,760

Universal Electronics, Inc. (a)

183

3,402

Zagg, Inc. (a)

273

3,683

 

97,413

Internet & Catalog Retail - 0.4%

1-800-FLOWERS.com, Inc. Class A (a)

241

687

Blue Nile, Inc. (a)

146

6,589

Geeknet, Inc. (a)

41

798

HSN, Inc.

447

15,944

NutriSystem, Inc.

333

4,116

Orbitz Worldwide, Inc. (a)

194

367

Overstock.com, Inc. (a)

129

1,071

PetMed Express, Inc.

224

2,233

Shutterfly, Inc. (a)

337

14,043

U.S. Auto Parts Network, Inc. (a)

137

767

ValueVision Media, Inc. Class A (a)

455

1,492

 

48,107

Leisure Equipment & Products - 0.4%

Arctic Cat, Inc. (a)

126

2,559

Black Diamond, Inc. (a)

150

1,295

Brunswick Corp.

998

17,625

Callaway Golf Co.

674

3,916

Eastman Kodak Co. (a)

2,813

3,122

JAKKS Pacific, Inc.

310

5,881

Johnson Outdoors, Inc. Class A (a)

45

837

Leapfrog Enterprises, Inc. Class A (a)

441

1,645

Marine Products Corp. (a)

95

525

Smith & Wesson Holding Corp. (a)

633

1,874

Steinway Musical Instruments, Inc. (a)

70

1,764

Sturm, Ruger & Co., Inc.

214

6,488

Summer Infant, Inc. (a)

154

1,204

 

48,735

Media - 1.3%

A.H. Belo Corp. Class A

216

1,080

Arbitron, Inc.

302

11,998

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Belo Corp. Series A

949

$ 6,017

Central European Media Enterprises Ltd. Class A (a)

438

4,836

Cinemark Holdings, Inc.

1,044

21,579

Crown Media Holdings, Inc. Class A (a)

324

512

Cumulus Media, Inc. Class A (a)

420

1,264

E.W. Scripps Co. Class A (a)

418

3,486

Entercom Communications Corp. Class A (a)

261

1,712

Entravision Communication Corp. Class A (a)

467

771

Fisher Communications, Inc. (a)

112

3,252

Global Sources Ltd. (a)

106

773

Gray Television, Inc. (a)

461

876

Harte-Hanks, Inc.

527

4,627

interCLICK, Inc. (a)

274

2,028

Journal Communications, Inc. Class A (a)

459

1,772

Knology, Inc. (a)

354

5,073

LIN TV Corp. Class A (a)

275

858

Lions Gate Entertainment Corp. (a)

478

3,929

Live Nation Entertainment, Inc. (a)

1,598

15,005

Martha Stewart Living Omnimedia, Inc. Class A (a)

313

1,211

MDC Partners, Inc. Class A (sub. vtg.)

297

5,001

Meredith Corp.

406

10,893

National CineMedia, Inc.

624

7,550

Nexstar Broadcasting Group, Inc. Class A (a)

127

1,156

Outdoor Channel Holdings, Inc.

164

1,225

ReachLocal, Inc. (a)

114

1,141

Rentrak Corp. (a)

103

1,407

Saga Communications, Inc. Class A (a)

39

1,463

Scholastic Corp.

296

7,948

Sinclair Broadcast Group, Inc. Class A

587

5,623

The McClatchy Co. Class A (a)

536

842

The New York Times Co. Class A (a)

1,533

11,681

Valassis Communications, Inc. (a)

548

10,702

Value Line, Inc.

12

151

Westwood One, Inc. (a)

47

205

World Wrestling Entertainment, Inc. Class A

253

2,659

 

162,306

Multiline Retail - 0.3%

99 Cents Only Stores (a)

525

11,445

Fred's, Inc. Class A

452

5,510

Gordmans Stores, Inc. (a)

49

685

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Saks, Inc. (a)

1,299

$ 13,730

The Bon-Ton Stores, Inc.

115

607

Tuesday Morning Corp. (a)

453

1,640

 

33,617

Specialty Retail - 3.4%

Aeropostale, Inc. (a)

899

12,280

America's Car Mart, Inc. (a)

92

3,071

ANN, Inc. (a)

579

15,425

Asbury Automotive Group, Inc. (a)

334

6,229

Ascena Retail Group, Inc. (a)

697

20,143

Barnes & Noble, Inc.

305

3,742

bebe Stores, Inc.

468

3,360

Big 5 Sporting Goods Corp.

236

1,824

Body Central Corp.

150

3,150

Brown Shoe Co., Inc.

507

4,517

Build-A-Bear Workshop, Inc. (a)

154

1,009

Cabela's, Inc. Class A (a)

487

12,136

Casual Male Retail Group, Inc. (a)

441

1,830

Charming Shoppes, Inc. (a)

1,385

4,806

Christopher & Banks Corp.

404

1,345

Citi Trends, Inc. (a)

155

1,920

Coldwater Creek, Inc. (a)

1,176

1,235

Collective Brands, Inc. (a)

686

10,022

Conn's, Inc. (a)

162

1,492

Cost Plus, Inc. (a)

257

2,028

Destination Maternity Corp.

137

2,270

Express, Inc.

613

13,848

Finish Line, Inc. Class A

575

11,558

Francescas Holdings Corp. (a)

125

3,209

Genesco, Inc. (a)

265

15,619

GNC Holdings, Inc.

261

6,460

Group 1 Automotive, Inc.

268

12,210

Haverty Furniture Companies, Inc.

194

2,254

hhgregg, Inc. (a)

187

2,384

Hibbett Sports, Inc. (a)

304

12,522

Hot Topic, Inc.

468

3,538

Jos. A. Bank Clothiers, Inc. (a)

308

16,460

Kirkland's, Inc. (a)

177

1,989

Lithia Motors, Inc. Class A (sub. vtg.)

259

5,328

Lumber Liquidators Holdings, Inc. (a)

282

4,222

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

MarineMax, Inc. (a)

245

$ 1,994

Monro Muffler Brake, Inc.

343

12,722

New York & Co., Inc. (a)

252

673

Office Depot, Inc. (a)

3,105

7,110

OfficeMax, Inc. (a)

1,006

5,151

Pacific Sunwear of California, Inc. (a)

440

550

Penske Automotive Group, Inc.

496

10,113

Pier 1 Imports, Inc. (a)

1,099

13,748

Rent-A-Center, Inc.

711

24,281

rue21, Inc. (a)

179

4,769

Select Comfort Corp. (a)

618

12,836

Shoe Carnival, Inc. (a)

116

3,166

Sonic Automotive, Inc. Class A (sub. vtg.)

415

6,088

Stage Stores, Inc.

335

5,236

Stein Mart, Inc.

286

2,074

Syms Corp. (a)

60

469

Systemax, Inc. (a)

116

1,755

Talbots, Inc. (a)

717

1,886

Teavana Holdings, Inc. (a)

71

1,623

The Buckle, Inc.

301

13,413

The Cato Corp. Class A (sub. vtg.)

309

7,920

The Children's Place Retail Stores, Inc. (a)

291

13,662

The Men's Wearhouse, Inc.

578

17,849

The Pep Boys - Manny, Moe & Jack

596

6,854

Vitamin Shoppe, Inc. (a)

279

10,521

West Marine, Inc. (a)

162

1,473

Wet Seal, Inc. Class A (a)

1,075

4,504

Winmark Corp.

26

1,290

Zale Corp. (a)

372

1,373

Zumiez, Inc. (a)

244

5,551

 

426,089

Textiles, Apparel & Luxury Goods - 1.6%

Carter's, Inc. (a)

547

20,835

Cherokee, Inc.

94

1,235

Columbia Sportswear Co.

137

7,362

Crocs, Inc. (a)

952

16,822

Delta Apparel, Inc. (a)

79

1,423

G-III Apparel Group Ltd. (a)

192

5,412

Iconix Brand Group, Inc. (a)

813

14,593

K-Swiss, Inc. Class A (a)

290

1,305

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Kenneth Cole Productions, Inc. Class A (sub. vtg.) (a)

70

$ 753

Liz Claiborne, Inc. (a)

1,046

8,378

Maidenform Brands, Inc. (a)

264

6,489

Movado Group, Inc.

213

3,563

Oxford Industries, Inc.

148

5,846

Perry Ellis International, Inc. (a)

155

3,891

Quiksilver, Inc. (a)

1,526

5,112

R.G. Barry Corp.

136

1,511

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

434

6,189

Steven Madden Ltd. (a)

420

15,498

The Jones Group, Inc.

972

10,857

True Religion Apparel, Inc. (a)

285

9,667

Unifi, Inc. (a)

152

1,178

Vera Bradley, Inc.

221

10,011

Warnaco Group, Inc. (a)

491

24,108

Wolverine World Wide, Inc.

552

20,937

 

202,975

TOTAL CONSUMER DISCRETIONARY

1,646,033

CONSUMER STAPLES - 3.6%

Beverages - 0.2%

Boston Beer Co., Inc. Class A (a)

93

8,229

Central European Distribution Corp. (a)

842

4,547

Coca-Cola Bottling Co. Consolidated

57

3,199

Craft Brewers Alliance, Inc. (a)

97

635

Heckmann Corp. (a)

1,062

6,361

MGP Ingredients, Inc.

112

735

National Beverage Corp.

117

1,980

Primo Water Corp.

136

827

 

26,513

Food & Staples Retailing - 1.1%

Andersons, Inc.

209

7,716

Arden Group, Inc. Class A

11

998

Casey's General Stores, Inc.

425

21,059

Chefs' Warehouse Holdings (a)

112

1,600

Fresh Market, Inc.

314

12,560

Ingles Markets, Inc. Class A

131

1,978

Nash-Finch Co.

127

3,343

PriceSmart, Inc.

199

15,132

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Rite Aid Corp. (a)

6,674

$ 7,742

Ruddick Corp.

547

23,909

Spartan Stores, Inc.

272

4,657

Susser Holdings Corp. (a)

86

1,889

The Pantry, Inc. (a)

244

3,450

United Natural Foods, Inc. (a)

538

19,642

Village Super Market, Inc. Class A

66

1,872

Weis Markets, Inc.

132

5,221

Winn-Dixie Stores, Inc. (a)

683

4,330

 

137,098

Food Products - 1.4%

Alico, Inc.

33

751

B&G Foods, Inc. Class A

537

11,395

Cal-Maine Foods, Inc.

166

5,531

Calavo Growers, Inc.

147

3,318

Chiquita Brands International, Inc. (a)

539

4,786

Darling International, Inc. (a)

1,313

18,408

Diamond Foods, Inc.

248

16,306

Dole Food Co., Inc. (a)

434

4,592

Farmer Brothers Co.

63

369

Fresh Del Monte Produce, Inc.

405

10,311

Griffin Land & Nurseries, Inc.

23

617

Hain Celestial Group, Inc. (a)

399

13,390

Harbinger Group, Inc. (a)

84

432

Imperial Sugar Co.

114

772

J&J Snack Foods Corp.

160

8,251

Lancaster Colony Corp.

204

13,570

Lifeway Foods, Inc. (a)

43

453

Limoneira Co.

85

1,475

Omega Protein Corp. (a)

201

2,177

Pilgrims Pride Corp. (a)

520

2,621

Sanderson Farms, Inc.

247

12,227

Seneca Foods Corp. Class A (a)

96

2,021

Smart Balance, Inc. (a)

711

4,657

Snyders-Lance, Inc.

532

11,289

Tootsie Roll Industries, Inc.

271

6,713

TreeHouse Foods, Inc. (a)

397

24,352

 

180,784

Household Products - 0.2%

Central Garden & Pet Co. Class A (non-vtg.) (a)

561

4,931

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - continued

Oil-Dri Corp. of America

77

$ 1,544

Spectrum Brands Holdings, Inc. (a)

199

5,051

WD-40 Co.

173

7,615

 

19,141

Personal Products - 0.5%

Elizabeth Arden, Inc. (a)

270

9,256

Inter Parfums, Inc.

195

3,596

MediFast, Inc. (a)

140

2,302

Nature's Sunshine Products, Inc. (a)

118

2,048

Nu Skin Enterprises, Inc. Class A

610

30,823

Nutraceutical International Corp. (a)

101

1,394

Prestige Brands Holdings, Inc. (a)

571

6,041

Revlon, Inc. (a)

116

1,709

Schiff Nutrition International, Inc.

163

1,992

Synutra International, Inc. (a)

204

1,357

The Female Health Co.

172

783

USANA Health Sciences, Inc. (a)

70

2,422

 

63,723

Tobacco - 0.2%

Alliance One International, Inc. (a)

1,146

3,060

Star Scientific, Inc. (a)

1,288

3,735

Universal Corp.

256

10,962

Vector Group Ltd.

552

9,699

 

27,456

TOTAL CONSUMER STAPLES

454,715

ENERGY - 6.8%

Energy Equipment & Services - 2.1%

Basic Energy Services, Inc. (a)

283

5,190

Bristow Group, Inc.

412

20,509

C&J Energy Services, Inc.

129

2,175

Cal Dive International, Inc. (a)

984

2,204

Complete Production Services, Inc. (a)

885

29,028

Dawson Geophysical Co. (a)

82

2,370

Dril-Quip, Inc. (a)

387

25,194

Exterran Holdings, Inc. (a)

731

6,945

Geokinetics, Inc. (a)

99

324

Global Geophysical Services, Inc. (a)

191

1,822

Global Industries Ltd. (a)

1,139

9,055

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Gulf Island Fabrication, Inc.

171

$ 4,762

Gulfmark Offshore, Inc. Class A (a)

266

11,063

Helix Energy Solutions Group, Inc. (a)

1,189

21,473

Hercules Offshore, Inc. (a)

1,355

5,135

Hornbeck Offshore Services, Inc. (a)

237

7,783

ION Geophysical Corp. (a)

1,466

11,171

Key Energy Services, Inc. (a)

1,404

18,154

Lufkin Industries, Inc.

344

20,327

Matrix Service Co. (a)

323

3,430

Mitcham Industries, Inc. (a)

156

2,274

Natural Gas Services Group, Inc. (a)

156

2,147

Newpark Resources, Inc. (a)

1,000

8,930

OYO Geospace Corp. (a)

46

3,615

Parker Drilling Co. (a)

1,202

6,647

PHI, Inc. (non-vtg.) (a)

131

2,891

Pioneer Drilling Co. (a)

685

6,775

RigNet, Inc.

69

1,078

Tesco Corp. (a)

349

5,399

TETRA Technologies, Inc. (a)

853

8,104

Union Drilling, Inc. (a)

141

1,056

Vantage Drilling Co. (a)

1,773

2,411

Willbros Group, Inc. (a)

408

2,077

 

261,518

Oil, Gas & Consumable Fuels - 4.7%

Abraxas Petroleum Corp. (a)

984

3,838

Alon USA Energy, Inc.

105

798

Amyris, Inc. (a)

187

3,834

APCO Oil and Gas International, Inc.

102

8,466

Approach Resources, Inc. (a)

231

5,639

ATP Oil & Gas Corp. (a)

518

5,465

Berry Petroleum Co. Class A

583

20,143

Bill Barrett Corp. (a)

534

22,214

BPZ Energy, Inc. (a)

1,095

3,274

Callon Petroleum Co. (a)

412

1,941

CAMAC Energy, Inc. (a)

545

605

Carrizo Oil & Gas, Inc. (a)

438

11,914

Cheniere Energy, Inc. (a)

922

10,566

Clayton Williams Energy, Inc. (a)

63

4,116

Clean Energy Fuels Corp. (a)

562

6,643

Cloud Peak Energy, Inc. (a)

680

15,606

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Comstock Resources, Inc. (a)

537

$ 9,795

Contango Oil & Gas Co. (a)

136

8,750

Crimson Exploration, Inc. (a)

203

605

Crosstex Energy, Inc.

419

5,460

CVR Energy, Inc. (a)

983

24,339

Delek US Holdings, Inc.

149

2,158

DHT Holdings, Inc.

696

1,114

Endeavour International Corp. (a)

394

3,656

Energy Partners Ltd. (a)

342

4,904

Energy XXI (Bermuda) Ltd. (a)

845

24,818

Evolution Petroleum Corp. (a)

180

1,244

Frontline Ltd. (NY Shares)

628

3,266

FX Energy, Inc. (a)

632

3,741

Gastar Exploration Ltd. (a)

599

2,216

General Maritime Corp.

1,077

280

Georesources, Inc. (a)

230

6,104

Gevo, Inc. (a)

55

409

GMX Resources, Inc. (a)

645

1,613

Golar LNG Ltd. (NASDAQ)

447

18,072

Goodrich Petroleum Corp. (a)

308

4,882

Green Plains Renewable Energy, Inc. (a)

212

2,218

Gulfport Energy Corp. (a)

470

14,636

Hallador Energy Co.

42

399

Harvest Natural Resources, Inc. (a)

358

3,820

Houston American Energy Corp.

168

2,631

Hyperdynamics Corp. (a)

1,747

8,560

Isramco, Inc. (a)

10

848

James River Coal Co. (a)

420

4,347

KiOR, Inc. Class A

106

1,752

Knightsbridge Tankers Ltd.

253

4,271

Kodiak Oil & Gas Corp. (a)

2,351

16,245

L&L Energy, Inc. (a)

207

561

Magnum Hunter Resources Corp.

1,141

5,135

McMoRan Exploration Co. (a)

1,120

13,642

Miller Energy Resources, Inc. (a)

288

827

Nordic American Tanker Shipping Ltd.

529

7,628

Northern Oil & Gas, Inc. (a)

715

17,282

Oasis Petroleum, Inc. (a)

671

19,687

Overseas Shipholding Group, Inc.

322

4,019

Panhandle Royalty Co. Class A

90

2,999

Patriot Coal Corp. (a)

1,018

12,786

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Penn Virginia Corp.

554

$ 3,374

Petroleum Development Corp. (a)

263

6,867

Petroquest Energy, Inc. (a)

666

4,855

Rentech, Inc. (a)

2,730

4,395

Resolute Energy Corp. (a)

522

6,786

Rex American Resources Corp. (a)

75

1,368

Rex Energy Corp. (a)

360

5,573

Rosetta Resources, Inc. (a)

595

26,382

Scorpio Tankers, Inc. (a)

267

1,706

SemGroup Corp. Class A (a)

464

12,983

Ship Finance International Ltd. (NY Shares)

468

6,697

Solazyme, Inc.

124

1,261

Stone Energy Corp. (a)

550

13,360

Swift Energy Co. (a)

477

14,606

Syntroleum Corp. (a)

820

689

Targa Resources Corp.

196

6,613

Teekay Tankers Ltd.

434

2,144

Triangle Petroleum Corp. (a)

450

2,538

Ur-Energy, Inc. (a)

1,174

1,484

Uranerz Energy Corp. (a)

714

1,628

Uranium Energy Corp. (a)

915

3,074

Uranium Resources, Inc. (a)

867

1,040

USEC, Inc. (a)

1,465

3,077

Vaalco Energy, Inc. (a)

603

4,106

Venoco, Inc. (a)

355

3,458

Voyager Oil & Gas, Inc. (a)

526

1,452

W&T Offshore, Inc.

392

7,718

Warren Resources, Inc. (a)

741

2,319

Western Refining, Inc. (a)

587

9,380

Westmoreland Coal Co. (a)

92

1,013

World Fuel Services Corp.

794

31,641

Zion Oil & Gas, Inc. (a)

282

821

 

591,189

TOTAL ENERGY

852,707

FINANCIALS - 21.6%

Capital Markets - 2.0%

Apollo Investment Corp.

2,183

18,075

Arlington Asset Investment Corp.

68

1,569

Artio Global Investors, Inc. Class A

394

2,884

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

BGC Partners, Inc. Class A

867

$ 5,939

BlackRock Kelso Capital Corp.

822

7,020

Calamos Asset Management, Inc. Class A

243

3,035

Capital Southwest Corp.

37

3,256

CIFI Corp. (a)

110

609

Cohen & Steers, Inc.

207

5,624

Cowen Group, Inc. Class A (a)

693

1,885

Diamond Hill Investment Group, Inc.

27

2,033

Duff & Phelps Corp. Class A

368

4,670

Edelman Financial Group, Inc.

218

1,513

Epoch Holding Corp.

181

3,729

Evercore Partners, Inc. Class A

238

6,531

FBR Capital Markets Corp. (a)

557

1,159

Fidus Investment Corp.

56

728

Fifth Street Finance Corp.

749

7,385

Financial Engines, Inc. (a)

426

9,674

FXCM, Inc. Class A

225

2,588

GAMCO Investors, Inc. Class A

80

3,768

GFI Group, Inc.

753

3,253

Gladstone Capital Corp.

275

2,266

Gladstone Investment Corp.

235

1,760

Gleacher & Co., Inc. (a)

901

1,153

Golub Capital BDC, Inc.

108

1,676

Harris & Harris Group, Inc. (a)

347

1,364

Hercules Technology Growth Capital, Inc.

516

4,995

HFF, Inc. (a)

348

3,828

ICG Group, Inc. (a)

441

4,758

INTL FCStone, Inc. (a)

141

3,418

Investment Technology Group, Inc. (a)

473

5,397

JMP Group, Inc.

174

1,291

KBW, Inc.

408

5,777

Knight Capital Group, Inc. Class A (a)

1,122

14,014

Kohlberg Capital Corp.

213

1,402

Ladenburg Thalmann Financial Services, Inc. (a)

1,117

1,899

Main Street Capital Corp.

246

4,300

MCG Capital Corp.

940

4,362

Medallion Financial Corp.

158

1,880

Medley Capital Corp.

126

1,173

MF Global Holdings Ltd. (a)

1,690

169

MVC Capital, Inc.

290

3,750

New Mountain Finance Corp.

68

912

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

NGP Capital Resources Co.

284

$ 2,110

Oppenheimer Holdings, Inc. Class A (non-vtg.)

108

1,898

PennantPark Investment Corp.

524

5,617

Piper Jaffray Companies (a)

168

3,488

Prospect Capital Corp.

1,222

11,695

Pzena Investment Management, Inc.

81

351

Safeguard Scientifics, Inc. (a)

219

3,703

Solar Capital Ltd.

405

8,991

Solar Senior Capital Ltd.

86

1,287

Stifel Financial Corp. (a)

601

19,154

SWS Group, Inc.

310

1,708

THL Credit, Inc.

105

1,213

TICC Capital Corp.

393

3,502

Triangle Capital Corp.

231

3,872

Virtus Investment Partners, Inc. (a)

65

4,056

Walter Investment Management Corp.

292

7,405

Westwood Holdings Group, Inc.

64

2,345

 

250,866

Commercial Banks - 5.9%

1st Source Corp.

160

3,846

1st United Bancorp, Inc. (a)

293

1,518

Alliance Financial Corp.

51

1,570

Ameris Bancorp (a)

304

3,055

Ames National Corp.

89

1,639

Arrow Financial Corp.

129

3,011

BancFirst Corp.

68

2,632

Banco Latin Americano de Exporaciones SA (BLADEX) Series E

322

5,233

Bancorp Rhode Island, Inc.

40

1,744

Bancorp, Inc., Delaware (a)

380

3,055

BancorpSouth, Inc.

927

9,057

Bank of Kentucky Financial Corp.

62

1,339

Bank of Marin Bancorp

55

1,949

Bank of the Ozarks, Inc.

318

7,909

Banner Bank

203

3,567

Boston Private Financial Holdings, Inc.

868

6,579

Bridge Bancorp, Inc.

63

1,213

Bridge Capital Holdings (a)

105

1,158

Bryn Mawr Bank Corp.

113

2,075

Camden National Corp.

99

2,938

Cape Bancorp, Inc. (a)

135

1,026

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Capital Bank Corp. (a)

130

$ 273

Capital City Bank Group, Inc.

127

1,294

Cardinal Financial Corp.

350

3,759

Cascade Bancorp (a)

56

296

Cathay General Bancorp

874

12,227

Center Bancorp, Inc.

133

1,234

Center Financial Corp. (a)

375

2,464

Centerstate Banks of Florida, Inc.

279

1,585

Central Pacific Financial Corp. (a)

163

1,987

Century Bancorp, Inc. Class A (non-vtg.)

40

1,083

Chemical Financial Corp.

312

6,281

Citizens & Northern Corp.

127

2,104

City Holding Co.

174

5,718

CNB Financial Corp., Pennsylvania

114

1,632

CoBiz, Inc.

345

1,829

Columbia Banking Systems, Inc.

438

8,353

Community Bank System, Inc.

410

10,480

Community Trust Bancorp, Inc.

146

4,136

CVB Financial Corp.

997

9,681

Eagle Bancorp, Inc., Maryland (a)

217

3,010

Encore Bancshares, Inc. (a)

96

1,129

Enterprise Bancorp, Inc.

54

778

Enterprise Financial Services Corp.

203

3,132

Financial Institutions, Inc.

180

2,948

First Bancorp, North Carolina

160

2,029

First Busey Corp.

924

4,712

First Commonwealth Financial Corp.

1,220

5,624

First Community Bancshares, Inc.

166

1,994

First Connecticut Bancorp, Inc. (a)

232

2,728

First Financial Bancorp, Ohio

644

10,562

First Financial Bankshares, Inc.

345

10,957

First Financial Corp., Indiana

117

3,845

First Interstate Bancsystem, Inc.

194

2,452

First Merchants Corp.

267

2,152

First Midwest Bancorp, Inc., Delaware

830

7,478

First of Long Island Corp.

71

1,814

FirstMerit Corp.

1,225

17,162

FNB Corp., Pennsylvania

1,445

14,580

German American Bancorp, Inc.

165

2,866

Glacier Bancorp, Inc.

796

9,035

Great Southern Bancorp, Inc.

106

2,108

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Hampton Roads Bankshares, Inc. (a)

91

$ 399

Hancock Holding Co.

849

25,725

Hanmi Financial Corp. (a)

1,642

1,642

Heartland Financial USA, Inc.

138

2,157

Heritage Commerce Corp. (a)

194

937

Heritage Financial Corp., Washington

193

2,434

Home Bancshares, Inc.

260

6,097

Hudson Valley Holding Corp.

172

3,736

IBERIABANK Corp.

334

17,274

Independent Bank Corp., Massachusetts

218

5,651

International Bancshares Corp.

585

10,600

Investors Bancorp, Inc. (a)

525

7,287

Lakeland Bancorp, Inc.

201

1,867

Lakeland Financial Corp.

169

4,037

MainSource Financial Group, Inc.

208

1,951

MB Financial, Inc.

600

9,942

Merchants Bancshares, Inc.

53

1,509

Metro Bancorp, Inc. (a)

154

1,274

Midsouth Bancorp, Inc.

88

1,208

Nara Bancorp, Inc. (a)

458

3,884

National Bankshares, Inc.

73

2,040

National Penn Bancshares, Inc.

1,370

10,686

NBT Bancorp, Inc.

382

8,221

Northfield Bancorp, Inc.

173

2,389

Old National Bancorp, Indiana

1,056

12,218

OmniAmerican Bancorp, Inc. (a)

125

1,844

Oriental Financial Group, Inc.

521

5,517

Orrstown Financial Services, Inc.

82

751

Pacific Capital Bancorp NA (a)

47

1,217

Pacific Continental Corp.

199

1,725

PacWest Bancorp

344

6,068

Park National Corp.

145

8,658

Park Sterling Corp. (a)

322

1,240

Penns Woods Bancorp, Inc.

36

1,322

Peoples Bancorp, Inc.

116

1,535

Pinnacle Financial Partners, Inc. (a)

393

5,899

PrivateBancorp, Inc.

670

7,303

Prosperity Bancshares, Inc.

528

20,323

Renasant Corp.

264

3,807

Republic Bancorp, Inc., Kentucky Class A

103

2,095

S&T Bancorp, Inc.

285

5,321

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

S.Y. Bancorp, Inc.

152

$ 3,128

Sandy Spring Bancorp, Inc.

287

4,882

SCBT Financial Corp.

167

4,932

Seacoast Banking Corp., Florida (a)

818

1,219

Sierra Bancorp

131

1,433

Signature Bank, New York (a)

514

28,656

Simmons First National Corp. Class A

203

5,270

Southside Bancshares, Inc.

175

3,600

Southwest Bancorp, Inc., Oklahoma (a)

180

846

State Bancorp, Inc., New York

140

1,656

State Bank Financial Corp. (a)

368

5,314

StellarOne Corp.

284

3,405

Sterling Bancorp, New York

388

3,201

Sterling Financial Corp., Washington (a)

321

4,818

Suffolk Bancorp

90

766

Sun Bancorp, Inc., New Jersey (a)

428

1,271

Susquehanna Bancshares, Inc.

1,735

12,596

SVB Financial Group (a)

481

22,097

Taylor Capital Group, Inc. (a)

171

1,589

Texas Capital Bancshares, Inc. (a)

409

11,452

The First Bancorp, Inc.

96

1,381

Tompkins Financial Corp.

97

3,825

Tower Bancorp, Inc.

130

3,344

TowneBank

260

3,240

Trico Bancshares

131

1,943

Trustmark Corp.

720

15,941

UMB Financial Corp.

358

13,199

Umpqua Holdings Corp.

1,281

14,667

Union/First Market Bankshares Corp.

253

3,243

United Bankshares, Inc., West Virginia

563

13,366

United Community Banks, Inc., Georgia (a)

438

3,237

Univest Corp. of Pennsylvania

210

3,194

Virginia Commerce Bancorp, Inc. (a)

251

1,596

Washington Banking Co., Oak Harbor

142

1,678

Washington Trust Bancorp, Inc.

152

3,569

Webster Financial Corp.

800

15,712

WesBanco, Inc.

268

5,322

West Bancorp., Inc.

168

1,653

West Coast Bancorp (a)

234

3,494

Westamerica Bancorp.

322

14,432

Western Alliance Bancorp. (a)

813

5,285

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Wilshire Bancorp, Inc. (a)

644

$ 2,202

Wintrust Financial Corp.

389

11,234

 

744,302

Consumer Finance - 0.7%

Advance America Cash Advance Centers, Inc.

640

5,395

Cash America International, Inc.

331

18,122

Credit Acceptance Corp. (a)

78

5,376

DFC Global Corp. (a)

485

10,631

EZCORP, Inc. (non-vtg.) Class A (a)

525

14,585

First Cash Financial Services, Inc. (a)

350

14,525

First Marblehead Corp. (a)

800

768

Imperial Holdings, Inc. (a)

200

450

Nelnet, Inc. Class A

295

6,337

Netspend Holdings, Inc.

313

1,800

Nicholas Financial, Inc.

110

1,250

World Acceptance Corp. (a)

166

11,230

 

90,469

Diversified Financial Services - 0.5%

California First National Bancorp

19

317

Compass Diversified Holdings

414

5,407

Encore Capital Group, Inc. (a)

191

5,174

Gain Capital Holdings, Inc.

69

484

MarketAxess Holdings, Inc.

317

9,266

Marlin Business Services Corp.

99

1,167

NewStar Financial, Inc. (a)

332

3,559

PHH Corp. (a)

633

11,679

PICO Holdings, Inc. (a)

257

5,870

Portfolio Recovery Associates, Inc. (a)

191

13,397

Primus Guaranty Ltd. (a)

274

1,600

 

57,920

Insurance - 2.6%

Alterra Capital Holdings Ltd.

998

21,637

American Equity Investment Life Holding Co.

664

7,198

American Safety Insurance Group Ltd. (a)

138

2,817

Amerisafe, Inc. (a)

222

4,784

Amtrust Financial Services, Inc.

275

6,980

Argo Group International Holdings, Ltd.

307

9,268

Baldwin & Lyons, Inc. Class B

87

2,004

Citizens, Inc. Class A (a)

465

3,646

CNO Financial Group, Inc. (a)

2,468

15,425

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Crawford & Co. Class B

273

$ 1,941

Delphi Financial Group, Inc. Class A

531

14,061

Donegal Group, Inc. Class A

89

1,114

eHealth, Inc. (a)

225

3,341

EMC Insurance Group

43

836

Employers Holdings, Inc.

394

6,391

Enstar Group Ltd. (a)

78

7,174

FBL Financial Group, Inc. Class A

153

4,995

First American Financial Corp.

1,178

14,136

Flagstone Reinsurance Holdings Ltd.

615

5,221

Fortegra Financial Corp. (a)

54

285

Global Indemnity PLC (a)

168

3,392

Greenlight Capital Re, Ltd. (a)

316

7,119

Hallmark Financial Services, Inc. (a)

191

1,482

Harleysville Group, Inc.

138

8,109

Hilltop Holdings, Inc. (a)

426

3,357

Horace Mann Educators Corp.

451

6,066

Independence Holding Co.

68

564

Infinity Property & Casualty Corp.

139

8,056

Kansas City Life Insurance Co.

47

1,575

Maiden Holdings Ltd.

599

4,882

Meadowbrook Insurance Group, Inc.

599

6,206

Montpelier Re Holdings Ltd.

690

12,075

National Financial Partners Corp. (a)

500

6,835

National Interstate Corp.

74

1,968

National Western Life Insurance Co. Class A

23

3,307

Navigators Group, Inc. (a)

135

6,159

OneBeacon Insurance Group Ltd.

237

3,607

Phoenix Companies, Inc. (a)

1,235

1,840

Platinum Underwriters Holdings Ltd.

414

14,337

Presidential Life Corp.

287

2,847

Primerica, Inc.

379

8,577

ProAssurance Corp.

336

25,721

RLI Corp.

203

14,279

Safety Insurance Group, Inc.

129

5,498

SeaBright Insurance Holdings, Inc.

213

1,529

Selective Insurance Group, Inc.

595

9,538

State Auto Financial Corp.

151

2,007

Stewart Information Services Corp.

191

1,918

Symetra Financial Corp.

761

7,054

Tower Group, Inc.

415

9,848

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

United Fire & Casualty Co.

254

$ 4,778

Universal Insurance Holdings, Inc.

174

734

 

328,518

Real Estate Investment Trusts - 8.6%

Acadia Realty Trust (SBI)

448

9,283

AG Mortgage Investment Trust, Inc.

75

1,361

Agree Realty Corp.

92

2,200

Alexanders, Inc.

22

9,541

American Assets Trust, Inc.

334

6,770

American Campus Communities, Inc.

756

29,431

American Capital Mortgage Investment Corp.

90

1,636

Anworth Mortgage Asset Corp.

1,333

8,598

Apollo Commercial Real Estate Finance, Inc.

206

2,886

Armour Residential REIT, Inc.

880

6,292

Ashford Hospitality Trust, Inc.

615

5,474

Associated Estates Realty Corp.

467

7,930

BioMed Realty Trust, Inc.

1,480

26,803

Campus Crest Communities, Inc.

322

3,680

CapLease, Inc.

843

3,296

Capstead Mortgage Corp.

955

11,575

CBL & Associates Properties, Inc.

1,671

25,700

Cedar Shopping Centers, Inc.

581

2,132

Chatham Lodging Trust

148

1,665

Chesapeake Lodging Trust

332

4,960

Cogdell Spencer, Inc.

465

1,879

Colonial Properties Trust (SBI)

938

19,023

Colony Financial, Inc.

380

5,575

Coresite Realty Corp.

212

3,530

Cousins Properties, Inc.

1,029

6,750

Crexus Investment Corp.

661

6,319

CubeSmart

1,115

10,938

Cys Investments, Inc.

914

11,590

DCT Industrial Trust, Inc.

2,817

13,972

DiamondRock Hospitality Co.

1,895

17,150

DuPont Fabros Technology, Inc.

663

13,784

Dynex Capital, Inc.

425

3,723

EastGroup Properties, Inc.

306

13,345

Education Realty Trust, Inc.

750

6,938

Entertainment Properties Trust (SBI)

528

23,654

Equity Lifestyle Properties, Inc.

339

22,418

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Equity One, Inc.

602

$ 10,324

Excel Trust, Inc.

389

4,088

Extra Space Storage, Inc.

1,055

23,769

FelCor Lodging Trust, Inc. (a)

1,323

3,982

First Industrial Realty Trust, Inc. (a)

962

9,476

First Potomac Realty Trust

560

7,958

Franklin Street Properties Corp.

782

9,931

Getty Realty Corp.

306

4,878

Gladstone Commercial Corp.

138

2,323

Glimcher Realty Trust

1,189

10,891

Government Properties Income Trust

409

9,624

Hatteras Financial Corp.

849

21,819

Healthcare Realty Trust, Inc.

891

16,831

Hersha Hospitality Trust

1,594

7,030

Highwoods Properties, Inc. (SBI)

813

25,187

Home Properties, Inc.

536

31,570

Hudson Pacific Properties, Inc.

270

3,607

Inland Real Estate Corp.

877

6,578

Invesco Mortgage Capital, Inc.

1,253

19,772

Investors Real Estate Trust

908

6,728

iStar Financial, Inc. (a)

954

6,478

Kilroy Realty Corp.

663

24,325

Kite Realty Group Trust

719

2,969

LaSalle Hotel Properties (SBI)

959

22,930

Lexington Corporate Properties Trust

1,384

10,878

LTC Properties, Inc.

338

9,586

Medical Properties Trust, Inc.

1,270

12,827

MFA Financial, Inc.

3,972

26,811

Mid-America Apartment Communities, Inc.

411

25,646

Mission West Properties, Inc.

190

1,478

Monmouth Real Estate Investment Corp. Class A

329

2,764

MPG Office Trust, Inc. (a)

552

1,319

National Health Investors, Inc.

270

12,066

National Retail Properties, Inc.

1,068

29,103

Newcastle Investment Corp.

1,213

5,568

NorthStar Realty Finance Corp.

1,012

3,997

Omega Healthcare Investors, Inc.

1,151

20,442

One Liberty Properties, Inc.

116

1,886

Parkway Properties, Inc.

270

3,470

Pebblebrook Hotel Trust

563

10,714

Pennsylvania Real Estate Investment Trust (SBI)

571

5,858

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Pennymac Mortgage Investment Trust

320

$ 5,472

Post Properties, Inc.

557

22,882

Potlatch Corp.

449

14,584

PS Business Parks, Inc.

206

10,965

RAIT Financial Trust

409

2,127

Ramco-Gershenson Properties Trust (SBI)

407

3,928

Redwood Trust, Inc.

883

10,260

Resource Capital Corp.

858

4,607

Retail Opportunity Investments Corp.

490

5,586

RLJ Lodging Trust

330

4,891

Sabra Health Care REIT, Inc.

447

4,591

Saul Centers, Inc.

92

3,297

Sovran Self Storage, Inc.

310

13,702

Stag Industrial, Inc.

166

1,783

Starwood Property Trust, Inc.

1,062

19,955

Strategic Hotel & Resorts, Inc. (a)

1,959

11,147

Summit Hotel Properties, Inc.

280

2,260

Sun Communities, Inc.

237

9,025

Sunstone Hotel Investors, Inc. (a)

1,307

9,084

Tanger Factory Outlet Centers, Inc.

954

26,865

Terreno Realty Corp.

101

1,257

Two Harbors Investment Corp.

1,619

15,138

UMH Properties, Inc.

107

1,074

Universal Health Realty Income Trust (SBI)

138

5,240

Urstadt Biddle Properties, Inc. Class A

239

4,264

Washington (REIT) (SBI)

747

21,633

Whitestone REIT Class B

88

1,030

Winthrop Realty Trust

357

3,231

 

1,069,160

Real Estate Management & Development - 0.1%

Avatar Holdings, Inc. (a)

83

789

Consolidated-Tomoka Land Co.

39

1,168

Forestar Group, Inc. (a)

412

5,356

Kennedy-Wilson Holdings, Inc.

290

3,602

Tejon Ranch Co. (a)

149

3,873

 

14,788

Thrifts & Mortgage Finance - 1.2%

Apollo Residential Mortgage, Inc.

125

2,039

Astoria Financial Corp.

974

8,084

Bank Mutual Corp.

505

1,682

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

BankFinancial Corp.

196

$ 1,568

Beneficial Mutual Bancorp, Inc. (a)

335

2,750

Berkshire Hills Bancorp, Inc.

246

4,925

BofI Holding, Inc. (a)

97

1,484

Brookline Bancorp, Inc., Delaware

678

5,668

Charter Financial Corp., Georgia

63

590

Clifton Savings Bancorp, Inc.

79

804

Dime Community Bancshares, Inc.

377

4,494

Doral Financial Corp. (a)

1,356

1,627

ESB Financial Corp.

161

2,230

ESSA Bancorp, Inc.

161

1,777

Farmer Mac Class C (non-vtg.)

101

2,038

First Defiance Financial Corp. (a)

105

1,492

First Financial Holdings, Inc.

195

1,453

First PacTrust Bancorp, Inc.

111

1,396

Flagstar Bancorp, Inc. (a)

2,120

1,654

Flushing Financial Corp.

375

4,598

Fox Chase Bancorp, Inc.

135

1,709

Franklin Financial Corp./VA (a)

148

1,656

Home Federal Bancorp, Inc.

154

1,548

Kearny Financial Corp.

147

1,430

Meridian Interstate Bancorp, Inc. (a)

99

1,290

MGIC Investment Corp. (a)

2,177

5,791

Northwest Bancshares, Inc.

1,201

14,976

OceanFirst Financial Corp.

153

1,995

Ocwen Financial Corp. (a)

832

12,064

Oritani Financial Corp.

568

7,361

Provident Financial Services, Inc.

669

8,664

Provident New York Bancorp

470

3,267

Radian Group, Inc.

1,413

3,321

Rockville Financial, Inc.

317

3,186

Roma Financial Corp.

70

677

Territorial Bancorp, Inc.

153

3,006

The PMI Group, Inc. (a)

1,415

441

Trustco Bank Corp., New York

1,079

5,352

United Financial Bancorp, Inc.

204

3,293

ViewPoint Financial Group

406

5,225

Walker & Dunlop, Inc.

117

1,486

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Westfield Financial, Inc.

381

$ 2,709

WSFS Financial Corp.

82

3,260

 

146,060

TOTAL FINANCIALS

2,702,083

HEALTH CARE - 12.4%

Biotechnology - 3.7%

Achillion Pharmaceuticals, Inc. (a)

577

3,658

Acorda Therapeutics, Inc. (a)

440

9,610

Affymax, Inc. (a)

374

1,990

Alkermes PLC (a)

1,057

18,487

Allos Therapeutics, Inc. (a)

838

1,232

Alnylam Pharmaceuticals, Inc. (a)

446

3,622

AMAG Pharmaceuticals, Inc. (a)

224

3,161

Amicus Therapeutics, Inc. (a)

146

480

Anacor Pharmaceuticals, Inc.

101

684

Anthera Pharmaceuticals, Inc. (a)

233

1,489

Ardea Biosciences, Inc. (a)

181

3,604

Arena Pharmaceuticals, Inc. (a)

1,493

2,105

ARIAD Pharmaceuticals, Inc. (a)

1,486

17,282

ArQule, Inc. (a)

574

3,335

Array Biopharma, Inc. (a)

785

1,892

Astex Pharmaceuticals, Inc. (a)

643

1,241

AVEO Pharmaceuticals, Inc. (a)

362

5,814

AVI BioPharma, Inc. (a)

1,443

1,414

BioCryst Pharmaceuticals, Inc. (a)

268

823

BioMimetic Therapeutics, Inc. (a)

178

577

Biosante Pharmaceuticals, Inc. (a)

1,340

3,551

Biospecifics Technologies Corp. (a)

46

782

BioTime, Inc. (a)

280

1,263

Cell Therapeutics, Inc. (a)

2,475

3,168

Celldex Therapeutics, Inc. (a)

497

1,595

Cepheid, Inc. (a)

690

24,757

Chelsea Therapeutics International Ltd. (a)

683

3,094

Cleveland Biolabs, Inc. (a)

263

781

Codexis, Inc. (a)

274

1,263

Cubist Pharmaceuticals, Inc. (a)

669

25,295

Curis, Inc. (a)

941

3,463

Cytori Therapeutics, Inc. (a)

517

1,567

DUSA Pharmaceuticals, Inc. (a)

279

1,256

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Dyax Corp. (a)

1,068

$ 1,442

Dynavax Technologies Corp. (a)

1,470

3,998

Emergent BioSolutions, Inc. (a)

285

5,375

Enzon Pharmaceuticals, Inc. (a)

404

2,969

Exact Sciences Corp. (a)

622

4,945

Exelixis, Inc. (a)

1,426

11,023

Genomic Health, Inc. (a)

178

3,809

Geron Corp. (a)

1,386

3,257

GTx, Inc. (a)

203

891

Halozyme Therapeutics, Inc. (a)

919

7,747

Horizon Pharma, Inc.

102

917

Idenix Pharmaceuticals, Inc. (a)

588

3,528

ImmunoGen, Inc. (a)

840

11,407

Immunomedics, Inc. (a)

839

3,054

Incyte Corp. (a)

997

13,729

Infinity Pharmaceuticals, Inc. (a)

255

1,930

Inhibitex, Inc. (a)

668

2,599

Insmed, Inc. (a)

231

815

InterMune, Inc. (a)

607

15,479

Ironwood Pharmaceuticals, Inc. Class A (a)

564

7,670

Isis Pharmaceuticals, Inc. (a)

1,102

9,136

Keryx Biopharmaceuticals, Inc. (a)

706

2,210

Lexicon Pharmaceuticals, Inc. (a)

1,792

2,168

Ligand Pharmaceuticals, Inc. Class B (a)

240

3,528

MannKind Corp. (a)

838

2,615

Maxygen, Inc.

316

1,864

Medivation, Inc. (a)

359

6,168

Metabolix, Inc. (a)

359

1,842

Micromet, Inc. (a)

936

6,150

Momenta Pharmaceuticals, Inc. (a)

528

7,814

Nabi Biopharmaceuticals (a)

515

948

Neurocrine Biosciences, Inc. (a)

589

3,687

Novavax, Inc. (a)

1,016

1,605

NPS Pharmaceuticals, Inc. (a)

885

4,575

Nymox Pharmaceutical Corp. (a)

204

1,883

OncoGenex Pharmaceuticals, Inc. (a)

113

1,311

Oncothyreon, Inc. (a)

508

3,536

ONYX Pharmaceuticals, Inc. (a)

710

29,060

Opko Health, Inc. (a)

1,248

6,714

OREXIGEN Therapeutics, Inc. (a)

299

655

Osiris Therapeutics, Inc. (a)

271

1,453

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

PDL BioPharma, Inc.

1,557

$ 9,451

Peregrine Pharmaceuticals, Inc. (a)

810

851

Pharmacyclics, Inc. (a)

523

6,888

PharmAthene, Inc. (a)

331

563

Progenics Pharmaceuticals, Inc. (a)

307

2,017

Raptor Pharmaceutical Corp. (a)

603

2,979

Rigel Pharmaceuticals, Inc. (a)

705

5,534

Sangamo Biosciences, Inc. (a)

529

1,756

Savient Pharmaceuticals, Inc. (a)

760

2,850

SciClone Pharmaceuticals, Inc. (a)

373

1,570

Seattle Genetics, Inc. (a)

1,082

23,804

SIGA Technologies, Inc. (a)

385

1,247

Spectrum Pharmaceuticals, Inc. (a)

600

6,654

Sunesis Pharmaceuticals, Inc. (a)

264

356

Synta Pharmaceuticals Corp. (a)

216

799

Targacept, Inc. (a)

317

5,579

Theravance, Inc. (a)

775

17,228

Trius Therapeutics, Inc. (a)

89

610

Vanda Pharmaceuticals, Inc. (a)

300

1,743

Vical, Inc. (a)

745

2,228

Zalicus, Inc. (a)

690

1,014

ZIOPHARM Oncology, Inc. (a)

721

3,540

Zogenix, Inc.

203

412

 

459,514

Health Care Equipment & Supplies - 3.0%

Abaxis, Inc. (a)

254

7,127

Abiomed, Inc. (a)

372

5,602

Accuray, Inc. (a)

832

3,328

Align Technology, Inc. (a)

683

15,729

Alimera Sciences, Inc. (a)

134

953

Alphatec Holdings, Inc. (a)

605

1,252

Analogic Corp.

140

7,571

Angiodynamics, Inc. (a)

301

4,638

Antares Pharma, Inc. (a)

902

2,048

ArthroCare Corp. (a)

302

9,105

Atricure, Inc. (a)

149

1,663

Atrion Corp.

19

4,275

Bacterin International Holdings, Inc. (a)

207

685

BioLase Technology, Inc.

326

1,187

Cantel Medical Corp.

140

3,864

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Cardiovascular Systems, Inc. (a)

140

$ 1,159

Cerus Corp. (a)

528

1,410

Conceptus, Inc. (a)

361

4,159

CONMED Corp. (a)

317

8,328

Cryolife, Inc. (a)

302

1,392

Cyberonics, Inc. (a)

315

9,072

Cynosure, Inc. Class A (a)

109

1,327

Delcath Systems, Inc. (a)

503

1,821

DexCom, Inc. (a)

759

7,431

DynaVox, Inc. Class A (a)

87

294

Endologix, Inc. (a)

564

6,142

Exactech, Inc. (a)

92

1,472

Greatbatch, Inc. (a)

266

5,940

Haemonetics Corp. (a)

285

17,371

Hansen Medical, Inc. (a)

493

1,548

HeartWare International, Inc. (a)

135

9,171

ICU Medical, Inc. (a)

140

5,503

Insulet Corp. (a)

513

8,372

Integra LifeSciences Holdings Corp. (a)

233

7,470

Invacare Corp.

324

7,274

IRIS International, Inc. (a)

187

1,694

Kensey Nash Corp. (a)

110

2,957

Mako Surgical Corp. (a)

361

13,880

Masimo Corp.

584

12,077

Medical Action Industries, Inc. (a)

152

796

Meridian Bioscience, Inc.

456

8,308

Merit Medical Systems, Inc. (a)

430

5,771

Natus Medical, Inc. (a)

360

3,096

Neogen Corp. (a)

258

9,972

Neoprobe Corp. (a)

1,021

2,900

NuVasive, Inc. (a)

445

6,595

NxStage Medical, Inc. (a)

503

11,564

OraSure Technologies, Inc. (a)

550

5,110

Orthofix International NV (a)

205

7,198

Palomar Medical Technologies, Inc. (a)

176

1,498

Quidel Corp. (a)

326

5,822

Rockwell Medical Technologies, Inc. (a)

172

1,450

RTI Biologics, Inc. (a)

722

3,249

Solta Medical, Inc. (a)

675

1,478

SonoSite, Inc. (a)

162

5,020

Staar Surgical Co. (a)

379

3,411

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Stereotaxis, Inc. (a)

410

$ 476

Steris Corp.

658

20,385

SurModics, Inc. (a)

163

1,718

Symmetry Medical, Inc. (a)

389

3,536

Synergetics USA, Inc. (a)

244

1,632

Synovis Life Technologies, Inc. (a)

151

2,712

The Spectranetics Corp. (a)

417

3,269

Tornier BV

108

2,510

Unilife Corp. (a)

694

3,678

Uroplasty, Inc. (a)

231

1,042

Vascular Solutions, Inc. (a)

233

2,472

Volcano Corp. (a)

585

14,584

West Pharmaceutical Services, Inc.

374

14,537

Wright Medical Group, Inc. (a)

439

7,546

Young Innovations, Inc.

59

1,696

Zoll Medical Corp. (a)

244

9,226

 

380,548

Health Care Providers & Services - 3.0%

Accretive Health, Inc. (a)

447

10,643

Air Methods Corp. (a)

125

10,103

Alliance Healthcare Services, Inc. (a)

227

252

Almost Family, Inc. (a)

88

1,640

Amedisys, Inc. (a)

350

4,596

American Dental Partners, Inc. (a)

143

1,510

AMN Healthcare Services, Inc. (a)

416

1,972

AmSurg Corp. (a)

350

8,866

Assisted Living Concepts, Inc. Class A

240

3,410

Bio-Reference Laboratories, Inc. (a)

283

5,671

BioScrip, Inc. (a)

505

3,283

Capital Senior Living Corp. (a)

288

2,249

CardioNet, Inc. (a)

226

640

Centene Corp. (a)

557

19,579

Chemed Corp.

234

13,890

Chindex International, Inc. (a)

125

1,389

Corvel Corp. (a)

75

3,868

Cross Country Healthcare, Inc. (a)

306

1,530

Emeritus Corp. (a)

348

6,163

ExamWorks Group, Inc. (a)

291

3,070

Five Star Quality Care, Inc. (a)

610

1,580

Gentiva Health Services, Inc. (a)

318

1,317

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Hanger Orthopedic Group, Inc. (a)

383

$ 6,653

HealthSouth Corp. (a)

1,052

18,578

HealthSpring, Inc. (a)

754

40,671

Healthways, Inc. (a)

355

2,542

HMS Holdings Corp. (a)

946

23,120

IPC The Hospitalist Co., Inc. (a)

184

7,715

Kindred Healthcare, Inc. (a)

588

6,850

Landauer, Inc.

107

5,484

LHC Group, Inc. (a)

199

3,122

Magellan Health Services, Inc. (a)

348

17,912

MedQuist Holdings, Inc. (a)

393

3,360

Metropolitan Health Networks, Inc. (a)

531

3,462

Molina Healthcare, Inc. (a)

321

6,799

MWI Veterinary Supply, Inc. (a)

140

10,570

National Healthcare Corp.

123

4,712

National Research Corp.

17

568

NeoStem, Inc. (a)

423

283

Owens & Minor, Inc.

712

21,303

PharMerica Corp. (a)

343

5,351

Providence Service Corp. (a)

139

1,738

PSS World Medical, Inc. (a)

615

13,684

RadNet, Inc. (a)

283

727

Select Medical Holdings Corp. (a)

543

4,724

Skilled Healthcare Group, Inc. (a)

180

680

Sun Healthcare Group, Inc. (a)

233

610

Sunrise Senior Living, Inc. (a)

688

3,784

Team Health Holdings, Inc. (a)

306

6,218

The Ensign Group, Inc.

195

4,438

Triple-S Management Corp. (a)

208

3,952

U.S. Physical Therapy, Inc.

151

2,948

Universal American Spin Corp. (a)

340

3,910

Vanguard Health Systems, Inc. (a)

321

3,120

Wellcare Health Plans, Inc. (a)

475

23,280

 

370,089

Health Care Technology - 0.6%

athenahealth, Inc. (a)

391

20,688

Computer Programs & Systems, Inc.

124

6,333

Epocrates, Inc. (a)

58

505

HealthStream, Inc. (a)

159

2,414

MedAssets, Inc. (a)

556

5,927

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Medidata Solutions, Inc. (a)

255

$ 4,585

Merge Healthcare, Inc. (a)

543

3,584

Omnicell, Inc. (a)

376

5,621

Quality Systems, Inc.

429

16,692

Transcend Services, Inc. (a)

113

3,088

 

69,437

Life Sciences Tools & Services - 0.4%

Affymetrix, Inc. (a)

849

4,746

Albany Molecular Research, Inc. (a)

204

655

BG Medicine, Inc.

71

347

Caliper Life Sciences, Inc. (a)

550

5,764

Cambrex Corp. (a)

273

1,504

Complete Genomics, Inc.

92

524

Enzo Biochem, Inc. (a)

432

1,236

eResearchTechnology, Inc. (a)

616

3,148

Fluidigm Corp. (a)

75

1,047

Furiex Pharmaceuticals, Inc. (a)

105

1,491

Harvard Bioscience, Inc. (a)

260

1,186

Luminex Corp. (a)

420

9,223

Medtox Scientific, Inc.

87

1,274

Pacific Biosciences of California, Inc.

376

1,474

PAREXEL International Corp. (a)

660

14,540

Sequenom, Inc. (a)

1,150

5,716

 

53,875

Pharmaceuticals - 1.7%

Acura Pharmaceuticals, Inc. (a)

100

444

Aegerion Pharmaceuticals, Inc.

100

1,309

Akorn, Inc. (a)

652

5,861

Ampio Pharmaceuticals, Inc. (a)

211

1,500

Auxilium Pharmaceuticals, Inc. (a)

538

8,371

AVANIR Pharmaceuticals Class A (a)

1,502

4,491

Cadence Pharmaceuticals, Inc. (a)

492

2,868

Columbia Laboratories, Inc. (a)

779

1,971

Corcept Therapeutics, Inc. (a)

449

1,423

Cornerstone Therapeutics, Inc. (a)

75

460

DepoMed, Inc. (a)

580

2,598

Durect Corp. (a)

873

1,388

Endocyte, Inc.

179

1,738

Hi-Tech Pharmacal Co., Inc. (a)

126

4,476

Impax Laboratories, Inc. (a)

728

13,766

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Ista Pharmaceuticals, Inc. (a)

356

$ 1,474

Jazz Pharmaceuticals, Inc. (a)

249

9,701

KV Pharmaceutical Co. Class A (a)

478

531

Lannett Co., Inc. (a)

151

618

MAP Pharmaceuticals, Inc. (a)

230

3,399

Medicis Pharmaceutical Corp. Class A

692

26,497

Nektar Therapeutics (a)

1,285

6,965

Obagi Medical Products, Inc. (a)

195

1,841

Optimer Pharmaceuticals, Inc. (a)

525

7,492

Pacira Pharmaceuticals, Inc.

45

440

Pain Therapeutics, Inc.

381

1,695

Par Pharmaceutical Companies, Inc. (a)

406

12,424

Pernix Therapeutics Holdings, Inc. (a)

35

375

Pozen, Inc. (a)

246

627

Questcor Pharmaceuticals, Inc. (a)

596

24,204

Sagent Pharmaceuticals, Inc.

72

1,840

Salix Pharmaceuticals Ltd. (a)

656

22,471

Santarus, Inc. (a)

562

1,714

Sucampo Pharmaceuticals, Inc. Class A (a)

118

519

The Medicines Company (a)

596

11,157

Transcept Pharmaceuticals, Inc. (a)

48

419

ViroPharma, Inc. (a)

785

15,888

Vivus, Inc. (a)

1,000

9,430

XenoPort, Inc. (a)

463

2,824

 

217,209

TOTAL HEALTH CARE

1,550,672

INDUSTRIALS - 15.4%

Aerospace & Defense - 2.0%

AAR Corp.

441

8,789

AeroVironment, Inc. (a)

194

6,408

American Science & Engineering, Inc.

102

6,938

Astronics Corp. (a)

109

3,314

Ceradyne, Inc. (a)

275

9,202

Cubic Corp.

177

8,340

Curtiss-Wright Corp.

520

17,046

DigitalGlobe, Inc. (a)

393

8,017

Ducommun, Inc.

111

1,584

Esterline Technologies Corp. (a)

341

19,062

GenCorp, Inc. (non-vtg.) (a)

718

3,489

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

GeoEye, Inc. (a)

247

$ 8,292

HEICO Corp.

467

26,628

Hexcel Corp. (a)

1,095

27,057

KEYW Holding Corp.

197

1,655

Kratos Defense & Security Solutions, Inc. (a)

427

2,703

LMI Aerospace, Inc. (a)

97

1,951

Moog, Inc. Class A (a)

508

19,675

National Presto Industries, Inc.

56

5,348

Orbital Sciences Corp. (a)

643

9,941

Taser International, Inc. (a)

738

3,668

Teledyne Technologies, Inc. (a)

409

22,278

Triumph Group, Inc.

420

24,402

 

245,787

Air Freight & Logistics - 0.3%

Air Transport Services Group, Inc. (a)

657

3,640

Atlas Air Worldwide Holdings, Inc. (a)

291

11,209

Forward Air Corp.

325

10,644

Hub Group, Inc. Class A (a)

412

12,879

Pacer International, Inc. (a)

376

1,771

Park-Ohio Holdings Corp. (a)

92

1,489

 

41,632

Airlines - 0.6%

Alaska Air Group, Inc. (a)

400

26,612

Allegiant Travel Co. (a)

166

8,625

Hawaiian Holdings, Inc. (a)

630

3,371

JetBlue Airways Corp. (a)

2,775

12,432

Republic Airways Holdings, Inc. (a)

514

1,336

SkyWest, Inc.

590

7,912

Spirit Airlines, Inc. (a)

160

2,634

US Airways Group, Inc. (a)

1,809

10,438

 

73,360

Building Products - 0.6%

A.O. Smith Corp.

426

15,830

AAON, Inc.

225

4,763

Ameresco, Inc. Class A (a)

184

2,022

American Woodmark Corp.

102

1,735

Apogee Enterprises, Inc.

283

3,090

Builders FirstSource, Inc. (a)

422

688

Gibraltar Industries, Inc. (a)

360

4,018

Griffon Corp. (a)

551

5,218

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Insteel Industries, Inc.

183

$ 1,887

NCI Building Systems, Inc. (a)

208

1,895

Quanex Building Products Corp.

428

6,313

Simpson Manufacturing Co. Ltd.

462

14,165

Trex Co., Inc. (a)

194

3,585

Universal Forest Products, Inc.

222

6,232

USG Corp. (a)

801

7,417

 

78,858

Commercial Services & Supplies - 2.6%

A.T. Cross Co. Class A (a)

107

1,301

ABM Industries, Inc.

598

12,092

ACCO Brands Corp. (a)

592

4,067

American Reprographics Co. (a)

403

1,608

Casella Waste Systems, Inc. Class A (a)

272

1,708

Cenveo, Inc. (a)

573

2,149

Clean Harbors, Inc. (a)

523

30,475

CompX International, Inc. Class A

11

168

Consolidated Graphics, Inc. (a)

107

4,875

Courier Corp.

125

1,086

Deluxe Corp.

572

13,511

EnergySolutions, Inc. (a)

958

3,612

EnerNOC, Inc. (a)

306

2,714

Ennis, Inc.

314

4,594

Fuel Tech, Inc. (a)

209

1,158

G&K Services, Inc. Class A

191

5,799

Healthcare Services Group, Inc.

749

12,995

Heritage-Crystal Clean, Inc. (a)

44

701

Herman Miller, Inc.

638

13,175

Higher One Holdings, Inc. (a)

351

6,192

HNI Corp.

499

12,001

InnerWorkings, Inc. (a)

264

2,389

Interface, Inc. Class A

593

7,733

Intersections, Inc.

98

1,655

Kimball International, Inc. Class B

398

2,241

Knoll, Inc.

534

8,144

M&F Worldwide Corp. (a)

106

2,625

McGrath RentCorp.

274

7,321

Metalico, Inc. (a)

423

1,912

Mine Safety Appliances Co.

301

10,099

Mobile Mini, Inc. (a)

411

7,456

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Multi-Color Corp.

122

$ 3,234

Quad/Graphics, Inc.

290

5,719

Rollins, Inc.

702

15,290

Schawk, Inc. Class A

127

1,713

Standard Parking Corp. (a)

195

3,430

Steelcase, Inc. Class A

897

6,647

Swisher Hygiene, Inc. (Canada) (a)

1,017

4,469

Sykes Enterprises, Inc. (a)

471

7,503

Team, Inc. (a)

224

5,602

Tetra Tech, Inc. (a)

697

15,216

The Brink's Co.

524

14,562

The Geo Group, Inc. (a)

734

13,381

TMS International Corp.

144

1,237

TRC Companies, Inc. (a)

165

721

Unifirst Corp. Massachusetts

159

8,324

United Stationers, Inc.

512

16,287

US Ecology, Inc.

182

3,287

Viad Corp.

241

5,044

WCA Waste Corp. (a)

156

743

 

319,965

Construction & Engineering - 0.8%

Aegion Corp. (a)

445

6,582

Argan, Inc.

118

1,605

Comfort Systems USA, Inc.

453

4,983

Dycom Industries, Inc. (a)

364

7,073

EMCOR Group, Inc.

746

18,702

Furmanite Corp. (a)

465

3,102

Granite Construction, Inc.

429

9,653

Great Lakes Dredge & Dock Corp.

720

3,708

Layne Christensen Co. (a)

225

5,668

MasTec, Inc. (a)

633

13,685

Michael Baker Corp. (a)

88

1,811

MYR Group, Inc. (a)

240

4,630

Northwest Pipe Co. (a)

119

3,174

Orion Marine Group, Inc. (a)

283

1,922

Pike Electric Corp. (a)

182

1,385

Primoris Services Corp.

285

3,711

Sterling Construction Co., Inc. (a)

170

2,117

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Tutor Perini Corp.

364

$ 5,289

UniTek Global Services, Inc. (a)

102

476

 

99,276

Electrical Equipment - 1.3%

A123 Systems, Inc. (a)

933

3,200

Active Power, Inc. (a)

893

814

Acuity Brands, Inc.

484

22,409

American Superconductor Corp. (a)

468

2,040

AZZ, Inc.

142

6,342

Belden, Inc.

529

17,076

Brady Corp. Class A

534

16,404

Broadwind Energy, Inc. (a)

1,652

678

Capstone Turbine Corp. (a)

3,060

3,335

Coleman Cable, Inc. (a)

78

793

Encore Wire Corp.

190

5,050

EnerSys (a)

558

12,572

Franklin Electric Co., Inc.

257

11,801

FuelCell Energy, Inc. (a)

1,374

1,470

Generac Holdings, Inc. (a)

286

6,538

Global Power Equipment Group, Inc. (a)

187

4,957

II-VI, Inc. (a)

581

11,045

LSI Industries, Inc.

212

1,427

Powell Industries, Inc. (a)

106

3,563

PowerSecure International, Inc. (a)

175

744

Preformed Line Products Co.

27

1,737

Satcon Technology Corp. (a)

1,036

1,098

Thermon Group Holdings, Inc.

107

1,699

Valence Technology, Inc. (a)

671

643

Vicor Corp.

204

1,867

Woodward, Inc.

689

23,343

 

162,645

Industrial Conglomerates - 0.2%

Raven Industries, Inc.

200

12,002

Seaboard Corp.

3

6,594

Standex International Corp.

144

5,560

Tredegar Corp.

279

5,404

 

29,560

Machinery - 3.2%

3D Systems Corp. (a)

473

7,696

Accuride Corp. (a)

415

2,623

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Actuant Corp. Class A

768

$ 17,280

Alamo Group, Inc.

87

2,075

Albany International Corp. Class A

312

7,048

Altra Holdings, Inc. (a)

323

4,748

American Railcar Industries, Inc. (a)

102

2,250

Ampco-Pittsburgh Corp.

88

1,847

Astec Industries, Inc. (a)

225

7,481

Badger Meter, Inc.

172

5,631

Barnes Group, Inc.

608

14,148

Blount International, Inc. (a)

543

8,433

Briggs & Stratton Corp.

563

8,220

Cascade Corp.

97

4,181

Chart Industries, Inc. (a)

328

18,535

CIRCOR International, Inc.

194

6,755

CLARCOR, Inc.

560

27,149

Colfax Corp. (a)

282

7,123

Columbus McKinnon Corp. (NY Shares) (a)

242

3,628

Commercial Vehicle Group, Inc. (a)

356

3,927

Douglas Dynamics, Inc.

232

3,485

Dynamic Materials Corp.

163

3,537

Energy Recovery, Inc. (a)

499

1,532

EnPro Industries, Inc. (a)

231

7,956

ESCO Technologies, Inc.

294

8,988

Federal Signal Corp.

752

3,549

Flow International Corp. (a)

530

1,373

Force Protection, Inc. (a)

877

3,227

FreightCar America, Inc. (a)

125

2,369

Gorman-Rupp Co.

179

4,810

Graham Corp.

103

2,373

Greenbrier Companies, Inc. (a)

220

4,094

Hurco Companies, Inc. (a)

84

2,194

John Bean Technologies Corp.

332

5,358

Kadant, Inc. (a)

154

3,334

Kaydon Corp.

361

11,357

L.B. Foster Co. Class A

120

3,060

Lindsay Corp.

140

8,134

Lydall, Inc. (a)

181

1,984

Meritor, Inc. (a)

1,037

9,872

Met-Pro Corp.

158

1,424

Middleby Corp. (a)

209

17,615

Miller Industries, Inc.

122

2,494

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Mueller Industries, Inc.

423

$ 17,110

Mueller Water Products, Inc. Class A

1,816

4,994

NACCO Industries, Inc. Class A

68

5,583

NN, Inc. (a)

185

1,635

Omega Flex, Inc. (a)

26

307

PMFG, Inc. (a)

187

3,824

RBC Bearings, Inc. (a)

242

9,801

Robbins & Myers, Inc.

441

19,708

Sauer-Danfoss, Inc. (a)

136

5,266

Sun Hydraulics Corp.

227

6,529

Tecumseh Products Co. Class A (non-vtg.) (a)

265

1,685

Tennant Co.

214

8,280

Titan International, Inc.

464

10,440

TriMas Corp. (a)

295

5,750

Twin Disc, Inc.

102

3,968

Wabash National Corp. (a)

800

5,520

Watts Water Technologies, Inc. Class A

332

10,455

Xerium Technologies, Inc. (a)

124

1,285

 

397,037

Marine - 0.1%

Baltic Trading Ltd.

190

1,056

Eagle Bulk Shipping, Inc. (a)

713

1,105

Excel Maritime Carriers Ltd. (a)

505

1,434

Genco Shipping & Trading Ltd. (a)

369

3,321

International Shipholding Corp.

61

1,241

Ultrapetrol (Bahamas) Ltd. (a)

198

588

 

8,745

Professional Services - 1.5%

Acacia Research Corp. - Acacia Technologies (a)

479

19,083

Advisory Board Co. (a)

177

10,841

Barrett Business Services, Inc.

86

1,365

CBIZ, Inc. (a)

492

3,114

CDI Corp.

136

1,786

Corporate Executive Board Co.

387

14,160

CoStar Group, Inc. (a)

283

17,413

CRA International, Inc. (a)

138

2,666

Dolan Co. (a)

375

3,281

Exponent, Inc. (a)

157

7,564

Franklin Covey Co. (a)

148

1,427

FTI Consulting, Inc. (a)

474

18,680

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

GP Strategies Corp. (a)

157

$ 1,856

Heidrick & Struggles International, Inc.

189

3,738

Hill International, Inc. (a)

274

1,534

Hudson Highland Group, Inc. (a)

427

1,977

Huron Consulting Group, Inc. (a)

247

8,894

ICF International, Inc. (a)

229

5,354

Insperity, Inc.

260

6,703

Kelly Services, Inc. Class A (non-vtg.)

317

5,183

Kforce, Inc. (a)

396

5,053

Korn/Ferry International (a)

519

8,288

MISTRAS Group, Inc. (a)

152

3,314

Navigant Consulting, Inc. (a)

583

6,605

Odyssey Marine Exploration, Inc. (a)

755

2,152

On Assignment, Inc. (a)

393

4,240

Pendrell Corp. (a)

1,795

4,452

Resources Connection, Inc.

528

5,856

RPX Corp.

98

1,525

School Specialty, Inc. (a)

181

1,385

TrueBlue, Inc. (a)

455

6,015

VSE Corp.

45

1,094

 

186,598

Road & Rail - 1.2%

AMERCO (a)

98

7,420

Arkansas Best Corp.

290

5,974

Avis Budget Group, Inc. (a)

1,180

16,638

Celadon Group, Inc.

263

2,896

Covenant Transport Group, Inc. Class A (a)

78

250

Dollar Thrifty Automotive Group, Inc. (a)

325

19,838

Genesee & Wyoming, Inc. Class A (a)

446

26,408

Heartland Express, Inc.

568

7,617

Knight Transportation, Inc.

694

10,549

Marten Transport Ltd.

167

2,958

Old Dominion Freight Lines, Inc. (a)

532

19,455

Patriot Transportation Holding, Inc. (a)

66

1,518

Quality Distribution, Inc. (a)

159

1,792

RailAmerica, Inc. (a)

228

3,117

Roadrunner Transportation Systems, Inc. (a)

98

1,636

Saia, Inc. (a)

208

2,777

Swift Transporation Co.

878

7,814

Universal Truckload Services, Inc.

51

792

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - continued

Werner Enterprises, Inc.

492

$ 11,660

Zipcar, Inc. (a)

106

2,168

 

153,277

Trading Companies & Distributors - 1.0%

Aceto Corp.

283

1,794

Aircastle Ltd.

602

7,302

Applied Industrial Technologies, Inc.

471

15,835

Beacon Roofing Supply, Inc. (a)

512

9,436

CAI International, Inc. (a)

128

1,998

DXP Enterprises, Inc. (a)

91

2,273

Essex Rental Corp. (a)

159

453

H&E Equipment Services, Inc. (a)

341

3,741

Houston Wire & Cable Co.

185

2,362

Interline Brands, Inc. (a)

383

5,707

Kaman Corp.

290

9,643

Lawson Products, Inc.

32

533

RSC Holdings, Inc. (a)

760

7,418

Rush Enterprises, Inc. Class A (a)

362

6,987

SeaCube Container Leasing Ltd.

119

1,654

TAL International Group, Inc.

253

7,041

Textainer Group Holdings Ltd.

138

3,788

Titan Machinery, Inc. (a)

163

3,803

United Rentals, Inc. (a)

701

16,410

Watsco, Inc.

317

19,546

 

127,724

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)

209

2,360

TOTAL INDUSTRIALS

1,926,824

INFORMATION TECHNOLOGY - 17.3%

Communications Equipment - 2.3%

ADTRAN, Inc.

727

24,427

Anaren, Inc. (a)

161

3,080

Arris Group, Inc. (a)

1,388

14,935

Aruba Networks, Inc. (a)

960

22,742

Aviat Networks, Inc. (a)

642

1,316

Bel Fuse, Inc. Class B (non-vtg.)

110

1,967

BigBand Networks, Inc. (a)

502

1,124

Black Box Corp.

207

5,794

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Blue Coat Systems, Inc. (a)

485

$ 7,809

Calix Networks, Inc. (a)

398

3,467

Communications Systems, Inc.

76

1,252

Comtech Telecommunications Corp.

257

8,509

DG FastChannel, Inc. (a)

311

5,797

Dialogic, Inc. (a)

143

296

Digi International, Inc. (a)

268

3,428

EMCORE Corp. (a)

1,027

1,017

Emulex Corp. (a)

985

8,254

Extreme Networks, Inc. (a)

1,134

3,345

Finisar Corp. (a)

1,008

20,654

Globecomm Systems, Inc. (a)

239

3,248

Harmonic, Inc. (a)

1,174

6,457

Infinera Corp. (a)

1,175

8,589

InterDigital, Inc.

509

22,116

Ixia (a)

462

5,234

KVH Industries, Inc. (a)

165

1,214

Loral Space & Communications Ltd. (a)

125

7,563

Meru Networks, Inc. (a)

100

543

NETGEAR, Inc. (a)

408

14,468

NumereX Corp. Class A (a)

89

708

Oclaro, Inc. (a)

521

2,141

Oplink Communications, Inc. (a)

206

3,341

Opnext, Inc. (a)

406

403

ORBCOMM, Inc. (a)

400

1,100

Plantronics, Inc.

542

18,108

Powerwave Technologies, Inc. (a)

317

1,144

Procera Networks, Inc. (a)

154

1,756

ShoreTel, Inc. (a)

584

3,416

Sonus Networks, Inc. (a)

2,443

6,474

Sycamore Networks, Inc.

242

4,651

Symmetricom, Inc. (a)

562

2,894

Tekelec (a)

695

6,825

ViaSat, Inc. (a)

409

17,419

Westell Technologies, Inc. Class A (a)

580

1,166

 

280,191

Computers & Peripherals - 0.6%

Avid Technology, Inc. (a)

299

1,854

Cray, Inc. (a)

467

2,956

Dot Hill Systems Corp. (a)

660

1,135

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Electronics for Imaging, Inc. (a)

523

$ 7,845

Imation Corp. (a)

309

2,076

Immersion Corp. (a)

297

2,040

Intermec, Inc. (a)

688

5,552

Intevac, Inc. (a)

240

1,932

Novatel Wireless, Inc. (a)

362

1,437

OCZ Technology Group, Inc. (a)

603

4,263

Quantum Corp. (a)

2,313

6,037

Rimage Corp.

107

1,188

Silicon Graphics International Corp. (a)

365

5,278

STEC, Inc. (a)

477

5,400

Stratasys, Inc. (a)

237

6,645

Super Micro Computer, Inc. (a)

317

5,072

Synaptics, Inc. (a)

354

11,962

Xyratex Ltd.

326

4,447

 

77,119

Electronic Equipment & Components - 2.5%

Aeroflex Holding Corp.

205

2,232

Agilysys, Inc. (a)

191

1,622

Anixter International, Inc.

326

19,133

Benchmark Electronics, Inc. (a)

669

9,192

Brightpoint, Inc. (a)

762

7,734

Checkpoint Systems, Inc. (a)

456

6,042

Cognex Corp.

466

15,793

Coherent, Inc. (a)

280

14,272

CTS Corp.

365

3,387

Daktronics, Inc.

366

3,697

DDi Corp.

165

1,516

DTS, Inc. (a)

200

5,618

Echelon Corp. (a)

442

2,988

Electro Rent Corp.

225

3,616

Electro Scientific Industries, Inc. (a)

275

3,380

eMagin Corp. (a)

161

679

Fabrinet (a)

211

2,616

FARO Technologies, Inc. (a)

183

7,646

FEI Co. (a)

435

17,296

GSI Group, Inc. (a)

326

3,185

Identive Group, Inc. (a)

359

851

Insight Enterprises, Inc. (a)

517

8,737

KEMET Corp. (a)

527

4,859

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

LeCroy Corp. (a)

176

$ 1,806

Littelfuse, Inc.

254

12,436

Maxwell Technologies, Inc. (a)

287

5,731

Measurement Specialties, Inc. (a)

173

5,399

Mercury Computer Systems, Inc. (a)

354

5,168

Methode Electronics, Inc. Class A

394

3,660

Microvision, Inc. (a)

976

693

MTS Systems Corp.

175

6,417

Multi-Fineline Electronix, Inc. (a)

94

2,156

NeoPhotonics Corp.

80

418

Newport Corp. (a)

429

5,942

OSI Systems, Inc. (a)

211

9,347

Park Electrochemical Corp.

232

6,566

PC Connection, Inc. (a)

86

718

Plexus Corp. (a)

394

10,126

Power-One, Inc. (a)

710

3,515

Pulse Electronics Corp.

457

1,613

RadiSys Corp. (a)

213

1,248

Richardson Electronics Ltd.

145

1,884

Rofin-Sinar Technologies, Inc. (a)

315

8,190

Rogers Corp. (a)

179

7,727

Sanmina-SCI Corp. (a)

900

7,929

ScanSource, Inc. (a)

296

10,289

SYNNEX Corp. (a)

283

8,170

TTM Technologies, Inc. (a)

591

6,601

Universal Display Corp. (a)

432

20,231

Viasystems Group, Inc. (a)

27

556

Vishay Precision Group, Inc. (a)

129

1,882

X-Rite, Inc. (a)

300

1,353

Zygo Corp. (a)

204

3,129

 

306,991

Internet Software & Services - 1.8%

Active Network, Inc.

127

1,707

Ancestry.com, Inc. (a)

358

8,152

Bankrate, Inc.

277

5,393

Carbonite, Inc.

81

1,022

comScore, Inc. (a)

357

7,536

Constant Contact, Inc. (a)

333

6,740

Cornerstone OnDemand, Inc.

121

1,744

DealerTrack Holdings, Inc. (a)

452

9,804

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Demand Media, Inc.

73

$ 509

Dice Holdings, Inc. (a)

559

5,691

Digital River, Inc. (a)

446

8,175

EarthLink, Inc.

1,226

8,594

FriendFinder Networks, Inc. (a)

51

95

InfoSpace, Inc. (a)

437

3,828

Internap Network Services Corp. (a)

627

3,561

IntraLinks Holdings, Inc. (a)

391

3,398

j2 Global Communications, Inc.

517

15,913

Keynote Systems, Inc.

148

3,533

KIT Digital, Inc. (a)

468

4,212

Limelight Networks, Inc. (a)

711

1,977

Liquidity Services, Inc. (a)

216

7,033

LivePerson, Inc. (a)

542

6,824

LogMeIn, Inc. (a)

227

9,232

LoopNet, Inc. (a)

177

3,131

Marchex, Inc. Class B

220

1,956

ModusLink Global Solutions, Inc.

461

1,927

Move, Inc. (a)

1,943

3,575

NIC, Inc.

710

9,805

OpenTable, Inc. (a)

267

11,711

Openwave Systems, Inc. (a)

1,187

1,840

Perficient, Inc. (a)

251

2,392

quepasa.com, Inc. (a)

63

304

QuinStreet, Inc. (a)

292

3,355

RealNetworks, Inc.

219

2,137

Responsys, Inc.

107

1,168

RightNow Technologies, Inc. (a)

278

11,957

Saba Software, Inc. (a)

295

2,047

SciQuest, Inc. (a)

129

1,914

SPS Commerce, Inc. (a)

111

2,171

Stamps.com, Inc.

132

4,298

Support.com, Inc. (a)

544

1,148

TechTarget, Inc. (a)

171

1,267

Travelzoo, Inc. (a)

59

1,880

United Online, Inc.

1,011

5,975

ValueClick, Inc. (a)

877

15,435

Vocus, Inc. (a)

187

3,811

Web.com, Inc. (a)

362

3,497

XO Group, Inc. (a)

316

2,917

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Zillow, Inc. (a)

40

$ 1,188

Zix Corp. (a)

687

1,704

 

229,183

IT Services - 1.9%

Acxiom Corp. (a)

901

11,884

CACI International, Inc. Class A (a)

296

16,247

Cardtronics, Inc. (a)

483

12,041

Cass Information Systems, Inc.

90

3,527

Ciber, Inc. (a)

656

2,283

Computer Task Group, Inc. (a)

158

2,018

Convergys Corp. (a)

1,169

12,508

CSG Systems International, Inc. (a)

395

5,625

Dynamics Research Corp. (a)

83

800

Echo Global Logistics, Inc. (a)

120

1,853

Euronet Worldwide, Inc. (a)

561

10,867

ExlService Holdings, Inc. (a)

192

5,007

Forrester Research, Inc.

170

6,088

Global Cash Access Holdings, Inc. (a)

672

2,003

Hackett Group, Inc. (a)

335

1,384

Heartland Payment Systems, Inc.

429

9,335

iGate Corp.

365

4,920

Jack Henry & Associates, Inc.

957

31,016

Lionbridge Technologies, Inc. (a)

791

2,144

ManTech International Corp. Class A

259

9,099

Maximus, Inc.

385

15,531

MoneyGram International, Inc. (a)

867

2,220

NCI, Inc. Class A (a)

62

846

PRG-Schultz International, Inc. (a)

221

1,180

Sapient Corp.

1,237

15,289

ServiceSource International, Inc.

108

1,437

Stream Global Services, Inc. (a)

85

266

Syntel, Inc.

172

8,411

Teletech Holdings, Inc. (a)

299

5,227

TNS, Inc. (a)

293

5,722

Unisys Corp. (a)

477

12,397

Virtusa Corp. (a)

154

2,509

Wright Express Corp. (a)

430

20,158

 

241,842

Semiconductors & Semiconductor Equipment - 3.8%

Advanced Analogic Technologies, Inc. (a)

444

1,936

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Advanced Energy Industries, Inc. (a)

514

$ 4,801

Alpha & Omega Semiconductor Ltd. (a)

160

1,352

Amkor Technology, Inc. (a)

1,220

5,905

Amtech Systems, Inc. (a)

89

910

ANADIGICS, Inc. (a)

715

1,880

Applied Micro Circuits Corp. (a)

758

5,109

ATMI, Inc. (a)

354

7,222

Axcelis Technologies, Inc. (a)

1,149

1,609

AXT, Inc. (a)

334

1,570

Brooks Automation, Inc.

742

7,754

Cabot Microelectronics Corp. (a)

260

10,015

Cavium, Inc. (a)

548

17,914

Ceva, Inc. (a)

260

8,078

Cirrus Logic, Inc. (a)

741

12,330

Cohu, Inc.

296

3,283

Cymer, Inc. (a)

341

14,816

Diodes, Inc. (a)

393

8,791

DSP Group, Inc. (a)

253

1,564

Entegris, Inc. (a)

1,493

13,377

Entropic Communications, Inc. (a)

881

5,127

Exar Corp. (a)

373

2,279

FormFactor, Inc. (a)

599

3,582

FSI International, Inc. (a)

359

887

GSI Technology, Inc. (a)

316

1,548

GT Advanced Technologies, Inc. (a)

1,400

11,480

Hittite Microwave Corp. (a)

354

18,620

Inphi Corp.

213

2,352

Integrated Device Technology, Inc. (a)

1,631

9,916

Integrated Silicon Solution, Inc. (a)

344

3,168

IXYS Corp. (a)

258

3,527

Kopin Corp. (a)

815

3,301

Kulicke & Soffa Industries, Inc. (a)

805

7,768

Lattice Semiconductor Corp. (a)

1,315

8,324

LTX-Credence Corp. (a)

590

3,735

MaxLinear, Inc. Class A (a)

253

1,472

Micrel, Inc.

579

6,381

Microsemi Corp. (a)

969

17,888

Mindspeed Technologies, Inc. (a)

347

1,929

MIPS Technologies, Inc. (a)

647

3,552

MKS Instruments, Inc.

581

15,478

Monolithic Power Systems, Inc. (a)

316

3,937

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

MoSys, Inc. (a)

359

$ 1,389

Nanometrics, Inc. (a)

213

3,595

Netlogic Microsystems, Inc. (a)

766

37,687

NVE Corp. (a)

50

2,751

Omnivision Technologies, Inc. (a)

647

10,553

PDF Solutions, Inc. (a)

269

1,391

Pericom Semiconductor Corp. (a)

332

2,819

Photronics, Inc. (a)

618

3,875

PLX Technology, Inc. (a)

487

1,583

Power Integrations, Inc.

323

11,508

Rambus, Inc. (a)

1,100

19,503

RF Micro Devices, Inc. (a)

3,110

22,827

Rubicon Technology, Inc. (a)

181

1,886

Rudolph Technologies, Inc. (a)

404

2,977

Semtech Corp. (a)

734

17,924

Sigma Designs, Inc. (a)

397

3,311

Silicon Image, Inc. (a)

918

5,912

Spansion, Inc. Class A (a)

569

5,855

Standard Microsystems Corp. (a)

259

6,413

Supertex, Inc. (a)

114

2,104

Tessera Technologies, Inc. (a)

569

7,835

TriQuint Semiconductor, Inc. (a)

1,830

9,736

Ultra Clean Holdings, Inc. (a)

253

1,386

Ultratech, Inc. (a)

290

6,322

Veeco Instruments, Inc. (a)

454

12,117

Volterra Semiconductor Corp. (a)

277

6,565

 

476,291

Software - 4.4%

Accelrys, Inc. (a)

674

4,469

ACI Worldwide, Inc. (a)

371

11,379

Actuate Corp. (a)

369

2,399

Advent Software, Inc. (a)

368

10,083

American Software, Inc. Class A

289

2,260

Aspen Technology, Inc. (a)

938

16,265

Blackbaud, Inc.

500

14,015

Bottomline Technologies, Inc. (a)

398

9,667

BroadSoft, Inc. (a)

252

9,072

Callidus Software, Inc. (a)

385

2,179

CommVault Systems, Inc. (a)

497

21,162

Concur Technologies, Inc. (a)

503

23,400

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Convio, Inc. (a)

135

$ 1,295

Deltek, Inc. (a)

236

1,737

DemandTec, Inc. (a)

413

3,122

Digimarc Corp. (a)

65

1,739

Ebix, Inc.

334

5,715

Ellie Mae, Inc.

78

398

EPIQ Systems, Inc.

369

5,262

ePlus, Inc. (a)

36

978

Fair Isaac Corp.

441

12,061

FalconStor Software, Inc. (a)

352

1,193

Glu Mobile, Inc. (a)

476

1,442

Guidance Software, Inc. (a)

129

775

Interactive Intelligence Group, Inc. (a)

169

4,690

JDA Software Group, Inc. (a)

473

15,075

Kenexa Corp. (a)

297

6,792

Magma Design Automation, Inc. (a)

705

3,722

Manhattan Associates, Inc. (a)

226

9,571

Mentor Graphics Corp. (a)

1,078

12,246

MicroStrategy, Inc. Class A (a)

90

11,859

Monotype Imaging Holdings, Inc. (a)

413

5,604

Motricity, Inc. (a)

344

605

NetScout Systems, Inc. (a)

418

6,851

NetSuite, Inc. (a)

308

11,716

Opnet Technologies, Inc.

164

7,173

Parametric Technology Corp. (a)

1,333

27,766

Pegasystems, Inc.

189

7,142

Progress Software Corp. (a)

750

15,795

PROS Holdings, Inc. (a)

230

3,648

QAD, Inc. Class A

61

705

QLIK Technologies, Inc. (a)

792

22,627

Quest Software, Inc. (a)

684

12,032

RealD, Inc. (a)

482

5,384

RealPage, Inc. (a)

339

8,933

Rosetta Stone, Inc. (a)

124

1,231

S1 Corp. (a)

550

5,352

SeaChange International, Inc. (a)

270

2,279

Smith Micro Software, Inc. (a)

333

390

SolarWinds, Inc. (a)

646

18,644

Sourcefire, Inc. (a)

317

8,733

SRS Labs, Inc. (a)

112

787

SS&C Technologies Holdings, Inc. (a)

265

4,203

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

SuccessFactors, Inc. (a)

943

$ 25,178

Synchronoss Technologies, Inc. (a)

297

8,928

Take-Two Interactive Software, Inc. (a)

828

13,066

Taleo Corp. Class A (a)

463

15,001

Tangoe, Inc. (a)

107

1,439

TeleCommunication Systems, Inc. Class A (a)

491

1,620

TeleNav, Inc. (a)

177

1,517

THQ, Inc. (a)

761

1,621

TiVo, Inc. (a)

1,338

14,491

Tyler Technologies, Inc. (a)

355

11,207

Ultimate Software Group, Inc. (a)

292

17,573

Vasco Data Security International, Inc. (a)

290

2,395

Verint Systems, Inc. (a)

241

7,182

VirnetX Holding Corp. (a)

455

9,805

Wave Systems Corp. Class A (a)

848

2,213

Websense, Inc. (a)

447

7,974

 

544,832

TOTAL INFORMATION TECHNOLOGY

2,156,449

MATERIALS - 4.5%

Chemicals - 2.0%

A. Schulman, Inc.

346

7,304

American Vanguard Corp.

273

3,377

Balchem Corp.

322

11,872

Calgon Carbon Corp. (a)

626

9,985

Chase Corp.

59

826

Chemtura Corp. (a)

1,077

13,075

Ferro Corp. (a)

986

6,379

Flotek Industries, Inc. (a)

588

4,375

FutureFuel Corp.

191

2,158

Georgia Gulf Corp. (a)

383

6,932

H.B. Fuller Co.

548

11,777

Hawkins, Inc.

103

3,943

Innophos Holdings, Inc.

239

10,514

Innospec, Inc. (a)

266

8,033

KMG Chemicals, Inc.

108

1,570

Koppers Holdings, Inc.

231

7,644

Kraton Performance Polymers, Inc. (a)

360

7,085

Landec Corp. (a)

280

1,739

LSB Industries, Inc. (a)

207

7,334

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Minerals Technologies, Inc.

202

$ 11,078

NewMarket Corp.

100

19,414

NL Industries, Inc.

62

901

Olin Corp.

893

16,842

OM Group, Inc. (a)

343

9,916

OMNOVA Solutions, Inc. (a)

470

2,082

PolyOne Corp.

1,029

11,515

Quaker Chemical Corp.

150

5,219

Senomyx, Inc. (a)

421

1,920

Sensient Technologies Corp.

559

20,661

Spartech Corp. (a)

344

1,397

Stepan Co.

92

7,111

STR Holdings, Inc. (a)

379

3,240

TPC Group, Inc. (a)

162

3,219

Zep, Inc.

231

3,520

Zoltek Companies, Inc. (a)

287

2,081

 

246,038

Construction Materials - 0.2%

Eagle Materials, Inc.

491

10,105

Headwaters, Inc. (a)

565

994

Texas Industries, Inc.

257

7,710

United States Lime & Minerals, Inc. (a)

36

1,980

 

20,789

Containers & Packaging - 0.2%

AEP Industries, Inc. (a)

45

1,216

Boise, Inc.

1,180

7,139

Graphic Packaging Holding Co. (a)

1,787

7,899

Myers Industries, Inc.

385

4,705

 

20,959

Metals & Mining - 1.5%

A.M. Castle & Co. (a)

173

2,368

Amcol International Corp.

271

8,181

Century Aluminum Co. (a)

589

6,573

Coeur d'Alene Mines Corp. (a)

996

25,468

General Moly, Inc. (a)

699

2,405

Globe Specialty Metals, Inc.

707

11,786

Gold Resource Corp.

325

7,313

Golden Minerals Co. (a)

284

1,991

Golden Star Resources Ltd. (a)

2,666

5,269

Handy & Harman Ltd. (a)

54

648

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Haynes International, Inc.

136

$ 7,955

Hecla Mining Co. (a)

3,114

19,525

Horsehead Holding Corp. (a)

459

3,984

Jaguar Mining, Inc. (a)

988

5,104

Kaiser Aluminum Corp.

183

8,502

Materion Corp. (a)

232

6,134

Metals USA Holdings Corp. (a)

131

1,427

Midway Gold Corp. (a)

896

1,882

Noranda Aluminium Holding Corp.

233

2,158

Olympic Steel, Inc.

97

1,984

Paramount Gold & Silver Corp. (a)

1,399

3,721

Revett Minerals, Inc. (a)

233

970

RTI International Metals, Inc. (a)

338

8,920

Stillwater Mining Co. (a)

1,151

13,075

SunCoke Energy, Inc. (a)

131

1,653

Thompson Creek Metals Co., Inc. (a)

1,696

12,182

Universal Stainless & Alloy Products, Inc. (a)

88

3,313

US Energy Corp. (a)

227

711

US Gold Corp. (a)

1,231

5,589

Vista Gold Corp. (a)

892

3,212

Worthington Industries, Inc.

638

11,025

 

195,028

Paper & Forest Products - 0.6%

Buckeye Technologies, Inc.

442

13,366

Clearwater Paper Corp. (a)

256

8,481

Deltic Timber Corp.

120

8,123

Glatfelter

514

7,710

Kapstone Paper & Packaging Corp. (a)

440

7,216

Louisiana-Pacific Corp. (a)

1,460

9,709

Neenah Paper, Inc.

189

3,119

Schweitzer-Mauduit International, Inc.

178

12,517

Verso Paper Corp. (a)

139

254

Wausau-Mosinee Paper Corp.

597

4,478

 

74,973

TOTAL MATERIALS

557,787

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.7%

8x8, Inc. (a)

789

2,967

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

AboveNet, Inc.

254

$ 15,075

Alaska Communication Systems Group, Inc.

482

3,408

Atlantic Tele-Network, Inc.

100

3,795

Boingo Wireless, Inc.

53

405

Cbeyond, Inc. (a)

364

2,999

Cincinnati Bell, Inc. New (a)

2,241

7,216

Cogent Communications Group, Inc. (a)

475

7,624

Consolidated Communications Holdings, Inc.

305

5,758

FairPoint Communications, Inc. (a)

307

1,649

General Communications, Inc. Class A (a)

497

4,697

Globalstar, Inc. (a)

950

675

HickoryTech Corp.

144

1,607

IDT Corp. Class B

169

1,944

inContact, Inc. (a)

345

1,428

Iridium Communications, Inc. (a)

532

3,384

Neutral Tandem, Inc. (a)

371

3,910

PAETEC Holding Corp. (a)

1,406

7,705

Premiere Global Services, Inc. (a)

610

5,527

SureWest Communications

148

1,698

Towerstream Corp. (a)

468

1,348

Vonage Holdings Corp. (a)

1,627

5,450

 

90,269

Wireless Telecommunication Services - 0.2%

Leap Wireless International, Inc. (a)

728

5,060

NTELOS Holdings Corp.

349

6,638

Shenandoah Telecommunications Co.

284

3,851

USA Mobility, Inc.

267

3,490

 

19,039

TOTAL TELECOMMUNICATION SERVICES

109,308

UTILITIES - 3.7%

Electric Utilities - 1.5%

Allete, Inc.

364

14,382

Central Vermont Public Service Corp.

154

5,447

Cleco Corp.

674

24,850

El Paso Electric Co.

472

15,118

Empire District Electric Co.

463

9,246

IDACORP, Inc.

551

22,249

MGE Energy, Inc.

255

11,128

Common Stocks - continued

Shares

Value

UTILITIES - continued

Electric Utilities - continued

Otter Tail Corp.

401

$ 7,783

PNM Resources, Inc.

978

17,584

Portland General Electric Co.

845

20,736

UIL Holdings Corp.

583

19,869

Unisource Energy Corp.

421

15,695

Unitil Corp.

109

2,907

 

186,994

Gas Utilities - 1.3%

Chesapeake Utilities Corp.

94

3,985

Laclede Group, Inc.

250

10,030

New Jersey Resources Corp.

464

21,817

Nicor, Inc.

503

28,294

Northwest Natural Gas Co.

310

14,483

Piedmont Natural Gas Co., Inc.

808

26,414

South Jersey Industries, Inc.

342

19,258

Southwest Gas Corp.

519

20,490

WGL Holdings, Inc.

577

24,701

 

169,472

Independent Power Producers & Energy Traders - 0.3%

Atlantic Power Corp.

915

12,327

Black Hills Corp.

450

15,170

Dynegy, Inc. (a)

1,237

4,540

Ormat Technologies, Inc.

190

3,608

 

35,645

Multi-Utilities - 0.3%

Avista Corp.

648

16,492

CH Energy Group, Inc.

173

9,551

Genie Energy Ltd. Class B (a)

138

1,145

NorthWestern Energy Corp.

416

14,331

 

41,519

Water Utilities - 0.3%

American States Water Co.

195

6,813

Artesian Resources Corp. Class A

72

1,310

Cadiz, Inc. (a)

139

1,336

California Water Service Group

465

8,635

Connecticut Water Service, Inc.

88

2,353

Consolidated Water Co., Inc.

201

1,865

Middlesex Water Co.

157

2,975

Pennichuck Corp.

50

1,423

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

SJW Corp.

149

$ 3,469

York Water Co.

130

2,210

 

32,389

TOTAL UTILITIES

466,019

TOTAL COMMON STOCKS

(Cost $11,678,264)


12,422,597

U.S. Treasury Obligations - 0.4%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.05% 3/8/12 (c)
(Cost $49,997)

$ 50,000


49,961

Money Market Funds - 7.1%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)
(Cost $887,334)

887,334


887,334

TOTAL INVESTMENT PORTFOLIO - 106.9%

(Cost $12,615,595)

13,359,892

NET OTHER ASSETS (LIABILITIES) - (6.9)%

(867,698)

NET ASSETS - 100%

$ 12,492,194

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1 NYFE Russell 2000 Mini Index Contracts

Dec. 2011

$ 73,930

$ 9,928

The face value of futures purchased as a percentage of net assets is 0.6%

Legend

(a) Non-income producing

(b) Affiliated fund that is 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) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $49,961.

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

$ 106

Other Information

The following is a summary of the inputs used, as of October 31, 2011, 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 tables below, please refer to the Security 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

$ 1,646,033

$ 1,646,033

$ -

$ -

Consumer Staples

454,715

454,715

-

-

Energy

852,707

852,707

-

-

Financials

2,702,083

2,701,473

-

610

Health Care

1,550,672

1,550,672

-

-

Industrials

1,926,824

1,926,824

-

-

Information Technology

2,156,449

2,156,449

-

-

Materials

557,787

557,787

-

-

Telecommunication Services

109,308

109,308

-

-

Utilities

466,019

466,019

-

-

U.S. Government and Government Agency Obligations

49,961

-

49,961

-

Money Market Funds

887,334

887,334

-

-

Total Investments in Securities:

$ 13,359,892

$ 13,309,321

$ 49,961

$ 610

Derivative Instruments:

Assets

Futures Contracts

$ 9,928

$ 9,928

$ -

$ -

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

Investments in Securities:

Beginning Balance

$ -

Total Realized Gain (Loss)

-

Total Unrealized Gain (Loss)

(8,252)

Cost of Purchases

8,862

Proceeds of Sales

-

Amortization/Accretion

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ 610

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at October 31, 2011

$ (8,252)

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of October 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 9,928

$ -

Total Value of Derivatives

$ 9,928

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on 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

  

October 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $11,728,261)

$ 12,472,558

 

Fidelity Central Funds (cost $887,334)

887,334

 

Total Investments (cost $12,615,595)

 

$ 13,359,892

Segregated cash with broker for futures contracts

42,100

Receivable for investments sold

1,423

Receivable for fund shares sold

80,380

Dividends receivable

4,534

Distributions receivable from Fidelity Central Funds

44

Receivable from investment adviser for expense reductions

466

Total assets

13,488,839

 

 

 

Liabilities

Payable for investments purchased

$ 967,691

Accrued management fee

1,361

Payable for daily variation margin on futures contracts

26,891

Other affiliated payables

702

Total liabilities

996,645

 

 

 

Net Assets

$ 12,492,194

Net Assets consist of:

 

Paid in capital

$ 11,731,041

Undistributed net investment income

18,603

Accumulated undistributed net realized gain (loss) on investments

(11,677)

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

754,227

Net Assets

$ 12,492,194

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($1,202,403 ÷ 112,660 shares)

$ 10.67

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($5,951,718 ÷ 557,519 shares)

$ 10.68

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,668,997 ÷ 250,001 shares)

$ 10.68

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,669,076 ÷ 250,001 shares)

$ 10.68

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

Semiannual Report

Financial Statements - continued

Statement of Operations

 

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

 

Investment Income

  

  

Dividends

 

$ 21,243

Interest

 

53

Income from Fidelity Central Funds

 

106

Total income

 

21,402

 

 

 

Expenses

Management fee

$ 2,368

Transfer agent fees

1,237

Independent trustees' compensation

3

Total expenses before reductions

3,608

Expense reductions

(809)

2,799

Net investment income (loss)

18,603

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

52

Futures contracts

(11,729)

Total net realized gain (loss)

 

(11,677)

Change in net unrealized appreciation (depreciation) on:

Investment securities

744,297

Assets and liabilities in foreign currencies

2

Futures contracts

9,928

Total change in net unrealized appreciation (depreciation)

 

754,227

Net gain (loss)

742,550

Net increase (decrease) in net assets resulting from operations

$ 761,153

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

Semiannual Report

Statement of Changes in Net Assets

 

For the period September 8, 2011 (commencement of operations) to October 31, 2011 (Unaudited)

 

 

Increase (Decrease) in Net Assets

 

Operations

 

Net investment income (loss)

$ 18,603

Net realized gain (loss)

(11,677)

Change in net unrealized appreciation (depreciation)

754,227

Net increase (decrease) in net assets resulting
from operations

761,153

Share transactions - net increase (decrease)

11,731,041

Total increase (decrease) in net assets

12,492,194

 

 

Net Assets

Beginning of period

-

End of period (including undistributed net investment income of $18,603)

$ 12,492,194

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

Semiannual Report

Financial Highlights - Investor Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss) D

  .02

Net realized and unrealized gain (loss)

  .65

Total from investment operations

  .67

Net asset value, end of period

$ 10.67

Total Return B, C

  6.70%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .36% A

Expenses net of fee waivers, if any

  .31% A

Expenses net of all reductions

  .31% A

Net investment income (loss)

  1.04% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 1,202

Portfolio turnover rate F

  1% I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .23%A

Expenses net of fee waivers, if any

  .17%A

Expenses net of all reductions

  .17%A

Net investment income (loss)

  1.19%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 5,952

Portfolio turnover rateF

  1%I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .17%A

Expenses net of fee waivers, if any

  .13%A

Expenses net of all reductions

  .13%A

Net investment income (loss)

  1.22%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,669

Portfolio turnover rateF

  1%I

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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended October 31

2011 G

Selected Per-Share Data

(Unaudited)

Net asset value, beginning of period

$ 10.00

Income from Investment Operations

 

Net investment income (loss)D

  .02

Net realized and unrealized gain (loss)

  .66

Total from investment operations

  .68

Net asset value, end of period

$ 10.68

Total ReturnB,C

  6.80%

Ratios to Average Net AssetsE,H

 

Expenses before reductions

  .15%A

Expenses net of fee waivers, if any

  .11%A

Expenses net of all reductions

  .11%A

Net investment income (loss)

  1.24%A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 2,669

Portfolio turnover rateF

  1%I

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 the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period September 8, 2011 (commencement of operations) to October 31, 2011.

H Expense ratios reflect operating expenses of the class. 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 class 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 class.

I Amount not annualized

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

Semiannual Report

Notes to Financial Statements

For the period ended October 31, 2011 (Unaudited)

1. Organization.

Spartan Small Cap Index Fund and Spartan Mid Cap Index Fund (the Funds) are funds of Fidelity Salem Street Trust (the Trust) (formerly Fidelity Fixed-Income Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund offers Investor Class, Fidelity Advantage® Class, Institutional Class and Fidelity Advantage® Institutional Class 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. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.

3. 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 Funds:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Each Fund uses independent pricing services approved by the Board of Trustees to value their investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

Each Fund categorizes the inputs to valuation techniques used to value their 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)

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 October 31, 2011, as well as a roll forward of Level 3 securities, is included at the end of each Fund's Schedule of Investments. Valuation techniques used to value each 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 an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These 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 or official closing 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 each business day and are categorized as Level 1 in the hierarchy.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate 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 Funds' 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 Funds are 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

received. 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. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on each 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. Temporary book-tax differences will reverse in a subsequent period.

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

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

 

Tax cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation) on
securities and other investments

Spartan Mid Cap Index Fund

$ 12,478,907

$ 805,164

$ (218,001)

$ 587,163

Spartan Small Cap Index Fund

12,615,595

1,024,411

(280,114)

744,297

Short-Term Trading (Redemption) Fees. Shares held by investors of Spartan Mid Cap Index Fund less than 30 days are subject to a redemption fee equal to 0.75% of the net asset value of shares redeemed. Shares held by investors of Spartan Small Cap Index Fund less than 90 days are subject to a redemption fee equal to 1.50% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital.

New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds' financial statement disclosures.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts, in order to meet their investment objectives. The strategy is to use 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 Funds may not achieve their objectives.

The Funds' use of derivatives increased or decreased their 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

Notes to Financial Statements (Unaudited) - continued

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to sell 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 Funds. The Funds' maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Funds. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net Unrealized Appreciation (Depreciation)

Spartan Mid Cap Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (26,274)

$ 10,820

Totals (a)

$ (26,274)

$ 10,820

Spartan Small Cap Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (11,729)

$ 9,928

Totals (a)

$ (11,729)

$ 9,928

(a) A summary of the value of derivatives by risk exposure as of period end, is included at the end of the Schedule of Investments and is representative of activity for the period.

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 Funds used futures contracts to manage their 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 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 is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Semiannual Report

4. Derivative Instruments - continued

Futures Contracts - continued

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

Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, are noted in the table below.

 

Purchases ($)

Sales ($)

Spartan Mid Cap Index Fund

11,680,169

67,185

Spartan Small Cap Index Fund

11,756,474

75,747

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .12% and .15% of average net assets for Spartan Mid Cap Index Fund and Spartan Small Cap Index Fund, respectively. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the Independent Trustees and certain other expenses such as interest expense, including commitment fees.

In addition, under expense contracts, FMR pays class-level expenses as necessary so that the total expenses do not exceed certain amounts of each class' average net assets on an annual basis with certain exceptions, as noted in the following table:

 

Investor Class

Fidelity
Advantage Class

Institutional Class

Fidelity
Advantage
Institutional Class

Spartan Mid Cap Index Fund

.33%

.20%

.14%

.12%

Spartan Small Cap Index Fund

.36%

.23%

.17%

.15%

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

6. Fees and Other Transactions with Affiliates - continued

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by FMR for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class. FIIOC receives transfer agent fees at an annual rate of .21%, .11%, .035% and .015% of average net assets for each Fund's Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. Under the expense contracts, each Investor Class, Fidelity Advantage Class and Institutional Class pays all or a portion of the transfer agent fees at an annual rate of .21%, .08% and .02% of average net assets, respectively. Each Fidelity Advantage Institutional Class does not pay transfer agent fees. For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

Spartan Mid Cap Index Fund

 

Investor Class

$ 791

Fidelity Advantage Class

370

Institutional Class

75

 

$ 1,236

 

 

Spartan Small Cap Index Fund

 

Investor Class

$ 803

Fidelity Advantage Class

359

Institutional Class

75

 

$ 1,237

7. Expense Reductions.

FMR contractually agreed to reimburse each class of Spartan Mid Cap Index Fund and Spartan Small Cap Index Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through June 20, 2013. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

Semiannual Report

7. Expense Reductions - continued

The following classes were in reimbursement during the period:

 

Expense
Limitations

Reimbursement
from adviser

Spartan Mid Cap Index Fund

 

Investor Class

.26%

$269

Fidelity Advantage Class

.12%

392

Institutional Class

.08%

228

Fidelity Advantage Institutional Class

.06%

227

 

 

 

Spartan Small Cap Index Fund

 

Investor Class

.31%

$199

Fidelity Advantage Class

.17%

297

Institutional Class

.13%

157

Fidelity Advantage Institutional Class

.11%

156

8. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares A

Dollars A

Period ended October 31, 2011

2011

2011

Spartan Mid Cap Index Fund

 

 

Investor Class

 

 

Shares sold

329,645

$ 3,297,156

Shares redeemed

(250,001)

(2,565,010)

Net increase (decrease)

79,644

$ 732,146

Fidelity Advantage Class

 

 

Shares sold

585,685

$ 5,923,148

Net increase (decrease)

585,685

$ 5,923,148

Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Fidelity Advantage Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Spartan Small Cap Index Fund

 

 

Investor Class

 

 

Shares sold

362,661

$ 3,646,320

Shares redeemed

(250,001)

(2,567,510)

Net increase (decrease)

112,660

$ 1,078,810

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. Share Transactions - continued

 

Shares A

Dollars A

Period ended October 31, 2011

2011

2011

Spartan Small Cap Index Fund

 

 

Fidelity Advantage Class

 

 

Shares sold

557,519

$ 5,652,211

Net increase (decrease)

557,519

$ 5,652,211

Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

Fidelity Advantage Institutional Class

 

 

Shares sold

250,001

$ 2,500,010

Net increase (decrease)

250,001

$ 2,500,010

A For the period September 8, 2011 (commencement of operations) to October 31, 2011.

9. Other.

The Funds' 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 Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

At the end of the period, FMR or its affiliates were the owners of record of approximately 86% of the total shares of the Funds.

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

Spartan Mid Cap Index Fund

Spartan Small Cap Index Fund

On July 14, 2011, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract and sub-advisory agreements (together, the Advisory Contracts) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the funds' investment personnel and the funds' investment objectives and disciplines. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of each fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources (including increased resources in non-United States offices), as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel.

Shareholder and Administrative Services. The Board considered 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, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of the Investment Adviser's supervision of third party service providers, principally custodians and subcustodians.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, and investor education materials and asset allocation tools.

Investment Performance. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts.

Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity to the funds will benefit each fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee out of which FMR will pay all "fund-level" expenses, with certain limited exceptions, and the projected total expenses of each class of the fund. The Board noted that each fund's proposed management fee rate, even before deducting projected payments by FMR, is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable management fee characteristics.

Semiannual Report

The Board also considered that the proposed contractual arrangements for each fund oblige FMR to pay all class-level expenses of each class of each fund and limit the total expenses of each class of each fund. These contractual arrangements may not be amended to increase fees shareholders pay without the approval of the Board. In addition, the Board considered that FMR had contractually agreed to reimburse each class of each fund to the extent that each class's total operating expenses (excluding interest, taxes, securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets exceed certain limits.

Based on its review, the Board concluded that each fund's management fee and the projected total expenses of each class of each fund were reasonable in light of the services that each fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. In connection with its future renewal of each fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.

Additional Information Requested by the Board: The Board also received information explaining that each fund's investments will be chosen using an investment discipline developed by Geode Capital Management, LLC, the sub-adviser to Fidelity's equity index funds.

Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

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 advisory fee structures are fair and reasonable, and that each fund's Advisory Contracts should be approved.

Semiannual Report

Investment Adviser

Fidelity Management & Research
Company

Boston, MA

Investment Sub-Adviser

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Service Company, Inc.

Boston, MA

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Custodian

State Street Bank and Trust Company

Boston, MA 

MCX-I-SCX-I-USAN-1211
1.929322.100

abc791946

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 Salem Street Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street Trust'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 Salem Street Trust

By:

/s/ John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

December 22, 2011

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/ John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

December 22, 2011

By:

/s/ Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

December 22, 2011

EX-99.CERT 2 ex99.htm

Exhibit EX-99.CERT

I, John R. Hebble, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting 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 registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: December 22, 2011

/s/John R. Hebble

John R. Hebble

President and Treasurer

I, Christine Reynolds, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Salem Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting 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 registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: December 22, 2011

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

EX-99.906 CERT 3 ex906.htm

Exhibit EX-99.906CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of Fidelity Salem Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: December 22, 2011

/s/John R. Hebble

John R. Hebble

President and Treasurer

Dated: December 22, 2011

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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