N-CSR 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 811-5251

Fidelity Concord 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:

February 29

 

 

Date of reporting period:

February 29, 2012

This report on Form N-CSR relates solely to the Registrant's Spartan Extended Market Index Fund, Spartan International Index Fund and Spartan Total Market Index Fund series (each, a "Fund" and collectively, the "Funds").

Item 1. Reports to Stockholders

Spartan® Total Market Index
Spartan Extended Market Index
Spartan International Index
Funds -
Investor Class
Fidelity Advantage® Class

Annual Report

(Fidelity Cover Art)

February 29, 2012

Contents

Spartan® Total Market Index Fund

(Click Here)

Shareholder Expense Example

 

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

(Click Here)

Notes to the Financial Statements

 

Shareholder Expense Example

(Click Here)

An example of shareholder expenses

 

Spartan Extended Market Index Fund

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

Spartan International Index Fund

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

Notes

(Click Here)

Notes to the Financial Statements

Report of Independent Registered Public Accounting Firm

(Click Here)

 

Trustees and Officers

(Click Here)

 

Distributions

(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.

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.

Annual Report

Spartan Total Market Index Fund

Shareholder Expense Example

As a shareholder of the 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 Fund 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 1, 2011 to February 29, 2012) for Investor Class, Fidelity Advantage Class and Class F and for the entire period (September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class. The hypothetical expense example is based on an investment of $1,000 invested for the one-half year period (September 1, 2011 to February 29, 2012).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Investor Class

.100%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.20

$ .53 B

HypotheticalA

 

$ 1,000.00

$ 1,024.37

$ .50 C

Fidelity Advantage Class

.070%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .37 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

Institutional Class

.060%

 

 

 

Actual

 

$ 1,000.00

$ 1,164.90

$ .31 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 C

Fidelity Advantage Institutional Class

.045%

 

 

 

Actual

 

$ 1,000.00

$ 1,165.00

$ .23 B

HypotheticalA

 

$ 1,000.00

$ 1,023.69

$ .23 C

Class F

.050%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .27 B

HypotheticalA

 

$ 1,000.00

$ 1,024.61

$ .25 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 182/366 (to reflect the one-half year period) for Investor Class, Fidelity Advantage Class and Class F and multiplied by 175/366 (to reflect the period September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class.

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

Annual Report

Spartan Total Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

Spartan Total Market Index Fund - Investor Class

4.46%

1.97%

5.05%

Spartan Total Market Index Fund - Fidelity Advantage® Class A

4.51%

2.01%

5.08%

A The initial offering of Fidelity Advantage® Class took place on October 14, 2005. Returns prior to October 14, 2005, are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan Total Market Index Fund - Investor Class on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market IndexSM performed over the same period.

con32

Annual Report

Spartan Total Market Index Fund

Management's Discussion of Fund Performance

Market Recap: U.S. stocks rose for the 12 months ending February 29, 2012, as encouraging economic news sparked a strong late-period rally that lifted major equity benchmarks past a number of significant milestones. Stocks recovered from early-period uncertainty that followed the March 2011 earthquake, tsunami and nuclear meltdown in Japan, but plummeted during the summer amid Europe's debt woes and a historic U.S. credit-rating downgrade. Despite continued volatility and mixed economic news, markets began to recover in early October. Investors gravitated toward defensive sectors and the perceived safety of larger, more-established and dividend-paying names, helping the Dow Jones® Industrial Average advance 8.83%, and close above the psychologically important 13,000 mark in late February - for the first time since May 2008. The rally accelerated late in the period and the market broadened, as investor confidence improved amid encouraging manufacturing, housing and employment data, and signs of progress in Europe. For the year, the S&P 500® Index added 5.12%, closing near a four-year high on the period's second-to-last day. The technology-laden Nasdaq Composite® Index added 7.73%, flirting with the 3,000 mark, its highest level in 12 years. Foreign developed-markets stocks reeled over Europe's turmoil, and the MSCI® EAFE® (Europe, Australasia, Far East) Index fell 7.35%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® Total Market Index Fund: For the year ending February 29, 2012, the fund's Investor Class and Fidelity Advantage® Class shares returned 4.46% and 4.51%, respectively, in line with the 4.53% return of the benchmark Dow Jones U.S. Total Stock Market IndexSM. Several of the fund's leading contributors were technology stocks. Topping the list was Apple, the second-largest stock in the index, whose shares gained approximately 54% during the past 12 months. This consumer products and personal computer manufacturer enjoyed very strong sales, especially of its popular iPad® tablet computers and iPhone® mobile telephones. Computer-services company International Business Machines, the third-largest stock in the index, also added value, as its shares trended upward throughout most of the reporting period. Software giant Microsoft and semiconductor manufacturer Intel enjoyed good results, with Intel benefiting from strong product demand that spurred better-than-expected sales growth. Elsewhere, tobacco manufacturer Philip Morris International and restaurant giant McDonald's performed well among consumer staples stocks, while in health care, drugmakers Merck and Pfizer contributed. Telecommunication services provider AT&T and credit card processing company Visa also added to returns. Unsurprisingly, given the tremendous market volatility of the past year, many financials stocks topped the list of detractors. The biggest laggard was diversified financials company Bank of America, whose shares declined 44% during the 12-month period. Other diversified financials firms also saw double-digit drops in their stock price, including Citigroup, JPMorgan Chase, Goldman Sachs Group and Morgan Stanley, while insurance-focused conglomerate Berkshire Hathaway also lagged. Meanwhile, in the information technology sector, computer and peripherals company Hewlett-Packard had a difficult year. Among its challenges was the company's announcement in August of plans to exit the personal computer business - a decision it rescinded a few months later. Investors appeared to have little confidence in this strategy, causing the stock to lose 20% of its value in a single day - the biggest one-day decline for the company since October 1987. Other notable detractors included Schlumberger, an oil-field services company, and Corning, a leading maker of specialty glass and ceramics.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Total Market Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

3.3

2.6

Exxon Mobil Corp.

2.7

2.6

Microsoft Corp.

1.6

1.5

IBM Corp.

1.5

1.5

Chevron Corp.

1.4

1.4

General Electric Co.

1.3

1.3

Procter & Gamble Co.

1.2

1.3

AT&T, Inc.

1.2

1.2

Johnson & Johnson

1.2

1.3

Pfizer, Inc.

1.1

1.1

 

16.5

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

19.2

17.9

Financials

15.2

15.1

Consumer Discretionary

11.8

11.4

Health Care

11.3

11.7

Energy

11.1

11.3

Industrials

11.0

10.7

Consumer Staples

9.3

9.7

Materials

4.0

4.2

Utilities

3.4

3.7

Telecommunication Services

2.5

2.8

Annual Report

Spartan Total Market Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 98.8%

Shares

Value

CONSUMER DISCRETIONARY - 11.8%

Auto Components - 0.4%

American Axle & Manufacturing Holdings, Inc. (a)(d)

49,377

$ 562,404

Amerigon, Inc. (a)(d)

16,405

241,482

BorgWarner, Inc. (a)(d)

82,983

6,874,312

Cooper Tire & Rubber Co.

41,865

694,959

Dana Holding Corp.

106,956

1,711,296

Dorman Products, Inc. (a)

7,023

318,914

Drew Industries, Inc. (a)(d)

13,918

381,353

Exide Technologies (a)(d)

48,227

143,234

Federal-Mogul Corp. Class A (a)

43,356

746,157

Fuel Systems Solutions, Inc. (a)

11,625

301,088

Gentex Corp. (d)

109,863

2,598,260

Johnson Controls, Inc.

551,254

17,987,418

Lear Corp.

77,108

3,486,053

Modine Manufacturing Co. (a)

32,309

293,366

Motorcar Parts of America, Inc. (a)

7,628

62,931

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

7,089

6,557

Spartan Motors, Inc.

29,995

171,271

Standard Motor Products, Inc.

17,952

407,869

Stoneridge, Inc. (a)

17,302

167,310

Strattec Security Corp.

672

15,301

Superior Industries International, Inc. (d)

24,943

450,969

Tenneco, Inc. (a)(d)

43,438

1,672,363

The Goodyear Tire & Rubber Co. (a)

174,336

2,241,961

Tower International, Inc. (a)

4,070

51,852

TRW Automotive Holdings Corp. (a)(d)

77,357

3,538,309

UQM Technologies, Inc. (a)(d)

14,381

23,010

Visteon Corp. (a)

38,157

2,049,794

 

47,199,793

Automobiles - 0.5%

Ford Motor Co.

3,061,154

37,897,087

General Motors Co. (a)(d)

502,574

13,076,975

Harley-Davidson, Inc.

177,195

8,253,743

Tesla Motors, Inc. (a)(d)

44,292

1,479,796

Thor Industries, Inc. (d)

34,954

1,138,452

Winnebago Industries, Inc. (a)(d)

22,867

203,974

 

62,050,027

Distributors - 0.1%

Core-Mark Holding Co., Inc.

6,212

248,977

Genuine Parts Co.

141,853

8,891,346

LKQ Corp. (a)

107,839

3,435,751

Pool Corp. (d)

41,433

1,508,161

VOXX International Corp. (a)

18,073

231,154

Weyco Group, Inc.

1,992

46,493

 

14,361,882

Diversified Consumer Services - 0.3%

American Public Education, Inc. (a)(d)

16,975

664,741

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

108,948

4,645,543

Archipelago Learning, Inc. (a)

7,369

67,353

 

Shares

Value

Ascent Capital Group, Inc. (a)(d)

15,290

$ 752,880

Bridgepoint Education, Inc. (a)(d)

10,994

267,814

Capella Education Co. (a)(d)

13,090

507,892

Career Education Corp. (a)

44,821

386,357

Carriage Services, Inc.

4,102

24,571

Coinstar, Inc. (a)(d)

21,619

1,258,874

Collectors Universe, Inc.

4,772

72,773

Corinthian Colleges, Inc. (a)(d)

84,173

377,937

DeVry, Inc.

44,629

1,585,668

Education Management Corp. (a)

26,671

481,945

Grand Canyon Education, Inc. (a)

21,711

371,475

H&R Block, Inc.

266,520

4,344,276

Hillenbrand, Inc.

60,464

1,388,858

ITT Educational Services, Inc. (a)(d)

23,503

1,613,246

K12, Inc. (a)(d)

24,400

526,064

Learning Tree International, Inc. (a)

3,285

19,020

Lincoln Educational Services Corp.

15,671

132,577

Mac-Gray Corp.

7,087

98,793

Matthews International Corp. Class A

22,471

697,050

National American University Holdings, Inc.

5,378

37,162

Princeton Review, Inc. (a)

14,908

1,643

Regis Corp.

37,626

651,306

School Specialty, Inc. (a)(d)

13,358

42,746

Service Corp. International (d)

202,046

2,291,202

Sotheby's Class A (Ltd. vtg.) (d)

59,342

2,334,514

Steiner Leisure Ltd. (a)

10,649

532,876

Stewart Enterprises, Inc. Class A

55,722

346,591

Strayer Education, Inc. (d)

14,558

1,497,945

Universal Technical Institute, Inc.

29,419

382,153

Weight Watchers International, Inc.

25,755

2,008,375

 

30,412,220

Hotels, Restaurants & Leisure - 2.2%

AFC Enterprises, Inc. (a)

18,286

292,393

Ambassadors Group, Inc.

20,059

105,711

Ameristar Casinos, Inc.

18,903

375,036

Bally Technologies, Inc. (a)

38,305

1,644,817

Benihana, Inc.

2,149

22,328

Biglari Holdings, Inc. (a)

607

249,180

BJ's Restaurants, Inc. (a)(d)

21,746

1,079,689

Bluegreen Corp. (a)

11,189

35,133

Bob Evans Farms, Inc.

27,901

1,026,757

Boyd Gaming Corp. (a)(d)

49,786

398,786

Bravo Brio Restaurant Group, Inc. (a)

12,451

240,055

Brinker International, Inc.

62,217

1,716,567

Buffalo Wild Wings, Inc. (a)(d)

13,815

1,194,859

Caesars Entertainment Corp.

1,145

12,961

Caribou Coffee Co., Inc. (a)(d)

18,083

299,816

Carnival Corp. unit

312,157

9,455,236

Carrols Restaurant Group, Inc. (a)

6,381

75,806

CEC Entertainment, Inc. (d)

20,553

784,302

Chipotle Mexican Grill, Inc. (a)(d)

25,363

9,897,150

Choice Hotels International, Inc. (d)

41,734

1,567,946

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Churchill Downs, Inc.

10,397

$ 542,723

Cracker Barrel Old Country Store, Inc. (d)

18,601

1,035,518

Darden Restaurants, Inc. (d)

97,411

4,966,987

Denny's Corp. (a)(d)

71,197

295,468

DineEquity, Inc. (a)

12,829

684,812

Domino's Pizza, Inc. (a)(d)

54,176

2,083,609

Dover Downs Gaming & Entertainment, Inc.

1,508

3,619

Dover Motorsports, Inc. (a)

9,993

13,191

Dunkin' Brands Group, Inc. (a)

38,382

1,114,613

Einstein Noah Restaurant Group, Inc.

3,797

53,272

Empire Resorts, Inc. (a)

4,429

12,933

Famous Dave's of America, Inc. (a)

2,311

25,236

Gaylord Entertainment Co. (a)(d)

27,271

811,585

Great Wolf Resorts, Inc. (a)

11,425

46,271

Hyatt Hotels Corp. Class A (a)

51,855

2,147,316

International Game Technology

238,801

3,586,791

International Speedway Corp. Class A (d)

20,854

524,687

Interval Leisure Group, Inc. (a)

29,497

397,915

Isle of Capri Casinos, Inc. (a)(d)

20,657

131,172

Jack in the Box, Inc. (a)(d)

42,139

1,005,015

Jamba, Inc. (a)(d)

95,683

202,848

Kona Grill, Inc. (a)

4,029

21,676

Krispy Kreme Doughnuts, Inc. (a)(d)

47,141

385,613

Lakes Entertainment, Inc. (a)

2,872

5,629

Las Vegas Sands Corp.

300,298

16,699,572

Life Time Fitness, Inc. (a)(d)

28,392

1,404,552

Luby's, Inc. (a)(d)

14,614

72,485

Marcus Corp.

22,859

275,451

Marriott International, Inc. Class A (d)

237,684

8,385,492

Marriott Vacations Worldwide Corp.

23,385

582,988

McDonald's Corp.

826,668

82,071,599

MGM Mirage, Inc. (a)(d)

250,383

3,447,774

Monarch Casino & Resort, Inc. (a)

4,802

50,325

Morgans Hotel Group Co. (a)

27,678

141,988

MTR Gaming Group, Inc. (a)

5,748

20,635

Multimedia Games Holdng Co., Inc. (a)

20,726

212,027

O'Charleys, Inc. (a)(d)

10,158

100,666

Orient Express Hotels Ltd. Class A (a)(d)

63,690

629,894

P.F. Chang's China Bistro, Inc. (d)

18,729

717,695

Panera Bread Co. Class A (a)

26,570

4,107,191

Papa John's International, Inc. (a)(d)

19,260

715,702

Peet's Coffee & Tea, Inc. (a)(d)

15,145

975,187

Penn National Gaming, Inc. (a)

50,336

2,141,797

Pinnacle Entertainment, Inc. (a)

61,922

681,761

Premier Exhibitions, Inc. (a)

1,375

3,369

Red Lion Hotels Corp. (a)

3,129

24,062

Red Robin Gourmet Burgers, Inc. (a)(d)

21,139

727,393

Rick's Cabaret International, Inc. (a)

5,726

53,824

Royal Caribbean Cruises Ltd.

102,343

2,915,752

 

Shares

Value

Ruby Tuesday, Inc. (a)(d)

44,363

$ 345,144

Ruth's Hospitality Group, Inc. (a)(d)

33,916

211,297

Scientific Games Corp. Class A (a)

45,645

479,729

Shuffle Master, Inc. (a)

42,130

615,098

Six Flags Entertainment Corp.

40,264

1,822,349

Sonic Corp. (a)

98,965

817,451

Speedway Motorsports, Inc.

7,569

117,471

Starbucks Corp.

593,530

28,821,817

Starwood Hotels & Resorts Worldwide, Inc.

164,349

8,858,411

Texas Roadhouse, Inc. Class A

57,171

956,471

The Cheesecake Factory, Inc. (a)(d)

34,878

1,033,784

Town Sports International Holdings, Inc. (a)

13,107

135,002

Vail Resorts, Inc. (d)

24,951

1,050,437

Wendy's Co.

250,660

1,270,846

WMS Industries, Inc. (a)

38,370

845,291

Wyndham Worldwide Corp.

137,748

6,059,535

Wynn Resorts Ltd.

66,112

7,836,916

Yum! Brands, Inc.

377,002

24,972,612

 

263,981,869

Household Durables - 0.4%

American Greetings Corp. Class A (d)

30,155

452,325

Bassett Furniture Industries, Inc.

1,847

15,330

Beazer Homes USA, Inc. (a)(d)

77,365

241,379

Blyth, Inc. (d)

8,019

511,612

Brookfield Residential Properties, Inc. (a)

18,869

196,765

Cavco Industries, Inc. (a)(d)

9,813

442,468

Cobra Electronics Corp. (a)

1,032

4,541

CSS Industries, Inc.

12,944

253,702

D.R. Horton, Inc.

195,548

2,804,158

Dixie Group, Inc. (a)

2,977

12,742

Emerson Radio Corp. (a)

23,724

48,160

Ethan Allen Interiors, Inc.

19,507

492,552

Flexsteel Industries, Inc.

2,547

43,554

Furniture Brands International, Inc. (a)

37,283

59,653

Garmin Ltd.

86,587

4,086,041

Harman International Industries, Inc.

71,938

3,534,314

Helen of Troy Ltd. (a)(d)

25,644

833,430

Hooker Furniture Corp.

12,895

154,869

Hovnanian Enterprises, Inc. Class A (a)(d)

261,523

724,419

iRobot Corp. (a)

21,633

552,074

Jarden Corp. (d)

66,002

2,327,891

KB Home (d)

56,985

650,769

Kid Brands, Inc. (a)

16,651

49,786

Koss Corp.

2,669

14,866

La-Z-Boy, Inc. (a)(d)

34,909

498,850

Leggett & Platt, Inc.

100,406

2,272,188

Lennar Corp. Class A (d)

117,519

2,747,594

Libbey, Inc. (a)(d)

16,641

208,845

Lifetime Brands, Inc.

2,385

27,857

M.D.C. Holdings, Inc.

25,191

619,195

M/I Homes, Inc. (a)(d)

24,871

301,188

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Meritage Homes Corp. (a)(d)

26,992

$ 698,823

Mohawk Industries, Inc. (a)

39,595

2,514,678

Newell Rubbermaid, Inc.

216,340

3,959,022

NVR, Inc. (a)(d)

4,152

2,873,184

PulteGroup, Inc. (a)(d)

265,604

2,342,627

Ryland Group, Inc.

32,303

585,653

Sealy Corp., Inc. (a)(d)

37,146

63,891

Skullcandy, Inc. (a)(d)

12,653

178,660

Skyline Corp. (d)

21,741

175,015

Standard Pacific Corp. (a)(d)

98,412

431,045

Stanley Furniture Co., Inc. (a)

5,699

19,263

Tempur-Pedic International, Inc. (a)(d)

57,648

4,554,192

Toll Brothers, Inc. (a)(d)

105,058

2,464,661

Tupperware Brands Corp.

43,005

2,695,983

Universal Electronics, Inc. (a)(d)

14,332

280,334

Whirlpool Corp.

56,428

4,264,264

Zagg, Inc. (a)(d)

21,268

223,314

 

53,507,726

Internet & Catalog Retail - 0.8%

1-800-FLOWERS.com, Inc. Class A (a)

24,206

66,082

Amazon.com, Inc. (a)(d)

282,977

50,848,137

Blue Nile, Inc. (a)(d)

11,337

404,164

dELiA*s, Inc. (a)

2,977

3,156

Expedia, Inc.

75,256

2,562,467

Gaiam, Inc. Class A (a)

12,609

45,645

Geeknet, Inc. (a)

1,180

17,122

Groupon, Inc. Class A (a)(d)

27,415

540,487

Hollywood Media Corp. (a)

1,032

1,146

HomeAway, Inc. (d)

22,951

607,742

HSN, Inc.

29,532

1,097,409

Liberty Media Corp. Interactive Series A (a)

513,952

9,641,740

Netflix, Inc. (a)

39,072

4,326,443

NutriSystem, Inc.

26,922

303,411

Orbitz Worldwide, Inc. (a)

31,286

112,317

Overstock.com, Inc. (a)(d)

14,467

92,010

PetMed Express, Inc.

32,292

393,317

Priceline.com, Inc. (a)

41,099

25,769,895

Shutterfly, Inc. (a)(d)

21,444

586,708

TripAdvisor, Inc. (a)

75,256

2,425,501

U.S. Auto Parts Network, Inc. (a)

5,048

24,483

ValueVision Media, Inc. Class A (a)

18,644

32,068

Vitacost.com, Inc. (a)

15,384

125,072

 

100,026,522

Leisure Equipment & Products - 0.2%

Arctic Cat, Inc. (a)

18,718

688,448

Black Diamond, Inc. (a)

20,004

165,633

Brunswick Corp. (d)

68,451

1,636,663

Callaway Golf Co.

77,147

505,313

Hasbro, Inc.

86,466

3,053,979

 

Shares

Value

JAKKS Pacific, Inc.

23,770

$ 369,148

Johnson Outdoors, Inc. Class A (a)

3,505

57,622

Leapfrog Enterprises, Inc. Class A (a)

33,741

237,199

Marine Products Corp.

11,741

73,029

Mattel, Inc.

298,569

9,685,578

Meade Instruments Corp. (a)

112

371

Nautilus, Inc. (a)

5,159

14,342

Polaris Industries, Inc.

56,100

3,705,966

Smith & Wesson Holding Corp. (a)

91,237

477,170

Steinway Musical Instruments, Inc. (a)

4,620

115,315

Sturm, Ruger & Co., Inc.

24,417

1,020,142

Summer Infant, Inc. (a)

32,605

195,304

 

22,001,222

Media - 3.1%

A.H. Belo Corp. Class A

22,177

104,675

AMC Networks, Inc. Class A

47,269

2,145,540

Arbitron, Inc. (d)

18,967

634,256

Ballantyne of Omaha, Inc. (a)

17,964

88,203

Belo Corp. Series A (d)

87,121

624,658

Cablevision Systems Corp. - NY Group Class A

169,025

2,405,226

Carmike Cinemas, Inc. (a)(d)

21,753

163,800

CBS Corp. Class B

537,459

16,070,024

Charter Communications, Inc. Class A (a)

31,792

2,015,931

Cinemark Holdings, Inc.

62,073

1,298,567

Clear Channel Outdoor Holding, Inc. Class A

41,131

544,163

Comcast Corp. Class A

2,191,483

64,385,771

Crown Media Holdings, Inc. Class A (a)(d)

24,979

31,973

Cumulus Media, Inc. Class A (a)(d)

68,791

236,641

Dex One Corp. (a)

48,569

84,996

Digital Generation, Inc. (a)(d)

26,444

264,440

DIRECTV (a)

602,724

27,918,176

Discovery Communications, Inc. (a)(d)

207,237

9,667,606

DISH Network Corp. Class A

161,315

4,705,559

DreamWorks Animation SKG, Inc. Class A (a)(d)

47,533

820,420

E.W. Scripps Co. Class A (a)

24,274

231,088

Emmis Communications Corp. Class A (a)

7,973

5,820

Entercom Communications Corp. Class A (a)

21,235

148,645

Entravision Communication Corp. Class A

55,710

92,479

Fisher Communications, Inc. (a)

2,670

76,549

Gannett Co., Inc.

170,648

2,532,416

Gray Television, Inc. (a)

7,475

15,399

Harris Interactive, Inc. (a)

5,389

4,688

Harte-Hanks, Inc.

45,482

397,513

Insignia Systems, Inc.

5,038

10,781

Interpublic Group of Companies, Inc.

356,851

4,182,294

John Wiley & Sons, Inc. Class A

36,984

1,679,074

Journal Communications, Inc. Class A (a)

19,668

93,423

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Knology, Inc. (a)

52,466

$ 935,469

Lamar Advertising Co. Class A (a)(d)

40,510

1,324,677

Liberty Global, Inc. Class A (a)

225,788

11,330,042

Liberty Media Corp. Capital Series A (a)

90,172

8,105,561

LIN TV Corp. Class A (a)

36,007

148,349

Live Nation Entertainment, Inc. (a)(d)

134,515

1,253,680

LodgeNet Entertainment Corp. (a)(d)

35,253

120,213

Madison Square Garden Co. Class A (a)

41,476

1,321,011

Martha Stewart Living Omnimedia, Inc. Class A

39,255

176,648

McGraw-Hill Companies, Inc.

231,759

10,786,064

Media General, Inc. Class A (a)(d)

21,745

122,859

Meredith Corp. (d)

29,133

958,476

Morningstar, Inc.

20,110

1,203,986

National CineMedia, Inc.

40,280

640,855

Navarre Corp. (a)

5,954

10,122

New Frontier Media, Inc. (a)

5,133

6,314

News Corp. Class A

1,849,783

36,755,188

Nexstar Broadcasting Group, Inc. Class A (a)

2,664

21,978

Omnicom Group, Inc.

236,408

11,688,012

Outdoor Channel Holdings, Inc.

3,578

25,225

Pandora Media, Inc.

47,948

626,201

Radio One, Inc. Class D (non-vtg.) (a)(d)

32,336

31,043

ReachLocal, Inc. (a)

5,194

40,513

Regal Entertainment Group Class A

55,158

762,284

Rentrak Corp. (a)(d)

4,521

93,946

Saga Communications, Inc. Class A (a)

201

7,542

Salem Communications Corp. Class A (a)

1,732

4,555

Scholastic Corp.

17,229

526,691

Scripps Networks Interactive, Inc. Class A

65,856

2,976,691

Sinclair Broadcast Group, Inc. Class A

37,417

427,302

Sirius XM Radio, Inc. (a)(d)

2,910,962

6,578,774

Spanish Broadcasting System, Inc. Class A (a)

698

3,043

SuperMedia, Inc. (a)(d)

19,383

55,242

The McClatchy Co. Class A (a)(d)

36,929

93,800

The New York Times Co. Class A (a)(d)

86,508

570,088

The Walt Disney Co.

1,395,945

58,615,731

Time Warner Cable, Inc.

256,081

20,317,467

Time Warner, Inc.

813,203

30,259,284

Valassis Communications, Inc. (a)(d)

33,863

845,898

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

439,392

20,923,847

Virgin Media, Inc.

250,243

6,306,124

Washington Post Co. Class B (d)

3,668

1,444,825

World Wrestling Entertainment, Inc. Class A (d)

44,310

404,993

 

382,531,407

Multiline Retail - 0.7%

Big Lots, Inc. (a)

53,063

2,326,813

Dillard's, Inc. Class A

32,687

1,998,483

 

Shares

Value

Dollar General Corp. (a)

100,000

$ 4,206,000

Dollar Tree, Inc. (a)

104,600

9,258,146

Family Dollar Stores, Inc.

93,448

5,045,258

Fred's, Inc. Class A

41,012

568,016

Gordmans Stores, Inc. (a)

4,621

70,101

JCPenney Co., Inc. (d)

118,147

4,678,621

Kohl's Corp.

200,742

9,972,863

Macy's, Inc.

332,684

12,632,011

Nordstrom, Inc.

125,044

6,704,859

Saks, Inc. (a)(d)

100,086

1,166,002

Sears Holdings Corp. (a)(d)

33,101

2,305,816

Target Corp.

493,763

27,991,424

The Bon-Ton Stores, Inc. (d)

35,903

172,334

Tuesday Morning Corp. (a)

26,882

92,205

 

89,188,952

Specialty Retail - 2.3%

Aarons, Inc. Class A

52,315

1,461,681

Abercrombie & Fitch Co. Class A (d)

65,044

2,978,365

Advance Auto Parts, Inc. (d)

56,386

4,813,673

Aeropostale, Inc. (a)(d)

64,770

1,163,917

America's Car Mart, Inc. (a)(d)

10,422

464,925

American Eagle Outfitters, Inc.

147,326

2,142,120

ANN, Inc. (a)

46,918

1,120,871

Asbury Automotive Group, Inc. (a)(d)

22,455

582,258

Ascena Retail Group, Inc. (a)

45,390

1,752,054

AutoNation, Inc. (a)(d)

41,064

1,399,461

AutoZone, Inc. (a)

25,418

9,518,533

Barnes & Noble, Inc. (a)(d)

28,244

375,928

bebe Stores, Inc.

66,951

599,881

Bed Bath & Beyond, Inc. (a)(d)

191,161

11,419,958

Best Buy Co., Inc. (d)

235,305

5,812,034

Big 5 Sporting Goods Corp.

16,237

126,486

Body Central Corp. (a)

19,422

540,708

Books-A-Million, Inc. (d)

4,414

11,565

Brown Shoe Co., Inc.

39,452

425,293

Build-A-Bear Workshop, Inc. (a)

4,049

22,067

Cabela's, Inc. Class A (a)(d)

35,549

1,261,279

Cache, Inc. (a)

2,880

17,942

CarMax, Inc. (a)(d)

168,519

5,171,848

Casual Male Retail Group, Inc. (a)(d)

14,093

44,393

Charming Shoppes, Inc. (a)(d)

68,622

387,714

Chico's FAS, Inc.

126,827

1,903,673

Christopher & Banks Corp.

18,173

38,890

Citi Trends, Inc. (a)(d)

14,433

156,454

Coldwater Creek, Inc. (a)

52,942

49,765

Collective Brands, Inc. (a)

44,911

809,296

Conn's, Inc. (a)

7,800

103,428

Cost Plus, Inc. (a)(d)

9,618

126,381

Destination Maternity Corp.

9,860

177,283

Dick's Sporting Goods, Inc. (d)

70,000

3,133,200

DSW, Inc. Class A (d)

21,867

1,233,299

Express, Inc. (a)

55,952

1,331,658

Finish Line, Inc. Class A

36,835

846,837

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Foot Locker, Inc. (d)

110,785

$ 3,231,598

Francescas Holdings Corp. (a)

17,371

398,664

GameStop Corp. Class A (d)

106,346

2,422,562

Gap, Inc. (d)

219,692

5,132,005

Genesco, Inc. (a)(d)

19,944

1,358,984

GNC Holdings, Inc.

32,604

1,055,391

Group 1 Automotive, Inc.

17,193

886,643

Guess?, Inc. (d)

45,871

1,589,430

Haverty Furniture Companies, Inc.

22,550

248,050

hhgregg, Inc. (a)(d)

15,184

173,553

Hibbett Sports, Inc. (a)(d)

22,731

1,112,682

Home Depot, Inc.

1,241,845

59,074,567

Hot Topic, Inc. (d)

51,429

458,747

Jos. A. Bank Clothiers, Inc. (a)(d)

18,868

971,513

Kirkland's, Inc. (a)

10,699

170,649

Limited Brands, Inc.

212,274

9,877,109

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

20,666

487,924

Lowe's Companies, Inc.

1,010,000

28,663,800

Lumber Liquidators Holdings, Inc. (a)(d)

21,619

473,240

MarineMax, Inc. (a)(d)

10,125

81,810

Midas, Inc. (a)

17,343

158,342

Monro Muffler Brake, Inc.

28,456

1,305,277

New York & Co., Inc. (a)

19,427

50,704

O'Reilly Automotive, Inc. (a)

100,461

8,689,877

Office Depot, Inc. (a)(d)

201,295

664,274

OfficeMax, Inc. (a)(d)

62,318

348,981

Pacific Sunwear of California, Inc. (a)(d)

60,120

126,252

Penske Automotive Group, Inc. (d)

33,321

802,370

Perfumania Holdings, Inc. (a)

876

8,769

PetSmart, Inc. (d)

105,988

5,907,771

Pier 1 Imports, Inc. (a)(d)

84,654

1,453,509

RadioShack Corp.

82,121

582,238

Rent-A-Center, Inc. (d)

45,857

1,624,255

Ross Stores, Inc.

181,478

9,678,222

rue21, Inc. (a)

10,092

269,255

Sally Beauty Holdings, Inc. (a)

112,253

2,671,621

Select Comfort Corp. (a)(d)

50,428

1,492,165

Shoe Carnival, Inc. (a)

3,572

93,515

Signet Jewelers Ltd.

64,202

3,011,074

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

32,657

559,414

Stage Stores, Inc.

23,252

347,617

Staples, Inc. (d)

578,690

8,483,595

Stein Mart, Inc. (a)

16,975

121,711

Systemax, Inc. (a)(d)

6,560

126,608

Talbots, Inc. (a)

34,649

102,561

Teavana Holdings, Inc. (a)(d)

5,562

130,429

The Buckle, Inc.

18,518

831,829

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

30,985

840,003

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

18,479

937,809

 

Shares

Value

The Men's Wearhouse, Inc.

38,499

$ 1,491,066

The Pep Boys - Manny, Moe & Jack (d)

62,793

944,407

Tiffany & Co., Inc.

113,656

7,388,777

TJX Companies, Inc.

621,248

22,743,889

Tractor Supply Co.

58,000

4,957,260

Trans World Entertainment Corp. (a)

2,977

6,966

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

36,000

2,996,640

Urban Outfitters, Inc. (a)(d)

92,367

2,622,299

Vitamin Shoppe, Inc. (a)(d)

18,626

790,301

West Marine, Inc. (a)

3,285

34,821

Wet Seal, Inc. Class A (a)(d)

66,930

234,255

Williams-Sonoma, Inc. (d)

84,343

3,255,640

Winmark Corp.

391

22,627

Zale Corp. (a)

22,527

72,312

Zumiez, Inc. (a)

17,893

562,198

 

280,937,544

Textiles, Apparel & Luxury Goods - 0.8%

American Apparel, Inc. (a)

29,392

22,338

Carter's, Inc. (a)(d)

38,101

1,850,566

Cherokee, Inc.

14,744

166,165

Coach, Inc.

229,797

17,198,007

Columbia Sportswear Co. (d)

9,939

496,254

Crocs, Inc. (a)(d)

69,757

1,370,725

Culp, Inc. (a)

7,038

73,547

Deckers Outdoor Corp. (a)(d)

30,415

2,273,825

Delta Apparel, Inc. (a)

1,905

31,223

Fossil, Inc. (a)(d)

40,759

4,971,783

G-III Apparel Group Ltd. (a)(d)

9,815

244,590

Hallwood Group, Inc. (a)

605

7,442

Hanesbrands, Inc. (a)(d)

68,808

1,976,854

Iconix Brand Group, Inc. (a)(d)

52,215

948,224

Joe's Jeans, Inc. (a)

32,503

27,790

K-Swiss, Inc. Class A (a)(d)

23,242

77,396

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

13,384

209,995

Lacrosse Footwear, Inc.

810

10,360

Liz Claiborne, Inc. (a)(d)

79,525

777,755

Maidenform Brands, Inc. (a)

18,000

378,000

Michael Kors Holdings Ltd.

41,224

1,782,938

Movado Group, Inc.

12,323

263,712

NIKE, Inc. Class B

303,000

32,699,760

Oxford Industries, Inc.

8,687

437,825

Perry Ellis International, Inc. (a)(d)

7,954

138,638

PVH Corp.

48,056

4,085,241

Quiksilver, Inc. (a)

80,002

374,409

R.G. Barry Corp.

2,683

37,508

Ralph Lauren Corp.

48,000

8,339,040

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

26,486

338,226

Steven Madden Ltd. (a)(d)

32,649

1,409,784

Superior Uniform Group, Inc.

859

10,720

The Jones Group, Inc.

62,712

617,713

True Religion Apparel, Inc. (a)

26,399

696,142

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

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

27,400

$ 2,445,176

Unifi, Inc. (a)

18,843

156,208

Vera Bradley, Inc. (a)(d)

16,362

600,485

VF Corp.

71,637

10,462,584

Warnaco Group, Inc. (a)(d)

50,511

2,965,501

Wolverine World Wide, Inc. (d)

34,429

1,313,122

 

102,287,571

TOTAL CONSUMER DISCRETIONARY

1,448,486,735

CONSUMER STAPLES - 9.3%

Beverages - 2.0%

Beam, Inc.

134,223

7,393,003

Boston Beer Co., Inc. Class A (a)(d)

7,731

730,734

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

80,869

6,602,954

Central European Distribution Corp. (a)(d)

104,154

454,111

Coca-Cola Bottling Co. CONSOLIDATED

3,094

199,377

Coca-Cola Enterprises, Inc.

237,534

6,864,733

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

160,834

3,512,615

Craft Brew Alliance, Inc. (a)

5,908

36,925

Dr Pepper Snapple Group, Inc.

184,807

7,031,906

Jones Soda Co. (a)

15,000

7,500

MGP Ingredients, Inc.

4,299

25,966

Molson Coors Brewing Co. Class B

123,862

5,442,496

Monster Beverage Corp. (a)

117,204

6,702,897

National Beverage Corp.

7,694

123,181

PepsiCo, Inc.

1,244,846

78,350,607

Primo Water Corp. (a)

8,907

23,693

The Coca-Cola Co.

1,673,532

116,912,946

 

240,415,644

Food & Staples Retailing - 1.9%

Andersons, Inc. (d)

16,533

712,407

Arden Group, Inc. Class A

86

7,700

Casey's General Stores, Inc.

29,040

1,487,719

Chefs' Warehouse Holdings (a)

6,997

146,937

Costco Wholesale Corp.

345,917

29,769,617

Crumbs Bake Shop, Inc. (a)

5,760

21,658

CVS Caremark Corp.

1,080,716

48,740,292

Fresh Market, Inc. (a)

21,393

963,113

Ingles Markets, Inc. Class A

14,662

262,010

Kroger Co.

454,411

10,810,438

Nash-Finch Co. (d)

11,468

307,457

PriceSmart, Inc.

12,950

836,959

Rite Aid Corp. (a)

488,242

751,893

Roundy's, Inc.

8,260

82,600

Ruddick Corp.

32,261

1,321,411

Safeway, Inc. (d)

256,994

5,512,521

Spartan Stores, Inc. (d)

24,920

444,573

 

Shares

Value

SUPERVALU, Inc. (d)

144,357

$ 942,651

Susser Holdings Corp. (a)

14,504

367,531

Sysco Corp.

467,941

13,766,824

The Pantry, Inc. (a)(d)

24,320

302,298

United Natural Foods, Inc. (a)(d)

43,201

1,966,510

Village Super Market, Inc. Class A

3,352

100,862

Wal-Mart Stores, Inc.

1,420,000

83,893,600

Walgreen Co.

720,814

23,902,192

Weis Markets, Inc.

8,067

345,752

Whole Foods Market, Inc. (d)

118,372

9,557,355

Winn-Dixie Stores, Inc. (a)(d)

64,909

615,337

 

237,940,217

Food Products - 1.7%

Alico, Inc.

172

4,001

Archer Daniels Midland Co.

508,690

15,871,128

B&G Foods, Inc. Class A (d)

31,304

728,757

Bridgford Foods Corp. (a)

344

2,986

Bunge Ltd.

116,141

7,818,612

Cal-Maine Foods, Inc.

14,807

570,070

Calavo Growers, Inc.

6,680

183,700

Campbell Soup Co. (d)

177,820

5,924,962

Chiquita Brands International, Inc. (a)(d)

30,757

294,960

Coffee Holding Co., Inc.

3,401

26,868

ConAgra Foods, Inc.

319,463

8,385,904

Corn Products International, Inc.

54,809

3,143,296

Darling International, Inc. (a)(d)

84,068

1,344,247

Dean Foods Co. (a)

123,257

1,511,131

Diamond Foods, Inc. (d)

18,346

438,836

Dole Food Co., Inc. (a)(d)

21,106

202,195

Farmer Brothers Co.

3,100

34,317

Flowers Foods, Inc.

97,053

1,857,594

Fresh Del Monte Produce, Inc.

29,950

672,677

General Mills, Inc.

489,731

18,761,595

Green Mountain Coffee Roasters, Inc. (a)(d)

100,000

6,497,000

H.J. Heinz Co. (d)

263,879

13,909,062

Hain Celestial Group, Inc. (a)(d)

37,478

1,530,602

Hershey Co. (d)

139,801

8,485,921

Hormel Foods Corp.

107,713

3,066,589

Imperial Sugar Co. (d)

14,457

83,128

J&J Snack Foods Corp.

10,285

515,998

John B. Sanfilippo & Son, Inc. (a)

2,548

27,264

Kellogg Co.

206,669

10,819,122

Kraft Foods, Inc. Class A

1,312,836

49,979,667

Lancaster Colony Corp.

17,892

1,166,022

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

101,330

5,112,099

Mead Johnson Nutrition Co. Class A

173,455

13,486,126

Omega Protein Corp. (a)

32,056

264,783

Pilgrims Pride Corp. (d)

23,854

149,565

Pilgrims Pride Corp. rights 3/1/12 (a)

30,088

11,035

Post Holdings, Inc. (a)

19,173

597,047

Ralcorp Holdings, Inc. (a)

38,347

2,860,686

Sanderson Farms, Inc.

16,208

797,434

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - continued

Sara Lee Corp.

451,262

$ 9,138,056

Seneca Foods Corp. Class A (a)

7,029

180,083

Smart Balance, Inc. (a)

45,561

272,910

Smithfield Foods, Inc. (a)(d)

112,502

2,635,922

Snyders-Lance, Inc.

43,541

977,495

The J.M. Smucker Co.

85,628

6,449,501

Tootsie Roll Industries, Inc. (d)

17,168

399,156

TreeHouse Foods, Inc. (a)(d)

29,752

1,713,715

Tyson Foods, Inc. Class A

218,213

4,126,408

 

213,030,232

Household Products - 1.8%

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

34,714

332,213

Church & Dwight Co., Inc. (d)

119,008

5,681,442

Clorox Co.

100,862

6,819,280

Colgate-Palmolive Co. (d)

360,000

33,544,800

Energizer Holdings, Inc. (a)(d)

53,405

4,082,812

Harbinger Group, Inc. (a)

756

3,447

Kimberly-Clark Corp.

311,479

22,700,590

Oil-Dri Corp. of America

644

13,389

Orchids Paper Products Co.

612

10,955

Procter & Gamble Co.

2,204,967

148,879,372

Spectrum Brands Holdings, Inc. (a)

17,958

510,366

WD-40 Co.

17,410

750,023

 

223,328,689

Personal Products - 0.3%

Avon Products, Inc.

349,895

6,539,538

Elizabeth Arden, Inc. (a)(d)

17,715

658,112

Estee Lauder Companies, Inc. Class A

198,684

11,630,961

Herbalife Ltd.

86,338

5,716,439

Inter Parfums, Inc.

14,485

244,362

Mannatech, Inc. (a)

599

2,336

MediFast, Inc. (a)(d)

10,225

165,952

Nature's Sunshine Products, Inc. (a)

2,859

42,170

Nu Skin Enterprises, Inc. Class A

53,831

3,109,279

Nutraceutical International Corp. (a)

2,650

34,503

Prestige Brands Holdings, Inc. (a)

29,892

493,218

Revlon, Inc. (a)

13,966

211,725

Schiff Nutrition International, Inc. (a)(d)

11,821

131,922

The Female Health Co.

4,862

23,921

USANA Health Sciences, Inc. (a)(d)

10,334

383,391

 

29,387,829

Tobacco - 1.6%

Alliance One International, Inc. (a)(d)

89,449

330,067

Altria Group, Inc.

1,679,474

50,552,167

Lorillard, Inc.

110,571

14,493,647

Philip Morris International, Inc.

1,403,953

117,258,155

Reynolds American, Inc.

282,694

11,853,359

Star Scientific, Inc. (a)(d)

64,344

241,290

 

Shares

Value

Universal Corp.

22,476

$ 1,032,547

Vector Group Ltd. (d)

25,200

457,380

 

196,218,612

TOTAL CONSUMER STAPLES

1,140,321,223

ENERGY - 11.1%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)(d)

71,156

3,384,179

Baker Hughes, Inc.

353,994

17,798,818

Basic Energy Services, Inc. (a)(d)

31,153

618,699

Bolt Technology Corp.

1,626

22,406

Bristow Group, Inc.

25,621

1,209,567

C&J Energy Services, Inc. (d)

9,114

185,196

Cal Dive International, Inc. (a)(d)

78,352

227,221

Cameron International Corp. (a)(d)

182,754

10,181,225

Carbo Ceramics, Inc. (d)

15,710

1,439,822

Dawson Geophysical Co. (a)

7,871

298,232

Diamond Offshore Drilling, Inc. (d)

64,380

4,408,099

Dresser-Rand Group, Inc. (a)(d)

57,305

3,009,659

Dril-Quip, Inc. (a)(d)

25,155

1,760,598

ENGlobal Corp. (a)

5,637

12,965

Exterran Holdings, Inc. (a)(d)

43,308

623,635

FMC Technologies, Inc. (a)(d)

183,330

9,245,332

Geokinetics, Inc. (a)

3,794

7,550

Global Geophysical Services, Inc. (a)

18,062

194,708

Gulf Island Fabrication, Inc. (d)

10,744

314,907

Gulfmark Offshore, Inc. Class A (a)

20,706

1,040,269

Halliburton Co.

735,826

26,923,873

Helix Energy Solutions Group, Inc. (a)(d)

73,132

1,407,060

Helmerich & Payne, Inc. (d)

72,146

4,422,550

Hercules Offshore, Inc. (a)

133,946

680,446

Hornbeck Offshore Services, Inc. (a)

24,578

1,001,554

ION Geophysical Corp. (a)(d)

95,187

681,539

Key Energy Services, Inc. (a)(d)

103,489

1,765,522

Lufkin Industries, Inc.

23,923

1,905,228

Matrix Service Co. (a)

19,340

256,062

McDermott International, Inc. (a)

177,047

2,312,234

Mitcham Industries, Inc. (a)

8,347

195,069

Nabors Industries Ltd. (a)

221,501

4,824,292

National Oilwell Varco, Inc.

344,829

28,458,737

Natural Gas Services Group, Inc. (a)

21,602

302,212

Newpark Resources, Inc. (a)(d)

85,435

672,373

Noble Corp. (d)

237,885

9,558,219

Oceaneering International, Inc.

84,562

4,589,180

Oil States International, Inc. (a)(d)

36,506

2,965,017

OYO Geospace Corp. (a)(d)

6,500

715,325

Parker Drilling Co. (a)(d)

122,844

777,603

Patterson-UTI Energy, Inc.

122,546

2,379,843

PHI, Inc. (non-vtg.) (a)

18,377

406,132

Pioneer Drilling Co. (a)

46,756

465,690

RigNet, Inc. (a)

15,376

261,392

Rowan Companies, Inc. (a)

91,863

3,386,989

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

RPC, Inc. (d)

43,642

$ 698,708

Schlumberger Ltd.

1,075,278

83,452,326

SEACOR Holdings, Inc. (a)

15,683

1,550,735

Superior Energy Services, Inc. (a)

113,113

3,318,735

Tesco Corp. (a)(d)

25,016

383,245

TETRA Technologies, Inc. (a)

50,020

454,682

TGC Industries, Inc. (a)

2,598

26,344

Tidewater, Inc.

35,470

2,110,465

Union Drilling, Inc. (a)(d)

13,180

88,833

Unit Corp. (a)(d)

34,938

1,662,001

Weatherford International Ltd. (a)

645,319

10,312,198

Willbros Group, Inc. (a)

33,113

139,075

 

261,494,575

Oil, Gas & Consumable Fuels - 9.0%

Abraxas Petroleum Corp. (a)(d)

126,005

506,540

Alon USA Energy, Inc.

9,432

88,661

Alpha Natural Resources, Inc. (a)

175,427

3,255,925

Amyris, Inc. (a)(d)

28,043

150,871

Anadarko Petroleum Corp.

390,202

32,823,792

Apache Corp.

308,807

33,329,540

APCO Oil and Gas International, Inc. (d)

5,546

416,948

Approach Resources, Inc. (a)

13,537

467,839

Arch Coal, Inc.

156,559

2,124,506

ATP Oil & Gas Corp. (a)(d)

43,659

349,272

Barnwell Industries, Inc. (a)

2,847

8,029

Berry Petroleum Co. Class A

38,847

2,096,184

Bill Barrett Corp. (a)(d)

29,806

871,229

Bonanza Creek Energy, Inc.

8,119

151,013

BPZ Energy, Inc. (a)

134,116

430,512

Cabot Oil & Gas Corp.

160,706

5,605,425

Callon Petroleum Co. (a)

31,499

222,383

Carrizo Oil & Gas, Inc. (a)(d)

24,378

686,728

Cheniere Energy, Inc. (a)

68,292

1,027,112

Chesapeake Energy Corp. (d)

523,796

13,094,900

Chevron Corp.

1,600,537

174,650,597

Cimarex Energy Co. (d)

62,545

5,045,505

Clayton Williams Energy, Inc. (a)(d)

7,754

685,066

Clean Energy Fuels Corp. (a)(d)

33,840

635,854

Cloud Peak Energy, Inc. (a)(d)

54,586

967,264

Cobalt International Energy, Inc. (a)(d)

125,251

3,765,045

Comstock Resources, Inc. (a)(d)

32,496

520,911

Concho Resources, Inc. (a)(d)

78,728

8,411,300

ConocoPhillips

985,485

75,438,877

CONSOL Energy, Inc. (d)

196,571

7,041,173

Contango Oil & Gas Co. (a)(d)

16,222

1,031,395

Continental Resources, Inc. (a)(d)

57,407

5,205,667

Crimson Exploration, Inc. (a)

12,416

38,614

Crosstex Energy, Inc. (d)

45,920

630,482

CVR Energy, Inc. (a)(d)

64,562

1,756,732

Delek US Holdings, Inc.

32,818

433,526

Denbury Resources, Inc. (a)(d)

301,228

5,997,449

 

Shares

Value

Devon Energy Corp.

315,153

$ 23,103,866

DHT Holdings, Inc.

59,972

66,569

Double Eagle Petroleum Co. (a)

1,282

8,705

El Paso Corp.

620,823

17,265,088

Endeavour International Corp. (a)(d)

23,917

276,720

Energen Corp.

50,746

2,701,210

Energy Partners Ltd. (a)

15,481

263,796

EOG Resources, Inc.

219,656

25,010,032

EQT Corp.

123,622

6,554,438

Evolution Petroleum Corp. (a)

6,950

64,496

EXCO Resources, Inc. (d)

115,116

820,777

Exxon Mobil Corp.

3,837,132

331,911,918

Forest Oil Corp. (a)(d)

81,222

1,050,200

FX Energy, Inc. (a)(d)

35,252

223,145

Gasco Energy, Inc. (a)

97,844

28,375

Gastar Exploration Ltd. (a)

36,342

104,302

Georesources, Inc. (a)

13,181

422,319

Gevo, Inc. (a)(d)

11,229

112,402

GMX Resources, Inc. (a)(d)

74,770

131,595

Goodrich Petroleum Corp. (a)(d)

33,339

531,090

Green Plains Renewable Energy, Inc. (a)(d)

14,190

161,057

Gulfport Energy Corp. (a)(d)

37,953

1,275,980

Halcon Resources Corp. (a)(d)

3,619

39,773

Harvest Natural Resources, Inc. (a)(d)

33,266

220,221

Hess Corp.

252,487

16,391,456

HKN, Inc. (a)

104

241

HollyFrontier Corp.

153,818

5,019,081

Houston American Energy Corp. (a)(d)

10,835

117,451

Hyperdynamics Corp. (a)(d)

125,930

171,265

James River Coal Co. (a)(d)

31,067

178,014

Kinder Morgan Holding Co. LLC (d)

105,230

3,708,305

KiOR, Inc. Class A (d)

6,909

60,108

Kodiak Oil & Gas Corp. (a)

185,027

1,792,912

Laredo Petroleum Holdings, Inc.

14,587

370,072

Lucas Energy, Inc. (a)(d)

9,400

27,542

Magellan Petroleum Corp. (a)

35,895

45,587

Magnum Hunter Resources Corp. (d)

70,308

486,531

Magnum Hunter Resources Corp. warrants 10/14/13 (a)(d)

4,197

0

Marathon Oil Corp.

590,579

20,014,722

Marathon Petroleum Corp.

293,451

12,192,889

Matador Resources Co.

10,890

129,155

McMoRan Exploration Co. (a)(d)

160,744

2,250,416

Miller Energy Resources, Inc. (a)(d)

6,846

28,753

Murphy Oil Corp.

146,942

9,395,471

Newfield Exploration Co. (a)

99,791

3,592,476

Noble Energy, Inc.

151,272

14,771,711

Northern Oil & Gas, Inc. (a)(d)

45,133

1,070,103

Oasis Petroleum, Inc. (a)

46,478

1,490,549

Occidental Petroleum Corp.

647,508

67,580,410

Overseas Shipholding Group, Inc. (d)

23,729

210,002

Pacific Ethanol, Inc. (a)(d)

12,492

15,365

Panhandle Royalty Co. Class A

6,335

184,665

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Patriot Coal Corp. (a)(d)

69,937

$ 505,645

Peabody Energy Corp.

230,827

8,051,246

Penn Virginia Corp.

41,256

201,742

Petroleum Development Corp. (a)(d)

22,646

736,901

Petroquest Energy, Inc. (a)(d)

70,948

432,783

Pioneer Natural Resources Co. (d)

90,370

9,908,167

Plains Exploration & Production Co. (a)

139,377

6,142,344

QEP Resources, Inc.

129,536

4,422,359

Quicksilver Resources, Inc. (a)(d)

93,566

518,356

Range Resources Corp.

123,664

7,874,924

Recovery Energy, Inc. (a)

5,171

21,408

Renewable Energy Group, Inc.

5,623

53,812

Rentech, Inc. (a)

169,556

301,810

Resolute Energy Corp. (a)

29,689

331,329

Rex American Resources Corp. (a)

3,020

92,623

Rex Energy Corp. (a)

32,188

370,162

Rosetta Resources, Inc. (a)(d)

38,625

1,971,420

Royale Energy, Inc. (a)(d)

5,368

33,121

Sanchez Energy Corp.

7,390

176,843

SandRidge Energy, Inc. (a)(d)

276,761

2,399,518

Saratoga Resources, Inc. (a)

12,254

81,489

SemGroup Corp. Class A (a)

25,511

723,747

Ship Finance International Ltd. (NY Shares) (d)

31,210

428,513

SM Energy Co.

62,332

4,906,775

SMF Energy Corp.

4,165

15,119

Solazyme, Inc. (d)

17,729

244,306

Southern Union Co.

86,373

3,795,230

Southwestern Energy Co. (a)(d)

311,067

10,283,875

Spectra Energy Corp.

539,426

16,927,188

Stone Energy Corp. (a)(d)

34,932

1,116,077

Sunoco, Inc.

85,182

3,290,581

Swift Energy Co. (a)(d)

28,396

852,732

Synergy Resources Corp. (a)

19,735

67,888

Syntroleum Corp. (a)(d)

24,702

30,630

Targa Resources Corp.

22,682

1,007,761

Teekay Corp. (d)

33,173

955,382

Tesoro Corp. (a)(d)

104,321

2,767,636

Ultra Petroleum Corp. (a)(d)

143,182

3,573,823

Uranium Energy Corp. (a)(d)

54,945

206,044

Uranium Resources, Inc. (a)(d)

182,289

174,997

USEC, Inc. (a)(d)

83,065

111,307

Vaalco Energy, Inc. (a)(d)

68,248

538,477

Valero Energy Corp. (d)

446,841

10,943,136

Venoco, Inc. (a)

17,373

189,366

Verenium Corp. (a)

522

1,472

Voyager Oil & Gas, Inc. (a)

11,615

37,633

W&T Offshore, Inc.

37,319

942,305

Warren Resources, Inc. (a)(d)

48,923

190,800

Western Refining, Inc.

40,348

732,316

Westmoreland Coal Co. (a)

6,050

63,586

 

Shares

Value

Whiting Petroleum Corp. (a)(d)

87,846

$ 5,151,289

Williams Companies, Inc.

481,586

14,389,790

World Fuel Services Corp. (d)

48,766

2,031,592

WPX Energy, Inc.

146,535

2,661,076

ZaZa Energy Corp. (a)(d)

19,430

76,166

Zion Oil & Gas, Inc. (a)

8,166

22,293

 

1,097,685,102

TOTAL ENERGY

1,359,179,677

FINANCIALS - 15.2%

Capital Markets - 1.8%

Affiliated Managers Group, Inc. (a)

37,232

3,961,112

Ameriprise Financial, Inc.

181,426

10,116,314

Arlington Asset Investment Corp.

9,211

212,774

Artio Global Investors, Inc. Class A (d)

27,717

132,764

Bank of New York Mellon Corp.

999,669

22,102,682

BGC Partners, Inc. Class A

92,324

649,038

BlackRock, Inc. Class A

81,680

16,254,320

Calamos Asset Management, Inc. Class A

22,184

271,976

Charles Schwab Corp.

880,911

12,227,045

CIFI Corp. (a)

3,896

20,415

Cohen & Steers, Inc. (d)

17,375

572,333

Cowen Group, Inc. Class A (a)

80,174

224,487

Diamond Hill Investment Group, Inc.

308

23,359

Duff & Phelps Corp. Class A

16,165

222,430

E*TRADE Financial Corp. (a)

185,916

1,790,371

Eaton Vance Corp. (non-vtg.) (d)

83,276

2,399,182

Edelman Financial Group, Inc.

24,098

161,457

Epoch Holding Corp. (d)

7,185

179,266

Evercore Partners, Inc. Class A

15,573

423,430

FBR Capital Markets Corp. (a)

45,886

115,633

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

71,651

1,468,129

Financial Engines, Inc. (a)(d)

27,286

628,942

Franklin Resources, Inc.

126,452

14,907,426

FXCM, Inc. Class A (d)

35,893

339,548

GAMCO Investors, Inc. Class A

6,083

280,487

GFI Group, Inc.

69,449

266,684

Gleacher & Co., Inc. (a)

36,175

54,986

Goldman Sachs Group, Inc.

338,852

39,015,419

Greenhill & Co., Inc.

20,317

893,135

HFF, Inc. (a)

19,976

287,854

ICG Group, Inc. (a)

32,808

284,445

Institutional Financial Markets, Inc.

6,881

10,459

INTL FCStone, Inc. (a)(d)

11,151

252,570

Invesco Ltd.

388,589

9,625,350

Investment Technology Group, Inc. (a)(d)

30,988

356,362

Janus Capital Group, Inc. (d)

134,316

1,184,667

Jefferies Group, Inc.

106,987

1,788,823

JMP Group, Inc.

11,989

85,362

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

KBW, Inc.

24,195

$ 399,943

Knight Capital Group, Inc. Class A (a)(d)

70,305

931,541

Ladenburg Thalmann Financial Services, Inc. (a)(d)

32,105

65,173

Legg Mason, Inc.

140,686

3,853,390

LPL Investment Holdings, Inc. (a)

22,392

763,567

Medallion Financial Corp.

4,309

47,184

Morgan Stanley

1,105,371

20,493,578

Northern Trust Corp.

166,504

7,394,443

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

6,844

114,569

Penson Worldwide, Inc. (a)(d)

19,665

25,171

Piper Jaffray Companies (a)(d)

20,940

514,705

Raymond James Financial, Inc.

71,252

2,520,183

Safeguard Scientifics, Inc. (a)(d)

26,745

452,258

SEI Investments Co.

105,344

2,080,544

State Street Corp.

409,637

17,298,971

Stifel Financial Corp. (a)(d)

38,055

1,428,204

SWS Group, Inc.

24,189

135,217

T. Rowe Price Group, Inc.

196,242

12,086,545

TD Ameritrade Holding Corp.

169,026

3,155,715

Teton Advisors, Inc. (a)

106

1,643

U.S. Global Investments, Inc. Class A

7,637

56,514

Virtus Investment Partners, Inc. (a)

3,888

309,252

Waddell & Reed Financial, Inc. Class A (d)

70,045

2,210,620

Walter Investment Management Corp.

18,710

381,310

Westwood Holdings Group, Inc.

1,868

72,366

WisdomTree Investments, Inc. (a)

49,507

350,510

 

220,934,152

Commercial Banks - 3.0%

1st Source Corp. (d)

8,597

211,056

1st United Bancorp, Inc. (a)

20,464

120,738

ACNB Corp.

3,789

54,221

Alliance Financial Corp.

3,879

114,508

American National Bankshares, Inc.

2,748

58,395

Ameris Bancorp (a)(d)

20,460

235,699

Ames National Corp.

1,209

26,175

Arrow Financial Corp.

12,653

304,431

Associated Banc-Corp.

127,560

1,688,894

BancFirst Corp.

10,611

434,308

Bancorp, Inc., Delaware (a)

16,751

139,368

BancorpSouth, Inc.

61,827

732,032

BancTrust Financial Group, Inc. (a)

4,197

5,456

Bank of Hawaii Corp.

62,564

2,877,944

Bank of Kentucky Financial Corp.

1,699

42,186

Bank of Marin Bancorp

2,794

98,265

Bank of the James Financial Group, Inc. (a)

600

3,096

Bank of the Ozarks, Inc.

37,486

1,100,214

Banner Bank

13,068

269,331

Bar Harbor Bankshares

2,686

82,057

 

Shares

Value

BB&T Corp.

568,836

$ 16,638,453

BBCN Bancorp, Inc. (a)

52,596

539,109

BCB Bancorp, Inc. (d)

2,814

29,406

BOK Financial Corp.

36,579

1,963,561

Boston Private Financial Holdings, Inc. (d)

49,884

475,395

Bridge Bancorp, Inc.

540

10,832

Bridge Capital Holdings (a)

1,107

13,350

Bryn Mawr Bank Corp.

7,755

152,463

BSB Bancorp, Inc.

6,958

78,417

Camden National Corp.

1,850

65,398

Capital City Bank Group, Inc.

7,146

56,239

CapitalSource, Inc.

236,039

1,593,263

Cardinal Financial Corp.

11,113

119,465

Cascade Bancorp (a)(d)

4,186

24,279

Cathay General Bancorp

74,072

1,210,336

Center Bancorp, Inc.

6,904

66,347

Centerstate Banks of Florida, Inc.

6,387

44,709

Central Pacific Financial Corp. (a)(d)

20,164

279,070

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

686

16,985

Chemical Financial Corp.

26,904

593,502

CIT Group, Inc. (a)

177,243

7,215,563

Citizens & Northern Corp.

8,777

174,662

Citizens Republic Bancorp, Inc. (a)

26,148

357,966

City Holding Co.

22,173

759,869

City National Corp. (d)

34,413

1,617,411

CNB Financial Corp., Pennsylvania

6,683

103,587

CoBiz, Inc.

39,972

233,037

Columbia Banking Systems, Inc. (d)

29,815

630,587

Comerica, Inc.

150,887

4,479,835

Commerce Bancshares, Inc.

62,562

2,415,519

Community Bank System, Inc.

29,335

801,432

Community Trust Bancorp, Inc.

13,652

421,028

Cullen/Frost Bankers, Inc.

42,764

2,415,311

CVB Financial Corp.

75,043

808,213

Eagle Bancorp, Inc., Maryland (a)

8,538

132,424

East West Bancorp, Inc.

159,291

3,523,517

Eastern Virginia Bankshares, Inc. (a)

821

2,430

Encore Bancshares, Inc. (a)

960

13,920

Enterprise Bancorp, Inc.

803

12,728

Enterprise Financial Services Corp.

12,168

141,149

Farmers National Banc Corp.

14,652

82,051

Fidelity Southern Corp.

3,191

20,422

Fifth Third Bancorp

789,319

10,742,632

Financial Institutions, Inc.

12,700

207,772

First Bancorp, North Carolina

9,193

91,930

First Bancorp, Puerto Rico (a)(d)

31,060

120,202

First Busey Corp.

50,381

243,844

First Citizen Bancshares, Inc.

4,653

819,626

First Commonwealth Financial Corp. (d)

74,665

447,243

First Community Bancshares, Inc.

8,561

106,156

First Connecticut Bancorp, Inc.

11,897

153,471

First Financial Bancorp, Ohio

41,951

686,738

First Financial Bankshares, Inc. (d)

36,100

1,236,786

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

First Financial Corp., Indiana (d)

8,837

$ 282,696

First Financial Service Corp. (a)

2,521

7,815

First Horizon National Corp.

177,392

1,667,485

First Interstate Bancsystem, Inc.

16,000

217,600

First M&F Corp.

2,170

8,376

First Merchants Corp.

25,012

277,133

First Midwest Bancorp, Inc., Delaware

83,782

968,520

First Niagara Financial Group, Inc.

246,667

2,358,137

First of Long Island Corp.

1,768

45,862

First Republic Bank (a)

55,175

1,654,698

First United Corp. (a)

3,018

16,358

FirstMerit Corp.

79,130

1,270,037

FNB Corp., Pennsylvania

105,430

1,243,020

FNB United Corp. (a)(d)

490

7,335

Fulton Financial Corp.

148,647

1,456,741

German American Bancorp, Inc.

4,623

90,518

Glacier Bancorp, Inc.

63,024

869,731

Great Southern Bancorp, Inc.

6,815

150,066

Green Bankshares, Inc. (a)

6,941

9,995

Guaranty Bancorp (a)

13,950

22,181

Hampton Roads Bankshares, Inc. (a)(d)

18,252

47,455

Hancock Holding Co.

65,414

2,220,805

Hanmi Financial Corp. (a)

26,311

228,116

Hawthorn Bancshares, Inc.

1,384

9,896

Heartland Financial USA, Inc.

6,878

108,191

Heritage Commerce Corp. (a)(d)

14,712

77,238

Heritage Financial Corp., Washington (d)

12,768

171,091

Heritage Oaks Bancorp (a)

3,340

13,527

Home Bancshares, Inc.

25,101

632,545

Horizon Bancorp Industries

471

8,290

Hudson Valley Holding Corp.

14,551

237,472

Huntington Bancshares, Inc.

649,123

3,794,124

IBERIABANK Corp. (d)

22,592

1,198,280

Independent Bank Corp. (a)(d)

1,144

1,773

Independent Bank Corp., Massachusetts (d)

25,945

713,228

International Bancshares Corp.

41,513

787,917

Intervest Bancshares Corp. Class A (a)

6,160

20,944

Investors Bancorp, Inc. (a)

48,601

706,173

KeyCorp

879,084

7,120,580

Lakeland Bancorp, Inc.

9,026

81,776

Lakeland Financial Corp.

13,545

341,605

M&T Bank Corp.

96,545

7,880,003

Macatawa Bank Corp. (a)(d)

22,839

62,807

MainSource Financial Group, Inc.

13,271

134,568

MB Financial, Inc.

39,661

789,254

MBT Financial Corp. (a)

1,548

3,282

Merchants Bancshares, Inc.

4,373

121,788

Metro Bancorp, Inc. (a)

11,557

122,966

Midsouth Bancorp, Inc.

5,240

67,386

National Bankshares, Inc.

5,203

140,533

 

Shares

Value

National Penn Bancshares, Inc. (d)

120,787

$ 1,056,886

NBT Bancorp, Inc.

33,888

739,097

NewBridge Bancorp (a)

7,211

29,277

North Valley Bancorp (a)

849

8,881

Northrim Bancorp, Inc.

2,935

58,700

Old National Bancorp, Indiana

66,861

807,681

Old Second Bancorp, Inc. (a)(d)

18,605

22,326

OmniAmerican Bancorp, Inc. (a)

6,877

123,030

Oriental Financial Group, Inc. (d)

28,906

339,646

Orrstown Financial Services, Inc.

4,006

34,652

Pacific Capital Bancorp NA (a)

7,809

218,730

Pacific Continental Corp.

3,048

25,603

Pacific Mercantile Bancorp (a)

5,055

22,040

Pacific Premier Bancorp, Inc. (a)

35

263

PacWest Bancorp

32,508

707,699

Palmetto Bancshares, Inc. (a)

315

1,733

Park National Corp. (d)

10,514

723,784

Park Sterling Corp. (a)

122

555

Penns Woods Bancorp, Inc.

306

11,931

Peoples Bancorp, Inc.

3,334

53,911

Peoples Financial Corp., Mississippi

2,667

25,897

Pinnacle Financial Partners, Inc. (a)(d)

30,086

498,224

PNC Financial Services Group, Inc.

426,140

25,363,853

Popular, Inc. (a)

781,463

1,484,780

Preferred Bank, Los Angeles (a)

1,131

11,423

Premier Financial Bancorp, Inc. (a)

115

702

Princeton National Bancorp, Inc. (a)(d)

2,541

4,167

PrivateBancorp, Inc.

59,931

869,000

Prosperity Bancshares, Inc.

34,532

1,510,430

Regions Financial Corp.

944,773

5,441,892

Renasant Corp.

22,516

341,568

Republic Bancorp, Inc., Kentucky Class A

18,205

474,422

Royal Bancshares of Pennsylvania, Inc. Class A (a)

2,700

3,564

S&T Bancorp, Inc.

32,238

683,768

S.Y. Bancorp, Inc.

6,551

142,484

Sandy Spring Bancorp, Inc.

13,803

249,282

SCBT Financial Corp.

10,493

324,968

Seacoast Banking Corp., Florida (a)

25,630

47,416

Shore Bancshares, Inc.

2,958

18,251

Sierra Bancorp

3,618

33,286

Signature Bank (a)(d)

34,178

2,028,806

Simmons First National Corp. Class A

10,951

287,902

Southside Bancshares, Inc.

12,128

258,448

Southwest Bancorp, Inc., Oklahoma (a)

15,446

132,218

State Bank Financial Corp. (a)

21,939

356,289

State Investors Bancorp, Inc. (a)

2,013

22,425

StellarOne Corp.

11,962

139,118

Sterling Bancorp, New York

27,642

246,014

Sterling Financial Corp., Washington (a)

32,587

634,143

Suffolk Bancorp (a)

12,482

151,032

Sun Bancorp, Inc., New Jersey (a)

29,419

84,433

SunTrust Banks, Inc.

406,442

9,331,908

Susquehanna Bancshares, Inc. (d)

163,794

1,518,370

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

SVB Financial Group (a)(d)

37,929

$ 2,248,431

Synovus Financial Corp.

628,901

1,333,270

Taylor Capital Group, Inc. (a)(d)

9,976

134,177

TCF Financial Corp. (d)

106,955

1,152,975

Texas Capital Bancshares, Inc. (a)(d)

44,486

1,507,631

The First Bancorp, Inc.

2,896

43,440

TIB Financial Corp. (a)

215

2,322

Tompkins Financial Corp. (d)

6,090

250,299

TowneBank (d)

18,053

233,245

Trico Bancshares

12,062

195,404

Trustmark Corp.

54,904

1,294,636

U.S. Bancorp

1,544,556

45,409,946

UMB Financial Corp.

25,089

1,044,957

Umpqua Holdings Corp. (d)

89,344

1,100,718

Union/First Market Bankshares Corp.

16,413

227,812

United Bankshares, Inc., West Virginia

35,646

1,043,715

United Community Banks, Inc., Georgia (a)

13,649

122,432

Univest Corp. of Pennsylvania

7,216

114,013

Valley National Bancorp (d)

175,665

2,197,569

Virginia Commerce Bancorp, Inc. (a)

37,552

315,437

VIST Financial Corp.

1,370

16,385

Washington Banking Co., Oak Harbor

5,615

71,254

Washington Trust Bancorp, Inc.

15,489

364,146

Webster Financial Corp. (d)

53,186

1,163,710

Wellesley Bancorp, Inc.

673

8,372

Wells Fargo & Co.

3,979,209

124,509,450

WesBanco, Inc.

18,333

357,494

West Bancorp., Inc.

1,202

11,575

West Coast Bancorp (a)

10,217

175,222

Westamerica Bancorp.

22,409

1,061,290

Western Alliance Bancorp. (a)(d)

48,403

394,000

Wilshire Bancorp, Inc. (a)(d)

41,540

180,284

Wintrust Financial Corp.

26,208

883,472

Zions Bancorporation

135,681

2,577,939

 

363,709,861

Consumer Finance - 0.7%

Advance America Cash Advance Centers, Inc.

34,619

358,999

American Express Co.

815,889

43,152,369

Capital One Financial Corp.

380,834

19,270,200

Cash America International, Inc. (d)

21,391

992,115

CompuCredit Holdings Corp. (a)(d)

48,566

260,799

Consumer Portfolio Services, Inc. (a)

2,464

2,883

Credit Acceptance Corp. (a)(d)

6,852

659,574

DFC Global Corp. (a)

41,227

738,376

Discover Financial Services

420,798

12,628,148

EZCORP, Inc. (non-vtg.) Class A (a)

32,709

1,030,334

First Cash Financial Services, Inc. (a)(d)

20,351

860,033

First Marblehead Corp. (a)(d)

51,880

63,294

Green Dot Corp. Class A (a)

12,869

410,907

 

Shares

Value

Imperial Holdings, Inc. (a)

16,708

$ 41,770

Nelnet, Inc. Class A

22,213

586,867

Netspend Holdings, Inc. (a)

44,711

384,962

SLM Corp.

416,481

6,563,741

World Acceptance Corp. (a)(d)

15,268

969,823

 

88,975,194

Diversified Financial Services - 2.6%

Bank of America Corp.

8,108,250

64,622,753

CBOE Holdings, Inc.

65,601

1,808,620

Citigroup, Inc.

2,316,107

77,172,685

CME Group, Inc.

51,156

14,809,150

FX Alliance, Inc.

4,330

58,585

Gain Capital Holdings, Inc.

15,735

82,451

Interactive Brokers Group, Inc.

35,966

570,421

IntercontinentalExchange, Inc. (a)

65,579

9,047,279

JPMorgan Chase & Co.

3,041,884

119,363,528

Leucadia National Corp.

154,061

4,389,198

Life Partners Holdings, Inc.

18,668

79,339

MarketAxess Holdings, Inc.

22,779

754,440

Marlin Business Services Corp. (d)

11,576

181,743

MicroFinancial, Inc.

86

578

Moody's Corp.

166,293

6,420,573

MSCI, Inc. Class A (a)(d)

85,736

3,033,340

NewStar Financial, Inc. (a)

17,193

169,523

NYSE Euronext

203,024

6,044,024

PHH Corp. (a)

45,131

614,684

PICO Holdings, Inc. (a)(d)

18,345

405,608

Resource America, Inc. Class A

2,362

14,054

The NASDAQ Stock Market, Inc. (a)

124,702

3,284,651

Vector Capital Corp. rights

4,280

0

 

312,927,227

Insurance - 3.7%

21st Century Holding Co. (a)

1,278

4,256

ACE Ltd.

272,394

19,533,374

AFLAC, Inc.

366,712

17,327,142

Alleghany Corp. (d)

5,852

1,899,793

Allied World Assurance Co. Holdings Ltd.

28,043

1,849,997

Allstate Corp.

408,767

12,847,547

American Equity Investment Life Holding Co.

51,311

620,863

American Financial Group, Inc.

61,572

2,305,871

American Independence Corp. (a)

505

2,197

American International Group, Inc. (a)

368,556

10,769,206

American National Insurance Co.

10,418

751,138

American Safety Insurance Group Ltd. (a)

2,651

51,191

Amerisafe, Inc. (a)

23,043

519,850

Amtrust Financial Services, Inc. (d)

23,804

642,946

Aon Corp.

246,387

11,533,375

Arch Capital Group Ltd. (a)

93,082

3,448,688

Argo Group International Holdings, Ltd.

29,792

889,291

Arthur J. Gallagher & Co. (d)

115,693

3,947,445

Aspen Insurance Holdings Ltd.

52,278

1,386,935

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Assurant, Inc.

85,823

$ 3,644,903

Assured Guaranty Ltd.

155,664

2,615,155

Axis Capital Holdings Ltd.

93,935

2,897,895

Baldwin & Lyons, Inc. Class B

5,084

106,967

Berkshire Hathaway, Inc. Class B (a)

1,523,175

119,493,079

Brown & Brown, Inc.

82,279

1,944,253

Cincinnati Financial Corp.

112,154

3,944,456

Citizens, Inc. Class A (a)(d)

16,628

177,587

CNA Financial Corp.

21,776

614,301

CNO Financial Group, Inc. (a)

165,388

1,227,179

Crawford & Co. Class B

10,464

46,042

Delphi Financial Group, Inc. Class A

47,148

2,100,915

Donegal Group, Inc. Class A

3,439

47,355

eHealth, Inc. (a)(d)

26,343

395,935

EMC Insurance Group

5,050

106,404

Employers Holdings, Inc.

36,335

628,232

Endurance Specialty Holdings Ltd.

33,058

1,271,411

Enstar Group Ltd. (a)(d)

9,122

884,652

Erie Indemnity Co. Class A

23,329

1,775,570

Everest Re Group Ltd.

35,638

3,130,798

FBL Financial Group, Inc. Class A

12,986

441,134

Fidelity National Financial, Inc. Class A

160,871

2,776,633

First Acceptance Corp. (a)

4,055

5,880

First American Financial Corp.

99,791

1,536,781

Flagstone Reinsurance Holdings Ltd.

25,303

200,400

Fortegra Financial Corp. (a)

10,670

74,263

Genworth Financial, Inc. Class A (a)

360,009

3,272,482

Global Indemnity PLC (a)

13,709

262,253

Greenlight Capital Re, Ltd. (a)(d)

17,063

401,834

Hallmark Financial Services, Inc. (a)

6,662

44,969

Hanover Insurance Group, Inc.

48,173

1,966,422

Harleysville Group, Inc. (d)

8,225

465,617

Hartford Financial Services Group, Inc.

337,025

6,979,788

HCC Insurance Holdings, Inc.

77,118

2,355,184

Hilltop Holdings, Inc. (a)

54,392

448,190

Horace Mann Educators Corp.

37,921

657,171

Independence Holding Co.

16,014

146,688

Infinity Property & Casualty Corp.

13,372

733,187

Investors Title Co.

1,086

49,065

Kansas City Life Insurance Co.

2,863

91,673

Kemper Corp.

35,842

1,025,798

Lincoln National Corp. (d)

231,248

5,744,200

Loews Corp.

301,087

11,784,545

Maiden Holdings Ltd.

73,970

639,841

Markel Corp. (a)

6,736

2,747,951

Marsh & McLennan Companies, Inc.

414,030

12,917,736

MBIA, Inc. (a)(d)

115,555

1,245,683

Meadowbrook Insurance Group, Inc.

46,791

445,450

Mercury General Corp.

16,938

726,301

MetLife, Inc.

667,419

25,729,002

 

Shares

Value

Montpelier Re Holdings Ltd.

62,043

$ 1,070,242

National Financial Partners Corp. (a)(d)

38,246

583,634

National Interstate Corp.

2,286

55,207

National Security Group, Inc.

1,586

14,433

National Western Life Insurance Co. Class A

1,306

177,303

Navigators Group, Inc. (a)

15,156

712,484

Old Republic International Corp.

178,199

1,935,241

OneBeacon Insurance Group Ltd.

20,572

313,723

PartnerRe Ltd.

49,442

3,136,600

Phoenix Companies, Inc. (a)(d)

61,343

126,980

Platinum Underwriters Holdings Ltd.

32,909

1,170,244

Presidential Life Corp.

17,026

184,221

Primerica, Inc.

37,863

947,332

Principal Financial Group, Inc.

266,275

7,365,167

ProAssurance Corp.

21,573

1,893,246

Progressive Corp.

507,847

10,878,083

Protective Life Corp. (d)

60,558

1,681,696

Prudential Financial, Inc.

388,075

23,734,667

Reinsurance Group of America, Inc.

67,424

3,888,342

RenaissanceRe Holdings Ltd.

38,496

2,770,172

RLI Corp.

13,036

913,302

Safety Insurance Group, Inc.

14,899

635,889

SeaBright Insurance Holdings, Inc.

38,085

311,535

Selective Insurance Group, Inc.

35,800

615,044

StanCorp Financial Group, Inc. (d)

37,431

1,488,257

State Auto Financial Corp.

6,222

86,984

Stewart Information Services Corp.

21,434

281,643

Symetra Financial Corp.

63,181

628,019

The Chubb Corp.

225,559

15,328,990

The Travelers Companies, Inc.

336,375

19,499,659

Torchmark Corp. (d)

96,240

4,661,866

Tower Group, Inc.

33,224

765,813

Transatlantic Holdings, Inc.

44,643

2,705,366

Unico American Corp. (a)

3,526

38,257

United Fire Group, Inc.

20,054

402,885

Universal Insurance Holdings, Inc.

15,547

62,654

Unum Group

265,385

6,117,124

Validus Holdings Ltd.

48,925

1,491,723

W.R. Berkley Corp. (d)

93,123

3,329,147

White Mountains Insurance Group Ltd.

5,455

2,706,880

XL Group PLC Class A

291,212

6,057,210

 

454,067,579

Real Estate Investment Trusts - 3.1%

Acadia Realty Trust (SBI) (d)

40,453

857,199

AG Mortgage Investment Trust, Inc. (d)

8,651

172,328

Agree Realty Corp.

17,794

427,056

Alexanders, Inc. (d)

2,559

971,013

Alexandria Real Estate Equities, Inc.

48,539

3,479,761

American Assets Trust, Inc.

30,756

661,869

American Campus Communities, Inc. (d)

50,695

2,086,099

American Capital Agency Corp.

159,714

4,904,817

American Capital Mortgage Investment Corp. (d)

6,160

132,810

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Tower Corp.

302,714

$ 18,943,842

Annaly Capital Management, Inc. (d)

759,339

12,620,214

Anworth Mortgage Asset Corp.

125,333

814,665

Apartment Investment & Management Co. Class A

79,559

1,976,246

Apollo Commercial Real Estate Finance, Inc.

23,002

343,880

Arbor Realty Trust, Inc. (a)

23,842

114,442

Armour Residential REIT, Inc.

96,013

678,812

Ashford Hospitality Trust, Inc. (d)

69,895

589,914

Associated Estates Realty Corp. (d)

41,987

626,446

AvalonBay Communities, Inc. (d)

79,154

10,263,899

BioMed Realty Trust, Inc. (d)

115,007

2,118,429

Boston Properties, Inc.

110,386

11,209,698

Brandywine Realty Trust (SBI) (d)

116,242

1,256,576

BRE Properties, Inc.

50,669

2,453,900

BRT Realty Trust (a)

5,568

35,969

Camden Property Trust (SBI) (d)

53,660

3,326,920

Campus Crest Communities, Inc.

19,510

206,611

Capital Trust, Inc. Class A (a)

19,793

67,296

CapLease, Inc.

46,796

188,588

Capstead Mortgage Corp.

62,774

834,894

CBL & Associates Properties, Inc. (d)

105,320

1,856,792

Cedar Shopping Centers, Inc.

35,947

171,108

Chatham Lodging Trust

11,126

134,180

Chesapeake Lodging Trust (d)

21,838

385,004

Chimera Investment Corp.

1,176,306

3,611,259

Cogdell Spencer, Inc.

38,346

162,204

Colonial Properties Trust (SBI) (d)

73,570

1,509,656

Colony Financial, Inc.

21,335

355,868

CommonWealth REIT

67,934

1,263,572

Coresite Realty Corp.

15,524

331,437

Corporate Office Properties Trust (SBI) (d)

60,016

1,471,592

Cousins Properties, Inc. (d)

85,536

632,111

Crexus Investment Corp.

50,256

560,354

CubeSmart

77,898

878,689

Cys Investments, Inc. (d)

81,827

1,110,392

DCT Industrial Trust, Inc. (d)

159,549

903,047

DDR Corp.

184,424

2,605,911

DiamondRock Hospitality Co. (d)

119,310

1,188,328

Digital Realty Trust, Inc.

76,725

5,562,563

Douglas Emmett, Inc.

89,730

1,890,611

Duke Realty LP

198,989

2,761,967

DuPont Fabros Technology, Inc. (d)

42,941

983,349

EastGroup Properties, Inc. (d)

24,180

1,165,234

Education Realty Trust, Inc. (d)

62,872

646,324

Entertainment Properties Trust (SBI) (d)

60,495

2,752,523

Equity Lifestyle Properties, Inc. (d)

31,485

2,094,067

Equity One, Inc. (d)

40,590

772,022

Equity Residential (SBI)

234,055

13,315,389

Essex Property Trust, Inc. (d)

26,848

3,758,452

 

Shares

Value

Excel Trust, Inc.

30,162

$ 361,642

Extra Space Storage, Inc.

78,885

2,080,197

Federal Realty Investment Trust (SBI)

61,635

5,876,897

FelCor Lodging Trust, Inc. (a)

117,716

452,029

First Industrial Realty Trust, Inc. (a)

56,203

664,319

First Potomac Realty Trust (d)

52,713

697,393

Franklin Street Properties Corp. (d)

68,554

706,792

General Growth Properties, Inc.

364,744

5,934,385

Getty Realty Corp. (d)

23,628

401,676

Gladstone Commercial Corp.

7,566

135,204

Glimcher Realty Trust

104,869

1,038,203

Government Properties Income Trust

25,248

589,036

Gramercy Capital Corp. (a)

25,709

74,556

Hatteras Financial Corp.

62,065

1,767,611

HCP, Inc.

343,212

13,556,874

Health Care REIT, Inc.

150,000

8,166,000

Healthcare Realty Trust, Inc. (d)

51,018

1,054,542

Hersha Hospitality Trust

136,305

685,614

Highwoods Properties, Inc. (SBI)

48,585

1,554,720

Home Properties, Inc. (d)

35,000

2,017,050

Hospitality Properties Trust (SBI) (d)

90,003

2,225,774

Host Hotels & Resorts, Inc. (d)

541,818

8,549,888

Hudson Pacific Properties, Inc.

14,404

220,237

Inland Real Estate Corp.

58,987

511,417

Invesco Mortgage Capital, Inc.

96,602

1,654,792

Investors Real Estate Trust (d)

69,850

532,956

iStar Financial, Inc. (a)

71,516

504,188

Kilroy Realty Corp. (d)

54,084

2,371,043

Kimco Realty Corp. (d)

343,109

6,306,343

Kite Realty Group Trust

30,457

149,544

LaSalle Hotel Properties (SBI)

60,809

1,622,384

Lexington Corporate Properties Trust

108,388

937,556

Liberty Property Trust (SBI) (d)

90,608

3,073,423

LTC Properties, Inc.

26,907

830,350

Mack-Cali Realty Corp.

59,265

1,694,979

Medical Properties Trust, Inc.

87,853

853,931

MFA Financial, Inc.

290,341

2,119,489

Mid-America Apartment Communities, Inc.

25,121

1,566,797

Mission West Properties, Inc. (d)

38,129

381,290

Monmouth Real Estate Investment Corp. Class A

12,122

113,462

MPG Office Trust, Inc. (a)(d)

84,174

188,550

National Health Investors, Inc.

21,683

1,021,920

National Retail Properties, Inc.

63,779

1,699,710

New York Mortgage Trust, Inc. (d)

3,129

22,216

NorthStar Realty Finance Corp.

91,257

487,312

Omega Healthcare Investors, Inc. (d)

72,226

1,471,244

One Liberty Properties, Inc.

11,261

196,842

Parkway Properties, Inc.

29,977

299,470

Pebblebrook Hotel Trust

35,559

762,029

Pennsylvania Real Estate Investment Trust (SBI)

54,751

734,758

Pennymac Mortgage Investment Trust

24,225

436,050

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Piedmont Office Realty Trust, Inc. Class A (d)

148,914

$ 2,623,865

Plum Creek Timber Co., Inc.

155,723

6,098,113

PMC Commercial Trust

8,500

61,455

Post Properties, Inc.

41,888

1,829,249

Potlatch Corp. (d)

27,984

862,467

Prologis, Inc.

391,545

13,179,405

PS Business Parks, Inc.

16,465

1,027,745

Public Storage

111,267

14,917,567

RAIT Financial Trust

28,885

153,091

Ramco-Gershenson Properties Trust (SBI)

23,549

260,687

Rayonier, Inc. (d)

86,770

3,863,000

Realty Income Corp.

100,000

3,689,000

Redwood Trust, Inc.

60,890

704,497

Regency Centers Corp. (d)

90,033

3,852,512

Resource Capital Corp.

43,562

251,353

Retail Opportunity Investments Corp.

20,294

236,019

RLJ Lodging Trust

47,820

837,806

Rouse Properties, Inc. (a)

13,681

200,153

Rouse Properties, Inc. rights 3/16/12 (a)

13,681

0

Sabra Health Care REIT, Inc.

44,632

637,345

Saul Centers, Inc.

11,025

417,407

Senior Housing Properties Trust (SBI)

111,115

2,377,861

Simon Property Group, Inc.

237,530

32,180,564

SL Green Realty Corp.

78,146

5,943,003

Sovran Self Storage, Inc. (d)

21,775

1,034,530

Stag Industrial, Inc.

9,543

117,283

Starwood Property Trust, Inc.

73,060

1,442,204

Strategic Hotel & Resorts, Inc. (a)

120,853

752,914

Summit Hotel Properties, Inc.

27,924

257,180

Sun Communities, Inc. (d)

36,167

1,496,952

Sunstone Hotel Investors, Inc. (a)(d)

81,015

727,515

Tanger Factory Outlet Centers, Inc.

57,882

1,694,785

Taubman Centers, Inc. (d)

39,924

2,757,551

Terreno Realty Corp.

10,962

155,880

The Macerich Co. (d)

107,006

5,777,254

Two Harbors Investment Corp.

135,657

1,394,554

UDR, Inc.

154,946

3,876,749

UMH Properties, Inc.

4,692

47,389

Universal Health Realty Income Trust (SBI)

13,491

509,825

Urstadt Biddle Properties, Inc.

314

5,831

Urstadt Biddle Properties, Inc. Class A

26,585

505,647

Ventas, Inc.

223,719

12,510,366

Vornado Realty Trust

139,847

11,429,695

Washington (REIT) (SBI)

44,091

1,305,975

Weingarten Realty Investors (SBI)

85,028

2,117,197

Weyerhaeuser Co.

408,182

8,526,922

Whitestone REIT Class B

1,800

23,292

Winthrop Realty Trust

18,504

210,761

 

383,435,297

 

Shares

Value

Real Estate Management & Development - 0.1%

American Realty Capital Properties, Inc.

5,970

$ 67,461

AV Homes, Inc. (a)

6,188

64,788

Brookfield Properties Corp.

194,536

3,379,047

CBRE Group, Inc. (a)

220,257

4,037,311

Consolidated-Tomoka Land Co.

2,432

72,620

Forest City Enterprises, Inc. Class A (a)(d)

95,968

1,403,052

Forestar Group, Inc. (a)(d)

31,999

502,064

Howard Hughes Corp. (a)

21,592

1,199,436

Jones Lang LaSalle, Inc. (d)

31,527

2,566,613

Kennedy-Wilson Holdings, Inc.

25,602

346,139

Maui Land & Pineapple, Inc. (a)

31,310

116,786

Tejon Ranch Co. (a)(d)

11,342

331,413

The St. Joe Co. (a)(d)

64,020

1,031,362

Thomas Properties Group, Inc.

14,816

63,709

Transcontinental Realty Investors, Inc. (a)

20,697

44,706

 

15,226,507

Thrifts & Mortgage Finance - 0.2%

Alliance Bancorp, Inc. of Pennsylvania

1,065

12,024

Apollo Residential Mortgage, Inc.

12,502

224,161

ASB Bancorp, Inc.

4,145

49,947

Astoria Financial Corp. (d)

69,632

611,369

Bank Mutual Corp.

56,001

220,084

BankAtlantic Bancorp, Inc. Class A (a)(d)

14,545

31,999

BankFinancial Corp.

8,862

50,070

BankUnited, Inc.

38,231

880,460

BCSB Bancorp, Inc. (a)

94

1,204

Beneficial Mutual Bancorp, Inc. (a)

34,804

315,672

Berkshire Hills Bancorp, Inc. (d)

12,304

270,565

BofI Holding, Inc. (a)

11,427

187,289

Brookline Bancorp, Inc., Delaware

86,924

797,962

Camco Financial Corp. (a)

347

791

Cape Bancorp, Inc. (a)

2,611

21,045

Capitol Federal Financial, Inc.

122,267

1,429,301

CFS Bancorp, Inc.

688

3,846

Charter Financial Corp., Georgia

1,200

11,592

Chicopee Bancorp, Inc. (a)

1,816

26,259

Citizens South Banking Corp., Delaware

4,022

17,496

Clifton Savings Bancorp, Inc.

14,989

147,342

Dime Community Bancshares, Inc.

51,879

722,156

Doral Financial Corp. (a)

159,443

223,220

ESB Financial Corp. (d)

7,915

100,916

ESSA Bancorp, Inc.

4,298

41,347

Farmer Mac Class C (non-vtg.)

8,894

177,524

First Defiance Financial Corp.

6,145

96,108

First Financial Holdings, Inc.

6,172

60,239

First Financial Northwest, Inc. (a)(d)

2,197

16,192

First PacTrust Bancorp, Inc.

4,303

50,431

Flagstar Bancorp, Inc. (a)

372,060

268,218

Flushing Financial Corp.

37,878

490,520

Fox Chase Bancorp, Inc.

14,307

178,981

Franklin Financial Corp./VA (a)

8,632

116,446

Guaranty Federal Bancshares, Inc. (a)

924

7,069

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

HF Financial Corp.

2,735

$ 31,480

Hingham Institution for Savings

1,505

78,335

Home Federal Bancorp, Inc.

1,628

16,329

Hudson City Bancorp, Inc.

361,714

2,477,741

IF Bancorp, Inc. (a)

3,112

35,570

Indiana Community Bancorp

2,264

48,902

Kaiser Federal Financial Group, Inc.

8,188

110,620

Kearny Financial Corp.

2,196

20,489

Meridian Interstate Bancorp, Inc. (a)

750

9,698

MGIC Investment Corp. (a)(d)

129,823

585,502

NASB Financial, Inc. (a)

1,203

16,686

New York Community Bancorp, Inc.

334,923

4,357,348

Northfield Bancorp, Inc. (d)

9,876

136,091

Northwest Bancshares, Inc.

92,094

1,162,226

OceanFirst Financial Corp.

5,851

80,334

Ocwen Financial Corp. (a)(d)

74,000

1,192,140

Oritani Financial Corp.

26,763

348,722

People's United Financial, Inc.

298,743

3,761,174

Peoples Federal Bancshares, Inc. (a)

1,156

18,265

Poage Bankshares, Inc.

2,365

27,316

Provident Financial Holdings, Inc.

1,385

14,279

Provident Financial Services, Inc.

56,391

774,812

Provident New York Bancorp

44,223

377,222

PVF Capital Corp. (a)

11,916

20,376

Radian Group, Inc. (d)

84,170

319,004

Riverview Bancorp, Inc. (a)

6,875

15,538

Rockville Financial, Inc.

5,182

59,852

Teche Holding Co.

130

4,863

Territorial Bancorp, Inc.

11,189

234,969

TF Financial Corp.

1,705

42,045

TFS Financial Corp. (a)

120,727

1,128,797

Timberland Bancorp, Inc. (a)

5,034

21,143

Tree.com, Inc. (a)

3,275

25,021

Trustco Bank Corp., New York

73,043

391,510

United Community Financial Corp., Ohio (a)

11,112

15,001

United Financial Bancorp, Inc.

3,272

51,861

ViewPoint Financial Group

24,223

363,103

Walker & Dunlop, Inc. (a)

10,954

136,377

Washington Federal, Inc.

81,888

1,326,586

Westfield Financial, Inc.

28,907

229,233

WSFS Financial Corp.

10,396

400,142

 

28,326,547

TOTAL FINANCIALS

1,867,602,364

HEALTH CARE - 11.3%

Biotechnology - 1.7%

Aastrom Biosciences, Inc. (a)(d)

78,454

140,433

Acadia Pharmaceuticals, Inc. (a)

28,029

46,808

 

Shares

Value

Achillion Pharmaceuticals, Inc. (a)

28,628

$ 300,594

Acorda Therapeutics, Inc. (a)

26,790

700,826

ADVENTRX Pharmaceuticals, Inc. (a)(d)

13,759

9,095

Aegerion Pharmaceuticals, Inc. (a)(d)

17,880

299,132

Affymax, Inc. (a)(d)

66,177

675,667

Agenus, Inc. (a)

772

2,463

Alexion Pharmaceuticals, Inc. (a)(d)

154,733

12,955,794

Alkermes PLC (a)

65,333

1,150,514

Allos Therapeutics, Inc. (a)

74,291

110,694

Alnylam Pharmaceuticals, Inc. (a)(d)

34,904

465,619

AMAG Pharmaceuticals, Inc. (a)

31,420

496,750

Amgen, Inc.

713,793

48,502,234

Amicus Therapeutics, Inc. (a)

6,651

39,773

Amylin Pharmaceuticals, Inc. (a)(d)

94,456

1,614,253

Anacor Pharmaceuticals, Inc. (a)

8,597

51,066

Anthera Pharmaceuticals, Inc. (a)

12,186

80,671

Ardea Biosciences, Inc. (a)(d)

18,307

390,305

Arena Pharmaceuticals, Inc. (a)(d)

227,861

405,593

ARIAD Pharmaceuticals, Inc. (a)

95,029

1,362,716

ArQule, Inc. (a)(d)

52,890

375,519

Array Biopharma, Inc. (a)

101,050

283,951

Astex Pharmaceuticals, Inc. (a)(d)

46,939

85,898

AVEO Pharmaceuticals, Inc. (a)

29,278

381,785

AVI BioPharma, Inc. (a)(d)

273,083

284,006

Avigen, Inc. rights (a)

1,600

0

BioCryst Pharmaceuticals, Inc. (a)

40,934

190,752

Biogen Idec, Inc. (a)

191,924

22,353,388

BioMarin Pharmaceutical, Inc. (a)(d)

81,154

2,901,256

BioMimetic Therapeutics, Inc. (a)

29,891

62,173

Biosante Pharmaceuticals, Inc. (a)

72,515

56,025

Biospecifics Technologies Corp. (a)

1,441

24,958

BioTime, Inc. (a)(d)

32,076

160,059

Cardium Therapeutics, Inc. (a)(d)

185,107

53,366

Cel-Sci Corp. (a)(d)

283,400

106,417

Celgene Corp. (a)

380,085

27,869,733

Cell Therapeutics, Inc. (a)(d)

100,397

128,508

Celldex Therapeutics, Inc. (a)

29,641

112,339

Celsion Corp. (a)(d)

15,910

32,775

Cepheid, Inc. (a)(d)

45,758

1,848,166

Chelsea Therapeutics International Ltd. (a)(d)

75,408

278,256

Cleveland Biolabs, Inc. (a)(d)

16,887

61,975

Codexis, Inc. (a)

13,589

53,541

Coronado Biosciences, Inc. (a)(d)

10,731

81,770

Cubist Pharmaceuticals, Inc. (a)(d)

45,911

1,967,745

Cubist Pharmaceuticals, Inc. rights (a)

32,062

0

Curis, Inc. (a)(d)

51,867

233,920

Cyclacel Pharmaceuticals, Inc. (a)

80,707

58,109

Cytokinetics, Inc. (a)

59,298

61,077

Cytori Therapeutics, Inc. (a)(d)

69,588

226,161

CytRx Corp. (a)

180,289

62,019

DARA BioSciences, Inc. (a)(d)

8,510

14,212

Dendreon Corp. (a)(d)

107,274

1,207,905

Discovery Laboratories, Inc. (a)

218

778

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

DUSA Pharmaceuticals, Inc. (a)

12,987

$ 62,597

Dyax Corp. (a)

58,403

87,020

Dynavax Technologies Corp. (a)(d)

131,405

551,901

Emergent BioSolutions, Inc. (a)

18,513

282,694

EntreMed, Inc. (a)

289

598

Enzon Pharmaceuticals, Inc. (a)

43,430

307,050

Exact Sciences Corp. (a)(d)

46,309

434,842

Exelixis, Inc. (a)

97,894

556,038

Galena Biopharma, Inc. (a)(d)

31,096

33,273

Genomic Health, Inc. (a)(d)

12,051

351,648

GenVec, Inc. (a)

8,140

21,978

Geron Corp. (a)

79,136

158,272

Gilead Sciences, Inc. (a)

608,734

27,697,397

GTx, Inc. (a)(d)

12,895

44,617

Halozyme Therapeutics, Inc. (a)(d)

66,038

760,097

Hemispherx Biopharma, Inc. (a)(d)

81,533

25,031

Horizon Pharma, Inc. (d)

8,364

28,856

Human Genome Sciences, Inc. (a)(d)

139,644

1,100,395

iBio, Inc. (a)

40,361

32,688

Idenix Pharmaceuticals, Inc. (a)

52,224

614,676

Idera Pharmaceuticals, Inc. (a)

7,737

9,903

ImmunoGen, Inc. (a)(d)

57,844

796,512

Immunomedics, Inc. (a)(d)

54,782

195,024

Incyte Corp. (a)(d)

82,304

1,395,876

Infinity Pharmaceuticals, Inc. (a)(d)

4,048

32,991

Inovio Pharmaceuticals, Inc. (a)

47,000

27,260

Insmed, Inc. (a)(d)

6,880

29,309

InterMune, Inc. (a)

50,243

674,261

Ironwood Pharmaceuticals, Inc. Class A (a)(d)

35,334

473,122

Isis Pharmaceuticals, Inc. (a)(d)

64,197

584,835

Keryx Biopharmaceuticals, Inc. (a)(d)

66,082

219,392

Lexicon Pharmaceuticals, Inc. (a)(d)

133,677

227,251

Ligand Pharmaceuticals, Inc. Class B (a)

16,755

245,963

MannKind Corp. (a)

78,574

183,863

Maxygen, Inc. (a)

47,150

258,854

Medivation, Inc. (a)(d)

25,651

1,680,397

Metabolix, Inc. (a)(d)

41,636

114,499

Micromet, Inc. (a)(d)

75,077

825,096

Momenta Pharmaceuticals, Inc. (a)(d)

43,036

630,908

Myrexis, Inc. (a)

68,786

220,115

Myriad Genetics, Inc. (a)

62,451

1,511,314

Nabi Biopharmaceuticals (a)

35,088

65,615

Nanosphere, Inc. (a)

12,896

27,855

Neurocrine Biosciences, Inc. (a)

50,654

398,647

NewLink Genetics Corp.

4,366

36,936

Novavax, Inc. (a)(d)

79,584

101,072

NPS Pharmaceuticals, Inc. (a)(d)

67,196

458,277

OncoGenex Pharmaceuticals, Inc. (a)

5,100

81,498

Oncothyreon, Inc. (a)(d)

23,957

196,447

ONYX Pharmaceuticals, Inc. (a)(d)

47,108

1,805,179

 

Shares

Value

Opexa Therapeutics, Inc. (a)

9,114

$ 8,476

Opko Health, Inc. (a)(d)

104,761

517,519

OREXIGEN Therapeutics, Inc. (a)

34,059

133,511

Osiris Therapeutics, Inc. (a)(d)

18,170

94,847

OXiGENE, Inc. (a)(d)

6,714

7,721

Oxygen Biotherapeutics, Inc. (a)(d)

27,463

73,875

PDL BioPharma, Inc.

108,271

690,769

Peregrine Pharmaceuticals, Inc. (a)(d)

48,032

45,092

Pharmacyclics, Inc. (a)(d)

40,835

1,028,634

PharmAthene, Inc. (a)(d)

51,372

75,517

Progenics Pharmaceuticals, Inc. (a)(d)

25,311

246,782

PROLOR Biotech, Inc. (a)

33,237

191,777

Raptor Pharmaceutical Corp. (a)(d)

12,780

89,204

Regeneron Pharmaceuticals, Inc. (a)(d)

68,654

7,194,253

Repligen Corp. (a)

5,241

23,113

Rexahn Pharmaceuticals, Inc. (a)(d)

45,000

22,973

Rigel Pharmaceuticals, Inc. (a)(d)

61,503

615,030

Sangamo Biosciences, Inc. (a)(d)

37,246

196,286

Savient Pharmaceuticals, Inc. (a)(d)

88,045

176,970

SciClone Pharmaceuticals, Inc. (a)(d)

28,016

131,395

Seattle Genetics, Inc. (a)(d)

83,271

1,537,183

SIGA Technologies, Inc. (a)(d)

72,968

207,959

Spectrum Pharmaceuticals, Inc. (a)(d)

36,395

516,445

StemCells, Inc. (a)(d)

14,648

16,113

Sunesis Pharmaceuticals, Inc. (a)(d)

32,643

56,799

Synageva BioPharma Corp. (a)

4,180

155,998

Synta Pharmaceuticals Corp. (a)

30,128

144,012

Targacept, Inc. (a)

18,977

129,423

Telik, Inc. (a)

11,402

1,596

Theravance, Inc. (a)(d)

51,033

954,317

Threshold Pharmaceuticals, Inc. (a)

11,685

60,645

Tranzyme, Inc.

9,317

46,958

Trius Therapeutics, Inc. (a)

7,007

35,455

United Therapeutics Corp. (a)(d)

37,819

1,805,101

Vanda Pharmaceuticals, Inc. (a)

44,094

204,596

Verastem, Inc.

400

4,640

Vertex Pharmaceuticals, Inc. (a)

191,600

7,457,072

Vical, Inc. (a)(d)

65,666

210,131

XOMA Corp. (a)

33,778

51,005

Zalicus, Inc. (a)

67,670

67,670

ZIOPHARM Oncology, Inc. (a)(d)

79,220

388,970

 

203,695,313

Health Care Equipment & Supplies - 1.9%

Abaxis, Inc. (a)(d)

23,291

618,609

Abiomed, Inc. (a)(d)

36,354

759,072

Accuray, Inc. (a)(d)

37,835

256,521

Alere, Inc. (a)

62,700

1,594,461

Align Technology, Inc. (a)(d)

92,669

2,373,253

Alphatec Holdings, Inc. (a)(d)

36,801

69,186

Analogic Corp. (d)

9,235

525,933

Angiodynamics, Inc. (a)(d)

26,377

343,429

Anika Therapeutics, Inc. (a)

4,090

46,462

Antares Pharma, Inc. (a)

25,935

65,356

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

ArthroCare Corp. (a)

20,678

$ 539,696

Atricure, Inc. (a)

2,192

22,358

Atrion Corp.

530

109,180

Bacterin International Holdings, Inc. (a)

9,747

28,851

Baxter International, Inc.

469,167

27,272,678

Becton, Dickinson & Co.

163,254

12,443,220

BioLase Technology, Inc. (d)

23,962

65,177

Boston Scientific Corp. (a)

1,310,092

8,148,772

BSD Medical Corp. (a)(d)

46,363

101,535

C. R. Bard, Inc.

65,241

6,107,862

Cantel Medical Corp.

32,623

658,658

Cardica, Inc. (a)

23,778

48,032

Cardiovascular Systems, Inc. (a)(d)

5,726

51,820

CareFusion Corp. (a)

165,874

4,281,208

Cerus Corp. (a)(d)

38,690

145,474

Conceptus, Inc. (a)(d)

26,951

363,030

CONMED Corp.

19,521

582,507

Covidien PLC

384,638

20,097,336

Cryolife, Inc. (a)

20,961

114,237

Cutera, Inc. (a)

15,449

144,448

Cyberonics, Inc. (a)(d)

26,017

968,613

Cynosure, Inc. Class A (a)

6,957

123,765

Delcath Systems, Inc. (a)(d)

119,898

522,755

DENTSPLY International, Inc. (d)

140,521

5,435,352

Derma Sciences, Inc. (a)

2,779

24,372

DexCom, Inc. (a)(d)

65,323

704,835

DynaVox, Inc. Class A (a)

5,368

17,017

Edwards Lifesciences Corp. (a)(d)

102,152

7,470,376

Endologix, Inc. (a)(d)

30,670

405,764

Exactech, Inc. (a)(d)

3,102

49,291

Fonar Corp. (a)

719

1,438

Gen-Probe, Inc. (a)

34,362

2,346,237

Genmark Diagnostics, Inc. (a)

4,700

19,552

Greatbatch, Inc. (a)(d)

22,320

552,420

Haemonetics Corp. (a)(d)

17,372

1,164,445

Hansen Medical, Inc. (a)(d)

48,696

155,340

Hill-Rom Holdings, Inc.

45,276

1,538,026

Hologic, Inc. (a)

188,071

3,898,712

ICU Medical, Inc. (a)(d)

17,344

795,743

IDEXX Laboratories, Inc. (a)

44,087

3,780,460

Insulet Corp. (a)(d)

24,061

474,483

Integra LifeSciences Holdings Corp. (a)(d)

14,197

448,625

Intuitive Surgical, Inc. (a)

32,467

16,610,767

Invacare Corp.

28,414

469,115

IRIS International, Inc. (a)

20,459

228,527

IVAX Diagnostics, Inc. (a)

3,094

1,547

Kensey Nash Corp.

22,159

500,350

Kewaunee Scientific Corp.

1,376

11,380

LeMaitre Vascular, Inc.

3,845

21,532

Mako Surgical Corp. (a)(d)

32,106

1,255,345

Masimo Corp. (a)(d)

36,398

793,476

 

Shares

Value

Medical Action Industries, Inc. (a)

12,909

$ 69,967

Medtronic, Inc.

850,420

32,418,010

MELA Sciences, Inc. (a)(d)

32,214

148,829

Meridian Bioscience, Inc. (d)

35,455

638,899

Merit Medical Systems, Inc. (a)

29,543

369,878

Misonix, Inc. (a)

2,579

5,106

Natus Medical, Inc. (a)

24,629

257,866

Navidea Biopharmaceuticals, Inc. (a)(d)

114,446

343,338

Neogen Corp. (a)(d)

25,237

875,724

NuVasive, Inc. (a)

28,061

440,277

NxStage Medical, Inc. (a)(d)

42,830

856,600

OraSure Technologies, Inc. (a)

22,681

227,490

Orthofix International NV (a)

16,427

644,103

Palomar Medical Technologies, Inc. (a)

15,820

174,653

Quidel Corp. (a)(d)

34,466

488,728

ResMed, Inc. (a)(d)

157,117

4,603,528

Retractable Technologies, Inc. (a)

5,248

6,298

Rockwell Medical Technologies, Inc. (a)

2,069

19,635

RTI Biologics, Inc. (a)

29,474

109,054

Sirona Dental Systems, Inc. (a)

39,958

1,993,904

Solta Medical, Inc. (a)

20,912

59,390

SonoSite, Inc. (a)

19,011

1,025,073

St. Jude Medical, Inc.

262,641

11,062,439

Staar Surgical Co. (a)(d)

15,788

164,669

Stereotaxis, Inc. (a)(d)

24,530

18,765

Steris Corp.

36,700

1,151,646

Stryker Corp.

227,565

12,206,587

SurModics, Inc. (a)

19,525

277,255

Symmetry Medical, Inc. (a)

29,367

212,617

Synergetics USA, Inc. (a)

3,622

22,819

Teleflex, Inc.

29,057

1,722,208

The Cooper Companies, Inc.

33,711

2,679,350

The Spectranetics Corp. (a)

29,169

226,351

Theragenics Corp. (a)

1,117

1,776

ThermoGenesis Corp. (a)(d)

15,844

16,002

Thoratec Corp. (a)(d)

42,041

1,450,415

Unilife Corp. (a)(d)

50,575

187,633

Urologix, Inc. (a)(d)

3,267

4,508

Uroplasty, Inc. (a)

1,597

4,408

Varian Medical Systems, Inc. (a)(d)

87,245

5,692,736

Vascular Solutions, Inc. (a)

2,125

22,291

Vermillion, Inc. (a)

5,249

6,929

Volcano Corp. (a)(d)

37,240

1,043,837

West Pharmaceutical Services, Inc. (d)

23,198

965,037

Wright Medical Group, Inc. (a)(d)

29,686

491,600

Young Innovations, Inc.

2,156

65,219

Zeltiq Aesthetics, Inc. (d)

6,038

66,901

Zimmer Holdings, Inc.

143,847

8,738,705

Zoll Medical Corp. (a)(d)

18,652

1,364,394

 

234,411,468

Health Care Providers & Services - 2.2%

Acadia Healthcare Co., Inc. (a)

2,518

35,227

Accretive Health, Inc. (a)(d)

27,886

724,757

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Aetna, Inc.

286,858

$ 13,413,480

Air Methods Corp. (a)(d)

12,386

1,117,589

Alliance Healthcare Services, Inc. (a)(d)

85,702

116,555

Almost Family, Inc. (a)(d)

9,932

227,244

Amedisys, Inc. (a)(d)

19,251

247,375

AMERIGROUP Corp. (a)(d)

35,313

2,398,812

AmerisourceBergen Corp.

233,877

8,735,306

AMN Healthcare Services, Inc. (a)

51,175

273,275

AmSurg Corp. (a)

25,500

666,315

Assisted Living Concepts, Inc. Class A

16,849

270,426

Bio-Reference Laboratories, Inc. (a)(d)

31,917

642,808

BioScrip, Inc. (a)(d)

41,738

264,619

Brookdale Senior Living, Inc. (a)(d)

84,038

1,566,468

Capital Senior Living Corp. (a)

26,619

228,125

Cardinal Health, Inc.

261,307

10,857,306

CardioNet, Inc. (a)

34,161

108,974

Catalyst Health Solutions, Inc. (a)

31,805

1,972,546

Centene Corp. (a)(d)

35,301

1,722,689

Chemed Corp.

14,268

882,048

Chindex International, Inc. (a)(d)

9,187

85,715

CIGNA Corp.

215,000

9,483,650

Community Health Systems, Inc. (a)

81,813

2,064,960

Conmed Healthcare Management, Inc. (a)

5,109

18,801

Corvel Corp. (a)

8,848

401,168

Coventry Health Care, Inc. (a)(d)

155,796

5,092,971

Cross Country Healthcare, Inc. (a)

29,137

164,915

DaVita, Inc. (a)

70,363

6,089,918

Emeritus Corp. (a)(d)

17,838

329,289

ExamWorks Group, Inc. (a)(d)

17,147

176,957

Express Scripts, Inc. (a)(d)

368,167

19,634,346

Five Star Quality Care, Inc. (a)

32,241

114,133

Gentiva Health Services, Inc. (a)(d)

24,132

189,436

Hanger Orthopedic Group, Inc. (a)(d)

27,160

561,940

HCA Holdings, Inc.

120,808

3,221,949

Health Management Associates, Inc. Class A (a)

180,959

1,335,477

Health Net, Inc. (a)

67,297

2,539,789

HealthSouth Corp. (a)(d)

69,496

1,414,939

Healthways, Inc. (a)

33,821

268,877

Henry Schein, Inc. (a)(d)

71,206

5,270,668

HMS Holdings Corp. (a)(d)

61,425

1,979,114

Hooper Holmes, Inc. (a)

6,267

4,378

Humana, Inc.

138,379

12,052,811

IPC The Hospitalist Co., Inc. (a)

20,567

748,022

Kindred Healthcare, Inc. (a)(d)

37,371

384,548

Laboratory Corp. of America Holdings (a)(d)

83,669

7,521,006

Landauer, Inc.

14,935

801,113

LCA-Vision, Inc. (a)

10,358

89,286

LHC Group, Inc. (a)

12,810

218,026

 

Shares

Value

LifePoint Hospitals, Inc. (a)(d)

38,142

$ 1,486,394

Lincare Holdings, Inc. (d)

67,736

1,819,389

Magellan Health Services, Inc. (a)

25,186

1,190,290

McKesson Corp.

205,993

17,202,475

Medcath Corp. (a)

2,958

22,954

Medco Health Solutions, Inc. (a)

314,026

21,225,017

MEDNAX, Inc. (a)(d)

44,058

3,277,475

Metropolitan Health Networks, Inc. (a)

12,700

106,172

MModal, Inc. (a)

39,028

401,598

Molina Healthcare, Inc. (a)(d)

19,589

665,242

MWI Veterinary Supply, Inc. (a)(d)

13,354

1,156,056

National Healthcare Corp.

6,159

276,046

NeoStem, Inc. (a)

41,470

23,638

Omnicare, Inc.

82,306

2,895,525

Owens & Minor, Inc.

43,454

1,301,882

Patterson Companies, Inc.

71,822

2,292,558

PDI, Inc. (a)

1,365

9,446

PharMerica Corp. (a)

29,176

357,698

Providence Service Corp. (a)

13,245

199,337

PSS World Medical, Inc. (a)(d)

39,096

947,296

Quest Diagnostics, Inc.

140,542

8,158,463

RadNet, Inc. (a)

27,076

80,957

Select Medical Holdings Corp. (a)

37,877

318,924

Sharps Compliance Corp. (a)

5,184

20,269

Skilled Healthcare Group, Inc. (a)

27,157

177,335

SRI/Surgical Express, Inc. (a)

774

2,941

Sun Healthcare Group, Inc. (a)

15,191

67,752

Sunrise Senior Living, Inc. (a)(d)

31,316

242,386

Team Health Holdings, Inc. (a)

29,804

646,449

Tenet Healthcare Corp. (a)

398,929

2,253,949

The Ensign Group, Inc.

5,658

155,086

Triple-S Management Corp. (a)(d)

20,220

478,607

U.S. Physical Therapy, Inc.

11,240

213,672

UnitedHealth Group, Inc.

855,641

47,701,986

Universal American Spin Corp. (a)

33,569

380,672

Universal Health Services, Inc. Class B

64,910

2,895,635

Vanguard Health Systems, Inc. (a)

30,455

303,332

VCA Antech, Inc. (a)(d)

61,414

1,350,494

Wellcare Health Plans, Inc. (a)(d)

37,775

2,563,412

WellPoint, Inc.

286,095

18,776,415

 

272,375,370

Health Care Technology - 0.1%

Allscripts-Misys Healthcare Solutions, Inc. (a)

134,782

2,603,988

athenahealth, Inc. (a)(d)

25,730

1,818,339

Authentidate Holding Corp. (a)

1,633

1,061

Cerner Corp. (a)(d)

107,829

7,961,015

Computer Programs & Systems, Inc. (d)

21,937

1,334,647

Epocrates, Inc. (a)

10,933

101,677

Greenway Medical Technologies

5,301

78,455

HealthStream, Inc. (a)(d)

13,800

281,934

MedAssets, Inc. (a)

31,551

450,548

Medidata Solutions, Inc. (a)(d)

25,864

515,728

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Merge Healthcare, Inc. (a)

32,622

$ 213,022

Omnicell, Inc. (a)(d)

25,141

375,104

Quality Systems, Inc.

27,774

1,190,671

Transcend Services, Inc. (a)(d)

6,174

132,741

 

17,058,930

Life Sciences Tools & Services - 0.6%

Affymetrix, Inc. (a)(d)

55,779

232,598

Agilent Technologies, Inc.

263,842

11,508,788

Albany Molecular Research, Inc. (a)

23,897

65,478

Apricus Biosciences, Inc. (a)

18,211

62,282

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

16,766

1,708,791

Biodelivery Sciences International, Inc. (a)

3,338

7,544

Bruker BioSciences Corp. (a)

65,927

1,056,810

Cambrex Corp. (a)

18,522

123,357

Charles River Laboratories International, Inc. (a)

42,610

1,496,889

Complete Genomics, Inc. (a)(d)

7,109

26,445

Covance, Inc. (a)(d)

43,017

2,053,201

Enzo Biochem, Inc. (a)

14,697

37,918

eResearchTechnology, Inc. (a)

54,275

346,275

Fluidigm Corp. (a)

3,871

55,820

Furiex Pharmaceuticals, Inc. (a)

9,211

166,166

Harvard Bioscience, Inc. (a)

675

2,801

Illumina, Inc. (a)(d)

116,750

5,983,438

Life Technologies Corp. (a)(d)

150,316

7,111,450

Luminex Corp. (a)(d)

39,871

895,901

Medtox Scientific, Inc. (a)

654

10,137

Mettler-Toledo International, Inc. (a)(d)

24,159

4,355,385

Pacific Biosciences of California, Inc. (a)(d)

28,978

120,838

PAREXEL International Corp. (a)

52,568

1,286,865

PerkinElmer, Inc.

78,650

2,123,550

pSivida Corp. (a)

25,265

54,067

Sequenom, Inc. (a)(d)

88,233

381,167

SeraCare Life Sciences, Inc. (a)

4,298

17,063

Strategic Diagnostics, Inc. (a)

2,665

5,410

Techne Corp.

26,162

1,872,938

Thermo Fisher Scientific, Inc.

303,487

17,183,434

Waters Corp. (a)

67,094

6,011,622

 

66,364,428

Pharmaceuticals - 4.8%

Abbott Laboratories

1,235,457

69,939,221

Acura Pharmaceuticals, Inc. (a)(d)

2,885

9,347

Akorn, Inc. (a)(d)

43,869

549,679

Alexza Pharmaceuticals, Inc. (a)(d)

85,991

53,744

Alimera Sciences, Inc. (a)

3,741

14,066

Allergan, Inc.

247,302

22,155,786

Ampio Pharmaceuticals, Inc. (a)(d)

6,057

23,380

Auxilium Pharmaceuticals, Inc. (a)(d)

37,784

746,612

 

Shares

Value

AVANIR Pharmaceuticals Class A (a)

65,547

$ 180,910

Biodel, Inc. (a)

32,439

20,599

Bristol-Myers Squibb Co.

1,387,197

44,626,127

Cadence Pharmaceuticals, Inc. (a)(d)

43,831

164,366

Cempra, Inc.

5,499

41,243

ChemoCentryx, Inc.

1,737

17,787

Columbia Laboratories, Inc. (a)

42,578

28,101

Corcept Therapeutics, Inc. (a)

36,105

141,893

Cornerstone Therapeutics, Inc. (a)

7,737

44,410

Cumberland Pharmaceuticals, Inc. (a)(d)

7,158

56,763

DepoMed, Inc. (a)(d)

31,971

201,098

Durect Corp. (a)

93,293

69,037

Echo Therapeutics, Inc. (a)(d)

20,093

37,172

Eli Lilly & Co.

764,434

29,996,390

Endo Pharmaceuticals Holdings, Inc. (a)(d)

100,446

3,723,533

Endocyte, Inc.

47,373

168,174

Forest Laboratories, Inc. (a)

229,448

7,461,649

Hi-Tech Pharmacal Co., Inc. (a)(d)

12,868

513,691

Hospira, Inc. (a)(d)

164,444

5,857,495

Impax Laboratories, Inc. (a)(d)

46,165

1,077,953

Ista Pharmaceuticals, Inc. (a)(d)

34,715

287,440

Jazz Pharmaceuticals PLC (a)

17,296

907,521

Johnson & Johnson

2,195,262

142,867,651

KV Pharmaceutical Co. Class A (a)(d)

106,840

148,508

Lannett Co., Inc. (a)

27,670

114,277

MAP Pharmaceuticals, Inc. (a)

12,387

198,811

Medicis Pharmaceutical Corp. Class A (d)

44,858

1,567,339

Merck & Co., Inc.

2,453,258

93,640,858

Mylan, Inc. (a)

369,805

8,668,229

Nektar Therapeutics (a)(d)

110,915

795,261

NuPathe, Inc. (a)

18,258

54,957

Obagi Medical Products, Inc. (a)

21,864

248,156

Omeros Corp. (a)

4,428

30,110

Optimer Pharmaceuticals, Inc. (a)(d)

23,463

300,092

Pacira Pharmaceuticals, Inc.

9,810

104,967

Pain Therapeutics, Inc. (a)(d)

34,536

126,747

Par Pharmaceutical Companies, Inc. (a)

24,023

891,494

Pernix Therapeutics Holdings, Inc. (a)

5,833

50,280

Perrigo Co.

63,753

6,570,384

Pfizer, Inc.

6,153,479

129,838,407

Pozen, Inc. (a)

23,223

101,252

Questcor Pharmaceuticals, Inc. (a)(d)

48,551

1,888,634

Repros Therapeutics, Inc. (a)

12,895

54,159

Sagent Pharmaceuticals, Inc.

10,801

234,274

Salix Pharmaceuticals Ltd. (a)(d)

38,646

1,906,021

Santarus, Inc. (a)

23,487

106,161

Somaxon Pharmaceuticals, Inc. (a)

52,262

31,880

Synthetic Biologics, Inc. (a)

9,114

20,051

The Medicines Company (a)

52,840

1,132,361

Transcept Pharmaceuticals, Inc. (a)

2,494

20,825

Ventrus Biosciences, Inc. (a)

5,603

59,840

ViroPharma, Inc. (a)(d)

55,566

1,781,446

Vivus, Inc. (a)(d)

63,327

1,424,858

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Warner Chilcott PLC (a)

129,721

$ 2,170,232

Watson Pharmaceuticals, Inc. (a)

97,907

5,709,936

XenoPort, Inc. (a)

33,327

133,308

Zogenix, Inc. (a)

31,169

71,065

 

592,178,018

TOTAL HEALTH CARE

1,386,083,527

INDUSTRIALS - 11.0%

Aerospace & Defense - 2.2%

AAR Corp. (d)

29,755

656,098

AeroVironment, Inc. (a)(d)

13,243

377,161

Alliant Techsystems, Inc.

23,292

1,397,520

American Science & Engineering, Inc.

13,204

959,931

API Technologies Corp. (a)

22,349

84,703

Ascent Solar Technologies, Inc. (a)

33,082

25,142

Astronics Corp. (a)

4,574

152,909

BE Aerospace, Inc. (a)

69,691

3,194,635

Ceradyne, Inc.

17,193

531,436

Cubic Corp.

13,440

642,432

Curtiss-Wright Corp. (d)

35,352

1,313,327

DigitalGlobe, Inc. (a)

20,614

317,043

Ducommun, Inc.

15,643

238,869

EDAC Technologies Corp. (a)

2,262

23,525

Esterline Technologies Corp. (a)(d)

21,459

1,393,762

Exelis, Inc.

137,844

1,448,740

GenCorp, Inc. (non-vtg.) (a)(d)

89,447

536,682

General Dynamics Corp.

231,403

16,945,642

GeoEye, Inc. (a)(d)

17,908

362,995

Goodrich Corp.

101,105

12,736,197

HEICO Corp. Class A (d)

25,642

1,022,603

Hexcel Corp. (a)(d)

68,067

1,720,053

Honeywell International, Inc.

580,063

34,554,353

Huntington Ingalls Industries, Inc. (a)

32,670

1,172,200

Innovative Solutions & Support, Inc. (a)

20,271

86,557

KEYW Holding Corp. (a)(d)

13,887

98,598

Kratos Defense & Security Solutions, Inc. (a)

25,078

159,747

L-3 Communications Holdings, Inc.

80,666

5,666,787

LMI Aerospace, Inc. (a)

6,877

139,947

Lockheed Martin Corp.

217,998

19,273,203

Moog, Inc. Class A (a)(d)

29,482

1,294,555

National Presto Industries, Inc.

4,216

365,063

Northrop Grumman Corp.

200,685

12,002,970

Orbital Sciences Corp. (a)(d)

39,974

561,635

Precision Castparts Corp.

117,640

19,696,465

Raytheon Co.

298,668

15,088,707

Rockwell Collins, Inc.

116,948

6,933,847

Sparton Corp. (a)

2,579

24,294

 

Shares

Value

Spirit AeroSystems Holdings, Inc. Class A (a)(d)

83,434

$ 1,999,079

Sypris Solutions, Inc. (a)

2,772

10,450

Taser International, Inc. (a)(d)

58,908

237,399

Teledyne Technologies, Inc. (a)(d)

25,240

1,504,304

Textron, Inc.

249,615

6,866,909

The Boeing Co.

535,144

40,109,043

TransDigm Group, Inc. (a)

39,452

4,686,503

Triumph Group, Inc.

32,470

2,071,586

United Technologies Corp.

634,327

53,201,005

 

273,886,611

Air Freight & Logistics - 0.7%

Air Transport Services Group, Inc. (a)

62,170

337,583

Atlas Air Worldwide Holdings, Inc. (a)(d)

43,607

1,858,530

C.H. Robinson Worldwide, Inc.

126,390

8,363,226

Expeditors International of Washington, Inc.

169,939

7,414,439

FedEx Corp.

235,769

21,216,852

Forward Air Corp.

23,667

796,868

Hub Group, Inc. Class A (a)(d)

25,258

899,943

Pacer International, Inc. (a)(d)

29,688

163,878

Park-Ohio Holdings Corp. (a)

3,535

66,281

Radiant Logistics, Inc. (a)

14,104

32,439

United Parcel Service, Inc. Class B

549,869

42,279,427

UTI Worldwide, Inc.

71,523

1,154,381

XPO Logistics, Inc. (a)

5,264

88,277

 

84,672,124

Airlines - 0.2%

Alaska Air Group, Inc. (a)

25,753

1,765,883

Allegiant Travel Co. (a)(d)

21,060

1,052,579

Delta Air Lines, Inc. (a)

696,399

6,831,674

Hawaiian Holdings, Inc. (a)

37,702

200,198

JetBlue Airways Corp. (a)(d)

168,034

856,973

Pinnacle Airlines Corp. (a)

11,387

13,323

Republic Airways Holdings, Inc. (a)

81,894

434,857

SkyWest, Inc. (d)

37,944

433,320

Southwest Airlines Co.

603,928

5,423,273

Spirit Airlines, Inc. (a)

15,904

310,605

United Continental Holdings, Inc. (a)(d)

250,567

5,174,209

US Airways Group, Inc. (a)

117,312

869,282

 

23,366,176

Building Products - 0.2%

A.O. Smith Corp.

33,683

1,521,124

AAON, Inc.

30,814

571,600

Ameresco, Inc. Class A (a)

38,199

538,224

American Woodmark Corp.

6,981

99,200

Apogee Enterprises, Inc.

33,247

441,188

Armstrong World Industries, Inc. (a)(d)

15,342

785,817

Builders FirstSource, Inc. (a)

22,494

68,157

Fortune Brands Home & Security, Inc. (a)

128,056

2,476,603

Gibraltar Industries, Inc. (a)

39,553

546,622

Griffon Corp.

38,833

415,125

Insteel Industries, Inc.

16,775

210,694

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Lennox International, Inc. (d)

34,295

$ 1,341,963

Masco Corp. (d)

257,162

3,055,085

NCI Building Systems, Inc. (a)(d)

16,002

193,624

Owens Corning (a)

116,435

3,685,168

Quanex Building Products Corp.

24,300

413,343

Simpson Manufacturing Co. Ltd. (d)

27,187

810,716

Trex Co., Inc. (a)(d)

11,686

314,704

Universal Forest Products, Inc. (d)

19,011

611,014

USG Corp. (a)(d)

46,968

669,294

 

18,769,265

Commercial Services & Supplies - 0.6%

A.T. Cross Co. Class A (a)

3,205

31,890

ABM Industries, Inc. (d)

32,787

744,265

ACCO Brands Corp. (a)(d)

34,948

412,386

Acorn Energy, Inc.

7,981

65,843

American Reprographics Co. (a)(d)

46,203

243,952

Asset Acceptance Capital Corp. (a)

10,832

50,802

Asta Funding, Inc.

4,468

35,208

Avery Dennison Corp.

88,769

2,707,455

Casella Waste Systems, Inc. Class A (a)(d)

50,882

333,277

Cenveo, Inc. (a)(d)

56,923

222,000

Cintas Corp.

89,845

3,464,423

Clean Harbors, Inc. (a)

33,813

2,270,881

Consolidated Graphics, Inc. (a)

12,018

561,120

Copart, Inc. (a)

58,019

2,888,186

Corrections Corp. of America (a)(d)

88,360

2,214,302

Courier Corp.

15,678

169,009

Covanta Holding Corp.

92,025

1,502,768

Deluxe Corp. (d)

54,408

1,342,245

Encore Capital Group, Inc. (a)(d)

16,160

360,045

EnergySolutions, Inc. (a)(d)

104,471

439,823

EnerNOC, Inc. (a)

15,233

119,884

Ennis, Inc.

21,290

356,820

Fuel Tech, Inc. (a)

21,725

134,478

G&K Services, Inc. Class A

10,202

340,033

Healthcare Services Group, Inc.

45,556

887,431

Heritage-Crystal Clean, Inc. (a)

2,763

61,090

Herman Miller, Inc.

40,346

847,266

HNI Corp.

36,970

934,602

InnerWorkings, Inc. (a)(d)

28,532

325,265

Interface, Inc. Class A

44,100

540,225

Intersections, Inc.

7,586

88,529

Iron Mountain, Inc. (d)

166,503

5,169,918

KAR Auction Services, Inc. (a)

32,774

526,678

Kimball International, Inc. Class B

16,142

99,435

Knoll, Inc.

32,235

497,064

McGrath RentCorp.

17,562

557,594

Metalico, Inc. (a)(d)

41,543

208,546

Mine Safety Appliances Co.

26,951

993,414

Mobile Mini, Inc. (a)(d)

24,084

520,214

 

Shares

Value

Multi-Color Corp.

7,946

$ 173,779

NL Industries, Inc.

5,468

80,926

Perma-Fix Environmental Services, Inc. (a)

34,689

57,931

Pitney Bowes, Inc. (d)

142,010

2,574,641

Portfolio Recovery Associates, Inc. (a)(d)

11,960

833,971

Quad/Graphics, Inc.

18,905

283,008

R.R. Donnelley & Sons Co. (d)

148,125

2,047,088

Republic Services, Inc.

262,346

7,825,781

Rollins, Inc. (d)

56,964

1,154,091

Schawk, Inc. Class A

4,209

46,594

Standard Parking Corp. (a)(d)

5,698

102,849

Standard Register Co. (d)

6,365

9,993

Steelcase, Inc. Class A (d)

74,937

657,947

Stericycle, Inc. (a)(d)

61,330

5,321,604

Swisher Hygiene, Inc. (Canada) (a)(d)

59,712

176,151

Sykes Enterprises, Inc. (a)

30,728

423,432

Team, Inc. (a)

18,138

555,023

Tetra Tech, Inc. (a)(d)

44,643

1,096,432

The Brink's Co. (d)

40,696

1,027,574

The Geo Group, Inc. (a)(d)

57,559

1,013,614

TMS International Corp.

14,898

177,286

TRC Companies, Inc. (a)(d)

4,541

23,477

Unifirst Corp. Massachusetts

12,480

749,798

United Stationers, Inc.

31,409

912,117

US Ecology, Inc.

25,366

478,656

Viad Corp.

19,833

385,950

Virco Manufacturing Co.

2,682

5,498

Waste Connections, Inc.

87,111

2,832,850

Waste Management, Inc. (d)

318,741

11,149,560

 

75,445,987

Construction & Engineering - 0.3%

AECOM Technology Corp. (a)(d)

90,995

2,124,733

Aegion Corp. (a)(d)

27,214

479,239

Argan, Inc.

3,060

45,869

Comfort Systems USA, Inc.

43,738

500,363

Dycom Industries, Inc. (a)

25,959

552,408

EMCOR Group, Inc.

48,972

1,361,422

Fluor Corp.

136,998

8,285,639

Foster Wheeler AG (a)

88,503

2,179,829

Furmanite Corp. (a)

17,662

128,933

Granite Construction, Inc. (d)

31,641

904,933

Great Lakes Dredge & Dock Corp.

39,072

277,020

Integrated Electrical Services, Inc. (a)(d)

12,011

30,508

Jacobs Engineering Group, Inc. (a)(d)

100,035

4,623,618

KBR, Inc.

110,721

4,021,387

Layne Christensen Co. (a)

15,356

371,462

MasTec, Inc. (a)

48,062

845,411

Michael Baker Corp. (a)

6,265

151,174

MYR Group, Inc. (a)

25,270

506,158

Northwest Pipe Co. (a)(d)

12,188

298,362

Orion Marine Group, Inc. (a)

15,813

115,435

Pike Electric Corp. (a)

14,023

125,225

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Primoris Services Corp.

17,623

$ 271,042

Quanta Services, Inc. (a)

153,212

3,202,131

Shaw Group, Inc. (a)

55,953

1,619,280

Sterling Construction Co., Inc. (a)(d)

25,870

268,272

Tutor Perini Corp. (a)

24,002

378,752

UniTek Global Services, Inc. (a)

10,175

42,023

URS Corp. (d)

61,309

2,676,138

 

36,386,766

Electrical Equipment - 0.7%

A123 Systems, Inc. (a)(d)

96,963

174,533

Active Power, Inc. (a)

52,517

36,757

Acuity Brands, Inc. (d)

30,960

1,925,402

Allied Motion Technologies, Inc.

4,209

30,094

Altair Nanotechnologies, Inc. (a)(d)

63,623

43,900

American Superconductor Corp. (a)(d)

110,872

496,707

AMETEK, Inc.

141,837

6,751,441

AZZ, Inc.

12,314

618,163

Babcock & Wilcox Co. (a)

97,803

2,517,449

Belden, Inc.

33,652

1,328,244

Brady Corp. Class A

41,502

1,325,989

Broadwind Energy, Inc. (a)

72,530

45,687

Capstone Turbine Corp. (a)(d)

582,341

646,399

Coleman Cable, Inc. (a)(d)

5,164

58,715

Cooper Industries PLC Class A

121,848

7,459,535

Emerson Electric Co.

594,548

29,911,710

Encore Wire Corp.

23,059

671,709

EnerSys (a)(d)

36,086

1,211,768

Espey Manufacturing & Electronics Corp.

2,015

49,247

Franklin Electric Co., Inc. (d)

17,393

869,824

FuelCell Energy, Inc. (a)(d)

246,058

366,626

Generac Holdings, Inc. (a)

30,944

787,215

General Cable Corp. (a)(d)

39,737

1,230,655

Global Power Equipment Group, Inc. (a)

10,454

253,510

GrafTech International Ltd. (a)

132,891

1,689,045

Hubbell, Inc. Class B

39,086

2,940,049

II-VI, Inc. (a)(d)

36,783

860,354

LSI Industries, Inc.

16,481

113,884

MagneTek, Inc. (a)

2,664

36,603

Nexxus Lighting, Inc. (a)

1,806

2,005

Ocean Power Technologies, Inc. (a)(d)

5,875

19,681

Plug Power, Inc. (a)(d)

38,179

84,757

Polypore International, Inc. (a)(d)

32,865

1,351,409

Powell Industries, Inc. (a)(d)

7,721

253,172

PowerSecure International, Inc. (a)(d)

20,869

125,005

Preformed Line Products Co.

1,689

111,592

Regal-Beloit Corp. (d)

26,752

1,805,760

Rockwell Automation, Inc.

117,791

9,420,924

Roper Industries, Inc. (d)

74,094

6,781,083

Satcon Technology Corp. (a)(d)

75,540

37,770

SL Industries, Inc. (a)

2,156

37,191

Thermon Group Holdings, Inc.

10,097

203,354

 

Shares

Value

Thomas & Betts Corp. (a)

37,135

$ 2,682,261

Ultralife Corp. (a)

13,410

66,111

Valence Technology, Inc. (a)(d)

105,179

97,816

Vicor Corp.

10,982

89,174

 

87,620,279

Industrial Conglomerates - 2.1%

3M Co.

518,960

45,460,896

Carlisle Companies, Inc. (d)

43,210

2,108,648

Danaher Corp.

462,943

24,457,279

General Electric Co.

8,440,000

160,782,000

Raven Industries, Inc. (d)

15,000

945,750

Seaboard Corp. (a)(d)

249

476,367

Standex International Corp.

10,804

412,821

Tyco International Ltd.

358,852

18,595,711

 

253,239,472

Machinery - 2.5%

Accuride Corp. (a)

79,004

628,082

Actuant Corp. Class A (d)

48,056

1,353,738

Adept Technology, Inc. (a)

584

2,365

AGCO Corp. (a)(d)

70,548

3,642,393

Alamo Group, Inc.

14,374

386,229

Albany International Corp. Class A

29,462

704,731

Altra Holdings, Inc. (a)

19,022

370,739

American Railcar Industries, Inc. (a)

11,797

348,012

Ampco-Pittsburgh Corp.

10,414

220,881

Astec Industries, Inc. (a)(d)

12,338

468,227

Barnes Group, Inc.

31,261

865,930

Blount International, Inc. (a)

31,486

539,985

Briggs & Stratton Corp.

42,488

719,747

Cascade Corp.

11,310

602,144

Caterpillar, Inc.

464,889

53,094,973

Chart Industries, Inc. (a)(d)

21,388

1,462,725

CIRCOR International, Inc.

13,068

432,681

CLARCOR, Inc.

35,686

1,801,072

Colfax Corp. (a)(d)

35,245

1,199,035

Columbus McKinnon Corp. (NY Shares) (a)

26,972

449,084

Commercial Vehicle Group, Inc. (a)

77,079

931,885

Crane Co.

35,717

1,734,775

Cummins, Inc.

142,433

17,173,147

Deere & Co.

321,573

26,668,049

Donaldson Co., Inc.

51,141

3,755,284

Douglas Dynamics, Inc.

12,103

157,339

Dover Corp.

158,638

10,156,005

Dynamic Materials Corp.

12,763

284,743

Eastern Co.

943

18,106

Eaton Corp.

258,323

13,481,877

Energy Recovery, Inc. (a)(d)

81,715

175,687

EnPro Industries, Inc. (a)(d)

22,235

840,705

ESCO Technologies, Inc. (d)

20,247

724,640

Federal Signal Corp. (a)(d)

80,990

380,653

Flow International Corp. (a)(d)

30,791

123,164

Flowserve Corp.

41,509

4,921,722

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

FreightCar America, Inc.

19,411

$ 536,714

Gardner Denver, Inc.

36,882

2,533,056

Gorman-Rupp Co. (d)

14,200

409,954

Graco, Inc.

43,224

2,212,204

Graham Corp.

12,124

282,853

Greenbrier Companies, Inc. (a)(d)

15,464

390,930

Hardinge, Inc.

12,474

122,619

Harsco Corp.

57,382

1,275,602

Hurco Companies, Inc. (a)

3,319

79,092

IDEX Corp.

58,989

2,465,740

Illinois Tool Works, Inc.

345,543

19,243,290

Ingersoll-Rand PLC

273,625

10,912,165

ITT Corp.

114,023

2,844,874

John Bean Technologies Corp.

23,559

406,864

Joy Global, Inc.

93,181

8,103,020

Kadant, Inc. (a)

18,429

402,489

Kaydon Corp.

29,963

1,127,208

Kennametal, Inc. (d)

57,964

2,670,401

L.B. Foster Co. Class A

10,636

313,230

Lincoln Electric Holdings, Inc.

88,988

4,110,356

Lindsay Corp.

10,287

674,724

Lydall, Inc. (a)

9,770

89,005

Manitowoc Co., Inc.

95,250

1,499,235

Meritor, Inc. (a)

87,590

649,042

Met-Pro Corp.

5,616

49,814

Middleby Corp. (a)(d)

16,713

1,633,529

Miller Industries, Inc.

10,768

170,565

Mueller Industries, Inc.

27,692

1,273,832

Mueller Water Products, Inc. Class A

87,385

259,533

NACCO Industries, Inc. Class A

5,119

500,638

Navistar International Corp. (a)

55,357

2,312,815

NN, Inc. (a)(d)

12,121

108,362

Nordson Corp.

45,409

2,496,133

Omega Flex, Inc. (a)

258

4,069

Oshkosh Truck Corp. (a)

75,655

1,763,518

PACCAR, Inc.

301,814

13,886,462

Pall Corp.

84,786

5,379,672

Parker Hannifin Corp.

124,049

11,140,841

Pentair, Inc. (d)

68,772

2,647,722

PMFG, Inc. (a)

15,367

252,172

RBC Bearings, Inc. (a)(d)

21,831

993,529

Robbins & Myers, Inc.

32,129

1,568,216

Sauer-Danfoss, Inc. (a)

13,027

705,282

Snap-On, Inc.

40,414

2,470,508

SPX Corp.

36,737

2,686,944

Stanley Black & Decker, Inc.

128,823

9,893,606

Sun Hydraulics Corp.

19,343

635,611

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

18,712

85,888

Tennant Co.

13,999

574,519

Terex Corp. (a)

80,585

2,046,053

 

Shares

Value

Timken Co.

55,895

$ 2,928,898

Titan International, Inc.

31,894

785,868

Toro Co. (d)

24,680

1,671,823

TriMas Corp. (a)(d)

21,882

530,201

Trinity Industries, Inc. (d)

57,002

1,981,390

Twin Disc, Inc. (d)

7,177

229,377

Valmont Industries, Inc. (d)

15,781

1,752,796

Wabash National Corp. (a)(d)

74,589

787,660

WABCO Holdings, Inc. (a)

48,843

2,905,670

Wabtec Corp.

49,289

3,683,367

Watts Water Technologies, Inc. Class A (d)

38,674

1,529,170

Woodward, Inc.

51,161

2,239,317

Xylem, Inc.

140,492

3,649,982

 

304,390,573

Marine - 0.0%

Alexander & Baldwin, Inc.

29,287

1,359,210

Baltic Trading Ltd.

21,117

96,716

Eagle Bulk Shipping, Inc. (a)(d)

76,396

122,234

Genco Shipping & Trading Ltd. (a)(d)

78,839

540,047

International Shipholding Corp.

7,999

171,979

Kirby Corp. (a)(d)

38,314

2,629,107

 

4,919,293

Professional Services - 0.3%

Acacia Research Corp. - Acacia Technologies (a)

31,494

1,244,013

Advisory Board Co. (a)(d)

15,789

1,277,962

Barrett Business Services, Inc.

3,040

51,741

CBIZ, Inc. (a)(d)

37,390

243,035

CDI Corp.

6,150

92,312

Corporate Executive Board Co.

26,015

1,078,062

CoStar Group, Inc. (a)(d)

17,606

1,056,008

CRA International, Inc. (a)

15,589

371,174

CTPartners Executive Search, Inc. (a)

859

5,961

Dolan Co. (a)(d)

21,177

190,169

Dun & Bradstreet Corp.

36,211

2,992,839

Equifax, Inc.

88,390

3,715,916

Exponent, Inc. (a)(d)

15,525

748,616

Franklin Covey Co. (a)

2,282

20,082

FTI Consulting, Inc. (a)(d)

36,212

1,451,015

GP Strategies Corp. (a)

3,391

53,103

Heidrick & Struggles International, Inc.

22,259

452,303

Hill International, Inc. (a)

13,945

74,745

Hudson Highland Group, Inc. (a)(d)

8,927

39,904

Huron Consulting Group, Inc. (a)

16,504

630,123

ICF International, Inc. (a)

17,107

443,585

IHS, Inc. Class A (a)(d)

41,214

3,897,608

Insperity, Inc.

15,769

475,120

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

19,294

289,410

Kforce, Inc. (a)(d)

25,995

366,530

Korn/Ferry International (a)(d)

33,723

538,556

Manpower, Inc.

59,376

2,557,324

Mastech Holdings, Inc. (a)

299

1,588

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

MISTRAS Group, Inc. (a)

12,788

$ 286,451

Navigant Consulting, Inc. (a)(d)

41,733

563,813

Nielsen Holdings B.V. (a)

48,341

1,425,576

Odyssey Marine Exploration, Inc. (a)(d)

19,002

57,956

On Assignment, Inc. (a)

26,316

365,266

Pendrell Corp. (a)

126,539

306,224

RCM Technologies, Inc. (a)

1,203

6,508

Resources Connection, Inc.

43,312

566,088

Robert Half International, Inc.

105,423

2,997,176

RPX Corp.

12,247

206,362

Spherix, Inc. (a)

232

188

Towers Watson & Co.

48,457

3,098,341

TrueBlue, Inc. (a)

38,883

643,902

Verisk Analytics, Inc. (a)

106,319

4,624,877

VSE Corp.

1,834

44,805

 

39,552,337

Road & Rail - 0.9%

AMERCO

6,519

678,889

Arkansas Best Corp. (d)

18,872

335,922

Avis Budget Group, Inc. (a)(d)

78,355

1,010,780

Celadon Group, Inc.

57,193

844,169

Con-way, Inc. (d)

37,353

1,103,781

Covenant Transport Group, Inc. Class A (a)

9,633

31,307

CSX Corp.

852,220

17,905,142

Dollar Thrifty Automotive Group, Inc. (a)

19,104

1,450,185

Genesee & Wyoming, Inc. Class A (a)(d)

27,283

1,621,156

Heartland Express, Inc. (d)

35,341

511,384

Hertz Global Holdings, Inc. (a)(d)

176,222

2,519,975

J.B. Hunt Transport Services, Inc.

80,895

4,142,633

Kansas City Southern (a)(d)

80,222

5,581,847

Knight Transportation, Inc.

36,896

632,028

Landstar System, Inc. (d)

32,065

1,733,434

Marten Transport Ltd.

20,799

434,075

Norfolk Southern Corp.

270,164

18,614,300

Old Dominion Freight Lines, Inc. (a)(d)

46,240

2,011,902

Patriot Transportation Holding, Inc. (a)

1,312

29,520

Providence & Worcester Railroad Co.

4,631

67,520

Quality Distribution, Inc. (a)

25,189

327,709

RailAmerica, Inc. (a)

21,609

445,145

Roadrunner Transportation Systems, Inc. (a)

7,586

135,410

Ryder System, Inc.

36,836

1,960,780

Saia, Inc. (a)

11,656

190,109

Swift Transporation Co. (a)

51,169

599,701

Union Pacific Corp.

385,211

42,469,513

Universal Truckload Services, Inc.

2,515

39,209

USA Truck, Inc. (a)

1,841

15,059

Werner Enterprises, Inc. (d)

39,422

954,801

 

Shares

Value

YRC Worldwide, Inc. (a)

240

$ 2,194

Zipcar, Inc. (a)(d)

19,521

253,968

 

108,653,547

Trading Companies & Distributors - 0.3%

Aceto Corp.

32,506

269,475

AeroCentury Corp. (a)

688

6,811

Air Lease Corp. Class A (d)

53,855

1,324,294

Aircastle Ltd.

32,942

448,341

Applied Industrial Technologies, Inc.

26,028

1,045,545

Beacon Roofing Supply, Inc. (a)(d)

44,417

1,047,353

BlueLinx Corp. (a)

17,176

40,192

CAI International, Inc. (a)(d)

7,670

154,551

DXP Enterprises, Inc. (a)

1,851

68,487

Essex Rental Corp. (a)(d)

16,688

61,912

Fastenal Co. (d)

252,177

13,284,684

GATX Corp.

32,405

1,409,293

H&E Equipment Services, Inc. (a)(d)

17,348

299,947

Houston Wire & Cable Co.

15,647

222,187

Interline Brands, Inc. (a)(d)

20,339

418,170

Kaman Corp.

17,880

616,681

Lawson Products, Inc.

3,745

61,081

MSC Industrial Direct Co., Inc. Class A

35,219

2,796,741

RSC Holdings, Inc. (a)

42,293

941,865

Rush Enterprises, Inc. Class A (a)(d)

25,276

602,074

TAL International Group, Inc.

16,704

602,012

Textainer Group Holdings Ltd.

13,061

433,886

Titan Machinery, Inc. (a)

17,235

451,385

United Rentals, Inc. (a)(d)

47,810

1,992,721

W.W. Grainger, Inc.

52,656

10,938,231

Watsco, Inc.

17,655

1,260,390

WESCO International, Inc. (a)(d)

30,088

1,892,234

Willis Lease Finance Corp. (a)

2,006

29,027

 

42,719,570

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)

18,229

268,149

TOTAL INDUSTRIALS

1,353,890,149

INFORMATION TECHNOLOGY - 19.2%

Communications Equipment - 2.0%

Acme Packet, Inc. (a)(d)

46,234

1,409,212

ADTRAN, Inc. (d)

45,765

1,613,216

Alliance Fiber Optic Products, Inc. (a)

8,067

74,781

Ambient Corp. (a)

1,932

9,274

Anaren, Inc. (a)

31,499

552,492

Arris Group, Inc. (a)

84,319

960,393

Aruba Networks, Inc. (a)(d)

71,459

1,542,800

Aviat Networks, Inc. (a)

66,605

175,171

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

7,032

122,919

Black Box Corp.

16,753

450,991

Blonder Tongue Laboratories, Inc. (a)

3,352

4,425

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Brocade Communications Systems, Inc. (a)

336,853

$ 1,947,010

CalAmp Corp. (a)

8,197

35,247

Calix Networks, Inc. (a)

19,283

174,318

Ciena Corp. (a)

64,815

967,040

Cisco Systems, Inc.

4,278,965

85,065,824

Communications Systems, Inc.

4,311

62,768

Comtech Telecommunications Corp. (d)

22,438

724,074

Comverse Technology, Inc. (a)

148,465

953,145

Digi International, Inc. (a)(d)

21,456

241,165

Ditech Networks, Inc. (a)

7,261

6,463

EchoStar Holding Corp. Class A (a)

36,937

1,107,002

EMCORE Corp. (a)(d)

14,874

64,553

Emulex Corp. (a)

66,808

698,812

Entrada Networks, Inc. (a)

150

0

Extreme Networks, Inc. (a)

100,558

371,059

F5 Networks, Inc. (a)

59,599

7,447,491

Finisar Corp. (a)(d)

64,308

1,304,809

Globecomm Systems, Inc. (a)

11,676

169,185

Harmonic, Inc. (a)

75,490

444,636

Harris Corp.

108,567

4,736,778

Infinera Corp. (a)(d)

68,698

546,836

InterDigital, Inc. (d)

33,368

1,262,979

Ixia (a)(d)

32,033

442,696

JDS Uniphase Corp. (a)(d)

177,119

2,309,632

Juniper Networks, Inc. (a)

460,375

10,478,135

KVH Industries, Inc. (a)

19,663

179,720

Lantronix, Inc. (a)

71

209

Loral Space & Communications Ltd. (a)

9,406

670,083

Meru Networks, Inc. (a)(d)

20,865

98,483

Motorola Mobility Holdings, Inc. (a)

255,327

10,136,482

Motorola Solutions, Inc.

227,709

11,339,908

NETGEAR, Inc. (a)(d)

32,032

1,203,442

Network Engines, Inc. (a)

28,981

41,153

Network Equipment Technologies, Inc. (a)(d)

15,181

10,946

NumereX Corp. Class A (a)(d)

2,670

25,979

Oclaro, Inc. (a)(d)

28,804

124,433

Oplink Communications, Inc. (a)

15,273

250,630

Opnext, Inc. (a)

39,034

39,424

Optical Cable Corp.

564

1,974

ORBCOMM, Inc. (a)(d)

20,031

64,700

Parkervision, Inc. (a)(d)

34,215

28,330

PC-Tel, Inc.

2,259

16,604

Performance Technologies, Inc. (a)

2,977

5,984

Plantronics, Inc.

39,954

1,490,284

Polycom, Inc. (a)

189,613

3,915,508

Powerwave Technologies, Inc. (a)(d)

17,873

25,380

Procera Networks, Inc. (a)

21,122

411,034

QUALCOMM, Inc.

1,339,659

83,299,997

Riverbed Technology, Inc. (a)(d)

114,012

3,245,922

 

Shares

Value

ShoreTel, Inc. (a)(d)

4,948

$ 26,571

Sonus Networks, Inc. (a)(d)

223,825

653,569

Sycamore Networks, Inc. (a)

13,906

256,844

Symmetricom, Inc. (a)(d)

21,713

127,455

Tellabs, Inc.

247,829

981,403

Telular Corp.

1,806

13,581

Tessco Technologies, Inc.

3,361

61,574

Ubiquiti Networks, Inc. (d)

4,528

118,996

UTStarcom Holdings Corp. (a)

124,511

174,315

ViaSat, Inc. (a)(d)

30,912

1,425,971

Westell Technologies, Inc. Class A (a)

20,974

48,030

Zhone Technologies, Inc. (a)

5,862

7,034

Zoom Technologies, Inc. (a)(d)

31,336

39,170

 

249,038,453

Computers & Peripherals - 4.6%

3D Systems Corp. (a)(d)

26,596

595,750

Apple, Inc. (a)

743,137

403,107,204

Astro-Med, Inc.

4,606

37,263

Avid Technology, Inc. (a)(d)

34,710

369,662

Concurrent Computer Corp. (a)

987

3,672

Cray, Inc. (a)

32,010

255,120

Datalink Corp. (a)

9,248

78,700

Dataram Corp. (a)

3,336

2,635

Dell, Inc. (a)

1,327,547

22,966,563

Diebold, Inc.

54,057

2,115,250

Dot Hill Systems Corp. (a)(d)

82,138

114,172

Electronics for Imaging, Inc. (a)

55,580

887,057

EMC Corp. (a)(d)

1,649,316

45,669,560

Fusion-io, Inc. (d)

9,114

248,812

Hauppauge Digital, Inc. (a)

430

555

Hewlett-Packard Co.

1,598,167

40,449,607

Hutchinson Technology, Inc. (a)(d)

26,208

56,871

iGO, Inc. (a)

68,212

47,748

Imation Corp. (a)

19,750

123,438

Immersion Corp. (a)

33,895

219,979

Intermec, Inc. (a)(d)

37,733

282,243

Interphase Corp. (a)

10,718

53,054

Intevac, Inc. (a)

17,689

139,743

Lexmark International, Inc. Class A

56,069

2,067,825

MidgardXXI, Inc. (a)

10

0

NCR Corp. (a)

113,005

2,454,469

NetApp, Inc. (a)(d)

322,353

13,861,179

Novatel Wireless, Inc. (a)

27,517

94,383

OCZ Technology Group, Inc. (a)(d)

45,585

391,575

Overland Storage, Inc. (a)

596

1,377

Presstek, Inc. (a)

7,291

4,448

QLogic Corp. (a)(d)

79,628

1,368,805

Quantum Corp. (a)(d)

153,724

404,294

Rimage Corp.

6,017

65,886

SanDisk Corp. (a)

191,635

9,478,267

Scan-Optics, Inc. (a)

300

0

Seagate Technology

321,490

8,442,327

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Silicon Graphics International Corp. (a)(d)

32,579

$ 315,691

STEC, Inc. (a)(d)

29,627

287,086

Stratasys, Inc. (a)(d)

19,165

706,039

Super Micro Computer, Inc. (a)(d)

26,807

443,388

Synaptics, Inc. (a)

22,919

842,273

Transact Technologies, Inc. (a)

3,411

22,990

USA Technologies, Inc. (a)

26,460

26,989

Video Display Corp. (a)

2,957

17,298

Western Digital Corp. (a)

203,569

7,990,083

 

567,111,330

Electronic Equipment & Components - 0.8%

Advanced Photonix, Inc. Class A (a)

4,544

3,453

Aeroflex Holding Corp. (a)

11,165

122,480

Agilysys, Inc. (a)(d)

29,298

235,849

Amphenol Corp. Class A

129,122

7,225,667

Anixter International, Inc. (a)(d)

21,905

1,523,274

Arrow Electronics, Inc. (a)

85,228

3,421,904

Avnet, Inc. (a)

111,339

3,979,256

AVX Corp.

35,625

471,675

Badger Meter, Inc.

27,105

871,968

Benchmark Electronics, Inc. (a)(d)

50,023

821,378

Brightpoint, Inc. (a)

109,219

961,127

Checkpoint Systems, Inc. (a)(d)

27,013

299,844

Clearfield, Inc. (a)

2,407

13,648

Cognex Corp.

33,219

1,416,458

Coherent, Inc. (a)(d)

20,405

1,132,069

Comverge, Inc. (a)

37,629

51,928

Corning, Inc.

1,309,123

17,070,964

CTS Corp. (d)

18,339

182,473

Daktronics, Inc. (d)

32,196

289,764

DDi Corp.

2,322

25,240

Document Security Systems, Inc. (a)(d)

5,625

25,481

Dolby Laboratories, Inc. Class A (a)(d)

41,734

1,588,813

DTS, Inc. (a)(d)

18,857

529,505

Echelon Corp. (a)(d)

32,190

158,375

Electro Rent Corp.

7,772

140,285

Electro Scientific Industries, Inc.

21,640

299,498

eMagin Corp. (a)

5,084

16,116

Fabrinet (a)

16,812

300,430

FARO Technologies, Inc. (a)(d)

18,648

1,034,218

FEI Co. (a)(d)

28,037

1,248,207

FLIR Systems, Inc.

126,251

3,303,989

Frequency Electronics, Inc. (a)

430

3,479

Giga-Tronics, Inc. (a)

2,579

3,275

GTSI Corp. (a)

2,043

9,643

I. D. Systems Inc. (a)

6,071

37,397

Identive Group, Inc. (a)(d)

86,261

191,499

IEC Electronics Corp. (a)

86

410

Ingram Micro, Inc. Class A (a)

145,788

2,788,924

Insight Enterprises, Inc. (a)

31,583

660,085

 

Shares

Value

IPG Photonics Corp. (a)(d)

18,873

$ 993,286

Iteris, Inc. (a)

1,032

1,548

Itron, Inc. (a)(d)

29,456

1,308,436

Jabil Circuit, Inc.

146,454

3,782,907

KEMET Corp. (a)

26,217

236,215

LeCroy Corp. (a)

12,224

111,972

LightPath Technologies, Inc. Class A (a)

376

669

Littelfuse, Inc.

21,280

1,126,350

LoJack Corp. (a)

24,621

90,605

LRAD Corp. (a)

56,581

80,345

Maxwell Technologies, Inc. (a)

15,285

278,034

Measurement Specialties, Inc. (a)(d)

15,282

496,971

Mercury Computer Systems, Inc. (a)(d)

23,393

336,157

Mesa Laboratories, Inc.

2,184

116,822

Methode Electronics, Inc. Class A

27,713

253,574

Micronetics, Inc. (a)

977

8,197

MicroVision, Inc. (a)(d)

33,139

107,039

MOCON, Inc.

2,209

37,995

Molex, Inc.

125,980

3,414,058

MTS Systems Corp.

16,730

821,610

Multi-Fineline Electronix, Inc. (a)

10,240

269,926

National Instruments Corp. (d)

77,745

2,068,017

NeoPhotonics Corp.

11,524

61,423

NetList, Inc. (a)(d)

67,152

233,689

Newport Corp. (a)

23,268

389,041

OSI Systems, Inc. (a)

17,430

1,028,370

Park Electrochemical Corp.

16,314

464,949

PC Connection, Inc.

4,375

39,113

PC Mall, Inc. (a)

4,077

24,666

Planar Systems, Inc. (a)

2,277

4,668

Plexus Corp. (a)(d)

33,577

1,165,122

Power-One, Inc. (a)

66,414

288,237

Pulse Electronics Corp.

50,135

154,416

RadiSys Corp. (a)

9,220

69,058

RealD, Inc. (a)(d)

37,860

446,748

Research Frontiers, Inc. (a)

1,719

6,017

Richardson Electronics Ltd.

14,373

176,213

Rofin-Sinar Technologies, Inc. (a)(d)

22,270

522,454

Rogers Corp. (a)

16,870

625,708

Sanmina-SCI Corp. (a)

57,434

666,234

ScanSource, Inc. (a)(d)

19,738

730,306

SYNNEX Corp. (a)(d)

16,578

683,511

TE Connectivity Ltd.

360,324

13,169,842

Tech Data Corp. (a)(d)

34,347

1,836,878

Trimble Navigation Ltd. (a)(d)

112,371

5,651,138

TTM Technologies, Inc. (a)(d)

45,522

533,063

Universal Display Corp. (a)(d)

32,522

1,343,484

Viasystems Group, Inc. (a)

4,710

87,229

Vishay Intertechnology, Inc. (a)(d)

124,817

1,530,256

Vishay Precision Group, Inc. (a)

9,596

140,965

Wayside Technology Group, Inc.

1,232

15,708

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

X-Rite, Inc. (a)(d)

25,574

$ 115,850

Zygo Corp. (a)

9,828

188,501

 

100,793,638

Internet Software & Services - 1.8%

Active Network, Inc.

16,913

270,608

Akamai Technologies, Inc. (a)

148,200

5,335,200

Ancestry.com, Inc. (a)(d)

20,613

469,564

AOL, Inc. (a)(d)

78,638

1,412,338

Autobytel, Inc. (a)

5,742

5,570

Bankrate, Inc.

33,840

806,746

Carbonite, Inc. (d)

4,801

46,522

comScore, Inc. (a)

21,331

469,069

Constant Contact, Inc. (a)(d)

22,301

674,382

Cornerstone OnDemand, Inc.

13,725

284,657

Crexendo, Inc.

6,585

26,999

DealerTrack Holdings, Inc. (a)

34,664

965,392

Demand Media, Inc. (a)

24,152

165,683

Dice Holdings, Inc. (a)(d)

35,391

314,272

Digital River, Inc. (a)

26,434

466,560

EarthLink, Inc.

80,611

602,164

EasyLink Services International Corp. (a)

13,300

62,111

eBay, Inc. (a)

908,088

32,455,065

eGain Communications Corp. (a)

8,558

44,587

Equinix, Inc. (a)(d)

42,644

5,977,836

FriendFinder Networks, Inc. (a)(d)

17,170

35,027

GlowPoint, Inc. (a)

18,770

55,559

Google, Inc. Class A (a)

200,534

123,980,146

IAC/InterActiveCorp

59,783

2,726,105

InfoSpace, Inc. (a)

32,776

380,529

Internap Network Services Corp. (a)(d)

34,998

261,785

IntraLinks Holdings, Inc. (a)

36,458

214,373

iPass, Inc. (a)

22,438

48,466

j2 Global, Inc.

32,417

958,571

Keynote Systems, Inc.

17,976

357,543

KIT Digital, Inc. (a)(d)

29,076

293,958

Limelight Networks, Inc. (a)(d)

33,081

124,385

LinkedIn Corp. (a)(d)

12,270

1,065,895

Liquidity Services, Inc. (a)(d)

21,953

949,467

LivePerson, Inc. (a)(d)

31,684

477,795

Local.com Corp. (a)(d)

17,671

42,057

LogMeIn, Inc. (a)

22,955

846,121

LoopNet, Inc. (a)

32,780

603,152

Marchex, Inc. Class B

28,685

123,059

Monster Worldwide, Inc. (a)(d)

89,914

624,003

Move, Inc. (a)

35,516

311,120

NIC, Inc. (d)

64,465

779,382

Onstream Media Corp. (a)

29

17

OpenTable, Inc. (a)(d)

15,333

743,651

Openwave Systems, Inc. (a)(d)

76,683

185,573

Perficient, Inc. (a)

14,607

176,453

quepasa.com, Inc. (a)(d)

18,724

73,773

 

Shares

Value

QuinStreet, Inc. (a)

17,620

$ 184,129

Rackspace Hosting, Inc. (a)

84,736

4,426,609

RealNetworks, Inc.

22,443

227,796

Responsys, Inc.

13,609

164,261

Saba Software, Inc. (a)

20,826

244,081

SciQuest, Inc. (a)

7,578

114,049

Selectica, Inc. (a)

552

2,539

SPS Commerce, Inc. (a)

5,106

126,884

Stamps.com, Inc. (a)(d)

5,476

141,555

Support.com, Inc. (a)

101,132

333,736

Synacor, Inc.

5,439

26,542

TechTarget, Inc. (a)

1,217

8,397

TheStreet.com, Inc.

3,696

6,801

Travelzoo, Inc. (a)(d)

5,383

136,728

United Online, Inc. (d)

71,982

364,229

ValueClick, Inc. (a)(d)

56,521

1,175,637

VeriSign, Inc. (d)

129,741

4,793,930

VistaPrint Ltd. (a)(d)

28,654

1,165,645

Vocus, Inc. (a)(d)

23,379

316,318

Web.com, Inc. (a)

17,847

236,294

WebMD Health Corp. (a)

42,405

1,053,764

WebMediaBrands, Inc. (a)

1,032

702

XO Group, Inc. (a)(d)

22,964

207,595

Yahoo!, Inc. (a)

952,403

14,124,136

Zillow, Inc. (a)

2,697

86,088

Zix Corp. (a)

43,773

128,255

 

217,089,990

IT Services - 3.5%

Accenture PLC Class A

559,482

33,311,558

Acxiom Corp. (a)

52,919

742,983

Alliance Data Systems Corp. (a)(d)

49,861

6,051,131

Automatic Data Processing, Inc.

397,015

21,565,855

Booz Allen Hamilton Holding Corp. Class A

8,727

160,664

Broadridge Financial Solutions, Inc.

87,381

2,126,854

CACI International, Inc. Class A (a)(d)

20,462

1,210,123

Cardtronics, Inc. (a)

30,845

820,169

Cass Information Systems, Inc.

1,428

54,964

Ciber, Inc. (a)

53,912

236,135

Cognizant Technology Solutions Corp. Class A (a)

249,816

17,724,445

Computer Sciences Corp. (d)

116,344

3,695,085

Computer Task Group, Inc. (a)

1,648

24,242

Convergys Corp. (a)(d)

80,658

1,038,875

CoreLogic, Inc. (a)

76,798

1,181,153

CSG Systems International, Inc. (a)(d)

26,552

425,098

CSP, Inc.

3,696

14,119

DST Systems, Inc.

26,518

1,405,454

Dynamics Research Corp. (a)(d)

2,443

22,280

Echo Global Logistics, Inc. (a)(d)

7,746

144,076

Edgewater Technology, Inc. (a)

2,875

10,753

EPAM Systems, Inc.

6,277

88,568

Euronet Worldwide, Inc. (a)(d)

36,875

711,319

ExlService Holdings, Inc. (a)

13,702

381,190

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Fidelity National Information Services, Inc.

242,609

$ 7,697,984

Fiserv, Inc. (a)

126,468

8,384,828

FleetCor Technologies, Inc. (a)

22,298

825,695

Forrester Research, Inc.

10,441

336,513

Gartner, Inc. Class A (a)

61,997

2,495,999

Genpact Ltd. (a)

69,465

1,112,829

Global Cash Access Holdings, Inc. (a)(d)

58,402

324,715

Global Payments, Inc.

61,860

3,193,213

Hackett Group, Inc. (a)

5,515

26,582

Heartland Payment Systems, Inc.

30,852

873,729

Higher One Holdings, Inc. (a)(d)

21,234

312,140

IBM Corp.

946,365

186,178,386

iGate Corp. (a)(d)

19,383

337,846

Innodata Isogen, Inc. (a)

9,444

54,114

Jack Henry & Associates, Inc. (d)

64,694

2,182,776

Lender Processing Services, Inc.

62,754

1,383,098

Lionbridge Technologies, Inc. (a)

34,685

89,834

ManTech International Corp. Class A

23,021

772,124

MasterCard, Inc. Class A

81,964

34,424,880

Mattersight Corp. (a)

4,307

24,722

Maximus, Inc.

30,123

1,256,430

ModusLink Global Solutions, Inc.

31,030

172,527

MoneyGram International, Inc. (a)

47,720

855,142

NCI, Inc. Class A (a)(d)

12,261

88,279

NeuStar, Inc. Class A (a)(d)

51,899

1,819,060

Online Resources Corp. (a)

26,280

78,840

Paychex, Inc. (d)

246,065

7,701,835

PFSweb, Inc. (a)

1,815

5,082

PRG-Schultz International, Inc. (a)

5,640

31,471

SAIC, Inc. (a)(d)

273,792

3,345,738

Sapient Corp. (d)

97,843

1,222,059

ServiceSource International, Inc.

26,438

444,158

StarTek, Inc. (a)

1,950

3,959

Storage Engine, Inc. (a)

434

0

Stream Global Services, Inc. (a)

29,228

89,730

Syntel, Inc.

16,557

847,718

Teletech Holdings, Inc. (a)

19,293

294,604

Teradata Corp. (a)

126,713

8,432,750

The Management Network Group, Inc. (a)

206

515

The Western Union Co.

477,567

8,343,095

TNS, Inc. (a)

26,351

483,014

Total System Services, Inc.

136,562

2,987,977

TSR, Inc. (a)

43

189

Unisys Corp. (a)

35,389

661,067

VeriFone Systems, Inc. (a)(d)

74,468

3,566,273

Virtusa Corp. (a)

2,325

36,340

Visa, Inc. Class A

393,010

45,734,574

Wright Express Corp. (a)(d)

27,520

1,702,938

 

434,384,464

 

Shares

Value

Office Electronics - 0.1%

Xerox Corp.

1,207,010

$ 9,933,692

Zebra Technologies Corp. Class A (a)

39,540

1,519,918

 

11,453,610

Semiconductors & Semiconductor Equipment - 2.6%

Advanced Energy Industries, Inc. (a)(d)

31,081

372,972

Advanced Micro Devices, Inc. (a)(d)

423,974

3,116,209

AEHR Test Systems (a)

3,126

2,501

Aetrium, Inc. (a)

2,064

1,754

Altera Corp.

244,713

9,409,215

Amkor Technology, Inc. (a)(d)

114,967

734,639

Amtech Systems, Inc. (a)(d)

12,381

108,458

ANADIGICS, Inc. (a)(d)

39,656

101,916

Analog Devices, Inc.

259,067

10,158,017

Applied Materials, Inc.

1,081,624

13,239,078

Applied Micro Circuits Corp. (a)(d)

73,605

499,042

Atmel Corp. (a)(d)

322,880

3,264,317

ATMI, Inc. (a)

23,384

515,150

AuthenTec, Inc. (a)

7,194

25,179

Axcelis Technologies, Inc. (a)

75,586

125,473

AXT, Inc. (a)

22,615

129,584

Broadcom Corp. Class A

387,137

14,382,140

Brooks Automation, Inc.

46,495

555,615

BTU International, Inc. (a)

4,067

11,998

Cabot Microelectronics Corp.

23,133

1,162,433

Cavium, Inc. (a)(d)

36,402

1,300,643

Ceva, Inc. (a)(d)

14,448

356,143

Cirrus Logic, Inc. (a)(d)

43,561

1,027,168

Cohu, Inc.

18,095

203,026

Cree, Inc. (a)(d)

80,092

2,425,987

CVD Equipment Corp. (a)(d)

24,298

279,670

Cymer, Inc. (a)(d)

24,391

1,121,498

Cypress Semiconductor Corp. (d)

184,808

3,187,938

Diodes, Inc. (a)(d)

26,894

668,047

DSP Group, Inc. (a)

34,788

222,295

Entegris, Inc. (a)

103,421

934,926

Entropic Communications, Inc. (a)(d)

53,522

329,963

Exar Corp. (a)

27,190

190,330

Fairchild Semiconductor International, Inc. (a)

99,102

1,445,898

First Solar, Inc. (a)(d)

47,554

1,535,994

FormFactor, Inc. (a)

37,840

193,362

FSI International, Inc. (a)(d)

26,930

107,181

GSI Technology, Inc. (a)

4,316

19,854

GT Advanced Technologies, Inc. (a)(d)

91,707

785,012

Hittite Microwave Corp. (a)(d)

19,341

1,105,918

Ikanos Communications, Inc. (a)

35,040

26,301

Inphi Corp. (a)

9,279

133,246

Integrated Device Technology, Inc. (a)

100,471

694,255

Integrated Silicon Solution, Inc. (a)

27,085

286,559

Intel Corp.

4,067,111

109,323,944

International Rectifier Corp. (a)

50,327

1,129,841

Intersil Corp. Class A (d)

88,851

1,005,793

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Intest Corp. (a)

2,175

$ 7,547

IXYS Corp. (a)(d)

37,153

443,235

KLA-Tencor Corp.

134,341

6,502,104

Kopin Corp. (a)(d)

42,598

153,353

Kulicke & Soffa Industries, Inc. (a)

54,346

611,936

Lam Research Corp. (a)(d)

90,374

3,768,596

Lattice Semiconductor Corp. (a)

136,230

897,756

Linear Technology Corp.

156,591

5,242,667

LSI Corp. (a)

436,463

3,753,582

LTX-Credence Corp. (a)

48,731

328,934

Marvell Technology Group Ltd. (a)

448,792

6,731,880

Mattson Technology, Inc. (a)

39,367

108,259

Maxim Integrated Products, Inc.

221,144

6,167,706

MaxLinear, Inc. Class A (a)

10,522

57,871

MEMC Electronic Materials, Inc. (a)(d)

169,051

664,370

Micrel, Inc.

33,398

356,357

Microchip Technology, Inc. (d)

142,451

5,138,208

Micron Technology, Inc. (a)(d)

676,849

5,787,059

Microsemi Corp. (a)(d)

62,713

1,311,956

Mindspeed Technologies, Inc. (a)

20,470

133,260

MIPS Technologies, Inc. (a)(d)

41,504

239,063

MKS Instruments, Inc.

37,798

1,132,050

Monolithic Power Systems, Inc. (a)

35,284

655,930

MoSys, Inc. (a)(d)

9,566

36,542

Nanometrics, Inc. (a)(d)

28,664

503,053

Novellus Systems, Inc. (a)

59,418

2,761,749

NVE Corp. (a)(d)

6,043

323,301

NVIDIA Corp. (a)

448,017

6,787,458

Omnivision Technologies, Inc. (a)(d)

44,394

726,730

ON Semiconductor Corp. (a)

400,227

3,630,059

PDF Solutions, Inc. (a)

4,311

34,617

Pericom Semiconductor Corp. (a)

17,514

134,683

Photronics, Inc. (a)(d)

74,723

523,808

Pixelworks, Inc. (a)

11,868

28,246

PLX Technology, Inc. (a)(d)

29,807

104,623

PMC-Sierra, Inc. (a)

166,615

1,144,645

Power Integrations, Inc.

28,590

1,066,407

QuickLogic Corp. (a)(d)

26,338

68,479

Rambus, Inc. (a)

76,083

538,668

Ramtron International Corp. (a)

22,353

42,471

RF Micro Devices, Inc. (a)(d)

198,693

947,766

Rubicon Technology, Inc. (a)(d)

18,271

163,891

Rudolph Technologies, Inc. (a)(d)

17,933

176,999

Semtech Corp. (a)(d)

45,838

1,316,009

Sigma Designs, Inc. (a)

22,818

131,204

Silicon Image, Inc. (a)

84,424

436,472

Silicon Laboratories, Inc. (a)(d)

30,879

1,383,379

Skyworks Solutions, Inc. (a)(d)

197,217

5,318,942

Spansion, Inc. Class A (a)

25,556

327,117

Standard Microsystems Corp. (a)(d)

24,875

636,551

STR Holdings, Inc. (a)(d)

37,233

264,354

 

Shares

Value

SunPower Corp. (a)

29,517

$ 222,263

Supertex, Inc. (a)

19,548

360,856

Teradyne, Inc. (a)(d)

178,524

2,931,364

Tessera Technologies, Inc. (a)

33,779

567,487

Texas Instruments, Inc.

941,830

31,410,031

TranSwitch Corp. (a)

16,133

45,656

Trio-Tech International (a)

3,696

7,392

TriQuint Semiconductor, Inc. (a)(d)

138,618

892,700

Ultra Clean Holdings, Inc. (a)

12,895

105,352

Ultratech, Inc. (a)

31,408

854,612

Veeco Instruments, Inc. (a)(d)

36,173

978,118

Vitesse Semiconductor Corp. (a)(d)

9,484

37,746

Volterra Semiconductor Corp. (a)(d)

28,138

864,681

Xilinx, Inc. (d)

198,755

7,340,022

 

314,326,664

Software - 3.8%

Accelrys, Inc. (a)

29,972

237,978

ACI Worldwide, Inc. (a)

37,489

1,416,334

Activision Blizzard, Inc. (d)

335,744

4,012,141

Actuate Corp. (a)

42,170

254,707

Adobe Systems, Inc. (a)

404,590

13,306,965

Advent Software, Inc. (a)(d)

32,795

843,815

American Software, Inc. Class A

3,798

31,561

ANSYS, Inc. (a)(d)

71,510

4,518,002

Ariba, Inc. (a)(d)

71,414

2,247,399

Aspen Technology, Inc. (a)(d)

68,551

1,409,409

Autodesk, Inc. (a)

171,089

6,475,719

Bitstream, Inc. Class A (a)

5,202

28,039

Blackbaud, Inc.

29,935

944,449

BMC Software, Inc. (a)

131,423

4,920,477

Bottomline Technologies, Inc. (a)(d)

23,633

664,087

BroadSoft, Inc. (a)

20,047

729,109

BSQUARE Corp. (a)

11,182

37,348

CA, Inc.

338,055

9,137,627

Cadence Design Systems, Inc. (a)(d)

209,415

2,464,815

Callidus Software, Inc. (a)(d)

12,639

93,655

Citrix Systems, Inc. (a)

157,066

11,739,113

CommVault Systems, Inc. (a)(d)

36,151

1,864,307

Compuware Corp. (a)

146,255

1,317,758

Concur Technologies, Inc. (a)(d)

32,419

1,911,100

Convio, Inc. (a)

5,835

91,376

Datawatch Corp. (a)

1,950

27,222

Deltek, Inc. (a)

2,618

28,877

Digimarc Corp. (a)

1,836

51,206

Ebix, Inc. (d)

31,393

731,457

Electronic Arts, Inc. (a)

249,134

4,068,358

Ellie Mae, Inc.

10,964

91,549

EPIQ Systems, Inc. (d)

38,746

445,192

ePlus, Inc. (a)

762

24,399

FactSet Research Systems, Inc.

29,192

2,551,381

Fair Isaac Corp.

37,437

1,515,450

FalconStor Software, Inc. (a)

21,866

62,318

Fonix Corp. (a)

1

0

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Fortinet, Inc. (a)(d)

123,327

$ 3,335,995

Glu Mobile, Inc. (a)(d)

27,012

102,105

GSE Systems, Inc. (a)

388

729

Guidance Software, Inc. (a)

3,531

40,289

Guidewire Software, Inc.

5,991

135,516

Imperva, Inc.

3,643

134,973

Informatica Corp. (a)(d)

99,837

4,907,987

Interactive Intelligence Group, Inc. (a)

8,029

224,812

Intuit, Inc.

214,635

12,414,488

JDA Software Group, Inc. (a)(d)

38,809

972,554

Jive Software, Inc.

9,842

214,654

Kenexa Corp. (a)(d)

15,879

441,277

Majesco Entertainment Co. (a)(d)

19,952

49,680

Manhattan Associates, Inc. (a)

20,570

953,625

Mentor Graphics Corp. (a)

80,500

1,220,380

MICROS Systems, Inc. (a)(d)

56,461

2,932,020

Microsoft Corp.

5,982,117

189,872,394

MicroStrategy, Inc. Class A (a)(d)

7,880

1,068,449

Mitek Systems, Inc. (a)(d)

15,896

165,318

Monotype Imaging Holdings, Inc. (a)

14,180

198,945

Motricity, Inc. (a)(d)

42,402

56,395

NetScout Systems, Inc. (a)(d)

23,369

496,124

NetSol Technologies, Inc. (a)

101,658

54,895

NetSuite, Inc. (a)

19,234

917,462

Nuance Communications, Inc. (a)(d)

213,353

5,530,110

Opnet Technologies, Inc.

7,189

205,246

Oracle Corp.

3,107,810

90,965,599

Parametric Technology Corp. (a)

83,074

2,218,076

Peerless Systems Corp. (a)

172

669

Pegasystems, Inc.

16,328

458,490

Pervasive Software, Inc. (a)

4,203

25,260

Progress Software Corp. (a)(d)

47,192

1,094,382

PROS Holdings, Inc. (a)(d)

12,895

226,049

QAD, Inc. Class B

4,298

59,098

QLIK Technologies, Inc. (a)

54,045

1,635,942

Quest Software, Inc. (a)

39,589

792,572

RealPage, Inc. (a)

20,932

415,082

Red Hat, Inc. (a)

157,804

7,804,986

Rosetta Stone, Inc. (a)

8,315

75,084

Rovi Corp. (a)

86,281

3,061,250

salesforce.com, Inc. (a)(d)

96,462

13,809,500

SeaChange International, Inc. (a)

17,668

120,849

Smith Micro Software, Inc. (a)

20,978

53,284

SolarWinds, Inc. (a)

41,125

1,532,318

Solera Holdings, Inc.

55,386

2,658,528

Sonic Foundry, Inc. (a)

155

1,142

Sourcefire, Inc. (a)(d)

26,600

1,197,532

SRS Labs, Inc. (a)

6,521

43,625

SS&C Technologies Holdings, Inc. (a)

18,752

388,541

Symantec Corp. (a)

570,036

10,169,442

Synchronoss Technologies, Inc. (a)(d)

29,419

984,360

 

Shares

Value

Synopsys, Inc. (a)

143,372

$ 4,368,545

Take-Two Interactive Software, Inc. (a)(d)

62,163

960,418

Taleo Corp. Class A (a)(d)

24,860

1,139,085

Tangoe, Inc. (a)

32,304

605,377

TeleCommunication Systems, Inc. Class A (a)

49,377

132,330

TeleNav, Inc. (a)

12,035

80,875

THQ, Inc. (a)(d)

76,823

41,484

TIBCO Software, Inc. (a)

129,577

3,753,846

TiVo, Inc. (a)

82,213

924,896

Tyler Technologies, Inc. (a)(d)

30,080

1,136,122

Ultimate Software Group, Inc. (a)(d)

18,004

1,257,039

Vasco Data Security International, Inc. (a)(d)

30,246

273,424

Verint Systems, Inc. (a)

23,323

641,149

Versant Corp. (a)

275

2,855

VirnetX Holding Corp. (a)(d)

42,196

911,012

VMware, Inc. Class A (a)

59,262

5,860,419

Wave Systems Corp. Class A (a)(d)

52,444

105,412

Websense, Inc. (a)(d)

31,243

562,686

Zynga, Inc. (d)

81,974

1,079,598

 

470,569,353

TOTAL INFORMATION TECHNOLOGY

2,364,767,502

MATERIALS - 4.0%

Chemicals - 2.4%

A. Schulman, Inc. (d)

28,352

732,616

ADA-ES, Inc. (a)

7,109

159,739

Air Products & Chemicals, Inc.

170,671

15,401,351

Airgas, Inc.

49,779

4,098,305

Albemarle Corp.

65,910

4,384,333

American Pacific Corp. (a)

688

5,346

American Vanguard Corp. (d)

23,997

396,430

Arabian American Development Co. (a)

12,294

97,491

Ashland, Inc.

50,811

3,229,547

Balchem Corp. (d)

26,952

734,442

Cabot Corp.

41,807

1,693,602

Calgon Carbon Corp. (a)(d)

83,129

1,256,079

Celanese Corp. Class A

129,149

6,143,618

CF Industries Holdings, Inc.

57,618

10,716,948

Chase Corp.

859

12,456

Chemtura Corp. (a)

73,070

1,134,046

Clean Diesel Technologies, Inc. (a)(d)

22,307

67,144

Core Molding Technologies, Inc. (a)

5,919

56,645

Cytec Industries, Inc.

34,436

2,047,565

Dow Chemical Co.

935,587

31,351,520

E.I. du Pont de Nemours & Co.

755,442

38,414,226

Eastman Chemical Co.

97,132

5,257,755

Ecolab, Inc.

229,294

13,757,640

Ferro Corp. (a)(d)

55,113

305,877

Flotek Industries, Inc. (a)(d)

54,967

615,081

FMC Corp.

56,197

5,561,817

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

FutureFuel Corp.

9,540

$ 105,417

Georgia Gulf Corp. (a)

23,211

748,787

GSE Holding, Inc.

2,100

25,515

H.B. Fuller Co. (d)

32,855

989,921

Hawkins, Inc.

5,329

206,499

Huntsman Corp.

140,478

1,918,929

Innophos Holdings, Inc.

16,934

853,135

International Flavors & Fragrances, Inc. (d)

77,751

4,434,140

Intrepid Potash, Inc. (a)(d)

39,192

991,166

KMG Chemicals, Inc.

10,303

178,757

Koppers Holdings, Inc.

22,254

837,418

Kraton Performance Polymers, Inc. (a)

20,094

558,412

Kronos Worldwide, Inc.

11,327

264,712

Landec Corp. (a)

25,874

163,006

LSB Industries, Inc. (a)(d)

18,952

762,249

LyondellBasell Industries NV Class A

283,794

12,254,225

Material Sciences Corp. (a)

4,565

39,533

Minerals Technologies, Inc.

17,066

1,101,952

Monsanto Co.

438,818

33,955,737

Nanophase Technologies Corp. (a)

3,795

2,429

NewMarket Corp.

7,381

1,346,516

Olin Corp. (d)

49,032

1,031,143

OM Group, Inc. (a)(d)

23,696

651,166

OMNOVA Solutions, Inc. (a)(d)

32,261

164,531

Penford Corp. (a)

6,469

37,261

PolyOne Corp.

70,747

950,132

PPG Industries, Inc.

126,786

11,569,223

Praxair, Inc.

243,959

26,591,531

Quaker Chemical Corp.

14,473

596,432

Rockwood Holdings, Inc. (a)

49,361

2,628,473

RPM International, Inc. (d)

90,249

2,154,244

Senomyx, Inc. (a)(d)

18,447

63,273

Sensient Technologies Corp. (d)

57,162

2,114,422

Sherwin-Williams Co.

69,774

7,197,188

Sigma Aldrich Corp.

94,992

6,819,476

Solutia, Inc.

87,015

2,445,992

Spartech Corp. (a)

19,316

112,033

Stepan Co.

8,487

742,018

The Mosaic Co.

219,915

12,700,091

The Scotts Miracle-Gro Co. Class A (d)

29,091

1,362,622

TPC Group, Inc. (a)

11,175

388,220

Tredegar Corp.

24,439

567,962

Valhi, Inc.

4,002

229,515

Valspar Corp.

85,270

3,952,265

W.R. Grace & Co. (a)

43,184

2,459,761

Westlake Chemical Corp.

12,747

767,752

Zep, Inc.

16,526

250,699

Zoltek Companies, Inc. (a)(d)

40,249

486,610

 

298,404,109

 

Shares

Value

Construction Materials - 0.1%

Eagle Materials, Inc. (d)

36,470

$ 1,144,429

Headwaters, Inc. (a)

93,443

284,067

Martin Marietta Materials, Inc.

41,456

3,559,827

Texas Industries, Inc. (d)

16,333

552,545

U.S. Concrete, Inc. (a)

13,793

57,931

Vulcan Materials Co.

106,365

4,739,624

 

10,338,423

Containers & Packaging - 0.3%

AEP Industries, Inc. (a)

6,511

227,169

Aptargroup, Inc. (d)

41,303

2,179,972

Ball Corp.

134,650

5,396,772

Bemis Co., Inc. (d)

87,122

2,733,017

Boise, Inc.

80,405

661,733

Crown Holdings, Inc. (a)

110,291

4,077,458

Graphic Packaging Holding Co. (a)

145,268

767,015

Greif, Inc. Class A (d)

29,099

1,490,160

MOD-PAC Corp. (sub. vtg.) (a)

989

6,339

Myers Industries, Inc.

17,337

230,929

Owens-Illinois, Inc. (a)

119,395

2,853,541

Packaging Corp. of America

69,635

2,063,981

Rock-Tenn Co. Class A

51,739

3,647,082

Sealed Air Corp.

144,059

2,827,878

Silgan Holdings, Inc.

35,329

1,502,189

Sonoco Products Co.

69,472

2,281,460

UFP Technologies, Inc. (a)

1,379

24,229

 

32,970,924

Metals & Mining - 1.0%

A.M. Castle & Co. (a)(d)

15,455

176,960

AK Steel Holding Corp. (d)

121,218

960,047

Alcoa, Inc.

919,985

9,356,247

Allegheny Technologies, Inc.

77,522

3,400,890

Allied Nevada Gold Corp. (a)(d)

66,857

2,300,549

Amcol International Corp.

18,664

547,415

Carpenter Technology Corp.

31,548

1,618,412

Century Aluminum Co. (a)(d)

49,996

490,461

Cliffs Natural Resources, Inc.

111,449

7,074,783

Coeur d'Alene Mines Corp. (a)(d)

92,048

2,617,845

Commercial Metals Co.

82,162

1,091,933

Compass Minerals International, Inc.

22,090

1,591,585

Comstock Mining, Inc. (a)

12,441

25,131

Freeport-McMoRan Copper & Gold, Inc.

756,136

32,181,148

Friedman Industries

2,001

20,910

General Moly, Inc. (a)(d)

49,482

178,630

Globe Specialty Metals, Inc.

35,832

509,531

Golden Minerals Co. (a)(d)

22,525

187,859

Handy & Harman Ltd. (a)

4,348

52,785

Haynes International, Inc.

8,639

546,762

Hecla Mining Co.

227,588

1,156,147

Horsehead Holding Corp. (a)

39,520

450,528

Kaiser Aluminum Corp. (d)

16,273

786,637

Materion Corp. (a)

22,336

655,562

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

McEwen Mining, Inc. (a)(d)

153,111

$ 800,771

Metals USA Holdings Corp. (a)

10,388

135,875

Mines Management, Inc. (a)(d)

12,500

25,125

Molycorp, Inc. (a)(d)

46,127

1,139,337

Newmont Mining Corp.

380,920

22,626,648

Noranda Aluminium Holding Corp.

34,612

415,344

Nucor Corp.

219,158

9,539,948

Olympic Steel, Inc.

9,587

224,719

Reliance Steel & Aluminum Co.

58,834

3,160,562

Royal Gold, Inc.

42,217

2,931,971

RTI International Metals, Inc. (a)(d)

27,976

630,579

Schnitzer Steel Inds, Inc. Class A (d)

16,509

745,546

Silver Bull Resources, Inc. (a)(d)

34,716

19,788

Solitario Exploration & Royalty Corp. (a)

7,900

11,139

Southern Copper Corp. (d)

168,589

5,421,822

Steel Dynamics, Inc.

160,458

2,376,383

Stillwater Mining Co. (a)(d)

84,322

1,197,372

SunCoke Energy, Inc. (a)

54,343

778,735

Synalloy Corp.

602

7,615

Titanium Metals Corp.

121,957

1,787,890

U.S. Silica Holdings, Inc.

9,838

166,459

United States Steel Corp. (d)

106,239

2,891,826

Universal Stainless & Alloy Products, Inc. (a)

4,997

167,300

US Energy Corp. (a)

13,579

44,675

Vista Gold Corp. (a)(d)

30,419

107,683

Walter Energy, Inc.

48,021

3,113,201

Worthington Industries, Inc.

42,754

721,260

 

129,168,330

Paper & Forest Products - 0.2%

AbitibiBowater, Inc. (a)(d)

58,314

892,204

Buckeye Technologies, Inc.

38,686

1,321,514

Clearwater Paper Corp. (a)

17,308

593,837

Deltic Timber Corp.

13,533

882,487

Domtar Corp.

31,471

3,017,125

Glatfelter

36,975

577,180

International Paper Co.

320,065

11,250,285

Kapstone Paper & Packaging Corp. (a)

27,514

553,031

Louisiana-Pacific Corp. (a)(d)

87,254

712,865

MeadWestvaco Corp.

135,474

4,102,153

Neenah Paper, Inc.

13,754

383,599

Schweitzer-Mauduit International, Inc.

12,453

872,333

Verso Paper Corp. (a)

16,407

21,329

Wausau-Mosinee Paper Corp.

43,988

410,848

 

25,590,790

TOTAL MATERIALS

496,472,576

 

Shares

Value

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 2.2%

8x8, Inc. (a)(d)

54,427

$ 233,492

AboveNet, Inc. (a)(d)

19,425

1,351,203

Alaska Communication Systems Group, Inc. (d)

91,658

293,306

Allegiance Telecom, Inc. (a)

7,100

0

AT&T, Inc.

4,755,975

145,485,275

Atlantic Tele-Network, Inc.

16,949

649,486

Boingo Wireless, Inc.

15,589

149,031

Cbeyond, Inc. (a)

34,447

264,553

CenturyLink, Inc.

476,960

19,197,640

Cincinnati Bell, Inc. New (a)(d)

146,179

548,171

Cogent Communications Group, Inc. (a)

45,760

842,899

Consolidated Communications Holdings, Inc. (d)

37,636

713,955

Elephant Talk Communication, Inc. (a)(d)

40,052

85,711

FairPoint Communications, Inc. (a)(d)

39,538

148,663

Frontier Communications Corp. (d)

749,270

3,439,149

General Communications, Inc. Class A (a)

33,964

359,679

Globalstar, Inc. (a)(d)

95,723

81,518

Hawaiian Telcom Holdco, Inc. (a)

7,614

119,692

HickoryTech Corp.

2,523

27,097

IDT Corp. Class B

36,897

333,918

inContact, Inc. (a)

21,298

113,518

Iridium Communications, Inc. (a)(d)

61,404

469,127

Level 3 Communications, Inc. (a)

186,635

4,537,097

Lumos Networks Corp.

10,948

140,134

Neutral Tandem, Inc. (a)

28,172

314,400

Premiere Global Services, Inc. (a)

54,821

474,202

Primus Telecommunications Group, Inc. (a)

10,437

143,509

SureWest Communications

15,725

352,397

Towerstream Corp. (a)(d)

34,148

96,980

tw telecom, inc. (a)(d)

109,402

2,363,083

Verizon Communications, Inc.

2,254,924

85,935,154

Vonage Holdings Corp. (a)

108,539

259,408

Windstream Corp. (d)

403,983

4,880,115

 

274,403,562

Wireless Telecommunication Services - 0.3%

Clearwire Corp. Class A (a)(d)

187,420

431,066

Crown Castle International Corp. (a)

182,816

9,471,697

Leap Wireless International, Inc. (a)

51,525

537,921

MetroPCS Communications, Inc. (a)

322,874

3,325,602

NII Holdings, Inc. (a)(d)

126,821

2,267,559

NTELOS Holdings Corp.

10,948

254,541

SBA Communications Corp. Class A (a)(d)

91,252

4,282,456

Shenandoah Telecommunications Co. (d)

22,919

228,961

Sprint Nextel Corp. (a)

2,227,579

5,502,120

Telephone & Data Systems, Inc.

73,288

1,851,988

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

U.S. Cellular Corp. (a)(d)

14,322

$ 617,851

USA Mobility, Inc.

28,203

386,945

 

29,158,707

TOTAL TELECOMMUNICATION SERVICES

303,562,269

UTILITIES - 3.4%

Electric Utilities - 1.7%

Allete, Inc. (d)

33,215

1,381,080

American Electric Power Co., Inc.

366,241

13,774,324

Central Vermont Public Service Corp. (d)

19,324

680,978

Cleco Corp. (d)

54,483

2,096,506

Duke Energy Corp.

1,032,626

21,602,536

Edison International

243,928

10,213,265

El Paso Electric Co.

44,691

1,462,736

Empire District Electric Co.

52,048

1,038,358

Entergy Corp.

153,247

10,210,848

Exelon Corp.

537,367

20,994,929

FirstEnergy Corp.

351,230

15,555,977

Great Plains Energy, Inc.

94,773

1,874,610

Hawaiian Electric Industries, Inc. (d)

66,479

1,665,299

IDACORP, Inc.

35,161

1,423,317

ITC Holdings Corp.

52,881

3,991,458

MGE Energy, Inc.

22,576

990,183

NextEra Energy, Inc.

338,664

20,153,895

Northeast Utilities

122,863

4,410,782

NV Energy, Inc.

181,962

2,853,164

Otter Tail Corp.

32,419

688,580

Pepco Holdings, Inc.

155,532

3,023,542

Pinnacle West Capital Corp.

77,059

3,624,085

PNM Resources, Inc.

67,114

1,206,710

Portland General Electric Co.

65,957

1,625,180

PPL Corp.

487,826

13,927,432

Progress Energy, Inc.

222,099

11,789,015

Southern Co.

690,945

30,532,860

UIL Holdings Corp.

34,543

1,217,641

Unisource Energy Corp.

32,111

1,181,364

Unitil Corp.

19,695

523,887

Westar Energy, Inc.

76,364

2,101,537

 

207,816,078

Gas Utilities - 0.2%

AGL Resources, Inc.

84,990

3,388,551

Atmos Energy Corp.

67,549

2,075,781

Chesapeake Utilities Corp. (d)

10,363

425,608

Delta Natural Gas Co., Inc.

1,539

58,605

Gas Natural, Inc.

1,949

21,731

Laclede Group, Inc.

27,494

1,129,728

National Fuel Gas Co.

56,086

2,822,808

New Jersey Resources Corp.

30,189

1,409,524

Northwest Natural Gas Co. (d)

34,699

1,588,173

 

Shares

Value

ONEOK, Inc.

80,943

$ 6,689,130

Piedmont Natural Gas Co., Inc.

66,004

2,138,530

Questar Corp.

120,840

2,322,545

South Jersey Industries, Inc.

25,563

1,329,276

Southwest Gas Corp.

38,877

1,658,104

UGI Corp.

77,479

2,188,782

WGL Holdings, Inc. (d)

35,927

1,466,899

 

30,713,775

Independent Power Producers & Energy Traders - 0.2%

Black Hills Corp.

38,823

1,274,947

Calpine Corp. (a)(d)

290,000

4,439,900

Constellation Energy Group, Inc.

134,026

4,859,783

Dynegy, Inc. (a)(d)

77,498

100,747

Genie Energy Ltd. Class B

11,430

109,614

GenOn Energy, Inc. (a)

573,550

1,410,933

NRG Energy, Inc. (a)

189,652

3,243,049

Ormat Technologies, Inc.

25,950

525,228

Tegal Corp. (a)

87

290

The AES Corp. (a)

604,562

8,197,861

 

24,162,352

Multi-Utilities - 1.2%

Alliant Energy Corp.

75,902

3,236,461

Ameren Corp.

176,734

5,667,859

Avista Corp.

62,033

1,532,215

CenterPoint Energy, Inc.

319,442

6,225,925

CH Energy Group, Inc. (d)

17,708

1,180,592

CMS Energy Corp.

175,000

3,746,750

Consolidated Edison, Inc.

240,766

13,988,505

Dominion Resources, Inc.

455,703

22,999,330

DTE Energy Co.

125,312

6,765,595

Integrys Energy Group, Inc.

53,328

2,774,656

MDU Resources Group, Inc.

139,832

3,034,354

NiSource, Inc. (d)

245,673

5,896,152

NorthWestern Energy Corp.

42,329

1,470,086

NSTAR

83,673

3,924,264

OGE Energy Corp.

87,987

4,617,558

PG&E Corp.

338,723

14,117,975

Public Service Enterprise Group, Inc.

385,925

11,878,772

SCANA Corp.

113,750

5,118,750

Sempra Energy (d)

169,220

10,024,593

TECO Energy, Inc. (d)

132,305

2,374,875

Vectren Corp.

57,016

1,666,008

Wisconsin Energy Corp.

171,718

5,852,149

Xcel Energy, Inc.

428,748

11,357,535

 

149,450,959

Water Utilities - 0.1%

American States Water Co. (d)

24,187

891,533

American Water Works Co., Inc.

135,341

4,639,489

Aqua America, Inc.

94,472

2,098,223

Artesian Resources Corp. Class A

7,116

135,916

Cadiz, Inc. (a)

5,759

61,161

California Water Service Group

51,749

994,098

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

Connecticut Water Service, Inc.

1,945

$ 56,055

Middlesex Water Co.

5,464

100,647

SJW Corp.

10,920

260,879

York Water Co.

4,047

70,135

 

9,308,136

TOTAL UTILITIES

421,451,300

TOTAL COMMON STOCKS

(Cost $10,517,791,599)


12,141,817,322

Nonconvertible Bonds - 0.0%

 

Principal
Amount

 

FINANCIALS - 0.0%

Capital Markets - 0.0%

GAMCO Investors, Inc. 0% 12/31/15

(Cost $22,633)

$ 22,600


18,220

U.S. Treasury Obligations - 0.1%

 

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.09% 3/8/12 to 7/19/12 (e)
(Cost $16,497,933)

16,500,000


16,497,596

Money Market Funds - 12.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

114,228,901

114,228,901

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

1,396,046,732

1,396,046,732

TOTAL MONEY MARKET FUNDS

(Cost $1,510,275,633)


1,510,275,633

TOTAL INVESTMENT
PORTFOLIO - 111.2%

(Cost $12,044,587,798)

13,668,608,771

NET OTHER ASSETS
(LIABILITIES) - (11.2)%

(1,374,027,689)

NET ASSETS - 100%

$ 12,294,581,082

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1,271 CME E-mini S&P 500 Index Contracts

March 2012

$ 86,707,620

$ 7,071,875

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

March 2012

8,984,720

877,732

112 CME S&P 500 Index Contracts

March 2012

38,203,200

2,728,848

222 NYFE Russell 2000 Mini Index Contracts

March 2012

17,982,000

1,545,248

TOTAL EQUITY INDEX CONTRACTS

$ 151,877,540

$ 12,223,703

 

The face value of futures purchased as a percentage of net assets is 1.2%

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $10,197,679.

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

$ 197,580

Fidelity Securities Lending Cash Central Fund

4,680,442

Total

$ 4,878,022

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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

$ 1,448,486,735

$ 1,448,486,735

$ -

$ -

Consumer Staples

1,140,321,223

1,140,310,188

11,035

-

Energy

1,359,179,677

1,359,179,677

-

-

Financials

1,867,602,364

1,867,600,721

-

1,643

Health Care

1,386,083,527

1,386,083,527

-

-

Industrials

1,353,890,149

1,353,890,149

-

-

Information Technology

2,364,767,502

2,364,767,502

-

-

Materials

496,472,576

496,472,576

-

-

Telecommunication Services

303,562,269

303,562,269

-

-

Utilities

421,451,300

421,451,300

-

-

Corporate Bonds

18,220

-

18,220

-

U.S. Government and Government Agency Obligations

16,497,596

-

16,497,596

-

Money Market Funds

1,510,275,633

1,510,275,633

-

-

Total Investments in Securities:

$ 13,668,608,771

$ 13,652,080,277

$ 16,526,851

$ 1,643

Derivative Instruments:

Assets

Futures Contracts

$ 12,223,703

$ 12,223,703

$ -

$ -

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

Investments in Securities:

Beginning Balance

$ 96,127

Total Realized Gain (Loss)

(132,858)

Total Unrealized Gain (Loss)

138,760

Cost of Purchases

-

Proceeds of Sales

(5,850)

Amortization/Accretion

-

Transfers in to Level 3

1,590

Transfers out of Level 3

(96,126)

Ending Balance

$ 1,643

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ 86

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, and includes the value of securities delivered through unaffiliated in-kind transactions. See Note 5 of the Notes to Financial Statements. 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 February 29, 2012. 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)

$ 12,223,703

$ -

Total Value of Derivatives

$ 12,223,703

$ -

(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.

Annual Report

Spartan Total Market Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $1,345,904,304) - See accompanying schedule:

Unaffiliated issuers (cost $10,534,312,165)

$ 12,158,333,138

 

Fidelity Central Funds (cost $1,510,275,633)

1,510,275,633

 

Total Investments (cost $12,044,587,798)

 

$ 13,668,608,771

Cash

 

34,837

Receivable for investments sold

1,280,716

Receivable for fund shares sold

51,714,360

Dividends receivable

24,985,250

Distributions receivable from Fidelity Central Funds

472,876

Receivable from investment adviser for expense reductions

10,151

Other receivables

122,673

Total assets

13,747,229,634

 

 

 

Liabilities

Payable for investments purchased

$ 37,261

Payable for fund shares redeemed

54,685,864

Accrued management fee

455,115

Payable for daily variation margin on futures contracts

1,038,336

Other affiliated payables

319,598

Other payables and accrued expenses

65,646

Collateral on securities loaned, at value

1,396,046,732

Total liabilities

1,452,648,552

 

 

 

Net Assets

$ 12,294,581,082

Net Assets consist of:

 

Paid in capital

$ 11,092,660,661

Undistributed net investment income

27,909,802

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

(462,234,277)

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

1,636,244,896

Net Assets

$ 12,294,581,082

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,379,769,804 ÷ 85,445,018 shares)

$ 39.55

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,536,902,549 ÷ 165,251,477 shares)

$ 39.56

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($693,534,327 ÷ 17,533,825 shares)

$ 39.55

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($189,758,122 ÷ 4,797,450 shares)

$ 39.55

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($1,494,616,280 ÷ 37,781,881 shares)

$ 39.56

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

Annual Report

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 214,285,292

Interest

 

15,912

Income from Fidelity Central Funds

 

4,878,022

Total income

 

219,179,226

 

 

 

Expenses

Management fee

$ 6,517,726

Transfer agent fees

2,749,481

Independent trustees' compensation

66,214

Miscellaneous

33,291

Total expenses before reductions

9,366,712

Expense reductions

(28,373)

9,338,339

Net investment income (loss)

209,840,887

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

167,667,600

Foreign currency transactions

(4,353)

Redemption in-kind with affiliated entities

393,327,878

Futures contracts

17,450,299

Total net realized gain (loss)

 

578,441,424

Change in net unrealized appreciation (depreciation) on:

Investment securities

(266,448,637)

Assets and liabilities in foreign currencies

(98)

Futures contracts

3,326,207

Total change in net unrealized appreciation (depreciation)

 

(263,122,528)

Net gain (loss)

315,318,896

Net increase (decrease) in net assets resulting from operations

$ 525,159,783

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 209,840,887

$ 182,686,921

Net realized gain (loss)

578,441,424

(140,975,443)

Change in net unrealized appreciation (depreciation)

(263,122,528)

2,243,788,031

Net increase (decrease) in net assets resulting from operations

525,159,783

2,285,499,509

Distributions to shareholders from net investment income

(195,308,977)

(179,834,546)

Distributions to shareholders from net realized gain

-

(5,804,652)

Total distributions

(195,308,977)

(185,639,198)

Share transactions - net increase (decrease)

(149,356,809)

833,400,574

Redemption fees

378,217

259,786

Total increase (decrease) in net assets

180,872,214

2,933,520,671

 

 

 

Net Assets

Beginning of period

12,113,708,868

9,180,188,197

End of period (including undistributed net investment income of $27,909,802 and undistributed net investment income of $30,424,213, respectively)

$ 12,294,581,082

$ 12,113,708,868

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.60

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .68

.61

.56

.70

.76

Net realized and unrealized gain (loss)

  .96

7.03

10.96

(16.70)

(2.30)

Total from investment operations

  1.64

7.64

11.52

(16.00)

(1.54)

Distributions from net investment income

  (.65)

(.60)

(.57)

(.64)

(.65)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.65)

(.62)

(.58) I

(.65) H

(.89)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.55

$ 38.56

$ 31.54

$ 20.60

$ 37.25

Total Return A

  4.46%

24.39%

56.10%

(43.32)%

(4.10)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .10%

.10%

.10%

.10%

.10%

Expenses net of fee waivers, if any

  .10%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .10%

.10%

.10%

.10%

.10%

Net investment income (loss)

  1.84%

1.80%

2.00%

2.23%

1.84%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,379,770

$ 6,289,666

$ 5,357,908

$ 3,358,025

$ 4,479,327

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.645 per share is comprised of distributions from net investment income of $.640 and distributions from net realized gain of $.005 per share.

I Total distributions of $.58 per share is comprised of distributions from net investment income of $.565 and distributions from net realized gain of $.015 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.61

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .69

.62

.57

.72

.77

Net realized and unrealized gain (loss)

  .97

7.03

10.95

(16.71)

(2.30)

Total from investment operations

  1.66

7.65

11.52

(15.99)

(1.53)

Distributions from net investment income

  (.66)

(.61)

(.57)

(.65)

(.66)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.66)

(.63)

(.59) I

(.65) H

(.90)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

$ 20.61

$ 37.25

Total Return A

  4.51%

24.43%

56.07%

(43.28)%

(4.07)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .07%

.07%

.07%

.07%

.07%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  1.87%

1.83%

2.03%

2.26%

1.87%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 6,536,903

$ 5,078,759

$ 3,752,204

$ 2,267,057

$ 3,565,194

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.654 per share is comprised of distributions from net investment income of $.649 and distributions from net realized gain of $.005 per share.

I Total distributions of $.59 per share is comprised of distributions from net investment income of $.574 and distributions from net realized gain of $.015 per share.

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

Annual Report

Financial Highlights - Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.49%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .07% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  2.03% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 693,534

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.50%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .06% A

Expenses net of fee waivers, if any

  .05% A, K

Expenses net of all reductions

  .05% A, K

Net investment income (loss)

  2.02% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 189,758

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

K Amount represents .045%.

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

Annual Report

Financial Highlights - Class F

Years ended February 28,

2012 I

2011

2010 G

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 30.10

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .69

.63

.26

Net realized and unrealized gain (loss)

  .97

7.02

1.67

Total from investment operations

  1.66

7.65

1.93

Distributions from net investment income

  (.66)

(.61)

(.47)

Distributions from net realized gain

  -

(.02)

(.02)

Total distributions

  (.66)

(.63)

(.49) K

Redemption fees added to paid in capital D, J

  -

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

Total Return B, C

  4.51%

24.43%

6.42%

Ratios to Average Net Assets E, H

 

 

 

Expenses before reductions

  .06%

.07%

.07% A

Expenses net of fee waivers, if any

  .06%

.07%

.07% A

Expenses net of all reductions

  .06%

.07%

.07% A

Net investment income (loss)

  1.89%

1.83%

1.98% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 1,494,616

$ 745,283

$ 70,077

Portfolio turnover rate F

  17%

4%

7%

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 24, 2009 (commencement of sale of shares) to February 28, 2010.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I For the year ended February 29.

J Amount represents less than $.01 per share.

K Total distributions of $.49 per share is comprised of distributions from net investment income of $.472 and distributions from net realized gain of $.015 per share.

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

Annual Report

Notes to Financial Statements

For the period ended February 29, 2012

1. Organization.

Spartan Total Market Index Fund (the Fund) is a fund of Fidelity Concord Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In May 2011, the Board of Trustees of Spartan Total Market Index Fund approved the creation of additional classes of shares. The Fund commenced sale of Institutional Class and Fidelity Advantage Institutional Class shares on September 8, 2011. The Fund offers Investor Class, Fidelity Advantage Class, Institutional Class, Fidelity Advantage Institutional Class and Class F 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. The Fund offers conversion privileges between share classes to eligible shareholders. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Investment income, realized and unrealized capital gains and losses, the common expenses of the 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 the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

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

Level 1 - quoted prices in active markets for identical investments

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

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 29, 2012, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

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.

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 corporate bonds and 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 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.

New Accounting Pronouncements. 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 is effective during interim and annual periods beginning after December 15, 2011 and will result in additional disclosure for transfers between levels as well as expanded disclosure for securities categorized as Level 3 under the fair value hierarchy.

In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange 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 Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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 Fund estimates 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.

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

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of February 29, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in-kind, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation

$ 2,969,645,004

Gross unrealized depreciation

(1,386,461,244)

Net unrealized appreciation (depreciation) on securities and other investments

$ 1,583,183,760

 

 

Tax Cost

$ 12,085,425,011

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income

$ 28,031,552

Capital loss carryforward

$ (409,173,358)

Net unrealized appreciation (depreciation)

$ 1,583,183,980

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

 

 

 

2017

$ (160,154,968)

2018

(46,727,186)

2019

(200,286,243)

Total with expiration

(407,168,397)

No expiration

 

Long-term

(2,004,961)

Total capital loss carryforward

$ (409,173,358)

The tax character of distributions paid was as follows:

 

February 29, 2012

February 28, 2011

Ordinary Income

$ 195,308,977

$ 185,639,198

Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to .50% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.

Annual Report

Notes to Financial Statements - continued

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its 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 Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts 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.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent 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.

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.

During the period the Fund recognized net realized gain (loss) of $17,450,299 and a change in net unrealized appreciation (depreciation) of $3,326,207 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $1,922,711,702 and $2,023,174,933, respectively.

Securities received and delivered through unaffiliated in-kind subscriptions and redemptions totaled $163,667,295 and $1,008,858,235, respectively. Realized gain of $171,069,377 on securities delivered through unaffiliated in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. During the period the Board of Trustees approved an amendment to the management contract, effective September 1, 2011, to reduce the management fee from an annual rate of .07% to .045% of the Fund's average net assets. 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 an expense contract, 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

.10%

Fidelity Advantage Class

.07%

Institutional Class

.07%

Fidelity Advantage Institutional Class

.06%

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.

Annual Report

6. Fees and Other Transactions with Affiliates - continued

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 .075%, .045%, .035% and .015% of average net assets for Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class pay all or a portion of the transfer agent fees at an annual rate of .055%, .025%, .025% and .015% of average net assets, respectively.

Prior to September 1, 2011, FIIOC received transfer agent fees at an annual rate of .06% and .03% of average net assets for Investor and Fidelity Advantage Class, respectively. Under the expense contract, the Investor Class paid transfer agent fees at an annual rate of .03% of average net assets, and Fidelity Advantage Class paid no transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

% of
Average
Net Assets

Investor Class

$ 2,074,287

.04

Fidelity Advantage Class

631,515

.01

Institutional Class

37,283

.03

Fidelity Advantage Institutional Class

6,396

.02

 

$ 2,749,481

 

Redemptions In-Kind. During the period, 17,755,902 shares of the Fund held by affiliated entities were redeemed for cash and securities with a value of $682,536,885. The net realized gain (loss) of $393,327,878 on securities delivered through affiliated in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as Note 11: Shares Transactions. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $33,291 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $4,680,442.

Annual Report

Notes to Financial Statements - continued

9. Expense Reductions.

Effective September 8, 2011, FMR contractually agreed to reimburse certain classes of the Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement. This reimbursement will remain in place through April 30, 2013.

 

Expense
Limitations

Reimbursement
from adviser

Institutional Class

.06%

$ 20,411

Fidelity Advantage Institutional Class

.045%

7,580

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $382.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

From net investment income

 

 

Investor Class

$ 74,011,128

$ 97,586,465

Fidelity Advantage Class

90,014,851

75,486,167

Institutional Class

6,818,791

-

Fidelity Advantage Institutional Class

2,620,049

-

Class F

21,844,158

6,761,914

Total

$ 195,308,977

$ 179,834,546

From net realized gain

 

 

Investor Class

$ -

$ 3,374,672

Fidelity Advantage Class

-

2,380,648

Class F

-

49,332

Total

$ -

$ 5,804,652

A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Investor Class

 

 

 

 

Shares sold

37,550,760

45,341,120

$ 1,388,868,676

$ 1,545,271,706

Reinvestment of distributions

2,008,028

2,771,120

71,680,307

98,744,181

Shares redeemed

(117,221,767) B

(54,866,527)

(4,390,559,721) B

(1,881,537,887)

Net increase (decrease)

(77,662,979)

(6,754,287)

$ (2,930,010,738)

$ (237,522,000)

Fidelity Advantage Class

 

 

 

 

Shares sold

52,795,658

35,056,659

$ 2,007,116,846

$ 1,218,401,959

Reinvestment of distributions

2,192,081

1,879,344

77,894,521

67,004,512

Shares redeemed

(21,435,179)

(24,186,728)

(789,876,393)

(811,279,711)

Net increase (decrease)

33,552,560

12,749,275

$ 1,295,134,974

$ 474,126,760

Institutional Class

 

 

 

 

Shares sold

17,993,180

-

$ 649,476,736

$ -

Reinvestment of distributions

194,656

-

6,818,791

-

Shares redeemed

(654,011)

-

(24,602,098)

-

Net increase (decrease)

17,533,825

-

$ 631,693,429

$ -

Annual Report

11. Share Transactions - continued

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

4,871,455

-

$ 179,033,674

$ -

Reinvestment of distributions

74,794

-

2,620,049

-

Shares redeemed

(148,799)

-

(5,550,895)

-

Net increase (decrease)

4,797,450

-

$ 176,102,828

$ -

Class F

 

 

 

 

Shares sold

22,439,089

19,381,678

$ 826,126,384

$ 675,778,550

Reinvestment of distributions

617,949

189,593

21,844,158

6,811,246

Shares redeemed

(4,602,865)

(2,465,258)

(170,247,844)

(85,793,982)

Net increase (decrease)

18,454,173

17,106,013

$ 677,722,698

$ 596,795,814

A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

B Amount includes in-kind redemptions (see Note 6: Redemptions In-Kind).

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Annual 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 1, 2011 to February 29, 2012) for Investor Class and Fidelity Advantage Class and for the entire period (September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class. The hypothetical expense example is based on an investment of $1,000 invested for the one-half year period (September 1, 2011 to February 29, 2012).

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.

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Spartan Extended Market Index

 

 

 

 

Investor Class

.10%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.40

$ .53 B

HypotheticalA

 

$ 1,000.00

$ 1,024.37

$ .50 C

Fidelity Advantage Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.30

$ .37 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,169.90

$ .31 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 C

Spartan International Index

 

 

 

 

Investor Class

.11%*

 

 

 

Actual

 

$ 1,000.00

$ 1,036.80

$ .56 B*

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .55 C*

Fidelity Advantage Class

.08%*

 

 

 

Actual

 

$ 1,000.00

$ 1,037.30

$ .41 B*

HypotheticalA

 

$ 1,000.00

$ 1,024.47

$ .40 C*

Institutional Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,094.40

$ .35 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,094.50

$ .30 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 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 182/366 (to reflect the one-half year period) for Investor Class and Fidelity Advantage Class and multiplied by 175/366 (to reflect the period September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class.

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

* If changes to the expense limitations, effective February 1, 2012, had been in effect during the entire period, the annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as follows:

 

Annualized
Expense Ratio

Expenses Paid

Spartan International Index

 

 

Investor Class

.20%

 

Actual

 

$ 1.01

HypotheticalA

 

$ 1.01

Fidelity Advantage Class

.12%

 

Actual

 

$ .61

HypotheticalA

 

$ .60

A 5% return per year before expenses

Annual Report

Spartan Extended Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

Spartan Extended Market Index Fund - Investor Class

1.76%

3.58%

8.45%

Spartan Extended Market Index Fund - Fidelity Advantage Class A

1.76%

3.60%

8.47%

A The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005 are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan Extended Market Index Fund - Investor Class on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Completion Total Stock Market Index performed over the same period.

con34

Annual Report

Spartan Extended Market Index Fund

Management's Discussion of Fund Performance

Market Recap: U.S. stocks rose for the 12 months ending February 29, 2012, as encouraging economic news sparked a strong late-period rally that lifted major equity benchmarks past a number of significant milestones. Stocks recovered from early-period uncertainty that followed the March 2011 earthquake, tsunami and nuclear meltdown in Japan, but plummeted during the summer amid Europe's debt woes and a historic U.S. credit-rating downgrade. Despite continued volatility and mixed economic news, markets began to recover in early October. Investors gravitated toward defensive sectors and the perceived safety of larger, more-established and dividend-paying names, helping the Dow Jones® Industrial Average advance 8.83%, and close above the psychologically important 13,000 mark in late February - for the first time since May 2008. The rally accelerated late in the period and the market broadened, as investor confidence improved amid encouraging manufacturing, housing and employment data, and signs of progress in Europe. For the year, the S&P 500® Index added 5.12%, closing near a four-year high on the period's second-to-last day. The technology-laden Nasdaq Composite® Index added 7.73%, flirting with the 3,000 mark, its highest level in 12 years. Foreign developed-markets stocks reeled over Europe's turmoil, and the MSCI® EAFE® (Europe, Australasia, Far East) Index fell 7.35%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® Extended Market Index Fund: For the 12 months ending February 29, 2012, the fund's Investor Class and Fidelity Advantage® Class shares both returned 1.76%, in line with the 1.80% return of the Dow Jones U.S. Completion Total Stock Market IndexSM. The strongest-performing sector in the Dow Jones index was consumer staples, which gained 20%. No other sector turned in a double-digit gain during the past year. Health care stocks added roughly 9%, however, while consumer discretionary, led by the retailing industry, rose 9%. The weakest-performing groups in the benchmark were energy, telecommunication services and information technology, which lost 6%, 4% and 4%, respectively. Financials - at 20%, the largest allocation in the benchmark - declined 1% during the year. The leading individual contributor was Pharmasset, a biotechnology firm that was acquired in January for a substantial premium by Gilead Sciences and saw its share price soar by more than 400%. Several other drugmakers, including Alexion Pharmaceuticals and Regeneron Pharmaceuticals, also added value. A better-than-expected sales forecast in late January helped boost the stock of computer disk-drive maker Seagate Technology, which is based in California but whose shares are listed in Ireland. Petrohawk Energy enjoyed strong performance after the independent oil and gas producer agreed in July to be acquired by BHP Billiton. The transaction closed in August. Other helpful stocks included casino gaming operator Las Vegas Sands and discount retailer Dollar Tree. The biggest detractor was automaker General Motors, whose shares drifted lower for most of the past year and lost about 22% for the full period. NII Holdings, a provider of business-oriented mobile communication services, also declined. Arch Coal, the second-largest U.S. coal producer, saw the value of its shares lose substantial ground, as did Walter Energy, which produces coal used in steelmaking. Walter's shares dropped 30% in a single August day after the company issued a disappointing financial report. Biotechnology company Dendreon struggled last August, as lower-than-expected sales projections for its Provenge® prostate cancer drug caused its stock to lose about two-thirds of its value in one day. Another biotech company, Human Genome Sciences, did poorly, as did independent oil and gas producer Ultra Petroleum.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Extended Market Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Las Vegas Sands Corp.

0.8

0.9

Annaly Capital Management, Inc.

0.6

0.6

Alexion Pharmaceuticals, Inc.

0.6

0.4

General Motors Co.

0.5

0.5

LyondellBasell Industries NV
Class A

0.5

0.5

Liberty Global, Inc. Class A

0.5

0.4

Crown Castle International Corp.

0.5

0.4

Concho Resources, Inc.

0.4

0.3

Liberty Media Corp. Interactive Series A

0.4

0.4

Seagate Technology

0.4

0.2

 

5.2

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

20.3

20.0

Consumer Discretionary

15.8

15.4

Information Technology

15.7

14.8

Industrials

14.5

13.5

Health Care

10.8

11.2

Energy

6.7

6.8

Materials

6.3

7.4

Consumer Staples

3.6

3.9

Utilities

3.6

4.1

Telecommunication Services

1.5

1.6

Annual Report

Spartan Extended Market Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 98.8%

Shares

Value

CONSUMER DISCRETIONARY - 15.8%

Auto Components - 0.9%

American Axle & Manufacturing Holdings, Inc. (a)

135,947

$ 1,548,436

Amerigon, Inc. (a)(d)

46,251

680,815

Cooper Tire & Rubber Co.

128,879

2,139,391

Dana Holding Corp. (d)

323,993

5,183,888

Dorman Products, Inc. (a)(d)

39,530

1,795,057

Drew Industries, Inc. (a)(d)

41,042

1,124,551

Exide Technologies (a)(d)

164,351

488,122

Federal-Mogul Corp. Class A (a)

53,049

912,973

Fuel Systems Solutions, Inc. (a)(d)

31,837

824,578

Gentex Corp.

324,110

7,665,202

Lear Corp.

243,235

10,996,654

Modine Manufacturing Co. (a)(d)

95,885

870,636

Motorcar Parts of America, Inc. (a)

21,986

181,385

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

23,585

21,816

Shiloh Industries, Inc.

9,407

84,663

Spartan Motors, Inc.

62,902

359,170

Standard Motor Products, Inc.

45,399

1,031,465

Stoneridge, Inc. (a)(d)

56,122

542,700

Strattec Security Corp.

3,361

76,530

Superior Industries International, Inc.

55,337

1,000,493

Tenneco, Inc. (a)(d)

138,639

5,337,602

Tower International, Inc. (a)

17,465

222,504

TRW Automotive Holdings Corp. (a)

223,364

10,216,669

UQM Technologies, Inc. (a)(d)

78,497

125,595

Visteon Corp. (a)

108,180

5,811,430

Williams Controls, Inc.

595

6,545

 

59,248,870

Automobiles - 0.7%

General Motors Co. (a)(d)

1,314,333

34,198,945

Tesla Motors, Inc. (a)(d)

139,402

4,657,421

Thor Industries, Inc.

98,033

3,192,935

Winnebago Industries, Inc. (a)(d)

65,223

581,789

 

42,631,090

Distributors - 0.2%

Amcon Distributing Co.

1,240

75,404

Core-Mark Holding Co., Inc.

32,914

1,319,193

LKQ Corp. (a)

322,001

10,258,952

Pool Corp.

102,163

3,718,733

VOXX International Corp. (a)

46,223

591,192

Weyco Group, Inc.

16,952

395,660

 

16,359,134

Diversified Consumer Services - 0.8%

American Public Education, Inc. (a)(d)

36,701

1,437,211

Archipelago Learning, Inc. (a)

20,009

182,882

Ascent Capital Group, Inc. (a)

34,050

1,676,622

Bridgepoint Education, Inc. (a)(d)

51,097

1,244,723

Cambium Learning Group, Inc. (a)

16,192

46,633

Capella Education Co. (a)(d)

34,672

1,345,274

 

Shares

Value

Career Education Corp. (a)

131,088

$ 1,129,979

Carriage Services, Inc.

46,364

277,720

Coinstar, Inc. (a)(d)

63,782

3,714,026

Collectors Universe, Inc.

11,575

176,519

Corinthian Colleges, Inc. (a)(d)

178,249

800,338

Education Management Corp. (a)(d)

67,509

1,219,888

Grand Canyon Education, Inc. (a)

69,388

1,187,229

Hillenbrand, Inc.

129,162

2,966,851

ITT Educational Services, Inc. (a)(d)

68,677

4,713,989

K12, Inc. (a)(d)

73,729

1,589,597

Learning Tree International, Inc. (a)

12,160

70,406

Lincoln Educational Services Corp.

64,172

542,895

Mac-Gray Corp.

24,030

334,978

Matthews International Corp. Class A

61,846

1,918,463

National American University Holdings, Inc.

23,237

160,568

Princeton Review, Inc. (a)

51,537

5,679

Regis Corp. (d)

123,784

2,142,701

School Specialty, Inc. (a)(d)

77,127

246,806

Service Corp. International

566,489

6,423,985

Sotheby's Class A (Ltd. vtg.)

149,347

5,875,311

Steiner Leisure Ltd. (a)(d)

28,854

1,443,854

Stewart Enterprises, Inc. Class A (d)

172,890

1,075,376

Strayer Education, Inc. (d)

28,052

2,886,411

Universal Technical Institute, Inc.

48,727

632,964

Weight Watchers International, Inc. (d)

76,068

5,931,783

 

53,401,661

Hotels, Restaurants & Leisure - 2.9%

AFC Enterprises, Inc. (a)

62,034

991,924

Ambassadors Group, Inc.

48,627

256,264

Ameristar Casinos, Inc.

66,568

1,320,709

ARK Restaurants Corp.

8,457

135,989

Bally Technologies, Inc. (a)

110,933

4,763,463

Benihana, Inc.

25,213

261,963

Biglari Holdings, Inc. (a)

2,643

1,084,978

BJ's Restaurants, Inc. (a)(d)

47,376

2,352,218

Bluegreen Corp. (a)

50,251

157,788

Bob Evans Farms, Inc.

62,735

2,308,648

Boyd Gaming Corp. (a)(d)

125,273

1,003,437

Bravo Brio Restaurant Group, Inc. (a)

36,917

711,760

Brinker International, Inc.

201,511

5,559,688

Buffalo Wild Wings, Inc. (a)(d)

36,784

3,181,448

Caesars Entertainment Corp.

3,080

34,866

Caribou Coffee Co., Inc. (a)

44,167

732,289

Carrols Restaurant Group, Inc. (a)

26,041

309,367

CEC Entertainment, Inc.

45,289

1,728,228

Century Casinos, Inc. (a)

54,140

151,592

Choice Hotels International, Inc.

85,796

3,223,356

Churchill Downs, Inc.

30,186

1,575,709

Cosi, Inc. (a)

62,262

64,752

Cracker Barrel Old Country Store, Inc. (d)

47,523

2,645,605

Denny's Corp. (a)

205,362

852,252

DineEquity, Inc. (a)

33,089

1,766,291

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Domino's Pizza, Inc. (a)(d)

119,639

$ 4,601,316

Dover Downs Gaming & Entertainment, Inc.

28,631

68,714

Dover Motorsports, Inc. (a)

22,686

29,946

Dunkin' Brands Group, Inc. (a)(d)

108,268

3,144,103

Einstein Noah Restaurant Group, Inc.

15,164

212,751

Empire Resorts, Inc. (a)(d)

26,500

77,380

Famous Dave's of America, Inc. (a)(d)

15,087

164,750

Frisch's Restaurants, Inc.

6,534

151,327

Full House Resorts, Inc. (a)

24,413

78,122

Gaming Partners International Corp.

1,584

10,835

Gaylord Entertainment Co. (a)(d)

100,130

2,979,869

Granite City Food & Brewery Ltd. (a)

2,301

4,947

Great Wolf Resorts, Inc. (a)

92,779

375,755

Hyatt Hotels Corp. Class A (a)

98,806

4,091,556

International Speedway Corp. Class A (d)

76,829

1,933,018

Interval Leisure Group, Inc. (a)

81,140

1,094,579

Isle of Capri Casinos, Inc. (a)

59,329

376,739

J. Alexanders Corp. (a)

2,338

15,875

Jack in the Box, Inc. (a)(d)

113,324

2,702,777

Jamba, Inc. (a)

125,986

267,090

Kona Grill, Inc. (a)

5,707

30,704

Krispy Kreme Doughnuts, Inc. (a)(d)

115,091

941,444

Lakes Entertainment, Inc. (a)

51,180

100,313

Las Vegas Sands Corp.

876,347

48,733,617

Life Time Fitness, Inc. (a)(d)

96,201

4,759,063

Luby's, Inc. (a)(d)

29,797

147,793

Marcus Corp.

44,387

534,863

Marriott Vacations Worldwide Corp.

60,000

1,495,800

MAXXAM, Inc. (a)

8

4,600

MGM Mirage, Inc. (a)(d)

698,151

9,613,539

Monarch Casino & Resort, Inc. (a)

27,436

287,529

Morgans Hotel Group Co. (a)

89,969

461,541

MTR Gaming Group, Inc. (a)

26,173

93,961

Multimedia Games Holdng Co., Inc. (a)(d)

53,167

543,898

Nathan's Famous, Inc. (a)

7,826

164,268

O'Charleys, Inc. (a)(d)

49,235

487,919

Orient Express Hotels Ltd. Class A (a)

221,316

2,188,815

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

45,904

1,759,041

Panera Bread Co. Class A (a)(d)

67,694

10,464,139

Papa John's International, Inc. (a)

49,000

1,820,840

Peet's Coffee & Tea, Inc. (a)(d)

26,821

1,727,004

Penn National Gaming, Inc. (a)

146,653

6,240,085

Pinnacle Entertainment, Inc. (a)(d)

126,335

1,390,948

Premier Exhibitions, Inc. (a)

33,161

81,244

Red Lion Hotels Corp. (a)

38,228

293,973

Red Robin Gourmet Burgers, Inc. (a)(d)

34,870

1,199,877

Rick's Cabaret International, Inc. (a)

17,933

168,570

Royal Caribbean Cruises Ltd.

317,008

9,031,558

Ruby Tuesday, Inc. (a)(d)

132,312

1,029,387

 

Shares

Value

Ruth's Hospitality Group, Inc. (a)(d)

60,328

$ 375,843

Scientific Games Corp. Class A (a)

141,504

1,487,207

Shuffle Master, Inc. (a)

141,090

2,059,914

Six Flags Entertainment Corp.

117,183

5,303,703

Sonic Corp. (a)

125,987

1,040,653

Speedway Motorsports, Inc.

32,940

511,229

Texas Roadhouse, Inc. Class A

125,535

2,100,201

The Cheesecake Factory, Inc. (a)(d)

120,135

3,560,801

Town Sports International Holdings, Inc. (a)

44,383

457,145

Vail Resorts, Inc. (d)

74,950

3,155,395

Wendy's Co.

790,452

4,007,592

WMS Industries, Inc. (a)

121,192

2,669,860

 

192,081,909

Household Durables - 1.4%

Acme United Corp.

1,357

13,638

American Greetings Corp. Class A (d)

80,329

1,204,935

Bassett Furniture Industries, Inc.

26,134

216,912

Beazer Homes USA, Inc. (a)(d)

246,893

770,306

Blyth, Inc. (d)

14,069

897,602

Brookfield Residential Properties, Inc. (a)

75,898

791,459

Cavco Industries, Inc. (a)(d)

15,629

704,712

Cobra Electronics Corp. (a)

1,132

4,981

CSS Industries, Inc.

25,514

500,074

Dixie Group, Inc. (a)

9,546

40,857

Emerson Radio Corp. (a)

23,345

47,390

Ethan Allen Interiors, Inc.

57,544

1,452,986

Flexsteel Industries, Inc.

10,672

182,491

Furniture Brands International, Inc. (a)

96,407

154,251

Garmin Ltd.

290,543

13,710,724

Helen of Troy Ltd. (a)(d)

67,636

2,198,170

Hooker Furniture Corp.

26,465

317,845

Hovnanian Enterprises, Inc. Class A (a)(d)

247,404

685,309

iRobot Corp. (a)(d)

54,497

1,390,763

Jarden Corp. (d)

194,363

6,855,183

KB Home (d)

152,280

1,739,038

Kid Brands, Inc. (a)

42,456

126,943

Koss Corp.

1,389

7,737

La-Z-Boy, Inc. (a)(d)

105,228

1,503,708

Libbey, Inc. (a)(d)

43,749

549,050

Lifetime Brands, Inc.

17,993

210,158

M.D.C. Holdings, Inc.

74,982

1,843,058

M/I Homes, Inc. (a)(d)

38,453

465,666

Meritage Homes Corp. (a)(d)

60,196

1,558,474

Mohawk Industries, Inc. (a)

116,951

7,427,558

NVR, Inc. (a)(d)

11,951

8,270,092

Ryland Group, Inc. (d)

90,616

1,642,868

Sealy Corp., Inc. (a)(d)

239,859

412,557

Skullcandy, Inc. (a)(d)

35,352

499,170

Skyline Corp.

14,802

119,156

Standard Pacific Corp. (a)(d)

220,810

967,148

Stanley Furniture Co., Inc. (a)

37,789

127,727

Tempur-Pedic International, Inc. (a)(d)

147,018

11,614,422

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Toll Brothers, Inc. (a)(d)

316,787

$ 7,431,823

Tupperware Brands Corp.

140,226

8,790,768

Universal Electronics, Inc. (a)(d)

28,987

566,986

Wells-Gardner Electronics Corp.

4,238

8,942

Zagg, Inc. (a)(d)

58,700

616,350

 

88,639,987

Internet & Catalog Retail - 0.6%

1-800-FLOWERS.com, Inc. Class A (a)

102,656

280,251

Bidz.com, Inc. (a)(d)

10,552

6,175

Blue Nile, Inc. (a)(d)

47,342

1,687,742

dELiA*s, Inc. (a)

42,494

45,044

Gaiam, Inc. Class A (a)

35,599

128,868

Geeknet, Inc. (a)

13,604

197,394

Groupon, Inc. Class A (a)(d)

83,910

1,654,286

Hollywood Media Corp. (a)

72,242

80,189

HomeAway, Inc. (d)

65,284

1,728,720

HSN, Inc.

102,794

3,819,825

Liberty Media Corp. Interactive
Series A (a)

1,328,328

24,919,433

NutriSystem, Inc. (d)

57,407

646,977

Orbitz Worldwide, Inc. (a)(d)

57,753

207,333

Overstock.com, Inc. (a)(d)

32,352

205,759

PetMed Express, Inc. (d)

45,901

559,074

Shutterfly, Inc. (a)(d)

62,294

1,704,364

U.S. Auto Parts Network, Inc. (a)

28,450

137,983

ValueVision Media, Inc. Class A (a)(d)

73,905

127,117

Vitacost.com, Inc. (a)

45,174

367,265

 

38,503,799

Leisure Equipment & Products - 0.3%

Adams Golf, Inc. (a)

7,181

64,629

Arctic Cat, Inc. (a)

27,483

1,010,825

Black Diamond, Inc. (a)

55,844

462,388

Brunswick Corp.

184,231

4,404,963

Callaway Golf Co.

135,531

887,728

Cybex International, Inc. (a)

14,718

33,410

Escalade, Inc.

6,336

30,476

JAKKS Pacific, Inc. (d)

58,677

911,254

Johnson Outdoors, Inc. Class A (a)

10,627

174,708

Leapfrog Enterprises, Inc. Class A (a)

86,806

610,246

Marine Products Corp.

22,297

138,687

Meade Instruments Corp. (a)

201

665

Nautilus, Inc. (a)

58,853

163,611

Polaris Industries, Inc.

138,977

9,180,821

Smith & Wesson Holding Corp. (a)

147,064

769,145

Steinway Musical Instruments, Inc. (a)

16,626

414,985

Sturm, Ruger & Co., Inc.

42,768

1,786,847

Summer Infant, Inc. (a)

37,416

224,122

 

21,269,510

Media - 2.7%

A.H. Belo Corp. Class A

41,273

194,809

 

Shares

Value

AMC Networks, Inc. Class A

146,257

$ 6,638,605

Arbitron, Inc. (d)

60,109

2,010,045

Ballantyne of Omaha, Inc. (a)

47,765

234,526

Beasley Broadcast Group, Inc.
Class A (a)(d)

4,117

15,974

Belo Corp. Series A

191,951

1,376,289

Carmike Cinemas, Inc. (a)(d)

27,922

210,253

Charter Communications, Inc. Class A (a)

86,214

5,466,830

Cinemark Holdings, Inc.

204,798

4,284,374

Clear Channel Outdoor Holding, Inc. Class A

90,270

1,194,272

Crown Media Holdings, Inc. Class A (a)(d)

75,322

96,412

Cumulus Media, Inc. Class A (a)(d)

58,225

200,294

Dex One Corp. (a)

102,416

179,228

DialGlobal, Inc. (a)

878

2,151

Digital Domain Media Group, Inc.

990

5,554

Digital Generation, Inc. (a)(d)

53,751

537,510

DISH Network Corp. Class A

452,994

13,213,835

DreamWorks Animation SKG, Inc.
Class A (a)(d)

140,351

2,422,458

E.W. Scripps Co. Class A (a)

90,471

861,284

Emmis Communications Corp.
Class A (a)

80,456

58,733

Entercom Communications Corp.
Class A (a)(d)

52,600

368,200

Entravision Communication Corp.
Class A

99,974

165,957

Fisher Communications, Inc. (a)

18,212

522,138

Gray Television, Inc. (a)(d)

114,472

235,812

Harris Interactive, Inc. (a)

49,977

43,480

Harte-Hanks, Inc.

85,794

749,840

Insignia Systems, Inc.

22,896

48,997

John Wiley & Sons, Inc. Class A (d)

110,077

4,997,496

Journal Communications, Inc. Class A (a)

87,795

417,026

Knology, Inc. (a)

97,890

1,745,379

Lamar Advertising Co. Class A (a)(d)

131,584

4,302,797

Liberty Global, Inc. Class A (a)(d)

602,873

30,252,167

Liberty Media Corp. Capital Series A (a)

252,719

22,716,911

LIN TV Corp. Class A (a)

76,893

316,799

Live Nation Entertainment, Inc. (a)(d)

346,898

3,233,089

LodgeNet Entertainment Corp. (a)(d)

59,818

203,979

Madison Square Garden Co. Class A (a)

122,099

3,888,853

Martha Stewart Living Omnimedia, Inc. Class A

61,948

278,766

Media General, Inc. Class A (a)(d)

25,434

143,702

Meredith Corp. (d)

74,098

2,437,824

Morningstar, Inc.

54,467

3,260,939

National CineMedia, Inc.

112,174

1,784,688

Navarre Corp. (a)

74,677

126,951

New Frontier Media, Inc. (a)

50,060

61,574

Nexstar Broadcasting Group, Inc.
Class A (a)

51,855

427,804

NTN Communications, Inc. (a)

49,847

11,714

Outdoor Channel Holdings, Inc.

43,232

304,786

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Pandora Media, Inc. (d)

156,282

$ 2,041,043

Point.360 (a)

2,433

1,996

Radio One, Inc. Class D (non-vtg.) (a)(d)

89,989

86,389

ReachLocal, Inc. (a)(d)

38,350

299,130

Reading International, Inc. Class A (a)

24,625

111,798

Regal Entertainment Group Class A

219,584

3,034,651

Rentrak Corp. (a)(d)

20,726

430,686

Saga Communications, Inc. Class A (a)

4,466

167,564

Salem Communications Corp. Class A (a)

11,570

30,429

Scholastic Corp.

51,450

1,572,827

Sinclair Broadcast Group, Inc. Class A

104,583

1,194,338

Sirius XM Radio, Inc. (a)(d)

8,621,158

19,483,817

Spanish Broadcasting System, Inc.
Class A (a)

17,489

76,252

SPAR Group, Inc. (a)

4,346

5,041

SuperMedia, Inc. (a)(d)

54,054

154,054

The McClatchy Co. Class A (a)(d)

133,924

340,167

The New York Times Co. Class A (a)

262,449

1,729,539

Valassis Communications, Inc. (a)(d)

103,593

2,587,753

Value Line, Inc.

1,396

16,012

Virgin Media, Inc.

667,212

16,813,742

World Wrestling Entertainment, Inc.
Class A (d)

81,907

748,630

 

173,176,962

Multiline Retail - 0.3%

Dillard's, Inc. Class A (d)

83,865

5,127,506

Dollar General Corp. (a)

275,042

11,568,267

Duckwall-ALCO Stores, Inc. (a)

8,410

70,560

Fred's, Inc. Class A

107,249

1,485,399

Gordmans Stores, Inc. (a)

23,635

358,543

Saks, Inc. (a)(d)

251,611

2,931,268

The Bon-Ton Stores, Inc. (d)

31,972

153,466

Tuesday Morning Corp. (a)

85,411

292,960

 

21,987,969

Specialty Retail - 3.5%

Aarons, Inc. Class A

152,022

4,247,495

Advance Auto Parts, Inc.

160,341

13,688,311

Aeropostale, Inc. (a)

217,864

3,915,016

America's Car Mart, Inc. (a)

24,361

1,086,744

American Eagle Outfitters, Inc.

458,447

6,665,819

ANN, Inc. (a)

130,985

3,129,232

Appliance Recycling Centers of America, Inc. (a)

2,967

15,013

Asbury Automotive Group, Inc. (a)(d)

69,311

1,797,234

Ascena Retail Group, Inc. (a)

139,808

5,396,589

Barnes & Noble, Inc. (a)(d)

85,013

1,131,523

bebe Stores, Inc.

123,042

1,102,456

Big 5 Sporting Goods Corp. (d)

37,628

293,122

Body Central Corp. (a)

37,768

1,051,461

Books-A-Million, Inc. (d)

24,011

62,909

Brown Shoe Co., Inc.

88,876

958,083

 

Shares

Value

Build-A-Bear Workshop, Inc. (a)

33,647

$ 183,376

Cabela's, Inc. Class A (a)(d)

101,331

3,595,224

Cache, Inc. (a)

37,741

235,126

Casual Male Retail Group, Inc. (a)

107,460

338,499

Charming Shoppes, Inc. (a)

215,702

1,218,716

Chico's FAS, Inc.

371,520

5,576,515

Christopher & Banks Corp.

90,275

193,189

Citi Trends, Inc. (a)(d)

30,443

330,002

Coldwater Creek, Inc. (a)(d)

139,498

131,128

Collective Brands, Inc. (a)(d)

130,215

2,346,474

Conn's, Inc. (a)

51,120

677,851

Cost Plus, Inc. (a)(d)

34,446

452,620

Destination Maternity Corp.

25,288

454,678

Dick's Sporting Goods, Inc.

193,897

8,678,830

Dover Saddlery, Inc. (a)

1,537

7,285

Dreams, Inc. (a)

55,948

142,667

DSW, Inc. Class A (d)

51,084

2,881,138

Express, Inc. (a)

155,610

3,703,518

Finish Line, Inc. Class A

109,784

2,523,934

Foot Locker, Inc.

360,722

10,522,261

Francescas Holdings Corp. (a)

34,737

797,214

Genesco, Inc. (a)(d)

49,329

3,361,278

GNC Holdings, Inc.

112,665

3,646,966

Golfsmith International Holdings, Inc. (a)(d)

13,141

53,747

Group 1 Automotive, Inc.

57,507

2,965,636

Guess?, Inc. (d)

133,530

4,626,815

Hastings Entertainment, Inc. (a)(d)

13,630

24,670

Haverty Furniture Companies, Inc.

46,862

515,482

hhgregg, Inc. (a)(d)

46,801

534,935

Hibbett Sports, Inc. (a)(d)

68,612

3,358,557

Hot Topic, Inc. (d)

93,449

833,565

Jos. A. Bank Clothiers, Inc. (a)(d)

56,221

2,894,819

Kirkland's, Inc. (a)

44,730

713,444

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

45,718

1,079,402

Lumber Liquidators Holdings, Inc. (a)(d)

47,662

1,043,321

MarineMax, Inc. (a)

45,781

369,910

Mattress Firm Holding Corp. (d)

20,300

674,772

Midas, Inc. (a)

29,295

267,463

Monro Muffler Brake, Inc.

67,324

3,088,152

New York & Co., Inc. (a)

66,787

174,314

Office Depot, Inc. (a)(d)

575,112

1,897,870

OfficeMax, Inc. (a)(d)

175,591

983,310

Pacific Sunwear of California, Inc. (a)(d)

134,412

282,265

Penske Automotive Group, Inc.

94,060

2,264,965

Perfumania Holdings, Inc. (a)

1,076

10,771

PetSmart, Inc.

246,522

13,741,136

Pier 1 Imports, Inc. (a)(d)

262,190

4,501,802

RadioShack Corp.

214,393

1,520,046

Rent-A-Center, Inc. (d)

149,130

5,282,185

rue21, Inc. (a)

31,869

850,265

Sally Beauty Holdings, Inc. (a)

313,293

7,456,373

Select Comfort Corp. (a)(d)

147,357

4,360,294

Shoe Carnival, Inc. (a)

18,743

490,692

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Signet Jewelers Ltd.

185,683

$ 8,708,533

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

74,200

1,271,046

Stage Stores, Inc.

76,001

1,136,215

Stein Mart, Inc. (a)

56,330

403,886

Systemax, Inc. (a)(d)

20,254

390,902

Talbots, Inc. (a)

132,452

392,058

Tandy Leather Factory, Inc.

3,074

15,985

Teavana Holdings, Inc. (a)(d)

44,153

1,035,388

The Buckle, Inc. (d)

56,089

2,519,518

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

57,708

1,564,464

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

57,906

2,938,730

The Men's Wearhouse, Inc.

108,987

4,221,067

The Pep Boys - Manny, Moe & Jack

106,929

1,608,212

Tractor Supply Co.

162,517

13,890,328

Trans World Entertainment Corp. (a)

29,120

68,141

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

109,676

9,129,430

Vitamin Shoppe, Inc. (a)(d)

57,120

2,423,602

West Marine, Inc. (a)

30,261

320,767

Wet Seal, Inc. Class A (a)(d)

251,975

881,913

Williams-Sonoma, Inc. (d)

228,308

8,812,689

Winmark Corp.

5,172

299,304

Zale Corp. (a)(d)

121,040

388,538

Zumiez, Inc. (a)(d)

53,696

1,687,128

 

227,508,318

Textiles, Apparel & Luxury Goods - 1.5%

American Apparel, Inc. (a)(d)

61,564

46,789

Carter's, Inc. (a)(d)

111,014

5,391,950

Charles & Colvard Ltd. (a)

24,954

104,308

Cherokee, Inc.

28,809

324,677

Columbia Sportswear Co. (d)

32,192

1,607,347

Crocs, Inc. (a)

187,838

3,691,017

Crown Crafts, Inc.

2,227

9,442

Culp, Inc. (a)

19,568

204,486

Deckers Outdoor Corp. (a)(d)

80,847

6,044,122

Delta Apparel, Inc. (a)

17,128

280,728

DGSE Companies, Inc. (a)

6,929

54,254

Forward Industries, Inc. (NY Shares) (a)

18,823

54,398

Fossil, Inc. (a)(d)

120,590

14,709,568

G-III Apparel Group Ltd. (a)(d)

38,295

954,311

Hallwood Group, Inc. (a)

360

4,428

Hanesbrands, Inc. (a)(d)

228,176

6,555,496

Heelys, Inc. (a)

58,297

129,419

Iconix Brand Group, Inc. (a)(d)

151,594

2,752,947

Joe's Jeans, Inc. (a)

112,776

96,423

K-Swiss, Inc. Class A (a)(d)

60,461

201,335

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

26,310

412,804

Lacrosse Footwear, Inc.

9,275

118,627

 

Shares

Value

Lakeland Industries, Inc. (a)

24,260

$ 241,387

Liz Claiborne, Inc. (a)(d)

191,172

1,869,662

Maidenform Brands, Inc. (a)

78,925

1,657,425

Michael Kors Holdings Ltd.

83,916

3,629,367

Movado Group, Inc.

36,887

789,382

Oxford Industries, Inc.

39,771

2,004,458

Perry Ellis International, Inc. (a)(d)

50,000

871,500

PVH Corp.

133,145

11,318,656

Quiksilver, Inc. (a)

280,211

1,311,387

R.G. Barry Corp.

22,932

320,589

Rocky Brands, Inc. (a)

16,536

194,298

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

83,366

1,064,584

Steven Madden Ltd. (a)(d)

80,605

3,480,524

Superior Uniform Group, Inc.

5,649

70,500

Tandy Brands Accessories, Inc. (a)

1,058

1,820

The Jones Group, Inc.

181,430

1,787,086

True Religion Apparel, Inc. (a)

71,106

1,875,065

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

92,429

8,248,364

Unifi, Inc. (a)

45,178

374,526

Vera Bradley, Inc. (a)(d)

51,675

1,896,473

Warnaco Group, Inc. (a)(d)

104,861

6,156,389

Wolverine World Wide, Inc.

110,840

4,227,438

 

97,139,756

TOTAL CONSUMER DISCRETIONARY

1,031,948,965

CONSUMER STAPLES - 3.6%

Beverages - 0.4%

Boston Beer Co., Inc. Class A (a)(d)

22,500

2,126,700

Central European Distribution Corp. (a)(d)

158,400

690,624

Coca-Cola Bottling Co. CONSOLIDATED

10,828

697,756

Craft Brew Alliance, Inc. (a)(d)

22,005

137,531

Crystal Rock Holdings, Inc. (a)

4,384

3,858

Jones Soda Co. (a)

42,540

21,270

MGP Ingredients, Inc.

21,690

131,008

Monster Beverage Corp. (a)

343,964

19,671,301

National Beverage Corp.

48,005

768,560

Primo Water Corp. (a)(d)

43,402

115,449

 

24,364,057

Food & Staples Retailing - 0.4%

Andersons, Inc.

39,242

1,690,938

Arden Group, Inc. Class A

2,566

229,760

Casey's General Stores, Inc.

78,597

4,026,524

Chefs' Warehouse Holdings (a)

27,477

577,017

Crumbs Bake Shop, Inc. (a)

21,400

80,464

Fresh Market, Inc. (a)(d)

63,325

2,850,892

Ingles Markets, Inc. Class A

32,319

577,541

Nash-Finch Co.

33,766

905,266

PriceSmart, Inc.

37,160

2,401,651

Rite Aid Corp. (a)(d)

1,339,058

2,062,149

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Roundy's, Inc.

38,156

$ 381,560

Ruddick Corp.

91,474

3,746,775

Spartan Stores, Inc.

47,038

839,158

Susser Holdings Corp. (a)(d)

42,317

1,072,313

The Pantry, Inc. (a)(d)

48,462

602,383

United Natural Foods, Inc. (a)(d)

99,547

4,531,379

Village Super Market, Inc. Class A

10,408

313,177

Weis Markets, Inc.

29,832

1,278,600

Winn-Dixie Stores, Inc. (a)

117,587

1,114,725

 

29,282,272

Food Products - 1.7%

Alico, Inc.

8,218

191,151

B&G Foods, Inc. Class A

97,603

2,272,198

Bridgford Foods Corp. (a)

4,789

41,569

Bunge Ltd.

324,121

21,819,826

Cal-Maine Foods, Inc. (d)

27,895

1,073,958

Calavo Growers, Inc.

37,834

1,040,435

Chiquita Brands International, Inc. (a)

92,664

888,648

Coffee Holding Co., Inc.

4,500

35,550

Corn Products International, Inc.

163,249

9,362,330

Darling International, Inc. (a)(d)

244,220

3,905,078

Diamond Foods, Inc. (d)

45,316

1,083,959

Dole Food Co., Inc. (a)(d)

97,530

934,337

Farmer Brothers Co.

16,489

182,533

Flowers Foods, Inc.

286,497

5,483,553

Fresh Del Monte Produce, Inc.

100,958

2,267,517

Golden Enterprises Ltd.

2,595

8,252

Green Mountain Coffee Roasters, Inc. (a)(d)

270,000

17,541,900

Griffin Land & Nurseries, Inc.

5,717

145,955

Hain Celestial Group, Inc. (a)(d)

96,961

3,959,887

Imperial Sugar Co.

28,869

165,997

Inventure Foods, Inc. (a)

25,815

105,067

J&J Snack Foods Corp.

28,888

1,449,311

John B. Sanfilippo & Son, Inc. (a)

23,941

256,169

Lancaster Colony Corp.

51,289

3,342,504

Lifeway Foods, Inc. (a)(d)

13,382

121,776

Limoneira Co. (d)

16,924

310,386

Omega Protein Corp. (a)

45,997

379,935

Overhill Farms, Inc. (a)

28,537

123,565

Pilgrims Pride Corp. (d)

79,596

499,067

Pilgrims Pride Corp. rights 3/1/12 (a)

100,398

36,820

Post Holdings, Inc. (a)

61,641

1,919,501

Ralcorp Holdings, Inc. (a)

131,280

9,793,488

Sanderson Farms, Inc. (d)

42,833

2,107,384

Seneca Foods Corp. Class A (a)

21,181

542,657

Smart Balance, Inc. (a)

144,048

862,848

Smithfield Foods, Inc. (a)(d)

358,972

8,410,714

Snyders-Lance, Inc.

143,901

3,230,577

 

Shares

Value

Tootsie Roll Industries, Inc. (d)

69,890

$ 1,624,943

TreeHouse Foods, Inc. (a)(d)

74,400

4,285,440

 

111,806,785

Household Products - 0.5%

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

119,241

1,141,136

Church & Dwight Co., Inc.

311,672

14,879,221

Energizer Holdings, Inc. (a)

162,669

12,436,045

Harbinger Group, Inc. (a)

43,619

198,903

Ocean Bio-Chem, Inc. (a)

20,307

54,829

Oil-Dri Corp. of America

15,023

312,328

Orchids Paper Products Co.

23,276

416,640

Spectrum Brands Holdings, Inc. (a)

53,363

1,516,576

WD-40 Co.

44,760

1,928,261

 

32,883,939

Personal Products - 0.5%

CCA Industries, Inc.

3,083

15,230

Cyanotech Corp. (a)

3,808

30,692

Elizabeth Arden, Inc. (a)(d)

54,230

2,014,645

Herbalife Ltd.

263,786

17,465,271

Inter Parfums, Inc.

35,137

592,761

Mannatech, Inc. (a)

1,576

6,146

MediFast, Inc. (a)(d)

29,967

486,364

Natural Alternatives International, Inc. (a)

20,104

128,062

Nature's Sunshine Products, Inc. (a)

17,668

260,603

Nu Skin Enterprises, Inc. Class A

123,342

7,124,234

Nutraceutical International Corp. (a)

24,021

312,753

Parlux Fragrances, Inc. (a)

25,118

129,358

Physicians Formula Holdings, Inc. (a)

22,295

64,656

Prestige Brands Holdings, Inc. (a)

104,019

1,716,314

Reliv International, Inc.

10,690

14,325

Revlon, Inc. (a)

42,260

640,662

Schiff Nutrition International, Inc. (a)(d)

27,999

312,469

The Female Health Co.

46,956

231,024

United-Guardian, Inc.

3,431

55,651

USANA Health Sciences, Inc. (a)(d)

34,185

1,268,264

 

32,869,484

Tobacco - 0.1%

Alliance One International, Inc. (a)(d)

266,461

983,241

Star Scientific, Inc. (a)(d)

226,518

849,443

Universal Corp. (d)

47,967

2,203,604

Vector Group Ltd. (d)

94,601

1,717,008

 

5,753,296

TOTAL CONSUMER STAPLES

236,959,833

ENERGY - 6.7%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)(d)

116,937

5,561,524

Basic Energy Services, Inc. (a)(d)

88,232

1,752,288

Bolt Technology Corp.

24,542

338,189

Bristow Group, Inc.

74,615

3,522,574

C&J Energy Services, Inc. (d)

22,000

447,040

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Cal Dive International, Inc. (a)(d)

192,996

$ 559,688

Carbo Ceramics, Inc. (d)

44,330

4,062,845

Dawson Geophysical Co. (a)

17,762

673,002

Dresser-Rand Group, Inc. (a)(d)

178,338

9,366,312

Dril-Quip, Inc. (a)(d)

75,346

5,273,467

Energy Services of America Corp. (a)

9,053

31,323

ENGlobal Corp. (a)

44,577

102,527

Exterran Holdings, Inc. (a)(d)

135,098

1,945,411

Forbes Energy Services Ltd. (a)

10,374

65,460

Geokinetics, Inc. (a)

45,520

90,585

Global Geophysical Services, Inc. (a)

50,528

544,692

Gulf Island Fabrication, Inc.

30,245

886,481

Gulfmark Offshore, Inc. Class A (a)

58,283

2,928,138

Helix Energy Solutions Group, Inc. (a)(d)

217,927

4,192,915

Hercules Offshore, Inc. (a)(d)

315,518

1,602,831

Hornbeck Offshore Services, Inc. (a)(d)

66,010

2,689,908

ION Geophysical Corp. (a)(d)

241,453

1,728,803

Key Energy Services, Inc. (a)(d)

366,546

6,253,275

Lufkin Industries, Inc.

74,136

5,904,191

Matrix Service Co. (a)

71,062

940,861

McDermott International, Inc. (a)

495,504

6,471,282

Mitcham Industries, Inc. (a)

24,562

574,014

Natural Gas Services Group, Inc. (a)(d)

25,396

355,290

Newpark Resources, Inc. (a)(d)

184,790

1,454,297

Oceaneering International, Inc.

235,178

12,763,110

Oil States International, Inc. (a)(d)

117,013

9,503,796

OYO Geospace Corp. (a)

9,947

1,094,667

Parker Drilling Co. (a)

242,503

1,535,044

Patterson-UTI Energy, Inc.

324,732

6,306,295

PHI, Inc. (non-vtg.) (a)

30,743

679,420

Pioneer Drilling Co. (a)(d)

132,423

1,318,933

RigNet, Inc. (a)

17,441

296,497

RPC, Inc. (d)

112,673

1,803,895

SEACOR Holdings, Inc. (a)(d)

52,976

5,238,267

Superior Energy Services, Inc. (a)

360,342

10,572,434

Tesco Corp. (a)(d)

66,408

1,017,371

TETRA Technologies, Inc. (a)(d)

155,121

1,410,050

TGC Industries, Inc. (a)

32,309

327,613

Tidewater, Inc.

108,622

6,463,009

Union Drilling, Inc. (a)

29,459

198,554

Unit Corp. (a)(d)

116,878

5,559,886

Willbros Group, Inc. (a)

99,083

416,149

 

136,824,203

Oil, Gas & Consumable Fuels - 4.6%

Abraxas Petroleum Corp. (a)(d)

199,696

802,778

Adams Resources & Energy, Inc.

15,909

659,746

Alon USA Energy, Inc.

31,382

294,991

Amyris, Inc. (a)(d)

59,801

321,729

APCO Oil and Gas International, Inc. (d)

22,879

1,720,043

Approach Resources, Inc. (a)(d)

59,134

2,043,671

Arch Coal, Inc.

466,807

6,334,571

 

Shares

Value

ATP Oil & Gas Corp. (a)(d)

109,981

$ 879,848

Barnwell Industries, Inc. (a)

11,298

31,860

Berry Petroleum Co. Class A

111,618

6,022,907

Bill Barrett Corp. (a)(d)

108,832

3,181,159

BioFuel Energy Corp. (a)(d)

245,610

186,418

Bonanza Creek Energy, Inc.

21,405

398,133

BPZ Energy, Inc. (a)(d)

218,335

700,855

Callon Petroleum Co. (a)

73,635

519,863

Carrizo Oil & Gas, Inc. (a)(d)

72,656

2,046,720

Cheniere Energy, Inc. (a)(d)

209,409

3,149,511

Cimarex Energy Co.

195,710

15,787,926

Clayton Williams Energy, Inc. (a)(d)

26,242

2,318,481

Clean Energy Fuels Corp. (a)(d)

103,956

1,953,333

Cloud Peak Energy, Inc. (a)(d)

125,502

2,223,895

Cobalt International Energy, Inc. (a)(d)

339,545

10,206,723

Comstock Resources, Inc. (a)(d)

98,794

1,583,668

Concho Resources, Inc. (a)(d)

237,808

25,407,407

Contango Oil & Gas Co. (a)(d)

31,943

2,030,936

Continental Resources, Inc. (a)(d)

125,022

11,336,995

CREDO Petroleum Corp. (a)

17,574

201,750

Crimson Exploration, Inc. (a)(d)

82,961

258,009

Crosstex Energy, Inc.

112,481

1,544,364

Cubic Energy, Inc. (a)(d)

80,504

41,862

CVR Energy, Inc. (a)(d)

192,008

5,224,538

Delek US Holdings, Inc.

31,238

412,654

DHT Holdings, Inc. (d)

140,401

155,845

Double Eagle Petroleum Co. (a)

27,291

185,306

Earthstone Energy, Inc. (a)

4,213

100,480

Endeavour International Corp. (a)(d)

75,178

869,809

Energen Corp.

154,282

8,212,431

Energy Partners Ltd. (a)

62,783

1,069,822

Evolution Petroleum Corp. (a)

37,375

346,840

EXCO Resources, Inc. (d)

381,221

2,718,106

FieldPoint Petroleum Corp. (a)

9,981

54,197

Forest Oil Corp. (a)(d)

237,472

3,070,513

FX Energy, Inc. (a)(d)

108,663

687,837

Gasco Energy, Inc. (a)(d)

467,214

135,492

Gastar Exploration Ltd. (a)

112,646

323,294

GeoMet, Inc. (a)

60,223

40,952

Georesources, Inc. (a)(d)

43,651

1,398,578

Gevo, Inc. (a)(d)

16,005

160,210

GMX Resources, Inc. (a)(d)

104,152

183,308

Goodrich Petroleum Corp. (a)(d)

59,308

944,776

Green Plains Renewable Energy, Inc. (a)(d)

48,253

547,672

Gulfport Energy Corp. (a)(d)

88,655

2,980,581

Halcon Resources Corp. (a)(d)

47,202

518,750

Hallador Energy Co.

4,464

45,086

Harvest Natural Resources, Inc. (a)(d)

74,832

495,388

HKN, Inc. (a)

28,420

65,934

HollyFrontier Corp.

421,851

13,764,998

Houston American Energy Corp. (a)(d)

37,486

406,348

Hyperdynamics Corp. (a)(d)

317,808

432,219

Isramco, Inc. (a)(d)

1,934

159,748

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

James River Coal Co. (a)(d)

72,283

$ 414,182

Kinder Morgan Holding Co. LLC (d)

239,894

8,453,865

KiOR, Inc. Class A (d)

28,186

245,218

Kodiak Oil & Gas Corp. (a)(d)

616,350

5,972,432

Laredo Petroleum Holdings, Inc.

38,457

975,654

Lucas Energy, Inc. (a)(d)

25,312

74,164

Magellan Petroleum Corp. (a)

109,622

139,220

Magnum Hunter Resources Corp. (d)

263,466

1,823,185

Magnum Hunter Resources Corp. warrants 10/14/13 (a)(d)

19,383

0

Matador Resources Co.

29,289

347,368

McMoRan Exploration Co. (a)(d)

286,847

4,015,858

Mexco Energy Corp. (a)

2,175

21,054

Miller Energy Resources, Inc. (a)(d)

130,696

548,923

Northern Oil & Gas, Inc. (a)(d)

161,173

3,821,412

Oasis Petroleum, Inc. (a)(d)

145,480

4,665,544

Overseas Shipholding Group, Inc. (d)

63,133

558,727

Pacific Ethanol, Inc. (a)(d)

65,558

80,636

Panhandle Royalty Co. Class A

15,804

460,687

Patriot Coal Corp. (a)(d)

199,584

1,442,992

Penn Virginia Corp.

93,671

458,051

Petroleum Development Corp. (a)

48,457

1,576,791

Petroquest Energy, Inc. (a)(d)

116,987

713,621

Plains Exploration & Production Co. (a)

318,253

14,025,410

PostRock Energy Corp. (a)

17,510

64,262

PrimeEnergy Corp. (a)

1,965

44,311

Pyramid Oil Co. (a)

7,060

37,206

Quicksilver Resources, Inc. (a)(d)

274,950

1,523,223

Renewable Energy Group, Inc.

10,652

101,940

Rentech, Inc. (a)

504,816

898,572

Resolute Energy Corp. (a)(d)

165,845

1,850,830

Rex American Resources Corp. (a)

16,822

515,931

Rex Energy Corp. (a)(d)

90,060

1,035,690

Rosetta Resources, Inc. (a)(d)

110,823

5,656,406

Royale Energy, Inc. (a)(d)

11,555

71,294

Sanchez Energy Corp. (d)

19,483

466,228

SandRidge Energy, Inc. (a)(d)

811,063

7,031,916

Saratoga Resources, Inc. (a)

15,181

100,954

SemGroup Corp. Class A (a)

96,535

2,738,698

Ship Finance International Ltd. (NY Shares) (d)

109,403

1,502,103

SM Energy Co.

137,484

10,822,740

SMF Energy Corp. (d)

11,201

40,660

Solazyme, Inc. (d)

23,938

329,866

Southern Union Co. (d)

260,425

11,443,075

Stone Energy Corp. (a)(d)

102,000

3,258,900

Swift Energy Co. (a)(d)

88,600

2,660,658

Synergy Resources Corp. (a)

18,532

63,750

Syntroleum Corp. (a)(d)

166,427

206,369

Targa Resources Corp.

86,957

3,863,500

Teekay Corp.

95,965

2,763,792

 

Shares

Value

Tengasco, Inc. (a)

63,216

$ 65,112

Tri-Valley Corp. (a)(d)

75,638

12,858

Ultra Petroleum Corp. (a)(d)

366,925

9,158,448

Uranium Energy Corp. (a)(d)

194,558

729,593

Uranium Resources, Inc. (a)(d)

186,574

179,111

USEC, Inc. (a)(d)

388,801

520,993

Vaalco Energy, Inc. (a)(d)

119,162

940,188

Venoco, Inc. (a)

63,393

690,984

Verenium Corp. (a)(d)

32,819

92,550

Voyager Oil & Gas, Inc. (a)

93,088

301,605

W&T Offshore, Inc.

74,943

1,892,311

Warren Resources, Inc. (a)

155,341

605,830

Western Refining, Inc. (d)

113,744

2,064,454

Westmoreland Coal Co. (a)

23,023

241,972

Whiting Petroleum Corp. (a)(d)

266,339

15,618,119

World Fuel Services Corp. (d)

160,000

6,665,600

ZaZa Energy Corp. (a)(d)

47,652

186,796

Zion Oil & Gas, Inc. (a)(d)

99,924

272,793

Zion Oil & Gas, Inc. warrants 8/15/12 (a)(d)

26,798

5,896

 

300,074,945

TOTAL ENERGY

436,899,148

FINANCIALS - 20.3%

Capital Markets - 1.5%

Affiliated Managers Group, Inc. (a)

112,772

11,997,813

Arlington Asset Investment Corp.

20,855

481,751

Artio Global Investors, Inc. Class A (d)

122,626

587,379

BGC Partners, Inc. Class A (d)

169,391

1,190,819

Calamos Asset Management, Inc.
Class A

42,824

525,022

CIFI Corp. (a)

5,983

31,351

Cohen & Steers, Inc. (d)

41,701

1,373,631

Cowen Group, Inc. Class A (a)

224,983

629,952

Diamond Hill Investment Group, Inc.

6,220

471,725

Duff & Phelps Corp. Class A

62,290

857,110

Eaton Vance Corp. (non-vtg.) (d)

250,462

7,215,810

Edelman Financial Group, Inc.

54,798

367,147

Epoch Holding Corp.

35,731

891,488

Evercore Partners, Inc. Class A

51,523

1,400,910

FBR Capital Markets Corp. (a)

133,653

336,806

Financial Engines, Inc. (a)(d)

112,959

2,603,705

FirstCity Financial Corp. (a)

5,260

45,236

FXCM, Inc. Class A (d)

32,446

306,939

GAMCO Investors, Inc. Class A

13,874

639,730

GFI Group, Inc.

188,467

723,713

Gleacher & Co., Inc. (a)(d)

147,210

223,759

Greenhill & Co., Inc.

60,155

2,644,414

HFF, Inc. (a)

77,082

1,110,752

ICG Group, Inc. (a)

113,828

986,889

Institutional Financial Markets, Inc.

16,813

25,556

INTL FCStone, Inc. (a)(d)

36,432

825,185

Investment Technology Group, Inc. (a)(d)

111,776

1,285,424

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc. (d)

420,000

$ 3,704,400

Jefferies Group, Inc. (d)

302,772

5,062,348

JMP Group, Inc.

40,214

286,324

KBW, Inc.

72,402

1,196,805

Knight Capital Group, Inc. Class A (a)

210,178

2,784,859

Ladenburg Thalmann Financial Services, Inc. (a)(d)

282,944

574,376

LPL Investment Holdings, Inc. (a)

95,900

3,270,190

Medallion Financial Corp.

52,498

574,853

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

30,185

505,297

Penson Worldwide, Inc. (a)(d)

47,870

61,274

Piper Jaffray Companies (a)(d)

44,362

1,090,418

Pzena Investment Management, Inc.

13,002

66,830

Raymond James Financial, Inc.

228,162

8,070,090

Rodman & Renshaw Capital Group, Inc. (a)(d)

120,949

135,463

Safeguard Scientifics, Inc. (a)

52,134

881,586

SEI Investments Co.

318,629

6,292,923

Stifel Financial Corp. (a)(d)

111,917

4,200,245

SWS Group, Inc. (d)

80,179

448,201

TD Ameritrade Holding Corp.

498,113

9,299,770

Teton Advisors, Inc. (a)

145

2,248

U.S. Global Investments, Inc. Class A

36,632

271,077

Virtus Investment Partners, Inc. (a)

13,764

1,094,789

Waddell & Reed Financial, Inc.
Class A (d)

213,366

6,733,831

Walter Investment Management Corp.

58,571

1,193,677

Westwood Holdings Group, Inc.

12,700

491,998

WisdomTree Investments, Inc. (a)

138,520

980,722

 

99,054,610

Commercial Banks - 4.3%

1st Source Corp.

35,268

865,829

1st United Bancorp, Inc. (a)

59,992

353,953

Access National Corp.

3,533

36,814

ACNB Corp.

13,555

193,972

Alliance Financial Corp.

11,655

344,056

Ameriana Bancorp

2,223

10,782

American National Bankshares, Inc.

15,150

321,938

Ameris Bancorp (a)(d)

48,535

559,123

AmeriServ Financial, Inc. (a)(d)

12,760

32,155

Ames National Corp.

14,284

309,249

Anchor Bancorp (a)

6,363

57,585

Arrow Financial Corp.

28,188

678,203

Associated Banc-Corp.

434,355

5,750,860

Auburn National Bancorp., Inc.

2,112

44,479

BancFirst Corp.

19,467

796,784

Bancorp, Inc., Delaware (a)

66,983

557,299

BancorpSouth, Inc.

226,260

2,678,918

BancTrust Financial Group, Inc. (a)(d)

34,209

44,472

Bank of Hawaii Corp.

98,531

4,532,426

 

Shares

Value

Bank of Kentucky Financial Corp.

10,625

$ 263,819

Bank of Marin Bancorp

11,021

387,609

Bank of the James Financial Group, Inc. (a)

2,186

11,280

Bank of the Ozarks, Inc. (d)

66,196

1,942,853

Banner Bank

32,759

675,163

Bar Harbor Bankshares

9,461

289,034

BBCN Bancorp, Inc. (a)

168,307

1,725,147

BCB Bancorp, Inc. (d)

9,297

97,154

Berkshire Bancorp, Inc. (a)

1,681

11,717

BOK Financial Corp.

65,078

3,493,387

Boston Private Financial Holdings, Inc.

161,973

1,543,603

Bridge Bancorp, Inc.

17,303

347,098

Bridge Capital Holdings (a)

15,251

183,927

Bryn Mawr Bank Corp.

21,145

415,711

BSB Bancorp, Inc.

19,579

220,655

C & F Financial Corp.

802

25,255

Camden National Corp.

15,714

555,490

Capital Bank Corp. (a)

18,858

41,488

Capital City Bank Group, Inc. (d)

29,072

228,797

CapitalSource, Inc.

671,726

4,534,151

Cardinal Financial Corp.

61,598

662,179

Cascade Bancorp (a)(d)

31,306

181,575

Cathay General Bancorp

164,381

2,685,986

Center Bancorp, Inc.

24,715

237,511

Centerstate Banks of Florida, Inc.

63,352

443,464

Central Pacific Financial Corp. (a)(d)

23,723

328,326

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

7,814

193,475

Chemical Financial Corp.

55,700

1,228,742

CIT Group, Inc. (a)

458,461

18,663,947

Citizens & Northern Corp.

28,411

565,379

Citizens Holding Co.

2,280

42,659

Citizens Republic Bancorp, Inc. (a)

84,126

1,151,685

City Holding Co. (d)

34,461

1,180,978

City National Corp.

106,269

4,994,643

CNB Financial Corp., Pennsylvania

24,450

378,975

CoBiz, Inc.

138,787

809,128

Colony Bankcorp, Inc. (a)

4,000

15,480

Columbia Banking Systems, Inc.

82,145

1,737,367

Commerce Bancshares, Inc.

183,137

7,070,920

Community Bank System, Inc.

96,150

2,626,818

Community Partners Bancorp

1,393

8,233

Community Trust Bancorp, Inc.

34,249

1,056,239

Crescent Financial Bancshares, Inc. (a)

4,931

19,823

Cullen/Frost Bankers, Inc.

140,787

7,951,650

CVB Financial Corp.

241,074

2,596,367

Eagle Bancorp, Inc., Maryland (a)(d)

42,730

662,742

East West Bancorp, Inc.

312,101

6,903,674

Eastern Virginia Bankshares, Inc. (a)

3,012

8,916

Encore Bancshares, Inc. (a)(d)

20,453

296,569

Enterprise Bancorp, Inc.

11,330

179,581

Enterprise Financial Services Corp.

40,305

467,538

Farmers Capital Bank Corp. (a)

5,824

34,070

Farmers National Banc Corp.

41,229

230,882

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Fidelity Southern Corp.

10,511

$ 67,270

Financial Institutions, Inc.

26,944

440,804

First Bancorp, North Carolina

34,349

343,490

First Bancorp, Puerto Rico (a)(d)

83,028

321,318

First Busey Corp.

161,346

780,915

First California Financial Group, Inc. (a)

58,547

270,487

First Citizen Bancshares, Inc.

14,036

2,472,441

First Commonwealth Financial Corp.

220,589

1,321,328

First Community Bancshares, Inc.

34,379

426,300

First Connecticut Bancorp, Inc. (d)

34,934

450,649

First Financial Bancorp, Ohio

125,711

2,057,889

First Financial Bankshares, Inc. (d)

88,879

3,044,995

First Financial Corp., Indiana

27,105

867,089

First Financial Service Corp. (a)

745

2,310

First Interstate Bancsystem, Inc.

42,213

574,097

First M&F Corp.

1,684

6,500

First Merchants Corp.

56,317

623,992

First Midwest Bancorp, Inc., Delaware (d)

155,623

1,799,002

First Niagara Financial Group, Inc.

686,322

6,561,238

First of Long Island Corp.

15,466

401,188

First Republic Bank (a)

194,207

5,824,268

First Security Group, Inc. (a)

1,070

2,996

First South Bancorp, Inc., Virginia (a)

39,689

161,534

First United Corp. (a)

14,602

79,143

Firstbank Corp., Michigan

7,615

54,523

FirstMerit Corp.

236,536

3,796,403

FNB Corp., Pennsylvania

296,034

3,490,241

FNB United Corp. (a)(d)

1,709

25,584

Fulton Financial Corp.

416,928

4,085,894

German American Bancorp, Inc.

25,909

507,298

Glacier Bancorp, Inc.

149,478

2,062,796

Great Southern Bancorp, Inc.

21,585

475,302

Green Bankshares, Inc. (a)

33,783

48,648

Guaranty Bancorp (a)

79,862

126,981

Hampton Roads Bankshares, Inc. (a)(d)

56,222

146,177

Hancock Holding Co.

186,386

6,327,805

Hanmi Financial Corp. (a)(d)

49,523

429,364

Hawthorn Bancshares, Inc.

6,079

43,465

Heartland Financial USA, Inc.

31,079

488,873

Heritage Commerce Corp. (a)(d)

40,322

211,691

Heritage Financial Corp., Washington

35,332

473,449

Heritage Oaks Bancorp (a)

17,210

69,701

Home Bancshares, Inc.

61,821

1,557,889

Horizon Bancorp Industries

7,320

128,832

Hudson Valley Holding Corp.

41,056

670,034

IBERIABANK Corp. (d)

64,510

3,421,610

Independent Bank Corp. (a)(d)

17,064

26,449

Independent Bank Corp., Massachusetts (d)

45,285

1,244,885

International Bancshares Corp.

125,554

2,383,015

Intervest Bancshares Corp. Class A (a)

43,436

147,682

 

Shares

Value

Investors Bancorp, Inc. (a)

108,165

$ 1,571,637

Lakeland Bancorp, Inc.

53,953

488,814

Lakeland Financial Corp.

34,881

879,699

Macatawa Bank Corp. (a)(d)

67,984

186,956

MainSource Financial Group, Inc.

47,324

479,865

MB Financial, Inc.

113,058

2,249,854

MBT Financial Corp. (a)(d)

10,000

21,200

Mercantile Bank Corp. (a)(d)

17,873

240,392

Merchants Bancshares, Inc.

13,310

370,684

Metro Bancorp, Inc. (a)

41,607

442,698

Metrocorp Bancshares, Inc. (a)

24,932

201,949

Middleburg Financial Corp.

12,256

193,155

Midsouth Bancorp, Inc.

24,320

312,755

MidWestOne Financial Group, Inc.

16,620

289,188

National Bankshares, Inc.

15,371

415,171

National Penn Bancshares, Inc. (d)

283,008

2,476,320

NBT Bancorp, Inc.

103,841

2,264,772

NewBridge Bancorp (a)

32,890

133,533

North Valley Bancorp (a)

2,276

23,807

Northrim Bancorp, Inc.

10,594

211,880

Norwood Financial Corp.

2,777

70,758

OBA Financial Services, Inc. (a)

4,224

59,981

Ohio Valley Banc Corp.

7,485

143,113

Old National Bancorp, Indiana

197,074

2,380,654

Old Second Bancorp, Inc. (a)(d)

34,774

41,729

OmniAmerican Bancorp, Inc. (a)

21,285

380,789

Oriental Financial Group, Inc.

97,881

1,150,102

Orrstown Financial Services, Inc.

16,026

138,625

Pacific Capital Bancorp NA (a)(d)

17,797

498,494

Pacific Continental Corp.

43,214

362,998

Pacific Mercantile Bancorp (a)

13,335

58,141

PacWest Bancorp

69,253

1,507,638

Park National Corp. (d)

38,738

2,666,724

Park Sterling Corp. (a)

78,231

355,951

Patriot National Bancorp, Inc. (a)(d)

14,022

24,398

Peapack-Gladstone Financial Corp. (d)

17,211

216,514

Penns Woods Bancorp, Inc.

9,401

366,545

Peoples Bancorp of North Carolina

1,842

14,847

Peoples Bancorp, Inc.

20,106

325,114

Peoples Financial Corp., Mississippi

7,232

70,223

Pinnacle Financial Partners, Inc. (a)(d)

71,032

1,176,290

Popular, Inc. (a)

2,618,158

4,974,500

Porter Bancorp, Inc.

3,733

7,391

Preferred Bank, Los Angeles (a)

18,933

191,223

Premier Financial Bancorp, Inc. (a)

4,520

27,572

PremierWest Bancorp (a)(d)

17,140

23,825

Princeton National Bancorp, Inc. (a)(d)

3,779

6,198

PrivateBancorp, Inc.

138,942

2,014,659

Prosperity Bancshares, Inc.

104,563

4,573,586

QCR Holdings, Inc.

6,005

59,510

Renasant Corp.

56,593

858,516

Republic Bancorp, Inc., Kentucky Class A

22,049

574,597

Republic First Bancorp, Inc. (a)

43,056

86,973

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Royal Bancshares of Pennsylvania, Inc. Class A (a)

6,704

$ 8,849

S&T Bancorp, Inc. (d)

65,011

1,378,883

S.Y. Bancorp, Inc.

28,962

629,924

Sandy Spring Bancorp, Inc.

51,493

929,964

Savannah Bancorp, Inc. (a)

3,956

20,611

SCBT Financial Corp.

39,694

1,229,323

Seacoast Banking Corp., Florida (a)

235,806

436,241

Shore Bancshares, Inc.

20,686

127,633

Sierra Bancorp

28,927

266,128

Signature Bank (a)(d)

103,111

6,120,669

Simmons First National Corp. Class A

35,300

928,037

Southern National Bancorp of Virginia, Inc.

12,282

78,850

Southside Bancshares, Inc.

38,340

817,025

Southwest Bancorp, Inc., Oklahoma (a)

44,454

380,526

State Bank Financial Corp. (a)

65,049

1,056,396

State Investors Bancorp, Inc. (a)

5,912

65,860

StellarOne Corp.

47,424

551,541

Sterling Bancorp, New York

62,200

553,580

Sterling Financial Corp., Washington (a)

88,072

1,713,881

Suffolk Bancorp (a)

24,189

292,687

Summit Financial Group, Inc. (a)

1,800

6,786

Sun Bancorp, Inc., New Jersey (a)

127,043

364,613

Susquehanna Bancshares, Inc.

457,715

4,243,018

SVB Financial Group (a)(d)

94,434

5,598,048

Synovus Financial Corp.

1,961,478

4,158,333

Taylor Capital Group, Inc. (a)(d)

36,427

489,943

TCF Financial Corp. (d)

333,798

3,598,342

Texas Capital Bancshares, Inc. (a)(d)

76,497

2,592,483

The First Bancorp, Inc.

19,885

298,275

TIB Financial Corp. (a)

777

8,392

Tompkins Financial Corp. (d)

20,721

851,633

TowneBank (d)

60,370

779,980

Trico Bancshares

30,606

495,817

Trustmark Corp.

117,611

2,773,267

UMB Financial Corp.

79,916

3,328,501

Umpqua Holdings Corp. (d)

254,223

3,132,027

Union Bankshares, Inc.

388

7,372

Union/First Market Bankshares Corp.

45,249

628,056

United Bankshares, Inc., West Virginia (d)

105,326

3,083,945

United Community Banks, Inc., Georgia (a)

41,124

368,882

United Security Bancshares, Inc.

8,545

52,295

United Security Bancshares, California (d)

7,198

15,476

Univest Corp. of Pennsylvania

33,462

528,700

Valley National Bancorp (d)

401,122

5,018,036

Virginia Commerce Bancorp, Inc. (a)

67,965

570,906

VIST Financial Corp.

18,675

223,353

Washington Banking Co., Oak Harbor

41,106

521,635

 

Shares

Value

Washington Trust Bancorp, Inc.

34,101

$ 801,715

Webster Financial Corp.

192,580

4,213,650

Wellesley Bancorp, Inc.

803

9,989

WesBanco, Inc.

61,393

1,197,164

West Bancorp., Inc.

25,000

240,750

West Coast Bancorp (a)

36,737

630,040

Westamerica Bancorp.

70,836

3,354,793

Western Alliance Bancorp. (a)(d)

183,053

1,490,051

Wilshire Bancorp, Inc. (a)(d)

124,300

539,462

Wintrust Financial Corp.

76,756

2,587,445

Xenith Bankshares, Inc. (a)

16,585

58,379

Yadkin Valley Financial Corp. (a)

15,173

31,408

 

277,465,665

Consumer Finance - 0.3%

Advance America Cash Advance Centers, Inc.

168,612

1,748,506

Cash America International, Inc.

61,500

2,852,370

CompuCredit Holdings Corp. (a)(d)

36,887

198,083

Consumer Portfolio Services, Inc. (a)

11,918

13,944

Credit Acceptance Corp. (a)(d)

21,614

2,080,564

DFC Global Corp. (a)

92,459

1,655,941

EZCORP, Inc. (non-vtg.) Class A (a)(d)

102,437

3,226,766

First Cash Financial Services, Inc. (a)(d)

76,532

3,234,242

First Marblehead Corp. (a)

153,484

187,250

Green Dot Corp. Class A (a)(d)

42,106

1,344,445

Imperial Holdings, Inc. (a)

53,799

134,498

Nelnet, Inc. Class A

61,253

1,618,304

Netspend Holdings, Inc. (a)(d)

69,646

599,652

QC Holdings, Inc.

15,649

58,684

White River Capital, Inc.

7,973

185,372

World Acceptance Corp. (a)(d)

37,666

2,392,544

 

21,531,165

Diversified Financial Services - 0.3%

California First National Bancorp

1,545

22,881

Catskill Litigation Trust (a)

1,036

0

CBOE Holdings, Inc.

224,482

6,188,969

FX Alliance, Inc.

11,347

153,525

Gain Capital Holdings, Inc.

22,236

116,517

Interactive Brokers Group, Inc.

80,367

1,274,621

Life Partners Holdings, Inc.

22,647

96,250

MarketAxess Holdings, Inc.

67,374

2,231,427

Marlin Business Services Corp.

19,144

300,561

MicroFinancial, Inc.

5,166

34,716

MSCI, Inc. Class A (a)(d)

256,992

9,092,377

NCP Litigation Trust (a)

200

0

NewStar Financial, Inc. (a)(d)

67,474

665,294

PHH Corp. (a)(d)

116,881

1,591,919

PICO Holdings, Inc. (a)

49,118

1,085,999

Resource America, Inc. Class A

23,799

141,604

Vector Capital Corp. rights

49,572

1

 

22,996,661

Insurance - 4.1%

21st Century Holding Co. (a)

8,797

29,294

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Alleghany Corp. (d)

18,796

$ 6,101,933

Allied World Assurance Co. Holdings
Ltd.

89,522

5,905,766

American Equity Investment Life Holding Co.

119,336

1,443,966

American Financial Group, Inc.

190,000

7,115,500

American Independence Corp. (a)

3,087

13,428

American National Insurance Co.

29,749

2,144,903

American Safety Insurance Group Ltd. (a)(d)

24,056

464,521

Amerisafe, Inc. (a)

44,533

1,004,664

Amtrust Financial Services, Inc. (d)

65,584

1,771,424

Arch Capital Group Ltd. (a)

304,045

11,264,867

Argo Group International Holdings, Ltd.

64,674

1,930,519

Arthur J. Gallagher & Co. (d)

238,841

8,149,255

Aspen Insurance Holdings Ltd.

147,997

3,926,360

Assured Guaranty Ltd.

358,543

6,023,522

Axis Capital Holdings Ltd.

309,698

9,554,183

Baldwin & Lyons, Inc. Class B

18,379

386,694

Brown & Brown, Inc.

248,221

5,865,462

Citizens, Inc. Class A (a)(d)

78,016

833,211

CNA Financial Corp.

88,556

2,498,165

CNO Financial Group, Inc. (a)

478,207

3,548,296

Crawford & Co. Class B

69,141

304,220

Delphi Financial Group, Inc. Class A

99,263

4,423,159

Donegal Group, Inc. Class A

26,385

363,321

Eastern Insurance Holdings, Inc.

14,834

215,093

eHealth, Inc. (a)(d)

59,193

889,671

EMC Insurance Group

12,011

253,072

Employers Holdings, Inc.

87,592

1,514,466

Endurance Specialty Holdings Ltd.

106,872

4,110,297

Enstar Group Ltd. (a)(d)

20,537

1,991,678

Erie Indemnity Co. Class A

61,158

4,654,735

Everest Re Group Ltd.

95,044

8,349,615

FBL Financial Group, Inc. Class A

35,194

1,195,540

Fidelity National Financial, Inc. Class A

471,276

8,134,224

First Acceptance Corp. (a)

24,679

35,785

First American Financial Corp.

216,245

3,330,173

Flagstone Reinsurance Holdings Ltd.

110,570

875,714

Fortegra Financial Corp. (a)

12,280

85,469

Global Indemnity PLC (a)

37,631

719,881

Greenlight Capital Re, Ltd. (a)

63,768

1,501,736

Hallmark Financial Services, Inc. (a)

23,631

159,509

Hanover Insurance Group, Inc.

94,048

3,839,039

Harleysville Group, Inc. (d)

30,356

1,718,453

HCC Insurance Holdings, Inc.

266,381

8,135,276

Hilltop Holdings, Inc. (a)

103,357

851,662

Homeowners Choice, Inc.

1,171

12,705

Horace Mann Educators Corp.

81,387

1,410,437

Independence Holding Co.

12,745

116,744

Infinity Property & Casualty Corp.

29,456

1,615,072

 

Shares

Value

Investors Title Co.

2,693

$ 121,670

Kansas City Life Insurance Co.

8,684

278,062

Kemper Corp.

121,221

3,469,345

Maiden Holdings Ltd.

143,671

1,242,754

Markel Corp. (a)

20,681

8,436,814

MBIA, Inc. (a)(d)

321,835

3,469,381

Meadowbrook Insurance Group, Inc.

111,638

1,062,794

Mercury General Corp.

55,209

2,367,362

Montpelier Re Holdings Ltd.

171,990

2,966,828

National Financial Partners Corp. (a)(d)

130,377

1,989,553

National Interstate Corp.

12,547

303,010

National Security Group, Inc.

2,778

25,280

National Western Life Insurance Co. Class A

7,262

985,889

Navigators Group, Inc. (a)(d)

29,134

1,369,589

Old Republic International Corp.

530,948

5,766,095

OneBeacon Insurance Group Ltd.

47,103

718,321

PartnerRe Ltd.

144,778

9,184,716

Phoenix Companies, Inc. (a)(d)

232,680

481,648

Platinum Underwriters Holdings Ltd.

76,798

2,730,937

Presidential Life Corp.

47,504

513,993

Primerica, Inc.

106,260

2,658,625

ProAssurance Corp.

64,616

5,670,700

Protective Life Corp.

178,332

4,952,280

Reinsurance Group of America, Inc.

160,469

9,254,247

RenaissanceRe Holdings Ltd.

110,083

7,921,573

RLI Corp.

47,991

3,362,249

Safety Insurance Group, Inc.

32,009

1,366,144

SeaBright Insurance Holdings, Inc.

51,078

417,818

Selective Insurance Group, Inc.

108,320

1,860,938

StanCorp Financial Group, Inc. (d)

111,235

4,422,704

State Auto Financial Corp.

29,911

418,156

Stewart Information Services Corp. (d)

39,262

515,903

Symetra Financial Corp.

228,781

2,274,083

Tower Group, Inc. (d)

79,758

1,838,422

Transatlantic Holdings, Inc.

148,543

9,001,706

Unico American Corp. (a)

2,607

28,286

United Fire Group, Inc.

45,430

912,689

Universal Insurance Holdings, Inc.

99,404

400,598

Validus Holdings Ltd.

146,156

4,456,296

W.R. Berkley Corp. (d)

267,684

9,569,703

White Mountains Insurance Group Ltd.

13,674

6,785,312

 

266,355,152

Real Estate Investment Trusts - 8.3%

Acadia Realty Trust (SBI) (d)

92,883

1,968,191

AG Mortgage Investment Trust, Inc.

28,695

571,604

Agree Realty Corp.

28,120

674,880

Alexanders, Inc.

7,463

2,831,835

Alexandria Real Estate Equities, Inc.

132,775

9,518,640

American Assets Trust, Inc.

90,276

1,942,740

American Campus Communities, Inc.

162,273

6,677,534

American Capital Agency Corp.

515,447

15,829,377

American Capital Mortgage Investment Corp. (d)

28,439

613,145

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Annaly Capital Management, Inc. (d)

2,208,934

$ 36,712,483

Anworth Mortgage Asset Corp.

286,499

1,862,244

Apollo Commercial Real Estate Finance, Inc.

43,970

657,352

Arbor Realty Trust, Inc. (a)(d)

95,842

460,042

Armour Residential REIT, Inc. (d)

268,031

1,894,979

Ashford Hospitality Trust, Inc.

167,220

1,411,337

Associated Estates Realty Corp. (d)

110,604

1,650,212

BioMed Realty Trust, Inc.

366,169

6,744,833

Brandywine Realty Trust (SBI) (d)

351,288

3,797,423

BRE Properties, Inc.

163,938

7,939,517

BRT Realty Trust (a)

7,942

51,305

Camden Property Trust (SBI) (d)

152,681

9,466,222

Campus Crest Communities, Inc.

85,655

907,086

Capital Trust, Inc. Class A (a)

85,860

291,924

CapLease, Inc.

143,989

580,276

Capstead Mortgage Corp.

222,517

2,959,476

CBL & Associates Properties, Inc. (d)

312,528

5,509,869

Cedar Shopping Centers, Inc.

105,841

503,803

Chatham Lodging Trust

37,534

452,660

Chesapeake Lodging Trust (d)

79,186

1,396,049

Chimera Investment Corp. (d)

2,491,833

7,649,927

Cogdell Spencer, Inc.

183,981

778,240

Colonial Properties Trust (SBI)

181,383

3,721,979

Colony Financial, Inc.

63,933

1,066,402

CommonWealth REIT

174,324

3,242,426

Coresite Realty Corp.

64,954

1,386,768

Corporate Office Properties Trust (SBI) (d)

147,223

3,609,908

Cousins Properties, Inc.

217,353

1,606,239

Crexus Investment Corp.

147,343

1,642,874

CubeSmart

222,676

2,511,785

Cys Investments, Inc. (d)

241,015

3,270,574

DCT Industrial Trust, Inc. (d)

498,172

2,819,654

DDR Corp.

548,129

7,745,063

DiamondRock Hospitality Co. (d)

357,776

3,563,449

Digital Realty Trust, Inc.

229,508

16,639,330

Douglas Emmett, Inc.

265,224

5,588,270

Duke Realty LP

533,955

7,411,295

DuPont Fabros Technology, Inc. (d)

145,560

3,333,324

EastGroup Properties, Inc. (d)

54,633

2,632,764

Education Realty Trust, Inc.

179,142

1,841,580

Entertainment Properties Trust (SBI)

96,934

4,410,497

Equity Lifestyle Properties, Inc.

96,693

6,431,051

Equity One, Inc.

121,453

2,310,036

Essex Property Trust, Inc. (d)

72,783

10,188,892

Excel Trust, Inc.

82,459

988,683

Extra Space Storage, Inc.

235,368

6,206,654

Federal Realty Investment Trust (SBI)

141,738

13,514,718

FelCor Lodging Trust, Inc. (a)

316,013

1,213,490

First Industrial Realty Trust, Inc. (a)

173,098

2,046,018

First Potomac Realty Trust

134,902

1,784,753

 

Shares

Value

Franklin Street Properties Corp.

149,212

$ 1,538,376

General Growth Properties, Inc.

888,708

14,459,279

Getty Realty Corp. (d)

61,162

1,039,754

Gladstone Commercial Corp.

28,855

515,639

Glimcher Realty Trust

291,480

2,885,652

Government Properties Income Trust

72,848

1,699,544

Gramercy Capital Corp. (a)

107,065

310,489

Gyrodyne Co. of America, Inc. (a)

691

72,196

Hatteras Financial Corp.

173,206

4,932,907

Healthcare Realty Trust, Inc.

158,187

3,269,725

Hersha Hospitality Trust

373,061

1,876,497

Highwoods Properties, Inc. (SBI)

148,605

4,755,360

Home Properties, Inc.

104,425

6,018,013

Hospitality Properties Trust (SBI)

259,284

6,412,093

Hudson Pacific Properties, Inc.

57,436

878,196

Inland Real Estate Corp.

155,936

1,351,965

Invesco Mortgage Capital, Inc.

297,124

5,089,734

Investors Real Estate Trust (d)

203,581

1,553,323

iStar Financial, Inc. (a)(d)

264,321

1,863,463

Kilroy Realty Corp. (d)

151,047

6,621,900

Kite Realty Group Trust

135,125

663,464

LaSalle Hotel Properties (SBI)

179,910

4,799,999

Lexington Corporate Properties Trust

370,353

3,203,553

Liberty Property Trust (SBI) (d)

243,987

8,276,039

LTC Properties, Inc.

60,414

1,864,376

Mack-Cali Realty Corp.

191,873

5,487,568

Medical Properties Trust, Inc.

249,853

2,428,571

MFA Financial, Inc. (d)

876,893

6,401,319

Mid-America Apartment Communities, Inc. (d)

76,315

4,759,767

Mission West Properties, Inc.

47,795

477,950

Monmouth Real Estate Investment Corp. Class A

64,543

604,122

MPG Office Trust, Inc. (a)(d)

165,334

370,348

National Health Investors, Inc. (d)

62,000

2,922,060

National Retail Properties, Inc.

198,474

5,289,332

New York Mortgage Trust, Inc. (d)

45,221

321,069

NorthStar Realty Finance Corp.

199,299

1,064,257

Omega Healthcare Investors, Inc. (d)

212,111

4,320,701

One Liberty Properties, Inc.

28,128

491,677

Parkway Properties, Inc.

47,937

478,891

Pebblebrook Hotel Trust

140,580

3,012,629

Pennsylvania Real Estate Investment Trust (SBI)

112,095

1,504,315

Pennymac Mortgage Investment Trust

55,638

1,001,484

Piedmont Office Realty Trust, Inc. Class A

362,642

6,389,752

PMC Commercial Trust

13,167

95,197

Post Properties, Inc. (d)

120,322

5,254,462

Potlatch Corp.

92,090

2,838,214

PS Business Parks, Inc.

43,000

2,684,060

RAIT Financial Trust (d)

95,007

503,537

Ramco-Gershenson Properties Trust (SBI)

91,827

1,016,525

Rayonier, Inc. (d)

263,287

11,721,537

Realty Income Corp.

287,073

10,590,123

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Redwood Trust, Inc.

149,734

$ 1,732,422

Regency Centers Corp.

191,454

8,192,317

Resource Capital Corp.

141,840

818,417

Retail Opportunity Investments Corp.

114,340

1,329,774

RLJ Lodging Trust

134,924

2,363,868

Rouse Properties, Inc. (a)(d)

31,649

463,025

Rouse Properties, Inc. rights 3/16/12 (a)(d)

31,649

0

Sabra Health Care REIT, Inc.

78,716

1,124,064

Saul Centers, Inc.

23,989

908,224

Senior Housing Properties Trust (SBI)

344,767

7,378,014

SL Green Realty Corp.

186,104

14,153,209

Sovran Self Storage, Inc. (d)

73,113

3,473,599

Stag Industrial, Inc.

32,635

401,084

Starwood Property Trust, Inc.

228,389

4,508,399

Strategic Hotel & Resorts, Inc. (a)(d)

354,090

2,205,981

Summit Hotel Properties, Inc.

75,902

699,057

Sun Communities, Inc. (d)

67,921

2,811,250

Sunstone Hotel Investors, Inc. (a)

332,828

2,988,795

Supertel Hospitality, Inc., Maryland (a)

13,197

14,649

Tanger Factory Outlet Centers, Inc.

209,858

6,144,642

Taubman Centers, Inc.

133,106

9,193,631

Terreno Realty Corp.

28,836

410,048

The Macerich Co.

296,360

16,000,476

Two Harbors Investment Corp.

379,856

3,904,920

UDR, Inc.

474,620

11,874,992

UMH Properties, Inc.

26,836

271,044

Universal Health Realty Income Trust (SBI)

32,328

1,221,675

Urstadt Biddle Properties, Inc.

5,274

97,938

Urstadt Biddle Properties, Inc. Class A

50,629

962,964

Washington (REIT) (SBI)

136,137

4,032,378

Weingarten Realty Investors (SBI)

253,427

6,310,332

Whitestone REIT Class B

24,805

320,977

Winthrop Realty Trust

59,385

676,395

 

542,003,244

Real Estate Management & Development - 0.5%

American Realty Capital Properties, Inc.

5,400

61,020

American Realty Investments, Inc. (a)

1,965

2,967

AV Homes, Inc. (a)

24,732

258,944

Brookfield Properties Corp.

556,310

9,662,981

Consolidated-Tomoka Land Co.

11,328

338,254

Forest City Enterprises, Inc. Class A (a)

275,710

4,030,880

Forestar Group, Inc. (a)(d)

73,423

1,152,007

Howard Hughes Corp. (a)

54,951

3,052,528

Jones Lang LaSalle, Inc. (d)

91,993

7,489,150

Kennedy-Wilson Holdings, Inc. (d)

91,074

1,231,320

Maui Land & Pineapple, Inc. (a)

17,270

64,417

Preferred Apartment Communities, Inc. Class A

2,507

19,404

Stratus Properties, Inc. (a)

6,633

58,768

Tejon Ranch Co. (a)(d)

30,567

893,168

The St. Joe Co. (a)(d)

213,311

3,436,440

 

Shares

Value

Thomas Properties Group, Inc.

85,189

$ 366,313

Transcontinental Realty Investors, Inc. (a)

1,497

3,234

ZipRealty, Inc. (a)

28,991

36,529

 

32,158,324

Thrifts & Mortgage Finance - 1.0%

Alliance Bancorp, Inc. of Pennsylvania

6,385

72,087

Apollo Residential Mortgage, Inc.

24,079

431,736

ASB Bancorp, Inc.

13,663

164,639

Astoria Financial Corp. (d)

188,613

1,656,022

Bank Mutual Corp.

123,703

486,153

BankAtlantic Bancorp, Inc. Class A (a)(d)

25,919

57,022

BankFinancial Corp.

49,291

278,494

BankUnited, Inc.

84,410

1,943,962

BCSB Bancorp, Inc. (a)

149

1,909

Beacon Federal Bancorp, Inc.

11,844

161,078

Beneficial Mutual Bancorp, Inc. (a)

93,273

845,986

Berkshire Hills Bancorp, Inc.

50,973

1,120,896

BofI Holding, Inc. (a)

27,494

450,627

Brookline Bancorp, Inc., Delaware

155,762

1,429,895

Camco Financial Corp. (a)

7,852

17,903

Cape Bancorp, Inc. (a)

25,193

203,056

Capitol Federal Financial, Inc.

417,085

4,875,724

Central Bancorp, Inc.

100

1,808

CFS Bancorp, Inc.

9,922

55,464

Charter Financial Corp., Georgia

2,453

23,696

Cheviot Financial Corp.

44

363

Chicopee Bancorp, Inc. (a)

11,029

159,479

Citizens South Banking Corp., Delaware

11,035

48,002

Clifton Savings Bancorp, Inc.

23,320

229,236

Colonial Financial Services, Inc. (a)

6,111

74,860

Dime Community Bancshares, Inc.

83,947

1,168,542

Doral Financial Corp. (a)(d)

295,629

413,881

Eagle Bancorp Montana, Inc.

15,964

159,640

ESB Financial Corp.

30,356

387,039

ESSA Bancorp, Inc.

31,156

299,721

Farmer Mac Class C (non-vtg.)

21,618

431,495

FedFirst Financial Corp.

6,288

86,460

First Clover Leaf Financial Corp. (d)

10,566

63,607

First Defiance Financial Corp.

22,893

358,047

First Federal Bancshares of Arkansas, Inc. (a)(d)

3,836

27,236

First Financial Holdings, Inc.

36,582

357,040

First Financial Northwest, Inc. (a)(d)

34,706

255,783

First PacTrust Bancorp, Inc.

18,949

222,082

Flagstar Bancorp, Inc. (a)

500,000

360,450

Flushing Financial Corp.

72,793

942,669

Fox Chase Bancorp, Inc.

31,882

398,844

Franklin Financial Corp./VA (a)

27,950

377,046

Hampden Bancorp, Inc.

5,136

62,659

Heritage Financial Group, Inc.

7,564

90,692

HF Financial Corp.

632

7,274

HMN Financial, Inc. (a)(d)

2,852

5,276

Home Bancorp, Inc. (a)

15,428

254,099

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Home Federal Bancorp, Inc.

34,573

$ 346,767

HopFed Bancorp, Inc.

11,426

95,407

IF Bancorp, Inc. (a)

11,597

132,554

Impac Mortgage Holdings, Inc. (a)(d)

20,302

54,206

Indiana Community Bancorp

9,245

199,692

Jefferson Bancshares, Inc., Tennessee (a)

2,774

6,242

Kaiser Federal Financial Group, Inc.

21,464

289,979

Kearny Financial Corp.

52,612

490,870

Meridian Interstate Bancorp, Inc. (a)

21,767

281,447

Meta Financial Group, Inc.

9,879

212,497

MGIC Investment Corp. (a)(d)

399,147

1,800,153

MutualFirst Financial, Inc.

4,269

37,781

NASB Financial, Inc. (a)

3,384

46,936

New England Bancshares, Inc.

10,376

103,241

New Hampshire Thrift Bancshare

2,577

30,821

New York Community Bancorp, Inc. (d)

950,390

12,364,574

Newport Bancorp, Inc. (a)

579

7,452

Northeast Community Bancorp, Inc.

8,762

60,370

Northfield Bancorp, Inc. (d)

57,830

796,897

Northwest Bancshares, Inc.

211,159

2,664,827

Ocean Shore Holding Co.

3,679

40,579

OceanFirst Financial Corp.

36,227

497,397

Oconee Federal Financial Corp.

4,827

57,924

Ocwen Financial Corp. (a)

208,788

3,363,575

Oneida Financial Corp.

2,810

27,426

Oritani Financial Corp.

106,486

1,387,513

Peoples Federal Bancshares, Inc. (a)

9,219

145,660

Poage Bankshares, Inc.

6,654

76,854

Provident Financial Holdings, Inc.

21,034

216,861

Provident Financial Services, Inc.

125,938

1,730,388

Provident New York Bancorp

82,178

700,978

Pulaski Financial Corp. (d)

11,679

86,775

PVF Capital Corp. (a)

16,043

27,434

Radian Group, Inc. (d)

272,066

1,031,130

Riverview Bancorp, Inc. (a)

20,156

45,553

Rockville Financial, Inc.

29,962

346,061

Roma Financial Corp.

24,222

247,307

SI Financial Group, Inc.

9,136

96,019

Southern Missouri Bancorp, Inc.

376

8,874

SP Bancorp, Inc. (a)

1,088

12,828

Teche Holding Co.

200

7,482

Territorial Bancorp, Inc.

25,512

535,752

TF Financial Corp.

1,866

46,016

TFS Financial Corp. (a)(d)

196,440

1,836,714

Timberland Bancorp, Inc. (a)

12,774

53,651

Tree.com, Inc. (a)

19,703

150,531

Trustco Bank Corp., New York

220,181

1,180,170

United Community Financial Corp., Ohio (a)

28,070

37,895

United Financial Bancorp, Inc.

38,185

605,232

ViewPoint Financial Group

52,099

780,964

 

Shares

Value

Walker & Dunlop, Inc. (a)

26,794

$ 333,585

Washington Federal, Inc. (d)

287,542

4,658,180

Waterstone Financial, Inc. (a)

7,726

18,311

Westfield Financial, Inc.

94,628

750,400

Wolverine Bancorp, Inc. (a)

7,456

112,809

WSFS Financial Corp.

22,660

872,183

 

63,669,403

TOTAL FINANCIALS

1,325,234,224

HEALTH CARE - 10.8%

Biotechnology - 3.3%

Aastrom Biosciences, Inc. (a)(d)

91,835

164,385

Acadia Pharmaceuticals, Inc. (a)

129,491

216,250

Achillion Pharmaceuticals, Inc. (a)(d)

105,385

1,106,543

Acorda Therapeutics, Inc. (a)

107,837

2,821,016

ADVENTRX Pharmaceuticals, Inc. (a)(d)

111,483

73,690

Aegerion Pharmaceuticals, Inc. (a)(d)

21,815

364,965

Affymax, Inc. (a)

70,739

722,245

Agenus, Inc. (a)(d)

33,987

108,419

Alexion Pharmaceuticals, Inc. (a)

414,118

34,674,100

Alkermes PLC (a)(d)

200,355

3,528,252

Allos Therapeutics, Inc. (a)

469,334

699,308

Alnylam Pharmaceuticals, Inc. (a)

97,437

1,299,810

AMAG Pharmaceuticals, Inc. (a)

57,756

913,122

Amicus Therapeutics, Inc. (a)(d)

29,661

177,373

Amylin Pharmaceuticals, Inc. (a)

272,317

4,653,898

Anacor Pharmaceuticals, Inc. (a)

27,640

164,182

Anthera Pharmaceuticals, Inc. (a)

50,448

333,966

ARCA biopharma, Inc. (a)(d)

20,234

19,829

Ardea Biosciences, Inc. (a)(d)

50,140

1,068,985

Arena Pharmaceuticals, Inc. (a)(d)

260,052

462,893

ARIAD Pharmaceuticals, Inc. (a)(d)

376,179

5,394,407

ArQule, Inc. (a)(d)

96,974

688,515

Array Biopharma, Inc. (a)

97,821

274,877

Arrowhead Research Corp. (a)(d)

16,316

87,454

AspenBio Pharma, Inc. (a)

11,947

10,513

Astex Pharmaceuticals, Inc. (a)(d)

168,442

308,249

Athersys, Inc. (a)

14,873

30,341

AVEO Pharmaceuticals, Inc. (a)(d)

87,809

1,145,029

AVI BioPharma, Inc. (a)(d)

377,335

392,428

Avigen, Inc. rights (a)

22,946

0

BioCryst Pharmaceuticals, Inc. (a)(d)

63,265

294,815

BioMarin Pharmaceutical, Inc. (a)(d)

270,779

9,680,349

BioMimetic Therapeutics, Inc. (a)

45,475

94,588

Biosante Pharmaceuticals, Inc. (a)

223,743

172,864

Biospecifics Technologies Corp. (a)

11,833

204,948

BioTime, Inc. (a)(d)

63,632

317,524

Cardium Therapeutics, Inc. (a)(d)

106,276

30,639

Catalyst Pharmaceutical Partners, Inc. (a)(d)

16,419

18,225

Cel-Sci Corp. (a)(d)

411,094

154,366

Cell Therapeutics, Inc. (a)(d)

497,008

636,170

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Celldex Therapeutics, Inc. (a)

87,079

$ 330,029

Celsion Corp. (a)(d)

80,797

166,442

Cepheid, Inc. (a)(d)

132,997

5,371,749

Chelsea Therapeutics International Ltd. (a)(d)

111,861

412,767

Cleveland Biolabs, Inc. (a)(d)

63,757

233,988

Clovis Oncology, Inc. (d)

17,699

442,298

Codexis, Inc. (a)

55,475

218,572

Coronado Biosciences, Inc. (a)(d)

28,292

215,585

Cubist Pharmaceuticals, Inc. (a)(d)

126,754

5,432,676

Cubist Pharmaceuticals, Inc. rights (a)

105,448

1

Curis, Inc. (a)(d)

148,476

669,627

Cyclacel Pharmaceuticals, Inc. (a)(d)

71,040

51,149

Cytokinetics, Inc. (a)

96,287

99,176

Cytori Therapeutics, Inc. (a)(d)

122,840

399,230

CytRx Corp. (a)(d)

376,603

129,551

DARA BioSciences, Inc. (a)(d)

10,188

17,014

Dendreon Corp. (a)(d)

334,116

3,762,146

Discovery Laboratories, Inc. (a)(d)

33,604

119,966

DUSA Pharmaceuticals, Inc. (a)

49,844

240,248

Dyax Corp. (a)(d)

226,428

337,378

Dynavax Technologies Corp. (a)(d)

237,000

995,400

Emergent BioSolutions, Inc. (a)

46,647

712,300

EntreMed, Inc. (a)

37,512

77,650

Enzon Pharmaceuticals, Inc. (a)(d)

134,828

953,234

Exact Sciences Corp. (a)(d)

98,158

921,704

Exelixis, Inc. (a)(d)

297,938

1,692,288

Forticell Bioscience, Inc. (a)

2

0

Galena Biopharma, Inc. (a)(d)

62,801

67,197

Genomic Health, Inc. (a)(d)

36,434

1,063,144

GenVec, Inc. (a)

22,127

59,743

Geron Corp. (a)

244,282

488,564

GTx, Inc. (a)

46,584

161,181

Halozyme Therapeutics, Inc. (a)(d)

197,396

2,272,028

Hemispherx Biopharma, Inc. (a)(d)

257,396

79,021

Horizon Pharma, Inc. (d)

23,401

80,733

Human Genome Sciences, Inc. (a)(d)

460,000

3,624,800

iBio, Inc. (a)(d)

90,664

73,429

Idenix Pharmaceuticals, Inc. (a)

175,634

2,067,212

Idera Pharmaceuticals, Inc. (a)

48,311

61,838

ImmunoGen, Inc. (a)(d)

217,186

2,990,651

Immunomedics, Inc. (a)(d)

140,629

500,639

Incyte Corp. (a)(d)

234,977

3,985,210

Infinity Pharmaceuticals, Inc. (a)(d)

36,284

295,715

Inovio Pharmaceuticals, Inc. (a)

218,287

126,606

Insmed, Inc. (a)(d)

34,076

145,164

InterMune, Inc. (a)

143,706

1,928,535

Ironwood Pharmaceuticals, Inc.
Class A (a)

118,987

1,593,236

Isis Pharmaceuticals, Inc. (a)(d)

211,106

1,923,176

IsoRay, Inc. (a)(d)

53,013

29,687

 

Shares

Value

Keryx Biopharmaceuticals, Inc. (a)(d)

141,819

$ 470,839

Lexicon Pharmaceuticals, Inc. (a)(d)

457,138

777,135

Ligand Pharmaceuticals, Inc.:

Class B (a)

39,880

585,438

General CVR

26,087

509

Glucagon CVR (a)

26,087

391

rights (a)

26,087

652

TR Beta CVR (a)

26,087

261

MannKind Corp. (a)(d)

315,890

739,183

Maxygen, Inc. (a)

88,637

486,617

Medgenics, Inc. (a)

12,815

58,436

MediciNova, Inc. (a)(d)

37,660

94,150

Medivation, Inc. (a)(d)

78,000

5,109,780

Metabolix, Inc. (a)(d)

85,270

234,493

Micromet, Inc. (a)

183,229

2,013,687

Momenta Pharmaceuticals, Inc. (a)(d)

94,651

1,387,584

Myrexis, Inc. (a)

78,861

252,355

Myriad Genetics, Inc. (a)

202,137

4,891,715

Nabi Biopharmaceuticals (a)

107,264

200,584

Nanosphere, Inc. (a)

67,194

145,139

Neuralstem, Inc. (a)

84,954

96,848

Neurocrine Biosciences, Inc. (a)

145,022

1,141,323

NeurogesX, Inc. (a)(d)

29,276

16,863

NewLink Genetics Corp.

11,673

98,754

Novavax, Inc. (a)(d)

175,645

223,069

NPS Pharmaceuticals, Inc. (a)(d)

170,911

1,165,613

OncoGenex Pharmaceuticals, Inc. (a)

17,988

287,448

Oncothyreon, Inc. (a)(d)

80,107

656,877

ONYX Pharmaceuticals, Inc. (a)

131,443

5,036,896

Opexa Therapeutics, Inc. (a)

33,277

30,948

Opko Health, Inc. (a)(d)

316,385

1,562,942

OREXIGEN Therapeutics, Inc. (a)

67,497

264,588

Osiris Therapeutics, Inc. (a)(d)

34,104

178,023

OXiGENE, Inc. (a)(d)

2,854

3,282

Oxygen Biotherapeutics, Inc. (a)(d)

46,598

125,349

PDL BioPharma, Inc.

287,952

1,837,134

Peregrine Pharmaceuticals, Inc. (a)(d)

126,870

119,106

Pharmacyclics, Inc. (a)(d)

100,855

2,540,537

PharmAthene, Inc. (a)(d)

77,388

113,760

Progenics Pharmaceuticals, Inc. (a)(d)

99,977

974,776

PROLOR Biotech, Inc. (a)(d)

110,536

637,793

Raptor Pharmaceutical Corp. (a)(d)

66,987

467,569

Regeneron Pharmaceuticals, Inc. (a)

165,608

17,354,062

Repligen Corp. (a)

65,974

290,945

Rexahn Pharmaceuticals, Inc. (a)(d)

117,188

59,824

Rigel Pharmaceuticals, Inc. (a)(d)

205,189

2,051,890

Sangamo Biosciences, Inc. (a)(d)

106,420

560,833

Savient Pharmaceuticals, Inc. (a)(d)

337,000

677,370

SciClone Pharmaceuticals, Inc. (a)(d)

109,407

513,119

Seattle Genetics, Inc. (a)(d)

219,964

4,060,535

SIGA Technologies, Inc. (a)(d)

109,876

313,147

Spectrum Pharmaceuticals, Inc. (a)(d)

123,410

1,751,188

StemCells, Inc. (a)(d)

72,956

80,252

Sunesis Pharmaceuticals, Inc. (a)(d)

58,396

101,609

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Synageva BioPharma Corp. (a)

13,673

$ 510,276

Synergy Pharmaceuticals, Inc. (a)

2,100

9,408

Synta Pharmaceuticals Corp. (a)(d)

83,205

397,720

Targacept, Inc. (a)

126,780

864,640

Telik, Inc. (a)(d)

81,953

11,473

Tengion, Inc. (a)

27,587

17,104

Theravance, Inc. (a)(d)

161,982

3,029,063

Threshold Pharmaceuticals, Inc. (a)(d)

45,958

238,522

Tranzyme, Inc.

27,277

137,476

Trius Therapeutics, Inc. (a)

68,002

344,090

United Therapeutics Corp. (a)

128,305

6,123,998

Vanda Pharmaceuticals, Inc. (a)(d)

82,121

381,041

Verastem, Inc.

1,695

19,662

Vertex Pharmaceuticals, Inc. (a)(d)

458,877

17,859,493

Vical, Inc. (a)(d)

181,350

580,320

XOMA Corp. (a)

70,792

106,896

Zalicus, Inc. (a)(d)

139,798

139,798

ZIOPHARM Oncology, Inc. (a)(d)

150,702

739,947

 

215,483,356

Health Care Equipment & Supplies - 2.4%

Abaxis, Inc. (a)(d)

51,787

1,375,463

Abiomed, Inc. (a)(d)

101,392

2,117,065

Accuray, Inc. (a)(d)

136,087

922,670

Alere, Inc. (a)

178,442

4,537,780

Align Technology, Inc. (a)(d)

136,172

3,487,365

Allied Healthcare Products, Inc. (a)

4,954

16,596

Alphatec Holdings, Inc. (a)(d)

200,628

377,181

Analogic Corp.

26,724

1,521,932

Angiodynamics, Inc. (a)(d)

50,411

656,351

Anika Therapeutics, Inc. (a)(d)

35,451

402,723

Antares Pharma, Inc. (a)(d)

291,705

735,097

ArthroCare Corp. (a)

55,655

1,452,596

Atricure, Inc. (a)

20,142

205,448

Atrion Corp.

3,467

714,202

Bacterin International Holdings, Inc. (a)(d)

41,452

122,698

BioLase Technology, Inc. (d)

74,659

203,072

Bovie Medical Corp. (a)(d)

27,980

81,142

BSD Medical Corp. (a)(d)

95,648

209,469

Cantel Medical Corp. (d)

49,563

1,000,677

Cardica, Inc. (a)(d)

38,892

78,562

Cardiovascular Systems, Inc. (a)(d)

30,872

279,392

Cerus Corp. (a)(d)

105,314

395,981

Conceptus, Inc. (a)(d)

54,532

734,546

CONMED Corp. (d)

63,622

1,898,480

Cryolife, Inc. (a)

62,316

339,622

Cutera, Inc. (a)

28,281

264,427

Cyberonics, Inc. (a)(d)

67,789

2,523,784

Cynosure, Inc. Class A (a)

19,062

339,113

Daxor Corp.

5,176

47,774

Delcath Systems, Inc. (a)(d)

94,694

412,866

 

Shares

Value

Derma Sciences, Inc. (a)

20,252

$ 177,610

DexCom, Inc. (a)(d)

136,213

1,469,738

Digirad Corp. (a)

23,301

44,971

Dynatronics Corp. (a)

17,122

14,211

DynaVox, Inc. Class A (a)

32,839

104,100

Endologix, Inc. (a)(d)

105,384

1,394,230

EnteroMedics, Inc. (a)

52,210

113,818

Escalon Medical Corp. (a)

3,512

3,582

Exactech, Inc. (a)(d)

17,847

283,589

Fonar Corp. (a)

785

1,570

Gen-Probe, Inc. (a)(d)

101,709

6,944,691

Genmark Diagnostics, Inc. (a)

39,385

163,842

Greatbatch, Inc. (a)(d)

47,755

1,181,936

Haemonetics Corp. (a)(d)

60,279

4,040,501

Hansen Medical, Inc. (a)(d)

150,643

480,551

Hill-Rom Holdings, Inc.

134,674

4,574,876

Hologic, Inc. (a)

617,315

12,796,940

ICU Medical, Inc. (a)(d)

29,363

1,347,174

IDEXX Laboratories, Inc. (a)(d)

127,786

10,957,650

Insulet Corp. (a)(d)

83,545

1,647,507

Integra LifeSciences Holdings Corp. (a)

42,090

1,330,044

Invacare Corp.

67,101

1,107,838

Iridex Corp. (a)

9,439

38,511

IRIS International, Inc. (a)

45,897

512,669

IVAX Diagnostics, Inc. (a)

7,111

3,556

Kensey Nash Corp.

23,000

519,340

Kewaunee Scientific Corp.

5,250

43,418

Kips Bay Medical, Inc.

9,803

13,920

LeMaitre Vascular, Inc.

13,768

77,101

Mako Surgical Corp. (a)(d)

99,656

3,896,550

Masimo Corp. (a)(d)

148,292

3,232,766

Medical Action Industries, Inc. (a)

32,086

173,906

MELA Sciences, Inc. (a)(d)

127,887

590,838

Meridian Bioscience, Inc. (d)

89,034

1,604,393

Merit Medical Systems, Inc. (a)

88,449

1,107,381

Natus Medical, Inc. (a)

56,741

594,078

Navidea Biopharmaceuticals, Inc. (a)(d)

198,413

595,239

Neogen Corp. (a)(d)

52,582

1,824,595

NeuroMetrix, Inc. (a)

4,110

3,206

NuVasive, Inc. (a)(d)

91,681

1,438,475

NxStage Medical, Inc. (a)(d)

102,782

2,055,640

OraSure Technologies, Inc. (a)

93,746

940,272

Orthofix International NV (a)(d)

56,449

2,213,365

Palomar Medical Technologies, Inc. (a)

45,060

497,462

Quidel Corp. (a)(d)

58,570

830,523

ResMed, Inc. (a)(d)

342,538

10,036,363

Retractable Technologies, Inc. (a)

5,601

6,721

Rochester Medical Corp. (a)

22,381

209,934

Rockwell Medical Technologies, Inc. (a)(d)

39,941

379,040

RTI Biologics, Inc. (a)

112,823

417,445

Sirona Dental Systems, Inc. (a)

116,114

5,794,089

Solta Medical, Inc. (a)

115,233

327,262

SonoSite, Inc. (a)

29,726

1,602,826

Staar Surgical Co. (a)(d)

69,588

725,803

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Stereotaxis, Inc. (a)(d)

116,456

$ 89,089

Steris Corp.

111,492

3,498,619

SurModics, Inc. (a)(d)

30,705

436,011

Symmetry Medical, Inc. (a)(d)

73,616

532,980

Synergetics USA, Inc. (a)

65,159

410,502

Teleflex, Inc.

87,505

5,186,421

The Cooper Companies, Inc.

112,952

8,977,425

The Spectranetics Corp. (a)

69,914

542,533

Theragenics Corp. (a)

80,225

127,558

ThermoGenesis Corp. (a)(d)

36,219

36,581

Thoratec Corp. (a)(d)

124,408

4,292,076

TranS1, Inc. (a)

28,877

84,898

Unilife Corp. (a)(d)

218,690

811,340

Urologix, Inc. (a)(d)

5,053

6,973

Uroplasty, Inc. (a)(d)

38,436

106,083

Utah Medical Products, Inc.

5,647

171,951

Vascular Solutions, Inc. (a)

26,619

279,233

Vermillion, Inc. (a)(d)

26,315

34,736

Vision Sciences, Inc. (a)(d)

22,011

37,639

Volcano Corp. (a)(d)

108,590

3,043,778

West Pharmaceutical Services, Inc. (d)

69,155

2,876,848

Wright Medical Group, Inc. (a)(d)

79,689

1,319,650

Young Innovations, Inc.

13,402

405,411

Zeltiq Aesthetics, Inc. (d)

16,144

178,876

Zoll Medical Corp. (a)

45,467

3,325,911

 

156,754,852

Health Care Providers & Services - 2.7%

Acadia Healthcare Co., Inc. (a)

14,095

197,189

Accretive Health, Inc. (a)(d)

115,243

2,995,166

Adcare Health Systems, Inc.

10,388

46,330

Addus HomeCare Corp. (a)

22,321

80,356

Advocat, Inc.

10,190

61,344

Air Methods Corp. (a)(d)

23,292

2,101,637

Alliance Healthcare Services, Inc. (a)

113,811

154,783

Almost Family, Inc. (a)

17,026

389,555

Amedisys, Inc. (a)

67,342

865,345

American CareSource Holdings, Inc. (a)

6,161

3,142

AMERIGROUP Corp. (a)

103,533

7,032,997

AMN Healthcare Services, Inc. (a)

100,708

537,781

AmSurg Corp. (a)(d)

69,905

1,826,618

Assisted Living Concepts, Inc. Class A

40,594

651,534

Bio-Reference Laboratories, Inc. (a)(d)

47,759

961,866

BioScrip, Inc. (a)(d)

108,642

688,790

Birner Dental Management Services, Inc.

483

8,936

Brookdale Senior Living, Inc. (a)

210,213

3,918,370

Capital Senior Living Corp. (a)

48,537

415,962

CardioNet, Inc. (a)

56,333

179,702

Catalyst Health Solutions, Inc. (a)(d)

107,565

6,671,181

Centene Corp. (a)(d)

105,930

5,169,384

Chemed Corp.

53,951

3,335,251

Chindex International, Inc. (a)(d)

31,354

292,533

 

Shares

Value

Community Health Systems, Inc. (a)

233,076

$ 5,882,838

Conmed Healthcare Management, Inc. (a)

2,500

9,200

Corvel Corp. (a)

14,051

637,072

Cross Country Healthcare, Inc. (a)

74,123

419,536

Emeritus Corp. (a)

68,719

1,268,553

ExamWorks Group, Inc. (a)(d)

68,698

708,963

Five Star Quality Care, Inc. (a)

94,878

335,868

Gentiva Health Services, Inc. (a)

70,931

556,808

Hanger Orthopedic Group, Inc. (a)(d)

82,506

1,707,049

HCA Holdings, Inc.

397,398

10,598,605

Health Management Associates, Inc. Class A (a)(d)

525,469

3,877,961

Health Net, Inc. (a)

190,499

7,189,432

HealthSouth Corp. (a)(d)

198,298

4,037,347

Healthways, Inc. (a)

70,398

559,664

Henry Schein, Inc. (a)(d)

206,787

15,306,374

HMS Holdings Corp. (a)(d)

187,803

6,051,013

Hooper Holmes, Inc. (a)

128,551

89,806

InfuSystems Holdings, Inc. (a)

5,400

10,908

Integramed America, Inc. (a)

12,500

137,625

IPC The Hospitalist Co., Inc. (a)

40,062

1,457,055

Kindred Healthcare, Inc. (a)(d)

123,250

1,268,243

Landauer, Inc.

21,955

1,177,666

LCA-Vision, Inc. (a)

46,621

401,873

LHC Group, Inc. (a)

36,807

626,455

LifePoint Hospitals, Inc. (a)(d)

111,238

4,334,945

Lincare Holdings, Inc.

215,805

5,796,522

Magellan Health Services, Inc. (a)

73,679

3,482,070

Medcath Corp. (a)

19,048

147,812

MEDNAX, Inc. (a)(d)

115,837

8,617,114

Metropolitan Health Networks, Inc. (a)(d)

88,677

741,340

MModal, Inc. (a)

74,136

762,859

Molina Healthcare, Inc. (a)(d)

62,000

2,105,520

MWI Veterinary Supply, Inc. (a)(d)

25,757

2,229,783

National Healthcare Corp.

33,268

1,491,072

National Research Corp.

7,576

292,661

NeoStem, Inc. (a)(d)

160,272

91,355

Omnicare, Inc.

244,024

8,584,764

Owens & Minor, Inc.

131,706

3,945,912

PDI, Inc. (a)

17,615

121,896

PharMerica Corp. (a)(d)

64,907

795,760

Providence Service Corp. (a)

27,523

414,221

PSS World Medical, Inc. (a)(d)

126,295

3,060,128

Psychemedics Corp.

15,744

160,274

RadNet, Inc. (a)(d)

74,982

224,196

Select Medical Holdings Corp. (a)(d)

122,570

1,032,039

Sharps Compliance Corp. (a)(d)

29,684

116,064

Skilled Healthcare Group, Inc. (a)(d)

74,963

489,508

SRI/Surgical Express, Inc. (a)

3,720

14,136

Sun Healthcare Group, Inc. (a)

50,315

224,405

SunLink Health Systems, Inc. (a)

19,190

19,382

Sunrise Senior Living, Inc. (a)(d)

117,342

908,227

Team Health Holdings, Inc. (a)

60,895

1,320,813

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

The Ensign Group, Inc.

35,028

$ 960,117

Triple-S Management Corp. (a)(d)

42,519

1,006,425

U.S. Physical Therapy, Inc.

23,352

443,922

Universal American Spin Corp. (a)

74,395

843,639

Universal Health Services, Inc. Class B

200,734

8,954,744

Vanguard Health Systems, Inc. (a)

84,109

837,726

VCA Antech, Inc. (a)(d)

190,439

4,187,754

Wellcare Health Plans, Inc. (a)(d)

89,421

6,068,109

 

177,728,880

Health Care Technology - 0.4%

Allscripts-Misys Healthcare Solutions, Inc. (a)

438,148

8,465,019

Arrhythmia Research Technology, Inc.

9,913

37,769

athenahealth, Inc. (a)(d)

76,541

5,409,152

Authentidate Holding Corp. (a)

66,432

43,181

Computer Programs & Systems, Inc.

28,005

1,703,824

Epocrates, Inc. (a)(d)

34,986

325,370

Greenway Medical Technologies

14,256

210,989

HealthStream, Inc. (a)(d)

60,937

1,244,943

iCAD, Inc. (a)

113,074

57,668

MedAssets, Inc. (a)

127,164

1,815,902

Medidata Solutions, Inc. (a)(d)

84,401

1,682,956

Mediware Information Systems, Inc. (a)

10,347

155,412

Merge Healthcare, Inc. (a)

183,680

1,199,430

Omnicell, Inc. (a)(d)

80,848

1,206,252

Quality Systems, Inc.

75,236

3,225,367

Simulations Plus, Inc.

26,246

105,246

Transcend Services, Inc. (a)(d)

28,848

620,232

 

27,508,712

Life Sciences Tools & Services - 1.0%

Acceler8 Technology Corp. (a)(d)

39,227

49,034

Affymetrix, Inc. (a)(d)

138,802

578,804

Albany Molecular Research, Inc. (a)

52,930

145,028

Apricus Biosciences, Inc. (a)(d)

65,877

225,299

BG Medicine, Inc. (d)

19,157

148,275

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

41,247

4,203,894

Bioanalytical Systems, Inc. (a)(d)

4,772

5,440

BioClinica, Inc. (a)

2,110

11,943

Biodelivery Sciences International, Inc. (a)

50,916

115,070

Bruker BioSciences Corp. (a)

190,665

3,056,360

Cambrex Corp. (a)

55,696

370,935

Charles River Laboratories International, Inc. (a)

115,000

4,039,950

Combimatrix Corp. (a)

2,030

3,126

Complete Genomics, Inc. (a)(d)

29,362

109,227

Covance, Inc. (a)

126,361

6,031,211

Enzo Biochem, Inc. (a)

71,931

185,582

eResearchTechnology, Inc. (a)

116,379

742,498

Fluidigm Corp. (a)

42,977

619,728

Furiex Pharmaceuticals, Inc. (a)

22,412

404,312

 

Shares

Value

Harvard Bioscience, Inc. (a)

49,839

$ 206,832

Illumina, Inc. (a)(d)

289,393

14,831,391

Luminex Corp. (a)(d)

105,575

2,372,270

Medtox Scientific, Inc. (a)

20,575

318,913

Mettler-Toledo International, Inc. (a)(d)

69,200

12,475,376

Pacific Biosciences of California, Inc. (a)(d)

86,062

358,879

PAREXEL International Corp. (a)

120,210

2,942,741

pSivida Corp. (a)(d)

55,999

119,838

PURE Bioscience, Inc. (a)

94,087

35,753

Response Genetics, Inc. (a)

4,777

9,793

Sequenom, Inc. (a)(d)

263,655

1,138,990

SeraCare Life Sciences, Inc. (a)

44,252

175,680

Strategic Diagnostics, Inc. (a)

32,256

65,480

Techne Corp.

85,451

6,117,437

Virtualscopics, Inc. (a)

21,674

25,575

 

62,240,664

Pharmaceuticals - 1.0%

AcelRx Pharmaceuticals, Inc.

17,972

50,681

Acura Pharmaceuticals, Inc. (a)(d)

28,281

91,630

Akorn, Inc. (a)(d)

152,326

1,908,645

Alexza Pharmaceuticals, Inc. (a)(d)

101,778

63,611

Alimera Sciences, Inc. (a)(d)

16,534

62,168

Ampio Pharmaceuticals, Inc. (a)(d)

58,367

225,297

Auxilium Pharmaceuticals, Inc. (a)(d)

113,519

2,243,135

AVANIR Pharmaceuticals Class A (a)(d)

288,916

797,408

Biodel, Inc. (a)

55,601

35,307

Cadence Pharmaceuticals, Inc. (a)(d)

123,636

463,635

Cempra, Inc.

14,617

109,628

ChemoCentryx, Inc.

8,614

88,207

Columbia Laboratories, Inc. (a)

152,776

100,832

Corcept Therapeutics, Inc. (a)(d)

131,028

514,940

Cornerstone Therapeutics, Inc. (a)

20,195

115,919

Cumberland Pharmaceuticals, Inc. (a)(d)

31,186

247,305

DepoMed, Inc. (a)(d)

110,510

695,108

Durect Corp. (a)

192,572

142,503

Echo Therapeutics, Inc. (a)(d)

90,982

168,317

Endo Pharmaceuticals Holdings, Inc. (a)(d)

269,816

10,002,079

Endocyte, Inc.

66,250

235,188

Heska Corp.

6,758

65,485

Hi-Tech Pharmacal Co., Inc. (a)(d)

20,470

817,162

Impax Laboratories, Inc. (a)(d)

135,497

3,163,855

Ista Pharmaceuticals, Inc. (a)

101,886

843,616

Jazz Pharmaceuticals PLC (a)

31,973

1,677,623

KV Pharmaceutical Co. Class A (a)(d)

192,403

267,440

Lannett Co., Inc. (a)(d)

38,740

159,996

MAP Pharmaceuticals, Inc. (a)

54,808

879,668

Medicis Pharmaceutical Corp. Class A

156,023

5,451,444

Nektar Therapeutics (a)(d)

230,474

1,652,499

NuPathe, Inc. (a)(d)

4,564

13,738

Obagi Medical Products, Inc. (a)

38,431

436,192

Oculus Innovative Sciences, Inc. (a)(d)

45,130

63,182

Omeros Corp. (a)

37,753

256,720

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Optimer Pharmaceuticals, Inc. (a)(d)

83,856

$ 1,072,518

Pacira Pharmaceuticals, Inc. (d)

27,673

296,101

Pain Therapeutics, Inc. (a)

81,649

299,652

Par Pharmaceutical Companies, Inc. (a)

75,620

2,806,258

Pernix Therapeutics Holdings, Inc. (a)

16,867

145,394

Pozen, Inc. (a)(d)

51,346

223,869

Questcor Pharmaceuticals, Inc. (a)(d)

136,199

5,298,141

Repros Therapeutics, Inc. (a)(d)

33,329

139,982

Sagent Pharmaceuticals, Inc. (d)

30,621

664,169

Salix Pharmaceuticals Ltd. (a)

109,684

5,409,615

Santarus, Inc. (a)

112,545

508,703

Somaxon Pharmaceuticals, Inc. (a)(d)

72,498

44,224

Sucampo Pharmaceuticals, Inc.
Class A (a)

9,550

69,715

Synthetic Biologics, Inc. (a)(d)

51,943

114,275

The Medicines Company (a)

111,789

2,395,638

Transcept Pharmaceuticals, Inc. (a)(d)

11,502

96,042

Ventrus Biosciences, Inc. (a)(d)

24,780

264,650

ViroPharma, Inc. (a)(d)

160,618

5,149,413

Vivus, Inc. (a)(d)

200,087

4,501,958

XenoPort, Inc. (a)

68,811

275,244

Zogenix, Inc. (a)(d)

61,812

140,931

 

64,026,655

TOTAL HEALTH CARE

703,743,119

INDUSTRIALS - 14.5%

Aerospace & Defense - 1.4%

AAR Corp.

94,381

2,081,101

AeroVironment, Inc. (a)(d)

58,230

1,658,390

Alliant Techsystems, Inc.

84,552

5,073,120

American Science & Engineering, Inc.

18,814

1,367,778

API Technologies Corp. (a)(d)

65,623

248,711

Ascent Solar Technologies, Inc. (a)(d)

173,479

131,844

Astronics Corp. (a)

26,386

882,084

Astrotech Corp. (a)

39,511

29,238

BE Aerospace, Inc. (a)

209,421

9,599,859

Breeze Industrial Products Corp. (a)

10,964

87,383

Ceradyne, Inc.

52,881

1,634,552

CPI Aerostructures, Inc. (a)

10,803

157,184

Cubic Corp.

32,575

1,557,085

Curtiss-Wright Corp. (d)

96,755

3,594,448

DigitalGlobe, Inc. (a)

77,952

1,198,902

Ducommun, Inc.

21,976

335,574

EDAC Technologies Corp. (a)

10,048

104,499

Esterline Technologies Corp. (a)

66,393

4,312,225

Exelis, Inc.

433,264

4,553,605

GenCorp, Inc. (non-vtg.) (a)(d)

136,287

817,722

GeoEye, Inc. (a)(d)

57,169

1,158,816

HEICO Corp. Class A

74,281

2,962,326

Hexcel Corp. (a)(d)

225,862

5,707,533

 

Shares

Value

Huntington Ingalls Industries, Inc. (a)

97,507

$ 3,498,551

Innovative Solutions & Support, Inc. (a)

13,417

57,291

KEYW Holding Corp. (a)(d)

46,450

329,795

Kratos Defense & Security Solutions, Inc. (a)

83,336

530,850

LMI Aerospace, Inc. (a)

26,052

530,158

Moog, Inc. Class A (a)(d)

86,742

3,808,841

National Presto Industries, Inc.

11,507

996,391

Orbital Sciences Corp. (a)(d)

153,534

2,157,153

SIFCO Industries, Inc.

1,004

19,468

Sparton Corp. (a)

26,316

247,897

Spirit AeroSystems Holdings, Inc.
Class A (a)(d)

268,324

6,429,043

Sypris Solutions, Inc. (a)

13,260

49,990

Taser International, Inc. (a)(d)

148,024

596,537

Teledyne Technologies, Inc. (a)(d)

81,863

4,879,035

TransDigm Group, Inc. (a)

98,367

11,685,016

Triumph Group, Inc.

90,459

5,771,284

 

90,841,279

Air Freight & Logistics - 0.2%

Air Transport Services Group, Inc. (a)

135,611

736,368

Atlas Air Worldwide Holdings, Inc. (a)(d)

54,389

2,318,059

Forward Air Corp.

65,552

2,207,136

Hub Group, Inc. Class A (a)(d)

77,568

2,763,748

Pacer International, Inc. (a)(d)

74,956

413,757

Park-Ohio Holdings Corp. (a)

19,844

372,075

Radiant Logistics, Inc. (a)

37,185

85,526

UTI Worldwide, Inc.

211,370

3,411,512

XPO Logistics, Inc. (a)

16,780

281,401

 

12,589,582

Airlines - 0.8%

Alaska Air Group, Inc. (a)

81,476

5,586,809

Allegiant Travel Co. (a)(d)

42,309

2,114,604

Delta Air Lines, Inc. (a)

1,875,728

18,400,892

Hawaiian Holdings, Inc. (a)

220,393

1,170,287

JetBlue Airways Corp. (a)(d)

542,876

2,768,668

Pinnacle Airlines Corp. (a)(d)

44,001

51,481

Republic Airways Holdings, Inc. (a)

96,210

510,875

SkyWest, Inc.

108,897

1,243,604

Spirit Airlines, Inc. (a)

37,177

726,067

United Continental Holdings, Inc. (a)(d)

736,568

15,210,129

US Airways Group, Inc. (a)(d)

334,007

2,474,992

 

50,258,408

Building Products - 0.6%

A.O. Smith Corp.

84,859

3,832,232

AAON, Inc. (d)

50,188

930,987

Ameresco, Inc. Class A (a)(d)

31,595

445,174

American Woodmark Corp.

19,231

273,273

Apogee Enterprises, Inc.

75,723

1,004,844

Armstrong World Industries, Inc. (a)(d)

43,954

2,251,324

Builders FirstSource, Inc. (a)

104,250

315,878

Fortune Brands Home & Security, Inc. (a)

362,164

7,004,252

Gibraltar Industries, Inc. (a)

71,043

981,814

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Griffon Corp.

111,223

$ 1,188,974

Insteel Industries, Inc.

37,536

471,452

Lennox International, Inc. (d)

121,219

4,743,299

NCI Building Systems, Inc. (a)(d)

41,117

497,516

Nortek, Inc. (a)

7,007

248,398

Owens Corning (a)

275,085

8,706,440

PGT, Inc. (a)

31,737

50,144

Quanex Building Products Corp.

77,730

1,322,187

Simpson Manufacturing Co. Ltd.

86,766

2,587,362

Trex Co., Inc. (a)(d)

30,535

822,308

Universal Forest Products, Inc. (d)

42,334

1,360,615

US Home Systems, Inc.

15,460

217,831

USG Corp. (a)(d)

158,276

2,255,433

 

41,511,737

Commercial Services & Supplies - 1.5%

A.T. Cross Co. Class A (a)

14,209

141,380

ABM Industries, Inc. (d)

92,738

2,105,153

ACCO Brands Corp. (a)

130,000

1,534,000

Acorn Energy, Inc.

48,860

403,095

American Reprographics Co. (a)

75,972

401,132

Amrep Corp. (a)

2,187

18,721

Asset Acceptance Capital Corp. (a)

23,778

111,519

Asta Funding, Inc.

25,295

199,325

Casella Waste Systems, Inc. Class A (a)

61,767

404,574

CECO Environmental Corp.

10,861

77,656

Cenveo, Inc. (a)(d)

149,628

583,549

Clean Harbors, Inc. (a)(d)

102,263

6,867,983

Command Security Corp. (a)

4,127

5,984

CompX International, Inc. Class A

600

10,236

Consolidated Graphics, Inc. (a)

26,303

1,228,087

Copart, Inc. (a)

137,519

6,845,696

Corrections Corp. of America (a)

242,790

6,084,317

Courier Corp.

28,388

306,023

Covanta Holding Corp.

255,442

4,171,368

Deluxe Corp.

113,863

2,809,000

Ecology & Environment, Inc. Class A

5,634

94,426

Encore Capital Group, Inc. (a)

46,658

1,039,540

EnergySolutions, Inc. (a)(d)

182,988

770,379

EnerNOC, Inc. (a)

50,641

398,545

Ennis, Inc.

62,398

1,045,790

Food Technology Service, Inc. (a)

11,431

82,189

Fuel Tech, Inc. (a)(d)

64,292

397,967

G&K Services, Inc. Class A

39,177

1,305,769

Healthcare Services Group, Inc.

152,756

2,975,687

Heritage-Crystal Clean, Inc. (a)

10,239

226,384

Herman Miller, Inc.

126,594

2,658,474

HNI Corp.

76,702

1,939,027

Hudson Technologies, Inc. (a)

5,000

15,000

Humitech International Group, Inc. (a)

75

0

Industrial Services of America, Inc. (a)

12,843

69,866

InnerWorkings, Inc. (a)(d)

87,084

992,758

 

Shares

Value

Interface, Inc. Class A

115,037

$ 1,409,203

Intersections, Inc.

38,322

447,218

KAR Auction Services, Inc. (a)

62,861

1,010,176

Kimball International, Inc. Class B

57,256

352,697

Knoll, Inc.

97,493

1,503,342

McGrath RentCorp.

56,348

1,789,049

Metalico, Inc. (a)(d)

92,179

462,739

Mine Safety Appliances Co.

77,156

2,843,970

Mobile Mini, Inc. (a)(d)

90,516

1,955,146

Multi-Color Corp.

29,648

648,402

NL Industries, Inc.

15,515

229,622

Perma-Fix Environmental Services, Inc. (a)

115,539

192,950

Portfolio Recovery Associates, Inc. (a)(d)

36,809

2,566,692

Quad/Graphics, Inc.

79,207

1,185,729

Rollins, Inc.

155,505

3,150,531

Schawk, Inc. Class A

27,510

304,536

Standard Parking Corp. (a)

32,024

578,033

Standard Register Co. (d)

38,184

59,949

Steelcase, Inc. Class A (d)

179,677

1,577,564

Swisher Hygiene, Inc. (Canada) (a)(d)

239,774

707,334

Sykes Enterprises, Inc. (a)

87,326

1,203,352

Team, Inc. (a)(d)

39,317

1,203,100

Tetra Tech, Inc. (a)(d)

145,040

3,562,182

The Brink's Co.

97,784

2,469,046

The Geo Group, Inc. (a)(d)

145,491

2,562,097

TMS International Corp.

23,655

281,495

TRC Companies, Inc. (a)(d)

30,285

156,573

Unifirst Corp. Massachusetts

36,491

2,192,379

United Stationers, Inc.

100,653

2,922,963

US Ecology, Inc.

54,784

1,033,774

Versar, Inc. (a)

11,390

31,892

Viad Corp.

42,396

825,026

Virco Manufacturing Co.

4,818

9,877

Waste Connections, Inc.

243,270

7,911,140

WCA Waste Corp. (a)

27,200

176,528

 

97,836,905

Construction & Engineering - 0.8%

AECOM Technology Corp. (a)

228,371

5,332,463

Aegion Corp. (a)(d)

104,477

1,839,840

Argan, Inc.

15,383

230,591

Comfort Systems USA, Inc.

79,056

904,401

Dycom Industries, Inc. (a)

99,803

2,123,808

EMCOR Group, Inc.

145,482

4,044,400

Furmanite Corp. (a)

78,211

570,940

Granite Construction, Inc.

73,710

2,108,106

Great Lakes Dredge & Dock Corp.

121,423

860,889

Integrated Electrical Services, Inc. (a)(d)

10,323

26,220

KBR, Inc.

322,174

11,701,360

Layne Christensen Co. (a)

40,869

988,621

MasTec, Inc. (a)(d)

177,197

3,116,895

Michael Baker Corp. (a)

16,454

397,035

MYR Group, Inc. (a)

45,089

903,133

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Northwest Pipe Co. (a)(d)

22,062

$ 540,078

Orion Marine Group, Inc. (a)

51,220

373,906

Pike Electric Corp. (a)

35,720

318,980

Primoris Services Corp.

86,156

1,325,079

Shaw Group, Inc. (a)

181,929

5,265,025

Sterling Construction Co., Inc. (a)

32,215

334,070

Tutor Perini Corp. (a)

73,728

1,163,428

UniTek Global Services, Inc. (a)

30,823

127,299

URS Corp.

184,683

8,061,413

Willdan Group, Inc. (a)

13,349

50,059

 

52,708,039

Electrical Equipment - 1.4%

A123 Systems, Inc. (a)(d)

202,746

364,943

Active Power, Inc. (a)(d)

238,312

166,795

Acuity Brands, Inc. (d)

99,024

6,158,303

Allied Motion Technologies, Inc.

14,531

103,897

Altair Nanotechnologies, Inc. (a)(d)

144,426

99,654

American Superconductor Corp. (a)(d)

110,038

492,970

AMETEK, Inc.

351,877

16,749,345

AZZ, Inc.

25,466

1,278,393

Babcock & Wilcox Co. (a)

281,465

7,244,909

Belden, Inc.

99,003

3,907,648

Brady Corp. Class A

106,372

3,398,585

Broadwind Energy, Inc. (a)(d)

350,833

220,990

Capstone Turbine Corp. (a)(d)

666,220

739,504

Coleman Cable, Inc. (a)(d)

32,333

367,626

Digital Power Corp. (a)

4,959

10,116

Ecotality, Inc. (a)(d)

33,302

36,965

Encore Wire Corp.

42,785

1,246,327

EnerSys (a)(d)

109,128

3,664,518

Espey Manufacturing & Electronics Corp.

2,487

60,782

Franklin Electric Co., Inc.

53,361

2,668,584

FuelCell Energy, Inc. (a)(d)

272,108

405,441

Generac Holdings, Inc. (a)

65,375

1,663,140

General Cable Corp. (a)(d)

121,987

3,777,937

Global Power Equipment Group, Inc. (a)

37,928

919,754

GrafTech International Ltd. (a)(d)

321,667

4,088,388

Hoku Corp. (a)(d)

35,507

27,056

Hubbell, Inc. Class B

120,136

9,036,630

II-VI, Inc. (a)(d)

108,138

2,529,348

Lime Energy Co. (a)

31,271

100,380

LSI Industries, Inc.

44,151

305,083

MagneTek, Inc. (a)

6,645

91,302

Nexxus Lighting, Inc. (a)

32,997

36,627

Ocean Power Technologies, Inc. (a)(d)

24,836

83,201

Orion Energy Systems, Inc. (a)

65,072

156,173

Plug Power, Inc. (a)(d)

31,776

70,543

Polypore International, Inc. (a)(d)

89,089

3,663,340

Powell Industries, Inc. (a)

28,189

924,317

PowerSecure International, Inc. (a)

41,535

248,795

Preformed Line Products Co.

7,217

476,827

 

Shares

Value

Regal-Beloit Corp. (d)

80,740

$ 5,449,950

Satcon Technology Corp. (a)(d)

233,919

116,960

SL Industries, Inc. (a)

7,123

122,872

Thermon Group Holdings, Inc.

28,774

579,508

Thomas & Betts Corp. (a)

112,043

8,092,866

Ultralife Corp. (a)

43,594

214,918

Universal Security Instruments, Inc. (a)

4,000

22,400

Valence Technology, Inc. (a)(d)

182,149

169,399

Vicor Corp.

52,357

425,139

Westinghouse Solar, Inc. (a)(d)

8,750

4,813

Zbb Energy Corp. (a)(d)

44,500

30,705

 

92,814,666

Industrial Conglomerates - 0.2%

Carlisle Companies, Inc.

148,655

7,254,364

Raven Industries, Inc.

37,521

2,365,699

Seaboard Corp. (a)(d)

785

1,501,799

Standex International Corp.

30,898

1,180,613

 

12,302,475

Machinery - 4.0%

Accuride Corp. (a)

109,296

868,903

Actuant Corp. Class A (d)

142,296

4,008,478

Adept Technology, Inc. (a)

1,291

5,229

AGCO Corp. (a)

211,095

10,898,835

Alamo Group, Inc.

22,876

614,678

Albany International Corp. Class A

56,075

1,341,314

Altra Holdings, Inc. (a)(d)

56,063

1,092,668

American Railcar Industries, Inc. (a)(d)

20,486

604,337

Ampco-Pittsburgh Corp.

17,211

365,045

Art's-Way Manufacturing Co., Inc.

9,831

75,994

Astec Industries, Inc. (a)(d)

47,858

1,816,211

Baldwin Technology Co., Inc. Class A (a)

3,555

3,164

Barnes Group, Inc.

99,599

2,758,892

Blount International, Inc. (a)

108,737

1,864,840

Briggs & Stratton Corp. (d)

103,058

1,745,803

Cascade Corp.

20,962

1,116,017

Chart Industries, Inc. (a)(d)

70,003

4,787,505

Chicago Rivet & Machine Co.

772

14,961

CIRCOR International, Inc. (d)

43,123

1,427,803

CLARCOR, Inc. (d)

105,121

5,305,457

Colfax Corp. (a)

97,309

3,310,452

Columbus McKinnon Corp. (NY Shares) (a)

62,931

1,047,801

Commercial Vehicle Group, Inc. (a)

53,243

643,708

Crane Co.

105,218

5,110,438

Donaldson Co., Inc.

156,067

11,460,000

Douglas Dynamics, Inc.

51,117

664,521

Dynamic Materials Corp.

26,712

595,945

Eastern Co.

9,447

181,382

Energy Recovery, Inc. (a)(d)

100,626

216,346

EnPro Industries, Inc. (a)(d)

56,814

2,148,137

ESCO Technologies, Inc.

59,391

2,125,604

Federal Signal Corp. (a)(d)

171,898

807,921

Flow International Corp. (a)(d)

102,629

410,516

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

FreightCar America, Inc.

44,428

$ 1,228,434

Gardner Denver, Inc.

120,907

8,303,893

Gorman-Rupp Co.

37,881

1,093,624

Graco, Inc.

127,950

6,548,481

Graham Corp.

20,873

486,967

Greenbrier Companies, Inc. (a)(d)

47,797

1,208,308

Hardinge, Inc.

25,807

253,683

Harsco Corp.

178,657

3,971,545

Hurco Companies, Inc. (a)

13,162

313,650

IDEX Corp.

176,029

7,358,012

ITT Corp.

210,000

5,239,500

John Bean Technologies Corp.

58,324

1,007,255

Kadant, Inc. (a)

25,872

565,044

Kaydon Corp.

86,633

3,259,133

Kennametal, Inc.

183,562

8,456,701

Key Technology, Inc. (a)

12,346

171,362

L.B. Foster Co. Class A

22,446

661,035

Lincoln Electric Holdings, Inc. (d)

187,320

8,652,311

Lindsay Corp.

25,795

1,691,894

Lydall, Inc. (a)

38,154

347,583

Manitex International, Inc. (a)

25,247

166,125

Manitowoc Co., Inc. (d)

333,099

5,242,978

Meritor, Inc. (a)

237,010

1,756,244

Met-Pro Corp.

45,696

405,324

MFRI, Inc. (a)

13,428

109,035

Middleby Corp. (a)(d)

48,323

4,723,090

Miller Industries, Inc.

26,248

415,768

Mueller Industries, Inc.

78,612

3,616,152

Mueller Water Products, Inc. Class A

316,699

940,596

NACCO Industries, Inc. Class A

11,186

1,093,991

Navistar International Corp. (a)

153,098

6,396,434

NN, Inc. (a)(d)

36,484

326,167

Nordson Corp.

131,164

7,210,085

Omega Flex, Inc. (a)(d)

5,411

85,331

Oshkosh Truck Corp. (a)

223,740

5,215,379

Pentair, Inc. (d)

223,579

8,607,792

PMFG, Inc. (a)(d)

42,899

703,973

RBC Bearings, Inc. (a)(d)

48,450

2,204,960

Robbins & Myers, Inc.

94,399

4,607,615

Sauer-Danfoss, Inc. (a)

30,572

1,655,168

SPX Corp.

108,456

7,932,472

Sun Hydraulics Corp.

43,492

1,429,147

Taylor Devices, Inc. (a)

3,820

40,721

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

42,740

196,177

Tennant Co.

40,266

1,652,517

Terex Corp. (a)

234,056

5,942,682

The L.S. Starrett Co. Class A

14,574

182,904

Timken Co.

185,798

9,735,815

Titan International, Inc. (d)

84,495

2,081,957

Toro Co.

76,257

5,165,649

 

Shares

Value

TriMas Corp. (a)(d)

72,342

$ 1,752,847

Trinity Industries, Inc. (d)

165,896

5,766,545

Twin Disc, Inc. (d)

18,379

587,393

Valmont Industries, Inc.

46,892

5,208,294

Wabash National Corp. (a)(d)

172,087

1,817,239

WABCO Holdings, Inc. (a)

142,010

8,448,175

Wabtec Corp.

105,918

7,915,252

Watts Water Technologies, Inc. Class A

62,379

2,466,466

Woodward, Inc.

131,467

5,754,311

WSI Industries, Inc.

5,668

29,190

 

259,845,280

Marine - 0.2%

Alexander & Baldwin, Inc.

93,131

4,322,210

Baltic Trading Ltd.

48,719

223,133

Eagle Bulk Shipping, Inc. (a)(d)

132,519

212,030

Genco Shipping & Trading Ltd. (a)(d)

62,443

427,735

International Shipholding Corp.

21,521

462,702

Kirby Corp. (a)(d)

120,903

8,296,364

Rand Logistics, Inc. (a)

22,234

191,879

 

14,136,053

Professional Services - 1.3%

Acacia Research Corp. - Acacia Technologies (a)(d)

89,557

3,537,502

Advisory Board Co. (a)(d)

44,776

3,624,169

Barrett Business Services, Inc.

16,947

288,438

CBIZ, Inc. (a)(d)

95,075

617,988

CDI Corp.

25,347

380,458

Corporate Executive Board Co.

69,514

2,880,660

CoStar Group, Inc. (a)(d)

52,561

3,152,609

CRA International, Inc. (a)

21,805

519,177

CTPartners Executive Search, Inc. (a)

10,063

69,837

Dolan Co. (a)

69,097

620,491

Exponent, Inc. (a)

30,002

1,446,696

Franklin Covey Co. (a)(d)

30,881

271,753

FTI Consulting, Inc. (a)(d)

106,138

4,252,950

GP Strategies Corp. (a)(d)

31,405

491,802

Heidrick & Struggles International, Inc. (d)

35,769

726,826

Hill International, Inc. (a)

55,004

294,821

Hudson Highland Group, Inc. (a)

63,602

284,301

Huron Consulting Group, Inc. (a)

45,521

1,737,992

ICF International, Inc. (a)

38,479

997,760

IHS, Inc. Class A (a)(d)

102,340

9,678,294

Innovaro, Inc. (a)(d)

10,333

7,751

Insperity, Inc.

47,827

1,441,028

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

60,489

907,335

Kforce, Inc. (a)

97,526

1,375,117

Korn/Ferry International (a)

96,434

1,540,051

Lightbridge Corp. (a)(d)

22,248

65,187

Luna Innovations, Inc. (a)

26,569

47,027

Manpower, Inc.

181,308

7,808,936

Mastech Holdings, Inc. (a)

2,512

13,339

MISTRAS Group, Inc. (a)

33,597

752,573

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

National Technical Systems, Inc. (a)

1,200

$ 6,180

Navigant Consulting, Inc. (a)(d)

103,551

1,398,974

Nielsen Holdings B.V. (a)

182,704

5,387,941

Odyssey Marine Exploration, Inc. (a)(d)

151,557

462,249

On Assignment, Inc. (a)(d)

74,694

1,036,753

Pendrell Corp. (a)(d)

385,235

932,269

RCM Technologies, Inc. (a)

22,706

122,839

Resources Connection, Inc.

95,261

1,245,061

RPX Corp.

34,916

588,335

Spherix, Inc. (a)

529

428

TeamStaff, Inc. (a)

2,300

4,692

Towers Watson & Co.

128,114

8,191,609

TrueBlue, Inc. (a)

90,684

1,501,727

Verisk Analytics, Inc. (a)

298,002

12,963,087

VSE Corp.

9,167

223,950

 

83,898,962

Road & Rail - 1.3%

AMERCO

13,891

1,446,609

Arkansas Best Corp.

60,483

1,076,597

Avis Budget Group, Inc. (a)

275,343

3,551,925

Celadon Group, Inc.

50,144

740,125

Con-way, Inc.

113,856

3,364,445

Covenant Transport Group, Inc.
Class A (a)

20,231

65,751

Dollar Thrifty Automotive Group, Inc. (a)

72,155

5,477,286

Frozen Food Express Industries, Inc. (a)

33,709

40,788

Genesee & Wyoming, Inc. Class A (a)(d)

85,031

5,052,542

Heartland Express, Inc. (d)

161,117

2,331,363

Hertz Global Holdings, Inc. (a)

499,743

7,146,325

J.B. Hunt Transport Services, Inc.

211,248

10,818,010

Kansas City Southern (a)(d)

252,177

17,546,476

Knight Transportation, Inc.

147,277

2,522,855

Landstar System, Inc.

116,498

6,297,882

Marten Transport Ltd.

46,104

962,190

Old Dominion Freight Lines, Inc. (a)(d)

118,951

5,175,558

P.A.M. Transportation Services, Inc. (a)

12,026

138,058

Patriot Transportation Holding, Inc. (a)

15,144

340,740

Quality Distribution, Inc. (a)

39,452

513,271

RailAmerica, Inc. (a)

52,514

1,081,788

Roadrunner Transportation Systems, Inc. (a)

22,643

404,178

Saia, Inc. (a)

33,104

539,926

Swift Transporation Co. (a)

146,022

1,711,378

Universal Truckload Services, Inc.

12,809

199,692

USA Truck, Inc. (a)

17,441

142,667

Werner Enterprises, Inc.

106,019

2,567,780

YRC Worldwide, Inc. (a)(d)

16,089

147,053

Zipcar, Inc. (a)(d)

55,344

720,025

 

82,123,283

Trading Companies & Distributors - 0.8%

Aceto Corp.

69,108

572,905

 

Shares

Value

Air Lease Corp. Class A (d)

152,688

$ 3,754,598

Aircastle Ltd.

107,319

1,460,612

Applied Industrial Technologies, Inc.

80,244

3,223,401

Beacon Roofing Supply, Inc. (a)

98,166

2,314,754

BlueLinx Corp. (a)

32,060

75,020

CAI International, Inc. (a)(d)

32,496

654,794

DXP Enterprises, Inc. (a)

26,651

986,087

Essex Rental Corp. (a)(d)

20,996

77,895

GATX Corp.

101,809

4,427,673

H&E Equipment Services, Inc. (a)(d)

60,666

1,048,915

Houston Wire & Cable Co.

36,511

518,456

Interline Brands, Inc. (a)

78,135

1,606,456

Kaman Corp.

54,234

1,870,531

Lawson Products, Inc.

23,255

379,289

MSC Industrial Direct Co., Inc. Class A

96,815

7,688,079

RSC Holdings, Inc. (a)

126,965

2,827,511

Rush Enterprises, Inc. Class A (a)(d)

68,991

1,643,366

TAL International Group, Inc.

45,877

1,653,407

Textainer Group Holdings Ltd.

56,095

1,863,476

Titan Machinery, Inc. (a)

34,326

898,998

Transcat, Inc. (a)

2,018

23,611

United Rentals, Inc. (a)(d)

129,966

5,416,983

Watsco, Inc.

54,113

3,863,127

WESCO International, Inc. (a)(d)

90,583

5,696,765

Willis Lease Finance Corp. (a)

16,932

245,006

 

54,791,715

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)(d)

42,231

621,218

TOTAL INDUSTRIALS

946,279,602

INFORMATION TECHNOLOGY - 15.7%

Communications Equipment - 1.5%

Acme Packet, Inc. (a)(d)

116,600

3,553,968

ADTRAN, Inc. (d)

134,261

4,732,700

Alliance Fiber Optic Products, Inc. (a)(d)

9,905

91,819

Ambient Corp. (a)

4,086

19,613

American Electric Technologies, Inc. (a)

1,200

5,700

Anaren, Inc. (a)

53,781

943,319

Arris Group, Inc. (a)

255,054

2,905,065

Aruba Networks, Inc. (a)(d)

214,522

4,631,530

Aviat Networks, Inc. (a)

125,073

328,942

Aware, Inc. (a)

1,100

4,829

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

23,302

407,319

Black Box Corp.

44,750

1,204,670

Brocade Communications Systems, Inc. (a)

972,340

5,620,125

CalAmp Corp. (a)

65,195

280,339

Calix Networks, Inc. (a)

75,213

679,926

Ciena Corp. (a)

233,651

3,486,073

ClearOne Communications, Inc. (a)

5,738

26,280

Communications Systems, Inc.

6,410

93,330

Comtech Telecommunications Corp. (d)

71,406

2,304,272

Comverse Technology, Inc. (a)

417,759

2,682,013

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Dialogic, Inc. (a)(d)

41,259

$ 34,233

Digi International, Inc. (a)(d)

59,093

664,205

Ditech Networks, Inc. (a)

31,199

27,770

EchoStar Holding Corp. Class A (a)

111,481

3,341,086

EMCORE Corp. (a)(d)

50,257

218,115

Emulex Corp. (a)

180,262

1,885,541

Entrada Networks, Inc. (a)

292

0

Extreme Networks, Inc. (a)

291,313

1,074,945

Finisar Corp. (a)(d)

187,394

3,802,224

Globecomm Systems, Inc. (a)(d)

45,031

652,499

Harmonic, Inc. (a)

282,298

1,662,735

Infinera Corp. (a)(d)

217,526

1,731,507

InterDigital, Inc. (d)

112,611

4,262,326

Ixia (a)(d)

101,044

1,396,428

KVH Industries, Inc. (a)(d)

38,479

351,698

Lantronix, Inc. (a)

2,994

8,832

Loral Space & Communications Ltd. (a)

31,060

2,212,714

Meru Networks, Inc. (a)(d)

34,816

164,332

NETGEAR, Inc. (a)(d)

77,718

2,919,865

Network Engines, Inc. (a)

84,070

119,379

Network Equipment Technologies, Inc. (a)(d)

65,892

47,508

NumereX Corp. Class A (a)(d)

15,136

147,273

Oclaro, Inc. (a)(d)

149,825

647,244

Oplink Communications, Inc. (a)

41,842

686,627

Opnext, Inc. (a)

103,950

104,990

Optical Cable Corp.

11,466

40,131

ORBCOMM, Inc. (a)(d)

76,335

246,562

Parkervision, Inc. (a)(d)

112,100

92,819

PC-Tel, Inc.

41,380

304,143

Performance Technologies, Inc. (a)

4,304

8,651

Plantronics, Inc.

121,706

4,539,634

Polycom, Inc. (a)

422,009

8,714,486

Powerwave Technologies, Inc. (a)(d)

62,771

89,135

Procera Networks, Inc. (a)

62,350

1,213,331

Relm Wireless Corp. (a)

22,872

29,505

Riverbed Technology, Inc. (a)(d)

370,932

10,560,434

ShoreTel, Inc. (a)(d)

46,585

250,161

Sonus Networks, Inc. (a)(d)

434,232

1,267,957

Sycamore Networks, Inc. (a)

42,692

788,521

Symmetricom, Inc. (a)

84,462

495,792

Technical Communications Corp.

2,835

28,889

Tellabs, Inc.

876,094

3,469,332

Telular Corp.

31,267

235,128

Tessco Technologies, Inc.

12,027

220,335

TII Industries, Inc. (a)

52,081

85,413

Ubiquiti Networks, Inc. (d)

18,442

484,656

UTStarcom Holdings Corp. (a)

269,059

376,683

ViaSat, Inc. (a)(d)

94,161

4,343,647

Westell Technologies, Inc. Class A (a)(d)

123,763

283,417

 

Shares

Value

Zhone Technologies, Inc. (a)

52,950

$ 63,540

Zoom Technologies, Inc. (a)(d)

16,744

20,930

 

100,419,140

Computers & Peripherals - 1.0%

3D Systems Corp. (a)(d)

115,409

2,585,162

Avid Technology, Inc. (a)(d)

59,724

636,061

Concurrent Computer Corp. (a)

10,743

39,964

Cray, Inc. (a)

102,517

817,060

Crossroads Systems, Inc. (a)

4,003

22,017

Datalink Corp. (a)

27,110

230,706

Dataram Corp. (a)

23,649

18,683

Diebold, Inc.

155,786

6,095,906

Dot Hill Systems Corp. (a)(d)

105,073

146,051

Electronics for Imaging, Inc. (a)

98,666

1,574,709

Fusion-io, Inc. (d)

50,214

1,370,842

Hauppauge Digital, Inc. (a)

28,370

36,597

Hutchinson Technology, Inc. (a)(d)

81,684

177,254

iGO, Inc. (a)(d)

68,990

48,293

Imation Corp. (a)

71,887

449,294

Immersion Corp. (a)

59,376

385,350

Intermec, Inc. (a)(d)

127,048

950,319

Interphase Corp. (a)

11,825

58,534

Intevac, Inc. (a)(d)

55,110

435,369

NCR Corp. (a)

377,523

8,199,800

Novatel Wireless, Inc. (a)

94,259

323,308

OCZ Technology Group, Inc. (a)(d)

100,961

867,255

Overland Storage, Inc. (a)

39,227

90,614

Presstek, Inc. (a)

42,003

25,622

QLogic Corp. (a)(d)

218,035

3,748,022

Qualstar Corp. (a)

6,660

12,321

Quantum Corp. (a)

645,337

1,697,236

Rimage Corp.

26,174

286,605

Seagate Technology

930,000

24,421,800

Silicon Graphics International Corp. (a)(d)

63,117

611,604

STEC, Inc. (a)(d)

87,553

848,389

Stratasys, Inc. (a)(d)

42,042

1,548,827

Super Micro Computer, Inc. (a)(d)

56,365

932,277

Synaptics, Inc. (a)

70,726

2,599,181

Transact Technologies, Inc. (a)

18,832

126,928

USA Technologies, Inc. (a)(d)

79,221

80,805

 

62,498,765

Electronic Equipment & Components - 2.2%

ADDvantage Technologies Group, Inc. (a)

11,928

25,884

Advanced Photonix, Inc. Class A (a)

41,087

31,226

Aeroflex Holding Corp. (a)

62,535

686,009

Agilysys, Inc. (a)(d)

40,517

326,162

Anixter International, Inc. (a)(d)

63,144

4,391,034

Arrow Electronics, Inc. (a)

243,188

9,763,998

Avnet, Inc. (a)

337,029

12,045,416

AVX Corp.

143,217

1,896,193

Badger Meter, Inc.

39,471

1,269,782

Benchmark Electronics, Inc. (a)

158,358

2,600,238

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Brightpoint, Inc. (a)(d)

148,301

$ 1,305,049

Checkpoint Systems, Inc. (a)

81,844

908,468

Clearfield, Inc. (a)

20,779

117,817

Cognex Corp.

78,649

3,353,593

Coherent, Inc. (a)(d)

55,747

3,092,844

Comverge, Inc. (a)(d)

54,584

75,326

CTS Corp.

70,681

703,276

Daktronics, Inc.

76,570

689,130

DDi Corp.

48,439

526,532

Digital Ally, Inc. (a)

38,320

21,459

Document Security Systems, Inc. (a)(d)

33,614

152,271

Dolby Laboratories, Inc. Class A (a)(d)

130,195

4,956,524

DTS, Inc. (a)(d)

34,766

976,229

Dynasil Corp. of America (a)

9,408

20,321

Echelon Corp. (a)(d)

68,729

338,147

Electro Rent Corp.

41,793

754,364

Electro Scientific Industries, Inc.

49,520

685,357

eMagin Corp. (a)

59,153

187,515

Fabrinet (a)

39,355

703,274

FARO Technologies, Inc. (a)(d)

39,078

2,167,266

FEI Co. (a)(d)

81,048

3,608,257

Frequency Electronics, Inc. (a)

12,396

100,284

Giga-Tronics, Inc. (a)

4,585

5,823

GTSI Corp. (a)

18,931

89,354

I. D. Systems Inc. (a)

33,896

208,799

Identive Group, Inc. (a)(d)

104,855

232,778

IEC Electronics Corp. (a)

18,101

86,342

Image Sensing Systems, Inc. (a)

2,863

18,982

Ingram Micro, Inc. Class A (a)

329,601

6,305,267

Insight Enterprises, Inc. (a)

117,199

2,449,459

Intelli-Check, Inc. (a)

25,728

23,155

IPG Photonics Corp. (a)(d)

70,608

3,716,099

Iteris, Inc. (a)

52,448

78,672

Itron, Inc. (a)(d)

84,392

3,748,693

KEMET Corp. (a)

88,236

795,006

KEY Tronic Corp. (a)

21,607

234,220

LeCroy Corp. (a)

33,143

303,590

LGL Group, Inc. (a)

3,009

25,396

LightPath Technologies, Inc. Class A (a)

1,150

2,047

Littelfuse, Inc.

46,783

2,476,224

LoJack Corp. (a)

47,516

174,859

LRAD Corp. (a)(d)

62,271

88,425

Maxwell Technologies, Inc. (a)(d)

78,927

1,435,682

Measurement Specialties, Inc. (a)(d)

28,594

929,877

Mercury Computer Systems, Inc. (a)(d)

59,976

861,855

Mesa Laboratories, Inc.

4,658

249,156

Methode Electronics, Inc. Class A

85,089

778,564

Micronetics, Inc. (a)

3,743

31,404

MicroVision, Inc. (a)(d)

38,531

124,455

MOCON, Inc.

6,908

118,818

MTS Systems Corp.

32,386

1,590,476

 

Shares

Value

Multi-Fineline Electronix, Inc. (a)

21,997

$ 579,841

Napco Security Technolgies, Inc. (a)

17,472

47,000

National Instruments Corp.

220,244

5,858,490

NeoPhotonics Corp.

37,763

201,277

NetList, Inc. (a)(d)

52,442

182,498

Newport Corp. (a)

77,293

1,292,339

OSI Systems, Inc. (a)

38,821

2,290,439

Par Technology Corp. (a)

27,309

140,368

Park Electrochemical Corp.

43,720

1,246,020

PC Connection, Inc.

44,665

399,305

PC Mall, Inc. (a)

16,427

99,383

Perceptron, Inc. (a)

25,360

154,950

Planar Systems, Inc. (a)(d)

44,024

90,249

Plexus Corp. (a)

84,283

2,924,620

Power-One, Inc. (a)(d)

142,864

620,030

Pulse Electronics Corp.

91,084

280,539

RadiSys Corp. (a)

64,186

480,753

RealD, Inc. (a)(d)

106,015

1,250,977

Research Frontiers, Inc. (a)(d)

33,274

116,459

RF Industries Ltd.

13,982

49,776

RF Monolithics, Inc. (a)

3,462

3,427

Richardson Electronics Ltd.

33,307

408,344

Rofin-Sinar Technologies, Inc. (a)(d)

64,495

1,513,053

Rogers Corp. (a)

32,685

1,212,287

Sanmina-SCI Corp. (a)

222,638

2,582,601

ScanSource, Inc. (a)(d)

59,194

2,190,178

Sigmatron International, Inc. (a)

762

2,972

Superconductor Technologies, Inc. (a)(d)

131,677

130,360

SYNNEX Corp. (a)(d)

51,035

2,104,173

Tech Data Corp. (a)(d)

102,257

5,468,704

Trimble Navigation Ltd. (a)(d)

266,343

13,394,389

TTM Technologies, Inc. (a)(d)

113,407

1,327,996

Uni-Pixel Inc. (a)(d)

7,005

37,337

Universal Display Corp. (a)(d)

85,087

3,514,944

Viasystems Group, Inc. (a)(d)

9,833

182,107

Vicon Industries, Inc. (a)

18,575

65,384

Vishay Intertechnology, Inc. (a)

368,581

4,518,803

Vishay Precision Group, Inc. (a)

25,449

373,846

Wireless Ronin Technologies, Inc. (a)

6,055

5,450

Wireless Telecom Group, Inc. (a)

11,376

13,537

X-Rite, Inc. (a)(d)

61,803

279,968

Zygo Corp. (a)

33,130

635,433

 

143,933,328

Internet Software & Services - 1.6%

Active Network, Inc.

25,000

400,000

Ancestry.com, Inc. (a)(d)

61,834

1,408,579

Angie's List, Inc. (d)

18,823

301,168

AOL, Inc. (a)(d)

252,527

4,535,385

Autobytel, Inc. (a)

94,879

92,033

Bankrate, Inc. (d)

94,638

2,256,170

Carbonite, Inc. (d)

13,662

132,385

comScore, Inc. (a)(d)

102,141

2,246,081

Constant Contact, Inc. (a)(d)

59,717

1,805,842

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Cornerstone OnDemand, Inc.

50,351

$ 1,044,280

Crexendo, Inc.

12,555

51,476

DealerTrack Holdings, Inc. (a)

83,885

2,336,197

Demand Media, Inc. (a)

71,346

489,434

Dice Holdings, Inc. (a)(d)

105,899

940,383

Digital River, Inc. (a)(d)

82,089

1,448,871

EarthLink, Inc.

265,160

1,980,745

EasyLink Services International Corp. (a)

70,918

331,187

EDGAR Online, Inc. (a)

50,000

37,500

eGain Communications Corp. (a)

29,357

152,950

Equinix, Inc. (a)(d)

105,426

14,778,617

FriendFinder Networks, Inc. (a)(d)

48,445

98,828

Globalscape, Inc. (a)

4,000

8,120

GlowPoint, Inc. (a)

49,485

146,476

IAC/InterActiveCorp

162,000

7,387,200

InfoSpace, Inc. (a)

94,187

1,093,511

Internap Network Services Corp. (a)(d)

107,514

804,205

Internet Media Services, Inc. (a)

7,375

664

Internet Patents Corp.

283

2,278

IntraLinks Holdings, Inc. (a)

152,382

896,006

Inuvo, Inc. (a)

12,036

10,832

iPass, Inc. (a)

111,360

240,538

j2 Global, Inc. (d)

116,398

3,441,889

Keynote Systems, Inc.

36,547

726,920

KIT Digital, Inc. (a)(d)

94,296

953,333

Limelight Networks, Inc. (a)(d)

135,298

508,720

LinkedIn Corp. (a)(d)

34,610

3,006,571

Liquidity Services, Inc. (a)(d)

51,451

2,225,256

LivePerson, Inc. (a)(d)

99,584

1,501,727

Local.com Corp. (a)(d)

49,826

118,586

LogMeIn, Inc. (a)(d)

44,733

1,648,858

LookSmart Ltd. (a)

40,635

57,295

LoopNet, Inc. (a)

89,472

1,646,285

Marchex, Inc. Class B

52,192

223,904

Market Leader, Inc. (a)

15,483

51,713

Monster Worldwide, Inc. (a)(d)

256,447

1,779,742

Move, Inc. (a)

78,204

685,067

NIC, Inc.

130,477

1,577,467

Onstream Media Corp. (a)

16,789

10,073

Onvia.com, Inc. (a)(d)

1,133

4,645

OpenTable, Inc. (a)(d)

48,875

2,370,438

Openwave Systems, Inc. (a)(d)

210,780

510,088

Perficient, Inc. (a)

61,052

737,508

quepasa.com, Inc. (a)(d)

52,817

208,099

QuinStreet, Inc. (a)(d)

73,086

763,749

Rackspace Hosting, Inc. (a)(d)

235,000

12,276,400

RealNetworks, Inc.

58,905

597,886

Reis, Inc. (a)

12,850

130,942

Responsys, Inc.

38,640

466,385

Saba Software, Inc. (a)

73,699

863,752

SciQuest, Inc. (a)

44,604

671,290

 

Shares

Value

Selectica, Inc. (a)

2,268

$ 10,433

Spark Networks, Inc. (a)

5,759

25,916

SPS Commerce, Inc. (a)

16,555

411,392

Stamps.com, Inc. (a)(d)

24,970

645,475

Support.com, Inc. (a)

144,855

478,022

Synacor, Inc.

14,627

71,380

TechTarget, Inc. (a)

27,794

191,779

TheStreet.com, Inc.

58,323

107,314

Travelzoo, Inc. (a)(d)

13,347

339,014

United Online, Inc.

183,141

926,693

ValueClick, Inc. (a)(d)

173,772

3,614,458

Vertro, Inc.

14,264

19,970

VistaPrint Ltd. (a)(d)

84,760

3,448,037

Vocus, Inc. (a)(d)

40,038

541,714

Web.com, Inc. (a)

54,104

716,337

WebMD Health Corp. (a)(d)

125,513

3,118,998

WebMediaBrands, Inc. (a)

31,939

21,719

World Energy Solutions, Inc. (a)

1,365

6,661

XO Group, Inc. (a)(d)

65,794

594,778

Zillow, Inc. (a)

7,673

244,922

Zix Corp. (a)

168,463

493,597

 

103,251,138

IT Services - 2.0%

Acxiom Corp. (a)

165,489

2,323,466

Alliance Data Systems Corp. (a)(d)

119,383

14,488,321

Analysts International Corp. (a)

4,541

25,339

Booz Allen Hamilton Holding Corp.
Class A

47,885

881,563

Broadridge Financial Solutions, Inc.

260,289

6,335,434

CACI International, Inc. Class A (a)(d)

62,437

3,692,524

Cardtronics, Inc. (a)

87,852

2,335,985

Cass Information Systems, Inc.

21,038

809,753

Ciber, Inc. (a)

130,559

571,848

Computer Task Group, Inc. (a)(d)

35,213

517,983

Convergys Corp. (a)(d)

249,199

3,209,683

CoreLogic, Inc. (a)

241,426

3,713,132

CSG Systems International, Inc. (a)(d)

78,983

1,264,518

CSP, Inc.

3,555

13,580

DST Systems, Inc.

76,200

4,038,600

Dynamics Research Corp. (a)(d)

21,990

200,549

Echo Global Logistics, Inc. (a)(d)

33,275

618,915

Edgewater Technology, Inc. (a)

11,761

43,986

EPAM Systems, Inc.

16,881

238,191

Euronet Worldwide, Inc. (a)(d)

99,272

1,914,957

ExlService Holdings, Inc. (a)

38,889

1,081,892

FleetCor Technologies, Inc. (a)

64,896

2,403,099

Forrester Research, Inc.

32,652

1,052,374

Gartner, Inc. Class A (a)(d)

204,414

8,229,708

Genpact Ltd. (a)

258,576

4,142,388

Global Cash Access Holdings, Inc. (a)(d)

91,007

505,999

Global Payments, Inc.

171,549

8,855,359

Hackett Group, Inc. (a)

91,055

438,885

Heartland Payment Systems, Inc.

77,033

2,181,575

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Higher One Holdings, Inc. (a)(d)

67,348

$ 990,016

iGate Corp. (a)

60,504

1,054,585

Information Services Group, Inc. (a)(d)

46,725

59,574

Innodata Isogen, Inc. (a)

57,252

328,054

Jack Henry & Associates, Inc.

200,771

6,774,014

Lender Processing Services, Inc.

196,169

4,323,565

Lionbridge Technologies, Inc. (a)

146,424

379,238

ManTech International Corp. Class A

44,878

1,505,208

Mattersight Corp. (a)

7,980

45,805

Maximus, Inc.

87,818

3,662,889

ModusLink Global Solutions, Inc.

97,556

542,411

MoneyGram International, Inc. (a)

27,762

497,495

NCI, Inc. Class A (a)(d)

22,152

159,494

NeuStar, Inc. Class A (a)(d)

155,646

5,455,392

Newtek Business Services, Inc. (a)

5,503

7,154

Official Payments Holdings, Inc. (a)

27,138

137,318

Online Resources Corp. (a)

46,607

139,821

PFSweb, Inc. (a)

57,508

161,022

PRG-Schultz International, Inc. (a)

41,837

233,450

Rainmaker Systems, Inc. (a)

15,480

10,991

Sapient Corp. (d)

223,100

2,786,519

ServiceSource International, Inc.

80,504

1,352,467

StarTek, Inc. (a)

22,269

45,206

Storage Engine, Inc. (a)

500

0

Stream Global Services, Inc. (a)(d)

78,136

239,878

Syntel, Inc.

35,000

1,792,000

Teletech Holdings, Inc. (a)

89,822

1,371,582

The Management Network Group, Inc. (a)

2,929

7,323

TNS, Inc. (a)

54,495

998,893

TSR, Inc. (a)

2,039

8,972

Unisys Corp. (a)

78,384

1,464,213

VeriFone Systems, Inc. (a)(d)

237,720

11,384,411

Virtusa Corp. (a)

37,447

585,297

WidePoint Corp. (a)

102,981

81,355

WPCS International, Inc. (a)

38,998

60,057

Wright Express Corp. (a)(d)

79,653

4,928,928

 

129,704,203

Office Electronics - 0.1%

Zebra Technologies Corp. Class A (a)

119,030

4,575,513

Semiconductors & Semiconductor Equipment - 3.2%

Advanced Energy Industries, Inc. (a)(d)

78,334

940,008

AEHR Test Systems (a)

9,000

7,200

Aetrium, Inc. (a)

6,743

5,732

Amkor Technology, Inc. (a)(d)

216,408

1,382,847

Amtech Systems, Inc. (a)

19,914

174,447

ANADIGICS, Inc. (a)

156,061

401,077

Applied Micro Circuits Corp. (a)(d)

232,408

1,575,726

Atmel Corp. (a)(d)

1,024,641

10,359,121

ATMI, Inc. (a)(d)

76,660

1,688,820

AuthenTec, Inc. (a)

68,075

238,263

 

Shares

Value

Axcelis Technologies, Inc. (a)

209,208

$ 347,285

AXT, Inc. (a)

91,754

525,750

Brooks Automation, Inc.

166,153

1,985,528

BTU International, Inc. (a)

13,926

41,082

Cabot Microelectronics Corp.

56,016

2,814,804

Cascade Microtech, Inc. (a)

15,468

59,397

Cavium, Inc. (a)(d)

100,852

3,603,442

Ceva, Inc. (a)(d)

47,618

1,173,784

Cirrus Logic, Inc. (a)(d)

136,722

3,223,905

Cohu, Inc.

53,812

603,771

Cree, Inc. (a)(d)

245,000

7,421,050

CVD Equipment Corp. (a)

8,902

102,462

CyberOptics Corp. (a)

9,297

87,857

Cymer, Inc. (a)(d)

58,494

2,689,554

Cypress Semiconductor Corp.

372,708

6,429,213

DayStar Technologies, Inc. (a)

26,144

6,667

Diodes, Inc. (a)(d)

70,667

1,755,368

DSP Group, Inc. (a)

46,628

297,953

Entegris, Inc. (a)

275,618

2,491,587

Entropic Communications, Inc. (a)(d)

169,805

1,046,848

Exar Corp. (a)(d)

95,781

670,467

Fairchild Semiconductor International, Inc. (a)(d)

263,581

3,845,647

FormFactor, Inc. (a)

110,045

562,330

FSI International, Inc. (a)(d)

90,047

358,387

GSI Technology, Inc. (a)

42,569

195,817

GT Advanced Technologies, Inc. (a)(d)

350,724

3,002,197

Hittite Microwave Corp. (a)(d)

72,727

4,158,530

Ikanos Communications, Inc. (a)

115,443

86,652

Inphi Corp. (a)

37,505

538,572

Integrated Device Technology, Inc. (a)(d)

335,484

2,318,194

Integrated Silicon Solution, Inc. (a)(d)

51,768

547,705

International Rectifier Corp. (a)(d)

157,945

3,545,865

Intersil Corp. Class A

256,774

2,906,682

Intest Corp. (a)

31,319

108,677

IXYS Corp. (a)(d)

59,965

715,382

Kopin Corp. (a)(d)

153,988

554,357

Kulicke & Soffa Industries, Inc. (a)

219,474

2,471,277

Lam Research Corp. (a)(d)

281,564

11,741,219

Lattice Semiconductor Corp. (a)

235,951

1,554,917

LTX-Credence Corp. (a)

104,147

702,992

Marvell Technology Group Ltd. (a)

1,155,333

17,329,995

Mattson Technology, Inc. (a)

118,451

325,740

Maxim Integrated Products, Inc.

673,430

18,781,963

MaxLinear, Inc. Class A (a)

25,661

141,136

MEMC Electronic Materials, Inc. (a)

482,663

1,896,866

MEMSIC, Inc. (a)

8,643

26,361

Micrel, Inc.

96,504

1,029,698

Microsemi Corp. (a)(d)

178,762

3,739,701

Mindspeed Technologies, Inc. (a)

64,454

419,596

MIPS Technologies, Inc. (a)(d)

104,835

603,850

MKS Instruments, Inc.

117,201

3,510,170

Monolithic Power Systems, Inc. (a)

82,168

1,527,503

MoSys, Inc. (a)(d)

60,959

232,863

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Nanometrics, Inc. (a)(d)

41,017

$ 719,848

NVE Corp. (a)(d)

11,458

613,003

Omnivision Technologies, Inc. (a)(d)

127,409

2,085,685

ON Semiconductor Corp. (a)

1,034,453

9,382,489

PDF Solutions, Inc. (a)

40,505

325,255

Pericom Semiconductor Corp. (a)

65,839

506,302

Photronics, Inc. (a)(d)

114,532

802,869

Pixelworks, Inc. (a)

35,295

84,002

PLX Technology, Inc. (a)(d)

81,321

285,437

PMC-Sierra, Inc. (a)

478,571

3,287,783

Power Integrations, Inc.

57,924

2,160,565

QuickLogic Corp. (a)(d)

76,504

198,910

Rambus, Inc. (a)(d)

228,253

1,616,031

Ramtron International Corp. (a)

65,988

125,377

RF Micro Devices, Inc. (a)(d)

573,446

2,735,337

Rubicon Technology, Inc. (a)(d)

35,909

322,104

Rudolph Technologies, Inc. (a)(d)

62,052

612,453

Semtech Corp. (a)(d)

136,520

3,919,489

Sigma Designs, Inc. (a)

62,892

361,629

Silicon Image, Inc. (a)

164,044

848,107

Silicon Laboratories, Inc. (a)(d)

91,886

4,116,493

Skyworks Solutions, Inc. (a)(d)

399,723

10,780,529

Spansion, Inc. Class A (a)

142,425

1,823,040

Spire Corp. (a)

200

240

Standard Microsystems Corp. (a)(d)

75,204

1,924,470

STR Holdings, Inc. (a)(d)

98,143

696,815

SunPower Corp. (a)(d)

91,055

685,644

Supertex, Inc. (a)(d)

23,977

442,615

Tessera Technologies, Inc. (a)

103,521

1,739,153

TranSwitch Corp. (a)(d)

48,274

136,615

TriQuint Semiconductor, Inc. (a)(d)

346,255

2,229,882

Ultra Clean Holdings, Inc. (a)

44,575

364,178

Ultratech, Inc. (a)

52,421

1,426,375

Veeco Instruments, Inc. (a)(d)

100,655

2,721,711

Vitesse Semiconductor Corp. (a)(d)

71,167

283,245

Volterra Semiconductor Corp. (a)(d)

52,784

1,622,052

 

205,617,588

Software - 4.1%

Accelrys, Inc. (a)

120,176

954,197

ACI Worldwide, Inc. (a)(d)

94,719

3,578,484

Activision Blizzard, Inc. (d)

967,698

11,563,991

Actuate Corp. (a)

89,294

539,336

Advent Software, Inc. (a)(d)

65,312

1,680,478

American Software, Inc. Class A

48,522

403,218

ANSYS, Inc. (a)(d)

200,185

12,647,688

Ariba, Inc. (a)(d)

204,862

6,447,007

Aspen Technology, Inc. (a)(d)

198,217

4,075,342

Astea International, Inc. (a)

13,242

60,119

Bitstream, Inc. Class A (a)

3,682

19,846

Blackbaud, Inc.

88,516

2,792,680

Bottomline Technologies, Inc. (a)(d)

68,740

1,931,594

 

Shares

Value

BroadSoft, Inc. (a)(d)

69,557

$ 2,529,788

BSQUARE Corp. (a)

30,361

101,406

Cadence Design Systems, Inc. (a)(d)

569,040

6,697,601

Callidus Software, Inc. (a)(d)

65,801

487,585

Cinedigm Digital Cinema Corp. (a)

46,130

80,266

CommVault Systems, Inc. (a)(d)

97,486

5,027,353

Compuware Corp. (a)

458,000

4,126,580

Concur Technologies, Inc. (a)(d)

113,580

6,695,541

Convio, Inc. (a)(d)

21,892

342,829

Datawatch Corp. (a)

3,120

43,555

Deltek, Inc. (a)

63,814

703,868

Digimarc Corp. (a)

13,264

369,933

Ebix, Inc. (d)

70,033

1,631,769

Ellie Mae, Inc.

31,084

259,551

EPIQ Systems, Inc.

93,222

1,071,121

ePlus, Inc. (a)

9,557

306,015

Evolving Systems, Inc.

12,044

64,917

FactSet Research Systems, Inc.

89,399

7,813,473

Fair Isaac Corp.

100,578

4,071,397

FalconStor Software, Inc. (a)

86,450

246,383

Fonix Corp. (a)

1

0

Fortinet, Inc. (a)

290,793

7,865,951

Glu Mobile, Inc. (a)(d)

63,707

240,812

GSE Systems, Inc. (a)

33,148

62,318

Guidance Software, Inc. (a)

20,946

238,994

Guidewire Software, Inc.

16,113

364,476

Imperva, Inc.

9,739

360,830

Informatica Corp. (a)

228,562

11,236,108

Interactive Intelligence Group, Inc. (a)

39,218

1,098,104

JDA Software Group, Inc. (a)(d)

90,081

2,257,430

Jive Software, Inc. (d)

25,949

565,948

Kenexa Corp. (a)(d)

48,352

1,343,702

Majesco Entertainment Co. (a)(d)

152,851

380,599

Manhattan Associates, Inc. (a)(d)

59,488

2,757,864

Mentor Graphics Corp. (a)(d)

226,012

3,426,342

MICROS Systems, Inc. (a)(d)

184,532

9,582,747

MicroStrategy, Inc. Class A (a)(d)

21,893

2,968,472

Mitek Systems, Inc. (a)(d)

45,229

470,382

Monotype Imaging Holdings, Inc. (a)

66,621

934,693

Motricity, Inc. (a)(d)

112,960

150,237

NetScout Systems, Inc. (a)(d)

69,317

1,471,600

NetSol Technologies, Inc. (a)(d)

160,969

86,923

NetSuite, Inc. (a)

59,651

2,845,353

Nuance Communications, Inc. (a)(d)

499,415

12,944,837

Opnet Technologies, Inc.

42,621

1,216,830

Parametric Technology Corp. (a)

259,389

6,925,686

Peerless Systems Corp. (a)

15,698

61,065

Pegasystems, Inc.

31,869

894,882

Pervasive Software, Inc. (a)

25,547

153,537

Progress Software Corp. (a)(d)

170,826

3,961,455

PROS Holdings, Inc. (a)

42,032

736,821

QAD, Inc. Class B

24,367

335,046

QLIK Technologies, Inc. (a)

164,916

4,992,007

Quest Software, Inc. (a)

127,647

2,555,493

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

RealPage, Inc. (a)

63,949

$ 1,268,109

Rosetta Stone, Inc. (a)

28,088

253,635

Rovi Corp. (a)

251,044

8,907,041

Scientific Learning Corp. (a)

24,929

51,354

SeaChange International, Inc. (a)

69,895

478,082

Smith Micro Software, Inc. (a)

72,854

185,049

SolarWinds, Inc. (a)

128,753

4,797,337

Solera Holdings, Inc.

169,280

8,125,440

Sonic Foundry, Inc. (a)

1,571

11,578

Sourcefire, Inc. (a)(d)

63,636

2,864,893

SRS Labs, Inc. (a)

23,248

155,529

SS&C Technologies Holdings, Inc. (a)

63,267

1,310,892

Synchronoss Technologies, Inc. (a)(d)

71,953

2,407,547

Synopsys, Inc. (a)

343,996

10,481,558

Take-Two Interactive Software, Inc. (a)(d)

177,765

2,746,469

Taleo Corp. Class A (a)

83,810

3,840,174

Tangoe, Inc. (a)

74,630

1,398,566

TeleCommunication Systems, Inc.
Class A (a)

110,511

296,169

TeleNav, Inc. (a)(d)

41,916

281,676

THQ, Inc. (a)(d)

139,201

75,169

TIBCO Software, Inc. (a)(d)

359,016

10,400,694

TiVo, Inc. (a)(d)

322,529

3,628,451

Tyler Technologies, Inc. (a)(d)

75,793

2,862,702

Ultimate Software Group, Inc. (a)(d)

65,694

4,586,755

Vasco Data Security International, Inc. (a)

64,183

580,214

Verint Systems, Inc. (a)

43,778

1,203,457

Versant Corp. (a)

12,238

127,030

VirnetX Holding Corp. (a)(d)

117,196

2,530,262

VMware, Inc. Class A (a)

143,416

14,182,408

Wave Systems Corp. Class A (a)(d)

172,796

347,320

Websense, Inc. (a)(d)

80,067

1,442,007

Zynga, Inc. (d)

216,360

2,849,461

 

269,529,483

TOTAL INFORMATION TECHNOLOGY

1,019,529,158

MATERIALS - 6.3%

Chemicals - 3.0%

A. Schulman, Inc.

65,137

1,683,140

ADA-ES, Inc. (a)

29,045

652,641

Albemarle Corp.

203,316

13,524,580

American Pacific Corp. (a)

11,292

87,739

American Vanguard Corp.

65,053

1,074,676

Ampal-American Israel Corp.
Class A (a)

23,445

7,034

Arabian American Development Co. (a)

29,678

235,347

Ashland, Inc.

152,375

9,684,955

Balchem Corp. (d)

69,438

1,892,186

Cabot Corp.

124,551

5,045,561

 

Shares

Value

Calgon Carbon Corp. (a)(d)

115,042

$ 1,738,285

Celanese Corp. Class A

346,948

16,504,316

Cereplast, Inc. (a)(d)

22,207

21,652

Chase Corp.

11,674

169,273

Chemtura Corp. (a)

220,132

3,416,449

Clean Diesel Technologies, Inc. (a)(d)

33,479

100,772

Core Molding Technologies, Inc. (a)

11,521

110,256

Cytec Industries, Inc.

103,748

6,168,856

Ferro Corp. (a)(d)

176,641

980,358

Flotek Industries, Inc. (a)(d)

116,606

1,304,821

FutureFuel Corp.

32,730

361,667

Georgia Gulf Corp. (a)

69,742

2,249,877

GSE Holding, Inc.

11,418

138,729

H.B. Fuller Co.

112,158

3,379,321

Hawkins, Inc.

17,707

686,146

Huntsman Corp.

425,747

5,815,704

Innophos Holdings, Inc.

44,680

2,250,978

Intrepid Potash, Inc. (a)(d)

143,302

3,624,108

KMG Chemicals, Inc.

16,501

286,292

Koppers Holdings, Inc.

42,068

1,583,019

Kraton Performance Polymers, Inc. (a)

66,091

1,836,669

Kronos Worldwide, Inc.

60,714

1,418,886

Landec Corp. (a)

84,086

529,742

LSB Industries, Inc. (a)

37,320

1,501,010

LyondellBasell Industries NV Class A

752,693

32,501,284

Material Sciences Corp. (a)

21,107

182,787

Minerals Technologies, Inc.

47,574

3,071,853

Nanophase Technologies Corp. (a)(d)

5,146

3,293

NewMarket Corp. (d)

23,199

4,232,194

Olin Corp.

148,501

3,122,976

OM Group, Inc. (a)

75,468

2,073,861

OMNOVA Solutions, Inc. (a)(d)

91,531

466,808

Penford Corp. (a)

27,329

157,415

PolyOne Corp.

192,213

2,581,421

Quaker Chemical Corp.

24,863

1,024,604

Rockwood Holdings, Inc. (a)

152,412

8,115,939

RPM International, Inc.

276,520

6,600,532

Senomyx, Inc. (a)(d)

108,140

370,920

Sensient Technologies Corp.

116,292

4,301,641

Solutia, Inc.

259,606

7,297,525

Spartech Corp. (a)

67,518

391,604

Stepan Co.

16,020

1,400,629

The Scotts Miracle-Gro Co. Class A (d)

91,000

4,262,440

TOR Minerals International, Inc. (a)

3,831

59,112

TPC Group, Inc. (a)

34,509

1,198,843

Tredegar Corp.

48,210

1,120,400

Valhi, Inc.

18,618

1,067,742

Valspar Corp.

207,434

9,614,566

W.R. Grace & Co. (a)

130,414

7,428,381

Westlake Chemical Corp. (d)

46,385

2,793,769

Zep, Inc.

44,069

668,527

Zoltek Companies, Inc. (a)(d)

60,096

726,561

 

196,902,672

Common Stocks - continued

Shares

Value

MATERIALS - continued

Construction Materials - 0.2%

Eagle Materials, Inc. (d)

89,764

$ 2,816,794

Headwaters, Inc. (a)

123,195

374,513

Martin Marietta Materials, Inc.

97,493

8,371,724

Texas Industries, Inc. (d)

58,355

1,974,150

U.S. Concrete, Inc. (a)

25,199

105,836

United States Lime & Minerals, Inc. (a)

7,538

459,064

 

14,102,081

Containers & Packaging - 0.9%

AEP Industries, Inc. (a)

13,400

467,526

Aptargroup, Inc.

148,309

7,827,749

Boise, Inc.

247,252

2,034,884

Crown Holdings, Inc. (a)

353,375

13,064,274

Graphic Packaging Holding Co. (a)

260,313

1,374,453

Greif, Inc. Class A

83,496

4,275,830

MOD-PAC Corp. (sub. vtg.) (a)

3,740

23,973

Myers Industries, Inc.

100,702

1,341,351

Northern Technologies International Corp. (a)

1,103

17,008

Packaging Corp. of America

238,810

7,078,328

Rock-Tenn Co. Class A

154,183

10,868,360

Silgan Holdings, Inc.

114,111

4,852,000

Sonoco Products Co.

211,458

6,944,281

UFP Technologies, Inc. (a)

15,846

278,414

 

60,448,431

Metals & Mining - 1.7%

A.M. Castle & Co. (a)(d)

38,879

445,165

AK Steel Holding Corp. (d)

229,349

1,816,444

Allied Nevada Gold Corp. (a)(d)

192,193

6,613,361

Amcol International Corp.

58,468

1,714,866

Carpenter Technology Corp.

92,318

4,735,913

Century Aluminum Co. (a)(d)

132,753

1,302,307

Coeur d'Alene Mines Corp. (a)

186,991

5,318,024

Commercial Metals Co.

251,961

3,348,562

Compass Minerals International, Inc.

81,048

5,839,508

Comstock Mining, Inc. (a)(d)

32,178

65,000

Friedman Industries

13,655

142,695

General Moly, Inc. (a)(d)

202,841

732,256

Globe Specialty Metals, Inc.

115,739

1,645,809

Golden Minerals Co. (a)(d)

114,868

957,999

Handy & Harman Ltd. (a)

39,902

484,410

Haynes International, Inc.

25,877

1,637,755

Hecla Mining Co.

642,578

3,264,296

Horsehead Holding Corp. (a)

101,767

1,160,144

Kaiser Aluminum Corp.

34,968

1,690,353

Materion Corp. (a)

41,932

1,230,704

McEwen Mining, Inc. (a)(d)

421,089

2,202,295

Metals USA Holdings Corp. (a)

34,701

453,889

Mines Management, Inc. (a)(d)

69,165

139,022

Molycorp, Inc. (a)(d)

146,892

3,628,232

Noranda Aluminium Holding Corp.

46,669

560,028

 

Shares

Value

Olympic Steel, Inc.

20,461

$ 479,606

Reliance Steel & Aluminum Co.

158,433

8,511,021

Royal Gold, Inc.

115,739

8,038,074

RTI International Metals, Inc. (a)(d)

67,771

1,527,558

Schnitzer Steel Inds, Inc. Class A

53,001

2,393,525

Silver Bull Resources, Inc. (a)(d)

148,902

84,874

Solitario Exploration & Royalty Corp. (a)

57,827

81,536

Southern Copper Corp.

399,962

12,862,778

Steel Dynamics, Inc.

531,239

7,867,650

Stillwater Mining Co. (a)(d)

246,287

3,497,275

SunCoke Energy, Inc. (a)

184,578

2,645,003

Synalloy Corp.

9,327

117,987

Timberline Resources Corp. (a)(d)

213,150

120,067

U.S. Silica Holdings, Inc.

26,459

447,686

Universal Stainless & Alloy Products, Inc. (a)(d)

14,191

475,115

US Energy Corp. (a)(d)

91,127

299,808

Vista Gold Corp. (a)(d)

223,243

790,280

Walter Energy, Inc.

142,968

9,268,615

Worthington Industries, Inc.

122,406

2,064,989

 

112,702,484

Paper & Forest Products - 0.5%

AbitibiBowater, Inc. (a)(d)

157,587

2,411,081

Buckeye Technologies, Inc.

84,822

2,897,520

Clearwater Paper Corp. (a)

52,530

1,802,304

Deltic Timber Corp.

29,841

1,945,932

Domtar Corp.

83,694

8,023,744

Glatfelter

137,758

2,150,402

Kapstone Paper & Packaging Corp. (a)

85,785

1,724,279

Louisiana-Pacific Corp. (a)(d)

278,523

2,275,533

Neenah Paper, Inc.

32,380

903,078

Schweitzer-Mauduit International, Inc.

43,953

3,078,908

Verso Paper Corp. (a)(d)

31,277

40,660

Wausau-Mosinee Paper Corp.

98,528

920,252

 

28,173,693

TOTAL MATERIALS

412,329,361

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 0.6%

8x8, Inc. (a)(d)

229,564

984,830

AboveNet, Inc. (a)(d)

48,334

3,362,113

Alaska Communication Systems Group, Inc. (d)

97,590

312,288

Allegiance Telecom, Inc. (a)

15,750

0

Atlantic Tele-Network, Inc. (d)

19,662

753,448

Boingo Wireless, Inc. (d)

25,257

241,457

Cbeyond, Inc. (a)

66,391

509,883

Cincinnati Bell, Inc. New (a)(d)

414,315

1,553,681

Cogent Communications Group, Inc. (a)

111,748

2,058,398

Consolidated Communications Holdings, Inc.

71,706

1,360,263

Elephant Talk Communication, Inc. (a)(d)

100,000

214,000

FairPoint Communications, Inc. (a)(d)

43,522

163,643

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

General Communications, Inc.
Class A (a)(d)

82,347

$ 872,055

Globalstar, Inc. (a)(d)

237,229

202,024

Hawaiian Telcom Holdco, Inc. (a)

18,335

288,226

HickoryTech Corp.

34,243

367,770

IDT Corp. Class B

43,724

395,702

inContact, Inc. (a)

77,826

414,813

Iridium Communications, Inc. (a)(d)

172,155

1,315,264

Level 3 Communications, Inc. (a)

336,410

8,178,127

Lumos Networks Corp.

42,527

544,346

Multiband Corp. (a)

27,198

97,369

Neutral Tandem, Inc. (a)

105,029

1,172,124

Premiere Global Services, Inc. (a)

109,608

948,109

Primus Telecommunications Group, Inc. (a)

23,913

328,804

SureWest Communications

40,598

909,801

Towerstream Corp. (a)(d)

116,654

331,297

tw telecom, inc. (a)(d)

352,793

7,620,329

Vonage Holdings Corp. (a)

287,525

687,185

Warwick Valley Telephone Co.

10,706

156,308

 

36,343,657

Wireless Telecommunication Services - 0.9%

Clearwire Corp. Class A (a)(d)

315,081

724,686

Crown Castle International Corp. (a)

538,636

27,906,731

Leap Wireless International, Inc. (a)(d)

129,972

1,356,908

NII Holdings, Inc. (a)(d)

372,601

6,662,106

NTELOS Holdings Corp.

30,862

717,542

SBA Communications Corp.
Class A (a)(d)

255,631

11,996,763

Shenandoah Telecommunications Co.

47,154

471,068

Telephone & Data Systems, Inc.

209,062

5,282,997

U.S. Cellular Corp. (a)(d)

29,790

1,285,141

USA Mobility, Inc.

61,882

849,021

 

57,252,963

TOTAL TELECOMMUNICATION SERVICES

93,596,620

UTILITIES - 3.6%

Electric Utilities - 1.1%

Allete, Inc.

66,832

2,778,875

Central Vermont Public Service Corp.

32,616

1,149,388

Cleco Corp. (d)

145,147

5,585,257

El Paso Electric Co.

107,795

3,528,130

Empire District Electric Co.

90,830

1,812,059

Great Plains Energy, Inc.

308,667

6,105,433

Hawaiian Electric Industries, Inc.

209,224

5,241,061

IDACORP, Inc.

103,848

4,203,767

ITC Holdings Corp.

113,857

8,593,926

MGE Energy, Inc.

61,308

2,688,969

NV Energy, Inc.

496,651

7,787,488

Otter Tail Corp.

81,314

1,727,109

 

Shares

Value

PNM Resources, Inc.

211,467

$ 3,802,177

Portland General Electric Co.

156,986

3,868,135

UIL Holdings Corp.

104,129

3,670,547

Unisource Energy Corp.

82,096

3,020,312

Unitil Corp.

33,222

883,705

Westar Energy, Inc.

267,230

7,354,170

 

73,800,508

Gas Utilities - 0.9%

Atmos Energy Corp.

188,141

5,781,573

Chesapeake Utilities Corp. (d)

22,726

933,357

Delta Natural Gas Co., Inc.

4,880

185,830

Gas Natural, Inc.

11,151

124,334

Laclede Group, Inc.

50,946

2,093,371

National Fuel Gas Co.

167,905

8,450,659

New Jersey Resources Corp.

96,780

4,518,658

Northwest Natural Gas Co. (d)

66,043

3,022,788

Piedmont Natural Gas Co., Inc. (d)

169,819

5,502,136

Questar Corp.

405,652

7,796,631

RGC Resources, Inc.

2,242

39,370

South Jersey Industries, Inc.

60,919

3,167,788

Southwest Gas Corp.

94,718

4,039,723

UGI Corp.

236,898

6,692,369

WGL Holdings, Inc. (d)

125,127

5,108,935

 

57,457,522

Independent Power Producers & Energy Traders - 0.4%

American DG Energy, Inc. (a)(d)

5,053

7,984

Black Hills Corp.

94,821

3,113,922

Calpine Corp. (a)

836,820

12,811,714

Dynegy, Inc. (a)(d)

316,627

411,615

Genie Energy Ltd. Class B

48,524

465,345

GenOn Energy, Inc. (a)

1,952,788

4,803,858

Ormat Technologies, Inc. (d)

63,303

1,281,253

Synthesis Energy Systems, Inc. (a)

67,279

97,555

Tegal Corp. (a)

177

589

US Geothermal, Inc. (a)(d)

202,952

110,740

 

23,104,575

Multi-Utilities - 0.8%

Alliant Energy Corp.

253,692

10,817,427

Avista Corp.

119,397

2,949,106

CH Energy Group, Inc. (d)

33,789

2,252,713

MDU Resources Group, Inc.

379,639

8,238,166

NorthWestern Energy Corp.

73,604

2,556,267

NSTAR

226,885

10,640,907

OGE Energy Corp.

209,761

11,008,257

Vectren Corp.

168,368

4,919,713

 

53,382,556

Water Utilities - 0.4%

American States Water Co.

47,115

1,736,659

American Water Works Co., Inc.

394,271

13,515,610

Aqua America, Inc.

290,712

6,456,714

Artesian Resources Corp. Class A

16,662

318,244

Cadiz, Inc. (a)(d)

34,362

364,924

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

California Water Service Group

120,078

$ 2,306,698

Connecticut Water Service, Inc.

19,158

552,134

Middlesex Water Co.

46,243

851,796

Pure Cycle Corp. (a)

46,689

96,179

SJW Corp.

31,800

759,702

York Water Co.

38,385

665,212

 

27,623,872

TOTAL UTILITIES

235,369,033

TOTAL COMMON STOCKS

(Cost $5,540,902,134)


6,441,889,063

Nonconvertible Bonds - 0.0%

 

Principal Amount

 

FINANCIALS - 0.0%

Capital Markets - 0.0%

GAMCO Investors, Inc. 0% 12/31/15

(Cost $37,343)

$ 37,300


30,072

U.S. Treasury Obligations - 0.2%

 

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.09% 3/8/12 to 6/28/12 (e)
(Cost $10,998,773)

11,000,000


10,998,450

Money Market Funds - 23.8%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

71,287,081

71,287,081

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

1,481,913,837

1,481,913,837

TOTAL MONEY MARKET FUNDS

(Cost $1,553,200,918)


1,553,200,918

TOTAL INVESTMENT PORTFOLIO - 122.8%

(Cost $7,105,139,168)

8,006,118,503

NET OTHER ASSETS (LIABILITIES) - (22.8)%

(1,489,081,331)

NET ASSETS - 100%

$ 6,517,037,172

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

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

March 2012

$ 30,665,240

$ 2,899,463

563 NYFE Russell 2000 Mini Index Contracts

March 2012

45,603,000

3,680,802

TOTAL EQUITY INDEX CONTRACTS

$ 76,268,240

$ 6,580,265

The face value of futures purchased as a percentage of net assets is 1.2%

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $6,298,945.

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

$ 91,374

Fidelity Securities Lending Cash Central Fund

9,399,822

Total

$ 9,491,196

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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

$ 1,031,948,965

$ 1,031,944,365

$ -

$ 4,600

Consumer Staples

236,959,833

236,923,013

36,820

-

Energy

436,899,148

436,899,148

-

-

Financials

1,325,234,224

1,325,231,975

-

2,249

Health Care

703,743,119

703,741,957

-

1,162

Industrials

946,279,602

946,279,602

-

-

Information Technology

1,019,529,158

1,019,529,158

-

-

Materials

412,329,361

412,329,361

-

-

Telecommunication Services

93,596,620

93,596,620

-

-

Utilities

235,369,033

235,369,033

-

-

Corporate Bonds

30,072

-

30,072

-

U.S. Government and Government Agency Obligations

10,998,450

-

10,998,450

-

Money Market Funds

1,553,200,918

1,553,200,918

-

-

Total Investments in Securities:

$ 8,006,118,503

$ 7,995,045,150

$ 11,065,342

$ 8,011

Derivative Instruments:

Assets

Futures Contracts

$ 6,580,265

$ 6,580,265

$ -

$ -

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

Investments in Securities:

Beginning Balance

$ 222,249

Total Realized Gain (Loss)

(198,796)

Total Unrealized Gain (Loss)

213,172

Cost of Purchases

3

Proceeds of Sales

(16,090)

Amortization/Accretion

-

Transfers in to Level 3

8,938

Transfers out of Level 3

(221,465)

Ending Balance

$ 8,011

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ (1,240)

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 February 29, 2012. 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)

$ 6,580,265

$ -

Total Value of Derivatives

$ 6,580,265

$ -

(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.

Annual Report

Spartan Extended Market Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $1,422,166,761) - See accompanying schedule:

Unaffiliated issuers (cost $5,551,938,250)

$ 6,452,917,585

 

Fidelity Central Funds (cost $1,553,200,918)

1,553,200,918

 

Total Investments (cost $7,105,139,168)

 

$ 8,006,118,503

Cash

 

76,222

Receivable for investments sold

4,316,551

Receivable for fund shares sold

23,774,895

Dividends receivable

4,636,130

Distributions receivable from Fidelity Central Funds

979,008

Other receivables

2,781

Total assets

8,039,904,090

 

 

 

Liabilities

Payable for investments purchased

$ 19,243,361

Payable for fund shares redeemed

20,290,472

Accrued management fee

323,813

Payable for daily variation margin on futures contracts

953,003

Other affiliated payables

142,432

Collateral on securities loaned, at value

1,481,913,837

Total liabilities

1,522,866,918

 

 

 

Net Assets

$ 6,517,037,172

Net Assets consist of:

 

Paid in capital

$ 5,558,819,493

Undistributed net investment income

10,311,506

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

40,345,947

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

907,560,226

Net Assets

$ 6,517,037,172

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($2,606,631,287 ÷ 65,724,115 shares)

$ 39.66

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($3,910,288,898 ÷ 98,588,315 shares)

$ 39.66

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($116,987 ÷ 2,950 shares)

$ 39.66

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

Annual Report

Spartan Extended Market Index Fund
Financial Statements - continued

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 70,673,050

Interest

 

10,602

Income from Fidelity Central Funds (including $9,399,822 from security lending)

 

9,491,196

Total income

 

80,174,848

 

 

 

Expenses

Management fee

$ 3,839,585

Transfer agent fees

1,537,555

Independent trustees' compensation

34,264

Interest

432

Miscellaneous

17,049

Total expenses before reductions

5,428,885

Expense reductions

(597)

5,428,288

Net investment income (loss)

74,746,560

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

139,675,656

Foreign currency transactions

(1,815)

Futures contracts

(7,401,865)

Total net realized gain (loss)

 

132,271,976

Change in net unrealized appreciation (depreciation) on:

Investment securities

(114,083,386)

Assets and liabilities in foreign currencies

(130)

Futures contracts

1,985,687

Total change in net unrealized appreciation (depreciation)

 

(112,097,829)

Net gain (loss)

20,174,147

Net increase (decrease) in net assets resulting from operations

$ 94,920,707

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 74,746,560

$ 55,477,661

Net realized gain (loss)

132,271,976

92,588,334

Change in net unrealized appreciation (depreciation)

(112,097,829)

1,161,441,520

Net increase (decrease) in net assets resulting from operations

94,920,707

1,309,507,515

Distributions to shareholders from net investment income

(69,414,947)

(48,199,592)

Distributions to shareholders from net realized gain

(127,979,459)

(63,624,500)

Total distributions

(197,394,406)

(111,824,092)

Share transactions - net increase (decrease)

652,403,567

1,175,386,586

Redemption fees

919,879

553,321

Total increase (decrease) in net assets

550,849,747

2,373,623,330

 

 

 

Net Assets

Beginning of period

5,966,187,425

3,592,564,095

End of period (including undistributed net investment income of $10,311,506 and undistributed net investment income of $8,373,367, respectively)

$ 6,517,037,172

$ 5,966,187,425

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 40.35

$ 31.08

$ 18.73

$ 35.15

$ 39.63

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .48

.43

.36

.50

.56

Net realized and unrealized gain (loss)

  .10

9.71

12.40

(15.73)

(2.73)

Total from investment operations

  .58

10.14

12.76

(15.23)

(2.17)

Distributions from net investment income

  (.45)

(.36)

(.35)

(.43)

(.46)

Distributions from net realized gain

  (.84)

(.51)

(.06)

(.76)

(1.85)

Total distributions

  (1.28) I

(.87)

(.41) H

(1.19)

(2.31)

Redemption fees added to paid in capital B

  .01

- G

- G

- G

- G

Net asset value, end of period

$ 39.66

$ 40.35

$ 31.08

$ 18.73

$ 35.15

Total Return A

  1.76%

32.95%

68.20%

(44.26)%

(6.02)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .10%

.10%

.10%

.10%

.10%

Expenses net of fee waivers, if any

  .10%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .10%

.10%

.10%

.10%

.09%

Net investment income (loss)

  1.26%

1.24%

1.35%

1.71%

1.41%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,606,631

$ 4,440,988

$ 2,692,346

$ 1,446,984

$ 2,162,049

Portfolio turnover rate D

  11%

8%

26%

16%

17%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.41 per share is comprised of distributions from net investment income of $.350 and distributions from net realized gain of $.055 per share.

I Total distributions of $1.28 per share is comprised of distributions from net investment income of $.446 and distributions from net realized gain of $.837 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 40.36

$ 31.08

$ 18.73

$ 35.15

$ 39.64

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .48

.44

.37

.52

.57

Net realized and unrealized gain (loss)

  .10

9.72

12.39

(15.74)

(2.74)

Total from investment operations

  .58

10.16

12.76

(15.22)

(2.17)

Distributions from net investment income

  (.46)

(.37)

(.36)

(.44)

(.47)

Distributions from net realized gain

  (.84)

(.51)

(.06)

(.76)

(1.85)

Total distributions

  (1.29) I

(.88)

(.41) H

(1.20)

(2.32)

Redemption fees added to paid in capital B

  .01

- G

- G

- G

- G

Net asset value, end of period

$ 39.66

$ 40.36

$ 31.08

$ 18.73

$ 35.15

Total Return A

  1.76%

33.02%

68.25%

(44.25)%

(6.01)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .07%

.07%

.07%

.07%

.07%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  1.29%

1.27%

1.38%

1.74%

1.44%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,910,289

$ 1,525,199

$ 900,218

$ 478,227

$ 925,331

Portfolio turnover rate D

  11%

8%

26%

16%

17%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.41 per share is comprised of distributions from net investment income of $.358 and distributions from net realized gain of $.055 per share.

I Total distributions of $1.29 per share is comprised of distributions from net investment income of $.457 and distributions from net realized gain of $.837 per share.

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

Annual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.67

Income from Investment Operations

 

Net investment income (loss) D

  .25

Net realized and unrealized gain (loss)

  5.52

Total from investment operations

  5.77

Distributions from net investment income

  (.40)

Distributions from net realized gain

  (.38)

Total distributions

  (.78)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.66

Total Return B, C

  16.99%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .07% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  1.44% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 117

Portfolio turnover rate F

  11% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

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

Annual Report

Spartan International Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

Spartan International Index Fund - Investor Class

-7.92%

-2.87%

6.22%

Spartan International Index Fund - Fidelity Advantage Class A

-7.87%

-2.84%

6.24%

A The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005, are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan International Index Fund - Investor Class on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the MSCI® EAFE® (Europe, Australasia and Far East) Index performed over the same period.

con36

Annual Report

Spartan International Index Fund

Management's Discussion of Fund Performance

Market Recap: International equities experienced turbulent swings during the 12-month period ending February 29, 2012, jostled by a number of headline events. Investors' heightened sensitivity to risk in the face of Europe's sovereign debt crisis and a slow U.S. economic recovery sparked a global sell-off that pushed many overseas markets to their lowest level in more than a year by early fall. In addition, worries increased about a potentially sharp slowdown of gross domestic product (GDP) growth in China - one of the world economy's few bright spots during the Great Recession of 2007-2009. Japan faced its own challenges, as the nation continued to struggle to rebound from its devastating earthquake, tsunami and nuclear disaster in March 2011. After several months of declines, the market staged two mini-rallies, as investors' anxiety began to ease in October and then again later in the period amid hope for a resolution to Europe's debt woes. Despite these gains, the MSCI® ACWI® (All Country World Index) ex USA Index fell 5.99% for the year. Within the index, emerging markets posted a nominal increase, held back partly by a stronger U.S. dollar. The U.K. saw a slight loss, faring better than the rest of Europe (-11%), which was the worst-performing index component. Japan and Canada also had double-digit losses, each falling around 10%, while Asia-Pacific ex Japan declined only about 1%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® International Index Fund: For the year, the fund's Investor Class and Fidelity Advantage® Class shares returned -7.92% and -7.87%, respectively, modestly trailing the -7.35% return of the MSCI® EAFE® (Europe, Australasia, Far East) Index. Of the 10 sectors in the index, eight generated a negative return. Utilities was the worst performer, dropping 20%. Financials, by far the largest sector in the benchmark, also did poorly, declining 15%, led downward by diversified financials and banks. The information technology sector lost 13%, dragged down the most by hardware/equipment and semiconductor-related companies. The materials sector also did relatively poorly. The only sectors to provide a positive return were consumer staples, whose roughly 9% gain was led by the food/beverage/tobacco industry. Health care stocks, with a 7% gain, also were solid performers. On a geographic basis, the three major regions of the index - Europe, Japan and Asia Pacific (excluding Japan) all lost ground. Given Europe's very large allocation in the index, the region's sovereign debt troubles had a disproportionate impact on performance. In part, a weakening euro relative to the dollar reduced returns for U.S. investors. Not surprisingly, the Greek stock market had the biggest decline in the index, dropping 63%. Italy and Spain, much larger economies facing their own debt challenges, lost about 24% and 20%, respectively. The three largest stock markets in the region - the U.K., France and Germany - returned roughly 0%, -15% and -8%, respectively. Meanwhile, Japan's market fell 10%, while the Asia Pacific region enjoyed the best overall performance in U.S. dollar terms, declining by just roughly 1%, with New Zealand, Singapore and Hong Kong returning 18%, 5% and 2%, respectively. Looking at individual stocks, Japanese utility Tokyo Electric Power, whose Fukushima nuclear plant melted down following the tsunami, was the biggest individual detractor and the third-worst-performing stock in the index. Its shares fell about 90% during the 12-month period. Many other detractors were European financials companies, including HSBC Holdings (U.K.), Banco Santander (Spain), BNP Paribas and Societe Generale (France), UniCredit (Italy), and UBS (Switzerland). Other notable underperformers were Spanish telecommunication services company Telefonica, German conglomerate Siemens and Australian mining company BHP Billiton. On the positive side, stocks in defensive industries fared better amid the challenging conditions. For example, U.K. tobacco companies British American Tobacco and Imperial Tobacco Group, Swiss food products giant Nestle, U.K. spirits manufacturer Diageo and Belgian brewer Anheuser Busch InBev all gained ground, as did pharmaceutical manufacturers GlaxoSmithKline and Roche Holdings, based in the U.K. and Switzerland, respectively. U.K. energy giant Royal Dutch Shell also contributed.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan International Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Nestle SA (Switzerland, Food Products)

1.9

2.1

HSBC Holdings PLC (United Kingdom) (United Kingdom, Commercial Banks)

1.5

1.5

BP PLC (United Kingdom, Oil, Gas & Consumable Fuels)

1.4

1.2

Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services)

1.3

1.3

Royal Dutch Shell PLC Class A (United Kingdom) (United Kingdom, Oil, Gas & Consumable Fuels)

1.2

1.1

Novartis AG (Switzerland, Pharmaceuticals)

1.2

1.3

BHP Billiton Ltd. (Australia, Metals & Mining)

1.2

1.3

Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals)

1.1

1.2

Total SA (France, Oil, Gas & Consumable Fuels)

1.1

1.0

Toyota Motor Corp. (Japan, Automobiles)

1.1

1.0

 

13.0

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

22.0

21.4

Industrials

12.6

12.9

Consumer Staples

10.9

10.7

Consumer Discretionary

10.4

9.9

Materials

10.3

10.6

Health Care

8.8

9.1

Energy

8.5

8.0

Telecommunication Services

5.5

5.4

Information Technology

4.6

4.8

Utilities

4.4

4.9

Geographic Diversification (% of fund's net assets)

As of February 29, 2012

con38

United Kingdom

21.8%

 

con40

Japan

21.4%

 

con42

France

8.6%

 

con44

Australia

8.6%

 

con46

Germany

8.2%

 

con48

Switzerland

8.1%

 

con50

Sweden

3.2%

 

con52

Spain

3.0%

 

con54

Netherlands

2.6%

 

con56

Other

14.5%

 

con58

Percentages are adjusted for the effect of futures contracts, if applicable.

As of August 31, 2011

con38

Japan

21.5%

 

con40

United Kingdom

21.3%

 

con42

France

8.9%

 

con44

Australia

8.9%

 

con46

Switzerland

8.5%

 

con48

Germany

8.3%

 

con50

Spain

3.3%

 

con52

Sweden

2.9%

 

con54

Hong Kong

2.6%

 

con56

Other

13.8%

 

con70

Percentages are adjusted for the effect of futures contracts, if applicable.

Annual Report

Spartan International Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 97.2%

Shares

Value

Australia - 8.4%

AGL Energy Ltd.

386,989

$ 5,788,808

Alumina Ltd.

2,052,568

2,980,633

Amcor Ltd.

985,211

7,500,736

AMP Ltd.

2,312,060

9,941,680

APA Group unit

430,000

2,263,947

Asciano Ltd. unit

795,299

4,221,356

ASX Ltd.

144,087

4,786,549

Australia & New Zealand Banking Group Ltd.

2,144,596

50,477,324

Bendigo & Adelaide Bank Ltd.

305,567

2,532,808

BHP Billiton Ltd.

2,613,123

101,154,070

Boral Ltd.

586,891

2,769,022

Brambles Ltd.

1,193,205

9,263,390

Caltex Australia Ltd.

121,896

1,798,557

Campbell Brothers Ltd.

52,700

3,354,446

CFS Retail Property Trust

1,546,561

2,951,912

Coca-Cola Amatil Ltd.

458,484

5,899,589

Cochlear Ltd.

45,259

2,966,714

Commonwealth Bank of Australia

1,282,899

67,998,508

Computershare Ltd.

375,455

3,116,127

Crown Ltd.

366,535

3,301,498

CSL Ltd.

426,251

14,982,720

DEXUS Property Group unit

3,892,117

3,735,298

Echo Entertainment Group Ltd.

552,223

2,546,240

Fortescue Metals Group Ltd.

1,016,789

6,072,987

Goodman Group unit

5,661,423

4,188,813

Harvey Norman Holdings Ltd. (d)

432,111

959,140

Iluka Resources Ltd.

337,442

6,042,712

Incitec Pivot Ltd.

1,333,966

4,663,142

Insurance Australia Group Ltd.

1,661,116

5,895,821

John Fairfax Holdings Ltd. (d)

1,718,456

1,474,160

Leighton Holdings Ltd.

131,578

3,604,877

Lend Lease Group unit

442,695

3,555,517

Lynas Corp. Ltd. (a)(d)

1,520,309

1,988,877

Macquarie Group Ltd.

285,263

8,188,609

Metcash Ltd.

658,872

2,995,596

Mirvac Group unit

2,840,491

3,655,030

National Australia Bank Ltd.

1,778,647

45,144,446

Newcrest Mining Ltd.

623,849

22,403,245

Orica Ltd.

291,857

8,512,465

Origin Energy Ltd.

856,810

12,504,288

OZ Minerals Ltd.

265,406

3,116,314

Qantas Airways Ltd. (a)

867,378

1,609,055

QBE Insurance Group Ltd.

876,505

10,949,559

QR National Ltd.

1,399,535

5,867,821

Ramsay Health Care Ltd.

107,298

2,111,271

Rio Tinto Ltd.

360,030

26,039,758

Santos Ltd.

757,894

11,718,986

Sims Metal Management Ltd.

145,921

2,394,977

Sonic Healthcare Ltd.

296,784

3,831,627

SP AusNet unit

1,228,372

1,310,597

Stockland Corp. Ltd. unit

1,925,631

6,545,588

 

Shares

Value

Suncorp-Metway Ltd.

1,033,217

$ 9,062,774

Sydney Airport unit

350,832

985,637

Tabcorp Holdings Ltd.

594,708

1,740,936

Tattersall's Ltd.

1,122,224

2,863,999

Telstra Corp. Ltd.

3,513,293

12,432,103

The GPT Group unit

1,409,597

4,715,914

Toll Holdings Ltd.

533,557

3,243,995

Transurban Group unit

1,072,984

6,443,140

Wesfarmers Ltd.

820,358

25,598,394

Westfield Group unit

1,783,515

16,810,551

Westfield Retail Trust unit

2,332,217

6,277,099

Westpac Banking Corp.

2,468,258

55,316,303

Woodside Petroleum Ltd.

525,182

20,971,805

Woolworths Ltd.

998,190

27,090,790

WorleyParsons Ltd.

155,118

4,885,201

TOTAL AUSTRALIA

732,115,851

Austria - 0.2%

Erste Bank AG

157,204

3,944,561

IMMOEAST AG (a)(d)

321,410

4

IMMOFINANZ Immobilien Anlagen AG

804,922

2,816,977

OMV AG

133,721

4,975,537

Osterreichische Elektrizitatswirtschafts AG

56,769

1,591,206

Raiffeisen International Bank-Holding AG (d)

36,806

1,332,961

Telekom Austria AG

266,314

3,099,744

Vienna Insurance Group AG Wien

27,914

1,232,378

Voestalpine AG

89,891

3,186,023

TOTAL AUSTRIA

22,179,391

Bailiwick of Guernsey - 0.1%

Resolution Ltd.

1,185,168

5,071,633

Bailiwick of Jersey - 0.8%

Experian PLC

816,086

12,274,761

Glencore International PLC (d)

1,109,592

7,625,400

Petrofac Ltd.

208,212

5,269,768

Randgold Resources Ltd.

74,284

8,507,192

Shire PLC

453,238

15,806,378

Wolseley PLC

230,059

8,915,221

WPP PLC

1,012,710

12,944,538

TOTAL BAILIWICK OF JERSEY

71,343,258

Belgium - 1.0%

Ageas

1,767,040

3,752,357

Anheuser-Busch InBev SA NV

659,126

44,277,563

Bekaert SA (d)

30,019

1,003,582

Belgacom SA

128,721

4,097,565

Colruyt NV

64,087

2,511,783

Delhaize Group SA

85,226

4,684,013

Groupe Bruxelles Lambert SA

65,629

4,929,357

Groupe Bruxelles Lambert SA (strip VVPR) (a)

2,466

13

KBC Groupe SA

134,595

3,179,121

Common Stocks - continued

Shares

Value

Belgium - continued

Mobistar SA

25,921

$ 1,241,596

Solvay SA Class A

47,640

5,861,721

UCB SA

83,158

3,357,835

Umicore SA

94,933

4,938,643

TOTAL BELGIUM

83,835,149

Bermuda - 0.5%

Cheung Kong Infrastructure Holdings Ltd. 

386,450

2,272,034

First Pacific Co. Ltd.

1,620,000

1,819,239

Kerry Properties Ltd.

563,181

2,672,098

Li & Fung Ltd.

4,663,246

10,702,000

Noble Group Ltd.

3,071,890

3,487,853

NWS Holdings Ltd.

1,012,869

1,679,387

Orient Overseas International Ltd.

202,400

1,392,200

Seadrill Ltd. (d)

266,092

11,028,561

Shangri-La Asia Ltd.

1,103,380

2,759,837

Yue Yuen Industrial (Holdings) Ltd.

579,000

1,993,180

TOTAL BERMUDA

39,806,389

Cayman Islands - 0.2%

ASM Pacific Technology Ltd.

167,929

2,366,478

Foxconn International Holdings Ltd. (a)

1,765,000

1,240,217

Lifestyle International Holdings Ltd.

462,500

1,267,148

Sands China Ltd.

1,942,000

7,298,681

Wynn Macau Ltd.

1,242,800

3,276,809

TOTAL CAYMAN ISLANDS

15,449,333

Denmark - 1.1%

A.P. Moller - Maersk A/S:

Series A

466

3,583,780

Series B

1,049

8,458,313

Carlsberg A/S Series B

86,507

6,809,390

Coloplast A/S Series B

18,560

3,052,927

Danske Bank A/S (a)

523,206

9,421,814

DSV de Sammensluttede Vognmaend A/S

170,913

3,981,202

Novo Nordisk A/S Series B

344,786

48,327,013

Novozymes A/S Series B

185,268

5,510,668

TDC A/S

395,803

3,136,836

Tryg A/S

21,257

1,138,856

Vestas Wind Systems A/S (a)(d)

170,541

1,754,028

William Demant Holding A/S (a)(d)

19,685

1,827,094

TOTAL DENMARK

97,001,921

Finland - 0.8%

Elisa Corp. (A Shares)

115,880

2,638,275

Fortum Corp.

356,751

8,863,668

Kesko Oyj

53,126

1,785,640

Kone Oyj (B Shares) (d)

123,476

7,334,820

Metso Corp.

102,252

4,856,247

Neste Oil Oyj

95,349

1,174,336

Nokia Corp.

3,066,056

16,112,236

 

Shares

Value

Nokian Tyres PLC

89,422

$ 3,968,153

Orion Oyj (B Shares) (d)

76,922

1,657,029

Pohjola Bank PLC (A Shares)

107,193

1,238,812

Sampo OYJ (A Shares)

344,414

9,704,219

Sanoma-WSOY Oyj (d)

63,593

831,513

Stora Enso Oyj (R Shares)

458,791

3,444,120

UPM-Kymmene Corp.

425,003

5,860,056

Wartsila Corp.

134,351

4,624,905

TOTAL FINLAND

74,094,029

France - 8.4%

Accor SA

116,249

4,088,487

Aeroports de Paris

27,142

2,144,203

Air Liquide SA

8,815

1,145,328

Air Liquide SA (a)

72,885

9,469,909

Air Liquide SA

12,827

1,666,605

Alcatel-Lucent SA (a)(d)

1,905,603

4,747,177

Alstom SA

166,083

7,155,412

Arkema SA

45,926

4,208,140

Atos Origin SA

41,626

2,369,002

AXA SA

1,418,525

22,875,533

BIC SA

22,638

2,276,050

BNP Paribas SA

786,437

38,382,173

Bouygues SA

157,964

5,025,299

Bureau Veritas SA

42,688

3,526,444

Cap Gemini SA

122,051

5,377,061

Carrefour SA

468,161

11,737,735

Casino Guichard Perrachon SA

45,506

4,432,761

Christian Dior SA

43,741

6,785,747

CNP Assurances

125,357

1,806,946

Compagnie de St. Gobain

325,112

15,436,190

Compagnie Generale de Geophysique SA (a)

119,410

3,652,566

Credit Agricole SA

814,675

5,217,085

Danone

475,305

32,153,963

Dassault Systemes SA

49,167

4,081,977

Edenred

128,871

3,438,789

EDF SA

6,839

170,511

EDF SA

186,140

4,640,865

Eiffage SA

31,432

1,250,768

Essilor International SA

163,110

12,985,558

Eurazeo SA

26,097

1,235,946

Eutelsat Communications

107,656

4,014,307

Fonciere Des Regions (d)

21,563

1,563,281

France Telecom SA

1,498,025

22,839,340

GDF Suez

1,008,641

26,162,064

Gecina SA

18,921

1,816,889

Groupe Eurotunnel SA

436,310

3,785,114

ICADE

17,488

1,448,872

Iliad SA

16,487

2,186,514

Imerys

27,805

1,680,587

JC Decaux SA (a)

52,245

1,449,784

Klepierre SA

80,441

2,554,778

L'Oreal SA (a)

179,277

20,446,478

Common Stocks - continued

Shares

Value

France - continued

L'Oreal SA

17,567

$ 2,003,510

Lafarge SA (a)

71,536

3,326,932

Lafarge SA (a)

71,270

3,314,561

Lafarge SA

16,709

777,087

Lafarge SA (Bearer)

5,424

252,255

Lagardere S.C.A. (Reg.)

93,992

2,814,859

Legrand SA

180,374

6,548,018

LVMH Moet Hennessy - Louis Vuitton SA

206,511

34,746,893

Michelin CGDE Series B

147,193

10,149,645

Natixis SA

757,338

2,737,215

Neopost SA

26,794

1,833,294

Pernod Ricard SA

160,355

16,590,112

Peugeot Citroen SA (d)

124,412

2,493,583

PPR SA

61,257

10,412,999

Publicis Groupe SA

115,735

6,331,491

Renault SA

158,268

8,378,966

Safran SA

134,341

4,501,967

Sanofi SA

930,372

68,817,089

Schneider Electric SA

398,365

27,071,102

SCOR SE

139,261

3,685,424

Societe Generale Series A

533,669

17,240,631

Sodexo SA

74,845

5,760,161

Suez Environnement SA

232,149

3,398,865

Technip SA

80,370

8,772,156

Television Francaise 1 SA

94,412

1,128,208

Thales SA

83,415

3,010,944

Total SA

1,727,090

96,607,118

Total SA (strip VVPR) (a)

3,096

4

Unibail-Rodamco

74,181

14,329,470

Vallourec SA

91,718

6,457,568

Veolia Environnement

292,440

3,555,245

VINCI SA

370,184

19,275,124

Vivendi

1,009,357

21,676,006

Wendel SA

26,649

2,245,134

TOTAL FRANCE

733,675,874

Germany - 7.7%

adidas AG

170,489

13,395,859

Allianz AG

373,395

45,281,674

Axel Springer Verlag

35,579

1,697,098

BASF AG

747,765

65,647,770

Bayer AG

673,634

49,806,545

Bayerische Motoren Werke AG (BMW)

268,677

24,851,184

Beiersdorf AG

82,406

5,160,818

Brenntag AG

37,743

4,399,607

Celesio AG

70,608

1,307,489

Commerzbank AG (a)(d)

2,867,440

7,204,527

Continental AG

64,837

5,902,062

Daimler AG (Germany)

744,909

45,048,535

Deutsche Bank AG

757,553

35,348,047

Deutsche Boerse AG

157,925

10,470,995

Deutsche Lufthansa AG

178,059

2,471,730

 

Shares

Value

Deutsche Post AG

681,678

$ 11,973,713

Deutsche Telekom AG

2,269,214

26,481,891

E.ON AG

1,467,337

33,749,387

Fraport AG Frankfurt Airport Services Worldwide

32,507

1,999,213

Fresenius Medical Care AG & Co. KGaA

168,285

11,804,864

Fresenius SE

92,002

9,511,049

GEA Group AG

142,095

4,800,622

Hannover Rueckversicherungs AG

53,278

2,957,255

HeidelbergCement Finance AG

114,050

6,139,791

HeidelbergCement Finance AG (strip VVPR) (a)

239

0

Henkel AG & Co. KGaA

102,865

5,613,711

Hochtief AG

33,381

2,330,682

Infineon Technologies AG

896,593

9,067,003

K&S AG

139,524

6,965,623

Kabel Deutschland Holding AG (a)

74,560

4,476,750

Lanxess AG

67,950

5,078,340

Linde AG

137,122

22,797,706

MAN SE

50,735

5,846,463

Merck KGaA

52,117

5,388,483

Metro AG

104,409

4,133,864

Munich Re Group

147,838

21,556,154

RWE AG

396,257

18,053,960

Salzgitter AG

31,967

1,956,421

SAP AG

746,961

50,425,849

Siemens AG

667,473

66,519,200

Suedzucker AG (Bearer)

56,884

1,647,855

Thyssenkrupp AG

312,112

8,421,940

United Internet AG

89,235

1,722,555

Volkswagen AG

22,950

3,889,012

Wacker Chemie AG (d)

12,121

1,196,537

TOTAL GERMANY

674,499,833

Greece - 0.1%

Coca-Cola Hellenic Bottling Co. SA

144,036

2,705,575

Greek Organization of Football Prognostics SA

177,408

1,583,498

Hellenic Telecommunications Organization SA

172,803

547,895

National Bank of Greece SA (a)

819,089

2,524,812

TOTAL GREECE

7,361,780

Hong Kong - 2.5%

AIA Group Ltd.

6,816,800

25,839,522

Bank of East Asia Ltd.

1,255,534

5,058,655

BOC Hong Kong (Holdings) Ltd.

3,026,066

8,485,829

Cathay Pacific Airways Ltd.

899,327

1,785,644

Cheung Kong Holdings Ltd.

1,191,449

17,419,878

CLP Holdings Ltd.

1,570,157

13,867,247

Galaxy Entertainment Group Ltd. (a)

1,073,000

2,650,647

Hang Lung Group Ltd.

701,000

4,754,013

Hang Lung Properties Ltd.

1,981,423

7,497,939

Hang Seng Bank Ltd.

631,801

8,846,403

Henderson Land Development Co. Ltd.

855,319

5,370,487

Common Stocks - continued

Shares

Value

Hong Kong - continued

HKT Trust / HKT Ltd. unit

67,369

$ 48,554

Hong Kong & China Gas Co. Ltd.

3,863,523

9,862,915

Hong Kong Exchanges and Clearing Ltd.

833,598

15,541,093

Hopewell Holdings Ltd.

460,500

1,404,163

Hutchison Whampoa Ltd.

1,723,158

17,129,161

Hysan Development Co. Ltd.

519,044

2,265,267

Link (REIT)

1,844,950

6,922,041

MTR Corp. Ltd.

1,148,451

4,086,751

New World Development Co. Ltd.

3,028,600

4,170,324

PCCW Ltd.

3,399,000

1,257,737

Power Assets Holdings Ltd.

1,136,176

8,510,956

Sino Land Ltd.

2,338,689

4,173,161

SJM Holdings Ltd.

1,369,000

2,866,461

Sun Hung Kai Properties Ltd.

1,170,685

18,021,917

Swire Pacific Ltd. (A Shares)

583,884

6,639,751

Wharf Holdings Ltd.

1,253,585

7,846,927

Wheelock and Co. Ltd.

719,000

2,470,488

Wing Hang Bank Ltd.

147,842

1,403,871

TOTAL HONG KONG

216,197,802

Ireland - 0.3%

CRH PLC

580,352

12,326,321

Elan Corp. PLC (a)

400,037

4,995,479

Irish Bank Resolution Corp. Ltd. (a)

331,052

4

James Hardie Industries NV CDI

363,696

2,858,636

Kerry Group PLC Class A

114,196

4,868,221

Ryanair Holdings PLC (a)

262,563

1,431,166

TOTAL IRELAND

26,479,827

Isle of Man - 0.1%

Genting Singapore PLC (a)

4,863,859

6,280,840

Israel - 0.6%

Bank Hapoalim BM (Reg.)

834,048

2,701,075

Bank Leumi le-Israel BM

948,255

2,747,548

Bezeq Israeli Telecommunication Corp. Ltd.

1,399,043

2,311,642

Cellcom Israel Ltd.

4,000

53,400

Cellcom Israel Ltd. (Israel)

40,444

548,292

Delek Group Ltd.

3,490

630,628

Elbit Systems Ltd. (Israel)

19,780

725,291

Israel Chemicals Ltd.

355,747

3,771,336

Israel Corp. Ltd. (Class A)

1,890

1,134,220

Israel Discount Bank Ltd. (Class A) (a)

632,458

794,544

Mizrahi Tefahot Bank Ltd.

97,754

771,416

NICE Systems Ltd. (a)

48,532

1,652,522

Partner Communications Co. Ltd.

65,841

483,618

Teva Pharmaceutical Industries Ltd.

747,031

33,402,918

Teva Pharmaceutical Industries Ltd. sponsored ADR

20,000

896,200

TOTAL ISRAEL

52,624,650

Italy - 2.2%

A2A SpA

945,335

951,458

 

Shares

Value

Assicurazioni Generali SpA

949,546

$ 15,293,671

Atlantia SpA

252,906

4,235,102

Autogrill SpA

85,034

863,211

Banca Carige SpA (d)

483,085

741,388

Banca Monte dei Paschi di Siena SpA (d)

3,895,538

2,081,044

Banco Popolare Societa Cooperativa (d)

1,376,567

2,530,730

Enel Green Power SpA

1,403,128

2,762,747

Enel SpA

5,373,688

21,562,387

ENI SpA

1,980,868

45,555,270

EXOR SpA

50,843

1,278,123

Fiat Industrial SpA (a)

616,828

6,573,906

Fiat SpA (d)

616,656

3,566,993

Finmeccanica SpA (d)

349,144

1,766,562

Intesa Sanpaolo SpA

8,185,930

15,932,637

Intesa Sanpaolo SpA (Risparmio Shares)

778,148

1,245,015

Luxottica Group SpA

89,919

3,216,317

Mediaset SpA

546,805

1,620,081

Mediobanca SpA

409,666

2,668,752

Pirelli & C SpA

210,206

2,189,885

Prysmian SpA

159,461

2,753,144

Saipem SpA

213,492

10,799,201

Snam Rete Gas SpA

1,301,101

6,298,909

Telecom Italia SpA

7,536,734

8,657,297

Terna SpA

982,545

3,701,701

UniCredit SpA

3,275,150

17,042,483

Unione di Banche Italiane SCPA (d)

636,324

2,948,338

TOTAL ITALY

188,836,352

Japan - 20.9%

ABC-Mart, Inc.

22,100

778,305

Advantest Corp.

117,990

1,663,282

Aeon Co. Ltd.

491,300

6,236,812

Aeon Credit Service Co. Ltd.

69,400

1,002,222

Aeon Mall Co. Ltd.

64,300

1,437,150

Air Water, Inc.

117,000

1,521,238

Aisin Seiki Co. Ltd.

155,000

5,456,793

Ajinomoto Co., Inc.

532,866

6,279,422

Alfresa Holdings Corp.

33,700

1,481,979

All Nippon Airways Ltd.

612,000

1,874,507

Amada Co. Ltd.

303,000

2,128,212

Aozora Bank Ltd.

487,000

1,407,774

Asahi Glass Co. Ltd.

858,677

7,710,612

Asahi Group Holdings

312,603

6,836,929

Asahi Kasei Corp.

1,006,727

6,377,568

Asics Corp.

125,300

1,476,566

Astellas Pharma, Inc.

355,700

14,613,913

Bank of Kyoto Ltd.

262,000

2,307,547

Bank of Yokohama Ltd.

1,008,084

4,860,926

Benesse Holdings, Inc.

54,900

2,518,937

Bridgestone Corp.

528,179

12,708,262

Brother Industries Ltd.

196,000

2,533,932

Canon, Inc.

919,444

41,927,048

Casio Computer Co. Ltd. (d)

198,100

1,362,174

Central Japan Railway Co.

1,205

9,886,648

Common Stocks - continued

Shares

Value

Japan - continued

Chiba Bank Ltd.

639,674

$ 4,044,436

Chiyoda Corp.

136,000

1,743,182

Chubu Electric Power Co., Inc.

550,564

10,097,681

Chugai Pharmaceutical Co. Ltd.

169,325

2,770,186

Chugoku Electric Power Co., Inc.(THE)

242,000

4,387,822

Citizen Holdings Co. Ltd.

222,566

1,374,354

Coca-Cola West Co. Ltd.

47,600

809,191

Cosmo Oil Co. Ltd.

473,000

1,378,941

Credit Saison Co. Ltd.

119,252

2,379,319

Dai Nippon Printing Co. Ltd.

464,242

4,779,760

Dai-ichi Mutual Life Insurance Co.

7,396

9,716,377

Daicel Chemical Industries Ltd.

240,000

1,564,672

Daido Steel Co. Ltd.

236,000

1,556,012

Daihatsu Motor Co. Ltd.

161,000

3,085,528

Daiichi Sankyo Kabushiki Kaisha

536,970

9,861,569

Daikin Industries Ltd.

189,394

5,614,608

Dainippon Sumitomo Pharma Co. Ltd.

141,800

1,470,415

Daito Trust Construction Co. Ltd.

58,863

5,184,318

Daiwa House Industry Co. Ltd.

382,184

4,931,558

Daiwa Securities Group, Inc.

1,331,985

5,521,606

DeNA Co. Ltd.

80,000

2,602,866

Denki Kagaku Kogyo KK

363,358

1,457,097

Denso Corp.

387,938

12,822,307

Dentsu, Inc.

146,200

4,540,931

East Japan Railway Co.

272,300

17,451,049

Eisai Co. Ltd.

201,878

8,169,982

Electric Power Development Co. Ltd.

97,280

2,485,400

FamilyMart Co. Ltd.

54,000

2,105,665

Fanuc Corp.

156,272

28,315,230

Fast Retailing Co. Ltd.

42,800

8,860,619

Fuji Electric Co. Ltd.

487,153

1,264,399

Fuji Heavy Industries Ltd.

487,000

3,678,185

Fujifilm Holdings Corp.

381,605

9,655,717

Fujitsu Ltd.

1,500,075

8,137,439

Fukuoka Financial Group, Inc.

626,300

2,727,231

Furukawa Electric Co. Ltd.

533,790

1,556,163

GREE, Inc. (d)

76,000

2,376,432

GS Yuasa Corp. (d)

301,000

1,621,723

Gunma Bank Ltd.

320,663

1,727,663

Hakuhodo DY Holdings, Inc.

17,940

1,093,458

Hamamatsu Photonics KK

53,700

1,912,974

Hino Motors Ltd.

228,000

1,621,059

Hirose Electric Co. Ltd.

27,198

2,793,570

Hiroshima Bank Ltd.

389,000

1,789,606

Hisamitsu Pharmaceutical Co., Inc.

50,700

2,288,812

Hitachi Chemical Co. Ltd.

87,300

1,611,874

Hitachi Construction Machinery Co. Ltd. (d)

86,800

1,814,050

Hitachi High-Technologies Corp.

57,700

1,320,155

Hitachi Ltd.

3,691,271

21,656,777

Hitachi Metals Ltd.

143,000

1,787,170

Hokkaido Electric Power Co., Inc.

151,000

2,230,777

 

Shares

Value

Hokuhoku Financial Group, Inc.

1,002,715

$ 1,936,481

Hokuriku Electric Power Co., Inc.

137,700

2,562,767

Honda Motor Co. Ltd.

1,327,660

50,989,356

Hoya Corp.

350,616

8,159,979

Ibiden Co. Ltd.

100,500

2,419,319

Idemitsu Kosan Co. Ltd.

17,400

1,793,616

INPEX Corp.

1,789

12,697,620

Isetan Mitsukoshi Holdings Ltd.

301,987

3,398,956

Ishikawajima-Harima Heavy Industries Co. Ltd.

1,095,185

2,775,178

Isuzu Motors Ltd.

984,000

5,543,662

Itochu Corp.

1,215,486

13,830,181

ITOCHU Techno-Solutions Corp.

23,600

1,050,889

Iyo Bank Ltd.

194,000

1,758,755

J Front Retailing Co. Ltd.

376,800

1,900,338

Japan Petroleum Exploration Co. Ltd.

28,300

1,373,313

Japan Prime Realty Investment Corp.

519

1,373,871

Japan Real Estate Investment Corp.

426

3,762,446

Japan Retail Fund Investment Corp.

1,497

2,241,035

Japan Steel Works Ltd.

257,000

1,903,118

Japan Tobacco, Inc.

3,679

19,550,133

JFE Holdings, Inc.

380,875

8,203,606

JGC Corp.

165,117

4,779,142

Joyo Bank Ltd.

529,941

2,392,378

JS Group Corp.

211,859

4,430,289

JSR Corp.

141,716

2,975,696

JTEKT Corp.

185,700

2,096,963

Jupiter Telecommunications Co.

1,847

1,799,402

JX Holdings, Inc.

1,824,968

11,448,843

Kajima Corp.

690,317

2,131,368

Kamigumi Co. Ltd.

210,663

1,808,756

Kaneka Corp.

216,559

1,244,026

Kansai Electric Power Co., Inc.

607,136

10,052,341

Kansai Paint Co. Ltd.

167,000

1,577,662

Kao Corp.

422,750

10,811,210

Kawasaki Heavy Industries Ltd.

1,171,945

3,676,069

Kawasaki Kisen Kaisha Ltd. (d)

533,000

1,121,139

KDDI Corp.

2,353

14,935,089

Keihin Electric Express Railway Co. Ltd.

378,061

3,366,950

Keio Corp.

466,410

3,350,556

Keisei Electric Railway Co.

224,000

1,644,972

Keyence Corp.

33,420

8,764,554

Kikkoman Corp.

135,849

1,497,272

Kinden Corp.

102,000

806,766

Kintetsu Corp. (d)

1,317,100

5,022,462

Kirin Holdings Co. Ltd.

654,256

7,693,816

Kobe Steel Ltd.

2,026,000

3,513,943

Koito Manufacturing Co. Ltd.

79,000

1,353,675

Komatsu Ltd.

764,645

22,780,863

Konami Corp.

78,100

2,146,201

Konica Minolta Holdings, Inc.

394,500

3,328,950

Kubota Corp.

1,028,864

10,124,746

Kuraray Co. Ltd.

279,386

4,027,805

Common Stocks - continued

Shares

Value

Japan - continued

Kurita Water Industries Ltd.

89,300

$ 2,294,701

Kyocera Corp.

123,402

10,914,083

Kyowa Hakko Kirin Co., Ltd.

210,689

2,249,561

Kyushu Electric Power Co., Inc.

328,270

4,825,422

Lawson, Inc.

50,516

2,970,250

Mabuchi Motor Co. Ltd.

20,821

968,121

Makita Corp.

91,700

3,812,609

Marubeni Corp.

1,342,244

9,592,765

Marui Group Co. Ltd.

181,649

1,479,201

Maruichi Steel Tube Ltd.

41,800

931,688

Mazda Motor Corp. (a)(d)

1,363,000

2,246,657

McDonald's Holdings Co. (Japan) Ltd.

48,900

1,274,606

Medipal Holdings Corp.

118,000

1,418,119

Meiji Holdings Co. Ltd.

54,229

2,298,037

Miraca Holdings, Inc.

44,500

1,699,643

Mitsubishi Chemical Holdings Corp.

1,097,275

6,316,806

Mitsubishi Corp.

1,129,702

27,667,591

Mitsubishi Electric Corp.

1,547,106

13,873,428

Mitsubishi Estate Co. Ltd.

1,017,723

18,402,766

Mitsubishi Gas Chemical Co., Inc.

312,867

1,985,846

Mitsubishi Heavy Industries Ltd.

2,441,256

11,441,277

Mitsubishi Logistics Corp.

99,000

1,160,551

Mitsubishi Materials Corp.

936,937

3,019,589

Mitsubishi Motors Corp. of Japan (a)(d)

3,161,000

3,771,659

Mitsubishi Tanabe Pharma Corp.

172,500

2,355,311

Mitsubishi UFJ Financial Group, Inc.

10,363,630

53,557,142

Mitsubishi UFJ Lease & Finance Co. Ltd.

47,720

2,036,883

Mitsui & Co. Ltd.

1,415,423

24,357,917

Mitsui Chemicals, Inc.

650,683

2,225,105

Mitsui Fudosan Co. Ltd.

684,677

12,986,924

Mitsui OSK Lines Ltd. (d)

939,285

4,274,992

Mizuho Financial Group, Inc.

18,453,700

31,016,132

MS&AD Insurance Group Holdings, Inc.

453,484

9,722,894

Murata Manufacturing Co. Ltd.

163,454

9,741,493

Nabtesco Corp.

82,300

1,917,414

Namco Bandai Holdings, Inc.

159,150

2,221,973

NEC Corp. (a)

2,115,951

4,138,461

NGK Insulators Ltd.

209,309

2,875,923

NGK Spark Plug Co. Ltd.

135,000

1,820,038

NHK Spring Co. Ltd.

119,900

1,235,946

Nidec Corp.

89,842

8,487,442

Nikon Corp.

275,638

7,462,689

Nintendo Co. Ltd.

80,096

11,823,015

Nippon Building Fund, Inc.

491

4,704,951

Nippon Electric Glass Co. Ltd.

328,000

3,066,363

Nippon Express Co. Ltd.

687,546

2,697,917

Nippon Meat Packers, Inc.

139,740

1,796,277

Nippon Paper Group, Inc. (d)

76,700

1,644,481

Nippon Sheet Glass Co. Ltd. (d)

700,000

1,171,044

Nippon Steel Corp. (d)

4,089,661

11,771,704

Nippon Telegraph & Telephone Corp.

383,600

18,055,856

Nippon Yusen KK

1,256,578

3,740,598

 

Shares

Value

Nishi-Nippon City Bank Ltd.

502,000

$ 1,426,435

Nissan Motor Co. Ltd.

2,045,348

20,932,771

Nisshin Seifun Group, Inc.

152,090

1,818,457

Nisshin Steel Co. Ltd.

565,000

973,000

Nissin Food Holdings Co. Ltd.

45,823

1,719,173

Nitori Holdings Co. Ltd.

29,300

2,476,056

Nitto Denko Corp.

133,194

5,472,267

NKSJ Holdings, Inc.

312,903

7,336,160

NOK Corp.

83,600

1,670,046

Nomura Holdings, Inc.

2,887,547

13,419,371

Nomura Real Estate Holdings, Inc.

73,400

1,271,262

Nomura Real Estate Office Fund, Inc. (a)

213

1,232,751

Nomura Research Institute Ltd.

84,700

2,013,963

NSK Ltd.

357,576

2,823,837

NTN Corp.

398,611

1,735,756

NTT Data Corp.

1,028

3,463,549

NTT DoCoMo, Inc.

12,169

20,755,758

NTT Urban Development Co.

844

676,903

Obayashi Corp.

548,704

2,477,082

Odakyu Electric Railway Co. Ltd.

491,000

4,686,832

Oji Paper Co. Ltd.

700,352

3,480,438

Olympus Corp.

179,929

3,007,854

Omron Corp.

162,960

3,608,193

Ono Pharmaceutical Co. Ltd.

66,500

3,631,958

Oracle Corp. Japan

29,300

1,055,658

Oriental Land Co. Ltd.

39,256

4,065,878

ORIX Corp.

85,388

8,224,221

Osaka Gas Co. Ltd.

1,538,525

5,904,666

Otsuka Corp.

13,500

999,693

Otsuka Holdings Co. Ltd.

201,600

5,661,514

Panasonic Corp.

1,769,873

16,679,206

Rakuten, Inc.

5,876

5,840,222

Resona Holdings, Inc.

1,529,800

7,320,158

Ricoh Co. Ltd.

538,770

4,950,627

Rinnai Corp.

27,200

1,974,045

ROHM Co. Ltd.

76,344

3,840,912

Sankyo Co. Ltd. (Gunma)

43,100

2,072,957

Sanrio Co. Ltd. (d)

36,000

1,472,415

Santen Pharmaceutical Co. Ltd.

58,500

2,313,519

SBI Holdings, Inc. Japan

20,126

1,943,405

Secom Co. Ltd.

172,067

8,159,399

Sega Sammy Holdings, Inc.

176,500

3,345,673

Seiko Epson Corp.

106,600

1,442,401

Sekisui Chemical Co. Ltd.

350,293

3,007,621

Sekisui House Ltd.

464,467

4,399,282

Seven & i Holdings Co., Ltd.

617,800

17,068,440

Seven Bank Ltd.

488,000

1,068,504

Sharp Corp.

800,675

5,633,632

Shikoku Electric Power Co., Inc.

149,300

4,110,135

Shimadzu Corp.

210,000

1,818,562

Shimamura Co. Ltd.

18,300

2,001,193

SHIMANO, Inc.

58,600

3,395,117

SHIMIZU Corp.

472,416

1,911,863

Shin-Etsu Chemical Co., Ltd.

337,962

18,104,737

Common Stocks - continued

Shares

Value

Japan - continued

Shinsei Bank Ltd.

1,073,000

$ 1,385,879

Shionogi & Co. Ltd.

235,891

3,264,375

Shiseido Co. Ltd.

290,350

5,039,472

Shizuoka Bank Ltd.

472,274

4,798,553

Showa Denko KK

1,227,336

2,777,906

Showa Shell Sekiyu KK

150,800

1,016,525

SMC Corp.

43,271

7,377,281

SOFTBANK CORP.

716,630

21,341,550

Sojitz Corp.

1,019,700

1,894,024

Sony Corp.

805,585

17,386,545

Sony Financial Holdings, Inc.

132,700

2,427,270

Square Enix Holdings Co. Ltd.

51,100

996,920

Stanley Electric Co. Ltd.

124,225

2,104,162

Sumco Corp. (a)(d)

92,300

992,314

Sumitomo Chemical Co. Ltd.

1,269,334

5,496,102

Sumitomo Corp.

907,842

13,456,543

Sumitomo Electric Industries Ltd.

620,606

8,069,138

Sumitomo Heavy Industries Ltd.

461,822

2,539,325

Sumitomo Metal Industries Ltd.

2,799,966

5,820,706

Sumitomo Metal Mining Co. Ltd.

422,065

6,256,084

Sumitomo Mitsui Financial Group, Inc.

1,097,200

37,237,408

Sumitomo Mitsui Trust Holdings, Inc.

2,517,722

8,733,595

Sumitomo Realty & Development Co. Ltd.

294,000

6,856,806

Sumitomo Rubber Industries Ltd.

136,500

1,717,689

Suzuken Co. Ltd.

59,860

1,763,512

Suzuki Motor Corp.

271,900

6,445,062

Sysmex Corp.

58,400

2,100,518

T&D Holdings, Inc.

463,500

5,410,684

Taisei Corp.

862,594

2,281,293

Taisho Pharmaceutical Holdings Co. Ltd. (a)

31,557

2,527,044

Taiyo Nippon Sanso Corp.

203,000

1,340,931

Takashimaya Co. Ltd.

239,000

1,831,564

Takeda Pharmaceutical Co. Ltd.

643,042

29,029,636

TDK Corp.

101,025

5,269,033

Teijin Ltd.

774,341

2,590,821

Terumo Corp.

135,712

6,535,611

The Chugoku Bank Ltd.

143,000

1,903,266

The Hachijuni Bank Ltd.

362,000

2,124,042

The Suruga Bank Ltd.

176,000

1,630,211

THK Co. Ltd.

100,900

2,136,034

Tobu Railway Co. Ltd.

829,297

4,315,058

Toho Co. Ltd.

87,654

1,549,404

Toho Gas Co. Ltd.

344,000

2,005,732

Tohoku Electric Power Co., Inc.

359,590

4,228,649

Tokio Marine Holdings, Inc.

590,800

16,315,223

Tokyo Electric Power Co. (a)

1,168,418

3,233,828

Tokyo Electron Ltd.

138,718

7,695,654

Tokyo Gas Co. Ltd.

2,013,395

9,188,383

Tokyu Corp.

922,954

4,439,080

Tokyu Land Corp.

342,000

1,644,898

TonenGeneral Sekiyu KK

234,856

2,172,480

 

Shares

Value

Toppan Printing Co. Ltd.

440,013

$ 3,458,618

Toray Industries, Inc.

1,180,883

8,395,970

Toshiba Corp.

3,242,880

14,200,939

Tosoh Corp.

421,816

1,240,101

Toto Ltd.

243,185

1,839,705

Toyo Seikan Kaisha Ltd.

124,100

1,818,108

Toyo Suisan Kaisha Ltd.

71,000

1,822,708

Toyoda Gosei Co. Ltd.

56,800

1,064,105

Toyota Boshoku Corp.

55,500

695,670

Toyota Industries Corp.

147,886

4,609,670

Toyota Motor Corp.

2,245,351

93,332,507

Toyota Tsusho Corp.

174,800

3,506,966

Trend Micro, Inc.

85,800

2,505,556

Tsumura & Co.

52,800

1,521,747

Ube Industries Ltd.

844,605

2,441,505

Unicharm Corp.

94,380

4,881,824

Ushio, Inc.

80,600

1,194,698

USS Co. Ltd.

17,940

1,756,595

West Japan Railway Co.

136,100

5,549,806

Yahoo! Japan Corp.

11,652

3,683,577

Yakult Honsha Co. Ltd.

78,166

2,415,315

Yamada Denki Co. Ltd.

67,285

4,361,793

Yamaguchi Financial Group, Inc.

163,000

1,487,742

Yamaha Corp.

125,043

1,195,134

Yamaha Motor Co. Ltd.

230,200

3,301,719

Yamato Holdings Co. Ltd.

323,232

5,097,281

Yamato Kogyo Co. Ltd.

39,700

1,249,186

Yamazaki Baking Co. Ltd.

95,000

1,278,430

Yaskawa Electric Corp.

174,000

1,669,475

Yokogawa Electric Corp. (a)

190,400

1,810,434

TOTAL JAPAN

1,823,563,291

Luxembourg - 0.5%

ArcelorMittal SA (Netherlands)

698,012

14,710,706

Millicom International Cellular SA (depositary receipt)

60,657

6,797,163

SES SA FDR (France) unit

247,161

5,961,395

Subsea 7 SA (a)

247,387

5,943,112

Tenaris SA

396,241

7,706,935

TOTAL LUXEMBOURG

41,119,311

Malta - 0.0%

BGP Holdings PLC (a)

5,796,476

77

Mauritius - 0.0%

Golden Agri-Resources Ltd.

5,598,680

3,267,930

Netherlands - 2.6%

AEGON NV (a)

1,419,004

7,425,756

Akzo Nobel NV

188,640

10,699,362

ASML Holding NV (Netherlands)

350,089

15,916,959

Corio NV

50,371

2,420,450

Delta Lloyd NV

83,533

1,549,611

European Aeronautic Defence and Space Co. EADS NV

331,301

12,033,658

Common Stocks - continued

Shares

Value

Netherlands - continued

Fugro NV (Certificaten Van Aandelen) unit

56,893

$ 4,177,702

Heineken Holding NV (A Shares)

93,571

4,175,952

Heineken NV (Bearer)

211,837

11,183,953

ING Groep NV (Certificaten Van Aandelen) (a)

3,107,277

27,381,240

Koninklijke Ahold NV

955,812

13,217,194

Koninklijke Boskalis Westminster NV

59,403

2,275,179

Koninklijke KPN NV

1,207,062

13,081,471

Koninklijke Philips Electronics NV

814,756

17,081,562

QIAGEN NV (a)

191,319

2,932,339

Randstad Holding NV

96,168

3,638,466

Reed Elsevier NV

557,435

6,878,842

Royal DSM NV

124,929

6,948,470

SBM Offshore NV

141,961

2,575,820

STMicroelectronics NV

519,313

3,848,401

TNT Express NV (d)

295,665

3,683,218

Unilever NV (Certificaten Van Aandelen) (Bearer)

1,344,017

44,685,569

Vopak NV

60,474

3,375,609

Wolters Kluwer NV (Certificaten Van Aandelen)

245,818

4,576,515

TOTAL NETHERLANDS

225,763,298

New Zealand - 0.1%

Auckland International Airport Ltd.

746,760

1,497,200

Contact Energy Ltd.

253,005

1,018,732

Fletcher Building Ltd.

568,086

3,097,245

Sky City Entertainment Group Ltd.

557,243

1,746,692

Telecom Corp. of New Zealand Ltd.

1,520,309

2,711,497

TOTAL NEW ZEALAND

10,071,366

Norway - 0.8%

Aker Solutions ASA

130,953

2,271,037

DnB NOR ASA

843,002

10,819,608

Gjensidige Forsikring ASA

168,569

2,017,274

Norsk Hydro ASA

728,329

4,377,517

Orkla ASA (A Shares)

618,294

5,140,699

StatoilHydro ASA

908,754

25,915,001

Telenor ASA

592,436

10,947,193

Yara International ASA

151,029

7,405,091

TOTAL NORWAY

68,893,420

Portugal - 0.2%

Banco Espirito Santo SA (Reg.) (d)

592,720

1,309,982

Cimpor-Cimentos de Portugal SGPS SA

163,860

1,110,900

Energias de Portugal SA

1,481,927

4,323,549

Galp Energia SGPS SA Class B

181,449

3,164,198

Jeronimo Martins SGPS SA (a)

174,636

3,224,530

Portugal Telecom SGPS SA (Reg.) (d)

520,490

2,683,942

TOTAL PORTUGAL

15,817,101

Singapore - 1.6%

Ascendas Real Estate Investment Trust

1,480,183

2,438,074

 

Shares

Value

CapitaLand Ltd.

2,041,437

$ 5,027,486

CapitaMall Trust

1,736,200

2,498,829

CapitaMalls Asia Ltd.

1,109,000

1,365,578

City Developments Ltd.

401,000

3,568,648

ComfortDelgro Corp. Ltd.

1,529,784

1,871,482

Cosco Corp. Singapore Ltd.

929,000

895,091

DBS Group Holdings Ltd.

1,405,911

15,962,848

Fraser & Neave Ltd.

733,150

3,921,779

Global Logistic Properties Ltd. (a)

1,517,000

2,644,273

Hutchison Port Holdings Trust

4,131,000

3,284,145

Jardine Cycle & Carriage Ltd.

90,267

3,449,294

Keppel Corp. Ltd.

1,133,400

10,014,049

Keppel Land Ltd.

596,000

1,629,809

Neptune Orient Lines Ltd.

1,052,750

1,127,961

Olam International Ltd.

1,164,700

2,216,436

Oversea-Chinese Banking Corp. Ltd.

2,107,793

15,134,515

SembCorp Industries Ltd.

839,130

3,549,352

SembCorp Marine Ltd.

695,800

2,976,476

Singapore Airlines Ltd.

427,425

3,766,220

Singapore Exchange Ltd.

687,000

3,960,557

Singapore Press Holdings Ltd.

1,216,021

3,685,059

Singapore Technologies Engineering Ltd.

1,225,161

3,115,190

Singapore Telecommunications Ltd.

6,394,827

16,208,853

StarHub Ltd.

501,000

1,177,740

United Overseas Bank Ltd.

1,029,829

14,863,002

UOL Group Ltd.

382,984

1,436,209

Wilmar International Ltd.

1,527,000

6,239,132

Yangzijiang Shipbuilding Holdings Ltd.

1,683,000

1,830,152

TOTAL SINGAPORE

139,858,239

Spain - 3.0%

Abertis Infraestructuras SA

309,894

5,294,683

Acerinox SA

79,322

1,132,284

Actividades de Construccion y Servicios SA (ACS) (d)

112,095

3,335,352

Amadeus IT Holding SA Class A

253,876

4,836,455

Banco Bilbao Vizcaya Argentaria SA

3,867,624

34,621,855

Banco de Sabadell SA (d)

1,090,129

3,529,016

Banco Popular Espanol SA (d)

840,855

3,451,296

Banco Santander SA (Spain)

6,984,813

57,813,609

Bankia SA (d)

698,556

2,825,351

Bankinter SA (d)

172,053

1,063,530

Cintra Concesiones de Infrastructuras de Transporte SA

331,714

4,198,139

Criteria CaixaCorp SA

577,854

2,725,922

Distribuidora Internacional de Alimentacion SA (a)

495,484

2,422,507

EDP Renovaveis SA (a)

164,836

858,615

Enagas SA

138,798

2,846,639

Fomento Construcciones y Contratas SA (FOCSA) (d)

43,595

1,104,629

Gas Natural SDG SA

278,508

4,712,060

Grifols SA (a)(d)

113,065

2,349,753

Grupo Acciona SA

20,633

1,623,124

Common Stocks - continued

Shares

Value

Spain - continued

Iberdrola SA

3,115,087

$ 18,433,940

Inditex SA

174,589

16,120,637

Indra Sistemas (d)

87,446

1,111,834

International Consolidated Airlines Group SA CDI (a)

781,207

2,040,586

MAPFRE SA (Reg.)

647,428

2,226,122

Red Electrica Corporacion SA

88,836

4,484,772

Repsol YPF SA

648,692

16,912,149

Telefonica SA

3,316,711

56,443,072

Zardoya Otis SA

118,140

1,592,747

TOTAL SPAIN

260,110,678

Sweden - 3.1%

Alfa Laval AB

271,007

5,565,902

ASSA ABLOY AB (B Shares)

250,701

7,615,312

Atlas Copco AB:

(A Shares)

539,550

14,073,693

(B Shares)

313,958

7,278,343

Boliden AB

233,547

4,090,659

Electrolux AB (B Shares)

222,944

4,895,499

Getinge AB (B Shares)

162,614

4,647,132

H&M Hennes & Mauritz AB (B Shares)

821,192

29,511,558

Hexagon AB (B Shares)

205,827

4,137,039

Holmen AB (B Shares)

42,486

1,234,056

Husqvarna AB (B Shares)

388,141

2,335,750

Industrivarden AB Series C

92,632

1,396,399

Investment AB Kinnevik

168,184

3,832,848

Investor AB (B Shares)

369,877

8,233,712

Lundin Petroleum AB (a)

183,500

4,281,727

Modern Times Group MTG AB (B Shares)

39,453

1,929,408

Nordea Bank AB

2,135,498

20,589,957

Ratos AB (B Shares)

158,838

2,057,173

Sandvik AB

817,775

12,494,549

Scania AB (B Shares)

255,963

5,129,279

Securitas AB (B Shares)

258,383

2,483,457

Skandinaviska Enskilda Banken AB (A Shares)

1,136,870

8,506,273

Skanska AB (B Shares)

329,711

6,014,178

SKF AB (B Shares)

314,243

7,945,059

SSAB Svenskt Stal AB (A Shares) (d)

135,516

1,420,276

Svenska Cellulosa AB (SCA) (B Shares)

467,856

8,357,286

Svenska Handelsbanken AB (A Shares)

395,774

13,290,059

Swedbank AB (A Shares)

658,052

11,257,507

Swedish Match Co. AB

169,807

6,484,797

Tele2 AB (B Shares)

258,470

5,261,545

Telefonaktiebolaget LM Ericsson (B Shares)

2,431,137

24,354,670

TeliaSonera AB

1,820,331

13,281,686

Volvo AB (B Shares)

1,176,739

17,169,910

TOTAL SWEDEN

271,156,698

Switzerland - 8.1%

ABB Ltd. (Reg.)

1,782,115

36,475,268

 

Shares

Value

Actelion Ltd.

93,651

$ 3,530,543

Adecco SA (Reg.)

109,330

5,478,583

Aryzta AG

75,307

3,737,052

Baloise Holdings AG

42,547

3,348,084

Barry Callebaut AG

1,450

1,419,872

Compagnie Financiere Richemont SA Series A

430,811

26,449,548

Credit Suisse Group

932,374

25,021,328

GAM Holding Ltd.

169,667

2,240,850

Geberit AG (Reg.)

33,390

7,166,598

Givaudan SA

7,026

6,635,408

Holcim Ltd. (Reg.)

201,801

13,158,995

Julius Baer Group Ltd.

172,991

6,777,775

Kuehne & Nagel International AG

47,305

6,226,819

Lindt & Spruengli AG

95

3,455,405

Lindt & Spruengli AG (participation certificate)

786

2,410,643

Lonza Group AG

42,250

2,195,151

Nestle SA

2,684,797

164,090,698

Novartis AG

1,892,178

103,124,070

Pargesa Holding SA

25,862

1,919,356

Partners Group Holding AG

11,200

2,085,765

Roche Holding AG (participation certificate)

569,823

99,190,012

Schindler Holding AG:

(participation certificate)

43,314

5,337,656

(Reg.)

19,170

2,330,570

SGS SA (Reg.)

4,533

8,491,860

Sika AG (Bearer)

1,692

3,683,952

Sonova Holding AG Class B

41,021

4,579,046

Straumann Holding AG

6,716

1,064,406

Sulzer AG (Reg.)

20,843

2,992,380

Swatch Group AG:

(Bearer)

24,722

11,207,962

(Reg.)

44,941

3,571,240

Swiss Life Holding AG

26,421

3,045,657

Swiss Re Ltd.

284,736

16,899,119

Swisscom AG

19,927

7,937,324

Syngenta AG (Switzerland)

77,162

25,184,687

Transocean Ltd. (Switzerland)

280,660

14,957,366

UBS AG (a)

2,943,476

41,217,735

Zurich Financial Services AG

119,808

30,163,862

TOTAL SWITZERLAND

708,802,645

United Kingdom - 21.2%

3I Group PLC

740,618

2,232,642

Admiral Group PLC

164,130

2,812,026

Aggreko PLC

219,169

7,715,714

AMEC PLC

269,611

4,743,603

Anglo American PLC (United Kingdom)

1,066,102

44,934,330

Antofagasta PLC

313,754

6,638,294

ARM Holdings PLC

1,089,167

9,818,018

Associated British Foods PLC

287,129

5,472,043

AstraZeneca PLC (United Kingdom)

1,093,364

48,922,382

Common Stocks - continued

Shares

Value

United Kingdom - continued

Aviva PLC

2,363,412

$ 13,830,317

Babcock International Group PLC

280,438

3,359,289

BAE Systems PLC

2,702,510

13,443,451

Balfour Beatty PLC

535,142

2,365,774

Barclays PLC

9,423,555

36,488,559

BG Group PLC

2,738,044

66,097,450

BHP Billiton PLC

1,711,603

55,354,419

BP PLC

15,433,943

120,756,710

British American Tobacco PLC (United Kingdom)

1,602,114

80,806,284

British Land Co. PLC

686,503

5,136,095

British Sky Broadcasting Group PLC

926,846

9,878,658

BT Group PLC

6,281,623

21,385,072

Bunzl PLC

266,917

4,084,763

Burberry Group PLC

365,904

8,218,971

Capita Group PLC

488,952

5,965,917

Capital Shopping Centres Group PLC

425,008

2,249,394

Carnival PLC

148,860

4,368,122

Centrica PLC

4,224,627

20,430,432

Cobham PLC

884,912

2,638,064

Compass Group PLC

1,516,174

15,195,157

Diageo PLC

2,030,296

48,472,850

Essar Energy PLC (a)

254,067

423,974

Eurasian Natural Resources Corp. PLC

198,850

2,215,896

Fresnillo PLC

140,712

4,257,525

G4S PLC (United Kingdom)

1,125,347

5,177,264

GKN PLC

1,213,991

4,225,503

GlaxoSmithKline PLC

4,109,110

90,796,758

Hammerson PLC

572,593

3,568,832

HSBC Holdings PLC (United Kingdom)

14,617,782

129,498,954

ICAP PLC

444,246

2,719,407

Imperial Tobacco Group PLC

816,687

32,362,715

Inmarsat PLC

348,656

2,660,063

InterContinental Hotel Group PLC

232,965

5,292,818

International Power PLC

1,252,250

6,890,602

Intertek Group PLC

127,533

4,696,660

Invensys PLC

628,501

2,080,624

Investec PLC

414,182

2,635,523

ITV PLC

2,957,511

4,043,783

J Sainsbury PLC

969,434

4,600,310

Johnson Matthey PLC

170,429

6,257,414

Kazakhmys PLC

179,153

3,160,612

Kingfisher PLC

1,920,650

8,683,362

Land Securities Group PLC

628,100

6,744,475

Legal & General Group PLC

4,706,485

9,044,388

Lloyds Banking Group PLC (a)

33,257,510

18,512,990

London Stock Exchange Group PLC

119,225

1,710,761

Lonmin PLC

121,156

2,125,867

Man Group PLC

1,564,544

3,257,940

Marks & Spencer Group PLC

1,279,633

7,389,374

Meggitt PLC

600,800

3,693,028

National Grid PLC

2,905,078

29,585,304

 

Shares

Value

Next PLC

141,023

$ 6,216,444

Old Mutual PLC

4,425,209

11,200,039

Pearson PLC

662,834

12,620,913

Prudential PLC

2,048,144

23,234,901

Reckitt Benckiser Group PLC

503,649

27,881,928

Reed Elsevier PLC

974,315

8,532,421

Rexam PLC

706,467

4,665,092

Rio Tinto PLC

1,129,448

64,068,870

Rolls-Royce Group PLC

1,508,127

19,528,906

Royal & Sun Alliance Insurance Group PLC

2,785,980

4,844,107

Royal Bank of Scotland Group PLC (a)

14,315,249

6,356,992

Royal Dutch Shell PLC:

Class A (Netherlands)

54,048

1,972,621

Class A (United Kingdom)

2,909,964

105,876,727

Class B

2,171,810

80,497,545

SABMiller PLC

772,802

31,318,288

Sage Group PLC

1,068,451

5,279,243

Schroders PLC

90,581

2,227,728

Scottish & Southern Energy PLC

760,073

15,597,701

Segro PLC

581,913

2,175,412

Serco Group PLC

383,152

3,382,826

Severn Trent PLC

193,432

4,846,458

Smith & Nephew PLC

721,053

7,080,164

Smiths Group PLC

311,943

5,399,080

Standard Chartered PLC (United Kingdom)

1,938,682

49,884,595

Standard Life PLC

1,861,931

6,886,557

Tate & Lyle PLC

355,571

3,945,355

Tesco PLC

6,467,380

32,521,342

The Weir Group PLC

169,523

5,679,402

TUI Travel PLC

417,156

1,313,951

Tullow Oil PLC

727,600

17,072,625

Unilever PLC

1,043,106

33,719,530

United Utilities Group PLC

560,070

5,448,216

Vedanta Resources PLC

98,910

2,265,783

Vodafone Group PLC

41,056,862

110,597,008

Whitbread PLC

139,577

3,768,003

WM Morrison Supermarkets PLC

1,793,168

8,272,458

Xstrata PLC

1,671,644

31,911,015

TOTAL UNITED KINGDOM

1,850,217,772

United States of America - 0.1%

Synthes, Inc.

54,883

9,498,981

TOTAL COMMON STOCKS

(Cost $9,211,297,963)


8,474,994,719

Nonconvertible Preferred Stocks - 0.8%

 

 

 

 

France - 0.2%

Air Liquide SA (a)

140,354

18,236,120

Nonconvertible Preferred Stocks - continued

Shares

Value

Germany - 0.5%

Bayerische Motoren Werke AG (BMW) (non-vtg.)

42,156

$ 2,499,692

Henkel AG & Co. KGaA

144,810

9,423,941

Porsche Automobil Holding SE (Germany)

124,413

8,099,032

ProSiebenSat.1 Media AG

64,324

1,671,431

RWE AG (non-vtg.) (d)

33,986

1,428,463

Volkswagen AG

115,669

21,627,127

TOTAL GERMANY

44,749,686

Italy - 0.1%

Telecom Italia SpA (Risparmio Shares)

4,892,596

4,607,285

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $53,337,942)


67,593,091

Government Obligations - 0.2%

 

Principal
Amount

 

United States of America - 0.2%

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 3/1/12 to 7/19/12 (e)
(Cost $17,997,967)

$ 18,000,000


17,996,840

Money Market Funds - 3.2%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

182,929,374

182,929,374

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

98,227,619

98,227,619

TOTAL MONEY MARKET FUNDS

(Cost $281,156,993)


281,156,993

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $9,563,790,865)

8,841,741,643

NET OTHER ASSETS (LIABILITIES) - (1.4)%

(122,141,676)

NET ASSETS - 100%

$ 8,719,599,967

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

91 CAC 40 Index Contracts (France)

March 2012

$ 4,183,654

$ 59,898

45 CME Nikkei 225 Index Contracts (Japan)

March 2012

2,699,889

10,413

17 DAX 100 Index Contracts (Germany)

March 2012

3,880,915

268,492

1,228 Euro Stoxx 50 Index Contracts

March 2012

41,062,134

1,015,731

518 FTSE 100 Index Contracts (United Kingdom)

March 2012

48,230,734

1,105,918

13 FTSE MIB Index Contracts (Italy)

March 2012

1,416,575

57,379

35 Hang Seng 100 Index Contracts (Hong Kong)

March 2012

4,884,865

61,896

10 IBEX 35 Index Contracts (Spain)

March 2012

1,125,642

(34,718)

75 MSCI Index Contracts (Singapore)

March 2012

4,170,231

38,996

30 NYSE E-mini MSCI EAFE Index Contracts

March 2012

2,341,050

(3,328)

392 OMX Stockholm 30 Index Contracts (Sweden)

March 2012

6,537,233

117,632

150 SFE SPI 200 Index Contracts (Australia)

March 2012

17,242,584

146,986

388 TOPIX Index Contracts (Japan)

March 2012

39,780,800

3,576,808

TOTAL EQUITY INDEX CONTRACTS

$ 177,556,306

$ 6,422,103

 

The face value of futures purchased as a percentage of net assets is 2%

Forward Foreign Currency Contracts

Settlement
Dates

Value

Unrealized
Appreciation/
(Depreciation)

Contracts to Buy

16,300,000 AUD

March 2012

$ 17,445,848

$ 423,830

39,500,000 EUR

March 2012

52,625,006

(321,605)

30,800,000 GBP

March 2012

48,991,089

541,913

3,460,000,000 JPY

March 2012

42,563,882

(2,219,991)

44,200,000 SEK

March 2012

6,675,365

122,434

 

$ 168,301,190

$ (1,453,419)

(Payable Amount $169,754,609)

The value of contracts to buy as a percentage of net assets is 2%

Currency Abbreviations

AUD

-

Australian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

SEK

-

Swedish krona

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $15,996,840.

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

$ 201,482

Fidelity Securities Lending Cash Central Fund

2,325,423

Total

$ 2,526,905

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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:

United Kingdom

$ 1,850,217,772

$ 690,302,944

$ 1,159,914,828

$ -

Japan

1,823,563,291

1,407,550,185

416,013,106

-

France

751,911,994

551,693,459

200,218,535

-

Australia

732,115,851

726,740,241

5,375,610

-

Germany

719,249,519

555,151,559

164,097,960

-

Switzerland

708,802,645

477,779,557

231,023,088

-

Sweden

271,156,698

246,802,028

24,354,670

-

Spain

260,110,678

111,232,142

148,878,536

-

Netherlands

225,763,298

109,423,811

116,339,487

-

Ireland

26,479,827

7,726,857

18,752,966

4

Austria

22,179,391

22,179,387

-

4

Malta

77

-

-

77

Other

1,151,036,769

871,885,202

279,151,567

-

Government Obligations

17,996,840

-

17,996,840

-

Money Market Funds

281,156,993

281,156,993

-

-

Total Investments in Securities:

$ 8,841,741,643

$ 6,059,624,365

$ 2,782,117,193

$ 85

Derivative Instruments:

Assets

Forward Foreign Currency Contracts

$ 1,088,177

$ -

$ 1,088,177

$ -

Futures Contracts

6,460,149

6,460,149

-

-

Total Assets

$ 7,548,326

$ 6,460,149

$ 1,088,177

$ -

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Liabilities

Forward Foreign Currency Contracts

$ (2,541,596)

$ -

$ (2,541,596)

$ -

Futures Contracts

(38,046)

(38,046)

-

-

Total Liabilities

$ (2,579,642)

$ (38,046)

$ (2,541,596)

$ -

Total Derivative Instruments:

$ 4,968,684

$ 6,422,103

$ (1,453,419)

$ -

During the period, transfers from Level 1 to Level 2 were $303,000,786 and transfers from Level 2 to Level 1 were $2,007,476,084.

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

Investments in Securities:

Beginning Balance

$ 101

Total Realized Gain (Loss)

-

Total Unrealized Gain (Loss)

(16)

Cost of Purchases

-

Proceeds of Sales

-

Amortization/Accretion

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ 85

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ (3)

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 February 29, 2012. 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 (b)

$ 6,460,149

$ (38,046)

Foreign Exchange Risk

Forward Foreign Currency Contracts (a)

1,088,177

(2,541,596)

Total Value of Derivatives

$ 7,548,326

$ (2,579,642)

(a) Value is disclosed net on the Statement of Assets and Liabilities as Unrealized depreciation on foreign currency contracts.

(b) 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.

Annual Report

Spartan International Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $92,600,800) - See accompanying schedule:

Unaffiliated issuers (cost $9,282,633,872)

$ 8,560,584,650

 

Fidelity Central Funds (cost $281,156,993)

281,156,993

 

Total Investments (cost $9,563,790,865)

 

$ 8,841,741,643

Cash

 

1

Foreign currency held at value (cost $6,578,643)

6,614,408

Receivable for investments sold

1,216,341

Receivable for closed foreign currency contracts

1,232,667

Receivable for fund shares sold

20,048,706

Dividends receivable

32,170,172

Distributions receivable from Fidelity Central Funds

133,392

Receivable from investment adviser for expense reductions

173,341

Other receivables

1,205

Total assets

8,903,331,876

 

 

 

Liabilities

Payable for investments purchased

$ 48,997,101

Unrealized depreciation on foreign currency contracts

1,453,419

Payable for fund shares redeemed

32,578,375

Accrued management fee

429,359

Payable for daily variation margin on futures contracts

1,286,325

Other affiliated payables

759,711

Collateral on securities loaned, at value

98,227,619

Total liabilities

183,731,909

 

 

 

Net Assets

$ 8,719,599,967

Net Assets consist of:

 

Paid in capital

$ 9,979,257,298

Undistributed net investment income

1,453,417

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

(543,902,718)

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

(717,208,030)

Net Assets

$ 8,719,599,967

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,424,238,829 ÷ 103,567,780 shares)

$ 33.06

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($3,476,600,390 ÷ 105,140,920 shares)

$ 33.07

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($860,659,433 ÷ 26,025,248 shares)

$ 33.07

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($958,101,315 ÷ 28,972,580 shares)

$ 33.07

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

Annual Report

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 337,501,551

Interest

 

28,717

Income from Fidelity Central Funds (including $2,325,423 from security lending)

 

2,526,905

Income before foreign taxes withheld

 

340,057,173

Less foreign taxes withheld

 

(24,728,802)

Total income

 

315,328,371

 

 

 

Expenses

Management fee

$ 10,464,002

Transfer agent fees

5,823,919

Independent trustees' compensation

51,909

Miscellaneous

26,667

Total expenses before reductions

16,366,497

Expense reductions

(8,094,991)

8,271,506

Net investment income (loss)

307,056,865

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

20,154,672

Redemption in-kind with affiliated entities

105,326,578

Foreign currency transactions

9,153,957

Futures contracts

(17,685,134)

Total net realized gain (loss)

 

116,950,073

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,197,524,991)

Assets and liabilities in foreign currencies

(9,841,497)

Futures contracts

(1,385,997)

Total change in net unrealized appreciation (depreciation)

 

(1,208,752,485)

Net gain (loss)

(1,091,802,412)

Net increase (decrease) in net assets resulting from operations

$ (784,745,547)

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 307,056,865

$ 242,540,306

Net realized gain (loss)

116,950,073

(69,459,920)

Change in net unrealized appreciation (depreciation)

(1,208,752,485)

1,498,330,917

Net increase (decrease) in net assets resulting from operations

(784,745,547)

1,671,411,303

Distributions to shareholders from net investment income

(282,810,129)

(211,805,947)

Distributions to shareholders from net realized gain

(5,246,083)

(7,823,964)

Total distributions

(288,056,212)

(219,629,911)

Share transactions - net increase (decrease)

(204,144,449)

876,645,901

Redemption fees

929,822

663,525

Total increase (decrease) in net assets

(1,276,016,386)

2,329,090,818

 

 

 

Net Assets

Beginning of period

9,995,616,353

7,666,525,535

End of period (including undistributed net investment income of $1,453,417 and undistributed net investment income of $19,160,149, respectively)

$ 8,719,599,967

$ 9,995,616,353

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 37.29

$ 31.74

$ 20.85

$ 43.23

$ 44.73

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  1.19

.94

.82

1.30

1.39

Net realized and unrealized gain (loss)

  (4.28)

5.45

10.93

(22.75)

(1.35)

Total from investment operations

  (3.09)

6.39

11.75

(21.45)

.04

Distributions from net investment income

  (1.12)

(.81)

(.74)

(.94)

(1.19)

Distributions from net realized gain

  (.02)

(.03)

(.12)

-

(.36)

Total distributions

  (1.14)

(.84)

(.86)

(.94)

(1.55)

Redemption fees added to paid in capital B

  - G

- G

- G

.01

.01

Net asset value, end of period

$ 33.06

$ 37.29

$ 31.74

$ 20.85

$ 43.23

Total Return A

  (7.92)%

20.34%

56.36%

(50.03)%

(.15)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .20%

.20%

.20%

.20%

.20%

Expenses net of fee waivers, if any

  .11%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .11%

.10%

.10%

.10%

.10%

Net investment income (loss)

  3.54%

2.84%

2.72%

3.75%

2.95%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,424,239

$ 6,932,647

$ 5,488,131

$ 2,697,776

$ 4,515,417

Portfolio turnover rate D

  9%

1%

2%

4%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 37.29

$ 31.74

$ 20.85

$ 43.23

$ 44.73

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  1.20

.96

.83

1.31

1.41

Net realized and unrealized gain (loss)

  (4.28)

5.44

10.93

(22.75)

(1.36)

Total from investment operations

  (3.08)

6.40

11.76

(21.44)

.05

Distributions from net investment income

  (1.12)

(.82)

(.75)

(.95)

(1.20)

Distributions from net realized gain

  (.02)

(.03)

(.12)

-

(.36)

Total distributions

  (1.14)

(.85)

(.87)

(.95)

(1.56)

Redemption fees added to paid in capital B

  - G

- G

- G

.01

.01

Net asset value, end of period

$ 33.07

$ 37.29

$ 31.74

$ 20.85

$ 43.23

Total Return A

  (7.87)%

20.38%

56.40%

(50.02)%

(.12)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .17%

.17%

.17%

.17%

.17%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  3.57%

2.87%

2.75%

3.78%

2.97%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,476,600

$ 3,062,970

$ 2,178,395

$ 1,155,867

$ 1,979,431

Portfolio turnover rate D

  9%

1%

2%

4%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

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

Annual Report

Financial Highlights - Institutional Class

Period ended February 29,

2012 H

Selected Per-Share Data

 

Net asset value, beginning of period

$ 31.29

Income from Investment Operations

 

Net investment income (loss) D

  .32

Net realized and unrealized gain (loss)

  2.48 G

Total from investment operations

  2.80

Distributions from net investment income

  (1.02)

Redemption fees added to paid in capital D, J

  -

Net asset value, end of period

$ 33.07

Total Return B, C

  9.44%

Ratios to Average Net Assets E, I

 

Expenses before reductions

  .10% A

Expenses net of fee waivers, if any

  .07% A

Expenses net of all reductions

  .07% A

Net investment income (loss)

  2.19% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 860,659

Portfolio turnover rate F

  9% K

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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

H For the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

I 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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

J Amount represents less than $.01 per share.

K Amount not annualized.

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 H

Selected Per-Share Data

 

Net asset value, beginning of period

$ 31.29

Income from Investment Operations

 

Net investment income (loss) D

  .32

Net realized and unrealized gain (loss)

  2.48 G

Total from investment operations

  2.80

Distributions from net investment income

  (1.02)

Redemption fees added to paid in capital D, J

  -

Net asset value, end of period

$ 33.07

Total Return B, C

  9.45%

Ratios to Average Net Assets E, I

 

Expenses before reductions

  .08% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  2.17% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 958,101

Portfolio turnover rate F

  9% K

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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

H For the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

I 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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

J Amount represents less than $.01 per share.

K Amount not annualized.

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

Annual Report

Notes to Financial Statements

For the period ended February 29, 2012

1. Organization.

Spartan Extended Market Index Fund and Spartan International Index Fund (the Funds) are funds of Fidelity Concord Street Trust (the Trust). 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 is authorized to issue an unlimited number of shares. In May 2011, the Board of Trustees of the Funds approved the creation of additional classes of shares. Spartan Extended Market Index Fund commenced sale of Fidelity Advantage Institutional Class shares on September 8, 2011. Spartan International Index Fund commenced sale of Institutional Class and Fidelity Advantage Institutional Class shares on September 8, 2011. Spartan Extended Market Index Fund offers Investor Class, Fidelity Advantage Class and Fidelity Advantage Institutional Class shares. Spartan International Index Fund offers Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class shares. Each class has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund offers conversion privileges between share classes within each Fund to eligible shareholders. 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 and certain class-level expense reductions.

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 do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of 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, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, 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:

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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The 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 February 29, 2012, 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

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.

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 corporate bonds and 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.

The U.S. dollar value of forward foreign currency contracts is determined using forward currency exchange rates supplied by a quotation service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

New Accounting Pronouncements. 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 is effective during interim and annual periods beginning after December 15, 2011 and will result in additional disclosure for transfers between levels as well as expanded disclosure for securities categorized as Level 3 under the fair value hierarchy.

In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

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 and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 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.

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of February 29, 2012, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on 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. In addition, the Funds claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in-kind, partnerships, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

 

Tax cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation) on
securities and other
investments

Spartan Extended Market Index

$ 7,121,832,218

$ 1,751,238,775

$ (866,952,490)

$ 884,286,285

Spartan International Index

9,603,987,308

1,284,336,000

(2,046,581,665)

(762,245,665)

The tax-based components of distributable earnings as of period end were as follows for each Fund:

 

Undistributed
ordinary income

Undistributed
long-term
capital gain

Capital loss
carryforward

Net unrealized
appreciation
(depreciation)

Spartan Extended Market Index

$ 10,311,507

$ 63,619,263

$ -

$ 890,867,176

Spartan International Index

-

-

(440,578,408)

(759,125,412)

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

 

 

 

 

2017

 

2018

 

2019

Total with expiration

 

 

 

 

 

Spartan International Index

$ (119,933,607)

$ (148,608,684)

$ (49,793,394)

$ (318,335,685)

No expiration

 

 

 

 

 

 

Short-term

 

Long-term

Total no expiration

Total capital loss
carryforward

 

 

 

 

 

Spartan International Index

$ (16,915,714)

$ (105,327,009)

$ (122,242,723)

$ (440,578,408)

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax character of distributions paid was as follows:

February 29, 2012

 

 

 

 

Ordinary Income

Long-term Capital
Gains

Total

 

 

 

 

Spartan Extended Market Index

$ 83,031,372

$ 114,363,034

$ 197,394,406

Spartan International Index

288,056,212

-

288,056,212

February 28, 2011

 

 

 

 

Ordinary Income

Long-term Capital
Gains

Total

Spartan Extended Market Index

$ 87,345,465

$ 24,478,627

$ 111,824,092

Spartan International Index

219,629,911

-

219,629,911

Short-Term Trading (Redemption) Fees. Shares held by investors in the Funds less than 90 days are subject to a redemption fee equal to .75% and 1.00% of the net asset value of shares redeemed from Spartan Extended Market Index and Spartan International Index, respectively. 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.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts and forward foreign currency contracts, in order to meet their investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets 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 risks:

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Foreign Exchange Risk

Foreign exchange rate risk relates to the change in U.S. dollar value of securities denominated in other currencies due to changes in exchange rates.

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 close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit 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 Extended Market Index

 

 

Equity Risk

 

 

Futures Contracts

$ (7,401,865)

$ 1,985,687

Totals (a)(b)(c)

$ (7,401,865)

$ 1,985,687

Spartan International Index

 

 

Equity Risk

 

 

Futures Contracts

$ (17,685,134)

$ (1,385,997)

Foreign Exchange Risk

 

 

Forward Foreign Currency Contracts

9,153,957

(8,831,697)

Totals (a)(b)(c)

$ (8,531,177)

$ (10,217,694)

(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.

(b) Total derivatives net realized gain (loss) included in the Statement of Operations.

(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations.

Annual Report

4. Derivative Instruments - continued

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 and to fluctuations in currency values.

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. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Forward Foreign Currency Contracts. Forward foreign currency contracts (forward currency contracts) are customized transactions that require the exchange of currency at a specific exchange rate on an agreed upon future date. Spartan International Index Fund used forward currency contracts to facilitate transactions in foreign-denominated securities and manage the risk associated with fluctuations in foreign currency exchange rates.

Forward currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Realized gain or (loss) is recognized on settlement date. Purchases and sales of forward currency contracts having the same settlement date and broker are offset, and any realized gain or (loss) is recognized on the date of offset. Any unrealized appreciation or (depreciation) on offsetting contracts that settle after period end are reflected as a receivable or payable for closed forward currency contracts in the Statement of Assets and Liabilities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.

The U.S. dollar value of any open forward currency contracts at period end is shown in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." Forward currency contracts that have been offset with different counterparties are reflected as both a contract to buy and a contract to sell.

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 Extended Market Index

1,217,727,026

663,406,663

Spartan International Index

785,983,071

916,539,830

Spartan International Index Fund delivered securities through unaffiliated in-kind redemptions totaled $488,239,685. Realized gain of $172,438,715 on securities delivered through unaffiliated in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

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. During the period the Board of Trustees approved an amendment to the management contract, effective September 1, 2011, to reduce the management fee from an annual rate of .07% and .17% for Spartan Extended Market Index and Spartan International Index funds, respectively, to .06% of each Fund's average net assets. 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 an expense contract, 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 Extended Market Index

.10%

.07%

n/a

.07%

Spartan International Index

.20%

.17%

.095%

.075%

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.

Annual Report

Notes to Financial Statements - continued

6. Fees and Other Transactions with Affiliates - continued

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 of the Funds. FIIOC receives transfer agent fees at annual rates based on average net assets noted in the table below. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each class pays all or a portion of the transfer agent fees at an annual rate based on average net assets as noted in the following table:

Spartan Extended Market Index

Received by
FIIOC

Paid by
Class

Investor Class

.075%

.04%

Fidelity Advantage Class

.045%

.01%

Fidelity Advantage Institutional Class

.015%

.01%

 

 

 

Spartan International Index

 

 

Investor Class

.21%

.14%

Fidelity Advantage Class

.11%

.11%

Institutional Class

.035%

.035%

Fidelity Advantage Institutional Class

.015%

.015%

Prior to September 1, 2011, for Spartan Extended Market Index and Spartan International Index, FIIOC received transfer agent fees at an annual rate of .06% and .03% of average net assets for Investor and Fidelity Advantage Class, respectively. Under the expense contract, Investor Class paid transfer agent fees at an annual rate of .03% of average net assets, and Fidelity Advantage Class paid no transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

% of
Average
Net Assets

Spartan Extended Market Index

 

 

Investor Class

$ 1,443,137

.03

Fidelity Advantage Class

94,413

.01

Fidelity Advantage Institutional Class

5

.01

 

$ 1,537,555

 

Spartan International Index

 

 

Investor Class

$ 4,320,015

.08

Fidelity Advantage Class

1,416,743

.05

Institutional Class

58,652

.04

Fidelity Advantage Institutional Class

28,509

.02

 

$ 5,823,919

 

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:

 

Borrower or
Lender

Average
Loan Balance

Weighted Average
Interest Rate

Interest
Expense

Spartan Extended Market Index

Borrower

$ 7,551,000

.34%

$ 432

Redemptions In-Kind. During the period, 5,558,877 shares of Spartan International Index Fund held by affiliated entities were redeemed for cash and securities with a value of $206,623,465. The net realized gain (loss) of $105,326,578 on securities delivered through affiliated in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as Note 11: Shares Transactions. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay

Annual Report

7. Committed Line of Credit - continued

commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

Spartan Extended Market Index

$ 17,049

Spartan International Index

26,667

During the period, there were no borrowings on this line of credit.

8. Security Lending.

Certain Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds.

9. Expense Reductions.

FMR contractually agreed to reimburse certain classes 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 April 30, 2013. Prior to February 1, 2012, FMR voluntarily agreed to reimburse Spartan International Index to the extent annual operating expenses exceeded .10% and .07 % of average net assets for Investor Class and Fidelity Advantage Class, respectively. Some expenses, for example interest expense, including commitment fees, are excluded from these reimbursements. Total reimbursements are included in the following table:

 

Expense
Limitations

Reimbursement
from adviser

Effective Date

Spartan Extended Market Index

 

 

 

Fidelity Advantage Institutional Class

.06%

$ 6

September 8, 2011

Spartan International Index

 

 

 

Investor Class

.10%*

5,314,164

-

Fidelity Advantage Class

.12%

2,695,683

February 1, 2012

Institutional Class

.07%

49,196

September 8, 2011

Fidelity Advantage Institutional Class

.06%

35,820

September 8, 2011

* Effective February 1, 2012, the expense limitation was discontinued.

In addition, through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses as noted in the table below.

 

Management fee
reduction

 

 

Spartan Extended Market Index

$ 591

Spartan International Index

128

Annual Report

Notes to Financial Statements - continued

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Spartan Extended Market Index

 

 

From net investment income

 

 

Investor Class

$ 44,200,763

$ 35,864,371

Fidelity Advantage Class

25,213,023

12,335,221

Fidelity Advantage Institutional Class

1,161

-

Total

$ 69,414,947

$ 48,199,592

From net realized gain

 

 

Investor Class

$ 88,449,322

$ 47,790,092

Fidelity Advantage Class

39,529,035

15,834,408

Fidelity Advantage Institutional Class

1,102

-

Total

$ 127,979,459

$ 63,624,500

Spartan International Index

 

 

From net investment income

 

 

Investor Class

$ 148,424,687

$ 150,910,702

Fidelity Advantage Class

91,917,749

60,895,245

Institutional Class

20,201,408

-

Fidelity Advantage Institutional Class

22,266,285

-

Total

$ 282,810,129

$ 211,805,947

From net realized gain

 

 

Investor Class

$ 3,579,535

$ 5,595,578

Fidelity Advantage Class

1,666,548

2,228,386

Total

$ 5,246,083

$ 7,823,964

A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Spartan Extended Market Index

 

 

 

 

Investor Class

 

 

 

 

Shares sold

40,837,111

45,435,216

$ 1,555,171,539

$ 1,606,154,711

Reinvestment of distributions

3,525,601

2,250,162

129,930,899

82,020,497

Shares redeemed

(88,688,944)

(24,273,441)

(3,356,270,130)

(840,796,410)

Net increase (decrease)

(44,326,232)

23,411,937

$ (1,671,167,692)

$ 847,378,798

Fidelity Advantage Class

 

 

 

 

Shares sold

68,841,430

14,000,658

$ 2,626,867,824

$ 500,866,077

Reinvestment of distributions

1,645,712

688,240

59,386,217

25,096,206

Shares redeemed

(9,691,823)

(5,862,959)

(362,785,045)

(197,954,495)

Net increase (decrease)

60,795,319

8,825,939

$ 2,323,468,996

$ 328,007,788

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

2,884

-

$ 100,000

$ -

Reinvestment of distributions

66

-

2,263

-

Shares redeemed

-

-

-

-

Net increase (decrease)

2,950

-

$ 102,263

$ -

Spartan International Index

 

 

 

 

Investor Class

 

 

 

 

Shares sold

51,659,320

59,966,903

$ 1,725,521,597

$ 1,980,806,749

Reinvestment of distributions

4,931,710

4,401,698

146,703,273

152,236,260

Shares redeemed

(138,930,396) B

(51,367,429)

(4,508,596,328) B

(1,729,973,271)

Net increase (decrease)

(82,339,366)

13,001,172

$ (2,636,371,458)

$ 403,069,738

Annual Report

11. Share Transactions - continued

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Fidelity Advantage Class

 

 

 

 

Shares sold

50,383,664

25,911,385

$ 1,659,791,665

$ 881,763,381

Reinvestment of distributions

2,688,031

1,516,656

79,393,189

52,438,159

Shares redeemed

(30,064,805)

(13,921,933)

(976,577,403)

(460,625,377)

Net increase (decrease)

23,006,890

13,506,108

$ 762,607,451

$ 473,576,163

Institutional Class

 

 

 

 

Shares sold

26,471,830

-

$ 810,287,820

$ -

Reinvestment of distributions

700,632

-

20,199,209

-

Shares redeemed

(1,147,214)

-

(35,649,587)

-

Net increase (decrease)

26,025,248

-

$ 794,837,442

$ -

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

29,053,528

-

$ 879,203,212

$ -

Reinvestment of distributions

772,330

-

22,266,285

-

Shares redeemed

(853,278)

-

(26,687,381)

-

Net increase (decrease)

28,972,580

-

$ 874,782,116

$ -

A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

B Amount includes in-kind redemptions (see Note 6: Redemptions In-Kind).

12. 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.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund (funds of Fidelity Concord Street Trust) at February 29, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Concord Street Trust's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts
April 30, 2012

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for James C. Curvey, each of the Trustees oversees 226 funds advised by FMR or an affiliate. Mr. Curvey oversees 430 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

Experience, Skills, Attributes, and Qualifications of the Funds' Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the funds' Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Funds' Trustees."

Annual Report

The funds' Statement of Additional Information (SAIs) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupations and Other Relevant Experience+

James C. Curvey (76)

 

Year of Election or Appointment: 2007

Mr. Curvey is Trustee and Acting Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.

Ronald P. O'Hanley (55)

 

Year of Election or Appointment: 2011

Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for each fund.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupations and Other Relevant Experience+

Dennis J. Dirks (63)

 

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (58)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's, Inc. (restaurant and entertainment complexes, 2010-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2007-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).

Ned C. Lautenbach (68)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is also a member of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (1999-present); a member of the Board of Trustees of Fairfield University (2005-present); and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (67)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Robert W. Selander (61)

 

Year of Election or Appointment: 2011

Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (67)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Board of Directors of the Teagle Foundation (2009-present). Ms. Small is also a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. In addition, Ms. Small serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (72)

 

Year of Election or Appointment: 2001

Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of Univar (global distributor of commodity and specialty chemicals, 2010-present), a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment, 2005-present). Mr. Stavropoulos is a special advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (62)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (61)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for each fund.

Advisory Board Members and Executive Officers:

Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (81)

 

Year of Election or Appointment: 2011

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).

Peter S. Lynch (68)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Kenneth B. Robins (42)

 

Year of Election or Appointment: 2008

President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).

Bruce T. Herring (46)

 

Year of Election or Appointment: 2006

Vice President of certain Equity Funds. Mr. Herring also serves as President of Fidelity Research & Analysis Company (2010-present), Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investment Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.

Brian B. Hogan (47)

 

Year of Election or Appointment: 2009

Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Scott C. Goebel (44)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

William C. Coffey (43)

 

Year of Election or Appointment: 2009

Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Holly C. Laurent (57)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (53)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).

Joseph A. Hanlon (43)

 

Year of Election or Appointment: 2012

Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Hanlon serves as Senior Vice President of the Fidelity Asset Management Division (2009-present) and is an employee of Fidelity Investments.

Joseph F. Zambello (54)

 

Year of Election or Appointment: 2011

Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).

Adrien E. Deberghes (44)

 

Year of Election or Appointment: 2008

Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President (2011-present) and Assistant Treasurer (2010-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (42)

 

Year of Election or Appointment: 2010

Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

John R. Hebble (53)

 

Year of Election or Appointment: 2009

Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.

Gary W. Ryan (53)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

Jonathan Davis (43)

 

Year of Election or Appointment: 2010

Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities and dividends derived from net investment income:

 

Pay Date

Record Date

Dividends

Capital Gains

Spartan Total Market Index Fund

 

 

 

 

Investor Class

04/16/12

04/13/12

$0.11700

$0.000

Fidelity Advantage Class

04/16/12

04/13/12

$0.12081

$0.000

Spartan Extended Market Index Fund

 

 

 

 

Investor Class

04/16/12

04/13/12

$0.06100

$0.382

Fidelity Advantage Class

04/16/12

04/13/12

$0.06478

$0.382

Spartan International Index Fund

 

 

 

 

Investor Class

04/16/12

04/13/12

$0.00000

$0.000

Fidelity Investor Class

04/16/12

04/13/12

$0.00000

$0.000

The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended February 29, 2012, or, if subsequently determined to be different, the net capital gain of such year.

Spartan Extended Market Index Fund

$125,144,109

A percentage of the dividends distributed during the fiscal year for the following funds qualify for the dividends-received deduction for corporate shareholders:

 

April 2011

December 2011

Spartan Total Market Index Fund

 

 

Investor Class

100%

100%

Fidelity Advantage Class

100%

98%

Spartan Extended Market Index Fund

 

 

Investor Class

27%

61%

Fidelity Advantage Class

27%

60%

A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 

April 2011

December 2011

Spartan Total Market Index Fund

 

 

Investor Class

100%

100%

Fidelity Advantage Class

100%

100%

Spartan Extended Market Index Fund

 

 

Investor Class

27%

71%

Fidelity Advantage Class

27%

70%

Spartan International Index Fund

 

 

Investor Class

81%

99%

Fidelity Advantage Class

79%

98%

Annual Report

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:

 

Pay Date

Income

Taxes

Spartan International Index Fund

 

 

 

Investor Class

04/18/11

$0.083

$0.0093

Investor Class

12/19/11

$0.563

$0.0824

Fidelity Advantage Class

04/18/11

$0.085

$0.0093

Fidelity Advantage Class

12/19/11

$0.566

$0.0824

The funds will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.

Annual Report

Investment Adviser

Fidelity Management & Research Company
Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.
Boston, MA 

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon
New York, NY

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®) con72
1-800-544-5555

con72
Automated line for quickest service

SIF-UANNPRO-0412
1.790918.108

con75

Spartan® Total Market Index
Spartan Extended Market Index
Spartan International Index
Funds -
Institutional Class
Fidelity Advantage® Institutional Class

Annual Report

(Fidelity Cover Art)

February 29, 2012

Contents

Spartan® Total Market Index Fund

(Click Here)

Shareholder Expense Example

 

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

(Click Here)

Notes to the Financial Statements

 

Shareholder Expense Example

(Click Here)

An example of shareholder expenses

 

Spartan Extended Market Index Fund

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

Spartan International Index Fund

(Click Here)

Performance

 

(Click Here)

Management's Discussion

 

(Click Here)

Investment Changes

 

(Click Here)

Investments

 

(Click Here)

Financial Statements

 

Notes

(Click Here)

Notes to the Financial Statements

Report of Independent Registered Public Accounting Firm

(Click Here)

 

Trustees and Officers

(Click Here)

 

Distributions

(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.

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.

Annual Report

Spartan Total Market Index Fund

Shareholder Expense Example

As a shareholder of the 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 Fund 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 1, 2011 to February 29, 2012) for Investor Class, Fidelity Advantage Class and Class F and for the entire period (September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class. The hypothetical expense example is based on an investment of $1,000 invested for the one-half year period (September 1, 2011 to February 29, 2012).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Investor Class

.100%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.20

$ .53 B

HypotheticalA

 

$ 1,000.00

$ 1,024.37

$ .50 C

Fidelity Advantage Class

.070%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .37 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

Institutional Class

.060%

 

 

 

Actual

 

$ 1,000.00

$ 1,164.90

$ .31 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 C

Fidelity Advantage Institutional Class

.045%

 

 

 

Actual

 

$ 1,000.00

$ 1,165.00

$ .23 B

HypotheticalA

 

$ 1,000.00

$ 1,023.69

$ .23 C

Class F

.050%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .27 B

HypotheticalA

 

$ 1,000.00

$ 1,024.61

$ .25 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 182/366 (to reflect the one-half year period) for Investor Class, Fidelity Advantage Class and Class F and multiplied by 175/366 (to reflect the period September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class.

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

Annual Report

Spartan Total Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

  Spartan Total Market Index Fund - Institutional ClassA

4.49%

2.00%

5.07%

  Spartan Total Market Index Fund - Fidelity Advantage® Institutional ClassB

4.50%

2.00%

5.07%

A The initial offering of Institutional Class shares took place September 8, 2011. Returns between October 14, 2005 and September 8, 2011 are those of Fidelity Advantage Class. Returns prior to October 14, 2005 are those of Investor Class.

B The initial offering of Fidelity Advantage® Institutional Class shares took place September 8, 2011. Returns between October 14, 2005 and September 8, 2011 are those of Fidelity Advantage Class. Returns prior to October 14, 2005 are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan Total Market Index Fund - Institutional Class on on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market IndexSM performed over the same period. The initial offering of Institutional Class took place on September 8, 2011. See above for additional information regarding the performance of Institutional Class.

con99

Annual Report

Spartan Total Market Index Fund

Management's Discussion of Fund Performance

Market Recap: U.S. stocks rose for the 12 months ending February 29, 2012, as encouraging economic news sparked a strong late-period rally that lifted major equity benchmarks past a number of significant milestones. Stocks recovered from early-period uncertainty that followed the March 2011 earthquake, tsunami and nuclear meltdown in Japan, but plummeted during the summer amid Europe's debt woes and a historic U.S. credit-rating downgrade. Despite continued volatility and mixed economic news, markets began to recover in early October. Investors gravitated toward defensive sectors and the perceived safety of larger, more-established and dividend-paying names, helping the Dow Jones® Industrial Average advance 8.83%, and close above the psychologically important 13,000 mark in late February - for the first time since May 2008. The rally accelerated late in the period and the market broadened, as investor confidence improved amid encouraging manufacturing, housing and employment data, and signs of progress in Europe. For the year, the S&P 500® Index added 5.12%, closing near a four-year high on the period's second-to-last day. The technology-laden Nasdaq Composite® Index added 7.73%, flirting with the 3,000 mark, its highest level in 12 years. Foreign developed-markets stocks reeled over Europe's turmoil, and the MSCI® EAFE® (Europe, Australasia, Far East) Index fell 7.35%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® Total Market Index Fund: For the year ending February 29, 2012, the fund's Institutional Class and Fidelity Advantage® Institutional Class shares returned 4.49% and 4.50%, respectively, in line with the 4.53% return of the benchmark Dow Jones U.S. Total Stock Market IndexSM. Several of the fund's leading contributors were technology stocks. Topping the list was Apple, the second-largest stock in the index, whose shares gained approximately 54% during the past 12 months. This consumer products and personal computer manufacturer enjoyed very strong sales, especially of its popular iPad® tablet computers and iPhone® mobile telephones. Computer-services company International Business Machines, the third-largest stock in the index, also added value, as its shares trended upward throughout most of the reporting period. Software giant Microsoft and semiconductor manufacturer Intel enjoyed good results, with Intel benefiting from strong product demand that spurred better-than-expected sales growth. Elsewhere, tobacco manufacturer Philip Morris International and restaurant giant McDonald's performed well among consumer staples stocks, while in health care, drugmakers Merck and Pfizer contributed. Telecommunication services provider AT&T and credit card processing company Visa also added to returns. Unsurprisingly, given the tremendous market volatility of the past year, many financials stocks topped the list of detractors. The biggest laggard was diversified financials company Bank of America, whose shares declined 44% during the 12-month period. Other diversified financials firms also saw double-digit drops in their stock price, including Citigroup, JPMorgan Chase, Goldman Sachs Group and Morgan Stanley, while insurance-focused conglomerate Berkshire Hathaway also lagged. Meanwhile, in the information technology sector, computer and peripherals company Hewlett-Packard had a difficult year. Among its challenges was the company's announcement in August of plans to exit the personal computer business - a decision it rescinded a few months later. Investors appeared to have little confidence in this strategy, causing the stock to lose 20% of its value in a single day - the biggest one-day decline for the company since October 1987. Other notable detractors included Schlumberger, an oil-field services company, and Corning, a leading maker of specialty glass and ceramics.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Total Market Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

3.3

2.6

Exxon Mobil Corp.

2.7

2.6

Microsoft Corp.

1.6

1.5

IBM Corp.

1.5

1.5

Chevron Corp.

1.4

1.4

General Electric Co.

1.3

1.3

Procter & Gamble Co.

1.2

1.3

AT&T, Inc.

1.2

1.2

Johnson & Johnson

1.2

1.3

Pfizer, Inc.

1.1

1.1

 

16.5

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

19.2

17.9

Financials

15.2

15.1

Consumer Discretionary

11.8

11.4

Health Care

11.3

11.7

Energy

11.1

11.3

Industrials

11.0

10.7

Consumer Staples

9.3

9.7

Materials

4.0

4.2

Utilities

3.4

3.7

Telecommunication Services

2.5

2.8

Annual Report

Spartan Total Market Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 98.8%

Shares

Value

CONSUMER DISCRETIONARY - 11.8%

Auto Components - 0.4%

American Axle & Manufacturing Holdings, Inc. (a)(d)

49,377

$ 562,404

Amerigon, Inc. (a)(d)

16,405

241,482

BorgWarner, Inc. (a)(d)

82,983

6,874,312

Cooper Tire & Rubber Co.

41,865

694,959

Dana Holding Corp.

106,956

1,711,296

Dorman Products, Inc. (a)

7,023

318,914

Drew Industries, Inc. (a)(d)

13,918

381,353

Exide Technologies (a)(d)

48,227

143,234

Federal-Mogul Corp. Class A (a)

43,356

746,157

Fuel Systems Solutions, Inc. (a)

11,625

301,088

Gentex Corp. (d)

109,863

2,598,260

Johnson Controls, Inc.

551,254

17,987,418

Lear Corp.

77,108

3,486,053

Modine Manufacturing Co. (a)

32,309

293,366

Motorcar Parts of America, Inc. (a)

7,628

62,931

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

7,089

6,557

Spartan Motors, Inc.

29,995

171,271

Standard Motor Products, Inc.

17,952

407,869

Stoneridge, Inc. (a)

17,302

167,310

Strattec Security Corp.

672

15,301

Superior Industries International, Inc. (d)

24,943

450,969

Tenneco, Inc. (a)(d)

43,438

1,672,363

The Goodyear Tire & Rubber Co. (a)

174,336

2,241,961

Tower International, Inc. (a)

4,070

51,852

TRW Automotive Holdings Corp. (a)(d)

77,357

3,538,309

UQM Technologies, Inc. (a)(d)

14,381

23,010

Visteon Corp. (a)

38,157

2,049,794

 

47,199,793

Automobiles - 0.5%

Ford Motor Co.

3,061,154

37,897,087

General Motors Co. (a)(d)

502,574

13,076,975

Harley-Davidson, Inc.

177,195

8,253,743

Tesla Motors, Inc. (a)(d)

44,292

1,479,796

Thor Industries, Inc. (d)

34,954

1,138,452

Winnebago Industries, Inc. (a)(d)

22,867

203,974

 

62,050,027

Distributors - 0.1%

Core-Mark Holding Co., Inc.

6,212

248,977

Genuine Parts Co.

141,853

8,891,346

LKQ Corp. (a)

107,839

3,435,751

Pool Corp. (d)

41,433

1,508,161

VOXX International Corp. (a)

18,073

231,154

Weyco Group, Inc.

1,992

46,493

 

14,361,882

Diversified Consumer Services - 0.3%

American Public Education, Inc. (a)(d)

16,975

664,741

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

108,948

4,645,543

Archipelago Learning, Inc. (a)

7,369

67,353

 

Shares

Value

Ascent Capital Group, Inc. (a)(d)

15,290

$ 752,880

Bridgepoint Education, Inc. (a)(d)

10,994

267,814

Capella Education Co. (a)(d)

13,090

507,892

Career Education Corp. (a)

44,821

386,357

Carriage Services, Inc.

4,102

24,571

Coinstar, Inc. (a)(d)

21,619

1,258,874

Collectors Universe, Inc.

4,772

72,773

Corinthian Colleges, Inc. (a)(d)

84,173

377,937

DeVry, Inc.

44,629

1,585,668

Education Management Corp. (a)

26,671

481,945

Grand Canyon Education, Inc. (a)

21,711

371,475

H&R Block, Inc.

266,520

4,344,276

Hillenbrand, Inc.

60,464

1,388,858

ITT Educational Services, Inc. (a)(d)

23,503

1,613,246

K12, Inc. (a)(d)

24,400

526,064

Learning Tree International, Inc. (a)

3,285

19,020

Lincoln Educational Services Corp.

15,671

132,577

Mac-Gray Corp.

7,087

98,793

Matthews International Corp. Class A

22,471

697,050

National American University Holdings, Inc.

5,378

37,162

Princeton Review, Inc. (a)

14,908

1,643

Regis Corp.

37,626

651,306

School Specialty, Inc. (a)(d)

13,358

42,746

Service Corp. International (d)

202,046

2,291,202

Sotheby's Class A (Ltd. vtg.) (d)

59,342

2,334,514

Steiner Leisure Ltd. (a)

10,649

532,876

Stewart Enterprises, Inc. Class A

55,722

346,591

Strayer Education, Inc. (d)

14,558

1,497,945

Universal Technical Institute, Inc.

29,419

382,153

Weight Watchers International, Inc.

25,755

2,008,375

 

30,412,220

Hotels, Restaurants & Leisure - 2.2%

AFC Enterprises, Inc. (a)

18,286

292,393

Ambassadors Group, Inc.

20,059

105,711

Ameristar Casinos, Inc.

18,903

375,036

Bally Technologies, Inc. (a)

38,305

1,644,817

Benihana, Inc.

2,149

22,328

Biglari Holdings, Inc. (a)

607

249,180

BJ's Restaurants, Inc. (a)(d)

21,746

1,079,689

Bluegreen Corp. (a)

11,189

35,133

Bob Evans Farms, Inc.

27,901

1,026,757

Boyd Gaming Corp. (a)(d)

49,786

398,786

Bravo Brio Restaurant Group, Inc. (a)

12,451

240,055

Brinker International, Inc.

62,217

1,716,567

Buffalo Wild Wings, Inc. (a)(d)

13,815

1,194,859

Caesars Entertainment Corp.

1,145

12,961

Caribou Coffee Co., Inc. (a)(d)

18,083

299,816

Carnival Corp. unit

312,157

9,455,236

Carrols Restaurant Group, Inc. (a)

6,381

75,806

CEC Entertainment, Inc. (d)

20,553

784,302

Chipotle Mexican Grill, Inc. (a)(d)

25,363

9,897,150

Choice Hotels International, Inc. (d)

41,734

1,567,946

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Churchill Downs, Inc.

10,397

$ 542,723

Cracker Barrel Old Country Store, Inc. (d)

18,601

1,035,518

Darden Restaurants, Inc. (d)

97,411

4,966,987

Denny's Corp. (a)(d)

71,197

295,468

DineEquity, Inc. (a)

12,829

684,812

Domino's Pizza, Inc. (a)(d)

54,176

2,083,609

Dover Downs Gaming & Entertainment, Inc.

1,508

3,619

Dover Motorsports, Inc. (a)

9,993

13,191

Dunkin' Brands Group, Inc. (a)

38,382

1,114,613

Einstein Noah Restaurant Group, Inc.

3,797

53,272

Empire Resorts, Inc. (a)

4,429

12,933

Famous Dave's of America, Inc. (a)

2,311

25,236

Gaylord Entertainment Co. (a)(d)

27,271

811,585

Great Wolf Resorts, Inc. (a)

11,425

46,271

Hyatt Hotels Corp. Class A (a)

51,855

2,147,316

International Game Technology

238,801

3,586,791

International Speedway Corp. Class A (d)

20,854

524,687

Interval Leisure Group, Inc. (a)

29,497

397,915

Isle of Capri Casinos, Inc. (a)(d)

20,657

131,172

Jack in the Box, Inc. (a)(d)

42,139

1,005,015

Jamba, Inc. (a)(d)

95,683

202,848

Kona Grill, Inc. (a)

4,029

21,676

Krispy Kreme Doughnuts, Inc. (a)(d)

47,141

385,613

Lakes Entertainment, Inc. (a)

2,872

5,629

Las Vegas Sands Corp.

300,298

16,699,572

Life Time Fitness, Inc. (a)(d)

28,392

1,404,552

Luby's, Inc. (a)(d)

14,614

72,485

Marcus Corp.

22,859

275,451

Marriott International, Inc. Class A (d)

237,684

8,385,492

Marriott Vacations Worldwide Corp.

23,385

582,988

McDonald's Corp.

826,668

82,071,599

MGM Mirage, Inc. (a)(d)

250,383

3,447,774

Monarch Casino & Resort, Inc. (a)

4,802

50,325

Morgans Hotel Group Co. (a)

27,678

141,988

MTR Gaming Group, Inc. (a)

5,748

20,635

Multimedia Games Holdng Co., Inc. (a)

20,726

212,027

O'Charleys, Inc. (a)(d)

10,158

100,666

Orient Express Hotels Ltd. Class A (a)(d)

63,690

629,894

P.F. Chang's China Bistro, Inc. (d)

18,729

717,695

Panera Bread Co. Class A (a)

26,570

4,107,191

Papa John's International, Inc. (a)(d)

19,260

715,702

Peet's Coffee & Tea, Inc. (a)(d)

15,145

975,187

Penn National Gaming, Inc. (a)

50,336

2,141,797

Pinnacle Entertainment, Inc. (a)

61,922

681,761

Premier Exhibitions, Inc. (a)

1,375

3,369

Red Lion Hotels Corp. (a)

3,129

24,062

Red Robin Gourmet Burgers, Inc. (a)(d)

21,139

727,393

Rick's Cabaret International, Inc. (a)

5,726

53,824

Royal Caribbean Cruises Ltd.

102,343

2,915,752

 

Shares

Value

Ruby Tuesday, Inc. (a)(d)

44,363

$ 345,144

Ruth's Hospitality Group, Inc. (a)(d)

33,916

211,297

Scientific Games Corp. Class A (a)

45,645

479,729

Shuffle Master, Inc. (a)

42,130

615,098

Six Flags Entertainment Corp.

40,264

1,822,349

Sonic Corp. (a)

98,965

817,451

Speedway Motorsports, Inc.

7,569

117,471

Starbucks Corp.

593,530

28,821,817

Starwood Hotels & Resorts Worldwide, Inc.

164,349

8,858,411

Texas Roadhouse, Inc. Class A

57,171

956,471

The Cheesecake Factory, Inc. (a)(d)

34,878

1,033,784

Town Sports International Holdings, Inc. (a)

13,107

135,002

Vail Resorts, Inc. (d)

24,951

1,050,437

Wendy's Co.

250,660

1,270,846

WMS Industries, Inc. (a)

38,370

845,291

Wyndham Worldwide Corp.

137,748

6,059,535

Wynn Resorts Ltd.

66,112

7,836,916

Yum! Brands, Inc.

377,002

24,972,612

 

263,981,869

Household Durables - 0.4%

American Greetings Corp. Class A (d)

30,155

452,325

Bassett Furniture Industries, Inc.

1,847

15,330

Beazer Homes USA, Inc. (a)(d)

77,365

241,379

Blyth, Inc. (d)

8,019

511,612

Brookfield Residential Properties, Inc. (a)

18,869

196,765

Cavco Industries, Inc. (a)(d)

9,813

442,468

Cobra Electronics Corp. (a)

1,032

4,541

CSS Industries, Inc.

12,944

253,702

D.R. Horton, Inc.

195,548

2,804,158

Dixie Group, Inc. (a)

2,977

12,742

Emerson Radio Corp. (a)

23,724

48,160

Ethan Allen Interiors, Inc.

19,507

492,552

Flexsteel Industries, Inc.

2,547

43,554

Furniture Brands International, Inc. (a)

37,283

59,653

Garmin Ltd.

86,587

4,086,041

Harman International Industries, Inc.

71,938

3,534,314

Helen of Troy Ltd. (a)(d)

25,644

833,430

Hooker Furniture Corp.

12,895

154,869

Hovnanian Enterprises, Inc. Class A (a)(d)

261,523

724,419

iRobot Corp. (a)

21,633

552,074

Jarden Corp. (d)

66,002

2,327,891

KB Home (d)

56,985

650,769

Kid Brands, Inc. (a)

16,651

49,786

Koss Corp.

2,669

14,866

La-Z-Boy, Inc. (a)(d)

34,909

498,850

Leggett & Platt, Inc.

100,406

2,272,188

Lennar Corp. Class A (d)

117,519

2,747,594

Libbey, Inc. (a)(d)

16,641

208,845

Lifetime Brands, Inc.

2,385

27,857

M.D.C. Holdings, Inc.

25,191

619,195

M/I Homes, Inc. (a)(d)

24,871

301,188

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Meritage Homes Corp. (a)(d)

26,992

$ 698,823

Mohawk Industries, Inc. (a)

39,595

2,514,678

Newell Rubbermaid, Inc.

216,340

3,959,022

NVR, Inc. (a)(d)

4,152

2,873,184

PulteGroup, Inc. (a)(d)

265,604

2,342,627

Ryland Group, Inc.

32,303

585,653

Sealy Corp., Inc. (a)(d)

37,146

63,891

Skullcandy, Inc. (a)(d)

12,653

178,660

Skyline Corp. (d)

21,741

175,015

Standard Pacific Corp. (a)(d)

98,412

431,045

Stanley Furniture Co., Inc. (a)

5,699

19,263

Tempur-Pedic International, Inc. (a)(d)

57,648

4,554,192

Toll Brothers, Inc. (a)(d)

105,058

2,464,661

Tupperware Brands Corp.

43,005

2,695,983

Universal Electronics, Inc. (a)(d)

14,332

280,334

Whirlpool Corp.

56,428

4,264,264

Zagg, Inc. (a)(d)

21,268

223,314

 

53,507,726

Internet & Catalog Retail - 0.8%

1-800-FLOWERS.com, Inc. Class A (a)

24,206

66,082

Amazon.com, Inc. (a)(d)

282,977

50,848,137

Blue Nile, Inc. (a)(d)

11,337

404,164

dELiA*s, Inc. (a)

2,977

3,156

Expedia, Inc.

75,256

2,562,467

Gaiam, Inc. Class A (a)

12,609

45,645

Geeknet, Inc. (a)

1,180

17,122

Groupon, Inc. Class A (a)(d)

27,415

540,487

Hollywood Media Corp. (a)

1,032

1,146

HomeAway, Inc. (d)

22,951

607,742

HSN, Inc.

29,532

1,097,409

Liberty Media Corp. Interactive Series A (a)

513,952

9,641,740

Netflix, Inc. (a)

39,072

4,326,443

NutriSystem, Inc.

26,922

303,411

Orbitz Worldwide, Inc. (a)

31,286

112,317

Overstock.com, Inc. (a)(d)

14,467

92,010

PetMed Express, Inc.

32,292

393,317

Priceline.com, Inc. (a)

41,099

25,769,895

Shutterfly, Inc. (a)(d)

21,444

586,708

TripAdvisor, Inc. (a)

75,256

2,425,501

U.S. Auto Parts Network, Inc. (a)

5,048

24,483

ValueVision Media, Inc. Class A (a)

18,644

32,068

Vitacost.com, Inc. (a)

15,384

125,072

 

100,026,522

Leisure Equipment & Products - 0.2%

Arctic Cat, Inc. (a)

18,718

688,448

Black Diamond, Inc. (a)

20,004

165,633

Brunswick Corp. (d)

68,451

1,636,663

Callaway Golf Co.

77,147

505,313

Hasbro, Inc.

86,466

3,053,979

 

Shares

Value

JAKKS Pacific, Inc.

23,770

$ 369,148

Johnson Outdoors, Inc. Class A (a)

3,505

57,622

Leapfrog Enterprises, Inc. Class A (a)

33,741

237,199

Marine Products Corp.

11,741

73,029

Mattel, Inc.

298,569

9,685,578

Meade Instruments Corp. (a)

112

371

Nautilus, Inc. (a)

5,159

14,342

Polaris Industries, Inc.

56,100

3,705,966

Smith & Wesson Holding Corp. (a)

91,237

477,170

Steinway Musical Instruments, Inc. (a)

4,620

115,315

Sturm, Ruger & Co., Inc.

24,417

1,020,142

Summer Infant, Inc. (a)

32,605

195,304

 

22,001,222

Media - 3.1%

A.H. Belo Corp. Class A

22,177

104,675

AMC Networks, Inc. Class A

47,269

2,145,540

Arbitron, Inc. (d)

18,967

634,256

Ballantyne of Omaha, Inc. (a)

17,964

88,203

Belo Corp. Series A (d)

87,121

624,658

Cablevision Systems Corp. - NY Group Class A

169,025

2,405,226

Carmike Cinemas, Inc. (a)(d)

21,753

163,800

CBS Corp. Class B

537,459

16,070,024

Charter Communications, Inc. Class A (a)

31,792

2,015,931

Cinemark Holdings, Inc.

62,073

1,298,567

Clear Channel Outdoor Holding, Inc. Class A

41,131

544,163

Comcast Corp. Class A

2,191,483

64,385,771

Crown Media Holdings, Inc. Class A (a)(d)

24,979

31,973

Cumulus Media, Inc. Class A (a)(d)

68,791

236,641

Dex One Corp. (a)

48,569

84,996

Digital Generation, Inc. (a)(d)

26,444

264,440

DIRECTV (a)

602,724

27,918,176

Discovery Communications, Inc. (a)(d)

207,237

9,667,606

DISH Network Corp. Class A

161,315

4,705,559

DreamWorks Animation SKG, Inc. Class A (a)(d)

47,533

820,420

E.W. Scripps Co. Class A (a)

24,274

231,088

Emmis Communications Corp. Class A (a)

7,973

5,820

Entercom Communications Corp. Class A (a)

21,235

148,645

Entravision Communication Corp. Class A

55,710

92,479

Fisher Communications, Inc. (a)

2,670

76,549

Gannett Co., Inc.

170,648

2,532,416

Gray Television, Inc. (a)

7,475

15,399

Harris Interactive, Inc. (a)

5,389

4,688

Harte-Hanks, Inc.

45,482

397,513

Insignia Systems, Inc.

5,038

10,781

Interpublic Group of Companies, Inc.

356,851

4,182,294

John Wiley & Sons, Inc. Class A

36,984

1,679,074

Journal Communications, Inc. Class A (a)

19,668

93,423

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Knology, Inc. (a)

52,466

$ 935,469

Lamar Advertising Co. Class A (a)(d)

40,510

1,324,677

Liberty Global, Inc. Class A (a)

225,788

11,330,042

Liberty Media Corp. Capital Series A (a)

90,172

8,105,561

LIN TV Corp. Class A (a)

36,007

148,349

Live Nation Entertainment, Inc. (a)(d)

134,515

1,253,680

LodgeNet Entertainment Corp. (a)(d)

35,253

120,213

Madison Square Garden Co. Class A (a)

41,476

1,321,011

Martha Stewart Living Omnimedia, Inc. Class A

39,255

176,648

McGraw-Hill Companies, Inc.

231,759

10,786,064

Media General, Inc. Class A (a)(d)

21,745

122,859

Meredith Corp. (d)

29,133

958,476

Morningstar, Inc.

20,110

1,203,986

National CineMedia, Inc.

40,280

640,855

Navarre Corp. (a)

5,954

10,122

New Frontier Media, Inc. (a)

5,133

6,314

News Corp. Class A

1,849,783

36,755,188

Nexstar Broadcasting Group, Inc. Class A (a)

2,664

21,978

Omnicom Group, Inc.

236,408

11,688,012

Outdoor Channel Holdings, Inc.

3,578

25,225

Pandora Media, Inc.

47,948

626,201

Radio One, Inc. Class D (non-vtg.) (a)(d)

32,336

31,043

ReachLocal, Inc. (a)

5,194

40,513

Regal Entertainment Group Class A

55,158

762,284

Rentrak Corp. (a)(d)

4,521

93,946

Saga Communications, Inc. Class A (a)

201

7,542

Salem Communications Corp. Class A (a)

1,732

4,555

Scholastic Corp.

17,229

526,691

Scripps Networks Interactive, Inc. Class A

65,856

2,976,691

Sinclair Broadcast Group, Inc. Class A

37,417

427,302

Sirius XM Radio, Inc. (a)(d)

2,910,962

6,578,774

Spanish Broadcasting System, Inc. Class A (a)

698

3,043

SuperMedia, Inc. (a)(d)

19,383

55,242

The McClatchy Co. Class A (a)(d)

36,929

93,800

The New York Times Co. Class A (a)(d)

86,508

570,088

The Walt Disney Co.

1,395,945

58,615,731

Time Warner Cable, Inc.

256,081

20,317,467

Time Warner, Inc.

813,203

30,259,284

Valassis Communications, Inc. (a)(d)

33,863

845,898

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

439,392

20,923,847

Virgin Media, Inc.

250,243

6,306,124

Washington Post Co. Class B (d)

3,668

1,444,825

World Wrestling Entertainment, Inc. Class A (d)

44,310

404,993

 

382,531,407

Multiline Retail - 0.7%

Big Lots, Inc. (a)

53,063

2,326,813

Dillard's, Inc. Class A

32,687

1,998,483

 

Shares

Value

Dollar General Corp. (a)

100,000

$ 4,206,000

Dollar Tree, Inc. (a)

104,600

9,258,146

Family Dollar Stores, Inc.

93,448

5,045,258

Fred's, Inc. Class A

41,012

568,016

Gordmans Stores, Inc. (a)

4,621

70,101

JCPenney Co., Inc. (d)

118,147

4,678,621

Kohl's Corp.

200,742

9,972,863

Macy's, Inc.

332,684

12,632,011

Nordstrom, Inc.

125,044

6,704,859

Saks, Inc. (a)(d)

100,086

1,166,002

Sears Holdings Corp. (a)(d)

33,101

2,305,816

Target Corp.

493,763

27,991,424

The Bon-Ton Stores, Inc. (d)

35,903

172,334

Tuesday Morning Corp. (a)

26,882

92,205

 

89,188,952

Specialty Retail - 2.3%

Aarons, Inc. Class A

52,315

1,461,681

Abercrombie & Fitch Co. Class A (d)

65,044

2,978,365

Advance Auto Parts, Inc. (d)

56,386

4,813,673

Aeropostale, Inc. (a)(d)

64,770

1,163,917

America's Car Mart, Inc. (a)(d)

10,422

464,925

American Eagle Outfitters, Inc.

147,326

2,142,120

ANN, Inc. (a)

46,918

1,120,871

Asbury Automotive Group, Inc. (a)(d)

22,455

582,258

Ascena Retail Group, Inc. (a)

45,390

1,752,054

AutoNation, Inc. (a)(d)

41,064

1,399,461

AutoZone, Inc. (a)

25,418

9,518,533

Barnes & Noble, Inc. (a)(d)

28,244

375,928

bebe Stores, Inc.

66,951

599,881

Bed Bath & Beyond, Inc. (a)(d)

191,161

11,419,958

Best Buy Co., Inc. (d)

235,305

5,812,034

Big 5 Sporting Goods Corp.

16,237

126,486

Body Central Corp. (a)

19,422

540,708

Books-A-Million, Inc. (d)

4,414

11,565

Brown Shoe Co., Inc.

39,452

425,293

Build-A-Bear Workshop, Inc. (a)

4,049

22,067

Cabela's, Inc. Class A (a)(d)

35,549

1,261,279

Cache, Inc. (a)

2,880

17,942

CarMax, Inc. (a)(d)

168,519

5,171,848

Casual Male Retail Group, Inc. (a)(d)

14,093

44,393

Charming Shoppes, Inc. (a)(d)

68,622

387,714

Chico's FAS, Inc.

126,827

1,903,673

Christopher & Banks Corp.

18,173

38,890

Citi Trends, Inc. (a)(d)

14,433

156,454

Coldwater Creek, Inc. (a)

52,942

49,765

Collective Brands, Inc. (a)

44,911

809,296

Conn's, Inc. (a)

7,800

103,428

Cost Plus, Inc. (a)(d)

9,618

126,381

Destination Maternity Corp.

9,860

177,283

Dick's Sporting Goods, Inc. (d)

70,000

3,133,200

DSW, Inc. Class A (d)

21,867

1,233,299

Express, Inc. (a)

55,952

1,331,658

Finish Line, Inc. Class A

36,835

846,837

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Foot Locker, Inc. (d)

110,785

$ 3,231,598

Francescas Holdings Corp. (a)

17,371

398,664

GameStop Corp. Class A (d)

106,346

2,422,562

Gap, Inc. (d)

219,692

5,132,005

Genesco, Inc. (a)(d)

19,944

1,358,984

GNC Holdings, Inc.

32,604

1,055,391

Group 1 Automotive, Inc.

17,193

886,643

Guess?, Inc. (d)

45,871

1,589,430

Haverty Furniture Companies, Inc.

22,550

248,050

hhgregg, Inc. (a)(d)

15,184

173,553

Hibbett Sports, Inc. (a)(d)

22,731

1,112,682

Home Depot, Inc.

1,241,845

59,074,567

Hot Topic, Inc. (d)

51,429

458,747

Jos. A. Bank Clothiers, Inc. (a)(d)

18,868

971,513

Kirkland's, Inc. (a)

10,699

170,649

Limited Brands, Inc.

212,274

9,877,109

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

20,666

487,924

Lowe's Companies, Inc.

1,010,000

28,663,800

Lumber Liquidators Holdings, Inc. (a)(d)

21,619

473,240

MarineMax, Inc. (a)(d)

10,125

81,810

Midas, Inc. (a)

17,343

158,342

Monro Muffler Brake, Inc.

28,456

1,305,277

New York & Co., Inc. (a)

19,427

50,704

O'Reilly Automotive, Inc. (a)

100,461

8,689,877

Office Depot, Inc. (a)(d)

201,295

664,274

OfficeMax, Inc. (a)(d)

62,318

348,981

Pacific Sunwear of California, Inc. (a)(d)

60,120

126,252

Penske Automotive Group, Inc. (d)

33,321

802,370

Perfumania Holdings, Inc. (a)

876

8,769

PetSmart, Inc. (d)

105,988

5,907,771

Pier 1 Imports, Inc. (a)(d)

84,654

1,453,509

RadioShack Corp.

82,121

582,238

Rent-A-Center, Inc. (d)

45,857

1,624,255

Ross Stores, Inc.

181,478

9,678,222

rue21, Inc. (a)

10,092

269,255

Sally Beauty Holdings, Inc. (a)

112,253

2,671,621

Select Comfort Corp. (a)(d)

50,428

1,492,165

Shoe Carnival, Inc. (a)

3,572

93,515

Signet Jewelers Ltd.

64,202

3,011,074

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

32,657

559,414

Stage Stores, Inc.

23,252

347,617

Staples, Inc. (d)

578,690

8,483,595

Stein Mart, Inc. (a)

16,975

121,711

Systemax, Inc. (a)(d)

6,560

126,608

Talbots, Inc. (a)

34,649

102,561

Teavana Holdings, Inc. (a)(d)

5,562

130,429

The Buckle, Inc.

18,518

831,829

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

30,985

840,003

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

18,479

937,809

 

Shares

Value

The Men's Wearhouse, Inc.

38,499

$ 1,491,066

The Pep Boys - Manny, Moe & Jack (d)

62,793

944,407

Tiffany & Co., Inc.

113,656

7,388,777

TJX Companies, Inc.

621,248

22,743,889

Tractor Supply Co.

58,000

4,957,260

Trans World Entertainment Corp. (a)

2,977

6,966

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

36,000

2,996,640

Urban Outfitters, Inc. (a)(d)

92,367

2,622,299

Vitamin Shoppe, Inc. (a)(d)

18,626

790,301

West Marine, Inc. (a)

3,285

34,821

Wet Seal, Inc. Class A (a)(d)

66,930

234,255

Williams-Sonoma, Inc. (d)

84,343

3,255,640

Winmark Corp.

391

22,627

Zale Corp. (a)

22,527

72,312

Zumiez, Inc. (a)

17,893

562,198

 

280,937,544

Textiles, Apparel & Luxury Goods - 0.8%

American Apparel, Inc. (a)

29,392

22,338

Carter's, Inc. (a)(d)

38,101

1,850,566

Cherokee, Inc.

14,744

166,165

Coach, Inc.

229,797

17,198,007

Columbia Sportswear Co. (d)

9,939

496,254

Crocs, Inc. (a)(d)

69,757

1,370,725

Culp, Inc. (a)

7,038

73,547

Deckers Outdoor Corp. (a)(d)

30,415

2,273,825

Delta Apparel, Inc. (a)

1,905

31,223

Fossil, Inc. (a)(d)

40,759

4,971,783

G-III Apparel Group Ltd. (a)(d)

9,815

244,590

Hallwood Group, Inc. (a)

605

7,442

Hanesbrands, Inc. (a)(d)

68,808

1,976,854

Iconix Brand Group, Inc. (a)(d)

52,215

948,224

Joe's Jeans, Inc. (a)

32,503

27,790

K-Swiss, Inc. Class A (a)(d)

23,242

77,396

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

13,384

209,995

Lacrosse Footwear, Inc.

810

10,360

Liz Claiborne, Inc. (a)(d)

79,525

777,755

Maidenform Brands, Inc. (a)

18,000

378,000

Michael Kors Holdings Ltd.

41,224

1,782,938

Movado Group, Inc.

12,323

263,712

NIKE, Inc. Class B

303,000

32,699,760

Oxford Industries, Inc.

8,687

437,825

Perry Ellis International, Inc. (a)(d)

7,954

138,638

PVH Corp.

48,056

4,085,241

Quiksilver, Inc. (a)

80,002

374,409

R.G. Barry Corp.

2,683

37,508

Ralph Lauren Corp.

48,000

8,339,040

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

26,486

338,226

Steven Madden Ltd. (a)(d)

32,649

1,409,784

Superior Uniform Group, Inc.

859

10,720

The Jones Group, Inc.

62,712

617,713

True Religion Apparel, Inc. (a)

26,399

696,142

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

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

27,400

$ 2,445,176

Unifi, Inc. (a)

18,843

156,208

Vera Bradley, Inc. (a)(d)

16,362

600,485

VF Corp.

71,637

10,462,584

Warnaco Group, Inc. (a)(d)

50,511

2,965,501

Wolverine World Wide, Inc. (d)

34,429

1,313,122

 

102,287,571

TOTAL CONSUMER DISCRETIONARY

1,448,486,735

CONSUMER STAPLES - 9.3%

Beverages - 2.0%

Beam, Inc.

134,223

7,393,003

Boston Beer Co., Inc. Class A (a)(d)

7,731

730,734

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

80,869

6,602,954

Central European Distribution Corp. (a)(d)

104,154

454,111

Coca-Cola Bottling Co. CONSOLIDATED

3,094

199,377

Coca-Cola Enterprises, Inc.

237,534

6,864,733

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

160,834

3,512,615

Craft Brew Alliance, Inc. (a)

5,908

36,925

Dr Pepper Snapple Group, Inc.

184,807

7,031,906

Jones Soda Co. (a)

15,000

7,500

MGP Ingredients, Inc.

4,299

25,966

Molson Coors Brewing Co. Class B

123,862

5,442,496

Monster Beverage Corp. (a)

117,204

6,702,897

National Beverage Corp.

7,694

123,181

PepsiCo, Inc.

1,244,846

78,350,607

Primo Water Corp. (a)

8,907

23,693

The Coca-Cola Co.

1,673,532

116,912,946

 

240,415,644

Food & Staples Retailing - 1.9%

Andersons, Inc. (d)

16,533

712,407

Arden Group, Inc. Class A

86

7,700

Casey's General Stores, Inc.

29,040

1,487,719

Chefs' Warehouse Holdings (a)

6,997

146,937

Costco Wholesale Corp.

345,917

29,769,617

Crumbs Bake Shop, Inc. (a)

5,760

21,658

CVS Caremark Corp.

1,080,716

48,740,292

Fresh Market, Inc. (a)

21,393

963,113

Ingles Markets, Inc. Class A

14,662

262,010

Kroger Co.

454,411

10,810,438

Nash-Finch Co. (d)

11,468

307,457

PriceSmart, Inc.

12,950

836,959

Rite Aid Corp. (a)

488,242

751,893

Roundy's, Inc.

8,260

82,600

Ruddick Corp.

32,261

1,321,411

Safeway, Inc. (d)

256,994

5,512,521

Spartan Stores, Inc. (d)

24,920

444,573

 

Shares

Value

SUPERVALU, Inc. (d)

144,357

$ 942,651

Susser Holdings Corp. (a)

14,504

367,531

Sysco Corp.

467,941

13,766,824

The Pantry, Inc. (a)(d)

24,320

302,298

United Natural Foods, Inc. (a)(d)

43,201

1,966,510

Village Super Market, Inc. Class A

3,352

100,862

Wal-Mart Stores, Inc.

1,420,000

83,893,600

Walgreen Co.

720,814

23,902,192

Weis Markets, Inc.

8,067

345,752

Whole Foods Market, Inc. (d)

118,372

9,557,355

Winn-Dixie Stores, Inc. (a)(d)

64,909

615,337

 

237,940,217

Food Products - 1.7%

Alico, Inc.

172

4,001

Archer Daniels Midland Co.

508,690

15,871,128

B&G Foods, Inc. Class A (d)

31,304

728,757

Bridgford Foods Corp. (a)

344

2,986

Bunge Ltd.

116,141

7,818,612

Cal-Maine Foods, Inc.

14,807

570,070

Calavo Growers, Inc.

6,680

183,700

Campbell Soup Co. (d)

177,820

5,924,962

Chiquita Brands International, Inc. (a)(d)

30,757

294,960

Coffee Holding Co., Inc.

3,401

26,868

ConAgra Foods, Inc.

319,463

8,385,904

Corn Products International, Inc.

54,809

3,143,296

Darling International, Inc. (a)(d)

84,068

1,344,247

Dean Foods Co. (a)

123,257

1,511,131

Diamond Foods, Inc. (d)

18,346

438,836

Dole Food Co., Inc. (a)(d)

21,106

202,195

Farmer Brothers Co.

3,100

34,317

Flowers Foods, Inc.

97,053

1,857,594

Fresh Del Monte Produce, Inc.

29,950

672,677

General Mills, Inc.

489,731

18,761,595

Green Mountain Coffee Roasters, Inc. (a)(d)

100,000

6,497,000

H.J. Heinz Co. (d)

263,879

13,909,062

Hain Celestial Group, Inc. (a)(d)

37,478

1,530,602

Hershey Co. (d)

139,801

8,485,921

Hormel Foods Corp.

107,713

3,066,589

Imperial Sugar Co. (d)

14,457

83,128

J&J Snack Foods Corp.

10,285

515,998

John B. Sanfilippo & Son, Inc. (a)

2,548

27,264

Kellogg Co.

206,669

10,819,122

Kraft Foods, Inc. Class A

1,312,836

49,979,667

Lancaster Colony Corp.

17,892

1,166,022

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

101,330

5,112,099

Mead Johnson Nutrition Co. Class A

173,455

13,486,126

Omega Protein Corp. (a)

32,056

264,783

Pilgrims Pride Corp. (d)

23,854

149,565

Pilgrims Pride Corp. rights 3/1/12 (a)

30,088

11,035

Post Holdings, Inc. (a)

19,173

597,047

Ralcorp Holdings, Inc. (a)

38,347

2,860,686

Sanderson Farms, Inc.

16,208

797,434

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - continued

Sara Lee Corp.

451,262

$ 9,138,056

Seneca Foods Corp. Class A (a)

7,029

180,083

Smart Balance, Inc. (a)

45,561

272,910

Smithfield Foods, Inc. (a)(d)

112,502

2,635,922

Snyders-Lance, Inc.

43,541

977,495

The J.M. Smucker Co.

85,628

6,449,501

Tootsie Roll Industries, Inc. (d)

17,168

399,156

TreeHouse Foods, Inc. (a)(d)

29,752

1,713,715

Tyson Foods, Inc. Class A

218,213

4,126,408

 

213,030,232

Household Products - 1.8%

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

34,714

332,213

Church & Dwight Co., Inc. (d)

119,008

5,681,442

Clorox Co.

100,862

6,819,280

Colgate-Palmolive Co. (d)

360,000

33,544,800

Energizer Holdings, Inc. (a)(d)

53,405

4,082,812

Harbinger Group, Inc. (a)

756

3,447

Kimberly-Clark Corp.

311,479

22,700,590

Oil-Dri Corp. of America

644

13,389

Orchids Paper Products Co.

612

10,955

Procter & Gamble Co.

2,204,967

148,879,372

Spectrum Brands Holdings, Inc. (a)

17,958

510,366

WD-40 Co.

17,410

750,023

 

223,328,689

Personal Products - 0.3%

Avon Products, Inc.

349,895

6,539,538

Elizabeth Arden, Inc. (a)(d)

17,715

658,112

Estee Lauder Companies, Inc. Class A

198,684

11,630,961

Herbalife Ltd.

86,338

5,716,439

Inter Parfums, Inc.

14,485

244,362

Mannatech, Inc. (a)

599

2,336

MediFast, Inc. (a)(d)

10,225

165,952

Nature's Sunshine Products, Inc. (a)

2,859

42,170

Nu Skin Enterprises, Inc. Class A

53,831

3,109,279

Nutraceutical International Corp. (a)

2,650

34,503

Prestige Brands Holdings, Inc. (a)

29,892

493,218

Revlon, Inc. (a)

13,966

211,725

Schiff Nutrition International, Inc. (a)(d)

11,821

131,922

The Female Health Co.

4,862

23,921

USANA Health Sciences, Inc. (a)(d)

10,334

383,391

 

29,387,829

Tobacco - 1.6%

Alliance One International, Inc. (a)(d)

89,449

330,067

Altria Group, Inc.

1,679,474

50,552,167

Lorillard, Inc.

110,571

14,493,647

Philip Morris International, Inc.

1,403,953

117,258,155

Reynolds American, Inc.

282,694

11,853,359

Star Scientific, Inc. (a)(d)

64,344

241,290

 

Shares

Value

Universal Corp.

22,476

$ 1,032,547

Vector Group Ltd. (d)

25,200

457,380

 

196,218,612

TOTAL CONSUMER STAPLES

1,140,321,223

ENERGY - 11.1%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)(d)

71,156

3,384,179

Baker Hughes, Inc.

353,994

17,798,818

Basic Energy Services, Inc. (a)(d)

31,153

618,699

Bolt Technology Corp.

1,626

22,406

Bristow Group, Inc.

25,621

1,209,567

C&J Energy Services, Inc. (d)

9,114

185,196

Cal Dive International, Inc. (a)(d)

78,352

227,221

Cameron International Corp. (a)(d)

182,754

10,181,225

Carbo Ceramics, Inc. (d)

15,710

1,439,822

Dawson Geophysical Co. (a)

7,871

298,232

Diamond Offshore Drilling, Inc. (d)

64,380

4,408,099

Dresser-Rand Group, Inc. (a)(d)

57,305

3,009,659

Dril-Quip, Inc. (a)(d)

25,155

1,760,598

ENGlobal Corp. (a)

5,637

12,965

Exterran Holdings, Inc. (a)(d)

43,308

623,635

FMC Technologies, Inc. (a)(d)

183,330

9,245,332

Geokinetics, Inc. (a)

3,794

7,550

Global Geophysical Services, Inc. (a)

18,062

194,708

Gulf Island Fabrication, Inc. (d)

10,744

314,907

Gulfmark Offshore, Inc. Class A (a)

20,706

1,040,269

Halliburton Co.

735,826

26,923,873

Helix Energy Solutions Group, Inc. (a)(d)

73,132

1,407,060

Helmerich & Payne, Inc. (d)

72,146

4,422,550

Hercules Offshore, Inc. (a)

133,946

680,446

Hornbeck Offshore Services, Inc. (a)

24,578

1,001,554

ION Geophysical Corp. (a)(d)

95,187

681,539

Key Energy Services, Inc. (a)(d)

103,489

1,765,522

Lufkin Industries, Inc.

23,923

1,905,228

Matrix Service Co. (a)

19,340

256,062

McDermott International, Inc. (a)

177,047

2,312,234

Mitcham Industries, Inc. (a)

8,347

195,069

Nabors Industries Ltd. (a)

221,501

4,824,292

National Oilwell Varco, Inc.

344,829

28,458,737

Natural Gas Services Group, Inc. (a)

21,602

302,212

Newpark Resources, Inc. (a)(d)

85,435

672,373

Noble Corp. (d)

237,885

9,558,219

Oceaneering International, Inc.

84,562

4,589,180

Oil States International, Inc. (a)(d)

36,506

2,965,017

OYO Geospace Corp. (a)(d)

6,500

715,325

Parker Drilling Co. (a)(d)

122,844

777,603

Patterson-UTI Energy, Inc.

122,546

2,379,843

PHI, Inc. (non-vtg.) (a)

18,377

406,132

Pioneer Drilling Co. (a)

46,756

465,690

RigNet, Inc. (a)

15,376

261,392

Rowan Companies, Inc. (a)

91,863

3,386,989

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

RPC, Inc. (d)

43,642

$ 698,708

Schlumberger Ltd.

1,075,278

83,452,326

SEACOR Holdings, Inc. (a)

15,683

1,550,735

Superior Energy Services, Inc. (a)

113,113

3,318,735

Tesco Corp. (a)(d)

25,016

383,245

TETRA Technologies, Inc. (a)

50,020

454,682

TGC Industries, Inc. (a)

2,598

26,344

Tidewater, Inc.

35,470

2,110,465

Union Drilling, Inc. (a)(d)

13,180

88,833

Unit Corp. (a)(d)

34,938

1,662,001

Weatherford International Ltd. (a)

645,319

10,312,198

Willbros Group, Inc. (a)

33,113

139,075

 

261,494,575

Oil, Gas & Consumable Fuels - 9.0%

Abraxas Petroleum Corp. (a)(d)

126,005

506,540

Alon USA Energy, Inc.

9,432

88,661

Alpha Natural Resources, Inc. (a)

175,427

3,255,925

Amyris, Inc. (a)(d)

28,043

150,871

Anadarko Petroleum Corp.

390,202

32,823,792

Apache Corp.

308,807

33,329,540

APCO Oil and Gas International, Inc. (d)

5,546

416,948

Approach Resources, Inc. (a)

13,537

467,839

Arch Coal, Inc.

156,559

2,124,506

ATP Oil & Gas Corp. (a)(d)

43,659

349,272

Barnwell Industries, Inc. (a)

2,847

8,029

Berry Petroleum Co. Class A

38,847

2,096,184

Bill Barrett Corp. (a)(d)

29,806

871,229

Bonanza Creek Energy, Inc.

8,119

151,013

BPZ Energy, Inc. (a)

134,116

430,512

Cabot Oil & Gas Corp.

160,706

5,605,425

Callon Petroleum Co. (a)

31,499

222,383

Carrizo Oil & Gas, Inc. (a)(d)

24,378

686,728

Cheniere Energy, Inc. (a)

68,292

1,027,112

Chesapeake Energy Corp. (d)

523,796

13,094,900

Chevron Corp.

1,600,537

174,650,597

Cimarex Energy Co. (d)

62,545

5,045,505

Clayton Williams Energy, Inc. (a)(d)

7,754

685,066

Clean Energy Fuels Corp. (a)(d)

33,840

635,854

Cloud Peak Energy, Inc. (a)(d)

54,586

967,264

Cobalt International Energy, Inc. (a)(d)

125,251

3,765,045

Comstock Resources, Inc. (a)(d)

32,496

520,911

Concho Resources, Inc. (a)(d)

78,728

8,411,300

ConocoPhillips

985,485

75,438,877

CONSOL Energy, Inc. (d)

196,571

7,041,173

Contango Oil & Gas Co. (a)(d)

16,222

1,031,395

Continental Resources, Inc. (a)(d)

57,407

5,205,667

Crimson Exploration, Inc. (a)

12,416

38,614

Crosstex Energy, Inc. (d)

45,920

630,482

CVR Energy, Inc. (a)(d)

64,562

1,756,732

Delek US Holdings, Inc.

32,818

433,526

Denbury Resources, Inc. (a)(d)

301,228

5,997,449

 

Shares

Value

Devon Energy Corp.

315,153

$ 23,103,866

DHT Holdings, Inc.

59,972

66,569

Double Eagle Petroleum Co. (a)

1,282

8,705

El Paso Corp.

620,823

17,265,088

Endeavour International Corp. (a)(d)

23,917

276,720

Energen Corp.

50,746

2,701,210

Energy Partners Ltd. (a)

15,481

263,796

EOG Resources, Inc.

219,656

25,010,032

EQT Corp.

123,622

6,554,438

Evolution Petroleum Corp. (a)

6,950

64,496

EXCO Resources, Inc. (d)

115,116

820,777

Exxon Mobil Corp.

3,837,132

331,911,918

Forest Oil Corp. (a)(d)

81,222

1,050,200

FX Energy, Inc. (a)(d)

35,252

223,145

Gasco Energy, Inc. (a)

97,844

28,375

Gastar Exploration Ltd. (a)

36,342

104,302

Georesources, Inc. (a)

13,181

422,319

Gevo, Inc. (a)(d)

11,229

112,402

GMX Resources, Inc. (a)(d)

74,770

131,595

Goodrich Petroleum Corp. (a)(d)

33,339

531,090

Green Plains Renewable Energy, Inc. (a)(d)

14,190

161,057

Gulfport Energy Corp. (a)(d)

37,953

1,275,980

Halcon Resources Corp. (a)(d)

3,619

39,773

Harvest Natural Resources, Inc. (a)(d)

33,266

220,221

Hess Corp.

252,487

16,391,456

HKN, Inc. (a)

104

241

HollyFrontier Corp.

153,818

5,019,081

Houston American Energy Corp. (a)(d)

10,835

117,451

Hyperdynamics Corp. (a)(d)

125,930

171,265

James River Coal Co. (a)(d)

31,067

178,014

Kinder Morgan Holding Co. LLC (d)

105,230

3,708,305

KiOR, Inc. Class A (d)

6,909

60,108

Kodiak Oil & Gas Corp. (a)

185,027

1,792,912

Laredo Petroleum Holdings, Inc.

14,587

370,072

Lucas Energy, Inc. (a)(d)

9,400

27,542

Magellan Petroleum Corp. (a)

35,895

45,587

Magnum Hunter Resources Corp. (d)

70,308

486,531

Magnum Hunter Resources Corp. warrants 10/14/13 (a)(d)

4,197

0

Marathon Oil Corp.

590,579

20,014,722

Marathon Petroleum Corp.

293,451

12,192,889

Matador Resources Co.

10,890

129,155

McMoRan Exploration Co. (a)(d)

160,744

2,250,416

Miller Energy Resources, Inc. (a)(d)

6,846

28,753

Murphy Oil Corp.

146,942

9,395,471

Newfield Exploration Co. (a)

99,791

3,592,476

Noble Energy, Inc.

151,272

14,771,711

Northern Oil & Gas, Inc. (a)(d)

45,133

1,070,103

Oasis Petroleum, Inc. (a)

46,478

1,490,549

Occidental Petroleum Corp.

647,508

67,580,410

Overseas Shipholding Group, Inc. (d)

23,729

210,002

Pacific Ethanol, Inc. (a)(d)

12,492

15,365

Panhandle Royalty Co. Class A

6,335

184,665

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Patriot Coal Corp. (a)(d)

69,937

$ 505,645

Peabody Energy Corp.

230,827

8,051,246

Penn Virginia Corp.

41,256

201,742

Petroleum Development Corp. (a)(d)

22,646

736,901

Petroquest Energy, Inc. (a)(d)

70,948

432,783

Pioneer Natural Resources Co. (d)

90,370

9,908,167

Plains Exploration & Production Co. (a)

139,377

6,142,344

QEP Resources, Inc.

129,536

4,422,359

Quicksilver Resources, Inc. (a)(d)

93,566

518,356

Range Resources Corp.

123,664

7,874,924

Recovery Energy, Inc. (a)

5,171

21,408

Renewable Energy Group, Inc.

5,623

53,812

Rentech, Inc. (a)

169,556

301,810

Resolute Energy Corp. (a)

29,689

331,329

Rex American Resources Corp. (a)

3,020

92,623

Rex Energy Corp. (a)

32,188

370,162

Rosetta Resources, Inc. (a)(d)

38,625

1,971,420

Royale Energy, Inc. (a)(d)

5,368

33,121

Sanchez Energy Corp.

7,390

176,843

SandRidge Energy, Inc. (a)(d)

276,761

2,399,518

Saratoga Resources, Inc. (a)

12,254

81,489

SemGroup Corp. Class A (a)

25,511

723,747

Ship Finance International Ltd. (NY Shares) (d)

31,210

428,513

SM Energy Co.

62,332

4,906,775

SMF Energy Corp.

4,165

15,119

Solazyme, Inc. (d)

17,729

244,306

Southern Union Co.

86,373

3,795,230

Southwestern Energy Co. (a)(d)

311,067

10,283,875

Spectra Energy Corp.

539,426

16,927,188

Stone Energy Corp. (a)(d)

34,932

1,116,077

Sunoco, Inc.

85,182

3,290,581

Swift Energy Co. (a)(d)

28,396

852,732

Synergy Resources Corp. (a)

19,735

67,888

Syntroleum Corp. (a)(d)

24,702

30,630

Targa Resources Corp.

22,682

1,007,761

Teekay Corp. (d)

33,173

955,382

Tesoro Corp. (a)(d)

104,321

2,767,636

Ultra Petroleum Corp. (a)(d)

143,182

3,573,823

Uranium Energy Corp. (a)(d)

54,945

206,044

Uranium Resources, Inc. (a)(d)

182,289

174,997

USEC, Inc. (a)(d)

83,065

111,307

Vaalco Energy, Inc. (a)(d)

68,248

538,477

Valero Energy Corp. (d)

446,841

10,943,136

Venoco, Inc. (a)

17,373

189,366

Verenium Corp. (a)

522

1,472

Voyager Oil & Gas, Inc. (a)

11,615

37,633

W&T Offshore, Inc.

37,319

942,305

Warren Resources, Inc. (a)(d)

48,923

190,800

Western Refining, Inc.

40,348

732,316

Westmoreland Coal Co. (a)

6,050

63,586

 

Shares

Value

Whiting Petroleum Corp. (a)(d)

87,846

$ 5,151,289

Williams Companies, Inc.

481,586

14,389,790

World Fuel Services Corp. (d)

48,766

2,031,592

WPX Energy, Inc.

146,535

2,661,076

ZaZa Energy Corp. (a)(d)

19,430

76,166

Zion Oil & Gas, Inc. (a)

8,166

22,293

 

1,097,685,102

TOTAL ENERGY

1,359,179,677

FINANCIALS - 15.2%

Capital Markets - 1.8%

Affiliated Managers Group, Inc. (a)

37,232

3,961,112

Ameriprise Financial, Inc.

181,426

10,116,314

Arlington Asset Investment Corp.

9,211

212,774

Artio Global Investors, Inc. Class A (d)

27,717

132,764

Bank of New York Mellon Corp.

999,669

22,102,682

BGC Partners, Inc. Class A

92,324

649,038

BlackRock, Inc. Class A

81,680

16,254,320

Calamos Asset Management, Inc. Class A

22,184

271,976

Charles Schwab Corp.

880,911

12,227,045

CIFI Corp. (a)

3,896

20,415

Cohen & Steers, Inc. (d)

17,375

572,333

Cowen Group, Inc. Class A (a)

80,174

224,487

Diamond Hill Investment Group, Inc.

308

23,359

Duff & Phelps Corp. Class A

16,165

222,430

E*TRADE Financial Corp. (a)

185,916

1,790,371

Eaton Vance Corp. (non-vtg.) (d)

83,276

2,399,182

Edelman Financial Group, Inc.

24,098

161,457

Epoch Holding Corp. (d)

7,185

179,266

Evercore Partners, Inc. Class A

15,573

423,430

FBR Capital Markets Corp. (a)

45,886

115,633

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

71,651

1,468,129

Financial Engines, Inc. (a)(d)

27,286

628,942

Franklin Resources, Inc.

126,452

14,907,426

FXCM, Inc. Class A (d)

35,893

339,548

GAMCO Investors, Inc. Class A

6,083

280,487

GFI Group, Inc.

69,449

266,684

Gleacher & Co., Inc. (a)

36,175

54,986

Goldman Sachs Group, Inc.

338,852

39,015,419

Greenhill & Co., Inc.

20,317

893,135

HFF, Inc. (a)

19,976

287,854

ICG Group, Inc. (a)

32,808

284,445

Institutional Financial Markets, Inc.

6,881

10,459

INTL FCStone, Inc. (a)(d)

11,151

252,570

Invesco Ltd.

388,589

9,625,350

Investment Technology Group, Inc. (a)(d)

30,988

356,362

Janus Capital Group, Inc. (d)

134,316

1,184,667

Jefferies Group, Inc.

106,987

1,788,823

JMP Group, Inc.

11,989

85,362

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

KBW, Inc.

24,195

$ 399,943

Knight Capital Group, Inc. Class A (a)(d)

70,305

931,541

Ladenburg Thalmann Financial Services, Inc. (a)(d)

32,105

65,173

Legg Mason, Inc.

140,686

3,853,390

LPL Investment Holdings, Inc. (a)

22,392

763,567

Medallion Financial Corp.

4,309

47,184

Morgan Stanley

1,105,371

20,493,578

Northern Trust Corp.

166,504

7,394,443

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

6,844

114,569

Penson Worldwide, Inc. (a)(d)

19,665

25,171

Piper Jaffray Companies (a)(d)

20,940

514,705

Raymond James Financial, Inc.

71,252

2,520,183

Safeguard Scientifics, Inc. (a)(d)

26,745

452,258

SEI Investments Co.

105,344

2,080,544

State Street Corp.

409,637

17,298,971

Stifel Financial Corp. (a)(d)

38,055

1,428,204

SWS Group, Inc.

24,189

135,217

T. Rowe Price Group, Inc.

196,242

12,086,545

TD Ameritrade Holding Corp.

169,026

3,155,715

Teton Advisors, Inc. (a)

106

1,643

U.S. Global Investments, Inc. Class A

7,637

56,514

Virtus Investment Partners, Inc. (a)

3,888

309,252

Waddell & Reed Financial, Inc. Class A (d)

70,045

2,210,620

Walter Investment Management Corp.

18,710

381,310

Westwood Holdings Group, Inc.

1,868

72,366

WisdomTree Investments, Inc. (a)

49,507

350,510

 

220,934,152

Commercial Banks - 3.0%

1st Source Corp. (d)

8,597

211,056

1st United Bancorp, Inc. (a)

20,464

120,738

ACNB Corp.

3,789

54,221

Alliance Financial Corp.

3,879

114,508

American National Bankshares, Inc.

2,748

58,395

Ameris Bancorp (a)(d)

20,460

235,699

Ames National Corp.

1,209

26,175

Arrow Financial Corp.

12,653

304,431

Associated Banc-Corp.

127,560

1,688,894

BancFirst Corp.

10,611

434,308

Bancorp, Inc., Delaware (a)

16,751

139,368

BancorpSouth, Inc.

61,827

732,032

BancTrust Financial Group, Inc. (a)

4,197

5,456

Bank of Hawaii Corp.

62,564

2,877,944

Bank of Kentucky Financial Corp.

1,699

42,186

Bank of Marin Bancorp

2,794

98,265

Bank of the James Financial Group, Inc. (a)

600

3,096

Bank of the Ozarks, Inc.

37,486

1,100,214

Banner Bank

13,068

269,331

Bar Harbor Bankshares

2,686

82,057

 

Shares

Value

BB&T Corp.

568,836

$ 16,638,453

BBCN Bancorp, Inc. (a)

52,596

539,109

BCB Bancorp, Inc. (d)

2,814

29,406

BOK Financial Corp.

36,579

1,963,561

Boston Private Financial Holdings, Inc. (d)

49,884

475,395

Bridge Bancorp, Inc.

540

10,832

Bridge Capital Holdings (a)

1,107

13,350

Bryn Mawr Bank Corp.

7,755

152,463

BSB Bancorp, Inc.

6,958

78,417

Camden National Corp.

1,850

65,398

Capital City Bank Group, Inc.

7,146

56,239

CapitalSource, Inc.

236,039

1,593,263

Cardinal Financial Corp.

11,113

119,465

Cascade Bancorp (a)(d)

4,186

24,279

Cathay General Bancorp

74,072

1,210,336

Center Bancorp, Inc.

6,904

66,347

Centerstate Banks of Florida, Inc.

6,387

44,709

Central Pacific Financial Corp. (a)(d)

20,164

279,070

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

686

16,985

Chemical Financial Corp.

26,904

593,502

CIT Group, Inc. (a)

177,243

7,215,563

Citizens & Northern Corp.

8,777

174,662

Citizens Republic Bancorp, Inc. (a)

26,148

357,966

City Holding Co.

22,173

759,869

City National Corp. (d)

34,413

1,617,411

CNB Financial Corp., Pennsylvania

6,683

103,587

CoBiz, Inc.

39,972

233,037

Columbia Banking Systems, Inc. (d)

29,815

630,587

Comerica, Inc.

150,887

4,479,835

Commerce Bancshares, Inc.

62,562

2,415,519

Community Bank System, Inc.

29,335

801,432

Community Trust Bancorp, Inc.

13,652

421,028

Cullen/Frost Bankers, Inc.

42,764

2,415,311

CVB Financial Corp.

75,043

808,213

Eagle Bancorp, Inc., Maryland (a)

8,538

132,424

East West Bancorp, Inc.

159,291

3,523,517

Eastern Virginia Bankshares, Inc. (a)

821

2,430

Encore Bancshares, Inc. (a)

960

13,920

Enterprise Bancorp, Inc.

803

12,728

Enterprise Financial Services Corp.

12,168

141,149

Farmers National Banc Corp.

14,652

82,051

Fidelity Southern Corp.

3,191

20,422

Fifth Third Bancorp

789,319

10,742,632

Financial Institutions, Inc.

12,700

207,772

First Bancorp, North Carolina

9,193

91,930

First Bancorp, Puerto Rico (a)(d)

31,060

120,202

First Busey Corp.

50,381

243,844

First Citizen Bancshares, Inc.

4,653

819,626

First Commonwealth Financial Corp. (d)

74,665

447,243

First Community Bancshares, Inc.

8,561

106,156

First Connecticut Bancorp, Inc.

11,897

153,471

First Financial Bancorp, Ohio

41,951

686,738

First Financial Bankshares, Inc. (d)

36,100

1,236,786

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

First Financial Corp., Indiana (d)

8,837

$ 282,696

First Financial Service Corp. (a)

2,521

7,815

First Horizon National Corp.

177,392

1,667,485

First Interstate Bancsystem, Inc.

16,000

217,600

First M&F Corp.

2,170

8,376

First Merchants Corp.

25,012

277,133

First Midwest Bancorp, Inc., Delaware

83,782

968,520

First Niagara Financial Group, Inc.

246,667

2,358,137

First of Long Island Corp.

1,768

45,862

First Republic Bank (a)

55,175

1,654,698

First United Corp. (a)

3,018

16,358

FirstMerit Corp.

79,130

1,270,037

FNB Corp., Pennsylvania

105,430

1,243,020

FNB United Corp. (a)(d)

490

7,335

Fulton Financial Corp.

148,647

1,456,741

German American Bancorp, Inc.

4,623

90,518

Glacier Bancorp, Inc.

63,024

869,731

Great Southern Bancorp, Inc.

6,815

150,066

Green Bankshares, Inc. (a)

6,941

9,995

Guaranty Bancorp (a)

13,950

22,181

Hampton Roads Bankshares, Inc. (a)(d)

18,252

47,455

Hancock Holding Co.

65,414

2,220,805

Hanmi Financial Corp. (a)

26,311

228,116

Hawthorn Bancshares, Inc.

1,384

9,896

Heartland Financial USA, Inc.

6,878

108,191

Heritage Commerce Corp. (a)(d)

14,712

77,238

Heritage Financial Corp., Washington (d)

12,768

171,091

Heritage Oaks Bancorp (a)

3,340

13,527

Home Bancshares, Inc.

25,101

632,545

Horizon Bancorp Industries

471

8,290

Hudson Valley Holding Corp.

14,551

237,472

Huntington Bancshares, Inc.

649,123

3,794,124

IBERIABANK Corp. (d)

22,592

1,198,280

Independent Bank Corp. (a)(d)

1,144

1,773

Independent Bank Corp., Massachusetts (d)

25,945

713,228

International Bancshares Corp.

41,513

787,917

Intervest Bancshares Corp. Class A (a)

6,160

20,944

Investors Bancorp, Inc. (a)

48,601

706,173

KeyCorp

879,084

7,120,580

Lakeland Bancorp, Inc.

9,026

81,776

Lakeland Financial Corp.

13,545

341,605

M&T Bank Corp.

96,545

7,880,003

Macatawa Bank Corp. (a)(d)

22,839

62,807

MainSource Financial Group, Inc.

13,271

134,568

MB Financial, Inc.

39,661

789,254

MBT Financial Corp. (a)

1,548

3,282

Merchants Bancshares, Inc.

4,373

121,788

Metro Bancorp, Inc. (a)

11,557

122,966

Midsouth Bancorp, Inc.

5,240

67,386

National Bankshares, Inc.

5,203

140,533

 

Shares

Value

National Penn Bancshares, Inc. (d)

120,787

$ 1,056,886

NBT Bancorp, Inc.

33,888

739,097

NewBridge Bancorp (a)

7,211

29,277

North Valley Bancorp (a)

849

8,881

Northrim Bancorp, Inc.

2,935

58,700

Old National Bancorp, Indiana

66,861

807,681

Old Second Bancorp, Inc. (a)(d)

18,605

22,326

OmniAmerican Bancorp, Inc. (a)

6,877

123,030

Oriental Financial Group, Inc. (d)

28,906

339,646

Orrstown Financial Services, Inc.

4,006

34,652

Pacific Capital Bancorp NA (a)

7,809

218,730

Pacific Continental Corp.

3,048

25,603

Pacific Mercantile Bancorp (a)

5,055

22,040

Pacific Premier Bancorp, Inc. (a)

35

263

PacWest Bancorp

32,508

707,699

Palmetto Bancshares, Inc. (a)

315

1,733

Park National Corp. (d)

10,514

723,784

Park Sterling Corp. (a)

122

555

Penns Woods Bancorp, Inc.

306

11,931

Peoples Bancorp, Inc.

3,334

53,911

Peoples Financial Corp., Mississippi

2,667

25,897

Pinnacle Financial Partners, Inc. (a)(d)

30,086

498,224

PNC Financial Services Group, Inc.

426,140

25,363,853

Popular, Inc. (a)

781,463

1,484,780

Preferred Bank, Los Angeles (a)

1,131

11,423

Premier Financial Bancorp, Inc. (a)

115

702

Princeton National Bancorp, Inc. (a)(d)

2,541

4,167

PrivateBancorp, Inc.

59,931

869,000

Prosperity Bancshares, Inc.

34,532

1,510,430

Regions Financial Corp.

944,773

5,441,892

Renasant Corp.

22,516

341,568

Republic Bancorp, Inc., Kentucky Class A

18,205

474,422

Royal Bancshares of Pennsylvania, Inc. Class A (a)

2,700

3,564

S&T Bancorp, Inc.

32,238

683,768

S.Y. Bancorp, Inc.

6,551

142,484

Sandy Spring Bancorp, Inc.

13,803

249,282

SCBT Financial Corp.

10,493

324,968

Seacoast Banking Corp., Florida (a)

25,630

47,416

Shore Bancshares, Inc.

2,958

18,251

Sierra Bancorp

3,618

33,286

Signature Bank (a)(d)

34,178

2,028,806

Simmons First National Corp. Class A

10,951

287,902

Southside Bancshares, Inc.

12,128

258,448

Southwest Bancorp, Inc., Oklahoma (a)

15,446

132,218

State Bank Financial Corp. (a)

21,939

356,289

State Investors Bancorp, Inc. (a)

2,013

22,425

StellarOne Corp.

11,962

139,118

Sterling Bancorp, New York

27,642

246,014

Sterling Financial Corp., Washington (a)

32,587

634,143

Suffolk Bancorp (a)

12,482

151,032

Sun Bancorp, Inc., New Jersey (a)

29,419

84,433

SunTrust Banks, Inc.

406,442

9,331,908

Susquehanna Bancshares, Inc. (d)

163,794

1,518,370

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

SVB Financial Group (a)(d)

37,929

$ 2,248,431

Synovus Financial Corp.

628,901

1,333,270

Taylor Capital Group, Inc. (a)(d)

9,976

134,177

TCF Financial Corp. (d)

106,955

1,152,975

Texas Capital Bancshares, Inc. (a)(d)

44,486

1,507,631

The First Bancorp, Inc.

2,896

43,440

TIB Financial Corp. (a)

215

2,322

Tompkins Financial Corp. (d)

6,090

250,299

TowneBank (d)

18,053

233,245

Trico Bancshares

12,062

195,404

Trustmark Corp.

54,904

1,294,636

U.S. Bancorp

1,544,556

45,409,946

UMB Financial Corp.

25,089

1,044,957

Umpqua Holdings Corp. (d)

89,344

1,100,718

Union/First Market Bankshares Corp.

16,413

227,812

United Bankshares, Inc., West Virginia

35,646

1,043,715

United Community Banks, Inc., Georgia (a)

13,649

122,432

Univest Corp. of Pennsylvania

7,216

114,013

Valley National Bancorp (d)

175,665

2,197,569

Virginia Commerce Bancorp, Inc. (a)

37,552

315,437

VIST Financial Corp.

1,370

16,385

Washington Banking Co., Oak Harbor

5,615

71,254

Washington Trust Bancorp, Inc.

15,489

364,146

Webster Financial Corp. (d)

53,186

1,163,710

Wellesley Bancorp, Inc.

673

8,372

Wells Fargo & Co.

3,979,209

124,509,450

WesBanco, Inc.

18,333

357,494

West Bancorp., Inc.

1,202

11,575

West Coast Bancorp (a)

10,217

175,222

Westamerica Bancorp.

22,409

1,061,290

Western Alliance Bancorp. (a)(d)

48,403

394,000

Wilshire Bancorp, Inc. (a)(d)

41,540

180,284

Wintrust Financial Corp.

26,208

883,472

Zions Bancorporation

135,681

2,577,939

 

363,709,861

Consumer Finance - 0.7%

Advance America Cash Advance Centers, Inc.

34,619

358,999

American Express Co.

815,889

43,152,369

Capital One Financial Corp.

380,834

19,270,200

Cash America International, Inc. (d)

21,391

992,115

CompuCredit Holdings Corp. (a)(d)

48,566

260,799

Consumer Portfolio Services, Inc. (a)

2,464

2,883

Credit Acceptance Corp. (a)(d)

6,852

659,574

DFC Global Corp. (a)

41,227

738,376

Discover Financial Services

420,798

12,628,148

EZCORP, Inc. (non-vtg.) Class A (a)

32,709

1,030,334

First Cash Financial Services, Inc. (a)(d)

20,351

860,033

First Marblehead Corp. (a)(d)

51,880

63,294

Green Dot Corp. Class A (a)

12,869

410,907

 

Shares

Value

Imperial Holdings, Inc. (a)

16,708

$ 41,770

Nelnet, Inc. Class A

22,213

586,867

Netspend Holdings, Inc. (a)

44,711

384,962

SLM Corp.

416,481

6,563,741

World Acceptance Corp. (a)(d)

15,268

969,823

 

88,975,194

Diversified Financial Services - 2.6%

Bank of America Corp.

8,108,250

64,622,753

CBOE Holdings, Inc.

65,601

1,808,620

Citigroup, Inc.

2,316,107

77,172,685

CME Group, Inc.

51,156

14,809,150

FX Alliance, Inc.

4,330

58,585

Gain Capital Holdings, Inc.

15,735

82,451

Interactive Brokers Group, Inc.

35,966

570,421

IntercontinentalExchange, Inc. (a)

65,579

9,047,279

JPMorgan Chase & Co.

3,041,884

119,363,528

Leucadia National Corp.

154,061

4,389,198

Life Partners Holdings, Inc.

18,668

79,339

MarketAxess Holdings, Inc.

22,779

754,440

Marlin Business Services Corp. (d)

11,576

181,743

MicroFinancial, Inc.

86

578

Moody's Corp.

166,293

6,420,573

MSCI, Inc. Class A (a)(d)

85,736

3,033,340

NewStar Financial, Inc. (a)

17,193

169,523

NYSE Euronext

203,024

6,044,024

PHH Corp. (a)

45,131

614,684

PICO Holdings, Inc. (a)(d)

18,345

405,608

Resource America, Inc. Class A

2,362

14,054

The NASDAQ Stock Market, Inc. (a)

124,702

3,284,651

Vector Capital Corp. rights

4,280

0

 

312,927,227

Insurance - 3.7%

21st Century Holding Co. (a)

1,278

4,256

ACE Ltd.

272,394

19,533,374

AFLAC, Inc.

366,712

17,327,142

Alleghany Corp. (d)

5,852

1,899,793

Allied World Assurance Co. Holdings Ltd.

28,043

1,849,997

Allstate Corp.

408,767

12,847,547

American Equity Investment Life Holding Co.

51,311

620,863

American Financial Group, Inc.

61,572

2,305,871

American Independence Corp. (a)

505

2,197

American International Group, Inc. (a)

368,556

10,769,206

American National Insurance Co.

10,418

751,138

American Safety Insurance Group Ltd. (a)

2,651

51,191

Amerisafe, Inc. (a)

23,043

519,850

Amtrust Financial Services, Inc. (d)

23,804

642,946

Aon Corp.

246,387

11,533,375

Arch Capital Group Ltd. (a)

93,082

3,448,688

Argo Group International Holdings, Ltd.

29,792

889,291

Arthur J. Gallagher & Co. (d)

115,693

3,947,445

Aspen Insurance Holdings Ltd.

52,278

1,386,935

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Assurant, Inc.

85,823

$ 3,644,903

Assured Guaranty Ltd.

155,664

2,615,155

Axis Capital Holdings Ltd.

93,935

2,897,895

Baldwin & Lyons, Inc. Class B

5,084

106,967

Berkshire Hathaway, Inc. Class B (a)

1,523,175

119,493,079

Brown & Brown, Inc.

82,279

1,944,253

Cincinnati Financial Corp.

112,154

3,944,456

Citizens, Inc. Class A (a)(d)

16,628

177,587

CNA Financial Corp.

21,776

614,301

CNO Financial Group, Inc. (a)

165,388

1,227,179

Crawford & Co. Class B

10,464

46,042

Delphi Financial Group, Inc. Class A

47,148

2,100,915

Donegal Group, Inc. Class A

3,439

47,355

eHealth, Inc. (a)(d)

26,343

395,935

EMC Insurance Group

5,050

106,404

Employers Holdings, Inc.

36,335

628,232

Endurance Specialty Holdings Ltd.

33,058

1,271,411

Enstar Group Ltd. (a)(d)

9,122

884,652

Erie Indemnity Co. Class A

23,329

1,775,570

Everest Re Group Ltd.

35,638

3,130,798

FBL Financial Group, Inc. Class A

12,986

441,134

Fidelity National Financial, Inc. Class A

160,871

2,776,633

First Acceptance Corp. (a)

4,055

5,880

First American Financial Corp.

99,791

1,536,781

Flagstone Reinsurance Holdings Ltd.

25,303

200,400

Fortegra Financial Corp. (a)

10,670

74,263

Genworth Financial, Inc. Class A (a)

360,009

3,272,482

Global Indemnity PLC (a)

13,709

262,253

Greenlight Capital Re, Ltd. (a)(d)

17,063

401,834

Hallmark Financial Services, Inc. (a)

6,662

44,969

Hanover Insurance Group, Inc.

48,173

1,966,422

Harleysville Group, Inc. (d)

8,225

465,617

Hartford Financial Services Group, Inc.

337,025

6,979,788

HCC Insurance Holdings, Inc.

77,118

2,355,184

Hilltop Holdings, Inc. (a)

54,392

448,190

Horace Mann Educators Corp.

37,921

657,171

Independence Holding Co.

16,014

146,688

Infinity Property & Casualty Corp.

13,372

733,187

Investors Title Co.

1,086

49,065

Kansas City Life Insurance Co.

2,863

91,673

Kemper Corp.

35,842

1,025,798

Lincoln National Corp. (d)

231,248

5,744,200

Loews Corp.

301,087

11,784,545

Maiden Holdings Ltd.

73,970

639,841

Markel Corp. (a)

6,736

2,747,951

Marsh & McLennan Companies, Inc.

414,030

12,917,736

MBIA, Inc. (a)(d)

115,555

1,245,683

Meadowbrook Insurance Group, Inc.

46,791

445,450

Mercury General Corp.

16,938

726,301

MetLife, Inc.

667,419

25,729,002

 

Shares

Value

Montpelier Re Holdings Ltd.

62,043

$ 1,070,242

National Financial Partners Corp. (a)(d)

38,246

583,634

National Interstate Corp.

2,286

55,207

National Security Group, Inc.

1,586

14,433

National Western Life Insurance Co. Class A

1,306

177,303

Navigators Group, Inc. (a)

15,156

712,484

Old Republic International Corp.

178,199

1,935,241

OneBeacon Insurance Group Ltd.

20,572

313,723

PartnerRe Ltd.

49,442

3,136,600

Phoenix Companies, Inc. (a)(d)

61,343

126,980

Platinum Underwriters Holdings Ltd.

32,909

1,170,244

Presidential Life Corp.

17,026

184,221

Primerica, Inc.

37,863

947,332

Principal Financial Group, Inc.

266,275

7,365,167

ProAssurance Corp.

21,573

1,893,246

Progressive Corp.

507,847

10,878,083

Protective Life Corp. (d)

60,558

1,681,696

Prudential Financial, Inc.

388,075

23,734,667

Reinsurance Group of America, Inc.

67,424

3,888,342

RenaissanceRe Holdings Ltd.

38,496

2,770,172

RLI Corp.

13,036

913,302

Safety Insurance Group, Inc.

14,899

635,889

SeaBright Insurance Holdings, Inc.

38,085

311,535

Selective Insurance Group, Inc.

35,800

615,044

StanCorp Financial Group, Inc. (d)

37,431

1,488,257

State Auto Financial Corp.

6,222

86,984

Stewart Information Services Corp.

21,434

281,643

Symetra Financial Corp.

63,181

628,019

The Chubb Corp.

225,559

15,328,990

The Travelers Companies, Inc.

336,375

19,499,659

Torchmark Corp. (d)

96,240

4,661,866

Tower Group, Inc.

33,224

765,813

Transatlantic Holdings, Inc.

44,643

2,705,366

Unico American Corp. (a)

3,526

38,257

United Fire Group, Inc.

20,054

402,885

Universal Insurance Holdings, Inc.

15,547

62,654

Unum Group

265,385

6,117,124

Validus Holdings Ltd.

48,925

1,491,723

W.R. Berkley Corp. (d)

93,123

3,329,147

White Mountains Insurance Group Ltd.

5,455

2,706,880

XL Group PLC Class A

291,212

6,057,210

 

454,067,579

Real Estate Investment Trusts - 3.1%

Acadia Realty Trust (SBI) (d)

40,453

857,199

AG Mortgage Investment Trust, Inc. (d)

8,651

172,328

Agree Realty Corp.

17,794

427,056

Alexanders, Inc. (d)

2,559

971,013

Alexandria Real Estate Equities, Inc.

48,539

3,479,761

American Assets Trust, Inc.

30,756

661,869

American Campus Communities, Inc. (d)

50,695

2,086,099

American Capital Agency Corp.

159,714

4,904,817

American Capital Mortgage Investment Corp. (d)

6,160

132,810

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Tower Corp.

302,714

$ 18,943,842

Annaly Capital Management, Inc. (d)

759,339

12,620,214

Anworth Mortgage Asset Corp.

125,333

814,665

Apartment Investment & Management Co. Class A

79,559

1,976,246

Apollo Commercial Real Estate Finance, Inc.

23,002

343,880

Arbor Realty Trust, Inc. (a)

23,842

114,442

Armour Residential REIT, Inc.

96,013

678,812

Ashford Hospitality Trust, Inc. (d)

69,895

589,914

Associated Estates Realty Corp. (d)

41,987

626,446

AvalonBay Communities, Inc. (d)

79,154

10,263,899

BioMed Realty Trust, Inc. (d)

115,007

2,118,429

Boston Properties, Inc.

110,386

11,209,698

Brandywine Realty Trust (SBI) (d)

116,242

1,256,576

BRE Properties, Inc.

50,669

2,453,900

BRT Realty Trust (a)

5,568

35,969

Camden Property Trust (SBI) (d)

53,660

3,326,920

Campus Crest Communities, Inc.

19,510

206,611

Capital Trust, Inc. Class A (a)

19,793

67,296

CapLease, Inc.

46,796

188,588

Capstead Mortgage Corp.

62,774

834,894

CBL & Associates Properties, Inc. (d)

105,320

1,856,792

Cedar Shopping Centers, Inc.

35,947

171,108

Chatham Lodging Trust

11,126

134,180

Chesapeake Lodging Trust (d)

21,838

385,004

Chimera Investment Corp.

1,176,306

3,611,259

Cogdell Spencer, Inc.

38,346

162,204

Colonial Properties Trust (SBI) (d)

73,570

1,509,656

Colony Financial, Inc.

21,335

355,868

CommonWealth REIT

67,934

1,263,572

Coresite Realty Corp.

15,524

331,437

Corporate Office Properties Trust (SBI) (d)

60,016

1,471,592

Cousins Properties, Inc. (d)

85,536

632,111

Crexus Investment Corp.

50,256

560,354

CubeSmart

77,898

878,689

Cys Investments, Inc. (d)

81,827

1,110,392

DCT Industrial Trust, Inc. (d)

159,549

903,047

DDR Corp.

184,424

2,605,911

DiamondRock Hospitality Co. (d)

119,310

1,188,328

Digital Realty Trust, Inc.

76,725

5,562,563

Douglas Emmett, Inc.

89,730

1,890,611

Duke Realty LP

198,989

2,761,967

DuPont Fabros Technology, Inc. (d)

42,941

983,349

EastGroup Properties, Inc. (d)

24,180

1,165,234

Education Realty Trust, Inc. (d)

62,872

646,324

Entertainment Properties Trust (SBI) (d)

60,495

2,752,523

Equity Lifestyle Properties, Inc. (d)

31,485

2,094,067

Equity One, Inc. (d)

40,590

772,022

Equity Residential (SBI)

234,055

13,315,389

Essex Property Trust, Inc. (d)

26,848

3,758,452

 

Shares

Value

Excel Trust, Inc.

30,162

$ 361,642

Extra Space Storage, Inc.

78,885

2,080,197

Federal Realty Investment Trust (SBI)

61,635

5,876,897

FelCor Lodging Trust, Inc. (a)

117,716

452,029

First Industrial Realty Trust, Inc. (a)

56,203

664,319

First Potomac Realty Trust (d)

52,713

697,393

Franklin Street Properties Corp. (d)

68,554

706,792

General Growth Properties, Inc.

364,744

5,934,385

Getty Realty Corp. (d)

23,628

401,676

Gladstone Commercial Corp.

7,566

135,204

Glimcher Realty Trust

104,869

1,038,203

Government Properties Income Trust

25,248

589,036

Gramercy Capital Corp. (a)

25,709

74,556

Hatteras Financial Corp.

62,065

1,767,611

HCP, Inc.

343,212

13,556,874

Health Care REIT, Inc.

150,000

8,166,000

Healthcare Realty Trust, Inc. (d)

51,018

1,054,542

Hersha Hospitality Trust

136,305

685,614

Highwoods Properties, Inc. (SBI)

48,585

1,554,720

Home Properties, Inc. (d)

35,000

2,017,050

Hospitality Properties Trust (SBI) (d)

90,003

2,225,774

Host Hotels & Resorts, Inc. (d)

541,818

8,549,888

Hudson Pacific Properties, Inc.

14,404

220,237

Inland Real Estate Corp.

58,987

511,417

Invesco Mortgage Capital, Inc.

96,602

1,654,792

Investors Real Estate Trust (d)

69,850

532,956

iStar Financial, Inc. (a)

71,516

504,188

Kilroy Realty Corp. (d)

54,084

2,371,043

Kimco Realty Corp. (d)

343,109

6,306,343

Kite Realty Group Trust

30,457

149,544

LaSalle Hotel Properties (SBI)

60,809

1,622,384

Lexington Corporate Properties Trust

108,388

937,556

Liberty Property Trust (SBI) (d)

90,608

3,073,423

LTC Properties, Inc.

26,907

830,350

Mack-Cali Realty Corp.

59,265

1,694,979

Medical Properties Trust, Inc.

87,853

853,931

MFA Financial, Inc.

290,341

2,119,489

Mid-America Apartment Communities, Inc.

25,121

1,566,797

Mission West Properties, Inc. (d)

38,129

381,290

Monmouth Real Estate Investment Corp. Class A

12,122

113,462

MPG Office Trust, Inc. (a)(d)

84,174

188,550

National Health Investors, Inc.

21,683

1,021,920

National Retail Properties, Inc.

63,779

1,699,710

New York Mortgage Trust, Inc. (d)

3,129

22,216

NorthStar Realty Finance Corp.

91,257

487,312

Omega Healthcare Investors, Inc. (d)

72,226

1,471,244

One Liberty Properties, Inc.

11,261

196,842

Parkway Properties, Inc.

29,977

299,470

Pebblebrook Hotel Trust

35,559

762,029

Pennsylvania Real Estate Investment Trust (SBI)

54,751

734,758

Pennymac Mortgage Investment Trust

24,225

436,050

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Piedmont Office Realty Trust, Inc. Class A (d)

148,914

$ 2,623,865

Plum Creek Timber Co., Inc.

155,723

6,098,113

PMC Commercial Trust

8,500

61,455

Post Properties, Inc.

41,888

1,829,249

Potlatch Corp. (d)

27,984

862,467

Prologis, Inc.

391,545

13,179,405

PS Business Parks, Inc.

16,465

1,027,745

Public Storage

111,267

14,917,567

RAIT Financial Trust

28,885

153,091

Ramco-Gershenson Properties Trust (SBI)

23,549

260,687

Rayonier, Inc. (d)

86,770

3,863,000

Realty Income Corp.

100,000

3,689,000

Redwood Trust, Inc.

60,890

704,497

Regency Centers Corp. (d)

90,033

3,852,512

Resource Capital Corp.

43,562

251,353

Retail Opportunity Investments Corp.

20,294

236,019

RLJ Lodging Trust

47,820

837,806

Rouse Properties, Inc. (a)

13,681

200,153

Rouse Properties, Inc. rights 3/16/12 (a)

13,681

0

Sabra Health Care REIT, Inc.

44,632

637,345

Saul Centers, Inc.

11,025

417,407

Senior Housing Properties Trust (SBI)

111,115

2,377,861

Simon Property Group, Inc.

237,530

32,180,564

SL Green Realty Corp.

78,146

5,943,003

Sovran Self Storage, Inc. (d)

21,775

1,034,530

Stag Industrial, Inc.

9,543

117,283

Starwood Property Trust, Inc.

73,060

1,442,204

Strategic Hotel & Resorts, Inc. (a)

120,853

752,914

Summit Hotel Properties, Inc.

27,924

257,180

Sun Communities, Inc. (d)

36,167

1,496,952

Sunstone Hotel Investors, Inc. (a)(d)

81,015

727,515

Tanger Factory Outlet Centers, Inc.

57,882

1,694,785

Taubman Centers, Inc. (d)

39,924

2,757,551

Terreno Realty Corp.

10,962

155,880

The Macerich Co. (d)

107,006

5,777,254

Two Harbors Investment Corp.

135,657

1,394,554

UDR, Inc.

154,946

3,876,749

UMH Properties, Inc.

4,692

47,389

Universal Health Realty Income Trust (SBI)

13,491

509,825

Urstadt Biddle Properties, Inc.

314

5,831

Urstadt Biddle Properties, Inc. Class A

26,585

505,647

Ventas, Inc.

223,719

12,510,366

Vornado Realty Trust

139,847

11,429,695

Washington (REIT) (SBI)

44,091

1,305,975

Weingarten Realty Investors (SBI)

85,028

2,117,197

Weyerhaeuser Co.

408,182

8,526,922

Whitestone REIT Class B

1,800

23,292

Winthrop Realty Trust

18,504

210,761

 

383,435,297

 

Shares

Value

Real Estate Management & Development - 0.1%

American Realty Capital Properties, Inc.

5,970

$ 67,461

AV Homes, Inc. (a)

6,188

64,788

Brookfield Properties Corp.

194,536

3,379,047

CBRE Group, Inc. (a)

220,257

4,037,311

Consolidated-Tomoka Land Co.

2,432

72,620

Forest City Enterprises, Inc. Class A (a)(d)

95,968

1,403,052

Forestar Group, Inc. (a)(d)

31,999

502,064

Howard Hughes Corp. (a)

21,592

1,199,436

Jones Lang LaSalle, Inc. (d)

31,527

2,566,613

Kennedy-Wilson Holdings, Inc.

25,602

346,139

Maui Land & Pineapple, Inc. (a)

31,310

116,786

Tejon Ranch Co. (a)(d)

11,342

331,413

The St. Joe Co. (a)(d)

64,020

1,031,362

Thomas Properties Group, Inc.

14,816

63,709

Transcontinental Realty Investors, Inc. (a)

20,697

44,706

 

15,226,507

Thrifts & Mortgage Finance - 0.2%

Alliance Bancorp, Inc. of Pennsylvania

1,065

12,024

Apollo Residential Mortgage, Inc.

12,502

224,161

ASB Bancorp, Inc.

4,145

49,947

Astoria Financial Corp. (d)

69,632

611,369

Bank Mutual Corp.

56,001

220,084

BankAtlantic Bancorp, Inc. Class A (a)(d)

14,545

31,999

BankFinancial Corp.

8,862

50,070

BankUnited, Inc.

38,231

880,460

BCSB Bancorp, Inc. (a)

94

1,204

Beneficial Mutual Bancorp, Inc. (a)

34,804

315,672

Berkshire Hills Bancorp, Inc. (d)

12,304

270,565

BofI Holding, Inc. (a)

11,427

187,289

Brookline Bancorp, Inc., Delaware

86,924

797,962

Camco Financial Corp. (a)

347

791

Cape Bancorp, Inc. (a)

2,611

21,045

Capitol Federal Financial, Inc.

122,267

1,429,301

CFS Bancorp, Inc.

688

3,846

Charter Financial Corp., Georgia

1,200

11,592

Chicopee Bancorp, Inc. (a)

1,816

26,259

Citizens South Banking Corp., Delaware

4,022

17,496

Clifton Savings Bancorp, Inc.

14,989

147,342

Dime Community Bancshares, Inc.

51,879

722,156

Doral Financial Corp. (a)

159,443

223,220

ESB Financial Corp. (d)

7,915

100,916

ESSA Bancorp, Inc.

4,298

41,347

Farmer Mac Class C (non-vtg.)

8,894

177,524

First Defiance Financial Corp.

6,145

96,108

First Financial Holdings, Inc.

6,172

60,239

First Financial Northwest, Inc. (a)(d)

2,197

16,192

First PacTrust Bancorp, Inc.

4,303

50,431

Flagstar Bancorp, Inc. (a)

372,060

268,218

Flushing Financial Corp.

37,878

490,520

Fox Chase Bancorp, Inc.

14,307

178,981

Franklin Financial Corp./VA (a)

8,632

116,446

Guaranty Federal Bancshares, Inc. (a)

924

7,069

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

HF Financial Corp.

2,735

$ 31,480

Hingham Institution for Savings

1,505

78,335

Home Federal Bancorp, Inc.

1,628

16,329

Hudson City Bancorp, Inc.

361,714

2,477,741

IF Bancorp, Inc. (a)

3,112

35,570

Indiana Community Bancorp

2,264

48,902

Kaiser Federal Financial Group, Inc.

8,188

110,620

Kearny Financial Corp.

2,196

20,489

Meridian Interstate Bancorp, Inc. (a)

750

9,698

MGIC Investment Corp. (a)(d)

129,823

585,502

NASB Financial, Inc. (a)

1,203

16,686

New York Community Bancorp, Inc.

334,923

4,357,348

Northfield Bancorp, Inc. (d)

9,876

136,091

Northwest Bancshares, Inc.

92,094

1,162,226

OceanFirst Financial Corp.

5,851

80,334

Ocwen Financial Corp. (a)(d)

74,000

1,192,140

Oritani Financial Corp.

26,763

348,722

People's United Financial, Inc.

298,743

3,761,174

Peoples Federal Bancshares, Inc. (a)

1,156

18,265

Poage Bankshares, Inc.

2,365

27,316

Provident Financial Holdings, Inc.

1,385

14,279

Provident Financial Services, Inc.

56,391

774,812

Provident New York Bancorp

44,223

377,222

PVF Capital Corp. (a)

11,916

20,376

Radian Group, Inc. (d)

84,170

319,004

Riverview Bancorp, Inc. (a)

6,875

15,538

Rockville Financial, Inc.

5,182

59,852

Teche Holding Co.

130

4,863

Territorial Bancorp, Inc.

11,189

234,969

TF Financial Corp.

1,705

42,045

TFS Financial Corp. (a)

120,727

1,128,797

Timberland Bancorp, Inc. (a)

5,034

21,143

Tree.com, Inc. (a)

3,275

25,021

Trustco Bank Corp., New York

73,043

391,510

United Community Financial Corp., Ohio (a)

11,112

15,001

United Financial Bancorp, Inc.

3,272

51,861

ViewPoint Financial Group

24,223

363,103

Walker & Dunlop, Inc. (a)

10,954

136,377

Washington Federal, Inc.

81,888

1,326,586

Westfield Financial, Inc.

28,907

229,233

WSFS Financial Corp.

10,396

400,142

 

28,326,547

TOTAL FINANCIALS

1,867,602,364

HEALTH CARE - 11.3%

Biotechnology - 1.7%

Aastrom Biosciences, Inc. (a)(d)

78,454

140,433

Acadia Pharmaceuticals, Inc. (a)

28,029

46,808

 

Shares

Value

Achillion Pharmaceuticals, Inc. (a)

28,628

$ 300,594

Acorda Therapeutics, Inc. (a)

26,790

700,826

ADVENTRX Pharmaceuticals, Inc. (a)(d)

13,759

9,095

Aegerion Pharmaceuticals, Inc. (a)(d)

17,880

299,132

Affymax, Inc. (a)(d)

66,177

675,667

Agenus, Inc. (a)

772

2,463

Alexion Pharmaceuticals, Inc. (a)(d)

154,733

12,955,794

Alkermes PLC (a)

65,333

1,150,514

Allos Therapeutics, Inc. (a)

74,291

110,694

Alnylam Pharmaceuticals, Inc. (a)(d)

34,904

465,619

AMAG Pharmaceuticals, Inc. (a)

31,420

496,750

Amgen, Inc.

713,793

48,502,234

Amicus Therapeutics, Inc. (a)

6,651

39,773

Amylin Pharmaceuticals, Inc. (a)(d)

94,456

1,614,253

Anacor Pharmaceuticals, Inc. (a)

8,597

51,066

Anthera Pharmaceuticals, Inc. (a)

12,186

80,671

Ardea Biosciences, Inc. (a)(d)

18,307

390,305

Arena Pharmaceuticals, Inc. (a)(d)

227,861

405,593

ARIAD Pharmaceuticals, Inc. (a)

95,029

1,362,716

ArQule, Inc. (a)(d)

52,890

375,519

Array Biopharma, Inc. (a)

101,050

283,951

Astex Pharmaceuticals, Inc. (a)(d)

46,939

85,898

AVEO Pharmaceuticals, Inc. (a)

29,278

381,785

AVI BioPharma, Inc. (a)(d)

273,083

284,006

Avigen, Inc. rights (a)

1,600

0

BioCryst Pharmaceuticals, Inc. (a)

40,934

190,752

Biogen Idec, Inc. (a)

191,924

22,353,388

BioMarin Pharmaceutical, Inc. (a)(d)

81,154

2,901,256

BioMimetic Therapeutics, Inc. (a)

29,891

62,173

Biosante Pharmaceuticals, Inc. (a)

72,515

56,025

Biospecifics Technologies Corp. (a)

1,441

24,958

BioTime, Inc. (a)(d)

32,076

160,059

Cardium Therapeutics, Inc. (a)(d)

185,107

53,366

Cel-Sci Corp. (a)(d)

283,400

106,417

Celgene Corp. (a)

380,085

27,869,733

Cell Therapeutics, Inc. (a)(d)

100,397

128,508

Celldex Therapeutics, Inc. (a)

29,641

112,339

Celsion Corp. (a)(d)

15,910

32,775

Cepheid, Inc. (a)(d)

45,758

1,848,166

Chelsea Therapeutics International Ltd. (a)(d)

75,408

278,256

Cleveland Biolabs, Inc. (a)(d)

16,887

61,975

Codexis, Inc. (a)

13,589

53,541

Coronado Biosciences, Inc. (a)(d)

10,731

81,770

Cubist Pharmaceuticals, Inc. (a)(d)

45,911

1,967,745

Cubist Pharmaceuticals, Inc. rights (a)

32,062

0

Curis, Inc. (a)(d)

51,867

233,920

Cyclacel Pharmaceuticals, Inc. (a)

80,707

58,109

Cytokinetics, Inc. (a)

59,298

61,077

Cytori Therapeutics, Inc. (a)(d)

69,588

226,161

CytRx Corp. (a)

180,289

62,019

DARA BioSciences, Inc. (a)(d)

8,510

14,212

Dendreon Corp. (a)(d)

107,274

1,207,905

Discovery Laboratories, Inc. (a)

218

778

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

DUSA Pharmaceuticals, Inc. (a)

12,987

$ 62,597

Dyax Corp. (a)

58,403

87,020

Dynavax Technologies Corp. (a)(d)

131,405

551,901

Emergent BioSolutions, Inc. (a)

18,513

282,694

EntreMed, Inc. (a)

289

598

Enzon Pharmaceuticals, Inc. (a)

43,430

307,050

Exact Sciences Corp. (a)(d)

46,309

434,842

Exelixis, Inc. (a)

97,894

556,038

Galena Biopharma, Inc. (a)(d)

31,096

33,273

Genomic Health, Inc. (a)(d)

12,051

351,648

GenVec, Inc. (a)

8,140

21,978

Geron Corp. (a)

79,136

158,272

Gilead Sciences, Inc. (a)

608,734

27,697,397

GTx, Inc. (a)(d)

12,895

44,617

Halozyme Therapeutics, Inc. (a)(d)

66,038

760,097

Hemispherx Biopharma, Inc. (a)(d)

81,533

25,031

Horizon Pharma, Inc. (d)

8,364

28,856

Human Genome Sciences, Inc. (a)(d)

139,644

1,100,395

iBio, Inc. (a)

40,361

32,688

Idenix Pharmaceuticals, Inc. (a)

52,224

614,676

Idera Pharmaceuticals, Inc. (a)

7,737

9,903

ImmunoGen, Inc. (a)(d)

57,844

796,512

Immunomedics, Inc. (a)(d)

54,782

195,024

Incyte Corp. (a)(d)

82,304

1,395,876

Infinity Pharmaceuticals, Inc. (a)(d)

4,048

32,991

Inovio Pharmaceuticals, Inc. (a)

47,000

27,260

Insmed, Inc. (a)(d)

6,880

29,309

InterMune, Inc. (a)

50,243

674,261

Ironwood Pharmaceuticals, Inc. Class A (a)(d)

35,334

473,122

Isis Pharmaceuticals, Inc. (a)(d)

64,197

584,835

Keryx Biopharmaceuticals, Inc. (a)(d)

66,082

219,392

Lexicon Pharmaceuticals, Inc. (a)(d)

133,677

227,251

Ligand Pharmaceuticals, Inc. Class B (a)

16,755

245,963

MannKind Corp. (a)

78,574

183,863

Maxygen, Inc. (a)

47,150

258,854

Medivation, Inc. (a)(d)

25,651

1,680,397

Metabolix, Inc. (a)(d)

41,636

114,499

Micromet, Inc. (a)(d)

75,077

825,096

Momenta Pharmaceuticals, Inc. (a)(d)

43,036

630,908

Myrexis, Inc. (a)

68,786

220,115

Myriad Genetics, Inc. (a)

62,451

1,511,314

Nabi Biopharmaceuticals (a)

35,088

65,615

Nanosphere, Inc. (a)

12,896

27,855

Neurocrine Biosciences, Inc. (a)

50,654

398,647

NewLink Genetics Corp.

4,366

36,936

Novavax, Inc. (a)(d)

79,584

101,072

NPS Pharmaceuticals, Inc. (a)(d)

67,196

458,277

OncoGenex Pharmaceuticals, Inc. (a)

5,100

81,498

Oncothyreon, Inc. (a)(d)

23,957

196,447

ONYX Pharmaceuticals, Inc. (a)(d)

47,108

1,805,179

 

Shares

Value

Opexa Therapeutics, Inc. (a)

9,114

$ 8,476

Opko Health, Inc. (a)(d)

104,761

517,519

OREXIGEN Therapeutics, Inc. (a)

34,059

133,511

Osiris Therapeutics, Inc. (a)(d)

18,170

94,847

OXiGENE, Inc. (a)(d)

6,714

7,721

Oxygen Biotherapeutics, Inc. (a)(d)

27,463

73,875

PDL BioPharma, Inc.

108,271

690,769

Peregrine Pharmaceuticals, Inc. (a)(d)

48,032

45,092

Pharmacyclics, Inc. (a)(d)

40,835

1,028,634

PharmAthene, Inc. (a)(d)

51,372

75,517

Progenics Pharmaceuticals, Inc. (a)(d)

25,311

246,782

PROLOR Biotech, Inc. (a)

33,237

191,777

Raptor Pharmaceutical Corp. (a)(d)

12,780

89,204

Regeneron Pharmaceuticals, Inc. (a)(d)

68,654

7,194,253

Repligen Corp. (a)

5,241

23,113

Rexahn Pharmaceuticals, Inc. (a)(d)

45,000

22,973

Rigel Pharmaceuticals, Inc. (a)(d)

61,503

615,030

Sangamo Biosciences, Inc. (a)(d)

37,246

196,286

Savient Pharmaceuticals, Inc. (a)(d)

88,045

176,970

SciClone Pharmaceuticals, Inc. (a)(d)

28,016

131,395

Seattle Genetics, Inc. (a)(d)

83,271

1,537,183

SIGA Technologies, Inc. (a)(d)

72,968

207,959

Spectrum Pharmaceuticals, Inc. (a)(d)

36,395

516,445

StemCells, Inc. (a)(d)

14,648

16,113

Sunesis Pharmaceuticals, Inc. (a)(d)

32,643

56,799

Synageva BioPharma Corp. (a)

4,180

155,998

Synta Pharmaceuticals Corp. (a)

30,128

144,012

Targacept, Inc. (a)

18,977

129,423

Telik, Inc. (a)

11,402

1,596

Theravance, Inc. (a)(d)

51,033

954,317

Threshold Pharmaceuticals, Inc. (a)

11,685

60,645

Tranzyme, Inc.

9,317

46,958

Trius Therapeutics, Inc. (a)

7,007

35,455

United Therapeutics Corp. (a)(d)

37,819

1,805,101

Vanda Pharmaceuticals, Inc. (a)

44,094

204,596

Verastem, Inc.

400

4,640

Vertex Pharmaceuticals, Inc. (a)

191,600

7,457,072

Vical, Inc. (a)(d)

65,666

210,131

XOMA Corp. (a)

33,778

51,005

Zalicus, Inc. (a)

67,670

67,670

ZIOPHARM Oncology, Inc. (a)(d)

79,220

388,970

 

203,695,313

Health Care Equipment & Supplies - 1.9%

Abaxis, Inc. (a)(d)

23,291

618,609

Abiomed, Inc. (a)(d)

36,354

759,072

Accuray, Inc. (a)(d)

37,835

256,521

Alere, Inc. (a)

62,700

1,594,461

Align Technology, Inc. (a)(d)

92,669

2,373,253

Alphatec Holdings, Inc. (a)(d)

36,801

69,186

Analogic Corp. (d)

9,235

525,933

Angiodynamics, Inc. (a)(d)

26,377

343,429

Anika Therapeutics, Inc. (a)

4,090

46,462

Antares Pharma, Inc. (a)

25,935

65,356

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

ArthroCare Corp. (a)

20,678

$ 539,696

Atricure, Inc. (a)

2,192

22,358

Atrion Corp.

530

109,180

Bacterin International Holdings, Inc. (a)

9,747

28,851

Baxter International, Inc.

469,167

27,272,678

Becton, Dickinson & Co.

163,254

12,443,220

BioLase Technology, Inc. (d)

23,962

65,177

Boston Scientific Corp. (a)

1,310,092

8,148,772

BSD Medical Corp. (a)(d)

46,363

101,535

C. R. Bard, Inc.

65,241

6,107,862

Cantel Medical Corp.

32,623

658,658

Cardica, Inc. (a)

23,778

48,032

Cardiovascular Systems, Inc. (a)(d)

5,726

51,820

CareFusion Corp. (a)

165,874

4,281,208

Cerus Corp. (a)(d)

38,690

145,474

Conceptus, Inc. (a)(d)

26,951

363,030

CONMED Corp.

19,521

582,507

Covidien PLC

384,638

20,097,336

Cryolife, Inc. (a)

20,961

114,237

Cutera, Inc. (a)

15,449

144,448

Cyberonics, Inc. (a)(d)

26,017

968,613

Cynosure, Inc. Class A (a)

6,957

123,765

Delcath Systems, Inc. (a)(d)

119,898

522,755

DENTSPLY International, Inc. (d)

140,521

5,435,352

Derma Sciences, Inc. (a)

2,779

24,372

DexCom, Inc. (a)(d)

65,323

704,835

DynaVox, Inc. Class A (a)

5,368

17,017

Edwards Lifesciences Corp. (a)(d)

102,152

7,470,376

Endologix, Inc. (a)(d)

30,670

405,764

Exactech, Inc. (a)(d)

3,102

49,291

Fonar Corp. (a)

719

1,438

Gen-Probe, Inc. (a)

34,362

2,346,237

Genmark Diagnostics, Inc. (a)

4,700

19,552

Greatbatch, Inc. (a)(d)

22,320

552,420

Haemonetics Corp. (a)(d)

17,372

1,164,445

Hansen Medical, Inc. (a)(d)

48,696

155,340

Hill-Rom Holdings, Inc.

45,276

1,538,026

Hologic, Inc. (a)

188,071

3,898,712

ICU Medical, Inc. (a)(d)

17,344

795,743

IDEXX Laboratories, Inc. (a)

44,087

3,780,460

Insulet Corp. (a)(d)

24,061

474,483

Integra LifeSciences Holdings Corp. (a)(d)

14,197

448,625

Intuitive Surgical, Inc. (a)

32,467

16,610,767

Invacare Corp.

28,414

469,115

IRIS International, Inc. (a)

20,459

228,527

IVAX Diagnostics, Inc. (a)

3,094

1,547

Kensey Nash Corp.

22,159

500,350

Kewaunee Scientific Corp.

1,376

11,380

LeMaitre Vascular, Inc.

3,845

21,532

Mako Surgical Corp. (a)(d)

32,106

1,255,345

Masimo Corp. (a)(d)

36,398

793,476

 

Shares

Value

Medical Action Industries, Inc. (a)

12,909

$ 69,967

Medtronic, Inc.

850,420

32,418,010

MELA Sciences, Inc. (a)(d)

32,214

148,829

Meridian Bioscience, Inc. (d)

35,455

638,899

Merit Medical Systems, Inc. (a)

29,543

369,878

Misonix, Inc. (a)

2,579

5,106

Natus Medical, Inc. (a)

24,629

257,866

Navidea Biopharmaceuticals, Inc. (a)(d)

114,446

343,338

Neogen Corp. (a)(d)

25,237

875,724

NuVasive, Inc. (a)

28,061

440,277

NxStage Medical, Inc. (a)(d)

42,830

856,600

OraSure Technologies, Inc. (a)

22,681

227,490

Orthofix International NV (a)

16,427

644,103

Palomar Medical Technologies, Inc. (a)

15,820

174,653

Quidel Corp. (a)(d)

34,466

488,728

ResMed, Inc. (a)(d)

157,117

4,603,528

Retractable Technologies, Inc. (a)

5,248

6,298

Rockwell Medical Technologies, Inc. (a)

2,069

19,635

RTI Biologics, Inc. (a)

29,474

109,054

Sirona Dental Systems, Inc. (a)

39,958

1,993,904

Solta Medical, Inc. (a)

20,912

59,390

SonoSite, Inc. (a)

19,011

1,025,073

St. Jude Medical, Inc.

262,641

11,062,439

Staar Surgical Co. (a)(d)

15,788

164,669

Stereotaxis, Inc. (a)(d)

24,530

18,765

Steris Corp.

36,700

1,151,646

Stryker Corp.

227,565

12,206,587

SurModics, Inc. (a)

19,525

277,255

Symmetry Medical, Inc. (a)

29,367

212,617

Synergetics USA, Inc. (a)

3,622

22,819

Teleflex, Inc.

29,057

1,722,208

The Cooper Companies, Inc.

33,711

2,679,350

The Spectranetics Corp. (a)

29,169

226,351

Theragenics Corp. (a)

1,117

1,776

ThermoGenesis Corp. (a)(d)

15,844

16,002

Thoratec Corp. (a)(d)

42,041

1,450,415

Unilife Corp. (a)(d)

50,575

187,633

Urologix, Inc. (a)(d)

3,267

4,508

Uroplasty, Inc. (a)

1,597

4,408

Varian Medical Systems, Inc. (a)(d)

87,245

5,692,736

Vascular Solutions, Inc. (a)

2,125

22,291

Vermillion, Inc. (a)

5,249

6,929

Volcano Corp. (a)(d)

37,240

1,043,837

West Pharmaceutical Services, Inc. (d)

23,198

965,037

Wright Medical Group, Inc. (a)(d)

29,686

491,600

Young Innovations, Inc.

2,156

65,219

Zeltiq Aesthetics, Inc. (d)

6,038

66,901

Zimmer Holdings, Inc.

143,847

8,738,705

Zoll Medical Corp. (a)(d)

18,652

1,364,394

 

234,411,468

Health Care Providers & Services - 2.2%

Acadia Healthcare Co., Inc. (a)

2,518

35,227

Accretive Health, Inc. (a)(d)

27,886

724,757

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Aetna, Inc.

286,858

$ 13,413,480

Air Methods Corp. (a)(d)

12,386

1,117,589

Alliance Healthcare Services, Inc. (a)(d)

85,702

116,555

Almost Family, Inc. (a)(d)

9,932

227,244

Amedisys, Inc. (a)(d)

19,251

247,375

AMERIGROUP Corp. (a)(d)

35,313

2,398,812

AmerisourceBergen Corp.

233,877

8,735,306

AMN Healthcare Services, Inc. (a)

51,175

273,275

AmSurg Corp. (a)

25,500

666,315

Assisted Living Concepts, Inc. Class A

16,849

270,426

Bio-Reference Laboratories, Inc. (a)(d)

31,917

642,808

BioScrip, Inc. (a)(d)

41,738

264,619

Brookdale Senior Living, Inc. (a)(d)

84,038

1,566,468

Capital Senior Living Corp. (a)

26,619

228,125

Cardinal Health, Inc.

261,307

10,857,306

CardioNet, Inc. (a)

34,161

108,974

Catalyst Health Solutions, Inc. (a)

31,805

1,972,546

Centene Corp. (a)(d)

35,301

1,722,689

Chemed Corp.

14,268

882,048

Chindex International, Inc. (a)(d)

9,187

85,715

CIGNA Corp.

215,000

9,483,650

Community Health Systems, Inc. (a)

81,813

2,064,960

Conmed Healthcare Management, Inc. (a)

5,109

18,801

Corvel Corp. (a)

8,848

401,168

Coventry Health Care, Inc. (a)(d)

155,796

5,092,971

Cross Country Healthcare, Inc. (a)

29,137

164,915

DaVita, Inc. (a)

70,363

6,089,918

Emeritus Corp. (a)(d)

17,838

329,289

ExamWorks Group, Inc. (a)(d)

17,147

176,957

Express Scripts, Inc. (a)(d)

368,167

19,634,346

Five Star Quality Care, Inc. (a)

32,241

114,133

Gentiva Health Services, Inc. (a)(d)

24,132

189,436

Hanger Orthopedic Group, Inc. (a)(d)

27,160

561,940

HCA Holdings, Inc.

120,808

3,221,949

Health Management Associates, Inc. Class A (a)

180,959

1,335,477

Health Net, Inc. (a)

67,297

2,539,789

HealthSouth Corp. (a)(d)

69,496

1,414,939

Healthways, Inc. (a)

33,821

268,877

Henry Schein, Inc. (a)(d)

71,206

5,270,668

HMS Holdings Corp. (a)(d)

61,425

1,979,114

Hooper Holmes, Inc. (a)

6,267

4,378

Humana, Inc.

138,379

12,052,811

IPC The Hospitalist Co., Inc. (a)

20,567

748,022

Kindred Healthcare, Inc. (a)(d)

37,371

384,548

Laboratory Corp. of America Holdings (a)(d)

83,669

7,521,006

Landauer, Inc.

14,935

801,113

LCA-Vision, Inc. (a)

10,358

89,286

LHC Group, Inc. (a)

12,810

218,026

 

Shares

Value

LifePoint Hospitals, Inc. (a)(d)

38,142

$ 1,486,394

Lincare Holdings, Inc. (d)

67,736

1,819,389

Magellan Health Services, Inc. (a)

25,186

1,190,290

McKesson Corp.

205,993

17,202,475

Medcath Corp. (a)

2,958

22,954

Medco Health Solutions, Inc. (a)

314,026

21,225,017

MEDNAX, Inc. (a)(d)

44,058

3,277,475

Metropolitan Health Networks, Inc. (a)

12,700

106,172

MModal, Inc. (a)

39,028

401,598

Molina Healthcare, Inc. (a)(d)

19,589

665,242

MWI Veterinary Supply, Inc. (a)(d)

13,354

1,156,056

National Healthcare Corp.

6,159

276,046

NeoStem, Inc. (a)

41,470

23,638

Omnicare, Inc.

82,306

2,895,525

Owens & Minor, Inc.

43,454

1,301,882

Patterson Companies, Inc.

71,822

2,292,558

PDI, Inc. (a)

1,365

9,446

PharMerica Corp. (a)

29,176

357,698

Providence Service Corp. (a)

13,245

199,337

PSS World Medical, Inc. (a)(d)

39,096

947,296

Quest Diagnostics, Inc.

140,542

8,158,463

RadNet, Inc. (a)

27,076

80,957

Select Medical Holdings Corp. (a)

37,877

318,924

Sharps Compliance Corp. (a)

5,184

20,269

Skilled Healthcare Group, Inc. (a)

27,157

177,335

SRI/Surgical Express, Inc. (a)

774

2,941

Sun Healthcare Group, Inc. (a)

15,191

67,752

Sunrise Senior Living, Inc. (a)(d)

31,316

242,386

Team Health Holdings, Inc. (a)

29,804

646,449

Tenet Healthcare Corp. (a)

398,929

2,253,949

The Ensign Group, Inc.

5,658

155,086

Triple-S Management Corp. (a)(d)

20,220

478,607

U.S. Physical Therapy, Inc.

11,240

213,672

UnitedHealth Group, Inc.

855,641

47,701,986

Universal American Spin Corp. (a)

33,569

380,672

Universal Health Services, Inc. Class B

64,910

2,895,635

Vanguard Health Systems, Inc. (a)

30,455

303,332

VCA Antech, Inc. (a)(d)

61,414

1,350,494

Wellcare Health Plans, Inc. (a)(d)

37,775

2,563,412

WellPoint, Inc.

286,095

18,776,415

 

272,375,370

Health Care Technology - 0.1%

Allscripts-Misys Healthcare Solutions, Inc. (a)

134,782

2,603,988

athenahealth, Inc. (a)(d)

25,730

1,818,339

Authentidate Holding Corp. (a)

1,633

1,061

Cerner Corp. (a)(d)

107,829

7,961,015

Computer Programs & Systems, Inc. (d)

21,937

1,334,647

Epocrates, Inc. (a)

10,933

101,677

Greenway Medical Technologies

5,301

78,455

HealthStream, Inc. (a)(d)

13,800

281,934

MedAssets, Inc. (a)

31,551

450,548

Medidata Solutions, Inc. (a)(d)

25,864

515,728

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Merge Healthcare, Inc. (a)

32,622

$ 213,022

Omnicell, Inc. (a)(d)

25,141

375,104

Quality Systems, Inc.

27,774

1,190,671

Transcend Services, Inc. (a)(d)

6,174

132,741

 

17,058,930

Life Sciences Tools & Services - 0.6%

Affymetrix, Inc. (a)(d)

55,779

232,598

Agilent Technologies, Inc.

263,842

11,508,788

Albany Molecular Research, Inc. (a)

23,897

65,478

Apricus Biosciences, Inc. (a)

18,211

62,282

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

16,766

1,708,791

Biodelivery Sciences International, Inc. (a)

3,338

7,544

Bruker BioSciences Corp. (a)

65,927

1,056,810

Cambrex Corp. (a)

18,522

123,357

Charles River Laboratories International, Inc. (a)

42,610

1,496,889

Complete Genomics, Inc. (a)(d)

7,109

26,445

Covance, Inc. (a)(d)

43,017

2,053,201

Enzo Biochem, Inc. (a)

14,697

37,918

eResearchTechnology, Inc. (a)

54,275

346,275

Fluidigm Corp. (a)

3,871

55,820

Furiex Pharmaceuticals, Inc. (a)

9,211

166,166

Harvard Bioscience, Inc. (a)

675

2,801

Illumina, Inc. (a)(d)

116,750

5,983,438

Life Technologies Corp. (a)(d)

150,316

7,111,450

Luminex Corp. (a)(d)

39,871

895,901

Medtox Scientific, Inc. (a)

654

10,137

Mettler-Toledo International, Inc. (a)(d)

24,159

4,355,385

Pacific Biosciences of California, Inc. (a)(d)

28,978

120,838

PAREXEL International Corp. (a)

52,568

1,286,865

PerkinElmer, Inc.

78,650

2,123,550

pSivida Corp. (a)

25,265

54,067

Sequenom, Inc. (a)(d)

88,233

381,167

SeraCare Life Sciences, Inc. (a)

4,298

17,063

Strategic Diagnostics, Inc. (a)

2,665

5,410

Techne Corp.

26,162

1,872,938

Thermo Fisher Scientific, Inc.

303,487

17,183,434

Waters Corp. (a)

67,094

6,011,622

 

66,364,428

Pharmaceuticals - 4.8%

Abbott Laboratories

1,235,457

69,939,221

Acura Pharmaceuticals, Inc. (a)(d)

2,885

9,347

Akorn, Inc. (a)(d)

43,869

549,679

Alexza Pharmaceuticals, Inc. (a)(d)

85,991

53,744

Alimera Sciences, Inc. (a)

3,741

14,066

Allergan, Inc.

247,302

22,155,786

Ampio Pharmaceuticals, Inc. (a)(d)

6,057

23,380

Auxilium Pharmaceuticals, Inc. (a)(d)

37,784

746,612

 

Shares

Value

AVANIR Pharmaceuticals Class A (a)

65,547

$ 180,910

Biodel, Inc. (a)

32,439

20,599

Bristol-Myers Squibb Co.

1,387,197

44,626,127

Cadence Pharmaceuticals, Inc. (a)(d)

43,831

164,366

Cempra, Inc.

5,499

41,243

ChemoCentryx, Inc.

1,737

17,787

Columbia Laboratories, Inc. (a)

42,578

28,101

Corcept Therapeutics, Inc. (a)

36,105

141,893

Cornerstone Therapeutics, Inc. (a)

7,737

44,410

Cumberland Pharmaceuticals, Inc. (a)(d)

7,158

56,763

DepoMed, Inc. (a)(d)

31,971

201,098

Durect Corp. (a)

93,293

69,037

Echo Therapeutics, Inc. (a)(d)

20,093

37,172

Eli Lilly & Co.

764,434

29,996,390

Endo Pharmaceuticals Holdings, Inc. (a)(d)

100,446

3,723,533

Endocyte, Inc.

47,373

168,174

Forest Laboratories, Inc. (a)

229,448

7,461,649

Hi-Tech Pharmacal Co., Inc. (a)(d)

12,868

513,691

Hospira, Inc. (a)(d)

164,444

5,857,495

Impax Laboratories, Inc. (a)(d)

46,165

1,077,953

Ista Pharmaceuticals, Inc. (a)(d)

34,715

287,440

Jazz Pharmaceuticals PLC (a)

17,296

907,521

Johnson & Johnson

2,195,262

142,867,651

KV Pharmaceutical Co. Class A (a)(d)

106,840

148,508

Lannett Co., Inc. (a)

27,670

114,277

MAP Pharmaceuticals, Inc. (a)

12,387

198,811

Medicis Pharmaceutical Corp. Class A (d)

44,858

1,567,339

Merck & Co., Inc.

2,453,258

93,640,858

Mylan, Inc. (a)

369,805

8,668,229

Nektar Therapeutics (a)(d)

110,915

795,261

NuPathe, Inc. (a)

18,258

54,957

Obagi Medical Products, Inc. (a)

21,864

248,156

Omeros Corp. (a)

4,428

30,110

Optimer Pharmaceuticals, Inc. (a)(d)

23,463

300,092

Pacira Pharmaceuticals, Inc.

9,810

104,967

Pain Therapeutics, Inc. (a)(d)

34,536

126,747

Par Pharmaceutical Companies, Inc. (a)

24,023

891,494

Pernix Therapeutics Holdings, Inc. (a)

5,833

50,280

Perrigo Co.

63,753

6,570,384

Pfizer, Inc.

6,153,479

129,838,407

Pozen, Inc. (a)

23,223

101,252

Questcor Pharmaceuticals, Inc. (a)(d)

48,551

1,888,634

Repros Therapeutics, Inc. (a)

12,895

54,159

Sagent Pharmaceuticals, Inc.

10,801

234,274

Salix Pharmaceuticals Ltd. (a)(d)

38,646

1,906,021

Santarus, Inc. (a)

23,487

106,161

Somaxon Pharmaceuticals, Inc. (a)

52,262

31,880

Synthetic Biologics, Inc. (a)

9,114

20,051

The Medicines Company (a)

52,840

1,132,361

Transcept Pharmaceuticals, Inc. (a)

2,494

20,825

Ventrus Biosciences, Inc. (a)

5,603

59,840

ViroPharma, Inc. (a)(d)

55,566

1,781,446

Vivus, Inc. (a)(d)

63,327

1,424,858

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Warner Chilcott PLC (a)

129,721

$ 2,170,232

Watson Pharmaceuticals, Inc. (a)

97,907

5,709,936

XenoPort, Inc. (a)

33,327

133,308

Zogenix, Inc. (a)

31,169

71,065

 

592,178,018

TOTAL HEALTH CARE

1,386,083,527

INDUSTRIALS - 11.0%

Aerospace & Defense - 2.2%

AAR Corp. (d)

29,755

656,098

AeroVironment, Inc. (a)(d)

13,243

377,161

Alliant Techsystems, Inc.

23,292

1,397,520

American Science & Engineering, Inc.

13,204

959,931

API Technologies Corp. (a)

22,349

84,703

Ascent Solar Technologies, Inc. (a)

33,082

25,142

Astronics Corp. (a)

4,574

152,909

BE Aerospace, Inc. (a)

69,691

3,194,635

Ceradyne, Inc.

17,193

531,436

Cubic Corp.

13,440

642,432

Curtiss-Wright Corp. (d)

35,352

1,313,327

DigitalGlobe, Inc. (a)

20,614

317,043

Ducommun, Inc.

15,643

238,869

EDAC Technologies Corp. (a)

2,262

23,525

Esterline Technologies Corp. (a)(d)

21,459

1,393,762

Exelis, Inc.

137,844

1,448,740

GenCorp, Inc. (non-vtg.) (a)(d)

89,447

536,682

General Dynamics Corp.

231,403

16,945,642

GeoEye, Inc. (a)(d)

17,908

362,995

Goodrich Corp.

101,105

12,736,197

HEICO Corp. Class A (d)

25,642

1,022,603

Hexcel Corp. (a)(d)

68,067

1,720,053

Honeywell International, Inc.

580,063

34,554,353

Huntington Ingalls Industries, Inc. (a)

32,670

1,172,200

Innovative Solutions & Support, Inc. (a)

20,271

86,557

KEYW Holding Corp. (a)(d)

13,887

98,598

Kratos Defense & Security Solutions, Inc. (a)

25,078

159,747

L-3 Communications Holdings, Inc.

80,666

5,666,787

LMI Aerospace, Inc. (a)

6,877

139,947

Lockheed Martin Corp.

217,998

19,273,203

Moog, Inc. Class A (a)(d)

29,482

1,294,555

National Presto Industries, Inc.

4,216

365,063

Northrop Grumman Corp.

200,685

12,002,970

Orbital Sciences Corp. (a)(d)

39,974

561,635

Precision Castparts Corp.

117,640

19,696,465

Raytheon Co.

298,668

15,088,707

Rockwell Collins, Inc.

116,948

6,933,847

Sparton Corp. (a)

2,579

24,294

 

Shares

Value

Spirit AeroSystems Holdings, Inc. Class A (a)(d)

83,434

$ 1,999,079

Sypris Solutions, Inc. (a)

2,772

10,450

Taser International, Inc. (a)(d)

58,908

237,399

Teledyne Technologies, Inc. (a)(d)

25,240

1,504,304

Textron, Inc.

249,615

6,866,909

The Boeing Co.

535,144

40,109,043

TransDigm Group, Inc. (a)

39,452

4,686,503

Triumph Group, Inc.

32,470

2,071,586

United Technologies Corp.

634,327

53,201,005

 

273,886,611

Air Freight & Logistics - 0.7%

Air Transport Services Group, Inc. (a)

62,170

337,583

Atlas Air Worldwide Holdings, Inc. (a)(d)

43,607

1,858,530

C.H. Robinson Worldwide, Inc.

126,390

8,363,226

Expeditors International of Washington, Inc.

169,939

7,414,439

FedEx Corp.

235,769

21,216,852

Forward Air Corp.

23,667

796,868

Hub Group, Inc. Class A (a)(d)

25,258

899,943

Pacer International, Inc. (a)(d)

29,688

163,878

Park-Ohio Holdings Corp. (a)

3,535

66,281

Radiant Logistics, Inc. (a)

14,104

32,439

United Parcel Service, Inc. Class B

549,869

42,279,427

UTI Worldwide, Inc.

71,523

1,154,381

XPO Logistics, Inc. (a)

5,264

88,277

 

84,672,124

Airlines - 0.2%

Alaska Air Group, Inc. (a)

25,753

1,765,883

Allegiant Travel Co. (a)(d)

21,060

1,052,579

Delta Air Lines, Inc. (a)

696,399

6,831,674

Hawaiian Holdings, Inc. (a)

37,702

200,198

JetBlue Airways Corp. (a)(d)

168,034

856,973

Pinnacle Airlines Corp. (a)

11,387

13,323

Republic Airways Holdings, Inc. (a)

81,894

434,857

SkyWest, Inc. (d)

37,944

433,320

Southwest Airlines Co.

603,928

5,423,273

Spirit Airlines, Inc. (a)

15,904

310,605

United Continental Holdings, Inc. (a)(d)

250,567

5,174,209

US Airways Group, Inc. (a)

117,312

869,282

 

23,366,176

Building Products - 0.2%

A.O. Smith Corp.

33,683

1,521,124

AAON, Inc.

30,814

571,600

Ameresco, Inc. Class A (a)

38,199

538,224

American Woodmark Corp.

6,981

99,200

Apogee Enterprises, Inc.

33,247

441,188

Armstrong World Industries, Inc. (a)(d)

15,342

785,817

Builders FirstSource, Inc. (a)

22,494

68,157

Fortune Brands Home & Security, Inc. (a)

128,056

2,476,603

Gibraltar Industries, Inc. (a)

39,553

546,622

Griffon Corp.

38,833

415,125

Insteel Industries, Inc.

16,775

210,694

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Lennox International, Inc. (d)

34,295

$ 1,341,963

Masco Corp. (d)

257,162

3,055,085

NCI Building Systems, Inc. (a)(d)

16,002

193,624

Owens Corning (a)

116,435

3,685,168

Quanex Building Products Corp.

24,300

413,343

Simpson Manufacturing Co. Ltd. (d)

27,187

810,716

Trex Co., Inc. (a)(d)

11,686

314,704

Universal Forest Products, Inc. (d)

19,011

611,014

USG Corp. (a)(d)

46,968

669,294

 

18,769,265

Commercial Services & Supplies - 0.6%

A.T. Cross Co. Class A (a)

3,205

31,890

ABM Industries, Inc. (d)

32,787

744,265

ACCO Brands Corp. (a)(d)

34,948

412,386

Acorn Energy, Inc.

7,981

65,843

American Reprographics Co. (a)(d)

46,203

243,952

Asset Acceptance Capital Corp. (a)

10,832

50,802

Asta Funding, Inc.

4,468

35,208

Avery Dennison Corp.

88,769

2,707,455

Casella Waste Systems, Inc. Class A (a)(d)

50,882

333,277

Cenveo, Inc. (a)(d)

56,923

222,000

Cintas Corp.

89,845

3,464,423

Clean Harbors, Inc. (a)

33,813

2,270,881

Consolidated Graphics, Inc. (a)

12,018

561,120

Copart, Inc. (a)

58,019

2,888,186

Corrections Corp. of America (a)(d)

88,360

2,214,302

Courier Corp.

15,678

169,009

Covanta Holding Corp.

92,025

1,502,768

Deluxe Corp. (d)

54,408

1,342,245

Encore Capital Group, Inc. (a)(d)

16,160

360,045

EnergySolutions, Inc. (a)(d)

104,471

439,823

EnerNOC, Inc. (a)

15,233

119,884

Ennis, Inc.

21,290

356,820

Fuel Tech, Inc. (a)

21,725

134,478

G&K Services, Inc. Class A

10,202

340,033

Healthcare Services Group, Inc.

45,556

887,431

Heritage-Crystal Clean, Inc. (a)

2,763

61,090

Herman Miller, Inc.

40,346

847,266

HNI Corp.

36,970

934,602

InnerWorkings, Inc. (a)(d)

28,532

325,265

Interface, Inc. Class A

44,100

540,225

Intersections, Inc.

7,586

88,529

Iron Mountain, Inc. (d)

166,503

5,169,918

KAR Auction Services, Inc. (a)

32,774

526,678

Kimball International, Inc. Class B

16,142

99,435

Knoll, Inc.

32,235

497,064

McGrath RentCorp.

17,562

557,594

Metalico, Inc. (a)(d)

41,543

208,546

Mine Safety Appliances Co.

26,951

993,414

Mobile Mini, Inc. (a)(d)

24,084

520,214

 

Shares

Value

Multi-Color Corp.

7,946

$ 173,779

NL Industries, Inc.

5,468

80,926

Perma-Fix Environmental Services, Inc. (a)

34,689

57,931

Pitney Bowes, Inc. (d)

142,010

2,574,641

Portfolio Recovery Associates, Inc. (a)(d)

11,960

833,971

Quad/Graphics, Inc.

18,905

283,008

R.R. Donnelley & Sons Co. (d)

148,125

2,047,088

Republic Services, Inc.

262,346

7,825,781

Rollins, Inc. (d)

56,964

1,154,091

Schawk, Inc. Class A

4,209

46,594

Standard Parking Corp. (a)(d)

5,698

102,849

Standard Register Co. (d)

6,365

9,993

Steelcase, Inc. Class A (d)

74,937

657,947

Stericycle, Inc. (a)(d)

61,330

5,321,604

Swisher Hygiene, Inc. (Canada) (a)(d)

59,712

176,151

Sykes Enterprises, Inc. (a)

30,728

423,432

Team, Inc. (a)

18,138

555,023

Tetra Tech, Inc. (a)(d)

44,643

1,096,432

The Brink's Co. (d)

40,696

1,027,574

The Geo Group, Inc. (a)(d)

57,559

1,013,614

TMS International Corp.

14,898

177,286

TRC Companies, Inc. (a)(d)

4,541

23,477

Unifirst Corp. Massachusetts

12,480

749,798

United Stationers, Inc.

31,409

912,117

US Ecology, Inc.

25,366

478,656

Viad Corp.

19,833

385,950

Virco Manufacturing Co.

2,682

5,498

Waste Connections, Inc.

87,111

2,832,850

Waste Management, Inc. (d)

318,741

11,149,560

 

75,445,987

Construction & Engineering - 0.3%

AECOM Technology Corp. (a)(d)

90,995

2,124,733

Aegion Corp. (a)(d)

27,214

479,239

Argan, Inc.

3,060

45,869

Comfort Systems USA, Inc.

43,738

500,363

Dycom Industries, Inc. (a)

25,959

552,408

EMCOR Group, Inc.

48,972

1,361,422

Fluor Corp.

136,998

8,285,639

Foster Wheeler AG (a)

88,503

2,179,829

Furmanite Corp. (a)

17,662

128,933

Granite Construction, Inc. (d)

31,641

904,933

Great Lakes Dredge & Dock Corp.

39,072

277,020

Integrated Electrical Services, Inc. (a)(d)

12,011

30,508

Jacobs Engineering Group, Inc. (a)(d)

100,035

4,623,618

KBR, Inc.

110,721

4,021,387

Layne Christensen Co. (a)

15,356

371,462

MasTec, Inc. (a)

48,062

845,411

Michael Baker Corp. (a)

6,265

151,174

MYR Group, Inc. (a)

25,270

506,158

Northwest Pipe Co. (a)(d)

12,188

298,362

Orion Marine Group, Inc. (a)

15,813

115,435

Pike Electric Corp. (a)

14,023

125,225

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Primoris Services Corp.

17,623

$ 271,042

Quanta Services, Inc. (a)

153,212

3,202,131

Shaw Group, Inc. (a)

55,953

1,619,280

Sterling Construction Co., Inc. (a)(d)

25,870

268,272

Tutor Perini Corp. (a)

24,002

378,752

UniTek Global Services, Inc. (a)

10,175

42,023

URS Corp. (d)

61,309

2,676,138

 

36,386,766

Electrical Equipment - 0.7%

A123 Systems, Inc. (a)(d)

96,963

174,533

Active Power, Inc. (a)

52,517

36,757

Acuity Brands, Inc. (d)

30,960

1,925,402

Allied Motion Technologies, Inc.

4,209

30,094

Altair Nanotechnologies, Inc. (a)(d)

63,623

43,900

American Superconductor Corp. (a)(d)

110,872

496,707

AMETEK, Inc.

141,837

6,751,441

AZZ, Inc.

12,314

618,163

Babcock & Wilcox Co. (a)

97,803

2,517,449

Belden, Inc.

33,652

1,328,244

Brady Corp. Class A

41,502

1,325,989

Broadwind Energy, Inc. (a)

72,530

45,687

Capstone Turbine Corp. (a)(d)

582,341

646,399

Coleman Cable, Inc. (a)(d)

5,164

58,715

Cooper Industries PLC Class A

121,848

7,459,535

Emerson Electric Co.

594,548

29,911,710

Encore Wire Corp.

23,059

671,709

EnerSys (a)(d)

36,086

1,211,768

Espey Manufacturing & Electronics Corp.

2,015

49,247

Franklin Electric Co., Inc. (d)

17,393

869,824

FuelCell Energy, Inc. (a)(d)

246,058

366,626

Generac Holdings, Inc. (a)

30,944

787,215

General Cable Corp. (a)(d)

39,737

1,230,655

Global Power Equipment Group, Inc. (a)

10,454

253,510

GrafTech International Ltd. (a)

132,891

1,689,045

Hubbell, Inc. Class B

39,086

2,940,049

II-VI, Inc. (a)(d)

36,783

860,354

LSI Industries, Inc.

16,481

113,884

MagneTek, Inc. (a)

2,664

36,603

Nexxus Lighting, Inc. (a)

1,806

2,005

Ocean Power Technologies, Inc. (a)(d)

5,875

19,681

Plug Power, Inc. (a)(d)

38,179

84,757

Polypore International, Inc. (a)(d)

32,865

1,351,409

Powell Industries, Inc. (a)(d)

7,721

253,172

PowerSecure International, Inc. (a)(d)

20,869

125,005

Preformed Line Products Co.

1,689

111,592

Regal-Beloit Corp. (d)

26,752

1,805,760

Rockwell Automation, Inc.

117,791

9,420,924

Roper Industries, Inc. (d)

74,094

6,781,083

Satcon Technology Corp. (a)(d)

75,540

37,770

SL Industries, Inc. (a)

2,156

37,191

Thermon Group Holdings, Inc.

10,097

203,354

 

Shares

Value

Thomas & Betts Corp. (a)

37,135

$ 2,682,261

Ultralife Corp. (a)

13,410

66,111

Valence Technology, Inc. (a)(d)

105,179

97,816

Vicor Corp.

10,982

89,174

 

87,620,279

Industrial Conglomerates - 2.1%

3M Co.

518,960

45,460,896

Carlisle Companies, Inc. (d)

43,210

2,108,648

Danaher Corp.

462,943

24,457,279

General Electric Co.

8,440,000

160,782,000

Raven Industries, Inc. (d)

15,000

945,750

Seaboard Corp. (a)(d)

249

476,367

Standex International Corp.

10,804

412,821

Tyco International Ltd.

358,852

18,595,711

 

253,239,472

Machinery - 2.5%

Accuride Corp. (a)

79,004

628,082

Actuant Corp. Class A (d)

48,056

1,353,738

Adept Technology, Inc. (a)

584

2,365

AGCO Corp. (a)(d)

70,548

3,642,393

Alamo Group, Inc.

14,374

386,229

Albany International Corp. Class A

29,462

704,731

Altra Holdings, Inc. (a)

19,022

370,739

American Railcar Industries, Inc. (a)

11,797

348,012

Ampco-Pittsburgh Corp.

10,414

220,881

Astec Industries, Inc. (a)(d)

12,338

468,227

Barnes Group, Inc.

31,261

865,930

Blount International, Inc. (a)

31,486

539,985

Briggs & Stratton Corp.

42,488

719,747

Cascade Corp.

11,310

602,144

Caterpillar, Inc.

464,889

53,094,973

Chart Industries, Inc. (a)(d)

21,388

1,462,725

CIRCOR International, Inc.

13,068

432,681

CLARCOR, Inc.

35,686

1,801,072

Colfax Corp. (a)(d)

35,245

1,199,035

Columbus McKinnon Corp. (NY Shares) (a)

26,972

449,084

Commercial Vehicle Group, Inc. (a)

77,079

931,885

Crane Co.

35,717

1,734,775

Cummins, Inc.

142,433

17,173,147

Deere & Co.

321,573

26,668,049

Donaldson Co., Inc.

51,141

3,755,284

Douglas Dynamics, Inc.

12,103

157,339

Dover Corp.

158,638

10,156,005

Dynamic Materials Corp.

12,763

284,743

Eastern Co.

943

18,106

Eaton Corp.

258,323

13,481,877

Energy Recovery, Inc. (a)(d)

81,715

175,687

EnPro Industries, Inc. (a)(d)

22,235

840,705

ESCO Technologies, Inc. (d)

20,247

724,640

Federal Signal Corp. (a)(d)

80,990

380,653

Flow International Corp. (a)(d)

30,791

123,164

Flowserve Corp.

41,509

4,921,722

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

FreightCar America, Inc.

19,411

$ 536,714

Gardner Denver, Inc.

36,882

2,533,056

Gorman-Rupp Co. (d)

14,200

409,954

Graco, Inc.

43,224

2,212,204

Graham Corp.

12,124

282,853

Greenbrier Companies, Inc. (a)(d)

15,464

390,930

Hardinge, Inc.

12,474

122,619

Harsco Corp.

57,382

1,275,602

Hurco Companies, Inc. (a)

3,319

79,092

IDEX Corp.

58,989

2,465,740

Illinois Tool Works, Inc.

345,543

19,243,290

Ingersoll-Rand PLC

273,625

10,912,165

ITT Corp.

114,023

2,844,874

John Bean Technologies Corp.

23,559

406,864

Joy Global, Inc.

93,181

8,103,020

Kadant, Inc. (a)

18,429

402,489

Kaydon Corp.

29,963

1,127,208

Kennametal, Inc. (d)

57,964

2,670,401

L.B. Foster Co. Class A

10,636

313,230

Lincoln Electric Holdings, Inc.

88,988

4,110,356

Lindsay Corp.

10,287

674,724

Lydall, Inc. (a)

9,770

89,005

Manitowoc Co., Inc.

95,250

1,499,235

Meritor, Inc. (a)

87,590

649,042

Met-Pro Corp.

5,616

49,814

Middleby Corp. (a)(d)

16,713

1,633,529

Miller Industries, Inc.

10,768

170,565

Mueller Industries, Inc.

27,692

1,273,832

Mueller Water Products, Inc. Class A

87,385

259,533

NACCO Industries, Inc. Class A

5,119

500,638

Navistar International Corp. (a)

55,357

2,312,815

NN, Inc. (a)(d)

12,121

108,362

Nordson Corp.

45,409

2,496,133

Omega Flex, Inc. (a)

258

4,069

Oshkosh Truck Corp. (a)

75,655

1,763,518

PACCAR, Inc.

301,814

13,886,462

Pall Corp.

84,786

5,379,672

Parker Hannifin Corp.

124,049

11,140,841

Pentair, Inc. (d)

68,772

2,647,722

PMFG, Inc. (a)

15,367

252,172

RBC Bearings, Inc. (a)(d)

21,831

993,529

Robbins & Myers, Inc.

32,129

1,568,216

Sauer-Danfoss, Inc. (a)

13,027

705,282

Snap-On, Inc.

40,414

2,470,508

SPX Corp.

36,737

2,686,944

Stanley Black & Decker, Inc.

128,823

9,893,606

Sun Hydraulics Corp.

19,343

635,611

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

18,712

85,888

Tennant Co.

13,999

574,519

Terex Corp. (a)

80,585

2,046,053

 

Shares

Value

Timken Co.

55,895

$ 2,928,898

Titan International, Inc.

31,894

785,868

Toro Co. (d)

24,680

1,671,823

TriMas Corp. (a)(d)

21,882

530,201

Trinity Industries, Inc. (d)

57,002

1,981,390

Twin Disc, Inc. (d)

7,177

229,377

Valmont Industries, Inc. (d)

15,781

1,752,796

Wabash National Corp. (a)(d)

74,589

787,660

WABCO Holdings, Inc. (a)

48,843

2,905,670

Wabtec Corp.

49,289

3,683,367

Watts Water Technologies, Inc. Class A (d)

38,674

1,529,170

Woodward, Inc.

51,161

2,239,317

Xylem, Inc.

140,492

3,649,982

 

304,390,573

Marine - 0.0%

Alexander & Baldwin, Inc.

29,287

1,359,210

Baltic Trading Ltd.

21,117

96,716

Eagle Bulk Shipping, Inc. (a)(d)

76,396

122,234

Genco Shipping & Trading Ltd. (a)(d)

78,839

540,047

International Shipholding Corp.

7,999

171,979

Kirby Corp. (a)(d)

38,314

2,629,107

 

4,919,293

Professional Services - 0.3%

Acacia Research Corp. - Acacia Technologies (a)

31,494

1,244,013

Advisory Board Co. (a)(d)

15,789

1,277,962

Barrett Business Services, Inc.

3,040

51,741

CBIZ, Inc. (a)(d)

37,390

243,035

CDI Corp.

6,150

92,312

Corporate Executive Board Co.

26,015

1,078,062

CoStar Group, Inc. (a)(d)

17,606

1,056,008

CRA International, Inc. (a)

15,589

371,174

CTPartners Executive Search, Inc. (a)

859

5,961

Dolan Co. (a)(d)

21,177

190,169

Dun & Bradstreet Corp.

36,211

2,992,839

Equifax, Inc.

88,390

3,715,916

Exponent, Inc. (a)(d)

15,525

748,616

Franklin Covey Co. (a)

2,282

20,082

FTI Consulting, Inc. (a)(d)

36,212

1,451,015

GP Strategies Corp. (a)

3,391

53,103

Heidrick & Struggles International, Inc.

22,259

452,303

Hill International, Inc. (a)

13,945

74,745

Hudson Highland Group, Inc. (a)(d)

8,927

39,904

Huron Consulting Group, Inc. (a)

16,504

630,123

ICF International, Inc. (a)

17,107

443,585

IHS, Inc. Class A (a)(d)

41,214

3,897,608

Insperity, Inc.

15,769

475,120

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

19,294

289,410

Kforce, Inc. (a)(d)

25,995

366,530

Korn/Ferry International (a)(d)

33,723

538,556

Manpower, Inc.

59,376

2,557,324

Mastech Holdings, Inc. (a)

299

1,588

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

MISTRAS Group, Inc. (a)

12,788

$ 286,451

Navigant Consulting, Inc. (a)(d)

41,733

563,813

Nielsen Holdings B.V. (a)

48,341

1,425,576

Odyssey Marine Exploration, Inc. (a)(d)

19,002

57,956

On Assignment, Inc. (a)

26,316

365,266

Pendrell Corp. (a)

126,539

306,224

RCM Technologies, Inc. (a)

1,203

6,508

Resources Connection, Inc.

43,312

566,088

Robert Half International, Inc.

105,423

2,997,176

RPX Corp.

12,247

206,362

Spherix, Inc. (a)

232

188

Towers Watson & Co.

48,457

3,098,341

TrueBlue, Inc. (a)

38,883

643,902

Verisk Analytics, Inc. (a)

106,319

4,624,877

VSE Corp.

1,834

44,805

 

39,552,337

Road & Rail - 0.9%

AMERCO

6,519

678,889

Arkansas Best Corp. (d)

18,872

335,922

Avis Budget Group, Inc. (a)(d)

78,355

1,010,780

Celadon Group, Inc.

57,193

844,169

Con-way, Inc. (d)

37,353

1,103,781

Covenant Transport Group, Inc. Class A (a)

9,633

31,307

CSX Corp.

852,220

17,905,142

Dollar Thrifty Automotive Group, Inc. (a)

19,104

1,450,185

Genesee & Wyoming, Inc. Class A (a)(d)

27,283

1,621,156

Heartland Express, Inc. (d)

35,341

511,384

Hertz Global Holdings, Inc. (a)(d)

176,222

2,519,975

J.B. Hunt Transport Services, Inc.

80,895

4,142,633

Kansas City Southern (a)(d)

80,222

5,581,847

Knight Transportation, Inc.

36,896

632,028

Landstar System, Inc. (d)

32,065

1,733,434

Marten Transport Ltd.

20,799

434,075

Norfolk Southern Corp.

270,164

18,614,300

Old Dominion Freight Lines, Inc. (a)(d)

46,240

2,011,902

Patriot Transportation Holding, Inc. (a)

1,312

29,520

Providence & Worcester Railroad Co.

4,631

67,520

Quality Distribution, Inc. (a)

25,189

327,709

RailAmerica, Inc. (a)

21,609

445,145

Roadrunner Transportation Systems, Inc. (a)

7,586

135,410

Ryder System, Inc.

36,836

1,960,780

Saia, Inc. (a)

11,656

190,109

Swift Transporation Co. (a)

51,169

599,701

Union Pacific Corp.

385,211

42,469,513

Universal Truckload Services, Inc.

2,515

39,209

USA Truck, Inc. (a)

1,841

15,059

Werner Enterprises, Inc. (d)

39,422

954,801

 

Shares

Value

YRC Worldwide, Inc. (a)

240

$ 2,194

Zipcar, Inc. (a)(d)

19,521

253,968

 

108,653,547

Trading Companies & Distributors - 0.3%

Aceto Corp.

32,506

269,475

AeroCentury Corp. (a)

688

6,811

Air Lease Corp. Class A (d)

53,855

1,324,294

Aircastle Ltd.

32,942

448,341

Applied Industrial Technologies, Inc.

26,028

1,045,545

Beacon Roofing Supply, Inc. (a)(d)

44,417

1,047,353

BlueLinx Corp. (a)

17,176

40,192

CAI International, Inc. (a)(d)

7,670

154,551

DXP Enterprises, Inc. (a)

1,851

68,487

Essex Rental Corp. (a)(d)

16,688

61,912

Fastenal Co. (d)

252,177

13,284,684

GATX Corp.

32,405

1,409,293

H&E Equipment Services, Inc. (a)(d)

17,348

299,947

Houston Wire & Cable Co.

15,647

222,187

Interline Brands, Inc. (a)(d)

20,339

418,170

Kaman Corp.

17,880

616,681

Lawson Products, Inc.

3,745

61,081

MSC Industrial Direct Co., Inc. Class A

35,219

2,796,741

RSC Holdings, Inc. (a)

42,293

941,865

Rush Enterprises, Inc. Class A (a)(d)

25,276

602,074

TAL International Group, Inc.

16,704

602,012

Textainer Group Holdings Ltd.

13,061

433,886

Titan Machinery, Inc. (a)

17,235

451,385

United Rentals, Inc. (a)(d)

47,810

1,992,721

W.W. Grainger, Inc.

52,656

10,938,231

Watsco, Inc.

17,655

1,260,390

WESCO International, Inc. (a)(d)

30,088

1,892,234

Willis Lease Finance Corp. (a)

2,006

29,027

 

42,719,570

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)

18,229

268,149

TOTAL INDUSTRIALS

1,353,890,149

INFORMATION TECHNOLOGY - 19.2%

Communications Equipment - 2.0%

Acme Packet, Inc. (a)(d)

46,234

1,409,212

ADTRAN, Inc. (d)

45,765

1,613,216

Alliance Fiber Optic Products, Inc. (a)

8,067

74,781

Ambient Corp. (a)

1,932

9,274

Anaren, Inc. (a)

31,499

552,492

Arris Group, Inc. (a)

84,319

960,393

Aruba Networks, Inc. (a)(d)

71,459

1,542,800

Aviat Networks, Inc. (a)

66,605

175,171

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

7,032

122,919

Black Box Corp.

16,753

450,991

Blonder Tongue Laboratories, Inc. (a)

3,352

4,425

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Brocade Communications Systems, Inc. (a)

336,853

$ 1,947,010

CalAmp Corp. (a)

8,197

35,247

Calix Networks, Inc. (a)

19,283

174,318

Ciena Corp. (a)

64,815

967,040

Cisco Systems, Inc.

4,278,965

85,065,824

Communications Systems, Inc.

4,311

62,768

Comtech Telecommunications Corp. (d)

22,438

724,074

Comverse Technology, Inc. (a)

148,465

953,145

Digi International, Inc. (a)(d)

21,456

241,165

Ditech Networks, Inc. (a)

7,261

6,463

EchoStar Holding Corp. Class A (a)

36,937

1,107,002

EMCORE Corp. (a)(d)

14,874

64,553

Emulex Corp. (a)

66,808

698,812

Entrada Networks, Inc. (a)

150

0

Extreme Networks, Inc. (a)

100,558

371,059

F5 Networks, Inc. (a)

59,599

7,447,491

Finisar Corp. (a)(d)

64,308

1,304,809

Globecomm Systems, Inc. (a)

11,676

169,185

Harmonic, Inc. (a)

75,490

444,636

Harris Corp.

108,567

4,736,778

Infinera Corp. (a)(d)

68,698

546,836

InterDigital, Inc. (d)

33,368

1,262,979

Ixia (a)(d)

32,033

442,696

JDS Uniphase Corp. (a)(d)

177,119

2,309,632

Juniper Networks, Inc. (a)

460,375

10,478,135

KVH Industries, Inc. (a)

19,663

179,720

Lantronix, Inc. (a)

71

209

Loral Space & Communications Ltd. (a)

9,406

670,083

Meru Networks, Inc. (a)(d)

20,865

98,483

Motorola Mobility Holdings, Inc. (a)

255,327

10,136,482

Motorola Solutions, Inc.

227,709

11,339,908

NETGEAR, Inc. (a)(d)

32,032

1,203,442

Network Engines, Inc. (a)

28,981

41,153

Network Equipment Technologies, Inc. (a)(d)

15,181

10,946

NumereX Corp. Class A (a)(d)

2,670

25,979

Oclaro, Inc. (a)(d)

28,804

124,433

Oplink Communications, Inc. (a)

15,273

250,630

Opnext, Inc. (a)

39,034

39,424

Optical Cable Corp.

564

1,974

ORBCOMM, Inc. (a)(d)

20,031

64,700

Parkervision, Inc. (a)(d)

34,215

28,330

PC-Tel, Inc.

2,259

16,604

Performance Technologies, Inc. (a)

2,977

5,984

Plantronics, Inc.

39,954

1,490,284

Polycom, Inc. (a)

189,613

3,915,508

Powerwave Technologies, Inc. (a)(d)

17,873

25,380

Procera Networks, Inc. (a)

21,122

411,034

QUALCOMM, Inc.

1,339,659

83,299,997

Riverbed Technology, Inc. (a)(d)

114,012

3,245,922

 

Shares

Value

ShoreTel, Inc. (a)(d)

4,948

$ 26,571

Sonus Networks, Inc. (a)(d)

223,825

653,569

Sycamore Networks, Inc. (a)

13,906

256,844

Symmetricom, Inc. (a)(d)

21,713

127,455

Tellabs, Inc.

247,829

981,403

Telular Corp.

1,806

13,581

Tessco Technologies, Inc.

3,361

61,574

Ubiquiti Networks, Inc. (d)

4,528

118,996

UTStarcom Holdings Corp. (a)

124,511

174,315

ViaSat, Inc. (a)(d)

30,912

1,425,971

Westell Technologies, Inc. Class A (a)

20,974

48,030

Zhone Technologies, Inc. (a)

5,862

7,034

Zoom Technologies, Inc. (a)(d)

31,336

39,170

 

249,038,453

Computers & Peripherals - 4.6%

3D Systems Corp. (a)(d)

26,596

595,750

Apple, Inc. (a)

743,137

403,107,204

Astro-Med, Inc.

4,606

37,263

Avid Technology, Inc. (a)(d)

34,710

369,662

Concurrent Computer Corp. (a)

987

3,672

Cray, Inc. (a)

32,010

255,120

Datalink Corp. (a)

9,248

78,700

Dataram Corp. (a)

3,336

2,635

Dell, Inc. (a)

1,327,547

22,966,563

Diebold, Inc.

54,057

2,115,250

Dot Hill Systems Corp. (a)(d)

82,138

114,172

Electronics for Imaging, Inc. (a)

55,580

887,057

EMC Corp. (a)(d)

1,649,316

45,669,560

Fusion-io, Inc. (d)

9,114

248,812

Hauppauge Digital, Inc. (a)

430

555

Hewlett-Packard Co.

1,598,167

40,449,607

Hutchinson Technology, Inc. (a)(d)

26,208

56,871

iGO, Inc. (a)

68,212

47,748

Imation Corp. (a)

19,750

123,438

Immersion Corp. (a)

33,895

219,979

Intermec, Inc. (a)(d)

37,733

282,243

Interphase Corp. (a)

10,718

53,054

Intevac, Inc. (a)

17,689

139,743

Lexmark International, Inc. Class A

56,069

2,067,825

MidgardXXI, Inc. (a)

10

0

NCR Corp. (a)

113,005

2,454,469

NetApp, Inc. (a)(d)

322,353

13,861,179

Novatel Wireless, Inc. (a)

27,517

94,383

OCZ Technology Group, Inc. (a)(d)

45,585

391,575

Overland Storage, Inc. (a)

596

1,377

Presstek, Inc. (a)

7,291

4,448

QLogic Corp. (a)(d)

79,628

1,368,805

Quantum Corp. (a)(d)

153,724

404,294

Rimage Corp.

6,017

65,886

SanDisk Corp. (a)

191,635

9,478,267

Scan-Optics, Inc. (a)

300

0

Seagate Technology

321,490

8,442,327

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Silicon Graphics International Corp. (a)(d)

32,579

$ 315,691

STEC, Inc. (a)(d)

29,627

287,086

Stratasys, Inc. (a)(d)

19,165

706,039

Super Micro Computer, Inc. (a)(d)

26,807

443,388

Synaptics, Inc. (a)

22,919

842,273

Transact Technologies, Inc. (a)

3,411

22,990

USA Technologies, Inc. (a)

26,460

26,989

Video Display Corp. (a)

2,957

17,298

Western Digital Corp. (a)

203,569

7,990,083

 

567,111,330

Electronic Equipment & Components - 0.8%

Advanced Photonix, Inc. Class A (a)

4,544

3,453

Aeroflex Holding Corp. (a)

11,165

122,480

Agilysys, Inc. (a)(d)

29,298

235,849

Amphenol Corp. Class A

129,122

7,225,667

Anixter International, Inc. (a)(d)

21,905

1,523,274

Arrow Electronics, Inc. (a)

85,228

3,421,904

Avnet, Inc. (a)

111,339

3,979,256

AVX Corp.

35,625

471,675

Badger Meter, Inc.

27,105

871,968

Benchmark Electronics, Inc. (a)(d)

50,023

821,378

Brightpoint, Inc. (a)

109,219

961,127

Checkpoint Systems, Inc. (a)(d)

27,013

299,844

Clearfield, Inc. (a)

2,407

13,648

Cognex Corp.

33,219

1,416,458

Coherent, Inc. (a)(d)

20,405

1,132,069

Comverge, Inc. (a)

37,629

51,928

Corning, Inc.

1,309,123

17,070,964

CTS Corp. (d)

18,339

182,473

Daktronics, Inc. (d)

32,196

289,764

DDi Corp.

2,322

25,240

Document Security Systems, Inc. (a)(d)

5,625

25,481

Dolby Laboratories, Inc. Class A (a)(d)

41,734

1,588,813

DTS, Inc. (a)(d)

18,857

529,505

Echelon Corp. (a)(d)

32,190

158,375

Electro Rent Corp.

7,772

140,285

Electro Scientific Industries, Inc.

21,640

299,498

eMagin Corp. (a)

5,084

16,116

Fabrinet (a)

16,812

300,430

FARO Technologies, Inc. (a)(d)

18,648

1,034,218

FEI Co. (a)(d)

28,037

1,248,207

FLIR Systems, Inc.

126,251

3,303,989

Frequency Electronics, Inc. (a)

430

3,479

Giga-Tronics, Inc. (a)

2,579

3,275

GTSI Corp. (a)

2,043

9,643

I. D. Systems Inc. (a)

6,071

37,397

Identive Group, Inc. (a)(d)

86,261

191,499

IEC Electronics Corp. (a)

86

410

Ingram Micro, Inc. Class A (a)

145,788

2,788,924

Insight Enterprises, Inc. (a)

31,583

660,085

 

Shares

Value

IPG Photonics Corp. (a)(d)

18,873

$ 993,286

Iteris, Inc. (a)

1,032

1,548

Itron, Inc. (a)(d)

29,456

1,308,436

Jabil Circuit, Inc.

146,454

3,782,907

KEMET Corp. (a)

26,217

236,215

LeCroy Corp. (a)

12,224

111,972

LightPath Technologies, Inc. Class A (a)

376

669

Littelfuse, Inc.

21,280

1,126,350

LoJack Corp. (a)

24,621

90,605

LRAD Corp. (a)

56,581

80,345

Maxwell Technologies, Inc. (a)

15,285

278,034

Measurement Specialties, Inc. (a)(d)

15,282

496,971

Mercury Computer Systems, Inc. (a)(d)

23,393

336,157

Mesa Laboratories, Inc.

2,184

116,822

Methode Electronics, Inc. Class A

27,713

253,574

Micronetics, Inc. (a)

977

8,197

MicroVision, Inc. (a)(d)

33,139

107,039

MOCON, Inc.

2,209

37,995

Molex, Inc.

125,980

3,414,058

MTS Systems Corp.

16,730

821,610

Multi-Fineline Electronix, Inc. (a)

10,240

269,926

National Instruments Corp. (d)

77,745

2,068,017

NeoPhotonics Corp.

11,524

61,423

NetList, Inc. (a)(d)

67,152

233,689

Newport Corp. (a)

23,268

389,041

OSI Systems, Inc. (a)

17,430

1,028,370

Park Electrochemical Corp.

16,314

464,949

PC Connection, Inc.

4,375

39,113

PC Mall, Inc. (a)

4,077

24,666

Planar Systems, Inc. (a)

2,277

4,668

Plexus Corp. (a)(d)

33,577

1,165,122

Power-One, Inc. (a)

66,414

288,237

Pulse Electronics Corp.

50,135

154,416

RadiSys Corp. (a)

9,220

69,058

RealD, Inc. (a)(d)

37,860

446,748

Research Frontiers, Inc. (a)

1,719

6,017

Richardson Electronics Ltd.

14,373

176,213

Rofin-Sinar Technologies, Inc. (a)(d)

22,270

522,454

Rogers Corp. (a)

16,870

625,708

Sanmina-SCI Corp. (a)

57,434

666,234

ScanSource, Inc. (a)(d)

19,738

730,306

SYNNEX Corp. (a)(d)

16,578

683,511

TE Connectivity Ltd.

360,324

13,169,842

Tech Data Corp. (a)(d)

34,347

1,836,878

Trimble Navigation Ltd. (a)(d)

112,371

5,651,138

TTM Technologies, Inc. (a)(d)

45,522

533,063

Universal Display Corp. (a)(d)

32,522

1,343,484

Viasystems Group, Inc. (a)

4,710

87,229

Vishay Intertechnology, Inc. (a)(d)

124,817

1,530,256

Vishay Precision Group, Inc. (a)

9,596

140,965

Wayside Technology Group, Inc.

1,232

15,708

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

X-Rite, Inc. (a)(d)

25,574

$ 115,850

Zygo Corp. (a)

9,828

188,501

 

100,793,638

Internet Software & Services - 1.8%

Active Network, Inc.

16,913

270,608

Akamai Technologies, Inc. (a)

148,200

5,335,200

Ancestry.com, Inc. (a)(d)

20,613

469,564

AOL, Inc. (a)(d)

78,638

1,412,338

Autobytel, Inc. (a)

5,742

5,570

Bankrate, Inc.

33,840

806,746

Carbonite, Inc. (d)

4,801

46,522

comScore, Inc. (a)

21,331

469,069

Constant Contact, Inc. (a)(d)

22,301

674,382

Cornerstone OnDemand, Inc.

13,725

284,657

Crexendo, Inc.

6,585

26,999

DealerTrack Holdings, Inc. (a)

34,664

965,392

Demand Media, Inc. (a)

24,152

165,683

Dice Holdings, Inc. (a)(d)

35,391

314,272

Digital River, Inc. (a)

26,434

466,560

EarthLink, Inc.

80,611

602,164

EasyLink Services International Corp. (a)

13,300

62,111

eBay, Inc. (a)

908,088

32,455,065

eGain Communications Corp. (a)

8,558

44,587

Equinix, Inc. (a)(d)

42,644

5,977,836

FriendFinder Networks, Inc. (a)(d)

17,170

35,027

GlowPoint, Inc. (a)

18,770

55,559

Google, Inc. Class A (a)

200,534

123,980,146

IAC/InterActiveCorp

59,783

2,726,105

InfoSpace, Inc. (a)

32,776

380,529

Internap Network Services Corp. (a)(d)

34,998

261,785

IntraLinks Holdings, Inc. (a)

36,458

214,373

iPass, Inc. (a)

22,438

48,466

j2 Global, Inc.

32,417

958,571

Keynote Systems, Inc.

17,976

357,543

KIT Digital, Inc. (a)(d)

29,076

293,958

Limelight Networks, Inc. (a)(d)

33,081

124,385

LinkedIn Corp. (a)(d)

12,270

1,065,895

Liquidity Services, Inc. (a)(d)

21,953

949,467

LivePerson, Inc. (a)(d)

31,684

477,795

Local.com Corp. (a)(d)

17,671

42,057

LogMeIn, Inc. (a)

22,955

846,121

LoopNet, Inc. (a)

32,780

603,152

Marchex, Inc. Class B

28,685

123,059

Monster Worldwide, Inc. (a)(d)

89,914

624,003

Move, Inc. (a)

35,516

311,120

NIC, Inc. (d)

64,465

779,382

Onstream Media Corp. (a)

29

17

OpenTable, Inc. (a)(d)

15,333

743,651

Openwave Systems, Inc. (a)(d)

76,683

185,573

Perficient, Inc. (a)

14,607

176,453

quepasa.com, Inc. (a)(d)

18,724

73,773

 

Shares

Value

QuinStreet, Inc. (a)

17,620

$ 184,129

Rackspace Hosting, Inc. (a)

84,736

4,426,609

RealNetworks, Inc.

22,443

227,796

Responsys, Inc.

13,609

164,261

Saba Software, Inc. (a)

20,826

244,081

SciQuest, Inc. (a)

7,578

114,049

Selectica, Inc. (a)

552

2,539

SPS Commerce, Inc. (a)

5,106

126,884

Stamps.com, Inc. (a)(d)

5,476

141,555

Support.com, Inc. (a)

101,132

333,736

Synacor, Inc.

5,439

26,542

TechTarget, Inc. (a)

1,217

8,397

TheStreet.com, Inc.

3,696

6,801

Travelzoo, Inc. (a)(d)

5,383

136,728

United Online, Inc. (d)

71,982

364,229

ValueClick, Inc. (a)(d)

56,521

1,175,637

VeriSign, Inc. (d)

129,741

4,793,930

VistaPrint Ltd. (a)(d)

28,654

1,165,645

Vocus, Inc. (a)(d)

23,379

316,318

Web.com, Inc. (a)

17,847

236,294

WebMD Health Corp. (a)

42,405

1,053,764

WebMediaBrands, Inc. (a)

1,032

702

XO Group, Inc. (a)(d)

22,964

207,595

Yahoo!, Inc. (a)

952,403

14,124,136

Zillow, Inc. (a)

2,697

86,088

Zix Corp. (a)

43,773

128,255

 

217,089,990

IT Services - 3.5%

Accenture PLC Class A

559,482

33,311,558

Acxiom Corp. (a)

52,919

742,983

Alliance Data Systems Corp. (a)(d)

49,861

6,051,131

Automatic Data Processing, Inc.

397,015

21,565,855

Booz Allen Hamilton Holding Corp. Class A

8,727

160,664

Broadridge Financial Solutions, Inc.

87,381

2,126,854

CACI International, Inc. Class A (a)(d)

20,462

1,210,123

Cardtronics, Inc. (a)

30,845

820,169

Cass Information Systems, Inc.

1,428

54,964

Ciber, Inc. (a)

53,912

236,135

Cognizant Technology Solutions Corp. Class A (a)

249,816

17,724,445

Computer Sciences Corp. (d)

116,344

3,695,085

Computer Task Group, Inc. (a)

1,648

24,242

Convergys Corp. (a)(d)

80,658

1,038,875

CoreLogic, Inc. (a)

76,798

1,181,153

CSG Systems International, Inc. (a)(d)

26,552

425,098

CSP, Inc.

3,696

14,119

DST Systems, Inc.

26,518

1,405,454

Dynamics Research Corp. (a)(d)

2,443

22,280

Echo Global Logistics, Inc. (a)(d)

7,746

144,076

Edgewater Technology, Inc. (a)

2,875

10,753

EPAM Systems, Inc.

6,277

88,568

Euronet Worldwide, Inc. (a)(d)

36,875

711,319

ExlService Holdings, Inc. (a)

13,702

381,190

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Fidelity National Information Services, Inc.

242,609

$ 7,697,984

Fiserv, Inc. (a)

126,468

8,384,828

FleetCor Technologies, Inc. (a)

22,298

825,695

Forrester Research, Inc.

10,441

336,513

Gartner, Inc. Class A (a)

61,997

2,495,999

Genpact Ltd. (a)

69,465

1,112,829

Global Cash Access Holdings, Inc. (a)(d)

58,402

324,715

Global Payments, Inc.

61,860

3,193,213

Hackett Group, Inc. (a)

5,515

26,582

Heartland Payment Systems, Inc.

30,852

873,729

Higher One Holdings, Inc. (a)(d)

21,234

312,140

IBM Corp.

946,365

186,178,386

iGate Corp. (a)(d)

19,383

337,846

Innodata Isogen, Inc. (a)

9,444

54,114

Jack Henry & Associates, Inc. (d)

64,694

2,182,776

Lender Processing Services, Inc.

62,754

1,383,098

Lionbridge Technologies, Inc. (a)

34,685

89,834

ManTech International Corp. Class A

23,021

772,124

MasterCard, Inc. Class A

81,964

34,424,880

Mattersight Corp. (a)

4,307

24,722

Maximus, Inc.

30,123

1,256,430

ModusLink Global Solutions, Inc.

31,030

172,527

MoneyGram International, Inc. (a)

47,720

855,142

NCI, Inc. Class A (a)(d)

12,261

88,279

NeuStar, Inc. Class A (a)(d)

51,899

1,819,060

Online Resources Corp. (a)

26,280

78,840

Paychex, Inc. (d)

246,065

7,701,835

PFSweb, Inc. (a)

1,815

5,082

PRG-Schultz International, Inc. (a)

5,640

31,471

SAIC, Inc. (a)(d)

273,792

3,345,738

Sapient Corp. (d)

97,843

1,222,059

ServiceSource International, Inc.

26,438

444,158

StarTek, Inc. (a)

1,950

3,959

Storage Engine, Inc. (a)

434

0

Stream Global Services, Inc. (a)

29,228

89,730

Syntel, Inc.

16,557

847,718

Teletech Holdings, Inc. (a)

19,293

294,604

Teradata Corp. (a)

126,713

8,432,750

The Management Network Group, Inc. (a)

206

515

The Western Union Co.

477,567

8,343,095

TNS, Inc. (a)

26,351

483,014

Total System Services, Inc.

136,562

2,987,977

TSR, Inc. (a)

43

189

Unisys Corp. (a)

35,389

661,067

VeriFone Systems, Inc. (a)(d)

74,468

3,566,273

Virtusa Corp. (a)

2,325

36,340

Visa, Inc. Class A

393,010

45,734,574

Wright Express Corp. (a)(d)

27,520

1,702,938

 

434,384,464

 

Shares

Value

Office Electronics - 0.1%

Xerox Corp.

1,207,010

$ 9,933,692

Zebra Technologies Corp. Class A (a)

39,540

1,519,918

 

11,453,610

Semiconductors & Semiconductor Equipment - 2.6%

Advanced Energy Industries, Inc. (a)(d)

31,081

372,972

Advanced Micro Devices, Inc. (a)(d)

423,974

3,116,209

AEHR Test Systems (a)

3,126

2,501

Aetrium, Inc. (a)

2,064

1,754

Altera Corp.

244,713

9,409,215

Amkor Technology, Inc. (a)(d)

114,967

734,639

Amtech Systems, Inc. (a)(d)

12,381

108,458

ANADIGICS, Inc. (a)(d)

39,656

101,916

Analog Devices, Inc.

259,067

10,158,017

Applied Materials, Inc.

1,081,624

13,239,078

Applied Micro Circuits Corp. (a)(d)

73,605

499,042

Atmel Corp. (a)(d)

322,880

3,264,317

ATMI, Inc. (a)

23,384

515,150

AuthenTec, Inc. (a)

7,194

25,179

Axcelis Technologies, Inc. (a)

75,586

125,473

AXT, Inc. (a)

22,615

129,584

Broadcom Corp. Class A

387,137

14,382,140

Brooks Automation, Inc.

46,495

555,615

BTU International, Inc. (a)

4,067

11,998

Cabot Microelectronics Corp.

23,133

1,162,433

Cavium, Inc. (a)(d)

36,402

1,300,643

Ceva, Inc. (a)(d)

14,448

356,143

Cirrus Logic, Inc. (a)(d)

43,561

1,027,168

Cohu, Inc.

18,095

203,026

Cree, Inc. (a)(d)

80,092

2,425,987

CVD Equipment Corp. (a)(d)

24,298

279,670

Cymer, Inc. (a)(d)

24,391

1,121,498

Cypress Semiconductor Corp. (d)

184,808

3,187,938

Diodes, Inc. (a)(d)

26,894

668,047

DSP Group, Inc. (a)

34,788

222,295

Entegris, Inc. (a)

103,421

934,926

Entropic Communications, Inc. (a)(d)

53,522

329,963

Exar Corp. (a)

27,190

190,330

Fairchild Semiconductor International, Inc. (a)

99,102

1,445,898

First Solar, Inc. (a)(d)

47,554

1,535,994

FormFactor, Inc. (a)

37,840

193,362

FSI International, Inc. (a)(d)

26,930

107,181

GSI Technology, Inc. (a)

4,316

19,854

GT Advanced Technologies, Inc. (a)(d)

91,707

785,012

Hittite Microwave Corp. (a)(d)

19,341

1,105,918

Ikanos Communications, Inc. (a)

35,040

26,301

Inphi Corp. (a)

9,279

133,246

Integrated Device Technology, Inc. (a)

100,471

694,255

Integrated Silicon Solution, Inc. (a)

27,085

286,559

Intel Corp.

4,067,111

109,323,944

International Rectifier Corp. (a)

50,327

1,129,841

Intersil Corp. Class A (d)

88,851

1,005,793

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Intest Corp. (a)

2,175

$ 7,547

IXYS Corp. (a)(d)

37,153

443,235

KLA-Tencor Corp.

134,341

6,502,104

Kopin Corp. (a)(d)

42,598

153,353

Kulicke & Soffa Industries, Inc. (a)

54,346

611,936

Lam Research Corp. (a)(d)

90,374

3,768,596

Lattice Semiconductor Corp. (a)

136,230

897,756

Linear Technology Corp.

156,591

5,242,667

LSI Corp. (a)

436,463

3,753,582

LTX-Credence Corp. (a)

48,731

328,934

Marvell Technology Group Ltd. (a)

448,792

6,731,880

Mattson Technology, Inc. (a)

39,367

108,259

Maxim Integrated Products, Inc.

221,144

6,167,706

MaxLinear, Inc. Class A (a)

10,522

57,871

MEMC Electronic Materials, Inc. (a)(d)

169,051

664,370

Micrel, Inc.

33,398

356,357

Microchip Technology, Inc. (d)

142,451

5,138,208

Micron Technology, Inc. (a)(d)

676,849

5,787,059

Microsemi Corp. (a)(d)

62,713

1,311,956

Mindspeed Technologies, Inc. (a)

20,470

133,260

MIPS Technologies, Inc. (a)(d)

41,504

239,063

MKS Instruments, Inc.

37,798

1,132,050

Monolithic Power Systems, Inc. (a)

35,284

655,930

MoSys, Inc. (a)(d)

9,566

36,542

Nanometrics, Inc. (a)(d)

28,664

503,053

Novellus Systems, Inc. (a)

59,418

2,761,749

NVE Corp. (a)(d)

6,043

323,301

NVIDIA Corp. (a)

448,017

6,787,458

Omnivision Technologies, Inc. (a)(d)

44,394

726,730

ON Semiconductor Corp. (a)

400,227

3,630,059

PDF Solutions, Inc. (a)

4,311

34,617

Pericom Semiconductor Corp. (a)

17,514

134,683

Photronics, Inc. (a)(d)

74,723

523,808

Pixelworks, Inc. (a)

11,868

28,246

PLX Technology, Inc. (a)(d)

29,807

104,623

PMC-Sierra, Inc. (a)

166,615

1,144,645

Power Integrations, Inc.

28,590

1,066,407

QuickLogic Corp. (a)(d)

26,338

68,479

Rambus, Inc. (a)

76,083

538,668

Ramtron International Corp. (a)

22,353

42,471

RF Micro Devices, Inc. (a)(d)

198,693

947,766

Rubicon Technology, Inc. (a)(d)

18,271

163,891

Rudolph Technologies, Inc. (a)(d)

17,933

176,999

Semtech Corp. (a)(d)

45,838

1,316,009

Sigma Designs, Inc. (a)

22,818

131,204

Silicon Image, Inc. (a)

84,424

436,472

Silicon Laboratories, Inc. (a)(d)

30,879

1,383,379

Skyworks Solutions, Inc. (a)(d)

197,217

5,318,942

Spansion, Inc. Class A (a)

25,556

327,117

Standard Microsystems Corp. (a)(d)

24,875

636,551

STR Holdings, Inc. (a)(d)

37,233

264,354

 

Shares

Value

SunPower Corp. (a)

29,517

$ 222,263

Supertex, Inc. (a)

19,548

360,856

Teradyne, Inc. (a)(d)

178,524

2,931,364

Tessera Technologies, Inc. (a)

33,779

567,487

Texas Instruments, Inc.

941,830

31,410,031

TranSwitch Corp. (a)

16,133

45,656

Trio-Tech International (a)

3,696

7,392

TriQuint Semiconductor, Inc. (a)(d)

138,618

892,700

Ultra Clean Holdings, Inc. (a)

12,895

105,352

Ultratech, Inc. (a)

31,408

854,612

Veeco Instruments, Inc. (a)(d)

36,173

978,118

Vitesse Semiconductor Corp. (a)(d)

9,484

37,746

Volterra Semiconductor Corp. (a)(d)

28,138

864,681

Xilinx, Inc. (d)

198,755

7,340,022

 

314,326,664

Software - 3.8%

Accelrys, Inc. (a)

29,972

237,978

ACI Worldwide, Inc. (a)

37,489

1,416,334

Activision Blizzard, Inc. (d)

335,744

4,012,141

Actuate Corp. (a)

42,170

254,707

Adobe Systems, Inc. (a)

404,590

13,306,965

Advent Software, Inc. (a)(d)

32,795

843,815

American Software, Inc. Class A

3,798

31,561

ANSYS, Inc. (a)(d)

71,510

4,518,002

Ariba, Inc. (a)(d)

71,414

2,247,399

Aspen Technology, Inc. (a)(d)

68,551

1,409,409

Autodesk, Inc. (a)

171,089

6,475,719

Bitstream, Inc. Class A (a)

5,202

28,039

Blackbaud, Inc.

29,935

944,449

BMC Software, Inc. (a)

131,423

4,920,477

Bottomline Technologies, Inc. (a)(d)

23,633

664,087

BroadSoft, Inc. (a)

20,047

729,109

BSQUARE Corp. (a)

11,182

37,348

CA, Inc.

338,055

9,137,627

Cadence Design Systems, Inc. (a)(d)

209,415

2,464,815

Callidus Software, Inc. (a)(d)

12,639

93,655

Citrix Systems, Inc. (a)

157,066

11,739,113

CommVault Systems, Inc. (a)(d)

36,151

1,864,307

Compuware Corp. (a)

146,255

1,317,758

Concur Technologies, Inc. (a)(d)

32,419

1,911,100

Convio, Inc. (a)

5,835

91,376

Datawatch Corp. (a)

1,950

27,222

Deltek, Inc. (a)

2,618

28,877

Digimarc Corp. (a)

1,836

51,206

Ebix, Inc. (d)

31,393

731,457

Electronic Arts, Inc. (a)

249,134

4,068,358

Ellie Mae, Inc.

10,964

91,549

EPIQ Systems, Inc. (d)

38,746

445,192

ePlus, Inc. (a)

762

24,399

FactSet Research Systems, Inc.

29,192

2,551,381

Fair Isaac Corp.

37,437

1,515,450

FalconStor Software, Inc. (a)

21,866

62,318

Fonix Corp. (a)

1

0

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Fortinet, Inc. (a)(d)

123,327

$ 3,335,995

Glu Mobile, Inc. (a)(d)

27,012

102,105

GSE Systems, Inc. (a)

388

729

Guidance Software, Inc. (a)

3,531

40,289

Guidewire Software, Inc.

5,991

135,516

Imperva, Inc.

3,643

134,973

Informatica Corp. (a)(d)

99,837

4,907,987

Interactive Intelligence Group, Inc. (a)

8,029

224,812

Intuit, Inc.

214,635

12,414,488

JDA Software Group, Inc. (a)(d)

38,809

972,554

Jive Software, Inc.

9,842

214,654

Kenexa Corp. (a)(d)

15,879

441,277

Majesco Entertainment Co. (a)(d)

19,952

49,680

Manhattan Associates, Inc. (a)

20,570

953,625

Mentor Graphics Corp. (a)

80,500

1,220,380

MICROS Systems, Inc. (a)(d)

56,461

2,932,020

Microsoft Corp.

5,982,117

189,872,394

MicroStrategy, Inc. Class A (a)(d)

7,880

1,068,449

Mitek Systems, Inc. (a)(d)

15,896

165,318

Monotype Imaging Holdings, Inc. (a)

14,180

198,945

Motricity, Inc. (a)(d)

42,402

56,395

NetScout Systems, Inc. (a)(d)

23,369

496,124

NetSol Technologies, Inc. (a)

101,658

54,895

NetSuite, Inc. (a)

19,234

917,462

Nuance Communications, Inc. (a)(d)

213,353

5,530,110

Opnet Technologies, Inc.

7,189

205,246

Oracle Corp.

3,107,810

90,965,599

Parametric Technology Corp. (a)

83,074

2,218,076

Peerless Systems Corp. (a)

172

669

Pegasystems, Inc.

16,328

458,490

Pervasive Software, Inc. (a)

4,203

25,260

Progress Software Corp. (a)(d)

47,192

1,094,382

PROS Holdings, Inc. (a)(d)

12,895

226,049

QAD, Inc. Class B

4,298

59,098

QLIK Technologies, Inc. (a)

54,045

1,635,942

Quest Software, Inc. (a)

39,589

792,572

RealPage, Inc. (a)

20,932

415,082

Red Hat, Inc. (a)

157,804

7,804,986

Rosetta Stone, Inc. (a)

8,315

75,084

Rovi Corp. (a)

86,281

3,061,250

salesforce.com, Inc. (a)(d)

96,462

13,809,500

SeaChange International, Inc. (a)

17,668

120,849

Smith Micro Software, Inc. (a)

20,978

53,284

SolarWinds, Inc. (a)

41,125

1,532,318

Solera Holdings, Inc.

55,386

2,658,528

Sonic Foundry, Inc. (a)

155

1,142

Sourcefire, Inc. (a)(d)

26,600

1,197,532

SRS Labs, Inc. (a)

6,521

43,625

SS&C Technologies Holdings, Inc. (a)

18,752

388,541

Symantec Corp. (a)

570,036

10,169,442

Synchronoss Technologies, Inc. (a)(d)

29,419

984,360

 

Shares

Value

Synopsys, Inc. (a)

143,372

$ 4,368,545

Take-Two Interactive Software, Inc. (a)(d)

62,163

960,418

Taleo Corp. Class A (a)(d)

24,860

1,139,085

Tangoe, Inc. (a)

32,304

605,377

TeleCommunication Systems, Inc. Class A (a)

49,377

132,330

TeleNav, Inc. (a)

12,035

80,875

THQ, Inc. (a)(d)

76,823

41,484

TIBCO Software, Inc. (a)

129,577

3,753,846

TiVo, Inc. (a)

82,213

924,896

Tyler Technologies, Inc. (a)(d)

30,080

1,136,122

Ultimate Software Group, Inc. (a)(d)

18,004

1,257,039

Vasco Data Security International, Inc. (a)(d)

30,246

273,424

Verint Systems, Inc. (a)

23,323

641,149

Versant Corp. (a)

275

2,855

VirnetX Holding Corp. (a)(d)

42,196

911,012

VMware, Inc. Class A (a)

59,262

5,860,419

Wave Systems Corp. Class A (a)(d)

52,444

105,412

Websense, Inc. (a)(d)

31,243

562,686

Zynga, Inc. (d)

81,974

1,079,598

 

470,569,353

TOTAL INFORMATION TECHNOLOGY

2,364,767,502

MATERIALS - 4.0%

Chemicals - 2.4%

A. Schulman, Inc. (d)

28,352

732,616

ADA-ES, Inc. (a)

7,109

159,739

Air Products & Chemicals, Inc.

170,671

15,401,351

Airgas, Inc.

49,779

4,098,305

Albemarle Corp.

65,910

4,384,333

American Pacific Corp. (a)

688

5,346

American Vanguard Corp. (d)

23,997

396,430

Arabian American Development Co. (a)

12,294

97,491

Ashland, Inc.

50,811

3,229,547

Balchem Corp. (d)

26,952

734,442

Cabot Corp.

41,807

1,693,602

Calgon Carbon Corp. (a)(d)

83,129

1,256,079

Celanese Corp. Class A

129,149

6,143,618

CF Industries Holdings, Inc.

57,618

10,716,948

Chase Corp.

859

12,456

Chemtura Corp. (a)

73,070

1,134,046

Clean Diesel Technologies, Inc. (a)(d)

22,307

67,144

Core Molding Technologies, Inc. (a)

5,919

56,645

Cytec Industries, Inc.

34,436

2,047,565

Dow Chemical Co.

935,587

31,351,520

E.I. du Pont de Nemours & Co.

755,442

38,414,226

Eastman Chemical Co.

97,132

5,257,755

Ecolab, Inc.

229,294

13,757,640

Ferro Corp. (a)(d)

55,113

305,877

Flotek Industries, Inc. (a)(d)

54,967

615,081

FMC Corp.

56,197

5,561,817

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

FutureFuel Corp.

9,540

$ 105,417

Georgia Gulf Corp. (a)

23,211

748,787

GSE Holding, Inc.

2,100

25,515

H.B. Fuller Co. (d)

32,855

989,921

Hawkins, Inc.

5,329

206,499

Huntsman Corp.

140,478

1,918,929

Innophos Holdings, Inc.

16,934

853,135

International Flavors & Fragrances, Inc. (d)

77,751

4,434,140

Intrepid Potash, Inc. (a)(d)

39,192

991,166

KMG Chemicals, Inc.

10,303

178,757

Koppers Holdings, Inc.

22,254

837,418

Kraton Performance Polymers, Inc. (a)

20,094

558,412

Kronos Worldwide, Inc.

11,327

264,712

Landec Corp. (a)

25,874

163,006

LSB Industries, Inc. (a)(d)

18,952

762,249

LyondellBasell Industries NV Class A

283,794

12,254,225

Material Sciences Corp. (a)

4,565

39,533

Minerals Technologies, Inc.

17,066

1,101,952

Monsanto Co.

438,818

33,955,737

Nanophase Technologies Corp. (a)

3,795

2,429

NewMarket Corp.

7,381

1,346,516

Olin Corp. (d)

49,032

1,031,143

OM Group, Inc. (a)(d)

23,696

651,166

OMNOVA Solutions, Inc. (a)(d)

32,261

164,531

Penford Corp. (a)

6,469

37,261

PolyOne Corp.

70,747

950,132

PPG Industries, Inc.

126,786

11,569,223

Praxair, Inc.

243,959

26,591,531

Quaker Chemical Corp.

14,473

596,432

Rockwood Holdings, Inc. (a)

49,361

2,628,473

RPM International, Inc. (d)

90,249

2,154,244

Senomyx, Inc. (a)(d)

18,447

63,273

Sensient Technologies Corp. (d)

57,162

2,114,422

Sherwin-Williams Co.

69,774

7,197,188

Sigma Aldrich Corp.

94,992

6,819,476

Solutia, Inc.

87,015

2,445,992

Spartech Corp. (a)

19,316

112,033

Stepan Co.

8,487

742,018

The Mosaic Co.

219,915

12,700,091

The Scotts Miracle-Gro Co. Class A (d)

29,091

1,362,622

TPC Group, Inc. (a)

11,175

388,220

Tredegar Corp.

24,439

567,962

Valhi, Inc.

4,002

229,515

Valspar Corp.

85,270

3,952,265

W.R. Grace & Co. (a)

43,184

2,459,761

Westlake Chemical Corp.

12,747

767,752

Zep, Inc.

16,526

250,699

Zoltek Companies, Inc. (a)(d)

40,249

486,610

 

298,404,109

 

Shares

Value

Construction Materials - 0.1%

Eagle Materials, Inc. (d)

36,470

$ 1,144,429

Headwaters, Inc. (a)

93,443

284,067

Martin Marietta Materials, Inc.

41,456

3,559,827

Texas Industries, Inc. (d)

16,333

552,545

U.S. Concrete, Inc. (a)

13,793

57,931

Vulcan Materials Co.

106,365

4,739,624

 

10,338,423

Containers & Packaging - 0.3%

AEP Industries, Inc. (a)

6,511

227,169

Aptargroup, Inc. (d)

41,303

2,179,972

Ball Corp.

134,650

5,396,772

Bemis Co., Inc. (d)

87,122

2,733,017

Boise, Inc.

80,405

661,733

Crown Holdings, Inc. (a)

110,291

4,077,458

Graphic Packaging Holding Co. (a)

145,268

767,015

Greif, Inc. Class A (d)

29,099

1,490,160

MOD-PAC Corp. (sub. vtg.) (a)

989

6,339

Myers Industries, Inc.

17,337

230,929

Owens-Illinois, Inc. (a)

119,395

2,853,541

Packaging Corp. of America

69,635

2,063,981

Rock-Tenn Co. Class A

51,739

3,647,082

Sealed Air Corp.

144,059

2,827,878

Silgan Holdings, Inc.

35,329

1,502,189

Sonoco Products Co.

69,472

2,281,460

UFP Technologies, Inc. (a)

1,379

24,229

 

32,970,924

Metals & Mining - 1.0%

A.M. Castle & Co. (a)(d)

15,455

176,960

AK Steel Holding Corp. (d)

121,218

960,047

Alcoa, Inc.

919,985

9,356,247

Allegheny Technologies, Inc.

77,522

3,400,890

Allied Nevada Gold Corp. (a)(d)

66,857

2,300,549

Amcol International Corp.

18,664

547,415

Carpenter Technology Corp.

31,548

1,618,412

Century Aluminum Co. (a)(d)

49,996

490,461

Cliffs Natural Resources, Inc.

111,449

7,074,783

Coeur d'Alene Mines Corp. (a)(d)

92,048

2,617,845

Commercial Metals Co.

82,162

1,091,933

Compass Minerals International, Inc.

22,090

1,591,585

Comstock Mining, Inc. (a)

12,441

25,131

Freeport-McMoRan Copper & Gold, Inc.

756,136

32,181,148

Friedman Industries

2,001

20,910

General Moly, Inc. (a)(d)

49,482

178,630

Globe Specialty Metals, Inc.

35,832

509,531

Golden Minerals Co. (a)(d)

22,525

187,859

Handy & Harman Ltd. (a)

4,348

52,785

Haynes International, Inc.

8,639

546,762

Hecla Mining Co.

227,588

1,156,147

Horsehead Holding Corp. (a)

39,520

450,528

Kaiser Aluminum Corp. (d)

16,273

786,637

Materion Corp. (a)

22,336

655,562

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

McEwen Mining, Inc. (a)(d)

153,111

$ 800,771

Metals USA Holdings Corp. (a)

10,388

135,875

Mines Management, Inc. (a)(d)

12,500

25,125

Molycorp, Inc. (a)(d)

46,127

1,139,337

Newmont Mining Corp.

380,920

22,626,648

Noranda Aluminium Holding Corp.

34,612

415,344

Nucor Corp.

219,158

9,539,948

Olympic Steel, Inc.

9,587

224,719

Reliance Steel & Aluminum Co.

58,834

3,160,562

Royal Gold, Inc.

42,217

2,931,971

RTI International Metals, Inc. (a)(d)

27,976

630,579

Schnitzer Steel Inds, Inc. Class A (d)

16,509

745,546

Silver Bull Resources, Inc. (a)(d)

34,716

19,788

Solitario Exploration & Royalty Corp. (a)

7,900

11,139

Southern Copper Corp. (d)

168,589

5,421,822

Steel Dynamics, Inc.

160,458

2,376,383

Stillwater Mining Co. (a)(d)

84,322

1,197,372

SunCoke Energy, Inc. (a)

54,343

778,735

Synalloy Corp.

602

7,615

Titanium Metals Corp.

121,957

1,787,890

U.S. Silica Holdings, Inc.

9,838

166,459

United States Steel Corp. (d)

106,239

2,891,826

Universal Stainless & Alloy Products, Inc. (a)

4,997

167,300

US Energy Corp. (a)

13,579

44,675

Vista Gold Corp. (a)(d)

30,419

107,683

Walter Energy, Inc.

48,021

3,113,201

Worthington Industries, Inc.

42,754

721,260

 

129,168,330

Paper & Forest Products - 0.2%

AbitibiBowater, Inc. (a)(d)

58,314

892,204

Buckeye Technologies, Inc.

38,686

1,321,514

Clearwater Paper Corp. (a)

17,308

593,837

Deltic Timber Corp.

13,533

882,487

Domtar Corp.

31,471

3,017,125

Glatfelter

36,975

577,180

International Paper Co.

320,065

11,250,285

Kapstone Paper & Packaging Corp. (a)

27,514

553,031

Louisiana-Pacific Corp. (a)(d)

87,254

712,865

MeadWestvaco Corp.

135,474

4,102,153

Neenah Paper, Inc.

13,754

383,599

Schweitzer-Mauduit International, Inc.

12,453

872,333

Verso Paper Corp. (a)

16,407

21,329

Wausau-Mosinee Paper Corp.

43,988

410,848

 

25,590,790

TOTAL MATERIALS

496,472,576

 

Shares

Value

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 2.2%

8x8, Inc. (a)(d)

54,427

$ 233,492

AboveNet, Inc. (a)(d)

19,425

1,351,203

Alaska Communication Systems Group, Inc. (d)

91,658

293,306

Allegiance Telecom, Inc. (a)

7,100

0

AT&T, Inc.

4,755,975

145,485,275

Atlantic Tele-Network, Inc.

16,949

649,486

Boingo Wireless, Inc.

15,589

149,031

Cbeyond, Inc. (a)

34,447

264,553

CenturyLink, Inc.

476,960

19,197,640

Cincinnati Bell, Inc. New (a)(d)

146,179

548,171

Cogent Communications Group, Inc. (a)

45,760

842,899

Consolidated Communications Holdings, Inc. (d)

37,636

713,955

Elephant Talk Communication, Inc. (a)(d)

40,052

85,711

FairPoint Communications, Inc. (a)(d)

39,538

148,663

Frontier Communications Corp. (d)

749,270

3,439,149

General Communications, Inc. Class A (a)

33,964

359,679

Globalstar, Inc. (a)(d)

95,723

81,518

Hawaiian Telcom Holdco, Inc. (a)

7,614

119,692

HickoryTech Corp.

2,523

27,097

IDT Corp. Class B

36,897

333,918

inContact, Inc. (a)

21,298

113,518

Iridium Communications, Inc. (a)(d)

61,404

469,127

Level 3 Communications, Inc. (a)

186,635

4,537,097

Lumos Networks Corp.

10,948

140,134

Neutral Tandem, Inc. (a)

28,172

314,400

Premiere Global Services, Inc. (a)

54,821

474,202

Primus Telecommunications Group, Inc. (a)

10,437

143,509

SureWest Communications

15,725

352,397

Towerstream Corp. (a)(d)

34,148

96,980

tw telecom, inc. (a)(d)

109,402

2,363,083

Verizon Communications, Inc.

2,254,924

85,935,154

Vonage Holdings Corp. (a)

108,539

259,408

Windstream Corp. (d)

403,983

4,880,115

 

274,403,562

Wireless Telecommunication Services - 0.3%

Clearwire Corp. Class A (a)(d)

187,420

431,066

Crown Castle International Corp. (a)

182,816

9,471,697

Leap Wireless International, Inc. (a)

51,525

537,921

MetroPCS Communications, Inc. (a)

322,874

3,325,602

NII Holdings, Inc. (a)(d)

126,821

2,267,559

NTELOS Holdings Corp.

10,948

254,541

SBA Communications Corp. Class A (a)(d)

91,252

4,282,456

Shenandoah Telecommunications Co. (d)

22,919

228,961

Sprint Nextel Corp. (a)

2,227,579

5,502,120

Telephone & Data Systems, Inc.

73,288

1,851,988

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

U.S. Cellular Corp. (a)(d)

14,322

$ 617,851

USA Mobility, Inc.

28,203

386,945

 

29,158,707

TOTAL TELECOMMUNICATION SERVICES

303,562,269

UTILITIES - 3.4%

Electric Utilities - 1.7%

Allete, Inc. (d)

33,215

1,381,080

American Electric Power Co., Inc.

366,241

13,774,324

Central Vermont Public Service Corp. (d)

19,324

680,978

Cleco Corp. (d)

54,483

2,096,506

Duke Energy Corp.

1,032,626

21,602,536

Edison International

243,928

10,213,265

El Paso Electric Co.

44,691

1,462,736

Empire District Electric Co.

52,048

1,038,358

Entergy Corp.

153,247

10,210,848

Exelon Corp.

537,367

20,994,929

FirstEnergy Corp.

351,230

15,555,977

Great Plains Energy, Inc.

94,773

1,874,610

Hawaiian Electric Industries, Inc. (d)

66,479

1,665,299

IDACORP, Inc.

35,161

1,423,317

ITC Holdings Corp.

52,881

3,991,458

MGE Energy, Inc.

22,576

990,183

NextEra Energy, Inc.

338,664

20,153,895

Northeast Utilities

122,863

4,410,782

NV Energy, Inc.

181,962

2,853,164

Otter Tail Corp.

32,419

688,580

Pepco Holdings, Inc.

155,532

3,023,542

Pinnacle West Capital Corp.

77,059

3,624,085

PNM Resources, Inc.

67,114

1,206,710

Portland General Electric Co.

65,957

1,625,180

PPL Corp.

487,826

13,927,432

Progress Energy, Inc.

222,099

11,789,015

Southern Co.

690,945

30,532,860

UIL Holdings Corp.

34,543

1,217,641

Unisource Energy Corp.

32,111

1,181,364

Unitil Corp.

19,695

523,887

Westar Energy, Inc.

76,364

2,101,537

 

207,816,078

Gas Utilities - 0.2%

AGL Resources, Inc.

84,990

3,388,551

Atmos Energy Corp.

67,549

2,075,781

Chesapeake Utilities Corp. (d)

10,363

425,608

Delta Natural Gas Co., Inc.

1,539

58,605

Gas Natural, Inc.

1,949

21,731

Laclede Group, Inc.

27,494

1,129,728

National Fuel Gas Co.

56,086

2,822,808

New Jersey Resources Corp.

30,189

1,409,524

Northwest Natural Gas Co. (d)

34,699

1,588,173

 

Shares

Value

ONEOK, Inc.

80,943

$ 6,689,130

Piedmont Natural Gas Co., Inc.

66,004

2,138,530

Questar Corp.

120,840

2,322,545

South Jersey Industries, Inc.

25,563

1,329,276

Southwest Gas Corp.

38,877

1,658,104

UGI Corp.

77,479

2,188,782

WGL Holdings, Inc. (d)

35,927

1,466,899

 

30,713,775

Independent Power Producers & Energy Traders - 0.2%

Black Hills Corp.

38,823

1,274,947

Calpine Corp. (a)(d)

290,000

4,439,900

Constellation Energy Group, Inc.

134,026

4,859,783

Dynegy, Inc. (a)(d)

77,498

100,747

Genie Energy Ltd. Class B

11,430

109,614

GenOn Energy, Inc. (a)

573,550

1,410,933

NRG Energy, Inc. (a)

189,652

3,243,049

Ormat Technologies, Inc.

25,950

525,228

Tegal Corp. (a)

87

290

The AES Corp. (a)

604,562

8,197,861

 

24,162,352

Multi-Utilities - 1.2%

Alliant Energy Corp.

75,902

3,236,461

Ameren Corp.

176,734

5,667,859

Avista Corp.

62,033

1,532,215

CenterPoint Energy, Inc.

319,442

6,225,925

CH Energy Group, Inc. (d)

17,708

1,180,592

CMS Energy Corp.

175,000

3,746,750

Consolidated Edison, Inc.

240,766

13,988,505

Dominion Resources, Inc.

455,703

22,999,330

DTE Energy Co.

125,312

6,765,595

Integrys Energy Group, Inc.

53,328

2,774,656

MDU Resources Group, Inc.

139,832

3,034,354

NiSource, Inc. (d)

245,673

5,896,152

NorthWestern Energy Corp.

42,329

1,470,086

NSTAR

83,673

3,924,264

OGE Energy Corp.

87,987

4,617,558

PG&E Corp.

338,723

14,117,975

Public Service Enterprise Group, Inc.

385,925

11,878,772

SCANA Corp.

113,750

5,118,750

Sempra Energy (d)

169,220

10,024,593

TECO Energy, Inc. (d)

132,305

2,374,875

Vectren Corp.

57,016

1,666,008

Wisconsin Energy Corp.

171,718

5,852,149

Xcel Energy, Inc.

428,748

11,357,535

 

149,450,959

Water Utilities - 0.1%

American States Water Co. (d)

24,187

891,533

American Water Works Co., Inc.

135,341

4,639,489

Aqua America, Inc.

94,472

2,098,223

Artesian Resources Corp. Class A

7,116

135,916

Cadiz, Inc. (a)

5,759

61,161

California Water Service Group

51,749

994,098

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

Connecticut Water Service, Inc.

1,945

$ 56,055

Middlesex Water Co.

5,464

100,647

SJW Corp.

10,920

260,879

York Water Co.

4,047

70,135

 

9,308,136

TOTAL UTILITIES

421,451,300

TOTAL COMMON STOCKS

(Cost $10,517,791,599)


12,141,817,322

Nonconvertible Bonds - 0.0%

 

Principal
Amount

 

FINANCIALS - 0.0%

Capital Markets - 0.0%

GAMCO Investors, Inc. 0% 12/31/15

(Cost $22,633)

$ 22,600


18,220

U.S. Treasury Obligations - 0.1%

 

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.09% 3/8/12 to 7/19/12 (e)
(Cost $16,497,933)

16,500,000


16,497,596

Money Market Funds - 12.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

114,228,901

114,228,901

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

1,396,046,732

1,396,046,732

TOTAL MONEY MARKET FUNDS

(Cost $1,510,275,633)


1,510,275,633

TOTAL INVESTMENT
PORTFOLIO - 111.2%

(Cost $12,044,587,798)

13,668,608,771

NET OTHER ASSETS
(LIABILITIES) - (11.2)%

(1,374,027,689)

NET ASSETS - 100%

$ 12,294,581,082

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1,271 CME E-mini S&P 500 Index Contracts

March 2012

$ 86,707,620

$ 7,071,875

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

March 2012

8,984,720

877,732

112 CME S&P 500 Index Contracts

March 2012

38,203,200

2,728,848

222 NYFE Russell 2000 Mini Index Contracts

March 2012

17,982,000

1,545,248

TOTAL EQUITY INDEX CONTRACTS

$ 151,877,540

$ 12,223,703

 

The face value of futures purchased as a percentage of net assets is 1.2%

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $10,197,679.

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

$ 197,580

Fidelity Securities Lending Cash Central Fund

4,680,442

Total

$ 4,878,022

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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

$ 1,448,486,735

$ 1,448,486,735

$ -

$ -

Consumer Staples

1,140,321,223

1,140,310,188

11,035

-

Energy

1,359,179,677

1,359,179,677

-

-

Financials

1,867,602,364

1,867,600,721

-

1,643

Health Care

1,386,083,527

1,386,083,527

-

-

Industrials

1,353,890,149

1,353,890,149

-

-

Information Technology

2,364,767,502

2,364,767,502

-

-

Materials

496,472,576

496,472,576

-

-

Telecommunication Services

303,562,269

303,562,269

-

-

Utilities

421,451,300

421,451,300

-

-

Corporate Bonds

18,220

-

18,220

-

U.S. Government and Government Agency Obligations

16,497,596

-

16,497,596

-

Money Market Funds

1,510,275,633

1,510,275,633

-

-

Total Investments in Securities:

$ 13,668,608,771

$ 13,652,080,277

$ 16,526,851

$ 1,643

Derivative Instruments:

Assets

Futures Contracts

$ 12,223,703

$ 12,223,703

$ -

$ -

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

Investments in Securities:

Beginning Balance

$ 96,127

Total Realized Gain (Loss)

(132,858)

Total Unrealized Gain (Loss)

138,760

Cost of Purchases

-

Proceeds of Sales

(5,850)

Amortization/Accretion

-

Transfers in to Level 3

1,590

Transfers out of Level 3

(96,126)

Ending Balance

$ 1,643

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ 86

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, and includes the value of securities delivered through unaffiliated in-kind transactions. See Note 5 of the Notes to Financial Statements. 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 February 29, 2012. 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)

$ 12,223,703

$ -

Total Value of Derivatives

$ 12,223,703

$ -

(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.

Annual Report

Spartan Total Market Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $1,345,904,304) - See accompanying schedule:

Unaffiliated issuers (cost $10,534,312,165)

$ 12,158,333,138

 

Fidelity Central Funds (cost $1,510,275,633)

1,510,275,633

 

Total Investments (cost $12,044,587,798)

 

$ 13,668,608,771

Cash

 

34,837

Receivable for investments sold

1,280,716

Receivable for fund shares sold

51,714,360

Dividends receivable

24,985,250

Distributions receivable from Fidelity Central Funds

472,876

Receivable from investment adviser for expense reductions

10,151

Other receivables

122,673

Total assets

13,747,229,634

 

 

 

Liabilities

Payable for investments purchased

$ 37,261

Payable for fund shares redeemed

54,685,864

Accrued management fee

455,115

Payable for daily variation margin on futures contracts

1,038,336

Other affiliated payables

319,598

Other payables and accrued expenses

65,646

Collateral on securities loaned, at value

1,396,046,732

Total liabilities

1,452,648,552

 

 

 

Net Assets

$ 12,294,581,082

Net Assets consist of:

 

Paid in capital

$ 11,092,660,661

Undistributed net investment income

27,909,802

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

(462,234,277)

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

1,636,244,896

Net Assets

$ 12,294,581,082

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,379,769,804 ÷ 85,445,018 shares)

$ 39.55

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,536,902,549 ÷ 165,251,477 shares)

$ 39.56

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($693,534,327 ÷ 17,533,825 shares)

$ 39.55

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($189,758,122 ÷ 4,797,450 shares)

$ 39.55

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($1,494,616,280 ÷ 37,781,881 shares)

$ 39.56

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

Annual Report

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 214,285,292

Interest

 

15,912

Income from Fidelity Central Funds

 

4,878,022

Total income

 

219,179,226

 

 

 

Expenses

Management fee

$ 6,517,726

Transfer agent fees

2,749,481

Independent trustees' compensation

66,214

Miscellaneous

33,291

Total expenses before reductions

9,366,712

Expense reductions

(28,373)

9,338,339

Net investment income (loss)

209,840,887

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

167,667,600

Foreign currency transactions

(4,353)

Redemption in-kind with affiliated entities

393,327,878

Futures contracts

17,450,299

Total net realized gain (loss)

 

578,441,424

Change in net unrealized appreciation (depreciation) on:

Investment securities

(266,448,637)

Assets and liabilities in foreign currencies

(98)

Futures contracts

3,326,207

Total change in net unrealized appreciation (depreciation)

 

(263,122,528)

Net gain (loss)

315,318,896

Net increase (decrease) in net assets resulting from operations

$ 525,159,783

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 209,840,887

$ 182,686,921

Net realized gain (loss)

578,441,424

(140,975,443)

Change in net unrealized appreciation (depreciation)

(263,122,528)

2,243,788,031

Net increase (decrease) in net assets resulting from operations

525,159,783

2,285,499,509

Distributions to shareholders from net investment income

(195,308,977)

(179,834,546)

Distributions to shareholders from net realized gain

-

(5,804,652)

Total distributions

(195,308,977)

(185,639,198)

Share transactions - net increase (decrease)

(149,356,809)

833,400,574

Redemption fees

378,217

259,786

Total increase (decrease) in net assets

180,872,214

2,933,520,671

 

 

 

Net Assets

Beginning of period

12,113,708,868

9,180,188,197

End of period (including undistributed net investment income of $27,909,802 and undistributed net investment income of $30,424,213, respectively)

$ 12,294,581,082

$ 12,113,708,868

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.60

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .68

.61

.56

.70

.76

Net realized and unrealized gain (loss)

  .96

7.03

10.96

(16.70)

(2.30)

Total from investment operations

  1.64

7.64

11.52

(16.00)

(1.54)

Distributions from net investment income

  (.65)

(.60)

(.57)

(.64)

(.65)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.65)

(.62)

(.58) I

(.65) H

(.89)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.55

$ 38.56

$ 31.54

$ 20.60

$ 37.25

Total Return A

  4.46%

24.39%

56.10%

(43.32)%

(4.10)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .10%

.10%

.10%

.10%

.10%

Expenses net of fee waivers, if any

  .10%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .10%

.10%

.10%

.10%

.10%

Net investment income (loss)

  1.84%

1.80%

2.00%

2.23%

1.84%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,379,770

$ 6,289,666

$ 5,357,908

$ 3,358,025

$ 4,479,327

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.645 per share is comprised of distributions from net investment income of $.640 and distributions from net realized gain of $.005 per share.

I Total distributions of $.58 per share is comprised of distributions from net investment income of $.565 and distributions from net realized gain of $.015 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.61

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .69

.62

.57

.72

.77

Net realized and unrealized gain (loss)

  .97

7.03

10.95

(16.71)

(2.30)

Total from investment operations

  1.66

7.65

11.52

(15.99)

(1.53)

Distributions from net investment income

  (.66)

(.61)

(.57)

(.65)

(.66)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.66)

(.63)

(.59) I

(.65) H

(.90)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

$ 20.61

$ 37.25

Total Return A

  4.51%

24.43%

56.07%

(43.28)%

(4.07)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .07%

.07%

.07%

.07%

.07%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  1.87%

1.83%

2.03%

2.26%

1.87%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 6,536,903

$ 5,078,759

$ 3,752,204

$ 2,267,057

$ 3,565,194

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.654 per share is comprised of distributions from net investment income of $.649 and distributions from net realized gain of $.005 per share.

I Total distributions of $.59 per share is comprised of distributions from net investment income of $.574 and distributions from net realized gain of $.015 per share.

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

Annual Report

Financial Highlights - Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.49%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .07% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  2.03% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 693,534

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.50%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .06% A

Expenses net of fee waivers, if any

  .05% A, K

Expenses net of all reductions

  .05% A, K

Net investment income (loss)

  2.02% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 189,758

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

K Amount represents .045%.

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

Annual Report

Financial Highlights - Class F

Years ended February 28,

2012 I

2011

2010 G

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 30.10

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .69

.63

.26

Net realized and unrealized gain (loss)

  .97

7.02

1.67

Total from investment operations

  1.66

7.65

1.93

Distributions from net investment income

  (.66)

(.61)

(.47)

Distributions from net realized gain

  -

(.02)

(.02)

Total distributions

  (.66)

(.63)

(.49) K

Redemption fees added to paid in capital D, J

  -

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

Total Return B, C

  4.51%

24.43%

6.42%

Ratios to Average Net Assets E, H

 

 

 

Expenses before reductions

  .06%

.07%

.07% A

Expenses net of fee waivers, if any

  .06%

.07%

.07% A

Expenses net of all reductions

  .06%

.07%

.07% A

Net investment income (loss)

  1.89%

1.83%

1.98% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 1,494,616

$ 745,283

$ 70,077

Portfolio turnover rate F

  17%

4%

7%

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 24, 2009 (commencement of sale of shares) to February 28, 2010.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I For the year ended February 29.

J Amount represents less than $.01 per share.

K Total distributions of $.49 per share is comprised of distributions from net investment income of $.472 and distributions from net realized gain of $.015 per share.

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

Annual Report

Notes to Financial Statements

For the period ended February 29, 2012

1. Organization.

Spartan Total Market Index Fund (the Fund) is a fund of Fidelity Concord Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In May 2011, the Board of Trustees of Spartan Total Market Index Fund approved the creation of additional classes of shares. The Fund commenced sale of Institutional Class and Fidelity Advantage Institutional Class shares on September 8, 2011. The Fund offers Investor Class, Fidelity Advantage Class, Institutional Class, Fidelity Advantage Institutional Class and Class F 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. The Fund offers conversion privileges between share classes to eligible shareholders. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Investment income, realized and unrealized capital gains and losses, the common expenses of the 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 the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

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

Level 1 - quoted prices in active markets for identical investments

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

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 29, 2012, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

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.

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 corporate bonds and 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 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.

New Accounting Pronouncements. 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 is effective during interim and annual periods beginning after December 15, 2011 and will result in additional disclosure for transfers between levels as well as expanded disclosure for securities categorized as Level 3 under the fair value hierarchy.

In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange 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 Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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 Fund estimates 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.

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

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of February 29, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in-kind, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation

$ 2,969,645,004

Gross unrealized depreciation

(1,386,461,244)

Net unrealized appreciation (depreciation) on securities and other investments

$ 1,583,183,760

 

 

Tax Cost

$ 12,085,425,011

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income

$ 28,031,552

Capital loss carryforward

$ (409,173,358)

Net unrealized appreciation (depreciation)

$ 1,583,183,980

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

 

 

 

2017

$ (160,154,968)

2018

(46,727,186)

2019

(200,286,243)

Total with expiration

(407,168,397)

No expiration

 

Long-term

(2,004,961)

Total capital loss carryforward

$ (409,173,358)

The tax character of distributions paid was as follows:

 

February 29, 2012

February 28, 2011

Ordinary Income

$ 195,308,977

$ 185,639,198

Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to .50% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.

Annual Report

Notes to Financial Statements - continued

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its 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 Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts 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.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent 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.

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.

During the period the Fund recognized net realized gain (loss) of $17,450,299 and a change in net unrealized appreciation (depreciation) of $3,326,207 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $1,922,711,702 and $2,023,174,933, respectively.

Securities received and delivered through unaffiliated in-kind subscriptions and redemptions totaled $163,667,295 and $1,008,858,235, respectively. Realized gain of $171,069,377 on securities delivered through unaffiliated in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. During the period the Board of Trustees approved an amendment to the management contract, effective September 1, 2011, to reduce the management fee from an annual rate of .07% to .045% of the Fund's average net assets. 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 an expense contract, 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

.10%

Fidelity Advantage Class

.07%

Institutional Class

.07%

Fidelity Advantage Institutional Class

.06%

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.

Annual Report

6. Fees and Other Transactions with Affiliates - continued

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 .075%, .045%, .035% and .015% of average net assets for Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class pay all or a portion of the transfer agent fees at an annual rate of .055%, .025%, .025% and .015% of average net assets, respectively.

Prior to September 1, 2011, FIIOC received transfer agent fees at an annual rate of .06% and .03% of average net assets for Investor and Fidelity Advantage Class, respectively. Under the expense contract, the Investor Class paid transfer agent fees at an annual rate of .03% of average net assets, and Fidelity Advantage Class paid no transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

% of
Average
Net Assets

Investor Class

$ 2,074,287

.04

Fidelity Advantage Class

631,515

.01

Institutional Class

37,283

.03

Fidelity Advantage Institutional Class

6,396

.02

 

$ 2,749,481

 

Redemptions In-Kind. During the period, 17,755,902 shares of the Fund held by affiliated entities were redeemed for cash and securities with a value of $682,536,885. The net realized gain (loss) of $393,327,878 on securities delivered through affiliated in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as Note 11: Shares Transactions. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $33,291 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $4,680,442.

Annual Report

Notes to Financial Statements - continued

9. Expense Reductions.

Effective September 8, 2011, FMR contractually agreed to reimburse certain classes of the Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement. This reimbursement will remain in place through April 30, 2013.

 

Expense
Limitations

Reimbursement
from adviser

Institutional Class

.06%

$ 20,411

Fidelity Advantage Institutional Class

.045%

7,580

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $382.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

From net investment income

 

 

Investor Class

$ 74,011,128

$ 97,586,465

Fidelity Advantage Class

90,014,851

75,486,167

Institutional Class

6,818,791

-

Fidelity Advantage Institutional Class

2,620,049

-

Class F

21,844,158

6,761,914

Total

$ 195,308,977

$ 179,834,546

From net realized gain

 

 

Investor Class

$ -

$ 3,374,672

Fidelity Advantage Class

-

2,380,648

Class F

-

49,332

Total

$ -

$ 5,804,652

A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Investor Class

 

 

 

 

Shares sold

37,550,760

45,341,120

$ 1,388,868,676

$ 1,545,271,706

Reinvestment of distributions

2,008,028

2,771,120

71,680,307

98,744,181

Shares redeemed

(117,221,767) B

(54,866,527)

(4,390,559,721) B

(1,881,537,887)

Net increase (decrease)

(77,662,979)

(6,754,287)

$ (2,930,010,738)

$ (237,522,000)

Fidelity Advantage Class

 

 

 

 

Shares sold

52,795,658

35,056,659

$ 2,007,116,846

$ 1,218,401,959

Reinvestment of distributions

2,192,081

1,879,344

77,894,521

67,004,512

Shares redeemed

(21,435,179)

(24,186,728)

(789,876,393)

(811,279,711)

Net increase (decrease)

33,552,560

12,749,275

$ 1,295,134,974

$ 474,126,760

Institutional Class

 

 

 

 

Shares sold

17,993,180

-

$ 649,476,736

$ -

Reinvestment of distributions

194,656

-

6,818,791

-

Shares redeemed

(654,011)

-

(24,602,098)

-

Net increase (decrease)

17,533,825

-

$ 631,693,429

$ -

Annual Report

11. Share Transactions - continued

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

4,871,455

-

$ 179,033,674

$ -

Reinvestment of distributions

74,794

-

2,620,049

-

Shares redeemed

(148,799)

-

(5,550,895)

-

Net increase (decrease)

4,797,450

-

$ 176,102,828

$ -

Class F

 

 

 

 

Shares sold

22,439,089

19,381,678

$ 826,126,384

$ 675,778,550

Reinvestment of distributions

617,949

189,593

21,844,158

6,811,246

Shares redeemed

(4,602,865)

(2,465,258)

(170,247,844)

(85,793,982)

Net increase (decrease)

18,454,173

17,106,013

$ 677,722,698

$ 596,795,814

A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

B Amount includes in-kind redemptions (see Note 6: Redemptions In-Kind).

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Annual 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 1, 2011 to February 29, 2012) for Investor Class and Fidelity Advantage Class and for the entire period (September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class. The hypothetical expense example is based on an investment of $1,000 invested for the one-half year period (September 1, 2011 to February 29, 2012).

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.

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Spartan Extended Market Index

 

 

 

 

Investor Class

.10%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.40

$ .53 B

HypotheticalA

 

$ 1,000.00

$ 1,024.37

$ .50 C

Fidelity Advantage Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,130.30

$ .37 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,169.90

$ .31 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 C

Spartan International Index

 

 

 

 

Investor Class

.11%*

 

 

 

Actual

 

$ 1,000.00

$ 1,036.80

$ .56 B*

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .55 C*

Fidelity Advantage Class

.08%*

 

 

 

Actual

 

$ 1,000.00

$ 1,037.30

$ .41 B*

HypotheticalA

 

$ 1,000.00

$ 1,024.47

$ .40 C*

Institutional Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,094.40

$ .35 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Fidelity Advantage Institutional Class

.06%

 

 

 

Actual

 

$ 1,000.00

$ 1,094.50

$ .30 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 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 182/366 (to reflect the one-half year period) for Investor Class and Fidelity Advantage Class and multiplied by 175/366 (to reflect the period September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class.

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

* If changes to the expense limitations, effective February 1, 2012, had been in effect during the entire period, the annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as follows:

 

Annualized
Expense Ratio

Expenses Paid

Spartan International Index

 

 

Investor Class

.20%

 

Actual

 

$ 1.01

HypotheticalA

 

$ 1.01

Fidelity Advantage Class

.12%

 

Actual

 

$ .61

HypotheticalA

 

$ .60

A 5% return per year before expenses

Annual Report

Spartan Extended Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

  Spartan Extended Market Index Fund - Fidelity Advantage Institutional ClassA

1.78%

3.60%

8.48%

A The initial offering of Fidelity Advantage Institutional Class shares took place September 8, 2011. Returns between October 14, 2005 and September 8, 2011 are those of Fidelity Advantage Class. Returns prior to October 14, 2005 are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan® Extended Market Index Fund - Fidelity Advantage Institutional Class on on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market Index performed over the same period. The initial offering of Fidelity Advantage Institutional Class took place on September 8, 2011. See above for additional information regarding the performance of Fidelity Advantage Institutional Class.

con101

Annual Report

Spartan Extended Market Index Fund

Management's Discussion of Fund Performance

Market Recap: U.S. stocks rose for the 12 months ending February 29, 2012, as encouraging economic news sparked a strong late-period rally that lifted major equity benchmarks past a number of significant milestones. Stocks recovered from early-period uncertainty that followed the March 2011 earthquake, tsunami and nuclear meltdown in Japan, but plummeted during the summer amid Europe's debt woes and a historic U.S. credit-rating downgrade. Despite continued volatility and mixed economic news, markets began to recover in early October. Investors gravitated toward defensive sectors and the perceived safety of larger, more-established and dividend-paying names, helping the Dow Jones® Industrial Average advance 8.83%, and close above the psychologically important 13,000 mark in late February - for the first time since May 2008. The rally accelerated late in the period and the market broadened, as investor confidence improved amid encouraging manufacturing, housing and employment data, and signs of progress in Europe. For the year, the S&P 500® Index added 5.12%, closing near a four-year high on the period's second-to-last day. The technology-laden Nasdaq Composite® Index added 7.73%, flirting with the 3,000 mark, its highest level in 12 years. Foreign developed-markets stocks reeled over Europe's turmoil, and the MSCI® EAFE® (Europe, Australasia, Far East) Index fell 7.35%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® Extended Market Index Fund: For the 12 months ending February 29, 2012, the fund's Fidelity Advantage® Institutional Class shares returned 1.78%, in line with the 1.80% return of the Dow Jones U.S. Completion Total Stock Market IndexSM. The strongest-performing sector in the Dow Jones index was consumer staples, which gained 20%. No other sector turned in a double-digit gain during the past year. Health care stocks added roughly 9%, however, while consumer discretionary, led by the retailing industry, rose 9%. The weakest-performing groups in the benchmark were energy, telecommunication services and information technology, which lost 6%, 4% and 4%, respectively. Financials - at 20%, the largest allocation in the benchmark - declined 1% during the year. The leading individual contributor was Pharmasset, a biotechnology firm that was acquired in January for a substantial premium by Gilead Sciences and saw its share price soar by more than 400%. Several other drugmakers, including Alexion Pharmaceuticals and Regeneron Pharmaceuticals, also added value. A better-than-expected sales forecast in late January helped boost the stock of computer disk-drive maker Seagate Technology, which is based in California but whose shares are listed in Ireland. Petrohawk Energy enjoyed strong performance after the independent oil and gas producer agreed to be acquired in July by BHP Billiton. The transaction closed in August. Other helpful stocks included casino gaming operator Las Vegas Sands and discount retailer Dollar Tree. The biggest detractor was automaker General Motors, whose shares drifted lower for most of the past year and lost about 22% for the full period. NII Holdings, a provider of business-oriented mobile communication services, also declined. Arch Coal, the second-largest U.S. coal producer, saw the value of its shares lose substantial ground, as did Walter Energy, which produces coal used in steelmaking. Walter's shares dropped 30% in a single August day after the company issued a disappointing financial report. Biotechnology company Dendreon struggled last August, as lower-than-expected sales projections for its Provenge® prostate cancer drug caused its stock to lose about two-thirds of its value in one day. Another biotech company, Human Genome Sciences, did poorly, as did independent oil and gas producer Ultra Petroleum.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Extended Market Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Las Vegas Sands Corp.

0.8

0.9

Annaly Capital Management, Inc.

0.6

0.6

Alexion Pharmaceuticals, Inc.

0.6

0.4

General Motors Co.

0.5

0.5

LyondellBasell Industries NV
Class A

0.5

0.5

Liberty Global, Inc. Class A

0.5

0.4

Crown Castle International Corp.

0.5

0.4

Concho Resources, Inc.

0.4

0.3

Liberty Media Corp. Interactive Series A

0.4

0.4

Seagate Technology

0.4

0.2

 

5.2

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

20.3

20.0

Consumer Discretionary

15.8

15.4

Information Technology

15.7

14.8

Industrials

14.5

13.5

Health Care

10.8

11.2

Energy

6.7

6.8

Materials

6.3

7.4

Consumer Staples

3.6

3.9

Utilities

3.6

4.1

Telecommunication Services

1.5

1.6

Annual Report

Spartan Extended Market Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 98.8%

Shares

Value

CONSUMER DISCRETIONARY - 15.8%

Auto Components - 0.9%

American Axle & Manufacturing Holdings, Inc. (a)

135,947

$ 1,548,436

Amerigon, Inc. (a)(d)

46,251

680,815

Cooper Tire & Rubber Co.

128,879

2,139,391

Dana Holding Corp. (d)

323,993

5,183,888

Dorman Products, Inc. (a)(d)

39,530

1,795,057

Drew Industries, Inc. (a)(d)

41,042

1,124,551

Exide Technologies (a)(d)

164,351

488,122

Federal-Mogul Corp. Class A (a)

53,049

912,973

Fuel Systems Solutions, Inc. (a)(d)

31,837

824,578

Gentex Corp.

324,110

7,665,202

Lear Corp.

243,235

10,996,654

Modine Manufacturing Co. (a)(d)

95,885

870,636

Motorcar Parts of America, Inc. (a)

21,986

181,385

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

23,585

21,816

Shiloh Industries, Inc.

9,407

84,663

Spartan Motors, Inc.

62,902

359,170

Standard Motor Products, Inc.

45,399

1,031,465

Stoneridge, Inc. (a)(d)

56,122

542,700

Strattec Security Corp.

3,361

76,530

Superior Industries International, Inc.

55,337

1,000,493

Tenneco, Inc. (a)(d)

138,639

5,337,602

Tower International, Inc. (a)

17,465

222,504

TRW Automotive Holdings Corp. (a)

223,364

10,216,669

UQM Technologies, Inc. (a)(d)

78,497

125,595

Visteon Corp. (a)

108,180

5,811,430

Williams Controls, Inc.

595

6,545

 

59,248,870

Automobiles - 0.7%

General Motors Co. (a)(d)

1,314,333

34,198,945

Tesla Motors, Inc. (a)(d)

139,402

4,657,421

Thor Industries, Inc.

98,033

3,192,935

Winnebago Industries, Inc. (a)(d)

65,223

581,789

 

42,631,090

Distributors - 0.2%

Amcon Distributing Co.

1,240

75,404

Core-Mark Holding Co., Inc.

32,914

1,319,193

LKQ Corp. (a)

322,001

10,258,952

Pool Corp.

102,163

3,718,733

VOXX International Corp. (a)

46,223

591,192

Weyco Group, Inc.

16,952

395,660

 

16,359,134

Diversified Consumer Services - 0.8%

American Public Education, Inc. (a)(d)

36,701

1,437,211

Archipelago Learning, Inc. (a)

20,009

182,882

Ascent Capital Group, Inc. (a)

34,050

1,676,622

Bridgepoint Education, Inc. (a)(d)

51,097

1,244,723

Cambium Learning Group, Inc. (a)

16,192

46,633

Capella Education Co. (a)(d)

34,672

1,345,274

 

Shares

Value

Career Education Corp. (a)

131,088

$ 1,129,979

Carriage Services, Inc.

46,364

277,720

Coinstar, Inc. (a)(d)

63,782

3,714,026

Collectors Universe, Inc.

11,575

176,519

Corinthian Colleges, Inc. (a)(d)

178,249

800,338

Education Management Corp. (a)(d)

67,509

1,219,888

Grand Canyon Education, Inc. (a)

69,388

1,187,229

Hillenbrand, Inc.

129,162

2,966,851

ITT Educational Services, Inc. (a)(d)

68,677

4,713,989

K12, Inc. (a)(d)

73,729

1,589,597

Learning Tree International, Inc. (a)

12,160

70,406

Lincoln Educational Services Corp.

64,172

542,895

Mac-Gray Corp.

24,030

334,978

Matthews International Corp. Class A

61,846

1,918,463

National American University Holdings, Inc.

23,237

160,568

Princeton Review, Inc. (a)

51,537

5,679

Regis Corp. (d)

123,784

2,142,701

School Specialty, Inc. (a)(d)

77,127

246,806

Service Corp. International

566,489

6,423,985

Sotheby's Class A (Ltd. vtg.)

149,347

5,875,311

Steiner Leisure Ltd. (a)(d)

28,854

1,443,854

Stewart Enterprises, Inc. Class A (d)

172,890

1,075,376

Strayer Education, Inc. (d)

28,052

2,886,411

Universal Technical Institute, Inc.

48,727

632,964

Weight Watchers International, Inc. (d)

76,068

5,931,783

 

53,401,661

Hotels, Restaurants & Leisure - 2.9%

AFC Enterprises, Inc. (a)

62,034

991,924

Ambassadors Group, Inc.

48,627

256,264

Ameristar Casinos, Inc.

66,568

1,320,709

ARK Restaurants Corp.

8,457

135,989

Bally Technologies, Inc. (a)

110,933

4,763,463

Benihana, Inc.

25,213

261,963

Biglari Holdings, Inc. (a)

2,643

1,084,978

BJ's Restaurants, Inc. (a)(d)

47,376

2,352,218

Bluegreen Corp. (a)

50,251

157,788

Bob Evans Farms, Inc.

62,735

2,308,648

Boyd Gaming Corp. (a)(d)

125,273

1,003,437

Bravo Brio Restaurant Group, Inc. (a)

36,917

711,760

Brinker International, Inc.

201,511

5,559,688

Buffalo Wild Wings, Inc. (a)(d)

36,784

3,181,448

Caesars Entertainment Corp.

3,080

34,866

Caribou Coffee Co., Inc. (a)

44,167

732,289

Carrols Restaurant Group, Inc. (a)

26,041

309,367

CEC Entertainment, Inc.

45,289

1,728,228

Century Casinos, Inc. (a)

54,140

151,592

Choice Hotels International, Inc.

85,796

3,223,356

Churchill Downs, Inc.

30,186

1,575,709

Cosi, Inc. (a)

62,262

64,752

Cracker Barrel Old Country Store, Inc. (d)

47,523

2,645,605

Denny's Corp. (a)

205,362

852,252

DineEquity, Inc. (a)

33,089

1,766,291

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Domino's Pizza, Inc. (a)(d)

119,639

$ 4,601,316

Dover Downs Gaming & Entertainment, Inc.

28,631

68,714

Dover Motorsports, Inc. (a)

22,686

29,946

Dunkin' Brands Group, Inc. (a)(d)

108,268

3,144,103

Einstein Noah Restaurant Group, Inc.

15,164

212,751

Empire Resorts, Inc. (a)(d)

26,500

77,380

Famous Dave's of America, Inc. (a)(d)

15,087

164,750

Frisch's Restaurants, Inc.

6,534

151,327

Full House Resorts, Inc. (a)

24,413

78,122

Gaming Partners International Corp.

1,584

10,835

Gaylord Entertainment Co. (a)(d)

100,130

2,979,869

Granite City Food & Brewery Ltd. (a)

2,301

4,947

Great Wolf Resorts, Inc. (a)

92,779

375,755

Hyatt Hotels Corp. Class A (a)

98,806

4,091,556

International Speedway Corp. Class A (d)

76,829

1,933,018

Interval Leisure Group, Inc. (a)

81,140

1,094,579

Isle of Capri Casinos, Inc. (a)

59,329

376,739

J. Alexanders Corp. (a)

2,338

15,875

Jack in the Box, Inc. (a)(d)

113,324

2,702,777

Jamba, Inc. (a)

125,986

267,090

Kona Grill, Inc. (a)

5,707

30,704

Krispy Kreme Doughnuts, Inc. (a)(d)

115,091

941,444

Lakes Entertainment, Inc. (a)

51,180

100,313

Las Vegas Sands Corp.

876,347

48,733,617

Life Time Fitness, Inc. (a)(d)

96,201

4,759,063

Luby's, Inc. (a)(d)

29,797

147,793

Marcus Corp.

44,387

534,863

Marriott Vacations Worldwide Corp.

60,000

1,495,800

MAXXAM, Inc. (a)

8

4,600

MGM Mirage, Inc. (a)(d)

698,151

9,613,539

Monarch Casino & Resort, Inc. (a)

27,436

287,529

Morgans Hotel Group Co. (a)

89,969

461,541

MTR Gaming Group, Inc. (a)

26,173

93,961

Multimedia Games Holdng Co., Inc. (a)(d)

53,167

543,898

Nathan's Famous, Inc. (a)

7,826

164,268

O'Charleys, Inc. (a)(d)

49,235

487,919

Orient Express Hotels Ltd. Class A (a)

221,316

2,188,815

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

45,904

1,759,041

Panera Bread Co. Class A (a)(d)

67,694

10,464,139

Papa John's International, Inc. (a)

49,000

1,820,840

Peet's Coffee & Tea, Inc. (a)(d)

26,821

1,727,004

Penn National Gaming, Inc. (a)

146,653

6,240,085

Pinnacle Entertainment, Inc. (a)(d)

126,335

1,390,948

Premier Exhibitions, Inc. (a)

33,161

81,244

Red Lion Hotels Corp. (a)

38,228

293,973

Red Robin Gourmet Burgers, Inc. (a)(d)

34,870

1,199,877

Rick's Cabaret International, Inc. (a)

17,933

168,570

Royal Caribbean Cruises Ltd.

317,008

9,031,558

Ruby Tuesday, Inc. (a)(d)

132,312

1,029,387

 

Shares

Value

Ruth's Hospitality Group, Inc. (a)(d)

60,328

$ 375,843

Scientific Games Corp. Class A (a)

141,504

1,487,207

Shuffle Master, Inc. (a)

141,090

2,059,914

Six Flags Entertainment Corp.

117,183

5,303,703

Sonic Corp. (a)

125,987

1,040,653

Speedway Motorsports, Inc.

32,940

511,229

Texas Roadhouse, Inc. Class A

125,535

2,100,201

The Cheesecake Factory, Inc. (a)(d)

120,135

3,560,801

Town Sports International Holdings, Inc. (a)

44,383

457,145

Vail Resorts, Inc. (d)

74,950

3,155,395

Wendy's Co.

790,452

4,007,592

WMS Industries, Inc. (a)

121,192

2,669,860

 

192,081,909

Household Durables - 1.4%

Acme United Corp.

1,357

13,638

American Greetings Corp. Class A (d)

80,329

1,204,935

Bassett Furniture Industries, Inc.

26,134

216,912

Beazer Homes USA, Inc. (a)(d)

246,893

770,306

Blyth, Inc. (d)

14,069

897,602

Brookfield Residential Properties, Inc. (a)

75,898

791,459

Cavco Industries, Inc. (a)(d)

15,629

704,712

Cobra Electronics Corp. (a)

1,132

4,981

CSS Industries, Inc.

25,514

500,074

Dixie Group, Inc. (a)

9,546

40,857

Emerson Radio Corp. (a)

23,345

47,390

Ethan Allen Interiors, Inc.

57,544

1,452,986

Flexsteel Industries, Inc.

10,672

182,491

Furniture Brands International, Inc. (a)

96,407

154,251

Garmin Ltd.

290,543

13,710,724

Helen of Troy Ltd. (a)(d)

67,636

2,198,170

Hooker Furniture Corp.

26,465

317,845

Hovnanian Enterprises, Inc. Class A (a)(d)

247,404

685,309

iRobot Corp. (a)(d)

54,497

1,390,763

Jarden Corp. (d)

194,363

6,855,183

KB Home (d)

152,280

1,739,038

Kid Brands, Inc. (a)

42,456

126,943

Koss Corp.

1,389

7,737

La-Z-Boy, Inc. (a)(d)

105,228

1,503,708

Libbey, Inc. (a)(d)

43,749

549,050

Lifetime Brands, Inc.

17,993

210,158

M.D.C. Holdings, Inc.

74,982

1,843,058

M/I Homes, Inc. (a)(d)

38,453

465,666

Meritage Homes Corp. (a)(d)

60,196

1,558,474

Mohawk Industries, Inc. (a)

116,951

7,427,558

NVR, Inc. (a)(d)

11,951

8,270,092

Ryland Group, Inc. (d)

90,616

1,642,868

Sealy Corp., Inc. (a)(d)

239,859

412,557

Skullcandy, Inc. (a)(d)

35,352

499,170

Skyline Corp.

14,802

119,156

Standard Pacific Corp. (a)(d)

220,810

967,148

Stanley Furniture Co., Inc. (a)

37,789

127,727

Tempur-Pedic International, Inc. (a)(d)

147,018

11,614,422

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Toll Brothers, Inc. (a)(d)

316,787

$ 7,431,823

Tupperware Brands Corp.

140,226

8,790,768

Universal Electronics, Inc. (a)(d)

28,987

566,986

Wells-Gardner Electronics Corp.

4,238

8,942

Zagg, Inc. (a)(d)

58,700

616,350

 

88,639,987

Internet & Catalog Retail - 0.6%

1-800-FLOWERS.com, Inc. Class A (a)

102,656

280,251

Bidz.com, Inc. (a)(d)

10,552

6,175

Blue Nile, Inc. (a)(d)

47,342

1,687,742

dELiA*s, Inc. (a)

42,494

45,044

Gaiam, Inc. Class A (a)

35,599

128,868

Geeknet, Inc. (a)

13,604

197,394

Groupon, Inc. Class A (a)(d)

83,910

1,654,286

Hollywood Media Corp. (a)

72,242

80,189

HomeAway, Inc. (d)

65,284

1,728,720

HSN, Inc.

102,794

3,819,825

Liberty Media Corp. Interactive
Series A (a)

1,328,328

24,919,433

NutriSystem, Inc. (d)

57,407

646,977

Orbitz Worldwide, Inc. (a)(d)

57,753

207,333

Overstock.com, Inc. (a)(d)

32,352

205,759

PetMed Express, Inc. (d)

45,901

559,074

Shutterfly, Inc. (a)(d)

62,294

1,704,364

U.S. Auto Parts Network, Inc. (a)

28,450

137,983

ValueVision Media, Inc. Class A (a)(d)

73,905

127,117

Vitacost.com, Inc. (a)

45,174

367,265

 

38,503,799

Leisure Equipment & Products - 0.3%

Adams Golf, Inc. (a)

7,181

64,629

Arctic Cat, Inc. (a)

27,483

1,010,825

Black Diamond, Inc. (a)

55,844

462,388

Brunswick Corp.

184,231

4,404,963

Callaway Golf Co.

135,531

887,728

Cybex International, Inc. (a)

14,718

33,410

Escalade, Inc.

6,336

30,476

JAKKS Pacific, Inc. (d)

58,677

911,254

Johnson Outdoors, Inc. Class A (a)

10,627

174,708

Leapfrog Enterprises, Inc. Class A (a)

86,806

610,246

Marine Products Corp.

22,297

138,687

Meade Instruments Corp. (a)

201

665

Nautilus, Inc. (a)

58,853

163,611

Polaris Industries, Inc.

138,977

9,180,821

Smith & Wesson Holding Corp. (a)

147,064

769,145

Steinway Musical Instruments, Inc. (a)

16,626

414,985

Sturm, Ruger & Co., Inc.

42,768

1,786,847

Summer Infant, Inc. (a)

37,416

224,122

 

21,269,510

Media - 2.7%

A.H. Belo Corp. Class A

41,273

194,809

 

Shares

Value

AMC Networks, Inc. Class A

146,257

$ 6,638,605

Arbitron, Inc. (d)

60,109

2,010,045

Ballantyne of Omaha, Inc. (a)

47,765

234,526

Beasley Broadcast Group, Inc.
Class A (a)(d)

4,117

15,974

Belo Corp. Series A

191,951

1,376,289

Carmike Cinemas, Inc. (a)(d)

27,922

210,253

Charter Communications, Inc. Class A (a)

86,214

5,466,830

Cinemark Holdings, Inc.

204,798

4,284,374

Clear Channel Outdoor Holding, Inc. Class A

90,270

1,194,272

Crown Media Holdings, Inc. Class A (a)(d)

75,322

96,412

Cumulus Media, Inc. Class A (a)(d)

58,225

200,294

Dex One Corp. (a)

102,416

179,228

DialGlobal, Inc. (a)

878

2,151

Digital Domain Media Group, Inc.

990

5,554

Digital Generation, Inc. (a)(d)

53,751

537,510

DISH Network Corp. Class A

452,994

13,213,835

DreamWorks Animation SKG, Inc.
Class A (a)(d)

140,351

2,422,458

E.W. Scripps Co. Class A (a)

90,471

861,284

Emmis Communications Corp.
Class A (a)

80,456

58,733

Entercom Communications Corp.
Class A (a)(d)

52,600

368,200

Entravision Communication Corp.
Class A

99,974

165,957

Fisher Communications, Inc. (a)

18,212

522,138

Gray Television, Inc. (a)(d)

114,472

235,812

Harris Interactive, Inc. (a)

49,977

43,480

Harte-Hanks, Inc.

85,794

749,840

Insignia Systems, Inc.

22,896

48,997

John Wiley & Sons, Inc. Class A (d)

110,077

4,997,496

Journal Communications, Inc. Class A (a)

87,795

417,026

Knology, Inc. (a)

97,890

1,745,379

Lamar Advertising Co. Class A (a)(d)

131,584

4,302,797

Liberty Global, Inc. Class A (a)(d)

602,873

30,252,167

Liberty Media Corp. Capital Series A (a)

252,719

22,716,911

LIN TV Corp. Class A (a)

76,893

316,799

Live Nation Entertainment, Inc. (a)(d)

346,898

3,233,089

LodgeNet Entertainment Corp. (a)(d)

59,818

203,979

Madison Square Garden Co. Class A (a)

122,099

3,888,853

Martha Stewart Living Omnimedia, Inc. Class A

61,948

278,766

Media General, Inc. Class A (a)(d)

25,434

143,702

Meredith Corp. (d)

74,098

2,437,824

Morningstar, Inc.

54,467

3,260,939

National CineMedia, Inc.

112,174

1,784,688

Navarre Corp. (a)

74,677

126,951

New Frontier Media, Inc. (a)

50,060

61,574

Nexstar Broadcasting Group, Inc.
Class A (a)

51,855

427,804

NTN Communications, Inc. (a)

49,847

11,714

Outdoor Channel Holdings, Inc.

43,232

304,786

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Pandora Media, Inc. (d)

156,282

$ 2,041,043

Point.360 (a)

2,433

1,996

Radio One, Inc. Class D (non-vtg.) (a)(d)

89,989

86,389

ReachLocal, Inc. (a)(d)

38,350

299,130

Reading International, Inc. Class A (a)

24,625

111,798

Regal Entertainment Group Class A

219,584

3,034,651

Rentrak Corp. (a)(d)

20,726

430,686

Saga Communications, Inc. Class A (a)

4,466

167,564

Salem Communications Corp. Class A (a)

11,570

30,429

Scholastic Corp.

51,450

1,572,827

Sinclair Broadcast Group, Inc. Class A

104,583

1,194,338

Sirius XM Radio, Inc. (a)(d)

8,621,158

19,483,817

Spanish Broadcasting System, Inc.
Class A (a)

17,489

76,252

SPAR Group, Inc. (a)

4,346

5,041

SuperMedia, Inc. (a)(d)

54,054

154,054

The McClatchy Co. Class A (a)(d)

133,924

340,167

The New York Times Co. Class A (a)

262,449

1,729,539

Valassis Communications, Inc. (a)(d)

103,593

2,587,753

Value Line, Inc.

1,396

16,012

Virgin Media, Inc.

667,212

16,813,742

World Wrestling Entertainment, Inc.
Class A (d)

81,907

748,630

 

173,176,962

Multiline Retail - 0.3%

Dillard's, Inc. Class A (d)

83,865

5,127,506

Dollar General Corp. (a)

275,042

11,568,267

Duckwall-ALCO Stores, Inc. (a)

8,410

70,560

Fred's, Inc. Class A

107,249

1,485,399

Gordmans Stores, Inc. (a)

23,635

358,543

Saks, Inc. (a)(d)

251,611

2,931,268

The Bon-Ton Stores, Inc. (d)

31,972

153,466

Tuesday Morning Corp. (a)

85,411

292,960

 

21,987,969

Specialty Retail - 3.5%

Aarons, Inc. Class A

152,022

4,247,495

Advance Auto Parts, Inc.

160,341

13,688,311

Aeropostale, Inc. (a)

217,864

3,915,016

America's Car Mart, Inc. (a)

24,361

1,086,744

American Eagle Outfitters, Inc.

458,447

6,665,819

ANN, Inc. (a)

130,985

3,129,232

Appliance Recycling Centers of America, Inc. (a)

2,967

15,013

Asbury Automotive Group, Inc. (a)(d)

69,311

1,797,234

Ascena Retail Group, Inc. (a)

139,808

5,396,589

Barnes & Noble, Inc. (a)(d)

85,013

1,131,523

bebe Stores, Inc.

123,042

1,102,456

Big 5 Sporting Goods Corp. (d)

37,628

293,122

Body Central Corp. (a)

37,768

1,051,461

Books-A-Million, Inc. (d)

24,011

62,909

Brown Shoe Co., Inc.

88,876

958,083

 

Shares

Value

Build-A-Bear Workshop, Inc. (a)

33,647

$ 183,376

Cabela's, Inc. Class A (a)(d)

101,331

3,595,224

Cache, Inc. (a)

37,741

235,126

Casual Male Retail Group, Inc. (a)

107,460

338,499

Charming Shoppes, Inc. (a)

215,702

1,218,716

Chico's FAS, Inc.

371,520

5,576,515

Christopher & Banks Corp.

90,275

193,189

Citi Trends, Inc. (a)(d)

30,443

330,002

Coldwater Creek, Inc. (a)(d)

139,498

131,128

Collective Brands, Inc. (a)(d)

130,215

2,346,474

Conn's, Inc. (a)

51,120

677,851

Cost Plus, Inc. (a)(d)

34,446

452,620

Destination Maternity Corp.

25,288

454,678

Dick's Sporting Goods, Inc.

193,897

8,678,830

Dover Saddlery, Inc. (a)

1,537

7,285

Dreams, Inc. (a)

55,948

142,667

DSW, Inc. Class A (d)

51,084

2,881,138

Express, Inc. (a)

155,610

3,703,518

Finish Line, Inc. Class A

109,784

2,523,934

Foot Locker, Inc.

360,722

10,522,261

Francescas Holdings Corp. (a)

34,737

797,214

Genesco, Inc. (a)(d)

49,329

3,361,278

GNC Holdings, Inc.

112,665

3,646,966

Golfsmith International Holdings, Inc. (a)(d)

13,141

53,747

Group 1 Automotive, Inc.

57,507

2,965,636

Guess?, Inc. (d)

133,530

4,626,815

Hastings Entertainment, Inc. (a)(d)

13,630

24,670

Haverty Furniture Companies, Inc.

46,862

515,482

hhgregg, Inc. (a)(d)

46,801

534,935

Hibbett Sports, Inc. (a)(d)

68,612

3,358,557

Hot Topic, Inc. (d)

93,449

833,565

Jos. A. Bank Clothiers, Inc. (a)(d)

56,221

2,894,819

Kirkland's, Inc. (a)

44,730

713,444

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

45,718

1,079,402

Lumber Liquidators Holdings, Inc. (a)(d)

47,662

1,043,321

MarineMax, Inc. (a)

45,781

369,910

Mattress Firm Holding Corp. (d)

20,300

674,772

Midas, Inc. (a)

29,295

267,463

Monro Muffler Brake, Inc.

67,324

3,088,152

New York & Co., Inc. (a)

66,787

174,314

Office Depot, Inc. (a)(d)

575,112

1,897,870

OfficeMax, Inc. (a)(d)

175,591

983,310

Pacific Sunwear of California, Inc. (a)(d)

134,412

282,265

Penske Automotive Group, Inc.

94,060

2,264,965

Perfumania Holdings, Inc. (a)

1,076

10,771

PetSmart, Inc.

246,522

13,741,136

Pier 1 Imports, Inc. (a)(d)

262,190

4,501,802

RadioShack Corp.

214,393

1,520,046

Rent-A-Center, Inc. (d)

149,130

5,282,185

rue21, Inc. (a)

31,869

850,265

Sally Beauty Holdings, Inc. (a)

313,293

7,456,373

Select Comfort Corp. (a)(d)

147,357

4,360,294

Shoe Carnival, Inc. (a)

18,743

490,692

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Signet Jewelers Ltd.

185,683

$ 8,708,533

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

74,200

1,271,046

Stage Stores, Inc.

76,001

1,136,215

Stein Mart, Inc. (a)

56,330

403,886

Systemax, Inc. (a)(d)

20,254

390,902

Talbots, Inc. (a)

132,452

392,058

Tandy Leather Factory, Inc.

3,074

15,985

Teavana Holdings, Inc. (a)(d)

44,153

1,035,388

The Buckle, Inc. (d)

56,089

2,519,518

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

57,708

1,564,464

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

57,906

2,938,730

The Men's Wearhouse, Inc.

108,987

4,221,067

The Pep Boys - Manny, Moe & Jack

106,929

1,608,212

Tractor Supply Co.

162,517

13,890,328

Trans World Entertainment Corp. (a)

29,120

68,141

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

109,676

9,129,430

Vitamin Shoppe, Inc. (a)(d)

57,120

2,423,602

West Marine, Inc. (a)

30,261

320,767

Wet Seal, Inc. Class A (a)(d)

251,975

881,913

Williams-Sonoma, Inc. (d)

228,308

8,812,689

Winmark Corp.

5,172

299,304

Zale Corp. (a)(d)

121,040

388,538

Zumiez, Inc. (a)(d)

53,696

1,687,128

 

227,508,318

Textiles, Apparel & Luxury Goods - 1.5%

American Apparel, Inc. (a)(d)

61,564

46,789

Carter's, Inc. (a)(d)

111,014

5,391,950

Charles & Colvard Ltd. (a)

24,954

104,308

Cherokee, Inc.

28,809

324,677

Columbia Sportswear Co. (d)

32,192

1,607,347

Crocs, Inc. (a)

187,838

3,691,017

Crown Crafts, Inc.

2,227

9,442

Culp, Inc. (a)

19,568

204,486

Deckers Outdoor Corp. (a)(d)

80,847

6,044,122

Delta Apparel, Inc. (a)

17,128

280,728

DGSE Companies, Inc. (a)

6,929

54,254

Forward Industries, Inc. (NY Shares) (a)

18,823

54,398

Fossil, Inc. (a)(d)

120,590

14,709,568

G-III Apparel Group Ltd. (a)(d)

38,295

954,311

Hallwood Group, Inc. (a)

360

4,428

Hanesbrands, Inc. (a)(d)

228,176

6,555,496

Heelys, Inc. (a)

58,297

129,419

Iconix Brand Group, Inc. (a)(d)

151,594

2,752,947

Joe's Jeans, Inc. (a)

112,776

96,423

K-Swiss, Inc. Class A (a)(d)

60,461

201,335

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

26,310

412,804

Lacrosse Footwear, Inc.

9,275

118,627

 

Shares

Value

Lakeland Industries, Inc. (a)

24,260

$ 241,387

Liz Claiborne, Inc. (a)(d)

191,172

1,869,662

Maidenform Brands, Inc. (a)

78,925

1,657,425

Michael Kors Holdings Ltd.

83,916

3,629,367

Movado Group, Inc.

36,887

789,382

Oxford Industries, Inc.

39,771

2,004,458

Perry Ellis International, Inc. (a)(d)

50,000

871,500

PVH Corp.

133,145

11,318,656

Quiksilver, Inc. (a)

280,211

1,311,387

R.G. Barry Corp.

22,932

320,589

Rocky Brands, Inc. (a)

16,536

194,298

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

83,366

1,064,584

Steven Madden Ltd. (a)(d)

80,605

3,480,524

Superior Uniform Group, Inc.

5,649

70,500

Tandy Brands Accessories, Inc. (a)

1,058

1,820

The Jones Group, Inc.

181,430

1,787,086

True Religion Apparel, Inc. (a)

71,106

1,875,065

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

92,429

8,248,364

Unifi, Inc. (a)

45,178

374,526

Vera Bradley, Inc. (a)(d)

51,675

1,896,473

Warnaco Group, Inc. (a)(d)

104,861

6,156,389

Wolverine World Wide, Inc.

110,840

4,227,438

 

97,139,756

TOTAL CONSUMER DISCRETIONARY

1,031,948,965

CONSUMER STAPLES - 3.6%

Beverages - 0.4%

Boston Beer Co., Inc. Class A (a)(d)

22,500

2,126,700

Central European Distribution Corp. (a)(d)

158,400

690,624

Coca-Cola Bottling Co. CONSOLIDATED

10,828

697,756

Craft Brew Alliance, Inc. (a)(d)

22,005

137,531

Crystal Rock Holdings, Inc. (a)

4,384

3,858

Jones Soda Co. (a)

42,540

21,270

MGP Ingredients, Inc.

21,690

131,008

Monster Beverage Corp. (a)

343,964

19,671,301

National Beverage Corp.

48,005

768,560

Primo Water Corp. (a)(d)

43,402

115,449

 

24,364,057

Food & Staples Retailing - 0.4%

Andersons, Inc.

39,242

1,690,938

Arden Group, Inc. Class A

2,566

229,760

Casey's General Stores, Inc.

78,597

4,026,524

Chefs' Warehouse Holdings (a)

27,477

577,017

Crumbs Bake Shop, Inc. (a)

21,400

80,464

Fresh Market, Inc. (a)(d)

63,325

2,850,892

Ingles Markets, Inc. Class A

32,319

577,541

Nash-Finch Co.

33,766

905,266

PriceSmart, Inc.

37,160

2,401,651

Rite Aid Corp. (a)(d)

1,339,058

2,062,149

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Roundy's, Inc.

38,156

$ 381,560

Ruddick Corp.

91,474

3,746,775

Spartan Stores, Inc.

47,038

839,158

Susser Holdings Corp. (a)(d)

42,317

1,072,313

The Pantry, Inc. (a)(d)

48,462

602,383

United Natural Foods, Inc. (a)(d)

99,547

4,531,379

Village Super Market, Inc. Class A

10,408

313,177

Weis Markets, Inc.

29,832

1,278,600

Winn-Dixie Stores, Inc. (a)

117,587

1,114,725

 

29,282,272

Food Products - 1.7%

Alico, Inc.

8,218

191,151

B&G Foods, Inc. Class A

97,603

2,272,198

Bridgford Foods Corp. (a)

4,789

41,569

Bunge Ltd.

324,121

21,819,826

Cal-Maine Foods, Inc. (d)

27,895

1,073,958

Calavo Growers, Inc.

37,834

1,040,435

Chiquita Brands International, Inc. (a)

92,664

888,648

Coffee Holding Co., Inc.

4,500

35,550

Corn Products International, Inc.

163,249

9,362,330

Darling International, Inc. (a)(d)

244,220

3,905,078

Diamond Foods, Inc. (d)

45,316

1,083,959

Dole Food Co., Inc. (a)(d)

97,530

934,337

Farmer Brothers Co.

16,489

182,533

Flowers Foods, Inc.

286,497

5,483,553

Fresh Del Monte Produce, Inc.

100,958

2,267,517

Golden Enterprises Ltd.

2,595

8,252

Green Mountain Coffee Roasters, Inc. (a)(d)

270,000

17,541,900

Griffin Land & Nurseries, Inc.

5,717

145,955

Hain Celestial Group, Inc. (a)(d)

96,961

3,959,887

Imperial Sugar Co.

28,869

165,997

Inventure Foods, Inc. (a)

25,815

105,067

J&J Snack Foods Corp.

28,888

1,449,311

John B. Sanfilippo & Son, Inc. (a)

23,941

256,169

Lancaster Colony Corp.

51,289

3,342,504

Lifeway Foods, Inc. (a)(d)

13,382

121,776

Limoneira Co. (d)

16,924

310,386

Omega Protein Corp. (a)

45,997

379,935

Overhill Farms, Inc. (a)

28,537

123,565

Pilgrims Pride Corp. (d)

79,596

499,067

Pilgrims Pride Corp. rights 3/1/12 (a)

100,398

36,820

Post Holdings, Inc. (a)

61,641

1,919,501

Ralcorp Holdings, Inc. (a)

131,280

9,793,488

Sanderson Farms, Inc. (d)

42,833

2,107,384

Seneca Foods Corp. Class A (a)

21,181

542,657

Smart Balance, Inc. (a)

144,048

862,848

Smithfield Foods, Inc. (a)(d)

358,972

8,410,714

Snyders-Lance, Inc.

143,901

3,230,577

 

Shares

Value

Tootsie Roll Industries, Inc. (d)

69,890

$ 1,624,943

TreeHouse Foods, Inc. (a)(d)

74,400

4,285,440

 

111,806,785

Household Products - 0.5%

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

119,241

1,141,136

Church & Dwight Co., Inc.

311,672

14,879,221

Energizer Holdings, Inc. (a)

162,669

12,436,045

Harbinger Group, Inc. (a)

43,619

198,903

Ocean Bio-Chem, Inc. (a)

20,307

54,829

Oil-Dri Corp. of America

15,023

312,328

Orchids Paper Products Co.

23,276

416,640

Spectrum Brands Holdings, Inc. (a)

53,363

1,516,576

WD-40 Co.

44,760

1,928,261

 

32,883,939

Personal Products - 0.5%

CCA Industries, Inc.

3,083

15,230

Cyanotech Corp. (a)

3,808

30,692

Elizabeth Arden, Inc. (a)(d)

54,230

2,014,645

Herbalife Ltd.

263,786

17,465,271

Inter Parfums, Inc.

35,137

592,761

Mannatech, Inc. (a)

1,576

6,146

MediFast, Inc. (a)(d)

29,967

486,364

Natural Alternatives International, Inc. (a)

20,104

128,062

Nature's Sunshine Products, Inc. (a)

17,668

260,603

Nu Skin Enterprises, Inc. Class A

123,342

7,124,234

Nutraceutical International Corp. (a)

24,021

312,753

Parlux Fragrances, Inc. (a)

25,118

129,358

Physicians Formula Holdings, Inc. (a)

22,295

64,656

Prestige Brands Holdings, Inc. (a)

104,019

1,716,314

Reliv International, Inc.

10,690

14,325

Revlon, Inc. (a)

42,260

640,662

Schiff Nutrition International, Inc. (a)(d)

27,999

312,469

The Female Health Co.

46,956

231,024

United-Guardian, Inc.

3,431

55,651

USANA Health Sciences, Inc. (a)(d)

34,185

1,268,264

 

32,869,484

Tobacco - 0.1%

Alliance One International, Inc. (a)(d)

266,461

983,241

Star Scientific, Inc. (a)(d)

226,518

849,443

Universal Corp. (d)

47,967

2,203,604

Vector Group Ltd. (d)

94,601

1,717,008

 

5,753,296

TOTAL CONSUMER STAPLES

236,959,833

ENERGY - 6.7%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)(d)

116,937

5,561,524

Basic Energy Services, Inc. (a)(d)

88,232

1,752,288

Bolt Technology Corp.

24,542

338,189

Bristow Group, Inc.

74,615

3,522,574

C&J Energy Services, Inc. (d)

22,000

447,040

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Cal Dive International, Inc. (a)(d)

192,996

$ 559,688

Carbo Ceramics, Inc. (d)

44,330

4,062,845

Dawson Geophysical Co. (a)

17,762

673,002

Dresser-Rand Group, Inc. (a)(d)

178,338

9,366,312

Dril-Quip, Inc. (a)(d)

75,346

5,273,467

Energy Services of America Corp. (a)

9,053

31,323

ENGlobal Corp. (a)

44,577

102,527

Exterran Holdings, Inc. (a)(d)

135,098

1,945,411

Forbes Energy Services Ltd. (a)

10,374

65,460

Geokinetics, Inc. (a)

45,520

90,585

Global Geophysical Services, Inc. (a)

50,528

544,692

Gulf Island Fabrication, Inc.

30,245

886,481

Gulfmark Offshore, Inc. Class A (a)

58,283

2,928,138

Helix Energy Solutions Group, Inc. (a)(d)

217,927

4,192,915

Hercules Offshore, Inc. (a)(d)

315,518

1,602,831

Hornbeck Offshore Services, Inc. (a)(d)

66,010

2,689,908

ION Geophysical Corp. (a)(d)

241,453

1,728,803

Key Energy Services, Inc. (a)(d)

366,546

6,253,275

Lufkin Industries, Inc.

74,136

5,904,191

Matrix Service Co. (a)

71,062

940,861

McDermott International, Inc. (a)

495,504

6,471,282

Mitcham Industries, Inc. (a)

24,562

574,014

Natural Gas Services Group, Inc. (a)(d)

25,396

355,290

Newpark Resources, Inc. (a)(d)

184,790

1,454,297

Oceaneering International, Inc.

235,178

12,763,110

Oil States International, Inc. (a)(d)

117,013

9,503,796

OYO Geospace Corp. (a)

9,947

1,094,667

Parker Drilling Co. (a)

242,503

1,535,044

Patterson-UTI Energy, Inc.

324,732

6,306,295

PHI, Inc. (non-vtg.) (a)

30,743

679,420

Pioneer Drilling Co. (a)(d)

132,423

1,318,933

RigNet, Inc. (a)

17,441

296,497

RPC, Inc. (d)

112,673

1,803,895

SEACOR Holdings, Inc. (a)(d)

52,976

5,238,267

Superior Energy Services, Inc. (a)

360,342

10,572,434

Tesco Corp. (a)(d)

66,408

1,017,371

TETRA Technologies, Inc. (a)(d)

155,121

1,410,050

TGC Industries, Inc. (a)

32,309

327,613

Tidewater, Inc.

108,622

6,463,009

Union Drilling, Inc. (a)

29,459

198,554

Unit Corp. (a)(d)

116,878

5,559,886

Willbros Group, Inc. (a)

99,083

416,149

 

136,824,203

Oil, Gas & Consumable Fuels - 4.6%

Abraxas Petroleum Corp. (a)(d)

199,696

802,778

Adams Resources & Energy, Inc.

15,909

659,746

Alon USA Energy, Inc.

31,382

294,991

Amyris, Inc. (a)(d)

59,801

321,729

APCO Oil and Gas International, Inc. (d)

22,879

1,720,043

Approach Resources, Inc. (a)(d)

59,134

2,043,671

Arch Coal, Inc.

466,807

6,334,571

 

Shares

Value

ATP Oil & Gas Corp. (a)(d)

109,981

$ 879,848

Barnwell Industries, Inc. (a)

11,298

31,860

Berry Petroleum Co. Class A

111,618

6,022,907

Bill Barrett Corp. (a)(d)

108,832

3,181,159

BioFuel Energy Corp. (a)(d)

245,610

186,418

Bonanza Creek Energy, Inc.

21,405

398,133

BPZ Energy, Inc. (a)(d)

218,335

700,855

Callon Petroleum Co. (a)

73,635

519,863

Carrizo Oil & Gas, Inc. (a)(d)

72,656

2,046,720

Cheniere Energy, Inc. (a)(d)

209,409

3,149,511

Cimarex Energy Co.

195,710

15,787,926

Clayton Williams Energy, Inc. (a)(d)

26,242

2,318,481

Clean Energy Fuels Corp. (a)(d)

103,956

1,953,333

Cloud Peak Energy, Inc. (a)(d)

125,502

2,223,895

Cobalt International Energy, Inc. (a)(d)

339,545

10,206,723

Comstock Resources, Inc. (a)(d)

98,794

1,583,668

Concho Resources, Inc. (a)(d)

237,808

25,407,407

Contango Oil & Gas Co. (a)(d)

31,943

2,030,936

Continental Resources, Inc. (a)(d)

125,022

11,336,995

CREDO Petroleum Corp. (a)

17,574

201,750

Crimson Exploration, Inc. (a)(d)

82,961

258,009

Crosstex Energy, Inc.

112,481

1,544,364

Cubic Energy, Inc. (a)(d)

80,504

41,862

CVR Energy, Inc. (a)(d)

192,008

5,224,538

Delek US Holdings, Inc.

31,238

412,654

DHT Holdings, Inc. (d)

140,401

155,845

Double Eagle Petroleum Co. (a)

27,291

185,306

Earthstone Energy, Inc. (a)

4,213

100,480

Endeavour International Corp. (a)(d)

75,178

869,809

Energen Corp.

154,282

8,212,431

Energy Partners Ltd. (a)

62,783

1,069,822

Evolution Petroleum Corp. (a)

37,375

346,840

EXCO Resources, Inc. (d)

381,221

2,718,106

FieldPoint Petroleum Corp. (a)

9,981

54,197

Forest Oil Corp. (a)(d)

237,472

3,070,513

FX Energy, Inc. (a)(d)

108,663

687,837

Gasco Energy, Inc. (a)(d)

467,214

135,492

Gastar Exploration Ltd. (a)

112,646

323,294

GeoMet, Inc. (a)

60,223

40,952

Georesources, Inc. (a)(d)

43,651

1,398,578

Gevo, Inc. (a)(d)

16,005

160,210

GMX Resources, Inc. (a)(d)

104,152

183,308

Goodrich Petroleum Corp. (a)(d)

59,308

944,776

Green Plains Renewable Energy, Inc. (a)(d)

48,253

547,672

Gulfport Energy Corp. (a)(d)

88,655

2,980,581

Halcon Resources Corp. (a)(d)

47,202

518,750

Hallador Energy Co.

4,464

45,086

Harvest Natural Resources, Inc. (a)(d)

74,832

495,388

HKN, Inc. (a)

28,420

65,934

HollyFrontier Corp.

421,851

13,764,998

Houston American Energy Corp. (a)(d)

37,486

406,348

Hyperdynamics Corp. (a)(d)

317,808

432,219

Isramco, Inc. (a)(d)

1,934

159,748

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

James River Coal Co. (a)(d)

72,283

$ 414,182

Kinder Morgan Holding Co. LLC (d)

239,894

8,453,865

KiOR, Inc. Class A (d)

28,186

245,218

Kodiak Oil & Gas Corp. (a)(d)

616,350

5,972,432

Laredo Petroleum Holdings, Inc.

38,457

975,654

Lucas Energy, Inc. (a)(d)

25,312

74,164

Magellan Petroleum Corp. (a)

109,622

139,220

Magnum Hunter Resources Corp. (d)

263,466

1,823,185

Magnum Hunter Resources Corp. warrants 10/14/13 (a)(d)

19,383

0

Matador Resources Co.

29,289

347,368

McMoRan Exploration Co. (a)(d)

286,847

4,015,858

Mexco Energy Corp. (a)

2,175

21,054

Miller Energy Resources, Inc. (a)(d)

130,696

548,923

Northern Oil & Gas, Inc. (a)(d)

161,173

3,821,412

Oasis Petroleum, Inc. (a)(d)

145,480

4,665,544

Overseas Shipholding Group, Inc. (d)

63,133

558,727

Pacific Ethanol, Inc. (a)(d)

65,558

80,636

Panhandle Royalty Co. Class A

15,804

460,687

Patriot Coal Corp. (a)(d)

199,584

1,442,992

Penn Virginia Corp.

93,671

458,051

Petroleum Development Corp. (a)

48,457

1,576,791

Petroquest Energy, Inc. (a)(d)

116,987

713,621

Plains Exploration & Production Co. (a)

318,253

14,025,410

PostRock Energy Corp. (a)

17,510

64,262

PrimeEnergy Corp. (a)

1,965

44,311

Pyramid Oil Co. (a)

7,060

37,206

Quicksilver Resources, Inc. (a)(d)

274,950

1,523,223

Renewable Energy Group, Inc.

10,652

101,940

Rentech, Inc. (a)

504,816

898,572

Resolute Energy Corp. (a)(d)

165,845

1,850,830

Rex American Resources Corp. (a)

16,822

515,931

Rex Energy Corp. (a)(d)

90,060

1,035,690

Rosetta Resources, Inc. (a)(d)

110,823

5,656,406

Royale Energy, Inc. (a)(d)

11,555

71,294

Sanchez Energy Corp. (d)

19,483

466,228

SandRidge Energy, Inc. (a)(d)

811,063

7,031,916

Saratoga Resources, Inc. (a)

15,181

100,954

SemGroup Corp. Class A (a)

96,535

2,738,698

Ship Finance International Ltd. (NY Shares) (d)

109,403

1,502,103

SM Energy Co.

137,484

10,822,740

SMF Energy Corp. (d)

11,201

40,660

Solazyme, Inc. (d)

23,938

329,866

Southern Union Co. (d)

260,425

11,443,075

Stone Energy Corp. (a)(d)

102,000

3,258,900

Swift Energy Co. (a)(d)

88,600

2,660,658

Synergy Resources Corp. (a)

18,532

63,750

Syntroleum Corp. (a)(d)

166,427

206,369

Targa Resources Corp.

86,957

3,863,500

Teekay Corp.

95,965

2,763,792

 

Shares

Value

Tengasco, Inc. (a)

63,216

$ 65,112

Tri-Valley Corp. (a)(d)

75,638

12,858

Ultra Petroleum Corp. (a)(d)

366,925

9,158,448

Uranium Energy Corp. (a)(d)

194,558

729,593

Uranium Resources, Inc. (a)(d)

186,574

179,111

USEC, Inc. (a)(d)

388,801

520,993

Vaalco Energy, Inc. (a)(d)

119,162

940,188

Venoco, Inc. (a)

63,393

690,984

Verenium Corp. (a)(d)

32,819

92,550

Voyager Oil & Gas, Inc. (a)

93,088

301,605

W&T Offshore, Inc.

74,943

1,892,311

Warren Resources, Inc. (a)

155,341

605,830

Western Refining, Inc. (d)

113,744

2,064,454

Westmoreland Coal Co. (a)

23,023

241,972

Whiting Petroleum Corp. (a)(d)

266,339

15,618,119

World Fuel Services Corp. (d)

160,000

6,665,600

ZaZa Energy Corp. (a)(d)

47,652

186,796

Zion Oil & Gas, Inc. (a)(d)

99,924

272,793

Zion Oil & Gas, Inc. warrants 8/15/12 (a)(d)

26,798

5,896

 

300,074,945

TOTAL ENERGY

436,899,148

FINANCIALS - 20.3%

Capital Markets - 1.5%

Affiliated Managers Group, Inc. (a)

112,772

11,997,813

Arlington Asset Investment Corp.

20,855

481,751

Artio Global Investors, Inc. Class A (d)

122,626

587,379

BGC Partners, Inc. Class A (d)

169,391

1,190,819

Calamos Asset Management, Inc.
Class A

42,824

525,022

CIFI Corp. (a)

5,983

31,351

Cohen & Steers, Inc. (d)

41,701

1,373,631

Cowen Group, Inc. Class A (a)

224,983

629,952

Diamond Hill Investment Group, Inc.

6,220

471,725

Duff & Phelps Corp. Class A

62,290

857,110

Eaton Vance Corp. (non-vtg.) (d)

250,462

7,215,810

Edelman Financial Group, Inc.

54,798

367,147

Epoch Holding Corp.

35,731

891,488

Evercore Partners, Inc. Class A

51,523

1,400,910

FBR Capital Markets Corp. (a)

133,653

336,806

Financial Engines, Inc. (a)(d)

112,959

2,603,705

FirstCity Financial Corp. (a)

5,260

45,236

FXCM, Inc. Class A (d)

32,446

306,939

GAMCO Investors, Inc. Class A

13,874

639,730

GFI Group, Inc.

188,467

723,713

Gleacher & Co., Inc. (a)(d)

147,210

223,759

Greenhill & Co., Inc.

60,155

2,644,414

HFF, Inc. (a)

77,082

1,110,752

ICG Group, Inc. (a)

113,828

986,889

Institutional Financial Markets, Inc.

16,813

25,556

INTL FCStone, Inc. (a)(d)

36,432

825,185

Investment Technology Group, Inc. (a)(d)

111,776

1,285,424

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc. (d)

420,000

$ 3,704,400

Jefferies Group, Inc. (d)

302,772

5,062,348

JMP Group, Inc.

40,214

286,324

KBW, Inc.

72,402

1,196,805

Knight Capital Group, Inc. Class A (a)

210,178

2,784,859

Ladenburg Thalmann Financial Services, Inc. (a)(d)

282,944

574,376

LPL Investment Holdings, Inc. (a)

95,900

3,270,190

Medallion Financial Corp.

52,498

574,853

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

30,185

505,297

Penson Worldwide, Inc. (a)(d)

47,870

61,274

Piper Jaffray Companies (a)(d)

44,362

1,090,418

Pzena Investment Management, Inc.

13,002

66,830

Raymond James Financial, Inc.

228,162

8,070,090

Rodman & Renshaw Capital Group, Inc. (a)(d)

120,949

135,463

Safeguard Scientifics, Inc. (a)

52,134

881,586

SEI Investments Co.

318,629

6,292,923

Stifel Financial Corp. (a)(d)

111,917

4,200,245

SWS Group, Inc. (d)

80,179

448,201

TD Ameritrade Holding Corp.

498,113

9,299,770

Teton Advisors, Inc. (a)

145

2,248

U.S. Global Investments, Inc. Class A

36,632

271,077

Virtus Investment Partners, Inc. (a)

13,764

1,094,789

Waddell & Reed Financial, Inc.
Class A (d)

213,366

6,733,831

Walter Investment Management Corp.

58,571

1,193,677

Westwood Holdings Group, Inc.

12,700

491,998

WisdomTree Investments, Inc. (a)

138,520

980,722

 

99,054,610

Commercial Banks - 4.3%

1st Source Corp.

35,268

865,829

1st United Bancorp, Inc. (a)

59,992

353,953

Access National Corp.

3,533

36,814

ACNB Corp.

13,555

193,972

Alliance Financial Corp.

11,655

344,056

Ameriana Bancorp

2,223

10,782

American National Bankshares, Inc.

15,150

321,938

Ameris Bancorp (a)(d)

48,535

559,123

AmeriServ Financial, Inc. (a)(d)

12,760

32,155

Ames National Corp.

14,284

309,249

Anchor Bancorp (a)

6,363

57,585

Arrow Financial Corp.

28,188

678,203

Associated Banc-Corp.

434,355

5,750,860

Auburn National Bancorp., Inc.

2,112

44,479

BancFirst Corp.

19,467

796,784

Bancorp, Inc., Delaware (a)

66,983

557,299

BancorpSouth, Inc.

226,260

2,678,918

BancTrust Financial Group, Inc. (a)(d)

34,209

44,472

Bank of Hawaii Corp.

98,531

4,532,426

 

Shares

Value

Bank of Kentucky Financial Corp.

10,625

$ 263,819

Bank of Marin Bancorp

11,021

387,609

Bank of the James Financial Group, Inc. (a)

2,186

11,280

Bank of the Ozarks, Inc. (d)

66,196

1,942,853

Banner Bank

32,759

675,163

Bar Harbor Bankshares

9,461

289,034

BBCN Bancorp, Inc. (a)

168,307

1,725,147

BCB Bancorp, Inc. (d)

9,297

97,154

Berkshire Bancorp, Inc. (a)

1,681

11,717

BOK Financial Corp.

65,078

3,493,387

Boston Private Financial Holdings, Inc.

161,973

1,543,603

Bridge Bancorp, Inc.

17,303

347,098

Bridge Capital Holdings (a)

15,251

183,927

Bryn Mawr Bank Corp.

21,145

415,711

BSB Bancorp, Inc.

19,579

220,655

C & F Financial Corp.

802

25,255

Camden National Corp.

15,714

555,490

Capital Bank Corp. (a)

18,858

41,488

Capital City Bank Group, Inc. (d)

29,072

228,797

CapitalSource, Inc.

671,726

4,534,151

Cardinal Financial Corp.

61,598

662,179

Cascade Bancorp (a)(d)

31,306

181,575

Cathay General Bancorp

164,381

2,685,986

Center Bancorp, Inc.

24,715

237,511

Centerstate Banks of Florida, Inc.

63,352

443,464

Central Pacific Financial Corp. (a)(d)

23,723

328,326

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

7,814

193,475

Chemical Financial Corp.

55,700

1,228,742

CIT Group, Inc. (a)

458,461

18,663,947

Citizens & Northern Corp.

28,411

565,379

Citizens Holding Co.

2,280

42,659

Citizens Republic Bancorp, Inc. (a)

84,126

1,151,685

City Holding Co. (d)

34,461

1,180,978

City National Corp.

106,269

4,994,643

CNB Financial Corp., Pennsylvania

24,450

378,975

CoBiz, Inc.

138,787

809,128

Colony Bankcorp, Inc. (a)

4,000

15,480

Columbia Banking Systems, Inc.

82,145

1,737,367

Commerce Bancshares, Inc.

183,137

7,070,920

Community Bank System, Inc.

96,150

2,626,818

Community Partners Bancorp

1,393

8,233

Community Trust Bancorp, Inc.

34,249

1,056,239

Crescent Financial Bancshares, Inc. (a)

4,931

19,823

Cullen/Frost Bankers, Inc.

140,787

7,951,650

CVB Financial Corp.

241,074

2,596,367

Eagle Bancorp, Inc., Maryland (a)(d)

42,730

662,742

East West Bancorp, Inc.

312,101

6,903,674

Eastern Virginia Bankshares, Inc. (a)

3,012

8,916

Encore Bancshares, Inc. (a)(d)

20,453

296,569

Enterprise Bancorp, Inc.

11,330

179,581

Enterprise Financial Services Corp.

40,305

467,538

Farmers Capital Bank Corp. (a)

5,824

34,070

Farmers National Banc Corp.

41,229

230,882

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Fidelity Southern Corp.

10,511

$ 67,270

Financial Institutions, Inc.

26,944

440,804

First Bancorp, North Carolina

34,349

343,490

First Bancorp, Puerto Rico (a)(d)

83,028

321,318

First Busey Corp.

161,346

780,915

First California Financial Group, Inc. (a)

58,547

270,487

First Citizen Bancshares, Inc.

14,036

2,472,441

First Commonwealth Financial Corp.

220,589

1,321,328

First Community Bancshares, Inc.

34,379

426,300

First Connecticut Bancorp, Inc. (d)

34,934

450,649

First Financial Bancorp, Ohio

125,711

2,057,889

First Financial Bankshares, Inc. (d)

88,879

3,044,995

First Financial Corp., Indiana

27,105

867,089

First Financial Service Corp. (a)

745

2,310

First Interstate Bancsystem, Inc.

42,213

574,097

First M&F Corp.

1,684

6,500

First Merchants Corp.

56,317

623,992

First Midwest Bancorp, Inc., Delaware (d)

155,623

1,799,002

First Niagara Financial Group, Inc.

686,322

6,561,238

First of Long Island Corp.

15,466

401,188

First Republic Bank (a)

194,207

5,824,268

First Security Group, Inc. (a)

1,070

2,996

First South Bancorp, Inc., Virginia (a)

39,689

161,534

First United Corp. (a)

14,602

79,143

Firstbank Corp., Michigan

7,615

54,523

FirstMerit Corp.

236,536

3,796,403

FNB Corp., Pennsylvania

296,034

3,490,241

FNB United Corp. (a)(d)

1,709

25,584

Fulton Financial Corp.

416,928

4,085,894

German American Bancorp, Inc.

25,909

507,298

Glacier Bancorp, Inc.

149,478

2,062,796

Great Southern Bancorp, Inc.

21,585

475,302

Green Bankshares, Inc. (a)

33,783

48,648

Guaranty Bancorp (a)

79,862

126,981

Hampton Roads Bankshares, Inc. (a)(d)

56,222

146,177

Hancock Holding Co.

186,386

6,327,805

Hanmi Financial Corp. (a)(d)

49,523

429,364

Hawthorn Bancshares, Inc.

6,079

43,465

Heartland Financial USA, Inc.

31,079

488,873

Heritage Commerce Corp. (a)(d)

40,322

211,691

Heritage Financial Corp., Washington

35,332

473,449

Heritage Oaks Bancorp (a)

17,210

69,701

Home Bancshares, Inc.

61,821

1,557,889

Horizon Bancorp Industries

7,320

128,832

Hudson Valley Holding Corp.

41,056

670,034

IBERIABANK Corp. (d)

64,510

3,421,610

Independent Bank Corp. (a)(d)

17,064

26,449

Independent Bank Corp., Massachusetts (d)

45,285

1,244,885

International Bancshares Corp.

125,554

2,383,015

Intervest Bancshares Corp. Class A (a)

43,436

147,682

 

Shares

Value

Investors Bancorp, Inc. (a)

108,165

$ 1,571,637

Lakeland Bancorp, Inc.

53,953

488,814

Lakeland Financial Corp.

34,881

879,699

Macatawa Bank Corp. (a)(d)

67,984

186,956

MainSource Financial Group, Inc.

47,324

479,865

MB Financial, Inc.

113,058

2,249,854

MBT Financial Corp. (a)(d)

10,000

21,200

Mercantile Bank Corp. (a)(d)

17,873

240,392

Merchants Bancshares, Inc.

13,310

370,684

Metro Bancorp, Inc. (a)

41,607

442,698

Metrocorp Bancshares, Inc. (a)

24,932

201,949

Middleburg Financial Corp.

12,256

193,155

Midsouth Bancorp, Inc.

24,320

312,755

MidWestOne Financial Group, Inc.

16,620

289,188

National Bankshares, Inc.

15,371

415,171

National Penn Bancshares, Inc. (d)

283,008

2,476,320

NBT Bancorp, Inc.

103,841

2,264,772

NewBridge Bancorp (a)

32,890

133,533

North Valley Bancorp (a)

2,276

23,807

Northrim Bancorp, Inc.

10,594

211,880

Norwood Financial Corp.

2,777

70,758

OBA Financial Services, Inc. (a)

4,224

59,981

Ohio Valley Banc Corp.

7,485

143,113

Old National Bancorp, Indiana

197,074

2,380,654

Old Second Bancorp, Inc. (a)(d)

34,774

41,729

OmniAmerican Bancorp, Inc. (a)

21,285

380,789

Oriental Financial Group, Inc.

97,881

1,150,102

Orrstown Financial Services, Inc.

16,026

138,625

Pacific Capital Bancorp NA (a)(d)

17,797

498,494

Pacific Continental Corp.

43,214

362,998

Pacific Mercantile Bancorp (a)

13,335

58,141

PacWest Bancorp

69,253

1,507,638

Park National Corp. (d)

38,738

2,666,724

Park Sterling Corp. (a)

78,231

355,951

Patriot National Bancorp, Inc. (a)(d)

14,022

24,398

Peapack-Gladstone Financial Corp. (d)

17,211

216,514

Penns Woods Bancorp, Inc.

9,401

366,545

Peoples Bancorp of North Carolina

1,842

14,847

Peoples Bancorp, Inc.

20,106

325,114

Peoples Financial Corp., Mississippi

7,232

70,223

Pinnacle Financial Partners, Inc. (a)(d)

71,032

1,176,290

Popular, Inc. (a)

2,618,158

4,974,500

Porter Bancorp, Inc.

3,733

7,391

Preferred Bank, Los Angeles (a)

18,933

191,223

Premier Financial Bancorp, Inc. (a)

4,520

27,572

PremierWest Bancorp (a)(d)

17,140

23,825

Princeton National Bancorp, Inc. (a)(d)

3,779

6,198

PrivateBancorp, Inc.

138,942

2,014,659

Prosperity Bancshares, Inc.

104,563

4,573,586

QCR Holdings, Inc.

6,005

59,510

Renasant Corp.

56,593

858,516

Republic Bancorp, Inc., Kentucky Class A

22,049

574,597

Republic First Bancorp, Inc. (a)

43,056

86,973

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Royal Bancshares of Pennsylvania, Inc. Class A (a)

6,704

$ 8,849

S&T Bancorp, Inc. (d)

65,011

1,378,883

S.Y. Bancorp, Inc.

28,962

629,924

Sandy Spring Bancorp, Inc.

51,493

929,964

Savannah Bancorp, Inc. (a)

3,956

20,611

SCBT Financial Corp.

39,694

1,229,323

Seacoast Banking Corp., Florida (a)

235,806

436,241

Shore Bancshares, Inc.

20,686

127,633

Sierra Bancorp

28,927

266,128

Signature Bank (a)(d)

103,111

6,120,669

Simmons First National Corp. Class A

35,300

928,037

Southern National Bancorp of Virginia, Inc.

12,282

78,850

Southside Bancshares, Inc.

38,340

817,025

Southwest Bancorp, Inc., Oklahoma (a)

44,454

380,526

State Bank Financial Corp. (a)

65,049

1,056,396

State Investors Bancorp, Inc. (a)

5,912

65,860

StellarOne Corp.

47,424

551,541

Sterling Bancorp, New York

62,200

553,580

Sterling Financial Corp., Washington (a)

88,072

1,713,881

Suffolk Bancorp (a)

24,189

292,687

Summit Financial Group, Inc. (a)

1,800

6,786

Sun Bancorp, Inc., New Jersey (a)

127,043

364,613

Susquehanna Bancshares, Inc.

457,715

4,243,018

SVB Financial Group (a)(d)

94,434

5,598,048

Synovus Financial Corp.

1,961,478

4,158,333

Taylor Capital Group, Inc. (a)(d)

36,427

489,943

TCF Financial Corp. (d)

333,798

3,598,342

Texas Capital Bancshares, Inc. (a)(d)

76,497

2,592,483

The First Bancorp, Inc.

19,885

298,275

TIB Financial Corp. (a)

777

8,392

Tompkins Financial Corp. (d)

20,721

851,633

TowneBank (d)

60,370

779,980

Trico Bancshares

30,606

495,817

Trustmark Corp.

117,611

2,773,267

UMB Financial Corp.

79,916

3,328,501

Umpqua Holdings Corp. (d)

254,223

3,132,027

Union Bankshares, Inc.

388

7,372

Union/First Market Bankshares Corp.

45,249

628,056

United Bankshares, Inc., West Virginia (d)

105,326

3,083,945

United Community Banks, Inc., Georgia (a)

41,124

368,882

United Security Bancshares, Inc.

8,545

52,295

United Security Bancshares, California (d)

7,198

15,476

Univest Corp. of Pennsylvania

33,462

528,700

Valley National Bancorp (d)

401,122

5,018,036

Virginia Commerce Bancorp, Inc. (a)

67,965

570,906

VIST Financial Corp.

18,675

223,353

Washington Banking Co., Oak Harbor

41,106

521,635

 

Shares

Value

Washington Trust Bancorp, Inc.

34,101

$ 801,715

Webster Financial Corp.

192,580

4,213,650

Wellesley Bancorp, Inc.

803

9,989

WesBanco, Inc.

61,393

1,197,164

West Bancorp., Inc.

25,000

240,750

West Coast Bancorp (a)

36,737

630,040

Westamerica Bancorp.

70,836

3,354,793

Western Alliance Bancorp. (a)(d)

183,053

1,490,051

Wilshire Bancorp, Inc. (a)(d)

124,300

539,462

Wintrust Financial Corp.

76,756

2,587,445

Xenith Bankshares, Inc. (a)

16,585

58,379

Yadkin Valley Financial Corp. (a)

15,173

31,408

 

277,465,665

Consumer Finance - 0.3%

Advance America Cash Advance Centers, Inc.

168,612

1,748,506

Cash America International, Inc.

61,500

2,852,370

CompuCredit Holdings Corp. (a)(d)

36,887

198,083

Consumer Portfolio Services, Inc. (a)

11,918

13,944

Credit Acceptance Corp. (a)(d)

21,614

2,080,564

DFC Global Corp. (a)

92,459

1,655,941

EZCORP, Inc. (non-vtg.) Class A (a)(d)

102,437

3,226,766

First Cash Financial Services, Inc. (a)(d)

76,532

3,234,242

First Marblehead Corp. (a)

153,484

187,250

Green Dot Corp. Class A (a)(d)

42,106

1,344,445

Imperial Holdings, Inc. (a)

53,799

134,498

Nelnet, Inc. Class A

61,253

1,618,304

Netspend Holdings, Inc. (a)(d)

69,646

599,652

QC Holdings, Inc.

15,649

58,684

White River Capital, Inc.

7,973

185,372

World Acceptance Corp. (a)(d)

37,666

2,392,544

 

21,531,165

Diversified Financial Services - 0.3%

California First National Bancorp

1,545

22,881

Catskill Litigation Trust (a)

1,036

0

CBOE Holdings, Inc.

224,482

6,188,969

FX Alliance, Inc.

11,347

153,525

Gain Capital Holdings, Inc.

22,236

116,517

Interactive Brokers Group, Inc.

80,367

1,274,621

Life Partners Holdings, Inc.

22,647

96,250

MarketAxess Holdings, Inc.

67,374

2,231,427

Marlin Business Services Corp.

19,144

300,561

MicroFinancial, Inc.

5,166

34,716

MSCI, Inc. Class A (a)(d)

256,992

9,092,377

NCP Litigation Trust (a)

200

0

NewStar Financial, Inc. (a)(d)

67,474

665,294

PHH Corp. (a)(d)

116,881

1,591,919

PICO Holdings, Inc. (a)

49,118

1,085,999

Resource America, Inc. Class A

23,799

141,604

Vector Capital Corp. rights

49,572

1

 

22,996,661

Insurance - 4.1%

21st Century Holding Co. (a)

8,797

29,294

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Alleghany Corp. (d)

18,796

$ 6,101,933

Allied World Assurance Co. Holdings
Ltd.

89,522

5,905,766

American Equity Investment Life Holding Co.

119,336

1,443,966

American Financial Group, Inc.

190,000

7,115,500

American Independence Corp. (a)

3,087

13,428

American National Insurance Co.

29,749

2,144,903

American Safety Insurance Group Ltd. (a)(d)

24,056

464,521

Amerisafe, Inc. (a)

44,533

1,004,664

Amtrust Financial Services, Inc. (d)

65,584

1,771,424

Arch Capital Group Ltd. (a)

304,045

11,264,867

Argo Group International Holdings, Ltd.

64,674

1,930,519

Arthur J. Gallagher & Co. (d)

238,841

8,149,255

Aspen Insurance Holdings Ltd.

147,997

3,926,360

Assured Guaranty Ltd.

358,543

6,023,522

Axis Capital Holdings Ltd.

309,698

9,554,183

Baldwin & Lyons, Inc. Class B

18,379

386,694

Brown & Brown, Inc.

248,221

5,865,462

Citizens, Inc. Class A (a)(d)

78,016

833,211

CNA Financial Corp.

88,556

2,498,165

CNO Financial Group, Inc. (a)

478,207

3,548,296

Crawford & Co. Class B

69,141

304,220

Delphi Financial Group, Inc. Class A

99,263

4,423,159

Donegal Group, Inc. Class A

26,385

363,321

Eastern Insurance Holdings, Inc.

14,834

215,093

eHealth, Inc. (a)(d)

59,193

889,671

EMC Insurance Group

12,011

253,072

Employers Holdings, Inc.

87,592

1,514,466

Endurance Specialty Holdings Ltd.

106,872

4,110,297

Enstar Group Ltd. (a)(d)

20,537

1,991,678

Erie Indemnity Co. Class A

61,158

4,654,735

Everest Re Group Ltd.

95,044

8,349,615

FBL Financial Group, Inc. Class A

35,194

1,195,540

Fidelity National Financial, Inc. Class A

471,276

8,134,224

First Acceptance Corp. (a)

24,679

35,785

First American Financial Corp.

216,245

3,330,173

Flagstone Reinsurance Holdings Ltd.

110,570

875,714

Fortegra Financial Corp. (a)

12,280

85,469

Global Indemnity PLC (a)

37,631

719,881

Greenlight Capital Re, Ltd. (a)

63,768

1,501,736

Hallmark Financial Services, Inc. (a)

23,631

159,509

Hanover Insurance Group, Inc.

94,048

3,839,039

Harleysville Group, Inc. (d)

30,356

1,718,453

HCC Insurance Holdings, Inc.

266,381

8,135,276

Hilltop Holdings, Inc. (a)

103,357

851,662

Homeowners Choice, Inc.

1,171

12,705

Horace Mann Educators Corp.

81,387

1,410,437

Independence Holding Co.

12,745

116,744

Infinity Property & Casualty Corp.

29,456

1,615,072

 

Shares

Value

Investors Title Co.

2,693

$ 121,670

Kansas City Life Insurance Co.

8,684

278,062

Kemper Corp.

121,221

3,469,345

Maiden Holdings Ltd.

143,671

1,242,754

Markel Corp. (a)

20,681

8,436,814

MBIA, Inc. (a)(d)

321,835

3,469,381

Meadowbrook Insurance Group, Inc.

111,638

1,062,794

Mercury General Corp.

55,209

2,367,362

Montpelier Re Holdings Ltd.

171,990

2,966,828

National Financial Partners Corp. (a)(d)

130,377

1,989,553

National Interstate Corp.

12,547

303,010

National Security Group, Inc.

2,778

25,280

National Western Life Insurance Co. Class A

7,262

985,889

Navigators Group, Inc. (a)(d)

29,134

1,369,589

Old Republic International Corp.

530,948

5,766,095

OneBeacon Insurance Group Ltd.

47,103

718,321

PartnerRe Ltd.

144,778

9,184,716

Phoenix Companies, Inc. (a)(d)

232,680

481,648

Platinum Underwriters Holdings Ltd.

76,798

2,730,937

Presidential Life Corp.

47,504

513,993

Primerica, Inc.

106,260

2,658,625

ProAssurance Corp.

64,616

5,670,700

Protective Life Corp.

178,332

4,952,280

Reinsurance Group of America, Inc.

160,469

9,254,247

RenaissanceRe Holdings Ltd.

110,083

7,921,573

RLI Corp.

47,991

3,362,249

Safety Insurance Group, Inc.

32,009

1,366,144

SeaBright Insurance Holdings, Inc.

51,078

417,818

Selective Insurance Group, Inc.

108,320

1,860,938

StanCorp Financial Group, Inc. (d)

111,235

4,422,704

State Auto Financial Corp.

29,911

418,156

Stewart Information Services Corp. (d)

39,262

515,903

Symetra Financial Corp.

228,781

2,274,083

Tower Group, Inc. (d)

79,758

1,838,422

Transatlantic Holdings, Inc.

148,543

9,001,706

Unico American Corp. (a)

2,607

28,286

United Fire Group, Inc.

45,430

912,689

Universal Insurance Holdings, Inc.

99,404

400,598

Validus Holdings Ltd.

146,156

4,456,296

W.R. Berkley Corp. (d)

267,684

9,569,703

White Mountains Insurance Group Ltd.

13,674

6,785,312

 

266,355,152

Real Estate Investment Trusts - 8.3%

Acadia Realty Trust (SBI) (d)

92,883

1,968,191

AG Mortgage Investment Trust, Inc.

28,695

571,604

Agree Realty Corp.

28,120

674,880

Alexanders, Inc.

7,463

2,831,835

Alexandria Real Estate Equities, Inc.

132,775

9,518,640

American Assets Trust, Inc.

90,276

1,942,740

American Campus Communities, Inc.

162,273

6,677,534

American Capital Agency Corp.

515,447

15,829,377

American Capital Mortgage Investment Corp. (d)

28,439

613,145

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Annaly Capital Management, Inc. (d)

2,208,934

$ 36,712,483

Anworth Mortgage Asset Corp.

286,499

1,862,244

Apollo Commercial Real Estate Finance, Inc.

43,970

657,352

Arbor Realty Trust, Inc. (a)(d)

95,842

460,042

Armour Residential REIT, Inc. (d)

268,031

1,894,979

Ashford Hospitality Trust, Inc.

167,220

1,411,337

Associated Estates Realty Corp. (d)

110,604

1,650,212

BioMed Realty Trust, Inc.

366,169

6,744,833

Brandywine Realty Trust (SBI) (d)

351,288

3,797,423

BRE Properties, Inc.

163,938

7,939,517

BRT Realty Trust (a)

7,942

51,305

Camden Property Trust (SBI) (d)

152,681

9,466,222

Campus Crest Communities, Inc.

85,655

907,086

Capital Trust, Inc. Class A (a)

85,860

291,924

CapLease, Inc.

143,989

580,276

Capstead Mortgage Corp.

222,517

2,959,476

CBL & Associates Properties, Inc. (d)

312,528

5,509,869

Cedar Shopping Centers, Inc.

105,841

503,803

Chatham Lodging Trust

37,534

452,660

Chesapeake Lodging Trust (d)

79,186

1,396,049

Chimera Investment Corp. (d)

2,491,833

7,649,927

Cogdell Spencer, Inc.

183,981

778,240

Colonial Properties Trust (SBI)

181,383

3,721,979

Colony Financial, Inc.

63,933

1,066,402

CommonWealth REIT

174,324

3,242,426

Coresite Realty Corp.

64,954

1,386,768

Corporate Office Properties Trust (SBI) (d)

147,223

3,609,908

Cousins Properties, Inc.

217,353

1,606,239

Crexus Investment Corp.

147,343

1,642,874

CubeSmart

222,676

2,511,785

Cys Investments, Inc. (d)

241,015

3,270,574

DCT Industrial Trust, Inc. (d)

498,172

2,819,654

DDR Corp.

548,129

7,745,063

DiamondRock Hospitality Co. (d)

357,776

3,563,449

Digital Realty Trust, Inc.

229,508

16,639,330

Douglas Emmett, Inc.

265,224

5,588,270

Duke Realty LP

533,955

7,411,295

DuPont Fabros Technology, Inc. (d)

145,560

3,333,324

EastGroup Properties, Inc. (d)

54,633

2,632,764

Education Realty Trust, Inc.

179,142

1,841,580

Entertainment Properties Trust (SBI)

96,934

4,410,497

Equity Lifestyle Properties, Inc.

96,693

6,431,051

Equity One, Inc.

121,453

2,310,036

Essex Property Trust, Inc. (d)

72,783

10,188,892

Excel Trust, Inc.

82,459

988,683

Extra Space Storage, Inc.

235,368

6,206,654

Federal Realty Investment Trust (SBI)

141,738

13,514,718

FelCor Lodging Trust, Inc. (a)

316,013

1,213,490

First Industrial Realty Trust, Inc. (a)

173,098

2,046,018

First Potomac Realty Trust

134,902

1,784,753

 

Shares

Value

Franklin Street Properties Corp.

149,212

$ 1,538,376

General Growth Properties, Inc.

888,708

14,459,279

Getty Realty Corp. (d)

61,162

1,039,754

Gladstone Commercial Corp.

28,855

515,639

Glimcher Realty Trust

291,480

2,885,652

Government Properties Income Trust

72,848

1,699,544

Gramercy Capital Corp. (a)

107,065

310,489

Gyrodyne Co. of America, Inc. (a)

691

72,196

Hatteras Financial Corp.

173,206

4,932,907

Healthcare Realty Trust, Inc.

158,187

3,269,725

Hersha Hospitality Trust

373,061

1,876,497

Highwoods Properties, Inc. (SBI)

148,605

4,755,360

Home Properties, Inc.

104,425

6,018,013

Hospitality Properties Trust (SBI)

259,284

6,412,093

Hudson Pacific Properties, Inc.

57,436

878,196

Inland Real Estate Corp.

155,936

1,351,965

Invesco Mortgage Capital, Inc.

297,124

5,089,734

Investors Real Estate Trust (d)

203,581

1,553,323

iStar Financial, Inc. (a)(d)

264,321

1,863,463

Kilroy Realty Corp. (d)

151,047

6,621,900

Kite Realty Group Trust

135,125

663,464

LaSalle Hotel Properties (SBI)

179,910

4,799,999

Lexington Corporate Properties Trust

370,353

3,203,553

Liberty Property Trust (SBI) (d)

243,987

8,276,039

LTC Properties, Inc.

60,414

1,864,376

Mack-Cali Realty Corp.

191,873

5,487,568

Medical Properties Trust, Inc.

249,853

2,428,571

MFA Financial, Inc. (d)

876,893

6,401,319

Mid-America Apartment Communities, Inc. (d)

76,315

4,759,767

Mission West Properties, Inc.

47,795

477,950

Monmouth Real Estate Investment Corp. Class A

64,543

604,122

MPG Office Trust, Inc. (a)(d)

165,334

370,348

National Health Investors, Inc. (d)

62,000

2,922,060

National Retail Properties, Inc.

198,474

5,289,332

New York Mortgage Trust, Inc. (d)

45,221

321,069

NorthStar Realty Finance Corp.

199,299

1,064,257

Omega Healthcare Investors, Inc. (d)

212,111

4,320,701

One Liberty Properties, Inc.

28,128

491,677

Parkway Properties, Inc.

47,937

478,891

Pebblebrook Hotel Trust

140,580

3,012,629

Pennsylvania Real Estate Investment Trust (SBI)

112,095

1,504,315

Pennymac Mortgage Investment Trust

55,638

1,001,484

Piedmont Office Realty Trust, Inc. Class A

362,642

6,389,752

PMC Commercial Trust

13,167

95,197

Post Properties, Inc. (d)

120,322

5,254,462

Potlatch Corp.

92,090

2,838,214

PS Business Parks, Inc.

43,000

2,684,060

RAIT Financial Trust (d)

95,007

503,537

Ramco-Gershenson Properties Trust (SBI)

91,827

1,016,525

Rayonier, Inc. (d)

263,287

11,721,537

Realty Income Corp.

287,073

10,590,123

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Redwood Trust, Inc.

149,734

$ 1,732,422

Regency Centers Corp.

191,454

8,192,317

Resource Capital Corp.

141,840

818,417

Retail Opportunity Investments Corp.

114,340

1,329,774

RLJ Lodging Trust

134,924

2,363,868

Rouse Properties, Inc. (a)(d)

31,649

463,025

Rouse Properties, Inc. rights 3/16/12 (a)(d)

31,649

0

Sabra Health Care REIT, Inc.

78,716

1,124,064

Saul Centers, Inc.

23,989

908,224

Senior Housing Properties Trust (SBI)

344,767

7,378,014

SL Green Realty Corp.

186,104

14,153,209

Sovran Self Storage, Inc. (d)

73,113

3,473,599

Stag Industrial, Inc.

32,635

401,084

Starwood Property Trust, Inc.

228,389

4,508,399

Strategic Hotel & Resorts, Inc. (a)(d)

354,090

2,205,981

Summit Hotel Properties, Inc.

75,902

699,057

Sun Communities, Inc. (d)

67,921

2,811,250

Sunstone Hotel Investors, Inc. (a)

332,828

2,988,795

Supertel Hospitality, Inc., Maryland (a)

13,197

14,649

Tanger Factory Outlet Centers, Inc.

209,858

6,144,642

Taubman Centers, Inc.

133,106

9,193,631

Terreno Realty Corp.

28,836

410,048

The Macerich Co.

296,360

16,000,476

Two Harbors Investment Corp.

379,856

3,904,920

UDR, Inc.

474,620

11,874,992

UMH Properties, Inc.

26,836

271,044

Universal Health Realty Income Trust (SBI)

32,328

1,221,675

Urstadt Biddle Properties, Inc.

5,274

97,938

Urstadt Biddle Properties, Inc. Class A

50,629

962,964

Washington (REIT) (SBI)

136,137

4,032,378

Weingarten Realty Investors (SBI)

253,427

6,310,332

Whitestone REIT Class B

24,805

320,977

Winthrop Realty Trust

59,385

676,395

 

542,003,244

Real Estate Management & Development - 0.5%

American Realty Capital Properties, Inc.

5,400

61,020

American Realty Investments, Inc. (a)

1,965

2,967

AV Homes, Inc. (a)

24,732

258,944

Brookfield Properties Corp.

556,310

9,662,981

Consolidated-Tomoka Land Co.

11,328

338,254

Forest City Enterprises, Inc. Class A (a)

275,710

4,030,880

Forestar Group, Inc. (a)(d)

73,423

1,152,007

Howard Hughes Corp. (a)

54,951

3,052,528

Jones Lang LaSalle, Inc. (d)

91,993

7,489,150

Kennedy-Wilson Holdings, Inc. (d)

91,074

1,231,320

Maui Land & Pineapple, Inc. (a)

17,270

64,417

Preferred Apartment Communities, Inc. Class A

2,507

19,404

Stratus Properties, Inc. (a)

6,633

58,768

Tejon Ranch Co. (a)(d)

30,567

893,168

The St. Joe Co. (a)(d)

213,311

3,436,440

 

Shares

Value

Thomas Properties Group, Inc.

85,189

$ 366,313

Transcontinental Realty Investors, Inc. (a)

1,497

3,234

ZipRealty, Inc. (a)

28,991

36,529

 

32,158,324

Thrifts & Mortgage Finance - 1.0%

Alliance Bancorp, Inc. of Pennsylvania

6,385

72,087

Apollo Residential Mortgage, Inc.

24,079

431,736

ASB Bancorp, Inc.

13,663

164,639

Astoria Financial Corp. (d)

188,613

1,656,022

Bank Mutual Corp.

123,703

486,153

BankAtlantic Bancorp, Inc. Class A (a)(d)

25,919

57,022

BankFinancial Corp.

49,291

278,494

BankUnited, Inc.

84,410

1,943,962

BCSB Bancorp, Inc. (a)

149

1,909

Beacon Federal Bancorp, Inc.

11,844

161,078

Beneficial Mutual Bancorp, Inc. (a)

93,273

845,986

Berkshire Hills Bancorp, Inc.

50,973

1,120,896

BofI Holding, Inc. (a)

27,494

450,627

Brookline Bancorp, Inc., Delaware

155,762

1,429,895

Camco Financial Corp. (a)

7,852

17,903

Cape Bancorp, Inc. (a)

25,193

203,056

Capitol Federal Financial, Inc.

417,085

4,875,724

Central Bancorp, Inc.

100

1,808

CFS Bancorp, Inc.

9,922

55,464

Charter Financial Corp., Georgia

2,453

23,696

Cheviot Financial Corp.

44

363

Chicopee Bancorp, Inc. (a)

11,029

159,479

Citizens South Banking Corp., Delaware

11,035

48,002

Clifton Savings Bancorp, Inc.

23,320

229,236

Colonial Financial Services, Inc. (a)

6,111

74,860

Dime Community Bancshares, Inc.

83,947

1,168,542

Doral Financial Corp. (a)(d)

295,629

413,881

Eagle Bancorp Montana, Inc.

15,964

159,640

ESB Financial Corp.

30,356

387,039

ESSA Bancorp, Inc.

31,156

299,721

Farmer Mac Class C (non-vtg.)

21,618

431,495

FedFirst Financial Corp.

6,288

86,460

First Clover Leaf Financial Corp. (d)

10,566

63,607

First Defiance Financial Corp.

22,893

358,047

First Federal Bancshares of Arkansas, Inc. (a)(d)

3,836

27,236

First Financial Holdings, Inc.

36,582

357,040

First Financial Northwest, Inc. (a)(d)

34,706

255,783

First PacTrust Bancorp, Inc.

18,949

222,082

Flagstar Bancorp, Inc. (a)

500,000

360,450

Flushing Financial Corp.

72,793

942,669

Fox Chase Bancorp, Inc.

31,882

398,844

Franklin Financial Corp./VA (a)

27,950

377,046

Hampden Bancorp, Inc.

5,136

62,659

Heritage Financial Group, Inc.

7,564

90,692

HF Financial Corp.

632

7,274

HMN Financial, Inc. (a)(d)

2,852

5,276

Home Bancorp, Inc. (a)

15,428

254,099

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Home Federal Bancorp, Inc.

34,573

$ 346,767

HopFed Bancorp, Inc.

11,426

95,407

IF Bancorp, Inc. (a)

11,597

132,554

Impac Mortgage Holdings, Inc. (a)(d)

20,302

54,206

Indiana Community Bancorp

9,245

199,692

Jefferson Bancshares, Inc., Tennessee (a)

2,774

6,242

Kaiser Federal Financial Group, Inc.

21,464

289,979

Kearny Financial Corp.

52,612

490,870

Meridian Interstate Bancorp, Inc. (a)

21,767

281,447

Meta Financial Group, Inc.

9,879

212,497

MGIC Investment Corp. (a)(d)

399,147

1,800,153

MutualFirst Financial, Inc.

4,269

37,781

NASB Financial, Inc. (a)

3,384

46,936

New England Bancshares, Inc.

10,376

103,241

New Hampshire Thrift Bancshare

2,577

30,821

New York Community Bancorp, Inc. (d)

950,390

12,364,574

Newport Bancorp, Inc. (a)

579

7,452

Northeast Community Bancorp, Inc.

8,762

60,370

Northfield Bancorp, Inc. (d)

57,830

796,897

Northwest Bancshares, Inc.

211,159

2,664,827

Ocean Shore Holding Co.

3,679

40,579

OceanFirst Financial Corp.

36,227

497,397

Oconee Federal Financial Corp.

4,827

57,924

Ocwen Financial Corp. (a)

208,788

3,363,575

Oneida Financial Corp.

2,810

27,426

Oritani Financial Corp.

106,486

1,387,513

Peoples Federal Bancshares, Inc. (a)

9,219

145,660

Poage Bankshares, Inc.

6,654

76,854

Provident Financial Holdings, Inc.

21,034

216,861

Provident Financial Services, Inc.

125,938

1,730,388

Provident New York Bancorp

82,178

700,978

Pulaski Financial Corp. (d)

11,679

86,775

PVF Capital Corp. (a)

16,043

27,434

Radian Group, Inc. (d)

272,066

1,031,130

Riverview Bancorp, Inc. (a)

20,156

45,553

Rockville Financial, Inc.

29,962

346,061

Roma Financial Corp.

24,222

247,307

SI Financial Group, Inc.

9,136

96,019

Southern Missouri Bancorp, Inc.

376

8,874

SP Bancorp, Inc. (a)

1,088

12,828

Teche Holding Co.

200

7,482

Territorial Bancorp, Inc.

25,512

535,752

TF Financial Corp.

1,866

46,016

TFS Financial Corp. (a)(d)

196,440

1,836,714

Timberland Bancorp, Inc. (a)

12,774

53,651

Tree.com, Inc. (a)

19,703

150,531

Trustco Bank Corp., New York

220,181

1,180,170

United Community Financial Corp., Ohio (a)

28,070

37,895

United Financial Bancorp, Inc.

38,185

605,232

ViewPoint Financial Group

52,099

780,964

 

Shares

Value

Walker & Dunlop, Inc. (a)

26,794

$ 333,585

Washington Federal, Inc. (d)

287,542

4,658,180

Waterstone Financial, Inc. (a)

7,726

18,311

Westfield Financial, Inc.

94,628

750,400

Wolverine Bancorp, Inc. (a)

7,456

112,809

WSFS Financial Corp.

22,660

872,183

 

63,669,403

TOTAL FINANCIALS

1,325,234,224

HEALTH CARE - 10.8%

Biotechnology - 3.3%

Aastrom Biosciences, Inc. (a)(d)

91,835

164,385

Acadia Pharmaceuticals, Inc. (a)

129,491

216,250

Achillion Pharmaceuticals, Inc. (a)(d)

105,385

1,106,543

Acorda Therapeutics, Inc. (a)

107,837

2,821,016

ADVENTRX Pharmaceuticals, Inc. (a)(d)

111,483

73,690

Aegerion Pharmaceuticals, Inc. (a)(d)

21,815

364,965

Affymax, Inc. (a)

70,739

722,245

Agenus, Inc. (a)(d)

33,987

108,419

Alexion Pharmaceuticals, Inc. (a)

414,118

34,674,100

Alkermes PLC (a)(d)

200,355

3,528,252

Allos Therapeutics, Inc. (a)

469,334

699,308

Alnylam Pharmaceuticals, Inc. (a)

97,437

1,299,810

AMAG Pharmaceuticals, Inc. (a)

57,756

913,122

Amicus Therapeutics, Inc. (a)(d)

29,661

177,373

Amylin Pharmaceuticals, Inc. (a)

272,317

4,653,898

Anacor Pharmaceuticals, Inc. (a)

27,640

164,182

Anthera Pharmaceuticals, Inc. (a)

50,448

333,966

ARCA biopharma, Inc. (a)(d)

20,234

19,829

Ardea Biosciences, Inc. (a)(d)

50,140

1,068,985

Arena Pharmaceuticals, Inc. (a)(d)

260,052

462,893

ARIAD Pharmaceuticals, Inc. (a)(d)

376,179

5,394,407

ArQule, Inc. (a)(d)

96,974

688,515

Array Biopharma, Inc. (a)

97,821

274,877

Arrowhead Research Corp. (a)(d)

16,316

87,454

AspenBio Pharma, Inc. (a)

11,947

10,513

Astex Pharmaceuticals, Inc. (a)(d)

168,442

308,249

Athersys, Inc. (a)

14,873

30,341

AVEO Pharmaceuticals, Inc. (a)(d)

87,809

1,145,029

AVI BioPharma, Inc. (a)(d)

377,335

392,428

Avigen, Inc. rights (a)

22,946

0

BioCryst Pharmaceuticals, Inc. (a)(d)

63,265

294,815

BioMarin Pharmaceutical, Inc. (a)(d)

270,779

9,680,349

BioMimetic Therapeutics, Inc. (a)

45,475

94,588

Biosante Pharmaceuticals, Inc. (a)

223,743

172,864

Biospecifics Technologies Corp. (a)

11,833

204,948

BioTime, Inc. (a)(d)

63,632

317,524

Cardium Therapeutics, Inc. (a)(d)

106,276

30,639

Catalyst Pharmaceutical Partners, Inc. (a)(d)

16,419

18,225

Cel-Sci Corp. (a)(d)

411,094

154,366

Cell Therapeutics, Inc. (a)(d)

497,008

636,170

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Celldex Therapeutics, Inc. (a)

87,079

$ 330,029

Celsion Corp. (a)(d)

80,797

166,442

Cepheid, Inc. (a)(d)

132,997

5,371,749

Chelsea Therapeutics International Ltd. (a)(d)

111,861

412,767

Cleveland Biolabs, Inc. (a)(d)

63,757

233,988

Clovis Oncology, Inc. (d)

17,699

442,298

Codexis, Inc. (a)

55,475

218,572

Coronado Biosciences, Inc. (a)(d)

28,292

215,585

Cubist Pharmaceuticals, Inc. (a)(d)

126,754

5,432,676

Cubist Pharmaceuticals, Inc. rights (a)

105,448

1

Curis, Inc. (a)(d)

148,476

669,627

Cyclacel Pharmaceuticals, Inc. (a)(d)

71,040

51,149

Cytokinetics, Inc. (a)

96,287

99,176

Cytori Therapeutics, Inc. (a)(d)

122,840

399,230

CytRx Corp. (a)(d)

376,603

129,551

DARA BioSciences, Inc. (a)(d)

10,188

17,014

Dendreon Corp. (a)(d)

334,116

3,762,146

Discovery Laboratories, Inc. (a)(d)

33,604

119,966

DUSA Pharmaceuticals, Inc. (a)

49,844

240,248

Dyax Corp. (a)(d)

226,428

337,378

Dynavax Technologies Corp. (a)(d)

237,000

995,400

Emergent BioSolutions, Inc. (a)

46,647

712,300

EntreMed, Inc. (a)

37,512

77,650

Enzon Pharmaceuticals, Inc. (a)(d)

134,828

953,234

Exact Sciences Corp. (a)(d)

98,158

921,704

Exelixis, Inc. (a)(d)

297,938

1,692,288

Forticell Bioscience, Inc. (a)

2

0

Galena Biopharma, Inc. (a)(d)

62,801

67,197

Genomic Health, Inc. (a)(d)

36,434

1,063,144

GenVec, Inc. (a)

22,127

59,743

Geron Corp. (a)

244,282

488,564

GTx, Inc. (a)

46,584

161,181

Halozyme Therapeutics, Inc. (a)(d)

197,396

2,272,028

Hemispherx Biopharma, Inc. (a)(d)

257,396

79,021

Horizon Pharma, Inc. (d)

23,401

80,733

Human Genome Sciences, Inc. (a)(d)

460,000

3,624,800

iBio, Inc. (a)(d)

90,664

73,429

Idenix Pharmaceuticals, Inc. (a)

175,634

2,067,212

Idera Pharmaceuticals, Inc. (a)

48,311

61,838

ImmunoGen, Inc. (a)(d)

217,186

2,990,651

Immunomedics, Inc. (a)(d)

140,629

500,639

Incyte Corp. (a)(d)

234,977

3,985,210

Infinity Pharmaceuticals, Inc. (a)(d)

36,284

295,715

Inovio Pharmaceuticals, Inc. (a)

218,287

126,606

Insmed, Inc. (a)(d)

34,076

145,164

InterMune, Inc. (a)

143,706

1,928,535

Ironwood Pharmaceuticals, Inc.
Class A (a)

118,987

1,593,236

Isis Pharmaceuticals, Inc. (a)(d)

211,106

1,923,176

IsoRay, Inc. (a)(d)

53,013

29,687

 

Shares

Value

Keryx Biopharmaceuticals, Inc. (a)(d)

141,819

$ 470,839

Lexicon Pharmaceuticals, Inc. (a)(d)

457,138

777,135

Ligand Pharmaceuticals, Inc.:

Class B (a)

39,880

585,438

General CVR

26,087

509

Glucagon CVR (a)

26,087

391

rights (a)

26,087

652

TR Beta CVR (a)

26,087

261

MannKind Corp. (a)(d)

315,890

739,183

Maxygen, Inc. (a)

88,637

486,617

Medgenics, Inc. (a)

12,815

58,436

MediciNova, Inc. (a)(d)

37,660

94,150

Medivation, Inc. (a)(d)

78,000

5,109,780

Metabolix, Inc. (a)(d)

85,270

234,493

Micromet, Inc. (a)

183,229

2,013,687

Momenta Pharmaceuticals, Inc. (a)(d)

94,651

1,387,584

Myrexis, Inc. (a)

78,861

252,355

Myriad Genetics, Inc. (a)

202,137

4,891,715

Nabi Biopharmaceuticals (a)

107,264

200,584

Nanosphere, Inc. (a)

67,194

145,139

Neuralstem, Inc. (a)

84,954

96,848

Neurocrine Biosciences, Inc. (a)

145,022

1,141,323

NeurogesX, Inc. (a)(d)

29,276

16,863

NewLink Genetics Corp.

11,673

98,754

Novavax, Inc. (a)(d)

175,645

223,069

NPS Pharmaceuticals, Inc. (a)(d)

170,911

1,165,613

OncoGenex Pharmaceuticals, Inc. (a)

17,988

287,448

Oncothyreon, Inc. (a)(d)

80,107

656,877

ONYX Pharmaceuticals, Inc. (a)

131,443

5,036,896

Opexa Therapeutics, Inc. (a)

33,277

30,948

Opko Health, Inc. (a)(d)

316,385

1,562,942

OREXIGEN Therapeutics, Inc. (a)

67,497

264,588

Osiris Therapeutics, Inc. (a)(d)

34,104

178,023

OXiGENE, Inc. (a)(d)

2,854

3,282

Oxygen Biotherapeutics, Inc. (a)(d)

46,598

125,349

PDL BioPharma, Inc.

287,952

1,837,134

Peregrine Pharmaceuticals, Inc. (a)(d)

126,870

119,106

Pharmacyclics, Inc. (a)(d)

100,855

2,540,537

PharmAthene, Inc. (a)(d)

77,388

113,760

Progenics Pharmaceuticals, Inc. (a)(d)

99,977

974,776

PROLOR Biotech, Inc. (a)(d)

110,536

637,793

Raptor Pharmaceutical Corp. (a)(d)

66,987

467,569

Regeneron Pharmaceuticals, Inc. (a)

165,608

17,354,062

Repligen Corp. (a)

65,974

290,945

Rexahn Pharmaceuticals, Inc. (a)(d)

117,188

59,824

Rigel Pharmaceuticals, Inc. (a)(d)

205,189

2,051,890

Sangamo Biosciences, Inc. (a)(d)

106,420

560,833

Savient Pharmaceuticals, Inc. (a)(d)

337,000

677,370

SciClone Pharmaceuticals, Inc. (a)(d)

109,407

513,119

Seattle Genetics, Inc. (a)(d)

219,964

4,060,535

SIGA Technologies, Inc. (a)(d)

109,876

313,147

Spectrum Pharmaceuticals, Inc. (a)(d)

123,410

1,751,188

StemCells, Inc. (a)(d)

72,956

80,252

Sunesis Pharmaceuticals, Inc. (a)(d)

58,396

101,609

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Synageva BioPharma Corp. (a)

13,673

$ 510,276

Synergy Pharmaceuticals, Inc. (a)

2,100

9,408

Synta Pharmaceuticals Corp. (a)(d)

83,205

397,720

Targacept, Inc. (a)

126,780

864,640

Telik, Inc. (a)(d)

81,953

11,473

Tengion, Inc. (a)

27,587

17,104

Theravance, Inc. (a)(d)

161,982

3,029,063

Threshold Pharmaceuticals, Inc. (a)(d)

45,958

238,522

Tranzyme, Inc.

27,277

137,476

Trius Therapeutics, Inc. (a)

68,002

344,090

United Therapeutics Corp. (a)

128,305

6,123,998

Vanda Pharmaceuticals, Inc. (a)(d)

82,121

381,041

Verastem, Inc.

1,695

19,662

Vertex Pharmaceuticals, Inc. (a)(d)

458,877

17,859,493

Vical, Inc. (a)(d)

181,350

580,320

XOMA Corp. (a)

70,792

106,896

Zalicus, Inc. (a)(d)

139,798

139,798

ZIOPHARM Oncology, Inc. (a)(d)

150,702

739,947

 

215,483,356

Health Care Equipment & Supplies - 2.4%

Abaxis, Inc. (a)(d)

51,787

1,375,463

Abiomed, Inc. (a)(d)

101,392

2,117,065

Accuray, Inc. (a)(d)

136,087

922,670

Alere, Inc. (a)

178,442

4,537,780

Align Technology, Inc. (a)(d)

136,172

3,487,365

Allied Healthcare Products, Inc. (a)

4,954

16,596

Alphatec Holdings, Inc. (a)(d)

200,628

377,181

Analogic Corp.

26,724

1,521,932

Angiodynamics, Inc. (a)(d)

50,411

656,351

Anika Therapeutics, Inc. (a)(d)

35,451

402,723

Antares Pharma, Inc. (a)(d)

291,705

735,097

ArthroCare Corp. (a)

55,655

1,452,596

Atricure, Inc. (a)

20,142

205,448

Atrion Corp.

3,467

714,202

Bacterin International Holdings, Inc. (a)(d)

41,452

122,698

BioLase Technology, Inc. (d)

74,659

203,072

Bovie Medical Corp. (a)(d)

27,980

81,142

BSD Medical Corp. (a)(d)

95,648

209,469

Cantel Medical Corp. (d)

49,563

1,000,677

Cardica, Inc. (a)(d)

38,892

78,562

Cardiovascular Systems, Inc. (a)(d)

30,872

279,392

Cerus Corp. (a)(d)

105,314

395,981

Conceptus, Inc. (a)(d)

54,532

734,546

CONMED Corp. (d)

63,622

1,898,480

Cryolife, Inc. (a)

62,316

339,622

Cutera, Inc. (a)

28,281

264,427

Cyberonics, Inc. (a)(d)

67,789

2,523,784

Cynosure, Inc. Class A (a)

19,062

339,113

Daxor Corp.

5,176

47,774

Delcath Systems, Inc. (a)(d)

94,694

412,866

 

Shares

Value

Derma Sciences, Inc. (a)

20,252

$ 177,610

DexCom, Inc. (a)(d)

136,213

1,469,738

Digirad Corp. (a)

23,301

44,971

Dynatronics Corp. (a)

17,122

14,211

DynaVox, Inc. Class A (a)

32,839

104,100

Endologix, Inc. (a)(d)

105,384

1,394,230

EnteroMedics, Inc. (a)

52,210

113,818

Escalon Medical Corp. (a)

3,512

3,582

Exactech, Inc. (a)(d)

17,847

283,589

Fonar Corp. (a)

785

1,570

Gen-Probe, Inc. (a)(d)

101,709

6,944,691

Genmark Diagnostics, Inc. (a)

39,385

163,842

Greatbatch, Inc. (a)(d)

47,755

1,181,936

Haemonetics Corp. (a)(d)

60,279

4,040,501

Hansen Medical, Inc. (a)(d)

150,643

480,551

Hill-Rom Holdings, Inc.

134,674

4,574,876

Hologic, Inc. (a)

617,315

12,796,940

ICU Medical, Inc. (a)(d)

29,363

1,347,174

IDEXX Laboratories, Inc. (a)(d)

127,786

10,957,650

Insulet Corp. (a)(d)

83,545

1,647,507

Integra LifeSciences Holdings Corp. (a)

42,090

1,330,044

Invacare Corp.

67,101

1,107,838

Iridex Corp. (a)

9,439

38,511

IRIS International, Inc. (a)

45,897

512,669

IVAX Diagnostics, Inc. (a)

7,111

3,556

Kensey Nash Corp.

23,000

519,340

Kewaunee Scientific Corp.

5,250

43,418

Kips Bay Medical, Inc.

9,803

13,920

LeMaitre Vascular, Inc.

13,768

77,101

Mako Surgical Corp. (a)(d)

99,656

3,896,550

Masimo Corp. (a)(d)

148,292

3,232,766

Medical Action Industries, Inc. (a)

32,086

173,906

MELA Sciences, Inc. (a)(d)

127,887

590,838

Meridian Bioscience, Inc. (d)

89,034

1,604,393

Merit Medical Systems, Inc. (a)

88,449

1,107,381

Natus Medical, Inc. (a)

56,741

594,078

Navidea Biopharmaceuticals, Inc. (a)(d)

198,413

595,239

Neogen Corp. (a)(d)

52,582

1,824,595

NeuroMetrix, Inc. (a)

4,110

3,206

NuVasive, Inc. (a)(d)

91,681

1,438,475

NxStage Medical, Inc. (a)(d)

102,782

2,055,640

OraSure Technologies, Inc. (a)

93,746

940,272

Orthofix International NV (a)(d)

56,449

2,213,365

Palomar Medical Technologies, Inc. (a)

45,060

497,462

Quidel Corp. (a)(d)

58,570

830,523

ResMed, Inc. (a)(d)

342,538

10,036,363

Retractable Technologies, Inc. (a)

5,601

6,721

Rochester Medical Corp. (a)

22,381

209,934

Rockwell Medical Technologies, Inc. (a)(d)

39,941

379,040

RTI Biologics, Inc. (a)

112,823

417,445

Sirona Dental Systems, Inc. (a)

116,114

5,794,089

Solta Medical, Inc. (a)

115,233

327,262

SonoSite, Inc. (a)

29,726

1,602,826

Staar Surgical Co. (a)(d)

69,588

725,803

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Stereotaxis, Inc. (a)(d)

116,456

$ 89,089

Steris Corp.

111,492

3,498,619

SurModics, Inc. (a)(d)

30,705

436,011

Symmetry Medical, Inc. (a)(d)

73,616

532,980

Synergetics USA, Inc. (a)

65,159

410,502

Teleflex, Inc.

87,505

5,186,421

The Cooper Companies, Inc.

112,952

8,977,425

The Spectranetics Corp. (a)

69,914

542,533

Theragenics Corp. (a)

80,225

127,558

ThermoGenesis Corp. (a)(d)

36,219

36,581

Thoratec Corp. (a)(d)

124,408

4,292,076

TranS1, Inc. (a)

28,877

84,898

Unilife Corp. (a)(d)

218,690

811,340

Urologix, Inc. (a)(d)

5,053

6,973

Uroplasty, Inc. (a)(d)

38,436

106,083

Utah Medical Products, Inc.

5,647

171,951

Vascular Solutions, Inc. (a)

26,619

279,233

Vermillion, Inc. (a)(d)

26,315

34,736

Vision Sciences, Inc. (a)(d)

22,011

37,639

Volcano Corp. (a)(d)

108,590

3,043,778

West Pharmaceutical Services, Inc. (d)

69,155

2,876,848

Wright Medical Group, Inc. (a)(d)

79,689

1,319,650

Young Innovations, Inc.

13,402

405,411

Zeltiq Aesthetics, Inc. (d)

16,144

178,876

Zoll Medical Corp. (a)

45,467

3,325,911

 

156,754,852

Health Care Providers & Services - 2.7%

Acadia Healthcare Co., Inc. (a)

14,095

197,189

Accretive Health, Inc. (a)(d)

115,243

2,995,166

Adcare Health Systems, Inc.

10,388

46,330

Addus HomeCare Corp. (a)

22,321

80,356

Advocat, Inc.

10,190

61,344

Air Methods Corp. (a)(d)

23,292

2,101,637

Alliance Healthcare Services, Inc. (a)

113,811

154,783

Almost Family, Inc. (a)

17,026

389,555

Amedisys, Inc. (a)

67,342

865,345

American CareSource Holdings, Inc. (a)

6,161

3,142

AMERIGROUP Corp. (a)

103,533

7,032,997

AMN Healthcare Services, Inc. (a)

100,708

537,781

AmSurg Corp. (a)(d)

69,905

1,826,618

Assisted Living Concepts, Inc. Class A

40,594

651,534

Bio-Reference Laboratories, Inc. (a)(d)

47,759

961,866

BioScrip, Inc. (a)(d)

108,642

688,790

Birner Dental Management Services, Inc.

483

8,936

Brookdale Senior Living, Inc. (a)

210,213

3,918,370

Capital Senior Living Corp. (a)

48,537

415,962

CardioNet, Inc. (a)

56,333

179,702

Catalyst Health Solutions, Inc. (a)(d)

107,565

6,671,181

Centene Corp. (a)(d)

105,930

5,169,384

Chemed Corp.

53,951

3,335,251

Chindex International, Inc. (a)(d)

31,354

292,533

 

Shares

Value

Community Health Systems, Inc. (a)

233,076

$ 5,882,838

Conmed Healthcare Management, Inc. (a)

2,500

9,200

Corvel Corp. (a)

14,051

637,072

Cross Country Healthcare, Inc. (a)

74,123

419,536

Emeritus Corp. (a)

68,719

1,268,553

ExamWorks Group, Inc. (a)(d)

68,698

708,963

Five Star Quality Care, Inc. (a)

94,878

335,868

Gentiva Health Services, Inc. (a)

70,931

556,808

Hanger Orthopedic Group, Inc. (a)(d)

82,506

1,707,049

HCA Holdings, Inc.

397,398

10,598,605

Health Management Associates, Inc. Class A (a)(d)

525,469

3,877,961

Health Net, Inc. (a)

190,499

7,189,432

HealthSouth Corp. (a)(d)

198,298

4,037,347

Healthways, Inc. (a)

70,398

559,664

Henry Schein, Inc. (a)(d)

206,787

15,306,374

HMS Holdings Corp. (a)(d)

187,803

6,051,013

Hooper Holmes, Inc. (a)

128,551

89,806

InfuSystems Holdings, Inc. (a)

5,400

10,908

Integramed America, Inc. (a)

12,500

137,625

IPC The Hospitalist Co., Inc. (a)

40,062

1,457,055

Kindred Healthcare, Inc. (a)(d)

123,250

1,268,243

Landauer, Inc.

21,955

1,177,666

LCA-Vision, Inc. (a)

46,621

401,873

LHC Group, Inc. (a)

36,807

626,455

LifePoint Hospitals, Inc. (a)(d)

111,238

4,334,945

Lincare Holdings, Inc.

215,805

5,796,522

Magellan Health Services, Inc. (a)

73,679

3,482,070

Medcath Corp. (a)

19,048

147,812

MEDNAX, Inc. (a)(d)

115,837

8,617,114

Metropolitan Health Networks, Inc. (a)(d)

88,677

741,340

MModal, Inc. (a)

74,136

762,859

Molina Healthcare, Inc. (a)(d)

62,000

2,105,520

MWI Veterinary Supply, Inc. (a)(d)

25,757

2,229,783

National Healthcare Corp.

33,268

1,491,072

National Research Corp.

7,576

292,661

NeoStem, Inc. (a)(d)

160,272

91,355

Omnicare, Inc.

244,024

8,584,764

Owens & Minor, Inc.

131,706

3,945,912

PDI, Inc. (a)

17,615

121,896

PharMerica Corp. (a)(d)

64,907

795,760

Providence Service Corp. (a)

27,523

414,221

PSS World Medical, Inc. (a)(d)

126,295

3,060,128

Psychemedics Corp.

15,744

160,274

RadNet, Inc. (a)(d)

74,982

224,196

Select Medical Holdings Corp. (a)(d)

122,570

1,032,039

Sharps Compliance Corp. (a)(d)

29,684

116,064

Skilled Healthcare Group, Inc. (a)(d)

74,963

489,508

SRI/Surgical Express, Inc. (a)

3,720

14,136

Sun Healthcare Group, Inc. (a)

50,315

224,405

SunLink Health Systems, Inc. (a)

19,190

19,382

Sunrise Senior Living, Inc. (a)(d)

117,342

908,227

Team Health Holdings, Inc. (a)

60,895

1,320,813

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

The Ensign Group, Inc.

35,028

$ 960,117

Triple-S Management Corp. (a)(d)

42,519

1,006,425

U.S. Physical Therapy, Inc.

23,352

443,922

Universal American Spin Corp. (a)

74,395

843,639

Universal Health Services, Inc. Class B

200,734

8,954,744

Vanguard Health Systems, Inc. (a)

84,109

837,726

VCA Antech, Inc. (a)(d)

190,439

4,187,754

Wellcare Health Plans, Inc. (a)(d)

89,421

6,068,109

 

177,728,880

Health Care Technology - 0.4%

Allscripts-Misys Healthcare Solutions, Inc. (a)

438,148

8,465,019

Arrhythmia Research Technology, Inc.

9,913

37,769

athenahealth, Inc. (a)(d)

76,541

5,409,152

Authentidate Holding Corp. (a)

66,432

43,181

Computer Programs & Systems, Inc.

28,005

1,703,824

Epocrates, Inc. (a)(d)

34,986

325,370

Greenway Medical Technologies

14,256

210,989

HealthStream, Inc. (a)(d)

60,937

1,244,943

iCAD, Inc. (a)

113,074

57,668

MedAssets, Inc. (a)

127,164

1,815,902

Medidata Solutions, Inc. (a)(d)

84,401

1,682,956

Mediware Information Systems, Inc. (a)

10,347

155,412

Merge Healthcare, Inc. (a)

183,680

1,199,430

Omnicell, Inc. (a)(d)

80,848

1,206,252

Quality Systems, Inc.

75,236

3,225,367

Simulations Plus, Inc.

26,246

105,246

Transcend Services, Inc. (a)(d)

28,848

620,232

 

27,508,712

Life Sciences Tools & Services - 1.0%

Acceler8 Technology Corp. (a)(d)

39,227

49,034

Affymetrix, Inc. (a)(d)

138,802

578,804

Albany Molecular Research, Inc. (a)

52,930

145,028

Apricus Biosciences, Inc. (a)(d)

65,877

225,299

BG Medicine, Inc. (d)

19,157

148,275

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

41,247

4,203,894

Bioanalytical Systems, Inc. (a)(d)

4,772

5,440

BioClinica, Inc. (a)

2,110

11,943

Biodelivery Sciences International, Inc. (a)

50,916

115,070

Bruker BioSciences Corp. (a)

190,665

3,056,360

Cambrex Corp. (a)

55,696

370,935

Charles River Laboratories International, Inc. (a)

115,000

4,039,950

Combimatrix Corp. (a)

2,030

3,126

Complete Genomics, Inc. (a)(d)

29,362

109,227

Covance, Inc. (a)

126,361

6,031,211

Enzo Biochem, Inc. (a)

71,931

185,582

eResearchTechnology, Inc. (a)

116,379

742,498

Fluidigm Corp. (a)

42,977

619,728

Furiex Pharmaceuticals, Inc. (a)

22,412

404,312

 

Shares

Value

Harvard Bioscience, Inc. (a)

49,839

$ 206,832

Illumina, Inc. (a)(d)

289,393

14,831,391

Luminex Corp. (a)(d)

105,575

2,372,270

Medtox Scientific, Inc. (a)

20,575

318,913

Mettler-Toledo International, Inc. (a)(d)

69,200

12,475,376

Pacific Biosciences of California, Inc. (a)(d)

86,062

358,879

PAREXEL International Corp. (a)

120,210

2,942,741

pSivida Corp. (a)(d)

55,999

119,838

PURE Bioscience, Inc. (a)

94,087

35,753

Response Genetics, Inc. (a)

4,777

9,793

Sequenom, Inc. (a)(d)

263,655

1,138,990

SeraCare Life Sciences, Inc. (a)

44,252

175,680

Strategic Diagnostics, Inc. (a)

32,256

65,480

Techne Corp.

85,451

6,117,437

Virtualscopics, Inc. (a)

21,674

25,575

 

62,240,664

Pharmaceuticals - 1.0%

AcelRx Pharmaceuticals, Inc.

17,972

50,681

Acura Pharmaceuticals, Inc. (a)(d)

28,281

91,630

Akorn, Inc. (a)(d)

152,326

1,908,645

Alexza Pharmaceuticals, Inc. (a)(d)

101,778

63,611

Alimera Sciences, Inc. (a)(d)

16,534

62,168

Ampio Pharmaceuticals, Inc. (a)(d)

58,367

225,297

Auxilium Pharmaceuticals, Inc. (a)(d)

113,519

2,243,135

AVANIR Pharmaceuticals Class A (a)(d)

288,916

797,408

Biodel, Inc. (a)

55,601

35,307

Cadence Pharmaceuticals, Inc. (a)(d)

123,636

463,635

Cempra, Inc.

14,617

109,628

ChemoCentryx, Inc.

8,614

88,207

Columbia Laboratories, Inc. (a)

152,776

100,832

Corcept Therapeutics, Inc. (a)(d)

131,028

514,940

Cornerstone Therapeutics, Inc. (a)

20,195

115,919

Cumberland Pharmaceuticals, Inc. (a)(d)

31,186

247,305

DepoMed, Inc. (a)(d)

110,510

695,108

Durect Corp. (a)

192,572

142,503

Echo Therapeutics, Inc. (a)(d)

90,982

168,317

Endo Pharmaceuticals Holdings, Inc. (a)(d)

269,816

10,002,079

Endocyte, Inc.

66,250

235,188

Heska Corp.

6,758

65,485

Hi-Tech Pharmacal Co., Inc. (a)(d)

20,470

817,162

Impax Laboratories, Inc. (a)(d)

135,497

3,163,855

Ista Pharmaceuticals, Inc. (a)

101,886

843,616

Jazz Pharmaceuticals PLC (a)

31,973

1,677,623

KV Pharmaceutical Co. Class A (a)(d)

192,403

267,440

Lannett Co., Inc. (a)(d)

38,740

159,996

MAP Pharmaceuticals, Inc. (a)

54,808

879,668

Medicis Pharmaceutical Corp. Class A

156,023

5,451,444

Nektar Therapeutics (a)(d)

230,474

1,652,499

NuPathe, Inc. (a)(d)

4,564

13,738

Obagi Medical Products, Inc. (a)

38,431

436,192

Oculus Innovative Sciences, Inc. (a)(d)

45,130

63,182

Omeros Corp. (a)

37,753

256,720

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Optimer Pharmaceuticals, Inc. (a)(d)

83,856

$ 1,072,518

Pacira Pharmaceuticals, Inc. (d)

27,673

296,101

Pain Therapeutics, Inc. (a)

81,649

299,652

Par Pharmaceutical Companies, Inc. (a)

75,620

2,806,258

Pernix Therapeutics Holdings, Inc. (a)

16,867

145,394

Pozen, Inc. (a)(d)

51,346

223,869

Questcor Pharmaceuticals, Inc. (a)(d)

136,199

5,298,141

Repros Therapeutics, Inc. (a)(d)

33,329

139,982

Sagent Pharmaceuticals, Inc. (d)

30,621

664,169

Salix Pharmaceuticals Ltd. (a)

109,684

5,409,615

Santarus, Inc. (a)

112,545

508,703

Somaxon Pharmaceuticals, Inc. (a)(d)

72,498

44,224

Sucampo Pharmaceuticals, Inc.
Class A (a)

9,550

69,715

Synthetic Biologics, Inc. (a)(d)

51,943

114,275

The Medicines Company (a)

111,789

2,395,638

Transcept Pharmaceuticals, Inc. (a)(d)

11,502

96,042

Ventrus Biosciences, Inc. (a)(d)

24,780

264,650

ViroPharma, Inc. (a)(d)

160,618

5,149,413

Vivus, Inc. (a)(d)

200,087

4,501,958

XenoPort, Inc. (a)

68,811

275,244

Zogenix, Inc. (a)(d)

61,812

140,931

 

64,026,655

TOTAL HEALTH CARE

703,743,119

INDUSTRIALS - 14.5%

Aerospace & Defense - 1.4%

AAR Corp.

94,381

2,081,101

AeroVironment, Inc. (a)(d)

58,230

1,658,390

Alliant Techsystems, Inc.

84,552

5,073,120

American Science & Engineering, Inc.

18,814

1,367,778

API Technologies Corp. (a)(d)

65,623

248,711

Ascent Solar Technologies, Inc. (a)(d)

173,479

131,844

Astronics Corp. (a)

26,386

882,084

Astrotech Corp. (a)

39,511

29,238

BE Aerospace, Inc. (a)

209,421

9,599,859

Breeze Industrial Products Corp. (a)

10,964

87,383

Ceradyne, Inc.

52,881

1,634,552

CPI Aerostructures, Inc. (a)

10,803

157,184

Cubic Corp.

32,575

1,557,085

Curtiss-Wright Corp. (d)

96,755

3,594,448

DigitalGlobe, Inc. (a)

77,952

1,198,902

Ducommun, Inc.

21,976

335,574

EDAC Technologies Corp. (a)

10,048

104,499

Esterline Technologies Corp. (a)

66,393

4,312,225

Exelis, Inc.

433,264

4,553,605

GenCorp, Inc. (non-vtg.) (a)(d)

136,287

817,722

GeoEye, Inc. (a)(d)

57,169

1,158,816

HEICO Corp. Class A

74,281

2,962,326

Hexcel Corp. (a)(d)

225,862

5,707,533

 

Shares

Value

Huntington Ingalls Industries, Inc. (a)

97,507

$ 3,498,551

Innovative Solutions & Support, Inc. (a)

13,417

57,291

KEYW Holding Corp. (a)(d)

46,450

329,795

Kratos Defense & Security Solutions, Inc. (a)

83,336

530,850

LMI Aerospace, Inc. (a)

26,052

530,158

Moog, Inc. Class A (a)(d)

86,742

3,808,841

National Presto Industries, Inc.

11,507

996,391

Orbital Sciences Corp. (a)(d)

153,534

2,157,153

SIFCO Industries, Inc.

1,004

19,468

Sparton Corp. (a)

26,316

247,897

Spirit AeroSystems Holdings, Inc.
Class A (a)(d)

268,324

6,429,043

Sypris Solutions, Inc. (a)

13,260

49,990

Taser International, Inc. (a)(d)

148,024

596,537

Teledyne Technologies, Inc. (a)(d)

81,863

4,879,035

TransDigm Group, Inc. (a)

98,367

11,685,016

Triumph Group, Inc.

90,459

5,771,284

 

90,841,279

Air Freight & Logistics - 0.2%

Air Transport Services Group, Inc. (a)

135,611

736,368

Atlas Air Worldwide Holdings, Inc. (a)(d)

54,389

2,318,059

Forward Air Corp.

65,552

2,207,136

Hub Group, Inc. Class A (a)(d)

77,568

2,763,748

Pacer International, Inc. (a)(d)

74,956

413,757

Park-Ohio Holdings Corp. (a)

19,844

372,075

Radiant Logistics, Inc. (a)

37,185

85,526

UTI Worldwide, Inc.

211,370

3,411,512

XPO Logistics, Inc. (a)

16,780

281,401

 

12,589,582

Airlines - 0.8%

Alaska Air Group, Inc. (a)

81,476

5,586,809

Allegiant Travel Co. (a)(d)

42,309

2,114,604

Delta Air Lines, Inc. (a)

1,875,728

18,400,892

Hawaiian Holdings, Inc. (a)

220,393

1,170,287

JetBlue Airways Corp. (a)(d)

542,876

2,768,668

Pinnacle Airlines Corp. (a)(d)

44,001

51,481

Republic Airways Holdings, Inc. (a)

96,210

510,875

SkyWest, Inc.

108,897

1,243,604

Spirit Airlines, Inc. (a)

37,177

726,067

United Continental Holdings, Inc. (a)(d)

736,568

15,210,129

US Airways Group, Inc. (a)(d)

334,007

2,474,992

 

50,258,408

Building Products - 0.6%

A.O. Smith Corp.

84,859

3,832,232

AAON, Inc. (d)

50,188

930,987

Ameresco, Inc. Class A (a)(d)

31,595

445,174

American Woodmark Corp.

19,231

273,273

Apogee Enterprises, Inc.

75,723

1,004,844

Armstrong World Industries, Inc. (a)(d)

43,954

2,251,324

Builders FirstSource, Inc. (a)

104,250

315,878

Fortune Brands Home & Security, Inc. (a)

362,164

7,004,252

Gibraltar Industries, Inc. (a)

71,043

981,814

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Griffon Corp.

111,223

$ 1,188,974

Insteel Industries, Inc.

37,536

471,452

Lennox International, Inc. (d)

121,219

4,743,299

NCI Building Systems, Inc. (a)(d)

41,117

497,516

Nortek, Inc. (a)

7,007

248,398

Owens Corning (a)

275,085

8,706,440

PGT, Inc. (a)

31,737

50,144

Quanex Building Products Corp.

77,730

1,322,187

Simpson Manufacturing Co. Ltd.

86,766

2,587,362

Trex Co., Inc. (a)(d)

30,535

822,308

Universal Forest Products, Inc. (d)

42,334

1,360,615

US Home Systems, Inc.

15,460

217,831

USG Corp. (a)(d)

158,276

2,255,433

 

41,511,737

Commercial Services & Supplies - 1.5%

A.T. Cross Co. Class A (a)

14,209

141,380

ABM Industries, Inc. (d)

92,738

2,105,153

ACCO Brands Corp. (a)

130,000

1,534,000

Acorn Energy, Inc.

48,860

403,095

American Reprographics Co. (a)

75,972

401,132

Amrep Corp. (a)

2,187

18,721

Asset Acceptance Capital Corp. (a)

23,778

111,519

Asta Funding, Inc.

25,295

199,325

Casella Waste Systems, Inc. Class A (a)

61,767

404,574

CECO Environmental Corp.

10,861

77,656

Cenveo, Inc. (a)(d)

149,628

583,549

Clean Harbors, Inc. (a)(d)

102,263

6,867,983

Command Security Corp. (a)

4,127

5,984

CompX International, Inc. Class A

600

10,236

Consolidated Graphics, Inc. (a)

26,303

1,228,087

Copart, Inc. (a)

137,519

6,845,696

Corrections Corp. of America (a)

242,790

6,084,317

Courier Corp.

28,388

306,023

Covanta Holding Corp.

255,442

4,171,368

Deluxe Corp.

113,863

2,809,000

Ecology & Environment, Inc. Class A

5,634

94,426

Encore Capital Group, Inc. (a)

46,658

1,039,540

EnergySolutions, Inc. (a)(d)

182,988

770,379

EnerNOC, Inc. (a)

50,641

398,545

Ennis, Inc.

62,398

1,045,790

Food Technology Service, Inc. (a)

11,431

82,189

Fuel Tech, Inc. (a)(d)

64,292

397,967

G&K Services, Inc. Class A

39,177

1,305,769

Healthcare Services Group, Inc.

152,756

2,975,687

Heritage-Crystal Clean, Inc. (a)

10,239

226,384

Herman Miller, Inc.

126,594

2,658,474

HNI Corp.

76,702

1,939,027

Hudson Technologies, Inc. (a)

5,000

15,000

Humitech International Group, Inc. (a)

75

0

Industrial Services of America, Inc. (a)

12,843

69,866

InnerWorkings, Inc. (a)(d)

87,084

992,758

 

Shares

Value

Interface, Inc. Class A

115,037

$ 1,409,203

Intersections, Inc.

38,322

447,218

KAR Auction Services, Inc. (a)

62,861

1,010,176

Kimball International, Inc. Class B

57,256

352,697

Knoll, Inc.

97,493

1,503,342

McGrath RentCorp.

56,348

1,789,049

Metalico, Inc. (a)(d)

92,179

462,739

Mine Safety Appliances Co.

77,156

2,843,970

Mobile Mini, Inc. (a)(d)

90,516

1,955,146

Multi-Color Corp.

29,648

648,402

NL Industries, Inc.

15,515

229,622

Perma-Fix Environmental Services, Inc. (a)

115,539

192,950

Portfolio Recovery Associates, Inc. (a)(d)

36,809

2,566,692

Quad/Graphics, Inc.

79,207

1,185,729

Rollins, Inc.

155,505

3,150,531

Schawk, Inc. Class A

27,510

304,536

Standard Parking Corp. (a)

32,024

578,033

Standard Register Co. (d)

38,184

59,949

Steelcase, Inc. Class A (d)

179,677

1,577,564

Swisher Hygiene, Inc. (Canada) (a)(d)

239,774

707,334

Sykes Enterprises, Inc. (a)

87,326

1,203,352

Team, Inc. (a)(d)

39,317

1,203,100

Tetra Tech, Inc. (a)(d)

145,040

3,562,182

The Brink's Co.

97,784

2,469,046

The Geo Group, Inc. (a)(d)

145,491

2,562,097

TMS International Corp.

23,655

281,495

TRC Companies, Inc. (a)(d)

30,285

156,573

Unifirst Corp. Massachusetts

36,491

2,192,379

United Stationers, Inc.

100,653

2,922,963

US Ecology, Inc.

54,784

1,033,774

Versar, Inc. (a)

11,390

31,892

Viad Corp.

42,396

825,026

Virco Manufacturing Co.

4,818

9,877

Waste Connections, Inc.

243,270

7,911,140

WCA Waste Corp. (a)

27,200

176,528

 

97,836,905

Construction & Engineering - 0.8%

AECOM Technology Corp. (a)

228,371

5,332,463

Aegion Corp. (a)(d)

104,477

1,839,840

Argan, Inc.

15,383

230,591

Comfort Systems USA, Inc.

79,056

904,401

Dycom Industries, Inc. (a)

99,803

2,123,808

EMCOR Group, Inc.

145,482

4,044,400

Furmanite Corp. (a)

78,211

570,940

Granite Construction, Inc.

73,710

2,108,106

Great Lakes Dredge & Dock Corp.

121,423

860,889

Integrated Electrical Services, Inc. (a)(d)

10,323

26,220

KBR, Inc.

322,174

11,701,360

Layne Christensen Co. (a)

40,869

988,621

MasTec, Inc. (a)(d)

177,197

3,116,895

Michael Baker Corp. (a)

16,454

397,035

MYR Group, Inc. (a)

45,089

903,133

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Northwest Pipe Co. (a)(d)

22,062

$ 540,078

Orion Marine Group, Inc. (a)

51,220

373,906

Pike Electric Corp. (a)

35,720

318,980

Primoris Services Corp.

86,156

1,325,079

Shaw Group, Inc. (a)

181,929

5,265,025

Sterling Construction Co., Inc. (a)

32,215

334,070

Tutor Perini Corp. (a)

73,728

1,163,428

UniTek Global Services, Inc. (a)

30,823

127,299

URS Corp.

184,683

8,061,413

Willdan Group, Inc. (a)

13,349

50,059

 

52,708,039

Electrical Equipment - 1.4%

A123 Systems, Inc. (a)(d)

202,746

364,943

Active Power, Inc. (a)(d)

238,312

166,795

Acuity Brands, Inc. (d)

99,024

6,158,303

Allied Motion Technologies, Inc.

14,531

103,897

Altair Nanotechnologies, Inc. (a)(d)

144,426

99,654

American Superconductor Corp. (a)(d)

110,038

492,970

AMETEK, Inc.

351,877

16,749,345

AZZ, Inc.

25,466

1,278,393

Babcock & Wilcox Co. (a)

281,465

7,244,909

Belden, Inc.

99,003

3,907,648

Brady Corp. Class A

106,372

3,398,585

Broadwind Energy, Inc. (a)(d)

350,833

220,990

Capstone Turbine Corp. (a)(d)

666,220

739,504

Coleman Cable, Inc. (a)(d)

32,333

367,626

Digital Power Corp. (a)

4,959

10,116

Ecotality, Inc. (a)(d)

33,302

36,965

Encore Wire Corp.

42,785

1,246,327

EnerSys (a)(d)

109,128

3,664,518

Espey Manufacturing & Electronics Corp.

2,487

60,782

Franklin Electric Co., Inc.

53,361

2,668,584

FuelCell Energy, Inc. (a)(d)

272,108

405,441

Generac Holdings, Inc. (a)

65,375

1,663,140

General Cable Corp. (a)(d)

121,987

3,777,937

Global Power Equipment Group, Inc. (a)

37,928

919,754

GrafTech International Ltd. (a)(d)

321,667

4,088,388

Hoku Corp. (a)(d)

35,507

27,056

Hubbell, Inc. Class B

120,136

9,036,630

II-VI, Inc. (a)(d)

108,138

2,529,348

Lime Energy Co. (a)

31,271

100,380

LSI Industries, Inc.

44,151

305,083

MagneTek, Inc. (a)

6,645

91,302

Nexxus Lighting, Inc. (a)

32,997

36,627

Ocean Power Technologies, Inc. (a)(d)

24,836

83,201

Orion Energy Systems, Inc. (a)

65,072

156,173

Plug Power, Inc. (a)(d)

31,776

70,543

Polypore International, Inc. (a)(d)

89,089

3,663,340

Powell Industries, Inc. (a)

28,189

924,317

PowerSecure International, Inc. (a)

41,535

248,795

Preformed Line Products Co.

7,217

476,827

 

Shares

Value

Regal-Beloit Corp. (d)

80,740

$ 5,449,950

Satcon Technology Corp. (a)(d)

233,919

116,960

SL Industries, Inc. (a)

7,123

122,872

Thermon Group Holdings, Inc.

28,774

579,508

Thomas & Betts Corp. (a)

112,043

8,092,866

Ultralife Corp. (a)

43,594

214,918

Universal Security Instruments, Inc. (a)

4,000

22,400

Valence Technology, Inc. (a)(d)

182,149

169,399

Vicor Corp.

52,357

425,139

Westinghouse Solar, Inc. (a)(d)

8,750

4,813

Zbb Energy Corp. (a)(d)

44,500

30,705

 

92,814,666

Industrial Conglomerates - 0.2%

Carlisle Companies, Inc.

148,655

7,254,364

Raven Industries, Inc.

37,521

2,365,699

Seaboard Corp. (a)(d)

785

1,501,799

Standex International Corp.

30,898

1,180,613

 

12,302,475

Machinery - 4.0%

Accuride Corp. (a)

109,296

868,903

Actuant Corp. Class A (d)

142,296

4,008,478

Adept Technology, Inc. (a)

1,291

5,229

AGCO Corp. (a)

211,095

10,898,835

Alamo Group, Inc.

22,876

614,678

Albany International Corp. Class A

56,075

1,341,314

Altra Holdings, Inc. (a)(d)

56,063

1,092,668

American Railcar Industries, Inc. (a)(d)

20,486

604,337

Ampco-Pittsburgh Corp.

17,211

365,045

Art's-Way Manufacturing Co., Inc.

9,831

75,994

Astec Industries, Inc. (a)(d)

47,858

1,816,211

Baldwin Technology Co., Inc. Class A (a)

3,555

3,164

Barnes Group, Inc.

99,599

2,758,892

Blount International, Inc. (a)

108,737

1,864,840

Briggs & Stratton Corp. (d)

103,058

1,745,803

Cascade Corp.

20,962

1,116,017

Chart Industries, Inc. (a)(d)

70,003

4,787,505

Chicago Rivet & Machine Co.

772

14,961

CIRCOR International, Inc. (d)

43,123

1,427,803

CLARCOR, Inc. (d)

105,121

5,305,457

Colfax Corp. (a)

97,309

3,310,452

Columbus McKinnon Corp. (NY Shares) (a)

62,931

1,047,801

Commercial Vehicle Group, Inc. (a)

53,243

643,708

Crane Co.

105,218

5,110,438

Donaldson Co., Inc.

156,067

11,460,000

Douglas Dynamics, Inc.

51,117

664,521

Dynamic Materials Corp.

26,712

595,945

Eastern Co.

9,447

181,382

Energy Recovery, Inc. (a)(d)

100,626

216,346

EnPro Industries, Inc. (a)(d)

56,814

2,148,137

ESCO Technologies, Inc.

59,391

2,125,604

Federal Signal Corp. (a)(d)

171,898

807,921

Flow International Corp. (a)(d)

102,629

410,516

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

FreightCar America, Inc.

44,428

$ 1,228,434

Gardner Denver, Inc.

120,907

8,303,893

Gorman-Rupp Co.

37,881

1,093,624

Graco, Inc.

127,950

6,548,481

Graham Corp.

20,873

486,967

Greenbrier Companies, Inc. (a)(d)

47,797

1,208,308

Hardinge, Inc.

25,807

253,683

Harsco Corp.

178,657

3,971,545

Hurco Companies, Inc. (a)

13,162

313,650

IDEX Corp.

176,029

7,358,012

ITT Corp.

210,000

5,239,500

John Bean Technologies Corp.

58,324

1,007,255

Kadant, Inc. (a)

25,872

565,044

Kaydon Corp.

86,633

3,259,133

Kennametal, Inc.

183,562

8,456,701

Key Technology, Inc. (a)

12,346

171,362

L.B. Foster Co. Class A

22,446

661,035

Lincoln Electric Holdings, Inc. (d)

187,320

8,652,311

Lindsay Corp.

25,795

1,691,894

Lydall, Inc. (a)

38,154

347,583

Manitex International, Inc. (a)

25,247

166,125

Manitowoc Co., Inc. (d)

333,099

5,242,978

Meritor, Inc. (a)

237,010

1,756,244

Met-Pro Corp.

45,696

405,324

MFRI, Inc. (a)

13,428

109,035

Middleby Corp. (a)(d)

48,323

4,723,090

Miller Industries, Inc.

26,248

415,768

Mueller Industries, Inc.

78,612

3,616,152

Mueller Water Products, Inc. Class A

316,699

940,596

NACCO Industries, Inc. Class A

11,186

1,093,991

Navistar International Corp. (a)

153,098

6,396,434

NN, Inc. (a)(d)

36,484

326,167

Nordson Corp.

131,164

7,210,085

Omega Flex, Inc. (a)(d)

5,411

85,331

Oshkosh Truck Corp. (a)

223,740

5,215,379

Pentair, Inc. (d)

223,579

8,607,792

PMFG, Inc. (a)(d)

42,899

703,973

RBC Bearings, Inc. (a)(d)

48,450

2,204,960

Robbins & Myers, Inc.

94,399

4,607,615

Sauer-Danfoss, Inc. (a)

30,572

1,655,168

SPX Corp.

108,456

7,932,472

Sun Hydraulics Corp.

43,492

1,429,147

Taylor Devices, Inc. (a)

3,820

40,721

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

42,740

196,177

Tennant Co.

40,266

1,652,517

Terex Corp. (a)

234,056

5,942,682

The L.S. Starrett Co. Class A

14,574

182,904

Timken Co.

185,798

9,735,815

Titan International, Inc. (d)

84,495

2,081,957

Toro Co.

76,257

5,165,649

 

Shares

Value

TriMas Corp. (a)(d)

72,342

$ 1,752,847

Trinity Industries, Inc. (d)

165,896

5,766,545

Twin Disc, Inc. (d)

18,379

587,393

Valmont Industries, Inc.

46,892

5,208,294

Wabash National Corp. (a)(d)

172,087

1,817,239

WABCO Holdings, Inc. (a)

142,010

8,448,175

Wabtec Corp.

105,918

7,915,252

Watts Water Technologies, Inc. Class A

62,379

2,466,466

Woodward, Inc.

131,467

5,754,311

WSI Industries, Inc.

5,668

29,190

 

259,845,280

Marine - 0.2%

Alexander & Baldwin, Inc.

93,131

4,322,210

Baltic Trading Ltd.

48,719

223,133

Eagle Bulk Shipping, Inc. (a)(d)

132,519

212,030

Genco Shipping & Trading Ltd. (a)(d)

62,443

427,735

International Shipholding Corp.

21,521

462,702

Kirby Corp. (a)(d)

120,903

8,296,364

Rand Logistics, Inc. (a)

22,234

191,879

 

14,136,053

Professional Services - 1.3%

Acacia Research Corp. - Acacia Technologies (a)(d)

89,557

3,537,502

Advisory Board Co. (a)(d)

44,776

3,624,169

Barrett Business Services, Inc.

16,947

288,438

CBIZ, Inc. (a)(d)

95,075

617,988

CDI Corp.

25,347

380,458

Corporate Executive Board Co.

69,514

2,880,660

CoStar Group, Inc. (a)(d)

52,561

3,152,609

CRA International, Inc. (a)

21,805

519,177

CTPartners Executive Search, Inc. (a)

10,063

69,837

Dolan Co. (a)

69,097

620,491

Exponent, Inc. (a)

30,002

1,446,696

Franklin Covey Co. (a)(d)

30,881

271,753

FTI Consulting, Inc. (a)(d)

106,138

4,252,950

GP Strategies Corp. (a)(d)

31,405

491,802

Heidrick & Struggles International, Inc. (d)

35,769

726,826

Hill International, Inc. (a)

55,004

294,821

Hudson Highland Group, Inc. (a)

63,602

284,301

Huron Consulting Group, Inc. (a)

45,521

1,737,992

ICF International, Inc. (a)

38,479

997,760

IHS, Inc. Class A (a)(d)

102,340

9,678,294

Innovaro, Inc. (a)(d)

10,333

7,751

Insperity, Inc.

47,827

1,441,028

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

60,489

907,335

Kforce, Inc. (a)

97,526

1,375,117

Korn/Ferry International (a)

96,434

1,540,051

Lightbridge Corp. (a)(d)

22,248

65,187

Luna Innovations, Inc. (a)

26,569

47,027

Manpower, Inc.

181,308

7,808,936

Mastech Holdings, Inc. (a)

2,512

13,339

MISTRAS Group, Inc. (a)

33,597

752,573

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

National Technical Systems, Inc. (a)

1,200

$ 6,180

Navigant Consulting, Inc. (a)(d)

103,551

1,398,974

Nielsen Holdings B.V. (a)

182,704

5,387,941

Odyssey Marine Exploration, Inc. (a)(d)

151,557

462,249

On Assignment, Inc. (a)(d)

74,694

1,036,753

Pendrell Corp. (a)(d)

385,235

932,269

RCM Technologies, Inc. (a)

22,706

122,839

Resources Connection, Inc.

95,261

1,245,061

RPX Corp.

34,916

588,335

Spherix, Inc. (a)

529

428

TeamStaff, Inc. (a)

2,300

4,692

Towers Watson & Co.

128,114

8,191,609

TrueBlue, Inc. (a)

90,684

1,501,727

Verisk Analytics, Inc. (a)

298,002

12,963,087

VSE Corp.

9,167

223,950

 

83,898,962

Road & Rail - 1.3%

AMERCO

13,891

1,446,609

Arkansas Best Corp.

60,483

1,076,597

Avis Budget Group, Inc. (a)

275,343

3,551,925

Celadon Group, Inc.

50,144

740,125

Con-way, Inc.

113,856

3,364,445

Covenant Transport Group, Inc.
Class A (a)

20,231

65,751

Dollar Thrifty Automotive Group, Inc. (a)

72,155

5,477,286

Frozen Food Express Industries, Inc. (a)

33,709

40,788

Genesee & Wyoming, Inc. Class A (a)(d)

85,031

5,052,542

Heartland Express, Inc. (d)

161,117

2,331,363

Hertz Global Holdings, Inc. (a)

499,743

7,146,325

J.B. Hunt Transport Services, Inc.

211,248

10,818,010

Kansas City Southern (a)(d)

252,177

17,546,476

Knight Transportation, Inc.

147,277

2,522,855

Landstar System, Inc.

116,498

6,297,882

Marten Transport Ltd.

46,104

962,190

Old Dominion Freight Lines, Inc. (a)(d)

118,951

5,175,558

P.A.M. Transportation Services, Inc. (a)

12,026

138,058

Patriot Transportation Holding, Inc. (a)

15,144

340,740

Quality Distribution, Inc. (a)

39,452

513,271

RailAmerica, Inc. (a)

52,514

1,081,788

Roadrunner Transportation Systems, Inc. (a)

22,643

404,178

Saia, Inc. (a)

33,104

539,926

Swift Transporation Co. (a)

146,022

1,711,378

Universal Truckload Services, Inc.

12,809

199,692

USA Truck, Inc. (a)

17,441

142,667

Werner Enterprises, Inc.

106,019

2,567,780

YRC Worldwide, Inc. (a)(d)

16,089

147,053

Zipcar, Inc. (a)(d)

55,344

720,025

 

82,123,283

Trading Companies & Distributors - 0.8%

Aceto Corp.

69,108

572,905

 

Shares

Value

Air Lease Corp. Class A (d)

152,688

$ 3,754,598

Aircastle Ltd.

107,319

1,460,612

Applied Industrial Technologies, Inc.

80,244

3,223,401

Beacon Roofing Supply, Inc. (a)

98,166

2,314,754

BlueLinx Corp. (a)

32,060

75,020

CAI International, Inc. (a)(d)

32,496

654,794

DXP Enterprises, Inc. (a)

26,651

986,087

Essex Rental Corp. (a)(d)

20,996

77,895

GATX Corp.

101,809

4,427,673

H&E Equipment Services, Inc. (a)(d)

60,666

1,048,915

Houston Wire & Cable Co.

36,511

518,456

Interline Brands, Inc. (a)

78,135

1,606,456

Kaman Corp.

54,234

1,870,531

Lawson Products, Inc.

23,255

379,289

MSC Industrial Direct Co., Inc. Class A

96,815

7,688,079

RSC Holdings, Inc. (a)

126,965

2,827,511

Rush Enterprises, Inc. Class A (a)(d)

68,991

1,643,366

TAL International Group, Inc.

45,877

1,653,407

Textainer Group Holdings Ltd.

56,095

1,863,476

Titan Machinery, Inc. (a)

34,326

898,998

Transcat, Inc. (a)

2,018

23,611

United Rentals, Inc. (a)(d)

129,966

5,416,983

Watsco, Inc.

54,113

3,863,127

WESCO International, Inc. (a)(d)

90,583

5,696,765

Willis Lease Finance Corp. (a)

16,932

245,006

 

54,791,715

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)(d)

42,231

621,218

TOTAL INDUSTRIALS

946,279,602

INFORMATION TECHNOLOGY - 15.7%

Communications Equipment - 1.5%

Acme Packet, Inc. (a)(d)

116,600

3,553,968

ADTRAN, Inc. (d)

134,261

4,732,700

Alliance Fiber Optic Products, Inc. (a)(d)

9,905

91,819

Ambient Corp. (a)

4,086

19,613

American Electric Technologies, Inc. (a)

1,200

5,700

Anaren, Inc. (a)

53,781

943,319

Arris Group, Inc. (a)

255,054

2,905,065

Aruba Networks, Inc. (a)(d)

214,522

4,631,530

Aviat Networks, Inc. (a)

125,073

328,942

Aware, Inc. (a)

1,100

4,829

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

23,302

407,319

Black Box Corp.

44,750

1,204,670

Brocade Communications Systems, Inc. (a)

972,340

5,620,125

CalAmp Corp. (a)

65,195

280,339

Calix Networks, Inc. (a)

75,213

679,926

Ciena Corp. (a)

233,651

3,486,073

ClearOne Communications, Inc. (a)

5,738

26,280

Communications Systems, Inc.

6,410

93,330

Comtech Telecommunications Corp. (d)

71,406

2,304,272

Comverse Technology, Inc. (a)

417,759

2,682,013

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Dialogic, Inc. (a)(d)

41,259

$ 34,233

Digi International, Inc. (a)(d)

59,093

664,205

Ditech Networks, Inc. (a)

31,199

27,770

EchoStar Holding Corp. Class A (a)

111,481

3,341,086

EMCORE Corp. (a)(d)

50,257

218,115

Emulex Corp. (a)

180,262

1,885,541

Entrada Networks, Inc. (a)

292

0

Extreme Networks, Inc. (a)

291,313

1,074,945

Finisar Corp. (a)(d)

187,394

3,802,224

Globecomm Systems, Inc. (a)(d)

45,031

652,499

Harmonic, Inc. (a)

282,298

1,662,735

Infinera Corp. (a)(d)

217,526

1,731,507

InterDigital, Inc. (d)

112,611

4,262,326

Ixia (a)(d)

101,044

1,396,428

KVH Industries, Inc. (a)(d)

38,479

351,698

Lantronix, Inc. (a)

2,994

8,832

Loral Space & Communications Ltd. (a)

31,060

2,212,714

Meru Networks, Inc. (a)(d)

34,816

164,332

NETGEAR, Inc. (a)(d)

77,718

2,919,865

Network Engines, Inc. (a)

84,070

119,379

Network Equipment Technologies, Inc. (a)(d)

65,892

47,508

NumereX Corp. Class A (a)(d)

15,136

147,273

Oclaro, Inc. (a)(d)

149,825

647,244

Oplink Communications, Inc. (a)

41,842

686,627

Opnext, Inc. (a)

103,950

104,990

Optical Cable Corp.

11,466

40,131

ORBCOMM, Inc. (a)(d)

76,335

246,562

Parkervision, Inc. (a)(d)

112,100

92,819

PC-Tel, Inc.

41,380

304,143

Performance Technologies, Inc. (a)

4,304

8,651

Plantronics, Inc.

121,706

4,539,634

Polycom, Inc. (a)

422,009

8,714,486

Powerwave Technologies, Inc. (a)(d)

62,771

89,135

Procera Networks, Inc. (a)

62,350

1,213,331

Relm Wireless Corp. (a)

22,872

29,505

Riverbed Technology, Inc. (a)(d)

370,932

10,560,434

ShoreTel, Inc. (a)(d)

46,585

250,161

Sonus Networks, Inc. (a)(d)

434,232

1,267,957

Sycamore Networks, Inc. (a)

42,692

788,521

Symmetricom, Inc. (a)

84,462

495,792

Technical Communications Corp.

2,835

28,889

Tellabs, Inc.

876,094

3,469,332

Telular Corp.

31,267

235,128

Tessco Technologies, Inc.

12,027

220,335

TII Industries, Inc. (a)

52,081

85,413

Ubiquiti Networks, Inc. (d)

18,442

484,656

UTStarcom Holdings Corp. (a)

269,059

376,683

ViaSat, Inc. (a)(d)

94,161

4,343,647

Westell Technologies, Inc. Class A (a)(d)

123,763

283,417

 

Shares

Value

Zhone Technologies, Inc. (a)

52,950

$ 63,540

Zoom Technologies, Inc. (a)(d)

16,744

20,930

 

100,419,140

Computers & Peripherals - 1.0%

3D Systems Corp. (a)(d)

115,409

2,585,162

Avid Technology, Inc. (a)(d)

59,724

636,061

Concurrent Computer Corp. (a)

10,743

39,964

Cray, Inc. (a)

102,517

817,060

Crossroads Systems, Inc. (a)

4,003

22,017

Datalink Corp. (a)

27,110

230,706

Dataram Corp. (a)

23,649

18,683

Diebold, Inc.

155,786

6,095,906

Dot Hill Systems Corp. (a)(d)

105,073

146,051

Electronics for Imaging, Inc. (a)

98,666

1,574,709

Fusion-io, Inc. (d)

50,214

1,370,842

Hauppauge Digital, Inc. (a)

28,370

36,597

Hutchinson Technology, Inc. (a)(d)

81,684

177,254

iGO, Inc. (a)(d)

68,990

48,293

Imation Corp. (a)

71,887

449,294

Immersion Corp. (a)

59,376

385,350

Intermec, Inc. (a)(d)

127,048

950,319

Interphase Corp. (a)

11,825

58,534

Intevac, Inc. (a)(d)

55,110

435,369

NCR Corp. (a)

377,523

8,199,800

Novatel Wireless, Inc. (a)

94,259

323,308

OCZ Technology Group, Inc. (a)(d)

100,961

867,255

Overland Storage, Inc. (a)

39,227

90,614

Presstek, Inc. (a)

42,003

25,622

QLogic Corp. (a)(d)

218,035

3,748,022

Qualstar Corp. (a)

6,660

12,321

Quantum Corp. (a)

645,337

1,697,236

Rimage Corp.

26,174

286,605

Seagate Technology

930,000

24,421,800

Silicon Graphics International Corp. (a)(d)

63,117

611,604

STEC, Inc. (a)(d)

87,553

848,389

Stratasys, Inc. (a)(d)

42,042

1,548,827

Super Micro Computer, Inc. (a)(d)

56,365

932,277

Synaptics, Inc. (a)

70,726

2,599,181

Transact Technologies, Inc. (a)

18,832

126,928

USA Technologies, Inc. (a)(d)

79,221

80,805

 

62,498,765

Electronic Equipment & Components - 2.2%

ADDvantage Technologies Group, Inc. (a)

11,928

25,884

Advanced Photonix, Inc. Class A (a)

41,087

31,226

Aeroflex Holding Corp. (a)

62,535

686,009

Agilysys, Inc. (a)(d)

40,517

326,162

Anixter International, Inc. (a)(d)

63,144

4,391,034

Arrow Electronics, Inc. (a)

243,188

9,763,998

Avnet, Inc. (a)

337,029

12,045,416

AVX Corp.

143,217

1,896,193

Badger Meter, Inc.

39,471

1,269,782

Benchmark Electronics, Inc. (a)

158,358

2,600,238

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Brightpoint, Inc. (a)(d)

148,301

$ 1,305,049

Checkpoint Systems, Inc. (a)

81,844

908,468

Clearfield, Inc. (a)

20,779

117,817

Cognex Corp.

78,649

3,353,593

Coherent, Inc. (a)(d)

55,747

3,092,844

Comverge, Inc. (a)(d)

54,584

75,326

CTS Corp.

70,681

703,276

Daktronics, Inc.

76,570

689,130

DDi Corp.

48,439

526,532

Digital Ally, Inc. (a)

38,320

21,459

Document Security Systems, Inc. (a)(d)

33,614

152,271

Dolby Laboratories, Inc. Class A (a)(d)

130,195

4,956,524

DTS, Inc. (a)(d)

34,766

976,229

Dynasil Corp. of America (a)

9,408

20,321

Echelon Corp. (a)(d)

68,729

338,147

Electro Rent Corp.

41,793

754,364

Electro Scientific Industries, Inc.

49,520

685,357

eMagin Corp. (a)

59,153

187,515

Fabrinet (a)

39,355

703,274

FARO Technologies, Inc. (a)(d)

39,078

2,167,266

FEI Co. (a)(d)

81,048

3,608,257

Frequency Electronics, Inc. (a)

12,396

100,284

Giga-Tronics, Inc. (a)

4,585

5,823

GTSI Corp. (a)

18,931

89,354

I. D. Systems Inc. (a)

33,896

208,799

Identive Group, Inc. (a)(d)

104,855

232,778

IEC Electronics Corp. (a)

18,101

86,342

Image Sensing Systems, Inc. (a)

2,863

18,982

Ingram Micro, Inc. Class A (a)

329,601

6,305,267

Insight Enterprises, Inc. (a)

117,199

2,449,459

Intelli-Check, Inc. (a)

25,728

23,155

IPG Photonics Corp. (a)(d)

70,608

3,716,099

Iteris, Inc. (a)

52,448

78,672

Itron, Inc. (a)(d)

84,392

3,748,693

KEMET Corp. (a)

88,236

795,006

KEY Tronic Corp. (a)

21,607

234,220

LeCroy Corp. (a)

33,143

303,590

LGL Group, Inc. (a)

3,009

25,396

LightPath Technologies, Inc. Class A (a)

1,150

2,047

Littelfuse, Inc.

46,783

2,476,224

LoJack Corp. (a)

47,516

174,859

LRAD Corp. (a)(d)

62,271

88,425

Maxwell Technologies, Inc. (a)(d)

78,927

1,435,682

Measurement Specialties, Inc. (a)(d)

28,594

929,877

Mercury Computer Systems, Inc. (a)(d)

59,976

861,855

Mesa Laboratories, Inc.

4,658

249,156

Methode Electronics, Inc. Class A

85,089

778,564

Micronetics, Inc. (a)

3,743

31,404

MicroVision, Inc. (a)(d)

38,531

124,455

MOCON, Inc.

6,908

118,818

MTS Systems Corp.

32,386

1,590,476

 

Shares

Value

Multi-Fineline Electronix, Inc. (a)

21,997

$ 579,841

Napco Security Technolgies, Inc. (a)

17,472

47,000

National Instruments Corp.

220,244

5,858,490

NeoPhotonics Corp.

37,763

201,277

NetList, Inc. (a)(d)

52,442

182,498

Newport Corp. (a)

77,293

1,292,339

OSI Systems, Inc. (a)

38,821

2,290,439

Par Technology Corp. (a)

27,309

140,368

Park Electrochemical Corp.

43,720

1,246,020

PC Connection, Inc.

44,665

399,305

PC Mall, Inc. (a)

16,427

99,383

Perceptron, Inc. (a)

25,360

154,950

Planar Systems, Inc. (a)(d)

44,024

90,249

Plexus Corp. (a)

84,283

2,924,620

Power-One, Inc. (a)(d)

142,864

620,030

Pulse Electronics Corp.

91,084

280,539

RadiSys Corp. (a)

64,186

480,753

RealD, Inc. (a)(d)

106,015

1,250,977

Research Frontiers, Inc. (a)(d)

33,274

116,459

RF Industries Ltd.

13,982

49,776

RF Monolithics, Inc. (a)

3,462

3,427

Richardson Electronics Ltd.

33,307

408,344

Rofin-Sinar Technologies, Inc. (a)(d)

64,495

1,513,053

Rogers Corp. (a)

32,685

1,212,287

Sanmina-SCI Corp. (a)

222,638

2,582,601

ScanSource, Inc. (a)(d)

59,194

2,190,178

Sigmatron International, Inc. (a)

762

2,972

Superconductor Technologies, Inc. (a)(d)

131,677

130,360

SYNNEX Corp. (a)(d)

51,035

2,104,173

Tech Data Corp. (a)(d)

102,257

5,468,704

Trimble Navigation Ltd. (a)(d)

266,343

13,394,389

TTM Technologies, Inc. (a)(d)

113,407

1,327,996

Uni-Pixel Inc. (a)(d)

7,005

37,337

Universal Display Corp. (a)(d)

85,087

3,514,944

Viasystems Group, Inc. (a)(d)

9,833

182,107

Vicon Industries, Inc. (a)

18,575

65,384

Vishay Intertechnology, Inc. (a)

368,581

4,518,803

Vishay Precision Group, Inc. (a)

25,449

373,846

Wireless Ronin Technologies, Inc. (a)

6,055

5,450

Wireless Telecom Group, Inc. (a)

11,376

13,537

X-Rite, Inc. (a)(d)

61,803

279,968

Zygo Corp. (a)

33,130

635,433

 

143,933,328

Internet Software & Services - 1.6%

Active Network, Inc.

25,000

400,000

Ancestry.com, Inc. (a)(d)

61,834

1,408,579

Angie's List, Inc. (d)

18,823

301,168

AOL, Inc. (a)(d)

252,527

4,535,385

Autobytel, Inc. (a)

94,879

92,033

Bankrate, Inc. (d)

94,638

2,256,170

Carbonite, Inc. (d)

13,662

132,385

comScore, Inc. (a)(d)

102,141

2,246,081

Constant Contact, Inc. (a)(d)

59,717

1,805,842

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Cornerstone OnDemand, Inc.

50,351

$ 1,044,280

Crexendo, Inc.

12,555

51,476

DealerTrack Holdings, Inc. (a)

83,885

2,336,197

Demand Media, Inc. (a)

71,346

489,434

Dice Holdings, Inc. (a)(d)

105,899

940,383

Digital River, Inc. (a)(d)

82,089

1,448,871

EarthLink, Inc.

265,160

1,980,745

EasyLink Services International Corp. (a)

70,918

331,187

EDGAR Online, Inc. (a)

50,000

37,500

eGain Communications Corp. (a)

29,357

152,950

Equinix, Inc. (a)(d)

105,426

14,778,617

FriendFinder Networks, Inc. (a)(d)

48,445

98,828

Globalscape, Inc. (a)

4,000

8,120

GlowPoint, Inc. (a)

49,485

146,476

IAC/InterActiveCorp

162,000

7,387,200

InfoSpace, Inc. (a)

94,187

1,093,511

Internap Network Services Corp. (a)(d)

107,514

804,205

Internet Media Services, Inc. (a)

7,375

664

Internet Patents Corp.

283

2,278

IntraLinks Holdings, Inc. (a)

152,382

896,006

Inuvo, Inc. (a)

12,036

10,832

iPass, Inc. (a)

111,360

240,538

j2 Global, Inc. (d)

116,398

3,441,889

Keynote Systems, Inc.

36,547

726,920

KIT Digital, Inc. (a)(d)

94,296

953,333

Limelight Networks, Inc. (a)(d)

135,298

508,720

LinkedIn Corp. (a)(d)

34,610

3,006,571

Liquidity Services, Inc. (a)(d)

51,451

2,225,256

LivePerson, Inc. (a)(d)

99,584

1,501,727

Local.com Corp. (a)(d)

49,826

118,586

LogMeIn, Inc. (a)(d)

44,733

1,648,858

LookSmart Ltd. (a)

40,635

57,295

LoopNet, Inc. (a)

89,472

1,646,285

Marchex, Inc. Class B

52,192

223,904

Market Leader, Inc. (a)

15,483

51,713

Monster Worldwide, Inc. (a)(d)

256,447

1,779,742

Move, Inc. (a)

78,204

685,067

NIC, Inc.

130,477

1,577,467

Onstream Media Corp. (a)

16,789

10,073

Onvia.com, Inc. (a)(d)

1,133

4,645

OpenTable, Inc. (a)(d)

48,875

2,370,438

Openwave Systems, Inc. (a)(d)

210,780

510,088

Perficient, Inc. (a)

61,052

737,508

quepasa.com, Inc. (a)(d)

52,817

208,099

QuinStreet, Inc. (a)(d)

73,086

763,749

Rackspace Hosting, Inc. (a)(d)

235,000

12,276,400

RealNetworks, Inc.

58,905

597,886

Reis, Inc. (a)

12,850

130,942

Responsys, Inc.

38,640

466,385

Saba Software, Inc. (a)

73,699

863,752

SciQuest, Inc. (a)

44,604

671,290

 

Shares

Value

Selectica, Inc. (a)

2,268

$ 10,433

Spark Networks, Inc. (a)

5,759

25,916

SPS Commerce, Inc. (a)

16,555

411,392

Stamps.com, Inc. (a)(d)

24,970

645,475

Support.com, Inc. (a)

144,855

478,022

Synacor, Inc.

14,627

71,380

TechTarget, Inc. (a)

27,794

191,779

TheStreet.com, Inc.

58,323

107,314

Travelzoo, Inc. (a)(d)

13,347

339,014

United Online, Inc.

183,141

926,693

ValueClick, Inc. (a)(d)

173,772

3,614,458

Vertro, Inc.

14,264

19,970

VistaPrint Ltd. (a)(d)

84,760

3,448,037

Vocus, Inc. (a)(d)

40,038

541,714

Web.com, Inc. (a)

54,104

716,337

WebMD Health Corp. (a)(d)

125,513

3,118,998

WebMediaBrands, Inc. (a)

31,939

21,719

World Energy Solutions, Inc. (a)

1,365

6,661

XO Group, Inc. (a)(d)

65,794

594,778

Zillow, Inc. (a)

7,673

244,922

Zix Corp. (a)

168,463

493,597

 

103,251,138

IT Services - 2.0%

Acxiom Corp. (a)

165,489

2,323,466

Alliance Data Systems Corp. (a)(d)

119,383

14,488,321

Analysts International Corp. (a)

4,541

25,339

Booz Allen Hamilton Holding Corp.
Class A

47,885

881,563

Broadridge Financial Solutions, Inc.

260,289

6,335,434

CACI International, Inc. Class A (a)(d)

62,437

3,692,524

Cardtronics, Inc. (a)

87,852

2,335,985

Cass Information Systems, Inc.

21,038

809,753

Ciber, Inc. (a)

130,559

571,848

Computer Task Group, Inc. (a)(d)

35,213

517,983

Convergys Corp. (a)(d)

249,199

3,209,683

CoreLogic, Inc. (a)

241,426

3,713,132

CSG Systems International, Inc. (a)(d)

78,983

1,264,518

CSP, Inc.

3,555

13,580

DST Systems, Inc.

76,200

4,038,600

Dynamics Research Corp. (a)(d)

21,990

200,549

Echo Global Logistics, Inc. (a)(d)

33,275

618,915

Edgewater Technology, Inc. (a)

11,761

43,986

EPAM Systems, Inc.

16,881

238,191

Euronet Worldwide, Inc. (a)(d)

99,272

1,914,957

ExlService Holdings, Inc. (a)

38,889

1,081,892

FleetCor Technologies, Inc. (a)

64,896

2,403,099

Forrester Research, Inc.

32,652

1,052,374

Gartner, Inc. Class A (a)(d)

204,414

8,229,708

Genpact Ltd. (a)

258,576

4,142,388

Global Cash Access Holdings, Inc. (a)(d)

91,007

505,999

Global Payments, Inc.

171,549

8,855,359

Hackett Group, Inc. (a)

91,055

438,885

Heartland Payment Systems, Inc.

77,033

2,181,575

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Higher One Holdings, Inc. (a)(d)

67,348

$ 990,016

iGate Corp. (a)

60,504

1,054,585

Information Services Group, Inc. (a)(d)

46,725

59,574

Innodata Isogen, Inc. (a)

57,252

328,054

Jack Henry & Associates, Inc.

200,771

6,774,014

Lender Processing Services, Inc.

196,169

4,323,565

Lionbridge Technologies, Inc. (a)

146,424

379,238

ManTech International Corp. Class A

44,878

1,505,208

Mattersight Corp. (a)

7,980

45,805

Maximus, Inc.

87,818

3,662,889

ModusLink Global Solutions, Inc.

97,556

542,411

MoneyGram International, Inc. (a)

27,762

497,495

NCI, Inc. Class A (a)(d)

22,152

159,494

NeuStar, Inc. Class A (a)(d)

155,646

5,455,392

Newtek Business Services, Inc. (a)

5,503

7,154

Official Payments Holdings, Inc. (a)

27,138

137,318

Online Resources Corp. (a)

46,607

139,821

PFSweb, Inc. (a)

57,508

161,022

PRG-Schultz International, Inc. (a)

41,837

233,450

Rainmaker Systems, Inc. (a)

15,480

10,991

Sapient Corp. (d)

223,100

2,786,519

ServiceSource International, Inc.

80,504

1,352,467

StarTek, Inc. (a)

22,269

45,206

Storage Engine, Inc. (a)

500

0

Stream Global Services, Inc. (a)(d)

78,136

239,878

Syntel, Inc.

35,000

1,792,000

Teletech Holdings, Inc. (a)

89,822

1,371,582

The Management Network Group, Inc. (a)

2,929

7,323

TNS, Inc. (a)

54,495

998,893

TSR, Inc. (a)

2,039

8,972

Unisys Corp. (a)

78,384

1,464,213

VeriFone Systems, Inc. (a)(d)

237,720

11,384,411

Virtusa Corp. (a)

37,447

585,297

WidePoint Corp. (a)

102,981

81,355

WPCS International, Inc. (a)

38,998

60,057

Wright Express Corp. (a)(d)

79,653

4,928,928

 

129,704,203

Office Electronics - 0.1%

Zebra Technologies Corp. Class A (a)

119,030

4,575,513

Semiconductors & Semiconductor Equipment - 3.2%

Advanced Energy Industries, Inc. (a)(d)

78,334

940,008

AEHR Test Systems (a)

9,000

7,200

Aetrium, Inc. (a)

6,743

5,732

Amkor Technology, Inc. (a)(d)

216,408

1,382,847

Amtech Systems, Inc. (a)

19,914

174,447

ANADIGICS, Inc. (a)

156,061

401,077

Applied Micro Circuits Corp. (a)(d)

232,408

1,575,726

Atmel Corp. (a)(d)

1,024,641

10,359,121

ATMI, Inc. (a)(d)

76,660

1,688,820

AuthenTec, Inc. (a)

68,075

238,263

 

Shares

Value

Axcelis Technologies, Inc. (a)

209,208

$ 347,285

AXT, Inc. (a)

91,754

525,750

Brooks Automation, Inc.

166,153

1,985,528

BTU International, Inc. (a)

13,926

41,082

Cabot Microelectronics Corp.

56,016

2,814,804

Cascade Microtech, Inc. (a)

15,468

59,397

Cavium, Inc. (a)(d)

100,852

3,603,442

Ceva, Inc. (a)(d)

47,618

1,173,784

Cirrus Logic, Inc. (a)(d)

136,722

3,223,905

Cohu, Inc.

53,812

603,771

Cree, Inc. (a)(d)

245,000

7,421,050

CVD Equipment Corp. (a)

8,902

102,462

CyberOptics Corp. (a)

9,297

87,857

Cymer, Inc. (a)(d)

58,494

2,689,554

Cypress Semiconductor Corp.

372,708

6,429,213

DayStar Technologies, Inc. (a)

26,144

6,667

Diodes, Inc. (a)(d)

70,667

1,755,368

DSP Group, Inc. (a)

46,628

297,953

Entegris, Inc. (a)

275,618

2,491,587

Entropic Communications, Inc. (a)(d)

169,805

1,046,848

Exar Corp. (a)(d)

95,781

670,467

Fairchild Semiconductor International, Inc. (a)(d)

263,581

3,845,647

FormFactor, Inc. (a)

110,045

562,330

FSI International, Inc. (a)(d)

90,047

358,387

GSI Technology, Inc. (a)

42,569

195,817

GT Advanced Technologies, Inc. (a)(d)

350,724

3,002,197

Hittite Microwave Corp. (a)(d)

72,727

4,158,530

Ikanos Communications, Inc. (a)

115,443

86,652

Inphi Corp. (a)

37,505

538,572

Integrated Device Technology, Inc. (a)(d)

335,484

2,318,194

Integrated Silicon Solution, Inc. (a)(d)

51,768

547,705

International Rectifier Corp. (a)(d)

157,945

3,545,865

Intersil Corp. Class A

256,774

2,906,682

Intest Corp. (a)

31,319

108,677

IXYS Corp. (a)(d)

59,965

715,382

Kopin Corp. (a)(d)

153,988

554,357

Kulicke & Soffa Industries, Inc. (a)

219,474

2,471,277

Lam Research Corp. (a)(d)

281,564

11,741,219

Lattice Semiconductor Corp. (a)

235,951

1,554,917

LTX-Credence Corp. (a)

104,147

702,992

Marvell Technology Group Ltd. (a)

1,155,333

17,329,995

Mattson Technology, Inc. (a)

118,451

325,740

Maxim Integrated Products, Inc.

673,430

18,781,963

MaxLinear, Inc. Class A (a)

25,661

141,136

MEMC Electronic Materials, Inc. (a)

482,663

1,896,866

MEMSIC, Inc. (a)

8,643

26,361

Micrel, Inc.

96,504

1,029,698

Microsemi Corp. (a)(d)

178,762

3,739,701

Mindspeed Technologies, Inc. (a)

64,454

419,596

MIPS Technologies, Inc. (a)(d)

104,835

603,850

MKS Instruments, Inc.

117,201

3,510,170

Monolithic Power Systems, Inc. (a)

82,168

1,527,503

MoSys, Inc. (a)(d)

60,959

232,863

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Nanometrics, Inc. (a)(d)

41,017

$ 719,848

NVE Corp. (a)(d)

11,458

613,003

Omnivision Technologies, Inc. (a)(d)

127,409

2,085,685

ON Semiconductor Corp. (a)

1,034,453

9,382,489

PDF Solutions, Inc. (a)

40,505

325,255

Pericom Semiconductor Corp. (a)

65,839

506,302

Photronics, Inc. (a)(d)

114,532

802,869

Pixelworks, Inc. (a)

35,295

84,002

PLX Technology, Inc. (a)(d)

81,321

285,437

PMC-Sierra, Inc. (a)

478,571

3,287,783

Power Integrations, Inc.

57,924

2,160,565

QuickLogic Corp. (a)(d)

76,504

198,910

Rambus, Inc. (a)(d)

228,253

1,616,031

Ramtron International Corp. (a)

65,988

125,377

RF Micro Devices, Inc. (a)(d)

573,446

2,735,337

Rubicon Technology, Inc. (a)(d)

35,909

322,104

Rudolph Technologies, Inc. (a)(d)

62,052

612,453

Semtech Corp. (a)(d)

136,520

3,919,489

Sigma Designs, Inc. (a)

62,892

361,629

Silicon Image, Inc. (a)

164,044

848,107

Silicon Laboratories, Inc. (a)(d)

91,886

4,116,493

Skyworks Solutions, Inc. (a)(d)

399,723

10,780,529

Spansion, Inc. Class A (a)

142,425

1,823,040

Spire Corp. (a)

200

240

Standard Microsystems Corp. (a)(d)

75,204

1,924,470

STR Holdings, Inc. (a)(d)

98,143

696,815

SunPower Corp. (a)(d)

91,055

685,644

Supertex, Inc. (a)(d)

23,977

442,615

Tessera Technologies, Inc. (a)

103,521

1,739,153

TranSwitch Corp. (a)(d)

48,274

136,615

TriQuint Semiconductor, Inc. (a)(d)

346,255

2,229,882

Ultra Clean Holdings, Inc. (a)

44,575

364,178

Ultratech, Inc. (a)

52,421

1,426,375

Veeco Instruments, Inc. (a)(d)

100,655

2,721,711

Vitesse Semiconductor Corp. (a)(d)

71,167

283,245

Volterra Semiconductor Corp. (a)(d)

52,784

1,622,052

 

205,617,588

Software - 4.1%

Accelrys, Inc. (a)

120,176

954,197

ACI Worldwide, Inc. (a)(d)

94,719

3,578,484

Activision Blizzard, Inc. (d)

967,698

11,563,991

Actuate Corp. (a)

89,294

539,336

Advent Software, Inc. (a)(d)

65,312

1,680,478

American Software, Inc. Class A

48,522

403,218

ANSYS, Inc. (a)(d)

200,185

12,647,688

Ariba, Inc. (a)(d)

204,862

6,447,007

Aspen Technology, Inc. (a)(d)

198,217

4,075,342

Astea International, Inc. (a)

13,242

60,119

Bitstream, Inc. Class A (a)

3,682

19,846

Blackbaud, Inc.

88,516

2,792,680

Bottomline Technologies, Inc. (a)(d)

68,740

1,931,594

 

Shares

Value

BroadSoft, Inc. (a)(d)

69,557

$ 2,529,788

BSQUARE Corp. (a)

30,361

101,406

Cadence Design Systems, Inc. (a)(d)

569,040

6,697,601

Callidus Software, Inc. (a)(d)

65,801

487,585

Cinedigm Digital Cinema Corp. (a)

46,130

80,266

CommVault Systems, Inc. (a)(d)

97,486

5,027,353

Compuware Corp. (a)

458,000

4,126,580

Concur Technologies, Inc. (a)(d)

113,580

6,695,541

Convio, Inc. (a)(d)

21,892

342,829

Datawatch Corp. (a)

3,120

43,555

Deltek, Inc. (a)

63,814

703,868

Digimarc Corp. (a)

13,264

369,933

Ebix, Inc. (d)

70,033

1,631,769

Ellie Mae, Inc.

31,084

259,551

EPIQ Systems, Inc.

93,222

1,071,121

ePlus, Inc. (a)

9,557

306,015

Evolving Systems, Inc.

12,044

64,917

FactSet Research Systems, Inc.

89,399

7,813,473

Fair Isaac Corp.

100,578

4,071,397

FalconStor Software, Inc. (a)

86,450

246,383

Fonix Corp. (a)

1

0

Fortinet, Inc. (a)

290,793

7,865,951

Glu Mobile, Inc. (a)(d)

63,707

240,812

GSE Systems, Inc. (a)

33,148

62,318

Guidance Software, Inc. (a)

20,946

238,994

Guidewire Software, Inc.

16,113

364,476

Imperva, Inc.

9,739

360,830

Informatica Corp. (a)

228,562

11,236,108

Interactive Intelligence Group, Inc. (a)

39,218

1,098,104

JDA Software Group, Inc. (a)(d)

90,081

2,257,430

Jive Software, Inc. (d)

25,949

565,948

Kenexa Corp. (a)(d)

48,352

1,343,702

Majesco Entertainment Co. (a)(d)

152,851

380,599

Manhattan Associates, Inc. (a)(d)

59,488

2,757,864

Mentor Graphics Corp. (a)(d)

226,012

3,426,342

MICROS Systems, Inc. (a)(d)

184,532

9,582,747

MicroStrategy, Inc. Class A (a)(d)

21,893

2,968,472

Mitek Systems, Inc. (a)(d)

45,229

470,382

Monotype Imaging Holdings, Inc. (a)

66,621

934,693

Motricity, Inc. (a)(d)

112,960

150,237

NetScout Systems, Inc. (a)(d)

69,317

1,471,600

NetSol Technologies, Inc. (a)(d)

160,969

86,923

NetSuite, Inc. (a)

59,651

2,845,353

Nuance Communications, Inc. (a)(d)

499,415

12,944,837

Opnet Technologies, Inc.

42,621

1,216,830

Parametric Technology Corp. (a)

259,389

6,925,686

Peerless Systems Corp. (a)

15,698

61,065

Pegasystems, Inc.

31,869

894,882

Pervasive Software, Inc. (a)

25,547

153,537

Progress Software Corp. (a)(d)

170,826

3,961,455

PROS Holdings, Inc. (a)

42,032

736,821

QAD, Inc. Class B

24,367

335,046

QLIK Technologies, Inc. (a)

164,916

4,992,007

Quest Software, Inc. (a)

127,647

2,555,493

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

RealPage, Inc. (a)

63,949

$ 1,268,109

Rosetta Stone, Inc. (a)

28,088

253,635

Rovi Corp. (a)

251,044

8,907,041

Scientific Learning Corp. (a)

24,929

51,354

SeaChange International, Inc. (a)

69,895

478,082

Smith Micro Software, Inc. (a)

72,854

185,049

SolarWinds, Inc. (a)

128,753

4,797,337

Solera Holdings, Inc.

169,280

8,125,440

Sonic Foundry, Inc. (a)

1,571

11,578

Sourcefire, Inc. (a)(d)

63,636

2,864,893

SRS Labs, Inc. (a)

23,248

155,529

SS&C Technologies Holdings, Inc. (a)

63,267

1,310,892

Synchronoss Technologies, Inc. (a)(d)

71,953

2,407,547

Synopsys, Inc. (a)

343,996

10,481,558

Take-Two Interactive Software, Inc. (a)(d)

177,765

2,746,469

Taleo Corp. Class A (a)

83,810

3,840,174

Tangoe, Inc. (a)

74,630

1,398,566

TeleCommunication Systems, Inc.
Class A (a)

110,511

296,169

TeleNav, Inc. (a)(d)

41,916

281,676

THQ, Inc. (a)(d)

139,201

75,169

TIBCO Software, Inc. (a)(d)

359,016

10,400,694

TiVo, Inc. (a)(d)

322,529

3,628,451

Tyler Technologies, Inc. (a)(d)

75,793

2,862,702

Ultimate Software Group, Inc. (a)(d)

65,694

4,586,755

Vasco Data Security International, Inc. (a)

64,183

580,214

Verint Systems, Inc. (a)

43,778

1,203,457

Versant Corp. (a)

12,238

127,030

VirnetX Holding Corp. (a)(d)

117,196

2,530,262

VMware, Inc. Class A (a)

143,416

14,182,408

Wave Systems Corp. Class A (a)(d)

172,796

347,320

Websense, Inc. (a)(d)

80,067

1,442,007

Zynga, Inc. (d)

216,360

2,849,461

 

269,529,483

TOTAL INFORMATION TECHNOLOGY

1,019,529,158

MATERIALS - 6.3%

Chemicals - 3.0%

A. Schulman, Inc.

65,137

1,683,140

ADA-ES, Inc. (a)

29,045

652,641

Albemarle Corp.

203,316

13,524,580

American Pacific Corp. (a)

11,292

87,739

American Vanguard Corp.

65,053

1,074,676

Ampal-American Israel Corp.
Class A (a)

23,445

7,034

Arabian American Development Co. (a)

29,678

235,347

Ashland, Inc.

152,375

9,684,955

Balchem Corp. (d)

69,438

1,892,186

Cabot Corp.

124,551

5,045,561

 

Shares

Value

Calgon Carbon Corp. (a)(d)

115,042

$ 1,738,285

Celanese Corp. Class A

346,948

16,504,316

Cereplast, Inc. (a)(d)

22,207

21,652

Chase Corp.

11,674

169,273

Chemtura Corp. (a)

220,132

3,416,449

Clean Diesel Technologies, Inc. (a)(d)

33,479

100,772

Core Molding Technologies, Inc. (a)

11,521

110,256

Cytec Industries, Inc.

103,748

6,168,856

Ferro Corp. (a)(d)

176,641

980,358

Flotek Industries, Inc. (a)(d)

116,606

1,304,821

FutureFuel Corp.

32,730

361,667

Georgia Gulf Corp. (a)

69,742

2,249,877

GSE Holding, Inc.

11,418

138,729

H.B. Fuller Co.

112,158

3,379,321

Hawkins, Inc.

17,707

686,146

Huntsman Corp.

425,747

5,815,704

Innophos Holdings, Inc.

44,680

2,250,978

Intrepid Potash, Inc. (a)(d)

143,302

3,624,108

KMG Chemicals, Inc.

16,501

286,292

Koppers Holdings, Inc.

42,068

1,583,019

Kraton Performance Polymers, Inc. (a)

66,091

1,836,669

Kronos Worldwide, Inc.

60,714

1,418,886

Landec Corp. (a)

84,086

529,742

LSB Industries, Inc. (a)

37,320

1,501,010

LyondellBasell Industries NV Class A

752,693

32,501,284

Material Sciences Corp. (a)

21,107

182,787

Minerals Technologies, Inc.

47,574

3,071,853

Nanophase Technologies Corp. (a)(d)

5,146

3,293

NewMarket Corp. (d)

23,199

4,232,194

Olin Corp.

148,501

3,122,976

OM Group, Inc. (a)

75,468

2,073,861

OMNOVA Solutions, Inc. (a)(d)

91,531

466,808

Penford Corp. (a)

27,329

157,415

PolyOne Corp.

192,213

2,581,421

Quaker Chemical Corp.

24,863

1,024,604

Rockwood Holdings, Inc. (a)

152,412

8,115,939

RPM International, Inc.

276,520

6,600,532

Senomyx, Inc. (a)(d)

108,140

370,920

Sensient Technologies Corp.

116,292

4,301,641

Solutia, Inc.

259,606

7,297,525

Spartech Corp. (a)

67,518

391,604

Stepan Co.

16,020

1,400,629

The Scotts Miracle-Gro Co. Class A (d)

91,000

4,262,440

TOR Minerals International, Inc. (a)

3,831

59,112

TPC Group, Inc. (a)

34,509

1,198,843

Tredegar Corp.

48,210

1,120,400

Valhi, Inc.

18,618

1,067,742

Valspar Corp.

207,434

9,614,566

W.R. Grace & Co. (a)

130,414

7,428,381

Westlake Chemical Corp. (d)

46,385

2,793,769

Zep, Inc.

44,069

668,527

Zoltek Companies, Inc. (a)(d)

60,096

726,561

 

196,902,672

Common Stocks - continued

Shares

Value

MATERIALS - continued

Construction Materials - 0.2%

Eagle Materials, Inc. (d)

89,764

$ 2,816,794

Headwaters, Inc. (a)

123,195

374,513

Martin Marietta Materials, Inc.

97,493

8,371,724

Texas Industries, Inc. (d)

58,355

1,974,150

U.S. Concrete, Inc. (a)

25,199

105,836

United States Lime & Minerals, Inc. (a)

7,538

459,064

 

14,102,081

Containers & Packaging - 0.9%

AEP Industries, Inc. (a)

13,400

467,526

Aptargroup, Inc.

148,309

7,827,749

Boise, Inc.

247,252

2,034,884

Crown Holdings, Inc. (a)

353,375

13,064,274

Graphic Packaging Holding Co. (a)

260,313

1,374,453

Greif, Inc. Class A

83,496

4,275,830

MOD-PAC Corp. (sub. vtg.) (a)

3,740

23,973

Myers Industries, Inc.

100,702

1,341,351

Northern Technologies International Corp. (a)

1,103

17,008

Packaging Corp. of America

238,810

7,078,328

Rock-Tenn Co. Class A

154,183

10,868,360

Silgan Holdings, Inc.

114,111

4,852,000

Sonoco Products Co.

211,458

6,944,281

UFP Technologies, Inc. (a)

15,846

278,414

 

60,448,431

Metals & Mining - 1.7%

A.M. Castle & Co. (a)(d)

38,879

445,165

AK Steel Holding Corp. (d)

229,349

1,816,444

Allied Nevada Gold Corp. (a)(d)

192,193

6,613,361

Amcol International Corp.

58,468

1,714,866

Carpenter Technology Corp.

92,318

4,735,913

Century Aluminum Co. (a)(d)

132,753

1,302,307

Coeur d'Alene Mines Corp. (a)

186,991

5,318,024

Commercial Metals Co.

251,961

3,348,562

Compass Minerals International, Inc.

81,048

5,839,508

Comstock Mining, Inc. (a)(d)

32,178

65,000

Friedman Industries

13,655

142,695

General Moly, Inc. (a)(d)

202,841

732,256

Globe Specialty Metals, Inc.

115,739

1,645,809

Golden Minerals Co. (a)(d)

114,868

957,999

Handy & Harman Ltd. (a)

39,902

484,410

Haynes International, Inc.

25,877

1,637,755

Hecla Mining Co.

642,578

3,264,296

Horsehead Holding Corp. (a)

101,767

1,160,144

Kaiser Aluminum Corp.

34,968

1,690,353

Materion Corp. (a)

41,932

1,230,704

McEwen Mining, Inc. (a)(d)

421,089

2,202,295

Metals USA Holdings Corp. (a)

34,701

453,889

Mines Management, Inc. (a)(d)

69,165

139,022

Molycorp, Inc. (a)(d)

146,892

3,628,232

Noranda Aluminium Holding Corp.

46,669

560,028

 

Shares

Value

Olympic Steel, Inc.

20,461

$ 479,606

Reliance Steel & Aluminum Co.

158,433

8,511,021

Royal Gold, Inc.

115,739

8,038,074

RTI International Metals, Inc. (a)(d)

67,771

1,527,558

Schnitzer Steel Inds, Inc. Class A

53,001

2,393,525

Silver Bull Resources, Inc. (a)(d)

148,902

84,874

Solitario Exploration & Royalty Corp. (a)

57,827

81,536

Southern Copper Corp.

399,962

12,862,778

Steel Dynamics, Inc.

531,239

7,867,650

Stillwater Mining Co. (a)(d)

246,287

3,497,275

SunCoke Energy, Inc. (a)

184,578

2,645,003

Synalloy Corp.

9,327

117,987

Timberline Resources Corp. (a)(d)

213,150

120,067

U.S. Silica Holdings, Inc.

26,459

447,686

Universal Stainless & Alloy Products, Inc. (a)(d)

14,191

475,115

US Energy Corp. (a)(d)

91,127

299,808

Vista Gold Corp. (a)(d)

223,243

790,280

Walter Energy, Inc.

142,968

9,268,615

Worthington Industries, Inc.

122,406

2,064,989

 

112,702,484

Paper & Forest Products - 0.5%

AbitibiBowater, Inc. (a)(d)

157,587

2,411,081

Buckeye Technologies, Inc.

84,822

2,897,520

Clearwater Paper Corp. (a)

52,530

1,802,304

Deltic Timber Corp.

29,841

1,945,932

Domtar Corp.

83,694

8,023,744

Glatfelter

137,758

2,150,402

Kapstone Paper & Packaging Corp. (a)

85,785

1,724,279

Louisiana-Pacific Corp. (a)(d)

278,523

2,275,533

Neenah Paper, Inc.

32,380

903,078

Schweitzer-Mauduit International, Inc.

43,953

3,078,908

Verso Paper Corp. (a)(d)

31,277

40,660

Wausau-Mosinee Paper Corp.

98,528

920,252

 

28,173,693

TOTAL MATERIALS

412,329,361

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 0.6%

8x8, Inc. (a)(d)

229,564

984,830

AboveNet, Inc. (a)(d)

48,334

3,362,113

Alaska Communication Systems Group, Inc. (d)

97,590

312,288

Allegiance Telecom, Inc. (a)

15,750

0

Atlantic Tele-Network, Inc. (d)

19,662

753,448

Boingo Wireless, Inc. (d)

25,257

241,457

Cbeyond, Inc. (a)

66,391

509,883

Cincinnati Bell, Inc. New (a)(d)

414,315

1,553,681

Cogent Communications Group, Inc. (a)

111,748

2,058,398

Consolidated Communications Holdings, Inc.

71,706

1,360,263

Elephant Talk Communication, Inc. (a)(d)

100,000

214,000

FairPoint Communications, Inc. (a)(d)

43,522

163,643

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

General Communications, Inc.
Class A (a)(d)

82,347

$ 872,055

Globalstar, Inc. (a)(d)

237,229

202,024

Hawaiian Telcom Holdco, Inc. (a)

18,335

288,226

HickoryTech Corp.

34,243

367,770

IDT Corp. Class B

43,724

395,702

inContact, Inc. (a)

77,826

414,813

Iridium Communications, Inc. (a)(d)

172,155

1,315,264

Level 3 Communications, Inc. (a)

336,410

8,178,127

Lumos Networks Corp.

42,527

544,346

Multiband Corp. (a)

27,198

97,369

Neutral Tandem, Inc. (a)

105,029

1,172,124

Premiere Global Services, Inc. (a)

109,608

948,109

Primus Telecommunications Group, Inc. (a)

23,913

328,804

SureWest Communications

40,598

909,801

Towerstream Corp. (a)(d)

116,654

331,297

tw telecom, inc. (a)(d)

352,793

7,620,329

Vonage Holdings Corp. (a)

287,525

687,185

Warwick Valley Telephone Co.

10,706

156,308

 

36,343,657

Wireless Telecommunication Services - 0.9%

Clearwire Corp. Class A (a)(d)

315,081

724,686

Crown Castle International Corp. (a)

538,636

27,906,731

Leap Wireless International, Inc. (a)(d)

129,972

1,356,908

NII Holdings, Inc. (a)(d)

372,601

6,662,106

NTELOS Holdings Corp.

30,862

717,542

SBA Communications Corp.
Class A (a)(d)

255,631

11,996,763

Shenandoah Telecommunications Co.

47,154

471,068

Telephone & Data Systems, Inc.

209,062

5,282,997

U.S. Cellular Corp. (a)(d)

29,790

1,285,141

USA Mobility, Inc.

61,882

849,021

 

57,252,963

TOTAL TELECOMMUNICATION SERVICES

93,596,620

UTILITIES - 3.6%

Electric Utilities - 1.1%

Allete, Inc.

66,832

2,778,875

Central Vermont Public Service Corp.

32,616

1,149,388

Cleco Corp. (d)

145,147

5,585,257

El Paso Electric Co.

107,795

3,528,130

Empire District Electric Co.

90,830

1,812,059

Great Plains Energy, Inc.

308,667

6,105,433

Hawaiian Electric Industries, Inc.

209,224

5,241,061

IDACORP, Inc.

103,848

4,203,767

ITC Holdings Corp.

113,857

8,593,926

MGE Energy, Inc.

61,308

2,688,969

NV Energy, Inc.

496,651

7,787,488

Otter Tail Corp.

81,314

1,727,109

 

Shares

Value

PNM Resources, Inc.

211,467

$ 3,802,177

Portland General Electric Co.

156,986

3,868,135

UIL Holdings Corp.

104,129

3,670,547

Unisource Energy Corp.

82,096

3,020,312

Unitil Corp.

33,222

883,705

Westar Energy, Inc.

267,230

7,354,170

 

73,800,508

Gas Utilities - 0.9%

Atmos Energy Corp.

188,141

5,781,573

Chesapeake Utilities Corp. (d)

22,726

933,357

Delta Natural Gas Co., Inc.

4,880

185,830

Gas Natural, Inc.

11,151

124,334

Laclede Group, Inc.

50,946

2,093,371

National Fuel Gas Co.

167,905

8,450,659

New Jersey Resources Corp.

96,780

4,518,658

Northwest Natural Gas Co. (d)

66,043

3,022,788

Piedmont Natural Gas Co., Inc. (d)

169,819

5,502,136

Questar Corp.

405,652

7,796,631

RGC Resources, Inc.

2,242

39,370

South Jersey Industries, Inc.

60,919

3,167,788

Southwest Gas Corp.

94,718

4,039,723

UGI Corp.

236,898

6,692,369

WGL Holdings, Inc. (d)

125,127

5,108,935

 

57,457,522

Independent Power Producers & Energy Traders - 0.4%

American DG Energy, Inc. (a)(d)

5,053

7,984

Black Hills Corp.

94,821

3,113,922

Calpine Corp. (a)

836,820

12,811,714

Dynegy, Inc. (a)(d)

316,627

411,615

Genie Energy Ltd. Class B

48,524

465,345

GenOn Energy, Inc. (a)

1,952,788

4,803,858

Ormat Technologies, Inc. (d)

63,303

1,281,253

Synthesis Energy Systems, Inc. (a)

67,279

97,555

Tegal Corp. (a)

177

589

US Geothermal, Inc. (a)(d)

202,952

110,740

 

23,104,575

Multi-Utilities - 0.8%

Alliant Energy Corp.

253,692

10,817,427

Avista Corp.

119,397

2,949,106

CH Energy Group, Inc. (d)

33,789

2,252,713

MDU Resources Group, Inc.

379,639

8,238,166

NorthWestern Energy Corp.

73,604

2,556,267

NSTAR

226,885

10,640,907

OGE Energy Corp.

209,761

11,008,257

Vectren Corp.

168,368

4,919,713

 

53,382,556

Water Utilities - 0.4%

American States Water Co.

47,115

1,736,659

American Water Works Co., Inc.

394,271

13,515,610

Aqua America, Inc.

290,712

6,456,714

Artesian Resources Corp. Class A

16,662

318,244

Cadiz, Inc. (a)(d)

34,362

364,924

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

California Water Service Group

120,078

$ 2,306,698

Connecticut Water Service, Inc.

19,158

552,134

Middlesex Water Co.

46,243

851,796

Pure Cycle Corp. (a)

46,689

96,179

SJW Corp.

31,800

759,702

York Water Co.

38,385

665,212

 

27,623,872

TOTAL UTILITIES

235,369,033

TOTAL COMMON STOCKS

(Cost $5,540,902,134)


6,441,889,063

Nonconvertible Bonds - 0.0%

 

Principal Amount

 

FINANCIALS - 0.0%

Capital Markets - 0.0%

GAMCO Investors, Inc. 0% 12/31/15

(Cost $37,343)

$ 37,300


30,072

U.S. Treasury Obligations - 0.2%

 

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.09% 3/8/12 to 6/28/12 (e)
(Cost $10,998,773)

11,000,000


10,998,450

Money Market Funds - 23.8%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

71,287,081

71,287,081

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

1,481,913,837

1,481,913,837

TOTAL MONEY MARKET FUNDS

(Cost $1,553,200,918)


1,553,200,918

TOTAL INVESTMENT PORTFOLIO - 122.8%

(Cost $7,105,139,168)

8,006,118,503

NET OTHER ASSETS (LIABILITIES) - (22.8)%

(1,489,081,331)

NET ASSETS - 100%

$ 6,517,037,172

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

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

March 2012

$ 30,665,240

$ 2,899,463

563 NYFE Russell 2000 Mini Index Contracts

March 2012

45,603,000

3,680,802

TOTAL EQUITY INDEX CONTRACTS

$ 76,268,240

$ 6,580,265

The face value of futures purchased as a percentage of net assets is 1.2%

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $6,298,945.

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

$ 91,374

Fidelity Securities Lending Cash Central Fund

9,399,822

Total

$ 9,491,196

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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

$ 1,031,948,965

$ 1,031,944,365

$ -

$ 4,600

Consumer Staples

236,959,833

236,923,013

36,820

-

Energy

436,899,148

436,899,148

-

-

Financials

1,325,234,224

1,325,231,975

-

2,249

Health Care

703,743,119

703,741,957

-

1,162

Industrials

946,279,602

946,279,602

-

-

Information Technology

1,019,529,158

1,019,529,158

-

-

Materials

412,329,361

412,329,361

-

-

Telecommunication Services

93,596,620

93,596,620

-

-

Utilities

235,369,033

235,369,033

-

-

Corporate Bonds

30,072

-

30,072

-

U.S. Government and Government Agency Obligations

10,998,450

-

10,998,450

-

Money Market Funds

1,553,200,918

1,553,200,918

-

-

Total Investments in Securities:

$ 8,006,118,503

$ 7,995,045,150

$ 11,065,342

$ 8,011

Derivative Instruments:

Assets

Futures Contracts

$ 6,580,265

$ 6,580,265

$ -

$ -

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

Investments in Securities:

Beginning Balance

$ 222,249

Total Realized Gain (Loss)

(198,796)

Total Unrealized Gain (Loss)

213,172

Cost of Purchases

3

Proceeds of Sales

(16,090)

Amortization/Accretion

-

Transfers in to Level 3

8,938

Transfers out of Level 3

(221,465)

Ending Balance

$ 8,011

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ (1,240)

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 February 29, 2012. 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)

$ 6,580,265

$ -

Total Value of Derivatives

$ 6,580,265

$ -

(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.

Annual Report

Spartan Extended Market Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $1,422,166,761) - See accompanying schedule:

Unaffiliated issuers (cost $5,551,938,250)

$ 6,452,917,585

 

Fidelity Central Funds (cost $1,553,200,918)

1,553,200,918

 

Total Investments (cost $7,105,139,168)

 

$ 8,006,118,503

Cash

 

76,222

Receivable for investments sold

4,316,551

Receivable for fund shares sold

23,774,895

Dividends receivable

4,636,130

Distributions receivable from Fidelity Central Funds

979,008

Other receivables

2,781

Total assets

8,039,904,090

 

 

 

Liabilities

Payable for investments purchased

$ 19,243,361

Payable for fund shares redeemed

20,290,472

Accrued management fee

323,813

Payable for daily variation margin on futures contracts

953,003

Other affiliated payables

142,432

Collateral on securities loaned, at value

1,481,913,837

Total liabilities

1,522,866,918

 

 

 

Net Assets

$ 6,517,037,172

Net Assets consist of:

 

Paid in capital

$ 5,558,819,493

Undistributed net investment income

10,311,506

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

40,345,947

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

907,560,226

Net Assets

$ 6,517,037,172

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($2,606,631,287 ÷ 65,724,115 shares)

$ 39.66

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($3,910,288,898 ÷ 98,588,315 shares)

$ 39.66

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($116,987 ÷ 2,950 shares)

$ 39.66

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

Annual Report

Spartan Extended Market Index Fund
Financial Statements - continued

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 70,673,050

Interest

 

10,602

Income from Fidelity Central Funds (including $9,399,822 from security lending)

 

9,491,196

Total income

 

80,174,848

 

 

 

Expenses

Management fee

$ 3,839,585

Transfer agent fees

1,537,555

Independent trustees' compensation

34,264

Interest

432

Miscellaneous

17,049

Total expenses before reductions

5,428,885

Expense reductions

(597)

5,428,288

Net investment income (loss)

74,746,560

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

139,675,656

Foreign currency transactions

(1,815)

Futures contracts

(7,401,865)

Total net realized gain (loss)

 

132,271,976

Change in net unrealized appreciation (depreciation) on:

Investment securities

(114,083,386)

Assets and liabilities in foreign currencies

(130)

Futures contracts

1,985,687

Total change in net unrealized appreciation (depreciation)

 

(112,097,829)

Net gain (loss)

20,174,147

Net increase (decrease) in net assets resulting from operations

$ 94,920,707

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 74,746,560

$ 55,477,661

Net realized gain (loss)

132,271,976

92,588,334

Change in net unrealized appreciation (depreciation)

(112,097,829)

1,161,441,520

Net increase (decrease) in net assets resulting from operations

94,920,707

1,309,507,515

Distributions to shareholders from net investment income

(69,414,947)

(48,199,592)

Distributions to shareholders from net realized gain

(127,979,459)

(63,624,500)

Total distributions

(197,394,406)

(111,824,092)

Share transactions - net increase (decrease)

652,403,567

1,175,386,586

Redemption fees

919,879

553,321

Total increase (decrease) in net assets

550,849,747

2,373,623,330

 

 

 

Net Assets

Beginning of period

5,966,187,425

3,592,564,095

End of period (including undistributed net investment income of $10,311,506 and undistributed net investment income of $8,373,367, respectively)

$ 6,517,037,172

$ 5,966,187,425

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 40.35

$ 31.08

$ 18.73

$ 35.15

$ 39.63

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .48

.43

.36

.50

.56

Net realized and unrealized gain (loss)

  .10

9.71

12.40

(15.73)

(2.73)

Total from investment operations

  .58

10.14

12.76

(15.23)

(2.17)

Distributions from net investment income

  (.45)

(.36)

(.35)

(.43)

(.46)

Distributions from net realized gain

  (.84)

(.51)

(.06)

(.76)

(1.85)

Total distributions

  (1.28) I

(.87)

(.41) H

(1.19)

(2.31)

Redemption fees added to paid in capital B

  .01

- G

- G

- G

- G

Net asset value, end of period

$ 39.66

$ 40.35

$ 31.08

$ 18.73

$ 35.15

Total Return A

  1.76%

32.95%

68.20%

(44.26)%

(6.02)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .10%

.10%

.10%

.10%

.10%

Expenses net of fee waivers, if any

  .10%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .10%

.10%

.10%

.10%

.09%

Net investment income (loss)

  1.26%

1.24%

1.35%

1.71%

1.41%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,606,631

$ 4,440,988

$ 2,692,346

$ 1,446,984

$ 2,162,049

Portfolio turnover rate D

  11%

8%

26%

16%

17%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.41 per share is comprised of distributions from net investment income of $.350 and distributions from net realized gain of $.055 per share.

I Total distributions of $1.28 per share is comprised of distributions from net investment income of $.446 and distributions from net realized gain of $.837 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 40.36

$ 31.08

$ 18.73

$ 35.15

$ 39.64

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .48

.44

.37

.52

.57

Net realized and unrealized gain (loss)

  .10

9.72

12.39

(15.74)

(2.74)

Total from investment operations

  .58

10.16

12.76

(15.22)

(2.17)

Distributions from net investment income

  (.46)

(.37)

(.36)

(.44)

(.47)

Distributions from net realized gain

  (.84)

(.51)

(.06)

(.76)

(1.85)

Total distributions

  (1.29) I

(.88)

(.41) H

(1.20)

(2.32)

Redemption fees added to paid in capital B

  .01

- G

- G

- G

- G

Net asset value, end of period

$ 39.66

$ 40.36

$ 31.08

$ 18.73

$ 35.15

Total Return A

  1.76%

33.02%

68.25%

(44.25)%

(6.01)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .07%

.07%

.07%

.07%

.07%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  1.29%

1.27%

1.38%

1.74%

1.44%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,910,289

$ 1,525,199

$ 900,218

$ 478,227

$ 925,331

Portfolio turnover rate D

  11%

8%

26%

16%

17%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.41 per share is comprised of distributions from net investment income of $.358 and distributions from net realized gain of $.055 per share.

I Total distributions of $1.29 per share is comprised of distributions from net investment income of $.457 and distributions from net realized gain of $.837 per share.

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

Annual Report

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.67

Income from Investment Operations

 

Net investment income (loss) D

  .25

Net realized and unrealized gain (loss)

  5.52

Total from investment operations

  5.77

Distributions from net investment income

  (.40)

Distributions from net realized gain

  (.38)

Total distributions

  (.78)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.66

Total Return B, C

  16.99%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .07% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  1.44% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 117

Portfolio turnover rate F

  11% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

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

Annual Report

Spartan International Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

  Spartan International Index Fund - Institutional ClassA

-7.86%

-2.84%

6.24%

  Spartan International Index Fund - Fidelity Advantage Institutional ClassB

-7.87%

-2.83%

6.24%

A The initial offering of Institutional Class shares took place September 8, 2011. Returns between October 14, 2005 and September 8, 2011 are those of Fidelity Advantage Class. Returns prior to October 14, 2005 are those of Investor Class.

B The initial offering of Fidelity Advantage Institutional Class shares took place September 8, 2011. Returns between October 14, 2005 and September 8, 2011 are those of Fidelity Advantage Class. Returns prior to October 14, 2005 are those of Investor Class.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan International Index Fund - Institutional Class on on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the MSCI® EAFE® (Europe, Australasia, Far East) Index performed over the same period. The initial offering of Institutional Class took place on September 8, 2011. See above for additional information regarding the performance of Institutional Class.

con103

Annual Report

Spartan International Index Fund

Management's Discussion of Fund Performance

Market Recap: International equities experienced turbulent swings during the 12-month period ending February 29, 2012, jostled by a number of headline events. Investors' heightened sensitivity to risk in the face of Europe's sovereign debt crisis and a slow U.S. economic recovery sparked a global sell-off that pushed many overseas markets to their lowest level in more than a year by early fall. In addition, worries increased about a potentially sharp slowdown of gross domestic product (GDP) growth in China - one of the world economy's few bright spots during the Great Recession of 2007-2009. Japan faced its own challenges, as the nation continued to struggle to rebound from its devastating earthquake, tsunami and nuclear disaster in March 2011. After several months of declines, the market staged two mini-rallies, as investors' anxiety began to ease in October and then again later in the period amid hope for a resolution to Europe's debt woes. Despite these gains, the MSCI® ACWI® (All Country World Index) ex USA Index fell 5.99% for the year. Within the index, emerging markets posted a nominal increase, held back partly by a stronger U.S. dollar. The U.K. saw a slight loss, faring better than the rest of Europe (-11%), which was the worst-performing index component. Japan and Canada also had double-digit losses, each falling around 10%, while Asia-Pacific ex Japan declined only about 1%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® International Index Fund: For the year, the fund's Institutional Class and Fidelity Advantage® Institutional Class shares each returned - 7.86%, modestly trailing the -7.35 return of the MSCI® EAFE® (Europe, Australasia, Far East) Index. Of the 10 sectors in the index, eight generated a negative return. Utilities was the worst performer, dropping 20%. Financials, by far the largest sector in the benchmark, also did poorly, declining 15%, led downward by diversified financials and banks. The information technology sector lost 13%, dragged down the most by hardware/equipment and semiconductor-related companies. The materials sector also did poorly. The only sectors to provide a positive return were consumer staples, whose roughly 9% gain was led by the food/beverage/tobacco industry. Health care stocks, with a 7% gain, also were solid performers. On a geographic basis, the three major regions of the index - Europe, Japan and Asia Pacific (excluding Japan) all lost ground. Given Europe's very large allocation in the index, the region's sovereign debt troubles had a disproportionate impact on performance. In part, a weakening euro relative to the dollar reduced returns for U.S. investors. Not surprisingly, the Greek stock market had the biggest decline in the index, dropping 63%. Italy and Spain, much larger economies facing their own debt challenges, lost about 24% and 20%, respectively. The three largest stock markets in the region - the U.K., France and Germany - returned roughly 0%, -15% and -8%, respectively. Meanwhile, Japan's market fell 10%, while the Asia Pacific region enjoyed the best overall performance in U.S. dollar terms, declining by just roughly 1%, boosted by New Zealand, Singapore and Hong Kong, which returned 18%, 5% and 2%, respectively. Looking at individual stocks, Japanese utility Tokyo Electric Power, whose Fukushima nuclear plant melted down following the tsunami, was the biggest individual detractor and the third-worst-performing stock in the index. Its shares fell about 90% during the 12-month period. Many other detractors were European financials companies, including HSBC Holdings (U.K.), Banco Santander (Spain), BNP Paribas and Societe Generale (France), UniCredit (Italy), and UBS (Switzerland). Other notable underperformers were Spanish telecommunication services company Telefonica, German conglomerate Siemens and Australian mining company BHP Billiton. On the positive side, stocks in defensive industries fared better amid the challenging conditions. For example, U.K. tobacco companies British American Tobacco and Imperial Tobacco Group, Swiss food products giant Nestle, U.K. spirits manufacturer Diageo and Belgian brewer Anheuser-Busch InBev all gained ground, as did pharmaceutical manufacturers GlaxoSmithKline and Roche Holdings, based in the U.K. and Switzerland, respectively. U.K. energy giant Royal Dutch Shell also contributed.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan International Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Nestle SA (Switzerland, Food Products)

1.9

2.1

HSBC Holdings PLC (United Kingdom) (United Kingdom, Commercial Banks)

1.5

1.5

BP PLC (United Kingdom, Oil, Gas & Consumable Fuels)

1.4

1.2

Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services)

1.3

1.3

Royal Dutch Shell PLC Class A (United Kingdom) (United Kingdom, Oil, Gas & Consumable Fuels)

1.2

1.1

Novartis AG (Switzerland, Pharmaceuticals)

1.2

1.3

BHP Billiton Ltd. (Australia, Metals & Mining)

1.2

1.3

Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals)

1.1

1.2

Total SA (France, Oil, Gas & Consumable Fuels)

1.1

1.0

Toyota Motor Corp. (Japan, Automobiles)

1.1

1.0

 

13.0

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

22.0

21.4

Industrials

12.6

12.9

Consumer Staples

10.9

10.7

Consumer Discretionary

10.4

9.9

Materials

10.3

10.6

Health Care

8.8

9.1

Energy

8.5

8.0

Telecommunication Services

5.5

5.4

Information Technology

4.6

4.8

Utilities

4.4

4.9

Geographic Diversification (% of fund's net assets)

As of February 29, 2012

con38

United Kingdom

21.8%

 

con40

Japan

21.4%

 

con42

France

8.6%

 

con44

Australia

8.6%

 

con46

Germany

8.2%

 

con48

Switzerland

8.1%

 

con50

Sweden

3.2%

 

con52

Spain

3.0%

 

con54

Netherlands

2.6%

 

con56

Other

14.5%

 

con115

Percentages are adjusted for the effect of futures contracts, if applicable.

As of August 31, 2011

con38

Japan

21.5%

 

con40

United Kingdom

21.3%

 

con42

France

8.9%

 

con44

Australia

8.9%

 

con46

Switzerland

8.5%

 

con48

Germany

8.3%

 

con50

Spain

3.3%

 

con52

Sweden

2.9%

 

con54

Hong Kong

2.6%

 

con56

Other

13.8%

 

con127

Percentages are adjusted for the effect of futures contracts, if applicable.

Annual Report

Spartan International Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 97.2%

Shares

Value

Australia - 8.4%

AGL Energy Ltd.

386,989

$ 5,788,808

Alumina Ltd.

2,052,568

2,980,633

Amcor Ltd.

985,211

7,500,736

AMP Ltd.

2,312,060

9,941,680

APA Group unit

430,000

2,263,947

Asciano Ltd. unit

795,299

4,221,356

ASX Ltd.

144,087

4,786,549

Australia & New Zealand Banking Group Ltd.

2,144,596

50,477,324

Bendigo & Adelaide Bank Ltd.

305,567

2,532,808

BHP Billiton Ltd.

2,613,123

101,154,070

Boral Ltd.

586,891

2,769,022

Brambles Ltd.

1,193,205

9,263,390

Caltex Australia Ltd.

121,896

1,798,557

Campbell Brothers Ltd.

52,700

3,354,446

CFS Retail Property Trust

1,546,561

2,951,912

Coca-Cola Amatil Ltd.

458,484

5,899,589

Cochlear Ltd.

45,259

2,966,714

Commonwealth Bank of Australia

1,282,899

67,998,508

Computershare Ltd.

375,455

3,116,127

Crown Ltd.

366,535

3,301,498

CSL Ltd.

426,251

14,982,720

DEXUS Property Group unit

3,892,117

3,735,298

Echo Entertainment Group Ltd.

552,223

2,546,240

Fortescue Metals Group Ltd.

1,016,789

6,072,987

Goodman Group unit

5,661,423

4,188,813

Harvey Norman Holdings Ltd. (d)

432,111

959,140

Iluka Resources Ltd.

337,442

6,042,712

Incitec Pivot Ltd.

1,333,966

4,663,142

Insurance Australia Group Ltd.

1,661,116

5,895,821

John Fairfax Holdings Ltd. (d)

1,718,456

1,474,160

Leighton Holdings Ltd.

131,578

3,604,877

Lend Lease Group unit

442,695

3,555,517

Lynas Corp. Ltd. (a)(d)

1,520,309

1,988,877

Macquarie Group Ltd.

285,263

8,188,609

Metcash Ltd.

658,872

2,995,596

Mirvac Group unit

2,840,491

3,655,030

National Australia Bank Ltd.

1,778,647

45,144,446

Newcrest Mining Ltd.

623,849

22,403,245

Orica Ltd.

291,857

8,512,465

Origin Energy Ltd.

856,810

12,504,288

OZ Minerals Ltd.

265,406

3,116,314

Qantas Airways Ltd. (a)

867,378

1,609,055

QBE Insurance Group Ltd.

876,505

10,949,559

QR National Ltd.

1,399,535

5,867,821

Ramsay Health Care Ltd.

107,298

2,111,271

Rio Tinto Ltd.

360,030

26,039,758

Santos Ltd.

757,894

11,718,986

Sims Metal Management Ltd.

145,921

2,394,977

Sonic Healthcare Ltd.

296,784

3,831,627

SP AusNet unit

1,228,372

1,310,597

Stockland Corp. Ltd. unit

1,925,631

6,545,588

 

Shares

Value

Suncorp-Metway Ltd.

1,033,217

$ 9,062,774

Sydney Airport unit

350,832

985,637

Tabcorp Holdings Ltd.

594,708

1,740,936

Tattersall's Ltd.

1,122,224

2,863,999

Telstra Corp. Ltd.

3,513,293

12,432,103

The GPT Group unit

1,409,597

4,715,914

Toll Holdings Ltd.

533,557

3,243,995

Transurban Group unit

1,072,984

6,443,140

Wesfarmers Ltd.

820,358

25,598,394

Westfield Group unit

1,783,515

16,810,551

Westfield Retail Trust unit

2,332,217

6,277,099

Westpac Banking Corp.

2,468,258

55,316,303

Woodside Petroleum Ltd.

525,182

20,971,805

Woolworths Ltd.

998,190

27,090,790

WorleyParsons Ltd.

155,118

4,885,201

TOTAL AUSTRALIA

732,115,851

Austria - 0.2%

Erste Bank AG

157,204

3,944,561

IMMOEAST AG (a)(d)

321,410

4

IMMOFINANZ Immobilien Anlagen AG

804,922

2,816,977

OMV AG

133,721

4,975,537

Osterreichische Elektrizitatswirtschafts AG

56,769

1,591,206

Raiffeisen International Bank-Holding AG (d)

36,806

1,332,961

Telekom Austria AG

266,314

3,099,744

Vienna Insurance Group AG Wien

27,914

1,232,378

Voestalpine AG

89,891

3,186,023

TOTAL AUSTRIA

22,179,391

Bailiwick of Guernsey - 0.1%

Resolution Ltd.

1,185,168

5,071,633

Bailiwick of Jersey - 0.8%

Experian PLC

816,086

12,274,761

Glencore International PLC (d)

1,109,592

7,625,400

Petrofac Ltd.

208,212

5,269,768

Randgold Resources Ltd.

74,284

8,507,192

Shire PLC

453,238

15,806,378

Wolseley PLC

230,059

8,915,221

WPP PLC

1,012,710

12,944,538

TOTAL BAILIWICK OF JERSEY

71,343,258

Belgium - 1.0%

Ageas

1,767,040

3,752,357

Anheuser-Busch InBev SA NV

659,126

44,277,563

Bekaert SA (d)

30,019

1,003,582

Belgacom SA

128,721

4,097,565

Colruyt NV

64,087

2,511,783

Delhaize Group SA

85,226

4,684,013

Groupe Bruxelles Lambert SA

65,629

4,929,357

Groupe Bruxelles Lambert SA (strip VVPR) (a)

2,466

13

KBC Groupe SA

134,595

3,179,121

Common Stocks - continued

Shares

Value

Belgium - continued

Mobistar SA

25,921

$ 1,241,596

Solvay SA Class A

47,640

5,861,721

UCB SA

83,158

3,357,835

Umicore SA

94,933

4,938,643

TOTAL BELGIUM

83,835,149

Bermuda - 0.5%

Cheung Kong Infrastructure Holdings Ltd. 

386,450

2,272,034

First Pacific Co. Ltd.

1,620,000

1,819,239

Kerry Properties Ltd.

563,181

2,672,098

Li & Fung Ltd.

4,663,246

10,702,000

Noble Group Ltd.

3,071,890

3,487,853

NWS Holdings Ltd.

1,012,869

1,679,387

Orient Overseas International Ltd.

202,400

1,392,200

Seadrill Ltd. (d)

266,092

11,028,561

Shangri-La Asia Ltd.

1,103,380

2,759,837

Yue Yuen Industrial (Holdings) Ltd.

579,000

1,993,180

TOTAL BERMUDA

39,806,389

Cayman Islands - 0.2%

ASM Pacific Technology Ltd.

167,929

2,366,478

Foxconn International Holdings Ltd. (a)

1,765,000

1,240,217

Lifestyle International Holdings Ltd.

462,500

1,267,148

Sands China Ltd.

1,942,000

7,298,681

Wynn Macau Ltd.

1,242,800

3,276,809

TOTAL CAYMAN ISLANDS

15,449,333

Denmark - 1.1%

A.P. Moller - Maersk A/S:

Series A

466

3,583,780

Series B

1,049

8,458,313

Carlsberg A/S Series B

86,507

6,809,390

Coloplast A/S Series B

18,560

3,052,927

Danske Bank A/S (a)

523,206

9,421,814

DSV de Sammensluttede Vognmaend A/S

170,913

3,981,202

Novo Nordisk A/S Series B

344,786

48,327,013

Novozymes A/S Series B

185,268

5,510,668

TDC A/S

395,803

3,136,836

Tryg A/S

21,257

1,138,856

Vestas Wind Systems A/S (a)(d)

170,541

1,754,028

William Demant Holding A/S (a)(d)

19,685

1,827,094

TOTAL DENMARK

97,001,921

Finland - 0.8%

Elisa Corp. (A Shares)

115,880

2,638,275

Fortum Corp.

356,751

8,863,668

Kesko Oyj

53,126

1,785,640

Kone Oyj (B Shares) (d)

123,476

7,334,820

Metso Corp.

102,252

4,856,247

Neste Oil Oyj

95,349

1,174,336

Nokia Corp.

3,066,056

16,112,236

 

Shares

Value

Nokian Tyres PLC

89,422

$ 3,968,153

Orion Oyj (B Shares) (d)

76,922

1,657,029

Pohjola Bank PLC (A Shares)

107,193

1,238,812

Sampo OYJ (A Shares)

344,414

9,704,219

Sanoma-WSOY Oyj (d)

63,593

831,513

Stora Enso Oyj (R Shares)

458,791

3,444,120

UPM-Kymmene Corp.

425,003

5,860,056

Wartsila Corp.

134,351

4,624,905

TOTAL FINLAND

74,094,029

France - 8.4%

Accor SA

116,249

4,088,487

Aeroports de Paris

27,142

2,144,203

Air Liquide SA

8,815

1,145,328

Air Liquide SA (a)

72,885

9,469,909

Air Liquide SA

12,827

1,666,605

Alcatel-Lucent SA (a)(d)

1,905,603

4,747,177

Alstom SA

166,083

7,155,412

Arkema SA

45,926

4,208,140

Atos Origin SA

41,626

2,369,002

AXA SA

1,418,525

22,875,533

BIC SA

22,638

2,276,050

BNP Paribas SA

786,437

38,382,173

Bouygues SA

157,964

5,025,299

Bureau Veritas SA

42,688

3,526,444

Cap Gemini SA

122,051

5,377,061

Carrefour SA

468,161

11,737,735

Casino Guichard Perrachon SA

45,506

4,432,761

Christian Dior SA

43,741

6,785,747

CNP Assurances

125,357

1,806,946

Compagnie de St. Gobain

325,112

15,436,190

Compagnie Generale de Geophysique SA (a)

119,410

3,652,566

Credit Agricole SA

814,675

5,217,085

Danone

475,305

32,153,963

Dassault Systemes SA

49,167

4,081,977

Edenred

128,871

3,438,789

EDF SA

6,839

170,511

EDF SA

186,140

4,640,865

Eiffage SA

31,432

1,250,768

Essilor International SA

163,110

12,985,558

Eurazeo SA

26,097

1,235,946

Eutelsat Communications

107,656

4,014,307

Fonciere Des Regions (d)

21,563

1,563,281

France Telecom SA

1,498,025

22,839,340

GDF Suez

1,008,641

26,162,064

Gecina SA

18,921

1,816,889

Groupe Eurotunnel SA

436,310

3,785,114

ICADE

17,488

1,448,872

Iliad SA

16,487

2,186,514

Imerys

27,805

1,680,587

JC Decaux SA (a)

52,245

1,449,784

Klepierre SA

80,441

2,554,778

L'Oreal SA (a)

179,277

20,446,478

Common Stocks - continued

Shares

Value

France - continued

L'Oreal SA

17,567

$ 2,003,510

Lafarge SA (a)

71,536

3,326,932

Lafarge SA (a)

71,270

3,314,561

Lafarge SA

16,709

777,087

Lafarge SA (Bearer)

5,424

252,255

Lagardere S.C.A. (Reg.)

93,992

2,814,859

Legrand SA

180,374

6,548,018

LVMH Moet Hennessy - Louis Vuitton SA

206,511

34,746,893

Michelin CGDE Series B

147,193

10,149,645

Natixis SA

757,338

2,737,215

Neopost SA

26,794

1,833,294

Pernod Ricard SA

160,355

16,590,112

Peugeot Citroen SA (d)

124,412

2,493,583

PPR SA

61,257

10,412,999

Publicis Groupe SA

115,735

6,331,491

Renault SA

158,268

8,378,966

Safran SA

134,341

4,501,967

Sanofi SA

930,372

68,817,089

Schneider Electric SA

398,365

27,071,102

SCOR SE

139,261

3,685,424

Societe Generale Series A

533,669

17,240,631

Sodexo SA

74,845

5,760,161

Suez Environnement SA

232,149

3,398,865

Technip SA

80,370

8,772,156

Television Francaise 1 SA

94,412

1,128,208

Thales SA

83,415

3,010,944

Total SA

1,727,090

96,607,118

Total SA (strip VVPR) (a)

3,096

4

Unibail-Rodamco

74,181

14,329,470

Vallourec SA

91,718

6,457,568

Veolia Environnement

292,440

3,555,245

VINCI SA

370,184

19,275,124

Vivendi

1,009,357

21,676,006

Wendel SA

26,649

2,245,134

TOTAL FRANCE

733,675,874

Germany - 7.7%

adidas AG

170,489

13,395,859

Allianz AG

373,395

45,281,674

Axel Springer Verlag

35,579

1,697,098

BASF AG

747,765

65,647,770

Bayer AG

673,634

49,806,545

Bayerische Motoren Werke AG (BMW)

268,677

24,851,184

Beiersdorf AG

82,406

5,160,818

Brenntag AG

37,743

4,399,607

Celesio AG

70,608

1,307,489

Commerzbank AG (a)(d)

2,867,440

7,204,527

Continental AG

64,837

5,902,062

Daimler AG (Germany)

744,909

45,048,535

Deutsche Bank AG

757,553

35,348,047

Deutsche Boerse AG

157,925

10,470,995

Deutsche Lufthansa AG

178,059

2,471,730

 

Shares

Value

Deutsche Post AG

681,678

$ 11,973,713

Deutsche Telekom AG

2,269,214

26,481,891

E.ON AG

1,467,337

33,749,387

Fraport AG Frankfurt Airport Services Worldwide

32,507

1,999,213

Fresenius Medical Care AG & Co. KGaA

168,285

11,804,864

Fresenius SE

92,002

9,511,049

GEA Group AG

142,095

4,800,622

Hannover Rueckversicherungs AG

53,278

2,957,255

HeidelbergCement Finance AG

114,050

6,139,791

HeidelbergCement Finance AG (strip VVPR) (a)

239

0

Henkel AG & Co. KGaA

102,865

5,613,711

Hochtief AG

33,381

2,330,682

Infineon Technologies AG

896,593

9,067,003

K&S AG

139,524

6,965,623

Kabel Deutschland Holding AG (a)

74,560

4,476,750

Lanxess AG

67,950

5,078,340

Linde AG

137,122

22,797,706

MAN SE

50,735

5,846,463

Merck KGaA

52,117

5,388,483

Metro AG

104,409

4,133,864

Munich Re Group

147,838

21,556,154

RWE AG

396,257

18,053,960

Salzgitter AG

31,967

1,956,421

SAP AG

746,961

50,425,849

Siemens AG

667,473

66,519,200

Suedzucker AG (Bearer)

56,884

1,647,855

Thyssenkrupp AG

312,112

8,421,940

United Internet AG

89,235

1,722,555

Volkswagen AG

22,950

3,889,012

Wacker Chemie AG (d)

12,121

1,196,537

TOTAL GERMANY

674,499,833

Greece - 0.1%

Coca-Cola Hellenic Bottling Co. SA

144,036

2,705,575

Greek Organization of Football Prognostics SA

177,408

1,583,498

Hellenic Telecommunications Organization SA

172,803

547,895

National Bank of Greece SA (a)

819,089

2,524,812

TOTAL GREECE

7,361,780

Hong Kong - 2.5%

AIA Group Ltd.

6,816,800

25,839,522

Bank of East Asia Ltd.

1,255,534

5,058,655

BOC Hong Kong (Holdings) Ltd.

3,026,066

8,485,829

Cathay Pacific Airways Ltd.

899,327

1,785,644

Cheung Kong Holdings Ltd.

1,191,449

17,419,878

CLP Holdings Ltd.

1,570,157

13,867,247

Galaxy Entertainment Group Ltd. (a)

1,073,000

2,650,647

Hang Lung Group Ltd.

701,000

4,754,013

Hang Lung Properties Ltd.

1,981,423

7,497,939

Hang Seng Bank Ltd.

631,801

8,846,403

Henderson Land Development Co. Ltd.

855,319

5,370,487

Common Stocks - continued

Shares

Value

Hong Kong - continued

HKT Trust / HKT Ltd. unit

67,369

$ 48,554

Hong Kong & China Gas Co. Ltd.

3,863,523

9,862,915

Hong Kong Exchanges and Clearing Ltd.

833,598

15,541,093

Hopewell Holdings Ltd.

460,500

1,404,163

Hutchison Whampoa Ltd.

1,723,158

17,129,161

Hysan Development Co. Ltd.

519,044

2,265,267

Link (REIT)

1,844,950

6,922,041

MTR Corp. Ltd.

1,148,451

4,086,751

New World Development Co. Ltd.

3,028,600

4,170,324

PCCW Ltd.

3,399,000

1,257,737

Power Assets Holdings Ltd.

1,136,176

8,510,956

Sino Land Ltd.

2,338,689

4,173,161

SJM Holdings Ltd.

1,369,000

2,866,461

Sun Hung Kai Properties Ltd.

1,170,685

18,021,917

Swire Pacific Ltd. (A Shares)

583,884

6,639,751

Wharf Holdings Ltd.

1,253,585

7,846,927

Wheelock and Co. Ltd.

719,000

2,470,488

Wing Hang Bank Ltd.

147,842

1,403,871

TOTAL HONG KONG

216,197,802

Ireland - 0.3%

CRH PLC

580,352

12,326,321

Elan Corp. PLC (a)

400,037

4,995,479

Irish Bank Resolution Corp. Ltd. (a)

331,052

4

James Hardie Industries NV CDI

363,696

2,858,636

Kerry Group PLC Class A

114,196

4,868,221

Ryanair Holdings PLC (a)

262,563

1,431,166

TOTAL IRELAND

26,479,827

Isle of Man - 0.1%

Genting Singapore PLC (a)

4,863,859

6,280,840

Israel - 0.6%

Bank Hapoalim BM (Reg.)

834,048

2,701,075

Bank Leumi le-Israel BM

948,255

2,747,548

Bezeq Israeli Telecommunication Corp. Ltd.

1,399,043

2,311,642

Cellcom Israel Ltd.

4,000

53,400

Cellcom Israel Ltd. (Israel)

40,444

548,292

Delek Group Ltd.

3,490

630,628

Elbit Systems Ltd. (Israel)

19,780

725,291

Israel Chemicals Ltd.

355,747

3,771,336

Israel Corp. Ltd. (Class A)

1,890

1,134,220

Israel Discount Bank Ltd. (Class A) (a)

632,458

794,544

Mizrahi Tefahot Bank Ltd.

97,754

771,416

NICE Systems Ltd. (a)

48,532

1,652,522

Partner Communications Co. Ltd.

65,841

483,618

Teva Pharmaceutical Industries Ltd.

747,031

33,402,918

Teva Pharmaceutical Industries Ltd. sponsored ADR

20,000

896,200

TOTAL ISRAEL

52,624,650

Italy - 2.2%

A2A SpA

945,335

951,458

 

Shares

Value

Assicurazioni Generali SpA

949,546

$ 15,293,671

Atlantia SpA

252,906

4,235,102

Autogrill SpA

85,034

863,211

Banca Carige SpA (d)

483,085

741,388

Banca Monte dei Paschi di Siena SpA (d)

3,895,538

2,081,044

Banco Popolare Societa Cooperativa (d)

1,376,567

2,530,730

Enel Green Power SpA

1,403,128

2,762,747

Enel SpA

5,373,688

21,562,387

ENI SpA

1,980,868

45,555,270

EXOR SpA

50,843

1,278,123

Fiat Industrial SpA (a)

616,828

6,573,906

Fiat SpA (d)

616,656

3,566,993

Finmeccanica SpA (d)

349,144

1,766,562

Intesa Sanpaolo SpA

8,185,930

15,932,637

Intesa Sanpaolo SpA (Risparmio Shares)

778,148

1,245,015

Luxottica Group SpA

89,919

3,216,317

Mediaset SpA

546,805

1,620,081

Mediobanca SpA

409,666

2,668,752

Pirelli & C SpA

210,206

2,189,885

Prysmian SpA

159,461

2,753,144

Saipem SpA

213,492

10,799,201

Snam Rete Gas SpA

1,301,101

6,298,909

Telecom Italia SpA

7,536,734

8,657,297

Terna SpA

982,545

3,701,701

UniCredit SpA

3,275,150

17,042,483

Unione di Banche Italiane SCPA (d)

636,324

2,948,338

TOTAL ITALY

188,836,352

Japan - 20.9%

ABC-Mart, Inc.

22,100

778,305

Advantest Corp.

117,990

1,663,282

Aeon Co. Ltd.

491,300

6,236,812

Aeon Credit Service Co. Ltd.

69,400

1,002,222

Aeon Mall Co. Ltd.

64,300

1,437,150

Air Water, Inc.

117,000

1,521,238

Aisin Seiki Co. Ltd.

155,000

5,456,793

Ajinomoto Co., Inc.

532,866

6,279,422

Alfresa Holdings Corp.

33,700

1,481,979

All Nippon Airways Ltd.

612,000

1,874,507

Amada Co. Ltd.

303,000

2,128,212

Aozora Bank Ltd.

487,000

1,407,774

Asahi Glass Co. Ltd.

858,677

7,710,612

Asahi Group Holdings

312,603

6,836,929

Asahi Kasei Corp.

1,006,727

6,377,568

Asics Corp.

125,300

1,476,566

Astellas Pharma, Inc.

355,700

14,613,913

Bank of Kyoto Ltd.

262,000

2,307,547

Bank of Yokohama Ltd.

1,008,084

4,860,926

Benesse Holdings, Inc.

54,900

2,518,937

Bridgestone Corp.

528,179

12,708,262

Brother Industries Ltd.

196,000

2,533,932

Canon, Inc.

919,444

41,927,048

Casio Computer Co. Ltd. (d)

198,100

1,362,174

Central Japan Railway Co.

1,205

9,886,648

Common Stocks - continued

Shares

Value

Japan - continued

Chiba Bank Ltd.

639,674

$ 4,044,436

Chiyoda Corp.

136,000

1,743,182

Chubu Electric Power Co., Inc.

550,564

10,097,681

Chugai Pharmaceutical Co. Ltd.

169,325

2,770,186

Chugoku Electric Power Co., Inc.(THE)

242,000

4,387,822

Citizen Holdings Co. Ltd.

222,566

1,374,354

Coca-Cola West Co. Ltd.

47,600

809,191

Cosmo Oil Co. Ltd.

473,000

1,378,941

Credit Saison Co. Ltd.

119,252

2,379,319

Dai Nippon Printing Co. Ltd.

464,242

4,779,760

Dai-ichi Mutual Life Insurance Co.

7,396

9,716,377

Daicel Chemical Industries Ltd.

240,000

1,564,672

Daido Steel Co. Ltd.

236,000

1,556,012

Daihatsu Motor Co. Ltd.

161,000

3,085,528

Daiichi Sankyo Kabushiki Kaisha

536,970

9,861,569

Daikin Industries Ltd.

189,394

5,614,608

Dainippon Sumitomo Pharma Co. Ltd.

141,800

1,470,415

Daito Trust Construction Co. Ltd.

58,863

5,184,318

Daiwa House Industry Co. Ltd.

382,184

4,931,558

Daiwa Securities Group, Inc.

1,331,985

5,521,606

DeNA Co. Ltd.

80,000

2,602,866

Denki Kagaku Kogyo KK

363,358

1,457,097

Denso Corp.

387,938

12,822,307

Dentsu, Inc.

146,200

4,540,931

East Japan Railway Co.

272,300

17,451,049

Eisai Co. Ltd.

201,878

8,169,982

Electric Power Development Co. Ltd.

97,280

2,485,400

FamilyMart Co. Ltd.

54,000

2,105,665

Fanuc Corp.

156,272

28,315,230

Fast Retailing Co. Ltd.

42,800

8,860,619

Fuji Electric Co. Ltd.

487,153

1,264,399

Fuji Heavy Industries Ltd.

487,000

3,678,185

Fujifilm Holdings Corp.

381,605

9,655,717

Fujitsu Ltd.

1,500,075

8,137,439

Fukuoka Financial Group, Inc.

626,300

2,727,231

Furukawa Electric Co. Ltd.

533,790

1,556,163

GREE, Inc. (d)

76,000

2,376,432

GS Yuasa Corp. (d)

301,000

1,621,723

Gunma Bank Ltd.

320,663

1,727,663

Hakuhodo DY Holdings, Inc.

17,940

1,093,458

Hamamatsu Photonics KK

53,700

1,912,974

Hino Motors Ltd.

228,000

1,621,059

Hirose Electric Co. Ltd.

27,198

2,793,570

Hiroshima Bank Ltd.

389,000

1,789,606

Hisamitsu Pharmaceutical Co., Inc.

50,700

2,288,812

Hitachi Chemical Co. Ltd.

87,300

1,611,874

Hitachi Construction Machinery Co. Ltd. (d)

86,800

1,814,050

Hitachi High-Technologies Corp.

57,700

1,320,155

Hitachi Ltd.

3,691,271

21,656,777

Hitachi Metals Ltd.

143,000

1,787,170

Hokkaido Electric Power Co., Inc.

151,000

2,230,777

 

Shares

Value

Hokuhoku Financial Group, Inc.

1,002,715

$ 1,936,481

Hokuriku Electric Power Co., Inc.

137,700

2,562,767

Honda Motor Co. Ltd.

1,327,660

50,989,356

Hoya Corp.

350,616

8,159,979

Ibiden Co. Ltd.

100,500

2,419,319

Idemitsu Kosan Co. Ltd.

17,400

1,793,616

INPEX Corp.

1,789

12,697,620

Isetan Mitsukoshi Holdings Ltd.

301,987

3,398,956

Ishikawajima-Harima Heavy Industries Co. Ltd.

1,095,185

2,775,178

Isuzu Motors Ltd.

984,000

5,543,662

Itochu Corp.

1,215,486

13,830,181

ITOCHU Techno-Solutions Corp.

23,600

1,050,889

Iyo Bank Ltd.

194,000

1,758,755

J Front Retailing Co. Ltd.

376,800

1,900,338

Japan Petroleum Exploration Co. Ltd.

28,300

1,373,313

Japan Prime Realty Investment Corp.

519

1,373,871

Japan Real Estate Investment Corp.

426

3,762,446

Japan Retail Fund Investment Corp.

1,497

2,241,035

Japan Steel Works Ltd.

257,000

1,903,118

Japan Tobacco, Inc.

3,679

19,550,133

JFE Holdings, Inc.

380,875

8,203,606

JGC Corp.

165,117

4,779,142

Joyo Bank Ltd.

529,941

2,392,378

JS Group Corp.

211,859

4,430,289

JSR Corp.

141,716

2,975,696

JTEKT Corp.

185,700

2,096,963

Jupiter Telecommunications Co.

1,847

1,799,402

JX Holdings, Inc.

1,824,968

11,448,843

Kajima Corp.

690,317

2,131,368

Kamigumi Co. Ltd.

210,663

1,808,756

Kaneka Corp.

216,559

1,244,026

Kansai Electric Power Co., Inc.

607,136

10,052,341

Kansai Paint Co. Ltd.

167,000

1,577,662

Kao Corp.

422,750

10,811,210

Kawasaki Heavy Industries Ltd.

1,171,945

3,676,069

Kawasaki Kisen Kaisha Ltd. (d)

533,000

1,121,139

KDDI Corp.

2,353

14,935,089

Keihin Electric Express Railway Co. Ltd.

378,061

3,366,950

Keio Corp.

466,410

3,350,556

Keisei Electric Railway Co.

224,000

1,644,972

Keyence Corp.

33,420

8,764,554

Kikkoman Corp.

135,849

1,497,272

Kinden Corp.

102,000

806,766

Kintetsu Corp. (d)

1,317,100

5,022,462

Kirin Holdings Co. Ltd.

654,256

7,693,816

Kobe Steel Ltd.

2,026,000

3,513,943

Koito Manufacturing Co. Ltd.

79,000

1,353,675

Komatsu Ltd.

764,645

22,780,863

Konami Corp.

78,100

2,146,201

Konica Minolta Holdings, Inc.

394,500

3,328,950

Kubota Corp.

1,028,864

10,124,746

Kuraray Co. Ltd.

279,386

4,027,805

Common Stocks - continued

Shares

Value

Japan - continued

Kurita Water Industries Ltd.

89,300

$ 2,294,701

Kyocera Corp.

123,402

10,914,083

Kyowa Hakko Kirin Co., Ltd.

210,689

2,249,561

Kyushu Electric Power Co., Inc.

328,270

4,825,422

Lawson, Inc.

50,516

2,970,250

Mabuchi Motor Co. Ltd.

20,821

968,121

Makita Corp.

91,700

3,812,609

Marubeni Corp.

1,342,244

9,592,765

Marui Group Co. Ltd.

181,649

1,479,201

Maruichi Steel Tube Ltd.

41,800

931,688

Mazda Motor Corp. (a)(d)

1,363,000

2,246,657

McDonald's Holdings Co. (Japan) Ltd.

48,900

1,274,606

Medipal Holdings Corp.

118,000

1,418,119

Meiji Holdings Co. Ltd.

54,229

2,298,037

Miraca Holdings, Inc.

44,500

1,699,643

Mitsubishi Chemical Holdings Corp.

1,097,275

6,316,806

Mitsubishi Corp.

1,129,702

27,667,591

Mitsubishi Electric Corp.

1,547,106

13,873,428

Mitsubishi Estate Co. Ltd.

1,017,723

18,402,766

Mitsubishi Gas Chemical Co., Inc.

312,867

1,985,846

Mitsubishi Heavy Industries Ltd.

2,441,256

11,441,277

Mitsubishi Logistics Corp.

99,000

1,160,551

Mitsubishi Materials Corp.

936,937

3,019,589

Mitsubishi Motors Corp. of Japan (a)(d)

3,161,000

3,771,659

Mitsubishi Tanabe Pharma Corp.

172,500

2,355,311

Mitsubishi UFJ Financial Group, Inc.

10,363,630

53,557,142

Mitsubishi UFJ Lease & Finance Co. Ltd.

47,720

2,036,883

Mitsui & Co. Ltd.

1,415,423

24,357,917

Mitsui Chemicals, Inc.

650,683

2,225,105

Mitsui Fudosan Co. Ltd.

684,677

12,986,924

Mitsui OSK Lines Ltd. (d)

939,285

4,274,992

Mizuho Financial Group, Inc.

18,453,700

31,016,132

MS&AD Insurance Group Holdings, Inc.

453,484

9,722,894

Murata Manufacturing Co. Ltd.

163,454

9,741,493

Nabtesco Corp.

82,300

1,917,414

Namco Bandai Holdings, Inc.

159,150

2,221,973

NEC Corp. (a)

2,115,951

4,138,461

NGK Insulators Ltd.

209,309

2,875,923

NGK Spark Plug Co. Ltd.

135,000

1,820,038

NHK Spring Co. Ltd.

119,900

1,235,946

Nidec Corp.

89,842

8,487,442

Nikon Corp.

275,638

7,462,689

Nintendo Co. Ltd.

80,096

11,823,015

Nippon Building Fund, Inc.

491

4,704,951

Nippon Electric Glass Co. Ltd.

328,000

3,066,363

Nippon Express Co. Ltd.

687,546

2,697,917

Nippon Meat Packers, Inc.

139,740

1,796,277

Nippon Paper Group, Inc. (d)

76,700

1,644,481

Nippon Sheet Glass Co. Ltd. (d)

700,000

1,171,044

Nippon Steel Corp. (d)

4,089,661

11,771,704

Nippon Telegraph & Telephone Corp.

383,600

18,055,856

Nippon Yusen KK

1,256,578

3,740,598

 

Shares

Value

Nishi-Nippon City Bank Ltd.

502,000

$ 1,426,435

Nissan Motor Co. Ltd.

2,045,348

20,932,771

Nisshin Seifun Group, Inc.

152,090

1,818,457

Nisshin Steel Co. Ltd.

565,000

973,000

Nissin Food Holdings Co. Ltd.

45,823

1,719,173

Nitori Holdings Co. Ltd.

29,300

2,476,056

Nitto Denko Corp.

133,194

5,472,267

NKSJ Holdings, Inc.

312,903

7,336,160

NOK Corp.

83,600

1,670,046

Nomura Holdings, Inc.

2,887,547

13,419,371

Nomura Real Estate Holdings, Inc.

73,400

1,271,262

Nomura Real Estate Office Fund, Inc. (a)

213

1,232,751

Nomura Research Institute Ltd.

84,700

2,013,963

NSK Ltd.

357,576

2,823,837

NTN Corp.

398,611

1,735,756

NTT Data Corp.

1,028

3,463,549

NTT DoCoMo, Inc.

12,169

20,755,758

NTT Urban Development Co.

844

676,903

Obayashi Corp.

548,704

2,477,082

Odakyu Electric Railway Co. Ltd.

491,000

4,686,832

Oji Paper Co. Ltd.

700,352

3,480,438

Olympus Corp.

179,929

3,007,854

Omron Corp.

162,960

3,608,193

Ono Pharmaceutical Co. Ltd.

66,500

3,631,958

Oracle Corp. Japan

29,300

1,055,658

Oriental Land Co. Ltd.

39,256

4,065,878

ORIX Corp.

85,388

8,224,221

Osaka Gas Co. Ltd.

1,538,525

5,904,666

Otsuka Corp.

13,500

999,693

Otsuka Holdings Co. Ltd.

201,600

5,661,514

Panasonic Corp.

1,769,873

16,679,206

Rakuten, Inc.

5,876

5,840,222

Resona Holdings, Inc.

1,529,800

7,320,158

Ricoh Co. Ltd.

538,770

4,950,627

Rinnai Corp.

27,200

1,974,045

ROHM Co. Ltd.

76,344

3,840,912

Sankyo Co. Ltd. (Gunma)

43,100

2,072,957

Sanrio Co. Ltd. (d)

36,000

1,472,415

Santen Pharmaceutical Co. Ltd.

58,500

2,313,519

SBI Holdings, Inc. Japan

20,126

1,943,405

Secom Co. Ltd.

172,067

8,159,399

Sega Sammy Holdings, Inc.

176,500

3,345,673

Seiko Epson Corp.

106,600

1,442,401

Sekisui Chemical Co. Ltd.

350,293

3,007,621

Sekisui House Ltd.

464,467

4,399,282

Seven & i Holdings Co., Ltd.

617,800

17,068,440

Seven Bank Ltd.

488,000

1,068,504

Sharp Corp.

800,675

5,633,632

Shikoku Electric Power Co., Inc.

149,300

4,110,135

Shimadzu Corp.

210,000

1,818,562

Shimamura Co. Ltd.

18,300

2,001,193

SHIMANO, Inc.

58,600

3,395,117

SHIMIZU Corp.

472,416

1,911,863

Shin-Etsu Chemical Co., Ltd.

337,962

18,104,737

Common Stocks - continued

Shares

Value

Japan - continued

Shinsei Bank Ltd.

1,073,000

$ 1,385,879

Shionogi & Co. Ltd.

235,891

3,264,375

Shiseido Co. Ltd.

290,350

5,039,472

Shizuoka Bank Ltd.

472,274

4,798,553

Showa Denko KK

1,227,336

2,777,906

Showa Shell Sekiyu KK

150,800

1,016,525

SMC Corp.

43,271

7,377,281

SOFTBANK CORP.

716,630

21,341,550

Sojitz Corp.

1,019,700

1,894,024

Sony Corp.

805,585

17,386,545

Sony Financial Holdings, Inc.

132,700

2,427,270

Square Enix Holdings Co. Ltd.

51,100

996,920

Stanley Electric Co. Ltd.

124,225

2,104,162

Sumco Corp. (a)(d)

92,300

992,314

Sumitomo Chemical Co. Ltd.

1,269,334

5,496,102

Sumitomo Corp.

907,842

13,456,543

Sumitomo Electric Industries Ltd.

620,606

8,069,138

Sumitomo Heavy Industries Ltd.

461,822

2,539,325

Sumitomo Metal Industries Ltd.

2,799,966

5,820,706

Sumitomo Metal Mining Co. Ltd.

422,065

6,256,084

Sumitomo Mitsui Financial Group, Inc.

1,097,200

37,237,408

Sumitomo Mitsui Trust Holdings, Inc.

2,517,722

8,733,595

Sumitomo Realty & Development Co. Ltd.

294,000

6,856,806

Sumitomo Rubber Industries Ltd.

136,500

1,717,689

Suzuken Co. Ltd.

59,860

1,763,512

Suzuki Motor Corp.

271,900

6,445,062

Sysmex Corp.

58,400

2,100,518

T&D Holdings, Inc.

463,500

5,410,684

Taisei Corp.

862,594

2,281,293

Taisho Pharmaceutical Holdings Co. Ltd. (a)

31,557

2,527,044

Taiyo Nippon Sanso Corp.

203,000

1,340,931

Takashimaya Co. Ltd.

239,000

1,831,564

Takeda Pharmaceutical Co. Ltd.

643,042

29,029,636

TDK Corp.

101,025

5,269,033

Teijin Ltd.

774,341

2,590,821

Terumo Corp.

135,712

6,535,611

The Chugoku Bank Ltd.

143,000

1,903,266

The Hachijuni Bank Ltd.

362,000

2,124,042

The Suruga Bank Ltd.

176,000

1,630,211

THK Co. Ltd.

100,900

2,136,034

Tobu Railway Co. Ltd.

829,297

4,315,058

Toho Co. Ltd.

87,654

1,549,404

Toho Gas Co. Ltd.

344,000

2,005,732

Tohoku Electric Power Co., Inc.

359,590

4,228,649

Tokio Marine Holdings, Inc.

590,800

16,315,223

Tokyo Electric Power Co. (a)

1,168,418

3,233,828

Tokyo Electron Ltd.

138,718

7,695,654

Tokyo Gas Co. Ltd.

2,013,395

9,188,383

Tokyu Corp.

922,954

4,439,080

Tokyu Land Corp.

342,000

1,644,898

TonenGeneral Sekiyu KK

234,856

2,172,480

 

Shares

Value

Toppan Printing Co. Ltd.

440,013

$ 3,458,618

Toray Industries, Inc.

1,180,883

8,395,970

Toshiba Corp.

3,242,880

14,200,939

Tosoh Corp.

421,816

1,240,101

Toto Ltd.

243,185

1,839,705

Toyo Seikan Kaisha Ltd.

124,100

1,818,108

Toyo Suisan Kaisha Ltd.

71,000

1,822,708

Toyoda Gosei Co. Ltd.

56,800

1,064,105

Toyota Boshoku Corp.

55,500

695,670

Toyota Industries Corp.

147,886

4,609,670

Toyota Motor Corp.

2,245,351

93,332,507

Toyota Tsusho Corp.

174,800

3,506,966

Trend Micro, Inc.

85,800

2,505,556

Tsumura & Co.

52,800

1,521,747

Ube Industries Ltd.

844,605

2,441,505

Unicharm Corp.

94,380

4,881,824

Ushio, Inc.

80,600

1,194,698

USS Co. Ltd.

17,940

1,756,595

West Japan Railway Co.

136,100

5,549,806

Yahoo! Japan Corp.

11,652

3,683,577

Yakult Honsha Co. Ltd.

78,166

2,415,315

Yamada Denki Co. Ltd.

67,285

4,361,793

Yamaguchi Financial Group, Inc.

163,000

1,487,742

Yamaha Corp.

125,043

1,195,134

Yamaha Motor Co. Ltd.

230,200

3,301,719

Yamato Holdings Co. Ltd.

323,232

5,097,281

Yamato Kogyo Co. Ltd.

39,700

1,249,186

Yamazaki Baking Co. Ltd.

95,000

1,278,430

Yaskawa Electric Corp.

174,000

1,669,475

Yokogawa Electric Corp. (a)

190,400

1,810,434

TOTAL JAPAN

1,823,563,291

Luxembourg - 0.5%

ArcelorMittal SA (Netherlands)

698,012

14,710,706

Millicom International Cellular SA (depositary receipt)

60,657

6,797,163

SES SA FDR (France) unit

247,161

5,961,395

Subsea 7 SA (a)

247,387

5,943,112

Tenaris SA

396,241

7,706,935

TOTAL LUXEMBOURG

41,119,311

Malta - 0.0%

BGP Holdings PLC (a)

5,796,476

77

Mauritius - 0.0%

Golden Agri-Resources Ltd.

5,598,680

3,267,930

Netherlands - 2.6%

AEGON NV (a)

1,419,004

7,425,756

Akzo Nobel NV

188,640

10,699,362

ASML Holding NV (Netherlands)

350,089

15,916,959

Corio NV

50,371

2,420,450

Delta Lloyd NV

83,533

1,549,611

European Aeronautic Defence and Space Co. EADS NV

331,301

12,033,658

Common Stocks - continued

Shares

Value

Netherlands - continued

Fugro NV (Certificaten Van Aandelen) unit

56,893

$ 4,177,702

Heineken Holding NV (A Shares)

93,571

4,175,952

Heineken NV (Bearer)

211,837

11,183,953

ING Groep NV (Certificaten Van Aandelen) (a)

3,107,277

27,381,240

Koninklijke Ahold NV

955,812

13,217,194

Koninklijke Boskalis Westminster NV

59,403

2,275,179

Koninklijke KPN NV

1,207,062

13,081,471

Koninklijke Philips Electronics NV

814,756

17,081,562

QIAGEN NV (a)

191,319

2,932,339

Randstad Holding NV

96,168

3,638,466

Reed Elsevier NV

557,435

6,878,842

Royal DSM NV

124,929

6,948,470

SBM Offshore NV

141,961

2,575,820

STMicroelectronics NV

519,313

3,848,401

TNT Express NV (d)

295,665

3,683,218

Unilever NV (Certificaten Van Aandelen) (Bearer)

1,344,017

44,685,569

Vopak NV

60,474

3,375,609

Wolters Kluwer NV (Certificaten Van Aandelen)

245,818

4,576,515

TOTAL NETHERLANDS

225,763,298

New Zealand - 0.1%

Auckland International Airport Ltd.

746,760

1,497,200

Contact Energy Ltd.

253,005

1,018,732

Fletcher Building Ltd.

568,086

3,097,245

Sky City Entertainment Group Ltd.

557,243

1,746,692

Telecom Corp. of New Zealand Ltd.

1,520,309

2,711,497

TOTAL NEW ZEALAND

10,071,366

Norway - 0.8%

Aker Solutions ASA

130,953

2,271,037

DnB NOR ASA

843,002

10,819,608

Gjensidige Forsikring ASA

168,569

2,017,274

Norsk Hydro ASA

728,329

4,377,517

Orkla ASA (A Shares)

618,294

5,140,699

StatoilHydro ASA

908,754

25,915,001

Telenor ASA

592,436

10,947,193

Yara International ASA

151,029

7,405,091

TOTAL NORWAY

68,893,420

Portugal - 0.2%

Banco Espirito Santo SA (Reg.) (d)

592,720

1,309,982

Cimpor-Cimentos de Portugal SGPS SA

163,860

1,110,900

Energias de Portugal SA

1,481,927

4,323,549

Galp Energia SGPS SA Class B

181,449

3,164,198

Jeronimo Martins SGPS SA (a)

174,636

3,224,530

Portugal Telecom SGPS SA (Reg.) (d)

520,490

2,683,942

TOTAL PORTUGAL

15,817,101

Singapore - 1.6%

Ascendas Real Estate Investment Trust

1,480,183

2,438,074

 

Shares

Value

CapitaLand Ltd.

2,041,437

$ 5,027,486

CapitaMall Trust

1,736,200

2,498,829

CapitaMalls Asia Ltd.

1,109,000

1,365,578

City Developments Ltd.

401,000

3,568,648

ComfortDelgro Corp. Ltd.

1,529,784

1,871,482

Cosco Corp. Singapore Ltd.

929,000

895,091

DBS Group Holdings Ltd.

1,405,911

15,962,848

Fraser & Neave Ltd.

733,150

3,921,779

Global Logistic Properties Ltd. (a)

1,517,000

2,644,273

Hutchison Port Holdings Trust

4,131,000

3,284,145

Jardine Cycle & Carriage Ltd.

90,267

3,449,294

Keppel Corp. Ltd.

1,133,400

10,014,049

Keppel Land Ltd.

596,000

1,629,809

Neptune Orient Lines Ltd.

1,052,750

1,127,961

Olam International Ltd.

1,164,700

2,216,436

Oversea-Chinese Banking Corp. Ltd.

2,107,793

15,134,515

SembCorp Industries Ltd.

839,130

3,549,352

SembCorp Marine Ltd.

695,800

2,976,476

Singapore Airlines Ltd.

427,425

3,766,220

Singapore Exchange Ltd.

687,000

3,960,557

Singapore Press Holdings Ltd.

1,216,021

3,685,059

Singapore Technologies Engineering Ltd.

1,225,161

3,115,190

Singapore Telecommunications Ltd.

6,394,827

16,208,853

StarHub Ltd.

501,000

1,177,740

United Overseas Bank Ltd.

1,029,829

14,863,002

UOL Group Ltd.

382,984

1,436,209

Wilmar International Ltd.

1,527,000

6,239,132

Yangzijiang Shipbuilding Holdings Ltd.

1,683,000

1,830,152

TOTAL SINGAPORE

139,858,239

Spain - 3.0%

Abertis Infraestructuras SA

309,894

5,294,683

Acerinox SA

79,322

1,132,284

Actividades de Construccion y Servicios SA (ACS) (d)

112,095

3,335,352

Amadeus IT Holding SA Class A

253,876

4,836,455

Banco Bilbao Vizcaya Argentaria SA

3,867,624

34,621,855

Banco de Sabadell SA (d)

1,090,129

3,529,016

Banco Popular Espanol SA (d)

840,855

3,451,296

Banco Santander SA (Spain)

6,984,813

57,813,609

Bankia SA (d)

698,556

2,825,351

Bankinter SA (d)

172,053

1,063,530

Cintra Concesiones de Infrastructuras de Transporte SA

331,714

4,198,139

Criteria CaixaCorp SA

577,854

2,725,922

Distribuidora Internacional de Alimentacion SA (a)

495,484

2,422,507

EDP Renovaveis SA (a)

164,836

858,615

Enagas SA

138,798

2,846,639

Fomento Construcciones y Contratas SA (FOCSA) (d)

43,595

1,104,629

Gas Natural SDG SA

278,508

4,712,060

Grifols SA (a)(d)

113,065

2,349,753

Grupo Acciona SA

20,633

1,623,124

Common Stocks - continued

Shares

Value

Spain - continued

Iberdrola SA

3,115,087

$ 18,433,940

Inditex SA

174,589

16,120,637

Indra Sistemas (d)

87,446

1,111,834

International Consolidated Airlines Group SA CDI (a)

781,207

2,040,586

MAPFRE SA (Reg.)

647,428

2,226,122

Red Electrica Corporacion SA

88,836

4,484,772

Repsol YPF SA

648,692

16,912,149

Telefonica SA

3,316,711

56,443,072

Zardoya Otis SA

118,140

1,592,747

TOTAL SPAIN

260,110,678

Sweden - 3.1%

Alfa Laval AB

271,007

5,565,902

ASSA ABLOY AB (B Shares)

250,701

7,615,312

Atlas Copco AB:

(A Shares)

539,550

14,073,693

(B Shares)

313,958

7,278,343

Boliden AB

233,547

4,090,659

Electrolux AB (B Shares)

222,944

4,895,499

Getinge AB (B Shares)

162,614

4,647,132

H&M Hennes & Mauritz AB (B Shares)

821,192

29,511,558

Hexagon AB (B Shares)

205,827

4,137,039

Holmen AB (B Shares)

42,486

1,234,056

Husqvarna AB (B Shares)

388,141

2,335,750

Industrivarden AB Series C

92,632

1,396,399

Investment AB Kinnevik

168,184

3,832,848

Investor AB (B Shares)

369,877

8,233,712

Lundin Petroleum AB (a)

183,500

4,281,727

Modern Times Group MTG AB (B Shares)

39,453

1,929,408

Nordea Bank AB

2,135,498

20,589,957

Ratos AB (B Shares)

158,838

2,057,173

Sandvik AB

817,775

12,494,549

Scania AB (B Shares)

255,963

5,129,279

Securitas AB (B Shares)

258,383

2,483,457

Skandinaviska Enskilda Banken AB (A Shares)

1,136,870

8,506,273

Skanska AB (B Shares)

329,711

6,014,178

SKF AB (B Shares)

314,243

7,945,059

SSAB Svenskt Stal AB (A Shares) (d)

135,516

1,420,276

Svenska Cellulosa AB (SCA) (B Shares)

467,856

8,357,286

Svenska Handelsbanken AB (A Shares)

395,774

13,290,059

Swedbank AB (A Shares)

658,052

11,257,507

Swedish Match Co. AB

169,807

6,484,797

Tele2 AB (B Shares)

258,470

5,261,545

Telefonaktiebolaget LM Ericsson (B Shares)

2,431,137

24,354,670

TeliaSonera AB

1,820,331

13,281,686

Volvo AB (B Shares)

1,176,739

17,169,910

TOTAL SWEDEN

271,156,698

Switzerland - 8.1%

ABB Ltd. (Reg.)

1,782,115

36,475,268

 

Shares

Value

Actelion Ltd.

93,651

$ 3,530,543

Adecco SA (Reg.)

109,330

5,478,583

Aryzta AG

75,307

3,737,052

Baloise Holdings AG

42,547

3,348,084

Barry Callebaut AG

1,450

1,419,872

Compagnie Financiere Richemont SA Series A

430,811

26,449,548

Credit Suisse Group

932,374

25,021,328

GAM Holding Ltd.

169,667

2,240,850

Geberit AG (Reg.)

33,390

7,166,598

Givaudan SA

7,026

6,635,408

Holcim Ltd. (Reg.)

201,801

13,158,995

Julius Baer Group Ltd.

172,991

6,777,775

Kuehne & Nagel International AG

47,305

6,226,819

Lindt & Spruengli AG

95

3,455,405

Lindt & Spruengli AG (participation certificate)

786

2,410,643

Lonza Group AG

42,250

2,195,151

Nestle SA

2,684,797

164,090,698

Novartis AG

1,892,178

103,124,070

Pargesa Holding SA

25,862

1,919,356

Partners Group Holding AG

11,200

2,085,765

Roche Holding AG (participation certificate)

569,823

99,190,012

Schindler Holding AG:

(participation certificate)

43,314

5,337,656

(Reg.)

19,170

2,330,570

SGS SA (Reg.)

4,533

8,491,860

Sika AG (Bearer)

1,692

3,683,952

Sonova Holding AG Class B

41,021

4,579,046

Straumann Holding AG

6,716

1,064,406

Sulzer AG (Reg.)

20,843

2,992,380

Swatch Group AG:

(Bearer)

24,722

11,207,962

(Reg.)

44,941

3,571,240

Swiss Life Holding AG

26,421

3,045,657

Swiss Re Ltd.

284,736

16,899,119

Swisscom AG

19,927

7,937,324

Syngenta AG (Switzerland)

77,162

25,184,687

Transocean Ltd. (Switzerland)

280,660

14,957,366

UBS AG (a)

2,943,476

41,217,735

Zurich Financial Services AG

119,808

30,163,862

TOTAL SWITZERLAND

708,802,645

United Kingdom - 21.2%

3I Group PLC

740,618

2,232,642

Admiral Group PLC

164,130

2,812,026

Aggreko PLC

219,169

7,715,714

AMEC PLC

269,611

4,743,603

Anglo American PLC (United Kingdom)

1,066,102

44,934,330

Antofagasta PLC

313,754

6,638,294

ARM Holdings PLC

1,089,167

9,818,018

Associated British Foods PLC

287,129

5,472,043

AstraZeneca PLC (United Kingdom)

1,093,364

48,922,382

Common Stocks - continued

Shares

Value

United Kingdom - continued

Aviva PLC

2,363,412

$ 13,830,317

Babcock International Group PLC

280,438

3,359,289

BAE Systems PLC

2,702,510

13,443,451

Balfour Beatty PLC

535,142

2,365,774

Barclays PLC

9,423,555

36,488,559

BG Group PLC

2,738,044

66,097,450

BHP Billiton PLC

1,711,603

55,354,419

BP PLC

15,433,943

120,756,710

British American Tobacco PLC (United Kingdom)

1,602,114

80,806,284

British Land Co. PLC

686,503

5,136,095

British Sky Broadcasting Group PLC

926,846

9,878,658

BT Group PLC

6,281,623

21,385,072

Bunzl PLC

266,917

4,084,763

Burberry Group PLC

365,904

8,218,971

Capita Group PLC

488,952

5,965,917

Capital Shopping Centres Group PLC

425,008

2,249,394

Carnival PLC

148,860

4,368,122

Centrica PLC

4,224,627

20,430,432

Cobham PLC

884,912

2,638,064

Compass Group PLC

1,516,174

15,195,157

Diageo PLC

2,030,296

48,472,850

Essar Energy PLC (a)

254,067

423,974

Eurasian Natural Resources Corp. PLC

198,850

2,215,896

Fresnillo PLC

140,712

4,257,525

G4S PLC (United Kingdom)

1,125,347

5,177,264

GKN PLC

1,213,991

4,225,503

GlaxoSmithKline PLC

4,109,110

90,796,758

Hammerson PLC

572,593

3,568,832

HSBC Holdings PLC (United Kingdom)

14,617,782

129,498,954

ICAP PLC

444,246

2,719,407

Imperial Tobacco Group PLC

816,687

32,362,715

Inmarsat PLC

348,656

2,660,063

InterContinental Hotel Group PLC

232,965

5,292,818

International Power PLC

1,252,250

6,890,602

Intertek Group PLC

127,533

4,696,660

Invensys PLC

628,501

2,080,624

Investec PLC

414,182

2,635,523

ITV PLC

2,957,511

4,043,783

J Sainsbury PLC

969,434

4,600,310

Johnson Matthey PLC

170,429

6,257,414

Kazakhmys PLC

179,153

3,160,612

Kingfisher PLC

1,920,650

8,683,362

Land Securities Group PLC

628,100

6,744,475

Legal & General Group PLC

4,706,485

9,044,388

Lloyds Banking Group PLC (a)

33,257,510

18,512,990

London Stock Exchange Group PLC

119,225

1,710,761

Lonmin PLC

121,156

2,125,867

Man Group PLC

1,564,544

3,257,940

Marks & Spencer Group PLC

1,279,633

7,389,374

Meggitt PLC

600,800

3,693,028

National Grid PLC

2,905,078

29,585,304

 

Shares

Value

Next PLC

141,023

$ 6,216,444

Old Mutual PLC

4,425,209

11,200,039

Pearson PLC

662,834

12,620,913

Prudential PLC

2,048,144

23,234,901

Reckitt Benckiser Group PLC

503,649

27,881,928

Reed Elsevier PLC

974,315

8,532,421

Rexam PLC

706,467

4,665,092

Rio Tinto PLC

1,129,448

64,068,870

Rolls-Royce Group PLC

1,508,127

19,528,906

Royal & Sun Alliance Insurance Group PLC

2,785,980

4,844,107

Royal Bank of Scotland Group PLC (a)

14,315,249

6,356,992

Royal Dutch Shell PLC:

Class A (Netherlands)

54,048

1,972,621

Class A (United Kingdom)

2,909,964

105,876,727

Class B

2,171,810

80,497,545

SABMiller PLC

772,802

31,318,288

Sage Group PLC

1,068,451

5,279,243

Schroders PLC

90,581

2,227,728

Scottish & Southern Energy PLC

760,073

15,597,701

Segro PLC

581,913

2,175,412

Serco Group PLC

383,152

3,382,826

Severn Trent PLC

193,432

4,846,458

Smith & Nephew PLC

721,053

7,080,164

Smiths Group PLC

311,943

5,399,080

Standard Chartered PLC (United Kingdom)

1,938,682

49,884,595

Standard Life PLC

1,861,931

6,886,557

Tate & Lyle PLC

355,571

3,945,355

Tesco PLC

6,467,380

32,521,342

The Weir Group PLC

169,523

5,679,402

TUI Travel PLC

417,156

1,313,951

Tullow Oil PLC

727,600

17,072,625

Unilever PLC

1,043,106

33,719,530

United Utilities Group PLC

560,070

5,448,216

Vedanta Resources PLC

98,910

2,265,783

Vodafone Group PLC

41,056,862

110,597,008

Whitbread PLC

139,577

3,768,003

WM Morrison Supermarkets PLC

1,793,168

8,272,458

Xstrata PLC

1,671,644

31,911,015

TOTAL UNITED KINGDOM

1,850,217,772

United States of America - 0.1%

Synthes, Inc.

54,883

9,498,981

TOTAL COMMON STOCKS

(Cost $9,211,297,963)


8,474,994,719

Nonconvertible Preferred Stocks - 0.8%

 

 

 

 

France - 0.2%

Air Liquide SA (a)

140,354

18,236,120

Nonconvertible Preferred Stocks - continued

Shares

Value

Germany - 0.5%

Bayerische Motoren Werke AG (BMW) (non-vtg.)

42,156

$ 2,499,692

Henkel AG & Co. KGaA

144,810

9,423,941

Porsche Automobil Holding SE (Germany)

124,413

8,099,032

ProSiebenSat.1 Media AG

64,324

1,671,431

RWE AG (non-vtg.) (d)

33,986

1,428,463

Volkswagen AG

115,669

21,627,127

TOTAL GERMANY

44,749,686

Italy - 0.1%

Telecom Italia SpA (Risparmio Shares)

4,892,596

4,607,285

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $53,337,942)


67,593,091

Government Obligations - 0.2%

 

Principal
Amount

 

United States of America - 0.2%

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 3/1/12 to 7/19/12 (e)
(Cost $17,997,967)

$ 18,000,000


17,996,840

Money Market Funds - 3.2%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

182,929,374

182,929,374

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

98,227,619

98,227,619

TOTAL MONEY MARKET FUNDS

(Cost $281,156,993)


281,156,993

TOTAL INVESTMENT PORTFOLIO - 101.4%

(Cost $9,563,790,865)

8,841,741,643

NET OTHER ASSETS (LIABILITIES) - (1.4)%

(122,141,676)

NET ASSETS - 100%

$ 8,719,599,967

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

91 CAC 40 Index Contracts (France)

March 2012

$ 4,183,654

$ 59,898

45 CME Nikkei 225 Index Contracts (Japan)

March 2012

2,699,889

10,413

17 DAX 100 Index Contracts (Germany)

March 2012

3,880,915

268,492

1,228 Euro Stoxx 50 Index Contracts

March 2012

41,062,134

1,015,731

518 FTSE 100 Index Contracts (United Kingdom)

March 2012

48,230,734

1,105,918

13 FTSE MIB Index Contracts (Italy)

March 2012

1,416,575

57,379

35 Hang Seng 100 Index Contracts (Hong Kong)

March 2012

4,884,865

61,896

10 IBEX 35 Index Contracts (Spain)

March 2012

1,125,642

(34,718)

75 MSCI Index Contracts (Singapore)

March 2012

4,170,231

38,996

30 NYSE E-mini MSCI EAFE Index Contracts

March 2012

2,341,050

(3,328)

392 OMX Stockholm 30 Index Contracts (Sweden)

March 2012

6,537,233

117,632

150 SFE SPI 200 Index Contracts (Australia)

March 2012

17,242,584

146,986

388 TOPIX Index Contracts (Japan)

March 2012

39,780,800

3,576,808

TOTAL EQUITY INDEX CONTRACTS

$ 177,556,306

$ 6,422,103

 

The face value of futures purchased as a percentage of net assets is 2%

Forward Foreign Currency Contracts

Settlement
Dates

Value

Unrealized
Appreciation/
(Depreciation)

Contracts to Buy

16,300,000 AUD

March 2012

$ 17,445,848

$ 423,830

39,500,000 EUR

March 2012

52,625,006

(321,605)

30,800,000 GBP

March 2012

48,991,089

541,913

3,460,000,000 JPY

March 2012

42,563,882

(2,219,991)

44,200,000 SEK

March 2012

6,675,365

122,434

 

$ 168,301,190

$ (1,453,419)

(Payable Amount $169,754,609)

The value of contracts to buy as a percentage of net assets is 2%

Currency Abbreviations

AUD

-

Australian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

SEK

-

Swedish krona

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $15,996,840.

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

$ 201,482

Fidelity Securities Lending Cash Central Fund

2,325,423

Total

$ 2,526,905

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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:

United Kingdom

$ 1,850,217,772

$ 690,302,944

$ 1,159,914,828

$ -

Japan

1,823,563,291

1,407,550,185

416,013,106

-

France

751,911,994

551,693,459

200,218,535

-

Australia

732,115,851

726,740,241

5,375,610

-

Germany

719,249,519

555,151,559

164,097,960

-

Switzerland

708,802,645

477,779,557

231,023,088

-

Sweden

271,156,698

246,802,028

24,354,670

-

Spain

260,110,678

111,232,142

148,878,536

-

Netherlands

225,763,298

109,423,811

116,339,487

-

Ireland

26,479,827

7,726,857

18,752,966

4

Austria

22,179,391

22,179,387

-

4

Malta

77

-

-

77

Other

1,151,036,769

871,885,202

279,151,567

-

Government Obligations

17,996,840

-

17,996,840

-

Money Market Funds

281,156,993

281,156,993

-

-

Total Investments in Securities:

$ 8,841,741,643

$ 6,059,624,365

$ 2,782,117,193

$ 85

Derivative Instruments:

Assets

Forward Foreign Currency Contracts

$ 1,088,177

$ -

$ 1,088,177

$ -

Futures Contracts

6,460,149

6,460,149

-

-

Total Assets

$ 7,548,326

$ 6,460,149

$ 1,088,177

$ -

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Liabilities

Forward Foreign Currency Contracts

$ (2,541,596)

$ -

$ (2,541,596)

$ -

Futures Contracts

(38,046)

(38,046)

-

-

Total Liabilities

$ (2,579,642)

$ (38,046)

$ (2,541,596)

$ -

Total Derivative Instruments:

$ 4,968,684

$ 6,422,103

$ (1,453,419)

$ -

During the period, transfers from Level 1 to Level 2 were $303,000,786 and transfers from Level 2 to Level 1 were $2,007,476,084.

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

Investments in Securities:

Beginning Balance

$ 101

Total Realized Gain (Loss)

-

Total Unrealized Gain (Loss)

(16)

Cost of Purchases

-

Proceeds of Sales

-

Amortization/Accretion

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ 85

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ (3)

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 February 29, 2012. 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 (b)

$ 6,460,149

$ (38,046)

Foreign Exchange Risk

Forward Foreign Currency Contracts (a)

1,088,177

(2,541,596)

Total Value of Derivatives

$ 7,548,326

$ (2,579,642)

(a) Value is disclosed net on the Statement of Assets and Liabilities as Unrealized depreciation on foreign currency contracts.

(b) 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.

Annual Report

Spartan International Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $92,600,800) - See accompanying schedule:

Unaffiliated issuers (cost $9,282,633,872)

$ 8,560,584,650

 

Fidelity Central Funds (cost $281,156,993)

281,156,993

 

Total Investments (cost $9,563,790,865)

 

$ 8,841,741,643

Cash

 

1

Foreign currency held at value (cost $6,578,643)

6,614,408

Receivable for investments sold

1,216,341

Receivable for closed foreign currency contracts

1,232,667

Receivable for fund shares sold

20,048,706

Dividends receivable

32,170,172

Distributions receivable from Fidelity Central Funds

133,392

Receivable from investment adviser for expense reductions

173,341

Other receivables

1,205

Total assets

8,903,331,876

 

 

 

Liabilities

Payable for investments purchased

$ 48,997,101

Unrealized depreciation on foreign currency contracts

1,453,419

Payable for fund shares redeemed

32,578,375

Accrued management fee

429,359

Payable for daily variation margin on futures contracts

1,286,325

Other affiliated payables

759,711

Collateral on securities loaned, at value

98,227,619

Total liabilities

183,731,909

 

 

 

Net Assets

$ 8,719,599,967

Net Assets consist of:

 

Paid in capital

$ 9,979,257,298

Undistributed net investment income

1,453,417

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

(543,902,718)

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

(717,208,030)

Net Assets

$ 8,719,599,967

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,424,238,829 ÷ 103,567,780 shares)

$ 33.06

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($3,476,600,390 ÷ 105,140,920 shares)

$ 33.07

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($860,659,433 ÷ 26,025,248 shares)

$ 33.07

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($958,101,315 ÷ 28,972,580 shares)

$ 33.07

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

Annual Report

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 337,501,551

Interest

 

28,717

Income from Fidelity Central Funds (including $2,325,423 from security lending)

 

2,526,905

Income before foreign taxes withheld

 

340,057,173

Less foreign taxes withheld

 

(24,728,802)

Total income

 

315,328,371

 

 

 

Expenses

Management fee

$ 10,464,002

Transfer agent fees

5,823,919

Independent trustees' compensation

51,909

Miscellaneous

26,667

Total expenses before reductions

16,366,497

Expense reductions

(8,094,991)

8,271,506

Net investment income (loss)

307,056,865

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

20,154,672

Redemption in-kind with affiliated entities

105,326,578

Foreign currency transactions

9,153,957

Futures contracts

(17,685,134)

Total net realized gain (loss)

 

116,950,073

Change in net unrealized appreciation (depreciation) on:

Investment securities

(1,197,524,991)

Assets and liabilities in foreign currencies

(9,841,497)

Futures contracts

(1,385,997)

Total change in net unrealized appreciation (depreciation)

 

(1,208,752,485)

Net gain (loss)

(1,091,802,412)

Net increase (decrease) in net assets resulting from operations

$ (784,745,547)

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 307,056,865

$ 242,540,306

Net realized gain (loss)

116,950,073

(69,459,920)

Change in net unrealized appreciation (depreciation)

(1,208,752,485)

1,498,330,917

Net increase (decrease) in net assets resulting from operations

(784,745,547)

1,671,411,303

Distributions to shareholders from net investment income

(282,810,129)

(211,805,947)

Distributions to shareholders from net realized gain

(5,246,083)

(7,823,964)

Total distributions

(288,056,212)

(219,629,911)

Share transactions - net increase (decrease)

(204,144,449)

876,645,901

Redemption fees

929,822

663,525

Total increase (decrease) in net assets

(1,276,016,386)

2,329,090,818

 

 

 

Net Assets

Beginning of period

9,995,616,353

7,666,525,535

End of period (including undistributed net investment income of $1,453,417 and undistributed net investment income of $19,160,149, respectively)

$ 8,719,599,967

$ 9,995,616,353

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 37.29

$ 31.74

$ 20.85

$ 43.23

$ 44.73

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  1.19

.94

.82

1.30

1.39

Net realized and unrealized gain (loss)

  (4.28)

5.45

10.93

(22.75)

(1.35)

Total from investment operations

  (3.09)

6.39

11.75

(21.45)

.04

Distributions from net investment income

  (1.12)

(.81)

(.74)

(.94)

(1.19)

Distributions from net realized gain

  (.02)

(.03)

(.12)

-

(.36)

Total distributions

  (1.14)

(.84)

(.86)

(.94)

(1.55)

Redemption fees added to paid in capital B

  - G

- G

- G

.01

.01

Net asset value, end of period

$ 33.06

$ 37.29

$ 31.74

$ 20.85

$ 43.23

Total Return A

  (7.92)%

20.34%

56.36%

(50.03)%

(.15)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .20%

.20%

.20%

.20%

.20%

Expenses net of fee waivers, if any

  .11%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .11%

.10%

.10%

.10%

.10%

Net investment income (loss)

  3.54%

2.84%

2.72%

3.75%

2.95%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,424,239

$ 6,932,647

$ 5,488,131

$ 2,697,776

$ 4,515,417

Portfolio turnover rate D

  9%

1%

2%

4%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 37.29

$ 31.74

$ 20.85

$ 43.23

$ 44.73

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  1.20

.96

.83

1.31

1.41

Net realized and unrealized gain (loss)

  (4.28)

5.44

10.93

(22.75)

(1.36)

Total from investment operations

  (3.08)

6.40

11.76

(21.44)

.05

Distributions from net investment income

  (1.12)

(.82)

(.75)

(.95)

(1.20)

Distributions from net realized gain

  (.02)

(.03)

(.12)

-

(.36)

Total distributions

  (1.14)

(.85)

(.87)

(.95)

(1.56)

Redemption fees added to paid in capital B

  - G

- G

- G

.01

.01

Net asset value, end of period

$ 33.07

$ 37.29

$ 31.74

$ 20.85

$ 43.23

Total Return A

  (7.87)%

20.38%

56.40%

(50.02)%

(.12)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .17%

.17%

.17%

.17%

.17%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  3.57%

2.87%

2.75%

3.78%

2.97%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,476,600

$ 3,062,970

$ 2,178,395

$ 1,155,867

$ 1,979,431

Portfolio turnover rate D

  9%

1%

2%

4%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

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

Annual Report

Financial Highlights - Institutional Class

Period ended February 29,

2012 H

Selected Per-Share Data

 

Net asset value, beginning of period

$ 31.29

Income from Investment Operations

 

Net investment income (loss) D

  .32

Net realized and unrealized gain (loss)

  2.48 G

Total from investment operations

  2.80

Distributions from net investment income

  (1.02)

Redemption fees added to paid in capital D, J

  -

Net asset value, end of period

$ 33.07

Total Return B, C

  9.44%

Ratios to Average Net Assets E, I

 

Expenses before reductions

  .10% A

Expenses net of fee waivers, if any

  .07% A

Expenses net of all reductions

  .07% A

Net investment income (loss)

  2.19% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 860,659

Portfolio turnover rate F

  9% K

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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

H For the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

I 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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

J Amount represents less than $.01 per share.

K Amount not annualized.

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 H

Selected Per-Share Data

 

Net asset value, beginning of period

$ 31.29

Income from Investment Operations

 

Net investment income (loss) D

  .32

Net realized and unrealized gain (loss)

  2.48 G

Total from investment operations

  2.80

Distributions from net investment income

  (1.02)

Redemption fees added to paid in capital D, J

  -

Net asset value, end of period

$ 33.07

Total Return B, C

  9.45%

Ratios to Average Net Assets E, I

 

Expenses before reductions

  .08% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  2.17% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 958,101

Portfolio turnover rate F

  9% K

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 The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

H For the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

I 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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

J Amount represents less than $.01 per share.

K Amount not annualized.

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

Annual Report

Notes to Financial Statements

For the period ended February 29, 2012

1. Organization.

Spartan Extended Market Index Fund and Spartan International Index Fund (the Funds) are funds of Fidelity Concord Street Trust (the Trust). 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 is authorized to issue an unlimited number of shares. In May 2011, the Board of Trustees of the Funds approved the creation of additional classes of shares. Spartan Extended Market Index Fund commenced sale of Fidelity Advantage Institutional Class shares on September 8, 2011. Spartan International Index Fund commenced sale of Institutional Class and Fidelity Advantage Institutional Class shares on September 8, 2011. Spartan Extended Market Index Fund offers Investor Class, Fidelity Advantage Class and Fidelity Advantage Institutional Class shares. Spartan International Index Fund offers Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class shares. Each class has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund offers conversion privileges between share classes within each Fund to eligible shareholders. 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 and certain class-level expense reductions.

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 do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of 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, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, 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:

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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The 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 February 29, 2012, 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

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.

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 corporate bonds and 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.

The U.S. dollar value of forward foreign currency contracts is determined using forward currency exchange rates supplied by a quotation service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

New Accounting Pronouncements. 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 is effective during interim and annual periods beginning after December 15, 2011 and will result in additional disclosure for transfers between levels as well as expanded disclosure for securities categorized as Level 3 under the fair value hierarchy.

In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

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 and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 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.

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of February 29, 2012, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on 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. In addition, the Funds claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in-kind, partnerships, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.

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

 

Tax cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation) on
securities and other
investments

Spartan Extended Market Index

$ 7,121,832,218

$ 1,751,238,775

$ (866,952,490)

$ 884,286,285

Spartan International Index

9,603,987,308

1,284,336,000

(2,046,581,665)

(762,245,665)

The tax-based components of distributable earnings as of period end were as follows for each Fund:

 

Undistributed
ordinary income

Undistributed
long-term
capital gain

Capital loss
carryforward

Net unrealized
appreciation
(depreciation)

Spartan Extended Market Index

$ 10,311,507

$ 63,619,263

$ -

$ 890,867,176

Spartan International Index

-

-

(440,578,408)

(759,125,412)

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

 

 

 

 

2017

 

2018

 

2019

Total with expiration

 

 

 

 

 

Spartan International Index

$ (119,933,607)

$ (148,608,684)

$ (49,793,394)

$ (318,335,685)

No expiration

 

 

 

 

 

 

Short-term

 

Long-term

Total no expiration

Total capital loss
carryforward

 

 

 

 

 

Spartan International Index

$ (16,915,714)

$ (105,327,009)

$ (122,242,723)

$ (440,578,408)

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax character of distributions paid was as follows:

February 29, 2012

 

 

 

 

Ordinary Income

Long-term Capital
Gains

Total

 

 

 

 

Spartan Extended Market Index

$ 83,031,372

$ 114,363,034

$ 197,394,406

Spartan International Index

288,056,212

-

288,056,212

February 28, 2011

 

 

 

 

Ordinary Income

Long-term Capital
Gains

Total

Spartan Extended Market Index

$ 87,345,465

$ 24,478,627

$ 111,824,092

Spartan International Index

219,629,911

-

219,629,911

Short-Term Trading (Redemption) Fees. Shares held by investors in the Funds less than 90 days are subject to a redemption fee equal to .75% and 1.00% of the net asset value of shares redeemed from Spartan Extended Market Index and Spartan International Index, respectively. 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.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts and forward foreign currency contracts, in order to meet their investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets 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 risks:

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Foreign Exchange Risk

Foreign exchange rate risk relates to the change in U.S. dollar value of securities denominated in other currencies due to changes in exchange rates.

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 close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit 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 Extended Market Index

 

 

Equity Risk

 

 

Futures Contracts

$ (7,401,865)

$ 1,985,687

Totals (a)(b)(c)

$ (7,401,865)

$ 1,985,687

Spartan International Index

 

 

Equity Risk

 

 

Futures Contracts

$ (17,685,134)

$ (1,385,997)

Foreign Exchange Risk

 

 

Forward Foreign Currency Contracts

9,153,957

(8,831,697)

Totals (a)(b)(c)

$ (8,531,177)

$ (10,217,694)

(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.

(b) Total derivatives net realized gain (loss) included in the Statement of Operations.

(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations.

Annual Report

4. Derivative Instruments - continued

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 and to fluctuations in currency values.

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. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Forward Foreign Currency Contracts. Forward foreign currency contracts (forward currency contracts) are customized transactions that require the exchange of currency at a specific exchange rate on an agreed upon future date. Spartan International Index Fund used forward currency contracts to facilitate transactions in foreign-denominated securities and manage the risk associated with fluctuations in foreign currency exchange rates.

Forward currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Realized gain or (loss) is recognized on settlement date. Purchases and sales of forward currency contracts having the same settlement date and broker are offset, and any realized gain or (loss) is recognized on the date of offset. Any unrealized appreciation or (depreciation) on offsetting contracts that settle after period end are reflected as a receivable or payable for closed forward currency contracts in the Statement of Assets and Liabilities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.

The U.S. dollar value of any open forward currency contracts at period end is shown in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." Forward currency contracts that have been offset with different counterparties are reflected as both a contract to buy and a contract to sell.

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 Extended Market Index

1,217,727,026

663,406,663

Spartan International Index

785,983,071

916,539,830

Spartan International Index Fund delivered securities through unaffiliated in-kind redemptions totaled $488,239,685. Realized gain of $172,438,715 on securities delivered through unaffiliated in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

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. During the period the Board of Trustees approved an amendment to the management contract, effective September 1, 2011, to reduce the management fee from an annual rate of .07% and .17% for Spartan Extended Market Index and Spartan International Index funds, respectively, to .06% of each Fund's average net assets. 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 an expense contract, 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 Extended Market Index

.10%

.07%

n/a

.07%

Spartan International Index

.20%

.17%

.095%

.075%

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.

Annual Report

Notes to Financial Statements - continued

6. Fees and Other Transactions with Affiliates - continued

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 of the Funds. FIIOC receives transfer agent fees at annual rates based on average net assets noted in the table below. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each class pays all or a portion of the transfer agent fees at an annual rate based on average net assets as noted in the following table:

Spartan Extended Market Index

Received by
FIIOC

Paid by
Class

Investor Class

.075%

.04%

Fidelity Advantage Class

.045%

.01%

Fidelity Advantage Institutional Class

.015%

.01%

 

 

 

Spartan International Index

 

 

Investor Class

.21%

.14%

Fidelity Advantage Class

.11%

.11%

Institutional Class

.035%

.035%

Fidelity Advantage Institutional Class

.015%

.015%

Prior to September 1, 2011, for Spartan Extended Market Index and Spartan International Index, FIIOC received transfer agent fees at an annual rate of .06% and .03% of average net assets for Investor and Fidelity Advantage Class, respectively. Under the expense contract, Investor Class paid transfer agent fees at an annual rate of .03% of average net assets, and Fidelity Advantage Class paid no transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

% of
Average
Net Assets

Spartan Extended Market Index

 

 

Investor Class

$ 1,443,137

.03

Fidelity Advantage Class

94,413

.01

Fidelity Advantage Institutional Class

5

.01

 

$ 1,537,555

 

Spartan International Index

 

 

Investor Class

$ 4,320,015

.08

Fidelity Advantage Class

1,416,743

.05

Institutional Class

58,652

.04

Fidelity Advantage Institutional Class

28,509

.02

 

$ 5,823,919

 

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:

 

Borrower or
Lender

Average
Loan Balance

Weighted Average
Interest Rate

Interest
Expense

Spartan Extended Market Index

Borrower

$ 7,551,000

.34%

$ 432

Redemptions In-Kind. During the period, 5,558,877 shares of Spartan International Index Fund held by affiliated entities were redeemed for cash and securities with a value of $206,623,465. The net realized gain (loss) of $105,326,578 on securities delivered through affiliated in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as Note 11: Shares Transactions. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay

Annual Report

7. Committed Line of Credit - continued

commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

Spartan Extended Market Index

$ 17,049

Spartan International Index

26,667

During the period, there were no borrowings on this line of credit.

8. Security Lending.

Certain Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds.

9. Expense Reductions.

FMR contractually agreed to reimburse certain classes 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 April 30, 2013. Prior to February 1, 2012, FMR voluntarily agreed to reimburse Spartan International Index to the extent annual operating expenses exceeded .10% and .07 % of average net assets for Investor Class and Fidelity Advantage Class, respectively. Some expenses, for example interest expense, including commitment fees, are excluded from these reimbursements. Total reimbursements are included in the following table:

 

Expense
Limitations

Reimbursement
from adviser

Effective Date

Spartan Extended Market Index

 

 

 

Fidelity Advantage Institutional Class

.06%

$ 6

September 8, 2011

Spartan International Index

 

 

 

Investor Class

.10%*

5,314,164

-

Fidelity Advantage Class

.12%

2,695,683

February 1, 2012

Institutional Class

.07%

49,196

September 8, 2011

Fidelity Advantage Institutional Class

.06%

35,820

September 8, 2011

* Effective February 1, 2012, the expense limitation was discontinued.

In addition, through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses as noted in the table below.

 

Management fee
reduction

 

 

Spartan Extended Market Index

$ 591

Spartan International Index

128

Annual Report

Notes to Financial Statements - continued

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Spartan Extended Market Index

 

 

From net investment income

 

 

Investor Class

$ 44,200,763

$ 35,864,371

Fidelity Advantage Class

25,213,023

12,335,221

Fidelity Advantage Institutional Class

1,161

-

Total

$ 69,414,947

$ 48,199,592

From net realized gain

 

 

Investor Class

$ 88,449,322

$ 47,790,092

Fidelity Advantage Class

39,529,035

15,834,408

Fidelity Advantage Institutional Class

1,102

-

Total

$ 127,979,459

$ 63,624,500

Spartan International Index

 

 

From net investment income

 

 

Investor Class

$ 148,424,687

$ 150,910,702

Fidelity Advantage Class

91,917,749

60,895,245

Institutional Class

20,201,408

-

Fidelity Advantage Institutional Class

22,266,285

-

Total

$ 282,810,129

$ 211,805,947

From net realized gain

 

 

Investor Class

$ 3,579,535

$ 5,595,578

Fidelity Advantage Class

1,666,548

2,228,386

Total

$ 5,246,083

$ 7,823,964

A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Spartan Extended Market Index

 

 

 

 

Investor Class

 

 

 

 

Shares sold

40,837,111

45,435,216

$ 1,555,171,539

$ 1,606,154,711

Reinvestment of distributions

3,525,601

2,250,162

129,930,899

82,020,497

Shares redeemed

(88,688,944)

(24,273,441)

(3,356,270,130)

(840,796,410)

Net increase (decrease)

(44,326,232)

23,411,937

$ (1,671,167,692)

$ 847,378,798

Fidelity Advantage Class

 

 

 

 

Shares sold

68,841,430

14,000,658

$ 2,626,867,824

$ 500,866,077

Reinvestment of distributions

1,645,712

688,240

59,386,217

25,096,206

Shares redeemed

(9,691,823)

(5,862,959)

(362,785,045)

(197,954,495)

Net increase (decrease)

60,795,319

8,825,939

$ 2,323,468,996

$ 328,007,788

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

2,884

-

$ 100,000

$ -

Reinvestment of distributions

66

-

2,263

-

Shares redeemed

-

-

-

-

Net increase (decrease)

2,950

-

$ 102,263

$ -

Spartan International Index

 

 

 

 

Investor Class

 

 

 

 

Shares sold

51,659,320

59,966,903

$ 1,725,521,597

$ 1,980,806,749

Reinvestment of distributions

4,931,710

4,401,698

146,703,273

152,236,260

Shares redeemed

(138,930,396) B

(51,367,429)

(4,508,596,328) B

(1,729,973,271)

Net increase (decrease)

(82,339,366)

13,001,172

$ (2,636,371,458)

$ 403,069,738

Annual Report

11. Share Transactions - continued

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Fidelity Advantage Class

 

 

 

 

Shares sold

50,383,664

25,911,385

$ 1,659,791,665

$ 881,763,381

Reinvestment of distributions

2,688,031

1,516,656

79,393,189

52,438,159

Shares redeemed

(30,064,805)

(13,921,933)

(976,577,403)

(460,625,377)

Net increase (decrease)

23,006,890

13,506,108

$ 762,607,451

$ 473,576,163

Institutional Class

 

 

 

 

Shares sold

26,471,830

-

$ 810,287,820

$ -

Reinvestment of distributions

700,632

-

20,199,209

-

Shares redeemed

(1,147,214)

-

(35,649,587)

-

Net increase (decrease)

26,025,248

-

$ 794,837,442

$ -

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

29,053,528

-

$ 879,203,212

$ -

Reinvestment of distributions

772,330

-

22,266,285

-

Shares redeemed

(853,278)

-

(26,687,381)

-

Net increase (decrease)

28,972,580

-

$ 874,782,116

$ -

A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

B Amount includes in-kind redemptions (see Note 6: Redemptions In-Kind).

12. 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.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund (funds of Fidelity Concord Street Trust) at February 29, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Concord Street Trust's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts
April 30, 2012

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for James C. Curvey, each of the Trustees oversees 226 funds advised by FMR or an affiliate. Mr. Curvey oversees 430 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

Experience, Skills, Attributes, and Qualifications of the Funds' Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the funds' Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Funds' Trustees."

Annual Report

The funds' Statement of Additional Information (SAIs) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupations and Other Relevant Experience+

James C. Curvey (76)

 

Year of Election or Appointment: 2007

Mr. Curvey is Trustee and Acting Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.

Ronald P. O'Hanley (55)

 

Year of Election or Appointment: 2011

Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for each fund.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupations and Other Relevant Experience+

Dennis J. Dirks (63)

 

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (58)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's, Inc. (restaurant and entertainment complexes, 2010-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2007-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).

Ned C. Lautenbach (68)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is also a member of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (1999-present); a member of the Board of Trustees of Fairfield University (2005-present); and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (67)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Robert W. Selander (61)

 

Year of Election or Appointment: 2011

Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (67)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Board of Directors of the Teagle Foundation (2009-present). Ms. Small is also a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. In addition, Ms. Small serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (72)

 

Year of Election or Appointment: 2001

Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of Univar (global distributor of commodity and specialty chemicals, 2010-present), a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment, 2005-present). Mr. Stavropoulos is a special advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (62)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (61)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for each fund.

Advisory Board Members and Executive Officers:

Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (81)

 

Year of Election or Appointment: 2011

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).

Peter S. Lynch (68)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Kenneth B. Robins (42)

 

Year of Election or Appointment: 2008

President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).

Bruce T. Herring (46)

 

Year of Election or Appointment: 2006

Vice President of certain Equity Funds. Mr. Herring also serves as President of Fidelity Research & Analysis Company (2010-present), Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investment Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.

Brian B. Hogan (47)

 

Year of Election or Appointment: 2009

Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Scott C. Goebel (44)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

William C. Coffey (43)

 

Year of Election or Appointment: 2009

Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Holly C. Laurent (57)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (53)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).

Joseph A. Hanlon (43)

 

Year of Election or Appointment: 2012

Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Hanlon serves as Senior Vice President of the Fidelity Asset Management Division (2009-present) and is an employee of Fidelity Investments.

Joseph F. Zambello (54)

 

Year of Election or Appointment: 2011

Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).

Adrien E. Deberghes (44)

 

Year of Election or Appointment: 2008

Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President (2011-present) and Assistant Treasurer (2010-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (42)

 

Year of Election or Appointment: 2010

Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

John R. Hebble (53)

 

Year of Election or Appointment: 2009

Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.

Gary W. Ryan (53)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

Jonathan Davis (43)

 

Year of Election or Appointment: 2010

Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities and dividends derived from net investment income:

 

Pay Date

Record Date

Dividends

Capital Gains

Spartan Total Market Index Fund

 

 

 

 

Institutional Class

04/16/12

04/13/12

$0.12335

$0.000

Fidelity Advantage Institutional Class

04/16/12

04/13/12

$0.12653

$0.000

Spartan Extended Market Index Fund

 

 

 

 

Fidelity Advantage Institutional Class

04/16/12

04/13/12

$0.07044

$0.382

Spartan International Index Fund

 

 

 

 

Institutional Class

04/16/12

04/13/12

$0.00000

$0.000

Fidelity Advantage Institutional Class

04/16/12

04/13/12

$0.00000

$0.000

The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended February 29, 2012, or, if subsequently determined to be different, the net capital gain of such year.

Spartan Extended Market Index Fund

$125,144,109

A percentage of the dividends distributed during the fiscal year for the following funds qualify for the dividends-received deduction for corporate shareholders:

 

December 2011

Spartan Total Market Index Fund

 

Institutional Class

98%

Fidelity Advantage Institutional Class

98%

Spartan Extended Market Index Fund

 

Fidelity Advantage Institutional Class

60%

A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 

December 2011

Spartan Total Market Index Fund

 

Institutional Class

100%

Fidelity Advantage Institutional Class

100%

Spartan Extended Market Index Fund

 

Fidelity Advantage Institutional Class

69%

Spartan International Index Fund

 

Institutional Class

98%

Fidelity Advantage Institutional Class

98%

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:

 

Pay Date

Income

Taxes

Spartan International Index Fund

 

 

 

Institutional Class

12/19/11

$0.567

$0.0824

Fidelity Advantage Institutional Class

12/19/11

$0.568

$0.0824

The funds will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.

Annual Report

Investment Adviser

Fidelity Management & Research Company
Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.
Boston, MA 

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon
New York, NY

SIF-I-UANNPRO-0412
1.938970.100

con75

Spartan® Total Market Index
Fund
Class F

Annual Report

(Fidelity Cover Art)

February 29, 2012

Contents

Performance

(Click Here)

How the fund has done over time.

Management's Discussion of Fund Performance

(Click Here)

The Portfolio Manager's review of fund performance and strategy.

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

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

Investments

(Click Here)

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

Financial Statements

(Click Here)

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

Notes

(Click Here)

Notes to the financial statements.

Report of Independent Registered Public Accounting Firm

(Click Here)

 

Trustees and Officers

(Click Here)

 

Distributions

(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.

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 fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 29, 2012

Past 1
year

Past 5
years

Past 10
years

Class F A

4.51%

1.99%

5.07%

A The initial offering of Class F took place on September 24, 2009. Returns prior to September 24, 2009, are those of Investor Class, the original class of the fund.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Spartan® Total Market Index Fund - Class F on February 28, 2002. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market IndexSM performed over the same period. The initial offering of Class F took place on September 24, 2009. See above for additional information regarding the performance of Class F.

con140

Annual Report

Management's Discussion of Fund Performance

Market Recap: U.S. stocks rose for the 12 months ending February 29, 2012, as encouraging economic news sparked a strong late-period rally that lifted major equity benchmarks past a number of significant milestones. Stocks recovered from early-period uncertainty that followed the March 2011 earthquake, tsunami and nuclear meltdown in Japan, but plummeted during the summer amid Europe's debt woes and a historic U.S. credit-rating downgrade. Despite continued volatility and mixed economic news, markets began to recover in early October. Investors gravitated toward defensive sectors and the perceived safety of larger, more-established and dividend-paying names, helping the Dow Jones® Industrial Average advance 8.83%, and close above the psychologically important 13,000 mark in late February - for the first time since May 2008. The rally accelerated late in the period and the market broadened, as investor confidence improved amid encouraging manufacturing, housing and employment data, and signs of progress in Europe. For the year, the S&P 500® Index added 5.12%, closing near a four-year high on the period's second-to-last day. The technology-laden Nasdaq Composite® Index added 7.73%, flirting with the 3,000 mark, its highest level in 12 years. Foreign developed-markets stocks reeled over Europe's turmoil, and the MSCI® EAFE® (Europe, Australasia, Far East) Index fell 7.35%.

Comments from James Francis, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team for Spartan® Total Market Index Fund: For the year ending February 29, 2012, the fund's Class F shares returned 4.51%, in line with the 4.53% return of the benchmark Dow Jones U.S. Total Stock Market IndexSM. Several of the fund's leading contributors were technology stocks. Topping the list was Apple, the second-largest stock in the index, whose shares gained approximately 54% during the past 12 months. This consumer products and personal computer manufacturer enjoyed very strong sales, especially of its popular iPad® tablet computers and iPhone® mobile telephones. Computer-services company International Business Machines, the third-largest stock in the index, also added value, as its shares trended upward throughout most of the reporting period. Software giant Microsoft and semiconductor manufacturer Intel enjoyed good results, with Intel benefiting from strong product demand that spurred better-than-expected sales growth. Elsewhere, tobacco manufacturer Philip Morris International and restaurant giant McDonald's performed well among consumer staples stocks, while in health care, drugmakers Merck and Pfizer contributed. Telecommunication services provider AT&T and credit card processing company Visa also added to returns. Unsurprisingly, given the tremendous market volatility of the past year, many financials stocks topped the list of detractors. The biggest laggard was diversified financials company Bank of America, whose shares declined 44% during the 12-month period. Other diversified financials firms also saw double-digit drops in their stock price, including Citigroup, JPMorgan Chase, Goldman Sachs Group and Morgan Stanley, while insurance-focused conglomerate Berkshire Hathaway also lagged. Meanwhile, in the information technology sector, computer and peripherals company Hewlett-Packard had a difficult year. Among its challenges was the company's announcement in August of plans to exit the personal computer business - a decision it rescinded a few months later. Investors appeared to have little confidence in this strategy, causing the stock to lose 20% of its value in a single day - the biggest one-day decline for the company since October 1987. Other notable detractors included Schlumberger, an oil-field services company, and Corning, a leading maker of specialty glass and ceramics.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Total Market Index Fund

Shareholder Expense Example

As a shareholder of the 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 Fund 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 1, 2011 to February 29, 2012) for Investor Class, Fidelity Advantage Class and Class F and for the entire period (September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class. The hypothetical expense example is based on an investment of $1,000 invested for the one-half year period (September 1, 2011 to February 29, 2012).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Annualized
Expense Ratio

Beginning
Account Value

Ending
Account Value
February 29, 2012

Expenses Paid
During Period

Investor Class

.100%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.20

$ .53 B

HypotheticalA

 

$ 1,000.00

$ 1,024.37

$ .50 C

Fidelity Advantage Class

.070%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .37 B

HypotheticalA

 

$ 1,000.00

$ 1,024.52

$ .35 C

Institutional Class

.060%

 

 

 

Actual

 

$ 1,000.00

$ 1,164.90

$ .31 B

HypotheticalA

 

$ 1,000.00

$ 1,024.57

$ .30 C

Fidelity Advantage Institutional Class

.045%

 

 

 

Actual

 

$ 1,000.00

$ 1,165.00

$ .23 B

HypotheticalA

 

$ 1,000.00

$ 1,023.69

$ .23 C

Class F

.050%

 

 

 

Actual

 

$ 1,000.00

$ 1,132.70

$ .27 B

HypotheticalA

 

$ 1,000.00

$ 1,024.61

$ .25 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 182/366 (to reflect the one-half year period) for Investor Class, Fidelity Advantage Class and Class F and multiplied by 175/366 (to reflect the period September 8, 2011 to February 29, 2012) for Institutional Class and Fidelity Advantage Institutional Class.

C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

Annual Report

Spartan Total Market Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

3.3

2.6

Exxon Mobil Corp.

2.7

2.6

Microsoft Corp.

1.6

1.5

IBM Corp.

1.5

1.5

Chevron Corp.

1.4

1.4

General Electric Co.

1.3

1.3

Procter & Gamble Co.

1.2

1.3

AT&T, Inc.

1.2

1.2

Johnson & Johnson

1.2

1.3

Pfizer, Inc.

1.1

1.1

 

16.5

Market Sectors as of February 29, 2012

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

19.2

17.9

Financials

15.2

15.1

Consumer Discretionary

11.8

11.4

Health Care

11.3

11.7

Energy

11.1

11.3

Industrials

11.0

10.7

Consumer Staples

9.3

9.7

Materials

4.0

4.2

Utilities

3.4

3.7

Telecommunication Services

2.5

2.8

Annual Report

Spartan Total Market Index Fund

Investments February 29, 2012

Showing Percentage of Net Assets

Common Stocks - 98.8%

Shares

Value

CONSUMER DISCRETIONARY - 11.8%

Auto Components - 0.4%

American Axle & Manufacturing Holdings, Inc. (a)(d)

49,377

$ 562,404

Amerigon, Inc. (a)(d)

16,405

241,482

BorgWarner, Inc. (a)(d)

82,983

6,874,312

Cooper Tire & Rubber Co.

41,865

694,959

Dana Holding Corp.

106,956

1,711,296

Dorman Products, Inc. (a)

7,023

318,914

Drew Industries, Inc. (a)(d)

13,918

381,353

Exide Technologies (a)(d)

48,227

143,234

Federal-Mogul Corp. Class A (a)

43,356

746,157

Fuel Systems Solutions, Inc. (a)

11,625

301,088

Gentex Corp. (d)

109,863

2,598,260

Johnson Controls, Inc.

551,254

17,987,418

Lear Corp.

77,108

3,486,053

Modine Manufacturing Co. (a)

32,309

293,366

Motorcar Parts of America, Inc. (a)

7,628

62,931

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

7,089

6,557

Spartan Motors, Inc.

29,995

171,271

Standard Motor Products, Inc.

17,952

407,869

Stoneridge, Inc. (a)

17,302

167,310

Strattec Security Corp.

672

15,301

Superior Industries International, Inc. (d)

24,943

450,969

Tenneco, Inc. (a)(d)

43,438

1,672,363

The Goodyear Tire & Rubber Co. (a)

174,336

2,241,961

Tower International, Inc. (a)

4,070

51,852

TRW Automotive Holdings Corp. (a)(d)

77,357

3,538,309

UQM Technologies, Inc. (a)(d)

14,381

23,010

Visteon Corp. (a)

38,157

2,049,794

 

47,199,793

Automobiles - 0.5%

Ford Motor Co.

3,061,154

37,897,087

General Motors Co. (a)(d)

502,574

13,076,975

Harley-Davidson, Inc.

177,195

8,253,743

Tesla Motors, Inc. (a)(d)

44,292

1,479,796

Thor Industries, Inc. (d)

34,954

1,138,452

Winnebago Industries, Inc. (a)(d)

22,867

203,974

 

62,050,027

Distributors - 0.1%

Core-Mark Holding Co., Inc.

6,212

248,977

Genuine Parts Co.

141,853

8,891,346

LKQ Corp. (a)

107,839

3,435,751

Pool Corp. (d)

41,433

1,508,161

VOXX International Corp. (a)

18,073

231,154

Weyco Group, Inc.

1,992

46,493

 

14,361,882

Diversified Consumer Services - 0.3%

American Public Education, Inc. (a)(d)

16,975

664,741

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

108,948

4,645,543

Archipelago Learning, Inc. (a)

7,369

67,353

 

Shares

Value

Ascent Capital Group, Inc. (a)(d)

15,290

$ 752,880

Bridgepoint Education, Inc. (a)(d)

10,994

267,814

Capella Education Co. (a)(d)

13,090

507,892

Career Education Corp. (a)

44,821

386,357

Carriage Services, Inc.

4,102

24,571

Coinstar, Inc. (a)(d)

21,619

1,258,874

Collectors Universe, Inc.

4,772

72,773

Corinthian Colleges, Inc. (a)(d)

84,173

377,937

DeVry, Inc.

44,629

1,585,668

Education Management Corp. (a)

26,671

481,945

Grand Canyon Education, Inc. (a)

21,711

371,475

H&R Block, Inc.

266,520

4,344,276

Hillenbrand, Inc.

60,464

1,388,858

ITT Educational Services, Inc. (a)(d)

23,503

1,613,246

K12, Inc. (a)(d)

24,400

526,064

Learning Tree International, Inc. (a)

3,285

19,020

Lincoln Educational Services Corp.

15,671

132,577

Mac-Gray Corp.

7,087

98,793

Matthews International Corp. Class A

22,471

697,050

National American University Holdings, Inc.

5,378

37,162

Princeton Review, Inc. (a)

14,908

1,643

Regis Corp.

37,626

651,306

School Specialty, Inc. (a)(d)

13,358

42,746

Service Corp. International (d)

202,046

2,291,202

Sotheby's Class A (Ltd. vtg.) (d)

59,342

2,334,514

Steiner Leisure Ltd. (a)

10,649

532,876

Stewart Enterprises, Inc. Class A

55,722

346,591

Strayer Education, Inc. (d)

14,558

1,497,945

Universal Technical Institute, Inc.

29,419

382,153

Weight Watchers International, Inc.

25,755

2,008,375

 

30,412,220

Hotels, Restaurants & Leisure - 2.2%

AFC Enterprises, Inc. (a)

18,286

292,393

Ambassadors Group, Inc.

20,059

105,711

Ameristar Casinos, Inc.

18,903

375,036

Bally Technologies, Inc. (a)

38,305

1,644,817

Benihana, Inc.

2,149

22,328

Biglari Holdings, Inc. (a)

607

249,180

BJ's Restaurants, Inc. (a)(d)

21,746

1,079,689

Bluegreen Corp. (a)

11,189

35,133

Bob Evans Farms, Inc.

27,901

1,026,757

Boyd Gaming Corp. (a)(d)

49,786

398,786

Bravo Brio Restaurant Group, Inc. (a)

12,451

240,055

Brinker International, Inc.

62,217

1,716,567

Buffalo Wild Wings, Inc. (a)(d)

13,815

1,194,859

Caesars Entertainment Corp.

1,145

12,961

Caribou Coffee Co., Inc. (a)(d)

18,083

299,816

Carnival Corp. unit

312,157

9,455,236

Carrols Restaurant Group, Inc. (a)

6,381

75,806

CEC Entertainment, Inc. (d)

20,553

784,302

Chipotle Mexican Grill, Inc. (a)(d)

25,363

9,897,150

Choice Hotels International, Inc. (d)

41,734

1,567,946

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Churchill Downs, Inc.

10,397

$ 542,723

Cracker Barrel Old Country Store, Inc. (d)

18,601

1,035,518

Darden Restaurants, Inc. (d)

97,411

4,966,987

Denny's Corp. (a)(d)

71,197

295,468

DineEquity, Inc. (a)

12,829

684,812

Domino's Pizza, Inc. (a)(d)

54,176

2,083,609

Dover Downs Gaming & Entertainment, Inc.

1,508

3,619

Dover Motorsports, Inc. (a)

9,993

13,191

Dunkin' Brands Group, Inc. (a)

38,382

1,114,613

Einstein Noah Restaurant Group, Inc.

3,797

53,272

Empire Resorts, Inc. (a)

4,429

12,933

Famous Dave's of America, Inc. (a)

2,311

25,236

Gaylord Entertainment Co. (a)(d)

27,271

811,585

Great Wolf Resorts, Inc. (a)

11,425

46,271

Hyatt Hotels Corp. Class A (a)

51,855

2,147,316

International Game Technology

238,801

3,586,791

International Speedway Corp. Class A (d)

20,854

524,687

Interval Leisure Group, Inc. (a)

29,497

397,915

Isle of Capri Casinos, Inc. (a)(d)

20,657

131,172

Jack in the Box, Inc. (a)(d)

42,139

1,005,015

Jamba, Inc. (a)(d)

95,683

202,848

Kona Grill, Inc. (a)

4,029

21,676

Krispy Kreme Doughnuts, Inc. (a)(d)

47,141

385,613

Lakes Entertainment, Inc. (a)

2,872

5,629

Las Vegas Sands Corp.

300,298

16,699,572

Life Time Fitness, Inc. (a)(d)

28,392

1,404,552

Luby's, Inc. (a)(d)

14,614

72,485

Marcus Corp.

22,859

275,451

Marriott International, Inc. Class A (d)

237,684

8,385,492

Marriott Vacations Worldwide Corp.

23,385

582,988

McDonald's Corp.

826,668

82,071,599

MGM Mirage, Inc. (a)(d)

250,383

3,447,774

Monarch Casino & Resort, Inc. (a)

4,802

50,325

Morgans Hotel Group Co. (a)

27,678

141,988

MTR Gaming Group, Inc. (a)

5,748

20,635

Multimedia Games Holdng Co., Inc. (a)

20,726

212,027

O'Charleys, Inc. (a)(d)

10,158

100,666

Orient Express Hotels Ltd. Class A (a)(d)

63,690

629,894

P.F. Chang's China Bistro, Inc. (d)

18,729

717,695

Panera Bread Co. Class A (a)

26,570

4,107,191

Papa John's International, Inc. (a)(d)

19,260

715,702

Peet's Coffee & Tea, Inc. (a)(d)

15,145

975,187

Penn National Gaming, Inc. (a)

50,336

2,141,797

Pinnacle Entertainment, Inc. (a)

61,922

681,761

Premier Exhibitions, Inc. (a)

1,375

3,369

Red Lion Hotels Corp. (a)

3,129

24,062

Red Robin Gourmet Burgers, Inc. (a)(d)

21,139

727,393

Rick's Cabaret International, Inc. (a)

5,726

53,824

Royal Caribbean Cruises Ltd.

102,343

2,915,752

 

Shares

Value

Ruby Tuesday, Inc. (a)(d)

44,363

$ 345,144

Ruth's Hospitality Group, Inc. (a)(d)

33,916

211,297

Scientific Games Corp. Class A (a)

45,645

479,729

Shuffle Master, Inc. (a)

42,130

615,098

Six Flags Entertainment Corp.

40,264

1,822,349

Sonic Corp. (a)

98,965

817,451

Speedway Motorsports, Inc.

7,569

117,471

Starbucks Corp.

593,530

28,821,817

Starwood Hotels & Resorts Worldwide, Inc.

164,349

8,858,411

Texas Roadhouse, Inc. Class A

57,171

956,471

The Cheesecake Factory, Inc. (a)(d)

34,878

1,033,784

Town Sports International Holdings, Inc. (a)

13,107

135,002

Vail Resorts, Inc. (d)

24,951

1,050,437

Wendy's Co.

250,660

1,270,846

WMS Industries, Inc. (a)

38,370

845,291

Wyndham Worldwide Corp.

137,748

6,059,535

Wynn Resorts Ltd.

66,112

7,836,916

Yum! Brands, Inc.

377,002

24,972,612

 

263,981,869

Household Durables - 0.4%

American Greetings Corp. Class A (d)

30,155

452,325

Bassett Furniture Industries, Inc.

1,847

15,330

Beazer Homes USA, Inc. (a)(d)

77,365

241,379

Blyth, Inc. (d)

8,019

511,612

Brookfield Residential Properties, Inc. (a)

18,869

196,765

Cavco Industries, Inc. (a)(d)

9,813

442,468

Cobra Electronics Corp. (a)

1,032

4,541

CSS Industries, Inc.

12,944

253,702

D.R. Horton, Inc.

195,548

2,804,158

Dixie Group, Inc. (a)

2,977

12,742

Emerson Radio Corp. (a)

23,724

48,160

Ethan Allen Interiors, Inc.

19,507

492,552

Flexsteel Industries, Inc.

2,547

43,554

Furniture Brands International, Inc. (a)

37,283

59,653

Garmin Ltd.

86,587

4,086,041

Harman International Industries, Inc.

71,938

3,534,314

Helen of Troy Ltd. (a)(d)

25,644

833,430

Hooker Furniture Corp.

12,895

154,869

Hovnanian Enterprises, Inc. Class A (a)(d)

261,523

724,419

iRobot Corp. (a)

21,633

552,074

Jarden Corp. (d)

66,002

2,327,891

KB Home (d)

56,985

650,769

Kid Brands, Inc. (a)

16,651

49,786

Koss Corp.

2,669

14,866

La-Z-Boy, Inc. (a)(d)

34,909

498,850

Leggett & Platt, Inc.

100,406

2,272,188

Lennar Corp. Class A (d)

117,519

2,747,594

Libbey, Inc. (a)(d)

16,641

208,845

Lifetime Brands, Inc.

2,385

27,857

M.D.C. Holdings, Inc.

25,191

619,195

M/I Homes, Inc. (a)(d)

24,871

301,188

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Meritage Homes Corp. (a)(d)

26,992

$ 698,823

Mohawk Industries, Inc. (a)

39,595

2,514,678

Newell Rubbermaid, Inc.

216,340

3,959,022

NVR, Inc. (a)(d)

4,152

2,873,184

PulteGroup, Inc. (a)(d)

265,604

2,342,627

Ryland Group, Inc.

32,303

585,653

Sealy Corp., Inc. (a)(d)

37,146

63,891

Skullcandy, Inc. (a)(d)

12,653

178,660

Skyline Corp. (d)

21,741

175,015

Standard Pacific Corp. (a)(d)

98,412

431,045

Stanley Furniture Co., Inc. (a)

5,699

19,263

Tempur-Pedic International, Inc. (a)(d)

57,648

4,554,192

Toll Brothers, Inc. (a)(d)

105,058

2,464,661

Tupperware Brands Corp.

43,005

2,695,983

Universal Electronics, Inc. (a)(d)

14,332

280,334

Whirlpool Corp.

56,428

4,264,264

Zagg, Inc. (a)(d)

21,268

223,314

 

53,507,726

Internet & Catalog Retail - 0.8%

1-800-FLOWERS.com, Inc. Class A (a)

24,206

66,082

Amazon.com, Inc. (a)(d)

282,977

50,848,137

Blue Nile, Inc. (a)(d)

11,337

404,164

dELiA*s, Inc. (a)

2,977

3,156

Expedia, Inc.

75,256

2,562,467

Gaiam, Inc. Class A (a)

12,609

45,645

Geeknet, Inc. (a)

1,180

17,122

Groupon, Inc. Class A (a)(d)

27,415

540,487

Hollywood Media Corp. (a)

1,032

1,146

HomeAway, Inc. (d)

22,951

607,742

HSN, Inc.

29,532

1,097,409

Liberty Media Corp. Interactive Series A (a)

513,952

9,641,740

Netflix, Inc. (a)

39,072

4,326,443

NutriSystem, Inc.

26,922

303,411

Orbitz Worldwide, Inc. (a)

31,286

112,317

Overstock.com, Inc. (a)(d)

14,467

92,010

PetMed Express, Inc.

32,292

393,317

Priceline.com, Inc. (a)

41,099

25,769,895

Shutterfly, Inc. (a)(d)

21,444

586,708

TripAdvisor, Inc. (a)

75,256

2,425,501

U.S. Auto Parts Network, Inc. (a)

5,048

24,483

ValueVision Media, Inc. Class A (a)

18,644

32,068

Vitacost.com, Inc. (a)

15,384

125,072

 

100,026,522

Leisure Equipment & Products - 0.2%

Arctic Cat, Inc. (a)

18,718

688,448

Black Diamond, Inc. (a)

20,004

165,633

Brunswick Corp. (d)

68,451

1,636,663

Callaway Golf Co.

77,147

505,313

Hasbro, Inc.

86,466

3,053,979

 

Shares

Value

JAKKS Pacific, Inc.

23,770

$ 369,148

Johnson Outdoors, Inc. Class A (a)

3,505

57,622

Leapfrog Enterprises, Inc. Class A (a)

33,741

237,199

Marine Products Corp.

11,741

73,029

Mattel, Inc.

298,569

9,685,578

Meade Instruments Corp. (a)

112

371

Nautilus, Inc. (a)

5,159

14,342

Polaris Industries, Inc.

56,100

3,705,966

Smith & Wesson Holding Corp. (a)

91,237

477,170

Steinway Musical Instruments, Inc. (a)

4,620

115,315

Sturm, Ruger & Co., Inc.

24,417

1,020,142

Summer Infant, Inc. (a)

32,605

195,304

 

22,001,222

Media - 3.1%

A.H. Belo Corp. Class A

22,177

104,675

AMC Networks, Inc. Class A

47,269

2,145,540

Arbitron, Inc. (d)

18,967

634,256

Ballantyne of Omaha, Inc. (a)

17,964

88,203

Belo Corp. Series A (d)

87,121

624,658

Cablevision Systems Corp. - NY Group Class A

169,025

2,405,226

Carmike Cinemas, Inc. (a)(d)

21,753

163,800

CBS Corp. Class B

537,459

16,070,024

Charter Communications, Inc. Class A (a)

31,792

2,015,931

Cinemark Holdings, Inc.

62,073

1,298,567

Clear Channel Outdoor Holding, Inc. Class A

41,131

544,163

Comcast Corp. Class A

2,191,483

64,385,771

Crown Media Holdings, Inc. Class A (a)(d)

24,979

31,973

Cumulus Media, Inc. Class A (a)(d)

68,791

236,641

Dex One Corp. (a)

48,569

84,996

Digital Generation, Inc. (a)(d)

26,444

264,440

DIRECTV (a)

602,724

27,918,176

Discovery Communications, Inc. (a)(d)

207,237

9,667,606

DISH Network Corp. Class A

161,315

4,705,559

DreamWorks Animation SKG, Inc. Class A (a)(d)

47,533

820,420

E.W. Scripps Co. Class A (a)

24,274

231,088

Emmis Communications Corp. Class A (a)

7,973

5,820

Entercom Communications Corp. Class A (a)

21,235

148,645

Entravision Communication Corp. Class A

55,710

92,479

Fisher Communications, Inc. (a)

2,670

76,549

Gannett Co., Inc.

170,648

2,532,416

Gray Television, Inc. (a)

7,475

15,399

Harris Interactive, Inc. (a)

5,389

4,688

Harte-Hanks, Inc.

45,482

397,513

Insignia Systems, Inc.

5,038

10,781

Interpublic Group of Companies, Inc.

356,851

4,182,294

John Wiley & Sons, Inc. Class A

36,984

1,679,074

Journal Communications, Inc. Class A (a)

19,668

93,423

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Knology, Inc. (a)

52,466

$ 935,469

Lamar Advertising Co. Class A (a)(d)

40,510

1,324,677

Liberty Global, Inc. Class A (a)

225,788

11,330,042

Liberty Media Corp. Capital Series A (a)

90,172

8,105,561

LIN TV Corp. Class A (a)

36,007

148,349

Live Nation Entertainment, Inc. (a)(d)

134,515

1,253,680

LodgeNet Entertainment Corp. (a)(d)

35,253

120,213

Madison Square Garden Co. Class A (a)

41,476

1,321,011

Martha Stewart Living Omnimedia, Inc. Class A

39,255

176,648

McGraw-Hill Companies, Inc.

231,759

10,786,064

Media General, Inc. Class A (a)(d)

21,745

122,859

Meredith Corp. (d)

29,133

958,476

Morningstar, Inc.

20,110

1,203,986

National CineMedia, Inc.

40,280

640,855

Navarre Corp. (a)

5,954

10,122

New Frontier Media, Inc. (a)

5,133

6,314

News Corp. Class A

1,849,783

36,755,188

Nexstar Broadcasting Group, Inc. Class A (a)

2,664

21,978

Omnicom Group, Inc.

236,408

11,688,012

Outdoor Channel Holdings, Inc.

3,578

25,225

Pandora Media, Inc.

47,948

626,201

Radio One, Inc. Class D (non-vtg.) (a)(d)

32,336

31,043

ReachLocal, Inc. (a)

5,194

40,513

Regal Entertainment Group Class A

55,158

762,284

Rentrak Corp. (a)(d)

4,521

93,946

Saga Communications, Inc. Class A (a)

201

7,542

Salem Communications Corp. Class A (a)

1,732

4,555

Scholastic Corp.

17,229

526,691

Scripps Networks Interactive, Inc. Class A

65,856

2,976,691

Sinclair Broadcast Group, Inc. Class A

37,417

427,302

Sirius XM Radio, Inc. (a)(d)

2,910,962

6,578,774

Spanish Broadcasting System, Inc. Class A (a)

698

3,043

SuperMedia, Inc. (a)(d)

19,383

55,242

The McClatchy Co. Class A (a)(d)

36,929

93,800

The New York Times Co. Class A (a)(d)

86,508

570,088

The Walt Disney Co.

1,395,945

58,615,731

Time Warner Cable, Inc.

256,081

20,317,467

Time Warner, Inc.

813,203

30,259,284

Valassis Communications, Inc. (a)(d)

33,863

845,898

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

439,392

20,923,847

Virgin Media, Inc.

250,243

6,306,124

Washington Post Co. Class B (d)

3,668

1,444,825

World Wrestling Entertainment, Inc. Class A (d)

44,310

404,993

 

382,531,407

Multiline Retail - 0.7%

Big Lots, Inc. (a)

53,063

2,326,813

Dillard's, Inc. Class A

32,687

1,998,483

 

Shares

Value

Dollar General Corp. (a)

100,000

$ 4,206,000

Dollar Tree, Inc. (a)

104,600

9,258,146

Family Dollar Stores, Inc.

93,448

5,045,258

Fred's, Inc. Class A

41,012

568,016

Gordmans Stores, Inc. (a)

4,621

70,101

JCPenney Co., Inc. (d)

118,147

4,678,621

Kohl's Corp.

200,742

9,972,863

Macy's, Inc.

332,684

12,632,011

Nordstrom, Inc.

125,044

6,704,859

Saks, Inc. (a)(d)

100,086

1,166,002

Sears Holdings Corp. (a)(d)

33,101

2,305,816

Target Corp.

493,763

27,991,424

The Bon-Ton Stores, Inc. (d)

35,903

172,334

Tuesday Morning Corp. (a)

26,882

92,205

 

89,188,952

Specialty Retail - 2.3%

Aarons, Inc. Class A

52,315

1,461,681

Abercrombie & Fitch Co. Class A (d)

65,044

2,978,365

Advance Auto Parts, Inc. (d)

56,386

4,813,673

Aeropostale, Inc. (a)(d)

64,770

1,163,917

America's Car Mart, Inc. (a)(d)

10,422

464,925

American Eagle Outfitters, Inc.

147,326

2,142,120

ANN, Inc. (a)

46,918

1,120,871

Asbury Automotive Group, Inc. (a)(d)

22,455

582,258

Ascena Retail Group, Inc. (a)

45,390

1,752,054

AutoNation, Inc. (a)(d)

41,064

1,399,461

AutoZone, Inc. (a)

25,418

9,518,533

Barnes & Noble, Inc. (a)(d)

28,244

375,928

bebe Stores, Inc.

66,951

599,881

Bed Bath & Beyond, Inc. (a)(d)

191,161

11,419,958

Best Buy Co., Inc. (d)

235,305

5,812,034

Big 5 Sporting Goods Corp.

16,237

126,486

Body Central Corp. (a)

19,422

540,708

Books-A-Million, Inc. (d)

4,414

11,565

Brown Shoe Co., Inc.

39,452

425,293

Build-A-Bear Workshop, Inc. (a)

4,049

22,067

Cabela's, Inc. Class A (a)(d)

35,549

1,261,279

Cache, Inc. (a)

2,880

17,942

CarMax, Inc. (a)(d)

168,519

5,171,848

Casual Male Retail Group, Inc. (a)(d)

14,093

44,393

Charming Shoppes, Inc. (a)(d)

68,622

387,714

Chico's FAS, Inc.

126,827

1,903,673

Christopher & Banks Corp.

18,173

38,890

Citi Trends, Inc. (a)(d)

14,433

156,454

Coldwater Creek, Inc. (a)

52,942

49,765

Collective Brands, Inc. (a)

44,911

809,296

Conn's, Inc. (a)

7,800

103,428

Cost Plus, Inc. (a)(d)

9,618

126,381

Destination Maternity Corp.

9,860

177,283

Dick's Sporting Goods, Inc. (d)

70,000

3,133,200

DSW, Inc. Class A (d)

21,867

1,233,299

Express, Inc. (a)

55,952

1,331,658

Finish Line, Inc. Class A

36,835

846,837

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Foot Locker, Inc. (d)

110,785

$ 3,231,598

Francescas Holdings Corp. (a)

17,371

398,664

GameStop Corp. Class A (d)

106,346

2,422,562

Gap, Inc. (d)

219,692

5,132,005

Genesco, Inc. (a)(d)

19,944

1,358,984

GNC Holdings, Inc.

32,604

1,055,391

Group 1 Automotive, Inc.

17,193

886,643

Guess?, Inc. (d)

45,871

1,589,430

Haverty Furniture Companies, Inc.

22,550

248,050

hhgregg, Inc. (a)(d)

15,184

173,553

Hibbett Sports, Inc. (a)(d)

22,731

1,112,682

Home Depot, Inc.

1,241,845

59,074,567

Hot Topic, Inc. (d)

51,429

458,747

Jos. A. Bank Clothiers, Inc. (a)(d)

18,868

971,513

Kirkland's, Inc. (a)

10,699

170,649

Limited Brands, Inc.

212,274

9,877,109

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

20,666

487,924

Lowe's Companies, Inc.

1,010,000

28,663,800

Lumber Liquidators Holdings, Inc. (a)(d)

21,619

473,240

MarineMax, Inc. (a)(d)

10,125

81,810

Midas, Inc. (a)

17,343

158,342

Monro Muffler Brake, Inc.

28,456

1,305,277

New York & Co., Inc. (a)

19,427

50,704

O'Reilly Automotive, Inc. (a)

100,461

8,689,877

Office Depot, Inc. (a)(d)

201,295

664,274

OfficeMax, Inc. (a)(d)

62,318

348,981

Pacific Sunwear of California, Inc. (a)(d)

60,120

126,252

Penske Automotive Group, Inc. (d)

33,321

802,370

Perfumania Holdings, Inc. (a)

876

8,769

PetSmart, Inc. (d)

105,988

5,907,771

Pier 1 Imports, Inc. (a)(d)

84,654

1,453,509

RadioShack Corp.

82,121

582,238

Rent-A-Center, Inc. (d)

45,857

1,624,255

Ross Stores, Inc.

181,478

9,678,222

rue21, Inc. (a)

10,092

269,255

Sally Beauty Holdings, Inc. (a)

112,253

2,671,621

Select Comfort Corp. (a)(d)

50,428

1,492,165

Shoe Carnival, Inc. (a)

3,572

93,515

Signet Jewelers Ltd.

64,202

3,011,074

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

32,657

559,414

Stage Stores, Inc.

23,252

347,617

Staples, Inc. (d)

578,690

8,483,595

Stein Mart, Inc. (a)

16,975

121,711

Systemax, Inc. (a)(d)

6,560

126,608

Talbots, Inc. (a)

34,649

102,561

Teavana Holdings, Inc. (a)(d)

5,562

130,429

The Buckle, Inc.

18,518

831,829

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

30,985

840,003

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

18,479

937,809

 

Shares

Value

The Men's Wearhouse, Inc.

38,499

$ 1,491,066

The Pep Boys - Manny, Moe & Jack (d)

62,793

944,407

Tiffany & Co., Inc.

113,656

7,388,777

TJX Companies, Inc.

621,248

22,743,889

Tractor Supply Co.

58,000

4,957,260

Trans World Entertainment Corp. (a)

2,977

6,966

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

36,000

2,996,640

Urban Outfitters, Inc. (a)(d)

92,367

2,622,299

Vitamin Shoppe, Inc. (a)(d)

18,626

790,301

West Marine, Inc. (a)

3,285

34,821

Wet Seal, Inc. Class A (a)(d)

66,930

234,255

Williams-Sonoma, Inc. (d)

84,343

3,255,640

Winmark Corp.

391

22,627

Zale Corp. (a)

22,527

72,312

Zumiez, Inc. (a)

17,893

562,198

 

280,937,544

Textiles, Apparel & Luxury Goods - 0.8%

American Apparel, Inc. (a)

29,392

22,338

Carter's, Inc. (a)(d)

38,101

1,850,566

Cherokee, Inc.

14,744

166,165

Coach, Inc.

229,797

17,198,007

Columbia Sportswear Co. (d)

9,939

496,254

Crocs, Inc. (a)(d)

69,757

1,370,725

Culp, Inc. (a)

7,038

73,547

Deckers Outdoor Corp. (a)(d)

30,415

2,273,825

Delta Apparel, Inc. (a)

1,905

31,223

Fossil, Inc. (a)(d)

40,759

4,971,783

G-III Apparel Group Ltd. (a)(d)

9,815

244,590

Hallwood Group, Inc. (a)

605

7,442

Hanesbrands, Inc. (a)(d)

68,808

1,976,854

Iconix Brand Group, Inc. (a)(d)

52,215

948,224

Joe's Jeans, Inc. (a)

32,503

27,790

K-Swiss, Inc. Class A (a)(d)

23,242

77,396

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

13,384

209,995

Lacrosse Footwear, Inc.

810

10,360

Liz Claiborne, Inc. (a)(d)

79,525

777,755

Maidenform Brands, Inc. (a)

18,000

378,000

Michael Kors Holdings Ltd.

41,224

1,782,938

Movado Group, Inc.

12,323

263,712

NIKE, Inc. Class B

303,000

32,699,760

Oxford Industries, Inc.

8,687

437,825

Perry Ellis International, Inc. (a)(d)

7,954

138,638

PVH Corp.

48,056

4,085,241

Quiksilver, Inc. (a)

80,002

374,409

R.G. Barry Corp.

2,683

37,508

Ralph Lauren Corp.

48,000

8,339,040

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

26,486

338,226

Steven Madden Ltd. (a)(d)

32,649

1,409,784

Superior Uniform Group, Inc.

859

10,720

The Jones Group, Inc.

62,712

617,713

True Religion Apparel, Inc. (a)

26,399

696,142

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

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

27,400

$ 2,445,176

Unifi, Inc. (a)

18,843

156,208

Vera Bradley, Inc. (a)(d)

16,362

600,485

VF Corp.

71,637

10,462,584

Warnaco Group, Inc. (a)(d)

50,511

2,965,501

Wolverine World Wide, Inc. (d)

34,429

1,313,122

 

102,287,571

TOTAL CONSUMER DISCRETIONARY

1,448,486,735

CONSUMER STAPLES - 9.3%

Beverages - 2.0%

Beam, Inc.

134,223

7,393,003

Boston Beer Co., Inc. Class A (a)(d)

7,731

730,734

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

80,869

6,602,954

Central European Distribution Corp. (a)(d)

104,154

454,111

Coca-Cola Bottling Co. CONSOLIDATED

3,094

199,377

Coca-Cola Enterprises, Inc.

237,534

6,864,733

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

160,834

3,512,615

Craft Brew Alliance, Inc. (a)

5,908

36,925

Dr Pepper Snapple Group, Inc.

184,807

7,031,906

Jones Soda Co. (a)

15,000

7,500

MGP Ingredients, Inc.

4,299

25,966

Molson Coors Brewing Co. Class B

123,862

5,442,496

Monster Beverage Corp. (a)

117,204

6,702,897

National Beverage Corp.

7,694

123,181

PepsiCo, Inc.

1,244,846

78,350,607

Primo Water Corp. (a)

8,907

23,693

The Coca-Cola Co.

1,673,532

116,912,946

 

240,415,644

Food & Staples Retailing - 1.9%

Andersons, Inc. (d)

16,533

712,407

Arden Group, Inc. Class A

86

7,700

Casey's General Stores, Inc.

29,040

1,487,719

Chefs' Warehouse Holdings (a)

6,997

146,937

Costco Wholesale Corp.

345,917

29,769,617

Crumbs Bake Shop, Inc. (a)

5,760

21,658

CVS Caremark Corp.

1,080,716

48,740,292

Fresh Market, Inc. (a)

21,393

963,113

Ingles Markets, Inc. Class A

14,662

262,010

Kroger Co.

454,411

10,810,438

Nash-Finch Co. (d)

11,468

307,457

PriceSmart, Inc.

12,950

836,959

Rite Aid Corp. (a)

488,242

751,893

Roundy's, Inc.

8,260

82,600

Ruddick Corp.

32,261

1,321,411

Safeway, Inc. (d)

256,994

5,512,521

Spartan Stores, Inc. (d)

24,920

444,573

 

Shares

Value

SUPERVALU, Inc. (d)

144,357

$ 942,651

Susser Holdings Corp. (a)

14,504

367,531

Sysco Corp.

467,941

13,766,824

The Pantry, Inc. (a)(d)

24,320

302,298

United Natural Foods, Inc. (a)(d)

43,201

1,966,510

Village Super Market, Inc. Class A

3,352

100,862

Wal-Mart Stores, Inc.

1,420,000

83,893,600

Walgreen Co.

720,814

23,902,192

Weis Markets, Inc.

8,067

345,752

Whole Foods Market, Inc. (d)

118,372

9,557,355

Winn-Dixie Stores, Inc. (a)(d)

64,909

615,337

 

237,940,217

Food Products - 1.7%

Alico, Inc.

172

4,001

Archer Daniels Midland Co.

508,690

15,871,128

B&G Foods, Inc. Class A (d)

31,304

728,757

Bridgford Foods Corp. (a)

344

2,986

Bunge Ltd.

116,141

7,818,612

Cal-Maine Foods, Inc.

14,807

570,070

Calavo Growers, Inc.

6,680

183,700

Campbell Soup Co. (d)

177,820

5,924,962

Chiquita Brands International, Inc. (a)(d)

30,757

294,960

Coffee Holding Co., Inc.

3,401

26,868

ConAgra Foods, Inc.

319,463

8,385,904

Corn Products International, Inc.

54,809

3,143,296

Darling International, Inc. (a)(d)

84,068

1,344,247

Dean Foods Co. (a)

123,257

1,511,131

Diamond Foods, Inc. (d)

18,346

438,836

Dole Food Co., Inc. (a)(d)

21,106

202,195

Farmer Brothers Co.

3,100

34,317

Flowers Foods, Inc.

97,053

1,857,594

Fresh Del Monte Produce, Inc.

29,950

672,677

General Mills, Inc.

489,731

18,761,595

Green Mountain Coffee Roasters, Inc. (a)(d)

100,000

6,497,000

H.J. Heinz Co. (d)

263,879

13,909,062

Hain Celestial Group, Inc. (a)(d)

37,478

1,530,602

Hershey Co. (d)

139,801

8,485,921

Hormel Foods Corp.

107,713

3,066,589

Imperial Sugar Co. (d)

14,457

83,128

J&J Snack Foods Corp.

10,285

515,998

John B. Sanfilippo & Son, Inc. (a)

2,548

27,264

Kellogg Co.

206,669

10,819,122

Kraft Foods, Inc. Class A

1,312,836

49,979,667

Lancaster Colony Corp.

17,892

1,166,022

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

101,330

5,112,099

Mead Johnson Nutrition Co. Class A

173,455

13,486,126

Omega Protein Corp. (a)

32,056

264,783

Pilgrims Pride Corp. (d)

23,854

149,565

Pilgrims Pride Corp. rights 3/1/12 (a)

30,088

11,035

Post Holdings, Inc. (a)

19,173

597,047

Ralcorp Holdings, Inc. (a)

38,347

2,860,686

Sanderson Farms, Inc.

16,208

797,434

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - continued

Sara Lee Corp.

451,262

$ 9,138,056

Seneca Foods Corp. Class A (a)

7,029

180,083

Smart Balance, Inc. (a)

45,561

272,910

Smithfield Foods, Inc. (a)(d)

112,502

2,635,922

Snyders-Lance, Inc.

43,541

977,495

The J.M. Smucker Co.

85,628

6,449,501

Tootsie Roll Industries, Inc. (d)

17,168

399,156

TreeHouse Foods, Inc. (a)(d)

29,752

1,713,715

Tyson Foods, Inc. Class A

218,213

4,126,408

 

213,030,232

Household Products - 1.8%

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

34,714

332,213

Church & Dwight Co., Inc. (d)

119,008

5,681,442

Clorox Co.

100,862

6,819,280

Colgate-Palmolive Co. (d)

360,000

33,544,800

Energizer Holdings, Inc. (a)(d)

53,405

4,082,812

Harbinger Group, Inc. (a)

756

3,447

Kimberly-Clark Corp.

311,479

22,700,590

Oil-Dri Corp. of America

644

13,389

Orchids Paper Products Co.

612

10,955

Procter & Gamble Co.

2,204,967

148,879,372

Spectrum Brands Holdings, Inc. (a)

17,958

510,366

WD-40 Co.

17,410

750,023

 

223,328,689

Personal Products - 0.3%

Avon Products, Inc.

349,895

6,539,538

Elizabeth Arden, Inc. (a)(d)

17,715

658,112

Estee Lauder Companies, Inc. Class A

198,684

11,630,961

Herbalife Ltd.

86,338

5,716,439

Inter Parfums, Inc.

14,485

244,362

Mannatech, Inc. (a)

599

2,336

MediFast, Inc. (a)(d)

10,225

165,952

Nature's Sunshine Products, Inc. (a)

2,859

42,170

Nu Skin Enterprises, Inc. Class A

53,831

3,109,279

Nutraceutical International Corp. (a)

2,650

34,503

Prestige Brands Holdings, Inc. (a)

29,892

493,218

Revlon, Inc. (a)

13,966

211,725

Schiff Nutrition International, Inc. (a)(d)

11,821

131,922

The Female Health Co.

4,862

23,921

USANA Health Sciences, Inc. (a)(d)

10,334

383,391

 

29,387,829

Tobacco - 1.6%

Alliance One International, Inc. (a)(d)

89,449

330,067

Altria Group, Inc.

1,679,474

50,552,167

Lorillard, Inc.

110,571

14,493,647

Philip Morris International, Inc.

1,403,953

117,258,155

Reynolds American, Inc.

282,694

11,853,359

Star Scientific, Inc. (a)(d)

64,344

241,290

 

Shares

Value

Universal Corp.

22,476

$ 1,032,547

Vector Group Ltd. (d)

25,200

457,380

 

196,218,612

TOTAL CONSUMER STAPLES

1,140,321,223

ENERGY - 11.1%

Energy Equipment & Services - 2.1%

Atwood Oceanics, Inc. (a)(d)

71,156

3,384,179

Baker Hughes, Inc.

353,994

17,798,818

Basic Energy Services, Inc. (a)(d)

31,153

618,699

Bolt Technology Corp.

1,626

22,406

Bristow Group, Inc.

25,621

1,209,567

C&J Energy Services, Inc. (d)

9,114

185,196

Cal Dive International, Inc. (a)(d)

78,352

227,221

Cameron International Corp. (a)(d)

182,754

10,181,225

Carbo Ceramics, Inc. (d)

15,710

1,439,822

Dawson Geophysical Co. (a)

7,871

298,232

Diamond Offshore Drilling, Inc. (d)

64,380

4,408,099

Dresser-Rand Group, Inc. (a)(d)

57,305

3,009,659

Dril-Quip, Inc. (a)(d)

25,155

1,760,598

ENGlobal Corp. (a)

5,637

12,965

Exterran Holdings, Inc. (a)(d)

43,308

623,635

FMC Technologies, Inc. (a)(d)

183,330

9,245,332

Geokinetics, Inc. (a)

3,794

7,550

Global Geophysical Services, Inc. (a)

18,062

194,708

Gulf Island Fabrication, Inc. (d)

10,744

314,907

Gulfmark Offshore, Inc. Class A (a)

20,706

1,040,269

Halliburton Co.

735,826

26,923,873

Helix Energy Solutions Group, Inc. (a)(d)

73,132

1,407,060

Helmerich & Payne, Inc. (d)

72,146

4,422,550

Hercules Offshore, Inc. (a)

133,946

680,446

Hornbeck Offshore Services, Inc. (a)

24,578

1,001,554

ION Geophysical Corp. (a)(d)

95,187

681,539

Key Energy Services, Inc. (a)(d)

103,489

1,765,522

Lufkin Industries, Inc.

23,923

1,905,228

Matrix Service Co. (a)

19,340

256,062

McDermott International, Inc. (a)

177,047

2,312,234

Mitcham Industries, Inc. (a)

8,347

195,069

Nabors Industries Ltd. (a)

221,501

4,824,292

National Oilwell Varco, Inc.

344,829

28,458,737

Natural Gas Services Group, Inc. (a)

21,602

302,212

Newpark Resources, Inc. (a)(d)

85,435

672,373

Noble Corp. (d)

237,885

9,558,219

Oceaneering International, Inc.

84,562

4,589,180

Oil States International, Inc. (a)(d)

36,506

2,965,017

OYO Geospace Corp. (a)(d)

6,500

715,325

Parker Drilling Co. (a)(d)

122,844

777,603

Patterson-UTI Energy, Inc.

122,546

2,379,843

PHI, Inc. (non-vtg.) (a)

18,377

406,132

Pioneer Drilling Co. (a)

46,756

465,690

RigNet, Inc. (a)

15,376

261,392

Rowan Companies, Inc. (a)

91,863

3,386,989

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

RPC, Inc. (d)

43,642

$ 698,708

Schlumberger Ltd.

1,075,278

83,452,326

SEACOR Holdings, Inc. (a)

15,683

1,550,735

Superior Energy Services, Inc. (a)

113,113

3,318,735

Tesco Corp. (a)(d)

25,016

383,245

TETRA Technologies, Inc. (a)

50,020

454,682

TGC Industries, Inc. (a)

2,598

26,344

Tidewater, Inc.

35,470

2,110,465

Union Drilling, Inc. (a)(d)

13,180

88,833

Unit Corp. (a)(d)

34,938

1,662,001

Weatherford International Ltd. (a)

645,319

10,312,198

Willbros Group, Inc. (a)

33,113

139,075

 

261,494,575

Oil, Gas & Consumable Fuels - 9.0%

Abraxas Petroleum Corp. (a)(d)

126,005

506,540

Alon USA Energy, Inc.

9,432

88,661

Alpha Natural Resources, Inc. (a)

175,427

3,255,925

Amyris, Inc. (a)(d)

28,043

150,871

Anadarko Petroleum Corp.

390,202

32,823,792

Apache Corp.

308,807

33,329,540

APCO Oil and Gas International, Inc. (d)

5,546

416,948

Approach Resources, Inc. (a)

13,537

467,839

Arch Coal, Inc.

156,559

2,124,506

ATP Oil & Gas Corp. (a)(d)

43,659

349,272

Barnwell Industries, Inc. (a)

2,847

8,029

Berry Petroleum Co. Class A

38,847

2,096,184

Bill Barrett Corp. (a)(d)

29,806

871,229

Bonanza Creek Energy, Inc.

8,119

151,013

BPZ Energy, Inc. (a)

134,116

430,512

Cabot Oil & Gas Corp.

160,706

5,605,425

Callon Petroleum Co. (a)

31,499

222,383

Carrizo Oil & Gas, Inc. (a)(d)

24,378

686,728

Cheniere Energy, Inc. (a)

68,292

1,027,112

Chesapeake Energy Corp. (d)

523,796

13,094,900

Chevron Corp.

1,600,537

174,650,597

Cimarex Energy Co. (d)

62,545

5,045,505

Clayton Williams Energy, Inc. (a)(d)

7,754

685,066

Clean Energy Fuels Corp. (a)(d)

33,840

635,854

Cloud Peak Energy, Inc. (a)(d)

54,586

967,264

Cobalt International Energy, Inc. (a)(d)

125,251

3,765,045

Comstock Resources, Inc. (a)(d)

32,496

520,911

Concho Resources, Inc. (a)(d)

78,728

8,411,300

ConocoPhillips

985,485

75,438,877

CONSOL Energy, Inc. (d)

196,571

7,041,173

Contango Oil & Gas Co. (a)(d)

16,222

1,031,395

Continental Resources, Inc. (a)(d)

57,407

5,205,667

Crimson Exploration, Inc. (a)

12,416

38,614

Crosstex Energy, Inc. (d)

45,920

630,482

CVR Energy, Inc. (a)(d)

64,562

1,756,732

Delek US Holdings, Inc.

32,818

433,526

Denbury Resources, Inc. (a)(d)

301,228

5,997,449

 

Shares

Value

Devon Energy Corp.

315,153

$ 23,103,866

DHT Holdings, Inc.

59,972

66,569

Double Eagle Petroleum Co. (a)

1,282

8,705

El Paso Corp.

620,823

17,265,088

Endeavour International Corp. (a)(d)

23,917

276,720

Energen Corp.

50,746

2,701,210

Energy Partners Ltd. (a)

15,481

263,796

EOG Resources, Inc.

219,656

25,010,032

EQT Corp.

123,622

6,554,438

Evolution Petroleum Corp. (a)

6,950

64,496

EXCO Resources, Inc. (d)

115,116

820,777

Exxon Mobil Corp.

3,837,132

331,911,918

Forest Oil Corp. (a)(d)

81,222

1,050,200

FX Energy, Inc. (a)(d)

35,252

223,145

Gasco Energy, Inc. (a)

97,844

28,375

Gastar Exploration Ltd. (a)

36,342

104,302

Georesources, Inc. (a)

13,181

422,319

Gevo, Inc. (a)(d)

11,229

112,402

GMX Resources, Inc. (a)(d)

74,770

131,595

Goodrich Petroleum Corp. (a)(d)

33,339

531,090

Green Plains Renewable Energy, Inc. (a)(d)

14,190

161,057

Gulfport Energy Corp. (a)(d)

37,953

1,275,980

Halcon Resources Corp. (a)(d)

3,619

39,773

Harvest Natural Resources, Inc. (a)(d)

33,266

220,221

Hess Corp.

252,487

16,391,456

HKN, Inc. (a)

104

241

HollyFrontier Corp.

153,818

5,019,081

Houston American Energy Corp. (a)(d)

10,835

117,451

Hyperdynamics Corp. (a)(d)

125,930

171,265

James River Coal Co. (a)(d)

31,067

178,014

Kinder Morgan Holding Co. LLC (d)

105,230

3,708,305

KiOR, Inc. Class A (d)

6,909

60,108

Kodiak Oil & Gas Corp. (a)

185,027

1,792,912

Laredo Petroleum Holdings, Inc.

14,587

370,072

Lucas Energy, Inc. (a)(d)

9,400

27,542

Magellan Petroleum Corp. (a)

35,895

45,587

Magnum Hunter Resources Corp. (d)

70,308

486,531

Magnum Hunter Resources Corp. warrants 10/14/13 (a)(d)

4,197

0

Marathon Oil Corp.

590,579

20,014,722

Marathon Petroleum Corp.

293,451

12,192,889

Matador Resources Co.

10,890

129,155

McMoRan Exploration Co. (a)(d)

160,744

2,250,416

Miller Energy Resources, Inc. (a)(d)

6,846

28,753

Murphy Oil Corp.

146,942

9,395,471

Newfield Exploration Co. (a)

99,791

3,592,476

Noble Energy, Inc.

151,272

14,771,711

Northern Oil & Gas, Inc. (a)(d)

45,133

1,070,103

Oasis Petroleum, Inc. (a)

46,478

1,490,549

Occidental Petroleum Corp.

647,508

67,580,410

Overseas Shipholding Group, Inc. (d)

23,729

210,002

Pacific Ethanol, Inc. (a)(d)

12,492

15,365

Panhandle Royalty Co. Class A

6,335

184,665

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Patriot Coal Corp. (a)(d)

69,937

$ 505,645

Peabody Energy Corp.

230,827

8,051,246

Penn Virginia Corp.

41,256

201,742

Petroleum Development Corp. (a)(d)

22,646

736,901

Petroquest Energy, Inc. (a)(d)

70,948

432,783

Pioneer Natural Resources Co. (d)

90,370

9,908,167

Plains Exploration & Production Co. (a)

139,377

6,142,344

QEP Resources, Inc.

129,536

4,422,359

Quicksilver Resources, Inc. (a)(d)

93,566

518,356

Range Resources Corp.

123,664

7,874,924

Recovery Energy, Inc. (a)

5,171

21,408

Renewable Energy Group, Inc.

5,623

53,812

Rentech, Inc. (a)

169,556

301,810

Resolute Energy Corp. (a)

29,689

331,329

Rex American Resources Corp. (a)

3,020

92,623

Rex Energy Corp. (a)

32,188

370,162

Rosetta Resources, Inc. (a)(d)

38,625

1,971,420

Royale Energy, Inc. (a)(d)

5,368

33,121

Sanchez Energy Corp.

7,390

176,843

SandRidge Energy, Inc. (a)(d)

276,761

2,399,518

Saratoga Resources, Inc. (a)

12,254

81,489

SemGroup Corp. Class A (a)

25,511

723,747

Ship Finance International Ltd. (NY Shares) (d)

31,210

428,513

SM Energy Co.

62,332

4,906,775

SMF Energy Corp.

4,165

15,119

Solazyme, Inc. (d)

17,729

244,306

Southern Union Co.

86,373

3,795,230

Southwestern Energy Co. (a)(d)

311,067

10,283,875

Spectra Energy Corp.

539,426

16,927,188

Stone Energy Corp. (a)(d)

34,932

1,116,077

Sunoco, Inc.

85,182

3,290,581

Swift Energy Co. (a)(d)

28,396

852,732

Synergy Resources Corp. (a)

19,735

67,888

Syntroleum Corp. (a)(d)

24,702

30,630

Targa Resources Corp.

22,682

1,007,761

Teekay Corp. (d)

33,173

955,382

Tesoro Corp. (a)(d)

104,321

2,767,636

Ultra Petroleum Corp. (a)(d)

143,182

3,573,823

Uranium Energy Corp. (a)(d)

54,945

206,044

Uranium Resources, Inc. (a)(d)

182,289

174,997

USEC, Inc. (a)(d)

83,065

111,307

Vaalco Energy, Inc. (a)(d)

68,248

538,477

Valero Energy Corp. (d)

446,841

10,943,136

Venoco, Inc. (a)

17,373

189,366

Verenium Corp. (a)

522

1,472

Voyager Oil & Gas, Inc. (a)

11,615

37,633

W&T Offshore, Inc.

37,319

942,305

Warren Resources, Inc. (a)(d)

48,923

190,800

Western Refining, Inc.

40,348

732,316

Westmoreland Coal Co. (a)

6,050

63,586

 

Shares

Value

Whiting Petroleum Corp. (a)(d)

87,846

$ 5,151,289

Williams Companies, Inc.

481,586

14,389,790

World Fuel Services Corp. (d)

48,766

2,031,592

WPX Energy, Inc.

146,535

2,661,076

ZaZa Energy Corp. (a)(d)

19,430

76,166

Zion Oil & Gas, Inc. (a)

8,166

22,293

 

1,097,685,102

TOTAL ENERGY

1,359,179,677

FINANCIALS - 15.2%

Capital Markets - 1.8%

Affiliated Managers Group, Inc. (a)

37,232

3,961,112

Ameriprise Financial, Inc.

181,426

10,116,314

Arlington Asset Investment Corp.

9,211

212,774

Artio Global Investors, Inc. Class A (d)

27,717

132,764

Bank of New York Mellon Corp.

999,669

22,102,682

BGC Partners, Inc. Class A

92,324

649,038

BlackRock, Inc. Class A

81,680

16,254,320

Calamos Asset Management, Inc. Class A

22,184

271,976

Charles Schwab Corp.

880,911

12,227,045

CIFI Corp. (a)

3,896

20,415

Cohen & Steers, Inc. (d)

17,375

572,333

Cowen Group, Inc. Class A (a)

80,174

224,487

Diamond Hill Investment Group, Inc.

308

23,359

Duff & Phelps Corp. Class A

16,165

222,430

E*TRADE Financial Corp. (a)

185,916

1,790,371

Eaton Vance Corp. (non-vtg.) (d)

83,276

2,399,182

Edelman Financial Group, Inc.

24,098

161,457

Epoch Holding Corp. (d)

7,185

179,266

Evercore Partners, Inc. Class A

15,573

423,430

FBR Capital Markets Corp. (a)

45,886

115,633

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

71,651

1,468,129

Financial Engines, Inc. (a)(d)

27,286

628,942

Franklin Resources, Inc.

126,452

14,907,426

FXCM, Inc. Class A (d)

35,893

339,548

GAMCO Investors, Inc. Class A

6,083

280,487

GFI Group, Inc.

69,449

266,684

Gleacher & Co., Inc. (a)

36,175

54,986

Goldman Sachs Group, Inc.

338,852

39,015,419

Greenhill & Co., Inc.

20,317

893,135

HFF, Inc. (a)

19,976

287,854

ICG Group, Inc. (a)

32,808

284,445

Institutional Financial Markets, Inc.

6,881

10,459

INTL FCStone, Inc. (a)(d)

11,151

252,570

Invesco Ltd.

388,589

9,625,350

Investment Technology Group, Inc. (a)(d)

30,988

356,362

Janus Capital Group, Inc. (d)

134,316

1,184,667

Jefferies Group, Inc.

106,987

1,788,823

JMP Group, Inc.

11,989

85,362

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

KBW, Inc.

24,195

$ 399,943

Knight Capital Group, Inc. Class A (a)(d)

70,305

931,541

Ladenburg Thalmann Financial Services, Inc. (a)(d)

32,105

65,173

Legg Mason, Inc.

140,686

3,853,390

LPL Investment Holdings, Inc. (a)

22,392

763,567

Medallion Financial Corp.

4,309

47,184

Morgan Stanley

1,105,371

20,493,578

Northern Trust Corp.

166,504

7,394,443

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

6,844

114,569

Penson Worldwide, Inc. (a)(d)

19,665

25,171

Piper Jaffray Companies (a)(d)

20,940

514,705

Raymond James Financial, Inc.

71,252

2,520,183

Safeguard Scientifics, Inc. (a)(d)

26,745

452,258

SEI Investments Co.

105,344

2,080,544

State Street Corp.

409,637

17,298,971

Stifel Financial Corp. (a)(d)

38,055

1,428,204

SWS Group, Inc.

24,189

135,217

T. Rowe Price Group, Inc.

196,242

12,086,545

TD Ameritrade Holding Corp.

169,026

3,155,715

Teton Advisors, Inc. (a)

106

1,643

U.S. Global Investments, Inc. Class A

7,637

56,514

Virtus Investment Partners, Inc. (a)

3,888

309,252

Waddell & Reed Financial, Inc. Class A (d)

70,045

2,210,620

Walter Investment Management Corp.

18,710

381,310

Westwood Holdings Group, Inc.

1,868

72,366

WisdomTree Investments, Inc. (a)

49,507

350,510

 

220,934,152

Commercial Banks - 3.0%

1st Source Corp. (d)

8,597

211,056

1st United Bancorp, Inc. (a)

20,464

120,738

ACNB Corp.

3,789

54,221

Alliance Financial Corp.

3,879

114,508

American National Bankshares, Inc.

2,748

58,395

Ameris Bancorp (a)(d)

20,460

235,699

Ames National Corp.

1,209

26,175

Arrow Financial Corp.

12,653

304,431

Associated Banc-Corp.

127,560

1,688,894

BancFirst Corp.

10,611

434,308

Bancorp, Inc., Delaware (a)

16,751

139,368

BancorpSouth, Inc.

61,827

732,032

BancTrust Financial Group, Inc. (a)

4,197

5,456

Bank of Hawaii Corp.

62,564

2,877,944

Bank of Kentucky Financial Corp.

1,699

42,186

Bank of Marin Bancorp

2,794

98,265

Bank of the James Financial Group, Inc. (a)

600

3,096

Bank of the Ozarks, Inc.

37,486

1,100,214

Banner Bank

13,068

269,331

Bar Harbor Bankshares

2,686

82,057

 

Shares

Value

BB&T Corp.

568,836

$ 16,638,453

BBCN Bancorp, Inc. (a)

52,596

539,109

BCB Bancorp, Inc. (d)

2,814

29,406

BOK Financial Corp.

36,579

1,963,561

Boston Private Financial Holdings, Inc. (d)

49,884

475,395

Bridge Bancorp, Inc.

540

10,832

Bridge Capital Holdings (a)

1,107

13,350

Bryn Mawr Bank Corp.

7,755

152,463

BSB Bancorp, Inc.

6,958

78,417

Camden National Corp.

1,850

65,398

Capital City Bank Group, Inc.

7,146

56,239

CapitalSource, Inc.

236,039

1,593,263

Cardinal Financial Corp.

11,113

119,465

Cascade Bancorp (a)(d)

4,186

24,279

Cathay General Bancorp

74,072

1,210,336

Center Bancorp, Inc.

6,904

66,347

Centerstate Banks of Florida, Inc.

6,387

44,709

Central Pacific Financial Corp. (a)(d)

20,164

279,070

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

686

16,985

Chemical Financial Corp.

26,904

593,502

CIT Group, Inc. (a)

177,243

7,215,563

Citizens & Northern Corp.

8,777

174,662

Citizens Republic Bancorp, Inc. (a)

26,148

357,966

City Holding Co.

22,173

759,869

City National Corp. (d)

34,413

1,617,411

CNB Financial Corp., Pennsylvania

6,683

103,587

CoBiz, Inc.

39,972

233,037

Columbia Banking Systems, Inc. (d)

29,815

630,587

Comerica, Inc.

150,887

4,479,835

Commerce Bancshares, Inc.

62,562

2,415,519

Community Bank System, Inc.

29,335

801,432

Community Trust Bancorp, Inc.

13,652

421,028

Cullen/Frost Bankers, Inc.

42,764

2,415,311

CVB Financial Corp.

75,043

808,213

Eagle Bancorp, Inc., Maryland (a)

8,538

132,424

East West Bancorp, Inc.

159,291

3,523,517

Eastern Virginia Bankshares, Inc. (a)

821

2,430

Encore Bancshares, Inc. (a)

960

13,920

Enterprise Bancorp, Inc.

803

12,728

Enterprise Financial Services Corp.

12,168

141,149

Farmers National Banc Corp.

14,652

82,051

Fidelity Southern Corp.

3,191

20,422

Fifth Third Bancorp

789,319

10,742,632

Financial Institutions, Inc.

12,700

207,772

First Bancorp, North Carolina

9,193

91,930

First Bancorp, Puerto Rico (a)(d)

31,060

120,202

First Busey Corp.

50,381

243,844

First Citizen Bancshares, Inc.

4,653

819,626

First Commonwealth Financial Corp. (d)

74,665

447,243

First Community Bancshares, Inc.

8,561

106,156

First Connecticut Bancorp, Inc.

11,897

153,471

First Financial Bancorp, Ohio

41,951

686,738

First Financial Bankshares, Inc. (d)

36,100

1,236,786

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

First Financial Corp., Indiana (d)

8,837

$ 282,696

First Financial Service Corp. (a)

2,521

7,815

First Horizon National Corp.

177,392

1,667,485

First Interstate Bancsystem, Inc.

16,000

217,600

First M&F Corp.

2,170

8,376

First Merchants Corp.

25,012

277,133

First Midwest Bancorp, Inc., Delaware

83,782

968,520

First Niagara Financial Group, Inc.

246,667

2,358,137

First of Long Island Corp.

1,768

45,862

First Republic Bank (a)

55,175

1,654,698

First United Corp. (a)

3,018

16,358

FirstMerit Corp.

79,130

1,270,037

FNB Corp., Pennsylvania

105,430

1,243,020

FNB United Corp. (a)(d)

490

7,335

Fulton Financial Corp.

148,647

1,456,741

German American Bancorp, Inc.

4,623

90,518

Glacier Bancorp, Inc.

63,024

869,731

Great Southern Bancorp, Inc.

6,815

150,066

Green Bankshares, Inc. (a)

6,941

9,995

Guaranty Bancorp (a)

13,950

22,181

Hampton Roads Bankshares, Inc. (a)(d)

18,252

47,455

Hancock Holding Co.

65,414

2,220,805

Hanmi Financial Corp. (a)

26,311

228,116

Hawthorn Bancshares, Inc.

1,384

9,896

Heartland Financial USA, Inc.

6,878

108,191

Heritage Commerce Corp. (a)(d)

14,712

77,238

Heritage Financial Corp., Washington (d)

12,768

171,091

Heritage Oaks Bancorp (a)

3,340

13,527

Home Bancshares, Inc.

25,101

632,545

Horizon Bancorp Industries

471

8,290

Hudson Valley Holding Corp.

14,551

237,472

Huntington Bancshares, Inc.

649,123

3,794,124

IBERIABANK Corp. (d)

22,592

1,198,280

Independent Bank Corp. (a)(d)

1,144

1,773

Independent Bank Corp., Massachusetts (d)

25,945

713,228

International Bancshares Corp.

41,513

787,917

Intervest Bancshares Corp. Class A (a)

6,160

20,944

Investors Bancorp, Inc. (a)

48,601

706,173

KeyCorp

879,084

7,120,580

Lakeland Bancorp, Inc.

9,026

81,776

Lakeland Financial Corp.

13,545

341,605

M&T Bank Corp.

96,545

7,880,003

Macatawa Bank Corp. (a)(d)

22,839

62,807

MainSource Financial Group, Inc.

13,271

134,568

MB Financial, Inc.

39,661

789,254

MBT Financial Corp. (a)

1,548

3,282

Merchants Bancshares, Inc.

4,373

121,788

Metro Bancorp, Inc. (a)

11,557

122,966

Midsouth Bancorp, Inc.

5,240

67,386

National Bankshares, Inc.

5,203

140,533

 

Shares

Value

National Penn Bancshares, Inc. (d)

120,787

$ 1,056,886

NBT Bancorp, Inc.

33,888

739,097

NewBridge Bancorp (a)

7,211

29,277

North Valley Bancorp (a)

849

8,881

Northrim Bancorp, Inc.

2,935

58,700

Old National Bancorp, Indiana

66,861

807,681

Old Second Bancorp, Inc. (a)(d)

18,605

22,326

OmniAmerican Bancorp, Inc. (a)

6,877

123,030

Oriental Financial Group, Inc. (d)

28,906

339,646

Orrstown Financial Services, Inc.

4,006

34,652

Pacific Capital Bancorp NA (a)

7,809

218,730

Pacific Continental Corp.

3,048

25,603

Pacific Mercantile Bancorp (a)

5,055

22,040

Pacific Premier Bancorp, Inc. (a)

35

263

PacWest Bancorp

32,508

707,699

Palmetto Bancshares, Inc. (a)

315

1,733

Park National Corp. (d)

10,514

723,784

Park Sterling Corp. (a)

122

555

Penns Woods Bancorp, Inc.

306

11,931

Peoples Bancorp, Inc.

3,334

53,911

Peoples Financial Corp., Mississippi

2,667

25,897

Pinnacle Financial Partners, Inc. (a)(d)

30,086

498,224

PNC Financial Services Group, Inc.

426,140

25,363,853

Popular, Inc. (a)

781,463

1,484,780

Preferred Bank, Los Angeles (a)

1,131

11,423

Premier Financial Bancorp, Inc. (a)

115

702

Princeton National Bancorp, Inc. (a)(d)

2,541

4,167

PrivateBancorp, Inc.

59,931

869,000

Prosperity Bancshares, Inc.

34,532

1,510,430

Regions Financial Corp.

944,773

5,441,892

Renasant Corp.

22,516

341,568

Republic Bancorp, Inc., Kentucky Class A

18,205

474,422

Royal Bancshares of Pennsylvania, Inc. Class A (a)

2,700

3,564

S&T Bancorp, Inc.

32,238

683,768

S.Y. Bancorp, Inc.

6,551

142,484

Sandy Spring Bancorp, Inc.

13,803

249,282

SCBT Financial Corp.

10,493

324,968

Seacoast Banking Corp., Florida (a)

25,630

47,416

Shore Bancshares, Inc.

2,958

18,251

Sierra Bancorp

3,618

33,286

Signature Bank (a)(d)

34,178

2,028,806

Simmons First National Corp. Class A

10,951

287,902

Southside Bancshares, Inc.

12,128

258,448

Southwest Bancorp, Inc., Oklahoma (a)

15,446

132,218

State Bank Financial Corp. (a)

21,939

356,289

State Investors Bancorp, Inc. (a)

2,013

22,425

StellarOne Corp.

11,962

139,118

Sterling Bancorp, New York

27,642

246,014

Sterling Financial Corp., Washington (a)

32,587

634,143

Suffolk Bancorp (a)

12,482

151,032

Sun Bancorp, Inc., New Jersey (a)

29,419

84,433

SunTrust Banks, Inc.

406,442

9,331,908

Susquehanna Bancshares, Inc. (d)

163,794

1,518,370

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

SVB Financial Group (a)(d)

37,929

$ 2,248,431

Synovus Financial Corp.

628,901

1,333,270

Taylor Capital Group, Inc. (a)(d)

9,976

134,177

TCF Financial Corp. (d)

106,955

1,152,975

Texas Capital Bancshares, Inc. (a)(d)

44,486

1,507,631

The First Bancorp, Inc.

2,896

43,440

TIB Financial Corp. (a)

215

2,322

Tompkins Financial Corp. (d)

6,090

250,299

TowneBank (d)

18,053

233,245

Trico Bancshares

12,062

195,404

Trustmark Corp.

54,904

1,294,636

U.S. Bancorp

1,544,556

45,409,946

UMB Financial Corp.

25,089

1,044,957

Umpqua Holdings Corp. (d)

89,344

1,100,718

Union/First Market Bankshares Corp.

16,413

227,812

United Bankshares, Inc., West Virginia

35,646

1,043,715

United Community Banks, Inc., Georgia (a)

13,649

122,432

Univest Corp. of Pennsylvania

7,216

114,013

Valley National Bancorp (d)

175,665

2,197,569

Virginia Commerce Bancorp, Inc. (a)

37,552

315,437

VIST Financial Corp.

1,370

16,385

Washington Banking Co., Oak Harbor

5,615

71,254

Washington Trust Bancorp, Inc.

15,489

364,146

Webster Financial Corp. (d)

53,186

1,163,710

Wellesley Bancorp, Inc.

673

8,372

Wells Fargo & Co.

3,979,209

124,509,450

WesBanco, Inc.

18,333

357,494

West Bancorp., Inc.

1,202

11,575

West Coast Bancorp (a)

10,217

175,222

Westamerica Bancorp.

22,409

1,061,290

Western Alliance Bancorp. (a)(d)

48,403

394,000

Wilshire Bancorp, Inc. (a)(d)

41,540

180,284

Wintrust Financial Corp.

26,208

883,472

Zions Bancorporation

135,681

2,577,939

 

363,709,861

Consumer Finance - 0.7%

Advance America Cash Advance Centers, Inc.

34,619

358,999

American Express Co.

815,889

43,152,369

Capital One Financial Corp.

380,834

19,270,200

Cash America International, Inc. (d)

21,391

992,115

CompuCredit Holdings Corp. (a)(d)

48,566

260,799

Consumer Portfolio Services, Inc. (a)

2,464

2,883

Credit Acceptance Corp. (a)(d)

6,852

659,574

DFC Global Corp. (a)

41,227

738,376

Discover Financial Services

420,798

12,628,148

EZCORP, Inc. (non-vtg.) Class A (a)

32,709

1,030,334

First Cash Financial Services, Inc. (a)(d)

20,351

860,033

First Marblehead Corp. (a)(d)

51,880

63,294

Green Dot Corp. Class A (a)

12,869

410,907

 

Shares

Value

Imperial Holdings, Inc. (a)

16,708

$ 41,770

Nelnet, Inc. Class A

22,213

586,867

Netspend Holdings, Inc. (a)

44,711

384,962

SLM Corp.

416,481

6,563,741

World Acceptance Corp. (a)(d)

15,268

969,823

 

88,975,194

Diversified Financial Services - 2.6%

Bank of America Corp.

8,108,250

64,622,753

CBOE Holdings, Inc.

65,601

1,808,620

Citigroup, Inc.

2,316,107

77,172,685

CME Group, Inc.

51,156

14,809,150

FX Alliance, Inc.

4,330

58,585

Gain Capital Holdings, Inc.

15,735

82,451

Interactive Brokers Group, Inc.

35,966

570,421

IntercontinentalExchange, Inc. (a)

65,579

9,047,279

JPMorgan Chase & Co.

3,041,884

119,363,528

Leucadia National Corp.

154,061

4,389,198

Life Partners Holdings, Inc.

18,668

79,339

MarketAxess Holdings, Inc.

22,779

754,440

Marlin Business Services Corp. (d)

11,576

181,743

MicroFinancial, Inc.

86

578

Moody's Corp.

166,293

6,420,573

MSCI, Inc. Class A (a)(d)

85,736

3,033,340

NewStar Financial, Inc. (a)

17,193

169,523

NYSE Euronext

203,024

6,044,024

PHH Corp. (a)

45,131

614,684

PICO Holdings, Inc. (a)(d)

18,345

405,608

Resource America, Inc. Class A

2,362

14,054

The NASDAQ Stock Market, Inc. (a)

124,702

3,284,651

Vector Capital Corp. rights

4,280

0

 

312,927,227

Insurance - 3.7%

21st Century Holding Co. (a)

1,278

4,256

ACE Ltd.

272,394

19,533,374

AFLAC, Inc.

366,712

17,327,142

Alleghany Corp. (d)

5,852

1,899,793

Allied World Assurance Co. Holdings Ltd.

28,043

1,849,997

Allstate Corp.

408,767

12,847,547

American Equity Investment Life Holding Co.

51,311

620,863

American Financial Group, Inc.

61,572

2,305,871

American Independence Corp. (a)

505

2,197

American International Group, Inc. (a)

368,556

10,769,206

American National Insurance Co.

10,418

751,138

American Safety Insurance Group Ltd. (a)

2,651

51,191

Amerisafe, Inc. (a)

23,043

519,850

Amtrust Financial Services, Inc. (d)

23,804

642,946

Aon Corp.

246,387

11,533,375

Arch Capital Group Ltd. (a)

93,082

3,448,688

Argo Group International Holdings, Ltd.

29,792

889,291

Arthur J. Gallagher & Co. (d)

115,693

3,947,445

Aspen Insurance Holdings Ltd.

52,278

1,386,935

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Assurant, Inc.

85,823

$ 3,644,903

Assured Guaranty Ltd.

155,664

2,615,155

Axis Capital Holdings Ltd.

93,935

2,897,895

Baldwin & Lyons, Inc. Class B

5,084

106,967

Berkshire Hathaway, Inc. Class B (a)

1,523,175

119,493,079

Brown & Brown, Inc.

82,279

1,944,253

Cincinnati Financial Corp.

112,154

3,944,456

Citizens, Inc. Class A (a)(d)

16,628

177,587

CNA Financial Corp.

21,776

614,301

CNO Financial Group, Inc. (a)

165,388

1,227,179

Crawford & Co. Class B

10,464

46,042

Delphi Financial Group, Inc. Class A

47,148

2,100,915

Donegal Group, Inc. Class A

3,439

47,355

eHealth, Inc. (a)(d)

26,343

395,935

EMC Insurance Group

5,050

106,404

Employers Holdings, Inc.

36,335

628,232

Endurance Specialty Holdings Ltd.

33,058

1,271,411

Enstar Group Ltd. (a)(d)

9,122

884,652

Erie Indemnity Co. Class A

23,329

1,775,570

Everest Re Group Ltd.

35,638

3,130,798

FBL Financial Group, Inc. Class A

12,986

441,134

Fidelity National Financial, Inc. Class A

160,871

2,776,633

First Acceptance Corp. (a)

4,055

5,880

First American Financial Corp.

99,791

1,536,781

Flagstone Reinsurance Holdings Ltd.

25,303

200,400

Fortegra Financial Corp. (a)

10,670

74,263

Genworth Financial, Inc. Class A (a)

360,009

3,272,482

Global Indemnity PLC (a)

13,709

262,253

Greenlight Capital Re, Ltd. (a)(d)

17,063

401,834

Hallmark Financial Services, Inc. (a)

6,662

44,969

Hanover Insurance Group, Inc.

48,173

1,966,422

Harleysville Group, Inc. (d)

8,225

465,617

Hartford Financial Services Group, Inc.

337,025

6,979,788

HCC Insurance Holdings, Inc.

77,118

2,355,184

Hilltop Holdings, Inc. (a)

54,392

448,190

Horace Mann Educators Corp.

37,921

657,171

Independence Holding Co.

16,014

146,688

Infinity Property & Casualty Corp.

13,372

733,187

Investors Title Co.

1,086

49,065

Kansas City Life Insurance Co.

2,863

91,673

Kemper Corp.

35,842

1,025,798

Lincoln National Corp. (d)

231,248

5,744,200

Loews Corp.

301,087

11,784,545

Maiden Holdings Ltd.

73,970

639,841

Markel Corp. (a)

6,736

2,747,951

Marsh & McLennan Companies, Inc.

414,030

12,917,736

MBIA, Inc. (a)(d)

115,555

1,245,683

Meadowbrook Insurance Group, Inc.

46,791

445,450

Mercury General Corp.

16,938

726,301

MetLife, Inc.

667,419

25,729,002

 

Shares

Value

Montpelier Re Holdings Ltd.

62,043

$ 1,070,242

National Financial Partners Corp. (a)(d)

38,246

583,634

National Interstate Corp.

2,286

55,207

National Security Group, Inc.

1,586

14,433

National Western Life Insurance Co. Class A

1,306

177,303

Navigators Group, Inc. (a)

15,156

712,484

Old Republic International Corp.

178,199

1,935,241

OneBeacon Insurance Group Ltd.

20,572

313,723

PartnerRe Ltd.

49,442

3,136,600

Phoenix Companies, Inc. (a)(d)

61,343

126,980

Platinum Underwriters Holdings Ltd.

32,909

1,170,244

Presidential Life Corp.

17,026

184,221

Primerica, Inc.

37,863

947,332

Principal Financial Group, Inc.

266,275

7,365,167

ProAssurance Corp.

21,573

1,893,246

Progressive Corp.

507,847

10,878,083

Protective Life Corp. (d)

60,558

1,681,696

Prudential Financial, Inc.

388,075

23,734,667

Reinsurance Group of America, Inc.

67,424

3,888,342

RenaissanceRe Holdings Ltd.

38,496

2,770,172

RLI Corp.

13,036

913,302

Safety Insurance Group, Inc.

14,899

635,889

SeaBright Insurance Holdings, Inc.

38,085

311,535

Selective Insurance Group, Inc.

35,800

615,044

StanCorp Financial Group, Inc. (d)

37,431

1,488,257

State Auto Financial Corp.

6,222

86,984

Stewart Information Services Corp.

21,434

281,643

Symetra Financial Corp.

63,181

628,019

The Chubb Corp.

225,559

15,328,990

The Travelers Companies, Inc.

336,375

19,499,659

Torchmark Corp. (d)

96,240

4,661,866

Tower Group, Inc.

33,224

765,813

Transatlantic Holdings, Inc.

44,643

2,705,366

Unico American Corp. (a)

3,526

38,257

United Fire Group, Inc.

20,054

402,885

Universal Insurance Holdings, Inc.

15,547

62,654

Unum Group

265,385

6,117,124

Validus Holdings Ltd.

48,925

1,491,723

W.R. Berkley Corp. (d)

93,123

3,329,147

White Mountains Insurance Group Ltd.

5,455

2,706,880

XL Group PLC Class A

291,212

6,057,210

 

454,067,579

Real Estate Investment Trusts - 3.1%

Acadia Realty Trust (SBI) (d)

40,453

857,199

AG Mortgage Investment Trust, Inc. (d)

8,651

172,328

Agree Realty Corp.

17,794

427,056

Alexanders, Inc. (d)

2,559

971,013

Alexandria Real Estate Equities, Inc.

48,539

3,479,761

American Assets Trust, Inc.

30,756

661,869

American Campus Communities, Inc. (d)

50,695

2,086,099

American Capital Agency Corp.

159,714

4,904,817

American Capital Mortgage Investment Corp. (d)

6,160

132,810

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Tower Corp.

302,714

$ 18,943,842

Annaly Capital Management, Inc. (d)

759,339

12,620,214

Anworth Mortgage Asset Corp.

125,333

814,665

Apartment Investment & Management Co. Class A

79,559

1,976,246

Apollo Commercial Real Estate Finance, Inc.

23,002

343,880

Arbor Realty Trust, Inc. (a)

23,842

114,442

Armour Residential REIT, Inc.

96,013

678,812

Ashford Hospitality Trust, Inc. (d)

69,895

589,914

Associated Estates Realty Corp. (d)

41,987

626,446

AvalonBay Communities, Inc. (d)

79,154

10,263,899

BioMed Realty Trust, Inc. (d)

115,007

2,118,429

Boston Properties, Inc.

110,386

11,209,698

Brandywine Realty Trust (SBI) (d)

116,242

1,256,576

BRE Properties, Inc.

50,669

2,453,900

BRT Realty Trust (a)

5,568

35,969

Camden Property Trust (SBI) (d)

53,660

3,326,920

Campus Crest Communities, Inc.

19,510

206,611

Capital Trust, Inc. Class A (a)

19,793

67,296

CapLease, Inc.

46,796

188,588

Capstead Mortgage Corp.

62,774

834,894

CBL & Associates Properties, Inc. (d)

105,320

1,856,792

Cedar Shopping Centers, Inc.

35,947

171,108

Chatham Lodging Trust

11,126

134,180

Chesapeake Lodging Trust (d)

21,838

385,004

Chimera Investment Corp.

1,176,306

3,611,259

Cogdell Spencer, Inc.

38,346

162,204

Colonial Properties Trust (SBI) (d)

73,570

1,509,656

Colony Financial, Inc.

21,335

355,868

CommonWealth REIT

67,934

1,263,572

Coresite Realty Corp.

15,524

331,437

Corporate Office Properties Trust (SBI) (d)

60,016

1,471,592

Cousins Properties, Inc. (d)

85,536

632,111

Crexus Investment Corp.

50,256

560,354

CubeSmart

77,898

878,689

Cys Investments, Inc. (d)

81,827

1,110,392

DCT Industrial Trust, Inc. (d)

159,549

903,047

DDR Corp.

184,424

2,605,911

DiamondRock Hospitality Co. (d)

119,310

1,188,328

Digital Realty Trust, Inc.

76,725

5,562,563

Douglas Emmett, Inc.

89,730

1,890,611

Duke Realty LP

198,989

2,761,967

DuPont Fabros Technology, Inc. (d)

42,941

983,349

EastGroup Properties, Inc. (d)

24,180

1,165,234

Education Realty Trust, Inc. (d)

62,872

646,324

Entertainment Properties Trust (SBI) (d)

60,495

2,752,523

Equity Lifestyle Properties, Inc. (d)

31,485

2,094,067

Equity One, Inc. (d)

40,590

772,022

Equity Residential (SBI)

234,055

13,315,389

Essex Property Trust, Inc. (d)

26,848

3,758,452

 

Shares

Value

Excel Trust, Inc.

30,162

$ 361,642

Extra Space Storage, Inc.

78,885

2,080,197

Federal Realty Investment Trust (SBI)

61,635

5,876,897

FelCor Lodging Trust, Inc. (a)

117,716

452,029

First Industrial Realty Trust, Inc. (a)

56,203

664,319

First Potomac Realty Trust (d)

52,713

697,393

Franklin Street Properties Corp. (d)

68,554

706,792

General Growth Properties, Inc.

364,744

5,934,385

Getty Realty Corp. (d)

23,628

401,676

Gladstone Commercial Corp.

7,566

135,204

Glimcher Realty Trust

104,869

1,038,203

Government Properties Income Trust

25,248

589,036

Gramercy Capital Corp. (a)

25,709

74,556

Hatteras Financial Corp.

62,065

1,767,611

HCP, Inc.

343,212

13,556,874

Health Care REIT, Inc.

150,000

8,166,000

Healthcare Realty Trust, Inc. (d)

51,018

1,054,542

Hersha Hospitality Trust

136,305

685,614

Highwoods Properties, Inc. (SBI)

48,585

1,554,720

Home Properties, Inc. (d)

35,000

2,017,050

Hospitality Properties Trust (SBI) (d)

90,003

2,225,774

Host Hotels & Resorts, Inc. (d)

541,818

8,549,888

Hudson Pacific Properties, Inc.

14,404

220,237

Inland Real Estate Corp.

58,987

511,417

Invesco Mortgage Capital, Inc.

96,602

1,654,792

Investors Real Estate Trust (d)

69,850

532,956

iStar Financial, Inc. (a)

71,516

504,188

Kilroy Realty Corp. (d)

54,084

2,371,043

Kimco Realty Corp. (d)

343,109

6,306,343

Kite Realty Group Trust

30,457

149,544

LaSalle Hotel Properties (SBI)

60,809

1,622,384

Lexington Corporate Properties Trust

108,388

937,556

Liberty Property Trust (SBI) (d)

90,608

3,073,423

LTC Properties, Inc.

26,907

830,350

Mack-Cali Realty Corp.

59,265

1,694,979

Medical Properties Trust, Inc.

87,853

853,931

MFA Financial, Inc.

290,341

2,119,489

Mid-America Apartment Communities, Inc.

25,121

1,566,797

Mission West Properties, Inc. (d)

38,129

381,290

Monmouth Real Estate Investment Corp. Class A

12,122

113,462

MPG Office Trust, Inc. (a)(d)

84,174

188,550

National Health Investors, Inc.

21,683

1,021,920

National Retail Properties, Inc.

63,779

1,699,710

New York Mortgage Trust, Inc. (d)

3,129

22,216

NorthStar Realty Finance Corp.

91,257

487,312

Omega Healthcare Investors, Inc. (d)

72,226

1,471,244

One Liberty Properties, Inc.

11,261

196,842

Parkway Properties, Inc.

29,977

299,470

Pebblebrook Hotel Trust

35,559

762,029

Pennsylvania Real Estate Investment Trust (SBI)

54,751

734,758

Pennymac Mortgage Investment Trust

24,225

436,050

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Piedmont Office Realty Trust, Inc. Class A (d)

148,914

$ 2,623,865

Plum Creek Timber Co., Inc.

155,723

6,098,113

PMC Commercial Trust

8,500

61,455

Post Properties, Inc.

41,888

1,829,249

Potlatch Corp. (d)

27,984

862,467

Prologis, Inc.

391,545

13,179,405

PS Business Parks, Inc.

16,465

1,027,745

Public Storage

111,267

14,917,567

RAIT Financial Trust

28,885

153,091

Ramco-Gershenson Properties Trust (SBI)

23,549

260,687

Rayonier, Inc. (d)

86,770

3,863,000

Realty Income Corp.

100,000

3,689,000

Redwood Trust, Inc.

60,890

704,497

Regency Centers Corp. (d)

90,033

3,852,512

Resource Capital Corp.

43,562

251,353

Retail Opportunity Investments Corp.

20,294

236,019

RLJ Lodging Trust

47,820

837,806

Rouse Properties, Inc. (a)

13,681

200,153

Rouse Properties, Inc. rights 3/16/12 (a)

13,681

0

Sabra Health Care REIT, Inc.

44,632

637,345

Saul Centers, Inc.

11,025

417,407

Senior Housing Properties Trust (SBI)

111,115

2,377,861

Simon Property Group, Inc.

237,530

32,180,564

SL Green Realty Corp.

78,146

5,943,003

Sovran Self Storage, Inc. (d)

21,775

1,034,530

Stag Industrial, Inc.

9,543

117,283

Starwood Property Trust, Inc.

73,060

1,442,204

Strategic Hotel & Resorts, Inc. (a)

120,853

752,914

Summit Hotel Properties, Inc.

27,924

257,180

Sun Communities, Inc. (d)

36,167

1,496,952

Sunstone Hotel Investors, Inc. (a)(d)

81,015

727,515

Tanger Factory Outlet Centers, Inc.

57,882

1,694,785

Taubman Centers, Inc. (d)

39,924

2,757,551

Terreno Realty Corp.

10,962

155,880

The Macerich Co. (d)

107,006

5,777,254

Two Harbors Investment Corp.

135,657

1,394,554

UDR, Inc.

154,946

3,876,749

UMH Properties, Inc.

4,692

47,389

Universal Health Realty Income Trust (SBI)

13,491

509,825

Urstadt Biddle Properties, Inc.

314

5,831

Urstadt Biddle Properties, Inc. Class A

26,585

505,647

Ventas, Inc.

223,719

12,510,366

Vornado Realty Trust

139,847

11,429,695

Washington (REIT) (SBI)

44,091

1,305,975

Weingarten Realty Investors (SBI)

85,028

2,117,197

Weyerhaeuser Co.

408,182

8,526,922

Whitestone REIT Class B

1,800

23,292

Winthrop Realty Trust

18,504

210,761

 

383,435,297

 

Shares

Value

Real Estate Management & Development - 0.1%

American Realty Capital Properties, Inc.

5,970

$ 67,461

AV Homes, Inc. (a)

6,188

64,788

Brookfield Properties Corp.

194,536

3,379,047

CBRE Group, Inc. (a)

220,257

4,037,311

Consolidated-Tomoka Land Co.

2,432

72,620

Forest City Enterprises, Inc. Class A (a)(d)

95,968

1,403,052

Forestar Group, Inc. (a)(d)

31,999

502,064

Howard Hughes Corp. (a)

21,592

1,199,436

Jones Lang LaSalle, Inc. (d)

31,527

2,566,613

Kennedy-Wilson Holdings, Inc.

25,602

346,139

Maui Land & Pineapple, Inc. (a)

31,310

116,786

Tejon Ranch Co. (a)(d)

11,342

331,413

The St. Joe Co. (a)(d)

64,020

1,031,362

Thomas Properties Group, Inc.

14,816

63,709

Transcontinental Realty Investors, Inc. (a)

20,697

44,706

 

15,226,507

Thrifts & Mortgage Finance - 0.2%

Alliance Bancorp, Inc. of Pennsylvania

1,065

12,024

Apollo Residential Mortgage, Inc.

12,502

224,161

ASB Bancorp, Inc.

4,145

49,947

Astoria Financial Corp. (d)

69,632

611,369

Bank Mutual Corp.

56,001

220,084

BankAtlantic Bancorp, Inc. Class A (a)(d)

14,545

31,999

BankFinancial Corp.

8,862

50,070

BankUnited, Inc.

38,231

880,460

BCSB Bancorp, Inc. (a)

94

1,204

Beneficial Mutual Bancorp, Inc. (a)

34,804

315,672

Berkshire Hills Bancorp, Inc. (d)

12,304

270,565

BofI Holding, Inc. (a)

11,427

187,289

Brookline Bancorp, Inc., Delaware

86,924

797,962

Camco Financial Corp. (a)

347

791

Cape Bancorp, Inc. (a)

2,611

21,045

Capitol Federal Financial, Inc.

122,267

1,429,301

CFS Bancorp, Inc.

688

3,846

Charter Financial Corp., Georgia

1,200

11,592

Chicopee Bancorp, Inc. (a)

1,816

26,259

Citizens South Banking Corp., Delaware

4,022

17,496

Clifton Savings Bancorp, Inc.

14,989

147,342

Dime Community Bancshares, Inc.

51,879

722,156

Doral Financial Corp. (a)

159,443

223,220

ESB Financial Corp. (d)

7,915

100,916

ESSA Bancorp, Inc.

4,298

41,347

Farmer Mac Class C (non-vtg.)

8,894

177,524

First Defiance Financial Corp.

6,145

96,108

First Financial Holdings, Inc.

6,172

60,239

First Financial Northwest, Inc. (a)(d)

2,197

16,192

First PacTrust Bancorp, Inc.

4,303

50,431

Flagstar Bancorp, Inc. (a)

372,060

268,218

Flushing Financial Corp.

37,878

490,520

Fox Chase Bancorp, Inc.

14,307

178,981

Franklin Financial Corp./VA (a)

8,632

116,446

Guaranty Federal Bancshares, Inc. (a)

924

7,069

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

HF Financial Corp.

2,735

$ 31,480

Hingham Institution for Savings

1,505

78,335

Home Federal Bancorp, Inc.

1,628

16,329

Hudson City Bancorp, Inc.

361,714

2,477,741

IF Bancorp, Inc. (a)

3,112

35,570

Indiana Community Bancorp

2,264

48,902

Kaiser Federal Financial Group, Inc.

8,188

110,620

Kearny Financial Corp.

2,196

20,489

Meridian Interstate Bancorp, Inc. (a)

750

9,698

MGIC Investment Corp. (a)(d)

129,823

585,502

NASB Financial, Inc. (a)

1,203

16,686

New York Community Bancorp, Inc.

334,923

4,357,348

Northfield Bancorp, Inc. (d)

9,876

136,091

Northwest Bancshares, Inc.

92,094

1,162,226

OceanFirst Financial Corp.

5,851

80,334

Ocwen Financial Corp. (a)(d)

74,000

1,192,140

Oritani Financial Corp.

26,763

348,722

People's United Financial, Inc.

298,743

3,761,174

Peoples Federal Bancshares, Inc. (a)

1,156

18,265

Poage Bankshares, Inc.

2,365

27,316

Provident Financial Holdings, Inc.

1,385

14,279

Provident Financial Services, Inc.

56,391

774,812

Provident New York Bancorp

44,223

377,222

PVF Capital Corp. (a)

11,916

20,376

Radian Group, Inc. (d)

84,170

319,004

Riverview Bancorp, Inc. (a)

6,875

15,538

Rockville Financial, Inc.

5,182

59,852

Teche Holding Co.

130

4,863

Territorial Bancorp, Inc.

11,189

234,969

TF Financial Corp.

1,705

42,045

TFS Financial Corp. (a)

120,727

1,128,797

Timberland Bancorp, Inc. (a)

5,034

21,143

Tree.com, Inc. (a)

3,275

25,021

Trustco Bank Corp., New York

73,043

391,510

United Community Financial Corp., Ohio (a)

11,112

15,001

United Financial Bancorp, Inc.

3,272

51,861

ViewPoint Financial Group

24,223

363,103

Walker & Dunlop, Inc. (a)

10,954

136,377

Washington Federal, Inc.

81,888

1,326,586

Westfield Financial, Inc.

28,907

229,233

WSFS Financial Corp.

10,396

400,142

 

28,326,547

TOTAL FINANCIALS

1,867,602,364

HEALTH CARE - 11.3%

Biotechnology - 1.7%

Aastrom Biosciences, Inc. (a)(d)

78,454

140,433

Acadia Pharmaceuticals, Inc. (a)

28,029

46,808

 

Shares

Value

Achillion Pharmaceuticals, Inc. (a)

28,628

$ 300,594

Acorda Therapeutics, Inc. (a)

26,790

700,826

ADVENTRX Pharmaceuticals, Inc. (a)(d)

13,759

9,095

Aegerion Pharmaceuticals, Inc. (a)(d)

17,880

299,132

Affymax, Inc. (a)(d)

66,177

675,667

Agenus, Inc. (a)

772

2,463

Alexion Pharmaceuticals, Inc. (a)(d)

154,733

12,955,794

Alkermes PLC (a)

65,333

1,150,514

Allos Therapeutics, Inc. (a)

74,291

110,694

Alnylam Pharmaceuticals, Inc. (a)(d)

34,904

465,619

AMAG Pharmaceuticals, Inc. (a)

31,420

496,750

Amgen, Inc.

713,793

48,502,234

Amicus Therapeutics, Inc. (a)

6,651

39,773

Amylin Pharmaceuticals, Inc. (a)(d)

94,456

1,614,253

Anacor Pharmaceuticals, Inc. (a)

8,597

51,066

Anthera Pharmaceuticals, Inc. (a)

12,186

80,671

Ardea Biosciences, Inc. (a)(d)

18,307

390,305

Arena Pharmaceuticals, Inc. (a)(d)

227,861

405,593

ARIAD Pharmaceuticals, Inc. (a)

95,029

1,362,716

ArQule, Inc. (a)(d)

52,890

375,519

Array Biopharma, Inc. (a)

101,050

283,951

Astex Pharmaceuticals, Inc. (a)(d)

46,939

85,898

AVEO Pharmaceuticals, Inc. (a)

29,278

381,785

AVI BioPharma, Inc. (a)(d)

273,083

284,006

Avigen, Inc. rights (a)

1,600

0

BioCryst Pharmaceuticals, Inc. (a)

40,934

190,752

Biogen Idec, Inc. (a)

191,924

22,353,388

BioMarin Pharmaceutical, Inc. (a)(d)

81,154

2,901,256

BioMimetic Therapeutics, Inc. (a)

29,891

62,173

Biosante Pharmaceuticals, Inc. (a)

72,515

56,025

Biospecifics Technologies Corp. (a)

1,441

24,958

BioTime, Inc. (a)(d)

32,076

160,059

Cardium Therapeutics, Inc. (a)(d)

185,107

53,366

Cel-Sci Corp. (a)(d)

283,400

106,417

Celgene Corp. (a)

380,085

27,869,733

Cell Therapeutics, Inc. (a)(d)

100,397

128,508

Celldex Therapeutics, Inc. (a)

29,641

112,339

Celsion Corp. (a)(d)

15,910

32,775

Cepheid, Inc. (a)(d)

45,758

1,848,166

Chelsea Therapeutics International Ltd. (a)(d)

75,408

278,256

Cleveland Biolabs, Inc. (a)(d)

16,887

61,975

Codexis, Inc. (a)

13,589

53,541

Coronado Biosciences, Inc. (a)(d)

10,731

81,770

Cubist Pharmaceuticals, Inc. (a)(d)

45,911

1,967,745

Cubist Pharmaceuticals, Inc. rights (a)

32,062

0

Curis, Inc. (a)(d)

51,867

233,920

Cyclacel Pharmaceuticals, Inc. (a)

80,707

58,109

Cytokinetics, Inc. (a)

59,298

61,077

Cytori Therapeutics, Inc. (a)(d)

69,588

226,161

CytRx Corp. (a)

180,289

62,019

DARA BioSciences, Inc. (a)(d)

8,510

14,212

Dendreon Corp. (a)(d)

107,274

1,207,905

Discovery Laboratories, Inc. (a)

218

778

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

DUSA Pharmaceuticals, Inc. (a)

12,987

$ 62,597

Dyax Corp. (a)

58,403

87,020

Dynavax Technologies Corp. (a)(d)

131,405

551,901

Emergent BioSolutions, Inc. (a)

18,513

282,694

EntreMed, Inc. (a)

289

598

Enzon Pharmaceuticals, Inc. (a)

43,430

307,050

Exact Sciences Corp. (a)(d)

46,309

434,842

Exelixis, Inc. (a)

97,894

556,038

Galena Biopharma, Inc. (a)(d)

31,096

33,273

Genomic Health, Inc. (a)(d)

12,051

351,648

GenVec, Inc. (a)

8,140

21,978

Geron Corp. (a)

79,136

158,272

Gilead Sciences, Inc. (a)

608,734

27,697,397

GTx, Inc. (a)(d)

12,895

44,617

Halozyme Therapeutics, Inc. (a)(d)

66,038

760,097

Hemispherx Biopharma, Inc. (a)(d)

81,533

25,031

Horizon Pharma, Inc. (d)

8,364

28,856

Human Genome Sciences, Inc. (a)(d)

139,644

1,100,395

iBio, Inc. (a)

40,361

32,688

Idenix Pharmaceuticals, Inc. (a)

52,224

614,676

Idera Pharmaceuticals, Inc. (a)

7,737

9,903

ImmunoGen, Inc. (a)(d)

57,844

796,512

Immunomedics, Inc. (a)(d)

54,782

195,024

Incyte Corp. (a)(d)

82,304

1,395,876

Infinity Pharmaceuticals, Inc. (a)(d)

4,048

32,991

Inovio Pharmaceuticals, Inc. (a)

47,000

27,260

Insmed, Inc. (a)(d)

6,880

29,309

InterMune, Inc. (a)

50,243

674,261

Ironwood Pharmaceuticals, Inc. Class A (a)(d)

35,334

473,122

Isis Pharmaceuticals, Inc. (a)(d)

64,197

584,835

Keryx Biopharmaceuticals, Inc. (a)(d)

66,082

219,392

Lexicon Pharmaceuticals, Inc. (a)(d)

133,677

227,251

Ligand Pharmaceuticals, Inc. Class B (a)

16,755

245,963

MannKind Corp. (a)

78,574

183,863

Maxygen, Inc. (a)

47,150

258,854

Medivation, Inc. (a)(d)

25,651

1,680,397

Metabolix, Inc. (a)(d)

41,636

114,499

Micromet, Inc. (a)(d)

75,077

825,096

Momenta Pharmaceuticals, Inc. (a)(d)

43,036

630,908

Myrexis, Inc. (a)

68,786

220,115

Myriad Genetics, Inc. (a)

62,451

1,511,314

Nabi Biopharmaceuticals (a)

35,088

65,615

Nanosphere, Inc. (a)

12,896

27,855

Neurocrine Biosciences, Inc. (a)

50,654

398,647

NewLink Genetics Corp.

4,366

36,936

Novavax, Inc. (a)(d)

79,584

101,072

NPS Pharmaceuticals, Inc. (a)(d)

67,196

458,277

OncoGenex Pharmaceuticals, Inc. (a)

5,100

81,498

Oncothyreon, Inc. (a)(d)

23,957

196,447

ONYX Pharmaceuticals, Inc. (a)(d)

47,108

1,805,179

 

Shares

Value

Opexa Therapeutics, Inc. (a)

9,114

$ 8,476

Opko Health, Inc. (a)(d)

104,761

517,519

OREXIGEN Therapeutics, Inc. (a)

34,059

133,511

Osiris Therapeutics, Inc. (a)(d)

18,170

94,847

OXiGENE, Inc. (a)(d)

6,714

7,721

Oxygen Biotherapeutics, Inc. (a)(d)

27,463

73,875

PDL BioPharma, Inc.

108,271

690,769

Peregrine Pharmaceuticals, Inc. (a)(d)

48,032

45,092

Pharmacyclics, Inc. (a)(d)

40,835

1,028,634

PharmAthene, Inc. (a)(d)

51,372

75,517

Progenics Pharmaceuticals, Inc. (a)(d)

25,311

246,782

PROLOR Biotech, Inc. (a)

33,237

191,777

Raptor Pharmaceutical Corp. (a)(d)

12,780

89,204

Regeneron Pharmaceuticals, Inc. (a)(d)

68,654

7,194,253

Repligen Corp. (a)

5,241

23,113

Rexahn Pharmaceuticals, Inc. (a)(d)

45,000

22,973

Rigel Pharmaceuticals, Inc. (a)(d)

61,503

615,030

Sangamo Biosciences, Inc. (a)(d)

37,246

196,286

Savient Pharmaceuticals, Inc. (a)(d)

88,045

176,970

SciClone Pharmaceuticals, Inc. (a)(d)

28,016

131,395

Seattle Genetics, Inc. (a)(d)

83,271

1,537,183

SIGA Technologies, Inc. (a)(d)

72,968

207,959

Spectrum Pharmaceuticals, Inc. (a)(d)

36,395

516,445

StemCells, Inc. (a)(d)

14,648

16,113

Sunesis Pharmaceuticals, Inc. (a)(d)

32,643

56,799

Synageva BioPharma Corp. (a)

4,180

155,998

Synta Pharmaceuticals Corp. (a)

30,128

144,012

Targacept, Inc. (a)

18,977

129,423

Telik, Inc. (a)

11,402

1,596

Theravance, Inc. (a)(d)

51,033

954,317

Threshold Pharmaceuticals, Inc. (a)

11,685

60,645

Tranzyme, Inc.

9,317

46,958

Trius Therapeutics, Inc. (a)

7,007

35,455

United Therapeutics Corp. (a)(d)

37,819

1,805,101

Vanda Pharmaceuticals, Inc. (a)

44,094

204,596

Verastem, Inc.

400

4,640

Vertex Pharmaceuticals, Inc. (a)

191,600

7,457,072

Vical, Inc. (a)(d)

65,666

210,131

XOMA Corp. (a)

33,778

51,005

Zalicus, Inc. (a)

67,670

67,670

ZIOPHARM Oncology, Inc. (a)(d)

79,220

388,970

 

203,695,313

Health Care Equipment & Supplies - 1.9%

Abaxis, Inc. (a)(d)

23,291

618,609

Abiomed, Inc. (a)(d)

36,354

759,072

Accuray, Inc. (a)(d)

37,835

256,521

Alere, Inc. (a)

62,700

1,594,461

Align Technology, Inc. (a)(d)

92,669

2,373,253

Alphatec Holdings, Inc. (a)(d)

36,801

69,186

Analogic Corp. (d)

9,235

525,933

Angiodynamics, Inc. (a)(d)

26,377

343,429

Anika Therapeutics, Inc. (a)

4,090

46,462

Antares Pharma, Inc. (a)

25,935

65,356

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

ArthroCare Corp. (a)

20,678

$ 539,696

Atricure, Inc. (a)

2,192

22,358

Atrion Corp.

530

109,180

Bacterin International Holdings, Inc. (a)

9,747

28,851

Baxter International, Inc.

469,167

27,272,678

Becton, Dickinson & Co.

163,254

12,443,220

BioLase Technology, Inc. (d)

23,962

65,177

Boston Scientific Corp. (a)

1,310,092

8,148,772

BSD Medical Corp. (a)(d)

46,363

101,535

C. R. Bard, Inc.

65,241

6,107,862

Cantel Medical Corp.

32,623

658,658

Cardica, Inc. (a)

23,778

48,032

Cardiovascular Systems, Inc. (a)(d)

5,726

51,820

CareFusion Corp. (a)

165,874

4,281,208

Cerus Corp. (a)(d)

38,690

145,474

Conceptus, Inc. (a)(d)

26,951

363,030

CONMED Corp.

19,521

582,507

Covidien PLC

384,638

20,097,336

Cryolife, Inc. (a)

20,961

114,237

Cutera, Inc. (a)

15,449

144,448

Cyberonics, Inc. (a)(d)

26,017

968,613

Cynosure, Inc. Class A (a)

6,957

123,765

Delcath Systems, Inc. (a)(d)

119,898

522,755

DENTSPLY International, Inc. (d)

140,521

5,435,352

Derma Sciences, Inc. (a)

2,779

24,372

DexCom, Inc. (a)(d)

65,323

704,835

DynaVox, Inc. Class A (a)

5,368

17,017

Edwards Lifesciences Corp. (a)(d)

102,152

7,470,376

Endologix, Inc. (a)(d)

30,670

405,764

Exactech, Inc. (a)(d)

3,102

49,291

Fonar Corp. (a)

719

1,438

Gen-Probe, Inc. (a)

34,362

2,346,237

Genmark Diagnostics, Inc. (a)

4,700

19,552

Greatbatch, Inc. (a)(d)

22,320

552,420

Haemonetics Corp. (a)(d)

17,372

1,164,445

Hansen Medical, Inc. (a)(d)

48,696

155,340

Hill-Rom Holdings, Inc.

45,276

1,538,026

Hologic, Inc. (a)

188,071

3,898,712

ICU Medical, Inc. (a)(d)

17,344

795,743

IDEXX Laboratories, Inc. (a)

44,087

3,780,460

Insulet Corp. (a)(d)

24,061

474,483

Integra LifeSciences Holdings Corp. (a)(d)

14,197

448,625

Intuitive Surgical, Inc. (a)

32,467

16,610,767

Invacare Corp.

28,414

469,115

IRIS International, Inc. (a)

20,459

228,527

IVAX Diagnostics, Inc. (a)

3,094

1,547

Kensey Nash Corp.

22,159

500,350

Kewaunee Scientific Corp.

1,376

11,380

LeMaitre Vascular, Inc.

3,845

21,532

Mako Surgical Corp. (a)(d)

32,106

1,255,345

Masimo Corp. (a)(d)

36,398

793,476

 

Shares

Value

Medical Action Industries, Inc. (a)

12,909

$ 69,967

Medtronic, Inc.

850,420

32,418,010

MELA Sciences, Inc. (a)(d)

32,214

148,829

Meridian Bioscience, Inc. (d)

35,455

638,899

Merit Medical Systems, Inc. (a)

29,543

369,878

Misonix, Inc. (a)

2,579

5,106

Natus Medical, Inc. (a)

24,629

257,866

Navidea Biopharmaceuticals, Inc. (a)(d)

114,446

343,338

Neogen Corp. (a)(d)

25,237

875,724

NuVasive, Inc. (a)

28,061

440,277

NxStage Medical, Inc. (a)(d)

42,830

856,600

OraSure Technologies, Inc. (a)

22,681

227,490

Orthofix International NV (a)

16,427

644,103

Palomar Medical Technologies, Inc. (a)

15,820

174,653

Quidel Corp. (a)(d)

34,466

488,728

ResMed, Inc. (a)(d)

157,117

4,603,528

Retractable Technologies, Inc. (a)

5,248

6,298

Rockwell Medical Technologies, Inc. (a)

2,069

19,635

RTI Biologics, Inc. (a)

29,474

109,054

Sirona Dental Systems, Inc. (a)

39,958

1,993,904

Solta Medical, Inc. (a)

20,912

59,390

SonoSite, Inc. (a)

19,011

1,025,073

St. Jude Medical, Inc.

262,641

11,062,439

Staar Surgical Co. (a)(d)

15,788

164,669

Stereotaxis, Inc. (a)(d)

24,530

18,765

Steris Corp.

36,700

1,151,646

Stryker Corp.

227,565

12,206,587

SurModics, Inc. (a)

19,525

277,255

Symmetry Medical, Inc. (a)

29,367

212,617

Synergetics USA, Inc. (a)

3,622

22,819

Teleflex, Inc.

29,057

1,722,208

The Cooper Companies, Inc.

33,711

2,679,350

The Spectranetics Corp. (a)

29,169

226,351

Theragenics Corp. (a)

1,117

1,776

ThermoGenesis Corp. (a)(d)

15,844

16,002

Thoratec Corp. (a)(d)

42,041

1,450,415

Unilife Corp. (a)(d)

50,575

187,633

Urologix, Inc. (a)(d)

3,267

4,508

Uroplasty, Inc. (a)

1,597

4,408

Varian Medical Systems, Inc. (a)(d)

87,245

5,692,736

Vascular Solutions, Inc. (a)

2,125

22,291

Vermillion, Inc. (a)

5,249

6,929

Volcano Corp. (a)(d)

37,240

1,043,837

West Pharmaceutical Services, Inc. (d)

23,198

965,037

Wright Medical Group, Inc. (a)(d)

29,686

491,600

Young Innovations, Inc.

2,156

65,219

Zeltiq Aesthetics, Inc. (d)

6,038

66,901

Zimmer Holdings, Inc.

143,847

8,738,705

Zoll Medical Corp. (a)(d)

18,652

1,364,394

 

234,411,468

Health Care Providers & Services - 2.2%

Acadia Healthcare Co., Inc. (a)

2,518

35,227

Accretive Health, Inc. (a)(d)

27,886

724,757

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Aetna, Inc.

286,858

$ 13,413,480

Air Methods Corp. (a)(d)

12,386

1,117,589

Alliance Healthcare Services, Inc. (a)(d)

85,702

116,555

Almost Family, Inc. (a)(d)

9,932

227,244

Amedisys, Inc. (a)(d)

19,251

247,375

AMERIGROUP Corp. (a)(d)

35,313

2,398,812

AmerisourceBergen Corp.

233,877

8,735,306

AMN Healthcare Services, Inc. (a)

51,175

273,275

AmSurg Corp. (a)

25,500

666,315

Assisted Living Concepts, Inc. Class A

16,849

270,426

Bio-Reference Laboratories, Inc. (a)(d)

31,917

642,808

BioScrip, Inc. (a)(d)

41,738

264,619

Brookdale Senior Living, Inc. (a)(d)

84,038

1,566,468

Capital Senior Living Corp. (a)

26,619

228,125

Cardinal Health, Inc.

261,307

10,857,306

CardioNet, Inc. (a)

34,161

108,974

Catalyst Health Solutions, Inc. (a)

31,805

1,972,546

Centene Corp. (a)(d)

35,301

1,722,689

Chemed Corp.

14,268

882,048

Chindex International, Inc. (a)(d)

9,187

85,715

CIGNA Corp.

215,000

9,483,650

Community Health Systems, Inc. (a)

81,813

2,064,960

Conmed Healthcare Management, Inc. (a)

5,109

18,801

Corvel Corp. (a)

8,848

401,168

Coventry Health Care, Inc. (a)(d)

155,796

5,092,971

Cross Country Healthcare, Inc. (a)

29,137

164,915

DaVita, Inc. (a)

70,363

6,089,918

Emeritus Corp. (a)(d)

17,838

329,289

ExamWorks Group, Inc. (a)(d)

17,147

176,957

Express Scripts, Inc. (a)(d)

368,167

19,634,346

Five Star Quality Care, Inc. (a)

32,241

114,133

Gentiva Health Services, Inc. (a)(d)

24,132

189,436

Hanger Orthopedic Group, Inc. (a)(d)

27,160

561,940

HCA Holdings, Inc.

120,808

3,221,949

Health Management Associates, Inc. Class A (a)

180,959

1,335,477

Health Net, Inc. (a)

67,297

2,539,789

HealthSouth Corp. (a)(d)

69,496

1,414,939

Healthways, Inc. (a)

33,821

268,877

Henry Schein, Inc. (a)(d)

71,206

5,270,668

HMS Holdings Corp. (a)(d)

61,425

1,979,114

Hooper Holmes, Inc. (a)

6,267

4,378

Humana, Inc.

138,379

12,052,811

IPC The Hospitalist Co., Inc. (a)

20,567

748,022

Kindred Healthcare, Inc. (a)(d)

37,371

384,548

Laboratory Corp. of America Holdings (a)(d)

83,669

7,521,006

Landauer, Inc.

14,935

801,113

LCA-Vision, Inc. (a)

10,358

89,286

LHC Group, Inc. (a)

12,810

218,026

 

Shares

Value

LifePoint Hospitals, Inc. (a)(d)

38,142

$ 1,486,394

Lincare Holdings, Inc. (d)

67,736

1,819,389

Magellan Health Services, Inc. (a)

25,186

1,190,290

McKesson Corp.

205,993

17,202,475

Medcath Corp. (a)

2,958

22,954

Medco Health Solutions, Inc. (a)

314,026

21,225,017

MEDNAX, Inc. (a)(d)

44,058

3,277,475

Metropolitan Health Networks, Inc. (a)

12,700

106,172

MModal, Inc. (a)

39,028

401,598

Molina Healthcare, Inc. (a)(d)

19,589

665,242

MWI Veterinary Supply, Inc. (a)(d)

13,354

1,156,056

National Healthcare Corp.

6,159

276,046

NeoStem, Inc. (a)

41,470

23,638

Omnicare, Inc.

82,306

2,895,525

Owens & Minor, Inc.

43,454

1,301,882

Patterson Companies, Inc.

71,822

2,292,558

PDI, Inc. (a)

1,365

9,446

PharMerica Corp. (a)

29,176

357,698

Providence Service Corp. (a)

13,245

199,337

PSS World Medical, Inc. (a)(d)

39,096

947,296

Quest Diagnostics, Inc.

140,542

8,158,463

RadNet, Inc. (a)

27,076

80,957

Select Medical Holdings Corp. (a)

37,877

318,924

Sharps Compliance Corp. (a)

5,184

20,269

Skilled Healthcare Group, Inc. (a)

27,157

177,335

SRI/Surgical Express, Inc. (a)

774

2,941

Sun Healthcare Group, Inc. (a)

15,191

67,752

Sunrise Senior Living, Inc. (a)(d)

31,316

242,386

Team Health Holdings, Inc. (a)

29,804

646,449

Tenet Healthcare Corp. (a)

398,929

2,253,949

The Ensign Group, Inc.

5,658

155,086

Triple-S Management Corp. (a)(d)

20,220

478,607

U.S. Physical Therapy, Inc.

11,240

213,672

UnitedHealth Group, Inc.

855,641

47,701,986

Universal American Spin Corp. (a)

33,569

380,672

Universal Health Services, Inc. Class B

64,910

2,895,635

Vanguard Health Systems, Inc. (a)

30,455

303,332

VCA Antech, Inc. (a)(d)

61,414

1,350,494

Wellcare Health Plans, Inc. (a)(d)

37,775

2,563,412

WellPoint, Inc.

286,095

18,776,415

 

272,375,370

Health Care Technology - 0.1%

Allscripts-Misys Healthcare Solutions, Inc. (a)

134,782

2,603,988

athenahealth, Inc. (a)(d)

25,730

1,818,339

Authentidate Holding Corp. (a)

1,633

1,061

Cerner Corp. (a)(d)

107,829

7,961,015

Computer Programs & Systems, Inc. (d)

21,937

1,334,647

Epocrates, Inc. (a)

10,933

101,677

Greenway Medical Technologies

5,301

78,455

HealthStream, Inc. (a)(d)

13,800

281,934

MedAssets, Inc. (a)

31,551

450,548

Medidata Solutions, Inc. (a)(d)

25,864

515,728

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Merge Healthcare, Inc. (a)

32,622

$ 213,022

Omnicell, Inc. (a)(d)

25,141

375,104

Quality Systems, Inc.

27,774

1,190,671

Transcend Services, Inc. (a)(d)

6,174

132,741

 

17,058,930

Life Sciences Tools & Services - 0.6%

Affymetrix, Inc. (a)(d)

55,779

232,598

Agilent Technologies, Inc.

263,842

11,508,788

Albany Molecular Research, Inc. (a)

23,897

65,478

Apricus Biosciences, Inc. (a)

18,211

62,282

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

16,766

1,708,791

Biodelivery Sciences International, Inc. (a)

3,338

7,544

Bruker BioSciences Corp. (a)

65,927

1,056,810

Cambrex Corp. (a)

18,522

123,357

Charles River Laboratories International, Inc. (a)

42,610

1,496,889

Complete Genomics, Inc. (a)(d)

7,109

26,445

Covance, Inc. (a)(d)

43,017

2,053,201

Enzo Biochem, Inc. (a)

14,697

37,918

eResearchTechnology, Inc. (a)

54,275

346,275

Fluidigm Corp. (a)

3,871

55,820

Furiex Pharmaceuticals, Inc. (a)

9,211

166,166

Harvard Bioscience, Inc. (a)

675

2,801

Illumina, Inc. (a)(d)

116,750

5,983,438

Life Technologies Corp. (a)(d)

150,316

7,111,450

Luminex Corp. (a)(d)

39,871

895,901

Medtox Scientific, Inc. (a)

654

10,137

Mettler-Toledo International, Inc. (a)(d)

24,159

4,355,385

Pacific Biosciences of California, Inc. (a)(d)

28,978

120,838

PAREXEL International Corp. (a)

52,568

1,286,865

PerkinElmer, Inc.

78,650

2,123,550

pSivida Corp. (a)

25,265

54,067

Sequenom, Inc. (a)(d)

88,233

381,167

SeraCare Life Sciences, Inc. (a)

4,298

17,063

Strategic Diagnostics, Inc. (a)

2,665

5,410

Techne Corp.

26,162

1,872,938

Thermo Fisher Scientific, Inc.

303,487

17,183,434

Waters Corp. (a)

67,094

6,011,622

 

66,364,428

Pharmaceuticals - 4.8%

Abbott Laboratories

1,235,457

69,939,221

Acura Pharmaceuticals, Inc. (a)(d)

2,885

9,347

Akorn, Inc. (a)(d)

43,869

549,679

Alexza Pharmaceuticals, Inc. (a)(d)

85,991

53,744

Alimera Sciences, Inc. (a)

3,741

14,066

Allergan, Inc.

247,302

22,155,786

Ampio Pharmaceuticals, Inc. (a)(d)

6,057

23,380

Auxilium Pharmaceuticals, Inc. (a)(d)

37,784

746,612

 

Shares

Value

AVANIR Pharmaceuticals Class A (a)

65,547

$ 180,910

Biodel, Inc. (a)

32,439

20,599

Bristol-Myers Squibb Co.

1,387,197

44,626,127

Cadence Pharmaceuticals, Inc. (a)(d)

43,831

164,366

Cempra, Inc.

5,499

41,243

ChemoCentryx, Inc.

1,737

17,787

Columbia Laboratories, Inc. (a)

42,578

28,101

Corcept Therapeutics, Inc. (a)

36,105

141,893

Cornerstone Therapeutics, Inc. (a)

7,737

44,410

Cumberland Pharmaceuticals, Inc. (a)(d)

7,158

56,763

DepoMed, Inc. (a)(d)

31,971

201,098

Durect Corp. (a)

93,293

69,037

Echo Therapeutics, Inc. (a)(d)

20,093

37,172

Eli Lilly & Co.

764,434

29,996,390

Endo Pharmaceuticals Holdings, Inc. (a)(d)

100,446

3,723,533

Endocyte, Inc.

47,373

168,174

Forest Laboratories, Inc. (a)

229,448

7,461,649

Hi-Tech Pharmacal Co., Inc. (a)(d)

12,868

513,691

Hospira, Inc. (a)(d)

164,444

5,857,495

Impax Laboratories, Inc. (a)(d)

46,165

1,077,953

Ista Pharmaceuticals, Inc. (a)(d)

34,715

287,440

Jazz Pharmaceuticals PLC (a)

17,296

907,521

Johnson & Johnson

2,195,262

142,867,651

KV Pharmaceutical Co. Class A (a)(d)

106,840

148,508

Lannett Co., Inc. (a)

27,670

114,277

MAP Pharmaceuticals, Inc. (a)

12,387

198,811

Medicis Pharmaceutical Corp. Class A (d)

44,858

1,567,339

Merck & Co., Inc.

2,453,258

93,640,858

Mylan, Inc. (a)

369,805

8,668,229

Nektar Therapeutics (a)(d)

110,915

795,261

NuPathe, Inc. (a)

18,258

54,957

Obagi Medical Products, Inc. (a)

21,864

248,156

Omeros Corp. (a)

4,428

30,110

Optimer Pharmaceuticals, Inc. (a)(d)

23,463

300,092

Pacira Pharmaceuticals, Inc.

9,810

104,967

Pain Therapeutics, Inc. (a)(d)

34,536

126,747

Par Pharmaceutical Companies, Inc. (a)

24,023

891,494

Pernix Therapeutics Holdings, Inc. (a)

5,833

50,280

Perrigo Co.

63,753

6,570,384

Pfizer, Inc.

6,153,479

129,838,407

Pozen, Inc. (a)

23,223

101,252

Questcor Pharmaceuticals, Inc. (a)(d)

48,551

1,888,634

Repros Therapeutics, Inc. (a)

12,895

54,159

Sagent Pharmaceuticals, Inc.

10,801

234,274

Salix Pharmaceuticals Ltd. (a)(d)

38,646

1,906,021

Santarus, Inc. (a)

23,487

106,161

Somaxon Pharmaceuticals, Inc. (a)

52,262

31,880

Synthetic Biologics, Inc. (a)

9,114

20,051

The Medicines Company (a)

52,840

1,132,361

Transcept Pharmaceuticals, Inc. (a)

2,494

20,825

Ventrus Biosciences, Inc. (a)

5,603

59,840

ViroPharma, Inc. (a)(d)

55,566

1,781,446

Vivus, Inc. (a)(d)

63,327

1,424,858

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Warner Chilcott PLC (a)

129,721

$ 2,170,232

Watson Pharmaceuticals, Inc. (a)

97,907

5,709,936

XenoPort, Inc. (a)

33,327

133,308

Zogenix, Inc. (a)

31,169

71,065

 

592,178,018

TOTAL HEALTH CARE

1,386,083,527

INDUSTRIALS - 11.0%

Aerospace & Defense - 2.2%

AAR Corp. (d)

29,755

656,098

AeroVironment, Inc. (a)(d)

13,243

377,161

Alliant Techsystems, Inc.

23,292

1,397,520

American Science & Engineering, Inc.

13,204

959,931

API Technologies Corp. (a)

22,349

84,703

Ascent Solar Technologies, Inc. (a)

33,082

25,142

Astronics Corp. (a)

4,574

152,909

BE Aerospace, Inc. (a)

69,691

3,194,635

Ceradyne, Inc.

17,193

531,436

Cubic Corp.

13,440

642,432

Curtiss-Wright Corp. (d)

35,352

1,313,327

DigitalGlobe, Inc. (a)

20,614

317,043

Ducommun, Inc.

15,643

238,869

EDAC Technologies Corp. (a)

2,262

23,525

Esterline Technologies Corp. (a)(d)

21,459

1,393,762

Exelis, Inc.

137,844

1,448,740

GenCorp, Inc. (non-vtg.) (a)(d)

89,447

536,682

General Dynamics Corp.

231,403

16,945,642

GeoEye, Inc. (a)(d)

17,908

362,995

Goodrich Corp.

101,105

12,736,197

HEICO Corp. Class A (d)

25,642

1,022,603

Hexcel Corp. (a)(d)

68,067

1,720,053

Honeywell International, Inc.

580,063

34,554,353

Huntington Ingalls Industries, Inc. (a)

32,670

1,172,200

Innovative Solutions & Support, Inc. (a)

20,271

86,557

KEYW Holding Corp. (a)(d)

13,887

98,598

Kratos Defense & Security Solutions, Inc. (a)

25,078

159,747

L-3 Communications Holdings, Inc.

80,666

5,666,787

LMI Aerospace, Inc. (a)

6,877

139,947

Lockheed Martin Corp.

217,998

19,273,203

Moog, Inc. Class A (a)(d)

29,482

1,294,555

National Presto Industries, Inc.

4,216

365,063

Northrop Grumman Corp.

200,685

12,002,970

Orbital Sciences Corp. (a)(d)

39,974

561,635

Precision Castparts Corp.

117,640

19,696,465

Raytheon Co.

298,668

15,088,707

Rockwell Collins, Inc.

116,948

6,933,847

Sparton Corp. (a)

2,579

24,294

 

Shares

Value

Spirit AeroSystems Holdings, Inc. Class A (a)(d)

83,434

$ 1,999,079

Sypris Solutions, Inc. (a)

2,772

10,450

Taser International, Inc. (a)(d)

58,908

237,399

Teledyne Technologies, Inc. (a)(d)

25,240

1,504,304

Textron, Inc.

249,615

6,866,909

The Boeing Co.

535,144

40,109,043

TransDigm Group, Inc. (a)

39,452

4,686,503

Triumph Group, Inc.

32,470

2,071,586

United Technologies Corp.

634,327

53,201,005

 

273,886,611

Air Freight & Logistics - 0.7%

Air Transport Services Group, Inc. (a)

62,170

337,583

Atlas Air Worldwide Holdings, Inc. (a)(d)

43,607

1,858,530

C.H. Robinson Worldwide, Inc.

126,390

8,363,226

Expeditors International of Washington, Inc.

169,939

7,414,439

FedEx Corp.

235,769

21,216,852

Forward Air Corp.

23,667

796,868

Hub Group, Inc. Class A (a)(d)

25,258

899,943

Pacer International, Inc. (a)(d)

29,688

163,878

Park-Ohio Holdings Corp. (a)

3,535

66,281

Radiant Logistics, Inc. (a)

14,104

32,439

United Parcel Service, Inc. Class B

549,869

42,279,427

UTI Worldwide, Inc.

71,523

1,154,381

XPO Logistics, Inc. (a)

5,264

88,277

 

84,672,124

Airlines - 0.2%

Alaska Air Group, Inc. (a)

25,753

1,765,883

Allegiant Travel Co. (a)(d)

21,060

1,052,579

Delta Air Lines, Inc. (a)

696,399

6,831,674

Hawaiian Holdings, Inc. (a)

37,702

200,198

JetBlue Airways Corp. (a)(d)

168,034

856,973

Pinnacle Airlines Corp. (a)

11,387

13,323

Republic Airways Holdings, Inc. (a)

81,894

434,857

SkyWest, Inc. (d)

37,944

433,320

Southwest Airlines Co.

603,928

5,423,273

Spirit Airlines, Inc. (a)

15,904

310,605

United Continental Holdings, Inc. (a)(d)

250,567

5,174,209

US Airways Group, Inc. (a)

117,312

869,282

 

23,366,176

Building Products - 0.2%

A.O. Smith Corp.

33,683

1,521,124

AAON, Inc.

30,814

571,600

Ameresco, Inc. Class A (a)

38,199

538,224

American Woodmark Corp.

6,981

99,200

Apogee Enterprises, Inc.

33,247

441,188

Armstrong World Industries, Inc. (a)(d)

15,342

785,817

Builders FirstSource, Inc. (a)

22,494

68,157

Fortune Brands Home & Security, Inc. (a)

128,056

2,476,603

Gibraltar Industries, Inc. (a)

39,553

546,622

Griffon Corp.

38,833

415,125

Insteel Industries, Inc.

16,775

210,694

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Lennox International, Inc. (d)

34,295

$ 1,341,963

Masco Corp. (d)

257,162

3,055,085

NCI Building Systems, Inc. (a)(d)

16,002

193,624

Owens Corning (a)

116,435

3,685,168

Quanex Building Products Corp.

24,300

413,343

Simpson Manufacturing Co. Ltd. (d)

27,187

810,716

Trex Co., Inc. (a)(d)

11,686

314,704

Universal Forest Products, Inc. (d)

19,011

611,014

USG Corp. (a)(d)

46,968

669,294

 

18,769,265

Commercial Services & Supplies - 0.6%

A.T. Cross Co. Class A (a)

3,205

31,890

ABM Industries, Inc. (d)

32,787

744,265

ACCO Brands Corp. (a)(d)

34,948

412,386

Acorn Energy, Inc.

7,981

65,843

American Reprographics Co. (a)(d)

46,203

243,952

Asset Acceptance Capital Corp. (a)

10,832

50,802

Asta Funding, Inc.

4,468

35,208

Avery Dennison Corp.

88,769

2,707,455

Casella Waste Systems, Inc. Class A (a)(d)

50,882

333,277

Cenveo, Inc. (a)(d)

56,923

222,000

Cintas Corp.

89,845

3,464,423

Clean Harbors, Inc. (a)

33,813

2,270,881

Consolidated Graphics, Inc. (a)

12,018

561,120

Copart, Inc. (a)

58,019

2,888,186

Corrections Corp. of America (a)(d)

88,360

2,214,302

Courier Corp.

15,678

169,009

Covanta Holding Corp.

92,025

1,502,768

Deluxe Corp. (d)

54,408

1,342,245

Encore Capital Group, Inc. (a)(d)

16,160

360,045

EnergySolutions, Inc. (a)(d)

104,471

439,823

EnerNOC, Inc. (a)

15,233

119,884

Ennis, Inc.

21,290

356,820

Fuel Tech, Inc. (a)

21,725

134,478

G&K Services, Inc. Class A

10,202

340,033

Healthcare Services Group, Inc.

45,556

887,431

Heritage-Crystal Clean, Inc. (a)

2,763

61,090

Herman Miller, Inc.

40,346

847,266

HNI Corp.

36,970

934,602

InnerWorkings, Inc. (a)(d)

28,532

325,265

Interface, Inc. Class A

44,100

540,225

Intersections, Inc.

7,586

88,529

Iron Mountain, Inc. (d)

166,503

5,169,918

KAR Auction Services, Inc. (a)

32,774

526,678

Kimball International, Inc. Class B

16,142

99,435

Knoll, Inc.

32,235

497,064

McGrath RentCorp.

17,562

557,594

Metalico, Inc. (a)(d)

41,543

208,546

Mine Safety Appliances Co.

26,951

993,414

Mobile Mini, Inc. (a)(d)

24,084

520,214

 

Shares

Value

Multi-Color Corp.

7,946

$ 173,779

NL Industries, Inc.

5,468

80,926

Perma-Fix Environmental Services, Inc. (a)

34,689

57,931

Pitney Bowes, Inc. (d)

142,010

2,574,641

Portfolio Recovery Associates, Inc. (a)(d)

11,960

833,971

Quad/Graphics, Inc.

18,905

283,008

R.R. Donnelley & Sons Co. (d)

148,125

2,047,088

Republic Services, Inc.

262,346

7,825,781

Rollins, Inc. (d)

56,964

1,154,091

Schawk, Inc. Class A

4,209

46,594

Standard Parking Corp. (a)(d)

5,698

102,849

Standard Register Co. (d)

6,365

9,993

Steelcase, Inc. Class A (d)

74,937

657,947

Stericycle, Inc. (a)(d)

61,330

5,321,604

Swisher Hygiene, Inc. (Canada) (a)(d)

59,712

176,151

Sykes Enterprises, Inc. (a)

30,728

423,432

Team, Inc. (a)

18,138

555,023

Tetra Tech, Inc. (a)(d)

44,643

1,096,432

The Brink's Co. (d)

40,696

1,027,574

The Geo Group, Inc. (a)(d)

57,559

1,013,614

TMS International Corp.

14,898

177,286

TRC Companies, Inc. (a)(d)

4,541

23,477

Unifirst Corp. Massachusetts

12,480

749,798

United Stationers, Inc.

31,409

912,117

US Ecology, Inc.

25,366

478,656

Viad Corp.

19,833

385,950

Virco Manufacturing Co.

2,682

5,498

Waste Connections, Inc.

87,111

2,832,850

Waste Management, Inc. (d)

318,741

11,149,560

 

75,445,987

Construction & Engineering - 0.3%

AECOM Technology Corp. (a)(d)

90,995

2,124,733

Aegion Corp. (a)(d)

27,214

479,239

Argan, Inc.

3,060

45,869

Comfort Systems USA, Inc.

43,738

500,363

Dycom Industries, Inc. (a)

25,959

552,408

EMCOR Group, Inc.

48,972

1,361,422

Fluor Corp.

136,998

8,285,639

Foster Wheeler AG (a)

88,503

2,179,829

Furmanite Corp. (a)

17,662

128,933

Granite Construction, Inc. (d)

31,641

904,933

Great Lakes Dredge & Dock Corp.

39,072

277,020

Integrated Electrical Services, Inc. (a)(d)

12,011

30,508

Jacobs Engineering Group, Inc. (a)(d)

100,035

4,623,618

KBR, Inc.

110,721

4,021,387

Layne Christensen Co. (a)

15,356

371,462

MasTec, Inc. (a)

48,062

845,411

Michael Baker Corp. (a)

6,265

151,174

MYR Group, Inc. (a)

25,270

506,158

Northwest Pipe Co. (a)(d)

12,188

298,362

Orion Marine Group, Inc. (a)

15,813

115,435

Pike Electric Corp. (a)

14,023

125,225

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Primoris Services Corp.

17,623

$ 271,042

Quanta Services, Inc. (a)

153,212

3,202,131

Shaw Group, Inc. (a)

55,953

1,619,280

Sterling Construction Co., Inc. (a)(d)

25,870

268,272

Tutor Perini Corp. (a)

24,002

378,752

UniTek Global Services, Inc. (a)

10,175

42,023

URS Corp. (d)

61,309

2,676,138

 

36,386,766

Electrical Equipment - 0.7%

A123 Systems, Inc. (a)(d)

96,963

174,533

Active Power, Inc. (a)

52,517

36,757

Acuity Brands, Inc. (d)

30,960

1,925,402

Allied Motion Technologies, Inc.

4,209

30,094

Altair Nanotechnologies, Inc. (a)(d)

63,623

43,900

American Superconductor Corp. (a)(d)

110,872

496,707

AMETEK, Inc.

141,837

6,751,441

AZZ, Inc.

12,314

618,163

Babcock & Wilcox Co. (a)

97,803

2,517,449

Belden, Inc.

33,652

1,328,244

Brady Corp. Class A

41,502

1,325,989

Broadwind Energy, Inc. (a)

72,530

45,687

Capstone Turbine Corp. (a)(d)

582,341

646,399

Coleman Cable, Inc. (a)(d)

5,164

58,715

Cooper Industries PLC Class A

121,848

7,459,535

Emerson Electric Co.

594,548

29,911,710

Encore Wire Corp.

23,059

671,709

EnerSys (a)(d)

36,086

1,211,768

Espey Manufacturing & Electronics Corp.

2,015

49,247

Franklin Electric Co., Inc. (d)

17,393

869,824

FuelCell Energy, Inc. (a)(d)

246,058

366,626

Generac Holdings, Inc. (a)

30,944

787,215

General Cable Corp. (a)(d)

39,737

1,230,655

Global Power Equipment Group, Inc. (a)

10,454

253,510

GrafTech International Ltd. (a)

132,891

1,689,045

Hubbell, Inc. Class B

39,086

2,940,049

II-VI, Inc. (a)(d)

36,783

860,354

LSI Industries, Inc.

16,481

113,884

MagneTek, Inc. (a)

2,664

36,603

Nexxus Lighting, Inc. (a)

1,806

2,005

Ocean Power Technologies, Inc. (a)(d)

5,875

19,681

Plug Power, Inc. (a)(d)

38,179

84,757

Polypore International, Inc. (a)(d)

32,865

1,351,409

Powell Industries, Inc. (a)(d)

7,721

253,172

PowerSecure International, Inc. (a)(d)

20,869

125,005

Preformed Line Products Co.

1,689

111,592

Regal-Beloit Corp. (d)

26,752

1,805,760

Rockwell Automation, Inc.

117,791

9,420,924

Roper Industries, Inc. (d)

74,094

6,781,083

Satcon Technology Corp. (a)(d)

75,540

37,770

SL Industries, Inc. (a)

2,156

37,191

Thermon Group Holdings, Inc.

10,097

203,354

 

Shares

Value

Thomas & Betts Corp. (a)

37,135

$ 2,682,261

Ultralife Corp. (a)

13,410

66,111

Valence Technology, Inc. (a)(d)

105,179

97,816

Vicor Corp.

10,982

89,174

 

87,620,279

Industrial Conglomerates - 2.1%

3M Co.

518,960

45,460,896

Carlisle Companies, Inc. (d)

43,210

2,108,648

Danaher Corp.

462,943

24,457,279

General Electric Co.

8,440,000

160,782,000

Raven Industries, Inc. (d)

15,000

945,750

Seaboard Corp. (a)(d)

249

476,367

Standex International Corp.

10,804

412,821

Tyco International Ltd.

358,852

18,595,711

 

253,239,472

Machinery - 2.5%

Accuride Corp. (a)

79,004

628,082

Actuant Corp. Class A (d)

48,056

1,353,738

Adept Technology, Inc. (a)

584

2,365

AGCO Corp. (a)(d)

70,548

3,642,393

Alamo Group, Inc.

14,374

386,229

Albany International Corp. Class A

29,462

704,731

Altra Holdings, Inc. (a)

19,022

370,739

American Railcar Industries, Inc. (a)

11,797

348,012

Ampco-Pittsburgh Corp.

10,414

220,881

Astec Industries, Inc. (a)(d)

12,338

468,227

Barnes Group, Inc.

31,261

865,930

Blount International, Inc. (a)

31,486

539,985

Briggs & Stratton Corp.

42,488

719,747

Cascade Corp.

11,310

602,144

Caterpillar, Inc.

464,889

53,094,973

Chart Industries, Inc. (a)(d)

21,388

1,462,725

CIRCOR International, Inc.

13,068

432,681

CLARCOR, Inc.

35,686

1,801,072

Colfax Corp. (a)(d)

35,245

1,199,035

Columbus McKinnon Corp. (NY Shares) (a)

26,972

449,084

Commercial Vehicle Group, Inc. (a)

77,079

931,885

Crane Co.

35,717

1,734,775

Cummins, Inc.

142,433

17,173,147

Deere & Co.

321,573

26,668,049

Donaldson Co., Inc.

51,141

3,755,284

Douglas Dynamics, Inc.

12,103

157,339

Dover Corp.

158,638

10,156,005

Dynamic Materials Corp.

12,763

284,743

Eastern Co.

943

18,106

Eaton Corp.

258,323

13,481,877

Energy Recovery, Inc. (a)(d)

81,715

175,687

EnPro Industries, Inc. (a)(d)

22,235

840,705

ESCO Technologies, Inc. (d)

20,247

724,640

Federal Signal Corp. (a)(d)

80,990

380,653

Flow International Corp. (a)(d)

30,791

123,164

Flowserve Corp.

41,509

4,921,722

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

FreightCar America, Inc.

19,411

$ 536,714

Gardner Denver, Inc.

36,882

2,533,056

Gorman-Rupp Co. (d)

14,200

409,954

Graco, Inc.

43,224

2,212,204

Graham Corp.

12,124

282,853

Greenbrier Companies, Inc. (a)(d)

15,464

390,930

Hardinge, Inc.

12,474

122,619

Harsco Corp.

57,382

1,275,602

Hurco Companies, Inc. (a)

3,319

79,092

IDEX Corp.

58,989

2,465,740

Illinois Tool Works, Inc.

345,543

19,243,290

Ingersoll-Rand PLC

273,625

10,912,165

ITT Corp.

114,023

2,844,874

John Bean Technologies Corp.

23,559

406,864

Joy Global, Inc.

93,181

8,103,020

Kadant, Inc. (a)

18,429

402,489

Kaydon Corp.

29,963

1,127,208

Kennametal, Inc. (d)

57,964

2,670,401

L.B. Foster Co. Class A

10,636

313,230

Lincoln Electric Holdings, Inc.

88,988

4,110,356

Lindsay Corp.

10,287

674,724

Lydall, Inc. (a)

9,770

89,005

Manitowoc Co., Inc.

95,250

1,499,235

Meritor, Inc. (a)

87,590

649,042

Met-Pro Corp.

5,616

49,814

Middleby Corp. (a)(d)

16,713

1,633,529

Miller Industries, Inc.

10,768

170,565

Mueller Industries, Inc.

27,692

1,273,832

Mueller Water Products, Inc. Class A

87,385

259,533

NACCO Industries, Inc. Class A

5,119

500,638

Navistar International Corp. (a)

55,357

2,312,815

NN, Inc. (a)(d)

12,121

108,362

Nordson Corp.

45,409

2,496,133

Omega Flex, Inc. (a)

258

4,069

Oshkosh Truck Corp. (a)

75,655

1,763,518

PACCAR, Inc.

301,814

13,886,462

Pall Corp.

84,786

5,379,672

Parker Hannifin Corp.

124,049

11,140,841

Pentair, Inc. (d)

68,772

2,647,722

PMFG, Inc. (a)

15,367

252,172

RBC Bearings, Inc. (a)(d)

21,831

993,529

Robbins & Myers, Inc.

32,129

1,568,216

Sauer-Danfoss, Inc. (a)

13,027

705,282

Snap-On, Inc.

40,414

2,470,508

SPX Corp.

36,737

2,686,944

Stanley Black & Decker, Inc.

128,823

9,893,606

Sun Hydraulics Corp.

19,343

635,611

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

18,712

85,888

Tennant Co.

13,999

574,519

Terex Corp. (a)

80,585

2,046,053

 

Shares

Value

Timken Co.

55,895

$ 2,928,898

Titan International, Inc.

31,894

785,868

Toro Co. (d)

24,680

1,671,823

TriMas Corp. (a)(d)

21,882

530,201

Trinity Industries, Inc. (d)

57,002

1,981,390

Twin Disc, Inc. (d)

7,177

229,377

Valmont Industries, Inc. (d)

15,781

1,752,796

Wabash National Corp. (a)(d)

74,589

787,660

WABCO Holdings, Inc. (a)

48,843

2,905,670

Wabtec Corp.

49,289

3,683,367

Watts Water Technologies, Inc. Class A (d)

38,674

1,529,170

Woodward, Inc.

51,161

2,239,317

Xylem, Inc.

140,492

3,649,982

 

304,390,573

Marine - 0.0%

Alexander & Baldwin, Inc.

29,287

1,359,210

Baltic Trading Ltd.

21,117

96,716

Eagle Bulk Shipping, Inc. (a)(d)

76,396

122,234

Genco Shipping & Trading Ltd. (a)(d)

78,839

540,047

International Shipholding Corp.

7,999

171,979

Kirby Corp. (a)(d)

38,314

2,629,107

 

4,919,293

Professional Services - 0.3%

Acacia Research Corp. - Acacia Technologies (a)

31,494

1,244,013

Advisory Board Co. (a)(d)

15,789

1,277,962

Barrett Business Services, Inc.

3,040

51,741

CBIZ, Inc. (a)(d)

37,390

243,035

CDI Corp.

6,150

92,312

Corporate Executive Board Co.

26,015

1,078,062

CoStar Group, Inc. (a)(d)

17,606

1,056,008

CRA International, Inc. (a)

15,589

371,174

CTPartners Executive Search, Inc. (a)

859

5,961

Dolan Co. (a)(d)

21,177

190,169

Dun & Bradstreet Corp.

36,211

2,992,839

Equifax, Inc.

88,390

3,715,916

Exponent, Inc. (a)(d)

15,525

748,616

Franklin Covey Co. (a)

2,282

20,082

FTI Consulting, Inc. (a)(d)

36,212

1,451,015

GP Strategies Corp. (a)

3,391

53,103

Heidrick & Struggles International, Inc.

22,259

452,303

Hill International, Inc. (a)

13,945

74,745

Hudson Highland Group, Inc. (a)(d)

8,927

39,904

Huron Consulting Group, Inc. (a)

16,504

630,123

ICF International, Inc. (a)

17,107

443,585

IHS, Inc. Class A (a)(d)

41,214

3,897,608

Insperity, Inc.

15,769

475,120

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

19,294

289,410

Kforce, Inc. (a)(d)

25,995

366,530

Korn/Ferry International (a)(d)

33,723

538,556

Manpower, Inc.

59,376

2,557,324

Mastech Holdings, Inc. (a)

299

1,588

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Professional Services - continued

MISTRAS Group, Inc. (a)

12,788

$ 286,451

Navigant Consulting, Inc. (a)(d)

41,733

563,813

Nielsen Holdings B.V. (a)

48,341

1,425,576

Odyssey Marine Exploration, Inc. (a)(d)

19,002

57,956

On Assignment, Inc. (a)

26,316

365,266

Pendrell Corp. (a)

126,539

306,224

RCM Technologies, Inc. (a)

1,203

6,508

Resources Connection, Inc.

43,312

566,088

Robert Half International, Inc.

105,423

2,997,176

RPX Corp.

12,247

206,362

Spherix, Inc. (a)

232

188

Towers Watson & Co.

48,457

3,098,341

TrueBlue, Inc. (a)

38,883

643,902

Verisk Analytics, Inc. (a)

106,319

4,624,877

VSE Corp.

1,834

44,805

 

39,552,337

Road & Rail - 0.9%

AMERCO

6,519

678,889

Arkansas Best Corp. (d)

18,872

335,922

Avis Budget Group, Inc. (a)(d)

78,355

1,010,780

Celadon Group, Inc.

57,193

844,169

Con-way, Inc. (d)

37,353

1,103,781

Covenant Transport Group, Inc. Class A (a)

9,633

31,307

CSX Corp.

852,220

17,905,142

Dollar Thrifty Automotive Group, Inc. (a)

19,104

1,450,185

Genesee & Wyoming, Inc. Class A (a)(d)

27,283

1,621,156

Heartland Express, Inc. (d)

35,341

511,384

Hertz Global Holdings, Inc. (a)(d)

176,222

2,519,975

J.B. Hunt Transport Services, Inc.

80,895

4,142,633

Kansas City Southern (a)(d)

80,222

5,581,847

Knight Transportation, Inc.

36,896

632,028

Landstar System, Inc. (d)

32,065

1,733,434

Marten Transport Ltd.

20,799

434,075

Norfolk Southern Corp.

270,164

18,614,300

Old Dominion Freight Lines, Inc. (a)(d)

46,240

2,011,902

Patriot Transportation Holding, Inc. (a)

1,312

29,520

Providence & Worcester Railroad Co.

4,631

67,520

Quality Distribution, Inc. (a)

25,189

327,709

RailAmerica, Inc. (a)

21,609

445,145

Roadrunner Transportation Systems, Inc. (a)

7,586

135,410

Ryder System, Inc.

36,836

1,960,780

Saia, Inc. (a)

11,656

190,109

Swift Transporation Co. (a)

51,169

599,701

Union Pacific Corp.

385,211

42,469,513

Universal Truckload Services, Inc.

2,515

39,209

USA Truck, Inc. (a)

1,841

15,059

Werner Enterprises, Inc. (d)

39,422

954,801

 

Shares

Value

YRC Worldwide, Inc. (a)

240

$ 2,194

Zipcar, Inc. (a)(d)

19,521

253,968

 

108,653,547

Trading Companies & Distributors - 0.3%

Aceto Corp.

32,506

269,475

AeroCentury Corp. (a)

688

6,811

Air Lease Corp. Class A (d)

53,855

1,324,294

Aircastle Ltd.

32,942

448,341

Applied Industrial Technologies, Inc.

26,028

1,045,545

Beacon Roofing Supply, Inc. (a)(d)

44,417

1,047,353

BlueLinx Corp. (a)

17,176

40,192

CAI International, Inc. (a)(d)

7,670

154,551

DXP Enterprises, Inc. (a)

1,851

68,487

Essex Rental Corp. (a)(d)

16,688

61,912

Fastenal Co. (d)

252,177

13,284,684

GATX Corp.

32,405

1,409,293

H&E Equipment Services, Inc. (a)(d)

17,348

299,947

Houston Wire & Cable Co.

15,647

222,187

Interline Brands, Inc. (a)(d)

20,339

418,170

Kaman Corp.

17,880

616,681

Lawson Products, Inc.

3,745

61,081

MSC Industrial Direct Co., Inc. Class A

35,219

2,796,741

RSC Holdings, Inc. (a)

42,293

941,865

Rush Enterprises, Inc. Class A (a)(d)

25,276

602,074

TAL International Group, Inc.

16,704

602,012

Textainer Group Holdings Ltd.

13,061

433,886

Titan Machinery, Inc. (a)

17,235

451,385

United Rentals, Inc. (a)(d)

47,810

1,992,721

W.W. Grainger, Inc.

52,656

10,938,231

Watsco, Inc.

17,655

1,260,390

WESCO International, Inc. (a)(d)

30,088

1,892,234

Willis Lease Finance Corp. (a)

2,006

29,027

 

42,719,570

Transportation Infrastructure - 0.0%

Wesco Aircraft Holdings, Inc. (a)

18,229

268,149

TOTAL INDUSTRIALS

1,353,890,149

INFORMATION TECHNOLOGY - 19.2%

Communications Equipment - 2.0%

Acme Packet, Inc. (a)(d)

46,234

1,409,212

ADTRAN, Inc. (d)

45,765

1,613,216

Alliance Fiber Optic Products, Inc. (a)

8,067

74,781

Ambient Corp. (a)

1,932

9,274

Anaren, Inc. (a)

31,499

552,492

Arris Group, Inc. (a)

84,319

960,393

Aruba Networks, Inc. (a)(d)

71,459

1,542,800

Aviat Networks, Inc. (a)

66,605

175,171

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

7,032

122,919

Black Box Corp.

16,753

450,991

Blonder Tongue Laboratories, Inc. (a)

3,352

4,425

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Brocade Communications Systems, Inc. (a)

336,853

$ 1,947,010

CalAmp Corp. (a)

8,197

35,247

Calix Networks, Inc. (a)

19,283

174,318

Ciena Corp. (a)

64,815

967,040

Cisco Systems, Inc.

4,278,965

85,065,824

Communications Systems, Inc.

4,311

62,768

Comtech Telecommunications Corp. (d)

22,438

724,074

Comverse Technology, Inc. (a)

148,465

953,145

Digi International, Inc. (a)(d)

21,456

241,165

Ditech Networks, Inc. (a)

7,261

6,463

EchoStar Holding Corp. Class A (a)

36,937

1,107,002

EMCORE Corp. (a)(d)

14,874

64,553

Emulex Corp. (a)

66,808

698,812

Entrada Networks, Inc. (a)

150

0

Extreme Networks, Inc. (a)

100,558

371,059

F5 Networks, Inc. (a)

59,599

7,447,491

Finisar Corp. (a)(d)

64,308

1,304,809

Globecomm Systems, Inc. (a)

11,676

169,185

Harmonic, Inc. (a)

75,490

444,636

Harris Corp.

108,567

4,736,778

Infinera Corp. (a)(d)

68,698

546,836

InterDigital, Inc. (d)

33,368

1,262,979

Ixia (a)(d)

32,033

442,696

JDS Uniphase Corp. (a)(d)

177,119

2,309,632

Juniper Networks, Inc. (a)

460,375

10,478,135

KVH Industries, Inc. (a)

19,663

179,720

Lantronix, Inc. (a)

71

209

Loral Space & Communications Ltd. (a)

9,406

670,083

Meru Networks, Inc. (a)(d)

20,865

98,483

Motorola Mobility Holdings, Inc. (a)

255,327

10,136,482

Motorola Solutions, Inc.

227,709

11,339,908

NETGEAR, Inc. (a)(d)

32,032

1,203,442

Network Engines, Inc. (a)

28,981

41,153

Network Equipment Technologies, Inc. (a)(d)

15,181

10,946

NumereX Corp. Class A (a)(d)

2,670

25,979

Oclaro, Inc. (a)(d)

28,804

124,433

Oplink Communications, Inc. (a)

15,273

250,630

Opnext, Inc. (a)

39,034

39,424

Optical Cable Corp.

564

1,974

ORBCOMM, Inc. (a)(d)

20,031

64,700

Parkervision, Inc. (a)(d)

34,215

28,330

PC-Tel, Inc.

2,259

16,604

Performance Technologies, Inc. (a)

2,977

5,984

Plantronics, Inc.

39,954

1,490,284

Polycom, Inc. (a)

189,613

3,915,508

Powerwave Technologies, Inc. (a)(d)

17,873

25,380

Procera Networks, Inc. (a)

21,122

411,034

QUALCOMM, Inc.

1,339,659

83,299,997

Riverbed Technology, Inc. (a)(d)

114,012

3,245,922

 

Shares

Value

ShoreTel, Inc. (a)(d)

4,948

$ 26,571

Sonus Networks, Inc. (a)(d)

223,825

653,569

Sycamore Networks, Inc. (a)

13,906

256,844

Symmetricom, Inc. (a)(d)

21,713

127,455

Tellabs, Inc.

247,829

981,403

Telular Corp.

1,806

13,581

Tessco Technologies, Inc.

3,361

61,574

Ubiquiti Networks, Inc. (d)

4,528

118,996

UTStarcom Holdings Corp. (a)

124,511

174,315

ViaSat, Inc. (a)(d)

30,912

1,425,971

Westell Technologies, Inc. Class A (a)

20,974

48,030

Zhone Technologies, Inc. (a)

5,862

7,034

Zoom Technologies, Inc. (a)(d)

31,336

39,170

 

249,038,453

Computers & Peripherals - 4.6%

3D Systems Corp. (a)(d)

26,596

595,750

Apple, Inc. (a)

743,137

403,107,204

Astro-Med, Inc.

4,606

37,263

Avid Technology, Inc. (a)(d)

34,710

369,662

Concurrent Computer Corp. (a)

987

3,672

Cray, Inc. (a)

32,010

255,120

Datalink Corp. (a)

9,248

78,700

Dataram Corp. (a)

3,336

2,635

Dell, Inc. (a)

1,327,547

22,966,563

Diebold, Inc.

54,057

2,115,250

Dot Hill Systems Corp. (a)(d)

82,138

114,172

Electronics for Imaging, Inc. (a)

55,580

887,057

EMC Corp. (a)(d)

1,649,316

45,669,560

Fusion-io, Inc. (d)

9,114

248,812

Hauppauge Digital, Inc. (a)

430

555

Hewlett-Packard Co.

1,598,167

40,449,607

Hutchinson Technology, Inc. (a)(d)

26,208

56,871

iGO, Inc. (a)

68,212

47,748

Imation Corp. (a)

19,750

123,438

Immersion Corp. (a)

33,895

219,979

Intermec, Inc. (a)(d)

37,733

282,243

Interphase Corp. (a)

10,718

53,054

Intevac, Inc. (a)

17,689

139,743

Lexmark International, Inc. Class A

56,069

2,067,825

MidgardXXI, Inc. (a)

10

0

NCR Corp. (a)

113,005

2,454,469

NetApp, Inc. (a)(d)

322,353

13,861,179

Novatel Wireless, Inc. (a)

27,517

94,383

OCZ Technology Group, Inc. (a)(d)

45,585

391,575

Overland Storage, Inc. (a)

596

1,377

Presstek, Inc. (a)

7,291

4,448

QLogic Corp. (a)(d)

79,628

1,368,805

Quantum Corp. (a)(d)

153,724

404,294

Rimage Corp.

6,017

65,886

SanDisk Corp. (a)

191,635

9,478,267

Scan-Optics, Inc. (a)

300

0

Seagate Technology

321,490

8,442,327

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Silicon Graphics International Corp. (a)(d)

32,579

$ 315,691

STEC, Inc. (a)(d)

29,627

287,086

Stratasys, Inc. (a)(d)

19,165

706,039

Super Micro Computer, Inc. (a)(d)

26,807

443,388

Synaptics, Inc. (a)

22,919

842,273

Transact Technologies, Inc. (a)

3,411

22,990

USA Technologies, Inc. (a)

26,460

26,989

Video Display Corp. (a)

2,957

17,298

Western Digital Corp. (a)

203,569

7,990,083

 

567,111,330

Electronic Equipment & Components - 0.8%

Advanced Photonix, Inc. Class A (a)

4,544

3,453

Aeroflex Holding Corp. (a)

11,165

122,480

Agilysys, Inc. (a)(d)

29,298

235,849

Amphenol Corp. Class A

129,122

7,225,667

Anixter International, Inc. (a)(d)

21,905

1,523,274

Arrow Electronics, Inc. (a)

85,228

3,421,904

Avnet, Inc. (a)

111,339

3,979,256

AVX Corp.

35,625

471,675

Badger Meter, Inc.

27,105

871,968

Benchmark Electronics, Inc. (a)(d)

50,023

821,378

Brightpoint, Inc. (a)

109,219

961,127

Checkpoint Systems, Inc. (a)(d)

27,013

299,844

Clearfield, Inc. (a)

2,407

13,648

Cognex Corp.

33,219

1,416,458

Coherent, Inc. (a)(d)

20,405

1,132,069

Comverge, Inc. (a)

37,629

51,928

Corning, Inc.

1,309,123

17,070,964

CTS Corp. (d)

18,339

182,473

Daktronics, Inc. (d)

32,196

289,764

DDi Corp.

2,322

25,240

Document Security Systems, Inc. (a)(d)

5,625

25,481

Dolby Laboratories, Inc. Class A (a)(d)

41,734

1,588,813

DTS, Inc. (a)(d)

18,857

529,505

Echelon Corp. (a)(d)

32,190

158,375

Electro Rent Corp.

7,772

140,285

Electro Scientific Industries, Inc.

21,640

299,498

eMagin Corp. (a)

5,084

16,116

Fabrinet (a)

16,812

300,430

FARO Technologies, Inc. (a)(d)

18,648

1,034,218

FEI Co. (a)(d)

28,037

1,248,207

FLIR Systems, Inc.

126,251

3,303,989

Frequency Electronics, Inc. (a)

430

3,479

Giga-Tronics, Inc. (a)

2,579

3,275

GTSI Corp. (a)

2,043

9,643

I. D. Systems Inc. (a)

6,071

37,397

Identive Group, Inc. (a)(d)

86,261

191,499

IEC Electronics Corp. (a)

86

410

Ingram Micro, Inc. Class A (a)

145,788

2,788,924

Insight Enterprises, Inc. (a)

31,583

660,085

 

Shares

Value

IPG Photonics Corp. (a)(d)

18,873

$ 993,286

Iteris, Inc. (a)

1,032

1,548

Itron, Inc. (a)(d)

29,456

1,308,436

Jabil Circuit, Inc.

146,454

3,782,907

KEMET Corp. (a)

26,217

236,215

LeCroy Corp. (a)

12,224

111,972

LightPath Technologies, Inc. Class A (a)

376

669

Littelfuse, Inc.

21,280

1,126,350

LoJack Corp. (a)

24,621

90,605

LRAD Corp. (a)

56,581

80,345

Maxwell Technologies, Inc. (a)

15,285

278,034

Measurement Specialties, Inc. (a)(d)

15,282

496,971

Mercury Computer Systems, Inc. (a)(d)

23,393

336,157

Mesa Laboratories, Inc.

2,184

116,822

Methode Electronics, Inc. Class A

27,713

253,574

Micronetics, Inc. (a)

977

8,197

MicroVision, Inc. (a)(d)

33,139

107,039

MOCON, Inc.

2,209

37,995

Molex, Inc.

125,980

3,414,058

MTS Systems Corp.

16,730

821,610

Multi-Fineline Electronix, Inc. (a)

10,240

269,926

National Instruments Corp. (d)

77,745

2,068,017

NeoPhotonics Corp.

11,524

61,423

NetList, Inc. (a)(d)

67,152

233,689

Newport Corp. (a)

23,268

389,041

OSI Systems, Inc. (a)

17,430

1,028,370

Park Electrochemical Corp.

16,314

464,949

PC Connection, Inc.

4,375

39,113

PC Mall, Inc. (a)

4,077

24,666

Planar Systems, Inc. (a)

2,277

4,668

Plexus Corp. (a)(d)

33,577

1,165,122

Power-One, Inc. (a)

66,414

288,237

Pulse Electronics Corp.

50,135

154,416

RadiSys Corp. (a)

9,220

69,058

RealD, Inc. (a)(d)

37,860

446,748

Research Frontiers, Inc. (a)

1,719

6,017

Richardson Electronics Ltd.

14,373

176,213

Rofin-Sinar Technologies, Inc. (a)(d)

22,270

522,454

Rogers Corp. (a)

16,870

625,708

Sanmina-SCI Corp. (a)

57,434

666,234

ScanSource, Inc. (a)(d)

19,738

730,306

SYNNEX Corp. (a)(d)

16,578

683,511

TE Connectivity Ltd.

360,324

13,169,842

Tech Data Corp. (a)(d)

34,347

1,836,878

Trimble Navigation Ltd. (a)(d)

112,371

5,651,138

TTM Technologies, Inc. (a)(d)

45,522

533,063

Universal Display Corp. (a)(d)

32,522

1,343,484

Viasystems Group, Inc. (a)

4,710

87,229

Vishay Intertechnology, Inc. (a)(d)

124,817

1,530,256

Vishay Precision Group, Inc. (a)

9,596

140,965

Wayside Technology Group, Inc.

1,232

15,708

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

X-Rite, Inc. (a)(d)

25,574

$ 115,850

Zygo Corp. (a)

9,828

188,501

 

100,793,638

Internet Software & Services - 1.8%

Active Network, Inc.

16,913

270,608

Akamai Technologies, Inc. (a)

148,200

5,335,200

Ancestry.com, Inc. (a)(d)

20,613

469,564

AOL, Inc. (a)(d)

78,638

1,412,338

Autobytel, Inc. (a)

5,742

5,570

Bankrate, Inc.

33,840

806,746

Carbonite, Inc. (d)

4,801

46,522

comScore, Inc. (a)

21,331

469,069

Constant Contact, Inc. (a)(d)

22,301

674,382

Cornerstone OnDemand, Inc.

13,725

284,657

Crexendo, Inc.

6,585

26,999

DealerTrack Holdings, Inc. (a)

34,664

965,392

Demand Media, Inc. (a)

24,152

165,683

Dice Holdings, Inc. (a)(d)

35,391

314,272

Digital River, Inc. (a)

26,434

466,560

EarthLink, Inc.

80,611

602,164

EasyLink Services International Corp. (a)

13,300

62,111

eBay, Inc. (a)

908,088

32,455,065

eGain Communications Corp. (a)

8,558

44,587

Equinix, Inc. (a)(d)

42,644

5,977,836

FriendFinder Networks, Inc. (a)(d)

17,170

35,027

GlowPoint, Inc. (a)

18,770

55,559

Google, Inc. Class A (a)

200,534

123,980,146

IAC/InterActiveCorp

59,783

2,726,105

InfoSpace, Inc. (a)

32,776

380,529

Internap Network Services Corp. (a)(d)

34,998

261,785

IntraLinks Holdings, Inc. (a)

36,458

214,373

iPass, Inc. (a)

22,438

48,466

j2 Global, Inc.

32,417

958,571

Keynote Systems, Inc.

17,976

357,543

KIT Digital, Inc. (a)(d)

29,076

293,958

Limelight Networks, Inc. (a)(d)

33,081

124,385

LinkedIn Corp. (a)(d)

12,270

1,065,895

Liquidity Services, Inc. (a)(d)

21,953

949,467

LivePerson, Inc. (a)(d)

31,684

477,795

Local.com Corp. (a)(d)

17,671

42,057

LogMeIn, Inc. (a)

22,955

846,121

LoopNet, Inc. (a)

32,780

603,152

Marchex, Inc. Class B

28,685

123,059

Monster Worldwide, Inc. (a)(d)

89,914

624,003

Move, Inc. (a)

35,516

311,120

NIC, Inc. (d)

64,465

779,382

Onstream Media Corp. (a)

29

17

OpenTable, Inc. (a)(d)

15,333

743,651

Openwave Systems, Inc. (a)(d)

76,683

185,573

Perficient, Inc. (a)

14,607

176,453

quepasa.com, Inc. (a)(d)

18,724

73,773

 

Shares

Value

QuinStreet, Inc. (a)

17,620

$ 184,129

Rackspace Hosting, Inc. (a)

84,736

4,426,609

RealNetworks, Inc.

22,443

227,796

Responsys, Inc.

13,609

164,261

Saba Software, Inc. (a)

20,826

244,081

SciQuest, Inc. (a)

7,578

114,049

Selectica, Inc. (a)

552

2,539

SPS Commerce, Inc. (a)

5,106

126,884

Stamps.com, Inc. (a)(d)

5,476

141,555

Support.com, Inc. (a)

101,132

333,736

Synacor, Inc.

5,439

26,542

TechTarget, Inc. (a)

1,217

8,397

TheStreet.com, Inc.

3,696

6,801

Travelzoo, Inc. (a)(d)

5,383

136,728

United Online, Inc. (d)

71,982

364,229

ValueClick, Inc. (a)(d)

56,521

1,175,637

VeriSign, Inc. (d)

129,741

4,793,930

VistaPrint Ltd. (a)(d)

28,654

1,165,645

Vocus, Inc. (a)(d)

23,379

316,318

Web.com, Inc. (a)

17,847

236,294

WebMD Health Corp. (a)

42,405

1,053,764

WebMediaBrands, Inc. (a)

1,032

702

XO Group, Inc. (a)(d)

22,964

207,595

Yahoo!, Inc. (a)

952,403

14,124,136

Zillow, Inc. (a)

2,697

86,088

Zix Corp. (a)

43,773

128,255

 

217,089,990

IT Services - 3.5%

Accenture PLC Class A

559,482

33,311,558

Acxiom Corp. (a)

52,919

742,983

Alliance Data Systems Corp. (a)(d)

49,861

6,051,131

Automatic Data Processing, Inc.

397,015

21,565,855

Booz Allen Hamilton Holding Corp. Class A

8,727

160,664

Broadridge Financial Solutions, Inc.

87,381

2,126,854

CACI International, Inc. Class A (a)(d)

20,462

1,210,123

Cardtronics, Inc. (a)

30,845

820,169

Cass Information Systems, Inc.

1,428

54,964

Ciber, Inc. (a)

53,912

236,135

Cognizant Technology Solutions Corp. Class A (a)

249,816

17,724,445

Computer Sciences Corp. (d)

116,344

3,695,085

Computer Task Group, Inc. (a)

1,648

24,242

Convergys Corp. (a)(d)

80,658

1,038,875

CoreLogic, Inc. (a)

76,798

1,181,153

CSG Systems International, Inc. (a)(d)

26,552

425,098

CSP, Inc.

3,696

14,119

DST Systems, Inc.

26,518

1,405,454

Dynamics Research Corp. (a)(d)

2,443

22,280

Echo Global Logistics, Inc. (a)(d)

7,746

144,076

Edgewater Technology, Inc. (a)

2,875

10,753

EPAM Systems, Inc.

6,277

88,568

Euronet Worldwide, Inc. (a)(d)

36,875

711,319

ExlService Holdings, Inc. (a)

13,702

381,190

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Fidelity National Information Services, Inc.

242,609

$ 7,697,984

Fiserv, Inc. (a)

126,468

8,384,828

FleetCor Technologies, Inc. (a)

22,298

825,695

Forrester Research, Inc.

10,441

336,513

Gartner, Inc. Class A (a)

61,997

2,495,999

Genpact Ltd. (a)

69,465

1,112,829

Global Cash Access Holdings, Inc. (a)(d)

58,402

324,715

Global Payments, Inc.

61,860

3,193,213

Hackett Group, Inc. (a)

5,515

26,582

Heartland Payment Systems, Inc.

30,852

873,729

Higher One Holdings, Inc. (a)(d)

21,234

312,140

IBM Corp.

946,365

186,178,386

iGate Corp. (a)(d)

19,383

337,846

Innodata Isogen, Inc. (a)

9,444

54,114

Jack Henry & Associates, Inc. (d)

64,694

2,182,776

Lender Processing Services, Inc.

62,754

1,383,098

Lionbridge Technologies, Inc. (a)

34,685

89,834

ManTech International Corp. Class A

23,021

772,124

MasterCard, Inc. Class A

81,964

34,424,880

Mattersight Corp. (a)

4,307

24,722

Maximus, Inc.

30,123

1,256,430

ModusLink Global Solutions, Inc.

31,030

172,527

MoneyGram International, Inc. (a)

47,720

855,142

NCI, Inc. Class A (a)(d)

12,261

88,279

NeuStar, Inc. Class A (a)(d)

51,899

1,819,060

Online Resources Corp. (a)

26,280

78,840

Paychex, Inc. (d)

246,065

7,701,835

PFSweb, Inc. (a)

1,815

5,082

PRG-Schultz International, Inc. (a)

5,640

31,471

SAIC, Inc. (a)(d)

273,792

3,345,738

Sapient Corp. (d)

97,843

1,222,059

ServiceSource International, Inc.

26,438

444,158

StarTek, Inc. (a)

1,950

3,959

Storage Engine, Inc. (a)

434

0

Stream Global Services, Inc. (a)

29,228

89,730

Syntel, Inc.

16,557

847,718

Teletech Holdings, Inc. (a)

19,293

294,604

Teradata Corp. (a)

126,713

8,432,750

The Management Network Group, Inc. (a)

206

515

The Western Union Co.

477,567

8,343,095

TNS, Inc. (a)

26,351

483,014

Total System Services, Inc.

136,562

2,987,977

TSR, Inc. (a)

43

189

Unisys Corp. (a)

35,389

661,067

VeriFone Systems, Inc. (a)(d)

74,468

3,566,273

Virtusa Corp. (a)

2,325

36,340

Visa, Inc. Class A

393,010

45,734,574

Wright Express Corp. (a)(d)

27,520

1,702,938

 

434,384,464

 

Shares

Value

Office Electronics - 0.1%

Xerox Corp.

1,207,010

$ 9,933,692

Zebra Technologies Corp. Class A (a)

39,540

1,519,918

 

11,453,610

Semiconductors & Semiconductor Equipment - 2.6%

Advanced Energy Industries, Inc. (a)(d)

31,081

372,972

Advanced Micro Devices, Inc. (a)(d)

423,974

3,116,209

AEHR Test Systems (a)

3,126

2,501

Aetrium, Inc. (a)

2,064

1,754

Altera Corp.

244,713

9,409,215

Amkor Technology, Inc. (a)(d)

114,967

734,639

Amtech Systems, Inc. (a)(d)

12,381

108,458

ANADIGICS, Inc. (a)(d)

39,656

101,916

Analog Devices, Inc.

259,067

10,158,017

Applied Materials, Inc.

1,081,624

13,239,078

Applied Micro Circuits Corp. (a)(d)

73,605

499,042

Atmel Corp. (a)(d)

322,880

3,264,317

ATMI, Inc. (a)

23,384

515,150

AuthenTec, Inc. (a)

7,194

25,179

Axcelis Technologies, Inc. (a)

75,586

125,473

AXT, Inc. (a)

22,615

129,584

Broadcom Corp. Class A

387,137

14,382,140

Brooks Automation, Inc.

46,495

555,615

BTU International, Inc. (a)

4,067

11,998

Cabot Microelectronics Corp.

23,133

1,162,433

Cavium, Inc. (a)(d)

36,402

1,300,643

Ceva, Inc. (a)(d)

14,448

356,143

Cirrus Logic, Inc. (a)(d)

43,561

1,027,168

Cohu, Inc.

18,095

203,026

Cree, Inc. (a)(d)

80,092

2,425,987

CVD Equipment Corp. (a)(d)

24,298

279,670

Cymer, Inc. (a)(d)

24,391

1,121,498

Cypress Semiconductor Corp. (d)

184,808

3,187,938

Diodes, Inc. (a)(d)

26,894

668,047

DSP Group, Inc. (a)

34,788

222,295

Entegris, Inc. (a)

103,421

934,926

Entropic Communications, Inc. (a)(d)

53,522

329,963

Exar Corp. (a)

27,190

190,330

Fairchild Semiconductor International, Inc. (a)

99,102

1,445,898

First Solar, Inc. (a)(d)

47,554

1,535,994

FormFactor, Inc. (a)

37,840

193,362

FSI International, Inc. (a)(d)

26,930

107,181

GSI Technology, Inc. (a)

4,316

19,854

GT Advanced Technologies, Inc. (a)(d)

91,707

785,012

Hittite Microwave Corp. (a)(d)

19,341

1,105,918

Ikanos Communications, Inc. (a)

35,040

26,301

Inphi Corp. (a)

9,279

133,246

Integrated Device Technology, Inc. (a)

100,471

694,255

Integrated Silicon Solution, Inc. (a)

27,085

286,559

Intel Corp.

4,067,111

109,323,944

International Rectifier Corp. (a)

50,327

1,129,841

Intersil Corp. Class A (d)

88,851

1,005,793

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Intest Corp. (a)

2,175

$ 7,547

IXYS Corp. (a)(d)

37,153

443,235

KLA-Tencor Corp.

134,341

6,502,104

Kopin Corp. (a)(d)

42,598

153,353

Kulicke & Soffa Industries, Inc. (a)

54,346

611,936

Lam Research Corp. (a)(d)

90,374

3,768,596

Lattice Semiconductor Corp. (a)

136,230

897,756

Linear Technology Corp.

156,591

5,242,667

LSI Corp. (a)

436,463

3,753,582

LTX-Credence Corp. (a)

48,731

328,934

Marvell Technology Group Ltd. (a)

448,792

6,731,880

Mattson Technology, Inc. (a)

39,367

108,259

Maxim Integrated Products, Inc.

221,144

6,167,706

MaxLinear, Inc. Class A (a)

10,522

57,871

MEMC Electronic Materials, Inc. (a)(d)

169,051

664,370

Micrel, Inc.

33,398

356,357

Microchip Technology, Inc. (d)

142,451

5,138,208

Micron Technology, Inc. (a)(d)

676,849

5,787,059

Microsemi Corp. (a)(d)

62,713

1,311,956

Mindspeed Technologies, Inc. (a)

20,470

133,260

MIPS Technologies, Inc. (a)(d)

41,504

239,063

MKS Instruments, Inc.

37,798

1,132,050

Monolithic Power Systems, Inc. (a)

35,284

655,930

MoSys, Inc. (a)(d)

9,566

36,542

Nanometrics, Inc. (a)(d)

28,664

503,053

Novellus Systems, Inc. (a)

59,418

2,761,749

NVE Corp. (a)(d)

6,043

323,301

NVIDIA Corp. (a)

448,017

6,787,458

Omnivision Technologies, Inc. (a)(d)

44,394

726,730

ON Semiconductor Corp. (a)

400,227

3,630,059

PDF Solutions, Inc. (a)

4,311

34,617

Pericom Semiconductor Corp. (a)

17,514

134,683

Photronics, Inc. (a)(d)

74,723

523,808

Pixelworks, Inc. (a)

11,868

28,246

PLX Technology, Inc. (a)(d)

29,807

104,623

PMC-Sierra, Inc. (a)

166,615

1,144,645

Power Integrations, Inc.

28,590

1,066,407

QuickLogic Corp. (a)(d)

26,338

68,479

Rambus, Inc. (a)

76,083

538,668

Ramtron International Corp. (a)

22,353

42,471

RF Micro Devices, Inc. (a)(d)

198,693

947,766

Rubicon Technology, Inc. (a)(d)

18,271

163,891

Rudolph Technologies, Inc. (a)(d)

17,933

176,999

Semtech Corp. (a)(d)

45,838

1,316,009

Sigma Designs, Inc. (a)

22,818

131,204

Silicon Image, Inc. (a)

84,424

436,472

Silicon Laboratories, Inc. (a)(d)

30,879

1,383,379

Skyworks Solutions, Inc. (a)(d)

197,217

5,318,942

Spansion, Inc. Class A (a)

25,556

327,117

Standard Microsystems Corp. (a)(d)

24,875

636,551

STR Holdings, Inc. (a)(d)

37,233

264,354

 

Shares

Value

SunPower Corp. (a)

29,517

$ 222,263

Supertex, Inc. (a)

19,548

360,856

Teradyne, Inc. (a)(d)

178,524

2,931,364

Tessera Technologies, Inc. (a)

33,779

567,487

Texas Instruments, Inc.

941,830

31,410,031

TranSwitch Corp. (a)

16,133

45,656

Trio-Tech International (a)

3,696

7,392

TriQuint Semiconductor, Inc. (a)(d)

138,618

892,700

Ultra Clean Holdings, Inc. (a)

12,895

105,352

Ultratech, Inc. (a)

31,408

854,612

Veeco Instruments, Inc. (a)(d)

36,173

978,118

Vitesse Semiconductor Corp. (a)(d)

9,484

37,746

Volterra Semiconductor Corp. (a)(d)

28,138

864,681

Xilinx, Inc. (d)

198,755

7,340,022

 

314,326,664

Software - 3.8%

Accelrys, Inc. (a)

29,972

237,978

ACI Worldwide, Inc. (a)

37,489

1,416,334

Activision Blizzard, Inc. (d)

335,744

4,012,141

Actuate Corp. (a)

42,170

254,707

Adobe Systems, Inc. (a)

404,590

13,306,965

Advent Software, Inc. (a)(d)

32,795

843,815

American Software, Inc. Class A

3,798

31,561

ANSYS, Inc. (a)(d)

71,510

4,518,002

Ariba, Inc. (a)(d)

71,414

2,247,399

Aspen Technology, Inc. (a)(d)

68,551

1,409,409

Autodesk, Inc. (a)

171,089

6,475,719

Bitstream, Inc. Class A (a)

5,202

28,039

Blackbaud, Inc.

29,935

944,449

BMC Software, Inc. (a)

131,423

4,920,477

Bottomline Technologies, Inc. (a)(d)

23,633

664,087

BroadSoft, Inc. (a)

20,047

729,109

BSQUARE Corp. (a)

11,182

37,348

CA, Inc.

338,055

9,137,627

Cadence Design Systems, Inc. (a)(d)

209,415

2,464,815

Callidus Software, Inc. (a)(d)

12,639

93,655

Citrix Systems, Inc. (a)

157,066

11,739,113

CommVault Systems, Inc. (a)(d)

36,151

1,864,307

Compuware Corp. (a)

146,255

1,317,758

Concur Technologies, Inc. (a)(d)

32,419

1,911,100

Convio, Inc. (a)

5,835

91,376

Datawatch Corp. (a)

1,950

27,222

Deltek, Inc. (a)

2,618

28,877

Digimarc Corp. (a)

1,836

51,206

Ebix, Inc. (d)

31,393

731,457

Electronic Arts, Inc. (a)

249,134

4,068,358

Ellie Mae, Inc.

10,964

91,549

EPIQ Systems, Inc. (d)

38,746

445,192

ePlus, Inc. (a)

762

24,399

FactSet Research Systems, Inc.

29,192

2,551,381

Fair Isaac Corp.

37,437

1,515,450

FalconStor Software, Inc. (a)

21,866

62,318

Fonix Corp. (a)

1

0

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Fortinet, Inc. (a)(d)

123,327

$ 3,335,995

Glu Mobile, Inc. (a)(d)

27,012

102,105

GSE Systems, Inc. (a)

388

729

Guidance Software, Inc. (a)

3,531

40,289

Guidewire Software, Inc.

5,991

135,516

Imperva, Inc.

3,643

134,973

Informatica Corp. (a)(d)

99,837

4,907,987

Interactive Intelligence Group, Inc. (a)

8,029

224,812

Intuit, Inc.

214,635

12,414,488

JDA Software Group, Inc. (a)(d)

38,809

972,554

Jive Software, Inc.

9,842

214,654

Kenexa Corp. (a)(d)

15,879

441,277

Majesco Entertainment Co. (a)(d)

19,952

49,680

Manhattan Associates, Inc. (a)

20,570

953,625

Mentor Graphics Corp. (a)

80,500

1,220,380

MICROS Systems, Inc. (a)(d)

56,461

2,932,020

Microsoft Corp.

5,982,117

189,872,394

MicroStrategy, Inc. Class A (a)(d)

7,880

1,068,449

Mitek Systems, Inc. (a)(d)

15,896

165,318

Monotype Imaging Holdings, Inc. (a)

14,180

198,945

Motricity, Inc. (a)(d)

42,402

56,395

NetScout Systems, Inc. (a)(d)

23,369

496,124

NetSol Technologies, Inc. (a)

101,658

54,895

NetSuite, Inc. (a)

19,234

917,462

Nuance Communications, Inc. (a)(d)

213,353

5,530,110

Opnet Technologies, Inc.

7,189

205,246

Oracle Corp.

3,107,810

90,965,599

Parametric Technology Corp. (a)

83,074

2,218,076

Peerless Systems Corp. (a)

172

669

Pegasystems, Inc.

16,328

458,490

Pervasive Software, Inc. (a)

4,203

25,260

Progress Software Corp. (a)(d)

47,192

1,094,382

PROS Holdings, Inc. (a)(d)

12,895

226,049

QAD, Inc. Class B

4,298

59,098

QLIK Technologies, Inc. (a)

54,045

1,635,942

Quest Software, Inc. (a)

39,589

792,572

RealPage, Inc. (a)

20,932

415,082

Red Hat, Inc. (a)

157,804

7,804,986

Rosetta Stone, Inc. (a)

8,315

75,084

Rovi Corp. (a)

86,281

3,061,250

salesforce.com, Inc. (a)(d)

96,462

13,809,500

SeaChange International, Inc. (a)

17,668

120,849

Smith Micro Software, Inc. (a)

20,978

53,284

SolarWinds, Inc. (a)

41,125

1,532,318

Solera Holdings, Inc.

55,386

2,658,528

Sonic Foundry, Inc. (a)

155

1,142

Sourcefire, Inc. (a)(d)

26,600

1,197,532

SRS Labs, Inc. (a)

6,521

43,625

SS&C Technologies Holdings, Inc. (a)

18,752

388,541

Symantec Corp. (a)

570,036

10,169,442

Synchronoss Technologies, Inc. (a)(d)

29,419

984,360

 

Shares

Value

Synopsys, Inc. (a)

143,372

$ 4,368,545

Take-Two Interactive Software, Inc. (a)(d)

62,163

960,418

Taleo Corp. Class A (a)(d)

24,860

1,139,085

Tangoe, Inc. (a)

32,304

605,377

TeleCommunication Systems, Inc. Class A (a)

49,377

132,330

TeleNav, Inc. (a)

12,035

80,875

THQ, Inc. (a)(d)

76,823

41,484

TIBCO Software, Inc. (a)

129,577

3,753,846

TiVo, Inc. (a)

82,213

924,896

Tyler Technologies, Inc. (a)(d)

30,080

1,136,122

Ultimate Software Group, Inc. (a)(d)

18,004

1,257,039

Vasco Data Security International, Inc. (a)(d)

30,246

273,424

Verint Systems, Inc. (a)

23,323

641,149

Versant Corp. (a)

275

2,855

VirnetX Holding Corp. (a)(d)

42,196

911,012

VMware, Inc. Class A (a)

59,262

5,860,419

Wave Systems Corp. Class A (a)(d)

52,444

105,412

Websense, Inc. (a)(d)

31,243

562,686

Zynga, Inc. (d)

81,974

1,079,598

 

470,569,353

TOTAL INFORMATION TECHNOLOGY

2,364,767,502

MATERIALS - 4.0%

Chemicals - 2.4%

A. Schulman, Inc. (d)

28,352

732,616

ADA-ES, Inc. (a)

7,109

159,739

Air Products & Chemicals, Inc.

170,671

15,401,351

Airgas, Inc.

49,779

4,098,305

Albemarle Corp.

65,910

4,384,333

American Pacific Corp. (a)

688

5,346

American Vanguard Corp. (d)

23,997

396,430

Arabian American Development Co. (a)

12,294

97,491

Ashland, Inc.

50,811

3,229,547

Balchem Corp. (d)

26,952

734,442

Cabot Corp.

41,807

1,693,602

Calgon Carbon Corp. (a)(d)

83,129

1,256,079

Celanese Corp. Class A

129,149

6,143,618

CF Industries Holdings, Inc.

57,618

10,716,948

Chase Corp.

859

12,456

Chemtura Corp. (a)

73,070

1,134,046

Clean Diesel Technologies, Inc. (a)(d)

22,307

67,144

Core Molding Technologies, Inc. (a)

5,919

56,645

Cytec Industries, Inc.

34,436

2,047,565

Dow Chemical Co.

935,587

31,351,520

E.I. du Pont de Nemours & Co.

755,442

38,414,226

Eastman Chemical Co.

97,132

5,257,755

Ecolab, Inc.

229,294

13,757,640

Ferro Corp. (a)(d)

55,113

305,877

Flotek Industries, Inc. (a)(d)

54,967

615,081

FMC Corp.

56,197

5,561,817

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

FutureFuel Corp.

9,540

$ 105,417

Georgia Gulf Corp. (a)

23,211

748,787

GSE Holding, Inc.

2,100

25,515

H.B. Fuller Co. (d)

32,855

989,921

Hawkins, Inc.

5,329

206,499

Huntsman Corp.

140,478

1,918,929

Innophos Holdings, Inc.

16,934

853,135

International Flavors & Fragrances, Inc. (d)

77,751

4,434,140

Intrepid Potash, Inc. (a)(d)

39,192

991,166

KMG Chemicals, Inc.

10,303

178,757

Koppers Holdings, Inc.

22,254

837,418

Kraton Performance Polymers, Inc. (a)

20,094

558,412

Kronos Worldwide, Inc.

11,327

264,712

Landec Corp. (a)

25,874

163,006

LSB Industries, Inc. (a)(d)

18,952

762,249

LyondellBasell Industries NV Class A

283,794

12,254,225

Material Sciences Corp. (a)

4,565

39,533

Minerals Technologies, Inc.

17,066

1,101,952

Monsanto Co.

438,818

33,955,737

Nanophase Technologies Corp. (a)

3,795

2,429

NewMarket Corp.

7,381

1,346,516

Olin Corp. (d)

49,032

1,031,143

OM Group, Inc. (a)(d)

23,696

651,166

OMNOVA Solutions, Inc. (a)(d)

32,261

164,531

Penford Corp. (a)

6,469

37,261

PolyOne Corp.

70,747

950,132

PPG Industries, Inc.

126,786

11,569,223

Praxair, Inc.

243,959

26,591,531

Quaker Chemical Corp.

14,473

596,432

Rockwood Holdings, Inc. (a)

49,361

2,628,473

RPM International, Inc. (d)

90,249

2,154,244

Senomyx, Inc. (a)(d)

18,447

63,273

Sensient Technologies Corp. (d)

57,162

2,114,422

Sherwin-Williams Co.

69,774

7,197,188

Sigma Aldrich Corp.

94,992

6,819,476

Solutia, Inc.

87,015

2,445,992

Spartech Corp. (a)

19,316

112,033

Stepan Co.

8,487

742,018

The Mosaic Co.

219,915

12,700,091

The Scotts Miracle-Gro Co. Class A (d)

29,091

1,362,622

TPC Group, Inc. (a)

11,175

388,220

Tredegar Corp.

24,439

567,962

Valhi, Inc.

4,002

229,515

Valspar Corp.

85,270

3,952,265

W.R. Grace & Co. (a)

43,184

2,459,761

Westlake Chemical Corp.

12,747

767,752

Zep, Inc.

16,526

250,699

Zoltek Companies, Inc. (a)(d)

40,249

486,610

 

298,404,109

 

Shares

Value

Construction Materials - 0.1%

Eagle Materials, Inc. (d)

36,470

$ 1,144,429

Headwaters, Inc. (a)

93,443

284,067

Martin Marietta Materials, Inc.

41,456

3,559,827

Texas Industries, Inc. (d)

16,333

552,545

U.S. Concrete, Inc. (a)

13,793

57,931

Vulcan Materials Co.

106,365

4,739,624

 

10,338,423

Containers & Packaging - 0.3%

AEP Industries, Inc. (a)

6,511

227,169

Aptargroup, Inc. (d)

41,303

2,179,972

Ball Corp.

134,650

5,396,772

Bemis Co., Inc. (d)

87,122

2,733,017

Boise, Inc.

80,405

661,733

Crown Holdings, Inc. (a)

110,291

4,077,458

Graphic Packaging Holding Co. (a)

145,268

767,015

Greif, Inc. Class A (d)

29,099

1,490,160

MOD-PAC Corp. (sub. vtg.) (a)

989

6,339

Myers Industries, Inc.

17,337

230,929

Owens-Illinois, Inc. (a)

119,395

2,853,541

Packaging Corp. of America

69,635

2,063,981

Rock-Tenn Co. Class A

51,739

3,647,082

Sealed Air Corp.

144,059

2,827,878

Silgan Holdings, Inc.

35,329

1,502,189

Sonoco Products Co.

69,472

2,281,460

UFP Technologies, Inc. (a)

1,379

24,229

 

32,970,924

Metals & Mining - 1.0%

A.M. Castle & Co. (a)(d)

15,455

176,960

AK Steel Holding Corp. (d)

121,218

960,047

Alcoa, Inc.

919,985

9,356,247

Allegheny Technologies, Inc.

77,522

3,400,890

Allied Nevada Gold Corp. (a)(d)

66,857

2,300,549

Amcol International Corp.

18,664

547,415

Carpenter Technology Corp.

31,548

1,618,412

Century Aluminum Co. (a)(d)

49,996

490,461

Cliffs Natural Resources, Inc.

111,449

7,074,783

Coeur d'Alene Mines Corp. (a)(d)

92,048

2,617,845

Commercial Metals Co.

82,162

1,091,933

Compass Minerals International, Inc.

22,090

1,591,585

Comstock Mining, Inc. (a)

12,441

25,131

Freeport-McMoRan Copper & Gold, Inc.

756,136

32,181,148

Friedman Industries

2,001

20,910

General Moly, Inc. (a)(d)

49,482

178,630

Globe Specialty Metals, Inc.

35,832

509,531

Golden Minerals Co. (a)(d)

22,525

187,859

Handy & Harman Ltd. (a)

4,348

52,785

Haynes International, Inc.

8,639

546,762

Hecla Mining Co.

227,588

1,156,147

Horsehead Holding Corp. (a)

39,520

450,528

Kaiser Aluminum Corp. (d)

16,273

786,637

Materion Corp. (a)

22,336

655,562

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

McEwen Mining, Inc. (a)(d)

153,111

$ 800,771

Metals USA Holdings Corp. (a)

10,388

135,875

Mines Management, Inc. (a)(d)

12,500

25,125

Molycorp, Inc. (a)(d)

46,127

1,139,337

Newmont Mining Corp.

380,920

22,626,648

Noranda Aluminium Holding Corp.

34,612

415,344

Nucor Corp.

219,158

9,539,948

Olympic Steel, Inc.

9,587

224,719

Reliance Steel & Aluminum Co.

58,834

3,160,562

Royal Gold, Inc.

42,217

2,931,971

RTI International Metals, Inc. (a)(d)

27,976

630,579

Schnitzer Steel Inds, Inc. Class A (d)

16,509

745,546

Silver Bull Resources, Inc. (a)(d)

34,716

19,788

Solitario Exploration & Royalty Corp. (a)

7,900

11,139

Southern Copper Corp. (d)

168,589

5,421,822

Steel Dynamics, Inc.

160,458

2,376,383

Stillwater Mining Co. (a)(d)

84,322

1,197,372

SunCoke Energy, Inc. (a)

54,343

778,735

Synalloy Corp.

602

7,615

Titanium Metals Corp.

121,957

1,787,890

U.S. Silica Holdings, Inc.

9,838

166,459

United States Steel Corp. (d)

106,239

2,891,826

Universal Stainless & Alloy Products, Inc. (a)

4,997

167,300

US Energy Corp. (a)

13,579

44,675

Vista Gold Corp. (a)(d)

30,419

107,683

Walter Energy, Inc.

48,021

3,113,201

Worthington Industries, Inc.

42,754

721,260

 

129,168,330

Paper & Forest Products - 0.2%

AbitibiBowater, Inc. (a)(d)

58,314

892,204

Buckeye Technologies, Inc.

38,686

1,321,514

Clearwater Paper Corp. (a)

17,308

593,837

Deltic Timber Corp.

13,533

882,487

Domtar Corp.

31,471

3,017,125

Glatfelter

36,975

577,180

International Paper Co.

320,065

11,250,285

Kapstone Paper & Packaging Corp. (a)

27,514

553,031

Louisiana-Pacific Corp. (a)(d)

87,254

712,865

MeadWestvaco Corp.

135,474

4,102,153

Neenah Paper, Inc.

13,754

383,599

Schweitzer-Mauduit International, Inc.

12,453

872,333

Verso Paper Corp. (a)

16,407

21,329

Wausau-Mosinee Paper Corp.

43,988

410,848

 

25,590,790

TOTAL MATERIALS

496,472,576

 

Shares

Value

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 2.2%

8x8, Inc. (a)(d)

54,427

$ 233,492

AboveNet, Inc. (a)(d)

19,425

1,351,203

Alaska Communication Systems Group, Inc. (d)

91,658

293,306

Allegiance Telecom, Inc. (a)

7,100

0

AT&T, Inc.

4,755,975

145,485,275

Atlantic Tele-Network, Inc.

16,949

649,486

Boingo Wireless, Inc.

15,589

149,031

Cbeyond, Inc. (a)

34,447

264,553

CenturyLink, Inc.

476,960

19,197,640

Cincinnati Bell, Inc. New (a)(d)

146,179

548,171

Cogent Communications Group, Inc. (a)

45,760

842,899

Consolidated Communications Holdings, Inc. (d)

37,636

713,955

Elephant Talk Communication, Inc. (a)(d)

40,052

85,711

FairPoint Communications, Inc. (a)(d)

39,538

148,663

Frontier Communications Corp. (d)

749,270

3,439,149

General Communications, Inc. Class A (a)

33,964

359,679

Globalstar, Inc. (a)(d)

95,723

81,518

Hawaiian Telcom Holdco, Inc. (a)

7,614

119,692

HickoryTech Corp.

2,523

27,097

IDT Corp. Class B

36,897

333,918

inContact, Inc. (a)

21,298

113,518

Iridium Communications, Inc. (a)(d)

61,404

469,127

Level 3 Communications, Inc. (a)

186,635

4,537,097

Lumos Networks Corp.

10,948

140,134

Neutral Tandem, Inc. (a)

28,172

314,400

Premiere Global Services, Inc. (a)

54,821

474,202

Primus Telecommunications Group, Inc. (a)

10,437

143,509

SureWest Communications

15,725

352,397

Towerstream Corp. (a)(d)

34,148

96,980

tw telecom, inc. (a)(d)

109,402

2,363,083

Verizon Communications, Inc.

2,254,924

85,935,154

Vonage Holdings Corp. (a)

108,539

259,408

Windstream Corp. (d)

403,983

4,880,115

 

274,403,562

Wireless Telecommunication Services - 0.3%

Clearwire Corp. Class A (a)(d)

187,420

431,066

Crown Castle International Corp. (a)

182,816

9,471,697

Leap Wireless International, Inc. (a)

51,525

537,921

MetroPCS Communications, Inc. (a)

322,874

3,325,602

NII Holdings, Inc. (a)(d)

126,821

2,267,559

NTELOS Holdings Corp.

10,948

254,541

SBA Communications Corp. Class A (a)(d)

91,252

4,282,456

Shenandoah Telecommunications Co. (d)

22,919

228,961

Sprint Nextel Corp. (a)

2,227,579

5,502,120

Telephone & Data Systems, Inc.

73,288

1,851,988

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

U.S. Cellular Corp. (a)(d)

14,322

$ 617,851

USA Mobility, Inc.

28,203

386,945

 

29,158,707

TOTAL TELECOMMUNICATION SERVICES

303,562,269

UTILITIES - 3.4%

Electric Utilities - 1.7%

Allete, Inc. (d)

33,215

1,381,080

American Electric Power Co., Inc.

366,241

13,774,324

Central Vermont Public Service Corp. (d)

19,324

680,978

Cleco Corp. (d)

54,483

2,096,506

Duke Energy Corp.

1,032,626

21,602,536

Edison International

243,928

10,213,265

El Paso Electric Co.

44,691

1,462,736

Empire District Electric Co.

52,048

1,038,358

Entergy Corp.

153,247

10,210,848

Exelon Corp.

537,367

20,994,929

FirstEnergy Corp.

351,230

15,555,977

Great Plains Energy, Inc.

94,773

1,874,610

Hawaiian Electric Industries, Inc. (d)

66,479

1,665,299

IDACORP, Inc.

35,161

1,423,317

ITC Holdings Corp.

52,881

3,991,458

MGE Energy, Inc.

22,576

990,183

NextEra Energy, Inc.

338,664

20,153,895

Northeast Utilities

122,863

4,410,782

NV Energy, Inc.

181,962

2,853,164

Otter Tail Corp.

32,419

688,580

Pepco Holdings, Inc.

155,532

3,023,542

Pinnacle West Capital Corp.

77,059

3,624,085

PNM Resources, Inc.

67,114

1,206,710

Portland General Electric Co.

65,957

1,625,180

PPL Corp.

487,826

13,927,432

Progress Energy, Inc.

222,099

11,789,015

Southern Co.

690,945

30,532,860

UIL Holdings Corp.

34,543

1,217,641

Unisource Energy Corp.

32,111

1,181,364

Unitil Corp.

19,695

523,887

Westar Energy, Inc.

76,364

2,101,537

 

207,816,078

Gas Utilities - 0.2%

AGL Resources, Inc.

84,990

3,388,551

Atmos Energy Corp.

67,549

2,075,781

Chesapeake Utilities Corp. (d)

10,363

425,608

Delta Natural Gas Co., Inc.

1,539

58,605

Gas Natural, Inc.

1,949

21,731

Laclede Group, Inc.

27,494

1,129,728

National Fuel Gas Co.

56,086

2,822,808

New Jersey Resources Corp.

30,189

1,409,524

Northwest Natural Gas Co. (d)

34,699

1,588,173

 

Shares

Value

ONEOK, Inc.

80,943

$ 6,689,130

Piedmont Natural Gas Co., Inc.

66,004

2,138,530

Questar Corp.

120,840

2,322,545

South Jersey Industries, Inc.

25,563

1,329,276

Southwest Gas Corp.

38,877

1,658,104

UGI Corp.

77,479

2,188,782

WGL Holdings, Inc. (d)

35,927

1,466,899

 

30,713,775

Independent Power Producers & Energy Traders - 0.2%

Black Hills Corp.

38,823

1,274,947

Calpine Corp. (a)(d)

290,000

4,439,900

Constellation Energy Group, Inc.

134,026

4,859,783

Dynegy, Inc. (a)(d)

77,498

100,747

Genie Energy Ltd. Class B

11,430

109,614

GenOn Energy, Inc. (a)

573,550

1,410,933

NRG Energy, Inc. (a)

189,652

3,243,049

Ormat Technologies, Inc.

25,950

525,228

Tegal Corp. (a)

87

290

The AES Corp. (a)

604,562

8,197,861

 

24,162,352

Multi-Utilities - 1.2%

Alliant Energy Corp.

75,902

3,236,461

Ameren Corp.

176,734

5,667,859

Avista Corp.

62,033

1,532,215

CenterPoint Energy, Inc.

319,442

6,225,925

CH Energy Group, Inc. (d)

17,708

1,180,592

CMS Energy Corp.

175,000

3,746,750

Consolidated Edison, Inc.

240,766

13,988,505

Dominion Resources, Inc.

455,703

22,999,330

DTE Energy Co.

125,312

6,765,595

Integrys Energy Group, Inc.

53,328

2,774,656

MDU Resources Group, Inc.

139,832

3,034,354

NiSource, Inc. (d)

245,673

5,896,152

NorthWestern Energy Corp.

42,329

1,470,086

NSTAR

83,673

3,924,264

OGE Energy Corp.

87,987

4,617,558

PG&E Corp.

338,723

14,117,975

Public Service Enterprise Group, Inc.

385,925

11,878,772

SCANA Corp.

113,750

5,118,750

Sempra Energy (d)

169,220

10,024,593

TECO Energy, Inc. (d)

132,305

2,374,875

Vectren Corp.

57,016

1,666,008

Wisconsin Energy Corp.

171,718

5,852,149

Xcel Energy, Inc.

428,748

11,357,535

 

149,450,959

Water Utilities - 0.1%

American States Water Co. (d)

24,187

891,533

American Water Works Co., Inc.

135,341

4,639,489

Aqua America, Inc.

94,472

2,098,223

Artesian Resources Corp. Class A

7,116

135,916

Cadiz, Inc. (a)

5,759

61,161

California Water Service Group

51,749

994,098

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

Connecticut Water Service, Inc.

1,945

$ 56,055

Middlesex Water Co.

5,464

100,647

SJW Corp.

10,920

260,879

York Water Co.

4,047

70,135

 

9,308,136

TOTAL UTILITIES

421,451,300

TOTAL COMMON STOCKS

(Cost $10,517,791,599)


12,141,817,322

Nonconvertible Bonds - 0.0%

 

Principal
Amount

 

FINANCIALS - 0.0%

Capital Markets - 0.0%

GAMCO Investors, Inc. 0% 12/31/15

(Cost $22,633)

$ 22,600


18,220

U.S. Treasury Obligations - 0.1%

 

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.09% 3/8/12 to 7/19/12 (e)
(Cost $16,497,933)

16,500,000


16,497,596

Money Market Funds - 12.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

114,228,901

114,228,901

Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c)

1,396,046,732

1,396,046,732

TOTAL MONEY MARKET FUNDS

(Cost $1,510,275,633)


1,510,275,633

TOTAL INVESTMENT
PORTFOLIO - 111.2%

(Cost $12,044,587,798)

13,668,608,771

NET OTHER ASSETS
(LIABILITIES) - (11.2)%

(1,374,027,689)

NET ASSETS - 100%

$ 12,294,581,082

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

1,271 CME E-mini S&P 500 Index Contracts

March 2012

$ 86,707,620

$ 7,071,875

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

March 2012

8,984,720

877,732

112 CME S&P 500 Index Contracts

March 2012

38,203,200

2,728,848

222 NYFE Russell 2000 Mini Index Contracts

March 2012

17,982,000

1,545,248

TOTAL EQUITY INDEX CONTRACTS

$ 151,877,540

$ 12,223,703

 

The face value of futures purchased as a percentage of net assets is 1.2%

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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) 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 $10,197,679.

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

$ 197,580

Fidelity Securities Lending Cash Central Fund

4,680,442

Total

$ 4,878,022

Other Information

The following is a summary of the inputs used, as of February 29, 2012, 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

$ 1,448,486,735

$ 1,448,486,735

$ -

$ -

Consumer Staples

1,140,321,223

1,140,310,188

11,035

-

Energy

1,359,179,677

1,359,179,677

-

-

Financials

1,867,602,364

1,867,600,721

-

1,643

Health Care

1,386,083,527

1,386,083,527

-

-

Industrials

1,353,890,149

1,353,890,149

-

-

Information Technology

2,364,767,502

2,364,767,502

-

-

Materials

496,472,576

496,472,576

-

-

Telecommunication Services

303,562,269

303,562,269

-

-

Utilities

421,451,300

421,451,300

-

-

Corporate Bonds

18,220

-

18,220

-

U.S. Government and Government Agency Obligations

16,497,596

-

16,497,596

-

Money Market Funds

1,510,275,633

1,510,275,633

-

-

Total Investments in Securities:

$ 13,668,608,771

$ 13,652,080,277

$ 16,526,851

$ 1,643

Derivative Instruments:

Assets

Futures Contracts

$ 12,223,703

$ 12,223,703

$ -

$ -

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

Investments in Securities:

Beginning Balance

$ 96,127

Total Realized Gain (Loss)

(132,858)

Total Unrealized Gain (Loss)

138,760

Cost of Purchases

-

Proceeds of Sales

(5,850)

Amortization/Accretion

-

Transfers in to Level 3

1,590

Transfers out of Level 3

(96,126)

Ending Balance

$ 1,643

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2012

$ 86

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, and includes the value of securities delivered through unaffiliated in-kind transactions. See Note 5 of the Notes to Financial Statements. 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 February 29, 2012. 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)

$ 12,223,703

$ -

Total Value of Derivatives

$ 12,223,703

$ -

(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.

Annual Report

Spartan Total Market Index Fund

Financial Statements

Statement of Assets and Liabilities

 

February 29, 2012

 

 

 

Assets

Investment in securities, at value (including securities loaned of $1,345,904,304) - See accompanying schedule:

Unaffiliated issuers (cost $10,534,312,165)

$ 12,158,333,138

 

Fidelity Central Funds (cost $1,510,275,633)

1,510,275,633

 

Total Investments (cost $12,044,587,798)

 

$ 13,668,608,771

Cash

 

34,837

Receivable for investments sold

1,280,716

Receivable for fund shares sold

51,714,360

Dividends receivable

24,985,250

Distributions receivable from Fidelity Central Funds

472,876

Receivable from investment adviser for expense reductions

10,151

Other receivables

122,673

Total assets

13,747,229,634

 

 

 

Liabilities

Payable for investments purchased

$ 37,261

Payable for fund shares redeemed

54,685,864

Accrued management fee

455,115

Payable for daily variation margin on futures contracts

1,038,336

Other affiliated payables

319,598

Other payables and accrued expenses

65,646

Collateral on securities loaned, at value

1,396,046,732

Total liabilities

1,452,648,552

 

 

 

Net Assets

$ 12,294,581,082

Net Assets consist of:

 

Paid in capital

$ 11,092,660,661

Undistributed net investment income

27,909,802

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

(462,234,277)

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

1,636,244,896

Net Assets

$ 12,294,581,082

Statement of Assets and Liabilities - continued

 

February 29, 2012

 

 

 

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,379,769,804 ÷ 85,445,018 shares)

$ 39.55

 

 

 

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,536,902,549 ÷ 165,251,477 shares)

$ 39.56

 

 

 

Institutional Class:
Net Asset Value, offering price and redemption price per share ($693,534,327 ÷ 17,533,825 shares)

$ 39.55

 

 

 

Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($189,758,122 ÷ 4,797,450 shares)

$ 39.55

 

 

 

Class F:
Net Asset Value, offering price and redemption price per share ($1,494,616,280 ÷ 37,781,881 shares)

$ 39.56

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

Annual Report

Statement of Operations

 

Year ended February 29, 2012

 

 

 

Investment Income

 

 

Dividends

 

$ 214,285,292

Interest

 

15,912

Income from Fidelity Central Funds

 

4,878,022

Total income

 

219,179,226

 

 

 

Expenses

Management fee

$ 6,517,726

Transfer agent fees

2,749,481

Independent trustees' compensation

66,214

Miscellaneous

33,291

Total expenses before reductions

9,366,712

Expense reductions

(28,373)

9,338,339

Net investment income (loss)

209,840,887

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

167,667,600

Foreign currency transactions

(4,353)

Redemption in-kind with affiliated entities

393,327,878

Futures contracts

17,450,299

Total net realized gain (loss)

 

578,441,424

Change in net unrealized appreciation (depreciation) on:

Investment securities

(266,448,637)

Assets and liabilities in foreign currencies

(98)

Futures contracts

3,326,207

Total change in net unrealized appreciation (depreciation)

 

(263,122,528)

Net gain (loss)

315,318,896

Net increase (decrease) in net assets resulting from operations

$ 525,159,783

Statement of Changes in Net Assets

 

Year ended
February 29,
2012

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 209,840,887

$ 182,686,921

Net realized gain (loss)

578,441,424

(140,975,443)

Change in net unrealized appreciation (depreciation)

(263,122,528)

2,243,788,031

Net increase (decrease) in net assets resulting from operations

525,159,783

2,285,499,509

Distributions to shareholders from net investment income

(195,308,977)

(179,834,546)

Distributions to shareholders from net realized gain

-

(5,804,652)

Total distributions

(195,308,977)

(185,639,198)

Share transactions - net increase (decrease)

(149,356,809)

833,400,574

Redemption fees

378,217

259,786

Total increase (decrease) in net assets

180,872,214

2,933,520,671

 

 

 

Net Assets

Beginning of period

12,113,708,868

9,180,188,197

End of period (including undistributed net investment income of $27,909,802 and undistributed net investment income of $30,424,213, respectively)

$ 12,294,581,082

$ 12,113,708,868

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

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.60

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .68

.61

.56

.70

.76

Net realized and unrealized gain (loss)

  .96

7.03

10.96

(16.70)

(2.30)

Total from investment operations

  1.64

7.64

11.52

(16.00)

(1.54)

Distributions from net investment income

  (.65)

(.60)

(.57)

(.64)

(.65)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.65)

(.62)

(.58) I

(.65) H

(.89)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.55

$ 38.56

$ 31.54

$ 20.60

$ 37.25

Total Return A

  4.46%

24.39%

56.10%

(43.32)%

(4.10)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .10%

.10%

.10%

.10%

.10%

Expenses net of fee waivers, if any

  .10%

.10%

.10%

.10%

.10%

Expenses net of all reductions

  .10%

.10%

.10%

.10%

.10%

Net investment income (loss)

  1.84%

1.80%

2.00%

2.23%

1.84%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,379,770

$ 6,289,666

$ 5,357,908

$ 3,358,025

$ 4,479,327

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.645 per share is comprised of distributions from net investment income of $.640 and distributions from net realized gain of $.005 per share.

I Total distributions of $.58 per share is comprised of distributions from net investment income of $.565 and distributions from net realized gain of $.015 per share.

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2012 F

2011

2010

2009

2008 F

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 20.61

$ 37.25

$ 39.68

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) B

  .69

.62

.57

.72

.77

Net realized and unrealized gain (loss)

  .97

7.03

10.95

(16.71)

(2.30)

Total from investment operations

  1.66

7.65

11.52

(15.99)

(1.53)

Distributions from net investment income

  (.66)

(.61)

(.57)

(.65)

(.66)

Distributions from net realized gain

  -

(.02)

(.02)

(.01)

(.24)

Total distributions

  (.66)

(.63)

(.59) I

(.65) H

(.90)

Redemption fees added to paid in capital B, G

  -

-

-

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

$ 20.61

$ 37.25

Total Return A

  4.51%

24.43%

56.07%

(43.28)%

(4.07)%

Ratios to Average Net Assets C, E

 

 

 

 

 

Expenses before reductions

  .07%

.07%

.07%

.07%

.07%

Expenses net of fee waivers, if any

  .07%

.07%

.07%

.07%

.07%

Expenses net of all reductions

  .07%

.07%

.07%

.07%

.07%

Net investment income (loss)

  1.87%

1.83%

2.03%

2.26%

1.87%

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 6,536,903

$ 5,078,759

$ 3,752,204

$ 2,267,057

$ 3,565,194

Portfolio turnover rate D

  17%

4%

7%

3%

4%

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

B Calculated based on average shares outstanding during the period.

C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

E 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.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H Total distributions of $.654 per share is comprised of distributions from net investment income of $.649 and distributions from net realized gain of $.005 per share.

I Total distributions of $.59 per share is comprised of distributions from net investment income of $.574 and distributions from net realized gain of $.015 per share.

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

Annual Report

Financial Highlights - Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.49%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .07% A

Expenses net of fee waivers, if any

  .06% A

Expenses net of all reductions

  .06% A

Net investment income (loss)

  2.03% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 693,534

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

Financial Highlights - Fidelity Advantage Institutional Class

Period ended February 29,

2012 G

Selected Per-Share Data

 

Net asset value, beginning of period

$ 34.49

Income from Investment Operations

 

Net investment income (loss) D

  .36

Net realized and unrealized gain (loss)

  5.26

Total from investment operations

  5.62

Distributions from net investment income

  (.56)

Redemption fees added to paid in capital D, I

  -

Net asset value, end of period

$ 39.55

Total Return B, C

  16.50%

Ratios to Average Net Assets E, H

 

Expenses before reductions

  .06% A

Expenses net of fee waivers, if any

  .05% A, K

Expenses net of all reductions

  .05% A, K

Net investment income (loss)

  2.02% A

Supplemental Data

 

Net assets, end of period (000 omitted)

$ 189,758

Portfolio turnover rate F

  17% J

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 sale of shares) to February 29, 2012.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

J Amount not annualized.

K Amount represents .045%.

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

Annual Report

Financial Highlights - Class F

Years ended February 28,

2012 I

2011

2010 G

Selected Per-Share Data

 

 

 

Net asset value, beginning of period

$ 38.56

$ 31.54

$ 30.10

Income from Investment Operations

 

 

 

Net investment income (loss) D

  .69

.63

.26

Net realized and unrealized gain (loss)

  .97

7.02

1.67

Total from investment operations

  1.66

7.65

1.93

Distributions from net investment income

  (.66)

(.61)

(.47)

Distributions from net realized gain

  -

(.02)

(.02)

Total distributions

  (.66)

(.63)

(.49) K

Redemption fees added to paid in capital D, J

  -

-

-

Net asset value, end of period

$ 39.56

$ 38.56

$ 31.54

Total Return B, C

  4.51%

24.43%

6.42%

Ratios to Average Net Assets E, H

 

 

 

Expenses before reductions

  .06%

.07%

.07% A

Expenses net of fee waivers, if any

  .06%

.07%

.07% A

Expenses net of all reductions

  .06%

.07%

.07% A

Net investment income (loss)

  1.89%

1.83%

1.98% A

Supplemental Data

 

 

 

Net assets, end of period (000 omitted)

$ 1,494,616

$ 745,283

$ 70,077

Portfolio turnover rate F

  17%

4%

7%

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 24, 2009 (commencement of sale of shares) to February 28, 2010.

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. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I For the year ended February 29.

J Amount represents less than $.01 per share.

K Total distributions of $.49 per share is comprised of distributions from net investment income of $.472 and distributions from net realized gain of $.015 per share.

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

Annual Report

Notes to Financial Statements

For the period ended February 29, 2012

1. Organization.

Spartan Total Market Index Fund (the Fund) is a fund of Fidelity Concord Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In May 2011, the Board of Trustees of Spartan Total Market Index Fund approved the creation of additional classes of shares. The Fund commenced sale of Institutional Class and Fidelity Advantage Institutional Class shares on September 8, 2011. The Fund offers Investor Class, Fidelity Advantage Class, Institutional Class, Fidelity Advantage Institutional Class and Class F 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. The Fund offers conversion privileges between share classes to eligible shareholders. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Investment income, realized and unrealized capital gains and losses, the common expenses of the 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 the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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 Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

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

Level 1 - quoted prices in active markets for identical investments

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

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 29, 2012, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by 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

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

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.

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 corporate bonds and 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 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.

New Accounting Pronouncements. 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 is effective during interim and annual periods beginning after December 15, 2011 and will result in additional disclosure for transfers between levels as well as expanded disclosure for securities categorized as Level 3 under the fair value hierarchy.

In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange 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 Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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 Fund estimates 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.

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

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. As of February 29, 2012, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, redemptions in-kind, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation

$ 2,969,645,004

Gross unrealized depreciation

(1,386,461,244)

Net unrealized appreciation (depreciation) on securities and other investments

$ 1,583,183,760

 

 

Tax Cost

$ 12,085,425,011

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income

$ 28,031,552

Capital loss carryforward

$ (409,173,358)

Net unrealized appreciation (depreciation)

$ 1,583,183,980

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. Capital loss carryforwards were as follows:

Fiscal year of expiration

 

 

 

2017

$ (160,154,968)

2018

(46,727,186)

2019

(200,286,243)

Total with expiration

(407,168,397)

No expiration

 

Long-term

(2,004,961)

Total capital loss carryforward

$ (409,173,358)

The tax character of distributions paid was as follows:

 

February 29, 2012

February 28, 2011

Ordinary Income

$ 195,308,977

$ 185,639,198

Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to .50% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.

Annual Report

Notes to Financial Statements - continued

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its 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 Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk

Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts 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.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent 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.

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.

During the period the Fund recognized net realized gain (loss) of $17,450,299 and a change in net unrealized appreciation (depreciation) of $3,326,207 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $1,922,711,702 and $2,023,174,933, respectively.

Securities received and delivered through unaffiliated in-kind subscriptions and redemptions totaled $163,667,295 and $1,008,858,235, respectively. Realized gain of $171,069,377 on securities delivered through unaffiliated in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. During the period the Board of Trustees approved an amendment to the management contract, effective September 1, 2011, to reduce the management fee from an annual rate of .07% to .045% of the Fund's average net assets. 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 an expense contract, 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

.10%

Fidelity Advantage Class

.07%

Institutional Class

.07%

Fidelity Advantage Institutional Class

.06%

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.

Annual Report

6. Fees and Other Transactions with Affiliates - continued

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 .075%, .045%, .035% and .015% of average net assets for Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class pay all or a portion of the transfer agent fees at an annual rate of .055%, .025%, .025% and .015% of average net assets, respectively.

Prior to September 1, 2011, FIIOC received transfer agent fees at an annual rate of .06% and .03% of average net assets for Investor and Fidelity Advantage Class, respectively. Under the expense contract, the Investor Class paid transfer agent fees at an annual rate of .03% of average net assets, and Fidelity Advantage Class paid no transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

 

Amount

% of
Average
Net Assets

Investor Class

$ 2,074,287

.04

Fidelity Advantage Class

631,515

.01

Institutional Class

37,283

.03

Fidelity Advantage Institutional Class

6,396

.02

 

$ 2,749,481

 

Redemptions In-Kind. During the period, 17,755,902 shares of the Fund held by affiliated entities were redeemed for cash and securities with a value of $682,536,885. The net realized gain (loss) of $393,327,878 on securities delivered through affiliated in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as Note 11: Shares Transactions. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $33,291 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $4,680,442.

Annual Report

Notes to Financial Statements - continued

9. Expense Reductions.

Effective September 8, 2011, FMR contractually agreed to reimburse certain classes of the Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement. This reimbursement will remain in place through April 30, 2013.

 

Expense
Limitations

Reimbursement
from adviser

Institutional Class

.06%

$ 20,411

Fidelity Advantage Institutional Class

.045%

7,580

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $382.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

From net investment income

 

 

Investor Class

$ 74,011,128

$ 97,586,465

Fidelity Advantage Class

90,014,851

75,486,167

Institutional Class

6,818,791

-

Fidelity Advantage Institutional Class

2,620,049

-

Class F

21,844,158

6,761,914

Total

$ 195,308,977

$ 179,834,546

From net realized gain

 

 

Investor Class

$ -

$ 3,374,672

Fidelity Advantage Class

-

2,380,648

Class F

-

49,332

Total

$ -

$ 5,804,652

A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

11. Share Transactions.

Transactions for each class of shares were as follows:

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Investor Class

 

 

 

 

Shares sold

37,550,760

45,341,120

$ 1,388,868,676

$ 1,545,271,706

Reinvestment of distributions

2,008,028

2,771,120

71,680,307

98,744,181

Shares redeemed

(117,221,767) B

(54,866,527)

(4,390,559,721) B

(1,881,537,887)

Net increase (decrease)

(77,662,979)

(6,754,287)

$ (2,930,010,738)

$ (237,522,000)

Fidelity Advantage Class

 

 

 

 

Shares sold

52,795,658

35,056,659

$ 2,007,116,846

$ 1,218,401,959

Reinvestment of distributions

2,192,081

1,879,344

77,894,521

67,004,512

Shares redeemed

(21,435,179)

(24,186,728)

(789,876,393)

(811,279,711)

Net increase (decrease)

33,552,560

12,749,275

$ 1,295,134,974

$ 474,126,760

Institutional Class

 

 

 

 

Shares sold

17,993,180

-

$ 649,476,736

$ -

Reinvestment of distributions

194,656

-

6,818,791

-

Shares redeemed

(654,011)

-

(24,602,098)

-

Net increase (decrease)

17,533,825

-

$ 631,693,429

$ -

Annual Report

11. Share Transactions - continued

 

Shares

Dollars

 

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Year ended
February 29,
2012 A

Year ended
February 28,
2011

Fidelity Advantage Institutional Class

 

 

 

 

Shares sold

4,871,455

-

$ 179,033,674

$ -

Reinvestment of distributions

74,794

-

2,620,049

-

Shares redeemed

(148,799)

-

(5,550,895)

-

Net increase (decrease)

4,797,450

-

$ 176,102,828

$ -

Class F

 

 

 

 

Shares sold

22,439,089

19,381,678

$ 826,126,384

$ 675,778,550

Reinvestment of distributions

617,949

189,593

21,844,158

6,811,246

Shares redeemed

(4,602,865)

(2,465,258)

(170,247,844)

(85,793,982)

Net increase (decrease)

18,454,173

17,106,013

$ 677,722,698

$ 596,795,814

A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period September 8, 2011 (commencement of sale of shares) to February 29, 2012.

B Amount includes in-kind redemptions (see Note 6: Redemptions In-Kind).

12. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan Total Market Index Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan Total Market Index Fund (a fund of Fidelity Concord Street Trust) at February 29, 2012, the results of its operations for the year then ended, the changes to its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Spartan Total Market Index management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts
April 30, 2012

Annual Report

Trustees and Officers

The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 226 funds advised by FMR or an affiliate. Mr. Curvey oversees 430 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Acting Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's equity and high income funds and another Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds. The asset allocation funds may invest in Fidelity funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. In addition, the Independent Trustees have worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. For example, a working group comprised of Independent Trustees and FMR has worked and continues to work to review the Fidelity funds' valuation-related activities, reporting and risk management. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of FMR's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."

Annual Report

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupations and Other Relevant Experience+

James C. Curvey (76)

 

Year of Election or Appointment: 2007

Mr. Curvey is Trustee and Acting Chairman of the Board of Trustees of certain Trusts. Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.

Ronald P. O'Hanley (55)

 

Year of Election or Appointment: 2011

Mr. O'Hanley is Director of FMR Co., Inc. (2010-present), Director of Fidelity Investments Money Management, Inc. (2010-present), Director of Fidelity Research & Analysis Company (2010-present), President of Fidelity Asset Management and Corporate Services and a member of Fidelity's Executive Committee (2010-present). Previously, Mr. O'Hanley served as President and Chief Executive Officer of BNY Mellon Asset Management (2007-2010). Mr. O'Hanley also served as Vice Chairman of Bank New York Mellon Corp. and a member of that firm's Executive Committee. Prior to the 2007 merger of The Bank of New York and Mellon Financial Corporation, he was Vice Chairman of Mellon Financial Corporation and President and Chief Executive Officer of Mellon Asset Management. He joined Mellon in February 1997. Mr. O'Hanley currently serves as Chairman of the Boston Public Library Foundation Board of Directors and sits on the Board of Directors of Beth Israel Deaconess Medical Center, the Board of Trustees of the Marine Biological Laboratory and the Advisory Board of the Maxwell School of Citizenship and Public Administration at Syracuse University. Mr. O'Hanley also chairs the Council on Asset Management for the Financial Services Roundtable and is a member of the Board of Directors of Institutional Investor's U.S. Institute.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupations and Other Relevant Experience+

Dennis J. Dirks (63)

 

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (58)

 

Year of Election or Appointment: 2008

Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's, Inc. (restaurant and entertainment complexes, 2010-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2007-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).

Ned C. Lautenbach (68)

 

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is also a member of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (1999-present); a member of the Board of Trustees of Fairfield University (2005-present); and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (67)

 

Year of Election or Appointment: 2008

Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and of Arcadia Resources Inc. (health care services and products, 2007-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007).

Robert W. Selander (61)

 

Year of Election or Appointment: 2011

Previously, Mr. Selander served as a Member of the Advisory Board of Fidelity's Equity and High Income Funds (2011), Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (67)

 

Year of Election or Appointment: 2005

Ms. Small is a member of the Board of Directors of the Teagle Foundation (2009-present). Ms. Small is also a member of the Investment Committee, and Chair (2008-present) and a member of the Board of Trustees of Smith College. In addition, Ms. Small serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson of the Investment Committee (2002-2008) of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (72)

 

Year of Election or Appointment: 2001

Mr. Stavropoulos is Vice Chairman of the Independent Trustees of the Equity and High Income Funds (2006-present). Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of Univar (global distributor of commodity and specialty chemicals, 2010-present), a Director of Teradata Corporation (data warehousing and technology solutions, 2008-present), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment, 2005-present). Mr. Stavropoulos is a special advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science.

David M. Thomas (62)

 

Year of Election or Appointment: 2008

Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). In addition, Mr. Thomas serves as a member of the Board of Directors of Fortune Brands, Inc. (consumer products), and Interpublic Group of Companies, Inc. (marketing communication, 2004-present).

Michael E. Wiley (61)

 

Year of Election or Appointment: 2008

Mr. Wiley also serves as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-present). Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).

+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.

Advisory Board Members and Executive Officers:

Correspondence intended for each executive officer, Edward C. Johnson 3d, and Peter S. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (81)

 

Year of Election or Appointment: 2011

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR LLC, and also serves as Chairman and Director of FIL Limited. Previously, Mr. Johnson served as a Trustee and Chairman of the Board of certain Fidelity Trusts, Chairman and a Director of FMR, Chairman and a Director of FMR Co., Inc., and President of FMR LLC (2006-2007).

Peter S. Lynch (68)

 

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity's Equity and High Income Funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Kenneth B. Robins (42)

 

Year of Election or Appointment: 2008

President and Treasurer of Fidelity's Equity and High Income Funds. Mr. Robins also serves as President and Treasurer (2010-present) and Assistant Treasurer (2009-present) of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008).

Bruce T. Herring (46)

 

Year of Election or Appointment: 2006

Vice President of certain Equity Funds. Mr. Herring also serves as President of Fidelity Research & Analysis Company (2010-present), Chief Investment Officer and Director of Fidelity Management & Research (U.K.) Inc. (2010-present) and Group Chief Investment Officer of FMR. Previously, Mr. Herring served as Vice President (2005-2006) and Senior Vice President (2006-2007) of Fidelity Management & Research Company, Vice President of FMR Co., Inc. (2001-2007) and as a portfolio manager for Fidelity U.S. Equity Funds.

Brian B. Hogan (47)

 

Year of Election or Appointment: 2009

Vice President of Equity and High Income Funds. Mr. Hogan also serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Scott C. Goebel (44)

 

Year of Election or Appointment: 2008

Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary of Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); employed by FMR LLC or an affiliate (2001-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

William C. Coffey (43)

 

Year of Election or Appointment: 2009

Assistant Secretary of Fidelity's Equity and High Income Funds. Mr. Coffey also serves as Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Holly C. Laurent (57)

 

Year of Election or Appointment: 2008

Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006).

Christine Reynolds (53)

 

Year of Election or Appointment: 2008

Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007).

Joseph A. Hanlon (43)

 

Year of Election or Appointment: 2012

Chief Compliance Officer of Fidelity's Equity and High Income Funds. Mr. Hanlon serves as Senior Vice President of the Fidelity Asset Management Division (2009-present) and is an employee of Fidelity Investments.

Joseph F. Zambello (54)

 

Year of Election or Appointment: 2011

Deputy Treasurer of the Fidelity funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).

Adrien E. Deberghes (44)

 

Year of Election or Appointment: 2008

Deputy Treasurer of Fidelity's Equity and High Income Funds. Mr. Deberghes also serves as Vice President (2011-present) and Assistant Treasurer (2010-present) of other Fidelity funds, and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (42)

 

Year of Election or Appointment: 2010

Assistant Treasurer of Fidelity's Equity and High Income Funds. Ms. Dorsey also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

John R. Hebble (53)

 

Year of Election or Appointment: 2009

Assistant Treasurer of Fidelity's Equity and High Income Funds. Mr. Hebble also serves as President (2011-present), Treasurer, and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2008-present), President and Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments.

Gary W. Ryan (53)

 

Year of Election or Appointment: 2005

Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005).

Jonathan Davis (43)

 

Year of Election or Appointment: 2010

Assistant Treasurer of the Fidelity funds. Mr. Davis is also Assistant Treasurer of Fidelity Rutland Square Trust II and Fidelity Commonwealth Trust II. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).

Annual Report

Distributions (Unaudited)

Class F designates 100% and 98%, of the dividends distributed in April and December, during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Class F designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2013 of amounts for use in preparing 2012 income tax returns.

Annual Report

Investment Adviser

Fidelity Management & Research Company
Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA

Fidelity Service Company, Inc.
Boston, MA

Custodian

The Bank of New York Mellon
New York, NY 

STI-F-ANN-0412
1.899048.102

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Item 2. Code of Ethics

As of the end of the period, February 29, 2012, Fidelity Concord Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Mr. Mauriello is independent for purposes of Item 3 of Form N-CSR.  

  

Item 4. Principal Accountant Fees and Services

Fees and Services

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Spartan Extended Market Index Fund, Spartan International Index Fund and Spartan Total Market Index Fund (the "Funds"):

Services Billed by PwC

February 29, 2012 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Spartan Extended Market Index Fund

$77,000

$-

$4,300

$4,000

Spartan International Index Fund

$81,000

$-

$36,000

$5,200

Spartan Total Market Index Fund

$88,000

$-

$6,400

$6,300

February 28, 2011 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Spartan Extended Market Index Fund

$77,000

$-

$4,300

$4,600

Spartan International Index Fund

$82,000

$-

$36,400

$7,000

Spartan Total Market Index Fund

$90,000

$-

$6,400

$7,900

A Amounts may reflect rounding.

The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds ("Fund Service Providers"):

Services Billed by PwC

 

February 29, 2012A

February 28, 2011A

Audit-Related Fees

$3,795,000

$2,550,000

Tax Fees

$-

$-

All Other Fees

$-

$510,000

A Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

* * *

The aggregate non-audit fees billed by PwC for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:

Billed By

February 29, 2012 A

February 28, 2011 A

PwC

$5,180,000

$5,015,000

A Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Funds, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.

Audit Committee Pre-Approval Policies and Procedures

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.

Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds' last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the 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)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(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 Concord Street Trust

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

May 1, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

May 1, 2012

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

May 1, 2012