UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
John Hitt, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
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Date of reporting period: | February 28, 2019 |
Item 1.
Reports to Stockholders
Strategic Advisers® Emerging Markets Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
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Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Life of fundA |
Strategic Advisers® Emerging Markets Fund | (11.48)% | 3.69% | 1.95% |
A From September 30, 2010
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Emerging Markets Fund on September 30, 2010, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period.
Period Ending Values | ||
$11,768 | Strategic Advisers® Emerging Markets Fund | |
$11,978 | MSCI Emerging Markets Index |
Management's Discussion of Fund Performance
Market Recap: International equities returned -6.29% for the 12 months ending February 28, 2019, according to the MSCI ACWI (All Country World Index) ex USA Index. International markets faced a confluence of overwhelmingly negative factors the past year, including escalating trade tension, a surging U.S. dollar, tepid economic growth in Europe, global central bank tightening, concerns about Italy’s budget stalemate with the European Union, and weakness in China’s stock market. Volatility spiked as the final quarter of 2018 began, and the index returned -8% in October alone – its largest monthly drop since 2012 – and retreated another roughly 5% in December. For the full year, 8 of 11 market sectors lost ground. A handful of economically sensitive groups were among the hardest hit: consumer discretionary (-12%) and financials (-10%), along with materials, information technology and industrials, all of which returned about -7%. The new-media-infused communication services (-13%) sector fared the worst. Conversely, the more defensive utilities (+10%), health care (+3%), consumer staples (-1%) and real estate (-1%) sectors topped the broader market, as did energy, which returned roughly 5% on rebounding crude-oil prices late in the year. Geographically, resource-rich Canada (+4%) was the only region to advance. Japan and emerging markets each returned about -10%, followed by Europe ex U.K. (-6%). The U.K. and Asia-Pacific ex Japan both returned -1%.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year, the Fund returned -11.48%, trailing the -9.85% result of the benchmark MSCI Emerging Markets Index. Amid an overall challenging period for emerging-markets (EM) investing, an unusual combination of macroeconomic and geopolitical factors hampered the performance of many of the Fund’s underlying managers, regardless of their investment style. Sub-adviser Acadian Asset Management was the largest detractor versus the benchmark, hurt by overweighted exposure to Turkey, adverse positioning in Taiwan and India, along with poor stock selection within the financials sector. Sub-adviser FIAM® also hampered relative performance, as its risk-managed GARP (growth at a reasonable price) strategy resulted in subpar stock picks in several sectors, and in China. On the plus side, sub-adviser T. Rowe Price and Oppenheimer Developing Markets Fund contributed about equally versus the benchmark. T. Rowe's GARP strategy generated favorable overall positioning among information technology stocks. On a country basis, T. Rowe Price fared the best in South Korea, Taiwan and the United Arab Emirates. Oppenheimer takes a more thematic approach to selecting investments, benefitting from favorable picks in consumer discretionary, financials and health care, primarily in China. Lastly, the Fund hired two new sub-advisers during the period: Causeway Capital Management and Schroders Asset Management.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents) | % of fund's net assets |
Fidelity Emerging Markets Fund | 7.6 |
iShares Edge MSCI Min Vol Emerging Markets ETF | 5.2 |
iShares MSCI China ETF | 3.7 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 3.2 |
Samsung Electronics Co. Ltd. | 3.1 |
Tencent Holdings Ltd. | 2.8 |
Oppenheimer Developing Markets Fund Class I | 2.6 |
Alibaba Group Holding Ltd. sponsored ADR | 2.2 |
Brandes Emerging Markets Value Fund Class A | 1.9 |
GMO Emerging Markets Fund Class III | 1.9 |
34.2 |
Top Five Market Sectors as of February 28, 2019
(stocks only) | % of fund's net assets |
Financials | 17.0 |
Investment Companies | 12.0 |
Information Technology | 10.5 |
Communication Services | 7.9 |
Consumer Discretionary | 7.2 |
Geographic Diversification (% of fund's net assets)
As of February 28, 2019 | ||
United States of America* | 40.3% | |
Cayman Islands | 9.0% | |
Korea (South) | 8.7% | |
China | 7.5% | |
Brazil | 5.8% | |
Taiwan | 5.0% | |
India | 5.0% | |
South Africa | 3.2% | |
Russia | 2.2% | |
Other | 13.3% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Common Stocks | 57.3% | |
Preferred Stocks | 2.7% | |
Diversifed Emerging Markets Funds | 28.5% | |
Other | 5.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.8% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Common Stocks - 57.3% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 7.8% | |||
Diversified Telecommunication Services - 1.0% | |||
Bharti Infratel Ltd. | 943,641 | $3,911,634 | |
China Communications Services Corp. Ltd. (H Shares) | 1,926,000 | 1,935,876 | |
China Telecom Corp. Ltd. (H Shares) | 18,794,000 | 10,175,420 | |
China Unicom Ltd. | 578,000 | 682,892 | |
Hellenic Telecommunications Organization SA | 312,437 | 3,962,503 | |
KT Corp. | 54,291 | 1,370,476 | |
LG Telecom Ltd. | 810,757 | 10,805,291 | |
Magyar Telekom PLC | 28,408 | 47,842 | |
PT Telekomunikasi Indonesia Tbk Series B | 44,348,600 | 12,175,068 | |
Qatar Telecom (Qtel) Q.S.C. (a) | 6,211 | 114,267 | |
Telecom Egypt SAE | 297,066 | 249,393 | |
Telkom SA Ltd. | 668,703 | 3,322,223 | |
48,752,885 | |||
Entertainment - 0.4% | |||
CD Projekt RED SA (a) | 159,773 | 8,026,863 | |
Changyou.com Ltd. (A Shares) ADR | 942 | 19,217 | |
Gamania Digital Entertainment Co. Ltd. | 434,000 | 1,043,394 | |
IGG, Inc. | 393,000 | 558,729 | |
NCSOFT Corp. | 620 | 253,949 | |
NetEase, Inc. ADR | 34,937 | 7,798,637 | |
NHN Entertainment Corp. (a) | 2,843 | 186,923 | |
17,887,712 | |||
Interactive Media & Services - 4.3% | |||
58.com, Inc. ADR (a) | 103,475 | 7,544,362 | |
Autohome, Inc. ADR Class A (a)(b) | 68,832 | 6,473,650 | |
Baidu.com, Inc. sponsored ADR (a) | 95,883 | 15,584,823 | |
Just Dial Ltd. (a) | 59,953 | 437,884 | |
Mail.Ru Group Ltd. GDR (Reg. S) (a) | 400,849 | 9,540,206 | |
Momo, Inc. ADR (a) | 94,200 | 3,124,614 | |
NAVER Corp. | 62,303 | 7,362,327 | |
Tencent Holdings Ltd. | 3,108,889 | 133,132,735 | |
Wirtualna Polska Holding SA | 217 | 3,212 | |
Yandex NV Series A (a) | 366,326 | 12,601,614 | |
YY, Inc. ADR (a) | 71,425 | 5,035,463 | |
200,840,890 | |||
Media - 0.9% | |||
BlueFocus Intelligent Communications Group Co. Ltd. (A Shares) | 471,300 | 340,759 | |
Cyfrowy Polsat SA (a) | 28,793 | 194,190 | |
Hyundai HCN | 146,658 | 545,325 | |
INNOCEAN Worldwide, Inc. | 3,109 | 193,087 | |
MultiChoice Group Ltd. | 74,501 | 555,305 | |
Naspers Ltd. Class N | 156,925 | 33,908,493 | |
Smiles Fidelidade SA | 171,300 | 2,189,050 | |
YeaRimDang Publishing Co. Ltd. (a) | 7,300 | 41,705 | |
37,967,914 | |||
Wireless Telecommunication Services - 1.2% | |||
America Movil S.A.B. de CV Series L sponsored ADR | 559,458 | 8,045,006 | |
China Mobile Ltd. | 1,694,500 | 17,898,112 | |
China Mobile Ltd. sponsored ADR | 51,644 | 2,721,122 | |
China United Network Communications Ltd. (A Shares) | 7,656,554 | 7,354,428 | |
Mobile TeleSystems OJSC sponsored ADR | 270,208 | 2,088,708 | |
Sistema JSFC sponsored GDR | 1,553 | 4,634 | |
SK Telecom Co. Ltd. | 27,614 | 6,391,213 | |
SK Telecom Co. Ltd. sponsored ADR | 31,376 | 803,226 | |
TIM Participacoes SA | 725,700 | 2,283,661 | |
Total Access Communication PCL (For. Reg.) | 1,880,200 | 3,029,211 | |
Turkcell Iletisim Hizmet A/S | 1,462,272 | 3,917,106 | |
VEON Ltd. sponsored ADR | 44,744 | 112,307 | |
54,648,734 | |||
TOTAL COMMUNICATION SERVICES | 360,098,135 | ||
CONSUMER DISCRETIONARY - 7.2% | |||
Auto Components - 0.3% | |||
Fuyao Glass Industries Group Co. Ltd. (A Shares) | 3,164,333 | 11,463,005 | |
MAHLE Metal Leve SA | 11,100 | 77,809 | |
Motherson Sumi Systems Ltd. | 447,209 | 1,026,485 | |
Tianneng Power International Ltd. | 1,441,826 | 1,412,483 | |
Xinyi Glass Holdings Ltd. | 132,000 | 151,342 | |
Yoo Sung Enterprise | 12,785 | 32,147 | |
14,163,271 | |||
Automobiles - 1.1% | |||
Bajaj Auto Ltd. | 219,453 | 8,985,677 | |
Dongfeng Motor Group Co. Ltd. (H Shares) | 1,216,000 | 1,293,493 | |
Ford Otomotiv Sanayi A/S | 18,395 | 191,074 | |
Geely Automobile Holdings Ltd. | 2,590,000 | 4,863,416 | |
Guangzhou Automobile Group Co. Ltd. (H Shares) | 2,890,000 | 3,552,788 | |
Hero Motocorp Ltd. | 222,186 | 8,242,900 | |
Hyundai Motor Co. | 35,005 | 3,934,369 | |
Kia Motors Corp. | 208,550 | 6,772,548 | |
Mahindra & Mahindra Ltd. | 34,012 | 310,112 | |
Maruti Suzuki India Ltd. | 22,078 | 2,128,545 | |
PT Astra International Tbk | 10,339,900 | 5,255,396 | |
Tofas Turk Otomobil Fabrikasi A/S | 812,723 | 3,224,554 | |
48,754,872 | |||
Diversified Consumer Services - 0.4% | |||
Estacio Participacoes SA | 1,065,600 | 7,815,790 | |
New Oriental Education & Technology Group, Inc. sponsored ADR (a) | 131,053 | 10,754,209 | |
TAL Education Group ADR (a) | 28,446 | 1,012,678 | |
Visang Education, Inc. | 8,025 | 52,407 | |
19,635,084 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
Bloomberry Resorts Corp. | 745,800 | 163,880 | |
Genting Bhd | 442,600 | 802,155 | |
Jubilant Foodworks Ltd. | 23,617 | 422,982 | |
Sands China Ltd. | 2,480,722 | 12,388,204 | |
Yum China Holdings, Inc. | 105,401 | 4,397,330 | |
18,174,551 | |||
Household Durables - 1.2% | |||
Arcelik A/S | 126,438 | 493,128 | |
Cyrela Brazil Realty SA | 496,309 | 2,259,464 | |
Haier Electronics Group Co. Ltd. | 3,645,349 | 10,866,737 | |
LG Electronics, Inc. | 146,332 | 9,166,065 | |
Midea Group Co. Ltd. (A Shares) | 3,552,530 | 25,356,451 | |
Zhejiang Supor Cookware Co. Ltd. | 710,129 | 6,524,045 | |
54,665,890 | |||
Internet & Direct Marketing Retail - 2.6% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 561,735 | 102,814,357 | |
B2W Companhia Global do Varejo (a) | 175,100 | 2,253,926 | |
Ctrip.com International Ltd. ADR (a) | 104,800 | 3,576,824 | |
JD.com, Inc. sponsored ADR (a) | 232,070 | 6,430,660 | |
MercadoLibre, Inc. (a) | 13,200 | 6,056,028 | |
121,131,795 | |||
Multiline Retail - 0.5% | |||
Chongqing Department Store Co. Ltd. (A Shares) | 124,500 | 574,688 | |
Lojas Renner SA | 1,349,484 | 15,549,344 | |
Magazine Luiza SA | 102,700 | 4,742,713 | |
Rainbow Department Store Co. Ltd. (A Shares) | 46,000 | 85,003 | |
S.A.C.I. Falabella | 278,066 | 2,162,794 | |
Wangfujing Group Co. Ltd. | 321,954 | 761,341 | |
23,875,883 | |||
Specialty Retail - 0.1% | |||
E-Life Mall Corp. Ltd. | 12,845 | 27,186 | |
Lewis Group Ltd. | 11,913 | 27,015 | |
Mr Price Group Ltd. | 67,629 | 1,035,950 | |
Padini Holdings Bhd | 62,949 | 59,598 | |
Petrobras Distribuidora SA | 91,452 | 595,291 | |
SSI Group, Inc. | 417,000 | 18,246 | |
Zhongsheng Group Holdings Ltd. Class H | 2,062,500 | 4,792,509 | |
6,555,795 | |||
Textiles, Apparel & Luxury Goods - 0.6% | |||
Arezzo Industria e Comercio SA | 13,528 | 194,376 | |
CECEP COSTIN New Materials Group Ltd. (a)(c) | 741,000 | 28,319 | |
China Tower Corp. Ltd. (H Shares) (d) | 8,596,000 | 2,036,824 | |
Feng Tay Enterprise Co. Ltd. | 119,000 | 741,898 | |
Fila Korea Ltd. | 29,968 | 1,480,427 | |
Grendene SA | 57,400 | 132,492 | |
Guararapes Confeccoes SA | 3,000 | 116,721 | |
Jinli Group Holdings Ltd. | 46,000 | 26,115 | |
LG Fashion Corp. | 7,144 | 161,224 | |
Li Ning Co. Ltd. (a) | 572,000 | 801,554 | |
LPP SA | 389 | 838,367 | |
Makalot Industrial Co. Ltd. | 70,000 | 424,533 | |
Mavi Jeans Class B (d) | 96,131 | 747,330 | |
PagSeguro Digital Ltd. (a)(b) | 34,618 | 973,804 | |
Pinduoduo, Inc. ADR (b) | 297,900 | 8,919,126 | |
Pou Chen Corp. | 517,000 | 648,273 | |
Shenzhou International Group Holdings Ltd. | 822,600 | 10,269,728 | |
Titan Co. Ltd. | 54,902 | 794,544 | |
Weiqiao Textile Co. Ltd. (H Shares) | 426,500 | 172,235 | |
29,507,890 | |||
TOTAL CONSUMER DISCRETIONARY | 336,465,031 | ||
CONSUMER STAPLES - 4.7% | |||
Beverages - 0.8% | |||
Anheuser-Busch InBev SA NV | 21,885 | 1,709,614 | |
China Resources Beer Holdings Co. Ltd. | 1,396,000 | 5,201,822 | |
Compania Cervecerias Unidas SA sponsored ADR | 18,198 | 522,647 | |
Fomento Economico Mexicano S.A.B. de CV: | |||
unit | 240,800 | 2,184,152 | |
sponsored ADR | 154,674 | 14,018,105 | |
Kweichow Moutai Co. Ltd. (A Shares) | 96,519 | 10,886,044 | |
Thai Beverage PCL | 7,315,600 | 4,409,922 | |
38,932,306 | |||
Food & Staples Retailing - 1.5% | |||
Atacadao Distribuicao Comercio e Industria Ltda | 440,100 | 2,287,116 | |
Bidcorp Ltd. | 123,826 | 2,588,935 | |
Bim Birlesik Magazalar A/S JSC | 381,816 | 6,129,655 | |
C.P. ALL PCL (For. Reg.) | 4,855,400 | 11,984,360 | |
Clicks Group Ltd. | 158,210 | 2,028,007 | |
Dino Polska SA (a)(d) | 76,506 | 2,163,414 | |
Drogasil SA | 629,094 | 10,955,111 | |
Grupo Comercial Chedraui S.A.B. de CV | 33,949 | 66,432 | |
President Chain Store Corp. | 394,000 | 4,053,901 | |
Shoprite Holdings Ltd. | 456,775 | 5,564,755 | |
Wal-Mart de Mexico SA de CV Series V | 5,212,479 | 13,476,308 | |
X5 Retail Group NV GDR (Reg. S) | 335,874 | 8,497,612 | |
69,795,606 | |||
Food Products - 1.5% | |||
Astral Foods Ltd. | 11,024 | 127,497 | |
AVI Ltd. | 503,258 | 3,197,284 | |
Charoen Pokphand Foods PCL (For. Reg.) | 1,808,500 | 1,507,083 | |
China Mengniu Dairy Co. Ltd. | 8,575,496 | 26,492,026 | |
COFCO Tunhe Sugar Co. Ltd. (A Shares) | 629,800 | 776,178 | |
GlaxoSmithKline Consumer Healthcare Ltd. | 430 | 43,789 | |
Gruma S.A.B. de CV Series B | 1,148,561 | 12,440,252 | |
Industrias Bachoco SA de CV Series B | 36,288 | 140,850 | |
JBS SA | 1,700,300 | 6,079,371 | |
Orion Corp./Republic of Korea | 34,972 | 3,464,574 | |
PT Charoen Pokphand Indonesia Tbk | 252,300 | 130,925 | |
PT Japfa Comfeed Indonesia Tbk | 294,500 | 46,894 | |
SLC Agricola SA | 2,900 | 31,670 | |
Tiger Brands Ltd. | 338,692 | 6,399,311 | |
Unified-President Enterprises Corp. | 1,613,000 | 3,918,647 | |
Universal Robina Corp. | 1,199,000 | 3,145,411 | |
67,941,762 | |||
Household Products - 0.0% | |||
Hindustan Unilever Ltd. | 48,443 | 1,184,850 | |
Personal Products - 0.6% | |||
AMOREPACIFIC Corp. | 24,969 | 4,436,961 | |
AMOREPACIFIC Group, Inc. | 8,723 | 568,099 | |
Godrej Consumer Products Ltd. | 152,487 | 1,448,347 | |
Hengan International Group Co. Ltd. | 559,000 | 4,518,431 | |
Kolmar Korea Co. Ltd. | 49,377 | 3,474,597 | |
LG Household & Health Care Ltd. | 11,672 | 12,921,645 | |
TCI Co. Ltd. | 112,688 | 1,706,669 | |
29,074,749 | |||
Tobacco - 0.3% | |||
ITC Ltd. | 2,481,597 | 9,670,311 | |
PT Gudang Garam Tbk | 198,800 | 1,206,861 | |
PT Hanjaya Mandala Sampoerna Tbk | 1,126,500 | 304,297 | |
11,181,469 | |||
TOTAL CONSUMER STAPLES | 218,110,742 | ||
ENERGY - 4.4% | |||
Energy Equipment & Services - 0.0% | |||
Ezion Holdings Ltd. warrants 4/6/23 (a)(c) | 5,020,014 | 5,815 | |
Tenaris SA sponsored ADR | 59,800 | 1,587,690 | |
1,593,505 | |||
Oil, Gas & Consumable Fuels - 4.4% | |||
Bangchak Petroleum PCL: | |||
(For. Reg.) | 392,000 | 410,667 | |
NVDR | 437,800 | 458,648 | |
China Petroleum & Chemical Corp. (H Shares) | 24,428,000 | 21,057,346 | |
China Shenhua Energy Co. Ltd. (H Shares) | 15,000 | 36,995 | |
CNOOC Ltd. | 10,025,000 | 17,411,431 | |
Dana Gas PJSC (a) | 751,083 | 183,425 | |
Ecopetrol SA ADR | 270,066 | 5,466,136 | |
Esso Thailand PCL unit | 140,900 | 48,756 | |
Exxaro Resources Ltd. | 168,855 | 1,817,614 | |
Formosa Petrochemical Corp. | 231,000 | 871,223 | |
Gazprom OAO sponsored ADR (Reg. S) | 1,086,160 | 5,152,743 | |
Grupa Lotos SA | 11,091 | 278,982 | |
Hindustan Petroleum Corp. Ltd. | 653,255 | 2,059,634 | |
Indian Oil Corp. Ltd. | 120,720 | 246,416 | |
IRPC PCL NVDR | 12,419,500 | 2,326,192 | |
Lukoil PJSC | 17,762 | 1,483,902 | |
Lukoil PJSC sponsored ADR (b) | 318,030 | 26,460,096 | |
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) | 342,137 | 3,993,319 | |
NOVATEK OAO GDR (Reg. S) | 81,138 | 14,061,215 | |
Oil & Natural Gas Corp. Ltd. | 1,166,640 | 2,448,067 | |
PetroChina Co. Ltd. (H Shares) | 5,976,000 | 3,952,652 | |
Petroleo Brasileiro SA - Petrobras (ON) | 218,700 | 1,738,584 | |
Polish Oil & Gas Co. SA | 698,567 | 1,277,540 | |
Polski Koncern Naftowy Orlen SA | 338,494 | 9,115,605 | |
PT Adaro Energy Tbk | 25,186,000 | 2,345,382 | |
PT Harum Energy Tbk | 768,300 | 80,011 | |
PT Indo Tambangraya Megah Tbk | 214,600 | 326,076 | |
PT Tambang Batubara Bukit Asam Tbk | 2,159,400 | 610,941 | |
PT United Tractors Tbk | 2,498,300 | 4,706,234 | |
PTT Exploration and Production PCL: | |||
(For. Reg.) | 474,700 | 1,876,195 | |
NVDR | 1,256,000 | 4,964,190 | |
PTT PCL: | |||
(For. Reg.) | 2,113,400 | 3,253,965 | |
NVDR | 5,193,000 | 7,995,571 | |
QGEP Participacoes SA | 57,600 | 202,727 | |
Reliance Industries Ltd. | 849,832 | 14,768,290 | |
Reliance Industries Ltd. sponsored GDR (d) | 44,632 | 1,548,730 | |
S-Oil Corp. | 27,902 | 2,479,076 | |
Shell Refining Co. (F.O.M.) Bhd | 1,900 | 2,794 | |
SK Energy Co. Ltd. | 86,005 | 14,366,006 | |
Star Petroleum Refining PCL unit | 2,932,400 | 958,848 | |
Susco Public Co. Ltd. unit | 267,500 | 24,457 | |
Tatneft PAO sponsored ADR | 34,126 | 2,409,296 | |
Thai Oil PCL: | |||
(For. Reg.) | 784,800 | 1,800,057 | |
NVDR | 649,000 | 1,488,579 | |
Tupras Turkiye Petrol Rafinerileri A/S | 230,489 | 6,195,883 | |
Ultrapar Participacoes SA | 533,100 | 7,580,334 | |
202,340,830 | |||
TOTAL ENERGY | 203,934,335 | ||
FINANCIALS - 15.3% | |||
Banks - 10.6% | |||
Abu Dhabi Islamic Bank | 39,990 | 48,994 | |
Agricultural Bank of China Ltd. (H Shares) | 18,176,000 | 8,706,234 | |
Akbank TAS | 937,621 | 1,206,661 | |
Albaraka Turk Katilim Bankasi A/S | 731,138 | 258,858 | |
Alpha Bank AE (a) | 4,867,993 | 6,866,002 | |
Axis Bank Ltd. (a) | 1,261,989 | 12,640,377 | |
Banco do Brasil SA | 895,900 | 12,068,884 | |
Banco Santander Chile sponsored ADR | 227,913 | 7,213,446 | |
Bancolombia SA sponsored ADR | 9,814 | 474,409 | |
Bangkok Bank PCL NVDR | 624,600 | 4,144,171 | |
Bank of China Ltd. (H Shares) | 50,559,000 | 23,573,482 | |
Bank Polska Kasa Opieki SA | 83,553 | 2,501,798 | |
Barclays Africa Group Ltd. | 646,253 | 8,281,209 | |
BBVA Banco Frances SA sponsored ADR | 71,212 | 789,029 | |
Bumiputra-Commerce Holdings Bhd | 610,000 | 877,536 | |
Capitec Bank Holdings Ltd. | 74,918 | 6,943,407 | |
Chang Hwa Commercial Bank | 86,000 | 51,527 | |
China Construction Bank Corp. (H Shares) | 63,745,000 | 56,750,256 | |
China Merchants Bank Co. Ltd. (H Shares) | 489,500 | 2,244,912 | |
Chinatrust Financial Holding Co. Ltd. | 12,213,058 | 8,241,002 | |
Chinatrust Financial Holding Co. Ltd. rights 3/27/19 (a)(c) | 82,113 | 0 | |
Chongqing Rural Commercial Bank Co. Ltd. (H Shares) | 34,000 | 21,267 | |
Commercial International Bank SAE | 70,452 | 280,641 | |
Commercial International Bank SAE sponsored GDR | 1,167,540 | 4,652,647 | |
Credicorp Ltd. (United States) | 82,898 | 20,151,675 | |
Dubai Islamic Bank Pakistan Ltd. (a) | 23,871 | 33,925 | |
E.SUN Financial Holdings Co. Ltd. | 7,679,031 | 5,494,808 | |
Emirates NBD Bank PJSC (a) | 32,838 | 84,934 | |
Grupo Aval Acciones y Valores SA ADR | 194,053 | 1,500,030 | |
Grupo Financiero Banorte S.A.B. de CV Series O | 2,645,142 | 14,383,973 | |
Grupo Financiero Inbursa S.A.B. de CV Series O | 320,573 | 478,164 | |
Hana Financial Group, Inc. | 276,892 | 9,557,756 | |
HDFC Bank Ltd. | 333,120 | 9,792,442 | |
HDFC Bank Ltd. sponsored ADR | 91,268 | 9,229,020 | |
Hong Leong Credit Bhd | 45,600 | 220,907 | |
ICICI Bank Ltd. | 819,611 | 4,052,366 | |
ICICI Bank Ltd. sponsored ADR | 1,728,010 | 17,038,179 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 39,167,000 | 30,137,097 | |
Industrial Bank of Korea | 26,471 | 328,095 | |
JB Financial Group Co. Ltd. | 5,224 | 27,570 | |
JSC Halyk Bank of Kazakhstan GDR unit | 199,619 | 2,275,657 | |
Kasikornbank PCL: | |||
NVDR | 561,500 | 3,520,516 | |
(For. Reg.) | 869,200 | 5,463,543 | |
KB Financial Group, Inc. | 281,216 | 11,075,636 | |
Kiatnakin Bank PCL (For. Reg.) | 679,500 | 1,520,786 | |
Komercni Banka A/S | 33,718 | 1,415,560 | |
Krung Thai Bank PCL: | |||
(For. Reg.) | 985,300 | 603,692 | |
NVDR | 6,107,300 | 3,741,933 | |
Malayan Banking Bhd | 2,660,725 | 6,235,512 | |
National Bank of Abu Dhabi PJSC | 4,328,804 | 17,913,918 | |
National Bank of Greece SA (a) | 228,613 | 413,457 | |
National Bank of Kuwait | 1,232,721 | 3,549,912 | |
Nedbank Group Ltd. | 62,132 | 1,253,771 | |
Nova Ljubljanska banka d.d. unit | 143,861 | 2,014,343 | |
OTP Bank PLC | 567,498 | 24,000,558 | |
Powszechna Kasa Oszczednosci Bank SA | 328,633 | 3,303,787 | |
PT Bank Bukopin Tbk (a) | 4,000 | 111 | |
PT Bank Central Asia Tbk | 4,019,300 | 7,878,599 | |
PT Bank Mandiri (Persero) Tbk | 1,131,600 | 572,561 | |
PT Bank Negara Indonesia (Persero) Tbk | 9,933,700 | 6,214,079 | |
PT Bank Rakyat Indonesia Tbk | 24,110,900 | 6,591,266 | |
PT Bank Tabungan Negara Tbk | 4,329,600 | 747,889 | |
Public Bank Bhd | 810,000 | 4,979,712 | |
Qatar Islamic Bank (a) | 8,478 | 338,072 | |
Qatar National Bank SAQ | 64,318 | 3,324,311 | |
Sberbank of Russia | 1,956,580 | 6,150,221 | |
Sberbank of Russia sponsored ADR (b) | 2,694,565 | 34,382,649 | |
Shinhan Financial Group Co. Ltd. | 117,789 | 4,577,593 | |
Standard Bank Group Ltd. | 597,291 | 8,211,520 | |
State Bank of India (a) | 86,591 | 328,872 | |
TCS Group Holding PLC unit | 75,563 | 1,397,916 | |
Thanachart Capital PCL: | |||
(For. Reg.) | 1,720,600 | 3,045,189 | |
NVDR | 727,900 | 1,288,267 | |
The Shanghai Commercial & Savings Bank Ltd. | 52,564 | 81,781 | |
TISCO Financial Group PCL | 671,400 | 1,865,000 | |
Turkiye Garanti Bankasi A/S | 4,039,401 | 6,749,676 | |
Turkiye Halk Bankasi A/S | 1,272,150 | 1,823,060 | |
Turkiye Is Bankasi A/S Series C | 2,259,512 | 2,459,189 | |
Turkiye Vakiflar Bankasi TAO | 3,727,821 | 3,603,345 | |
Union National Bank (a) | 84,437 | 128,276 | |
Woori Financial Group, Inc. (a) | 294,220 | 3,868,908 | |
Yes Bank Ltd. | 1,160,836 | 3,787,793 | |
494,046,126 | |||
Capital Markets - 0.3% | |||
BM&F BOVESPA SA | 984,947 | 8,598,275 | |
Yuanta Financial Holding Co. Ltd. | 11,474,000 | 6,475,456 | |
15,073,731 | |||
Consumer Finance - 0.2% | |||
Shriram Transport Finance Co. Ltd. | 484,386 | 7,810,417 | |
Diversified Financial Services - 0.6% | |||
Alexander Forbes Group Holdings Ltd. | 1,683 | 551 | |
FirstRand Ltd. | 4,317,303 | 19,696,857 | |
GT Capital Holdings, Inc. | 58,823 | 1,082,806 | |
Haci Omer Sabanci Holding A/S | 455,086 | 778,333 | |
Inversiones La Construccion SA | 130,922 | 2,359,421 | |
Old Mutual Ltd. | 1,436,591 | 2,369,897 | |
Power Finance Corp. Ltd. | 281,909 | 446,303 | |
Rec Ltd. | 191,961 | 369,479 | |
Reliance Capital Ltd. (a) | 50,656 | 123,529 | |
27,227,176 | |||
Insurance - 3.1% | |||
AIA Group Ltd. | 3,229,800 | 32,234,479 | |
BB Seguridade Participacoes SA | 1,347,022 | 9,790,264 | |
Cathay Financial Holding Co. Ltd. | 2,250,000 | 3,297,978 | |
China Life Insurance Co. Ltd. (H Shares) | 1,280,000 | 3,535,211 | |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | 2,445,400 | 9,205,589 | |
Fubon Financial Holding Co. Ltd. | 3,347,000 | 4,932,603 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 165,855 | 5,555,516 | |
IRB Brasil Resseguros SA | 170,339 | 4,036,093 | |
Liberty Holdings Ltd. | 494,964 | 3,617,298 | |
MMI Holdings Ltd. (a) | 1,737,544 | 1,923,242 | |
PICC Property & Casualty Co. Ltd. (H Shares) | 5,430,000 | 6,502,373 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 2,637,000 | 27,876,660 | |
Porto Seguro SA | 323,248 | 4,822,709 | |
Powszechny Zaklad Ubezpieczen SA | 971,925 | 10,479,807 | |
Sanlam Ltd. | 3,100,603 | 17,311,677 | |
Shin Kong Financial Holding Co. Ltd. | 1,810,498 | 541,451 | |
Sul America SA unit | 134,902 | 1,091,815 | |
146,754,765 | |||
Real Estate Management & Development - 0.0% | |||
Future Land Holdings Co. Ltd. (A Shares) | 99,100 | 500,670 | |
Thrifts & Mortgage Finance - 0.5% | |||
Housing Development Finance Corp. Ltd. | 523,747 | 13,612,690 | |
Indiabulls Housing Finance Ltd. | 52,110 | 482,003 | |
LIC Housing Finance Ltd. | 1,195,796 | 8,026,553 | |
22,121,246 | |||
TOTAL FINANCIALS | 713,534,131 | ||
HEALTH CARE - 0.6% | |||
Biotechnology - 0.0% | |||
Biocon Ltd. | 58,488 | 513,091 | |
Medy-Tox, Inc. | 1,667 | 808,691 | |
1,321,782 | |||
Health Care Equipment & Supplies - 0.0% | |||
Supermax Corp. Bhd | 274,400 | 103,242 | |
Health Care Providers & Services - 0.2% | |||
Notre Dame Intermedica Participacoes SA | 472,100 | 4,175,329 | |
Odontoprev SA | 12,000 | 53,033 | |
Selcuk Ecza Deposu Tic A/S | 122,624 | 88,897 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 813,000 | 1,826,978 | |
Sinopharm Group Co. Ltd. (H Shares) | 572,400 | 2,544,891 | |
8,689,128 | |||
Life Sciences Tools & Services - 0.1% | |||
Hangzhou Tigermed Consulting Co. Ltd. (A Shares) | 266,550 | 2,239,782 | |
WuXi AppTec Co. Ltd. (H Shares) (a)(d) | 219,400 | 2,393,912 | |
4,633,694 | |||
Pharmaceuticals - 0.3% | |||
Aurobindo Pharma Ltd. | 52,496 | 527,665 | |
CSPC Pharmaceutical Group Ltd. | 936,000 | 1,597,809 | |
CStone Pharmaceuticals Co. Ltd. (a)(d) | 289,500 | 457,314 | |
Dr. Reddy's Laboratories Ltd. | 9,728 | 362,388 | |
PT Kalbe Farma Tbk | 35,808,056 | 3,805,441 | |
Richter Gedeon PLC | 125,351 | 2,427,142 | |
Tonghua Dongbao Pharmaceutical Co. Ltd. (A Shares) | 1,228,928 | 2,678,467 | |
Torrent Pharmaceuticals Ltd. | 114,941 | 2,923,743 | |
14,779,969 | |||
TOTAL HEALTH CARE | 29,527,815 | ||
INDUSTRIALS - 2.1% | |||
Airlines - 0.2% | |||
Air Arabia PJSC (a) | 705,175 | 182,005 | |
AirAsia Group BHD | 2,251,800 | 1,533,871 | |
China Airlines Ltd. | 1,161,000 | 380,407 | |
China Southern Airlines Ltd. (H Shares) | 144,000 | 117,588 | |
EVA Airways Corp. | 1,682,159 | 840,722 | |
Korean Air Lines Co. Ltd. | 21,874 | 715,205 | |
Pegasus Hava Tasimaciligi A/S (a) | 71,441 | 394,794 | |
Thai Airways International PCL NVDR (a) | 83,500 | 34,725 | |
Turk Hava Yollari AO (a) | 1,949,931 | 5,164,993 | |
9,364,310 | |||
Building Products - 0.0% | |||
Trakya Cam Sanayii A/S | 390,782 | 281,836 | |
Commercial Services & Supplies - 0.0% | |||
China Everbright International Ltd. | 76,000 | 74,357 | |
Frontken Corp. BHD | 248,800 | 57,206 | |
131,563 | |||
Construction & Engineering - 0.4% | |||
China Communications Construction Co. Ltd. (H Shares) | 2,614,000 | 2,817,216 | |
China National Chemical Engineering Co. Ltd. (A Shares) | 1,053,292 | 966,099 | |
China Railway Construction Corp. Ltd. (H Shares) | 1,377,000 | 1,982,241 | |
China Railway Group Ltd. (H Shares) | 1,586,000 | 1,571,907 | |
Daelim Industrial Co. | 20,944 | 1,741,767 | |
GS Engineering & Construction Corp. | 15,103 | 574,330 | |
Larsen & Toubro Ltd. | 46,770 | 853,632 | |
Larsen & Toubro Ltd. unit | 84,548 | 1,532,010 | |
Tekfen Holding A/S | 980,359 | 4,848,308 | |
Wilson Bayly Holmes-Ovcon Ltd. | 4,310 | 36,391 | |
16,923,901 | |||
Electrical Equipment - 0.1% | |||
BizLink Holding, Inc. | 306,463 | 1,972,030 | |
DONGYANG E&P, Inc. | 21,665 | 193,455 | |
Zhuzhou CRRC Times Electric Co. Ltd. (H Shares) | 301,500 | 1,691,911 | |
3,857,396 | |||
Industrial Conglomerates - 0.5% | |||
Alfa SA de CV Series A | 1,501,500 | 1,709,312 | |
AntarChile SA Class A | 2,925 | 42,370 | |
Cheil Industries, Inc. | 12,598 | 1,292,820 | |
CITIC Pacific Ltd. | 199,000 | 302,692 | |
CJ Corp. | 1,520 | 168,814 | |
Fosun International Ltd. | 1,311,000 | 2,157,791 | |
Hanwha Corp. | 83,466 | 2,384,213 | |
Hong Leong Industries Bhd | 3,000 | 7,318 | |
Hyosung Corp. | 1,214 | 80,897 | |
Industries Qatar QSC (a) | 24,315 | 888,128 | |
Koc Holding A/S | 447,499 | 1,562,569 | |
LG Corp. | 44,404 | 2,958,952 | |
Mannai Corp. (a) | 8,644 | 116,322 | |
San Miguel Corp. | 213,760 | 704,155 | |
SK C&C Co. Ltd. | 8,775 | 2,124,556 | |
SM Investments Corp. | 311,930 | 5,651,777 | |
Turk Sise ve Cam Fabrikalari A/S | 132,920 | 167,823 | |
22,320,509 | |||
Machinery - 0.4% | |||
Airtac International Group | 371,000 | 4,554,884 | |
HIWIN Technologies Corp. | 374,000 | 3,333,559 | |
Lonking Holdings Ltd. | 4,606,000 | 1,543,206 | |
Sany Heavy Industry Co. Ltd. (A Shares) | 380,600 | 590,730 | |
Sinotruk Hong Kong Ltd. | 1,614,983 | 2,937,923 | |
Weg SA | 318,080 | 1,559,851 | |
Weichai Power Co. Ltd. (H Shares) | 1,761,000 | 2,445,288 | |
XCMG Construction Machinery Co. Ltd. (A Shares) | 604,000 | 355,498 | |
17,320,939 | |||
Marine - 0.0% | |||
Qatar Navigation QPSC (a) | 2,362 | 43,786 | |
Road & Rail - 0.0% | |||
Daqin Railway Co. Ltd. (A Shares) | 270,000 | 360,180 | |
Globaltrans Investment PLC GDR (Reg. S) | 49,724 | 494,754 | |
854,934 | |||
Trading Companies & Distributors - 0.0% | |||
Barloworld Ltd. | 102,942 | 921,119 | |
Transportation Infrastructure - 0.5% | |||
Airports of Thailand PCL (For. Reg.) | 1,237,000 | 2,650,714 | |
China Merchants Holdings International Co. Ltd. | 112,000 | 235,422 | |
DP World Ltd. | 386,191 | 6,182,918 | |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR | 10,028 | 1,697,540 | |
Grupo Aeroportuario Norte S.A.B. de CV | 582,600 | 3,319,189 | |
Malaysia Airports Holdings Bhd | 251,100 | 504,485 | |
Shanghai International Airport Co. Ltd. (A Shares) | 941,011 | 8,049,161 | |
Taiwan High Speed Rail Corp. | 819,000 | 873,907 | |
Zhejiang Expressway Co. Ltd. (H Shares) | 1,226,000 | 1,279,141 | |
24,792,477 | |||
TOTAL INDUSTRIALS | 96,812,770 | ||
INFORMATION TECHNOLOGY - 10.2% | |||
Communications Equipment - 0.0% | |||
Accton Technology Corp. | 166,000 | 580,306 | |
Arcadyan Technology Corp. | 53,000 | 156,894 | |
Wistron NeWeb Corp. | 49,000 | 124,771 | |
861,971 | |||
Electronic Equipment & Components - 1.9% | |||
AAC Technology Holdings, Inc. | 207,000 | 1,223,351 | |
AU Optronics Corp. | 995,000 | 363,548 | |
Chroma ATE, Inc. | 546,000 | 2,258,960 | |
Coretronic Corp. | 87,400 | 131,345 | |
Delta Electronics, Inc. | 117,000 | 579,786 | |
Enel Chile SA sponsored ADR | 176,677 | 922,254 | |
FLEXium Interconnect, Inc. | 70,000 | 203,214 | |
Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) | 858,403 | 4,423,998 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 5,403,026 | 12,691,715 | |
Innolux Corp. | 4,751,039 | 1,576,673 | |
INTOPS Co. Ltd.�� | 30,521 | 337,616 | |
Kingboard Chemical Holdings Ltd. | 374,500 | 1,311,984 | |
Largan Precision Co. Ltd. | 262,000 | 36,770,990 | |
LG Display Co. Ltd. | 256,540 | 4,836,883 | |
LG Innotek Co. Ltd. | 8,981 | 861,793 | |
Pinnacle Technology Holdings Ltd. | 11,198 | 14,063 | |
Samsung Electro-Mechanics Co. Ltd. | 18,547 | 1,763,242 | |
Samsung SDI Co. Ltd. | 31,114 | 6,565,593 | |
Sunny Optical Technology Group Co. Ltd. | 721,000 | 8,542,055 | |
Unimicron Technology Corp. | 489,000 | 381,045 | |
WPG Holding Co. Ltd. | 182,680 | 235,182 | |
Yageo Corp. | 117,000 | 1,300,527 | |
Zhen Ding Technology Holding Ltd. | 276,000 | 792,007 | |
88,087,824 | |||
Internet Software & Services - 0.0% | |||
Danawa Co. Ltd. | 3,946 | 72,925 | |
HUYA, Inc. ADR (b) | 87,500 | 2,261,000 | |
2,333,925 | |||
IT Services - 1.3% | |||
CSU Cardsystem SA | 20,600 | 39,816 | |
HCL Technologies Ltd. | 485,814 | 7,227,546 | |
Hexaware Technologies Ltd. | 551,102 | 2,759,400 | |
Infosys Ltd. | 836,886 | 8,700,593 | |
Infosys Ltd. sponsored ADR | 2,190,066 | 23,477,508 | |
MindTree Consulting Ltd. | 113,857 | 1,460,661 | |
Mphasis BFL Ltd. | 114,379 | 1,681,132 | |
QIWI PLC Class B sponsored ADR (a) | 6,471 | 91,112 | |
Samsung SDS Co. Ltd. | 743 | 152,165 | |
Sonata Software Ltd. | 7,860 | 37,514 | |
Tata Consultancy Services Ltd. | 388,373 | 10,874,060 | |
Wipro Ltd. | 222,294 | 1,158,472 | |
WNS Holdings Ltd. sponsored ADR (a) | 24,362 | 1,286,314 | |
58,946,293 | |||
Semiconductors & Semiconductor Equipment - 3.4% | |||
ASE Technology Holding Co. Ltd. | 888,000 | 1,795,923 | |
ASE Technology Holding Co. Ltd. ADR | 221,411 | 892,286 | |
Dongbu HiTek Co. Ltd. | 29,703 | 328,567 | |
Koh Young Technology, Inc. | 19,307 | 1,382,625 | |
Machvision, Inc. | 23,000 | 362,929 | |
Malaysian Pacific Industries BHD | 33,930 | 82,186 | |
Novatek Microelectronics Corp. | 96,000 | 527,453 | |
Parade Technologies Ltd. | 48,000 | 845,187 | |
Phison Electronics Corp. | 306,000 | 2,769,818 | |
Powertech Technology, Inc. | 605,000 | 1,397,857 | |
Radiant Opto-Electronics Corp. | 250,000 | 742,755 | |
Realtek Semiconductor Corp. | 183,000 | 1,048,454 | |
Sino-American Silicon Products, Inc. | 940,000 | 2,158,506 | |
SK Hynix, Inc. | 558,859 | 34,758,001 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 11,341,000 | 86,893,591 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 475,501 | 18,568,314 | |
Unisem (M) Bhd | 482,725 | 332,382 | |
United Microelectronics Corp. | 7,406,000 | 2,736,873 | |
United Microelectronics Corp. sponsored ADR | 353,437 | 653,858 | |
158,277,565 | |||
Software - 0.1% | |||
Asseco Poland SA | 19,723 | 276,776 | |
Mix Telematics Ltd. sponsored ADR | 9,381 | 178,802 | |
Netmarble Corp. (d) | 10,850 | 1,137,539 | |
NIIT Technologies Ltd. (a) | 21,245 | 396,080 | |
Nucleus Software Exports Ltd. | 34,593 | 165,225 | |
StoneCo Ltd. Class A (a) | 60,628 | 1,843,697 | |
Totvs SA | 11,800 | 114,508 | |
4,112,627 | |||
Technology Hardware, Storage & Peripherals - 3.5% | |||
Acer, Inc. | 107,000 | 70,220 | |
ASUSTeK Computer, Inc. | 139,000 | 984,812 | |
Catcher Technology Co. Ltd. | 629,000 | 4,767,737 | |
Compal Electronics, Inc. | 1,005,000 | 620,880 | |
Inventec Corp. | 2,156,000 | 1,657,508 | |
Lenovo Group Ltd. | 5,054,000 | 4,551,964 | |
Lite-On Technology Corp. | 1,134,000 | 1,633,088 | |
Pegatron Corp. | 2,353,000 | 4,024,710 | |
Samsung Electronics Co. Ltd. | 3,618,547 | 144,999,085 | |
Sunrex Technology Corp. | 79,307 | 46,880 | |
TPV Technology Ltd. | 398,000 | 62,364 | |
163,419,248 | |||
TOTAL INFORMATION TECHNOLOGY | 476,039,453 | ||
MATERIALS - 3.2% | |||
Chemicals - 0.8% | |||
China Petrochemical Development Corp. (a) | 387,000 | 137,095 | |
China Sanjiang Fine Chemicals Ltd. | 424,000 | 115,051 | |
Formosa Plastics Corp. | 508,000 | 1,681,592 | |
Indorama Ventures PCL: | |||
unit | 235,200 | 384,533 | |
(For. Reg.) | 1,806,000 | 2,952,667 | |
Kolon Industries, Inc. | 43,686 | 2,095,996 | |
LG Chemical Ltd. | 58,294 | 20,225,506 | |
Lotte Chemical Corp. | 9,553 | 2,707,603 | |
PTT Global Chemical PCL NVDR | 1,312,000 | 2,998,857 | |
SK Materials Co., Ltd. | 19,943 | 3,024,674 | |
Taekwang Industrial Co. Ltd. | 168 | 223,900 | |
36,547,474 | |||
Construction Materials - 0.4% | |||
Anhui Conch Cement Co. Ltd.: | |||
(A Shares) | 245,300 | 1,299,028 | |
(H Shares) | 2,093,500 | 11,974,668 | |
Asia Cement (China) Holdings Corp. | 194,084 | 175,299 | |
CEMEX S.A.B. de CV sponsored ADR (a) | 328,268 | 1,592,100 | |
China Resources Cement Holdings Ltd. | 3,422,000 | 3,644,437 | |
Jiangxi Wannianqing Cement Co. Ltd. (A Shares) | 255,700 | 481,671 | |
Loma Negra Compania Industrial Argentina SA ADR (a) | 89,694 | 1,007,264 | |
20,174,467 | |||
Containers & Packaging - 0.0% | |||
Anadolu Cam Sanayii A/S | 560,600 | 337,100 | |
Bio Pappel S.A.B. de CV (a) | 24,738 | 34,307 | |
Cheng Loong Corp. | 196,000 | 128,059 | |
Klabin SA unit | 267,675 | 1,285,587 | |
Polyplex Thailand PCL unit | 23,981 | 12,029 | |
1,797,082 | |||
Metals & Mining - 1.8% | |||
Alrosa Co. Ltd. | 2,660,380 | 3,837,436 | |
Anglo American Platinum Ltd. | 30,984 | 1,685,332 | |
AngloGold Ashanti Ltd. | 251,111 | 3,565,362 | |
Ann Joo Resources Bhd | 500 | 175 | |
Baoshan Iron & Steel Co. Ltd. (A Shares) | 520,194 | 582,816 | |
CAP SA | 102,615 | 1,131,241 | |
Companhia Siderurgica Nacional SA (CSN) | 459,500 | 1,600,112 | |
Dongkuk Steel Mill Co. Ltd. | 67,933 | 494,936 | |
Eregli Demir ve Celik Fabrikalari T.A.S. | 749,153 | 1,307,939 | |
Grupo Mexico SA de CV Series B | 52,600 | 131,736 | |
Hindalco Industries Ltd. | 262,839 | 726,295 | |
Hunan Valin Steel Co. Ltd. (A Shares) (a) | 369,900 | 427,138 | |
Jastrzebska Spolka Weglowa SA (a) | 52,703 | 802,266 | |
KISCO Corp. | 6,262 | 32,715 | |
Korea Zinc Co. Ltd. | 10,207 | 4,139,934 | |
Kumba Iron Ore Ltd. | 86,802 | 2,299,302 | |
Lion Industries Corp. Bhd (a) | 366,800 | 45,551 | |
Maanshan Iron & Steel Co. Ltd. (H Shares) | 1,556,000 | 741,354 | |
Magnitogorsk Iron & Steel Works PJSC sponsored GDR (Reg. S) | 38,904 | 336,909 | |
Merafe Resources Ltd. | 291,074 | 28,707 | |
MMC Norilsk Nickel PJSC sponsored ADR | 144,901 | 3,100,881 | |
MMG Ltd. (a) | 3,716,000 | 1,761,014 | |
Novolipetsk Steel OJSC GDR (Reg. S) | 58,207 | 1,387,073 | |
POSCO | 45,315 | 10,579,854 | |
POSCO sponsored ADR | 36,270 | 2,114,541 | |
Severstal PAO GDR (Reg. S) | 124,327 | 1,920,852 | |
Shanxi Taigang Stainless Steel Co. Ltd. (A Shares) | 626,504 | 480,116 | |
Sheng Yu Steel Co. Ltd. | 39,865 | 26,611 | |
Southern Copper Corp. | 137,174 | 4,884,766 | |
Tata Steel Ltd. | 67,708 | 478,324 | |
Ternium SA sponsored ADR | 171,420 | 4,945,467 | |
Vale SA sponsored ADR | 2,000,787 | 24,969,822 | |
Vedanta Ltd. | 213,750 | 511,141 | |
Xinyu Iron & Steel Co. Ltd. | 216,700 | 194,877 | |
81,272,595 | |||
Paper & Forest Products - 0.2% | |||
Mondi Ltd. | 37,234 | 875,017 | |
Nine Dragons Paper (Holdings) Ltd. | 2,596,000 | 2,691,989 | |
PT Indah Kiat Pulp & Paper Tbk | 488,600 | 382,926 | |
Sappi Ltd. | 182,611 | 936,134 | |
Suzano Papel e Celulose SA | 402,700 | 5,109,669 | |
West Coast Paper Mills Ltd. | 45,171 | 147,201 | |
10,142,936 | |||
TOTAL MATERIALS | 149,934,554 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Prologis Property Mexico SA | 93,898 | 172,345 | |
Redefine Properties Ltd. | 90,694 | 62,484 | |
234,829 | |||
Real Estate Management & Development - 0.9% | |||
Agile Property Holdings Ltd. | 3,457,238 | 4,320,584 | |
Aldar Properties PJSC | 130,390 | 63,189 | |
Ayala Land, Inc. | 9,022,700 | 7,652,251 | |
Barwa Real Estate Co. (a) | 17,399 | 189,221 | |
BR Malls Participacoes SA | 370,166 | 1,319,575 | |
Central China Real Estate Ltd. | 171,502 | 72,317 | |
Chong Hong Construction Co. Ltd. | 44,000 | 123,840 | |
Country Garden Holdings Co. Ltd. | 6,021,000 | 7,931,098 | |
Emaar Properties PJSC | 1,402,614 | 1,871,170 | |
Greenland Holdings Corp. Ltd. (A Shares) | 2,318,800 | 2,410,888 | |
Greenland Hong Kong Holdings Ltd. | 133,366 | 39,416 | |
Guangzhou R&F Properties Co. Ltd. (H Shares) | 878,000 | 1,641,968 | |
IOI Properties Group Bhd | 77,800 | 30,802 | |
Jinke Properties Group Co. Ltd. (A Shares) | 732,300 | 659,646 | |
K Wah International Holdings Ltd. | 470,144 | 253,347 | |
KSL Holdings Bhd (a) | 105,100 | 21,322 | |
KWG Property Holding Ltd. | 972,500 | 914,303 | |
Longfor Properties Co. Ltd. | 1,177,000 | 3,493,627 | |
Multiplan Empreendimentos Imobiliarios SA | 179,900 | 1,205,512 | |
Poly Property Group Co. Ltd. | 1,173,701 | 442,582 | |
Powerlong Real Estate Holding Ltd. | 264,000 | 123,092 | |
Radium Life Tech Co. Ltd. (a) | 414,000 | 198,827 | |
Risesun Real Estate Development Co. Ltd. (A Shares) | 2,313,904 | 3,301,059 | |
Road King Infrastructure Ltd. | 294,211 | 562,954 | |
Sansiri PCL: | |||
(For. Reg.) | 6,763,900 | 296,323 | |
NVDR | 4,460,126 | 195,396 | |
Shanghai Shimao Co. Ltd. (A Shares) | 746,800 | 489,749 | |
Shimao Property Holdings Ltd. | 703,000 | 1,662,178 | |
Shui On Land Ltd. | 360,500 | 90,013 | |
United Development Co. | 136,744 | 519,749 | |
42,095,998 | |||
TOTAL REAL ESTATE | 42,330,827 | ||
UTILITIES - 0.9% | |||
Electric Utilities - 0.5% | |||
Ceske Energeticke Zavody A/S | 56,628 | 1,372,142 | |
EDP Energias do Brasil SA | 780,305 | 3,593,913 | |
ENEA SA (a) | 20,691 | 55,119 | |
Energa SA (a) | 19,990 | 51,773 | |
Enersis SA | 4,402,861 | 765,336 | |
Enersis SA sponsored ADR | 113,466 | 995,097 | |
Equatorial Energia SA | 169,031 | 3,695,943 | |
Korea Electric Power Corp. | 50,765 | 1,568,127 | |
Polska Grupa Energetyczna SA (a) | 449,937 | 1,379,336 | |
Power Grid Corp. of India Ltd. | 732,166 | 1,889,844 | |
Tauron Polska Energia SA (a) | 190,211 | 117,126 | |
Tenaga Nasional Bhd | 2,904,790 | 9,586,200 | |
25,069,956 | |||
Gas Utilities - 0.2% | |||
Beijing Enterprises Holdings Ltd. | 311,500 | 1,827,393 | |
Daesung Energy Co. Ltd. | 20,047 | 95,292 | |
GAIL India Ltd. (a) | 271,589 | 1,311,172 | |
Indraprastha Gas Ltd. (a) | 821,565 | 3,395,740 | |
PT Perusahaan Gas Negara Tbk Series B | 2,834,500 | 511,792 | |
Samchully Co. Ltd. | 279 | 23,673 | |
7,165,062 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Benpres Holdings Corp. | 124,600 | 12,321 | |
Central Puerto SA sponsored ADR | 177,100 | 1,806,420 | |
China Longyuan Power Grid Corp. Ltd. (H Shares) | 1,787,000 | 1,334,032 | |
Electricity Generating PCL NVDR | 19,700 | 166,981 | |
ENGIE Brasil Energia SA | 186,500 | 2,043,672 | |
Huaneng Renewables Corp. Ltd. (H Shares) | 4,332,000 | 1,318,957 | |
NTPC Ltd. | 2,268,345 | 4,522,921 | |
11,205,304 | |||
Water Utilities - 0.0% | |||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) | 21,900 | 229,428 | |
TOTAL UTILITIES | 43,669,750 | ||
TOTAL COMMON STOCKS | |||
(Cost $2,277,237,943) | 2,670,457,543 | ||
Nonconvertible Preferred Stocks - 2.7% | |||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Telefonica Brasil SA | 171,500 | 2,136,359 | |
Telefonica Brasil SA sponsored ADR | 105,383 | 1,315,180 | |
3,451,539 | |||
Wireless Telecommunication Services - 0.0% | |||
TIM Participacoes SA sponsored ADR | 137,322 | 2,166,941 | |
TOTAL COMMUNICATION SERVICES | 5,618,480 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Hyundai Motor Co. Series 2 | 21,291 | 1,520,921 | |
CONSUMER STAPLES - 0.1% | |||
Food & Staples Retailing - 0.1% | |||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar (PN) | 92,900 | 2,302,868 | |
ENERGY - 0.4% | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) (non-vtg.) | 270,500 | 1,948,732 | |
(PN) sponsored ADR (non-vtg.) | 236,232 | 3,385,205 | |
sponsored ADR | 740,964 | 11,647,954 | |
16,981,891 | |||
FINANCIALS - 1.7% | |||
Banks - 1.7% | |||
Banco Bradesco SA: | |||
(PN) | 1,479,587 | 17,044,508 | |
(PN) sponsored ADR | 350,677 | 4,025,772 | |
Banco do Estado Rio Grande do Sul SA | 81,600 | 543,109 | |
Itau Unibanco Holding SA | 4,044,136 | 37,931,103 | |
Itau Unibanco Holding SA sponsored ADR | 778,026 | 7,313,444 | |
Itausa-Investimentos Itau SA (PN) | 3,815,689 | 12,566,078 | |
79,424,014 | |||
INDUSTRIALS - 0.0% | |||
Industrial Conglomerates - 0.0% | |||
CJ Corp. (a)(c) | 922 | 30,037 | |
INFORMATION TECHNOLOGY - 0.3% | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Samsung Electronics Co. Ltd. | 445,392 | 14,246,212 | |
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
Braskem SA (PN-A) | 180,000 | 2,606,925 | |
Metals & Mining - 0.1% | |||
Gerdau SA sponsored ADR (b) | 569,589 | 2,306,835 | |
Metalurgica Gerdau SA (PN) | 346,000 | 661,390 | |
2,968,225 | |||
TOTAL MATERIALS | 5,575,150 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Companhia Paranaense de Energia-Copel (PN-B) | 84,900 | 807,829 | |
Water Utilities - 0.0% | |||
Cia de Saneamento do Parana | 44,870 | 163,418 | |
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) sponsored ADR | 30,784 | 320,154 | |
483,572 | |||
TOTAL UTILITIES | 1,291,401 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $98,980,963) | 126,990,974 | ||
Equity Funds - 34.2% | |||
Diversified Emerging Markets Funds - 34.2% | |||
Aberdeen Emerging Markets Fund Institutional Service Class | 5,695,281 | 83,151,105 | |
Brandes Emerging Markets Value Fund Class A | 10,005,446 | 89,148,520 | |
Fidelity Emerging Markets Fund (e) | 11,958,496 | 355,884,838 | |
GMO Emerging Markets Fund Class III | 2,743,471 | 88,668,999 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 7,230,299 | 149,811,801 | |
iShares Edge MSCI Min Vol Emerging Markets ETF | 4,087,990 | 240,169,413 | |
iShares MSCI China ETF (b) | 2,832,430 | 171,956,825 | |
iShares MSCI India ETF | 267,928 | 8,758,566 | |
iShares MSCI South Korea Index ETF (b) | 373,835 | 23,540,390 | |
Lazard Emerging Markets Equity Portfolio Institutional Class | 2,188,987 | 38,022,700 | |
Matthews Korea Fund Investor Class | 6,983,487 | 33,311,235 | |
Matthews Pacific Tiger Fund Investor Class | 123 | 3,493 | |
Morgan Stanley Institutional Fund, Inc. Frontier Markets Portfolio Class I | 2,016,693 | 33,477,109 | |
Oppenheimer Developing Markets Fund Class I | 2,947,882 | 122,749,789 | |
Oppenheimer Emerging Markets Innovators Fund Class I (a) | 4,679,444 | 47,028,417 | |
SPDR S&P China ETF | 891,370 | 86,864,007 | |
WisdomTree India Earnings ETF | 677,617 | 16,228,927 | |
Xtrackers Harvest CSI 300 China ETF Class A (b) | 148,865 | 4,087,833 | |
TOTAL EQUITY FUNDS | |||
(Cost $1,426,765,480) | 1,592,863,967 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 2.34% to 2.4% 3/7/19 to 5/9/19(f) | |||
(Cost $9,778,178) | 9,790,000 | 9,778,279 | |
Shares | Value | ||
Money Market Funds - 6.9% | |||
Fidelity Securities Lending Cash Central Fund 2.45% (g)(h) | 68,478,417 | 68,485,265 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35% (i) | 253,191,924 | 253,191,924 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $321,677,189) | 321,677,189 | ||
TOTAL INVESTMENT IN SECURITIES - 101.3% | |||
(Cost $4,134,439,753) | 4,721,767,952 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (61,002,601) | ||
NET ASSETS - 100% | $4,660,765,351 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 3,591 | March 2019 | $187,934,985 | $12,474,666 | $12,474,666 |
The notional amount of futures purchased as a percentage of Net Assets is 4.0%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $339,798,493.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $10,485,063 or 0.2% of net assets.
(e) Affiliated Fund
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $9,603,416.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
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 Securities Lending Cash Central Fund | $401,267 |
Total | $401,267 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Emerging Markets Fund | $398,107,307 | $2,609,511 | $3,699,844 | $2,609,511 | $881,855 | $(42,013,991) | $355,884,838 |
Total | $398,107,307 | $2,609,511 | $3,699,844 | $2,609,511 | $881,855 | $(42,013,991) | $355,884,838 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $365,716,615 | $193,022,725 | $172,693,890 | $-- |
Consumer Discretionary | 337,985,952 | 336,089,628 | 1,868,005 | 28,319 |
Consumer Staples | 220,413,610 | 209,024,779 | 11,388,831 | -- |
Energy | 220,916,226 | 176,133,857 | 44,776,554 | 5,815 |
Financials | 792,958,145 | 600,632,848 | 192,325,297 | -- |
Health Care | 29,527,815 | 29,165,427 | 362,388 | -- |
Industrials | 96,842,807 | 84,857,261 | 11,955,509 | 30,037 |
Information Technology | 490,285,665 | 301,134,222 | 189,151,443 | -- |
Materials | 155,509,704 | 139,391,131 | 16,118,573 | -- |
Real Estate | 42,330,827 | 42,008,160 | 322,667 | -- |
Utilities | 44,961,151 | 43,393,024 | 1,568,127 | -- |
Equity Funds | 1,592,863,967 | 1,592,863,967 | -- | -- |
Other Short-Term Investments | 9,778,279 | -- | 9,778,279 | -- |
Money Market Funds | 321,677,189 | 321,677,189 | -- | -- |
Total Investments in Securities: | $4,721,767,952 | $4,069,394,218 | $652,309,563 | $64,171 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $12,474,666 | $12,474,666 | $-- | $-- |
Total Assets | $12,474,666 | $12,474,666 | $-- | $-- |
Total Derivative Instruments: | $12,474,666 | $12,474,666 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $12,474,666 | $0 |
Total Equity Risk | 12,474,666 | 0 |
Total Value of Derivatives | $12,474,666 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in distributable earnings.
Other Information
Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 40.3% |
Cayman Islands | 9.0% |
Korea (South) | 8.7% |
China | 7.5% |
Brazil | 5.8% |
Taiwan | 5.0% |
India | 5.0% |
South Africa | 3.2% |
Russia | 2.2% |
Hong Kong | 2.2% |
Thailand | 1.8% |
Mexico | 1.6% |
Indonesia | 1.2% |
Others (Individually Less Than 1%) | 6.5% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $66,608,480) — See accompanying schedule: Unaffiliated issuers (cost $3,775,501,603) | $4,297,397,849 | |
Fidelity Central Funds (cost $68,485,265) | 68,485,265 | |
Other affiliated issuers (cost $290,452,885) | 355,884,838 | |
Total Investment in Securities (cost $4,134,439,753) | $4,721,767,952 | |
Cash | 61,247 | |
Foreign currency held at value (cost $4,891,054) | 4,889,211 | |
Receivable for investments sold | 31,101,399 | |
Receivable for fund shares sold | 1,369,629 | |
Dividends receivable | 10,335,848 | |
Interest receivable | 481,972 | |
Distributions receivable from Fidelity Central Funds | 18,216 | |
Prepaid expenses | 2,504 | |
Other receivables | 369,834 | |
Total assets | 4,770,397,812 | |
Liabilities | ||
Payable for investments purchased | $34,728,816 | |
Payable for fund shares redeemed | 2,138,666 | |
Accrued management fee | 1,349,468 | |
Payable for daily variation margin on futures contracts | 2,558,288 | |
Other affiliated payables | 129,292 | |
Other payables and accrued expenses | 264,391 | |
Collateral on securities loaned | 68,463,540 | |
Total liabilities | 109,632,461 | |
Net Assets | $4,660,765,351 | |
Net Assets consist of: | ||
Paid in capital | $4,308,790,075 | |
Total distributable earnings (loss) | 351,975,276 | |
Net Assets, for 455,720,479 shares outstanding | $4,660,765,351 | |
Net Asset Value, offering price and redemption price per share ($4,660,765,351 ÷ 455,720,479 shares) | $10.23 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $93,875,074 | |
Affiliated issuers | 2,573,927 | |
Interest | 7,505,462 | |
Income from Fidelity Central Funds | 401,267 | |
Income before foreign taxes withheld | 104,355,730 | |
Less foreign taxes withheld | (7,892,847) | |
Total income | 96,462,883 | |
Expenses | ||
Management fee | $26,377,363 | |
Transfer agent fees | 2,483,198 | |
Accounting and security lending fees | 1,589,339 | |
Custodian fees and expenses | 1,042,071 | |
Independent trustees' fees and expenses | 57,444 | |
Registration fees | 88,496 | |
Audit | 74,261 | |
Legal | 18,942 | |
Miscellaneous | 236,930 | |
Total expenses before reductions | 31,968,044 | |
Expense reductions | (12,863,728) | |
Total expenses after reductions | 19,104,316 | |
Net investment income (loss) | 77,358,567 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (8,623,117) | |
Fidelity Central Funds | 7,452 | |
Other affiliated issuers | 881,855 | |
Foreign currency transactions | (1,780,617) | |
Futures contracts | (82,047,276) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 4,662,034 | |
Affiliated issuers | 35,584 | |
Total net realized gain (loss) | (86,864,085) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $2,392,298) | (606,833,153) | |
Affiliated issuers | (42,013,991) | |
Assets and liabilities in foreign currencies | 12,386 | |
Futures contracts | 8,372,548 | |
Total change in net unrealized appreciation (depreciation) | (640,462,210) | |
Net gain (loss) | (727,326,295) | |
Net increase (decrease) in net assets resulting from operations | $(649,967,728) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $77,358,567 | $67,857,757 |
Net realized gain (loss) | (86,864,085) | 190,482,307 |
Change in net unrealized appreciation (depreciation) | (640,462,210) | 1,052,691,017 |
Net increase (decrease) in net assets resulting from operations | (649,967,728) | 1,311,031,081 |
Distributions to shareholders | (69,748,423) | – |
Distributions to shareholders from net investment income | – | (65,118,609) |
Distributions to shareholders from net realized gain | – | (1,796,375) |
Total distributions | (69,748,423) | (66,914,984) |
Share transactions | ||
Proceeds from sales of shares | 1,059,692,349 | 545,127,857 |
Reinvestment of distributions | 69,510,261 | 66,752,785 |
Cost of shares redeemed | (819,100,492) | (1,385,060,400) |
Net increase (decrease) in net assets resulting from share transactions | 310,102,118 | (773,179,758) |
Total increase (decrease) in net assets | (409,614,033) | 470,936,339 |
Net Assets | ||
Beginning of period | 5,070,379,384 | 4,599,443,045 |
End of period | $4,660,765,351 | $5,070,379,384 |
Other Information | ||
Distributions in excess of net investment income end of period | $(68,127) | |
Shares | ||
Sold | 96,882,174 | 51,183,220 |
Issued in reinvestment of distributions | 7,458,183 | 5,845,253 |
Redeemed | (80,109,848) | (128,936,360) |
Net increase (decrease) | 24,230,509 | (71,907,887) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016 A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.75 | $9.14 | $7.15 | $9.47 | $9.16 |
Income from Investment Operations | |||||
Net investment income (loss)B | .17 | .14 | .10 | .10 | .14 |
Net realized and unrealized gain (loss) | (1.53) | 2.62 | 1.99 | (2.32) | .32 |
Total from investment operations | (1.36) | 2.76 | 2.09 | (2.22) | .46 |
Distributions from net investment income | (.16) | (.15) | (.10) | (.10) | (.15) |
Distributions from net realized gain | – | –C | (.01) | – | – |
Total distributions | (.16) | (.15) | (.10)D | (.10) | (.15) |
Net asset value, end of period | $10.23 | $11.75 | $9.14 | $7.15 | $9.47 |
Total ReturnE | (11.48)% | 30.23% | 29.40% | (23.49)% | 5.04% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .66% | .70% | .60% | .50% | .46% |
Expenses net of fee waivers, if any | .41% | .45% | .35% | .25% | .21% |
Expenses net of all reductions | .40% | .45% | .35% | .24% | .21% |
Net investment income (loss) | 1.60% | 1.36% | 1.23% | 1.25% | 1.45% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $4,660,765 | $5,070,379 | $4,599,443 | $4,265,092 | $1,561,538 |
Portfolio turnover rateH | 57% | 31% | 23% | 41% | 13% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total distributions of $.10 per share is comprised of distributions from net investment income of $.097 and distributions from net realized gain of $.005 per share.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $54,153 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, capital loss carryforwards, losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $718,210,685 |
Gross unrealized depreciation | (146,324,248) |
Net unrealized appreciation (depreciation) | $571,886,437 |
Tax Cost | $4,149,881,515 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $1,384,581 |
Capital loss carryforward | $(221,212,468) |
Net unrealized appreciation (depreciation) on securities and other investments | $571,857,317 |
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. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(221,212,468) |
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $69,748,423 | $ 66,914,984 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares and in-kind transactions), other than short-term securities, aggregated $2,658,052,830 and $2,530,106,752, respectively.
Unaffiliated Exchanges In-Kind. During the period, the Fund redeemed 30,747,979 shares of Causeway Emerging Markets Fund - Investor Class in exchange for cash and investments with a value of $409,716,815. The net realized gains of $54,053,566 on the Fund's redemptions of Causeway Emerging Markets Fund - Investor Class shares are included in "Net realized gain (loss) on Investment securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized net gains on the exchanges for federal income tax purposes.
Prior Fiscal Year Exchanges In-Kind. During the prior period, the Fund redeemed 9,912,611 shares of T. Rowe Price Emerging Markets Stock Fund Class I in exchange for investments and cash with a value of $354,177,574. The fund had a net realized gain of $25,181,576 on the Fund's redemptions of T. Rowe Price Emerging Markets Stock Fund Class I shares. The Fund recognized a net realized gain on the exchanges for federal income tax purposes.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .55% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), M&G Investments Management Limited (through July 27, 2018), Schroder Investment Management North America, Inc., Somerset Capital Management LLP and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIL Investment Advisors (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .05% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. For the period, the fees were equivalent to an annual rate of .03%.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1,631 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13,480 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. 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 $401,267.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $12,043,853.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $803,037 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $16,838.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Emerging Markets Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 15, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .39% | $1,000.00 | $1,004.00 | $1.94 |
Hypothetical-C | $1,000.00 | $1,022.86 | $1.96 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund designates 81% of the dividend distributed in December, during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.1803 and $0.0243 for the dividend paid December 31, 2018.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Emerging Markets Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreements with FIAM LLC (FIAM), FIL Investment Advisors (FIL), Somerset Capital Management LLP (Somerset), and T. Rowe Price Associates, Inc. (T. Rowe Price) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FIL Investment Advisors (UK) Limited and T. Rowe Price International Ltd. (TRPIL) (together, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund.
The Board also approved amendments to the sub-advisory agreement with FIAM to: (i) add a new mandate; (ii) consolidate the fund's separate, mandate-specific sub-advisory agreements with FIAM into a single sub-advisory agreement; and (iii) implement a new fee schedule for one of FIAM's existing mandates, effective September 1, 2018. The Board noted that the addition of the new mandate would not impact the fund's management fees or net expenses as it would not initially be funded and that the new fee schedule is expected to decrease the fund's total management fee. In addition, the Board approved an amendment to the sub-advisory agreement with FIL to implement a new fee schedule, effective September 1, 2018, which is expected to result in lower fees at all asset levels. The Board noted that the other terms of the amended sub-advisory agreements with FIAM and FIL are not materially different from those of the existing sub-advisory agreements with FIAM and FIL. The Board also noted that the amended sub-advisory agreements with FIAM and FIL would not result in changes to the nature, extent, and quality of the services provided to the fund. Finally, the Board approved amendments to the sub-advisory agreement with Somerset and the sub-sub-advisory agreement with TRPIL to reflect that Somerset and TRPIL each pay for research services provided by brokers or other third-parties out of their own resources, consistent with the Markets in Financial Instruments Directive II. The Board noted that the other terms of the amended sub-advisory agreement with Somerset and the amended sub-sub-advisory agreement with TRPIL are not materially different from those of the existing sub-advisory agreement with Somerset and the existing sub-sub-advisory agreement with TRPIL. The Board also noted that the amended sub-advisory agreement with Somerset and the amended sub-sub-advisory agreement with TRPIL would not result in changes to the nature, extent, and quality of the services provided to the fund.
Finally, in connection with a potential change in control of the parent company of Acadian Asset Management, LLC (Acadian), the Board approved a new sub-advisory agreement with Acadian. The Board noted that the other terms of the new sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with Acadian. The Board also noted that the new sub-advisory agreement would not result in changes to the nature, extent, and quality of the services provided to the fund.
In reaching its determination to renew the fund's Advisory Contracts, approve the amendments to the Advisory Contracts described above (Amendments), and approve the new sub-advisory agreement with Acadian, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments and the new sub-advisory agreement with Acadian, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments and the new sub-advisory agreement is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements and the new sub-advisory agreement with Acadian, the Board also concluded that the renewal of such agreements and the approval of the amendments thereto do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments and the new sub-advisory agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Emerging Markets Fund
Strategic Advisers Emerging Markets Fund
Board Approval of Investment Advisory Contract and Management Fees
Strategic Advisers Emerging Markets Fund
On September 13, 2018, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve a sub-advisory agreement (the Sub-Advisory Agreement) among Strategic Advisers LLC (Strategic Advisers), Schroder Investment Management North America Inc. (SIMNA Inc.), and Fidelity Rutland Square Trust II (the Trust) on behalf of the fund, and a sub-subadvisory agreement among SIMNA Inc., Schroder Investment Management North America Limited (SIMNA Ltd., together with SIMNA Inc., the New Sub-Advisers) and the Trust, on behalf of the fund (the Sub-Subadvisory Agreement, together with the Sub-Advisory Agreement, the Advisory Contracts).
The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information it believed relevant to the approval of each Advisory Contract.
In considering whether to approve each Advisory Contract, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each Advisory Contract is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under each Advisory Contract bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board’s decision to approve each Advisory Contract was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund’s investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structure of each New Sub-Adviser’s portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the New Sub-Advisers’ investment staff, their use of technology, and each New Sub-Adviser’s approach to managing and compensating its investment personnel. The Board noted that the New Sub-Advisers’ analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in their deliberations, the Board considered each New Sub-Adviser’s trading capabilities and resources which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory services to be performed by each New Sub-Adviser under each respective Advisory Contract and (ii) the resources to be devoted to the fund’s compliance policies and procedures.Investment Performance. The Board considered that the investment mandate to be utilized by the New Sub-Advisers is new and, therefore, does not have historical investment performance. The Board reviewed model performance of the new investment mandate, which is a blend of two existing strategies. The Board also considered the historical investment performance of one of the component strategies in the new investment mandate. Because it is a new investment mandate, performance was not a material factor in the Board’s decision to approve the Advisory Contracts.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each respective Advisory Contract should benefit the fund’s shareholders.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Advisory Contracts, the Board considered the amount and nature of fees to be paid by the fund to the fund’s investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to SIMNA, Inc., and the projected change in the fund’s management fee and total operating expenses, if any, as a result of hiring the New Sub-Advisers. The Board also considered the nature of the fees to be paid by SIMNA, Inc. to SIMNA Ltd. under the Sub-Subadvisory Agreement.The Board noted that the fund’s maximum aggregate annual management fee rate may not exceed 1.20% of the fund’s average daily net assets and that each Advisory Contract will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers’ portion of the management fee. The Board considered Strategic Advisers’ contractual agreement to waive its 0.25% portion of the fund’s management fee through September 30, 2020, and its proposal to extend the waiver through September 30, 2021. The Board noted that SIMNA Inc., and not the fund, will compensate SIMNA Ltd. pursuant to the terms of the Sub-Subadvisory Agreement and that neither the fund nor Strategic Advisers are responsible for any such fees or expenses. The Board also considered that after allocating assets to the New Sub-Advisers, the fund’s total net expenses are expected to continue to rank below the competitive peer group medians presented to the Board in the June 2018 management contract renewal materials.Based on its review, the Board concluded that the fund’s management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each Advisory Contract was negotiated at arm’s length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve each Advisory Contract.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund’s advisory agreement with Strategic Advisers and the fund’s sub-advisory agreements. With respect to the New Sub-Advisers, the Board considered management’s representation that it does not anticipate that the hiring of the New Sub-Advisers will have a significant impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund’s advisory agreement with Strategic Advisers and the fund’s sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that have the potential to reduce the New Sub-Advisers’ effective sub-advisory fee rate if assets allocated to the New Sub-Advisers increase after the initial funding.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that each Advisory Contract’s fee structure bears a reasonable relationship to the services to be rendered and that each Advisory Contract should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each Advisory Contract does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SAE-ANN-0419
1.918359.108
Strategic Advisers® Fidelity® International Fund (formerly Strategic Advisers® International II Fund) Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Fidelity® International Fund | (6.41)% | 2.57% | 10.18% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® International Fund on February 28, 2009.
The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period.
Period Ending Values | ||
$26,367 | Strategic Advisers® Fidelity® International Fund | |
$25,307 | MSCI EAFE Index |
Management's Discussion of Fund Performance
Market Recap: International equities returned -6.29% for the 12 months ending February 28, 2019, according to the MSCI ACWI (All Country World Index) ex USA Index. International markets faced a confluence of overwhelmingly negative factors the past year, including escalating trade tension, a surging U.S. dollar, tepid economic growth in Europe, global central bank tightening, concerns about Italy’s budget stalemate with the European Union, and weakness in China’s stock market. Volatility spiked as the final quarter of 2018 began, and the index returned -8% in October alone – its largest monthly drop since 2012 ¬– and retreated another roughly 5% in December. For the full year, 8 of 11 market sectors lost ground. A handful of economically sensitive groups were among the hardest hit: consumer discretionary (-12%) and financials (-10%), along with materials, information technology and industrials, all of which returned about -7%. The new-media-infused communication services (-13%) sector fared the worst. Conversely, the more defensive utilities (+10%), health care (+3%), consumer staples (-1%) and real estate (-1%) sectors topped the broader market, as did energy, which returned roughly 5% on rebounding crude-oil prices late in the year. Geographically, resource-rich Canada (+4%) was the only region to advance. Japan and emerging markets each returned about -10%, followed by Europe ex U.K. (-6%). The U.K. and Asia-Pacific ex Japan both returned -1%.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year, the Fund returned -6.41%, trailing the -5.83% result of the benchmark MSCI EAFE Index. Amid an overall challenging period for international investing, an unusual combination of macroeconomic and geopolitical factors hampered the performance of many of the Fund’s underlying managers, regardless of their investment style. Growth-oriented Fidelity® International Discovery Fund was the largest relative detractor due to unfavorable out-of-index exposure to emerging markets, along with weak security selection among consumer staples and financials stocks, and underweighted exposure to the utilities sector. Fidelity® SAI® International Value Index Fund also dampened relative performance, as its value-driven style was out of favor. On the plus side, Fidelity® SAI® International Low Volatility Index Fund, which holds stocks in the benchmark that exhibit relatively low volatility, was the leading contributor for the period. Quality-focused Fidelity International Capital Appreciation Fund provided a further boost to relative performance. Following the global selloff in the final quarter of 2018, I modestly reduced the Fund’s pro-growth bias by increasing exposure to managers that I believe may be able to capitalize on opportunities in depressed areas of the international equity market. Also, in an effort to profit from the historically low valuation of value stocks, I substantially increased the Fund’s allocation to Fidelity SAI International Value Index Fund.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents) | % of fund's net assets |
Fidelity International Discovery Fund | 14.1 |
Fidelity Diversified International Fund | 13.8 |
Fidelity Overseas Fund | 13.7 |
Fidelity International Capital Appreciation Fund | 11.3 |
Fidelity SAI International Value Index Fund | 9.4 |
Fidelity SAI International Low Volatility Index Fund | 8.2 |
Fidelity International Value Fund | 3.2 |
Fidelity Advisor Japan Fund Class I | 2.6 |
Fidelity Pacific Basin Fund | 2.3 |
Fidelity International Small Cap Opportunities Fund | 1.1 |
79.7 |
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Common Stocks | 9.7% | |
Foreign Large Blend Funds | 10.5% | |
Foreign Large Growth Funds | 54.0% | |
Foreign Large Value Funds | 12.6% | |
Foreign Small Mid Growth Funds | 1.1% | |
Other | 3.2% | |
Sector Funds | 1.0% | |
Short-Term Investments and Net Other Assets (Liabilities) | 7.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Common Stocks - 9.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.3% | |||
HKT Trust/HKT Ltd. unit | 3,356,000 | $5,241,512 | |
Koninklijke KPN NV | 780,268 | 2,405,280 | |
Masmovil Ibercom SA (a) | 89,205 | 1,858,861 | |
Nippon Telegraph & Telephone Corp. | 162,100 | 7,006,394 | |
16,512,047 | |||
Entertainment - 0.1% | |||
Nintendo Co. Ltd. | 7,800 | 2,139,066 | |
Vivendi SA | 199,001 | 5,811,288 | |
7,950,354 | |||
Media - 0.1% | |||
Schibsted ASA (A Shares) | 56,398 | 2,252,849 | |
Wireless Telecommunication Services - 0.1% | |||
SoftBank Corp. | 85,600 | 7,943,190 | |
TOTAL COMMUNICATION SERVICES | 34,658,440 | ||
CONSUMER DISCRETIONARY - 1.0% | |||
Auto Components - 0.0% | |||
Akasol AG (b) | 19,900 | 675,210 | |
Bridgestone Corp. | 27,900 | 1,105,161 | |
1,780,371 | |||
Automobiles - 0.4% | |||
Daimler AG (Germany) | 70,080 | 4,197,660 | |
Ferrari NV | 16,830 | 2,166,063 | |
Isuzu Motors Ltd. | 219,100 | 3,149,458 | |
Subaru Corp. | 137,100 | 3,493,201 | |
Suzuki Motor Corp. | 55,600 | 2,855,032 | |
Toyota Motor Corp. | 118,500 | 7,160,803 | |
23,022,217 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Carnival PLC | 17,893 | 1,003,248 | |
Compass Group PLC | 166,337 | 3,673,558 | |
Galaxy Entertainment Group Ltd. | 338,000 | 2,400,522 | |
InterContinental Hotel Group PLC | 50,145 | 2,999,260 | |
10,076,588 | |||
Household Durables - 0.2% | |||
Iida Group Holdings Co. Ltd. | 75,000 | 1,368,591 | |
Sony Corp. | 120,000 | 5,761,862 | |
Techtronic Industries Co. Ltd. | 488,000 | 3,260,690 | |
10,391,143 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Zozo, Inc. | 47,000 | 883,793 | |
Leisure Products - 0.0% | |||
Bandai Namco Holdings, Inc. | 74,900 | 3,185,089 | |
Multiline Retail - 0.0% | |||
B&M European Value Retail S.A. | 176,261 | 826,426 | |
Specialty Retail - 0.1% | |||
Inditex SA | 96,895 | 2,924,889 | |
Nitori Holdings Co. Ltd. | 10,600 | 1,320,423 | |
4,245,312 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Burberry Group PLC | 44,074 | 1,104,555 | |
LVMH Moet Hennessy - Louis Vuitton SA | 15,256 | 5,235,691 | |
6,340,246 | |||
TOTAL CONSUMER DISCRETIONARY | 60,751,185 | ||
CONSUMER STAPLES - 1.0% | |||
Beverages - 0.4% | |||
Asahi Group Holdings | 36,300 | 1,571,476 | |
Coca-Cola European Partners PLC | 64,200 | 3,026,388 | |
Diageo PLC | 240,854 | 9,307,371 | |
Heineken NV (Bearer) | 17,518 | 1,763,356 | |
Kirin Holdings Co. Ltd. | 73,800 | 1,653,620 | |
Pernod Ricard SA | 17,172 | 2,957,189 | |
Treasury Wine Estates Ltd. | 257,588 | 2,737,146 | |
23,016,546 | |||
Food & Staples Retailing - 0.0% | |||
Tesco PLC | 739,932 | 2,220,286 | |
Food Products - 0.3% | |||
Danone SA | 65,432 | 4,942,036 | |
Nestle SA (Reg. S) | 115,258 | 10,425,540 | |
15,367,576 | |||
Personal Products - 0.3% | |||
Kao Corp. | 55,200 | 4,185,132 | |
Shiseido Co. Ltd. | 29,000 | 1,918,132 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 158,748 | 8,597,413 | |
Unilever PLC | 119,118 | 6,341,587 | |
21,042,264 | |||
Tobacco - 0.0% | |||
Imperial Tobacco Group PLC | 39,854 | 1,327,059 | |
TOTAL CONSUMER STAPLES | 62,973,731 | ||
ENERGY - 0.6% | |||
Oil, Gas & Consumable Fuels - 0.6% | |||
BP PLC | 2,032,173 | 14,406,699 | |
Equinor ASA | 128,167 | 2,881,142 | |
Lundin Petroleum AB | 184,836 | 6,043,793 | |
Total SA | 204,254 | 11,625,886 | |
Woodside Petroleum Ltd. | 136,798 | 3,517,615 | |
38,475,135 | |||
FINANCIALS - 2.0% | |||
Banks - 1.0% | |||
BOC Hong Kong (Holdings) Ltd. | 734,500 | 3,069,091 | |
CaixaBank SA | 786,979 | 2,803,689 | |
Commerzbank AG | 281,901 | 2,326,303 | |
DBS Group Holdings Ltd. | 206,900 | 3,801,328 | |
Erste Group Bank AG | 102,126 | 3,862,427 | |
Intesa Sanpaolo SpA | 1,432,432 | 3,524,390 | |
KBC Groep NV | 77,376 | 5,731,298 | |
Lloyds Banking Group PLC | 3,555,069 | 2,993,653 | |
Mediobanca SpA | 252,944 | 2,531,701 | |
Mitsubishi UFJ Financial Group, Inc. | 1,195,100 | 6,201,839 | |
Standard Chartered PLC (United Kingdom) | 830,294 | 6,625,183 | |
Sumitomo Mitsui Financial Group, Inc. | 164,500 | 5,845,229 | |
Swedbank AB (A Shares) | 72,600 | 1,333,935 | |
Unicaja Banco SA (b) | 910,000 | 1,066,132 | |
United Overseas Bank Ltd. | 231,803 | 4,289,727 | |
Westpac Banking Corp. | 199,890 | 3,826,129 | |
59,832,054 | |||
Capital Markets - 0.2% | |||
Amundi SA (b) | 29,347 | 1,961,453 | |
Macquarie Group Ltd. | 43,805 | 3,997,241 | |
St. James's Place Capital PLC | 110,702 | 1,427,771 | |
UBS Group AG | 381,000 | 4,848,154 | |
12,234,619 | |||
Diversified Financial Services - 0.1% | |||
Challenger Ltd. | 150,274 | 858,105 | |
ORIX Corp. | 313,300 | 4,530,925 | |
Standard Life PLC | 792,521 | 2,593,738 | |
7,982,768 | |||
Insurance - 0.7% | |||
AIA Group Ltd. | 637,600 | 6,363,460 | |
Allianz SE | 29,205 | 6,500,953 | |
Aviva PLC | 179,303 | 1,005,094 | |
Hannover Reuck SE | 13,206 | 1,967,773 | |
Insurance Australia Group Ltd. | 629,126 | 3,280,088 | |
Muenchener Rueckversicherungs AG | 10,449 | 2,460,883 | |
Prudential PLC | 245,579 | 5,177,667 | |
QBE Insurance Group Ltd. | 404,451 | 3,550,606 | |
RSA Insurance Group PLC | 203,602 | 1,379,943 | |
Sony Financial Holdings, Inc. | 90,900 | 1,725,889 | |
Swiss Re Ltd. | 29,398 | 2,910,786 | |
Talanx AG | 39,158 | 1,512,587 | |
Tokio Marine Holdings, Inc. | 80,700 | 3,944,585 | |
Zurich Insurance Group Ltd. | 13,910 | 4,588,738 | |
46,369,052 | |||
TOTAL FINANCIALS | 126,418,493 | ||
HEALTH CARE - 1.2% | |||
Biotechnology - 0.1% | |||
CSL Ltd. | 8,245 | 1,129,999 | |
Morphosys AG (a) | 21,116 | 2,168,861 | |
Morphosys AG sponsored ADR | 61,700 | 1,587,541 | |
4,886,401 | |||
Health Care Equipment & Supplies - 0.1% | |||
Hoya Corp. | 48,400 | 2,954,847 | |
Koninklijke Philips Electronics NV | 72,649 | 2,890,867 | |
Olympus Corp. | 33,100 | 1,469,874 | |
Terumo Corp. | 27,300 | 1,676,933 | |
8,992,521 | |||
Life Sciences Tools & Services - 0.1% | |||
Lonza Group AG | 11,882 | 3,303,697 | |
Pharmaceuticals - 0.9% | |||
AstraZeneca PLC (United Kingdom) | 156,033 | 12,704,929 | |
Bayer AG | 45,585 | 3,641,831 | |
Ipsen SA | 15,475 | 2,140,408 | |
Novartis AG | 101,434 | 9,244,087 | |
Novo Nordisk A/S Series B | 30,595 | 1,499,940 | |
Roche Holding AG (participation certificate) | 55,496 | 15,401,487 | |
Sanofi SA | 76,340 | 6,365,948 | |
Takeda Pharmaceutical Co. Ltd. | 138,700 | 5,581,700 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR (a) | 144,300 | 2,428,569 | |
59,008,899 | |||
TOTAL HEALTH CARE | 76,191,518 | ||
INDUSTRIALS - 1.3% | |||
Aerospace & Defense - 0.2% | |||
Airbus Group NV | 26,495 | 3,413,420 | |
BAE Systems PLC | 480,063 | 2,959,915 | |
MTU Aero Engines Holdings AG | 10,801 | 2,315,835 | |
Rolls-Royce Holdings PLC | 239,183 | 3,034,193 | |
11,723,363 | |||
Air Freight & Logistics - 0.1% | |||
Deutsche Post AG | 86,976 | 2,697,575 | |
Building Products - 0.2% | |||
Agc, Inc. | 71,300 | 2,479,257 | |
Compagnie de St. Gobain | 153,614 | 5,528,362 | |
Daikin Industries Ltd. | 20,000 | 2,177,132 | |
10,184,751 | |||
Construction & Engineering - 0.2% | |||
Taisei Corp. | 36,600 | 1,729,803 | |
VINCI SA | 86,030 | 8,210,770 | |
9,940,573 | |||
Electrical Equipment - 0.0% | |||
Nidec Corp. | 13,300 | 1,607,837 | |
Industrial Conglomerates - 0.0% | |||
CK Hutchison Holdings Ltd. | 176,448 | 1,878,051 | |
Machinery - 0.3% | |||
Alfa Laval AB | 106,105 | 2,320,616 | |
CNH Industrial NV | 236,590 | 2,562,997 | |
Fanuc Corp. | 13,200 | 2,186,839 | |
Makita Corp. | 26,400 | 934,356 | |
Minebea Mitsumi, Inc. | 133,300 | 2,145,348 | |
Mitsubishi Heavy Industries Ltd. | 61,200 | 2,495,763 | |
SMC Corp. | 6,400 | 2,224,914 | |
Sumitomo Heavy Industries Ltd. | 48,900 | 1,680,114 | |
The Weir Group PLC | 68,754 | 1,495,547 | |
18,046,494 | |||
Marine - 0.0% | |||
A.P. Moller - Maersk A/S Series B | 1,309 | 1,761,082 | |
Professional Services - 0.1% | |||
Experian PLC | 94,462 | 2,457,396 | |
Recruit Holdings Co. Ltd. | 106,400 | 2,982,943 | |
Wolters Kluwer NV | 26,462 | 1,745,152 | |
7,185,491 | |||
Trading Companies & Distributors - 0.2% | |||
Brenntag AG | 27,273 | 1,354,103 | |
Bunzl PLC | 81,735 | 2,572,551 | |
Ferguson PLC | 23,548 | 1,630,669 | |
Itochu Corp. | 412,500 | 7,409,720 | |
Rexel SA | 124,531 | 1,552,460 | |
14,519,503 | |||
Transportation Infrastructure - 0.0% | |||
Kamigumi Co. Ltd. | 37,400 | 866,006 | |
TOTAL INDUSTRIALS | 80,410,726 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Communications Equipment - 0.1% | |||
Nokia Corp. | 343,702 | 2,078,465 | |
Telefonaktiebolaget LM Ericsson (B Shares) | 463,045 | 4,220,768 | |
6,299,233 | |||
Electronic Equipment & Components - 0.1% | |||
Hitachi High-Technologies Corp. | 64,300 | 2,443,014 | |
Keyence Corp. | 7,100 | 4,135,854 | |
Murata Manufacturing Co. Ltd. | 6,100 | 951,514 | |
Shimadzu Corp. | 63,200 | 1,556,399 | |
TDK Corp. | 22,200 | 1,741,451 | |
10,828,232 | |||
IT Services - 0.2% | |||
Adyen BV (b) | 1,117 | 838,551 | |
Amadeus IT Holding SA Class A | 29,860 | 2,248,434 | |
Capgemini SA | 30,971 | 3,705,982 | |
Netcompany Group A/S (b) | 58,725 | 2,142,422 | |
Wirecard AG | 13,876 | 1,901,882 | |
10,837,271 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ASML Holding NV (Netherlands) | 21,135 | 3,866,366 | |
Renesas Electronics Corp. (a) | 264,500 | 1,547,158 | |
5,413,524 | |||
Software - 0.2% | |||
Micro Focus International PLC | 136,552 | 3,389,581 | |
Oracle Corp. Japan | 12,300 | 916,996 | |
SAP SE | 78,680 | 8,420,855 | |
12,727,432 | |||
TOTAL INFORMATION TECHNOLOGY | 46,105,692 | ||
MATERIALS - 0.7% | |||
Chemicals - 0.2% | |||
Israel Chemicals Ltd. | 307,543 | 1,722,526 | |
JSR Corp. | 177,700 | 2,942,935 | |
K&S AG (c) | 106,312 | 2,026,091 | |
Mitsui Chemicals, Inc. | 100,300 | 2,447,481 | |
Shin-Etsu Chemical Co. Ltd. | 26,300 | 2,198,798 | |
Umicore SA | 62,890 | 2,718,301 | |
Yara International ASA | 52,207 | 2,197,091 | |
16,253,223 | |||
Construction Materials - 0.1% | |||
CRH PLC | 101,411 | 3,214,171 | |
James Hardie Industries PLC CDI | 174,522 | 2,183,782 | |
5,397,953 | |||
Metals & Mining - 0.3% | |||
Glencore Xstrata PLC | 249,046 | 1,003,399 | |
Rio Tinto Ltd. | 84,803 | 5,784,506 | |
Rio Tinto PLC | 131,082 | 7,530,237 | |
South32 Ltd. | 1,467,649 | 4,070,610 | |
18,388,752 | |||
Paper & Forest Products - 0.1% | |||
Mondi PLC | 61,098 | 1,400,730 | |
Stora Enso Oyj (R Shares) | 184,925 | 2,476,860 | |
UPM-Kymmene Corp. | 32,573 | 982,570 | |
4,860,160 | |||
TOTAL MATERIALS | 44,900,088 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Land Securities Group PLC | 248,841 | 2,969,132 | |
Real Estate Management & Development - 0.3% | |||
Daito Trust Construction Co. Ltd. | 12,100 | 1,675,535 | |
Lendlease Group unit | 279,176 | 2,550,671 | |
Mitsui Fudosan Co. Ltd. | 216,900 | 5,147,225 | |
Sino Land Ltd. | 1,788,718 | 3,331,451 | |
Vonovia SE | 84,657 | 4,105,938 | |
16,810,820 | |||
TOTAL REAL ESTATE | 19,779,952 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.3% | |||
DONG Energy A/S (b) | 51,104 | 3,708,524 | |
Enel SpA | 415,072 | 2,510,000 | |
Fortum Corp. | 238,923 | 5,304,813 | |
Iberdrola SA | 671,225 | 5,615,769 | |
17,139,106 | |||
Multi-Utilities - 0.0% | |||
E.ON AG | 216,635 | 2,382,714 | |
RWE AG | 81,247 | 1,983,213 | |
4,365,927 | |||
TOTAL UTILITIES | 21,505,033 | ||
TOTAL COMMON STOCKS | |||
(Cost $574,245,875) | 612,169,993 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Porsche Automobil Holding SE (Germany) | |||
(Cost $2,173,233) | 32,319 | 2,149,073 | |
Equity Funds - 82.4% | |||
Foreign Large Blend Funds - 10.5% | |||
Fidelity Pacific Basin Fund (d) | 4,884,671 | 142,143,921 | |
Fidelity SAI International Low Volatility Index Fund (d) | 48,262,535 | 522,200,627 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 664,344,548 | ||
Foreign Large Growth Funds - 54.0% | |||
Fidelity Advisor Overseas Fund Class I (d) | 3,075,382 | 69,718,920 | |
Fidelity Diversified International Fund (d) | 25,279,458 | 875,174,842 | |
Fidelity International Capital Appreciation Fund (d) | 36,126,743 | 719,283,460 | |
Fidelity International Discovery Fund (d) | 22,398,014 | 892,560,870 | |
Fidelity Overseas Fund (d) | 19,242,496 | 866,297,158 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 3,423,035,250 | ||
Foreign Large Value Funds - 12.6% | |||
Fidelity International Value Fund (d) | 25,377,058 | 200,478,758 | |
Fidelity SAI International Value Index Fund (d) | 66,150,122 | 597,997,103 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 798,475,861 | ||
Foreign Small Mid Growth Funds - 1.1% | |||
Fidelity International Small Cap Opportunities Fund (d) | 4,034,933 | 71,579,704 | |
Sector Funds - 1.0% | |||
Fidelity Advisor International Real Estate Fund Class I (d) | 5,436,531 | 63,118,130 | |
Other - 3.2% | |||
Fidelity Advisor Japan Fund Class I (d) | 11,508,241 | 163,992,431 | |
Fidelity Japan Smaller Companies Fund (d) | 2,433,573 | 39,715,912 | |
TOTAL OTHER | 203,708,343 | ||
TOTAL EQUITY FUNDS | |||
(Cost $5,039,031,911) | 5,224,261,836 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.4% | |||
U.S. Treasury Bills, yield at date of purchase 2.35% to 2.41% 3/7/19 to 5/30/19 (e) | |||
(Cost $22,776,017) | 22,830,000 | 22,776,135 | |
Shares | Value | ||
Money Market Funds - 7.5% | |||
Fidelity Securities Lending Cash Central Fund 2.45% (f)(g) | 923,580 | 923,673 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35%(h) | 476,955,337 | 476,955,337 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $477,879,010) | 477,879,010 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $6,116,106,046) | 6,339,236,047 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 3,132,537 | ||
NET ASSETS - 100% | $6,342,368,584 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 250 | March 2019 | $26,862,500 | $(88,515) | $(88,515) |
ICE E-mini MSCI EAFE Index Contracts (United States) | 4,689 | March 2019 | 438,187,050 | 27,090,635 | 27,090,635 |
TOTAL FUTURES CONTRACTS | $27,002,120 |
The notional amount of futures purchased as a percentage of Net Assets is 7.3%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $402,674,485.
Legend
(a) Non-income producing
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $10,392,292 or 0.2% of net assets.
(c) Security or a portion of the security is on loan at period end.
(d) Affiliated Fund
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $22,776,135.
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(g) Includes investment made with cash collateral received from securities on loan.
(h) The rate quoted is the annualized seven-day yield of the fund at period end.
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 Securities Lending Cash Central Fund | $78,604 |
Total | $78,604 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. Certain Underlying Funds incurred name changes since their most recent shareholder report. The names of the Underlying Funds are those in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor International Real Estate Fund Class I | $60,820,888 | $1,194,029 | $-- | $1,194,030 | $-- | $1,103,213 | $63,118,130 |
Fidelity Advisor Japan Fund Class I | 124,065,027 | 53,342,467 | -- | 423,856 | -- | (13,415,063) | 163,992,431 |
Fidelity Advisor Overseas Fund Class I | 77,776,422 | -- | -- | 3,223,001 | -- | (8,057,502) | 69,718,920 |
Fidelity Diversified International Fund | 652,480,434 | 322,363,701 | -- | 50,826,785 | -- | (99,669,293) | 875,174,842 |
Fidelity International Capital Appreciation Fund | 461,020,348 | 284,016,606 | -- | 17,129,793 | -- | (25,753,494) | 719,283,460 |
Fidelity International Discovery Fund | 673,601,639 | 320,495,350 | -- | 28,298,404 | -- | (101,536,119) | 892,560,870 |
Fidelity International Small Cap Opportunities Fund | 65,963,223 | 13,708,210 | -- | 1,948,872 | -- | (8,091,729) | 71,579,704 |
Fidelity International Value Fund | 259,342,379 | -- | 30,000,000 | 6,141,248 | (7,999,216) | (20,864,405) | 200,478,758 |
Fidelity Japan Smaller Companies Fund | 44,757,015 | 1,944,248 | -- | 1,944,248 | -- | (6,985,351) | 39,715,912 |
Fidelity Overseas Fund | 656,499,169 | 287,688,001 | -- | 39,915,808 | -- | (77,890,012) | 866,297,158 |
Fidelity Pacific Basin Fund | 159,456,934 | 13,708,209 | -- | 13,984,813 | -- | (31,021,222) | 142,143,921 |
Fidelity SAI International Low Volatility Index Fund | 301,326,863 | 222,306,344 | -- | 11,487,115 | -- | (1,432,580) | 522,200,627 |
Fidelity SAI International Value Index Fund | 163,947,749 | 469,931,594 | -- | 10,128,292 | -- | (35,882,240) | 597,997,103 |
Total | $3,701,058,090 | $1,990,698,759 | $30,000,000 | $186,646,265 | $(7,999,216) | $(429,495,797) | $5,224,261,836 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $34,658,440 | $9,353,222 | $25,305,218 | $-- |
Consumer Discretionary | 62,900,258 | 24,388,282 | 38,511,976 | -- |
Consumer Staples | 62,973,731 | 19,355,153 | 43,618,578 | -- |
Energy | 38,475,135 | 12,442,550 | 26,032,585 | -- |
Financials | 126,418,493 | 63,373,988 | 63,044,505 | -- |
Health Care | 76,191,518 | 27,288,852 | 48,902,666 | -- |
Industrials | 80,410,726 | 23,706,991 | 56,703,735 | -- |
Information Technology | 46,105,692 | 24,826,273 | 21,279,419 | -- |
Materials | 44,900,088 | 26,029,142 | 18,870,946 | -- |
Real Estate | 19,779,952 | 14,632,727 | 5,147,225 | -- |
Utilities | 21,505,033 | 10,996,550 | 10,508,483 | -- |
Equity Funds | 5,224,261,836 | 5,224,261,836 | -- | -- |
Other Short-Term Investments | 22,776,135 | -- | 22,776,135 | -- |
Money Market Funds | 477,879,010 | 477,879,010 | -- | -- |
Total Investments in Securities: | $6,339,236,047 | $5,958,534,576 | $380,701,471 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $27,090,635 | $27,090,635 | $-- | $-- |
Total Assets | $27,090,635 | $27,090,635 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(88,515) | $(88,515) | $-- | $-- |
Total Liabilities | $(88,515) | $(88,515) | $-- | $-- |
Total Derivative Instruments: | $27,002,120 | $27,002,120 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $27,090,635 | $(88,515) |
Total Equity Risk | 27,090,635 | (88,515) |
Total Value of Derivatives | $27,090,635 | $(88,515) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $879,377) — See accompanying schedule: Unaffiliated issuers (cost $1,076,150,462) | $1,114,050,538 | |
Fidelity Central Funds (cost $923,673) | 923,673 | |
Other affiliated issuers (cost $5,039,031,911) | 5,224,261,836 | |
Total Investment in Securities (cost $6,116,106,046) | $6,339,236,047 | |
Foreign currency held at value (cost $80,405) | 80,405 | |
Receivable for investments sold | 5,102,279 | |
Receivable for fund shares sold | 11,636,570 | |
Dividends receivable | 2,306,346 | |
Interest receivable | 842,251 | |
Distributions receivable from Fidelity Central Funds | 1,056 | |
Prepaid expenses | 2,312 | |
Other receivables | 39,841 | |
Total assets | 6,359,247,107 | |
Liabilities | ||
Payable for investments purchased | $11,048,283 | |
Payable for fund shares redeemed | 3,196,571 | |
Accrued management fee | 213,324 | |
Payable for daily variation margin on futures contracts | 1,101,885 | |
Other affiliated payables | 134,414 | |
Other payables and accrued expenses | 260,366 | |
Collateral on securities loaned | 923,680 | |
Total liabilities | 16,878,523 | |
Net Assets | $6,342,368,584 | |
Net Assets consist of: | ||
Paid in capital | $6,055,397,186 | |
Total distributable earnings (loss) | 286,971,398 | |
Net Assets, for 656,386,233 shares outstanding | $6,342,368,584 | |
Net Asset Value, offering price and redemption price per share ($6,342,368,584 ÷ 656,386,233 shares) | $9.66 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $21,772,644 | |
Affiliated issuers | 63,842,788 | |
Interest | 8,297,972 | |
Income from Fidelity Central Funds | 78,604 | |
Income before foreign taxes withheld | 93,992,008 | |
Less foreign taxes withheld | (1,813,859) | |
Total income | 92,178,149 | |
Expenses | ||
Management fee | $15,737,898 | |
Transfer agent fees | 318,169 | |
Accounting and security lending fees | 1,578,540 | |
Custodian fees and expenses | 94,735 | |
Independent trustees' fees and expenses | 60,774 | |
Registration fees | 443,010 | |
Audit | 80,923 | |
Legal | 19,495 | |
Miscellaneous | 45,875 | |
Total expenses before reductions | 18,379,419 | |
Expense reductions | (13,441,666) | |
Total expenses after reductions | 4,937,753 | |
Net investment income (loss) | 87,240,396 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (11,754,002) | |
Fidelity Central Funds | 303 | |
Other affiliated issuers | (7,999,216) | |
Foreign currency transactions | (117,092) | |
Futures contracts | (59,075,952) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 122,803,477 | |
Total net realized gain (loss) | 43,857,518 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (51,720,441) | |
Affiliated issuers | (429,495,797) | |
Assets and liabilities in foreign currencies | (41,933) | |
Futures contracts | 35,101,324 | |
Total change in net unrealized appreciation (depreciation) | (446,156,847) | |
Net gain (loss) | (402,299,329) | |
Net increase (decrease) in net assets resulting from operations | $(315,058,933) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $87,240,396 | $49,914,887 |
Net realized gain (loss) | 43,857,518 | 195,942,857 |
Change in net unrealized appreciation (depreciation) | (446,156,847) | 579,355,697 |
Net increase (decrease) in net assets resulting from operations | (315,058,933) | 825,213,441 |
Distributions to shareholders | (177,894,345) | – |
Distributions to shareholders from net investment income | – | (46,185,765) |
Distributions to shareholders from net realized gain | – | (45,762,042) |
Total distributions | (177,894,345) | (91,947,807) |
Share transactions | ||
Proceeds from sales of shares | 2,777,134,794 | 1,438,793,570 |
Reinvestment of distributions | 177,319,906 | 91,740,199 |
Cost of shares redeemed | (859,656,396) | (1,116,512,838) |
Net increase (decrease) in net assets resulting from share transactions | 2,094,798,304 | 414,020,931 |
Total increase (decrease) in net assets | 1,601,845,026 | 1,147,286,565 |
Net Assets | ||
Beginning of period | 4,740,523,558 | 3,593,236,993 |
End of period | $6,342,368,584 | $4,740,523,558 |
Other Information | ||
Undistributed net investment income end of period | $3,456,206 | |
Shares | ||
Sold | 281,711,364 | 141,598,196 |
Issued in reinvestment of distributions | 18,585,063 | 8,597,957 |
Redeemed | (87,226,110) | (108,855,934) |
Net increase (decrease) | 213,070,317 | 41,340,219 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity International Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016 A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.69 | $8.94 | $8.19 | $9.41 | $9.40 |
Income from Investment Operations | |||||
Net investment income (loss)B | .16 | .12 | .14 | .10 | .11 |
Net realized and unrealized gain (loss) | (.85) | 1.85 | .76 | (1.19) | .01 |
Total from investment operations | (.69) | 1.97 | .90 | (1.09) | .12 |
Distributions from net investment income | (.15) | (.11) | (.13) | (.09) | (.10) |
Distributions from net realized gain | (.20) | (.11) | (.02) | (.05) | (.01) |
Total distributions | (.34)C | (.22) | (.15) | (.13)D | (.11) |
Net asset value, end of period | $9.66 | $10.69 | $8.94 | $8.19 | $9.41 |
Total ReturnE | (6.41)% | 22.01% | 11.11% | (11.70)% | 1.36% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .35% | .38% | .39% | .42% | .47% |
Expenses net of fee waivers, if any | .10% | .13% | .14% | .17% | .22% |
Expenses net of all reductions | .09% | .13% | .14% | .17% | .21% |
Net investment income (loss) | 1.65% | 1.16% | 1.58% | 1.09% | 1.19% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $6,342,369 | $4,740,524 | $3,593,237 | $2,736,052 | $1,754,709 |
Portfolio turnover rateH | 9% | 13% | 14% | 16% | 22% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.34 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.197 per share.
D Total distributions of $.13 per share is comprised of distributions from net investment income of $.088 and distributions from net realized gain of $.046 per share.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers Fidelity International Fund (formerly Strategic Advisers International II Fund) (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $39,838 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, deferred trustees compensation, and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $390,182,194 |
Gross unrealized depreciation | (180,719,311) |
Net unrealized appreciation (depreciation) | $209,462,883 |
Tax Cost | $6,129,773,164 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $2,356,119 |
Undistributed long-term capital gain | $75,188,494 |
Net unrealized appreciation (depreciation) on securities and other investments | $209,466,623 |
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $87,857,472 | $ 51,694,159 |
Long-term Capital Gains | 90,036,873 | 40,253,648 |
Total | $177,894,345 | $ 91,947,807 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $2,396,514,807 and $418,810,261, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .30% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIL Investment Advisors and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .01% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. For the period, the fees were equivalent to an annual rate of .03%.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $4,907.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $13,753 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. 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 $78,604.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $13,269,924.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $171,357 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $385.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets.
At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity Advisor Overseas Fund | 12% |
Fidelity International Capital Appreciation Fund | 29% |
Fidelity International Real Estate Fund | 12% |
Fidelity International Value Fund | 43% |
Fidelity Japan Fund | 24% |
Fidelity Overseas Fund | 12% |
Fidelity Pacific Basin Fund | 17% |
Fidelity SAI International Low Volatility Index Fund | 34% |
Fidelity SAI International Value Index Fund | 100% |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity International Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity International Fund (formerly Strategic Advisers International II Fund, one of the funds constituting Fidelity Rutland Square Trust II, hereafter referred to as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 15, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .08% | $1,000.00 | $953.40 | $.39 |
Hypothetical-C | $1,000.00 | $1,024.40 | $.40 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Fidelity International Fund voted to pay on April 8, 2019, to shareholders of record at the opening of business on April 5, 2019, a distribution of $0.112 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.004 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2019, $78,604,844, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 2% of the dividend distributed in December during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 33% and 91% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.0081 and $0.0001 for the dividend paid April 9, 2018, and $0.1483 and $0.0164 for the dividend paid December 31, 2018.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity International Fund (formerly Strategic Advisers International II Fund)
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreements with FIAM LLC (FIAM), FIL Investment Advisors (FIL), and Geode Capital Management, LLC (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreement with FIL Investment Advisors (UK) Limited (the Sub-Sub-Advisory Agreement and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund. The Board also approved amendments to the sub-advisory agreement with FIAM to: (i) remove a mandate that FIAM no longer offers; (ii) consolidate the fund's separate, mandate-specific sub-advisory agreements with FIAM into a single sub-advisory agreement; and (iii) implement a new fee schedule for two of FIAM's existing mandates, effective September 1, 2018, which is expected to decrease the fund's total management fee. In addition, the Board approved an amendment to the sub-advisory agreement with FIL to implement a new fee schedule, effective September 1, 2018, which, if funded, is expected to result in lower fees at all asset levels. The Board noted that the other terms of the amended sub-advisory agreements with FIAM and FIL are not materially different from those of the existing sub-advisory agreements with FIAM and FIL. The Board also noted that the amended sub-advisory agreements with FIAM and FIL would not result in changes to the nature, extent, and quality of the services provided to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the Advisory Contracts described above (Amendments), the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the amendments thereto do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Fidelity International Fund
Strategic Advisers Fidelity International Fund
SIL-ANN-0419
1.912839.108
Strategic Advisers® International Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® International Fund | (6.57)% | 2.33% | 10.10% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® International Fund on February 28, 2009.
The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period.
Period Ending Values | ||
$26,176 | Strategic Advisers® International Fund | |
$25,307 | MSCI EAFE Index |
Management's Discussion of Fund Performance
Market Recap: International equities returned -6.29% for the 12 months ending February 28, 2019, according to the MSCI ACWI (All Country World Index) ex USA Index. International markets faced a confluence of overwhelmingly negative factors the past year, including escalating trade tension, a surging U.S. dollar, tepid economic growth in Europe, global central bank tightening, concerns about Italy’s budget stalemate with the European Union, and weakness in China’s stock market. Volatility spiked as the final quarter of 2018 began, and the index returned -8% in October alone – its largest monthly drop since 2012 – and retreated another roughly 5% in December. For the full year, 8 of 11 market sectors lost ground. A handful of economically sensitive groups were among the hardest hit: consumer discretionary (-12%) and financials (-10%), along with materials, information technology and industrials, all of which returned about -7%. The new-media-infused communication services (-13%) sector fared the worst. Conversely, the more defensive utilities (+10%), health care (+3%), consumer staples (-1%) and real estate (-1%) sectors topped the broader market, as did energy, which returned roughly 5% on rebounding crude-oil prices late in the year. Geographically, resource-rich Canada (+4%) was the only region to advance. Japan and emerging markets each returned about -10%, followed by Europe ex U.K. (-6%). The U.K. and Asia-Pacific ex Japan both returned -1%.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year, the Fund returned -6.57%, trailing the -5.83% result of the benchmark MSCI EAFE Index. Amid an overall challenging period for international investing, an unusual combination of macroeconomic and geopolitical factors hampered the performance of many of the Fund’s underlying managers, regardless of their investment style. Oakmark International Fund was the largest detractor versus the benchmark. This manager’s deep-value strategy was out of favor this period, resulting in adverse stock selection and positioning effects in several market sectors. Growth-oriented Fidelity® International Discovery Fund also dampened the Fund's relative performance, partly hampered by out-of-index exposure to emerging markets. On the plus side, most of our relative contribution came from two strategies managed by sub-adviser Massachusetts Financial Services (MFS): International Value and International Research Equity. MFS International Value has a quality bias that results in a portfolio that is typically less volatile than the broad market – a factor that proved advantageous this period. On the other hand, MFS International Research Equity follows a sector-neutral GARP (growth at a reasonable price) discipline. Lastly, in an effort to capitalize on the historically low valuation of value stocks, I increased the Fund’s aggregate allocation to managers with greater exposure to value stocks.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents)
% of fund's net assets | |
T. Rowe Price Overseas Stock Fund I Class | 8.1 |
Fidelity International Discovery Fund | 6.5 |
iShares MSCI Japan ETF | 5.4 |
Fidelity Diversified International Fund | 4.2 |
Artisan International Value Fund Investor Class | 4.0 |
Oakmark International Fund Investor Class | 3.7 |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 3.3 |
iShares MSCI EAFE Value ETF | 3.1 |
Fidelity Overseas Fund | 3.0 |
JOHCM International Select Fund Class II Shares | 2.7 |
44.0 |
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Common Stocks | 43.0% | |
Preferred Stocks | 0.8% | |
Europe Stock Funds | 0.7% | |
Foreign Large Blend Funds | 20.8% | |
Foreign Large Growth Funds | 17.5% | |
Foreign Large Value Funds | 5.1% | |
Foreign Small Mid Growth Funds | 0.6% | |
Foreign Small Mid Blend Funds | 0.6% | |
Foreign Small Mid Value Funds | 0.5% | |
Other | 7.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.3% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Common Stocks - 43.0% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 2.5% | |||
Diversified Telecommunication Services - 0.3% | |||
Deutsche Telekom AG | 120,540 | $1,987,014 | |
Elisa Corp. (A Shares) | 10,797 | 453,048 | |
Hellenic Telecommunications Organization SA | 489,824 | 6,212,226 | |
Inmarsat PLC | 1,129,600 | 5,989,983 | |
Nippon Telegraph & Telephone Corp. | 260,000 | 11,237,892 | |
Nippon Telegraph & Telephone Corp. sponsored ADR | 24,984 | 1,083,181 | |
Telecom Italia SpA (a) | 3,188,547 | 1,940,867 | |
Telefonica SA | 1,300,076 | 11,213,700 | |
TeliaSonera AB | 320,191 | 1,389,829 | |
41,507,740 | |||
Entertainment - 0.2% | |||
NetEase, Inc. ADR | 16,567 | 3,698,086 | |
Nintendo Co. Ltd. | 27,200 | 7,459,307 | |
Square Enix Holdings Co. Ltd. | 177,300 | 5,217,279 | |
Ubisoft Entertainment SA (a) | 11,634 | 838,701 | |
Vivendi SA | 522,585 | 15,260,687 | |
32,474,060 | |||
Interactive Media & Services - 0.4% | |||
Baidu.com, Inc. sponsored ADR (a) | 222,919 | 36,233,254 | |
NAVER Corp. | 64,777 | 7,654,679 | |
Tencent Holdings Ltd. | 354,400 | 15,176,560 | |
Yandex NV Series A (a) | 122,033 | 4,197,935 | |
63,262,428 | |||
Media - 0.1% | |||
Informa PLC | 838,169 | 7,839,747 | |
Mediaset Espana Comunicacion SA | 142,400 | 1,068,697 | |
Pearson PLC | 83,514 | 941,602 | |
Pearson PLC sponsored ADR (b) | 31,335 | 355,652 | |
Publicis Groupe SA | 74,500 | 4,123,872 | |
Telenet Group Holding NV | 3,676 | 165,913 | |
Television Francaise 1 SA | 27,957 | 263,937 | |
WPP PLC | 121,792 | 1,335,167 | |
16,094,587 | |||
Wireless Telecommunication Services - 1.5% | |||
Advanced Info Service PCL (For. Reg.) | 1,237,400 | 7,149,422 | |
China Mobile Ltd. | 4,991,417 | 52,721,713 | |
KDDI Corp. | 2,840,600 | 68,656,417 | |
NTT DOCOMO, Inc. | 50,200 | 1,168,649 | |
Rogers Communications, Inc. Class B (non-vtg.) | 323,782 | 17,889,881 | |
SK Telecom Co. Ltd. | 141,058 | 32,647,633 | |
SoftBank Corp. | 270,700 | 25,119,412 | |
Tele2 AB (B Shares) | 327,023 | 4,307,314 | |
Vodafone Group PLC | 20,239,977 | 36,054,471 | |
245,714,912 | |||
TOTAL COMMUNICATION SERVICES | 399,053,727 | ||
CONSUMER DISCRETIONARY - 2.9% | |||
Auto Components - 0.3% | |||
Aisin Seiki Co. Ltd. | 37,700 | 1,469,578 | |
Compagnie Plastic Omnium | 11,118 | 312,107 | |
Continental AG | 36,829 | 6,032,044 | |
Eagle Industry Co. Ltd. | 11,200 | 132,533 | |
ElringKlinger AG | 38,147 | 277,698 | |
Faurecia SA | 35,664 | 1,701,339 | |
Koito Manufacturing Co. Ltd. | 245,400 | 14,178,226 | |
Kyb Corp. | 28,300 | 744,663 | |
LEONI AG | 7,814 | 213,135 | |
Michelin CGDE Series B | 24,810 | 2,974,025 | |
Motherson Sumi Systems Ltd. | 590,046 | 1,354,340 | |
Schaeffler AG | 11,564 | 106,017 | |
Showa Corp. | 13,400 | 186,337 | |
Sumitomo Electric Industries Ltd. | 133,800 | 1,867,898 | |
Sumitomo Rubber Industries Ltd. | 65,800 | 844,748 | |
Tachi-S Co. Ltd. | 11,600 | 171,609 | |
Toyo Tire Corp. | 29,900 | 380,104 | |
Toyota Industries Corp. | 172,900 | 8,857,121 | |
TPR Co. Ltd. | 4,000 | 87,776 | |
TS tech Co. Ltd. | 4,400 | 128,094 | |
Unipres Corp. | 18,400 | 327,507 | |
Valeo SA | 15,314 | 481,530 | |
Yorozu Corp. | 17,400 | 249,452 | |
43,077,881 | |||
Automobiles - 0.1% | |||
Ferrari NV | 35,827 | 4,611,023 | |
Fiat Chrysler Automobiles NV | 108,359 | 1,600,070 | |
Honda Motor Co. Ltd. sponsored ADR | 82,200 | 2,323,794 | |
Maruti Suzuki India Ltd. | 33,903 | 3,268,596 | |
Peugeot Citroen SA | 41,206 | 1,048,008 | |
PT Astra International Tbk | 4,724,700 | 2,401,394 | |
Renault SA | 28,990 | 1,986,065 | |
Yamaha Motor Co. Ltd. | 91,500 | 1,863,837 | |
19,102,787 | |||
Distributors - 0.0% | |||
Inchcape PLC | 765,700 | 5,738,062 | |
Diversified Consumer Services - 0.0% | |||
G8 Education Ltd. | 62,504 | 138,775 | |
SG Holdings Co. Ltd. | 21,900 | 640,506 | |
779,281 | |||
Hotels, Restaurants & Leisure - 0.8% | |||
Aristocrat Leisure Ltd. | 273,831 | 4,782,239 | |
Carnival PLC | 292,021 | 16,373,411 | |
Compass Group PLC | 2,472,429 | 54,603,675 | |
Crown Ltd. | 150,211 | 1,221,088 | |
Evolution Gaming Group AB (c) | 2,767 | 206,566 | |
Galaxy Entertainment Group Ltd. | 841,000 | 5,972,897 | |
Greggs PLC | 171,625 | 4,074,663 | |
InterContinental Hotel Group PLC | 51,813 | 3,099,026 | |
Kindred Group PLC (depositary receipt) | 205,421 | 2,154,741 | |
Net Entertainment NE AB | 68,950 | 268,902 | |
Paddy Power Betfair PLC | 63,614 | 5,087,778 | |
SSP Group PLC | 207,531 | 1,827,718 | |
TUI AG | 414,600 | 4,418,768 | |
TUI AG (GB) | 112,643 | 1,195,531 | |
Whitbread PLC | 119,108 | 7,666,716 | |
Yum China Holdings, Inc. | 164,862 | 6,878,043 | |
119,831,762 | |||
Household Durables - 0.3% | |||
Barratt Developments PLC | 673,700 | 5,352,436 | |
Nobia AB | 72,954 | 445,102 | |
Panasonic Corp. | 337,400 | 3,118,154 | |
Persimmon PLC | 194,721 | 6,283,665 | |
Sony Corp. | 323,900 | 15,552,226 | |
Taylor Wimpey PLC | 631,830 | 1,520,182 | |
Techtronic Industries Co. Ltd. | 1,787,000 | 11,940,272 | |
44,212,037 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 101,261 | 18,533,801 | |
Just Eat Holding Ltd. (a) | 730,235 | 7,229,236 | |
Trade Maine Group Ltd. | 150,966 | 656,942 | |
Zozo, Inc. | 90,700 | 1,705,533 | |
28,125,512 | |||
Leisure Products - 0.0% | |||
Sega Sammy Holdings, Inc. | 510,800 | 5,939,055 | |
Technogym SpA (c) | 138,088 | 1,768,588 | |
Thule Group AB (c) | 14,893 | 331,206 | |
8,038,849 | |||
Multiline Retail - 0.0% | |||
Debenhams PLC (b) | 913,233 | 37,573 | |
Lojas Renner SA | 167,700 | 1,932,313 | |
1,969,886 | |||
Specialty Retail - 0.2% | |||
Dufry AG | 51,695 | 5,241,755 | |
Esprit Holdings Ltd. (a) | 4,231,800 | 991,944 | |
Hotel Shilla Co. | 20,486 | 1,492,538 | |
Kingfisher PLC | 395,294 | 1,270,567 | |
Kingfisher PLC ADR | 79,768 | 525,272 | |
Mr Price Group Ltd. | 108,665 | 1,664,545 | |
Nitori Holdings Co. Ltd. | 21,900 | 2,728,045 | |
USS Co. Ltd. | 928,900 | 16,900,455 | |
Via Varejo SA | 705,900 | 860,728 | |
WH Smith PLC | 93,698 | 2,607,318 | |
34,283,167 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
adidas AG | 72,524 | 17,620,382 | |
Burberry Group PLC | 73,064 | 1,831,085 | |
Compagnie Financiere Richemont SA Series A | 381,136 | 29,119,341 | |
ECLAT Textile Co. Ltd. | 135,000 | 1,537,134 | |
Essilor International SA | 167,343 | 20,252,629 | |
Gildan Activewear, Inc. | 416,707 | 14,901,958 | |
Hermes International SCA | 6,007 | 3,804,426 | |
Hugo Boss AG | 30,796 | 2,277,580 | |
Kering SA | 25,635 | 13,999,011 | |
Kurabo Industries Ltd. | 7,400 | 150,768 | |
Li Ning Co. Ltd. (a) | 1,946,000 | 2,726,966 | |
lululemon athletica, Inc. (a) | 24,891 | 3,744,104 | |
LVMH Moet Hennessy - Louis Vuitton SA | 89,875 | 30,844,108 | |
Moncler SpA | 50,177 | 1,924,530 | |
New Wave Group AB (B Shares) | 57,250 | 384,311 | |
Pandora A/S | 8,124 | 426,305 | |
Puma AG | 5,029 | 2,834,377 | |
Seiko Holdings Corp. | 35,900 | 874,431 | |
Shenzhou International Group Holdings Ltd. | 304,000 | 3,795,280 | |
Titan Co. Ltd. | 149,570 | 2,164,584 | |
Youngone Holdings Co. Ltd. | 1,678 | 92,137 | |
155,305,447 | |||
TOTAL CONSUMER DISCRETIONARY | 460,464,671 | ||
CONSUMER STAPLES - 5.5% | |||
Beverages - 1.1% | |||
Anheuser-Busch InBev SA NV | 6,753 | 527,531 | |
Asahi Group Holdings | 30,800 | 1,333,373 | |
Carlsberg A/S Series B | 27,426 | 3,322,387 | |
Coca-Cola Amatil Ltd. | 271,396 | 1,534,343 | |
Coca-Cola HBC AG | 48,587 | 1,634,284 | |
Diageo PLC | 1,380,748 | 53,356,531 | |
Diageo PLC sponsored ADR | 6,033 | 933,788 | |
Fever-Tree Drinks PLC | 64,312 | 2,284,340 | |
Heineken Holding NV | 149,596 | 14,471,935 | |
Heineken NV (Bearer) | 267,459 | 26,922,328 | |
ITO EN Ltd. | 420,900 | 19,031,409 | |
Kirin Holdings Co. Ltd. | 3,600 | 80,664 | |
Kweichow Moutai Co. Ltd. (A Shares) | 48,707 | 5,493,494 | |
Pernod Ricard SA | 252,385 | 43,463,203 | |
Royal Unibrew A/S | 28,906 | 2,137,317 | |
Sapporo Breweries Ltd. | 15,200 | 332,379 | |
176,859,306 | |||
Food & Staples Retailing - 0.4% | |||
Alimentation Couche-Tard, Inc. Class B (sub. vtg.) | 168,105 | 9,474,788 | |
Bidcorp Ltd. | 80,872 | 1,690,860 | |
Carrefour SA | 112,655 | 2,306,510 | |
Cawachi Ltd. | 2,900 | 54,506 | |
Cencosud SA | 161,641 | 300,940 | |
J Sainsbury PLC | 177,712 | 539,772 | |
Kesko Oyj | 22,170 | 1,323,402 | |
Nishimoto Co. Ltd. | 6,200 | 246,965 | |
Seven & i Holdings Co. Ltd. | 426,600 | 18,775,371 | |
Seven & i Holdings Co. Ltd. ADR | 4,000 | 87,920 | |
Sundrug Co. Ltd. | 336,600 | 10,297,457 | |
Tesco PLC | 7,456,385 | 22,374,094 | |
Welcia Holdings Co. Ltd. | 31,500 | 1,116,270 | |
WM Morrison Supermarkets PLC | 137,100 | 418,420 | |
WM Morrison Supermarkets PLC ADR | 6,000 | 92,370 | |
69,099,645 | |||
Food Products - 1.7% | |||
AarhusKarlshamn AB | 50,663 | 755,447 | |
Ajinomoto Co., Inc. | 16,400 | 248,437 | |
Aryzta AG | 5,522,440 | 6,307,882 | |
Associated British Foods PLC | 42,817 | 1,273,807 | |
China Mengniu Dairy Co. Ltd. | 965,000 | 2,981,146 | |
Cloetta AB | 176,367 | 451,420 | |
Costa Group Holdings Ltd. | 257,642 | 975,930 | |
Danone SA | 679,789 | 51,344,021 | |
Ezaki Glico Co. Ltd. | 31,500 | 1,593,864 | |
Kerry Group PLC Class A | 176,489 | 18,167,641 | |
La Doria SpA | 9,186 | 89,336 | |
Lindt & Spruengli AG (participation certificate) | 215 | 1,398,076 | |
M. Dias Branco SA | 177,700 | 2,222,581 | |
Marine Harvest ASA | 278,600 | 6,427,240 | |
Nestle SA: | |||
(Reg. S) | 1,466,112 | 132,615,608 | |
sponsored ADR | 95,157 | 8,595,532 | |
Nisshin Oillio Group Ltd. | 10,900 | 337,859 | |
Nissin Food Holdings Co. Ltd. | 67,600 | 4,688,001 | |
Orkla ASA | 54,309 | 427,914 | |
Toyo Suisan Kaisha Ltd. | 465,300 | 17,240,291 | |
WH Group Ltd. ADR | 4,700 | 83,096 | |
Yakult Honsha Co. Ltd. | 68,100 | 4,563,827 | |
262,788,956 | |||
Household Products - 0.5% | |||
Colgate-Palmolive Co. | 466,265 | 30,712,876 | |
Hindustan Unilever Ltd. | 140,542 | 3,437,466 | |
Reckitt Benckiser Group PLC | 649,181 | 49,580,819 | |
Reckitt Benckiser Group PLC ADR | 77,836 | 1,199,453 | |
Unicharm Corp. | 30,400 | 966,833 | |
85,897,447 | |||
Personal Products - 1.2% | �� | ||
Beiersdorf AG | 675 | 62,620 | |
Fancl Corp. | 85,400 | 1,934,553 | |
Kao Corp. | 627,200 | 47,552,805 | |
Kobayashi Pharmaceutical Co. Ltd. | 263,300 | 21,212,345 | |
Kose Corp. | 29,300 | 4,736,787 | |
L'Oreal SA | 243,656 | 61,452,492 | |
Shiseido Co. Ltd. | 151,600 | 10,027,201 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 440,298 | 23,845,490 | |
Unilever PLC | 137,400 | 7,314,882 | |
Unilever PLC sponsored ADR | 61,587 | 3,278,276 | |
YA-MAN Ltd. | 19,600 | 239,494 | |
181,656,945 | |||
Tobacco - 0.6% | |||
British American Tobacco PLC: | |||
(United Kingdom) | 1,697,196 | 62,224,511 | |
sponsored ADR | 165,791 | 6,091,161 | |
Imperial Tobacco Group PLC | 425,103 | 14,155,087 | |
Japan Tobacco, Inc. | 650,500 | 16,566,936 | |
Swedish Match Co. AB | 24,477 | 1,147,525 | |
100,185,220 | |||
TOTAL CONSUMER STAPLES | 876,487,519 | ||
ENERGY - 2.0% | |||
Energy Equipment & Services - 0.1% | |||
Core Laboratories NV (b) | 81,288 | 5,268,275 | |
Petrofac Ltd. | 106,831 | 606,172 | |
SBM Offshore NV | 39,208 | 739,867 | |
Subsea 7 SA | 52,220 | 638,359 | |
TechnipFMC PLC | 335,200 | 7,471,608 | |
Tenaris SA | 222,599 | 2,960,462 | |
17,684,743 | |||
Oil, Gas & Consumable Fuels - 1.9% | |||
Aker Bp ASA | 21,801 | 738,874 | |
BP PLC | 7,485,882 | 53,069,717 | |
BP PLC sponsored ADR | 36,871 | 1,572,548 | |
Cairn Energy PLC (a) | 2,276,251 | 6,128,784 | |
Caltex Australia Ltd. | 379,508 | 7,699,234 | |
CNOOC Ltd. sponsored ADR | 9,800 | 1,702,358 | |
Enagas SA | 9,192 | 261,909 | |
Enbridge, Inc. | 219,074 | 8,104,048 | |
Encana Corp. | 3,525,786 | 25,881,753 | |
Eni SpA | 2,157,462 | 37,207,315 | |
Eni SpA sponsored ADR | 5,530 | 191,062 | |
EnQuest PLC (a) | 222,793 | 57,445 | |
Equinor ASA | 177,947 | 4,000,176 | |
Exmar NV (a) | 10,288 | 69,978 | |
Galp Energia SGPS SA Class B | 670,816 | 11,010,374 | |
Gazprom OAO sponsored ADR (Reg. S) | 821,429 | 3,896,859 | |
INPEX Corp. | 110,700 | 1,073,763 | |
JX Holdings, Inc. | 2,440,300 | 11,400,167 | |
Lundin Petroleum AB | 65,844 | 2,152,976 | |
Neste Oyj | 87,508 | 8,410,790 | |
Oil Search Ltd. ADR | 1,020,377 | 6,058,243 | |
OMV AG | 7,880 | 414,723 | |
Polski Koncern Naftowy Orlen SA | 20,534 | 552,978 | |
Repsol SA | 531,890 | 9,153,729 | |
Royal Dutch Shell PLC: | |||
Class A | 430,567 | 13,415,113 | |
Class B (United Kingdom) | 1,118,397 | 35,084,427 | |
Santos Ltd. | 816,100 | 4,005,992 | |
SK Energy Co. Ltd. | 36,979 | 6,176,857 | |
Snam Rete Gas SpA | 709,178 | 3,504,914 | |
Total SA | 445,653 | 25,366,019 | |
Vopak NV | 31,440 | 1,537,384 | |
289,900,509 | |||
TOTAL ENERGY | 307,585,252 | ||
FINANCIALS - 7.2% | |||
Banks - 3.2% | |||
AIB Group PLC | 4,185,678 | 19,691,494 | |
Akbank TAS | 4,265,398 | 5,489,305 | |
Banco Comercial Portugues SA (Reg.) (a) | 6,186,544 | 1,695,889 | |
Bank Hapoalim BM (Reg.) | 81,404 | 560,377 | |
Bank Leumi le-Israel BM | 37,377 | 247,193 | |
Bankia SA | 498,768 | 1,523,264 | |
Bankinter SA | 445,784 | 3,661,966 | |
Barclays PLC | 23,115,541 | 50,330,303 | |
Barclays PLC sponsored ADR | 140,307 | 1,215,059 | |
BNP Paribas SA | 932,633 | 47,742,375 | |
CaixaBank SA | 3,554,061 | 12,661,685 | |
Canadian Imperial Bank of Commerce | 123,107 | 10,442,976 | |
Chiba Bank Ltd. | 665,300 | 4,049,392 | |
China Merchants Bank Co. Ltd. (H Shares) | 1,883,000 | 8,635,689 | |
Credicorp Ltd. (United States) | 31,317 | 7,612,850 | |
Danske Bank A/S | 195,910 | 3,897,681 | |
DBS Group Holdings Ltd. | 718,400 | 13,199,006 | |
DNB ASA | 250,334 | 4,794,879 | |
HDFC Bank Ltd. | 641,966 | 18,871,322 | |
HSBC Holdings PLC (United Kingdom) | 1,323,600 | 10,790,102 | |
ING Groep NV (Certificaten Van Aandelen) | 1,148,609 | 15,182,462 | |
Intesa Sanpaolo SpA | 6,453,794 | 15,879,067 | |
Jyske Bank A/S (Reg.) | 82,851 | 3,244,898 | |
KB Financial Group, Inc. | 27,839 | 1,096,434 | |
KBC Groep NV | 444,910 | 32,954,815 | |
Lloyds Banking Group PLC | 23,082,127 | 19,437,003 | |
Mebuki Financial Group, Inc. | 1,099,000 | 2,967,739 | |
Mediobanca SpA | 666,600 | 6,671,958 | |
Mitsubishi UFJ Financial Group, Inc. | 4,111,000 | 21,333,580 | |
National Bank of Abu Dhabi PJSC | 639,517 | 2,646,517 | |
Nordea Bank ABP: | |||
ADR | 9,000 | 81,990 | |
(Helsinki Stock Exchange) | 305,001 | 2,775,040 | |
(Stockholm Stock Exchange) | 228,746 | 2,074,466 | |
North Pacific Bank Ltd. | 978,300 | 2,694,461 | |
PT Bank Central Asia Tbk | 5,789,200 | 11,347,943 | |
Resona Holdings, Inc. | 1,240,600 | 5,619,629 | |
Sberbank of Russia sponsored ADR | 152,763 | 1,949,256 | |
Shinsei Bank Ltd. | 99,800 | 1,372,955 | |
Societe Generale Series A | 135,803 | 4,171,869 | |
Sumitomo Mitsui Financial Group, Inc. | 866,500 | 30,789,608 | |
Svenska Handelsbanken AB (A Shares) | 1,322,709 | 15,068,861 | |
Swedbank AB: | |||
(A Shares) | 31,818 | 584,616 | |
sponsored ADR | 3,400 | 62,424 | |
Sydbank A/S | 109,859 | 2,616,109 | |
The Bank of NT Butterfield & Son Ltd. | 28,888 | 1,176,897 | |
The Hachijuni Bank Ltd. | 652,700 | 2,711,166 | |
The Suruga Bank Ltd. | 38,000 | 183,071 | |
The Toronto-Dominion Bank | 179,329 | 10,283,192 | |
Turkiye Is Bankasi A/S Series C | 1,477,591 | 1,608,168 | |
UniCredit SpA | 4,236,837 | 57,666,431 | |
Yapi ve Kredi Bankasi A/S (a) | 272,103 | 109,590 | |
503,475,022 | |||
Capital Markets - 1.1% | |||
3i Group PLC | 712,979 | 8,944,049 | |
Anxin Trust Co. Ltd. (A Shares) | 77,462 | 87,366 | |
ASX Ltd. | 35,180 | 1,741,106 | |
Azimut Holding SpA | 29,929�� | 437,619 | |
Banca Generali SpA | 92,149 | 2,301,735 | |
BM&F BOVESPA SA | 574,000 | 5,010,838 | |
Brookfield Asset Management, Inc. Class A | 252,432 | 11,402,073 | |
BT Investment Management Ltd. | 92,715 | 564,284 | |
Burford Capital Ltd. | 69,499 | 1,631,586 | |
China Galaxy Securities Co. Ltd. (H Shares) | 547,500 | 372,451 | |
Close Brothers Group PLC | 70,193 | 1,405,817 | |
Daiwa Securities Group, Inc. | 1,987,900 | 10,093,670 | |
Deutsche Borse AG | 86,349 | 10,902,284 | |
Euronext NV (c) | 177,983 | 10,861,269 | |
Hargreaves Lansdown PLC | 58,209 | 1,344,920 | |
IG Group Holdings PLC | 523,894 | 3,922,523 | |
Intermediate Capital Group PLC | 222,284 | 3,089,780 | |
Japan Exchange Group, Inc. | 115,800 | 2,041,421 | |
Julius Baer Group Ltd. | 381,022 | 16,601,884 | |
Jupiter Fund Management PLC | 77,163 | 346,643 | |
Kyokuto Securities Co. Ltd. | 41,200 | 438,742 | |
London Stock Exchange Group PLC | 117,796 | 7,034,547 | |
Macquarie Group Ltd. | 187,759 | 17,133,156 | |
Nomura Holdings, Inc. | 13,900 | 54,178 | |
Partners Group Holding AG | 11,574 | 8,372,755 | |
Pinnacle Investment Management Group Ltd. | 25,573 | 92,515 | |
President Securities Corp. | 154,000 | 67,404 | |
TMX Group Ltd. | 186,599 | 11,715,346 | |
UBS Group AG | 3,326,949 | 42,334,805 | |
180,346,766 | |||
Consumer Finance - 0.1% | |||
AEON Financial Service Co. Ltd. | 673,300 | 13,222,569 | |
Hitachi Capital Corp. | 10,700 | 253,233 | |
13,475,802 | |||
Diversified Financial Services - 0.4% | |||
Cerved Information Solutions SpA | 292,120 | 2,693,064 | |
Challenger Ltd. | 621,700 | 3,550,073 | |
EXOR NV | 33,700 | 2,073,765 | |
Groupe Bruxelles Lambert SA | 99,336 | 9,556,672 | |
Industrivarden AB: | |||
(A Shares) | 30,754 | 652,973 | |
(C Shares) | 11,912 | 248,081 | |
Investor AB (B Shares) | 137,968 | 6,161,953 | |
Japan Securities Finance Co. Ltd. | 16,500 | 91,630 | |
Nishi-Nippon Financial Holdings, Inc. | 13,700 | 121,557 | |
ORIX Corp. | 1,726,700 | 24,971,430 | |
RMB Holdings Ltd. | 506,199 | 2,877,635 | |
Standard Life PLC | 46,684 | 152,786 | |
Uniper SE | 55,096 | 1,604,952 | |
Zenkoku Hosho Co. Ltd. | 47,900 | 1,759,750 | |
56,516,321 | |||
Insurance - 2.4% | |||
AEGON NV | 439,219 | 2,356,678 | |
AEGON NV (NY Reg.) | 411,330 | 2,204,729 | |
AIA Group Ltd. | 4,404,200 | 43,955,382 | |
Allianz SE | 91,967 | 20,471,603 | |
Aon PLC | 103,621 | 17,774,110 | |
ASR Nederland NV | 31,047 | 1,368,080 | |
Assicurazioni Generali SpA | 298,512 | 5,329,119 | |
Aviva PLC | 7,109,186 | 39,850,966 | |
AXA SA | 343,057 | 8,686,636 | |
Beazley PLC | 357,826 | 2,598,449 | |
Dai-ichi Mutual Life Insurance Co. | 378,200 | 5,763,023 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 23,839 | 11,802,746 | |
Hiscox Ltd. | 1,253,532 | 26,585,328 | |
Japan Post Holdings Co. Ltd. | 569,600 | 6,924,029 | |
Jardine Lloyd Thompson Group PLC | 251,278 | 6,359,032 | |
Manulife Financial Corp. | 1,200,121 | 20,282,451 | |
Medibank Private Ltd. | 476,482 | 959,899 | |
MS&AD Insurance Group Holdings, Inc. | 526,000 | 15,834,721 | |
MS&AD Insurance Group Holdings, Inc. ADR | 5,200 | 78,364 | |
Muenchener Rueckversicherungs AG | 20,187 | 4,754,316 | |
NKSJ Holdings, Inc. | 673,200 | 25,187,619 | |
NN Group NV | 108,016 | 4,705,645 | |
Ping An Insurance (Group) Co. of China Ltd. (H Shares) | 1,338,500 | 14,149,757 | |
Prudential PLC | 2,323,078 | 48,978,636 | |
QBE Insurance Group Ltd. | 261,397 | 2,294,760 | |
Sampo Oyj (A Shares) | 47,674 | 2,293,587 | |
Societa Cattolica Di Assicurazioni SCRL | 75,279 | 701,278 | |
Storebrand ASA (A Shares) | 223,867 | 1,779,602 | |
Swiss Re Ltd. | 80,442 | 7,964,810 | |
Talanx AG | 126,500 | 4,886,417 | |
Tokio Marine Holdings, Inc. | 379,500 | 18,549,815 | |
Tryg A/S | 54,868 | 1,495,636 | |
Unipol Gruppo SpA | 156,166 | 711,767 | |
Vienna Insurance Group AG | 6,717 | 161,973 | |
Zurich Insurance Group Ltd. | 38,192 | 12,599,072 | |
390,400,035 | |||
TOTAL FINANCIALS | 1,144,213,946 | ||
HEALTH CARE - 4.8% | |||
Biotechnology - 0.1% | |||
Abcam PLC | 90,244 | 1,538,082 | |
CSL Ltd. | 128,272 | 17,580,022 | |
Grifols SA ADR | 10,763 | 207,511 | |
Swedish Orphan Biovitrum AB (a) | 124,911 | 2,714,339 | |
22,039,954 | |||
Health Care Equipment & Supplies - 0.9% | |||
Ambu A/S Series B | 44,464 | 1,042,567 | |
ASAHI INTECC Co. Ltd. | 68,300 | 3,278,204 | |
Carl Zeiss Meditec AG | 19,810 | 1,689,966 | |
Cochlear Ltd. | 6,869 | 830,766 | |
Coloplast A/S Series B | 63,002 | 6,279,694 | |
Dentsply Sirona, Inc. | 173,027 | 7,225,608 | |
Hoya Corp. | 201,000 | 12,271,161 | |
Koninklijke Philips Electronics NV | 774,571 | 30,821,917 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 79,280 | 3,148,209 | |
Mani, Inc. | 11,500 | 531,333 | |
Nihon Kohden Corp. | 488,400 | 14,656,601 | |
Nikkiso Co. Ltd. | 41,700 | 476,240 | |
Olympus Corp. | 82,800 | 3,676,905 | |
Smith & Nephew PLC | 233,472 | 4,436,136 | |
Smith & Nephew PLC sponsored ADR | 64,234 | 2,482,002 | |
Sysmex Corp. | 1,500 | 90,709 | |
Terumo Corp. | 725,700 | 44,576,932 | |
William Demant Holding A/S (a) | 7,018 | 210,775 | |
137,725,725 | |||
Health Care Providers & Services - 0.2% | |||
Bangkok Dusit Medical Services PCL (For. Reg.) | 2,219,700 | 1,663,013 | |
Fresenius Medical Care AG & Co. KGaA | 32,705 | 2,556,868 | |
Fresenius SE & Co. KGaA | 164,800 | 9,258,774 | |
NMC Health PLC | 44,785 | 1,606,192 | |
Orpea | 26,000 | 3,065,314 | |
Sonic Healthcare Ltd. | 384,184 | 6,573,205 | |
Suzuken Co. Ltd. | 7,100 | 388,552 | |
Toho Holdings Co. Ltd. | 19,900 | 503,101 | |
25,615,019 | |||
Health Care Technology - 0.0% | |||
M3, Inc. | 195,300 | 3,234,413 | |
Life Sciences Tools & Services - 0.2% | |||
Eurofins Scientific SA (b) | 5,144 | 2,166,056 | |
ICON PLC (a) | 41,698 | 5,836,886 | |
Lonza Group AG | 49,710 | 13,821,477 | |
QIAGEN NV (a) | 153,372 | 5,894,086 | |
Sartorius Stedim Biotech | 10,156 | 1,195,626 | |
28,914,131 | |||
Pharmaceuticals - 3.4% | |||
Allergan PLC | 76,600 | 10,548,586 | |
Astellas Pharma, Inc. | 943,800 | 14,633,258 | |
AstraZeneca PLC: | |||
(United Kingdom) | 608,045 | 49,509,837 | |
sponsored ADR | 332,329 | 13,818,240 | |
Bayer AG | 564,360 | 45,087,284 | |
Bayer AG sponsored ADR | 22,600 | 454,034 | |
Chugai Pharmaceutical Co. Ltd. | 400 | 27,227 | |
Dainippon Sumitomo Pharma Co. Ltd. | 10,400 | 257,052 | |
Eisai Co. Ltd. | 5,700 | 471,070 | |
GlaxoSmithKline PLC sponsored ADR | 277,405 | 11,196,066 | |
H Lundbeck A/S | 4,854 | 222,004 | |
Ipsen SA | 18,241 | 2,522,984 | |
Kyowa Hakko Kirin Co., Ltd. | 40,500 | 773,969 | |
Merck KGaA | 121,361 | 12,531,459 | |
Mochida Pharmaceutical Co. Ltd. | 6,300 | 670,892 | |
Novartis AG | 929,341 | 84,694,571 | |
Novartis AG sponsored ADR | 72,012 | 6,569,655 | |
Novo Nordisk A/S: | |||
Series B | 685,768 | 33,620,218 | |
Series B sponsored ADR | 58,165 | 2,847,177 | |
Ono Pharmaceutical Co. Ltd. | 105,900 | 2,174,244 | |
Otsuka Holdings Co. Ltd. | 54,400 | 2,270,069 | |
Recordati SpA | 94,233 | 3,544,619 | |
Roche Holding AG: | |||
(Bearer) | 1,350 | 373,057 | |
(participation certificate) | 313,625 | 87,038,550 | |
sponsored ADR (b) | 168,921 | 5,853,113 | |
Rohto Pharmaceutical Co. Ltd. | 352,100 | 9,245,922 | |
Sanofi SA | 183,361 | 15,290,366 | |
Sanofi SA sponsored ADR | 89,792 | 3,735,347 | |
Santen Pharmaceutical Co. Ltd. | 2,293,200 | 35,694,631 | |
Shionogi & Co. Ltd. | 206,200 | 13,194,623 | |
Takeda Pharmaceutical Co. Ltd. | 1,521,529 | 61,230,848 | |
Takeda Pharmaceutical Co. Ltd. ADR | 318,130 | 6,381,688 | |
Towa Pharmaceutical Co. Ltd. | 7,600 | 598,645 | |
UCB SA | 15,113 | 1,266,580 | |
538,347,885 | |||
TOTAL HEALTH CARE | 755,877,127 | ||
INDUSTRIALS - 7.0% | |||
Aerospace & Defense - 0.8% | |||
Airbus Group NV | 169,954 | 21,895,615 | |
BAE Systems PLC | 863,078 | 5,321,463 | |
Chemring Group PLC | 41,521 | 82,607 | |
Cobham PLC (a) | 14,076,571 | 21,965,796 | |
Leonardo SpA | 159,766 | 1,611,181 | |
Meggitt PLC | 228,972 | 1,637,534 | |
MTU Aero Engines Holdings AG | 55,990 | 12,004,778 | |
QinetiQ Group PLC | 234,119 | 952,687 | |
Rolls-Royce Holdings PLC | 2,432,029 | 30,851,881 | |
Safran SA | 138,481 | 18,877,203 | |
Senior Engineering Group PLC | 325,958 | 990,046 | |
Thales SA | 70,841 | 8,722,579 | |
Ultra Electronics Holdings PLC | 29,875 | 491,346 | |
125,404,716 | |||
Air Freight & Logistics - 0.2% | |||
Deutsche Post AG | 791,513 | 24,548,909 | |
PostNL NV | 80,480 | 216,497 | |
Yamato Holdings Co. Ltd. | 278,500 | 7,273,251 | |
32,038,657 | |||
Airlines - 0.4% | |||
Deutsche Lufthansa AG | 126,011 | 3,217,786 | |
International Consolidated Airlines Group SA | 107,224 | 848,367 | |
International Consolidated Airlines Group SA: | |||
ADR | 16,000 | 256,800 | |
CDI | 236,351 | 1,875,138 | |
Japan Airlines Co. Ltd. | 885,800 | 32,304,104 | |
Qantas Airways Ltd. | 2,508,309 | 10,195,211 | |
Ryanair Holdings PLC sponsored ADR (a) | 167,793 | 12,507,290 | |
61,204,696 | |||
Building Products - 0.3% | |||
Agc, Inc. | 49,700 | 1,728,178 | |
Agc, Inc. ADR | 9,900 | 68,558 | |
Belimo Holding AG (Reg.) | 236 | 1,112,549 | |
Central Glass Co. Ltd. | 10,400 | 243,520 | |
Compagnie de St. Gobain | 63,422 | 2,282,473 | |
Daikin Industries Ltd. | 227,200 | 24,732,221 | |
Geberit AG (Reg.) | 15,158 | 6,050,746 | |
Kingspan Group PLC (Ireland) | 78,315 | 3,693,232 | |
Nibe Industrier AB (B Shares) | 127,676 | 1,597,332 | |
Nichias Corp. | 84,600 | 1,667,485 | |
Noritz Corp. | 8,400 | 123,741 | |
Sinko Industries Ltd. | 5,600 | 78,827 | |
Toto Ltd. | 313,100 | 11,869,418 | |
55,248,280 | |||
Commercial Services & Supplies - 0.5% | |||
Aggreko PLC | 90,090 | 856,272 | |
Brambles Ltd. | 3,029,817 | 25,274,600 | |
Downer EDI Ltd. | 115,832 | 611,311 | |
Edenred SA | 29,764 | 1,321,025 | |
ISS Holdings A/S | 16,104 | 502,563 | |
IWG PLC | 210,409 | 642,712 | |
Nichiban Co. Ltd. | 15,600 | 316,297 | |
Relia, Inc. | 26,500 | 231,086 | |
Rentokil Initial PLC | 1,922,204 | 8,948,799 | |
Ritchie Brothers Auctioneers, Inc. | 186,229 | 6,897,528 | |
Secom Co. Ltd. | 234,200 | 20,258,155 | |
Sohgo Security Services Co., Ltd. | 159,900 | 6,900,094 | |
72,760,442 | |||
Construction & Engineering - 0.2% | |||
ACS Actividades de Construccion y Servicios SA | 150,737 | 6,678,137 | |
Balfour Beatty PLC | 4,422,824 | 16,894,692 | |
Fudo Tetra Corp. | 15,000 | 221,774 | |
Maire Tecnimont SpA | 62,082 | 253,367 | |
Obayashi Corp. | 102,800 | 1,002,027 | |
Sanki Engineering Co. Ltd. | 24,200 | 262,701 | |
Shinnihon Corp. | 13,800 | 130,120 | |
Sumitomo Densetsu Co. Ltd. | 22,800 | 395,801 | |
Taikisha Ltd. | 12,300 | 368,564 | |
Tokyu Construction Co. Ltd. | 59,400 | 505,725 | |
26,712,908 | |||
Electrical Equipment - 1.1% | |||
ABB Ltd. (Reg.) | 2,672,206 | 52,613,142 | |
Denyo Co. Ltd. | 35,400 | 454,787 | |
Fujikura Ltd. | 107,600 | 456,955 | |
Futaba Corp. | 59,900 | 960,850 | |
GS Yuasa Corp. | 47,900 | 962,680 | |
Legrand SA | 570,773 | 37,655,094 | |
Mabuchi Motor Co. Ltd. | 7,700 | 264,576 | |
Melrose Industries PLC | 4,203,994 | 9,696,607 | |
Mitsubishi Electric Corp. | 284,800 | 3,570,724 | |
Mitsubishi Electric Corp. ADR | 7,600 | 190,494 | |
Nexans SA | 11,609 | 374,484 | |
OSRAM Licht AG | 22,981 | 995,924 | |
Prysmian SpA | 235,824 | 4,814,872 | |
Schneider Electric SA | 700,075 | 54,399,857 | |
Siemens Gamesa Renewable Energy SA (a) | 536,700 | 8,213,866 | |
Tatsuta Electric Wire & Cable Co. Ltd. | 70,400 | 316,426 | |
Toyo Tanso Co. Ltd. | 6,400 | 127,925 | |
Vestas Wind Systems A/S | 13,922 | 1,158,867 | |
177,228,130 | |||
Industrial Conglomerates - 0.4% | |||
Bidvest Group Ltd. | 80,872 | 1,193,936 | |
CK Hutchison Holdings Ltd. | 1,170,000 | 12,453,072 | |
DCC PLC (United Kingdom) | 88,700 | 7,676,483 | |
Kolon Corp. | 3,746 | 115,991 | |
Nisshinbo Holdings, Inc. | 12,500 | 106,850 | |
Nolato AB Series B | 20,430 | 914,661 | |
Siemens AG | 247,926 | 27,084,266 | |
Toshiba Corp. | 461,290 | 14,443,118 | |
63,988,377 | |||
Machinery - 1.2% | |||
Aida Engineering Ltd. | 23,900 | 174,107 | |
Amada Holdings Co. Ltd. | 45,400 | 477,981 | |
Asahi Diamond Industrial Co. Ltd. | 79,600 | 557,018 | |
Bodycote PLC | 47,028 | 473,431 | |
Cargotec Corp. (B Shares) | 7,081 | 253,227 | |
CNH Industrial NV | 181,133 | 1,962,227 | |
Dalian Huarui Heavy Industry Group Co. Ltd. (A Shares) | 160,100 | 89,447 | |
Doosan Infracore Co. Ltd. (a) | 61,222 | 413,949 | |
Fanuc Corp. | 185,600 | 30,748,284 | |
Fuji Corp. | 28,800 | 406,427 | |
Fujitec Co. Ltd. | 27,500 | 320,975 | |
Fukushima Industries Corp. | 14,200 | 490,468 | |
GEA Group AG | 688,021 | 16,489,161 | |
Glory Ltd. | 32,300 | 788,773 | |
Harmonic Drive Systems, Inc. | 54,200 | 1,769,955 | |
Hino Motors Ltd. | 105,300 | 969,996 | |
IHI Corp. | 24,100 | 636,120 | |
IMI PLC | 1,134,069 | 14,229,471 | |
Interpump Group SpA | 57,668 | 1,869,442 | |
Japan Steel Works Ltd. | 12,900 | 233,900 | |
JTEKT Corp. | 16,900 | 210,572 | |
Kawasaki Heavy Industries Ltd. | 65,200 | 1,680,029 | |
KION Group AG | 29,978 | 1,709,016 | |
Koenig & Bauer AG | 14,267 | 659,830 | |
Komatsu Ltd. | 98,700 | 2,423,472 | |
Komori Corp. | 29,600 | 321,055 | |
Kone Oyj (B Shares) | 26,262 | 1,283,587 | |
Kubota Corp. | 953,800 | 12,863,965 | |
Max Co. Ltd. | 17,100 | 239,629 | |
Meidensha Corp. | 5,300 | 75,507 | |
Misumi Group, Inc. | 408,100 | 9,889,006 | |
Mitsubishi Heavy Industries Ltd. | 116,000 | 4,730,530 | |
Morgan Advanced Materials PLC | 35,343 | 120,943 | |
Nachi-Fujikoshi Corp. | 6,300 | 247,558 | |
Nordson Corp. | 102,853 | 13,963,323 | |
Noritake Co. Ltd. | 1,100 | 53,882 | |
NORMA Group AG | 21,139 | 1,133,460 | |
NSK Ltd. | 82,700 | 762,766 | |
Oiles Corp. | 24,500 | 427,291 | |
Organo Corp. | 8,000 | 226,798 | |
Rotork PLC | 642,959 | 2,426,184 | |
Ryobi Ltd. | 14,000 | 342,386 | |
Schindler Holding AG (participation certificate) | 83,472 | 18,868,076 | |
Sintokogio Ltd. | 18,500 | 167,299 | |
SKF AB (B Shares) | 37,142 | 625,133 | |
SMC Corp. | 43,400 | 15,087,696 | |
Sodick Co. Ltd. | 70,700 | 536,601 | |
Spirax-Sarco Engineering PLC | 249,309 | 22,039,222 | |
Takeuchi Manufacturing Co. Ltd. | 12,400 | 216,818 | |
The Weir Group PLC | 129,473 | 2,816,315 | |
THK Co. Ltd. | 16,800 | 412,370 | |
Toshiba Machine Co. Ltd. | 12,700 | 257,726 | |
Vesuvius PLC | 104,968 | 845,788 | |
Volvo AB (B Shares) | 129,592 | 1,908,241 | |
Wacker Construction Equipment AG | 16,830 | 385,163 | |
Wartsila Corp.(b) | 175,610 | 2,852,396 | |
WashTec AG | 9,054 | 554,058 | |
196,718,050 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S: | |||
Series A | 227 | 291,911 | |
Series B | 6,100 | 8,206,722 | |
8,498,633 | |||
Professional Services - 1.0% | |||
AF AB (B Shares) | 26,171 | 476,609 | |
Altech Corp. | 23,600 | 433,826 | |
Experian PLC | 1,072,953 | 27,912,501 | |
Experian PLC ADR | 11,200 | 291,480 | |
Funai Soken Holdings, Inc. | 6,400 | 147,677 | |
Hays PLC | 86,830 | 175,054 | |
Intertek Group PLC | 311,808 | 21,033,994 | |
Meitec Corp. | 4,000 | 183,017 | |
Nihon M&A Center, Inc. | 104,300 | 2,629,372 | |
Randstad NV | 39,054 | 2,085,612 | |
RELX PLC: | |||
(Euronext N.V.) | 1,368,756 | 31,433,640 | |
(London Stock Exchange) | 785,849 | 18,021,554 | |
sponsored ADR | 1,990 | 45,870 | |
SGS SA (Reg.) | 8,879 | 22,641,205 | |
SR Teleperformance SA | 25,682 | 4,586,283 | |
TechnoPro Holdings, Inc. | 72,000 | 3,882,115 | |
Thomson Reuters Corp. | 246,924 | 13,427,472 | |
Wolters Kluwer NV | 210,947 | 13,911,818 | |
Wolters Kluwer NV ADR | 800 | 52,740 | |
163,371,839 | |||
Road & Rail - 0.4% | |||
Aurizon Holdings Ltd. | 26,475 | 84,886 | |
Canadian National Railway Co. | 116,278 | 9,977,668 | |
Central Japan Railway Co. | 16,900 | 3,792,408 | |
DSV de Sammensluttede Vognmaend A/S | 133,712 | 11,122,027 | |
East Japan Railway Co. | 342,900 | 32,845,353 | |
Hamakyorex Co. Ltd. | 6,800 | 276,661 | |
Hankyu Hanshin Holdings, Inc. | 8,300 | 300,830 | |
Keio Corp. | 6,600 | 387,825 | |
Keisei Electric Railway Co. | 8,000 | 273,132 | |
Localiza Rent A Car SA | 224,400 | 2,064,087 | |
Nikkon Holdings Co. Ltd. | 22,600 | 570,753 | |
Nippon Express Co. Ltd. | 13,600 | 804,276 | |
Sankyu, Inc. | 38,480 | 1,881,452 | |
Tokyu Corp. | 101,900 | 1,727,341 | |
West Japan Railway Co. | 12,100 | 911,746 | |
67,020,445 | |||
Trading Companies & Distributors - 0.3% | |||
AerCap Holdings NV (a) | 21,633 | 976,514 | |
Ashtead Group PLC | 117,658 | 3,125,795 | |
Brenntag AG | 189,840 | 9,425,548 | |
Bunzl PLC | 67,040 | 2,110,036 | |
Daiichi Jitsugyo Co. Ltd. | 3,200 | 99,332 | |
Ferguson PLC | 20,046 | 1,388,160 | |
Ferguson PLC ADR | 20,500 | 141,655 | |
Finning International, Inc. | 60,960 | 1,136,326 | |
Hanwa Co. Ltd. | 17,500 | 520,455 | |
Indutrade AB | 56,508 | 1,610,319 | |
Japan Pulp & Paper Co. Ltd. | 2,800 | 107,890 | |
Marubeni Corp. | 265,800 | 1,898,989 | |
Mitsubishi Corp. | 217,700 | 6,147,477 | |
Mitsui & Co. Ltd. | 233,700 | 3,678,253 | |
MonotaRO Co. Ltd. | 87,800 | 2,068,477 | |
Nichiden Corp. | 3,600 | 51,094 | |
Ramirent Oyj | 45,534 | 310,238 | |
Rexel SA | 284,788 | 3,550,296 | |
Sumitomo Corp. | 275,700 | 3,966,606 | |
42,313,460 | |||
Transportation Infrastructure - 0.1% | |||
Aena Sme SA (c) | 44,579 | 7,955,832 | |
Airports of Thailand PCL (For. Reg.) | 940,100 | 2,014,500 | |
Astm SpA | 9,663 | 253,347 | |
China Merchants Holdings International Co. Ltd. | 3,778,582 | 7,942,495 | |
Kamigumi Co. Ltd. | 23,400 | 541,833 | |
Malaysia Airports Holdings Bhd | 1,554,200 | 3,122,541 | |
21,830,548 | |||
TOTAL INDUSTRIALS | 1,114,339,181 | ||
INFORMATION TECHNOLOGY - 5.3% | |||
Communications Equipment - 0.1% | |||
Icom, Inc. | 12,800 | 265,497 | |
Nokia Corp. | 1,167,770 | 7,061,841 | |
Telefonaktiebolaget LM Ericsson: | |||
(B Shares) | 825,132 | 7,521,280 | |
(B Shares) sponsored ADR | 392,502 | 3,559,993 | |
Tencent Music Entertainment Group ADR (a) | 90 | 1,541 | |
18,410,152 | |||
Electronic Equipment & Components - 0.9% | |||
Canon Electronics, Inc. | 22,700 | 369,016 | |
CMK Corp. | 16,100 | 100,097 | |
ESPEC Corp. | 15,100 | 281,233 | |
Halma PLC | 1,027,754 | 21,183,530 | |
Hexagon AB (B Shares) | 213,994 | 11,241,841 | |
Hioki EE Corp. | 8,900 | 349,724 | |
Hirose Electric Co. Ltd. | 136,990 | 14,072,000 | |
Hitachi High-Technologies Corp. | 4,700 | 178,572 | |
Hitachi Ltd. | 765,080 | 22,998,586 | |
Hitachi Ltd. sponsored ADR | 978 | 58,856 | |
Horiba Ltd. | 17,400 | 880,420 | |
Hosiden Corp. | 28,700 | 229,415 | |
Ingenico SA | 16,467 | 1,105,468 | |
Japan Aviation Electronics Industry Ltd. | 6,400 | 83,197 | |
Japan Cash Machine Co. Ltd. | 49,100 | 492,035 | |
Keyence Corp. | 23,700 | 13,805,598 | |
Kyocera Corp. | 115,000 | 6,354,188 | |
Nichicon Corp. | 44,900 | 401,206 | |
Nippon Signal Co. Ltd. | 86,700 | 780,934 | |
Oki Electric Industry Co. Ltd. | 39,700 | 468,128 | |
OMRON Corp. | 346,800 | 14,949,751 | |
Philips Lighting NV (c) | 48,519 | 1,288,638 | |
Renishaw PLC | 37,308 | 2,098,099 | |
Riken Kieki Co. Ltd. | 12,300 | 242,767 | |
Samsung SDI Co. Ltd. | 19,869 | 4,192,703 | |
Shimadzu Corp. | 109,700 | 2,701,534 | |
Spectris PLC | 308,798 | 10,808,664 | |
TDK Corp. | 12,300 | 964,858 | |
Topcon Corp. | 127,100 | 1,718,384 | |
V Technology Co. Ltd. | 2,800 | 367,757 | |
Yokogawa Electric Corp. | 391,800 | 7,560,335 | |
142,327,534 | |||
Internet Software & Services - 0.0% | |||
Scout24 AG (b)(c) | 125,877 | 6,629,178 | |
IT Services - 1.1% | |||
Amadeus IT Holding SA Class A | 764,806 | 57,589,273 | |
Capgemini SA | 82,695 | 9,895,262 | |
Cielo SA | 384,200 | 1,111,844 | |
Cognizant Technology Solutions Corp. Class A | 190,664 | 13,533,331 | |
Computershare Ltd. | 211,133 | 2,583,484 | |
EPAM Systems, Inc. (a) | 75,574 | 12,226,362 | |
Fujitsu Ltd. | 77,540 | 5,233,059 | |
Hexaware Technologies Ltd. | 275,588 | 1,379,885 | |
Ines Corp. | 12,700 | 148,346 | |
Information Services Inter-Dentsu Ltd. | 4,000 | 130,624 | |
IT Holdings Corp. | 77,100 | 3,582,990 | |
Kanematsu Electric Ltd. | 7,800 | 238,272 | |
MasterCard, Inc. Class A | 38,923 | 8,748,723 | |
Net One Systems Co. Ltd. | 15,100 | 352,760 | |
Nomura Research Institute Ltd. | 637,800 | 25,920,549 | |
NTT Data Corp. | 174,200 | 1,907,896 | |
OBIC Co. Ltd. | 187,300 | 17,862,100 | |
Otsuka Corp. | 35,300 | 1,268,349 | |
Wix.com Ltd. (a) | 24,201 | 2,643,959 | |
Worldline SA (a)(c) | 27,537 | 1,544,799 | |
167,901,867 | |||
Semiconductors & Semiconductor Equipment - 1.2% | |||
Advantest Corp. | 45,300 | 1,070,328 | |
Analog Devices, Inc. | 263,736 | 28,209,203 | |
ASML Holding NV (Netherlands) | 93,402 | 17,086,649 | |
Disco Corp. | 21,300 | 2,931,342 | |
Ferrotec Holdings Corp. | 37,000 | 348,208 | |
Hanmi Semiconductor Co. Ltd. | 55,629 | 409,248 | |
Infineon Technologies AG | 1,397,549 | 30,714,233 | |
Infineon Technologies AG sponsored ADR | 13,000 | 286,260 | |
Mellanox Technologies Ltd. (a) | 80,581 | 8,657,623 | |
NuFlare Technology, Inc. | 1,600 | 91,580 | |
NVIDIA Corp. | 12,329 | 1,901,872 | |
NXP Semiconductors NV | 106,600 | 9,734,712 | |
Renesas Electronics Corp. (a) | 294,700 | 1,723,809 | |
Sanken Electric Co. Ltd. | 4,800 | 93,533 | |
Silicon Motion Technology Corp. sponsored ADR | 80,653 | 3,313,225 | |
STMicroelectronics NV: | |||
(France) | 166,005 | 2,713,135 | |
(Italy) | 44,227 | 723,902 | |
(NY Shares) unit (b) | 75,139 | 1,229,274 | |
Sumco Corp. | 98,800�� | 1,259,659 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1,606,321 | 62,726,835 | |
Texas Instruments, Inc. | 163,527 | 17,297,886 | |
Tokyo Electron Ltd. | 12,900 | 1,763,483 | |
Tokyo Seimitsu Co. Ltd. | 22,000 | 565,666 | |
Wonik IPS Co. Ltd. (a) | 26,556 | 98,037 | |
194,949,702 | |||
Software - 1.6% | |||
Altium Ltd. | 11,031 | 258,220 | |
ANSYS, Inc. (a) | 126,455 | 22,415,413 | |
Aveva Group PLC | 69,337 | 2,768,150 | |
Bravura Solutions Ltd. | 100,148 | 363,725 | |
Cadence Design Systems, Inc. (a) | 833,937 | 47,742,893 | |
Check Point Software Technologies Ltd. (a) | 229,038 | 28,011,347 | |
Constellation Software, Inc. | 5,564 | 4,751,270 | |
Dassault Systemes SA | 231,505 | 33,876,808 | |
Descartes Systems Group, Inc. (Canada) (a) | 87,811 | 3,032,798 | |
Fukui Computer Holdings, Inc. | 8,900 | 154,422 | |
Haansoft, Inc. | 55,158 | 659,152 | |
Iress Ltd. | 104,798 | 892,062 | |
Micro Focus International PLC | 899,789 | 22,335,139 | |
Micro Focus International PLC sponsored ADR | 47,400 | 1,174,572 | |
NICE Systems Ltd. (a) | 2,026 | 238,129 | |
NICE Systems Ltd. sponsored ADR (a) | 16,994 | 2,000,024 | |
Oracle Corp. Japan | 2,500 | 186,381 | |
Rakus Co. Ltd. | 3,000 | 58,862 | |
Sage Group PLC | 126,839 | 1,112,020 | |
SAP SE | 632,994 | 67,747,213 | |
Software AG (Bearer) | 32,444 | 1,186,445 | |
Temenos Group AG | 54,972 | 7,969,990 | |
Trend Micro, Inc. | 28,800 | 1,424,636 | |
WiseTech Global Ltd. | 137,551 | 1,879,233 | |
252,238,904 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Brother Industries Ltd. | 16,900 | 308,541 | |
Canon, Inc. | 32,500 | 933,487 | |
Fujifilm Holdings Corp. | 11,800 | 528,618 | |
Logitech International SA (Reg.) | 88,276 | 3,319,471 | |
Melco Holdings, Inc. | 8,300 | 285,937 | |
Ricoh Co. Ltd. | 139,900 | 1,423,688 | |
Samsung Electronics Co. Ltd. | 1,355,985 | 54,335,783 | |
Seiko Epson Corp. | 117,100 | 1,734,492 | |
62,870,017 | |||
TOTAL INFORMATION TECHNOLOGY | 845,327,354 | ||
MATERIALS - 3.4% | |||
Chemicals - 2.6% | |||
Air Water, Inc. | 6,600 | 105,159 | |
Akzo Nobel NV | 616,453 | 55,905,438 | |
Arkema SA | 66,200 | 6,674,520 | |
BASF AG | 565,758 | 43,063,922 | |
Christian Hansen Holding A/S | 49,992 | 5,092,678 | |
Covestro AG (c) | 57,707 | 3,291,131 | |
Croda International PLC | 379,773 | 24,233,580 | |
Denki Kagaku Kogyo KK | 176,360 | 5,331,830 | |
Dic Corp. | 3,700 | 118,100 | |
Evonik Industries AG | 57,617 | 1,622,027 | |
Fujimi, Inc. | 11,900 | 253,555 | |
Givaudan SA | 24,760 | 61,946,516 | |
Hitachi Chemical Co. Ltd. | 67,200 | 1,219,023 | |
Israel Chemicals Ltd. | 48,979 | 274,328 | |
Johnson Matthey PLC | 295,903 | 12,139,126 | |
JSR Corp. | 27,000 | 447,154 | |
Kaneka Corp. | 7,000 | 273,494 | |
Kansai Paint Co. Ltd. | 652,000 | 11,973,660 | |
Kanto Denka Kogyo Co. Ltd. | 13,000 | 100,417 | |
Koninklijke DSM NV | 22,910 | 2,464,297 | |
Koninklijke DSM NV sponsored ADR | 10,412 | 280,187 | |
Kuraray Co. Ltd. | 560,300 | 7,532,702 | |
Linde PLC | 445,052 | 77,351,088 | |
Mitsubishi Chemical Holdings Corp. | 319,000 | 2,359,067 | |
Nitto Denko Corp. | 178,200 | 9,544,249 | |
Pidilite Industries Ltd. | 105,021 | 1,708,519 | |
Shin-Etsu Chemical Co. Ltd. | 85,600 | 7,156,543 | |
Shin-Etsu Polymer Co. Ltd. | 70,000 | 536,312 | |
Sika AG | 185,848 | 25,138,500 | |
Sumitomo Seika Chemicals Co. Ltd. | 4,100 | 157,431 | |
Symrise AG | 414,486 | 36,528,496 | |
Tokuyama Corp. | 5,100 | 128,144 | |
Tosoh Corp. | 101,500 | 1,500,720 | |
Victrex PLC | 96,215 | 2,993,842 | |
Wacker Chemie AG | 7,456 | 763,783 | |
410,209,538 | |||
Construction Materials - 0.1% | |||
Adelaide Brighton Ltd. | 63,978 | 216,022 | |
HeidelbergCement Finance AG | 192,899 | 14,193,503 | |
Imerys SA | 10,602 | 602,721 | |
Taiheiyo Cement Corp. | 18,400 | 629,599 | |
15,641,845 | |||
Containers & Packaging - 0.1% | |||
Smurfit Kappa Group PLC | 292,708 | 8,303,541 | |
Toyo Seikan Group Holdings Ltd. | 32,400 | 685,390 | |
8,988,931 | |||
Metals & Mining - 0.6% | |||
Anglo American PLC (United Kingdom) | 64,041 | 1,701,789 | |
ArcelorMittal SA (Netherlands) | 508,483 | 11,688,938 | |
BHP Billiton Ltd. | 1,059,966 | 27,995,184 | |
BHP Billiton PLC ADR | 262,126 | 12,154,783 | |
BlueScope Steel Ltd. | 18,275 | 174,487 | |
Boliden AB | 41,965 | 1,148,403 | |
Boryszew SA (a) | 18,823 | 22,584 | |
Glencore Xstrata PLC | 878,200 | 3,538,242 | |
Iluka Resources Ltd. | 109,979 | 715,385 | |
JFE Holdings, Inc. | 30,200 | 527,927 | |
Rio Tinto Ltd. | 100,975 | 6,887,615 | |
Rio Tinto PLC | 408,768 | 23,482,398 | |
Rio Tinto PLC sponsored ADR (b) | 175,902 | 10,237,496 | |
South32 Ltd. | 343,989 | 954,074 | |
Toho Zinc Co. Ltd. | 2,300 | 67,166 | |
101,296,471 | |||
Paper & Forest Products - 0.0% | |||
Altri SGPS SA | 22,800 | 186,205 | |
Hokuetsu Kishu Paper Co. Ltd. | 38,300 | 212,692 | |
Mondi Ltd. | 4,346 | 102,133 | |
Stora Enso Oyj (R Shares) | 110,889 | 1,485,232 | |
UPM-Kymmene Corp. | 202,331 | 6,103,350 | |
8,089,612 | |||
TOTAL MATERIALS | 544,226,397 | ||
REAL ESTATE - 1.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Big Yellow Group PLC | 174,417 | 2,268,269 | |
British Land Co. PLC | 1,129,100 | 9,048,389 | |
Goodman Group unit | 436,183 | 3,960,402 | |
Hammerson PLC | 340,043 | 1,721,528 | |
Link (REIT) | 433,500 | 4,901,191 | |
Scentre Group unit | 1,176,110 | 3,228,639 | |
Segro PLC | 691,861 | 6,065,665 | |
The GPT Group unit | 47,831 | 198,484 | |
Vicinity Centres unit | 370,539 | 646,591 | |
32,039,158 | |||
Real Estate Management & Development - 0.9% | |||
Big Shopping Centers Ltd. | 1,442 | 90,314 | |
Cheung Kong Property Holdings Ltd. | 1,230,100 | 10,209,372 | |
Deutsche Wohnen AG (Bearer) | 732,310 | 34,151,607 | |
DIC Asset AG | 26,410 | 294,393 | |
Dios Fastigheter AB | 48,915 | 383,704 | |
Fabege AB | 150,255 | 2,018,584 | |
Grand City Properties SA | 617,788 | 14,545,951 | |
Hang Lung Group Ltd. | 67,000 | 210,395 | |
Hongkong Land Holdings Ltd. | 131,200 | 940,704 | |
Hysan Development Co. Ltd. | 125,000 | 660,053 | |
Kerry Properties Ltd. | 92,000 | 384,420 | |
LEG Immobilien AG | 233,313 | 26,049,885 | |
Lendlease Group unit | 86,425 | 789,616 | |
Nexity | 32,852 | 1,604,561 | |
Savills PLC | 188,954 | 2,233,017 | |
Swire Pacific Ltd. (A Shares) | 189,500 | 2,253,553 | |
TAG Immobilien AG | 380,306 | 8,867,871 | |
Vonovia SE | 815,660 | 39,560,218 | |
145,248,218 | |||
TOTAL REAL ESTATE | 177,287,376 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.7% | |||
Chubu Electric Power Co., Inc. | 90,800 | 1,430,115 | |
CLP Holdings Ltd. | 867,000 | 10,271,792 | |
Companhia Paranaense de Energia-Copel | 10,400 | 90,041 | |
DONG Energy A/S (c) | 98,468 | 7,145,642 | |
EDF SA | 311,117 | 4,519,048 | |
Endesa SA | 73,126 | 1,842,374 | |
Enel SpA | 3,219,658 | 19,469,736 | |
Enel SpA ADR | 27,500 | 165,000 | |
Energias de Portugal SA | 573,921 | 2,105,301 | |
Iberdrola SA | 2,283,679 | 19,106,281 | |
Kansai Electric Power Co., Inc. | 195,500 | 2,927,312 | |
Kyushu Electric Power Co., Inc. | 73,600 | 874,233 | |
Red Electrica Corporacion SA | 22,037 | 476,112 | |
Scottish & Southern Energy PLC | 2,061,621 | 32,443,257 | |
Spark Infrastructure Group unit | 181,739 | 300,376 | |
Terna SpA | 325,280 | 2,023,104 | |
Tohoku Electric Power Co., Inc. | 119,900 | 1,570,484 | |
Tokyo Electric Power Co., Inc. (a) | 766,800 | 4,783,809 | |
111,544,017 | |||
Gas Utilities - 0.1% | |||
APA Group unit | 1,090,190 | 7,740,996 | |
China Resource Gas Group Ltd. | 1,550,000 | 6,733,335 | |
Gas Natural SDG SA | 153,887 | 4,178,175 | |
Rubis | 34,474 | 2,041,008 | |
Tokyo Gas Co. Ltd. | 64,500 | 1,778,068 | |
22,471,582 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Electric Power Development Co. Ltd. | 5,200 | 129,878 | |
Multi-Utilities - 0.5% | |||
E.ON AG | 1,516,167 | 16,675,937 | |
ENGIE | 1,428,884 | 21,535,014 | |
National Grid PLC sponsored ADR | 92,968 | 5,252,692 | |
RWE AG | 162,194 | 3,959,103 | |
Veolia Environnement SA | 1,150,234 | 25,250,840 | |
72,673,586 | |||
Water Utilities - 0.0% | |||
Companhia de Saneamento de Minas Gerais | 1,600 | 26,389 | |
TOTAL UTILITIES | 206,845,452 | ||
TOTAL COMMON STOCKS | |||
(Cost $5,645,755,618) | 6,831,708,002 | ||
Nonconvertible Preferred Stocks - 0.8% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telecom Italia SpA (Risparmio Shares) | 443,145 | 241,178 | |
CONSUMER DISCRETIONARY - 0.4% | |||
Automobiles - 0.4% | |||
Bayerische Motoren Werke AG (BMW) (non-vtg.) | 3,858 | 284,800 | |
Porsche Automobil Holding SE (Germany) | 29,119 | 1,936,287 | |
Volkswagen AG | 347,239 | 59,600,521 | |
61,821,608 | |||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 1,053,278 | 4,771,349 | |
Household Products - 0.3% | |||
Henkel AG & Co. KGaA | 391,741 | 39,140,257 | |
TOTAL CONSUMER STAPLES | 43,911,606 | ||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Banco do Brasil SA sponsored ADR | 5,200 | 70,252 | |
Itau Unibanco Holding SA | 1,072,800 | 10,062,097 | |
10,132,349 | |||
INDUSTRIALS - 0.0% | |||
Aerospace & Defense - 0.0% | |||
Embraer SA sponsored ADR | 395,300 | 8,111,556 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $107,799,001) | 124,218,297 | ||
Equity Funds - 52.9% | |||
Diversified Emerging Markets Funds - 0.0% | |||
Matthews Pacific Tiger Fund Investor Class | 19,976 | 565,715 | |
Europe Stock Funds - 0.7% | |||
WisdomTree Europe Hedged Equity ETF | 1,915,480 | 120,081,441 | |
Foreign Large Blend Funds - 20.8% | |||
Artisan International Value Fund Investor Class | 18,293,376 | 629,292,125 | |
Harbor International Fund Institutional Class | 9,619 | 355,240 | |
iShares MSCI EAFE Minimum Volatility ETF | 2,189,490 | 155,147,261 | |
Janus Henderson International Opportunities Fund | 4,903,035 | 113,603,321 | |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 35,911,586 | 527,182,080 | |
Oakmark International Fund Investor Class | 25,643,842 | 585,705,359 | |
T. Rowe Price Overseas Stock Fund I Class | 126,877,223 | 1,294,147,662 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 3,305,433,048 | ||
Foreign Large Growth Funds - 17.5% | |||
American Funds EuroPacific Growth Fund Class F-1 | 933,690 | 46,441,749 | |
Fidelity Diversified International Fund (d) | 18,946,541 | 655,929,252 | |
Fidelity International Discovery Fund (d) | 26,026,093 | 1,037,139,792 | |
Fidelity Overseas Fund (d) | 10,668,968 | 480,316,918 | |
JOHCM International Select Fund Class II Shares | 19,308,367 | 429,997,332 | |
Oppenheimer International Growth Fund Class I | 3,371,327 | 128,986,988 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 2,778,812,031 | ||
Foreign Large Value Funds - 5.1% | |||
Dodge & Cox International Stock Fund | 67 | 2,744 | |
iShares MSCI EAFE Value ETF (b) | 10,115,375 | 495,653,375 | |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 15,000,070 | 314,401,472 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 810,057,591 | ||
Foreign Small Mid Blend Funds - 0.6% | |||
Franklin International Small Cap Growth Fund | 543,980 | 9,465,257 | |
iShares MSCI EAFE Small-Cap ETF (b) | 690,822 | 39,480,477 | |
Victory Trivalent International Small Cap Fund Class Y | 3,457,706 | 44,051,174 | |
TOTAL FOREIGN SMALL MID BLEND FUNDS | 92,996,908 | ||
Foreign Small Mid Growth Funds - 0.6% | |||
Fidelity International Small Cap Opportunities Fund (d) | 2,860,136 | 50,738,821 | |
Oberweis International Opportunities Fund | 573,914 | 10,479,661 | |
T. Rowe Price International Discovery Fund | 482,951 | 29,696,670 | |
Wasatch International Growth Fund Investor Class | 88 | 2,420 | |
TOTAL FOREIGN SMALL MID GROWTH FUNDS | 90,917,572 | ||
Foreign Small Mid Value Funds - 0.5% | |||
Brandes International Small Cap Equity Fund Class A | 727,206 | 8,071,988 | |
Segall Bryant & Hamill International Small Cap Fund Class I | 2,448,180 | 27,933,729 | |
Transamerica International Small Cap Value Fund | 3,822,519 | 44,799,923 | |
TOTAL FOREIGN SMALL MID VALUE FUNDS | 80,805,640 | ||
Sector Funds - 0.0% | |||
SPDR Dow Jones International Real Estate ETF (b) | 201,575 | 7,702,181 | |
Victory Global Natural Resources Fund Class A (a) | 68 | 959 | |
TOTAL SECTOR FUNDS | 7,703,140 | ||
Other - 7.1% | |||
Fidelity Advisor Japan Fund Class I (d) | 3,376,087 | 48,109,242 | |
Fidelity Japan Smaller Companies Fund (d) | 6,397,352 | 104,404,790 | |
iShares MSCI Australia ETF (b) | 5,784,157 | 123,086,861 | |
iShares MSCI Japan ETF | 15,785,258 | 858,086,625 | |
Matthews Japan Fund Investor Class | 165 | 3,354 | |
TOTAL OTHER | 1,133,690,872 | ||
TOTAL EQUITY FUNDS | |||
(Cost $7,186,091,148) | 8,421,063,958 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 2.35% to 2.41% 3/7/19 to 5/30/19 (e) | |||
(Cost $16,152,937) | 16,180,000 | 16,153,023 | |
Shares | |||
Money Market Funds - 3.7% | |||
Fidelity Securities Lending Cash Central Fund 2.45% (f)(g) | 96,929,228 | 96,938,921 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35% (h) | 490,894,721 | 490,894,721 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $587,833,642) | 587,833,642 | ||
TOTAL INVESTMENT IN SECURITIES - 100.5% | |||
(Cost $13,543,632,346) | 15,980,976,922 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (76,015,444) | ||
NET ASSETS - 100% | $15,904,961,478 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 1,179 | March 2019 | $126,683,550 | $(417,437) | $(417,437) |
ICE E-mini MSCI EAFE Index Contracts (United States) | 2,022 | March 2019 | 188,955,900 | 13,131,380 | 13,131,380 |
TOTAL FUTURES CONTRACTS | $12,713,943 |
The notional amount of futures purchased as a percentage of Net Assets is 2.0%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $480,864,917.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $41,022,849 or 0.3% of net assets.
(d) Affiliated Fund
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $16,153,023.
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(g) Investment made with cash collateral received from securities on loan.
(h) The rate quoted is the annualized seven-day yield of the fund at period end.
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 Securities Lending Cash Central Fund | $2,755,218 |
Total | $2,755,218 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Japan Fund Class I | $53,683,410 | $141,361 | $-- | $141,361 | $-- | $(5,715,529) | $48,109,242 |
Fidelity Diversified International Fund | 734,987,321 | 63,750,727 | 48,254,205 | 41,702,476 | 170,455 | (94,725,046) | 655,929,252 |
Fidelity International Discovery Fund | 1,226,165,920 | 20,000,000 | 50,514,136 | 36,946,352 | (3,349,451) | (155,162,541) | 1,037,139,792 |
Fidelity International Small Cap Opportunities Fund | 21,702,707 | 34,346,160 | -- | 1,293,648 | -- | (5,310,046) | 50,738,821 |
Fidelity Japan Smaller Companies Fund | 117,656,789 | 5,111,020 | -- | 5,111,020 | -- | (18,363,019) | 104,404,790 |
Fidelity Overseas Fund | 504,168,911 | 54,195,438 | 23,780,806 | 24,175,618 | 1,077,155 | (55,343,780) | 480,316,918 |
Fidelity SAI International Index Fund | 100,977,995 | 97,432,620 | 194,261,559 | -- | (3,171,061) | (977,995) | -- |
Total | $2,759,343,053 | $274,977,326 | $316,810,706 | $109,370,475 | $(5,272,902) | $(335,597,956) | $2,376,638,815 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $399,294,905 | $111,170,063 | $288,124,842 | $-- |
Consumer Discretionary | 522,286,279 | 334,459,413 | 187,826,866 | -- |
Consumer Staples | 920,399,125 | 387,280,183 | 533,118,942 | -- |
Energy | 307,585,252 | 118,854,540 | 188,730,712 | -- |
Financials | 1,154,346,295 | 601,408,547 | 552,937,748 | -- |
Health Care | 755,877,127 | 284,289,759 | 471,587,368 | -- |
Industrials | 1,122,450,737 | 646,346,402 | 476,104,335 | -- |
Information Technology | 845,327,354 | 644,890,278 | 200,437,076 | -- |
Materials | 544,226,397 | 392,422,182 | 151,804,215 | -- |
Real Estate | 177,287,376 | 177,287,376 | -- | -- |
Utilities | 206,845,452 | 107,754,825 | 99,090,627 | -- |
Equity Funds | 8,421,063,958 | 8,421,063,958 | -- | -- |
Other Short-Term Investments | 16,153,023 | -- | 16,153,023 | -- |
Money Market Funds | 587,833,642 | 587,833,642 | -- | -- |
Total Investments in Securities: | $15,980,976,922 | $12,815,061,168 | $3,165,915,754 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $13,131,380 | $13,131,380 | $-- | $-- |
Total Assets | $13,131,380 | $13,131,380 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(417,437) | $(417,437) | $-- | $-- |
Total Liabilities | $(417,437) | $(417,437) | $-- | $-- |
Total Derivative Instruments: | $12,713,943 | $12,713,943 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $13,131,380 | $(417,437) |
Total Equity Risk | 13,131,380 | (417,437) |
Total Value of Derivatives | $13,131,380 | $(417,437) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $94,477,790) — See accompanying schedule: Unaffiliated issuers (cost $11,617,735,644) | $13,507,399,186 | |
Fidelity Central Funds (cost $96,938,921) | 96,938,921 | |
Other affiliated issuers (cost $1,828,957,781) | 2,376,638,815 | |
Total Investment in Securities (cost $13,543,632,346) | $15,980,976,922 | |
Cash | 1,084,533 | |
Foreign currency held at value (cost $1,978,107) | 1,981,823 | |
Receivable for investments sold | 23,127,773 | |
Receivable for fund shares sold | 4,500,049 | |
Dividends receivable | 26,627,590 | |
Interest receivable | 1,045,467 | |
Distributions receivable from Fidelity Central Funds | 50,041 | |
Prepaid expenses | 8,434 | |
Other receivables | 523,092 | |
Total assets | 16,039,925,724 | |
Liabilities | ||
Payable for investments purchased | $25,860,110 | |
Payable for fund shares redeemed | 8,542,870 | |
Accrued management fee | 2,076,437 | |
Payable for daily variation margin on futures contracts | 888,953 | |
Other affiliated payables | 167,075 | |
Other payables and accrued expenses | 450,420 | |
Collateral on securities loaned | 96,978,381 | |
Total liabilities | 134,964,246 | |
Net Assets | $15,904,961,478 | |
Net Assets consist of: | ||
Paid in capital | $13,334,065,418 | |
Total distributable earnings (loss) | 2,570,896,060 | |
Net Assets, for 1,585,106,901 shares outstanding | $15,904,961,478 | |
Net Asset Value, offering price and redemption price per share ($15,904,961,478 ÷ 1,585,106,901 shares) | $10.03 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $322,450,516 | |
Affiliated issuers | 28,665,640 | |
Interest | 12,855,779 | |
Income from Fidelity Central Funds | 2,755,218 | |
Income before foreign taxes withheld | 366,727,153 | |
Less foreign taxes withheld | (18,505,454) | |
Total income | 348,221,699 | |
Expenses | ||
Management fee | $65,637,532 | |
Transfer agent fees | 4,077,104 | |
Accounting and security lending fees | 2,085,931 | |
Custodian fees and expenses | 826,193 | |
Independent trustees' fees and expenses | 192,426 | |
Registration fees | 141,342 | |
Audit | 92,227 | |
Legal | 78,170 | |
Miscellaneous | 166,274 | |
Total expenses before reductions | 73,297,199 | |
Expense reductions | (40,689,470) | |
Total expenses after reductions | 32,607,729 | |
Net investment income (loss) | 315,613,970 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $5,729) | 300,614,160 | |
Fidelity Central Funds | (23,464) | |
Other affiliated issuers | (5,272,902) | |
Foreign currency transactions | (2,517,000) | |
Futures contracts | (59,641,173) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 146,763,757 | |
Affiliated issuers | 80,704,835 | |
Total net realized gain (loss) | 460,628,213 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $574,410) | (1,566,763,515) | |
Affiliated issuers | (335,597,956) | |
Assets and liabilities in foreign currencies | (788,324) | |
Futures contracts | 22,174,726 | |
Total change in net unrealized appreciation (depreciation) | (1,880,975,069) | |
Net gain (loss) | (1,420,346,856) | |
Net increase (decrease) in net assets resulting from operations | $(1,104,732,886) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $315,613,970 | $286,557,081 |
Net realized gain (loss) | 460,628,213 | 923,776,139 |
Change in net unrealized appreciation (depreciation) | (1,880,975,069) | 1,981,363,958 |
Net increase (decrease) in net assets resulting from operations | (1,104,732,886) | 3,191,697,178 |
Distributions to shareholders | (960,064,898) | – |
Distributions to shareholders from net investment income | – | (263,492,159) |
Distributions to shareholders from net realized gain | – | (262,028,313) |
Total distributions | (960,064,898) | (525,520,472) |
Share transactions | ||
Proceeds from sales of shares | 3,180,693,103 | 2,233,592,535 |
Reinvestment of distributions | 956,581,738 | 523,550,552 |
Cost of shares redeemed | (3,424,072,564) | (4,308,136,370) |
Net increase (decrease) in net assets resulting from share transactions | 713,202,277 | (1,550,993,283) |
Total increase (decrease) in net assets | (1,351,595,507) | 1,115,183,423 |
Net Assets | ||
Beginning of period | 17,256,556,985 | 16,141,373,562 |
End of period | $15,904,961,478 | $17,256,556,985 |
Other Information | ||
Undistributed net investment income end of period | $19,975,607 | |
Shares | ||
Sold | 299,093,781 | 201,062,318 |
Issued in reinvestment of distributions | 97,266,318 | 45,685,039 |
Redeemed | (320,961,245) | (387,878,965) |
Net increase (decrease) | 75,398,854 | (141,131,608) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.43 | $9.78 | $8.74 | $10.45 | $10.77 |
Income from Investment Operations | |||||
Net investment income (loss)B | .21 | .19 | .17 | .16 | .17 |
Net realized and unrealized gain (loss) | (.98) | 1.82 | 1.07 | (1.54) | (.10) |
Total from investment operations | (.77) | 2.01 | 1.24 | (1.38) | .07 |
Distributions from net investment income | (.18) | (.18) | (.18) | (.16) | (.18) |
Distributions from net realized gain | (.44) | (.18) | (.02) | (.17) | (.21) |
Total distributions | (.63)C | (.36) | (.20) | (.33) | (.39) |
Net asset value, end of period | $10.03 | $11.43 | $9.78 | $8.74 | $10.45 |
Total ReturnD | (6.57)% | 20.53% | 14.33% | (13.60)% | .85% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .45% | .50% | .48% | .45% | .41% |
Expenses net of fee waivers, if any | .20% | .25% | .23% | .20% | .16% |
Expenses net of all reductions | .20% | .24% | .22% | .20% | .16% |
Net investment income (loss) | 1.95% | 1.68% | 1.81% | 1.57% | 1.63% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $15,904,961 | $17,256,557 | $16,141,374 | $18,533,655 | $24,528,266 |
Portfolio turnover rateG | 39% | 33% | 28% | 28% | 20% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.63 per share is comprised of distributions from net investment income of $.184 and distributions from net realized gain of $.444 per share.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers International Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $272,563 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, deferred trustees compensation and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $2,889,035,912 |
Gross unrealized depreciation | (513,021,624) |
Net unrealized appreciation (depreciation) | $2,376,014,288 |
Tax Cost | $13,604,962,634 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $33,649,570 |
Undistributed long-term capital gain | $161,634,420 |
Net unrealized appreciation (depreciation) on securities and other investments | $2,375,884,632 |
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $289,252,335 | $273,739,076 |
Long-term Capital Gains | 670,812,563 | 251,781,396 |
Total | $960,064,898 | $ 525,520,472 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $6,537,344,279 and $5,987,034,105, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .41% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. Arrowstreet Capital, Limited Partnership, Causeway Capital Management, LLC, Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley LLC and William Blair Investment Management, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), FIL Investment Advisors and Geode Capital Management, LLC, have been retained to serve as a sub-adviser for the Fund. As of the date of this report, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .03% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. For the period, the fees were equivalent to an annual rate of .01%.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $3,182 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1,382.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $44,847 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. 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 $2,755,218.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $40,403,749.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $244,578 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $41,143.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets.
At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity International Discovery Fund | 11% |
Fidelity Japan Smaller Companies Fund | 15% |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers International Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 15, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .18% | $1,000.00 | $952.00 | $.87 |
Hypothetical-C | $1,000.00 | $1,023.90 | $.90 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers International Fund voted to pay on April 8, 2019, to shareholders of record at the opening of business on April 5, 2019, a distribution of $ $0.105 per share derived from capital gains realized from sales of portfolio securities and a dividend of $ $0.022 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2019, $492,917,183, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 1% of the dividend distributed during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 68% and 98% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The 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 | |
Strategic Advisers International Fund | |||
04/09/2018 | $0.0175 | $0.0005 | |
12/31/2018 | $0.1872 | $0.0172 | |
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers International Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreements with Arrowstreet Capital, Limited Partnership, Causeway Capital Management LLC, FIAM LLC (FIAM), FIL Investment Advisors (FIL), Geode Capital Management, LLC, Massachusetts Financial Services Company (MFS), , and William Blair Investment Management, LLC (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreement with FIL Investment Advisors (UK) Limited (the Sub-Sub-Advisory Agreement and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund. The Board also approved amendments to the sub-advisory agreement with FIAM to: (i) remove a mandate that FIAM no longer offers; (ii) consolidate the fund's separate, mandate-specific sub-advisory agreements with FIAM into a single sub-advisory agreement; and (iii) implement a new fee schedule for two of FIAM's existing mandates, effective September 1, 2018, which is expected to decrease the fund's total management fee. In addition, the Board approved an amendment to the sub-advisory agreement with FIL to implement a new fee schedule, effective September 1, 2018, which, if funded, is expected to result in lower fees at all asset levels. The Board noted that the other terms of the amended sub-advisory agreements with FIAM and FIL are not materially different from those of the existing sub-advisory agreements with FIAM and FIL. The Board also noted that the amended sub-advisory agreements with FIAM and FIL would not result in changes to the nature, extent, and quality of the services provided to the fund.
The Board also approved amendments to the sub-advisory agreement with MFS to reflect that MFS pays for research services provided by brokers or other third-parties out of its own resources, consistent with the Markets in Financial Instruments Directive II. The Board noted that the other terms of the amended sub-advisory agreement with MFS are not materially different from those of the existing sub-advisory agreement with MFS. The Board also noted that the amended sub-advisory agreement with MFS would not result in changes to the nature, extent, and quality of the services provided to the fund. Finally, in connection with a potential change in control of the parent company of Thompson, Siegel & Walmsley, LLC (TSW), the Board approved a new sub-advisory agreement with TSW. The Board noted that the other terms of the new sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with TSW. The Board also noted that the new sub-advisory agreement would not result in changes to the nature, extent, and quality of the services provided to the fund.
In reaching its determination to renew the fund's Advisory Contracts, approve the amendments to the Advisory Contracts described above (Amendments), and approve the new sub-advisory agreement with TS&W, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments and the new sub-advisory agreement with TS&W, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments and the new sub-advisory agreement with TS&W is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements and the new sub-advisory agreement with TS&W, the Board also concluded that the renewal of such agreements and the approval of the amendments thereto do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments and the new sub-advisory agreement with TS&W was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers International Fund
Strategic Advisers International Fund
SIT-ANN-0419
1.912865.108
Strategic Advisers® Small-Mid Cap Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Small-Mid Cap Fund | 2.64% | 6.81% | 15.84% |
Prior to May 1, 2010, the fund was named PAS® Small Cap Fund of Funds, and the fund operated under certain different investment policies and compared its performance to a different index. The fund's historical performance may not represent its current investment policies.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Small-Mid Cap Fund on February 28, 2009.
The chart shows how the value of your investment would have changed, and also shows how the Russell 2500™ Index performed over the same period.
Period Ending Values | ||
$43,503 | Strategic Advisers® Small-Mid Cap Fund | |
$49,502 | Russell 2500™ Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 4.68% for the 12 months ending February 28, 2019, as the U.S. equity bellwether began the new year on a high note after enduring a final quarter of 2018 in which resurgent volatility upset the aging bull market. In October, rising U.S. Treasury yields and concern about peaking corporate earnings growth sent many investors fleeing from risk assets as they were still dealing with lingering uncertainty related to global trade and the U.S. Federal Reserve picking up the pace of interest rate hikes. The index returned -6.84% in October, at the time its largest monthly drop in seven years. But conditions worsened through Christmas, as jitters about the economy and another hike in rates led to a spike in market volatility and a -9.03% result for December. Sharply reversing course to begin 2019, the S&P 500® gained 11.48% year-to-date, its strongest two-month opening since 1991, amid upbeat company earnings/outlooks and signs the Fed may pause on rates. For the full period, some economically sensitive sectors fared worst, with financials (-6%) and materials (-6%) both losing ground. Energy gained 1%, while communication services and industrials each rose roughly 2%. In contrast, the defensive utilities (+20%), real estate (+20%) and health care (+11%) sectors led the way, while consumer staples finished near the index. Information technology and consumer discretionary were rattled in the late-2018 downturn, but earlier strength contributed to advances of 9% and roughly 7%, respectively.Comments from Portfolio Manager Barry Golden: For the fiscal year, the Fund gained 2.64%, trailing the 6.36% advance of its small-to-mid-cap benchmark, the Russell 2500® Index. During a period in which growth stocks and strategies largely outperformed their value-oriented counterparts, the Fund's underlying managers with a value emphasis hampered relative performance most. More specifically, sub-adviser LSV Asset Management was the biggest relative detractor, as this manager’s deep-value strategy was out of favor this period. LSV was also hurt by security selection among financials stocks, adverse positioning in information technology and security selection within the materials sector. Value-oriented sub-adviser Boston Partners Global Investors was another relative detractor, due to weak picks in technology, as well as poor positioning in materials and real estate investment trusts (REITs). On the plus side, the U.S. SMID-Cap Growth strategy managed by sub-adviser AllianceBernstein (AB) - an aggressive-growth approach - outpaced the benchmark by a substantial margin and was the leading relative contributor. In term of positioning changes during the fiscal year, we hired Geode Capital Holdings as a sub-adviser, to manage a U.S. Small-Mid Cap Quality Focus Index strategy. Also, we added a second investment strategy managed by sub-adviser AB: U.S. SMID-Cap Value. Lastly, we shifted assets from value-oriented sub-adviser Systematic Financial Management to managers in which we currently have higher conviction.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Small-Mid Cap 500 Index Fund | 2.1 |
Fidelity Small Cap Index Fund Institutional Premium Class | 2.1 |
Fidelity SAI Real Estate Index Fund | 1.2 |
Skechers U.S.A., Inc. Class A (sub. vtg.) | 0.8 |
SS&C Technologies Holdings, Inc. | 0.6 |
Euronet Worldwide, Inc. | 0.6 |
Ciena Corp. | 0.5 |
Toro Co. | 0.5 |
Grand Canyon Education, Inc. | 0.5 |
Pool Corp. | 0.4 |
9.3 |
Top Five Market Sectors as of February 28, 2019
(stocks only) | % of fund's net assets |
Information Technology | 19.3 |
Industrials | 16.3 |
Financials | 14.2 |
Consumer Discretionary | 12.7 |
Health Care | 11.1 |
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Common Stocks | 92.4% | |
Mid-Cap Blend Funds | 2.1% | |
Small Blend Funds | 2.1% | |
Sector Funds | 1.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.2% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Common Stocks - 92.4% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 3.0% | |||
Diversified Telecommunication Services - 0.5% | |||
Bandwidth, Inc. (a) | 399,262 | $22,246,879 | |
Ooma, Inc. (a) | 215,315 | 3,511,788 | |
Pareteum Corp. (a)(b) | 710,279 | 2,855,322 | |
Vonage Holdings Corp. (a) | 539,824 | 5,549,391 | |
Zayo Group Holdings, Inc. (a) | 36,211 | 898,033 | |
35,061,413 | |||
Entertainment - 0.7% | |||
Cinemark Holdings, Inc. | 708,119 | 26,646,518 | |
Live Nation Entertainment, Inc. (a) | 311,356 | 17,610,295 | |
Nintendo Co. Ltd. ADR (b) | 244,474 | 8,373,235 | |
Take-Two Interactive Software, Inc. (a) | 60,662 | 5,293,366 | |
57,923,414 | |||
Interactive Media & Services - 0.6% | |||
Alphabet, Inc. Class C (a) | 7,245 | 8,113,820 | |
Care.com, Inc. (a) | 565,056 | 14,233,761 | |
Facebook, Inc. Class A (a) | 27,289 | 4,405,809 | |
IAC/InterActiveCorp (a) | 35,920 | 7,652,756 | |
Match Group, Inc. (b) | 94,855 | 5,253,070 | |
QuinStreet, Inc. (a) | 417,443 | 5,589,562 | |
Yelp, Inc. (a) | 91,760 | 3,418,978 | |
48,667,756 | |||
Media - 1.0% | |||
Altice U.S.A., Inc. Class A | 202,601 | 4,418,728 | |
AMC Networks, Inc. Class A (a) | 148,057 | 9,728,825 | |
Criteo SA sponsored ADR (a) | 729,128 | 19,788,534 | |
Discovery Communications, Inc. Class A (a)(b) | 200,258 | 5,787,456 | |
Entercom Communications Corp. Class A (b) | 1,133,017 | 6,979,385 | |
National CineMedia, Inc. | 1,038,276 | 8,036,256 | |
Nexstar Broadcasting Group, Inc. Class A | 31,255 | 3,054,551 | |
Scholastic Corp. | 101,612 | 4,299,204 | |
Sinclair Broadcast Group, Inc. Class A | 128,616 | 4,643,038 | |
Sirius XM Holdings, Inc. (b) | 1,267,773 | 7,517,894 | |
TechTarget, Inc. (a) | 319,943 | 5,304,655 | |
Tegna, Inc. | 73,021 | 961,687 | |
80,520,213 | |||
Wireless Telecommunication Services - 0.2% | |||
Boingo Wireless, Inc. (a) | 701,214 | 15,686,157 | |
TOTAL COMMUNICATION SERVICES | 237,858,953 | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 1.0% | |||
BorgWarner, Inc. | 133,700 | 5,429,557 | |
Cooper Tire & Rubber Co. | 78,500 | 2,508,860 | |
Cooper-Standard Holding, Inc. (a) | 121,182 | 7,284,250 | |
Dana Holding Corp. | 297,243 | 5,870,549 | |
Delphi Technologies PLC | 315,113 | 6,872,615 | |
Dorman Products, Inc. (a) | 18,104 | 1,464,614 | |
Gentex Corp. | 232,492 | 4,728,887 | |
LCI Industries | 151,968 | 12,382,353 | |
Lear Corp. | 81,916 | 12,456,966 | |
Standard Motor Products, Inc. | 36,758 | 1,812,169 | |
Stoneridge, Inc. (a) | 171,652 | 5,075,750 | |
The Goodyear Tire & Rubber Co. | 208,800 | 4,130,064 | |
Tower International, Inc. | 91,500 | 2,346,975 | |
Visteon Corp. (a) | 87,732 | 7,515,123 | |
79,878,732 | |||
Automobiles - 0.3% | |||
Harley-Davidson, Inc. | 131,000 | 4,862,720 | |
Thor Industries, Inc. | 247,221 | 15,963,060 | |
20,825,780 | |||
Distributors - 0.5% | |||
LKQ Corp. (a) | 415,721 | 11,515,472 | |
Pool Corp. | 209,417 | 33,410,388 | |
44,925,860 | |||
Diversified Consumer Services - 1.7% | |||
Adtalem Global Education, Inc. (a) | 87,471 | 4,216,102 | |
American Public Education, Inc. (a) | 13,192 | 426,234 | |
Bright Horizons Family Solutions, Inc. (a) | 234,488 | 29,076,512 | |
Chegg, Inc. (a) | 168,009 | 6,658,197 | |
Frontdoor, Inc. (a) | 366,121 | 11,715,872 | |
Grand Canyon Education, Inc. (a) | 319,375 | 36,945,300 | |
Houghton Mifflin Harcourt Co. (a) | 485,313 | 3,838,826 | |
ServiceMaster Global Holdings, Inc. (a) | 467,100 | 21,094,236 | |
Sotheby's Class A (Ltd. vtg.) (a) | 177,215 | 7,774,422 | |
Strategic Education, Inc. | 81,495 | 10,657,916 | |
Weight Watchers International, Inc. (a) | 100,642 | 2,035,988 | |
134,439,605 | |||
Hotels, Restaurants & Leisure - 2.2% | |||
BJ's Restaurants, Inc. | 15,380 | 735,779 | |
Bloomin' Brands, Inc. | 460,154 | 9,515,985 | |
Brinker International, Inc. (b) | 42,806 | 1,959,231 | |
Carrols Restaurant Group, Inc. (a) | 395,589 | 4,228,846 | |
Cedar Fair LP (depositary unit) | 138,842 | 7,358,626 | |
Chipotle Mexican Grill, Inc. (a) | 8,130 | 4,939,219 | |
Churchill Downs, Inc. | 32,213 | 3,021,579 | |
Cracker Barrel Old Country Store, Inc. (b) | 20,723 | 3,356,919 | |
Dave & Buster's Entertainment, Inc. | 239,794 | 12,308,626 | |
Denny's Corp. (a) | 59,135 | 1,032,497 | |
Domino's Pizza, Inc. | 26,300 | 6,599,722 | |
Eldorado Resorts, Inc. (a) | 78,570 | 3,787,860 | |
Extended Stay America, Inc. unit | 185,754 | 3,388,153 | |
Fiesta Restaurant Group, Inc. (a) | 146,578 | 2,208,930 | |
Hilton Grand Vacations, Inc. (a) | 336,694 | 10,703,502 | |
Hyatt Hotels Corp. Class A | 30,829 | 2,243,426 | |
Jack in the Box, Inc. | 46,106 | 3,713,377 | |
Marriott International, Inc. Class A | 39,429 | 4,939,271 | |
Norwegian Cruise Line Holdings Ltd. (a) | 260,241 | 14,451,183 | |
Papa John's International, Inc. (b) | 22,896 | 1,000,784 | |
Penn National Gaming, Inc. (a) | 244,643 | 6,079,379 | |
Planet Fitness, Inc. (a) | 206,421 | 12,133,426 | |
Red Lion Hotels Corp. (a) | 319,919 | 2,552,954 | |
Ruth's Hospitality Group, Inc. | 24,052 | 611,402 | |
Six Flags Entertainment Corp. | 108,186 | 6,027,042 | |
Texas Roadhouse, Inc. Class A | 55,320 | 3,502,309 | |
The Cheesecake Factory, Inc. (b) | 108,269 | 5,121,124 | |
U.S. Foods Holding Corp. (a) | 344,483 | 12,139,581 | |
Vail Resorts, Inc. | 84,161 | 17,538,311 | |
Wingstop, Inc. | 63,711 | 4,243,790 | |
Wyndham Destinations, Inc. | 126,783 | 5,709,038 | |
177,151,871 | |||
Household Durables - 1.1% | |||
Beazer Homes U.S.A., Inc. (a) | 201,100 | 2,437,332 | |
Cavco Industries, Inc. (a) | 21,470 | 2,972,092 | |
D.R. Horton, Inc. | 213,745 | 8,312,543 | |
Ethan Allen Interiors, Inc. | 20,323 | 408,086 | |
Garmin Ltd. | 99,094 | 8,320,923 | |
Helen of Troy Ltd. (a) | 24,029 | 2,693,891 | |
iRobot Corp. (a)(b) | 17,253 | 2,157,660 | |
KB Home | 268,694 | 6,128,910 | |
La-Z-Boy, Inc. | 147,930 | 5,090,271 | |
Leggett & Platt, Inc. | 107,914 | 4,901,454 | |
Lennar Corp. Class A | 138,958 | 6,667,205 | |
LGI Homes, Inc. (a) | 71,700 | 4,237,470 | |
M.D.C. Holdings, Inc. | 213,386 | 6,154,052 | |
PulteGroup, Inc. | 155,000 | 4,185,000 | |
Sonos, Inc. (b) | 268,576 | 2,774,390 | |
Taylor Morrison Home Corp. (a) | 367,604 | 6,164,719 | |
Toll Brothers, Inc. | 158,280 | 5,634,768 | |
TopBuild Corp. (a) | 23,001 | 1,368,560 | |
Whirlpool Corp. | 39,900 | 5,646,249 | |
William Lyon Homes, Inc. (a) | 100,530 | 1,422,500 | |
87,678,075 | |||
Internet & Direct Marketing Retail - 0.8% | |||
Etsy, Inc. (a) | 131,381 | 9,363,524 | |
Expedia, Inc. | 7,226 | 891,038 | |
GrubHub, Inc. (a)(b) | 260,378 | 21,241,637 | |
Liberty Interactive Corp. QVC Group Series A (a) | 79,588 | 1,433,380 | |
NutriSystem, Inc. | 25,313 | 1,095,547 | |
PetMed Express, Inc. (b) | 17,695 | 407,870 | |
Shutterfly, Inc. (a) | 106,305 | 4,763,527 | |
Shutterstock, Inc. | 403,311 | 18,685,399 | |
Stamps.com, Inc. (a) | 33,970 | 3,192,840 | |
Wayfair LLC Class A (a) | 41,650 | 6,900,572 | |
67,975,334 | |||
Leisure Products - 0.5% | |||
Brunswick Corp. | 479,630 | 25,295,686 | |
Polaris Industries, Inc. | 208,081 | 17,734,744 | |
Sturm, Ruger & Co., Inc. | 16,355 | 931,417 | |
43,961,847 | |||
Multiline Retail - 0.3% | |||
Dillard's, Inc. Class A (b) | 46,400 | 3,644,256 | |
Dollar Tree, Inc. (a) | 19,289 | 1,858,109 | |
Kohl's Corp. | 96,200 | 6,496,386 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 107,971 | 9,525,202 | |
Tuesday Morning Corp. (a)(b) | 840,456 | 2,311,254 | |
23,835,207 | |||
Specialty Retail - 2.4% | |||
Aaron's, Inc. Class A | 384,835 | 20,892,692 | |
Advance Auto Parts, Inc. | 37,712 | 6,101,047 | |
America's Car Mart, Inc. (a) | 86,920 | 7,092,672 | |
American Eagle Outfitters, Inc. | 171,000 | 3,488,400 | |
Bed Bath & Beyond, Inc. (b) | 131,103 | 2,193,353 | |
Burlington Stores, Inc. (a) | 73,771 | 12,521,890 | |
Conn's, Inc. (a) | 204,108 | 4,814,908 | |
DSW, Inc. Class A | 61,600 | 1,823,976 | |
Five Below, Inc. (a) | 77,564 | 9,334,827 | |
Foot Locker, Inc. | 272,892 | 16,242,532 | |
Gap, Inc. | 457,639 | 11,624,031 | |
Group 1 Automotive, Inc. | 75,582 | 4,699,689 | |
Haverty Furniture Companies, Inc. | 104,300 | 2,540,748 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 75,850 | 6,846,980 | |
Michaels Companies, Inc. (a) | 354,418 | 5,011,471 | |
Monro, Inc. | 26,340 | 2,010,005 | |
Office Depot, Inc. | 995,000 | 3,452,650 | |
Penske Automotive Group, Inc. | 90,200 | 4,008,488 | |
Ross Stores, Inc. | 39,974 | 3,790,734 | |
Sally Beauty Holdings, Inc. (a) | 1,381,415 | 24,962,169 | |
Shoe Carnival, Inc. (b) | 11,434 | 436,093 | |
Signet Jewelers Ltd. | 207,346 | 5,828,496 | |
Sleep Number Corp. (a) | 38,741 | 1,691,045 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 111,800 | 1,680,354 | |
The Buckle, Inc. (b) | 24,053 | 461,577 | |
The Children's Place Retail Stores, Inc. | 74,626 | 7,131,261 | |
Tractor Supply Co. | 119,260 | 11,371,441 | |
Ulta Beauty, Inc. (a) | 21,314 | 6,660,412 | |
Urban Outfitters, Inc. (a) | 71,662 | 2,210,773 | |
Williams-Sonoma, Inc. (b) | 70,210 | 4,083,414 | |
195,008,128 | |||
Textiles, Apparel & Luxury Goods - 1.9% | |||
Capri Holdings Ltd. (a) | 97,800 | 4,459,680 | |
Carter's, Inc. | 220,719 | 21,506,859 | |
Hanesbrands, Inc. | 1,247,955 | 23,199,483 | |
lululemon athletica, Inc. (a) | 92,153 | 13,861,654 | |
Oxford Industries, Inc. | 9,279 | 733,319 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 1,873,104 | 62,992,488 | |
Stelco Holdings, Inc. | 286,751 | 4,288,354 | |
Steven Madden Ltd. | 206,762 | 6,821,078 | |
Under Armour, Inc. Class C (non-vtg.) (a) | 370,115 | 7,431,909 | |
Wolverine World Wide, Inc. | 205,703 | 7,355,939 | |
152,650,763 | |||
TOTAL CONSUMER DISCRETIONARY | 1,028,331,202 | ||
CONSUMER STAPLES - 2.2% | |||
Beverages - 0.2% | |||
Boston Beer Co., Inc. Class A (a) | 7,790 | 2,434,842 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 11,480 | 1,941,957 | |
Cott Corp. | 432,605 | 6,493,401 | |
National Beverage Corp. (b) | 10,034 | 688,232 | |
Primo Water Corp. (a) | 254,937 | 3,739,926 | |
15,298,358 | |||
Food & Staples Retailing - 0.5% | |||
Casey's General Stores, Inc. | 31,417 | 4,233,127 | |
Performance Food Group Co. (a) | 652,607 | 25,144,948 | |
SpartanNash Co. | 65,200 | 1,237,496 | |
Sprouts Farmers Market LLC (a) | 228,660 | 5,332,351 | |
Weis Markets, Inc. | 59,580 | 2,997,470 | |
Welbilt, Inc. (a) | 68,980 | 1,101,611 | |
40,047,003 | |||
Food Products - 1.1% | |||
Darling International, Inc. (a) | 211,217 | 4,642,550 | |
Farmer Brothers Co. (a) | 102,239 | 2,438,400 | |
Flowers Foods, Inc. | 146,792 | 3,004,832 | |
Fresh Del Monte Produce, Inc. | 107,072 | 2,963,753 | |
Ingredion, Inc. | 224,896 | 20,791,635 | |
Lamb Weston Holdings, Inc. | 245,276 | 17,000,080 | |
Lancaster Colony Corp. | 16,785 | 2,631,384 | |
Nomad Foods Ltd. (a) | 596,169 | 11,982,997 | |
Pilgrim's Pride Corp. (a) | 199,300 | 3,920,231 | |
Post Holdings, Inc. (a) | 46,602 | 4,747,812 | |
The J.M. Smucker Co. | 53,000 | 5,613,230 | |
The Simply Good Foods Co. (a) | 385,010 | 7,877,305 | |
87,614,209 | |||
Household Products - 0.2% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 87,688 | 2,442,111 | |
Church & Dwight Co., Inc. | 81,314 | 5,350,461 | |
Energizer Holdings, Inc. | 137,974 | 6,330,247 | |
WD-40 Co. (b) | 12,220 | 2,187,013 | |
16,309,832 | |||
Personal Products - 0.2% | |||
CV Sciences, Inc. (a)(b) | 186,494 | 895,171 | |
Edgewell Personal Care Co. (a) | 36,676 | 1,626,947 | |
elf Beauty, Inc. (a)(b) | 435,700 | 3,463,815 | |
Herbalife Nutrition Ltd. (a) | 120,318 | 6,749,840 | |
MediFast, Inc. | 9,601 | 1,223,455 | |
Natural Health Trends Corp. (b) | 5,423 | 68,981 | |
Nu Skin Enterprises, Inc. Class A | 41,638 | 2,502,860 | |
USANA Health Sciences, Inc. (a) | 9,040 | 890,440 | |
17,421,509 | |||
Tobacco - 0.0% | |||
Universal Corp. | 53,758 | 3,190,000 | |
TOTAL CONSUMER STAPLES | 179,880,911 | ||
ENERGY - 3.6% | |||
Energy Equipment & Services - 1.0% | |||
Core Laboratories NV (b) | 125,202 | 8,114,342 | |
Dril-Quip, Inc. (a) | 187,439 | 7,986,776 | |
Forum Energy Technologies, Inc. (a) | 218,402 | 1,273,284 | |
Helix Energy Solutions Group, Inc. (a) | 126,206 | 933,924 | |
Helmerich & Payne, Inc. | 113,295 | 6,140,589 | |
McDermott International, Inc. (a) | 424,665 | 3,601,159 | |
Oceaneering International, Inc. (a) | 221,474 | 3,421,773 | |
Oil States International, Inc. (a) | 237,189 | 4,065,419 | |
Patterson-UTI Energy, Inc. | 1,693,637 | 22,457,627 | |
RigNet, Inc. (a) | 292,697 | 4,530,950 | |
RPC, Inc. (b) | 809,944 | 8,706,898 | |
Superior Energy Services, Inc. (a) | 266,139 | 1,245,531 | |
TechnipFMC PLC | 143,870 | 3,206,862 | |
U.S. Silica Holdings, Inc. (b) | 242,651 | 3,615,500 | |
79,300,634 | |||
Oil, Gas & Consumable Fuels - 2.6% | |||
Abraxas Petroleum Corp. (a) | 3,228,401 | 4,035,501 | |
Arch Coal, Inc. | 21,000 | 1,956,360 | |
Ardmore Shipping Corp. (a) | 201,756 | 1,135,886 | |
Cabot Oil & Gas Corp. | 571,539 | 14,071,290 | |
Canacol Energy Ltd. (a)(b) | 1,417,359 | 4,803,694 | |
Carrizo Oil & Gas, Inc. (a) | 239,500 | 2,629,710 | |
Cheniere Energy, Inc. (a) | 77,683 | 5,006,669 | |
Cimarex Energy Co. | 248,189 | 17,847,271 | |
Delek U.S. Holdings, Inc. | 190,763 | 6,749,195 | |
Diamondback Energy, Inc. | 187,890 | 19,339,518 | |
Earthstone Energy, Inc. (a) | 413,671 | 2,726,092 | |
Encana Corp. | 550,858 | 3,993,721 | |
Enerplus Corp. | 472,419 | 4,164,338 | |
Equitrans Midstream Corp. | 53,019 | 935,255 | |
Euronav NV (b) | 488,228 | 3,870,685 | |
Extraction Oil & Gas, Inc. (a) | 207,603 | 871,933 | |
Gulfport Energy Corp. (a) | 994,439 | 7,617,403 | |
HollyFrontier Corp. | 90,700 | 4,643,840 | |
Jagged Peak Energy, Inc. (a) | 130,272 | 1,233,676 | |
Kosmos Energy Ltd. | 611,811 | 3,915,590 | |
Laredo Petroleum, Inc. (a) | 135,500 | 464,765 | |
Marathon Oil Corp. | 138,472 | 2,298,635 | |
Marathon Petroleum Corp. | 105,650 | 6,551,357 | |
Matador Resources Co. (a)(b) | 373,404 | 6,945,314 | |
Oasis Petroleum, Inc. (a) | 670,957 | 3,750,650 | |
Parsley Energy, Inc. Class A (a) | 948,602 | 17,207,640 | |
PBF Energy, Inc. Class A | 355,508 | 11,045,634 | |
PDC Energy, Inc. (a) | 207,565 | 7,694,435 | |
QEP Resources, Inc. (a) | 1,632,827 | 12,670,738 | |
Scorpio Tankers, Inc. | 155,011 | 2,853,753 | |
SM Energy Co. | 274,794 | 4,490,134 | |
Southwestern Energy Co. (a) | 800,000 | 3,384,000 | |
SRC Energy, Inc. (a) | 707,100 | 3,252,660 | |
Sundance Energy Australia Ltd. (a) | 3,722,165 | 1,042,926 | |
Valero Energy Corp. | 45,765 | 3,732,593 | |
W&T Offshore, Inc. (a) | 660,000 | 3,438,600 | |
Whiting Petroleum Corp. (a) | 99,304 | 2,420,038 | |
World Fuel Services Corp. | 325,202 | 9,004,843 | |
213,796,342 | |||
TOTAL ENERGY | 293,096,976 | ||
FINANCIALS - 14.2% | |||
Banks - 5.3% | |||
Associated Banc-Corp. | 265,084 | 6,171,156 | |
Bank of Hawaii Corp. | 35,757 | 2,940,298 | |
Bank OZK | 323,458 | 10,609,422 | |
BankUnited, Inc. | 911,593 | 33,264,029 | |
Berkshire Hills Bancorp, Inc. | 84,000 | 2,630,880 | |
Boston Private Financial Holdings, Inc. | 134,473 | 1,598,884 | |
Cadence Bancorp Class A | 815,704 | 16,305,923 | |
Cathay General Bancorp | 102,900 | 3,996,636 | |
Centerstate Banks of Florida, Inc. | 120,867 | 3,198,141 | |
Central Pacific Financial Corp. | 52,586 | 1,534,459 | |
CIT Group, Inc. | 136,200 | 6,942,114 | |
Citizens Financial Group, Inc. | 387,700 | 14,321,638 | |
Columbia Banking Systems, Inc. | 33,038 | 1,251,479 | |
Comerica, Inc. | 79,451 | 6,920,977 | |
Commerce Bancshares, Inc. | 152,540 | 9,599,342 | |
Cullen/Frost Bankers, Inc. | 122,955 | 12,747,974 | |
East West Bancorp, Inc. | 208,987 | 11,412,780 | |
First Bancorp, Puerto Rico | 383,261 | 4,411,334 | |
First Citizens Bancshares, Inc. | 6,747 | 2,945,605 | |
First Financial Bankshares, Inc. (b) | 53,319 | 3,457,737 | |
First Hawaiian, Inc. | 584,708 | 15,763,728 | |
First Horizon National Corp. | 511,319 | 7,991,916 | |
First Interstate Bancsystem, Inc. | 76,156 | 3,171,136 | |
First Merchants Corp. | 79,138 | 3,196,384 | |
First Midwest Bancorp, Inc., Delaware | 135,523 | 3,137,357 | |
First Republic Bank | 90,847 | 9,537,118 | |
Fulton Financial Corp. | 239,600 | 4,116,328 | |
Hancock Whitney Corp. | 156,697 | 6,844,525 | |
Hanmi Financial Corp. | 203,748 | 4,702,504 | |
Hope Bancorp, Inc. | 395,500 | 5,766,390 | |
Huntington Bancshares, Inc. | 500,257 | 7,208,703 | |
IBERIABANK Corp. | 177,907 | 13,917,665 | |
KeyCorp | 420,100 | 7,418,966 | |
Live Oak Bancshares, Inc. (b) | 19,182 | 310,940 | |
Merchants Bancorp/IN | 5,502 | 114,717 | |
PacWest Bancorp | 89,800 | 3,683,596 | |
Peapack-Gladstone Financial Corp. | 57,361 | 1,668,058 | |
Peoples Bancorp, Inc. | 40,051 | 1,335,300 | |
Preferred Bank, Los Angeles | 59,099 | 3,027,051 | |
Regions Financial Corp. | 365,500 | 5,994,200 | |
ServisFirst Bancshares, Inc. | 38,096 | 1,332,217 | |
Signature Bank | 116,837 | 15,861,791 | |
Sterling Bancorp | 370,587 | 7,534,034 | |
SVB Financial Group (a) | 126,210 | 31,194,064 | |
Synovus Financial Corp. | 369,933 | 14,678,941 | |
TCF Financial Corp. | 398,100 | 9,116,490 | |
Texas Capital Bancshares, Inc. (a) | 115,545 | 7,051,711 | |
Umpqua Holdings Corp. | 572,470 | 10,407,505 | |
United Community Bank, Inc. | 130,200 | 3,605,238 | |
Webster Financial Corp. | 129,128 | 7,414,530 | |
Western Alliance Bancorp. (a) | 345,937 | 16,006,505 | |
Wintrust Financial Corp. | 189,356 | 13,949,857 | |
Zions Bancorporation | 398,828 | 20,380,111 | |
423,700,384 | |||
Capital Markets - 2.7% | |||
Affiliated Managers Group, Inc. | 20,000 | 2,192,200 | |
Ares Capital Corp. | 112,534 | 1,949,089 | |
Artisan Partners Asset Management, Inc. | 34,487 | 907,008 | |
Cboe Global Markets, Inc. | 34,167 | 3,276,957 | |
Cohen & Steers, Inc. | 17,405 | 726,833 | |
Diamond Hill Investment Group, Inc. | 2,678 | 380,169 | |
E*TRADE Financial Corp. | 457,445 | 22,410,231 | |
Eaton Vance Corp. (non-vtg.) | 271,651 | 11,368,594 | |
Evercore, Inc. Class A | 66,988 | 6,169,595 | |
FactSet Research Systems, Inc. | 79,213 | 18,628,521 | |
Federated Investors, Inc. Class B (non-vtg.) | 80,180 | 2,385,355 | |
Houlihan Lokey | 17,954 | 825,525 | |
Janus Henderson Group PLC | 152,369 | 3,733,041 | |
Lazard Ltd. Class A | 841,676 | 31,503,933 | |
Legg Mason, Inc. | 202,200 | 5,914,350 | |
LPL Financial | 322,361 | 24,309,243 | |
MarketAxess Holdings, Inc. | 38,249 | 9,328,166 | |
Moelis & Co. Class A | 231,262 | 10,316,598 | |
Morningstar, Inc. | 79,165 | 10,019,122 | |
Newtek Business Services Corp. (b) | 142,900 | 2,835,136 | |
Oaktree Specialty Lending Corp. | 547,600 | 2,847,520 | |
Prospect Capital Corp. | 398,500 | 2,729,725 | |
Raymond James Financial, Inc. | 154,888 | 12,790,651 | |
Stifel Financial Corp. | 256,501 | 13,961,349 | |
T. Rowe Price Group, Inc. | 79,414 | 7,975,548 | |
Waddell & Reed Financial, Inc. Class A (b) | 131,564 | 2,435,250 | |
WisdomTree Investments, Inc. | 1,188,480 | 9,246,374 | |
221,166,083 | |||
Consumer Finance - 1.3% | |||
Ally Financial, Inc. | 471,936 | 12,784,746 | |
Credit Acceptance Corp. (a) | 10,865 | 4,779,079 | |
First Cash Financial Services, Inc. | 112,061 | 9,823,267 | |
Green Dot Corp. Class A (a) | 112,711 | 7,275,495 | |
Navient Corp. | 915,855 | 11,191,748 | |
Nelnet, Inc. Class A | 97,568 | 5,348,678 | |
OneMain Holdings, Inc. | 467,276 | 15,420,108 | |
PRA Group, Inc. (a) | 84,049 | 2,705,537 | |
Regional Management Corp. (a) | 68,700 | 1,867,953 | |
SLM Corp. | 2,636,314 | 29,131,270 | |
100,327,881 | |||
Disc-Real Estate Inv Trusts - 0.1% | |||
MGM Growth Properties LLC | 235,575 | 7,246,287 | |
Diversified Financial Services - 0.5% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 75,700 | 1,583,644 | |
Donnelley Financial Solutions, Inc. (a) | 22,693 | 322,468 | |
Focus Financial Partners, Inc. Class A | 171,653 | 6,497,066 | |
Jefferies Financial Group, Inc. | 667,579 | 13,531,826 | |
On Deck Capital, Inc. (a) | 1,337,998 | 8,215,308 | |
Voya Financial, Inc. | 245,639 | 12,421,964 | |
42,572,276 | |||
Insurance - 3.0% | |||
Alleghany Corp. | 7,057 | 4,537,369 | |
American Financial Group, Inc. | 75,968 | 7,570,971 | |
Assurant, Inc. | 15,296 | 1,575,335 | |
Assured Guaranty Ltd. | 282,177 | 11,783,712 | |
Athene Holding Ltd. (a) | 44,676 | 1,990,316 | |
Axis Capital Holdings Ltd. | 140,686 | 8,028,950 | |
Brown & Brown, Inc. | 193,788 | 5,740,001 | |
Cincinnati Financial Corp. | 95,694 | 8,308,153 | |
CNA Financial Corp. | 293,792 | 12,697,690 | |
CNO Financial Group, Inc. | 339,200 | 5,776,576 | |
Crawford & Co. Class B | 166,972 | 1,716,472 | |
Erie Indemnity Co. Class A | 15,927 | 2,838,510 | |
Everest Re Group Ltd. | 102,774 | 23,238,229 | |
FBL Financial Group, Inc. Class A | 8,291 | 579,292 | |
First American Financial Corp. | 349,275 | 17,739,677 | |
FNF Group | 39,917 | 1,400,688 | |
Genworth Financial, Inc. Class A (a) | 149,800 | 579,726 | |
Hanover Insurance Group, Inc. | 65,340 | 7,756,511 | |
HCI Group, Inc. | 62,822 | 2,899,864 | |
Heritage Insurance Holdings, Inc. | 151,238 | 2,256,471 | |
Kemper Corp. | 38,631 | 3,210,236 | |
Kinsale Capital Group, Inc. | 153,664 | 10,258,609 | |
Lincoln National Corp. | 116,200 | 7,264,824 | |
Maiden Holdings Ltd. | 141,900 | 174,537 | |
National General Holdings Corp. | 286,294 | 7,389,248 | |
Old Republic International Corp. | 609,384 | 12,711,750 | |
Primerica, Inc. | 39,482 | 4,936,829 | |
ProAssurance Corp. | 191,115 | 7,759,269 | |
Reinsurance Group of America, Inc. | 145,247 | 20,986,739 | |
RLI Corp. | 151,702 | 10,698,025 | |
Selective Insurance Group, Inc. | 72,066 | 4,753,473 | |
Torchmark Corp. | 73,614 | 6,077,572 | |
Universal Insurance Holdings, Inc. | 115,897 | 4,524,619 | |
Unum Group | 241,300 | 9,014,968 | |
White Mountains Insurance Group Ltd. | 4,381 | 4,115,468 | |
242,890,679 | |||
Mortgage Real Estate Investment Trusts - 0.6% | |||
AGNC Investment Corp. | 232,678 | 4,106,767 | |
Annaly Capital Management, Inc. | 225,479 | 2,284,102 | |
Ares Commercial Real Estate Corp. | 117,368 | 1,791,036 | |
Blackstone Mortgage Trust, Inc. (b) | 91,773 | 3,164,333 | |
Chimera Investment Corp. | 176,100 | 3,256,089 | |
MFA Financial, Inc. | 1,083,382 | 7,876,187 | |
New York Mortgage Trust, Inc. (b) | 403,200 | 2,419,200 | |
Redwood Trust, Inc. | 219,495 | 3,358,274 | |
Starwood Property Trust, Inc. | 419,404 | 9,407,232 | |
Two Harbors Investment Corp. | 816,259 | 11,321,512 | |
48,984,732 | |||
Real Estate Management & Development - 0.0% | |||
The RMR Group, Inc. | 6,081 | 435,096 | |
Thrifts & Mortgage Finance - 0.7% | |||
Axos Financial, Inc. (a) | 151,990 | 4,906,237 | |
Essent Group Ltd. (a) | 481,120 | 20,755,517 | |
Farmer Mac Class C (non-vtg.) | 25,700 | 2,104,059 | |
LendingTree, Inc. (a)(b) | 22,370 | 7,134,912 | |
MGIC Investment Corp. (a) | 386,100 | 5,011,578 | |
Radian Group, Inc. | 388,371 | 7,907,234 | |
Sterling Bancorp, Inc. | 12,784 | 128,991 | |
Walker & Dunlop, Inc. | 199,707 | 11,143,651 | |
59,092,179 | |||
TOTAL FINANCIALS | 1,146,415,597 | ||
HEALTH CARE - 11.1% | |||
Biotechnology - 2.2% | |||
Agios Pharmaceuticals, Inc. (a)(b) | 77,710 | 5,041,048 | |
Aimmune Therapeutics, Inc. (a)(b) | 152,987 | 3,685,457 | |
Akebia Therapeutics, Inc. (a) | 198,909 | 1,448,058 | |
Allogene Therapeutics, Inc. (b) | 53,020 | 1,680,204 | |
Alnylam Pharmaceuticals, Inc. (a) | 20,857 | 1,772,845 | |
Amicus Therapeutics, Inc. (a)(b) | 114,327 | 1,383,357 | |
Arena Pharmaceuticals, Inc. (a) | 28,969 | 1,446,132 | |
Ascendis Pharma A/S sponsored ADR (a) | 29,572 | 2,153,433 | |
Atara Biotherapeutics, Inc. (a) | 131,846 | 4,721,405 | |
BeiGene Ltd. ADR (a) | 15,700 | 2,151,685 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 55,128 | 2,424,529 | |
BioMarin Pharmaceutical, Inc. (a) | 44,892 | 4,186,628 | |
bluebird bio, Inc. (a) | 12,527 | 1,944,441 | |
Blueprint Medicines Corp. (a) | 52,136 | 4,285,058 | |
Clovis Oncology, Inc. (a)(b) | 37,616 | 1,139,012 | |
DBV Technologies SA sponsored ADR (a)(b) | 338,383 | 2,754,438 | |
Emergent BioSolutions, Inc. (a) | 119,065 | 6,947,443 | |
Exact Sciences Corp. (a) | 200,420 | 18,238,220 | |
Exelixis, Inc. (a) | 85,085 | 1,905,053 | |
FibroGen, Inc. (a) | 27,777 | 1,605,511 | |
Gossamer Bio, Inc. | 60,087 | 1,311,699 | |
Heron Therapeutics, Inc. (a)(b) | 201,291 | 5,328,173 | |
Immunomedics, Inc. (a)(b) | 367,097 | 5,785,449 | |
Incyte Corp. (a) | 36,930 | 3,184,474 | |
Insmed, Inc. (a) | 68,973 | 2,045,049 | |
Ionis Pharmaceuticals, Inc. (a) | 32,798 | 2,328,330 | |
Ligand Pharmaceuticals, Inc. Class B (a)(b) | 143,386 | 17,791,335 | |
Madrigal Pharmaceuticals, Inc. (a)(b) | 11,960 | 1,570,109 | |
Myriad Genetics, Inc. (a) | 137,456 | 4,265,260 | |
Neurocrine Biosciences, Inc. (a) | 232,099 | 17,929,648 | |
Progenics Pharmaceuticals, Inc. (a) | 139,590 | 616,988 | |
Puma Biotechnology, Inc. (a) | 94,974 | 2,641,227 | |
Rubius Therapeutics, Inc. (b) | 99,436 | 1,579,044 | |
Sage Therapeutics, Inc. (a) | 91,447 | 14,562,935 | |
Sarepta Therapeutics, Inc. (a) | 41,374 | 5,967,786 | |
Seattle Genetics, Inc. (a) | 22,172 | 1,646,936 | |
Spectrum Pharmaceuticals, Inc. (a) | 419,631 | 4,536,211 | |
Ultragenyx Pharmaceutical, Inc. (a) | 54,131 | 3,471,962 | |
United Therapeutics Corp. (a) | 40,600 | 5,127,374 | |
Viking Therapeutics, Inc. (a)(b) | 349,296 | 2,937,579 | |
175,541,525 | |||
Health Care Equipment & Supplies - 2.7% | |||
Anika Therapeutics, Inc. (a) | 12,433 | 405,689 | |
Atrion Corp. | 1,211 | 952,294 | |
AxoGen, Inc. (a) | 341,594 | 6,305,825 | |
Cantel Medical Corp. | 28,812 | 2,118,258 | |
CONMED Corp. | 39,886 | 3,067,233 | |
DexCom, Inc. (a) | 87,507 | 12,192,350 | |
Endologix, Inc. (a) | 939,922 | 489,793 | |
Globus Medical, Inc. (a) | 78,310 | 3,812,914 | |
Hill-Rom Holdings, Inc. | 34,937 | 3,705,069 | |
ICU Medical, Inc. (a) | 21,790 | 5,355,110 | |
IDEXX Laboratories, Inc. (a) | 80,657 | 17,021,047 | |
Inogen, Inc. (a) | 25,435 | 2,733,245 | |
Insulet Corp. (a)(b) | 95,651 | 8,982,585 | |
Integra LifeSciences Holdings Corp. (a) | 96,286 | 5,304,396 | |
LeMaitre Vascular, Inc. | 10,574 | 316,374 | |
LivaNova PLC (a) | 18,653 | 1,738,460 | |
Masimo Corp. (a) | 97,044 | 12,739,936 | |
Meridian Bioscience, Inc. | 34,096 | 582,019 | |
Merit Medical Systems, Inc. (a) | 49,799 | 2,775,298 | |
Neogen Corp. (a) | 43,342 | 2,685,470 | |
Nevro Corp. (a) | 173,883 | 8,010,790 | |
Penumbra, Inc. (a) | 41,783 | 5,585,134 | |
Quidel Corp. (a) | 130,118 | 8,530,536 | |
Steris PLC | 208,982 | 25,278,463 | |
Teleflex, Inc. | 68,984 | 19,994,323 | |
The Cooper Companies, Inc. | 103,425 | 29,578,516 | |
West Pharmaceutical Services, Inc. | 225,319 | 23,602,165 | |
Zimmer Biomet Holdings, Inc. | 59,376 | 7,369,749 | |
221,233,041 | |||
Health Care Providers & Services - 2.4% | |||
Acadia Healthcare Co., Inc. (a) | 113,903 | 2,994,510 | |
Amedisys, Inc. (a) | 63,623 | 7,908,339 | |
American Renal Associates Holdings, Inc. (a) | 9,846 | 122,977 | |
Centene Corp. (a) | 237,890 | 14,485,122 | |
Chemed Corp. | 34,843 | 11,480,769 | |
Corvel Corp. (a) | 8,570 | 576,761 | |
Covetrus, Inc. (a) | 81,609 | 2,919,970 | |
Elanco Animal Health, Inc. (b) | 85,897 | 2,597,525 | |
Encompass Health Corp. | 287,840 | 18,174,218 | |
G1 Therapeutics, Inc. (a) | 169,995 | 3,138,108 | |
Guardant Health, Inc. (b) | 35,425 | 2,360,722 | |
HealthEquity, Inc. (a) | 132,699 | 10,679,616 | |
Henry Schein, Inc. (a) | 204,024 | 12,098,623 | |
Laboratory Corp. of America Holdings (a) | 40,440 | 5,994,826 | |
LHC Group, Inc. (a) | 34,810 | 3,818,309 | |
MEDNAX, Inc. (a) | 285,112 | 9,383,036 | |
Molina Healthcare, Inc. (a) | 161,210 | 21,703,702 | |
National Vision Holdings, Inc. (a) | 225,721 | 7,584,226 | |
OptiNose, Inc. (a)(b) | 124,567 | 924,287 | |
Owens & Minor, Inc. | 163,100 | 1,017,744 | |
Patterson Companies, Inc. | 81,883 | 1,846,462 | |
PetIQ, Inc. Class A (a)(b) | 52,623 | 1,584,479 | |
Premier, Inc. (a) | 436,919 | 15,982,497 | |
Quest Diagnostics, Inc. | 80,100 | 6,932,655 | |
U.S. Physical Therapy, Inc. | 10,558 | 1,163,914 | |
Wellcare Health Plans, Inc. (a) | 94,804 | 24,040,398 | |
191,513,795 | |||
Health Care Technology - 0.7% | |||
Evolent Health, Inc. (a) | 412,105 | 5,435,665 | |
Medidata Solutions, Inc. (a) | 340,031 | 25,509,126 | |
Teladoc Health, Inc. (a)(b) | 194,039 | 12,488,350 | |
Veeva Systems, Inc. Class A (a) | 149,574 | 17,636,270 | |
61,069,411 | |||
Life Sciences Tools & Services - 1.2% | |||
Bio-Rad Laboratories, Inc. Class A (a) | 36,007 | 9,754,296 | |
Bruker Corp. | 91,262 | 3,487,121 | |
Charles River Laboratories International, Inc. (a) | 125,668 | 17,866,220 | |
ICON PLC (a) | 122,780 | 17,186,744 | |
IQVIA Holdings, Inc. (a) | 51,839 | 7,262,644 | |
Medpace Holdings, Inc. (a) | 6,318 | 347,174 | |
PerkinElmer, Inc. | 159,410 | 15,010,046 | |
PRA Health Sciences, Inc. (a) | 61,891 | 6,621,099 | |
Syneos Health, Inc. (a) | 469,116 | 19,594,975 | |
97,130,319 | |||
Pharmaceuticals - 1.9% | |||
Aclaris Therapeutics, Inc. (a) | 73,893 | 478,827 | |
Aerie Pharmaceuticals, Inc. (a) | 240,868 | 11,241,310 | |
Catalent, Inc. (a) | 569,510 | 24,614,222 | |
Collegium Pharmaceutical, Inc. (a) | 98,529 | 1,733,125 | |
GW Pharmaceuticals PLC ADR (a)(b) | 12,748 | 2,192,783 | |
Horizon Pharma PLC (a) | 294,560 | 8,545,186 | |
Jazz Pharmaceuticals PLC (a) | 168,225 | 23,556,547 | |
Lannett Co., Inc. (a)(b) | 177,600 | 1,671,216 | |
Mallinckrodt PLC (a) | 152,186 | 3,798,563 | |
Mylan NV (a) | 262,524 | 6,928,008 | |
Nektar Therapeutics (a) | 112,758 | 4,571,209 | |
Pacira Pharmaceuticals, Inc. (a) | 76,593 | 3,154,100 | |
Perrigo Co. PLC | 49,868 | 2,428,572 | |
Prestige Brands Holdings, Inc. (a) | 566,118 | 16,564,613 | |
Reata Pharmaceuticals, Inc. (a) | 18,281 | 1,724,630 | |
Revance Therapeutics, Inc. (a) | 333,062 | 5,642,070 | |
Supernus Pharmaceuticals, Inc. (a) | 175,147 | 7,153,003 | |
TherapeuticsMD, Inc. (a)(b) | 2,757,592 | 15,773,426 | |
Zogenix, Inc. (a) | 185,670 | 9,790,379 | |
151,561,789 | |||
TOTAL HEALTH CARE | 898,049,880 | ||
INDUSTRIALS - 16.3% | |||
Aerospace & Defense - 1.1% | |||
AAR Corp. | 127,132 | 4,644,132 | |
Curtiss-Wright Corp. | 46,704 | 5,758,136 | |
Esterline Technologies Corp. (a) | 25,495 | 3,104,016 | |
HEICO Corp. Class A | 183,850 | 14,706,162 | |
Hexcel Corp. | 157,800 | 11,383,692 | |
Huntington Ingalls Industries, Inc. | 50,915 | 10,662,110 | |
National Presto Industries, Inc. (b) | 4,253 | 476,931 | |
Spirit AeroSystems Holdings, Inc. Class A | 195,700 | 19,335,160 | |
Teledyne Technologies, Inc. (a) | 56,631 | 13,367,181 | |
Wesco Aircraft Holdings, Inc. (a) | 319,890 | 2,715,866 | |
86,153,386 | |||
Air Freight & Logistics - 0.5% | |||
Air Transport Services Group, Inc. (a) | 105,070 | 2,444,979 | |
Atlas Air Worldwide Holdings, Inc. (a) | 145,871 | 7,839,108 | |
Echo Global Logistics, Inc. (a) | 84,607 | 2,032,260 | |
Expeditors International of Washington, Inc. | 47,587 | 3,566,646 | |
Forward Air Corp. | 251,662 | 16,269,948 | |
XPO Logistics, Inc. (a) | 168,959 | 8,507,086 | |
40,660,027 | |||
Airlines - 0.9% | |||
Air Canada (a) | 342,564 | 8,619,092 | |
Alaska Air Group, Inc. | 346,177 | 21,359,121 | |
Azul SA sponsored ADR (a) | 159,880 | 4,759,628 | |
Hawaiian Holdings, Inc. | 206,982 | 6,157,715 | |
JetBlue Airways Corp. (a) | 520,555 | 8,693,269 | |
SkyWest, Inc. | 437,629 | 23,649,471 | |
73,238,296 | |||
Building Products - 1.1% | |||
Allegion PLC | 138,296 | 12,441,108 | |
Apogee Enterprises, Inc. | 25,047 | 893,927 | |
Armstrong World Industries, Inc. | 75,680 | 5,538,262 | |
CSW Industrials, Inc. (a) | 13,631 | 773,968 | |
Fortune Brands Home & Security, Inc. | 330,841 | 15,589,228 | |
Lennox International, Inc. | 22,870 | 5,608,868 | |
Masonite International Corp. (a) | 87,560 | 4,855,202 | |
Owens Corning | 291,743 | 14,566,728 | |
Patrick Industries, Inc. (a) | 203,277 | 9,190,153 | |
Trex Co., Inc. (a) | 53,580 | 4,015,821 | |
Universal Forest Products, Inc. | 161,594 | 5,004,566 | |
USG Corp. | 162,837 | 7,019,903 | |
85,497,734 | |||
Commercial Services & Supplies - 3.1% | |||
ABM Industries, Inc. | 458,527 | 16,351,073 | |
ACCO Brands Corp. | 467,747 | 4,350,047 | |
ADS Waste Holdings, Inc. (a) | 10,100 | 267,852 | |
Brady Corp. Class A | 327,071 | 15,473,729 | |
BrightView Holdings, Inc. | 430,620 | 5,813,370 | |
Casella Waste Systems, Inc. Class A (a) | 44,203 | 1,559,482 | |
Charah Solutions, Inc. | 173,932 | 1,054,028 | |
Cimpress NV (a) | 121,223 | 10,000,898 | |
Clean Harbors, Inc. (a) | 397,493 | 27,029,524 | |
Copart, Inc. (a) | 243,876 | 14,308,205 | |
Covanta Holding Corp. | 277,551 | 4,712,816 | |
Deluxe Corp. | 115,492 | 5,373,843 | |
Evoqua Water Technologies Corp. (a) | 415,272 | 5,639,394 | |
Healthcare Services Group, Inc. (b) | 77,387 | 2,954,636 | |
Herman Miller, Inc. | 386,574 | 14,179,534 | |
KAR Auction Services, Inc. | 642,651 | 30,300,995 | |
MSA Safety, Inc. | 87,280 | 9,023,879 | |
Multi-Color Corp. | 292,942 | 14,603,159 | |
Pitney Bowes, Inc. | 367,000 | 2,638,730 | |
Republic Services, Inc. | 36,500 | 2,862,695 | |
Ritchie Brothers Auctioneers, Inc. | 196,619 | 7,373,213 | |
Rollins, Inc. | 123,935 | 4,915,262 | |
Steelcase, Inc. Class A | 598,453 | 10,478,912 | |
Tetra Tech, Inc. | 125,019 | 7,503,640 | |
The Brink's Co. | 38,796 | 3,061,780 | |
UniFirst Corp. | 13,052 | 1,877,139 | |
Waste Connection, Inc. (United States) | 336,994 | 28,105,300 | |
251,813,135 | |||
Construction & Engineering - 0.6% | |||
AECOM (a) | 274,528 | 8,499,387 | |
Aegion Corp. (a) | 62,756 | 1,089,444 | |
Comfort Systems U.S.A., Inc. | 31,106 | 1,667,904 | |
Dycom Industries, Inc. (a) | 38,480 | 1,734,678 | |
Fluor Corp. | 45,832 | 1,723,283 | |
Granite Construction, Inc. | 151,678 | 7,062,128 | |
Jacobs Engineering Group, Inc. | 76,190 | 5,621,298 | |
Quanta Services, Inc. | 205,387 | 7,319,993 | |
Tutor Perini Corp. (a) | 410,740 | 7,730,127 | |
Williams Scotsman Corp. (a) | 655,530 | 6,679,851 | |
49,128,093 | |||
Electrical Equipment - 1.2% | |||
Acuity Brands, Inc. | 66,529 | 8,656,753 | |
AMETEK, Inc. | 68,432 | 5,445,819 | |
EnerSys | 149,632 | 11,045,834 | |
Generac Holdings, Inc. (a) | 274,595 | 14,158,118 | |
Hubbell, Inc. Class B | 32,842 | 3,876,998 | |
Regal Beloit Corp. | 214,639 | 17,978,163 | |
Rockwell Automation, Inc. | 47,618 | 8,502,670 | |
Sensata Technologies, Inc. PLC (a) | 490,451 | 24,880,579 | |
94,544,934 | |||
Industrial Conglomerates - 0.1% | |||
Carlisle Companies, Inc. | 40,489 | 4,983,386 | |
Machinery - 4.0% | |||
Allison Transmission Holdings, Inc. | 326,233 | 16,213,780 | |
Altra Industrial Motion Corp. | 73,790 | 2,347,260 | |
Apergy Corp. (a) | 83,259 | 3,495,213 | |
Cactus, Inc. (a) | 91,498 | 3,317,717 | |
CIRCOR International, Inc. (a) | 39,436 | 1,243,417 | |
Donaldson Co., Inc. | 113,839 | 5,872,954 | |
Douglas Dynamics, Inc. | 192,107 | 8,103,073 | |
EnPro Industries, Inc. | 37,552 | 2,575,692 | |
Gardner Denver Holdings, Inc. (a) | 213,602 | 5,735,214 | |
Gates Industrial Corp. PLC (a) | 702,562 | 11,311,248 | |
Global Brass & Copper Holdings, Inc. | 81,000 | 2,733,750 | |
Graco, Inc. | 144,006 | 6,762,522 | |
Greenbrier Companies, Inc. | 85,800 | 3,539,250 | |
Hillenbrand, Inc. | 54,357 | 2,407,472 | |
Hyster-Yale Materials Handling Class A | 27,100 | 1,833,586 | |
IDEX Corp. | 76,035 | 10,956,644 | |
John Bean Technologies Corp. | 151,788 | 14,222,536 | |
Kennametal, Inc. | 549,605 | 20,714,612 | |
Lincoln Electric Holdings, Inc. | 351,428 | 30,370,408 | |
Meritor, Inc. (a) | 219,680 | 4,894,470 | |
Middleby Corp. (a) | 135,013 | 16,551,244 | |
Nordson Corp. | 115,429 | 15,670,641 | |
Oshkosh Corp. | 160,864 | 12,516,828 | |
Proto Labs, Inc. (a) | 37,430 | 4,229,216 | |
RBC Bearings, Inc. (a) | 99,648 | 13,965,667 | |
Snap-On, Inc. | 78,691 | 12,590,560 | |
SPX Flow, Inc. (a) | 99,667 | 3,440,505 | |
Tennant Co. | 187,725 | 11,864,220 | |
Terex Corp. | 242,476 | 8,144,769 | |
Timken Co. | 179,128 | 7,772,364 | |
Toro Co. | 550,124 | 37,727,504 | |
Wabtec Corp. (b) | 107,447 | 7,871,567 | |
Woodward, Inc. | 113,137 | 10,899,619 | |
Xylem, Inc. | 35,584 | 2,688,371 | |
324,583,893 | |||
Marine - 0.2% | |||
Kirby Corp. (a) | 265,010 | 19,669,042 | |
Matson, Inc. | 19,138 | 691,073 | |
20,360,115 | |||
Professional Services - 1.1% | |||
Asgn, Inc. (a) | 136,510 | 8,792,609 | |
Barrett Business Services, Inc. | 6,245 | 490,482 | |
CoStar Group, Inc. (a) | 21,285 | 9,738,526 | |
Equifax, Inc. | 69,528 | 7,614,011 | |
Exponent, Inc. | 44,124 | 2,498,742 | |
Forrester Research, Inc. | 8,638 | 433,628 | |
FTI Consulting, Inc. (a) | 67,201 | 4,983,626 | |
Huron Consulting Group, Inc. (a) | 38,036 | 1,742,810 | |
Insperity, Inc. | 32,648 | 4,122,463 | |
Kforce, Inc. | 20,806 | 770,030 | |
Manpower, Inc. | 152,997 | 12,889,997 | |
Navigant Consulting, Inc. | 124,532 | 2,564,114 | |
Nielsen Holdings PLC | 286,155 | 7,497,261 | |
Robert Half International, Inc. | 111,105 | 7,576,250 | |
TransUnion Holding Co., Inc. | 59,457 | 3,838,544 | |
TriNet Group, Inc. (a) | 256,256 | 15,705,930 | |
91,259,023 | |||
Road & Rail - 1.1% | |||
Covenant Transport Group, Inc. Class A (a) | 154,631 | 3,527,133 | |
Heartland Express, Inc. | 657,502 | 13,209,215 | |
J.B. Hunt Transport Services, Inc. | 31,439 | 3,385,037 | |
Kansas City Southern | 51,424 | 5,586,703 | |
Knight-Swift Transportation Holdings, Inc. Class A (b) | 905,947 | 30,466,998 | |
Landstar System, Inc. | 142,282 | 15,463,208 | |
Ryder System, Inc. | 66,500 | 4,133,640 | |
Schneider National, Inc. Class B | 112,310 | 2,458,466 | |
U.S. Xpress Enterprises, Inc. | 409,577 | 3,583,799 | |
Werner Enterprises, Inc. | 167,497 | 5,783,671 | |
87,597,870 | |||
Trading Companies & Distributors - 1.3% | |||
Air Lease Corp. Class A | 185,062 | 6,913,916 | |
Applied Industrial Technologies, Inc. | 156,878 | 9,120,887 | |
Beacon Roofing Supply, Inc. (a) | 39,439 | 1,430,453 | |
BMC Stock Holdings, Inc. (a) | 420,928 | 8,052,353 | |
CAI International, Inc. (a) | 103,154 | 2,430,308 | |
HD Supply Holdings, Inc. (a) | 55,077 | 2,368,862 | |
MRC Global, Inc. (a) | 319,190 | 5,381,543 | |
MSC Industrial Direct Co., Inc. Class A | 288,927 | 24,388,328 | |
SiteOne Landscape Supply, Inc. (a) | 133,464 | 7,168,351 | |
Systemax, Inc. | 45,577 | 923,390 | |
Triton International Ltd. | 186,565 | 6,139,854 | |
United Rentals, Inc. (a) | 143,343 | 19,292,534 | |
Watsco, Inc. | 20,913 | 3,009,172 | |
WESCO International, Inc. (a) | 110,094 | 5,994,618 | |
102,614,569 | |||
TOTAL INDUSTRIALS | 1,312,434,461 | ||
INFORMATION TECHNOLOGY - 19.3% | |||
Communications Equipment - 1.2% | |||
Arista Networks, Inc. (a) | 22,530 | 6,426,683 | |
CalAmp Corp. (a) | 88,226 | 1,226,341 | |
Ciena Corp. (a) | 892,930 | 38,092,394 | |
CommScope Holding Co., Inc. (a) | 72,411 | 1,687,900 | |
F5 Networks, Inc. (a) | 80,659 | 13,562,004 | |
Finisar Corp. (a) | 146,110 | 3,578,234 | |
Juniper Networks, Inc. | 304,600 | 8,248,568 | |
KVH Industries, Inc. (a) | 142,769 | 1,621,856 | |
NetScout Systems, Inc. (a) | 394,055 | 10,785,285 | |
Ubiquiti Networks, Inc. (b) | 21,948 | 3,169,072 | |
Viavi Solutions, Inc. (a) | 599,150 | 7,866,840 | |
96,265,177 | |||
Electronic Equipment & Components - 2.4% | |||
Arrow Electronics, Inc. (a) | 124,617 | 9,931,975 | |
Avnet, Inc. | 293,120 | 12,747,789 | |
Badger Meter, Inc. | 24,706 | 1,453,701 | |
Belden, Inc. | 302,143 | 18,669,416 | |
Cardtronics PLC (a) | 186,922 | 5,516,068 | |
CDW Corp. | 215,755 | 20,257,237 | |
Cognex Corp. | 216,780 | 11,576,052 | |
Coherent, Inc. (a) | 21,735 | 2,892,494 | |
Dolby Laboratories, Inc. Class A | 49,205 | 3,188,484 | |
Flextronics International Ltd. (a) | 186,486 | 1,965,562 | |
FLIR Systems, Inc. | 159,922 | 8,227,987 | |
Insight Enterprises, Inc. (a) | 95,746 | 5,344,542 | |
IPG Photonics Corp. (a) | 32,046 | 4,968,091 | |
Jabil, Inc. | 250,281 | 7,107,980 | |
Keysight Technologies, Inc. (a) | 85,426 | 7,210,809 | |
Littelfuse, Inc. | 71,799 | 13,863,669 | |
National Instruments Corp. | 91,130 | 4,259,416 | |
Novanta, Inc. (a) | 25,987 | 2,123,918 | |
Sanmina Corp. (a) | 129,900 | 4,149,006 | |
ScanSource, Inc. (a) | 71,700 | 2,692,335 | |
SYNNEX Corp. | 117,870 | 11,565,404 | |
Trimble, Inc. (a) | 690,991 | 27,646,550 | |
TTM Technologies, Inc. (a) | 174,000 | 2,108,880 | |
Vishay Intertechnology, Inc. | 255,227 | 5,594,576 | |
195,061,941 | |||
Internet Software & Services - 0.0% | |||
Farfetch Ltd. Class A | 76,902 | 1,884,099 | |
IT Services - 4.0% | |||
Alliance Data Systems Corp. | 19,316 | 3,341,668 | |
Amdocs Ltd. | 285,543 | 15,867,625 | |
Booz Allen Hamilton Holding Corp. Class A | 235,821 | 12,465,498 | |
Carbonite, Inc. (a) | 895,572 | 20,839,960 | |
Cass Information Systems, Inc. | 10,174 | 531,388 | |
CoreLogic, Inc. (a) | 355,635 | 13,041,135 | |
EPAM Systems, Inc. (a) | 62,291 | 10,077,438 | |
Euronet Worldwide, Inc. (a) | 360,271 | 48,391,601 | |
EVERTEC, Inc. | 72,158 | 2,065,162 | |
Fidelity National Information Services, Inc. | 93,010 | 10,059,032 | |
First Data Corp. Class A (a) | 184,751 | 4,644,640 | |
Gartner, Inc. (a) | 61,145 | 8,700,934 | |
Genpact Ltd. | 498,602 | 16,563,558 | |
Global Payments, Inc. | 49,540 | 6,459,025 | |
GoDaddy, Inc. (a) | 283,200 | 21,140,880 | |
Internap Network Services Corp. (a)(b) | 249,969 | 1,352,332 | |
Interxion Holding N.V. (a) | 109,240 | 7,155,220 | |
Jack Henry & Associates, Inc. | 57,822 | 7,668,932 | |
Leidos Holdings, Inc. | 45,576 | 2,943,754 | |
Maximus, Inc. | 158,358 | 11,192,743 | |
NIC, Inc. | 53,465 | 913,717 | |
Presidio, Inc. | 661,652 | 11,003,273 | |
Science Applications International Corp. | 24,740 | 1,848,078 | |
Switch, Inc. Class A (b) | 1,046,616 | 9,032,296 | |
Sykes Enterprises, Inc. (a) | 64,571 | 1,910,656 | |
Total System Services, Inc. | 198,333 | 18,722,635 | |
Ttec Holdings, Inc. | 154,973 | 5,309,375 | |
Twilio, Inc. Class A (a) | 49,900 | 6,072,331 | |
Unisys Corp. (a)(b) | 416,635 | 5,628,739 | |
Virtusa Corp. (a) | 108,612 | 5,481,648 | |
WEX, Inc. (a) | 88,755 | 15,803,715 | |
Wix.com Ltd. (a) | 85,463 | 9,336,833 | |
WNS Holdings Ltd. sponsored ADR (a) | 97,539 | 5,150,059 | |
320,715,880 | |||
Semiconductors & Semiconductor Equipment - 2.5% | |||
Advanced Energy Industries, Inc. (a) | 96,100 | 4,840,557 | |
Advanced Micro Devices, Inc. (a) | 399,779 | 9,406,800 | |
Brooks Automation, Inc. | 93,670 | 3,007,744 | |
Cabot Microelectronics Corp. | 117,213 | 13,256,790 | |
Cirrus Logic, Inc. (a) | 97,800 | 3,924,714 | |
Cree, Inc. (a) | 91,150 | 4,959,472 | |
Cypress Semiconductor Corp. | 1,059,310 | 16,345,153 | |
Diodes, Inc. (a) | 107,481 | 4,334,709 | |
Entegris, Inc. | 96,394 | 3,405,600 | |
Integrated Device Technology, Inc. (a) | 41,864 | 2,023,287 | |
Kulicke & Soffa Industries, Inc. | 248,180 | 5,787,558 | |
Lam Research Corp. | 55,800 | 9,825,822 | |
Marvell Technology Group Ltd. | 230,471 | 4,597,896 | |
MaxLinear, Inc. Class A (a) | 240,840 | 6,054,718 | |
MKS Instruments, Inc. | 72,715 | 6,025,892 | |
Monolithic Power Systems, Inc. | 93,480 | 12,536,603 | |
NVE Corp. | 4,173 | 429,068 | |
ON Semiconductor Corp. (a) | 1,511,733 | 32,472,025 | |
Power Integrations, Inc. | 25,120 | 1,835,267 | |
Qorvo, Inc. (a) | 115,341 | 8,090,018 | |
Semtech Corp. (a) | 285,959 | 15,739,183 | |
Silicon Laboratories, Inc. (a) | 115,628 | 9,368,181 | |
Teradyne, Inc. | 181,194 | 7,398,151 | |
Universal Display Corp. (b) | 39,350 | 5,872,594 | |
Versum Materials, Inc. | 145,734 | 7,140,966 | |
198,678,768 | |||
Software - 8.7% | |||
2U, Inc. (a)(b) | 416,501 | 30,696,124 | |
8x8, Inc. (a) | 450,659 | 8,864,463 | |
ACI Worldwide, Inc. (a) | 160,467 | 5,114,083 | |
ANSYS, Inc. (a) | 41,825 | 7,413,900 | |
Aspen Technology, Inc. (a) | 309,810 | 31,200,965 | |
Autodesk, Inc. (a) | 111,269 | 18,137,960 | |
Black Knight, Inc. (a) | 184,211 | 9,625,025 | |
Bottomline Technologies, Inc. (a) | 48,745 | 2,431,401 | |
Box, Inc. Class A (a) | 362,779 | 7,342,647 | |
Carbon Black, Inc. | 455,539 | 5,963,006 | |
CDK Global, Inc. | 144,384 | 8,375,716 | |
ChannelAdvisor Corp. (a) | 329,440 | 4,259,659 | |
Cloudera, Inc. (a) | 758,208 | 11,047,091 | |
CommVault Systems, Inc. (a) | 117,013 | 7,885,506 | |
Cornerstone OnDemand, Inc. (a) | 171,246 | 9,675,399 | |
CyberArk Software Ltd. (a) | 77,823 | 8,542,631 | |
Ebix, Inc. (b) | 70,875 | 4,129,886 | |
Ellie Mae, Inc. (a) | 15,050 | 1,497,325 | |
Fair Isaac Corp. (a) | 67,634 | 16,761,058 | |
FireEye, Inc. (a) | 947,653 | 15,882,664 | |
Fortinet, Inc. (a) | 143,245 | 12,432,234 | |
Guidewire Software, Inc. (a) | 174,974 | 16,052,115 | |
HubSpot, Inc. (a) | 46,585 | 7,843,982 | |
HyreCar, Inc. (b) | 245,244 | 1,395,438 | |
Instructure, Inc. (a) | 112,338 | 5,249,555 | |
j2 Global, Inc. | 340,191 | 28,919,637 | |
LivePerson, Inc. (a) | 277,739 | 7,765,582 | |
LogMeIn, Inc. | 296,599 | 23,561,825 | |
Manhattan Associates, Inc. (a) | 61,368 | 3,359,898 | |
Mimecast Ltd. (a) | 195,166 | 9,422,614 | |
Model N, Inc. (a) | 438,277 | 7,582,192 | |
New Relic, Inc. (a) | 57,913 | 6,124,300 | |
Nuance Communications, Inc. (a) | 1,694,752 | 28,420,991 | |
Nutanix, Inc. Class A (a) | 480,766 | 24,081,569 | |
Parametric Technology Corp. (a) | 50,027 | 4,643,506 | |
Paycom Software, Inc. (a) | 82,595 | 15,009,989 | |
Pivotal Software, Inc. | 179,290 | 4,019,682 | |
Progress Software Corp. | 64,500 | 2,372,310 | |
Proofpoint, Inc. (a) | 42,351 | 5,001,230 | |
Q2 Holdings, Inc. (a) | 231,740 | 15,948,347 | |
QAD, Inc. Class A | 167,828 | 7,595,895 | |
Rapid7, Inc. (a) | 116,326 | 5,354,486 | |
RealPage, Inc. (a) | 176,319 | 10,792,486 | |
RingCentral, Inc. (a) | 111,080 | 11,695,613 | |
SailPoint Technologies Holding, Inc. (a) | 180,545 | 5,568,008 | |
SolarWinds, Inc. (a)(b) | 711,860 | 13,532,459 | |
Splunk, Inc. (a) | 117,718 | 15,995,522 | |
SS&C Technologies Holdings, Inc. | 819,653 | 50,474,232 | |
Synopsys, Inc. (a) | 124,275 | 12,636,282 | |
Tableau Software, Inc. (a) | 134,525 | 17,743,848 | |
Talend SA ADR (a) | 224,162 | 10,737,360 | |
The Trade Desk, Inc. (a) | 95,039 | 18,774,004 | |
Tyler Technologies, Inc. (a) | 53,490 | 10,954,217 | |
Ultimate Software Group, Inc. (a) | 45,592 | 15,113,748 | |
Upland Software, Inc. (a) | 371,057 | 13,024,101 | |
Verint Systems, Inc. (a) | 262,915 | 14,000,224 | |
VMware, Inc. Class A | 61,552 | 10,575,249 | |
Yext, Inc. (a) | 194,136 | 3,607,047 | |
Zendesk, Inc. (a) | 173,644 | 13,721,349 | |
705,949,635 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
3D Systems Corp. (a)(b) | 479,888 | 6,776,019 | |
Electronics for Imaging, Inc. (a) | 40,318 | 1,090,199 | |
NCR Corp. (a) | 521,382 | 14,609,124 | |
Pure Storage, Inc. Class A (a) | 342,952 | 7,023,657 | |
Seagate Technology LLC | 127,000 | 5,913,120 | |
Xerox Corp. | 164,200 | 5,073,780 | |
40,485,899 | |||
TOTAL INFORMATION TECHNOLOGY | 1,559,041,399 | ||
MATERIALS - 4.6% | |||
Chemicals - 2.1% | |||
Ashland Global Holdings, Inc. | 86,310 | 6,678,668 | |
Axalta Coating Systems Ltd. (a) | 345,116 | 9,224,951 | |
Cabot Corp. | 248,783 | 11,662,947 | |
Eastman Chemical Co. | 114,700 | 9,484,543 | |
FMC Corp. | 34,614 | 3,097,953 | |
Huntsman Corp. | 1,077,442 | 26,709,787 | |
Ingevity Corp. (a) | 39,246 | 4,521,924 | |
International Flavors & Fragrances, Inc. | 27,100 | 3,455,250 | |
Methanex Corp. | 20,481 | 1,152,800 | |
Minerals Technologies, Inc. | 79,255 | 4,691,896 | |
Orion Engineered Carbons SA | 195,341 | 5,444,154 | |
PolyOne Corp. | 220,489 | 7,192,351 | |
PQ Group Holdings, Inc. (a) | 244,413 | 4,003,485 | |
Quaker Chemical Corp. | 70,269 | 14,685,518 | |
The Chemours Co. LLC | 127,000 | 4,829,810 | |
The Mosaic Co. | 106,559 | 3,332,100 | |
The Scotts Miracle-Gro Co. Class A | 97,879 | 8,016,290 | |
Trinseo SA | 322,490 | 16,185,773 | |
Valvoline, Inc. | 803,727 | 15,102,030 | |
Venator Materials PLC (a) | 242,645 | 1,429,179 | |
Westlake Chemical Corp. | 170,063 | 11,882,302 | |
172,783,711 | |||
Construction Materials - 0.2% | |||
Eagle Materials, Inc. | 116,774 | 8,926,205 | |
U.S. Concrete, Inc. (a)(b) | 172,046 | 6,900,765 | |
15,826,970 | |||
Containers & Packaging - 1.3% | |||
Aptargroup, Inc. | 254,012 | 25,840,641 | |
Avery Dennison Corp. | 72,767 | 7,861,747 | |
Crown Holdings, Inc. (a) | 198,400 | 10,771,136 | |
Graphic Packaging Holding Co. | 2,519,983 | 30,693,393 | |
Greif, Inc. Class A | 20,571 | 826,954 | |
Owens-Illinois, Inc. | 377,800 | 7,525,776 | |
Packaging Corp. of America | 85,700 | 8,192,063 | |
Sealed Air Corp. | 123,091 | 5,369,229 | |
WestRock Co. | 155,117 | 5,798,273 | |
102,879,212 | |||
Metals & Mining - 0.9% | |||
Alcoa Corp. (a) | 264,281 | 7,796,290 | |
Carpenter Technology Corp. | 29,689 | 1,393,602 | |
Cleveland-Cliffs, Inc. | 1,373,853 | 15,236,030 | |
Compass Minerals International, Inc. | 48,743 | 2,553,158 | |
Ferroglobe PLC | 187,176 | 514,734 | |
Ferroglobe Representation & Warranty Insurance (a)(c) | 495,885 | 5 | |
Goldcorp, Inc. | 477,200 | 5,040,526 | |
Kinross Gold Corp. (a) | 1,783,114 | 5,948,456 | |
Nucor Corp. | 45,268 | 2,741,883 | |
Pan American Silver Corp. | 481,424 | 6,431,824 | |
Pan American Silver Corp. rights 12/31/99 (a)(c) | 2,495,561 | 19 | |
Reliance Steel & Aluminum Co. | 59,000 | 5,265,750 | |
Steel Dynamics, Inc. | 192,066 | 7,167,903 | |
SunCoke Energy, Inc. | 557,496 | 5,530,360 | |
United States Steel Corp. | 172,500 | 3,865,725 | |
69,486,265 | |||
Paper & Forest Products - 0.1% | |||
Boise Cascade Co. | 45,140 | 1,258,955 | |
Clearwater Paper Corp. (a) | 30,900 | 883,740 | |
Domtar Corp. | 79,600 | 4,052,436 | |
Schweitzer-Mauduit International, Inc. | 126,016 | 4,859,177 | |
11,054,308 | |||
TOTAL MATERIALS | 372,030,466 | ||
REAL ESTATE - 4.2% | |||
Equity Real Estate Investment Trusts (REITs) - 3.9% | |||
Alexander & Baldwin, Inc. | 39,283 | 900,759 | |
American Campus Communities, Inc. | 177,616 | 8,003,377 | |
Americold Realty Trust | 97,622 | 2,806,633 | |
Apartment Investment & Management Co. Class A | 131,155 | 6,417,414 | |
Brixmor Property Group, Inc. | 313,300 | 5,470,218 | |
Camden Property Trust (SBI) | 96,811 | 9,496,191 | |
CBL & Associates Properties, Inc. | 226,300 | 484,282 | |
Chatham Lodging Trust | 116,796 | 2,333,584 | |
Colony Capital, Inc. | 522,571 | 2,905,495 | |
CorEnergy Infrastructure Trust, Inc. | 84,100 | 3,066,286 | |
Corrections Corp. of America | 159,700 | 3,382,446 | |
Cousins Properties, Inc. | 588,590 | 5,603,377 | |
CubeSmart | 397,015 | 12,164,540 | |
DDR Corp. | 357,750 | 4,775,963 | |
DiamondRock Hospitality Co. | 461,700 | 4,935,573 | |
EastGroup Properties, Inc. | 133,431 | 14,098,319 | |
Empire State Realty Trust, Inc. | 489,034 | 7,443,097 | |
Essex Property Trust, Inc. | 11,435 | 3,199,970 | |
Extra Space Storage, Inc. | 64,620 | 6,199,643 | |
Franklin Street Properties Corp. | 275,093 | 1,991,673 | |
Gaming & Leisure Properties | 126,866 | 4,615,385 | |
Government Properties Income Trust | 132,285 | 4,036,015 | |
Hospitality Properties Trust (SBI) | 254,722 | 6,895,325 | |
Hudson Pacific Properties, Inc. | 96,016 | 3,189,652 | |
Industrial Logistics Properties Trust | 136,179 | 2,840,694 | |
Lamar Advertising Co. Class A | 69,640 | 5,401,975 | |
Liberty Property Trust (SBI) | 36,900 | 1,746,477 | |
Mack-Cali Realty Corp. | 131,300 | 2,758,613 | |
Medical Properties Trust, Inc. | 964,367 | 17,580,410 | |
Mid-America Apartment Communities, Inc. | 105,167 | 10,893,198 | |
National Retail Properties, Inc. | 366,949 | 19,118,043 | |
National Storage Affiliates Trust | 153,606 | 4,350,122 | |
Omega Healthcare Investors, Inc. | 208,228 | 7,475,385 | |
One Liberty Properties, Inc. | 76,400 | 2,201,848 | |
Outfront Media, Inc. | 432,051 | 9,695,224 | |
Park Hotels & Resorts, Inc. | 246,296 | 7,694,287 | |
Piedmont Office Realty Trust, Inc. Class A | 504,344 | 10,323,922 | |
Preferred Apartment Communities, Inc. Class A | 234,200 | 3,569,208 | |
Prologis, Inc. | 55,396 | 3,881,044 | |
Retail Properties America, Inc. | 173,172 | 2,157,723 | |
RLJ Lodging Trust | 551,079 | 10,233,537 | |
Ryman Hospitality Properties, Inc. | 43,969 | 3,561,049 | |
Sabra Health Care REIT, Inc. | 207,182 | 3,754,138 | |
Senior Housing Properties Trust (SBI) | 399,400 | 5,172,230 | |
SL Green Realty Corp. | 22,792 | 2,067,690 | |
Spirit MTA REIT | 35,158 | 258,411 | |
Spirit Realty Capital, Inc. | 144,440 | 5,581,162 | |
Stag Industrial, Inc. | 288,999 | 7,999,492 | |
Summit Hotel Properties, Inc. | 198,800 | 2,264,332 | |
Sun Communities, Inc. | 80,476 | 9,139,659 | |
Tanger Factory Outlet Centers, Inc. (b) | 101,800 | 2,197,862 | |
The GEO Group, Inc. | 102,700 | 2,333,344 | |
VEREIT, Inc. | 1,265,900 | 10,089,223 | |
Washington Prime Group, Inc. | 365,000 | 2,109,700 | |
Weingarten Realty Investors (SBI) | 101,566 | 2,926,116 | |
Weyerhaeuser Co. | 155,342 | 3,866,462 | |
Xenia Hotels & Resorts, Inc. | 257,700 | 5,032,881 | |
314,690,678 | |||
Real Estate Management & Development - 0.3% | |||
Altisource Portfolio Solutions SA (a)(b) | 10,578 | 265,190 | |
Cushman & Wakefield PLC | 479,096 | 8,781,830 | |
HFF, Inc. | 200,334 | 9,055,097 | |
Jones Lang LaSalle, Inc. | 13,788 | 2,276,675 | |
Marcus & Millichap, Inc. (a) | 12,521 | 483,561 | |
Realogy Holdings Corp. (b) | 111,730 | 1,519,528 | |
Retail Value, Inc. | 36,735 | 1,143,561 | |
23,525,442 | |||
TOTAL REAL ESTATE | 338,216,120 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.8% | |||
Alliant Energy Corp. | 192,877 | 8,847,268 | |
Entergy Corp. | 158,000 | 14,746,140 | |
FirstEnergy Corp. | 245,700 | 10,012,275 | |
PNM Resources, Inc. | 132,445 | 5,785,198 | |
Portland General Electric Co. | 445,711 | 22,347,950 | |
PPL Corp. | 169,715 | 5,459,732 | |
67,198,563 | |||
Gas Utilities - 0.1% | |||
Southwest Gas Holdings, Inc. | 71,628 | 5,869,198 | |
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 457,251 | 7,878,435 | |
Multi-Utilities - 0.2% | |||
Black Hills Corp. | 74,766 | 5,306,891 | |
NorthWestern Energy Corp. | 182,217 | 12,489,153 | |
17,796,044 | |||
TOTAL UTILITIES | 98,742,240 | ||
TOTAL COMMON STOCKS | |||
(Cost $6,387,997,257) | 7,464,098,205 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(c)(d) | |||
(Cost $257,662) | 6,381 | 291,995 | |
Equity Funds - 5.4% | |||
Mid-Cap Blend Funds - 2.1% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (e) | 13,706,105 | 166,666,203 | |
Mid-Cap Growth Funds - 0.0% | |||
iShares Russell Midcap Growth Index ETF | 11,745 | 1,574,417 | |
Sector Funds - 1.2% | |||
Fidelity SAI Real Estate Index Fund (e) | 8,728,094 | 99,325,713 | |
Small Blend Funds - 2.1% | |||
Fidelity Small Cap Index Fund Institutional Premium Class (e) | 8,257,049 | 166,544,687 | |
Small Growth Funds - 0.0% | |||
iShares Russell 2000 Growth Index ETF (b) | 21,475 | 4,284,907 | |
TOTAL EQUITY FUNDS | |||
(Cost $386,235,677) | 438,395,927 | ||
Money Market Funds - 6.3% | |||
Fidelity Cash Central Fund, 2.44% (f) | 1,954,507 | 1,954,898 | |
Fidelity Securities Lending Cash Central Fund 2.45% (f)(g) | 317,787,360 | 317,819,139 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35%(h) | 193,446,244 | 193,446,244 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $513,220,281) | 513,220,281 | ||
TOTAL INVESTMENT IN SECURITIES - 104.1% | |||
(Cost $7,287,710,877) | 8,416,006,408 | ||
NET OTHER ASSETS (LIABILITIES) - (4.1)% | (334,444,815) | ||
NET ASSETS - 100% | $8,081,561,593 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | March 2019 | $78,775 | $13,133 | $13,133 |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 4 | March 2019 | 764,320 | 105,921 | 105,921 |
TOTAL FUTURES CONTRACTS | $119,054 |
The notional amount of futures purchased as a percentage of Net Assets is 0.0%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $50,580,696.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $291,995 or 0.0% of net assets.
(e) Affiliated Fund
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(g) Investment made with cash collateral received from securities on loan.
(h) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 9/25/15 | $257,662 |
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 | $24,569 |
Fidelity Securities Lending Cash Central Fund | 2,042,611 |
Total | $2,067,180 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity SAI Real Estate Index Fund | $83,998,367 | $1,501,503 | $-- | $3,500,647 | $-- | $13,825,843 | $99,325,713 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 275,953,755 | 426,734,188 | 544,768,600 | 17,516,866 | 21,447,676 | (12,700,816) | 166,666,203 |
Fidelity Small Cap Index Fund Institutional Premium Class | -- | 611,300,914 | 435,417,497 | 9,242,706 | (30,194,725) | 20,855,995 | 166,544,687 |
Fidelity Small Cap Value Fund | 351,418,023 | -- | 366,639,134 | 858,923 | 74,399,498 | (59,178,387) | -- |
Total | $711,370,145 | $1,039,536,605 | $1,346,825,231 | $31,119,142 | $65,652,449 | $(37,197,365) | $432,536,603 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $237,858,953 | $237,858,953 | $-- | $-- |
Consumer Discretionary | 1,028,623,197 | 1,028,331,202 | -- | 291,995 |
Consumer Staples | 179,880,911 | 179,880,911 | -- | -- |
Energy | 293,096,976 | 293,096,976 | -- | -- |
Financials | 1,146,415,597 | 1,146,415,597 | -- | -- |
Health Care | 898,049,880 | 898,049,880 | -- | -- |
Industrials | 1,312,434,461 | 1,312,434,461 | -- | -- |
Information Technology | 1,559,041,399 | 1,559,041,399 | -- | -- |
Materials | 372,030,466 | 372,030,442 | -- | 24 |
Real Estate | 338,216,120 | 338,216,120 | -- | -- |
Utilities | 98,742,240 | 98,742,240 | -- | -- |
Equity Funds | 438,395,927 | 438,395,927 | -- | -- |
Money Market Funds | 513,220,281 | 513,220,281 | -- | -- |
Total Investments in Securities: | $8,416,006,408 | $8,415,714,389 | $-- | $292,019 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $119,054 | $119,054 | $-- | $-- |
Total Assets | $119,054 | $119,054 | $-- | $-- |
Total Derivative Instruments: | $119,054 | $119,054 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $119,054 | $0 |
Total Equity Risk | 119,054 | 0 |
Total Value of Derivatives | $119,054 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $306,225,141) — See accompanying schedule: Unaffiliated issuers (cost $6,586,915,751) | $7,663,695,768 | |
Fidelity Central Funds (cost $319,774,037) | 319,774,037 | |
Other affiliated issuers (cost $381,021,089) | 432,536,603 | |
Total Investment in Securities (cost $7,287,710,877) | $8,416,006,408 | |
Segregated cash with brokers for derivative instruments | 122,400 | |
Receivable for investments sold | 57,317,685 | |
Receivable for fund shares sold | 2,259,732 | |
Dividends receivable | 7,734,322 | |
Interest receivable | 292,462 | |
Distributions receivable from Fidelity Central Funds | 107,551 | |
Prepaid expenses | 3,683 | |
Other receivables | 142,827 | |
Total assets | 8,483,987,070 | |
Liabilities | ||
Payable to custodian bank | $1,250,257 | |
Payable for investments purchased | 76,386,260 | |
Payable for fund shares redeemed | 3,839,368 | |
Accrued management fee | 2,829,702 | |
Payable for daily variation margin on futures contracts | 11,899 | |
Other affiliated payables | 100,317 | |
Other payables and accrued expenses | 189,097 | |
Collateral on securities loaned | 317,818,577 | |
Total liabilities | 402,425,477 | |
Net Assets | $8,081,561,593 | |
Net Assets consist of: | ||
Paid in capital | $7,077,223,985 | |
Total distributable earnings (loss) | 1,004,337,608 | |
Net Assets, for 593,345,360 shares outstanding | $8,081,561,593 | |
Net Asset Value, offering price and redemption price per share ($8,081,561,593 ÷ 593,345,360 shares) | $13.62 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $84,729,454 | |
Affiliated issuers | 9,459,368 | |
Interest | 4,064,107 | |
Income from Fidelity Central Funds | 2,067,180 | |
Total income | 100,320,109 | |
Expenses | ||
Management fee | $52,568,708 | |
Transfer agent fees | 4,211,838 | |
Accounting and security lending fees | 1,266,971 | |
Custodian fees and expenses | 194,737 | |
Independent trustees' fees and expenses | 94,565 | |
Registration fees | 89,090 | |
Audit | 84,143 | |
Legal | 50,240 | |
Miscellaneous | 84,081 | |
Total expenses before reductions | 58,644,373 | |
Expense reductions | (20,193,851) | |
Total expenses after reductions | 38,450,522 | |
Net investment income (loss) | 61,869,587 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 275,483,245 | |
Fidelity Central Funds | 2,132 | |
Other affiliated issuers | 65,652,449 | |
Foreign currency transactions | (8,308) | |
Futures contracts | 15,928,093 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 21,659,774 | |
Total net realized gain (loss) | 378,717,385 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (166,398,706) | |
Affiliated issuers | (37,197,365) | |
Assets and liabilities in foreign currencies | 811 | |
Futures contracts | 21,655 | |
Total change in net unrealized appreciation (depreciation) | (203,573,605) | |
Net gain (loss) | 175,143,780 | |
Net increase (decrease) in net assets resulting from operations | $237,013,367 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $61,869,587 | $38,726,095 |
Net realized gain (loss) | 378,717,385 | 813,674,202 |
Change in net unrealized appreciation (depreciation) | (203,573,605) | 107,118,004 |
Net increase (decrease) in net assets resulting from operations | 237,013,367 | 959,518,301 |
Distributions to shareholders | (805,620,345) | – |
Distributions to shareholders from net investment income | – | (34,846,518) |
Distributions to shareholders from net realized gain | – | (584,051,673) |
Total distributions | (805,620,345) | (618,898,191) |
Share transactions | ||
Proceeds from sales of shares | 2,475,758,767 | 777,512,574 |
Reinvestment of distributions | 803,532,856 | 617,213,828 |
Cost of shares redeemed | (2,132,255,365) | (1,280,920,705) |
Net increase (decrease) in net assets resulting from share transactions | 1,147,036,258 | 113,805,697 |
Total increase (decrease) in net assets | 578,429,280 | 454,425,807 |
Net Assets | ||
Beginning of period | 7,503,132,313 | 7,048,706,506 |
End of period | $8,081,561,593 | $7,503,132,313 |
Other Information | ||
Undistributed net investment income end of period | $6,405,858 | |
Shares | ||
Sold | 175,003,000 | 52,904,604 |
Issued in reinvestment of distributions | 64,550,159 | 41,904,328 |
Redeemed | (150,975,250) | (86,702,639) |
Net increase (decrease) | 88,577,909 | 8,106,293 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016 A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.86 | $14.19 | $11.12 | $13.66 | $14.12 |
Income from Investment Operations | |||||
Net investment income (loss)B | .11 | .08 | .05 | .04 | .03 |
Net realized and unrealized gain (loss) | .11 | 1.88 | 3.29 | (1.78) | .64 |
Total from investment operations | .22 | 1.96 | 3.34 | (1.74) | .67 |
Distributions from net investment income | (.11) | (.07) | (.04) | (.03) | (.03) |
Distributions from net realized gain | (1.35) | (1.22) | (.22) | (.77) | (1.11) |
Total distributions | (1.46) | (1.29) | (.27)C | (.80) | (1.13)D |
Net asset value, end of period | $13.62 | $14.86 | $14.19 | $11.12 | $13.66 |
Total ReturnE | 2.64% | 14.04% | 30.11% | (13.45)% | 5.45% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .73% | .85% | .87% | .72% | .62% |
Expenses net of fee waivers, if any | .48% | .60% | .62% | .46% | .37% |
Expenses net of all reductions | .48% | .60% | .62% | .46% | .37% |
Net investment income (loss) | .77% | .53% | .37% | .28% | .23% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $8,081,562 | $7,503,132 | $7,048,707 | $6,718,287 | $7,202,333 |
Portfolio turnover rateH | 82% | 75% | 82% | 71% | 54% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.27 per share is comprised of distributions from net investment income of $.044 and distributions from net realized gain of $.224 per share.
D Total distributions of $1.13 per share is comprised of distributions from net investment income of $.026 and distributions from net realized gain of $1.105 per share.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers Small-Mid Cap Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $95,604 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $1,573,507,772 |
Gross unrealized depreciation | (507,359,923) |
Net unrealized appreciation (depreciation) | $1,066,147,849 |
Tax Cost | $7,349,858,559 |
The Fund intends to elect to defer to its next fiscal year $61,715,443 of capital losses recognized during the period November 1,2018 to February 28, 2019.
The tax-based components of distributable earnings as of period end were as follows:
Net unrealized appreciation (depreciation) on securities and other investments | $1,066,148,652 |
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $154,708,847 | $ 85,227,323 |
Long-term Capital Gains | 650,911,498 | 533,670,868 |
Total | $805,620,345 | $ 618,898,191 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares and in-kind transactions), other than short-term securities, aggregated $7,134,244,078 and $6,375,151,682, respectively.
Unaffiliated Exchanges In-Kind. During the period, the Fund redeemed 13,396,695 shares of AB Discovery Value Fund Advisor Class in exchange for investments and cash with a value of $324,601,918. The net realized gains of $5,799,071 on the Fund's redemptions of AB Discovery Value Fund Advisor Class shares are included in "Net realized gain (loss) on Investment securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized gains on the exchanges for federal income tax purposes.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.10% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .65% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. AllianceBernstein, L.P. (AB), ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), LLC, Boston Partners Global Investors, Inc., Fisher Investments, Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, Rice Hall James & Associates, LLC, Victory Capital Management, Inc., Systematic Financial Management, L.P. (through May 17, 2018), Mellon Investments Corporation (formerly BNY Mellon Asset Management North America Corporation) and Voya Investment Management Co., LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (FIAM)(an affiliate of the investment adviser) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIAM has not been allocated any portion of the Fund's assets. FIAM in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .05% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. For the period, the fees were equivalent to an annual rate of .02%.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $10,103 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $21,685 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. 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 $2,042,611.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $20,182,604.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $11,247 for the period.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets.
At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity SAI Real Estate Index Fund | 99% |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Small-Mid Cap Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Small-Mid Cap Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 15, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .43% | $1,000.00 | $925.10 | $2.05 |
Hypothetical-C | $1,000.00 | $1,022.66 | $2.16 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2019, $381,648,536, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 14% and 53% of the dividends distributed in April and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 15% and 59% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Small-Mid Cap Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreements with AllianceBernstein L.P. (AB), ArrowMark Partners, BNY Mellon Asset Management North America Corporation (formerly The Boston Company Asset Management, LLC) (BNY Mellon), Boston Partners Global Investors, Inc., FIAM LLC, Fisher Investments, Inc., Geode Capital Management, LLC, J.P. Morgan Investment Management Inc., LSV Asset Management, Portolan Capital Management, LLC, Rice Hall James & Associates, Victory Capital Management, Inc., and Voya Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund. The Board also approved an amended sub-advisory agreement with BNY Mellon on behalf of the fund to reflect the change in BNY Mellon's name from The Boston Company Asset Management, LLC to BNY Mellon Asset Management North America Corporation, noting that no other contract terms were impacted and that BNY Mellon will continue to provide the same services to the fund. In addition, the Board approved amendments to the sub-advisory agreement with AB to add a new mandate and implement a new fee schedule for AB's existing mandate, effective September 1, 2018. The Board noted that while the new fee schedule is expected to decrease the fund's total management fee by up to 1 basis point, the new mandate (once funded) is expected to increase the fund's total management fee rate by 2 basis points, but decrease the fund's net expenses by 2 basis points. The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with AB. The Board also noted that the amended sub-advisory agreement with AB would not result in changes to the nature, extent, and quality of the services provided to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the Advisory Contracts described above (Amendments), the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the amendments thereto do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Small-Mid Cap Fund
Strategic Advisers Small-Mid Cap Fund
Board Approval of Sub-Advisory Agreement
Strategic Advisers Small-Mid Cap Fund
On December 5, 2018, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve an investment advisory agreement (the Sub-Advisory Agreement) with AllianceBernstein L.P. (AllianceBernstein) for the fund in the event of certain changes to the indirect ownership of AllianceBernstein. The Board noted that the terms of the Sub-Advisory Agreement are identical in all material respects to those of the existing sub-advisory agreement with AllianceBernstein, except with respect to the date of execution
The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information it believed relevant to the approval of the Sub-Advisory Agreement.
In considering whether to approve the Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which the fund’s investment adviser, Strategic Advisers LLC (Strategic Advisers), or its affiliates derive an inappropriate advantage. Also, the Board found that the sub-advisory fees to be charged under the Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board’s decision to approve the Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board.
Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding AllianceBernstein, including the backgrounds of its investment personnel, and also took into consideration the fund’s investment objective, strategies and related investment philosophy, in connection with the annual renewal of the fund’s current sub-advisory agreement with AllianceBernstein at its September 2018 Board meeting.The Board considered that the Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered that the Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund’s assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management under the existing sub-advisory agreement.Investment Performance. The Board considered that it received information regarding AllianceBernstein’s historical investment performance in managing fund assets in connection with the annual renewal of the fund’s current sub-advisory agreement with AllianceBernstein and throughout the year. The Board did not consider performance to be a material factor in its decision to approve the Sub-Advisory Agreement because the Sub-Advisory Agreement would not result in any changes to the fund’s investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement will continue to benefit the fund’s shareholders.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to Strategic Advisers and the amount and nature of fees to be paid by Strategic Advisers to AllianceBernstein and the absence of any change in the fund’s total operating expenses as a result of approving the Sub-Advisory Agreement.The Board considered that there are no expected changes to the fund’s management fees or total operating expenses as a result of approving the Sub-Advisory Agreement and that the fund’s management fees and total net expenses are expected to maintain the same relationship to the competitive peer group medians reviewed by the Board in connection with the annual renewal of the fund’s advisory contracts at the September 2018 meeting.Based on its review, the Board concluded that the fund’s management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Sub-Advisory Agreement was negotiated at arm’s length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, during its annual renewal of the fund’s advisory agreement with Strategic Advisers. With respect to AllianceBernstein, the Board considered Strategic Advisers’ representation that it does not anticipate that the approval of the Sub-Advisory Agreement will have a material impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund’s advisory agreement with Strategic Advisers and the fund’s sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to AllianceBernstein as assets allocated to AllianceBernstein grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund’s advisory agreement with Strategic Advisers at its September 2018 Board meeting.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the Sub-Advisory Agreement’s fee structure bears a reasonable relationship to the services to be rendered and that the Sub-Advisory Agreement should be approved because the Sub-Advisory Agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SMC-ANN-0419
1.912857.108
Strategic Advisers® Income Opportunities Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Income Opportunities Fund | 3.21% | 3.74% | 10.52% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Income Opportunities Fund on February 28, 2009.
The chart shows how the value of your investment would have changed, and also shows how the ICE® BofAML® US High Yield Constrained Index performed over the same period.
Period Ending Values | ||
$27,194 | Strategic Advisers® Income Opportunities Fund | |
$29,526 | ICE® BofAML® US High Yield Constrained Index |
Management's Discussion of Fund Performance
Market Recap: U.S. corporate high-yield bonds gained 4.26% for the 12 months ending February 28, 2019, as measured by the ICE BofAML® US High Yield Constrained Index. After beginning the period on a negative note in March 2018, high yield bonds staged a modest-but-steady uptick through September, fueled by strong corporate earnings, robust U.S. economic growth and higher oil prices. The tide then turned in October, however, on concern that corporate earnings growth may have peaked. Uncertainty about the ultimate resolution of U.S.-China trade negotiations, apprehension about the U.S. Federal Reserve raising policy rates too fast and a precipitous decline in oil prices also weighed on the asset class. Against this backdrop, high yield bonds posted three-straight months of negative performance. Investor sentiment improved in January and February however, following dovish comments from Fed Chairman Jerome Powell, progress in U.S.-China trade talks and a rebound in oil prices, all of which helped the asset class rally. For the full 12 months, mid-tier B-rated bonds (+5%) posted the best performance, topping credits rated BB (+4%) and CCC or lower (+2%), as investors moved away from riskier, lower-quality bonds. By industry, more defensive groups generated the best results, led by health care (+8%), telecommunications (+7%), utilities (+6%) and cable & satellite TV (+6%). Notable laggards included automotive & auto parts (-1%), index heavyweight energy (+1%), homebuilders/real estate (+2%) and banks & thrifts (+3%).Comments from Portfolio Manager Charles Sterling: For the fiscal year, the Fund gained 3.21%, trailing its benchmark, the ICE BofAML® US High Yield Constrained Index. Poor security selection by one underlying manager and substantial equity exposure by another hampered the Fund’s overall performance versus the benchmark. Hotchkis & Wiley High Yield Fund was the largest relative detractor, due to adverse security selection in the energy sector. Fidelity® Capital & Income Fund also worked against our relative result, hampered by a sizable allocation to stocks. On the plus side, the High Income strategy managed by sub-adviser FIAM® was the leading relative contributor, fueled by strong security selection across a number of sectors. Recognizing that both the U.S. economy and the high-yield credit cycle are in their later phases, I began reducing risk in the portfolio. Specifically, I trimmed the Fund’s allocations to Fidelity® Capital & Income Fund and BlackRock High Yield Bond Portfolio – both of which pursue higher-risk, opportunistic strategies. I plan to continue this process in the months ahead.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.
Note to shareholders: On January 1, 2019, former Co-Manager Gregory Pappas retired after 28 years with the firm, leaving Charles Sterling as sole manager of the Fund. On April 1, 2019, Jonathan Duggan will assume co-management responsibilities for the fund, joining Lead Manager Chip Sterling.Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents) | % of fund's net assets |
Hotchkis and Wiley High Yield Fund Class A | 13.8 |
Fidelity Capital & Income Fund | 13.6 |
Artisan High Income Fund Investor Shares | 11.5 |
T. Rowe Price High Yield Fund Advisor Class | 11.1 |
Mainstay High Yield Corporate Bond Fund Class A | 8.3 |
Prudential High Yield Fund | 7.7 |
Fidelity Advisor High Income Advantage Fund Class I | 6.1 |
Eaton Vance Income Fund of Boston Class A | 4.2 |
BlackRock High Yield Bond Portfolio Institutional Class | 2.8 |
Fidelity Cash Central Fund | 0.6 |
79.7 |
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Corporate Bonds | 18.9% | |
High Yield Fixed-Income Funds | 79.1% | |
Other Investments | 1.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Corporate Bonds - 18.9% | |||
Principal Amount | Value | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.1% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $1,500,000 | $1,243,067 | |
3.375% 8/15/26 | 800,000 | 687,120 | |
1,930,187 | |||
Nonconvertible Bonds - 18.8% | |||
COMMUNICATION SERVICES - 3.8% | |||
Diversified Telecommunication Services - 0.6% | |||
Altice Finco SA 7.625% 2/15/25 (a) | 1,595,000 | 1,427,525 | |
C&W Senior Financing Designated Activity Co. 7.5% 10/15/26 (a) | 1,390,000 | 1,417,800 | |
Level 3 Communications, Inc. 5.75% 12/1/22 | 1,250,000 | 1,264,063 | |
Level 3 Financing, Inc.: | |||
5.125% 5/1/23 | 1,600,000 | 1,610,144 | |
5.25% 3/15/26 | 590,000 | 578,938 | |
5.375% 1/15/24 | 675,000 | 679,219 | |
5.375% 5/1/25 | 715,000 | 713,213 | |
Qwest Corp. 6.75% 12/1/21 | 670,000 | 713,416 | |
Sable International Finance Ltd. 6.875% 8/1/22 (a) | 902,000 | 938,080 | |
SFR Group SA: | |||
6.25% 5/15/24 (a) | 1,370,000 | 1,370,000 | |
7.375% 5/1/26 (a) | 1,115,000 | 1,094,094 | |
8.125% 2/1/27 (a) | 1,510,000 | 1,517,550 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 2,600,000 | 2,502,500 | |
U.S. West Communications 7.25% 9/15/25 | 735,000 | 784,481 | |
16,611,023 | |||
Media - 2.4% | |||
Altice Financing SA 7.5% 5/15/26 (a) | 4,770,000 | 4,614,975 | |
Altice SA 7.75% 5/15/22 (a) | 1,170,000 | 1,162,688 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 835,000 | 861,355 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (a) | 3,215,000 | 3,175,198 | |
5% 2/1/28 (a) | 1,325,000 | 1,275,313 | |
5.125% 2/15/23 | 4,000,000 | 4,065,000 | |
5.125% 5/1/23 (a) | 2,195,000 | 2,233,632 | |
5.125% 5/1/27 (a) | 2,805,000 | 2,752,406 | |
5.5% 5/1/26 (a) | 5,360,000 | 5,465,646 | |
CSC Holdings LLC: | |||
5.25% 6/1/24 | 1,115,000 | 1,114,621 | |
5.375% 7/15/23 (a) | 3,000,000 | 3,083,100 | |
5.5% 5/15/26 (a) | 1,380,000 | 1,395,525 | |
5.5% 4/15/27 (a) | 2,650,000 | 2,663,250 | |
7.5% 4/1/28 (a) | 1,235,000 | 1,302,925 | |
7.75% 7/15/25 (a) | 1,555,000 | 1,659,963 | |
DISH DBS Corp.: | |||
5.875% 11/15/24 | 2,840,000 | 2,391,848 | |
6.75% 6/1/21 | 1,120,000 | 1,145,200 | |
7.75% 7/1/26 | 1,060,000 | 916,900 | |
E.W. Scripps Co. 5.125% 5/15/25 (a) | 830,000 | 798,875 | |
MDC Partners, Inc. 6.5% 5/1/24 (a) | 3,695,000 | 3,196,175 | |
Nielsen Co. SARL (Luxembourg): | |||
5% 2/1/25 (a) | 155,000 | 153,063 | |
5.5% 10/1/21 (a) | 225,000 | 226,969 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 2,135,000 | 2,129,663 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (a) | 1,625,000 | 1,614,356 | |
5% 8/1/27 (a) | 1,060,000 | 1,036,129 | |
5.375% 4/15/25 (a) | 2,165,000 | 2,206,270 | |
6% 7/15/24 (a) | 1,700,000 | 1,761,625 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 2,970,000 | 2,955,150 | |
Ziggo Bond Finance BV: | |||
5.875% 1/15/25 (a) | 2,425,000 | 2,357,585 | |
6% 1/15/27 (a) | 2,000,000 | 1,895,000 | |
Ziggo Secured Finance BV 5.5% 1/15/27 (a) | 2,905,000 | 2,803,325 | |
64,413,730 | |||
Wireless Telecommunication Services - 0.8% | |||
Citizens Utilities Co. 7.05% 10/1/46 | 2,508,000 | 1,254,000 | |
Intelsat Jackson Holdings SA 8.5% 10/15/24 (a) | 1,860,000 | 1,878,042 | |
Millicom International Cellular SA: | |||
6% 3/15/25 (a) | 205,000 | 208,331 | |
6.625% 10/15/26 (a) | 2,015,000 | 2,090,059 | |
Neptune Finco Corp. 6.625% 10/15/25 (a) | 750,000 | 791,250 | |
Sprint Communications, Inc. 6% 11/15/22 | 4,800,000 | 4,869,600 | |
Sprint Corp. 7.875% 9/15/23 | 6,595,000 | 7,048,406 | |
T-Mobile U.S.A., Inc.: | |||
4.5% 2/1/26 | 1,060,000 | 1,044,089 | |
5.125% 4/15/25 | 995,000 | 1,020,186 | |
6.375% 3/1/25 | 700,000 | 728,438 | |
20,932,401 | |||
TOTAL COMMUNICATION SERVICES | 101,957,154 | ||
CONSUMER DISCRETIONARY - 1.8% | |||
Diversified Consumer Services - 0.1% | |||
Frontdoor, Inc. 6.75% 8/15/26 (a) | 860,000 | 873,975 | |
Laureate Education, Inc. 8.25% 5/1/25 (a) | 2,265,000 | 2,446,200 | |
3,320,175 | |||
Hotels, Restaurants & Leisure - 1.4% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 780,000 | 759,525 | |
5% 10/15/25 (a) | 1,410,000 | 1,367,348 | |
Aramark Services, Inc. 4.75% 6/1/26 | 5,480,000 | 5,438,900 | |
Delta Merger Sub, Inc. 6% 9/15/26 (a) | 250,000 | 254,375 | |
Eldorado Resorts, Inc. 6% 4/1/25 | 1,765,000 | 1,793,681 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 1,325,000 | 1,372,024 | |
Golden Nugget, Inc. 6.75% 10/15/24 (a) | 2,695,000 | 2,708,475 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 | 670,000 | 659,950 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 655,000 | 651,725 | |
4.875% 4/1/27 | 390,000 | 388,050 | |
MCE Finance Ltd. 4.875% 6/6/25 (a) | 215,000 | 206,689 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 6,050,000 | 5,797,897 | |
5.75% 2/1/27 (a) | 505,000 | 516,994 | |
Scientific Games Corp.: | |||
5% 10/15/25 (a) | 1,720,000 | 1,666,250 | |
10% 12/1/22 | 1,980,000 | 2,081,475 | |
Stars Group Holdings BV 7% 7/15/26 (a) | 2,565,000 | 2,624,790 | |
Station Casinos LLC 5% 10/1/25 (a) | 1,145,000 | 1,112,081 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 1,340,000 | 1,355,611 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (a) | 1,260,000 | 1,205,269 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (a) | 1,950,000 | 1,881,750 | |
5.5% 10/1/27 (a) | 2,305,000 | 2,197,679 | |
36,040,538 | |||
Household Durables - 0.1% | |||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (a) | 1,000,000 | 1,000,000 | |
7% 7/15/24 (a) | 1,070,000 | 1,095,659 | |
2,095,659 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Zayo Group LLC/Zayo Capital, Inc.: | |||
5.75% 1/15/27 (a) | 1,565,000 | 1,518,050 | |
6.375% 5/15/25 | 1,000,000 | 992,500 | |
2,510,550 | |||
Leisure Products - 0.1% | |||
Mattel, Inc. 6.75% 12/31/25 (a) | 1,520,000 | 1,497,200 | |
Specialty Retail - 0.0% | |||
Sally Holdings LLC 5.625% 12/1/25 | 180,000 | 176,625 | |
Textiles, Apparel & Luxury Goods - 0.0% | |||
The William Carter Co. 5.625% 3/15/27 (a)(b) | 880,000 | 880,000 | |
TOTAL CONSUMER DISCRETIONARY | 46,520,747 | ||
CONSUMER STAPLES - 0.7% | |||
Food & Staples Retailing - 0.1% | |||
C&S Group Enterprises LLC 5.375% 7/15/22 (a) | 2,450,000 | 2,465,313 | |
Food Products - 0.5% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 75,000 | 70,497 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (a) | 3,480,000 | 3,529,764 | |
5.875% 7/15/24 (a) | 5,345,000 | 5,494,660 | |
Lamb Weston Holdings, Inc.: | |||
4.625% 11/1/24 (a) | 330,000 | 331,650 | |
4.875% 11/1/26 (a) | 2,000,000 | 2,002,500 | |
Post Holdings, Inc.: | |||
5% 8/15/26 (a) | 865,000 | 831,481 | |
5.75% 3/1/27 (a) | 720,000 | 710,100 | |
12,970,652 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 6.375% 3/1/24 (a) | 500,000 | 502,500 | |
Tobacco - 0.1% | |||
Vector Group Ltd. 6.125% 2/1/25 (a) | 3,795,000 | 3,358,575 | |
TOTAL CONSUMER STAPLES | 19,297,040 | ||
ENERGY - 3.3% | |||
Energy Equipment & Services - 0.4% | |||
Ensco PLC 5.2% 3/15/25 | 2,500,000 | 1,918,750 | |
Jonah Energy LLC 7.25% 10/15/25 (a) | 1,840,000 | 1,186,800 | |
Nabors Industries, Inc. 5.5% 1/15/23 | 355,000 | 332,813 | |
Noble Holding International Ltd.: | |||
5.25% 3/15/42 | 510,000 | 316,200 | |
6.2% 8/1/40 | 2,000,000 | 1,280,000 | |
7.75% 1/15/24 | 65,000 | 57,850 | |
7.875% 2/1/26 (a) | 515,000 | 481,525 | |
7.95% 4/1/25 (c) | 260,000 | 227,500 | |
Summit Midstream Holdings LLC 5.75% 4/15/25 | 1,650,000 | 1,575,750 | |
Weatherford International Ltd.: | |||
5.95% 4/15/42 | 150,000 | 88,875 | |
6.5% 8/1/36 | 440,000 | 261,800 | |
9.875% 2/15/24 | 360,000 | 259,200 | |
Weatherford International, Inc. 9.875% 3/1/25 | 3,790,000 | 2,700,375 | |
10,687,438 | |||
Oil, Gas & Consumable Fuels - 2.9% | |||
California Resources Corp. 8% 12/15/22 (a) | 4,710,000 | 3,762,113 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 | 1,080,000 | 1,101,600 | |
5.875% 3/31/25 | 2,230,000 | 2,374,972 | |
7% 6/30/24 | 3,345,000 | 3,704,588 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 4,235,000 | 4,287,938 | |
5.625% 10/1/26 (a) | 615,000 | 626,531 | |
Chesapeake Energy Corp.: | |||
5.75% 3/15/23 | 1,020,000 | 984,300 | |
8% 1/15/25 | 1,660,000 | 1,686,975 | |
8% 6/15/27 | 875,000 | 866,556 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (a) | 1,797,000 | 1,790,261 | |
Comstock Escrow Corp. 9.75% 8/15/26 (a) | 2,215,000 | 2,053,028 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 6.5382% 6/15/22 (a)(c)(d) | 3,140,000 | 3,124,325 | |
6.5% 5/15/26 (a) | 1,100,000 | 1,042,250 | |
6.875% 6/15/25 (a) | 990,000 | 965,250 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.75% 4/1/25 | 900,000 | 905,906 | |
6.25% 4/1/23 | 1,580,000 | 1,621,902 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 2,605,000 | 2,657,100 | |
DCP Midstream Operating LP 5.375% 7/15/25 | 1,785,000 | 1,856,400 | |
Denbury Resources, Inc. 9.25% 3/31/22 (a) | 4,070,000 | 4,080,175 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (a) | 230,000 | 240,925 | |
5.75% 1/30/28 (a) | 230,000 | 244,950 | |
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (a) | 2,780,000 | 1,959,900 | |
Global Partners LP/GLP Finance Corp. 6.25% 7/15/22 | 3,000,000 | 2,940,000 | |
Hess Infrastructure Partners LP 5.625% 2/15/26 (a) | 2,655,000 | 2,668,275 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (a) | 265,000 | 254,400 | |
5.75% 10/1/25 (a) | 1,000,000 | 993,750 | |
Indigo Natural Resources LLC 6.875% 2/15/26 (a) | 1,250,000 | 1,090,625 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (a) | 1,235,000 | 1,231,913 | |
MEG Energy Corp. 7% 3/31/24 (a) | 1,350,000 | 1,235,250 | |
Parsley Energy LLC/Parsley: | |||
5.25% 8/15/25 (a) | 170,000 | 168,249 | |
5.375% 1/15/25 (a) | 1,760,000 | 1,764,400 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 2,945,000 | 2,997,421 | |
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 11/15/23 | 2,025,000 | 1,893,375 | |
Sanchez Energy Corp. 7.25% 2/15/23 (a) | 3,615,000 | 3,117,938 | |
SemGroup Corp.: | |||
6.375% 3/15/25 | 1,750,000 | 1,649,375 | |
7.25% 3/15/26 | 1,730,000 | 1,673,775 | |
Southwestern Energy Co. 7.75% 10/1/27 | 980,000 | 1,017,975 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 815,000 | 825,188 | |
5.5% 2/15/26 | 585,000 | 581,081 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5.125% 2/1/25 | 2,000,000 | 2,010,000 | |
5.25% 5/1/23 | 1,825,000 | 1,850,076 | |
5.375% 2/1/27 | 3,000,000 | 3,015,030 | |
Teine Energy Ltd. 6.875% 9/30/22 (a) | 660,000 | 663,300 | |
75,579,341 | |||
TOTAL ENERGY | 86,266,779 | ||
FINANCIALS - 2.3% | |||
Capital Markets - 0.1% | |||
MSCI, Inc. 4.75% 8/1/26 (a) | 1,775,000 | 1,775,000 | |
Consumer Finance - 0.8% | |||
Ally Financial, Inc.: | |||
5.75% 11/20/25 | 7,320,000 | 7,759,200 | |
8% 11/1/31 | 1,850,000 | 2,284,750 | |
Navient Corp.: | |||
5.875% 10/25/24 | 195,000 | 187,688 | |
6.5% 6/15/22 | 2,610,000 | 2,685,821 | |
6.75% 6/15/26 | 1,190,000 | 1,142,400 | |
7.25% 9/25/23 | 1,825,000 | 1,882,031 | |
SLM Corp.: | |||
5.5% 1/25/23 | 1,620,000 | 1,599,750 | |
6.125% 3/25/24 | 505,000 | 492,375 | |
7.25% 1/25/22 | 1,015,000 | 1,064,481 | |
Springleaf Financial Corp.: | |||
6.875% 3/15/25 | 700,000 | 717,500 | |
7.125% 3/15/26 | 2,100,000 | 2,110,710 | |
21,926,706 | |||
Diversified Financial Services - 1.2% | |||
Avolon Holdings Funding Ltd.: | |||
5.125% 10/1/23 (a) | 3,745,000 | 3,782,450 | |
5.5% 1/15/23 (a) | 1,400,000 | 1,435,280 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (a) | 230,000 | 207,000 | |
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (a) | 3,200,000 | 3,036,000 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 980,000 | 984,724 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.875% 2/1/22 | 2,795,000 | 2,826,444 | |
6.25% 2/1/22 | 3,690,000 | 3,799,962 | |
6.375% 12/15/25 | 1,080,000 | 1,111,050 | |
6.75% 2/1/24 | 1,975,000 | 2,066,344 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (a) | 455,000 | 451,588 | |
5.25% 8/15/22 (a) | 1,285,000 | 1,315,467 | |
5.5% 2/15/24 (a) | 670,000 | 692,613 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (a) | 1,290,000 | 1,212,600 | |
6.875% 2/15/23 (a) | 565,000 | 548,050 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (a) | 4,450,000 | 4,822,688 | |
Tempo Acquisition LLC 6.75% 6/1/25 (a) | 1,675,000 | 1,691,750 | |
29,984,010 | |||
Insurance - 0.1% | |||
AmWINS Group, Inc. 7.75% 7/1/26 (a) | 1,595,000 | 1,634,875 | |
USIS Merger Sub, Inc. 6.875% 5/1/25 (a) | 1,420,000 | 1,380,950 | |
3,015,825 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 515,000 | 500,992 | |
Thrifts & Mortgage Finance - 0.1% | |||
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (a) | 675,000 | 711,788 | |
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 1,965,000 | 1,790,606 | |
2,502,394 | |||
TOTAL FINANCIALS | 59,704,927 | ||
HEALTH CARE - 1.9% | |||
Health Care Equipment & Supplies - 0.2% | |||
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 980,000 | 962,850 | |
4.625% 2/1/28 (a) | 185,000 | 178,988 | |
Teleflex, Inc. 4.875% 6/1/26 | 2,750,000 | 2,787,813 | |
3,929,651 | |||
Health Care Providers & Services - 1.4% | |||
Community Health Systems, Inc.: | |||
5.125% 8/1/21 | 1,315,000 | 1,290,344 | |
6.25% 3/31/23 | 6,515,000 | 6,270,688 | |
8% 3/15/26 (a) | 960,000 | 947,357 | |
8.625% 1/15/24 (a) | 1,445,000 | 1,484,738 | |
HCA Holdings, Inc.: | |||
4.5% 2/15/27 | 1,925,000 | 1,940,726 | |
5% 3/15/24 | 3,000,000 | 3,138,403 | |
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 3,000,000 | 3,015,000 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 675,000 | 670,781 | |
5.125% 5/1/25 | 915,000 | 906,994 | |
6.25% 2/1/27 (a) | 885,000 | 910,997 | |
6.75% 6/15/23 | 2,620,000 | 2,685,500 | |
8.125% 4/1/22 | 7,645,000 | 8,161,038 | |
THC Escrow Corp. III 7% 8/1/25 | 1,815,000 | 1,819,538 | |
Wellcare Health Plans, Inc.: | |||
5.25% 4/1/25 | 1,095,000 | 1,117,940 | |
5.375% 8/15/26 (a) | 1,810,000 | 1,862,038 | |
36,222,082 | |||
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc. 5.5% 4/1/26 (a) | 735,000 | 764,400 | |
Pharmaceuticals - 0.3% | |||
Catalent Pharma Solutions 4.875% 1/15/26 (a) | 1,355,000 | 1,341,450 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.5% 11/1/25 (a) | 780,000 | 786,825 | |
5.625% 12/1/21 (a) | 2,174,000 | 2,177,261 | |
5.875% 5/15/23 (a) | 775,000 | 771,125 | |
6.125% 4/15/25 (a) | 785,000 | 755,563 | |
7% 3/15/24 (a) | 2,500,000 | 2,634,375 | |
8,466,599 | |||
TOTAL HEALTH CARE | 49,382,732 | ||
INDUSTRIALS - 1.6% | |||
Aerospace & Defense - 0.7% | |||
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 2,530,000 | 2,577,438 | |
Bombardier, Inc.: | |||
6.125% 1/15/23 (a) | 3,450,000 | 3,475,875 | |
7.5% 12/1/24 (a) | 2,040,000 | 2,080,800 | |
7.5% 3/15/25 (a) | 780,000 | 780,975 | |
7.875% 4/15/27 (a) | 1,630,000 | 1,617,710 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 1,925,000 | 1,963,500 | |
TransDigm, Inc.: | |||
6% 7/15/22 | 1,470,000 | 1,497,195 | |
6.25% 3/15/26 (a) | 2,455,000 | 2,516,375 | |
6.375% 6/15/26 | 1,470,000 | 1,429,575 | |
6.5% 5/15/25 | 1,805,000 | 1,798,231 | |
19,737,674 | |||
Air Freight & Logistics - 0.1% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(c) | 2,815,000 | 2,800,925 | |
Commercial Services & Supplies - 0.3% | |||
APX Group, Inc.: | |||
7.625% 9/1/23 | 1,400,000 | 1,233,750 | |
8.75% 12/1/20 | 1,680,000 | 1,669,500 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (a) | 1,030,000 | 929,575 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 1,800,000 | 1,703,250 | |
Multi-Color Corp. 4.875% 11/1/25 (a) | 1,250,000 | 1,267,188 | |
Prime Security One MS, Inc. 4.875% 7/15/32 (a) | 1,105,000 | 930,963 | |
Tervita Escrow Corp. 7.625% 12/1/21 (a) | 240,000 | 239,400 | |
7,973,626 | |||
Construction & Engineering - 0.2% | |||
AECOM: | |||
5.125% 3/15/27 | 2,520,000 | 2,390,850 | |
5.875% 10/15/24 | 1,905,000 | 1,995,773 | |
4,386,623 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 5% 10/1/25 (a) | 715,000 | 722,150 | |
Machinery - 0.1% | |||
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 1,500,000 | 1,526,250 | |
6.875% 9/1/27 (a)(b) | 435,000 | 443,700 | |
1,969,950 | |||
Marine - 0.0% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (a) | 890,000 | 645,250 | |
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (a) | 165,000 | 73,838 | |
719,088 | |||
Trading Companies & Distributors - 0.2% | |||
Avantor, Inc. 6% 10/1/24 (a) | 780,000 | 795,600 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 2,075,000 | 1,971,250 | |
6.375% 10/15/21 | 1,500,000 | 1,511,250 | |
4,278,100 | |||
TOTAL INDUSTRIALS | 42,588,136 | ||
INFORMATION TECHNOLOGY - 0.8% | |||
Electronic Equipment & Components - 0.1% | |||
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 2,835,000 | 2,686,163 | |
IT Services - 0.0% | |||
Gartner, Inc. 5.125% 4/1/25 (a) | 350,000 | 352,625 | |
Semiconductors & Semiconductor Equipment - 0.1% | |||
Qorvo, Inc. 5.5% 7/15/26 (a) | 1,795,000 | 1,830,900 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (a) | 1,000,000 | 1,055,000 | |
2,885,900 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (a) | 1,160,000 | 1,136,800 | |
6.875% 8/1/25 (a) | 125,000 | 121,719 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 485,000 | 476,614 | |
5.875% 6/15/26 | 985,000 | 1,015,781 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (a) | 1,860,000 | 1,920,450 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 2,365,000 | 2,388,650 | |
Nuance Communications, Inc.: | |||
5.375% 8/15/20 (a) | 127,000 | 127,000 | |
5.625% 12/15/26 | 1,085,000 | 1,106,700 | |
Open Text Corp. 5.875% 6/1/26 (a) | 3,330,000 | 3,503,426 | |
Symantec Corp. 5% 4/15/25 (a) | 2,790,000 | 2,779,439 | |
14,576,579 | |||
TOTAL INFORMATION TECHNOLOGY | 20,501,267 | ||
MATERIALS - 1.4% | |||
Chemicals - 0.6% | |||
Element Solutions, Inc. 5.875% 12/1/25 (a) | 1,915,000 | 1,937,750 | |
NOVA Chemicals Corp. 4.875% 6/1/24 (a) | 2,020,000 | 1,955,764 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 1,735,000 | 1,616,899 | |
OCI NV 6.625% 4/15/23 (a) | 2,620,000 | 2,711,700 | |
Olin Corp. 5.125% 9/15/27 | 1,495,000 | 1,506,213 | |
The Chemours Co. LLC 5.375% 5/15/27 | 1,380,000 | 1,345,500 | |
TPC Group, Inc. 8.75% 12/15/20 (a) | 2,940,000 | 2,881,200 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (a) | 1,240,000 | 1,165,600 | |
Valvoline, Inc. 4.375% 8/15/25 | 1,025,000 | 971,188 | |
16,091,814 | |||
Containers & Packaging - 0.5% | |||
Ard Securities Finance SARL 8.75% 1/31/23 pay-in-kind (a)(c) | 1,713,566 | 1,610,752 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.625% 5/15/23 (a) | 2,500,000 | 2,518,750 | |
6% 2/15/25 (a) | 1,480,000 | 1,461,500 | |
7.25% 5/15/24 (a) | 1,500,000 | 1,557,675 | |
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 2,120,000 | 2,040,500 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (a) | 1,100,000 | 1,039,500 | |
7.875% 7/15/26 (a) | 255,000 | 244,163 | |
OI European Group BV 4% 3/15/23 (a) | 1,445,000 | 1,412,488 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) | 2,000,000 | 2,039,900 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 695,000 | 681,100 | |
14,606,328 | |||
Metals & Mining - 0.3% | |||
Commercial Metals Co. 5.375% 7/15/27 | 1,055,000 | 987,744 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (a) | 900,000 | 850,500 | |
7.25% 5/15/22 (a) | 565,000 | 568,531 | |
7.25% 4/1/23 (a) | 2,395,000 | 2,353,088 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 480,000 | 474,600 | |
3.875% 3/15/23 | 1,645,000 | 1,621,115 | |
6,855,578 | |||
TOTAL MATERIALS | 37,553,720 | ||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,175,850 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 595,000 | 590,538 | |
5.25% 8/1/26 | 1,035,000 | 1,047,938 | |
5.5% 5/1/24 | 1,500,000 | 1,535,625 | |
4,349,951 | |||
Real Estate Management & Development - 0.1% | |||
Howard Hughes Corp. 5.375% 3/15/25 (a) | 2,345,000 | 2,315,688 | |
TOTAL REAL ESTATE | 6,665,639 | ||
UTILITIES - 1.0% | |||
Electric Utilities - 0.4% | |||
Clearway Energy Operating LLC 5.75% 10/15/25 (a) | 900,000 | 884,250 | |
DPL, Inc. 6.75% 10/1/19 | 245,000 | 248,369 | |
InterGen NV 7% 6/30/23 (a) | 3,045,000 | 2,740,500 | |
NRG Yield Operating LLC 5% 9/15/26 | 885,000 | 825,263 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 1,691,612 | 1,810,025 | |
Vistra Operations Co. LLC 5.5% 9/1/26 (a) | 3,566,000 | 3,699,725 | |
10,208,132 | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
Dynegy, Inc.: | |||
5.875% 6/1/23 | 865,000 | 888,788 | |
7.625% 11/1/24 | 1,009,000 | 1,072,063 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (a) | 1,365,000 | 1,341,113 | |
4.5% 9/15/27 (a) | 250,000 | 237,500 | |
NRG Energy, Inc. 6.625% 1/15/27 | 1,910,000 | 2,034,150 | |
Talen Energy Supply LLC: | |||
6.5% 6/1/25 | 190,000 | 169,290 | |
10.5% 1/15/26 (a) | 3,835,000 | 3,969,225 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 500,000 | 495,355 | |
5% 1/31/28 (a) | 560,000 | 532,000 | |
6.625% 6/15/25 (a)(c) | 1,215,000 | 1,275,750 | |
The AES Corp.: | |||
4.5% 3/15/23 | 755,000 | 760,663 | |
5.125% 9/1/27 | 1,150,000 | 1,181,625 | |
6% 5/15/26 | 2,000,000 | 2,105,000 | |
16,062,522 | |||
TOTAL UTILITIES | 26,270,654 | ||
TOTAL NONCONVERTIBLE BONDS | 496,708,795 | ||
TOTAL CORPORATE BONDS | |||
(Cost $501,690,709) | 498,638,982 | ||
Bank Loan Obligations - 0.4% | |||
COMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.1% | |||
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.25% 6/15/24 (c)(d) | 2,758,000 | 2,654,575 | |
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7311% 2/22/24 (c)(d) | 1,030,000 | 1,025,221 | |
3,679,796 | |||
Media - 0.1% | |||
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7311% 8/19/23 (c)(d) | 1,471,375 | 1,445,626 | |
TOTAL COMMUNICATION SERVICES | 5,125,422 | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Golden Entertainment, Inc. Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.000% 5.5% 10/20/24 (c)(d) | 1,346,400 | 1,336,302 | |
3 month U.S. LIBOR + 7.000% 9.5% 10/20/25 (c)(d) | 455,000 | 443,625 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 5.3123% 8/14/24 (c)(d) | 450,682 | 446,418 | |
2,226,345 | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
California Resources Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.243% 12/31/22 (c)(d) | 475,000 | 467,082 | |
INDUSTRIALS - 0.1% | |||
Commercial Services & Supplies - 0.1% | |||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.9565% 6/21/24 (c)(d) | 1,467,650 | 1,431,194 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.493% 2/1/24 (c)(d) | 407,738 | 405,254 | |
Software - 0.0% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.053% 6/13/25 (c)(d) | 55,000 | 54,014 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.303% 6/13/24 (c)(d) | 243,372 | 240,717 | |
294,731 | |||
TOTAL INFORMATION TECHNOLOGY | 699,985 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $9,926,061) | 9,950,028 | ||
Shares | Value | ||
Fixed-Income Funds - 79.1% | |||
High Yield Fixed-Income Funds - 79.1% | |||
Artisan High Income Fund Investor Shares | 31,675,172 | 304,715,154 | |
BlackRock High Yield Bond Portfolio Institutional Class | 9,818,757 | 73,837,055 | |
Eaton Vance Income Fund of Boston Class A | 19,970,801 | 110,438,528 | |
Fidelity Advisor High Income Advantage Fund Class I (e) | 15,442,861 | 160,296,900 | |
Fidelity Capital & Income Fund (e) | 36,575,935 | 360,272,960 | |
Hotchkis & Wiley High Yield Fund Class A | 31,421,259 | 363,543,944 | |
MainStay High Yield Corporate Bond Fund Class A | 39,778,475 | 220,770,537 | |
Prudential High Yield Fund | 37,869,322 | 203,736,954 | |
T. Rowe Price High Yield Fund Advisor Class | 45,556,265 | 293,382,348 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $2,034,489,013) | 2,090,994,380 | ||
Principal Amount | Value | ||
Preferred Securities - 0.7% | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Andeavor Logistics LP 6.875% (c)(f) | 2,055,000 | 2,012,685 | |
FINANCIALS - 0.6% | |||
Banks - 0.6% | |||
Bank of America Corp.: | |||
5.2% (c)(f) | 1,200,000 | 1,228,929 | |
6.25% (c)(f) | 4,000,000 | 4,352,718 | |
Barclays PLC 7.875% (Reg. S) (c)(f) | 2,640,000 | 2,812,590 | |
Credit Agricole SA 6.625% (a)(c)(f) | 1,720,000 | 1,757,338 | |
Royal Bank of Scotland Group PLC: | |||
7.5% (c)(f) | 1,840,000 | 1,906,623 | |
8.625% (c)(f) | 2,000,000 | 2,173,829 | |
Wells Fargo & Co. 5.9% (c)(f) | 2,250,000 | 2,319,905 | |
16,551,932 | |||
TOTAL PREFERRED SECURITIES | |||
(Cost $18,001,507) | 18,564,617 | ||
Shares | Value | ||
Money Market Funds - 0.6% | |||
Fidelity Cash Central Fund, 2.44% (g) | 17,451,685 | 17,455,175 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35% (h) | 22,312 | 22,312 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $17,477,343) | 17,477,487 | ||
TOTAL INVESTMENT IN SECURITIES - 99.7% | |||
(Cost $2,581,584,633) | 2,635,625,494 | ||
NET OTHER ASSETS (LIABILITIES) - 0.3% | 6,859,409 | ||
NET ASSETS - 100% | $2,642,484,903 |
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $284,812,218 or 10.8% of net assets.
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Affiliated Fund
(f) Security is perpetual in nature with no stated maturity date.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) The rate quoted is the annualized seven-day yield of the fund at period end.
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 | $235,544 |
Total | $235,544 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor High Income Advantage Fund Class I | $155,353,011 | $33,031,425 | $24,394,627 | $9,325,018 | $(1,360,615) | $(2,332,294) | $160,296,900 |
Fidelity Capital & Income Fund | 507,022,434 | 63,243,726 | 183,351,851 | 30,620,280 | 3,706,272 | (30,347,621) | 360,272,960 |
Fidelity High Income Fund | 75,795,352 | 2,317,363 | 77,510,716 | 2,488,446 | 12,635,010 | (13,237,009) | -- |
Total | $738,170,797 | $98,592,514 | $285,257,194 | $42,433,744 | $14,980,667 | $(45,916,924) | $520,569,860 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $498,638,982 | $-- | $498,638,982 | $-- |
Bank Loan Obligations | 9,950,028 | -- | 9,950,028 | -- |
Fixed-Income Funds | 2,090,994,380 | 2,090,994,380 | -- | -- |
Preferred Securities | 18,564,617 | -- | 18,564,617 | -- |
Money Market Funds | 17,477,487 | 17,477,487 | -- | -- |
Total Investments in Securities: | $2,635,625,494 | $2,108,471,867 | $527,153,627 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,120,464,608) | $2,097,600,459 | |
Fidelity Central Funds (cost $17,455,031) | 17,455,175 | |
Other affiliated issuers (cost $443,664,994) | 520,569,860 | |
Total Investment in Securities (cost $2,581,584,633) | $2,635,625,494 | |
Cash | 3,362 | |
Receivable for investments sold | 8,016,582 | |
Receivable for fund shares sold | 789,005 | |
Interest receivable | 8,424,188 | |
Distributions receivable from Fidelity Central Funds | 17,154 | |
Prepaid expenses | 1,485 | |
Other receivables | 54,111 | |
Total assets | 2,652,931,381 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $3,970,231 | |
Delayed delivery | 1,315,000 | |
Payable for fund shares redeemed | 1,058,717 | |
Distributions payable | 3,807,006 | |
Accrued management fee | 138,910 | |
Other affiliated payables | 70,594 | |
Other payables and accrued expenses | 86,020 | |
Total liabilities | 10,446,478 | |
Net Assets | $2,642,484,903 | |
Net Assets consist of: | ||
Paid in capital | $2,732,983,736 | |
Total distributable earnings (loss) | (90,498,833) | |
Net Assets, for 282,772,453 shares outstanding | $2,642,484,903 | |
Net Asset Value, offering price and redemption price per share ($2,642,484,903 ÷ 282,772,453 shares) | $9.34 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $102,065,418 | |
Affiliated issuers | 32,580,707 | |
Interest | 31,745,039 | |
Income from Fidelity Central Funds | 235,544 | |
Total income | 166,626,708 | |
Expenses | ||
Management fee | $9,070,744 | |
Transfer agent fees | 420,956 | |
Accounting fees and expenses | 952,767 | |
Custodian fees and expenses | 22,271 | |
Independent trustees' fees and expenses | 35,562 | |
Registration fees | 73,333 | |
Audit | 45,540 | |
Legal | 11,429 | |
Miscellaneous | 30,267 | |
Total expenses before reductions | 10,662,869 | |
Expense reductions | (7,445,871) | |
Total expenses after reductions | 3,216,998 | |
Net investment income (loss) | 163,409,710 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (61,381,969) | |
Fidelity Central Funds | 172 | |
Other affiliated issuers | 14,980,667 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 2,018,902 | |
Affiliated issuers | 9,853,037 | |
Total net realized gain (loss) | (34,529,191) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,812,674) | |
Fidelity Central Funds | 144 | |
Other affiliated issuers | (45,916,924) | |
Total change in net unrealized appreciation (depreciation) | (47,729,454) | |
Net gain (loss) | (82,258,645) | |
Net increase (decrease) in net assets resulting from operations | $81,151,065 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $163,409,710 | $157,782,749 |
Net realized gain (loss) | (34,529,191) | 15,064,862 |
Change in net unrealized appreciation (depreciation) | (47,729,454) | (28,861,386) |
Net increase (decrease) in net assets resulting from operations | 81,151,065 | 143,986,225 |
Distributions to shareholders | (152,578,108) | – |
Distributions to shareholders from net investment income | – | (154,409,359) |
Total distributions | (152,578,108) | (154,409,359) |
Share transactions | ||
Proceeds from sales of shares | 518,968,318 | 823,784,503 |
Reinvestment of distributions | 99,413,790 | 119,240,744 |
Cost of shares redeemed | (951,905,541) | (1,203,237,841) |
Net increase (decrease) in net assets resulting from share transactions | (333,523,433) | (260,212,594) |
Total increase (decrease) in net assets | (404,950,476) | (270,635,728) |
Net Assets | ||
Beginning of period | 3,047,435,379 | 3,318,071,107 |
End of period | $2,642,484,903 | $3,047,435,379 |
Other Information | ||
Distributions in excess of net investment income end of period | $(9,653,867) | |
Shares | ||
Sold | 55,268,271 | 85,838,165 |
Issued in reinvestment of distributions | 10,691,042 | 12,409,365 |
Redeemed | (102,827,858) | (125,299,114) |
Net increase (decrease) | (36,868,545) | (27,051,584) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016 A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $9.53 | $9.57 | $8.48 | $9.94 | $10.45 |
Income from Investment Operations | |||||
Net investment income (loss)B | .513 | .489 | .493 | .518 | .551 |
Net realized and unrealized gain (loss) | (.222) | (.050) | 1.091 | (1.300) | (.369) |
Total from investment operations | .291 | .439 | 1.584 | (.782) | .182 |
Distributions from net investment income | (.469) | (.479) | (.494) | (.537)C | (.552) |
Distributions from net realized gain | (.012) | – | – | (.118)C | (.140) |
Tax return of capital | – | – | – | (.023) | – |
Total distributions | (.481) | (.479) | (.494) | (.678) | (.692) |
Net asset value, end of period | $9.34 | $9.53 | $9.57 | $8.48 | $9.94 |
Total ReturnD | 3.21% | 4.66% | 19.08% | (8.26)% | 1.82% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .36% | .38% | .29% | .26% | .26% |
Expenses net of fee waivers, if any | .11% | .13% | .04% | .01% | .01% |
Expenses net of all reductions | .11% | .13% | .04% | .01% | .01% |
Net investment income (loss) | 5.49% | 5.09% | 5.40% | 5.56% | 5.40% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,642,485 | $3,047,435 | $3,318,071 | $3,813,523 | $4,225,162 |
Portfolio turnover rateG | 22% | 33% | 38% | 10% | 16% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers Income Opportunities Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations and preferred securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $54,111 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, partnerships, market discount, deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $113,108,895 |
Gross unrealized depreciation | (61,117,474) |
Net unrealized appreciation (depreciation) | $51,991,421 |
Tax Cost | $2,583,634,073 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $4,226,819 |
Capital loss carryforward | $(146,662,960) |
Net unrealized appreciation (depreciation) on securities and other investments | $51,991,421 |
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. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(14,878,146) |
Long-term | (131,784,814) |
Total capital loss carryforward | $(146,662,960) |
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $152,578,108 | $ 154,409,359 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $639,553,654 and $952,399,902, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .75% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .30% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .01% of average net assets.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to an annual rate of .03%.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
6. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $8,255 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $7,439,924.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $5,947.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Income Opportunities Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Income Opportunities Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 15, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .10% | $1,000.00 | $1,011.10 | $.50 |
Hypothetical-C | $1,000.00 | $1,024.30 | $.50 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Income Opportunities Fund voted to pay on April 8, 2019, to shareholders of record at the opening of business on April 5, 2019, a distribution of $0.004 per share derived from capital gains realized from sales of portfolio securities.
A total of 0.66% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Income Opportunities Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreement with FIAM LLC (the Sub-Advisory Agreement and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-adviser are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the Advisory Contracts described above (Amendments), the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreement, the Board also concluded that the renewal of the agreement and the approval of the Amendments do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by the sub-adviser. The Trustees noted that under the Sub-Advisory Agreement subject to oversight by Strategic Advisers, the sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that the sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-adviser, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of the sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Income Opportunities Fund
Strategic Advisers Income Opportunities Fund
SRQ-ANN-0419
1.912881.108
Strategic Advisers® Core Income Fund Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public Annual Report February 28, 2019 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
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Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2019 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Core Income Fund | 3.10% | 2.68% | 5.33% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Core Income Fund on February 28, 2009.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.
Period Ending Values | ||
$16,810 | Strategic Advisers® Core Income Fund | |
$14,397 | Bloomberg Barclays U.S. Aggregate Bond Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds rose for the 12 months ending February 28, 2019, as the fairly calm market early in the period turned volatile before settling down in late 2018 and early in the new year. The Bloomberg Barclays U.S. Aggregate Bond Index gained 3.17%. Longer-term bond yields advanced through mid-May, driven by policy-rate hikes and plans by the U.S. Federal Reserve to reduce its balance sheet. Yields moderated in the summer, with spreads between shorter-term and longer-term Treasury bonds remaining tight, partly because of escalating global trade tension, before rising a bit in September and early October on expectations for higher inflation. Yields then declined and credit spreads widened in November and December due to broad market volatility, disappointing U.S. manufacturing data and signs of a global slowdown. Yield spreads narrowed in January and to a lesser degree in February, partly because the U.S. Federal Reserve signaled that it would be “patient” with future interest rate hikes. Within the Bloomberg Barclays index, the securitized segment posted the heftiest gain (+3.60%), followed by U.S. Treasuries (+3.23%) and corporate bonds (+2.63%). Outside the index, most non-core fixed-income segments moderately topped nominal U.S. Treasuries, and Treasury Inflation-Protected Securities (TIPS) returned 1.91%.Comments from Portfolio Manager Jonathan Duggan: For the fiscal year, the Fund gained 3.10%, performing about in line with the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Strong relative performance from our underlying sub-advisers helped the Fund's performance stay close to that of the benchmark. Specifically, two strategies managed by sub-adviser FIAM® were the top relative contributors: Core Investment Grade and Fixed Income Securitized. Core Investment Grade outperformed partly by avoiding underperforming issuers within the index. Fixed Income Securitized benefited from having less interest rate sensitivity than the benchmark, along with allocations to higher-quality securitized bonds. On the downside, PIMCO Total Return Fund was the Fund's largest relative detractor. It was hurt by interest-rate positioning in international markets, underweighted exposure to the U.S. dollar and allocations to emerging-markets (EM) currencies. During the period, we continued to reduce risk in the broader portfolio. We cut the Fund's exposure to high-yield credit and EM debt by adjusting the allocations to underlying managers. We also increased the Fund's exposure to U.S. Treasuries and plan to maintain this emphasis on risk- and liquidity management in the months ahead.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.
Note to shareholders: On January 1, 2019, former Co-Manager Gregory Pappas retired after 28 years with the firm, leaving Jonathan Duggan as sole manager of the Fund.Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2019
(excluding cash equivalents) | % of fund's net assets |
PIMCO Total Return Fund Institutional Class | 17.7 |
Fidelity SAI Total Bond Fund | 17.0 |
Western Asset Core Plus Bond Fund Class I | 8.2 |
U.S. Treasury Obligations | 7.6 |
Prudential Total Return Bond Fund Class A | 5.0 |
Metropolitan West Total Return Bond Fund Class M | 4.8 |
Western Asset Core Bond Fund Class I | 4.5 |
Fannie Mae | 4.3 |
PIMCO Income Fund Institutional Class | 3.5 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3.3 |
Asset Allocation (% of fund's net assets)
As of February 28, 2019 | ||
Corporate Bonds | 6.9% | |
U.S. Government and U.S. Government Agency Obligations | 15.9% | |
Asset-Backed Securities | 0.5% | |
CMOs and Other Mortgage Related Securities | 0.5% | |
Municipal Securities | 0.2% | |
Bank Loan Funds | 0.7% | |
High Yield Fixed-Income Funds | 0.1% | |
Intermediate-Term Bond Funds | 71.2% | |
Other Investments | 0.2% | |
Short-Term Investments and Net Other Assets (Liabilities)* | (0.5)% | |
Intermediate Government Funds | 3.7% | |
Inflation-Protected Bond Funds | 0.6% |
* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments February 28, 2019
Showing Percentage of Net Assets
Nonconvertible Bonds - 6.9% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
2.3% 3/11/19 | $60,000,000 | $59,996,529 | |
3.4% 5/15/25 | 455,000 | 443,284 | |
3.6% 2/17/23 | 6,860,000 | 6,903,093 | |
3.95% 1/15/25 | 1,275,000 | 1,278,829 | |
4.45% 4/1/24 | 3,622,000 | 3,749,494 | |
4.5% 5/15/35 | 1,980,000 | 1,865,257 | |
4.5% 3/9/48 | 21,790,000 | 19,504,972 | |
4.55% 3/9/49 | 611,000 | 547,645 | |
4.75% 5/15/46 | 1,715,000 | 1,592,382 | |
4.8% 6/15/44 | 515,000 | 483,476 | |
5.15% 11/15/46 | 10,160,000 | 9,933,850 | |
5.35% 9/1/40 | 59,000 | 59,189 | |
6.3% 1/15/38 | 2,523,000 | 2,814,345 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 56,000 | 65,894 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 575,000 | 803,269 | |
CenturyLink, Inc. 6.15% 9/15/19 | 2,129,000 | 2,152,951 | |
Verizon Communications, Inc.: | |||
3.376% 2/15/25 | 148,000 | 147,963 | |
3.85% 11/1/42 | 1,462,000 | 1,317,640 | |
4.016% 12/3/29 (b) | 971,000 | 969,905 | |
4.5% 8/10/33 | 1,310,000 | 1,341,850 | |
4.522% 9/15/48 | 2,795,000 | 2,742,925 | |
4.862% 8/21/46 | 4,163,000 | 4,280,581 | |
5.012% 4/15/49 | 3,858,000 | 4,038,304 | |
5.012% 8/21/54 | 24,110,000 | 24,766,984 | |
151,800,611 | |||
Entertainment - 0.1% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 2,406,000 | 2,385,036 | |
5.15% 4/30/20 | 3,135,000 | 3,215,908 | |
5.95% 4/1/41 | 1,495,000 | 1,765,536 | |
Time Warner, Inc.: | |||
3.55% 6/1/24 | 3,131,000 | 3,118,314 | |
3.8% 2/15/27 | 695,000 | 675,861 | |
4.7% 1/15/21 | 2,175,000 | 2,239,042 | |
4.9% 6/15/42 | 7,000,000 | 6,645,713 | |
6.2% 3/15/40 | 2,433,000 | 2,666,740 | |
Viacom, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,379,697 | |
5.85% 9/1/43 | 220,000 | 229,310 | |
Walt Disney Co.: | |||
1.85% 7/30/26 | 1,030,000 | 937,709 | |
2.55% 2/15/22 | 335,000 | 333,851 | |
2.75% 8/16/21 | 200,000 | 200,290 | |
25,793,007 | |||
Media - 0.3% | |||
21st Century Fox America, Inc.: | |||
4.75% 9/15/44 | 3,270,000 | 3,531,136 | |
4.95% 10/15/45 | 50,000 | 55,659 | |
5.4% 10/1/43 | 515,000 | 602,178 | |
CBS Corp. 4.3% 2/15/21 | 270,000 | 274,876 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 11,002,000 | 11,284,931 | |
4.908% 7/23/25 | 7,565,000 | 7,836,718 | |
5.375% 4/1/38 | 450,000 | 435,065 | |
5.375% 5/1/47 | 25,000,000 | 23,703,050 | |
6.384% 10/23/35 | 2,985,000 | 3,198,643 | |
6.484% 10/23/45 | 720,000 | 774,417 | |
Comcast Corp.: | |||
3.6% 3/1/24 | 1,095,000 | 1,111,620 | |
3.9% 3/1/38 | 1,317,000 | 1,245,592 | |
3.969% 11/1/47 | 3,958,000 | 3,671,539 | |
3.999% 11/1/49 | 4,859,000 | 4,512,396 | |
4% 3/1/48 | 2,409,000 | 2,252,291 | |
4.6% 8/15/45 | 5,166,000 | 5,215,699 | |
4.65% 7/15/42 | 3,521,000 | 3,575,512 | |
4.7% 10/15/48 | 930,000 | 968,253 | |
5.7% 7/1/19 | 1,100,000 | 1,110,363 | |
Discovery Communications LLC: | |||
3.5% 6/15/22 (b) | 1,105,000 | 1,093,114 | |
3.95% 6/15/25 (b) | 710,000 | 686,138 | |
5% 9/20/37 | 255,000 | 240,445 | |
5.625% 8/15/19 | 138,000 | 139,504 | |
Fox Corp.: | |||
3.666% 1/25/22 (b) | 986,000 | 997,478 | |
4.03% 1/25/24 (b) | 1,733,000 | 1,766,156 | |
4.709% 1/25/29 (b) | 2,509,000 | 2,600,696 | |
5.476% 1/25/39 (b) | 2,474,000 | 2,593,397 | |
5.576% 1/25/49 (b) | 1,641,000 | 1,732,956 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 16,424,000 | 16,584,995 | |
5.5% 9/1/41 | 2,591,000 | 2,451,808 | |
5.875% 11/15/40 | 5,543,000 | 5,499,913 | |
6.55% 5/1/37 | 8,522,000 | 9,036,732 | |
7.3% 7/1/38 | 6,393,000 | 7,215,006 | |
8.25% 4/1/19 | 6,565,000 | 6,591,482 | |
134,589,758 | |||
Wireless Telecommunication Services - 0.0% | |||
America Movil S.A.B. de CV 5% 3/30/20 | 1,175,000 | 1,196,705 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 149,163 | |
1,345,868 | |||
TOTAL COMMUNICATION SERVICES | 313,529,244 | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Automobiles - 0.1% | |||
Ford Motor Co. 6.375% 2/1/29 | 2,670,000 | 2,692,297 | |
General Motors Co. 6.25% 10/2/43 | 2,115,000 | 2,085,006 | |
General Motors Financial Co., Inc.: | |||
3.5% 7/10/19 | 3,787,000 | 3,794,111 | |
3.7% 5/9/23 | 11,800,000 | 11,614,073 | |
4% 1/15/25 | 1,175,000 | 1,128,602 | |
4.25% 5/15/23 | 1,875,000 | 1,880,967 | |
4.375% 9/25/21 | 7,321,000 | 7,440,488 | |
30,635,544 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 441,296 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 169,457 | |
3.3% 7/15/56 | 190,000 | 167,255 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 458,271 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 699,396 | |
1,935,675 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Aramark Services, Inc. 5% 2/1/28 (b) | 960,000 | 948,000 | |
Marriott International, Inc. 3.125% 6/15/26 | 1,090,000 | 1,027,265 | |
McDonald's Corp.: | |||
3.7% 1/30/26 | 290,000 | 291,703 | |
4.7% 12/9/35 | 1,385,000 | 1,425,122 | |
3,692,090 | |||
Household Durables - 0.2% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 9,081,188 | |
5% 6/15/27 | 12,100,000 | 11,858,000 | |
5.25% 6/1/26 | 2,920,000 | 2,930,950 | |
Newell Brands, Inc. 4.2% 4/1/26 | 515,000 | 483,556 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 27,857,406 | |
4.375% 4/15/23 | 5,000,000 | 5,012,500 | |
4.875% 3/15/27 | 6,442,000 | 6,313,160 | |
5.875% 2/15/22 | 12,000,000 | 12,600,000 | |
76,136,760 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Amazon.com, Inc. 2.8% 8/22/24 | 1,045,000 | 1,036,882 | |
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 1,395,000 | 1,330,606 | |
Specialty Retail - 0.0% | |||
Home Depot, Inc.: | |||
2.625% 6/1/22 | 260,000 | 258,527 | |
3.75% 2/15/24 | 3,626,000 | 3,761,291 | |
4.875% 2/15/44 | 625,000 | 689,371 | |
5.875% 12/16/36 | 300,000 | 364,732 | |
Lowe's Companies, Inc. 4.25% 9/15/44 | 485,000 | 446,669 | |
5,520,590 | |||
TOTAL CONSUMER DISCRETIONARY | 120,288,147 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.2% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
3.65% 2/1/26 | 12,330,000 | 12,181,085 | |
4.7% 2/1/36 | 10,761,000 | 10,415,594 | |
4.9% 2/1/46 | 12,306,000 | 11,843,387 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
4.75% 4/15/58 | 6,987,000 | 6,342,026 | |
5.45% 1/23/39 | 5,390,000 | 5,656,572 | |
5.55% 1/23/49 | 14,627,000 | 15,362,940 | |
5.8% 1/23/59 (Reg. S) | 15,062,000 | 16,068,091 | |
Constellation Brands, Inc.: | |||
4.4% 11/15/25 | 480,000 | 491,920 | |
4.75% 11/15/24 | 5,595,000 | 5,873,374 | |
PepsiCo, Inc.: | |||
2.75% 3/5/22 | 900,000 | 900,434 | |
3.1% 7/17/22 | 260,000 | 262,682 | |
3.6% 3/1/24 | 1,952,000 | 2,016,469 | |
4.5% 1/15/20 | 1,925,000 | 1,954,568 | |
89,369,142 | |||
Food & Staples Retailing - 0.0% | |||
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,645,976 | |
Food Products - 0.0% | |||
H.J. Heinz Co.: | |||
3% 6/1/26 | 165,000 | 151,929 | |
4.375% 6/1/46 | 6,039,000 | 5,003,756 | |
5% 7/15/35 | 190,000 | 181,228 | |
5.2% 7/15/45 | 310,000 | 288,503 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 303,546 | |
Tyson Foods, Inc. 3.95% 8/15/24 | 450,000 | 453,299 | |
Unilever Capital Corp. 4.25% 2/10/21 | 375,000 | 385,612 | |
6,767,873 | |||
Tobacco - 0.1% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 1,570,000 | 1,543,252 | |
4% 1/31/24 | 1,380,000 | 1,392,997 | |
9.25% 8/6/19 | 449,000 | 460,364 | |
BAT Capital Corp.: | |||
3.222% 8/15/24 | 3,195,000 | 3,076,323 | |
3.557% 8/15/27 | 770,000 | 703,709 | |
Philip Morris International, Inc. 3.875% 8/21/42 | 1,850,000 | 1,609,369 | |
Reynolds American, Inc.: | |||
4% 6/12/22 | 1,548,000 | 1,566,725 | |
5.7% 8/15/35 | 1,287,000 | 1,269,098 | |
6.15% 9/15/43 | 1,299,000 | 1,279,582 | |
7.25% 6/15/37 | 2,443,000 | 2,670,205 | |
15,571,624 | |||
TOTAL CONSUMER STAPLES | 114,354,615 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes A Ge Co. LLC 4.08% 12/15/47 | 145,000 | 128,103 | |
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,212,000 | 1,258,227 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 445,690 | |
6.7% 9/15/38 | 170,000 | 207,025 | |
2,039,045 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Alberta Energy Co. Ltd. 8.125% 9/15/30 | 6,179,000 | 7,591,876 | |
Amerada Hess Corp.: | |||
7.3% 8/15/31 | 1,849,000 | 2,106,583 | |
7.875% 10/1/29 | 3,089,000 | 3,620,060 | |
Anadarko Finance Co. 7.5% 5/1/31 | 8,126,000 | 9,834,253 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 1,762,000 | 1,810,252 | |
5.55% 3/15/26 | 6,688,000 | 7,146,480 | |
6.45% 9/15/36 | 4,200,000 | 4,726,722 | |
6.6% 3/15/46 | 6,475,000 | 7,655,604 | |
6.95% 7/1/24 | 975,000 | 1,099,173 | |
Apache Corp.: | |||
3.25% 4/15/22 | 213,000 | 211,029 | |
6% 1/15/37 | 231,000 | 239,483 | |
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 2,743,000 | 2,997,980 | |
Cenovus Energy, Inc.: | |||
4.25% 4/15/27 | 6,718,000 | 6,397,603 | |
5.25% 6/15/37 | 605,000 | 563,256 | |
Chesapeake Energy Corp. 6.625% 8/15/20 | 12,850,000 | 13,171,250 | |
Chevron Corp.: | |||
2.355% 12/5/22 | 840,000 | 825,105 | |
2.566% 5/16/23 | 4,322,000 | 4,262,555 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 4,641,000 | 4,645,933 | |
4.5% 6/1/25 | 1,418,000 | 1,455,614 | |
Concho Resources, Inc.: | |||
4.3% 8/15/28 | 415,000 | 418,302 | |
4.875% 10/1/47 | 185,000 | 186,618 | |
Conoco, Inc. 6.95% 4/15/29 | 425,000 | 539,345 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 2,017,000 | 2,052,298 | |
5.35% 3/15/20 (b) | 2,258,000 | 2,297,515 | |
5.85% 5/21/43 (a)(b) | 7,892,000 | 6,984,420 | |
DCP Midstream Operating LP: | |||
2.7% 4/1/19 | 1,070,000 | 1,068,716 | |
3.875% 3/15/23 | 17,626,000 | 17,493,805 | |
5.6% 4/1/44 | 3,773,000 | 3,485,309 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 915,000 | 929,163 | |
5.6% 7/15/41 | 475,000 | 513,398 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 270,000 | 269,163 | |
5.875% 5/28/45 | 200,000 | 201,660 | |
El Paso Corp. 6.5% 9/15/20 | 12,030,000 | 12,616,715 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (a) | 1,148,000 | 1,146,413 | |
3.9% 5/15/24 (a) | 1,210,000 | 1,178,179 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,080,515 | |
Enbridge, Inc. 4.25% 12/1/26 | 1,943,000 | 1,981,331 | |
Encana Corp. 6.5% 8/15/34 | 1,165,000 | 1,329,718 | |
Energy Transfer Partners LP: | |||
4.2% 9/15/23 | 1,452,000 | 1,480,980 | |
4.5% 4/15/24 | 1,723,000 | 1,769,210 | |
4.95% 6/15/28 | 4,954,000 | 5,047,682 | |
5.25% 4/15/29 | 2,803,000 | 2,931,063 | |
5.8% 6/15/38 | 2,762,000 | 2,819,063 | |
6% 6/15/48 | 1,799,000 | 1,866,623 | |
6.25% 4/15/49 | 4,674,000 | 5,016,428 | |
6.625% 10/15/36 | 900,000 | 971,636 | |
Enterprise Products Operating LP 4.85% 3/15/44 | 2,500,000 | 2,552,435 | |
EOG Resources, Inc.: | |||
3.9% 4/1/35 | 205,000 | 200,211 | |
4.1% 2/1/21 | 285,000 | 290,367 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,556,415 | |
4.114% 3/1/46 | 705,000 | 734,036 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 905,611 | |
4.15% 2/1/24 | 300,000 | 306,303 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 3,329,000 | 3,495,026 | |
Magellan Midstream Partners LP: | |||
4.2% 10/3/47 | 570,000 | 528,152 | |
4.25% 9/15/46 | 65,000 | 60,416 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,870,000 | 2,968,424 | |
MPLX LP: | |||
4.5% 7/15/23 | 1,235,000 | 1,276,507 | |
4.5% 4/15/38 | 900,000 | 828,323 | |
4.8% 2/15/29 | 2,155,000 | 2,209,253 | |
4.875% 12/1/24 | 2,489,000 | 2,598,431 | |
4.875% 6/1/25 | 625,000 | 650,540 | |
5.5% 2/15/49 | 4,516,000 | 4,625,228 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 666,000 | 747,585 | |
Noble Energy, Inc.: | |||
4.15% 12/15/21 | 1,185,000 | 1,205,453 | |
5.25% 11/15/43 | 295,000 | 277,280 | |
6% 3/1/41 | 360,000 | 373,784 | |
Occidental Petroleum Corp.: | |||
2.7% 2/15/23 | 1,655,000 | 1,631,762 | |
3.125% 2/15/22 | 472,000 | 475,203 | |
4.1% 2/1/21 | 670,000 | 683,761 | |
ONEOK Partners LP: | |||
3.375% 10/1/22 | 1,065,000 | 1,065,004 | |
6.65% 10/1/36 | 400,000 | 444,189 | |
ONEOK, Inc. 4.95% 7/13/47 | 365,000 | 351,539 | |
Petro-Canada 6.8% 5/15/38 | 350,000 | 431,117 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 34,097,000 | 36,432,645 | |
Petroleos Mexicanos: | |||
4.25% 1/15/25 | 1,040,000 | 940,160 | |
4.625% 9/21/23 | 7,965,000 | 7,628,081 | |
4.875% 1/18/24 | 2,616,000 | 2,499,326 | |
5.375% 3/13/22 | 2,525,000 | 2,530,050 | |
6.375% 2/4/21 | 2,660,000 | 2,737,539 | |
6.375% 1/23/45 | 25,158,000 | 21,126,431 | |
6.5% 3/13/27 | 26,920,000 | 25,991,260 | |
6.5% 6/2/41 | 59,845,000 | 52,065,150 | |
6.75% 9/21/47 | 26,150,000 | 22,674,665 | |
Phillips 66 Co.: | |||
4.3% 4/1/22 | 1,979,000 | 2,046,925 | |
4.875% 11/15/44 | 305,000 | 317,762 | |
Phillips 66 Partners LP 3.75% 3/1/28 | 295,000 | 280,877 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 10,550,000 | 10,487,186 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 215,962 | |
Shell International Finance BV: | |||
3.25% 5/11/25 | 1,465,000 | 1,469,220 | |
4.3% 9/22/19 | 145,000 | 146,304 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,294,310 | |
Sunoco Logistics Partner Operations LP: | |||
5.35% 5/15/45 | 625,000 | 589,442 | |
5.4% 10/1/47 | 1,861,000 | 1,790,159 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 2,512,000 | 2,509,804 | |
4.55% 6/24/24 | 12,246,000 | 12,613,380 | |
Total Capital International SA 2.7% 1/25/23 | 1,375,000 | 1,358,775 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 1,249,000 | 1,239,770 | |
4.75% 8/15/28 | 1,465,000 | 1,445,705 | |
5.3% 3/1/48 | 645,000 | 590,510 | |
5.375% 6/1/21 | 4,846,000 | 4,992,485 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 660,000 | 663,509 | |
3.75% 6/15/27 | 1,385,000 | 1,341,653 | |
4% 11/15/21 | 812,000 | 825,139 | |
4.125% 11/15/20 | 394,000 | 398,608 | |
4.3% 3/4/24 | 2,607,000 | 2,666,518 | |
4.85% 3/1/48 | 100,000 | 95,682 | |
4.9% 1/15/45 | 470,000 | 451,330 | |
5.25% 3/15/20 | 150,000 | 153,127 | |
422,117,883 | |||
TOTAL ENERGY | 424,156,928 | ||
FINANCIALS - 2.7% | |||
Banks - 1.6% | |||
Abbey National Treasury Services PLC 2.35% 9/10/19 | 295,000 | 294,300 | |
Banco Santander SA 3.848% 4/12/23 | 800,000 | 794,594 | |
Bank of America Corp.: | |||
3.004% 12/20/23 (a) | 1,802,000 | 1,778,570 | |
3.3% 1/11/23 | 5,787,000 | 5,804,214 | |
3.419% 12/20/28 (a) | 11,888,000 | 11,469,630 | |
3.5% 4/19/26 | 5,358,000 | 5,303,709 | |
3.95% 4/21/25 | 14,568,000 | 14,557,547 | |
3.97% 3/5/29 (a) | 4,130,000 | 4,143,595 | |
4% 4/1/24 | 95,000 | 97,707 | |
4% 1/22/25 | 45,375,000 | 45,447,973 | |
4.1% 7/24/23 | 16,299,000 | 16,807,073 | |
4.2% 8/26/24 | 2,028,000 | 2,066,894 | |
4.25% 10/22/26 | 10,727,000 | 10,776,119 | |
4.45% 3/3/26 | 2,065,000 | 2,102,473 | |
5.49% 3/15/19 | 800,000 | 800,651 | |
Barclays PLC: | |||
2.75% 11/8/19 | 3,769,000 | 3,754,565 | |
3.65% 3/16/25 | 925,000 | 889,376 | |
4.337% 1/10/28 | 2,595,000 | 2,511,408 | |
4.375% 1/12/26 | 1,015,000 | 1,006,712 | |
4.836% 5/9/28 | 6,667,000 | 6,432,406 | |
4.972% 5/16/29 (a) | 15,000,000 | 15,196,085 | |
5.2% 5/12/26 | 1,701,000 | 1,711,473 | |
BNP Paribas 2.375% 5/21/20 | 495,000 | 492,414 | |
CIT Group, Inc.: | |||
4.75% 2/16/24 | 2,480,000 | 2,526,500 | |
5% 8/1/23 | 7,000,000 | 7,255,570 | |
6.125% 3/9/28 | 14,880,000 | 16,107,600 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 50,590,000 | 49,677,774 | |
3.2% 10/21/26 | 2,500,000 | 2,394,938 | |
3.4% 5/1/26 | 1,045,000 | 1,016,572 | |
3.7% 1/12/26 | 3,440,000 | 3,430,970 | |
4.05% 7/30/22 | 1,159,000 | 1,181,295 | |
4.3% 11/20/26 | 2,129,000 | 2,131,789 | |
4.4% 6/10/25 | 16,178,000 | 16,439,343 | |
4.45% 9/29/27 | 3,875,000 | 3,888,416 | |
4.5% 1/14/22 | 2,773,000 | 2,873,899 | |
4.6% 3/9/26 | 1,810,000 | 1,850,416 | |
4.75% 5/18/46 | 10,000,000 | 9,856,555 | |
5.5% 9/13/25 | 8,267,000 | 8,929,054 | |
Citizens Bank NA 2.55% 5/13/21 | 1,705,000 | 1,683,445 | |
Citizens Financial Group, Inc.: | |||
4.15% 9/28/22 (b) | 3,115,000 | 3,131,243 | |
4.3% 12/3/25 | 9,918,000 | 10,002,027 | |
Corporacion Andina de Fomento 2% 5/10/19 | 445,000 | 443,587 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 16,672,000 | 16,474,838 | |
3.8% 9/15/22 | 10,230,000 | 10,284,700 | |
3.8% 6/9/23 | 9,457,000 | 9,456,371 | |
4.55% 4/17/26 | 5,384,000 | 5,515,574 | |
Credit Suisse New York Branch 4.375% 8/5/20 | 650,000 | 662,390 | |
Discover Bank 7% 4/15/20 | 3,143,000 | 3,263,948 | |
Export-Import Bank of Korea 5.125% 6/29/20 | 800,000 | 821,778 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 830,565 | |
HSBC Holdings PLC: | |||
4.041% 3/13/28 (a) | 1,355,000 | 1,338,420 | |
4.25% 3/14/24 | 1,872,000 | 1,895,653 | |
4.583% 6/19/29 (a) | 1,300,000 | 1,331,815 | |
4.875% 1/14/22 | 4,645,000 | 4,859,575 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 404,000 | 429,759 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 27,505,000 | 25,484,730 | |
5.71% 1/15/26 (b) | 7,646,000 | 7,159,986 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 405,604 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 4,205,000 | 4,008,989 | |
3.2% 6/15/26 | 390,000 | 378,580 | |
3.3% 4/1/26 | 735,000 | 720,043 | |
3.509% 1/23/29 (a) | 605,000 | 588,873 | |
3.625% 5/13/24 | 2,860,000 | 2,893,423 | |
3.797% 7/23/24 (a) | 10,889,000 | 11,044,524 | |
3.875% 9/10/24 | 10,030,000 | 10,145,838 | |
3.882% 7/24/38 (a) | 6,115,000 | 5,799,705 | |
3.897% 1/23/49 (a) | 1,945,000 | 1,810,154 | |
4.125% 12/15/26 | 7,374,000 | 7,462,142 | |
4.35% 8/15/21 | 4,947,000 | 5,094,777 | |
4.625% 5/10/21 | 1,718,000 | 1,775,007 | |
Lloyds Banking Group PLC 4.375% 3/22/28 | 1,365,000 | 1,366,160 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 39,872 | |
PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,701,650 | |
PNC Financial Services Group, Inc.: | |||
2.854% 11/9/22 | 275,000 | 271,350 | |
3.9% 4/29/24 | 375,000 | 381,386 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 7,802,471 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,010,757 | |
Regions Financial Corp. 3.2% 2/8/21 | 3,096,000 | 3,100,055 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 21,274,000 | 21,563,797 | |
6% 12/19/23 | 27,105,000 | 28,482,047 | |
6.1% 6/10/23 | 29,526,000 | 30,971,452 | |
6.125% 12/15/22 | 5,889,000 | 6,212,839 | |
Santander UK Group Holdings PLC 2.875% 10/16/20 | 550,000 | 548,286 | |
Societe Generale 4.25% 4/14/25 (b) | 21,901,000 | 21,539,860 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 255,502 | |
SunTrust Banks, Inc.: | |||
2.7% 1/27/22 | 540,000 | 533,954 | |
3.3% 5/15/26 | 965,000 | 938,895 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,311,040 | |
U.S. Bancorp 2.625% 1/24/22 | 3,020,000 | 3,006,127 | |
UniCredit SpA 6.572% 1/14/22 (b) | 7,600,000 | 7,791,210 | |
Wells Fargo & Co.: | |||
2.1% 7/26/21 | 1,530,000 | 1,498,260 | |
3% 2/19/25 | 5,000,000 | 4,879,689 | |
4.125% 8/15/23 | 280,000 | 285,893 | |
4.65% 11/4/44 | 1,385,000 | 1,377,644 | |
593,868,438 | |||
Capital Markets - 0.7% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 1,897,133 | |
Deutsche Bank AG 4.5% 4/1/25 | 9,996,000 | 9,305,182 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 9,607,953 | |
5% 2/14/22 | 14,609,000 | 14,699,286 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (a) | 12,744,000 | 12,553,049 | |
3.2% 2/23/23 | 8,110,000 | 8,039,730 | |
3.75% 5/22/25 | 3,095,000 | 3,080,039 | |
3.75% 2/25/26 | 650,000 | 641,931 | |
3.85% 7/8/24 | 1,900,000 | 1,913,578 | |
4% 3/3/24 | 270,000 | 274,171 | |
4.223% 5/1/29 (a) | 1,500,000 | 1,503,006 | |
6.75% 10/1/37 | 40,999,000 | 48,760,285 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 1,768,000 | 1,761,165 | |
3.75% 12/1/25 | 3,162,000 | 3,228,436 | |
Lazard Group LLC 4.25% 11/14/20 | 1,129,000 | 1,146,285 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 2,897,000 | 2,766,725 | |
4.875% 2/15/24 | 2,720,000 | 2,876,721 | |
Morgan Stanley: | |||
3.125% 1/23/23 | 7,600,000 | 7,539,102 | |
3.125% 7/27/26 | 37,616,000 | 35,891,519 | |
3.7% 10/23/24 | 21,259,000 | 21,351,836 | |
3.75% 2/25/23 | 3,725,000 | 3,786,177 | |
3.875% 4/29/24 | 4,200,000 | 4,258,267 | |
3.875% 1/27/26 | 1,125,000 | 1,128,634 | |
4% 7/23/25 | 3,675,000 | 3,733,126 | |
4.1% 5/22/23 | 2,000,000 | 2,032,985 | |
4.35% 9/8/26 | 1,520,000 | 1,526,214 | |
4.431% 1/23/30 (a) | 6,039,000 | 6,235,474 | |
5% 11/24/25 | 41,781,000 | 43,917,105 | |
5.75% 1/25/21 | 4,996,000 | 5,235,300 | |
The Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 755,281 | |
261,445,695 | |||
Consumer Finance - 0.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.5% 5/26/22 | 1,949,000 | 1,921,860 | |
4.125% 7/3/23 | 5,132,000 | 5,098,022 | |
4.45% 12/16/21 | 4,011,000 | 4,063,700 | |
4.5% 5/15/21 | 1,455,000 | 1,474,102 | |
4.875% 1/16/24 | 2,393,000 | 2,448,755 | |
5% 10/1/21 | 2,185,000 | 2,244,681 | |
Capital One Bank U.S.A. NA 3.375% 2/15/23 | 1,035,000 | 1,020,472 | |
Capital One Financial Corp. 3.8% 1/31/28 | 5,513,000 | 5,298,077 | |
Caterpillar Financial Services Corp. 1.931% 10/1/21 | 1,605,000 | 1,562,520 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 2,293,000 | 2,306,304 | |
3.95% 11/6/24 | 2,567,000 | 2,540,717 | |
4.1% 2/9/27 | 645,000 | 627,694 | |
4.5% 1/30/26 | 6,463,000 | 6,492,883 | |
5.2% 4/27/22 | 1,093,000 | 1,143,612 | |
Ford Motor Credit Co. LLC: | |||
3.664% 9/8/24 | 1,275,000 | 1,157,992 | |
4.134% 8/4/25 | 1,345,000 | 1,225,430 | |
5.085% 1/7/21 | 4,004,000 | 4,078,432 | |
5.596% 1/7/22 | 8,285,000 | 8,487,843 | |
Synchrony Financial: | |||
3% 8/15/19 | 1,335,000 | 1,334,144 | |
3.75% 8/15/21 | 2,016,000 | 2,020,415 | |
3.95% 12/1/27 | 8,719,000 | 7,984,012 | |
4.25% 8/15/24 | 2,029,000 | 1,988,919 | |
66,520,586 | |||
Diversified Financial Services - 0.1% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
3.65% 2/1/26 (b) | 2,700,000 | 2,663,650 | |
4.7% 2/1/36 (b) | 2,765,000 | 2,676,249 | |
4.9% 2/1/46 (b) | 145,000 | 139,596 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 185,000 | 187,586 | |
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 1,273,000 | 1,282,938 | |
Berkshire Hathaway, Inc.: | |||
2.75% 3/15/23 | 2,695,000 | 2,687,618 | |
3.125% 3/15/26 | 1,615,000 | 1,597,366 | |
BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,628,812 | |
Brixmor Operating Partnership LP 4.125% 6/15/26 | 2,238,000 | 2,185,684 | |
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,167,773 | |
Cigna Corp.: | |||
4.125% 11/15/25 (b) | 3,012,000 | 3,057,163 | |
4.375% 10/15/28 (b) | 7,774,000 | 7,880,152 | |
4.8% 8/15/38 (b) | 4,840,000 | 4,830,520 | |
4.9% 12/15/48 (b) | 4,836,000 | 4,815,059 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 810,000 | 731,657 | |
General Electric Capital Corp. 3.45% 5/15/24 | 920,000 | 903,010 | |
Private Export Funding Corp. 3.55% 1/15/24 | 755,000 | 784,751 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,324,986 | |
43,544,570 | |||
Insurance - 0.1% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 1,105,000 | 1,088,545 | |
3.15% 3/15/25 | 1,615,000 | 1,594,974 | |
AIA Group Ltd. 2.25% 3/11/19 (b) | 776,000 | 775,875 | |
American International Group, Inc.: | |||
4.125% 2/15/24 | 2,370,000 | 2,412,825 | |
4.5% 7/16/44 | 1,930,000 | 1,770,220 | |
4.875% 6/1/22 | 3,898,000 | 4,084,714 | |
Aon Corp. 5% 9/30/20 | 540,000 | 553,681 | |
CNA Financial Corp. 3.95% 5/15/24 | 1,400,000 | 1,398,813 | |
Hartford Financial Services Group, Inc.: | |||
5.125% 4/15/22 | 4,954,000 | 5,215,436 | |
5.5% 3/30/20 | 990,000 | 1,016,710 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 1,847,000 | 1,869,269 | |
Lincoln National Corp.: | |||
4.35% 3/1/48 | 165,000 | 155,529 | |
6.3% 10/9/37 | 185,000 | 220,637 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,140,000 | 1,144,504 | |
4.375% 3/15/29 | 5,432,000 | 5,598,425 | |
4.75% 3/15/39 | 2,493,000 | 2,581,368 | |
4.8% 7/15/21 | 1,026,000 | 1,061,190 | |
4.9% 3/15/49 | 4,960,000 | 5,217,325 | |
MetLife, Inc. 4.368% 9/15/23 (a) | 910,000 | 957,169 | |
Pricoa Global Funding I 5.375% 5/15/45 (a) | 5,278,000 | 5,242,374 | |
Prudential Financial, Inc.: | |||
4.5% 11/16/21 | 1,118,000 | 1,158,829 | |
7.375% 6/15/19 | 438,000 | 443,548 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 370,920 | |
Unum Group: | |||
5.625% 9/15/20 | 3,216,000 | 3,321,582 | |
5.75% 8/15/42 | 2,238,000 | 2,332,594 | |
51,587,056 | |||
TOTAL FINANCIALS | 1,016,966,345 | ||
HEALTH CARE - 0.5% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
3.6% 5/14/25 | 2,980,000 | 2,923,113 | |
4.7% 5/14/45 | 1,120,000 | 1,020,096 | |
4.875% 11/14/48 | 585,000 | 548,332 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,525,000 | 3,261,149 | |
4.5% 3/15/20 | 1,500,000 | 1,523,040 | |
Baxalta, Inc. 4% 6/23/25 | 579,000 | 575,037 | |
Celgene Corp.: | |||
3.625% 5/15/24 | 910,000 | 906,567 | |
5% 8/15/45 | 510,000 | 503,266 | |
Gilead Sciences, Inc.: | |||
3.25% 9/1/22 | 195,000 | 195,880 | |
3.65% 3/1/26 | 685,000 | 680,869 | |
4.4% 12/1/21 | 1,120,000 | 1,155,142 | |
4.5% 4/1/21 | 655,000 | 672,722 | |
4.5% 2/1/45 | 665,000 | 641,600 | |
14,606,813 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories: | |||
2.55% 3/15/22 | 500,000 | 492,734 | |
2.9% 11/30/21 | 1,915,000 | 1,912,951 | |
3.75% 11/30/26 | 312,000 | 316,155 | |
Becton, Dickinson & Co.: | |||
3.125% 11/8/21 | 1,050,000 | 1,046,273 | |
3.7% 6/6/27 | 180,000 | 174,371 | |
3.734% 12/15/24 | 855,000 | 855,241 | |
Medtronic, Inc.: | |||
2.5% 3/15/20 | 90,000 | 89,803 | |
3.625% 3/15/24 | 1,250,000 | 1,282,098 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 335,000 | 336,240 | |
3.375% 11/1/25 | 305,000 | 304,308 | |
3.5% 3/15/26 | 675,000 | 670,271 | |
Zimmer Biomet Holdings, Inc. 2.7% 4/1/20 | 465,000 | 462,840 | |
7,943,285 | |||
Health Care Providers & Services - 0.3% | |||
Ascension Health: | |||
3.945% 11/15/46 | 465,000 | 455,404 | |
4.847% 11/15/53 | 250,000 | 279,556 | |
Cardinal Health, Inc.: | |||
3.2% 6/15/22 | 405,000 | 401,443 | |
4.625% 12/15/20 | 200,000 | 204,797 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 580,000 | 576,012 | |
Cigna Corp. 3.75% 7/15/23 (b) | 6,229,000 | 6,303,591 | |
Cigna Holding Co.: | |||
3.25% 4/15/25 | 1,080,000 | 1,049,996 | |
4% 2/15/22 | 1,910,000 | 1,946,512 | |
4.375% 12/15/20 | 305,000 | 310,318 | |
Coventry Health Care, Inc. 5.45% 6/15/21 | 2,329,000 | 2,421,280 | |
CVS Health Corp.: | |||
3.5% 7/20/22 | 640,000 | 642,698 | |
3.875% 7/20/25 | 2,348,000 | 2,343,103 | |
4.1% 3/25/25 | 13,963,000 | 14,154,324 | |
4.3% 3/25/28 | 16,214,000 | 16,225,120 | |
4.78% 3/25/38 | 7,828,000 | 7,614,792 | |
5.05% 3/25/48 | 11,538,000 | 11,433,195 | |
5.125% 7/20/45 | 125,000 | 123,505 | |
5.3% 12/5/43 | 265,000 | 268,014 | |
Duke University Health System, Inc. 3.92% 6/1/47 | 635,000 | 620,141 | |
Elanco Animal Health, Inc.: | |||
3.912% 8/27/21 (b) | 1,274,000 | 1,282,062 | |
4.272% 8/28/23 (b) | 4,020,000 | 4,079,523 | |
4.9% 8/28/28 (b) | 1,693,000 | 1,753,966 | |
Express Scripts Holding Co. 4.5% 2/25/26 | 670,000 | 685,798 | |
Hackensack Meridian Health 4.5% 7/1/57 | 385,000 | 387,304 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 205,000 | 211,997 | |
5.875% 3/15/22 | 250,000 | 265,973 | |
6.5% 2/15/20 | 3,683,000 | 3,793,141 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,465,000 | 1,484,929 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 395,000 | 383,708 | |
4.7% 2/1/45 | 830,000 | 778,980 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 1,049,000 | 1,064,091 | |
Memorial Sloan-Kettring Cancer Center: | |||
4.2% 7/1/55 | 140,000 | 140,684 | |
5% 7/1/42 | 225,000 | 257,330 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 550,000 | 543,926 | |
4.063% 8/1/56 | 540,000 | 528,686 | |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 814,582 | |
Providence St. Joseph Health Obligated Group 2.746% 10/1/26 | 780,000 | 725,306 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 93,720 | |
5.75% 1/30/40 | 68,000 | 68,660 | |
RWJ Barnabas Health, Inc. 3.949% 7/1/46 | 265,000 | 251,824 | |
Sutter Health 4.091% 8/15/48 | 3,295,000 | 3,203,844 | |
The Johns Hopkins Health System Corp. 3.837% 5/15/46 | 400,000 | 383,420 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,792,000 | 2,868,819 | |
6.015% 11/15/48 | 13,402,000 | 14,179,737 | |
UnitedHealth Group, Inc.: | |||
4.25% 4/15/47 | 470,000 | 476,197 | |
4.25% 6/15/48 | 275,000 | 277,521 | |
4.7% 2/15/21 | 240,000 | 247,326 | |
6.875% 2/15/38 | 700,000 | 933,752 | |
WellPoint, Inc.: | |||
3.125% 5/15/22 | 2,620,000 | 2,614,099 | |
3.3% 1/15/23 | 6,475,000 | 6,486,486 | |
118,641,192 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
3.15% 1/15/23 | 365,000 | 363,794 | |
4.15% 2/1/24 | 570,000 | 588,501 | |
952,295 | |||
Pharmaceuticals - 0.1% | |||
Actavis Funding SCS: | |||
3.85% 6/15/24 | 560,000 | 557,894 | |
4.55% 3/15/35 | 400,000 | 373,170 | |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 5,924,000 | 5,925,232 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 707,907 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 1,425,000 | 1,410,289 | |
Johnson & Johnson: | |||
2.45% 3/1/26 | 45,000 | 42,955 | |
3.625% 3/3/37 | 1,585,000 | 1,553,731 | |
Merck & Co., Inc. 2.4% 9/15/22 | 2,875,000 | 2,832,235 | |
Mylan NV: | |||
2.5% 6/7/19 | 2,315,000 | 2,311,819 | |
3.15% 6/15/21 | 6,494,000 | 6,419,993 | |
3.95% 6/15/26 | 2,804,000 | 2,614,828 | |
5.2% 4/15/48 | 1,345,000 | 1,147,802 | |
Novartis Capital Corp.: | |||
2.4% 9/21/22 | 4,195,000 | 4,144,330 | |
4.4% 5/6/44 | 1,125,000 | 1,197,338 | |
Perrigo Finance PLC 3.5% 12/15/21 | 400,000 | 384,755 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 3,260,000 | 3,145,092 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 3,911,000 | 3,715,983 | |
Wyeth LLC 6.45% 2/1/24 | 3,255,000 | 3,757,847 | |
Zoetis, Inc.: | |||
3% 9/12/27 | 340,000 | 316,106 | |
3.25% 2/1/23 | 5,975,000 | 5,937,002 | |
48,496,308 | |||
TOTAL HEALTH CARE | 190,639,893 | ||
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.1% | |||
General Dynamics Corp.: | |||
2.25% 11/15/22 | 1,500,000 | 1,470,571 | |
3.5% 5/15/25 | 1,905,000 | 1,938,278 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 3,040,000 | 2,961,720 | |
3.8% 3/1/45 | 485,000 | 455,755 | |
4.25% 11/15/19 | 1,400,000 | 1,413,395 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 820,000 | 859,157 | |
Rockwell Collins, Inc. 3.5% 3/15/27 | 1,225,000 | 1,184,156 | |
The Boeing Co. 4.875% 2/15/20 | 650,000 | 662,475 | |
United Technologies Corp.: | |||
2.8% 5/4/24 | 2,742,000 | 2,663,412 | |
4.125% 11/16/28 | 490,000 | 497,675 | |
14,106,594 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.3% 3/15/27 | 280,000 | 268,516 | |
United Parcel Service, Inc.: | |||
2.05% 4/1/21 | 150,000 | 147,826 | |
3.125% 1/15/21 | 210,000 | 211,642 | |
627,984 | |||
Airlines - 0.0% | |||
American Airelines 2014-1 Class A Pass-Through Trust Equipment Trust Certificate 3.7% 10/1/26 | 256,656 | 252,421 | |
American Airlines, Inc. equipment trust certificate 3.2% 6/15/28 | 485,730 | 463,872 | |
Continental Airlines, Inc. 4.15% 4/11/24 | 802,227 | 809,607 | |
Delta Air Lines, Inc. 3.4% 4/19/21 | 1,105,000 | 1,103,342 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 8/10/22 | 119,751 | 130,074 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 8/15/25 | 159,401 | 162,474 | |
2,921,790 | |||
Building Products - 0.0% | |||
Fortune Brands Home & Security, Inc. 3% 6/15/20 | 425,000 | 423,164 | |
Johnson Controls International PLC 4.95% 7/2/64 | 275,000 | 242,620 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,631,074 | |
2,296,858 | |||
Commercial Services & Supplies - 0.0% | |||
Cintas Corp. No. 2 3.7% 4/1/27 | 1,135,000 | 1,137,468 | |
Republic Services, Inc. 5.5% 9/15/19 | 325,000 | 329,308 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 372,140 | |
WMX Technologies, Inc. 4.6% 3/1/21 | 345,000 | 353,149 | |
2,192,065 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 114,618 | |
Fortive Corp. 3.15% 6/15/26 | 275,000 | 261,714 | |
General Electric Capital Corp. 3.15% 9/7/22 | 1,386,000 | 1,363,574 | |
1,739,906 | |||
Industrial Conglomerates - 0.0% | |||
Covidien International Finance SA 3.2% 6/15/22 | 865,000 | 870,711 | |
General Electric Co. 2.7% 10/9/22 | 1,170,000 | 1,130,968 | |
2,001,679 | |||
Machinery - 0.0% | |||
Caterpillar, Inc. 2.6% 6/26/22 | 675,000 | 664,881 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 615,000 | 599,210 | |
2.8% 1/27/23 | 585,000 | 579,811 | |
2.8% 3/6/23 | 1,435,000 | 1,430,244 | |
Westinghouse Air Brake Co. 4.7% 9/15/28 | 430,000 | 427,128 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 215,673 | |
4.875% 10/1/21 | 525,000 | 539,603 | |
4,456,550 | |||
Professional Services - 0.0% | |||
IHS Markit Ltd. 4.125% 8/1/23 | 365,000 | 365,730 | |
Road & Rail - 0.0% | |||
Burlington Northern Santa Fe LLC 4.1% 6/1/21 | 950,000 | 974,556 | |
Canadian National Railway Co. 2.85% 12/15/21 | 600,000 | 597,411 | |
CSX Corp.: | |||
3.4% 8/1/24 | 600,000 | 602,406 | |
6.15% 5/1/37 | 1,500,000 | 1,778,815 | |
Union Pacific Corp.: | |||
3.6% 9/15/37 | 640,000 | 581,391 | |
4% 2/1/21 | 943,000 | 960,230 | |
4.3% 6/15/42 | 325,000 | 314,870 | |
5,809,679 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
3% 9/15/23 | 800,000 | 767,740 | |
3.375% 6/1/21 | 2,750,000 | 2,730,640 | |
3.75% 2/1/22 | 4,752,000 | 4,760,055 | |
3.875% 4/1/21 | 2,900,000 | 2,921,457 | |
4.25% 2/1/24 | 7,846,000 | 7,890,387 | |
4.25% 9/15/24 | 3,212,000 | 3,209,961 | |
4.75% 3/1/20 | 3,227,000 | 3,272,433 | |
25,552,673 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (a) | 755,000 | 815,400 | |
TOTAL INDUSTRIALS | 62,886,908 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
1.85% 9/20/21 | 725,000 | 708,580 | |
2.9% 3/4/21 | 150,000 | 150,416 | |
3% 6/15/22 | 310,000 | 312,015 | |
1,171,011 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (b) | 725,000 | 724,754 | |
5.45% 6/15/23 (b) | 6,100,000 | 6,409,731 | |
6.02% 6/15/26 (b) | 2,112,000 | 2,239,728 | |
9,374,213 | |||
IT Services - 0.0% | |||
Fiserv, Inc. 3.85% 6/1/25 | 1,695,000 | 1,700,427 | |
IBM Corp. 3.625% 2/12/24 | 3,565,000 | 3,635,359 | |
MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 887,810 | |
6,223,596 | |||
Software - 0.1% | |||
CA Technologies, Inc. 3.6% 8/1/20 | 555,000 | 554,562 | |
Microsoft Corp.: | |||
2.875% 2/6/24 | 3,890,000 | 3,891,015 | |
3.7% 8/8/46 | 1,275,000 | 1,240,979 | |
4.1% 2/6/37 | 1,930,000 | 2,022,527 | |
Oracle Corp.: | |||
1.9% 9/15/21 | 570,000 | 556,810 | |
2.5% 10/15/22 | 1,855,000 | 1,827,835 | |
2.65% 7/15/26 | 2,595,000 | 2,464,198 | |
2.95% 5/15/25 | 2,085,000 | 2,047,097 | |
4.125% 5/15/45 | 1,595,000 | 1,558,106 | |
16,163,129 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc.: | |||
2.4% 5/3/23 | 2,090,000 | 2,049,973 | |
2.85% 5/11/24 | 3,515,000 | 3,489,221 | |
3.25% 2/23/26 | 2,145,000 | 2,147,540 | |
3.35% 2/9/27 | 1,285,000 | 1,284,603 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (a) | 5,700,000 | 5,885,286 | |
14,856,623 | |||
TOTAL INFORMATION TECHNOLOGY | 47,788,572 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
DowDuPont, Inc. 4.493% 11/15/25 | 2,750,000 | 2,873,360 | |
Eastman Chemical Co. 4.65% 10/15/44 | 485,000 | 451,511 | |
Ecolab, Inc. 4.35% 12/8/21 | 245,000 | 253,853 | |
LYB International Finance II BV 3.5% 3/2/27 | 130,000 | 121,508 | |
LyondellBasell Industries NV: | |||
5.75% 4/15/24 | 1,730,000 | 1,854,959 | |
6% 11/15/21 | 1,919,000 | 2,030,784 | |
Nutrien Ltd.: | |||
4.9% 6/1/43 | 825,000 | 793,288 | |
5.25% 1/15/45 | 180,000 | 179,140 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 196,109 | |
The Dow Chemical Co.: | |||
3% 11/15/22 | 650,000 | 644,544 | |
4.125% 11/15/21 | 1,350,000 | 1,378,820 | |
4.25% 11/15/20 | 324,000 | 329,258 | |
11,107,134 | |||
Containers & Packaging - 0.0% | |||
International Paper Co.: | |||
4.75% 2/15/22 | 882,000 | 917,549 | |
5% 9/15/35 | 405,000 | 407,889 | |
5.15% 5/15/46 | 116,000 | 114,203 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 189,936 | |
1,629,577 | |||
Metals & Mining - 0.1% | |||
Anglo American Capital PLC: | |||
4.125% 4/15/21 (b) | 6,803,000 | 6,825,178 | |
4.125% 9/27/22 (b) | 1,333,000 | 1,338,021 | |
Barrick North America Finance LLC 5.75% 5/1/43 | 330,000 | 365,868 | |
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,979,000 | 2,059,743 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (b) | 2,033,000 | 2,006,185 | |
4.5% 8/1/47 (b) | 1,715,000 | 1,718,361 | |
Rio Tinto Finance (U.S.A.) Ltd. 3.75% 6/15/25 | 1,215,000 | 1,249,871 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 487,202 | |
16,050,429 | |||
TOTAL MATERIALS | 28,787,140 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 801,000 | 797,567 | |
4.6% 4/1/22 | 855,000 | 882,467 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 813,000 | 811,638 | |
Boston Properties, Inc.: | |||
3.85% 2/1/23 | 1,175,000 | 1,194,926 | |
4.5% 12/1/28 | 5,210,000 | 5,402,007 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 954,000 | 943,175 | |
4.25% 1/15/24 | 2,838,000 | 2,922,657 | |
Corporate Office Properties LP 5% 7/1/25 | 3,453,000 | 3,539,505 | |
DDR Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,311,321 | |
4.25% 2/1/26 | 4,062,000 | 4,015,004 | |
4.625% 7/15/22 | 1,600,000 | 1,637,160 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 774,279 | |
3.625% 4/15/23 | 1,382,000 | 1,389,535 | |
3.875% 10/15/22 | 2,108,000 | 2,146,411 | |
4.375% 6/15/22 | 1,237,000 | 1,278,743 | |
Equity One, Inc. 3.75% 11/15/22 | 3,200,000 | 3,216,699 | |
Government Properties Income Trust 3.75% 8/15/19 | 4,010,000 | 4,016,407 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 2,263,000 | 2,239,743 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 1,910,000 | 1,881,456 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 1,319,000 | 1,315,991 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 6,644,000 | 6,682,760 | |
4.5% 1/15/25 | 2,793,000 | 2,779,560 | |
4.5% 4/1/27 | 1,500,000 | 1,471,147 | |
4.75% 1/15/28 | 7,569,000 | 7,568,493 | |
4.95% 4/1/24 | 1,152,000 | 1,173,106 | |
5.25% 1/15/26 | 5,841,000 | 6,006,134 | |
Realty Income Corp. 3% 1/15/27 | 585,000 | 551,505 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 835,355 | |
5% 12/15/23 | 626,000 | 629,506 | |
Simon Property Group LP: | |||
3.25% 11/30/26 | 870,000 | 848,139 | |
3.375% 10/1/24 | 3,300,000 | 3,310,558 | |
3.75% 2/1/24 | 345,000 | 352,412 | |
Store Capital Corp. 4.625% 3/15/29 | 2,475,000 | 2,443,093 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 1,414,000 | 1,393,355 | |
3.85% 4/1/27 | 1,050,000 | 1,028,519 | |
4% 3/1/28 | 2,712,000 | 2,673,637 | |
4.125% 1/15/26 | 1,628,000 | 1,634,270 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 467,400 | |
WP Carey, Inc.: | |||
4% 2/1/25 | 5,544,000 | 5,468,218 | |
4.6% 4/1/24 | 7,436,000 | 7,640,047 | |
97,673,905 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,023,404 | |
3.95% 11/15/27 | 5,608,000 | 5,399,313 | |
4.1% 10/1/24 | 3,830,000 | 3,816,013 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 13,046,299 | |
Digital Realty Trust LP 3.95% 7/1/22 | 3,488,000 | 3,531,855 | |
Essex Portfolio LP 3.875% 5/1/24 | 2,685,000 | 2,711,494 | |
Liberty Property LP: | |||
3.25% 10/1/26 | 2,158,000 | 2,046,247 | |
3.375% 6/15/23 | 4,307,000 | 4,260,899 | |
4.125% 6/15/22 | 1,061,000 | 1,084,639 | |
4.75% 10/1/20 | 2,674,000 | 2,726,680 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 2,916,892 | |
4.5% 4/18/22 | 644,000 | 611,264 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,311,361 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,791,128 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 3,497,000 | 3,173,141 | |
3.75% 12/1/24 | 2,653,000 | 2,585,444 | |
3.875% 12/1/23 | 1,492,000 | 1,480,114 | |
3.875% 7/15/27 | 9,533,000 | 8,980,956 | |
65,497,143 | |||
TOTAL REAL ESTATE | 163,171,048 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.2% | |||
Alabama Power Co.: | |||
3.75% 3/1/45 | 850,000 | 785,253 | |
3.85% 12/1/42 | 250,000 | 234,171 | |
4.1% 1/15/42 | 225,000 | 215,187 | |
Appalachian Power Co. 3.3% 6/1/27 | 605,000 | 582,895 | |
Arizona Public Service Co. 3.75% 5/15/46 | 390,000 | 357,794 | |
Baltimore Gas & Electric Co. 3.35% 7/1/23 | 470,000 | 471,895 | |
CenterPoint Energy Houston Electric LLC: | |||
2.25% 8/1/22 | 530,000 | 515,935 | |
4.25% 2/1/49 | 285,000 | 294,273 | |
Commonwealth Edison Co.: | |||
3.65% 6/15/46 | 765,000 | 705,460 | |
3.7% 3/1/45 | 315,000 | 293,507 | |
3.75% 8/15/47 | 250,000 | 233,818 | |
4.6% 8/15/43 | 1,045,000 | 1,109,846 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 1,270,000 | 1,229,588 | |
4.25% 12/15/41 | 1,250,000 | 1,274,488 | |
6.1% 6/1/37 | 775,000 | 943,992 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 8,875,000 | 9,350,211 | |
6.4% 9/15/20 (b) | 4,858,000 | 5,058,873 | |
Entergy Corp. 5.125% 9/15/20 | 545,000 | 555,105 | |
Entergy Louisiana LLC: | |||
2.4% 10/1/26 | 870,000 | 800,246 | |
4% 3/15/33 | 445,000 | 451,599 | |
4.05% 9/1/23 | 880,000 | 902,269 | |
Exelon Corp. 3.497% 6/1/22 (a) | 835,000 | 828,994 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 12,580,000 | 12,883,982 | |
7.375% 11/15/31 | 10,940,000 | 14,097,791 | |
Florida Power & Light Co. 2.75% 6/1/23 | 1,200,000 | 1,199,161 | |
Fortis, Inc. 3.055% 10/4/26 | 485,000 | 452,865 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,802,832 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 8,163,000 | 8,141,121 | |
3.7% 9/1/24 | 2,644,000 | 2,598,816 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 686,000 | 690,659 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 245,000 | 266,831 | |
MidAmerican Energy Co.: | |||
3.65% 8/1/48 | 620,000 | 576,376 | |
3.95% 8/1/47 | 775,000 | 758,834 | |
Northern States Power Co. 6.25% 6/1/36 | 370,000 | 463,975 | |
PacifiCorp: | |||
5.25% 6/15/35 | 1,375,000 | 1,514,931 | |
5.75% 4/1/37 | 900,000 | 1,067,447 | |
PPL Capital Funding, Inc. 4.2% 6/15/22 | 495,000 | 504,242 | |
PPL Electric Utilities Corp. 6.25% 5/15/39 | 250,000 | 314,014 | |
Progress Energy, Inc. 4.875% 12/1/19 | 450,000 | 456,357 | |
Public Service Co. of Colorado 2.5% 3/15/23 | 645,000 | 627,507 | |
Public Service Electric & Gas Co.: | |||
2.25% 9/15/26 | 295,000 | 271,921 | |
3.6% 12/1/47 | 260,000 | 240,669 | |
3.65% 9/1/42 | 125,000 | 117,293 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 340,425 | |
South Carolina Electric & Gas Co. 5.1% 6/1/65 | 370,000 | 402,930 | |
Southern California Edison Co.: | |||
3.6% 2/1/45 | 1,735,000 | 1,480,918 | |
4% 4/1/47 | 715,000 | 645,756 | |
Southwestern Electric Power Co. 3.85% 2/1/48 | 660,000 | 588,227 | |
Virginia Electric & Power Co. 6% 5/15/37 | 1,375,000 | 1,648,333 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 231,117 | |
81,580,729 | |||
Gas Utilities - 0.0% | |||
AGL Capital Corp.: | |||
3.5% 9/15/21 | 1,030,000 | 1,033,508 | |
4.4% 6/1/43 | 290,000 | 279,008 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 539,647 | |
1,852,163 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 23,595,000 | 25,305,638 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 1,324,000 | 1,319,588 | |
2.7% 6/15/21 | 1,304,000 | 1,279,938 | |
3.55% 6/15/26 | 795,000 | 762,619 | |
Exelon Generation Co. LLC 2.95% 1/15/20 | 120,000 | 119,892 | |
PSEG Power LLC 3% 6/15/21 | 1,075,000 | 1,064,583 | |
29,852,258 | |||
Multi-Utilities - 0.1% | |||
Ameren Illinois Co. 4.5% 3/15/49 | 600,000 | 640,763 | |
Consolidated Edison Co. of New York, Inc. 4.3% 12/1/56 | 300,000 | 284,110 | |
Dominion Resources, Inc.: | |||
3 month U.S. LIBOR + 2.300% 5.103% 9/30/66 (a)(c) | 6,307,000 | 5,802,440 | |
3 month U.S. LIBOR + 2.825% 5.628% 6/30/66 (a)(c) | 924,000 | 877,800 | |
NiSource Finance Corp.: | |||
4.8% 2/15/44 | 80,000 | 80,808 | |
5.95% 6/15/41 | 640,000 | 722,853 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 255,877 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 624,000 | 610,219 | |
5.625% 7/15/22 | 4,555,000 | 4,797,762 | |
6% 9/1/21 | 4,353,000 | 4,594,702 | |
6.5% 12/15/20 | 1,405,000 | 1,476,274 | |
San Diego Gas & Electric Co.: | |||
3.6% 9/1/23 | 1,025,000 | 1,025,608 | |
3.75% 6/1/47 | 585,000 | 525,861 | |
Sempra Energy 4% 2/1/48 | 390,000 | 339,852 | |
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.7963% 5/15/67 (a)(c) | 1,012,000 | 890,105 | |
22,925,034 | |||
TOTAL UTILITIES | 136,210,184 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $2,627,542,731) | 2,618,779,024 | ||
U.S. Government and Government Agency Obligations - 7.7% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae: | |||
1.875% 9/24/26 | $575,000 | $536,598 | |
2% 10/5/22 | 1,130,000 | 1,108,555 | |
2.375% 1/19/23 | 455,000 | 451,854 | |
2.5% 2/5/24 | 1,395,000 | 1,386,125 | |
2.875% 10/30/20 | 1,365,000 | 1,371,858 | |
2.875% 9/12/23 | 670,000 | 677,807 | |
6.25% 5/15/29 | 520,000 | 663,396 | |
6.625% 11/15/30 | 670,000 | 895,871 | |
Federal Home Loan Bank: | |||
2.625% 10/1/20 | 730,000 | 730,494 | |
3% 10/12/21 | 3,485,000 | 3,523,213 | |
3.25% 11/16/28 | 1,815,000 | 1,851,794 | |
Freddie Mac: | |||
1.375% 8/15/19 | 1,585,000 | 1,576,761 | |
1.5% 1/17/20 | 1,965,000 | 1,947,187 | |
2.375% 2/16/21 | 2,785,000 | 2,775,275 | |
Tennessee Valley Authority: | |||
2.25% 3/15/20 | 3,130,000 | 3,120,303 | |
2.875% 2/1/27 | 1,320,000 | 1,310,361 | |
5.25% 9/15/39 | 150,000 | 184,924 | |
7.125% 5/1/30 | 460,000 | 627,483 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 24,739,859 | ||
U.S. Treasury Obligations - 7.6% | |||
U.S. Treasury Bonds: | |||
2.75% 8/15/47 | 12,240,000 | 11,450,616 | |
2.875% 8/15/45 | 17,715,000 | 17,049,304 | |
2.875% 11/15/46 | 7,015,000 | 6,742,895 | |
3% 11/15/44 | 505,000 | 497,662 | |
3% 5/15/45 | 49,521,000 | 48,818,808 | |
3% 2/15/49 | 6,071,000 | 5,969,975 | |
3.375% 11/15/48 | 3,550,000 | 3,753,016 | |
3.625% 8/15/43 | 23,560,000 | 25,796,359 | |
3.75% 11/15/43 | 2,285,000 | 2,552,416 | |
6.25% 8/15/23 | 17,515,000 | 20,235,983 | |
6.875% 8/15/25 | 8,445,000 | 10,573,074 | |
7.25% 8/15/22 | 7,335,000 | 8,472,212 | |
U.S. Treasury Notes: | |||
1.375% 8/31/20 | 21,575,000 | 21,202,494 | |
1.375% 4/30/21 | 20,690,000 | 20,191,339 | |
1.375% 5/31/21 | 35,805,000 | 34,911,274 | |
1.625% 6/30/20 | 19,525,000 | 19,283,226 | |
1.625% 7/31/20 | 31,170,000 | 30,763,329 | |
1.625% 4/30/23 | 5,900,000 | 5,691,887 | |
1.75% 6/30/22 | 29,643,000 | 28,937,821 | |
1.75% 9/30/22 | 14,045,000 | 13,679,611 | |
1.875% 4/30/22 | 43,605,000 | 42,778,890 | |
1.875% 9/30/22 | 9,303,000 | 9,101,677 | |
2% 11/30/20 | 48,865,000 | 48,403,073 | |
2% 2/15/25 | 20,105,000 | 19,446,875 | |
2% 11/15/26 | 192,301,000 | 183,564,825 | |
2.125% 9/30/21 | 48,800,000 | 48,329,156 | |
2.125% 6/30/22 | 13,575,000 | 13,411,676 | |
2.125% 7/31/24 | 108,991,000 | 106,589,792 | |
2.125% 5/15/25 | 28,670,000 | 27,887,175 | |
2.25% 11/15/25 | 55,000 | 53,745 | |
2.25% 2/15/27 | 17,910,000 | 17,381,795 | |
2.25% 11/15/27 | 53,845,000 | 51,985,665 | |
2.375% 2/29/24 | 3,895,000 | 3,868,983 | |
2.375% 5/15/27 | 120,941,000 | 118,342,658 | |
2.5% 1/31/21 | 5,225,000 | 5,221,938 | |
2.5% 2/15/22 | 1,305,000 | 1,305,153 | |
2.5% 3/31/23 | 438,416,000 | 438,073,488 | |
2.5% 1/31/24 | 2,880,000 | 2,876,850 | |
2.5% 2/28/26 | 2,860,000 | 2,837,545 | |
2.625% 11/15/20 | 47,515,000 | 47,565,114 | |
2.625% 12/31/23 | 270,530,000 | 271,650,162 | |
2.625% 3/31/25 | 109,290,000 | 109,477,842 | |
2.625% 1/31/26 | 820,000 | 820,448 | |
2.625% 2/15/29 | 6,460,000 | 6,406,503 | |
2.75% 2/28/25 (d) | 850,000 | 857,637 | |
2.75% 6/30/25 | 336,603,000 | 339,456,236 | |
2.875% 11/15/21 | 11,685,000 | 11,795,003 | |
2.875% 11/30/25 | 522,754,000 | 530,962,869 | |
3.125% 11/15/28 | 100,800,000 | 104,241,375 | |
TOTAL U.S. TREASURY OBLIGATIONS | 2,901,267,449 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,917,502,496) | 2,926,007,308 | ||
U.S. Government Agency - Mortgage Securities - 9.4% | |||
Fannie Mae - 4.5% | |||
12 month U.S. LIBOR + 1.553% 4.269% 6/1/36 (a)(c) | 8,425 | 8,765 | |
12 month U.S. LIBOR + 1.825% 4.327% 2/1/35 (a)(c) | 223,070 | 234,628 | |
12 month U.S. LIBOR + 1.900% 4.634% 7/1/37 (a)(c) | 16,805 | 17,708 | |
2% 8/1/31 | 1,503,351 | 1,445,465 | |
2.5% 9/1/27 to 10/1/46 | 18,824,272 | 18,217,075 | |
2.5% 3/1/34 (e) | 1,500,000 | 1,470,596 | |
2.5% 3/1/34 (e) | 27,786,074 | 27,241,386 | |
2.5% 3/1/34 (e) | 1,286,074 | 1,260,863 | |
2.5% 3/1/34 (e) | 6,400,000 | 6,274,541 | |
2.5% 3/1/34 (e) | 1,500,000 | 1,470,596 | |
2.5% 3/1/34 (e) | 2,750,000 | 2,696,092 | |
2.5% 3/1/34 (e) | 7,050,000 | 6,911,800 | |
2.5% 3/1/34 (e) | 9,800,000 | 9,607,892 | |
2.5% 3/1/49 (e) | 1,224,674 | 1,160,507 | |
2.5% 3/1/49 (e) | 1,224,674 | 1,160,507 | |
2.5% 3/1/49 (e) | 1,125,000 | 1,066,055 | |
2.5% 3/1/49 (e) | 850,000 | 805,464 | |
2.5% 3/1/49 (e) | 1,125,000 | 1,066,055 | |
2.5% 3/1/49 (e) | 850,000 | 805,464 | |
3% 2/1/25 to 1/1/47 | 275,143,718 | 271,322,669 | |
3% 3/1/34 (e) | 40,200,000 | 40,119,781 | |
3% 3/1/34 (e) | 14,100,000 | 14,071,863 | |
3% 3/1/34 (e) | 15,800,000 | 15,768,471 | |
3% 3/1/34 (e) | 5,500,000 | 5,489,025 | |
3% 3/1/34 (e) | 12,850,000 | 12,824,358 | |
3% 3/1/34 (e) | 5,225,000 | 5,214,574 | |
3% 3/1/34 (e) | 1,390,000 | 1,387,226 | |
3% 3/1/34 (e) | 8,075,000 | 8,058,886 | |
3% 3/1/34 (e) | 10,300,000 | 10,279,446 | |
3% 3/1/34 (e) | 10,300,000 | 10,279,446 | |
3% 3/1/49 (e) | 1,875,000 | 1,831,650 | |
3% 3/1/49 (e) | 1,875,000 | 1,831,650 | |
3% 3/1/49 (e) | 1,525,000 | 1,489,742 | |
3% 3/1/49 (e) | 1,525,000 | 1,489,742 | |
3% 3/1/49 (e) | 1,850,000 | 1,807,228 | |
3% 3/1/49 (e) | 13,925,000 | 13,603,057 | |
3% 3/1/49 (e) | 13,925,000 | 13,603,057 | |
3% 3/1/49 (e) | 3,575,000 | 3,492,347 | |
3% 3/1/49 (e) | 3,575,000 | 3,492,347 | |
3% 3/1/49 (e) | 1,850,000 | 1,807,228 | |
3% 3/1/49 (e) | 5,850,000 | 5,714,749 | |
3% 3/1/49 (e) | 1,125,000 | 1,098,990 | |
3% 3/1/49 (e) | 850,000 | 830,348 | |
3% 3/1/49 (e) | 13,525,000 | 13,212,305 | |
3% 3/1/49 (e) | 13,525,000 | 13,212,305 | |
3% 3/1/49 (e) | 1,125,000 | 1,098,990 | |
3% 3/1/49 (e) | 850,000 | 830,348 | |
3% 3/1/49 (e) | 16,400,000 | 16,020,835 | |
3% 3/1/49(e) | 3,100,000 | 3,028,329 | |
3% 3/1/49 (e) | 3,400,000 | 3,321,393 | |
3% 3/1/49 (e) | 3,400,000 | 3,321,393 | |
3% 3/1/49 (e) | 3,100,000 | 3,028,329 | |
3% 3/1/49 (e) | 4,500,000 | 4,395,961 | |
3% 3/1/49 (e) | 3,750,000 | 3,663,301 | |
3% 3/1/49 (e) | 2,000,000 | 1,953,760 | |
3% 3/1/49 (e) | 3,900,000 | 3,809,833 | |
3% 3/1/49 (e) | 1,850,000 | 1,807,228 | |
3% 3/1/49 (e) | 3,900,000 | 3,809,833 | |
3% 3/1/49 (e) | 15,400,000 | 15,043,955 | |
3.5% 9/1/26 to 10/1/56 | 315,225,332 | 317,381,810 | |
3.5% 3/1/34 (e) | 6,387,087 | 6,488,440 | |
3.5% 3/1/34 (e) | 6,422,763 | 6,524,682 | |
3.5% 3/1/34 (e) | 4,150,000 | 4,215,854 | |
3.5% 3/1/34 (e) | 1,000,000 | 1,015,868 | |
3.5% 3/1/34 (e) | 2,750,000 | 2,793,638 | |
3.5% 3/1/34 (e) | 21,566,484 | 21,908,710 | |
3.5% 3/1/34 (e) | 21,566,484 | 21,908,710 | |
3.5% 3/1/34 (e) | 11,809,850 | 11,997,253 | |
3.5% 3/1/34 (e) | 7,900,000 | 8,025,360 | |
3.5% 3/1/34 (e) | 2,500,000 | 2,539,671 | |
3.5% 3/1/34 (e) | 2,750,000 | 2,793,638 | |
3.5% 3/1/34 (e) | 10,350,000 | 10,514,238 | |
3.5% 3/1/34 (e) | 30,100,000 | 30,577,639 | |
3.5% 3/1/34 (e) | 2,600,000 | 2,641,258 | |
3.5% 3/1/34 (e) | 2,700,000 | 2,742,845 | |
3.5% 3/1/34 (e) | 2,700,000 | 2,742,845 | |
3.5% 3/1/34 (e) | 8,550,000 | 8,685,675 | |
3.5% 3/1/34 (e) | 8,450,000 | 8,584,088 | |
3.5% 3/1/34 (e) | 2,500,000 | 2,539,671 | |
3.5% 3/1/49 (e) | 25,100,000 | 25,104,945 | |
3.5% 3/1/49 (e) | 1,600,000 | 1,600,315 | |
4% 11/1/31 to 10/1/48 | 315,717,206 | 324,003,978 | |
4% 1/1/48 | 6,013,040 | 6,152,092 | |
4% 10/1/48 | 7,754,448 | 7,915,595 | |
4% 3/1/49 (e) | 4,100,000 | 4,179,221 | |
4% 3/1/49 (e) | 1,600,000 | 1,630,915 | |
4% 3/1/49 (e) | 4,100,000 | 4,179,221 | |
4% 3/1/49 (e) | 1,600,000 | 1,630,915 | |
4% 3/1/49 (e) | 2,000,000 | 2,038,644 | |
4% 3/1/49 (e) | 2,000,000 | 2,038,644 | |
4% 3/1/49 (e) | 6,800,000 | 6,931,390 | |
4% 3/1/49 (e) | 6,800,000 | 6,931,390 | |
4.5% 6/1/24 to 8/1/56 | 113,713,862 | 118,891,374 | |
4.5% 3/1/49 (e) | 8,200,000 | 8,484,608 | |
4.5% 3/1/49 (e) | 4,275,000 | 4,423,378 | |
5% 10/1/21 to 8/1/56 | 56,274,479 | 59,775,841 | |
5.257% 8/1/41 | 424,620 | 458,987 | |
5.5% 7/1/30 to 9/1/41 | 13,739,162 | 14,852,382 | |
5.5% 3/1/49 (e) | 2,250,000 | 2,386,048 | |
6% 3/1/22 to 1/1/42 | 23,849,207 | 26,389,993 | |
6.5% 2/1/36 to 8/1/39 | 3,544,366 | 3,957,168 | |
6.52% 2/1/39 | 519,449 | 561,137 | |
TOTAL FANNIE MAE | 1,732,527,511 | ||
Freddie Mac - 2.0% | |||
6 month U.S. LIBOR + 2.492% 5.028% 10/1/35 (a)(c) | 10,010 | 10,477 | |
2% 1/1/32 | 2,492,042 | 2,396,447 | |
2.5% 3/1/28 to 2/1/43 | 8,383,134 | 8,225,303 | |
3% 10/1/28 to 1/1/47 | 177,843,519 | 174,658,380 | |
3% 3/1/34 (e) | 11,800,000 | 11,782,907 | |
3% 3/1/34 (e) | 7,700,000 | 7,688,846 | |
3.5% 8/1/26 to 11/1/48 (d) | 254,640,501 | 256,636,583 | |
3.5% 8/1/47 | 12,974,498 | 13,035,738 | |
3.5% 3/1/49 (e) | 8,700,000 | 8,706,811 | |
3.5% 3/1/49 (e) | 3,600,000 | 3,602,818 | |
4% 6/1/33 to 9/1/48 | 154,683,348 | 158,909,365 | |
4% 3/1/49 (e) | 5,700,000 | 5,813,476 | |
4% 3/1/49 (e) | 10,500,000 | 10,709,035 | |
4.5% 7/1/25 to 12/1/48 | 56,604,154 | 59,205,841 | |
4.5% 3/1/49 (e) | 9,300,000 | 9,634,049 | |
4.5% 3/1/49 (e) | 8,600,000 | 8,908,905 | |
4.5% 3/1/49 (e) | 300,000 | 310,776 | |
4.5% 3/1/49 (e) | 300,000 | 310,776 | |
5% 10/1/33 to 12/1/47 | 9,363,343 | 9,995,549 | |
5.5% 3/1/34 to 6/1/41 | 5,479,942 | 5,922,382 | |
6% 7/1/37 to 9/1/38 | 234,648 | 260,859 | |
6.5% 9/1/39 | 650,010 | 733,982 | |
TOTAL FREDDIE MAC | 757,459,305 | ||
Ginnie Mae - 2.9% | |||
3.5% 9/20/40 to 9/20/48 | 242,262,627 | 245,078,770 | |
4.5% 5/15/39 to 3/20/48 | 43,852,547 | 45,974,856 | |
5.5% 6/15/36 to 3/20/41 | 262,595 | 283,008 | |
2.5% 11/20/46 to 12/20/46 | 37,020,520 | 35,400,150 | |
3% 8/20/42 to 6/20/48 | 140,006,908 | 138,569,349 | |
3% 3/1/49 (e) | 38,400,000 | 37,888,577 | |
3% 3/1/49 (e) | 1,775,000 | 1,751,360 | |
3% 3/1/49 (e) | 1,325,000 | 1,307,353 | |
3% 3/1/49 (e) | 1,050,000 | 1,036,016 | |
3% 3/1/49 (e) | 800,000 | 789,345 | |
3% 3/1/49 (e) | 1,125,000 | 1,110,017 | |
3% 3/1/49 (e) | 850,000 | 838,679 | |
3.5% 3/1/49 (e) | 1,775,000 | 1,790,359 | |
3.5% 3/1/49 (e) | 1,325,000 | 1,336,465 | |
3.5% 3/1/49 (e) | 27,450,000 | 27,687,530 | |
3.5% 3/1/49 (e) | 15,900,000 | 16,037,586 | |
3.5% 4/1/49 (e) | 1,050,000 | 1,058,553 | |
3.5% 4/1/49 (e) | 800,000 | 806,516 | |
3.5% 4/1/49 (e) | 1,125,000 | 1,134,164 | |
3.5% 4/1/49 (e) | 850,000 | 856,924 | |
4% 5/20/40 to 4/20/48 (d) | 101,177,391 | 104,426,122 | |
4% 3/1/49 (e) | 70,700,000 | 72,554,206 | |
4% 3/1/49 (e) | 100,000 | 102,623 | |
4% 3/1/49 (e) | 19,800,000 | 20,319,283 | |
4% 3/1/49 (e) | 16,000,000 | 16,419,622 | |
4% 3/1/49 (e) | 1,675,000 | 1,718,929 | |
4% 3/1/49 (e) | 6,300,000 | 6,465,226 | |
4% 3/1/49 (e) | 1,325,000 | 1,359,750 | |
4% 3/1/49 (e) | 17,750,000 | 18,215,519 | |
4% 3/1/49 (e) | 1,050,000 | 1,077,538 | |
4% 3/1/49 (e) | 800,000 | 820,981 | |
4% 3/1/49 (e) | 4,300,000 | 4,412,774 | |
4% 4/1/49 (e) | 83,350,000 | 85,470,857 | |
4% 4/1/49 (e) | 1,050,000 | 1,076,717 | |
4% 4/1/49 (e) | 1,050,000 | 1,076,717 | |
4% 4/1/49 (e) | 800,000 | 820,356 | |
4.5% 3/1/49 (e) | 10,500,000 | 10,863,958 | |
4.5% 3/1/49 (e) | 8,500,000 | 8,794,633 | |
4.5% 3/1/49 (e) | 8,600,000 | 8,898,099 | |
4.5% 3/1/49 (e) | 4,300,000 | 4,449,050 | |
4.5% 3/1/49 (e) | 6,500,000 | 6,725,308 | |
4.5% 3/1/49 (e) | 9,900,000 | 10,243,161 | |
4.5% 3/1/49 (e) | 9,300,000 | 9,622,363 | |
4.5% 3/1/49 (e) | 4,500,000 | 4,655,982 | |
4.5% 3/1/49 (e) | 30,200,000 | 31,246,814 | |
4.5% 3/1/49 (e) | 20,200,000 | 20,900,187 | |
4.5% 4/1/49 (e) | 17,000,000 | 17,579,970 | |
4.5% 4/1/49 (e) | 8,600,000 | 8,893,397 | |
4.5% 4/1/49 (e) | 22,000,000 | 22,750,550 | |
4.5% 4/1/49 (e) | 11,000,000 | 11,375,275 | |
4.5% 4/1/49 (e) | 8,600,000 | 8,893,397 | |
4.5% 4/1/49 (e) | 11,000,000 | 11,375,275 | |
5% 6/20/34 to 9/20/46 | 9,866,151 | 10,461,049 | |
TOTAL GINNIE MAE | 1,104,801,265 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $3,627,936,343) | 3,594,788,081 | ||
Asset-Backed Securities - 0.5% | |||
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (b) | $5,338,018 | $5,310,469 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 2.8499% 10/25/35 (a)(c) | 2,489,046 | 2,489,325 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 9,509,432 | 9,602,530 | |
Class AA, 2.487% 12/16/41 (b) | 2,043,469 | 1,987,260 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 3.6206% 7/25/29 (a)(c) | 1,218,585 | 1,227,592 | |
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (b) | 1,294,720 | 1,291,064 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 8,467,529 | 8,456,656 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 800,000 | 782,100 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.8399% 10/25/37 (a)(b)(c) | 3,159,994 | 3,181,608 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 711,699 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 2,400,000 | 2,432,580 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,200,000 | 2,297,759 | |
CLUB Credit Trust Series 2018-NP1 Class A, 2.99% 5/15/24 (b) | 11,171 | 11,170 | |
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 3.1534% 9/28/30 (a)(c) | 1,228,122 | 1,229,243 | |
Consumer Loan Underlying Bond Credit Trust Series 2018-P3 Class A, 3.82% 1/15/26 (b) | 15,423,358 | 15,446,189 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 7.7399% 3/25/32 (a)(c) | 4,144 | 4,243 | |
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.930% 3.4199% 8/25/35 (a)(c) | 3,338 | 3,338 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 4,271,925 | 4,204,241 | |
Class A2II, 4.03% 11/20/47 (b) | 7,220,600 | 7,101,881 | |
Dell Equipment Finance Trust Series 2018-1 Class A3, 3.18% 6/22/23 (b) | 4,210,000 | 4,216,264 | |
DLL Securitization Trust Series 2018-1 Class A3, 3.1% 4/18/22 (b) | 660,000 | 661,115 | |
Finance of America Structured Securities Trust Series 2018-HB1 Class A, 3.3751% 9/25/28 (b) | 3,046,717 | 3,049,188 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 3.3149% 3/25/34 (a)(c) | 345 | 322 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 5,435,000 | 5,511,822 | |
GCO Education Loan Funding Trust Series 2006-1 Class A9L, 3 month U.S. LIBOR + 0.160% 2.8493% 5/25/26 (a)(c) | 854,661 | 852,169 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 1 month U.S. LIBOR + 0.180% 2.6688% 11/15/34 (a)(b)(c) | 38,308 | 37,646 | |
Class B, 1 month U.S. LIBOR + 0.280% 2.7688% 11/15/34 (a)(b)(c) | 13,856 | 13,599 | |
Class C, 1 month U.S. LIBOR + 0.380% 2.8688% 11/15/34 (a)(b)(c) | 23,026 | 21,932 | |
GMF Floorplan Owner Revolving Trust Series 2016-1 Class A1, 1.96% 5/17/21 (b) | 11,700,000 | 11,682,509 | |
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (b) | 3,032,736 | 3,023,375 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 3.1669% 4/10/31 (a)(b)(c) | 2,574,165 | 2,577,842 | |
Home Equity Asset Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.440% 2.9299% 4/25/36 (a)(c) | 2,176,010 | 2,177,086 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 4,032,628 | 4,089,969 | |
JPMorgan Mtg Acquisition Corp. Series 2005-FRE1 Class A2V3, 1 month U.S. LIBOR + 0.330% 2.8199% 10/25/35 (a)(c) | 5,486,416 | 5,481,743 | |
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 3.9716% 3/27/42 (a)(c) | 406,000 | 329,826 | |
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (b) | 13,580,000 | 13,607,508 | |
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 0% 4/20/30 (a)(b)(c)(e) | 7,784,000 | 7,784,000 | |
Mercedes-Benz Master Owner Trust Series 2018-AA Class A, 1 month U.S. LIBOR + 0.260% 2.7488% 5/16/22 (a)(b)(c) | 2,700,000 | 2,699,191 | |
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 2.7799% 8/25/36 (a)(c) | 169,545 | 169,536 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (b) | 3,567,606 | 3,568,891 | |
Series 2018-3A Class A 3.5545% 11/25/28 (b) | 10,173,975 | 10,180,781 | |
Navient Student Loan Trust Series 2015-2 Class A2, 1 month U.S. LIBOR + 0.420% 2.9099% 8/27/29 (a)(c) | 2,245,007 | 2,244,846 | |
Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 3.1199% 9/25/23 (a)(b)(c) | 11,000,000 | 10,996,930 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.9999% 9/25/35 (a)(c) | 155,573 | 155,313 | |
OneMain Financial Issuance Trust Series 2016-2A Class A, 4.1% 3/20/28 (b) | 1,738,421 | 1,742,241 | |
Prosper Marketplace Issuance Trust: | |||
Series 2018-1A Class A, 3.11% 6/17/24 (b) | 1,434,591 | 1,435,303 | |
Series 2018-2A Class A, 3.35% 10/15/24 (b) | 4,035,695 | 4,040,220 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 3.2582% 12/15/27 (a)(b)(c) | 4,255,557 | 4,256,135 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 3.3499% 9/25/34 (a)(c) | 3,983 | 3,824 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b) | 8,651,613 | 8,704,016 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (b) | 7,668,806 | 7,696,995 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) | 6,746,730 | 6,761,818 | |
Series 2019-1 Class A1, 3.75% 3/25/58(b) | 2,472,296 | 2,474,011 | |
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (b) | 3,796,000 | 3,797,996 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $203,291,388) | 203,816,909 | ||
Collateralized Mortgage Obligations - 0.4% | |||
Private Sponsor - 0.1% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 2.65% 6/27/36 (a)(b)(c) | 1,083,537 | 1,058,896 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (b) | 878,444 | 884,717 | |
Series 2012-RR5 Class 8A5, 2.703% 7/26/36 (a)(b) | 201,021 | 196,996 | |
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.704% 1/25/37 (a)(b) | 273,953 | 278,241 | |
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) | 1,001,144 | 997,341 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.79% 5/27/37 (a)(b)(c) | 728,094 | 698,466 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 2,289,606 | 2,268,308 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 3.101% 8/25/60 (b)(c) | 7,722,981 | 7,691,139 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 3.2073% 10/15/54 (a)(b)(c) | 8,505,000 | 8,484,069 | |
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.709% 6/21/36 (a)(b)(c) | 512,947 | 508,810 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 3.467% 12/22/69 (a)(b)(c) | 5,089,000 | 5,097,142 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.68% 2/25/37 (a)(c) | 23,535 | 23,251 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.7799% 7/25/35 (a)(c) | 27,984 | 27,780 | |
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 3.1673% 7/15/58 (a)(b)(c) | 10,927,000 | 10,887,401 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.3769% 7/20/34 (a)(c) | 2,225 | 2,175 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 3.1299% 9/25/43 (a)(c) | 3,180,810 | 3,157,746 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.0108% 6/27/36 (a)(b) | 47,065 | 46,923 | |
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (b) | 1,027,032 | 1,018,612 | |
TOTAL PRIVATE SPONSOR | 43,328,013 | ||
U.S. Government Agency - 0.3% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,634,520 | 1,566,289 | |
Class GA, 1.75% 6/25/42 | 1,688,077 | 1,611,605 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 309,036 | 342,994 | |
Series 2007-75 Class JI, 6.545% - 1 month U.S. LIBOR 4.0551% 8/25/37 (a)(f)(g) | 1,303,986 | 209,544 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 1,007,040 | 1,067,958 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,090,257 | 1,174,317 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,215,653 | 2,404,730 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 488,022 | 545,270 | |
Series 2012-100 Class WI, 3% 9/25/27 (f) | 873,739 | 75,831 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.1601% 12/25/30 (a)(f)(g) | 312,470 | 32,753 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.0601% 6/25/41 (a)(f)(g) | 406,727 | 51,634 | |
Series 2013-133 Class IB, 3% 4/25/32 (f) | 608,840 | 52,375 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.5601% 1/25/44 (a)(f)(g) | 314,741 | 47,458 | |
Series 2013-51 Class GI, 3% 10/25/32 (f) | 1,091,816 | 100,173 | |
Series 2015-42 Class IL, 6% 6/25/45 (f) | 1,376,458 | 301,793 | |
Series 2015-70 Class JC, 3% 10/25/45 | 1,112,013 | 1,108,713 | |
Series 2017-30 Class AI, 5.5% 5/25/47 | 728,845 | 152,281 | |
Freddie Mac: | |||
planned amortization class Series 4135 Class AB, 1.75% 6/15/42 | 1,247,826 | 1,196,472 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 880,132 | 977,867 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,484,366 | 1,472,919 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 611,642 | 690,630 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 428,382 | 475,450 | |
Series 3237 Class C, 5.5% 11/15/36 | 634,935 | 695,749 | |
Series 3955 Class YI, 3% 11/15/21 (f) | 161,433 | 4,525 | |
Series 3980 Class EP, 5% 1/15/42 | 4,057,235 | 4,319,911 | |
Series 4055 Class BI, 3.5% 5/15/31 (f) | 547,259 | 53,086 | |
Series 4149 Class IO, 3% 1/15/33 (f) | 490,472 | 59,376 | |
Series 4314 Class AI, 5% 3/15/34 (f) | 191,172 | 17,374 | |
Series 4427 Class LI, 3.5% 2/15/34 (f) | 971,642 | 120,213 | |
Series 4471 Class PA 4% 12/15/40 | 1,131,009 | 1,152,535 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 1,095,090 | 1,134,651 | |
Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
sequential payer: | |||
Series 2017-1 Class MA, 3% 1/25/56 | 3,707,438 | 3,665,470 | |
Series 2018-2 Class MA, 3.5% 11/25/57 | 959,358 | 962,052 | |
Series 2018-3 Class MA, 3.5% 8/25/57 | 17,673,455 | 17,571,081 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 4,652,851 | 4,651,722 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 3,655,503 | 3,760,659 | |
Freddie Mac SLST sequential payer Series 2018-1: | |||
Class A1, 3.5% 6/25/28 | 1,819,001 | 1,829,493 | |
Class A2, 3.5% 6/25/28 (b) | 460,000 | 456,154 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.8871% 12/20/60 (a)(c)(h) | 1,171,837 | 1,169,132 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.0571% 9/20/61 (a)(c)(h) | 5,799,949 | 5,812,314 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 3.0271% 8/20/62 (a)(c)(h) | 1,200,002 | 1,201,501 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.1571% 5/20/61 (a)(c)(h) | 57,908 | 58,025 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 3.1071% 8/20/63 (a)(c)(h) | 3,391,931 | 3,401,173 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.0305% 12/20/40 (a)(g) | 1,187,000 | 1,257,174 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,600,043 | 1,557,609 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 3,004,651 | 3,129,824 | |
Series 2010-170 Class B, 4% 12/20/40 | 676,279 | 704,435 | |
Series 2010-116 Class QB, 4% 9/16/40 | 4,772,070 | 4,870,295 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 3.4686% 2/16/40 (a)(f)(g) | 698,442 | 87,447 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 3.6153% 7/20/41 (a)(f)(g) | 222,058 | 33,762 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 3,592,113 | 3,521,535 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (h) | 2,534,833 | 2,524,022 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (h) | 2,084,423 | 2,075,441 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.94% 8/20/66 (a)(c)(h) | 4,185,982 | 4,183,106 | |
TOTAL U.S. GOVERNMENT AGENCY | 91,699,902 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $136,007,127) | 135,027,915 | ||
Commercial Mortgage Securities - 0.9% | |||
Barclays Commercial Mortgage Securities LLC: | |||
Series 2015-STP Class A, 3.3228% 9/10/28 (b) | 4,800,635 | 4,814,520 | |
Series 2018-C2 Class A5, 4.314% 12/15/51 | 3,700,000 | 3,909,770 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.400% 2.8899% 11/25/35 (a)(b)(c) | 28,698 | 27,390 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 2.8799% 1/25/36 (a)(b)(c) | 71,392 | 68,204 | |
Class M1, 1 month U.S. LIBOR + 0.450% 2.9399% 1/25/36 (a)(b)(c) | 23,043 | 22,028 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 2.7599% 12/25/36 (a)(b)(c) | 189,388 | 180,214 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 2.7599% 3/25/37 (a)(b)(c) | 44,001 | 41,102 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 2.7599% 7/25/37 (a)(b)(c) | 127,156 | 119,617 | |
Class A2, 1 month U.S. LIBOR + 0.320% 2.8099% 7/25/37 (a)(b)(c) | 119,052 | 111,894 | |
Class M1, 1 month U.S. LIBOR + 0.370% 2.8599% 7/25/37 (a)(b)(c) | 40,522 | 36,148 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 2.7799% 7/25/37 (a)(b)(c) | 43,951 | 41,395 | |
Class M1, 1 month U.S. LIBOR + 0.310% 2.7999% 7/25/37 (a)(b)(c) | 23,292 | 21,306 | |
Class M2, 1 month U.S. LIBOR + 0.340% 2.8299% 7/25/37 (a)(b)(c) | 24,912 | 22,360 | |
Class M3, 1 month U.S. LIBOR + 0.370% 2.8599% 7/25/37 (a)(b)(c) | 39,900 | 36,218 | |
Class M4, 1 month U.S. LIBOR + 0.500% 2.9899% 7/25/37 (a)(b)(c) | 62,990 | 56,395 | |
Class M5, 1 month U.S. LIBOR + 0.600% 3.0899% 7/25/37 (a)(b)(c) | 24,861 | 29,365 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,722,942 | |
Benchmark Mortgage Trust: | |||
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 13,998,000 | 14,721,604 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 4,080,000 | 4,215,978 | |
BX Trust floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 5.1138% 9/15/37 (a)(b)(c) | 2,631,931 | 2,628,251 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 4.2888% 11/15/35 (a)(b)(c) | 3,800,390 | 3,806,350 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,473,661 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 4,000,000 | 3,928,342 | |
Series 2015-GC29 Class XA, 1.1059% 4/10/48 (a)(f) | 37,414,650 | 1,761,100 | |
Series 2015-GC33 Class XA, 0.9367% 9/10/58 (a)(f) | 19,473,453 | 897,666 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,655,741 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,503,880 | |
Series 2016-P6 Class XA, 0.8135% 12/10/49 (a)(f) | 17,604,318 | 688,383 | |
Series 2018-C6 Class A4, 4.412% 11/10/51 | 4,505,000 | 4,795,171 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,700,625 | |
Series 2015-DC1 Class A5, 3.35% 2/10/48 | 3,800,000 | 3,796,070 | |
Series 2014-CR17 Class XA, 1.0456% 5/10/47 (a)(f) | 22,015,352 | 854,724 | |
Series 2014-CR19 Class XA, 1.1684% 8/10/47 (a)(f) | 30,214,900 | 1,181,925 | |
Series 2014-CR20 Class XA, 1.1177% 11/10/47 (a)(f) | 20,809,328 | 910,893 | |
Series 2014-CR21 Class A2, 3.095% 12/10/47 | 456,330 | 456,680 | |
Series 2014-LC17 Class XA, 0.8865% 10/10/47 (a)(f) | 55,210,732 | 1,515,772 | |
Series 2014-UBS4 Class XA, 1.1704% 8/10/47 (a)(f) | 23,857,775 | 1,020,168 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 3,973,748 | |
Class XA, 0.9432% 12/10/47 (a)(f) | 11,893,589 | 464,355 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,495,955 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,500,000 | 1,513,213 | |
Series 2015-DC1 Class XA, 1.1268% 2/10/48 (a)(f) | 31,477,909 | 1,359,723 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,900,000 | 1,927,446 | |
Credit Suisse Mortgage Trust Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,008,000 | 5,190,112 | |
Class B, 4.5349% 4/15/36 (b) | 898,000 | 930,143 | |
Class C, 4.6278% 4/15/36 (b) | 1,033,000 | 1,061,247 | |
Class D, 4.6278% 4/15/36 (b) | 2,066,000 | 2,075,685 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 2,800,000 | 2,746,603 | |
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 | 3,700,000 | 3,928,590 | |
Fannie Mae: | |||
Series 2017-M1 Class A2, 2.4155% 10/25/26 (a) | 2,300,000 | 2,188,836 | |
Series 2017-T1 Class A, 2.898% 6/25/27 | 9,577,005 | 9,318,950 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,215,066 | |
Series K069 Class A2, 3.187% 9/25/27 | 3,300,000 | 3,298,071 | |
Series K072 Class A2, 3.444% 12/25/27 | 800,000 | 813,469 | |
Series K073 Class A2, 3.35% 1/25/28 | 7,500,000 | 7,566,534 | |
Series K155: | |||
Class A1, 3.75% 11/25/29 | 215,400 | 224,487 | |
Class A2, 3.75% 11/25/32 | 3,300,000 | 3,391,088 | |
Series K158 Class A2, 3.9% 12/25/30 | 2,600,000 | 2,668,484 | |
Series 2018-K075 Class A2, 3.65% 2/25/28 | 7,790,000 | 8,037,335 | |
Series K076: | |||
Class A2, 3.9% 4/25/28 | 11,300,000 | 11,879,353 | |
Class AM, 3.9% 4/25/28 | 2,125,000 | 2,221,382 | |
Series K077: | |||
Class A2, 3.85% 5/25/28 | 9,442,000 | 9,883,550 | |
Class AM, 3.85% 5/25/28 | 660,000 | 687,417 | |
Series K079 Class A2, 3.926% 6/25/28 | 11,784,000 | 12,428,978 | |
Series K083 Class A2, 4.05% 9/25/28 | 2,875,000 | 3,055,959 | |
Series K084 Class A2, 3.78% 10/25/28 | 4,300,000 | 4,476,403 | |
Series K157 Class A2, 3.99% 5/25/33 | 4,120,000 | 4,310,498 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/51 | 4,400,000 | 4,607,441 | |
GAHR Commercial Mortgage Trust Series 2015-NRF Class AFX, 3.2349% 12/15/34 (b) | 2,300,000 | 2,298,522 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.9388% 9/15/31 (a)(b)(c) | 7,775,000 | 7,786,456 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.5788% 10/15/31 (a)(b)(c) | 4,013,000 | 4,020,547 | |
sequential payer: | |||
Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,000,000 | 1,005,397 | |
Series 2015-GC32 Class A4, 3.764% 7/10/48 | 5,700,000 | 5,855,772 | |
Series 2013-GC12 Class XA, 1.4341% 6/10/46 (a)(f) | 5,581,431 | 271,299 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 2,000,000 | 1,985,907 | |
Series 2015-GC34 Class XA, 1.3348% 10/10/48 (a)(f) | 6,133,474 | 395,875 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 5,455,362 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-C21: | |||
Class A3, 3.4353% 8/15/47 | 1,668,925 | 1,675,119 | |
Class A5, 3.7748% 8/15/47 | 9,000,000 | 9,258,894 | |
Series 2014-C19 Class XA, 1.0488% 4/15/47 (a)(f) | 5,426,686 | 97,677 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 1,924,079 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2007-CB19: | |||
Class B, 5.9225% 2/12/49 (a) | 24,000 | 9,468 | |
Class C, 5.9225% 2/12/49 (a) | 17,524 | 903 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,817,160 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 959,078 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,475,515 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 2,009,856 | |
Class XAFX, 1 month U.S. LIBOR + 0.000% 1.116% 7/5/33 (a)(b)(c)(f) | 10,000,000 | 454,645 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2014-C16 Class A3, 3.592% 6/15/47 | 2,600,000 | 2,613,736 | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,900,000 | 3,859,111 | |
Series 2014-C17 Class A2, 3.119% 8/15/47 | 1,646,024 | 1,644,551 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 2,797,973 | |
Class XA, 1.1156% 10/15/48 (a)(f) | 11,027,667 | 595,662 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,190,372 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,106,538 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 3.3388% 8/15/33 (a)(b)(c) | 7,150,000 | 7,114,133 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,027,848 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 1,986,339 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 14,123,000 | 14,898,781 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (a)(b) | 4,280,835 | 4,189,010 | |
Class B, 4.181% 11/15/34 (b) | 1,796,900 | 1,769,006 | |
Class C, 5.205% 11/15/34 (b) | 1,260,550 | 1,254,755 | |
RETL floater Series 2018-RVP Class A, 1 month U.S. LIBOR + 1.100% 3.5888% 3/15/33 (a)(b)(c) | 6,447,074 | 6,430,743 | |
UBS Commercial Mortgage Trust: | |||
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,365,490 | |
Series 2017-C7 Class XA, 1.0685% 12/15/50 (a)(f) | 17,730,154 | 1,220,890 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,302,946 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,219,952 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,461,645 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 3.2941% 4/10/46 (a)(b)(c) | 5,423,000 | 5,497,666 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 6,200,000 | 6,149,428 | |
Series 2015-C31 Class XA, 1.0626% 11/15/48 (a)(f) | 7,448,223 | 410,886 | |
Series 2017-C42 Class XA, 0.8968% 12/15/50 (a)(f) | 35,832,440 | 2,269,050 | |
Series 2018-C46 Class XA, 0.9491% 8/15/51 (a)(f) | 13,162,829 | 811,658 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 10,591,000 | 11,164,489 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 3.2088% 6/15/46 (a)(b)(c) | 5,448,432 | 5,455,519 | |
sequential payer Series 2013-C11 Class A4, 3.037% 3/15/45 | 365,000 | 365,126 | |
Series 2014-C24 Class XA, 0.8715% 11/15/47 (a)(f) | 7,025,691 | 249,101 | |
Series 2014-C25 Class A5, 3.631% 11/15/47 | 6,087,000 | 6,189,069 | |
Series 2014-LC14 Class XA, 1.2676% 3/15/47 (a)(f) | 10,406,707 | 483,323 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $355,773,752) | 357,566,300 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,470,000 | 4,736,238 | |
California Gen. Oblig.: | |||
Series 2009, 7.5% 4/1/34 | $630,000 | $887,002 | |
6.2% 3/1/19 | 1,340,000 | 1,340,000 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2018 C, 4.472% 1/1/49 | 910,000 | 934,588 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 58,516 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 89,129 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 7,660,000 | 7,735,834 | |
5.1% 6/1/33 | 22,090,000 | 20,952,144 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,099,577 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,650,460 | |
7.35% 7/1/35 | 4,655,000 | 5,166,305 | |
Series 2010-5, 6.2% 7/1/21 | 1,437,000 | 1,481,863 | |
Series 2011, 5.877% 3/1/19 | 11,620,000 | 11,620,000 | |
Series 2013, 3.6% 12/1/19 | 2,105,000 | 2,107,707 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 233,736 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2009 B, 5.888% 7/1/43 | 50,000 | 62,036 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 182,265 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,265,000 | 1,815,300 | |
Series 2010 A, 7.102% 1/1/41 | 1,675,000 | 2,333,208 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 32,591 | |
New York City Transitional Fin. Auth. Rev. Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,049,562 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 365,000 | 420,783 | |
Series 2011 A, 4.8% 6/1/11 | 1,528,000 | 1,607,120 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 600,000 | 633,180 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 862,500 | |
Univ. of California Revs. Series 2009 R, 5.77% 5/15/43 | 60,000 | 73,405 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $74,261,317) | 73,165,049 | ||
Foreign Government and Government Agency Obligations - 0.0% | |||
Chilean Republic 3.875% 8/5/20 | $800,000 | $810,520 | |
Colombian Republic 5% 6/15/45 | 965,000 | 966,457 | |
Indonesian Republic 3.5% 1/11/28 | 1,405,000 | 1,339,231 | |
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 | 180,000 | 202,626 | |
4% 6/30/22 | 1,700,000 | 1,756,695 | |
Panamanian Republic 4.5% 4/16/50 | 400,000 | 400,404 | |
Province of Quebec yankee 7.125% 2/9/24 | 1,830,000 | 2,164,268 | |
United Mexican States 4.75% 3/8/44 | 4,030,000 | 3,820,480 | |
Uruguay Republic 4.975% 4/20/55 | 455,000 | 457,507 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $12,448,561) | 11,918,188 | ||
Bank Notes - 0.1% | |||
Capital One NA 2.95% 7/23/21 | 5,551,000 | 5,499,785 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | $6,369,000 | $6,346,259 | |
3.1% 6/4/20 | 6,744,000 | 6,738,463 | |
3.45% 7/27/26 | 435,000 | 411,329 | |
4.682% 8/9/28 (a) | 3,503,000 | 3,492,211 | |
8.7% 11/18/19 | 357,000 | 370,040 | |
KeyBank NA 2.25% 3/16/20 | 505,000 | 501,811 | |
SunTrust Bank 4.05% 11/3/25 | 595,000 | 617,283 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,868,162 | |
TOTAL BANK NOTES | |||
(Cost $29,898,500) | 29,845,343 | ||
Shares | Value | ||
Fixed-Income Funds - 76.3% | |||
Bank Loan Funds - 0.7% | |||
Eaton Vance Floating-Rate Fund - Advisers Class | 27,865,715 | $248,840,836 | |
High Yield Fixed-Income Funds - 0.1% | |||
Stone Harbor Emerging Markets Debt Fund | 5,953,074 | 58,161,531 | |
Inflation-Protected Bond Funds - 0.6% | |||
Fidelity Inflation-Protected Bond Index Fund Institutional Premium Class (i) | 23,456,429 | 225,416,281 | |
Intermediate Government Funds - 3.7% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (i) | 132,333,415 | 1,277,017,459 | |
iShares 3-7 Year Treasury Bond ETF | 1,237,725 | 150,420,719 | |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | 1,427,438,178 | ||
Intermediate-Term Bond Funds - 71.2% | |||
Baird Short-Term Bond Fund - Institutional Class | 49,231,809 | 539,088,310 | |
DoubleLine Total Return Bond Fund Class N | 100,604,208 | 1,047,289,803 | |
Fidelity SAI Total Bond Fund (i) | 635,129,795 | 6,465,621,313 | |
Fidelity Sustainability Bond Index Fund (i) | 2,284,468 | 23,027,435 | |
Fidelity U.S. Bond Index Fund Institutional Premium Class (i) | 17,100,089 | 193,744,006 | |
iShares Core U.S. Aggregate Bond ETF | 1,919,331 | 205,502,770 | |
Metropolitan West Total Return Bond Fund Class M | 174,861,419 | 1,830,799,060 | |
PIMCO Income Fund Institutional Class | 109,713,131 | 1,311,071,916 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 72,956,952 | 788,664,650 | |
PIMCO Total Return Fund Institutional Class | 672,189,552 | 6,721,895,502 | |
Prudential Total Return Bond Fund Class A | 135,329,657 | 1,909,501,457 | |
Segall Bryant & Hamill Plus Bond Fund Retail Class | 23,667,355 | 246,140,487 | |
Voya Intermediate Bond Fund Class I | 95,868,795 | 945,266,314 | |
Western Asset Core Bond Fund Class I | 138,778,270 | 1,720,850,542 | |
Western Asset Core Plus Bond Fund Class I | 273,273,299 | 3,115,315,608 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 27,063,779,173 | ||
TOTAL FIXED-INCOME FUNDS | |||
(Cost $29,410,698,231) | 29,023,635,999 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Bank of Nova Scotia 4.65% (a)(j) | 5,220,000 | 4,863,133 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 30,147,852 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $37,128,533) | 35,010,985 | ||
Shares | Value | ||
Money Market Funds - 0.2% | |||
Fidelity Cash Central Fund, 2.44% (k) | 39,930,648 | 39,938,634 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.35%(l) | 23,869,724 | 23,869,724 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $63,804,108) | 63,808,358 | ||
TOTAL INVESTMENT IN SECURITIES - 102.7% | |||
(Cost $39,496,293,087) | 39,073,369,459 | ||
NET OTHER ASSETS (LIABILITIES) - (2.7)% | (1,040,715,914) | ||
NET ASSETS - 100% | $38,032,653,545 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Fannie Mae | ||
2.5% 3/1/34 | $(20,100,000) | $(19,705,980) |
2.5% 3/1/34 | (7,050,000) | (6,911,800) |
2.5% 3/1/34 | (7,900,000) | (7,745,137) |
2.5% 3/1/34 | (2,750,000) | (2,696,092) |
2.5% 3/1/34 | (1,286,074) | (1,260,863) |
2.5% 3/1/34 | (1,286,074) | (1,260,863) |
2.5% 3/1/34 | (6,400,000) | (6,274,541) |
2.5% 3/1/34 | (1,500,000) | (1,470,596) |
2.5% 3/1/34 | (2,750,000) | (2,696,092) |
2.5% 3/1/34 | (7,050,000) | (6,911,800) |
2.5% 3/1/49 | (1,224,674) | (1,160,507) |
2.5% 3/1/49 | (1,224,674) | (1,160,507) |
2.5% 3/1/49 | (1,125,000) | (1,066,055) |
2.5% 3/1/49 | (850,000) | (805,464) |
2.5% 3/1/49 | (1,125,000) | (1,066,055) |
2.5% 3/1/49 | (850,000) | (805,464) |
3% 3/1/34 | (1,500,000) | (1,497,007) |
3% 3/1/34 | (3,700,000) | (3,692,617) |
3% 3/1/34 | (11,800,000) | (11,776,453) |
3% 3/1/34 | (7,700,000) | (7,684,635) |
3% 3/1/34 | (5,100,000) | (5,089,823) |
3% 3/1/49 | (15,800,000) | (15,434,707) |
3% 3/1/49 | (12,800,000) | (12,504,067) |
3% 3/1/49 | (1,875,000) | (1,831,650) |
3% 3/1/49 | (1,525,000) | (1,489,742) |
3% 3/1/49 | (13,925,000) | (13,603,057) |
3% 3/1/49 | (3,575,000) | (3,492,347) |
3% 3/1/49 | (1,850,000) | (1,807,228) |
3% 3/1/49 | (1,125,000) | (1,098,990) |
3% 3/1/49 | (1,125,000) | (1,098,990) |
3% 3/1/49 | (6,500,000) | (6,349,721) |
3% 3/1/49 | (6,500,000) | (6,349,721) |
3% 3/1/49 | (3,900,000) | (3,809,833) |
3% 3/1/49 | (3,900,000) | (3,809,833) |
3% 3/1/49 | (850,000) | (830,348) |
3% 3/1/49 | (850,000) | (830,348) |
3% 3/1/49 | (3,400,000) | (3,321,393) |
3% 3/1/49 | (3,100,000) | (3,028,329) |
3% 3/1/49 | (3,400,000) | (3,321,393) |
3% 3/1/49 | (3,400,000) | (3,321,393) |
3% 3/1/49 | (3,100,000) | (3,028,329) |
3% 3/1/49 | (2,000,000) | (1,953,760) |
3% 3/1/49 | (1,850,000) | (1,807,228) |
3% 3/1/49 | (2,000,000) | (1,953,760) |
3% 3/1/49 | (3,900,000) | (3,809,833) |
3% 3/1/49 | (1,850,000) | (1,807,228) |
3% 3/1/49 | (3,900,000) | (3,809,833) |
3% 3/1/49 | (15,400,000) | (15,043,955) |
3% 3/1/49 | (4,000,000) | (3,907,521) |
3% 3/1/49 | (7,150,000) | (6,984,693) |
3% 3/1/49 | (4,250,000) | (4,151,741) |
3% 4/1/49 | (4,500,000) | (4,394,379) |
3% 4/1/49 | (3,750,000) | (3,661,983) |
3.5% 3/1/34 | (20,100,000) | (20,418,955) |
3.5% 3/1/34 | (7,050,000) | (7,161,872) |
3.5% 3/1/34 | (7,900,000) | (8,025,360) |
3.5% 3/1/34 | (2,750,000) | (2,793,638) |
3.5% 3/1/34 | (14,276,334) | (14,502,877) |
3.5% 3/1/34 | (5,800,000) | (5,892,037) |
3.5% 3/1/34 | (21,566,484) | (21,908,710) |
3.5% 3/1/34 | (11,809,850) | (11,997,253) |
3.5% 3/1/34 | (7,900,000) | (8,025,360) |
3.5% 3/1/34 | (2,500,000) | (2,539,671) |
3.5% 3/1/34 | (2,750,000) | (2,793,638) |
3.5% 3/1/34 | (10,350,000) | (10,514,238) |
3.5% 3/1/34 | (11,150,000) | (11,326,933) |
3.5% 3/1/34 | (11,150,000) | (11,326,933) |
3.5% 3/1/34 | (2,700,000) | (2,742,845) |
3.5% 3/1/34 | (8,550,000) | (8,685,675) |
3.5% 3/1/34 | (8,450,000) | (8,584,088) |
3.5% 3/1/49 | (15,800,000) | (15,803,113) |
3.5% 3/1/49 | (12,800,000) | (12,802,522) |
3.5% 3/1/49 | (2,250,000) | (2,250,443) |
3.5% 3/1/49 | (2,750,000) | (2,750,542) |
3.5% 3/1/49 | (500,000) | (500,099) |
3.5% 3/1/49 | (1,000,000) | (1,000,197) |
3.5% 3/1/49 | (1,500,000) | (1,500,296) |
3.5% 3/1/49 | (600,000) | (600,118) |
3.5% 3/1/49 | (1,600,000) | (1,600,315) |
4% 3/1/49 | (4,100,000) | (4,179,221) |
4% 3/1/49 | (1,600,000) | (1,630,915) |
4% 3/1/49 | (4,100,000) | (4,179,221) |
4% 3/1/49 | (1,600,000) | (1,630,915) |
4% 3/1/49 | (2,000,000) | (2,038,644) |
4% 3/1/49 | (2,000,000) | (2,038,644) |
4% 3/1/49 | (5,700,000) | (5,810,136) |
4% 3/1/49 | (7,900,000) | (8,052,645) |
4% 3/1/49 | (2,000,000) | (2,038,644) |
4.5% 3/1/49 | (9,000,000) | (9,312,375) |
4.5% 3/1/49 | (11,000,000) | (11,381,791) |
TOTAL FANNIE MAE | (486,726,563) | |
Freddie Mac | ||
3.5% 3/1/49 | (8,700,000) | (8,706,810) |
4% 3/1/49 | (500,000) | (509,954) |
4.5% 3/1/49 | (300,000) | (310,776) |
4.5% 3/1/49 | (300,000) | (310,776) |
4.5% 3/1/49 | (300,000) | (310,776) |
4.5% 3/1/49 | (300,000) | (310,776) |
TOTAL FREDDIE MAC | (10,459,868) | |
Ginnie Mae | ||
2.5% 3/1/49 | (1,875,000) | (1,792,027) |
2.5% 3/1/49 | (1,525,000) | (1,457,515) |
2.5% 3/1/49 | (1,775,000) | (1,696,452) |
2.5% 3/1/49 | (1,325,000) | (1,266,365) |
2.5% 3/1/49 | (1,050,000) | (1,003,535) |
2.5% 3/1/49 | (800,000) | (764,598) |
2.5% 3/1/49 | (1,125,000) | (1,075,216) |
2.5% 3/1/49 | (850,000) | (812,385) |
3.5% 3/1/49 | (15,900,000) | (16,037,586) |
3.5% 3/1/49 | (15,900,000) | (16,037,586) |
4% 3/1/49 | (6,300,000) | (6,465,226) |
4% 3/1/49 | (5,100,000) | (5,233,755) |
4% 3/1/49 | (1,225,000) | (1,257,127) |
4% 3/1/49 | (1,775,000) | (1,821,552) |
4% 3/1/49 | (1,325,000) | (1,359,750) |
4% 3/1/49 | (1,675,000) | (1,718,929) |
4% 3/1/49 | (6,300,000) | (6,465,226) |
4% 3/1/49 | (1,325,000) | (1,359,750) |
4% 3/1/49 | (83,350,000) | (85,535,970) |
4% 3/1/49 | (17,750,000) | (18,215,519) |
4% 3/1/49 | (1,050,000) | (1,077,538) |
4% 3/1/49 | (1,050,000) | (1,077,538) |
4% 3/1/49 | (800,000) | (820,981) |
4% 3/1/49 | (3,500,000) | (3,591,792) |
4% 4/1/49 | (1,050,000) | (1,076,717) |
4% 4/1/49 | (1,050,000) | (1,076,717) |
4% 4/1/49 | (800,000) | (820,356) |
4% 4/1/49 | (800,000) | (820,356) |
4% 4/1/49 | (1,125,000) | (1,153,626) |
4% 4/1/49 | (850,000) | (871,628) |
4.5% 3/1/49 | (17,000,000) | (17,589,266) |
4.5% 3/1/49 | (8,600,000) | (8,898,099) |
4.5% 3/1/49 | (22,000,000) | (22,762,580) |
4.5% 3/1/49 | (11,000,000) | (11,381,290) |
4.5% 3/1/49 | (8,600,000) | (8,898,099) |
4.5% 3/1/49 | (11,000,000) | (11,381,290) |
4.5% 3/1/49 | (8,600,000) | (8,898,099) |
4.5% 3/1/49 | (4,300,000) | (4,449,050) |
4.5% 3/1/49 | (6,500,000) | (6,725,308) |
TOTAL GINNIE MAE | (284,746,399) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $782,775,326) | $(781,932,830) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 116 | June 2019 | $16,758,375 | $(172,670) | $(172,670) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 55 | June 2019 | 6,710,000 | (22,129) | (22,129) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 9 | June 2019 | 1,436,344 | (24,113) | (24,113) |
TOTAL PURCHASED | (218,912) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 54 | June 2019 | 11,458,547 | 6,222 | 6,222 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 156 | June 2019 | 17,871,750 | 26,499 | 26,499 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 348 | June 2019 | 45,049,688 | 250,398 | 250,398 |
TOTAL SOLD | 283,119 | ||||
TOTAL FUTURES CONTRACTS | $64,207 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
The notional amount of futures sold as a percentage of Net Assets is 0.2%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $4,369,000 | $(21,563) | $(33,478) | $(55,041) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 4,500,000 | (22,210) | (8,944) | (31,154) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 5,441,000 | (26,855) | (41,693) | (68,548) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 9,000,000 | (44,420) | (35,829) | (80,249) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 6,000,000 | (29,614) | (5,949) | (35,563) |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 3,560,000 | (17,571) | (25,988) | (43,559) |
Deutsche Bank AG | Mar. 2019 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | 1,655,634 | (4,057) | (993) | (5,050) |
TOTAL CREDIT DEFAULT SWAPS | $(166,290) | $(152,874) | $(319,164) | |||||
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $469,198,317 or 1.2% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $580,978.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(g) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(h) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(i) Affiliated Fund
(j) Security is perpetual in nature with no stated maturity date.
(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(l) The rate quoted is the annualized seven-day yield of the fund at period end.
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 | 5,620,723 |
Fidelity Securities Lending Cash Central Fund | 3,207 |
Total | $5,623,930 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases(a) | Sales Proceeds(a) | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Infla- tion- Pro- tected Bond Index Fund Institu- tional Pre- mium Class | $780,069,180 | $101,921,180 | $654,374,101 | $10,702,966 | $(16,997,890) | $14,797,912 | $225,416,281 |
Fidelity Interm- ediate Trea- sury Bond Index Fund Institu- tional Pre- mium Class | -- | 331,829,535 | 329,189,647 | 3,456,591 | (2,639,888) | -- | -- |
Fidelity SAI Total Bond Fund | -- | 6,464,404,240 | 112,352,876 | 74,607,741 | (137,031) | 113,706,980 | 6,465,621,313 |
Fidelity SAI U.S. Treasury Bond Index Fund | 862,301,413 | 1,604,121,634 | 1,197,566,533 | 27,133,821 | (16,589,027) | 24,749,972 | 1,277,017,459 |
Fidelity Sustain- ability Bond Index Fund | -- | 22,866,692 | -- | 217,796 | -- | 160,743 | 23,027,435 |
Fidelity Total Bond Fund | 6,216,815,665 | 455,319,858 | 6,567,282,351 | 115,204,545 | (293,432,730) | 188,579,558 | -- |
Fidelity U.S. Bond Index Fund Institu- tional Pre- mium Class | 138,747,950 | 192,073,876 | 137,628,897 | 839,489 | 1,549,783 | (998,706) | 193,744,006 |
Total | $7,997,934,208 | $9,172,537,015 | $8,998,394,405 | $232,162,949 | $(328,246,783) | $340,996,459 | $8,184,826,494 |
(a) Includes the value of shares purchased or redeemed through in-kind transactions, if applicable.
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $2,618,779,024 | $-- | $2,618,779,024 | $-- |
U.S. Government and Government Agency Obligations | 2,926,007,308 | -- | 2,926,007,308 | -- |
U.S. Government Agency - Mortgage Securities | 3,594,788,081 | -- | 3,594,788,081 | -- |
Asset-Backed Securities | 203,816,909 | -- | 203,816,909 | -- |
Collateralized Mortgage Obligations | 135,027,915 | -- | 135,027,915 | -- |
Commercial Mortgage Securities | 357,566,300 | -- | 357,566,300 | -- |
Municipal Securities | 73,165,049 | -- | 73,165,049 | -- |
Foreign Government and Government Agency Obligations | 11,918,188 | -- | 11,918,188 | -- |
Bank Notes | 29,845,343 | -- | 29,845,343 | -- |
Fixed-Income Funds | 29,023,635,999 | 29,023,635,999 | -- | -- |
Preferred Securities | 35,010,985 | -- | 35,010,985 | -- |
Money Market Funds | 63,808,358 | 63,808,358 | -- | -- |
Total Investments in Securities: | $39,073,369,459 | $29,087,444,357 | $9,985,925,102 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $283,119 | $283,119 | $-- | $-- |
Total Assets | $283,119 | $283,119 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(218,912) | $(218,912) | $-- | $-- |
Swaps | (166,290) | -- | (166,290) | -- |
Total Liabilities | $(385,202) | $(218,912) | $(166,290) | $-- |
Total Derivative Instruments: | $(102,083) | $64,207 | $(166,290) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(781,932,830) | $-- | $(781,932,830) | $-- |
Total Other Financial Instruments: | $(781,932,830) | $-- | $(781,932,830) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2019. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Swaps(a) | $0 | $(166,290) |
Total Credit Risk | 0 | (166,290) |
Interest Rate Risk | ||
Futures Contracts(b) | 283,119 | (218,912) |
Total Interest Rate Risk | 283,119 | (218,912) |
Total Value of Derivatives | $283,119 | $(385,202) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2019 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $31,389,191,838) | $30,848,604,331 | |
Fidelity Central Funds (cost $39,934,384) | 39,938,634 | |
Other affiliated issuers (cost $8,067,166,865) | 8,184,826,494 | |
Total Investment in Securities (cost $39,496,293,087) | $39,073,369,459 | |
Cash | 246,551 | |
Receivable for investments sold | 156,409,296 | |
Receivable for TBA sale commitments | 782,775,326 | |
Receivable for fund shares sold | 15,076,302 | |
Dividends receivable | 897,180 | |
Interest receivable | 62,040,854 | |
Distributions receivable from Fidelity Central Funds | 133,294 | |
Receivable for daily variation margin on futures contracts | 62,490 | |
Prepaid expenses | 17,686 | |
Other receivables | 379,800 | |
Total assets | 40,091,408,238 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $97,671,388 | |
Delayed delivery | 1,161,151,718 | |
TBA sale commitments, at value | 781,932,830 | |
Payable for fund shares redeemed | 15,392,483 | |
Distributions payable | 249,187 | |
Bi-lateral OTC swaps, at value | 166,290 | |
Accrued management fee | 923,959 | |
Other affiliated payables | 186,627 | |
Other payables and accrued expenses | 1,080,211 | |
Total liabilities | 2,058,754,693 | |
Net Assets | $38,032,653,545 | |
Net Assets consist of: | ||
Paid in capital | $38,960,610,080 | |
Total distributable earnings (loss) | (927,956,535) | |
Net Assets, for 3,663,154,712 shares outstanding | $38,032,653,545 | |
Net Asset Value, offering price and redemption price per share ($38,032,653,545 ÷ 3,663,154,712 shares) | $10.38 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2019 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $687,020,173 | |
Affiliated issuers | 222,430,032 | |
Interest | 281,519,856 | |
Income from Fidelity Central Funds | 5,623,930 | |
Total income | 1,196,593,991 | |
Expenses | ||
Management fee | $104,448,608 | |
Transfer agent fees | 2,142,864 | |
Accounting and security lending fees | 2,228,266 | |
Custodian fees and expenses | 224,086 | |
Independent trustees' fees and expenses | 438,387 | |
Registration fees | 849,642 | |
Audit | 81,224 | |
Legal | 140,547 | |
Miscellaneous | 348,056 | |
Total expenses before reductions | 110,901,680 | |
Expense reductions | (93,661,292) | |
Total expenses after reductions | 17,240,388 | |
Net investment income (loss) | 1,179,353,603 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (135,662,958) | |
Fidelity Central Funds | (1,985) | |
Other affiliated issuers | (328,246,783) | |
Futures contracts | (2,284,793) | |
Swaps | (159,296) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 13,239,726 | |
Affiliated issuers | 9,732,917 | |
Total net realized gain (loss) | (443,383,172) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 53,610,632 | |
Fidelity Central Funds | 72 | |
Other affiliated issuers | 340,996,459 | |
Futures contracts | 56,300 | |
Swaps | (156,998) | |
Delayed delivery commitments | 947,854 | |
Total change in net unrealized appreciation (depreciation) | 395,454,319 | |
Net gain (loss) | (47,928,853) | |
Net increase (decrease) in net assets resulting from operations | $1,131,424,750 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2019 | Year ended February 28, 2018 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $1,179,353,603 | $856,904,186 |
Net realized gain (loss) | (443,383,172) | (15,924,968) |
Change in net unrealized appreciation (depreciation) | 395,454,319 | (414,839,978) |
Net increase (decrease) in net assets resulting from operations | 1,131,424,750 | 426,139,240 |
Distributions to shareholders | (1,143,156,839) | – |
Distributions to shareholders from net investment income | – | (861,436,736) |
Distributions to shareholders from net realized gain | – | (44,962,492) |
Total distributions | (1,143,156,839) | (906,399,228) |
Share transactions | ||
Proceeds from sales of shares | 9,961,531,357 | 10,565,604,910 |
Reinvestment of distributions | 1,141,595,515 | 905,427,731 |
Cost of shares redeemed | (8,764,885,562) | (5,434,835,758) |
Net increase (decrease) in net assets resulting from share transactions | 2,338,241,310 | 6,036,196,883 |
Total increase (decrease) in net assets | 2,326,509,221 | 5,555,936,895 |
Net Assets | ||
Beginning of period | 35,706,144,324 | 30,150,207,429 |
End of period | $38,032,653,545 | $35,706,144,324 |
Other Information | ||
Distributions in excess of net investment income end of period | $(24,066,924) | |
Shares | ||
Sold | 965,172,695 | 998,968,164 |
Issued in reinvestment of distributions | 110,799,972 | 85,598,982 |
Redeemed | (852,168,708) | (515,670,418) |
Net increase (decrease) | 223,803,959 | 568,896,728 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Fund
Years ended February 28, | 2019 | 2018 | 2017 | 2016 A | 2015 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.38 | $10.50 | $10.40 | $10.78 | $10.61 |
Income from Investment Operations | |||||
Net investment income (loss)B | .324 | .270 | .300 | .316 | .315 |
Net realized and unrealized gain (loss) | (.009) | (.106) | .174 | (.366) | .177 |
Total from investment operations | .315 | .164 | .474 | (.050) | .492 |
Distributions from net investment income | (.309) | (.270) | (.297) | (.322) | (.313) |
Distributions from net realized gain | (.006) | (.014) | (.077) | (.008) | (.009) |
Total distributions | (.315) | (.284) | (.374) | (.330) | (.322) |
Net asset value, end of period | $10.38 | $10.38 | $10.50 | $10.40 | $10.78 |
Total ReturnC | 3.10% | 1.54% | 4.60% | (.45)% | 4.71% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .30% | .31% | .31% | .31% | .32% |
Expenses net of fee waivers, if any | .05% | .06% | .06% | .06% | .07% |
Expenses net of all reductions | .05% | .06% | .06% | .06% | .07% |
Net investment income (loss) | 3.15% | 2.55% | 2.84% | 3.00% | 2.95% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $38,032,654 | $35,706,144 | $30,150,207 | $26,817,412 | $19,529,276 |
Portfolio turnover rateF | 78% | 45% | 52% | 69% | 120% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2019
1. Organization.
Strategic Advisers Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities, and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2019 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $379,797 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2019, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, swaps, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales, futures contracts and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $393,666,489 |
Gross unrealized depreciation | (833,734,926) |
Net unrealized appreciation (depreciation) | $(440,068,437) |
Tax Cost | $39,514,118,691 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $12,465,185 |
Capital loss carryforward | $(499,080,226) |
Net unrealized appreciation (depreciation) on securities and other investments | $(440,961,698) |
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. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(71,743,360) |
Long-term | (427,336,866) |
Total capital loss carryforward | $(499,080,226) |
At period end, the Fund was required to defer approximately $893,261 of losses on futures contracts.
The tax character of distributions paid was as follows:
February 28, 2019 | February 28, 2018 | |
Ordinary Income | $1,143,156,839 | $ 883,450,240 |
Long-term Capital Gains | – | 22,948,988 |
Total | $1,143,156,839 | $ 906,399,228 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss) Accumulated/Undistributed net realized gain (loss) Net unrealized appreciation (depreciation) |
Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income Distributions to shareholders from net realized gain |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
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 Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Swaps | $(159,296) | $(156,998) |
Interest Rate Risk | ||
Futures Contracts | (2,284,793) | 56,300 |
Totals | $(2,444,089) | $(100,698) |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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 bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares and in-kind transactions), other than short-term securities and U.S. government securities, aggregated $14,120,426,586 and $11,269,726,896, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .28% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and PGIM, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. Effective July 1, 2018 transfer agent fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. Prior to July 1, 2018 FIIOC received account fees and asset-based fees that varied according to account size and type of account. The Fund did not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC paid for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to a rate of .01% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. For the period, the fees were equivalent to an annual rate of .01%.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $6,197 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Reallocation of Underlying Fund Investments. During the period, the investment adviser reallocated investments of the Fund. This involved taxable redemptions of the fund's interest in Fidelity Total Bond Fund in exchange for investments and cash, valued at $6,386,899,397, and non-taxable exchanges of those investments for shares of Fidelity SAI Total Bond Fund. Net realized loss of $291,139,992 on the redemption of Fidelity Total Bond Fund shares is included in the accompanying Statement of Operations as “Realized gain (loss) on Other affiliated issuers”.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $100,858 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. At period end, there were no security loans outstanding. 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 $3,207.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2021. During the period, this waiver reduced the Fund's management fee by $93,573,875.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $63,612 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $23,805.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets.
At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds:
Fidelity SAI U.S. Treasury Bond Index Fund | 44% |
Fidelity Sustainability Bond Index Fund | 44% |
Fidelity SAI Total Bond Fund | 52% |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Core Income Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2019, the related statement of operations for the year ended February 28, 2019, the statement of changes in net assets for each of the two years in the period ended February 28, 2019, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2019 and the financial highlights for each of the five years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 16, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as 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. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. 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.
The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. 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. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2018
Trustee
Mr. Hogan also serves as Trustee of other funds. Mr. Hogan serves as Head of Fidelity Investments’ Investment Solutions and Innovation organization (2018-present), a Director of Strategic Advisers LLC (2018-present), and a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present). Previously, Mr. Hogan served as President of FMR Co., Inc. (2009-2018), a Vice President of Fidelity's Equity and High Income funds (2009-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Trustee of certain Fidelity® funds (2014-2018), President of the Equity Division of FMR (investment adviser firm, 2009-2018), Senior Vice President, Equity Research of FMR (2006-2009), and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the National Bureau of Economic Research, a Director of the funds of BlackRock Realty Group (2006-present), and a Director of LivelyHood, Inc. (private corporation, 2013-present). Previously, Mr. Aldrich served as a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Trustees of the Museum of Fine Arts Boston and an Overseer of the Massachusetts Eye and Ear Infirmary.
Ralph F. Cox (1932)
Year of Election or Appointment: 2006
Trustee
Mr. Cox also serves as Trustee of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and on the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), and Member of the Ron Burton Training Village Executive Board of Advisors (2018-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-present), a guest lecturer in the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), Managing Partner of Topridge Associates, LLC (consulting, 2005-present), and a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit). Previously, Ms. Steiger served as Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2016
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was 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). Previously, Mr. Deberghes served in other fund officer roles.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
John Hitt (1967)
Year of Election or Appointment: 2014
Secretary and Chief Legal Officer
Mr. Hitt also serves as an officer of other funds. Mr. Hitt serves as Senior Vice President and Deputy General Counsel in Fidelity's Asset Management Group (2010-present) and is an employee of Fidelity Investments.
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2018
Assistant Secretary
Ms. Lee also serves as Assistant Secretary of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2018 to February 28, 2019).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2018 | Ending Account Value February 28, 2019 | Expenses Paid During Period-B September 1, 2018 to February 28, 2019 | |
Actual | .04% | $1,000.00 | $1,021.90 | $.20 |
Hypothetical-C | $1,000.00 | $1,024.60 | $.20 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
A total of 19.19% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (formerly Strategic Advisers, Inc.) (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and PGIM, Inc. (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2018 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's Advisory Contracts to reflect the change in Strategic Advisers' name from Strategic Advisers, Inc. to Strategic Advisers LLC, noting that no other contract terms were impacted and that Strategic Advisers will continue to provide the same services to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the Advisory Contracts described above (Amendments), the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the amendments thereto do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2017, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Income Fund
Strategic Advisers Core Income Fund
SSC-ANN-0419
1.912891.108
Item 2.
Code of Ethics
As of the end of the period, February 28, 2019, Fidelity Rutland Square Trust II (the “trust”) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger 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 Strategic Advisers Core Income Fund, Strategic Advisers Emerging Markets Fund, Strategic Advisers Fidelity International Fund, Strategic Advisers Income Opportunities Fund, Strategic Advisers International Fund and Strategic Advisers Small-Mid Cap Fund (the “Funds”):
Services Billed by PwC
February 28, 2019 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
|
|
|
|
|
Strategic Advisers Core Income Fund | $50,000 | $3,900 | $4,000 | $7,700 |
Strategic Advisers Emerging Markets Fund | $27,000 | $2,200 | $3,600 | $4,300 |
Strategic Advisers Fidelity International Fund | $47,000 | $3,700 | $4,200 | $7,300 |
Strategic Advisers Income Opportunities Fund | $27,000 | $2,200 | $3,000 | $4,300 |
Strategic Advisers International Fund | $47,000 | $3,800 | $4,200 | $7,300 |
Strategic Advisers Small-Mid Cap Fund | $47,000 | $3,700 | $4,000 | $7,300 |
February 28, 2018 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
|
|
|
|
|
Strategic Advisers Core Income Fund | $44,000 | $4,100 | $4,000 | $7,900 |
Strategic Advisers Emerging Markets Fund | $25,000 | $2,000 | $3,600 | $3,800 |
Strategic Advisers Fidelity International Fund | $42,000 | $3,900 | $4,200 | $7,400 |
Strategic Advisers Income Opportunities Fund | $25,000 | $1,900 | $4,500 | $3,700 |
Strategic Advisers International Fund | $42,000 | $3,900 | $4,200 | $7,500 |
Strategic Advisers Small-Mid Cap Fund | $44,000 | $3,900 | $4,200 | $7,400 |
AAmounts 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 Strategic Advisers LLC (“Strategic Advisers”) and entities controlling, controlled by, or under common control with Strategic Advisers (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 28, 2019A | February 28, 2018A |
Audit-Related Fees | $7,930,000 | $8,360,000 |
Tax Fees | $15,000 | $30,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Funds, Strategic Advisers (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 28, 2019A | February 28, 2018A |
PwC | $11,200,000 | $10,820,000 |
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 Strategic Advisers’ 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 the independent registered public accounting firm relating to the operations or financial reporting of the funds. 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 trust’s 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 the trust 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 the trust (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Adrien E. Deberghes |
| Adrien E. Deberghes |
| President and Treasurer |
|
|
Date: | April 24, 2019 |
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/Adrien E. Deberghes |
| Adrien E. Deberghes |
| President and Treasurer |
|
|
Date: | April 24, 2019 |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
|
|
Date: | April 24, 2019 |