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 811-5511
Variable Insurance Products Fund II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
|
Date of reporting period: | June 30, 2011 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products:
Contrafund Portfolio
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their | |
Financial Statements | Statements of assets and liabilities, operations, and | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Initial Class | .64% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.90 | $ 3.26 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.62 | $ 3.21 |
Service Class | .74% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.20 | $ 3.76 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.12 | $ 3.71 |
Service Class 2 | .89% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,050.20 | $ 4.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Service Class 2R | .89% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,050.30 | $ 4.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Investor Class | .73% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.30 | $ 3.71 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 3.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 3.8 | 4.5 |
Wells Fargo & Co. | 2.2 | 1.5 |
Citigroup, Inc. | 2.0 | 1.8 |
Procter & Gamble Co. | 2.0 | 2.1 |
The Coca-Cola Co. | 1.7 | 1.7 |
QUALCOMM, Inc. | 1.7 | 0.4 |
Google, Inc. Class A | 1.6 | 0.0 |
Royal Dutch Shell PLC Class B sponsored ADR | 1.3 | 1.6 |
MetLife, Inc. | 1.2 | 1.0 |
U.S. Bancorp, Delaware | 1.2 | 0.6 |
| 18.7 | |
Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 18.6 | 18.8 |
Financials | 14.9 | 16.2 |
Energy | 12.4 | 11.8 |
Industrials | 11.1 | 11.1 |
Health Care | 11.0 | 10.4 |
Consumer Staples | 10.3 | 10.3 |
Consumer Discretionary | 10.1 | 10.0 |
Utilities | 3.3 | 3.2 |
Materials | 3.2 | 3.4 |
Telecommunication Services | 3.2 | 3.3 |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011* | As of December 31, 2010** | ||||||
Stocks and |
| Stocks and |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 20.8% |
| ** Foreign investments | 16.2% |
|
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.4% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.4% | |||
Distributors - 0.0% | |||
Indiabulls Wholesale Services Ltd. | 676,542 | $ 157,653 | |
Hotels, Restaurants & Leisure - 2.2% | |||
Arcos Dorados Holdings, Inc. | 1,711,300 | 36,091,317 | |
Betfair Group PLC (d) | 2,844,952 | 34,540,757 | |
Las Vegas Sands Corp. (a) | 2,220,086 | 93,709,830 | |
Pinnacle Entertainment, Inc. (a) | 2,099,550 | 31,283,295 | |
Starbucks Corp. | 2,428,269 | 95,892,343 | |
Yum! Brands, Inc. | 1,573,027 | 86,894,011 | |
| 378,411,553 | ||
Internet & Catalog Retail - 1.1% | |||
Amazon.com, Inc. (a) | 501,797 | 102,612,469 | |
Priceline.com, Inc. (a) | 179,723 | 92,005,595 | |
| 194,618,064 | ||
Leisure Equipment & Products - 0.3% | |||
Hasbro, Inc. | 1,090,187 | 47,891,915 | |
Media - 3.3% | |||
DIRECTV (a) | 3,310,163 | 168,222,484 | |
Focus Media Holding Ltd. ADR (a) | 738,760 | 22,975,436 | |
Legend Pictures LLC (g)(h) | 6,611 | 4,958,250 | |
Pandora Media, Inc. | 332,062 | 6,279,292 | |
The Walt Disney Co. | 4,794,773 | 187,187,938 | |
The Weinstein Co. II Holdings, LLC | 11,499 | 4,312,125 | |
Time Warner, Inc. | 4,432,793 | 161,220,681 | |
| 555,156,206 | ||
Multiline Retail - 0.4% | |||
Dollar General Corp. (a) | 2,042,369 | 69,215,885 | |
Specialty Retail - 1.5% | |||
Abercrombie & Fitch Co. Class A | 1,364,974 | 91,344,060 | |
Limited Brands, Inc. | 2,367,999 | 91,049,562 | |
Urban Outfitters, Inc. (a) | 107,978 | 3,039,581 | |
Williams-Sonoma, Inc. | 1,687,300 | 61,569,577 | |
| 247,002,780 | ||
Textiles, Apparel & Luxury Goods - 0.6% | |||
Crocs, Inc. (a) | 1,904,753 | 49,047,390 | |
LVMH Moet Hennessy - Louis Vuitton | 207,503 | 37,346,853 | |
Under Armour, Inc. Class A | 306,759 | 23,715,538 | |
| 110,109,781 | ||
TOTAL CONSUMER DISCRETIONARY | 1,602,563,837 | ||
CONSUMER STAPLES - 10.3% | |||
Beverages - 4.0% | |||
Anheuser-Busch InBev SA NV | 799,065 | 46,380,465 | |
Coca-Cola Bottling Co. Consolidated | 127,918 | 8,654,932 | |
Coca-Cola FEMSA SAB de CV sponsored ADR | 98,047 | 9,119,351 | |
Coca-Cola Icecek AS | 578,362 | 8,534,144 | |
| |||
Shares | Value | ||
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR | 275,170 | $ 9,281,484 | |
Constellation Brands, Inc. Class A | 2,546,231 | 53,012,529 | |
Diageo PLC sponsored ADR | 771,483 | 63,161,313 | |
Embotelladora Andina SA sponsored ADR | 317,936 | 9,172,454 | |
Molson Coors Brewing Co. Class B | 1,308,542 | 58,544,169 | |
PepsiCo, Inc. | 868,850 | 61,193,106 | |
Pernod-Ricard SA | 477,279 | 47,048,680 | |
Remy Cointreau SA | 166,595 | 14,023,203 | |
The Coca-Cola Co. | 4,414,620 | 297,059,780 | |
| 685,185,610 | ||
Food & Staples Retailing - 1.1% | |||
CVS Caremark Corp. | 4,267,217 | 160,362,015 | |
Fresh Market, Inc. | 19,700 | 761,996 | |
Walgreen Co. | 665,745 | 28,267,533 | |
| 189,391,544 | ||
Food Products - 0.9% | |||
Archer Daniels Midland Co. | 329,171 | 9,924,506 | |
Bunge Ltd. | 395,748 | 27,286,825 | |
Danone | 251,700 | 18,781,334 | |
Green Mountain Coffee Roasters, Inc. (a) | 59,272 | 5,290,619 | |
Nestle SA | 488,924 | 30,386,914 | |
Unilever NV unit | 1,662,247 | 54,604,814 | |
Viterra, Inc. | 429,900 | 4,671,663 | |
| 150,946,675 | ||
Household Products - 2.3% | |||
Colgate-Palmolive Co. | 519,366 | 45,397,782 | |
Procter & Gamble Co. | 5,376,525 | 341,785,694 | |
| 387,183,476 | ||
Personal Products - 0.6% | |||
Avon Products, Inc. | 1,840,909 | 51,545,452 | |
L'Oreal SA | 370,500 | 48,123,826 | |
Nu Skin Enterprises, Inc. Class A | 50,000 | 1,877,500 | |
| 101,546,778 | ||
Tobacco - 1.4% | |||
Altria Group, Inc. | 754,266 | 19,920,165 | |
British American Tobacco PLC sponsored ADR | 1,771,568 | 155,897,984 | |
Philip Morris International, Inc. | 892,374 | 59,583,812 | |
Souza Cruz Industria Comerico | 724,800 | 9,220,760 | |
| 244,622,721 | ||
TOTAL CONSUMER STAPLES | 1,758,876,804 | ||
ENERGY - 12.4% | |||
Energy Equipment & Services - 4.0% | |||
Aker Drilling ASA (a) | 852,600 | 2,655,287 | |
Aker Solutions ASA | 697,700 | 13,968,486 | |
Baker Hughes, Inc. | 1,821,788 | 132,188,937 | |
C&J Energy Services, Inc. (a)(e) | 482,300 | 7,475,650 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Discovery Offshore S.A. (a)(e) | 1,310,900 | $ 2,600,221 | |
Dresser-Rand Group, Inc. (a) | 319,476 | 17,171,835 | |
Ensco International Ltd. ADR | 488,601 | 26,042,433 | |
Halliburton Co. | 3,158,832 | 161,100,432 | |
National Oilwell Varco, Inc. | 902,457 | 70,581,162 | |
Noble Corp. | 1,435,500 | 56,573,055 | |
Ocean Rig UDW, Inc. (a) | 134,000 | 2,459,217 | |
Oceaneering International, Inc. | 726,406 | 29,419,443 | |
Saipem SpA | 445,866 | 23,020,365 | |
Schlumberger Ltd. | 761,579 | 65,800,426 | |
TETRA Technologies, Inc. (a) | 559,100 | 7,117,343 | |
Transocean Ltd. (United States) | 885,275 | 57,153,354 | |
Vantage Drilling Co. (a) | 5,923,400 | 10,780,588 | |
| 686,108,234 | ||
Oil, Gas & Consumable Fuels - 8.4% | |||
Alpha Natural Resources, Inc. (a) | 691,722 | 31,431,848 | |
Anadarko Petroleum Corp. | 424,317 | 32,570,573 | |
Apache Corp. | 1,008,383 | 124,424,378 | |
BP PLC | 1,029,933 | 7,583,144 | |
BP PLC sponsored ADR | 2,189,408 | 96,968,880 | |
Canadian Natural Resources Ltd. | 979,800 | 41,075,606 | |
CVR Energy, Inc. (a) | 345,840 | 8,514,581 | |
Exxon Mobil Corp. | 2,309,733 | 187,966,072 | |
Falkland Oil & Gas Ltd. (a) | 844,214 | 765,507 | |
Frontier Oil Corp. | 619,878 | 20,028,258 | |
Holly Corp. | 1,045,586 | 72,563,668 | |
InterOil Corp. (a)(d) | 370,048 | 21,651,508 | |
Kosmos Energy Ltd. | 312,100 | 5,299,458 | |
Marathon Oil Corp. | 2,669,080 | 140,607,134 | |
Niko Resources Ltd. | 284,322 | 17,750,962 | |
Occidental Petroleum Corp. | 1,350,811 | 140,538,376 | |
Petrobank Energy & Resources Ltd. (a) | 1,117,300 | 16,404,985 | |
Repsol YPF SA (d) | 1,239,758 | 43,044,624 | |
Resolute Energy Corp. (a)(d) | 1,120,068 | 18,100,299 | |
Rockhopper Exploration PLC (a) | 260,700 | 1,125,489 | |
Rodinia Oil Corp. (a) | 603,000 | 756,564 | |
Royal Dutch Shell PLC: | |||
Class A sponsored ADR (d) | 89,833 | 6,389,821 | |
Class B sponsored ADR | 3,003,962 | 215,534,274 | |
Talisman Energy, Inc. | 2,558,000 | 52,544,567 | |
Targa Resources Corp. | 256,400 | 8,579,144 | |
Western Refining, Inc. (a)(d) | 796,928 | 14,400,489 | |
Whiting Petroleum Corp. (a) | 797,900 | 45,408,489 | |
Williams Companies, Inc. | 1,619,100 | 48,977,775 | |
| 1,421,006,473 | ||
TOTAL ENERGY | 2,107,114,707 | ||
| |||
Shares | Value | ||
FINANCIALS - 14.9% | |||
Capital Markets - 2.2% | |||
E*TRADE Financial Corp. (a) | 2,201,300 | $ 30,377,940 | |
Evercore Partners, Inc. Class A | 370,900 | 12,358,388 | |
ICAP PLC | 1,181,055 | 8,965,598 | |
Invesco Ltd. | 1,190,307 | 27,853,184 | |
Morgan Stanley | 4,319,434 | 99,390,176 | |
State Street Corp. | 3,489,626 | 157,347,236 | |
TD Ameritrade Holding Corp. | 1,693,700 | 33,044,087 | |
| 369,336,609 | ||
Commercial Banks - 5.0% | |||
Banco Macro SA sponsored ADR | 192,634 | 7,270,007 | |
BB&T Corp. | 1,800,175 | 48,316,697 | |
CIT Group, Inc. (a) | 435,536 | 19,276,823 | |
Comerica, Inc. | 328,979 | 11,372,804 | |
FirstMerit Corp. | 1,155,485 | 19,077,057 | |
Huntington Bancshares, Inc. | 6,807,180 | 44,655,101 | |
KeyCorp | 2,271,210 | 18,919,179 | |
PT Bank Rakyat Indonesia Tbk | 11,438,500 | 8,669,090 | |
Regions Financial Corp. | 2,359,500 | 14,628,900 | |
Sumitomo Mitsui Financial Group, Inc. | 564,400 | 17,398,777 | |
SunTrust Banks, Inc. | 1,984,650 | 51,203,970 | |
Synovus Financial Corp. | 7,697,400 | 16,010,592 | |
U.S. Bancorp | 7,754,089 | 197,806,810 | |
Wells Fargo & Co. | 13,493,503 | 378,627,694 | |
| 853,233,501 | ||
Consumer Finance - 0.8% | |||
Capital One Financial Corp. | 956,086 | 49,400,964 | |
Discover Financial Services | 912,872 | 24,419,326 | |
Green Dot Corp. Class A (d) | 269,884 | 9,170,658 | |
Promise Co. Ltd. (d) | 1,275,900 | 10,860,830 | |
SLM Corp. | 2,485,408 | 41,779,708 | |
| 135,631,486 | ||
Diversified Financial Services - 2.5% | |||
African Bank Investments Ltd. | 3,022,441 | 15,385,314 | |
Citigroup, Inc. | 8,329,138 | 346,825,306 | |
CME Group, Inc. | 161,942 | 47,220,668 | |
ING Groep NV (Certificaten Van Aandelen) (a) | 662,900 | 8,170,100 | |
NBH Holdings Corp. Class A (a)(e) | 813,800 | 14,648,400 | |
| 432,249,788 | ||
Insurance - 2.8% | |||
ACE Ltd. | 576,032 | 37,914,426 | |
Amlin PLC | 2,072,127 | 13,505,085 | |
Aon Corp. | 641,639 | 32,916,081 | |
Berkshire Hathaway, Inc.: | |||
Class A (a) | 244 | 28,329,620 | |
Class B (a) | 1,021,614 | 79,062,707 | |
Fairfax Financial Holdings Ltd. | 126,300 | 50,551,431 | |
Genworth Financial, Inc. Class A (a) | 1,252,200 | 12,872,616 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Insurance - continued | |||
MetLife, Inc. | 4,763,477 | $ 208,973,736 | |
Validus Holdings Ltd. | 160,976 | 4,982,207 | |
| 469,107,909 | ||
Real Estate Investment Trusts - 1.1% | |||
Camden Property Trust (SBI) | 81,055 | 5,156,719 | |
Equity Lifestyle Properties, Inc. | 114,500 | 7,149,380 | |
Prologis, Inc. | 1,920,210 | 68,820,326 | |
Public Storage | 271,405 | 30,942,884 | |
SL Green Realty Corp. | 280,173 | 23,217,937 | |
The Macerich Co. | 614,099 | 32,854,297 | |
Weyerhaeuser Co. | 832,939 | 18,208,047 | |
| 186,349,590 | ||
Real Estate Management & Development - 0.3% | |||
Ayala Land, Inc. | 26,442,000 | 9,517,656 | |
BR Malls Participacoes SA | 1,699,600 | 19,433,643 | |
Indiabulls Real Estate Ltd. (a) | 4,749,934 | 11,978,603 | |
PT Lippo Karawaci Tbk | 164,758,750 | 12,486,851 | |
| 53,416,753 | ||
Thrifts & Mortgage Finance - 0.2% | |||
Ocwen Financial Corp. (a) | 2,435,410 | 31,075,832 | |
TOTAL FINANCIALS | 2,530,401,468 | ||
HEALTH CARE - 11.0% | |||
Biotechnology - 2.0% | |||
Amgen, Inc. (a) | 2,058,118 | 120,091,185 | |
AVEO Pharmaceuticals, Inc. (a) | 518,044 | 10,676,887 | |
AVEO Pharmaceuticals, Inc. | 107,096 | 2,207,249 | |
Biogen Idec, Inc. (a) | 946,924 | 101,245,114 | |
BioMarin Pharmaceutical, Inc. (a) | 786,430 | 21,398,760 | |
Gilead Sciences, Inc. (a) | 1,833,397 | 75,920,970 | |
Human Genome Sciences, Inc. (a) | 226,227 | 5,551,611 | |
Medivir AB (B Shares) (a) | 424,384 | 8,840,774 | |
| 345,932,550 | ||
Health Care Equipment & Supplies - 2.8% | |||
Baxter International, Inc. | 1,974,205 | 117,840,296 | |
Boston Scientific Corp. (a) | 6,787,739 | 46,903,276 | |
C. R. Bard, Inc. | 338,840 | 37,224,962 | |
Covidien PLC | 2,853,441 | 151,888,664 | |
Edwards Lifesciences Corp. (a) | 617,950 | 53,872,881 | |
Mako Surgical Corp. (a)(d) | 763,217 | 22,690,441 | |
Masimo Corp. | 421,879 | 12,521,369 | |
Quidel Corp. (a) | 1,433,104 | 21,711,526 | |
| |||
Shares | Value | ||
Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares) | 6,000,000 | $ 8,651,010 | |
William Demant Holding A/S (a) | 110,782 | 9,999,612 | |
| 483,304,037 | ||
Health Care Providers & Services - 2.8% | |||
CIGNA Corp. | 980,039 | 50,403,406 | |
HCA Holdings, Inc. | 874,800 | 28,868,400 | |
Henry Schein, Inc. (a) | 871,900 | 62,419,321 | |
McKesson Corp. | 1,363,177 | 114,029,756 | |
Medco Health Solutions, Inc. (a) | 967,136 | 54,662,527 | |
Omnicare, Inc. | 927,000 | 29,562,030 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 2,457,300 | 6,615,534 | |
UnitedHealth Group, Inc. | 2,485,468 | 128,200,439 | |
| 474,761,413 | ||
Life Sciences Tools & Services - 0.6% | |||
Agilent Technologies, Inc. (a) | 1,043,669 | 53,341,923 | |
Fluidigm Corp. (g) | 312,345 | 4,714,223 | |
Illumina, Inc. (a) | 499,691 | 37,551,779 | |
| 95,607,925 | ||
Pharmaceuticals - 2.8% | |||
Bayer AG | 195,832 | 15,745,800 | |
GlaxoSmithKline PLC sponsored ADR | 1,189,500 | 51,029,550 | |
Merck & Co., Inc. | 2,476,136 | 87,382,839 | |
Novo Nordisk A/S Series B | 139,257 | 17,448,399 | |
Pfizer, Inc. | 8,481,989 | 174,728,973 | |
Shire PLC sponsored ADR | 706,200 | 66,531,102 | |
Valeant Pharmaceuticals International, Inc. (Canada) | 1,234,060 | 64,172,656 | |
| 477,039,319 | ||
TOTAL HEALTH CARE | 1,876,645,244 | ||
INDUSTRIALS - 11.1% | |||
Aerospace & Defense - 4.3% | |||
Bombardier, Inc. Class B (sub. vtg.) | 5,908,400 | 42,579,200 | |
Goodrich Corp. | 864,497 | 82,559,464 | |
Honeywell International, Inc. | 1,725,275 | 102,809,137 | |
MTU Aero Engines Holdings AG | 262,160 | 20,942,003 | |
Precision Castparts Corp. | 563,798 | 92,829,341 | |
Safran SA | 905,465 | 38,673,619 | |
Textron, Inc. | 1,989,090 | 46,962,415 | |
The Boeing Co. | 1,630,892 | 120,571,846 | |
United Technologies Corp. | 2,175,851 | 192,584,572 | |
| 740,511,597 | ||
Building Products - 0.5% | |||
Armstrong World Industries, Inc. | 302,008 | 13,759,484 | |
Lennox International, Inc. | 666,725 | 28,715,846 | |
Owens Corning (a) | 1,113,601 | 41,592,997 | |
| 84,068,327 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Commercial Services & Supplies - 0.4% | |||
Republic Services, Inc. | 1,450,569 | $ 44,750,054 | |
Stericycle, Inc. (a) | 220,641 | 19,663,526 | |
Swisher Hygiene, Inc. (g) | 523,085 | 2,650,472 | |
Swisher Hygiene, Inc. (g) | 1,411,610 | 7,947,364 | |
| 75,011,416 | ||
Construction & Engineering - 0.4% | |||
Fluor Corp. | 557,350 | 36,038,251 | |
Foster Wheeler AG (a) | 1,046,432 | 31,790,604 | |
| 67,828,855 | ||
Electrical Equipment - 1.5% | |||
Acuity Brands, Inc. | 463,337 | 25,844,938 | |
Alstom SA (d) | 695,671 | 42,899,774 | |
Cooper Industries PLC Class A | 639,375 | 38,151,506 | |
Emerson Electric Co. | 1,221,886 | 68,731,088 | |
GrafTech International Ltd. (a) | 907,081 | 18,386,532 | |
Regal-Beloit Corp. | 815,326 | 54,439,317 | |
| 248,453,155 | ||
Industrial Conglomerates - 1.3% | |||
General Electric Co. | 9,178,319 | 173,103,096 | |
Tyco International Ltd. | 962,100 | 47,556,603 | |
| 220,659,699 | ||
Machinery - 1.6% | |||
Caterpillar, Inc. | 624,523 | 66,486,719 | |
Cummins, Inc. | 458,386 | 47,438,367 | |
Danaher Corp. | 1,746,704 | 92,557,845 | |
Fanuc Corp. | 123,300 | 20,613,483 | |
Pall Corp. | 431,673 | 24,272,973 | |
Vallourec SA | 105,698 | 12,875,147 | |
| 264,244,534 | ||
Road & Rail - 1.1% | |||
CSX Corp. | 3,062,505 | 80,298,881 | |
Union Pacific Corp. | 1,099,761 | 114,815,048 | |
| 195,113,929 | ||
TOTAL INDUSTRIALS | 1,895,891,512 | ||
INFORMATION TECHNOLOGY - 18.6% | |||
Communications Equipment - 2.5% | |||
Alcatel-Lucent SA sponsored ADR (a) | 7,564,602 | 43,647,754 | |
Aruba Networks, Inc. (a)(d) | 1,912,459 | 56,513,163 | |
Ciena Corp. (a) | 2,120,843 | 38,981,094 | |
Juniper Networks, Inc. (a) | 134,503 | 4,236,845 | |
QUALCOMM, Inc. | 4,917,309 | 279,253,978 | |
| 422,632,834 | ||
Computers & Peripherals - 5.4% | |||
Apple, Inc. (a) | 1,943,279 | 652,300,464 | |
EMC Corp. (a) | 6,539,426 | 180,161,186 | |
Imagination Technologies Group PLC (a) | 1,613,506 | 9,765,064 | |
| |||
Shares | Value | ||
SanDisk Corp. (a) | 401,908 | $ 16,679,182 | |
Western Digital Corp. (a) | 1,693,195 | 61,598,434 | |
| 920,504,330 | ||
Electronic Equipment & Components - 0.2% | |||
HLS Systems International Ltd. (a)(d) | 1,396,103 | 13,011,680 | |
TPK Holdings Co. | 384,000 | 11,667,274 | |
| 24,678,954 | ||
Internet Software & Services - 2.5% | |||
Baidu.com, Inc. sponsored ADR (a) | 316,227 | 44,312,890 | |
Dice Holdings, Inc. (a) | 865,054 | 11,695,530 | |
Google, Inc. Class A (a) | 531,564 | 269,173,378 | |
Mail.ru Group Ltd. GDR (a)(e) | 434,066 | 14,419,673 | |
Renren, Inc. ADR (d) | 1,501,199 | 13,285,611 | |
WebMD Health Corp. (a) | 1,297,812 | 59,154,271 | |
Yandex NV | 181,212 | 6,434,838 | |
| 418,476,191 | ||
IT Services - 1.0% | |||
Accenture PLC Class A | 1,159,236 | 70,041,039 | |
Cognizant Technology Solutions Corp. Class A (a) | 284,349 | 20,854,156 | |
Digital Garage, Inc. (a) | 3,663 | 14,953,199 | |
Visa, Inc. Class A | 799,609 | 67,375,054 | |
| 173,223,448 | ||
Semiconductors & Semiconductor Equipment - 4.2% | |||
Analog Devices, Inc. | 2,628,735 | 102,888,688 | |
ARM Holdings PLC sponsored ADR (d) | 2,640,098 | 75,057,986 | |
ASML Holding NV | 2,456,381 | 90,787,842 | |
Avago Technologies Ltd. | 1,398,625 | 53,147,750 | |
First Solar, Inc. (a)(d) | 324,438 | 42,913,414 | |
Inotera Memories, Inc. (a) | 44,304,698 | 13,615,174 | |
Intersil Corp. Class A | 1,381,863 | 17,756,940 | |
KLA-Tencor Corp. | 1,092,940 | 44,242,211 | |
Lam Research Corp. (a) | 1,053,975 | 46,670,013 | |
Marvell Technology Group Ltd. (a) | 4,744,052 | 70,045,928 | |
Micron Technology, Inc. (a) | 17,104,142 | 127,938,982 | |
Nanya Technology Corp. (a) | 25,007,159 | 7,033,630 | |
Omnivision Technologies, Inc. (a) | 727,817 | 25,335,310 | |
| 717,433,868 | ||
Software - 2.8% | |||
Ariba, Inc. (a) | 1,211,749 | 41,768,988 | |
Check Point Software Technologies Ltd. (a) | 3,284,692 | 186,734,740 | |
Fortinet, Inc. (a) | 990,572 | 27,032,710 | |
Microsoft Corp. | 6,740,351 | 175,249,126 | |
Nuance Communications, Inc. (a) | 881,133 | 18,917,926 | |
QLIK Technologies, Inc. | 92,899 | 3,164,140 | |
Taleo Corp. Class A (a) | 723,198 | 26,780,022 | |
| 479,647,652 | ||
TOTAL INFORMATION TECHNOLOGY | 3,156,597,277 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - 3.2% | |||
Chemicals - 1.9% | |||
Air Products & Chemicals, Inc. | 565,239 | $ 54,025,544 | |
Albemarle Corp. | 241,467 | 16,709,516 | |
Arkema SA | 214,900 | 22,125,416 | |
Ashland, Inc. | 583,816 | 37,726,190 | |
Celanese Corp. Class A | 580,328 | 30,937,286 | |
CF Industries Holdings, Inc. | 150,400 | 21,307,168 | |
Dow Chemical Co. | 646,814 | 23,285,304 | |
LyondellBasell Industries NV Class A | 922,661 | 35,540,902 | |
Monsanto Co. | 277,717 | 20,145,591 | |
Olin Corp. | 639,216 | 14,484,635 | |
Potash Corp. of Saskatchewan, Inc. | 216,100 | 12,342,169 | |
Solutia, Inc. (a) | 1,278,758 | 29,219,620 | |
The Mosaic Co. | 190,735 | 12,918,482 | |
| 330,767,823 | ||
Construction Materials - 0.1% | |||
HeidelbergCement AG | 127,334 | 8,130,207 | |
Containers & Packaging - 0.2% | |||
Ball Corp. | 680,519 | 26,172,761 | |
Rock-Tenn Co. Class A | 189,049 | 12,541,511 | |
| 38,714,272 | ||
Metals & Mining - 1.0% | |||
Anglo American PLC (United Kingdom) | 1,553,849 | 76,995,219 | |
AngloGold Ashanti Ltd. sponsored ADR | 855,627 | 36,013,340 | |
Carpenter Technology Corp. | 31,980 | 1,844,606 | |
MacArthur Coal Ltd. | 1,860,598 | 21,850,630 | |
Reliance Steel & Aluminum Co. | 407,400 | 20,227,410 | |
Walter Energy, Inc. | 81,773 | 9,469,313 | |
| 166,400,518 | ||
TOTAL MATERIALS | 544,012,820 | ||
TELECOMMUNICATION SERVICES - 3.2% | |||
Diversified Telecommunication Services - 2.1% | |||
AT&T, Inc. | 3,240,225 | 101,775,467 | |
CenturyLink, Inc. | 3,996,444 | 161,576,231 | |
Verizon Communications, Inc. | 2,403,913 | 89,497,681 | |
| 352,849,379 | ||
Wireless Telecommunication Services - 1.1% | |||
America Movil SAB de CV Series L sponsored ADR | 101,900 | 5,490,372 | |
American Tower Corp. Class A (a) | 1,764,263 | 92,323,883 | |
Clearwire Corp. Class A (a)(d) | 5,717,958 | 21,613,881 | |
MetroPCS Communications, Inc. (a) | 747,336 | 12,861,653 | |
Sprint Nextel Corp. (a) | 2,899,625 | 15,628,979 | |
Vodafone Group PLC | 8,171,800 | 21,668,011 | |
Vodafone Group PLC sponsored ADR | 604,000 | 16,138,880 | |
| 185,725,659 | ||
TOTAL TELECOMMUNICATION SERVICES | 538,575,038 | ||
| |||
Shares | Value | ||
UTILITIES - 3.3% | |||
Electric Utilities - 1.7% | |||
American Electric Power Co., Inc. | 560,055 | $ 21,102,872 | |
Edison International | 1,890,816 | 73,269,120 | |
Exelon Corp. | 1,210,935 | 51,876,455 | |
FirstEnergy Corp. | 985,056 | 43,490,222 | |
NextEra Energy, Inc. | 1,804,414 | 103,681,628 | |
| 293,420,297 | ||
Independent Power Producers & Energy Traders - 0.5% | |||
Constellation Energy Group, Inc. | 1,020,808 | 38,749,872 | |
NRG Energy, Inc. (a) | 647,157 | 15,907,119 | |
The AES Corp. (a) | 2,316,729 | 29,515,127 | |
| 84,172,118 | ||
Multi-Utilities - 1.1% | |||
NiSource, Inc. | 622,235 | 12,600,259 | |
PG&E Corp. | 1,261,574 | 53,023,955 | |
Public Service Enterprise Group, Inc. | 2,074,756 | 67,720,036 | |
Sempra Energy | 1,034,866 | 54,723,714 | |
| 188,067,964 | ||
TOTAL UTILITIES | 565,660,379 | ||
TOTAL COMMON STOCKS (Cost $14,222,514,263) | 16,576,339,086 | ||
Nonconvertible Preferred Stocks - 0.7% | |||
|
|
|
|
CONSUMER DISCRETIONARY - 0.7% | |||
Automobiles - 0.7% | |||
Volkswagen AG (Cost $85,952,223) | 571,804 | 118,049,054 |
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.02% to 0.04% 9/15/11 (f) | $ 8,250,000 | 8,249,654 |
Money Market Funds - 3.2% | |||
Shares | Value | ||
Fidelity Cash Central Fund, 0.11% (b) | 384,890,130 | $ 384,890,130 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c) | 166,768,558 | 166,768,558 | |
TOTAL MONEY MARKET FUNDS (Cost $551,658,688) | 551,658,688 | ||
TOTAL INVESTMENT PORTFOLIO - 101.4% (Cost $14,868,374,546) | 17,254,296,482 | ||
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (239,191,408) | ||
NET ASSETS - 100% | $ 17,015,105,074 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
1,935 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 127,274,625 | $ 4,094,071 |
The face value of futures purchased as a percentage of net assets is 0.7% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security 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 $39,143,944 or 0.2% of net assets. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $8,249,654. |
(g) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $24,582,434 or 0.1% of net assets. |
(h) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Fluidigm Corp. | 10/9/07 - 1/6/11 | $ 5,645,227 |
Legend Pictures LLC | 9/23/10 | $ 4,958,250 |
Swisher Hygiene, Inc. | 3/22/11 | $ 7,058,050 |
Swisher Hygiene, Inc. | 4/15/11 | $ 4,027,755 |
The Weinstein Co. II Holdings, LLC Class A-1 | 10/19/05 | $ 11,499,000 |
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 | $ 276,672 |
Fidelity Securities Lending Cash Central Fund | 1,117,070 |
Total | $ 1,393,742 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 1,720,612,891 | $ 1,711,184,863 | $ - | $ 9,428,028 |
Consumer Staples | 1,758,876,804 | 1,712,496,339 | 46,380,465 | - |
Energy | 2,107,114,707 | 2,092,055,913 | 7,583,144 | 7,475,650 |
Financials | 2,530,401,468 | 2,479,323,361 | 36,429,707 | 14,648,400 |
Health Care | 1,876,645,244 | 1,854,482,622 | 22,162,622 | - |
Industrials | 1,895,891,512 | 1,864,680,193 | 31,211,319 | - |
Information Technology | 3,156,597,277 | 3,141,644,078 | 14,953,199 | - |
Materials | 544,012,820 | 544,012,820 | - | - |
Telecommunication Services | 538,575,038 | 516,907,027 | 21,668,011 | - |
Utilities | 565,660,379 | 565,660,379 | - | - |
U.S. Government and Government Agency Obligations | 8,249,654 | - | 8,249,654 | - |
Money Market Funds | 551,658,688 | 551,658,688 | - | - |
Total Investments in Securities: | $ 17,254,296,482 | $ 17,034,106,283 | $ 188,638,121 | $ 31,552,078 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 4,094,071 | $ 4,094,071 | $ - | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 28,027,598 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | 1,429,860 |
Cost of Purchases | 158,917 |
Proceeds of Sales | (2,887,297) |
Amortization/Accretion | - |
Transfers in to Level 3 | 4,823,000 |
Transfers out of Level 3 | - |
Ending Balance | $ 31,552,078 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2011 | $ 1,430,686 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 4,094,071 | $ - |
Total Value of Derivatives | $ 4,094,071 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 79.2% |
United Kingdom | 5.2% |
France | 2.0% |
Canada | 1.9% |
Switzerland | 1.5% |
Ireland | 1.5% |
Israel | 1.1% |
Netherlands | 1.0% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 5.6% |
| 100.0% |
Income Tax Information |
At December 31, 2010, the Fund had a capital loss carryforward of approximately $4,050,914,844 of which $1,715,915,916 and $2,334,998,928 will expire in fiscal 2016 and 2017, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2011 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $163,488,058) - See accompanying schedule: Unaffiliated issuers (cost $14,316,715,858) | $ 16,702,637,794 |
|
Fidelity Central Funds (cost $551,658,688) | 551,658,688 |
|
Total Investments (cost $14,868,374,546) |
| $ 17,254,296,482 |
Cash | 2,404,120 | |
Receivable for investments sold | 242,063,461 | |
Receivable for fund shares sold | 9,648,340 | |
Dividends receivable | 21,873,841 | |
Distributions receivable from Fidelity Central Funds | 189,784 | |
Receivable for daily variation on futures contracts | 1,083,590 | |
Other receivables | 1,348,975 | |
Total assets | 17,532,908,593 | |
|
|
|
Liabilities | ||
Payable to Custodian Bank | $ 1,802,521 | |
Payable for investments purchased | 326,616,122 | |
Payable for fund shares redeemed | 11,140,775 | |
Accrued management fee | 7,709,221 | |
Distribution and service plan fees payable | 1,705,246 | |
Other affiliated payables | 1,088,446 | |
Other payables and accrued expenses | 972,630 | |
Collateral on securities loaned, at value | 166,768,558 | |
Total liabilities | 517,803,519 | |
|
|
|
Net Assets | $ 17,015,105,074 | |
Net Assets consist of: |
| |
Paid in capital | $ 17,756,843,284 | |
Undistributed net investment income | 57,732,774 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,189,594,163) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 2,390,123,179 | |
Net Assets | $ 17,015,105,074 |
Statement of Assets and Liabilities - continued
| June 30, 2011 (Unaudited) | |
Initial Class: | $ 25.12 | |
|
|
|
Service Class: | $ 25.03 | |
|
|
|
Service Class 2: | $ 24.67 | |
|
|
|
Service Class 2R: | $ 24.62 | |
|
|
|
Investor Class: | $ 25.02 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended June 30, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 131,977,976 |
Interest |
| 6,066 |
Income from Fidelity Central Funds |
| 1,393,742 |
Total income |
| 133,377,784 |
|
|
|
Expenses | ||
Management fee | $ 47,953,620 | |
Transfer agent fees | 6,486,033 | |
Distribution and service plan fees | 10,570,017 | |
Accounting and security lending fees | 804,378 | |
Custodian fees and expenses | 295,918 | |
Independent trustees' compensation | 44,398 | |
Appreciation in deferred trustee compensation account | 31 | |
Audit | 56,677 | |
Legal | 15,474 | |
Miscellaneous | 111,542 | |
Total expenses before reductions | 66,338,088 | |
Expense reductions | (1,664,395) | 64,673,693 |
Net investment income (loss) | 68,704,091 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,113,592,093 | |
Foreign currency transactions | (743,615) | |
Futures contracts | 3,951,732 | |
Total net realized gain (loss) |
| 1,116,800,210 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (335,764,041) | |
Assets and liabilities in foreign currencies | 61,422 | |
Futures contracts | 2,499,092 | |
Total change in net unrealized appreciation (depreciation) |
| (333,203,527) |
Net gain (loss) | 783,596,683 | |
Net increase (decrease) in net assets resulting from operations | $ 852,300,774 |
Statement of Changes in Net Assets
| Six months ended June 30, 2011 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 68,704,091 | $ 156,808,770 |
Net realized gain (loss) | 1,116,800,210 | 1,213,062,242 |
Change in net unrealized appreciation (depreciation) | (333,203,527) | 1,272,193,349 |
Net increase (decrease) in net assets resulting from operations | 852,300,774 | 2,642,064,361 |
Distributions to shareholders from net investment income | - | (173,609,742) |
Distributions to shareholders from net realized gain | - | (7,015,810) |
Total distributions | - | (180,625,552) |
Share transactions - net increase (decrease) | (586,209,481) | (2,950,980,349) |
Redemption fees | 8,364 | 1,677 |
Total increase (decrease) in net assets | 266,099,657 | (489,539,863) |
|
|
|
Net Assets | ||
Beginning of period | 16,749,005,417 | 17,238,545,280 |
End of period (including undistributed net investment income of $57,732,774 and distributions in excess of net investment income of $10,971,317, respectively) | $ 17,015,105,074 | $ 16,749,005,417 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 | $ 31.03 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .12 | .23 | .23 | .24 | .34 | .27 |
Net realized and unrealized gain (loss) | 1.12 | 3.31 | 5.26 | (11.87) | 5.17 | 3.30 |
Total from investment operations | 1.24 | 3.54 | 5.49 | (11.63) | 5.51 | 3.57 |
Distributions from net investment income | - | (.27) | (.25) | (.23) | (.33) | (.42) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.28) | (.26) J | (.88) | (9.08) | (3.13) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.12 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 |
Total Return B,C,D | 5.19% | 17.22% | 35.71% | (42.51)% | 17.59% | 11.72% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .64% A | .65% | .67% | .66% | .65% | .66% |
Expenses net of fee waivers, if any | .64% A | .65% | .67% | .66% | .65% | .66% |
Expenses net of all reductions | .62% A | .63% | .65% | .65% | .64% | .65% |
Net investment income (loss) | .92% A | 1.06% | 1.33% | 1.07% | 1.00% | .85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 7,168,489 | $ 7,160,125 | $ 7,405,228 | $ 6,240,871 | $ 12,371,009 | $ 11,595,588 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.26 per share is comprised of distributions from net investment income of $.250 and distributions from net realized gain of $.005 per share. |
Financial Highlights - Service Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 | $ 30.93 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .10 | .20 | .21 | .21 | .30 | .24 |
Net realized and unrealized gain (loss) | 1.12 | 3.31 | 5.25 | (11.83) | 5.16 | 3.28 |
Total from investment operations | 1.22 | 3.51 | 5.46 | (11.62) | 5.46 | 3.52 |
Distributions from net investment income | - | (.24) | (.23) | (.20) | (.29) | (.36) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.25) | (.24) J | (.85) | (9.04) | (3.07) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.03 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 |
Total Return B,C,D | 5.12% | 17.11% | 35.66% | (42.61)% | 17.51% | 11.59% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .74% A | .75% | .77% | .76% | .75% | .76% |
Expenses net of fee waivers, if any | .74% A | .75% | .77% | .76% | .75% | .76% |
Expenses net of all reductions | .72% A | .73% | .75% | .75% | .74% | .75% |
Net investment income (loss) | .82% A | .96% | 1.23% | .97% | .90% | .75% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,412,944 | $ 1,379,305 | $ 1,784,820 | $ 1,497,734 | $ 3,008,644 | $ 2,766,343 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.24 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 | $ 30.69 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .17 | .18 | .18 | .25 | .19 |
Net realized and unrealized gain (loss) | 1.10 | 3.26 | 5.18 | (11.67) | 5.11 | 3.26 |
Total from investment operations | 1.18 | 3.43 | 5.36 | (11.49) | 5.36 | 3.45 |
Distributions from net investment income | - | (.22) | (.21) | (.18) | (.26) | (.32) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.23) | (.21) J | (.83) | (9.01) | (3.03) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.67 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 |
Total Return B,C,D | 5.02% | 16.93% | 35.47% | (42.69)% | 17.30% | 11.43% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of fee waivers, if any | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of all reductions | .87% A | .88% | .90% | .90% | .89% | .90% |
Net investment income (loss) | .67% A | .81% | 1.08% | .82% | .75% | .60% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 7,793,715 | $ 7,627,793 | $ 7,577,737 | $ 6,187,985 | $ 9,339,663 | $ 6,185,595 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.21 per share is comprised of distributions from net investment income of $.205 and distributions from net realized gain of $.005 per share. |
Financial Highlights - Service Class 2R
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 | $ 30.61 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .17 | .18 | .18 | .25 | .19 |
Net realized and unrealized gain (loss) | 1.10 | 3.25 | 5.17 | (11.62) | 5.09 | 3.25 |
Total from investment operations | 1.18 | 3.42 | 5.35 | (11.44) | 5.34 | 3.44 |
Distributions from net investment income | - | (.21) | (.20) | (.16) | (.26) | (.32) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.22) | (.21) J | (.81) | (9.01) | (3.03) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.62 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 |
Total Return B,C,D | 5.03% | 16.94% | 35.46% | (42.69)% | 17.30% | 11.43% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of fee waivers, if any | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of all reductions | .87% A | .88% | .90% | .90% | .89% | .90% |
Net investment income (loss) | .67% A | .81% | 1.08% | .82% | .75% | .60% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 10,156 | $ 10,942 | $ 13,285 | $ 13,585 | $ 35,606 | $ 26,707 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.21 per share is comprised of distributions from net investment income of $.200 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Investor Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 | $ 31.00 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .10 | .21 | .21 | .21 | .30 | .23 |
Net realized and unrealized gain (loss) | 1.12 | 3.30 | 5.25 | (11.83) | 5.16 | 3.30 |
Total from investment operations | 1.22 | 3.51 | 5.46 | (11.62) | 5.46 | 3.53 |
Distributions from net investment income | - | (.26) | (.24) | (.21) | (.30) | (.41) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.27) | (.24) J | (.86) | (9.05) | (3.12) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.02 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 |
Total Return B,C,D | 5.13% | 17.10% | 35.66% | (42.60)% | 17.47% | 11.60% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .73% A | .74% | .77% | .75% | .76% | .78% |
Expenses net of fee waivers, if any | .73% A | .73% | .77% | .75% | .76% | .78% |
Expenses net of all reductions | .71% A | .72% | .75% | .74% | .75% | .78% |
Net investment income (loss) | .84% A | .98% | 1.23% | .98% | .89% | .73% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 629,801 | $ 570,841 | $ 457,476 | $ 324,919 | $ 532,268 | $ 315,995 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.24 per share is comprised of distributions from net investment income of $.235 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
1. Organization.
VIP Contrafund Portfolio (the Fund) is a fund of Variable Insurance Products Fund 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 Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares, Service Class 2R shares, and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2011, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to future transactions, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 2,820,542,961 |
Gross unrealized depreciation | (603,990,219) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 2,216,552,742 |
Tax cost | $ 15,037,743,740 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
Trading (Redemption) Fees. Service Class 2 R shares held by investors less than 60 days are subject to a redemption fee equal to 1% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
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.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its investment objectives. The strategy is to use derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Derivative Instruments - continued
Futures Contracts - continued
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
During the period the Fund recognized net realized gain (loss) of $3,951,732 and a change in net unrealized appreciation (depreciation) of $2,499,092 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $12,379,886,770 and $12,964,981,350, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and a group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's and Service Class 2R's average net assets.
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 710,767 |
Service Class 2 | 9,845,534 |
Service Class 2 R | 13,716 |
| $ 10,570,017 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0045% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 2,642,373 |
Service Class | 514,357 |
Service Class 2 | 2,840,109 |
Service Class 2R | 3,942 |
Investor Class | 485,252 |
| $ 6,486,033 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commission paid to these affiliated firms were $612,966 for the period.
Semiannual Report
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $29,716 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. The lending agent may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. At period end, there were no security loans outstanding with FCM. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and 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 $1,117,070, including $5,467 from securities loaned to FCM.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $1,664,395 for the period.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Initial Class | $ - | $ 82,141,064 |
Service Class | - | 14,096,830 |
Service Class 2 | - | 71,159,779 |
Service Class 2R | - | 100,197 |
Investor Class | - | 6,111,872 |
Total | $ - | $ 173,609,742 |
From net realized gain |
|
|
Initial Class | $ - | $ 2,975,123 |
Service Class | - | 575,173 |
Service Class 2 | - | 3,224,769 |
Service Class 2R | - | 4,617 |
Investor Class | - | 236,128 |
Total | $ - | $ 7,015,810 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
| Six months ended June 30, | Year ended | Six months ended June 30, | Year ended |
Initial Class |
|
|
|
|
Shares sold | 4,575,781 | 11,081,201 | $ 114,216,476 | $ 237,555,506 |
Reinvestment of distributions | - | 3,639,831 | - | 85,116,187 |
Shares redeemed | (18,997,971) | (74,008,339) | (474,813,022) | (1,628,773,596) |
Net increase (decrease) | (14,422,190) | (59,287,307) | $ (360,596,546) | $ (1,306,101,903) |
Service Class |
|
|
|
|
Shares sold | 2,770,730 | 4,235,533 | $ 69,050,847 | $ 89,409,017 |
Reinvestment of distributions | - | 631,651 | - | 14,672,003 |
Shares redeemed | (4,250,567) | (33,788,989) | (105,747,717) | (763,918,858) |
Net increase (decrease) | (1,479,837) | (28,921,805) | $ (36,696,870) | $ (659,837,838) |
Service Class 2 |
|
|
|
|
Shares sold | 14,536,116 | 29,628,488 | $ 356,691,976 | $ 621,610,993 |
Reinvestment of distributions | - | 3,238,949 | - | 74,384,548 |
Shares redeemed | (23,408,649) | (81,615,457) | (573,765,104) | (1,716,672,110) |
Net increase (decrease) | (8,872,533) | (48,748,020) | $ (217,073,128) | $ (1,020,676,569) |
Service Class 2R |
|
|
|
|
Shares sold | 43,550 | 104,398 | $ 1,086,108 | $ 2,198,967 |
Reinvestment of distributions | - | 4,580 | - | 104,814 |
Shares redeemed | (97,917) | (298,461) | (2,366,053) | (6,070,211) |
Net increase (decrease) | (54,367) | (189,483) | $ (1,279,945) | $ (3,766,430) |
Investor Class |
|
|
|
|
Shares sold | 1,941,331 | 3,515,764 | $ 48,240,164 | $ 76,017,353 |
Reinvestment of distributions | - | 272,002 | - | 6,348,000 |
Shares redeemed | (755,869) | (2,058,150) | (18,803,156) | (42,962,962) |
Net increase (decrease) | 1,185,462 | 1,729,616 | $ 29,437,008 | $ 39,402,391 |
13. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, two otherwise unaffiliated shareholders were the owners of 29% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research (U.K.) Inc.
Fidelity Management & Research (Hong Kong) Limited
Fidelity Management & Research (Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Brown Brothers Harriman & Co.
Boston, MA
VIPCON-SANN-0811
1.705691.113
Fidelity® Variable Insurance Products:
Contrafund Portfolio - Service Class 2R
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their | |
Financial Statements | Statements of assets and liabilities, operations, and | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site a http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Initial Class | .64% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.90 | $ 3.26 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.62 | $ 3.21 |
Service Class | .74% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.20 | $ 3.76 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.12 | $ 3.71 |
Service Class 2 | .89% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,050.20 | $ 4.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Service Class 2R | .89% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,050.30 | $ 4.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.38 | $ 4.46 |
Investor Class | .73% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,051.30 | $ 3.71 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 3.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 3.8 | 4.5 |
Wells Fargo & Co. | 2.2 | 1.5 |
Citigroup, Inc. | 2.0 | 1.8 |
Procter & Gamble Co. | 2.0 | 2.1 |
The Coca-Cola Co. | 1.7 | 1.7 |
QUALCOMM, Inc. | 1.7 | 0.4 |
Google, Inc. Class A | 1.6 | 0.0 |
Royal Dutch Shell PLC Class B sponsored ADR | 1.3 | 1.6 |
MetLife, Inc. | 1.2 | 1.0 |
U.S. Bancorp, Delaware | 1.2 | 0.6 |
| 18.7 | |
Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 18.6 | 18.8 |
Financials | 14.9 | 16.2 |
Energy | 12.4 | 11.8 |
Industrials | 11.1 | 11.1 |
Health Care | 11.0 | 10.4 |
Consumer Staples | 10.3 | 10.3 |
Consumer Discretionary | 10.1 | 10.0 |
Utilities | 3.3 | 3.2 |
Materials | 3.2 | 3.4 |
Telecommunication Services | 3.2 | 3.3 |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011* | As of December 31, 2010** | ||||||
Stocks and |
| Stocks and |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 20.8% |
| ** Foreign investments | 16.2% |
|
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.4% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.4% | |||
Distributors - 0.0% | |||
Indiabulls Wholesale Services Ltd. | 676,542 | $ 157,653 | |
Hotels, Restaurants & Leisure - 2.2% | |||
Arcos Dorados Holdings, Inc. | 1,711,300 | 36,091,317 | |
Betfair Group PLC (d) | 2,844,952 | 34,540,757 | |
Las Vegas Sands Corp. (a) | 2,220,086 | 93,709,830 | |
Pinnacle Entertainment, Inc. (a) | 2,099,550 | 31,283,295 | |
Starbucks Corp. | 2,428,269 | 95,892,343 | |
Yum! Brands, Inc. | 1,573,027 | 86,894,011 | |
| 378,411,553 | ||
Internet & Catalog Retail - 1.1% | |||
Amazon.com, Inc. (a) | 501,797 | 102,612,469 | |
Priceline.com, Inc. (a) | 179,723 | 92,005,595 | |
| 194,618,064 | ||
Leisure Equipment & Products - 0.3% | |||
Hasbro, Inc. | 1,090,187 | 47,891,915 | |
Media - 3.3% | |||
DIRECTV (a) | 3,310,163 | 168,222,484 | |
Focus Media Holding Ltd. ADR (a) | 738,760 | 22,975,436 | |
Legend Pictures LLC (g)(h) | 6,611 | 4,958,250 | |
Pandora Media, Inc. | 332,062 | 6,279,292 | |
The Walt Disney Co. | 4,794,773 | 187,187,938 | |
The Weinstein Co. II Holdings, LLC | 11,499 | 4,312,125 | |
Time Warner, Inc. | 4,432,793 | 161,220,681 | |
| 555,156,206 | ||
Multiline Retail - 0.4% | |||
Dollar General Corp. (a) | 2,042,369 | 69,215,885 | |
Specialty Retail - 1.5% | |||
Abercrombie & Fitch Co. Class A | 1,364,974 | 91,344,060 | |
Limited Brands, Inc. | 2,367,999 | 91,049,562 | |
Urban Outfitters, Inc. (a) | 107,978 | 3,039,581 | |
Williams-Sonoma, Inc. | 1,687,300 | 61,569,577 | |
| 247,002,780 | ||
Textiles, Apparel & Luxury Goods - 0.6% | |||
Crocs, Inc. (a) | 1,904,753 | 49,047,390 | |
LVMH Moet Hennessy - Louis Vuitton | 207,503 | 37,346,853 | |
Under Armour, Inc. Class A | 306,759 | 23,715,538 | |
| 110,109,781 | ||
TOTAL CONSUMER DISCRETIONARY | 1,602,563,837 | ||
CONSUMER STAPLES - 10.3% | |||
Beverages - 4.0% | |||
Anheuser-Busch InBev SA NV | 799,065 | 46,380,465 | |
Coca-Cola Bottling Co. Consolidated | 127,918 | 8,654,932 | |
Coca-Cola FEMSA SAB de CV sponsored ADR | 98,047 | 9,119,351 | |
Coca-Cola Icecek AS | 578,362 | 8,534,144 | |
| |||
Shares | Value | ||
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR | 275,170 | $ 9,281,484 | |
Constellation Brands, Inc. Class A | 2,546,231 | 53,012,529 | |
Diageo PLC sponsored ADR | 771,483 | 63,161,313 | |
Embotelladora Andina SA sponsored ADR | 317,936 | 9,172,454 | |
Molson Coors Brewing Co. Class B | 1,308,542 | 58,544,169 | |
PepsiCo, Inc. | 868,850 | 61,193,106 | |
Pernod-Ricard SA | 477,279 | 47,048,680 | |
Remy Cointreau SA | 166,595 | 14,023,203 | |
The Coca-Cola Co. | 4,414,620 | 297,059,780 | |
| 685,185,610 | ||
Food & Staples Retailing - 1.1% | |||
CVS Caremark Corp. | 4,267,217 | 160,362,015 | |
Fresh Market, Inc. | 19,700 | 761,996 | |
Walgreen Co. | 665,745 | 28,267,533 | |
| 189,391,544 | ||
Food Products - 0.9% | |||
Archer Daniels Midland Co. | 329,171 | 9,924,506 | |
Bunge Ltd. | 395,748 | 27,286,825 | |
Danone | 251,700 | 18,781,334 | |
Green Mountain Coffee Roasters, Inc. (a) | 59,272 | 5,290,619 | |
Nestle SA | 488,924 | 30,386,914 | |
Unilever NV unit | 1,662,247 | 54,604,814 | |
Viterra, Inc. | 429,900 | 4,671,663 | |
| 150,946,675 | ||
Household Products - 2.3% | |||
Colgate-Palmolive Co. | 519,366 | 45,397,782 | |
Procter & Gamble Co. | 5,376,525 | 341,785,694 | |
| 387,183,476 | ||
Personal Products - 0.6% | |||
Avon Products, Inc. | 1,840,909 | 51,545,452 | |
L'Oreal SA | 370,500 | 48,123,826 | |
Nu Skin Enterprises, Inc. Class A | 50,000 | 1,877,500 | |
| 101,546,778 | ||
Tobacco - 1.4% | |||
Altria Group, Inc. | 754,266 | 19,920,165 | |
British American Tobacco PLC sponsored ADR | 1,771,568 | 155,897,984 | |
Philip Morris International, Inc. | 892,374 | 59,583,812 | |
Souza Cruz Industria Comerico | 724,800 | 9,220,760 | |
| 244,622,721 | ||
TOTAL CONSUMER STAPLES | 1,758,876,804 | ||
ENERGY - 12.4% | |||
Energy Equipment & Services - 4.0% | |||
Aker Drilling ASA (a) | 852,600 | 2,655,287 | |
Aker Solutions ASA | 697,700 | 13,968,486 | |
Baker Hughes, Inc. | 1,821,788 | 132,188,937 | |
C&J Energy Services, Inc. (a)(e) | 482,300 | 7,475,650 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Discovery Offshore S.A. (a)(e) | 1,310,900 | $ 2,600,221 | |
Dresser-Rand Group, Inc. (a) | 319,476 | 17,171,835 | |
Ensco International Ltd. ADR | 488,601 | 26,042,433 | |
Halliburton Co. | 3,158,832 | 161,100,432 | |
National Oilwell Varco, Inc. | 902,457 | 70,581,162 | |
Noble Corp. | 1,435,500 | 56,573,055 | |
Ocean Rig UDW, Inc. (a) | 134,000 | 2,459,217 | |
Oceaneering International, Inc. | 726,406 | 29,419,443 | |
Saipem SpA | 445,866 | 23,020,365 | |
Schlumberger Ltd. | 761,579 | 65,800,426 | |
TETRA Technologies, Inc. (a) | 559,100 | 7,117,343 | |
Transocean Ltd. (United States) | 885,275 | 57,153,354 | |
Vantage Drilling Co. (a) | 5,923,400 | 10,780,588 | |
| 686,108,234 | ||
Oil, Gas & Consumable Fuels - 8.4% | |||
Alpha Natural Resources, Inc. (a) | 691,722 | 31,431,848 | |
Anadarko Petroleum Corp. | 424,317 | 32,570,573 | |
Apache Corp. | 1,008,383 | 124,424,378 | |
BP PLC | 1,029,933 | 7,583,144 | |
BP PLC sponsored ADR | 2,189,408 | 96,968,880 | |
Canadian Natural Resources Ltd. | 979,800 | 41,075,606 | |
CVR Energy, Inc. (a) | 345,840 | 8,514,581 | |
Exxon Mobil Corp. | 2,309,733 | 187,966,072 | |
Falkland Oil & Gas Ltd. (a) | 844,214 | 765,507 | |
Frontier Oil Corp. | 619,878 | 20,028,258 | |
Holly Corp. | 1,045,586 | 72,563,668 | |
InterOil Corp. (a)(d) | 370,048 | 21,651,508 | |
Kosmos Energy Ltd. | 312,100 | 5,299,458 | |
Marathon Oil Corp. | 2,669,080 | 140,607,134 | |
Niko Resources Ltd. | 284,322 | 17,750,962 | |
Occidental Petroleum Corp. | 1,350,811 | 140,538,376 | |
Petrobank Energy & Resources Ltd. (a) | 1,117,300 | 16,404,985 | |
Repsol YPF SA (d) | 1,239,758 | 43,044,624 | |
Resolute Energy Corp. (a)(d) | 1,120,068 | 18,100,299 | |
Rockhopper Exploration PLC (a) | 260,700 | 1,125,489 | |
Rodinia Oil Corp. (a) | 603,000 | 756,564 | |
Royal Dutch Shell PLC: | |||
Class A sponsored ADR (d) | 89,833 | 6,389,821 | |
Class B sponsored ADR | 3,003,962 | 215,534,274 | |
Talisman Energy, Inc. | 2,558,000 | 52,544,567 | |
Targa Resources Corp. | 256,400 | 8,579,144 | |
Western Refining, Inc. (a)(d) | 796,928 | 14,400,489 | |
Whiting Petroleum Corp. (a) | 797,900 | 45,408,489 | |
Williams Companies, Inc. | 1,619,100 | 48,977,775 | |
| 1,421,006,473 | ||
TOTAL ENERGY | 2,107,114,707 | ||
| |||
Shares | Value | ||
FINANCIALS - 14.9% | |||
Capital Markets - 2.2% | |||
E*TRADE Financial Corp. (a) | 2,201,300 | $ 30,377,940 | |
Evercore Partners, Inc. Class A | 370,900 | 12,358,388 | |
ICAP PLC | 1,181,055 | 8,965,598 | |
Invesco Ltd. | 1,190,307 | 27,853,184 | |
Morgan Stanley | 4,319,434 | 99,390,176 | |
State Street Corp. | 3,489,626 | 157,347,236 | |
TD Ameritrade Holding Corp. | 1,693,700 | 33,044,087 | |
| 369,336,609 | ||
Commercial Banks - 5.0% | |||
Banco Macro SA sponsored ADR | 192,634 | 7,270,007 | |
BB&T Corp. | 1,800,175 | 48,316,697 | |
CIT Group, Inc. (a) | 435,536 | 19,276,823 | |
Comerica, Inc. | 328,979 | 11,372,804 | |
FirstMerit Corp. | 1,155,485 | 19,077,057 | |
Huntington Bancshares, Inc. | 6,807,180 | 44,655,101 | |
KeyCorp | 2,271,210 | 18,919,179 | |
PT Bank Rakyat Indonesia Tbk | 11,438,500 | 8,669,090 | |
Regions Financial Corp. | 2,359,500 | 14,628,900 | |
Sumitomo Mitsui Financial Group, Inc. | 564,400 | 17,398,777 | |
SunTrust Banks, Inc. | 1,984,650 | 51,203,970 | |
Synovus Financial Corp. | 7,697,400 | 16,010,592 | |
U.S. Bancorp | 7,754,089 | 197,806,810 | |
Wells Fargo & Co. | 13,493,503 | 378,627,694 | |
| 853,233,501 | ||
Consumer Finance - 0.8% | |||
Capital One Financial Corp. | 956,086 | 49,400,964 | |
Discover Financial Services | 912,872 | 24,419,326 | |
Green Dot Corp. Class A (d) | 269,884 | 9,170,658 | |
Promise Co. Ltd. (d) | 1,275,900 | 10,860,830 | |
SLM Corp. | 2,485,408 | 41,779,708 | |
| 135,631,486 | ||
Diversified Financial Services - 2.5% | |||
African Bank Investments Ltd. | 3,022,441 | 15,385,314 | |
Citigroup, Inc. | 8,329,138 | 346,825,306 | |
CME Group, Inc. | 161,942 | 47,220,668 | |
ING Groep NV (Certificaten Van Aandelen) (a) | 662,900 | 8,170,100 | |
NBH Holdings Corp. Class A (a)(e) | 813,800 | 14,648,400 | |
| 432,249,788 | ||
Insurance - 2.8% | |||
ACE Ltd. | 576,032 | 37,914,426 | |
Amlin PLC | 2,072,127 | 13,505,085 | |
Aon Corp. | 641,639 | 32,916,081 | |
Berkshire Hathaway, Inc.: | |||
Class A (a) | 244 | 28,329,620 | |
Class B (a) | 1,021,614 | 79,062,707 | |
Fairfax Financial Holdings Ltd. | 126,300 | 50,551,431 | |
Genworth Financial, Inc. Class A (a) | 1,252,200 | 12,872,616 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Insurance - continued | |||
MetLife, Inc. | 4,763,477 | $ 208,973,736 | |
Validus Holdings Ltd. | 160,976 | 4,982,207 | |
| 469,107,909 | ||
Real Estate Investment Trusts - 1.1% | |||
Camden Property Trust (SBI) | 81,055 | 5,156,719 | |
Equity Lifestyle Properties, Inc. | 114,500 | 7,149,380 | |
Prologis, Inc. | 1,920,210 | 68,820,326 | |
Public Storage | 271,405 | 30,942,884 | |
SL Green Realty Corp. | 280,173 | 23,217,937 | |
The Macerich Co. | 614,099 | 32,854,297 | |
Weyerhaeuser Co. | 832,939 | 18,208,047 | |
| 186,349,590 | ||
Real Estate Management & Development - 0.3% | |||
Ayala Land, Inc. | 26,442,000 | 9,517,656 | |
BR Malls Participacoes SA | 1,699,600 | 19,433,643 | |
Indiabulls Real Estate Ltd. (a) | 4,749,934 | 11,978,603 | |
PT Lippo Karawaci Tbk | 164,758,750 | 12,486,851 | |
| 53,416,753 | ||
Thrifts & Mortgage Finance - 0.2% | |||
Ocwen Financial Corp. (a) | 2,435,410 | 31,075,832 | |
TOTAL FINANCIALS | 2,530,401,468 | ||
HEALTH CARE - 11.0% | |||
Biotechnology - 2.0% | |||
Amgen, Inc. (a) | 2,058,118 | 120,091,185 | |
AVEO Pharmaceuticals, Inc. (a) | 518,044 | 10,676,887 | |
AVEO Pharmaceuticals, Inc. | 107,096 | 2,207,249 | |
Biogen Idec, Inc. (a) | 946,924 | 101,245,114 | |
BioMarin Pharmaceutical, Inc. (a) | 786,430 | 21,398,760 | |
Gilead Sciences, Inc. (a) | 1,833,397 | 75,920,970 | |
Human Genome Sciences, Inc. (a) | 226,227 | 5,551,611 | |
Medivir AB (B Shares) (a) | 424,384 | 8,840,774 | |
| 345,932,550 | ||
Health Care Equipment & Supplies - 2.8% | |||
Baxter International, Inc. | 1,974,205 | 117,840,296 | |
Boston Scientific Corp. (a) | 6,787,739 | 46,903,276 | |
C. R. Bard, Inc. | 338,840 | 37,224,962 | |
Covidien PLC | 2,853,441 | 151,888,664 | |
Edwards Lifesciences Corp. (a) | 617,950 | 53,872,881 | |
Mako Surgical Corp. (a)(d) | 763,217 | 22,690,441 | |
Masimo Corp. | 421,879 | 12,521,369 | |
Quidel Corp. (a) | 1,433,104 | 21,711,526 | |
| |||
Shares | Value | ||
Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares) | 6,000,000 | $ 8,651,010 | |
William Demant Holding A/S (a) | 110,782 | 9,999,612 | |
| 483,304,037 | ||
Health Care Providers & Services - 2.8% | |||
CIGNA Corp. | 980,039 | 50,403,406 | |
HCA Holdings, Inc. | 874,800 | 28,868,400 | |
Henry Schein, Inc. (a) | 871,900 | 62,419,321 | |
McKesson Corp. | 1,363,177 | 114,029,756 | |
Medco Health Solutions, Inc. (a) | 967,136 | 54,662,527 | |
Omnicare, Inc. | 927,000 | 29,562,030 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 2,457,300 | 6,615,534 | |
UnitedHealth Group, Inc. | 2,485,468 | 128,200,439 | |
| 474,761,413 | ||
Life Sciences Tools & Services - 0.6% | |||
Agilent Technologies, Inc. (a) | 1,043,669 | 53,341,923 | |
Fluidigm Corp. (g) | 312,345 | 4,714,223 | |
Illumina, Inc. (a) | 499,691 | 37,551,779 | |
| 95,607,925 | ||
Pharmaceuticals - 2.8% | |||
Bayer AG | 195,832 | 15,745,800 | |
GlaxoSmithKline PLC sponsored ADR | 1,189,500 | 51,029,550 | |
Merck & Co., Inc. | 2,476,136 | 87,382,839 | |
Novo Nordisk A/S Series B | 139,257 | 17,448,399 | |
Pfizer, Inc. | 8,481,989 | 174,728,973 | |
Shire PLC sponsored ADR | 706,200 | 66,531,102 | |
Valeant Pharmaceuticals International, Inc. (Canada) | 1,234,060 | 64,172,656 | |
| 477,039,319 | ||
TOTAL HEALTH CARE | 1,876,645,244 | ||
INDUSTRIALS - 11.1% | |||
Aerospace & Defense - 4.3% | |||
Bombardier, Inc. Class B (sub. vtg.) | 5,908,400 | 42,579,200 | |
Goodrich Corp. | 864,497 | 82,559,464 | |
Honeywell International, Inc. | 1,725,275 | 102,809,137 | |
MTU Aero Engines Holdings AG | 262,160 | 20,942,003 | |
Precision Castparts Corp. | 563,798 | 92,829,341 | |
Safran SA | 905,465 | 38,673,619 | |
Textron, Inc. | 1,989,090 | 46,962,415 | |
The Boeing Co. | 1,630,892 | 120,571,846 | |
United Technologies Corp. | 2,175,851 | 192,584,572 | |
| 740,511,597 | ||
Building Products - 0.5% | |||
Armstrong World Industries, Inc. | 302,008 | 13,759,484 | |
Lennox International, Inc. | 666,725 | 28,715,846 | |
Owens Corning (a) | 1,113,601 | 41,592,997 | |
| 84,068,327 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Commercial Services & Supplies - 0.4% | |||
Republic Services, Inc. | 1,450,569 | $ 44,750,054 | |
Stericycle, Inc. (a) | 220,641 | 19,663,526 | |
Swisher Hygiene, Inc. (g) | 523,085 | 2,650,472 | |
Swisher Hygiene, Inc. (g) | 1,411,610 | 7,947,364 | |
| 75,011,416 | ||
Construction & Engineering - 0.4% | |||
Fluor Corp. | 557,350 | 36,038,251 | |
Foster Wheeler AG (a) | 1,046,432 | 31,790,604 | |
| 67,828,855 | ||
Electrical Equipment - 1.5% | |||
Acuity Brands, Inc. | 463,337 | 25,844,938 | |
Alstom SA (d) | 695,671 | 42,899,774 | |
Cooper Industries PLC Class A | 639,375 | 38,151,506 | |
Emerson Electric Co. | 1,221,886 | 68,731,088 | |
GrafTech International Ltd. (a) | 907,081 | 18,386,532 | |
Regal-Beloit Corp. | 815,326 | 54,439,317 | |
| 248,453,155 | ||
Industrial Conglomerates - 1.3% | |||
General Electric Co. | 9,178,319 | 173,103,096 | |
Tyco International Ltd. | 962,100 | 47,556,603 | |
| 220,659,699 | ||
Machinery - 1.6% | |||
Caterpillar, Inc. | 624,523 | 66,486,719 | |
Cummins, Inc. | 458,386 | 47,438,367 | |
Danaher Corp. | 1,746,704 | 92,557,845 | |
Fanuc Corp. | 123,300 | 20,613,483 | |
Pall Corp. | 431,673 | 24,272,973 | |
Vallourec SA | 105,698 | 12,875,147 | |
| 264,244,534 | ||
Road & Rail - 1.1% | |||
CSX Corp. | 3,062,505 | 80,298,881 | |
Union Pacific Corp. | 1,099,761 | 114,815,048 | |
| 195,113,929 | ||
TOTAL INDUSTRIALS | 1,895,891,512 | ||
INFORMATION TECHNOLOGY - 18.6% | |||
Communications Equipment - 2.5% | |||
Alcatel-Lucent SA sponsored ADR (a) | 7,564,602 | 43,647,754 | |
Aruba Networks, Inc. (a)(d) | 1,912,459 | 56,513,163 | |
Ciena Corp. (a) | 2,120,843 | 38,981,094 | |
Juniper Networks, Inc. (a) | 134,503 | 4,236,845 | |
QUALCOMM, Inc. | 4,917,309 | 279,253,978 | |
| 422,632,834 | ||
Computers & Peripherals - 5.4% | |||
Apple, Inc. (a) | 1,943,279 | 652,300,464 | |
EMC Corp. (a) | 6,539,426 | 180,161,186 | |
Imagination Technologies Group PLC (a) | 1,613,506 | 9,765,064 | |
| |||
Shares | Value | ||
SanDisk Corp. (a) | 401,908 | $ 16,679,182 | |
Western Digital Corp. (a) | 1,693,195 | 61,598,434 | |
| 920,504,330 | ||
Electronic Equipment & Components - 0.2% | |||
HLS Systems International Ltd. (a)(d) | 1,396,103 | 13,011,680 | |
TPK Holdings Co. | 384,000 | 11,667,274 | |
| 24,678,954 | ||
Internet Software & Services - 2.5% | |||
Baidu.com, Inc. sponsored ADR (a) | 316,227 | 44,312,890 | |
Dice Holdings, Inc. (a) | 865,054 | 11,695,530 | |
Google, Inc. Class A (a) | 531,564 | 269,173,378 | |
Mail.ru Group Ltd. GDR (a)(e) | 434,066 | 14,419,673 | |
Renren, Inc. ADR (d) | 1,501,199 | 13,285,611 | |
WebMD Health Corp. (a) | 1,297,812 | 59,154,271 | |
Yandex NV | 181,212 | 6,434,838 | |
| 418,476,191 | ||
IT Services - 1.0% | |||
Accenture PLC Class A | 1,159,236 | 70,041,039 | |
Cognizant Technology Solutions Corp. Class A (a) | 284,349 | 20,854,156 | |
Digital Garage, Inc. (a) | 3,663 | 14,953,199 | |
Visa, Inc. Class A | 799,609 | 67,375,054 | |
| 173,223,448 | ||
Semiconductors & Semiconductor Equipment - 4.2% | |||
Analog Devices, Inc. | 2,628,735 | 102,888,688 | |
ARM Holdings PLC sponsored ADR (d) | 2,640,098 | 75,057,986 | |
ASML Holding NV | 2,456,381 | 90,787,842 | |
Avago Technologies Ltd. | 1,398,625 | 53,147,750 | |
First Solar, Inc. (a)(d) | 324,438 | 42,913,414 | |
Inotera Memories, Inc. (a) | 44,304,698 | 13,615,174 | |
Intersil Corp. Class A | 1,381,863 | 17,756,940 | |
KLA-Tencor Corp. | 1,092,940 | 44,242,211 | |
Lam Research Corp. (a) | 1,053,975 | 46,670,013 | |
Marvell Technology Group Ltd. (a) | 4,744,052 | 70,045,928 | |
Micron Technology, Inc. (a) | 17,104,142 | 127,938,982 | |
Nanya Technology Corp. (a) | 25,007,159 | 7,033,630 | |
Omnivision Technologies, Inc. (a) | 727,817 | 25,335,310 | |
| 717,433,868 | ||
Software - 2.8% | |||
Ariba, Inc. (a) | 1,211,749 | 41,768,988 | |
Check Point Software Technologies Ltd. (a) | 3,284,692 | 186,734,740 | |
Fortinet, Inc. (a) | 990,572 | 27,032,710 | |
Microsoft Corp. | 6,740,351 | 175,249,126 | |
Nuance Communications, Inc. (a) | 881,133 | 18,917,926 | |
QLIK Technologies, Inc. | 92,899 | 3,164,140 | |
Taleo Corp. Class A (a) | 723,198 | 26,780,022 | |
| 479,647,652 | ||
TOTAL INFORMATION TECHNOLOGY | 3,156,597,277 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - 3.2% | |||
Chemicals - 1.9% | |||
Air Products & Chemicals, Inc. | 565,239 | $ 54,025,544 | |
Albemarle Corp. | 241,467 | 16,709,516 | |
Arkema SA | 214,900 | 22,125,416 | |
Ashland, Inc. | 583,816 | 37,726,190 | |
Celanese Corp. Class A | 580,328 | 30,937,286 | |
CF Industries Holdings, Inc. | 150,400 | 21,307,168 | |
Dow Chemical Co. | 646,814 | 23,285,304 | |
LyondellBasell Industries NV Class A | 922,661 | 35,540,902 | |
Monsanto Co. | 277,717 | 20,145,591 | |
Olin Corp. | 639,216 | 14,484,635 | |
Potash Corp. of Saskatchewan, Inc. | 216,100 | 12,342,169 | |
Solutia, Inc. (a) | 1,278,758 | 29,219,620 | |
The Mosaic Co. | 190,735 | 12,918,482 | |
| 330,767,823 | ||
Construction Materials - 0.1% | |||
HeidelbergCement AG | 127,334 | 8,130,207 | |
Containers & Packaging - 0.2% | |||
Ball Corp. | 680,519 | 26,172,761 | |
Rock-Tenn Co. Class A | 189,049 | 12,541,511 | |
| 38,714,272 | ||
Metals & Mining - 1.0% | |||
Anglo American PLC (United Kingdom) | 1,553,849 | 76,995,219 | |
AngloGold Ashanti Ltd. sponsored ADR | 855,627 | 36,013,340 | |
Carpenter Technology Corp. | 31,980 | 1,844,606 | |
MacArthur Coal Ltd. | 1,860,598 | 21,850,630 | |
Reliance Steel & Aluminum Co. | 407,400 | 20,227,410 | |
Walter Energy, Inc. | 81,773 | 9,469,313 | |
| 166,400,518 | ||
TOTAL MATERIALS | 544,012,820 | ||
TELECOMMUNICATION SERVICES - 3.2% | |||
Diversified Telecommunication Services - 2.1% | |||
AT&T, Inc. | 3,240,225 | 101,775,467 | |
CenturyLink, Inc. | 3,996,444 | 161,576,231 | |
Verizon Communications, Inc. | 2,403,913 | 89,497,681 | |
| 352,849,379 | ||
Wireless Telecommunication Services - 1.1% | |||
America Movil SAB de CV Series L sponsored ADR | 101,900 | 5,490,372 | |
American Tower Corp. Class A (a) | 1,764,263 | 92,323,883 | |
Clearwire Corp. Class A (a)(d) | 5,717,958 | 21,613,881 | |
MetroPCS Communications, Inc. (a) | 747,336 | 12,861,653 | |
Sprint Nextel Corp. (a) | 2,899,625 | 15,628,979 | |
Vodafone Group PLC | 8,171,800 | 21,668,011 | |
Vodafone Group PLC sponsored ADR | 604,000 | 16,138,880 | |
| 185,725,659 | ||
TOTAL TELECOMMUNICATION SERVICES | 538,575,038 | ||
| |||
Shares | Value | ||
UTILITIES - 3.3% | |||
Electric Utilities - 1.7% | |||
American Electric Power Co., Inc. | 560,055 | $ 21,102,872 | |
Edison International | 1,890,816 | 73,269,120 | |
Exelon Corp. | 1,210,935 | 51,876,455 | |
FirstEnergy Corp. | 985,056 | 43,490,222 | |
NextEra Energy, Inc. | 1,804,414 | 103,681,628 | |
| 293,420,297 | ||
Independent Power Producers & Energy Traders - 0.5% | |||
Constellation Energy Group, Inc. | 1,020,808 | 38,749,872 | |
NRG Energy, Inc. (a) | 647,157 | 15,907,119 | |
The AES Corp. (a) | 2,316,729 | 29,515,127 | |
| 84,172,118 | ||
Multi-Utilities - 1.1% | |||
NiSource, Inc. | 622,235 | 12,600,259 | |
PG&E Corp. | 1,261,574 | 53,023,955 | |
Public Service Enterprise Group, Inc. | 2,074,756 | 67,720,036 | |
Sempra Energy | 1,034,866 | 54,723,714 | |
| 188,067,964 | ||
TOTAL UTILITIES | 565,660,379 | ||
TOTAL COMMON STOCKS (Cost $14,222,514,263) | 16,576,339,086 | ||
Nonconvertible Preferred Stocks - 0.7% | |||
|
|
|
|
CONSUMER DISCRETIONARY - 0.7% | |||
Automobiles - 0.7% | |||
Volkswagen AG (Cost $85,952,223) | 571,804 | 118,049,054 |
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.02% to 0.04% 9/15/11 (f) | $ 8,250,000 | 8,249,654 |
Money Market Funds - 3.2% | |||
Shares | Value | ||
Fidelity Cash Central Fund, 0.11% (b) | 384,890,130 | $ 384,890,130 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c) | 166,768,558 | 166,768,558 | |
TOTAL MONEY MARKET FUNDS (Cost $551,658,688) | 551,658,688 | ||
TOTAL INVESTMENT PORTFOLIO - 101.4% (Cost $14,868,374,546) | 17,254,296,482 | ||
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (239,191,408) | ||
NET ASSETS - 100% | $ 17,015,105,074 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
1,935 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 127,274,625 | $ 4,094,071 |
The face value of futures purchased as a percentage of net assets is 0.7% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security 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 $39,143,944 or 0.2% of net assets. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $8,249,654. |
(g) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $24,582,434 or 0.1% of net assets. |
(h) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Fluidigm Corp. | 10/9/07 - 1/6/11 | $ 5,645,227 |
Legend Pictures LLC | 9/23/10 | $ 4,958,250 |
Swisher Hygiene, Inc. | 3/22/11 | $ 7,058,050 |
Swisher Hygiene, Inc. | 4/15/11 | $ 4,027,755 |
The Weinstein Co. II Holdings, LLC Class A-1 | 10/19/05 | $ 11,499,000 |
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 | $ 276,672 |
Fidelity Securities Lending Cash Central Fund | 1,117,070 |
Total | $ 1,393,742 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 1,720,612,891 | $ 1,711,184,863 | $ - | $ 9,428,028 |
Consumer Staples | 1,758,876,804 | 1,712,496,339 | 46,380,465 | - |
Energy | 2,107,114,707 | 2,092,055,913 | 7,583,144 | 7,475,650 |
Financials | 2,530,401,468 | 2,479,323,361 | 36,429,707 | 14,648,400 |
Health Care | 1,876,645,244 | 1,854,482,622 | 22,162,622 | - |
Industrials | 1,895,891,512 | 1,864,680,193 | 31,211,319 | - |
Information Technology | 3,156,597,277 | 3,141,644,078 | 14,953,199 | - |
Materials | 544,012,820 | 544,012,820 | - | - |
Telecommunication Services | 538,575,038 | 516,907,027 | 21,668,011 | - |
Utilities | 565,660,379 | 565,660,379 | - | - |
U.S. Government and Government Agency Obligations | 8,249,654 | - | 8,249,654 | - |
Money Market Funds | 551,658,688 | 551,658,688 | - | - |
Total Investments in Securities: | $ 17,254,296,482 | $ 17,034,106,283 | $ 188,638,121 | $ 31,552,078 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 4,094,071 | $ 4,094,071 | $ - | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 28,027,598 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | 1,429,860 |
Cost of Purchases | 158,917 |
Proceeds of Sales | (2,887,297) |
Amortization/Accretion | - |
Transfers in to Level 3 | 4,823,000 |
Transfers out of Level 3 | - |
Ending Balance | $ 31,552,078 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2011 | $ 1,430,686 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 4,094,071 | $ - |
Total Value of Derivatives | $ 4,094,071 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 79.2% |
United Kingdom | 5.2% |
France | 2.0% |
Canada | 1.9% |
Switzerland | 1.5% |
Ireland | 1.5% |
Israel | 1.1% |
Netherlands | 1.0% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 5.6% |
| 100.0% |
Income Tax Information |
At December 31, 2010, the Fund had a capital loss carryforward of approximately $4,050,914,844 of which $1,715,915,916 and $2,334,998,928 will expire in fiscal 2016 and 2017, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2011 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $163,488,058) - See accompanying schedule: Unaffiliated issuers (cost $14,316,715,858) | $ 16,702,637,794 |
|
Fidelity Central Funds (cost $551,658,688) | 551,658,688 |
|
Total Investments (cost $14,868,374,546) |
| $ 17,254,296,482 |
Cash | 2,404,120 | |
Receivable for investments sold | 242,063,461 | |
Receivable for fund shares sold | 9,648,340 | |
Dividends receivable | 21,873,841 | |
Distributions receivable from Fidelity Central Funds | 189,784 | |
Receivable for daily variation on futures contracts | 1,083,590 | |
Other receivables | 1,348,975 | |
Total assets | 17,532,908,593 | |
|
|
|
Liabilities | ||
Payable to Custodian Bank | $ 1,802,521 | |
Payable for investments purchased | 326,616,122 | |
Payable for fund shares redeemed | 11,140,775 | |
Accrued management fee | 7,709,221 | |
Distribution and service plan fees payable | 1,705,246 | |
Other affiliated payables | 1,088,446 | |
Other payables and accrued expenses | 972,630 | |
Collateral on securities loaned, at value | 166,768,558 | |
Total liabilities | 517,803,519 | |
|
|
|
Net Assets | $ 17,015,105,074 | |
Net Assets consist of: |
| |
Paid in capital | $ 17,756,843,284 | |
Undistributed net investment income | 57,732,774 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,189,594,163) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 2,390,123,179 | |
Net Assets | $ 17,015,105,074 |
Statement of Assets and Liabilities - continued
| June 30, 2011 (Unaudited) | |
Initial Class: | $ 25.12 | |
|
|
|
Service Class: | $ 25.03 | |
|
|
|
Service Class 2: | $ 24.67 | |
|
|
|
Service Class 2R: | $ 24.62 | |
|
|
|
Investor Class: | $ 25.02 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended June 30, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 131,977,976 |
Interest |
| 6,066 |
Income from Fidelity Central Funds |
| 1,393,742 |
Total income |
| 133,377,784 |
|
|
|
Expenses | ||
Management fee | $ 47,953,620 | |
Transfer agent fees | 6,486,033 | |
Distribution and service plan fees | 10,570,017 | |
Accounting and security lending fees | 804,378 | |
Custodian fees and expenses | 295,918 | |
Independent trustees' compensation | 44,398 | |
Appreciation in deferred trustee compensation account | 31 | |
Audit | 56,677 | |
Legal | 15,474 | |
Miscellaneous | 111,542 | |
Total expenses before reductions | 66,338,088 | |
Expense reductions | (1,664,395) | 64,673,693 |
Net investment income (loss) | 68,704,091 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,113,592,093 | |
Foreign currency transactions | (743,615) | |
Futures contracts | 3,951,732 | |
Total net realized gain (loss) |
| 1,116,800,210 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (335,764,041) | |
Assets and liabilities in foreign currencies | 61,422 | |
Futures contracts | 2,499,092 | |
Total change in net unrealized appreciation (depreciation) |
| (333,203,527) |
Net gain (loss) | 783,596,683 | |
Net increase (decrease) in net assets resulting from operations | $ 852,300,774 |
Statement of Changes in Net Assets
| Six months ended June 30, 2011 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 68,704,091 | $ 156,808,770 |
Net realized gain (loss) | 1,116,800,210 | 1,213,062,242 |
Change in net unrealized appreciation (depreciation) | (333,203,527) | 1,272,193,349 |
Net increase (decrease) in net assets resulting from operations | 852,300,774 | 2,642,064,361 |
Distributions to shareholders from net investment income | - | (173,609,742) |
Distributions to shareholders from net realized gain | - | (7,015,810) |
Total distributions | - | (180,625,552) |
Share transactions - net increase (decrease) | (586,209,481) | (2,950,980,349) |
Redemption fees | 8,364 | 1,677 |
Total increase (decrease) in net assets | 266,099,657 | (489,539,863) |
|
|
|
Net Assets | ||
Beginning of period | 16,749,005,417 | 17,238,545,280 |
End of period (including undistributed net investment income of $57,732,774 and distributions in excess of net investment income of $10,971,317, respectively) | $ 17,015,105,074 | $ 16,749,005,417 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 | $ 31.03 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .12 | .23 | .23 | .24 | .34 | .27 |
Net realized and unrealized gain (loss) | 1.12 | 3.31 | 5.26 | (11.87) | 5.17 | 3.30 |
Total from investment operations | 1.24 | 3.54 | 5.49 | (11.63) | 5.51 | 3.57 |
Distributions from net investment income | - | (.27) | (.25) | (.23) | (.33) | (.42) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.28) | (.26) J | (.88) | (9.08) | (3.13) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.12 | $ 23.88 | $ 20.62 | $ 15.39 | $ 27.90 | $ 31.47 |
Total Return B,C,D | 5.19% | 17.22% | 35.71% | (42.51)% | 17.59% | 11.72% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .64% A | .65% | .67% | .66% | .65% | .66% |
Expenses net of fee waivers, if any | .64% A | .65% | .67% | .66% | .65% | .66% |
Expenses net of all reductions | .62% A | .63% | .65% | .65% | .64% | .65% |
Net investment income (loss) | .92% A | 1.06% | 1.33% | 1.07% | 1.00% | .85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 7,168,489 | $ 7,160,125 | $ 7,405,228 | $ 6,240,871 | $ 12,371,009 | $ 11,595,588 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.26 per share is comprised of distributions from net investment income of $.250 and distributions from net realized gain of $.005 per share. |
Financial Highlights - Service Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 | $ 30.93 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .10 | .20 | .21 | .21 | .30 | .24 |
Net realized and unrealized gain (loss) | 1.12 | 3.31 | 5.25 | (11.83) | 5.16 | 3.28 |
Total from investment operations | 1.22 | 3.51 | 5.46 | (11.62) | 5.46 | 3.52 |
Distributions from net investment income | - | (.24) | (.23) | (.20) | (.29) | (.36) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.25) | (.24) J | (.85) | (9.04) | (3.07) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.03 | $ 23.81 | $ 20.55 | $ 15.33 | $ 27.80 | $ 31.38 |
Total Return B,C,D | 5.12% | 17.11% | 35.66% | (42.61)% | 17.51% | 11.59% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .74% A | .75% | .77% | .76% | .75% | .76% |
Expenses net of fee waivers, if any | .74% A | .75% | .77% | .76% | .75% | .76% |
Expenses net of all reductions | .72% A | .73% | .75% | .75% | .74% | .75% |
Net investment income (loss) | .82% A | .96% | 1.23% | .97% | .90% | .75% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,412,944 | $ 1,379,305 | $ 1,784,820 | $ 1,497,734 | $ 3,008,644 | $ 2,766,343 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.24 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 | $ 30.69 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .17 | .18 | .18 | .25 | .19 |
Net realized and unrealized gain (loss) | 1.10 | 3.26 | 5.18 | (11.67) | 5.11 | 3.26 |
Total from investment operations | 1.18 | 3.43 | 5.36 | (11.49) | 5.36 | 3.45 |
Distributions from net investment income | - | (.22) | (.21) | (.18) | (.26) | (.32) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.23) | (.21) J | (.83) | (9.01) | (3.03) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.67 | $ 23.49 | $ 20.29 | $ 15.14 | $ 27.46 | $ 31.11 |
Total Return B,C,D | 5.02% | 16.93% | 35.47% | (42.69)% | 17.30% | 11.43% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of fee waivers, if any | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of all reductions | .87% A | .88% | .90% | .90% | .89% | .90% |
Net investment income (loss) | .67% A | .81% | 1.08% | .82% | .75% | .60% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 7,793,715 | $ 7,627,793 | $ 7,577,737 | $ 6,187,985 | $ 9,339,663 | $ 6,185,595 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.21 per share is comprised of distributions from net investment income of $.205 and distributions from net realized gain of $.005 per share. |
Financial Highlights - Service Class 2R
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 | $ 30.61 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .17 | .18 | .18 | .25 | .19 |
Net realized and unrealized gain (loss) | 1.10 | 3.25 | 5.17 | (11.62) | 5.09 | 3.25 |
Total from investment operations | 1.18 | 3.42 | 5.35 | (11.44) | 5.34 | 3.44 |
Distributions from net investment income | - | (.21) | (.20) | (.16) | (.26) | (.32) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.22) | (.21) J | (.81) | (9.01) | (3.03) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 24.62 | $ 23.44 | $ 20.24 | $ 15.10 | $ 27.35 | $ 31.02 |
Total Return B,C,D | 5.03% | 16.94% | 35.46% | (42.69)% | 17.30% | 11.43% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of fee waivers, if any | .89% A | .90% | .92% | .91% | .90% | .91% |
Expenses net of all reductions | .87% A | .88% | .90% | .90% | .89% | .90% |
Net investment income (loss) | .67% A | .81% | 1.08% | .82% | .75% | .60% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 10,156 | $ 10,942 | $ 13,285 | $ 13,585 | $ 35,606 | $ 26,707 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.21 per share is comprised of distributions from net investment income of $.200 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Investor Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 | $ 31.00 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .10 | .21 | .21 | .21 | .30 | .23 |
Net realized and unrealized gain (loss) | 1.12 | 3.30 | 5.25 | (11.83) | 5.16 | 3.30 |
Total from investment operations | 1.22 | 3.51 | 5.46 | (11.62) | 5.46 | 3.53 |
Distributions from net investment income | - | (.26) | (.24) | (.21) | (.30) | (.41) |
Distributions from net realized gain | - | (.01) | (.01) | (.65) | (8.75) | (2.71) |
Total distributions | - | (.27) | (.24) J | (.86) | (9.05) | (3.12) |
Redemption fees added to paid in capital E,I | - | - | - | - | - | - |
Net asset value, end of period | $ 25.02 | $ 23.80 | $ 20.56 | $ 15.34 | $ 27.82 | $ 31.41 |
Total Return B,C,D | 5.13% | 17.10% | 35.66% | (42.60)% | 17.47% | 11.60% |
Ratios to Average Net Assets F,H |
|
|
|
|
|
|
Expenses before reductions | .73% A | .74% | .77% | .75% | .76% | .78% |
Expenses net of fee waivers, if any | .73% A | .73% | .77% | .75% | .76% | .78% |
Expenses net of all reductions | .71% A | .72% | .75% | .74% | .75% | .78% |
Net investment income (loss) | .84% A | .98% | 1.23% | .98% | .89% | .73% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 629,801 | $ 570,841 | $ 457,476 | $ 324,919 | $ 532,268 | $ 315,995 |
Portfolio turnover rate G | 145% A | 117% | 145% | 172% | 134% | 75% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Amount represents less than $.01 per share. J Total distributions of $.24 per share is comprised of distributions from net investment income of $.235 and distributions from net realized gain of $.005 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
1. Organization.
VIP Contrafund Portfolio (the Fund) is a fund of Variable Insurance Products Fund 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 Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares, Service Class 2R shares, and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2011, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to future transactions, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 2,820,542,961 |
Gross unrealized depreciation | (603,990,219) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 2,216,552,742 |
Tax cost | $ 15,037,743,740 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
Trading (Redemption) Fees. Service Class 2 R shares held by investors less than 60 days are subject to a redemption fee equal to 1% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Operating Policies.
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.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its investment objectives. The strategy is to use derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Derivative Instruments - continued
Futures Contracts - continued
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
During the period the Fund recognized net realized gain (loss) of $3,951,732 and a change in net unrealized appreciation (depreciation) of $2,499,092 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $12,379,886,770 and $12,964,981,350, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and a group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's and Service Class 2R's average net assets.
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 710,767 |
Service Class 2 | 9,845,534 |
Service Class 2 R | 13,716 |
| $ 10,570,017 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0045% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 2,642,373 |
Service Class | 514,357 |
Service Class 2 | 2,840,109 |
Service Class 2R | 3,942 |
Investor Class | 485,252 |
| $ 6,486,033 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commission paid to these affiliated firms were $612,966 for the period.
Semiannual Report
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $29,716 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. The lending agent may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. At period end, there were no security loans outstanding with FCM. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and 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 $1,117,070, including $5,467 from securities loaned to FCM.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $1,664,395 for the period.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Initial Class | $ - | $ 82,141,064 |
Service Class | - | 14,096,830 |
Service Class 2 | - | 71,159,779 |
Service Class 2R | - | 100,197 |
Investor Class | - | 6,111,872 |
Total | $ - | $ 173,609,742 |
From net realized gain |
|
|
Initial Class | $ - | $ 2,975,123 |
Service Class | - | 575,173 |
Service Class 2 | - | 3,224,769 |
Service Class 2R | - | 4,617 |
Investor Class | - | 236,128 |
Total | $ - | $ 7,015,810 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
| Six months ended June 30, | Year ended | Six months ended June 30, | Year ended |
Initial Class |
|
|
|
|
Shares sold | 4,575,781 | 11,081,201 | $ 114,216,476 | $ 237,555,506 |
Reinvestment of distributions | - | 3,639,831 | - | 85,116,187 |
Shares redeemed | (18,997,971) | (74,008,339) | (474,813,022) | (1,628,773,596) |
Net increase (decrease) | (14,422,190) | (59,287,307) | $ (360,596,546) | $ (1,306,101,903) |
Service Class |
|
|
|
|
Shares sold | 2,770,730 | 4,235,533 | $ 69,050,847 | $ 89,409,017 |
Reinvestment of distributions | - | 631,651 | - | 14,672,003 |
Shares redeemed | (4,250,567) | (33,788,989) | (105,747,717) | (763,918,858) |
Net increase (decrease) | (1,479,837) | (28,921,805) | $ (36,696,870) | $ (659,837,838) |
Service Class 2 |
|
|
|
|
Shares sold | 14,536,116 | 29,628,488 | $ 356,691,976 | $ 621,610,993 |
Reinvestment of distributions | - | 3,238,949 | - | 74,384,548 |
Shares redeemed | (23,408,649) | (81,615,457) | (573,765,104) | (1,716,672,110) |
Net increase (decrease) | (8,872,533) | (48,748,020) | $ (217,073,128) | $ (1,020,676,569) |
Service Class 2R |
|
|
|
|
Shares sold | 43,550 | 104,398 | $ 1,086,108 | $ 2,198,967 |
Reinvestment of distributions | - | 4,580 | - | 104,814 |
Shares redeemed | (97,917) | (298,461) | (2,366,053) | (6,070,211) |
Net increase (decrease) | (54,367) | (189,483) | $ (1,279,945) | $ (3,766,430) |
Investor Class |
|
|
|
|
Shares sold | 1,941,331 | 3,515,764 | $ 48,240,164 | $ 76,017,353 |
Reinvestment of distributions | - | 272,002 | - | 6,348,000 |
Shares redeemed | (755,869) | (2,058,150) | (18,803,156) | (42,962,962) |
Net increase (decrease) | 1,185,462 | 1,729,616 | $ 29,437,008 | $ 39,402,391 |
13. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, two otherwise unaffiliated shareholders were the owners of 29% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research (U.K.) Inc.
Fidelity Management & Research (Hong Kong) Limited
Fidelity Management & Research (Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Servicing Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Brown Brothers Harriman & Co.
Boston, MA
VIPCONR-SANN-0811
1.833452.105
Fidelity® Variable Insurance Products:
Disciplined Small Cap Portfolio
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
Geode is a registered trademark of Geode Capital Management, LLC.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. 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 | Beginning | Ending | Expenses Paid |
Initial Class | .90% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,080.70 | $ 4.64 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.33 | $ 4.51 |
Service Class | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,081.50 | $ 5.16 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Service Class 2 | 1.23% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,079.80 | $ 6.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,018.70 | $ 6.16 |
Investor Class | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,080.90 | $ 5.06 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.93 | $ 4.91 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
GT Solar International, Inc. | 0.6 | 0.5 |
Crocs, Inc. | 0.6 | 0.2 |
Esterline Technologies Corp. | 0.6 | 0.3 |
EZCORP, Inc. (non-vtg.) Class A | 0.6 | 0.1 |
Wellcare Health Plans, Inc. | 0.6 | 0.0 |
MFA Financial, Inc. | 0.6 | 0.6 |
Dana Holding Corp. | 0.6 | 0.4 |
CBL & Associates Properties, Inc. | 0.6 | 0.0 |
Alaska Air Group, Inc. | 0.6 | 0.1 |
Iconix Brand Group, Inc. | 0.6 | 0.0 |
| 6.0 | |
Top Five Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 19.7 | 18.0 |
Financials | 18.2 | 15.3 |
Consumer Discretionary | 13.1 | 10.7 |
Industrials | 12.9 | 13.5 |
Health Care | 11.6 | 8.2 |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011 * | As of December 31, 2010 ** | ||||||
Stocks and |
| Stocks and |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 2.5% |
| ** Foreign investments | 2.9% |
|
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.1% | |||
Auto Components - 1.1% | |||
American Axle & Manufacturing Holdings, Inc. (a)(d) | 15,698 | $ 178,643 | |
Dana Holding Corp. (a) | 27,297 | 499,535 | |
Standard Motor Products, Inc. (d) | 9,770 | 148,797 | |
Superior Industries International, Inc. | 5,808 | 128,415 | |
| 955,390 | ||
Diversified Consumer Services - 0.8% | |||
Bridgepoint Education, Inc. (a)(d) | 14,155 | 353,875 | |
Mac-Gray Corp. | 125 | 1,931 | |
Sotheby's Class A (Ltd. vtg.) (d) | 6,728 | 292,668 | |
| 648,474 | ||
Hotels, Restaurants & Leisure - 1.8% | |||
AFC Enterprises, Inc. (a) | 1,779 | 29,265 | |
Ameristar Casinos, Inc. | 17,689 | 419,406 | |
Biglari Holdings, Inc. (a) | 370 | 144,689 | |
DineEquity, Inc. (a) | 6,511 | 340,330 | |
Domino's Pizza, Inc. (a) | 17,646 | 445,385 | |
Ruth's Hospitality Group, Inc. (a)(d) | 13,447 | 75,438 | |
Shuffle Master, Inc. (a) | 9,528 | 89,134 | |
| 1,543,647 | ||
Household Durables - 2.4% | |||
American Greetings Corp. Class A | 8,770 | 210,831 | |
Blyth, Inc. | 4,354 | 219,224 | |
Helen of Troy Ltd. (a)(d) | 12,145 | 419,367 | |
Hovnanian Enterprises, Inc. Class A (a)(d) | 9,332 | 22,490 | |
iRobot Corp. (a)(d) | 9,375 | 330,844 | |
Libbey, Inc. (a)(d) | 8,930 | 144,845 | |
Lifetime Brands, Inc. | 4,027 | 47,277 | |
Tempur-Pedic International, Inc. (a)(d) | 5,460 | 370,297 | |
Tupperware Brands Corp. | 4,570 | 308,247 | |
| 2,073,422 | ||
Leisure Equipment & Products - 0.8% | |||
Arctic Cat, Inc. (a) | 10,661 | 143,177 | |
Polaris Industries, Inc. | 3,355 | 372,975 | |
Steinway Musical Instruments, Inc. (a) | 642 | 16,493 | |
Sturm Ruger & Co., Inc. | 7,410 | 162,650 | |
| 695,295 | ||
Media - 0.5% | |||
Global Sources Ltd. (a) | 37,036 | 340,361 | |
Sinclair Broadcast Group, Inc. Class A | 10,873 | 119,386 | |
Valassis Communications, Inc. (a) | 3 | 91 | |
| 459,838 | ||
Multiline Retail - 0.4% | |||
Dillard's, Inc. Class A | 6,810 | 355,073 | |
Specialty Retail - 3.0% | |||
Conn's, Inc. (a) | 9,218 | 79,736 | |
Express, Inc. | 18,223 | 397,261 | |
Finish Line, Inc. Class A | 13,836 | 296,090 | |
| |||
Shares | Value | ||
Pier 1 Imports, Inc. (a)(d) | 38,369 | $ 443,929 | |
Rent-A-Center, Inc. | 11,620 | 355,107 | |
Select Comfort Corp. (a)(d) | 18,676 | 335,794 | |
The Cato Corp. Class A (sub. vtg.) | 13,825 | 398,160 | |
Tractor Supply Co. | 3,169 | 211,943 | |
| 2,518,020 | ||
Textiles, Apparel & Luxury Goods - 2.3% | |||
Crocs, Inc. (a)(d) | 19,895 | 512,296 | |
Deckers Outdoor Corp. (a) | 197 | 17,364 | |
Fossil, Inc. (a)(d) | 3,054 | 359,517 | |
Iconix Brand Group, Inc. (a)(d) | 19,874 | 480,951 | |
Maidenform Brands, Inc. (a)(d) | 6,412 | 177,356 | |
Movado Group, Inc. | 11,368 | 194,506 | |
Warnaco Group, Inc. (a)(d) | 1,970 | 102,933 | |
Wolverine World Wide, Inc. | 3,298 | 137,692 | |
| 1,982,615 | ||
TOTAL CONSUMER DISCRETIONARY | 11,231,774 | ||
CONSUMER STAPLES - 3.8% | |||
Beverages - 0.2% | |||
Coca-Cola Bottling Co. Consolidated | 2,321 | 157,039 | |
MGP Ingredients, Inc. (d) | 2,195 | 19,118 | |
National Beverage Corp. | 3,054 | 44,741 | |
| 220,898 | ||
Food & Staples Retailing - 0.6% | |||
PriceSmart, Inc. (d) | 8,712 | 446,316 | |
Spartan Stores, Inc. | 5,217 | 101,888 | |
| 548,204 | ||
Food Products - 2.1% | |||
B&G Foods, Inc. Class A | 20,402 | 420,689 | |
Darling International, Inc. (a) | 25,021 | 442,872 | |
Fresh Del Monte Produce, Inc. | 13,307 | 354,898 | |
Seneca Foods Corp. Class A (a) | 3,010 | 76,996 | |
Smart Balance, Inc. (a) | 36,332 | 188,200 | |
TreeHouse Foods, Inc. (a)(d) | 5,177 | 282,716 | |
| 1,766,371 | ||
Personal Products - 0.8% | |||
Elizabeth Arden, Inc. (a)(d) | 9,267 | 269,021 | |
Inter Parfums, Inc. | 6,961 | 160,312 | |
Nu Skin Enterprises, Inc. Class A | 6,031 | 226,464 | |
| 655,797 | ||
Tobacco - 0.1% | |||
Universal Corp. | 2,701 | 101,747 | |
TOTAL CONSUMER STAPLES | 3,293,017 | ||
ENERGY - 7.8% | |||
Energy Equipment & Services - 3.4% | |||
Bristow Group, Inc. | 6,153 | 313,926 | |
Complete Production Services, Inc. (a)(d) | 13,188 | 439,952 | |
Gulf Island Fabrication, Inc. (d) | 8,870 | 286,324 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Hercules Offshore, Inc. (a)(d) | 52,230 | $ 287,787 | |
ION Geophysical Corp. (a)(d) | 38,039 | 359,849 | |
Newpark Resources, Inc. (a)(d) | 45,717 | 414,653 | |
OYO Geospace Corp. (a)(d) | 3,904 | 390,400 | |
RigNet, Inc. | 9,580 | 162,860 | |
Tesco Corp. (a)(d) | 12,455 | 241,752 | |
| 2,897,503 | ||
Oil, Gas & Consumable Fuels - 4.4% | |||
Bill Barrett Corp. (a)(d) | 6,138 | 284,496 | |
Brigham Exploration Co. (a) | 874 | 26,159 | |
Callon Petroleum Co. (a) | 26,358 | 185,033 | |
CAMAC Energy, Inc. (a)(d) | 31,288 | 41,613 | |
Cloud Peak Energy, Inc. (a) | 15,691 | 334,218 | |
Crosstex Energy, Inc. (d) | 17,547 | 208,809 | |
CVR Energy, Inc. (a) | 18,895 | 465,195 | |
Delek US Holdings, Inc. | 8,075 | 126,778 | |
DHT Holdings, Inc. | 11,501 | 44,049 | |
Petroquest Energy, Inc. (a)(d) | 36,535 | 256,476 | |
Rex American Resources Corp. (a) | 4,391 | 72,891 | |
Stone Energy Corp. (a)(d) | 14,386 | 437,191 | |
Vaalco Energy, Inc. (a) | 52,171 | 314,069 | |
W&T Offshore, Inc. | 16,756 | 437,667 | |
Warren Resources, Inc. (a)(d) | 22,755 | 86,697 | |
Western Refining, Inc. (a)(d) | 23,594 | 426,344 | |
| 3,747,685 | ||
TOTAL ENERGY | 6,645,188 | ||
FINANCIALS - 18.2% | |||
Capital Markets - 1.6% | |||
American Capital Ltd. (a) | 38,904 | 386,317 | |
Arlington Asset Investment Corp. | 6,263 | 196,596 | |
Artio Global Investors, Inc. Class A | 6,918 | 78,173 | |
Gleacher & Co., Inc. (a) | 31,222 | 63,693 | |
Medallion Financial Corp. (d) | 1,963 | 19,139 | |
PennantPark Investment Corp. | 3,254 | 36,477 | |
Prospect Capital Corp. (d) | 5,045 | 51,005 | |
TICC Capital Corp. | 23,751 | 228,010 | |
Triangle Capital Corp. | 14,574 | 269,036 | |
| 1,328,446 | ||
Commercial Banks - 4.7% | |||
Alliance Financial Corp. | 1,836 | 56,053 | |
American National Bankshares, Inc. | 2,344 | 43,106 | |
BancFirst Corp. | 1,406 | 54,272 | |
Banco Latin Americano de Exportaciones SA (BLADEX) Series E | 20,868 | 361,434 | |
Bank of Marin Bancorp | 1,486 | 52,560 | |
Bank of the Ozarks, Inc. | 7,504 | 390,658 | |
Banner Bank | 20,795 | 363,913 | |
Citizens & Northern Corp. | 3,281 | 49,445 | |
| |||
Shares | Value | ||
Community Bank System, Inc. | 10,797 | $ 267,658 | |
Community Trust Bancorp, Inc. | 418 | 11,587 | |
Eagle Bancorp, Inc., Maryland (a) | 4,219 | 56,113 | |
Financial Institutions, Inc. | 1,340 | 22,003 | |
First Financial Bankshares, Inc. | 834 | 28,731 | |
First Merchants Corp. | 4,539 | 40,579 | |
Hanmi Financial Corp. (a) | 54,882 | 58,724 | |
Independent Bank Corp., Massachusetts | 1,161 | 30,476 | |
Lakeland Bancorp, Inc. | 2,670 | 26,647 | |
MainSource Financial Group, Inc. | 2,696 | 22,377 | |
Merchants Bancshares, Inc. | 9,453 | 231,315 | |
NBT Bancorp, Inc. | 1,132 | 25,051 | |
Orrstown Financial Services, Inc. | 867 | 22,811 | |
Pacific Capital Bancorp NA (a) | 11,791 | 374,836 | |
Prosperity Bancshares, Inc. | 10,441 | 457,525 | |
Renasant Corp. | 4,222 | 61,177 | |
Republic Bancorp, Inc., Kentucky Class A (d) | 11,900 | 236,810 | |
SCBT Financial Corp. | 2,157 | 61,863 | |
Signature Bank, New York (a) | 2,633 | 150,608 | |
Southside Bancshares, Inc. | 4,528 | 89,881 | |
Tompkins Financial Corp. | 12 | 471 | |
UMB Financial Corp. | 3,354 | 140,466 | |
Washington Banking Co., Oak Harbor | 1,453 | 19,209 | |
Washington Trust Bancorp, Inc. | 4,392 | 100,884 | |
WesBanco, Inc. | 6,695 | 131,624 | |
| 4,040,867 | ||
Consumer Finance - 2.0% | |||
Credit Acceptance Corp. (a)(d) | 2,339 | 197,575 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 14,318 | 509,363 | |
First Cash Financial Services, Inc. (a)(d) | 7,324 | 307,535 | |
Nelnet, Inc. Class A | 15,114 | 333,415 | |
World Acceptance Corp. (a)(d) | 5,634 | 369,421 | |
| 1,717,309 | ||
Diversified Financial Services - 0.5% | |||
Encore Capital Group, Inc. (a) | 7,168 | 220,201 | |
MarketAxess Holdings, Inc. | 3,768 | 94,426 | |
NewStar Financial, Inc. (a) | 13,977 | 149,274 | |
| 463,901 | ||
Insurance - 1.3% | |||
Amtrust Financial Services, Inc. | 9,631 | 219,394 | |
Aspen Insurance Holdings Ltd. | 1,742 | 44,822 | |
FBL Financial Group, Inc. Class A | 12,483 | 401,328 | |
Flagstone Reinsurance Holdings Ltd. | 24,105 | 203,205 | |
Horace Mann Educators Corp. | 5,806 | 90,632 | |
Maiden Holdings Ltd. | 15,313 | 139,348 | |
| 1,098,729 | ||
Real Estate Investment Trusts - 7.3% | |||
Alexanders, Inc. | 787 | 312,439 | |
American Capital Agency Corp. | 1,628 | 47,391 | |
Anworth Mortgage Asset Corp. | 54,735 | 411,060 | |
Ashford Hospitality Trust, Inc. | 202 | 2,515 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Capstead Mortgage Corp. | 30,544 | $ 409,290 | |
CBL & Associates Properties, Inc. | 27,250 | 494,043 | |
Colonial Properties Trust (SBI) (d) | 4,853 | 99,001 | |
Dynex Capital, Inc. | 37,232 | 360,406 | |
Extra Space Storage, Inc. (d) | 10,767 | 229,660 | |
Hatteras Financial Corp. | 1,001 | 28,258 | |
Highwoods Properties, Inc. (SBI) | 13,215 | 437,813 | |
Home Properties, Inc. | 2,932 | 178,500 | |
LTC Properties, Inc. | 13,749 | 382,497 | |
MFA Financial, Inc. | 62,502 | 502,516 | |
Mid-America Apartment Communities, Inc. | 3,496 | 235,875 | |
Mission West Properties, Inc. | 9,555 | 83,893 | |
National Health Investors, Inc. | 3,785 | 168,168 | |
Nationwide Health Properties, Inc. | 6,691 | 277,074 | |
NorthStar Realty Finance Corp. | 11,720 | 47,232 | |
Omega Healthcare Investors, Inc. (d) | 13,686 | 287,543 | |
Parkway Properties, Inc. | 1,494 | 25,488 | |
Pennymac Mortgage Investment Trust | 8,559 | 141,823 | |
PS Business Parks, Inc. (d) | 7,143 | 393,579 | |
Sabra Health Care REIT, Inc. | 3,281 | 54,826 | |
Saul Centers, Inc. | 4,575 | 180,118 | |
Universal Health Realty Income Trust (SBI) | 2,371 | 94,793 | |
Urstadt Biddle Properties, Inc. Class A | 6,436 | 116,556 | |
Winthrop Realty Trust | 20,372 | 243,242 | |
| 6,245,599 | ||
Thrifts & Mortgage Finance - 0.8% | |||
BofI Holding, Inc. (a) | 21,328 | 307,336 | |
Dime Community Bancshares, Inc. | 13,795 | 200,579 | |
Flushing Financial Corp. | 9,055 | 117,715 | |
Kaiser Federal Financial Group, Inc. | 3,381 | 41,654 | |
NASB Financial, Inc. (a)(d) | 776 | 8,094 | |
| 675,378 | ||
TOTAL FINANCIALS | 15,570,229 | ||
HEALTH CARE - 11.6% | |||
Biotechnology - 2.2% | |||
Affymax, Inc. (a) | 6,289 | 43,205 | |
AVEO Pharmaceuticals, Inc. (a) | 13,935 | 287,200 | |
Cubist Pharmaceuticals, Inc. (a) | 5,330 | 191,827 | |
Enzon Pharmaceuticals, Inc. (a)(d) | 9,379 | 94,259 | |
Inovio Pharmaceuticals, Inc. (a) | 24,315 | 14,601 | |
Insmed, Inc. (a) | 5,217 | 62,552 | |
InterMune, Inc. (a) | 628 | 22,514 | |
Nabi Biopharmaceuticals (a) | 43,499 | 234,025 | |
Neurocrine Biosciences, Inc. (a) | 16,180 | 130,249 | |
ONYX Pharmaceuticals, Inc. (a) | 1,178 | 41,583 | |
Osiris Therapeutics, Inc. (a)(d) | 8,684 | 67,214 | |
PDL BioPharma, Inc. | 53,538 | 314,268 | |
SciClone Pharmaceuticals, Inc. (a)(d) | 27,453 | 165,816 | |
| |||
Shares | Value | ||
SuperGen, Inc. (a) | 65,431 | $ 194,984 | |
Theravance, Inc. (a)(d) | 377 | 8,373 | |
| 1,872,670 | ||
Health Care Equipment & Supplies - 3.0% | |||
Accuray, Inc. (a) | 697 | 5,583 | |
ArthroCare Corp. (a) | 12,015 | 402,142 | |
Cantel Medical Corp. | 7,850 | 211,244 | |
CONMED Corp. (a) | 3,573 | 101,759 | |
Greatbatch, Inc. (a)(d) | 12,974 | 347,963 | |
Haemonetics Corp. (a) | 1,229 | 79,111 | |
Invacare Corp. | 12,381 | 410,925 | |
Kensey Nash Corp. (a)(d) | 8,038 | 202,799 | |
Orthofix International NV (a)(d) | 3,270 | 138,877 | |
RTI Biologics, Inc. (a) | 8,253 | 22,366 | |
Sirona Dental Systems, Inc. (a) | 6,815 | 361,877 | |
SurModics, Inc. (a) | 3,716 | 41,248 | |
Thoratec Corp. (a) | 2,401 | 78,801 | |
Young Innovations, Inc. | 5,322 | 151,783 | |
| 2,556,478 | ||
Health Care Providers & Services - 5.5% | |||
Amedisys, Inc. (a) | 4,364 | 116,213 | |
American Dental Partners, Inc. (a)(d) | 12,822 | 166,173 | |
AMERIGROUP Corp. (a) | 5,412 | 381,384 | |
AmSurg Corp. (a)(d) | 5,286 | 138,123 | |
Centene Corp. (a) | 7,151 | 254,075 | |
Chemed Corp. | 6,833 | 447,698 | |
Chindex International, Inc. (a)(d) | 7,841 | 106,794 | |
Continucare Corp. (a) | 15,251 | 94,251 | |
Five Star Quality Care, Inc. (a) | 66,564 | 386,737 | |
Gentiva Health Services, Inc. (a)(d) | 4,496 | 93,652 | |
Hanger Orthopedic Group, Inc. (a) | 5,517 | 135,001 | |
HealthSouth Corp. (a) | 5,466 | 143,483 | |
Kindred Healthcare, Inc. (a)(d) | 5,048 | 108,381 | |
Magellan Health Services, Inc. (a)(d) | 8,733 | 478,044 | |
Molina Healthcare, Inc. (a) | 9,076 | 246,141 | |
National Healthcare Corp. | 2,313 | 114,655 | |
Owens & Minor, Inc. (d) | 5,505 | 189,867 | |
PharMerica Corp. (a) | 21,686 | 276,713 | |
Providence Service Corp. (a) | 6,417 | 81,175 | |
Select Medical Holdings Corp. (a) | 13,402 | 118,876 | |
Sun Healthcare Group, Inc. (a) | 9,377 | 75,204 | |
U.S. Physical Therapy, Inc. | 715 | 17,682 | |
Wellcare Health Plans, Inc. (a) | 9,865 | 507,160 | |
| 4,677,482 | ||
Life Sciences Tools & Services - 0.0% | |||
Affymetrix, Inc. (a) | 4,322 | 34,273 | |
Pharmaceuticals - 0.9% | |||
Cornerstone Therapeutics, Inc. (a) | 4,638 | 41,556 | |
Medicis Pharmaceutical Corp. Class A | 6,069 | 231,654 | |
Par Pharmaceutical Companies, Inc. (a) | 2,350 | 77,503 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Salix Pharmaceuticals Ltd. (a) | 678 | $ 27,005 | |
ViroPharma, Inc. (a)(d) | 21,890 | 404,965 | |
| 782,683 | ||
TOTAL HEALTH CARE | 9,923,586 | ||
INDUSTRIALS - 12.9% | |||
Aerospace & Defense - 2.7% | |||
AAR Corp. (d) | 8,063 | 218,427 | |
AeroVironment, Inc. (a) | 3,716 | 131,361 | |
American Science & Engineering, Inc. | 549 | 43,920 | |
Ceradyne, Inc. (a)(d) | 10,191 | 397,347 | |
Cubic Corp. | 4,415 | 225,121 | |
Curtiss-Wright Corp. | 12,684 | 410,581 | |
Esterline Technologies Corp. (a)(d) | 6,692 | 511,269 | |
LMI Aerospace, Inc. (a) | 1,422 | 34,739 | |
Moog, Inc. Class A (a) | 7,009 | 305,032 | |
| 2,277,797 | ||
Air Freight & Logistics - 0.6% | |||
Atlas Air Worldwide Holdings, Inc. (a)(d) | 7,272 | 432,757 | |
Park-Ohio Holdings Corp. (a) | 2,949 | 62,342 | |
| 495,099 | ||
Airlines - 0.6% | |||
Alaska Air Group, Inc. (a) | 7,133 | 488,325 | |
Building Products - 0.7% | |||
Gibraltar Industries, Inc. (a) | 11,094 | 125,584 | |
Quanex Building Products Corp. | 2,171 | 35,583 | |
USG Corp. (a) | 28,441 | 407,844 | |
| 569,011 | ||
Commercial Services & Supplies - 1.2% | |||
Cenveo, Inc. (a)(d) | 14,048 | 89,907 | |
Consolidated Graphics, Inc. (a) | 4,880 | 268,156 | |
G&K Services, Inc. Class A | 10,063 | 340,733 | |
Multi-Color Corp. | 2,611 | 64,466 | |
Tetra Tech, Inc. (a) | 7,270 | 163,575 | |
The Brink's Co. | 3,792 | 113,115 | |
| 1,039,952 | ||
Construction & Engineering - 1.2% | |||
EMCOR Group, Inc. (a)(d) | 10,027 | 293,891 | |
Great Lakes Dredge & Dock Corp. (d) | 47,389 | 264,431 | |
MasTec, Inc. (a) | 20,691 | 408,027 | |
Pike Electric Corp. (a) | 3,284 | 29,031 | |
Sterling Construction Co., Inc. (a) | 5,470 | 75,322 | |
| 1,070,702 | ||
Electrical Equipment - 1.9% | |||
Belden, Inc. | 5,315 | 185,281 | |
Brady Corp. Class A | 13,402 | 429,668 | |
Franklin Electric Co., Inc. | 9,530 | 447,434 | |
Lihua International, Inc. (a)(d) | 4,196 | 25,554 | |
| |||
Shares | Value | ||
Polypore International, Inc. (a)(d) | 3,301 | $ 223,940 | |
Regal-Beloit Corp. | 4,287 | 286,243 | |
| 1,598,120 | ||
Industrial Conglomerates - 0.0% | |||
Tredegar Corp. | 1,029 | 18,882 | |
Machinery - 2.5% | |||
Albany International Corp. Class A | 8,761 | 231,203 | |
Astec Industries, Inc. (a) | 3,371 | 124,660 | |
Briggs & Stratton Corp. (d) | 12,305 | 244,377 | |
Colfax Corp. (a)(d) | 14,305 | 354,764 | |
Kadant, Inc. (a) | 13,202 | 415,995 | |
L.B. Foster Co. Class A | 2,313 | 76,121 | |
Nordson Corp. | 6,804 | 373,199 | |
Tennant Co. | 5,583 | 222,929 | |
Twin Disc, Inc. (d) | 3,669 | 141,733 | |
| 2,184,981 | ||
Professional Services - 0.6% | |||
CBIZ, Inc. (a) | 14,908 | 109,723 | |
GP Strategies Corp. (a) | 4,580 | 62,563 | |
ICF International, Inc. (a) | 2,358 | 59,846 | |
Insperity, Inc. | 5,861 | 173,544 | |
Kelly Services, Inc. Class A (non-vtg.) (a) | 9,028 | 148,962 | |
SFN Group, Inc. (a) | 581 | 5,281 | |
| 559,919 | ||
Road & Rail - 0.5% | |||
AMERCO (a)(d) | 4,317 | 415,080 | |
Quality Distribution, Inc. (a) | 3,216 | 41,872 | |
| 456,952 | ||
Trading Companies & Distributors - 0.4% | |||
Applied Industrial Technologies, Inc. | 8,255 | 293,961 | |
DXP Enterprises, Inc. (a)(d) | 1,439 | 36,479 | |
| 330,440 | ||
TOTAL INDUSTRIALS | 11,090,180 | ||
INFORMATION TECHNOLOGY - 19.7% | |||
Communications Equipment - 1.5% | |||
Acme Packet, Inc. (a) | 412 | 28,894 | |
Anaren, Inc. (a) | 19,279 | 409,679 | |
Black Box Corp. | 1,469 | 45,936 | |
DG FastChannel, Inc. (a)(d) | 13,692 | 438,829 | |
Plantronics, Inc. | 5,513 | 201,390 | |
Riverbed Technology, Inc. (a) | 3,382 | 133,893 | |
| 1,258,621 | ||
Computers & Peripherals - 0.6% | |||
Cray, Inc. (a) | 8,960 | 57,344 | |
Hutchinson Technology, Inc. (a)(d) | 29,459 | 66,872 | |
Synaptics, Inc. (a)(d) | 15,785 | 406,306 | |
| 530,522 | ||
Electronic Equipment & Components - 3.9% | |||
Anixter International, Inc. (d) | 3,374 | 220,457 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Components - continued | |||
Brightpoint, Inc. (a) | 6,420 | $ 52,066 | |
Coherent, Inc. (a) | 6,879 | 380,202 | |
Electro Scientific Industries, Inc. (a) | 3,645 | 70,349 | |
Insight Enterprises, Inc. (a) | 12,743 | 225,679 | |
Littelfuse, Inc. (d) | 7,661 | 449,854 | |
Measurement Specialties, Inc. (a) | 8,030 | 286,671 | |
MTS Systems Corp. | 1,834 | 76,716 | |
Multi-Fineline Electronix, Inc. (a) | 6,191 | 133,788 | |
Newport Corp. (a) | 20,586 | 374,048 | |
OSI Systems, Inc. (a) | 4,760 | 204,680 | |
Power-One, Inc. (a)(d) | 38,474 | 311,639 | |
Pulse Electronics Corp. (d) | 47,652 | 210,622 | |
Rogers Corp. (a) | 6,467 | 298,775 | |
Tessco Technologies, Inc. (d) | 2,196 | 24,420 | |
TTM Technologies, Inc. (a) | 163 | 2,611 | |
X-Rite, Inc. (a)(d) | 6,387 | 31,743 | |
| 3,354,320 | ||
Internet Software & Services - 1.0% | |||
InfoSpace, Inc. (a) | 17,322 | 157,977 | |
j2 Global Communications, Inc. (a)(d) | 5,832 | 164,637 | |
Liquidity Services, Inc. (a) | 6,209 | 146,594 | |
Rackspace Hosting, Inc. (a) | 41 | 1,752 | |
ValueClick, Inc. (a)(d) | 25,218 | 418,619 | |
| 889,579 | ||
IT Services - 2.8% | |||
CACI International, Inc. Class A (a) | 7,528 | 474,866 | |
CSG Systems International, Inc. (a)(d) | 5,974 | 110,400 | |
Euronet Worldwide, Inc. (a) | 6,575 | 101,321 | |
Jack Henry & Associates, Inc. | 7,094 | 212,891 | |
Maximus, Inc. | 5,336 | 441,447 | |
SRA International, Inc. Class A (a)(d) | 7,896 | 244,144 | |
Teletech Holdings, Inc. (a)(d) | 19,401 | 408,973 | |
Unisys Corp. (a) | 1,633 | 41,968 | |
VeriFone Systems, Inc. (a)(d) | 8,523 | 377,995 | |
| 2,414,005 | ||
Semiconductors & Semiconductor Equipment - 4.3% | |||
ATMI, Inc. (a) | 2,390 | 48,828 | |
Cabot Microelectronics Corp. (a)(d) | 8,827 | 410,191 | |
DSP Group, Inc. (a) | 3,344 | 29,093 | |
Entegris, Inc. (a)(d) | 45,325 | 458,689 | |
GT Solar International, Inc. (a) | 32,809 | 531,486 | |
Kulicke & Soffa Industries, Inc. (a)(d) | 29,629 | 330,067 | |
Lattice Semiconductor Corp. (a) | 61,977 | 404,090 | |
LTX-Credence Corp. (a) | 40,008 | 357,672 | |
Nanometrics, Inc. (a)(d) | 4,110 | 78,049 | |
Omnivision Technologies, Inc. (a)(d) | 4,705 | 163,781 | |
RF Micro Devices, Inc. (a) | 56,039 | 342,959 | |
| |||
Shares | Value | ||
Tessera Technologies, Inc. (a) | 1,808 | $ 30,989 | |
Veeco Instruments, Inc. (a)(d) | 9,553 | 462,461 | |
| 3,648,355 | ||
Software - 5.6% | |||
ACI Worldwide, Inc. (a) | 12,617 | 426,076 | |
AsiaInfo-Linkage, Inc. (a)(d) | 4,450 | 73,692 | |
ebix.com, Inc. (a)(d) | 14,149 | 269,538 | |
Fair Isaac Corp. (d) | 14,549 | 439,380 | |
JDA Software Group, Inc. (a)(d) | 7,146 | 220,740 | |
Lawson Software, Inc. (a) | 12,357 | 138,646 | |
Manhattan Associates, Inc. (a) | 11,905 | 410,008 | |
Monotype Imaging Holdings, Inc. (a) | 28,113 | 397,237 | |
NetScout Systems, Inc. (a) | 2,980 | 62,252 | |
Opnet Technologies, Inc. (d) | 8,045 | 329,362 | |
Progress Software Corp. (a)(d) | 15,754 | 380,144 | |
QAD, Inc.: | |||
Class A | 6,300 | 64,386 | |
Class B | 2,116 | 19,679 | |
Quest Software, Inc. (a) | 12,149 | 276,147 | |
Renaissance Learning, Inc. | 4,088 | 51,264 | |
Take-Two Interactive Software, Inc. (a) | 27,410 | 418,825 | |
TeleCommunication Systems, Inc. Class A (a)(d) | 18,277 | 88,278 | |
TeleNav, Inc. (a) | 17,253 | 305,896 | |
TIBCO Software, Inc. (a) | 13,849 | 401,898 | |
| 4,773,448 | ||
TOTAL INFORMATION TECHNOLOGY | 16,868,850 | ||
MATERIALS - 6.2% | |||
Chemicals - 2.9% | |||
Ferro Corp. (a)(d) | 11,924 | 160,259 | |
Georgia Gulf Corp. (a) | 13,930 | 336,270 | |
OM Group, Inc. (a) | 11,062 | 449,560 | |
Rockwood Holdings, Inc. (a)(d) | 6,895 | 381,225 | |
Senomyx, Inc. (a)(d) | 17,902 | 92,016 | |
Sensient Technologies Corp. | 2,587 | 95,900 | |
TPC Group, Inc. (a) | 10,005 | 392,396 | |
W.R. Grace & Co. (a) | 8,146 | 371,702 | |
Westlake Chemical Corp. | 3,261 | 169,246 | |
| 2,448,574 | ||
Containers & Packaging - 0.9% | |||
Graphic Packaging Holding Co. (a) | 63,977 | 348,035 | |
Myers Industries, Inc. | 4,922 | 50,598 | |
Rock-Tenn Co. Class A | 1,913 | 126,908 | |
Silgan Holdings, Inc. | 6,735 | 275,933 | |
| 801,474 | ||
Metals & Mining - 0.7% | |||
Golden Star Resources Ltd. (a) | 13,694 | 30,103 | |
Hecla Mining Co. (a)(d) | 55,884 | 429,748 | |
Noranda Aluminium Holding Corp. (a) | 10,940 | 165,632 | |
| 625,483 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Paper & Forest Products - 1.7% | |||
Buckeye Technologies, Inc. | 15,664 | $ 422,615 | |
Domtar Corp. | 3,652 | 345,917 | |
Glatfelter | 21,132 | 325,010 | |
Kapstone Paper & Packaging Corp. (a) | 22,959 | 380,431 | |
| 1,473,973 | ||
TOTAL MATERIALS | 5,349,504 | ||
TELECOMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.8% | |||
Consolidated Communications Holdings, Inc. | 13,718 | 266,678 | |
Vonage Holdings Corp. (a) | 89,045 | 392,688 | |
| 659,366 | ||
UTILITIES - 2.7% | |||
Electric Utilities - 1.8% | |||
Cleco Corp. (d) | 13,656 | 475,912 | |
El Paso Electric Co. (d) | 13,771 | 444,803 | |
IDACORP, Inc. | 698 | 27,571 | |
MGE Energy, Inc. | 1,572 | 63,713 | |
Portland General Electric Co. (d) | 18,805 | 475,390 | |
| 1,487,389 | ||
Gas Utilities - 0.4% | |||
Chesapeake Utilities Corp. | 5,574 | 223,127 | |
Piedmont Natural Gas Co., Inc. | 888 | 26,871 | |
Southwest Gas Corp. | 3,142 | 121,313 | |
| 371,311 | ||
Multi-Utilities - 0.5% | |||
Avista Corp. | 3,366 | 86,473 | |
NorthWestern Energy Corp. | 10,152 | 336,133 | |
| 422,606 | ||
TOTAL UTILITIES | 2,281,306 | ||
TOTAL COMMON STOCKS (Cost $70,068,239) | 82,913,000 |
U.S. Treasury Obligations - 0.2% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.2% 7/28/11 (e) | $ 200,000 | 199,998 |
Money Market Funds - 32.1% | |||
Shares | Value | ||
Fidelity Cash Central Fund, 0.11% (b) | 2,459,760 | $ 2,459,760 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c) | 25,057,563 | 25,057,563 | |
TOTAL MONEY MARKET FUNDS (Cost $27,517,323) | 27,517,323 | ||
TOTAL INVESTMENT PORTFOLIO - 129.1% (Cost $97,785,531) | 110,630,321 | ||
NET OTHER ASSETS (LIABILITIES) - (29.1)% | (24,956,270) | ||
NET ASSETS - 100% | $ 85,674,051 |
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
32 NYFE Russell Mini Index Contracts | Sept. 2011 | $ 2,641,280 | $ 93,965 |
|
The face value of futures purchased as a percentage of net assets is 3.1% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $199,998. |
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 | $ 2,640 |
Fidelity Securities Lending Cash Central Fund | 33,235 |
Total | $ 35,875 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 11,231,774 | $ 11,231,774 | $ - | $ - |
Consumer Staples | 3,293,017 | 3,293,017 | - | - |
Energy | 6,645,188 | 6,645,188 | - | - |
Financials | 15,570,229 | 15,570,229 | - | - |
Health Care | 9,923,586 | 9,923,586 | - | - |
Industrials | 11,090,180 | 11,090,180 | - | - |
Information Technology | 16,868,850 | 16,868,850 | - | - |
Materials | 5,349,504 | 5,349,504 | - | - |
Telecommunication Services | 659,366 | 659,366 | - | - |
Utilities | 2,281,306 | 2,281,306 | - | - |
U.S. Government and Government Agency Obligations | 199,998 | - | 199,998 | - |
Money Market Funds | 27,517,323 | 27,517,323 | - | - |
Total Investments in Securities: | $ 110,630,321 | $ 110,430,323 | $ 199,998 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 93,965 | $ 93,965 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 93,965 | $ - |
Total Value of Derivatives | $ 93,965 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At December 31, 2010, the Fund had a capital loss carryforward of approximately $8,457,049 of which $1,202,314 and $7,254,735 will expire in fiscal 2016 and 2017, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $24,696,141) - See accompanying schedule: Unaffiliated issuers (cost $70,268,208) | $ 83,112,998 |
|
Fidelity Central Funds (cost $27,517,323) | 27,517,323 |
|
Total Investments (cost $97,785,531) |
| $ 110,630,321 |
Receivable for fund shares sold | 84,452 | |
Dividends receivable | 88,092 | |
Distributions receivable from Fidelity Central Funds | 7,318 | |
Receivable for daily variation on futures contracts | 18,553 | |
Total assets | 110,828,736 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 13 | |
Payable for fund shares redeemed | 11,150 | |
Accrued management fee | 48,444 | |
Distribution and service plan fees payable | 400 | |
Other affiliated payables | 11,259 | |
Other payables and accrued expenses | 25,856 | |
Collateral on securities loaned, at value | 25,057,563 | |
Total liabilities | 25,154,685 | |
|
|
|
Net Assets | $ 85,674,051 | |
Net Assets consist of: |
| |
Paid in capital | $ 76,036,507 | |
Undistributed net investment income | 88,946 | |
Accumulated undistributed net realized gain (loss) on investments | (3,390,157) | |
Net unrealized appreciation (depreciation) on investments | 12,938,755 | |
Net Assets | $ 85,674,051 |
Statement of Assets and Liabilities - continued
| June 30, 2011 (Unaudited) | |
|
|
|
Initial Class: | $ 12.05 | |
|
|
|
Service Class: | $ 12.07 | |
|
|
|
Service Class 2: | $ 12.04 | |
|
|
|
Investor Class: | $ 12.02 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 457,406 |
Interest |
| 485 |
Income from Fidelity Central Funds (including $33,235 from security lending) |
| 35,875 |
Total income |
| 493,766 |
|
|
|
Expenses | ||
Management fee | $ 296,212 | |
Transfer agent fees | 58,876 | |
Distribution and service plan fees | 2,907 | |
Accounting and security lending fees | 17,126 | |
Custodian fees and expenses | 5,861 | |
Independent trustees' compensation | 205 | |
Audit | 23,292 | |
Legal | 46 | |
Miscellaneous | 295 | |
Total expenses | 404,820 | |
Net investment income (loss) | 88,946 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 4,856,068 | |
Futures contracts | 398,641 | |
Total net realized gain (loss) |
| 5,254,709 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 819,093 | |
Futures contracts | (73,544) | |
Total change in net unrealized appreciation (depreciation) |
| 745,549 |
Net gain (loss) | 6,000,258 | |
Net increase (decrease) in net assets resulting from operations | $ 6,089,204 |
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 88,946 | $ 176,322 |
Net realized gain (loss) | 5,254,709 | 2,273,230 |
Change in net unrealized appreciation (depreciation) | 745,549 | 8,917,095 |
Net increase (decrease) in net assets resulting from operations | 6,089,204 | 11,366,647 |
Distributions to shareholders from net investment income | - | (190,826) |
Share transactions - net increase (decrease) | 7,173,116 | 18,986,293 |
Total increase (decrease) in net assets | 13,262,320 | 30,162,114 |
|
|
|
Net Assets | ||
Beginning of period | 72,411,731 | 42,249,617 |
End of period (including undistributed net investment income of $88,946 and $0, respectively) | $ 85,674,051 | $ 72,411,731 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.15 | $ 8.91 | $ 7.32 | $ 11.17 | $ 11.56 | $ 9.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .02 | .04 | .04 | .07 | .05 | .04 |
Net realized and unrealized gain (loss) | .88 | 2.24 | 1.59 | (3.84) | (.32) | 1.60 |
Total from investment operations | .90 | 2.28 | 1.63 | (3.77) | (.27) | 1.64 |
Distributions from net investment income | - | (.04) | (.04) | (.08) | (.06) | (.02) |
Distributions from net realized gain | - | - | - | - | (.07) | - |
Total distributions | - | (.04) | (.04) | (.08) | (.12) I | (.02) |
Net asset value, end of period | $ 12.05 | $ 11.15 | $ 8.91 | $ 7.32 | $ 11.17 | $ 11.56 |
Total Return B, C, D | 8.07% | 25.54% | 22.28% | (33.72)% | (2.33)% | 16.51% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | .90% A | .95% | 1.05% | 1.04% | 1.01% | 1.30% |
Expenses net of fee waivers, if any | .90% A | .94% | 1.00% | 1.00% | 1.00% | 1.00% |
Expenses net of all reductions | .90% A | .94% | 1.00% | 1.00% | 1.00% | .98% |
Net investment income (loss) | .27% A | .41% | .56% | .71% | .45% | .34% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 22,686 | $ 19,742 | $ 13,864 | $ 8,381 | $ 11,668 | $ 10,119 |
Portfolio turnover rate G | 94% A | 71% | 81% | 87% | 113% | 47% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Total distributions of $.12 per share is comprised of distributions from net investment income of $.059 and distributions from net realized gain of $.065 per share. |
Financial Highlights - Service Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.16 | $ 8.92 | $ 7.33 | $ 11.17 | $ 11.56 | $ 9.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .01 | .03 | .03 | .06 | .04 | .03 |
Net realized and unrealized gain (loss) | .90 | 2.23 | 1.58 | (3.84) | (.31) | 1.60 |
Total from investment operations | .91 | 2.26 | 1.61 | (3.78) | (.27) | 1.63 |
Distributions from net investment income | - | (.02) | (.02) | (.06) | (.05) | (.01) |
Distributions from net realized gain | - | - | - | - | (.07) | - |
Total distributions | - | (.02) | (.02) | (.06) | (.12) I | (.01) |
Net asset value, end of period | $ 12.07 | $ 11.16 | $ 8.92 | $ 7.33 | $ 11.17 | $ 11.56 |
Total Return B, C, D | 8.15% | 25.35% | 22.03% | (33.79)% | (2.40)% | 16.40% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | 1.00% A | 1.04% | 1.10% | 1.10% | 1.09% | 1.54% |
Expenses net of fee waivers, if any | 1.00% A | 1.04% | 1.10% | 1.10% | 1.09% | 1.10% |
Expenses net of all reductions | 1.00% A | 1.04% | 1.10% | 1.10% | 1.08% | 1.08% |
Net investment income (loss) | .18% A | .32% | .46% | .61% | .37% | .24% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 318 | $ 327 | $ 426 | $ 631 | $ 1,411 | $ 1,446 |
Portfolio turnover rate G | 94% A | 71% | 81% | 87% | 113% | 47% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Total distributions of $.12 per share is comprised of distributions from net investment income of $.051 and distributions from net realized gain of $.065 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.15 | $ 8.92 | $ 7.33 | $ 11.15 | $ 11.55 | $ 9.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | - J | .01 | .02 | .04 | .02 | .01 |
Net realized and unrealized gain (loss) | .89 | 2.23 | 1.59 | (3.82) | (.32) | 1.61 |
Total from investment operations | .89 | 2.24 | 1.61 | (3.78) | (.30) | 1.62 |
Distributions from net investment income | - | (.01) | (.02) | (.04) | (.04) | (.01) |
Distributions from net realized gain | - | - | - | - | (.07) | - |
Total distributions | - | (.01) | (.02) | (.04) | (.10) I | (.01) |
Net asset value, end of period | $ 12.04 | $ 11.15 | $ 8.92 | $ 7.33 | $ 11.15 | $ 11.55 |
Total Return B, C, D | 7.98% | 25.07% | 21.94% | (33.91)% | (2.60)% | 16.25% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | 1.23% A | 1.28% | 1.41% | 1.32% | 1.24% | 1.69% |
Expenses net of fee waivers, if any | 1.23% A | 1.25% | 1.25% | 1.25% | 1.24% | 1.25% |
Expenses net of all reductions | 1.23% A | 1.25% | 1.25% | 1.25% | 1.24% | 1.23% |
Net investment income (loss) | (.05)% A | .11% | .31% | .46% | .21% | .09% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,816 | $ 2,513 | $ 1,535 | $ 1,494 | $ 4,143 | $ 1,444 |
Portfolio turnover rate G | 94% A | 71% | 81% | 87% | 113% | 47% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Total distributions of $.10 per share is comprised of distributions from net investment income of $.038 and distributions from net realized gain of $.065 per share. J Amount represents less than $.01 per share. |
Financial Highlights - Investor Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.12 | $ 8.89 | $ 7.31 | $ 11.15 | $ 11.55 | $ 9.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .01 | .03 | .04 | .06 | .04 | .02 |
Net realized and unrealized gain (loss) | .89 | 2.23 | 1.57 | (3.83) | (.32) | 1.61 |
Total from investment operations | .90 | 2.26 | 1.61 | (3.77) | (.28) | 1.63 |
Distributions from net investment income | - | (.03) | (.03) | (.07) | (.05) | (.02) |
Distributions from net realized gain | - | - | - | - | (.07) | - |
Total distributions | - | (.03) | (.03) | (.07) | (.12) I | (.02) |
Net asset value, end of period | $ 12.02 | $ 11.12 | $ 8.89 | $ 7.31 | $ 11.15 | $ 11.55 |
Total Return B, C, D | 8.09% | 25.44% | 22.09% | (33.77)% | (2.50)% | 16.40% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | .98% A | 1.02% | 1.12% | 1.10% | 1.10% | 1.41% |
Expenses net of fee waivers, if any | .98% A | 1.01% | 1.08% | 1.08% | 1.10% | 1.15% |
Expenses net of all reductions | .98% A | 1.01% | 1.08% | 1.08% | 1.10% | 1.13% |
Net investment income (loss) | .20% A | .34% | .48% | .63% | .35% | .19% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 60,854 | $ 49,830 | $ 26,426 | $ 16,331 | $ 21,872 | $ 11,853 |
Portfolio turnover rate G | 94% A | 71% | 81% | 87% | 113% | 47% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. E Calculated based on average shares outstanding during the period. 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Total distributions of $.12 per share is comprised of distributions from net investment income of $.050 and distributions from net realized gain of $.065 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
1. Organization.
VIP Disciplined Small Cap Portfolio (the Fund) is a fund of Variable Insurance Products Fund 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 Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares, Service Class 2 shares and Investor Class shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2011, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.
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 Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, market discount, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 15,322,428 |
Gross unrealized depreciation | (2,509,477) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 12,812,951 |
Tax cost | $ 97,817,370 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Semiannual Report
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts in order to meet its investment objectives. The strategy is to use derivatives to increase returns, 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 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 sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
During the period the Fund recognized net realized gain (loss) of $398,641 and a change in net unrealized appreciation (depreciation) of $(73,544) related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $53,581,112 and $37,848,439, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and a group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .71% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by FMR for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 163 |
Service Class 2 | 2,744 |
| $ 2,907 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each class. Each class (with the exception of Investor Class) pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of average net assets. Investor Class pays a monthly asset-based transfer agent fee of .15% of average net assets. In addition, FIIOC receives an asset-based fee of .0045% of average net assets for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class, including printing and out of pocket expenses, were as follows:
Initial Class | $ 9,792 |
Service Class | 135 |
Service Class 2 | 1,780 |
Investor Class | 47,169 |
| $ 58,876 |
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $121 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. The lending agent may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and 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. During the period, there were no securities loaned to FCM.
Semiannual Report
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Initial Class | $ - | $ 57,782 |
Service Class | - | 657 |
Service Class 2 | - | 1,252 |
Investor Class | - | 131,135 |
Total | $ - | $ 190,826 |
10. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Initial Class |
|
|
|
|
Shares sold | 537,475 | 872,164 | $ 6,281,242 | $ 8,757,192 |
Reinvestment of distributions | - | 5,259 | - | 57,782 |
Shares redeemed | (426,881) | (662,913) | (4,966,091) | (6,175,473) |
Net increase (decrease) | 110,594 | 214,510 | $ 1,315,151 | $ 2,639,501 |
Service Class |
|
|
|
|
Shares sold | - | - | $ - | $ - |
Reinvestment of distributions | - | 60 | - | 657 |
Shares redeemed | (2,913) | (18,520) | (33,908) | (177,365) |
Net increase (decrease) | (2,913) | (18,460) | $ (33,908) | $ (176,708) |
Service Class 2 |
|
|
|
|
Shares sold | 81,627 | 109,184 | $ 960,914 | $ 1,100,967 |
Reinvestment of distributions | - | 118 | - | 1,252 |
Shares redeemed | (156,185) | (56,115) | (1,814,420) | (539,602) |
Net increase (decrease) | (74,558) | 53,187 | $ (853,506) | $ 562,617 |
Investor Class |
|
|
|
|
Shares sold | 1,562,602 | 2,258,001 | $ 18,183,343 | $ 22,969,167 |
Reinvestment of distributions | - | 11,942 | - | 131,135 |
Shares redeemed | (982,290) | (762,231) | (11,437,964) | (7,139,419) |
Net increase (decrease) | 580,312 | 1,507,712 | $ 6,745,379 | $ 15,960,883 |
11. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates were the owners of record of 98% of the total outstanding shares of the Fund.
Semiannual Report
Investments
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Geode Capital Management, LLC
FMR Co., Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Northern Trust Company
Chicago, IL
VDSC-SANN-0811
1.821007.105
Fidelity® Variable Insurance Products:
Index 500 Portfolio
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The estimate of expenses does not include any fees or other expenses of any variable annuity or variable life insurance product. If they were, the estimate of expenses you paid during the period would be higher, and your ending account value would be lower. 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 | Beginning | Ending | Expenses Paid |
Initial Class | .10% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.90 | $ .51 |
HypotheticalA |
| $ 1,000.00 | $ 1,024.30 | $ .50 |
Service Class | .20% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.40 | $ 1.02 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.80 | $ 1.00 |
Service Class 2 | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,058.60 | $ 1.79 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.06 | $ 1.76 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 3.3 | 3.2 |
Apple, Inc. | 2.5 | 2.5 |
International Business Machines Corp. | 1.7 | 1.6 |
Chevron Corp. | 1.7 | 1.6 |
General Electric Co. | 1.6 | 1.7 |
Microsoft Corp. | 1.6 | 1.8 |
AT&T, Inc. | 1.5 | 1.5 |
Johnson & Johnson | 1.5 | 1.5 |
Procter & Gamble Co. | 1.5 | 1.6 |
Pfizer, Inc. | 1.3 | 1.2 |
| 18.2 | |
Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 17.6 | 18.3 |
Financials | 15.0 | 15.8 |
Energy | 12.6 | 11.8 |
Health Care | 11.6 | 10.7 |
Industrials | 11.1 | 10.8 |
Consumer Staples | 10.5 | 10.5 |
Consumer Discretionary | 10.5 | 10.5 |
Materials | 3.6 | 3.7 |
Utilities | 3.4 | 3.2 |
Telecommunication Services | 3.1 | 3.1 |
Asset Allocation | ||
To match the S&P 500® Index, the VIP Index 500 Portfolio seeks 100% investment exposure to stocks at all times. |
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 10.5% | |||
Auto Components - 0.3% | |||
Johnson Controls, Inc. | 126,773 | $ 5,281,363 | |
The Goodyear Tire & Rubber Co. (a) | 45,620 | 765,047 | |
| 6,046,410 | ||
Automobiles - 0.5% | |||
Ford Motor Co. (a) | 709,718 | 9,787,011 | |
Harley-Davidson, Inc. (d) | 44,149 | 1,808,785 | |
| 11,595,796 | ||
Distributors - 0.1% | |||
Genuine Parts Co. (d) | 29,396 | 1,599,142 | |
Diversified Consumer Services - 0.1% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 22,756 | 993,982 | |
DeVry, Inc. | 11,440 | 676,447 | |
H&R Block, Inc. | 57,038 | 914,890 | |
| 2,585,319 | ||
Hotels, Restaurants & Leisure - 1.8% | |||
Carnival Corp. unit | 80,699 | 3,036,703 | |
Chipotle Mexican Grill, Inc. (a)(d) | 5,815 | 1,792,125 | |
Darden Restaurants, Inc. | 25,493 | 1,268,532 | |
International Game Technology (d) | 56,039 | 985,166 | |
Marriott International, Inc. Class A (d) | 53,050 | 1,882,745 | |
McDonald's Corp. | 193,879 | 16,347,877 | |
Starbucks Corp. | 140,068 | 5,531,285 | |
Starwood Hotels & Resorts Worldwide, Inc. (d) | 36,454 | 2,042,882 | |
Wyndham Worldwide Corp. | 31,762 | 1,068,791 | |
Wynn Resorts Ltd. | 14,220 | 2,041,139 | |
Yum! Brands, Inc. | 86,994 | 4,805,549 | |
| 40,802,794 | ||
Household Durables - 0.3% | |||
D.R. Horton, Inc. (d) | 52,515 | 604,973 | |
Fortune Brands, Inc. (d) | 28,807 | 1,837,022 | |
Harman International Industries, Inc. (d) | 13,061 | 595,190 | |
Leggett & Platt, Inc. | 26,701 | 650,970 | |
Lennar Corp. Class A (d) | 30,040 | 545,226 | |
Newell Rubbermaid, Inc. (d) | 54,413 | 858,637 | |
PulteGroup, Inc. (a)(d) | 62,947 | 482,174 | |
Whirlpool Corp. | 14,243 | 1,158,241 | |
| 6,732,433 | ||
Internet & Catalog Retail - 0.9% | |||
Amazon.com, Inc. (a) | 66,729 | 13,645,413 | |
Expedia, Inc. | 37,288 | 1,080,979 | |
Netflix, Inc. (a) | 8,141 | 2,138,559 | |
Priceline.com, Inc. (a) | 9,277 | 4,749,175 | |
| 21,614,126 | ||
Leisure Equipment & Products - 0.1% | |||
Hasbro, Inc. | 25,457 | 1,118,326 | |
Mattel, Inc. | 64,949 | 1,785,448 | |
| 2,903,774 | ||
| |||
Shares | Value | ||
Media - 3.3% | |||
Cablevision Systems Corp. - NY Group Class A (d) | 43,008 | $ 1,557,320 | |
CBS Corp. Class B | 124,967 | 3,560,310 | |
Comcast Corp. Class A | 516,883 | 13,097,815 | |
DIRECTV (a) | 143,466 | 7,290,942 | |
Discovery Communications, Inc. (a)(d) | 52,052 | 2,132,050 | |
Gannett Co., Inc. (d) | 44,927 | 643,355 | |
Interpublic Group of Companies, Inc. | 91,316 | 1,141,450 | |
McGraw-Hill Companies, Inc. (d) | 56,936 | 2,386,188 | |
News Corp. Class A | 427,000 | 7,557,900 | |
Omnicom Group, Inc. | 52,530 | 2,529,845 | |
Scripps Networks Interactive, Inc. Class A | 16,963 | 829,151 | |
The Walt Disney Co. | 353,188 | 13,788,460 | |
Time Warner Cable, Inc. | 62,859 | 4,905,516 | |
Time Warner, Inc. | 200,091 | 7,277,310 | |
Viacom, Inc. Class B (non-vtg.) | 109,334 | 5,576,034 | |
Washington Post Co. Class B | 963 | 403,449 | |
| 74,677,095 | ||
Multiline Retail - 0.7% | |||
Big Lots, Inc. (a)(d) | 14,047 | 465,658 | |
Family Dollar Stores, Inc. | 22,853 | 1,201,154 | |
JCPenney Co., Inc. | 39,840 | 1,376,074 | |
Kohl's Corp. (d) | 52,524 | 2,626,725 | |
Macy's, Inc. | 79,745 | 2,331,744 | |
Nordstrom, Inc. | 31,353 | 1,471,710 | |
Sears Holdings Corp. (a)(d) | 8,050 | 575,092 | |
Target Corp. | 128,771 | 6,040,648 | |
| 16,088,805 | ||
Specialty Retail - 1.8% | |||
Abercrombie & Fitch Co. Class A (d) | 16,381 | 1,096,217 | |
AutoNation, Inc. (a)(d) | 11,882 | 435,000 | |
AutoZone, Inc. (a) | 4,724 | 1,392,871 | |
Bed Bath & Beyond, Inc. (a) | 46,551 | 2,717,182 | |
Best Buy Co., Inc. | 60,287 | 1,893,615 | |
CarMax, Inc. (a)(d) | 42,202 | 1,395,620 | |
GameStop Corp. Class A (a)(d) | 26,429 | 704,861 | |
Gap, Inc. | 73,024 | 1,321,734 | |
Home Depot, Inc. | 297,522 | 10,776,247 | |
Limited Brands, Inc. (d) | 47,128 | 1,812,072 | |
Lowe's Companies, Inc. | 243,301 | 5,671,346 | |
O'Reilly Automotive, Inc. (a) | 25,762 | 1,687,669 | |
Ross Stores, Inc. (d) | 21,854 | 1,750,942 | |
Staples, Inc. | 133,258 | 2,105,476 | |
Tiffany & Co., Inc. (d) | 23,864 | 1,873,801 | |
TJX Companies, Inc. | 72,147 | 3,789,882 | |
Urban Outfitters, Inc. (a)(d) | 23,275 | 655,191 | |
| 41,079,726 | ||
Textiles, Apparel & Luxury Goods - 0.6% | |||
Coach, Inc. | 54,861 | 3,507,264 | |
NIKE, Inc. Class B | 70,875 | 6,377,333 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - continued | |||
Textiles, Apparel & Luxury Goods - continued | |||
Polo Ralph Lauren Corp. Class A | 12,017 | $ 1,593,574 | |
VF Corp. | 16,354 | 1,775,390 | |
| 13,253,561 | ||
TOTAL CONSUMER DISCRETIONARY | 238,978,981 | ||
CONSUMER STAPLES - 10.5% | |||
Beverages - 2.5% | |||
Brown-Forman Corp. Class B (non-vtg.) | 19,261 | 1,438,604 | |
Coca-Cola Enterprises, Inc. | 60,733 | 1,772,189 | |
Constellation Brands, Inc. Class A (sub. vtg.) (a) | 33,436 | 696,138 | |
Dr Pepper Snapple Group, Inc. (d) | 41,363 | 1,734,351 | |
Molson Coors Brewing Co. Class B | 29,694 | 1,328,510 | |
PepsiCo, Inc. | 295,357 | 20,801,994 | |
The Coca-Cola Co. | 427,763 | 28,784,172 | |
| 56,555,958 | ||
Food & Staples Retailing - 2.3% | |||
Costco Wholesale Corp. | 81,631 | 6,631,702 | |
CVS Caremark Corp. | 253,367 | 9,521,532 | |
Kroger Co. | 113,323 | 2,810,410 | |
Safeway, Inc. | 66,166 | 1,546,299 | |
SUPERVALU, Inc. (d) | 39,643 | 373,041 | |
Sysco Corp. | 109,027 | 3,399,462 | |
Wal-Mart Stores, Inc. | 356,880 | 18,964,603 | |
Walgreen Co. (d) | 171,060 | 7,263,208 | |
Whole Foods Market, Inc. (d) | 27,908 | 1,770,763 | |
| 52,281,020 | ||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 127,444 | 3,842,437 | |
Campbell Soup Co. | 34,107 | 1,178,397 | |
ConAgra Foods, Inc. | 76,404 | 1,971,987 | |
Dean Foods Co. (a)(d) | 34,231 | 420,014 | |
General Mills, Inc. | 119,290 | 4,439,974 | |
H.J. Heinz Co. (d) | 60,135 | 3,203,993 | |
Hershey Co. | 28,653 | 1,628,923 | |
Hormel Foods Corp. (d) | 25,947 | 773,480 | |
Kellogg Co. (d) | 46,786 | 2,588,202 | |
Kraft Foods, Inc. Class A | 328,471 | 11,572,033 | |
McCormick & Co., Inc. (non-vtg.) (d) | 24,758 | 1,227,254 | |
Mead Johnson Nutrition Co. Class A | 38,183 | 2,579,262 | |
Sara Lee Corp. | 109,331 | 2,076,196 | |
The J.M. Smucker Co. (d) | 21,673 | 1,656,684 | |
Tyson Foods, Inc. Class A | 56,022 | 1,087,947 | |
| 40,246,783 | ||
Household Products - 2.1% | |||
Clorox Co. | 24,915 | 1,680,268 | |
Colgate-Palmolive Co. | 91,354 | 7,985,253 | |
| |||
Shares | Value | ||
Kimberly-Clark Corp. | 73,412 | $ 4,886,303 | |
Procter & Gamble Co. | 521,573 | 33,156,396 | |
| 47,708,220 | ||
Personal Products - 0.2% | |||
Avon Products, Inc. | 80,384 | 2,250,752 | |
Estee Lauder Companies, Inc. Class A (d) | 21,304 | 2,240,968 | |
| 4,491,720 | ||
Tobacco - 1.6% | |||
Altria Group, Inc. | 391,164 | 10,330,641 | |
Lorillard, Inc. | 26,852 | 2,923,377 | |
Philip Morris International, Inc. | 332,309 | 22,188,272 | |
Reynolds American, Inc. | 63,172 | 2,340,523 | |
| 37,782,813 | ||
TOTAL CONSUMER STAPLES | 239,066,514 | ||
ENERGY - 12.6% | |||
Energy Equipment & Services - 2.4% | |||
Baker Hughes, Inc. | 81,215 | 5,892,960 | |
Cameron International Corp. (a) | 45,785 | 2,302,528 | |
Diamond Offshore Drilling, Inc. (d) | 12,989 | 914,555 | |
FMC Technologies, Inc. (a)(d) | 44,907 | 2,011,385 | |
Halliburton Co. | 170,977 | 8,719,827 | |
Helmerich & Payne, Inc. (d) | 19,988 | 1,321,607 | |
Nabors Industries Ltd. (a) | 53,696 | 1,323,069 | |
National Oilwell Varco, Inc. | 79,055 | 6,182,892 | |
Noble Corp. (d) | 47,119 | 1,856,960 | |
Rowan Companies, Inc. (a) | 23,816 | 924,299 | |
Schlumberger Ltd. | 253,554 | 21,907,066 | |
| 53,357,148 | ||
Oil, Gas & Consumable Fuels - 10.2% | |||
Alpha Natural Resources, Inc. (a) | 42,332 | 1,923,566 | |
Anadarko Petroleum Corp. | 92,965 | 7,135,993 | |
Apache Corp. | 71,650 | 8,840,894 | |
Cabot Oil & Gas Corp. | 19,520 | 1,294,371 | |
Chesapeake Energy Corp. | 122,890 | 3,648,604 | |
Chevron Corp. | 375,634 | 38,630,201 | |
ConocoPhillips | 264,124 | 19,859,484 | |
CONSOL Energy, Inc. | 42,349 | 2,053,080 | |
Denbury Resources, Inc. (a)(d) | 74,232 | 1,484,640 | |
Devon Energy Corp. | 79,040 | 6,229,142 | |
El Paso Corp. | 143,687 | 2,902,477 | |
EOG Resources, Inc. | 50,159 | 5,244,123 | |
EQT Corp. (d) | 27,922 | 1,466,463 | |
Exxon Mobil Corp. | 920,474 | 74,908,167 | |
Hess Corp. | 56,501 | 4,224,015 | |
Marathon Oil Corp. | 133,058 | 7,009,495 | |
Murphy Oil Corp. | 36,143 | 2,373,149 | |
Newfield Exploration Co. (a)(d) | 24,711 | 1,680,842 | |
Noble Energy, Inc. | 32,974 | 2,955,460 | |
Occidental Petroleum Corp. | 151,892 | 15,802,844 | |
Peabody Energy Corp. | 50,589 | 2,980,198 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Pioneer Natural Resources Co. (d) | 21,817 | $ 1,954,149 | |
QEP Resources, Inc. | 33,028 | 1,381,561 | |
Range Resources Corp. (d) | 30,017 | 1,665,944 | |
Southwestern Energy Co. (a)(d) | 65,007 | 2,787,500 | |
Spectra Energy Corp. (d) | 121,458 | 3,329,164 | |
Sunoco, Inc. | 22,630 | 943,897 | |
Tesoro Corp. (a)(d) | 26,864 | 615,454 | |
Valero Energy Corp. | 106,556 | 2,724,637 | |
Williams Companies, Inc. | 109,899 | 3,324,445 | |
| 231,373,959 | ||
TOTAL ENERGY | 284,731,107 | ||
FINANCIALS - 15.0% | |||
Capital Markets - 2.3% | |||
Ameriprise Financial, Inc. | 45,272 | 2,611,289 | |
Bank of New York Mellon Corp. | 232,025 | 5,944,481 | |
BlackRock, Inc. Class A | 17,961 | 3,445,099 | |
Charles Schwab Corp. (d) | 187,154 | 3,078,683 | |
E*TRADE Financial Corp. (a) | 47,037 | 649,111 | |
Federated Investors, Inc. Class B (non-vtg.) (d) | 17,397 | 414,744 | |
Franklin Resources, Inc. | 26,948 | 3,538,003 | |
Goldman Sachs Group, Inc. | 96,743 | 12,875,526 | |
Invesco Ltd. | 86,341 | 2,020,379 | |
Janus Capital Group, Inc. (d) | 34,792 | 328,436 | |
Legg Mason, Inc. (d) | 27,800 | 910,728 | |
Morgan Stanley | 288,631 | 6,641,399 | |
Northern Trust Corp. | 45,182 | 2,076,565 | |
State Street Corp. | 94,183 | 4,246,711 | |
T. Rowe Price Group, Inc. (d) | 48,536 | 2,928,662 | |
| 51,709,816 | ||
Commercial Banks - 2.7% | |||
BB&T Corp. | 130,140 | 3,492,958 | |
Comerica, Inc. | 33,030 | 1,141,847 | |
Fifth Third Bancorp | 171,671 | 2,188,805 | |
First Horizon National Corp. | 49,206 | 469,425 | |
Huntington Bancshares, Inc. | 161,332 | 1,058,338 | |
KeyCorp | 177,666 | 1,479,958 | |
M&T Bank Corp. (d) | 23,448 | 2,062,252 | |
Marshall & Ilsley Corp. (d) | 99,057 | 789,484 | |
PNC Financial Services Group, Inc. | 98,339 | 5,861,988 | |
Regions Financial Corp. | 234,780 | 1,455,636 | |
SunTrust Banks, Inc. | 100,321 | 2,588,282 | |
U.S. Bancorp | 360,008 | 9,183,804 | |
Wells Fargo & Co. | 988,306 | 27,731,866 | |
Zions Bancorporation (d) | 34,349 | 824,719 | |
| 60,329,362 | ||
Consumer Finance - 0.8% | |||
American Express Co. | 195,429 | 10,103,679 | |
| |||
Shares | Value | ||
Capital One Financial Corp. | 85,789 | $ 4,432,718 | |
Discover Financial Services | 101,928 | 2,726,574 | |
SLM Corp. | 98,552 | 1,656,659 | |
| 18,919,630 | ||
Diversified Financial Services - 3.7% | |||
Bank of America Corp. | 1,893,416 | 20,751,839 | |
Citigroup, Inc. | 545,743 | 22,724,739 | |
CME Group, Inc. (d) | 12,531 | 3,653,914 | |
IntercontinentalExchange, Inc. (a) | 13,738 | 1,713,266 | |
JPMorgan Chase & Co. | 742,511 | 30,398,400 | |
Leucadia National Corp. (d) | 37,015 | 1,262,212 | |
Moody's Corp. (d) | 37,032 | 1,420,177 | |
NYSE Euronext | 48,919 | 1,676,454 | |
The NASDAQ Stock Market, Inc. (a) | 28,061 | 709,943 | |
| 84,310,944 | ||
Insurance - 3.7% | |||
ACE Ltd. | 63,046 | 4,149,688 | |
AFLAC, Inc. | 87,393 | 4,079,505 | |
Allstate Corp. | 97,719 | 2,983,361 | |
American International Group, Inc. (a)(d) | 81,517 | 2,390,078 | |
Aon Corp. | 61,764 | 3,168,493 | |
Assurant, Inc. | 18,033 | 654,057 | |
Berkshire Hathaway, Inc. Class B (a) | 323,498 | 25,035,510 | |
Cincinnati Financial Corp. | 30,458 | 888,764 | |
Genworth Financial, Inc. Class A (a) | 91,665 | 942,316 | |
Hartford Financial Services Group, Inc. | 83,202 | 2,194,037 | |
Lincoln National Corp. | 58,574 | 1,668,773 | |
Loews Corp. | 58,058 | 2,443,661 | |
Marsh & McLennan Companies, Inc. | 102,351 | 3,192,328 | |
MetLife, Inc. | 197,516 | 8,665,027 | |
Principal Financial Group, Inc. (d) | 60,041 | 1,826,447 | |
Progressive Corp. | 122,148 | 2,611,524 | |
Prudential Financial, Inc. | 91,186 | 5,798,518 | |
The Chubb Corp. | 54,664 | 3,422,513 | |
The Travelers Companies, Inc. | 78,269 | 4,569,344 | |
Torchmark Corp. (d) | 14,211 | 911,494 | |
Unum Group | 57,514 | 1,465,457 | |
XL Group PLC Class A | 57,817 | 1,270,818 | |
| 84,331,713 | ||
Real Estate Investment Trusts - 1.6% | |||
Apartment Investment & Management Co. Class A | 22,331 | 570,110 | |
AvalonBay Communities, Inc. | 16,316 | 2,094,974 | |
Boston Properties, Inc. | 27,205 | 2,888,083 | |
Equity Residential (SBI) | 55,058 | 3,303,480 | |
HCP, Inc. (d) | 75,869 | 2,783,634 | |
Health Care REIT, Inc. | 33,028 | 1,731,658 | |
Host Hotels & Resorts, Inc. | 128,216 | 2,173,261 | |
Kimco Realty Corp. | 76,037 | 1,417,330 | |
Plum Creek Timber Co., Inc. (d) | 30,259 | 1,226,700 | |
Prologis, Inc. | 84,883 | 3,042,207 | |
Public Storage | 26,145 | 2,980,791 | |
Simon Property Group, Inc. | 54,806 | 6,370,101 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Ventas, Inc. (d) | 30,543 | $ 1,609,922 | |
Vornado Realty Trust (d) | 30,639 | 2,854,942 | |
Weyerhaeuser Co. (d) | 100,638 | 2,199,947 | |
| 37,247,140 | ||
Real Estate Management & Development - 0.1% | |||
CB Richard Ellis Group, Inc. Class A (a) | 54,539 | 1,369,474 | |
Thrifts & Mortgage Finance - 0.1% | |||
Hudson City Bancorp, Inc. | 98,418 | 806,043 | |
People's United Financial, Inc. | 70,364 | 945,692 | |
| 1,751,735 | ||
TOTAL FINANCIALS | 339,969,814 | ||
HEALTH CARE - 11.6% | |||
Biotechnology - 1.2% | |||
Amgen, Inc. (a) | 173,727 | 10,136,970 | |
Biogen Idec, Inc. (a) | 45,151 | 4,827,545 | |
Celgene Corp. (a) | 86,478 | 5,216,353 | |
Cephalon, Inc. (a) | 14,374 | 1,148,483 | |
Gilead Sciences, Inc. (a) | 147,066 | 6,090,003 | |
| 27,419,354 | ||
Health Care Equipment & Supplies - 1.9% | |||
Baxter International, Inc. | 106,580 | 6,361,760 | |
Becton, Dickinson & Co. (d) | 40,875 | 3,522,199 | |
Boston Scientific Corp. (a) | 285,556 | 1,973,192 | |
C. R. Bard, Inc. (d) | 16,005 | 1,758,309 | |
CareFusion Corp. (a) | 41,750 | 1,134,348 | |
Covidien PLC | 92,631 | 4,930,748 | |
DENTSPLY International, Inc. | 26,304 | 1,001,656 | |
Edwards Lifesciences Corp. (a)(d) | 21,429 | 1,868,180 | |
Intuitive Surgical, Inc. (a)(d) | 7,341 | 2,731,660 | |
Medtronic, Inc. | 199,821 | 7,699,103 | |
St. Jude Medical, Inc. | 61,448 | 2,929,841 | |
Stryker Corp. | 62,352 | 3,659,439 | |
Varian Medical Systems, Inc. (a)(d) | 21,897 | 1,533,228 | |
Zimmer Holdings, Inc. (a) | 35,870 | 2,266,984 | |
| 43,370,647 | ||
Health Care Providers & Services - 2.2% | |||
Aetna, Inc. | 70,912 | 3,126,510 | |
AmerisourceBergen Corp. | 51,192 | 2,119,349 | |
Cardinal Health, Inc. | 65,510 | 2,975,464 | |
CIGNA Corp. | 50,558 | 2,600,198 | |
Coventry Health Care, Inc. (a) | 27,697 | 1,010,110 | |
DaVita, Inc. (a) | 17,845 | 1,545,555 | |
Express Scripts, Inc. (a) | 98,932 | 5,340,349 | |
Humana, Inc. | 31,466 | 2,534,272 | |
Laboratory Corp. of America Holdings (a)(d) | 18,723 | 1,812,199 | |
McKesson Corp. | 47,111 | 3,940,835 | |
| |||
Shares | Value | ||
Medco Health Solutions, Inc. (a) | 74,706 | $ 4,222,383 | |
Patterson Companies, Inc. | 17,909 | 589,027 | |
Quest Diagnostics, Inc. | 29,401 | 1,737,599 | |
Tenet Healthcare Corp. (a)(d) | 91,476 | 570,810 | |
UnitedHealth Group, Inc. | 202,448 | 10,442,268 | |
WellPoint, Inc. | 68,607 | 5,404,173 | |
| 49,971,101 | ||
Health Care Technology - 0.1% | |||
Cerner Corp. (a)(d) | 27,031 | 1,651,864 | |
Life Sciences Tools & Services - 0.5% | |||
Agilent Technologies, Inc. (a)(d) | 65,034 | 3,323,888 | |
Life Technologies Corp. (a)(d) | 33,404 | 1,739,346 | |
PerkinElmer, Inc. | 21,070 | 566,994 | |
Thermo Fisher Scientific, Inc. (a) | 71,615 | 4,611,290 | |
Waters Corp. (a)(d) | 17,124 | 1,639,452 | |
| 11,880,970 | ||
Pharmaceuticals - 5.7% | |||
Abbott Laboratories | 290,428 | 15,282,321 | |
Allergan, Inc. | 56,951 | 4,741,171 | |
Bristol-Myers Squibb Co. | 318,776 | 9,231,753 | |
Eli Lilly & Co. | 190,360 | 7,144,211 | |
Forest Laboratories, Inc. (a) | 53,471 | 2,103,549 | |
Hospira, Inc. (a)(d) | 31,350 | 1,776,291 | |
Johnson & Johnson | 512,202 | 34,071,677 | |
Merck & Co., Inc. | 576,750 | 20,353,508 | |
Mylan, Inc. (a) | 82,077 | 2,024,840 | |
Pfizer, Inc. | 1,476,382 | 30,413,469 | |
Watson Pharmaceuticals, Inc. (a) | 23,634 | 1,624,365 | |
| 128,767,155 | ||
TOTAL HEALTH CARE | 263,061,091 | ||
INDUSTRIALS - 11.1% | |||
Aerospace & Defense - 2.8% | |||
General Dynamics Corp. | 69,511 | 5,179,960 | |
Goodrich Corp. | 23,333 | 2,228,302 | |
Honeywell International, Inc. (d) | 147,058 | 8,763,186 | |
ITT Corp. | 34,400 | 2,027,192 | |
L-3 Communications Holdings, Inc. (d) | 19,831 | 1,734,221 | |
Lockheed Martin Corp. (d) | 53,214 | 4,308,738 | |
Northrop Grumman Corp. (d) | 54,697 | 3,793,237 | |
Precision Castparts Corp. | 26,884 | 4,426,451 | |
Raytheon Co. | 66,554 | 3,317,717 | |
Rockwell Collins, Inc. | 28,786 | 1,775,808 | |
Textron, Inc. (d) | 51,602 | 1,218,323 | |
The Boeing Co. | 137,952 | 10,198,791 | |
United Technologies Corp. | 171,023 | 15,137,246 | |
| 64,109,172 | ||
Air Freight & Logistics - 1.0% | |||
C.H. Robinson Worldwide, Inc. (d) | 30,453 | 2,400,915 | |
Expeditors International of Washington, Inc. | 39,683 | 2,031,373 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Air Freight & Logistics - continued | |||
FedEx Corp. (d) | 58,983 | $ 5,594,538 | |
United Parcel Service, Inc. Class B | 184,281 | 13,439,613 | |
| 23,466,439 | ||
Airlines - 0.1% | |||
Southwest Airlines Co. | 147,933 | 1,689,395 | |
Building Products - 0.0% | |||
Masco Corp. | 66,913 | 804,963 | |
Commercial Services & Supplies - 0.5% | |||
Avery Dennison Corp. | 19,743 | 762,672 | |
Cintas Corp. (d) | 23,621 | 780,202 | |
Iron Mountain, Inc. (d) | 37,500 | 1,278,375 | |
Pitney Bowes, Inc. (d) | 38,092 | 875,735 | |
R.R. Donnelley & Sons Co. (d) | 35,047 | 687,272 | |
Republic Services, Inc. | 56,693 | 1,748,979 | |
Stericycle, Inc. (a)(d) | 16,042 | 1,429,663 | |
Waste Management, Inc. | 88,607 | 3,302,383 | |
| 10,865,281 | ||
Construction & Engineering - 0.2% | |||
Fluor Corp. (d) | 32,566 | 2,105,718 | |
Jacobs Engineering Group, Inc. (a) | 23,695 | 1,024,809 | |
Quanta Services, Inc. (a)(d) | 40,377 | 815,615 | |
| 3,946,142 | ||
Electrical Equipment - 0.5% | |||
Emerson Electric Co. | 140,455 | 7,900,594 | |
Rockwell Automation, Inc. (d) | 26,964 | 2,339,397 | |
Roper Industries, Inc. | 17,920 | 1,492,736 | |
| 11,732,727 | ||
Industrial Conglomerates - 2.4% | |||
3M Co. | 132,776 | 12,593,804 | |
General Electric Co. (d) | 1,981,702 | 37,374,900 | |
Tyco International Ltd. | 87,625 | 4,331,304 | |
| 54,300,008 | ||
Machinery - 2.4% | |||
Caterpillar, Inc. | 120,420 | 12,819,913 | |
Cummins, Inc. | 36,669 | 3,794,875 | |
Danaher Corp. | 101,748 | 5,391,627 | |
Deere & Co. | 78,426 | 6,466,224 | |
Dover Corp. (d) | 34,864 | 2,363,779 | |
Eaton Corp. | 63,756 | 3,280,246 | |
Flowserve Corp. | 10,431 | 1,146,263 | |
Illinois Tool Works, Inc. | 93,438 | 5,278,313 | |
Ingersoll-Rand Co. Ltd. (d) | 61,899 | 2,810,834 | |
Joy Global, Inc. (d) | 19,627 | 1,869,275 | |
PACCAR, Inc. (d) | 68,291 | 3,488,987 | |
Pall Corp. | 21,698 | 1,220,079 | |
Parker Hannifin Corp. | 30,303 | 2,719,391 | |
| |||
Shares | Value | ||
Snap-On, Inc. (d) | 10,874 | $ 679,408 | |
Stanley Black & Decker, Inc. | 31,413 | 2,263,307 | |
| 55,592,521 | ||
Professional Services - 0.1% | |||
Dun & Bradstreet Corp. (d) | 9,232 | 697,385 | |
Equifax, Inc. | 22,996 | 798,421 | |
Robert Half International, Inc. | 27,436 | 741,595 | |
| 2,237,401 | ||
Road & Rail - 0.9% | |||
CSX Corp. | 206,059 | 5,402,867 | |
Norfolk Southern Corp. | 66,001 | 4,945,455 | |
Ryder System, Inc. | 9,594 | 545,419 | |
Union Pacific Corp. | 91,657 | 9,568,991 | |
| 20,462,732 | ||
Trading Companies & Distributors - 0.2% | |||
Fastenal Co. (d) | 55,097 | 1,982,941 | |
W.W. Grainger, Inc. (d) | 10,872 | 1,670,483 | |
| 3,653,424 | ||
TOTAL INDUSTRIALS | 252,860,205 | ||
INFORMATION TECHNOLOGY - 17.6% | |||
Communications Equipment - 2.0% | |||
Cisco Systems, Inc. | 1,027,748 | 16,043,146 | |
F5 Networks, Inc. (a)(d) | 15,157 | 1,671,059 | |
Harris Corp. (d) | 23,768 | 1,070,986 | |
JDS Uniphase Corp. (a)(d) | 42,412 | 706,584 | |
Juniper Networks, Inc. (a) | 99,608 | 3,137,652 | |
Motorola Mobility Holdings, Inc. | 55,120 | 1,214,845 | |
Motorola Solutions, Inc. | 63,444 | 2,920,962 | |
QUALCOMM, Inc. | 311,964 | 17,716,436 | |
Tellabs, Inc. (d) | 67,884 | 312,945 | |
| 44,794,615 | ||
Computers & Peripherals - 4.2% | |||
Apple, Inc. (a) | 172,797 | 58,002,769 | |
Dell, Inc. (a)(d) | 306,789 | 5,114,173 | |
EMC Corp. (a) | 384,471 | 10,592,176 | |
Hewlett-Packard Co. | 387,570 | 14,107,548 | |
Lexmark International, Inc. Class A (a)(d) | 14,805 | 433,194 | |
NetApp, Inc. (a) | 68,740 | 3,628,097 | |
SanDisk Corp. (a) | 44,541 | 1,848,452 | |
Western Digital Corp. (a) | 43,426 | 1,579,838 | |
| 95,306,247 | ||
Electronic Equipment & Components - 0.4% | |||
Amphenol Corp. Class A | 32,916 | 1,777,135 | |
Corning, Inc. | 293,348 | 5,324,266 | |
FLIR Systems, Inc. (d) | 29,837 | 1,005,805 | |
Jabil Circuit, Inc. (d) | 36,748 | 742,310 | |
Molex, Inc. (d) | 25,981 | 669,530 | |
| 9,519,046 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Internet Software & Services - 1.6% | |||
Akamai Technologies, Inc. (a) | 34,888 | $ 1,097,925 | |
eBay, Inc. (a) | 213,419 | 6,887,031 | |
Google, Inc. Class A (a) | 46,968 | 23,783,656 | |
Monster Worldwide, Inc. (a)(d) | 24,164 | 354,244 | |
VeriSign, Inc. (d) | 31,481 | 1,053,354 | |
Yahoo!, Inc. (a)(d) | 243,464 | 3,661,699 | |
| 36,837,909 | ||
IT Services - 3.2% | |||
Automatic Data Processing, Inc. | 93,373 | 4,918,890 | |
Cognizant Technology Solutions Corp. Class A (a) | 56,851 | 4,169,452 | |
Computer Sciences Corp. | 28,979 | 1,100,043 | |
Fidelity National Information Services, Inc. | 50,282 | 1,548,183 | |
Fiserv, Inc. (a) | 26,835 | 1,680,676 | |
International Business Machines Corp. | 226,322 | 38,825,539 | |
MasterCard, Inc. Class A | 17,594 | 5,301,776 | |
Paychex, Inc. (d) | 60,176 | 1,848,607 | |
SAIC, Inc. (a)(d) | 52,139 | 876,978 | |
Teradata Corp. (a) | 31,542 | 1,898,828 | |
The Western Union Co. | 118,143 | 2,366,404 | |
Total System Services, Inc. (d) | 30,239 | 561,841 | |
Visa, Inc. Class A | 89,502 | 7,541,439 | |
| 72,638,656 | ||
Office Electronics - 0.1% | |||
Xerox Corp. | 261,822 | 2,725,567 | |
Semiconductors & Semiconductor Equipment - 2.4% | |||
Advanced Micro Devices, Inc. (a)(d) | 107,916 | 754,333 | |
Altera Corp. | 60,210 | 2,790,734 | |
Analog Devices, Inc. (d) | 55,988 | 2,191,370 | |
Applied Materials, Inc. | 246,324 | 3,204,675 | |
Broadcom Corp. Class A | 89,155 | 2,999,174 | |
First Solar, Inc. (a)(d) | 10,143 | 1,341,615 | |
Intel Corp. | 990,716 | 21,954,267 | |
KLA-Tencor Corp. (d) | 31,373 | 1,269,979 | |
Linear Technology Corp. (d) | 42,554 | 1,405,133 | |
LSI Corp. (a) | 113,170 | 805,770 | |
MEMC Electronic Materials, Inc. (a)(d) | 43,055 | 367,259 | |
Microchip Technology, Inc. (d) | 35,592 | 1,349,293 | |
Micron Technology, Inc. (a)(d) | 160,934 | 1,203,786 | |
National Semiconductor Corp. | 45,059 | 1,108,902 | |
Novellus Systems, Inc. (a) | 16,688 | 603,104 | |
NVIDIA Corp. (a)(d) | 112,168 | 1,787,397 | |
Teradyne, Inc. (a)(d) | 34,651 | 512,835 | |
Texas Instruments, Inc. | 216,972 | 7,123,191 | |
Xilinx, Inc. (d) | 49,634 | 1,810,152 | |
| 54,582,969 | ||
| |||
Shares | Value | ||
Software - 3.7% | |||
Adobe Systems, Inc. (a) | 94,262 | $ 2,964,540 | |
Autodesk, Inc. (a) | 43,156 | 1,665,822 | |
BMC Software, Inc. (a) | 33,047 | 1,807,671 | |
CA, Inc. | 70,928 | 1,619,996 | |
Citrix Systems, Inc. (a) | 35,128 | 2,810,240 | |
Compuware Corp. (a) | 40,781 | 398,023 | |
Electronic Arts, Inc. (a) | 62,121 | 1,466,056 | |
Intuit, Inc. (a) | 51,124 | 2,651,291 | |
Microsoft Corp. | 1,386,636 | 36,052,536 | |
Oracle Corp. | 728,106 | 23,961,968 | |
Red Hat, Inc. (a) | 36,068 | 1,655,521 | |
salesforce.com, Inc. (a)(d) | 22,518 | 3,354,732 | |
Symantec Corp. (a) | 141,178 | 2,784,030 | |
| 83,192,426 | ||
TOTAL INFORMATION TECHNOLOGY | 399,597,435 | ||
MATERIALS - 3.6% | |||
Chemicals - 2.2% | |||
Air Products & Chemicals, Inc. | 39,595 | 3,784,490 | |
Airgas, Inc. | 13,055 | 914,372 | |
CF Industries Holdings, Inc. | 13,357 | 1,892,286 | |
Dow Chemical Co. | 219,665 | 7,907,940 | |
E.I. du Pont de Nemours & Co. | 173,535 | 9,379,567 | |
Eastman Chemical Co. | 13,276 | 1,355,081 | |
Ecolab, Inc. | 43,350 | 2,444,073 | |
FMC Corp. | 13,405 | 1,153,098 | |
International Flavors & Fragrances, Inc. | 15,021 | 964,949 | |
Monsanto Co. | 100,152 | 7,265,026 | |
PPG Industries, Inc. (d) | 29,552 | 2,683,026 | |
Praxair, Inc. (d) | 56,818 | 6,158,503 | |
Sherwin-Williams Co. (d) | 16,511 | 1,384,778 | |
Sigma Aldrich Corp. (d) | 22,760 | 1,670,129 | |
| 48,957,318 | ||
Construction Materials - 0.0% | |||
Vulcan Materials Co. (d) | 24,124 | 929,498 | |
Containers & Packaging - 0.1% | |||
Ball Corp. | 31,385 | 1,207,067 | |
Bemis Co., Inc. (d) | 19,683 | 664,892 | |
Owens-Illinois, Inc. (a) | 30,646 | 790,973 | |
Sealed Air Corp. | 29,926 | 711,940 | |
| 3,374,872 | ||
Metals & Mining - 1.1% | |||
AK Steel Holding Corp. (d) | 20,602 | 324,688 | |
Alcoa, Inc. (d) | 198,763 | 3,152,381 | |
Allegheny Technologies, Inc. (d) | 19,830 | 1,258,610 | |
Cliffs Natural Resources, Inc. (d) | 27,029 | 2,498,831 | |
Freeport-McMoRan Copper & Gold, Inc. | 177,013 | 9,363,988 | |
Newmont Mining Corp. | 92,249 | 4,978,679 | |
Nucor Corp. | 59,058 | 2,434,371 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Titanium Metals Corp. (d) | 16,833 | $ 308,381 | |
United States Steel Corp. (d) | 26,864 | 1,236,819 | |
| 25,556,748 | ||
Paper & Forest Products - 0.2% | |||
International Paper Co. (d) | 81,704 | 2,436,413 | |
MeadWestvaco Corp. | 31,707 | 1,056,160 | |
| 3,492,573 | ||
TOTAL MATERIALS | 82,311,009 | ||
TELECOMMUNICATION SERVICES - 3.1% | |||
Diversified Telecommunication Services - 2.7% | |||
AT&T, Inc. | 1,106,567 | 34,757,269 | |
CenturyLink, Inc. | 112,215 | 4,536,852 | |
Frontier Communications Corp. (d) | 185,964 | 1,500,729 | |
Verizon Communications, Inc. | 528,633 | 19,681,007 | |
Windstream Corp. | 95,292 | 1,234,984 | |
| 61,710,841 | ||
Wireless Telecommunication Services - 0.4% | |||
American Tower Corp. Class A (a) | 74,113 | 3,878,333 | |
MetroPCS Communications, Inc. (a)(d) | 49,607 | 853,736 | |
Sprint Nextel Corp. (a) | 559,020 | 3,013,118 | |
| 7,745,187 | ||
TOTAL TELECOMMUNICATION SERVICES | 69,456,028 | ||
UTILITIES - 3.4% | |||
Electric Utilities - 1.8% | |||
American Electric Power Co., Inc. | 90,026 | 3,392,180 | |
Duke Energy Corp. (d) | 248,769 | 4,684,320 | |
Edison International | 60,880 | 2,359,100 | |
Entergy Corp. (d) | 33,254 | 2,270,583 | |
Exelon Corp. (d) | 123,772 | 5,302,392 | |
FirstEnergy Corp. | 78,146 | 3,450,146 | |
NextEra Energy, Inc. | 78,846 | 4,530,491 | |
Northeast Utilities | 33,032 | 1,161,735 | |
Pepco Holdings, Inc. (d) | 42,186 | 828,111 | |
Pinnacle West Capital Corp. | 20,370 | 908,095 | |
PPL Corp. (d) | 107,845 | 3,001,326 | |
Progress Energy, Inc. | 55,035 | 2,642,230 | |
Southern Co. (d) | 158,664 | 6,406,852 | |
| 40,937,561 | ||
Gas Utilities - 0.1% | |||
Nicor, Inc. | 8,511 | 465,892 | |
ONEOK, Inc. (d) | 20,016 | 1,481,384 | |
| 1,947,276 | ||
Independent Power Producers & Energy Traders - 0.2% | |||
Constellation Energy Group, Inc. | 37,503 | 1,423,614 | |
| |||
Shares | Value | ||
NRG Energy, Inc. (a) | 45,049 | $ 1,107,304 | |
The AES Corp. (a) | 122,744 | 1,563,759 | |
| 4,094,677 | ||
Multi-Utilities - 1.3% | |||
Ameren Corp. | 45,060 | 1,299,530 | |
CenterPoint Energy, Inc. | 79,491 | 1,538,151 | |
CMS Energy Corp. (d) | 47,154 | 928,462 | |
Consolidated Edison, Inc. (d) | 54,670 | 2,910,631 | |
Dominion Resources, Inc. (d) | 107,592 | 5,193,466 | |
DTE Energy Co. | 31,643 | 1,582,783 | |
Integrys Energy Group, Inc. (d) | 14,548 | 754,168 | |
NiSource, Inc. | 52,241 | 1,057,880 | |
PG&E Corp. | 74,360 | 3,125,351 | |
Public Service Enterprise Group, Inc. | 94,532 | 3,085,524 | |
SCANA Corp. | 21,358 | 840,864 | |
Sempra Energy | 44,742 | 2,365,957 | |
TECO Energy, Inc. (d) | 40,163 | 758,679 | |
Wisconsin Energy Corp. | 43,677 | 1,369,274 | |
Xcel Energy, Inc. | 90,472 | 2,198,470 | |
| 29,009,190 | ||
TOTAL UTILITIES | 75,988,704 | ||
TOTAL COMMON STOCKS (Cost $1,341,254,011) | 2,246,020,888 |
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.2% 7/28/11 to 12/15/11 (e) | $ 1,825,000 | 1,824,879 |
Money Market Funds - 11.4% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.11% (b) | 2,338,984 | 2,338,984 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c) | 256,658,825 | 256,658,825 | |
TOTAL MONEY MARKET FUNDS (Cost $258,997,809) | 258,997,809 |
TOTAL INVESTMENT PORTFOLIO - 110.5% (Cost $1,602,076,527) | 2,506,843,576 |
NET OTHER ASSETS (LIABILITIES) - (10.5)% | (238,834,072) | ||
NET ASSETS - 100% | $ 2,268,009,504 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
82 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 26,967,750 | $ 395,260 |
The face value of futures purchased as a percentage of net assets is 1.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,744,906. |
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 | $ 19,933 |
Fidelity Securities Lending Cash Central Fund | 192,861 |
Total | $ 212,794 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 238,978,981 | $ 238,978,981 | $ - | $ - |
Consumer Staples | 239,066,514 | 239,066,514 | - | - |
Energy | 284,731,107 | 284,731,107 | - | - |
Financials | 339,969,814 | 339,969,814 | - | - |
Health Care | 263,061,091 | 263,061,091 | - | - |
Industrials | 252,860,205 | 252,860,205 | - | - |
Information Technology | 399,597,435 | 399,597,435 | - | - |
Materials | 82,311,009 | 82,311,009 | - | - |
Telecommunication Services | 69,456,028 | 69,456,028 | - | - |
Utilities | 75,988,704 | 75,988,704 | - | - |
U.S. Government and Government Agency Obligations | 1,824,879 | - | 1,824,879 | - |
Money Market Funds | 258,997,809 | 258,997,809 | - | - |
Total Investments in Securities: | $ 2,506,843,576 | $ 2,505,018,697 | $ 1,824,879 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 395,260 | $ 395,260 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 395,260 | $ - |
Total Value of Derivatives | $ 395,260 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $253,369,230) - See accompanying schedule: Unaffiliated issuers (cost $1,343,078,718) | $ 2,247,845,767 |
|
Fidelity Central Funds (cost $258,997,809) | 258,997,809 |
|
Total Investments (cost $1,602,076,527) |
| $ 2,506,843,576 |
Cash | 13,866 | |
Receivable for investments sold | 20,428,436 | |
Receivable for fund shares sold | 1,124,981 | |
Dividends receivable | 2,880,437 | |
Distributions receivable from Fidelity Central Funds | 30,630 | |
Receivable for daily variation on futures contracts | 229,600 | |
Other receivables | 41,223 | |
Total assets | 2,531,592,749 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 46,462 | |
Payable for fund shares redeemed | 6,599,495 | |
Accrued management fee | 185,323 | |
Distribution and service plan fees payable | 54,136 | |
Other payables and accrued expenses | 39,004 | |
Collateral on securities loaned, at value | 256,658,825 | |
Total liabilities | 263,583,245 | |
|
|
|
Net Assets | $ 2,268,009,504 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,324,270,616 | |
Undistributed net investment income | 20,602,548 | |
Accumulated undistributed net realized gain (loss) on investments | 17,974,031 | |
Net unrealized appreciation (depreciation) on investments | 905,162,309 | |
Net Assets | $ 2,268,009,504 |
Statement of Assets and Liabilities - continued
| June 30, 2011 (Unaudited) | |
|
|
|
Initial Class: | $ 137.25 | |
|
|
|
Service Class: | $ 136.84 | |
|
|
|
Service Class 2: | $ 135.94 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended June 30, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 21,913,105 |
Interest |
| 3,396 |
Income from Fidelity Central Funds |
| 212,794 |
Total income |
| 22,129,295 |
|
|
|
Expenses | ||
Management fee | $ 1,146,832 | |
Distribution and service plan fees | 334,432 | |
Independent trustees' compensation | 5,940 | |
Miscellaneous | 3,819 | |
Total expenses before reductions | 1,491,023 | |
Expense reductions | (16) | 1,491,007 |
Net investment income (loss) | 20,638,288 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 19,406,379 | |
Futures contracts | 1,606,536 | |
Total net realized gain (loss) |
| 21,012,915 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 90,294,816 | |
Futures contracts | (310,763) | |
Total change in net unrealized appreciation (depreciation) |
| 89,984,053 |
Net gain (loss) | 110,996,968 | |
Net increase (decrease) in net assets resulting from operations | $ 131,635,256 |
Statement of Changes in Net Assets
| Six months ended June 30, 2011 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 20,638,288 | $ 38,610,465 |
Net realized gain (loss) | 21,012,915 | 49,816,060 |
Change in net unrealized appreciation (depreciation) | 89,984,053 | 198,653,430 |
Net increase (decrease) in net assets resulting from operations | 131,635,256 | 287,079,955 |
Distributions to shareholders from net investment income | - | (39,528,264) |
Distributions to shareholders from net realized gain | (50,501,627) | (38,021,665) |
Total distributions | (50,501,627) | (77,549,929) |
Share transactions - net increase (decrease) | (24,280,775) | (19,052,019) |
Total increase (decrease) in net assets | 56,852,854 | 190,478,007 |
|
|
|
Net Assets | ||
Beginning of period | 2,211,156,650 | 2,020,678,643 |
End of period (including undistributed net investment income of $20,602,548 and distributions in excess of net investment income of $35,740, respectively) | $ 2,268,009,504 | $ 2,211,156,650 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Initial Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 132.39 | $ 119.62 | $ 99.19 | $ 164.03 | $ 161.36 | $ 141.88 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | 1.25 | 2.35 | 2.37 | 3.03 | 3.11 | 2.71 |
Net realized and unrealized gain (loss) | 6.64 | 15.13 | 23.03 | (63.32) | 5.59 | 19.26 |
Total from investment operations | 7.89 | 17.48 | 25.40 | (60.29) | 8.70 | 21.97 |
Distributions from net investment income | - | (2.44) | (2.72) | (3.07) | (6.03) | (2.49) |
Distributions from net realized gain | (3.03) | (2.27) | (2.25) | (1.48) | - | - |
Total distributions | (3.03) | (4.71) | (4.97) | (4.55) | (6.03) | (2.49) |
Net asset value, end of period | $ 137.25 | $ 132.39 | $ 119.62 | $ 99.19 | $ 164.03 | $ 161.36 |
Total Return B, C, D | 5.99% | 15.02% | 26.61% | (37.00)% | 5.45% | 15.73% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | .10% A | .10% | .10% | .10% | .10% | .10% |
Expenses net of fee waivers, if any | .10% A | .10% | .10% | .10% | .10% | .10% |
Expenses net of all reductions | .10% A | .10% | .10% | .10% | .10% | .10% |
Net investment income (loss) | 1.83% A | 1.94% | 2.31% | 2.22% | 1.86% | 1.83% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,978,735 | $ 1,931,271 | $ 1,767,750 | $ 1,525,779 | $ 2,626,891 | $ 2,780,085 |
Portfolio turnover rate G | 4% A | 5% | 6% | 6% | 5% | 6% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
Financial Highlights - Service Class
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 132.07 | $ 119.35 | $ 98.99 | $ 163.66 | $ 160.88 | $ 141.48 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | 1.17 | 2.22 | 2.27 | 2.88 | 2.93 | 2.55 |
Net realized and unrealized gain (loss) | 6.63 | 15.09 | 22.96 | (63.14) | 5.58 | 19.22 |
Total from investment operations | 7.80 | 17.31 | 25.23 | (60.26) | 8.51 | 21.77 |
Distributions from net investment income | - | (2.32) | (2.62) | (2.93) | (5.73) | (2.37) |
Distributions from net realized gain | (3.03) | (2.27) | (2.25) | (1.48) | - | - |
Total distributions | (3.03) | (4.59) | (4.87) | (4.41) | (5.73) | (2.37) |
Net asset value, end of period | $ 136.84 | $ 132.07 | $ 119.35 | $ 98.99 | $ 163.66 | $ 160.88 |
Total Return B, C, D | 5.94% | 14.91% | 26.48% | (37.07)% | 5.34% | 15.61% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | .20% A | .20% | .20% | .20% | .20% | .20% |
Expenses net of fee waivers, if any | .20% A | .20% | .20% | .20% | .20% | .20% |
Expenses net of all reductions | .20% A | .20% | .20% | .20% | .20% | .20% |
Net investment income (loss) | 1.73% A | 1.84% | 2.21% | 2.12% | 1.76% | 1.73% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 39,243 | $ 37,209 | $ 32,708 | $ 24,340 | $ 38,960 | $ 35,953 |
Portfolio turnover rate G | 4% A | 5% | 6% | 6% | 5% | 6% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Service Class 2
| Six months ended June 30, 2011 | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 131.31 | $ 118.71 | $ 98.50 | $ 162.79 | $ 159.90 | $ 140.68 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | 1.07 | 2.03 | 2.11 | 2.66 | 2.67 | 2.32 |
Net realized and unrealized gain (loss) | 6.59 | 14.97 | 22.82 | (62.74) | 5.54 | 19.11 |
Total from investment operations | 7.66 | 17.00 | 24.93 | (60.08) | 8.21 | 21.43 |
Distributions from net investment income | - | (2.13) | (2.47) | (2.73) | (5.32) | (2.21) |
Distributions from net realized gain | (3.03) | (2.27) | (2.25) | (1.48) | - | - |
Total distributions | (3.03) | (4.40) | (4.72) | (4.21) | (5.32) | (2.21) |
Net asset value, end of period | $ 135.94 | $ 131.31 | $ 118.71 | $ 98.50 | $ 162.79 | $ 159.90 |
Total Return B, C, D | 5.86% | 14.73% | 26.30% | (37.16)% | 5.17% | 15.44% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
Expenses before reductions | .35% A | .35% | .35% | .35% | .35% | .35% |
Expenses net of fee waivers, if any | .35% A | .35% | .35% | .35% | .35% | .35% |
Expenses net of all reductions | .35% A | .35% | .35% | .35% | .35% | .35% |
Net investment income (loss) | 1.58% A | 1.69% | 2.06% | 1.97% | 1.61% | 1.58% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 250,031 | $ 242,677 | $ 220,221 | $ 170,637 | $ 269,769 | $ 219,346 |
Portfolio turnover rate G | 4% A | 5% | 6% | 6% | 5% | 6% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Calculated based on average shares outstanding during the period.
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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
1. Organization.
VIP Index 500 Portfolio (the Fund) is a fund of Variable Insurance Products Fund 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 Massachusetts business trust. Shares of the Fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The Fund offers the following classes of shares: Initial Class shares, Service Class shares and Service Class 2 shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2011, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to future transactions, market discount, deferred trustees compensation and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 1,111,717,174 |
Gross unrealized depreciation | (212,467,027) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 899,250,147 |
Tax cost | $ 1,607,593,429 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts, in order to meet its investment objectives. The strategy is to use derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
During the period the Fund recognized net realized gain (loss) of $1,606,536 and a change in net unrealized appreciation (depreciation) of ($310,763) related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $46,938,420 and $84,914,267, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees. In addition, under an expense contract, FMR pays class-level expenses so that total expenses do not exceed ..10% of each class' average net assets, excluding the distribution and service fee for each applicable class, with certain exceptions.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Management Fee and Expense Contract - continued
In July 2011, the Board of Trustees approved an amendment to the management contract lowering the management fee from .10% to .045% of the Fund's average net assets. Under the expense contract, the total expenses will continue to be limited, with certain exceptions, to .10% of each class' average net assets, excluding the distribution and service fee for each applicable class. The new management fee rate will be effective September 1, 2011.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by FMR for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate 12b-1 Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of .10% of Service Class' average net assets and .25% of Service Class 2's average net assets.
For the period, total fees, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services were as follows:
Service Class | $ 19,416 |
Service Class 2 | 315,016 |
| $ 334,432 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives asset-based fees of .067% of each class' average net assets. Under the expense contract, the classes did not pay transfer agent fees during the period. Effective September 1, 2011, the fee rate will continue to be in effect but, as a result of the amendment to the management contract referenced above, each class will pay a portion of the transfer agent fees equal to an annual rate of ..055% of the class' average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3,819 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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 $192,861.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $16.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Initial Class | $ - | $ 35,017,804 |
Service Class | - | 639,120 |
Service Class 2 | - | 3,871,340 |
Total | $ - | $ 39,528,264 |
From net realized gain |
|
|
Initial Class | $ 44,043,562 | $ 33,213,569 |
Service Class | 850,768 | 619,294 |
Service Class 2 | 5,607,297 | 4,188,802 |
Total | $ 50,501,627 | $ 38,021,665 |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended June 30, | Year ended | Six months ended June 30, | Year ended | |
Initial Class |
|
|
|
|
Shares sold | 603,657 | 1,562,668 | $ 81,997,399 | $ 191,691,853 |
Reinvestment of distributions | 325,862 | 564,289 | 44,043,562 | 68,231,373 |
Shares redeemed | (1,100,553) | (2,317,208) | (149,767,932) | (279,458,721) |
Net increase (decrease) | (171,034) | (190,251) | $ (23,726,971) | $ (19,535,495) |
Service Class |
|
|
|
|
Shares sold | 13,443 | 33,640 | $ 1,822,173 | $ 4,058,019 |
Reinvestment of distributions | 6,311 | 10,441 | 850,768 | 1,258,414 |
Shares redeemed | (14,714) | (36,392) | (2,001,051) | (4,366,671) |
Net increase (decrease) | 5,040 | 7,689 | $ 671,890 | $ 949,762 |
Service Class 2 |
|
|
|
|
Shares sold | 142,421 | 337,917 | $ 19,199,466 | $ 40,695,508 |
Reinvestment of distributions | 41,845 | 67,549 | 5,607,297 | 8,060,142 |
Shares redeemed | (193,081) | (412,564) | (26,032,457) | (49,221,936) |
Net increase (decrease) | (8,815) | (7,098) | $ (1,225,694) | $ (466,286) |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, FMR or its affiliates were the owners of record of 33% of the total outstanding shares of the Fund.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Geode Capital Management, LLC
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
VIPIDX-SANN-0811
1.705630.113
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Variable Insurance Products Fund II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Variable Insurance Products Fund II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Variable Insurance Products Fund II
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | August 22, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | August 22, 2011 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 22, 2011 |