Spartan®
500 Index
Fund -
Institutional Class
Fidelity Advantage® Institutional Class
Semiannual Report
August 31, 2012
(Fidelity Cover Art)
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. | |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2012 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2012 to August 31, 2012).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Semiannual Report
Shareholder Expense Example - continued
|
Annualized Expense Ratio |
Beginning |
Ending |
Expenses Paid |
Investor Class |
.095% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,041.00 |
$ .49 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,024.73 |
$ .49 |
Fidelity Advantage Class |
.060% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,041.00 |
$ .31 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,024.90 |
$ .31 |
Institutional Class |
.040% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,041.30 |
$ .21 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,025.00 |
$ .20 |
Fidelity Advantage Institutional Class |
.020% |
|
|
|
Actual |
|
$ 1,000.00 |
$ 1,041.40 |
$ .10 |
HypotheticalA |
|
$ 1,000.00 |
$ 1,025.10 |
$ .10 |
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 184/365 (to reflect the one-half year period).
Semiannual Report
Top Ten Stocks as of August 31, 2012 | ||
|
% of fund's |
% of fund's net assets |
Apple, Inc. |
4.8 |
4.0 |
Exxon Mobil Corp. |
3.2 |
3.3 |
Microsoft Corp. |
1.8 |
1.9 |
IBM Corp. |
1.7 |
1.8 |
Chevron Corp. |
1.7 |
1.7 |
General Electric Co. |
1.7 |
1.6 |
AT&T, Inc. |
1.7 |
1.4 |
Johnson & Johnson |
1.4 |
1.4 |
Procter & Gamble Co. |
1.4 |
1.5 |
Wells Fargo & Co. |
1.4 |
1.3 |
|
20.8 |
|
Market Sectors as of August 31, 2012 | ||
|
% of fund's |
% of fund's net assets |
Information Technology |
20.0 |
19.9 |
Financials |
14.2 |
14.0 |
Health Care |
11.7 |
11.2 |
Energy |
11.1 |
11.9 |
Consumer Staples |
11.0 |
10.6 |
Consumer Discretionary |
10.9 |
10.7 |
Industrials |
10.0 |
10.6 |
Utilities |
3.5 |
3.4 |
Materials |
3.3 |
3.5 |
Telecommunication Services |
3.2 |
2.7 |
Semiannual Report
Showing Percentage of Net Assets
Common Stocks - 98.9% | |||
Shares |
Value (000s) | ||
CONSUMER DISCRETIONARY - 10.9% | |||
Auto Components - 0.2% | |||
BorgWarner, Inc. (a)(d) |
425,697 |
$ 29,279 | |
Johnson Controls, Inc. |
2,526,385 |
68,743 | |
The Goodyear Tire & Rubber Co. (a) |
908,888 |
11,088 | |
|
109,110 | ||
Automobiles - 0.4% | |||
Ford Motor Co. |
14,174,651 |
132,391 | |
Harley-Davidson, Inc. |
859,902 |
36,081 | |
|
168,472 | ||
Distributors - 0.1% | |||
Genuine Parts Co. |
579,077 |
36,575 | |
Diversified Consumer Services - 0.1% | |||
Apollo Group, Inc. Class A (non-vtg.) (a)(d) |
374,773 |
10,063 | |
DeVry, Inc. (d) |
218,874 |
4,226 | |
H&R Block, Inc. |
1,019,202 |
16,878 | |
|
31,167 | ||
Hotels, Restaurants & Leisure - 1.8% | |||
Carnival Corp. unit |
1,683,112 |
58,370 | |
Chipotle Mexican Grill, Inc. (a)(d) |
117,750 |
33,987 | |
Darden Restaurants, Inc. (d) |
477,843 |
24,824 | |
International Game Technology |
992,056 |
12,192 | |
Marriott International, Inc. Class A (d) |
983,531 |
37,059 | |
McDonald's Corp. |
3,774,510 |
337,781 | |
Starbucks Corp. |
2,817,201 |
139,761 | |
Starwood Hotels & Resorts Worldwide, Inc. |
734,096 |
40,471 | |
Wyndham Worldwide Corp. |
541,928 |
28,256 | |
Wynn Resorts Ltd. |
294,925 |
30,427 | |
Yum! Brands, Inc. (d) |
1,710,597 |
108,999 | |
|
852,127 | ||
Household Durables - 0.3% | |||
D.R. Horton, Inc. (d) |
1,040,587 |
19,761 | |
Harman International Industries, Inc. |
261,779 |
12,050 | |
Leggett & Platt, Inc. |
520,645 |
12,360 | |
Lennar Corp. Class A (d) |
604,379 |
19,600 | |
Newell Rubbermaid, Inc. |
1,076,739 |
19,306 | |
PulteGroup, Inc. (a)(d) |
1,253,946 |
17,154 | |
Whirlpool Corp. |
286,945 |
21,653 | |
|
121,884 | ||
Internet & Catalog Retail - 1.0% | |||
Amazon.com, Inc. (a)(d) |
1,338,665 |
332,297 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Internet & Catalog Retail - continued | |||
Expedia, Inc. |
357,958 |
$ 18,385 | |
Netflix, Inc. (a)(d) |
206,197 |
12,314 | |
Priceline.com, Inc. (a) |
184,940 |
111,809 | |
TripAdvisor, Inc. |
375,286 |
12,550 | |
|
487,355 | ||
Leisure Equipment & Products - 0.1% | |||
Hasbro, Inc. (d) |
433,465 |
16,259 | |
Mattel, Inc. |
1,264,971 |
44,451 | |
|
60,710 | ||
Media - 3.4% | |||
Cablevision Systems Corp. - NY Group Class A |
795,462 |
11,892 | |
CBS Corp. Class B |
2,407,308 |
87,482 | |
Comcast Corp. Class A |
10,014,045 |
335,771 | |
DIRECTV (a) |
2,432,780 |
126,724 | |
Discovery Communications, Inc. (a)(d) |
946,932 |
51,930 | |
Gannett Co., Inc. |
872,668 |
13,317 | |
Interpublic Group of Companies, Inc. |
1,645,546 |
17,509 | |
McGraw-Hill Companies, Inc. |
1,038,855 |
53,189 | |
News Corp. Class A |
7,824,953 |
183,026 | |
Omnicom Group, Inc. (d) |
1,012,576 |
52,016 | |
Scripps Networks Interactive, Inc. Class A |
344,290 |
20,348 | |
The Walt Disney Co. (d) |
6,638,584 |
328,411 | |
Time Warner Cable, Inc. |
1,160,657 |
103,090 | |
Time Warner, Inc. |
3,565,295 |
148,138 | |
Viacom, Inc. Class B (non-vtg.) |
1,960,415 |
98,040 | |
Washington Post Co. Class B (d) |
17,827 |
6,284 | |
|
1,637,167 | ||
Multiline Retail - 0.8% | |||
Big Lots, Inc. (a)(d) |
236,607 |
7,202 | |
Dollar Tree, Inc. (a) |
861,525 |
41,500 | |
Family Dollar Stores, Inc. |
433,577 |
27,593 | |
JCPenney Co., Inc. (d) |
543,954 |
14,186 | |
Kohl's Corp. |
890,611 |
46,490 | |
Macy's, Inc. |
1,534,508 |
61,856 | |
Nordstrom, Inc. |
594,891 |
34,403 | |
Sears Holdings Corp. (a)(d) |
142,319 |
7,507 | |
Target Corp. |
2,455,835 |
157,394 | |
|
398,131 | ||
Common Stocks - continued | |||
Shares |
Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - 2.1% | |||
Abercrombie & Fitch Co. Class A |
306,616 |
$ 11,035 | |
AutoNation, Inc. (a)(d) |
154,280 |
6,202 | |
AutoZone, Inc. (a) |
98,976 |
35,794 | |
Bed Bath & Beyond, Inc. (a) |
863,479 |
58,000 | |
Best Buy Co., Inc. |
1,029,499 |
18,263 | |
CarMax, Inc. (a)(d) |
847,557 |
25,927 | |
GameStop Corp. Class A (d) |
483,937 |
9,234 | |
Gap, Inc. |
1,235,588 |
44,259 | |
Home Depot, Inc. |
5,685,145 |
322,632 | |
Limited Brands, Inc. |
897,451 |
43,616 | |
Lowe's Companies, Inc. |
4,370,547 |
124,473 | |
O'Reilly Automotive, Inc. (a) |
441,574 |
37,512 | |
Ross Stores, Inc. |
837,837 |
57,970 | |
Staples, Inc. (d) |
2,559,713 |
27,952 | |
Tiffany & Co., Inc. (d) |
470,682 |
29,159 | |
TJX Companies, Inc. |
2,752,026 |
126,015 | |
Urban Outfitters, Inc. (a)(d) |
414,142 |
15,547 | |
|
993,590 | ||
Textiles, Apparel & Luxury Goods - 0.6% | |||
Coach, Inc. |
1,067,346 |
62,045 | |
Fossil, Inc. (a) |
193,222 |
16,414 | |
NIKE, Inc. Class B |
1,361,967 |
132,601 | |
Ralph Lauren Corp. |
241,037 |
38,241 | |
VF Corp. |
321,488 |
49,085 | |
|
298,386 | ||
TOTAL CONSUMER DISCRETIONARY |
5,194,674 | ||
CONSUMER STAPLES - 11.0% | |||
Beverages - 2.6% | |||
Beam, Inc. |
585,343 |
34,161 | |
Brown-Forman Corp. Class B (non-vtg.) |
553,833 |
35,501 | |
Coca-Cola Enterprises, Inc. |
1,114,382 |
32,908 | |
Constellation Brands, Inc. Class A (sub. vtg.) (a) |
565,410 |
18,625 | |
Dr Pepper Snapple Group, Inc. (d) |
786,772 |
35,255 | |
Molson Coors Brewing Co. Class B |
583,768 |
26,001 | |
Monster Beverage Corp. (a) |
569,424 |
33,556 | |
PepsiCo, Inc. |
5,808,839 |
420,734 | |
The Coca-Cola Co. |
16,757,982 |
626,749 | |
|
1,263,490 | ||
Common Stocks - continued | |||
Shares |
Value (000s) | ||
CONSUMER STAPLES - continued | |||
Food & Staples Retailing - 2.4% | |||
Costco Wholesale Corp. |
1,605,805 |
$ 157,160 | |
CVS Caremark Corp. |
4,759,721 |
216,805 | |
Kroger Co. |
2,083,548 |
46,421 | |
Safeway, Inc. (d) |
892,888 |
13,974 | |
Sysco Corp. (d) |
2,175,633 |
65,922 | |
Wal-Mart Stores, Inc. |
6,409,201 |
465,308 | |
Walgreen Co. (d) |
3,183,385 |
113,838 | |
Whole Foods Market, Inc. |
606,792 |
58,707 | |
|
1,138,135 | ||
Food Products - 1.7% | |||
Archer Daniels Midland Co. |
2,445,881 |
65,427 | |
Campbell Soup Co. (d) |
657,260 |
23,096 | |
ConAgra Foods, Inc. |
1,542,734 |
38,738 | |
Dean Foods Co. (a) |
685,268 |
11,252 | |
General Mills, Inc. |
2,404,219 |
94,558 | |
H.J. Heinz Co. (d) |
1,188,131 |
66,203 | |
Hormel Foods Corp. (d) |
509,209 |
14,624 | |
Kellogg Co. |
916,100 |
46,400 | |
Kraft Foods, Inc. Class A |
6,585,185 |
273,483 | |
McCormick & Co., Inc. (non-vtg.) (d) |
492,491 |
30,259 | |
Mead Johnson Nutrition Co. Class A |
757,282 |
55,531 | |
The Hershey Co. |
564,872 |
40,569 | |
The J.M. Smucker Co. |
421,066 |
35,778 | |
Tyson Foods, Inc. Class A |
1,072,553 |
16,796 | |
|
812,714 | ||
Household Products - 2.1% | |||
Clorox Co. |
483,095 |
35,145 | |
Colgate-Palmolive Co. |
1,772,578 |
188,443 | |
Kimberly-Clark Corp. |
1,456,406 |
121,756 | |
Procter & Gamble Co. |
10,177,231 |
683,808 | |
|
1,029,152 | ||
Personal Products - 0.2% | |||
Avon Products, Inc. |
1,603,784 |
24,778 | |
Estee Lauder Companies, Inc. Class A (d) |
837,417 |
50,203 | |
|
74,981 | ||
Tobacco - 2.0% | |||
Altria Group, Inc. |
7,557,765 |
256,662 | |
Lorillard, Inc. |
484,763 |
60,843 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
CONSUMER STAPLES - continued | |||
Tobacco - continued | |||
Philip Morris International, Inc. |
6,334,758 |
$ 565,694 | |
Reynolds American, Inc. |
1,231,171 |
56,757 | |
|
939,956 | ||
TOTAL CONSUMER STAPLES |
5,258,428 | ||
ENERGY - 11.1% | |||
Energy Equipment & Services - 1.9% | |||
Baker Hughes, Inc. |
1,628,587 |
74,264 | |
Cameron International Corp. (a) |
914,771 |
50,047 | |
Diamond Offshore Drilling, Inc. (d) |
258,187 |
17,304 | |
Ensco PLC Class A |
859,201 |
49,292 | |
FMC Technologies, Inc. (a)(d) |
888,089 |
41,598 | |
Halliburton Co. |
3,428,205 |
112,308 | |
Helmerich & Payne, Inc. |
398,962 |
18,209 | |
Nabors Industries Ltd. (a) |
1,078,255 |
15,926 | |
National Oilwell Varco, Inc. |
1,583,034 |
124,743 | |
Noble Corp. (d) |
937,410 |
35,753 | |
Rowan Companies PLC (a)(d) |
461,225 |
16,226 | |
Schlumberger Ltd. |
4,953,051 |
358,502 | |
|
914,172 | ||
Oil, Gas & Consumable Fuels - 9.2% | |||
Alpha Natural Resources, Inc. (a)(d) |
818,151 |
4,860 | |
Anadarko Petroleum Corp. |
1,855,479 |
128,529 | |
Apache Corp. |
1,451,621 |
124,477 | |
Cabot Oil & Gas Corp. |
779,349 |
32,273 | |
Chesapeake Energy Corp. (d) |
2,460,061 |
47,602 | |
Chevron Corp. |
7,328,730 |
821,990 | |
ConocoPhillips |
4,696,786 |
266,730 | |
CONSOL Energy, Inc. (d) |
845,142 |
25,523 | |
Denbury Resources, Inc. (a) |
1,450,891 |
22,474 | |
Devon Energy Corp. |
1,502,013 |
86,861 | |
EOG Resources, Inc. |
1,001,319 |
108,443 | |
EQT Corp. |
555,547 |
29,977 | |
Exxon Mobil Corp. |
17,368,091 |
1,516,234 | |
Hess Corp. |
1,129,235 |
57,060 | |
Kinder Morgan Holding Co. LLC |
2,105,297 |
75,306 | |
Marathon Oil Corp. |
2,619,678 |
72,879 | |
Marathon Petroleum Corp. |
1,265,501 |
65,490 | |
Murphy Oil Corp. |
721,173 |
37,018 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Newfield Exploration Co. (a) |
500,700 |
$ 16,338 | |
Noble Energy, Inc. |
660,331 |
58,043 | |
Occidental Petroleum Corp. |
3,012,444 |
256,088 | |
Peabody Energy Corp. (d) |
1,011,711 |
21,883 | |
Phillips 66 |
2,322,369 |
97,539 | |
Pioneer Natural Resources Co. (d) |
456,933 |
44,487 | |
QEP Resources, Inc. (d) |
662,556 |
19,009 | |
Range Resources Corp. (d) |
602,379 |
39,269 | |
Southwestern Energy Co. (a)(d) |
1,293,052 |
40,253 | |
Spectra Energy Corp. (d) |
2,424,382 |
68,513 | |
Sunoco, Inc. |
393,316 |
18,561 | |
Tesoro Corp. |
521,225 |
20,713 | |
Valero Energy Corp. |
2,053,462 |
64,191 | |
Williams Companies, Inc. |
2,323,781 |
74,988 | |
WPX Energy, Inc. |
738,073 |
11,514 | |
|
4,375,115 | ||
TOTAL ENERGY |
5,289,287 | ||
FINANCIALS - 14.2% | |||
Capital Markets - 1.8% | |||
Ameriprise Financial, Inc. |
812,004 |
44,587 | |
Bank of New York Mellon Corp. |
4,429,955 |
99,851 | |
BlackRock, Inc. Class A |
475,970 |
83,947 | |
Charles Schwab Corp. |
4,019,014 |
54,216 | |
E*TRADE Financial Corp. (a) |
944,372 |
8,093 | |
Federated Investors, Inc. Class B (non-vtg.) (d) |
344,372 |
7,308 | |
Franklin Resources, Inc. (d) |
527,494 |
61,928 | |
Goldman Sachs Group, Inc. |
1,826,917 |
193,142 | |
Invesco Ltd. |
1,664,768 |
39,422 | |
Legg Mason, Inc. (d) |
466,713 |
11,472 | |
Morgan Stanley |
5,656,269 |
84,844 | |
Northern Trust Corp. |
895,674 |
41,595 | |
State Street Corp. |
1,814,723 |
75,492 | |
T. Rowe Price Group, Inc. |
947,467 |
58,212 | |
|
864,109 | ||
Commercial Banks - 2.9% | |||
BB&T Corp. |
2,594,867 |
81,842 | |
Comerica, Inc. |
730,477 |
22,433 | |
Fifth Third Bancorp |
3,417,248 |
51,737 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
First Horizon National Corp. |
938,449 |
$ 8,409 | |
Huntington Bancshares, Inc. |
3,211,553 |
21,196 | |
KeyCorp |
3,540,118 |
29,843 | |
M&T Bank Corp. (d) |
470,062 |
40,848 | |
PNC Financial Services Group, Inc. |
1,963,996 |
122,082 | |
Regions Financial Corp. |
5,246,007 |
36,512 | |
SunTrust Banks, Inc. |
1,998,853 |
50,311 | |
U.S. Bancorp |
7,035,352 |
235,051 | |
Wells Fargo & Co. |
19,736,822 |
671,644 | |
Zions Bancorporation |
684,140 |
13,170 | |
|
1,385,078 | ||
Consumer Finance - 0.9% | |||
American Express Co. |
3,718,981 |
216,817 | |
Capital One Financial Corp. |
2,155,495 |
121,850 | |
Discover Financial Services |
1,969,697 |
76,286 | |
SLM Corp. |
1,811,577 |
28,532 | |
|
443,485 | ||
Diversified Financial Services - 2.8% | |||
Bank of America Corp. |
40,026,506 |
319,812 | |
Citigroup, Inc. |
10,890,542 |
323,558 | |
CME Group, Inc. |
1,234,334 |
67,765 | |
IntercontinentalExchange, Inc. (a) |
270,202 |
36,937 | |
JPMorgan Chase & Co. |
14,138,621 |
525,108 | |
Leucadia National Corp. (d) |
735,822 |
15,732 | |
Moody's Corp. (d) |
734,427 |
29,083 | |
NYSE Euronext |
943,400 |
23,632 | |
The NASDAQ Stock Market, Inc. |
454,690 |
10,399 | |
|
1,352,026 | ||
Insurance - 3.6% | |||
ACE Ltd. |
1,257,961 |
92,749 | |
AFLAC, Inc. |
1,736,855 |
80,208 | |
Allstate Corp. |
1,825,001 |
68,036 | |
American International Group, Inc. (a) |
2,724,481 |
93,531 | |
Aon PLC |
1,212,396 |
62,996 | |
Assurant, Inc. |
301,164 |
10,616 | |
Berkshire Hathaway, Inc. Class B (a) |
6,531,654 |
550,880 | |
Cincinnati Financial Corp. (d) |
602,910 |
23,309 | |
Genworth Financial, Inc. Class A (a) |
1,825,528 |
9,657 | |
Hartford Financial Services Group, Inc. |
1,637,450 |
29,359 | |
Lincoln National Corp. |
1,060,081 |
24,615 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
Loews Corp. |
1,134,916 |
$ 46,134 | |
Marsh & McLennan Companies, Inc. |
2,026,486 |
69,245 | |
MetLife, Inc. |
3,944,565 |
134,628 | |
Principal Financial Group, Inc. |
1,114,768 |
30,589 | |
Progressive Corp. (d) |
2,264,532 |
44,226 | |
Prudential Financial, Inc. |
1,741,948 |
94,954 | |
The Chubb Corp. |
1,002,648 |
74,086 | |
The Travelers Companies, Inc. |
1,444,959 |
93,547 | |
Torchmark Corp. (d) |
365,679 |
18,715 | |
Unum Group |
1,061,692 |
20,714 | |
XL Group PLC Class A |
1,157,734 |
26,767 | |
|
1,699,561 | ||
Real Estate Investment Trusts - 2.1% | |||
American Tower Corp. |
1,465,557 |
103,175 | |
Apartment Investment & Management Co. Class A |
525,006 |
13,902 | |
AvalonBay Communities, Inc. |
354,155 |
50,120 | |
Boston Properties, Inc. |
556,438 |
62,393 | |
Equity Residential (SBI) |
1,116,569 |
67,441 | |
HCP, Inc. |
1,558,108 |
71,455 | |
Health Care REIT, Inc. |
838,728 |
49,015 | |
Host Hotels & Resorts, Inc. (d) |
2,668,248 |
40,824 | |
Kimco Realty Corp. |
1,511,402 |
30,712 | |
Plum Creek Timber Co., Inc. |
599,813 |
24,550 | |
Prologis, Inc. |
1,709,998 |
58,431 | |
Public Storage |
528,664 |
76,952 | |
Simon Property Group, Inc. |
1,125,755 |
178,657 | |
Ventas, Inc. |
1,073,505 |
70,304 | |
Vornado Realty Trust |
689,506 |
55,967 | |
Weyerhaeuser Co. |
1,996,190 |
49,725 | |
|
1,003,623 | ||
Real Estate Management & Development - 0.0% | |||
CBRE Group, Inc. (a) |
1,218,015 |
21,084 | |
Thrifts & Mortgage Finance - 0.1% | |||
Hudson City Bancorp, Inc. |
1,961,578 |
14,104 | |
People's United Financial, Inc. |
1,321,935 |
15,824 | |
|
29,928 | ||
TOTAL FINANCIALS |
6,798,894 | ||
Common Stocks - continued | |||
Shares |
Value (000s) | ||
HEALTH CARE - 11.7% | |||
Biotechnology - 1.6% | |||
Alexion Pharmaceuticals, Inc. (a)(d) |
713,459 |
$ 76,490 | |
Amgen, Inc. |
2,888,543 |
242,407 | |
Biogen Idec, Inc. (a) |
889,779 |
130,433 | |
Celgene Corp. (a) |
1,636,086 |
117,864 | |
Gilead Sciences, Inc. (a) |
2,812,825 |
162,272 | |
|
729,466 | ||
Health Care Equipment & Supplies - 1.7% | |||
Baxter International, Inc. |
2,045,006 |
120,001 | |
Becton, Dickinson & Co. |
752,863 |
57,203 | |
Boston Scientific Corp. (a) |
5,308,650 |
28,667 | |
C.R. Bard, Inc. |
311,724 |
30,583 | |
CareFusion Corp. (a) |
824,234 |
21,653 | |
Covidien PLC |
1,791,265 |
100,400 | |
DENTSPLY International, Inc. (d) |
526,481 |
19,095 | |
Edwards Lifesciences Corp. (a)(d) |
425,640 |
43,462 | |
Intuitive Surgical, Inc. (a)(d) |
147,460 |
72,519 | |
Medtronic, Inc. |
3,864,935 |
157,148 | |
St. Jude Medical, Inc. |
1,165,594 |
44,013 | |
Stryker Corp. |
1,202,624 |
64,052 | |
Varian Medical Systems, Inc. (a)(d) |
414,146 |
24,348 | |
Zimmer Holdings, Inc. (d) |
654,207 |
40,417 | |
|
823,561 | ||
Health Care Providers & Services - 1.9% | |||
Aetna, Inc. |
1,290,305 |
49,561 | |
AmerisourceBergen Corp. (d) |
931,515 |
35,882 | |
Cardinal Health, Inc. |
1,285,387 |
50,837 | |
CIGNA Corp. |
1,070,874 |
49,014 | |
Coventry Health Care, Inc. |
497,176 |
20,697 | |
DaVita, Inc. (a) |
349,215 |
33,968 | |
Express Scripts Holding Co. (a) |
2,991,693 |
187,340 | |
Humana, Inc. |
606,075 |
42,474 | |
Laboratory Corp. of America Holdings (a)(d) |
359,532 |
31,621 | |
McKesson Corp. |
874,306 |
76,161 | |
Patterson Companies, Inc. |
325,620 |
11,061 | |
Quest Diagnostics, Inc. (d) |
589,253 |
35,632 | |
Tenet Healthcare Corp. (a) |
1,536,973 |
7,977 | |
UnitedHealth Group, Inc. |
3,853,263 |
209,232 | |
WellPoint, Inc. |
1,228,760 |
73,566 | |
|
915,023 | ||
Common Stocks - continued | |||
Shares |
Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Technology - 0.1% | |||
Cerner Corp. (a)(d) |
544,472 |
$ 39,823 | |
Life Sciences Tools & Services - 0.4% | |||
Agilent Technologies, Inc. |
1,290,679 |
47,962 | |
Life Technologies Corp. (a) |
663,266 |
31,644 | |
PerkinElmer, Inc. |
422,993 |
11,548 | |
Thermo Fisher Scientific, Inc. |
1,364,227 |
78,238 | |
Waters Corp. (a) |
330,087 |
26,470 | |
|
195,862 | ||
Pharmaceuticals - 6.0% | |||
Abbott Laboratories |
5,843,849 |
383,006 | |
Allergan, Inc. |
1,142,220 |
98,379 | |
Bristol-Myers Squibb Co. |
6,273,552 |
207,090 | |
Eli Lilly & Co. |
3,792,786 |
170,334 | |
Forest Laboratories, Inc. (a) |
986,815 |
34,233 | |
Hospira, Inc. (a)(d) |
613,352 |
20,596 | |
Johnson & Johnson |
10,200,505 |
687,820 | |
Merck & Co., Inc. |
11,296,902 |
486,332 | |
Mylan, Inc. (a)(d) |
1,507,539 |
35,533 | |
Perrigo Co. |
346,974 |
38,157 | |
Pfizer, Inc. |
27,812,241 |
663,600 | |
Watson Pharmaceuticals, Inc. (a) |
473,220 |
38,496 | |
|
2,863,576 | ||
TOTAL HEALTH CARE |
5,567,311 | ||
INDUSTRIALS - 10.0% | |||
Aerospace & Defense - 2.3% | |||
General Dynamics Corp. |
1,339,357 |
87,741 | |
Honeywell International, Inc. |
2,894,017 |
169,155 | |
L-3 Communications Holdings, Inc. |
361,857 |
25,417 | |
Lockheed Martin Corp. |
988,722 |
90,112 | |
Northrop Grumman Corp. |
934,129 |
62,484 | |
Precision Castparts Corp. |
539,714 |
86,937 | |
Raytheon Co. |
1,238,075 |
69,976 | |
Rockwell Collins, Inc. |
538,689 |
26,326 | |
Textron, Inc. |
1,041,012 |
27,816 | |
The Boeing Co. |
2,782,098 |
198,642 | |
United Technologies Corp. |
3,384,942 |
270,288 | |
|
1,114,894 | ||
Common Stocks - continued | |||
Shares |
Value (000s) | ||
INDUSTRIALS - continued | |||
Air Freight & Logistics - 0.9% | |||
C.H. Robinson Worldwide, Inc. |
603,974 |
$ 34,191 | |
Expeditors International of Washington, Inc. |
788,910 |
28,882 | |
FedEx Corp. |
1,171,331 |
102,644 | |
United Parcel Service, Inc. Class B |
3,563,736 |
263,039 | |
|
428,756 | ||
Airlines - 0.1% | |||
Southwest Airlines Co. (d) |
2,851,316 |
25,491 | |
Building Products - 0.0% | |||
Masco Corp. (d) |
1,326,332 |
18,781 | |
Commercial Services & Supplies - 0.4% | |||
Avery Dennison Corp. |
384,933 |
12,021 | |
Cintas Corp. (d) |
409,770 |
16,563 | |
Iron Mountain, Inc. |
635,866 |
20,856 | |
Pitney Bowes, Inc. (d) |
743,634 |
9,935 | |
R.R. Donnelley & Sons Co. (d) |
669,531 |
7,351 | |
Republic Services, Inc. |
1,168,838 |
32,318 | |
Stericycle, Inc. (a)(d) |
316,013 |
28,922 | |
Waste Management, Inc. (d) |
1,718,441 |
59,424 | |
|
187,390 | ||
Construction & Engineering - 0.2% | |||
Fluor Corp. |
628,137 |
32,349 | |
Jacobs Engineering Group, Inc. (a)(d) |
479,232 |
18,949 | |
Quanta Services, Inc. (a)(d) |
791,241 |
18,990 | |
|
70,288 | ||
Electrical Equipment - 0.5% | |||
Cooper Industries PLC Class A |
590,813 |
43,218 | |
Emerson Electric Co. (d) |
2,724,737 |
138,199 | |
Rockwell Automation, Inc. |
530,106 |
38,199 | |
Roper Industries, Inc. |
361,876 |
37,197 | |
|
256,813 | ||
Industrial Conglomerates - 2.7% | |||
3M Co. |
2,577,161 |
238,645 | |
Danaher Corp. |
2,135,597 |
114,404 | |
General Electric Co. |
39,352,834 |
814,997 | |
Tyco International Ltd. |
1,719,150 |
96,926 | |
|
1,264,972 | ||
Machinery - 1.8% | |||
Caterpillar, Inc. (d) |
2,422,897 |
206,746 | |
Cummins, Inc. |
713,817 |
69,319 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
INDUSTRIALS - continued | |||
Machinery - continued | |||
Deere & Co. (d) |
1,477,261 |
$ 110,957 | |
Dover Corp. |
682,056 |
39,430 | |
Eaton Corp. (d) |
1,254,247 |
56,090 | |
Flowserve Corp. (d) |
189,905 |
24,243 | |
Illinois Tool Works, Inc. (d) |
1,772,983 |
105,120 | |
Ingersoll-Rand PLC |
1,109,513 |
51,881 | |
Joy Global, Inc. |
393,123 |
20,985 | |
PACCAR, Inc. (d) |
1,324,797 |
52,873 | |
Pall Corp. |
430,098 |
23,875 | |
Parker Hannifin Corp. |
561,029 |
44,871 | |
Snap-On, Inc. |
215,812 |
14,982 | |
Stanley Black & Decker, Inc. |
634,723 |
41,752 | |
Xylem, Inc. |
688,734 |
16,729 | |
|
879,853 | ||
Professional Services - 0.1% | |||
Dun & Bradstreet Corp. |
166,700 |
13,494 | |
Equifax, Inc. |
447,123 |
20,469 | |
Robert Half International, Inc. |
531,045 |
13,966 | |
|
47,929 | ||
Road & Rail - 0.8% | |||
CSX Corp. |
3,859,614 |
86,687 | |
Norfolk Southern Corp. |
1,209,941 |
87,672 | |
Ryder System, Inc. |
190,441 |
7,620 | |
Union Pacific Corp. |
1,768,756 |
214,798 | |
|
396,777 | ||
Trading Companies & Distributors - 0.2% | |||
Fastenal Co. (d) |
1,096,882 |
47,265 | |
W.W. Grainger, Inc. (d) |
226,642 |
46,679 | |
|
93,944 | ||
TOTAL INDUSTRIALS |
4,785,888 | ||
INFORMATION TECHNOLOGY - 20.0% | |||
Communications Equipment - 1.9% | |||
Cisco Systems, Inc. |
19,896,382 |
379,623 | |
F5 Networks, Inc. (a) |
294,876 |
28,747 | |
Harris Corp. (d) |
422,591 |
19,874 | |
JDS Uniphase Corp. (a)(d) |
859,902 |
9,622 | |
Juniper Networks, Inc. (a) |
1,966,833 |
34,302 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Communications Equipment - continued | |||
Motorola Solutions, Inc. |
1,084,770 |
$ 51,700 | |
QUALCOMM, Inc. |
6,367,116 |
391,323 | |
|
915,191 | ||
Computers & Peripherals - 6.0% | |||
Apple, Inc. |
3,472,984 |
2,310,370 | |
Dell, Inc. |
5,521,713 |
58,475 | |
EMC Corp. (a) |
7,798,690 |
205,028 | |
Hewlett-Packard Co. |
7,344,195 |
123,970 | |
Lexmark International, Inc. Class A |
264,207 |
5,736 | |
NetApp, Inc. (a) |
1,347,873 |
46,529 | |
SanDisk Corp. (a) |
905,000 |
37,304 | |
Seagate Technology (d) |
1,313,215 |
42,036 | |
Western Digital Corp. (a) |
869,204 |
36,350 | |
|
2,865,798 | ||
Electronic Equipment & Components - 0.4% | |||
Amphenol Corp. Class A |
601,745 |
36,628 | |
Corning, Inc. |
5,636,601 |
67,583 | |
FLIR Systems, Inc. |
572,737 |
11,340 | |
Jabil Circuit, Inc. |
675,507 |
15,388 | |
Molex, Inc. (d) |
510,923 |
13,565 | |
TE Connectivity Ltd. |
1,588,087 |
55,853 | |
|
200,357 | ||
Internet Software & Services - 2.0% | |||
Akamai Technologies, Inc. (a)(d) |
665,528 |
24,964 | |
eBay, Inc. (a) |
4,268,303 |
202,616 | |
Google, Inc. Class A (a) |
944,513 |
647,076 | |
VeriSign, Inc. (a)(d) |
586,794 |
27,978 | |
Yahoo!, Inc. (a) |
4,526,453 |
66,313 | |
|
968,947 | ||
IT Services - 3.8% | |||
Accenture PLC Class A |
2,393,604 |
147,446 | |
Automatic Data Processing, Inc. |
1,816,547 |
105,505 | |
Cognizant Technology Solutions Corp. Class A (a) |
1,130,929 |
72,696 | |
Computer Sciences Corp. |
576,446 |
18,567 | |
Fidelity National Information Services, Inc. |
886,912 |
27,938 | |
Fiserv, Inc. (a)(d) |
506,922 |
36,149 | |
IBM Corp. |
4,284,240 |
834,784 | |
MasterCard, Inc. Class A |
394,293 |
166,747 | |
Paychex, Inc. (d) |
1,198,431 |
39,860 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
IT Services - continued | |||
SAIC, Inc. (d) |
1,027,626 |
$ 12,547 | |
Teradata Corp. (a)(d) |
626,581 |
47,858 | |
The Western Union Co. |
2,276,607 |
40,091 | |
Total System Services, Inc. |
596,937 |
13,837 | |
Visa, Inc. Class A |
1,849,476 |
237,195 | |
|
1,801,220 | ||
Office Electronics - 0.1% | |||
Xerox Corp. |
5,005,770 |
36,893 | |
Semiconductors & Semiconductor Equipment - 2.2% | |||
Advanced Micro Devices, Inc. (a)(d) |
2,188,144 |
8,140 | |
Altera Corp. |
1,198,311 |
44,733 | |
Analog Devices, Inc. |
1,108,079 |
44,035 | |
Applied Materials, Inc. (d) |
4,760,505 |
55,650 | |
Broadcom Corp. Class A |
1,841,860 |
65,441 | |
First Solar, Inc. (a)(d) |
219,149 |
4,381 | |
Intel Corp. |
18,686,011 |
463,974 | |
KLA-Tencor Corp. |
621,485 |
31,888 | |
Lam Research Corp. (a)(d) |
748,232 |
25,537 | |
Linear Technology Corp. |
855,029 |
28,237 | |
LSI Corp. (a) |
2,113,016 |
16,460 | |
Microchip Technology, Inc. (d) |
719,001 |
24,985 | |
Micron Technology, Inc. (a)(d) |
3,675,647 |
22,826 | |
NVIDIA Corp. (a) |
2,298,346 |
32,246 | |
Teradyne, Inc. (a)(d) |
693,328 |
10,830 | |
Texas Instruments, Inc. (d) |
4,250,326 |
123,429 | |
Xilinx, Inc. |
980,186 |
33,238 | |
|
1,036,030 | ||
Software - 3.6% | |||
Adobe Systems, Inc. (a) |
1,842,698 |
57,621 | |
Autodesk, Inc. (a) |
853,517 |
26,502 | |
BMC Software, Inc. (a) |
598,287 |
24,769 | |
CA Technologies, Inc. |
1,314,397 |
34,214 | |
Citrix Systems, Inc. (a) |
691,545 |
53,726 | |
Electronic Arts, Inc. (a) |
1,180,598 |
15,737 | |
Intuit, Inc. |
1,090,738 |
63,852 | |
Microsoft Corp. |
27,770,029 |
855,872 | |
Oracle Corp. |
14,413,160 |
456,177 | |
Red Hat, Inc. (a)(d) |
716,309 |
40,142 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
salesforce.com, Inc. (a)(d) |
512,557 |
$ 74,413 | |
Symantec Corp. (a) |
2,676,976 |
47,730 | |
|
1,750,755 | ||
TOTAL INFORMATION TECHNOLOGY |
9,575,191 | ||
MATERIALS - 3.3% | |||
Chemicals - 2.3% | |||
Air Products & Chemicals, Inc. |
785,295 |
64,850 | |
Airgas, Inc. |
257,068 |
21,355 | |
CF Industries Holdings, Inc. |
243,791 |
50,467 | |
Dow Chemical Co. |
4,439,850 |
130,132 | |
E.I. du Pont de Nemours & Co. |
3,480,326 |
173,146 | |
Eastman Chemical Co. |
567,090 |
31,337 | |
Ecolab, Inc. |
1,085,229 |
69,487 | |
FMC Corp. (d) |
509,339 |
27,667 | |
International Flavors & Fragrances, Inc. (d) |
301,094 |
18,222 | |
Monsanto Co. |
1,981,270 |
172,588 | |
PPG Industries, Inc. |
565,620 |
62,230 | |
Praxair, Inc. |
1,109,383 |
117,040 | |
Sherwin-Williams Co. |
318,379 |
45,554 | |
Sigma Aldrich Corp. |
449,002 |
31,893 | |
The Mosaic Co. |
1,106,165 |
64,058 | |
|
1,080,026 | ||
Construction Materials - 0.0% | |||
Vulcan Materials Co. |
480,577 |
18,704 | |
Containers & Packaging - 0.1% | |||
Ball Corp. |
581,955 |
24,541 | |
Bemis Co., Inc. |
382,906 |
11,587 | |
Owens-Illinois, Inc. (a) |
612,565 |
10,708 | |
Sealed Air Corp. |
720,911 |
10,287 | |
|
57,123 | ||
Metals & Mining - 0.7% | |||
Alcoa, Inc. |
3,961,920 |
33,914 | |
Allegheny Technologies, Inc. |
397,821 |
11,791 | |
Cliffs Natural Resources, Inc. (d) |
529,192 |
18,966 | |
Freeport-McMoRan Copper & Gold, Inc. |
3,525,182 |
127,294 | |
Newmont Mining Corp. |
1,840,537 |
93,278 | |
Nucor Corp. (d) |
1,177,586 |
44,336 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Titanium Metals Corp. (d) |
305,805 |
$ 3,743 | |
United States Steel Corp. (d) |
534,866 |
10,403 | |
|
343,725 | ||
Paper & Forest Products - 0.2% | |||
International Paper Co. |
1,623,406 |
56,105 | |
MeadWestvaco Corp. |
640,131 |
18,410 | |
|
74,515 | ||
TOTAL MATERIALS |
1,574,093 | ||
TELECOMMUNICATION SERVICES - 3.2% | |||
Diversified Telecommunication Services - 2.9% | |||
AT&T, Inc. |
21,776,203 |
797,880 | |
CenturyLink, Inc. |
2,307,385 |
97,510 | |
Frontier Communications Corp. (d) |
3,708,410 |
17,133 | |
Verizon Communications, Inc. |
10,552,092 |
453,107 | |
Windstream Corp. (d) |
2,185,275 |
21,569 | |
|
1,387,199 | ||
Wireless Telecommunication Services - 0.3% | |||
Crown Castle International Corp. (a) |
957,699 |
60,776 | |
MetroPCS Communications, Inc. (a) |
1,092,639 |
10,631 | |
Sprint Nextel Corp. (a) |
11,138,241 |
54,020 | |
|
125,427 | ||
TOTAL TELECOMMUNICATION SERVICES |
1,512,626 | ||
UTILITIES - 3.5% | |||
Electric Utilities - 2.0% | |||
American Electric Power Co., Inc. |
1,798,857 |
77,333 | |
Duke Energy Corp. |
2,614,111 |
169,342 | |
Edison International |
1,210,118 |
52,991 | |
Entergy Corp. |
657,999 |
44,797 | |
Exelon Corp. |
3,165,999 |
115,464 | |
FirstEnergy Corp. |
1,553,328 |
67,880 | |
NextEra Energy, Inc. |
1,549,092 |
104,269 | |
Northeast Utilities |
1,164,780 |
43,877 | |
Pepco Holdings, Inc. |
847,871 |
16,372 | |
Pinnacle West Capital Corp. |
406,616 |
20,888 | |
PPL Corp. |
2,154,302 |
63,186 | |
Common Stocks - continued | |||
Shares |
Value (000s) | ||
UTILITIES - continued | |||
Electric Utilities - continued | |||
Southern Co. |
3,226,466 |
$ 146,256 | |
Xcel Energy, Inc. |
1,808,590 |
50,442 | |
|
973,097 | ||
Gas Utilities - 0.1% | |||
AGL Resources, Inc. |
435,709 |
17,276 | |
ONEOK, Inc. |
771,999 |
34,377 | |
|
51,653 | ||
Independent Power Producers & Energy Traders - 0.1% | |||
NRG Energy, Inc. (d) |
845,788 |
18,049 | |
The AES Corp. |
2,394,497 |
27,273 | |
|
45,322 | ||
Multi-Utilities - 1.3% | |||
Ameren Corp. |
901,189 |
29,487 | |
CenterPoint Energy, Inc. |
1,587,063 |
32,360 | |
CMS Energy Corp. |
966,806 |
22,304 | |
Consolidated Edison, Inc. |
1,087,897 |
65,948 | |
Dominion Resources, Inc. |
2,122,647 |
111,397 | |
DTE Energy Co. |
631,826 |
36,899 | |
Integrys Energy Group, Inc. |
289,397 |
15,625 | |
NiSource, Inc. (d) |
1,055,167 |
25,683 | |
PG&E Corp. |
1,568,570 |
68,092 | |
Public Service Enterprise Group, Inc. |
1,878,982 |
59,489 | |
SCANA Corp. |
432,348 |
20,476 | |
Sempra Energy (d) |
891,067 |
58,989 | |
TECO Energy, Inc. (d) |
801,518 |
13,914 | |
Wisconsin Energy Corp. |
855,951 |
32,492 | |
|
593,155 | ||
TOTAL UTILITIES |
1,663,227 | ||
TOTAL COMMON STOCKS (Cost $32,789,237) |
|
U.S. Treasury Obligations - 0.1% | ||||
|
Principal Amount (000s) |
| ||
U.S. Treasury Bills, yield at date of purchase
0.11% to 0.14% 10/18/12 to 12/6/12 (e) |
$ 32,000 |
|
Money Market Funds - 4.8% | |||
Shares |
Value (000s) | ||
Fidelity Cash Central Fund, 0.17% (b) |
374,497,942 |
$ 374,498 | |
Fidelity Securities Lending Cash Central Fund, 0.18% (b)(c) |
1,898,279,675 |
1,898,280 | |
TOTAL MONEY MARKET FUNDS (Cost $2,272,778) |
| ||
TOTAL INVESTMENT PORTFOLIO - 103.8% (Cost $35,094,007) |
49,524,391 | ||
NET OTHER ASSETS (LIABILITIES) - (3.8)% |
(1,797,448) | ||
NET ASSETS - 100% |
$ 47,726,943 |
Futures Contracts | |||||
|
Expiration Date |
Underlying Face Amount at Value (000s) |
Unrealized
Appreciation/ | ||
Purchased | |||||
Equity Index Contracts | |||||
770 CME E-mini S&P 500 Index Contracts |
Sept. 2012 |
$ 54,096 |
$ 3,188 | ||
1,294 CME S&P 500 Index Contracts |
Sept. 2012 |
454,550 |
11,642 | ||
TOTAL EQUITY INDEX CONTRACTS |
$ 508,646 |
$ 14,830 |
The face value of futures purchased as a percentage of net assets is 1.1% |
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 $27,655,000. |
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 |
$ 425 |
Fidelity Securities Lending Cash Central Fund |
3,418 |
Total |
$ 3,843 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2012, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the 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 |
$ 5,194,674 |
$ 5,194,674 |
$ - |
$ - |
Consumer Staples |
5,258,428 |
5,258,428 |
- |
- |
Energy |
5,289,287 |
5,289,287 |
- |
- |
Financials |
6,798,894 |
6,798,894 |
- |
- |
Health Care |
5,567,311 |
5,567,311 |
- |
- |
Industrials |
4,785,888 |
4,785,888 |
- |
- |
Information Technology |
9,575,191 |
9,575,191 |
- |
- |
Materials |
1,574,093 |
1,574,093 |
- |
- |
Telecommunication Services |
1,512,626 |
1,512,626 |
- |
- |
Utilities |
1,663,227 |
1,663,227 |
- |
- |
U.S. Government and Government Agency Obligations |
31,994 |
- |
31,994 |
- |
Money Market Funds |
2,272,778 |
2,272,778 |
- |
- |
Total Investments in Securities: |
$ 49,524,391 |
$ 49,492,397 |
$ 31,994 |
$ - |
Derivative Instruments: |
||||
Assets |
||||
Futures Contracts |
$ 14,830 |
$ 14,830 |
$ - |
$ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2012. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / |
Value (000s) | |
|
Asset |
Liability |
Equity Risk |
||
Futures Contracts (a) |
$ 14,830 |
$ - |
Total Equity Risk |
$ 14,830 |
$ - |
(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
Amounts in thousands (except per-share amounts) |
August 31, 2012 (Unaudited) | |
|
|
|
Assets |
||
Investment in securities, at value (including securities loaned of $1,865,380) - See accompanying schedule: Unaffiliated issuers (cost $32,821,229) |
$ 47,251,613 |
|
Fidelity Central Funds (cost $2,272,778) |
2,272,778 |
|
Total Investments (cost $35,094,007) |
|
$ 49,524,391 |
Receivable for fund shares sold |
42,939 | |
Dividends receivable |
114,224 | |
Distributions receivable from Fidelity Central Funds |
647 | |
Receivable for daily variation margin on futures contracts |
2,944 | |
Receivable from investment adviser for expense reductions |
367 | |
Other receivables |
1,045 | |
Total assets |
49,686,557 | |
|
|
|
Liabilities |
||
Payable for fund shares redeemed |
57,570 |
|
Accrued management fee |
990 |
|
Other affiliated payables |
1,731 |
|
Other payables and accrued expenses |
1,043 |
|
Collateral on securities loaned, at value |
1,898,280 |
|
Total liabilities |
1,959,614 | |
|
|
|
Net Assets |
$ 47,726,943 | |
Net Assets consist of: |
| |
Paid in capital |
$ 35,081,038 | |
Undistributed net investment income |
194,623 | |
Accumulated undistributed net realized gain (loss) on investments |
(1,993,932) | |
Net unrealized appreciation (depreciation) on investments |
14,445,214 | |
Net Assets |
$ 47,726,943 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Amounts in thousands (except per-share amounts) |
August 31, 2012 (Unaudited) | |
|
|
|
Investor Class: |
$ 50.01 | |
|
|
|
Fidelity Advantage Class: |
$ 50.01 | |
|
|
|
Institutional Class: |
$ 50.02 | |
|
|
|
Fidelity Advantage Institutional
Class: |
$ 50.02 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Amounts in thousands Six months ended August 31, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
|
$ 495,152 |
Interest |
|
19 |
Income from Fidelity Central Funds |
|
3,843 |
Total income |
|
499,014 |
|
|
|
Expenses |
||
Management fee |
$ 5,733 |
|
Transfer agent fees |
10,146 |
|
Independent trustees' compensation |
154 |
|
Miscellaneous |
62 |
|
Total expenses before reductions |
16,095 |
|
Expense reductions |
(2,146) |
13,949 |
Net investment income (loss) |
485,065 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: |
||
Investment securities: |
|
|
Unaffiliated issuers |
329,224 |
|
Futures contracts |
36,682 |
|
Total net realized gain (loss) |
|
365,906 |
Change in net unrealized appreciation (depreciation) on: Investment securities |
1,048,745 |
|
Futures contracts |
(12,411) |
|
Total change in net unrealized appreciation (depreciation) |
|
1,036,334 |
Net gain (loss) |
1,402,240 | |
Net increase (decrease) in net assets resulting from operations |
$ 1,887,305 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Amounts in thousands |
Six months ended August 31, 2012 (Unaudited) |
Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) |
$ 485,065 |
$ 842,018 |
Net realized gain (loss) |
365,906 |
346,325 |
Change in net unrealized appreciation (depreciation) |
1,036,334 |
947,325 |
Net increase (decrease) in net
assets resulting |
1,887,305 |
2,135,668 |
Distributions to shareholders from net investment income |
(435,886) |
(823,248) |
Share transactions - net increase (decrease) |
1,293,489 |
194,063 |
Total increase (decrease) in net assets |
2,744,908 |
1,506,483 |
|
|
|
Net Assets |
||
Beginning of period |
44,982,035 |
43,475,552 |
End of period (including undistributed net investment income of $194,623 and undistributed net investment income of $145,444, respectively) |
$ 47,726,943 |
$ 44,982,035 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
|
Six months ended August 31, 2012 |
Years ended February 28, | ||||
|
(Unaudited) |
2012 I |
2011 |
2010 |
2009 |
2008 I |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period |
$ 48.49 |
$ 47.09 |
$ 39.19 |
$ 26.10 |
$ 47.20 |
$ 49.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D |
.51 |
.89 |
.81 |
.75 |
.95 |
.99 |
Net realized and unrealized gain (loss) |
1.46 |
1.40 |
7.88 |
13.12 |
(21.09) |
(2.71) |
Total from investment operations |
1.97 |
2.29 |
8.69 |
13.87 |
(20.14) |
(1.72) |
Distributions from net investment income |
(.45) |
(.89) |
(.79) |
(.78) |
(.96) |
(.97) |
Distributions from net realized gain |
- |
- |
- |
- |
- |
(.05) |
Total distributions |
(.45) |
(.89) |
(.79) |
(.78) |
(.96) |
(1.02) |
Net asset value, end of period |
$ 50.01 |
$ 48.49 |
$ 47.09 |
$ 39.19 |
$ 26.10 |
$ 47.20 |
Total Return B,C |
4.10% |
5.04% |
22.47% |
53.68% |
(43.35)% |
(3.66)% |
Ratios to Average Net Assets E,G |
|
|
|
|
| |
Expenses before reductions |
.10% A |
.10% |
.10% |
.10% |
.10% |
.10% |
Expenses net of fee waivers, if any |
.10% A,J |
.10% |
.10% |
.10% |
.10% |
.10% |
Expenses net of all reductions |
.10% A,J |
.10% |
.10% |
.10% |
.10% |
.09% |
Net investment income (loss) |
2.08% A |
1.96% |
1.94% |
2.14% |
2.36% |
1.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) |
$ 10,547 |
$ 13,407 |
$ 27,881 |
$ 23,666 |
$ 11,363 |
$ 20,102 |
Portfolio turnover rate F |
3% A |
5% H |
4% |
11% H |
8% |
7% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
H The portfolio turnover rate does not include the assets acquired in the merger.
I For the year ended February 29.
J Amount represents .095%
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
|
Six months ended August 31, 2012 |
Years ended February 28, | ||||
|
(Unaudited) |
2012 I |
2011 |
2010 |
2009 |
2008 I |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period |
$ 48.50 |
$ 47.10 |
$ 39.19 |
$ 26.11 |
$ 47.20 |
$ 49.94 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D |
.51 |
.90 |
.82 |
.77 |
.96 |
1.00 |
Net realized and unrealized gain (loss) |
1.46 |
1.40 |
7.89 |
13.10 |
(21.08) |
(2.70) |
Total from investment operations |
1.97 |
2.30 |
8.71 |
13.87 |
(20.12) |
(1.70) |
Distributions from net investment income |
(.46) |
(.90) |
(.80) |
(.79) |
(.97) |
(.99) |
Distributions from net realized gain |
- |
- |
- |
- |
- |
(.05) |
Total distributions |
(.46) |
(.90) |
(.80) |
(.79) |
(.97) |
(1.04) |
Net asset value, end of period |
$ 50.01 |
$ 48.50 |
$ 47.10 |
$ 39.19 |
$ 26.11 |
$ 47.20 |
Total Return B,C |
4.10% |
5.07% |
22.53% |
53.67% |
(43.31)% |
(3.63)% |
Ratios to Average Net Assets E,G |
|
|
|
|
| |
Expenses before reductions |
.07% A |
.07% |
.07% |
.07% |
.07% |
.07% |
Expenses net of fee waivers, if any |
.06% A |
.07% |
.07% |
.07% |
.07% |
.07% |
Expenses net of all reductions |
.06% A |
.07% |
.07% |
.07% |
.07% |
.06% |
Net investment income (loss) |
2.12% A |
1.99% |
1.97% |
2.17% |
2.39% |
1.92% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) |
$ 19,620 |
$ 16,230 |
$ 15,595 |
$ 12,455 |
$ 3,667 |
$ 6,304 |
Portfolio turnover rate F |
3% A |
5% H |
4% |
11% H |
8% |
7% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
H The portfolio turnover rate does not include the assets acquired in the merger.
I For the year ended February 29.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
|
Six months ended August 31, 2012 |
Years ended |
|
(Unaudited) |
2012 G,J |
Selected Per-Share Data |
|
|
Net asset value, beginning of period |
$ 48.50 |
$ 47.74 |
Income from Investment Operations |
|
|
Net investment income (loss) D |
.52 |
.79 |
Net realized and unrealized gain (loss) |
1.47 |
.68 |
Total from investment operations |
1.99 |
1.47 |
Distributions from net investment income |
(.47) |
(.71) |
Net asset value, end of period |
$ 50.02 |
$ 48.50 |
Total Return B,C |
4.13% |
3.25% |
Ratios to Average Net Assets E,H |
|
|
Expenses before reductions |
.05% A |
.05% A |
Expenses net of fee waivers, if any |
.04% A |
.05% A |
Expenses net of all reductions |
.04% A |
.05% A |
Net investment income (loss) |
2.14% A |
2.19% A |
Supplemental Data |
|
|
Net assets, end of period (in millions) |
$ 16,172 |
$ 14,629 |
Portfolio turnover rate F |
3% A |
5% I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period May 4, 2011 (commencement of sale of shares) to February 29, 2012.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 The portfolio turnover rate does not include the assets acquired in the merger.
J For the year ended February 29.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
|
Six months ended August 31, 2012 |
Years ended |
|
(Unaudited) |
2012 G,J |
Selected Per-Share Data |
|
|
Net asset value, beginning of period |
$ 48.50 |
$ 47.74 |
Income from Investment Operations |
|
|
Net investment income (loss) D |
.52 |
.81 |
Net realized and unrealized gain (loss) |
1.47 |
.67 |
Total from investment operations |
1.99 |
1.48 |
Distributions from net investment income |
(.47) |
(.72) |
Net asset value, end of period |
$ 50.02 |
$ 48.50 |
Total Return B,C |
4.14% |
3.27% |
Ratios to Average Net Assets E,H |
|
|
Expenses before reductions |
.03% A,K |
.03% A,K |
Expenses net of fee waivers, if any |
.02% A |
.03% A,K |
Expenses net of all reductions |
.02% A |
.03% A,K |
Net investment income (loss) |
2.16% A |
2.24% A |
Supplemental Data |
|
|
Net assets, end of period (in millions) |
$ 1,388 |
$ 716 |
Portfolio turnover rate F |
3% A |
5% I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period May 4, 2011 (commencement of sale of shares) to February 29, 2012.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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 The portfolio turnover rate does not include the assets acquired in the merger.
J For the year ended February 29.
K Amount represents .025%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
For the period ended August 31, 2012 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Spartan 500 Index Fund (the Fund) is a fund of Fidelity Concord Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund offers conversion privileges between share classes to eligible shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions 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 (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:
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendor or broker to value its investments. When current market prices, quotations or rates are not readily available or reliable, securities will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's Board. Factors used in determining fair value vary by security type and may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when 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. Utilizing these techniques may result in transfers between Level 1 and Level 2.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-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 methodologies which consider similar factors that would be used by third party pricing vendors. 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.
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 August 31, 2012, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
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, market discount, foreign currency transactions, redemptions in kind, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation |
$ 19,147,384 |
Gross unrealized depreciation |
(4,806,901) |
Net unrealized appreciation (depreciation) on securities and other investments |
$ 14,340,483 |
|
|
Tax cost |
$ 35,183,908 |
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. At February 29, 2012, capital loss carryforwards were as follows:
Fiscal year of expiration |
|
2016 |
$ (529,693) |
2017 |
(854,750) |
2019 |
(792,074) |
Total with expiration |
(2,176,517) |
No expiration |
|
Long-term |
(74,031) |
Total capital loss carryforward |
$ (2,250,548) |
New Accounting Pronouncement. In December 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. 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's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified instrument based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Equity Risk |
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Semiannual Report
4. Derivative Instruments - continued
Futures Contracts - continued
Any open futures contracts at period end are shown in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $36,682 and a change in net unrealized appreciation (depreciation) of $(12,411) 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 and in-kind transactions, aggregated $2,306,786 and $753,524, respectively.
Securities received in-kind through subscriptions totaled $377,765.
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. The management fee is based on an annual rate of .025% of the Fund's average net assets. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees.
In addition, under an expense contract, FMR pays class-level expenses as necessary so that the total expenses do not exceed certain amounts of each class' average net assets on an annual basis with certain exceptions, as noted in the following table:
Investor Class |
.10% |
Fidelity Advantage Class |
.07% |
Institutional Class |
.05% |
Fidelity Advantage Institutional Class |
.025% |
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class. FIIOC receives transfer agent fees at an annual rate of .075%, .045%, .035% and .015% of average net assets for Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, Institutional Class pays a portion of the transfer agent fees at an annual rate of .025% of average net assets and Fidelity Advantage Institutional Class does not pay transfer agent fees.
For the period, the total transfer agent fees paid by each applicable class were as follows:
|
Amount |
Investor Class |
$ 4,076 |
Fidelity Advantage Class |
4,157 |
Institutional Class |
1,913 |
|
$ 10,146 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $64 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending
Semiannual Report
8. Security Lending - continued
income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $3,418.
9. Expense Reductions.
Effective February 1, 2012, FMR contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement. This reimbursement will remain in place through April 30, 2013.
|
Expense |
Reimbursement |
Investor Class |
.095% |
$ 308 |
Fidelity Advantage Class |
.060% |
986 |
Institutional Class |
.040% |
817 |
Fidelity Advantage Institutional Class |
.020% |
35 |
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by one hundred and thirty six dollars.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
|
Six months ended |
Year ended |
From net investment income |
|
|
Investor Class |
$ 100,632 |
$ 405,868 |
Fidelity Advantage Class |
175,554 |
264,009 |
Institutional Class |
147,042 |
146,405 |
Fidelity Advantage Institutional Class |
12,658 |
6,966 |
Total |
$ 435,886 |
$ 823,248 |
A Distributions for Institutional Class and Fidelity Advantage Institutional Class are for the period May 4, 2011 (commencement of sale of shares) to February 29, 2012.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
11. Share Transactions.
Transactions for each class of shares were as follows:
|
Shares |
Dollars | ||
|
Six months ended August 31,
|
Year ended |
Six months ended August 31, |
Year ended |
Investor Class |
|
|
|
|
Shares sold |
22,057 |
94,578 |
$ 1,071,600 |
$ 4,269,471 |
Reinvestment of distributions |
1,992 |
8,848 |
96,898 |
397,869 |
Shares redeemed |
(89,620) |
(418,995) |
(4,366,639) |
(19,074,702) |
Net increase (decrease) |
(65,571) |
(315,569) |
$ (3,198,141) |
$ (14,407,362) |
Fidelity Advantage Class |
|
|
|
|
Shares sold |
87,991 |
133,837 |
$ 4,271,703 |
$ 6,254,732 |
Issued in exchange for shares of Congress Street |
- |
983 |
- |
45,955 |
Issued in exchange of shares of Exchange |
- |
3,818 |
- |
178,445 |
Reinvestment of distributions |
3,337 |
5,335 |
162,141 |
238,952 |
Shares redeemed |
(33,721) |
(140,424) |
(1,639,580) |
(6,301,502) |
Net increase (decrease) |
57,607 |
3,549 |
$ 2,794,264 |
$ 416,582 |
Institutional Class |
|
|
|
|
Shares sold |
48,319 |
335,470 |
$ 2,351,133 |
$ 15,034,791 |
Reinvestment of distributions |
3,025 |
3,423 |
147,042 |
146,405 |
Shares redeemed |
(29,652) |
(37,249) |
(1,440,157) |
(1,658,626) |
Net increase (decrease) |
21,692 |
301,644 |
$ 1,058,018 |
$ 13,522,570 |
Fidelity Advantage Institutional Class |
|
|
|
|
Shares sold |
14,446 |
16,270 |
$ 710,608 |
$ 729,075 |
Reinvestment of distributions |
261 |
166 |
12,658 |
6,966 |
Shares redeemed |
(1,729) |
(1,663) |
(83,918) |
(73,768) |
Net increase (decrease) |
12,978 |
14,773 |
$ 639,348 |
$ 662,273 |
A Share transactions for Institutional Class and Fidelity Advantage Institutional Class are for the period May 4, 2011 (commencement of sale of shares) to February 29, 2012.
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.
Semiannual Report
13. Merger Information.
On April 15, 2011 the Fund acquired all of the assets and assumed all of the liabilities of the Fidelity Congress Street Fund and Fidelity Exchange Fund ("Target Funds") pursuant to an agreement and plan of reorganization approved by the Board of Trustees on October 13, 2010. The reorganization provides shareholders of the Target Funds access to a larger more diversified portfolio with similar investment strategies and lower expenses. The acquisition was accomplished by an exchange of 4,801 shares then outstanding of Fidelity Advantage Class of the Fund for 99 shares then outstanding (valued at $465.09 per share) of Fidelity Congress Street Fund, and 551 shares then outstanding (valued at $323.88 per share) of Fidelity Exchange Street Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. Fidelity Congress Street Fund's net assets, including securities of $45,976 with unrealized appreciation of $32,369 and net other liabilities of $21, and Fidelity Exchange Street Fund's net assets, including securities of $178,427 with unrealized appreciation of $150,195 and net other assets of $18, were combined with the Fund's net assets of $43,105,406 for total net assets after the acquisition of $43,329,806.
Pro forma results of operations of the combined entity for the entire period ended February 29, 2012, as though the acquisition had occurred as of the beginning of the year (rather than on the actual acquisition date), are as follows:
Net investment income (loss) |
$ 842,404 |
Total net realized gain (loss) |
348,278 |
Total change in net unrealized appreciation (depreciation) |
944,457 |
Net increase (decrease) in net assets resulting from operations |
$ 2,135,139 |
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the acquired funds that have been included in the Fund's accompanying Statement of Operations since April 15, 2011.
Semiannual Report
Spartan 500 Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established various standing committees, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its July 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale exist and would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts is fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board also noted that FMR has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and support of the senior management team that oversees asset management; (ii) persisting in efforts to enhance Fidelity's research capabilities, in particular, international research; (iii) launching new funds and making other enhancements to meet client needs for global and income-oriented solutions; (iv) continuing to launch dedicated lower cost underlying funds to meet investment management's portfolio construction needs related to expanding underlying fund options, specifically for the Freedom Fund product lines; (v) adopting a "Stock Selector" sector neutral investment approach and employing a team of portfolio managers who are sector specialists to manage certain funds; (vi) rationalizing product lines and gaining increased efficiencies through the mergers of several funds into other funds; (vii) strengthening the Spartan Index Fund product line by adding new funds and/or new low-cost institutional share classes, restructuring fund expenses to accommodate new classes, and reducing investment minimums for certain classes of shares; (viii) modifying the eligibility criteria for Institutional Class shares to increase their appeal to government entities and charitable investors; and (ix) reducing certain transfer agent fee rates.
Semiannual Report
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for Fidelity Advantage Class and Investor Class, as well as the fund's relative investment performance for Fidelity Advantage Class and Investor Class measured over multiple periods against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2011, the cumulative total returns of Fidelity Advantage Class and Investor Class of the fund, the cumulative total returns of a broad-based securities market index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. (Institutional Class and Fidelity Advantage Institutional Class of the fund had less than one year of performance as of December 31, 2011.) The box within each chart shows the 25th percentile return (top of box) and the 75th percentile return (bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Spartan 500 Index Fund
The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of Fidelity Advantage Class of the fund was in the first quartile for all the periods shown. The Board also noted that the investment performance of the fund was lower than its benchmark for all the periods shown, primarily because the fund bears fees, expenses, and brokerage commissions while the benchmark does not. In addition, the Board noted that the performance of the fund and benchmark may vary due to valuation differences. The Board considered that the variations in performance between the fund's classes reflect the variations in class expenses, which result in lower performance for the higher expense class. The Board also reviewed the fund's performance since inception as well as performance in the current year.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 0% means that 100% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted, however, that FMR does not pay transfer agent fees or other "class-level" expenses under the fund's management contract.
Semiannual Report
Spartan 500 Index Fund
Semiannual Report
The Board noted that the fund's hypothetical net management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2011.
Furthermore, the Board considered that it had approved an amended and restated management contract for the fund (effective February 1, 2011) that lowered the fund's management fee from 0.07% to 0.025%. The Board also considered that it had approved an amended and restated sub-advisory contract for the fund with Geode Capital Management, LLC (Geode) that lowered the sub-advisory fees that FMR pays to Geode. The Board considered that the chart reflects the fund's lower management fee for 2011, as if the lower fee were in effect for the entire year.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's hypothetical net management fee as well as the fund's gross management fee. The Board also considered other "fund-level" expenses, such as pricing and bookkeeping fees and custodial, legal, and audit fees. The Board also considered other "class-level" expenses, such as transfer agent fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
Semiannual Report
The Board noted that the total expense ratio of each class ranked below its competitive median for the period.
The Board also considered that current contractual arrangements for the fund oblige FMR to pay all "class-level" expenses of each class of the fund to the extent necessary to limit total expenses, with certain exceptions, as follows: Fidelity Advantage Class: 0.07%; Fidelity Advantage Institutional Class: 0.025%; Institutional Class: 0.05%; and Investor Class: 0.10%. These contractual arrangements may not be increased without the approval of the Board and, with respect to Fidelity Advantage Class and Investor Class, the shareholders of the applicable class. The Board further considered that FMR contractually agreed to reimburse Fidelity Advantage Class, Fidelity Advantage Institutional Class, Institutional Class, and Investor Class of the fund to the extent that total operating expenses (excluding interest, taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of their respective average net assets, exceed 0.06%, 0.02%, 0.04%, and 0.095% through April 30, 2013.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. The Board noted the findings of the 2010 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive in the circumstances.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions. The Board also noted that in 2009, it and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) the potential to further rationalize the Fidelity fund lineup with the possibility of achieving savings for the funds and Fidelity; (iii) Fidelity's compensation structure for portfolio managers and other key investment personnel; (iv) the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (v) the realization of fall-out benefits in certain Fidelity business units; (vi) Fidelity's group fee structures, the potential impact of regulatory changes on such structures, and the rationale for the individual fee rates of certain funds; (vii) fund profitability methodology, including Fidelity's cost allocation methodology, and the impact of certain factors on fund profitability results; (viii) trends regarding industry use of performance fee structures and the possibility of implementing performance fee structures for additional funds; and (ix) the impact of net redemptions from the Fidelity funds.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
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
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate
Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
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