iShares Trust

Table of Contents

Market Overview

iShares Trust

Global Market Overview

Global equity markets declined during the 12 months ended July 31, 2022 (“reporting period”). The MSCI ACWI, a broad global equity index that includes both developed and emerging markets, returned -10.48% in U.S. dollar terms for the reporting period.

For the first five months of the reporting period, economic recovery supported stocks in most regions of the world. The global economy continued to rebound from the impact of restrictions imposed at the beginning of the coronavirus pandemic, as mitigation and adaptation allowed most economic activity to continue. However, substantial challenges emerged at the beginning of 2022, which negatively affected stock prices. Inflation rose significantly in many countries, reducing consumers’ purchasing power and leading many central banks to tighten monetary policy. Russia’s invasion of Ukraine presented a further challenge to the global economy, disrupting important commodities markets.

The U.S. economy grew briskly over the final half of 2021, powered primarily by consumer spending. Record-high personal savings rates allowed consumers to spend at an elevated level, releasing pent-up demand for goods and services. Growth subsequently stalled in the first half of 2022, and the economy contracted amid lower inventories and faltering business investment. Despite the economic downturn, unemployment declined substantially, falling to 3.5% in July 2022 — identical to the pre-pandemic rate in February 2020. Although high inflation negatively impacted consumer sentiment, which declined significantly, consumer spending continued to increase.

Rising inflation led to a shift in policy from the U.S. Federal Reserve (“the Fed”). As the reporting period began, the Fed was using accommodative monetary policy to stimulate the economy. Short-term interest rates were kept at near-zero levels, and the Fed used bond-buying programs to stabilize debt markets. However, rising prices led the Fed to tighten monetary policy during the reporting period in an attempt to prevent runaway inflation. The Fed slowed and then ended its bond-buying activities, finally reversing course as it began to reduce its balance sheet in June 2022. In March 2022, the Fed began to raise short-term interest rates, followed by three more increases for a total increase of 225 basis points, the most rapid rise in decades. Interest rates rose significantly in response, leading to higher borrowing costs for businesses.

Stocks declined in Europe and economic growth stalled, with the Eurozone economy slowing substantially beginning in the fourth quarter of 2021. Significantly higher inflation and Russia’s invasion of Ukraine negatively impacted equities. Russia is an important trading partner with many European countries, and new sanctions imposed limits on certain types of trade with Russia. Investors became concerned that the sharp rise in energy prices during the reporting period would constrain economic growth, as Europe relies on imported energy for much of its industrial and heating needs. The European Central Bank (“ECB”) responded to elevated inflation by raising interest rates in July 2022, the first such increase in over a decade.

Despite relatively low inflation by global standards, Asia-Pacific stocks declined significantly. Chinese stocks faced significant headwinds amid regulatory interventions by the Chinese government and strict lockdowns following COVID-19 outbreaks. Japanese stocks also declined amid an economic contraction in the first quarter of 2022 and a sharp decline in the Japanese yen relative to the U.S. dollar. Emerging market stocks declined substantially, as higher interest rates and a strengthening U.S. dollar raised the cost of borrowing in many emerging economies.

Investment Objective

The iShares Cloud 5G and Tech ETF (the “Fund”) seeks to track the investment results of an index composed of companies from developed and emerging markets that could benefit from providing products, services, and technologies related to cloud computing and 5G, as represented by the Morningstar^® Global Digital Infrastructure & Connectivity Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 8, 2021. The first day of secondary market trading was June 10, 2021.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Stocks of companies with significant exposure to cloud computing and 5G networking declined sharply for the reporting period. As the post-pandemic global recovery slowed, growth in demand for cloud computing declined as the need for remote work and distance education diminished. As global inflation increased, rising interest rates negatively impacted high-valuation growth-oriented stocks by lowering the current value of future earnings, decreasing demand and cash flows, and raising financing costs. High costs and technical difficulties surrounding the rollout of 5G networks also weighed on company earnings. In addition, ongoing COVID-related restrictions and disruptions to international supply chains negatively affected the market for chips used in consumer products.

U.S. equities, which represented approximately 71% of the Index on average during the reporting period, detracted the most from the Index’s return, led by the IT services industry. Revenue growth slowed and costs rose amid increasing competition for communications platforms as a service, weighing heavily on profits. In the software industry, ongoing supply chain disruptions delayed shipments of the hardware necessary for running software, leading to reduced sales. Finally, in the U.S. communication services sector, stocks in the cable and satellite industry declined due to falling subscriptions, as the trend for consumers to replace cable and satellite with streaming services continued.

The semiconductors industry in Taiwan also detracted substantially from the Index’s performance. During the reporting period, the Russian invasion of Ukraine raised concern that military force might be used against Taiwan, leading foreigners to decrease investments at a historic rate. Concerns about slowing global economic growth and rising inflation also increased outflows.

Information technology stocks in Japan also detracted meaningfully from the Index’s return, driven by the electronic components industry. Makers of components for smartphones experienced capacity shortages and production delays related to COVID-19 infections and restrictions. Additionally, the Japanese yen weakened to historic lows relative to the U.S. dollar, and the economy was challenged by a labor shortage and high oil prices.

Portfolio Information

Investment Objective

The iShares Cybersecurity and Tech ETF (the “Fund”) seeks to track the investment results of an index composed of developed and emerging market companies that are involved in cyber security and technology, including cyber security hardware, software, products, and services, as represented by the NYSE^® FactSet^® Global Cyber Security Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 11, 2019. The first day of secondary market trading was June 13, 2019.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Stocks of global cybersecurity and technology companies declined substantially for the reporting period. After Russia’s invasion of Ukraine in early 2022, concerns that Russia would respond to economic sanctions by engaging in cyberattacks initially supported cybersecurity stocks. However, international technology stocks declined sharply amid slowing global economic growth as consumers shifted back from digital to real-world spending, raising concerns about demand for cybersecurity software. Rising global interest rates negatively impacted high-valuation growth-oriented stocks by lowering the current value of future earnings, decreasing demand, and raising financing costs. Increasing ransomware attacks, including high-profile attacks on large corporations and national governments, led to increased demand for cybersecurity systems, bolstering revenues.

U.S. equities, which represented approximately 78% of the Index on average during the reporting period, detracted the most from the Index’s return. In the software industry, the coronavirus pandemic drove strong demand for software for securely creating and signing digital documents. As many businesses returned to in-person work in 2022, growth in demand for digital signatures slowed sharply. Despite rising revenues, stocks of digital document management companies declined as relatively high valuations led investors to closely scrutinize earnings. In addition, stocks of a company that manages information during emergencies, which benefited from strong demand during the pandemic, declined sharply amid slowing demand and the departure of the company’s chief executive officer. The U.S. internet services and infrastructure industry was also a significant detractor. While demand for software to combat ongoing ransomware attacks grew, stock of a user authentication company declined sharply after the company experienced a data breach.

The Canadian software industry detracted modestly from the Index’s return despite strength in sales of cybersecurity software to protect cloud computing platforms. The ongoing war between Russian and Ukraine and rising interest rates pressured stocks in the software industry as investors sought less volatility. In Israel, sales and revenues in the software industry weakened amid ongoing supply-chain challenges.

Portfolio Information

Investment Objective

The iShares Exponential Technologies ETF (the “Fund”) seeks to track the investment results of an index composed of stocks of developed and emerging market companies that create or use exponential technologies, as represented by the Morningstar^® Exponential Technologies Index^SM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was March 19, 2015. The first day of secondary market trading was March 23, 2015.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Stocks of global companies that create or use exponential technologies declined sharply for the reporting period. As global inflation increased, rising interest rates negatively impacted high-valuation growth-oriented stocks by lowering the current value of future earnings, decreasing demand and cash flows, and raising financing costs. Additionally, in-person work and commerce resumed, driving down demand for software and online services.

Stocks in the U.S., which represented approximately 61% of the Index on average during the reporting period, were the main detractors from the Index’s performance, led by the information technology sector. In the internet services and infrastructure industry, stocks of cloud software companies declined despite rising revenues, as relatively high valuations led investors to closely scrutinize earnings. While demand for software to combat ongoing ransomware attacks grew, stock of a user authentication company declined sharply after the company experienced a data breach.

Online payment company stocks also detracted from the Index’s return, reflecting ongoing disruptions to supply chains and a decrease in online shopping. In addition, a sharp fall in the price of Bitcoin negatively impacted financial technology companies holding cryptocurrencies on their balance sheet. In the software industry, stocks declined amid increased competition in the market for online video collaboration solutions and declining demand for teleconferencing software. The U.S. healthcare sector was also a detractor, as the healthcare equipment industry declined amid pandemic-related supply chain disruptions and reductions in robot-assisted surgeries.

Exponential technology stocks in China also weighed on the Index’s performance. In the biotechnology industry, an experimental drug developed to treat cancer failed to receive approval from an American regulator. Tension between the U.S. and China over companies’ accounting practices also raised the possibility of the delisting of some Chinese companies from American stock exchanges.

Japanese industrials stocks were also modest detractors from the Index’s return, driven in part by a sharp decline in the Japanese yen relative to the U.S. dollar. The industrial machinery industry detracted the most as Japan’s industrial production fell to historic lows amid ongoing parts and labor shortages.

Portfolio Information

Investment Objective

The iShares Genomics Immunology and Healthcare ETF (the “Fund”) seeks to track the investment results of an index composed of developed and emerging market companies that could benefit from the long-term growth and innovation in genomics, immunology and bioengineering, as represented by the NYSE^® FactSet Global Genomics and Immuno Biopharma Index^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 11, 2019. The first day of secondary market trading was June 13, 2019.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Global genomics, immunology, and healthcare stocks declined significantly during the reporting period as the rising interest-rate environment weighed on high-valuation stocks, reduced growth, and cooled capital flows. Recurring COVID-19 outbreaks added to the uncertain market environment, as drugmakers contended with mismatches between vaccine supply and demand. Supply chain delays and rising input costs also impacted biotechnology companies’ ability to meet global demands. Merger and acquisition activity among biotechnology and pharmaceutical companies decreased to one of the lowest levels in the last decade amid heightened regulatory scrutiny. In this environment, the number of new biotechnology initial public offerings diminished after two record-setting years.

U.S. stocks, which represented approximately 65% of the Index on average during the reporting period, detracted the most from the Index’s return. The U.S. biotechnology industry in particular weighed heavily on the Index’s performance as declining COVID-19 vaccine sales and research funding pressured the earnings of biotechnology companies. The development of a new vaccine targeting the omicron variant coincided with declining case rates and raised doubts about the necessity of variant-specific vaccines. Competition from the introduction of new treatments for COVID-19 further constrained the industry, particularly for less diversified biotechnology companies that derive nearly all their revenue from vaccines. The significant stock price declines and concerns about the continued availability of research funding led to cost-cutting and layoffs at younger, smaller biotechnology firms.

German and Hong Kong biotechnology industries also detracted from the Index’s performance. Following the reduction in COVID-19 vaccine demand in Europe and North America, German vaccine developers declined amid growing concerns about the sustainability of revenue growth. New investment flows also subsided significantly as financial markets shifted away from the biotechnology industry. In Hong Kong, a Chinese biotechnology company’s stock that is also listed in the U.S. and mainland China declined after an announcement by the Securities and Exchange Commission that it was increasing regulatory scrutiny of Chinese stocks co-listed in the U.S.

Portfolio Information

Investment Objective

The iShares Robotics and Artificial Intelligence Multisector ETF (the “Fund”) seeks to track the investment results of an index composed of developed and emerging market companies that could benefit from the long-term growth and innovation in robotics technologies and artificial intelligence, as represented by the NYSE^® FactSet^® Global Robotics and Artificial Intelligence Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 26, 2018. The first day of secondary market trading was June 28, 2018.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

The Index declined substantially during the reporting period as robotics and artificial intelligence stocks fell amid increasingly challenging global economic conditions. As inflation increased, rising interest rates negatively impacted high-valuation growth-oriented stocks by lowering the current value of future earnings, decreasing demand and cash flows, and raising financing costs.

U.S. equities, which represented approximately 55% of the Index on average for the reporting period, detracted the most from the Index’s return. In the software industry, an increasingly competitive market weighed on companies even as demand remained robust for cloud-based software that uses artificial intelligence to analyze large amounts of data. An unfavorable verdict against a software company in a court case about trade secrets also contributed to the decline. Rising costs due to supply chain disruptions further pressured profitability at a time when stocks’ relatively high valuations led investors to closely scrutinize earnings. The U.S. communication services sector also detracted from the Index’s return as slowing demand for digital advertisements weighed on interactive media and services companies. Amid the global economic slowdown and rising inflation, prices for online advertisements declined, weighing on sales revenues. Social media platform companies faced challenges from changes to corporate policies designed to increase user privacy, making targeted advertising on mobile devices more difficult. Additionally, high content licensing fees offset strong revenues from sports-related streaming, reducing profits.

Chinese stocks also detracted substantially from the Index’s return, particularly the communication services sector. The entertainment industry weakened as China’s government announced plans to implement regulations limiting certain financial transactions and content on livestreaming platforms. Revenues from online advertising fell as companies curtailed popular content in response. The interactive media and services industry also declined as increased governmental scrutiny weighed on mobile marketing revenue. In addition, a U.S. regulator started a process to delist Chinese companies from the American stock exchange due to audit oversight concerns. Japanese stocks were another detractor as the Japanese yen depreciated significantly relative to the U.S. dollar, weighing on returns for U.S. investors.

Portfolio Information

Investment Objective

The iShares Self-Driving EV and Tech ETF (the “Fund”) seeks to track the investment results of an index composed of developed and emerging market companies that may benefit from growth and innovation in and around electric vehicles, battery technologies and autonomous driving technologies, as represented by the NYSE^® FactSet Global Autonomous Driving and Electric Vehicle Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 16, 2019. The first day of secondary market trading was April 18, 2019.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Stocks of companies related to innovation in electric vehicles (“EVs”) and self-driving cars declined significantly for the reporting period. Although demand for EVs continued to rise, bolstered by the introduction of lower-priced models and government subsidies, limited supply constrained industry growth. Ongoing supply chain disruptions, including coronavirus-related restrictions in China, led to decreased EV production. In addition, rising input costs led some manufacturers to increase vehicle prices. The conflict between Russia and Ukraine exacerbated higher materials costs, especially for the metals used in the production of batteries, a key bottleneck in EV production.

Stocks in the U.S., which represented about 54% of the Index on average, detracted the most from the Index’s return, driven by the automobiles industry. Disruptions to supply chains and an ongoing shortage of semiconductors impeded overall automobile production, keeping EV production well below factory capacity. Rising interest rates increased the cost of automobile loans and clouded the outlook for automobile sales. Manufacturing defects that created a risk of an electric car battery catching fire led to a costly recall and steep price cuts, despite limited supply. In addition, new fuel efficiency regulations requiring manufacturers to build a larger fraction of EVs, which are more costly to produce, pressured automakers.

German automobile stocks also weighed on the Index’s performance. While demand for automobiles, and EVs in particular, remained strong, chip shortages and difficulties with European energy supplies led to reduced production volumes and sales in the automobiles industry. The conflict in Ukraine created a shortage of parts that German automobiles companies use to run their plants, forcing temporary factory closures, which further constrained production.

The South Korean information technology sector also detracted significantly from the Index’s return. In the technology hardware and equipment industry, a semiconductor manufacturer declined sharply amid decreased demand for smartphones and other consumer electronics due to slowing economic growth and new pandemic-related restrictions in Asia. Amid shrinking demand, the price of memory chips declined, reducing profits.

Portfolio Information

Investment Objective

The iShares U.S. Tech Breakthrough Multisector ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. companies that could benefit from various breakthrough technologies, including robotics and artificial intelligence, cloud and data tech, cybersecurity, genomics and immunology, and financial technology, as represented by the NYSE^® FactSet^® U.S. Tech Breakthrough Index^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was January 8, 2020. The first day of secondary market trading was January 10, 2020.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

U.S. stocks poised to benefit from breakthrough technologies declined sharply for the reporting period. As consumers and workers continued to return to in-person shopping and offices, sales growth for some software and online services abated. Amid rising global inflation, higher interest rates negatively impacted high valuation growth-oriented stocks by decreasing demand and raising financing costs.

The information technology sector detracted the most from the Index’s return, driven by the software industry. At the beginning of the coronavirus pandemic, a shift to remote work strengthened demand for software for creating and signing digital documents. However, as pandemic-related restrictions eased and businesses returned to in-person work, the need for digital document solutions diminished. The Russian invasion of Ukraine led some companies in the industry to suspend operations in Russia, further reducing software sales. The information technology services industry was also a substantial detractor. A large online payment company declined due to ongoing disruptions to supply chains and a decrease in online shopping. Earnings growth slowed amid reduced government stimulus spending and labor shortages. Additionally, the high-interest-rate environment constrained the growth of small businesses, lowering the demand for loans from financial technology companies. A sharp decline in the price of Bitcoin negatively impacted financial technology companies holding cryptocurrencies on their balance sheet. While demand for software to combat ransomware attacks grew, the stock of a user authentication company declined sharply after the company experienced a data breach.

The communication services sector also detracted significantly from the Index’s performance. Growth in demand for digital advertisements in the interactive media and services industry slowed considerably amid the Russian invasion of Ukraine and the broader global economic slowdown. As inflation rose, prices for online ads dropped and revenues declined. Stocks of social media platform companies were also challenged by increased competition for digital advertising and a mobile device maker’s new user privacy policy that made targeted advertisements more difficult.

Portfolio Information

Investment Objective

The iShares Virtual Work and Life Multisector ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. and non-U.S. companies that provide products, services and technologies that empower individuals to work remotely, and support an increasingly virtual way of life across entertainment, wellness and learning, as represented by the NYSE^® FactSet^® Global Virtual Work and Life Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was September 29, 2020. The first day of secondary market trading was October 1, 2020.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

Portfolio Management Commentary

Stocks of companies that help people work, play, or study from home declined sharply during the reporting period as consumers shifted back from working and shopping online to in-person experiences. As global inflation increased, rising interest rates negatively impacted the highest valuation growth-oriented technology stocks by decreasing demand and raising financing costs.

U.S. equities, which represented approximately 62% of the Index on average during the reporting period, detracted the most from the Index’s return, led by the information technology sector. At the beginning of the coronavirus pandemic, the software industry benefited from the need for remote work and school, leading to strong demand for related software, such as tools for securely signing digital documents and videoconferencing. However, as restrictions eased, businesses and schools returned to in-person work, sharply weighing on demand. Competition from other makers of remote meeting solutions intensified, pressuring profits. In addition, the stocks of a company that manages information during emergencies declined sharply amid a disruptive leadership change.

The U.S. communication services sector also detracted significantly from the Index’s return. In the entertainment industry, despite increasing revenues, media streaming technology companies declined as relatively high valuations led investors to scrutinize earnings growth. Additionally, growth in consumer spending on digital entertainment slowed as inflation grew. In the interactive media and services industry, demand for digital advertisements declined amid the broader global economic slowdown and the war in Ukraine, which also adversely affected subscriber growth.

Chinese stocks also detracted from the Index’s return, particularly in the communication services sector. New government regulations restricted certain financial transactions and limited content on livestreaming platforms. Revenues declined in the entertainment industry amid reduced online advertising and lower subscriptions due to increased competition. New video-gaming regulations negatively impacted profits in the interactive media and services industry, and slowing economic growth weighed on advertising revenue. The German consumer discretionary sector also detracted from the Index’s performance as easing pandemic-related restrictions reduced demand for online delivery services.

Portfolio Information

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in a Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended July 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

For the period ended July 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

See notes to financial statements.